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, 2022
Item 1. Reports to Stockholders.
(a) | Report pursuant to Rule 30e-1 |
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 Global Opportunistic Equity Fund (formerly the Morningstar Unconstrained Allocation Fund) | |
Morningstar Alternatives Fund |
c/o D. Scott Schilling, Chief Compliance Officer
22 West Washington Street
Chicago, IL 60602
Chief Investment Officer, Americas
Morningstar Investment Management LLC
**Effective as of May 1, 2022, the Morningstar Unconstrained Allocation Fund was renamed to the Morningstar Global Opportunistic Equity Fund.
***FAANGM refers to Facebook, Apple, Amazon, Google (Alphabet), and Microsoft.
General Information | |
Net Asset Value Per Share | $11.43 |
Total Net Assets (millions) | $1,490 |
Net Expense Ratio(a) | 0.85% |
Gross Expense Ratio(a) | 0.91% |
Portfolio Turnover Rate | 61% |
Number of Companies | 320 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Weighted Average Market Capitalization (billions) | $60.67 |
Price-to-Earnings Ratio(b) | 18.63 |
Ten Largest Equities (%)(c)(d)(e) | |
Amazon.com, Inc. | 2.9 |
Microsoft Corp. | 2.6 |
Apple, Inc. | 2.1 |
Meta Platforms, Inc., Class A | 1.6 |
Visa, Inc., Class A | 1.3 |
Thermo Fisher Scientific, Inc. | 1.2 |
Pfizer, Inc. | 1.2 |
UnitedHealth Group, Inc. | 1.1 |
Johnson & Johnson | 1.0 |
Dominion Energy, Inc. | 1.0 |
Sector Diversification (%)(c)(d) | |
Consumer, Noncyclical | 17.5 |
Financial | 15.9 |
Technology | 12.4 |
Communications | 9.9 |
Industrial | 9.4 |
Consumer, Cyclical | 8.4 |
Energy | 6.0 |
Utilities | 3.0 |
Basic Materials | 2.7 |
Average Total Returns as of 04/30/22 | 1 year2 | Since Inception3 |
Morningstar U.S. Equity Fund | -3.11% | 9.90% |
Morningstar U.S. Market Index1 | -2.93% | 14.05% |
General Information | |
Net Asset Value Per Share | $9.57 |
Total Net Assets (millions) | $912 |
Net Expense Ratio(a) | 1.00% |
Gross Expense Ratio(a) | 1.19% |
Portfolio Turnover Rate | 67% |
Number of Companies | 393 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Weighted Average Market Capitalization (billions) | $42.21 |
Price-to-Earnings Ratio(b) | 12.35 |
Countries Represented | 44 |
Emerging Markets(c)(d) | 29.4% |
Ten Largest Equities (%)(c)(d)(e) | |
Tencent Holdings Ltd. | 1.9 |
Allianz S.E. | 1.5 |
Shell PLC | 1.5 |
Alibaba Group Holding Ltd. | 1.4 |
Samsung Electronics Co. Ltd. | 1.2 |
Toyota Motor Corp. | 1.1 |
Lloyds Banking Group PLC | 1.1 |
Bayer A.G. | 1.0 |
Taiwan Semiconductor Manufacturing Co. Ltd. | 0.9 |
Intesa Sanpaolo S.p.A. (Italian Exchange) | 0.9 |
Sector Diversification (%)(c)(d) | |
Consumer, Noncyclical | 19.6 |
Financial | 19.4 |
Consumer, Cyclical | 14.3 |
Industrial | 10.9 |
Communications | 10.8 |
Technology | 8.5 |
Basic Materials | 5.7 |
Energy | 5.0 |
Utilities | 1.2 |
Diversified | 0.1 |
Region Diversification (%)(c)(d) | |
Europe (excluding United Kingdom) | 30.3 |
Pacific (excluding Japan) | 28.1 |
Japan | 18.1 |
United Kingdom | 10.2 |
Latin America | 3.9 |
Canada | 1.6 |
Africa | 1.3 |
United States | 1.2 |
Middle East | 0.8 |
Average Total Returns as of 04/30/22 | 1 year2 | Since Inception3 |
Morningstar International Equity Fund | -12.77% | 4.70% |
Morningstar Global Markets ex U.S. Index (net)1 | -10.04% | 6.05% |
General Information | |
Net Asset Value Per Share | $9.82 |
Total Net Assets (millions) | $247 |
Net Expense Ratio(a) | 0.75% |
Gross Expense Ratio(a) | 0.76% |
Portfolio Turnover Rate | 138% |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Equity Portfolio (46.1%) | |
Number of Common Stocks | 134 |
Five Largest Sectors (%)(b)(c) | |
Financial | 10.8 |
Consumer, Noncyclical | 10.1 |
Energy | 5.9 |
Communications | 4.6 |
Basic Materials | 4.3 |
Ten Largest Equities (%)(b)(c)(d) | |
Raytheon Technologies Corp. | 1.9 |
Novartis A.G. ADR | 1.8 |
Petroleo Brasileiro S.A. | 1.8 |
PowerGrid Infrastructure Investment Trust | 1.8 |
Zurich Insurance Group A.G. | 1.7 |
Softbank Corp. | 1.7 |
OPAP S.A. | 1.6 |
Merck & Co., Inc. | 1.5 |
Vale S.A. | 1.5 |
Rio Tinto Ltd. | 1.5 |
Fixed Income Portfolio (38.8%) | |
Number of Issuers | 300 |
Sector Diversification (%)(b)(e) | |
Government | 7.1 |
Consumer, Cyclical | 6.0 |
Consumer, Noncyclical | 5.0 |
Energy | 4.3 |
Financial | 3.6 |
Mortgage Securities | 2.6 |
Asset Backed Securities | 2.5 |
Communications | 2.3 |
Industrial | 2.1 |
Technology | 1.9 |
Basic Materials | 1.2 |
Utilities | 0.2 |
Five Largest Issuers (%)(b)(d)(e) | |
U.S. Treasury | 4.8 |
Government of Indonesia | 0.9 |
BX Trust | 0.5 |
Ford Motor Credit Co. LLC | 0.4 |
First Quantum Minerals Ltd. | 0.4 |
Credit Quality (%)(b)(e)(f) | |
U.S. Treasury | 4.8 |
U.S. Agency | 0.3 |
AAA | 1.5 |
AA | 0.4 |
A | 0.4 |
BBB | 4.4 |
BB | 10.2 |
B | 11.4 |
CCC | 2.7 |
Not Rated | 2.7 |
Average Total Returns as of 04/30/22 | 1 year2 | Since Inception3 |
Morningstar Global Income Fund | -6.00% | 5.19% |
Morningstar Global Income Blended Index1 | -7.74% | 7.85% |
General Information | |
Net Asset Value Per Share | $9.42 |
Total Net Assets (millions) | $829 |
Net Expense Ratio(a) | 0.55% |
Gross Expense Ratio(a) | 0.76% |
Portfolio Turnover Rate | 346% |
Number of Issuers | 622 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Effective Duration (years)(b) | 6.8 |
Non-USD Exposure(c)(d)(e) | 0.3% |
Five Largest Issuers (%)(c)(d)(f) | |
U.S. Treasury | 17.9 |
Federal National Mortgage Association | 10.5 |
Federal Home Loan Mortgage Corporation | 5.1 |
Government National Mortgage Association | 4.2 |
Fannie Mae or Freddie Mac | 3.3 |
Credit Quality (%)(c)(d)(g) | |
U.S. Treasury | 17.9 |
U.S. Agency | 23.7 |
AAA | 5.5 |
AA | 2.3 |
A | 11.9 |
BBB | 16.3 |
BB | 1.5 |
B | 0.5 |
CCC | 0.2 |
Not Rated | 1.2 |
Sector Diversification (%)(c)(d) | |
Mortgage Securities | 28.0 |
Government | 20.4 |
Financial | 9.4 |
Energy | 4.3 |
Asset Backed Securities | 4.0 |
Communications | 3.6 |
Consumer, Noncyclical | 3.4 |
Technology | 2.0 |
Industrial | 1.9 |
Utilities | 1.4 |
Consumer, Cyclical | 1.3 |
Basic Materials | 1.3 |
Region Diversification (%)(c)(d) | |
United States | 70.7 |
Latin America | 4.9 |
Europe (excluding United Kingdom) | 1.9 |
Pacific (excluding Japan) | 1.4 |
United Kingdom | 0.6 |
Middle East | 0.6 |
Canada | 0.4 |
Japan | 0.3 |
Africa | 0.2 |
Average Total Returns as of 04/30/22 | 1 year2 | Since Inception3 |
Morningstar Total Return Bond Fund | -9.97% | 2.02% |
Bloomberg U.S. Aggregate Bond Index1 | -8.51% | 1.95% |
General Information | |
Net Asset Value Per Share | $9.94 |
Total Net Assets (millions) | $382 |
Net Expense Ratio(a) | 0.59% |
Gross Expense Ratio(a) | 0.67% |
Portfolio Turnover Rate | 41% |
Number of Issuers | 756 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Effective Duration (years)(b) | 4.2 |
Five Largest Issuers (%)(c)(d)(e) | |
Illinois State | 1.2 |
Maryland State Health & Higher Educational Facilities Authority Revenue | 1.1 |
Virginia State Small Business Financing Authority Revenue | 1.0 |
New Jersey State Economic Development Authority Revenue | 0.9 |
Michigan State Finance Authority Revenue | 0.9 |
Credit Quality (%)(c)(d)(f) | |
AAA | 4.9 |
AA | 28.7 |
A | 30.3 |
BBB | 14.0 |
BB | 2.2 |
B | 0.2 |
CCC | 0.3 |
A1 (Short Term) | 0.5 |
Not Rated | 5.1 |
Sector Diversification (%)(c)(d) | |
General | 14.8 |
Medical | 13.1 |
Transportation | 9.7 |
General Obligation | 8.6 |
Airport | 7.2 |
Higher Education | 5.9 |
Education | 4.7 |
Development | 4.4 |
Water | 3.2 |
School District | 2.8 |
Nursing Home | 2.5 |
Power | 2.4 |
Multifamily Housing | 2.4 |
Housing | 1.2 |
Utilities | 1.1 |
Facilities | 0.7 |
Bond Banks | 0.4 |
Tobacco Settlement | 0.3 |
Student Loan | 0.3 |
Pollution | 0.3 |
Single Family Housing | 0.2 |
Average Total Returns as of 04/30/22 | 1 year2 | Since Inception3 |
Morningstar Municipal Bond Fund | -5.93% | 1.88% |
Morningstar Municipal Bond Blended Index1 | -5.91% | 1.63% |
General Information | |
Net Asset Value Per Share | $9.69 |
Total Net Assets (millions) | $144 |
Net Expense Ratio(a) | 0.52% |
Gross Expense Ratio(a) | 0.68% |
Portfolio Turnover Rate | 45% |
Number of Issuers | 111 |
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 | 2.9 |
Golub Capital Partners Funding | 2.3 |
PFS Financing Corp. | 2.2 |
Pretium Mortgage Credit Partne | 1.6 |
Westlake Automobile Receivable | 1.6 |
Credit Quality (%)(c)(d)(g) | |
U.S. Agency | 0.7 |
AAA | 15.3 |
AA | 2.5 |
A | 5.0 |
BBB | 1.3 |
BB | 2.0 |
B | 5.0 |
CCC | 0.1 |
Not Rated | 15.0 |
Sector Diversification (%)(c)(d) | |
Asset Backed Securities | 35.9 |
Mortgage Securities | 3.9 |
Financial | 1.7 |
Consumer, Noncyclical | 1.7 |
Communications | 1.5 |
Consumer, Cyclical | 0.8 |
Technology | 0.7 |
Industrial | 0.5 |
Energy | 0.2 |
Region Diversification (%)(c)(d) | |
United States | 37.1 |
Latin America | 9.0 |
Canada | 0.5 |
Europe (excluding United Kingdom) | 0.3 |
Average Total Returns as of 04/30/22 | 1 year3 | Since Inception4 |
Morningstar Defensive Bond Fund | -2.61% | 1.74% |
Bloomberg U.S. Aggregate Bond Index1 | -8.51% | 1.95% |
Bloomberg U.S. Aggregate 1-3 Year Index2 | -3.53% | 1.30% |
General Information | |
Net Asset Value Per Share | $9.00 |
Total Net Assets (millions) | $172 |
Net Expense Ratio(a) | 0.80% |
Gross Expense Ratio(a) | 0.92% |
Portfolio Turnover Rate | 97% |
Number of Issuers | 381 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Effective Duration (years)(b) | 5.2 |
Non-USD Exposure(c)(d)(e) | 20.5% |
Five Largest Issuers (%)(c)(d)(f) | |
Republic of South Africa | 2.7 |
Government of Indonesia | 2.2 |
Mexican Bonos Desarollo | 2.1 |
Thailand Government Bond | 1.8 |
Nota Do Tesouro Nacional | 1.6 |
Credit Quality (%)(c)(d)(g) | |
AA | 2.8 |
A | 5.0 |
BBB | 11.0 |
BB | 24.6 |
B | 15.5 |
CCC | 4.0 |
C | 0.2 |
Not Rated | 6.6 |
Sector Diversification (%)(c)(d) | |
Government | 30.6 |
Energy | 9.1 |
Communications | 6.7 |
Consumer, Cyclical | 6.2 |
Consumer, Noncyclical | 4.4 |
Financial | 4.3 |
Basic Materials | 2.9 |
Industrial | 2.0 |
Utilities | 1.7 |
Mortgage Securities | 0.8 |
Asset Backed Securities | 0.5 |
Technology | 0.5 |
Region Diversification (%)(c)(d) | |
United States | 24.1 |
Latin America | 13.9 |
Pacific (excluding Japan) | 11.1 |
Middle East | 7.0 |
Africa | 6.1 |
Europe (excluding United Kingdom) | 5.6 |
Canada | 1.1 |
United Kingdom | 0.5 |
Japan | 0.3 |
Average Total Returns as of 04/30/22 | 1 year2 | Since Inception3 |
Morningstar Multisector Bond Fund | -10.95% | 0.83% |
Morningstar Multisector Bond Blended Index1 | -9.91% | 1.94% |
General Information | |
Net Asset Value Per Share | $9.57 |
Total Net Assets (millions) | $200 |
Net Expense Ratio(a) | 0.85% |
Gross Expense Ratio(a) | 0.85% |
Portfolio Turnover Rate | 96% |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Equity Portfolio (50.4%) | |
Number of Common Stocks | 246 |
Five Largest Sectors (%)(b)(c) | |
Consumer, Noncyclical | 12.4 |
Communications | 9.7 |
Financial | 7.6 |
Consumer, Cyclical | 7.3 |
Energy | 5.0 |
Ten Largest Equities (%)(b)(c)(d) | |
Shell PLC | 1.4 |
Alibaba Group Holding Ltd. | 1.3 |
H&R Block, Inc. | 1.3 |
Tencent Holdings Ltd. | 1.3 |
Tapestry, Inc. | 1.2 |
International Game Technology PLC | 1.2 |
Omnicom Group, Inc. | 1.2 |
CVS Health Corp. | 1.2 |
Fresenius Medical Care A.G. & Co. KGaA | 1.0 |
Nielsen Holdings PLC | 1.0 |
Sector Diversification (%)(b)(c) | |
Consumer, Noncyclical | 12.4 |
Communications | 9.7 |
Financial | 7.6 |
Consumer, Cyclical | 7.3 |
Energy | 5.0 |
Industrial | 3.7 |
Technology | 2.5 |
Basic Materials | 1.1 |
Utilities | 1.1 |
Average Total Returns as of 04/30/22 | 1 year3 | Since Inception4 |
Morningstar Global Opportunistic Equity Fund | -2.77% | 7.11% |
Morningstar Unconstrained Allocation Blended Index1 | -9.28% | 5.45% |
Morningstar Global Markets NR2 | -6.22% | 10.12% |
General Information | |
Net Asset Value Per Share | $10.12 |
Total Net Assets (millions) | $368 |
Net Expense Ratio(a) | 1.34% |
Gross Expense Ratio(a) | 1.76% |
Portfolio Turnover Rate | 433% |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Allocation Strategy Type (%)(b) | |
Convertible Arbitrage | 20.3 |
Merger Arbitrage | 26.1 |
Multi-Strategy | 47.4 |
Short-term investments and ETFs | 6.2 |
Region Diversification (%)(c)(d) | |
United States | 77.2 |
Europe (excluding United Kingdom) | 2.0 |
Canada | 1.6 |
United Kingdom | 0.9 |
Japan | 0.5 |
Pacific (excluding Japan) | 0.3 |
Africa | 0.3 |
Latin America | 0.2 |
Average Total Returns as of 04/30/22 | 1 year3 | Since Inception4 |
Morningstar Alternatives Fund | -0.78% | 3.18% |
Bloomberg U.S. Aggregate Bond Index1 | -8.51% | 1.95% |
Morningstar U.S. Cash T-Bill TR USD2 | 0.07% | 0.91% |
Number of Shares | Value | ||
Common Stocks – 85.2% | |||
Aerospace/Defense – 2.2% | |||
Boeing (The) Co.* | 13,905 | $ 2,069,620 | |
General Dynamics Corp | 8,137 | 1,924,644 | |
Lockheed Martin Corp. | 18,448 | 7,971,750 | |
Moog, Inc., Class A | 19,370 | 1,547,082 | |
Northrop Grumman Corp. | 16,485 | 7,243,509 | |
Raytheon Technologies Corp. | 121,289 | 11,511,539 | |
32,268,144 | |||
Agriculture – 0.2% | |||
Archer-Daniels-Midland Co. | 37,220 | 3,333,423 | |
Airlines – 0.3% | |||
Alaska Air Group, Inc.* | 44,344 | 2,411,870 | |
Allegiant Travel Co.* | 15,194 | 2,357,957 | |
4,769,827 | |||
Apparel – 1.0% | |||
Hanesbrands, Inc. | 189,276 | 2,509,800 | |
NIKE, Inc., Class B | 58,900 | 7,344,830 | |
Ralph Lauren Corp. | 25,307 | 2,640,532 | |
VF Corp. | 36,380 | 1,891,760 | |
14,386,922 | |||
Auto Manufacturers – 0.6% | |||
General Motors Co.* | 202,069 | 7,660,436 | |
PACCAR, Inc. | 17,711 | 1,470,898 | |
9,131,334 | |||
Auto Parts & Equipment – 0.7% | |||
Aptiv PLC* | 46,071 | 4,901,954 | |
BorgWarner, Inc. | 37,347 | 1,375,490 | |
Holley, Inc.(a)* | 180,522 | 1,902,702 | |
Methode Electronics, Inc. | 19,931 | 889,122 | |
XPEL, Inc.* | 22,122 | 957,219 | |
10,026,487 | |||
Banks – 6.0% | |||
Bank OZK | 141,655 | 5,442,385 | |
BankUnited, Inc. | 59,576 | 2,236,483 | |
BOK Financial Corp. | 21,107 | 1,750,404 | |
Citigroup, Inc. | 67,213 | 3,240,339 | |
City Holding Co. | 6,645 | 514,190 | |
Columbia Banking System, Inc. | 56,908 | 1,597,977 | |
Eagle Bancorp, Inc. | 18,080 | 910,328 | |
First Republic Bank | 24,486 | 3,653,801 | |
Goldman Sachs Group (The), Inc. | 41,520 | 12,683,945 | |
JPMorgan Chase & Co. | 83,945 | 10,019,675 | |
Morgan Stanley | 63,267 | 5,098,688 |
Number of Shares | Value | ||
Banks (Continued) | |||
PNC Financial Services Group (The), Inc. | 20,152 | $ 3,347,247 | |
Renasant Corp. | 51,613 | 1,537,551 | |
Sandy Spring Bancorp, Inc. | 41,166 | 1,616,589 | |
Seacoast Banking Corp. of Florida | 50,727 | 1,648,627 | |
Simmons First National Corp., Class A | 68,274 | 1,629,700 | |
SVB Financial Group* | 9,840 | 4,798,378 | |
Triumph Bancorp, Inc.* | 21,249 | 1,475,531 | |
Truist Financial Corp. | 181,621 | 8,781,375 | |
Trustmark Corp. | 21,725 | 605,693 | |
U.S. Bancorp | 32,686 | 1,587,232 | |
Veritex Holdings, Inc. | 50,697 | 1,665,396 | |
Webster Financial Corp. | 129,960 | 6,496,700 | |
Wells Fargo & Co. | 87,080 | 3,799,300 | |
Western Alliance Bancorp | 51,698 | 3,934,735 | |
90,072,269 | |||
Beverages – 1.5% | |||
Diageo PLC (United Kingdom) | 92,285 | 4,603,992 | |
Duckhorn Portfolio (The), Inc.* | 113,356 | 2,201,373 | |
Monster Beverage Corp.* | 102,592 | 8,790,082 | |
PepsiCo, Inc. | 20,498 | 3,519,712 | |
Primo Water Corp.(a) | 270,287 | 3,957,002 | |
23,072,161 | |||
Biotechnology – 0.7% | |||
Bio-Rad Laboratories, Inc., Class A* | 18,632 | 9,540,702 | |
Intra-Cellular Therapies, Inc.* | 26,269 | 1,329,474 | |
10,870,176 | |||
Building Materials – 0.9% | |||
Johnson Controls International PLC | 61,499 | 3,681,945 | |
Masco Corp. | 38,964 | 2,053,013 | |
Masonite International Corp.* | 20,558 | 1,593,656 | |
Owens Corning | 28,472 | 2,588,959 | |
Trex Co., Inc.* | 34,737 | 2,021,346 | |
UFP Industries, Inc. | 11,317 | 875,597 | |
12,814,516 | |||
Chemicals – 2.2% | |||
Ashland Global Holdings, Inc. | 35,809 | 3,758,871 | |
Balchem Corp. | 16,400 | 2,020,480 | |
DuPont de Nemours, Inc. | 161,382 | 10,639,915 | |
Ecovyst, Inc. | 77,581 | 780,465 |
Number of Shares | Value | ||
Chemicals (Continued) | |||
Innospec, Inc. | 10,599 | $ 1,010,191 | |
International Flavors & Fragrances, Inc. | 9,255 | 1,122,632 | |
PPG Industries, Inc. | 32,825 | 4,201,272 | |
Sherwin-Williams (The) Co. | 21,658 | 5,955,083 | |
Stepan Co. | 15,815 | 1,614,869 | |
Valvoline, Inc. | 38,399 | 1,160,802 | |
32,264,580 | |||
Commercial Services – 2.1% | |||
Equifax, Inc. | 18,187 | 3,701,418 | |
Euronet Worldwide, Inc.* | 14,707 | 1,789,107 | |
HealthEquity, Inc.* | 42,631 | 2,656,764 | |
Mister Car Wash, Inc.(a)* | 75,908 | 1,093,075 | |
Monro, Inc. | 35,758 | 1,635,213 | |
Moody's Corp. | 5,047 | 1,597,275 | |
Paylocity Holding Corp.* | 6,078 | 1,152,571 | |
PayPal Holdings, Inc.* | 57,400 | 5,047,182 | |
PROG Holdings, Inc.* | 42,128 | 1,115,128 | |
Repay Holdings Corp.* | 112,109 | 1,500,019 | |
S&P Global, Inc. | 21,128 | 7,954,692 | |
ZipRecruiter, Inc., Class A* | 95,310 | 2,145,428 | |
31,387,872 | |||
Computers – 3.3% | |||
Accenture PLC, Class A | 22,099 | 6,637,656 | |
Apple, Inc. | 196,043 | 30,906,179 | |
Check Point Software Technologies Ltd. (Israel)* | 38,356 | 4,843,979 | |
Cognizant Technology Solutions Corp., Class A | 29,000 | 2,346,100 | |
CyberArk Software Ltd.* | 16,702 | 2,624,552 | |
Globant S.A.* | 6,734 | 1,454,477 | |
48,812,943 | |||
Cosmetics/Personal Care – 0.8% | |||
Colgate-Palmolive Co. | 26,868 | 2,070,179 | |
Unilever PLC ADR (United Kingdom) | 207,018 | 9,576,653 | |
11,646,832 | |||
Distribution/Wholesale – 1.1% | |||
Pool Corp. | 4,885 | 1,979,500 | |
W.W. Grainger, Inc. | 17,099 | 8,550,013 | |
WESCO International, Inc.* | 46,219 | 5,696,954 | |
16,226,467 | |||
Diversified Financial Services – 3.2% | |||
American Express Co. | 29,170 | 5,096,291 | |
Apollo Global Management, Inc. | 42,616 | 2,120,572 | |
BlackRock, Inc. | 5,919 | 3,697,481 |
Number of Shares | Value | ||
Diversified Financial Services (Continued) | |||
Cohen & Steers, Inc. | 23,869 | $ 1,854,383 | |
Discover Financial Services | 9,048 | 1,017,538 | |
Focus Financial Partners, Inc. Class A* | 37,132 | 1,464,857 | |
Hamilton Lane, Inc., Class A | 37,720 | 2,586,838 | |
Moelis & Co., Class A | 34,827 | 1,541,443 | |
Mr. Cooper Group, Inc.* | 53,337 | 2,398,565 | |
Nasdaq, Inc. | 27,799 | 4,374,729 | |
Perella Weinberg Partners | 45,071 | 347,497 | |
Piper Sandler Cos. | 14,140 | 1,625,817 | |
Visa, Inc., Class A(a) | 91,848 | 19,575,564 | |
47,701,575 | |||
Electric – 2.6% | |||
American Electric Power Co., Inc. | 24,478 | 2,426,015 | |
Avista Corp. | 40,533 | 1,644,424 | |
Dominion Energy, Inc. | 183,583 | 14,987,716 | |
Duke Energy Corp. | 61,652 | 6,791,584 | |
NorthWestern Corp.(a) | 27,269 | 1,545,880 | |
PPL Corp. | 123,598 | 3,499,059 | |
Southern (The) Co. | 76,305 | 5,600,024 | |
Xcel Energy, Inc. | 21,465 | 1,572,526 | |
38,067,228 | |||
Electrical Component & Equipment – 0.2% | |||
Encore Wire Corp. | 7,186 | 810,653 | |
Novanta, Inc.* | 16,982 | 2,185,583 | |
2,996,236 | |||
Electronics – 1.1% | |||
Honeywell International, Inc. | 34,311 | 6,639,522 | |
nVent Electric PLC | 204,612 | 6,911,793 | |
Sensata Technologies Holding PLC* | 63,623 | 2,889,120 | |
16,440,435 | |||
Engineering & Construction – 0.1% | |||
Comfort Systems USA, Inc. | 18,955 | 1,600,181 | |
Entertainment – 0.6% | |||
Red Rock Resorts, Inc., Class A | 144,883 | 6,369,057 | |
Vail Resorts, Inc. | 9,091 | 2,310,568 | |
8,679,625 | |||
Environmental Control – 0.1% | |||
Stericycle, Inc.* | 36,861 | 1,850,054 | |
Food – 1.1% | |||
Flowers Foods, Inc. | 22,611 | 599,644 | |
Hostess Brands, Inc.* | 72,031 | 1,634,383 |
Number of Shares | Value | ||
Food (Continued) | |||
J&J Snack Foods Corp. | 11,311 | $ 1,693,257 | |
Lancaster Colony Corp. | 14,969 | 2,322,889 | |
Nestle S.A. (Switzerland)(b) | 35,699 | 4,608,530 | |
Post Holdings, Inc.* | 56,651 | 4,214,268 | |
Seaboard Corp. | 217 | 916,823 | |
15,989,794 | |||
Forest Products & Paper – 0.2% | |||
International Paper Co. | 69,933 | 3,236,499 | |
Gas – 0.4% | |||
South Jersey Industries, Inc. | 84,832 | 2,900,406 | |
UGI Corp. | 91,323 | 3,132,379 | |
6,032,785 | |||
Hand/Machine Tools – 0.1% | |||
Stanley Black & Decker, Inc. | 17,205 | 2,067,181 | |
Healthcare - Products – 3.7% | |||
Abbott Laboratories | 37,913 | 4,303,126 | |
Alcon, Inc. (Switzerland)(a) | 81,014 | 5,769,007 | |
Avanos Medical, Inc.* | 27,496 | 801,783 | |
Boston Scientific Corp.* | 131,178 | 5,523,906 | |
CONMED Corp. | 12,118 | 1,611,209 | |
Danaher Corp. | 15,851 | 3,980,662 | |
Intuitive Surgical, Inc.* | 23,660 | 5,661,838 | |
Medtronic PLC | 46,921 | 4,896,676 | |
Merit Medical Systems, Inc.* | 26,019 | 1,613,438 | |
Neogen Corp.* | 49,406 | 1,304,318 | |
Patterson Cos., Inc. | 49,966 | 1,537,454 | |
Thermo Fisher Scientific, Inc. | 32,484 | 17,961,053 | |
54,964,470 | |||
Healthcare - Services – 1.6% | |||
Ensign Group (The), Inc. | 36,119 | 2,901,439 | |
ICON PLC (Ireland)* | 10,795 | 2,441,937 | |
Medpace Holdings, Inc.* | 17,718 | 2,366,593 | |
UnitedHealth Group, Inc. | 33,118 | 16,842,159 | |
24,552,128 | |||
Home Builders – 0.4% | |||
Century Communities, Inc. | 30,092 | 1,586,450 | |
Installed Building Products, Inc. | 10,645 | 856,603 | |
NVR, Inc.* | 845 | 3,697,898 | |
6,140,951 | |||
Household Products/Wares – 0.4% | |||
Central Garden & Pet Co., Class A* | 39,132 | 1,619,282 |
Number of Shares | Value | ||
Household Products/Wares (Continued) | |||
Kimberly-Clark Corp. | 18,845 | $ 2,616,251 | |
Reckitt Benckiser Group PLC (United Kingdom) | 19,045 | 1,485,236 | |
5,720,769 | |||
Insurance – 4.4% | |||
Alleghany Corp.* | 3,852 | 3,222,198 | |
American International Group, Inc. | 156,891 | 9,179,692 | |
AMERISAFE, Inc. | 17,913 | 830,268 | |
Aon PLC, Class A | 25,095 | 7,227,109 | |
Argo Group International Holdings Ltd. | 18,582 | 795,310 | |
Berkshire Hathaway, Inc., Class B* | 14,249 | 4,600,005 | |
Brighthouse Financial, Inc.* | 35,636 | 1,830,265 | |
Chubb Ltd. | 31,928 | 6,591,536 | |
Enstar Group Ltd.* | 4,838 | 1,140,558 | |
Goosehead Insurance, Inc., Class A | 13,723 | 788,935 | |
Hagerty, Inc., Class A(a)* | 52,026 | 494,767 | |
Hartford Financial Services Group (The), Inc. | 33,813 | 2,364,543 | |
Kemper Corp. | 81,696 | 3,771,087 | |
Loews Corp. | 34,378 | 2,160,313 | |
Marsh & McLennan Cos., Inc. | 41,056 | 6,638,755 | |
Progressive (The) Corp. | 53,019 | 5,692,120 | |
RenaissanceRe Holdings Ltd. | 8,880 | 1,274,458 | |
Travelers (The) Cos., Inc. | 24,550 | 4,199,523 | |
Willis Towers Watson PLC | 10,596 | 2,276,657 | |
65,078,099 | |||
Internet – 7.3% | |||
Alibaba Group Holding Ltd. ADR (China)* | 34,644 | 3,363,586 | |
Alphabet, Inc., Class A* | 4,908 | 11,200,989 | |
Amazon.com, Inc.* | 17,377 | 43,192,792 | |
Meta Platforms, Inc., Class A* | 116,256 | 23,305,840 | |
Netflix, Inc.* | 22,100 | 4,206,956 | |
Open Lending Corp., Class A* | 81,463 | 1,111,155 | |
Palo Alto Networks, Inc.* | 22,459 | 12,605,788 | |
Q2 Holdings, Inc.* | 24,040 | 1,243,589 | |
Sea Ltd. ADR (Taiwan)* | 31,550 | 2,611,078 | |
Uber Technologies, Inc.* | 167,379 | 5,269,091 | |
108,110,864 | |||
Leisure Time – 0.3% | |||
Callaway Golf Co.* | 49,083 | 1,076,881 |
Number of Shares | Value | ||
Leisure Time (Continued) | |||
Polaris, Inc.(a) | 19,773 | $ 1,877,249 | |
YETI Holdings, Inc.* | 26,113 | 1,276,142 | |
4,230,272 | |||
Lodging – 0.2% | |||
Marriott International, Inc., Class A* | 17,726 | 3,146,720 | |
Machinery - Construction & Mining – 0.1% | |||
Astec Industries, Inc. | 23,063 | 901,763 | |
Machinery - Diversified – 1.1% | |||
Alamo Group, Inc. | 6,641 | 839,688 | |
Albany International Corp., Class A | 10,141 | 793,229 | |
Altra Industrial Motion Corp. | 101,143 | 3,944,577 | |
Columbus McKinnon Corp. | 23,979 | 850,056 | |
Enovis Corp.* | 55,240 | 3,583,462 | |
Esab Corp.* | 55,241 | 2,596,311 | |
Kadant, Inc. | 14,663 | 2,712,655 | |
Otis Worldwide Corp. | 11,907 | 867,306 | |
16,187,284 | |||
Media – 1.0% | |||
Charter Communications, Inc., Class A* | 5,016 | 2,149,306 | |
Comcast Corp., Class A | 164,768 | 6,551,176 | |
Liberty Media Corp.-Liberty Formula One, Class C* | 30,599 | 1,907,236 | |
Walt Disney (The) Co.* | 43,180 | 4,820,183 | |
15,427,901 | |||
Metal Fabricate/Hardware – 0.4% | |||
AZZ, Inc. | 19,739 | 900,888 | |
Helios Technologies, Inc. | 28,291 | 1,900,589 | |
Janus International Group, Inc.* | 132,762 | 1,255,929 | |
RBC Bearings, Inc.* | 11,325 | 1,906,564 | |
5,963,970 | |||
Mining – 0.3% | |||
Freeport-McMoRan, Inc. | 94,627 | 3,837,125 | |
Livent Corp.* | 37,046 | 791,302 | |
4,628,427 | |||
Miscellaneous Manufacturing – 1.7% | |||
Eaton Corp. PLC | 80,932 | 11,736,758 | |
Fabrinet (Thailand)* | 17,368 | 1,705,364 | |
Federal Signal Corp. | 46,673 | 1,588,282 | |
Illinois Tool Works, Inc. | 22,171 | 4,370,126 |
Number of Shares | Value | ||
Miscellaneous Manufacturing (Continued) | |||
Parker-Hannifin Corp. | 13,274 | $ 3,594,865 | |
Trane Technologies PLC | 18,844 | 2,636,087 | |
25,631,482 | |||
Office Furnishings – 0.3% | |||
Steelcase, Inc., Class A | 418,294 | 4,906,589 | |
Oil & Gas – 2.4% | |||
Brigham Minerals, Inc., Class A | 54,308 | 1,345,752 | |
Chevron Corp. | 26,506 | 4,152,695 | |
ConocoPhillips | 40,768 | 3,894,159 | |
Coterra Energy, Inc. | 130,092 | 3,745,349 | |
EOG Resources, Inc. | 21,410 | 2,499,832 | |
Hess Corp. | 57,816 | 5,959,095 | |
Northern Oil and Gas, Inc. | 63,003 | 1,573,815 | |
PDC Energy, Inc. | 22,741 | 1,585,957 | |
Pioneer Natural Resources Co. | 42,770 | 9,942,742 | |
Whiting Petroleum Corp.* | 22,186 | 1,620,687 | |
36,320,083 | |||
Packaging & Containers – 0.1% | |||
TriMas Corp. | 47,883 | 1,414,464 | |
Pharmaceuticals – 5.3% | |||
BellRing Brands, Inc.* | 71,821 | 1,539,124 | |
Cigna Corp. | 27,043 | 6,673,672 | |
Dexcom, Inc.* | 14,200 | 5,801,836 | |
Johnson & Johnson | 86,301 | 15,573,879 | |
McKesson Corp. | 13,686 | 4,237,322 | |
Merck & Co., Inc. | 145,513 | 12,905,548 | |
Pfizer, Inc. | 353,956 | 17,368,621 | |
Roche Holding A.G. (Genusschein) (Switzerland) | 2,667 | 988,961 | |
Viatris, Inc. | 357,882 | 3,696,921 | |
Zoetis, Inc. | 58,840 | 10,429,390 | |
79,215,274 | |||
Pipelines – 3.6% | |||
Antero Midstream Corp. | 151,003 | 1,550,801 | |
Cheniere Energy, Inc. | 68,609 | 9,317,788 | |
Enbridge, Inc. (Canada) | 234,540 | 10,234,937 | |
Equitrans Midstream Corp. | 294,044 | 2,311,186 | |
Kinder Morgan, Inc. | 436,326 | 7,919,317 | |
ONEOK, Inc. | 61,273 | 3,880,419 | |
Pembina Pipeline Corp. (Canada) | 63,148 | 2,389,464 | |
Targa Resources Corp. | 21,206 | 1,556,733 | |
TC Energy Corp. (Canada) | 144,852 | 7,661,770 | |
Williams (The) Cos., Inc. | 197,338 | 6,766,720 | |
53,589,135 |
Number of Shares | Value | ||
Private Equity – 0.1% | |||
KKR & Co., Inc. | 29,346 | $ 1,495,766 | |
Real Estate – 0.2% | |||
Jones Lang LaSalle, Inc.* | 3,766 | 823,737 | |
Radius Global Infrastructure, Inc. Class A* | 128,038 | 1,590,232 | |
2,413,969 | |||
Real Estate Investment Trusts – 2.0% | |||
Community Healthcare Trust, Inc. | 31,927 | 1,175,552 | |
CubeSmart | 103,857 | 4,934,246 | |
Douglas Emmett, Inc. | 50,902 | 1,499,573 | |
Equinix, Inc. | 8,229 | 5,917,309 | |
Four Corners Property Trust, Inc. | 58,613 | 1,609,513 | |
National Storage Affiliates Trust | 22,527 | 1,275,028 | |
Plymouth Industrial REIT, Inc. | 64,118 | 1,546,526 | |
PotlatchDeltic Corp. | 14,511 | 803,764 | |
Public Storage | 3,937 | 1,462,596 | |
Rayonier, Inc. | 44,475 | 1,921,320 | |
Ryman Hospitality Properties, Inc.* | 22,320 | 2,086,474 | |
Sunstone Hotel Investors, Inc.* | 69,748 | 854,413 | |
UDR, Inc. | 15,649 | 832,683 | |
Urban Edge Properties | 63,658 | 1,189,768 | |
Weyerhaeuser Co. | 56,308 | 2,321,016 | |
29,429,781 | |||
Retail – 2.9% | |||
Academy Sports & Outdoors, Inc. | 21,082 | 787,624 | |
Advance Auto Parts, Inc. | 35,341 | 7,055,124 | |
Chuy's Holdings, Inc.* | 34,986 | 875,000 | |
Five Below, Inc.* | 17,663 | 2,774,857 | |
Floor & Decor Holdings, Inc., Class A* | 16,734 | 1,334,034 | |
Freshpet, Inc.* | 13,671 | 1,276,188 | |
Jack in the Box, Inc. | 19,775 | 1,636,579 | |
Lowe's Cos., Inc. | 38,016 | 7,516,904 | |
National Vision Holdings, Inc.* | 21,709 | 817,344 | |
Ollie's Bargain Outlet Holdings, Inc.* | 27,521 | 1,322,384 | |
Papa John's International, Inc. | 9,361 | 852,319 | |
Tractor Suppy Co. | 29,670 | 5,977,022 | |
Ulta Beauty, Inc.* | 11,068 | 4,391,782 | |
Walmart, Inc. | 41,472 | 6,344,801 | |
42,961,962 |
Number of Shares | Value | ||
Savings & Loans – 0.1% | |||
Provident Financial Services, Inc. | 40,148 | $ 888,475 | |
Semiconductors – 2.9% | |||
Analog Devices, Inc. | 13,478 | 2,080,734 | |
ASML Holding N.V. (Netherlands)(b) | 7,920 | 4,465,058 | |
Intel Corp. | 141,050 | 6,148,369 | |
Micron Technology, Inc. | 58,989 | 4,022,460 | |
Monolithic Power Systems, Inc. | 3,123 | 1,224,966 | |
NVIDIA Corp. | 69,868 | 12,958,418 | |
NXP Semiconductors N.V. (China) | 24,801 | 4,238,491 | |
Rambus, Inc.* | 63,138 | 1,572,768 | |
Texas Instruments, Inc. | 42,145 | 7,175,186 | |
43,886,450 | |||
Software – 6.2% | |||
Adobe, Inc.* | 21,206 | 8,396,516 | |
Atlassian Corp. PLC, Class A* | 25,680 | 5,773,634 | |
Avalara, Inc.* | 10,036 | 763,438 | |
Clearwater Analytics Holdings, Inc., Class A* | 44,755 | 785,003 | |
Fidelity National Information Services, Inc. | 60,824 | 6,030,700 | |
Five9, Inc.* | 10,243 | 1,127,754 | |
Guidewire Software, Inc.* | 14,440 | 1,255,414 | |
Microsoft Corp. | 142,167 | 39,454,186 | |
Salesforce, Inc.* | 66,978 | 11,784,109 | |
Splunk, Inc.* | 49,457 | 6,034,743 | |
SS&C Technologies Holdings, Inc. | 29,604 | 1,914,195 | |
UiPath, Inc. Class A* | 65,380 | 1,165,725 | |
Unity Software, Inc.* | 35,300 | 2,344,273 | |
Workday, Inc., Class A* | 29,560 | 6,110,052 | |
92,939,742 | |||
Telecommunications – 1.6% | |||
ADTRAN, Inc. | 53,717 | 934,139 | |
AT&T, Inc. | 445,566 | 8,403,375 | |
Cisco Systems, Inc. | 212,224 | 10,394,731 | |
Verizon Communications, Inc. | 45,040 | 2,085,352 | |
Viavi Solutions, Inc.* | 115,430 | 1,655,266 | |
23,472,863 | |||
Transportation – 1.3% | |||
Canadian National Railway Co. (Canada)(a) | 15,230 | 1,791,353 | |
Kirby Corp.* | 45,755 | 2,983,226 |
Number of Shares | Value | ||
Transportation (Continued) | |||
Union Pacific Corp. | 25,052 | $ 5,869,433 | |
United Parcel Service, Inc., Class B | 52,835 | 9,509,243 | |
20,153,255 | |||
Total Common Stocks (Cost $1,134,377,052) | 1,269,518,454 | ||
Master Limited Partnerships – 1.7% | |||
Pipelines – 1.7% | |||
Energy Transfer L.P. | 496,522 | 5,501,464 | |
Enterprise Products Partners L.P. | 395,872 | 10,257,043 | |
Magellan Midstream Partners L.P. | 63,309 | 3,067,321 | |
MPLX L.P. | 98,312 | 3,181,376 | |
Plains All American Pipeline L.P. | 264,502 | 2,740,241 | |
24,747,445 | |||
Total Master Limited Partnerships (Cost $24,797,203) | 24,747,445 | ||
Investment Companies – 9.8% | |||
Energy Select Sector SPDR Fund(a) | 122,724 | 9,222,709 |
Number of Shares | Value | ||
Vanguard Consumer Staples ETF | 223,488 | $ 44,722,184 | |
Vanguard Financials ETF | 187,564 | 15,742,246 | |
Vanguard Health Care ETF | 319,537 | 76,522,721 | |
Total Investment Companies (Cost $121,494,270) | 146,209,860 | ||
Short-Term Investments – 2.6% | |||
Money Market Fund – 2.6% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 0.32%(c)(d) | 6,209,220 | 6,209,220 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 0.18%(c) | 32,072,247 | 32,072,247 | |
Total Short-Term Investments (Cost $38,281,467) | 38,281,467 | ||
Total Investments – 99.3% (Cost $1,318,949,992) | 1,478,757,226 | ||
Other Assets less Liabilities – 0.7% | 11,141,608 | ||
NET ASSETS – 100.0% | $1,489,898,834 |
Percentages shown are based on Net Assets. |
All securities are United States companies, unless noted otherwise in parentheses. | |||
(a) | Security either partially or fully on loan. | ||
(b) | Security sold outside United States without registration under the Securities Act of 1933. | ||
(c) | 7-day current yield as of April 30, 2022 is disclosed. | ||
(d) | Security purchased with the cash proceeds from securities loaned (See Note 7). | ||
* | Non-Income Producing Security |
Abbreviations: | |
ADR | American Depositary Receipt |
ETF | Exchange-Traded Fund |
L.P. | Limited Partnership |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
S&P | Standards & Poor's |
SPDR | Standard & Poor's Depositary Receipt |
Morningstar U.S. Equity Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Common Stocks | 1,257,831,735 | $11,686,719 | $— | 1,269,518,454 |
Master Limited Partnerships | 24,747,445 | — | — | 24,747,445 |
Investment Companies | 146,209,860 | — | — | 146,209,860 |
Short-Term Investments | 38,281,467 | — | — | 38,281,467 |
Total Investments | $1,467,070,507 | $11,686,719 | $— | $1,478,757,226 |
Number of Shares | Value | ||
Common Stocks – 95.0% | |||
Advertising – 0.9% | |||
Dentsu Group, Inc. (Japan) | 20,894 | $ 753,054 | |
Publicis Groupe S.A. (France) | 71,900 | 4,316,640 | |
WPP PLC (United Kingdom) | 251,974 | 3,140,823 | |
8,210,517 | |||
Aerospace/Defense – 0.2% | |||
BAE Systems PLC (United Kingdom) | 118,091 | 1,090,766 | |
Rolls-Royce Holdings PLC (United Kingdom)* | 822,536 | 843,232 | |
1,933,998 | |||
Agriculture – 0.4% | |||
British American Tobacco PLC (United Kingdom) | 58,218 | 2,440,053 | |
Japan Tobacco, Inc. (Japan) | 39,800 | 677,069 | |
KT&G Corp. (South Korea) | 11,309 | 742,649 | |
3,859,771 | |||
Airlines – 0.5% | |||
Ryanair Holdings PLC ADR (Ireland)* | 44,691 | 3,902,418 | |
Wizz Air Holdings PLC (Switzerland)(a)* | 10,211 | 399,429 | |
4,301,847 | |||
Apparel – 0.4% | |||
adidas A.G. (Germany) | 17,000 | 3,428,207 | |
Shenzhou International Group Holdings Ltd. (China) | 22,900 | 310,729 | |
3,738,936 | |||
Auto Manufacturers – 4.2% | |||
Bayerische Motoren Werke A.G. (Germany) | 88,920 | 7,261,722 | |
Daimler Truck Holding A.G. (Germany)* | 154,395 | 4,152,412 | |
Honda Motor Co. Ltd. (Japan) | 156,000 | 4,103,354 | |
Iveco Group N.V. (Italy)* | 25,693 | 151,162 | |
Li Auto, Inc. ADR (China)* | 9,000 | 201,870 | |
Maruti Suzuki India Ltd. (India) | 4,702 | 470,934 | |
Mercedes-Benz Group A.G. (Germany)* | 110,990 | 7,747,236 | |
Nissan Motor Co. Ltd. (Japan)* | 313,576 | 1,255,416 | |
Toyota Motor Corp. (Japan) | 591,800 | 10,139,730 | |
Volvo AB, Class B (Sweden) | 187,600 | 2,992,866 | |
38,476,702 |
Number of Shares | Value | ||
Auto Parts & Equipment – 2.0% | |||
Bridgestone Corp. (Japan) | 72,000 | $ 2,639,066 | |
Continental A.G. (Germany)* | 84,275 | 5,776,302 | |
Denso Corp. (Japan) | 24,000 | 1,462,686 | |
Fuyao Glass Industry Group Co. Ltd., Class A (China) | 87,600 | 464,725 | |
Huayu Automotive Systems Co. Ltd., Class A (China) | 405,532 | 1,185,871 | |
Hyundai Mobis Co. Ltd. (South Korea) | 5,881 | 956,763 | |
Stanley Electric Co. Ltd. (Japan) | 64,500 | 1,112,181 | |
Sumitomo Electric Industries Ltd. (Japan) | 58,900 | 633,224 | |
Valeo (France) | 158,894 | 2,888,871 | |
Weichai Power Co. Ltd., Class H (China) | 752,000 | 1,050,474 | |
18,170,163 | |||
Banks – 11.4% | |||
Al Rajhi Bank (Saudi Arabia) | 20,166 | 944,699 | |
Axis Bank Ltd. (India)* | 354,407 | 3,340,835 | |
Banco Bilbao Vizcaya Argentaria S.A. (Spain) | 575,633 | 3,020,491 | |
Banco do Brasil S.A. (Brazil) | 223,200 | 1,498,850 | |
Banco Santander Chile ADR (Chile) | 27,017 | 525,210 | |
Bank Central Asia Tbk PT (Indonesia) | 1,167,800 | 654,986 | |
Bank Mandiri Persero Tbk PT (Indonesia) | 3,046,800 | 1,870,842 | |
Barclays PLC (United Kingdom) | 503,355 | 925,238 | |
BNP Paribas S.A. (France) | 158,105 | 8,197,964 | |
China Construction Bank Corp., Class H (China) | 5,218,000 | 3,717,299 | |
China Merchants Bank Co. Ltd., Class H (China) | 171,613 | 1,034,354 | |
Commercial International Bank Egypt S.A.E. GDR (Egypt)(b) | 443,065 | 994,682 | |
Credicorp Ltd. (Peru) | 3,549 | 492,921 | |
Credit Suisse Group A.G. (Switzerland)(b) | 937,507 | 6,363,162 | |
DBS Group Holdings Ltd. (Singapore) | 262,952 | 6,379,382 | |
First Abu Dhabi Bank PJSC (United Arab Emirates) | 220,331 | 1,346,082 | |
FirstRand Ltd. (South Africa) | 282,452 | 1,216,431 |
Number of Shares | Value | ||
Banks (Continued) | |||
Grupo Financiero Banorte S.A.B. de C.V., Class O (Mexico) | 287,020 | $ 1,891,759 | |
HDFC Bank Ltd. (India) | 90,450 | 1,621,573 | |
HDFC Bank Ltd. ADR (India) | 42,864 | 2,366,521 | |
HSBC Holdings PLC (United Kingdom) | 505,284 | 3,157,584 | |
ICICI Bank Ltd. ADR (India) | 220,412 | 4,196,644 | |
Intesa Sanpaolo S.p.A. (Italy) | 44,000 | 89,715 | |
Intesa Sanpaolo S.p.A. (Italian Exchange) (Italy) | 4,102,600 | 8,359,940 | |
Kasikornbank PCL (Thailand)(b) | 186,500 | 823,414 | |
Komercni banka A.S. (Czech Republic) | 13,410 | 440,384 | |
Kotak Mahindra Bank Ltd. (India) | 83,707 | 1,941,177 | |
Lloyds Banking Group PLC (United Kingdom) | 17,309,001 | 9,830,885 | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | 350,300 | 2,036,426 | |
Mizuho Financial Group, Inc. (Japan) | 55,000 | 667,849 | |
Natwest Group PLC (United Kingdom) | 939,581 | 2,520,696 | |
Nedbank Group Ltd. (South Africa) | 135,902 | 1,897,787 | |
OTP Bank Nyrt. (Hungary)* | 69,770 | 2,081,200 | |
Powszechna Kasa Oszczednosci Bank Polski S.A. (Poland)* | 62,706 | 462,805 | |
Qatar National Bank QPSC, Class B (Qatar) | 232,183 | 1,482,324 | |
Resona Holdings, Inc. (Japan) | 193,800 | 842,726 | |
Saudi National Bank (The) (Saudi Arabia) | 78,293 | 1,641,008 | |
Sberbank of Russia PJSC (Russia)(c) | 405,212 | 0 | |
Shinhan Financial Group Co. Ltd. (South Korea) | 48,113 | 1,598,536 | |
Skandinaviska Enskilda Banken AB Class A (Sweden) | 222,703 | 2,497,413 | |
Standard Bank Group Ltd. (South Africa) | 104,810 | 1,110,725 | |
Standard Chartered PLC (United Kingdom) | 385,171 | 2,633,153 | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | 104,100 | 3,145,272 | |
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 61,400 | 1,905,704 | |
103,766,648 |
Number of Shares | Value | ||
Beverages – 2.4% | |||
Ambev S.A. ADR (Brazil) | 900,126 | $ 2,619,367 | |
Anheuser-Busch InBev S.A./N.V. (Belgium) | 83,300 | 4,793,041 | |
Asahi Group Holdings Ltd. (Japan) | 21,400 | 806,627 | |
Budweiser Brewing Co. APAC Ltd. (China)(a) | 545,300 | 1,356,814 | |
Diageo PLC (United Kingdom) | 116,435 | 5,808,807 | |
Fomento Economico Mexicano S.A.B. de C.V. ADR (Mexico) | 50,429 | 3,769,063 | |
Heineken N.V. (Netherlands) | 6,112 | 596,599 | |
Kirin Holdings Co. Ltd. (Japan) | 146,900 | 2,141,468 | |
21,891,786 | |||
Building Materials – 1.2% | |||
Anhui Conch Cement Co. Ltd., Class H (China) | 282,000 | 1,532,398 | |
Daikin Industries Ltd. (Japan) | 11,500 | 1,757,404 | |
Holcim Ltd. (Switzerland)* | 117,705 | 5,755,248 | |
Hongfa Technology Co. Ltd., Class A (China)* | 59,000 | 426,721 | |
Voltas Ltd. (India) | 89,734 | 1,470,666 | |
10,942,437 | |||
Chemicals – 2.1% | |||
Air Liquide S.A. (France) | 13,782 | 2,384,401 | |
Asian Paints Ltd. (India) | 6,194 | 261,091 | |
LG Chem Ltd. (South Korea) | 2,382 | 975,585 | |
Linde PLC (United Kingdom)(d) | 8,915 | 2,796,078 | |
Nitto Denko Corp. (Japan) | 23,300 | 1,563,919 | |
Novozymes A/S, Class B (Denmark) | 33,873 | 2,361,272 | |
Shin-Etsu Chemical Co. Ltd. (Japan) | 25,100 | 3,449,606 | |
Symrise A.G. (Germany) | 26,953 | 3,207,254 | |
Toray Industries, Inc. (Japan) | 142,300 | 674,400 | |
UPL Ltd. (India) | 123,595 | 1,319,626 | |
18,993,232 | |||
Coal – 0.1% | |||
China Shenhua Energy Co. Ltd., Class H (China) | 256,000 | 817,883 | |
Commercial Services – 3.1% | |||
Adyen N.V. (Netherlands)(a)* | 2,438 | 4,089,241 |
Number of Shares | Value | ||
Commercial Services (Continued) | |||
Amadeus IT Group S.A. (Spain)* | 60,800 | $ 3,809,906 | |
Bidvest Group (The) Ltd. (South Africa) | 61,061 | 837,061 | |
Brambles Ltd. (Australia) | 339,900 | 2,509,930 | |
CCR S.A. (Brazil) | 616,260 | 1,561,856 | |
Edenred (France) | 30,100 | 1,511,687 | |
Experian PLC (United Kingdom) | 21,615 | 746,460 | |
Localiza Rent a Car S.A. (Brazil) | 48,500 | 522,479 | |
Pony Testing International Group Co. Ltd., Class A (China) | 31,600 | 283,330 | |
Recruit Holdings Co. Ltd. (Japan) | 51,100 | 1,853,990 | |
RELX PLC (United Kingdom) | 46,799 | 1,394,165 | |
Rentokil Initial PLC (United Kingdom) | 85,170 | 584,971 | |
Secom Co. Ltd. (Japan) | 20,200 | 1,421,161 | |
SGS S.A. (Switzerland)(b) | 729 | 1,873,181 | |
Worldline S.A. (France)(a)* | 132,700 | 5,220,975 | |
28,220,393 | |||
Computers – 1.0% | |||
Capgemini SE (France) | 9,700 | 1,974,717 | |
Globant S.A.* | 1,327 | 286,619 | |
Infosys Ltd. (India) | 76,766 | 1,555,831 | |
Lenovo Group Ltd. (China) | 1,544,000 | 1,499,229 | |
Quanta Computer, Inc. (Taiwan) | 555,000 | 1,563,162 | |
Sangfor Technologies, Inc., Class A (China) | 21,300 | 283,506 | |
Tata Consultancy Services Ltd. (India) | 7,662 | 353,129 | |
Wiwynn Corp. (Taiwan) | 35,000 | 1,196,847 | |
8,713,040 | |||
Cosmetics/Personal Care – 2.1% | |||
Kao Corp. (Japan) | 61,300 | 2,456,811 | |
L'Oreal S.A. (France) | 19,546 | 7,111,030 | |
Shiseido Co. Ltd. (Japan) | 49,900 | 2,358,845 | |
Unicharm Corp. (Japan) | 82,800 | 2,880,778 | |
Unilever PLC (United Kingdom) | 28,317 | 1,314,307 | |
Unilever PLC (London Exchange) (United Kingdom) | 65,156 | 3,029,110 | |
19,150,881 | |||
Distribution/Wholesale – 0.9% | |||
Bunzl PLC (United Kingdom) | 15,048 | 580,561 | |
Ferguson PLC | 3,898 | 489,001 |
Number of Shares | Value | ||
Distribution/Wholesale (Continued) | |||
ITOCHU Corp. (Japan) | 87,400 | $ 2,637,818 | |
Mitsubishi Corp. (Japan) | 65,700 | 2,205,912 | |
Mitsui & Co. Ltd. (Japan) | 88,600 | 2,145,520 | |
8,058,812 | |||
Diversified Financial Services – 2.2% | |||
B3 S.A. - Brasil Bolsa Balcao (Brazil) | 575,700 | 1,548,723 | |
Capitec Bank Holdings Ltd. (South Africa) | 5,028 | 701,857 | |
Daiwa Securities Group, Inc. (Japan) | 126,500 | 619,993 | |
HDFC Asset Management Co. Ltd. (India)(a) | 14,078 | 372,766 | |
Hong Kong Exchanges & Clearing Ltd. (Hong Kong) | 10,200 | 432,674 | |
Housing Development Finance Corp. Ltd. (India) | 74,572 | 2,151,547 | |
Japan Exchange Group, Inc. (Japan) | 40,300 | 600,083 | |
KB Financial Group, Inc. (South Korea) | 39,186 | 1,823,094 | |
London Stock Exchange Group PLC (United Kingdom) | 10,994 | 1,083,918 | |
Moscow Exchange MICEX PJSC (Russia)(c) | 83,130 | 0 | |
Network International Holdings PLC (United Arab Emirates)(a)* | 77,167 | 252,099 | |
ORIX Corp. (Japan) | 82,600 | 1,506,539 | |
Sanlam Ltd. (South Africa) | 185,013 | 766,424 | |
Saudi Tadawul Group Holding Co. (Saudi Arabia)* | 10,961 | 590,891 | |
Schroders PLC (United Kingdom) | 112,200 | 3,960,686 | |
St James's Place PLC (United Kingdom) | 44,483 | 714,824 | |
XP, Inc., Class A (Brazil)* | 108,395 | 2,667,601 | |
19,793,719 | |||
Electric – 0.5% | |||
Chubu Electric Power Co., Inc. (Japan) | 140,881 | 1,422,203 | |
Electric Power Development Co. Ltd. (Japan) | 54,651 | 748,873 | |
Engie Brasil Energia S.A. (Brazil) | 96,900 | 822,012 | |
National Grid PLC (United Kingdom) | 75,511 | 1,121,865 | |
SSE PLC (United Kingdom) | 25,591 | 594,372 | |
4,709,325 |
Number of Shares | Value | ||
Electrical Component & Equipment – 0.7% | |||
Casio Computer Co. Ltd. (Japan) | 53,100 | $ 550,639 | |
Schneider Electric S.E. | 40,041 | 5,744,646 | |
6,295,285 | |||
Electronics – 1.2% | |||
AAC Technologies Holdings, Inc. (China) | 149,153 | 348,389 | |
Hon Hai Precision Industry Co. Ltd. (Taiwan) | 428,000 | 1,466,363 | |
Hoya Corp. (Japan) | 13,600 | 1,349,693 | |
Kyocera Corp. (Japan) | 26,400 | 1,386,184 | |
Murata Manufacturing Co. Ltd. (Japan) | 42,400 | 2,527,358 | |
Nidec Corp. (Japan) | 19,900 | 1,286,517 | |
Shenzhen Inovance Technology Co. Ltd., Class A (China) | 71,700 | 616,081 | |
Silergy Corp. (China) | 5,000 | 445,162 | |
TDK Corp. (Japan) | 60,800 | 1,878,217 | |
11,303,964 | |||
Engineering & Construction – 0.1% | |||
Airports of Thailand PCL (Thailand)(b)* | 109,100 | 212,625 | |
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR (Mexico) | 3,180 | 693,940 | |
906,565 | |||
Entertainment – 0.3% | |||
Entain PLC (United Kingdom)* | 25,980 | 488,173 | |
OPAP S.A. (Greece) | 64,773 | 960,090 | |
Songcheng Performance Development Co. Ltd., Class A (China) | 431,300 | 806,289 | |
2,254,552 | |||
Food – 1.8% | |||
Associated British Foods PLC (United Kingdom) | 24,974 | 499,748 | |
Danone S.A. (France) | 63,300 | 3,827,829 | |
Jeronimo Martins SGPS S.A. (Portugal) | 11,012 | 229,233 | |
MEIJI Holdings Co. Ltd. (Japan) | 34,400 | 1,714,734 | |
Nestle S.A. ADR (Switzerland) | 39,450 | 5,074,848 | |
Seven & i Holdings Co. Ltd. (Japan) | 30,600 | 1,353,038 | |
Shoprite Holdings Ltd. (South Africa) | 25,239 | 364,553 | |
Tesco PLC (United Kingdom) | 311,863 | 1,059,499 |
Number of Shares | Value | ||
Food (Continued) | |||
Tingyi Cayman Islands Holding Corp. (China) | 590,000 | $ 1,076,846 | |
Universal Robina Corp. (Philippines) | 195,040 | 381,546 | |
X5 Retail Group N.V. GDR (Russia)(b)(c) | 26,321 | 0 | |
Yamazaki Baking Co. Ltd. (Japan) | 46,500 | 574,839 | |
16,156,713 | |||
Food Service – 0.3% | |||
Compass Group PLC (United Kingdom) | 124,957 | 2,636,824 | |
Forest Products & Paper – 0.3% | |||
Mondi PLC (Austria) | 29,818 | 560,160 | |
UPM-Kymmene OYJ (Finland) | 53,600 | 1,854,147 | |
2,414,307 | |||
Gas – 0.6% | |||
ENN Energy Holdings Ltd. (China) | 265,800 | 3,560,411 | |
ENN Natural Gas Co. Ltd., Class A (China) | 269,700 | 661,488 | |
Osaka Gas Co. Ltd. (Japan) | 76,500 | 1,378,791 | |
5,600,690 | |||
Healthcare - Products – 1.6% | |||
Alcon, Inc. (Switzerland)(d) | 47,908 | 3,411,529 | |
China Medical System Holdings Ltd. (China) | 447,000 | 639,991 | |
Hengan International Group Co. Ltd. (China) | 299,500 | 1,415,385 | |
Koninklijke Philips N.V. (Netherlands) | 82,000 | 2,142,751 | |
Olympus Corp. (Japan) | 75,200 | 1,323,605 | |
Smith & Nephew PLC (United Kingdom) | 34,803 | 564,107 | |
Sonova Holding A.G. (Switzerland)(b) | 8,323 | 3,001,491 | |
Sysmex Corp. (Japan) | 34,100 | 2,236,877 | |
14,735,736 | |||
Healthcare - Services – 1.9% | |||
Fresenius Medical Care A.G. & Co. KGaA (Germany) | 77,600 | 4,825,701 | |
Fresenius S.E. & Co. KGaA (Germany) | 142,200 | 5,026,478 | |
Life Healthcare Group Holdings Ltd. (South Africa) | 695,509 | 947,751 | |
Lonza Group A.G. (Switzerland)(b) | 7,634 | 4,501,268 |
Number of Shares | Value | ||
Healthcare - Services (Continued) | |||
Nahdi Medical Co. (Saudi Arabia)* | 22,765 | $ 1,013,585 | |
Rede D'Or Sao Luiz S.A. (Brazil)(a) | 51,524 | 385,079 | |
Wuxi Biologics Cayman, Inc. (China)(a)* | 110,500 | 815,580 | |
17,515,442 | |||
Holding Companies - Diversified – 0.1% | |||
Siam Cement (The) PCL (Thailand)(b) | 59,200 | 639,533 | |
Home Builders – 0.1% | |||
Berkeley Group Holdings (The) PLC (United Kingdom)* | 10,605 | 537,848 | |
Sekisui House Ltd. (Japan) | 38,369 | 666,391 | |
1,204,239 | |||
Home Furnishings – 1.4% | |||
Coway Co. Ltd. (South Korea) | 20,845 | 1,167,531 | |
Gree Electric Appliances, Inc. of Zhuhai, Class A (China) | 199,900 | 933,506 | |
Haier Smart Home Co. Ltd., Class A (China) | 878,900 | 3,390,114 | |
Midea Group Co. Ltd., Class A (China) | 118,500 | 1,008,328 | |
Panasonic Holdings Corp. (Japan) | 206,200 | 1,837,901 | |
Sony Group Corp. (Japan) | 54,200 | 4,677,519 | |
13,014,899 | |||
Household Products/Wares – 1.0% | |||
Henkel A.G. & Co. KGaA (Germany) | 62,300 | 3,953,629 | |
Hindustan Unilever Ltd. (India) | 12,035 | 349,661 | |
Kimberly-Clark de Mexico S.A.B. de C.V., Series A (Mexico) | 513,300 | 714,367 | |
Reckitt Benckiser Group PLC (United Kingdom) | 51,752 | 4,035,911 | |
9,053,568 | |||
Insurance – 4.4% | |||
AIA Group Ltd. (Hong Kong) | 829,800 | 8,151,756 | |
Allianz S.E. (Germany)(b) | 60,104 | 13,561,514 | |
Aviva PLC (United Kingdom) | 98,717 | 529,629 | |
BB Seguridade Participacoes S.A. (Brazil) | 438,400 | 2,239,019 | |
Dai-ichi Life Holdings, Inc. (Japan) | 74,600 | 1,493,792 |
Number of Shares | Value | ||
Insurance (Continued) | |||
HDFC Life Insurance Co. Ltd. (India)(a) | 70,484 | $ 534,438 | |
Legal & General Group PLC (United Kingdom) | 155,597 | 485,011 | |
MS&AD Insurance Group Holdings, Inc. (Japan) | 46,400 | 1,381,201 | |
Ping An Insurance Group Co. of China Ltd., Class H (China) | 704,000 | 4,449,786 | |
Prudential PLC (United Kingdom) | 379,649 | 4,726,042 | |
Sompo Holdings, Inc. (Japan) | 17,800 | 724,638 | |
Tokio Marine Holdings, Inc. (Japan) | 26,400 | 1,427,414 | |
39,704,240 | |||
Internet – 7.0% | |||
Alibaba Group Holding Ltd. (China)* | 1,032,156 | 12,589,918 | |
Alibaba Group Holding Ltd. ADR (China)* | 20,113 | 1,952,771 | |
Baidu, Inc., Class A (China)* | 151,550 | 2,416,270 | |
Coupang, Inc. (South Korea)* | 19,783 | 254,607 | |
D-MARKET Elektronik Hizmetler ve Ticaret A.S. ADR (Turkey)(d)* | 21,048 | 33,677 | |
JD.com, Inc., Class A (China)* | 110,683 | 3,450,936 | |
Meituan, Class B (China)(a)* | 191,300 | 4,098,872 | |
MercadoLibre, Inc. (Brazil)* | 577 | 561,785 | |
NAVER Corp. (South Korea) | 21,566 | 4,804,022 | |
Ozon Holdings PLC ADR (Russia)(c)* | 8,944 | 0 | |
Pinduoduo, Inc. ADR (China)* | 37,754 | 1,626,820 | |
Prosus N.V. (China)* | 161,843 | 7,805,472 | |
Sea Ltd. ADR (Taiwan)* | 5,461 | 451,952 | |
Tencent Holdings Ltd. (China) | 358,400 | 16,889,559 | |
Tencent Music Entertainment Group ADR (China)* | 257,105 | 1,092,696 | |
Trip.com Group Ltd. (China)* | 55,700 | 1,315,280 | |
Trip.com Group Ltd. ADR (China)* | 91,299 | 2,159,221 | |
Vipshop Holdings Ltd. ADR (China)* | 323,900 | 2,481,074 | |
Yandex N.V., Class A (Russia)(c)* | 41,059 | 0 | |
63,984,932 |
Number of Shares | Value | ||
Investment Management Companies – 0.6% | |||
EXOR N.V. (Netherlands) | 81,000 | $ 5,620,982 | |
Iron/Steel – 0.5% | |||
Ternium S.A. ADR (Mexico) | 7,346 | 315,144 | |
thyssenkrupp A.G. (Germany)* | 499,300 | 3,829,148 | |
Vale S.A. ADR (Brazil) | 46,579 | 786,719 | |
4,931,011 | |||
Leisure Time – 0.2% | |||
Bajaj Auto Ltd. (India) | 15,981 | 775,657 | |
Hero MotoCorp Ltd. (India) | 19,471 | 632,505 | |
1,408,162 | |||
Lodging – 0.6% | |||
Accor S.A. (France)* | 159,619 | 5,244,063 | |
InterContinental Hotels Group PLC (United Kingdom) | 8,252 | 526,806 | |
5,770,869 | |||
Machinery - Construction & Mining – 1.5% | |||
Epiroc AB, Class A (Sweden) | 168,298 | 3,411,916 | |
Hitachi Ltd. (Japan) | 44,500 | 2,110,478 | |
Komatsu Ltd. (Japan) | 272,500 | 6,133,016 | |
Mitsubishi Electric Corp. (Japan) | 232,300 | 2,433,178 | |
14,088,588 | |||
Machinery - Diversified – 3.0% | |||
Atlas Copco AB, Class A (Sweden) | 144,114 | 6,533,678 | |
CNH Industrial N.V. (United Kingdom)(d) | 359,666 | 5,095,134 | |
Daifuku Co. Ltd. (Japan) | 16,749 | 1,029,874 | |
FANUC Corp. (Japan) | 25,100 | 3,846,024 | |
Keyence Corp. (Japan) | 11,200 | 4,502,447 | |
Kubota Corp. (Japan) | 189,100 | 3,212,558 | |
Nabtesco Corp. (Japan) | 28,666 | 653,803 | |
SMC Corp. (Japan) | 4,000 | 1,936,882 | |
Sumitomo Heavy Industries Ltd. (Japan) | 33,264 | 703,913 | |
27,514,313 | |||
Media – 1.0% | |||
Grupo Televisa S.A.B. ADR (Mexico) | 274,500 | 2,533,635 | |
Informa PLC (United Kingdom)* | 410,116 | 2,909,322 | |
Liberty Global PLC, Class A (United Kingdom)* | 171,200 | 3,896,512 | |
9,339,469 |
Number of Shares | Value | ||
Metal Fabricate/Hardware – 0.7% | |||
SKF AB, Class B (Sweden) | 264,900 | $ 4,326,529 | |
Zhejiang Sanhua Intelligent Controls Co. Ltd., Class A (China) | 931,300 | 2,323,753 | |
6,650,282 | |||
Mining – 2.8% | |||
Anglo American PLC (South Africa) | 44,450 | 1,968,735 | |
BHP Group Ltd. ADR (Australia)(d) | 100,695 | 6,744,551 | |
Cameco Corp. (Canada) | 4,666 | 120,477 | |
Glencore PLC (Australia)* | 1,248,038 | 7,689,995 | |
Grupo Mexico S.A.B. de C.V., Series B (Mexico) | 265,203 | 1,242,288 | |
Rio Tinto PLC (Australia) | 99,418 | 7,024,495 | |
Sumitomo Metal Mining Co. Ltd. (Japan) | 15,300 | 671,008 | |
25,461,549 | |||
Miscellaneous Manufacturing – 1.4% | |||
Alfa Laval AB (Sweden) | 108,527 | 3,020,987 | |
Orica Ltd. (Australia) | 242,207 | 2,783,158 | |
Siemens A.G. (Germany)(b) | 27,400 | 3,368,967 | |
Smiths Group PLC (United Kingdom) | 107,213 | 1,961,923 | |
Sunny Optical Technology Group Co. Ltd. (China) | 27,200 | 396,410 | |
Toshiba Corp. (Japan) | 37,230 | 1,546,100 | |
13,077,545 | |||
Office/Business Equipment – 0.1% | |||
FUJIFILM Holdings Corp. (Japan) | 24,000 | 1,319,310 | |
Oil & Gas – 4.8% | |||
Bharat Petroleum Corp. Ltd. (India) | 142,286 | 669,594 | |
BP PLC (United Kingdom) | 1,104,637 | 5,332,962 | |
Canadian Natural Resources Ltd. (Canada) | 19,464 | 1,204,673 | |
Cenovus Energy, Inc. (Canada) | 29,461 | 544,661 | |
Chevron Corp. | 2,980 | 466,877 | |
China Petroleum & Chemical Corp., Class H (China) | 1,267,092 | 620,206 | |
Ecopetrol S.A. ADR (Colombia)(d) | 13,677 | 221,978 | |
ENEOS Holdings, Inc. (Japan) | 191,200 | 672,759 | |
Eni S.p.A. (Italy) | 74,241 | 1,037,799 | |
Equinor ASA (Norway) | 23,398 | 790,843 | |
Exxon Mobil Corp. | 15,808 | 1,347,632 |
Number of Shares | Value | ||
Oil & Gas (Continued) | |||
Galp Energia SGPS S.A. (Portugal) | 206,984 | $ 2,519,337 | |
Gazprom PJSC ADR (Russia)(c) | 210,897 | 0 | |
Imperial Oil Ltd. (Canada) | 5,308 | 267,249 | |
Inpex Corp. (Japan) | 142,000 | 1,689,541 | |
LUKOIL PJSC ADR (Russia)(c) | 13,736 | 0 | |
LUKOIL PJSC ADR (OTC Exchange) (Russia)(c) | 47,274 | 0 | |
Neste OYJ (Finland) | 15,691 | 673,282 | |
OMV A.G. (Austria) | 5,818 | 297,403 | |
Petroleo Brasileiro S.A. ADR (Brazil) | 275,256 | 3,735,224 | |
Reliance Industries Ltd. (India) | 40,965 | 1,484,263 | |
Repsol S.A. (Spain) | 38,005 | 566,954 | |
Rosneft Oil Co. PJSC GDR (Russia)(b)(c) | 210,931 | 0 | |
Santos Ltd. (Australia) | 39,404 | 220,192 | |
Shell PLC (Netherlands) | 502,848 | 13,499,405 | |
Suncor Energy, Inc. (Canada) | 29,194 | 1,049,452 | |
TotalEnergies S.E. (France) | 71,078 | 3,490,141 | |
Vibra Energia S.A. (Brazil) | 185,900 | 794,520 | |
Woodside Petroleum Ltd. (Australia) | 20,950 | 455,790 | |
43,652,737 | |||
Pharmaceuticals – 5.3% | |||
Alfresa Holdings Corp. (Japan) | 53,400 | 726,171 | |
Astellas Pharma, Inc. (Japan) | 43,000 | 654,706 | |
AstraZeneca PLC (United Kingdom) | 31,808 | 4,244,499 | |
Bayer A.G. (Germany)(b) | 140,860 | 9,278,596 | |
Chugai Pharmaceutical Co. Ltd. (Japan) | 165,700 | 4,965,228 | |
CSPC Pharmaceutical Group Ltd. (China) | 2,872,000 | 2,936,179 | |
Daiichi Sankyo Co. Ltd. (Japan) | 63,900 | 1,608,933 | |
GlaxoSmithKline PLC | 120,683 | 2,720,506 | |
Jiangsu Hengrui Medicine Co. Ltd., Class A (China) | 38,040 | 168,012 | |
Novartis A.G. (Switzerland)(b) | 53,200 | 4,701,247 | |
Ono Pharmaceutical Co. Ltd. (Japan) | 29,800 | 765,578 | |
Roche Holding A.G. (Genusschein) (Switzerland) | 22,442 | 8,321,809 |
Number of Shares | Value | ||
Pharmaceuticals (Continued) | |||
Shionogi & Co. Ltd. (Japan) | 56,600 | $ 3,148,427 | |
Sinopharm Group Co. Ltd., Class H (China) | 777,523 | 1,789,220 | |
Takeda Pharmaceutical Co. Ltd. (Japan) | 92,100 | 2,672,424 | |
48,701,535 | |||
Pipelines – 0.1% | |||
Petronet LNG Ltd (India) | 350,105 | 928,008 | |
Real Estate – 0.9% | |||
A-Living Smart City Services Co. Ltd. (China)(a) | 540,750 | 855,235 | |
China Overseas Land & Investment Ltd. (China) | 480,500 | 1,484,399 | |
China Resources Mixc Lifestyle Services Ltd. (China)(a) | 108,800 | 522,709 | |
China Vanke Co. Ltd., Class H (China) | 568,500 | 1,340,524 | |
Mitsubishi Estate Co. Ltd. (Japan) | 153,300 | 2,233,057 | |
Mitsui Fudosan Co. Ltd. (Japan) | 34,600 | 733,304 | |
Sumitomo Realty & Development Co. Ltd. (Japan) | 26,200 | 695,046 | |
7,864,274 | |||
Retail – 3.1% | |||
Alibaba Health Information Technology Ltd. (China)(d)* | 1,928,000 | 1,086,283 | |
Alimentation Couche-Tard, Inc. (Canada) | 68,773 | 3,061,634 | |
Astra International Tbk PT (Indonesia) | 2,576,400 | 1,345,245 | |
Cie Financiere Richemont S.A., Class A (Switzerland)(b) | 4,580 | 532,154 | |
Clicks Group Ltd. (South Africa) | 34,353 | 676,118 | |
CP ALL PCL (Thailand)(b) | 833,000 | 1,580,876 | |
Fast Retailing Co. Ltd. (Japan) | 3,600 | 1,657,462 | |
Hennes & Mauritz AB, Class B (Sweden)(d) | 345,268 | 4,346,607 | |
Kingfisher PLC (United Kingdom) | 164,069 | 517,403 | |
Nitori Holdings Co. Ltd. (Japan) | 18,900 | 1,944,420 | |
Raia Drogasil S.A. (Brazil) | 226,141 | 956,901 | |
Restaurant Brands International, Inc. (Canada) | 44,400 | 2,534,796 |
Number of Shares | Value | ||
Retail (Continued) | |||
SM Investments Corp. (Philippines) | 51,140 | $ 834,129 | |
Swatch Group (The) A.G. (Bearer) (Switzerland) | 9,030 | 2,317,484 | |
Wal-Mart de Mexico S.A.B. de C.V. (Mexico) | 208,601 | 739,378 | |
Yifeng Pharmacy Chain Co. Ltd., Class A (China) | 83,413 | 459,453 | |
Yum China Holdings, Inc. (China) | 3,050 | 126,256 | |
Yum China Holdings, Inc. (New York Exchange) (China) | 59,400 | 2,482,920 | |
Zhongsheng Group Holdings Ltd. (China) | 225,500 | 1,490,063 | |
28,689,582 | |||
Semiconductors – 5.1% | |||
ASE Technology Holding Co. Ltd. (Taiwan) | 556,000 | 1,773,842 | |
ASM Pacific Technology Ltd. (Hong Kong) | 107,600 | 1,084,370 | |
ASML Holding N.V. (Netherlands) | 1,076 | 610,671 | |
Globalwafers Co. Ltd. (Taiwan) | 41,000 | 714,531 | |
Infineon Technologies A.G. (Germany) | 188,955 | 5,363,152 | |
MediaTek, Inc. (Taiwan) | 44,000 | 1,212,992 | |
Novatek Microelectronics Corp. (Taiwan) | 109,000 | 1,441,914 | |
Samsung Electronics Co. Ltd. (South Korea) | 133,227 | 7,100,143 | |
Samsung Electronics Co. Ltd. GDR (South Korea)(b) | 6,134 | 8,012,609 | |
SK Hynix, Inc. (South Korea) | 34,461 | 3,019,753 | |
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | 471,945 | 8,534,021 | |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Taiwan) | 56,553 | 5,255,470 | |
Tokyo Electron Ltd. (Japan) | 4,700 | 1,983,149 | |
Vanguard International Semiconductor Corp. (Taiwan) | 110,000 | 387,039 | |
46,493,656 | |||
Software – 2.0% | |||
Dassault Systemes S.E. (France) | 69,383 | 3,068,419 |
Number of Shares | Value | ||
Software (Continued) | |||
Hundsun Technologies, Inc., Class A (China) | 179,600 | $ 1,023,659 | |
Kingdee International Software Group Co. Ltd. (China)* | 409,000 | 834,603 | |
NetEase, Inc. (China) | 68,500 | 1,312,137 | |
Nexon Co. Ltd. (Japan) | 34,500 | 785,603 | |
Open Text Corp. (Canada) | 81,400 | 3,260,055 | |
SAP S.E. (Germany) | 47,200 | 4,783,532 | |
SAP S.E. ADR (Germany) | 26,387 | 2,659,810 | |
Square Enix Holdings Co. Ltd. (Japan) | 14,600 | 582,916 | |
18,310,734 | |||
Telecommunications – 1.9% | |||
America Movil S.A.B. de C.V., Series L ADR (Mexico) | 45,475 | 883,579 | |
BT Group PLC (United Kingdom) | 236,055 | 523,473 | |
Indus Towers Ltd. (India)* | 438,269 | 1,191,487 | |
KDDI Corp. (Japan) | 89,200 | 2,953,831 | |
KT Corp. (South Korea) | 16,385 | 461,340 | |
Mobile TeleSystems PJSC ADR (Russia)(c) | 138,416 | 0 | |
Nippon Telegraph & Telephone Corp. (Japan) | 45,400 | 1,337,909 | |
Softbank Corp. (Japan) | 53,300 | 620,298 | |
SoftBank Group Corp. (Japan) | 71,600 | 2,944,925 | |
Telkom Indonesia Persero Tbk PT (Indonesia) | 11,247,600 | 3,584,460 | |
Telkom Indonesia Persero Tbk PT ADR (Indonesia) | 36,653 | 1,166,298 | |
Vodacom Group Ltd. (South Africa) | 76,817 | 739,253 | |
Vodafone Group PLC (United Kingdom) | 760,418 | 1,151,242 | |
17,558,095 | |||
Toys/Games/Hobbies – 0.3% | |||
Nintendo Co. Ltd. (Japan) | 5,600 | 2,555,788 | |
Transportation – 0.6% | |||
Canadian National Railway Co. (Canada) | 21,784 | 2,562,234 | |
East Japan Railway Co. (Japan) | 49,500 | 2,581,266 | |
5,143,500 |
Number of Shares | Value | ||
Water – 0.1% | |||
Severn Trent PLC (United Kingdom) | 14,777 | $ 580,759 | |
Total Common Stocks (Cost $896,237,551) | 866,832,327 | ||
Preferred Stocks – 0.5% | |||
Banks – 0.1% | |||
Itau Unibanco Holding S.A., 2.70% (Brazil)(e) | 189,656 | 918,368 | |
Semiconductors – 0.4% | |||
Samsung Electronics Co. Ltd., 2.38% (South Korea)(e) | 81,100 | 3,802,263 | |
Total Preferred Stocks (Cost $5,596,875) | 4,720,631 | ||
Investment Companies – 0.9% | |||
iShares MSCI South Korea ETF(d) | 122,075 | 8,135,078 | |
Total Investment Companies (Cost $8,526,698) | 8,135,078 |
Number of Shares | Value | ||
Short-Term Investments – 5.2% | |||
Money Market Fund – 5.2% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 0.32%(f)(g) | 18,453,591 | $ 18,453,591 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 0.18%(f) | 28,643,964 | 28,643,964 | |
Total Short-Term Investments (Cost $47,097,555) | 47,097,555 | ||
Total Investments – 101.6% (Cost $957,458,679) | 926,785,591 | ||
Liabilities less Other Assets – (1.6)%(h) | (14,865,823) | ||
NET ASSETS – 100.0% | $911,919,768 |
Percentages shown are based on Net Assets. |
All securities are United States companies, unless noted otherwise in parentheses. | |||
(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) | Security sold outside United States without registration under the Securities Act of 1933. | ||
(c) | Investment is valued using significant unobservable inputs (Level 3) (See Note 4 regarding investments in Russian securities). | ||
(d) | Security either partially or fully on loan. | ||
(e) | Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income. | ||
(f) | 7-day current yield as of April 30, 2022 is disclosed. | ||
(g) | Security purchased with the cash proceeds from securities loaned (See Note 7). | ||
(h) | 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 |
QPSC | Qualified Personal Service Corporation |
Concentration by Currency (%)(a) | |
Euro | 23.7 |
Japanese Yen | 18.1 |
British Pound | 11.0 |
Hong Kong Dollar | 9.1 |
U.S. Dollar | 8.7 |
All other currencies less than 5% | 29.4 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Country Diversification (%)(a) | |
Japan | 18.1 |
China | 12.4 |
United Kingdom | 10.2 |
Germany | 9.7 |
France | 5.4 |
Switzerland | 5.1 |
All other countries less than 5% | 39.1 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2022: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
06/15/22 | U.S. Dollars | 4,097,798 | Swiss Francs | 3,763,000 | Northern Trust | $219,852 |
06/15/22 | Swiss Francs | 529,000 | U.S. Dollars | 574,877 | Northern Trust | (29,718) |
Net Unrealized Appreciation | $190,134 |
Morningstar International Equity Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Common Stocks | $103,855,550 | $762,976,777 | $—* | $866,832,327 |
Preferred Stocks | 918,368 | 3,802,263 | — | 4,720,631 |
Investment Companies | 8,135,078 | — | — | 8,135,078 |
Short-Term Investments | 47,097,555 | — | — | 47,097,555 |
Total Investments | $160,006,551 | $766,779,040 | $ — | $926,785,591 |
*Includes securities determined to have no value as of April 30, 2022. |
Morningstar International Equity Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Forward Foreign Currency Exchange Contracts | $— | $219,852 | $— | $219,852 |
Total Assets - Derivative Financial Instruments | $— | $219,852 | $— | $219,852 |
Liabilities: | ||||
Forward Foreign Currency Exchange Contracts | $— | $ (29,718) | $— | $ (29,718) |
Total Liabilities - Derivative Financial Instruments | $— | $ (29,718) | $— | $ (29,718) |
Net Derivative Financial Instruments | $— | $190,134 | $— | $190,134 |
Par (a) | Value | ||
Asset-Backed Securities – 2.5% | |||
Other – 2.4% | |||
AGL CLO Ltd., Series 2021-12A, Class D, (3M USD LIBOR + 2.85%, 2.85% Floor), 3.91%, 7/20/34(b)(c) | $250,000 | $243,806 | |
Alinea CLO Ltd., Series 2018-1A, Class D, (3M USD LIBOR + 3.10%, 3.10% Floor), 4.16%, 7/20/31(b)(c) | 250,000 | 242,706 | |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R3, Class M4, (1M USD LIBOR + 0.93%, 0.93% Floor), 1.60%, 5/25/35(c) | 226,180 | 225,578 | |
Apex Credit CLO Ltd., Series 2022-1A, Class D, (3M CME Term SOFR + 4.40%), 5.89%, 4/22/33(b)(c) | 130,000 | 128,733 | |
Bain Capital Credit CLO Ltd., Series 2022-2A, Class D1, (3M CME Term SOFR + 3.65%, 3.65% Floor), 4.99%, 4/22/35(b)(c) | 250,000 | 249,386 | |
Ballyrock CLO Ltd., Series 2022-19A, Class D, (3M CME Term SOFR + 7.11%, 7.11% Floor), 8.28%, 4/20/35(b)(c) | 370,000 | 353,297 | |
Barings CLO Ltd., | |||
Series 2018-3A, Class D, (3M USD LIBOR + 2.90%), 3.96%, 7/20/29(b)(c) | 260,000 | 252,970 | |
Series 2016-2A, Class ER2, (3M USD LIBOR + 6.50%, 6.50% Floor), 7.56%, 1/20/32(b)(c) | 390,000 | 371,273 | |
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class ER, (3M USD LIBOR + 6.86%, 6.86% Floor), 8.04%, 7/25/34(b)(c) | 250,000 | 243,712 | |
Bristol Park CLO Ltd., | |||
Series 2016-1A, Class DR, (3M USD LIBOR + 2.95%, 2.95% Floor), 3.99%, 4/15/29(b)(c) | 250,000 | 245,836 |
Par (a) | Value | ||
Other (Continued) | |||
Bristol Park CLO Ltd., | |||
Series 2016-1A, Class ER, (3M USD LIBOR + 7.00%, 7.00% Floor), 8.05%, 4/15/29(b)(c) | $350,000 | $ 348,677 | |
Buckhorn Park CLO Ltd., Series 2019-1A, Class DR, (3M USD LIBOR + 3.10%, 3.10% Floor), 4.14%, 7/18/34(b)(c) | 250,000 | 242,624 | |
Hildene Community Funding CDO Ltd., Series 2015-1A, Class ARR, 2.60%, 11/01/35(b) | 250,000 | 229,049 | |
Jay Park CLO Ltd., Series 2016-1A, Class DR, (3M USD LIBOR + 5.20%, 5.20% Floor), 6.26%, 10/20/27(b)(c) | 590,000 | 571,674 | |
JP Morgan Mortgage Acquisition Trust, Series 2007-CH4, Class M1, (1M USD LIBOR + 0.23%, 0.23% Floor), 0.90%, 5/25/37(c) | 270,000 | 260,842 | |
KKR CLO 40 Ltd., Series 40A, Class D, (3M CME Term SOFR + 3.90%, 3.90% Floor), 10/20/34(b)(c)(d) | 300,000 | 298,051 | |
KKR CLO Ltd., Series 29A, Class D, (3M USD LIBOR + 3.40%, 3.40% Floor), 4.45%, 1/15/32(b)(c) | 250,000 | 249,287 | |
Nassau Ltd., Series 2021-IA, Class D, (3M USD LIBOR + 3.75%, 3.75% Floor), 4.80%, 8/26/34(b)(c) | 250,000 | 236,523 | |
Oaktree CLO Ltd., Series 2022-1A, Class E, (3M CME Term SOFR + 7.76%, 7.76% Floor), 5/15/33(b)(c)(d) | 487,000 | 467,051 | |
Ocean Trails CLO IX, Series 2020-9A, Class DR, (3M USD LIBOR + 3.75%, 3.75% Floor), 4.80%, 10/15/34(b)(c) | 280,000 | 277,937 | |
Voya CLO Ltd., Series 2020-3A, Class DR, (3M USD LIBOR + 3.25%, 3.25% Floor), 4.31%, 10/20/34(b)(c) | 260,000 | 258,227 | |
5,997,239 |
Par (a) | Value | ||
Student Loan – 0.1% | |||
National Collegiate Student Loan Trust, Series 2007-2, Class A4, (1M USD LIBOR + 0.29%), 0.96%, 1/25/33(c) | $202,182 | $ 189,070 | |
Total Asset-Backed Securities (Cost $6,215,828) | 6,186,309 |
Number of Shares | |||
Common Stocks – 46.1% | |||
Advertising – 0.1% | |||
WPP PLC (United Kingdom) | 9,947 | 123,988 | |
Aerospace/Defense – 2.0% | |||
BAE Systems PLC (United Kingdom) | 26,270 | 242,647 | |
Raytheon Technologies Corp. | 50,300 | 4,773,973 | |
5,016,620 | |||
Agriculture – 3.0% | |||
Altria Group, Inc. | 62,350 | 3,464,789 | |
British American Tobacco PLC (United Kingdom) | 10,368 | 434,547 | |
British American Tobacco PLC ADR (United Kingdom) | 84,851 | 3,545,075 | |
7,444,411 | |||
Auto Manufacturers – 1.7% | |||
Toyota Motor Corp. ADR (Japan)(e) | 17,870 | 3,055,770 | |
Volvo AB, Class B (Sweden)(f) | 73,929 | 1,179,422 | |
4,235,192 | |||
Auto Parts & Equipment – 0.2% | |||
Cie Generale des Etablissements Michelin S.C.A. (France) | 4,396 | 544,489 | |
Banks – 4.9% | |||
ABN AMRO Bank N.V. - CVA (Netherlands)(b) | 3,667 | 45,585 | |
Banco Bilbao Vizcaya Argentaria S.A. (Spain) | 20,220 | 106,099 | |
Banco Santander S.A. (Spain) | 55,634 | 162,582 | |
Barclays PLC (United Kingdom) | 132,021 | 242,673 | |
BNP Paribas S.A. (France) | 52,225 | 2,707,939 | |
CaixaBank S.A. (Spain) | 14,343 | 46,298 | |
Credit Suisse Group A.G. (Switzerland)(f) | 5,959 | 40,446 |
Number of Shares | Value | ||
Banks (Continued) | |||
DNB Bank ASA (Norway) | 2,221 | $ 43,037 | |
Erste Group Bank A.G. (Austria) | 1,809 | 56,325 | |
HSBC Holdings PLC (United Kingdom) | 146,184 | 913,522 | |
ING Groep N.V. (Netherlands) | 16,606 | 157,329 | |
Intesa Sanpaolo S.p.A. (Italy) | 34,316 | 69,926 | |
JPMorgan Chase & Co. | 25,280 | 3,017,421 | |
KBC Group N.V. (Belgium) | 633 | 43,064 | |
Lloyds Banking Group PLC (United Kingdom) | 658,041 | 373,743 | |
Natwest Group PLC (United Kingdom) | 66,129 | 177,410 | |
Nordea Bank Abp (Finland) | 8,955 | 89,282 | |
Skandinaviska Enskilda Banken AB Class A (Sweden) | 6,320 | 70,873 | |
Standard Chartered PLC (United Kingdom) | 29,957 | 204,796 | |
Svenska Handelsbanken AB, Class A (Sweden)(f) | 318,031 | 3,207,762 | |
Swedbank AB, Class A (Sweden) | 5,933 | 93,856 | |
UBS Group A.G. (Switzerland)(f) | 10,591 | 179,800 | |
UniCredit S.p.A. (Italy) | 4,865 | 45,026 | |
12,094,794 | |||
Beverages – 0.2% | |||
Diageo PLC (United Kingdom) | 10,039 | 500,834 | |
Building Materials – 1.2% | |||
Cie de Saint-Gobain (France) | 17,997 | 1,049,913 | |
Xinyi Glass Holdings Ltd. (Hong Kong)(e) | 888,345 | 1,965,740 | |
3,015,653 | |||
Commercial Services – 0.2% | |||
Experian PLC (United Kingdom) | 4,102 | 141,660 | |
RELX PLC (United Kingdom) | 8,697 | 259,088 | |
Rentokil Initial PLC (United Kingdom) | 15,987 | 109,803 | |
510,551 | |||
Computers – 0.6% | |||
Quanta Computer, Inc. (Taiwan) | 509,400 | 1,434,729 |
Number of Shares | Value | ||
Cosmetics/Personal Care – 0.2% | |||
Unilever PLC (United Kingdom) | 11,604 | $ 539,471 | |
Distribution/Wholesale – 0.1% | |||
Bunzl PLC (United Kingdom) | 2,826 | 109,029 | |
Ferguson PLC | 697 | 87,438 | |
196,467 | |||
Diversified Financial Services – 0.3% | |||
Deutsche Boerse A.G. (Germany) | 738 | 128,482 | |
Julius Baer Group Ltd. (Switzerland) | 1,281 | 61,216 | |
London Stock Exchange Group PLC (United Kingdom) | 3,413 | 336,494 | |
St James's Place PLC (United Kingdom) | 10,518 | 169,020 | |
695,212 | |||
Electric – 1.9% | |||
Duke Energy Corp. | 31,140 | 3,430,382 | |
Enel S.p.A. (Italy) | 134,675 | 875,777 | |
National Grid PLC (United Kingdom) | 13,448 | 199,797 | |
SSE PLC (United Kingdom) | 4,922 | 114,318 | |
4,620,274 | |||
Entertainment – 1.7% | |||
Entain PLC (United Kingdom)* | 4,740 | 89,066 | |
OPAP S.A. (Greece) | 269,310 | 3,991,817 | |
4,080,883 | |||
Food – 1.2% | |||
Associated British Foods PLC (United Kingdom) | 4,018 | 80,403 | |
Tesco PLC (United Kingdom) | 863,913 | 2,934,989 | |
3,015,392 | |||
Food Service – 0.1% | |||
Compass Group PLC (United Kingdom) | 8,994 | 189,790 | |
Forest Products & Paper – 1.1% | |||
Smurfit Kappa Group PLC (Ireland) | 26,715 | 1,128,863 | |
UPM-Kymmene OYJ (Finland) | 41,965 | 1,451,665 | |
2,580,528 | |||
Healthcare - Products – 0.0%(g) | |||
Smith & Nephew PLC (United Kingdom) | 6,145 | 99,602 |
Number of Shares | Value | ||
Healthcare - Services – 0.2% | |||
Sonic Healthcare Ltd. (Australia) | 19,484 | $ 503,198 | |
Home Builders – 0.5% | |||
Berkeley Group Holdings (The) PLC (United Kingdom)* | 1,976 | 100,216 | |
Persimmon PLC (United Kingdom) | 43,023 | 1,120,503 | |
1,220,719 | |||
Household Products/Wares – 0.1% | |||
Reckitt Benckiser Group PLC (United Kingdom) | 3,711 | 289,405 | |
Insurance – 2.4% | |||
Allianz S.E. (Germany)(f) | 1,546 | 348,830 | |
Assicurazioni Generali S.p.A. (Italy)(e) | 2,518 | 47,674 | |
Aviva PLC (United Kingdom) | 35,730 | 191,696 | |
AXA S.A. (France) | 6,941 | 183,624 | |
Hannover Rueck S.E. (Germany) | 266 | 41,345 | |
Legal & General Group PLC (United Kingdom) | 54,842 | 170,948 | |
Muenchener Rueckversicherungs-Gesellschaft A.G. in Muenchen (Germany)(f) | 443 | 105,496 | |
Prudential PLC (United Kingdom) | 21,209 | 264,019 | |
Sampo OYJ, Class A (Finland)(f) | 1,063 | 51,617 | |
Swiss Life Holding A.G. (Switzerland)(f) | 123 | 71,920 | |
Swiss Re A.G. | 993 | 81,433 | |
Tryg A/S (Denmark) | 2,261 | 53,760 | |
Zurich Insurance Group A.G. (Switzerland) | 9,376 | 4,268,611 | |
5,880,973 | |||
Investment Companies – 0.1% | |||
Investor AB, Class B (Sweden)(f) | 6,237 | 120,018 | |
Kinnevik AB, Class B (Sweden)* | 2,096 | 41,024 | |
161,042 | |||
Iron/Steel – 1.5% | |||
Vale S.A. (Brazil) | 214,972 | 3,654,213 | |
Lodging – 0.0%(g) | |||
InterContinental Hotels Group PLC (United Kingdom) | 1,529 | 97,611 |
Number of Shares | Value | ||
Media – 0.0%(g) | |||
Informa PLC (United Kingdom)* | 12,857 | $ 91,206 | |
Mining – 1.8% | |||
Anglo American PLC (South Africa) | 4,900 | 217,026 | |
Cameco Corp. (Canada) | 390 | 10,070 | |
Glencore PLC (Australia)* | 33,990 | 209,435 | |
Rio Tinto Ltd. (Australia) | 46,186 | 3,653,492 | |
Rio Tinto PLC (Australia) | 5,765 | 407,333 | |
4,497,356 | |||
Miscellaneous Manufacturing – 0.0%(g) | |||
Smiths Group PLC (United Kingdom) | 5,112 | 93,546 | |
Oil & Gas – 4.4% | |||
BP PLC (United Kingdom) | 133,840 | 646,152 | |
Canadian Natural Resources Ltd. (Canada) | 1,620 | 100,265 | |
Cenovus Energy, Inc. (Canada) | 2,465 | 45,572 | |
Chevron Corp. | 237 | 37,131 | |
China Petroleum & Chemical Corp., Class H (China) | 104,000 | 50,905 | |
Ecopetrol S.A. ADR (Colombia)(e) | 1,144 | 18,567 | |
Eni S.p.A. (Italy) | 6,108 | 85,382 | |
Equinor ASA (Norway) | 1,902 | 64,287 | |
Exxon Mobil Corp. | 1,397 | 119,094 | |
Galp Energia SGPS S.A. (Portugal) | 1,691 | 20,582 | |
Gazprom PJSC ADR (Russia)(h) | 16,890 | 0 | |
Imperial Oil Ltd. (Canada) | 444 | 22,355 | |
Inpex Corp. (Japan) | 1,300 | 15,468 | |
LUKOIL PJSC ADR (Russia)(h) | 1,232 | 0 | |
Neste OYJ (Finland) | 1,403 | 60,201 | |
OMV A.G. (Austria) | 553 | 28,268 | |
Petroleo Brasileiro S.A. (Brazil) | 640,650 | 4,360,455 | |
Petroleo Brasileiro S.A. ADR (Brazil) | 7,673 | 104,123 | |
Repsol S.A. (Spain) | 3,422 | 51,049 | |
Rosneft Oil Co. PJSC GDR (Russia)(f)(h) | 17,410 | 0 | |
Santos Ltd. (Australia) | 3,273 | 18,290 | |
Shell PLC (Netherlands) | 45,918 | 1,232,710 | |
Suncor Energy, Inc. (Canada) | 2,443 | 87,820 | |
TotalEnergies S.E. (France) | 5,906 | 290,002 |
Number of Shares | Value | ||
Oil & Gas (Continued) | |||
TotalEnergies S.E. ADR (France) | 69,405 | $ 3,380,717 | |
Woodside Petroleum Ltd. (Australia) | 1,740 | 37,856 | |
10,877,251 | |||
Pharmaceuticals – 4.9% | |||
AstraZeneca PLC (United Kingdom) | 5,662 | 755,544 | |
GlaxoSmithKline PLC | 22,503 | 507,276 | |
Merck & Co., Inc. | 41,820 | 3,709,016 | |
Novartis A.G. ADR (Switzerland) | 50,930 | 4,483,368 | |
Sanofi ADR (France) | 51,520 | 2,691,920 | |
12,147,124 | |||
Pipelines – 1.5% | |||
Antero Midstream Corp. | 10,091 | 103,635 | |
Cheniere Energy, Inc. | 4,720 | 641,023 | |
Enbridge, Inc. (Canada) | 15,238 | 664,961 | |
Equitrans Midstream Corp. | 18,140 | 142,580 | |
Kinder Morgan, Inc. | 29,462 | 534,735 | |
ONEOK, Inc. | 3,867 | 244,897 | |
Pembina Pipeline Corp. (Canada) | 4,279 | 161,914 | |
Targa Resources Corp. | 1,400 | 102,774 | |
TC Energy Corp. (Canada) | 9,461 | 500,428 | |
Williams (The) Cos., Inc. | 13,979 | 479,340 | |
3,576,287 | |||
Real Estate Investment Trusts – 3.2% | |||
PLA Administradora Industrial S. de R.L. de C.V. (Mexico) | 2,588,313 | 3,441,106 | |
PowerGrid Infrastructure Investment Trust (India)(b) | 2,371,000 | 4,326,146 | |
7,767,252 | |||
Retail – 0.0%(g) | |||
Kingfisher PLC (United Kingdom) | 24,869 | 78,426 | |
Semiconductors – 0.3% | |||
MediaTek, Inc. (Taiwan) | 30,000 | 827,040 | |
Telecommunications – 4.5% | |||
BCE, Inc. (Canada)(e) | 66,385 | 3,529,691 | |
BT Group PLC (United Kingdom) | 40,036 | 88,783 | |
Cisco Systems, Inc. | 63,750 | 3,122,475 | |
Softbank Corp. (Japan) | 350,385 | 4,077,733 | |
Vodafone Group PLC (United Kingdom) | 135,455 | 205,073 | |
11,023,755 |
Number of Shares | Value | ||
Transportation – 0.0%(g) | |||
Poste Italiane S.p.A. (Italy)(b) | 4,255 | $ 41,695 | |
Water – 0.0%(g) | |||
Severn Trent PLC (United Kingdom) | 2,802 | 110,123 | |
Total Common Stocks (Cost $114,001,801) | 113,877,102 |
Par (a) | |||
Corporate Bonds – 12.1% | |||
Advertising – 0.1% | |||
Clear Channel Outdoor Holdings, Inc., 7.50%, 6/01/29(b) | $250,000 | 235,925 | |
Aerospace/Defense – 0.5% | |||
Boeing (The) Co., | |||
2.20%, 2/04/26 | 50,000 | 45,604 | |
3.25%, 2/01/35 | 280,000 | 224,249 | |
5.81%, 5/01/50 | 100,000 | 100,006 | |
5.93%, 5/01/60 | 140,000 | 138,620 | |
TransDigm, Inc., 8.00%, 12/15/25(b) | 480,000 | 499,594 | |
Triumph Group, Inc., 7.75%, 8/15/25 | 260,000 | 252,850 | |
1,260,923 | |||
Agriculture – 0.0%(g) | |||
Altria Group, Inc., 5.95%, 2/14/49 | 80,000 | 78,120 | |
Airlines – 0.5% | |||
American Airlines, Inc., 11.75%, 7/15/25(b) | 130,000 | 149,500 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 4/20/29(b) | 200,000 | 192,715 | |
Delta Air Lines, Inc., 7.00%, 5/01/25(b) | 70,000 | 74,928 | |
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28(b) | 380,000 | 375,568 | |
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 1/20/26(b) | 150,000 | 146,272 |
Par (a) | Value | ||
Airlines (Continued) | |||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 6/20/27(b) | $220,000 | $ 224,396 | |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 9/20/25(b) | 130,000 | 137,281 | |
United Airlines Pass Through Trust, Series 2020-1, Class B, 4.88%, 1/15/26 | 49,800 | 47,995 | |
1,348,655 | |||
Auto Manufacturers – 0.8% | |||
Ford Motor Co., 3.25%, 2/12/32 | 280,000 | 227,556 | |
Ford Motor Credit Co. LLC, | |||
4.95%, 5/28/27 | 200,000 | 194,782 | |
2.90%, 2/16/28 | 200,000 | 171,500 | |
5.11%, 5/03/29 | 200,000 | 189,500 | |
4.00%, 11/13/30 | 600,000 | 519,000 | |
General Motors Co., 6.13%, 10/01/25 | 80,000 | 84,448 | |
PM General Purchaser LLC, 9.50%, 10/01/28(b) | 480,000 | 463,200 | |
1,849,986 | |||
Auto Parts & Equipment – 0.1% | |||
Clarios Global L.P./Clarios U.S. Finance Co., 8.50%, 5/15/27(b) | 250,000 | 249,845 | |
Banks – 0.1% | |||
JPMorgan Chase & Co., (SOFR + 1.56%), 4.32%, 4/26/28(i) | 180,000 | 179,196 | |
Wells Fargo & Co., (SOFR + 4.50%), 5.01%, 4/04/51(i) | 80,000 | 83,202 | |
262,398 | |||
Building Materials – 0.1% | |||
Builders FirstSource, Inc., 4.25%, 2/01/32(b) | 160,000 | 136,600 | |
SRM Escrow Issuer LLC, 6.00%, 11/01/28(b) | 160,000 | 153,600 | |
290,200 | |||
Commercial Services – 0.7% | |||
Adtalem Global Education, Inc., 5.50%, 3/01/28(b)(e) | 63,000 | 57,842 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp., | |||
6.62%, 7/15/26(b) | 100,000 | 96,644 |
Par (a) | Value | ||
Commercial Services (Continued) | |||
Allied Universal Holdco LLC/Allied Universal Finance Corp., | |||
6.00%, 6/01/29(b) | $200,000 | $ 165,500 | |
Carriage Services, Inc., 4.25%, 5/15/29(b) | 140,000 | 121,800 | |
CoreCivic, Inc., 8.25%, 4/15/26 | 430,000 | 441,704 | |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, 2/01/26(b) | 160,000 | 150,152 | |
Paysafe Finance PLC/Paysafe Holdings U.S. Corp., 4.00%, 6/15/29(b)(e) | 120,000 | 97,800 | |
Rent-A-Center, Inc., 6.37%, 2/15/29(b)(e) | 170,000 | 146,649 | |
United Rentals North America, Inc., 3.88%, 2/15/31 | 470,000 | 414,446 | |
ZipRecruiter, Inc., 5.00%, 1/15/30(b)(e) | 60,000 | 56,100 | |
1,748,637 | |||
Computers – 0.1% | |||
NCR Corp., 5.13%, 4/15/29(b) | 180,000 | 171,450 | |
Distribution/Wholesale – 0.1% | |||
H&E Equipment Services, Inc., 3.88%, 12/15/28(b) | 150,000 | 130,657 | |
Diversified Financial Services – 0.4% | |||
Aviation Capital Group LLC, 5.50%, 12/15/24(b) | 80,000 | 81,199 | |
Burford Capital Global Finance LLC, 6.87%, 4/15/30(b) | 200,000 | 194,850 | |
Coinbase Global, Inc., 3.63%, 10/01/31(b) | 140,000 | 103,422 | |
Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29(b) | 180,000 | 166,684 | |
LD Holdings Group LLC, 6.12%, 4/01/28(b) | 130,000 | 98,150 | |
Midcap Financial Issuer Trust, 6.50%, 5/01/28(b) | 200,000 | 172,500 | |
Navient Corp., 5.63%, 8/01/33 | 50,000 | 39,500 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.00%, 10/15/33(b) | 90,000 | 72,103 | |
928,408 |
Par (a) | Value | ||
Electric – 0.0%(g) | |||
NRG Energy, Inc., 3.63%, 2/15/31(b) | $ 10,000 | $ 8,325 | |
Energy - Alternate Sources – 0.2% | |||
Sunnova Energy Corp., 5.88%, 9/01/26(b)(e) | 410,000 | 375,150 | |
Entertainment – 0.2% | |||
AMC Entertainment Holdings, Inc., 10.00%, 6/15/26(b) | 170,000 | 142,387 | |
Boyne USA, Inc., 4.75%, 5/15/29(b) | 360,000 | 333,900 | |
476,287 | |||
Environmental Control – 0.1% | |||
Madison IAQ LLC, 5.88%, 6/30/29(b) | 193,000 | 157,295 | |
Food – 0.1% | |||
Kraft Heinz Foods Co., 4.38%, 6/01/46 | 160,000 | 140,182 | |
Simmons Foods, Inc., 4.62%, 3/01/29(b) | 150,000 | 135,355 | |
275,537 | |||
Food Service – 0.0%(g) | |||
TKC Holdings, Inc., 10.50%, 5/15/29(b) | 70,000 | 67,375 | |
Healthcare - Products – 0.1% | |||
Mozart Debt Merger Sub, Inc., 3.88%, 4/01/29(b) | 220,000 | 192,227 | |
Healthcare - Services – 0.4% | |||
Akumin Escrow, Inc., 7.50%, 8/01/28(b) | 150,000 | 119,063 | |
Centene Corp., 4.25%, 12/15/27 | 80,000 | 77,600 | |
CHS/Community Health Systems, Inc., 6.13%, 4/01/30(b)(e) | 400,000 | 329,000 | |
Radiology Partners, Inc., 9.25%, 2/01/28(b) | 200,000 | 190,000 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/01/26(b) | 150,000 | 154,135 | |
US Renal Care, Inc., 10.62%, 7/15/27(b) | 150,000 | 129,375 | |
999,173 | |||
Home Builders – 0.0%(g) | |||
MDC Holdings, Inc., 6.00%, 1/15/43 | 50,000 | 46,963 |
Par (a) | Value | ||
Insurance – 0.2% | |||
Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc., 7.62%, 10/15/25(b)(j) | $400,000 | $ 406,000 | |
NMI Holdings, Inc., 7.38%, 6/01/25(b) | 150,000 | 156,375 | |
562,375 | |||
Internet – 0.1% | |||
Photo Holdings Merger Sub, Inc., 8.50%, 10/01/26(b) | 130,000 | 120,250 | |
Leisure Time – 0.6% | |||
Carnival Corp., 9.87%, 8/01/27(b) | 710,000 | 765,199 | |
Carnival PLC, 7.87%, 6/01/27 | 410,000 | 444,115 | |
NCL Corp. Ltd., 5.88%, 2/15/27(b) | 220,000 | 209,713 | |
Royal Caribbean Cruises Ltd., 9.13%, 6/15/23(b) | 130,000 | 134,204 | |
VOC Escrow Ltd., 5.00%, 2/15/28(b) | 20,000 | 18,050 | |
1,571,281 | |||
Lodging – 0.0%(g) | |||
Full House Resorts, Inc., 8.25%, 2/15/28(b) | 40,000 | 39,608 | |
Las Vegas Sands Corp., 3.50%, 8/18/26 | 80,000 | 72,898 | |
112,506 | |||
Machinery - Construction & Mining – 0.1% | |||
Vertiv Group Corp., 4.13%, 11/15/28(b) | 350,000 | 304,938 | |
Machinery - Diversified – 0.1% | |||
Granite U.S. Holdings Corp., 11.00%, 10/01/27(b) | 240,000 | 247,800 | |
Media – 0.9% | |||
CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, 5/01/32 | 370,000 | 311,227 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 5.13%, 7/01/49 | 70,000 | 60,111 | |
CSC Holdings LLC, | |||
6.50%, 2/01/29(b) | 400,000 | 380,000 | |
5.75%, 1/15/30(b) | 200,000 | 166,000 | |
4.50%, 11/15/31(b) | 200,000 | 164,274 |
Par (a) | Value | ||
Media (Continued) | |||
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 8/15/27(b) | $270,000 | $ 254,138 | |
DISH DBS Corp., | |||
5.75%, 12/01/28(b) | 150,000 | 134,172 | |
5.12%, 6/01/29 | 240,000 | 187,466 | |
Gannett Holdings LLC, 6.00%, 11/01/26(b) | 170,000 | 154,700 | |
Liberty Interactive LLC, 8.25%, 2/01/30 | 120,000 | 105,960 | |
Time Warner Cable LLC, 6.75%, 6/15/39 | 90,000 | 96,005 | |
Univision Communications, Inc., 9.50%, 5/01/25(b) | 120,000 | 125,080 | |
2,139,133 | |||
Metal Fabricate/Hardware – 0.1% | |||
Park-Ohio Industries, Inc., 6.63%, 4/15/27(e) | 430,000 | 322,500 | |
Mining – 0.0%(g) | |||
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 60,000 | 59,974 | |
Oil & Gas – 2.1% | |||
Berry Petroleum Co. LLC, 7.00%, 2/15/26(b) | 550,000 | 533,500 | |
Colgate Energy Partners III LLC, 5.88%, 7/01/29(b) | 420,000 | 417,900 | |
Continental Resources, Inc., 5.75%, 1/15/31(b) | 170,000 | 173,798 | |
Devon Energy Corp., 5.00%, 6/15/45 | 170,000 | 165,491 | |
Diamondback Energy, Inc., 3.13%, 3/24/31 | 250,000 | 223,093 | |
Endeavor Energy Resources L.P./EER Finance, Inc., 5.75%, 1/30/28(b) | 160,000 | 160,413 | |
EQT Corp., 7.50%, 2/01/30 | 150,000 | 166,138 | |
Hilcorp Energy I L.P./Hilcorp Finance Co., 6.25%, 4/15/32(b) | 120,000 | 116,917 | |
Northern Oil and Gas, Inc., 8.13%, 3/01/28(b) | 220,000 | 218,900 | |
Oasis Petroleum, Inc., 6.37%, 6/01/26(b) | 260,000 | 261,264 | |
Occidental Petroleum Corp., | |||
7.20%, 3/15/29 | 60,000 | 64,800 | |
6.62%, 9/01/30 | 420,000 | 455,175 | |
4.50%, 7/15/44 | 70,000 | 60,200 |
Par (a) | Value | ||
Oil & Gas (Continued) | |||
Penn Virginia Holdings LLC, 9.25%, 8/15/26(b) | $260,000 | $ 266,500 | |
Range Resources Corp., | |||
8.25%, 1/15/29 | 420,000 | 450,324 | |
4.75%, 2/15/30(b)(e) | 200,000 | 190,773 | |
Southwestern Energy Co., | |||
7.75%, 10/01/27 | 675,000 | 704,389 | |
8.38%, 9/15/28 | 60,000 | 64,875 | |
4.75%, 2/01/32 | 150,000 | 141,845 | |
Viper Energy Partners L.P., 5.38%, 11/01/27(b) | 250,000 | 248,920 | |
5,085,215 | |||
Packaging & Containers – 0.0%(g) | |||
Pactiv LLC, 8.38%, 4/15/27 | 50,000 | 49,368 | |
Pharmaceuticals – 0.5% | |||
AdaptHealth LLC, 4.63%, 8/01/29(b) | 220,000 | 186,450 | |
Bausch Health Americas, Inc., 8.50%, 1/31/27(b) | 20,000 | 18,926 | |
Bausch Health Cos., Inc., | |||
5.50%, 11/01/25(b) | 40,000 | 38,700 | |
6.12%, 2/01/27(b) | 90,000 | 86,410 | |
Endo Dac/Endo Finance LLC/Endo Finco, Inc., 9.50%, 7/31/27(b)(e) | 150,000 | 118,362 | |
Endo Luxembourg Finance Co. I S.a.r.l./Endo U.S., Inc., 6.12%, 4/01/29(b) | 430,000 | 374,100 | |
Option Care Health, Inc., 4.38%, 10/31/29(b) | 360,000 | 323,629 | |
1,146,577 | |||
Pipelines – 1.3% | |||
Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.62%, 12/15/25(b) | 220,000 | 226,600 | |
DCP Midstream L.P., (3M USD LIBOR + 5.15%), 7.37%, 12/15/22(i)(k) | 200,000 | 190,000 | |
DCP Midstream Operating L.P., 6.75%, 9/15/37(b) | 200,000 | 224,602 | |
Energy Transfer L.P., | |||
5.50%, 6/01/27 | 40,000 | 41,409 | |
(5Y US Treasury CMT + 5.31%), 7.12%, 5/15/30(i)(k) | 70,000 | 66,052 | |
5.35%, 5/15/45 | 90,000 | 82,426 | |
Enterprise Products Operating LLC, | |||
3.70%, 1/31/51 | 50,000 | 40,517 |
Par (a) | Value | ||
Pipelines (Continued) | |||
Enterprise Products Operating LLC, | |||
3.95%, 1/31/60 | $ 30,000 | $ 24,310 | |
EQM Midstream Partners L.P., 4.75%, 1/15/31(b) | 150,000 | 133,740 | |
Genesis Energy L.P./Genesis Energy Finance Corp., 5.63%, 6/15/24 | 120,000 | 117,300 | |
Howard Midstream Energy Partners LLC, 6.75%, 1/15/27(b) | 130,000 | 125,952 | |
Plains All American Pipeline L.P., (3M USD LIBOR + 4.11%), 6.12%, 11/15/22(i)(k) | 60,000 | 49,950 | |
Rockies Express Pipeline LLC, 7.50%, 7/15/38(b) | 100,000 | 98,700 | |
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 8.50%, 10/15/26(b) | 120,000 | 112,036 | |
Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp., 6.00%, 12/31/30(b) | 80,000 | 74,000 | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 4.88%, 2/01/31 | 250,000 | 240,313 | |
Transcontinental Gas Pipe Line Co. LLC, 4.60%, 3/15/48 | 100,000 | 94,335 | |
Venture Global Calcasieu Pass LLC, | |||
4.13%, 8/15/31(b) | 210,000 | 190,575 | |
3.88%, 11/01/33(b) | 370,000 | 321,918 | |
Western Midstream Operating L.P., | |||
5.45%, 4/01/44 | 340,000 | 310,250 | |
5.30%, 3/01/48 | 410,000 | 355,675 | |
Williams (The) Cos., Inc., 8.75%, 3/15/32 | 30,000 | 38,818 | |
3,159,478 | |||
Real Estate – 0.2% | |||
Five Point Operating Co. L.P./Five Point Capital Corp., 7.87%, 11/15/25(b) | 270,000 | 267,883 | |
Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 1/15/29(b)(e) | 210,000 | 176,037 | |
443,920 |
Par (a) | Value | ||
Real Estate Investment Trusts – 0.2% | |||
Apollo Commercial Real Estate Finance, Inc., 4.62%, 6/15/29(b) | $140,000 | $ 121,800 | |
Diversified Healthcare Trust, | |||
9.75%, 6/15/25 | 150,000 | 157,125 | |
4.75%, 2/15/28 | 40,000 | 34,090 | |
Service Properties Trust, 5.50%, 12/15/27 | 150,000 | 136,500 | |
449,515 | |||
Retail – 0.5% | |||
Bath & Body Works, Inc., | |||
5.25%, 2/01/28 | 150,000 | 144,000 | |
6.63%, 10/01/30(b) | 70,000 | 69,622 | |
Bed Bath & Beyond, Inc., 5.17%, 8/01/44 | 230,000 | 127,263 | |
Carrols Restaurant Group, Inc., 5.87%, 7/01/29(b) | 70,000 | 53,025 | |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., | |||
4.63%, 1/15/29(b) | 40,000 | 36,290 | |
6.75%, 1/15/30(b)(e) | 40,000 | 34,605 | |
FirstCash, Inc., 5.63%, 1/01/30(b) | 180,000 | 167,400 | |
Guitar Center, Inc., 8.50%, 1/15/26(b) | 340,000 | 340,748 | |
Macy's Retail Holdings LLC, | |||
5.87%, 3/15/30(b)(e) | 60,000 | 56,301 | |
6.12%, 3/15/32(b) | 50,000 | 46,250 | |
Michaels (The) Cos., Inc., 7.87%, 5/01/29(b)(e) | 170,000 | 133,875 | |
Party City Holdings, Inc., 8.75%, 2/15/26(b)(e) | 120,000 | 110,250 | |
1,319,629 | |||
Software – 0.3% | |||
Clarivate Science Holdings Corp., 4.87%, 7/01/29(b)(e) | 80,000 | 70,502 | |
Minerva Merger Sub, Inc., 6.50%, 2/15/30(b) | 270,000 | 248,519 | |
Rackspace Technology Global, Inc., 3.50%, 2/15/28(b)(e) | 70,000 | 60,541 | |
Rocket Software, Inc., 6.50%, 2/15/29(b) | 150,000 | 128,437 |
Par (a) | Value | ||
Software (Continued) | |||
Ziff Davis, Inc., 4.63%, 10/15/30(b) | $210,000 | $ 187,255 | |
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 2/01/29(b) | 70,000 | 61,949 | |
757,203 | |||
Telecommunications – 0.3% | |||
CommScope, Inc., | |||
8.25%, 3/01/27(b) | 40,000 | 34,000 | |
4.75%, 9/01/29(b) | 170,000 | 142,135 | |
LogMeIn, Inc., 5.50%, 9/01/27(b) | 100,000 | 87,500 | |
Switch Ltd., 4.12%, 6/15/29(b) | 70,000 | 66,850 | |
T-Mobile USA, Inc., 3.50%, 4/15/31 | 270,000 | 239,309 | |
Verizon Communications, Inc., | |||
3.40%, 3/22/41 | 110,000 | 92,473 | |
3.55%, 3/22/51 | 50,000 | 41,061 | |
3.70%, 3/22/61 | 80,000 | 64,315 | |
Viavi Solutions, Inc., 3.75%, 10/01/29(b) | 60,000 | 53,984 | |
821,627 | |||
Transportation – 0.0%(g) | |||
Carriage Purchaser, Inc., 7.88%, 10/15/29(b) | 70,000 | 61,316 | |
Total Corporate Bonds (Cost $31,830,019) | 29,888,141 | ||
Foreign Issuer Bonds – 6.8% | |||
Angola – 0.1% | |||
Angolan Government International Bond, 8.75%, 4/14/32(b) | 210,000 | 198,607 | |
Argentina – 0.4% | |||
Provincia de Buenos Aires, (Step to 5.25% on 9/1/22), 3.90%, 9/01/37(b)(l) | 600,000 | 250,125 | |
Provincia de Cordoba, (Step to 6.99% on 6/1/22), 5.00%, 6/01/27(b)(l) | 200,000 | 141,600 | |
Transportadora de Gas del Sur S.A., 6.75%, 5/02/25(b) | 200,000 | 188,061 | |
YPF S.A., 8.50%, 7/28/25(b) | 400,000 | 326,000 | |
905,786 |
Par (a) | Value | ||
Brazil – 0.7% | |||
B3 SA - Brasil Bolsa Balcao, 4.12%, 9/20/31(b) | $250,000 | $ 217,312 | |
Braskem Netherlands Finance B.V., 4.50%, 1/10/28(b) | 270,000 | 254,289 | |
MercadoLibre, Inc., 3.13%, 1/14/31 | 270,000 | 218,362 | |
Petrobras Global Finance B.V., | |||
5.30%, 1/27/25 | 150,000 | 155,213 | |
6.85%, 6/05/15 | 310,000 | 273,163 | |
Suzano Austria GmbH, 3.13%, 1/15/32 | 500,000 | 403,750 | |
Vale Overseas Ltd., 6.25%, 8/10/26 | 250,000 | 262,875 | |
1,784,964 | |||
Canada – 0.4% | |||
Air Canada, 3.88%, 8/15/26(b) | 90,000 | 83,221 | |
Hudbay Minerals, Inc., 6.13%, 4/01/29(b)(e) | 90,000 | 85,164 | |
MEG Energy Corp., 7.12%, 2/01/27(b) | 200,000 | 203,100 | |
Ritchie Bros Holdings, Inc., 4.75%, 12/15/31(b) | 180,000 | 180,000 | |
Superior Plus L.P./Superior General Partner, Inc., 4.50%, 3/15/29(b) | 50,000 | 45,687 | |
TransAlta Corp., 6.50%, 3/15/40 | 430,000 | 430,527 | |
1,027,699 | |||
Chile – 0.1% | |||
VTR Comunicaciones S.p.A., 5.13%, 1/15/28(b) | 200,000 | 179,800 | |
China – 0.2% | |||
Global Aircraft Leasing Co. Ltd., (100% Cash), 6.50%, 9/15/24(b)(j) | 250,000 | 215,620 | |
Prosperous Ray Ltd., 4.63%, 11/12/23 | 200,000 | 204,116 | |
Prosus N.V., 3.06%, 7/13/31(b) | 270,000 | 213,072 | |
632,808 | |||
Colombia – 0.1% | |||
Millicom International Cellular S.A., 4.50%, 4/27/31(b)(e) | 250,000 | 216,381 | |
Dominican Republic – 0.1% | |||
Dominican Republic International Bond, 6.00%, 2/22/33(b) | 300,000 | 272,140 |
Par (a) | Value | ||
France – 0.1% | |||
Altice France S.A., | |||
5.12%, 7/15/29(b) | $ 200,000 | $ 169,312 | |
5.50%, 10/15/29(b) | 200,000 | 170,000 | |
339,312 | |||
Gabon – 0.1% | |||
Gabon Government International Bond, 7.00%, 11/24/31(b) | 200,000 | 181,130 | |
Ghana – 0.0%(g) | |||
Ghana Government International Bond, 8.13%, 3/26/32(b) | 250,000 | 152,925 | |
Hong Kong – 0.1% | |||
Melco Resorts Finance Ltd., 5.38%, 12/04/29(b) | 200,000 | 160,042 | |
Indonesia – 1.2% | |||
Indonesia Government International Bond, | |||
3.50%, 1/11/28 | 400,000 | 391,561 | |
5.25%, 1/17/42 | 500,000 | 503,350 | |
Indonesia Treasury Bond, 6.50%, 2/15/31 | IDR | 31,834,000,000 | 2,119,639 |
3,014,550 | |||
Ireland – 0.1% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, 1/30/32 | 300,000 | 249,609 | |
Avolon Holdings Funding Ltd., | |||
5.12%, 10/01/23(b) | 60,000 | 60,679 | |
4.25%, 4/15/26(b) | 60,000 | 57,534 | |
367,822 | |||
Israel – 0.2% | |||
Teva Pharmaceutical Finance Co. LLC, 6.15%, 2/01/36(e) | 350,000 | 330,708 | |
Teva Pharmaceutical Finance Netherlands III B.V., 4.75%, 5/09/27 | 200,000 | 183,000 | |
513,708 | |||
Italy – 0.1% | |||
UniCredit S.p.A., (5Y US Treasury CMT + 4.75%), 5.46%, 6/30/35(b)(i) | 210,000 | 189,481 | |
Ivory Coast – 0.1% | |||
Ivory Coast Government International Bond, 5.75%, 12/31/32 | 164,236 | 156,872 |
Par (a) | Value | ||
Kazakhstan – 0.3% | |||
Kazakhstan Government International Bond, 5.12%, 7/21/25 | $220,000 | $230,102 | |
KazMunayGas National Co. JSC, 4.75%, 4/19/27(b) | 250,000 | 236,875 | |
KazTransGas JSC, 4.38%, 9/26/27(b) | 200,000 | 183,200 | |
650,177 | |||
Kuwait – 0.1% | |||
MEGlobal Canada ULC, 5.88%, 5/18/30(b) | 210,000 | 227,316 | |
Luxembourg – 0.2% | |||
Altice France Holding S.A., 10.50%, 5/15/27(b) | 200,000 | 202,750 | |
ARD Finance S.A., (100% Cash), 6.50%, 6/30/27(b)(j) | 200,000 | 168,000 | |
FAGE International S.A./FAGE USA Dairy Industry, Inc., 5.62%, 8/15/26(b) | 200,000 | 186,182 | |
556,932 | |||
Macau – 0.2% | |||
Sands China Ltd., 3.10%, 3/08/29(b) | 450,000 | 364,824 | |
Wynn Macau Ltd., 5.62%, 8/26/28(b) | 240,000 | 191,400 | |
556,224 | |||
Mexico – 0.4% | |||
Banco Mercantil del Norte S.A., | |||
(10Y US Treasury CMT + 5.35%), 7.62%, 1/10/28(b)(i)(k) | 230,000 | 227,700 | |
(10Y US Treasury CMT + 5.47%), 7.50%, 6/27/29(b)(i)(k) | 250,000 | 239,637 | |
Mexico Government International Bond, 4.75%, 3/08/44 | 500,000 | 436,850 | |
904,187 | |||
Panama – 0.1% | |||
Panama Government International Bond, 4.50%, 4/01/56 | 200,000 | 170,075 | |
Peru – 0.2% | |||
Peruvian Government International Bond, 2.78%, 1/23/31 | 240,000 | 207,929 |
Par (a) | Value | ||
Peru (Continued) | |||
Petroleos del Peru S.A., 5.63%, 6/19/47(b) | $250,000 | $ 181,625 | |
Volcan Cia Minera S.A.A., 4.38%, 2/11/26(b) | 260,000 | 232,700 | |
622,254 | |||
Qatar – 0.2% | |||
Qatar Government International Bond, 4.82%, 3/14/49(b) | 400,000 | 429,532 | |
South Africa – 0.1% | |||
Sasol Financing U.S.A. LLC, 5.50%, 3/18/31 | 250,000 | 225,000 | |
Switzerland – 0.1% | |||
UBS Group A.G., (5Y USD Swap Rate + 4.34%), 7.00%, 1/31/24(b)(i)(k) | 200,000 | 203,250 | |
VistaJet Malta Finance PLC/XO Management Holding, Inc., 6.37%, 2/01/30(b) | 50,000 | 43,634 | |
246,884 | |||
Turkey – 0.1% | |||
Turk Telekomunikasyon AS, 6.88%, 2/28/25(b) | 250,000 | 244,150 | |
United Arab Emirates – 0.1% | |||
DP World Ltd., 5.63%, 9/25/48(b) | 290,000 | 290,435 | |
United Kingdom – 0.2% | |||
Mclaren Finance PLC, 7.50%, 8/01/26(b) | 200,000 | 191,869 | |
Neptune Energy Bondco PLC, 6.62%, 5/15/25(b) | 200,000 | 198,100 | |
Vmed O2 UK Financing I PLC, 4.75%, 7/15/31(b) | 200,000 | 171,500 | |
561,469 | |||
Zambia – 0.4% | |||
First Quantum Minerals Ltd., | |||
6.87%, 3/01/26(b) | 490,000 | 491,225 | |
6.88%, 10/15/27(b) | 480,000 | 482,400 | |
973,625 | |||
Total Foreign Issuer Bonds (Cost $18,042,610) | 16,952,287 |
Number of Shares | Value | ||
Master Limited Partnerships – 0.7% | |||
Pipelines – 0.7% | |||
Energy Transfer L.P. | 36,253 | $ 401,683 | |
Enterprise Products Partners L.P. | 27,973 | 724,780 | |
Magellan Midstream Partners L.P. | 4,345 | 210,515 | |
MPLX L.P. | 6,454 | 208,852 | |
Plains All American Pipeline L.P. | 17,263 | 178,845 | |
1,724,675 | |||
Total Master Limited Partnerships (Cost $1,670,713) | 1,724,675 |
Par (a) | |||
Mortgage-Backed Securities – 2.6% | |||
Commercial Mortgage-Backed Securities – 1.2% | |||
BX Commercial Mortgage Trust, | |||
Series 2021-VOLT, Class D, (1M USD LIBOR + 1.65%, 1.65% Floor), 2.20%, 9/15/36(b)(c) | $270,000 | 261,453 | |
Series 2021-ACNT, Class A, (1M USD LIBOR + 0.85%, 0.85% Floor), 1.41%, 11/15/38(b)(c) | 197,000 | 193,113 | |
Series 2022-AHP, Class A, (1M CME Term SOFR + 0.99%, 0.99% Floor), 1.50%, 1/17/39(b)(c) | 212,000 | 208,784 | |
BX Trust, | |||
Series 2021-SDMF, Class F, (1M USD LIBOR + 1.94%, 1.94% Floor), 2.49%, 9/15/34(b)(c) | 210,000 | 199,428 | |
Series 2021-ARIA, Class A, (1M USD LIBOR + 0.90%, 0.90% Floor), 1.45%, 10/15/36(b)(c) | 270,000 | 263,239 | |
BXHPP Trust, Series 2021-FILM, Class C, (1M USD LIBOR + 1.10%, 1.10% Floor), 1.65%, 8/15/36(b)(c) | $270,000 | 257,853 | |
Commercial Mortgage Trust, Series 2015-CR25, Class A4, 3.76%, 8/10/48 | 260,000 | 259,621 | |
Extended Stay America Trust, | |||
Series 2021-ESH, Class A, (1M USD LIBOR + 1.08%, 1.08% Floor), 1.64%, 7/15/38(b)(c) | 268,348 | 264,642 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
Extended Stay America Trust, | |||
Series 2021-ESH, Class C, (1M USD LIBOR + 1.70%, 1.70% Floor), 2.25%, 7/15/38(b)(c) | 258,410 | $ 254,381 | |
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2022-NLP, Class D, (1M CME Term SOFR + 2.17%, 2.17% Floor), 4/15/37(b)(c)(d) | $210,000 | 201,740 | |
LAQ Mortgage Trust, Series 2022-LAQ, Class A, (1M CME Term SOFR + 1.72%, 1.72% Floor), 2.25%, 3/15/39(b)(c) | 260,000 | 259,793 | |
MTN Commercial Mortgage Trust, | |||
Series 2022-LPFL, Class A, (1M CME Term SOFR + 1.40%, 1.40% Floor), 1.91%, 3/15/39(b)(c) | 260,000 | 258,730 | |
Series 2022-LPFL, Class F, (1M CME Term SOFR + 5.29%, 5.29% Floor), 5.79%, 3/15/39(b)(c) | 200,000 | 197,924 | |
3,080,701 | |||
Whole Loan – 1.4% | |||
BRAVO Residential Funding Trust, Series 2022-NQM1, Class A1, 3.62%, 9/25/61(b)(m) | 240,151 | 234,677 | |
COLT Mortgage Loan Trust, Series 2022-3, Class A1, 3.90%, 2/25/67(b)(m) | 256,001 | 252,191 | |
CSMC Trust, Series 2020-RPL4, Class A1, 2.00%, 1/25/60(b)(f) | 252,988 | 240,718 | |
FNMA Connecticut Avenue Securities, | |||
Series 2017-C07, Class 1M2, (1M USD LIBOR + 2.40%, 2.40% Floor), 3.07%, 5/25/30(c) | 191,741 | 194,614 | |
Series 2018-C01, Class 1M2, (1M USD LIBOR + 2.25%, 2.25% Floor), 2.92%, 7/25/30(c) | 221,735 | 223,813 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Freddie Mac STACR REMIC Trust, | |||
Series 2021-DNA7, Class B1, (30D Average SOFR + 3.65%), 3.94%, 11/25/41(b)(c) | 210,000 | $ 195,956 | |
Series 2020-DNA5, Class B1, (30D Average SOFR + 4.80%), 5.09%, 10/25/50(b)(c) | 180,000 | 187,332 | |
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2022-DNA2, Class M1B, (30D Average SOFR + 2.40%), 2.69%, 2/25/42(b)(c) | $210,000 | 205,669 | |
GS Mortgage-Backed Securities Trust, Series 2022-NQM1, Class A4, 4.00%, 5/25/62(b) | 240,752 | 235,325 | |
New Residential Mortgage Loan Trust, | |||
Series 2018-RPL1, Class A1, 3.50%, 12/25/57(b) | 531,859 | 529,474 | |
Series 2022-NQM2, Class A1, 3.08%, 3/27/62(b)(m) | 256,251 | 249,994 | |
Residential Mortgage Loan Trust, Series 2020-2, Class A2, 2.51%, 5/25/60(b) | 260,000 | 254,881 | |
Seasoned Credit Risk Transfer Trust, Series 2022-1, Class M, 4.50%, 11/25/61(b) | 100,000 | 87,250 | |
SG Residential Mortgage Trust, Series 2022-1, Class A1, 3.17%, 3/27/62(b)(m) | 257,682 | 249,746 | |
3,341,640 | |||
Total Mortgage-Backed Securities (Cost $6,502,899) | 6,422,341 | ||
Term Loans – 10.0% | |||
Aerospace/Defense – 0.4% | |||
Vertex Aerospace Services Corp., Initial Term Loan, (Floating, LIBOR USD 1M + 4.00%, 0.75% Floor), 4.77%, 12/06/28(c) | 670,000 | 666,965 |
Par (a) | Value | ||
Aerospace/Defense (Continued) | |||
WP CPP Holdings, LLC, Initial Term Loan, | |||
(Floating, LIBOR USD 3M + 3.75%, 1.00% Floor), 4.99%, 4/30/25(c) | $338,321 | $318,698 | |
(Floating, LIBOR USD 3M + 3.75%, 1.00% Floor), 4.75%, 4/30/25(c) | 840 | 791 | |
986,454 | |||
Airlines – 0.4% | |||
Air Canada, Term Loan, (Floating, LIBOR USD 3M + 3.50%, 0.75% Floor), 4.25%, 8/11/28(c) | 460,000 | 454,825 | |
United AirLines, Inc., Class B Term Loan, (Floating, LIBOR USD 3M + 3.75%, 0.75% Floor), (3M USD LIBOR + 3.75%, 0.75% Floor), 4.50%, 4/21/28(c) | 458,841 | 454,515 | |
909,340 | |||
Auto Parts & Equipment – 0.2% | |||
Clarios Global LP, Amendment No. 1 Dollar Term Loan, (Floating, LIBOR USD 1M + 3.25%), 4.01%, 4/30/26(c) | 460,000 | 452,143 | |
Beverages – 0.2% | |||
Triton Water Holdings, Inc., Initial Term Loan, (Floating, LIBOR USD 3M + 3.50%, 0.50% Floor), 4.51%, 3/31/28(c) | 458,844 | 445,024 | |
Chemicals – 0.1% | |||
Hexion Holdings Corporation, Initial Term Loan, (Floating, CME Term SOFR USD 1M + 4.50%, 0.50% Floor), 5.02%, 3/15/29(c) | 230,000 | 221,566 | |
Commercial Services – 1.2% | |||
Adtalem Global Education Inc., Term B Loan, (Floating, LIBOR USD 1M + 4.50%, 0.75% Floor), 5.25%, 8/12/28(c) | 242,533 | 242,600 | |
Allied Universal Holdco LLC (f/k/a USAGM Holdco, LLC), Initial U.S. Dollar Term Loan, (Floating, LIBOR USD 1M + 3.75%, 0.50% Floor), 4.51%, 5/12/28(c) | 199,499 | 194,116 |
Par (a) | Value | ||
Commercial Services (Continued) | |||
Amentum Government Services Holdings LLC, Tranche 1 Term Loan, (Floating, LIBOR USD 1M + 3.50%), 4.26%, 1/29/27(c) | $458,832 | $ 455,533 | |
Garda World Security Corporation, Term B-2 Loan, (Floating, LIBOR USD 1M + 4.25%), 4.92%, 10/30/26(c) | 360,000 | 356,040 | |
Mister Car Wash Holdings, Inc., Initial Term Loan, (Floating, LIBOR USD 1M + 3.00%), 3.76%, 5/14/26(c) | 458,931 | 454,589 | |
PECF USS Intermediate Holding III Corporation, Initial Term Loan, (Floating, LIBOR USD 3M + 4.25%, 0.50% Floor), 4.76%, 12/15/28(c) | 458,850 | 451,394 | |
Prime Security Services Borrower, LLC, 2021 Refinancing Term B-1 Loan, 9/23/26(n) | 340,000 | 335,655 | |
Verscend Holding Corp., Term B-1 Loan, (Floating, LIBOR USD 1M + 4.00%), 4.77%, 8/27/25(c) | 467,845 | 465,801 | |
2,955,728 | |||
Computers – 0.5% | |||
Magenta Buyer LLC, Initial Term Loan, | |||
(Floating, LIBOR USD 3M + 5.00%, 0.75% Floor), 6.23%, 7/27/28(c) | 458,847 | 451,964 | |
(Floating, LIBOR USD 3M + 8.25%, 0.75% Floor), 9.48%, 7/27/29(c) | 460,000 | 450,607 | |
UST Global Inc, Initial Term Loan, (Floating, LIBOR USD 1M + 3.75%, 0.50% Floor), 4.38%, 11/20/28(c) | 458,850 | 451,013 | |
1,353,584 | |||
Diversified Financial Services – 0.8% | |||
CTC Holdings, L.P., Term Loan, (Floating, CME Term SOFR USD 3M + 5.00%, 0.38% Floor), 5.50%, 2/20/29(c) | 460,000 | 453,100 | |
Greystone Select Financial LLC, Initial Term Loan, (Floating, LIBOR USD 3M + 5.00%, 0.75% Floor), 6.04%, 6/16/28(c) | 458,572 | 453,986 |
Par (a) | Value | ||
Diversified Financial Services (Continued) | |||
Hudson River Trading LLC, Term Loan, (Floating, CME Term SOFR USD 1M + 3.00%), 3.82%, 3/20/28(c) | $458,841 | $ 452,340 | |
Jane Street Group, LLC, Dollar Term Loan, 1/26/28(n) | 428,914 | 423,660 | |
VFH Parent LLC, Initial Term Loan, (Floating, CME Term SOFR USD 1M + 3.00%, 0.50% Floor), 3.50%, 1/13/29(c) | 340,000 | 337,130 | |
2,120,216 | |||
Engineering & Construction – 0.1% | |||
Brown Group Holdings, LLC, Initial Term Loan, (Floating, LIBOR USD 3M + 2.50%, 0.50% Floor), 3.51%, 6/07/28(c) | 309,168 | 304,376 | |
Entertainment – 0.4% | |||
Allen Media, LLC, Initial Term Loan (2021), (Floating, CME Term SOFR USD 3M + 5.50%), 6.15%, 2/10/27(c) | 458,829 | 454,127 | |
UFC Holdings, LLC, Term B-3 Loan, (Floating, LIBOR USD 3M + 2.75%, 0.75% Floor), 3.50%, 4/29/26(c) | 458,745 | 451,648 | |
905,775 | |||
Environmental Control – 0.2% | |||
LRS Holdings, LLC, Initial Term Loan, (Floating, LIBOR USD 1M + 4.25%, 0.50% Floor), 5.01%, 8/31/28(c) | 458,850 | 454,262 | |
Healthcare - Services – 1.2% | |||
EyeCare Partners, LLC, Initial Term Loan, (Floating, LIBOR USD 3M + 6.75%, 0.50%Floor), 7.75%, 11/15/28(c) | 380,000 | 375,410 | |
One Call Corporation, Term B Loan, (Floating, LIBOR USD 3M + 5.50%, 0.75% Floor), 6.69%, 4/22/27(c) | 458,844 | 417,548 | |
PDS Holdco Inc., Delayed Draw Term Loan, 8/18/28(n) | 32,407 | 32,205 | |
PDS Holdco Inc., Initial Term Loan, 8/18/28(n) | 317,593 | 315,608 | |
Phoenix Guarantor Inc., Tranche B-1 Term Loan, 3/05/26(n) | 109,541 | 107,584 |
Par (a) | Value | ||
Healthcare - Services (Continued) | |||
Phoenix Newco, Inc., Initial Term Loan, 11/15/28(n) | $360,000 | $ 357,188 | |
Radiology Partners, Inc., Term B Loan, 7/09/25(n) | 470,000 | 462,071 | |
U.S. Renal Care, Inc., Initial Term Loan, 6/26/26(n) | 460,000 | 405,950 | |
WP CityMD Bidco LLC, Second Amendment Refinancing Term Loan, (Floating, LIBOR USD 3M + 3.25%, 0.50% Floor), 3.75%, 12/22/28(c) | 400,000 | 395,584 | |
2,869,148 | |||
Housewares – 0.1% | |||
Hunter Douglas Holding B.V., Tranche B-1 Term Loan, (Floating, CME Term SOFR USD 3M + 3.50%, 0.50% Floor), 4.00%, 2/26/29(c) | 350,000 | 332,588 | |
Insurance – 0.4% | |||
Acrisure, LLC, 2021-2 Additional Term Loan, (Floating, LIBOR USD 1M + 4.25%, 0.50% Floor), 5.01%, 2/15/27(c) | 339,150 | 336,325 | |
Asurion, LLC, New B-4 Term Loan, (Floating, LIBOR USD 1M + 5.25%), 6.02%, 1/20/29(c) | 460,000 | 445,740 | |
Asurion, LLC, New B-9 Term Loan, 7/31/27(n) | 339,144 | 331,089 | |
1,113,154 | |||
Leisure Time – 0.7% | |||
19th Holdings Golf, LLC, Initial Term Loan, (Floating, CME Term SOFR USD 3M + 3.25%, 0.50% Floor), 3.75%, 2/07/29(c) | 460,000 | 451,950 | |
Alterra Mountain Company, Series B-2 Term Loan, (Floating, LIBOR USD 1M + 3.50%, 0.50% Floor), 4.26%, 8/17/28(c) | 458,847 | 455,121 |
Par (a) | Value | ||
Leisure Time (Continued) | |||
ClubCorp Holdings, Inc., Term B Loan, (Floating, LIBOR USD 3M + 2.75%), 3.76%, 9/18/24(c) | $458,799 | $ 445,480 | |
Hornblower Sub, LLC (American Queen Sub, LLC), 2020 Repriced Term B Loan, (Floating, LIBOR USD 3M + 4.50%, 1.00% Floor), 5.50%, 4/27/25(c) | 398,961 | 358,068 | |
1,710,619 | |||
Lodging – 0.2% | |||
Playa Resorts Holding B.V., Initial Term Loan, 4/29/24(n) | 458,767 | 451,440 | |
Machinery - Diversified – 0.1% | |||
SPX Flow, Inc., Term Loan, (Floating, CME Term SOFR USD 1M + 4.50%, 0.50% Floor), 5.95%, 4/05/29(c) | 280,000 | 272,563 | |
Media – 0.1% | |||
DCert Buyer, Inc., First Amendment Refinancing Loan, (Floating, LIBOR USD 1M + 7.00%), 7.76%, 2/19/29(c) | 340,000 | 335,893 | |
Pharmaceuticals – 0.2% | |||
Gainwell Acquisition Corp., Term B Loan, (Floating, LIBOR USD 3M + 4.00%, 0.75% Floor), 5.01%, 10/01/27(c) | 468,813 | 466,764 | |
Private Equity – 0.3% | |||
Jump Financial, LLC, Term Loan, (Floating, CME Term SOFR USD 1M + 4.50%, 0.50% Floor), 5.20%, 8/07/28(c) | 688,271 | 674,505 | |
Real Estate Investment Trusts – 0.2% | |||
Apollo Commercial Real Estate Finance, Inc., Initial Term Loan, (Floating, LIBOR USD 1M + 2.75%), 3.51%, 5/15/26(c) | 458,821 | 446,203 | |
Retail – 0.6% | |||
Empire Today, LLC, Closing Date Term Loan, (Floating, LIBOR USD 3M + 5.00%, 0.75% Floor), 5.75%, 4/03/28(c) | 458,844 | 425,348 |
Par (a) | Value | ||
Retail (Continued) | |||
Great Outdoors Group, LLC, Term B-2 Loan, (Floating, LIBOR USD 1M + 3.75%, 0.75% Floor), 4.51%, 3/05/28(c) | $349,123 | $ 345,195 | |
Leslie's Poolmart, Inc., Initial Term Loan, (Floating, LIBOR USD 3M + 2.50%, 0.50% Floor), 3.02%, 3/09/28(c) | 468,816 | 462,370 | |
Whatabrands LLC, Initial Term B Loan, 8/03/28(n) | 379,050 | 374,570 | |
1,607,483 | |||
Software – 1.0% | |||
AppLovin Corporation, Amendment No. 6 New Term Loan, (Floating, LIBOR USD 1M + 3.00%, 0.50% Floor), 3.76%, 10/25/28(c) | 340,000 | 337,522 | |
Athenahealth Group Inc., Initial DDTL, 1.75%, 2/15/29(o) | 7,351 | 7,241 | |
Athenahealth Group Inc., Initial Term Loan, (Floating, CME Term SOFR USD 1M + 3.50%, 0.50% Floor), 4.01%, 2/15/29(c)(o) | 43,374 | 42,723 | |
Cloudera, Inc., Initial Term Loan, | |||
(Floating, LIBOR USD 1M + 3.75%, 0.50% Floor), 4.51%, 10/08/28(c) | 460,000 | 451,950 | |
(Floating, LIBOR USD 1M + 6.00%, 0.50% Floor), 6.77%, 10/08/29(c) | 340,000 | 329,800 | |
DCert Buyer, Inc., Initial Term Loan, (Floating, LIBOR USD 1M + 4.00%), 4.77%, 10/16/26(c) | 318,804 | 317,210 | |
Rackspace Technology Global, Inc., 2021 Term B Loan, 2/15/28(n) | 458,841 | 447,563 | |
Virgin Pulse, Inc., Initial Term Loan, 5.02%, 4/06/28 | 458,847 | 446,802 | |
2,380,811 | |||
Telecommunications – 0.2% | |||
Commscope, Inc., Initial Term Loan, (Floating, LIBOR USD 1M + 3.25%), 4.01%, 4/06/26(c) | 438,875 | 421,429 |
Par (a) | Value | ||
Transportation – 0.2% | |||
WWEX UNI TopCo Holdings, LLC, Initial Term Loan, (Floating, LIBOR USD 3M + 4.25%, 0.75% Floor), 5.26%, 7/26/28(c) | $ 458,850 | $ 445,465 | |
Total Term Loans (Cost $24,918,896) | 24,636,533 | ||
U.S. Government Obligations – 4.8% | |||
U.S. Treasury Bonds – 1.8% | |||
2.38%, 2/15/42(e) | 2,100,000 | 1,855,547 | |
2.25%, 2/15/52 | 3,000,000 | 2,575,781 | |
4,431,328 | |||
U.S. Treasury Notes – 3.0% | |||
1.50%, 2/29/24(e) | 5,310,000 | 5,199,444 | |
2.25%, 3/31/24(e) | 400,000 | 396,625 | |
1.50%, 1/31/27 | 1,900,000 | 1,778,356 | |
7,374,425 | |||
Total U.S. Government Obligations (Cost $12,629,397) | 11,805,753 |
Number of Shares | |||
Investment Companies – 8.8% | |||
Global X U.S. Preferred ETF(e) | 225,214 | 4,893,900 | |
iShares STOXX Europe 600 Telecommunications UCITS ETF DE (Germany) | EUR | 189,556 | 4,363,392 |
Vanguard Long-Term Treasury ETF(e) | 170,640 | 12,436,243 | |
Total Investment Companies (Cost $25,565,500) | 21,693,535 |
Short-Term Investments – 9.4% | |||
Money Market Fund – 9.4% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 0.32%(p)(q) | 6,245,546 | 6,245,546 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 0.18%(p) | 16,948,522 | 16,948,522 | |
23,194,068 | |||
Total Short-Term Investments (Cost $23,194,068) | 23,194,068 |
Number of Contracts | Notional Amount | Value | |
Purchased Options – 0.0%(g) | |||
Call Options - Exchange Traded – 0.0%(g) | |||
90-Day Euro Future, Strike Price USD 99.00, 12/18/23 | 2 | $ 483,050 | $ 562 |
U.S. Treasury Long Bond Future, Strike Price USD 143.00, 05/20/22 | 12 | 1,688,250 | 12,938 |
13,500 | |||
Call Options - Over the Counter – 0.0%(g) | |||
U.S. Dollar vs. Australian Dollar, Strike Price USD 0.75, 07/25/22, Counterparty: BNP Paribas | 1 | 1,445,624 | 3,950 |
Put Options - Over the Counter – 0.0%(g) | |||
Japanese Yen vs. U.S. Dollar, Strike Price JPY 116.00, 06/23/22, Counterparty: Morgan Stanley | 1 | 639,840 | 511 |
Japanese Yen vs. U.S. Dollar, Strike Price JPY 113.00, 09/21/22, Counterparty: Morgan Stanley | 1 | 639,840 | 1,604 |
Number of Contracts | Notional Amount | Value | |
Put Options - Over the Counter (Continued) | |||
Mexican Peso vs. U.S. Dollar, Strike Price MXN 20.10, 07/22/22, Counterparty: Goldman Sachs | 1 | $1,110,000 | $10,547 |
Norwegian Kroner vs. U.S. Dollar, Strike Price NOK 8.69, 07/21/22, Counterparty: Morgan Stanley | 1 | 1,090,000 | 3,826 |
16,488 | |||
Total Purchased Options (Premiums Received $61,289) | 33,938 |
Total Investments – 103.8% (Cost $264,633,020) | 256,414,682 | ||
Total Written Options — 0.0%(g) (Premiums Received $6,910) | (9,491) | ||
Liabilities less Other Assets – (3.8)%(r) | (9,454,978) | ||
NET ASSETS – 100.0% | $246,959,704 |
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, 2022 is disclosed. | ||
(d) | When-Issued Security. Coupon rate was not yet in effect at April 30, 2022. | ||
(e) | Security either partially or fully on loan. | ||
(f) | Security sold outside United States without registration under the Securities Act of 1933. | ||
(g) | Amount rounds to less than 0.05%. | ||
(h) | Investment is valued using significant unobservable inputs (Level 3) (See Note 4 regarding investments in Russian securities). | ||
(i) | 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, 2022 is disclosed. | ||
(j) | Distributions from this security are a made via payments in-kind (PIK) unless otherwise noted in the description. | ||
(k) | Perpetual bond. Maturity date represents next call date. | ||
(l) | Step coupon bond. Rate as of April 30, 2022 is disclosed. | ||
(m) | 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, 2022 is disclosed. | ||
(n) | Position is unsettled. Contract rate was not determined at April 30, 2022 and does not take effect until settlement date. | ||
(o) | Unfunded loan commitment. | ||
(p) | 7-day current yield as of April 30, 2022 is disclosed. | ||
(q) | Security purchased with the cash proceeds from securities loaned (See Note 7). | ||
(r) | Includes appreciation/(depreciation) on forward foreign currency exchange and futures contracts. | ||
* | Non-Income Producing Security |
Abbreviations: | |
1M | 1 Month |
3M | 3 Month |
5Y | 5 Year |
10Y | 10 Year |
ADR | American Depositary Receipt |
CDO | Collaterlized Debt Obligation |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity |
CVA | Credit Valuation Adjustment |
ETF | Exchange-Traded Fund |
EUR | Euro |
FNMA | Federal National Mortgage Association |
Freddie Mac | Federal Home Loan Mortgage Corporation |
GDR | Global Depositary Receipt |
IDR | Indonesian Rupiah |
JPY | Japanese Yen |
L.P. | Limited Partnership |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
MTN | Medium Term Note |
MXN | Mexican Peso |
NOK | Norwegian Kroner |
PJSC | Public Joint Stock Company |
PLC | Public Limited Company |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | United States Secured Overnight Financing Rate |
STACR | Structured Agency Credit Risk |
UCITS | Undertakings for Collective Investment in Transferable Securities |
USD | United States Dollar |
Concentration by Currency (%)(a) | |
U.S. Dollar | 57.2 |
Euro | 10.4 |
British Pound | 7.2 |
All other currencies less than 5% | 25.2 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Country Diversification (%)(a) | |
United States | 47.0 |
United Kingdom | 6.9 |
All other countries less than 5% | 46.1 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Futures Contracts outstanding at April 30, 2022: Exchange Traded | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | |||||
Ultra U.S. Treasury Bond | 9 | 6/21/2022 | USD | 1,443,938 | $ 12,688 |
2-Year U.S. Treasury Note | 133 | 6/30/2022 | USD | 28,038,063 | (395,323) |
90-Day Eurodollar | 19 | 12/19/2022 | USD | 4,596,575 | (11,463) |
Total Long Contracts | $(394,098) | ||||
Short Contracts |
Futures Contracts outstanding at April 30, 2022: Exchange Traded (continued) | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
10-Year U.S. Treasury Note | (49) | 6/21/2022 | USD | 5,838,656 | $ 142,969 |
U.S. Treasury Long Bond | (4) | 6/21/2022 | USD | 562,750 | 63,375 |
Ultra 10-Year U.S. Treasury Note | (2) | 6/21/2022 | USD | 258,000 | 12,562 |
5-Year U.S. Treasury Note | (17) | 6/30/2022 | USD | 1,915,422 | 32,711 |
Total Short Contracts | $ 251,617 | ||||
$(142,481) |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2022: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
07/19/22 | U.S. Dollars | 405,351 | Australian Dollars | 541,000 | Morgan Stanley | $ 22,562 |
07/25/22 | U.S. Dollars | 392,400 | Norwegian Kroner | 3,488,828 | Morgan Stanley | 20,241 |
07/26/22 | U.S. Dollars | 378,354 | Australian Dollars | 512,300 | BNP Paribas | 15,834 |
07/19/22 | U.S. Dollars | 247,443 | British Pounds | 190,000 | Goldman Sachs | 8,444 |
05/17/22 | Mexican Pesos | 5,624,000 | U.S. Dollars | 266,667 | JPMorgan Chase | 8,004 |
06/27/22 | U.S. Dollars | 92,110 | Japanese Yen | 11,090,000 | Morgan Stanley | 6,460 |
09/26/22 | U.S. Dollars | 74,220 | Japanese Yen | 8,897,000 | Morgan Stanley | 5,081 |
07/25/22 | U.S. Dollars | 432,900 | Mexican Pesos | 8,882,892 | Goldman Sachs | 4,925 |
Total Unrealized Appreciation | $ 91,551 | |||||
07/19/22 | U.S. Dollars | 126,793 | Euro | 120,000 | Goldman Sachs | $ (340) |
07/19/22 | New Zealand Dollars | 490,000 | U.S. Dollars | 320,185 | Citibank | (4,045) |
07/19/22 | Australian Dollars | 580,000 | U.S. Dollars | 414,722 | Morgan Stanley | (4,338) |
07/19/22 | U.S. Dollars | 512,407 | British Pounds | 410,996 | Goldman Sachs | (4,582) |
07/19/22 | Canadian Dollars | 1,350,000 | U.S. Dollars | 1,057,092 | Morgan Stanley | (6,554) |
05/17/22 | U.S. Dollars | 270,681 | Mexican Pesos | 5,700,000 | JPMorgan Chase | (7,703) |
07/19/22 | Japanese Yen | 27,791,000 | U.S. Dollars | 224,883 | Goldman Sachs | (9,975) |
07/19/22 | Mexican Pesos | 22,680,000 | U.S. Dollars | 1,117,598 | Citibank | (23,636) |
07/19/22 | Australian Dollars | 1,370,000 | U.S. Dollars | 1,017,948 | Citibank | (48,591) |
07/19/22 | Norwegian Kroner | 18,010,000 | U.S. Dollars | 2,029,488 | Morgan Stanley | (108,446) |
Total Unrealized Depreciation | $ (218,210) | |||||
Net Unrealized Depreciation | $(126,659) |
Written Put Option Contracts outstanding at April 30, 2022: Over the Counter | ||||||||
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
Mexican Peso vs. U.S. Dollar | JPMorgan Chase | 1 | USD | 1,000,000 | MXN | 20.42 | 5/16/2022 | $ (9,491) |
Total Written OTC Put Options Contracts (Premiums Received $6,910) | $(9,491) |
Morningstar Global Income Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 6,186,309 | $ — | $ 6,186,309 |
Common Stocks | 57,781,655 | 56,095,447 | —* | 113,877,102 |
Corporate Bonds | — | 29,888,141 | — | 29,888,141 |
Foreign Issuer Bonds | — | 16,952,287 | — | 16,952,287 |
Master Limited Partnerships | 1,724,675 | — | — | 1,724,675 |
Mortgage-Backed Securities | — | 6,422,341 | — | 6,422,341 |
Term Loans | — | 24,636,533 | — | 24,636,533 |
U.S. Government Obligations | — | 11,805,753 | — | 11,805,753 |
Investment Companies | 21,693,535 | — | — | 21,693,535 |
Short-Term Investments | 23,194,068 | — | — | 23,194,068 |
Purchased Options | 13,500 | 20,438 | — | 33,938 |
Total Investments | $104,407,433 | $152,007,249 | $ — | $256,414,682 |
*Includes securities determined to have no value as of April 30, 2022. |
Morningstar Global Income Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Futures Contracts | $ 264,305 | $ — | $— | $ 264,305 |
Forward Foreign Currency Exchange Contracts | — | 91,551 | — | 91,551 |
Total Assets - Derivative Financial Instruments | $ 264,305 | $ 91,551 | $— | $ 355,856 |
Liabilities: | ||||
Futures Contracts | $(406,786) | $ — | $— | $(406,786) |
Forward Foreign Currency Exchange Contracts | — | (218,210) | — | (218,210) |
Written Options | — | (9,491) | — | (9,491) |
Total Liabilities - Derivative Financial Instruments | $(406,786) | $(227,701) | $— | $(634,487) |
Net Derivative Financial Instruments | $(142,481) | $(136,150) | $— | $(278,631) |
Par (a) | Value | ||
Long Positions – 108.5% | |||
Asset-Backed Securities – 4.0% | |||
Automobile – 0.3% | |||
Avis Budget Rental Car Funding AESOP LLC, | |||
Series 2020-2A, Class A, 2.02%, 2/20/27(b) | $730,000 | $ 682,741 | |
Series 2021-1A, Class A, 1.38%, 8/20/27(b) | 740,000 | 665,308 | |
Hertz Vehicle Financing LLC, | |||
Series 2021-1A, Class A, 1.21%, 12/26/25(b) | 630,000 | 591,795 | |
Series 2021-1A, Class C, 2.05%, 12/26/25(b) | 420,000 | 394,923 | |
2,334,767 | |||
Home Equity – 0.1% | |||
Bayview Financial Mortgage Pass-Through Trust, Series 2006-A, Class M3, (1M USD LIBOR + 0.98%), 1.72%, 2/28/41(c) | 135,641 | 135,202 | |
GSAA Home Equity Trust, Series 2006-4, Class 1A1, 2.95%, 3/25/36(d) | 47,936 | 37,559 | |
Option One Mortgage Loan Trust, Series 2004-3, Class M1, (1M USD LIBOR + 0.78%, 0.78% Floor), 1.45%, 11/25/34(c) | 120,166 | 118,156 | |
Renaissance Home Equity Loan Trust, Series 2005-2, Class AV3, (1M USD LIBOR + 0.37%, 0.37% Floor, 14.00% Cap), 1.04%, 8/25/35(c) | 320,044 | 300,352 | |
591,269 | |||
Other – 3.4% | |||
522 Funding CLO Ltd., Series 2020-6A, Class A1R, (3M USD LIBOR + 1.15%, 1.15% Floor), 2.33%, 10/23/34(b)(c) | 610,000 | 600,678 | |
ABPCI Direct Lending Fund CLO X L.P., Series 2020-10A, Class A1A, (3M USD LIBOR + 1.95%, 1.95% Floor), 3.01%, 1/20/32(b)(c) | 400,000 | 399,427 | |
Ajax Mortgage Loan Trust, | |||
Series 2019-A, Class A, 3.75%, 8/25/57(b)(d) | 174,853 | 174,526 | |
Series 2019-B, Class A, 3.75%, 1/25/59(b)(d) | 244,839 | 245,287 |
Par (a) | Value | ||
Other (Continued) | |||
Allegro CLO XI Ltd., Series 2019-2A, Class A1A, (3M USD LIBOR + 1.39%, 1.39% Floor), 2.43%, 1/19/33(b)(c) | $250,000 | $248,895 | |
AMMC CLO Ltd., Series 2017-21A, Class A, (3M USD LIBOR + 1.25%), 2.54%, 11/02/30(b)(c) | 250,000 | 249,247 | |
Anchorage Capital CLO Ltd., Series 2013-1A, Class A1R, (3M USD LIBOR + 1.25%), 2.27%, 10/13/30(b)(c) | 500,000 | 498,493 | |
Applebee's Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I, 4.19%, 6/05/49(b) | 376,200 | 371,996 | |
Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A, (30D Average SOFR + 1.45%, 1.45% Floor), 1.72%, 1/15/37(b)(c) | 378,000 | 374,915 | |
Ares LXIII CLO Ltd., Series 2022-63A, Class A1A, (3M CME Term SOFR + 1.38%, 1.38% Floor), 2.27%, 4/20/35(b)(c) | 540,000 | 534,793 | |
ARES XLIV CLO Ltd., Series 2017-44A, Class A1R, (3M USD LIBOR + 1.08%, 1.08% Floor), 2.12%, 4/15/34(b)(c) | 460,000 | 451,277 | |
Atrium IX, Series 9A, Class AR2, (3M USD LIBOR + 0.99%, 0.99% Floor), 1.50%, 5/28/30(b)(c) | 530,000 | 526,830 | |
Babson CLO Ltd., Series 2015-IA, Class AR, (3M USD LIBOR + 0.99%, 0.99% Floor), 2.05%, 1/20/31(b)(c) | 250,000 | 247,886 | |
Ballyrock CLO Ltd., Series 2019-2A, Class A1BR, (3M USD LIBOR + 1.20%, 1.20% Floor), 1.68%, 11/20/30(b)(c) | 250,000 | 248,881 | |
Basswood Park CLO Ltd, Series 2021-1A, Class A, (3M USD LIBOR + 1.00%, 1.00% Floor), 2.06%, 4/20/34(b)(c) | 800,000 | 783,151 |
Par (a) | Value | ||
Other (Continued) | |||
Bayview Commercial Asset Trust, Series 2007-4A, Class A1, (1M USD LIBOR + 0.45%, 0.45% Floor), 1.12%, 9/25/37(b)(c) | $307,709 | $289,556 | |
BCRED MML CLO LLC, Series 2022-1A, Class A1, (3M CME Term SOFR + 1.65%, 1.65% Floor), 2.24%, 4/20/35(b)(c) | 430,000 | 428,691 | |
BlueMountain CLO Ltd., | |||
Series 2013-2A, Class A1R, (3M USD LIBOR + 1.18%), 2.32%, 10/22/30(b)(c) | 245,096 | 244,334 | |
Series 2015-3A, Class A1R, (3M USD LIBOR + 1.00%), 2.06%, 4/20/31(b)(c) | 250,000 | 247,813 | |
Carlyle Global Market Strategies CLO Ltd., | |||
Series 2014-2RA, Class A1, (3M USD LIBOR + 1.05%), 1.56%, 5/15/31(b)(c) | 729,370 | 722,730 | |
Series 2014-3RA, Class A1A, (3M USD LIBOR + 1.05%), 2.27%, 7/27/31(b)(c) | 247,958 | 245,537 | |
Cayuga Park CLO Ltd., Series 2020-1A, Class AR, (3M USD LIBOR + 1.12%, 1.12% Floor), 2.16%, 7/17/34(b)(c) | 440,000 | 433,934 | |
Cerberus Loan Funding XXVIII L.P., Series 2020-1A, Class A, (3M USD LIBOR + 1.85%, 1.85% Floor), 2.89%, 10/15/31(b)(c) | 125,000 | 125,634 | |
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class M3A, (1M USD LIBOR + 2.50%, 2.50% Floor), 3.17%, 7/25/37(c) | 500,000 | 516,288 | |
Dryden 87 CLO Ltd., Series 2021-87A, Class A1, (3M USD LIBOR + 1.10%, 1.10% Floor), 1.58%, 5/20/34(b)(c) | 770,000 | 762,191 | |
First Franklin Mortgage Loan Trust, | |||
Series 2003-FF4, Class M1, (1M USD LIBOR + 1.80%, 1.80% Floor), 2.26%, 10/25/33(c) | 294,237 | 290,935 |
Par (a) | Value | ||
Other (Continued) | |||
First Franklin Mortgage Loan Trust, | |||
Series 2006-FF13, Class A1, (1M USD LIBOR + 0.24%, 0.24% Floor), 0.91%, 10/25/36(c) | $ 30,592 | $ 22,664 | |
Series 2006-FF13, Class A2C, (1M USD LIBOR + 0.32%, 0.32% Floor), 0.99%, 10/25/36(c) | 17,849 | 13,497 | |
GCI Funding I LLC, Series 2021-1, Class A, 2.38%, 6/18/46(b) | 580,020 | 524,816 | |
Generate CLO 3 Ltd., Series 2016-1A, Class BR, (3M USD LIBOR + 1.75%), 2.81%, 10/20/29(b)(c) | 500,000 | 497,600 | |
Golub Capital Partners CLO Ltd., Series 2015-25A, Class AR, (3M USD LIBOR + 1.38%, 1.38% Floor), 1.70%, 5/05/30(b)(c) | 590,000 | 586,163 | |
Hardee's Funding LLC, Series 2021-1A, Class A2, 2.87%, 6/20/51(b) | 416,850 | 367,258 | |
HGI CRE CLO Ltd., Series 2021-FL1, Class A, (1M USD LIBOR + 1.05%, 1.05% Floor), 1.60%, 6/16/36(b)(c) | 600,000 | 593,435 | |
Hildene Community Funding CDO Ltd., Series 2015-1A, Class ARR, 2.60%, 11/01/35(b) | 460,000 | 421,449 | |
Home Equity Asset Trust, Series 2006-4, Class 2A4, (1M USD LIBOR + 0.56%, 0.56% Floor), 1.23%, 8/25/36(c) | 441,682 | 436,629 | |
ICG U.S. CLO Ltd., Series 2015-2RA, Class A1, (3M USD LIBOR + 1.37%, 1.37% Floor), 2.41%, 1/16/33(b)(c) | 500,000 | 497,286 | |
KKR CLO 32 Ltd., Series 32A, Class A1, (3M USD LIBOR + 1.32%, 1.32% Floor), 2.36%, 1/15/32(b)(c) | 150,000 | 149,243 | |
KREF Ltd., Series 2022-FL3, Class A, (1M CME Term SOFR + 1.45%, 1.45% Floor), 1.97%, 2/17/39(b)(c) | 820,000 | 811,752 |
Par (a) | Value | ||
Other (Continued) | |||
LCM Loan Income Fund I Income Note Issuer Ltd., Series 27A, Class A1, (3M USD LIBOR + 1.08%), 2.12%, 7/16/31(b)(c) | $ 250,000 | $ 248,256 | |
Legacy Mortgage Asset Trust, Series 2019-GS5, Class A1, (Step to 6.20% on 8/25/22), 3.20%, 5/25/59(b)(e) | 575,952 | 575,407 | |
Long Beach Mortgage Loan Trust, Series 2006-6, Class 2A3, (1M USD LIBOR + 0.30%, 0.30% Floor), 0.97%, 7/25/36(c) | 757,133 | 346,697 | |
Madison Park Funding XIII Ltd., Series 2014-13A, Class AR2, (3M USD LIBOR + 0.95%, 0.95% Floor), 1.99%, 4/19/30(b)(c) | 487,726 | 484,474 | |
Merrill Lynch Mortgage Investors Trust, Series 2004-WMC5, Class M1, (1M USD LIBOR + 0.93%, 0.93% Floor), 1.60%, 7/25/35(c) | 173,728 | 170,919 | |
Myers Park CLO Ltd., Series 2018-1A, Class B1, (3M USD LIBOR + 1.60%, 1.60% Floor), 2.66%, 10/20/30(b)(c) | 250,000 | 245,769 | |
NP SPE X L.P., Series 2021-1A, Class A1, 2.23%, 3/19/51(b) | 780,000 | 710,859 | |
Oaktree CLO Ltd., Series 2015-1A, Class A1R, (3M USD LIBOR + 0.87%), 1.93%, 10/20/27(b)(c) | 58,798 | 58,685 | |
Octagon Investment Partners XXI Ltd., | |||
Series 2012-1A, Class AARR, (3M USD LIBOR + 0.95%, 0.95% Floor), 1.99%, 7/15/29(b)(c) | 1,450,000 | 1,437,770 | |
Series 2012-1A, Class AAR3, (3M USD LIBOR + 1.00%, 1.00% Floor), 1.39%, 2/14/31(b)(c) | 260,000 | 256,960 | |
OHA Credit Funding 7 Ltd., Series 2020-7A, Class AR, (3M CME Term SOFR + 1.30%, 1.30% Floor), 2.15%, 2/24/37(b)(c) | 350,000 | 344,986 |
Par (a) | Value | ||
Other (Continued) | |||
Owl Rock CLO III Ltd., Series 2020-3A, Class A1L, (3M USD LIBOR + 1.80%), 2.86%, 4/20/32(b)(c) | $270,000 | $272,293 | |
Palmer Square CLO Ltd., Series 2018-2A, Class A1A, (3M USD LIBOR + 1.10%), 2.14%, 7/16/31(b)(c) | 500,000 | 496,381 | |
Point Au Roche Park CLO Ltd., Series 2021-1A, Class A, (3M USD LIBOR + 1.08%, 1.08% Floor), 2.14%, 7/20/34(b)(c) | 620,000 | 609,268 | |
REESE PARK CLO Ltd., Series 2020-1A, Class AR, (3M USD LIBOR + 1.13%, 1.13% Floor), 2.17%, 10/15/34(b)(c) | 740,000 | 729,787 | |
RR 3 Ltd., Series 2018-3A, Class A1R2, (3M USD LIBOR + 1.09%, 1.09% Floor), 2.13%, 1/15/30(b)(c) | 250,000 | 248,733 | |
SBA Small Business Investment Cos., | |||
Series 2019-10A, Class 1, 3.11%, 3/10/29 | 70,657 | 68,652 | |
Series 2021-10A, Class 1, 1.67%, 3/10/31 | 225,889 | 206,160 | |
Silver Rock CLO I Ltd., Series 2020-1A, Class A, (3M USD LIBOR + 1.65%, 1.65% Floor), 2.71%, 10/20/31(b)(c) | 440,000 | 439,757 | |
Structured Asset Investment Loan Trust, Series 2004-7, Class A8, (1M USD LIBOR + 1.20%, 1.20% Floor), 1.87%, 8/25/34(c) | 209,235 | 206,074 | |
STWD Ltd., Series 2022-FL3, Class A, (30D Average SOFR + 1.35%, 1.35% Floor), 1.62%, 11/15/38(b)(c) | 630,000 | 623,554 | |
Sunrun Vulcan Issuer LLC, Series 2021-1A, Class A, 2.46%, 1/30/52(b) | 611,198 | 562,397 | |
Towd Point Mortgage Trust, | |||
Series 2016-3, Class B1, 4.08%, 4/25/56(b)(d) | 190,000 | 188,278 | |
Series 2017-4, Class B2, 3.41%, 6/25/57(b)(d) | 330,000 | 298,429 |
Par (a) | Value | ||
Other (Continued) | |||
Towd Point Mortgage Trust, | |||
Series 2020-2, Class M1B, 3.00%, 4/25/60(b)(d) | $240,000 | $ 213,639 | |
TRTX Issuer Ltd., Series 2022-FL5, Class A, (30D Average SOFR + 1.65%, 1.65% Floor), 1.92%, 2/15/39(b)(c) | 810,000 | 802,034 | |
United States Small Business Administration, | |||
Series 2019-20D, Class 1, 2.98%, 4/01/39 | 37,762 | 36,551 | |
Series 2019-25G, Class 1, 2.69%, 7/01/44 | 67,061 | 64,429 | |
Venture 31 CLO Ltd., Series 2018-31A, Class A1, (3M USD LIBOR + 1.03%, 1.03% Floor), 2.09%, 4/20/31(b)(c) | 410,000 | 406,255 | |
Voya CLO Ltd., | |||
Series 2018-2A, Class A1, (3M USD LIBOR + 1.00%, 1.00% Floor), 2.04%, 7/15/31(b)(c) | 570,000 | 564,750 | |
Series 2018-4A, Class A1AR, (3M USD LIBOR + 1.04%, 1.04% Floor), 2.08%, 1/15/32(b)(c) | 680,000 | 672,139 | |
Series 2017-3A, Class A1R, (3M USD LIBOR + 1.04%), 2.10%, 4/20/34(b)(c) | 230,000 | 225,092 | |
Whitebox CLO II Ltd., Series 2020-2A, Class A1R, (3M USD LIBOR + 1.22%, 1.22% Floor), 2.40%, 10/24/34(b)(c) | 290,000 | 286,545 | |
Whitebox CLO III Ltd., Series 2021-3A, Class A1, (3M USD LIBOR + 1.22%, 1.22% Floor), 2.26%, 10/15/34(b)(c) | 420,000 | 415,018 | |
28,702,714 | |||
Student Loan – 0.2% | |||
Navient Student Loan Trust, | |||
Series 2017-1A, Class A3, (1M USD LIBOR + 1.15%), 1.82%, 7/26/66(b)(c) | 248,508 | 248,284 |
Par (a) | Value | ||
Student Loan (Continued) | |||
Navient Student Loan Trust, | |||
Series 2017-2A, Class A, (1M USD LIBOR + 1.05%), 1.72%, 12/27/66(b)(c) | $110,515 | $ 110,790 | |
SLM Private Credit Student Loan Trust, Series 2006-B, Class A5, (3M USD LIBOR + 0.27%), 1.10%, 12/15/39(c) | 210,592 | 201,402 | |
SLM Private Education Loan Trust, Series 2010-C, Class A5, (1M USD LIBOR + 4.75%), 5.30%, 10/15/41(b)(c) | 267,219 | 295,682 | |
SMB Private Education Loan Trust 2021-A, Series 2021-A, Class A2B, 1.59%, 1/15/53(b) | 670,000 | 619,376 | |
Sofi Professional Loan Program Trust, Series 2018-B, Class A2FX, 3.34%, 8/25/47(b) | 88,277 | 88,094 | |
1,563,628 | |||
Total Asset-Backed Securities (Cost $34,091,984) | 33,192,378 | ||
Corporate Bonds – 22.4% | |||
Advertising – 0.0%(f) | |||
Interpublic (The) Group of Cos., Inc, 4.75%, 3/30/30 | 97,000 | 98,987 | |
Lamar Media Corp., 3.75%, 2/15/28 | 8,000 | 7,320 | |
Outfront Media Capital LLC/Outfront Media Capital Corp., | |||
5.00%, 8/15/27(b) | 82,000 | 78,002 | |
4.63%, 3/15/30(b) | 7,000 | 6,264 | |
190,573 | |||
Aerospace/Defense – 1.0% | |||
Boeing (The) Co., | |||
1.43%, 2/04/24 | 110,000 | 105,691 | |
4.88%, 5/01/25 | 360,000 | 364,501 | |
2.20%, 2/04/26 | 390,000 | 355,715 | |
3.10%, 5/01/26 | 40,000 | 37,832 | |
2.70%, 2/01/27 | 30,000 | 27,619 | |
2.80%, 3/01/27 | 40,000 | 36,881 | |
3.20%, 3/01/29 | 130,000 | 116,971 | |
5.15%, 5/01/30 | 470,000 | 466,282 | |
3.25%, 2/01/35 | 290,000 | 232,258 | |
5.71%, 5/01/40 | 170,000 | 169,848 | |
3.75%, 2/01/50 | 300,000 | 229,608 | |
5.81%, 5/01/50 | 430,000 | 430,025 |
Par (a) | Value | ||
Aerospace/Defense (Continued) | |||
Boeing (The) Co., | |||
5.93%, 5/01/60 | $140,000 | $ 138,620 | |
General Dynamics Corp., | |||
3.63%, 4/01/30 | 58,000 | 56,907 | |
4.25%, 4/01/40 | 10,000 | 9,875 | |
4.25%, 4/01/50 | 70,000 | 69,856 | |
L3Harris Technologies, Inc., | |||
3.95%, 5/28/24 | 62,000 | 62,811 | |
4.40%, 6/15/28 | 399,000 | 398,993 | |
1.80%, 1/15/31 | 328,000 | 269,041 | |
Lockheed Martin Corp., | |||
3.55%, 1/15/26 | 120,000 | 120,904 | |
6/15/32 (g) | 130,000 | 128,989 | |
3.60%, 3/01/35 | 222,000 | 210,312 | |
3.80%, 3/01/45 | 82,000 | 75,992 | |
2.80%, 6/15/50 | 49,000 | 37,864 | |
6/15/53 (g) | 460,000 | 445,972 | |
Northrop Grumman Corp., | |||
2.93%, 1/15/25 | 40,000 | 39,287 | |
3.25%, 1/15/28 | 787,000 | 755,360 | |
4.03%, 10/15/47 | 273,000 | 251,509 | |
5.25%, 5/01/50 | 785,000 | 855,827 | |
Raytheon Technologies Corp., | |||
3.15%, 12/15/24 | 105,000 | 103,899 | |
7.20%, 8/15/27 | 26,000 | 29,629 | |
7.00%, 11/01/28 | 90,000 | 102,739 | |
4.13%, 11/16/28 | 630,000 | 630,436 | |
2.25%, 7/01/30 | 100,000 | 86,761 | |
2.38%, 3/15/32 | 166,000 | 142,678 | |
4.50%, 6/01/42 | 46,000 | 45,578 | |
4.15%, 5/15/45 | 150,000 | 140,074 | |
3.75%, 11/01/46 | 50,000 | 44,221 | |
4.63%, 11/16/48 | 40,000 | 40,752 | |
3.13%, 7/01/50 | 460,000 | 366,387 | |
2.82%, 9/01/51 | 225,000 | 166,500 | |
3.03%, 3/15/52 | 122,000 | 94,109 | |
8,495,113 | |||
Agriculture – 0.3% | |||
Altria Group, Inc., | |||
2.35%, 5/06/25 | 30,000 | 28,586 | |
4.40%, 2/14/26 | 172,000 | 173,877 | |
2.20%, 6/15/27 | EUR | 100,000 | 102,835 |
4.80%, 2/14/29 | 240,000 | 237,705 | |
3.13%, 6/15/31 | EUR | 205,000 | 208,670 |
2.45%, 2/04/32 | 180,000 | 144,042 | |
5.80%, 2/14/39 | 202,000 | 200,066 | |
3.40%, 2/04/41 | 233,000 | 170,474 | |
5.95%, 2/14/49 | 325,000 | 317,363 | |
6.20%, 2/14/59 | 24,000 | 23,971 |
Par (a) | Value | ||
Agriculture (Continued) | |||
Cargill, Inc., 1.38%, 7/23/23(b) | $110,000 | $ 107,959 | |
Darling Ingredients, Inc., 5.25%, 4/15/27(b) | 18,000 | 18,000 | |
Philip Morris International, Inc., | |||
1.13%, 5/01/23 | 70,000 | 68,902 | |
2.10%, 5/01/30 | 70,000 | 59,802 | |
1.45%, 8/01/39 | EUR | 200,000 | 148,238 |
4.50%, 3/20/42 | 60,000 | 55,108 | |
2,065,598 | |||
Airlines – 0.2% | |||
American Airlines Pass Through Trust, | |||
Series 2015-2, Class B, 4.40%, 9/22/23 | 16,196 | 15,731 | |
Series 2016-1, Class B, 5.25%, 1/15/24 | 88,607 | 86,657 | |
Series 2017-1, Class B, 4.95%, 2/15/25 | 12,336 | 11,737 | |
Series 2015-2, Class AA, 3.60%, 9/22/27 | 12,884 | 12,302 | |
Series 2016-1, Class AA, 3.58%, 1/15/28 | 73,812 | 69,998 | |
Series 2019-1, Class B, 3.85%, 2/15/28 | 64,839 | 58,675 | |
Series 2016-2, Class AA, 3.20%, 6/15/28 | 22,935 | 21,506 | |
Series 2016-3, Class AA, 3.00%, 10/15/28 | 110,525 | 101,568 | |
Series 2017-1, Class AA, 3.65%, 2/15/29 | 19,695 | 18,662 | |
Series 2019-1, Class AA, 3.15%, 2/15/32 | 66,868 | 60,198 | |
Delta Air Lines Pass Through Trust, | |||
Series 2019-1, Class AA, 3.20%, 4/25/24 | 137,000 | 134,853 | |
Series 2015-1, Class AA, 3.63%, 7/30/27 | 53,790 | 52,005 | |
Delta Air Lines, Inc./SkyMiles IP Ltd., | |||
4.50%, 10/20/25(b) | 220,000 | 218,511 | |
4.75%, 10/20/28(b) | 260,000 | 256,968 | |
United Airlines Pass Through Trust, | |||
Series 2016-2, Class B, 3.65%, 10/07/25 | 2,458 | 2,283 | |
Series 2020-1, Class B, 4.88%, 1/15/26 | 53,950 | 51,994 | |
Series 2014-1, Class A, 4.00%, 4/11/26 | 86,176 | 85,331 | |
Series 2020-1, Class A, 5.88%, 10/15/27 | 376,845 | 384,679 |
Par (a) | Value | ||
Airlines (Continued) | |||
United Airlines Pass Through Trust, | |||
Series 2015-1, Class AA, 3.45%, 12/01/27 | $ 734 | $ 711 | |
Series 2019-2, Class B, 3.50%, 5/01/28 | 47,299 | 43,082 | |
Series 2016-1, Class AA, 3.10%, 7/07/28 | 2,288 | 2,135 | |
Series 2016-2, Class AA, 2.88%, 10/07/28 | 16,767 | 15,543 | |
Series 2018-1, Class AA, 3.50%, 3/01/30(h) | 15,010 | 13,903 | |
Series 2019-2, Class AA, 2.70%, 5/01/32 | 54,603 | 48,616 | |
1,767,648 | |||
Apparel – 0.0%(f) | |||
NIKE, Inc., | |||
2.40%, 3/27/25 | 60,000 | 58,670 | |
2.75%, 3/27/27 | 100,000 | 96,534 | |
2.85%, 3/27/30 | 100,000 | 93,090 | |
3.25%, 3/27/40 | 50,000 | 44,298 | |
3.38%, 3/27/50 | 20,000 | 17,583 | |
310,175 | |||
Auto Manufacturers – 0.2% | |||
Ford Motor Co., 3.25%, 2/12/32 | 21,000 | 17,066 | |
General Motors Co., | |||
4.88%, 10/02/23 | 560,000 | 571,474 | |
6.60%, 4/01/36 | 10,000 | 10,776 | |
5.95%, 4/01/49 | 70,000 | 70,025 | |
General Motors Financial Co., Inc., | |||
3.70%, 5/09/23 | 68,000 | 68,350 | |
1.70%, 8/18/23 | 203,000 | 198,964 | |
5.10%, 1/17/24 | 70,000 | 71,569 | |
1.05%, 3/08/24 | 269,000 | 256,777 | |
2.75%, 6/20/25 | 359,000 | 344,007 | |
2.40%, 10/15/28 | 139,000 | 118,918 | |
3.10%, 1/12/32 | 60,000 | 50,603 | |
1,778,529 | |||
Banks – 6.0% | |||
Bank of America Corp., | |||
(3M USD LIBOR + 0.79%), 3.00%, 12/20/23(i) | 93,000 | 92,782 | |
(3M USD LIBOR + 0.78%), 3.55%, 3/05/24(i) | 93,000 | 93,059 | |
4.20%, 8/26/24 | 60,000 | 60,551 | |
(SOFR + 0.74%), 0.81%, 10/24/24(i) | 39,000 | 37,433 | |
3.95%, 4/21/25 | 79,000 | 78,592 |
Par (a) | Value | ||
Banks (Continued) | |||
Bank of America Corp., | |||
(3M USD LIBOR + 0.87%), 2.46%, 10/22/25(i) | $ 232,000 | $ 223,361 | |
(3M USD LIBOR + 0.81%), 3.37%, 1/23/26(i) | 62,000 | 60,642 | |
(SOFR + 1.33%), 3.38%, 4/02/26(i) | 287,000 | 280,764 | |
(SOFR + 1.15%), 1.32%, 6/19/26(i) | 290,000 | 265,738 | |
4.25%, 10/22/26 | 680,000 | 678,502 | |
(SOFR + 1.01%), 1.20%, 10/24/26(i) | 85,000 | 76,700 | |
(SOFR + 0.91%), 1.66%, 3/11/27(i) | 893,000 | 808,635 | |
(3M USD LIBOR + 1.06%), 3.56%, 4/23/27(i) | 384,000 | 372,568 | |
(SOFR + 0.96%), 1.73%, 7/22/27(i) | 662,000 | 594,068 | |
(3M USD LIBOR + 1.58%), 3.82%, 1/20/28(i) | 398,000 | 386,932 | |
(SOFR + 1.05%), 2.55%, 2/04/28(h)(i) | 202,000 | 186,577 | |
(3M USD LIBOR + 2.93%), 5.88%, 3/15/28(i)(j) | 171,000 | 163,698 | |
(3M USD LIBOR + 1.51%), 3.71%, 4/24/28(i) | 252,000 | 243,058 | |
(SOFR + 1.58%), 4.38%, 4/27/28(i) | 910,000 | 908,298 | |
(3M USD LIBOR + 1.37%), 3.59%, 7/21/28(i) | 239,000 | 229,683 | |
(3M USD LIBOR + 1.04%), 3.42%, 12/20/28(i) | 600,000 | 567,714 | |
(3M USD LIBOR + 1.07%), 3.97%, 3/05/29(i) | 138,000 | 133,444 | |
(3M USD LIBOR + 1.21%), 3.97%, 2/07/30(i) | 1,127,000 | 1,087,945 | |
(3M USD LIBOR + 1.18%), 3.19%, 7/23/30(i) | 166,000 | 151,782 | |
(3M USD LIBOR + 1.19%), 2.88%, 10/22/30(i) | 393,000 | 351,085 | |
(SOFR + 2.15%), 2.59%, 4/29/31(i) | 1,176,000 | 1,015,385 | |
(SOFR + 1.53%), 1.90%, 7/23/31(i) | 200,000 | 163,421 | |
(SOFR + 1.22%), 2.30%, 7/21/32(i) | 260,000 | 214,660 | |
(SOFR + 1.21%), 2.57%, 10/20/32(i) | 508,000 | 429,156 | |
(SOFR + 1.33%), 2.97%, 2/04/33(i) | 1,585,000 | 1,379,190 | |
(SOFR + 1.83%), 4.57%, 4/27/33(i) | 535,000 | 532,621 | |
5.00%, 1/21/44 | 170,000 | 173,454 | |
(3M USD LIBOR + 1.52%), 4.33%, 3/15/50(i) | 30,000 | 28,218 |
Par (a) | Value | ||
Banks (Continued) | |||
Bank of America Corp., | |||
(3M USD LIBOR + 3.15%), 4.08%, 3/20/51(i) | $ 450,000 | $ 404,156 | |
Bank of New York Mellon (The) Corp., | |||
1.60%, 4/24/25 | 60,000 | 56,921 | |
(5Y US Treasury CMT + 3.35%), 3.70%, 3/20/26(i)(j) | 90,000 | 83,250 | |
(3M USD LIBOR + 3.13%), 4.63%, 9/20/26(i)(j) | 136,000 | 127,160 | |
Citigroup, Inc., | |||
(SOFR + 1.67%), 1.68%, 5/15/24(i) | 120,000 | 118,228 | |
5.50%, 9/13/25 | 120,000 | 125,152 | |
(SOFR + 0.69%), 2.01%, 1/25/26(i) | 237,000 | 224,058 | |
(5Y US Treasury CMT + 3.42%), 3.88%, 2/18/26(i)(j) | 82,000 | 74,072 | |
(SOFR + 1.53%), 3.29%, 3/17/26(i) | 545,000 | 531,467 | |
(SOFR + 2.84%), 3.11%, 4/08/26(i) | 80,000 | 77,396 | |
(SOFR + 1.28%), 3.07%, 2/24/28(i) | 610,000 | 573,043 | |
(3M USD LIBOR + 1.39%), 3.67%, 7/24/28(i) | 617,000 | 593,418 | |
(3M USD LIBOR + 1.15%), 3.52%, 10/27/28(i) | 1,213,000 | 1,153,921 | |
(3M USD LIBOR + 1.19%), 4.08%, 4/23/29(i) | 150,000 | 145,364 | |
(3M USD LIBOR + 1.34%), 3.98%, 3/20/30(i) | 550,000 | 526,073 | |
(SOFR + 1.42%), 2.98%, 11/05/30(i) | 519,000 | 463,542 | |
(SOFR + 3.91%), 4.41%, 3/31/31(i) | 290,000 | 283,252 | |
(SOFR + 2.11%), 2.57%, 6/03/31(i) | 760,000 | 652,029 | |
(SOFR + 1.35%), 3.06%, 1/25/33(i) | 98,000 | 85,571 | |
(SOFR + 1.94%), 3.79%, 3/17/33(i) | 340,000 | 314,801 | |
8.13%, 7/15/39 | 580,000 | 798,592 | |
4.65%, 7/23/48 | 30,000 | 29,564 | |
Citizens Financial Group, Inc., 3.25%, 4/30/30 | 58,000 | 53,027 | |
Goldman Sachs Group (The), Inc., | |||
3.63%, 2/20/24 | 120,000 | 120,223 | |
4.00%, 3/03/24 | 418,000 | 421,772 | |
3.00%, 3/15/24 | 382,000 | 378,950 | |
3.85%, 7/08/24 | 30,000 | 30,166 |
Par (a) | Value | ||
Banks (Continued) | |||
Goldman Sachs Group (The), Inc., | |||
3.50%, 4/01/25 | $ 575,000 | $ 566,315 | |
(3M USD LIBOR + 1.20%), 3.27%, 9/29/25(i) | 69,000 | 67,889 | |
(SOFR + 0.61%), 0.86%, 2/12/26(i) | 77,000 | 70,299 | |
3.75%, 2/25/26 | 18,000 | 17,878 | |
3.50%, 11/16/26 | 672,000 | 655,301 | |
3.85%, 1/26/27 | 547,000 | 534,731 | |
(SOFR + 0.80%), 1.43%, 3/09/27(i) | 277,000 | 247,269 | |
(SOFR + 1.11%), 2.64%, 2/24/28(i) | 80,000 | 73,514 | |
(SOFR + 1.85%), 3.62%, 3/15/28(i) | 551,000 | 528,765 | |
(3M USD LIBOR + 1.51%), 3.69%, 6/05/28(i) | 59,000 | 56,581 | |
(3M USD LIBOR + 1.16%), 3.81%, 4/23/29(i) | 400,000 | 383,735 | |
(3M USD LIBOR + 1.30%), 4.22%, 5/01/29(i) | 2,009,000 | 1,961,187 | |
(SOFR + 1.28%), 2.62%, 4/22/32(i) | 130,000 | 109,958 | |
(SOFR + 1.26%), 2.65%, 10/21/32(i) | 359,000 | 302,828 | |
(SOFR + 1.41%), 3.10%, 2/24/33(i) | 751,000 | 656,305 | |
(SOFR + 1.51%), 3.21%, 4/22/42(i) | 80,000 | 64,387 | |
(SOFR + 1.47%), 2.91%, 7/21/42(i) | 160,000 | 122,033 | |
5.15%, 5/22/45 | 410,000 | 410,302 | |
4.75%, 10/21/45 | 230,000 | 227,586 | |
JPMorgan Chase & Co., | |||
(SOFR + 1.46%), 1.51%, 6/01/24(i) | 310,000 | 305,073 | |
(3M USD LIBOR + 1.00%), 4.02%, 12/05/24(i) | 559,000 | 561,528 | |
(3M CME Term SOFR + 1.59%), 2.01%, 3/13/26(i) | 732,000 | 689,606 | |
(SOFR + 1.85%), 2.08%, 4/22/26(i) | 200,000 | 188,086 | |
(SOFR + 1.32%), 4.08%, 4/26/26(i) | 880,000 | 877,768 | |
(3M USD LIBOR + 1.25%), 3.96%, 1/29/27(i) | 35,000 | 34,632 | |
(SOFR + 0.89%), 1.58%, 4/22/27(i) | 530,000 | 479,449 | |
(3M USD LIBOR + 1.34%), 3.78%, 2/01/28(i) | 610,000 | 591,891 | |
(SOFR + 1.17%), 2.95%, 2/24/28(i) | 244,000 | 229,699 |
Par (a) | Value | ||
Banks (Continued) | |||
JPMorgan Chase & Co., | |||
(3M USD LIBOR + 1.38%), 3.54%, 5/01/28(i) | $ 428,000 | $ 410,672 | |
(3M USD LIBOR + 1.12%), 4.01%, 4/23/29(i) | 125,000 | 121,925 | |
(3M USD LIBOR + 1.33%), 4.45%, 12/05/29(i) | 929,000 | 920,199 | |
(SOFR + 2.04%), 2.52%, 4/22/31(i) | 510,000 | 443,047 | |
(SOFR + 1.25%), 2.58%, 4/22/32(i) | 320,000 | 273,990 | |
(SOFR + 1.18%), 2.55%, 11/08/32(i) | 130,000 | 110,062 | |
(SOFR + 1.26%), 2.96%, 1/25/33(i) | 469,000 | 412,613 | |
(SOFR + 1.80%), 4.59%, 4/26/33(i) | 175,000 | 175,792 | |
4.95%, 6/01/45 | 220,000 | 220,232 | |
(3M USD LIBOR + 1.58%), 4.26%, 2/22/48(i) | 151,000 | 140,241 | |
(3M USD LIBOR + 1.46%), 4.03%, 7/24/48(i) | 52,000 | 46,605 | |
(3M USD LIBOR + 1.22%), 3.90%, 1/23/49(i) | 24,000 | 21,160 | |
(SOFR + 2.44%), 3.11%, 4/22/51(i) | 50,000 | 38,488 | |
Morgan Stanley, | |||
(SOFR + 0.62%), 0.73%, 4/05/24(i) | 1,602,000 | 1,559,839 | |
(3M USD LIBOR + 0.85%), 3.74%, 4/24/24(i) | 475,000 | 474,779 | |
(SOFR + 1.16%), 3.62%, 4/17/25(i) | 710,000 | 706,329 | |
3.88%, 1/27/26 | 87,000 | 86,240 | |
(SOFR + 1.99%), 2.19%, 4/28/26(i) | 460,000 | 433,833 | |
3.63%, 1/20/27 | 543,000 | 529,526 | |
(SOFR + 0.88%), 1.59%, 5/04/27(i) | 190,000 | 170,850 | |
(SOFR + 0.86%), 1.51%, 7/20/27(i) | 119,000 | 105,935 | |
(SOFR + 1.61%), 4.21%, 4/20/28(i) | 165,000 | 163,676 | |
(3M USD LIBOR + 1.34%), 3.59%, 7/22/28(i) | 444,000 | 425,273 | |
(3M USD LIBOR + 1.14%), 3.77%, 1/24/29(i) | 370,000 | 356,734 | |
(3M USD LIBOR + 1.63%), 4.43%, 1/23/30(i) | 838,000 | 829,248 | |
(SOFR + 1.14%), 2.70%, 1/22/31(i) | 1,111,000 | 976,426 | |
(SOFR + 3.12%), 3.62%, 4/01/31(i) | 420,000 | 392,996 | |
(SOFR + 1.02%), 1.93%, 4/28/32(i) | 63,000 | 50,748 |
Par (a) | Value | ||
Banks (Continued) | |||
Morgan Stanley, | |||
(SOFR + 1.18%), 2.24%, 7/21/32(i) | $ 265,000 | $ 218,739 | |
(SOFR + 1.20%), 2.51%, 10/20/32(i) | 314,000 | 263,969 | |
(SOFR + 1.29%), 2.94%, 1/21/33(i) | 376,000 | 327,767 | |
State Street Corp., (3M USD LIBOR + 2.54%), 5.63%, 12/15/23(i)(j) | 292,000 | 279,056 | |
U.S. Bancorp, 1.45%, 5/12/25 | 250,000 | 235,491 | |
Wells Fargo & Co., | |||
3.75%, 1/24/24 | 160,000 | 161,180 | |
(SOFR + 1.32%), 3.91%, 4/25/26(i) | 460,000 | 456,766 | |
(SOFR + 2.00%), 2.19%, 4/30/26(i) | 570,000 | 538,414 | |
3.00%, 10/23/26 | 80,000 | 76,388 | |
4.30%, 7/22/27 | 270,000 | 269,658 | |
(3M USD LIBOR + 1.31%), 3.58%, 5/22/28(i) | 300,000 | 287,543 | |
(SOFR + 2.10%), 2.39%, 6/02/28(i) | 130,000 | 118,265 | |
4.15%, 1/24/29 | 820,000 | 810,096 | |
(SOFR + 1.43%), 2.88%, 10/30/30(i) | 250,000 | 224,088 | |
(SOFR + 4.03%), 4.48%, 4/04/31(i) | 333,000 | 331,647 | |
(SOFR + 1.50%), 3.35%, 3/02/33(i) | 80,000 | 72,688 | |
4.40%, 6/14/46 | 40,000 | 37,091 | |
4.75%, 12/07/46 | 370,000 | 362,361 | |
(SOFR + 4.50%), 5.01%, 4/04/51(i) | 2,210,000 | 2,298,457 | |
(SOFR + 2.13%), 4.61%, 4/25/53(i) | 100,000 | 98,457 | |
49,595,058 | |||
Beverages – 0.1% | |||
Coca-Cola (The) Co., | |||
3.38%, 3/25/27 | 280,000 | 279,398 | |
1.45%, 6/01/27(h) | 90,000 | 81,980 | |
2.50%, 6/01/40 | 50,000 | 40,045 | |
PepsiCo, Inc., | |||
0.75%, 5/01/23 | 120,000 | 118,048 | |
2.25%, 3/19/25 | 10,000 | 9,759 | |
2.63%, 3/19/27 | 10,000 | 9,644 | |
1.63%, 5/01/30 | 40,000 | 34,161 | |
2.88%, 10/15/49 | 40,000 | 32,480 | |
605,515 |
Par (a) | Value | ||
Biotechnology – 0.1% | |||
Amgen, Inc., | |||
4.40%, 5/01/45 | $252,000 | $234,217 | |
4.20%, 2/22/52 | 34,000 | 30,609 | |
Biogen, Inc., | |||
2.25%, 5/01/30 | 258,000 | 215,676 | |
3.15%, 5/01/50(h) | 75,000 | 52,187 | |
Gilead Sciences, Inc., | |||
4.75%, 3/01/46 | 361,000 | 357,442 | |
4.15%, 3/01/47 | 54,000 | 49,347 | |
939,478 | |||
Building Materials – 0.0%(f) | |||
Carrier Global Corp., | |||
2.24%, 2/15/25 | 37,000 | 35,419 | |
3.58%, 4/05/50 | 10,000 | 8,021 | |
Masonite International Corp., 5.38%, 2/01/28(b) | 33,000 | 31,594 | |
Owens Corning, 3.95%, 8/15/29 | 16,000 | 15,647 | |
Standard Industries, Inc., | |||
5.00%, 2/15/27(b) | 33,000 | 31,268 | |
4.75%, 1/15/28(b) | 10,000 | 9,200 | |
131,149 | |||
Chemicals – 0.1% | |||
DuPont de Nemours, Inc., 4.49%, 11/15/25 | 278,000 | 282,875 | |
Ecolab, Inc., 2.75%, 8/18/55 | 97,000 | 71,003 | |
LYB International Finance III LLC, 4.20%, 5/01/50 | 108,000 | 94,105 | |
RPM International, Inc., 4.25%, 1/15/48 | 3,000 | 2,749 | |
Sherwin-Williams (The) Co., 2.30%, 5/15/30 | 155,000 | 134,509 | |
Westlake Corp., 3.38%, 8/15/61 | 103,000 | 73,858 | |
659,099 | |||
Commercial Services – 0.2% | |||
Cintas Corp. No. 2, 3.70%, 4/01/27 | 20,000 | 19,869 | |
Global Payments, Inc., | |||
1.20%, 3/01/26 | 359,000 | 322,478 | |
4.80%, 4/01/26 | 237,000 | 242,401 | |
2.15%, 1/15/27 | 80,000 | 72,532 | |
4.45%, 6/01/28 | 45,000 | 44,792 | |
3.20%, 8/15/29 | 208,000 | 189,207 | |
2.90%, 5/15/30 | 166,000 | 146,138 | |
Herc Holdings, Inc., 5.50%, 7/15/27(b) | 72,000 | 70,538 | |
Moody's Corp., | |||
3.25%, 1/15/28 | 50,000 | 48,255 |
Par (a) | Value | ||
Commercial Services (Continued) | |||
Moody's Corp., | |||
3.75%, 2/25/52 | $ 2,000 | $ 1,702 | |
3.10%, 11/29/61 | 111,000 | 78,684 | |
PayPal Holdings, Inc., | |||
1.35%, 6/01/23 | 90,000 | 88,824 | |
1.65%, 6/01/25 | 90,000 | 85,073 | |
2.30%, 6/01/30 | 150,000 | 131,022 | |
S&P Global, Inc., 4.75%, 8/01/28(b) | 174,000 | 180,469 | |
1,721,984 | |||
Computers – 0.3% | |||
Apple, Inc., | |||
0.75%, 5/11/23 | 39,000 | 38,432 | |
1.13%, 5/11/25(h) | 260,000 | 245,086 | |
2.45%, 8/04/26 | 100,000 | 96,578 | |
2.90%, 9/12/27 | 460,000 | 444,697 | |
3.85%, 5/04/43 | 200,000 | 189,845 | |
2.55%, 8/20/60 | 134,000 | 94,052 | |
2.80%, 2/08/61 | 108,000 | 78,961 | |
Dell International LLC/EMC Corp., | |||
8.35%, 7/15/46(h) | 10,000 | 13,344 | |
3.45%, 12/15/51(b) | 85,000 | 59,937 | |
Hewlett Packard Enterprise Co., 6.35%, 10/15/45 | 30,000 | 31,751 | |
HP, Inc., | |||
2.65%, 6/17/31 | 50,000 | 41,285 | |
6.00%, 9/15/41 | 22,000 | 22,885 | |
International Business Machines Corp., | |||
3.00%, 5/15/24 | 270,000 | 268,704 | |
4.25%, 5/15/49 | 100,000 | 94,102 | |
3.43%, 2/09/52 | 140,000 | 115,134 | |
Leidos, Inc., | |||
4.38%, 5/15/30 | 289,000 | 279,209 | |
2.30%, 2/15/31 | 172,000 | 141,684 | |
Seagate HDD Cayman, 4.09%, 6/01/29 | 70,000 | 62,125 | |
Western Digital Corp., 2.85%, 2/01/29 | 296,000 | 262,165 | |
2,579,976 | |||
Cosmetics/Personal Care – 0.1% | |||
GSK Consumer Healthcare Capital U.S. LLC, 3.63%, 3/24/32(b) | 480,000 | 450,891 | |
Procter & Gamble (The) Co., | |||
2.80%, 3/25/27 | 20,000 | 19,426 | |
3.00%, 3/25/30 | 60,000 | 56,958 | |
527,275 |
Par (a) | Value | ||
Distribution/Wholesale – 0.0%(f) | |||
KAR Auction Services, Inc., 5.13%, 6/01/25(b)(h) | $ 59,000 | $ 59,664 | |
Diversified Financial Services – 0.4% | |||
Air Lease Corp., 3.38%, 7/01/25 | 70,000 | 67,546 | |
American Express Co., | |||
3.38%, 5/03/24 | 170,000 | 169,864 | |
2.50%, 7/30/24 | 410,000 | 401,369 | |
4.20%, 11/06/25 | 70,000 | 71,653 | |
2.55%, 3/04/27 | 77,000 | 72,483 | |
4.05%, 5/03/29 | 210,000 | 208,036 | |
Blackstone Private Credit Fund, | |||
3.25%, 3/15/27(b) | 217,000 | 194,575 | |
4.00%, 1/15/29(b) | 154,000 | 137,981 | |
Capital One Financial Corp., | |||
3.90%, 1/29/24 | 267,000 | 268,285 | |
(SOFR + 1.79%), 3.27%, 3/01/30(i) | 138,000 | 125,455 | |
Charles Schwab (The) Corp., | |||
(5Y US Treasury CMT + 3.17%), 4.00%, 6/01/26(i)(j) | 75,000 | 68,006 | |
3.20%, 3/02/27 | 4,000 | 3,908 | |
(10Y US Treasury CMT + 3.08%), 4.00%, 12/01/30(i)(j) | 205,000 | 173,762 | |
Discover Financial Services, 4.50%, 1/30/26 | 7,000 | 7,083 | |
Intercontinental Exchange, Inc., | |||
3.75%, 9/21/28 | 51,000 | 50,328 | |
2.10%, 6/15/30 | 157,000 | 135,764 | |
1.85%, 9/15/32 | 64,000 | 51,734 | |
Mastercard, Inc., 3.85%, 3/26/50 | 300,000 | 283,201 | |
Navient Corp., | |||
7.25%, 9/25/23 | 19,000 | 19,475 | |
5.88%, 10/25/24 | 28,000 | 27,790 | |
6.75%, 6/25/25 | 30,000 | 29,925 | |
6.75%, 6/15/26 | 28,000 | 27,511 | |
Nuveen LLC, 4.00%, 11/01/28(b) | 100,000 | 99,692 | |
Synchrony Financial, | |||
4.50%, 7/23/25 | 2,000 | 2,009 | |
3.70%, 8/04/26 | 44,000 | 42,079 | |
USAA Capital Corp., 2.13%, 5/01/30(b) | 150,000 | 131,678 | |
Vanguard Group (The), Inc., 3.05%, 8/22/50(k) | 170,000 | 132,249 |
Par (a) | Value | ||
Diversified Financial Services (Continued) | |||
Visa, Inc., | |||
3.15%, 12/14/25 | $230,000 | $ 228,382 | |
4.30%, 12/14/45 | 170,000 | 170,688 | |
3,402,511 | |||
Electric – 1.1% | |||
AEP Texas, Inc., | |||
3.95%, 6/01/28 | 212,000 | 208,557 | |
3.45%, 1/15/50 | 28,000 | 22,319 | |
3.45%, 5/15/51 | 124,000 | 97,732 | |
AEP Transmission Co. LLC, | |||
3.80%, 6/15/49 | 65,000 | 57,399 | |
3.15%, 9/15/49 | 101,000 | 78,907 | |
3.65%, 4/01/50 | 144,000 | 123,524 | |
2.75%, 8/15/51 | 10,000 | 7,336 | |
Alabama Power Co., | |||
3.75%, 3/01/45 | 101,000 | 86,784 | |
3.70%, 12/01/47 | 53,000 | 46,209 | |
3.45%, 10/01/49 | 47,000 | 38,563 | |
Ameren Illinois Co., | |||
3.80%, 5/15/28 | 46,000 | 45,769 | |
3.25%, 3/15/50 | 116,000 | 94,317 | |
American Transmission Systems, Inc., 2.65%, 1/15/32(b) | 203,000 | 176,561 | |
Baltimore Gas and Electric Co., | |||
3.75%, 8/15/47 | 62,000 | 54,661 | |
3.20%, 9/15/49 | 40,000 | 31,896 | |
2.90%, 6/15/50 | 164,000 | 124,777 | |
CenterPoint Energy Houston Electric LLC, | |||
2.35%, 4/01/31 | 75,000 | 66,209 | |
4.25%, 2/01/49 | 2,000 | 1,978 | |
3.35%, 4/01/51 | 125,000 | 106,870 | |
3.60%, 3/01/52 | 56,000 | 49,578 | |
Cleveland Electric Illuminating (The) Co., 3.50%, 4/01/28(b) | 100,000 | 94,141 | |
Commonwealth Edison Co., | |||
4.00%, 3/01/49 | 67,000 | 61,984 | |
3.00%, 3/01/50 | 52,000 | 40,974 | |
3.13%, 3/15/51 | 55,000 | 44,192 | |
3.85%, 3/15/52 | 32,000 | 29,332 | |
Consolidated Edison Co. of New York, Inc., | |||
3.35%, 4/01/30 | 50,000 | 47,302 | |
3.95%, 4/01/50 | 20,000 | 18,077 | |
Consumers Energy Co., | |||
4.05%, 5/15/48 | 54,000 | 51,407 | |
3.75%, 2/15/50 | 151,000 | 137,759 | |
3.10%, 8/15/50 | 41,000 | 32,854 |
Par (a) | Value | ||
Electric (Continued) | |||
Consumers Energy Co., | |||
3.50%, 8/01/51 | $ 75,000 | $ 65,122 | |
DTE Electric Co., | |||
4.05%, 5/15/48 | 10,000 | 9,470 | |
3.95%, 3/01/49 | 160,000 | 147,744 | |
3.65%, 3/01/52(h) | 36,000 | 31,933 | |
Duke Energy Carolinas LLC, | |||
3.95%, 11/15/28 | 28,000 | 27,983 | |
3.88%, 3/15/46 | 59,000 | 53,466 | |
3.95%, 3/15/48 | 122,000 | 111,128 | |
3.55%, 3/15/52 | 112,000 | 96,506 | |
Duke Energy Florida LLC, | |||
3.80%, 7/15/28 | 40,000 | 39,452 | |
2.50%, 12/01/29 | 325,000 | 293,768 | |
Duke Energy Progress LLC, | |||
3.45%, 3/15/29 | 233,000 | 223,783 | |
2.50%, 8/15/50 | 100,000 | 71,472 | |
Edison International, 4.95%, 4/15/25 | 129,000 | 131,241 | |
Entergy Louisiana LLC, 4.20%, 9/01/48 | 148,000 | 141,456 | |
Exelon Corp., | |||
2.75%, 3/15/27(b)(h) | 50,000 | 47,237 | |
5.10%, 6/15/45 | 16,000 | 16,171 | |
4.70%, 4/15/50 | 52,000 | 50,533 | |
4.10%, 3/15/52(b) | 55,000 | 48,835 | |
FirstEnergy Corp., | |||
2.05%, 3/01/25 | 22,000 | 20,735 | |
1.60%, 1/15/26 | 40,000 | 36,542 | |
4.40%, 7/15/27 | 499,000 | 484,125 | |
2.65%, 3/01/30 | 142,000 | 120,420 | |
2.25%, 9/01/30 | 56,000 | 46,760 | |
7.38%, 11/15/31 | 410,000 | 470,192 | |
5.35%, 7/15/47 | 90,000 | 84,123 | |
FirstEnergy Transmission LLC, | |||
4.35%, 1/15/25(b) | 285,000 | 284,393 | |
4.55%, 4/01/49(b) | 246,000 | 211,998 | |
Florida Power & Light Co., | |||
5.25%, 2/01/41 | 5,000 | 5,443 | |
4.05%, 10/01/44 | 33,000 | 31,581 | |
3.70%, 12/01/47 | 125,000 | 114,262 | |
3.95%, 3/01/48 | 105,000 | 99,227 | |
3.99%, 3/01/49 | 58,000 | 55,117 | |
3.15%, 10/01/49 | 110,000 | 91,013 | |
2.88%, 12/04/51 | 50,000 | 39,140 | |
MidAmerican Energy Co., | |||
3.10%, 5/01/27 | 35,000 | 33,992 | |
3.65%, 4/15/29 | 589,000 | 581,003 | |
4.25%, 7/15/49 | 85,000 | 82,475 | |
3.15%, 4/15/50 | 40,000 | 32,425 |
Par (a) | Value | ||
Electric (Continued) | |||
Mid-Atlantic Interstate Transmission LLC, 4.10%, 5/15/28(b) | $ 27,000 | $ 26,377 | |
Northern States Power Co., | |||
2.25%, 4/01/31(h) | 5,000 | 4,391 | |
2.90%, 3/01/50 | 50,000 | 39,108 | |
2.60%, 6/01/51 | 104,000 | 77,516 | |
NRG Energy, Inc., | |||
2.45%, 12/02/27(b) | 265,000 | 234,730 | |
5.75%, 1/15/28 | 33,000 | 32,258 | |
5.25%, 6/15/29(b) | 47,000 | 44,268 | |
NSTAR Electric Co., 3.95%, 4/01/30 | 28,000 | 27,795 | |
Ohio Power Co., | |||
1.63%, 1/15/31 | 107,000 | 87,317 | |
4.15%, 4/01/48 | 14,000 | 12,793 | |
4.00%, 6/01/49 | 45,000 | 39,900 | |
Oncor Electric Delivery Co. LLC, | |||
5.75%, 3/15/29 | 4,000 | 4,390 | |
4.10%, 11/15/48 | 51,000 | 49,065 | |
3.80%, 6/01/49 | 69,000 | 63,494 | |
5.35%, 10/01/52 | 24,000 | 27,033 | |
Pacific Gas and Electric Co., | |||
2.10%, 8/01/27 | 50,000 | 43,072 | |
2.50%, 2/01/31 | 193,000 | 152,755 | |
3.30%, 8/01/40 | 20,000 | 14,576 | |
3.50%, 8/01/50 | 20,000 | 13,942 | |
PECO Energy Co., | |||
3.00%, 9/15/49 | 65,000 | 51,061 | |
3.05%, 3/15/51 | 99,000 | 78,871 | |
Progress Energy, Inc., 7.75%, 3/01/31 | 180,000 | 218,889 | |
Public Service Electric and Gas Co., | |||
3.65%, 9/01/28 | 3,000 | 2,966 | |
3.20%, 5/15/29 | 50,000 | 47,775 | |
2.05%, 8/01/50 | 80,000 | 53,369 | |
3.00%, 3/01/51 | 42,000 | 33,239 | |
Southern California Edison Co., | |||
3.70%, 8/01/25 | 28,000 | 27,931 | |
2.25%, 6/01/30 | 262,000 | 224,036 | |
Southwestern Public Service Co., 3.15%, 5/01/50 | 145,000 | 116,154 | |
Tampa Electric Co., | |||
4.45%, 6/15/49 | 17,000 | 16,521 | |
3.45%, 3/15/51 | 92,000 | 75,718 |
Par (a) | Value | ||
Electric (Continued) | |||
Trans-Allegheny Interstate Line Co., 3.85%, 6/01/25(b) | $299,000 | $ 296,964 | |
Virginia Electric and Power Co., | |||
3.15%, 1/15/26 | 37,000 | 36,252 | |
3.80%, 4/01/28 | 37,000 | 36,638 | |
6.00%, 1/15/36 | 25,000 | 28,278 | |
6.00%, 5/15/37 | 42,000 | 47,897 | |
4.00%, 1/15/43 | 30,000 | 27,494 | |
Vistra Operations Co. LLC, | |||
5.50%, 9/01/26(b) | 64,000 | 63,776 | |
5.63%, 2/15/27(b) | 54,000 | 53,190 | |
5.00%, 7/31/27(b) | 53,000 | 50,483 | |
4.30%, 7/15/29(b) | 310,000 | 287,904 | |
9,480,420 | |||
Electrical Component & Equipment – 0.0%(f) | |||
Emerson Electric Co., 2.80%, 12/21/51 | 400,000 | 304,459 | |
Electronics – 0.0%(f) | |||
Agilent Technologies, Inc., | |||
3.05%, 9/22/26 | 81,000 | 78,420 | |
2.75%, 9/15/29 | 43,000 | 38,571 | |
2.10%, 6/04/30 | 152,000 | 127,068 | |
Honeywell International, Inc., 1.35%, 6/01/25 | 70,000 | 66,250 | |
310,309 | |||
Entertainment – 0.2% | |||
Caesars Entertainment, Inc., 4.63%, 10/15/29(b)(h) | 24,000 | 20,580 | |
Cedar Fair L.P., 5.25%, 7/15/29 | 43,000 | 40,689 | |
Cedar Fair L.P./Canada's Wonderland Co./Magnum Management Corp./Millennium Operations LLC, | |||
5.50%, 5/01/25(b) | 39,000 | 39,195 | |
5.38%, 4/15/27(h) | 51,000 | 49,594 | |
Churchill Downs, Inc., | |||
5.50%, 4/01/27(b) | 72,000 | 70,697 | |
4.75%, 1/15/28(b) | 38,000 | 35,579 | |
Magallanes, Inc., | |||
3.43%, 3/15/24(b) | 147,000 | 146,027 | |
3.76%, 3/15/27(b)(h) | 80,000 | 77,372 | |
4.05%, 3/15/29(b) | 140,000 | 133,681 | |
4.28%, 3/15/32(b) | 610,000 | 566,626 | |
5.05%, 3/15/42(b) | 30,000 | 27,331 | |
5.14%, 3/15/52(b) | 450,000 | 401,189 |
Par (a) | Value | ||
Entertainment (Continued) | |||
Six Flags Entertainment Corp., | |||
4.88%, 7/31/24(b) | $ 64,000 | $ 63,744 | |
5.50%, 4/15/27(b)(h) | 38,000 | 37,240 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(b) | 53,000 | 46,408 | |
1,755,952 | |||
Environmental Control – 0.1% | |||
Republic Services, Inc., | |||
2.50%, 8/15/24 | 70,000 | 68,485 | |
3.95%, 5/15/28 | 88,000 | 87,780 | |
Waste Management, Inc., | |||
1.15%, 3/15/28(h) | 208,000 | 178,642 | |
2.00%, 6/01/29 | 49,000 | 43,576 | |
Waste Pro USA, Inc., 5.50%, 2/15/26(b)(h) | 28,000 | 24,909 | |
403,392 | |||
Food – 0.1% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC, | |||
5.88%, 2/15/28(b) | 58,000 | 56,333 | |
4.88%, 2/15/30(b) | 13,000 | 11,766 | |
Hershey (The) Co., 0.90%, 6/01/25 | 30,000 | 28,012 | |
JBS USA LUX S.A./JBS USA Finance, Inc., 6.75%, 2/15/28(b) | 30,000 | 30,975 | |
Kraft Heinz Foods Co., 3.00%, 6/01/26 | 102,000 | 97,495 | |
Mars, Inc., | |||
2.70%, 4/01/25(b) | 90,000 | 88,227 | |
3.20%, 4/01/30(b) | 180,000 | 169,788 | |
2.38%, 7/16/40(b) | 200,000 | 150,237 | |
Mondelez International, Inc., 1.50%, 5/04/25 | 250,000 | 236,192 | |
Performance Food Group, Inc., 5.50%, 10/15/27(b) | 64,000 | 62,107 | |
Post Holdings, Inc., | |||
5.63%, 1/15/28(b)(h) | 59,000 | 55,785 | |
5.50%, 12/15/29(b) | 47,000 | 42,770 | |
1,029,687 | |||
Food Service – 0.0%(f) | |||
Aramark Services, Inc., 5.00%, 2/01/28(b) | 74,000 | 69,009 |
Par (a) | Value | ||
Forest Products & Paper – 0.0%(f) | |||
Georgia-Pacific LLC, | |||
3.60%, 3/01/25(b) | $ 14,000 | $ 14,009 | |
8.88%, 5/15/31 | 13,000 | 17,456 | |
International Paper Co., 6.00%, 11/15/41 | 50,000 | 55,368 | |
86,833 | |||
Gas – 0.0%(f) | |||
Atmos Energy Corp., 4.13%, 3/15/49 | 40,000 | 37,751 | |
CenterPoint Energy Resources Corp., 1.75%, 10/01/30 | 129,000 | 106,780 | |
ONE Gas, Inc., 2.00%, 5/15/30 | 35,000 | 29,886 | |
Piedmont Natural Gas Co., Inc., 2.50%, 3/15/31 | 90,000 | 77,939 | |
252,356 | |||
Healthcare - Products – 0.1% | |||
Abbott Laboratories, | |||
3.75%, 11/30/26 | 390,000 | 394,092 | |
4.90%, 11/30/46 | 10,000 | 10,928 | |
Baxter International, Inc., 3.13%, 12/01/51(b) | 43,000 | 31,979 | |
Boston Scientific Corp., 2.65%, 6/01/30 | 180,000 | 159,928 | |
Medtronic Global Holdings SCA, | |||
1.50%, 7/02/39 | EUR | 100,000 | 86,531 |
1.75%, 7/02/49 | EUR | 100,000 | 81,022 |
Mozart Debt Merger Sub, Inc., 3.88%, 4/01/29(b) | 225,000 | 196,596 | |
Thermo Fisher Scientific, Inc., 2.80%, 10/15/41 | 75,000 | 59,989 | |
1,021,065 | |||
Healthcare - Services – 0.6% | |||
Aetna, Inc., | |||
2.80%, 6/15/23 | 90,000 | 89,749 | |
6.63%, 6/15/36 | 61,000 | 71,356 | |
4.75%, 3/15/44 | 2,000 | 1,942 | |
Anthem, Inc., | |||
3.65%, 12/01/27 | 300,000 | 293,424 | |
4.38%, 12/01/47 | 87,000 | 82,865 | |
4.55%, 3/01/48 | 57,000 | 55,354 | |
Charles River Laboratories International, Inc., 4.25%, 5/01/28(b) | 7,000 | 6,682 | |
HCA, Inc., | |||
5.25%, 4/15/25 | 641,000 | 660,304 | |
5.25%, 6/15/26 | 97,000 | 99,964 |
Par (a) | Value | ||
Healthcare - Services (Continued) | |||
HCA, Inc., | |||
2.38%, 7/15/31 | $327,000 | $ 269,010 | |
3.63%, 3/15/32(b) | 425,000 | 380,889 | |
4.63%, 3/15/52(b)(h) | 344,000 | 300,261 | |
Humana, Inc., | |||
4.50%, 4/01/25 | 43,000 | 43,850 | |
3.95%, 3/15/27 | 140,000 | 138,766 | |
3.70%, 3/23/29 | 310,000 | 297,421 | |
3.13%, 8/15/29 | 310,000 | 286,014 | |
4.88%, 4/01/30 | 95,000 | 97,475 | |
2.15%, 2/03/32 | 50,000 | 41,155 | |
Select Medical Corp., 6.25%, 8/15/26(b) | 22,000 | 21,835 | |
Tenet Healthcare Corp., | |||
4.88%, 1/01/26(b) | 128,000 | 125,334 | |
6.25%, 2/01/27(b)(h) | 183,000 | 181,627 | |
5.13%, 11/01/27(b) | 20,000 | 19,419 | |
4.38%, 1/15/30(b) | 78,000 | 70,970 | |
UnitedHealth Group, Inc., | |||
3.50%, 6/15/23 | 30,000 | 30,331 | |
3.75%, 7/15/25 | 50,000 | 50,452 | |
1.25%, 1/15/26(h) | 40,000 | 36,916 | |
3.85%, 6/15/28 | 130,000 | 130,156 | |
3.88%, 12/15/28 | 110,000 | 110,109 | |
2.00%, 5/15/30 | 40,000 | 34,687 | |
2.30%, 5/15/31 | 30,000 | 26,216 | |
4.63%, 7/15/35 | 197,000 | 201,768 | |
2.75%, 5/15/40 | 90,000 | 72,283 | |
4.75%, 7/15/45 | 37,000 | 38,620 | |
4.25%, 6/15/48 | 40,000 | 38,795 | |
4.45%, 12/15/48 | 77,000 | 76,986 | |
3.70%, 8/15/49 | 130,000 | 115,967 | |
2.90%, 5/15/50 | 143,000 | 110,643 | |
3.25%, 5/15/51 | 444,000 | 366,752 | |
3.88%, 8/15/59 | 70,000 | 62,591 | |
3.13%, 5/15/60 | 20,000 | 15,348 | |
5,154,286 | |||
Household Products/Wares – 0.0%(f) | |||
Kimberly-Clark Corp., 3.10%, 3/26/30 | 30,000 | 28,411 | |
Insurance – 0.2% | |||
American International Group, Inc., | |||
2.50%, 6/30/25 | 60,000 | 57,636 | |
4.75%, 4/01/48 | 90,000 | 92,247 | |
Aon Corp., | |||
4.50%, 12/15/28 | 144,000 | 146,538 | |
3.75%, 5/02/29 | 162,000 | 157,915 | |
2.80%, 5/15/30 | 42,000 | 37,361 |
Par (a) | Value | ||
Insurance (Continued) | |||
Berkshire Hathaway Finance Corp., | |||
4.25%, 1/15/49 | $ 150,000 | $ 145,157 | |
3.85%, 3/15/52 | 55,000 | 48,929 | |
Guardian Life Global Funding, 1.10%, 6/23/25(b) | 50,000 | 46,572 | |
Hartford Financial Services Group (The), Inc., 3.60%, 8/19/49 | 32,000 | 27,046 | |
Marsh & McLennan Cos., Inc., 2.25%, 11/15/30 | 176,000 | 152,457 | |
MassMutual Global Funding II, 0.85%, 6/09/23(b) | 330,000 | 323,104 | |
MetLife, Inc., 6.40%, 12/15/36 | 100,000 | 103,721 | |
Metropolitan Life Global Funding I, 0.90%, 6/08/23(b) | 250,000 | 244,918 | |
New York Life Global Funding, 0.95%, 6/24/25(b) | 80,000 | 74,024 | |
Principal Life Global Funding II, 1.25%, 6/23/25(b) | 40,000 | 37,120 | |
Teachers Insurance & Annuity Association of America, 4.90%, 9/15/44(b) | 80,000 | 80,728 | |
Willis North America, Inc., 3.60%, 5/15/24 | 42,000 | 41,834 | |
1,817,307 | |||
Internet – 0.4% | |||
Alphabet, Inc., | |||
0.45%, 8/15/25 | 30,000 | 27,653 | |
0.80%, 8/15/27 | 50,000 | 43,947 | |
1.10%, 8/15/30 | 60,000 | 49,049 | |
2.05%, 8/15/50 | 110,000 | 75,691 | |
Amazon.com, Inc., | |||
0.80%, 6/03/25 | 130,000 | 121,387 | |
3.30%, 4/13/27(h) | 50,000 | 49,593 | |
1.20%, 6/03/27 | 380,000 | 340,205 | |
3.15%, 8/22/27 | 140,000 | 137,019 | |
3.45%, 4/13/29 | 110,000 | 108,408 | |
1.50%, 6/03/30 | 70,000 | 58,824 | |
2.10%, 5/12/31 | 80,000 | 69,640 | |
3.60%, 4/13/32 | 460,000 | 451,012 | |
4.05%, 8/22/47 | 140,000 | 136,388 | |
2.50%, 6/03/50 | 1,120,000 | 827,697 | |
4.25%, 8/22/57 | 240,000 | 238,617 | |
4.10%, 4/13/62 | 40,000 | 38,179 |
Par (a) | Value | ||
Internet (Continued) | |||
eBay, Inc., 1.40%, 5/10/26 | $ 40,000 | $ 36,406 | |
Morgan Stanley Domestic Holdings, Inc., 3.80%, 8/24/27 | 79,000 | 77,253 | |
2,886,968 | |||
Iron/Steel – 0.0%(f) | |||
Commercial Metals Co., 4.38%, 3/15/32 | 68,000 | 60,690 | |
Nucor Corp., 3.95%, 5/01/28 | 24,000 | 23,911 | |
84,601 | |||
Lodging – 0.1% | |||
Las Vegas Sands Corp., | |||
3.20%, 8/08/24 | 100,000 | 96,036 | |
2.90%, 6/25/25 | 380,000 | 349,977 | |
MGM Resorts International, | |||
5.75%, 6/15/25 | 10,000 | 9,935 | |
4.63%, 9/01/26 | 8,000 | 7,532 | |
5.50%, 4/15/27(h) | 10,000 | 9,740 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., | |||
5.50%, 3/01/25(b) | 131,000 | 126,742 | |
5.25%, 5/15/27(b)(h) | 65,000 | 59,779 | |
659,741 | |||
Machinery - Diversified – 0.1% | |||
CNH Industrial Capital LLC, 4.20%, 1/15/24 | 405,000 | 409,924 | |
Deere & Co., | |||
3.10%, 4/15/30 | 30,000 | 28,547 | |
3.75%, 4/15/50(h) | 200,000 | 189,370 | |
Otis Worldwide Corp., | |||
2.06%, 4/05/25 | 50,000 | 47,581 | |
2.57%, 2/15/30 | 119,000 | 104,361 | |
779,783 | |||
Media – 1.1% | |||
CCO Holdings LLC/CCO Holdings Capital Corp., | |||
5.38%, 6/01/29(b) | 74,000 | 70,115 | |
4.75%, 3/01/30(b) | 58,000 | 51,837 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, | |||
4.91%, 7/23/25 | 570,000 | 580,522 | |
4.20%, 3/15/28 | 90,000 | 86,961 | |
2.25%, 1/15/29 | 31,000 | 26,416 | |
5.05%, 3/30/29 | 480,000 | 477,443 | |
4.40%, 4/01/33 | 578,000 | 526,889 | |
5.38%, 4/01/38 | 60,000 | 55,545 |
Par (a) | Value | ||
Media (Continued) | |||
Charter Communications Operating LLC/Charter Communications Operating Capital, | |||
3.50%, 6/01/41 | $300,000 | $219,224 | |
3.50%, 3/01/42 | 60,000 | 43,250 | |
6.48%, 10/23/45 | 521,000 | 525,117 | |
5.38%, 5/01/47 | 161,000 | 144,028 | |
5.75%, 4/01/48 | 226,000 | 212,192 | |
5.13%, 7/01/49 | 216,000 | 185,487 | |
4.80%, 3/01/50 | 30,000 | 24,578 | |
3.90%, 6/01/52 | 500,000 | 360,749 | |
6.83%, 10/23/55 | 107,000 | 112,394 | |
3.85%, 4/01/61 | 82,000 | 55,876 | |
4.40%, 12/01/61 | 146,000 | 109,141 | |
3.95%, 6/30/62 | 185,000 | 127,107 | |
5.50%, 4/01/63 | 110,000 | 96,187 | |
Clear Channel Outdoor Holdings, Inc., 5.13%, 8/15/27(b) | 74,000 | 69,538 | |
Comcast Corp., | |||
3.95%, 10/15/25 | 160,000 | 161,850 | |
3.15%, 3/01/26 | 50,000 | 49,099 | |
3.30%, 4/01/27 | 50,000 | 48,941 | |
4.15%, 10/15/28 | 330,000 | 331,777 | |
3.40%, 4/01/30 | 70,000 | 66,462 | |
4.25%, 10/15/30 | 620,000 | 622,303 | |
3.25%, 11/01/39 | 20,000 | 16,944 | |
3.75%, 4/01/40 | 279,000 | 250,641 | |
3.40%, 7/15/46 | 20,000 | 16,562 | |
4.00%, 8/15/47 | 52,000 | 46,938 | |
3.97%, 11/01/47 | 330,000 | 295,801 | |
4.00%, 3/01/48 | 20,000 | 18,038 | |
4.00%, 11/01/49 | 210,000 | 189,280 | |
3.45%, 2/01/50 | 30,000 | 24,724 | |
2.80%, 1/15/51 | 340,000 | 250,664 | |
2.89%, 11/01/51(b) | 207,000 | 152,638 | |
2.45%, 8/15/52(h) | 74,000 | 50,744 | |
2.94%, 11/01/56(b) | 40,000 | 28,613 | |
Cox Communications, Inc., | |||
3.15%, 8/15/24(b) | 71,000 | 70,219 | |
3.85%, 2/01/25(b) | 90,000 | 89,909 | |
3.60%, 6/15/51(b)(h) | 139,000 | 109,700 | |
Discovery Communications LLC, 1.90%, 3/19/27 | EUR | 240,000 | 244,466 |
FactSet Research Systems, Inc., 3.45%, 3/01/32 | 211,000 | 193,588 | |
Fox Corp., 5.48%, 1/25/39 | 450,000 | 465,828 | |
iHeartCommunications, Inc., | |||
6.38%, 5/01/26 | 49,783 | 49,907 |
Par (a) | Value | ||
Media (Continued) | |||
iHeartCommunications, Inc., | |||
5.25%, 8/15/27(b) | $ 48,000 | $ 44,880 | |
4.75%, 1/15/28(b)(h) | 7,000 | 6,344 | |
NBCUniversal Media LLC, 4.45%, 1/15/43 | 69,000 | 66,021 | |
Nexstar Media, Inc., 5.63%, 7/15/27(b) | 69,000 | 67,146 | |
Paramount Global, | |||
4.38%, 3/15/43 | 62,000 | 51,245 | |
5.85%, 9/01/43 | 70,000 | 70,740 | |
Sirius XM Radio, Inc., 5.50%, 7/01/29(b) | 51,000 | 49,045 | |
TEGNA, Inc., | |||
4.63%, 3/15/28 | 13,000 | 12,509 | |
5.00%, 9/15/29 | 10,000 | 9,700 | |
Time Warner Cable LLC, | |||
6.55%, 5/01/37 | 50,000 | 52,358 | |
5.88%, 11/15/40 | 130,000 | 127,172 | |
Time Warner Entertainment Co. L.P., 8.38%, 7/15/33 | 170,000 | 206,029 | |
Walt Disney (The) Co., | |||
2.75%, 9/01/49 | 44,000 | 32,937 | |
4.70%, 3/23/50 | 233,000 | 237,413 | |
9,039,771 | |||
Mining – 0.0%(f) | |||
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 80,000 | 79,965 | |
Newmont Corp., 2.25%, 10/01/30 | 156,000 | 133,173 | |
213,138 | |||
Miscellaneous Manufacturing – 0.1% | |||
3M Co., | |||
2.38%, 8/26/29 | 310,000 | 280,619 | |
3.70%, 4/15/50 | 100,000 | 90,919 | |
Eaton Corp., 4.15%, 11/02/42 | 30,000 | 28,612 | |
GE Capital Funding LLC, 4.55%, 5/15/32 | 255,000 | 255,525 | |
GE Capital International Funding Co. Unlimited Co., 4.42%, 11/15/35 | 200,000 | 195,474 | |
General Electric Co., 6.75%, 3/15/32 | 11,000 | 12,850 | |
Textron, Inc., | |||
3.65%, 3/15/27 | 38,000 | 37,330 | |
3.90%, 9/17/29 | 122,000 | 118,283 | |
2.45%, 3/15/31 | 47,000 | 39,919 | |
1,059,531 |
Par (a) | Value | ||
Oil & Gas – 1.6% | |||
Apache Corp., | |||
4.75%, 4/15/43 | $ 100,000 | $ 86,500 | |
4.25%, 1/15/44 | 380,000 | 302,169 | |
BP Capital Markets America, Inc., | |||
3.79%, 2/06/24 | 228,000 | 229,972 | |
3.19%, 4/06/25 | 36,000 | 35,672 | |
3.41%, 2/11/26 | 20,000 | 19,776 | |
3.12%, 5/04/26 | 220,000 | 214,714 | |
3.94%, 9/21/28 | 240,000 | 237,462 | |
3.63%, 4/06/30 | 80,000 | 77,145 | |
1.75%, 8/10/30 | 200,000 | 166,318 | |
3.00%, 2/24/50 | 380,000 | 286,898 | |
3.00%, 3/17/52 | 110,000 | 82,368 | |
Chevron Corp., | |||
1.55%, 5/11/25 | 130,000 | 123,250 | |
2.00%, 5/11/27 | 40,000 | 37,031 | |
3.08%, 5/11/50 | 490,000 | 407,288 | |
Chevron USA, Inc., | |||
3.85%, 1/15/28 | 240,000 | 241,808 | |
2.34%, 8/12/50 | 55,000 | 39,023 | |
Citgo Holding, Inc., 9.25%, 8/01/24(b)(h) | 41,000 | 40,744 | |
Continental Resources, Inc., | |||
3.80%, 6/01/24 | 130,000 | 130,218 | |
4.38%, 1/15/28 | 230,000 | 224,186 | |
5.75%, 1/15/31(b) | 20,000 | 20,447 | |
4.90%, 6/01/44 | 160,000 | 139,584 | |
Coterra Energy, Inc., | |||
3.90%, 5/15/27(b) | 280,000 | 273,459 | |
4.38%, 3/15/29(b) | 850,000 | 844,525 | |
CrownRock L.P./CrownRock Finance, Inc., 5.63%, 10/15/25(b) | 33,000 | 33,000 | |
Devon Energy Corp., | |||
8.25%, 8/01/23 | 52,000 | 54,716 | |
5.85%, 12/15/25 | 120,000 | 127,211 | |
5.25%, 10/15/27 | 12,000 | 12,386 | |
5.88%, 6/15/28 | 8,000 | 8,380 | |
4.50%, 1/15/30 | 145,000 | 141,652 | |
5.60%, 7/15/41 | 220,000 | 228,788 | |
4.75%, 5/15/42 | 544,000 | 517,445 | |
5.00%, 6/15/45(h) | 503,000 | 489,660 | |
Diamondback Energy, Inc., | |||
3.25%, 12/01/26 | 504,000 | 489,920 | |
3.50%, 12/01/29 | 1,199,000 | 1,124,329 | |
3.13%, 3/24/31 | 485,000 | 432,801 | |
4.40%, 3/24/51 | 258,000 | 231,645 | |
4.25%, 3/15/52 | 124,000 | 108,524 | |
EOG Resources, Inc., | |||
4.38%, 4/15/30 | 270,000 | 277,496 |
Par (a) | Value | ||
Oil & Gas (Continued) | |||
EOG Resources, Inc., | |||
3.90%, 4/01/35 | $ 180,000 | $ 170,832 | |
4.95%, 4/15/50(h) | 270,000 | 293,455 | |
EQT Corp., 7.50%, 2/01/30 | 150,000 | 166,139 | |
Exxon Mobil Corp., | |||
2.99%, 3/19/25 | 300,000 | 297,026 | |
3.04%, 3/01/26 | 70,000 | 68,894 | |
2.44%, 8/16/29 | 240,000 | 219,428 | |
3.48%, 3/19/30 | 120,000 | 116,834 | |
4.11%, 3/01/46 | 20,000 | 19,045 | |
4.33%, 3/19/50 | 10,000 | 9,849 | |
3.45%, 4/15/51 | 300,000 | 257,414 | |
Hess Corp., 5.80%, 4/01/47 | 33,000 | 34,829 | |
Marathon Petroleum Corp., 4.50%, 4/01/48 | 78,000 | 68,605 | |
Matador Resources Co., 5.88%, 9/15/26 | 15,000 | 14,726 | |
Occidental Petroleum Corp., | |||
6.95%, 7/01/24 | 200,000 | 209,750 | |
5.55%, 3/15/26 | 160,000 | 164,000 | |
3.00%, 2/15/27 | 220,000 | 204,600 | |
7.88%, 9/15/31 | 210,000 | 245,528 | |
4.50%, 7/15/44 | 80,000 | 68,800 | |
6.60%, 3/15/46 | 150,000 | 163,500 | |
4.10%, 2/15/47 | 50,000 | 41,625 | |
4.20%, 3/15/48 | 230,000 | 190,613 | |
Ovintiv Exploration, Inc., 5.63%, 7/01/24 | 510,000 | 529,998 | |
Pioneer Natural Resources Co., | |||
1.13%, 1/15/26 | 30,000 | 27,175 | |
1.90%, 8/15/30(h) | 150,000 | 124,555 | |
2.15%, 1/15/31 | 612,000 | 516,169 | |
SM Energy Co., 10.00%, 1/15/25(b) | 8,000 | 8,642 | |
Sunoco L.P./Sunoco Finance Corp., 4.50%, 4/30/30(b) | 46,000 | 41,509 | |
12,812,050 | |||
Oil & Gas Services – 0.0%(f) | |||
Halliburton Co., 3.80%, 11/15/25 | 3,000 | 3,017 | |
Pharmaceuticals – 1.1% | |||
AbbVie, Inc., | |||
3.75%, 11/14/23 | 20,000 | 20,215 | |
2.60%, 11/21/24 | 1,101,000 | 1,074,283 | |
3.80%, 3/15/25 | 495,000 | 495,440 | |
3.60%, 5/14/25 | 88,000 | 87,425 | |
2.95%, 11/21/26 | 100,000 | 95,760 |
Par (a) | Value | ||
Pharmaceuticals (Continued) | |||
AbbVie, Inc., | |||
3.20%, 11/21/29 | $640,000 | $595,556 | |
4.55%, 3/15/35 | 123,000 | 122,211 | |
4.50%, 5/14/35 | 242,000 | 239,088 | |
4.63%, 10/01/42 | 2,000 | 1,919 | |
4.70%, 5/14/45 | 154,000 | 150,189 | |
4.88%, 11/14/48 | 20,000 | 20,033 | |
4.25%, 11/21/49 | 368,000 | 337,036 | |
Bausch Health Americas, Inc., | |||
9.25%, 4/01/26(b) | 53,000 | 52,613 | |
8.50%, 1/31/27(b) | 96,000 | 90,842 | |
Bausch Health Cos., Inc., | |||
9.00%, 12/15/25(b) | 53,000 | 53,199 | |
5.75%, 8/15/27(b) | 15,000 | 14,025 | |
7.00%, 1/15/28(b) | 41,000 | 33,825 | |
7.25%, 5/30/29(b) | 41,000 | 31,014 | |
Becton Dickinson and Co., | |||
3.36%, 6/06/24 | 87,000 | 86,564 | |
4.69%, 12/15/44 | 16,000 | 15,407 | |
Bristol-Myers Squibb Co., | |||
2.90%, 7/26/24 | 192,000 | 190,901 | |
3.20%, 6/15/26 | 105,000 | 104,019 | |
3.40%, 7/26/29 | 65,000 | 63,015 | |
Cigna Corp., | |||
3.75%, 7/15/23 | 101,000 | 101,861 | |
4.13%, 11/15/25 | 20,000 | 20,194 | |
3.40%, 3/01/27 | 79,000 | 76,794 | |
4.38%, 10/15/28 | 763,000 | 765,484 | |
4.80%, 8/15/38 | 100,000 | 99,719 | |
4.90%, 12/15/48 | 130,000 | 129,274 | |
CVS Health Corp., | |||
3.63%, 4/01/27 | 40,000 | 39,334 | |
4.30%, 3/25/28 | 217,000 | 217,962 | |
3.75%, 4/01/30 | 774,000 | 739,580 | |
1.88%, 2/28/31 | 40,000 | 32,837 | |
2.13%, 9/15/31(h) | 130,000 | 108,036 | |
4.78%, 3/25/38 | 400,000 | 395,574 | |
4.13%, 4/01/40 | 40,000 | 36,348 | |
5.13%, 7/20/45 | 417,000 | 417,360 | |
5.05%, 3/25/48 | 540,000 | 543,253 | |
4.25%, 4/01/50 | 36,000 | 32,603 | |
Johnson & Johnson, | |||
0.55%, 9/01/25 | 80,000 | 73,640 | |
0.95%, 9/01/27 | 150,000 | 132,850 | |
3.63%, 3/03/37 | 70,000 | 67,418 | |
2.10%, 9/01/40 | 350,000 | 264,335 | |
Merck & Co., Inc., | |||
0.75%, 2/24/26 | 120,000 | 109,217 | |
1.45%, 6/24/30 | 70,000 | 58,420 | |
2.75%, 12/10/51 | 250,000 | 190,784 |
Par (a) | Value | ||
Pharmaceuticals (Continued) | |||
Pfizer, Inc., | |||
0.80%, 5/28/25 | $160,000 | $ 149,012 | |
2.63%, 4/01/30 | 110,000 | 100,914 | |
1.70%, 5/28/30 | 100,000 | 85,092 | |
2.55%, 5/28/40 | 240,000 | 193,475 | |
2.70%, 5/28/50 | 310,000 | 242,377 | |
9,398,326 | |||
Pipelines – 1.9% | |||
Boardwalk Pipelines L.P., 4.80%, 5/03/29 | 20,000 | 19,673 | |
Buckeye Partners L.P., 3.95%, 12/01/26 | 8,000 | 7,560 | |
Cameron LNG LLC, | |||
2.90%, 7/15/31(b) | 30,000 | 26,911 | |
3.30%, 1/15/35(b) | 731,000 | 646,741 | |
3.40%, 1/15/38(b) | 129,000 | 111,677 | |
Cheniere Corpus Christi Holdings LLC, | |||
7.00%, 6/30/24 | 304,000 | 318,789 | |
5.88%, 3/31/25 | 337,000 | 349,858 | |
5.13%, 6/30/27 | 687,000 | 705,630 | |
3.70%, 11/15/29 | 215,000 | 201,483 | |
Energy Transfer L.P., | |||
7.60%, 2/01/24 | 154,000 | 162,345 | |
4.50%, 4/15/24 | 136,000 | 137,115 | |
3.90%, 5/15/24 | 418,000 | 416,753 | |
4.05%, 3/15/25 | 120,000 | 119,332 | |
2.90%, 5/15/25 | 527,000 | 508,676 | |
5.95%, 12/01/25 | 160,000 | 168,243 | |
5.50%, 6/01/27 | 130,000 | 134,579 | |
4.00%, 10/01/27 | 38,000 | 36,763 | |
4.95%, 6/15/28 | 20,000 | 20,179 | |
5.25%, 4/15/29 | 60,000 | 60,944 | |
3.75%, 5/15/30 | 430,000 | 396,162 | |
6.50%, 2/01/42 | 130,000 | 135,801 | |
5.30%, 4/01/44 | 160,000 | 147,593 | |
5.35%, 5/15/45 | 360,000 | 329,706 | |
5.40%, 10/01/47 | 160,000 | 147,012 | |
6.25%, 4/15/49 | 150,000 | 151,373 | |
5.00%, 5/15/50 | 274,000 | 243,668 | |
Enterprise Products Operating LLC, | |||
4.15%, 10/16/28 | 270,000 | 269,360 | |
3.13%, 7/31/29 | 170,000 | 157,667 | |
2.80%, 1/31/30 | 550,000 | 498,903 | |
7.55%, 4/15/38 | 10,000 | 12,316 | |
5.95%, 2/01/41 | 114,000 | 123,242 | |
4.85%, 3/15/44 | 80,000 | 76,776 | |
5.10%, 2/15/45 | 100,000 | 97,824 | |
4.80%, 2/01/49 | 40,000 | 38,113 | |
4.20%, 1/31/50 | 60,000 | 52,591 |
Par (a) | Value | ||
Pipelines (Continued) | |||
Enterprise Products Operating LLC, | |||
3.70%, 1/31/51 | $ 230,000 | $ 186,377 | |
3.20%, 2/15/52 | 29,000 | 21,265 | |
3.30%, 2/15/53 | 69,000 | 51,847 | |
3.95%, 1/31/60 | 70,000 | 56,723 | |
(3M USD LIBOR + 2.57%), 5.38%, 2/15/78(i) | 50,000 | 44,810 | |
Kinder Morgan Energy Partners L.P., | |||
4.25%, 9/01/24 | 100,000 | 101,127 | |
6.38%, 3/01/41 | 110,000 | 117,337 | |
5.50%, 3/01/44 | 10,000 | 9,873 | |
Kinder Morgan, Inc., | |||
4.30%, 6/01/25 | 90,000 | 90,770 | |
4.30%, 3/01/28 | 60,000 | 59,642 | |
5.30%, 12/01/34 | 7,000 | 7,164 | |
5.55%, 6/01/45 | 130,000 | 130,721 | |
5.05%, 2/15/46 | 40,000 | 37,940 | |
5.20%, 3/01/48 | 60,000 | 57,915 | |
3.60%, 2/15/51 | 55,000 | 42,181 | |
MPLX L.P., | |||
4.88%, 12/01/24 | 74,000 | 75,418 | |
1.75%, 3/01/26 | 78,000 | 71,236 | |
4.00%, 3/15/28 | 200,000 | 193,903 | |
4.80%, 2/15/29 | 30,000 | 30,348 | |
4.50%, 4/15/38 | 90,000 | 82,667 | |
5.20%, 3/01/47 | 60,000 | 56,905 | |
5.20%, 12/01/47 | 100,000 | 94,102 | |
4.70%, 4/15/48 | 450,000 | 396,845 | |
5.50%, 2/15/49 | 90,000 | 87,970 | |
NGPL PipeCo LLC, | |||
4.88%, 8/15/27(b) | 168,000 | 170,001 | |
3.25%, 7/15/31(b) | 238,000 | 206,445 | |
Northwest Pipeline LLC, 4.00%, 4/01/27 | 253,000 | 249,956 | |
Sabine Pass Liquefaction LLC, | |||
5.75%, 5/15/24 | 500,000 | 517,340 | |
5.63%, 3/01/25 | 1,754,000 | 1,815,789 | |
5.00%, 3/15/27 | 95,000 | 97,156 | |
Southern Natural Gas Co. LLC, 8.00%, 3/01/32 | 80,000 | 97,198 | |
Targa Resources Corp., 4.95%, 4/15/52 | 193,000 | 176,272 | |
Tennessee Gas Pipeline Co. LLC, 2.90%, 3/01/30(b) | 380,000 | 336,365 | |
Texas Eastern Transmission L.P., | |||
3.50%, 1/15/28(b) | 185,000 | 177,641 | |
7.00%, 7/15/32 | 74,000 | 85,930 |
Par (a) | Value | ||
Pipelines (Continued) | |||
Transcontinental Gas Pipe Line Co. LLC, | |||
7.85%, 2/01/26 | $1,103,000 | $ 1,236,202 | |
4.00%, 3/15/28 | 258,000 | 255,222 | |
3.95%, 5/15/50 | 68,000 | 58,489 | |
Western Midstream Operating L.P., | |||
3.60%, 2/01/25 | 50,000 | 47,816 | |
4.65%, 7/01/26 | 90,000 | 88,763 | |
Williams (The) Cos., Inc., | |||
4.90%, 1/15/45 | 440,000 | 412,839 | |
5.10%, 9/15/45 | 140,000 | 136,613 | |
4.85%, 3/01/48 | 110,000 | 104,833 | |
15,407,314 | |||
Real Estate Investment Trusts – 0.7% | |||
Alexandria Real Estate Equities, Inc., 2.95%, 3/15/34 | 99,000 | 85,913 | |
American Tower Corp., | |||
5.00%, 2/15/24 | 54,000 | 55,359 | |
2.95%, 1/15/25 | 10,000 | 9,774 | |
1.30%, 9/15/25 | 72,000 | 65,856 | |
3.65%, 3/15/27 | 90,000 | 86,674 | |
3.95%, 3/15/29 | 53,000 | 50,356 | |
3.80%, 8/15/29 | 317,000 | 296,241 | |
2.10%, 6/15/30 | 136,000 | 111,638 | |
2.30%, 9/15/31 | 91,000 | 74,083 | |
Crown Castle International Corp., | |||
3.15%, 7/15/23 | 36,000 | 35,974 | |
2.90%, 3/15/27 | 83,000 | 77,710 | |
3.10%, 11/15/29 | 245,000 | 219,352 | |
3.30%, 7/01/30 | 226,000 | 204,530 | |
2.10%, 4/01/31 | 237,000 | 192,121 | |
2.50%, 7/15/31 | 129,000 | 108,168 | |
Digital Dutch Finco B.V., | |||
1.50%, 3/15/30 | EUR | 130,000 | 119,746 |
1.00%, 1/15/32 | EUR | 100,000 | 83,477 |
Duke Realty L.P., | |||
1.75%, 7/01/30 | 39,000 | 32,454 | |
1.75%, 2/01/31 | 198,000 | 162,510 | |
Equinix, Inc., | |||
1.00%, 9/15/25(h) | 297,000 | 269,123 | |
1.45%, 5/15/26 | 83,000 | 74,837 | |
3.20%, 11/18/29(h) | 235,000 | 213,033 | |
2.15%, 7/15/30 | 89,000 | 73,795 | |
2.50%, 5/15/31 | 78,000 | 65,525 | |
3.90%, 4/15/32 | 1,043,000 | 978,557 | |
GLP Capital L.P./GLP Financing II, Inc., | |||
3.35%, 9/01/24 | 65,000 | 63,957 |
Par (a) | Value | ||
Real Estate Investment Trusts (Continued) | |||
GLP Capital L.P./GLP Financing II, Inc., | |||
4.00%, 1/15/30 | $ 92,000 | $ 85,567 | |
4.00%, 1/15/31 | 200,000 | 181,077 | |
3.25%, 1/15/32 | 512,000 | 430,761 | |
Invitation Homes Operating Partnership L.P., | |||
2.30%, 11/15/28 | 59,000 | 51,369 | |
4.15%, 4/15/32 | 71,000 | 67,862 | |
MPT Operating Partnership L.P./MPT Finance Corp., 5.25%, 8/01/26 | 8,000 | 8,012 | |
National Retail Properties, Inc., | |||
4.80%, 10/15/48 | 145,000 | 143,136 | |
3.10%, 4/15/50 | 42,000 | 31,036 | |
3.50%, 4/15/51 | 107,000 | 84,975 | |
3.00%, 4/15/52 | 67,000 | 47,968 | |
Realty Income Corp., | |||
3.00%, 1/15/27 | 15,000 | 14,391 | |
3.25%, 1/15/31 | 74,000 | 68,859 | |
RHP Hotel Properties L.P./RHP Finance Corp., 4.75%, 10/15/27 | 49,000 | 45,691 | |
Service Properties Trust, 4.35%, 10/01/24 | 28,000 | 25,940 | |
VICI Properties L.P., | |||
4.38%, 5/15/25 | 60,000 | 59,942 | |
4.75%, 2/15/28 | 165,000 | 164,327 | |
4.95%, 2/15/30 | 210,000 | 208,413 | |
VICI Properties L.P./VICI Note Co., Inc., | |||
5.23%, 5/01/24 | 132,000 | 133,039 | |
4.50%, 9/01/26 | 38,000 | 36,507 | |
5.75%, 2/01/27 | 59,000 | 59,002 | |
WP Carey, Inc., 2.40%, 2/01/31 | 212,000 | 179,996 | |
5,938,633 | |||
Retail – 0.4% | |||
Costco Wholesale Corp., | |||
1.38%, 6/20/27 | 190,000 | 171,388 | |
1.75%, 4/20/32 | 90,000 | 74,700 | |
Home Depot (The), Inc., | |||
2.50%, 4/15/27 | 60,000 | 57,130 | |
3.90%, 12/06/28 | 10,000 | 9,989 | |
2.70%, 4/15/30 | 80,000 | 73,051 | |
3.30%, 4/15/40 | 160,000 | 139,970 | |
3.90%, 6/15/47 | 20,000 | 18,458 | |
3.35%, 4/15/50 | 210,000 | 176,378 | |
Lowe's Cos., Inc., | |||
1.30%, 4/15/28 | 154,000 | 131,281 |
Par (a) | Value | ||
Retail (Continued) | |||
Lowe's Cos., Inc., | |||
1.70%, 9/15/28 | $180,000 | $ 157,321 | |
3.65%, 4/05/29 | 78,000 | 75,285 | |
4.50%, 4/15/30 | 290,000 | 293,213 | |
2.80%, 9/15/41 | 183,000 | 139,443 | |
4.25%, 4/01/52 | 32,000 | 28,755 | |
McDonald's Corp., | |||
3.30%, 7/01/25 | 70,000 | 69,766 | |
1.45%, 9/01/25 | 140,000 | 131,330 | |
3.70%, 1/30/26 | 60,000 | 60,145 | |
3.50%, 3/01/27 | 30,000 | 29,655 | |
3.50%, 7/01/27 | 60,000 | 59,098 | |
3.80%, 4/01/28 | 270,000 | 268,293 | |
2.13%, 3/01/30 | 170,000 | 147,018 | |
3.60%, 7/01/30 | 80,000 | 76,781 | |
4.20%, 4/01/50 | 310,000 | 285,709 | |
Target Corp., 2.25%, 4/15/25 | 110,000 | 106,794 | |
Walmart, Inc., | |||
1.50%, 9/22/28 | 60,000 | 53,062 | |
2.38%, 9/24/29 | 20,000 | 18,336 | |
1.80%, 9/22/31 | 40,000 | 34,086 | |
2,886,435 | |||
Semiconductors – 0.6% | |||
Analog Devices, Inc., 2.80%, 10/01/41 | 43,000 | 34,759 | |
Applied Materials, Inc., | |||
1.75%, 6/01/30 | 140,000 | 119,838 | |
4.35%, 4/01/47 | 70,000 | 70,380 | |
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 1/15/27 | 132,000 | 128,745 | |
Broadcom, Inc., | |||
4.15%, 11/15/30 | 154,000 | 145,899 | |
4.15%, 4/15/32(b) | 125,000 | 116,028 | |
3.47%, 4/15/34(b) | 214,000 | 181,641 | |
3.14%, 11/15/35(b) | 640,000 | 516,942 | |
4.93%, 5/15/37(b) | 899,000 | 840,430 | |
Intel Corp., | |||
3.70%, 7/29/25 | 20,000 | 20,182 | |
1.60%, 8/12/28 | 170,000 | 149,558 | |
3.73%, 12/08/47 | 183,000 | 162,522 | |
4.75%, 3/25/50 | 142,000 | 146,386 | |
3.05%, 8/12/51 | 80,000 | 62,108 | |
KLA Corp., | |||
4.10%, 3/15/29 | 265,000 | 266,354 | |
3.30%, 3/01/50 | 216,000 | 179,470 | |
Lam Research Corp., | |||
3.75%, 3/15/26 | 77,000 | 77,506 | |
4.88%, 3/15/49 | 112,000 | 119,879 | |
2.88%, 6/15/50 | 100,000 | 76,930 |
Par (a) | Value | ||
Semiconductors (Continued) | |||
Micron Technology, Inc., 3.37%, 11/01/41 | $ 41,000 | $ 32,588 | |
NVIDIA Corp., | |||
3.50%, 4/01/40 | 250,000 | 225,850 | |
3.50%, 4/01/50 | 550,000 | 485,583 | |
3.70%, 4/01/60 | 100,000 | 87,137 | |
QUALCOMM, Inc., | |||
4.80%, 5/20/45 | 50,000 | 52,233 | |
4.30%, 5/20/47 | 124,000 | 122,923 | |
3.25%, 5/20/50(h) | 40,000 | 33,949 | |
Texas Instruments, Inc., | |||
2.90%, 11/03/27 | 390,000 | 378,455 | |
1.75%, 5/04/30 | 70,000 | 60,185 | |
3.88%, 3/15/39 | 200,000 | 193,867 | |
5,088,327 | |||
Shipbuilding – 0.0%(f) | |||
Huntington Ingalls Industries, Inc., | |||
3.84%, 5/01/25 | 75,000 | 75,112 | |
2.04%, 8/16/28(b) | 24,000 | 20,702 | |
4.20%, 5/01/30 | 143,000 | 140,266 | |
236,080 | |||
Software – 0.8% | |||
Adobe, Inc., 2.30%, 2/01/30 | 200,000 | 179,187 | |
Autodesk, Inc., | |||
3.50%, 6/15/27 | 148,000 | 143,967 | |
2.40%, 12/15/31 | 109,000 | 91,425 | |
Citrix Systems, Inc., 3.30%, 3/01/30 | 71,000 | 70,016 | |
Electronic Arts, Inc., 1.85%, 2/15/31 | 115,000 | 95,176 | |
Fidelity National Information Services, Inc., 1.00%, 12/03/28 | EUR | 105,000 | 101,821 |
Fiserv, Inc., | |||
4.20%, 10/01/28 | 57,000 | 56,123 | |
3.50%, 7/01/29 | 657,000 | 613,019 | |
Microsoft Corp., | |||
2.40%, 8/08/26 | 60,000 | 57,945 | |
3.30%, 2/06/27 | 1,120,000 | 1,123,478 | |
2.53%, 6/01/50 | 284,000 | 212,940 | |
2.92%, 3/17/52 | 58,000 | 47,018 | |
Oracle Corp., | |||
1.65%, 3/25/26 | 360,000 | 325,257 | |
2.95%, 4/01/30 | 30,000 | 25,882 | |
2.88%, 3/25/31 | 430,000 | 364,893 | |
3.90%, 5/15/35 | 109,000 | 94,187 | |
3.85%, 7/15/36 | 170,000 | 142,989 | |
6.13%, 7/08/39 | 182,000 | 188,714 |
Par (a) | Value | ||
Software (Continued) | |||
Oracle Corp., | |||
3.60%, 4/01/40 | $295,000 | $ 228,568 | |
3.65%, 3/25/41 | 557,000 | 431,380 | |
4.13%, 5/15/45 | 70,000 | 55,509 | |
4.00%, 7/15/46 | 260,000 | 203,737 | |
4.00%, 11/15/47 | 174,000 | 135,231 | |
3.60%, 4/01/50 | 231,000 | 166,176 | |
3.95%, 3/25/51 | 105,000 | 79,756 | |
Roper Technologies, Inc., 2.95%, 9/15/29 | 76,000 | 70,127 | |
Salesforce, Inc., | |||
3.70%, 4/11/28 | 250,000 | 249,240 | |
3.05%, 7/15/61 | 181,000 | 138,172 | |
ServiceNow, Inc., 1.40%, 9/01/30 | 243,000 | 194,746 | |
VMware, Inc., | |||
1.80%, 8/15/28 | 72,000 | 61,145 | |
2.20%, 8/15/31 | 282,000 | 229,477 | |
Workday, Inc., | |||
3.50%, 4/01/27 | 70,000 | 68,233 | |
3.70%, 4/01/29 | 100,000 | 95,512 | |
3.80%, 4/01/32 | 205,000 | 193,975 | |
6,535,021 | |||
Telecommunications – 1.7% | |||
AT&T, Inc., | |||
3.80%, 2/15/27 | 170,000 | 169,542 | |
2.30%, 6/01/27 | 170,000 | 156,326 | |
1.65%, 2/01/28 | 888,000 | 774,252 | |
4.35%, 3/01/29 | 144,000 | 145,374 | |
4.30%, 2/15/30(b) | 105,000 | 105,346 | |
2.25%, 2/01/32 | 30,000 | 25,002 | |
2.55%, 12/01/33 | 887,000 | 736,032 | |
3.15%, 9/04/36 | EUR | 100,000 | 105,661 |
5.35%, 9/01/40 | 50,000 | 52,748 | |
5.55%, 8/15/41 | 40,000 | 42,975 | |
3.10%, 2/01/43 | 450,000 | 348,196 | |
4.80%, 6/15/44 | 22,000 | 21,121 | |
5.15%, 2/15/50 | 191,000 | 198,879 | |
3.30%, 2/01/52 | 40,000 | 30,300 | |
3.50%, 9/15/53 | 518,000 | 405,544 | |
3.55%, 9/15/55 | 397,000 | 307,188 | |
3.80%, 12/01/57 | 230,000 | 183,241 | |
3.65%, 9/15/59 | 266,000 | 205,164 | |
3.50%, 2/01/61 | 224,000 | 165,887 | |
Juniper Networks, Inc., 2.00%, 12/10/30 | 70,000 | 57,432 | |
Level 3 Financing, Inc., 4.63%, 9/15/27(b) | 12,000 | 10,785 | |
Motorola Solutions, Inc., | |||
4.60%, 5/23/29 | 235,000 | 230,349 | |
2.75%, 5/24/31 | 403,000 | 336,184 |
Par (a) | Value | ||
Telecommunications (Continued) | |||
Motorola Solutions, Inc., | |||
5.50%, 9/01/44 | $ 105,000 | $ 104,458 | |
T-Mobile USA, Inc., | |||
3.50%, 4/15/25 | 230,000 | 226,738 | |
3.75%, 4/15/27 | 148,000 | 143,900 | |
2.05%, 2/15/28 | 41,000 | 36,122 | |
3.88%, 4/15/30 | 1,351,000 | 1,278,639 | |
2.55%, 2/15/31 | 70,000 | 59,454 | |
2.25%, 11/15/31 | 560,000 | 458,222 | |
2.70%, 3/15/32(b) | 119,000 | 100,963 | |
3.00%, 2/15/41 | 90,000 | 68,590 | |
4.50%, 4/15/50 | 45,000 | 41,012 | |
3.30%, 2/15/51 | 70,000 | 52,363 | |
3.40%, 10/15/52(b) | 199,000 | 150,779 | |
Verizon Communications, Inc., | |||
2.63%, 8/15/26 | 10,000 | 9,504 | |
4.13%, 3/16/27 | 100,000 | 100,416 | |
3.00%, 3/22/27 | 30,000 | 28,725 | |
2.10%, 3/22/28 | 632,000 | 565,981 | |
4.33%, 9/21/28 | 424,000 | 426,426 | |
3.88%, 2/08/29 | 102,000 | 100,600 | |
4.02%, 12/03/29 | 127,000 | 124,247 | |
3.15%, 3/22/30 | 403,000 | 370,119 | |
1.50%, 9/18/30 | 544,000 | 440,626 | |
1.68%, 10/30/30 | 126,000 | 102,120 | |
1.75%, 1/20/31 | 329,000 | 268,622 | |
2.55%, 3/21/31 | 465,000 | 404,788 | |
2.36%, 3/15/32(b) | 528,000 | 443,336 | |
4.50%, 8/10/33 | 1,010,000 | 1,009,740 | |
2.65%, 11/20/40 | 874,000 | 661,277 | |
3.40%, 3/22/41 | 201,000 | 168,974 | |
2.85%, 9/03/41 | 151,000 | 117,833 | |
3.85%, 11/01/42 | 60,000 | 53,141 | |
4.13%, 8/15/46 | 70,000 | 63,517 | |
4.86%, 8/21/46 | 40,000 | 40,260 | |
4.00%, 3/22/50 | 190,000 | 169,668 | |
2.88%, 11/20/50 | 607,000 | 443,089 | |
3.55%, 3/22/51 | 401,000 | 329,306 | |
3.70%, 3/22/61 | 93,000 | 74,766 | |
14,051,849 | |||
Transportation – 0.3% | |||
Burlington Northern Santa Fe LLC, | |||
5.40%, 6/01/41 | 106,000 | 116,099 | |
3.30%, 9/15/51 | 242,000 | 200,792 | |
2.88%, 6/15/52 | 31,000 | 23,801 | |
CSX Corp., | |||
4.75%, 11/15/48 | 74,000 | 74,624 | |
2.50%, 5/15/51 | 47,000 | 32,822 | |
4.65%, 3/01/68 | 38,000 | 36,031 |
Par (a) | Value | ||
Transportation (Continued) | |||
FedEx Corp., 3.88%, 8/01/42 | $ 14,000 | $ 12,109 | |
Norfolk Southern Corp., | |||
3.00%, 3/15/32 | 180,000 | 163,342 | |
3.05%, 5/15/50 | 260,000 | 199,901 | |
Ryder System, Inc., | |||
2.50%, 9/01/24 | 75,000 | 72,924 | |
4.63%, 6/01/25 | 287,000 | 291,608 | |
Union Pacific Corp., | |||
3.25%, 8/15/25 | 27,000 | 26,862 | |
2.75%, 3/01/26(h) | 53,000 | 51,412 | |
2.15%, 2/05/27 | 120,000 | 112,307 | |
2.40%, 2/05/30 | 220,000 | 197,321 | |
2.95%, 3/10/52 | 21,000 | 16,100 | |
3.95%, 8/15/59 | 104,000 | 92,649 | |
3.84%, 3/20/60 | 238,000 | 208,358 | |
2.97%, 9/16/62 | 43,000 | 31,088 | |
3.75%, 2/05/70 | 160,000 | 132,769 | |
2,092,919 | |||
Trucking & Leasing – 0.1% | |||
Penske Truck Leasing Co. L.P./PTL Finance Corp., | |||
3.95%, 3/10/25(b) | 30,000 | 29,980 | |
4.00%, 7/15/25(b) | 94,000 | 93,622 | |
1.20%, 11/15/25(b) | 82,000 | 74,429 | |
4.45%, 1/29/26(b) | 10,000 | 10,032 | |
1.70%, 6/15/26(b)(h) | 241,000 | 218,549 | |
426,612 | |||
Total Corporate Bonds (Cost $207,992,771) | 186,142,947 | ||
Foreign Issuer Bonds – 8.1% | |||
Argentina – 0.0%(f) | |||
Argentine Republic Government International Bond, (Step to 1.50% on 7/9/22), 1.13%, 7/09/35(e) | 219,000 | 62,492 | |
Genneia S.A., 8.75%, 9/02/27(b) | 16,330 | 16,012 | |
YPF S.A., 7.00%, 12/15/47(b) | 45,000 | 28,111 | |
106,615 | |||
Australia – 0.2% | |||
BHP Billiton Finance USA Ltd., 5.00%, 9/30/43 | 20,000 | 21,608 | |
Glencore Funding LLC, | |||
4.13%, 3/12/24(b) | 390,000 | 391,674 | |
1.63%, 4/27/26(b) | 238,000 | 215,425 | |
4.00%, 3/27/27(b) | 320,000 | 313,581 | |
3.88%, 10/27/27(b) | 70,000 | 68,001 |
Par (a) | Value | ||
Australia (Continued) | |||
Glencore Funding LLC, | |||
2.50%, 9/01/30(b) | $ 320,000 | $ 268,714 | |
2.85%, 4/27/31(b)(h) | 208,000 | 177,686 | |
2.63%, 9/23/31(b) | 38,000 | 31,726 | |
3.38%, 9/23/51(b) | 96,000 | 70,992 | |
1,559,407 | |||
Belgium – 0.3% | |||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., | |||
3.65%, 2/01/26 | 300,000 | 298,081 | |
4.70%, 2/01/36 | 145,000 | 143,501 | |
4.90%, 2/01/46 | 200,000 | 197,127 | |
Anheuser-Busch InBev Finance, Inc., 4.00%, 1/17/43 | 62,000 | 54,206 | |
Anheuser-Busch InBev Worldwide, Inc., | |||
4.00%, 4/13/28 | 707,000 | 703,593 | |
4.75%, 1/23/29 | 420,000 | 432,232 | |
3.50%, 6/01/30 | 50,000 | 47,419 | |
4.35%, 6/01/40 | 130,000 | 122,280 | |
4.95%, 1/15/42 | 34,000 | 33,826 | |
4.60%, 4/15/48 | 169,000 | 159,139 | |
5.55%, 1/23/49 | 260,000 | 277,448 | |
4.50%, 6/01/50 | 230,000 | 215,198 | |
2,684,050 | |||
Brazil – 0.4% | |||
Embraer Netherlands Finance B.V., | |||
5.05%, 6/15/25 | 34,000 | 33,744 | |
5.40%, 2/01/27 | 13,000 | 12,529 | |
Gol Finance S.A., 7.00%, 1/31/25(b) | 102,000 | 87,186 | |
JSM Global S.a.r.l., 4.75%, 10/20/30(b) | 200,000 | 171,066 | |
Klabin Austria GmbH, 3.20%, 1/12/31(b) | 200,000 | 158,702 | |
Oi S.A., (100% Cash), 10.00%, 7/27/25(l) | 26,000 | 20,735 | |
Suzano Austria GmbH, | |||
6.00%, 1/15/29 | 1,620,000 | 1,637,626 | |
3.13%, 1/15/32 | 45,000 | 36,337 | |
Vale Overseas Ltd., | |||
6.25%, 8/10/26 | 850,000 | 893,775 | |
6.88%, 11/21/36 | 300,000 | 330,420 | |
3,382,120 | |||
Canada – 0.4% | |||
1011778 B.C. ULC/New Red Finance, Inc., 3.88%, 1/15/28(b) | 11,000 | 10,120 |
Par (a) | Value | ||
Canada (Continued) | |||
Air Canada Pass Through Trust, Series 2017-1, Class AA, 3.30%, 1/15/30(b) | $ 14,774 | $ 13,961 | |
Bank of Montreal, | |||
1.85%, 5/01/25(h) | 210,000 | 199,388 | |
(5Y USD Swap Rate + 1.43%), 3.80%, 12/15/32(i) | 40,000 | 37,884 | |
Bank of Nova Scotia (The), | |||
3.45%, 4/11/25 | 430,000 | 425,150 | |
1.30%, 6/11/25 | 120,000 | 111,290 | |
(5Y US Treasury CMT + 2.05%), 4.59%, 5/04/37(i) | 140,000 | 132,766 | |
Barrick North America Finance LLC, 5.75%, 5/01/43 | 190,000 | 209,360 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 6.25%, 9/15/27(b) | 74,000 | 69,427 | |
Canadian Imperial Bank of Commerce, 0.95%, 6/23/23 | 100,000 | 97,869 | |
Canadian Pacific Railway Co., | |||
2.45%, 12/02/31 | 560,000 | 487,095 | |
3.00%, 12/02/41 | 150,000 | 121,979 | |
Cenovus Energy, Inc., 3.75%, 2/15/52 | 15,000 | 11,961 | |
Mattamy Group Corp., 5.25%, 12/15/27(b) | 8,000 | 7,480 | |
Rogers Communications, Inc., | |||
3.80%, 3/15/32(b) | 346,000 | 318,611 | |
4.55%, 3/15/52(b) | 240,000 | 212,935 | |
Royal Bank of Canada, | |||
1.15%, 6/10/25 | 100,000 | 92,399 | |
3.88%, 5/04/32 | 340,000 | 326,653 | |
Suncor Energy, Inc., 6.50%, 6/15/38 | 81,000 | 92,566 | |
Toronto-Dominion Bank (The), | |||
0.75%, 6/12/23 | 210,000 | 205,509 | |
1.15%, 6/12/25 | 110,000 | 101,968 | |
TransCanada PipeLines Ltd., 4.63%, 3/01/34 | 61,000 | 60,295 | |
3,346,666 | |||
Chile – 0.4% | |||
Chile Government International Bond, | |||
3.50%, 1/31/34 | 430,000 | 389,365 |
Par (a) | Value | ||
Chile (Continued) | |||
Chile Government International Bond, | |||
3.10%, 5/07/41 | $1,120,000 | $ 872,626 | |
4.34%, 3/07/42 | 200,000 | 182,070 | |
3.10%, 1/22/61 | 310,000 | 214,089 | |
Corp. Nacional del Cobre de Chile, | |||
3.63%, 8/01/27(b) | 330,000 | 317,691 | |
3.70%, 1/30/50(b) | 860,000 | 683,055 | |
Kenbourne Invest S.A., 6.88%, 11/26/24(b) | 200,000 | 190,750 | |
2,849,646 | |||
China – 0.3% | |||
NXP B.V./NXP Funding LLC/NXP USA, Inc., | |||
2.70%, 5/01/25(b) | 80,000 | 76,475 | |
4.30%, 6/18/29(b) | 332,000 | 323,601 | |
3.40%, 5/01/30(b) | 205,000 | 186,770 | |
2.50%, 5/11/31(b) | 358,000 | 297,436 | |
2.65%, 2/15/32(b) | 160,000 | 133,801 | |
Prosus N.V., | |||
3.68%, 1/21/30(b) | 600,000 | 505,944 | |
4.03%, 8/03/50(b) | 580,000 | 403,284 | |
Sinopec Group Overseas Development 2014 Ltd., 4.38%, 4/10/24(b) | 290,000 | 295,903 | |
Tencent Holdings Ltd., 3.24%, 6/03/50 | 540,000 | 387,315 | |
2,610,529 | |||
Colombia – 0.4% | |||
Colombia Government International Bond, | |||
4.50%, 3/15/29 | 243,000 | 220,027 | |
3.25%, 4/22/32 | 620,000 | 473,599 | |
5.00%, 6/15/45 | 1,010,000 | 749,925 | |
5.20%, 5/15/49(h) | 460,000 | 345,575 | |
Ecopetrol S.A., | |||
6.88%, 4/29/30 | 56,000 | 55,301 | |
5.88%, 5/28/45 | 1,410,000 | 1,108,556 | |
Grupo Aval Ltd., 4.38%, 2/04/30(b) | 200,000 | 169,330 | |
Promigas S.A. ESP/Gases del Pacifico SAC, | |||
3.75%, 10/16/29(b) | 200,000 | 174,940 | |
3.75%, 10/16/29 | 200,000 | 174,940 | |
3,472,193 | |||
Denmark – 0.2% | |||
Danske Bank A/S, | |||
3.88%, 9/12/23(b) | 400,000 | 401,635 |
Par (a) | Value | ||
Denmark (Continued) | |||
Danske Bank A/S, | |||
(1Y US Treasury CMT + 1.03%), 1.17%, 12/08/23(b)(i) | $200,000 | $ 197,129 | |
5.38%, 1/12/24(b) | 600,000 | 611,966 | |
5.38%, 1/12/24 | 200,000 | 203,989 | |
1.23%, 6/22/24(b) | 200,000 | 188,750 | |
1,603,469 | |||
Dominican Republic – 0.0%(f) | |||
Dominican Republic International Bond, 5.50%, 2/22/29(b) | 150,000 | 140,175 | |
Finland – 0.0%(f) | |||
Nordea Bank Abp, 1.00%, 6/09/23(b) | 210,000 | 205,058 | |
France – 0.2% | |||
BNP Paribas S.A., | |||
(3M USD LIBOR + 2.24%), 4.71%, 1/10/25(b)(i) | 200,000 | 201,622 | |
(SOFR + 2.07%), 2.22%, 6/09/26(b)(i) | 600,000 | 559,775 | |
(3M USD LIBOR + 2.57%), 5.20%, 1/10/30(b)(i) | 300,000 | 304,980 | |
(SOFR + 1.51%), 3.05%, 1/13/31(b)(i) | 200,000 | 175,983 | |
Credit Agricole S.A., (SOFR + 1.68%), 1.91%, 6/16/26(b)(i) | 250,000 | 231,573 | |
Danone S.A., 2.95%, 11/02/26(b) | 200,000 | 193,933 | |
1,667,866 | |||
Germany – 0.1% | |||
Deutsche Bank A.G., | |||
(SOFR + 1.13%), 1.45%, 4/01/25(i) | 212,000 | 200,275 | |
1.69%, 3/19/26 | 350,000 | 319,365 | |
Deutsche Telekom International Finance B.V., 3.60%, 1/19/27(b) | 150,000 | 148,105 | |
667,745 | |||
Hungary – 0.0%(f) | |||
Hungary Government International Bond, 5.38%, 3/25/24 | 122,000 | 125,742 | |
India – 0.1% | |||
Export-Import Bank of India, 3.38%, 8/05/26(b) | 200,000 | 192,046 |
Par (a) | Value | ||
India (Continued) | |||
Reliance Industries Ltd., | |||
2.88%, 1/12/32(b) | $ 250,000 | $ 213,875 | |
3.63%, 1/12/52(b) | 450,000 | 357,680 | |
763,601 | |||
Indonesia – 0.5% | |||
Indonesia Government International Bond, | |||
2.85%, 2/14/30 | 200,000 | 186,246 | |
4.35%, 1/11/48 | 1,550,000 | 1,428,689 | |
3.70%, 10/30/49 | 530,000 | 448,074 | |
3.05%, 3/12/51(h) | 222,000 | 178,020 | |
Pertamina Persero PT, 6.00%, 5/03/42(b) | 280,000 | 284,321 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, 5.45%, 5/21/28(b) | 1,080,000 | 1,110,780 | |
3,636,130 | |||
Ireland – 0.1% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, | |||
2.45%, 10/29/26 | 550,000 | 489,116 | |
3.00%, 10/29/28 | 400,000 | 347,657 | |
3.30%, 1/30/32 | 150,000 | 124,804 | |
961,577 | |||
Israel – 0.1% | |||
Israel Government International Bond, | |||
2.75%, 7/03/30 | 700,000 | 661,500 | |
4.50%, 4/03/20(m) | 220,000 | 217,273 | |
878,773 | |||
Japan – 0.3% | |||
Mitsubishi UFJ Financial Group, Inc., | |||
(1Y US Treasury CMT + 0.68%), 0.85%, 9/15/24(i) | 366,000 | 352,852 | |
(1Y US Treasury CMT + 1.13%), 3.84%, 4/17/26(i) | 200,000 | 199,251 | |
Mizuho Financial Group, Inc., (SOFR + 1.53%), 1.98%, 9/08/31(i) | 200,000 | 163,456 | |
Nissan Motor Co. Ltd., 4.81%, 9/17/30(b) | 600,000 | 562,235 | |
Nomura Holdings, Inc., | |||
2.61%, 7/14/31 | 293,000 | 246,175 | |
3.00%, 1/22/32 | 200,000 | 172,898 |
Par (a) | Value | ||
Japan (Continued) | |||
Sumitomo Mitsui Financial Group, Inc., | |||
2.70%, 7/16/24 | $ 202,000 | $ 197,971 | |
2.35%, 1/15/25 | 400,000 | 384,638 | |
Takeda Pharmaceutical Co. Ltd., | |||
5.00%, 11/26/28 | 200,000 | 208,390 | |
2.05%, 3/31/30 | 200,000 | 168,023 | |
2.00%, 7/09/40 | EUR | 110,000 | 98,548 |
2,754,437 | |||
Kazakhstan – 0.1% | |||
Kazakhstan Government International Bond, 4.88%, 10/14/44 | 600,000 | 570,029 | |
KazMunayGas National Co. JSC, 6.38%, 10/24/48(b) | 420,000 | 400,895 | |
970,924 | |||
Kuwait – 0.1% | |||
Equate Petrochemical B.V., | |||
4.25%, 11/03/26(b) | 210,000 | 209,035 | |
2.63%, 4/28/28(b) | 450,000 | 408,669 | |
MEGlobal Canada ULC, 5.00%, 5/18/25(b) | 200,000 | 203,626 | |
821,330 | |||
Macau – 0.0%(f) | |||
Sands China Ltd., 5.13%, 8/08/25 | 300,000 | 291,000 | |
Mexico – 0.7% | |||
Braskem Idesa SAPI, 6.99%, 2/20/32(b) | 200,000 | 179,474 | |
Comision Federal de Electricidad, 3.88%, 7/26/33(b) | 720,000 | 578,026 | |
Grupo Televisa S.A.B., 6.63%, 1/15/40 | 9,000 | 10,081 | |
Mexico City Airport Trust, 5.50%, 7/31/47 | 200,000 | 159,502 | |
Mexico Government International Bond, | |||
2.66%, 5/24/31 | 368,000 | 308,355 | |
4.75%, 3/08/44 | 2,060,000 | 1,799,822 | |
4.50%, 1/31/50 | 420,000 | 345,702 | |
4.40%, 2/12/52 | 1,210,000 | 965,035 | |
Orbia Advance Corp. S.A.B. de C.V., | |||
1.88%, 5/11/26(b) | 280,000 | 250,600 | |
2.88%, 5/11/31(b) | 270,000 | 220,863 | |
Petroleos Mexicanos, | |||
7.19%, 9/12/24 | MXN | 1,203,000 | 54,825 |
6.88%, 10/16/25 | 25,000 | 25,245 |
Par (a) | Value | ||
Mexico (Continued) | |||
Petroleos Mexicanos, | |||
6.84%, 1/23/30 | $130,000 | $ 118,469 | |
6.70%, 2/16/32(h) | 389,000 | 335,193 | |
5.63%, 1/23/46(h) | 620,000 | 425,481 | |
7.69%, 1/23/50 | 51,000 | 39,850 | |
5,816,523 | |||
Morocco – 0.0%(f) | |||
OCP S.A., 4.50%, 10/22/25(b) | 200,000 | 200,068 | |
Netherlands – 0.2% | |||
Cooperatieve Rabobank U.A., | |||
4.38%, 8/04/25 | 440,000 | 440,478 | |
(1Y US Treasury CMT + 1.22%), 3.65%, 4/06/28(b)(i) | 250,000 | 241,050 | |
(1Y US Treasury CMT + 1.42%), 3.76%, 4/06/33(b)(i) | 250,000 | 232,615 | |
Shell International Finance B.V., | |||
3.50%, 11/13/23 | 170,000 | 171,596 | |
2.88%, 5/10/26 | 140,000 | 136,280 | |
2.38%, 11/07/29 | 200,000 | 178,443 | |
2.75%, 4/06/30 | 100,000 | 91,781 | |
4.38%, 5/11/45 | 70,000 | 67,824 | |
4.00%, 5/10/46 | 80,000 | 74,304 | |
3.25%, 4/06/50 | 300,000 | 247,506 | |
1,881,877 | |||
Panama – 0.2% | |||
Panama Government International Bond, | |||
3.88%, 3/17/28 | 200,000 | 193,140 | |
6.70%, 1/26/36 | 780,000 | 873,623 | |
4.30%, 4/29/53 | 800,000 | 666,632 | |
4.50%, 4/01/56 | 247,000 | 210,043 | |
1,943,438 | |||
Peru – 0.4% | |||
Peruvian Government International Bond, | |||
4.13%, 8/25/27 | 137,000 | 136,103 | |
6.55%, 3/14/37 | 560,000 | 643,026 | |
3.30%, 3/11/41 | 370,000 | 289,266 | |
5.63%, 11/18/50(h) | 130,000 | 142,556 | |
3.55%, 3/10/51 | 220,000 | 170,810 | |
3.60%, 1/15/72 | 270,000 | 191,536 | |
Petroleos del Peru S.A., | |||
4.75%, 6/19/32(b) | 700,000 | 567,770 | |
5.63%, 6/19/47(b) | 200,000 | 145,300 |
Par (a) | Value | ||
Peru (Continued) | |||
Southern Copper Corp., 5.25%, 11/08/42 | $ 1,040,000 | $1,064,908 | |
3,351,275 | |||
Philippines – 0.0%(f) | |||
Philippine Government International Bond, 3.20%, 7/06/46 | 267,000 | 210,116 | |
Poland – 0.1% | |||
Republic of Poland Government International Bond, 4.00%, 1/22/24 | 790,000 | 797,748 | |
Qatar – 0.2% | |||
Qatar Energy, | |||
3.13%, 7/12/41(b) | 550,000 | 459,382 | |
3.30%, 7/12/51(b) | 360,000 | 298,714 | |
Qatar Government International Bond, 4.82%, 3/14/49(b) | 580,000 | 622,821 | |
1,380,917 | |||
Russia – 0.1% | |||
Lukoil Capital DAC, | |||
2.80%, 4/26/27(b)(n) | 370,000 | 133,200 | |
3.60%, 10/26/31(b)(n) | 470,000 | 164,500 | |
Russian Federal Bond - OFZ, 6.10%, 7/18/35(o) | RUB | 15,614,000 | 14,498 |
312,198 | |||
Saudi Arabia – 0.1% | |||
Arabian Centres Sukuk II Ltd., 5.63%, 10/07/26(b) | 200,000 | 188,500 | |
EIG Pearl Holdings S.a.r.l., | |||
3.55%, 8/31/36(b) | 217,000 | 192,205 | |
4.39%, 11/30/46(b) | 305,000 | 257,859 | |
638,564 | |||
South Africa – 0.1% | |||
Anglo American Capital PLC, | |||
4.00%, 9/11/27(b) | 400,000 | 389,750 | |
5.63%, 4/01/30(b) | 200,000 | 209,642 | |
Liquid Telecommunications Financing PLC, 5.50%, 9/04/26(b) | 200,000 | 191,000 | |
Sasol Financing U.S.A. LLC, 5.50%, 3/18/31 | 200,000 | 180,000 | |
970,392 | |||
Spain – 0.1% | |||
Banco Santander S.A., | |||
2.75%, 5/28/25 | 800,000 | 764,709 | |
1.85%, 3/25/26 | 200,000 | 181,771 |
Par (a) | Value | ||
Spain (Continued) | |||
Telefonica Emisiones S.A., 4.10%, 3/08/27 | $ 150,000 | $ 148,349 | |
1,094,829 | |||
Supranational – 0.1% | |||
European Union, 1.25%, 2/04/43 | EUR | 485,000 | 470,531 |
Sweden – 0.0%(f) | |||
Swedbank AB, 1.30%, 6/02/23(b) | 200,000 | 196,456 | |
Switzerland – 0.4% | |||
Credit Suisse A.G., | |||
1.00%, 5/05/23 | 920,000 | 900,682 | |
2.95%, 4/09/25 | 250,000 | 242,441 | |
Credit Suisse Group A.G., | |||
(SOFR + 1.56%), 2.59%, 9/11/25(b)(i) | 250,000 | 238,442 | |
(SOFR + 3.73%), 4.19%, 4/01/31(b)(i) | 250,000 | 231,669 | |
(SOFR + 1.73%), 3.09%, 5/14/32(b)(i) | 500,000 | 418,153 | |
UBS Group A.G., | |||
(3M USD LIBOR + 0.95%), 2.86%, 8/15/23(b)(i) | 200,000 | 199,607 | |
4.25%, 3/23/28(b) | 770,000 | 759,906 | |
2,990,900 | |||
Taiwan – 0.1% | |||
TSMC Arizona Corp., | |||
2.50%, 10/25/31 | 1,020,000 | 886,084 | |
4.25%, 4/22/32 | 200,000 | 198,873 | |
1,084,957 | |||
United Arab Emirates – 0.2% | |||
Abu Dhabi Government International Bond, 3.13%, 9/30/49(b) | 520,000 | 429,318 | |
Abu Dhabi National Energy Co. PJSC, 3.40%, 4/29/51(b) | 370,000 | 320,457 | |
DP World Ltd., 5.63%, 9/25/48(b) | 700,000 | 701,050 | |
1,450,825 | |||
United Kingdom – 0.7% | |||
BAE Systems Holdings, Inc., 3.85%, 12/15/25(b) | 253,000 | 249,889 | |
BAE Systems PLC, 3.40%, 4/15/30(b) | 496,000 | 462,676 | |
Barclays PLC, | |||
(3M USD LIBOR + 1.90%), 4.97%, 5/16/29(i) | 200,000 | 200,729 |
Par (a) | Value | ||
United Kingdom (Continued) | |||
Barclays PLC, | |||
(3M USD LIBOR + 3.05%), 5.09%, 6/20/30(i) | $200,000 | $ 195,975 | |
BAT Capital Corp., | |||
3.56%, 8/15/27 | 300,000 | 279,638 | |
2.26%, 3/25/28 | 100,000 | 85,392 | |
4.54%, 8/15/47 | 190,000 | 150,627 | |
3.98%, 9/25/50(h) | 66,000 | 47,586 | |
HSBC Holdings PLC, | |||
(SOFR + 1.93%), 2.10%, 6/04/26(i) | 200,000 | 186,768 | |
(SOFR + 1.10%), 2.25%, 11/22/27(i) | 207,000 | 187,244 | |
(3M USD LIBOR + 1.55%), 4.04%, 3/13/28(i) | 240,000 | 232,179 | |
(3M USD LIBOR + 1.53%), 4.58%, 6/19/29(i) | 287,000 | 281,497 | |
(3M USD LIBOR + 1.61%), 3.97%, 5/22/30(i) | 550,000 | 518,627 | |
(SOFR + 1.19%), 2.80%, 5/24/32(i) | 200,000 | 168,464 | |
Lloyds Banking Group PLC, | |||
(3M USD LIBOR + 0.81%), 2.91%, 11/07/23(i) | 270,000 | 269,538 | |
4.38%, 3/22/28 | 290,000 | 286,860 | |
Nationwide Building Society, (3M USD LIBOR + 1.39%), 4.36%, 8/01/24(b)(i) | 200,000 | 201,625 | |
Natwest Group PLC, | |||
(3M USD LIBOR + 1.76%), 4.27%, 3/22/25(i) | 400,000 | 400,105 | |
(3M USD LIBOR + 1.91%), 5.08%, 1/27/30(h)(i) | 200,000 | 202,349 | |
RELX Capital, Inc., | |||
4.00%, 3/18/29 | 272,000 | 268,649 | |
3.00%, 5/22/30 | 209,000 | 188,415 | |
Reynolds American, Inc., 5.85%, 8/15/45 | 108,000 | 100,731 | |
Vodafone Group PLC, 4.38%, 5/30/28 | 130,000 | 132,030 | |
5,297,593 | |||
Uruguay – 0.2% | |||
Uruguay Government International Bond, | |||
4.38%, 1/23/31 | 800,000 | 820,016 | |
5.10%, 6/18/50 | 617,641 | 643,397 | |
1,463,413 | |||
Total Foreign Issuer Bonds (Cost $76,058,005) | 67,051,673 |
Par (a) | Value | ||
Mortgage-Backed Securities – 29.0% | |||
Commercial Mortgage-Backed Securities – 2.5% | |||
245 Park Avenue Trust, Series 2017-245P, Class E, 3.78%, 6/05/37(b)(d) | $ 740,000 | $ 626,210 | |
AREIT Trust, Series 2022-CRE6, Class A, (30D Average SOFR + 1.25%, 1.25% Floor), 1.53%, 11/17/24(b)(c) | 840,000 | 832,489 | |
BANK, | |||
Series 2017-BNK5, Class A4, 3.13%, 6/15/60 | 330,000 | 316,430 | |
Series 2017-BNK7, Class A5, 3.44%, 9/15/60 | 100,000 | 97,377 | |
Series 2019-BN19, Class C, 4.17%, 8/15/61(d) | 280,000 | 254,686 | |
Series 2018-BN13, Class A5, 4.22%, 8/15/61 | 480,000 | 484,873 | |
Bayview Commercial Asset Trust, Series 2006-1A, Class A1, (1M USD LIBOR + 0.41%), 1.07%, 4/25/36(b)(c) | 307,068 | 285,707 | |
Benchmark Mortgage Trust, | |||
Series 2020-IG1, Class AS, 2.91%, 9/15/43 | 720,000 | 656,211 | |
Series 2018-B2, Class A5, 3.88%, 2/15/51 | 390,000 | 387,911 | |
Series 2019-B9, Class XA, 1.20%, 3/15/52(d) | 1,747,287 | 96,925 | |
Series 2021-B25, Class XA, 1.23%, 4/15/54(d) | 6,746,385 | 491,809 | |
Series 2021-B27, Class XA, 1.39%, 7/15/54(d) | 5,254,280 | 435,575 | |
Series 2019-B10, Class A4, 3.72%, 3/15/62 | 500,000 | 492,438 | |
BHMS, Series 2018-ATLS, Class A, (1M USD LIBOR + 1.25%, 1.25% Floor), 1.80%, 7/15/35(b)(c) | 1,190,000 | 1,176,264 | |
BX Commercial Mortgage Trust, | |||
Series 2021-SOAR, Class A, (1M USD LIBOR + 0.67%, 0.67% Floor), 1.23%, 6/15/38(b)(c) | 670,000 | 653,053 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
BX Commercial Mortgage Trust, | |||
Series 2021-XL2, Class A, (1M USD LIBOR + 0.69%, 0.69% Floor), 1.24%, 10/15/38(b)(c) | $ 1,008,596 | $982,734 | |
BXP Trust, Series 2017-GM, Class D, 3.54%, 6/13/39(b)(d) | 370,000 | 338,140 | |
CAMB Commercial Mortgage Trust, | |||
Series 2019-LIFE, Class A, (1M USD LIBOR + 1.07%, 1.07% Floor), 1.62%, 12/15/37(b)(c) | 720,000 | 716,385 | |
Series 2019-LIFE, Class D, (1M USD LIBOR + 1.75%, 1.75% Floor), 2.30%, 12/15/37(b)(c) | 100,000 | 98,189 | |
CFK Trust, Series 2019-FAX, Class D, 4.79%, 1/15/39(b)(d) | 100,000 | 94,139 | |
Citigroup Commercial Mortgage Trust, | |||
Series 2019-SMRT, Class D, 4.90%, 1/10/36(b)(d) | 500,000 | 496,127 | |
Series 2019-SMRT, Class E, 4.90%, 1/10/36(b)(d) | 500,000 | 491,338 | |
Series 2014-GC23, Class B, 4.18%, 7/10/47 | 240,000 | 237,933 | |
Series 2016-C1, Class D, 5.11%, 5/10/49(b)(d) | 250,000 | 229,827 | |
Series 2017-C4, Class A4, 3.47%, 10/12/50 | 420,000 | 408,382 | |
Commercial Mortgage Trust, Series 2020-CX, Class A, 2.17%, 11/10/46(b) | 290,000 | 249,873 | |
CSMC OA LLC, Series 2014-USA, Class B, 4.18%, 9/15/37(b) | 530,000 | 492,427 | |
DBGS Mortgage Trust, Series 2019-1735, Class X, 0.43%, 4/10/37(b)(d) | 13,945,000 | 212,020 | |
GS Mortgage Securities Corp. Trust, | |||
Series 2021-ROSS, Class A, (1M USD LIBOR + 1.15%, 1.15% Floor), 1.71%, 5/15/26(b)(c) | 700,000 | 686,625 | |
Series 2020-DUNE, Class A, (1M USD LIBOR + 1.10%, 1.10% Floor), 1.65%, 12/15/36(b)(c) | 960,000 | 952,394 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
GS Mortgage Securities Corp. Trust, | |||
Series 2019-BOCA, Class A, (1M USD LIBOR + 1.20%, 1.20% Floor), 1.75%, 6/15/38(b)(c) | $ 100,000 | $ 99,798 | |
Series 2019-BOCA, Class B, (1M USD LIBOR + 1.50%, 1.50% Floor), 2.05%, 6/15/38(b)(c) | 620,000 | 616,514 | |
Series 2019-BOCA, Class C, (1M USD LIBOR + 1.73%, 1.73% Floor), 2.28%, 6/15/38(b)(c) | 530,000 | 526,701 | |
GS Mortgage Securities Trust, Series 2017-GS8, Class A4, 3.47%, 11/10/50 | 240,000 | 234,100 | |
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2022-ACB, Class A, (30D Average SOFR + 1.40%, 1.40% Floor), 1.67%, 3/15/39(b)(c) | 330,000 | 327,950 | |
JPMorgan Chase Commercial Mortgage Securities Trust, | |||
Series 2020-MKST, Class D, (1M USD LIBOR + 1.50%, 1.50% Floor), 2.05%, 12/15/36(b)(c) | 710,000 | 673,995 | |
Series 2017-JP6, Class A5, 3.49%, 7/15/50 | 235,000 | 230,583 | |
LSTAR Commercial Mortgage Trust, Series 2015-3, Class AS, 3.30%, 4/20/48(b)(d) | 57,505 | 56,254 | |
MHC Trust, Series 2021-MHC2, Class A, (1M USD LIBOR + 0.85%, 0.85% Floor), 1.40%, 5/15/23(b)(c) | 240,000 | 235,128 | |
Morgan Stanley Capital I Trust, | |||
Series 2019-BPR, Class A, (1M USD LIBOR + 1.40%, 1.40% Floor), 1.95%, 5/15/36(b)(c) | 410,000 | 404,460 | |
Series 2019-L2, Class XA, 1.19%, 3/15/52(d) | 2,543,838 | 140,118 | |
OPG Trust, Series 2021-PORT, Class A, (1M USD LIBOR + 0.48%, 0.48% Floor), 1.04%, 10/15/36(b)(c) | 840,000 | 811,076 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
SFO Commercial Mortgage Trust, Series 2021-555, Class A, (1M USD LIBOR + 1.15%, 1.15% Floor), 1.70%, 5/15/38(b)(c) | $ 200,000 | $ 195,494 | |
SMRT, Series 2022-MINI, Class A, (1M CME Term SOFR + 1.00%, 1.00% Floor), 1.52%, 1/15/39(b)(c) | 310,000 | 305,343 | |
Soho Trust, Series 2021-SOHO, Class A, 2.79%, 8/10/38(b)(d) | 846,000 | 734,479 | |
VASA Trust, Series 2021-VASA, Class A, (1M USD LIBOR + 0.90%, 0.90% Floor), 1.45%, 7/15/39(b)(c) | 410,000 | 400,743 | |
Wells Fargo Commercial Mortgage Trust, | |||
Series 2015-P2, Class D, 3.24%, 12/15/48(b) | 147,000 | 119,572 | |
Series 2016-BNK1, Class B, 2.97%, 8/15/49 | 300,000 | 271,463 | |
Series 2017-C38, Class A5, 3.45%, 7/15/50 | 315,000 | 307,271 | |
20,665,533 | |||
Federal Home Loan Mortgage Corporation – 4.6% | |||
Multiclass Certificates, Series 2020-RR07, Class BX, 2.61%, 10/27/28 | 4,160,000 | 543,192 | |
Multifamily Structured Pass Through Certificates, | |||
Series K736, Class X1, 1.43%, 7/25/26(d) | 1,024,034 | 43,927 | |
Series K095, Class XAM, 1.37%, 6/25/29(d) | 500,000 | 38,735 | |
Series K-1517, Class X1, 1.44%, 7/25/35(d) | 239,624 | 30,733 | |
Pool, | |||
3.00%, 10/01/32 - 2/01/52 | 5,847,321 | 5,568,635 | |
3.50%, 4/01/33 - 2/01/52 | 1,341,711 | 1,322,019 | |
2.00%, 7/01/41 - 2/01/52 | 10,370,353 | 9,231,340 | |
1.50%, 10/01/41 | 38,529 | 33,032 | |
4.00%, 1/01/45 - 6/01/50 | 2,032,904 | 2,052,641 | |
(1Y USD LIBOR + 1.62%, 1.62% Floor, 7.87% Cap), 2.87%, 11/01/47(c) | 225,095 | 224,779 | |
(1Y USD LIBOR + 1.63%, 1.63% Floor, 8.01% Cap), 3.01%, 11/01/48(c) | 795,211 | 785,409 |
Par (a) | Value | ||
Federal Home Loan Mortgage Corporation (Continued) | |||
Pool, | |||
4.50%, 1/01/49 - 1/01/51 | $1,556,844 | $1,613,399 | |
6/01/49 - 4/01/52(g) | 8,121,691 | 7,519,159 | |
5.00%, 11/01/49 | 76,039 | 79,647 | |
(1Y USD LIBOR + 1.62%, 1.62% Floor, 8.09% Cap), 3.09%, 2/01/50(c) | 392,797 | 390,307 | |
2.50%, 7/01/50 - 3/01/52 | 7,760,674 | 7,121,898 | |
Real Estate Mortgage Investment Conduits, | |||
Series 2019-RR01, Class X, 1.53%, 6/25/28 | 2,500,000 | 195,200 | |
Series 5100, Class MI, 3.50%, 9/25/48 | 173,322 | 31,450 | |
Series 5148, Class BI, 2.50%, 1/25/49 | 864,622 | 141,652 | |
Series 5140, Class NI, 2.50%, 5/25/49 | 386,318 | 53,172 | |
Series 5148, Class CI, 2.00%, 6/25/49 | 486,568 | 57,611 | |
Series 4940, Class PI, 4.00%, 7/25/49 | 38,319 | 5,968 | |
Series 4995, Class BI, 4.50%, 6/25/50 | 43,662 | 8,450 | |
Series 5010, Class IK, 2.50%, 9/25/50 | 72,791 | 11,065 | |
Series 5010, Class JI, 2.50%, 9/25/50 | 344,788 | 57,460 | |
Series 5013, Class IN, 2.50%, 9/25/50 | 90,105 | 15,023 | |
Series 5129, Class IO, 3.00%, 9/25/50 | 112,836 | 15,872 | |
Series 5014, Class DI, 4.00%, 9/25/50 | 50,982 | 9,343 | |
Series 5018, Class MI, 2.00%, 10/25/50 | 270,884 | 38,147 | |
Series 5018, Class CI, 4.50%, 10/25/50 | 48,528 | 9,973 | |
Series 5040, Class IB, 2.50%, 11/25/50 | 79,548 | 11,695 | |
Series 5059, Class IB, 2.50%, 1/25/51 | 370,482 | 62,866 | |
Series 5069, Class MI, 2.50%, 2/25/51 | 85,740 | 13,273 | |
Series 5139, Class IG, 3.00%, 9/25/51 | 324,662 | 45,455 | |
Series 5142, Class IP, 3.00%, 9/25/51 | 86,580 | 13,020 | |
Series 5142, Class PI, 3.00%, 9/25/51 | 91,060 | 14,134 | |
Series 5145, Class HI, 3.00%, 9/25/51 | 88,120 | 12,761 | |
Series 5155, Class JI, 3.00%, 10/25/51 | 89,779 | 11,807 |
Par (a) | Value | ||
Federal Home Loan Mortgage Corporation (Continued) | |||
Real Estate Mortgage Investment Conduits, | |||
Series 5155, Class NI, 3.00%, 10/25/51 | $ 178,745 | $ 23,521 | |
Series 5167, Class MI, 3.00%, 11/25/51 | 93,097 | 11,946 | |
Series 5224, Class HL, 4.00%, 4/25/52 | 500,000 | 499,373 | |
Strips, Series 334, Class S7, (6.10% - 1M USD LIBOR, 6.10% Cap), 5.55%, 8/15/44(c) | 25,150 | 3,772 | |
37,972,861 | |||
Federal Home Loan Mortgage Corporation Gold – 0.7% | |||
Pool, | |||
3.00%, 10/01/32 - 9/01/48 | 908,425 | 893,298 | |
3.50%, 6/01/46 - 4/01/49 | 3,253,046 | 3,202,067 | |
4.50%, 4/01/47 - 4/01/49 | 702,511 | 728,063 | |
4.00%, 6/01/48 | 786,043 | 794,763 | |
5.00%, 11/01/48 | 37,918 | 39,577 | |
5,657,768 | |||
Federal National Mortgage Association – 10.5% | |||
Alternative Credit Enhancement Securities, | |||
Series 2019-M6, Class A2, 3.45%, 1/01/29 | 87,511 | 87,505 | |
Series 2019-M23, Class 3A3, 2.72%, 10/25/31 | 91,779 | 86,509 | |
Series 2020-M36, Class X1, 1.55%, 9/25/34(d) | 589,073 | 52,651 | |
Series 2013-M6, Class 1AC, 3.46%, 2/25/43(d) | 54,740 | 53,646 | |
Interest Strip, Series 409, Class C18, 4.00%, 4/25/42 | 9,318 | 1,677 | |
Pool, | |||
3.00%, 9/01/28 - 12/01/54 | 14,891,787 | 14,278,445 | |
3.16%, 5/01/29 | 57,699 | 56,967 | |
2.93%, 6/01/30 | 19,307 | 18,630 | |
2.15%, 2/01/32(d) | 19,997 | 17,894 | |
2.50%, 12/01/33 - 4/01/52 | 16,529,932 | 15,243,744 | |
3.50%, 1/01/34 - 4/01/52 | 9,660,193 | 9,488,823 | |
1.50%, 12/01/35 - 12/01/41 | 3,459,025 | 2,972,218 | |
3/01/41 - 4/01/52(g) | 8,619,317 | 8,015,023 | |
6.00%, 7/01/41 | 36,204 | 40,006 |
Par (a) | Value | ||
Federal National Mortgage Association (Continued) | |||
Pool, | |||
2.00%, 10/01/41 - 3/01/52 | $14,139,647 | $12,541,836 | |
4.50%, 11/01/43 - 1/01/59 | 6,532,518 | 6,744,561 | |
4.00%, 7/01/44 - 10/01/51 | 11,506,090 | 11,528,861 | |
5.00%, 8/01/48 - 9/01/49 | 1,358,945 | 1,429,597 | |
3.50%, 1/01/51(p) | 3,480,696 | 3,382,207 | |
Real Estate Mortgage Investment Conduits, | |||
Series 2013-54, Class BS, (6.15% - 1M USD LIBOR, 6.15% Cap), 5.48%, 6/25/43(c) | 22,757 | 3,549 | |
Series 2021-69, Class IJ, 2.50%, 1/25/49 | 882,425 | 132,141 | |
Series 2021-61, Class KI, 2.50%, 4/25/49 | 577,776 | 94,134 | |
Series 2020-32, Class PI, 4.00%, 5/25/50 | 104,142 | 19,656 | |
Series 2020-47, Class GZ, 2.00%, 7/25/50 | 207,463 | 150,127 | |
Series 2020-56, Class DI, 2.50%, 8/25/50 | 168,844 | 28,097 | |
Series 2020-74, Class EI, 2.50%, 10/25/50 | 82,418 | 13,815 | |
Series 2020-77, Class HI, 4.00%, 11/25/50 | 326,600 | 58,303 | |
Series 2020-89, Class DI, 2.50%, 12/25/50 | 247,886 | 37,295 | |
Series 2020-97, Class AI, 2.00%, 1/25/51 | 463,860 | 63,694 | |
Series 2021-3, Class QI, 2.50%, 2/25/51 | 785,494 | 121,780 | |
Series 2021-3, Class IB, 2.50%, 2/25/51 | 276,144 | 47,295 | |
Series 2021-1, Class IG, 2.50%, 2/25/51 | 179,798 | 29,104 | |
Series 2021-31, Class IB, 4.00%, 6/25/51 | 143,380 | 27,491 | |
Series 2021-50, Class IO, 4.00%, 8/25/51 | 315,518 | 58,336 | |
86,925,617 | |||
Government National Mortgage Association – 2.7% | |||
Pool, 5/01/52 - 6/01/52(g) | 20,470,571 | 19,465,101 | |
Series 2013-107, Class AD, 2.76%, 11/16/47(d) | 93,488 | 89,866 | |
Series 2014-17, Class AM, 3.33%, 6/16/48(d) | 11,307 | 11,271 | |
Series 2014-H20, Class FA, (1M USD LIBOR + 0.43%, 0.43% Floor), 0.67%, 10/20/64(c) | 188,648 | 187,529 | |
Series 2020-123, Class IL, 2.50%, 8/20/50 | 88,489 | 12,886 |
Par (a) | Value | ||
Government National Mortgage Association (Continued) | |||
Series 2020-123, Class NI, 2.50%, 8/20/50 | $ 173,246 | $ 25,095 | |
Series 2020-127, Class IN, 2.50%, 8/20/50 | 86,355 | 12,403 | |
Series 2020-129, Class IE, 2.50%, 9/20/50 | 89,149 | 13,465 | |
Series 2020-144, Class IO, 2.50%, 9/20/50 | 161,269 | 20,005 | |
Series 2020-146, Class DI, 2.50%, 10/20/50 | 82,706 | 10,720 | |
Series 2020-151, Class MI, 2.50%, 10/20/50 | 500,090 | 68,572 | |
Series 2020-160, Class IH, 2.50%, 10/20/50 | 90,882 | 13,704 | |
Series 2020-160, Class VI, 2.50%, 10/20/50 | 89,322 | 13,394 | |
Series 2020-160, Class YI, 2.50%, 10/20/50 | 269,705 | 39,782 | |
Series 2020-181, Class WI, 2.00%, 12/20/50 | 432,602 | 50,587 | |
Series 2020-185, Class MI, 2.50%, 12/20/50 | 85,889 | 12,127 | |
Series 2020-190, Class IO, 1.04%, 11/16/62(d) | 3,276,523 | 268,993 | |
Series 2020-47, Class MI, 3.50%, 4/20/50 | 311,993 | 49,876 | |
Series 2020-47, Class NI, 3.50%, 4/20/50 | 81,578 | 12,268 | |
Series 2020-H04, Class FP, (1M USD LIBOR + 0.50%, 0.50% Floor), 0.74%, 6/20/69(c) | 210,715 | 209,640 | |
Series 2020-H09, Class FL, (1M USD LIBOR + 1.15%, 1.15% Floor), 1.39%, 5/20/70(c) | 146,855 | 149,775 | |
Series 2020-H13, Class FA, (1M USD LIBOR + 0.45%, 0.45% Floor, 7.50% Cap), 0.69%, 7/20/70(c) | 797,944 | 790,635 | |
Series 2020-H13, Class FM, (1M USD LIBOR + 0.40%, 0.40% Floor, 11.00% Cap), 0.64%, 8/20/70(c) | 206,921 | 206,026 | |
Series 2021-15, Class GI, 3.50%, 1/20/51 | 83,128 | 14,028 | |
Series 2021-161, Class IB, 4.00%, 9/20/51 | 79,489 | 11,261 | |
Series 2021-176, Class IA, 3.50%, 10/20/51 | 81,572 | 11,813 | |
Series 2021-199, Class KI, 3.50%, 11/20/51 | 89,310 | 11,031 | |
Series 2021-209, Class TJ, 3.50%, 11/20/51 | 83,076 | 10,567 |
Par (a) | Value | ||
Government National Mortgage Association (Continued) | |||
Series 2021-214, Class AI, 4.00%, 12/20/51 | $ 118,298 | $ 18,612 | |
Series 2021-215, Class LI, 3.00%, 12/20/51 | 95,831 | 10,757 | |
Series 2021-221, Class AI, 3.50%, 12/20/51 | 171,514 | 19,940 | |
Series 2021-221, Class CI, 3.00%, 12/20/51 | 87,180 | 13,133 | |
Series 2021-29, Class TI, 2.50%, 2/20/51 | 484,442 | 91,614 | |
Series 2021-5, Class IO, 1.09%, 1/16/61(d) | 3,617,895 | 299,324 | |
Series 2021-78, Class IC, 4.00%, 5/20/51 | 77,708 | 11,458 | |
Series 2022-3, Class IO, 0.64%, 2/16/61(d) | 99,548 | 6,211 | |
22,263,469 | |||
Government National Mortgage Association I – 0.0%(f) | |||
Pool, | |||
3.00%, 9/15/42 - 10/15/42 | 191,405 | 184,103 | |
3.50%, 6/15/48 - 5/15/50 | 130,274 | 130,412 | |
314,515 | |||
Government National Mortgage Association II – 1.5% | |||
Pool, | |||
1/07/39 | 400,000 | 377,750 | |
3.50%, 3/20/45 - 7/20/50 | 2,094,143 | 2,071,204 | |
3.00%, 8/20/46 - 9/20/51 | 2,371,314 | 2,269,022 | |
4.00%, 3/20/47 - 5/20/50 | 1,868,733 | 1,893,699 | |
4.50%, 4/20/47 - 12/20/50 | 1,856,989 | 1,908,699 | |
2.00%, 8/20/50 - 3/20/51 | 1,180,057 | 1,072,920 | |
11/20/50 (g) | 662,562 | 603,959 | |
2.50%, 10/20/51 - 12/20/51 | 2,506,198 | 2,330,821 | |
12,528,074 | |||
Uniform Mortgage-Backed Securities – 4.3% | |||
Pool, 5/01/37 - 7/01/52(g) | 38,842,738 | 35,902,059 | |
Whole Loan – 2.2% | |||
Adjustable Rate Mortgage Trust, Series 2005-9, Class 5A1, (1M USD LIBOR + 0.54%, 0.54% Floor, 11.00% Cap), 1.21%, 11/25/35(c) | 145,956 | 146,522 | |
Cascade MH Asset Trust, Series 2021-MH1, Class A1, 1.75%, 2/25/46(b) | 146,281 | 133,517 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
CIM Trust, Series 2021-R6, Class A1, 1.43%, 7/25/61(b) | $324,293 | $300,448 | |
COLT Mortgage Loan Trust, Series 2022-2, Class A1, (Step to 3.99% on 3/25/26), 2.99%, 2/25/67(b)(e) | 191,185 | 187,216 | |
CSMC, | |||
Series 2021-2R, Class 1A1, (1M USD LIBOR + 1.75%, 1.75% Floor), 2.55%, 7/25/47(b)(c) | 309,440 | 301,168 | |
Series 2019-NQM1, Class A2, (Step to 3.86% on 12/25/23), 2.86%, 10/25/59(b)(e) | 409,483 | 403,263 | |
Series 2021-NQM2, Class A3, 1.54%, 2/25/66(b) | 108,290 | 103,221 | |
Series 2021-NQM6, Class A3, 1.59%, 7/25/66(b) | 712,010 | 634,503 | |
Series 2021-NQM7, Class A1, 1.76%, 10/25/66(b) | 171,792 | 161,692 | |
Series 2022-NQM1, Class A1, 2.27%, 11/25/66(b) | 725,522 | 672,049 | |
CSMC Trust, | |||
Series 2021-RPL2, Class A1, 2.00%, 1/25/60(b) | 134,265 | 124,721 | |
Series 2021-RPL3, Class A1, 2.00%, 1/25/60(b) | 143,888 | 138,340 | |
Series 2021-RPL6, Class A1, 2.00%, 10/25/60(b) | 172,989 | 161,440 | |
Series 2021-RPL4, Class A1, 1.80%, 12/27/60(b)(d) | 173,255 | 163,804 | |
Deephaven Residential Mortgage Trust, Series 2022-1, Class A1, 2.21%, 1/25/67(b) | 447,107 | 423,049 | |
Ellington Financial Mortgage Trust, | |||
Series 2021-2, Class A1, 0.93%, 6/25/66(b) | 358,882 | 326,828 | |
Series 2022-1, Class A1, 2.21%, 1/25/67(b) | 202,638 | 191,303 | |
FHLMC Structured Agency Credit Risk Debt Notes, Series 2014-DN3, Class M3, (1M USD LIBOR + 4.00%), 4.67%, 8/25/24(c) | 41,394 | 41,812 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
FNMA Connecticut Avenue Securities, | |||
Series 2014-C04, Class 1M2, (1M USD LIBOR + 4.90%), 5.57%, 11/25/24(c) | $ 85,610 | $ 90,312 | |
Series 2016-C02, Class 1M2, (1M USD LIBOR + 6.00%), 6.67%, 9/25/28(c) | 222,391 | 234,333 | |
Series 2016-C03, Class 1M2, (1M USD LIBOR + 5.30%), 5.97%, 10/25/28(c) | 229,625 | 239,072 | |
Freddie Mac STACR REMIC Trust, | |||
Series 2021-DNA6, Class M2, (30D Average SOFR + 1.50%), 1.79%, 10/25/41(b)(c) | 580,000 | 558,726 | |
Series 2022-DNA1, Class M1A, (30D Average SOFR + 1.00%), 1.29%, 1/25/42(b)(c) | 820,000 | 805,137 | |
Series 2022-DNA3, Class M1B, (30D Average SOFR + 2.90%), 3.15%, 4/25/42(b)(c) | 550,000 | 550,687 | |
Series 2020-DNA6, Class M1, (30D Average SOFR + 0.90%), 1.19%, 12/25/50(b)(c) | 14,687 | 14,670 | |
Freddie Mac Structured Agency Credit Risk Debt Notes, | |||
Series 2021-DNA2, Class M2, (30D Average SOFR + 2.30%), 2.59%, 8/25/33(b)(c) | 190,000 | 187,408 | |
Series 2022-DNA2, Class M1A, (30D Average SOFR + 1.30%), 1.59%, 2/25/42(b)(c) | 617,672 | 612,267 | |
Series 2022-DNA2, Class M1B, (30D Average SOFR + 2.40%), 2.69%, 2/25/42(b)(c) | 200,000 | 195,875 | |
GSR Mortgage Loan Trust, Series 2007-1F, Class 2A4, 5.50%, 1/25/37 | 175,016 | 208,841 | |
HarborView Mortgage Loan Trust, | |||
Series 2005-9, Cllass 2A1B, (1M USD LIBOR + 0.74%, 0.74% Floor, 11.00% Cap), 1.33%, 6/20/35(c) | 154,607 | 150,479 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
HarborView Mortgage Loan Trust, | |||
Series 2005-9, Cllass 2A1C, (1M USD LIBOR + 0.90%, 0.90% Floor, 11.00% Cap), 1.49%, 6/20/35(c) | $569,923 | $551,279 | |
Impac CMB Trust, Series 2007-A, Class A, (1M USD LIBOR + 0.50%, 0.50% Floor, 11.50% Cap), 1.17%, 5/25/37(b)(c) | 198,797 | 195,462 | |
Legacy Mortgage Asset Trust, | |||
Series 2021-GS2, Class A1, (Step to 4.75% on 5/25/24), 1.75%, 4/25/61(b)(e) | 314,914 | 298,235 | |
Series 2021-GS5, Class A1, (Step to 5.25% on 12/25/24), 2.25%, 7/25/67(b)(e) | 193,332 | 185,494 | |
MASTR Asset Securitization Trust, | |||
Series 2007-1, Class 1A4, 6.50%, 11/25/37 | 616,224 | 201,164 | |
Series 2007-2, Class A2, 6.25%, 1/25/38 | 380,936 | 255,455 | |
Merrill Lynch Mortgage Investors Trust, Series 2004-A1, Class 2A2, 2.32%, 2/25/34(d) | 255,917 | 257,278 | |
Mill City Mortgage Loan Trust, Series 2019-1, Class A1, 3.25%, 10/25/69(b)(d) | 349,269 | 341,510 | |
Morgan Stanley Resecuritization Trust, Series 2015-R2, Class 2A1, (12MTA + 1.09%, 1.09% Floor), 2.40%, 12/26/46(b)(c) | 77,964 | 78,405 | |
New Residential Mortgage Loan Trust, | |||
Series 2015-2A, Class A1, 3.75%, 8/25/55(b) | 253,804 | 247,107 | |
Series 2021-NQM3, Class A1, 1.16%, 11/27/56(b) | 207,407 | 195,318 | |
Series 2017-2A, Class B2, 4.75%, 3/25/57(b) | 269,316 | 265,264 | |
Series 2018-RPL1, Class M2, 3.50%, 12/25/57(b) | 280,000 | 264,487 | |
Series 2018-3A, Class A1, 4.50%, 5/25/58(b)(d) | 735,931 | 737,620 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
New Residential Mortgage Loan Trust, | |||
Series 2019-NQM4, Class A1, 2.49%, 9/25/59(b) | $110,860 | $109,508 | |
Series 2019-6A, Class A1B, 3.50%, 9/25/59(b)(d) | 672,979 | 654,945 | |
Series 2019-6A, Class B3C, 3.75%, 9/25/59(b)(d) | 571,258 | 542,391 | |
Series 2022-NQM3, Class A1, 3.90%, 4/25/62(b)(d) | 800,000 | 788,962 | |
OBX Trust, | |||
Series 2021-NQM2, Class A1, 1.10%, 5/25/61(b) | 620,417 | 576,829 | |
Series 2021-NQM3, Class A1, 1.05%, 7/25/61(b) | 195,677 | 177,181 | |
Series 2022-NQM1, Class A1, 2.31%, 11/25/61(b) | 757,571 | 711,806 | |
PRKCM Trust, Series 2021-AFC2, Class A1, 2.07%, 11/25/56(b) | 200,489 | 186,811 | |
Residential Mortgage Loan Trust, | |||
Series 2019-2, Class A1, 2.91%, 5/25/59(b) | 75,150 | 74,906 | |
Series 2020-2, Class A1, 1.65%, 5/25/60(b) | 139,933 | 139,050 | |
SG Residential Mortgage Trust, Series 2022-1, Class A1, 3.17%, 3/27/62(b)(d) | 782,958 | 758,845 | |
Thornburg Mortgage Securities Trust, Series 2004-2, Class A4, (1M USD LIBOR + 0.68%, 0.34% Floor, 11.50% Cap), 1.35%, 6/25/44(c) | 287,486 | 276,667 | |
Voyager OPTONE Delaware Trust, Series 2009-1, Class SAA7, 6.64%, 2/25/38(b)(d) | 177,182 | 52,248 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
WaMu Mortgage Pass-Through Certificates, Series 2006-AR13, Class 1A, (12MTA + 0.88%, 0.88% Floor), 1.10%, 10/25/46(c) | $303,695 | $ 281,736 | |
ZH Trust, Series 2021-2, Class A, 2.35%, 10/17/27(b) | 233,492 | 231,398 | |
18,100,064 | |||
Total Mortgage-Backed Securities (Cost $252,779,294) | 240,329,960 | ||
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 | 214,195 | |
California State Taxable GO Unlimited Refunding Bonds, 4.60%, 4/01/38 | 215,000 | 224,291 | |
California State Various Purpose Taxable GO Unlimited Bonds, Build America Bonds, | |||
7.50%, 4/01/34 | 65,000 | 85,414 | |
7.55%, 4/01/39 | 20,000 | 27,735 | |
Los Angeles Community College District GO Unlimited Bonds, Build America Bonds, 6.60%, 8/01/42 | 45,000 | 59,065 | |
Los Angeles Unified School District GO Unlimited Bonds, Series RY, Build America Bonds, 6.76%, 7/01/34 | 215,000 | 258,026 | |
University of California Taxable General Revenue Bonds, Series AD, 4.86%, 5/15/12(q) | 25,000 | 25,099 | |
893,825 | |||
Georgia – 0.0%(f) | |||
Municipal Electric Authority of Georgia Taxable Revenue Bonds, Build America Bonds, 6.64%, 4/01/57 | 40,000 | 49,086 | |
Illinois – 0.1% | |||
Illinois State Taxable GO Unlimited Pension Bonds, 5.10%, 6/01/33 | 380,000 | 388,850 |
Par (a) | Value | ||
New Jersey – 0.0%(f) | |||
New Jersey State Turnpike Authority Taxable Revenue Bonds, Build America Bonds, 7.41%, 1/01/40 | $66,000 | $ 89,628 | |
New York – 0.1% | |||
Metropolitan Transportation Authority Revenue Bonds, Build America Bonds, 5.87%, 11/15/39 | 45,000 | 50,475 | |
New York City Municipal Water Finance Authority Water & Sewer System Second General Resolution Taxable Revenue Bonds, 5.88%, 6/15/44 | 30,000 | 37,628 | |
New York City Municipal Water Finance Authority Water & Sewer System Taxable Revenue Bonds, Build America Bonds, 6.01%, 6/15/42 | 25,000 | 31,409 | |
New York State Dormitory Authority Personal Income TRB, Build America Bonds, 5.39%, 3/15/40 | 30,000 | 33,266 | |
Port Authority of New York & New Jersey Consolidated 164th Taxable Revenue Bonds, 5.65%, 11/01/40 | 35,000 | 40,667 | |
Port Authority of New York & New Jersey Consolidated 168th Revenue Bonds, 4.93%, 10/01/51 | 55,000 | 60,858 | |
Port Authority of New York & New Jersey Consolidated Taxable Revenue Bonds, Series 181, 4.96%, 8/01/46 | 60,000 | 65,689 | |
319,992 | |||
Ohio – 0.0%(f) | |||
American Municipal Power-Ohio, Inc., Taxable Revenue Bonds, Series B, Combined Hydroelectric Projects, 8.08%, 2/15/50 | 75,000 | 114,149 |
Par (a) | Value | ||
Texas – 0.0%(f) | |||
San Antonio Electric & Gas Junior Lien Revenue Bonds, Build America Bonds, 5.81%, 2/01/41 | $ 75,000 | $ 87,835 | |
Texas State Taxable GO Unlimited Bonds, Build America Bonds, 5.52%, 4/01/39 | 115,000 | 134,179 | |
222,014 | |||
Washington – 0.0%(f) | |||
Seattle Municipal Light & Power Improvement Revenue Bonds, 5.00%, 4/01/44 | 275,000 | 303,618 | |
Total Municipal Bonds (Cost $2,603,873) | 2,381,162 | ||
Term Loans – 0.2% | |||
Aerospace/Defense – 0.0%(f) | |||
Cobham Ultra U.S. Co-Borrower LLC, Term Loan, 11/17/28(r) | 20,000 | 19,815 | |
Apparel – 0.0%(f) | |||
Fanatics Commerce Intermediate Holdco LLC, Initial Term Loan, (Floating, ICE LIBOR USD 1M + 3.25%), 4.06%, 11/24/28(c) | 28,928 | 28,711 | |
Building Materials – 0.0%(f) | |||
CP Iris Holdco I, Inc., Delayed Draw Term Loan, 10/02/28(r) | 3,480 | 3,407 | |
CP Iris Holdco I, Inc., Initial Term Loan, (Floating, ICE LIBOR USD 1M + 3.50%), 4.26%, 10/02/28(c) | 17,399 | 17,035 | |
Zurn LLC, Term B Loan, (Floating, ICE LIBOR USD 1M + 2.25%), 3.01%, 10/04/28(c) | 5,985 | 5,961 | |
26,403 | |||
Chemicals – 0.1% | |||
Bakelite UK Intermediate Ltd., Term Loan, 2/02/29(r) | 128,000 | 125,440 | |
LSF11 A5 Holdco LLC, Term Loan, (Floating, ICE CME Term SOFR USD 1M + 3.50%), 4.31%, 10/15/28(c) | 100,000 | 98,275 | |
223,715 |
Par (a) | Value | ||
Commercial Services – 0.0%(f) | |||
AEA International Holdings (Luxembourg) S.a.r.l. Initial Term Loan (First Lien), (Floating, ICE LIBOR USD 3M + 3.75%), 4.81%, 9/07/28(c) | $ 74,713 | $ 74,433 | |
Allied Universal Holdco LLC, Initial U.S. Dollar Term Loan, (Floating, ICE LIBOR USD 1M + 3.75%), 4.51%, 5/12/28(c) | 67,660 | 65,834 | |
140,267 | |||
Distribution/Wholesale – 0.0%(f) | |||
KAR Auction Services, Inc., Tranche B-6 Term Loan, (Floating, ICE LIBOR USD 1M + 2.25%), 3.06%, 9/19/26(c) | 14,454 | 14,363 | |
Entertainment – 0.1% | |||
Bally's Corp., Term B Facility Loan, (Floating, ICE LIBOR USD 3M + 3.25%), 3.75%, 10/02/28(c) | 162,592 | 160,967 | |
Herschend Entertainment Company LLC, Initial Term Loan, (Floating, ICE LIBOR USD 1M + 3.75%), 4.56%, 8/28/28(c) | 37,810 | 37,526 | |
Scientific Games Holdings L.P., Initial Dollar Term Loan, (Floating, ICE CME Term SOFR USD 3M + 3.50%), 4.18%, 4/04/29(c) | 80,000 | 79,114 | |
Seaworld Parks & Entertainment, Inc., Term B Loan, (Floating, ICE LIBOR USD 1M + 3.00%), 3.81%, 8/25/28(c) | 235,815 | 232,179 | |
509,786 | |||
Food – 0.0%(f) | |||
BCPE North Star U.S. Holdco 2, Inc., Initial Term Loan, (Floating, ICE LIBOR USD 3M + 4.00%), 5.01%, 6/09/28(c) | 84,787 | 82,615 | |
Healthcare - Products – 0.0%(f) | |||
Medline Borrower L.P., Initial Dollar Term Loan, (Floating, ICE LIBOR USD 1M + 3.25%), 4.01%, 10/23/28(c) | 192,000 | 188,640 |
Par (a) | Value | ||
Holding Companies - Diversified – 0.0%(f) | |||
SWF Holdings I Corp., Initial Term Loan, (Floating, ICE LIBOR USD 1M + 4.00%), 4.75%, 10/06/28(c) | $ 39,000 | $ 36,051 | |
Internet – 0.0%(f) | |||
Olaplex, Inc., Initial Term Loan, (Floating, ICE CME Term SOFR USD 3M + 3.75%), 4.80%, 2/23/29(c) | 207,000 | 206,483 | |
Lodging – 0.0%(f) | |||
Jack Ohio Finance LLC, Initial Term Loan, (Floating, ICE LIBOR USD 1M + 4.75%), 5.51%, 10/04/28(c) | 25,935 | 25,481 | |
Media – 0.0%(f) | |||
Gray Television, Inc., Term D Loan, 12/01/28(r) | 111,000 | 110,133 | |
Oil & Gas – 0.0%(f) | |||
Southwestern Energy Company, Initial Loan, (Floating, ICE CME Term SOFR USD 3M + 2.50%), 3.15%, 6/22/27(c) | 74,813 | 74,625 | |
Packaging & Containers – 0.0%(f) | |||
Valcour Packaging LLC, Initial Term Loan, (Floating, ICE LIBOR USD 3M + 3.75%), 5.22%, 10/04/28(c) | 15,000 | 14,738 | |
Retail – 0.0%(f) | |||
Foundation Building Materials, Inc., Initial Term Loan, | |||
(Floating, ICE LIBOR USD 1M + 3.25%), 4.01%, 1/29/28(c) | 290 | 279 | |
(Floating, ICE LIBOR USD 3M + 3.25%), 4.49%, 1/29/28(c) | 114,840 | 110,677 | |
Leslie's Poolmart, Inc., Initial Term Loan, (Floating, ICE LIBOR USD 3M + 2.50%), 3.02%, 3/09/28(c) | 21,345 | 21,052 | |
Tory Burch LLC, Initial Term B Loan, (Floating, ICE LIBOR USD 1M + 3.00%), 3.76%, 4/16/28(c) | 69,475 | 67,217 | |
199,225 |
Par (a) | Value | ||
Software – 0.0%(f) | |||
ConnectWise LLC, Initial Term Loan, (Floating, ICE LIBOR USD 1M + 3.50%), 4.26%, 9/30/28(c) | $ 78,802 | $ 78,211 | |
Total Term Loans (Cost $2,000,890) | 1,979,262 | ||
U.S. Government Obligations – 18.6% | |||
U.S. Treasury Bonds – 9.1% | |||
4.25%, 5/15/39 | 51,000 | 59,393 | |
4.50%, 8/15/39 | 51,000 | 61,178 | |
4.38%, 11/15/39 | 51,000 | 60,174 | |
4.63%, 2/15/40 | 370,000 | 450,417 | |
1.13%, 5/15/40 | 1,108,000 | 798,323 | |
3.88%, 8/15/40 | 370,000 | 409,457 | |
1.13%, 8/15/40 | 1,108,000 | 794,471 | |
4.25%, 11/15/40 | 370,000 | 428,391 | |
1.38%, 11/15/40 | 1,108,000 | 829,182 | |
1.88%, 2/15/41 | 3,750,000 | 3,061,523 | |
2.25%, 5/15/41 | 1,130,000 | 979,127 | |
1.75%, 8/15/41(p) | 2,570,000 | 2,035,922 | |
2.00%, 11/15/41 | 1,690,000 | 1,398,739 | |
3.13%, 2/15/43 | 198,000 | 195,548 | |
2.88%, 5/15/43 | 198,000 | 187,706 | |
3.63%, 8/15/43 | 198,000 | 211,094 | |
3.75%, 11/15/43 | 198,000 | 215,062 | |
2.50%, 2/15/45(p) | 3,341,000 | 2,957,438 | |
2.88%, 11/15/46 | 193,000 | 183,795 | |
2.75%, 11/15/47(p) | 3,341,000 | 3,122,661 | |
3.00%, 2/15/48(p) | 3,264,000 | 3,207,008 | |
1.63%, 11/15/50(p) | 8,620,000 | 6,336,373 | |
1.88%, 2/15/51(p) | 22,470,000 | 17,609,985 | |
2.38%, 5/15/51(p) | 23,210,000 | 20,433,866 | |
2.00%, 8/15/51 | 3,840,000 | 3,102,600 | |
1.88%, 11/15/51 | 1,449,000 | 1,136,559 | |
2.25%, 2/15/52 | 6,126,000 | 5,259,745 | |
75,525,737 | |||
U.S. Treasury Notes – 9.5% | |||
2.75%, 5/31/23 | 392,000 | 394,144 | |
0.13%, 5/31/23 | 1,269,000 | 1,240,794 | |
0.25%, 11/15/23 | 30,000 | 28,963 | |
2.25%, 3/31/24(h) | 104,000 | 103,122 | |
2.13%, 7/31/24 | 392,000 | 386,350 | |
1.75%, 7/31/24 | 662,000 | 647,157 | |
1.50%, 9/30/24 | 384,000 | 372,135 | |
1.50%, 10/31/24 | 5,809,000 | 5,620,207 | |
2.25%, 11/15/24(p) | 1,540,000 | 1,516,720 | |
1.75%, 12/31/24(p) | 6,696,000 | 6,502,967 | |
2.00%, 2/15/25 | 487,000 | 475,510 | |
1.50%, 2/15/25 | 63,000 | 60,652 |
Par (a) | Value | ||
U.S. Treasury Notes (Continued) | |||
0.50%, 3/31/25 | $ 1,540,000 | $ 1,437,975 | |
0.38%, 4/30/25 | 7,349,000 | 6,820,791 | |
2.13%, 5/15/25 | 420,000 | 410,419 | |
0.25%, 5/31/25 | 9,100,000 | 8,389,773 | |
0.25%, 10/31/25 | 80,000 | 72,878 | |
0.38%, 11/30/25 | 1,286,000 | 1,173,927 | |
0.38%, 12/31/25 | 1,286,000 | 1,171,667 | |
0.38%, 1/31/26(p) | 250,000 | 227,207 | |
0.75%, 4/30/26 | 930,000 | 853,057 | |
0.75%, 5/31/26 | 6,736,000 | 6,165,545 | |
1.50%, 8/15/26 | 558,000 | 525,087 | |
1.63%, 11/30/26 | 1,555,000 | 1,466,681 | |
1.88%, 2/28/27 | 3,000 | 2,857 | |
0.63%, 3/31/27 | 621,000 | 555,552 | |
0.50%, 4/30/27 | 621,000 | 550,701 | |
2.38%, 5/15/27 | 614,000 | 597,571 | |
0.50%, 5/31/27 | 484,000 | 428,170 | |
2.25%, 8/15/27(p) | 2,561,000 | 2,471,865 | |
0.75%, 1/31/28 | 5,350,000 | 4,724,510 | |
1.25%, 3/31/28 | 3,438,000 | 3,117,836 | |
1.25%, 4/30/28 | 443,000 | 401,313 | |
1.25%, 5/31/28 | 12,640,000 | 11,433,275 | |
2.88%, 8/15/28(p) | 122,000 | 121,309 | |
1.25%, 9/30/28 | 87,000 | 78,269 | |
3.13%, 11/15/28 | 329,000 | 332,033 | |
1.38%, 12/31/28 | 44,000 | 39,806 | |
2.63%, 2/15/29 | 548,000 | 536,826 | |
1.88%, 2/28/29(h) | 34,000 | 31,753 | |
2.38%, 3/31/29 | 9,000 | 8,677 | |
2.88%, 4/30/29 | 3,200,000 | 3,185,000 | |
2.38%, 5/15/29 | 548,000 | 528,049 | |
1.63%, 8/15/29(h) | 890,000 | 814,559 | |
1.75%, 11/15/29 | 453,000 | 417,609 | |
1.50%, 2/15/30 | 869,000 | 783,865 | |
1.13%, 2/15/31 | 207,000 | 178,651 | |
1.63%, 5/15/31 | 109,000 | 97,968 | |
1.25%, 8/15/31 | 420,000 | 363,759 | |
1.88%, 2/15/32 | 457,000 | 417,298 | |
78,282,809 | |||
Total U.S. Government Obligations (Cost $175,034,880) | 153,808,546 |
Number of Shares | |||
Investment Companies – 17.7% | |||
BlackRock Allocation Target Shares - BATS, Series A | 7,512,328 | 71,892,978 | |
Schwab Intermediate-Term U.S. Treasury ETF | 321,586 | 16,642,076 |
Number of Shares | Value | ||
Schwab Short-Term U.S. Treasury ETF | 845,934 | $ 41,687,628 | |
Vanguard Long-Term Treasury ETF(h) | 226,224 | 16,487,205 | |
Total Investment Companies (Cost $154,640,052) | 146,709,887 |
Par (a)/Number of Shares | |||
Short-Term Investments – 8.1% | |||
Borrowed Bond Agreements – 0.6% | |||
Barclays Capital, Inc., 0.22%, Open (Purchased on 4/29/22 to be repurchased at $1,528,791, collateralized by U.S. Treasury Bonds, 1.88%, due 2/15/51, par and fair value of $1,926,000 and $1,528,763, respectively)(s) | $1,528,762 | 1,528,762 | |
Barclays Capital, Inc., 0.22%, Open (Purchased on 4/29/22 to be repurchased at $44,040, collateralized by U.S. Treasury Bonds, 2.38%, due 5/15/51, par and fair value of $49,000 and $44,039, respectively)(s) | $ 44,039 | 44,039 | |
BofA Securities, Inc., 0.20%, Open (Purchased on 4/29/22 to be repurchased at $1,765, collateralized by U.S. Treasury Notes, 1.38%, due 11/15/31, par and fair value of $2,000 and $1,765, respectively)(s) | $ 1,765 | 1,765 | |
BofA Securities, Inc., 0.20%, Open (Purchased on 4/29/22 to be repurchased at $135,332, collateralized by U.S. Treasury Bonds, 2.25%, due 8/15/49, par and fair value of $156,000 and $135,330, respectively)(s) | $ 135,330 | 135,330 |
Par (a)/Number of Shares | Value | ||
Borrowed Bond Agreements (Continued) | |||
BofA Securities, Inc., 0.20%, Open (Purchased on 4/29/22 to be repurchased at $254,422, collateralized by U.S. Treasury Notes, 0.88%, due 11/15/30, par and fair value of $298,000 and $254,418, respectively)(s) | $ 254,418 | $ 254,418 | |
BofA Securities, Inc., 0.20%, Open (Purchased on 4/29/22 to be repurchased at $326,143, collateralized by U.S. Treasury Notes, 0.63%, due 8/15/30, par and fair value of $390,000 and $326,138, respectively)(s) | $ 326,137 | 326,137 | |
BNP Paribas SA, 0.19%, Open (Purchased on 4/29/22 to be repurchased at $1,348,545, collateralized by U.S. Treasury Notes, 0.63%, due 5/15/30, par and fair value of $1,603,000 and $1,348,524, respectively)(s) | $1,348,524 | 1,348,524 | |
BofA Securities, Inc., 0.20%, Open (Purchased on 4/29/22 to be repurchased at $981,489, collateralized by U.S. Treasury Bonds, 1.25%, due 5/15/50, par and fair value of $1,446,000 and $981,473, respectively)(s) | $ 981,472 | 981,472 | |
BofA Securities, Inc., 0.20%, Open (Purchased on 4/29/22 to be repurchased at $515,897, collateralized by U.S. Treasury Bonds, 1.63%, due 11/15/50, par and fair value of $689,000 and $515,889, respectively)(s) | $ 515,889 | 515,889 | |
5,136,336 | |||
Corporate Bonds – 0.4% | |||
AbbVie, Inc., 2.30%, 11/21/22 | $ 555,000 | 554,912 |
Par (a)/Number of Shares | Value | ||
Corporate Bonds (Continued) | |||
American Airlines Pass Through Trust, Series 2013-2, Class A, 4.95%, 1/15/23 | $ 24,744 | $ 24,579 | |
Anthem, Inc., 2.95%, 12/01/22 | 30,000 | 30,108 | |
Bank of America Corp., 3.30%, 1/11/23 | 270,000 | 272,172 | |
Bristol-Myers Squibb Co., 2.60%, 5/16/22 | 110,000 | 110,073 | |
Continental Resources, Inc., 4.50%, 4/15/23 | 90,000 | 91,008 | |
Dollar General Corp., 3.25%, 4/15/23 | 10,000 | 10,036 | |
Eaton Corp., 2.75%, 11/02/22 | 40,000 | 40,106 | |
Edison International, 3.13%, 11/15/22 | 15,000 | 15,021 | |
Energy Transfer L.P., 3.60%, 2/01/23 | 653,000 | 654,175 | |
Exxon Mobil Corp., 1.57%, 4/15/23 | 10,000 | 9,917 | |
General Motors Financial Co., Inc., 3.55%, 7/08/22 | 329,000 | 330,192 | |
Goldman Sachs Group (The), Inc., 3.20%, 2/23/23 | 40,000 | 40,141 | |
International Lease Finance Corp., 5.88%, 8/15/22 | 230,000 | 231,869 | |
Newell Brands, Inc., 4.10%, 4/01/23 | 20,000 | 20,013 | |
Pacific Gas and Electric Co., 1.75%, 6/16/22 | 160,000 | 159,892 | |
Penske Truck Leasing Co. L.P./PTL Finance Corp., | |||
2.70%, 3/14/23(b) | 51,000 | 50,829 | |
4.25%, 1/17/23(b) | 4,000 | 4,037 | |
Philip Morris International, Inc., 2.50%, 8/22/22 | 330,000 | 330,630 | |
Sabine Pass Liquefaction LLC, 5.63%, 4/15/23 | 100,000 | 101,570 | |
State Street Corp., (3M USD LIBOR + 3.60%), 4.42%, 6/15/22(c)(j) | 26,000 | 25,865 | |
United Airlines Pass Through Trust, Series 2014-2, Class B, 4.63%, 9/03/22 | 3,597 | 3,611 | |
UnitedHealth Group, Inc., 2.38%, 10/15/22 | 20,000 | 20,008 |
Par (a)/Number of Shares | Value | ||
Corporate Bonds (Continued) | |||
Virginia Electric and Power Co., 3.45%, 9/01/22 | $ 62,000 | $ 62,092 | |
Western Midstream Operating L.P., (3M USD LIBOR + 1.85%), 2.62%, 1/13/23(c) | 40,000 | 39,400 | |
3,232,256 | |||
Foreign Issuer Bonds – 0.3% | |||
Abu Dhabi Government International Bond, 2.50%, 10/11/22(b) | 610,000 | 611,501 | |
Banco Votorantim S.A., 4.00%, 9/24/22(b) | 200,000 | 200,002 | |
Barclays Bank PLC, 1.70%, 5/12/22 | 200,000 | 200,038 | |
Credit Suisse Group Funding Guernsey Ltd., 3.80%, 9/15/22 | 435,000 | 437,466 | |
Enbridge, Inc., 2.90%, 7/15/22 | 36,000 | 36,053 | |
Intesa Sanpaolo S.p.A., 3.13%, 7/14/22(b) | 840,000 | 840,926 | |
Mitsubishi UFJ Financial Group, Inc., 3.46%, 3/02/23 | 52,000 | 52,346 | |
RELX Capital, Inc., 3.50%, 3/16/23 | 56,000 | 56,316 | |
Royal Bank of Canada, 1.60%, 4/17/23 | 190,000 | 188,260 | |
2,622,908 | |||
Money Market Fund – 4.8% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 0.32%(t)(u) | 3,241,194 | 3,241,194 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 0.18%(t) | 36,351,125 | 36,351,125 | |
39,592,319 | |||
U.S. Government Obligations – 2.0% | |||
U.S. Treasury Notes, | |||
2.13%, 12/31/22 | 392,000 | 392,934 | |
1.75%, 7/15/22 | 4,711,000 | 4,719,649 | |
1.50%, 9/15/22 | 75,000 | 75,053 | |
1.38%, 10/15/22 | 84,000 | 83,993 | |
0.50%, 3/15/23 | 4,711,000 | 4,650,824 | |
0.25%, 4/15/23(h)(p) | 4,711,000 | 4,628,190 |
Par (a)/Number of Shares | Value | ||
U.S. Government Obligations (Continued) | |||
U.S. Treasury Notes, | |||
0.13%, 3/31/23 | $1,071,000 | $ 1,052,299 | |
0.13%, 4/30/23 | 1,071,000 | 1,049,664 | |
16,652,606 | |||
Total Short-Term Investments (Cost $67,447,277) | 67,236,425 |
Number of Contracts | Notional Amount | ||
Purchased Options – 0.1% | |||
Call Options - Exchange Traded – 0.0%(f) | |||
10-Year U.S. Treasury Note Future, Strike Price $119.00, Expires 5/20/22 | 6 | 714,938 | 6,281 |
1-Year Mid Curve Future, Strike Price $96.56, Expires 5/13/22 | 82 | 19,827,600 | 14,862 |
5-Year U.S. Treasury Note Future, Strike Price $112.75, Expires 5/20/22 | 12 | 1,352,063 | 7,219 |
5-Year U.S. Treasury Note Future, Strike Price $113.25, Expires 5/20/22 | 12 | 1,352,063 | 4,500 |
U.S. Treasury Long Bond Future, Strike Price $140.00, Expires 5/20/22 | 2 | 281,375 | 4,781 |
37,643 | |||
Call Options - Over the Counter – 0.0%(f) | |||
Colombian Pesos vs. U.S. Dollar, Strike Price COP 4,100.00, Expires 5/19/22, Counterparty: Morgan Stanley | 2 | 18,000 | 119 |
Mexican Peso vs. U.S. Dollar, Strike Price MXN 20.30, Expires 5/27/22, Counterparty: Goldman Sachs | 2 | 210,000 | 4,038 |
South African Rand vs. U.S. Dollar, Strike Price ZAR 15.00, Expires 5/27/22, Counterparty: Bank of America | 2 | 140,000 | 7,629 |
Number of Contracts | Notional Amount | Value | |
Call Options - Over the Counter (Continued) | |||
U.S. Dollar vs. Australian Dollar, Strike Price USD 0.72, Expires 5/31/22, Counterparty: JPMorgan Chase | 2 | $ 208,000(v) | $ 994 |
U.S. Dollar vs. Euro, Strike Price USD 1.19, Expires 8/05/22, Counterparty: Bank of America | 1 | 2,170,000 (w) | 533 |
13,313 | |||
Put Options - Exchange Traded – 0.0%(f) | |||
10-Year U.S. Treasury Note Future, Strike Price $119.00, Expires 5/20/22 | 127 | 15,132,844 | 113,110 |
Put Options - Over the Counter – 0.0%(f) | |||
Chilean Peso vs. U.S. Dollar, Strike Price CLP 815.00, Expires 5/06/22, Counterparty: Barclays | 2 | 294,000 | 72 |
Chilean Peso vs. U.S. Dollar, Strike Price CLP 815.00, Expires 6/09/22, Counterparty: Barclays | 2 | 140,000 | 620 |
Chilean Peso vs. U.S. Dollar, Strike Price CLP 845.00, Expires 5/31/22, Counterparty: Barclays | 2 | 146,000 | 1,774 |
Japanese Yen vs. U.S. Dollar, Strike Price JPY 126.00, Expires 7/25/22, Counterparty: Citibank | 2 | 364,000 | 4,114 |
Mexican Peso vs. U.S. Dollar, Strike Price MXN 20.65, Expires 7/12/22, Counterparty: Bank of America | 2 | 290,000 | 1,322 |
U.S. Dollar vs. Euro, Strike Price USD 1.05, Expires 5/31/22, Counterparty: BNP Paribas | 2 | 210,000 (w) | 1,929 |
U.S. Dollar vs. Euro, Strike Price USD 1.08, Expires 5/10/22, Counterparty: Goldman Sachs | 2 | 256,000 (w) | 6,513 |
16,344 |
Number of Contracts | Notional Amount | Value | |
Put Swaptions - Over the Counter – 0.1% | |||
Pay 2.02% (Semi-Annually); Receive 1-Day USD SOFR (Quarterly); Interest Rate Swap Maturing 05/06/2026, Strike Price $2.02, Expires 5/04/22, Counterparty: Bank of America | 1 | $64,820,000 | $406,603 |
Total Purchased Options (Premiums Received $184,800) | 587,013 |
Total Long Positions – 108.5% (Cost $972,833,826) | 899,419,253 |
Par | Value | ||
Short Positions – (1.6)% | |||
Mortgage-Backed Securities – (1.0)% | |||
Uniform Mortgage-Backed Securities – (1.0)% | |||
Pool, 5/01/52 - 6/01/52(g) | $(8,466,045) | $ (8,289,094) | |
Government National Mortgage Association – (0.0)%(f) | |||
Pool, 6/01/52(g) | (301,000) | (309,137) | |
Total Mortgage-Backed Securities (Proceeds $8,646,724) | (8,598,231) | ||
U.S. Government Obligations – (0.6)% | |||
U.S. Treasury Bonds – (0.4)% | |||
2.25%, 8/15/49 | (156,000) | (133,337) | |
1.25%, 5/15/50 | (1,446,000) | (963,906) | |
1.63%, 11/15/50 | (689,000) | (506,469) | |
1.88%, 2/15/51 | (1,926,000) | (1,509,427) | |
2.38%, 5/15/51 | (49,000) | (43,139) | |
(3,156,278) | |||
U.S. Treasury Notes – (0.2)% | |||
0.63%, 5/15/30 | (1,603,000) | (1,341,385) | |
0.63%, 8/15/30 | (390,000) | (324,629) | |
0.88%, 11/15/30 | (298,000) | (252,509) | |
1.38%, 11/15/31 | (2,000) | (1,747) | |
(1,920,270) | |||
Total U.S. Government Obligations (Proceeds $6,331,712) | (5,076,548) | ||
Total Short Positions – (1.6)% (Proceeds $14,978,436) | (13,674,779) | ||
Total Written Options – (0.1)% (Premiums Received $631,382) | (493,296) | ||
Liabilities less Other Assets – (6.8)%(x) | (56,037,520) | ||
NET ASSETS – 100.0% | $829,213,658 | ||
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 rate security. Rate as of April 30, 2022 is disclosed. |
(d) | 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, 2022 is disclosed. |
(e) | Step coupon bond. Rate as of April 30, 2022 is disclosed. |
(f) | Amount rounds to less than 0.05%. |
(g) | When-Issued Security. Coupon rate was not yet in effect at April 30, 2022. |
(h) | Security either partially or fully on loan. |
(i) | 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, 2022 is disclosed. |
(j) | Perpetual bond. Maturity date represents next call date. |
(k) | Investment is valued using significant unobservable inputs (Level 3). |
(l) | Distributions from this security are a made via payments in-kind (PIK) unless otherwise noted in the description. |
(m) | Century bond maturing in 2120. |
(n) | Restricted security that has been deemed illiquid. At April 30, 2022, the value of these restricted illiquid securities amounted to $297,700 or 0.04% of net assets. Additional information on these restricted illiquid securities is as follows: |
Security | Acquisition Date | Acquisition Cost | |
Lukoil Capital DAC, 3.60%, 10/26/31 | 10/19/21 | $470,000 | |
Lukoil Capital DAC, 2.80%, 4/26/27 | 10/19/21 | 370,000 |
(o) | Issuer has defaulted on terms of debt obligation. |
(p) | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap agreements. |
(q) | Century bond maturing in 2112. |
(r) | Position is unsettled. Contract rate was not determined at April 30, 2022 and does not take effect until settlement date. |
(s) | The amount to be repurchased assumes the maturity will be the day after the period end. |
(t) | 7-day current yield as of April 30, 2022 is disclosed. |
(u) | Security purchased with the cash proceeds from securities loaned (See Note 7). |
(v) | The notional amount is AUD. |
(w) | The notional amount is EUR. |
(x) | Includes appreciation/ (depreciation) on forward foreign currency exchange, futures and swap contracts. |
Abbreviations: | |
10Y | 10 Year |
12MTA | 12 Month Treasury Average |
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 |
CP | Commercial Paper |
ETF | Exchange-Traded Fund |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
Freddie Mac | Federal Home Loan Mortgage Corporation |
GO | Government Obligation |
ICE | Intercontinental Exchange |
IO | Interest Only |
L.P. | Limited Partnership |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
PJSC | Public Joint Stock Company |
PLC | Public Limited Company |
REMIC | Real Estate Mortgage Investment Conduit |
S&P | Standards & Poor's |
SOFR | United States Secured Overnight Financing Rate |
STACR | Structured Agency Credit Risk |
Strip | Separate Trading of Registered Interest and Principal |
TRB | Tax Revenue Bonds |
USD | United States Dollar |
EUR | Euro |
MXN | Mexican Peso |
RUB | Russian Ruble |
COP | Colombian Peso |
ZAR | South African Rand |
CLP | Chilean Peso |
JPY | Japanese Yen |
Futures Contracts outstanding at April 30, 2022: Exchange Traded | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | |||||
Euro-Bobl | 14 | 6/08/2022 | EUR | 1,878,360 | $ (1,203) |
10-Year U.S. Treasury Note | 183 | 6/21/2022 | USD | 21,805,594 | (302,895) |
U.S. Treasury Long Bond | 81 | 6/21/2022 | USD | 11,395,688 | (671,854) |
Ultra 10-Year U.S. Treasury Note | 44 | 6/21/2022 | USD | 5,676,000 | (82,781) |
Ultra U.S. Treasury Bond | 97 | 6/21/2022 | USD | 15,562,438 | (1,722,374) |
2-Year U.S. Treasury Note | 393 | 6/30/2022 | USD | 82,849,312 | (1,105,904) |
5-Year U.S. Treasury Note | 431 | 6/30/2022 | USD | 48,561,578 | (411,096) |
90-Day Eurodollar | 507 | 12/19/2022 | USD | 122,655,975 | (1,501,199) |
3-Month SONIA Index | 1 | 3/15/2023 | GBP | 307,101 | 5 |
90-Day Eurodollar | 83 | 6/19/2023 | USD | 20,000,925 | (591,569) |
90-Day Eurodollar | 21 | 9/18/2023 | USD | 5,065,725 | (99,689) |
90-Day Eurodollar | 203 | 12/18/2023 | USD | 49,029,575 | (689,250) |
Total Long Contracts | $(7,179,809) | ||||
Short Contracts | |||||
30-Year Euro Buxl | (18) | 6/08/2022 | EUR | 3,246,756 | $ 184,796 |
Euro-BTP Italian Government Bond | (15) | 6/08/2022 | EUR | 2,062,533 | 64,708 |
Euro-Bund | (18) | 6/08/2022 | EUR | 2,916,536 | 27,639 |
Euro-Schatz | (96) | 6/08/2022 | EUR | 11,154,957 | 4,581 |
10-Year Japanese Treasury Bond | (4) | 6/13/2022 | JPY | 4,611,674 | (11,550) |
10-Year U.S. Treasury Note | (24) | 6/21/2022 | USD | 2,859,750 | 2,591 |
U.S. Treasury Long Bond | (242) | 6/21/2022 | USD | 34,046,375 | 1,193,270 |
Ultra 10-Year U.S. Treasury Note | (5) | 6/21/2022 | USD | 645,000 | 3,431 |
Ultra U.S. Treasury Bond | (34) | 6/21/2022 | USD | 5,454,875 | 46,272 |
Total Short Contracts | $ 1,515,738 | ||||
$(5,664,071) |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2022: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
06/15/22 | U.S. Dollars | 2,856,834 | Euro | 2,596,000 | BNP Paribas | $ 112,022 |
05/24/22 | U.S. Dollars | 1,059,787 | Chinese Offshore Yuan | 6,751,248 | BNP Paribas | 45,487 |
06/15/22 | U.S. Dollars | 1,153,994 | Euro | 1,060,000 | JPMorgan Chase | 33,232 |
06/15/22 | U.S. Dollars | 1,829,312 | Japanese Yen | 232,938,187 | JPMorgan Chase | 31,290 |
06/15/22 | U.S. Dollars | 757,474 | Euro | 687,000 | Morgan Stanley | 31,093 |
05/24/22 | Russian Rubles | 4,240,000 | U.S. Dollars | 35,187 | JPMorgan Chase | 22,143 |
06/15/22 | U.S. Dollars | 485,813 | Euro | 440,000 | Barclays | 20,590 |
05/20/22 | U.S. Dollars | 252,000 | South African Rand | 3,675,919 | BNP Paribas | 19,789 |
06/15/22 | U.S. Dollars | 363,476 | Euro | 330,000 | Deutsche Bank | 14,559 |
05/25/22 | Russian Rubles | 2,916,396 | U.S. Dollars | 24,837 | JPMorgan Chase | 14,536 |
06/15/22 | U.S. Dollars | 309,922 | Euro | 280,000 | Bank of America | 13,872 |
06/15/22 | U.S. Dollars | 289,031 | British Pounds | 220,000 | JPMorgan Chase | 12,371 |
06/15/22 | U.S. Dollars | 326,509 | Euro | 300,000 | HSBC | 9,312 |
06/15/22 | U.S. Dollars | 463,232 | Euro | 430,000 | Goldman Sachs | 8,583 |
06/15/22 | Japanese Yen | 119,543,581 | U.S. Dollars | 914,656 | Deutsche Bank | 8,087 |
05/24/22 | Russian Rubles | 6,784,000 | U.S. Dollars | 84,029 | Goldman Sachs | 7,699 |
06/15/22 | Euro | 560,000 | British Pounds | 464,873 | Goldman Sachs | 7,503 |
05/03/22 | U.S. Dollars | 106,000 | Brazilian Reals | 500,638 | Goldman Sachs | 4,839 |
05/25/22 | Russian Rubles | 1,032,387 | U.S. Dollars | 9,116 | Citibank | 4,822 |
06/13/22 | U.S. Dollars | 103,292 | Chilean Pesos | 85,190,078 | Barclays | 4,305 |
06/15/22 | Euro | 840,000 | British Pounds | 703,191 | Deutsche Bank | 3,858 |
06/15/22 | Swiss Francs | 547,381 | Euro | 530,000 | BNP Paribas | 3,721 |
05/25/22 | Russian Rubles | 748,651 | U.S. Dollars | 6,837 | Morgan Stanley | 3,270 |
06/08/22 | Turkish Lira | 1,144,799 | U.S. Dollars | 71,713 | UBS | 3,100 |
06/02/22 | U.S. Dollars | 36,000 | Brazilian Reals | 168,480 | Citibank | 2,293 |
05/20/22 | U.S. Dollars | 55,000 | Colombian Pesos | 210,210,000 | Toronto-Dominion Bank | 2,081 |
05/20/22 | U.S. Dollars | 55,000 | Colombian Pesos | 210,210,000 | Citibank | 2,081 |
06/15/22 | Euro | 250,000 | British Pounds | 208,879 | Bank of America | 1,657 |
06/15/22 | British Pounds | 236,693 | Euro | 280,000 | Deutsche Bank | 1,601 |
05/20/22 | U.S. Dollars | 53,000 | Mexican Pesos | 1,062,443 | BNP Paribas | 1,142 |
05/20/22 | Euro | 96,000 | Hungarian Forint | 36,126,192 | Deutsche Bank | 882 |
06/15/22 | U.S. Dollars | 96,480 | Canadian Dollars | 123,000 | Morgan Stanley | 745 |
05/20/22 | U.S. Dollars | 52,000 | Canadian Dollars | 65,847 | Morgan Stanley | 745 |
05/02/22 | Euro | 130,000 | Swedish Krona | 1,339,548 | HSBC | 726 |
06/15/22 | U.S. Dollars | 7,110 | Japanese Yen | 837,000 | Bank of America | 649 |
05/20/22 | Colombian Pesos | 438,900,000 | U.S. Dollars | 110,000 | Citibank | 490 |
06/29/22 | U.S. Dollars | 112,000 | Turkish Lira | 1,733,224 | Goldman Sachs | 488 |
06/02/22 | Brazilian Reals | 182,225 | U.S. Dollars | 36,000 | Barclays | 457 |
06/02/22 | Euro | 50,030 | U.S. Dollars | 52,535 | BNP Paribas | 323 |
06/02/22 | Brazilian Reals | 476,229 | U.S. Dollars | 95,086 | Citibank | 191 |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2022: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
05/20/22 | South African Rand | 1,712,016 | U.S. Dollars | 108,000 | Bank of America | $ 149 |
06/01/22 | U.S. Dollars | 72,000 | Mexican Pesos | 1,476,374 | HSBC | 110 |
06/15/22 | Euro | 370,000 | Swiss Francs | 379,508 | Barclays | 109 |
06/02/22 | Euro | 19,970 | U.S. Dollars | 20,991 | UBS | 107 |
06/08/22 | Turkish Lira | 36,397 | U.S. Dollars | 2,287 | Barclays | 92 |
06/02/22 | Brazilian Reals | 74,666 | U.S. Dollars | 14,914 | Goldman Sachs | 24 |
Total Unrealized Appreciation | $ 457,225 | |||||
05/20/22 | Mexican Pesos | 165,055 | U.S. Dollars | 8,070 | Bank of America | $ (13) |
06/15/22 | Euro | 53,191 | Swiss Francs | 54,603 | Barclays | (31) |
06/02/22 | U.S. Dollars | 19,900 | Chilean Pesos | 17,127,930 | Barclays | (44) |
05/20/22 | Mexican Pesos | 919,197 | U.S. Dollars | 44,930 | Citibank | (64) |
05/20/22 | Chilean Pesos | 1,639,340 | U.S. Dollars | 2,000 | Citibank | (86) |
06/02/22 | U.S. Dollars | 54,100 | Chilean Pesos | 46,620,676 | Goldman Sachs | (187) |
06/15/22 | Euro | 190,000 | Swiss Francs | 195,189 | JPMorgan Chase | (260) |
06/15/22 | U.S. Dollars | 251,193 | British Pounds | 200,000 | State Street | (316) |
06/15/22 | Euro | 206,809 | Swiss Francs | 212,492 | HSBC | (319) |
06/15/22 | Euro | 270,000 | British Pounds | 227,276 | Bank of America | (333) |
06/15/22 | Euro | 140,000 | British Pounds | 117,988 | Goldman Sachs | (349) |
05/31/22 | South African Rand | 564,732 | U.S. Dollars | 36,000 | Citibank | (372) |
05/31/22 | U.S. Dollars | 36,000 | South African Rand | 577,378 | Bank of America | (426) |
06/01/22 | U.S. Dollars | 74,000 | Mexican Pesos | 1,530,535 | Goldman Sachs | (527) |
05/24/22 | U.S. Dollars | 55,871 | Mexican Pesos | 1,156,538 | BNP Paribas | (535) |
06/15/22 | U.S. Dollars | 238,373 | British Pounds | 190,000 | HSBC | (560) |
06/15/22 | Euro | 270,000 | Swiss Francs | 277,737 | Morgan Stanley | (743) |
06/15/22 | Euro | 130,000 | British Pounds | 109,958 | BNP Paribas | (825) |
05/20/22 | Canadian Dollars | 65,639 | U.S. Dollars | 52,000 | HSBC | (906) |
06/15/22 | U.S. Dollars | 237,942 | British Pounds | 190,000 | Morgan Stanley | (991) |
06/15/22 | British Pounds | 16,038 | U.S. Dollars | 21,174 | Barclays | (1,006) |
05/20/22 | U.S. Dollars | 110,000 | South African Rand | 1,757,382 | Bank of America | (1,015) |
06/15/22 | Euro | 280,000 | British Pounds | 236,228 | Deutsche Bank | (1,016) |
05/20/22 | Czech Republic Koruna | 4,024,102 | Euro | 164,000 | HSBC | (1,071) |
05/20/22 | U.S. Dollars | 110,000 | Japanese Yen | 14,413,888 | Goldman Sachs | (1,141) |
05/20/22 | Japanese Yen | 9,185,948 | U.S. Dollars | 72,000 | JPMorgan Chase | (1,170) |
05/20/22 | Australian Dollars | 75,000 | Canadian Dollars | 69,688 | Deutsche Bank | (1,235) |
05/12/22 | Euro | 68,000 | U.S. Dollars | 73,333 | Deutsche Bank | (1,559) |
05/12/22 | Euro | 64,000 | U.S. Dollars | 69,222 | Morgan Stanley | (1,670) |
05/20/22 | South African Rand | 1,956,852 | U.S. Dollars | 126,000 | Citibank | (2,384) |
06/15/22 | British Pounds | 527,490 | Euro | 630,000 | Bank of America | (2,773) |
06/15/22 | British Pounds | 232,891 | Euro | 280,000 | HSBC | (3,180) |
06/15/22 | British Pounds | 232,848 | Euro | 280,000 | JPMorgan Chase | (3,234) |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2022: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
06/08/22 | U.S. Dollars | 74,000 | Turkish Lira | 1,184,000 | Citibank | $ (3,375) |
06/15/22 | British Pounds | 53,962 | U.S. Dollars | 71,264 | State Street | (3,404) |
05/20/22 | Australian Dollars | 98,000 | U.S. Dollars | 72,797 | Goldman Sachs | (3,529) |
05/20/22 | Polish Zloty | 472,301 | U.S. Dollars | 110,000 | Citibank | (3,730) |
06/15/22 | British Pounds | 602,370 | Euro | 720,000 | Deutsche Bank | (3,766) |
06/13/22 | Chilean Pesos | 85,190,078 | U.S. Dollars | 103,292 | BNP Paribas | (4,305) |
06/15/22 | Swiss Francs | 569,922 | Euro | 560,000 | Barclays | (4,770) |
06/01/22 | Mexican Pesos | 5,287,681 | U.S. Dollars | 263,202 | HSBC | (5,726) |
05/03/22 | Brazilian Reals | 492,158 | U.S. Dollars | 106,000 | Deutsche Bank | (6,552) |
05/24/22 | U.S. Dollars | 164,539 | Russian Rubles | 12,720,000 | JPMorgan Chase | (7,451) |
06/15/22 | British Pounds | 150,000 | U.S. Dollars | 197,635 | JPMorgan Chase | (9,004) |
06/15/22 | Euro | 220,000 | U.S. Dollars | 243,698 | Morgan Stanley | (11,087) |
06/15/22 | Euro | 340,000 | U.S. Dollars | 370,981 | HSBC | (11,491) |
05/25/22 | U.S. Dollars | 54,902 | Russian Rubles | 5,152,553 | Citibank | (14,661) |
06/15/22 | Euro | 390,000 | U.S. Dollars | 427,309 | Barclays | (14,953) |
06/15/22 | Euro | 280,000 | U.S. Dollars | 311,311 | Goldman Sachs | (15,260) |
06/15/22 | Euro | 500,000 | U.S. Dollars | 544,652 | Bank of America | (15,990) |
06/15/22 | Euro | 710,000 | U.S. Dollars | 771,455 | JPMorgan Chase | (20,756) |
06/15/22 | Euro | 740,000 | U.S. Dollars | 816,591 | Deutsche Bank | (34,172) |
05/24/22 | Chinese Offshore Yuan | 6,751,248 | U.S. Dollars | 1,057,957 | HSBC | (43,657) |
Total Unrealized Depreciation | $(267,980) | |||||
Net Unrealized Appreciation | $ 189,245 |
Written Call Option Contracts outstanding at April 30, 2022: Exchange Traded | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
10-Year U.S. Treasury Note Future | 8 | USD | (953,250) | 121.50 | 5/20/2022 | $ (1,750) |
10-Year U.S. Treasury Note Future | 10 | USD | (1,191,562) | 119.50 | 5/20/2022 | (8,125) |
10-Year U.S. Treasury Note Future | 13 | USD | (1,549,031) | 126.00 | 5/20/2022 | (406) |
10-Year U.S. Treasury Note Future | 19 | USD | (2,263,969) | 120.50 | 5/20/2022 | (4,375) |
10-Year U.S. Treasury Note Future | 28 | USD | (3,336,375) | 121.00 | 5/20/2022 | (8,750) |
10-Year U.S. Treasury Note Future | 43 | USD | (5,123,719) | 127.00 | 5/20/2022 | (1,344) |
10-Year U.S. Treasury Note Future | 43 | USD | (5,123,719) | 124.50 | 5/20/2022 | (2,016) |
10-Year U.S. Treasury Note Future | 44 | USD | (5,242,875) | 130.00 | 5/20/2022 | (688) |
10-Year U.S. Treasury Note Future | 102 | USD | (12,153,937) | 123.00 | 5/20/2022 | (9,562) |
10-Year U.S. Treasury Note Future | 234 | USD | (27,882,563) | 124.00 | 5/20/2022 | (14,625) |
10-Year U.S. Treasury Note Future | 7 | USD | (831,141) | 122.00 | 6/24/2022 | (2,844) |
1-Year Mid Curve Future | 164 | USD | (39,655,200) | 96.75 | 5/13/2022 | (12,300) |
5-Year U.S. Treasury Note Future | 5 | USD | (563,359) | 115.00 | 5/20/2022 | (273) |
Written Call Option Contracts outstanding at April 30, 2022: Exchange Traded (continued) | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
5-Year U.S. Treasury Note Future | (6) | USD | (676,032) | 113.00 | 5/20/2022 | $ (2,859) |
5-Year U.S. Treasury Note Future | 24 | USD | (2,704,126) | 114.25 | 5/20/2022 | (3,000) |
5-Year U.S. Treasury Note Future | 24 | USD | (2,704,126) | 114.50 | 5/20/2022 | (2,250) |
5-Year U.S. Treasury Note Future | 24 | USD | (2,704,126) | 113.50 | 5/20/2022 | (6,937) |
5-Year U.S. Treasury Note Future | 96 | USD | (10,816,502) | 114.75 | 5/20/2022 | (6,750) |
5-Year U.S. Treasury Note Future | 170 | USD | (19,154,223) | 114.00 | 5/20/2022 | (27,891) |
U.S. Treasury Long Bond Future | 1 | USD | (140,688) | 156.00 | 5/20/2022 | (63) |
U.S. Treasury Long Bond Future | 3 | USD | (422,063) | 155.00 | 5/20/2022 | (188) |
U.S. Treasury Long Bond Future | 13 | USD | (1,828,937) | 150.00 | 5/20/2022 | (2,031) |
Total Written Call Options Contracts (Premiums Received $505,809) | $(119,027) |
Written Put Option Contracts outstanding at April 30, 2022: Exchange Traded | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
10-Year U.S. Treasury Note Future | 25 | USD | 15,132,844 | 119.00 | 5/20/2022 | $ (22,266) |
10-Year U.S. Treasury Note Future | 15 | USD | 1,787,344 | 120.00 | 5/20/2022 | (21,562) |
10-Year U.S. Treasury Note Future | 42 | USD | 5,004,562 | 118.00 | 5/20/2022 | (21,656) |
10-Year U.S. Treasury Note Future | 85 | USD | 10,128,281 | 117.00 | 5/20/2022 | (22,579) |
5-Year U.S. Treasury Note Future | (37) | USD | 4,168,860 | 113.00 | 5/20/2022 | (29,773) |
Total Written Put Options Contracts (Premiums Received $82,199) | $(117,836) |
Written Call Option Contracts outstanding at April 30, 2022: Over the Counter | ||||||||
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
Chilean Peso vs. U.S. Dollar | Barclays | 2 | USD | 74,000 | CLP | 855.00 | 5/6/2022 | $ (707) |
Chilean Peso vs. U.S. Dollar | Barclays | 2 | USD | 140,000 | CLP | 850.00 | 6/9/2022 | (3,962) |
Japanese Yen vs. U.S. Dollar | Citibank | 2 | USD | 110,000 | JPY | 130.00 | 5/23/2022 | (1,227) |
Mexican Peso vs. U.S. Dollar | Goldman Sachs | 2 | USD | 314,000 | MXN | 20.70 | 5/27/2022 | (3,313) |
South African Rand vs. U.S. Dollar | Bank of America | 2 | USD | 208,000 | ZAR | 15.70 | 5/27/2022 | (4,645) |
U.S. Dollar vs. Australian Dollar | JPMorgan Chase | 2 | AUD | 258,000 | USD | 0.75 | 7/1/2022 | (520) |
Total Written OTC Call Options Contracts (Premiums Received $9,352) | $(14,374) |
Written Put Option Contracts outstanding at April 30, 2022: Over the Counter | ||||||||
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
Chilean Peso vs. U.S. Dollar | Barclays | 2 | USD | 294,000 | CLP | 795.00 | 5/6/2022 | $ (5) |
Chilean Peso vs. U.S. Dollar | Barclays | 2 | USD | 220,000 | CLP | 820.00 | 5/31/2022 | (873) |
Japanese Yen vs. U.S. Dollar | Citibank | 2 | USD | 110,000 | JPY | 126.00 | 5/25/2022 | (365) |
Japanese Yen vs. U.S. Dollar | Citibank | 2 | USD | 364,000 | JPY | 120.00 | 7/21/2022 | (1,190) |
U.S. Dollar vs. Euro | BNP Paribas | 2 | EUR | 314,000 | USD | 1.02 | 5/31/2022 | (874) |
Total Written OTC Put Options Contracts (Premiums Received $8,095) | $(3,307) |
Written Put Interest Rate Swaption Contracts outstanding at April 30, 2022: 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 05/06/2026 | 1-Day USD SOFR (At Maturity) | 2.32% (At Maturity) | Bank of America | 5/4/2022 | 2.32% | 64,820,000 | $ (238,752) | |
Total Written OTC Put Swaptions Contracts (Premiums Received $25,928) | $(238,752) |
Interest Rate Swap Contracts outstanding at April 30, 2022: Exchange Traded | |||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
3M USD LIBOR (Quarterly) | 0.19% (Semi-Annually) | 6/15/2022 | USD | 6,485,000 | $ (7,766) | $ (2) | $ (7,764) |
8.81% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 4/8/2024 | MXN | 11,365,000 | 3,201 | — | 3,201 |
6.15% (Annually) | 3M PLN WIBOR (Quarterly) | 4/11/2024 | PLN | 2,234,000 | 4,182 | — | 4,182 |
1.19% (At Maturity) | 1-Day EUR ESTR (At Maturity) | 4/25/2024 | EUR | 2,280,000 | 3,843 | (39) | 3,882 |
6.76% (Quarterly) | 3M PLN WIBOR(Quarterly) | 4/30/2024 | PLN | 1,385,000 | — | — | — |
1.16% (At Maturity) | 1-Day EUR ESTR (At Maturity) | 5/3/2024 | EUR | 2,270,000 | 4,934 | 652 | 4,282 |
3M USD LIBOR (Quarterly) | 0.82% (Semi-Annually) | 6/4/2024 | USD | 36,626,000 | (934,823) | — | (934,823) |
0.55% (Annually) | 1-Day EUR ESTR (Annually) | 3/21/2025 | EUR | 1,160,000 | 19,520 | (610) | 20,130 |
0.64% (Annually) | 1-Day EUR ESTR (Annually) | 3/23/2025 | EUR | 1,340,000 | 20,188 | — | 20,188 |
0.70% (Annually) | 1-Day EUR ESTR (Annually) | 3/24/2025 | EUR | 1,340,000 | 18,408 | — | 18,408 |
0.73% (Annually) | 1-Day EUR ESTR (Annually) | 3/27/2025 | EUR | 2,600,000 | 34,235 | — | 34,235 |
2-Day USD SOFR (Annually) | 2.47% (Annually) | 8/31/2026 | USD | 20,472,000 | (283,762) | (158,136) | (125,626) |
1.52% (Annually) | 2-Day USD SOFR (Annually) | 11/20/2026 | USD | 5,980,000 | 213,101 | (9,357) | 222,458 |
2-Day USD SOFR (Annually) | 1.55% (Annually) | 3/4/2027 | USD | 4,175,000 | (214,287) | (6,270) | (208,017) |
1-Day EUR ESTR (At Maturity) | 0.85% (At Maturity) | 3/20/2027 | EUR | 5,350,000 | (27,925) | 2,792 | (30,717) |
1-Day EUR ESTR (At Maturity) | 0.87% (At Maturity) | 3/25/2027 | EUR | 5,450,000 | (27,033) | — | (27,033) |
1-Day EUR ESTR (At Maturity) | 1.01% (At Maturity) | 3/30/2027 | EUR | 5,440,000 | (19,536) | — | (19,536) |
1.35% (Quarterly) | 3M USD LIBOR (Quarterly) | 2/15/2028 | USD | 5,548,000 | 479,851 | (24,559) | 504,410 |
1.13% (Annually) | 2-Day USD SOFR (Annually) | 8/15/2028 | USD | 17,907,000 | 1,573,126 | 48,103 | 1,525,023 |
1.22% (Annually) | 2-Day USD SOFR (Annually) | 8/15/2028 | USD | 4,412,000 | 363,267 | (1,697) | 364,964 |
Interest Rate Swap Contracts outstanding at April 30, 2022: Exchange Traded (continued) | |||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
1.20% (Annually) | 2-Day USD SOFR (Annually) | 11/1/2028 | USD | 2,576,000 | $ 217,391 | $ (139) | $ 217,530 |
6M EUR EURIBOR (Semi-Annually) | 1.57% (Annually) | 2/15/2031 | EUR | 1,018,750 | (9,942) | — | (9,942) |
6M EUR EURIBOR (Semi-Annually) | 1.54% (Annually) | 2/15/2031 | EUR | 1,018,317 | (12,637) | — | (12,637) |
6M EUR EURIBOR (Semi-Annually) | 1.56% (Annually) | 2/15/2031 | EUR | 1,018,317 | (10,734) | — | (10,734) |
6M EUR EURIBOR (Semi-Annually) | 1.55% (Annually) | 2/15/2031 | EUR | 810,383 | (9,148) | — | (9,148) |
6M EUR EURIBOR (Semi-Annually) | 1.52% (Annually) | 2/15/2031 | EUR | 700,249 | (9,649) | — | (9,649) |
6M EUR EURIBOR (Semi-Annually) | 1.59% (Annually) | 2/15/2031 | EUR | 508,866 | (3,937) | — | (3,937) |
6M EUR EURIBOR (Semi-Annually) | 1.65% (Annually) | 2/15/2031 | EUR | 401,247 | (1,180) | — | (1,180) |
6M EUR EURIBOR (Semi-Annually) | 1.65% (Annually) | 2/15/2031 | EUR | 198,618 | — | — | — |
6M EUR EURIBOR (Semi-Annually) | 1.64% (Annually) | 2/15/2031 | EUR | 198,617 | — | — | — |
28-Day MXN-TIIE-BANXICO (Monthly) | 7.60% (Monthly) | 1/1/2032 | MXN | 4,119,000 | (17,774) | — | (17,774) |
28-Day MXN-TIIE-BANXICO (Monthly) | 7.57% (Monthly) | 1/12/2032 | MXN | 4,681,000 | (20,817) | — | (20,817) |
28-Day MXN-TIIE-BANXICO (Monthly) | 7.53% (Monthly) | 1/23/2032 | MXN | 2,753,000 | (12,610) | — | (12,610) |
28-Day MXN-TIIE-BANXICO (Monthly) | 8.29% (Monthly) | 3/17/2032 | MXN | 2,396,000 | (5,234) | — | (5,234) |
2.00% (Annually) | 2-Day USD SOFR (Annually) | 3/18/2032 | USD | 2,112,000 | 122,571 | 16,904 | 105,667 |
0.30% (At Maturity) | 1-Day JPY TONAR (At Maturity) | 4/7/2032 | JPY | 270,866,113 | 12,250 | — | 12,250 |
0.31% (Annually) | 1-Day JPY TONAR (Annually) | 4/7/2032 | JPY | 167,708,887 | 6,055 | — | 6,055 |
0.39% (Annually) | 1-Day JPY TONAR (Annually) | 5/2/2032 | JPY | 58,850,500 | (1,554) | — | (1,554) |
0.40% (Annually) | 1-Day JPY TONAR (Annually) | 5/2/2032 | JPY | 58,850,500 | (1,666) | — | (1,666) |
1.52% (Annually) | 2-Day USD SOFR (Annually) | 2/15/2047 | USD | 3,815,000 | 707,416 | 69,322 | 638,094 |
1.73% (Annually) | 2-Day USD SOFR (Annually) | 2/15/2047 | USD | 2,710,000 | 398,417 | 35,989 | 362,428 |
2-Day USD SOFR (Annually) | 1.63% (Annually) | 5/15/2047 | USD | 310,000 | (51,889) | (1,266) | (50,623) |
1.65% (Annually) | 2-Day USD SOFR (Annually) | 8/15/2047 | USD | 6,080,000 | 1,011,736 | 385,931 | 625,805 |
2.50% (Annually) | 2-Day USD SOFR (Annually) | 4/21/2052 | USD | 2,600,000 | (23,818) | 5,925 | (29,743) |
0.87% (Annually) | 1-Day JPY TONAR (Annually) | 4/22/2052 | JPY | 43,521,324 | (6,330) | — | (6,330) |
0.88% (Annually) | 1-Day JPY TONAR (Annually) | 4/22/2052 | JPY | 21,762,838 | (3,578) | — | (3,578) |
0.87% (Annually) | 1-Day JPY TONAR (Annually) | 4/25/2052 | JPY | 21,762,838 | (3,288) | — | (3,288) |
0.84% (Annually) | 1-Day JPY TONAR (Annually) | 5/2/2052 | JPY | 44,138,000 | (3,948) | — | (3,948) |
Total | $3,488,827 | $ 363,543 | $3,125,284 |
Interest Rate Swap Contracts outstanding at April 30, 2022: Over the Counter | ||||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Counterparty | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
1.42% (Semi-Annually) | 1-Day CLP CLICP (Semi-Annually) | Bank of America | 4/3/2023 | CLP | 357,254,000 | $ 29,057 | $— | $ 29,057 |
1-Day CLP CLICP (Semi-Annually) | 1.65% (Semi-Annually) | Bank of America | 5/30/2023 | CLP | 357,254,000 | (36,660) | — | (36,660) |
1-Day BRL BZDIO (At Maturity) | 12.03% (At Maturity) | BNP Paribas | 1/2/2025 | BRL | 721,000 | 183 | — | 183 |
Total | $ (7,420) | $— | $ (7,420) |
Credit Default Swap Contracts outstanding - Sell Protection as of April 30, 2022: Exchange Traded | ||||||||
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Notional Amount(1) | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
Markit CDX North America Investment Grade Index Series 38 (Pay Quarterly) | 0.08% | 1.00% | 6/20/2027 | USD | 139,895,000 | $1,248,407 | $1,870,330 | $ (621,923) |
Markit iTraxx Europe Main Index Series 37 (Pay Quarterly) | 0.09% | 1.00% | 6/20/2027 | EUR | 1,120,000 | 7,001 | 7,272 | (271) |
Markit iTraxx Europe Main Index Series 37 (Pay Quarterly) | 0.43% | 1.00% | 6/20/2027 | EUR | 550,000 | 19,541 | 21,080 | (1,539) |
Total | $1,274,949 | $1,898,682 | $(623,733) |
(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, 2022: Over the Counter | ||||||||
Reference Obligation | Fixed Deal Pay Rate | Maturity Date | Counterparty | Notional Amount | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
Federal Republic of Brazil, 4.25%, Due: 01/07/2025 (Pay Quarterly) | 1.00% | 12/20/2024 | Barclays | USD | 336,000 | $ 2,631 | $ 4,431 | $(1,800) |
Abbott Laboratories 3.40% 11/30/2023 (Pay Quarterly) | 1.00% | 6/20/2027 | JPMorgan Chase | USD | 129,278 | (3,639) | (3,094) | (545) |
Federal Republic of Brazil, 4.25%, Due: 01/07/2025 (Pay Quarterly) | 1.00% | 6/20/2027 | Barclays | USD | 686,000 | 38,048 | 41,136 | (3,088) |
Republic of Chile, 3.24%, Due: 02/06/2028 (Pay Quarterly) | 1.00% | 6/20/2027 | Goldman Sachs | USD | 79,000 | 72 | (452) | 524 |
Republic of Colombia, 10.38%, Due: 01/28/2033 (Pay Quarterly) | 1.00% | 6/20/2027 | Goldman Sachs | USD | 453,000 | 27,631 | 24,788 | 2,843 |
Republic of Colombia, 10.38%, Due: 01/28/2033 (Pay Quarterly) | 1.00% | 6/20/2027 | Morgan Stanley | USD | 264,000 | 16,111 | 11,537 | 4,574 |
Credit Default Swap Contracts outstanding - Buy Protection at April 30, 2022: Over the Counter (continued) | ||||||||
Reference Obligation | Fixed Deal Pay Rate | Maturity Date | Counterparty | Notional Amount | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
Republic of Indonesia, 4.13%, Due: 01/15/2025 (Pay Quarterly) | 1.00% | 6/20/2027 | Goldman Sachs | USD | 470,000 | $ 3,207 | $ 5,663 | $(2,456) |
Republic of Philippines, 10.63%, Due: 03/16/2025 (Pay Quarterly) | 1.00% | 6/20/2027 | Goldman Sachs | USD | 198,269 | 684 | 1,050 | (366) |
Republic of South Africa, 5.88%, Due: 09/16/2025 (Pay Quarterly) | 1.00% | 6/20/2027 | Morgan Stanley | USD | 456,293 | 30,519 | 27,832 | 2,687 |
United Mexican States, 4.15%, Due: 03/28/2027 (Pay Quarterly) | 1.00% | 6/20/2027 | Morgan Stanley | USD | 381,000 | 6,595 | 2,376 | 4,219 |
Total | $121,859 | $115,267 | $ 6,592 |
Inflation Swap Contracts outstanding at April 30, 2022: Exchange Traded | |||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
3.46% (At Maturity) | 1-Day U.S. Consumer Price Index (At Maturity) | 7/1/2022 | USD | 15,750,000 | $ 634,618 | $ 614 | $ 634,004 |
3.97% (At Maturity) | 1-Day U.S. Consumer Price Index (At Maturity) | 11/18/2023 | USD | 5,260,000 | 178,272 | (15,269) | 193,541 |
1-Day U.S. Consumer Price Index (At Maturity) | 2.62% (At Maturity) | 7/1/2026 | USD | 20,100,000 | (1,866,321) | (129,146) | (1,737,175) |
1-Day U.S. Consumer Price Index (At Maturity) | 3.37% (At Maturity) | 11/18/2026 | USD | 5,260,000 | (199,104) | 51,175 | (250,279) |
1-Day U.S. Consumer Price Index (At Maturity) | 2.34% (At Maturity) | 3/4/2031 | USD | 526,000 | (72,405) | (41,475) | (30,930) |
1-Day U.S. Consumer Price Index (At Maturity) | 2.47% (At Maturity) | 4/26/2031 | USD | 2,285,370 | (278,850) | (142,227) | (136,623) |
1-Day U.S. Consumer Price Index (At Maturity) | 2.64% (At Maturity) | 5/21/2031 | USD | 1,447,000 | (149,935) | (61,732) | (88,203) |
1-Day U.S. Consumer Price Index (At Maturity) | 2.59% (At Maturity) | 6/4/2031 | USD | 320,000 | (34,356) | (14,983) | (19,373) |
1-Day U.S. Consumer Price Index (At Maturity) | 3.06% (At Maturity) | 4/4/2032 | USD | 634,000 | (9,058) | — | (9,058) |
Total | $(1,797,139) | $(353,043) | $(1,444,096) |
Morningstar Total Return Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 33,192,378 | $ — | $ 33,192,378 |
Corporate Bonds | — | 186,010,698 | 132,249 | 186,142,947 |
Foreign Issuer Bonds | — | 67,051,673 | — | 67,051,673 |
Mortgage-Backed Securities | — | 240,329,960 | — | 240,329,960 |
Municipal Bonds | — | 2,381,162 | — | 2,381,162 |
Term Loans | — | 1,979,262 | — | 1,979,262 |
U.S. Government Obligations | — | 153,808,546 | — | 153,808,546 |
Investment Companies | 146,709,887 | — | — | 146,709,887 |
Short-Term Investments | 39,592,319 | 27,644,106 | — | 67,236,425 |
Purchased Options | 150,753 | 436,260 | — | 587,013 |
Total Assets – Investments at value | $186,452,959 | $712,834,045 | $132,249 | $899,419,253 |
Liabilities: | ||||
Mortgage-Backed Securities | $ — | $ (8,598,231) | $ — | $ (8,598,231) |
U.S. Government Obligations | — | (5,076,548) | — | (5,076,548) |
Total Liabilities – Investments at value | $ — | $ (13,674,779) | $ — | $ (13,674,779) |
Net Investments | $186,452,959 | $699,159,266 | $132,249 | $885,744,474 |
Morningstar Total Return Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Futures Contracts | $ 1,527,293 | $ — | $— | $ 1,527,293 |
Forward Foreign Currency Exchange Contracts | — | 457,225 | — | 457,225 |
Swap Agreements | — | 7,456,269 | — | 7,456,269 |
Total Assets - Derivative Financial Instruments | $ 1,527,293 | $ 7,913,494 | $— | $ 9,440,787 |
Liabilities: | ||||
Futures Contracts | $(7,191,364) | $ — | $— | $ (7,191,364) |
Forward Foreign Currency Exchange Contracts | — | (267,980) | — | (267,980) |
Written Options | (236,863) | (256,433) | — | (493,296) |
Swap Agreements | — | (4,375,193) | — | (4,375,193) |
Total Liabilities - Derivative Financial Instruments | $(7,428,227) | $(4,899,606) | $— | $(12,327,833) |
Net Derivative Financial Instruments | $(5,900,934) | $ 3,013,888 | $— | $ (2,887,046) |
Par | Value | ||
Municipal Bonds – 86.2% | |||
Alabama – 1.9% | |||
Alabama Federal Aid Highway Finance Authority Special Obligation GARVEE Bonds, Series A, Prerefunded, 5.00%, 9/01/27(a) | $ 545,000 | $ 610,444 | |
Black Belt Energy Gas District Gas Prepay Revenue Bonds, Series A-1, Project No. 4, 4.00%, 6/01/24 | 500,000 | 507,243 | |
Black Belt Energy Gas District Gas Prepay Revenue Bonds, Series A-1, Project No. 5, 4.00%, 10/01/26(b)(c)(d) | 525,000 | 533,538 | |
Black Belt Energy Gas District Gas Supply Revenue Refunding Bonds, 4.00%, 12/01/31(b)(c)(d) | 500,000 | 513,909 | |
Black Belt Energy Gas District Project Variable Revenue Bonds, Series B-2, 1.09%, 10/01/27(b)(d) | 250,000 | 250,003 | |
Black Belt Energy Gas District Revenue Bonds, Project No. 7, 4.00%, 12/01/26(b)(c)(d) | 1,110,000 | 1,128,085 | |
Jefferson County Sewer Warrants Senior Lien Revenue Bonds, Series A (AGM Insured), 5.50%, 10/01/53 | 300,000 | 316,934 | |
Lower Alabama Gas District Gas Project Revenue Bonds, 4.00%, 12/01/25(b)(c)(d) | 500,000 | 509,580 | |
Mobile Industrial Development Board PCR Bonds, Alabama Power Company Barry Plant Project, 1.00%, 6/26/25(b)(c)(d) | 1,000,000 | 941,637 | |
Southeast Alabama State Gas Supply District Revenue Bonds, Series A, Project No. 2, 4.00%, 6/01/24(b)(c)(d) | 600,000 | 608,628 | |
Tuscaloosa County IDA Gulf Opportunity Zone Revenue Refunding Bonds, Series A, Hunt Refining Project, 5.25%, 5/01/44(e) | 410,000 | 403,693 |
Par | Value | ||
Alabama (Continued) | |||
University of South Alabama University Revenue Bonds (BAM Insured), 5.00%, 4/01/27 | $ 375,000 | $ 414,393 | |
University of West Alabama University Revenue Refunding Bonds (AGM Insured), 5.00%, 1/01/27 | 505,000 | 545,927 | |
7,284,014 | |||
Arizona – 1.1% | |||
Arizona State Health Facilities Authority Variable Revenue Bonds, Series B, (SIFMA Municipal Swap Index Yield + 0.25%), 0.69%, 11/04/26(b)(d) | 1,000,000 | 1,000,012 | |
Arizona State Industrial Development Authority Education Revenue Bonds, Series B, Jerome Facilities Project, Social Bonds, | |||
4.00%, 7/01/51 | 175,000 | 150,612 | |
4.00%, 7/01/61 | 250,000 | 207,211 | |
Chandler IDA Industrial Development Variable Revenue Bonds (AMT), Intel Corp., Project, 2.70%, 8/14/23(b)(c)(d) | 500,000 | 499,954 | |
Maricopa County IDA Revenue Refunding Bonds, Banner Health Obligation Group, 5.00%, 1/01/27 | 475,000 | 519,101 | |
Phoenix Civic Improvement Corp., Airport Senior Lien Revenue Refunding Bonds (AMT), | |||
5.00%, 7/01/28 | 490,000 | 501,545 | |
5.00%, 7/01/30 | 250,000 | 255,890 | |
Pima County IDA Education Revenue Facility Revenue Bonds, Paideia Academies Project, 6.13%, 7/01/45(e) | 240,000 | 244,485 |
Par | Value | ||
Arizona (Continued) | |||
Salt River Project Agricultural Improvement & Power District Electric Revenue Bonds, Salt River Project, 5.00%, 1/01/32 | $ 400,000 | $ 459,549 | |
Salt River Project Agricultural Improvement & Power District Electric System Revenue Refunding Bonds, Series A, 5.00%, 12/01/45 | 500,000 | 528,841 | |
4,367,200 | |||
Arkansas – 1.0% | |||
Arkansas State Development Finance Authority Multi Family Housing Variable Revenue Bonds, The Cottages Apartments (Housing & Urban Development Sector 8 Program), 1.25%, 12/01/23(b)(c)(d) | 3,000,000 | 2,937,879 | |
Bentonville Sales & Use Tax Revenue Refunding Bonds, Series B, 1.05%, 11/01/46 | 750,000 | 719,737 | |
3,657,616 | |||
California – 7.0% | |||
Anaheim Housing & Public Improvement Authority Revenue Bonds, Series A, 5.00%, 10/01/50 | 900,000 | 948,167 | |
Anaheim Public Financing Authority Lease Revenue Refunding Bonds, Series A, Prerefunded, 5.00%, 5/01/24(a) | 250,000 | 263,105 | |
Bay Area Toll Authority Toll Bridge Variable Revenue Bonds, San Francisco Bay Area, (SIFMA Municipal Swap Index Yield + 0.90%), 1.34%, 5/01/23(b)(d) | 700,000 | 699,488 | |
Bay Area Toll Bridge Authority Variable Revenue Refunding Bonds, San Francisco Bay, | |||
(SIFMA Municipal Swap Index Yield + 0.28%), 0.72%, 4/01/24(b)(d) | 250,000 | 247,807 | |
(SIFMA Municipal Swap Index Yield + 0.45%), 0.89%, 4/01/26(b)(d) | 2,000,000 | 1,975,708 |
Par | Value | ||
California (Continued) | |||
California HFA Municipal Certificates Revenue Bonds, Series 2, Class A, 4.00%, 3/20/33 | $ 240,891 | $ 247,439 | |
California PFA Revenue Refunding Bonds, Henry Mayo Newhall Hospital, 5.00%, 10/15/47 | 400,000 | 427,227 | |
California State GO Unlimited Refunding Bonds, | |||
4.00%, 10/01/37 | 300,000 | 306,545 | |
4.00%, 11/01/37 | 1,400,000 | 1,434,397 | |
5.00%, 4/01/42 | 880,000 | 1,005,410 | |
California State Health Facilities Financing Authority Revenue Bonds, City of Hope Obligated Group, 5.00%, 11/15/49 | 500,000 | 535,064 | |
California State Health Facilities Financing Authority Revenue Bonds, Series A, Sutter Health, Prerefunded, 5.00%, 11/15/25(a) | 500,000 | 543,078 | |
California State Health Facilities Financing Authority Revenue Refunding Bonds, Cedars Sinai Health System, 5.00%, 8/15/51 | 550,000 | 605,130 | |
California State Health Facilities Financing Authority Revenue Refunding Bonds, Marshall Medical Center (California Mortgage Insured), 4.00%, 11/01/40 | 750,000 | 742,918 | |
California State Infrastructure & Economic Development Bank Revenue Refunding Bonds, Los Angeles County Museum of Natural History Foundation, 4.00%, 7/01/50 | 1,510,000 | 1,480,948 | |
California State Infrastructure & Economic Development Bank Revenue Refunding Bonds, Series B, 5.00%, 11/01/29 | 1,000,000 | 1,136,464 |
Par | Value | ||
California (Continued) | |||
California State Municipal Finance Authority Revenue Bonds, Charter School John Adams Academies-Lincoln Project, 5.00%, 10/01/57(e) | $ 330,000 | $ 311,226 | |
California State Municipal Finance Authority Revenue Refunding Bonds, Series A, Eisenhower Medical Center, 5.00%, 7/01/25 | 650,000 | 692,221 | |
California State Municipal Finance Authority Senior Living Revenue Bonds, Mt. San Antonio Garden, 2.12%, 11/15/26 | 250,000 | 234,301 | |
California State Municipal Finance Authority Student Housing Revenue Bonds, CHF-Davis I, LLC-West Village, 5.00%, 5/15/36 | 1,130,000 | 1,201,735 | |
California State Municipal Finance Authority Student Housing Revenue Bonds, Series A-P3, Claremont Colleges Project, 5.00%, 7/01/30(e) | 320,000 | 332,955 | |
California State Municipal Finance Authority Student Housing Revenue Bonds, UCR North District Phase 1 (BAM Insured), 5.00%, 5/15/28 | 500,000 | 546,462 | |
California State Public Works Board Lease Revenue Bonds, Series B, 4.00%, 5/01/46 | 200,000 | 199,653 | |
California State Various Purpose Bid Group GO Unlimited Refunding Bonds, 5.00%, 8/01/30 | 600,000 | 673,357 | |
California Statewide Communities Development Authority Revenue Bonds, Lancer Educational Standard Housing Project, 5.00%, 6/01/34(e) | 375,000 | 391,325 | |
California Statewide Communities Development Authority Revenue Bonds, Loma Linda University Medical, 5.50%, 12/01/58(e) | 500,000 | 529,304 |
Par | Value | ||
California (Continued) | |||
California Statewide Communities Development Authority Revenue Bonds, Series A, Loma Linda University Medical Center, 5.25%, 12/01/56(e) | $250,000 | $259,071 | |
California Statewide Communities Development Authority Special Assessment Bonds, Statewide Community Infrastructure Program, 5.00%, 9/02/34 | 100,000 | 106,140 | |
California Tobacco Securitization Agency Tobacco Settlement Senior Revenue Refunding Bonds, Series A, 4.00%, 6/01/40 | 300,000 | 300,672 | |
Cathedral City Redevelopment Agency Successor Agency Tax Allocation Revenue Refunding Bonds, Merged Redevelopment Project Area (BAM Insured), 4.00%, 8/01/26 | 250,000 | 260,344 | |
CSCDA Community Improvement Authority Essential Housing Mezzanine Lien Revenue Bonds, City of Orange, 4.00%, 3/01/57(e) | 200,000 | 149,717 | |
Foothill Eastern Transportation Corridor Agency Toll Road Junior Lien Revenue Bonds, Series C, 5.00%, 1/15/26 | 200,000 | 210,824 | |
Foothill Eastern Transportation Corridor Agency Toll Road Junior Lien Revenue Refunding Bonds, Series C, 4.00%, 1/15/43 | 250,000 | 241,926 | |
Fresno Airport Revenue Refunding Bonds, Series B (AMT) (BAM Insured), 5.00%, 7/01/28 | 390,000 | 399,640 | |
Los Angeles Department of Airports Airport Subordinate Revenue Bonds (AMT), Los Angeles International Airport, 5.00%, 5/15/34 | 510,000 | 536,619 |
Par | Value | ||
California (Continued) | |||
Los Angeles Department of Airports Airport Subordinate Revenue Bonds, Series C (AMT), Los Angeles International Airport, 5.00%, 5/15/29 | $1,000,000 | $1,083,664 | |
Los Angeles Harbor Department Revenue Refunding Bonds, Series A (AMT), 5.00%, 8/01/35 | 1,250,000 | 1,297,456 | |
Mesa Water District COPS, 4.00%, 3/15/39 | 300,000 | 309,183 | |
Newman-Crows Landing Unified School District GO Unlimited CABS, 0.00%, 8/01/25(f) | 250,000 | 222,784 | |
Port of Oakland Intermediate Lien Revenue Refunding Bonds (AMT), 5.00%, 11/01/29 | 250,000 | 276,312 | |
Rocklin Community Facilities District No. 10 Special Tax Bonds, 5.00%, 9/01/34 | 150,000 | 156,315 | |
San Diego County Regional Airport Authority Subordinate Revenue Refunding Bonds, Series A, 4.00%, 7/01/37 | 300,000 | 302,391 | |
San Diego County Regional Airport Authority Subordinate Revenue Refunding Bonds, Series B (AMT), 5.00%, 7/01/39 | 525,000 | 564,144 | |
San Francisco City & County Airports Commission International Airport Revenue Bonds, Series A (AMT), 5.00%, 5/01/44 | 250,000 | 266,016 | |
San Francisco City & County Airports Community International Revenue Refunding Bonds, Second Series A (AMT), 5.00%, 5/01/28 | 500,000 | 500,000 | |
Sunnyvale Financing Authority Lease Revenue Bonds, Green Bonds, Civic Center Project, 4.00%, 4/01/34 | 865,000 | 905,900 |
Par | Value | ||
California (Continued) | |||
Susanville Natural Gas Revenue Refunding Bonds, Natural Gas Enterprise (AGM Insured), 3.00%, 6/01/26 | $ 595,000 | $ 603,094 | |
Tobacco Securitization Authority of Southern California Tobacco Settlement Revenue Refunding Bonds, San Diego Asset Securities, 5.00%, 6/01/35 | 100,000 | 107,599 | |
26,771,245 | |||
Colorado – 2.4% | |||
Aurora Crossroads Metropolitan District No. 2 Senior Lien GO Limited Bonds, Series A, 5.00%, 12/01/40 | 500,000 | 497,191 | |
Colorado Educational & Cultural Authority Revenue Refunding Bonds, Prospect Ridge Academy Project (Moral Obligation Insured), | |||
5.00%, 3/15/25 | 485,000 | 513,495 | |
5.00%, 3/15/26 | 510,000 | 548,008 | |
5.00%, 3/15/29 | 590,000 | 656,031 | |
5.00%, 3/15/30 | 310,000 | 347,187 | |
5.00%, 3/15/35 | 590,000 | 652,763 | |
Colorado High Performance Transportation Enterprise Revenue Bonds, C-470 Express Lane, 5.00%, 12/31/56 | 1,000,000 | 1,033,206 | |
Colorado State Bridge Enterprise Revenue Bonds (AMT), Central 70 Project, 4.00%, 12/31/24 | 630,000 | 647,203 | |
Colorado State COPS, Series A, | |||
4.00%, 12/15/35 | 1,250,000 | 1,301,183 | |
4.00%, 12/15/36 | 200,000 | 208,701 | |
Denver City & County Airport System Subordinate Revenue Refunding Bonds, Series A (AMT), 5.25%, 12/01/43 | 500,000 | 535,655 | |
Denver Convention Center Hotel Authority Senior Revenue Refunding Bonds, 5.00%, 12/01/40 | 250,000 | 259,157 |
Par | Value | ||
Colorado (Continued) | |||
E-470 Public Highway Authority Senior Revenue Refunding Bonds, Series A, | |||
5.00%, 9/01/23 | $150,000 | $ 155,222 | |
5.00%, 9/01/40 | 810,000 | 844,265 | |
Park Creek Metropolitan District Revenue Refunding Bonds, Series A (NATL, IBC Insured), 5.00%, 12/01/45 | 500,000 | 525,631 | |
Sand Creek Metropolitan District GO Limited Refunding Bonds, Series A (AGM Insured), 4.00%, 12/01/23 | 180,000 | 184,804 | |
University of Colorado Enterprise Variable Revenue Bonds, Series C, Green Bond, 2.00%, 10/15/24(b)(c)(d) | 250,000 | 244,428 | |
9,154,130 | |||
Connecticut – 1.6% | |||
Bridgeport GO Unlimited Bonds, Series A, | |||
5.00%, 8/01/23 | 200,000 | 206,846 | |
5.00%, 8/01/25 | 260,000 | 278,954 | |
5.00%, 8/01/27 | 275,000 | 302,529 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Forward Delivery, Stamford Hospital Issue, 4.00%, 7/01/42 | 250,000 | 237,936 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series B-1, 5.00%, 1/01/25(b)(c)(d) | 500,000 | 529,919 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series F, Masonicare Issue, 5.00%, 7/01/27 | 220,000 | 234,332 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series K, Sacred Heart University, 5.00%, 7/01/27 | 400,000 | 438,787 |
Par | Value | ||
Connecticut (Continued) | |||
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series R, Trinity College, 5.00%, 6/01/32 | $ 265,000 | $ 295,181 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, University of Hartford, | |||
5.00%, 7/01/24 | 240,000 | 247,681 | |
5.00%, 7/01/25 | 260,000 | 271,358 | |
5.00%, 7/01/31 | 500,000 | 529,545 | |
4.00%, 7/01/39 | 120,000 | 113,560 | |
4.00%, 7/01/49 | 100,000 | 89,215 | |
Connecticut State HFA Mortgage Finance Program Variable Revenue Bonds, Series A-4, Social Bonds, 0.74%, 11/15/24(b)(d) | 1,000,000 | 1,000,004 | |
Hamden GO Unlimited Refunding Bonds, Series A (BAM Insured), 5.00%, 8/01/24 | 500,000 | 527,837 | |
Hamden Revenue Refunding Bonds, Whitney Center Project, 5.00%, 1/01/40 | 125,000 | 120,864 | |
Hartford County Metropolitan District GO Unlimited Bonds, 5.00%, 7/15/35 | 750,000 | 836,961 | |
6,261,509 | |||
Delaware – 0.2% | |||
Delaware River & Bay Authority Revenue Refunding Bonds, 1/01/34(g) | 530,000 | 598,073 | |
Kent County Student Housing & Dining Facilities Revenue Bonds, CHF-Dover LLC-Delaware State University Project, | |||
5.00%, 7/01/32 | 250,000 | 255,044 | |
5.00%, 7/01/48 | 100,000 | 99,993 | |
953,110 | |||
District of Columbia – 1.6% | |||
District of Columbia Revenue Bonds, Ingleside Rock Creek Project, 5.00%, 7/01/52 | 400,000 | 380,274 | |
District of Columbia Revenue Bonds, KIPP DC Project, 4.00%, 7/01/39 | 100,000 | 93,832 |
Par | Value | ||
District of Columbia (Continued) | |||
District of Columbia Revenue Refunding Bonds, National Public Radio, Prerefunded, 4.00%, 4/01/26(a) | $ 250,000 | $ 264,006 | |
District of Columbia University Revenue Refunding Bonds, Georgetown University, 5.00%, 4/01/29 | 350,000 | 377,835 | |
District of Columbia Water & Sewer Authority Public Utility Revenue Bonds, Series B, 5.00%, 10/01/49 | 500,000 | 550,729 | |
District of Columbia Water & Sewer Authority Public Utility Subordinate Lien Revenue Bonds, Series A, Prerefunded, 5.00%, 10/01/23(a) | 650,000 | 675,732 | |
Metropolitan Washington Airports Authority Airport System Revenue Refunding Bonds, Series A (AMT), 5.00%, 10/01/46 | 500,000 | 540,451 | |
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 | 356,673 | |
Metropolitan Washington Airports Authority System Revenue Refunding Bonds, Series A (AMT), | |||
5.00%, 10/01/25 | 1,000,000 | 1,062,813 | |
5.00%, 10/01/43 | 500,000 | 533,093 | |
Washington Metropolitan Area Transit Authority Dedicated Revenue Bonds, Series A, 4.00%, 7/15/40 | 1,000,000 | 1,026,485 | |
Washington Metropolitan Area Transit Authority Gross Revenue Bonds, 5.00%, 7/01/43 | 300,000 | 325,648 | |
6,187,571 | |||
Florida – 3.5% | |||
Alachua County Health Facilities Authority Revenue Bonds, Shands Teaching Hospital & Clinics, 5.00%, 12/01/44 | 500,000 | 517,713 |
Par | Value | ||
Florida (Continued) | |||
Broward County Airport System Revenue Bonds, Series A (AMT), 5.00%, 10/01/36 | $ 750,000 | $ 807,132 | |
Capital Trust Agency Sustainability Revenue Bonds, The Marie, 4.00%, 6/15/23(e) | 550,000 | 548,673 | |
Central Florida Expressway Authority Senior Lien Revenue Refunding Bonds, 5.00%, 7/01/42 | 350,000 | 382,711 | |
Collier County Water-Sewer District Revenue Bonds, 4.00%, 7/01/40 | 500,000 | 519,704 | |
Florida State Board of Education Public Education GO Unlimited Refunding Bonds, Capital Outlay, Series E, 5.00%, 6/01/31 | 1,000,000 | 1,067,092 | |
Florida State Municipal Power Agency Revenue Refunding Bonds, Series A, 5.00%, 10/01/31 | 300,000 | 326,243 | |
Greater Orlando Aviation Authority Airport Facilities Revenue Bonds, Series A (AMT), 5.00%, 10/01/40 | 500,000 | 519,933 | |
Greater Orlando Aviation Authority Airport Facilities Revenue Bonds, Series A (AMT), Unrefunded Balance, 5.00%, 10/01/44 | 1,000,000 | 1,073,304 | |
Hillsborough County Aviation Authority Subordinate Revenue Bonds, Series B, Tampa International Airport, Prerefunded, 5.00%, 10/01/24(a) | 470,000 | 498,379 | |
JEA Electric System Revenue Refunding Bonds, Series Three A, 4.00%, 10/01/37 | 1,395,000 | 1,433,972 | |
Lee Memorial Health System Hospital Revenue Refunding Bonds, Series A-1, 5.00%, 4/01/44 | 600,000 | 647,810 | |
Leon County School District Sales TRB, 4.00%, 9/01/26 | 800,000 | 816,610 | |
Miami-Dade County Aviation Revenue Bonds, Series A (AMT), 5.00%, 10/01/49 | 250,000 | 261,685 |
Par | Value | ||
Florida (Continued) | |||
Miami-Dade County Aviation Revenue Refunding Bonds, Series A (AMT), 5.00%, 10/01/33 | $500,000 | $ 515,958 | |
Miami-Dade County Educational Facilities Authority Revenue Refunding Bonds, Series A, University of Miami, 5.00%, 4/01/30 | 250,000 | 262,400 | |
Osceola County Florida Transportation Revenue Refunding CABS, Series A-2, | |||
0.00%, 10/01/25(f) | 125,000 | 111,037 | |
0.00%, 10/01/26(f) | 275,000 | 234,853 | |
0.00%, 10/01/27(f) | 360,000 | 294,198 | |
Tampa Hospital Revenue Bonds, H. Lee Moffitt Cancer Center, | |||
5.00%, 7/01/23 | 150,000 | 154,893 | |
5.00%, 7/01/25 | 150,000 | 160,118 | |
5.00%, 7/01/26 | 125,000 | 135,623 | |
5.00%, 7/01/27 | 125,000 | 137,498 | |
Village Community Development District No. 13 Special Assessment Bonds, Limited Offering, 2.62%, 5/01/24 | 370,000 | 364,098 | |
Volusia County Educational Facilities Authority Revenue Refunding Bonds, Embry-Riddle Aeronautical, 5.00%, 10/15/44 | 500,000 | 540,186 | |
Wildwood Utility Dependent District Senior Lien Revenue Bonds, South Sumter Utility Project (BAM Insured), 5.00%, 10/01/41 | 465,000 | 520,742 | |
Wildwood Utility Dependent District Subordinate Revenue Bonds, South Sumter Utility Project (BAM Insured), 5.00%, 10/01/36 | 400,000 | 454,964 | |
13,307,529 | |||
Georgia – 2.4% | |||
Atlanta Airport Passenger Facility Charge Subordinate Revenue Bonds (AMT), 4.00%, 7/01/37 | 500,000 | 504,297 |
Par | Value | ||
Georgia (Continued) | |||
Atlanta Development Authority Senior Lien Revenue Bonds, Series A-1, 5.00%, 7/01/30 | $ 200,000 | $212,505 | |
Bartow County Development Authority Revenue Refunding Bonds, Georgia Power Company Plant Bowen Project, 1.80%, 9/01/29(c)(d) | 250,000 | 222,047 | |
Brookhaven Development Authority Revenue Bonds, Children's Healthcare of Atlanta, 4.00%, 7/01/49 | 1,000,000 | 997,105 | |
Fulton County Development Authority Transportation Corp., Toll Revenue Refunding Bonds, Robert W. Woodruff Arts Center, Inc., Project, 5.00%, 3/15/32 | 200,000 | 220,077 | |
Gainesville & Hall County Hospital Authority Revenue Refunding Bonds, Northeast Georgia Health System, Inc., Project, 5.00%, 2/15/37 | 500,000 | 545,057 | |
Gainesville & Hall County Hospital Authority Revenue Refunding Bonds, Series S, Northeast Georgia Health System, Inc., Project (County Gtd), Prerefunded, 5.50%, 2/15/25(a) | 500,000 | 541,039 | |
Glynn-Brunswick Memorial Hospital Authority Revenue Refunding Anticipation Certificates Bonds, Southeast Georgia Health System, 5.00%, 8/01/34 | 530,000 | 560,630 | |
Griffin-Spalding County Hospital Authority Revenue Anticipation Certificates Bonds, Wellstar, 5.00%, 4/01/35 | 150,000 | 162,808 | |
Main Street Natural Gas Inc., Gas Supply Variable Revenue Bonds, Series B, | |||
4.00%, 12/01/23 | 355,000 | 362,199 | |
4.00%, 12/02/24(b)(c)(d) | 100,000 | 102,468 |
Par | Value | ||
Georgia (Continued) | |||
Main Street Natural Gas, Inc. Gas Supply Revenue Bonds, Series A, 4.00%, 9/01/27(b)(d) | $1,675,000 | $1,720,234 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series A, 4.00%, 9/01/23(b)(c)(d) | 370,000 | 376,086 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Subseries C, 4.00%, 12/01/23(b)(d) | 500,000 | 509,205 | |
Municipal Electric Authority of Georgia Power Revenue Refunding Bonds, Series HH, 5.00%, 1/01/29 | 500,000 | 549,998 | |
Private Colleges & Universities Authority Revenue Refunding Bonds, Series B, Emory University, 4.00%, 9/01/40 | 1,500,000 | 1,514,434 | |
9,100,189 | |||
Guam – 0.1% | |||
Guam Government Business Privilege Tax Revenue Refunding Bonds, Series F, 4.00%, 1/01/42 | 250,000 | 227,933 | |
Illinois – 7.0% | |||
Chicago Board Of Education GO Unlimited Bonds, Series A, 5.00%, 12/01/38 | 500,000 | 523,215 | |
Chicago City Colleges Capital Appreciation GO Unlimited Bonds (NATL Insured), 0.00%, 1/01/30(f) | 750,000 | 560,969 | |
Chicago GO Unlimited Bonds, Series A, 5.50%, 1/01/49 | 100,000 | 107,388 | |
Chicago Midway Airport Second Lien Revenue Refunding Bonds, Series A (AMT), 5.00%, 1/01/31 | 1,045,000 | 1,071,409 | |
Chicago O'Hare International Airport Senior Lien General Revenue Bonds, Series D (AMT), 5.00%, 1/01/26 | 140,000 | 148,800 |
Par | Value | ||
Illinois (Continued) | |||
Chicago O'Hare International Airport Senior Lien Revenue Refunding Bonds, Series A (AMT), 5.00%, 1/01/31 | $ 250,000 | $ 270,259 | |
Chicago Park District GO Limited Tax Refunding Bonds, Series B, | |||
5.00%, 1/01/24 | 175,000 | 182,263 | |
5.00%, 1/01/26 | 395,000 | 408,558 | |
Chicago Special Assessment Refunding Bonds, Lakeshore East Project, 2.87%, 12/01/27 | 254,000 | 237,372 | |
Chicago Wastewater Transmission Second Lien Revenue Bonds, 5.00%, 1/01/39 | 500,000 | 513,415 | |
Cook County GO Unlimited Refunding Bonds, Series A, 5.00%, 11/15/25 | 1,000,000 | 1,073,803 | |
Cook County Sales TRB, 5.00%, 11/15/37 | 500,000 | 507,966 | |
Grundy Kendall & Will Counties Community High School District No. 111 GO Unlimited Refunding Bonds, 4.00%, 5/01/23 | 175,000 | 177,932 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, 4.00%, 7/15/39 | 250,000 | 254,227 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, Bradley Universtiy Project, 4.00%, 8/01/43 | 250,000 | 231,854 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, Lutheran Communities, 5.00%, 11/01/40 | 350,000 | 353,923 | |
Illinois State Finance Authority Variable Revenue Bonds, Series B-2, 5.00%, 11/15/26(b)(c)(d) | 500,000 | 540,419 | |
Illinois State GO Unlimited Bonds, | |||
5.37%, 5/01/23 | 250,000 | 256,849 | |
5.50%, 5/01/25 | 845,000 | 902,817 | |
5.50%, 7/01/26 | 460,000 | 474,352 | |
Illinois State GO Unlimited Bonds, Series B, | |||
5.00%, 3/01/24 | 250,000 | 259,528 | |
5.00%, 10/01/31 | 250,000 | 271,097 |
Par | Value | ||
Illinois (Continued) | |||
Illinois State GO Unlimited Bonds, Series D, 5.00%, 11/01/27 | $1,500,000 | $1,618,578 | |
Illinois State GO Unlimited Refunding Bonds, 5.00%, 8/01/24 | 470,000 | 474,299 | |
Illinois State GO Unlimited Refunding Bonds, Series A, 5.00%, 10/01/25 | 110,000 | 116,567 | |
Illinois State GO Unlimited Refunding Bonds, Series B, 5.00%, 10/01/28 | 250,000 | 270,913 | |
Illinois State Housing Development Authority MFH Variable Revenue Bonds, Marshall Field Garden (FNMA LOC), (SIFMA Municipal Swap Index Yield + 1.00%), 1.44%, 5/15/25(b)(d) | 500,000 | 504,600 | |
Illinois State Sales Tax Junior Obligations Revenue Bonds, Series A (BAM Insured), 4.00%, 6/15/34 | 620,000 | 627,723 | |
Illinois State Sales Tax Revenue Refunding Bonds, Subseries D (BAM, TCRS Insured), 3.00%, 6/15/31 | 390,000 | 365,008 | |
Illinois State Sales TRB, Build Illinois - Junior Obligation, 5.00%, 6/15/23 | 200,000 | 204,922 | |
Illinois State Sports Facilities Authority State Tax Supported Revenue CABS (AMBAC Insured), 0.00%, 6/15/25(f) | 95,000 | 85,330 | |
Illinois State Sports Facilities Authority State Tax Supported Revenue Refunding Bonds (AGM Insured), 5.00%, 6/15/27 | 400,000 | 415,398 | |
Illinois State Toll Highway Authority Revenue Bonds, Series A, 5.00%, 1/01/46 | 500,000 | 556,613 | |
Illinois State Toll Highway Authority Senior Revenue Bonds, Series A, 5.00%, 1/01/40 | 500,000 | 557,847 | |
Illinois State Toll Highway Authority Senior Revenue Refunding Bonds, Series A, 5.00%, 1/01/31 | 525,000 | 587,977 |
Par | Value | ||
Illinois (Continued) | |||
Kane, Cook & Dupage Counties, Illinois School District, GO Unlimited Refunding Bonds, Series D, 5.00%, 1/01/28 | $215,000 | $223,244 | |
Libertyville GO Unlimited Refunding Bonds, Series A, 3.00%, 12/15/23 | 245,000 | 247,468 | |
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 | 710,898 | |
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 | 217,270 | |
Metropolitan Pier & Exposition Authority Revenue Refunding Bonds, McCormick Place Expansion, | |||
4.00%, 12/15/42 | 375,000 | 351,886 | |
4.00%, 6/15/52 | 245,000 | 222,641 | |
Metropolitan Pier & Exposition Authority Revenue Refunding CABS, McCormick Place Expansion, 0.00%, 12/15/35(f) | 150,000 | 77,218 | |
Metropolitan Pier and Exposition Authority Revenue Refunding Bonds, McCormick Place Expansion Project, | |||
5.00%, 6/15/42 | 500,000 | 524,439 | |
5.00%, 6/15/50 | 500,000 | 518,699 | |
Northern University Board of Trustees Revenue Bonds, Auxiliary Facilities System (BAM Insured), | |||
5.00%, 10/01/25 | 325,000 | 346,828 | |
5.00%, 10/01/26 | 250,000 | 270,360 | |
Peoria County School District No. 150 GO Unlimited Refunding Bonds, Series A (AGM Insured), 4.00%, 12/01/26 | 390,000 | 410,263 |
Par | Value | ||
Illinois (Continued) | |||
Peoria GO Unlimited Refunding Bonds, Series C (AGM Insured), 5.00%, 1/01/27 | $2,000,000 | $ 2,177,485 | |
Regional Transportation Authority Revenue Bonds, Series A (AGM Insured), 5.75%, 6/01/34 | 750,000 | 903,562 | |
Regional Transportation Authority Revenue Bonds, Series B (NATL Insured), 5.50%, 6/01/27 | 350,000 | 380,705 | |
Sales Tax Securitization Corp., Second Lien Revenue Refunding Bonds, Series A, 4.00%, 1/01/38 | 250,000 | 248,963 | |
Sangamon Logan & Menard Counties Community Unit School District No. 15 GO Unlimited Bonds, Series B (BAM Insured), | |||
5.00%, 12/01/25 | 300,000 | 323,658 | |
4.00%, 12/01/39 | 250,000 | 258,755 | |
Waukegan City Lake County Water & Sewer System Revenue Refunding Bonds (AGM Insured), | |||
5.00%, 12/30/26 | 200,000 | 218,743 | |
4.00%, 12/30/38 | 500,000 | 515,780 | |
4.00%, 12/30/40 | 500,000 | 514,170 | |
Waukegan GO Unlimited Bonds, Series A (AGM Insured), 5.00%, 12/30/32 | 250,000 | 265,144 | |
Will County Community High School District No. 210 Lincoln-Way Refunding GO Unlimited Bonds (AGM Insured), 4.00%, 1/01/34 | 650,000 | 667,972 | |
Will County Community School District No. 161 Summit Hill Refunding GO Unlimited Bonds, 4.00%, 1/01/24 | 470,000 | 481,593 | |
26,791,934 | |||
Indiana – 2.4% | |||
Clarksville Sewage Works Revenue BANS, 2.75%, 12/11/23 | 125,000 | 125,006 |
Par | Value | ||
Indiana (Continued) | |||
Fort Wayne Redevelopment Authority Lease Rental Revenue Refunding Bonds, Grand Wayne Center Project (State Intercept Program), 4.00%, 2/01/26 | $ 760,000 | $ 791,894 | |
Indiana Bond Bank Revenue CABS, Hamilton Co., Projects, | |||
0.00%, 7/15/25(f) | 450,000 | 408,231 | |
0.00%, 7/15/28(f) | 900,000 | 733,833 | |
0.00%, 1/15/29(f) | 560,000 | 448,905 | |
Indiana Finance Authority Midwestern Disaster Relief Revenue Bonds, Series A, Ohio Valley Electric Corp., Project, 5.00%, 6/01/39 | 140,000 | 140,127 | |
Indiana State Finance Authority Private Activity Revenue Bonds (AMT), Ohio River Bridges East End Crossing Project, Prerefunded, 5.25%, 7/01/23(a) | 600,000 | 618,342 | |
Indiana State Finance Authority Revenue Refunding Bonds, Valparaiso University Project, 5.00%, 10/01/23 | 585,000 | 602,706 | |
Indiana State Finance Authority Variable Revenue Refunding Bonds, Deaconess Health System, (SIFMA Municipal Swap Index Yield + 0.30%), 0.74%, 3/01/27(b)(d) | 1,445,000 | 1,445,019 | |
Knox Middle School Building Corp., Revenue Bonds (State Intercept), 5.00%, 1/15/27 | 440,000 | 485,811 | |
Upland Economic Development Revenue Refunding Bonds, Taylor University Project, 4.00%, 9/01/24 | 570,000 | 583,992 | |
Vinton-Tecumseh School Building Corp. Ad Valorem Property Tax First Mortgage Revenue Bonds (State Intercept), | |||
4.00%, 7/15/26 | 530,000 | 556,042 | |
4.00%, 1/15/27 | 540,000 | 568,830 | |
4.00%, 7/15/27 | 550,000 | 581,369 |
Par | Value | ||
Indiana (Continued) | |||
Warrick County, Indiana Environmental Improvement Variable Revenue Bonds (AMT), Vectren Energy Delivery, 0.88%, 9/01/23(b)(c)(d) | $1,000,000 | $ 975,840 | |
Whiting Environmental Facilities Revenue Refunding Bonds (AMT), BP Products North America, 5.00%, 6/05/26(b)(c)(d) | 290,000 | 308,933 | |
9,374,880 | |||
Iowa – 0.2% | |||
Indianola GO Unlimited Capital Loan Notes, | |||
3.00%, 6/01/23 | 195,000 | 196,813 | |
3.00%, 6/01/24 | 255,000 | 257,810 | |
PEFA, Inc. Gas Project Revenue Bonds, 5.00%, 9/01/26(b)(c)(d) | 150,000 | 158,294 | |
612,917 | |||
Kentucky – 1.7% | |||
Kenton County Airport Board Revenue Refunding Bonds, 5.00%, 1/01/32 | 400,000 | 430,336 | |
Kentucky Bond Development Corp. Educational Facilities Revenue Refunding Bonds, Transylvania University Project, 5.00%, 3/01/27 | 155,000 | 168,782 | |
Kentucky State Economic Development Finance Authority Health System Revenue Refunding Bonds, Norton Healthcare, Inc., Series B (NATL Insured), 0.00%, 10/01/24(f) | 280,000 | 259,205 | |
Kentucky State Economic Development Finance Authority Revenue Bonds, Owensboro Health, 5.25%, 6/01/50 | 250,000 | 261,495 | |
Kentucky State Economic Development Finance Authority Revenue Refunding Bonds, Masonic Home Independent Living, 5.00%, 5/15/46 | 100,000 | 93,123 |
Par | Value | ||
Kentucky (Continued) | |||
Kentucky State Economic Development Finance Authority Revenue Refunding Bonds, Series B, Owensboro Health, 5.00%, 6/01/40 | $ 300,000 | $ 320,571 | |
Kentucky State Public Energy Authority Gas Supply Revenue Bonds, Series A, 4.00%, 4/01/24(b)(c)(d) | 475,000 | 481,735 | |
Kentucky State Public Energy Authority Gas Supply Revenue Bonds, Series A-1, 4.00%, 6/01/25(b)(c)(d) | 500,000 | 507,116 | |
Kentucky State Public Energy Authority Revenue Bonds, Series B, Gas Supply, 4.00%, 1/01/25(b)(c)(d) | 650,000 | 663,186 | |
Kentucky State University COPS, Kentucky State University Project (BAM Insured), 5.00%, 11/01/24 | 230,000 | 242,835 | |
Louisville & Jefferson County Metro Government Pollution Control Revenue Refunding Bonds (AMT), Louisville Gas & Electric, 1.35%, 11/01/27 | 1,500,000 | 1,318,699 | |
Louisville & Jefferson County Metropolitan Government Health System Variable Revenue Bonds, Norton Healthcare, Inc., 5.00%, 10/01/26(b)(c)(d) | 1,000,000 | 1,090,940 | |
Louisville Regional Airport Authority Airport System Revenue Refunding Bonds, Series A (AMT), 5.00%, 7/01/23 | 500,000 | 514,097 | |
6,352,120 | |||
Louisiana – 0.7% | |||
East Baton Rouge Parish Sewerage Commission Revenue Refunding Bonds, Series A, | |||
5.00%, 2/01/24 | 325,000 | 340,197 | |
5.00%, 2/01/25 | 475,000 | 507,323 | |
5.00%, 2/01/26 | 100,000 | 108,766 |
Par | Value | ||
Louisiana (Continued) | |||
East Baton Rouge Parish Sewerage Commission Variable Revenue Refunding Bonds, Series A, 1.30%, 2/01/28(b)(c)(d) | $ 500,000 | $ 435,469 | |
Louisiana Public Facilities Authority Revenue Refunding Bonds, Loyola University Project, | |||
5.00%, 10/01/25 | 250,000 | 263,876 | |
5.00%, 10/01/26 | 215,000 | 229,485 | |
Saint James Parish Variable Revenue Bonds, Nustar Logistics, 5.85%, 6/01/25(b)(c)(d)(e) | 525,000 | 555,809 | |
Saint John The Baptist Parish Variable Revenue Refunding Bonds, Marathon Oil Corp., Project, 2.38%, 7/01/26(b)(c)(d) | 125,000 | 118,154 | |
2,559,079 | |||
Maine – 0.4% | |||
Maine Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A, 5.00%, 7/01/27 | 215,000 | 236,822 | |
Maine Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A (State Aid Withholding), 5.00%, 7/01/28 | 650,000 | 710,099 | |
Maine State Finance Authority Student Loan Revenue Refunding Bonds (AMT) (AGM Insured), 5.00%, 12/01/24 | 500,000 | 525,651 | |
1,472,572 | |||
Maryland – 2.7% | |||
Baltimore Convention Center Hotel Revenue Refunding Bonds, Convention Center Hotel, 5.00%, 9/01/39 | 500,000 | 486,957 | |
Baltimore County GO Unlimited Bonds, 5.00%, 3/01/25 | 1,265,000 | 1,355,548 | |
Department of Transportation Revenue Bonds (AMT), Baltimore Washington International, 4.00%, 8/01/37 | 250,000 | 248,553 |
Par | Value | ||
Maryland (Continued) | |||
Maryland Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Stevenson University Project, 4.00%, 6/01/51 | $ 325,000 | $ 300,622 | |
Maryland State Community Development Administration Department Housing Revenue Bonds, Series A, Woodside Gardens, 1.33%, 1/01/24(e) | 2,000,000 | 1,951,836 | |
Maryland State Economic Development Corp. Private Activity Revenue Bonds (AMT), Purple Line Light Rail Project, Green Bond, 5.25%, 6/30/55 | 1,000,000 | 1,036,583 | |
Maryland State Economic Development Corp., Revenue Bonds (AMT), Seagirt Marine Terminal Projects, 5.00%, 6/01/44 | 500,000 | 534,578 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Adventist Healthcare Obligated, 5.50%, 1/01/31 | 400,000 | 434,664 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Peninsula Regional Health System, | |||
5.00%, 7/01/24 | 350,000 | 367,694 | |
5.00%, 7/01/27 | 1,320,000 | 1,451,315 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Adventist Healthcare, 4.00%, 1/01/26 | 875,000 | 895,416 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Arundel Health Systems, 5.00%, 7/01/29 | 250,000 | 275,753 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A, Broadmead Issue, 4.00%, 7/01/35 | 285,000 | 291,555 |
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 | $ 120,214 | |
Maryland State Health & Higher Educational Facilities Authority Variable Revenue Refunding Bonds, University of Maryland, 5.00%, 7/01/27(b)(c)(d) | 200,000 | 218,569 | |
Montgomery County Housing Opportunities Commission Multifamily & Reconstruction Development Revenue Bonds, Series C (FHA 542 (C) Insured), 2.85%, 1/01/51 | 250,000 | 192,558 | |
Washington Country Economic Development Revenue Refunding Bonds, Homewood Maryland Obligated Group Project, 4.00%, 5/01/42 | 225,000 | 193,186 | |
10,355,601 | |||
Massachusetts – 1.2% | |||
Development Finance Agency Revenue Refunding Bonds, Lasell University, | |||
4.00%, 7/01/25 | 235,000 | 237,495 | |
4.00%, 7/01/26 | 240,000 | 241,913 | |
Massachusetts Development Finance Agency Revenue Bonds, UMass Boston Student Housing Project, 5.00%, 10/01/48 | 500,000 | 508,877 | |
Massachusetts Port Authority Revenue Bonds, Series E (AMT), 5.00%, 7/01/27 | 365,000 | 398,384 | |
Massachusetts State Consolidated Loan GO Limited Bonds, Series E, 5.25%, 9/01/48 | 500,000 | 553,209 |
Par | Value | ||
Massachusetts (Continued) | |||
Massachusetts State Development Financing Agency Variable Revenue Bonds, Partners Healthcare System, (SIFMA Municipal Swap Index Yield + 0.00%), 1.04%, 1/29/26(b)(d)(e) | $1,000,000 | $ 998,339 | |
Massachusetts State GO Limited Refunding Bonds, Series B, 5.00%, 7/01/34 | 1,350,000 | 1,543,032 | |
4,481,249 | |||
Michigan – 2.1% | |||
Detroit Downtown Development Authority Tax Allocation Increment Revenue Refunding Bonds, Series A, Catalyst Development Project (AGM Insured), | |||
5.00%, 7/01/43 | 100,000 | 104,304 | |
5.00%, 7/01/48 | 200,000 | 208,054 | |
Detroit GO Unlimited Bonds, 5.00%, 4/01/27 | 50,000 | 53,260 | |
Detroit GO Unlimited Bonds, Series A, Social Bonds, 4.00%, 4/01/40 | 250,000 | 229,884 | |
Gerald R. Ford International Airport Authority Revenue Bonds (AMT) (County Gtd), 5.00%, 1/01/51 | 525,000 | 571,845 | |
Great Lakes Water Authority Sewage Disposal System Second Lien Revenue Refunding Bonds, Series C, 5.00%, 7/01/36 | 495,000 | 536,663 | |
Michigan Finance Authority Revenue Bonds, Local Government Loan Program, 5.00%, 7/01/33 | 350,000 | 372,625 | |
Michigan State Finance Authority Limited Obligation Revenue Refunding Bonds, Lawrence Technological University, 4.00%, 2/01/27 | 185,000 | 188,815 | |
Michigan State Finance Authority Local Government Loan Program Revenue Refunding Bonds, | |||
5.00%, 7/01/29 | 425,000 | 451,811 | |
4.50%, 10/01/29 | 250,000 | 252,250 |
Par | Value | ||
Michigan (Continued) | |||
Michigan State Finance Authority Revenue Refunding Bonds, Michigan Health, Escrowed to Maturity, 5.00%, 6/01/23 | $ 390,000 | $ 401,849 | |
Michigan State Finance Authority Revenue Refunding Bonds, Trinity Health Credit Group, 4.00%, 12/01/35 | 515,000 | 518,147 | |
Michigan State Finance Authority Variable Revenue Refunding Bonds, Beaumont Spectrum, 4/15/27(b)(d)(g) | 1,500,000 | 1,500,000 | |
Michigan State Hospital Finance Authority Revenue Refunding Bonds, Ascenion Senior, 5.00%, 11/15/47 | 420,000 | 448,907 | |
Michigan State Strategic Fund Limited Obligation Variable Revenue Bonds (AMT), Consumers Energy Co., 1.80%, 10/01/24(b)(c)(d) | 500,000 | 485,036 | |
Michigan State Strategic Fund Limited Obligation Variable Revenue Bonds (AMT), Green Bond, 4.00%, 10/01/26(b)(c)(d) | 100,000 | 102,107 | |
Northern University General Revenue Refunding Bonds, Series A, 5.00%, 12/01/27 | 590,000 | 658,093 | |
Wayne County Airport Authority Junior Lien Revenue Refunding Bonds, Series A, 5.00%, 12/01/26 | 500,000 | 544,634 | |
Wayne University Revenue Refunding Bonds, Series A (BAM, TCRS Insured), 5.00%, 11/15/27 | 300,000 | 326,879 | |
7,955,163 |
Par | Value | ||
Minnesota – 0.2% | |||
City of Shakopee Senior Housing Revenue Bonds, Benedictine Living Community of Shakopee LLC Project, 5.85%, 11/01/25(b)(c)(d)(e) | $250,000 | $252,796 | |
Minnesota Municipal Gas Agency Commodity Supply Revenue Bonds, Series A, 4.00%, 12/01/27(b)(c)(d) | 450,000 | 464,525 | |
717,321 | |||
Mississippi – 0.2% | |||
Mississippi State Hospital Equipment & Facilities Authority Adjustable Revenue Refunding Bonds, North Mississippi Health, 5.00%, 3/01/27(b)(c)(d) | 265,000 | 286,529 | |
Mississippi State Hospital Equipment & Facilities Authority Revenue Refunding Bonds, Forrest Country General Hospital Project, 5.00%, 1/01/24 | 400,000 | 416,667 | |
703,196 | |||
Missouri – 1.3% | |||
Central Southwest Community College District COPS, | |||
5.00%, 3/01/26 | 225,000 | 243,829 | |
5.00%, 3/01/27 | 225,000 | 247,556 | |
Missouri Health & Educational Facilities Authority Revenue Refunding Bonds, | |||
5.00%, 2/15/26 | 200,000 | 216,488 | |
5.00%, 2/15/27 | 215,000 | 236,287 | |
5.00%, 2/15/28 | 250,000 | 277,752 | |
Missouri Joint Municipal Electric Utility Commission Power Project Revenue Refunding Bonds, Series A, Iatan 2 Project, 5.00%, 1/01/33 | 310,000 | 321,067 | |
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 | 156,079 | |
5.00%, 11/15/30 | 250,000 | 270,904 |
Par | Value | ||
Missouri (Continued) | |||
Missouri State Health & Educational Facilities Authority Revenue Refunding Bonds, Bethesda Health Group, Inc., | |||
4.00%, 8/01/24 | $ 320,000 | $ 328,349 | |
4.00%, 8/01/26 | 200,000 | 207,894 | |
Missouri State Public Utilities Commission Revenue Notes, 0.75%, 8/01/23 | 2,000,000 | 1,946,719 | |
Saint Louis County IDA Senior Living Facilities Revenue Refunding Bonds, Friendship Village St. Louis, 5.00%, 9/01/48 | 500,000 | 501,821 | |
4,954,745 | |||
Nebraska – 0.6% | |||
Central Plains Energy Project Gas Supply Revenue Refunding Bonds, 4.00%, 8/01/25(b)(c)(d) | 225,000 | 229,887 | |
Douglas County Educational Facilities Variable Revenue Refunding Bonds, Creighton University Project, 0.97%, 9/01/26(b)(d) | 750,000 | 752,424 | |
Douglas County Hospital Authority No. 2 Revenue Bonds, Children's Hospital Obligated Group, 5.00%, 11/15/25(b)(c)(d) | 600,000 | 644,210 | |
Gretna COPS, 5.00%, 12/15/25 | 500,000 | 529,955 | |
2,156,476 | |||
Nevada – 1.6% | |||
Clark County Airport Subordinate Revenue Refunding Bonds, Series B (AMT), 5.00%, 7/01/26 | 1,200,000 | 1,285,890 | |
Clark County Pollution Control Revenue Refunding Bonds, Southern California Edison Company, 2.10%, 6/01/31 | 250,000 | 216,077 | |
Clark County School District GO Limited Refunding Bonds, Series C, Building, 5.00%, 6/15/23 | 500,000 | 515,320 |
Par | Value | ||
Nevada (Continued) | |||
Clark County School District GO Limited Refunding Bonds, Series E, 5.00%, 6/15/25 | $1,330,000 | $1,422,699 | |
Clark County Stadium Improvement GO Limited Bonds, Series A, 5.00%, 5/01/48 | 500,000 | 542,216 | |
Las Vegas Convention & Visitors Authority Convention Center Expansion Revenue Bonds, Series B, 5.00%, 7/01/43 | 250,000 | 273,283 | |
Las Vegas New Convention & Visitors Authority Revenue Bonds, Series B, 5.00%, 7/01/37 | 1,000,000 | 1,112,933 | |
Las Vegas Special Improvement District No. 814 Summerlin Village 21 & 24A Special Assessment Bonds, 4.00%, 6/01/49 | 100,000 | 89,642 | |
Reno Sales Tax First Lien Revenue Refunding Bonds, Retrac-Reno Transportation Rail Access Corridor Project, 5.00%, 6/01/48 | 500,000 | 525,765 | |
Sparks Nevada Tourism Improvement District No. 1 Sales Tax Senior Lien Revenue Refunding Bonds, Series A, 2.50%, 6/15/24(e) | 225,000 | 220,984 | |
6,204,809 | |||
New Hampshire – 0.3% | |||
National Finance Authority Municipal Certificates Revenue Bonds, Series 1-A, 4.13%, 1/20/34 | 702,154 | 723,841 | |
National Finance Authority Revenue Bonds, Series A, 4.00%, 7/01/51 | 250,000 | 251,461 | |
New Hampshire State Health & Education Facilities Authority Revenue Refunding Bonds, Kendal at Hanover Issue, 5.00%, 10/01/36 | 180,000 | 189,888 | |
1,165,190 |
Par | Value | ||
New Jersey – 3.8% | |||
Atlantic City Board Of Education GO Unlimited Refunding Bonds (AGM School Board Resource Fund Insured), 4.00%, 4/01/25 | $ 350,000 | $ 363,716 | |
Garden State Preservation Trust Open Space & Farmland Preservation Revenue Bonds, Series A (AGM Insured), 5.75%, 11/01/28 | 1,170,000 | 1,327,336 | |
New Jersey Covid-19 GO Unlimited Emergency Bonds, 5.00%, 6/01/26 | 385,000 | 415,635 | |
New Jersey Economic Development Authority Revenue Refunding bonds, Series GGG, School Facilities Construction, 5.25%, 9/01/23(e) | 1,500,000 | 1,554,091 | |
New Jersey Economic Development Authority Revenue Refunding Bonds, Cranes Mill Project, 5.00%, 1/01/49 | 260,000 | 269,972 | |
New Jersey State EDA Energy Facility Revenue Bonds, Series A (AMT), UMM Energy Partners, | |||
5.00%, 6/15/37 | 190,000 | 190,384 | |
5.12%, 6/15/43 | 350,000 | 350,726 | |
New Jersey State EDA Motor Vehicle Surcharge Revenue Refunding Bonds, Subseries A, 3.38%, 7/01/30 | 250,000 | 242,815 | |
New Jersey State EDA Private Activity Revenue Bonds (AMT), The Goethals Project, | |||
5.00%, 1/01/24 | 150,000 | 154,929 | |
5.25%, 1/01/25 | 100,000 | 103,691 | |
5.37%, 1/01/43 | 100,000 | 102,765 | |
New Jersey State EDA Revenue Bonds, Provident Group Rowan Properties LLC, 5.00%, 1/01/48 | 125,000 | 120,606 | |
New Jersey State EDA Revenue Refunding Bonds, School Facilities Construction, 5.00%, 3/01/24 | 1,000,000 | 1,019,447 |
Par | Value | ||
New Jersey (Continued) | |||
New Jersey State EDA Revenue Refunding Bonds, Series A, United Methodist Homes, 5.00%, 7/01/29 | $ 100,000 | $ 101,672 | |
New Jersey State EDA Revenue Refunding Bonds, Series XX, 5.00%, 6/15/23 | 170,000 | 175,209 | |
New Jersey State EDA Special Facility Revenue Refunding Bonds (AMT), Port Newark Container, 5.00%, 10/01/47 | 300,000 | 312,825 | |
New Jersey State EDA Water Facilities Revenue Refunding Bonds (AMT), New Jersey American Water Co., Inc. Project, 2.20%, 12/03/29(b)(d) | 775,000 | 704,378 | |
New Jersey State Health Care Facilities Financing Authority Revenue Bonds, Valley Health System Obligated Group Series, 5.00%, 7/01/33 | 1,000,000 | 1,129,408 | |
New Jersey State Health Care Facilities Financing Authority Revenue Refunding Bonds, Inspira Health Obligated Group, 5.00%, 7/01/30 | 1,000,000 | 1,077,646 | |
New Jersey State Health Care Facilities Financing Authority Revenue Refunding Bonds, RWJ Barnajas Health Obligated Group, 5.00%, 7/01/26(b)(c)(d) | 400,000 | 431,384 | |
New Jersey State Higher Education Assistance Authority Student Loan Revenue Bonds, Series B (AMT), 5.00%, 12/01/24 | 570,000 | 602,150 | |
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series A, 4.00%, 6/15/42 | 250,000 | 240,205 | |
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series AA, 5.00%, 6/15/40 | 500,000 | 533,179 | |
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Transportation Program, | |||
5.25%, 6/15/43 | 625,000 | 665,436 | |
4.00%, 6/15/50 | 280,000 | 260,451 |
Par | Value | ||
New Jersey (Continued) | |||
New Jersey State Transportation Trust Fund Authority Revenue Refunding Bonds, Series A, 4.00%, 6/15/34 | $175,000 | $ 173,362 | |
New Jersey State Transportation Trust Fund Authority Transportation System Revenue Refunding Bonds, 5.00%, 12/15/25 | 100,000 | 106,912 | |
New Jersey State Turnpike Authority Revenue Bonds, Series A, | |||
5.00%, 1/01/27 | 305,000 | 335,135 | |
5.00%, 1/01/33 | 230,000 | 240,146 | |
New Jersey State Turnpike Authority Turnpike Revenue Refunding Bonds, Series E, 5.00%, 1/01/31 | 255,000 | 279,564 | |
New Jersey Turnpike Revenue Bonds, Series A, 4.00%, 1/01/42 | 240,000 | 241,882 | |
Newark Board of Education GO Unlimited Bonds, Sustainability Bonds (School Board Guaranty Program), 5.00%, 7/15/23 | 300,000 | 310,028 | |
Newark Housing Authority Port Newark Marine Terminal Rental Revenue Refunding Bonds, Additional Newark Redevelopment Project (NATL Insured), 5.25%, 1/01/24 | 500,000 | 513,377 | |
14,650,462 | |||
New Mexico – 0.3% | |||
Farmington PCR Refunding Bonds, Public Service Company of New Mexico San Juan Project, 1.15%, 6/01/24(b)(c)(d) | 250,000 | 239,571 | |
New Mexico State Hospital Equipment Loan Council Variable Revenue Bonds, Series B, 5.00%, 8/01/25(b)(c)(d) | 500,000 | 536,934 | |
New Mexico State Municipal Energy Acquisition Authority Gas Supply Revenue Refunding Bonds, Series A, 5.00%, 5/01/25(b)(c)(d) | 275,000 | 290,234 | |
1,066,739 |
Par | Value | ||
New York – 8.3% | |||
Build Resource Corp., Revenue Bonds, Friends of Hellenic Classical Charter Schools, Inc., 4.00%, 12/01/31(e) | $ 500,000 | $ 482,594 | |
Hempstead Town Local Develop Corp., Education Revenue Refunding Bonds, Academy Charter School Project, 5.66%, 2/01/44 | 250,000 | 257,072 | |
Hempstead Town Local Development Corp. Revenue Refunding Bonds, Adelphi University Project, | |||
5.00%, 6/01/27 | 300,000 | 326,104 | |
5.00%, 6/01/28 | 500,000 | 549,010 | |
Hempstead Town Local Development Corp., Education Revenue Bonds, Academy Charter School Project, 4.60%, 2/01/51 | 250,000 | 204,066 | |
Hudson Yards Infrastructure Corp. Revenue Refunding Bonds, Second Indenture Series, Fiscal 2022, Green Bonds, 4.00%, 2/15/43 | 1,000,000 | 994,993 | |
Long Beach GO Limited Bonds, Series A, 5.00%, 9/01/28 | 665,000 | 710,847 | |
Long Island Power Authority Electric System Variable Revenue Bonds, Series B, 1.65%, 9/01/24(b)(c)(d) | 1,650,000 | 1,618,810 | |
Metropolitan Transportation Authority Revenue Bonds, Series A-1-Group 1, Green Bond, 5.00%, 11/15/49 | 500,000 | 520,098 | |
Metropolitan Transportation Authority Transportation Revenue Bonds, Series E, 4.00%, 11/15/23 | 535,000 | 546,902 | |
Metropolitan Transportation Authority Variable Revenue Bonds, Subseries D-1, (SOFR + 0.33%), 0.53%, 4/01/24(b)(d) | 950,000 | 942,620 |
Par | Value | ||
New York (Continued) | |||
Metropolitan Transportation Authority, New York Transportation Variable Rate Revenue Refunding Bonds, Subseries G-3, (SIFMA Municipal Swap Index Yield + 0.43%), 0.87%, 2/01/25(b)(d) | $1,000,000 | $1,006,080 | |
Monroe County Industrial Development Agency School Facility Revenue Bonds, Rochester Schools Modernization Project (State Aid Withholding), 5.00%, 5/01/35 | 800,000 | 907,712 | |
Monroe County Industrial Development Corp., Revenue Bonds, University of Rochester Project, 4.00%, 7/01/50 | 1,000,000 | 985,686 | |
New York City Transitional Finance Authority Future Tax Secured Subordinate Revenue Bonds, 4.00%, 11/01/40 | 400,000 | 402,107 | |
New York City Transitional Finance Authority Future Tax Subordinate Revenue Bonds, 4.00%, 5/01/36 | 1,000,000 | 1,018,613 | |
New York City Transitional Finance Authority Revenue Bonds, Sub Series C-2, 5.00%, 5/01/32 | 1,000,000 | 1,102,393 | |
New York City Transitional Finance Authority Subordinate Revenue Bonds, Series F-1, 5.00%, 2/01/47 | 625,000 | 691,431 | |
New York GO Unlimited Bonds, Series 1, 4.00%, 8/01/27 | 625,000 | 661,758 | |
New York GO Unlimited Bonds, Series D, Subseries D1, 5.00%, 12/01/42 | 250,000 | 270,910 | |
New York State Convention Center Development Corp., Revenue Refunding Bonds, Hotel Unit Fee Secured, 5.00%, 11/15/40 | 600,000 | 636,389 | |
New York State Dormitory Authority Non State Supported Debt Revenue Bonds, Fordham University, 4.00%, 7/01/50 | 600,000 | 583,575 |
Par | Value | ||
New York (Continued) | |||
New York State Dormitory Authority Non State Supported Debt Revenue Refunding Bonds, Series A, Barnard College, 4.00%, 7/01/49 | $ 300,000 | $ 293,302 | |
New York State Dormitory Authority Personal Income Tax Revenue Refunding Bonds, Series A, 5.00%, 3/15/41 | 2,000,000 | 2,231,781 | |
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 | 497,297 | |
New York State Dormitory Authority Revenues Non State Supported Debt Revenue Bonds, Northwell Health Obligated Group, 5.00%, 5/01/24(b)(d) | 1,250,000 | 1,298,706 | |
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 | 219,795 | |
New York State Dormitory Authority Revenues Non State Supported Debt Revenue Refunding Bonds, Series A, Montefiore Obligated Group, 4.00%, 9/01/50 | 500,000 | 441,501 | |
New York State Dormitory Authority State Personal Income Tax Revenue Refunding Bonds, Series D, 4.00%, 2/15/39 | 500,000 | 502,633 | |
New York State Dormitory Authority State Personal Income Tax Revenue Refunding Bonds, Series E, Unrefunded Balance, 5.00%, 2/15/44 | 425,000 | 444,688 | |
New York State Dormitory Authority Supported Debt Revenue Refunding Bonds, New York University, Series A, 4.00%, 7/01/46 | 250,000 | 247,263 |
Par | Value | ||
New York (Continued) | |||
New York State Housing Finance Agency Affordable Housing Sustainability Revenue Bonds, Series L-2 (SonyMA Insured), 0.75%, 11/01/25 | $500,000 | $461,841 | |
New York State Liberty Development Corp., Revenue Refunding Bonds, Class 2, 3 World Trade Center Project, | |||
5.15%, 11/15/34(e) | 500,000 | 511,657 | |
5.37%, 11/15/40(e) | 150,000 | 153,576 | |
New York State Liberty Development Corp., Revenue Refunding Bonds, Green Bonds, 4 World Trade Center Project, 1.20%, 11/15/28 | 500,000 | 416,351 | |
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 | 274,191 | |
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 | 262,286 | |
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 | 528,628 | |
New York State Urban Development Corp. Personal Income TRB, Series A, 5.00%, 3/15/41 | 250,000 | 275,765 | |
New York State Urban Development Corp. Revenue Refunding Bonds, Series E Group 3, 4.00%, 3/15/43 | 500,000 | 499,596 |
Par | Value | ||
New York (Continued) | |||
Niagara Frontier Transportation Authority Revenue Refunding Bonds (AMT), Buffalo Niagara International Airport, 5.00%, 4/01/26 | $ 250,000 | $ 266,627 | |
Onondaga County Trust Cultural Resource Revenue Refunding Bonds, Syracuse University Project, 4.00%, 12/01/47 | 500,000 | 495,184 | |
Port Authority of New York & New Jersey Consolidated 211th Revenue Refunding Bonds, 5.00%, 9/01/48 | 830,000 | 911,055 | |
Port Authority of New York & New Jersey Consolidated Revenue Bonds, Series 218 (AMT), 5.00%, 11/01/31 | 1,065,000 | 1,178,380 | |
Port Authority of New York & New Jersey Consolidated Revenue Bonds, Series 221 (AMT), 4.00%, 7/15/40 | 500,000 | 487,765 | |
Port Authority of New York & New Jersey Revenue Bonds, Series 179, 5.00%, 12/01/25 | 750,000 | 781,097 | |
Poughkeepsie City GO Limited Refunding Bonds, 4.00%, 4/15/25 | 440,000 | 451,753 | |
Sales Tax Asset Receivable Corp., Revenue Refunding Bonds, Series A, Fiscal 2015, Prerefunded, 5.00%, 10/15/24(a) | 245,000 | 260,328 | |
Suffolk County GO Limited Refunding Bonds, Series D (BAM Insured), 5.00%, 10/15/24 | 390,000 | 410,464 | |
Triborough Bridge & Tunnel Authority General Revenue Bonds, Series A, MTA Bridges and Tunnels, 4.00%, 11/15/54 | 1,300,000 | 1,269,859 |
Par | Value | ||
New York (Continued) | |||
Troy Capital Resource Corp. Revenue Bonds, Rensselaer Polytechnic Institutute Project, 4.00%, 9/01/33 | $100,000 | $ 101,463 | |
Yonkers Economic Development Corp., Educational Revenue Bonds, Charter School Educational Excellence Project, 5.00%, 10/15/49 | 100,000 | 100,244 | |
31,694,846 | |||
North Carolina – 1.3% | |||
North Carolina Capital Facilities Finance Agency Educational Facilities Revenue Refunding Bonds, High Point University, | |||
4.00%, 5/01/23 | 300,000 | 305,086 | |
4.00%, 5/01/24 | 240,000 | 245,943 | |
5.00%, 5/01/25 | 240,000 | 254,789 | |
5.00%, 5/01/26 | 275,000 | 296,085 | |
North Carolina Medical Care Commission Retirement Facilities Revenue Bonds, The Forest At Duke Project, | |||
4.00%, 9/01/33 | 180,000 | 182,939 | |
4.00%, 9/01/34 | 185,000 | 187,585 | |
North Carolina State Medical Care Commission Health Care Facilities Revenue Refunding Bonds, Vidant Health, 5.00%, 6/01/45 | 500,000 | 529,294 | |
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, First Mortgage, 4.00%, 1/01/25 | 250,000 | 247,874 | |
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, First Mortgage, United Church Services, Prerefunded, 5.00%, 9/01/24(a) | 155,000 | 163,343 | |
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, Series A, Sharon Towers, 5.00%, 7/01/49 | 100,000 | 100,952 |
Par | Value | ||
North Carolina (Continued) | |||
North Carolina State Turnpike Authority Senior Lien Revenue Bonds, Triangle Expressway, 4.00%, 1/01/55 | $400,000 | $ 386,517 | |
North Carolina State Turnpike Authority Senior Lien Revenue Bonds, Triangle Expressway (AGM Insured), 5.00%, 1/01/49 | 500,000 | 549,736 | |
North Carolina State Turnpike Authority Senior Lien Revenue Refunding Bonds, 5.00%, 1/01/40 | 550,000 | 589,724 | |
North Carolina Turnpike Authority Triangle Expressway System Revenue BANS, 5.00%, 2/01/24 | 200,000 | 207,607 | |
Raleigh Durham Airport Authority Revenue Refunding Bonds, Series A (AMT), 5.00%, 5/01/36 | 500,000 | 544,550 | |
4,792,024 | |||
North Dakota – 0.5% | |||
Cass County Joint Water Resource District GO Unlimited Bonds, Series A, 0.48%, 5/01/24 | 600,000 | 571,224 | |
University of North Dakota COPS, Infrastructure Energy Improvement, 5.00%, 4/01/48 | 500,000 | 537,019 | |
Watford City North Dakota State Aid Certificates Indebtedness Revenue Refunding Bonds (AGM Insured), 3.00%, 12/01/23 | 800,000 | 800,630 | |
1,908,873 | |||
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 | 376,835 | |
5.00%, 11/15/27 | 370,000 | 401,767 | |
Allen County Ohio Hospital Facilities Revenue Refunding Bonds, Bon Secours Mercy Health, Inc., 5.00%, 12/01/28 | 400,000 | 446,476 |
Par | Value | ||
Ohio (Continued) | |||
Buckeye Tobacco Settlement Financing Authority Revenue Refunding Bonds, Senior-Class 2, Series B-2, 5.00%, 6/01/55 | $900,000 | $875,254 | |
Cleveland-Cuyahoga County Port Authority Cultural Facilities Revenue Refunding Bonds, Playhouse Square Foundation Project, 5.50%, 12/01/43 | 175,000 | 183,947 | |
Cleveland-Cuyahoga County Port Authority Cultural Facility Revenue Bonds, Cleveland Museum Of Natural History Project, | |||
5.00%, 7/01/25 | 125,000 | 133,510 | |
5.00%, 7/01/26 | 125,000 | 135,521 | |
5.00%, 7/01/27 | 125,000 | 137,121 | |
5.00%, 7/01/28 | 155,000 | 171,526 | |
Cleveland-Cuyahoga County Port Authority Euclid Avenue Development Corp., Revenue Refunding Bonds, 5.00%, 8/01/23 | 370,000 | 381,971 | |
Cleveland-Cuyahoga County Port Authority Financing Senior Tax Allocation Increment Revenue Refunding Bonds, Flats East Bank Project, 4.00%, 12/01/55(e) | 250,000 | 209,161 | |
Conotton Valley Union Local School District COPS, School Facilities Project (FHLMC Insured), 4.00%, 12/01/42 | 500,000 | 512,331 | |
Franklin County Convention Facilities Authority Hotel Project Revenue Bonds, Greater Columbus Convention Center, | |||
5.00%, 12/01/34 | 170,000 | 176,081 | |
5.00%, 12/01/36 | 305,000 | 314,628 | |
Hamilton County Hospital Facilities Revenue Bonds, Cincinnati Children's Hospital Project, 5.00%, 11/15/41 | 250,000 | 286,461 | |
Marion County Health Care Facilities Revenue Refunding Bonds, United Church Homes, Inc., 5.12%, 12/01/49 | 100,000 | 99,925 |
Par | Value | ||
Ohio (Continued) | |||
Miami Valley Career Technology Center GO Unlimited Bonds, 4.00%, 12/01/37 | $250,000 | $ 262,078 | |
Middleburg Heights Hospital Revenue Refunding Bonds, Southwest General Health Center, 4.00%, 8/01/41 | 500,000 | 492,450 | |
Ohio State Air Quality Development Authority Revenue Refunding Bonds (AMT), American Electric Power Company Project, 2.10%, 10/01/24(b)(c)(d) | 500,000 | 484,883 | |
Ohio State Air Quality Development Authority Revenue Refunding Bonds, Ohio Valley Electric Corp., 3.25%, 9/01/29 | 50,000 | 46,465 | |
Ohio State Higher Educational Facilities Commission Revenue Refunding Bonds, Xavier University 2020 Project, 5.00%, 5/01/35 | 880,000 | 968,998 | |
Ohio State Higher Educational Facility Commission Revenue Refunding Bonds, Otterbein University 2022 Project, 4.00%, 12/01/46 | 500,000 | 473,630 | |
Ohio State Hospital Revenue Refunding Bonds, Premier Health Partners Obligated Group, 5.00%, 11/15/26 | 145,000 | 157,137 | |
United Local School District COPS (BAM Insured), 3.00%, 12/01/23 | 330,000 | 333,158 | |
8,061,314 | |||
Oklahoma – 1.8% | |||
Bryan County School Finance Authority Educational Facilities Lease Revenue Refunding Bonds, Durant Public Schools Project, 4.00%, 12/01/23 | 620,000 | 635,088 | |
Carter County Public Facilities Authority Educational Facilities Lease Revenue Bonds, 5.00%, 9/01/27 | 500,000 | 540,613 |
Par | Value | ||
Oklahoma (Continued) | |||
Kingfisher Special Projects Authority Educational Facilities Lease Revenue Bonds, Kingfisher Public Schools Project, 4.00%, 3/01/24 | $ 600,000 | $ 615,690 | |
Mcintosh County Educational Facilities Authority Lease Revenue Bonds, Checotah Public Schools Project, 2.00%, 9/01/23 | 300,000 | 296,665 | |
Muskogee Industrial Trust Educational Lease Revenue Bonds, Muskogee Public Schools Project, 5.00%, 9/01/23 | 900,000 | 927,504 | |
Oklahoma County Finance Authority Revenue Refunding Bonds, Series A, Epworth Villa Project, 5.88%, 4/01/30 | 50,000 | 42,500 | |
Oklahoma State Development Finance Authority Revenue Refunding Bonds, Oklahoma City University Project, 5.00%, 8/01/24 | 590,000 | 611,312 | |
Osage County Industrial Authority Use Tax Revenue BANS, 2.00%, 9/01/23 | 1,500,000 | 1,480,411 | |
Tulsa County Industrial Authority Educational Facilities Lease Revenue Bonds, Berryhill Public Schools Project, 4.00%, 9/01/26 | 500,000 | 522,633 | |
Wagoner County School Development Authority Educational Facilities Lease Revenue Bonds, Wagoner Public Schools Project, 4.00%, 9/01/23 | 1,060,000 | 1,082,568 | |
6,754,984 | |||
Oregon – 1.3% | |||
Medford Hospital Facilities Authority Revenue Refunding Bonds, Series A, Asante Projects, 5.00%, 8/15/45 | 500,000 | 545,132 | |
Multnomah County Hospital Facilities Authority Revenue Refunding Bonds, Adventist Health System, 5.00%, 3/01/25(b)(c)(d) | 500,000 | 524,138 |
Par | Value | ||
Oregon (Continued) | |||
Multnomah County Hospital Facilities Authority Revenue Refunding Bonds, Terwilliger Plaza-Parkview Project, Green Bond Series, 0.95%, 6/01/27 | $ 500,000 | $ 439,435 | |
Multnomah County School District No. 1J Portland GO Unlimited Bonds (School Board Guaranty Program), 5.00%, 6/15/24 | 250,000 | 263,834 | |
Oregon State Facilities Authority Revenue Refunding Bonds, Series A, Legacy Health Project, 5.00%, 6/01/46 | 1,000,000 | 1,072,011 | |
Port of Morrow GO Limited Refunding Bonds, Series D, | |||
4.00%, 12/01/26 | 170,000 | 177,789 | |
4.00%, 12/01/27 | 240,000 | 251,693 | |
Port of Portland Airport Revenue Refunding Bonds, Portland International Airport, 5.00%, 7/01/40 | 615,000 | 681,666 | |
Port of Portland Airport Revenue Refunding Bonds, Portland International Airport (AMT), 5.00%, 7/01/25 | 750,000 | 792,428 | |
Salem Hospital Facility Authority Revenue Refunding Bonds, Capital Manor Project, | |||
5.00%, 5/15/24 | 110,000 | 113,428 | |
5.00%, 5/15/27 | 260,000 | 273,195 | |
5,134,749 | |||
Pennsylvania – 3.7% | |||
Allegheny County Sanitary Authority Revenue Bonds, Series B, 4.00%, 6/01/25 | 100,000 | 104,348 | |
Allentown Neighborhood Improvement Zone Development Authority Tax Revenue Refunding Bonds, Forward Delivery, 5.00%, 5/01/42 | 250,000 | 268,894 | |
Commonwealth Financing Authority Taxable Revenue Refunding Bonds, Series B-1, 5.00%, 6/01/26 | 300,000 | 321,781 |
Par | Value | ||
Pennsylvania (Continued) | |||
Cumberland County Municipal Authority Revenue Bonds, AICUP Financing Program-Messiah College Project, 3.15%, 4/30/24(b)(c)(d) | $ 500,000 | $ 500,000 | |
Cumberland County Municipal Authority Revenue Refunding Bonds, Asbury Pennsylvania Obligated, 4.50%, 1/01/40(e) | 185,000 | 172,985 | |
Lancaster County GO Unlimited Refunding Bonds, Series A, 4.00%, 11/01/25 | 275,000 | 286,379 | |
Laurel Highlands School District GO Limited Refunding Bonds (BAM State Aid Withholding), 4.00%, 2/01/26 | 350,000 | 365,703 | |
Lehigh County General Purpose Authority Revenue Refunding Bonds, Muhlenberg College Project, (SIFMA Municipal Swap Index Yield + 0.58%), 1.02%, 11/01/24(b)(d) | 435,000 | 434,363 | |
Luzerne County IDA Revenue Refunding Bonds (AMT), Pennsylvania-American Water Co., Project, 2.45%, 12/03/29(b)(c)(d) | 750,000 | 728,655 | |
Monroeville Finance Authority Revenue Bonds, 5.00%, 2/15/28 | 1,000,000 | 1,010,259 | |
Montgomery County IDA Revenue Bonds, Acts Retirement-Life Communities, 5.00%, 11/15/45 | 1,500,000 | 1,628,739 | |
Neshannock Township School District GO Limited Refunding Bonds, Series B (State Aid Withholding), 2.00%, 9/01/24 | 190,000 | 186,826 | |
Oil City GO Unlimited Bonds, Series A (AGM Insured), | |||
4.00%, 12/01/23 | 145,000 | 148,665 | |
4.00%, 12/01/24 | 150,000 | 155,244 | |
4.00%, 12/01/25 | 185,000 | 193,125 |
Par | Value | ||
Pennsylvania (Continued) | |||
Pennsylvania State Economic Development Financing Authority UPMC Revenue Bonds, Series A-1, | |||
5.00%, 4/15/24 | $1,200,000 | $1,257,116 | |
5.00%, 4/15/25 | 200,000 | 212,630 | |
4.00%, 4/15/45 | 500,000 | 492,393 | |
Pennsylvania State Higher Educational Facilities Authority Revenue Refunding Bonds, Thomas Jefferson University, 5.00%, 9/01/39 | 500,000 | 524,999 | |
Pennsylvania State Housing Finance Agency SFM Revenue Refunding Bonds (AMT), Series 125A, 2.37%, 10/01/25 | 820,000 | 804,628 | |
Pennsylvania State Turnpike Commission Turnpike Variable Revenue Refunding Bonds, Series B, (SIFMA Municipal Swap Index Yield + 0.70%), 1.14%, 12/01/23(d) | 500,000 | 500,327 | |
Pequea Valley School District GO Limited Bonds (State Aid Withholding), 2.00%, 5/15/23 | 175,000 | 174,859 | |
Philadelphia Airport Revenue Refunding Bonds, Series B (AMT), | |||
5.00%, 7/01/30 | 510,000 | 544,721 | |
5.00%, 7/01/33 | 400,000 | 422,297 | |
5.00%, 7/01/35 | 155,000 | 163,344 | |
Philadelphia Airport Revenue Refunding Bonds, Series C (AMT), 4.00%, 7/01/40 | 250,000 | 243,272 | |
Philadelphia Authority for Industrial Development Temple University Revenue Refunding Bonds, Series 1-2015, 5.00%, 4/01/33 | 400,000 | 424,509 | |
Philadelphia School District GO Limited Refunding Bonds, Series C (State Aid Withholding), 5.00%, 9/01/33 | 500,000 | 554,808 |
Par | Value | ||
Pennsylvania (Continued) | |||
Southcentral General Authority Revenue Bonds, York College of Pennsylvania Project, | |||
5.00%, 5/01/27 | $ 300,000 | $ 325,524 | |
5.00%, 5/01/28 | 215,000 | 235,625 | |
West Cornwall Township Municipal Authority Healthcare Facilities Revenue Refunding Bonds, Lebanon Valley Brethren Home Project, | |||
4.00%, 11/15/24 | 115,000 | 118,152 | |
4.00%, 11/15/25 | 115,000 | 118,905 | |
4.00%, 11/15/26 | 125,000 | 129,508 | |
4.00%, 11/15/27 | 130,000 | 134,767 | |
4.00%, 11/15/28 | 105,000 | 108,724 | |
13,997,074 | |||
Puerto Rico – 1.2% | |||
Puerto Rico Commonwealth Aqueduct & Sewer Authority Senior Lien Revenue Bonds, Series A, 5.25%, 7/01/42 | 815,000 | 819,849 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority Senior Lien Revenue Refunding Bonds, Series A, 5.00%, 7/01/30(e) | 250,000 | 268,431 | |
Puerto Rico Commonwealth Notes, 0.00%, 11/01/43(c)(d) | 269,868 | 140,331 | |
Puerto Rico Commonwealth Restructured GO Unlimited Bonds, Series A1, | |||
5.25%, 7/01/23 | 60,564 | 61,294 | |
5.38%, 7/01/25 | 160,394 | 165,688 | |
5.62%, 7/01/27 | 59,847 | 63,399 | |
5.63%, 7/01/29 | 1,058,875 | 1,139,092 | |
5.75%, 7/01/31 | 57,185 | 62,454 | |
4.00%, 7/01/33 | 54,226 | 50,286 | |
4.00%, 7/01/35 | 48,742 | 45,057 | |
4.00%, 7/01/37 | 41,833 | 37,586 | |
4.00%, 7/01/41 | 56,878 | 51,084 | |
4.00%, 7/01/46 | 59,153 | 51,811 | |
Puerto Rico Commonwealth Restructured GO Unlimited CABS, Series A, | |||
0.00%, 7/01/24(f) | 27,894 | 25,362 | |
0.00%, 7/01/33(f) | 69,785 | 39,815 |
Par | Value | ||
Puerto Rico (Continued) | |||
Puerto Rico Electric Power Authority Power Revenue Bonds, Series TT-RSA-1, 5.00%, 7/01/37(h) | $130,000 | $ 124,150 | |
Puerto Rico Electric Power Authority Power Revenue Refunding Bonds, Series ZZ-RSA-1, 5.25%, 7/01/23(h) | 175,000 | 168,000 | |
Puerto Rico Sales Tax Financing Corp., Restructured TRB, Series A-1, 4.75%, 7/01/53 | 527,000 | 533,140 | |
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue CABS, Series A-1, | |||
0.00%, 7/01/27(f) | 225,000 | 192,175 | |
0.00%, 7/01/31(f) | 500,000 | 371,058 | |
0.00%, 7/01/46(f) | 875,000 | 245,684 | |
4,655,746 | |||
Rhode Island – 0.2% | |||
Providence GO Unlimited Refunding Bonds, Series A, 5.00%, 1/15/25 | 200,000 | 210,676 | |
Rhode Island Commerce Corp., First Lien Special Facility Revenue Refunding Bonds, Rhode Island Airport Corp., International, 5.00%, 7/01/31 | 500,000 | 544,092 | |
754,768 | |||
South Carolina – 0.4% | |||
Connector 2000 Association, Inc. Toll Road Revenue CABS, Senior Series A-1, | |||
0.00%, 1/01/32(f) | 511,272 | 251,138 | |
0.00%, 1/01/42(f) | 228,148 | 51,576 | |
0.00%, 7/22/51(f) | 265,293 | 27,817 | |
South Carolina State Jobs EDA Hospital Revenue Refunding Bonds, Prisma Health Obligated Group, 5.00%, 5/01/38 | 400,000 | 435,675 | |
South Carolina State Jobs EDA Hospital Variable Revenue Bonds, Bon Secours Mercy Health, 5.00%, 10/01/25(b)(c)(d) | 850,000 | 917,129 | |
1,683,335 |
Par | Value | ||
South Dakota – 0.2% | |||
South Dakota State Board of Regents Housing & Auxiliary Facilities System Revenue Refunding Bonds, | |||
4.00%, 4/01/26 | $ 375,000 | $ 393,721 | |
4.00%, 4/01/27 | 425,000 | 449,219 | |
842,940 | |||
Tennessee – 0.8% | |||
Greeneville Health & Educational Facilities Board Revenue Refunding Bonds, Ballad Health Obligation Group, 5.00%, 7/01/31 | 140,000 | 143,040 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue Bonds, Vanderbilt University Medical Center, | |||
5.00%, 7/01/40 | 400,000 | 427,985 | |
5.00%, 7/01/46 | 500,000 | 530,574 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board Revenue Refunding Bonds, Trevecca Nazarene University, 3.00%, 10/01/24 | 320,000 | 315,405 | |
Metropolitan Nashville Airport Authority Subordinate Revenue Bonds, Series B (AMT), 5.00%, 7/01/39 | 1,000,000 | 1,076,198 | |
Tennergy Corp. Gas Revenue Bonds, Series A, 4.00%, 9/01/28(b)(c)(d) | 500,000 | 508,292 | |
3,001,494 | |||
Texas – 6.2% | |||
Arlington Higher Education Finance Corp. Revenue Bonds, Riverwalk Education Foundation (PSF, Gtd), 5.00%, 8/15/47 | 500,000 | 557,837 | |
Austin Airport System Revenue Bonds, Series A, 5.00%, 11/15/46 | 1,380,000 | 1,486,368 | |
Austin Convention Enterprises, Inc., Convention Center Revenue Refunding Bonds, First Tier, 5.00%, 1/01/32 | 625,000 | 649,829 |
Par | Value | ||
Texas (Continued) | |||
Board of Managers Joint Guadalupe County-City of Seguin Hospital Mortgage Revenue Refunding Bonds, 5.00%, 12/01/40 | $ 200,000 | $ 202,583 | |
Central Texas Regional Mobility Authority Revenue Bonds, Series C, 5.00%, 1/01/27 | 275,000 | 291,108 | |
Central Texas Regional Mobility Authority Senior Lien Revenue Refunding Bonds, Series A, 5.00%, 1/01/49 | 500,000 | 529,392 | |
Clifton Higher Education Finance Corp. Revenue Bonds, Series A, Idea Public School, 5.00%, 8/15/23 | 325,000 | 334,743 | |
Dallas Texas Hotel Occupancy Tax Revenue Refunding Bonds, 4.00%, 8/15/30 | 300,000 | 311,880 | |
Dallas Texas Housing Finance Corp., Estates at Shiloh Revenue Bonds, 1.25%, 7/01/23(b)(c)(d) | 500,000 | 494,546 | |
Dallas-Fort Worth International Airport Improvement Revenue Bonds, Series B, 5.00%, 11/01/44 | 350,000 | 354,270 | |
Dallas-Fort Worth International Airport Joint Improvement Revenue Bonds, Series C, 5.00%, 11/01/34 | 445,000 | 459,219 | |
Dallas-Fort Worth International Airport Joint Revenue Refunding Bonds, Series A (AMT), 5.25%, 11/01/30 | 1,100,000 | 1,135,552 | |
El Paso Texas Airport Revenue Bonds (AMT), 5.00%, 8/15/27 | 375,000 | 405,292 | |
Fort Bend Independent School District Variable GO Unlimited Refunding Bonds, Series B (PSF, Gtd), 0.72%, 8/01/26(b)(c)(d) | 1,000,000 | 907,339 | |
Grand Parkway Transportation Corp., System Toll Revenue Refunding Bonds, Grand Parkway System - First, 4.00%, 10/01/45 | 265,000 | 262,097 |
Par | Value | ||
Texas (Continued) | |||
Harris County Cultural Education Facilities Finance Corp., Variable Revenue Bonds, Memorial Hermann Health System, 5.00%, 12/01/24(b)(c)(d) | $1,000,000 | $1,057,172 | |
Harris County Cultural Educational Facilities Finance Corp., Revenue Refunding Bonds, Texas Children's Hospital, 4.00%, 10/01/38 | 350,000 | 352,099 | |
Houston Airport System Revenue Bonds, Subseries A (AMT), 5.00%, 7/01/25 | 500,000 | 528,285 | |
Houston Airport System Revenue Refunding Bonds (AMT), United Airlines, Inc., Improvement Projects, 5.00%, 7/15/27 | 175,000 | 185,300 | |
Houston Airport System Revenue Refunding Bonds (AMT), United Airlines, Inc., Terminal, 5.00%, 7/01/27 | 125,000 | 132,326 | |
Houston Airport System Subordinate Revenue Refunding Bonds, Series B, 5.00%, 7/01/26 | 500,000 | 543,107 | |
Houston Hotel Occupancy Tax & Special Revenue Refunding Bonds, Convention & Entertainment, | |||
4.00%, 9/01/23 | 185,000 | 189,257 | |
5.00%, 9/01/36 | 510,000 | 565,008 | |
Lower Colorado River Authority Transmission Contract Revenue Refunding Bonds, LCRA Transmission Services Corp. Project, 5.00%, 5/15/35 | 250,000 | 276,691 | |
Montgomery County Toll Road Authority Senior Lien Revenue Bonds, 5.00%, 9/15/37 | 500,000 | 519,881 | |
New Hope Cultural Educational Facilities Finance Corp., Retirement Facilities Revenue Refunding Bonds, Presbyterian Village North Project, 5.25%, 10/01/49 | 100,000 | 97,443 |
Par | Value | ||
Texas (Continued) | |||
New Hope Cultural Educational Facilities Finance Corp., Retirement Facilities Revenue Refunding Bonds, Westminster Manor Project, 5.00%, 11/01/31 | $ 250,000 | $ 262,853 | |
North Texas Tollway Authority Revenue Refunding Bonds, Series A, 5.00%, 1/01/26 | 70,000 | 72,731 | |
Northside Texas Independent School District GO Unlimited Refunding Bonds (PSF, Gtd), 1.60%, 8/01/24(b)(c)(d) | 345,000 | 337,047 | |
Northside Texas Independent School District Variable GO Unlimited Bonds (PSF, Gtd), 2.75%, 8/01/23(b)(c)(d) | 1,000,000 | 1,007,386 | |
Odessa Junior College District Consolidated Revenue Bonds (AGM Insured), 4.00%, 7/01/27 | 435,000 | 461,859 | |
Port Arthur Certificates GO Limited Bonds (BAM Insured), 5.00%, 2/15/27 | 345,000 | 379,321 | |
Port Beaumont Navigation District Dock & Wharf Facility Revenue Refunding Bonds (AMT), Jefferson Gulf Coast Energy Project, 4.00%, 1/01/50(e) | 375,000 | 313,695 | |
San Antonio Airport System Subordinate Lien Revenue Refunding Bonds, Series A (AMT), 5.00%, 7/01/30 | 250,000 | 272,833 | |
San Antonio Water Junior Lien Variable Revenue Bonds, Series A, 2.63%, 5/01/24(b)(d) | 1,125,000 | 1,124,977 | |
Tarrant County Cultural Educational Facilities Finance Corp., Revenue Refunding Bonds, Texas Health Resources System Obligation, | |||
5.00%, 2/15/34 | 400,000 | 433,642 | |
5.00%, 2/15/47 | 700,000 | 751,860 | |
Texas City Industrial Development Corp., Revenue Bonds, Series 2012, NRG Energy Project, 4.12%, 12/01/45 | 545,000 | 552,512 |
Par | Value | ||
Texas (Continued) | |||
Texas State PFA Lease Revenue Refunding Bonds, 4.00%, 2/01/36 | $ 250,000 | $ 263,461 | |
Texas State Private Activity Bond Surface Transportation Corp., Revenue Bonds (AMT), Segment 3C Project, 5.00%, 6/30/58 | 1,000,000 | 1,031,486 | |
Texas State Private Activity Bond Surface Transportation Corp., Senior Lien Revenue Bonds (AMT), Blueridge Transportation, | |||
5.00%, 12/31/45 | 500,000 | 522,166 | |
5.00%, 12/31/55 | 200,000 | 207,842 | |
Texas State Private Activity Bond Surface Transportation Corp., Senior Lien Revenue Refunding Bonds, North Tarrant Express, 4.00%, 12/31/38 | 750,000 | 751,166 | |
Texas State Transportation Commission Central Turnpike System Revenue Refunding Bonds, Series A, 5.00%, 8/15/39 | 750,000 | 837,674 | |
Texas State Transportation Commission Central Turnpike System Subordinate Revenue Refunding Bonds, Series C, 5.00%, 8/15/42 | 100,000 | 102,856 | |
Texas State Transportation Commission First Tier Toll Revenue Bonds, State Highway, 5.00%, 8/01/57 | 100,000 | 104,291 | |
Texas State Transportation Commission First Tier Toll Revenue CABS, 0.00%, 8/01/29(f) | 480,000 | 360,445 | |
Texas State Water Development Board Revenue Bonds, State Water Implementation Fund, 4.00%, 10/15/38 | 510,000 | 530,473 | |
23,511,200 | |||
Utah – 0.2% | |||
Salt Lake City Airport Revenue Bonds, Series A (AMT), 5.00%, 7/01/47 | 805,000 | 844,814 |
Par | Value | ||
Virginia – 3.8% | |||
Botetourt County Residential Care Facility Revenue Refunding Bonds, Series A, Glebe, Inc., 4.75%, 7/01/23 | $ 120,000 | $ 121,551 | |
Chesapeake Bay Bridge & Tunnel District Revenue Bonds, First Tier General Resolution (AGM Insured), 5.00%, 7/01/41 | 1,000,000 | 1,057,413 | |
Chesapeake Bay Bridge & Tunnel District Revenue First Tier General Resolution Revenue BANS, 5.00%, 11/01/23 | 1,000,000 | 1,032,696 | |
Chesapeake Bay Bridge & Tunnel District Revenue First Tier General Resolution Revenue Bonds, 5.00%, 7/01/51 | 750,000 | 779,822 | |
Chesapeake Hospital Authority Hospital Facilities Revenue Refunding Bonds, Chesapeake Regional Medical Center, 5.00%, 7/01/31 | 500,000 | 554,113 | |
Chesapeake Transportation System Senior Toll Road Revenue Bonds, Series A, 5.00%, 7/15/47 | 500,000 | 501,922 | |
Fairfax County EDA Residential Care Facilities Revenue Bonds, Series A, Vinson Hall LLC, Prerefunded, 5.00%, 12/01/23(a) | 200,000 | 208,356 | |
Fairfax County EDA Residential Care Facilities Revenue Refunding Bonds, Series A, Goodwin House, Inc., 5.00%, 10/01/36 | 150,000 | 158,057 | |
Fairfax County EDA Revenue Refunding Bonds, Wiehle Avenue Metrorail Station, 5.00%, 8/01/33 | 1,000,000 | 1,152,092 | |
Fairfax County IDA Health Care Revenue Bonds, Inova Health System, 4.00%, 5/15/42 | 250,000 | 250,234 | |
Fairfax County IDA Health Care Revenue Refunding Bonds, Inova Health System, 5.00%, 5/15/23(b)(c)(d) | 500,000 | 514,645 |
Par | Value | ||
Virginia (Continued) | |||
Fairfax County Water Authority Revenue Refunding Bonds, 5.00%, 4/01/45 | $ 500,000 | $ 545,787 | |
Hampton Roads Transportation Accountability Commission Senior Lien Revenue Bonds, Series A, Prerefunded, 5.50%, 1/01/28(a) | 300,000 | 342,964 | |
James City County EDA Residential Care Facilities Variable Revenue Bonds, United Methodist Home, Prerefunded, 6.00%, 6/01/23(a) | 101,741 | 105,456 | |
Louisa Industrial Development Authority Pollution Control Variable Revenue Bonds, Series 2008A, Virginia Electric, 1.90%, 6/01/23(b)(c)(d) | 1,000,000 | 992,894 | |
Newport News Economic Development Authority Residential Care Facilities Revenue Refunding Bonds, Lifespire of Virginia, 5.00%, 12/01/38 | 560,000 | 569,508 | |
University of Virginia Revenue Refunding Bonds, Series A, 5.00%, 4/01/47 | 500,000 | 545,558 | |
Virginia Small Business Financing Authority Private Activity Revenue Bonds (AMT), Transform 66 P3 Project, 5.00%, 12/31/56 | 165,000 | 169,262 | |
Virginia State Small Business Financing Authority Senior Lien Revenue Bonds (AMT), Elizabeth River Crossings OpCo, LLC Project, | |||
5.00%, 1/01/27 | 250,000 | 251,346 | |
1/01/37 (g) | 660,000 | 649,237 | |
5.50%, 1/01/42 | 1,500,000 | 1,509,277 | |
Virginia State Small Business Financing Authority Senior Lien Revenue Refunding Bonds (AMT), 95 Express Lanes, | |||
5.00%, 7/01/38 | 645,000 | 691,124 | |
4.00%, 1/01/40 | 280,000 | 268,556 | |
4.00%, 1/01/48 | 225,000 | 209,664 |
Par | Value | ||
Virginia (Continued) | |||
Virginia State Small Business Financing Authority Senior Lien Revenue Refunding Bonds (AMT), I-495 Hot Lanes, 5.00%, 12/31/47 | $ 350,000 | $ 373,203 | |
York County EDA PCR Bonds, Series A, Electric & Power, 1.90%, 6/01/23(b)(c)(d) | 1,000,000 | 992,894 | |
14,547,631 | |||
Washington – 2.9% | |||
Central Puget Sound Regional Transit Authority Sales & Use Tax Improvement Revenue Refunding Bonds, Series S-1, Green Bond, Prerefunded, 5.00%, 11/01/25(a) | 1,000,000 | 1,084,206 | |
Energy Electric Revenue Refunding Bonds, Columbia Generating Station, 5.00%, 7/01/36 | 1,200,000 | 1,353,527 | |
King County Public Hospital District No. 1 GO Limited Tax Refunding Bonds, Valley Medical Center, 5.00%, 12/01/26 | 550,000 | 604,793 | |
King County School District No. 210 Federal Way GO Unlimited Bonds (School Board Guaranty Program), 4.00%, 12/01/33 | 500,000 | 529,363 | |
King County Sewer Revenue Refunding Bonds, 5.00%, 7/01/42 | 250,000 | 272,741 | |
Port of Seattle Airport Intermediate Lien Revenue Bonds (AMT), | |||
5.00%, 4/01/32 | 490,000 | 535,960 | |
5.00%, 4/01/44 | 500,000 | 537,631 | |
Port of Seattle Airport Intermediate Lien Subordinate Revenue Refunding Bonds, Series B (AMT), 5.00%, 8/01/23 | 600,000 | 604,053 | |
Seattle Housing Authority Revenue Refunding Bonds, Northgate Plaza Project, 1.00%, 6/01/26 | 500,000 | 465,992 | |
Seattle Municipal Light & Power Revenue Refunding Bonds, 4.00%, 9/01/40 | 500,000 | 510,349 |
Par | Value | ||
Washington (Continued) | |||
Seattle Municipal Light & Power Variable Revenue Refunding Bonds, Series B, (SIFMA Municipal Swap Index Yield + 0.25%), 0.69%, 11/01/26(b)(d) | $ 750,000 | $ 742,854 | |
Washington State GO Unlimited Bonds, Series C, | |||
5.00%, 2/01/26 | 350,000 | 380,681 | |
5.00%, 2/01/40 | 2,000,000 | 2,246,114 | |
Washington State Health Care Facilities Authority Revenue Bonds, Series A, Providence Health & Services, 4.00%, 10/01/34 | 500,000 | 500,966 | |
Washington State Health Care Facilities Authority Revenue Refunding Bonds, Series B, Commonspirit Health, 5.00%, 8/01/26(b)(c)(d) | 615,000 | 658,446 | |
Washington State Higher Educational Facilities Authority Revenue Bonds, Seattle University Project, 4.00%, 5/01/50 | 250,000 | 243,592 | |
11,271,268 | |||
Wisconsin – 1.8% | |||
Clayton Town NANS, Series B, | |||
2.00%, 6/01/24 | 100,000 | 96,880 | |
2.00%, 6/01/25 | 225,000 | 213,879 | |
Milwaukee Corp., Purpose GO Unlimited Bonds, Series B3, 4.00%, 4/01/26 | 1,000,000 | 1,028,345 | |
Park Falls NANS, Series B, 3.00%, 3/01/25 | 975,000 | 977,779 | |
PFA Education Revenue Bonds, North Carolina Leadership Academy, 5.00%, 6/15/49(e) | 100,000 | 101,630 | |
PFA Educational Revenue Bonds, Piedmont Community Charter School, | |||
5.00%, 6/15/39 | 490,000 | 505,353 | |
5.00%, 6/15/49 | 150,000 | 152,712 | |
PFA Exempt Facilities Revenue Refunding Bonds (AMT), National Gypsum Co., 4.00%, 8/01/35 | 370,000 | 335,455 |
Par | Value | ||
Wisconsin (Continued) | |||
PFA Hospital Revenue Refunding Bonds, Series A, WakeMed Hospital, 4.00%, 10/01/49 | $ 500,000 | $ 486,389 | |
PFA Revenue Bonds, Roseman University of Health System, 5.00%, 4/01/50(e) | 250,000 | 255,394 | |
Wisconsin Center District Appropriation Revenue Bonds, Milwaukee Arena Project, 5.00%, 12/15/27 | 200,000 | 219,046 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Beloit Health System, Inc., 5.00%, 7/01/23 | 645,000 | 665,740 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Benevolent Corp., Cedar Community, 5.00%, 6/01/41 | 250,000 | 251,030 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Series B1, Ascension Health Credit Group, 5.00%, 11/15/39 | 350,000 | 374,571 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Series B5, 5.00%, 12/03/24(b)(c)(d) | 1,000,000 | 1,059,588 | |
6,723,791 | |||
Total Municipal Bonds (Cost $348,095,486) | 329,027,350 |
Number of Shares | |||
Investment Companies – 0.1% | |||
iShares National Muni Bond ETF | 4,205 | 448,757 | |
Total Investment Companies (Cost $477,537) | 448,757 |
Par/Number of Shares | Value | ||
Short-Term Investments – 13.7% | |||
Money Market Fund – 3.4% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.18%(i) | 13,049,716 | $13,049,716 | |
Municipal Bonds – 10.3% | |||
Arizona Board of Regents Refunding COPS, Series C, University of Arizona, Prerefunded, 5.00%, 6/01/22(a) | 400,000 | 401,196 | |
Atlantic City Board Of Education GO Unlimited Refunding Bonds (AGM School Board Resource Fund Insured), 4.00%, 4/01/23 | 300,000 | 305,281 | |
Bartow County Development Authority Revenue Bonds, Georgia Power Company Plant Bowen Project, 1.55%, 8/19/22(b)(c)(d) | 500,000 | 498,844 | |
Bartow County Development Authority Variable Revenue Refunding Bonds, Georgia Power Company Plant Bowen Project, 2.75%, 3/15/23(b)(c)(d) | 500,000 | 499,971 | |
Burke County Development Authority PCR Refunding Bonds, Georgia Power Company Plant Vogtle Project, 1.55%, 8/19/22(b)(c)(d) | 100,000 | 99,769 | |
California State Statewide Communities Development Authority MFH Variable Revenue Bonds, Series W-1 (AMT), Irvine Apartment Communities Project (Wells Fargo Bank LOC), 0.28%, 5/02/22(b)(d)(j) | 4,000,000 | 4,000,000 | |
Central Plains Energy Gas Project Revenue Bonds, Project No. 3, 5.00%, 9/01/22 | 500,000 | 505,161 | |
Central Regional Mobility Authority Senior Lien Revenue Refunding Bonds, Series A, Prerefunded, 5.00%, 1/01/23(a) | 635,000 | 648,454 | |
Chicago GO Unlimited Refunding Bonds, Series A, 5.00%, 1/01/23 | 400,000 | 406,185 |
Par/Number of Shares | Value | ||
Municipal Bonds (Continued) | |||
Davie Educational Facilities Revenue Bonds, Series B, Nova Southeastern University Project , Prerefunded, 5.00%, 4/01/23(a) | 250,000 | $ 256,668 | |
Detroit Downtown Development Authority Tax Allocation Increment Revenue Refunding Bonds, Series A, Catalyst Development Project (AGM Insured), 5.00%, 7/01/22 | 500,000 | 502,939 | |
Director of the State of Nevada Department of Business & Industry Variable Revenue Bonds (AMT), Brightline Passenger, 0.85%, 1/26/23(b)(c)(d)(e) | 2,500,000 | 2,477,399 | |
East Vincent GO Unlimited Refunding Bonds, 2.00%, 12/01/22 | 200,000 | 200,331 | |
Energy Northwest Electric Revenue Refunding Bonds, Columbia Generating Station, 5.00%, 7/01/22 | 250,000 | 251,511 | |
Hampton Roads Transportation Accountability Commission Revenue BANS, Series A, 5.00%, 7/01/22 | 750,000 | 754,397 | |
Harris County Cultural Education Facilities Finance Corp., Variable Revenue Bonds, Memorial Hermann Health System, 5.00%, 12/01/22(b)(c)(d) | 100,000 | 102,005 | |
Harris County HFDC Variable Revenue Refunding Bonds, Methodist Hospital System A-2, 0.30%, 5/02/22(b)(d)(j) | 545,000 | 545,000 | |
Houston Airport System Revenue Refunding Bonds, Subseries D, 5.00%, 7/01/22 | 405,000 | 407,308 | |
Houston Hotel Occupancy Tax & Special Revenue Refunding Bonds, Convention & Entertainment, 4.00%, 9/01/22 | 180,000 | 181,458 |
Par/Number of Shares | Value | ||
Municipal Bonds (Continued) | |||
Illinois State Finance Authority Revenue Refunding Bonds, Series C, Presence Health Network, 5.00%, 2/15/23 | 500,000 | $511,052 | |
Illinois State Finance Authority Revenue Refunding Bonds, Smith Crossing, 4.00%, 10/15/22 | 165,000 | 165,677 | |
Indiana State Finance Authority Revenue Refunding Bonds, Valparaiso University Project, 5.00%, 10/01/22 | 265,000 | 268,099 | |
Indianola GO Unlimited Capital Loan Notes, 3.00%, 6/01/22 | 180,000 | 180,250 | |
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 | 495,557 | |
Kentucky State Housing Corp., Revenue Bonds, City View Park Project, 1.16%, 8/01/22(b)(c)(d) | 1,000,000 | 996,822 | |
Lehigh County IDA Revenue Refunding Bonds, PPL Electric Utilities Corp., Project, 1.80%, 8/15/22(b)(c)(d) | 330,000 | 329,451 | |
Libertyville GO Unlimited Refunding Bonds, Series A, 3.00%, 12/15/22 | 235,000 | 236,715 | |
Louisiana State Offshore Terminal Authority Deepwater Port Variable Revenue Bonds, Loop LLC Project, 2.00%, 10/01/22(b)(c)(d) | 515,000 | 514,612 | |
Louisiana State Public Facilities Authority Revenue Refunding CABS, Loyola University Project, 0.00%, 10/01/22(f) | 300,000 | 296,080 | |
Maryland State Economic Development Corp., PCR Refunding Bonds, Potomac Electric Power Company, 1.70%, 9/01/22 | 500,000 | 499,769 |
Par/Number of Shares | Value | ||
Municipal Bonds (Continued) | |||
Massachusetts State Department of Transportation Metropolitan Highway System Variable Revenue Refunding Bonds, Series A, 5.00%, 1/01/23(b)(c)(d) | 1,600,000 | $1,626,555 | |
Massachusetts State Development Finance Agency Variable Revenue Refunding Bonds, Partners Healthcare, (SIFMA Municipal Swap Index Yield + 0.00%), 0.94%, 1/26/23(b)(d) | 500,000 | 499,485 | |
Memphis-Shelby County Airport Authority Revenue Refunding Bonds, Series B (AMT), 5.00%, 7/01/22 | 400,000 | 402,049 | |
Metropolitan Transportation Authority Revenue BANS, Series A-1, 5.00%, 2/01/23 | 750,000 | 763,262 | |
Metropolitan Transportation Authority Revenue BANS, Series D1, 5.00%, 9/01/22 | 965,000 | 974,927 | |
Metropolitan Transportation Authority Transportation Revenue Refunding Bonds, Series B, Green Bonds, Climate, 4.00%, 11/15/22 | 730,000 | 737,504 | |
Michigan State Finance Authority Revenue Refunding Bonds, Trinity Health Corp., Prerefunded, 5.00%, 6/01/22(a) | 215,000 | 215,643 | |
Michigan State Finance Authority Variable Revenue Bonds, Bronson Healthcare Group, 3.50%, 11/15/22(b)(c)(d) | 250,000 | 252,257 | |
Mission Economic Development Corp. Solid Waste Disposal Variable Refunding Revenue (AMT), Waste Management, Inc. Project, 1.00%, 6/01/22(b)(c)(d) | 600,000 | 599,616 |
Par/Number of Shares | Value | ||
Municipal Bonds (Continued) | |||
Mississipi Hospital Equipment & Facilities Authority Adjustable Revenue Refunding Bonds, Baptist Memorial Health Care, 0.20%, 9/01/22(b)(c)(d) | 1,000,000 | $ 994,374 | |
Missouri State Health & Educational Facilities Authority Educational Facilities Revenue Refunding Bonds, A.T. Still University Health Science, 5.00%, 10/01/22 | 725,000 | 734,682 | |
New Jersey State Economic Development Authority Private Activity Revenue Bonds (AMT), 5.00%, 7/01/22 | 1,050,000 | 1,053,880 | |
New Jersey State Transportation Trust Fund Authority Transportation System Revenue Bonds, Series A, 5.25%, 12/15/22 | 1,000,000 | 1,021,212 | |
New Jersey State Turnpike Authority Revenue Bonds, Series B, Prerefunded, 5.00%, 1/01/23(a) | 135,000 | 137,905 | |
New York City Housing Development Corp., MFH Revenue Bonds, Series C-2-A, 2.35%, 7/01/22 | 380,000 | 380,166 | |
New York State Mortgage Agency Homeowner Mortgage Revenue Refunding Bonds, Series 214 (AMT), 2.90%, 10/01/22 | 140,000 | 140,528 | |
North Carolina Capital Facilities Finance Agency Educational Facilities Revenue Refunding Bonds, High Point University, 3.00%, 5/01/22 | 270,000 | 270,000 | |
Oil City GO Unlimited Bonds, Series A (AGM Insured), 3.00%, 12/01/22 | 100,000 | 100,715 | |
Pennsylvania State Economic Development Financing Authority Solid Waste Disposal Revenue Bonds (AMT), Republic Services, Inc. Project, 2.00%, 7/15/22(b)(d) | 2,700,000 | 2,700,424 |
Par/Number of Shares | Value | ||
Municipal Bonds (Continued) | |||
Pennsylvania State Housing Finance Agency Special Limited Obligation MFH Revenue Bonds, Norris Homes Phase V, 1.40%, 1/01/23(b)(c)(d) | 1,000,000 | $ 993,998 | |
Pequea Valley School District GO Limited Bonds (State Aid Withholding), 1.00%, 5/15/22 | 225,000 | 224,978 | |
Plainfield GO Unlimited BANS, 1.00%, 8/16/22 | 1,000,000 | 998,447 | |
Princeton Hospital Revenue Refunding Bonds, Princeton Community Hospital Project, 5.00%, 5/01/22 | 500,000 | 500,000 | |
Saint John The Baptist Parish Revenue Refunding Bonds, Marathon Oil Corp., Project, 2.00%, 4/01/23(b)(d) | 600,000 | 592,942 | |
Sand Creek Metropolitan District GO Limited Refunding Bonds, Series A (AGM Insured), 4.00%, 12/01/22 | 125,000 | 126,645 | |
Seattle Municipal Light & Power Variable Revenue Refunding Bonds, (SIFMA Municipal Swap Index Yield + 0.35%), 0.79%, 11/01/22(d) | 900,000 | 900,143 | |
Spotsylvania County EDA Housing Revenue Bonds, Palmers Creek Apartments Project (FHA 221(D4) GNMA Insured), 0.65%, 8/01/22(c)(d) | 2,000,000 | 1,991,423 | |
Troy GO Limited BANS, 1.50%, 7/29/22 | 1,000,000 | 1,000,143 | |
Virginia State Small Business Financing Authority Senior Lien Revenue Bonds (AMT), Elizabeth River Crossings OpCo, LLC Project, 4.50%, 1/01/23 | 135,000 | 135,619 | |
Washington State Higher Educational Facilities Authority Revenue Bonds, Seattle University Project, 5.00%, 5/01/22 | 215,000 | 215,000 |
Par/Number of Shares | Value | ||
Municipal Bonds (Continued) | |||
Wilkes-Barre Area School District GO Limited Bonds (BAM State Aid Withholding), 5.00%, 4/15/23 | 200,000 | $ 205,182 | |
Wisconsin State Transportation Revenue Refunding Bonds, Series 1, Prerefunded, 4.50%, 7/01/22(a) | 400,000 | 402,097 | |
39,429,762 | |||
Total Short-Term Investments (Cost $52,552,854) | 52,479,478 | ||
Total Investments – 100.0% (Cost $401,125,877) | 381,955,585 | ||
Other Assets less Liabilities – 0.0% | 14,237 | ||
NET ASSETS – 100.0% | $381,969,822 |
Percentages shown are based on Net Assets. |
(a) | Maturity date represents the prerefunded date. | ||
(b) | Maturity date represents the puttable date. | ||
(c) | These securities are remarketed by an agent, and the interest rate is determined by general market conditions and supply and demand. | ||
(d) | Variable rate security. Rate as of April 30, 2022 is disclosed. | ||
(e) | 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. | ||
(f) | Zero coupon bond. | ||
(g) | When-Issued Security. Coupon rate was not yet in effect at April 30, 2022. | ||
(h) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. | ||
(i) | 7-day current yield as of April 30, 2022 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: | |
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 |
HFA | Housing Finance Authority |
HFDC | Health Facility Development Corporation |
IBC | Insured Bond Certificates |
IDA | Industrial Development Authority |
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 |
SOFR | United States Secured Overnight Financing Rate |
SonyMA | State of New York Mortgage Agency |
TCRS | Transferable Custodial Receipts |
TRB | Tax Revenue Bonds |
Municipal Issue Type (%)(a),(b) | |
Revenue Bonds | 81.0 |
General Obligation Unlimited Bonds | 9.3 |
General Obligation Limited Bonds | 2.8 |
Certificates of Participation | 1.3 |
Revenue Notes | 0.9 |
Tax Allocation Bonds | 0.3 |
General Obligation Limited Notes | 0.3 |
General Obligation Unlimited Notes | 0.3 |
Special Assessment Bonds | 0.2 |
Special Tax Bonds | 0.1 |
Total | 96.5 |
(a)Percentages shown are based on Net Assets. |
(b)Excludes Investment Companies, Short-Term Money Market Fund Investments and Other. |
Sector Diversification (%)(a) | |
General | 15.7 |
Medical | 14.1 |
Transportation | 11.3 |
General Obligation | 9.4 |
Airport | 7.4 |
Higher Education | 6.4 |
Development | 5.7 |
All other sectors less than 5% | 30.0 |
Total | 100.0 |
(a)Percentages shown are based on Net Assets. |
Morningstar Municipal Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Municipal Bonds | $ — | $329,027,350 | $— | $329,027,350 |
Investment Companies | 448,757 | — | — | 448,757 |
Short-Term Investments | 13,049,716 | 39,429,762 | — | 52,479,478 |
Total Investments | $13,498,473 | $368,457,112 | $— | $381,955,585 |
Par | Value | ||
Asset-Backed Securities – 35.9% | |||
Automobile – 8.4% | |||
American Credit Acceptance Receivables Trust, | |||
Series 2021-4, Class B, 0.86%, 2/13/26(a) | $ 81,000 | $ 78,465 | |
Series 2022-1, Class B, 1.68%, 9/14/26(a) | 189,000 | 182,040 | |
Series 2021-4, Class C, 1.32%, 2/14/28(a) | 296,000 | 281,716 | |
Series 2022-1, Class C, 2.12%, 3/13/28(a) | 389,000 | 370,510 | |
AmeriCredit Automobile Receivables Trust, Series 2021-3, Class A3, 0.76%, 8/18/26 | 189,000 | 183,576 | |
BMW Vehicle Lease Trust, Series 2022-1, Class A4, 1.23%, 5/27/25 | 255,000 | 243,967 | |
CarMax Auto Owner Trust, Series 2022-1, Class A3, 1.47%, 12/15/26 | 519,000 | 497,995 | |
Chesapeake Funding II LLC, Series 2020-1A, Class C, 2.14%, 8/15/32(a) | 159,000 | 157,036 | |
Drive Auto Receivables Trust, | |||
Series 2021-3, Class B, 1.11%, 5/15/26 | 625,000 | 608,574 | |
Series 2021-3, Class C, 1.47%, 1/15/27 | 625,000 | 594,335 | |
Series 2021-2, Class C, 0.87%, 10/15/27 | 417,000 | 399,027 | |
DT Auto Owner Trust, | |||
Series 2021-3A, Class B, 0.58%, 11/17/25(a) | 170,000 | 164,294 | |
Series 2021-4A, Class B, 1.02%, 5/15/26(a) | 116,000 | 110,522 | |
Series 2021-3A, Class C, 0.87%, 5/17/27(a) | 149,000 | 140,934 | |
Series 2021-4A, Class C, 1.50%, 9/15/27(a) | 116,000 | 109,585 | |
Series 2022-1A, Class C, 2.96%, 11/15/27(a) | 162,000 | 157,508 | |
Enterprise Fleet Financing LLC, Series 2021-3, Class A2, 0.77%, 8/20/27(a) | 488,000 | 471,389 | |
Exeter Automobile Receivables Trust, | |||
Series 2021-4A, Class B, 1.05%, 5/15/26 | 367,000 | 357,588 | |
Series 2021-4A, Class C, 1.46%, 10/15/27 | 356,000 | 337,260 |
Par | Value | ||
Automobile (Continued) | |||
Flagship Credit Auto Trust, | |||
Series 2021-4, Class B, 1.49%, 2/15/27(a) | $ 73,000 | $ 69,105 | |
Series 2021-2, Class C, 1.27%, 6/15/27(a) | 150,000 | 140,186 | |
Ford Credit Auto Lease Trust, | |||
Series 2021-B, Class B, 0.66%, 1/15/25 | 178,000 | 170,096 | |
Series 2021-B, Class C, 0.90%, 5/15/26 | 176,000 | 167,193 | |
Ford Credit Auto Owner Trust, Series 2022-A, Class A3, 1.29%, 6/15/26 | 279,000 | 269,529 | |
GM Financial Consumer Automobile Receivables Trust, | |||
Series 2020-3, Class C, 1.37%, 1/16/26 | 50,000 | 48,341 | |
Series 2022-1, Class A3, 1.26%, 11/16/26 | 244,000 | 234,328 | |
Hertz Vehicle Financing LLC, Series 2021-1A, Class A, 1.21%, 12/26/25(a) | 626,000 | 588,038 | |
Honda Auto Receivables Owner Trust, Series 2021-4, Class A3, 0.88%, 1/21/26 | 379,000 | 365,796 | |
Hyundai Auto Lease Securitization Trust, Series 2022-A, Class A4, 1.32%, 12/15/25(a) | 300,000 | 287,969 | |
Hyundai Auto Receivables Trust, Series 2021-C, Class A3, 0.74%, 5/15/26 | 250,000 | 239,115 | |
Prestige Auto Receivables Trust, | |||
Series 2021-1A, Class B, 1.19%, 4/15/26(a) | 323,000 | 307,612 | |
Series 2021-1A, Class C, 1.53%, 2/15/28(a) | 116,000 | 107,812 | |
Santander Drive Auto Receivables Trust, Series 2021-4, Class C, 1.26%, 2/16/27 | 518,000 | 493,755 | |
Santander Retail Auto Lease Trust, | |||
Series 2022-A, Class A3, 1.34%, 7/21/25(a) | 262,000 | 252,161 | |
Series 2022-A, Class A4, 1.42%, 1/20/26(a) | 157,000 | 149,643 | |
Series 2022-A, Class B, 1.61%, 1/20/26(a) | 86,000 | 81,901 |
Par | Value | ||
Automobile (Continued) | |||
Volkswagen Auto Loan Enhanced Trust, Series 2021-1, Class A3, 1.02%, 6/22/26 | $449,000 | $ 432,891 | |
Westlake Automobile Receivables Trust, | |||
Series 2021-1A, Class C, 0.95%, 3/16/26(a) | 272,000 | 263,603 | |
Series 2021-2A, Class C, 0.89%, 7/15/26(a) | 406,000 | 386,942 | |
Series 2021-3A, Class B, 1.29%, 1/15/27(a) | 599,000 | 577,839 | |
Series 2021-3A, Class C, 1.58%, 1/15/27(a) | 598,000 | 575,329 | |
Series 2022-1A, Class C, 3.11%, 3/15/27(a) | 448,000 | 436,225 | |
World Omni Auto Receivables Trust, Series 2020-C, Class C, 1.39%, 5/17/27 | 50,000 | 47,447 | |
12,139,177 | |||
Other – 27.5% | |||
ABPCI Direct Lending Fund ABS I Ltd., Series 2020-1A, Class B, 4.94%, 12/20/30(a)(b) | 891,000 | 887,675 | |
ABPCI Direct Lending Fund ABS II LLC, | |||
Series 2022-2A, Class A1, (3M CME Term SOFR + 2.10%, 2.10% Floor), 2.37%, 3/01/32(a)(b)(c)(d) | 224,000 | 224,000 | |
Series 2022-2A, Class C, 8.24%, 3/01/32(a)(b)(c) | 935,000 | 925,650 | |
ABPCI Direct Lending Fund CLO II LLC, Series 2017-1A, Class ER, (3M USD LIBOR + 7.60%, 7.60% Floor), 8.66%, 4/20/32(a)(d) | 746,000 | 727,504 | |
ABPCI Direct Lending Fund CLO X L.P., Series 2020-10A, Class A1A, (3M USD LIBOR + 1.95%, 1.95% Floor), 3.01%, 1/20/32(a)(d) | 250,000 | 249,642 | |
ABPCI Direct Lending Fund IX LLC, Series 2020-9A, Class A1R, (3M USD LIBOR + 1.40%, 1.40% Floor), 2.63%, 11/18/31(a)(d) | 378,000 | 373,616 |
Par | Value | ||
Other (Continued) | |||
Blackrock DLF VIII-L CLO Trust, Series 2021-1A, Class A, (3M USD LIBOR + 1.35%, 1.35% Floor), 2.39%, 4/17/32(a)(d) | $ 79,926 | $ 79,907 | |
Blackrock Mount Adams CLO IX L.P., Series 2021-9A, Class A1, (3M USD LIBOR + 1.37%, 1.37% Floor), 2.30%, 9/22/31(a)(d) | 259,000 | 251,286 | |
CARS-DB4 L.P., Series 2020-1A, Class A1, 2.69%, 2/15/50(a) | 145,202 | 140,618 | |
Cerberus Loan Funding XXIX L.P., Series 2020-2A, Class A, (3M USD LIBOR + 1.90%, 1.90% Floor), 2.94%, 10/15/32(a)(d) | 939,000 | 947,611 | |
Cerberus Loan Funding XXV L.P., Series 2018-4RA, Class A1TR, (3M USD LIBOR + 1.53%, 1.53% Floor), 2.57%, 10/15/30(a)(d) | 797,000 | 793,005 | |
Cerberus Loan Funding XXVI L.P., Series 2019-1A, Class AR, (3M USD LIBOR + 1.50%, 1.50% Floor), 2.54%, 4/15/31(a)(d) | 250,000 | 248,371 | |
Cerberus Loan Funding XXVIII L.P., | |||
Series 2020-1A, Class A, (3M USD LIBOR + 1.85%, 1.85% Floor), 2.89%, 10/15/31(a)(d) | 825,000 | 829,182 | |
Series 2020-1A, Class D, (3M USD LIBOR + 5.30%, 5.30% Floor), 6.35%, 10/15/31(a)(d) | 764,000 | 766,180 | |
Cerberus Loan Funding XXXI L.P., Series 2021-1A, Class A, (3M USD LIBOR + 1.50%, 1.50% Floor), 2.54%, 4/15/32(a)(d) | 389,000 | 387,087 | |
Cerberus Loan Funding XXXIV L.P., Series 2021-4A, Class A, (3M USD LIBOR + 1.50%, 1.50% Floor), 2.54%, 8/13/33(a)(d) | 165,342 | 165,355 | |
Coinstar Funding LLC, Series 2017-1A, Class A2, 5.22%, 4/25/47(a) | 881,600 | 876,419 | |
Cologix Data Centers U.S. Issuer LLC, Series 2021-1A, Class A2, 3.30%, 12/26/51(a) | 412,000 | 389,296 |
Par | Value | ||
Other (Continued) | |||
Conn's Receivables Funding LLC, | |||
Series 2020-A, Class B, 4.27%, 6/16/25(a) | $ 30,556 | $ 30,539 | |
Series 2021-A, Class B, 2.87%, 5/15/26(a) | 381,000 | 370,244 | |
Dell Equipment Finance Trust, | |||
Series 2020-2, Class D, 1.92%, 3/23/26(a) | 255,000 | 251,761 | |
Series 2021-2, Class C, 0.94%, 12/22/26(a) | 104,000 | 99,430 | |
Diamond Infrastructure Funding LLC, Series 2021-1A, Class C, 3.48%, 4/15/49(a) | 104,000 | 96,421 | |
Diamond Issuer, Series 2021-1A, Class C, 3.79%, 11/20/51(a) | 282,000 | 259,861 | |
Ellington CLO IV Ltd., Series 2019-4A, Class AR, (3M USD LIBOR + 1.58%, 1.58% Floor), 2.62%, 4/15/29(a)(d) | 186,942 | 187,221 | |
Elm Trust, | |||
Series 2020-3A, Class A2, 2.95%, 8/20/29(a) | 134,000 | 129,705 | |
Series 2020-3A, Class B, 4.48%, 8/20/29(a) | 332,000 | 318,940 | |
Series 2020-4A, Class A2, 2.29%, 10/20/29(a) | 113,000 | 107,279 | |
Series 2020-4A, Class B, 3.87%, 10/20/29(a) | 338,000 | 320,489 | |
FCI Funding, Series 2021-1A, Class A, 1.13%, 4/15/33(a) | 106,602 | 105,542 | |
Finance of America HECM Buyout, Series 2020-HB2, Class A, 1.71%, 7/25/30(a) | 437,653 | 432,021 | |
Fortress Credit Opportunities IX CLO Ltd., Series 2017-9A, Class A1TR, (3M USD LIBOR + 1.55%, 1.55% Floor), 2.59%, 10/15/33(a)(d) | 954,000 | 955,402 | |
Fortress Credit Opportunities XI CLO Ltd., Series 2018-11A, Class A1T, (3M USD LIBOR + 1.30%), 2.34%, 4/15/31(a)(d) | 373,000 | 369,084 |
Par | Value | ||
Other (Continued) | |||
Fortress Credit Opportunities XVII CLO Ltd., Series 2022-17A, Class A, (3M CME Term SOFR + 1.37%, 1.37% Floor), 1.59%, 1/15/30(a)(d) | $527,000 | $523,112 | |
Golub Capital Partners ABS Funding Ltd., | |||
Series 2020-1A, Class A2, 3.21%, 1/22/29(a) | 769,000 | 732,364 | |
Series 2020-1A, Class B, 4.50%, 1/22/29(a) | 476,000 | 455,934 | |
Series 2021-1A, Class A2, 2.77%, 4/20/29(a) | 161,000 | 152,161 | |
Series 2021-1A, Class B, 3.82%, 4/20/29(a) | 382,000 | 355,868 | |
Series 2021-2A, Class A, 2.94%, 10/19/29(a) | 796,000 | 745,732 | |
Series 2021-2A, Class B, 3.99%, 10/19/29(a) | 926,000 | 853,983 | |
Golub Capital Partners CLO 36m Ltd., Series 2018-36A, Class A, (3M USD LIBOR + 1.30%), 1.62%, 2/05/31(a)(d) | 562,000 | 555,850 | |
Golub Capital Partners CLO Ltd., | |||
Series 2018-38A, Class C, (3M USD LIBOR + 2.80%, 2.80% Floor), 3.86%, 7/20/30(a)(d) | 507,000 | 506,996 | |
Series 2019-42A, Class A2, (3M USD LIBOR + 2.00%, 2.00% Floor), 3.06%, 4/20/31(a)(d) | 472,000 | 470,902 | |
Gracie Point International Funding, Series 2021-1A, Class A, (1M USD LIBOR + 0.75%), 1.55%, 11/01/23(a)(d) | 402,936 | 401,933 | |
HPEFS Equipment Trust, | |||
Series 2022-1A, Class A3, 1.38%, 5/21/29(a) | 551,000 | 532,807 | |
Series 2022-1A, Class B, 1.79%, 5/21/29(a) | 226,000 | 216,465 | |
Series 2022-1A, Class C, 1.96%, 5/21/29(a) | 150,000 | 143,155 | |
Ivy Hill Middle Market Credit Fund XVIII Ltd., Series 18A, Class E, (3M USD LIBOR + 7.75%, 7.75% Floor), 8.89%, 4/22/33(a)(d) | 970,000 | 932,974 |
Par | Value | ||
Other (Continued) | |||
Lake Shore MM CLO III LLC, | |||
Series 2019-2A, Class A1R, (3M USD LIBOR + 1.48%, 1.48% Floor), 2.52%, 10/17/31(a)(d) | $202,000 | $200,117 | |
Series 2019-2A, Class A2R, 2.53%, 10/17/31(a) | 100,000 | 99,826 | |
Lake Shore MM CLO IV Ltd., Series 2021-1A, Class X, (3M USD LIBOR + 1.18%, 1.18% Floor), 1.31%, 10/15/33(a)(d) | 135,333 | 135,211 | |
Legal Fee Funding LLC, Series 2006-1A, Class A, 8.00%, 7/20/36(a) | 49,743 | 48,244 | |
MCF CLO IX Ltd., Series 2019-1A, Class A1R, (3M CME Term SOFR + 1.50%, 1.50% Floor), 2.35%, 7/17/31(a)(d) | 971,000 | 970,845 | |
Monroe Capital ABS Funding Ltd., | |||
Series 2021-1A, Class A2, 2.82%, 4/22/31(a)(b) | 403,000 | 376,508 | |
Series 2021-1A, Class B, 3.91%, 4/22/31(a)(b) | 221,000 | 206,523 | |
NRZ Advance Receivables Trust, Series 2020-T2, Class AT2, 1.48%, 9/15/53(a) | 930,000 | 900,538 | |
Oasis Securitization Funding LLC, Series 2021-1A, Class A, 2.58%, 2/15/33(a) | 98,452 | 97,987 | |
Oportun Funding XIV LLC, Series 2021-A, Class A, 1.21%, 3/08/28(a) | 143,000 | 138,730 | |
Oportun Issuance Trust, | |||
Series 2021-B, Class A, 1.47%, 5/08/31(a) | 230,000 | 215,649 | |
Series 2021-C, Class A, 2.18%, 10/08/31(a) | 803,000 | 726,864 | |
Owl Rock CLO III Ltd., Series 2020-3A, Class A1L, (3M USD LIBOR + 1.80%), 2.86%, 4/20/32(a)(d) | 400,000 | 403,397 | |
Owl Rock CLO VI Ltd., Series 2021-6A, Class A, (3M USD LIBOR + 1.45%, 1.45% Floor), 2.38%, 6/21/32(a)(d) | 915,000 | 913,254 |
Par | Value | ||
Other (Continued) | |||
Owl Rock Technology Financing LLC, Series 2020-1A, Class A, (3M USD LIBOR + 2.95%, 2.95% Floor), 3.08%, 1/15/31(a)(d) | $788,000 | $788,660 | |
Parliament CLO II Ltd., Series 2021-2A, Class A, (3M USD LIBOR + 1.35%, 1.35% Floor), 1.83%, 8/20/32(a)(d) | 334,000 | 332,188 | |
Parliament Funding II Ltd., Series 2020-1A, Class AR, (3M USD LIBOR + 1.25%, 1.25% Floor), 2.31%, 10/20/31(a)(d) | 349,000 | 347,318 | |
Pawneee Equipment Receivables LLC, Series 2021-1, Class A2, 1.10%, 7/15/27(a) | 177,000 | 170,610 | |
PFS Financing Corp., | |||
Series 2020-E, Class B, 1.57%, 10/15/25(a) | 747,000 | 725,298 | |
Series 2020-E, Class A, 1.00%, 10/15/25(a) | 134,000 | 129,358 | |
Series 2020-G, Class A, 0.97%, 2/15/26(a) | 531,000 | 505,937 | |
Series 2020-G, Class B, 1.57%, 2/15/26(a) | 100,000 | 95,873 | |
Series 2021-A, Class A, 0.71%, 4/15/26(a) | 367,000 | 346,112 | |
Series 2021-A, Class B, 0.96%, 4/15/26(a) | 100,000 | 94,275 | |
Series 2021-B, Class A, 0.77%, 8/15/26(a) | 317,000 | 295,901 | |
Series 2021-B, Class B, 1.09%, 8/15/26(a) | 101,000 | 94,499 | |
Series 2022-A, Class A, 2.47%, 2/15/27(a) | 899,000 | 861,527 | |
PRET LLC, | |||
Series 2021-NPL6, Class A1, (Step to 5.49% on 12/25/24), 2.49%, 7/25/51(a)(e) | 312,347 | 299,123 | |
Series 2021-NPL5, Class A1, (Step to 5.49% on 11/25/24), 2.49%, 10/25/51(a)(e) | 906,601 | 873,300 | |
Pretium Mortgage Credit Partners I LLC, | |||
Series 2021-NPL2, Class A1, (Step to 3.28% on 7/27/24), 1.99%, 6/27/60(a)(e) | 404,280 | 384,328 | |
Series 2021-NPL4, Class A1, (Step to 2.83% on 11/27/24), 2.36%, 10/27/60(a)(e) | 832,140 | 792,677 |
Par | Value | ||
Other (Continued) | |||
SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(a) | $ 397,686 | $ 379,144 | |
Telos CLO Ltd., Series 2014-5A, Class A1R, (3M USD LIBOR + 0.95%, 0.95% Floor), 1.99%, 4/17/28(a)(d) | 7,047 | 7,040 | |
Towd Point Mortgage Trust, Series 2018-2, Class A1, 3.25%, 3/25/58(a) | 289,287 | 287,497 | |
TVEST LLC, Series 2020-A, Class A, 4.50%, 7/15/32(a) | 100,636 | 100,430 | |
Vantage Data Centers Issuer LLC, Series 2020-1A, Class A2, 1.65%, 9/15/45(a) | 140,000 | 128,242 | |
VCAT LLC, | |||
Series 2021-NPL1, Class A1, (Step to 5.29% on 1/25/24), 2.29%, 12/26/50(a)(e) | 78,186 | 75,764 | |
Series 2021-NPL2, Class A1, (Step to 5.12% on 3/26/24), 2.12%, 3/27/51(a)(e) | 287,338 | 276,775 | |
VCP CLO II Ltd., | |||
Series 2021-2A, Class E, (3M USD LIBOR + 8.41%), 9.46%, 4/15/31(a)(b)(d) | 1,119,000 | 1,110,330 | |
Series 2021-2A, Class A1, (3M USD LIBOR + 1.67%), 2.71%, 4/15/31(a)(b)(d) | 817,000 | 816,424 | |
VCP RRL ABS I Ltd., | |||
Series 2021-1A, Class A, 2.15%, 10/20/31(a)(b) | 376,712 | 357,440 | |
Series 2021-1A, Class B, 2.85%, 10/20/31(a)(b) | 336,784 | 314,416 | |
VOLT C LLC, Series 2021-NPL9, Class A1, (Step to 4.99% on 5/25/24), 1.99%, 5/25/51(a)(e) | 276,570 | 263,873 | |
VOLT XCIV LLC, Series 2021-NPL3, Class A1, (Step to 5.24% on 2/25/24), 2.24%, 2/27/51(a)(e) | 344,688 | 329,248 | |
VOLT XCV LLC, Series 2021-NPL4, Class A1, (Step to 5.24% on 3/25/24), 2.24%, 3/27/51(a)(e) | 363,945 | 349,148 |
Par | Value | ||
Other (Continued) | |||
Wellfleet CLO Ltd., Series 2016-1A, Class AR, (3M USD LIBOR + 0.91%), 1.97%, 4/20/28(a)(d) | $157,744 | $ 157,272 | |
Woodmont Trust, | |||
Series 2019-6A, Class A1R, (3M USD LIBOR + 1.48%, 1.48% Floor), 1.60%, 7/15/31(a)(d) | 526,000 | 525,695 | |
Series 2019-6A, Class A1R2, (3M USD LIBOR + 1.48%, 1.48% Floor), 1.60%, 7/15/31(a)(d) | 250,000 | 249,855 | |
Zais CLO 7 Ltd., Series 2017-2A, Class A, (3M USD LIBOR + 1.29%), 2.33%, 4/15/30(a)(d) | 311,757 | 310,972 | |
39,486,821 | |||
Student Loan – 0.0%(f) | |||
SMB Private Education Loan Trust 2021-A, Series 2021-A, Class A1, (1M USD LIBOR + 0.50%), 1.05%, 1/15/53(a)(d) | 11,274 | 11,272 | |
Total Asset-Backed Securities (Cost $53,018,744) | 51,637,270 |
Number of Shares | |||
Common Stocks – 0.9% | |||
Real Estate – 0.3% | |||
Copper Property CTL Pass Through Trust(c)* | 25,536 | 402,192 | |
Retail – 0.0%(f) | |||
J.C. Penney Earnout(c) | 3,405 | 40,009 | |
Telecommunications – 0.1% | |||
Windstream Corp.(c) | 3,347 | 49,368 | |
Transportation – 0.5% | |||
PHI Group, Inc. | 44,387 | 710,192 | |
Total Common Stocks (Cost $894,480) | 1,201,761 |
Par | Value | ||
Corporate Bonds – 2.4% | |||
Coal – 0.3% | |||
Natural Resource Partners L.P./NRP Finance Corp., 9.12%, 6/30/25(a) | $391,000 | $ 397,843 | |
Diversified Financial Services – 0.9% | |||
Midcap Financial Issuer Trust, 6.50%, 5/01/28(a) | 761,000 | 656,362 | |
OWL Rock Core Income Corp., 4.70%, 2/08/27(a) | 660,000 | 622,460 | |
1,278,822 | |||
Food Service – 0.1% | |||
Aramark Services, Inc., 6.38%, 5/01/25(a) | 159,000 | 161,921 | |
Housewares – 0.2% | |||
CD&R Smokey Buyer, Inc., 6.75%, 7/15/25(a) | 315,000 | 320,591 | |
Investment Management Companies – 0.3% | |||
Golub Capital BDC, Inc., 3.38%, 4/15/24 | 513,000 | 503,377 | |
Leisure Time – 0.1% | |||
Royal Caribbean Cruises Ltd., 11.50%, 6/01/25(a) | 164,000 | 178,301 | |
Telecommunications – 0.5% | |||
Consolidated Communications, Inc., 6.50%, 10/01/28(a) | 381,000 | 331,982 | |
Frontier Communications Holdings LLC, | |||
5.88%, 10/15/27(a) | 137,000 | 131,177 | |
6.00%, 1/15/30(a)(g) | 214,000 | 186,199 | |
649,358 | |||
Total Corporate Bonds (Cost $3,668,066) | 3,490,213 | ||
Foreign Issuer Bonds – 0.5% | |||
Canada – 0.4% | |||
Air Canada Pass Through Trust, Series 2020-1, Class C, 10.50%, 7/15/26(a) | 470,000 | 528,781 | |
Ireland – 0.1% | |||
Cimpress PLC, 7.00%, 6/15/26(a) | 175,000 | 163,187 | |
Total Foreign Issuer Bonds (Cost $607,231) | 691,968 |
Par | Value | ||
Mortgage-Backed Securities – 3.9% | |||
Commercial Mortgage-Backed Securities – 1.3% | |||
BX Commercial Mortgage Trust, | |||
Series 2021-VOLT, Class E, (1M USD LIBOR + 2.00%, 2.00% Floor), 2.56%, 9/15/36(a)(d) | $242,000 | $ 232,784 | |
Series 2021-VOLT, Class F, (1M USD LIBOR + 2.40%, 2.40% Floor), 2.96%, 9/15/36(a)(d) | 370,000 | 355,621 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class C, (1M USD LIBOR + 1.65%, 1.65% Floor), 2.20%, 5/15/38(a)(d) | $616,000 | 602,115 | |
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class ASB, 3.56%, 7/15/48 | 344,031 | 343,883 | |
LoanCore Issuer Ltd., Series 2021-CRE4, Class A, (30D Average SOFR + 0.91%, 0.80% Floor), 1.18%, 7/15/35(a)(d) | 157,490 | 155,786 | |
VCC Trust, Series 2020-MC1, Class A, 4.50%, 6/25/45(a) | 17,668 | 17,668 | |
VMC Finance LLC, Series 2021-HT1, Class A, (1M USD LIBOR + 1.65%, 1.65% Floor), 2.20%, 1/18/37(a)(d) | 227,131 | 225,764 | |
1,933,621 | |||
Federal Home Loan Mortgage Corporation – 0.1% | |||
Real Estate Mortgage Investment Conduits, Series 4162, Class P, 3.00%, 2/15/33 | 210,613 | 209,553 | |
Federal National Mortgage Association – 0.2% | |||
Interest Strip, Series 284, Class 1, 0.00%, 7/25/27(h) | 83,813 | 77,727 | |
Real Estate Mortgage Investment Conduits, | |||
Series 2014-3, Class AM, 2.50%, 1/25/32 | 73,674 | 73,704 | |
Series 2012-144, Class PD, 3.50%, 4/25/42 | 119,924 | 118,716 | |
270,147 |
Par | Value | ||
Government National Mortgage Association – 0.4% | |||
Series 2012-150, Class IO, 0.54%, 11/16/52(i) | $1,438,187 | $ 21,926 | |
Series 2015-108, Class IO, 0.35%, 10/16/56(i) | 59,799 | 1,949 | |
Series 2015-7, Class IO, 0.55%, 1/16/57(i) | 1,959,940 | 52,798 | |
Series 2020-42, Class IO, 0.93%, 3/16/62(i) | 1,472,401 | 99,886 | |
Series 2020-43, Class IO, 1.27%, 11/16/61(i) | 988,089 | 76,345 | |
Series 2020-71, Class IO, 1.10%, 1/16/62(i) | 1,291,692 | 94,617 | |
Series 2020-75, Class IO, 0.90%, 2/16/62(i) | 2,361,892 | 154,609 | |
502,130 | |||
Whole Loan – 1.9% | |||
Cascade Funding Mortgage Trust, Series 2021-HB6, Class A, 0.90%, 6/25/36(a) | 150,490 | 148,563 | |
CFMT LLC, | |||
Series 2021-HB5, Class A, 0.80%, 2/25/31(a)(i) | 314,919 | 310,689 | |
Series 2021-HB7, Class A, 1.15%, 10/27/31(a) | 169,485 | 166,434 | |
Series 2021-HB7, Class M1, 2.12%, 10/27/31(a) | 192,000 | 183,141 | |
PRPM LLC, | |||
Series 2021-2, Class A1, 2.11%, 3/25/26(a)(i) | 285,807 | 275,179 | |
Series 2021-9, Class A1, (Step to 5.36% on 11/25/24), 2.36%, 10/25/26(a)(e) | 415,478 | 400,348 | |
Series 2021-10, Class A1, (Step to 5.49% on 11/25/24), 2.49%, 10/25/26(a)(e) | 406,940 | 386,558 | |
Series 2021-11, Class A1, (Step to 5.49% on 12/25/24), 2.49%, 11/25/26(a)(e) | 498,972 | 480,554 | |
RCO VII Mortgage LLC, Series 2021-2, Class A1, (Step to 5.12% on 10/25/24), 2.12%, 9/25/26(a)(e) | 388,331 | 373,168 | |
2,724,634 | |||
Total Mortgage-Backed Securities (Cost $6,476,286) | 5,640,085 |
Par | Value | ||
Term Loans – 4.2% | |||
Advertising – 0.6% | |||
ABG Intermediate Holdings 2 LLC, 2021 Refinancing Term Loan, (3M USD LIBOR + 3.25%, 0.75% Floor), 0.04%, 9/27/24 | $484,143 | $482,633 | |
CB Poly Investments LLC, Closing Date Term Loan, (3M USD LIBOR + 4.50%, 1.00% Floor), 0.06%, 8/16/23 | 373,900 | 372,030 | |
854,663 | |||
Commercial Services – 0.6% | |||
Cimpress PLC, Tranche B-1 Term Loan, (1M USD LIBOR + 3.50%, 0.50% Floor), 0.04%, 5/17/28 | 269,960 | 266,418 | |
MediaCo Holding, Inc., Term Loan, (1M USD LIBOR + 7.50%, 1.00% Floor), 0.05%, 11/25/24(c) | 691,513 | 643,108 | |
909,526 | |||
Environmental Control – 0.2% | |||
Packers Holdings LLC, Initial Term Loan (2021), (3M USD LIBOR + 3.25%, 0.75% Floor), 0.04%, 3/09/28 | 330,740 | 324,373 | |
Healthcare - Services – 0.7% | |||
GHX Ultimate Parent Corp., Initial Term Loan, (3M USD LIBOR + 3.25%, 1.00% Floor), 0.04%, 6/28/24 | 493,467 | 487,298 | |
Heartland Dental LLC, 2021 Incremental Term Loan, (1M USD LIBOR + 4.00%), 0.05%, 4/30/25 | 495,312 | 491,246 | |
978,544 | |||
Insurance – 0.4% | |||
Asurion LLC, New B-7 Term Loan, (1M USD LIBOR + 3.00%), 0.04%, 11/03/24 | 646,603 | 639,561 | |
Pharmaceuticals – 0.2% | |||
PetVet Care Centers LLC, 2021 First Lien Replacement Term Loan, | |||
(1M USD LIBOR + 3.50%, 0.75% Floor), 0.04%, 2/14/25 | 184,056 | 182,732 | |
2/14/25 (j) | 138,645 | 137,648 | |
320,380 |
Par | Value | ||
Retail – 0.0%(f)* | |||
J.C. Penney Corp., Inc., Term Loan, (k) | $233,386 | $ 23 | |
Software – 0.7% | |||
Applied Systems, Inc., Closing Date Term Loan, (3M USD LIBOR + 3.00%, 0.50% Floor), 0.05%, 9/19/24 | 315,659 | 314,516 | |
Azalea Topco, Inc., Initial Term Loan, (1M USD LIBOR + 3.50%), 0.04%, 7/24/26 | 330,488 | 325,472 | |
Polaris Newco LLC, Dollar Term Loan, (1M USD LIBOR + 4.00%, 0.50% FLOOR), 0.05%, 6/02/28 | 328,350 | 324,518 | |
964,506 | |||
Telecommunications – 0.5% | |||
Frontier Communications Corp., TLB, (3M USD LIBOR + 3.75%, 0.75% Floor), 0.05%, 5/01/28 | 366,300 | 359,586 | |
Windstream Services II LLC, Initial Term Loan, (1M USD LIBOR + 6.25%, 1.00% Floor), 0.07%, 9/21/27 | 310,423 | 309,002 | |
668,588 | |||
Transportation – 0.3% | |||
Hanjin International Corp., Loan, | |||
(3M USD LIBOR + 5.00%, 0.50% Floor), 0.06%, 12/23/22 | 424,000 | 379,430 | |
12/23/22 (j) | 3,000 | 41,165 | |
420,595 | |||
Total Term Loans (Cost $6,127,031) | 6,080,759 |
Number of Shares | |||
Warrants – 0.0%(f) | |||
Telecommunications – 0.0%(f) | |||
Windstream Services LLC (c)* | 318 | 4,691 | |
Total Warrants (Cost $146,140) | 4,691 |
Number of Shares | Value | ||
Investment Companies – 47.2% | |||
Schwab Intermediate-Term U.S. Treasury ETF | 334,836 | $17,327,763 | |
Schwab Short-Term U.S. Treasury ETF | 496,706 | 24,477,672 | |
VanEck Investment Grade Floating Rate ETF | 113,540 | 2,845,880 | |
Vanguard Intermediate-Term Corporate Bond ETF(g) | 36,004 | 2,936,846 | |
Vanguard Short-Term Corporate Bond ETF(g) | 142,087 | 10,912,282 | |
Vanguard Short-Term Inflation-Protected Securities ETF | 186,006 | 9,424,924 | |
Total Investment Companies (Cost $71,846,185) | 67,925,367 |
Short-Term Investments – 13.7% | |||
Money Market Fund – 13.7% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 0.32%(l)(m) | 12,153,261 | 12,153,261 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 0.18%(l) | 7,550,926 | 7,550,926 | |
19,704,187 | |||
Total Short-Term Investments (Cost $19,704,187) | 19,704,187 | ||
Total Investments – 108.7% (Cost $162,488,350) | 156,376,301 | ||
Liabilities less Other Assets – (8.7)% | (12,459,411) | ||
NET ASSETS – 100.0% | $143,916,890 |
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) | Restricted security that has been deemed illiquid. At April 30, 2022, the value of these restricted illiquid securities amounted to $5,218,967 or 3.63% 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 | |
ABPCI Direct Lending Fund ABS II LLC, 2.37%, 3/1/32 | 2/15/22 | 224,000 | |
ABPCI Direct Lending Fund ABS II LLC, 8.24%, 3/1/32 | 2/15/22 | 935,000 | |
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., 9.46%, 4/15/31 | 2/5/21 | 1,085,430 | |
VCP CLO II Ltd., 2.71%, 4/15/31 | 3/7/22 | 813,426 | |
VCP RRL ABS I Ltd., 2.15%, 10/20/31 | 7/28/21 | 376,712 | |
VCP RRL ABS I Ltd., 2.85%, 10/20/31 | 7/28/21 | 336,784 |
(c) | Investment is valued using significant unobservable inputs (Level 3) (See table below). |
(d) | Variable rate security. Rate as of April 30, 2022 is disclosed. |
(e) | Step coupon bond. Rate as of April 30, 2022 is disclosed. |
(f) | Amount rounds to less than 0.05%. |
(g) | Security either partially or fully on loan. |
(h) | Zero coupon bond. |
(i) | 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, 2022 is disclosed. |
(j) | Position is unsettled. Contract rate was not determined at April 30, 2022 and does not take effect until settlement date. |
(k) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. |
(l) | 7-day current yield as of April 30, 2022 is disclosed. |
(m) | Security purchased with the cash proceeds from securities loaned (See Note 7). |
* | 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 |
L.P. | Limited Partnership |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
PLC | Public Limited Company |
SOFR | United States Secured Overnight Financing Rate |
Strip | Separate Trading of Registered Interest and Principal |
USD | United States Dollar |
Morningstar Defensive Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $50,487,620 | $1,149,650 | $ 51,637,270 |
Common Stocks | 710,192 | — | 491,569 | 1,201,761 |
Corporate Bonds | — | 3,490,213 | — | 3,490,213 |
Foreign Issuer Bonds | — | 691,968 | — | 691,968 |
Mortgage-Backed Securities | — | 5,640,085 | — | 5,640,085 |
Term Loans | — | 5,437,651 | 643,108 | 6,080,759 |
Warrants | — | — | 4,691 | 4,691 |
Investment Companies | 67,925,367 | — | — | 67,925,367 |
Short-Term Investments | 19,704,187 | — | — | 19,704,187 |
Total Investments | $88,339,746 | $65,747,537 | $2,289,018 | $156,376,301 |
Balance as of 4/30/21 (000s) | Accrued discounts (premiums) (000s) | Realized gains (losses) (000s) | Change in unrealized appreciation (depreciation) (000s) | Purchases (000s) | Sales (000s) | Transfers into level 3 (000s) | Transfers out of level 3 (000s)* | Balance as of 4/30/22 (000s) | Change in unrealized appreciation (depreciation) from investments still held at 4/30/22 (000s) | |
Investments, at value | ||||||||||
Asset-Backed Securities - Other | $ 619,257 | $ 21 | $ — | $(45,597) | $1,159,000 | $ — | $— | $(583,031) | $1,149,650 | $ (9,350) |
Common Stocks - Real Estate | 408,576 | — | — | (6,384) | — | — | — | — | 402,192 | (6,384) |
Common Stocks - Retail | 30,645 | — | — | 9,364 | — | — | — | — | 40,009 | 9,364 |
Common Stocks - Telecommunications | — | — | — | 17,603 | 31,765 | — | — | — | 49,368 | 17,603 |
Private Placement - Transportation | 110,837 | — | — | — | — | (110,837) | — | — | — | — |
Term Loans - Commercial Services | 665,607 | 1,307 | 224 | 163 | 6,060 | (30,253) | — | — | 643,108 | 163 |
Term Loans - Retail | 505 | — | — | (482) | — | — | — | (23) | — | — |
Warrants - Telecommunications | 3,975 | — | — | 716 | — | — | — | — | 4,691 | 716 |
Total | $1,839,402 | $1,328 | $224 | $(24,617) | $1,196,825 | $(141,090) | $— | $(583,054) | $2,289,018 | $12,112 |
Financial Assets | Fair Value at 4/30/22 | Valuation Technique(s) | Unobservable Inputs | Price/Range |
Asset-Backed Securities | $1,149,650 | Third Party Broker Quotes | Quotes/Prices | $99.00 - $100.00 |
Common Stocks | $ 442,201 | Third Party Broker Quotes | Quotes/Prices | $11.75 - $15.75 |
Common Stocks | $ 49,368 | Third Party Broker Quotes | Indicative Quote | $14.75 |
Term Loans | $ 643,108 | Discounted Cash Flow Method | Projected cash flow and discount rate | $93.00 |
Warrants | $ 4,691 | Third Party Broker Quotes | Quotes/Prices | $14.75 |
Total | $2,289,018 |
Par (a) | Value | ||
Asset-Backed Securities – 0.5% | |||
Other – 0.5% | |||
AIG CLO LLC, Series 2021-2A, Class E, (3M USD LIBOR + 6.50%, 6.50% Floor), 7.56%, 7/20/34(b)(c) | $250,000 | $242,238 | |
Octagon Investment Partners 44 Ltd., Series 2019-1A, Class ER, (3M USD LIBOR + 6.75%, 6.75% Floor), 7.80%, 10/15/34(b)(c) | 250,000 | 235,003 | |
Pikes Peak CLO 4, Series 2019-4A, Class ER, (3M USD LIBOR + 6.61%, 6.61% Floor), 7.65%, 7/15/34(b)(c) | 250,000 | 238,750 | |
VOLT XCVI LLC, Series 2021-NPL5, Class A2, (Step to 8.83% on 3/25/25), 4.83%, 3/27/51(b)(d) | 100,000 | 95,256 | |
811,247 | |||
Total Asset-Backed Securities (Cost $847,590) | 811,247 |
Number of Shares | |||
Common Stocks – 1.0% | |||
Aerospace/Defense – 0.0%(e) | |||
L3Harris Technologies, Inc. | 22 | 5,110 | |
Lockheed Martin Corp. | 90 | 38,891 | |
44,001 | |||
Auto Manufacturers – 0.0%(e) | |||
Cummins, Inc. | 131 | 24,784 | |
Banks – 0.0%(e) | |||
Morgan Stanley | 330 | 26,595 | |
Beverages – 0.0%(e) | |||
Coca-Cola (The) Co. | 556 | 35,923 | |
Commercial Services – 0.0%(e) | |||
Automatic Data Processing, Inc. | 74 | 16,145 | |
Computers – 0.1% | |||
Accenture PLC, Class A | 95 | 28,534 | |
Apple, Inc. | 211 | 33,264 | |
61,798 | |||
Cosmetics/Personal Care – 0.0%(e) | |||
Procter & Gamble (The) Co. | 309 | 49,610 |
Number of Shares | Value | ||
Diversified Financial Services – 0.0%(e) | |||
BlackRock, Inc. | 56 | $ 34,982 | |
Electric – 0.1% | |||
Duke Energy Corp. | 338 | 37,234 | |
NextEra Energy, Inc. | 470 | 33,379 | |
70,613 | |||
Engineering & Construction – 0.0%(e) | |||
Mcdermott International Ltd.* | 1,932 | 1,256 | |
Healthcare - Products – 0.0%(e) | |||
Abbott Laboratories | 205 | 23,268 | |
Thermo Fisher Scientific, Inc. | 20 | 11,058 | |
34,326 | |||
Healthcare - Services – 0.0%(e) | |||
Anthem, Inc. | 48 | 24,092 | |
UnitedHealth Group, Inc. | 34 | 17,291 | |
41,383 | |||
Machinery - Diversified – 0.0%(e) | |||
Deere & Co. | 67 | 25,296 | |
Media – 0.1% | |||
Altice USA, Inc., Class A* | 16,055 | 148,990 | |
Comcast Corp., Class A | 848 | 33,717 | |
182,707 | |||
Mining – 0.0%(e) | |||
Newmont Corp. | 515 | 37,518 | |
Oil & Gas – 0.0%(e) | |||
Battalion Oil Corp.* | 363 | 6,839 | |
Pioneer Natural Resources Co. | 107 | 24,874 | |
31,713 | |||
Pharmaceuticals – 0.1% | |||
AbbVie, Inc. | 294 | 43,183 | |
Bristol-Myers Squibb Co. | 388 | 29,205 | |
Johnson & Johnson | 261 | 47,100 | |
Merck & Co., Inc. | 579 | 51,351 | |
170,839 | |||
Pipelines – 0.0%(e) | |||
Williams (The) Cos., Inc. | 753 | 25,820 | |
Real Estate Investment Trusts – 0.0%(e) | |||
American Tower Corp. | 149 | 35,912 | |
Retail – 0.1% | |||
Home Depot (The), Inc. | 77 | 23,131 |
Number of Shares | Value | ||
Retail (Continued) | |||
Starbucks Corp. | 278 | $ 20,750 | |
Walmart, Inc. | 295 | 45,132 | |
89,013 | |||
Semiconductors – 0.1% | |||
Broadcom, Inc. | 36 | 19,958 | |
Microchip Technology, Inc. | 310 | 20,212 | |
Texas Instruments, Inc. | 62 | 10,556 | |
50,726 | |||
Software – 0.0%(e) | |||
Clarivate PLC* | 78 | 1,223 | |
Microsoft Corp. | 113 | 31,360 | |
32,583 | |||
Telecommunications – 0.3% | |||
Cisco Systems, Inc. | 615 | 30,123 | |
T-Mobile U.S., Inc.* | 3,901 | 480,369 | |
510,492 | |||
Transportation – 0.1% | |||
Union Pacific Corp. | 144 | 33,738 | |
United Parcel Service, Inc., Class B | 163 | 29,336 | |
63,074 | |||
Total Common Stocks (Cost $1,816,560) | 1,697,109 |
Par (a) | |||
Convertible Bonds – 1.7% | |||
Airlines – 0.2% | |||
Southwest Airlines Co., 1.25%, 5/01/25 | $230,000 | 314,065 | |
Biotechnology – 0.4% | |||
BioMarin Pharmaceutical, Inc., | |||
0.60%, 8/01/24 | 140,000 | 142,310 | |
1.25%, 5/15/27 | 455,000 | 467,512 | |
Livongo Health, Inc., 0.87%, 6/01/25 | 100,000 | 84,750 | |
694,572 | |||
Entertainment – 0.0%(e) | |||
Penn National Gaming, Inc., 2.75%, 5/15/26 | 25,000 | 43,450 | |
Healthcare - Services – 0.2% | |||
Teladoc Health, Inc., 1.25%, 6/01/27 | 480,000 | 355,920 |
Par (a) | Value | ||
Internet – 0.1% | |||
Uber Technologies, Inc., 0.00%, 12/15/25(f) | $ 205,000 | $ 177,017 | |
Zillow Group, Inc., 1.38%, 9/01/26 | 25,000 | 28,588 | |
205,605 | |||
Leisure Time – 0.1% | |||
NCL Corp. Ltd., 1.13%, 2/15/27(b) | 195,000 | 170,333 | |
Media – 0.7% | |||
DISH Network Corp., | |||
2.37%, 3/15/24 | 135,000 | 125,483 | |
0.00%, 12/15/25(f) | 100,000 | 90,250 | |
3.38%, 8/15/26 | 1,045,000 | 896,087 | |
1,111,820 | |||
Software – 0.0%(e) | |||
Bilibili, Inc., 0.50%, 12/01/26(b) | 90,000 | 63,810 | |
Total Convertible Bonds (Cost $3,293,516) | 2,959,575 |
Number of Shares | |||
Convertible Preferred Stocks – 0.2% | |||
Software – 0.1% | |||
Clarivate PLC | 1,770 | 114,218 | |
Telecommunications – 0.1% | |||
2020 Cash Mandatory Exchangeable Trust(b)(g)* | 250 | 273,270 | |
Total Convertible Preferred Stocks (Cost $479,244) | 387,488 |
Par (a) | |||
Corporate Bonds – 21.4% | |||
Advertising – 0.0%(e) | |||
Terrier Media Buyer, Inc., 8.88%, 12/15/27(b) | 45,000 | 43,983 | |
Aerospace/Defense – 0.3% | |||
Moog, Inc., 4.25%, 12/15/27(b) | 15,000 | 13,969 | |
Spirit AeroSystems, Inc., 4.60%, 6/15/28 | 275,000 | 237,553 | |
TransDigm, Inc., 5.50%, 11/15/27 | 225,000 | 206,323 | |
457,845 |
Par (a) | Value | ||
Airlines – 0.5% | |||
American Airlines, Inc./AAdvantage Loyalty IP Ltd., | |||
5.50%, 4/20/26(b) | $170,000 | $ 168,512 | |
5.75%, 4/20/29(b) | 720,000 | 693,774 | |
862,286 | |||
Auto Manufacturers – 0.7% | |||
Ford Motor Co., | |||
9.00%, 4/22/25 | 305,000 | 339,875 | |
3.25%, 2/12/32 | 145,000 | 117,842 | |
Ford Motor Credit Co. LLC, 2.30%, 2/10/25 | 475,000 | 441,132 | |
General Motors Financial Co., Inc., | |||
(3M USD LIBOR + 3.60%), 5.75%, 9/30/27(h)(i) | 190,000 | 174,802 | |
(3M USD LIBOR + 3.44%), 6.50%, 9/30/28(h)(i) | 155,000 | 149,575 | |
(5Y US Treasury CMT + 5.00%), 5.70%, 9/30/30(h)(i) | 30,000 | 29,288 | |
1,252,514 | |||
Auto Parts & Equipment – 0.1% | |||
Dana, Inc., 4.25%, 9/01/30 | 35,000 | 30,002 | |
Goodyear Tire & Rubber (The) Co., 5.00%, 7/15/29(b) | 5,000 | 4,458 | |
Meritor, Inc., 4.50%, 12/15/28(b) | 45,000 | 44,944 | |
Tenneco, Inc., 7.87%, 1/15/29(b) | 45,000 | 45,463 | |
Wheel Pros, Inc., 6.50%, 5/15/29(b) | 55,000 | 41,800 | |
166,667 | |||
Banks – 0.1% | |||
Freedom Mortgage Corp., 7.63%, 5/01/26(b) | 160,000 | 145,600 | |
Beverages – 0.1% | |||
Triton Water Holdings, Inc., 6.25%, 4/01/29(b) | 110,000 | 91,051 | |
Building Materials – 0.4% | |||
Builders FirstSource, Inc., | |||
5.00%, 3/01/30(b) | 185,000 | 171,125 | |
4.25%, 2/01/32(b) | 60,000 | 51,225 | |
Cornerstone Building Brands, Inc., 6.12%, 1/15/29(b) | 100,000 | 83,205 | |
CP Atlas Buyer, Inc., 7.00%, 12/01/28(b) | 55,000 | 45,925 |
Par (a) | Value | ||
Building Materials (Continued) | |||
MIWD Holdco II LLC/MIWD Finance Corp., 5.50%, 2/01/30(b) | $ 75,000 | $ 64,875 | |
Patrick Industries, Inc., 4.75%, 5/01/29(b) | 90,000 | 77,175 | |
Standard Industries, Inc., 4.38%, 7/15/30(b) | 65,000 | 54,201 | |
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 1/15/29(b) | 40,000 | 37,500 | |
Victors Merger Corp., 6.37%, 5/15/29(b) | 105,000 | 63,000 | |
648,231 | |||
Chemicals – 0.2% | |||
ASP Unifrax Holdings, Inc., 5.25%, 9/30/28(b) | 100,000 | 88,144 | |
Chemours (The) Co., 5.38%, 5/15/27 | 60,000 | 57,900 | |
Diamond B.C. B.V., 4.63%, 10/01/29(b) | 50,000 | 43,012 | |
Olin Corp., | |||
5.62%, 8/01/29 | 20,000 | 19,694 | |
5.00%, 2/01/30 | 135,000 | 127,575 | |
336,325 | |||
Coal – 0.0%(e) | |||
SunCoke Energy, Inc., 4.88%, 6/30/29(b) | 35,000 | 31,379 | |
Commercial Services – 0.5% | |||
ADT Security (The) Corp., 4.13%, 8/01/29(b) | 270,000 | 229,238 | |
Deluxe Corp., 8.00%, 6/01/29(b) | 80,000 | 75,913 | |
MPH Acquisition Holdings LLC, 5.75%, 11/01/28(b) | 180,000 | 156,777 | |
Nielsen Finance LLC/Nielsen Finance Co., | |||
5.63%, 10/01/28(b) | 135,000 | 130,819 | |
5.87%, 10/01/30(b) | 105,000 | 100,699 | |
Sabre GLBL, Inc., | |||
9.25%, 4/15/25(b) | 20,000 | 21,331 | |
7.37%, 9/01/25(b) | 65,000 | 65,744 | |
780,521 | |||
Computers – 0.1% | |||
NCR Corp., | |||
5.75%, 9/01/27(b) | 75,000 | 72,187 | |
5.00%, 10/01/28(b) | 75,000 | 71,625 |
Par (a) | Value | ||
Computers (Continued) | |||
Presidio Holdings, Inc., | |||
4.88%, 2/01/27(b) | $ 25,000 | $ 23,725 | |
8.25%, 2/01/28(b) | 25,000 | 24,279 | |
191,816 | |||
Cosmetics/Personal Care – 0.1% | |||
Coty, Inc., 5.00%, 4/15/26(b) | 60,000 | 56,991 | |
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.75%, 1/15/29(b) | 175,000 | 155,750 | |
212,741 | |||
Distribution/Wholesale – 0.0%(e) | |||
Resideo Funding, Inc., 4.00%, 9/01/29(b) | 80,000 | 71,200 | |
Diversified Financial Services – 1.7% | |||
Aircastle Ltd., (5Y US Treasury CMT + 4.41%), 5.25%, 6/15/26(b)(h)(i) | 45,000 | 40,056 | |
Cobra AcquisitionCo LLC, 6.37%, 11/01/29(b) | 205,000 | 156,825 | |
Coinbase Global, Inc., 3.63%, 10/01/31(b) | 40,000 | 29,549 | |
LFS Topco LLC, 5.87%, 10/15/26(b) | 75,000 | 69,375 | |
Midcap Financial Issuer Trust, | |||
6.50%, 5/01/28(b) | 120,000 | 103,500 | |
5.62%, 1/15/30(b) | 200,000 | 159,254 | |
Nationstar Mortgage Holdings, Inc., 6.00%, 1/15/27(b) | 180,000 | 174,600 | |
Navient Corp., | |||
5.00%, 3/15/27 | 300,000 | 273,085 | |
4.88%, 3/15/28 | 230,000 | 201,825 | |
5.50%, 3/15/29 | 235,000 | 206,643 | |
OneMain Finance Corp., | |||
6.88%, 3/15/25 | 85,000 | 85,425 | |
8.88%, 6/01/25 | 45,000 | 47,228 | |
7.12%, 3/15/26 | 120,000 | 121,500 | |
3.50%, 1/15/27 | 285,000 | 250,378 | |
Oxford Finance LLC/Oxford Finance Co-Issuer II, Inc., 6.37%, 2/01/27(b) | 105,000 | 106,292 | |
Provident Funding Associates L.P./PFG Finance Corp., 6.37%, 6/15/25(b) | 90,000 | 88,313 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., | |||
2.88%, 10/15/26(b) | 95,000 | 84,075 |
Par (a) | Value | ||
Diversified Financial Services (Continued) | |||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., | |||
3.63%, 3/01/29 | $105,000 | $ 89,775 | |
3.88%, 3/01/31(b) | 250,000 | 210,957 | |
4.00%, 10/15/33(b) | 510,000 | 408,586 | |
2,907,241 | |||
Electric – 0.5% | |||
Calpine Corp., 5.12%, 3/15/28(b) | 400,000 | 363,350 | |
NRG Energy, Inc., | |||
5.25%, 6/15/29(b) | 10,000 | 9,419 | |
3.88%, 2/15/32(b) | 85,000 | 70,953 | |
Pattern Energy Operations L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(b) | 45,000 | 42,075 | |
PG&E Corp., | |||
5.00%, 7/01/28 | 110,000 | 101,221 | |
5.25%, 7/01/30 | 15,000 | 13,632 | |
Vistra Operations Co. LLC, 5.50%, 9/01/26(b) | 180,000 | 179,370 | |
780,020 | |||
Electrical Component & Equipment – 0.1% | |||
Energizer Holdings, Inc., 4.38%, 3/31/29(b) | 115,000 | 95,759 | |
Entertainment – 0.7% | |||
Boyne USA, Inc., 4.75%, 5/15/29(b) | 50,000 | 46,375 | |
Caesars Entertainment, Inc., 4.63%, 10/15/29(b) | 120,000 | 102,900 | |
Everi Holdings, Inc., 5.00%, 7/15/29(b) | 40,000 | 36,292 | |
International Game Technology PLC, 4.13%, 4/15/26(b) | 200,000 | 188,604 | |
Lions Gate Capital Holdings LLC, 5.50%, 4/15/29(b) | 35,000 | 31,027 | |
Live Nation Entertainment, Inc., | |||
4.75%, 10/15/27(b) | 165,000 | 155,017 | |
3.75%, 1/15/28(b) | 85,000 | 76,925 | |
Mohegan Gaming & Entertainment, 8.00%, 2/01/26(b) | 75,000 | 66,563 | |
Scientific Games International, Inc., 7.00%, 5/15/28(b) | 285,000 | 291,779 |
Par (a) | Value | ||
Entertainment (Continued) | |||
Speedway Motorsports LLC/Speedway Funding II, Inc., 4.87%, 11/01/27(b) | $ 60,000 | $ 57,288 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(b) | 125,000 | 109,453 | |
1,162,223 | |||
Environmental Control – 0.0%(e) | |||
Madison IAQ LLC, 5.88%, 6/30/29(b) | 80,000 | 65,200 | |
Food – 0.3% | |||
Performance Food Group, Inc., 4.25%, 8/01/29(b) | 95,000 | 84,429 | |
Post Holdings, Inc., | |||
4.62%, 4/15/30(b) | 290,000 | 247,950 | |
4.50%, 9/15/31(b) | 170,000 | 141,372 | |
Simmons Foods, Inc., 4.63%, 3/01/29(b) | 85,000 | 76,702 | |
550,453 | |||
Food Service – 0.0%(e) | |||
Aramark Services, Inc., 5.00%, 2/01/28(b) | 20,000 | 18,651 | |
Healthcare - Products – 0.1% | |||
Mozart Debt Merger Sub, Inc., 5.25%, 10/01/29(b) | 135,000 | 117,450 | |
Healthcare - Services – 1.2% | |||
AHP Health Partners, Inc., 5.75%, 7/15/29(b) | 75,000 | 67,688 | |
CHS/Community Health Systems, Inc., 5.25%, 5/15/30(b) | 420,000 | 368,193 | |
DaVita, Inc., 3.75%, 2/15/31(b) | 230,000 | 187,450 | |
Encompass Health Corp., 4.75%, 2/01/30 | 115,000 | 103,931 | |
HCA, Inc., | |||
5.87%, 2/15/26 | 50,000 | 51,775 | |
5.38%, 9/01/26 | 355,000 | 363,344 | |
LifePoint Health, Inc., 5.38%, 1/15/29(b) | 230,000 | 196,650 | |
RP Escrow Issuer LLC, 5.25%, 12/15/25(b) | 65,000 | 60,450 | |
Tenet Healthcare Corp., | |||
6.25%, 2/01/27(b) | 60,000 | 59,550 | |
4.63%, 6/15/28(b) | 20,000 | 18,850 | |
6.13%, 10/01/28(b) | 220,000 | 211,189 | |
4.38%, 1/15/30(b) | 385,000 | 350,300 |
Par (a) | Value | ||
Healthcare - Services (Continued) | |||
US Acute Care Solutions LLC, 6.37%, 3/01/26(b) | $ 70,000 | $ 67,987 | |
2,107,357 | |||
Home Builders – 0.0%(e) | |||
Installed Building Products, Inc., 5.75%, 2/01/28(b) | 25,000 | 23,685 | |
Home Furnishings – 0.1% | |||
Tempur Sealy International, Inc., 3.88%, 10/15/31(b) | 90,000 | 74,572 | |
Insurance – 0.2% | |||
AmWINS Group, Inc., 4.88%, 6/30/29(b) | 130,000 | 118,993 | |
AssuredPartners, Inc., 5.63%, 1/15/29(b) | 85,000 | 74,754 | |
BroadStreet Partners, Inc., 5.87%, 4/15/29(b) | 80,000 | 69,400 | |
263,147 | |||
Internet – 0.8% | |||
ANGI Group LLC, 3.88%, 8/15/28(b) | 65,000 | 51,472 | |
Arches Buyer, Inc., 6.12%, 12/01/28(b) | 40,000 | 34,800 | |
Endurance International Group Holdings, Inc., 6.00%, 2/15/29(b) | 220,000 | 178,064 | |
Match Group Holdings II LLC, 3.63%, 10/01/31(b) | 20,000 | 16,638 | |
Netflix, Inc., | |||
5.87%, 2/15/25 | 85,000 | 88,188 | |
5.38%, 11/15/29(b) | 170,000 | 170,170 | |
4.88%, 6/15/30(b) | 10,000 | 9,750 | |
Uber Technologies, Inc., 4.50%, 8/15/29(b) | 940,000 | 809,584 | |
1,358,666 | |||
Investment Management Companies – 0.4% | |||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp., | |||
6.25%, 5/15/26 | 65,000 | 64,442 | |
5.25%, 5/15/27 | 605,000 | 565,173 | |
4.38%, 2/01/29 | 80,000 | 69,019 | |
698,634 | |||
Iron/Steel – 0.3% | |||
Allegheny Technologies, Inc., | |||
5.87%, 12/01/27 | 130,000 | 125,450 | |
4.88%, 10/01/29 | 75,000 | 68,243 |
Par (a) | Value | ||
Iron/Steel (Continued) | |||
Carpenter Technology Corp., 6.37%, 7/15/28 | $ 20,000 | $ 19,927 | |
Cleveland-Cliffs, Inc., | |||
6.75%, 3/15/26(b) | 35,000 | 36,684 | |
5.88%, 6/01/27 | 125,000 | 124,375 | |
Commercial Metals Co., 4.13%, 1/15/30 | 100,000 | 91,000 | |
United States Steel Corp., 6.88%, 3/01/29 | 60,000 | 61,040 | |
526,719 | |||
Leisure Time – 0.9% | |||
Carnival Corp., 5.75%, 3/01/27(b) | 355,000 | 321,458 | |
NCL Corp. Ltd., | |||
5.87%, 3/15/26(b) | 320,000 | 295,619 | |
5.88%, 3/15/26 | 5,000 | 4,619 | |
7.75%, 2/15/29(b) | 135,000 | 130,950 | |
NCL Finance Ltd., 6.12%, 3/15/28(b) | 55,000 | 49,500 | |
Royal Caribbean Cruises Ltd., | |||
4.25%, 7/01/26(b) | 135,000 | 122,201 | |
3.70%, 3/15/28 | 95,000 | 79,544 | |
5.50%, 4/01/28(b) | 400,000 | 365,000 | |
Viking Cruises Ltd., 5.87%, 9/15/27(b) | 55,000 | 46,593 | |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 2/15/29(b) | 135,000 | 119,137 | |
VOC Escrow Ltd., 5.00%, 2/15/28(b) | 85,000 | 76,713 | |
1,611,334 | |||
Lodging – 0.7% | |||
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, | |||
5.00%, 6/01/29(b) | 140,000 | 126,350 | |
4.88%, 7/01/31(b) | 40,000 | 34,932 | |
Marriott Ownership Resorts, Inc., | |||
4.75%, 1/15/28 | 265,000 | 243,800 | |
4.50%, 6/15/29(b) | 60,000 | 52,800 | |
MGM Resorts International, 5.50%, 4/15/27 | 260,000 | 253,243 | |
Travel + Leisure Co., | |||
6.62%, 7/31/26(b) | 205,000 | 209,875 | |
6.00%, 4/01/27 | 10,000 | 10,075 |
Par (a) | Value | ||
Lodging (Continued) | |||
Travel + Leisure Co., | |||
4.50%, 12/01/29(b) | $145,000 | $ 128,325 | |
4.63%, 3/01/30(b) | 130,000 | 115,700 | |
1,175,100 | |||
Machinery - Diversified – 0.0%(e) | |||
GrafTech Finance, Inc., 4.63%, 12/15/28(b) | 50,000 | 45,638 | |
Media – 2.9% | |||
Audacy Capital Corp., 6.75%, 3/31/29(b) | 190,000 | 164,565 | |
Block Communications, Inc., 4.88%, 3/01/28(b) | 20,000 | 18,700 | |
CCO Holdings LLC/CCO Holdings Capital Corp., | |||
5.00%, 2/01/28(b) | 120,000 | 114,300 | |
4.75%, 3/01/30(b) | 665,000 | 594,344 | |
4.50%, 8/15/30(b) | 105,000 | 91,612 | |
4.25%, 2/01/31(b) | 50,000 | 42,140 | |
4.75%, 2/01/32(b) | 650,000 | 558,564 | |
4.50%, 5/01/32 | 55,000 | 46,264 | |
4.25%, 1/15/34(b) | 110,000 | 87,450 | |
CSC Holdings LLC, | |||
5.75%, 1/15/30(b) | 500,000 | 415,000 | |
4.63%, 12/01/30(b) | 600,000 | 459,000 | |
4.50%, 11/15/31(b) | 400,000 | 328,548 | |
Diamond Sports Group LLC/Diamond Sports Finance Co., | |||
5.37%, 8/15/26(b) | 175,000 | 64,750 | |
6.62%, 8/15/27(b) | 90,000 | 18,675 | |
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 8/15/27(b) | 345,000 | 324,731 | |
DISH DBS Corp., | |||
7.75%, 7/01/26 | 250,000 | 235,166 | |
7.38%, 7/01/28 | 65,000 | 56,835 | |
5.13%, 6/01/29 | 345,000 | 269,483 | |
Gray Escrow II, Inc., 5.37%, 11/15/31(b) | 35,000 | 30,169 | |
Gray Television, Inc., 4.75%, 10/15/30(b) | 245,000 | 213,150 | |
iHeartCommunications, Inc., 4.75%, 1/15/28(b) | 165,000 | 149,531 | |
McGraw-Hill Education, Inc., | |||
5.75%, 8/01/28(b) | 120,000 | 107,100 | |
8.00%, 8/01/29(b) | 120,000 | 107,400 | |
Nexstar Media, Inc., 5.63%, 7/15/27(b) | 20,000 | 19,463 |
Par (a) | Value | ||
Media (Continued) | |||
Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, 9/15/28(b) | $185,000 | $ 162,800 | |
Scripps Escrow II, Inc., 5.37%, 1/15/31(b) | 80,000 | 71,210 | |
Sinclair Television Group, Inc., 5.13%, 2/15/27(b) | 120,000 | 105,124 | |
Townsquare Media, Inc., 6.88%, 2/01/26(b) | 35,000 | 34,846 | |
Univision Communications, Inc., 6.62%, 6/01/27(b) | 80,000 | 80,200 | |
4,971,120 | |||
Mining – 0.1% | |||
Novelis Corp., 4.75%, 1/30/30(b) | 180,000 | 165,551 | |
Office/Business Equipment – 0.1% | |||
Pitney Bowes, Inc., 6.88%, 3/15/27(b) | 135,000 | 124,774 | |
Xerox Holdings Corp., 5.00%, 8/15/25(b) | 20,000 | 19,200 | |
143,974 | |||
Oil & Gas – 2.5% | |||
Antero Resources Corp., 8.38%, 7/15/26(b) | 50,000 | 53,883 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp., | |||
7.00%, 11/01/26(b) | 130,000 | 131,019 | |
5.88%, 6/30/29(b) | 80,000 | 77,433 | |
California Resources Corp., 7.12%, 2/01/26(b) | 30,000 | 30,515 | |
Callon Petroleum Co., 8.00%, 8/01/28(b) | 175,000 | 181,006 | |
Calumet Specialty Products Partners L.P./Calumet Finance Corp., 11.00%, 4/15/25(b) | 35,000 | 35,000 | |
Centennial Resource Production LLC, 6.87%, 4/01/27(b) | 75,000 | 74,853 | |
Chesapeake Energy Corp., | |||
5.50%, 2/01/26(b) | 205,000 | 203,271 | |
6.75%, 4/15/29(b) | 90,000 | 90,562 | |
Comstock Resources, Inc., 6.75%, 3/01/29(b) | 80,000 | 80,894 | |
Crescent Energy Finance LLC, 7.25%, 5/01/26(b) | 95,000 | 93,575 | |
CVR Energy, Inc., 5.25%, 2/15/25(b) | 155,000 | 149,947 |
Par (a) | Value | ||
Oil & Gas (Continued) | |||
Energy Ventures Gom LLC/EnVen Finance Corp., 11.75%, 4/15/26(b) | $ 39,000 | $ 40,365 | |
EQT Corp., | |||
6.62%, 2/01/25 | 105,000 | 109,283 | |
3.13%, 5/15/26(b) | 10,000 | 9,428 | |
Holly Energy Partners L.P./Holly Energy Finance Corp., 6.38%, 4/15/27(b) | 65,000 | 66,300 | |
Laredo Petroleum, Inc., 7.75%, 7/31/29(b) | 40,000 | 39,200 | |
Matador Resources Co., 5.88%, 9/15/26 | 150,000 | 147,261 | |
Murphy Oil Corp., 6.37%, 12/01/42 | 100,000 | 90,242 | |
Nabors Industries, Inc., 7.37%, 5/15/27(b) | 75,000 | 76,515 | |
Northern Oil and Gas, Inc., 8.13%, 3/01/28(b) | 50,000 | 49,750 | |
Oasis Petroleum, Inc., 6.38%, 6/01/26(b) | 40,000 | 40,194 | |
Occidental Petroleum Corp., | |||
5.55%, 3/15/26 | 65,000 | 66,625 | |
3.20%, 8/15/26 | 25,000 | 23,500 | |
3.00%, 2/15/27 | 35,000 | 32,550 | |
8.50%, 7/15/27 | 90,000 | 101,475 | |
3.50%, 8/15/29 | 315,000 | 294,131 | |
8.87%, 7/15/30 | 215,000 | 258,234 | |
6.62%, 9/01/30 | 140,000 | 151,725 | |
6.13%, 1/01/31 | 100,000 | 105,106 | |
7.50%, 5/01/31 | 45,000 | 51,300 | |
7.88%, 9/15/31 | 20,000 | 23,384 | |
4.10%, 2/15/47 | 180,000 | 149,850 | |
4.20%, 3/15/48 | 85,000 | 70,444 | |
PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 5/15/25(b) | 60,000 | 62,201 | |
PDC Energy, Inc., 5.75%, 5/15/26 | 75,000 | 72,987 | |
Penn Virginia Holdings LLC, 9.25%, 8/15/26(b) | 80,000 | 82,000 | |
Range Resources Corp., 8.25%, 1/15/29 | 45,000 | 48,249 | |
SM Energy Co., | |||
5.63%, 6/01/25 | 70,000 | 68,425 | |
6.75%, 9/15/26 | 65,000 | 64,672 | |
6.50%, 7/15/28 | 140,000 | 138,019 | |
Southwestern Energy Co., | |||
7.75%, 10/01/27 | 15,000 | 15,653 | |
5.38%, 2/01/29 | 140,000 | 138,292 | |
5.38%, 3/15/30 | 90,000 | 88,862 |
Par (a) | Value | ||
Oil & Gas (Continued) | |||
Southwestern Energy Co., | |||
4.75%, 2/01/32 | $ 10,000 | $ 9,456 | |
Tap Rock Resources LLC, 7.00%, 10/01/26(b) | 65,000 | 65,664 | |
Transocean Pontus Ltd., 6.13%, 8/01/25(b) | 36,900 | 36,252 | |
Transocean Poseidon Ltd., 6.87%, 2/01/27(b) | 168,750 | 162,375 | |
Transocean, Inc., | |||
11.50%, 1/30/27(b) | 40,000 | 39,790 | |
8.00%, 2/01/27(b) | 95,000 | 75,050 | |
4,366,767 | |||
Oil & Gas Services – 0.2% | |||
Transocean Proteus Ltd., 6.25%, 12/01/24(b) | 124,000 | 121,830 | |
Weatherford International Ltd., | |||
11.00%, 12/01/24(b) | 13,000 | 13,390 | |
8.62%, 4/30/30(b) | 115,000 | 113,834 | |
249,054 | |||
Packaging & Containers – 0.0%(e) | |||
Graham Packaging Co., Inc., 7.13%, 8/15/28(b) | 65,000 | 58,609 | |
Pharmaceuticals – 0.7% | |||
AdaptHealth LLC, 5.13%, 3/01/30(b) | 65,000 | 55,900 | |
Bausch Health Cos., Inc., | |||
7.00%, 1/15/28(b) | 25,000 | 20,625 | |
5.00%, 1/30/28(b) | 250,000 | 184,417 | |
6.25%, 2/15/29(b) | 400,000 | 291,104 | |
5.00%, 2/15/29(b) | 5,000 | 3,516 | |
5.25%, 1/30/30(b) | 130,000 | 90,233 | |
5.25%, 2/15/31(b) | 350,000 | 243,250 | |
Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.00%, 6/30/28(b) | 100,000 | 43,000 | |
Endo Luxembourg Finance Co. I S.a.r.l./Endo U.S., Inc., 6.12%, 4/01/29(b) | 25,000 | 21,750 | |
Organon & Co./Organon Foreign Debt Co-Issuer B.V., 5.12%, 4/30/31(b) | 240,000 | 216,900 | |
Par Pharmaceutical, Inc., 7.50%, 4/01/27(b) | 86,000 | 78,465 | |
1,249,160 | |||
Pipelines – 1.0% | |||
Antero Midstream Partners L.P./Antero Midstream Finance Corp., | |||
7.87%, 5/15/26(b) | 70,000 | 73,219 |
Par (a) | Value | ||
Pipelines (Continued) | |||
Antero Midstream Partners L.P./Antero Midstream Finance Corp., | |||
5.38%, 6/15/29(b) | $ 50,000 | $ 46,866 | |
Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.62%, 12/15/25(b) | 170,000 | 175,100 | |
Buckeye Partners L.P., | |||
4.50%, 3/01/28(b) | 90,000 | 82,125 | |
5.85%, 11/15/43 | 45,000 | 35,888 | |
5.60%, 10/15/44 | 60,000 | 48,150 | |
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp., 6.00%, 2/01/29(b) | 85,000 | 82,676 | |
DCP Midstream Operating L.P., | |||
5.38%, 7/15/25 | 70,000 | 70,350 | |
5.63%, 7/15/27 | 195,000 | 197,851 | |
EnLink Midstream Partners L.P., | |||
5.60%, 4/01/44 | 10,000 | 8,251 | |
5.05%, 4/01/45 | 5,000 | 3,850 | |
5.45%, 6/01/47 | 55,000 | 44,550 | |
EQM Midstream Partners L.P., | |||
6.00%, 7/01/25(b) | 60,000 | 59,463 | |
6.50%, 7/01/27(b) | 160,000 | 161,600 | |
5.50%, 7/15/28 | 25,000 | 23,875 | |
6.50%, 7/15/48 | 60,000 | 55,200 | |
Genesis Energy L.P./Genesis Energy Finance Corp., 7.75%, 2/01/28 | 175,000 | 168,437 | |
Hess Midstream Operations L.P., | |||
5.62%, 2/15/26(b) | 109,000 | 109,000 | |
4.25%, 2/15/30(b) | 145,000 | 133,007 | |
New Fortress Energy, Inc., 6.75%, 9/15/25(b) | 95,000 | 93,398 | |
NuStar Logistics L.P., 5.75%, 10/01/25 | 85,000 | 84,575 | |
1,757,431 | |||
Real Estate – 0.2% | |||
Realogy Group LLC/Realogy Co-Issuer Corp., | |||
5.75%, 1/15/29(b) | 100,000 | 83,827 | |
5.25%, 4/15/30(b) | 230,000 | 186,343 | |
VICI Properties L.P., 4.38%, 5/15/25 | 145,000 | 144,861 | |
415,031 |
Par (a) | Value | ||
Real Estate Investment Trusts – 0.5% | |||
Iron Mountain, Inc., | |||
4.88%, 9/15/29(b) | $210,000 | $192,370 | |
4.50%, 2/15/31(b) | 70,000 | 59,981 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.25%, 2/01/27(b) | 110,000 | 101,112 | |
Service Properties Trust, | |||
7.50%, 9/15/25 | 140,000 | 139,738 | |
4.75%, 10/01/26 | 65,000 | 55,900 | |
Starwood Property Trust, Inc., 3.63%, 7/15/26(b) | 50,000 | 45,625 | |
Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC, 4.75%, 4/15/28(b) | 150,000 | 133,875 | |
VICI Properties L.P./VICI Note Co., Inc., 4.50%, 1/15/28 | 191,000 | 188,135 | |
916,736 | |||
Retail – 1.3% | |||
Asbury Automotive Group, Inc., | |||
4.50%, 3/01/28 | 79,000 | 73,668 | |
4.63%, 11/15/29(b) | 110,000 | 99,014 | |
4.75%, 3/01/30 | 22,000 | 19,717 | |
At Home Group, Inc., | |||
4.87%, 7/15/28(b) | 50,000 | 41,313 | |
7.12%, 7/15/29(b) | 90,000 | 67,032 | |
Bath & Body Works, Inc., | |||
5.25%, 2/01/28 | 140,000 | 134,400 | |
6.87%, 11/01/35 | 5,000 | 4,885 | |
6.75%, 7/01/36 | 65,000 | 63,050 | |
Bloomin' Brands, Inc./OSI Restaurant Partners LLC, 5.12%, 4/15/29(b) | 75,000 | 69,750 | |
Carvana Co., | |||
5.62%, 10/01/25(b) | 70,000 | 60,624 | |
5.50%, 4/15/27(b) | 145,000 | 116,036 | |
4.88%, 9/01/29(b) | 20,000 | 14,596 | |
Ferrellgas L.P./Ferrellgas Finance Corp., 5.37%, 4/01/26(b) | 90,000 | 81,450 | |
Foundation Building Materials, Inc., 6.00%, 3/01/29(b) | 215,000 | 174,956 | |
Group 1 Automotive, Inc., 4.00%, 8/15/28(b) | 30,000 | 26,992 | |
Ken Garff Automotive LLC, 4.87%, 9/15/28(b) | 50,000 | 45,502 | |
LBM Acquisition LLC, 6.25%, 1/15/29(b) | 115,000 | 93,581 |
Par (a) | Value | ||
Retail (Continued) | |||
Lithia Motors, Inc., 4.38%, 1/15/31(b) | $105,000 | $ 96,337 | |
Michaels (The) Cos., Inc., 7.87%, 5/01/29(b) | 60,000 | 47,250 | |
Murphy Oil USA, Inc., 4.75%, 9/15/29 | 20,000 | 18,950 | |
Papa John's International, Inc., 3.88%, 9/15/29(b) | 60,000 | 52,482 | |
PetSmart, Inc./PetSmart Finance Corp., 4.75%, 2/15/28(b) | 250,000 | 232,500 | |
QVC, Inc., 4.85%, 4/01/24 | 5,000 | 4,972 | |
Rite Aid Corp., 7.50%, 7/01/25(b) | 75,000 | 64,211 | |
Sonic Automotive, Inc., | |||
4.63%, 11/15/29(b) | 155,000 | 133,341 | |
4.88%, 11/15/31(b) | 100,000 | 85,363 | |
Suburban Propane Partners L.P./Suburban Energy Finance Corp., 5.00%, 6/01/31(b) | 80,000 | 72,748 | |
Victoria's Secret & Co., 4.63%, 7/15/29(b) | 125,000 | 102,545 | |
Yum! Brands, Inc., 3.63%, 3/15/31 | 135,000 | 116,000 | |
2,213,265 | |||
Software – 0.1% | |||
Dun & Bradstreet (The) Corp., 5.00%, 12/15/29(b) | 45,000 | 41,850 | |
Playtika Holding Corp., 4.25%, 3/15/29(b) | 50,000 | 45,048 | |
Rocket Software, Inc., 6.50%, 2/15/29(b) | 100,000 | 85,625 | |
Ziff Davis, Inc., 4.63%, 10/15/30(b) | 83,000 | 74,010 | |
246,533 | |||
Telecommunications – 0.7% | |||
CommScope Technologies LLC, 5.00%, 3/15/27(b) | 785,000 | 616,225 | |
CommScope, Inc., 7.12%, 7/01/28(b) | 65,000 | 51,837 | |
Embarq Corp., 7.99%, 6/01/36 | 55,000 | 49,500 | |
Ligado Networks LLC, | |||
15.50%, 11/01/23(b)(j) | 123,825 | 83,582 | |
17.50%, 5/01/24(b)(j) | 45,278 | 17,545 | |
LogMeIn, Inc., 5.50%, 9/01/27(b) | 95,000 | 83,125 | |
Lumen Technologies, Inc., | |||
5.63%, 4/01/25 | 50,000 | 48,750 | |
5.38%, 6/15/29(b) | 60,000 | 48,859 |
Par (a) | Value | ||
Telecommunications (Continued) | |||
ViaSat, Inc., 6.50%, 7/15/28(b) | $ 85,000 | $ 73,419 | |
Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.75%, 8/15/28(b) | 100,000 | 95,250 | |
1,168,092 | |||
Trucking & Leasing – 0.0%(e) | |||
Fortress Transportation and Infrastructure Investors LLC, 5.50%, 5/01/28(b) | 75,000 | 64,688 | |
Water – 0.0%(e) | |||
Solaris Midstream Holdings LLC, 7.63%, 4/01/26(b) | 40,000 | 41,000 | |
Total Corporate Bonds (Cost $40,554,926) | 36,901,019 | ||
Foreign Government Inflation-Linked Bonds – 0.2% | |||
Sovereign – 0.2% | |||
Bonos de la Tesoreria de la Republica, 1.50%, 3/01/26 | CLP | 6,500 | 245,238 |
Total Foreign Government Inflation-Linked Bonds (Cost $310,428) | 245,238 | ||
Foreign Issuer Bonds – 45.1% | |||
Angola – 0.3% | |||
Angolan Government International Bond, | |||
8.25%, 5/09/28(b) | 260,000 | 249,444 | |
9.12%, 11/26/49(b) | 270,000 | 239,771 | |
489,215 | |||
Argentina – 0.4% | |||
Argentine Republic Government International Bond, | |||
(Step to 1.50% on 7/9/22), 1.13%, 7/09/35(d) | 252,524 | 72,058 | |
(Step to 3.88% on 7/9/22), 2.00%, 1/09/38(d) | 688,956 | 247,370 | |
(Step to 3.50% on 7/9/22), 2.50%, 7/09/41(d) | 658,931 | 220,313 | |
YPF S.A., 6.95%, 7/21/27(b) | 120,000 | 86,851 | |
626,592 |
Par (a) | Value | ||
Australia – 0.2% | |||
Mineral Resources Ltd., | |||
8.12%, 5/01/27(b) | $ 140,000 | $ 142,132 | |
8.00%, 11/01/27(b) | 145,000 | 144,456 | |
286,588 | |||
Bahrain – 0.7% | |||
Bahrain Government International Bond, | |||
5.62%, 9/30/31(b) | 200,000 | 184,476 | |
5.45%, 9/16/32 | 250,000 | 225,402 | |
5.25%, 1/25/33(b) | 700,000 | 616,543 | |
Oil and Gas Holding (The) Co. BSCC, 7.50%, 10/25/27 | 200,000 | 210,820 | |
1,237,241 | |||
Brazil – 2.2% | |||
Brazil Notas do Tesouro Nacional, Serie F, | |||
10.00%, 1/01/25 | BRL | 6,305,000 | 1,212,583 |
10.00%, 1/01/27 | BRL | 2,600,000 | 488,696 |
10.00%, 1/01/29 | BRL | 4,157,000 | 761,894 |
10.00%, 1/01/31 | BRL | 1,550,000 | 278,342 |
Brazilian Government International Bond, | |||
4.63%, 1/13/28 | 300,000 | 292,113 | |
4.50%, 5/30/29 | 200,000 | 189,400 | |
CSN Resources S.A., 5.87%, 4/08/32(b) | 275,000 | 244,750 | |
MC Brazil Downstream Trading S.a.r.l., 7.25%, 6/30/31(b) | 200,000 | 174,000 | |
MV24 Capital B.V., 6.75%, 6/01/34(b) | 180,614 | 171,159 | |
3,812,937 | |||
Canada – 1.1% | |||
1011778 B.C. ULC/New Red Finance, Inc., 3.88%, 1/15/28(b) | 335,000 | 308,200 | |
Baytex Energy Corp., 8.75%, 4/01/27(b) | 170,000 | 179,722 | |
Bombardier, Inc., | |||
7.12%, 6/15/26(b) | 320,000 | 294,400 | |
6.00%, 2/15/28(b) | 90,000 | 77,850 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.88%, 2/15/30(b) | 120,000 | 100,200 | |
GFL Environmental, Inc., 4.00%, 8/01/28(b) | 80,000 | 70,400 |
Par (a) | Value | ||
Canada (Continued) | |||
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.00%, 9/15/28(b) | $ 80,000 | $ 75,200 | |
MEG Energy Corp., | |||
7.12%, 2/01/27(b) | 175,000 | 177,712 | |
5.88%, 2/01/29(b) | 65,000 | 63,627 | |
Methanex Corp., | |||
5.13%, 10/15/27 | 85,000 | 81,600 | |
5.25%, 12/15/29 | 15,000 | 14,250 | |
Open Text Corp., 3.88%, 12/01/29(b) | 200,000 | 177,732 | |
Parkland Corp., 5.88%, 7/15/27(b) | 80,000 | 77,576 | |
Precision Drilling Corp., | |||
7.12%, 1/15/26(b) | 5,000 | 5,014 | |
6.87%, 1/15/29(b) | 55,000 | 53,363 | |
Strathcona Resources Ltd., 6.87%, 8/01/26(b) | 80,000 | 77,400 | |
Telesat Canada/Telesat LLC, 5.63%, 12/06/26(b) | 65,000 | 46,406 | |
1,880,652 | |||
Chile – 0.9% | |||
AES Andes S.A., (5Y USD Swap Rate + 4.64%), 7.12%, 3/26/79(b)(i) | 200,000 | 194,002 | |
Bonos de la Tesoreria de la Republica en pesos, | |||
5.80%, 6/01/24(b) | CLP | 105,000,000 | 119,883 |
2.50%, 3/01/25 | CLP | 45,000,000 | 46,718 |
5.00%, 10/01/28(b) | CLP | 95,000,000 | 101,594 |
5.00%, 3/01/35 | CLP | 55,000,000 | 56,081 |
Chile Government International Bond, | |||
2.55%, 1/27/32 | 790,000 | 685,388 | |
2.55%, 7/27/33 | 200,000 | 166,712 | |
3.50%, 1/31/34 | 200,000 | 181,100 | |
1,551,478 | |||
China – 2.0% | |||
Agile Group Holdings Ltd., 6.05%, 10/13/25 | 205,000 | 67,189 | |
Agricultural Development Bank of China, | |||
2.25%, 4/22/25 | CNY | 1,100,000 | 163,637 |
3.75%, 1/25/29 | CNY | 2,860,000 | 448,479 |
China Development Bank, 4.88%, 2/09/28(k) | CNY | 970,000 | 160,282 |
China Evergrande Group, 8.75%, 6/28/25 | 200,000 | 22,000 |
Par (a) | Value | ||
China (Continued) | |||
China Government Bond, | |||
2.85%, 6/04/27 | CNY | $ 4,650,000 | $ 705,589 |
3.28%, 12/03/27 | CNY | 2,220,000 | 344,591 |
3.27%, 11/19/30 | CNY | 7,560,000 | 1,174,635 |
Fantasia Holdings Group Co. Ltd., 11.87%, 6/01/23(k) | 200,000 | 32,000 | |
Global Aircraft Leasing Co. Ltd., (100% Cash), 6.50%, 9/15/24(b)(j) | 75,000 | 64,686 | |
Kaisa Group Holdings Ltd., 9.38%, 6/30/24(k) | 200,000 | 40,550 | |
Sunac China Holdings Ltd., 6.50%, 1/26/26 | 200,000 | 42,300 | |
Times China Holdings Ltd., 6.20%, 3/22/26 | 215,000 | 91,375 | |
Yuzhou Group Holdings Co. Ltd., 6.35%, 1/13/27 | 200,000 | 26,000 | |
Zhenro Properties Group Ltd., 6.63%, 1/07/26(k) | 200,000 | 17,000 | |
3,400,313 | |||
Colombia – 1.6% | |||
AI Candelaria Spain S.A., 5.75%, 6/15/33(b) | 250,000 | 208,125 | |
Colombia Government International Bond, | |||
3.13%, 4/15/31 | 200,000 | 155,754 | |
4.13%, 2/22/42 | 200,000 | 139,700 | |
Colombian TES, | |||
7.50%, 8/26/26 | COP | 2,578,400,000 | 600,110 |
6.00%, 4/28/28 | COP | 1,215,100,000 | 251,908 |
7.75%, 9/18/30 | COP | 659,900,000 | 144,583 |
7.00%, 6/30/32 | COP | 3,035,500,000 | 611,121 |
Ecopetrol S.A., | |||
4.62%, 11/02/31 | 85,000 | 71,018 | |
5.87%, 11/02/51 | 230,000 | 175,087 | |
Gran Tierra Energy International Holdings Ltd., 6.25%, 2/15/25 | 200,000 | 184,002 | |
Millicom International Cellular S.A., 5.12%, 1/15/28 | 180,000 | 169,650 | |
2,711,058 | |||
Costa Rica – 0.1% | |||
Instituto Costarricense de Electricidad, 6.75%, 10/07/31(b) | 200,000 | 199,290 | |
Czech Republic – 0.9% | |||
Czech Republic Government Bond, | |||
1.25%, 2/14/25 | CZK | 8,090,000 | 312,940 |
Par (a) | Value | ||
Czech Republic (Continued) | |||
Czech Republic Government Bond, | |||
1.00%, 6/26/26 | CZK | $ 6,500,000 | $ 240,120 |
2.75%, 7/23/29 | CZK | 8,230,000 | 317,630 |
0.95%, 5/15/30 | CZK | 8,670,000 | 289,293 |
2.00%, 10/13/33 | CZK | 12,340,000 | 423,173 |
1,583,156 | |||
Dominican Republic – 0.8% | |||
Dominican Republic International Bond, | |||
5.50%, 2/22/29(b) | 150,000 | 140,175 | |
4.50%, 1/30/30(b) | 390,000 | 335,670 | |
4.87%, 9/23/32(b) | 480,000 | 403,118 | |
6.00%, 2/22/33(b) | 350,000 | 317,496 | |
5.30%, 1/21/41(b) | 150,000 | 118,277 | |
1,314,736 | |||
Ecuador – 0.3% | |||
Ecuador Government International Bond, | |||
(Step to 5.50% on 7/31/22), 5.00%, 7/31/30(d) | 387,610 | 314,236 | |
(Step to 2.50% on 7/31/22), 1.00%, 7/31/35(b)(d) | 454,407 | 283,327 | |
597,563 | |||
Egypt – 0.8% | |||
Egypt Government Bond, 14.06%, 1/12/26 | EGP | 5,010,000 | 266,163 |
Egypt Government International Bond, | |||
6.59%, 2/21/28 | 275,000 | 230,103 | |
7.60%, 3/01/29 | 225,000 | 192,251 | |
7.05%, 1/15/32(b) | 360,000 | 277,095 | |
7.30%, 9/30/33 | 200,000 | 150,799 | |
Energean PLC, 6.50%, 4/30/27(b) | 200,000 | 187,900 | |
1,304,311 | |||
El Salvador – 0.1% | |||
El Salvador Government International Bond, | |||
6.38%, 1/18/27 | 230,000 | 94,206 | |
8.25%, 4/10/32 | 210,000 | 85,050 | |
179,256 | |||
France – 0.1% | |||
Altice France S.A., 5.13%, 1/15/29(b) | 290,000 | 246,090 |
Par (a) | Value | ||
Gabon – 0.1% | |||
Gabon Government International Bond, 6.63%, 2/06/31 | $ 200,000 | $ 181,093 | |
Germany – 0.3% | |||
Cheplapharm Arzneimittel GmbH, 5.50%, 1/15/28(b) | 200,000 | 191,482 | |
Deutsche Bank A.G., (5Y USD Swap Rate + 2.55%), 4.88%, 12/01/32(i) | 400,000 | 366,632 | |
558,114 | |||
Ghana – 0.1% | |||
Ghana Government International Bond, | |||
7.88%, 2/11/35 | 200,000 | 118,900 | |
8.87%, 5/07/42 | 200,000 | 119,038 | |
237,938 | |||
Guatemala – 0.3% | |||
Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.25%, 4/27/29(b) | 185,000 | 175,763 | |
CT Trust, 5.13%, 2/03/32(b) | 200,000 | 186,320 | |
Guatemala Government Bond, 3.70%, 10/07/33(b) | 200,000 | 171,563 | |
533,646 | |||
Hong Kong – 0.1% | |||
Melco Resorts Finance Ltd., 5.75%, 7/21/28(b) | 200,000 | 168,058 | |
Hungary – 0.8% | |||
Hungary Government Bond, | |||
6.00%, 11/24/23 | HUF | 101,530,000 | 280,527 |
2.50%, 10/24/24 | HUF | 84,270,000 | 212,028 |
1.00%, 11/26/25 | HUF | 131,020,000 | 297,504 |
3.00%, 10/27/27 | HUF | 62,670,000 | 143,404 |
3.25%, 10/22/31 | HUF | 91,050,000 | 190,701 |
3.00%, 10/27/38 | HUF | 23,570,000 | 41,714 |
Hungary Government International Bond, 3.12%, 9/21/51(b) | 200,000 | 137,839 | |
1,303,717 | |||
India – 0.4% | |||
Clean Renewable Power Mauritius Pte. Ltd., 4.25%, 3/25/27(b) | 196,000 | 179,830 |
Par (a) | Value | ||
India (Continued) | |||
India Green Power Holdings, 4.00%, 2/22/27(b) | $ 200,000 | $ 173,160 | |
JSW Steel Ltd., 3.95%, 4/05/27(b) | 345,000 | 307,331 | |
660,321 | |||
Indonesia – 3.3% | |||
Freeport Indonesia PT, 5.32%, 4/14/32(b) | 400,000 | 387,000 | |
Indonesia Asahan Aluminium Persero PT, | |||
4.75%, 5/15/25(b) | 400,000 | 400,048 | |
6.53%, 11/15/28(b) | 200,000 | 217,846 | |
5.45%, 5/15/30(b) | 300,000 | 300,918 | |
Indonesia Treasury Bond, | |||
8.37%, 3/15/24 | IDR | 2,716,000,000 | 196,913 |
6.50%, 6/15/25 | IDR | 5,438,000,000 | 382,420 |
8.37%, 9/15/26 | IDR | 5,700,000,000 | 422,672 |
6.13%, 5/15/28 | IDR | 4,200,000,000 | 281,987 |
9.00%, 3/15/29 | IDR | 8,223,000,000 | 633,298 |
7.00%, 9/15/30 | IDR | 5,360,000,000 | 368,789 |
6.50%, 2/15/31 | IDR | 6,870,000,000 | 457,433 |
7.50%, 8/15/32 | IDR | 5,944,000,000 | 419,712 |
8.37%, 3/15/34 | IDR | 3,453,000,000 | 259,237 |
7.50%, 6/15/35 | IDR | 3,930,000,000 | 275,418 |
Perusahaan Penerbit SBSN Indonesia III, | |||
4.15%, 3/29/27 | 300,000 | 303,903 | |
2.55%, 6/09/31 | 200,000 | 179,300 | |
3.55%, 6/09/51(b) | 200,000 | 166,568 | |
5,653,462 | |||
Iraq – 0.3% | |||
Iraq International Bond, 5.80%, 1/15/28 | 585,000 | 565,217 | |
Israel – 1.1% | |||
Energean Israel Finance Ltd., | |||
4.88%, 3/30/26(b) | 30,000 | 27,882 | |
5.37%, 3/30/28(b) | 65,000 | 59,893 | |
5.87%, 3/30/31(b) | 295,000 | 265,866 | |
Leviathan Bond Ltd., | |||
6.50%, 6/30/27(b) | 115,000 | 113,748 | |
6.75%, 6/30/30(b) | 340,000 | 333,974 | |
Teva Pharmaceutical Finance Co. LLC, 6.15%, 2/01/36 | 50,000 | 47,244 | |
Teva Pharmaceutical Finance Netherlands III B.V., 4.10%, 10/01/46 | 1,377,000 | 983,770 | |
1,832,377 |
Par (a) | Value | ||
Italy – 0.2% | |||
Telecom Italia Capital S.A., | |||
6.38%, 11/15/33 | $ 60,000 | $ 52,425 | |
6.00%, 9/30/34 | 10,000 | 8,553 | |
7.20%, 7/18/36 | 39,000 | 35,180 | |
UniCredit S.p.A., (5Y US Treasury CMT + 4.75%), 5.46%, 6/30/35(b)(i) | 200,000 | 180,458 | |
276,616 | |||
Ivory Coast – 0.1% | |||
Ivory Coast Government International Bond, | |||
4.88%, 1/30/32(b) | EUR | 100,000 | 88,980 |
6.87%, 10/17/40(b) | EUR | 175,000 | 156,304 |
245,284 | |||
Japan – 0.3% | |||
SoftBank Group Corp., 4.63%, 7/06/28 | 605,000 | 521,445 | |
Kazakhstan – 0.3% | |||
KazMunayGas National Co. JSC, 3.50%, 4/14/33(b) | 725,000 | 599,938 | |
Lebanon – 0.1% | |||
Lebanon Government International Bond, 8.25%, 5/17/34(k) | 1,024,000 | 119,900 | |
Luxembourg – 0.2% | |||
Altice Financing S.A., 5.00%, 1/15/28(b) | 240,000 | 200,335 | |
ARD Finance S.A., (100% Cash), 6.50%, 6/30/27(b)(j) | 200,000 | 168,000 | |
368,335 | |||
Macau – 0.3% | |||
MGM China Holdings Ltd., 4.75%, 2/01/27(b) | 200,000 | 168,000 | |
Studio City Finance Ltd., 5.00%, 1/15/29(b) | 200,000 | 138,000 | |
Wynn Macau Ltd., 5.13%, 12/15/29(b) | 200,000 | 157,672 | |
463,672 | |||
Malaysia – 1.8% | |||
Malaysia Government Bond, | |||
4.18%, 7/15/24 | MYR | 1,667,000 | 388,531 |
3.95%, 9/15/25 | MYR | 1,720,000 | 397,342 |
3.90%, 11/30/26 | MYR | 1,000,000 | 229,564 |
3.90%, 11/16/27 | MYR | 3,201,000 | 722,103 |
3.73%, 6/15/28 | MYR | 2,174,000 | 482,644 |
3.88%, 8/15/29 | MYR | 1,429,000 | 315,809 |
3.76%, 5/22/40 | MYR | 778,000 | 153,122 |
Par (a) | Value | ||
Malaysia (Continued) | |||
Malaysia Government Investment Issue, 3.47%, 10/15/30 | MYR | $ 1,720,000 | $ 367,630 |
3,056,745 | |||
Mexico – 4.2% | |||
America Movil S.A.B. de C.V., 5.37%, 4/04/32(b) | 200,000 | 182,042 | |
Banco Mercantil del Norte S.A., (5Y US Treasury CMT + 4.64%), 5.87%, 1/24/27(b)(h)(i) | 200,000 | 179,030 | |
Braskem Idesa SAPI, 6.99%, 2/20/32(b) | 200,000 | 179,474 | |
Cemex S.A.B. de C.V., | |||
(5Y US Treasury CMT + 4.53%), 5.13%, 6/08/26(b)(h)(i) | 260,000 | 237,486 | |
3.88%, 7/11/31(b) | 490,000 | 415,623 | |
Comision Federal de Electricidad, 4.69%, 5/15/29(b) | 200,000 | 184,704 | |
Electricidad Firme de Mexico Holdings S.A. de C.V., 4.90%, 11/20/26(b) | 200,000 | 177,000 | |
Mexican Bonos, | |||
10.00%, 12/05/24 | MXN | 9,030,000 | 452,089 |
5.75%, 3/05/26 | MXN | 13,387,900 | 586,087 |
7.50%, 6/03/27 | MXN | 16,013,000 | 736,080 |
8.50%, 5/31/29 | MXN | 15,877,400 | 755,376 |
7.75%, 5/29/31 | MXN | 11,596,500 | 521,477 |
10.00%, 11/20/36 | MXN | 1,346,500 | 70,473 |
8.50%, 11/18/38 | MXN | 13,050,000 | 604,575 |
Mexico Government International Bond, | |||
3.50%, 2/12/34 | 200,000 | 169,008 | |
4.40%, 2/12/52 | 200,000 | 159,510 | |
Nemak S.A.B. de C.V., 3.63%, 6/28/31(b) | 200,000 | 163,200 | |
Petroleos Mexicanos, | |||
6.50%, 1/23/29 | 150,000 | 138,000 | |
5.95%, 1/28/31 | 677,000 | 569,560 | |
6.62%, 6/15/35 | 619,000 | 502,009 | |
7.69%, 1/23/50 | 445,000 | 347,710 | |
7,330,513 | |||
Morocco – 0.1% | |||
OCP S.A., 3.75%, 6/23/31 | 200,000 | 169,779 | |
Netherlands – 0.2% | |||
UPC Broadband Finco B.V., 4.88%, 7/15/31(b) | 220,000 | 193,325 | |
Ziggo Bond Co. B.V., 6.00%, 1/15/27(b) | 185,000 | 181,300 | |
374,625 |
Par (a) | Value | ||
Nigeria – 0.7% | |||
IHS Holding Ltd., 5.63%, 11/29/26(b) | $ 200,000 | $ 190,000 | |
IHS Netherlands Holdco B.V., 8.00%, 9/18/27 | 200,000 | 202,180 | |
Nigeria Government International Bond, | |||
6.12%, 9/28/28(b) | 350,000 | 299,250 | |
7.37%, 9/28/33 | 300,000 | 240,004 | |
7.70%, 2/23/38(b) | 390,000 | 293,054 | |
1,224,488 | |||
Oman – 0.8% | |||
Oman Government International Bond, 6.25%, 1/25/31(b) | 315,000 | 320,538 | |
OQ SAOC, 5.13%, 5/06/28 | 1,050,000 | 1,022,033 | |
1,342,571 | |||
Pakistan – 0.2% | |||
Pakistan Government International Bond, 6.88%, 12/05/27 | 335,000 | 275,096 | |
Panama – 0.7% | |||
Panama Government International Bond, | |||
3.16%, 1/23/30 | 600,000 | 544,056 | |
2.25%, 9/29/32 | 750,000 | 600,022 | |
3.87%, 7/23/60 | 200,000 | 148,834 | |
1,292,912 | |||
Paraguay – 0.2% | |||
Paraguay Government International Bond, | |||
2.74%, 1/29/33 | 200,000 | 162,446 | |
5.60%, 3/13/48 | 300,000 | 270,841 | |
433,287 | |||
Peru – 1.1% | |||
Peru Government Bond, | |||
5.94%, 2/12/29 | PEN | 370,000 | 87,126 |
6.15%, 8/12/32 | PEN | 1,150,000 | 261,568 |
5.35%, 8/12/40 | PEN | 474,000 | 90,039 |
Peruvian Government International Bond, | |||
8.20%, 8/12/26 | 800,000 | 217,695 | |
6.35%, 8/12/28 | PEN | 675,000 | 164,226 |
2.78%, 1/23/31 | 250,000 | 216,593 | |
3.00%, 1/15/34 | 590,000 | 491,329 | |
6.90%, 8/12/37 | PEN | 700,000 | 161,356 |
3.30%, 3/11/41 | 300,000 | 234,540 | |
Volcan Cia Minera S.A.A., 4.38%, 2/11/26(b) | 30,000 | 26,850 | |
1,951,322 |
Par (a) | Value | ||
Philippines – 0.4% | |||
Philippine Government International Bond, | |||
1.95%, 1/06/32 | $ 400,000 | $ 336,688 | |
3.20%, 7/06/46 | 350,000 | 275,433 | |
612,121 | |||
Poland – 1.4% | |||
Republic of Poland Government Bond, | |||
4.00%, 10/25/23 | PLN | 680,000 | 148,559 |
2.50%, 4/25/24 | PLN | 2,105,000 | 439,960 |
2.50%, 7/25/26 | PLN | 3,093,000 | 588,920 |
2.50%, 7/25/27 | PLN | 3,491,000 | 645,917 |
2.75%, 10/25/29 | PLN | 1,439,000 | 255,786 |
1.25%, 10/25/30 | PLN | 2,180,000 | 333,999 |
2,413,141 | |||
Qatar – 1.2% | |||
Qatar Energy, | |||
1.38%, 9/12/26 | 200,000 | 181,181 | |
2.25%, 7/12/31(b) | 600,000 | 523,500 | |
3.13%, 7/12/41(b) | 625,000 | 522,025 | |
3.30%, 7/12/51(b) | 200,000 | 165,952 | |
Qatar Government International Bond, 3.75%, 4/16/30(b) | 600,000 | 606,343 | |
1,999,001 | |||
Romania – 0.9% | |||
Romania Government Bond, | |||
4.25%, 6/28/23 | RON | 1,685,000 | 353,729 |
3.25%, 4/29/24 | RON | 1,325,000 | 268,820 |
3.25%, 6/24/26 | RON | 1,625,000 | 305,044 |
5.00%, 2/12/29 | RON | 1,050,000 | 200,082 |
Romanian Government International Bond, | |||
3.00%, 2/27/27(b) | 320,000 | 297,207 | |
3.00%, 2/14/31(b) | 114,000 | 97,121 | |
1,522,003 | |||
Saudi Arabia – 1.4% | |||
KSA Sukuk Ltd., 2.25%, 5/17/31 | 300,000 | 267,445 | |
SA Global Sukuk Ltd., 1.60%, 6/17/26 | 425,000 | 391,569 | |
Saudi Arabian Oil Co., | |||
2.88%, 4/16/24 | 550,000 | 544,062 | |
4.25%, 4/16/39 | 200,000 | 190,676 | |
Saudi Government International Bond, | |||
3.25%, 10/26/26 | 525,000 | 523,057 |
Par (a) | Value | ||
Saudi Arabia (Continued) | |||
Saudi Government International Bond, | |||
2.25%, 2/02/33(b) | $ 400,000 | $ 346,846 | |
3.45%, 2/02/61 | 200,000 | 160,298 | |
2,423,953 | |||
Senegal – 0.1% | |||
Senegal Government International Bond, 5.38%, 6/08/37(b) | EUR | 160,000 | 131,151 |
South Africa – 3.4% | |||
Eskom Holdings SOC Ltd., | |||
7.13%, 2/11/25 | 225,000 | 214,815 | |
4.31%, 7/23/27 | 200,000 | 181,503 | |
8.45%, 8/10/28 | 200,000 | 192,979 | |
6.35%, 8/10/28 | 400,000 | 395,926 | |
Republic of South Africa Government Bond, | |||
10.50%, 12/21/26 | ZAR | 3,654,517 | 250,711 |
8.00%, 1/31/30 | ZAR | 21,185,369 | 1,202,573 |
7.00%, 2/28/31 | ZAR | 9,175,658 | 474,520 |
8.25%, 3/31/32 | ZAR | 21,000,000 | 1,159,537 |
8.87%, 2/28/35 | ZAR | 9,884,022 | 545,921 |
8.50%, 1/31/37 | ZAR | 12,324,445 | 645,296 |
Republic of South Africa Government International Bond, | |||
4.85%, 9/30/29 | 200,000 | 183,964 | |
7.30%, 4/20/52 | 200,000 | 187,040 | |
Sasol Financing U.S.A. LLC, 5.50%, 3/18/31 | 200,000 | 180,000 | |
5,814,785 | |||
Sri Lanka – 0.2% | |||
Sri Lanka Government International Bond, | |||
6.20%, 5/11/27(k) | 275,000 | 116,017 | |
6.75%, 4/18/28(k) | 400,000 | 168,636 | |
284,653 | |||
Switzerland – 0.1% | |||
Consolidated Energy Finance S.A., 6.50%, 5/15/26(b) | 150,000 | 153,188 | |
Tanzania, United Republic of – 0.1% | |||
HTA Group Ltd., 7.00%, 12/18/25(b) | 255,000 | 251,940 | |
Thailand – 2.1% | |||
GC Treasury Center Co. Ltd., 5.20%, 3/30/52(b) | 200,000 | 188,034 |
Par (a) | Value | ||
Thailand (Continued) | |||
Krung Thai Bank PCL, (5Y US Treasury CMT + 3.53%), 4.40%, 3/25/26(h)(i) | $ 300,000 | $ 279,000 | |
Thailand Government Bond, | |||
0.75%, 6/17/24 | THB | 14,600,000 | 419,780 |
1.00%, 6/17/27 | THB | 27,300,000 | 746,753 |
2.87%, 12/17/28 | THB | 29,638,000 | 882,680 |
2.00%, 12/17/31 | THB | 24,176,000 | 663,349 |
1.59%, 12/17/35 | THB | 7,400,000 | 175,861 |
3.30%, 6/17/38 | THB | 8,000,000 | 225,460 |
3,580,917 | |||
Turkey – 0.7% | |||
Turkey Government International Bond, | |||
8.60%, 9/24/27 | 575,000 | 581,040 | |
6.12%, 10/24/28 | 400,000 | 357,253 | |
5.88%, 6/26/31 | 355,000 | 293,715 | |
1,232,008 | |||
Ukraine – 0.2% | |||
NPC Ukrenergo, 6.88%, 11/09/26(b)(g) | 200,000 | 66,000 | |
Ukraine Government International Bond, | |||
7.75%, 9/01/27 | 380,000 | 128,201 | |
7.25%, 3/15/33 | 280,000 | 90,405 | |
284,606 | |||
United Arab Emirates – 0.8% | |||
Abu Dhabi Government International Bond, 3.12%, 9/30/49 | 200,000 | 165,638 | |
DP World Salaam, (5Y US Treasury CMT + 5.75%), 6.00%, 10/01/25(h)(i) | 200,000 | 203,353 | |
Galaxy Pipeline Assets Bidco Ltd., | |||
2.16%, 3/31/34(b) | 192,172 | 168,967 | |
2.63%, 3/31/36(b) | 400,000 | 334,419 | |
2.94%, 9/30/40(b) | 221,087 | 184,621 | |
UAE International Government Bond, 2.87%, 10/19/41(b) | 400,000 | 335,092 | |
1,392,090 | |||
United Kingdom – 0.4% | |||
Connect Finco S.a.r.l./Connect U.S. Finco LLC, 6.75%, 10/01/26(b) | 200,000 | 194,500 |
Par (a) | Value | ||
United Kingdom (Continued) | |||
Jaguar Land Rover Automotive PLC, 5.50%, 7/15/29(b) | $ 200,000 | $ 166,472 | |
Virgin Media Secured Finance PLC, 5.50%, 5/15/29(b) | 450,000 | 416,250 | |
777,222 | |||
Uruguay – 0.4% | |||
Uruguay Government International Bond, | |||
4.38%, 1/23/31 | 418,136 | 428,598 | |
4.48%, 7/02/40 | UYU | 7,000,000 | 221,571 |
4.97%, 4/20/55 | 59,844 | 61,199 | |
711,368 | |||
Zambia – 0.5% | |||
First Quantum Minerals Ltd., 6.88%, 3/01/26(b) | 800,000 | 802,000 | |
Zambia Government International Bond, 8.50%, 4/14/24(k) | 200,000 | 150,662 | |
952,662 | |||
Total Foreign Issuer Bonds (Cost $87,932,532) | 77,697,756 | ||
Mortgage-Backed Securities – 0.8% | |||
Commercial Mortgage-Backed Securities – 0.8% | |||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 5.11%, 5/10/47(b)(l) | 175,000 | 162,654 | |
Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.92%, 10/15/45(b) | 100,000 | 95,028 | |
GS Mortgage Securities Trust, | |||
Series 2011-GC5, Class D, 5.30%, 8/10/44(b)(l) | 315,000 | 137,025 | |
Series 2011-GC5, Class C, 5.30%, 8/10/44(b)(l) | 35,000 | 30,986 | |
Series 2013-GC13, Class C, 4.20%, 7/10/46(b)(l) | 320,000 | 295,196 | |
Series 2014-GC22, Class D, 4.84%, 6/10/47(b)(l) | 50,000 | 45,153 | |
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.36%, 2/15/46(b) | 100,000 | 96,339 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class B, 4.50%, 8/15/46(l) | $110,000 | $ 80,856 | |
MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C, 4.42%, 10/15/30(b)(l) | 100,000 | 90,030 | |
Wells Fargo Commercial Mortgage Trust, | |||
Series 2014-LC16, Class C, 4.46%, 8/15/50 | 75,000 | 46,643 | |
Series 2016-C36, Class C, 4.31%, 11/15/59(l) | 45,000 | 37,166 | |
WFRBS Commercial Mortgage Trust, | |||
Series 2011-C3, Class D, 5.42%, 3/15/44(b)(l) | 173,663 | 75,543 | |
Series 2012-C7, Class D, 4.79%, 6/15/45(b)(l) | 320,000 | 137,600 | |
Series 2012-C10, Class C, 4.49%, 12/15/45(l) | 120,000 | 109,888 | |
1,440,107 | |||
Total Mortgage-Backed Securities (Cost $1,773,721) | 1,440,107 |
Number of Shares | |||
Warrants – 0.0%(e) | |||
Engineering & Construction – 0.0%(e) | |||
Mcdermott International Ltd., Class A (m)* | 3,868 | 77 | |
Mcdermott International Ltd., Class B (m)* | 4,298 | 43 | |
120 | |||
Total Warrants (Cost $6,000) | 120 |
Par (a)/Number of Shares | Value | ||
Short-Term Investments – 6.9% | |||
Foreign Issuer Bonds – 0.7% | |||
Brazil Letras do Tesouro Nacional, 0.00%, 1/01/23(f) | BRL | 940,000 | $ 175,030 |
Brazil Notas do Tesouro Nacional, Serie F, 10.00%, 1/01/23 | 4,572,000 | 906,410 | |
Egypt Treasury Bill, 11.46%, 9/20/22(n) | EGP | 1,300,000 | 67,274 |
Egypt Treasury Bill, 11.45%, 9/27/22(n) | 1,300,000 | 67,103 | |
1,215,817 | |||
Money Market Fund – 4.5% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.18%(o) | 7,807,018 | 7,807,018 | |
Sovereign – 0.3% | |||
Malaysia Government Bond, 3.48%, 3/15/23 | MYR | 2,030,000 | 470,207 |
U.S. Treasury Notes – 1.4% | |||
U.S. Treasury Notes, 0.50%, 3/15/23 | 625,000 | 617,017 | |
U.S. Treasury Notes, 0.13%, 3/31/23 | 1,425,000 | 1,400,118 | |
U.S. Treasury Notes, 0.25%, 4/15/23 | 305,000 | 299,639 | |
2,316,774 | |||
Total Short-Term Investments (Cost $11,811,039) | 11,809,816 | ||
Total Investments – 77.8% (Cost $148,825,556) | 133,949,475 | ||
Other Assets less Liabilities – 22.2%(p) | 38,326,793 | ||
NET ASSETS – 100.0% | $172,276,268 |
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 rate security. Rate as of April 30, 2022 is disclosed. | ||
(d) | Step coupon bond. Rate as of April 30, 2022 is disclosed. | ||
(e) | Amount rounds to less than 0.05%. | ||
(f) | Zero coupon bond. |
(g) | Restricted security that has been deemed illiquid. At April 30, 2022, the value of these restricted illiquid securities amounted to $339,270 or 0.20% of net assets. Additional information on these restricted illiquid securities is as follows: |
Security | Acquisition Date | Acquisition Cost | |
2020 Cash Mandatory Exchangeable Trust | 5/06/21 | $ 305,140 | |
NPC Ukrenergo, 6.88%, 11/9/26 | 11/08/21 | 203,750 |
(h) | Perpetual bond. Maturity date represents next call date. |
(i) | 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, 2022 is disclosed. |
(j) | Distributions from this security are a made via payments in-kind (PIK) unless otherwise noted in the description. |
(k) | Issuer has defaulted on terms of debt obligation. |
(l) | 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, 2022 is disclosed. |
(m) | Investment is valued using significant unobservable inputs (Level 3). |
(n) | Discount rate at the time of purchase. |
(o) | 7-day current yield as of April 30, 2022 is disclosed. |
(p) | Includes appreciation/ (depreciation) on forward foreign currency exchange contracts and swap contracts. |
* | Non-Income Producing Security |
Abbreviations: | |
3M | 3 Month |
5Y | 5 Year |
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 |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
L.P. | Limited Partnership |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
PCL | Public Company Limited |
PEN | Peruvian Nuevo Sole |
PLC | Public Limited Company |
PLN | Polish Zloty |
RON | Romania New Leu |
THB | Thai Baht |
USD | United States Dollar |
UYU | Uruguay Peso |
ZAR | South African Rand |
Concentration by Currency (%)(a) | |
U.S. Dollar | 51.3 |
All other currencies less than 5% | 48.7 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Composition by Type (%)(a) | |
Non-Government | 46.1 |
Sovereign | 31.7 |
Others | 22.2 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2022: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
07/20/22 | U.S. Dollars | 985,000 | South African Rand | 15,275,380 | Bank of America | $ 26,319 |
05/09/22 | U.S. Dollars | 452,019 | Polish Zloty | 1,925,028 | BNP Paribas | 18,214 |
07/20/22 | U.S. Dollars | 150,000 | South African Rand | 2,218,650 | Standard Chartered Bank | 10,758 |
06/06/22 | Brazilian Real | 1,119,528 | U.S. Dollars | 213,000 | JPMorgan Chase | 10,711 |
05/31/22 | U.S. Dollars | 140,000 | Hungarian Forint | 46,837,000 | Morgan Stanley | 9,937 |
05/31/22 | U.S. Dollars | 126,000 | Hungarian Forint | 42,222,600 | Goldman Sachs | 8,750 |
07/20/22 | U.S. Dollars | 119,201 | South African Rand | 1,764,169 | JPMorgan Chase | 8,482 |
05/09/22 | U.S. Dollars | 98,292 | Polish Zloty | 400,000 | Bank of America | 8,152 |
06/06/22 | U.S. Dollars | 230,643 | Brazilian Real | 1,119,528 | BNP Paribas | 6,932 |
07/01/22 | U.S. Dollars | 198,076 | Euro | 181,000 | Morgan Stanley | 6,520 |
05/09/22 | U.S. Dollars | 235,000 | Polish Zloty | 1,014,730 | Morgan Stanley | 6,331 |
05/09/22 | U.S. Dollars | 235,000 | Polish Zloty | 1,016,845 | JPMorgan Chase | 5,854 |
07/20/22 | South African Rand | 4,770,982 | U.S. Dollars | 296,700 | State Street | 2,726 |
05/09/22 | U.S. Dollars | 53,238 | Polish Zloty | 225,000 | Barclays | 2,534 |
07/26/22 | U.S. Dollars | 310,000 | Mexican Peso | 6,407,700 | JPMorgan Chase | 1,337 |
06/10/22 | Czech Koruna | 2,207,727 | U.S. Dollars | 93,000 | BNP Paribas | 1,174 |
05/24/22 | Mexican Peso | 2,290,494 | U.S. Dollars | 111,000 | Bank of America | 711 |
05/24/22 | U.S. Dollars | 125,300 | Chilean Peso | 107,023,742 | Bank of America | 444 |
Total Unrealized Appreciation | $ 135,886 | |||||
05/24/22 | U.S. Dollars | 110,073 | Mexican Peso | 2,290,494 | BNP Paribas | $ (1,637) |
07/18/22 | Thai Baht | 17,849,373 | U.S. Dollars | 528,557 | Barclays | (6,517) |
05/31/22 | Hungarian Forint | 89,059,600 | U.S. Dollars | 265,361 | BNP Paribas | (18,048) |
05/09/22 | Polish Zloty | 1,367,211 | U.S. Dollars | 326,819 | BNP Paribas | (18,718) |
05/09/22 | Polish Zloty | 784,392 | U.S. Dollars | 196,000 | Barclays | (19,237) |
05/24/22 | Chilean Peso | 280,000,000 | U.S. Dollars | 348,823 | Morgan Stanley | (22,170) |
05/09/22 | Polish Zloty | 2,430,000 | U.S. Dollars | 607,584 | Morgan Stanley | (59,983) |
Total Unrealized Depreciation | $(146,310) | |||||
Net Unrealized Depreciation | $ (10,424) |
Credit Default Swap Contracts outstanding - Buy Protection at April 30, 2022: Over the Counter | ||||||||
Reference Obligation | Fixed Deal Pay Rate | Maturity Date | Counterparty | Notional Amount | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
Republic of Chile, 3.24%, Due: 02/06/2028 (Pay Quarterly) | 1.00% | 6/20/2027 | Morgan Stanley | USD | 297,046 | $ 271 | $(1,458) | $1,729 |
United Mexican States, 4.15%, Due: 03/28/2027 (Pay Quarterly) | 1.00% | 6/20/2027 | Barclays | USD | 268,000 | 4,640 | 2,553 | 2,087 |
Total | $4,911 | $ 1,095 | $3,816 |
Morningstar Multisector Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 811,247 | $ — | $ 811,247 |
Common Stocks | 1,695,853 | 1,256 | — | 1,697,109 |
Convertible Bonds | — | 2,959,575 | — | 2,959,575 |
Convertible Preferred Stocks | 114,218 | 273,270 | — | 387,488 |
Corporate Bonds | — | 36,901,019 | — | 36,901,019 |
Foreign Government Inflation-Linked Bonds | — | 245,238 | — | 245,238 |
Foreign Issuer Bonds | — | 77,697,756 | — | 77,697,756 |
Mortgage-Backed Securities | — | 1,440,107 | — | 1,440,107 |
Warrants | — | — | 120 | 120 |
Short-Term Investments | 7,807,018 | 4,002,798 | — | 11,809,816 |
Total Investments | $9,617,089 | $124,332,266 | $120 | $133,949,475 |
Morningstar Multisector Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Forward Foreign Currency Exchange Contracts | $— | $ 135,886 | $— | $ 135,886 |
Swap Agreements | — | 4,911 | — | 4,911 |
Total Assets - Derivative Financial Instruments | $— | $ 140,797 | $— | $ 140,797 |
Liabilities: | ||||
Forward Foreign Currency Exchange Contracts | $— | $(146,310) | $— | $(146,310) |
Total Liabilities - Derivative Financial Instruments | $— | $(146,310) | $— | $(146,310) |
Net Derivative Financial Instruments | $— | $ (5,513) | $— | $ (5,513) |
Number of Shares | Value | ||
Common Stocks – 50.4% | |||
Advertising – 1.4% | |||
Dentsu Group, Inc. (Japan) | 2,800 | $ 100,916 | |
Omnicom Group, Inc. | 32,213 | 2,452,376 | |
WPP PLC (United Kingdom) | 13,946 | 173,835 | |
2,727,127 | |||
Aerospace/Defense – 0.2% | |||
BAE Systems PLC (United Kingdom) | 34,152 | 315,450 | |
Agriculture – 0.3% | |||
British American Tobacco PLC (United Kingdom) | 13,907 | 582,875 | |
Japan Tobacco, Inc. (Japan) | 4,600 | 78,254 | |
661,129 | |||
Apparel – 1.2% | |||
Tapestry, Inc. | 75,479 | 2,484,769 | |
Auto Manufacturers – 0.8% | |||
Honda Motor Co. Ltd. (Japan) | 18,900 | 497,137 | |
Nissan Motor Co. Ltd. (Japan)* | 38,600 | 154,537 | |
Toyota Motor Corp. (Japan) | 59,100 | 1,012,602 | |
1,664,276 | |||
Auto Parts & Equipment – 0.4% | |||
Bridgestone Corp. (Japan) | 8,800 | 322,553 | |
Denso Corp. (Japan) | 2,600 | 158,458 | |
Stanley Electric Co. Ltd. (Japan) | 7,800 | 134,496 | |
Sumitomo Electric Industries Ltd. (Japan) | 7,700 | 82,781 | |
698,288 | |||
Banks – 3.8% | |||
ABN AMRO Bank N.V. - CVA (Netherlands)(a) | 6,108 | 75,930 | |
Banco Bilbao Vizcaya Argentaria S.A. (Spain) | 39,420 | 206,847 | |
Banco del Bajio S.A. (Mexico)(a) | 22,449 | 55,225 | |
Banco Santander S.A. (Spain) | 107,118 | 313,036 | |
Barclays PLC (United Kingdom) | 202,974 | 373,095 | |
BNP Paribas S.A. (France) | 7,813 | 405,115 | |
CaixaBank S.A. (Spain) | 24,977 | 80,623 | |
Credit Suisse Group A.G. (Switzerland)(b) | 11,761 | 79,826 | |
DNB Bank ASA (Norway) | 4,323 | 83,768 | |
Erste Group Bank A.G. (Austria) | 3,344 | 104,118 |
Number of Shares | Value | ||
Banks (Continued) | |||
Grupo Financiero Banorte S.A.B. de C.V., Class O (Mexico) | 42,075 | $ 277,318 | |
Grupo Financiero Inbursa S.A.B. de C.V., Class O (Mexico)* | 21,985 | 37,352 | |
HSBC Holdings PLC (United Kingdom) | 238,222 | 1,488,680 | |
ING Groep N.V. (Netherlands) | 35,249 | 333,956 | |
Intesa Sanpaolo S.p.A. (Italy) | 77,084 | 157,075 | |
KBC Group N.V. (Belgium) | 1,152 | 78,373 | |
Lloyds Banking Group PLC (United Kingdom) | 1,037,657 | 589,352 | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | 51,600 | 299,970 | |
Mizuho Financial Group, Inc. (Japan) | 7,100 | 86,213 | |
Natwest Group PLC (United Kingdom) | 105,364 | 282,669 | |
Nordea Bank Abp (Finland) | 15,095 | 150,499 | |
Regional S.A.B. de C.V. (Mexico) | 8,692 | 52,463 | |
Resona Holdings, Inc. (Japan) | 26,700 | 116,103 | |
Skandinaviska Enskilda Banken AB Class A (Sweden) | 9,939 | 111,457 | |
Standard Chartered PLC (United Kingdom) | 48,117 | 328,943 | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | 14,700 | 444,145 | |
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 8,500 | 263,819 | |
Svenska Handelsbanken AB, Class A (Sweden) | 12,493 | 126,008 | |
Swedbank AB, Class A (Sweden) | 9,534 | 150,821 | |
UBS Group A.G. (Switzerland)(b) | 19,008 | 322,692 | |
UniCredit S.p.A. (Italy) | 12,574 | 116,373 | |
7,591,864 | |||
Beverages – 1.1% | |||
Anheuser-Busch InBev S.A./N.V. (Belgium) | 12,152 | 699,220 | |
Arca Continental S.A.B. de C.V. (Mexico) | 5,114 | 32,496 | |
Asahi Group Holdings Ltd. (Japan) | 2,100 | 79,155 | |
Becle S.A.B. de C.V. (Mexico) | 27,817 | 69,329 | |
Coca-Cola Femsa S.A.B. de C.V. (Mexico) | 12,466 | 68,034 |
Number of Shares | Value | ||
Beverages (Continued) | |||
Diageo PLC (United Kingdom) | 13,732 | $ 685,074 | |
Fomento Economico Mexicano S.A.B. de C.V. (Mexico) | 53,925 | 403,331 | |
Kirin Holdings Co. Ltd. (Japan) | 16,900 | 246,364 | |
2,283,003 | |||
Building Materials – 0.1% | |||
Cemex S.A.B. de C.V., Series CPO (Mexico)* | 153,529 | 67,787 | |
Daikin Industries Ltd. (Japan) | 1,300 | 198,663 | |
266,450 | |||
Chemicals – 0.3% | |||
Nitto Denko Corp. (Japan) | 2,400 | 161,090 | |
Orbia Advance Corp. S.A.B. de C.V. (Mexico) | 27,633 | 66,434 | |
Shin-Etsu Chemical Co. Ltd. (Japan) | 2,700 | 371,073 | |
Toray Industries, Inc. (Japan) | 15,700 | 74,407 | |
673,004 | |||
Commercial Services – 3.7% | |||
Experian PLC (United Kingdom) | 5,888 | 203,338 | |
H&R Block, Inc. | 98,690 | 2,572,848 | |
Nielsen Holdings PLC | 76,220 | 2,043,458 | |
Promotora y Operadora de Infraestructura S.A.B. de C.V. (Mexico) | 4,209 | 30,833 | |
Recruit Holdings Co. Ltd. (Japan) | 5,600 | 203,177 | |
RELX PLC (United Kingdom) | 11,108 | 330,913 | |
Rentokil Initial PLC (United Kingdom) | 18,587 | 127,661 | |
Secom Co. Ltd. (Japan) | 26,118 | 1,837,519 | |
7,349,747 | |||
Computers – 0.2% | |||
Cognizant Technology Solutions Corp., Class A | 4,960 | 401,264 | |
Cosmetics/Personal Care – 0.5% | |||
Kao Corp. (Japan) | 7,000 | 280,549 | |
Unilever PLC (United Kingdom) | 15,225 | 707,812 | |
988,361 | |||
Distribution/Wholesale – 0.6% | |||
Bunzl PLC (United Kingdom) | 3,467 | 133,759 | |
Ferguson PLC | 1,081 | 135,610 |
Number of Shares | Value | ||
Distribution/Wholesale (Continued) | |||
ITOCHU Corp. (Japan) | 12,900 | $ 389,335 | |
Mitsubishi Corp. (Japan) | 9,000 | 302,180 | |
Mitsui & Co. Ltd. (Japan) | 12,300 | 297,854 | |
1,258,738 | |||
Diversified Financial Services – 1.5% | |||
Bolsa Mexicana de Valores S.A.B. de C.V. (Mexico) | 18,694 | 37,422 | |
Daiwa Securities Group, Inc. (Japan) | 17,300 | 84,790 | |
Deutsche Boerse A.G. (Germany) | 1,246 | 216,922 | |
Japan Exchange Group, Inc. (Japan) | 3,900 | 58,073 | |
Julius Baer Group Ltd. (Switzerland) | 2,488 | 118,896 | |
London Stock Exchange Group PLC (United Kingdom) | 4,933 | 486,353 | |
ORIX Corp. (Japan) | 9,400 | 171,446 | |
St James's Place PLC (United Kingdom) | 16,062 | 258,110 | |
Visa, Inc., Class A | 7,695 | 1,640,035 | |
3,072,047 | |||
Electric – 0.7% | |||
Chubu Electric Power Co., Inc. (Japan) | 17,000 | 171,616 | |
Electric Power Development Co. Ltd. (Japan) | 7,000 | 95,920 | |
National Grid PLC (United Kingdom) | 70,547 | 1,048,115 | |
SSE PLC (United Kingdom) | 5,899 | 137,009 | |
1,452,660 | |||
Electrical Component & Equipment – 0.0%(c) | |||
Casio Computer Co. Ltd. (Japan) | 6,300 | 65,330 | |
Electronics – 0.5% | |||
Hoya Corp. (Japan) | 1,300 | 129,015 | |
Kyocera Corp. (Japan) | 3,200 | 168,022 | |
Murata Manufacturing Co. Ltd. (Japan) | 4,900 | 292,077 | |
Nidec Corp. (Japan) | 1,700 | 109,903 | |
TDK Corp. (Japan) | 8,100 | 250,223 | |
949,240 | |||
Engineering & Construction – 1.3% | |||
Ferrovial S.A. (Spain) | 62,292 | 1,597,439 | |
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. (Mexico) | 12,025 | 83,807 |
Number of Shares | Value | ||
Engineering & Construction (Continued) | |||
Grupo Aeroportuario del Pacifico S.A.B. de C.V., Class B (Mexico)* | 7,247 | $ 111,646 | |
Grupo Aeroportuario del Sureste S.A.B. de C.V., Class B (Mexico) | 4,760 | 103,800 | |
Vinci S.A. (France) | 8,083 | 784,325 | |
2,681,017 | |||
Entertainment – 1.3% | |||
Entain PLC (United Kingdom)* | 5,078 | 95,417 | |
International Game Technology PLC(d) | 113,390 | 2,475,304 | |
2,570,721 | |||
Food – 0.5% | |||
Associated British Foods PLC (United Kingdom) | 6,224 | 124,547 | |
Gruma S.A.B. de C.V., Class B (Mexico) | 5,325 | 63,420 | |
Grupo Bimbo S.A.B. de C.V., Class A (Mexico) | 32,979 | 101,540 | |
MEIJI Holdings Co. Ltd. (Japan) | 4,500 | 224,311 | |
Seven & i Holdings Co. Ltd. (Japan) | 4,500 | 198,976 | |
Tesco PLC (United Kingdom) | 79,632 | 270,535 | |
Yamazaki Baking Co. Ltd. (Japan) | 5,886 | 72,764 | |
1,056,093 | |||
Food Service – 0.1% | |||
Compass Group PLC (United Kingdom) | 13,030 | 274,957 | |
Gas – 0.3% | |||
Osaka Gas Co. Ltd. (Japan) | 11,000 | 198,258 | |
Snam S.p.A. (Italy) | 67,444 | 369,903 | |
568,161 | |||
Healthcare - Products – 1.5% | |||
DENTSPLY SIRONA, Inc. | 17,231 | 689,067 | |
Medtronic PLC | 14,697 | 1,533,779 | |
Olympus Corp. (Japan) | 8,600 | 151,370 | |
Smith & Nephew PLC (United Kingdom) | 34,153 | 553,571 | |
2,927,787 | |||
Healthcare - Services – 1.5% | |||
Fresenius Medical Care A.G. & Co. KGaA (Germany) | 32,997 | 2,051,980 | |
MEDNAX, Inc.* | 54,572 | 1,010,673 | |
3,062,653 |
Number of Shares | Value | ||
Home Builders – 0.1% | |||
Berkeley Group Holdings (The) PLC (United Kingdom)* | 2,730 | $ 138,456 | |
Sekisui House Ltd. (Japan) | 4,861 | 84,426 | |
222,882 | |||
Home Furnishings – 0.4% | |||
Panasonic Holdings Corp. (Japan) | 23,900 | 213,026 | |
Sony Group Corp. (Japan) | 5,700 | 491,916 | |
704,942 | |||
Household Products/Wares – 0.3% | |||
Kimberly-Clark de Mexico S.A.B. de C.V., Series A (Mexico) | 46,860 | 65,215 | |
Reckitt Benckiser Group PLC (United Kingdom) | 5,367 | 418,549 | |
483,764 | |||
Insurance – 1.8% | |||
Allianz S.E. (Germany)(b) | 2,441 | 550,773 | |
Assicurazioni Generali S.p.A. (Italy)(d) | 4,089 | 77,417 | |
Aviva PLC (United Kingdom) | 51,171 | 274,539 | |
AXA S.A. (France) | 12,096 | 320,000 | |
Dai-ichi Life Holdings, Inc. (Japan) | 8,900 | 178,214 | |
Hannover Rueck S.E. (Germany) | 503 | 78,182 | |
Legal & General Group PLC (United Kingdom) | 95,226 | 296,828 | |
MS&AD Insurance Group Holdings, Inc. (Japan) | 6,000 | 178,604 | |
Muenchener Rueckversicherungs-Gesellschaft A.G. in Muenchen (Germany)(b) | 786 | 187,179 | |
Prudential PLC (United Kingdom) | 33,556 | 417,720 | |
Sampo OYJ, Class A (Finland) | 1,457 | 70,748 | |
Sompo Holdings, Inc. (Japan) | 2,200 | 89,562 | |
Swiss Life Holding A.G. (Switzerland)(b) | 197 | 115,189 | |
Swiss Re A.G. | 1,888 | 154,829 | |
Tokio Marine Holdings, Inc. (Japan) | 3,600 | 194,647 | |
Tryg A/S (Denmark) | 3,099 | 73,685 | |
Zurich Insurance Group A.G. (Switzerland) | 762 | 346,916 | |
3,605,032 |
Number of Shares | Value | ||
Internet – 5.8% | |||
Alibaba Group Holding Ltd. (China)* | 215,900 | $ 2,633,481 | |
Baidu, Inc., Class A (China)* | 80,250 | 1,279,483 | |
JD.com, Inc., Class A (China)* | 41,500 | 1,293,910 | |
Meituan, Class B (China)(a)* | 61,700 | 1,322,010 | |
Pinduoduo, Inc. ADR (China)* | 15,547 | 669,920 | |
Tencent Holdings Ltd. (China) | 54,500 | 2,568,306 | |
Tencent Music Entertainment Group ADR (China)* | 139,278 | 591,932 | |
Trip.com Group Ltd. (China)* | 23,600 | 557,282 | |
Trip.com Group Ltd. ADR (China)* | 30,354 | 717,872 | |
11,634,196 | |||
Investment Companies – 0.1% | |||
Investor AB, Class B (Sweden) | 10,174 | 195,777 | |
Kinnevik AB, Class B (Sweden)* | 3,130 | 61,262 | |
257,039 | |||
Lodging – 0.1% | |||
InterContinental Hotels Group PLC (United Kingdom) | 2,146 | 137,000 | |
Machinery - Construction & Mining – 0.4% | |||
Hitachi Ltd. (Japan) | 4,800 | 227,647 | |
Komatsu Ltd. (Japan) | 7,100 | 159,796 | |
Mitsubishi Electric Corp. (Japan) | 29,600 | 310,039 | |
697,482 | |||
Machinery - Diversified – 0.4% | |||
FANUC Corp. (Japan) | 1,700 | 260,488 | |
Keyence Corp. (Japan) | 600 | 241,203 | |
Nabtesco Corp. (Japan) | 2,438 | 55,605 | |
SMC Corp. (Japan) | 500 | 242,110 | |
Sumitomo Heavy Industries Ltd. (Japan) | 3,800 | 80,413 | |
879,819 | |||
Media – 0.1% | |||
Grupo Televisa S.A.B., Series CPO (Mexico) | 48,698 | 90,421 | |
Informa PLC (United Kingdom)* | 17,013 | 120,688 | |
211,109 |
Number of Shares | Value | ||
Mining – 0.8% | |||
Anglo American PLC (South Africa) | 7,766 | $ 343,964 | |
Cameco Corp. (Canada) | 2,987 | 77,125 | |
Glencore PLC (Australia)* | 51,101 | 314,867 | |
Grupo Mexico S.A.B. de C.V., Series B (Mexico) | 27,032 | 126,626 | |
Industrias Penoles S.A.B. de C.V. (Mexico) | 5,012 | 55,147 | |
Rio Tinto PLC (Australia) | 8,638 | 610,328 | |
Sumitomo Metal Mining Co. Ltd. (Japan) | 2,700 | 118,413 | |
1,646,470 | |||
Miscellaneous Manufacturing – 0.2% | |||
Smiths Group PLC (United Kingdom) | 7,559 | 138,325 | |
Toshiba Corp. (Japan) | 4,388 | 182,226 | |
320,551 | |||
Office/Business Equipment – 0.1% | |||
FUJIFILM Holdings Corp. (Japan) | 2,400 | 131,931 | |
Oil & Gas – 5.0% | |||
BP PLC (United Kingdom) | 337,249 | 1,628,169 | |
Canadian Natural Resources Ltd. (Canada) | 7,389 | 457,323 | |
Cenovus Energy, Inc. (Canada) | 7,549 | 139,562 | |
Chevron Corp. | 1,501 | 235,162 | |
China Petroleum & Chemical Corp., Class H (China) | 400,250 | 195,911 | |
Ecopetrol S.A. ADR (Colombia)(d) | 3,505 | 56,886 | |
ENEOS Holdings, Inc. (Japan) | 25,800 | 90,780 | |
Eni S.p.A. (Italy) | 22,984 | 321,288 | |
Equinor ASA (Norway) | 6,909 | 233,521 | |
Exxon Mobil Corp. | 6,468 | 551,397 | |
Galp Energia SGPS S.A. (Portugal) | 6,423 | 78,179 | |
Gazprom PJSC ADR (Russia)(e) | 50,266 | 0 | |
Imperial Oil Ltd. (Canada) | 1,360 | 68,474 | |
Inpex Corp. (Japan) | 26,800 | 318,871 | |
LUKOIL PJSC ADR (Russia)(e) | 3,271 | 0 | |
Neste OYJ (Finland) | 5,077 | 217,848 | |
OMV A.G. (Austria) | 1,690 | 86,389 | |
Petroleo Brasileiro S.A. ADR (Brazil) | 35,255 | 478,410 | |
Repsol S.A. (Spain) | 11,510 | 171,705 |
Number of Shares | Value | ||
Oil & Gas (Continued) | |||
Rosneft Oil Co. PJSC GDR (Russia)(b)(e) | 48,304 | $ 0 | |
Santos Ltd. (Australia) | 13,934 | 77,864 | |
Shell PLC (Netherlands) | 105,118 | 2,821,987 | |
Suncor Energy, Inc. (Canada) | 9,538 | 342,868 | |
TotalEnergies S.E. (France) | 24,694 | 1,212,549 | |
Woodside Petroleum Ltd. (Australia) | 7,127 | 155,056 | |
9,940,199 | |||
Pharmaceuticals – 3.0% | |||
Alfresa Holdings Corp. (Japan) | 6,800 | 92,471 | |
Astellas Pharma, Inc. (Japan) | 6,200 | 94,399 | |
AstraZeneca PLC (United Kingdom) | 7,772 | 1,037,105 | |
Chugai Pharmaceutical Co. Ltd. (Japan) | 7,600 | 227,735 | |
CVS Health Corp. | 24,369 | 2,342,592 | |
Daiichi Sankyo Co. Ltd. (Japan) | 7,600 | 191,360 | |
Genomma Lab Internacional S.A.B. de C.V., Class B (Mexico) | 53,955 | 57,058 | |
GlaxoSmithKline PLC | 30,310 | 683,266 | |
McKesson Corp. | 2,605 | 806,534 | |
Ono Pharmaceutical Co. Ltd. (Japan) | 4,300 | 110,469 | |
Takeda Pharmaceutical Co. Ltd. (Japan) | 12,300 | 356,904 | |
5,999,893 | |||
Real Estate – 0.2% | |||
Corp. Inmobiliaria Vesta S.A.B. de C.V. (Mexico) | 18,657 | 34,504 | |
Mitsubishi Estate Co. Ltd. (Japan) | 18,800 | 273,852 | |
Mitsui Fudosan Co. Ltd. (Japan) | 4,100 | 86,894 | |
Sumitomo Realty & Development Co. Ltd. (Japan) | 2,900 | 76,933 | |
472,183 | |||
Real Estate Investment Trusts – 0.1% | |||
Fibra Uno Administracion S.A. de C.V. (Mexico) | 62,275 | 68,053 | |
PLA Administradora Industrial S. de R.L. de C.V. (Mexico) | 26,996 | 35,891 | |
Prologis Property Mexico S.A. de C.V. (Mexico) | 13,978 | 37,537 | |
141,481 |
Number of Shares | Value | ||
Retail – 2.1% | |||
Alibaba Health Information Technology Ltd. (China)(d)* | 1,028,000 | $ 579,201 | |
Alsea S.A.B. de C.V. (Mexico)* | 23,570 | 51,537 | |
Fast Retailing Co. Ltd. (Japan) | 400 | 184,163 | |
Industria de Diseno Textil S.A. (Spain) | 38,083 | 798,497 | |
Kingfisher PLC (United Kingdom) | 39,406 | 124,270 | |
La Comer S.A.B. de C.V. (Mexico) | 19,232 | 35,756 | |
Ross Stores, Inc. | 8,999 | 897,830 | |
TJX (The) Cos., Inc. | 13,504 | 827,525 | |
USS Co. Ltd. (Japan) | 20,500 | 341,285 | |
Wal-Mart de Mexico S.A.B. de C.V. (Mexico) | 99,387 | 352,273 | |
4,192,337 | |||
Semiconductors – 0.9% | |||
Intel Corp. | 35,876 | 1,563,835 | |
Tokyo Electron Ltd. (Japan) | 600 | 253,168 | |
1,817,003 | |||
Software – 1.4% | |||
Fiserv, Inc.* | 20,056 | 1,963,884 | |
NetEase, Inc. (China) | 35,700 | 683,843 | |
Nexon Co. Ltd. (Japan) | 5,300 | 120,687 | |
Square Enix Holdings Co. Ltd. (Japan) | 1,800 | 71,866 | |
2,840,280 | |||
Telecommunications – 2.4% | |||
America Movil S.A.B. de C.V., Series L (Mexico) | 659,893 | 643,514 | |
BT Group PLC (United Kingdom) | 60,053 | 133,173 | |
Cisco Systems, Inc. | 15,798 | 773,786 | |
KDDI Corp. (Japan) | 12,100 | 400,688 | |
Megacable Holdings S.A.B. de C.V., Series CPO (Mexico) | 21,523 | 61,173 | |
Nippon Telegraph & Telephone Corp. (Japan) | 7,100 | 209,232 | |
SES S.A. (France) | 200,959 | 1,798,084 | |
Softbank Corp. (Japan) | 7,200 | 83,793 | |
SoftBank Group Corp. (Japan) | 8,800 | 361,946 | |
Vodafone Group PLC (United Kingdom) | 199,011 | 301,295 | |
4,766,684 | |||
Toys/Games/Hobbies – 0.2% | |||
Nintendo Co. Ltd. (Japan) | 900 | 410,752 |
Number of Shares | Value | ||
Transportation – 0.6% | |||
East Japan Railway Co. (Japan) | 6,000 | $ 312,881 | |
Norfolk Southern Corp. | 3,205 | 826,506 | |
Poste Italiane S.p.A. (Italy)(a) | 7,984 | 78,236 | |
1,217,623 | |||
Water – 0.1% | |||
Severn Trent PLC (United Kingdom) | 3,266 | 128,359 | |
Total Common Stocks (Cost $102,729,386) | 100,903,147 | ||
Investment Companies – 38.1% | |||
Franklin FTSE Brazil ETF | 190,558 | 3,893,100 | |
Invesco KBW Bank ETF(d) | 85,129 | 4,816,599 | |
iShares Core DAX UCITS ETF DE (Germany)* | EUR | 66,222 | 8,341,391 |
iShares MSCI China ETF | 72,778 | 3,672,378 | |
iShares STOXX Europe 600 Telecommunications UCITS ETF DE (Germany) | EUR | 95,249 | 2,192,538 |
Schwab Fundamental Emerging Markets Large Company Index ETF | 436,003 | 12,024,963 | |
Vanguard Consumer Staples ETF | 39,435 | 7,891,338 |
Number of Shares | Value | ||
Vanguard Health Care ETF | 24,883 | $ 5,958,981 | |
Vanguard Small-Cap ETF(d) | 19,464 | 3,796,453 | |
Vanguard Total Stock Market ETF | 113,989 | 23,582,044 | |
Total Investment Companies (Cost $72,931,691) | 76,169,785 |
Short-Term Investments – 16.2% | |||
Money Market Fund – 16.2% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 0.32%(f)(g) | 2,912,780 | 2,912,780 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 0.18%(f) | 29,550,979 | 29,550,979 | |
32,463,759 | |||
Total Short-Term Investments (Cost $32,463,759) | 32,463,759 | ||
Total Investments – 104.7% (Cost $208,124,836) | 209,536,691 | ||
Liabilities less Other Assets – (4.7)% | (9,315,603) | ||
NET ASSETS – 100.0% | $200,221,088 |
Percentages shown are based on Net Assets. |
All securities are United States companies, unless noted otherwise in parentheses. | |||
(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) | Security sold outside United States without registration under the Securities Act of 1933. | ||
(c) | Amount rounds to less than 0.05%. | ||
(d) | Security either partially or fully on loan. | ||
(e) | Investment is valued using significant unobservable inputs (Level 3) (See Note 4 regarding investments in Russian securities). | ||
(f) | 7-day current yield as of April 30, 2022 is disclosed. | ||
(g) | Security purchased with the cash proceeds from securities loaned (See Note 7). | ||
* | Non-Income Producing Security |
Abbreviations: | |
ADR | American Depositary Receipt |
CPO | Certificate of Ordinary Participation |
CVA | Credit Valuation Adjustment |
DAX | Deutscher Aktienindex |
ETF | Exchange-Traded Fund |
EUR | Euro |
GDR | Global Depositary Receipt |
MSCI | Morgan Stanley Capital International |
PJSC | Public Joint Stock Company |
PLC | Public Limited Company |
UCITS | Undertakings for Collective Investment in Transferable Securities |
Concentration by Currency (%)(a) | |
U.S. Dollar | 48.3 |
Euro | 13.5 |
Japanese Yen | 9.4 |
British Pound | 8.5 |
Hong Kong Dollar | 5.3 |
All other currencies less than 5% | 15.0 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Country Diversification (%)(a) | |
United States | 47.3 |
Japan | 9.4 |
United Kingdom | 7.4 |
Germany | 6.8 |
China | 6.5 |
All other countries less than 5% | 22.6 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Morningstar Global Opportunistic Equity Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Common Stocks | $ 35,069,938 | $65,833,209 | $—* | $100,903,147 |
Investment Companies | 76,169,785 | — | — | 76,169,785 |
Short-Term Investments | 32,463,759 | — | — | 32,463,759 |
Total Investments | $143,703,482 | $65,833,209 | $ — | $209,536,691 |
*Includes securities determined to have no value as of April 30, 2022. |
Par (a) | Value | ||
Long Positions – 105.3% | |||
Asset-Backed Securities – 1.4% | |||
Automobile – 0.8% | |||
ACC Auto Trust, Series 2021-A, Class A, 1.08%, 4/15/27(b) | $448,543 | $ 443,637 | |
Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.75%, 3/10/28 | 122,885 | 119,109 | |
Drive Auto Receivables Trust, Series 2019-1, Class D, 4.09%, 6/15/26 | 571,342 | 575,217 | |
JPMorgan Chase Bank NA - CACLN, | |||
Series 2021-2, Class B, 0.89%, 12/26/28(b) | 263,814 | 257,830 | |
Series 2021-3, Class B, 0.76%, 2/26/29(b) | 541,801 | 524,131 | |
Santander Bank NA - SBCLN, Series 2021-1A, Class B, 1.83%, 12/15/31(b) | 203,453 | 199,001 | |
Santander Drive Auto Receivables Trust, | |||
Series 2019-1, Class D, 3.65%, 4/15/25 | 478,896 | 481,032 | |
Series 2020-2, Class B, 0.96%, 11/15/24 | 10,763 | 10,759 | |
Westlake Automobile Receivables Trust, Series 2020-2A, Class B, 1.32%, 7/15/25(b) | 260,000 | 259,634 | |
2,870,350 | |||
Other – 0.6% | |||
Avant Loans Funding Trust, Series 2021-REV1, Class A, 1.21%, 7/15/30(b) | 270,000 | 259,824 | |
Conn's Receivables Funding LLC, Series 2020-A, Class A, 1.71%, 6/16/25(b) | 10,881 | 10,872 | |
Upstart Securitization Trust, | |||
Series 2021-1, Class A, 0.87%, 3/20/31(b) | 63,411 | 62,794 | |
Series 2021-2, Class A, 0.91%, 6/20/31(b) | 374,884 | 367,746 | |
Series 2021-3, Class A, 0.83%, 7/20/31(b) | 515,790 | 505,078 |
Par (a) | Value | ||
Other (Continued) | |||
Upstart Securitization Trust, | |||
Series 2021-4, Class A, 0.84%, 9/20/31(b) | $505,557 | $ 490,091 | |
Series 2021-5, Class A, 1.31%, 11/20/31(b) | 518,198 | 506,200 | |
2,202,605 | |||
Total Asset-Backed Securities (Cost $5,178,639) | 5,072,955 |
Number of Shares | |||
Common Stocks – 28.2% | |||
Advertising – 0.0%(c) | |||
Omnicom Group, Inc. | 1,244 | 94,706 | |
Aerospace/Defense – 0.8% | |||
Aerojet Rocketdyne Holdings, Inc.(d)* | 37,575 | 1,502,248 | |
General Dynamics Corp | 354 | 83,732 | |
Lockheed Martin Corp. | 375 | 162,045 | |
Meggitt PLC (United Kingdom)* | 124,150 | 1,203,624 | |
2,951,649 | |||
Agriculture – 0.0%(c) | |||
Philip Morris International, Inc. | 245 | 24,500 | |
Auto Parts & Equipment – 0.9% | |||
Meritor, Inc.(d)* | 57,501 | 2,064,861 | |
Tenneco, Inc., Class A(d)* | 71,107 | 1,220,907 | |
3,285,768 | |||
Banks – 0.6% | |||
First Horizon Corp.(d) | 95,700 | 2,141,766 | |
Prosperity Bancshares, Inc. | 232 | 15,168 | |
2,156,934 | |||
Beverages – 0.1% | |||
Coca-Cola Europacific Partners PLC (United Kingdom) | 193 | 9,640 | |
PepsiCo, Inc. | 990 | 169,993 | |
179,633 | |||
Biotechnology – 0.7% | |||
Amgen, Inc. | 686 | 159,968 | |
Gilead Sciences, Inc. | 2,807 | 166,568 | |
Sierra Oncology, Inc. (Canada)* | 16,586 | 904,103 | |
Swedish Orphan Biovitrum AB (Sweden)* | 62,343 | 1,311,499 | |
2,542,138 |
Number of Shares | Value | ||
Building Materials – 0.6% | |||
Cornerstone Building Brands, Inc.(d)* | 93,507 | $2,280,636 | |
Chemicals – 0.6% | |||
Air Products and Chemicals, Inc. | 79 | 18,492 | |
Rogers Corp.(d)* | 8,614 | 2,331,982 | |
2,350,474 | |||
Commercial Services – 1.4% | |||
Atlantia S.p.A. (Italy)* | 27,124 | 647,058 | |
Automatic Data Processing, Inc. | 417 | 90,981 | |
Booz Allen Hamilton Holding Corp. | 249 | 20,326 | |
Clipper Logistics PLC (United Kingdom) | 53,832 | 582,143 | |
Moneylion, Inc.* | 25,132 | 52,274 | |
Nielsen Holdings PLC | 112,574 | 3,018,109 | |
Terminix Global Holdings, Inc.(d)* | 19,139 | 878,289 | |
5,289,180 | |||
Computers – 0.2% | |||
Amdocs Ltd. | 2,032 | 161,930 | |
Avast PLC(b) | 69,680 | 494,172 | |
International Business Machines Corp. | 1,301 | 172,005 | |
828,107 | |||
Cosmetics/Personal Care – 0.1% | |||
Colgate-Palmolive Co. | 2,166 | 166,890 | |
Procter & Gamble (The) Co. | 1,085 | 174,197 | |
341,087 | |||
Diversified Financial Services – 0.6% | |||
Brewin Dolphin Holdings PLC (United Kingdom) | 94,505 | 605,274 | |
Intertrust N.V. (Netherlands)(b)* | 33,485 | 692,370 | |
Sanne Group PLC (Jersey, C.I.)* | 71,691 | 817,641 | |
Virtu Financial, Inc. Class A | 2,016 | 58,222 | |
Western Union (The) Co. | 306 | 5,129 | |
2,178,636 | |||
Electric – 1.2% | |||
Albioma S.A. (France) | 6,567 | 349,077 | |
Alliant Energy Corp. | 2,085 | 122,619 | |
Ameren Corp. | 491 | 45,614 | |
American Electric Power Co., Inc. | 1,654 | 163,928 | |
Avangrid, Inc. | 1,573 | 69,762 | |
CMS Energy Corp. | 1,426 | 97,952 |
Number of Shares | Value | ||
Electric (Continued) | |||
Consolidated Edison, Inc. | 1,700 | $ 157,658 | |
Dominion Energy, Inc. | 1,330 | 108,581 | |
DTE Energy Co. | 316 | 41,409 | |
Duke Energy Corp. | 1,491 | 164,248 | |
Evergy, Inc. | 1,340 | 90,919 | |
Eversource Energy | 1,158 | 101,209 | |
IDACORP, Inc. | 199 | 20,931 | |
NorthWestern Corp. | 158 | 8,957 | |
OGE Energy Corp. | 619 | 23,943 | |
Pinnacle West Capital Corp. | 508 | 36,170 | |
PNM Resources, Inc.(d) | 47,982 | 2,238,840 | |
Southern (The) Co. | 2,256 | 165,568 | |
WEC Energy Group, Inc. | 1,649 | 164,982 | |
Xcel Energy, Inc. | 506 | 37,070 | |
4,209,437 | |||
Electronics – 0.7% | |||
Coherent, Inc.* | 9,541 | 2,556,034 | |
Energy - Alternate Sources – 0.7% | |||
Renewable Energy Group, Inc.* | 42,257 | 2,580,212 | |
Food – 0.8% | |||
Campbell Soup Co. | 2,803 | 132,358 | |
Conagra Brands, Inc. | 3,430 | 119,810 | |
Flowers Foods, Inc. | 5,441 | 144,295 | |
General Mills, Inc. | 2,425 | 171,520 | |
JM Smucker (The) Co. | 524 | 71,751 | |
Kellogg Co. | 2,549 | 174,606 | |
Kraft Heinz (The) Co. | 1,086 | 46,296 | |
Lancaster Colony Corp. | 3 | 466 | |
Mondelez International, Inc., Class A | 856 | 55,195 | |
Sanderson Farms, Inc.(d) | 10,470 | 1,982,704 | |
2,899,001 | |||
Forest Products & Paper – 0.0%(c) | |||
International Paper Co. | 1,940 | 89,783 | |
Gas – 0.5% | |||
South Jersey Industries, Inc.(d) | 53,843 | 1,840,892 | |
Healthcare - Products – 0.2% | |||
Medtronic PLC | 1,221 | 127,424 | |
Natus Medical, Inc.* | 17,568 | 584,487 | |
Patterson Cos., Inc. | 962 | 29,601 | |
741,512 | |||
Healthcare - Services – 0.9% | |||
LHC Group, Inc.(d)* | 11,460 | 1,900,641 |
Number of Shares | Value | ||
Healthcare - Services (Continued) | |||
Tivity Health, Inc.* | 40,041 | $1,286,518 | |
UpHealth, Inc.* | 2,540 | 2,030 | |
3,189,189 | |||
Household Products/Wares – 0.1% | |||
Clorox (The) Co. | 496 | 71,161 | |
Kimberly-Clark Corp. | 1,340 | 186,032 | |
257,193 | |||
Insurance – 1.5% | |||
Alleghany Corp.* | 4,300 | 3,596,950 | |
Allstate (The) Corp. | 1,196 | 151,342 | |
Radian Group, Inc. | 55 | 1,176 | |
TOWER Ltd. (New Zealand) | 173,173 | 78,260 | |
Travelers (The) Cos., Inc. | 876 | 149,849 | |
Willis Towers Watson PLC | 7,096 | 1,524,647 | |
5,502,224 | |||
Internet – 2.0% | |||
Anaplan, Inc.* | 43,620 | 2,834,864 | |
Mandiant, Inc.(d)* | 142,335 | 3,128,523 | |
Twitter, Inc.* | 26,428 | 1,295,501 | |
7,258,888 | |||
Leisure Time – 0.2% | |||
Accell Group NV (Netherlands)* | 11,051 | 667,580 | |
Machinery - Diversified – 1.0% | |||
Welbilt, Inc.* | 150,059 | 3,544,394 | |
Media – 0.8% | |||
Comcast Corp., Class A | 3,504 | 139,319 | |
TEGNA, Inc.(d) | 108,921 | 2,401,708 | |
Uniti Group Ltd. (Australia)* | 148,830 | 513,941 | |
3,054,968 | |||
Mining – 0.1% | |||
Newmont Corp. | 2,100 | 152,985 | |
Miscellaneous Manufacturing – 0.0%(c) | |||
3M Co. | 947 | 136,576 | |
Illinois Tool Works, Inc. | 54 | 10,644 | |
147,220 | |||
Oil & Gas – 0.1% | |||
Chevron Corp. | 937 | 146,800 | |
Exxon Mobil Corp. | 1,474 | 125,658 | |
272,458 | |||
Packaging & Containers – 0.7% | |||
Amcor PLC | 13,650 | 161,889 |
Number of Shares | Value | ||
Packaging & Containers (Continued) | |||
Intertape Polymer Group, Inc. (Canada) | 72,206 | $2,234,218 | |
Packaging Corp. of America | 1,001 | 161,331 | |
2,557,438 | |||
Pharmaceuticals – 0.7% | |||
AbbVie, Inc. | 1,026 | 150,699 | |
Antares Pharma, Inc.* | 107,882 | 600,364 | |
Bristol-Myers Squibb Co. | 2,253 | 169,583 | |
Cardinal Health, Inc. | 2,080 | 120,744 | |
CVS Health Corp. | 1,034 | 99,399 | |
Johnson & Johnson | 944 | 170,354 | |
Merck & Co., Inc. | 2,003 | 177,646 | |
Pfizer, Inc. | 2,988 | 146,621 | |
Premier, Inc., Class A | 3,676 | 133,108 | |
Vifor Pharma A.G. (Switzerland) | 4,480 | 792,376 | |
2,560,894 | |||
Pipelines – 0.0%(c) | |||
Williams (The) Cos., Inc. | 1,923 | 65,940 | |
Real Estate Investment Trusts – 1.2% | |||
American Campus Communities, Inc. | 23,032 | 1,489,480 | |
Healthcare Realty Trust, Inc. | 645 | 17,467 | |
Healthcare Trust of America, Inc., Class A | 8,162 | 248,614 | |
National Retail Properties, Inc. | 1,277 | 55,984 | |
Physicians Realty Trust | 5,178 | 88,751 | |
Preferred Apartment Communities, Inc. | 53,021 | 1,319,162 | |
PS Business Parks, Inc. | 6,331 | 1,185,163 | |
WP Carey, Inc. | 883 | 71,320 | |
4,475,941 | |||
Retail – 0.3% | |||
Genuine Parts Co. | 313 | 40,706 | |
McDonald's Corp. | 581 | 144,762 | |
MSC Industrial Direct Co., Inc., Class A | 504 | 41,761 | |
Vivo Energy PLC (Kenya)(b) | 503,787 | 917,289 | |
Walgreens Boots Alliance, Inc. | 292 | 12,381 | |
1,156,899 |
Number of Shares | Value | ||
Semiconductors – 0.7% | |||
CMC Materials, Inc.(d) | 11,594 | $ 2,074,283 | |
Magnachip Semiconductor Corp. (South Korea)* | 33,970 | 621,311 | |
2,695,594 | |||
Shipbuilding – 0.0%(c) | |||
Huntington Ingalls Industries, Inc. | 64 | 13,615 | |
Software – 5.4% | |||
Activision Blizzard, Inc. | 36,010 | 2,722,356 | |
CDK Global, Inc. | 45,009 | 2,448,940 | |
Cerner Corp.(d) | 35,004 | 3,277,775 | |
Change Healthcare, Inc.(d)* | 178,674 | 4,209,559 | |
Citrix Systems, Inc. | 23,195 | 2,321,820 | |
Datto Holding Corp.* | 17,193 | 596,597 | |
Momentive Global, Inc.(d)* | 117,112 | 1,852,712 | |
Sailpoint Technologies Holdings, Inc.* | 27,834 | 1,776,644 | |
Zynga, Inc., Class A* | 98,753 | 816,687 | |
20,023,090 | |||
Telecommunications – 1.6% | |||
Cisco Systems, Inc. | 3,054 | 149,585 | |
NeoPhotonics Corp.(d)* | 65,603 | 993,230 | |
Plantronics, Inc.* | 59,655 | 2,377,848 | |
Verizon Communications, Inc. | 3,178 | 147,141 | |
Vonage Holdings Corp.(d)* | 113,279 | 2,261,049 | |
5,928,853 | |||
Transportation – 0.1% | |||
C.H. Robinson Worldwide, Inc. | 636 | 67,511 | |
Stagecoach Group PLC (United Kingdom)* | 223,472 | 295,336 | |
362,847 | |||
Water – 0.1% | |||
Vidler Water Resouces, Inc.* | 32,724 | 515,076 | |
Total Common Stocks (Cost $105,092,644) | 103,823,605 |
Par (a) | |||
Convertible Bonds – 22.7% | |||
Aerospace/Defense – 0.2% | |||
Kaman Corp., 3.25%, 5/01/24(d) | $605,000 | 589,028 |
Par (a) | Value | ||
Airlines – 0.3% | |||
Southwest Airlines Co., 1.25%, 5/01/25(d) | $ 392,000 | $ 535,276 | |
Spirit Airlines, Inc., 1.00%, 5/15/26(d) | 535,000 | 486,047 | |
1,021,323 | |||
Auto Manufacturers – 0.0%(c) | |||
Lightning eMotors, Inc., 7.50%, 5/15/24(b) | 121,000 | 95,862 | |
Biotechnology – 1.2% | |||
Exact Sciences Corp., 0.38%, 3/15/27(d)(e) | 1,499,000 | 1,276,399 | |
Halozyme Therapeutics, Inc., 0.25%, 3/01/27 | 1,523,000 | 1,306,924 | |
Insmed, Inc., 0.75%, 6/01/28(e) | 1,431,000 | 1,342,994 | |
Ligand Pharmaceuticals, Inc., 0.75%, 5/15/23(d) | 525,000 | 504,984 | |
4,431,301 | |||
Building Materials – 0.2% | |||
Patrick Industries, Inc., 1.75%, 12/01/28(b)(d) | 841,000 | 756,374 | |
Commercial Services – 1.1% | |||
Chegg, Inc., 0.00%, 9/01/26(d)(f) | 1,472,000 | 1,142,272 | |
Marathon Digital Holdings, Inc., 1.00%, 12/01/26(b)(d) | 1,617,000 | 941,902 | |
Sabre GLBL, Inc., 4.00%, 4/15/25(d) | 578,000 | 883,762 | |
Stride, Inc., 1.13%, 9/01/27 | 885,000 | 911,993 | |
3,879,929 | |||
Computers – 0.2% | |||
Lumentum Holdings, Inc., 0.50%, 12/15/26(d)(e) | 337,000 | 352,367 | |
Mitek Systems, Inc., 0.75%, 2/01/26 | 519,000 | 456,720 | |
809,087 | |||
Cosmetics/Personal Care – 0.2% | |||
Beauty Health (The) Co., 1.25%, 10/01/26(b)(d) | 942,000 | 790,338 | |
Diversified Financial Services – 1.7% | |||
Coinbase Global, Inc., 0.50%, 6/01/26(b)(d)(e) | 1,159,000 | 927,779 | |
Encore Capital Europe Finance Ltd., 4.50%, 9/01/23(d) | 812,000 | 1,133,552 | |
LendingTree, Inc., 0.50%, 7/15/25(d) | 1,639,000 | 1,311,200 |
Par (a) | Value | ||
Diversified Financial Services (Continued) | |||
PRA Group, Inc., 3.50%, 6/01/23(d) | $ 785,000 | $ 836,025 | |
SoFi Technologies, Inc., 0.00%, 10/15/26(b)(d)(f) | 966,000 | 647,800 | |
Upstart Holdings, Inc., 0.25%, 8/15/26(b) | 756,000 | 578,340 | |
WisdomTree Investments, Inc., | |||
4.25%, 6/15/23 | 701,000 | 789,501 | |
3.25%, 6/15/26(b) | 177,000 | 167,088 | |
6,391,285 | |||
Electric – 0.5% | |||
NRG Energy, Inc., 2.75%, 6/01/48(d) | 1,566,000 | 1,656,985 | |
Energy - Alternate Sources – 0.6% | |||
Array Technologies, Inc., 1.00%, 12/01/28(b)(d) | 1,352,000 | 836,888 | |
Enphase Energy, Inc., 0.00%, 3/01/28(f) | 982,000 | 933,882 | |
Sunnova Energy International, Inc., 0.25%, 12/01/26(b)(d)(e) | 701,000 | 546,780 | |
2,317,550 | |||
Food – 0.2% | |||
Chefs' Warehouse (The), Inc., 1.88%, 12/01/24(d) | 813,000 | 893,487 | |
Healthcare - Products – 0.3% | |||
Haemonetics Corp., 0.00%, 3/01/26(f) | 1,188,000 | 937,807 | |
Healthcare - Services – 0.0%(c) | |||
UpHealth, Inc., 6.25%, 6/15/26(b) | 187,000 | 139,788 | |
Holding Companies - Diversified – 0.1% | |||
RWT Holdings, Inc., 5.75%, 10/01/25(d) | 573,000 | 531,744 | |
Home Builders – 0.2% | |||
Winnebago Industries, Inc., 1.50%, 4/01/25(d) | 793,000 | 847,321 | |
Insurance – 0.4% | |||
MGIC Investment Corp., 9.00%, 4/01/63(b)(d) | 1,017,000 | 1,357,695 | |
Internet – 2.3% | |||
Etsy, Inc., 0.25%, 6/15/28(b) | 345,000 | 274,275 | |
Groupon, Inc., 1.13%, 3/15/26 | 562,000 | 428,299 |
Par (a) | Value | ||
Internet (Continued) | |||
Magnite, Inc., 0.25%, 3/15/26 | $1,589,000 | $1,236,401 | |
Perficient, Inc., 0.13%, 11/15/26(b)(d) | 711,000 | 610,394 | |
Q2 Holdings, Inc., 0.13%, 11/15/25(d) | 1,247,000 | 1,045,609 | |
Snap, Inc., 0.00%, 5/01/27(f) | 1,131,000 | 897,448 | |
Spotify USA, Inc., 0.00%, 3/15/26(f) | 1,171,000 | 953,487 | |
Upwork, Inc., 0.25%, 8/15/26(b)(d) | 1,607,000 | 1,255,067 | |
Wayfair, Inc., 0.63%, 10/01/25(d) | 1,122,000 | 837,721 | |
Zillow Group, Inc., 2.75%, 5/15/25(d)(e) | 764,000 | 787,684 | |
8,326,385 | |||
Leisure Time – 1.1% | |||
Callaway Golf Co., 2.75%, 5/01/26(e) | 452,000 | 649,750 | |
Liberty TripAdvisor Holdings, Inc., 0.50%, 6/30/51(b)(d) | 1,946,000 | 1,536,367 | |
NCL Corp. Ltd., 2.50%, 2/15/27(b) | 648,000 | 588,384 | |
Royal Caribbean Cruises Ltd., 4.25%, 6/15/23 | 922,000 | 1,135,259 | |
3,909,760 | |||
Lodging – 0.2% | |||
Marcus (The) Corp., 5.00%, 9/15/25(b)(d)(e) | 425,000 | 704,172 | |
Machinery - Construction & Mining – 0.1% | |||
Bloom Energy Corp., 2.50%, 8/15/25(d) | 401,000 | 546,002 | |
Media – 0.5% | |||
Cable One, Inc., 1.13%, 3/15/28 | 1,000,000 | 821,000 | |
DISH Network Corp., 3.38%, 8/15/26(d) | 1,026,000 | 879,795 | |
1,700,795 | |||
Oil & Gas – 0.6% | |||
Centennial Resource Production LLC, 3.25%, 4/01/28(d) | 871,000 | 1,278,737 | |
Pioneer Natural Resources Co., 0.25%, 5/15/25 | 350,000 | 770,350 | |
2,049,087 |
Par (a) | Value | ||
Oil & Gas Services – 0.2% | |||
Helix Energy Solutions Group, Inc., | |||
4.13%, 9/15/23(d) | $ 330,000 | $ 318,450 | |
6.75%, 2/15/26(d) | 488,000 | 506,593 | |
825,043 | |||
Pharmaceuticals – 0.4% | |||
Coherus Biosciences, Inc., 1.50%, 4/15/26 | 728,000 | 595,595 | |
Jazz Investments I Ltd., 1.50%, 8/15/24(d) | 889,000 | 904,002 | |
1,499,597 | |||
Real Estate – 0.4% | |||
Realogy Group LLC/Realogy Co-Issuer Corp., 0.25%, 6/15/26(b)(d) | 1,262,000 | 970,162 | |
Redfin Corp., 0.50%, 4/01/27 | 652,000 | 398,046 | |
1,368,208 | |||
Real Estate Investment Trusts – 3.1% | |||
Apollo Commercial Real Estate Finance, Inc., 5.38%, 10/15/23(d) | 1,538,000 | 1,500,511 | |
Blackstone Mortgage Trust, Inc., 5.50%, 3/15/27 | 180,000 | 173,880 | |
Granite Point Mortgage Trust, Inc., 6.38%, 10/01/23 | 1,174,000 | 1,161,673 | |
MFA Financial, Inc., 6.25%, 6/15/24(d) | 1,931,000 | 1,902,035 | |
Pebblebrook Hotel Trust, 1.75%, 12/15/26(d) | 963,000 | 1,089,634 | |
PennyMac Corp., | |||
5.50%, 11/01/24(d) | 1,530,000 | 1,521,394 | |
5.50%, 3/15/26 | 923,000 | 852,667 | |
Redwood Trust, Inc., 5.63%, 7/15/24 | 750,000 | 714,434 | |
Summit Hotel Properties, Inc., 1.50%, 2/15/26(d) | 1,234,000 | 1,262,999 | |
Two Harbors Investment Corp., 6.25%, 1/15/26(d) | 1,193,000 | 1,110,236 | |
11,289,463 | |||
Retail – 0.1% | |||
Cheesecake Factory (The), Inc., 0.38%, 6/15/26(d) | 487,000 | 415,776 | |
Semiconductors – 0.3% | |||
Impinj, Inc., 1.13%, 5/15/27(b)(d) | 469,000 | 384,287 |
Par (a) | Value | ||
Semiconductors (Continued) | |||
MACOM Technology Solutions Holdings, Inc., 0.25%, 3/15/26 | $ 415,000 | $ 388,647 | |
Wolfspeed, Inc., 0.25%, 2/15/28(b)(d) | 218,000 | 218,000 | |
990,934 | |||
Software – 4.7% | |||
8x8, Inc., 0.50%, 2/01/24(d) | 758,000 | 676,136 | |
Avaya Holdings Corp., 2.25%, 6/15/23(d)(e) | 650,000 | 626,280 | |
Bandwidth, Inc., 0.50%, 4/01/28 | 782,000 | 484,840 | |
Bentley Systems, Inc., 0.38%, 7/01/27(b)(d) | 812,000 | 688,170 | |
BigCommerce Holdings, Inc., 0.25%, 10/01/26(b)(d) | 963,000 | 712,620 | |
Blackline, Inc., 0.00%, 3/15/26(f) | 806,000 | 663,338 | |
Ceridian HCM Holding, Inc., 0.25%, 3/15/26 | 1,437,000 | 1,182,938 | |
DigitalOcean Holdings, Inc., 0.00%, 12/01/26(b)(d)(f) | 1,319,000 | 976,161 | |
Envestnet, Inc., 0.75%, 8/15/25(b)(d) | 811,000 | 801,876 | |
Everbridge, Inc., 0.13%, 12/15/24(d)(e) | 595,000 | 534,236 | |
Fastly, Inc., 0.00%, 3/15/26(f) | 719,000 | 541,497 | |
i3 Verticals LLC, 1.00%, 2/15/25 | 673,000 | 655,502 | |
Kaleyra, Inc., 6.13%, 6/01/26(b) | 177,000 | 172,492 | |
LivePerson, Inc., 0.00%, 12/15/26(d)(f) | 1,048,000 | 831,902 | |
MicroStrategy, Inc., 0.00%, 2/15/27(f) | 2,011,000 | 1,273,969 | |
New Relic, Inc., 0.50%, 5/01/23(d)(e) | 838,000 | 825,849 | |
Porch Group, Inc., 0.75%, 9/15/26(b)(d) | 654,000 | 361,335 | |
Progress Software Corp., 1.00%, 4/15/26 | 1,037,000 | 1,041,667 | |
RingCentral, Inc., 0.00%, 3/15/26(f) | 800,000 | 633,665 | |
Splunk, Inc., 1.13%, 6/15/27 | 598,000 | 536,406 | |
Unity Software, Inc., 0.00%, 11/15/26(b)(d)(f) | 1,323,000 | 1,023,321 | |
Verint Systems, Inc., 0.25%, 4/15/26 | 893,000 | 941,222 |
Par (a) | Value | ||
Software (Continued) | |||
Workiva, Inc., 1.13%, 8/15/26(d)(e) | $ 431,000 | $ 603,400 | |
Ziff Davis, Inc., 1.75%, 11/01/26(b)(d) | 668,000 | 711,754 | |
17,500,576 | |||
Telecommunications – 0.3% | |||
Infinera Corp., 2.13%, 9/01/24(d) | 1,192,000 | 1,249,216 | |
Transportation – 0.8% | |||
Air Transport Services Group, Inc., 1.13%, 10/15/24(d) | 910,000 | 1,035,672 | |
CryoPort, Inc., 0.75%, 12/01/26(b)(d) | 1,791,000 | 1,351,131 | |
SFL Corp. Ltd., 4.88%, 5/01/23(d) | 486,000 | 490,556 | |
2,877,359 | |||
Trucking & Leasing – 0.2% | |||
Greenbrier (The) Cos., Inc., 2.88%, 4/15/28 | 893,000 | 907,735 | |
Total Convertible Bonds (Cost $88,006,980) | 83,607,012 | ||
Corporate Bonds – 11.2% | |||
Advertising – 0.0%(c) | |||
Interpublic (The) Group of Cos., Inc, 2.40%, 3/01/31 | 5,000 | 4,243 | |
Aerospace/Defense – 0.2% | |||
Boeing (The) Co., | |||
4.51%, 5/01/23 | 100,000 | 100,923 | |
1.43%, 2/04/24 | 50,000 | 48,041 | |
4.88%, 5/01/25 | 15,000 | 15,188 | |
2.20%, 2/04/26 | 60,000 | 54,725 | |
BWX Technologies, Inc., 4.13%, 6/30/28(b) | 115,000 | 106,663 | |
General Dynamics Corp., 1.15%, 6/01/26 | 110,000 | 100,059 | |
Howmet Aerospace, Inc., | |||
5.90%, 2/01/27 | 125,000 | 128,283 | |
5.95%, 2/01/37 | 25,000 | 25,264 | |
Lockheed Martin Corp., 6/15/32(g) | 65,000 | 64,494 | |
Spirit AeroSystems, Inc., 5.50%, 1/15/25(b) | 10,000 | 9,900 | |
Teledyne Technologies, Inc., 2.75%, 4/01/31 | 30,000 | 25,958 |
Par (a) | Value | ||
Aerospace/Defense (Continued) | |||
TransDigm, Inc., 6.25%, 3/15/26(b) | $100,000 | $ 99,500 | |
Triumph Group, Inc., 8.88%, 6/01/24(b) | 20,000 | 20,696 | |
799,694 | |||
Agriculture – 0.1% | |||
Altria Group, Inc., | |||
2.35%, 5/06/25 | 180,000 | 171,514 | |
3.40%, 5/06/30 | 30,000 | 26,871 | |
Bunge Ltd. Finance Corp., | |||
1.63%, 8/17/25 | 50,000 | 46,400 | |
3.75%, 9/25/27 | 50,000 | 48,816 | |
Darling Ingredients, Inc., 5.25%, 4/15/27(b) | 25,000 | 25,000 | |
Philip Morris International, Inc., | |||
1.50%, 5/01/25 | 100,000 | 93,930 | |
2.10%, 5/01/30 | 60,000 | 51,258 | |
Vector Group Ltd., 5.75%, 2/01/29(b) | 60,000 | 52,650 | |
516,439 | |||
Airlines – 0.1% | |||
American Airlines, Inc., 11.75%, 7/15/25(b) | 25,000 | 28,750 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., | |||
5.50%, 4/20/26(b) | 20,000 | 19,825 | |
5.75%, 4/20/29(b) | 20,000 | 19,272 | |
Delta Air Lines, Inc., 7.38%, 1/15/26 | 75,000 | 79,875 | |
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 1/20/26(b) | 50,000 | 48,757 | |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 6/20/27(b) | 73,781 | 75,255 | |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 9/20/25(b) | 29,920 | 31,596 | |
United Airlines, Inc., | |||
4.38%, 4/15/26(b) | 30,000 | 28,965 | |
4.63%, 4/15/29(b) | 30,000 | 27,525 | |
359,820 | |||
Auto Manufacturers – 0.2% | |||
American Honda Finance Corp., 1.20%, 7/08/25 | 75,000 | 69,748 |
Par (a) | Value | ||
Auto Manufacturers (Continued) | |||
Ford Motor Co., | |||
9.63%, 4/22/30 | $ 50,000 | $ 61,125 | |
4.75%, 1/15/43 | 25,000 | 20,125 | |
5.29%, 12/08/46 | 25,000 | 21,500 | |
Ford Motor Credit Co. LLC, 3.38%, 11/13/25 | 200,000 | 192,036 | |
General Motors Financial Co., Inc., | |||
1.70%, 8/18/23 | 140,000 | 137,216 | |
2.35%, 2/26/27 | 200,000 | 179,812 | |
Toyota Motor Credit Corp., | |||
2.50%, 3/22/24 | 25,000 | 24,729 | |
1.13%, 6/18/26 | 30,000 | 27,214 | |
733,505 | |||
Auto Parts & Equipment – 0.0%(c) | |||
Goodyear Tire & Rubber (The) Co., 5.25%, 4/30/31 | 25,000 | 21,734 | |
Lear Corp., 3.80%, 9/15/27 | 60,000 | 57,868 | |
Meritor, Inc., 4.50%, 12/15/28(b) | 30,000 | 29,963 | |
109,565 | |||
Banks – 1.9% | |||
Bank of America Corp., | |||
4.13%, 1/22/24 | 200,000 | 202,912 | |
(SOFR + 0.74%), 0.81%, 10/24/24(h) | 135,000 | 129,575 | |
4.00%, 1/22/25 | 100,000 | 99,941 | |
(SOFR + 0.69%), 0.98%, 4/22/25(h) | 240,000 | 226,725 | |
(SOFR + 0.91%), 0.98%, 9/25/25(h) | 40,000 | 37,235 | |
(3M USD LIBOR + 0.81%), 3.37%, 1/23/26(h) | 50,000 | 48,905 | |
(SOFR + 1.33%), 3.38%, 4/02/26(h) | 490,000 | 479,354 | |
(SOFR + 1.15%), 1.32%, 6/19/26(h) | 210,000 | 192,431 | |
(3M USD LIBOR + 0.99%), 2.50%, 2/13/31(h) | 80,000 | 68,610 | |
(SOFR + 1.22%), 2.65%, 3/11/32(h) | 50,000 | 42,813 | |
(SOFR + 1.21%), 2.57%, 10/20/32(h) | 30,000 | 25,344 | |
Bank of New York Mellon (The) Corp., 0.50%, 4/26/24 | 85,000 | 80,793 | |
Citigroup, Inc., | |||
4.00%, 8/05/24 | 150,000 | 150,716 | |
(SOFR + 0.69%), 0.78%, 10/30/24(h) | 450,000 | 430,610 | |
(SOFR + 0.67%), 0.98%, 5/01/25(h) | 85,000 | 80,145 |
Par (a) | Value | ||
Banks (Continued) | |||
Citigroup, Inc., | |||
(SOFR + 0.77%), 1.46%, 6/09/27(h) | $375,000 | $333,780 | |
4.45%, 9/29/27 | 100,000 | 99,212 | |
Fifth Third Bancorp, | |||
3.65%, 1/25/24 | 50,000 | 50,094 | |
(SOFR + 0.69%), 1.71%, 11/01/27(h) | 10,000 | 9,031 | |
Goldman Sachs Group (The), Inc., | |||
(SOFR + 0.51%), 0.66%, 9/10/24(h) | 470,000 | 451,026 | |
(3M USD LIBOR + 1.20%), 3.27%, 9/29/25(h) | 150,000 | 147,584 | |
(SOFR + 0.61%), 0.86%, 2/12/26(h) | 90,000 | 82,168 | |
3.50%, 11/16/26 | 50,000 | 48,758 | |
(SOFR + 0.79%), 1.09%, 12/09/26(h) | 450,000 | 402,467 | |
(SOFR + 0.80%), 1.43%, 3/09/27(h) | 110,000 | 98,194 | |
(3M USD LIBOR + 1.16%), 3.81%, 4/23/29(h) | 50,000 | 47,967 | |
3.80%, 3/15/30 | 50,000 | 47,231 | |
(SOFR + 1.09%), 1.99%, 1/27/32(h) | 115,000 | 92,902 | |
(SOFR + 1.28%), 2.62%, 4/22/32(h) | 10,000 | 8,458 | |
(SOFR + 1.25%), 2.38%, 7/21/32(h) | 75,000 | 61,983 | |
JPMorgan Chase & Co., | |||
(SOFR + 0.61%), 1.56%, 12/10/25(h) | 130,000 | 122,370 | |
(3M CME Term SOFR + 1.59%), 2.01%, 3/13/26(h) | 300,000 | 282,625 | |
(SOFR + 0.80%), 1.05%, 11/19/26(h) | 180,000 | 161,782 | |
(SOFR + 0.70%), 1.04%, 2/04/27(h) | 205,000 | 182,543 | |
(SOFR + 0.77%), 1.47%, 9/22/27(h) | 95,000 | 84,356 | |
Morgan Stanley, | |||
4.10%, 5/22/23 | 25,000 | 25,275 | |
(SOFR + 0.46%), 0.53%, 1/25/24(h) | 205,000 | 200,743 | |
(3M USD LIBOR + 0.85%), 3.74%, 4/24/24(h) | 160,000 | 159,926 | |
3.70%, 10/23/24 | 50,000 | 50,096 | |
(SOFR + 0.75%), 0.86%, 10/21/25(h) | 130,000 | 120,537 | |
(SOFR + 1.99%), 2.19%, 4/28/26(h) | 100,000 | 94,311 | |
(SOFR + 0.72%), 0.99%, 12/10/26(h) | 360,000 | 321,333 |
Par (a) | Value | ||
Banks (Continued) | |||
Morgan Stanley, | |||
(SOFR + 0.88%), 1.59%, 5/04/27(h) | $ 70,000 | $ 62,945 | |
(3M USD LIBOR + 1.63%), 4.43%, 1/23/30(h) | 50,000 | 49,478 | |
(SOFR + 3.12%), 3.62%, 4/01/31(h) | 145,000 | 135,677 | |
Santander Holdings USA, Inc., 3.45%, 6/02/25 | 40,000 | 39,267 | |
SVB Financial Group, 1.80%, 2/02/31 | 70,000 | 56,011 | |
Truist Financial Corp., 4.00%, 5/01/25 | 50,000 | 50,496 | |
Wells Fargo & Co., | |||
(SOFR + 0.51%), 0.81%, 5/19/25(h) | 33,000 | 31,027 | |
(SOFR + 1.09%), 2.41%, 10/30/25(h) | 12,000 | 11,525 | |
(SOFR + 1.32%), 3.91%, 4/25/26(h) | 165,000 | 163,840 | |
3.53%, 3/24/28(h) | 160,000 | 153,579 | |
6,836,706 | |||
Beverages – 0.0%(c) | |||
Keurig Dr Pepper, Inc., 3.95%, 4/15/29 | 20,000 | 19,494 | |
Building Materials – 0.2% | |||
Boise Cascade Co., 4.88%, 7/01/30(b) | 260,000 | 244,517 | |
Builders FirstSource, Inc., | |||
5.00%, 3/01/30(b) | 50,000 | 46,250 | |
4.25%, 2/01/32(b) | 50,000 | 42,687 | |
Griffon Corp., 5.75%, 3/01/28 | 25,000 | 22,313 | |
Louisiana-Pacific Corp., 3.63%, 3/15/29(b) | 300,000 | 258,000 | |
Martin Marietta Materials, Inc., 0.65%, 7/15/23 | 55,000 | 53,604 | |
Standard Industries, Inc., 3.38%, 1/15/31(b) | 50,000 | 39,933 | |
707,304 | |||
Chemicals – 0.2% | |||
Air Products and Chemicals, Inc., 1.85%, 5/15/27 | 110,000 | 101,173 | |
Ashland LLC, 3.38%, 9/01/31(b) | 70,000 | 60,550 | |
Celanese U.S. Holdings LLC, 1.40%, 8/05/26 | 80,000 | 70,955 | |
Chemours (The) Co., 5.38%, 5/15/27 | 50,000 | 48,250 |
Par (a) | Value | ||
Chemicals (Continued) | |||
Ecolab, Inc., 0.90%, 12/15/23 | $ 35,000 | $ 33,911 | |
Ingevity Corp., 3.88%, 11/01/28(b) | 45,000 | 40,275 | |
PPG Industries, Inc., 1.20%, 3/15/26 | 65,000 | 59,213 | |
Rayonier AM Products, Inc., 7.63%, 1/15/26(b) | 51,000 | 48,440 | |
Sherwin-Williams (The) Co., 3.13%, 6/01/24 | 160,000 | 159,176 | |
Tronox, Inc., 4.63%, 3/15/29(b) | 10,000 | 8,925 | |
630,868 | |||
Commercial Services – 0.3% | |||
AMN Healthcare, Inc., 4.63%, 10/01/27(b) | 15,000 | 14,402 | |
ASGN, Inc., 4.63%, 5/15/28(b) | 100,000 | 92,900 | |
Block Financial LLC, 2.50%, 7/15/28 | 39,000 | 34,569 | |
Cintas Corp. No. 2, | |||
3.45%, 5/01/25 | 135,000 | 134,432 | |
3.70%, 4/01/27 | 21,000 | 20,863 | |
CPI CG, Inc., 8.63%, 3/15/26(b) | 10,000 | 9,650 | |
Equinix, Inc., 2.35%, 9/15/31 | 10,000 | 8,394 | |
Gartner, Inc., | |||
4.50%, 7/01/28(b) | 30,000 | 28,752 | |
3.63%, 6/15/29(b) | 20,000 | 17,900 | |
3.75%, 10/01/30(b) | 40,000 | 35,672 | |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, 2/01/26(b) | 10,000 | 9,385 | |
Nielsen Finance LLC/Nielsen Finance Co., | |||
5.63%, 10/01/28(b) | 100,000 | 96,903 | |
4.75%, 7/15/31(b) | 40,000 | 37,805 | |
PayPal Holdings, Inc., 2.40%, 10/01/24 | 200,000 | 196,334 | |
Prime Security Services Borrower LLC/Prime Finance, Inc., 5.75%, 4/15/26(b) | 50,000 | 47,937 | |
Quanta Services, Inc., | |||
0.95%, 10/01/24 | 85,000 | 79,655 | |
2.35%, 1/15/32 | 50,000 | 40,736 | |
S&P Global, Inc., | |||
2.45%, 3/01/27(b) | 80,000 | 75,350 | |
1.25%, 8/15/30 | 110,000 | 89,294 |
Par (a) | Value | ||
Commercial Services (Continued) | |||
Service Corp. International, 3.38%, 8/15/30 | $ 15,000 | $ 12,900 | |
1,083,833 | |||
Computers – 0.4% | |||
Apple, Inc., 1.40%, 8/05/28 | 50,000 | 43,886 | |
Booz Allen Hamilton, Inc., | |||
3.88%, 9/01/28(b) | 10,000 | 9,212 | |
4.00%, 7/01/29(b) | 20,000 | 18,448 | |
Dell International LLC/EMC Corp., 5.85%, 7/15/25 | 475,000 | 498,669 | |
Dell, Inc., 6.50%, 4/15/38 | 50,000 | 51,250 | |
Fortinet, Inc., 2.20%, 3/15/31 | 70,000 | 58,299 | |
Hewlett Packard Enterprise Co., 4.45%, 10/02/23 | 200,000 | 202,925 | |
HP, Inc., | |||
2.20%, 6/17/25 | 70,000 | 66,493 | |
1.45%, 6/17/26 | 145,000 | 130,254 | |
4.00%, 4/15/29 | 310,000 | 294,553 | |
International Business Machines Corp., 2.20%, 2/09/27 | 100,000 | 93,636 | |
Kyndryl Holdings, Inc., | |||
2.05%, 10/15/26(b) | 10,000 | 8,728 | |
2.70%, 10/15/28(b) | 20,000 | 16,670 | |
NetApp, Inc., 1.88%, 6/22/25 | 20,000 | 18,846 | |
1,511,869 | |||
Cosmetics/Personal Care – 0.0%(c) | |||
Coty, Inc., 5.00%, 4/15/26(b) | 50,000 | 47,492 | |
Distribution/Wholesale – 0.1% | |||
American Builders & Contractors Supply Co., Inc., 3.88%, 11/15/29(b) | 60,000 | 53,004 | |
Avient Corp., 5.75%, 5/15/25(b) | 100,000 | 100,991 | |
G-III Apparel Group Ltd., 7.88%, 8/15/25(b) | 200,000 | 208,000 | |
361,995 | |||
Diversified Financial Services – 0.4% | |||
Air Lease Corp., 3.38%, 7/01/25 | 45,000 | 43,422 | |
Ally Financial, Inc., | |||
3.05%, 6/05/23 | 30,000 | 29,952 | |
1.45%, 10/02/23 | 25,000 | 24,303 | |
American Express Co., | |||
2.50%, 7/30/24 | 50,000 | 48,947 |
Par (a) | Value | ||
Diversified Financial Services (Continued) | |||
American Express Co., | |||
4.20%, 11/06/25 | $ 50,000 | $ 51,181 | |
Ameriprise Financial, Inc., 3.00%, 4/02/25 | 100,000 | 98,756 | |
Charles Schwab (The) Corp., | |||
0.75%, 3/18/24 | 30,000 | 28,726 | |
1.15%, 5/13/26 | 50,000 | 45,398 | |
Credit Acceptance Corp., 6.63%, 3/15/26 | 100,000 | 101,000 | |
Curo Group Holdings Corp., 7.50%, 8/01/28(b) | 145,000 | 120,713 | |
Intercontinental Exchange, Inc., | |||
4.00%, 10/15/23 | 50,000 | 50,741 | |
3.75%, 9/21/28 | 100,000 | 98,682 | |
LPL Holdings, Inc., | |||
4.63%, 11/15/27(b) | 100,000 | 94,875 | |
4.38%, 5/15/31(b) | 70,000 | 63,910 | |
Mastercard, Inc., 1.90%, 3/15/31 | 22,000 | 19,127 | |
Nationstar Mortgage Holdings, Inc., | |||
6.00%, 1/15/27(b) | 100,000 | 97,000 | |
5.50%, 8/15/28(b) | 25,000 | 22,750 | |
5.13%, 12/15/30(b) | 80,000 | 69,583 | |
Navient Corp., | |||
7.25%, 9/25/23 | 45,000 | 46,125 | |
5.00%, 3/15/27 | 50,000 | 45,514 | |
OneMain Finance Corp., | |||
6.88%, 3/15/25 | 25,000 | 25,125 | |
8.88%, 6/01/25 | 100,000 | 104,950 | |
SLM Corp., 4.20%, 10/29/25 | 50,000 | 48,838 | |
Visa, Inc., 1.90%, 4/15/27 | 50,000 | 46,464 | |
1,426,082 | |||
Electric – 0.4% | |||
AEP Texas, Inc., 3.95%, 6/01/28 | 50,000 | 49,188 | |
Alabama Power Co., 3.05%, 3/15/32 | 35,000 | 31,936 | |
Arizona Public Service Co., 2.20%, 12/15/31 | 50,000 | 41,335 | |
Berkshire Hathaway Energy Co., | |||
4.05%, 4/15/25 | 100,000 | 101,287 | |
1.65%, 5/15/31 | 25,000 | 20,469 | |
Black Hills Corp., 1.04%, 8/23/24 | 10,000 | 9,438 | |
Calpine Corp., 4.63%, 2/01/29(b) | 25,000 | 21,849 |
Par (a) | Value | ||
Electric (Continued) | |||
Constellation Energy Generation LLC, 3.25%, 6/01/25 | $ 50,000 | $ 48,992 | |
Dominion Energy, Inc., 3.38%, 4/01/30 | 50,000 | 46,298 | |
DPL, Inc., 4.35%, 4/15/29 | 100,000 | 91,500 | |
DTE Energy Co., 1.05%, 6/01/25 | 55,000 | 50,611 | |
Duke Energy Corp., | |||
3.75%, 4/15/24 | 30,000 | 30,215 | |
3.40%, 6/15/29 | 50,000 | 47,503 | |
Duke Energy Progress LLC, 3.40%, 4/01/32 | 20,000 | 18,910 | |
Entergy Louisiana LLC, 1.60%, 12/15/30 | 90,000 | 73,978 | |
Eversource Energy, 2.90%, 10/01/24 | 50,000 | 49,146 | |
Florida Power & Light Co., 2.45%, 2/03/32 | 30,000 | 26,466 | |
National Rural Utilities Cooperative Finance Corp., | |||
1.00%, 6/15/26 | 85,000 | 76,221 | |
2.40%, 3/15/30 | 100,000 | 88,679 | |
NextEra Energy Capital Holdings, Inc., 2.94%, 3/21/24 | 80,000 | 79,413 | |
NextEra Energy Operating Partners L.P., 4.50%, 9/15/27(b) | 50,000 | 47,362 | |
Pacific Gas and Electric Co., 2.50%, 2/01/31 | 80,000 | 63,318 | |
Pattern Energy Operations L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(b) | 40,000 | 37,400 | |
PG&E Corp., 5.25%, 7/01/30 | 100,000 | 90,879 | |
Public Service Enterprise Group, Inc., 1.60%, 8/15/30 | 10,000 | 8,097 | |
Southern California Edison Co., 2.95%, 2/01/51 | 6,000 | 4,316 | |
Terraform Global Operating LLC, 6.13%, 3/01/26(b) | 125,000 | 122,812 | |
Union Electric Co., 2.95%, 3/15/30 | 100,000 | 93,011 | |
Virginia Electric and Power Co., 2.30%, 11/15/31 | 95,000 | 81,081 | |
Vistra Operations Co. LLC, 5.00%, 7/31/27(b) | 50,000 | 47,625 |
Par (a) | Value | ||
Electric (Continued) | |||
Wisconsin Electric Power Co., 1.70%, 6/15/28 | $ 10,000 | $ 8,831 | |
Wisconsin Power and Light Co., 1.95%, 9/16/31 | 5,000 | 4,187 | |
1,612,353 | |||
Electrical Component & Equipment – 0.1% | |||
Emerson Electric Co., 2.00%, 12/21/28 | 270,000 | 241,344 | |
Electronics – 0.1% | |||
Agilent Technologies, Inc., 2.30%, 3/12/31 | 30,000 | 25,191 | |
Amphenol Corp., 2.05%, 3/01/25 | 80,000 | 76,879 | |
Arrow Electronics, Inc., 2.95%, 2/15/32 | 32,000 | 27,398 | |
Atkore, Inc., 4.25%, 6/01/31(b) | 35,000 | 30,975 | |
Imola Merger Corp., 4.75%, 5/15/29(b) | 50,000 | 46,500 | |
Jabil, Inc., | |||
1.70%, 4/15/26 | 65,000 | 58,636 | |
5/15/27 (g) | 70,000 | 69,337 | |
TD SYNNEX Corp., 2.38%, 8/09/28(b) | 10,000 | 8,695 | |
Trimble, Inc., 4.90%, 6/15/28 | 30,000 | 30,318 | |
373,929 | |||
Energy - Alternate Sources – 0.1% | |||
Enviva Partners Finance Corp., 6.50%, 1/15/26(b) | 200,000 | 203,792 | |
Renewable Energy Group, Inc., 5.88%, 6/01/28(b) | 10,000 | 10,591 | |
214,383 | |||
Engineering & Construction – 0.1% | |||
Artera Services LLC, 9.03%, 12/04/25(b) | 20,000 | 18,929 | |
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/01/26(b) | 256,000 | 239,360 | |
INNOVATE Corp., 8.50%, 2/01/26(b) | 20,000 | 19,314 | |
Tutor Perini Corp., 6.88%, 5/01/25(b) | 100,000 | 93,625 | |
Weekley Homes LLC/Weekley Finance Corp., 4.88%, 9/15/28(b) | 15,000 | 13,249 | |
384,477 |
Par (a) | Value | ||
Entertainment – 0.1% | |||
Boyne USA, Inc., 4.75%, 5/15/29(b) | $ 10,000 | $ 9,275 | |
Caesars Entertainment, Inc., 6.25%, 7/01/25(b) | 55,000 | 55,598 | |
International Game Technology PLC, 5.25%, 1/15/29(b) | 200,000 | 189,674 | |
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 5/01/29(b) | 10,000 | 8,775 | |
Scientific Games International, Inc., 8.63%, 7/01/25(b) | 45,000 | 47,138 | |
Six Flags Theme Parks, Inc., 7.00%, 7/01/25(b) | 100,000 | 103,875 | |
Vail Resorts, Inc., 6.25%, 5/15/25(b) | 100,000 | 102,250 | |
516,585 | |||
Environmental Control – 0.0%(c) | |||
Stericycle, Inc., 3.88%, 1/15/29(b) | 35,000 | 30,865 | |
Waste Connections, Inc., | |||
2.60%, 2/01/30 | 5,000 | 4,461 | |
3.20%, 6/01/32 | 55,000 | 49,983 | |
85,309 | |||
Food – 0.2% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC, | |||
4.63%, 1/15/27(b) | 50,000 | 46,834 | |
3.50%, 3/15/29(b) | 30,000 | 25,272 | |
4.88%, 2/15/30(b) | 65,000 | 58,829 | |
Campbell Soup Co., 3.95%, 3/15/25 | 100,000 | 100,632 | |
Chobani LLC/Chobani Finance Corp., Inc., 4.63%, 11/15/28(b) | 30,000 | 27,000 | |
General Mills, Inc., 4.00%, 4/17/25 | 30,000 | 30,424 | |
Ingles Markets, Inc., 4.00%, 6/15/31(b) | 35,000 | 31,430 | |
Kraft Heinz Foods Co., | |||
3.88%, 5/15/27 | 160,000 | 156,460 | |
5.20%, 7/15/45 | 50,000 | 48,907 | |
4.38%, 6/01/46 | 100,000 | 87,614 | |
5.50%, 6/01/50 | 50,000 | 50,348 | |
United Natural Foods, Inc., 6.75%, 10/15/28(b) | 20,000 | 20,015 | |
683,765 |
Par (a) | Value | ||
Forest Products & Paper – 0.0%(c) | |||
Resolute Forest Products, Inc., 4.88%, 3/01/26(b) | $ 20,000 | $ 19,075 | |
Gas – 0.1% | |||
AmeriGas Partners L.P./AmeriGas Finance Corp., 5.75%, 5/20/27 | 25,000 | 24,558 | |
National Fuel Gas Co., 2.95%, 3/01/31 | 60,000 | 51,286 | |
NiSource, Inc., 0.95%, 8/15/25 | 100,000 | 90,682 | |
Southern California Gas Co., 2.55%, 2/01/30 | 30,000 | 26,601 | |
Southwest Gas Corp., 4.05%, 3/15/32 | 45,000 | 42,545 | |
235,672 | |||
Healthcare - Products – 0.1% | |||
Hologic, Inc., | |||
4.63%, 2/01/28(b) | 50,000 | 48,906 | |
3.25%, 2/15/29(b) | 60,000 | 53,452 | |
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics S.A., 7.25%, 2/01/28(b) | 30,000 | 30,300 | |
PerkinElmer, Inc., | |||
0.85%, 9/15/24 | 270,000 | 252,949 | |
1.90%, 9/15/28 | 55,000 | 47,606 | |
433,213 | |||
Healthcare - Services – 0.4% | |||
Centene Corp., 2.63%, 8/01/31 | 80,000 | 66,457 | |
Charles River Laboratories International, Inc., 4.25%, 5/01/28(b) | 100,000 | 95,453 | |
CHS/Community Health Systems, Inc., | |||
8.00%, 3/15/26(b) | 50,000 | 51,690 | |
5.63%, 3/15/27(b) | 25,000 | 23,831 | |
HCA, Inc., | |||
5.25%, 4/15/25 | 115,000 | 118,463 | |
4.13%, 6/15/29 | 185,000 | 177,001 | |
2.38%, 7/15/31 | 75,000 | 61,699 | |
Humana, Inc., | |||
3.85%, 10/01/24 | 10,000 | 10,047 | |
4.50%, 4/01/25 | 125,000 | 127,470 | |
Laboratory Corp. of America Holdings, 1.55%, 6/01/26 | 200,000 | 182,495 | |
LifePoint Health, Inc., 5.38%, 1/15/29(b) | 30,000 | 25,650 | |
ModivCare, Inc., 5.88%, 11/15/25(b) | 35,000 | 34,300 |
Par (a) | Value | ||
Healthcare - Services (Continued) | |||
Molina Healthcare, Inc., | |||
4.38%, 6/15/28(b) | $200,000 | $ 186,928 | |
3.88%, 11/15/30(b) | 50,000 | 45,100 | |
Prime Healthcare Services, Inc., 7.25%, 11/01/25(b) | 30,000 | 30,075 | |
RP Escrow Issuer LLC, 5.25%, 12/15/25(b) | 15,000 | 13,950 | |
Syneos Health, Inc., 3.63%, 1/15/29(b) | 15,000 | 13,270 | |
Tenet Healthcare Corp., 6.13%, 10/01/28(b) | 65,000 | 62,397 | |
UnitedHealth Group, Inc., 2.00%, 5/15/30 | 125,000 | 108,398 | |
1,434,674 | |||
Home Builders – 0.2% | |||
Century Communities, Inc., | |||
6.75%, 6/01/27 | 100,000 | 101,101 | |
3.88%, 8/15/29(b) | 125,000 | 105,324 | |
LGI Homes, Inc., 4.00%, 7/15/29(b) | 105,000 | 86,849 | |
NVR, Inc., 3.00%, 5/15/30 | 45,000 | 40,037 | |
Shea Homes L.P./Shea Homes Funding Corp., 4.75%, 4/01/29(b) | 50,000 | 43,275 | |
Tri Pointe Homes, Inc., 5.70%, 6/15/28 | 50,000 | 47,913 | |
Williams Scotsman International, Inc., 4.63%, 8/15/28(b) | 365,000 | 345,454 | |
Winnebago Industries, Inc., 6.25%, 7/15/28(b) | 10,000 | 9,925 | |
779,878 | |||
Household Products/Wares – 0.0%(c) | |||
Spectrum Brands, Inc., 3.88%, 3/15/31(b) | 55,000 | 46,062 | |
Housewares – 0.0%(c) | |||
Newell Brands, Inc., 4.45%, 4/01/26 | 100,000 | 99,144 | |
Insurance – 0.3% | |||
Aflac, Inc., | |||
1.13%, 3/15/26 | 180,000 | 163,993 | |
3.60%, 4/01/30 | 64,000 | 62,319 | |
Aon Corp., 2.80%, 5/15/30 | 20,000 | 17,791 | |
AssuredPartners, Inc., 5.63%, 1/15/29(b) | 15,000 | 13,192 | |
Berkshire Hathaway, Inc., 3.13%, 3/15/26 | 95,000 | 94,307 | |
Brown & Brown, Inc., 4.20%, 3/17/32 | 45,000 | 43,097 |
Par (a) | Value | ||
Insurance (Continued) | |||
Corebridge Financial, Inc., 3.50%, 4/04/25(b) | $ 80,000 | $ 79,189 | |
Enstar Group Ltd., 3.10%, 9/01/31 | 95,000 | 79,669 | |
Marsh & McLennan Cos., Inc., | |||
3.88%, 3/15/24 | 200,000 | 202,359 | |
4.38%, 3/15/29 | 50,000 | 50,509 | |
2.25%, 11/15/30 | 50,000 | 43,312 | |
2.38%, 12/15/31 | 100,000 | 86,411 | |
MGIC Investment Corp., 5.25%, 8/15/28 | 50,000 | 46,939 | |
Progressive (The) Corp., 2.50%, 3/15/27 | 30,000 | 28,427 | |
Radian Group, Inc., 6.63%, 3/15/25 | 100,000 | 101,801 | |
1,113,315 | |||
Internet – 0.3% | |||
Amazon.com, Inc., 2.10%, 5/12/31 | 110,000 | 95,755 | |
Arches Buyer, Inc., 4.25%, 6/01/28(b) | 15,000 | 13,331 | |
Booking Holdings, Inc., 4.63%, 4/13/30 | 23,000 | 23,519 | |
eBay, Inc., 1.90%, 3/11/25 | 210,000 | 199,938 | |
Expedia Group, Inc., 3.60%, 12/15/23 | 70,000 | 69,998 | |
Match Group Holdings II LLC, | |||
4.13%, 8/01/30(b) | 75,000 | 67,031 | |
3.63%, 10/01/31(b) | 35,000 | 29,116 | |
Netflix, Inc., | |||
3.63%, 6/15/25(b) | 100,000 | 97,750 | |
5.88%, 11/15/28 | 50,000 | 51,500 | |
6.38%, 5/15/29 | 75,000 | 79,500 | |
5.38%, 11/15/29(b) | 75,000 | 75,075 | |
TripAdvisor, Inc., 7.00%, 7/15/25(b) | 5,000 | 5,125 | |
Uber Technologies, Inc., | |||
7.50%, 5/15/25(b) | 75,000 | 77,438 | |
8.00%, 11/01/26(b) | 200,000 | 209,500 | |
VeriSign, Inc., 4.75%, 7/15/27 | 100,000 | 100,460 | |
1,195,036 | |||
Investment Management Companies – 0.3% | |||
Ares Capital Corp., | |||
4.25%, 3/01/25 | 100,000 | 98,463 | |
3.88%, 1/15/26 | 172,000 | 165,125 | |
2.15%, 7/15/26 | 88,000 | 78,054 | |
2.88%, 6/15/27 | 60,000 | 53,738 | |
2.88%, 6/15/28 | 40,000 | 34,533 |
Par (a) | Value | ||
Investment Management Companies (Continued) | |||
Barings BDC, Inc., 3.30%, 11/23/26(b) | $ 64,000 | $ 57,217 | |
Blackstone Private Credit Fund, 2.70%, 1/15/25(b) | 60,000 | 56,401 | |
Compass Group Diversified Holdings LLC, 5.25%, 4/15/29(b) | 40,000 | 35,900 | |
FS KKR Capital Corp., | |||
1.65%, 10/12/24 | 140,000 | 131,078 | |
2.63%, 1/15/27 | 150,000 | 134,454 | |
3.25%, 7/15/27 | 10,000 | 9,057 | |
Goldman Sachs BDC, Inc., 2.88%, 1/15/26 | 42,000 | 39,755 | |
Golub Capital BDC, Inc., 2.50%, 8/24/26 | 75,000 | 66,838 | |
Icahn Enterprises L.P./Icahn Enterprises Finance Corp., 4.38%, 2/01/29 | 60,000 | 51,764 | |
Morgan Stanley Direct Lending Fund, 4.50%, 2/11/27(b) | 60,000 | 56,265 | |
Prospect Capital Corp., 3.36%, 11/15/26 | 60,000 | 53,708 | |
1,122,350 | |||
Iron/Steel – 0.1% | |||
Big River Steel LLC/BRS Finance Corp., 6.63%, 1/31/29(b) | 24,000 | 24,540 | |
Cleveland-Cliffs, Inc., | |||
5.88%, 6/01/27 | 50,000 | 49,750 | |
4.63%, 3/01/29(b) | 15,000 | 14,060 | |
4.88%, 3/01/31(b) | 35,000 | 32,375 | |
Nucor Corp., 3.13%, 4/01/32 | 50,000 | 45,007 | |
Reliance Steel & Aluminum Co., 1.30%, 8/15/25 | 40,000 | 37,021 | |
United States Steel Corp., 6.88%, 3/01/29 | 30,000 | 30,520 | |
233,273 | |||
Leisure Time – 0.0%(c) | |||
Life Time, Inc., 5.75%, 1/15/26(b) | 5,000 | 4,851 | |
Royal Caribbean Cruises Ltd., | |||
9.13%, 6/15/23(b) | 50,000 | 51,617 | |
11.50%, 6/01/25(b) | 15,000 | 16,308 | |
72,776 | |||
Lodging – 0.1% | |||
Choice Hotels International, Inc., 3.70%, 12/01/29 | 55,000 | 51,395 |
Par (a) | Value | ||
Lodging (Continued) | |||
Full House Resorts, Inc., 8.25%, 2/15/28(b) | $ 10,000 | $ 9,902 | |
Hilton Domestic Operating Co., Inc., 4.00%, 5/01/31(b) | 50,000 | 44,717 | |
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.88%, 7/01/31(b) | 70,000 | 61,131 | |
Marriott International, Inc., 5.75%, 5/01/25 | 9,000 | 9,433 | |
Marriott Ownership Resorts, Inc., 4.50%, 6/15/29(b) | 25,000 | 22,000 | |
198,578 | |||
Machinery - Construction & Mining – 0.1% | |||
Caterpillar Financial Services Corp., | |||
0.45%, 5/17/24 | 190,000 | 180,424 | |
0.80%, 11/13/25 | 60,000 | 54,829 | |
Terex Corp., 5.00%, 5/15/29(b) | 250,000 | 229,735 | |
464,988 | |||
Machinery - Diversified – 0.0%(c) | |||
GrafTech Finance, Inc., 4.63%, 12/15/28(b) | 110,000 | 100,403 | |
IDEX Corp., 2.63%, 6/15/31 | 60,000 | 51,992 | |
152,395 | |||
Media – 0.3% | |||
CCO Holdings LLC/CCO Holdings Capital Corp., | |||
4.75%, 3/01/30(b) | 100,000 | 89,375 | |
4.50%, 5/01/32 | 100,000 | 84,115 | |
4.25%, 1/15/34(b) | 100,000 | 79,500 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 2.25%, 1/15/29 | 125,000 | 106,516 | |
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 8/15/27(b) | 15,000 | 14,119 | |
DISH DBS Corp., | |||
5.88%, 11/15/24 | 100,000 | 97,000 | |
7.75%, 7/01/26 | 50,000 | 47,033 | |
7.38%, 7/01/28 | 20,000 | 17,488 | |
FactSet Research Systems, Inc., 2.90%, 3/01/27 | 150,000 | 141,818 |
Par (a) | Value | ||
Media (Continued) | |||
GCI LLC, 4.75%, 10/15/28(b) | $ 20,000 | $ 18,550 | |
Nexstar Media, Inc., 5.63%, 7/15/27(b) | 100,000 | 97,313 | |
Sirius XM Radio, Inc., | |||
5.50%, 7/01/29(b) | 49,000 | 47,121 | |
3.88%, 9/01/31(b) | 115,000 | 97,119 | |
TEGNA, Inc., | |||
4.75%, 3/15/26(b) | 55,000 | 54,519 | |
5.00%, 9/15/29 | 200,000 | 194,000 | |
Townsquare Media, Inc., 6.88%, 2/01/26(b) | 15,000 | 14,934 | |
1,200,520 | |||
Mining – 0.1% | |||
Arconic Corp., 6.13%, 2/15/28(b) | 40,000 | 38,750 | |
Freeport-McMoRan, Inc., | |||
4.55%, 11/14/24 | 84,000 | 85,124 | |
4.13%, 3/01/28 | 120,000 | 116,033 | |
5.45%, 3/15/43 | 7,000 | 6,997 | |
Joseph T Ryerson & Son, Inc., 8.50%, 8/01/28(b) | 13,000 | 13,975 | |
260,879 | |||
Office/Business Equipment – 0.0%(c) | |||
CDW LLC/CDW Finance Corp., 2.67%, 12/01/26 | 140,000 | 128,572 | |
Xerox Holdings Corp., 5.50%, 8/15/28(b) | 25,000 | 22,500 | |
151,072 | |||
Oil & Gas – 0.5% | |||
Antero Resources Corp., | |||
8.38%, 7/15/26(b) | 3,000 | 3,233 | |
7.63%, 2/01/29(b) | 92,000 | 97,483 | |
5.38%, 3/01/30(b) | 20,000 | 19,542 | |
Apache Corp., | |||
4.25%, 1/15/30 | 50,000 | 46,453 | |
5.10%, 9/01/40 | 25,000 | 22,625 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 8.25%, 12/31/28(b) | 10,000 | 10,400 | |
Chevron Corp., 1.55%, 5/11/25 | 80,000 | 75,846 | |
Chevron USA, Inc., | |||
3.85%, 1/15/28 | 30,000 | 30,226 | |
3.25%, 10/15/29 | 20,000 | 19,242 | |
CNX Resources Corp., | |||
7.25%, 3/14/27(b) | 125,000 | 127,779 | |
6.00%, 1/15/29(b) | 40,000 | 39,463 |
Par (a) | Value | ||
Oil & Gas (Continued) | |||
Colgate Energy Partners III LLC, 5.88%, 7/01/29(b) | $ 10,000 | $ 9,950 | |
Conoco Funding Co., 7.25%, 10/15/31 | 9,000 | 11,198 | |
ConocoPhillips Co., | |||
2.40%, 3/07/25 | 35,000 | 34,058 | |
6.95%, 4/15/29 | 11,000 | 12,965 | |
Continental Resources, Inc., 4.38%, 1/15/28 | 75,000 | 73,104 | |
CrownRock L.P./CrownRock Finance, Inc., 5.00%, 5/01/29(b) | 10,000 | 9,786 | |
CVR Energy, Inc., 5.25%, 2/15/25(b) | 25,000 | 24,185 | |
Devon Energy Corp., | |||
4.50%, 1/15/30 | 35,000 | 34,192 | |
7.95%, 4/15/32 | 19,000 | 23,241 | |
Diamondback Energy, Inc., 3.13%, 3/24/31 | 25,000 | 22,309 | |
EQT Corp., | |||
3.90%, 10/01/27 | 100,000 | 95,747 | |
7.50%, 2/01/30 | 100,000 | 110,759 | |
Exxon Mobil Corp., 2.99%, 3/19/25 | 80,000 | 79,207 | |
Hess Corp., 4.30%, 4/01/27 | 50,000 | 49,535 | |
Hilcorp Energy I L.P./Hilcorp Finance Co., 6.00%, 2/01/31(b) | 30,000 | 28,951 | |
Murphy Oil Corp., 6.38%, 7/15/28 | 35,000 | 35,607 | |
Northern Oil and Gas, Inc., 8.13%, 3/01/28(b) | 65,000 | 64,675 | |
Occidental Petroleum Corp., | |||
8.00%, 7/15/25 | 40,000 | 43,100 | |
5.50%, 12/01/25 | 25,000 | 25,438 | |
8.50%, 7/15/27 | 65,000 | 73,287 | |
6.38%, 9/01/28 | 45,000 | 47,250 | |
3.50%, 8/15/29 | 75,000 | 70,031 | |
6.13%, 1/01/31 | 25,000 | 26,277 | |
6.45%, 9/15/36 | 25,000 | 27,125 | |
4.40%, 4/15/46 | 50,000 | 42,880 | |
Ovintiv Exploration, Inc., 5.38%, 1/01/26 | 50,000 | 51,823 | |
Pioneer Natural Resources Co., 0.55%, 5/15/23 | 40,000 | 38,979 | |
Range Resources Corp., 4.88%, 5/15/25 | 100,000 | 99,000 | |
Southwestern Energy Co., | |||
7.75%, 10/01/27 | 75,000 | 78,265 | |
8.38%, 9/15/28 | 15,000 | 16,219 |
Par (a) | Value | ||
Oil & Gas (Continued) | |||
Sunoco L.P./Sunoco Finance Corp., 4.50%, 5/15/29 | $ 35,000 | $ 31,473 | |
Valero Energy Corp., 2.80%, 12/01/31 | 30,000 | 25,934 | |
1,908,842 | |||
Oil & Gas Services – 0.0%(c) | |||
Baker Hughes Holdings LLC/Baker Hughes Co-Obligor, Inc., 4.49%, 5/01/30 | 50,000 | 50,471 | |
Bristow Group, Inc., 6.88%, 3/01/28(b) | 10,000 | 9,800 | |
60,271 | |||
Packaging & Containers – 0.1% | |||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.25%, 4/30/25(b) | 200,000 | 198,665 | |
Berry Global, Inc., 4.50%, 2/15/26(b) | 45,000 | 44,269 | |
Sealed Air Corp., 6.88%, 7/15/33(b) | 60,000 | 65,731 | |
308,665 | |||
Pharmaceuticals – 0.3% | |||
AbbVie, Inc., | |||
3.85%, 6/15/24 | 100,000 | 100,850 | |
2.60%, 11/21/24 | 370,000 | 361,022 | |
3.80%, 3/15/25 | 70,000 | 70,062 | |
Bristol-Myers Squibb Co., 1.45%, 11/13/30 | 50,000 | 40,658 | |
CVS Health Corp., 1.30%, 8/21/27 | 65,000 | 56,897 | |
Herbalife Nutrition Ltd./HLF Financing, Inc., 7.88%, 9/01/25(b) | 100,000 | 98,375 | |
HLF Financing S.a.r.l. LLC/Herbalife International, Inc., 4.88%, 6/01/29(b) | 100,000 | 80,492 | |
Horizon Therapeutics USA, Inc., 5.50%, 8/01/27(b) | 200,000 | 199,956 | |
McKesson Corp., 0.90%, 12/03/25 | 75,000 | 67,962 | |
Viatris, Inc., 1.65%, 6/22/25 | 30,000 | 27,521 | |
Zoetis, Inc., 2.00%, 5/15/30 | 100,000 | 86,274 | |
1,190,069 |
Par (a) | Value | ||
Pipelines – 0.6% | |||
Antero Midstream Partners L.P./Antero Midstream Finance Corp., | |||
5.75%, 3/01/27(b) | $ 75,000 | $ 73,030 | |
5.38%, 6/15/29(b) | 65,000 | 60,926 | |
Cheniere Corpus Christi Holdings LLC, | |||
5.88%, 3/31/25 | 255,000 | 264,730 | |
3.70%, 11/15/29 | 40,000 | 37,485 | |
Cheniere Energy Partners L.P., 3.25%, 1/31/32(b) | 40,000 | 34,200 | |
Cheniere Energy, Inc., 4.63%, 10/15/28 | 25,000 | 24,188 | |
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp., 6.00%, 2/01/29(b) | 30,000 | 29,180 | |
DCP Midstream Operating L.P., | |||
3.25%, 2/15/32 | 75,000 | 63,601 | |
5.60%, 4/01/44 | 25,000 | 23,900 | |
Energy Transfer L.P., 4.05%, 3/15/25 | 50,000 | 49,722 | |
EnLink Midstream LLC, | |||
5.63%, 1/15/28(b) | 25,000 | 24,772 | |
5.38%, 6/01/29 | 25,000 | 24,333 | |
EnLink Midstream Partners L.P., | |||
4.85%, 7/15/26 | 50,000 | 48,625 | |
5.45%, 6/01/47 | 25,000 | 20,250 | |
EQM Midstream Partners L.P., | |||
4.13%, 12/01/26 | 100,000 | 92,875 | |
6.50%, 7/01/27(b) | 20,000 | 20,200 | |
6.50%, 7/15/48 | 10,000 | 9,200 | |
Genesis Energy L.P./Genesis Energy Finance Corp., 8.00%, 1/15/27 | 40,000 | 39,230 | |
Global Partners L.P./GLP Finance Corp., 6.88%, 1/15/29 | 100,000 | 97,506 | |
Harvest Midstream I L.P., 7.50%, 9/01/28(b) | 35,000 | 35,513 | |
Hess Midstream Operations L.P., | |||
5.13%, 6/15/28(b) | 75,000 | 72,562 | |
4.25%, 2/15/30(b) | 25,000 | 22,932 | |
5.50%, 10/15/30(b) | 20,000 | 19,706 | |
MPLX L.P., | |||
4.88%, 12/01/24 | 12,000 | 12,230 | |
4.13%, 3/01/27 | 180,000 | 178,332 | |
2.65%, 8/15/30 | 20,000 | 17,166 |
Par (a) | Value | ||
Pipelines (Continued) | |||
New Fortress Energy, Inc., 6.75%, 9/15/25(b) | $115,000 | $ 113,061 | |
ONEOK, Inc., | |||
2.75%, 9/01/24 | 50,000 | 48,763 | |
6.35%, 1/15/31 | 60,000 | 65,517 | |
Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp., 5.50%, 1/15/28(b) | 100,000 | 93,216 | |
Targa Resources Corp., 4.20%, 2/01/33 | 40,000 | 37,911 | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., | |||
6.50%, 7/15/27 | 17,000 | 17,512 | |
5.50%, 3/01/30 | 25,000 | 24,781 | |
4.00%, 1/15/32 | 60,000 | 54,410 | |
Transcontinental Gas Pipe Line Co. LLC, 3.25%, 5/15/30 | 30,000 | 27,789 | |
Western Midstream Operating L.P., | |||
4.65%, 7/01/26 | 50,000 | 49,312 | |
4.75%, 8/15/28 | 25,000 | 24,344 | |
4.55%, 2/01/30 | 75,000 | 68,902 | |
5.50%, 8/15/48 | 25,000 | 22,250 | |
Williams (The) Cos., Inc., 2.60%, 3/15/31 | 170,000 | 147,266 | |
2,191,428 | |||
Real Estate – 0.0%(c) | |||
Howard Hughes (The) Corp., 4.38%, 2/01/31(b) | 15,000 | 13,341 | |
Kennedy-Wilson, Inc., 5.00%, 3/01/31 | 45,000 | 40,614 | |
53,955 | |||
Real Estate Investment Trusts – 0.7% | |||
American Tower Corp., | |||
0.60%, 1/15/24 | 135,000 | 129,067 | |
5.00%, 2/15/24 | 80,000 | 82,014 | |
1.45%, 9/15/26 | 65,000 | 58,038 | |
3.65%, 3/15/27 | 110,000 | 105,935 | |
Camden Property Trust, 3.15%, 7/01/29 | 50,000 | 47,275 | |
Crown Castle International Corp., | |||
3.20%, 9/01/24 | 30,000 | 29,753 | |
1.35%, 7/15/25 | 200,000 | 184,425 | |
2.90%, 3/15/27 | 25,000 | 23,406 | |
Equinix, Inc., | |||
2.63%, 11/18/24 | 80,000 | 77,860 | |
1.25%, 7/15/25 | 200,000 | 183,994 |
Par (a) | Value | ||
Real Estate Investment Trusts (Continued) | |||
Essex Portfolio L.P., 1.70%, 3/01/28 | $230,000 | $201,290 | |
Federal Realty Investment Trust, 3.95%, 1/15/24 | 50,000 | 50,309 | |
GLP Capital L.P./GLP Financing II, Inc., 4.00%, 1/15/31 | 25,000 | 22,635 | |
Iron Mountain Information Management Services, Inc., 5.00%, 7/15/32(b) | 60,000 | 52,871 | |
Iron Mountain, Inc., | |||
5.00%, 7/15/28(b) | 75,000 | 71,050 | |
4.88%, 9/15/29(b) | 75,000 | 68,703 | |
5.25%, 7/15/30(b) | 40,000 | 36,662 | |
4.50%, 2/15/31(b) | 30,000 | 25,706 | |
5.63%, 7/15/32(b) | 50,000 | 45,211 | |
iStar, Inc., 4.25%, 8/01/25 | 100,000 | 95,313 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.75%, 6/15/29(b) | 80,000 | 71,766 | |
MPT Operating Partnership L.P./MPT Finance Corp., 3.50%, 3/15/31 | 35,000 | 29,728 | |
Office Properties Income Trust, 3.45%, 10/15/31 | 58,000 | 45,429 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 5.88%, 10/01/28(b) | 110,000 | 106,700 | |
Public Storage, | |||
1.95%, 11/09/28 | 125,000 | 111,053 | |
3.39%, 5/01/29 | 25,000 | 24,068 | |
SBA Communications Corp., 3.13%, 2/01/29 | 10,000 | 8,578 | |
Simon Property Group L.P., | |||
3.50%, 9/01/25 | 65,000 | 64,535 | |
1.38%, 1/15/27 | 10,000 | 8,929 | |
Starwood Property Trust, Inc., | |||
5.50%, 11/01/23(b) | 35,000 | 35,262 | |
4.75%, 3/15/25 | 50,000 | 49,335 | |
3.63%, 7/15/26(b) | 25,000 | 22,812 | |
4.38%, 1/15/27(b) | 35,000 | 32,651 | |
Uniti Group L.P./Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, 2/15/25(b) | 50,000 | 50,875 | |
VICI Properties L.P./VICI Note Co., Inc., | |||
5.75%, 2/01/27 | 100,000 | 103,000 |
Par (a) | Value | ||
Real Estate Investment Trusts (Continued) | |||
VICI Properties L.P./VICI Note Co., Inc., | |||
4.13%, 8/15/30(b) | $ 50,000 | $ 44,918 | |
Welltower, Inc., 4.00%, 6/01/25 | 25,000 | 25,029 | |
XHR L.P., 6.38%, 8/15/25(b) | 30,000 | 30,357 | |
2,456,542 | |||
Retail – 0.3% | |||
Abercrombie & Fitch Management Co., 8.75%, 7/15/25(b) | 225,000 | 235,179 | |
Asbury Automotive Group, Inc., 4.75%, 3/01/30 | 35,000 | 31,368 | |
Bath & Body Works, Inc., | |||
5.25%, 2/01/28 | 25,000 | 24,000 | |
6.63%, 10/01/30(b) | 35,000 | 34,811 | |
Genuine Parts Co., 1.75%, 2/01/25 | 190,000 | 180,405 | |
Group 1 Automotive, Inc., 4.00%, 8/15/28(b) | 20,000 | 17,995 | |
Lowe's Cos., Inc., | |||
4.00%, 4/15/25 | 45,000 | 45,594 | |
3.35%, 4/01/27 | 55,000 | 53,662 | |
Macy's Retail Holdings LLC, 5.88%, 4/01/29(b) | 5,000 | 4,743 | |
Michaels (The) Cos., Inc., 5.25%, 5/01/28(b) | 20,000 | 17,188 | |
Murphy Oil USA, Inc., 3.75%, 2/15/31(b) | 25,000 | 21,959 | |
Ross Stores, Inc., 4.70%, 4/15/27 | 2,000 | 2,057 | |
Victoria's Secret & Co., 4.63%, 7/15/29(b) | 20,000 | 16,407 | |
Walmart, Inc., 1.50%, 9/22/28 | 75,000 | 66,328 | |
Yum! Brands, Inc., | |||
4.75%, 1/15/30(b) | 50,000 | 47,563 | |
4.63%, 1/31/32 | 100,000 | 90,875 | |
890,134 | |||
Semiconductors – 0.2% | |||
Amkor Technology, Inc., 6.63%, 9/15/27(b) | 100,000 | 101,750 | |
Analog Devices, Inc., | |||
1.70%, 10/01/28 | 40,000 | 35,038 | |
2.10%, 10/01/31 | 30,000 | 25,850 | |
Broadcom, Inc., 4.00%, 4/15/29(b) | 145,000 | 138,211 | |
Entegris, Inc., 3.63%, 5/01/29(b) | 30,000 | 26,391 | |
Intel Corp., 3.75%, 3/25/27 | 100,000 | 100,468 |
Par (a) | Value | ||
Semiconductors (Continued) | |||
Qorvo, Inc., 1.75%, 12/15/24(b) | $ 20,000 | $ 18,867 | |
Skyworks Solutions, Inc., 0.90%, 6/01/23 | 95,000 | 92,621 | |
Texas Instruments, Inc., 1.90%, 9/15/31 | 65,000 | 55,395 | |
594,591 | |||
Software – 0.3% | |||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 3/01/25(b) | 100,000 | 99,750 | |
Intuit, Inc., | |||
1.35%, 7/15/27 | 60,000 | 53,434 | |
1.65%, 7/15/30 | 45,000 | 37,521 | |
MSCI, Inc., | |||
3.88%, 2/15/31(b) | 100,000 | 90,250 | |
3.63%, 11/01/31(b) | 100,000 | 87,750 | |
3.25%, 8/15/33(b) | 55,000 | 46,475 | |
Oracle Corp., 1.65%, 3/25/26 | 180,000 | 162,629 | |
Roper Technologies, Inc., 1.00%, 9/15/25 | 45,000 | 41,173 | |
SS&C Technologies, Inc., 5.50%, 9/30/27(b) | 156,000 | 152,886 | |
Take-Two Interactive Software, Inc., 3.30%, 3/28/24 | 70,000 | 69,575 | |
VMware, Inc., 4.50%, 5/15/25 | 10,000 | 10,132 | |
Ziff Davis, Inc., 4.63%, 10/15/30(b) | 192,000 | 171,205 | |
1,022,780 | |||
Telecommunications – 0.4% | |||
AT&T, Inc., 1.70%, 3/25/26 | 295,000 | 272,384 | |
Consolidated Communications, Inc., 6.50%, 10/01/28(b) | 15,000 | 13,070 | |
Frontier Communications Holdings LLC, 5.88%, 10/15/27(b) | 10,000 | 9,575 | |
Level 3 Financing, Inc., 3.63%, 1/15/29(b) | 100,000 | 81,156 | |
Lumen Technologies, Inc., | |||
4.50%, 1/15/29(b) | 50,000 | 39,508 | |
5.38%, 6/15/29(b) | 33,000 | 26,872 | |
Motorola Solutions, Inc., 4.60%, 5/23/29 | 100,000 | 98,021 | |
Sprint Capital Corp., | |||
6.88%, 11/15/28 | 50,000 | 54,880 | |
8.75%, 3/15/32 | 75,000 | 95,312 | |
Sprint Corp., 7.13%, 6/15/24 | 100,000 | 105,250 |
Par (a) | Value | ||
Telecommunications (Continued) | |||
T-Mobile USA, Inc., 3.50%, 4/15/25 | $425,000 | $ 418,973 | |
Verizon Communications, Inc., 3.00%, 3/22/27 | 100,000 | 95,750 | |
ViaSat, Inc., | |||
5.63%, 4/15/27(b) | 100,000 | 92,750 | |
6.50%, 7/15/28(b) | 115,000 | 99,331 | |
1,502,832 | |||
Transportation – 0.1% | |||
Cargo Aircraft Management, Inc., 4.75%, 2/01/28(b) | 10,000 | 9,401 | |
Union Pacific Corp., 3.75%, 7/15/25 | 90,000 | 90,841 | |
United Parcel Service, Inc., 4.45%, 4/01/30 | 60,000 | 62,340 | |
Watco Cos. LLC/Watco Finance Corp., 6.50%, 6/15/27(b) | 15,000 | 14,475 | |
XPO Logistics, Inc., 6.25%, 5/01/25(b) | 22,000 | 22,493 | |
199,550 | |||
Trucking & Leasing – 0.1% | |||
Fortress Transportation and Infrastructure Investors LLC, | |||
6.50%, 10/01/25(b) | 30,000 | 28,575 | |
9.75%, 8/01/27(b) | 320,000 | 326,483 | |
355,058 | |||
Total Corporate Bonds (Cost $44,385,891) | 41,208,671 | ||
Foreign Issuer Bonds – 2.2% | |||
Brazil – 0.1% | |||
Vale Overseas Ltd., 6.25%, 8/10/26 | 280,000 | 294,420 | |
Burkina Faso – 0.0%(c) | |||
IAMGOLD Corp., 5.75%, 10/15/28(b) | 30,000 | 25,522 | |
Canada – 0.7% | |||
1011778 B.C. ULC/New Red Finance, Inc., | |||
3.88%, 1/15/28(b) | 95,000 | 87,400 | |
4.00%, 10/15/30(b) | 130,000 | 111,130 | |
Air Canada, 3.88%, 8/15/26(b) | 35,000 | 32,364 | |
Bank of Montreal, 0.45%, 12/08/23 | 180,000 | 172,735 | |
Bank of Nova Scotia (The), | |||
0.65%, 7/31/24 | 95,000 | 89,043 |
Par (a) | Value | ||
Canada (Continued) | |||
Bank of Nova Scotia (The), | |||
3.45%, 4/11/25 | $ 70,000 | $ 69,210 | |
1.05%, 3/02/26 | 90,000 | 80,941 | |
1.35%, 6/24/26 | 160,000 | 144,599 | |
Brookfield Asset Management, Inc., 4.00%, 1/15/25 | 50,000 | 50,509 | |
Brookfield Finance I UK PLC, 2.34%, 1/30/32 | 20,000 | 16,629 | |
Canadian Imperial Bank of Commerce, | |||
3.30%, 4/07/25 | 230,000 | 226,637 | |
0.95%, 10/23/25 | 170,000 | 154,459 | |
Canadian Natural Resources Ltd., 2.95%, 7/15/30 | 215,000 | 192,579 | |
Cascades, Inc./Cascades USA, Inc., 5.38%, 1/15/28(b) | 130,000 | 125,450 | |
Cenovus Energy, Inc., 5.38%, 7/15/25 | 6,000 | 6,222 | |
Empire Communities Corp., 7.00%, 12/15/25(b) | 20,000 | 18,950 | |
Enbridge, Inc., | |||
3.50%, 6/10/24 | 80,000 | 80,006 | |
2.50%, 1/15/25 | 100,000 | 96,983 | |
Fairfax Financial Holdings Ltd., 3.38%, 3/03/31 | 25,000 | 22,208 | |
Garda World Security Corp., 6.00%, 6/01/29(b) | 25,000 | 20,715 | |
GFL Environmental, Inc., 3.75%, 8/01/25(b) | 25,000 | 23,688 | |
MEG Energy Corp., 5.88%, 2/01/29(b) | 20,000 | 19,577 | |
Methanex Corp., 5.25%, 12/15/29 | 75,000 | 71,250 | |
Rogers Communications, Inc., | |||
3.20%, 3/15/27(b) | 75,000 | 71,379 | |
3.80%, 3/15/32(b) | 70,000 | 64,459 | |
Royal Bank of Canada, | |||
0.75%, 10/07/24 | 70,000 | 65,687 | |
1.20%, 4/27/26 | 70,000 | 63,161 | |
2.05%, 1/21/27 | 100,000 | 92,337 | |
Superior Plus L.P./Superior General Partner, Inc., 4.50%, 3/15/29(b) | 10,000 | 9,138 | |
Taseko Mines Ltd., 7.00%, 2/15/26(b) | 50,000 | 49,625 | |
Tervita Corp., 11.00%, 12/01/25(b) | 13,000 | 14,495 |
Par (a) | Value | ||
Canada (Continued) | |||
Toronto-Dominion Bank (The), | |||
0.30%, 6/02/23 | $ 50,000 | $ 48,761 | |
3.25%, 3/11/24 | 50,000 | 50,006 | |
0.75%, 1/06/26 | 160,000 | 143,858 | |
2,586,190 | |||
Finland – 0.0%(c) | |||
Nokia Oyj, 4.38%, 6/12/27 | 50,000 | 48,500 | |
France – 0.1% | |||
AXA S.A., 8.60%, 12/15/30 | 195,000 | 245,444 | |
Germany – 0.1% | |||
Deutsche Bank A.G., | |||
(SOFR + 1.22%), 2.31%, 11/16/27(h) | 150,000 | 132,639 | |
(5Y USD Swap Rate + 2.55%), 4.88%, 12/01/32(h) | 200,000 | 183,316 | |
315,955 | |||
Ireland – 0.0%(c) | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.65%, 10/29/24 | 150,000 | 139,832 | |
Italy – 0.0%(c) | |||
Telecom Italia Capital S.A., | |||
6.38%, 11/15/33 | 50,000 | 43,688 | |
6.00%, 9/30/34 | 20,000 | 17,105 | |
60,793 | |||
Japan – 0.5% | |||
Honda Motor Co. Ltd., | |||
2.27%, 3/10/25 | 60,000 | 58,218 | |
2.53%, 3/10/27 | 70,000 | 66,528 | |
Mitsubishi UFJ Financial Group, Inc., | |||
(1Y US Treasury CMT + 0.45%), 0.96%, 10/11/25(h) | 200,000 | 186,408 | |
(1Y US Treasury CMT + 0.83%), 2.34%, 1/19/28(h) | 275,000 | 251,532 | |
2.05%, 7/17/30 | 200,000 | 166,060 | |
Mizuho Financial Group, Inc., | |||
(1.25% - SOFR), 1.24%, 7/10/24(h) | 200,000 | 194,897 | |
(3M USD LIBOR + 1.00%), 3.92%, 9/11/24(h) | 200,000 | 201,079 | |
Nomura Holdings, Inc., 1.85%, 7/16/25 | 200,000 | 185,894 |
Par (a) | Value | ||
Japan (Continued) | |||
Sumitomo Mitsui Financial Group, Inc., | |||
2.45%, 9/27/24 | $200,000 | $ 194,208 | |
1.40%, 9/17/26 | 200,000 | 178,067 | |
Toyota Motor Corp., 0.68%, 3/25/24 | 195,000 | 186,534 | |
1,869,425 | |||
Luxembourg – 0.0%(c) | |||
ArcelorMittal S.A., 4.25%, 7/16/29 | 50,000 | 48,455 | |
Mexico – 0.1% | |||
America Movil S.A.B. de C.V., 2.88%, 5/07/30 | 200,000 | 179,576 | |
Coca-Cola Femsa S.A.B. de C.V., 2.75%, 1/22/30 | 180,000 | 161,827 | |
341,403 | |||
Peru – 0.0%(c) | |||
Southern Copper Corp., 3.88%, 4/23/25 | 5,000 | 4,966 | |
Spain – 0.1% | |||
Banco Santander S.A., | |||
(1Y US Treasury CMT + 0.45%), 0.70%, 6/30/24(h) | 200,000 | 193,359 | |
1.85%, 3/25/26 | 200,000 | 181,771 | |
375,130 | |||
Switzerland – 0.1% | |||
Credit Suisse A.G., 0.52%, 8/09/23 | 250,000 | 242,009 | |
Novartis Capital Corp., 2.20%, 8/14/30 | 10,000 | 8,895 | |
250,904 | |||
United Kingdom – 0.4% | |||
BAT Capital Corp., | |||
2.26%, 3/25/28 | 48,000 | 40,988 | |
4.91%, 4/02/30 | 71,000 | 68,448 | |
BAT International Finance PLC, 4.45%, 3/16/28 | 100,000 | 96,280 | |
HSBC Holdings PLC, | |||
(SOFR + 0.53%), 0.73%, 8/17/24(h) | 200,000 | 192,487 | |
3.00%, 3/10/26(h) | 200,000 | 192,694 | |
Lloyds Banking Group PLC, (1Y US Treasury CMT + 0.55%), 0.70%, 5/11/24(h) | 200,000 | 194,095 | |
Reynolds American, Inc., 4.45%, 6/12/25 | 125,000 | 125,903 | |
Santander UK Group Holdings PLC, (SOFR + 0.79%), 1.09%, 3/15/25(h) | 300,000 | 283,228 |
Par (a) | Value | ||
United Kingdom (Continued) | |||
Unilever Capital Corp., 3.38%, 3/22/25 | $ 100,000 | $ 100,272 | |
Vmed O2 UK Financing I PLC, 4.75%, 7/15/31(b) | 200,000 | 171,500 | |
1,465,895 | |||
Total Foreign Issuer Bonds (Cost $8,637,009) | 8,072,834 | ||
Mortgage-Backed Securities – 21.9% | |||
Commercial Mortgage-Backed Securities – 0.1% | |||
Multifamily Connecticut Avenue Securities Trust, Series 2019-01, Class M10, (1M USD LIBOR + 3.25%, 3.25% Floor), 3.92%, 10/15/49(b)(i) | 350,000 | 332,833 | |
Federal Home Loan Mortgage Corporation – 1.1% | |||
Pool, | |||
3.00%, 3/01/30 - 8/01/50 | 688,791 | 665,937 | |
2.50%, 4/01/32 - 11/01/50 | 934,704 | 885,142 | |
4.50%, 4/01/49 | 48,564 | 50,117 | |
2.00%, 10/01/50 - 1/01/52 | 1,333,935 | 1,178,838 | |
2.50%, 9/01/51(d) | 1,480,658 | 1,352,891 | |
4,132,925 | |||
Federal Home Loan Mortgage Corporation Gold – 0.1% | |||
Pool, 3.00%, 3/01/46 - 12/01/46 | 256,064 | 245,285 | |
Federal National Mortgage Association – 2.5% | |||
Pool, | |||
2.50%, 10/01/35 - 1/01/52 | 4,176,907 | 3,835,128 | |
3.50%, 8/01/45 - 1/01/49 | 98,661 | 96,932 | |
3.50%, 1/01/48(d) | 1,199,157 | 1,173,488 | |
4.00%, 9/01/48 - 5/01/50 | 1,408,577 | 1,411,717 | |
3.00%, 11/01/48 - 6/01/51 | 816,917 | 773,247 | |
4.50%, 1/01/49 - 2/01/50 | 419,332 | 429,074 | |
2.00%, 2/01/51 - 8/01/51 | 1,772,797 | 1,567,894 | |
9,287,480 | |||
Government National Mortgage Association – 2.5% | |||
Pool, 5/01/52(g) | 9,844,000 | 9,258,329 |
Par (a) | Value | ||
Government National Mortgage Association II – 1.5% | |||
Pool, | |||
2.50%, 12/20/46 - 8/20/51 | $ 1,258,864 | $ 1,169,483 | |
3.50%, 1/20/48 - 8/20/48 | 1,069,752 | 1,056,448 | |
4.50%, 9/20/48 - 1/20/50 | 145,396 | 148,772 | |
3.00%, 4/20/49 - 7/20/50 | 1,593,483 | 1,527,506 | |
2.00%, 2/20/51 | 978,032 | 891,059 | |
10/20/51 (g) | 992,170 | 902,191 | |
5,695,459 | |||
Uniform Mortgage-Backed Securities – 6.4% | |||
Pool, | |||
5/01/37 - 6/01/52(g) | 23,951,000 | 22,303,010 | |
2.00%, 11/01/51 | 48,841 | 43,152 | |
2.50%, 11/01/51 - 1/01/52 | 1,382,160 | 1,262,825 | |
23,608,987 | |||
Whole Loan – 7.7% | |||
FHLMC Structured Agency Credit Risk Debt Notes, | |||
Series 2017-DNA1, Class B1, (1M USD LIBOR + 4.95%, 4.95% Floor), 5.62%, 7/25/29(i) | 500,000 | 534,216 | |
Series 2017-DNA3, Class B1, (1M USD LIBOR + 4.45%), 5.12%, 3/25/30(i) | 300,000 | 312,000 | |
Series 2018-DNA1, Class B1, (1M USD LIBOR + 3.15%), 3.82%, 7/25/30(i) | 690,000 | 672,758 | |
FNMA Connecticut Avenue Securities, | |||
Series 2017-C01, Class 1B1, (1M USD LIBOR + 5.75%), 6.42%, 7/25/29(i) | 245,000 | 270,832 | |
Series 2017-C02, Class 2B1, (1M USD LIBOR + 5.50%), 6.17%, 9/25/29(i) | 473,000 | 512,954 | |
Series 2017-C03, Class 1B1, (1M USD LIBOR + 4.85%), 5.52%, 10/25/29(i) | 430,000 | 452,562 | |
Series 2017-C04, Class 2M2, 3.52%, 11/25/29(i) | 1,556,948 | 1,590,735 | |
Series 2017-C04, Class 2B1, (1M USD LIBOR + 5.05%), 5.72%, 11/25/29(i) | 450,000 | 482,608 | |
Series 2017-C05, Class 1M2, (1M USD LIBOR + 2.20%, 2.20% Floor), 2.87%, 1/25/30(i) | 943,654 | 950,740 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
FNMA Connecticut Avenue Securities, | |||
Series 2017-C05, Class 1B1, (1M USD LIBOR + 3.60%, 3.60% Floor), 4.27%, 1/25/30(i) | $ 667,125 | $ 667,124 | |
Series 2017-C07, Class 1M2, (1M USD LIBOR + 2.40%, 2.40% Floor), 3.07%, 5/25/30(i) | 771,485 | 783,046 | |
Series 2017-C07, Class 1B1, (1M USD LIBOR + 4.00%, 4.00% Floor), 4.67%, 5/25/30(i) | 250,000 | 254,907 | |
Series 2017-C07, Class 2B1, (1M USD LIBOR + 4.45%, 4.45% Floor), 5.12%, 5/25/30(i) | 217,000 | 225,424 | |
Series 2018-C01, Class 1M2, (1M USD LIBOR + 2.25%, 2.25% Floor), 2.92%, 7/25/30(i) | 898,926 | 907,349 | |
Series 2018-C01, Class 1B1, (1M USD LIBOR + 3.55%, 3.55% Floor), 4.22%, 7/25/30(i) | 637,000 | 632,112 | |
Series 2018-C02, Class 2B1, (1M USD LIBOR + 4.00%, 4.00% Floor), 4.67%, 8/25/30(i) | 425,000 | 434,030 | |
Series 2018-C03, Class 1B1, (1M USD LIBOR + 3.75%, 3.75% Floor), 4.42%, 10/25/30(i) | 550,000 | 548,366 | |
Series 2018-C05, Class 1B1, (1M USD LIBOR + 4.25%, 4.25% Floor), 4.92%, 1/25/31(i) | 340,000 | 345,084 | |
Series 2018-C06, Class 1M2, (1M USD LIBOR + 2.00%, 2.00% Floor), 2.67%, 3/25/31(i) | 1,127,511 | 1,128,193 | |
Series 2018-C06, Class 2M2, (1M USD LIBOR + 2.10%, 2.10% Floor), 2.77%, 3/25/31(i) | 331,787 | 332,517 | |
Series 2021-R02, Class 2M1, (30D Average SOFR + 0.90%), 1.19%, 11/25/41(b)(i) | 846,236 | 836,135 | |
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-HQA2, Class B1, 5.42%, 12/25/29(i) | 300,000 | 315,352 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Freddie Mac STACR Trust, | |||
Series 2018-DNA2, Class M2, 2.82%, 12/25/30(b)(i) | $1,525,286 | $1,536,712 | |
Series 2018-HQA2, Class M2, (1M USD LIBOR + 2.30%), 2.97%, 10/25/48(b)(i) | 1,300,000 | 1,304,138 | |
Series 2019-DNA1, Class M2, (1M USD LIBOR + 2.65%), 3.32%, 1/25/49(b)(i) | 635,803 | 641,425 | |
Series 2019-HQA1, Class M2, (1M USD LIBOR + 2.35%), 3.02%, 2/25/49(b)(i) | 542,940 | 546,608 | |
Series 2019-HQA2, Class M2, 2.72%, 4/25/49(b)(i) | 978,858 | 982,541 | |
Series 2019-DNA4, Class M2, (1M USD LIBOR + 1.95%), 2.62%, 10/25/49(b)(i) | 180,270 | 180,425 | |
Connecticut Avenue Securities Trust, | |||
Series 2018-R07, Class 1M2, (1M USD LIBOR + 2.40%), 3.07%, 4/25/31(b)(i) | 251,759 | 251,759 | |
Series 2018-R07, Class 1M2C, (1M USD LIBOR + 2.40%), 3.07%, 4/25/31(b)(i) | 290,687 | 290,687 | |
Series 2019-R01, Class 2M2, (1M USD LIBOR + 2.45%), 3.12%, 7/25/31(b)(i) | 32,094 | 32,195 | |
Series 2019-R01, Class 2M2C, (1M USD LIBOR + 2.45%), 3.12%, 7/25/31(b)(i) | 389,999 | 388,732 | |
Series 2019-R02, Class 1M2, (1M USD LIBOR + 2.30%, 2.30% Floor), 2.97%, 8/25/31(b)(i) | 94,077 | 94,113 | |
Series 2019-R06, Class 2M2, (1M USD LIBOR + 2.10%), 2.77%, 9/25/39(b)(i) | 587,537 | 587,537 | |
Series 2019-R07, Class 1M2, (1M USD LIBOR + 2.10%), 2.77%, 10/25/39(b)(i) | 110,673 | 110,673 | |
Series 2020-R02, Class 2M2, (1M USD LIBOR + 2.00%), 2.67%, 1/25/40(b)(i) | 1,246,692 | 1,245,415 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Connecticut Avenue Securities Trust, | |||
Series 2020-R01, Class 1M2, (1M USD LIBOR + 2.05%, 2.05% Floor), 2.72%, 1/25/40(b)(i) | $1,458,930 | $1,459,374 | |
Series 2020-SBT1, Class 1M2, (1M USD LIBOR + 3.65%), 4.32%, 2/25/40(b)(i) | 511,533 | 506,463 | |
Series 2021-R01, Class 1B1, (30D Average SOFR + 3.10%), 3.39%, 10/25/41(b)(i) | 150,000 | 138,937 | |
Series 2021-R03, Class 1B1, (30D Average SOFR + 2.75%, 2.75% Floor), 3.04%, 12/25/41(b)(i) | 275,000 | 246,125 | |
Freddie Mac STACR REMIC Trust, | |||
Series 2021-HQA1, Class M1, (30D Average SOFR + 0.70%), 0.99%, 8/25/33(b)(i) | 109,827 | 109,413 | |
Series 2021-HQA1, Class M2, (30D Average SOFR + 2.25%), 2.54%, 8/25/33(b)(i) | 150,000 | 147,193 | |
Series 2021-DNA3, Class M2, (30D Average SOFR + 2.10%), 2.39%, 10/25/33(b)(i) | 30,000 | 29,211 | |
Series 2021-DNA7, Class B1, (30D Average SOFR + 3.65%), 3.94%, 11/25/41(b)(i) | 260,000 | 242,612 | |
Series 2022-HQA1, Class M1A, 2.39%, 3/25/42(b)(i) | 47,396 | 47,449 | |
Series 2022-HQA1, Class M1B, 3.79%, 3/25/42(b)(i) | 350,000 | 357,435 | |
Series 2019-HQA4, Class M2, (1M USD LIBOR + 2.05%), 2.72%, 11/25/49(b)(i) | 118,107 | 118,107 | |
Series 2020-DNA1, Class M2, (1M USD LIBOR + 1.70%), 2.37%, 1/25/50(b)(i) | 550,382 | 548,295 | |
Series 2020-HQA1, Class M2, (1M USD LIBOR + 1.90%), 2.57%, 1/25/50(b)(i) | 58,499 | 58,542 | |
Series 2020-DNA2, Class M2, (1M USD LIBOR + 1.85%, 1.85% Floor), 2.52%, 2/25/50(b)(i) | 1,569,648 | 1,567,751 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Freddie Mac STACR REMIC Trust, | |||
Series 2020-HQA2, Class M2, (1M USD LIBOR + 3.10%), 3.77%, 3/25/50(b)(i) | $565,723 | $ 567,961 | |
Series 2020-DNA4, Class M2, (1M USD LIBOR + 3.75%), 4.42%, 8/25/50(b)(i) | 140,946 | 141,505 | |
Series 2020-HQA4, Class M2, (1M USD LIBOR + 3.15%), 3.82%, 9/25/50(b)(i) | 143,093 | 143,277 | |
Series 2020-DNA6, Class M1, (30D Average SOFR + 0.90%), 1.19%, 12/25/50(b)(i) | 15,700 | 15,682 | |
Series 2021-DNA1, Class M1, (30D Average SOFR + 0.65%), 0.94%, 1/25/51(b)(i) | 6,069 | 6,062 | |
Freddie Mac STACR, Series 2019-HQA3, Class M2, (1M USD LIBOR + 1.85%), 2.52%, 9/25/49(b)(i) | 354,613 | 353,722 | |
28,187,120 | |||
Total Mortgage-Backed Securities (Cost $83,095,656) | 80,748,418 |
Number of Shares | |||
Preferred Stocks – 2.7% | |||
Chemicals – 0.2% | |||
Lyondellbasell Advanced Polymers, Inc., 6.00% | 669 | 588,720 | |
Computers – 0.2% | |||
NCR Corp., 5.50%(j) | 556 | 766,446 | |
Diversified Financial Services – 0.3% | |||
AMG Capital Trust II, 5.15%(d) | 10,807 | 597,627 | |
Cowen, Inc., 5.63%(d) | 548 | 594,004 | |
1,191,631 | |||
Electric – 0.1% | |||
Algonquin Power & Utilities Corp., 7.75%Canada) | 11,531 | 543,341 | |
Engineering & Construction – 0.3% | |||
Fluor Corp., 6.50%(b)(k) | 964 | 1,214,881 |
Number of Shares | Value | ||
Metal Fabricate/Hardware – 0.1% | |||
RBC Bearings, Inc., 5.00% | 3,169 | $ 286,763 | |
Real Estate Investment Trusts – 1.3% | |||
AGNC Investment Corp., 6.13%(i) | 21,599 | 499,369 | |
Arbor Realty Trust, Inc., 6.25%(i) | 34,424 | 834,438 | |
Chimera Investment Corp., 8.00%(i) | 17,820 | 435,521 | |
Granite Point Mortgage Trust, Inc., 7.00%(i) | 23,198 | 528,682 | |
MFA Financial, Inc., 6.50%(i) | 35,021 | 796,377 | |
New Residential Investment Corp., 6.38%(i) | 34,070 | 729,439 | |
New York Mortgage Trust, Inc., 6.88%(i) | 18,982 | 449,494 | |
Ready Capital Corp., 7.00% | 19,284 | 499,841 | |
4,773,161 | |||
Savings & Loans – 0.2% | |||
New York Community Capital Trust V, 6.00% | 15,900 | 779,076 | |
Total Preferred Stocks (Cost $9,817,466) | 10,144,019 | ||
Rights – 0.0%(c) | |||
Pharmaceuticals – 0.0%(c) | |||
Zogenix Inc. Cvr(l)* | 21,009 | 14,379 | |
Total Rights (Cost $14,286) | 14,379 | ||
Warrants – 0.0%(c) | |||
Healthcare - Services – 0.0%(c) | |||
UpHealth, Inc., Strike Price $11.50, Expires 7/01/24* | 254 | 23 | |
Total Warrants (Cost $—) | 23 | ||
Investment Companies – 0.1% | |||
ProShares Short 20+ Year Treasury* | 29,259 | 570,843 | |
Total Investment Companies (Cost $514,999) | 570,843 |
Number of Shares/Par | Value | ||
Short-Term Investments – 14.9% | |||
Corporate Bonds – 0.0%(c) | |||
Sabine Pass Liquefaction LLC, 5.63%, 4/15/23 | $ 100,000 | $ 101,570 | |
Media – 0.1% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.46%, 7/23/22 | 200,000 | 200,343 | |
Money Market Fund – 6.3% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.18%(m) | 23,046,998 | 23,046,998 | |
Electronics – 0.4% | |||
OSI Systems, Inc., 1.25%, 9/01/22(d) | 751,000 | 746,794 | |
II-VI, Inc., 0.25%, 9/01/22(d)(e) | 560,000 | 740,600 | |
1,487,394 | |||
Real Estate Investment Trusts – 0.5% | |||
iStar, Inc., 3.13%, 9/15/22(d) | 458,000 | 563,111 | |
Granite Point Mortgage Trust, Inc., 5.63%, 12/01/22(b) | 1,072,000 | 1,054,580 | |
1,617,691 | |||
Biotechnology – 0.3% | |||
Innoviva, Inc., 2.13%, 1/15/23(d) | 1,158,000 | 1,195,635 | |
Aerospace/Defense – 0.0%(c) | |||
Boeing (The) Co., 1.17%, 2/04/23 | 30,000 | 29,640 | |
Electric – 0.0%(c) | |||
NextEra Energy Capital Holdings, Inc., 0.65%, 3/01/23 | 105,000 | 103,310 | |
Healthcare - Services – 0.0%(c) | |||
Anthem, Inc., 0.45%, 3/15/23 | 130,000 | 127,687 | |
U.S. Treasury Bills – 7.3% | |||
U.S. Treasury Bill, 0.48%(n) | 6,000,000 | 5,994,885 |
Number of Shares/Par | Value | ||
U.S. Treasury Bills (Continued) | |||
U.S. Treasury Bill, 0.20%(n) | $ 3,000,000 | $ 2,999,977 | |
U.S. Treasury Bill, 0.84%, 7/28/22(n) | 18,000,000 | 17,964,112 | |
26,958,974 | |||
Total Short-Term Investments (Cost $54,580,779) | 54,869,242 |
Number of Contracts | Notional Amount | ||
Purchased Options – 0.0%(c) | |||
Call Options - Exchange Traded – 0.0%(c) | |||
Healthcare Trust of America, Inc., Strike Price $32.00, Expires 5/20/22 | 86 | 261,956 | 3,870 |
MagnaChip Semiconductor Corp., Strike Price $20.00, Expires 5/20/22 | 232 | 424,328 | 21,460 |
Sierra Oncology, Strike Price $55.00, Expires 5/20/22 | 112 | 610,512 | 2,240 |
Spirit Airlines, Inc., Strike Price $30.00, Expires 5/20/22 | 138 | 325,818 | 2,070 |
29,640 | |||
Put Options - Exchange Traded – 0.0%(c) | |||
Vonage Holdings Corp., Strike Price $19.00, Expires 6/17/22 | 8 | 15,968 | 620 |
Total Purchased Options (Premiums Received $41,783) | 30,260 | ||
Total Long Positions – 105.3% (Cost $399,366,132) | 388,162,261 |
Number of Shares | Value | ||
Short Positions – (7.3)%(o) | |||
Common Stocks – (7.3)% | |||
Aerospace/Defense – (0.0)%(c) | |||
Kaman Corp. | (2,830) | (110,398) | |
Airlines – (0.1)% | |||
Southwest Airlines Co. | (6,899) | (322,321) | |
Spirit Airlines, Inc. | (4,377) | (103,341) | |
(425,662) | |||
Biotechnology – (0.4)% | |||
Exact Sciences Corp.(e) | (5,097) | (280,590) | |
Halozyme Therapeutics, Inc. | (7,944) | (316,966) |
Number of Shares | Value | ||
Biotechnology (Continued) | |||
Innoviva, Inc. | (24,751) | $ (422,252) | |
Insmed, Inc.(e) | (26,275) | (577,262) | |
Ligand Pharmaceuticals, Inc. | (105) | (9,750) | |
(1,606,820) | |||
Building Materials – (0.1)% | |||
Patrick Industries, Inc. | (4,205) | (261,761) | |
Commercial Services – (0.5)% | |||
Chegg, Inc. | (2,939) | (72,711) | |
GXO Logistics, Inc. | (1,933) | (114,414) | |
Marathon Digital Holdings, Inc. | (6,468) | (100,901) | |
Rentokil Initial PLC (United Kingdom) | (101,617) | (697,933) | |
Sabre Corp. | (57,881) | (606,014) | |
Stride, Inc. | (10,030) | (394,179) | |
(1,986,152) | |||
Computers – (0.2)% | |||
Lumentum Holdings, Inc.(e) | (1,823) | (148,046) | |
Mitek Systems, Inc. | (13,702) | (153,051) | |
NCR Corp. | (12,043) | (421,866) | |
(722,963) | |||
Cosmetics/Personal Care – (0.1)% | |||
Beauty Health (The) Co. | (13,345) | (174,820) | |
Diversified Financial Services – (0.7)% | |||
Affiliated Managers Group, Inc. | (557) | (69,942) | |
Coinbase Global, Inc., Class A | (1,091) | (122,967) | |
Cowen, Inc., Class A | (14,916) | (340,831) | |
Encore Capital Group, Inc. | (15,554) | (899,177) | |
I3 Verticals, Inc., Class A | (5,922) | (162,559) | |
LendingTree, Inc. | (364) | (28,909) | |
PRA Group, Inc. | (8,007) | (336,534) | |
SoFi Technologies, Inc. | (13,030) | (79,744) | |
Upstart Holdings, Inc. | (718) | (53,864) | |
WisdomTree Investments, Inc. | (71,522) | (416,973) | |
(2,511,500) | |||
Electric – (0.3)% | |||
Algonquin Power & Utilities Corp. (Canada) | (23,721) | (342,768) | |
NRG Energy, Inc. | (17,723) | (636,256) | |
(979,024) |
Number of Shares | Value | ||
Electronics – (0.3)% | |||
II-VI, Inc.(e) | (17,974) | $ (1,100,189) | |
OSI Systems, Inc. | (334) | (26,419) | |
(1,126,608) | |||
Energy - Alternate Sources – (0.2)% | |||
Array Technologies, Inc. | (27,040) | (176,571) | |
Enphase Energy, Inc.(e) | (2,128) | (343,459) | |
Sunnova Energy International, Inc.(e) | (11,146) | (192,492) | |
(712,522) | |||
Engineering & Construction – (0.2)% | |||
Fluor Corp. | (32,022) | (792,544) | |
Food – (0.1)% | |||
Chefs' Warehouse (The), Inc. | (9,919) | (363,035) | |
Healthcare - Products – (0.0)%(c) | |||
Haemonetics Corp. | (1,353) | (68,557) | |
Home Builders – (0.1)% | |||
Winnebago Industries, Inc. | (6,706) | (356,625) | |
Internet – (0.3)% | |||
Etsy, Inc. | (724) | (67,470) | |
Groupon, Inc.(e) | (1,531) | (29,870) | |
Magnite, Inc. | (3,708) | (35,782) | |
NortonLifeLock, Inc. | (2,105) | (52,709) | |
Perficient, Inc. | (1,675) | (166,512) | |
Q2 Holdings, Inc. | (2,672) | (138,223) | |
Snap, Inc., Class A | (4,712) | (134,103) | |
Spotify Technology S.A. | (360) | (36,594) | |
TripAdvisor, Inc. | (6,616) | (169,833) | |
Upwork, Inc. | (7,562) | (158,575) | |
Wayfair, Inc., Class A | (449) | (34,546) | |
Zillow Group, Inc., Class C | (5,697) | (226,854) | |
(1,251,071) | |||
Leisure Time – (0.3)% | |||
Callaway Golf Co.(e) | (16,330) | (358,280) | |
Norwegian Cruise Line Holdings Ltd.(e) | (10,044) | (201,181) | |
Royal Caribbean Cruises Ltd. | (8,556) | (665,058) | |
(1,224,519) | |||
Lodging – (0.2)% | |||
Marcus (The) Corp.(e) | (34,514) | (542,905) | |
Machinery - Construction & Mining – (0.1)% | |||
Bloom Energy Corp., Class A | (17,179) | (318,842) |
Number of Shares | Value | ||
Media – (0.1)% | |||
Cable One, Inc. | (215) | $ (250,734) | |
DISH Network Corp., Class A | (6,619) | (188,708) | |
(439,442) | |||
Metal Fabricate/Hardware – (0.1)% | |||
RBC Bearings, Inc. | (1,170) | (196,970) | |
Oil & Gas – (0.4)% | |||
Centennial Resource Development, Inc., Class A | (110,854) | (858,010) | |
Pioneer Natural Resources Co. | (2,958) | (687,646) | |
(1,545,656) | |||
Oil & Gas Services – (0.0)%(c) | |||
Helix Energy Solutions Group, Inc. | (35,833) | (147,274) | |
Pharmaceuticals – (0.1)% | |||
Coherus Biosciences, Inc. | (20,792) | (187,959) | |
Jazz Pharmaceuticals PLC | (1,126) | (180,408) | |
(368,367) | |||
Real Estate – (0.1)% | |||
Realogy Holdings Corp. | (25,787) | (282,625) | |
Redfin Corp.(e) | (1,304) | (14,540) | |
(297,165) | |||
Real Estate Investment Trusts – (0.6)% | |||
Healthcare Realty Trust, Inc. | (8,161) | (221,000) | |
iStar, Inc. | (29,947) | (504,307) | |
Pebblebrook Hotel Trust | (26,450) | (645,909) | |
Summit Hotel Properties, Inc. | (63,264) | (624,416) | |
(1,995,632) | |||
Retail – (0.0)%(c) | |||
Cheesecake Factory (The), Inc. | (2,467) | (91,057) | |
Semiconductors – (0.3)% | |||
Entegris, Inc. | (5,225) | (582,013) | |
Impinj, Inc. | (2,189) | (107,830) | |
MACOM Technology Solutions Holdings, Inc. | (2,794) | (142,354) | |
Wolfspeed, Inc. | (1,098) | (100,698) | |
(932,895) | |||
Software – (1.0)% | |||
8x8, Inc. | (4,245) | (38,927) | |
Avaya Holdings Corp.(e) | (650) | (6,011) | |
Bandwidth, Inc., Class A | (1,095) | (24,221) |
Number of Shares | Value | ||
Software (Continued) | |||
Bentley Systems, Inc., Class B | (4,385) | $ (185,880) | |
BigCommerce Holdings, Inc., Series 1 | (3,306) | (59,078) | |
Blackline, Inc. | (1,612) | (108,085) | |
Ceridian HCM Holding, Inc. | (4,131) | (231,873) | |
DigitalOcean Holdings, Inc. | (1,884) | (74,286) | |
Envestnet, Inc. | (3,439) | (273,882) | |
Everbridge, Inc.(e) | (1,190) | (51,289) | |
Fastly, Inc. Class A | (752) | (11,957) | |
LivePerson, Inc. | (4,881) | (110,408) | |
MicroStrategy, Inc., Class A | (566) | (200,460) | |
New Relic, Inc.(e) | (1,524) | (96,424) | |
Porch Group, Inc. | (5,886) | (21,778) | |
Progress Software Corp. | (9,842) | (472,219) | |
RingCentral, Inc., Class A | (355) | (30,122) | |
Splunk, Inc. | (912) | (111,282) | |
Take-Two Interactive Software, Inc. | (2,099) | (250,852) | |
Unity Software, Inc. | (1,058) | (70,262) | |
Verint Systems, Inc. | (8,410) | (458,850) | |
Workiva, Inc.(e) | (3,744) | (361,333) | |
Ziff Davis, Inc. | (4,509) | (398,415) | |
(3,647,894) | |||
Telecommunications – (0.1)% | |||
Infinera Corp. | (52,886) | (406,693) | |
Transportation – (0.2)% | |||
Air Transport Services Group, Inc. | (17,080) | (534,604) |
Number of Shares | Value | ||
Transportation (Continued) | |||
CryoPort, Inc. | (3,959) | $ (89,315) | |
SFL Corp. Ltd. (Norway) | (6,943) | (68,875) | |
(692,794) | |||
Trucking & Leasing – (0.1)% | |||
Greenbrier (The) Cos., Inc. | (9,742) | (416,081) | |
Total Common Stocks (Proceeds $29,558,272) | (26,714,248) |
Par | |||
Mortgage-Backed Securities – (0.0)%(c) | |||
Uniform Mortgage-Backed Securities – (0.0)%(c) | |||
Pool, 5/01/52(g) | $(143,000) | (134,834) | |
Total Mortgage-Backed Securities (Proceeds $135,350) | (134,834) | ||
Total Short Positions – (7.3)% (Proceeds $29,693,622) | (26,849,082) | ||
Total Written Options – (0.0)%(c) (Premiums Received $125,539) | (33,592) | ||
Other Assets less Liabilities – 2.0%(p) | 7,201,144 | ||
NET ASSETS – 100.0% | $368,480,731 | ||
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) | Amount rounds to less than 0.05%. |
(d) | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap agreements. |
(e) | Security represents underlying investment on open options contracts. |
(f) | Zero coupon bond. |
(g) | When-Issued Security. Coupon rate was not yet in effect at April 30, 2022. |
(h) | 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, 2022 is disclosed. |
(i) | Variable rate security. Rate as of April 30, 2022 is disclosed. |
(j) | Distributions from this security are a made via payments in-kind (PIK) unless otherwise noted in the description. |
(k) | Restricted security that has been deemed illiquid. At April 30, 2022, the value of these restricted illiquid securities amounted to $1,214,881 or 0.33% of net assets. Additional information on these restricted illiquid securities is as follows: |
Security | Acquisition Date | Acquisition Cost | |
Fluor Corp., 6.50% | 5/14/21-5/21/21 | $ 981,446 |
(l) | Investment is valued using significant unobservable inputs (Level 3). |
(m) | 7-day current yield as of April 30, 2022 is disclosed. |
(n) | Discount rate at the time of purchase. |
(o) | Securities sold short are not owned by the Fund and cannot produce income. |
(p) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
* | Non-Income Producing Security |
Abbreviations: | |
1M | 1 Month |
1Y | 1 Year |
3M | 3 Month |
5Y | 5 Year |
BDC | Business Development Company |
CMT | Constant Maturity |
CVR | Contingent Value Rights |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
Freddie Mac | Federal Home Loan Mortgage Corporation |
L.P. | Limited Partnership |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
MSCI | Morgan Stanley Capital International |
PLC | Public Limited Company |
REMIC | Real Estate Mortgage Investment Conduit |
S&P | Standards & Poor's |
SOFR | United States Secured Overnight Financing Rate |
STACR | Structured Agency Credit Risk |
USD | United States Dollar |
Futures Contracts outstanding at April 30, 2022: Exchange Traded | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | |||||
Euro-Bund | 56 | 6/08/2022 | EUR | 9,073,667 | $ (608,122) |
Long Gilt | 15 | 6/28/2022 | GBP | 2,233,986 | (6,125) |
Total Long Contracts | $ (614,247) | ||||
Short Contracts | |||||
Euro-BTP Italian Government Bond | (5) | 6/08/2022 | EUR | 687,511 | $ 78,126 |
Euro-OAT | (22) | 6/08/2022 | EUR | 3,384,786 | 159,752 |
10-Year Australian Treasury Bond | (24) | 6/15/2022 | AUD | 2,105,063 | (2,902) |
10-Year U.S. Treasury Note | (134) | 6/21/2022 | USD | 15,966,938 | 975,656 |
U.S. Treasury Long Bond | (1) | 6/21/2022 | USD | 140,687 | 3,568 |
Ultra 10-Year U.S. Treasury Note | (4) | 6/21/2022 | USD | 516,000 | 31,304 |
Ultra U.S. Treasury Bond | (10) | 6/21/2022 | USD | 1,604,375 | 87,788 |
10-Year Canadian Government Bond | (28) | 6/30/2022 | CAD | 2,754,120 | (9,937) |
Futures Contracts outstanding at April 30, 2022: Exchange Traded (continued) | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
2-Year U.S. Treasury Note | (16) | 6/30/2022 | USD | 3,373,000 | $ 61,250 |
5-Year U.S. Treasury Note | (151) | 6/30/2022 | USD | 17,013,453 | 770,706 |
Total Short Contracts | $2,155,311 | ||||
$1,541,064 |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2022: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
06/15/22 | U.S. Dollars | 6,011,852 | British Pounds | 4,584,800 | Morgan Stanley | $ 246,269 |
06/15/22 | U.S. Dollars | 4,106,183 | Euro | 3,734,550 | Morgan Stanley | 157,556 |
06/15/22 | U.S. Dollars | 2,425,931 | Australian Dollars | 3,285,300 | Morgan Stanley | 102,698 |
06/15/22 | U.S. Dollars | 1,739,943 | Swedish Krona | 16,693,200 | Morgan Stanley | 37,623 |
06/15/22 | U.S. Dollars | 671,402 | Norwegian Kroner | 6,001,400 | Morgan Stanley | 31,453 |
06/15/22 | U.S. Dollars | 2,464,406 | Canadian Dollars | 3,134,440 | Morgan Stanley | 24,782 |
06/15/22 | U.S. Dollars | 275,614 | Euro | 250,000 | Deutsche Bank | 11,284 |
06/15/22 | U.S. Dollars | 148,867 | Australian Dollars | 200,000 | Deutsche Bank | 7,435 |
06/15/22 | U.S. Dollars | 150,857 | Swedish Krona | 1,420,000 | Deutsche Bank | 6,050 |
06/15/22 | U.S. Dollars | 97,598 | Australian Dollars | 130,000 | JPMorgan Chase | 5,668 |
06/15/22 | U.S. Dollars | 99,200 | New Zealand Dollars | 145,000 | Morgan Stanley | 5,601 |
06/15/22 | U.S. Dollars | 108,387 | Swedish Krona | 1,030,000 | Bank of America | 3,351 |
06/15/22 | U.S. Dollars | 78,110 | British Pounds | 60,000 | Bank of America | 2,657 |
06/15/22 | U.S. Dollars | 57,358 | Swedish Krona | 540,000 | JPMorgan Chase | 2,291 |
06/15/22 | U.S. Dollars | 29,996 | Australian Dollars | 40,000 | Bank of America | 1,710 |
06/15/22 | U.S. Dollars | 11,085 | Euro | 10,000 | Bank of America | 512 |
06/15/22 | U.S. Dollars | 11,536 | Swiss Francs | 10,700 | Morgan Stanley | 509 |
06/15/22 | U.S. Dollars | 95,884 | Hong Kong Dollars | 750,000 | Morgan Stanley | 206 |
06/15/22 | U.S. Dollars | 14,659 | Singapore Dollars | 20,000 | JPMorgan Chase | 197 |
06/15/22 | U.S. Dollars | 94,558 | Hong Kong Dollars | 740,000 | Barclays | 155 |
06/15/22 | U.S. Dollars | 51,128 | Hong Kong Dollars | 400,000 | JPMorgan Chase | 100 |
06/15/22 | U.S. Dollars | 7,325 | Singapore Dollars | 10,000 | Citibank | 94 |
06/15/22 | Swedish Krona | 276,500 | U.S. Dollars | 28,116 | Morgan Stanley | 81 |
Total Unrealized Appreciation | $ 648,282 | |||||
06/15/22 | U.S. Dollars | 8,927 | Hong Kong Dollars | 70,000 | Barclays | $ (3) |
06/15/22 | Swiss Francs | 3,100 | U.S. Dollars | 3,331 | Morgan Stanley | (136) |
06/15/22 | Hong Kong Dollars | 1,574,145 | U.S. Dollars | 201,037 | Morgan Stanley | (222) |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2022: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
06/15/22 | U.S. Dollars | 53,141 | British Pounds | 42,700 | Morgan Stanley | $ (556) |
06/15/22 | New Zealand Dollars | 23,800 | U.S. Dollars | 16,210 | Morgan Stanley | (847) |
06/15/22 | U.S. Dollars | 381,356 | Euro | 362,620 | Morgan Stanley | (2,051) |
06/15/22 | Canadian Dollars | 170,100 | U.S. Dollars | 134,720 | Morgan Stanley | (2,326) |
06/15/22 | Australian Dollars | 238,979 | U.S. Dollars | 172,219 | Goldman Sachs | (3,223) |
06/15/22 | Euro | 333,039 | U.S. Dollars | 366,728 | Goldman Sachs | (14,598) |
06/15/22 | Australian Dollars | 375,297 | U.S. Dollars | 282,030 | Bank of America | (16,634) |
06/15/22 | Swedish Krona | 5,515,038 | U.S. Dollars | 586,762 | Morgan Stanley | (24,356) |
06/15/22 | Norwegian Kroner | 6,001,400 | U.S. Dollars | 688,674 | Morgan Stanley | (48,726) |
06/15/22 | Euro | 1,513,548 | U.S. Dollars | 1,653,813 | Morgan Stanley | (53,503) |
06/15/22 | Australian Dollars | 2,157,100 | U.S. Dollars | 1,594,024 | Morgan Stanley | (68,609) |
06/15/22 | British Pounds | 1,842,000 | U.S. Dollars | 2,412,371 | Morgan Stanley | (95,977) |
Total Unrealized Depreciation | $(331,767) | |||||
Net Unrealized Appreciation | $ 316,515 |
Written Call Option Contracts outstanding at April 30, 2022: Exchange Traded | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
Bloom Energy Corp. | 49 | USD | 90,944 | 24.00 | 5/20/2022 | $ (1,715) |
Coinbase Global, Inc. | 6 | USD | 67,626 | 190.00 | 5/20/2022 | (300) |
Exact Sciences Corp. | 27 | USD | 148,635 | 65.00 | 7/15/2022 | (10,395) |
Ii-Vi, Inc. | 24 | USD | 146,904 | 70.00 | 7/15/2022 | (6,000) |
Infinera Corp. | 241 | USD | 185,329 | 9.00 | 5/20/2022 | (3,013) |
Insmed, Inc. | 88 | USD | 193,336 | 23.00 | 5/20/2022 | (9,020) |
SoFi Technologies, Inc. | 86 | USD | 52,632 | 10.00 | 5/20/2022 | (344) |
Workiva, Inc. | 11 | USD | 106,161 | 115.00 | 5/20/2022 | (2,805) |
Total Written Call Options Contracts (Premiums Received $125,539) | $(33,592) |
Long Contracts for Difference at April 30, 2022: Over the Counter | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Abbott Laboratories | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 4,007 | Monthly | $ 456,616 | $ (9,358) |
Advanced Micro Devices, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 3,700 | Monthly | 316,400 | (21,512) |
Alcoa Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,429 | Monthly | 368,013 | (54,970) |
Altice USA, Inc., Class A | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 57,665 | Monthly | 535,358 | (106,305) |
Altria Group, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 4,360 | Monthly | 246,154 | 10,234 |
Altria Group, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 6,864 | Monthly | 386,886 | 12,112 |
Long Contracts for Difference at April 30, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
American Electric Power Co., Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 5,959 | Monthly | $ 590,516 | $ (15,276) |
American Express Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,651 | Monthly | 463,963 | (20,266) |
American International Group, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 8,162 | Monthly | 477,538 | (15,300) |
American International Group, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 10,106 | Monthly | 591,217 | (54,557) |
American Water Works Company, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 451 | Monthly | 69,480 | (3,780) |
Apache Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 7,548 | Monthly | 309,870 | 2,591 |
Apache Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,363 | Monthly | 56,229 | (2,407) |
Apache Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 14,908 | Monthly | 611,882 | (40,505) |
Applied Materials, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 4,321 | Monthly | 476,803 | (9,624) |
Arch Capital Group Ltd. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 570 | Monthly | 26,032 | (1,309) |
Archer-Daniels-Midland Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,919 | Monthly | 171,839 | (8,329) |
AT&T, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 25,670 | Monthly | 491,649 | (9,430) |
AT&T, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 23,977 | Monthly | 458,798 | (7,795) |
AutoNation, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 4,400 | Monthly | 509,900 | 55,305 |
AutoZone, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 152 | Monthly | 297,217 | (31,144) |
AutoZone, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 37 | Monthly | 72,333 | (8,717) |
AutoZone, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 99 | Monthly | 193,563 | (21,727) |
Avantor, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 7,681 | Monthly | 244,838 | 5,875 |
Avery Dennison Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 461 | Monthly | 83,244 | 6,064 |
Axalta Coating Systems, Ltd. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 862 | Monthly | 21,868 | 344 |
Barrick Gold Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 25,632 | Monthly | 571,715 | (73,472) |
Baxter International, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 7,972 | Monthly | 566,466 | (15,963) |
Biogen, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 2,303 | Monthly | 477,670 | (11,810) |
Black Knight, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 7,139 | Monthly | 469,655 | 51 |
Booz Allen Hamilton Holding Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 822 | Monthly | 67,093 | (5,426) |
BorgWarner, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 1,765 | Monthly | 65,002 | (1,821) |
BorgWarner, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 4,702 | Monthly | 173,151 | (2,186) |
Boyd Gaming Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 9,306 | Monthly | 563,732 | (20,685) |
Boyd Gaming Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 7,423 | Monthly | 450,449 | (9,554) |
Bristol-Myers Squibb Co. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 1,915 | Monthly | 145,527 | 466 |
Bristol-Myers Squibb Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,663 | Monthly | 429,209 | (11,203) |
Brixmor Property Group REIT, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,033 | Monthly | 129,407 | 1,972 |
Brixmor Property Group REIT, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 1,171 | Monthly | 29,716 | (625) |
Cable One, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 194 | Monthly | 226,327 | (42,065) |
Caesars Entertainment, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,975 | Monthly | 130,869 | (4,866) |
Callon Petroleum Co. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 4,454 | Monthly | 228,347 | (16,885) |
Camden Property Trust REIT | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 1,862 | Monthly | 292,089 | (11,566) |
Campbell Soup | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 7,340 | Monthly | 347,869 | 9,912 |
Cardinal Health, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 4,523 | Monthly | 264,715 | (15,259) |
Long Contracts for Difference at April 30, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Cardinal Health, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 5,294 | Monthly | $ 307,273 | $ (26,144) |
Cboe Global Markets, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 1,895 | Monthly | 214,088 | (2,151) |
CBRE Group, Inc., Class A | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 2,077 | Monthly | 172,467 | (3,185) |
Celanese Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 3,340 | Monthly | 493,030 | 16,379 |
Charles River Laboratories International, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,496 | Monthly | 361,234 | (56,281) |
Charter Communications, Inc., Class A | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 347 | Monthly | 148,675 | (30,196) |
Chevron Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 3,007 | Monthly | 471,043 | (47,754) |
Chubb Limited | U.S. Fed Funds | 2/8/2023 | JPMorgan Chase | 1,568 | Monthly | 323,714 | (4,960) |
Church & Dwight Co., Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 4,230 | Monthly | 412,661 | (22,548) |
Cisco Systems, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 11,243 | Monthly | 550,837 | (23,792) |
Cleveland Cliffs, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 28,330 | Monthly | 722,048 | (122,817) |
Clorox (The) Co. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 822 | Monthly | 119,087 | 1,114 |
CMS Energy Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 3,540 | Monthly | 243,152 | (10,447) |
ConocoPhillips | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 6,356 | Monthly | 607,100 | (1,283) |
Crocs, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 7,103 | Monthly | 471,745 | (36,530) |
Crown Holdings, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 481 | Monthly | 52,922 | (4,222) |
CSX Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 8,611 | Monthly | 295,660 | (3,326) |
CSX Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 16,913 | Monthly | 580,715 | (7,012) |
CVS Health Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 4,725 | Monthly | 457,051 | (46,682) |
CVS Health Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 1,411 | Monthly | 136,396 | (9,529) |
D.R. Horton, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 405 | Monthly | 28,180 | (718) |
D.R. Horton, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 1,032 | Monthly | 71,817 | (2,735) |
Dell Technologies, Inc., Class C | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 7,590 | Monthly | 359,483 | 3,740 |
Dell Technologies, Inc., Class C | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,430 | Monthly | 162,588 | 41 |
Devon Energy Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 3,935 | Monthly | 228,898 | 425 |
Discover Financial Services | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 1,343 | Monthly | 151,013 | (5,352) |
Duke Reality Corp | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 2,314 | Monthly | 126,686 | (11,877) |
DuPont de Nemours, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 3,519 | Monthly | 231,998 | (4,496) |
DXC Technology | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 8,201 | Monthly | 235,359 | (6,305) |
DXC Technology | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 27,735 | Monthly | 795,886 | (66,045) |
Eastman Chemical Co. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 2,056 | Monthly | 211,063 | (11,835) |
Ebay, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 7,336 | Monthly | 380,865 | (9,190) |
Elastic N.V. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 3,135 | Monthly | 238,688 | (11,424) |
Eli Lilly | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 254 | Monthly | 74,199 | 2,522 |
Energy, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,042 | Monthly | 70,672 | (3,425) |
Equitable Holdings, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 7,801 | Monthly | 224,846 | (20,574) |
Equity Residential | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 1,403 | Monthly | 114,339 | (13,544) |
Equity Residential | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 414 | Monthly | 33,732 | (4,261) |
Equity Residential | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 3,766 | Monthly | 306,884 | (30,625) |
Estee Lauder (The) Cos., Inc., Class A | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 154 | Monthly | 40,660 | (1,129) |
Long Contracts for Difference at April 30, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Exelon Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,284 | Monthly | $ 247,121 | $ (17,766) |
Exelon Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 7,218 | Monthly | 337,611 | (17,731) |
Expedia Group, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 1,367 | Monthly | 238,864 | (9,451) |
Exxon Mobil Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 5,671 | Monthly | 483,432 | 660 |
Fair Isaac Corporation | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 1,221 | Monthly | 456,053 | (185) |
Federal Realty Investment Trust | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,991 | Monthly | 470,994 | (11,837) |
FedEx Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 426 | Monthly | 84,661 | (2,649) |
Flex Ltd. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 8,014 | Monthly | 132,133 | (3,464) |
Fortive Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 7,313 | Monthly | 420,496 | (1,640) |
Freeport-McMoRan, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 13,973 | Monthly | 568,341 | (124,105) |
Gartner, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 1,652 | Monthly | 479,923 | (14,091) |
General Electric Co. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 7,449 | Monthly | 555,548 | (106,435) |
General Mills, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 978 | Monthly | 69,664 | 382 |
General Motors Co. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 3,493 | Monthly | 132,593 | (2,311) |
Gilead Sciences, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 7,914 | Monthly | 469,595 | (23,051) |
Halliburton Co. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 9,280 | Monthly | 330,495 | (48,671) |
Hanesbrands, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 11,765 | Monthly | 155,997 | (8,360) |
Hartford Financial Services Group (The), Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,460 | Monthly | 381,723 | (23,027) |
Hartford Financial Services Group (The), Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 2,991 | Monthly | 209,131 | (15,344) |
HCA Healthcare, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 409 | Monthly | 87,749 | 508 |
Healthpeak Properties, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 2,039 | Monthly | 66,897 | (3,367) |
Hewlett Packard Enterprise Co. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 3,775 | Monthly | 58,165 | (1,140) |
Hologic, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 6,403 | Monthly | 460,832 | (51,344) |
Home Depot (The), Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,933 | Monthly | 580,533 | (20,843) |
Home Depot (The), Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 1,555 | Monthly | 467,060 | 234 |
Honeywell International, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 783 | Monthly | 151,506 | 2,243 |
HP, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 15,512 | Monthly | 568,180 | (2,507) |
Huntsman Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 571 | Monthly | 19,339 | (752) |
Illinois Tool Works, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 2,379 | Monthly | 468,863 | 234 |
Intercontinental Exchange, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 379 | Monthly | 43,892 | (427) |
JB Hunt Transport Services, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 734 | Monthly | 125,399 | 1,096 |
JB Hunt Transport Services, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,069 | Monthly | 182,595 | (2,534) |
JB Hunt Transport Services, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 885 | Monthly | 151,182 | (551) |
Johnson Controls International PLC | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 7,100 | Monthly | 425,058 | (21,745) |
Johnson Controls International PLC | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 4,385 | Monthly | 262,494 | (8,762) |
Kellogg Co. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 7,102 | Monthly | 486,423 | 6,186 |
Keysight Technologies, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 2,721 | Monthly | 381,622 | (13,657) |
Long Contracts for Difference at April 30, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Kimberly-Clarke Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 1,787 | Monthly | $ 248,079 | $ (113) |
Kinder Morgan, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 30,439 | Monthly | 560,889 | (22,017) |
KLA Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 1,233 | Monthly | 393,581 | (10,683) |
Kohls Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 4,103 | Monthly | 237,467 | (5,268) |
Kroger (The) Co. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 8,384 | Monthly | 452,380 | (25,508) |
Kroger (The) Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 10,423 | Monthly | 562,275 | (80,512) |
L Brands, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 873 | Monthly | 46,156 | (471) |
Lam Research Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 996 | Monthly | 463,877 | 2,600 |
LIncoln National Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 884 | Monthly | 53,201 | (4,215) |
LIncoln National Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 5,936 | Monthly | 359,050 | (28,749) |
Live Nation Entertainment, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 4,343 | Monthly | 455,474 | (4,493) |
Lockheed Martin Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 1,201 | Monthly | 518,926 | (30,943) |
Loews Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 1,911 | Monthly | 120,082 | (3,579) |
Loews Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 951 | Monthly | 59,741 | (2,550) |
Lowe's Cos., Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,970 | Monthly | 589,491 | (24,290) |
Lowe's Cos., Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 2,399 | Monthly | 476,210 | (39) |
LyondellBasell Industries N.V., Class A | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,381 | Monthly | 358,392 | 15,120 |
Macys, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 10,103 | Monthly | 244,119 | 4,374 |
Magna International, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 3,830 | Monthly | 230,824 | (4,568) |
Marathon Petroleum Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 7,095 | Monthly | 619,083 | 1,250 |
Marathon Petroleum Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,884 | Monthly | 338,822 | 1,427 |
Marriott International, Inc., Class A | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 2,850 | Monthly | 505,910 | (5,637) |
Masco Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 2,077 | Monthly | 109,424 | 7,298 |
Match Group, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 3,523 | Monthly | 278,988 | 6,588 |
Mattel, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 10,892 | Monthly | 264,742 | 23,266 |
Mcdonalds Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 286 | Monthly | 71,257 | (292) |
Mcdonalds Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,504 | Monthly | 374,648 | (3,548) |
Mcdonalds Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 690 | Monthly | 171,897 | (1,334) |
McKesson Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 1,019 | Monthly | 315,479 | (8,747) |
McKesson Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,045 | Monthly | 323,437 | (17,066) |
McKesson Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 727 | Monthly | 225,055 | (12,420) |
MGM Resorts International | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 23,832 | Monthly | 977,938 | (2,990) |
Micron Technology, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,805 | Monthly | 396,351 | (22,154) |
Mid-America Apartment Communities, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 2,306 | Monthly | 455,990 | (12,543) |
Mohawk Industries, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 148 | Monthly | 20,873 | 2,669 |
Molina Healthcare, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 113 | Monthly | 35,386 | (2,216) |
Molson Coors Beverage Co., Class B | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 6,335 | Monthly | 342,930 | (9,486) |
MSCI, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 614 | Monthly | 258,635 | (21,373) |
NetApp, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,292 | Monthly | 95,261 | (5,644) |
Newmont Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 7,578 | Monthly | 552,045 | (5,492) |
Nordstrom, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 9,944 | Monthly | 255,665 | (28,435) |
Long Contracts for Difference at April 30, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Norfolk Southern Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 2,259 | Monthly | $ 582,526 | $ (1,629) |
Norfolk Southern Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 733 | Monthly | 189,013 | (2,702) |
NRG Energy, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 6,031 | Monthly | 218,592 | (21,623) |
Occidental Petroleum Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 12,879 | Monthly | 709,455 | (19,754) |
Occidental Petroleum Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,156 | Monthly | 119,085 | (14,156) |
Omnicom Group, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 712 | Monthly | 54,202 | (2,053) |
Omnicom Group, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 2,491 | Monthly | 189,614 | (6,179) |
Onemain Holdings, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 4,308 | Monthly | 197,824 | (5,513) |
Otis Worldwide Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 2,178 | Monthly | 158,634 | (1,275) |
Ovintiv, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 3,824 | Monthly | 195,742 | 3,395 |
Packaging Corp. Of America | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 3,781 | Monthly | 609,303 | 1,356 |
PBF Energy, Inc., Class A | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 6,638 | Monthly | 192,900 | 5,661 |
Penn National Gaming, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 460 | Monthly | 16,903 | 90 |
Pfizer, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 21,448 | Monthly | 1,052,409 | 20,116 |
Phillips 66 | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 5,607 | Monthly | 486,443 | 17,586 |
PPL Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 16,832 | Monthly | 476,449 | (15,382) |
Procter & Gamble (The) Co. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 2,791 | Monthly | 450,914 | 865 |
Procter & Gamble (The) Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,857 | Monthly | 622,620 | 5,114 |
Prologis, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 458 | Monthly | 73,383 | (1,272) |
PTC Therapeutics, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 249 | Monthly | 28,438 | (171) |
Public Storage | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 7 | Monthly | 2,600 | (216) |
QUALCOMM, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 3,446 | Monthly | 481,308 | 1,211 |
Quest Diagnostics, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 6,708 | Monthly | 902,330 | 8,556 |
Range Resources Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 15,509 | Monthly | 464,319 | (5,837) |
Ryder System, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 3,721 | Monthly | 260,087 | 9,068 |
Ryder System, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,083 | Monthly | 215,456 | 20,888 |
Ryder System, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 2,100 | Monthly | 146,772 | 11,532 |
Salesforce.com, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 895 | Monthly | 157,463 | 1,874 |
SBA Communications Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 290 | Monthly | 100,648 | (6,437) |
Seagate Technology, LLC | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,939 | Monthly | 487,125 | (16,891) |
SeaWorld Entertainment, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 37 | Monthly | 2,485 | (233) |
Semiconductor Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 8,932 | Monthly | 465,382 | (22,037) |
Service Corp., (US) International | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 311 | Monthly | 20,404 | (999) |
Simon Property Group, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 5,535 | Monthly | 647,943 | (59,061) |
SM Energy Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 13,744 | Monthly | 488,332 | (57,822) |
Southwest Airlines Co. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 4,536 | Monthly | 211,907 | 2,234 |
Southwestern Energy | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 36,839 | Monthly | 276,251 | (36,144) |
Steris, PLC | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,695 | Monthly | 436,098 | (19,783) |
STORE Capital Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 4,729 | Monthly | 134,439 | (6,106) |
Synaptics Incorporated | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 2,070 | Monthly | 307,268 | 122 |
Tapestry, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 924 | Monthly | 30,417 | 80 |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 7,003 | Monthly | 516,661 | (16,757) |
Target Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,383 | Monthly | 316,155 | (6,984) |
Long Contracts for Difference at April 30, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
TC Energy Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,823 | Monthly | $ 96,437 | $ (2,819) |
Tenet Healthcare Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,159 | Monthly | 156,536 | (16,474) |
Thor Industries, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 315 | Monthly | 24,113 | 210 |
Toll Brothers, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 8,404 | Monthly | 389,677 | 6,454 |
Toll Brothers, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 6,146 | Monthly | 287,225 | 5,739 |
TopBuild Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 1,005 | Monthly | 182,025 | 7,457 |
Transocean Ltd. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 29,785 | Monthly | 111,965 | (18,444) |
Tyson Foods, Inc., Class A | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 876 | Monthly | 81,605 | (1,044) |
Tyson Foods, Inc., Class A | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,972 | Monthly | 183,683 | (2,156) |
Under Armour, Inc., Class A | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 23,446 | Monthly | 360,115 | (2,595) |
Under Armour, Inc., Class A | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 3,005 | Monthly | 46,150 | (2,050) |
Union Pacific Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 2,406 | Monthly | 563,677 | (48) |
United Parcel Service, Inc., Class B | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,997 | Monthly | 539,266 | (33,071) |
United Parcel Service, Inc., Class B | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 1,230 | Monthly | 221,353 | (10,032) |
United States Steel Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 14,425 | Monthly | 439,798 | (43,298) |
United States Steel Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 3,501 | Monthly | 106,777 | (23,321) |
Valero Energy Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 4,480 | Monthly | 499,400 | 37,736 |
VeriSign, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 1,211 | Monthly | 216,375 | (37,632) |
Vornado Realty Trust | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 10,978 | Monthly | 424,940 | (23,689) |
Voya Financial, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 1,943 | Monthly | 122,675 | (6,437) |
Voya Financial, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 4,175 | Monthly | 263,572 | (20,078) |
Vulcan Materials Co. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 224 | Monthly | 38,588 | (386) |
Walt Disney (The) Co. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 5,033 | Monthly | 562,112 | (32,479) |
Westlake Chemical Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 2,812 | Monthly | 355,812 | (575) |
WestRock Co. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 7,960 | Monthly | 394,241 | (7,102) |
WestRock Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,708 | Monthly | 183,616 | 8,673 |
Weyerhaeuser Co. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 26,256 | Monthly | 1,082,221 | (7,928) |
Whirlpool Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 1,921 | Monthly | 348,679 | 11,705 |
Whirlpool Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 1,275 | Monthly | 231,409 | 13,665 |
Wynn Resorts Finance LLC/Wynn Resourts Capital Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 5,962 | Monthly | 420,445 | (15,973) |
Xylem, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 127 | Monthly | 10,223 | (530) |
Yum Brands, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | 154 | Monthly | 18,015 | (835) |
Zoetis, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | 2,659 | Monthly | 472,056 | (13,412) |
Total (Cost $75,725,210) | 1,274,571 | $73,149,242 | $(2,575,968) |
Short Contracts for Difference at April 30, 2022: Over the Counter | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
AbbVie, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (2,442) | Monthly | $ (362,112) | $ 27,045 |
AES (The) Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (18,501) | Monthly | (380,709) | 35,378 |
AES (The) Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (27,314) | Monthly | (561,803) | 106,933 |
Albertsons Companies, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (15,129) | Monthly | (473,902) | 9,978 |
Allstate Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (1,017) | Monthly | (128,685) | 13,420 |
Ally Financial, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (24,686) | Monthly | (993,823) | 87,090 |
Altria Group, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (9,063) | Monthly | (511,079) | (7,810) |
Amazon.com, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (56) | Monthly | (139,193) | 22,520 |
American Airlines Group, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (16,143) | Monthly | (302,994) | 11,372 |
American Express Co. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (702) | Monthly | (123,010) | 5,916 |
American Homes 4 Rent, L.P. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (992) | Monthly | (39,290) | 1,163 |
American Tower Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (1,144) | Monthly | (275,956) | 20,769 |
AmerisourceBergen Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (153) | Monthly | (23,147) | 1,624 |
Amgen, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (932) | Monthly | (217,331) | 17,284 |
Amgen, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (509) | Monthly | (118,690) | 9,670 |
Aptiv PLC | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (1,072) | Monthly | (114,061) | (828) |
Aramark Services, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (15,834) | Monthly | (573,964) | 9,044 |
Arrow Electronics, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (403) | Monthly | (47,498) | 184 |
Ashland Global Holdings, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (2,373) | Monthly | (249,091) | (3,984) |
Ashland Global Holdings, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (721) | Monthly | (75,678) | (3,975) |
Assurant, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (643) | Monthly | (116,949) | 2,651 |
Avis Budget Group, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (199) | Monthly | (53,267) | 6,049 |
Baker Hughes Co., Class A | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (4,645) | Monthly | (144,087) | 4,952 |
Baker Hughes Co., Class A | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (8,749) | Monthly | (271,371) | 56,891 |
Baker Hughes Co., Class A | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (1,918) | Monthly | (59,494) | 12,297 |
Ball Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (3,543) | Monthly | (287,547) | 16,419 |
Ball Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,951) | Monthly | (320,639) | 24,757 |
Bausch Health Cos., Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (34,754) | Monthly | (660,666) | 92,453 |
Bausch Health Cos., Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (6,258) | Monthly | (118,942) | 27,370 |
Bausch Health Cos., Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (3,047) | Monthly | (57,921) | 6,127 |
Becton Dickinson and Company | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (9) | Monthly | (2,194) | 147 |
Bed Bath & Beyond, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (16,043) | Monthly | (218,346) | 55,133 |
Berkshire Hathaway, Inc., Class B | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (151) | Monthly | (48,747) | 1,922 |
Berkshire Hathaway, Inc., Class B | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (98) | Monthly | (31,634) | 2,338 |
Best Buy Co., Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (88) | Monthly | (7,914) | 313 |
Block, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (4,585) | Monthly | (456,386) | 15,135 |
Short Contracts for Difference at April 30, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Boeing (The) Co. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (1,258) | Monthly | $ (187,238) | $ 25,554 |
Booking Holdings, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (31) | Monthly | (68,520) | 774 |
Boston Scientific Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (9,646) | Monthly | (406,189) | 17,271 |
Boston Scientific Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,719) | Monthly | (156,596) | 10,164 |
Boston Scientific Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (6,957) | Monthly | (292,948) | 11,351 |
Broadcom, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (840) | Monthly | (465,656) | 26,030 |
Broadridge Financial Solutions, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (795) | Monthly | (114,580) | 5,598 |
Brookfield Asset Management Inc., Class A | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (5,691) | Monthly | (283,731) | 35,761 |
Brown & Brown, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (5,863) | Monthly | (363,385) | 33,716 |
Brunswick Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (3,424) | Monthly | (258,882) | 1,074 |
Canadian Natural Resources Ltd. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (7,474) | Monthly | (462,416) | 14,948 |
Canadian Natural Resources Ltd. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (9,532) | Monthly | (589,724) | 50,731 |
Canadian Pacific Railway Ltd. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,079) | Monthly | (226,228) | 4,912 |
Capital One Financial Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (4,385) | Monthly | (546,453) | 46,750 |
Carlisle Companies, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (193) | Monthly | (50,056) | (2,628) |
Carnival Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (48,358) | Monthly | (836,585) | 67,683 |
Carvana Co. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (7,160) | Monthly | (414,978) | 222,113 |
Caterpillar, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (2,733) | Monthly | (578,434) | 12,714 |
Caterpillar, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (367) | Monthly | (77,529) | 5,567 |
CDW Corporation of Delaware | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (2,884) | Monthly | (470,596) | 22,988 |
CenterPoint Energy, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (2,289) | Monthly | (70,066) | 2,793 |
CenterPoint Energy, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (2,330) | Monthly | (71,316) | 4,386 |
CenterPoint Energy, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (1,446) | Monthly | (44,259) | 2,418 |
Charter Communications, Inc., Class A | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (867) | Monthly | (371,497) | 63,437 |
Charter Communications, Inc., Class A | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (396) | Monthly | (169,667) | 51,143 |
Comcast Corp., Class A | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (8,021) | Monthly | (320,675) | 37,876 |
Comcast Corp., Class A | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (2,165) | Monthly | (86,658) | 16,006 |
Comcast Corp., Class A | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (3,786) | Monthly | (151,548) | 25,864 |
Conagra Brands, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (4,262) | Monthly | (150,202) | 3,741 |
Conagra Brands, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (7,865) | Monthly | (277,164) | (5,821) |
Conagra Brands, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (5,172) | Monthly | (182,268) | 769 |
ConocoPhillips | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,650) | Monthly | (158,104) | 11,929 |
Constellation Brands, Inc., Class A | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (83) | Monthly | (20,425) | 404 |
Short Contracts for Difference at April 30, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Continental Resources (OK), Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (3,169) | Monthly | $ (176,100) | $ 9,877 |
Corteva, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (10,250) | Monthly | (591,281) | 20,029 |
Danaher Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (2,083) | Monthly | (523,272) | 26,258 |
Darden Restaurants, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (725) | Monthly | (97,011) | 176 |
DaVita, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (1,251) | Monthly | (135,567) | 11,740 |
Deere & Co. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (1,511) | Monthly | (571,978) | 36,197 |
Dell Technologies, Inc., Class C | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (9,941) | Monthly | (470,592) | 1,009 |
Delta Air Lines, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (10,266) | Monthly | (441,741) | 6,780 |
Delta Air Lines, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (11,232) | Monthly | (483,313) | (66,585) |
Dentsply Sirona, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (9,754) | Monthly | (390,058) | 9,368 |
Devon Energy Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (10,365) | Monthly | (602,890) | 40,339 |
Digital Realty Trust, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (315) | Monthly | (46,025) | 1,219 |
DISH Network Corp., Class A | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (16,388) | Monthly | (467,217) | 34,748 |
DISH Network Corp., Class A | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (17,505) | Monthly | (499,029) | 67,083 |
Dollar Tree, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (2,745) | Monthly | (445,921) | 13,839 |
Dominion Energy, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (7,086) | Monthly | (578,495) | 23,035 |
Dow, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (1,092) | Monthly | (72,618) | 2,184 |
Edison International | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (859) | Monthly | (59,691) | 1,830 |
Edison International | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (2,836) | Monthly | (197,060) | 6,991 |
Edison International | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (3,464) | Monthly | (240,705) | 7,837 |
Electronic Arts, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (2,040) | Monthly | (457,057) | 19,181 |
Enbridge, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (12,881) | Monthly | (562,086) | 39,586 |
Entegris, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (3,366) | Monthly | (374,926) | 4,287 |
EQT Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (11,845) | Monthly | (470,822) | 63,052 |
Equifax, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,905) | Monthly | (387,681) | 32,248 |
Equinix, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (244) | Monthly | (175,443) | 12,140 |
Fidelity National Information Services, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (697) | Monthly | (69,105) | 2,790 |
FirstEnergy Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (6,598) | Monthly | (285,763) | 26,256 |
Fiserv, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (4,743) | Monthly | (464,402) | 12,507 |
Foot Locker, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (7,474) | Monthly | (220,102) | 5,948 |
Ford Motor Co. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (30,714) | Monthly | (437,982) | 24,265 |
Ford Motor Co. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (39,612) | Monthly | (564,687) | 54,619 |
Fox Corp., Class A | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (45) | Monthly | (1,613) | 107 |
Gap (The), Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (42,624) | Monthly | (535,779) | (36,225) |
Gap (The), Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (34,921) | Monthly | (438,699) | 57,577 |
Global Payments, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (3,564) | Monthly | (488,192) | (9,048) |
Goodyear Tire & Rubber (The) Co. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (43,696) | Monthly | (582,025) | (4,801) |
Hess Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (2,589) | Monthly | (266,845) | 8,754 |
HF Sinclair Corporation | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (12,726) | Monthly | (483,824) | (1,127) |
Short Contracts for Difference at April 30, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (751) | Monthly | $ (116,622) | $ (1,456) |
Host Hotels & Resorts, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (3,093) | Monthly | (62,942) | 650 |
Host Hotels & Resorts, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (35,909) | Monthly | (730,725) | (32,655) |
Howmet Aerospace Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (5,723) | Monthly | (195,267) | 4,809 |
Howmet Aerospace Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (10,648) | Monthly | (363,297) | 14,068 |
Humana, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (515) | Monthly | (229,489) | (582) |
Hyatt Hotels Corp., Class A | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (1,005) | Monthly | (95,434) | (150) |
Intel Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (9,924) | Monthly | (432,572) | 30,283 |
International Business Machines Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (4,530) | Monthly | (598,954) | 27,319 |
International Paper Co. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (12,577) | Monthly | (582,044) | 14,860 |
Iron Mountain, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (11,050) | Monthly | (593,710) | 32,604 |
Iron Mountain, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (8,009) | Monthly | (430,309) | 18,756 |
Johnson & Johnson | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (1,611) | Monthly | (290,721) | 3,244 |
KB Home | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (14,638) | Monthly | (474,706) | (1,020) |
Kinder Morgan, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (2,214) | Monthly | (40,797) | 2,487 |
Kohls Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (4,367) | Monthly | (252,759) | (2,268) |
Kraft Heinz Foods Co. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (7,146) | Monthly | (304,634) | 1,208 |
Kraft Heinz Foods Co. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (14,124) | Monthly | (602,087) | (6,619) |
L Brands, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (11,395) | Monthly | (602,649) | (58,268) |
L3Harris Technologies, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (151) | Monthly | (35,070) | 2,360 |
Lamb Weston Holdings, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (1,532) | Monthly | (101,264) | 3,218 |
Lamb Weston Holdings, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (11,465) | Monthly | (757,811) | 12,178 |
Las Vegas Sands Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (13,432) | Monthly | (475,880) | 16,403 |
Leidos Holdings, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (4,505) | Monthly | (466,297) | 25,920 |
Lennar Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (901) | Monthly | (69,255) | 104 |
Lithia Motors, Inc., Class A | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (1,020) | Monthly | (288,793) | 12,719 |
Lumen Technologies, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (8,514) | Monthly | (85,650) | 6,386 |
Marathon Petroleum Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (8,359) | Monthly | (208,299) | 16,391 |
Marriott International, Inc., Class A | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (2,622) | Monthly | (465,444) | 17,225 |
Marsh & McLennan Cos., Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (172) | Monthly | (27,428) | 1,653 |
Marvell Technology, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (6,198) | Monthly | (360,350) | 31,053 |
Merck & Co., Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (801) | Monthly | (71,039) | (2,572) |
Short Contracts for Difference at April 30, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
MGIC Investment Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (7,420) | Monthly | $ (96,904) | $ 1,114 |
MGIC Investment Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,642) | Monthly | (21,443) | (48) |
MGIC Investment Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (6,827) | Monthly | (89,158) | 3,758 |
Mondelez International, Inc., Class A | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (9,092) | Monthly | (586,266) | (8,287) |
Moodys Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (871) | Monthly | (275,651) | 5,177 |
Motorola Solutions, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (2,695) | Monthly | (575,889) | 30,017 |
Motorola Solutions, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,043) | Monthly | (222,864) | 23,913 |
Murphy Oil Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (11,025) | Monthly | (419,816) | 62,858 |
National Oilwell Varco, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (3,515) | Monthly | (63,725) | 7,405 |
Navient Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (11,696) | Monthly | (185,836) | 8,434 |
Netflix, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (380) | Monthly | (72,330) | 56,057 |
Newell Brands, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (1,387) | Monthly | (32,109) | (596) |
Newell Brands, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (927) | Monthly | (21,460) | (603) |
NextEra Energy, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (7,869) | Monthly | (558,851) | 22,630 |
NiSource, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (5,502) | Monthly | (161,687) | 8,159 |
Nordstrom, Inc. | U.S. Fed Funds + (0.445)% | 2/8/2023 | JPMorgan Chase | (3,753) | Monthly | (97,329) | 6,066 |
Northrop Grumman Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (548) | Monthly | (240,791) | 4,384 |
Norwegian Cruise Line Holdings Ltd. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (15,904) | Monthly | (318,535) | (1,410) |
NRG Energy, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (12,212) | Monthly | (442,654) | 39,958 |
Olin Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (1,010) | Monthly | (57,974) | 1,978 |
Omega Healthcare Investors, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (7,095) | Monthly | (185,533) | 8,231 |
Oneok, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (2,948) | Monthly | (189,442) | 19,256 |
Oracle Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (6,176) | Monthly | (453,314) | 17,318 |
Oshkosh Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (1,052) | Monthly | (97,244) | 4,622 |
Ovintiv, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (2,566) | Monthly | (131,354) | 7,903 |
PayPal Holdings, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (4,265) | Monthly | (374,991) | 95,293 |
Performance Food Group, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (8,991) | Monthly | (442,792) | 9,995 |
Perkinelmer, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (9) | Monthly | (1,320) | 53 |
PG&E Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (38,923) | Monthly | (492,361) | (18,278) |
Philip Morris International, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (3,425) | Monthly | (342,493) | 9,127 |
Pinnacle West Capital Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (31) | Monthly | (2,234) | 163 |
Pioneer Natural Resources Co. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (641) | Monthly | (149,012) | 2,418 |
Pioneer Natural Resources Co. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (153) | Monthly | (35,567) | 3,704 |
Progressive Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (1,765) | Monthly | (189,488) | 1,732 |
Prudential Financial, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (3,159) | Monthly | (342,783) | 25,549 |
PulteGroup, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (10,540) | Monthly | (440,146) | 1,585 |
Qorvo, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (195) | Monthly | (22,187) | 88 |
Short Contracts for Difference at April 30, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Quanta Services, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,905) | Monthly | $ (453,132) | $ 65,859 |
Radian Group, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (12,653) | Monthly | (270,629) | 5,839 |
Ralph Lauren Corp., Class A | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (2,042) | Monthly | (213,055) | 8,910 |
Raymond James Financial, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (4,586) | Monthly | (446,935) | 61,744 |
Raytheon Technologies Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (10,728) | Monthly | (1,018,207) | 100,723 |
Rexford Industrial Reality, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (5,987) | Monthly | (467,221) | 18,086 |
Ross Stores, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (211) | Monthly | (21,051) | 1,045 |
Royal Caribbean Cruises Ltd. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (13,399) | Monthly | (1,041,470) | 47,665 |
Schlumberger Ltd. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (1,094) | Monthly | (42,676) | 2,889 |
Scotts Miracle-Gro (The) Co. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (4,025) | Monthly | (418,314) | 930 |
Sealed Air Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (8,868) | Monthly | (569,395) | 16,602 |
Sempra Energy | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (3,218) | Monthly | (519,250) | 22,146 |
Sherwin-Williams (The) Co. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (2,224) | Monthly | (611,504) | (66,802) |
Sherwin-Williams (The) Co. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (1,238) | Monthly | (340,394) | (31,184) |
Southern (The) Co. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (4,758) | Monthly | (349,165) | 14,775 |
Southern (The) Co. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (3,365) | Monthly | (246,949) | 8,219 |
Spirit AeroSystems Holdings, Inc., Class A | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (184) | Monthly | (7,735) | 683 |
Steel Dynamics, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (581) | Monthly | (49,818) | 2,245 |
Sun Communities, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (2,095) | Monthly | (367,815) | 23,656 |
Sysco Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (5,369) | Monthly | (461,298) | 706 |
TC Energy Corp. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (6,552) | Monthly | (352,779) | 20,030 |
Teck Resources Ltd., Class B | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (2,846) | Monthly | (112,302) | (6,317) |
Teck Resources Ltd., Class B | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (24,866) | Monthly | (981,148) | 29,529 |
Teledyne Technologies, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (1,006) | Monthly | (434,124) | 49,169 |
Tesla, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (665) | Monthly | (579,036) | 80,995 |
T-Mobile US, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (2,570) | Monthly | (316,466) | 15,400 |
T-Mobile US, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (2,642) | Monthly | (325,312) | 25,651 |
Tractor Supply Company | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (1,144) | Monthly | (230,452) | 5,955 |
TransDigm, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (182) | Monthly | (108,255) | 4,081 |
TransDigm, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (477) | Monthly | (283,703) | 21,968 |
TransDigm, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (456) | Monthly | (271,224) | 17,511 |
Twilio Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (2,132) | Monthly | (238,400) | 15,788 |
Uber Technologies, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (1,566) | Monthly | (49,298) | 323 |
United Airlines Holdings, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (12,221) | Monthly | (617,143) | (79,786) |
Short Contracts for Difference at April 30, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
United Rentals North America, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (440) | Monthly | $ (139,259) | $ 243 |
United Rentals North America, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (1,387) | Monthly | (438,998) | 31,958 |
UnitedHealth Group, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (308) | Monthly | (156,632) | 3,818 |
UnitedHealth Group, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (790) | Monthly | (401,725) | 29,583 |
UnitedHealth Group, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (885) | Monthly | (450,059) | 14,885 |
Universal Health Services, Inc., Class B | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (1,104) | Monthly | (135,272) | 11,483 |
Universal Health Services, Inc., Class B | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (504) | Monthly | (61,744) | 11,840 |
Universal Health Services, Inc., Class B | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (2,118) | Monthly | (259,508) | 61,157 |
US Foods Holding Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (3,093) | Monthly | (116,355) | (4,450) |
Verisk Analytics, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (2,099) | Monthly | (428,289) | 15,627 |
Verizon Communications, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (11,420) | Monthly | (536,035) | 73,679 |
ViacomCBS, Inc., Class B | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (1,218) | Monthly | (35,467) | 594 |
VICI Properties, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (15,859) | Monthly | (472,753) | (1,380) |
Vistra Operations Co. LLC | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (18,498) | Monthly | (462,806) | (3,063) |
Walmart, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,300) | Monthly | (504,835) | 13,943 |
Walmart, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (269) | Monthly | (41,154) | 802 |
Welltower, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (2,466) | Monthly | (223,921) | 15,232 |
Western Union (The) Co. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (1,384) | Monthly | (23,196) | 3,128 |
Williams (The) Cos., Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,014) | Monthly | (34,768) | 134 |
Williams (The) Cos., Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (18,021) | Monthly | (617,919) | 18,402 |
Willis Towers Watson, PLC | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (574) | Monthly | (124,145) | 14,218 |
Xerox Holdings Corp. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (16,527) | Monthly | (291,225) | 19,619 |
Zimmer Biomet Holdings, Inc. | U.S. Fed Funds + 0.32% | 1/26/2023 | Barclays | (3,645) | Monthly | (440,710) | 17,466 |
ZoomInfo Technologies, Inc. | U.S. Fed Funds + 0.33% | 2/27/2023 | Goldman Sachs | (397) | Monthly | (18,817) | 2,645 |
Total (Cost $73,515,828) | (1,451,037) | $(69,927,368) | $3,588,460 |
Interest Rate Swap Contracts outstanding at April 30, 2022: Exchange Traded | |||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
8.45% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 9/15/2027 | MXN | 6,250,000 | $ 9,055 | $ — | $ 9,055 |
8.86% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 9/15/2027 | MXN | 14,980,000 | 10,052 | — | 10,052 |
Interest Rate Swap Contracts outstanding at April 30, 2022: Exchange Traded (continued) | |||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
8.90% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 9/15/2027 | MXN | 6,840,000 | $ 4,097 | $ — | $ 4,097 |
9.00% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 9/15/2027 | MXN | 6,280,000 | 2,592 | — | 2,592 |
1.83% (Annually) | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 9/21/2027 | GBP | 150,000 | 2,804 | — | 2,804 |
1.86% (Annually) | 2-Day USD SOFR (Annually) | 9/21/2027 | USD | 380,000 | 17,019 | — | 17,019 |
1.89% (Annually) | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 9/21/2027 | GBP | 310,000 | 4,670 | — | 4,670 |
1.98% (Annually) | 2-Day USD SOFR (Annually) | 9/21/2027 | USD | 420,000 | 16,507 | — | 16,507 |
2.20% (Semi-Annually) | 1-Day SGD SORA (Semi-Annually) | 9/21/2027 | SGD | 330,000 | 2,450 | — | 2,450 |
2.22% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 9/21/2027 | CAD | 3,750,000 | 138,191 | 4,909 | 133,282 |
2.24% (Annually) | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 9/21/2027 | GBP | 310,000 | (1,744) | (942) | (802) |
2.25% (Annually) | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 9/21/2027 | GBP | 200,000 | (1,212) | — | (1,212) |
2.28% (Annually) | 2-Day USD SOFR (Annually) | 9/21/2027 | USD | 490,000 | 12,423 | — | 12,423 |
2.34% (Annually) | 2-Day USD SOFR (Annually) | 9/21/2027 | USD | 320,000 | 7,165 | — | 7,165 |
2.37% (Semi-Annually) | 1-Day SGD SORA (Semi-Annually) | 9/21/2027 | SGD | 720,000 | 1,070 | — | 1,070 |
2.44% (Semi-Annually) | 1-Day SGD SORA (Semi-Annually) | 9/21/2027 | SGD | 330,000 | — | — | — |
2.46% (Annually) | 2-Day USD SOFR (Annually) | 9/21/2027 | USD | 930,000 | 15,853 | — | 15,853 |
2.46% (Semi-Annually) | 1-Day SGD SORA (Semi-Annually) | 9/21/2027 | SGD | 520,000 | (696) | — | (696) |
2.55% (Semi-Annually) | 1-Day SGD SORA (Semi-Annually) | 9/21/2027 | SGD | 580,000 | (2,652) | — | (2,652) |
2.58% (Semi-Annually) | 1-Day SGD SORA (Semi-Annually) | 9/21/2027 | SGD | 450,000 | (2,441) | — | (2,441) |
2.68% (Annually) | 2-Day USD SOFR (Annually) | 9/21/2027 | USD | 250,000 | 1,641 | — | 1,641 |
2.82% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 9/21/2027 | CAD | 1,100,000 | 16,896 | — | 16,896 |
2.83% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 9/21/2027 | CAD | 390,000 | 5,893 | — | 5,893 |
2.85% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 9/21/2027 | CAD | 740,000 | 10,573 | — | 10,573 |
2.89% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 9/21/2027 | CAD | 290,000 | 3,760 | — | 3,760 |
3.19% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 9/21/2027 | CAD | 200,000 | 460 | — | 460 |
3.27% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 9/21/2027 | CAD | 450,000 | — | — | — |
3.37% (Semi-Annually) | 6M ASX BBSW (Semi-Annually) | 9/21/2027 | AUD | 200,000 | 1,904 | — | 1,904 |
3.56% (Semi-Annually) | 6M ASX BBSW (Semi-Annually) | 9/21/2027 | AUD | 540,000 | — | — | — |
3M HKD HIBOR (Quarterly) | 2.07% (Quarterly) | 9/21/2027 | HKD | 8,946,000 | (53,008) | — | (53,008) |
3M HKD HIBOR (Quarterly) | 2.06% (Quarterly) | 9/21/2027 | HKD | 7,041,780 | (42,245) | — | (42,245) |
3M HKD HIBOR (Quarterly) | 2.30% (Quarterly) | 9/21/2027 | HKD | 3,574,000 | (16,318) | — | (16,318) |
3M HKD HIBOR (Quarterly) | 2.48% (Quarterly) | 9/21/2027 | HKD | 3,220,000 | (11,255) | — | (11,255) |
3M HKD HIBOR (Quarterly) | 2.89% (Quarterly) | 9/21/2027 | HKD | 2,270,000 | (2,405) | — | (2,405) |
3M HKD HIBOR (Quarterly) | 2.54% (Quarterly) | 9/21/2027 | HKD | 2,260,000 | (7,051) | — | (7,051) |
3M HKD HIBOR (Quarterly) | 3.10% (Quarterly) | 9/21/2027 | HKD | 2,000,000 | 341 | — | 341 |
3M HKD HIBOR (Quarterly) | 3.09% (Quarterly) | 9/21/2027 | HKD | 2,000,000 | 270 | — | 270 |
3M HKD HIBOR (Quarterly) | 2.31% (Quarterly) | 9/21/2027 | HKD | 1,836,000 | (8,290) | — | (8,290) |
3M HKD HIBOR (Quarterly) | 2.86% (Quarterly) | 9/21/2027 | HKD | 1,045,000 | (1,336) | — | (1,336) |
3M HKD HIBOR (Quarterly) | 2.85% (Quarterly) | 9/21/2027 | HKD | 1,045,000 | (1,398) | — | (1,398) |
3M SEK STBOR (Quarterly) | 1.33% (Annually) | 9/21/2027 | SEK | 40,510,000 | (202,449) | (2,421) | (200,028) |
Interest Rate Swap Contracts outstanding at April 30, 2022: Exchange Traded (continued) | |||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
3M SEK STBOR (Quarterly) | 1.91% (Annually) | 9/21/2027 | SEK | 12,520,000 | $ (27,736) | $ — | $ (27,736) |
3M SEK STBOR (Quarterly) | 1.80% (Annually) | 9/21/2027 | SEK | 3,880,000 | (10,658) | (158) | (10,500) |
3M SEK STBOR (Quarterly) | 1.64% (Annually) | 9/21/2027 | SEK | 3,090,000 | (10,818) | — | (10,818) |
3M ZAR JIBAR (Quarterly) | 7.54% (Quarterly) | 9/21/2027 | ZAR | 10,710,000 | (8,265) | — | (8,265) |
3M ZAR JIBAR (Quarterly) | 7.81% (Quarterly) | 9/21/2027 | ZAR | 6,490,000 | — | — | — |
3M ZAR JIBAR (Quarterly) | 7.62% (Quarterly) | 9/21/2027 | ZAR | 4,720,000 | (2,686) | — | (2,686) |
3M ZAR JIBAR (Quarterly) | 7.66% (Quarterly) | 9/21/2027 | ZAR | 4,620,000 | (2,093) | — | (2,093) |
3M ZAR JIBAR (Quarterly) | 7.52% (Quarterly) | 9/21/2027 | ZAR | 4,440,000 | (3,614) | — | (3,614) |
3M ZAR JIBAR (Quarterly) | 7.40% (Quarterly) | 9/21/2027 | ZAR | 3,770,000 | (4,235) | — | (4,235) |
3M ZAR JIBAR (Quarterly) | 7.68% (Quarterly) | 9/21/2027 | ZAR | 2,225,000 | (922) | — | (922) |
3M ZAR JIBAR (Quarterly) | 7.63% (Quarterly) | 9/21/2027 | ZAR | 2,225,000 | (1,180) | — | (1,180) |
4.85% (Semi-Annually) | 6M PLN WIBOR (Annually) | 9/21/2027 | PLN | 9,410,000 | 135,169 | — | 135,169 |
5.13% (Annually) | 6M PLN WIBOR (Semi-Annually) | 9/21/2027 | PLN | 1,110,000 | 13,114 | — | 13,114 |
5.21% (Annually) | 6M PLN WIBOR (Semi-Annually) | 9/21/2027 | PLN | 3,220,000 | 35,819 | — | 35,819 |
5.83% (Annually) | 6M PLN WIBOR (Semi-Annually) | 9/21/2027 | PLN | 890,000 | 4,780 | — | 4,780 |
6.00% (Annually) | 6M PLN WIBOR (Semi-Annually) | 9/21/2027 | PLN | 1,050,000 | 4,044 | — | 4,044 |
6M EUR EURIBOR (Semi-Annually) | 0.65% (Annually) | 9/21/2027 | EUR | 3,030,000 | (146,152) | 1,357 | (147,509) |
6M EUR EURIBOR (Semi-Annually) | 0.98% (Annually) | 9/21/2027 | EUR | 740,000 | (23,310) | (2,286) | (21,024) |
6M EUR EURIBOR (Semi-Annually) | 1.05% (Annually) | 9/21/2027 | EUR | 700,000 | (19,665) | (1,666) | (17,999) |
6M EUR EURIBOR (Semi-Annually) | 0.88% (Annually) | 9/21/2027 | EUR | 490,000 | (17,948) | — | (17,948) |
6M EUR EURIBOR (Semi-Annually) | 1.02% (Annually) | 9/21/2027 | EUR | 460,000 | (13,670) | 764 | (14,434) |
6M EUR EURIBOR (Semi-Annually) | 1.54% (Annually) | 9/21/2027 | EUR | 380,000 | (1,164) | — | (1,164) |
6M EUR EURIBOR (Semi-Annually) | 1.52% (Annually) | 9/21/2027 | EUR | 370,000 | (1,539) | — | (1,539) |
6M EUR EURIBOR (Semi-Annually) | 1.61% (Annually) | 9/21/2027 | EUR | 310,000 | — | — | — |
6M EUR EURIBOR (Semi-Annually) | 0.91% (Annually) | 9/21/2027 | EUR | 280,000 | (9,878) | — | (9,878) |
6M EUR EURIBOR (Semi-Annually) | 1.30% (Annually) | 9/21/2027 | EUR | 230,000 | (3,450) | — | (3,450) |
6M EUR EURIBOR (Semi-Annually) | 1.51% (Annually) | 9/21/2027 | EUR | 170,000 | (793) | 442 | (1,235) |
6M EUR EURIBOR (Semi-Annually) | 1.26% (Annually) | 9/21/2027 | EUR | 100,000 | (1,700) | (275) | (1,425) |
Total | $(187,364) | $ (276) | $(187,088) |
Interest Rate Swap Contracts outstanding at April 30, 2022: Over the Counter | ||||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Counterparty | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
3M KRW KWCDC (Quarterly) | 2.83% (Quarterly) | Bank of America | 9/21/2027 | KRW | 900,620,800 | $ (9,655) | $— | $ (9,655) |
3M KRW KWCDC (Quarterly) | 3.06% (Quarterly) | JPMorgan Chase | 9/21/2027 | KRW | 787,577,500 | (1,536) | — | (1,536) |
3M KRW KWCDC (Quarterly) | 3.10% (Quarterly) | Bank of America | 9/21/2027 | KRW | 601,970,000 | (274) | — | (274) |
3M KRW KWCDC (Quarterly) | 2.77% (Quarterly) | Morgan Stanley | 9/21/2027 | KRW | 578,670,000 | (7,572) | — | (7,572) |
3M KRW KWCDC (Quarterly) | 3.02% (Quarterly) | Bank of America | 9/21/2027 | KRW | 396,265,000 | (1,398) | — | (1,398) |
3M KRW KWCDC (Quarterly) | 2.97% (Quarterly) | Bank of America | 9/21/2027 | KRW | 396,265,000 | (2,156) | — | (2,156) |
3M KRW KWCDC (Quarterly) | 2.92% (Quarterly) | Citibank | 9/21/2027 | KRW | 381,460,000 | (2,847) | — | (2,847) |
3M KRW KWCDC (Quarterly) | 2.92% (Quarterly) | Bank of America | 9/21/2027 | KRW | 381,460,000 | (2,747) | — | (2,747) |
3M KRW KWCDC (Quarterly) | 2.97% (Quarterly) | Citibank | 9/21/2027 | KRW | 347,140,000 | (1,940) | — | (1,940) |
3M KRW KWCDC (Quarterly) | 2.99% (Quarterly) | JPMorgan Chase | 9/21/2027 | KRW | 347,140,000 | (1,681) | — | (1,681) |
3M KRW KWCDC (Quarterly) | 3.24% (Quarterly) | Bank of America | 9/21/2027 | KRW | 294,110,000 | 1,388 | — | 1,388 |
3M KRW KWCDC (Quarterly) | 2.79% (Quarterly) | Bank of America | 9/21/2027 | KRW | 210,049,200 | (2,560) | — | (2,560) |
3M KRW KWCDC (Quarterly) | 3.10% (Quarterly) | JPMorgan Chase | 9/21/2027 | KRW | 133,105,000 | (83) | — | (83) |
3M KRW KWCDC (Quarterly) | 3.07% (Quarterly) | JPMorgan Chase | 9/21/2027 | KRW | 123,597,500 | (205) | — | (205) |
Total | $(33,266) | $— | $(33,266) |
Credit Default Swap Contracts outstanding - Sell Protection as of April 30, 2022: Exchange Traded | ||||||||
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Notional Amount(1) | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
Markit CDX North America Investment Grade Index Series 38 (Pay Quarterly) | 0.46% | 1.00% | 6/20/2027 | USD | 3,000,000 | $64,860 | $136,823 | $ (71,963) |
Total | $64,860 | $136,823 | $(71,963) |
(1) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Inflation Swap Contracts outstanding at April 30, 2022: Exchange Traded | |||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
2.05% (At Maturity) | 1-Day U.S. Consumer Price Index (At Maturity) | 2/15/2032 | EUR | 350,000 | $ 43,593 | $520 | $ 43,073 |
4.44% (At Maturity) | 1-Day U.S. Consumer Price Index (At Maturity) | 2/15/2032 | GBP | 410,000 | 18,567 | 191 | 18,376 |
2.69% (At Maturity) | 1-Day U.S. Consumer Price Index (At Maturity) | 2/25/2032 | USD | 1,140,000 | 64,656 | — | 64,656 |
Total | $126,816 | $711 | $126,105 |
Morningstar Alternatives Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 5,072,955 | $ — | $ 5,072,955 |
Common Stocks | 93,855,965 | 9,967,640 | — | 103,823,605 |
Convertible Bonds | — | 83,607,012 | — | 83,607,012 |
Corporate Bonds | — | 41,208,671 | — | 41,208,671 |
Foreign Issuer Bonds | — | 8,072,834 | — | 8,072,834 |
Mortgage-Backed Securities | — | 80,748,418 | — | 80,748,418 |
Preferred Stocks | 6,200,892 | 3,943,127 | — | 10,144,019 |
Rights | — | — | 14,379 | 14,379 |
Warrants | 23 | — | — | 23 |
Investment Companies | 570,843 | — | — | 570,843 |
Short-Term Investments | 23,046,998 | 31,822,244 | — | 54,869,242 |
Purchased Options | 30,260 | — | — | 30,260 |
Total Assets – Investments at value | $123,704,981 | $264,442,901 | $14,379 | $388,162,261 |
Liabilities: | ||||
Common Stocks | $ (26,016,315) | $ (697,933) | $ — | $ (26,714,248) |
Mortgage-Backed Securities | — | (134,834) | — | (134,834) |
Total Liabilities – Investments at value | $ (26,016,315) | $ (832,767) | $ — | $ (26,849,082) |
Net Investments | $ 97,688,666 | $263,610,134 | $14,379 | $361,313,179 |
Morningstar Alternatives Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Futures Contracts | $2,168,150 | $ — | $— | $ 2,168,150 |
Forward Foreign Currency Exchange Contracts | — | 648,282 | — | 648,282 |
Contracts for Difference | — | 73,149,242 | — | 73,149,242 |
Swap Agreements | — | 671,676 | — | 671,676 |
Total Assets - Derivative Financial Instruments | $2,168,150 | $ 74,469,200 | $— | $ 76,637,350 |
Liabilities: | ||||
Futures Contracts | $ (627,086) | $ — | $— | $ (627,086) |
Forward Foreign Currency Exchange Contracts | — | (331,767) | — | (331,767) |
Written Options | (33,592) | — | — | (33,592) |
Contracts for Difference | — | (69,927,368) | — | (69,927,368) |
Swap Agreements | — | (700,630) | — | (700,630) |
Total Liabilities - Derivative Financial Instruments | $ (660,678) | $(70,959,765) | $— | $(71,620,443) |
Net Derivative Financial Instruments | $1,507,472 | $ 3,509,435 | $— | $ 5,016,907 |
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* | $1,478,757,226 | $926,785,591 | $256,414,682 | $ 899,419,253 | $381,955,585 |
Foreign currencies, at value | 95,563 | 530,784 | 8,275 | 2,065,902 | — |
Due from broker | — | — | 147,728 | 14,848,463 | — |
Receivable from Adviser | 55,561 | 61,589 | — | 149,243 | 34,922 |
Receivable for: | |||||
Dividends and interest | 1,218,899 | 3,414,302 | 1,678,262 | 4,322,049 | 4,345,833 |
Securities lending income | 4,362 | 3,251 | 8,709 | 2,512 | — |
Foreign tax reclaims | 121,441 | 766,349 | 381,429 | 6,899 | — |
Investments sold | 25,876,083 | 626,502 | 2,411,753 | 112,159,028 | — |
Fund shares sold | 693,942 | 475,440 | 274,362 | 614,979 | 243,957 |
Variation margin on futures contracts | — | — | 30,375 | 291,775 | — |
Variation margin on exchange traded swap agreements | — | — | — | 166,977 | — |
Unrealized appreciation on OTC swap agreements and contracts for differences | — | — | — | 44,087 | — |
Unrealized appreciation on forward foreign currency exchange contracts | — | 219,852 | 91,551 | 457,225 | — |
Upfront premiums paid on swap agreements | — | — | — | 2,634,902 | — |
Prepaid expenses and other assets | 28,686 | 20,723 | 7,990 | 19,575 | 11,739 |
Total assets | 1,506,851,763 | 932,904,383 | 261,455,116 | 1,037,202,869 | 386,592,036 |
Liabilities | |||||
Investments sold short, at value | — | — | — | 13,674,779 | — |
Written options, at value | — | — | 9,491 | 493,296 | — |
Due to broker | — | — | — | 8,644,937 | — |
Unrealized depreciation on OTC swap agreements and contracts for differences | — | — | — | 44,915 | — |
Unrealized depreciation on forward foreign currency exchange contracts | — | 29,718 | 218,210 | 267,980 | — |
Payable for: | |||||
Dividends on short sales | — | — | — | 70,526 | — |
Investments purchased on a delayed-delivery basis | — | — | 974,410 | 171,934,357 | 2,903,001 |
Investments purchased | 8,486,836 | 625,055 | 6,561,388 | 6,787,065 | — |
Unfunded loan commitments | — | — | 50,725 | — | — |
Fund shares redeemed | 900,416 | 513,387 | 335,380 | 645,052 | 1,430,648 |
Variation margin on futures contracts | — | — | 29,776 | 529,462 | — |
Variation margin on exchange traded swap agreements | — | — | — | 307,123 | — |
Deferred capital gains tax | — | 304,996 | 45,242 | — | — |
Morningstar U.S. Equity Fund | Morningstar International Equity Fund | Morningstar Global Income Fund | Morningstar Total Return Bond Fund | Morningstar Municipal Bond Fund | |
Collateral for securities lending | 6,209,220 | 18,453,591 | 6,041,033 | 3,241,194 | — |
Upfront premiums received from swap agreements | — | — | — | 610,453 | — |
Accrued management fees | 868,488 | 630,643 | 73,074 | 293,724 | 140,910 |
Accrued trustee fees | 17,708 | 9,852 | 2,735 | 8,364 | 4,251 |
Accrued expenses | 470,261 | 417,373 | 153,948 | 435,984 | 143,404 |
Total liabilities | 16,952,929 | 20,984,615 | 14,495,412 | 207,989,211 | 4,622,214 |
Net assets | $1,489,898,834 | $911,919,768 | $246,959,704 | $ 829,213,658 | $381,969,822 |
Analysis of net assets: | |||||
Paid in capital | $1,253,043,517 | $934,464,186 | $253,822,471 | $ 932,083,774 | $401,809,089 |
Distributable earnings (loss) | 236,855,317 | (22,544,418) | (6,862,767) | (102,870,116) | (19,839,267) |
Net assets | $1,489,898,834 | $911,919,768 | $246,959,704 | $ 829,213,658 | $381,969,822 |
Shares outstanding: | 130,389,774 | 95,293,644 | 25,150,444 | 88,032,144 | 38,423,585 |
Net asset value, offering price and redemption price per share: | $ 11.43 | $ 9.57 | $ 9.82 | $ 9.42 | $ 9.94 |
Investments in non-affiliates, at cost | $1,318,949,992 | $957,458,679 | $264,633,020 | $ 972,833,826 | $401,125,877 |
Foreign currencies, at cost | $ 95,526 | $ 531,573 | $ 8,488 | $ 2,109,932 | $ — |
Investments sold short proceeds | $ — | $ — | $ — | $ 14,978,436 | $ — |
Written option premiums | $ — | $ — | $ 6,910 | $ 631,382 | $ — |
*Market value of securities on loan | $ 16,463,299 | $ 18,161,183 | $ 14,167,492 | $ 10,350,363 | $ — |
Morningstar Defensive Bond Fund | Morningstar Multisector Bond Fund | Morningstar Global Opportunistic Equity Fund | Morningstar Alternatives Fund | |
Assets | ||||
Investments in non-affiliates, at value* | $156,376,301 | $133,949,475 | $209,536,691 | $388,162,261 |
Cash | — | — | 47,580 | 22,346,667 |
Foreign currencies, at value | — | 465,221 | 3,809 | 820,393 |
Due from broker | — | 70,000 | 16 | 13,569,696 |
Receivable from Adviser | 26,534 | 29,193 | — | 33,919 |
Receivable for: | ||||
Dividends and interest | 370,049 | 2,085,913 | 385,282 | 1,155,400 |
Securities lending income | 7,968 | — | 5,647 | — |
Foreign tax reclaims | — | 70,836 | 38,793 | 5,012 |
Investments sold | 2,524 | 35,818,747 | 22,335,276 | 25,027,890 |
Fund shares sold | 385,456 | 572,444 | 299,129 | 762,606 |
Variation margin on futures contracts | — | — | — | 90,722 |
Variation margin on exchange traded swap agreements | — | — | — | 52,749 |
Unrealized appreciation on OTC swap agreements and contracts for differences | — | 3,816 | — | 4,467,137 |
Unrealized appreciation on forward foreign currency exchange contracts | — | 135,886 | — | 648,282 |
Upfront premiums paid on swap agreements | — | 2,553 | — | 145,005 |
Prepaid expenses and other assets | 9,146 | 8,060 | 9,716 | 11,565 |
Total assets | 157,177,978 | 173,212,144 | 232,661,939 | 457,299,304 |
Liabilities | ||||
Investments sold short, at value | — | — | — | 26,849,082 |
Written options, at value | — | — | — | 33,592 |
Due to broker | — | 60,000 | — | 2,269,725 |
Unrealized depreciation on OTC swap agreements and contracts for differences | — | — | — | 3,487,912 |
Unrealized depreciation on forward foreign currency exchange contracts | — | 146,310 | — | 331,767 |
Payable for: | ||||
Dividends on short sales | — | — | — | 14,459 |
Investments purchased on a delayed-delivery basis | — | — | — | 51,646,333 |
Investments purchased | 138,298 | 339,011 | 29,183,026 | 2,910,001 |
Fund shares redeemed | 824,984 | 139,713 | 141,501 | 508,619 |
Variation margin on futures contracts | — | — | — | 39,386 |
Variation margin on exchange traded swap agreements | — | — | — | 75,852 |
Collateral for securities lending | 12,153,261 | — | 2,912,780 | — |
Upfront premiums received from swap agreements | — | 1,458 | — | 7,748 |
Accrued management fees | 45,787 | 91,376 | 79,958 | 318,262 |
Accrued trustee fees | 1,754 | 1,841 | 2,302 | 4,538 |
Accrued expenses | 97,004 | 156,167 | 121,284 | 321,297 |
Total liabilities | 13,261,088 | 935,876 | 32,440,851 | 88,818,573 |
Net assets | $143,916,890 | $172,276,268 | $200,221,088 | $368,480,731 |
Analysis of net assets: | ||||
Paid in capital | $151,195,180 | $199,598,746 | $199,244,272 | $376,988,576 |
Morningstar Defensive Bond Fund | Morningstar Multisector Bond Fund | Morningstar Global Opportunistic Equity Fund | Morningstar Alternatives Fund | |
Distributable earnings (loss) | (7,278,290) | (27,322,478) | 976,816 | (8,507,845) |
Net assets | $143,916,890 | $172,276,268 | $200,221,088 | $368,480,731 |
Shares outstanding: | 14,850,783 | 19,144,089 | 20,912,978 | 36,406,187 |
Net asset value, offering price and redemption price per share: | $ 9.69 | $ 9.00 | $ 9.57 | $ 10.12 |
Investments in non-affiliates, at cost | $162,488,350 | $148,825,556 | $208,124,836 | $399,366,132 |
Foreign currencies, at cost | $ — | $ 470,736 | $ 4,012 | $ 826,157 |
Investments sold short proceeds | $ — | $ — | $ — | $ 29,693,622 |
Written option premiums | $ — | $ — | $ — | $ 125,539 |
*Market value of securities on loan | $ 12,598,778 | $ — | $ 3,095,967 | $ — |
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) | $ 28,660,496 | $ 26,405,932 | $ 10,614,384 | $ 491,247 | $ 14,838 |
Non-cash dividend income | — | 3,441,750 | — | — | — |
Interest income (net of foreign withholding taxes) | 5,081 | — | 1,320,823 | 16,035,614 | 9,290,217 |
Securities lending income, net | 12,945 | 4,969 | 18,957 | 4,523 | — |
Total investment income | 28,678,522 | 29,852,651 | 11,954,164 | 16,531,384 | 9,305,055 |
Expenses | |||||
Management fees (Note 5) | 11,154,228 | 8,624,162 | 956,715 | 3,782,572 | 1,835,252 |
Administration and custody fees | 764,783 | 807,042 | 195,260 | 887,224 | 206,515 |
Transfer agent fees | 9,744 | 9,490 | 9,485 | 9,507 | 9,449 |
Sub-accounting fees | 1,713,271 | 1,073,387 | 276,881 | 881,896 | 430,051 |
Audit and tax fees | 65,426 | 105,075 | 79,497 | 81,922 | 50,609 |
Legal fees | 166,838 | 102,689 | 27,383 | 84,253 | 41,114 |
Trustees’ fees | 234,791 | 147,152 | 38,480 | 119,926 | 58,534 |
Registration and filing fees | 40,734 | 40,875 | 28,129 | 40,271 | 30,143 |
Printing and postage fees | 66,234 | 57,730 | 43,341 | 35,678 | 23,683 |
Dividend and interest on securities sold short | — | — | — | 90,782 | — |
Other expenses | 133,179 | 88,659 | 32,743 | 107,406 | 39,312 |
Total expenses | 14,349,228 | 11,056,261 | 1,687,914 | 6,121,437 | 2,724,662 |
Less waiver of management fees (Note 5) | (500,683) | (880,646) | — | (1,533,243) | (298,150) |
Net expenses | 13,848,545 | 10,175,615 | 1,687,914 | 4,588,194 | 2,426,512 |
Net investment income | 14,829,977 | 19,677,036 | 10,266,250 | 11,943,190 | 6,878,543 |
Realized and unrealized gains (losses) | |||||
Net realized gains (losses) on: | |||||
Investments | 205,706,831 | 112,313,376 | 16,238,375 | (18,093,441) | (515,409) |
Investments sold short | — | — | — | 125,875 | — |
Swap agreements | — | — | — | 952,871 | — |
Futures contracts | — | — | (40,081) | (5,152,326) | — |
Written options contracts | — | — | 12,250 | 3,791,859 | — |
Forward foreign currency exchange contracts | — | 226,840 | 11,987 | 155,930 | — |
Foreign currency transactions | (462) | (228,263) | (140,446) | 6,593 | — |
Net realized gains (losses) | 205,706,369 | 112,311,953 | 16,082,085 | (18,212,639) | (515,409) |
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | (261,726,031) | (261,329,369) 1 | (41,578,446) 1 | (74,026,501) | (31,065,332) |
Investments sold short | — | — | — | 836,715 | — |
Swap agreements | — | — | — | (2,475,668) | — |
Futures contracts | — | — | (142,481) | (5,116,512) | — |
Written options contracts | — | — | (2,581) | 454,189 | — |
Forward foreign currency exchange contracts | — | 71,249 | (126,659) | 172,092 | — |
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 | (9,661) | (159,795) | (51,042) | (42,230) | — |
Net change in unrealized depreciation | (261,735,692) | (261,417,915) | (41,901,209) | (80,197,915) | (31,065,332) |
Net realized and unrealized losses | (56,029,323) | (149,105,962) | (25,819,124) | (98,410,554) | (31,580,741) |
Net decrease in net assets resulting from operations | $ (41,199,346) | $(129,428,926) | $(15,552,874) | $(86,467,364) | $(24,702,198) |
Foreign withholding taxes on dividend income | $ 289,798 | $ 2,552,350 | $ 568,586 | $ — | $ — |
Foreign withholding taxes on interest income | $ — | $ — | $ 6,089 | $ 10,307 | $ — |
1 | Net of change in deferred foreign capital gains tax expense of $295,046 and $(45,242), respectively. |
Morningstar Defensive Bond Fund | Morningstar Multisector Bond Fund | Morningstar Global Opportunistic Equity Fund | Morningstar Alternatives Fund | |
Investment income | ||||
Dividend income from non-affiliates (net of foreign withholding taxes) | $ 814,350 | $ 70,933 | $ 4,434,453 | $ 1,703,673 |
Interest income (net of foreign withholding taxes) | 3,985,858 | 11,325,345 | 1,048,191 | 4,901,698 |
Securities lending income, net | 19,360 | — | 18,284 | — |
Total investment income | 4,819,568 | 11,396,278 | 5,500,928 | 6,605,371 |
Expenses | ||||
Management fees (Note 5) | 713,096 | 1,380,669 | 999,495 | 2,906,540 |
Administration and custody fees | 176,830 | 222,878 | 239,805 | 869,377 |
Transfer agent fees | 9,508 | 9,517 | 9,494 | 9,508 |
Sub-accounting fees | 203,343 | 230,559 | 216,800 | 343,696 |
Audit and tax fees | 51,614 | 83,903 | 51,609 | 66,303 |
Legal fees | 19,209 | 21,997 | 21,295 | 35,291 |
Trustees’ fees | 27,948 | 32,041 | 29,860 | 47,733 |
Registration and filing fees | 24,747 | 28,803 | 28,885 | 36,231 |
Printing and postage fees | 9,550 | 28,659 | 24,955 | 25,937 |
Dividend and interest on securities sold short | — | — | — | 536,044 |
Other expenses | 24,354 | 37,229 | 35,464 | 68,818 |
Total expenses | 1,260,199 | 2,076,255 | 1,657,662 | 4,945,478 |
Less waiver of management fees (Note 5) | (309,402) | (283,097) | — | (477,686) |
Net expenses | 950,797 | 1,793,158 | 1,657,662 | 4,467,792 |
Net investment income | 3,868,771 | 9,603,120 | 3,843,266 | 2,137,579 |
Realized and unrealized gains (losses) | ||||
Net realized gains (losses) on: | ||||
Investments | (1,212,853) | (12,082,190) | 29,835,097 | 8,133,390 |
Investments sold short | — | — | — | (6,494,694) |
Swap agreements | — | (33,874) | — | 4,199,134 |
Futures contracts | — | — | (519,214) | 715,687 |
Written options contracts | — | — | — | 1,350,829 |
Forward foreign currency exchange contracts | — | (322,978) | (1,595,630) | 793,915 |
Foreign currency transactions | — | (1,641,029) | 64,359 | (153,536) |
Net realized gains (losses) | (1,212,853) | (14,080,071) | 27,784,612 | 8,544,725 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (7,597,221) | (19,853,667) | (37,239,525) | (28,426,220) |
Investments sold short | — | — | — | 11,888,346 |
Swap agreements | — | 33,813 | — | 1,230,992 |
Futures contracts | — | — | (1,962) | 1,352,962 |
Written options contracts | — | — | — | 26,047 |
Forward foreign currency exchange contracts | — | 218,898 | (29,387) | 312,523 |
Foreign currency transactions | — | (670) | (23,669) | (10,062) |
Net change in unrealized depreciation | (7,597,221) | (19,601,626) | (37,294,543) | (13,625,412) |
Net realized and unrealized losses | (8,810,074) | (33,681,697) | (9,509,931) | (5,080,687) |
Net decrease in net assets resulting from operations | $(4,941,303) | $(24,078,577) | $ (5,666,665) | $ (2,943,108) |
Foreign withholding taxes on dividend income | $ — | $ — | $ 160,254 | $ 27,760 |
Foreign withholding taxes on interest income | $ — | $ 121,603 | $ 5,594 | $ — |
Morningstar U.S. Equity Fund | Morningstar International Equity Fund | |||
Year Ended April 30, 2022 | Year Ended April 30, 2021 | Year Ended April 30, 2022 | Year Ended April 30, 2021 | |
Operations: | ||||
Net investment income | $ 14,829,977 | $ 16,656,591 | $ 19,677,036 | $ 10,016,804 |
Net realized gains (losses) | 205,706,369 | 135,103,754 | 112,311,953 | 41,234,098 |
Net change in unrealized appreciation (depreciation) | (261,735,692) | 428,736,373 | (261,417,915) | 308,650,316 |
Net increase (decrease) in net assets resulting from operations | (41,199,346) | 580,496,718 | (129,428,926) | 359,901,218 |
Distributions paid from: | ||||
Distributable earnings | (238,486,043) | (30,041,957) | (142,656,979) | (26,103,149) |
Total distributions paid | (238,486,043) | (30,041,957) | (142,656,979) | (26,103,149) |
Capital share transactions: | ||||
Proceeds from shares sold | 299,271,430 | 481,776,207 | 229,896,726 | 328,847,006 |
Reinvestment of dividends | 238,254,322 | 29,964,205 | 142,522,225 | 26,036,922 |
Payments for shares redeemed | (470,673,065) | (538,830,029) | (262,595,654) | (378,898,826) |
Net increase (decrease) in net assets from capital share transactions | 66,852,687 | (27,089,617) | 109,823,297 | (24,014,898) |
Total increase (decrease) in net assets | (212,832,702) | 523,365,144 | (162,262,608) | 309,783,171 |
Net assets: | ||||
Beginning of year | 1,702,731,536 | 1,179,366,392 | 1,074,182,376 | 764,399,205 |
End of year | $1,489,898,834 | $1,702,731,536 | $ 911,919,768 | $1,074,182,376 |
Capital share transactions | ||||
Shares sold | 22,447,159 | 42,040,625 | 20,049,671 | 29,632,519 |
Shares from reinvested dividends | 18,789,082 | 2,511,783 | 13,027,211 | 2,177,756 |
Shares redeemed | (34,767,976) | (47,916,071) | (22,201,350) | (34,631,486) |
Net increase (decrease) | 6,468,265 | (3,363,663) | 10,875,532 | (2,821,211) |
Morningstar Global Income Fund | Morningstar Total Return Bond Fund | |||
Year Ended April 30, 2022 | Year Ended April 30, 2021 | Year Ended April 30, 2022 | Year Ended April 30, 2021 | |
Operations: | ||||
Net investment income | $ 10,266,250 | $ 8,403,667 | $ 11,943,190 | $ 9,074,885 |
Net realized gains (losses) | 16,082,085 | 5,354,824 | (18,212,639) | 7,288,849 |
Net change in unrealized appreciation (depreciation) | (41,901,209) | 44,956,324 | (80,197,915) | (3,936,470) |
Net increase (decrease) in net assets resulting from operations | (15,552,874) | 58,714,815 | (86,467,364) | 12,427,264 |
Distributions paid from: | ||||
Distributable earnings | (28,559,019) | (8,680,865) | (18,514,280) | (31,028,756) |
Total distributions paid | (28,559,019) | (8,680,865) | (18,514,280) | (31,028,756) |
Capital share transactions: | ||||
Proceeds from shares sold | 59,366,985 | 87,887,640 | 290,765,341 | 480,904,825 |
Reinvestment of dividends | 28,522,540 | 8,662,821 | 18,411,734 | 30,798,145 |
Payments for shares redeemed | (69,249,969) | (109,212,549) | (207,900,741) | (179,644,388) |
Net increase (decrease) in net assets from capital share transactions | 18,639,556 | (12,662,088) | 101,276,334 | 332,058,582 |
Total increase (decrease) in net assets | (25,472,337) | 37,371,862 | (3,705,310) | 313,457,090 |
Net assets: | ||||
Beginning of year | 272,432,041 | 235,060,179 | 832,918,968 | 519,461,878 |
End of year | $246,959,704 | $ 272,432,041 | $ 829,213,658 | $ 832,918,968 |
Capital share transactions | ||||
Shares sold | 5,264,711 | 8,222,595 | 28,123,394 | 43,701,466 |
Shares from reinvested dividends | 2,638,398 | 816,414 | 1,746,590 | 2,790,212 |
Shares redeemed | (6,198,204) | (10,232,402) | (19,777,555) | (16,280,848) |
Net increase (decrease) | 1,704,905 | (1,193,393) | 10,092,429 | 30,210,830 |
Morningstar Municipal Bond Fund | Morningstar Defensive Bond Fund | |||
Year Ended April 30, 2022 | Year Ended April 30, 2021 | Year Ended April 30, 2022 | Year Ended April 30, 2021 | |
Operations: | ||||
Net investment income | $ 6,878,543 | $ 7,274,144 | $ 3,868,771 | $ 3,937,323 |
Net realized gains (losses) | (515,409) | 1,078,614 | (1,212,853) | 2,618,338 |
Net change in unrealized appreciation (depreciation) | (31,065,332) | 19,775,057 | (7,597,221) | 373,772 |
Net increase (decrease) in net assets resulting from operations | (24,702,198) | 28,127,815 | (4,941,303) | 6,929,433 |
Distributions paid from: | ||||
Distributable earnings | (7,143,683) | (7,263,473) | (5,383,260) | (5,595,772) |
Return of capital | — | — | (262,291) | — |
Total distributions paid | (7,143,683) | (7,263,473) | (5,645,551) | (5,595,772) |
Capital share transactions: | ||||
Proceeds from shares sold | 86,833,628 | 153,419,635 | 63,412,740 | 125,121,603 |
Reinvestment of dividends | 7,143,683 | 7,261,563 | 5,587,623 | 5,533,958 |
Payments for shares redeemed | (97,330,921) | (104,562,988) | (115,025,461) | (114,935,028) |
Net increase (decrease) in net assets from capital share transactions | (3,353,610) | 56,118,210 | (46,025,098) | 15,720,533 |
Total increase (decrease) in net assets | (35,199,491) | 76,982,552 | (56,611,952) | 17,054,194 |
Net assets: | ||||
Beginning of year | 417,169,313 | 340,186,761 | 200,528,842 | 183,474,648 |
End of year | $381,969,822 | $ 417,169,313 | $ 143,916,890 | $ 200,528,842 |
Capital share transactions | ||||
Shares sold | 8,153,632 | 14,430,434 | 6,267,569 | 12,178,266 |
Shares from reinvested dividends | 674,697 | 681,997 | 554,022 | 538,684 |
Shares redeemed | (9,206,617) | (9,854,516) | (11,559,469) | (11,161,340) |
Net increase (decrease) | (378,288) | 5,257,915 | (4,737,878) | 1,555,610 |
Morningstar Multisector Bond Fund | Morningstar Global Opportunistic Equity Fund | |||
Year Ended April 30, 2022 | Year Ended April 30, 2021 | Year Ended April 30, 2022 | Year Ended April 30, 2021 | |
Operations: | ||||
Net investment income | $ 9,603,120 | $ 10,776,166 | $ 3,843,266 | $ 2,246,569 |
Net realized gains (losses) | (14,080,071) | 3,862,311 | 27,784,612 | 12,005,597 |
Net change in unrealized appreciation (depreciation) | (19,601,626) | 19,395,976 | (37,294,543) | 35,988,388 |
Net increase (decrease) in net assets resulting from operations | (24,078,577) | 34,034,453 | (5,666,665) | 50,240,554 |
Distributions paid from: | ||||
Distributable earnings | (9,251,076) | (6,127,676) | (40,121,142) | (5,306,815) |
Total distributions paid | (9,251,076) | (6,127,676) | (40,121,142) | (5,306,815) |
Capital share transactions: | ||||
Proceeds from shares sold | 64,496,384 | 135,983,223 | 49,593,850 | 79,010,669 |
Reinvestment of dividends | 9,216,889 | 6,107,758 | 40,116,316 | 5,297,582 |
Payments for shares redeemed | (105,249,637) | (124,626,874) | (54,427,784) | (56,709,143) |
Net increase (decrease) in net assets from capital share transactions | (31,536,364) | 17,464,107 | 35,282,382 | 27,599,108 |
Total increase (decrease) in net assets | (64,866,017) | 45,370,884 | (10,505,425) | 72,532,847 |
Net assets: | ||||
Beginning of year | 237,142,285 | 191,771,401 | 210,726,513 | 138,193,666 |
End of year | $ 172,276,268 | $ 237,142,285 | $200,221,088 | $210,726,513 |
Capital share transactions | ||||
Shares sold | 6,453,393 | 13,534,674 | 4,416,095 | 7,362,146 |
Shares from reinvested dividends | 905,297 | 604,130 | 3,868,282 | 464,555 |
Shares redeemed | (10,759,064) | (12,026,490) | (4,811,572) | (5,270,864) |
Net increase (decrease) | (3,400,374) | 2,112,314 | 3,472,805 | 2,555,837 |
Morningstar Alternatives Fund | ||
Year Ended April 30, 2022 | Year Ended April 30, 2021 | |
Operations: | ||
Net investment income | $ 2,137,579 | $ 2,714,288 |
Net realized gains (losses) | 8,544,725 | 5,298,439 |
Net change in unrealized appreciation (depreciation) | (13,625,412) | 11,634,444 |
Net increase (decrease) in net assets resulting from operations | (2,943,108) | 19,647,171 |
Distributions paid from: | ||
Distributable earnings | (16,647,113) | (7,284,535) |
Total distributions paid | (16,647,113) | (7,284,535) |
Capital share transactions: | ||
Proceeds from shares sold | 163,288,685 | 188,548,612 |
Reinvestment of dividends | 16,584,193 | 7,253,727 |
Payments for shares redeemed | (119,572,952) | (66,513,615) |
Net increase (decrease) in net assets from capital share transactions | 60,299,926 | 129,288,724 |
Total increase (decrease) in net assets | 40,709,705 | 141,651,360 |
Net assets: | ||
Beginning of year | 327,771,026 | 186,119,666 |
End of year | $ 368,480,731 | $327,771,026 |
Capital share transactions | ||
Shares sold | 15,638,714 | 17,844,308 |
Shares from reinvested dividends | 1,587,729 | 689,960 |
Shares redeemed | (11,434,449) | (6,308,345) |
Net increase (decrease) | 5,791,994 | 12,225,923 |
Morningstar U.S. Equity Fund | ||||
Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of year | $13.74 | $9.27 | $10.68 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income2 | 0.12 | 0.14 | 0.13 | 0.05 |
Net realized and unrealized gains (losses) | (0.36) | 4.59 | (1.31) | 0.64 |
Total income (loss) from investment operations | (0.24) | 4.73 | (1.18) | 0.69 |
Less distributions paid: | ||||
From net investment income | (0.13) | (0.14) | (0.09) | (0.01) |
From realized gains | (1.94) | (0.12) | (0.14) | — |
Total distributions paid | (2.07) | (0.26) | (0.23) | (0.01) |
Net asset value, end of year | $11.43 | $13.74 | $9.27 | $10.68 |
Total return3 | (3.11%) | 51.43% | (11.42%) | 6.98% |
Supplemental data and ratios: | ||||
Net assets, end of year (millions) | $1,490 | $1,703 | $1,179 | $678 |
Ratio to average net assets of:4, 5 | ||||
Total expenses before waivers/reimbursements | 0.86% | 0.87% | 0.93% | 1.08% |
Total expenses after waivers/reimbursements | 0.83% | 0.81% | 0.81% | 0.82% |
Net investment income, net of waivers/reimbursements | 0.89% | 1.19% | 1.25% | 0.98% 6 |
Net investment income, before waivers/reimbursements | 0.86% | 1.13% | 1.13% | 0.72% 6 |
Portfolio turnover rate7 | 61% | 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. |
Morningstar International Equity Fund | ||||
Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of year | $12.72 | $8.76 | $10.79 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income2 | 0.23 | 0.12 | 0.21 | 0.08 |
Net realized and unrealized gains (losses) | (1.66) | 4.17 | (1.94) | 0.74 |
Total income (loss) from investment operations | (1.43) | 4.29 | (1.73) | 0.82 |
Less distributions paid: | ||||
From net investment income | (0.18) | (0.14) | (0.19) | (0.03) |
From realized gains | (1.54) | (0.19) | (0.11) | — |
Total distributions paid | (1.72) | (0.33) | (0.30) | (0.03) |
Net asset value, end of year | $9.57 | $12.72 | $8.76 | $10.79 |
Total return3 | (12.77%) | 49.22% | (16.65%) | 8.19% |
Supplemental data and ratios: | ||||
Net assets, end of year (millions) | $912 | $1,074 | $764 | $469 |
Ratio to average net assets of:4, 5 | ||||
Total expenses before waivers/reimbursements | 1.06% | 1.08% | 1.14% | 1.29% |
Total expenses after waivers/reimbursements | 0.98% | 0.89% | 0.92% | 0.94% |
Net investment income, net of waivers/reimbursements | 1.89% | 1.09% | 2.08% | 1.66% 6 |
Net investment income, before waivers/reimbursements | 1.81% | 0.90% | 1.86% | 1.31% 6 |
Portfolio turnover rate7 | 67% | 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. |
Morningstar Global Income Fund | ||||
Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of year | $11.62 | $9.54 | $10.58 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income2 | 0.42 | 0.35 | 0.37 | 0.16 |
Net realized and unrealized gains (losses) | (1.03) | 2.09 | (0.94) | 0.52 |
Total income (loss) from investment operations | (0.61) | 2.44 | (0.57) | 0.68 |
Less distributions paid: | ||||
From net investment income | (0.45) | (0.35) | (0.42) | (0.10) |
From realized gains | (0.74) | (0.01) | (0.05) | — |
Total distributions paid | (1.19) | (0.36) | (0.47) | (0.10) |
Net asset value, end of year | $9.82 | $11.62 | $9.54 | $10.58 |
Total return3 | (6.00%) | 26.01% | (5.73%) | 6.85% |
Supplemental data and ratios: | ||||
Net assets, end of year (millions) | $247 | $272 | $235 | $186 |
Ratio to average net assets of:4, 5 | ||||
Total expenses before waivers/reimbursements | 0.62% | 0.62% | 0.64% | 0.90% |
Total expenses after waivers/reimbursements | 0.62% | 0.61% | 0.58% | 0.58% |
Net investment income, net of waivers/reimbursements | 3.76% | 3.28% | 3.52% | 3.15% 6 |
Net investment income, before waivers/reimbursements | 3.76% | 3.27% | 3.46% | 2.83% 6 |
Portfolio turnover rate7 | 138% | 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. |
Morningstar Total Return Bond Fund | ||||
Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of year | $10.69 | $10.88 | $10.48 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income2 | 0.61 | 0.16 | 0.26 | 0.15 |
Net realized and unrealized gains (losses) | (1.65) | 0.17 | 0.68 | 0.45 |
Total income (loss) from investment operations | (1.04) | 0.33 | 0.94 | 0.60 |
Less distributions paid: | ||||
From net investment income | (0.17) | (0.21) | (0.28) | (0.12) |
From realized gains | (0.06) | (0.31) | (0.26) | — |
Total distributions paid | (0.23) | (0.52) | (0.54) | (0.12) |
Net asset value, end of year | $9.42 | $10.69 | $10.88 | $10.48 |
Total return3 | (9.97%) | 2.95% | 9.13% | 6.01% |
Supplemental data and ratios: | ||||
Net assets, end of year (millions) | $829 | $833 | $519 | $415 |
Ratio to average net assets of:4, 5 | ||||
Total expenses before waivers/reimbursements6 | 0.71% | 0.74% | 0.81% | 0.88% |
Total expenses after waivers/reimbursements6 | 0.53% | 0.53% | 0.53% | 0.53% |
Total expenses after waivers/reimbursements and excluding dividend and interest expense | 0.52% | 0.53% | 0.53% | 0.53% |
Net investment income, net of waivers/reimbursements | 1.39% | 1.41% | 2.43% | 2.89% 7 |
Net investment income, before waivers/reimbursements | 1.21% | 1.20% | 2.15% | 2.54% 7 |
Portfolio turnover rate8 | 346% | 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 0.01% for April 30, 2022 and less than 0.01% 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. |
Morningstar Municipal Bond Fund | ||||
Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of year | $10.75 | $10.14 | $10.38 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income2 | 0.18 | 0.21 | 0.23 | 0.12 |
Net realized and unrealized gains (losses) | (0.81) | 0.61 | (0.21) | 0.36 |
Total income (loss) from investment operations | (0.63) | 0.82 | 0.02 | 0.48 |
Less distributions paid: | ||||
From net investment income | (0.18) | (0.21) | (0.23) | (0.10) |
From realized gains | — 3 | — | (0.03) | — |
Total distributions paid | (0.18) | (0.21) | (0.26) | (0.10) |
Net asset value, end of year | $9.94 | $10.75 | $10.14 | $10.38 |
Total return4 | (5.93%) | 8.14% | 0.11% | 4.79% |
Supplemental data and ratios: | ||||
Net assets, end of year (millions) | $382 | $417 | $340 | $105 |
Ratio to average net assets of:5, 6 | ||||
Total expenses before waivers/reimbursements | 0.65% | 0.66% | 0.77% | 1.05% |
Total expenses after waivers/reimbursements | 0.58% | 0.58% | 0.58% | 0.58% |
Net investment income, net of waivers/reimbursements | 1.65% | 1.98% | 2.17% | 2.48% 7 |
Net investment income, before waivers/reimbursements | 1.58% | 1.90% | 1.98% | 2.01% 7 |
Portfolio turnover rate8 | 41% | 53% | 127% | 115% |
1 | Commencement of operations was November 2, 2018. |
2 | Calculated using the average shares outstanding method. |
3 | Round to less than 0.01 |
4 | 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. |
5 | Ratios are annualized for periods less than one year. |
6 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
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. |
Morningstar Defensive Bond Fund | ||||
Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of year | $10.24 | $10.17 | $10.10 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income2 | 0.20 | 0.20 | 0.20 | 0.11 |
Net realized and unrealized gains (losses) | (0.46) | 0.16 | 0.13 | 0.08 |
Total income (loss) from investment operations | (0.26) | 0.36 | 0.33 | 0.19 |
Less distributions paid: | ||||
From net investment income | (0.19) | (0.19) | (0.23) | (0.09) |
From realized gains | (0.08) | (0.10) | (0.03) | — |
Return of capital | (0.02) | — | — | — |
Total distributions paid | (0.29) | (0.29) | (0.26) | (0.09) |
Net asset value, end of year | $9.69 | $10.24 | $10.17 | $10.10 |
Total return3 | (2.61%) | 3.56% | 3.36% | 1.87% |
Supplemental data and ratios: | ||||
Net assets, end of year (millions) | $144 | $201 | $183 | $156 |
Ratio to average net assets of:4, 5 | ||||
Total expenses before waivers/reimbursements | 0.64% | 0.64% | 0.66% | 0.93% |
Total expenses after waivers/reimbursements | 0.48% | 0.48% | 0.48% | 0.48% |
Net investment income, net of waivers/reimbursements | 1.96% | 1.92% | 2.02% | 2.28% 6 |
Net investment income, before waivers/reimbursements | 1.80% | 1.76% | 1.84% | 1.83% 6 |
Portfolio turnover rate7 | 45% | 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. |
Morningstar Multisector Bond Fund | ||||
Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of year | $10.52 | $9.39 | $10.28 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income2 | 0.43 | 0.44 | 0.46 | 0.27 |
Net realized and unrealized gains (losses) | (1.54) | 0.94 | (0.83) | 0.21 |
Total income (loss) from investment operations | (1.11) | 1.38 | (0.37) | 0.48 |
Less distributions paid: | ||||
From net investment income | (0.30) | (0.25) | (0.43) | (0.20) |
From realized gains | (0.11) | — | (0.09) | — |
Total distributions paid | (0.41) | (0.25) | (0.52) | (0.20) |
Net asset value, end of year | $9.00 | $10.52 | $9.39 | $10.28 |
Total return3 | (10.95%) | 14.79% | (3.97%) | 4.86% |
Supplemental data and ratios: | ||||
Net assets, end of year (millions) | $172 | $237 | $192 | $161 |
Ratio to average net assets of:4, 5 | ||||
Total expenses before waivers/reimbursements | 0.92% | 0.91% | 0.98% | 1.18% |
Total expenses after waivers/reimbursements | 0.79% | 0.79% | 0.79% | 0.80% |
Net investment income, net of waivers/reimbursements | 4.25% | 4.31% | 4.52% | 5.41% 6 |
Net investment income, before waivers/reimbursements | 4.12% | 4.19% | 4.33% | 5.03% 6 |
Portfolio turnover rate7 | 97% | 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. |
Morningstar Global Opportunistic Equity Fund | ||||
Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of year | $12.08 | $9.28 | $10.38 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income2 | 0.21 | 0.14 | 0.23 | 0.12 |
Net realized and unrealized gains (losses) | (0.43) | 2.99 | (0.91) | 0.37 |
Total income (loss) from investment operations | (0.22) | 3.13 | (0.68) | 0.49 |
Less distributions paid: | ||||
From net investment income | (0.26) | (0.23) | (0.21) | (0.11) |
From realized gains | (2.03) | (0.10) | (0.21) | — |
Total distributions paid | (2.29) | (0.33) | (0.42) | (0.11) |
Net asset value, end of year | $9.57 | $12.08 | $9.28 | $10.38 |
Total return3 | (2.77%) | 34.01% | (7.07%) | 4.97% |
Supplemental data and ratios: | ||||
Net assets, end of year (millions) | $200 | $211 | $138 | $56 |
Ratio to average net assets of:4, 5 | ||||
Total expenses before waivers/reimbursements | 0.78% | 0.78% | 0.94% | 1.48% |
Total expenses after waivers/reimbursements | 0.78% | 0.74% | 0.73% | 0.64% |
Net investment income, net of waivers/reimbursements | 1.81% | 1.28% | 2.29% | 2.38% 6 |
Net investment income, before waivers/reimbursements | 1.81% | 1.24% | 2.08% | 1.54% 6 |
Portfolio turnover rate7 | 96% | 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. |
Morningstar Alternatives Fund | ||||
Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of year | $10.71 | $10.12 | $10.10 | $10.00 |
Income (loss) from investment operations: | ||||
Net investment income2 | 0.07 | 0.12 | 0.25 | 0.05 |
Net realized and unrealized gains (losses) | (0.14) | 0.77 | (0.05) | 0.08 |
Total income (loss) from investment operations | (0.07) | 0.89 | 0.20 | 0.13 |
Less distributions paid: | ||||
From net investment income | (0.14) | (0.13) | (0.14) | (0.03) |
From realized gains | (0.38) | (0.17) | (0.04) | — |
Total distributions paid | (0.52) | (0.30) | (0.18) | (0.03) |
Net asset value, end of year | $10.12 | $10.71 | $10.12 | $10.10 |
Total return3 | (0.78%) | 8.92% | 1.94% | 1.26% |
Supplemental data and ratios: | ||||
Net assets, end of year (millions) | $368 | $328 | $186 | $112 |
Ratio to average net assets of:4, 5 | ||||
Total expenses before waivers/reimbursements6 | 1.45% | 1.68% | 1.48% | 1.91% |
Total expenses after waivers/reimbursements6 | 1.31% | 1.26% | 1.13% | 0.96% |
Total expenses after waivers/reimbursements and excluding dividend and interest expense | 1.15% | 1.12% | 0.87% | 0.77% |
Net investment income, net of waivers/reimbursements | 0.63% | 1.14% | 2.45% | 1.08% 7 |
Net investment income, before waivers/reimbursements | 0.49% | 0.72% | 2.10% | 0.13% 7 |
Portfolio turnover rate8 | 433% | 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 0.16%, 0.14%, 0.26%, and 0.19% for April 30, 2022, 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. |
Morningstar U.S. Equity Fund | Morningstar Defensive Bond Fund |
Morningstar International Equity Fund | Morningstar Multisector Bond Fund |
Morningstar Global Income Fund | Morningstar Global Opportunistic Equity Fund |
Morningstar Total Return Bond Fund | Morningstar Alternatives Fund |
Morningstar Municipal Bond Fund |
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 generation and capital preservation |
Morningstar Municipal Bond Fund | Income exempt from federal income taxes as well as capital preservation |
Morningstar Defensive Bond Fund | Capital preservation |
Morningstar Multisector Bond Fund | Total return through a combination of current income and capital appreciation |
Morningstar Global Opportunistic Equity 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 |
Morningstar Global Income Fund | Morningstar Total Return Bond Fund | Morningstar Multisector Bond Fund | Morningstar Global Opportunistic Equity Fund | Morningstar Alternatives Fund | |
Assets | |||||
Cash collateral for derivatives | $ — | $ — | $70,000 | $— | $12,726,273 |
Deposits with broker for futures contracts | 147,728 | 14,848,463 | — | 16 | 843,423 |
Due from broker | $147,728 | $14,848,463 | $70,000 | $ 16 | $13,569,696 |
Liabilities | |||||
Cash collateral for derivatives | $ — | $ 8,559,367 | $60,000 | $— | $ 2,261,990 |
Deposits with broker for futures contracts | — | 85,570 | — | — | 7,735 |
Due to broker | $ — | $ 8,644,937 | $60,000 | $— | $ 2,269,725 |
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 |
Morningstar Global Opportunistic Equity Fund | Annually |
Morningstar Alternatives Fund | Annually |
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 Global Opportunistic Equity Fund | 0.47% |
Morningstar Alternatives Fund | 0.85% |
Fund | Base Expense Cap | Management Fees Waived |
Morningstar U.S. Equity Fund | 0.85% | $198,369 |
Morningstar International Equity Fund | 1.00% | 665,693 |
Morningstar Global Income Fund | 0.89% | — |
Morningstar Total Return Bond Fund | 0.53% | 1,471,214 |
Morningstar Municipal Bond Fund | 0.59% | 263,757 |
Morningstar Defensive Bond Fund | 0.48% | 309,402 |
Morningstar Multisector Bond Fund | 0.80% | 265,538 |
Morningstar Global Opportunistic Equity Fund | 1.00% | — |
Fund | Base Expense Cap | Management Fees Waived |
Morningstar Alternatives Fund | 1.29% | $— |
Fund | Supplemental Expense Cap | Management Fees Waived |
Morningstar U.S. Equity Fund | 0.85% | $302,314 |
Morningstar International Equity Fund | 1.00% | 214,953 |
Morningstar Global Income Fund | 0.75% | — |
Morningstar Total Return Bond Fund | 0.54% | 62,029 |
Morningstar Municipal Bond Fund | 0.59% | 34,393 |
Morningstar Defensive Bond Fund | 0.55% | — |
Morningstar Multisector Bond Fund | 0.80% | 17,559 |
Morningstar Global Opportunistic Equity Fund | 0.93% | — |
Morningstar Alternatives Fund | 1.20% | 477,686 |
Fund | Subadvisers |
Morningstar U.S. Equity Fund | ClearBridge Investments, LLC Diamond Hill Capital Management, Inc. Easterly Investment Partners LLC (formerly Levin Easterly Partners LLC) Massachusetts Financial Services Company, d/b/a MFS Investment Management Wasatch Advisors, Inc., d/b/a Wasatch Global Investors Westwood Management Corp. |
Morningstar International Equity Fund | Harding Loevner, L.P. Harris Associates, L.P. Lazard Asset Management LLC T. Rowe Price Associates, Inc. |
Morningstar Global Income Fund | Cullen Capital Management, LLC Western Asset Management Company, LLC(1) |
Morningstar Total Return Bond Fund | BlackRock Financial Management, Inc. Western Asset Management Company, LLC |
Fund | Subadvisers |
Morningstar Municipal Bond Fund | T. Rowe Price Associates, Inc. Allspring Global Investments, LLC(2) |
Morningstar Defensive Bond Fund | First Pacific Advisors, LP |
Morningstar Multisector Bond Fund(3) | Franklin Advisers, Inc.(4) Loomis, Sayles & Company, L.P. TCW Investment Management Company LLC |
Morningstar Global Opportunistic Equity Fund | Brandywine Global Investment Management, LLC(4) Lazard Asset Management LLC |
Morningstar Alternatives Fund | BlackRock Financial Management, Inc. SSI Investment Management LLC Water Island Capital, LLC |
(1) | On December 15, 2021, after consideration and evaluation of various factors and information, the Board of Trustees approved the terms of a subadvisory agreement between Western Asset Management Company, LLC ("Western"), the Adviser, and the Trust on behalf of the Morningstar Global Income Fund dated January 1, 2022, pursuant to which Western commenced serving as a subadviser to the Fund effective February 25, 2022. |
(2) | Formerly Wells Capital Management, Inc. and rebranded as of November 1, 2021. |
(3) | On March 9, 2022, after consideration and evaluation of various factors and information, the Board of Trustees approved the terms of a subadvisory agreement between Voya Investment Management Company, LLC, the Adviser, and the Trust on behalf of the Morningstar Multisector Bond Fund dated April 1, 2022 pursuant to which Voya will commence serving as a subadviser to the Fund effective May 2, 2022. |
(4) | On March 9, 2022, after consideration and evaluation of various factors and information, the Board of Trustees approved the termination with and the services of Brandywine Global Investment Management, LLC as subadviser for the Morningstar Global Opportunistic Equity Fund and the termination with and the services of Franklin Advisers, Inc. as subadviser for the Morningstar Multisector Bond Fund effective May 1, 2022. |
Purchases | Sales | |||||
Fund | U.S. Government | Other | U.S. Government | Other | Securities Sold Short | Covers on Securities Sold Short |
Morningstar U.S. Equity Fund | $ — | $ 994,565,233 | $ — | $1,160,547,731 | $ — | $ — |
Morningstar International Equity Fund | — | 677,293,132 | — | 700,457,464 | — | — |
Morningstar Global Income Fund | 41,257,633 | 322,083,121 | 28,545,891 | 340,776,968 | — | — |
Morningstar Total Return Bond Fund | 218,228,703 | 2,845,840,346 | 153,368,104 | 2,762,444,569 | 231,875,294 | 239,785,472 |
Morningstar Municipal Bond Fund | — | 161,955,946 | — | 161,982,276 | — | — |
Morningstar Defensive Bond Fund | — | 80,837,028 | — | 120,965,143 | — | — |
Morningstar Multisector Bond Fund | 2,337,630 | 188,557,463 | 781,113 | 243,390,973 | — | — |
Morningstar Global Opportunistic Equity Fund | 6,186,961 | 185,991,706 | 18,914,848 | 188,638,951 | — | — |
Morningstar Alternatives Fund | — | 1,724,464,850 | — | 1,629,075,076 | 281,829,251 | 310,541,679 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received |
Morningstar U.S. Equity Fund | $ 16,463,299 | $ 6,209,220 | $ 11,090,388 | $ 17,299,608 |
Morningstar International Equity Fund | 18,161,183 | 18,453,591 | 388,026 | 18,841,617 |
Morningstar Global Income Fund | 14,167,492 | 6,041,033 | 8,633,392 | 14,674,425 |
Morningstar Total Return Bond Fund | 10,350,363 | 3,241,194 | 7,382,815 | 10,624,009 |
Morningstar Defensive Bond Fund | 12,598,778 | 12,153,261 | 759,547 | 12,912,808 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received |
Morningstar Global Opportunistic Equity Fund | $3,095,967 | $2,912,780 | $405,018 | $3,317,798 |
*Remaining contractual maturity of securities lending transactions with non-cash collateral | ||||
Fund | Up to 30 Days | 30-90 Days | Over 90 Days | Total Non-Cash Collateral Received |
Morningstar U.S. Equity Fund | $ 129,696 | $ 381,002 | $ 10,579,690 | $ 11,090,388 |
Morningstar International Equity Fund | 97 | 9,190 | 378,739 | 388,026 |
Morningstar Global Income Fund | - | 19,014 | 8,614,378 | 8,633,392 |
Morningstar Total Return Bond Fund | - | 341 | 7,382,474 | 7,382,815 |
Morningstar Defensive Bond Fund | 732 | 3,693 | 755,122 | 759,547 |
Morningstar Global Opportunistic Equity Fund | - | 7,039 | 397,979 | 405,018 |
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 | $ — | $ — | $ 219,852 | $ — | $ 219,852 | $ — | $ — | $ 29,718 | $ — | $ 29,718 |
Total | — | — | 219,852 | — | 219,852 | — | — | 29,718 | — | 29,718 |
Netting positions | — | — | (29,718) | — | (29,718) | — | — | (29,718) | — | (29,718) |
Net Fair Value of Derivative Contracts | $ — | $ — | $ 190,134 | $ — | $ 190,134 | $ — | $ — | $ — | $ — | $ — |
Morningstar Global Income Fund | ||||||||||
Foreign exchange rate risk | $ — | $ — | $ 91,551 | $ 20,438 | $ 111,989 | $ — | $ — | $ 218,210 | $ 9,491 | $ 227,701 |
Interest rate risk | 264,305 | — | — | 13,500 | 277,805 | 406,786 | — | — | — | 406,786 |
Total | 264,305 | — | 91,551 | 33,938 | 389,794 | 406,786 | — | 218,210 | 9,491 | 634,487 |
Netting positions | (264,305) | — | (91,551) | (9,491) | (365,347) | (264,305) | — | (91,551) | (9,491) | (365,347) |
Net Fair Value of Derivative Contracts | $ — | $ — | $ — | $ 24,447 | $ 24,447 | $ 142,481 | $ — | $ 126,659 | $ — | $ 269,140 |
Morningstar Total Return Bond Fund | ||||||||||
Credit risk | $ — | $ 1,400,447 | $ — | $ — | $ 1,400,447 | $ — | $ 3,639 | $ — | $ — | $ 3,639 |
Foreign exchange rate risk | — | — | 457,225 | 29,657 | 486,882 | — | — | 267,980 | 17,681 | 285,661 |
Inflation risk | — | 812,890 | — | — | 812,890 | — | 2,610,029 | — | — | 2,610,029 |
Interest rate risk | 1,527,293 | 5,242,932 | — | 557,356 | 7,327,581 | 7,191,364 | 1,761,525 | — | 475,615 | 9,428,504 |
Total | 1,527,293 | 7,456,269 | 457,225 | 587,013 | 10,027,800 | 7,191,364 | 4,375,193 | 267,980 | 493,296 | 12,327,833 |
Netting positions | (1,527,293) | (4,375,193) | (267,980) | (493,296) | (6,663,762) | (1,527,293) | (4,375,193) | (267,980) | (493,296) | (6,663,762) |
Net Fair Value of Derivative Contracts | $ — | $ 3,081,076 | $ 189,245 | $ 93,717 | $ 3,364,038 | $ 5,664,071 | $ — | $ — | $ — | $ 5,664,071 |
Morningstar Multisector Bond Fund | ||||||||||
Credit risk | $ — | $ 4,911 | $ — | $ — | $ 4,911 | $ — | $ — | $ — | $ — | $ — |
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 Multisector Bond Fund (continued) | ||||||||||
Foreign exchange rate risk | $ — | $ — | $ 135,886 | $ — | $ 135,886 | $ — | $ — | $ 146,310 | $ — | $ 146,310 |
Total | — | 4,911 | 135,886 | — | 140,797 | — | — | 146,310 | — | 146,310 |
Netting positions | — | — | (135,886) | — | (135,886) | — | — | (135,886) | — | (135,886) |
Net Fair Value of Derivative Contracts | $ — | $ 4,911 | $ — | $ — | $ 4,911 | $ — | $ — | $ 10,424 | $ — | $ 10,424 |
Morningstar Alternatives Fund | ||||||||||
Credit risk | $ — | $ 64,860 | $ — | $ — | $ 64,860 | $ — | $ — | $ — | $ — | $ — |
Equity risk | — | 73,149,242 | — | 30,260 | 73,179,502 | — | 69,927,368 | — | 33,592 | 69,960,960 |
Foreign exchange rate risk | — | — | 648,282 | — | 648,282 | — | — | 331,767 | — | 331,767 |
Inflation risk | — | 126,816 | — | — | 126,816 | — | — | — | — | — |
Interest rate risk | 2,168,150 | 480,000 | — | — | 2,648,150 | 627,086 | 700,630 | — | — | 1,327,716 |
Total | 2,168,150 | 73,820,918 | 648,282 | 30,260 | 76,667,610 | 627,086 | 70,627,998 | 331,767 | 33,592 | 71,620,443 |
Netting positions | (627,086) | (70,627,998) | (331,767) | (30,260) | (71,617,111) | (627,086) | (70,627,998) | (331,767) | (30,260) | (71,617,111) |
Net Fair Value of Derivative Contracts | $1,541,064 | $ 3,192,920 | $ 316,515 | $ — | $ 5,050,499 | $ — | $ — | $ — | $ 3,332 | $ 3,332 |
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. |
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 | $— | $— | $226,840 | $— | $226,840 | $— | $— | $71,249 | $— | $71,249 |
Total | $— | $— | $226,840 | $— | $226,840 | $— | $— | $71,249 | $— | $71,249 |
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 Global Income Fund | ||||||||||
Foreign exchange rate risk | $ — | $ — | $ 11,987 | $ (3,950) | $ 8,037 | $ — | $ — | $(126,659) | $ (30,619) | $ (157,278) |
Interest rate risk | (40,081) | — | — | 12,250 | (27,831) | (142,481) | — | — | 687 | (141,794) |
Total | $ (40,081) | $ — | $ 11,987 | $ 8,300 | $ (19,794) | $ (142,481) | $ — | $(126,659) | $ (29,932) | $ (299,072) |
Morningstar Total Return Bond Fund | ||||||||||
Credit risk | $ — | $ 249,560 | $ — | $ — | $ 249,560 | $ — | $(1,131,199) | $ — | $ — | $(1,131,199) |
Equity risk | — | 82,844 | — | — | 82,844 | — | (15,184) | — | — | (15,184) |
Foreign exchange rate risk | — | — | 155,930 | (242,251) | (86,321) | — | — | 172,092 | 75,017 | 247,109 |
Inflation risk | — | 940,781 | — | — | 940,781 | — | (1,797,138) | — | — | (1,797,138) |
Interest rate risk | (5,152,326) | (320,314) | — | 2,190,986 | (3,281,654) | (5,116,512) | 467,853 | — | (156,610) | (4,805,269) |
Total | $(5,152,326) | $ 952,871 | $ 155,930 | $1,948,735 | $(2,094,790) | $(5,116,512) | $(2,475,668) | $ 172,092 | $ (81,593) | $(7,501,681) |
Morningstar Multisector Bond Fund | ||||||||||
Credit risk | $ — | $ (33,874) | $ — | $ — | $ (33,874) | $ — | $ 33,813 | $ — | $ — | $ 33,813 |
Foreign exchange rate risk | — | — | (322,978) | — | (322,978) | — | — | 218,898 | — | 218,898 |
Total | $ — | $ (33,874) | $ (322,978) | $ — | $ (356,852) | $ — | $ 33,813 | $ 218,898 | $ — | $ 252,711 |
Morningstar Global Opportunistic Equity Fund | ||||||||||
Foreign exchange rate risk | $ — | $ — | $(1,595,630) | $ — | $(1,595,630) | $ — | $ — | $ (29,387) | $ — | $ (29,387) |
Interest rate risk | (519,214) | — | — | — | (519,214) | (1,962) | — | — | — | (1,962) |
Total | $ (519,214) | $ — | $(1,595,630) | $ — | $(2,114,844) | $ (1,962) | $ — | $ (29,387) | $ — | $ (31,349) |
Morningstar Alternatives Fund | ||||||||||
Credit risk | $ — | $ (5,590) | $ — | $ — | $ (5,590) | $ — | $ (71,963) | $ — | $ — | $ (71,963) |
Equity risk | — | 4,213,097 | — | 672,510 | 4,885,607 | — | 1,408,005 | — | 172,657 | 1,580,662 |
Foreign exchange rate risk | — | — | 793,915 | — | 793,915 | — | — | 312,523 | — | 312,523 |
Inflation risk | — | — | — | — | — | — | 126,105 | — | — | 126,105 |
Interest rate risk | 715,687 | (8,373) | — | — | 707,314 | 1,352,962 | (231,155) | — | — | 1,121,807 |
Total | $ 715,687 | $4,199,134 | $ 793,915 | $ 672,510 | $ 6,381,246 | $ 1,352,962 | $ 1,230,992 | $ 312,523 | $ 172,657 | $ 3,069,134 |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $219,852 | $29,718 |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $219,852 | $29,718 |
Less: Derivatives not subject to MNA or similar agreements | — | — |
Total gross amount of derivatives subject to MNA or similar agreement | $219,852 | $29,718 |
Counterparty | Gross Assets | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Northern Trust | $219,852 | $(29,718) | $190,134 | $— | $190,134 |
Total | $219,852 | $(29,718) | $190,134 | $— | $190,134 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Northern Trust | $(29,718) | $29,718 | $— | $— | $— |
Total | $(29,718) | $29,718 | $— | $— | $— |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $ 91,551 | $ 218,210 |
Futures contracts | 264,305 | 406,786 |
Purchased options | 33,938 | — |
Written options | — | 9,491 |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $ 389,794 | $ 634,487 |
Less: Derivatives not subject to MNA or similar agreements | (277,805) | (406,786) |
Total gross amount of derivatives subject to MNA or similar agreement | $ 111,989 | $ 227,701 |
Counterparty | Gross Assets | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
BNP Paribas | $ 19,784 | $ — | $19,784 | $— | $19,784 |
Goldman Sachs | 23,916 | (14,897) | 9,019 | — | 9,019 |
JPMorgan Chase | 8,004 | (8,004) | — | — | — |
Morgan Stanley | 60,285 | (60,285) | — | — | — |
Total | $111,989 | $(83,186) | $28,803 | $— | $28,803 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Citibank | $ (76,272) | $ — | $ (76,272) | $— | $ (76,272) |
Goldman Sachs | (14,897) | 14,897 | — | — | — |
JPMorgan Chase | (17,194) | 8,004 | (9,190) | — | (9,190) |
Morgan Stanley | (119,338) | 60,285 | (59,053) | — | (59,053) |
Total | $(227,701) | $83,186 | $(144,515) | $— | $(144,515) |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $ 457,225 | $ 267,980 |
Futures contracts | 1,527,293 | 7,191,364 |
Interest rate swap contracts* | 5,242,932 | 1,761,525 |
Credit default swap contracts* | 1,400,447 | 3,639 |
Inflation swap contracts* | 812,890 | 2,610,029 |
Purchased options | 180,410 | — |
Purchased swaptions | 406,603 | — |
Written options | — | 254,544 |
Written swaptions | — | 238,752 |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $10,027,800 | $ 12,327,833 |
Less: Derivatives not subject to MNA or similar agreements | (8,979,577) | (11,763,121) |
Total gross amount of derivatives subject to MNA or similar agreement | $ 1,048,223 | $ 564,712 |
* | 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) | $ 461,471 | $(300,606) | $160,865 | $(160,865) | $ — |
Barclays (b) | 68,698 | (26,352) | 42,346 | (38,000) | 4,346 |
BNP Paribas | 184,596 | (6,539) | 178,057 | — | 178,057 |
Citibank | 13,991 | (13,991) | — | — | — |
Deutsche Bank | 28,987 | (28,987) | — | — | — |
Goldman Sachs(a) | 71,281 | (24,306) | 46,975 | (46,975) | — |
HSBC | 10,148 | (10,148) | — | — | — |
JPMorgan Chase(b) | 114,566 | (46,034) | 68,532 | (30,000) | 38,532 |
Morgan Stanley(b) | 89,197 | (14,491) | 74,706 | (38,000) | 36,706 |
Toronto—Dominion Bank | 2,081 | — | 2,081 | — | 2,081 |
UBS | 3,207 | — | 3,207 | — | 3,207 |
Total | $1,048,223 | $(471,454) | $576,769 | $(313,840) | $262,929 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Bank of America | $(300,606) | $300,606 | $ — | $ — | $ — |
Barclays | (26,352) | 26,352 | — | — | — |
BNP Paribas | (6,539) | 6,539 | — | — | — |
Citibank (b) | (27,454) | 13,991 | (13,463) | 8,000 | (5,463) |
Deutsche Bank(b) | (48,300) | 28,987 | (19,313) | 10,000 | (9,313) |
Goldman Sachs | (24,306) | 24,306 | — | — | — |
HSBC | (66,910) | 10,148 | (56,762) | — | (56,762) |
JPMorgan Chase | (46,034) | 46,034 | — | — | — |
Morgan Stanley | (14,491) | 14,491 | — | — | — |
State Street | (3,720) | — | (3,720) | — | (3,720) |
Total | $(564,712) | $471,454 | $(93,258) | $18,000 | $(75,258) |
(a) | Actual amount of collateral received from Bank of America and Goldman Sachs exceeded the net amount before collateral and is included in "Due from broker" in the Statements of Assets and Liabilities. |
(b) | Actual amount of collateral received from Barclays, JPMorgan Chase and Morgan Stanley and pledged by the Fund to Citibank and Deutsche Bank is included in "Due from broker" and "Due to broker" respectively, in the Statements of Assets and Liabilities. |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $135,886 | $146,310 |
Credit default swap contracts* | 4,911 | — |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $140,797 | $146,310 |
Less: Derivatives not subject to MNA or similar agreements | — | — |
Total gross amount of derivatives subject to MNA or similar agreement | $140,797 | $146,310 |
* | 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) | $ 35,626 | $ — | $35,626 | $(35,626) | $ — |
Barclays | 7,174 | (7,174) | — | — | — |
BNP Paribas | 26,320 | (26,320) | — | — | — |
Goldman Sachs | 8,750 | — | 8,750 | — | 8,750 |
JPMorgan Chase | 26,384 | — | 26,384 | — | 26,384 |
Morgan Stanley | 23,059 | (23,059) | — | — | — |
Standard Chartered Bank | 10,758 | — | 10,758 | — | 10,758 |
State Street | 2,726 | — | 2,726 | — | 2,726 |
Total | $140,797 | $(56,553) | $84,244 | $(35,626) | $48,618 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Barclays (a) | $ (25,754) | $ 7,174 | $(18,580) | $18,580 | $ — |
BNP Paribas | (38,403) | 26,320 | (12,083) | — | (12,083) |
Morgan Stanley(b) | (82,153) | 23,059 | (59,094) | 50,000 | (9,094) |
Total | $(146,310) | $56,553 | $(89,757) | $68,580 | $(21,177) |
(a) | Actual amount of collateral received from Bank of America and pledged by the Fund to Barclays 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 pledged by the Fund to Morgan Stanley is included in Due from broker in the Statements of Assets and Liabilities. |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $ 648,282 | $ 331,767 |
Futures contracts | 2,168,150 | 627,086 |
Contracts for difference* | 73,149,242 | 69,927,368 |
Interest rate swap contracts* | 480,000 | 700,630 |
Credit default swap contracts* | 64,860 | — |
Inflation swap contracts* | 126,816 | — |
Purchased options | 30,260 | — |
Written options | — | 33,592 |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $76,667,610 | $71,620,443 |
Less: Derivatives not subject to MNA or similar agreements | (2,868,698) | (1,326,654) |
Total gross amount of derivatives subject to MNA or similar agreement | $73,798,912 | $70,293,789 |
* | 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 | $ 9,618 | $ (9,618) | $ — | $ — | $ — |
Barclays (a) | 27,369,076 | (26,542,461) | 826,615 | (330,000) | 496,615 |
Citibank | 94 | (94) | — | — | — |
Deutsche Bank | 24,769 | — | 24,769 | — | 24,769 |
Goldman Sachs(a) | 29,269,553 | (27,878,159) | 1,391,394 | (140,000) | 1,251,394 |
JPMorgan Chase | 16,519,024 | (15,528,077) | 990,947 | — | 990,947 |
Morgan Stanley | 606,778 | (304,881) | 301,897 | — | 301,897 |
Total | $73,798,912 | $(70,263,290) | $3,535,622 | $(470,000) | $3,065,622 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Bank of America(a) | $ (35,423) | $ 9,618 | $(25,805) | $10,000 | $(15,805) |
Barclays | (26,542,461) | 26,542,461 | — | — | — |
Citibank (b) | (4,788) | 94 | (4,694) | 4,694 | — |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Goldman Sachs | $(27,878,159) | $27,878,159 | $ — | $ — | $ — |
JPMorgan Chase | (15,528,077) | 15,528,077 | — | — | — |
Morgan Stanley | (304,881) | 304,881 | — | — | — |
Total | $(70,293,789) | $70,263,290 | $(30,499) | $14,694 | $(15,805) |
(a) | Actual amount of collateral received from Barclays and Goldman Sachs and pledged by the Fund to Bank of America 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 exceeded the net amount before collateral and is included in "Due to broker" in the Statements of Assets and Liabilities. |
Morningstar International Equity Fund | Morningstar Global Income Fund | Morningstar Total Return Bond Fund | Morningstar Multisector Bond Fund | Morningstar Global Opportunistic Equity Fund | Morningstar Alternatives Fund | |
Futures Contracts: | ||||||
Average Notional Balance - Long | $ — | $ 8,519,644 | $408,584,486 | $ — | $ 2,496,552 | $33,439,315 |
Average Notional Balance - Short | — | 2,143,707 | 145,252,519 | — | 448,945 | 40,365,063 |
Ending Notional Balance - Long | — | 34,078,576 | 387,087,099 | — | — | 11,307,653 |
Ending Notional Balance - Short | — | 8,574,828 | 66,998,456 | — | — | 47,545,933 |
Forward Foreign Currency Exchange Contracts: | ||||||
Average Settlement Value - Purchased | 4,152,981 | 733,165 | 26,570,916 | 13,523,027 | 8,616,369 | 16,852,367 |
Average Settlement Value - Sold | 282,945 | 1,612,145 | 14,664,541 | 18,057,229 | 14,257,946 | 4,837,181 |
Ending Settlement Value - Purchased | 4,097,798 | 2,932,659 | 12,376,085 | 4,349,697 | 50,832 | 19,195,303 |
Ending Settlement Value - Sold | 686,427 | 6,448,581 | 7,559,061 | 2,986,843 | — | 8,140,035 |
Contracts for Difference: | ||||||
Average Notional Balance - Long | — | — | — | — | — | 1,200,904 |
Average Notional Balance - Short | — | — | — | — | — | 1,322,945 |
Ending Notional Balance - Long | — | — | — | — | — | 1,285,545 |
Ending Notional Balance - Short | — | — | — | — | — | 1,437,321 |
Total Return Swaps: | ||||||
Average Notional Balance - Pays Fixed Rate | — | — | 240,461 | — | — | — |
Inflation Swaps: | ||||||
Average Notional Balance - Pays Fixed Rate | — | — | 18,380,000 | — | — | — |
Morningstar International Equity Fund | Morningstar Global Income Fund | Morningstar Total Return Bond Fund | Morningstar Multisector Bond Fund | Morningstar Global Opportunistic Equity Fund | Morningstar Alternatives Fund | |
Inflation Swaps (continued): | ||||||
Average Notional Balance - Receives Fixed Rate | $— | $ — | $ 31,394,801 | $ — | $— | $ — |
Ending Notional Balance - Pays Fixed Rate | — | — | 21,010,000 | — | — | — |
Ending Notional Balance - Receives Fixed Rate | — | — | 30,572,370 | — | — | — |
Interest Rate Swaps: | ||||||
Average Notional Balance - Pays Fixed Rate | — | — | 95,559,590 | — | — | 27,037,414 |
Average Notional Balance - Receives Fixed Rate | — | — | 77,260,502 | — | — | 29,442,451 |
Ending Notional Balance - Pays Fixed Rate | — | — | 72,119,121 | — | — | 19,310,572 |
Ending Notional Balance - Receives Fixed Rate | — | — | 92,644,377 | — | — | 25,230,979 |
Credit Default Swaps: | ||||||
Average Notional Balance - Buy Protection | — | — | 6,016,316 | 1,911,262 | — | — |
Average Notional Balance - Sell Protection | — | — | 129,519,520 | — | — | 750,000 |
Ending Notional Balance - Buy Protection | — | — | 3,452,840 | 565,046 | — | — |
Ending Notional Balance - Sell Protection | — | — | 141,656,767 | — | — | 3,000,000 |
Options: | ||||||
Average Notional Balance - Purchased | — | 1,774,151 | 227,062,618 | — | — | 6,312,940 |
Average Notional Balance - Written | — | 250,000 | 194,877,585 | — | — | 2,596,999 |
Ending Notional Balance - Purchased | — | 7,096,604 | 43,106,883 | — | — | 1,638,582 |
Ending Notional Balance - Written | — | 1,000,000 | 173,495,475 | — | — | 991,567 |
Swaptions: | ||||||
Average Notional Balance - Purchased | — | — | 17,205,000 | — | — | — |
Average Notional Balance - Written | — | — | 29,151,000 | — | — | — |
Ending Notional Balance - Purchased | — | — | 64,820,000 | — | — | — |
Ending Notional Balance - Written | — | — | 64,820,000 | — | — | — |
Fund | Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) |
Morningstar U.S. Equity Fund | $1,330,395,522 | $232,840,537 | $ (84,478,833) | $148,361,704 |
Morningstar International Equity Fund | 972,214,821 | 82,388,426 | (127,817,826) | (45,429,400) |
Morningstar Global Income Fund | 265,802,563 | 7,068,171 | (16,670,761) | (9,602,590) |
Morningstar Total Return Bond Fund | 961,031,746 | 7,808,357 | (81,086,603) | (73,278,246) |
Morningstar Municipal Bond Fund | 401,204,926 | 747,496 | (19,996,837) | (19,249,341) |
Morningstar Defensive Bond Fund | 162,089,695 | 673,421 | (6,386,815) | (5,713,394) |
Morningstar Multisector Bond Fund | 149,832,174 | 1,049,255 | (16,937,467) | (15,888,212) |
Morningstar Global Opportunistic Equity Fund | 210,183,244 | 9,403,492 | (10,050,045) | (646,553) |
Morningstar Alternatives Fund | 379,263,581 | 9,972,047 | (24,150,201) | (14,178,154) |
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 | Total Accumulated Earnings |
Morningstar U.S. Equity Fund | $ — | $8,930,682 | $79,568,384 | $148,356,251 | $ — | $ 236,855,317 |
Morningstar International Equity Fund | — | 9,677,843 | 13,660,294 | (45,882,555) | — | (22,544,418) |
Morningstar Global Income Fund | — | — | 7,672,267 | (9,691,079) | (4,843,955) | (6,862,767) |
Morningstar Total Return Bond Fund | — | — | — | (73,320,841) | (29,549,275) | (102,870,116) |
Morningstar Municipal Bond Fund | 114,103 | — | — | (19,249,342) | (704,028) | (19,839,267) |
Morningstar Defensive Bond Fund | — | — | (1,564,896) | (5,713,394) | — | (7,278,290) |
Morningstar Multisector Bond Fund | — | — | — | (15,887,851) | (11,434,627) | (27,322,478) |
Morningstar Global Opportunistic Equity Fund | — | 1,369,590 | 276,622 | (669,396) | — | 976,816 |
Morningstar Alternatives Fund | — | 5,482,871 | 193,123 | (14,183,839) | — | (8,507,845) |
Fund | Accumulated Distributable Earnings (Losses) | Paid-in Capital |
Morningstar Defensive Bond Fund | $262,291 | $(262,291) |
Fiscal Year Ended April 30, 2022 | |||||
Fund | Tax-Exempt Income | Ordinary Income | Capital Gains | Return of Capital | Total Distributions Paid |
Morningstar U.S. Equity Fund | $ — | $110,198,770 | $128,287,273 | $ — | $238,486,043 |
Morningstar International Equity Fund | — | 45,662,593 | 96,994,386 | — | 142,656,979 |
Morningstar Global Income Fund | — | 14,947,148 | 13,613,661 | — | 28,560,809 |
Morningstar Total Return Bond Fund | — | 13,881,661 | 4,639,870 | — | 18,521,531 |
Morningstar Municipal Bond Fund | 6,838,232 | 64,365 | 241,086 | — | 7,143,683 |
Morningstar Defensive Bond Fund | — | 4,600,989 | 785,732 | 262,291 | 5,649,012 |
Morningstar Multisector Bond Fund | — | 8,172,757 | 1,078,319 | — | 9,251,076 |
Morningstar Global Opportunistic Equity Fund | — | 14,334,709 | 25,786,433 | — | 40,121,142 |
Fiscal Year Ended April 30, 2022 | |||||
Fund | Tax-Exempt Income | Ordinary Income | Capital Gains | Return of Capital | Total Distributions Paid |
Morningstar Alternatives Fund | $— | $13,669,424 | $2,977,689 | $— | $16,647,113 |
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 Global Opportunistic Equity Fund | — | 5,273,247 | 33,568 | 5,306,815 |
Morningstar Alternatives Fund | — | 6,558,211 | 726,324 | 7,284,535 |
Fund | |
Morningstar Global Income Fund | $ 4,843,955 |
Morningstar Total Return Bond Fund | 29,549,275 |
Morningstar Municipal Bond Fund | 704,028 |
Morningstar Multisector Bond Fund | 11,434,627 |
Fund | Number of Shareholders | % Ownership1 |
Morningstar U.S. Equity Fund | 5 | 99% |
Morningstar International Equity Fund | 5 | 99% |
Morningstar Global Income Fund | 5 | 99% |
Morningstar Total Return Bond Fund | 5 | 99% |
Morningstar Municipal Bond Fund | 5 | 98% |
Morningstar Defensive Bond Fund | 4 | 94% |
Morningstar Multisector Bond Fund | 5 | 99% |
Morningstar Global Opportunistic Equity Fund | 5 | 99% |
Morningstar Alternatives Fund | 5 | 99% |
1Includes omnibus positions of broker-dealers representing numerous shareholder accounts. |
Chicago, Illinois
June 27, 2022
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 | 0.84% | $1,000.00 | $896.50 | $3.95 | $1,000.00 | $1,020.63 | $4.21 |
Morningstar International Equity Fund | 0.99 | 1,000.00 | 856.20 | 4.56 | 1,000.00 | 1,019.89 | 4.96 |
Morningstar Global Income Fund | 0.64 | 1,000.00 | 919.50 | 3.05 | 1,000.00 | 1,021.62 | 3.21 |
Morningstar Total Return Bond Fund | 0.52 | 1,000.00 | 889.10 | 2.44 | 1,000.00 | 1,022.22 | 2.61 |
Morningstar Municipal Bond Fund | 0.58 | 1,000.00 | 938.40 | 2.79 | 1,000.00 | 1,021.92 | 2.91 |
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 | $970.70 | $2.35 | $1,000.00 | $1,022.41 | $2.41 |
Morningstar Multisector Bond Fund | 0.79 | 1,000.00 | 897.90 | 3.72 | 1,000.00 | 1,020.88 | 3.96 |
Morningstar Global Opportunistic Equity Fund | 0.82 | 1,000.00 | 937.40 | 3.94 | 1,000.00 | 1,020.73 | 4.11 |
Morningstar Alternatives Fund | 1.16 | 1,000.00 | 983.10 | 5.70 | 1,000.00 | 1,019.04 | 5.81 |
* | Expenses are equal to the Fund's annualized expense ratios, multiplied by the average account value over the period, multiplied by [181/365] (to reflect the one-half year period). |
Fund | Long-Term Capital Gain | |
Morningstar U.S. Equity Fund | $79,568,384 | |
Morningstar International Equity Fund | 13,660,294 | |
Morningstar Global Income Fund | 7,672,267 | |
Morningstar Global Opportunistic Equity Fund | 276,622 | |
Morningstar Alternatives Fund | 193,123 |
Fund | Corporate DRD Percentage (%) | |
Morningstar U.S. Equity Fund | 6 | |
Morningstar International Equity Fund | —* | |
Morningstar Global Income Fund | 4 | |
Morningstar Defensive Bond Fund | 13 | |
Morningstar Multisector Bond Fund | —* | |
Morningstar Global Opportunistic Equity Fund | 1 | |
Morningstar Alternatives Fund | 2 |
Fund | QDI Percentage (%) | |
Morningstar U.S. Equity Fund | 7 | |
Morningstar International Equity Fund | 27 | |
Morningstar Global Income Fund | 39 | |
Morningstar Defensive Bond Fund | 13 | |
Morningstar Multisector Bond Fund | 1 | |
Morningstar Global Opportunistic Equity Fund | 15 | |
Morningstar Alternatives Fund | 3 |
Fund | Foreign Tax Credit | Foreign Source Income |
Morningstar International Equity Fund | $0.03 | $0.21 |
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 |
Linda D. Taylor (1952) | Trustee since April 2018 | Chairman and Chief Executive Officer of Clifford Swan Investment Counselors from 2010 to 2020 | 9 | San Pasqual Fiduciary Trust Company Since 2011 |
Barry P. Benjamin (1957) | Trustee since July 2018 | Affiliate Instructor at Loyola University, Maryland since 2020; Partner at PricewaterhouseCoopers LLP from 1991 to 2018; Global Asset and Wealth Management Sector Leader at PricewaterhouseCoopers LLP from 2010 to 2017 | 9 | None |
Timothy A. Reese (1964) | Trustee since June 2022 | CEO of Pennsylvania Municipal Retirement System since November 2020; CEO of Forge Intellectual Capital, LLC since October 2008; State Treasurer/CEO Commonwealth of Pennsylvania Treasury Department from 2015 to 2017 | 9 | Ben Franklin Technology Partners of Southeastern Pennsylvania since 2019; Radius Global Solutions, LLC since 2021; Innovate Capital, LLC since 2021 |
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 from 2013 to July 2021 | 9 | None |
Officers of the Trust | ||||
Tracy L. Dotolo (1976) | Principal Financial Officer and Treasurer since March 2018 | Senior Director at Foreside Fund Officer Services, LLC since May 2016 | N/A | N/A |
D. Scott Schilling (1960) | Chief Compliance Officer, Anti-Money Laundering Compliance Officer, and Secretary since March 2018 | Chief Compliance Officer at Morningstar Investment Management, LLC from January 2000 to November 2018; Chief Compliance Officer at Morningstar Investment Services LLC from July 2001 to November 2018; Chief Compliance Officer at Morningstar Research Services LLC from its inception in November 2016 to November 2018; Global Chief Compliance Officer at Morningstar, Inc. from July 2013 to October 2020 | N/A | N/A |
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 |
Jaime A. Dubon (1993) | Assistant Treasurer since June 2022 | Mutual Fund Accounting Manager at Morningstar Investment Management, LLC since June 2021; Senior Financial Reporting Analyst from September 2019 to June 2021 and Financial Reporting Analyst from August 2017 to August 2019 at Jackson National Asset Management, LLC; Senior Fund Accountant from April 2017 to August 2017 and Fund Accountant from January 2016 to April 2017 at Northern Trust Corporation | 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. |
Morningstar Funds Trust Privacy Policy (unaudited) | ||
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: | |
► | Your name, address, phone number, and email address; | |
► | Your social security number or other unique identifier; | |
► | Your account information, such as account balance and transactions (including account transaction history); | |
► | 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: | ||
► | sharing for affiliates’ everyday business purposes—information about your creditworthiness; | |
► | affiliates from using your information to market to you; |
► | 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. | ||
► | 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. | ||
► | 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. | ||
► | 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. |
Morningstar U.S. Equity Fund | Morningstar Municipal Bond Fund |
• ClearBridge Investments, LLC | • T. Rowe Price Associates, Inc. |
• Diamond Hill Capital Management, Inc. | • Allspring Global Investments, LLC |
• Easterly Investment Partners LLC | |
• Massachusetts Financial Services Company (d/b/a MFS Investment Management) | |
• Wasatch Advisors, Inc. | Morningstar Defensive Bond Fund |
• Westwood Management Corp. | • First Pacific Advisors, LP |
Morningstar Multisector Bond Fund | |
Morningstar International Equity Fund | • Franklin Advisers, Inc. ("Franklin")** |
• Harding Loevner LP | • Loomis, Sayles & Company, L.P. |
• Harris Associates L.P. | • TCW Investment Management Company LLC |
• Lazard Asset Management LLC | • Voya Investment Management Company, LLC |
• T. Rowe Price Associates, Inc | |
○ T. Rowe Price International Ltd | Morningstar Global Opportunistic Equity Fund |
○ T. Rowe Price Singapore Private Ltd | • Brandywine Global Investment Management, LLC ("Brandywine")** |
• Lazard Asset Management LLC | |
Morningstar Global Income Fund | |
• Cullen Capital Management, LLC | |
• Western Asset Management Company, LLC* | Morningstar Alternatives Fund |
• BlackRock Financial Management, Inc. | |
Morningstar Total Return Bond Fund | ○ Blackrock International Limited |
• BlackRock Financial Management, Inc. | • SSI Investment Management, LLC |
○ Blackrock International Limited | • Water Island Capital, LLC |
○ Blackrock (Singapore) Private Limited | |
• Western Asset Management Company, LLC | |
*All approvals occurred at the Board’s March 2022 meeting except that approval of Western Asset Management Company, LLC with respect to the Morningstar Global Income Fund was approved at the Board’s December 2021 meeting. | **Effective May 1, 2022, Franklin and Brandywine no longer serve as Subadviser to the respective Fund. |
○ | The Defensive 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 Municipal Bond Fund, U.S. Equity Fund, Total Return Bond Fund, and Global Opportunistic Equity Fund performed in the middle quintile of their categories (i.e., 3rd out of 5 performing quintiles); |
○ | The Alternatives Fund, Global Income Fund and International Equity Fund performed in the second-lowest performing quintile of their peer groups (i.e., 4th out of 5 performing quintiles); and |
○ | The Multisector Bond Fund performed in the lowest-performing quintile of its category (i.e., 5th out of 5 performing quintiles). |
legal residents of the United States or its territories through
model portfolios designed and maintained by a financial institution including the Adviser.
22 West Washington Street
Chicago, Illinois 60602
Three Canal Plaza, Suite 100
Portland, ME 04101
to access the Morningstar Funds Trust prospectus.
(b) | Not applicable. |
Item 2. Code of Ethics.
(a) | As of April 30, 2022, the registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (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. |
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 $415,000 in 2022 and $360,000 in 2021.
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 NONE in 2022 and NONE in 2021.
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 $193,925 in 2022 and $181,700 in 2021.
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 NONE in 2022 and NONE in 2021.
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 $193,925 in 2022 and $181,700 in 2021.
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. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment 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
By | /s/ Daniel E. Needham | |
Daniel E. Needham, President | ||
(Principal Executive Officer) |
Date: July 6, 2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By | /s/ Daniel E. Needham | |
Daniel E. Needham, President | ||
(Principal Executive Officer) |
Date: July 6, 2022
By | /s/ Tracy L. Dotolo | |
Tracy L. Dotolo, Treasurer | ||
(Principal Financial Officer) |
Date: July 6, 2022