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: October 31, 2022
Item 1. Reports to Stockholders.
(a) | Report pursuant to Rule 30e-1 |
S E M I - A N N U A L R E P O R T October 31, 2022 (unaudited) Morningstar Funds Trust Morningstar U.S. Equity Fund Morningstar International Equity Fund Morningstar Global Income Fund Morningstar Total Return Bond Fund Morningstar Municipal Bond Fund Morningstar Defensive Bond Fund Morningstar Multisector Bond Fund Morningstar Global Opportunistic Equity 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
General Information | |
Net Asset Value Per Share | $10.83 |
Total Net Assets (millions) | $1,372 |
Net Expense Ratio(a) | 0.85% |
Gross Expense Ratio(a) | 0.88% |
Portfolio Turnover Rate | 28% |
Number of Companies | 315 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Weighted Average Market Capitalization (billions) | $59.56 |
Price-to-Earnings Ratio(b) | 17.93 |
Ten Largest Equities (%)(c)(d)(e) | |
Microsoft Corp. | 3.6 |
Amazon.com, Inc. | 3.2 |
Apple, Inc. | 2.9 |
Alphabet, Inc., Class A | 2.1 |
Visa, Inc., Class A | 1.4 |
UnitedHealth Group, Inc. | 1.3 |
Thermo Fisher Scientific, Inc. | 1.1 |
Meta Platforms, Inc., Class A | 1.0 |
Dominion Energy, Inc. | 0.9 |
Palo Alto Networks, Inc. | 0.9 |
Sector Diversification (%)(c)(d) | |
Technology | 18.5 |
Financials | 11.9 |
Health Care | 11.6 |
Industrials | 11.2 |
Consumer Discretionary | 9.2 |
Communications | 6.6 |
Energy | 6.5 |
Consumer Staples | 5.6 |
Materials | 3.3 |
Utilities | 2.4 |
Real Estate | 2.3 |
General Information | |
Net Asset Value Per Share | $8.24 |
Total Net Assets (millions) | $760 |
Net Expense Ratio(a) | 1.00% |
Gross Expense Ratio(a) | 1.08% |
Portfolio Turnover Rate | 13% |
Number of Companies | 396 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Weighted Average Market Capitalization (billions) | $34.37 |
Price-to-Earnings Ratio(b) | 10.83 |
Countries Represented | 41 |
Emerging Markets(c)(d) | 27.0% |
Ten Largest Equities (%)(c)(d)(e) | |
Shell PLC | 1.7 |
Tencent Holdings Ltd. | 1.4 |
Allianz S.E. | 1.4 |
Samsung Electronics Co. Ltd. | 1.1 |
Alibaba Group Holding Ltd. | 1.1 |
BNP Paribas S.A. | 1.0 |
Intesa Sanpaolo S.p.A. (Vienna Exchange) | 1.0 |
Lloyds Banking Group PLC | 1.0 |
Roche Holding A.G. (Genusschein) | 1.0 |
Mercedes-Benz Group A.G. | 0.9 |
Sector Diversification (%)(c)(d) | |
Financials | 18.3 |
Industrials | 13.2 |
Consumer Discretionary | 13.0 |
Technology | 11.9 |
Consumer Staples | 8.9 |
Health Care | 8.2 |
Communications | 7.9 |
Materials | 6.6 |
Energy | 6.0 |
Utilities | 0.8 |
Real Estate | 0.7 |
Region Diversification (%)(c)(d) | |
Europe (excluding United Kingdom) | 31.7 |
Pacific (excluding Japan) | 25.7 |
Japan | 18.7 |
United Kingdom | 9.2 |
Latin America | 3.9 |
United States | 2.6 |
Canada | 2.1 |
Africa | 1.1 |
Middle East | 0.5 |
General Information | |
Net Asset Value Per Share | $8.81 |
Total Net Assets (millions) | $206 |
Net Expense Ratio(a) | 0.69% |
Gross Expense Ratio(a) | 0.69% |
Portfolio Turnover Rate | 24% |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Equity Portfolio (44.4%) | |
Number of Common Stocks | 120 |
Five Largest Sectors (%)(b)(c) | |
Financials | 8.9 |
Energy | 5.4 |
Consumer Staples | 4.9 |
Communications | 4.8 |
Health Care | 4.3 |
Ten Largest Equities (%)(b)(c)(d) | |
Raytheon Technologies Corp. | 2.2 |
Merck & Co., Inc. | 2.1 |
Zurich Insurance Group A.G. | 1.9 |
Novartis A.G. ADR | 1.9 |
OPAP S.A. | 1.9 |
PowerGrid Infrastructure Investment Trust | 1.9 |
TotalEnergies S.E. ADR | 1.8 |
Softbank Corp. | 1.7 |
Arca Continental S.A.B. de C.V. | 1.7 |
PLA Administradora Industrial S. de R.L. de C.V. | 1.7 |
Fixed Income Portfolio (42.7%) | |
Number of Issuers | 288 |
Sector Diversification (%)(b)(e) | |
Corporate | 10.8 |
Energy | 4.8 |
Asset Backed Securities | 4.5 |
Mortgage Securities | 4.4 |
Consumer Discretionary | 3.5 |
Government | 3.2 |
Industrials | 3.1 |
Financials | 2.3 |
Communications | 2.0 |
Materials | 1.6 |
Health Care | 1.0 |
Technology | 0.6 |
Consumer Staples | 0.4 |
Real Estate | 0.3 |
Utilities | 0.2 |
Five Largest Issuers (%)(b)(d)(e) | |
Energy Transfer L.P. | 2.6 |
Government of Indonesia | 0.9 |
U.S. Treasury | 0.8 |
BX Trust | 0.8 |
Freddie Mac - STACR | 0.6 |
Credit Quality (%)(b)(e)(f) | |
U.S. Treasury | 0.9 |
U.S. Agency | 0.9 |
AAA | 2.3 |
AA | 0.7 |
A | 0.5 |
BBB | 5.9 |
BB | 12.7 |
B | 11.8 |
CCC | 2.9 |
CC | 0.1 |
Not Rated | 4.0 |
General Information | |
Net Asset Value Per Share | $8.54 |
Total Net Assets (millions) | $718 |
Net Expense Ratio(a) | 0.55% |
Gross Expense Ratio(a) | 0.73% |
Portfolio Turnover Rate | 138% |
Number of Issuers | 489 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Effective Duration (years)(b) | 6.1 |
Non-USD Exposure(c)(d)(e) | 0.1% |
Five Largest Issuers (%)(c)(d)(f) | |
U.S. Treasury | 11.2 |
Federal National Mortgage Association | 9.7 |
Government National Mortgage Association | 5.7 |
Federal Home Loan Mortgage Corporation | 5.6 |
Fannie Mae or Freddie Mac | 2.4 |
Credit Quality (%)(c)(d)(g) | |
U.S. Treasury | 11.2 |
U.S. Agency | 24.4 |
AAA | 6.1 |
AA | 1.9 |
A | 11.0 |
BBB | 13.8 |
BB | 1.3 |
B | 0.1 |
CCC | 0.2 |
Not Rated | 1.0 |
Sector Diversification (%)(c)(d) | |
Mortgage Securities | 28.6 |
Government | 12.7 |
Financials | 7.7 |
Asset Backed Securities | 4.3 |
Energy | 3.7 |
Communications | 2.8 |
Technology | 2.3 |
Health Care | 1.8 |
Industrials | 1.8 |
Utilities | 1.3 |
Consumer Discretionary | 1.2 |
Materials | 1.1 |
Consumer Staples | 0.9 |
Real Estate | 0.6 |
Corporate | 0.2 |
Region Diversification (%)(c)(d) | |
United States | 62.3 |
Latin America | 4.3 |
Europe (excluding United Kingdom) | 1.4 |
Pacific (excluding Japan) | 1.3 |
United Kingdom | 0.6 |
Canada | 0.4 |
Middle East | 0.3 |
Africa | 0.2 |
Japan | 0.2 |
General Information | |
Net Asset Value Per Share | $9.46 |
Total Net Assets (millions) | $328 |
Net Expense Ratio(a) | 0.59% |
Gross Expense Ratio(a) | 0.66% |
Portfolio Turnover Rate | 12% |
Number of Issuers | 387 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Effective Duration (years)(b) | 4.9 |
Five Largest Issuers (%)(c)(d)(e) | |
Illinois State | 1.4 |
Maryland State Health & Higher Educational Facilities Authority Revenue | 1.2 |
California Health Facilities Financing Authority | 1.1 |
Port Authority of New York & New Jersey | 1.1 |
Michigan State Finance Authority Revenue | 1.0 |
Credit Quality (%)(c)(d)(f) | |
AAA | 6.1 |
AA | 31.5 |
A | 32.8 |
BBB | 13.4 |
BB | 2.3 |
B | 0.2 |
CCC | 0.1 |
Not Rated | 4.6 |
Sector Diversification (%)(c)(d) | |
General | 15.7 |
Medical | 14.8 |
Transportation | 10.8 |
General Obligation | 8.5 |
Airport | 7.4 |
Higher Education | 6.1 |
Development | 4.8 |
Education | 4.4 |
Water | 3.2 |
Multifamily Housing | 3.2 |
Power | 2.7 |
Nursing Home | 2.7 |
School District | 2.5 |
Utilities | 1.2 |
Housing | 1.0 |
Bond Banks | 0.5 |
Tobacco Settlement | 0.3 |
Student Loan | 0.3 |
Pollution | 0.3 |
Facilities | 0.2 |
Single Family Housing | 0.2 |
Government | 0.2 |
General Information | |
Net Asset Value Per Share | $9.33 |
Total Net Assets (millions) | $132 |
Net Expense Ratio(a) | 0.52% |
Gross Expense Ratio(a) | 0.68% |
Portfolio Turnover Rate | 4% |
Number of Issuers | 99 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Effective Duration (years)(b) | 1.9 |
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 |
Westlake Automobile Receivable | 1.5 |
Pretium Mortgage Credit Partne | 1.4 |
Credit Quality (%)(c)(d)(g) | |
U.S. Agency | 0.6 |
AAA | 15.2 |
AA | 2.4 |
A | 4.5 |
BBB | 1.4 |
BB | 1.9 |
B | 4.6 |
CCC | 0.1 |
Not Rated | 14.0 |
Sector Diversification (%)(c)(d) | |
Asset Backed Securities | 35.0 |
Corporate | 3.8 |
Mortgage Securities | 3.2 |
Financials | 1.3 |
Industrials | 0.6 |
Communications | 0.5 |
Consumer Discretionary | 0.3 |
Region Diversification (%)(c)(d) | |
United States | 34.7 |
Latin America | 9.2 |
Canada | 0.5 |
Europe (excluding United Kingdom) | 0.3 |
General Information | |
Net Asset Value Per Share | $8.22 |
Total Net Assets (millions) | $156 |
Net Expense Ratio(a) | 0.80% |
Gross Expense Ratio(a) | 0.93% |
Portfolio Turnover Rate | 68% |
Number of Issuers | 639 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Effective Duration (years)(b) | 5.6 |
Non-USD Exposure(c)(d)(e) | 20.7% |
Five Largest Issuers (%)(c)(d)(f) | |
Republic of South Africa | 2.8 |
Nota Do Tesouro Nacional | 2.6 |
Mexican Bonos Desarollo | 2.4 |
Government of Indonesia | 2.1 |
Thailand Government Bond | 1.9 |
Credit Quality (%)(c)(d)(g) | |
U.S. Treasury | 1.5 |
AAA | 0.2 |
AA | 4.0 |
A | 15.5 |
BBB | 26.1 |
BB | 25.0 |
B | 11.7 |
CCC | 2.8 |
C | 0.2 |
Not Rated | 7.5 |
Sector Diversification (%)(c)(d) | |
Government | 35.2 |
Financials | 11.1 |
Energy | 10.0 |
Communications | 8.4 |
Consumer Discretionary | 5.3 |
Utilities | 4.5 |
Health Care | 4.4 |
Industrials | 4.0 |
Technology | 3.8 |
Materials | 3.1 |
Consumer Staples | 2.1 |
Real Estate | 1.4 |
Mortgage Securities | 0.9 |
Asset Backed Securities | 0.3 |
Region Diversification (%)(c)(d) | |
United States | 44.4 |
Latin America | 16.4 |
Pacific (excluding Japan) | 13.0 |
Europe (excluding United Kingdom) | 6.4 |
Middle East | 5.9 |
Africa | 5.3 |
Canada | 1.5 |
United Kingdom | 1.0 |
Japan | 0.6 |
General Information | |
Net Asset Value Per Share | $8.71 |
Total Net Assets (millions) | $184 |
Net Expense Ratio(a) | 0.87% |
Gross Expense Ratio(a) | 0.87% |
Portfolio Turnover Rate | 29% |
Number of Companies | 233 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Weighted Average Market Capitalization (billions) | $47.11 |
Price-to-Earnings Ratio(b) | 11.90 |
Countries Represented | 24 |
Emerging Markets(c)(d) | 6.7% |
Ten Largest Equities (%)(b)(c)(d) | |
Omnicom Group, Inc. | 1.7 |
International Game Technology PLC | 1.7 |
CVS Health Corp. | 1.7 |
Tapestry, Inc. | 1.5 |
SES S.A. | 1.4 |
Alphabet, Inc., Class A | 1.3 |
Fresenius Medical Care A.G. & Co. KGaA | 1.3 |
Medtronic PLC | 1.3 |
Shell PLC | 1.3 |
Tencent Holdings Ltd. | 1.2 |
Sector Diversification (%)(b)(c) | |
Communications | 10.5 |
Health Care | 8.1 |
Consumer Discretionary | 7.8 |
Technology | 7.4 |
Industrials | 6.1 |
Financials | 5.6 |
Energy | 4.1 |
Consumer Staples | 2.4 |
Materials | 0.8 |
Utilities | 0.7 |
Real Estate | 0.1 |
General Information | |
Net Asset Value Per Share | $10.01 |
Total Net Assets (millions) | $342 |
Net Expense Ratio(a) | 1.36% |
Gross Expense Ratio(a) | 1.50% |
Portfolio Turnover Rate | 201% |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Allocation Strategy Type (%)(b) | |
Convertible Arbitrage | 22.4 |
Merger Arbitrage | 20.9 |
Multi-Strategy | 39.9 |
Short-term investments and ETFs | 16.8 |
Region Diversification (%)(c)(d) | |
United States | 74.0 |
Europe (excluding United Kingdom) | 2.5 |
Canada | 1.8 |
United Kingdom | 1.3 |
Pacific (excluding Japan) | 0.5 |
Japan | 0.5 |
Number of Shares | Value | ||
Common Stocks – 89.1% | |||
Aerospace & Defense – 2.2% | |||
Boeing (The) Co.* | 23,920 | $ 3,408,839 | |
General Dynamics Corp. | 15,477 | 3,866,155 | |
Lockheed Martin Corp. | 5,107 | 2,485,475 | |
Moog, Inc., Class A | 20,870 | 1,768,733 | |
Northrop Grumman Corp. | 13,942 | 7,654,297 | |
Raytheon Technologies Corp. | 116,315 | 11,028,988 | |
30,212,487 | |||
Apparel & Textile Products – 0.8% | |||
Hanesbrands, Inc.(a) | 186,876 | 1,274,494 | |
NIKE, Inc., Class B | 71,800 | 6,654,424 | |
Ralph Lauren Corp. | 21,673 | 2,008,870 | |
VF Corp. | 31,663 | 894,480 | |
10,832,268 | |||
Asset Management – 0.8% | |||
BlackRock, Inc. | 5,600 | 3,617,096 | |
Cohen & Steers, Inc. | 27,331 | 1,644,233 | |
Focus Financial Partners, Inc. Class A* | 43,195 | 1,502,754 | |
Hamilton Lane, Inc., Class A | 41,856 | 2,503,826 | |
KKR & Co., Inc. | 29,324 | 1,426,026 | |
10,693,935 | |||
Automotive – 1.1% | |||
Aptiv PLC* | 48,871 | 4,450,682 | |
BorgWarner, Inc. | 34,947 | 1,311,561 | |
Fox Factory Holding Corp.* | 14,100 | 1,238,685 | |
General Motors Co. | 134,581 | 5,282,304 | |
Holley, Inc.(a)* | 108,944 | 433,597 | |
Methode Electronics, Inc. | 19,931 | 821,755 | |
XPEL, Inc.* | 22,862 | 1,581,822 | |
15,120,406 | |||
Banking – 4.3% | |||
Atlantic Union Bankshares Corp. | 46,927 | 1,620,859 | |
Bank OZK | 136,444 | 5,864,363 | |
BankUnited, Inc. | 32,739 | 1,176,967 | |
BOK Financial Corp. | 16,796 | 1,850,751 | |
Citigroup, Inc. | 58,896 | 2,700,971 | |
City Holding Co. | 15,454 | 1,558,536 | |
Columbia Banking System, Inc. | 50,866 | 1,702,485 | |
First Republic Bank | 28,317 | 3,400,872 | |
JPMorgan Chase & Co. | 73,559 | 9,259,607 | |
PNC Financial Services Group (The), Inc. | 17,660 | 2,857,918 | |
Provident Financial Services, Inc. | 39,129 | 877,272 |
Number of Shares | Value | ||
Banking (Continued) | |||
Renasant Corp. | 42,913 | $ 1,732,398 | |
Sandy Spring Bancorp, Inc. | 43,564 | 1,543,908 | |
Seacoast Banking Corp. of Florida | 50,727 | 1,567,464 | |
SVB Financial Group* | 13,836 | 3,195,562 | |
Triumph Bancorp, Inc.* | 24,446 | 1,258,969 | |
Truist Financial Corp. | 201,612 | 9,030,201 | |
Veritex Holdings, Inc. | 50,697 | 1,601,011 | |
Webster Financial Corp. | 115,945 | 6,291,176 | |
59,091,290 | |||
Beverages – 1.6% | |||
Diageo PLC (United Kingdom) | 80,867 | 3,327,881 | |
Duckhorn Portfolio (The), Inc.* | 107,780 | 1,575,744 | |
Monster Beverage Corp.* | 107,992 | 10,121,010 | |
PepsiCo, Inc. | 16,897 | 3,068,157 | |
Primo Water Corp. | 242,037 | 3,531,320 | |
21,624,112 | |||
Biotechnology & Pharmaceuticals – 3.5% | |||
Elanco Animal Health, Inc.* | 174,069 | 2,295,970 | |
Intra-Cellular Therapies, Inc.* | 19,448 | 888,190 | |
Johnson & Johnson | 63,303 | 11,012,823 | |
Merck & Co., Inc. | 102,558 | 10,378,870 | |
Pfizer, Inc. | 132,096 | 6,149,069 | |
Roche Holding A.G. (Genusschein) | 2,979 | 988,427 | |
Viatris, Inc. | 643,608 | 6,519,749 | |
Zoetis, Inc. | 62,340 | 9,399,625 | |
47,632,723 | |||
Cable & Satellite – 0.9% | |||
Charter Communications, Inc., Class A* | 7,424 | 2,729,211 | |
Comcast Corp., Class A | 304,172 | 9,654,419 | |
12,383,630 | |||
Chemicals – 2.6% | |||
Ashland Global Holdings, Inc. | 36,509 | 3,830,524 | |
Balchem Corp. | 18,778 | 2,625,164 | |
Dow, Inc. | 43,661 | 2,040,715 | |
DuPont de Nemours, Inc. | 160,143 | 9,160,180 | |
Ecovyst, Inc.* | 91,581 | 911,231 | |
Innospec, Inc. | 27,379 | 2,737,626 | |
International Flavors & Fragrances, Inc. | 9,758 | 952,479 | |
PPG Industries, Inc. | 28,764 | 3,284,274 |
Number of Shares | Value | ||
Chemicals (Continued) | |||
Sherwin-Williams (The) Co. | 32,567 | $ 7,328,552 | |
Stepan Co. | 14,815 | 1,547,279 | |
Valvoline, Inc. | 45,326 | 1,330,771 | |
35,748,795 | |||
Commercial Support Services – 0.2% | |||
Legalzoom.com, Inc.(a)* | 90,293 | 835,210 | |
Stericycle, Inc.* | 22,551 | 1,005,324 | |
ZipRecruiter, Inc., Class A* | 75,742 | 1,270,193 | |
3,110,727 | |||
Containers & Packaging – 0.1% | |||
TriMas Corp. | 43,884 | 1,002,749 | |
Diversified Industrials – 2.0% | |||
Eaton Corp. PLC | 76,127 | 11,424,379 | |
General Electric Co. | 18,373 | 1,429,603 | |
Honeywell International, Inc. | 30,066 | 6,134,065 | |
Illinois Tool Works, Inc. | 19,428 | 4,148,461 | |
Parker-Hannifin Corp. | 13,816 | 4,015,206 | |
27,151,714 | |||
E-Commerce Discretionary – 3.4% | |||
Amazon.com, Inc.* | 433,820 | 44,440,521 | |
Sea Ltd. ADR (Singapore)* | 41,850 | 2,079,108 | |
46,519,629 | |||
Electric Utilities – 2.0% | |||
American Electric Power Co., Inc. | 16,346 | 1,437,140 | |
Avista Corp. | 38,304 | 1,571,613 | |
Dominion Energy, Inc. | 177,819 | 12,441,996 | |
Duke Energy Corp. | 52,307 | 4,873,966 | |
NorthWestern Corp.(a) | 30,068 | 1,588,493 | |
Southern (The) Co. | 66,863 | 4,378,189 | |
Xcel Energy, Inc. | 18,809 | 1,224,654 | |
27,516,051 | |||
Electrical Equipment – 1.4% | |||
Johnson Controls International PLC | 60,718 | 3,511,929 | |
Novanta, Inc.* | 16,129 | 2,280,641 | |
nVent Electric PLC | 192,990 | 7,044,135 | |
Otis Worldwide Corp. | 10,434 | 737,058 | |
Sensata Technologies Holding PLC | 63,816 | 2,566,041 | |
Trane Technologies PLC | 16,512 | 2,635,810 | |
18,775,614 |
Number of Shares | Value | ||
Engineering & Construction – 0.2% | |||
Comfort Systems USA, Inc. | 13,964 | $ 1,721,482 | |
Installed Building Products, Inc. | 10,852 | 933,272 | |
2,654,754 | |||
Entertainment Content – 0.6% | |||
Activision Blizzard, Inc. | 7,485 | 544,908 | |
Electronic Arts, Inc. | 6,657 | 838,516 | |
Walt Disney (The) Co.* | 60,975 | 6,496,276 | |
7,879,700 | |||
Food – 1.5% | |||
BellRing Brands, Inc.* | 69,371 | 1,680,166 | |
Hostess Brands, Inc.* | 61,396 | 1,625,766 | |
J&J Snack Foods Corp. | 11,499 | 1,697,367 | |
Lancaster Colony Corp. | 16,624 | 2,996,975 | |
Nestle S.A.(b) | 31,283 | 3,405,430 | |
Post Holdings, Inc.* | 53,331 | 4,822,189 | |
Seaboard Corp. | 1,302 | 4,877,787 | |
21,105,680 | |||
Forestry, Paper & Wood Products – 0.2% | |||
Trex Co., Inc.* | 56,177 | 2,701,552 | |
UFP Industries, Inc. | 10,517 | 749,126 | |
3,450,678 | |||
Gas & Water Utilities – 0.4% | |||
South Jersey Industries, Inc. | 79,562 | 2,758,415 | |
UGI Corp. | 89,559 | 3,164,119 | |
5,922,534 | |||
Health Care Facilities & Services – 3.1% | |||
Cigna Corp. | 23,696 | 7,655,230 | |
Ensign Group (The), Inc. | 35,859 | 3,219,421 | |
ICON PLC* | 12,361 | 2,445,500 | |
Laboratory Corp. of America Holdings | 12,271 | 2,722,444 | |
McKesson Corp. | 10,882 | 4,237,124 | |
Medpace Holdings, Inc.* | 15,149 | 3,362,775 | |
Patterson Cos., Inc. | 57,103 | 1,482,965 | |
UnitedHealth Group, Inc. | 31,218 | 17,330,673 | |
42,456,132 | |||
Home & Office Products – 0.3% | |||
Steelcase, Inc., Class A | 483,352 | 3,755,645 | |
Home Construction – 0.6% | |||
Century Communities, Inc. | 32,516 | 1,447,287 | |
Masco Corp. | 31,022 | 1,435,388 | |
Masonite International Corp.* | 20,865 | 1,492,473 | |
NVR, Inc.* | 934 | 3,958,059 | |
8,333,207 |
Number of Shares | Value | ||
Household Products – 1.0% | |||
Central Garden & Pet Co., Class A* | 41,233 | $ 1,613,860 | |
Kimberly-Clark Corp. | 16,513 | 2,055,208 | |
Reckitt Benckiser Group PLC (United Kingdom) | 17,214 | 1,142,390 | |
Unilever PLC ADR (United Kingdom) | 196,322 | 8,934,614 | |
13,746,072 | |||
Industrial Intermediate Products – 0.4% | |||
AZZ, Inc. | 19,739 | 793,508 | |
Janus International Group, Inc.* | 121,189 | 1,167,050 | |
RBC Bearings, Inc.* | 13,152 | 3,334,426 | |
5,294,984 | |||
Industrial Support Services – 1.1% | |||
W.W. Grainger, Inc. | 16,199 | 9,465,886 | |
WESCO International, Inc.* | 46,261 | 6,373,378 | |
15,839,264 | |||
Institutional Financial Services – 2.0% | |||
Goldman Sachs Group (The), Inc. | 32,201 | 11,093,567 | |
Moelis & Co., Class A | 71,676 | 3,043,363 | |
Morgan Stanley | 84,187 | 6,917,646 | |
Nasdaq, Inc. | 78,071 | 4,859,139 | |
Piper Sandler Cos. | 12,751 | 1,631,745 | |
27,545,460 | |||
Insurance – 4.3% | |||
American International Group, Inc. | 193,299 | 11,018,043 | |
AMERISAFE, Inc. | 17,913 | 1,046,298 | |
Aon PLC, Class A | 20,691 | 5,824,310 | |
Berkshire Hathaway, Inc., Class B* | 14,374 | 4,241,624 | |
Brighthouse Financial, Inc.* | 33,309 | 1,900,945 | |
Chubb Ltd. | 27,978 | 6,012,192 | |
Enstar Group Ltd.* | 4,588 | 919,986 | |
Goosehead Insurance, Inc., Class A(a)* | 18,243 | 757,267 | |
Hagerty, Inc., Class A(a)* | 30,670 | 278,790 | |
Hartford Financial Services Group (The), Inc. | 31,913 | 2,310,820 | |
Loews Corp. | 28,035 | 1,598,556 | |
Marsh & McLennan Cos., Inc. | 57,076 | 9,217,203 | |
Progressive (The) Corp. | 46,458 | 5,965,207 | |
RenaissanceRe Holdings Ltd. | 6,066 | 938,289 |
Number of Shares | Value | ||
Insurance (Continued) | |||
Travelers (The) Cos., Inc. | 21,512 | $ 3,968,104 | |
Willis Towers Watson PLC | 12,244 | 2,671,763 | |
58,669,397 | |||
Internet Media & Services – 4.1% | |||
Alphabet, Inc., Class A* | 303,590 | 28,692,291 | |
Meta Platforms, Inc., Class A* | 146,546 | 13,652,225 | |
Netflix, Inc.* | 31,751 | 9,267,482 | |
Uber Technologies, Inc.* | 177,379 | 4,712,960 | |
56,324,958 | |||
Leisure Facilities & Services – 1.0% | |||
Chuy's Holdings, Inc.* | 34,986 | 1,025,090 | |
Marriott International, Inc., Class A | 17,817 | 2,852,680 | |
Papa John's International, Inc. | 21,020 | 1,526,683 | |
Red Rock Resorts, Inc., Class A | 147,790 | 6,155,453 | |
Vail Resorts, Inc. | 8,666 | 1,898,980 | |
13,458,886 | |||
Leisure Products – 0.2% | |||
Mattel, Inc.* | 96,779 | 1,834,930 | |
YETI Holdings, Inc.* | 37,568 | 1,205,181 | |
3,040,111 | |||
Machinery – 1.3% | |||
Alamo Group, Inc. | 10,019 | 1,523,690 | |
Albany International Corp., Class A | 16,418 | 1,504,217 | |
Enovis Corp.(a)* | 55,940 | 2,766,233 | |
Esab Corp. | 66,007 | 2,462,061 | |
Federal Signal Corp. | 37,033 | 1,727,589 | |
Helios Technologies, Inc. | 32,395 | 1,836,473 | |
Kadant, Inc. | 16,084 | 2,862,148 | |
Kornit Digital Ltd. (Israel)* | 29,246 | 781,453 | |
Regal Rexnord Corp. | 10,080 | 1,275,523 | |
Stanley Black & Decker, Inc. | 15,076 | 1,183,315 | |
17,922,702 | |||
Machinery - Diversified – 0.5% | |||
Altra Industrial Motion Corp. | 105,512 | 6,345,492 | |
Medical Equipment & Devices – 5.1% | |||
Abbott Laboratories | 35,830 | 3,545,020 | |
Alcon, Inc. (Switzerland)(a) | 89,214 | 5,413,505 | |
Avanos Medical, Inc.* | 36,227 | 802,428 | |
Bio-Rad Laboratories, Inc., Class A* | 26,311 | 9,253,842 | |
Boston Scientific Corp.* | 129,947 | 5,602,015 |
Number of Shares | Value | ||
Medical Equipment & Devices (Continued) | |||
CONMED Corp. | 18,883 | $ 1,505,542 | |
Danaher Corp. | 8,075 | 2,032,235 | |
Dexcom, Inc.* | 64,700 | 7,814,466 | |
Intuitive Surgical, Inc.* | 28,660 | 7,063,830 | |
Medtronic PLC | 34,485 | 3,011,920 | |
Merit Medical Systems, Inc.* | 25,623 | 1,762,094 | |
Neogen Corp.* | 139,216 | 1,837,651 | |
Stryker Corp. | 22,200 | 5,089,128 | |
Thermo Fisher Scientific, Inc. | 29,275 | 15,046,472 | |
69,780,148 | |||
Metals & Mining – 0.4% | |||
Encore Wire Corp. | 5,763 | 792,931 | |
Freeport-McMoRan, Inc. | 118,037 | 3,740,593 | |
Livent Corp.* | 25,364 | 800,741 | |
5,334,265 | |||
Oil & Gas Producers – 6.5% | |||
Antero Midstream Corp. | 146,471 | 1,559,916 | |
Brigham Minerals, Inc., Class A | 48,840 | 1,514,040 | |
Cheniere Energy, Inc. | 48,463 | 8,549,358 | |
Chesapeake Energy Corp.(a) | 23,207 | 2,373,380 | |
Chord Energy Corp. | 9,945 | 1,522,480 | |
ConocoPhillips | 47,351 | 5,970,487 | |
Coterra Energy, Inc.(a) | 119,654 | 3,724,829 | |
Enbridge, Inc. (Canada) | 199,358 | 7,767,404 | |
EOG Resources, Inc. | 18,761 | 2,561,252 | |
Equitrans Midstream Corp. | 256,792 | 2,162,189 | |
Exxon Mobil Corp. | 52,484 | 5,815,752 | |
Hess Corp. | 49,270 | 6,951,012 | |
Kinder Morgan, Inc. | 370,686 | 6,716,830 | |
Northern Oil and Gas, Inc. | 41,068 | 1,402,061 | |
ONEOK, Inc. | 69,639 | 4,130,985 | |
Pembina Pipeline Corp. (Canada) | 62,320 | 2,057,587 | |
Pioneer Natural Resources Co. | 39,218 | 10,055,887 | |
Targa Resources Corp. | 27,207 | 1,860,143 | |
TC Energy Corp. (Canada) | 134,486 | 5,907,177 | |
Williams (The) Cos., Inc. | 184,048 | 6,023,891 | |
88,626,660 | |||
Publishing & Broadcasting – 0.1% | |||
Liberty Media Corp.-Liberty Formula One, Class C* | 29,499 | 1,702,977 | |
Real Estate Investment Trusts – 2.1% | |||
Community Healthcare Trust, Inc. | 9,988 | 345,585 |
Number of Shares | Value | ||
Real Estate Investment Trusts (Continued) | |||
Corporate Office Properties Trust | 65,671 | $ 1,750,132 | |
CubeSmart | 101,205 | 4,237,453 | |
Douglas Emmett, Inc. | 50,902 | 895,366 | |
Easterly Government Properties, Inc. | 47,225 | 821,243 | |
Equinix, Inc. | 8,529 | 4,831,167 | |
Four Corners Property Trust, Inc. | 59,097 | 1,514,065 | |
National Storage Affiliates Trust | 30,248 | 1,290,380 | |
Plymouth Industrial REIT, Inc. | 82,751 | 1,525,928 | |
PotlatchDeltic Corp. | 16,991 | 755,930 | |
Prologis, Inc. | 14,902 | 1,650,397 | |
Public Storage | 3,450 | 1,068,638 | |
Rayonier, Inc. | 53,990 | 1,819,463 | |
Ryman Hospitality Properties, Inc. | 23,020 | 2,046,938 | |
Sunstone Hotel Investors, Inc. | 69,748 | 777,690 | |
UDR, Inc. | 15,649 | 622,204 | |
Urban Edge Properties | 106,665 | 1,506,110 | |
Weyerhaeuser Co. | 54,308 | 1,679,746 | |
29,138,435 | |||
Real Estate Owners & Developers – 0.1% | |||
Radius Global Infrastructure, Inc. Class A* | 100,094 | 935,879 | |
Real Estate Services – 0.1% | |||
Jones Lang LaSalle, Inc.* | 6,905 | 1,098,517 | |
Retail - Consumer Staples – 1.2% | |||
Five Below, Inc.(a)* | 20,254 | 2,964,173 | |
Koninklijke Ahold Delhaize N.V. ADR (Netherlands) | 161,301 | 4,501,911 | |
Ollie's Bargain Outlet Holdings, Inc.* | 22,112 | 1,238,272 | |
Target Corp. | 19,565 | 3,213,551 | |
Walmart, Inc. | 36,088 | 5,136,405 | |
17,054,312 | |||
Retail - Discretionary – 1.7% | |||
Academy Sports & Outdoors, Inc.(a) | 25,654 | 1,129,546 | |
Advance Auto Parts, Inc. | 37,171 | 7,059,516 | |
Floor & Decor Holdings, Inc., Class A* | 20,539 | 1,506,946 | |
Freshpet, Inc.* | 18,376 | 1,083,265 | |
Lowe's Cos., Inc. | 25,121 | 4,897,339 | |
Mister Car Wash, Inc.(a)* | 95,073 | 839,495 |
Number of Shares | Value | ||
Retail - Discretionary (Continued) | |||
Monro, Inc. | 33,287 | $ 1,589,454 | |
Tractor Suppy Co. | 24,370 | 5,355,795 | |
23,461,356 | |||
Semiconductors – 2.7% | |||
Analog Devices, Inc. | 11,811 | 1,684,485 | |
ASML Holding N.V. (Netherlands)(b) | 10,920 | 5,158,826 | |
Intel Corp. | 111,200 | 3,161,416 | |
KLA Corp. | 8,323 | 2,633,813 | |
Micron Technology, Inc. | 36,518 | 1,975,624 | |
Monolithic Power Systems, Inc. | 3,435 | 1,166,011 | |
NVIDIA Corp. | 73,968 | 9,983,461 | |
NXP Semiconductors N.V. (China) | 22,701 | 3,316,162 | |
Rambus, Inc.* | 54,623 | 1,647,430 | |
Texas Instruments, Inc. | 36,930 | 5,932,066 | |
36,659,294 | |||
Software – 7.9% | |||
Adobe, Inc.* | 16,306 | 5,193,461 | |
Atlassian Corp., Class A* | 27,180 | 5,510,201 | |
Check Point Software Technologies Ltd. (Israel)* | 33,318 | 4,305,685 | |
Clearwater Analytics Holdings, Inc., Class A(a)* | 96,036 | 1,564,427 | |
CyberArk Software Ltd.* | 14,135 | 2,217,923 | |
Five9, Inc.* | 21,295 | 1,283,237 | |
Guidewire Software, Inc.* | 25,196 | 1,496,894 | |
Microsoft Corp. | 211,461 | 49,086,442 | |
Palo Alto Networks, Inc.* | 71,277 | 12,230,421 | |
Paylocity Holding Corp.* | 9,470 | 2,195,051 | |
Q2 Holdings, Inc.* | 29,781 | 924,402 | |
Salesforce, Inc.* | 58,578 | 9,524,197 | |
Splunk, Inc.* | 52,357 | 4,351,390 | |
SS&C Technologies Holdings, Inc. | 53,937 | 2,773,441 | |
Unity Software, Inc.(a)* | 37,500 | 1,106,250 | |
Workday, Inc., Class A* | 31,260 | 4,870,933 | |
108,634,355 | |||
Specialty Finance – 0.5% | |||
American Express Co. | 25,562 | 3,794,680 | |
Discover Financial Services | 9,048 | 945,154 | |
Mr. Cooper Group, Inc.(a)* | 53,137 | 2,098,380 | |
6,838,214 | |||
Technology Hardware – 3.9% | |||
ADTRAN Holdings, Inc. | 39,136 | 878,995 | |
Apple, Inc. | 257,909 | 39,547,766 | |
Ciena Corp.* | 34,607 | 1,657,675 | |
Cisco Systems, Inc. | 147,624 | 6,706,558 |
Number of Shares | Value | ||
Technology Hardware (Continued) | |||
Fabrinet (Thailand)* | 14,494 | $ 1,658,114 | |
Telefonaktiebolaget LM Ericsson ADR (Sweden) | 305,769 | 1,703,133 | |
Viavi Solutions, Inc.* | 115,430 | 1,742,993 | |
53,895,234 | |||
Technology Services – 4.0% | |||
Accenture PLC, Class A | 17,317 | 4,916,296 | |
Cognizant Technology Solutions Corp., Class A | 31,320 | 1,949,670 | |
Equifax, Inc. | 15,936 | 2,701,789 | |
Euronet Worldwide, Inc.* | 14,118 | 1,186,053 | |
Globant S.A.* | 11,657 | 2,199,443 | |
HealthEquity, Inc.* | 38,782 | 3,021,506 | |
Moody's Corp. | 6,332 | 1,677,157 | |
Open Lending Corp., Class A* | 98,845 | 708,719 | |
PayPal Holdings, Inc.* | 88,901 | 7,430,345 | |
Repay Holdings Corp.* | 116,911 | 711,988 | |
S&P Global, Inc. | 28,028 | 9,003,995 | |
Visa, Inc., Class A(a) | 95,148 | 19,710,860 | |
55,217,821 | |||
Telecommunications – 0.9% | |||
T-Mobile U.S., Inc.* | 8,026 | 1,216,421 | |
Verizon Communications, Inc. | 160,274 | 5,989,439 | |
Vodafone Group PLC ADR (United Kingdom) | 491,606 | 5,805,867 | |
13,011,727 | |||
Transportation & Logistics – 1.8% | |||
Alaska Air Group, Inc.* | 50,091 | 2,227,046 | |
Allegiant Travel Co.* | 9,875 | 741,119 | |
Canadian National Railway Co. (Canada) | 13,347 | 1,580,819 | |
Delta Air Lines, Inc.* | 86,480 | 2,934,266 | |
Kirby Corp.* | 37,092 | 2,587,167 | |
Saia, Inc.* | 8,003 | 1,591,477 | |
Union Pacific Corp. | 21,953 | 4,327,814 | |
United Parcel Service, Inc., Class B | 49,035 | 8,226,602 | |
24,216,310 | |||
Transportation Equipment – 0.1% | |||
PACCAR, Inc. | 16,580 | 1,605,441 | |
Wholesale - Consumer Staples – 0.2% | |||
Archer-Daniels-Midland Co. | 27,865 | 2,702,348 |
Number of Shares | Value | ||
Wholesale - Discretionary – 0.1% | |||
Pool Corp. | 6,916 | $ 2,104,055 | |
Total Common Stocks (Cost $1,171,913,110) | 1,223,179,134 | ||
Master Limited Partnerships – 1.6% | |||
Oil & Gas Producers – 1.6% | |||
Energy Transfer L.P. | 425,051 | 5,427,901 | |
Enterprise Products Partners L.P. | 334,969 | 8,457,967 | |
Magellan Midstream Partners L.P. | 55,545 | 2,996,653 | |
MPLX L.P. | 83,163 | 2,789,287 | |
Plains All American Pipeline L.P. | 227,296 | 2,720,733 | |
Total Master Limited Partnerships (Cost $21,212,424) | 22,392,541 | ||
Investment Companies – 8.1% | |||
Vanguard Consumer Staples ETF | 193,122 | 36,299,211 | |
Vanguard Financials ETF(a) | 187,564 | 15,657,843 | |
Vanguard Health Care ETF(a) | 241,156 | 58,608,143 | |
Total Investment Companies (Cost $97,873,782) | 110,565,197 |
Par/Number of Shares | Value | ||
Short-Term Investments – 2.4% | |||
Money Market Funds – 2.4% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 3.08%(c)(d) | 14,851,612 | $ 14,851,612 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 2.48%(c) | 18,348,616 | 18,348,616 | |
Total Short-Term Investments (Cost $33,200,228) | 33,200,228 | ||
Total Investments – 101.2% (Cost $1,324,199,544) | 1,389,337,100 | ||
Liabilities less Other Assets – (1.2)% | (16,837,506) | ||
NET ASSETS – 100.0% | $1,372,499,594 |
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 October 31, 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 |
Morningstar U.S. Equity Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Common Stocks | 1,214,315,006 | $8,864,128 | $— | 1,223,179,134 |
Master Limited Partnerships | 22,392,541 | — | — | 22,392,541 |
Investment Companies | 110,565,197 | — | — | 110,565,197 |
Short-Term Investments | 33,200,228 | — | — | 33,200,228 |
Total Investments | $1,380,472,972 | $8,864,128 | $— | $1,389,337,100 |
Number of Shares | Value | ||
Common Stocks – 95.1% | |||
Advertising & Marketing – 1.1% | |||
Dentsu Group, Inc. (Japan) | 20,894 | $ 649,874 | |
Publicis Groupe S.A. (France) | 75,300 | 4,217,131 | |
WPP PLC (United Kingdom) | 422,861 | 3,721,241 | |
8,588,246 | |||
Aerospace & Defense – 0.2% | |||
BAE Systems PLC (United Kingdom) | 100,595 | 940,922 | |
Rolls-Royce Holdings PLC (United Kingdom)(a)* | 822,536 | 737,703 | |
1,678,625 | |||
Apparel & Textile Products – 1.7% | |||
adidas A.G. (Germany) | 41,200 | 4,021,743 | |
Cie Financiere Richemont S.A., Class A (Switzerland)(a)(b) | 13,180 | 1,288,128 | |
Kering S.A. (France) | 11,695 | 5,355,858 | |
Swatch Group (The) A.G. (Bearer) (Switzerland)(a) | 8,550 | 1,921,266 | |
12,586,995 | |||
Asset Management – 1.6% | |||
EXOR N.V. (Netherlands)* | 78,200 | 5,255,118 | |
HDFC Asset Management Co. Ltd. (India)(c) | 15,188 | 381,169 | |
Sanlam Ltd. (South Africa) | 221,435 | 645,470 | |
Schroders PLC (United Kingdom)(a) | 866,540 | 3,890,774 | |
St. James's Place PLC (United Kingdom) | 39,225 | 478,999 | |
XP, Inc., Class A (Brazil)(a)* | 86,245 | 1,580,871 | |
12,232,401 | |||
Automotive – 5.6% | |||
Bajaj Auto Ltd. (India) | 13,434 | 596,507 | |
Bayerische Motoren Werke A.G. (Germany) | 83,220 | 6,532,100 | |
Bridgestone Corp. (Japan) | 66,700 | 2,412,302 | |
Continental A.G. (Germany) | 107,975 | 5,592,640 | |
Denso Corp. (Japan) | 24,000 | 1,190,782 | |
Fuyao Glass Industry Group Co. Ltd., Class A (China) | 171,500 | 781,760 | |
Honda Motor Co. Ltd. (Japan) | 144,300 | 3,290,397 | |
Huayu Automotive Systems Co. Ltd., Class A (China) | 215,500 | 492,763 | |
Hyundai Mobis Co. Ltd. (South Korea) | 4,943 | 758,154 |
Number of Shares | Value | ||
Automotive (Continued) | |||
Kia Corp. (South Korea) | 11,511 | $ 534,926 | |
Li Auto, Inc. ADR (China)* | 14,000 | 190,680 | |
Li Auto, Inc., Class A (China)(a)* | 3,000 | 20,608 | |
Maruti Suzuki India Ltd. (India) | 5,138 | 592,362 | |
Mercedes-Benz Group A.G. (Germany) | 122,390 | 7,084,128 | |
Nissan Motor Co. Ltd. (Japan) | 313,576 | 999,462 | |
Stanley Electric Co. Ltd. (Japan) | 64,500 | 1,096,532 | |
Sumitomo Electric Industries Ltd. (Japan) | 58,900 | 615,524 | |
Toyota Motor Corp. (Japan) | 472,300 | 6,552,979 | |
Valeo (France) | 198,994 | 3,278,027 | |
42,612,633 | |||
Banking – 11.0% | |||
Al Rajhi Bank (Saudi Arabia)* | 6,801 | 154,219 | |
Axis Bank Ltd. (India) | 230,011 | 2,522,410 | |
Banco Bilbao Vizcaya Argentaria S.A. (Spain) | 556,719 | 2,871,999 | |
Banco do Brasil S.A. (Brazil) | 190,900 | 1,369,986 | |
Bank Central Asia Tbk PT (Indonesia) | 1,223,400 | 691,561 | |
Bank Mandiri Persero Tbk PT (Indonesia) | 2,151,700 | 1,453,589 | |
Barclays PLC (United Kingdom) | 313,999 | 533,564 | |
BDO Unibank, Inc. (Philippines) | 41,910 | 92,637 | |
BNP Paribas S.A. (France) | 164,505 | 7,714,284 | |
Capitec Bank Holdings Ltd. (South Africa) | 5,129 | 531,092 | |
China Construction Bank Corp., Class H (China) | 3,947,000 | 2,094,627 | |
China Merchants Bank Co. Ltd., Class H (China) | 144,113 | 471,812 | |
Commercial International Bank Egypt S.A.E. GDR (Egypt)(b) | 601,988 | 763,959 | |
Credicorp Ltd. (Peru) | 2,116 | 309,698 | |
DBS Group Holdings Ltd. (Singapore) | 259,952 | 6,284,682 | |
First Abu Dhabi Bank PJSC (United Arab Emirates) | 181,888 | 887,024 | |
FirstRand Ltd. (South Africa) | 145,297 | 507,956 | |
Grupo Financiero Banorte S.A.B. de C.V., Class O (Mexico) | 218,693 | 1,780,295 |
Number of Shares | Value | ||
Banking (Continued) | |||
HDFC Bank Ltd. (India) | 71,136 | $ 1,291,009 | |
HDFC Bank Ltd. ADR (India) | 42,799 | 2,666,806 | |
HSBC Holdings PLC (United Kingdom) | 402,508 | 2,065,693 | |
ICICI Bank Ltd. ADR (India) | 216,734 | 4,776,817 | |
Intesa Sanpaolo S.p.A. (Vienna Exchange) (Italy) | 4,011,000 | 7,647,094 | |
Kasikornbank PCL (Thailand)(b) | 128,900 | 496,007 | |
KB Financial Group, Inc. (South Korea) | 34,443 | 1,158,975 | |
Kotak Mahindra Bank Ltd. (India) | 88,586 | 2,039,702 | |
Lloyds Banking Group PLC (United Kingdom) | 15,456,706 | 7,423,361 | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | 350,300 | 1,654,765 | |
Mizuho Financial Group, Inc. (Japan) | 55,000 | 594,851 | |
NatWest Group PLC (United Kingdom) | 142,426 | 383,597 | |
Nedbank Group Ltd. (South Africa) | 114,237 | 1,353,026 | |
OTP Bank Nyrt. (Hungary) | 70,344 | 1,534,613 | |
Powszechna Kasa Oszczednosci Bank Polski S.A. (Poland) | 62,731 | 341,845 | |
Qatar National Bank QPSC (Qatar) | 177,994 | 974,633 | |
Resona Holdings, Inc. (Japan) | 193,800 | 730,423 | |
Saudi British Bank (The) (Saudi Arabia) | 4,234 | 49,045 | |
Saudi National Bank (The) (Saudi Arabia) | 53,449 | 844,774 | |
Sberbank of Russia PJSC (Russia)(d)* | 405,212 | 0 | |
Shinhan Financial Group Co. Ltd. (South Korea) | 40,443 | 1,027,922 | |
Skandinaviska Enskilda Banken AB, Class A (Sweden) | 456,069 | 4,808,515 | |
Standard Bank Group Ltd. (South Africa) | 88,102 | 822,453 | |
Standard Chartered PLC (United Kingdom) | 493,983 | 2,951,422 | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | 104,100 | 2,923,291 | |
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 61,400 | 1,766,418 | |
83,362,451 | |||
Beverages – 2.2% | |||
Ambev S.A. ADR (Brazil) | 898,773 | 2,732,270 |
Number of Shares | Value | ||
Beverages (Continued) | |||
Anheuser-Busch InBev S.A./N.V. (Belgium) | 82,100 | $ 4,106,676 | |
Asahi Group Holdings Ltd. (Japan) | 18,400 | 514,846 | |
Budweiser Brewing Co. APAC Ltd. (China)(c) | 544,500 | 1,146,022 | |
Diageo PLC (United Kingdom) | 47,204 | 1,942,563 | |
Fomento Economico Mexicano S.A.B. de C.V. ADR (Mexico) | 49,710 | 3,560,230 | |
Kirin Holdings Co. Ltd. (Japan) | 121,700 | 1,788,982 | |
Nongfu Spring Co. Ltd., Class H (China)(c) | 30,000 | 150,687 | |
Tingyi Cayman Islands Holding Corp. (China) | 620,000 | 969,121 | |
16,911,397 | |||
Biotechnology & Pharmaceuticals – 4.7% | |||
Astellas Pharma, Inc. (Japan) | 90,400 | 1,247,356 | |
AstraZeneca PLC (United Kingdom) | 28,402 | 3,332,469 | |
Bayer A.G. (Germany)(b) | 108,860 | 5,723,976 | |
China Medical System Holdings Ltd. (China) | 435,000 | 475,422 | |
Chugai Pharmaceutical Co. Ltd. (Japan) | 163,600 | 3,790,917 | |
CSPC Pharmaceutical Group Ltd. (China) | 2,828,000 | 2,904,814 | |
Daiichi Sankyo Co. Ltd. (Japan) | 45,200 | 1,446,887 | |
GSK PLC | 91,351 | 1,496,430 | |
Novartis A.G. (Switzerland)(b) | 30,600 | 2,475,257 | |
Ono Pharmaceutical Co. Ltd. (Japan) | 29,800 | 701,300 | |
Roche Holding A.G. (Genusschein) | 22,362 | 7,419,671 | |
Shionogi & Co. Ltd. (Japan) | 55,800 | 2,591,199 | |
Takeda Pharmaceutical Co. Ltd. (Japan) | 92,100 | 2,432,269 | |
36,037,967 | |||
Cable & Satellite – 0.5% | |||
Grupo Televisa S.A.B. ADR (Mexico) | 249,100 | 1,307,775 | |
Liberty Global PLC, Class A (United Kingdom)* | 154,800 | 2,609,928 | |
3,917,703 | |||
Chemicals – 2.3% | |||
Air Liquide S.A. (France) | 14,993 | 1,961,291 |
Number of Shares | Value | ||
Chemicals (Continued) | |||
Akzo Nobel N.V. (Netherlands) | 6,300 | $ 388,934 | |
Asian Paints Ltd. (India) | 10,695 | 402,593 | |
LG Chem Ltd. (South Korea) | 2,655 | 1,165,117 | |
Linde PLC (United Kingdom)(a) | 8,843 | 2,640,337 | |
Nitto Denko Corp. (Japan) | 19,600 | 1,032,641 | |
Novozymes A/S, Class B (Denmark) | 33,493 | 1,758,068 | |
Orica Ltd. (Australia) | 214,707 | 1,909,871 | |
Shin-Etsu Chemical Co. Ltd. (Japan) | 23,200 | 2,411,175 | |
Symrise A.G. (Germany) | 26,740 | 2,729,420 | |
Toray Industries, Inc. (Japan) | 113,100 | 549,366 | |
UPL Ltd. (India) | 99,600 | 879,281 | |
17,828,094 | |||
Commercial Support Services – 1.2% | |||
Bidvest Group (The) Ltd. (South Africa) | 51,417 | 594,765 | |
Compass Group PLC (United Kingdom) | 98,811 | 2,081,140 | |
Edenred (France) | 44,100 | 2,260,840 | |
Pony Testing International Group Co. Ltd., Class A (China) | 46,280 | 224,750 | |
Recruit Holdings Co. Ltd. (Japan) | 69,200 | 2,129,365 | |
Rentokil Initial PLC (United Kingdom) | 70,355 | 439,023 | |
Secom Co. Ltd. (Japan) | 20,200 | 1,150,804 | |
8,880,687 | |||
Construction Materials – 0.8% | |||
Anhui Conch Cement Co. Ltd., Class H (China) | 271,000 | 697,536 | |
Holcim Ltd. (Switzerland)* | 100,205 | 4,552,548 | |
Siam Cement (The) PCL (Thailand)(b) | 68,100 | 579,727 | |
5,829,811 | |||
Diversified Industrials – 1.1% | |||
Alfa Laval AB (Sweden) | 107,677 | 2,650,504 | |
Hitachi Ltd. (Japan) | 31,800 | 1,442,888 | |
Siemens A.G. (Germany)(b) | 40,900 | 4,466,649 | |
8,560,041 | |||
E-Commerce Discretionary – 2.0% | |||
Alibaba Group Holding Ltd. (China)* | 1,036,556 | 8,059,126 | |
Alibaba Group Holding Ltd. ADR (China)* | 9,684 | 615,709 |
Number of Shares | Value | ||
E-Commerce Discretionary (Continued) | |||
JD.com, Inc., Class A (China) | 140,133 | $ 2,551,895 | |
Ozon Holdings PLC ADR (Russia)(d)* | 8,944 | 0 | |
Pinduoduo, Inc. ADR (China)* | 30,698 | 1,683,171 | |
Sea Ltd. ADR (Singapore)* | 7,161 | 355,759 | |
Vipshop Holdings Ltd. ADR (China)* | 256,700 | 1,789,199 | |
15,054,859 | |||
Electric Utilities – 0.3% | |||
Chubu Electric Power Co., Inc. (Japan) | 66,581 | 541,964 | |
Engie Brasil Energia S.A. (Brazil) | 82,800 | 643,742 | |
National Grid PLC (United Kingdom) | 62,664 | 682,732 | |
SSE PLC (United Kingdom) | 20,117 | 359,509 | |
2,227,947 | |||
Electrical Equipment – 1.7% | |||
Daikin Industries Ltd. (Japan) | 10,600 | 1,587,744 | |
Mitsubishi Electric Corp. (Japan) | 232,300 | 2,043,918 | |
Schindler Holding A.G. (Switzerland)(a) | 8,700 | 1,418,674 | |
Schneider Electric S.E. | 39,500 | 4,995,029 | |
Shenzhen Inovance Technology Co. Ltd., Class A (China) | 69,200 | 630,678 | |
Toshiba Corp. (Japan) | 33,530 | 1,163,543 | |
Voltas Ltd. (India) | 115,691 | 1,225,808 | |
13,065,394 | |||
Engineering & Construction – 0.1% | |||
Indus Towers Ltd. (India) | 421,593 | 945,777 | |
Sitios Latinoamerica S.A.B. de C.V. (Mexico)* | 41,190 | 12,203 | |
957,980 | |||
Entertainment Content – 0.3% | |||
NetEase, Inc. (China) | 93,900 | 1,041,844 | |
Nexon Co. Ltd. (Japan) | 34,500 | 577,331 | |
Square Enix Holdings Co. Ltd. (Japan) | 14,600 | 651,482 | |
2,270,657 | |||
Food – 1.0% | |||
Associated British Foods PLC (United Kingdom) | 21,376 | 331,313 | |
Danone S.A. (France) | 51,700 | 2,569,465 |
Number of Shares | Value | ||
Food (Continued) | |||
Foshan Haitian Flavouring & Food Co. Ltd., Class A (China) | 17,300 | $ 141,046 | |
MEIJI Holdings Co. Ltd. (Japan) | 34,400 | 1,415,530 | |
Nestle S.A. ADR | 24,201 | 2,630,891 | |
Universal Robina Corp. (Philippines) | 187,760 | 397,223 | |
Yamazaki Baking Co. Ltd. (Japan) | 46,500 | 473,804 | |
7,959,272 | |||
Forestry, Paper & Wood Products – 0.1% | |||
UPM-Kymmene OYJ (Finland) | 26,809 | 901,251 | |
Gas & Water Utilities – 0.5% | |||
ENN Energy Holdings Ltd. (China) | 249,800 | 2,483,525 | |
ENN Natural Gas Co. Ltd., Class A (China) | 265,600 | 562,850 | |
Osaka Gas Co. Ltd. (Japan) | 37,300 | 552,327 | |
Severn Trent PLC (United Kingdom) | 9,710 | 278,675 | |
3,877,377 | |||
Health Care Facilities & Services – 1.9% | |||
Alfresa Holdings Corp. (Japan) | 53,400 | 614,788 | |
Bumrungrad Hospital PCL (Thailand)(b) | 8,700 | 51,889 | |
Fresenius Medical Care A.G. & Co. KGaA (Germany) | 71,500 | 1,977,733 | |
Fresenius S.E. & Co. KGaA (Germany) | 214,400 | 4,934,022 | |
Life Healthcare Group Holdings Ltd. (South Africa) | 584,635 | 628,597 | |
Lonza Group A.G. (Switzerland)(b) | 7,541 | 3,881,988 | |
Nahdi Medical Co. (Saudi Arabia) | 17,024 | 896,437 | |
Sinopharm Group Co. Ltd., Class H (China) | 601,923 | 1,141,916 | |
Wuxi Biologics Cayman, Inc. (China)(c)* | 61,000 | 274,478 | |
14,401,848 | |||
Home & Office Products – 0.6% | |||
Coway Co. Ltd. (South Korea) | 17,522 | 679,431 | |
Gree Electric Appliances, Inc. of Zhuhai, Class A (China) | 200,300 | 784,665 |
Number of Shares | Value | ||
Home & Office Products (Continued) | |||
Haier Smart Home Co. Ltd., Class A (China) | 869,900 | $ 2,469,771 | |
Midea Group Co. Ltd., Class A (China) | 55,664 | 305,039 | |
4,238,906 | |||
Home Construction – 0.1% | |||
Berkeley Group Holdings (The) PLC (United Kingdom) | 8,496 | 338,033 | |
Sekisui House Ltd. (Japan) | 38,369 | 637,033 | |
975,066 | |||
Household Products – 3.1% | |||
Haleon PLC (United Kingdom)* | 96,821 | 296,897 | |
Hengan International Group Co. Ltd. (China) | 251,500 | 975,128 | |
Henkel A.G. & Co. KGaA (Germany) | 59,400 | 3,487,084 | |
Hindustan Unilever Ltd. (India) | 16,014 | 494,090 | |
Kao Corp. (Japan) | 51,800 | 1,934,831 | |
Kimberly-Clark de Mexico S.A.B. de C.V., Series A (Mexico) | 519,807 | 819,077 | |
L'Oreal S.A. (France) | 19,275 | 6,052,435 | |
Reckitt Benckiser Group PLC (United Kingdom) | 34,937 | 2,318,560 | |
Shiseido Co. Ltd. (Japan) | 49,500 | 1,709,592 | |
Unicharm Corp. (Japan) | 81,900 | 2,489,058 | |
Unilever PLC (United Kingdom) | 23,549 | 1,074,830 | |
Unilever PLC (London Exchange) (United Kingdom) | 47,996 | 2,181,627 | |
23,833,209 | |||
Industrial Intermediate Products – 0.5% | |||
SKF AB, Class B (Sweden) | 255,700 | 3,701,417 | |
Industrial Support Services – 0.4% | |||
Ashtead Group PLC (United Kingdom) | 46,500 | 2,422,328 | |
Ferguson PLC | 3,467 | 378,107 | |
2,800,435 | |||
Institutional Financial Services – 1.1% | |||
B3 S.A. - Brasil Bolsa Balcao (Brazil) | 485,502 | 1,409,840 | |
Credit Suisse Group A.G. (Switzerland)(a)(b) | 1,186,307 | 4,914,233 | |
Daiwa Securities Group, Inc. (Japan) | 126,500 | 493,562 |
Number of Shares | Value | ||
Institutional Financial Services (Continued) | |||
Japan Exchange Group, Inc. (Japan) | 40,300 | $ 529,614 | |
London Stock Exchange Group PLC (United Kingdom) | 8,987 | 779,012 | |
Moscow Exchange MICEX PJSC (Russia)(d)* | 83,130 | 0 | |
8,126,261 | |||
Insurance – 4.3% | |||
AIA Group Ltd. (Hong Kong) | 701,400 | 5,312,960 | |
Allianz S.E. (Germany)(b) | 59,449 | 10,695,144 | |
Aviva PLC (United Kingdom) | 53,582 | 257,013 | |
BB Seguridade Participacoes S.A. (Brazil) | 375,000 | 2,153,228 | |
Dai-ichi Life Holdings, Inc. (Japan) | 49,000 | 778,255 | |
HDFC Life Insurance Co. Ltd. (India)(c) | 110,691 | 723,382 | |
Legal & General Group PLC (United Kingdom) | 139,737 | 373,833 | |
Manulife Financial Corp. (Canada) | 139,400 | 2,310,458 | |
MS&AD Insurance Group Holdings, Inc. (Japan) | 46,400 | 1,228,728 | |
Ping An Insurance Group Co. of China Ltd., Class H (China) | 659,000 | 2,638,234 | |
Prudential PLC (Hong Kong)(a) | 444,963 | 4,133,560 | |
Sompo Holdings, Inc. (Japan) | 17,800 | 742,123 | |
Tokio Marine Holdings, Inc. (Japan) | 72,300 | 1,309,004 | |
32,655,922 | |||
Internet Media & Services – 3.7% | |||
Baidu, Inc., Class A (China)* | 202,600 | 1,942,327 | |
Meituan, Class B (China)(c)* | 210,400 | 3,368,619 | |
NAVER Corp. (South Korea) | 30,448 | 3,611,691 | |
Prosus N.V. (China)* | 114,206 | 4,938,461 | |
Tencent Holdings Ltd. (China) | 409,000 | 10,747,209 | |
Tencent Music Entertainment Group ADR (China)* | 296,801 | 1,071,451 | |
Trip.com Group Ltd. (China)* | 29,800 | 669,377 |
Number of Shares | Value | ||
Internet Media & Services (Continued) | |||
Trip.com Group Ltd. ADR (China)* | 67,372 | $ 1,524,628 | |
Yandex N.V., Class A (Russia)(d)* | 41,059 | 0 | |
27,873,763 | |||
Leisure Facilities & Services – 1.4% | |||
Accor S.A. (France)* | 198,919 | 4,766,390 | |
Entain PLC (United Kingdom) | 25,980 | 375,842 | |
InterContinental Hotels Group PLC (United Kingdom) | 7,431 | 399,273 | |
OPAP S.A. (Greece) | 56,322 | 690,122 | |
Restaurant Brands International, Inc. (Canada) | 19,000 | 1,128,220 | |
Songcheng Performance Development Co. Ltd., Class A (China) | 435,200 | 683,830 | |
Yum China Holdings, Inc. (China) | 4,750 | 192,275 | |
Yum China Holdings, Inc. (London Exchange) (China) | 57,500 | 2,377,625 | |
10,613,577 | |||
Leisure Products – 0.4% | |||
Shimano, Inc. (Japan) | 19,600 | 3,032,968 | |
Machinery – 5.1% | |||
Atlas Copco AB, Class A (Sweden) | 569,984 | 6,083,584 | |
CNH Industrial N.V. (United Kingdom) | 402,166 | 5,202,855 | |
Daifuku Co. Ltd. (Japan) | 35,800 | 1,638,743 | |
Epiroc AB, Class A (Sweden) | 164,688 | 2,521,119 | |
FANUC Corp. (Japan) | 22,800 | 2,983,417 | |
Hongfa Technology Co. Ltd., Class A (China) | 79,500 | 372,814 | |
Keyence Corp. (Japan) | 11,000 | 4,147,718 | |
Komatsu Ltd. (Japan) | 299,200 | 5,861,386 | |
Kubota Corp. (Japan) | 185,300 | 2,584,859 | |
Nabtesco Corp. (Japan) | 28,666 | 608,878 | |
Sandvik AB (Sweden) | 30,200 | 471,928 | |
SMC Corp. (Japan) | 4,000 | 1,605,609 | |
Smiths Group PLC (United Kingdom) | 95,188 | 1,705,060 | |
Sumitomo Heavy Industries Ltd. (Japan) | 33,264 | 630,510 |
Number of Shares | Value | ||
Machinery (Continued) | |||
WEG S.A. (Brazil) | 41,475 | $ 323,658 | |
Zhejiang Sanhua Intelligent Controls Co. Ltd., Class A (China) | 632,500 | 1,832,899 | |
38,575,037 | |||
Medical Equipment & Devices – 1.5% | |||
Alcon, Inc. (Switzerland)(a) | 46,955 | 2,849,229 | |
Hoya Corp. (Japan) | 12,300 | 1,143,425 | |
Koninklijke Philips N.V. (Netherlands) | 186,563 | 2,366,532 | |
Olympus Corp. (Japan) | 57,600 | 1,214,467 | |
Smith & Nephew PLC (United Kingdom) | 31,260 | 369,397 | |
Sonova Holding A.G. (Switzerland)(b) | 8,149 | 1,926,128 | |
Sysmex Corp. (Japan) | 34,000 | 1,830,012 | |
11,699,190 | |||
Metals & Mining – 2.7% | |||
Anglo American PLC (South Africa) | 42,541 | 1,274,282 | |
BHP Group Ltd. ADR (Australia)(a) | 98,978 | 4,733,128 | |
Cameco Corp. (Canada) | 8,633 | 204,743 | |
China Shenhua Energy Co. Ltd., Class H (China) | 159,000 | 417,671 | |
Glencore PLC (Australia) | 1,000,083 | 5,733,550 | |
Grupo Mexico S.A.B. de C.V., Series B (Mexico) | 307,080 | 1,106,158 | |
Rio Tinto PLC (Australia) | 93,656 | 4,894,617 | |
Sumitomo Metal Mining Co. Ltd. (Japan) | 15,300 | 428,872 | |
United Tractors Tbk PT (Indonesia) | 256,700 | 530,993 | |
Vale S.A. ADR (Brazil)(a) | 63,173 | 817,459 | |
20,141,473 | |||
Oil & Gas Producers – 6.0% | |||
Bharat Petroleum Corp. Ltd. (India) | 177,486 | 651,599 | |
BP PLC (United Kingdom) | 998,187 | 5,522,578 | |
Canadian Natural Resources Ltd. (Canada) | 23,991 | 1,438,914 | |
Cenovus Energy, Inc. (Canada) | 24,504 | 495,350 | |
Chevron Corp. | 4,401 | 796,141 | |
China Petroleum & Chemical Corp., Class H (China) | 1,267,092 | 502,182 | |
Ecopetrol S.A. ADR (Colombia)(a) | 13,677 | 134,855 | |
ENEOS Holdings, Inc. (Japan) | 191,200 | 630,703 |
Number of Shares | Value | ||
Oil & Gas Producers (Continued) | |||
Eni S.p.A. (Italy) | 78,996 | $ 1,037,513 | |
Equinor ASA (Norway) | 23,398 | 852,476 | |
Exxon Mobil Corp. | 18,213 | 2,018,183 | |
Galp Energia SGPS S.A. (Portugal) | 171,220 | 1,738,414 | |
Gazprom PJSC (Russia)(d) | 421,794 | 0 | |
Imperial Oil Ltd. (Canada) | 5,308 | 288,748 | |
Inpex Corp. (Japan) | 142,000 | 1,433,120 | |
LUKOIL PJSC (Russia)(d) | 61,010 | 0 | |
MOL Hungarian Oil & Gas PLC (Hungary) | 73,435 | 440,911 | |
Neste OYJ (Finland) | 15,691 | 687,713 | |
OMV A.G. (Austria) | 5,818 | 267,880 | |
Petroleo Brasileiro S.A. ADR (Brazil) | 244,098 | 3,129,336 | |
Petronet LNG Ltd. (India) | 294,293 | 731,081 | |
PTT Exploration & Production PCL (Thailand)(b) | 125,000 | 596,098 | |
Reliance Industries Ltd. (India) | 42,881 | 1,323,170 | |
Repsol S.A. (Spain) | 38,005 | 517,038 | |
Rosneft Oil Co. PJSC (Russia) | 210,931 | 0 | |
Santos Ltd. (Australia) | 39,404 | 192,357 | |
Shell PLC (Netherlands) | 479,476 | 13,282,256 | |
Suncor Energy, Inc. (Canada) | 29,194 | 1,004,170 | |
TotalEnergies S.E. (France) | 71,078 | 3,877,544 | |
Vibra Energia S.A. (Brazil) | 158,900 | 562,633 | |
Woodside Energy Group Ltd. (Australia) | 20,950 | 484,332 | |
Woodside Energy Group Ltd. ADR (Australia)(a) | 35,770 | 828,791 | |
45,466,086 | |||
Publishing & Broadcasting – 0.3% | |||
Informa PLC (United Kingdom) | 397,753 | 2,534,451 | |
Real Estate Owners & Developers – 0.6% | |||
China Overseas Land & Investment Ltd. (China) | 489,000 | 934,439 | |
China Vanke Co. Ltd., Class H (China) | 488,795 | 627,285 | |
Mitsubishi Estate Co. Ltd. (Japan) | 137,600 | 1,730,361 | |
Mitsui Fudosan Co. Ltd. (Japan) | 34,600 | 662,534 | |
Sumitomo Realty & Development Co. Ltd. (Japan) | 26,200 | 600,868 | |
4,555,487 |
Number of Shares | Value | ||
Real Estate Services – 0.1% | |||
A-Living Smart City Services Co. Ltd. (China)(c) | 539,500 | $ 306,144 | |
China Resources Mixc Lifestyle Services Ltd. (China)(a) | 107,800 | 315,680 | |
KE Holdings, Inc. ADR (China)* | 11,900 | 121,142 | |
742,966 | |||
Retail - Consumer Staples – 1.5% | |||
Alibaba Health Information Technology Ltd. (China)(a)* | 2,706,000 | 1,145,191 | |
Alimentation Couche-Tard, Inc. (Canada) | 67,073 | 3,003,232 | |
Clicks Group Ltd. (South Africa) | 50,017 | 847,515 | |
CP ALL PCL (Thailand)(b) | 628,800 | 1,019,057 | |
Raia Drogasil S.A. (Brazil) | 216,286 | 1,108,751 | |
Seven & i Holdings Co. Ltd. (Japan) | 30,600 | 1,142,248 | |
SM Investments Corp. (Philippines) | 46,450 | 662,023 | |
Sumber Alfaria Trijaya Tbk PT (Indonesia) | 460,500 | 83,213 | |
Tesco PLC (United Kingdom) | 295,742 | 730,449 | |
Wal-Mart de Mexico S.A.B. de C.V. (Mexico) | 278,301 | 1,075,110 | |
X5 Retail Group N.V. GDR (Russia)(d) | 26,321 | 0 | |
Yifeng Pharmacy Chain Co. Ltd., Class A (China) | 97,412 | 745,798 | |
11,562,587 | |||
Retail - Discretionary – 1.3% | |||
Astra International Tbk PT (Indonesia) | 1,671,900 | 714,454 | |
Fast Retailing Co. Ltd. (Japan) | 2,700 | 1,504,281 | |
Hennes & Mauritz AB, Class B (Sweden)(a) | 239,410 | 2,411,376 | |
Kingfisher PLC (United Kingdom) | 136,323 | 342,503 | |
Li Ning Co. Ltd. (China) | 58,500 | 302,616 | |
Localiza Rent a Car S.A. (Brazil) | 67,751 | 923,895 | |
Nitori Holdings Co. Ltd. (Japan) | 18,600 | 1,685,478 | |
Zhongsheng Group Holdings Ltd. (China) | 421,000 | 1,597,826 | |
9,482,429 |
Number of Shares | Value | ||
Semiconductors – 2.9% | |||
ASE Technology Holding Co. Ltd. (Taiwan) | 468,000 | $ 1,155,562 | |
ASML Holding N.V. (Netherlands) | 1,639 | 768,834 | |
ASMPT Ltd. (Hong Kong) | 106,700 | 586,904 | |
Globalwafers Co. Ltd. (Taiwan) | 34,000 | 376,854 | |
Infineon Technologies A.G. (Germany) | 186,509 | 4,525,731 | |
MediaTek, Inc. (Taiwan) | 51,000 | 929,638 | |
Novatek Microelectronics Corp. (Taiwan) | 92,000 | 685,469 | |
SK Hynix, Inc. (South Korea) | 28,968 | 1,677,002 | |
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | 508,945 | 6,118,643 | |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Taiwan) | 55,803 | 3,434,675 | |
Tokyo Electron Ltd. (Japan) | 5,700 | 1,499,651 | |
Vanguard International Semiconductor Corp. (Taiwan) | 142,000 | 291,550 | |
22,050,513 | |||
Software – 2.0% | |||
Dassault Systemes S.E. (France) | 68,941 | 2,310,818 | |
Glodon Co. Ltd., Class A (China) | 52,900 | 356,606 | |
Hundsun Technologies, Inc., Class A (China) | 178,200 | 1,015,173 | |
Kingdee International Software Group Co. Ltd. (China)* | 176,000 | 288,396 | |
Open Text Corp. (Canada) | 119,248 | 3,453,977 | |
SAP S.E. (Germany) | 51,600 | 4,966,648 | |
SAP S.E. ADR (Germany) | 25,799 | 2,478,252 | |
14,869,870 | |||
Specialty Finance – 0.4% | |||
Chailease Holding Co. Ltd. (Taiwan) | 82,000 | 378,241 | |
Housing Development Finance Corp. Ltd. (India) | 53,392 | 1,596,355 | |
ORIX Corp. (Japan) | 58,800 | 863,637 | |
2,838,233 | |||
Steel – 0.7% | |||
Mitsui & Co. Ltd. (Japan) | 88,600 | 1,960,646 | |
POSCO Holdings, Inc. (South Korea) | 1,891 | 329,584 |
Number of Shares | Value | ||
Steel (Continued) | |||
Ternium S.A. ADR (Mexico) | 14,513 | $ 417,829 | |
thyssenkrupp A.G. (Germany)* | 505,400 | 2,660,392 | |
5,368,451 | |||
Technology Hardware – 4.1% | |||
Casio Computer Co. Ltd. (Japan) | 53,100 | 461,532 | |
FUJIFILM Holdings Corp. (Japan) | 24,000 | 1,097,997 | |
Hon Hai Precision Industry Co. Ltd. (Taiwan) | 360,000 | 1,143,388 | |
Kyocera Corp. (Japan) | 23,000 | 1,113,808 | |
Lenovo Group Ltd. (China) | 1,300,000 | 1,038,970 | |
Murata Manufacturing Co. Ltd. (Japan) | 42,400 | 2,007,193 | |
Nidec Corp. (Japan) | 17,900 | 984,214 | |
Nintendo Co. Ltd. (Japan) | 72,000 | 2,923,135 | |
Panasonic Holdings Corp. (Japan) | 192,500 | 1,371,103 | |
Quanta Computer, Inc. (Taiwan) | 467,000 | 989,156 | |
Samsung Electronics Co. Ltd. (South Korea) | 129,861 | 5,404,796 | |
Samsung Electronics Co. Ltd. GDR (South Korea) | 6,076 | 6,275,285 | |
Silergy Corp. (China) | 29,000 | 334,419 | |
Sony Group Corp. (Japan) | 52,100 | 3,513,346 | |
Sunny Optical Technology Group Co. Ltd. (China) | 19,900 | 172,453 | |
TDK Corp. (Japan) | 54,500 | 1,702,491 | |
Wiwynn Corp. (Taiwan) | 29,000 | 649,650 | |
31,182,936 | |||
Technology Services – 2.5% | |||
Adyen N.V. (Netherlands)(c)* | 2,404 | 3,431,949 | |
Amadeus IT Group S.A. (Spain)* | 60,800 | 3,171,042 | |
Capgemini SE (France) | 15,600 | 2,556,697 | |
Experian PLC (United Kingdom) | 19,255 | 613,951 | |
Fujitsu Ltd. (Japan) | 9,100 | 1,047,033 | |
Infosys Ltd. (India) | 70,254 | 1,309,399 | |
RELX PLC (United Kingdom) | 39,270 | 1,054,812 | |
Sangfor Technologies, Inc., Class A (China) | 10,700 | 183,713 | |
Tata Consultancy Services Ltd. (India) | 6,428 | 248,070 | |
Worldline S.A. (France)(c)* | 124,500 | 5,433,989 | |
19,050,655 |
Number of Shares | Value | ||
Telecommunications – 1.9% | |||
America Movil S.A.B. de C.V., Series L ADR (Mexico) | 40,747 | $ 766,451 | |
BT Group PLC (United Kingdom) | 199,015 | 296,579 | |
KDDI Corp. (Japan) | 89,200 | 2,636,482 | |
KT Corp. (South Korea) | 24,156 | 620,203 | |
Mobile TeleSystems PJSC ADR (Russia)(d)* | 138,416 | 0 | |
Nippon Telegraph & Telephone Corp. (Japan) | 54,300 | 1,497,632 | |
Softbank Corp. (Japan) | 53,300 | 525,772 | |
SoftBank Group Corp. (Japan) | 67,500 | 2,897,520 | |
Telkom Indonesia Persero Tbk PT (Indonesia) | 11,134,900 | 3,127,247 | |
Telkom Indonesia Persero Tbk PT ADR (Indonesia)(a) | 31,346 | 872,046 | |
Vodacom Group Ltd. (South Africa) | 88,517 | 602,935 | |
Vodafone Group PLC (United Kingdom) | 647,011 | 755,322 | |
14,598,189 | |||
Tobacco & Cannabis – 0.4% | |||
British American Tobacco PLC (United Kingdom) | 43,082 | 1,701,458 | |
Japan Tobacco, Inc. (Japan) | 39,800 | 666,548 | |
KT&G Corp. (South Korea) | 9,506 | 638,438 | |
3,006,444 | |||
Transportation & Logistics – 1.8% | |||
Airports of Thailand PCL (Thailand)(b)* | 84,600 | 164,488 | |
Canadian National Railway Co. (Canada) | 21,575 | 2,555,343 | |
CCR S.A. (Brazil) | 465,260 | 1,173,621 | |
DSV A/S (Denmark) | 19,000 | 2,567,437 | |
East Japan Railway Co. (Japan) | 49,500 | 2,637,626 | |
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR (Mexico) | 1,217 | 284,072 | |
Ryanair Holdings PLC ADR (Ireland)* | 63,691 | 4,387,673 | |
13,770,260 | |||
Transportation Equipment – 1.1% | |||
Daimler Truck Holding A.G. (Germany)* | 173,395 | 4,624,893 |
Number of Shares | Value | ||
Transportation Equipment (Continued) | |||
Volvo AB, Class B (Sweden) | 196,200 | $ 3,211,193 | |
Weichai Power Co. Ltd., Class H (China) | 692,000 | 662,827 | |
8,498,913 | |||
Wholesale - Consumer Staples – 0.6% | |||
ITOCHU Corp. (Japan) | 98,500 | 2,545,688 | |
Mitsubishi Corp. (Japan) | 65,700 | 1,779,740 | |
4,325,428 | |||
Wholesale - Discretionary – 0.1% | |||
Bunzl PLC (United Kingdom) | 12,817 | 417,649 | |
Total Common Stocks (Cost $874,029,374) | 722,332,407 | ||
Preferred Stocks – 0.4% | |||
Technology Hardware – 0.4% | |||
Samsung Electronics Co. Ltd., 2.71% (South Korea)(e) | 88,100 | 3,292,465 | |
Total Preferred Stocks (Cost $4,868,119) | 3,292,465 | ||
Investment Companies – 1.9% | |||
iShares MSCI South Korea ETF(a) | 286,001 | 14,817,712 | |
Total Investment Companies (Cost $18,248,615) | 14,817,712 |
Numberof Shares | Value | ||
Short-Term Investments – 5.9% | |||
Money Market Funds – 5.9% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 3.08%(f)(g) | 27,507,191 | $ 27,507,191 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 2.48%(f) | 16,934,662 | 16,934,662 | |
Total Short-Term Investments (Cost $44,441,853) | 44,441,853 | ||
Total Investments – 103.3% (Cost $941,587,961) | 784,884,437 | ||
Liabilities less Other Assets – (3.3)% | (25,332,453) | ||
NET ASSETS – 100.0% | $759,551,984 |
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) | 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. | ||
(d) | Investment is valued using significant unobservable inputs (Level 3) (See Note 4 regarding investments in Russian securities). | ||
(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 October 31, 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 |
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 | 25.9 |
Japanese Yen | 18.7 |
British Pound | 10.0 |
U.S. Dollar | 9.5 |
Hong Kong Dollar | 7.4 |
All other currencies less than 5% | 28.5 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Country Diversification (%)(a) | |
Japan | 18.7 |
China | 10.5 |
Germany | 10.1 |
United Kingdom | 9.2 |
France | 6.9 |
All other countries less than 5% | 44.6 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Morningstar International Equity Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Common Stocks | $ 95,453,240 | $626,879,167 | $—* | $722,332,407 |
Preferred Stocks | — | 3,292,465 | — | 3,292,465 |
Investment Companies | 14,817,712 | — | — | 14,817,712 |
Short-Term Investments | 44,441,853 | — | — | 44,441,853 |
Total Investments | $154,712,805 | $630,171,632 | $ — | $784,884,437 |
*Includes securities determined to have no value as of October 31, 2022. |
Par (a) | Value | ||
Asset-Backed Securities – 4.5% | |||
Other – 4.1% | |||
AGL CLO Ltd., Series 2021-12A, Class D, (3M USD LIBOR + 2.85%, 2.85% Floor), 7.09%, 7/20/34(b)(c) | $250,000 | $214,507 | |
Aimco CLO 12 Ltd., Series 2020-12A, Class DR, (3M CME Term SOFR + 2.90%, 2.90% Floor), 6.76%, 1/17/32(b)(c) | 250,000 | 219,314 | |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R3, Class M4, (1M USD LIBOR + 0.93%, 0.93% Floor), 4.52%, 5/25/35(c) | 183,610 | 180,758 | |
Apex Credit CLO Ltd., Series 2022-1A, Class D, (3M CME Term SOFR + 4.40%, 4.40% Floor), 8.44%, 4/22/33(b)(c) | 130,000 | 112,946 | |
Bain Capital Credit CLO Ltd., Series 2022-2A, Class D1, (3M CME Term SOFR + 3.65%, 3.65% Floor), 7.69%, 4/22/35(b)(c) | 250,000 | 218,749 | |
Ballyrock CLO Ltd., Series 2022-19A, Class D, (3M CME Term SOFR + 7.11%, 7.11% Floor), 11.07%, 4/20/35(b)(c) | 370,000 | 318,514 | |
Barings CLO Ltd., | |||
Series 2018-3A, Class D, (3M USD LIBOR + 2.90%), 7.14%, 7/20/29(b)(c) | 260,000 | 231,876 | |
Series 2016-2A, Class ER2, (3M USD LIBOR + 6.50%, 6.50% Floor), 10.74%, 1/20/32(b)(c) | 390,000 | 321,279 | |
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class ER, (3M USD LIBOR + 6.86%, 6.86% Floor), 11.22%, 7/25/34(b)(c) | 250,000 | 212,249 | |
Bristol Park CLO Ltd., | |||
Series 2016-1A, Class DR, (3M USD LIBOR + 2.95%, 2.95% Floor), 7.03%, 4/15/29(b)(c) | 250,000 | 217,054 |
Par (a) | Value | ||
Other (Continued) | |||
Bristol Park CLO Ltd., | |||
Series 2016-1A, Class ER, (3M USD LIBOR + 7.00%, 7.00% Floor), 11.08%, 4/15/29(b)(c) | $350,000 | $303,812 | |
Canyon CLO Ltd., Series 2020-1A, Class BR, (3M USD LIBOR + 1.70%, 1.70% Floor), 5.78%, 7/15/34(b)(c) | 250,000 | 231,639 | |
Citigroup Mortgage Loan Trust, Series 2022-A, Class A1, (Step to 9.17% on 9/25/25), 6.17%, 9/25/62(b)(d) | 248,340 | 244,624 | |
Cook Park CLO Ltd., Series 2018-1A, Class D, (3M USD LIBOR + 2.60%), 6.68%, 4/17/30(b)(c) | 250,000 | 207,081 | |
GoodLeap Sustainable Home Solutions Trust, Series 2021-3CS, Class C, 3.50%, 5/20/48(b) | 500,000 | 334,203 | |
Greenwood Park CLO Ltd., Series 2018-1A, Class E, (3M USD LIBOR + 4.95%), 9.03%, 4/15/31(b)(c) | 250,000 | 200,354 | |
Hildene Community Funding CDO Ltd., Series 2015-1A, Class ARR, 2.60%, 11/01/35(b) | 250,000 | 218,269 | |
Jay Park CLO Ltd., Series 2016-1A, Class DR, (3M USD LIBOR + 5.20%, 5.20% Floor), 9.44%, 10/20/27(b)(c) | 590,000 | 518,738 | |
JP Morgan Mortgage Acquisition Trust, Series 2007-CH4, Class M1, (1M USD LIBOR + 0.23%, 0.23% Floor), 3.82%, 5/25/37(c) | 270,000 | 255,702 | |
KKR CLO 40 Ltd., Series 40A, Class D, (3M CME Term SOFR + 3.90%, 3.90% Floor), 7.86%, 10/20/34(b)(c) | 300,000 | 254,158 | |
KREF Ltd., Series 2022-FL3, Class D, (1M CME Term SOFR + 2.80%, 2.80% Floor), 6.27%, 2/17/39(b)(c) | 150,000 | 140,983 | |
MF1 Ltd., Series 2020-FL4, Class A, (1M CME Term SOFR + 1.81%, 1.70% Floor), 5.19%, 11/15/35(b)(c) | 181,031 | 179,179 |
Par (a) | Value | ||
Other (Continued) | |||
Mill City Mortgage Loan Trust, Series 2018-2, Class M3, 3.75%, 5/25/58(b)(e) | $209,684 | $179,933 | |
Nassau Ltd., Series 2021-IA, Class D, (3M USD LIBOR + 3.75%, 3.75% Floor), 7.83%, 8/26/34(b)(c) | 250,000 | 211,526 | |
Neuberger Berman Loan Advisers CLO 33 Ltd., Series 2019-33A, Class DR, (3M USD LIBOR + 2.90%, 2.90% Floor), 6.98%, 10/16/33(b)(c) | 250,000 | 219,691 | |
Oaktree CLO Ltd., Series 2022-1A, Class E, (3M CME Term SOFR + 7.76%, 7.76% Floor), 8.87%, 5/15/33(b)(c) | 487,000 | 417,363 | |
Ocean Trails CLO IX, Series 2020-9A, Class DR, (3M USD LIBOR + 3.75%, 3.75% Floor), 7.83%, 10/15/34(b)(c) | 280,000 | 238,288 | |
Palmer Square Loan Funding Ltd., Series 2022-3A, Class C, (3M CME Term SOFR + 5.40%, 5.40% Floor), 4/15/31(b)(c)(f) | 210,000 | 198,405 | |
Stonepeak ABS, Series 2021-1A, Class A, 2.67%, 2/28/33(b) | 431,557 | 371,583 | |
Symphony CLO XXV Ltd., Series 2021-25A, Class D, (3M USD LIBOR + 3.60%, 3.60% Floor), 7.83%, 4/19/34(b)(c) | 250,000 | 213,460 | |
Towd Point Mortgage Trust, | |||
Series 2015-5, Class B3, 3.97%, 5/25/55(b)(e) | 220,000 | 187,554 | |
Series 2017-5, Class B1, (1M USD LIBOR + 1.80%), 3.43%, 2/25/57(b)(c) | 250,000 | 233,039 | |
Series 2019-HY2, Class B1, (1M USD LIBOR + 2.25%, 2.25% Floor), 5.84%, 5/25/58(b)(c) | 190,000 | 172,764 |
Par (a) | Value | ||
Other (Continued) | |||
TSTAT Ltd., Series 2022-2A, Class C, (3M CME Term SOFR + 4.80%, 4.80% Floor), 1/20/31(b)(c)(f) | $250,000 | $ 250,000 | |
Voya CLO Ltd., Series 2020-3A, Class DR, (3M USD LIBOR + 3.25%, 3.25% Floor), 7.49%, 10/20/34(b)(c) | 260,000 | 225,846 | |
8,455,440 | |||
Student Loan – 0.4% | |||
National Collegiate Student Loan Trust, Series 2007-2, Class A4, (1M USD LIBOR + 0.29%), 3.88%, 1/25/33(c) | 474,427 | 443,733 | |
SMB Private Education Loan Trust, Series 2021-A, Class D1, 3.86%, 1/15/53(b) | 400,000 | 355,190 | |
798,923 | |||
Total Asset-Backed Securities (Cost $10,109,907) | 9,254,363 |
Number of Shares | |||
Common Stocks – 44.4% | |||
Advertising & Marketing – 0.0%(g) | |||
WPP PLC (United Kingdom) | 5,347 | 47,054 | |
Aerospace & Defense – 2.2% | |||
BAE Systems PLC (United Kingdom) | 10,198 | 95,388 | |
Raytheon Technologies Corp. | 47,300 | 4,484,986 | |
4,580,374 | |||
Asset Management – 1.4% | |||
Investor AB, Class B (Sweden) | 6,237 | 101,792 | |
Julius Baer Group Ltd. (Switzerland) | 1,281 | 61,461 | |
Kinnevik AB, Class B (Sweden)* | 2,096 | 25,893 | |
Macquarie Korea Infrastructure Fund (South Korea) | 308,000 | 2,387,058 | |
Schroders PLC (United Kingdom) | 3,553 | 15,953 |
Number of Shares | Value | ||
Asset Management (Continued) | |||
St. James's Place PLC (United Kingdom) | 6,569 | $ 80,218 | |
UBS Group A.G. (Switzerland)(h) | 11,886 | 188,442 | |
2,860,817 | |||
Automotive – 0.9% | |||
Toyota Motor Corp. ADR (Japan) | 13,703 | 1,902,113 | |
Banking – 4.1% | |||
ABN AMRO Bank N.V. - CVA (Netherlands)(b) | 3,667 | 36,049 | |
Banco Bilbao Vizcaya Argentaria S.A. (Spain) | 21,532 | 111,079 | |
Banco Santander S.A. (Spain) | 64,597 | 167,531 | |
Barclays PLC (United Kingdom) | 82,657 | 140,455 | |
BNP Paribas S.A. (France) | 20,424 | 957,761 | |
CaixaBank S.A. (Spain) | 14,343 | 47,562 | |
DNB Bank ASA (Norway) | 2,221 | 39,282 | |
Erste Group Bank A.G. (Austria) | 1,809 | 44,583 | |
HSBC Holdings PLC (United Kingdom) | 104,292 | 535,232 | |
ING Groep N.V. (Netherlands) | 18,510 | 182,131 | |
Intesa Sanpaolo S.p.A. (Italy) | 43,416 | 82,774 | |
JPMorgan Chase & Co. | 20,220 | 2,545,294 | |
KBC Group N.V. (Belgium) | 633 | 31,723 | |
Lloyds Banking Group PLC (United Kingdom) | 473,002 | 227,168 | |
NatWest Group PLC (United Kingdom) | 39,847 | 107,320 | |
Nordea Bank Abp (Finland) | 8,955 | 85,543 | |
Skandinaviska Enskilda Banken AB, Class A (Sweden) | 6,320 | 66,634 | |
Standard Chartered PLC (United Kingdom) | 18,026 | 107,701 | |
Svenska Handelsbanken AB, Class A (Sweden) | 289,961 | 2,694,038 | |
Swedbank AB, Class A (Sweden) | 5,933 | 88,449 | |
UniCredit S.p.A. (Italy) | 4,865 | 60,332 | |
8,358,641 | |||
Beverages – 1.8% | |||
Arca Continental S.A.B. de C.V. (Mexico) | 421,700 | 3,445,029 | |
Diageo PLC (United Kingdom) | 4,894 | 201,401 | |
3,646,430 |
Number of Shares | Value | ||
Biotechnology & Pharmaceuticals – 4.3% | |||
AstraZeneca PLC (United Kingdom) | 2,986 | $ 350,354 | |
GSK PLC | 9,603 | 157,308 | |
Merck & Co., Inc. | 43,292 | 4,381,150 | |
Novartis A.G. ADR (Switzerland) | 48,985 | 3,974,153 | |
8,862,965 | |||
Commercial Support Services – 0.1% | |||
Compass Group PLC (United Kingdom) | 3,827 | 80,604 | |
Rentokil Initial PLC (United Kingdom) | 7,261 | 45,309 | |
125,913 | |||
Construction Materials – 0.5% | |||
Cie de Saint-Gobain (France) | 19,317 | 789,698 | |
Xinyi Glass Holdings Ltd. (China) | 167,045 | 214,679 | |
1,004,377 | |||
Containers & Packaging – 0.4% | |||
Smurfit Kappa Group PLC (Ireland) | 24,405 | 807,878 | |
Electric Utilities – 1.6% | |||
Duke Energy Corp. | 33,180 | 3,091,712 | |
Enel S.p.A. (Italy) | 7,930 | 35,426 | |
National Grid PLC (United Kingdom) | 6,497 | 70,786 | |
SSE PLC (United Kingdom) | 2,085 | 37,261 | |
3,235,185 | |||
Food – 0.0%(g) | |||
Associated British Foods PLC (United Kingdom) | 2,216 | 34,346 | |
Forestry, Paper & Wood Products – 0.9% | |||
UPM-Kymmene OYJ (Finland) | 52,638 | 1,769,556 | |
Gas & Water Utilities – 0.0%(g) | |||
Severn Trent PLC (United Kingdom) | 1,003 | 28,786 | |
Home Construction – 0.0%(g) | |||
Berkeley Group Holdings (The) PLC (United Kingdom) | 881 | 35,053 | |
Household Products – 0.2% | |||
Haleon PLC (United Kingdom)* | 12,217 | 37,463 |
Number of Shares | Value | ||
Household Products (Continued) | |||
Reckitt Benckiser Group PLC (United Kingdom) | 1,831 | $ 121,513 | |
Unilever PLC (United Kingdom) | 4,931 | 224,135 | |
383,111 | |||
Industrial Support Services – 0.0%(g) | |||
Ferguson PLC | 378 | 41,224 | |
Institutional Financial Services – 1.0% | |||
Credit Suisse Group A.G. (Switzerland)(h)(i) | 5,959 | 24,685 | |
Deutsche Boerse A.G. (Germany) | 738 | 120,014 | |
London Stock Exchange Group PLC (United Kingdom) | 2,279 | 197,548 | |
Morgan Stanley | 20,099 | 1,651,535 | |
1,993,782 | |||
Insurance – 2.6% | |||
Allianz S.E. (Germany)(h) | 1,546 | 278,132 | |
Assicurazioni Generali S.p.A. (Italy) | 2,518 | 37,788 | |
Aviva PLC (United Kingdom) | 19,934 | 95,616 | |
AXA S.A. (France) | 7,553 | 186,521 | |
Hannover Rueck S.E. (Germany) | 266 | 43,285 | |
Legal & General Group PLC (United Kingdom) | 41,612 | 111,323 | |
Muenchener Rueckversicherungs-Gesellschaft A.G. (Germany)(h) | 480 | 126,708 | |
Prudential PLC (Hong Kong) | 17,848 | 165,802 | |
Sampo OYJ, Class A (Finland) | 1,063 | 48,609 | |
Swiss Life Holding A.G. (Switzerland)(h) | 123 | 59,559 | |
Swiss Re A.G. | 1,131 | 84,016 | |
Tryg A/S (Denmark) | 2,261 | 48,904 | |
Zurich Insurance Group A.G. (Switzerland) | 9,393 | 4,003,052 | |
5,289,315 | |||
Leisure Facilities & Services – 1.9% | |||
Entain PLC (United Kingdom) | 3,187 | 46,105 | |
InterContinental Hotels Group PLC (United Kingdom) | 770 | 41,373 | |
OPAP S.A. (Greece) | 311,910 | 3,821,880 | |
3,909,358 |
Number of Shares | Value | ||
Machinery – 0.0%(g) | |||
Smiths Group PLC (United Kingdom) | 2,435 | $ 43,617 | |
Medical Equipment & Devices – 0.0%(g) | |||
Smith & Nephew PLC (United Kingdom) | 3,068 | 36,254 | |
Metals & Mining – 2.0% | |||
Anglo American PLC (South Africa) | 2,652 | 79,438 | |
Glencore PLC (Australia) | 18,707 | 107,249 | |
Rio Tinto Ltd. (Australia) | 30,636 | 1,738,582 | |
Rio Tinto PLC (Australia) | 3,047 | 159,241 | |
Vale S.A. (Brazil) | 163,645 | 2,123,219 | |
4,207,729 | |||
Oil & Gas Producers – 5.4% | |||
Antero Midstream Corp. | 10,523 | 112,070 | |
BP PLC (United Kingdom) | 39,019 | 215,877 | |
Cheniere Energy, Inc. | 3,404 | 600,500 | |
Enbridge, Inc. (Canada) | 13,913 | 542,079 | |
Equitrans Midstream Corp. | 18,140 | 152,739 | |
Gazprom PJSC (Russia)(j) | 33,780 | 0 | |
Kinder Morgan, Inc. | 25,176 | 456,189 | |
LUKOIL PJSC (Russia)(j) | 1,232 | 0 | |
ONEOK, Inc. | 4,891 | 290,134 | |
Pembina Pipeline Corp. (Canada) | 4,373 | 144,381 | |
Petroleo Brasileiro S.A. (Brazil) | 532,739 | 3,427,145 | |
Rosneft Oil Co. PJSC (Russia)(j) | 17,410 | 0 | |
Shell PLC (Netherlands) | 14,862 | 411,701 | |
Targa Resources Corp. | 2,123 | 145,149 | |
TC Energy Corp. (Canada) | 9,437 | 414,512 | |
TotalEnergies S.E. ADR (France) | 69,218 | 3,791,070 | |
Williams (The) Cos., Inc. | 12,915 | 422,708 | |
11,126,254 | |||
Publishing & Broadcasting – 0.0%(g) | |||
Informa PLC (United Kingdom) | 6,356 | 40,500 | |
Real Estate Investment Trusts – 3.5% | |||
PLA Administradora Industrial S. de R.L. de C.V. (Mexico) | 2,446,874 | 3,428,316 | |
PowerGrid Infrastructure Investment Trust (India)(b) | 2,281,000 | 3,806,558 | |
7,234,874 | |||
Retail - Consumer Staples – 0.3% | |||
Tesco PLC (United Kingdom) | 278,447 | 687,732 |
Number of Shares | Value | ||
Retail - Discretionary – 0.0%(g) | |||
Kingfisher PLC (United Kingdom) | 14,879 | $ 37,383 | |
Semiconductors – 0.9% | |||
Broadcom, Inc. | 3,490 | 1,640,719 | |
MediaTek, Inc. (Taiwan) | 11,800 | 215,093 | |
1,855,812 | |||
Technology Hardware – 0.8% | |||
Cisco Systems, Inc. | 37,301 | 1,694,584 | |
Quanta Computer, Inc. (Taiwan) | 5 | 11 | |
1,694,595 | |||
Technology Services – 0.1% | |||
Experian PLC (United Kingdom) | 1,996 | 63,643 | |
RELX PLC (United Kingdom) | 4,128 | 110,880 | |
174,523 | |||
Telecommunications – 4.7% | |||
BCE, Inc. (Canada) | 71,805 | 3,238,405 | |
BT Group PLC (United Kingdom) | 20,635 | 30,751 | |
Nippon Telegraph & Telephone Corp. (Japan) | 107,000 | 2,951,136 | |
Softbank Corp. (Japan) | 352,385 | 3,476,062 | |
Vodafone Group PLC (United Kingdom) | 67,087 | 78,318 | |
9,774,672 | |||
Tobacco & Cannabis – 2.6% | |||
Altria Group, Inc. | 44,620 | 2,064,567 | |
British American Tobacco PLC (United Kingdom) | 4,909 | 193,873 | |
British American Tobacco PLC ADR (United Kingdom) | 76,830 | 3,044,005 | |
5,302,445 | |||
Transportation & Logistics – 0.0%(g) | |||
Poste Italiane S.p.A. (Italy)(b) | 4,255 | 37,079 | |
Transportation Equipment – 0.2% | |||
Volvo AB, Class B (Sweden) | 27,609 | 451,875 | |
Wholesale - Discretionary – 0.0%(g) | |||
Bunzl PLC (United Kingdom) | 1,347 | 43,893 | |
Total Common Stocks (Cost $97,280,937) | 91,665,515 |
Par (a) | Value | ||
Convertible Bonds – 0.1% | |||
Cable & Satellite – 0.1% | |||
DISH Network Corp., 3.38%, 8/15/26 | $190,000 | $ 131,385 | |
Total Convertible Bonds (Cost $147,428) | 131,385 | ||
Corporate Bonds – 14.0% | |||
Aerospace & Defense – 0.6% | |||
Boeing (The) Co., | |||
2.20%, 2/04/26 | 50,000 | 44,185 | |
3.25%, 2/01/35 | 280,000 | 197,867 | |
5.81%, 5/01/50 | 100,000 | 86,006 | |
5.93%, 5/01/60 | 140,000 | 118,346 | |
TransDigm, Inc., | |||
8.00%, 12/15/25(b) | 480,000 | 488,400 | |
6.25%, 3/15/26(b) | 20,000 | 19,728 | |
Triumph Group, Inc., | |||
8.87%, 6/01/24(b) | 28,000 | 28,301 | |
7.75%, 8/15/25(i) | 260,000 | 196,971 | |
1,179,804 | |||
Automotive – 1.0% | |||
Clarios Global L.P./Clarios U.S. Finance Co., 8.50%, 5/15/27(b)(i) | 250,000 | 245,000 | |
Ford Motor Co., | |||
3.25%, 2/12/32(i) | 100,000 | 75,082 | |
6.10%, 8/19/32(i) | 340,000 | 311,204 | |
Ford Motor Credit Co. LLC, | |||
4.95%, 5/28/27 | 200,000 | 183,092 | |
2.90%, 2/16/28 | 200,000 | 162,356 | |
2.90%, 2/10/29 | 200,000 | 156,788 | |
4.00%, 11/13/30 | 600,000 | 485,268 | |
General Motors Co., 6.12%, 10/01/25 | 80,000 | 79,664 | |
PM General Purchaser LLC, 9.50%, 10/01/28(b) | 450,000 | 386,871 | |
2,085,325 | |||
Banking – 0.1% | |||
JPMorgan Chase & Co., (SOFR + 1.56%), 4.32%, 4/26/28(k) | 180,000 | 167,435 | |
Wells Fargo & Co., (SOFR + 4.50%), 5.02%, 4/04/51(k) | 80,000 | 67,809 | |
235,244 | |||
Biotechnology & Pharmaceuticals – 0.1% | |||
Bausch Health Cos., Inc., | |||
5.50%, 11/01/25(b) | 110,000 | 87,888 | |
6.12%, 2/01/27(b) | 90,000 | 59,080 | |
5.00%, 1/30/28(b) | 20,000 | 7,754 | |
154,722 |
Par (a) | Value | ||
Cable & Satellite – 0.8% | |||
CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, 5/01/32 | $370,000 | $ 292,300 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 5.13%, 7/01/49 | 70,000 | 51,616 | |
CSC Holdings LLC, | |||
6.50%, 2/01/29(b) | 400,000 | 377,000 | |
4.50%, 11/15/31(b) | 200,000 | 155,555 | |
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.87%, 8/15/27(b) | 310,000 | 279,186 | |
DISH DBS Corp., | |||
5.87%, 11/15/24 | 220,000 | 202,796 | |
5.75%, 12/01/28(b) | 150,000 | 120,938 | |
Time Warner Cable LLC, 6.75%, 6/15/39 | 90,000 | 79,642 | |
1,559,033 | |||
Commercial Support Services – 0.4% | |||
Allied Universal Holdco LLC/Allied Universal Finance Corp., | |||
6.63%, 7/15/26(b) | 100,000 | 95,504 | |
6.00%, 6/01/29(b) | 200,000 | 138,860 | |
CoreCivic, Inc., 8.25%, 4/15/26(i) | 430,000 | 436,289 | |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, 2/01/26(b) | 160,000 | 140,000 | |
TKC Holdings, Inc., | |||
6.87%, 5/15/28(b) | 60,000 | 49,800 | |
10.50%, 5/15/29(b)(i) | 20,000 | 14,201 | |
ZipRecruiter, Inc., 5.00%, 1/15/30(b) | 60,000 | 49,089 | |
923,743 | |||
Construction Materials – 0.1% | |||
Advanced Drainage Systems, Inc., 6.38%, 6/15/30(b)(i) | 120,000 | 115,967 | |
Smyrna Ready Mix Concrete LLC, 6.00%, 11/01/28(b) | 160,000 | 134,400 | |
250,367 | |||
Consumer Services – 0.3% | |||
Adtalem Global Education, Inc., 5.50%, 3/01/28(b) | 63,000 | 57,488 | |
Carriage Services, Inc., 4.25%, 5/15/29(b) | 140,000 | 107,741 |
Par (a) | Value | ||
Consumer Services (Continued) | |||
Rent-A-Center, Inc., 6.37%, 2/15/29(b) | $180,000 | $140,225 | |
StoneMor, Inc., 8.50%, 5/15/29(b) | 300,000 | 253,125 | |
558,579 | |||
Containers & Packaging – 0.2% | |||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 6.00%, 6/15/27(b) | 210,000 | 201,509 | |
Pactiv LLC, | |||
7.95%, 12/15/25 | 40,000 | 37,133 | |
8.37%, 4/15/27 | 100,000 | 90,575 | |
329,217 | |||
Electrical Equipment – 0.1% | |||
Vertiv Group Corp., 4.13%, 11/15/28(b) | 250,000 | 217,470 | |
Engineering & Construction – 0.1% | |||
Tutor Perini Corp., 6.88%, 5/01/25(b)(i) | 140,000 | 111,404 | |
Entertainment Content – 0.2% | |||
Warnermedia Holdings, Inc., 3.76%, 3/15/27(b) | 390,000 | 346,937 | |
Food – 0.2% | |||
Darling Ingredients, Inc., 6.00%, 6/15/30(b)(i) | 270,000 | 259,875 | |
Kraft Heinz Foods Co., 4.38%, 6/01/46 | 160,000 | 124,814 | |
Simmons Foods, Inc., 4.62%, 3/01/29(b) | 150,000 | 125,165 | |
509,854 | |||
Health Care Facilities & Services – 0.6% | |||
AdaptHealth LLC, 4.62%, 8/01/29(b) | 220,000 | 185,543 | |
Akumin Escrow, Inc., 7.50%, 8/01/28(b) | 150,000 | 107,781 | |
Akumin, Inc., 7.00%, 11/01/25(b) | 40,000 | 32,347 | |
Centene Corp., 4.25%, 12/15/27 | 80,000 | 73,800 | |
CHS/Community Health Systems, Inc., 6.12%, 4/01/30(b)(i) | 400,000 | 164,000 | |
Legacy LifePoint Health LLC, 6.75%, 4/15/25(b) | 140,000 | 123,900 | |
Option Care Health, Inc., 4.38%, 10/31/29(b) | 360,000 | 310,889 |
Par (a) | Value | ||
Health Care Facilities & Services (Continued) | |||
Radiology Partners, Inc., 9.25%, 2/01/28(b)(i) | $180,000 | $ 95,220 | |
US Renal Care, Inc., 10.63%, 7/15/27(b) | 150,000 | 59,551 | |
1,153,031 | |||
Home Construction – 0.0%(g) | |||
MDC Holdings, Inc., 6.00%, 1/15/43 | 50,000 | 37,614 | |
Industrial Intermediate Products – 0.1% | |||
Park-Ohio Industries, Inc., 6.63%, 4/15/27(i) | 180,000 | 126,000 | |
Industrial Support Services – 0.4% | |||
H&E Equipment Services, Inc., 3.88%, 12/15/28(b)(i) | 150,000 | 126,746 | |
United Rentals North America, Inc., | |||
5.50%, 5/15/27(i) | 560,000 | 546,389 | |
3.87%, 2/15/31 | 130,000 | 107,770 | |
780,905 | |||
Institutional Financial Services – 0.2% | |||
Coinbase Global, Inc., 3.63%, 10/01/31(b) | 140,000 | 82,899 | |
Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29(b) | 180,000 | 159,095 | |
StoneX Group, Inc., 8.62%, 6/15/25(b) | 180,000 | 177,750 | |
419,744 | |||
Insurance – 0.2% | |||
Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc., (100% Cash), 7.62%, 10/15/25(b)(l) | 400,000 | 373,972 | |
NMI Holdings, Inc., 7.38%, 6/01/25(b) | 150,000 | 149,856 | |
523,828 | |||
Internet Media & Services – 0.1% | |||
Ziff Davis, Inc., 4.63%, 10/15/30(b)(i) | 210,000 | 177,496 | |
Leisure Facilities & Services – 1.1% | |||
AMC Entertainment Holdings, Inc., | |||
10.00%, 6/15/26(b)(i) | 10,000 | 5,300 | |
7.50%, 2/15/29(b) | 60,000 | 41,250 | |
Boyne USA, Inc., 4.75%, 5/15/29(b) | 360,000 | 315,000 |
Par (a) | Value | ||
Leisure Facilities & Services (Continued) | |||
Carnival Corp., 10.50%, 6/01/30(b)(i) | $210,000 | $ 162,750 | |
Carnival PLC, 7.87%, 6/01/27 | 790,000 | 766,356 | |
Carrols Restaurant Group, Inc., 5.87%, 7/01/29(b) | 40,000 | 28,100 | |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., 4.63%, 1/15/29(b) | 80,000 | 69,576 | |
Full House Resorts, Inc., 8.25%, 2/15/28(b)(i) | 90,000 | 78,300 | |
Las Vegas Sands Corp., | |||
3.20%, 8/08/24 | 240,000 | 228,523 | |
3.50%, 8/18/26 | 30,000 | 26,203 | |
NCL Corp. Ltd., | |||
3.63%, 12/15/24(b)(i) | 60,000 | 52,062 | |
5.87%, 2/15/27(b) | 220,000 | 196,350 | |
Royal Caribbean Cruises Ltd., 11.63%, 8/15/27(b) | 120,000 | 115,073 | |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 2/15/29(b) | 20,000 | 15,591 | |
VOC Escrow Ltd., 5.00%, 2/15/28(b) | 20,000 | 16,465 | |
Wendy's International LLC, 7.00%, 12/15/25 | 240,000 | 240,000 | |
2,356,899 | |||
Machinery – 0.1% | |||
Granite U.S. Holdings Corp., 11.00%, 10/01/27(b) | 70,000 | 65,450 | |
Titan International, Inc., 7.00%, 4/30/28 | 180,000 | 168,269 | |
233,719 | |||
Medical Equipment & Devices – 0.1% | |||
Medline Borrower L.P., 3.88%, 4/01/29(b) | 260,000 | 212,420 | |
Metals & Mining – 0.0%(g) | |||
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 60,000 | 49,290 | |
Oil & Gas Producers – 3.7% | |||
Berry Petroleum Co. LLC, 7.00%, 2/15/26(b) | 540,000 | 483,300 | |
Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.62%, 12/15/25(b) | 220,000 | 217,256 | |
Cheniere Energy Partners L.P., 3.25%, 1/31/32 | 150,000 | 116,726 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Chord Energy Corp., 6.37%, 6/01/26(b) | $260,000 | $253,994 | |
Colgate Energy Partners III LLC, 5.87%, 7/01/29(b) | 420,000 | 391,549 | |
Continental Resources, Inc., 5.75%, 1/15/31(b) | 170,000 | 154,131 | |
DCP Midstream Operating L.P., 6.75%, 9/15/37(b) | 200,000 | 193,096 | |
Devon Energy Corp., 5.00%, 6/15/45 | 170,000 | 141,897 | |
Diamondback Energy, Inc., 3.13%, 3/24/31 | 250,000 | 204,293 | |
Endeavor Energy Resources L.P./EER Finance, Inc., 5.75%, 1/30/28(b) | 160,000 | 155,514 | |
Energy Transfer L.P., | |||
5.50%, 6/01/27 | 40,000 | 38,925 | |
(5Y US Treasury CMT + 5.31%), 7.12%, 5/15/30(k)(m) | 70,000 | 58,056 | |
5.35%, 5/15/45 | 90,000 | 70,737 | |
Enterprise Products Operating LLC, | |||
3.70%, 1/31/51 | 50,000 | 33,655 | |
3.95%, 1/31/60 | 30,000 | 19,924 | |
EQM Midstream Partners L.P., | |||
7.50%, 6/01/30(b)(i) | 100,000 | 97,250 | |
4.75%, 1/15/31(b) | 150,000 | 125,355 | |
EQT Corp., | |||
6.12%, 2/01/25 | 100,000 | 100,247 | |
3.13%, 5/15/26(b) | 20,000 | 18,150 | |
7.00%, 2/01/30 | 150,000 | 153,757 | |
Genesis Energy L.P./Genesis Energy Finance Corp., 5.63%, 6/15/24 | 120,000 | 117,300 | |
Hilcorp Energy I L.P./Hilcorp Finance Co., 6.25%, 4/15/32(b) | 120,000 | 110,068 | |
Howard Midstream Energy Partners LLC, 6.75%, 1/15/27(b) | 130,000 | 117,944 | |
Northern Oil and Gas, Inc., 8.12%, 3/01/28(b) | 220,000 | 213,400 | |
Occidental Petroleum Corp., | |||
7.20%, 3/15/29 | 60,000 | 61,500 | |
6.62%, 9/01/30 | 420,000 | 436,823 | |
6.45%, 9/15/36 | 10,000 | 9,920 | |
Range Resources Corp., | |||
8.25%, 1/15/29 | 420,000 | 436,498 | |
4.75%, 2/15/30(b) | 200,000 | 176,802 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
ROCC Holdings LLC, 9.25%, 8/15/26(b) | $260,000 | $ 256,498 | |
Rockies Express Pipeline LLC, 7.50%, 7/15/38(b) | 100,000 | 87,250 | |
Southwestern Energy Co., | |||
7.75%, 10/01/27 | 455,000 | 468,045 | |
8.37%, 9/15/28 | 170,000 | 175,846 | |
4.75%, 2/01/32 | 160,000 | 138,112 | |
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 8.50%, 10/15/26(b) | 120,000 | 115,200 | |
Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp., 6.00%, 12/31/30(b) | 80,000 | 72,418 | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 4.88%, 2/01/31 | 250,000 | 220,577 | |
Transcontinental Gas Pipe Line Co. LLC, 4.60%, 3/15/48 | 100,000 | 78,869 | |
Venture Global Calcasieu Pass LLC, | |||
4.13%, 8/15/31(b) | 210,000 | 179,031 | |
3.88%, 11/01/33(b) | 370,000 | 296,925 | |
Viper Energy Partners L.P., 5.38%, 11/01/27(b) | 250,000 | 235,144 | |
Western Midstream Operating L.P., | |||
5.45%, 4/01/44 | 340,000 | 275,729 | |
5.30%, 3/01/48 | 410,000 | 331,075 | |
Williams (The) Cos., Inc., 8.75%, 3/15/32 | 30,000 | 34,491 | |
7,673,277 | |||
Publishing & Broadcasting – 0.1% | |||
Clear Channel Outdoor Holdings, Inc., 7.50%, 6/01/29(b)(i) | 50,000 | 39,303 | |
McClatchy (The) Co. LLC, 11.00%, 7/15/27(b)(l) | 150,000 | 165,562 | |
204,865 | |||
Real Estate Investment Trusts – 0.2% | |||
Diversified Healthcare Trust, 9.75%, 6/15/25 | 74,000 | 69,766 | |
IIP Operating Partnership L.P., 5.50%, 5/25/26 | 160,000 | 141,120 | |
Service Properties Trust, | |||
4.35%, 10/01/24 | 30,000 | 27,548 | |
5.50%, 12/15/27 | 190,000 | 163,856 | |
402,290 |
Par (a) | Value | ||
Real Estate Owners & Developers – 0.1% | |||
Five Point Operating Co. L.P./Five Point Capital Corp., 7.88%, 11/15/25(b) | $170,000 | $140,717 | |
Renewable Energy – 0.2% | |||
Sunnova Energy Corp., 5.88%, 9/01/26(b)(i) | 410,000 | 360,800 | |
Retail - Discretionary – 0.4% | |||
Abercrombie & Fitch Management Co., 8.75%, 7/15/25(b) | 20,000 | 18,901 | |
Bath & Body Works, Inc., | |||
5.25%, 2/01/28(i) | 150,000 | 132,675 | |
6.62%, 10/01/30(b) | 70,000 | 62,623 | |
Bed Bath & Beyond, Inc., 5.17%, 8/01/44 | 230,000 | 23,711 | |
Builders FirstSource, Inc., 4.25%, 2/01/32(b)(i) | 160,000 | 128,032 | |
Foot Locker, Inc., 4.00%, 10/01/29(b) | 30,000 | 22,934 | |
Guitar Center, Inc., 8.50%, 1/15/26(b) | 260,000 | 227,327 | |
Michaels (The) Cos., Inc., 7.87%, 5/01/29(b)(i) | 160,000 | 89,200 | |
Sally Holdings LLC/Sally Capital, Inc., 5.63%, 12/01/25 | 160,000 | 150,800 | |
856,203 | |||
Software – 0.4% | |||
AthenaHealth Group, Inc., 6.50%, 2/15/30(b)(i) | 270,000 | 210,600 | |
Central Parent, Inc./CDK Global, Inc., 7.25%, 6/15/29(b)(i) | 270,000 | 258,068 | |
Crowdstrike Holdings, Inc., 3.00%, 2/15/29 | 100,000 | 84,292 | |
NortonLifeLock, Inc., 7.12%, 9/30/30(b)(i) | 220,000 | 216,258 | |
Rackspace Technology Global, Inc., 3.50%, 2/15/28(b)(i) | 70,000 | 46,225 | |
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 2/01/29(b)(i) | 70,000 | 58,489 | |
873,932 | |||
Specialty Finance – 0.4% | |||
Apollo Commercial Real Estate Finance, Inc., 4.63%, 6/15/29(b) | 140,000 | 110,250 | |
Aviation Capital Group LLC, 5.50%, 12/15/24(b) | 80,000 | 76,971 |
Par (a) | Value | ||
Specialty Finance (Continued) | |||
Burford Capital Global Finance LLC, 6.87%, 4/15/30(b) | $200,000 | $173,483 | |
FirstCash, Inc., 5.63%, 1/01/30(b) | 180,000 | 158,669 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., | |||
4.25%, 2/01/27(b)(i) | 80,000 | 67,189 | |
4.75%, 6/15/29(b) | 80,000 | 63,677 | |
LD Holdings Group LLC, 6.12%, 4/01/28(b) | 130,000 | 72,800 | |
Midcap Financial Issuer Trust, 6.50%, 5/01/28(b) | 200,000 | 169,975 | |
Navient Corp., 5.62%, 8/01/33 | 50,000 | 35,230 | |
928,244 | |||
Technology Hardware – 0.2% | |||
CommScope, Inc., | |||
8.25%, 3/01/27(b) | 20,000 | 17,756 | |
4.75%, 9/01/29(b) | 190,000 | 160,709 | |
NCR Corp., 5.12%, 4/15/29(b) | 180,000 | 151,067 | |
Viavi Solutions, Inc., 3.75%, 10/01/29(b) | 60,000 | 50,093 | |
379,625 | |||
Technology Services – 0.0%(g) | |||
Paysafe Finance PLC/Paysafe Holdings U.S. Corp., 4.00%, 6/15/29(b)(i) | 120,000 | 85,800 | |
Telecommunications – 0.1% | |||
Switch Ltd., 4.12%, 6/15/29(b) | 70,000 | 70,035 | |
Verizon Communications, Inc., | |||
3.40%, 3/22/41 | 110,000 | 78,208 | |
3.55%, 3/22/51 | 50,000 | 33,750 | |
3.70%, 3/22/61 | 80,000 | 52,327 | |
234,320 | |||
Tobacco & Cannabis – 0.0%(g) | |||
Altria Group, Inc., 5.95%, 2/14/49 | 80,000 | 65,340 | |
Transportation & Logistics – 1.1% | |||
American Airlines, Inc., 11.75%, 7/15/25(b) | 220,000 | 240,597 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 4/20/29(b) | 200,000 | 182,000 | |
Carriage Purchaser, Inc., 7.87%, 10/15/29(b) | 70,000 | 51,826 |
Par (a) | Value | ||
Transportation & Logistics (Continued) | |||
Delta Air Lines, Inc., 7.00%, 5/01/25(b) | $450,000 | $ 456,204 | |
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 1/20/26(b) | 430,000 | 395,888 | |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 6/20/27(b) | 209,000 | 206,618 | |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 9/20/25(b) | 130,000 | 132,054 | |
United Airlines Pass Through Trust, Series 2020-1, Class B, 4.87%, 1/15/26 | 45,720 | 42,432 | |
United Airlines, Inc., 4.63%, 4/15/29(b) | 110,000 | 94,082 | |
XPO CNW, Inc., 6.70%, 5/01/34 | 370,000 | 331,150 | |
XPO Escrow Sub LLC, 7.50%, 11/15/27(b) | 50,000 | 49,875 | |
2,182,726 | |||
Transportation Equipment – 0.0%(g) | |||
Allison Transmission, Inc., 4.75%, 10/01/27(b) | 70,000 | 64,444 | |
Total Corporate Bonds (Cost $32,824,373) | 28,985,228 | ||
Foreign Issuer Bonds – 8.1% | |||
Angola – 0.1% | |||
Angolan Government International Bond, 8.75%, 4/14/32(b) | 210,000 | 169,155 | |
Argentina – 0.4% | |||
Provincia de Buenos Aires, (Step to 6.38% on 9/1/23), 5.25%, 9/01/37(b)(d) | 600,000 | 183,309 | |
Provincia de Cordoba, 6.99%, 6/01/27(b) | 200,000 | 122,040 | |
Transportadora de Gas del Sur S.A., 6.75%, 5/02/25(b) | 200,000 | 174,283 | |
YPF S.A., 8.50%, 7/28/25(b) | 400,000 | 288,000 | |
767,632 | |||
Brazil – 0.8% | |||
B3 SA - Brasil Bolsa Balcao, 4.12%, 9/20/31(b) | 250,000 | 199,195 |
Par (a) | Value | ||
Brazil (Continued) | |||
Braskem Netherlands Finance B.V., 4.50%, 1/10/28(b) | $270,000 | $ 234,430 | |
MercadoLibre, Inc., 3.13%, 1/14/31 | 270,000 | 195,186 | |
Petrobras Global Finance B.V., | |||
5.30%, 1/27/25 | 150,000 | 148,125 | |
6.85%, 6/05/15(n) | 310,000 | 242,978 | |
Suzano Austria GmbH, 3.12%, 1/15/32 | 500,000 | 368,750 | |
Vale Overseas Ltd., 6.25%, 8/10/26(i) | 250,000 | 253,750 | |
1,642,414 | |||
Canada – 0.4% | |||
Air Canada, 3.88%, 8/15/26(b) | 90,000 | 79,634 | |
GFL Environmental, Inc., 5.13%, 12/15/26(b) | 110,000 | 104,707 | |
Hudbay Minerals, Inc., 6.12%, 4/01/29(b) | 90,000 | 74,475 | |
MEG Energy Corp., 7.12%, 2/01/27(b) | 200,000 | 203,510 | |
Superior Plus L.P./Superior General Partner, Inc., 4.50%, 3/15/29(b) | 50,000 | 42,382 | |
TransAlta Corp., 6.50%, 3/15/40 | 430,000 | 369,321 | |
874,029 | |||
Chile – 0.1% | |||
VTR Comunicaciones S.p.A., 5.13%, 1/15/28(b)(i) | 200,000 | 127,185 | |
China – 0.3% | |||
Global Aircraft Leasing Co. Ltd., (100% Cash), 6.50%, 9/15/24(b)(l) | 259,062 | 208,006 | |
Prosperous Ray Ltd., 4.63%, 11/12/23 | 200,000 | 199,207 | |
Prosus N.V., 3.06%, 7/13/31(b) | 270,000 | 181,344 | |
588,557 | |||
Colombia – 0.1% | |||
Millicom International Cellular S.A., 4.50%, 4/27/31(b) | 250,000 | 187,417 | |
Dominican Republic – 0.1% | |||
Dominican Republic International Bond, 6.00%, 2/22/33(b) | 300,000 | 251,188 |
Par (a) | Value | ||
France – 0.3% | |||
Altice France S.A., 5.13%, 7/15/29(b)(i) | $ 200,000 | $ 150,635 | |
BNP Paribas S.A., (5Y US Treasury CMT + 4.90%), 7.75%, 8/16/29(b)(k)(m) | 200,000 | 188,567 | |
Credit Agricole S.A., (5Y USD Swap Rate + 6.19%), 8.12%, 12/23/25(b)(k)(m) | 200,000 | 199,000 | |
538,202 | |||
Gabon – 0.1% | |||
Gabon Government International Bond, 7.00%, 11/24/31(b) | 200,000 | 139,110 | |
Germany – 0.1% | |||
ZF North America Capital, Inc., 4.75%, 4/29/25(b) | 330,000 | 308,510 | |
Ghana – 0.0%(g) | |||
Ghana Government International Bond, 8.13%, 3/26/32(b) | 250,000 | 71,990 | |
Hong Kong – 0.1% | |||
Melco Resorts Finance Ltd., | |||
4.88%, 6/06/25(b) | 200,000 | 142,434 | |
5.37%, 12/04/29(b) | 200,000 | 111,200 | |
253,634 | |||
Indonesia – 1.1% | |||
Indonesia Government International Bond, 3.50%, 1/11/28 | 400,000 | 366,169 | |
Indonesia Treasury Bond, 6.50%, 2/15/31 | IDR | 31,834,000,000 | 1,909,697 |
2,275,866 | |||
Ireland – 0.1% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, 1/30/32 | 300,000 | 225,165 | |
Avolon Holdings Funding Ltd., 4.25%, 4/15/26(b) | 60,000 | 52,448 | |
277,613 |
Par (a) | Value | ||
Israel – 0.2% | |||
Teva Pharmaceutical Finance Co. LLC, 6.15%, 2/01/36 | $430,000 | $352,389 | |
Teva Pharmaceutical Finance Netherlands III B.V., 4.75%, 5/09/27 | 210,000 | 185,325 | |
537,714 | |||
Italy – 0.1% | |||
UniCredit S.p.A., (5Y US Treasury CMT + 4.75%), 5.46%, 6/30/35(b)(k) | 210,000 | 156,467 | |
Ivory Coast – 0.1% | |||
Ivory Coast Government International Bond, 5.75%, 12/31/32 | 156,736 | 139,156 | |
Jordan – 0.1% | |||
Jordan Government International Bond, 7.75%, 1/15/28(b) | 230,000 | 222,111 | |
Kazakhstan – 0.3% | |||
Kazakhstan Government International Bond, 5.12%, 7/21/25 | 220,000 | 225,554 | |
KazMunayGas National Co. JSC, 4.75%, 4/19/27(b) | 250,000 | 216,946 | |
KazTransGas JSC, 4.38%, 9/26/27(b) | 200,000 | 164,061 | |
606,561 | |||
Kuwait – 0.1% | |||
MEGlobal Canada ULC, 5.88%, 5/18/30(b) | 210,000 | 202,289 | |
Luxembourg – 0.5% | |||
Altice France Holding S.A., 10.50%, 5/15/27(b) | 620,000 | 483,147 | |
ARD Finance S.A., (100% Cash), 6.50%, 6/30/27(b)(l) | 200,000 | 143,500 | |
FAGE International S.A./FAGE USA Dairy Industry, Inc., 5.62%, 8/15/26(b) | 420,000 | 368,371 | |
995,018 | |||
Macau – 0.2% | |||
Sands China Ltd., 3.35%, 3/08/29 | 450,000 | 300,937 | |
Wynn Macau Ltd., 5.62%, 8/26/28(b) | 240,000 | 146,400 | |
447,337 |
Par (a) | Value | ||
Mexico – 0.4% | |||
Banco Mercantil del Norte S.A., | |||
(10Y US Treasury CMT + 5.35%), 7.62%, 1/10/28(b)(k)(m) | $230,000 | $188,804 | |
(10Y US Treasury CMT + 5.47%), 7.50%, 6/27/29(b)(k)(m) | 250,000 | 195,141 | |
Mexico Government International Bond, 4.75%, 3/08/44 | 500,000 | 379,045 | |
762,990 | |||
Panama – 0.1% | |||
Panama Government International Bond, 4.50%, 4/01/56 | 200,000 | 131,111 | |
Peru – 0.3% | |||
Peruvian Government International Bond, 2.78%, 1/23/31 | 240,000 | 189,274 | |
Petroleos del Peru S.A., 5.62%, 6/19/47(b) | 250,000 | 160,357 | |
Volcan Cia Minera S.A.A., 4.38%, 2/11/26(b) | 260,000 | 218,210 | |
567,841 | |||
Qatar – 0.2% | |||
Qatar Government International Bond, 4.82%, 3/14/49(b) | 400,000 | 356,019 | |
South Africa – 0.1% | |||
Sasol Financing U.S.A. LLC, 5.50%, 3/18/31(i) | 250,000 | 187,243 | |
Switzerland – 0.5% | |||
Credit Suisse Group A.G., | |||
(5Y US Treasury CMT + 6.38%), 9.75%, 6/23/27(b)(i)(k)(m) | 240,000 | 228,030 | |
(SOFR + 3.92%), 6.54%, 8/12/33(b)(k) | 250,000 | 217,621 | |
UBS Group A.G., (5Y USD Swap Rate + 4.34%), 7.00%, 1/31/24(b)(k)(m) | 500,000 | 483,607 | |
VistaJet Malta Finance PLC/XO Management Holding, Inc., 6.37%, 2/01/30(b) | 50,000 | 41,517 | |
970,775 | |||
Turkey – 0.1% | |||
Turk Telekomunikasyon AS, 6.88%, 2/28/25(b) | 250,000 | 217,500 |
Par (a) | Value | ||
United Arab Emirates – 0.1% | |||
DP World Ltd., 5.63%, 9/25/48(b) | $290,000 | $ 238,668 | |
United Kingdom – 0.2% | |||
Mclaren Finance PLC, 7.50%, 8/01/26(b)(i) | 200,000 | 158,506 | |
Neptune Energy Bondco PLC, 6.62%, 5/15/25(b) | 200,000 | 194,258 | |
Vmed O2 UK Financing I PLC, 4.75%, 7/15/31(b)(i) | 200,000 | 161,612 | |
514,376 | |||
Zambia – 0.4% | |||
First Quantum Minerals Ltd., | |||
6.87%, 3/01/26(b) | 490,000 | 459,816 | |
6.88%, 10/15/27(b) | 480,000 | 446,317 | |
906,133 | |||
Total Foreign Issuer Bonds (Cost $19,719,214) | 16,631,811 |
Number of Shares | |||
Master Limited Partnerships – 3.1% | |||
Oil & Gas Producers – 3.1% | |||
Energy Transfer L.P. | 409,162 | 5,224,999 | |
Enterprise Products Partners L.P. | 23,228 | 586,507 | |
Magellan Midstream Partners L.P. | 3,981 | 214,775 | |
MPLX L.P. | 6,224 | 208,753 | |
Plains All American Pipeline L.P. | 15,279 | 182,889 | |
Total Master Limited Partnerships (Cost $5,708,558) | 6,417,923 |
Par (a) | |||
Mortgage-Backed Securities – 4.4% | |||
Commercial Mortgage-Backed Securities – 2.2% | |||
BX Commercial Mortgage Trust, | |||
Series 2021-VOLT, Class D, (1M USD LIBOR + 1.65%, 1.65% Floor), 5.06%, 9/15/36(b)(c) | 270,000 | 249,728 | |
Series 2021-ACNT, Class A, (1M USD LIBOR + 0.85%, 0.85% Floor), 4.26%, 11/15/38(b)(c) | 197,000 | 187,728 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
BX Commercial Mortgage Trust, | |||
Series 2022-AHP, Class A, (1M CME Term SOFR + 0.99%, 0.99% Floor), 4.37%, 1/17/39(b)(c) | $212,000 | $203,522 | |
BX Trust, | |||
Series 2022-CLS, Class A, 5.76%, 10/13/27(b) | 230,000 | 227,432 | |
Series 2021-SDMF, Class F, (1M USD LIBOR + 1.94%, 1.94% Floor), 5.35%, 9/15/34(b)(c) | 210,000 | 194,225 | |
Series 2021-ARIA, Class A, (1M USD LIBOR + 0.90%, 0.90% Floor), 4.31%, 10/15/36(b)(c) | 270,000 | 253,098 | |
Series 2022-PSB, Class A, (1M CME Term SOFR + 2.45%, 2.45% Floor), 5.83%, 8/15/39(b)(c) | 300,000 | 299,068 | |
BXHPP Trust, Series 2021-FILM, Class C, (1M USD LIBOR + 1.10%, 1.10% Floor), 4.51%, 8/15/36(b)(c) | 270,000 | 247,632 | |
Commercial Mortgage Trust, Series 2015-CR25, Class A4, 3.76%, 8/10/48 | 260,000 | 245,241 | |
Extended Stay America Trust, | |||
Series 2021-ESH, Class A, (1M USD LIBOR + 1.08%, 1.08% Floor), 4.49%, 7/15/38(b)(c) | 263,572 | 253,012 | |
Series 2021-ESH, Class C, (1M USD LIBOR + 1.70%, 1.70% Floor), 5.11%, 7/15/38(b)(c) | 253,810 | 240,146 | |
Series 2021-ESH, Class E, (1M USD LIBOR + 2.85%, 2.85% Floor), 6.26%, 7/15/38(b)(c) | 253,810 | 239,193 | |
GS Mortgage Securities Trust, Series 2017-GS6, Class A2, 3.17%, 5/10/50 | 195,706 | 177,113 | |
J.P. Morgan Chase Commercial Mortgage Securities Trust, | |||
Series 2022-NLP, Class D, (1M CME Term SOFR + 2.17%, 2.17% Floor), 5.54%, 4/15/37(b)(c) | 210,000 | 189,564 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
J.P. Morgan Chase Commercial Mortgage Securities Trust, | |||
Series 2022-ACB, Class A, (30D Average SOFR + 1.40%, 1.40% Floor), 4.19%, 3/15/39(b)(c) | $350,000 | $ 339,927 | |
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class A5, 3.92%, 1/15/49 | 200,000 | 188,115 | |
LAQ Mortgage Trust, Series 2022-LAQ, Class A, (1M CME Term SOFR + 1.72%, 1.72% Floor), 5.14%, 3/15/39(b)(c) | 143,273 | 137,911 | |
MTN Commercial Mortgage Trust, | |||
Series 2022-LPFL, Class A, (1M CME Term SOFR + 1.40%, 1.40% Floor), 4.77%, 3/15/39(b)(c) | 260,000 | 252,201 | |
Series 2022-LPFL, Class F, (1M CME Term SOFR + 5.29%, 5.29% Floor), 8.66%, 3/15/39(b)(c) | 200,000 | 188,832 | |
NCMF Trust, Series 2022-MFP, Class G, (1M CME Term SOFR + 5.13%, 5.13% Floor), 8.51%, 3/15/39(b)(c) | 195,000 | 185,501 | |
4,499,189 | |||
Whole Loan – 2.2% | |||
BRAVO Residential Funding Trust, | |||
Series 2022-NQM1, Class A1, 3.62%, 9/25/61(b) | 213,983 | 194,787 | |
Series 2022-NQM2, Class A1, 4.27%, 11/25/61(b) | 174,581 | 161,160 | |
Series 2022-NQM2, Class A3, 5.24%, 11/25/61(b) | 218,226 | 204,022 | |
COLT Mortgage Loan Trust, Series 2022-3, Class A1, 3.90%, 2/25/67(b)(e) | 242,470 | 213,065 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Connecticut Avenue Securities Trust, | |||
Series 2022-R03, Class 1M2, (30D Average SOFR + 3.50%), 6.50%, 3/25/42(b)(c) | $250,000 | $237,812 | |
Series 2022-R08, Class 1M2, (30D Average SOFR + 3.60%, 3.60% Floor), 6.60%, 7/25/42(b)(c) | 200,000 | 188,500 | |
CSMC Trust, Series 2020-RPL4, Class A1, 2.00%, 1/25/60(b) | 230,005 | 201,691 | |
FHLMC Structured Agency Credit Risk Debt Notes, Series 2021-DNA2, Class B1, (30D Average SOFR + 3.40%), 6.40%, 8/25/33(b)(c) | 270,000 | 232,813 | |
FNMA Connecticut Avenue Securities, | |||
Series 2017-C06, Class 1B1, (1M USD LIBOR + 4.15%, 4.15% Floor), 7.73%, 2/25/30(c) | 330,000 | 334,391 | |
Series 2018-C05, Class 1B1, (1M USD LIBOR + 4.25%, 4.25% Floor), 7.83%, 1/25/31(c) | 250,000 | 252,327 | |
Freddie Mac STACR REMIC Trust, | |||
Series 2021-DNA7, Class B1, (30D Average SOFR + 3.65%), 6.65%, 11/25/41(b)(c) | 210,000 | 184,685 | |
Series 2020-DNA5, Class B1, (30D Average SOFR + 4.80%), 7.80%, 10/25/50(b)(c) | 180,000 | 178,352 | |
Series 2020-DNA6, Class B1, (30D Average SOFR + 3.00%), 6.00%, 12/25/50(b)(c) | 260,000 | 238,554 | |
Series 2021-DNA1, Class B2, (30D Average SOFR + 4.75%), 7.75%, 1/25/51(b)(c) | 240,000 | 182,150 | |
Series 2022-DNA2, Class M1B, (30D Average SOFR + 2.40%), 5.40%, 2/25/42(b)(c) | 210,000 | 193,200 | |
GS Mortgage-Backed Securities Trust, Series 2022-NQM1, Class A4, 4.00%, 5/25/62(b)(e) | 224,454 | 196,204 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
New Residential Mortgage Loan Trust, | |||
Series 2018-RPL1, Class A1, 3.50%, 12/25/57(b) | $452,476 | $ 422,792 | |
Series 2022-NQM2, Class A1, 3.08%, 3/27/62(b)(e) | 242,828 | 206,054 | |
Residential Mortgage Loan Trust, Series 2020-2, Class A2, 2.51%, 5/25/60(b) | 260,000 | 250,957 | |
Seasoned Credit Risk Transfer Trust, Series 2022-1, Class M, 4.50%, 11/25/61(b) | 100,000 | 71,597 | |
SG Residential Mortgage Trust, Series 2022-1, Class A1, 3.16%, 3/27/62(b)(e) | 248,567 | 214,510 | |
4,559,623 | |||
Total Mortgage-Backed Securities (Cost $9,605,867) | 9,058,812 | ||
Term Loans – 10.8%(c) | |||
Advertising & Marketing – 0.1% | |||
CB Poly US Holdings, Inc., Initial Term Loan, (1M USD CME Term SOFR + 5.50%, 0.75% Floor), 9.23%, 5/18/29 | 200,000 | 187,300 | |
Aerospace & Defense – 0.5% | |||
Vertex Aerospace Services Corp., Initial Term Loan, (1M USD LIBOR + 3.75%, 0.75% Floor), 7.50%, 12/06/28 | 666,650 | 652,244 | |
WP CPP Holdings LLC, Initial Term Loan, | |||
(1M USD LIBOR + 3.75%, 1.00% Floor), 8.17%, 4/30/25 | 336,643 | 286,146 | |
(1M USD LIBOR + 3.75%, 1.00% Floor), 7.51%, 4/30/25 | 839 | 713 | |
939,103 | |||
Asset Management – 0.3% | |||
Jump Financial LLC, Term Loan, (3M USD CME Term SOFR + 4.50%, 0.50% Floor), 8.31%, 8/07/28 | 684,812 | 643,723 |
Par (a) | Value | ||
Automotive – 0.2% | |||
Clarios Global L.P., Amendment No. 1 Dollar Term Loan, (1M USD LIBOR + 3.25%), 7.00%, 4/30/26 | $460,000 | $ 446,416 | |
Beverages – 0.2% | |||
Triton Water Holdings, Inc., Initial Term Loan, (3M USD LIBOR + 3.50%, 0.50% Floor), 7.17%, 3/31/28 | 456,533 | 404,662 | |
Chemicals – 0.1% | |||
Hexion Holdings Corp., Initial Term Loan, (3M USD CME Term SOFR + 4.50%, 0.50% Floor), 7.41%, 3/15/29 | 229,425 | 194,438 | |
Commercial Support Services – 0.8% | |||
Allied Universal Holdco LLC, Initial U.S. Dollar Term Loan, (1M USD LIBOR + 3.75%, 0.50% Floor), 7.50%, 5/12/28 | 198,496 | 179,764 | |
Amentum Government Services Holdings LLC, Tranche 1 Term Loan, | |||
(3M USD LIBOR + 4.00%), 7.67%, 1/29/27 | 342,756 | 331,617 | |
(3M USD LIBOR + 4.00%), 8.17%, 1/29/27 | 113,741 | 110,045 | |
Garda World Security Corp., Term B-2 Loan, (3M USD LIBOR + 4.25%), 7.24%, 10/30/26 | 360,000 | 341,924 | |
LRS Holdings LLC, Initial Term Loan, (1M USD LIBOR + 4.25%, 0.50% Floor), 8.00%, 8/31/28 | 456,550 | 436,005 | |
Prime Security Services Borrower LLC, 2021 Refinancing Term B-1 Loan, (3M USD LIBOR + 2.75%, 0.75% Floor), 6.50%, 9/23/26 | 337,431 | 332,322 | |
1,731,677 | |||
Consumer Services – 0.1% | |||
Adtalem Global Education, Inc., Term B Loan, (1M USD LIBOR + 4.00%, 0.75% Floor), 7.57%, 8/12/28 | 192,874 | 190,394 |
Par (a) | Value | ||
Engineering & Construction – 0.1% | |||
Tutor Perini Corp., Term Loan, (1M USD LIBOR + 4.75%, 1.00% Floor), 8.50%, 8/18/27 | $189,036 | $175,330 | |
Entertainment Content – 0.3% | |||
Allen Media LLC, Initial Term Loan, (3M USD CME Term SOFR + 5.50%), 9.20%, 2/10/27 | 456,488 | 381,282 | |
AppLovin Corp., Amendment No. 6 New Term Loan, (3M USD LIBOR + 3.00%, 0.50% Floor), 6.67%, 10/25/28 | 339,148 | 326,599 | |
707,881 | |||
Health Care Facilities & Services – 1.4% | |||
EyeCare Partners LLC, Initial Term Loan, (3M USD LIBOR + 6.75%, 0.50% Floor), 10.42%, 11/15/29 | 380,000 | 339,465 | |
Gainwell Acquisition Corp., Term B Loan, (3M USD LIBOR + 4.00%, 0.75% Floor), 7.67%, 10/01/27 | 466,439 | 442,339 | |
One Call Corp., Term B Loan, (3M USD LIBOR + 5.50%, 0.75% Floor), 9.88%, 4/22/27 | 456,533 | 338,976 | |
PDS Holdco, Inc., Delayed Draw Term Loan, (1M USD LIBOR + 4.50%, 0.75% Floor), 8.25%, 8/18/28 | 32,202 | 28,933 | |
PDS Holdco, Inc., Initial Term Loan, (1M USD LIBOR + 4.50%, 0.75% Floor), 8.25%, 8/18/28 | 315,211 | 283,217 | |
Phoenix Guarantor, Inc., Tranche B-1 Term Loan, (1M USD LIBOR + 3.25%), 7.00%, 3/05/26 | 108,980 | 104,326 | |
Phoenix Newco, Inc., Initial Term Loan, (1M USD LIBOR + 3.25%, 0.50% Floor), 7.00%, 11/15/28 | 358,200 | 344,456 | |
Radiology Partners, Inc., Term B Loan, | |||
(1M USD LIBOR + 4.25%), 7.82%, 7/09/25 | 203,110 | 162,488 | |
(1M USD LIBOR + 4.25%), 7.83%, 7/09/25 | 236,890 | 189,512 |
Par (a) | Value | ||
Health Care Facilities & Services (Continued) | |||
U.S. Renal Care, Inc., Initial Term Loan, (1M USD LIBOR + 5.00%), 8.81%, 6/26/26 | $456,470 | $ 280,729 | |
WP CityMD Bidco LLC, Second Amendment Refinancing Term Loan, (3M USD LIBOR + 3.25%, 0.50% Floor), 6.92%, 12/22/28 | 308,000 | 298,119 | |
2,812,560 | |||
Home & Office Products – 0.1% | |||
Hunter Douglas Holding B.V., Tranche B-1 Term Loan, (3M USD CME Term SOFR + 3.50%, 0.50% Floor), 6.34%, 2/26/29 | 349,125 | 288,828 | |
Industrial Support Services – 0.2% | |||
PECF USS Intermediate Holding III Corp., Initial Term Loan, (1M USD LIBOR + 4.25%, 0.50% Floor), 8.00%, 12/15/28 | 456,550 | 350,566 | |
Institutional Financial Services – 0.8% | |||
CTC Holdings L.P., Term Loan, (6M USD CME Term SOFR + 5.00%, 0.50% Floor), 8.36%, 2/20/29 | 457,700 | 439,392 | |
Hudson River Trading LLC, Term Loan, (3M USD CME Term SOFR + 3.00%), 6.16%, 3/20/28 | 456,524 | 418,861 | |
Jane Street Group LLC, Dollar Term Loan, (1M USD LIBOR + 2.75%), 6.50%, 1/26/28 | 426,742 | 414,094 | |
VFH Parent LLC, Initial Term Loan, (1M USD CME Term SOFR + 3.00%, 0.50% Floor), 6.57%, 1/13/29 | 340,000 | 332,207 | |
1,604,554 | |||
Insurance – 0.5% | |||
Acrisure LLC, 2021-2 Additional Term Loan, (1M USD LIBOR + 4.25%, 0.50% Floor), 8.00%, 2/15/27 | 337,450 | 319,592 | |
Asurion LLC, New B-4 Term Loan, (1M USD LIBOR + 5.25%), 9.00%, 1/20/29 | 460,000 | 318,550 | |
Asurion LLC, New B-9 Term Loan, (1M USD LIBOR + 3.25%), 7.00%, 7/31/27 | 337,431 | 296,939 | |
935,081 |
Par (a) | Value | ||
Leisure Facilities & Services – 0.8% | |||
Alterra Mountain Co., Series B-2 Term Loan, (1M USD LIBOR + 3.50%, 0.50% Floor), 7.25%, 8/17/28 | $456,542 | $ 445,415 | |
ClubCorp Holdings, Inc., Term B Loan, (3M USD LIBOR + 2.75%), 6.42%, 9/18/24 | 456,397 | 409,680 | |
Hornblower Sub LLC (American Queen Sub LLC), 2020 Repriced Term B Loan, (3M USD LIBOR + 4.50%, 1.00% Floor), 7.38%, 4/27/25 | 396,883 | 287,078 | |
UFC Holdings LLC, Term B-3 Loan, (3M USD LIBOR + 2.75%, 0.75% Floor), 7.11%, 4/29/26 | 456,235 | 445,400 | |
1,587,573 | |||
Leisure Products – 0.2% | |||
19th Holdings Golf LLC, Initial Term Loan, (1M USD CME Term SOFR + 3.00%, 0.50% Floor), 6.20%, 2/07/29 | 458,850 | 416,406 | |
Machinery – 0.1% | |||
SPX Flow, Inc., Term Loan, (1M USD CME Term SOFR + 4.50%, 0.50% Floor), 8.33%, 4/05/29 | 280,000 | 264,200 | |
Oil & Gas Producers – 0.1% | |||
Southwestern Energy Co., Initial Loan, (3M USD CME Term SOFR + 2.50%, 0.50% Floor), 6.20%, 6/22/27 | 210,000 | 206,457 | |
Retail - Discretionary – 0.7% | |||
Empire Today LLC, Closing Date Term Loan, (1M USD LIBOR + 5.00%, 0.75% Floor), 8.30%, 4/03/28 | 406,786 | 298,988 | |
Great Outdoors Group LLC, Term B-2 Loan, (1M USD LIBOR + 3.75%, 0.75% Floor), 7.50%, 3/06/28 | 347,368 | 326,352 | |
Leslie's Poolmart, Inc., Initial Term Loan, (1M USD LIBOR + 2.50%, 0.50% Floor), 6.25%, 3/09/28 | 466,448 | 452,455 | |
Mister Car Wash Holdings, Inc., Initial Term Loan, (1M USD LIBOR + 3.00%), 6.75%, 5/14/26 | 458,931 | 447,554 | |
1,525,349 |
Par (a) | Value | ||
Software – 1.1% | |||
athenahealth Group, Inc., Initial DDTL, 2/15/29(o) | $ 7,351 | $ 6,702 | |
athenahealth Group, Inc., Initial Term Loan, (1M USD CME Term SOFR + 3.50%, 0.50% Floor), 6.97%, 2/15/29 | 43,265 | 39,443 | |
Cloudera, Inc., Initial Term Loan, | |||
(1M USD LIBOR + 3.75%, 0.50% Floor), 7.50%, 10/08/28 | 457,700 | 423,945 | |
(1M USD LIBOR + 6.00%, 0.50% Floor), 9.75%, 10/08/29 | 340,000 | 279,650 | |
Magenta Buyer LLC, Initial Term Loan, | |||
(3M USD LIBOR + 4.75%, 0.75% Floor), 9.17%, 7/27/28 | 456,542 | 398,259 | |
(3M USD LIBOR + 8.25%, 0.75% Floor), 12.67%, 7/27/29 | 460,000 | 394,068 | |
Rackspace Technology Global, Inc., 2021 Term B Loan, (3M USD LIBOR + 2.75%, 0.75% Floor), 5.62%, 2/15/28 | 456,524 | 287,738 | |
Virgin Pulse, Inc., Initial Term Loan, (1M USD LIBOR + 4.00%, 0.75% Floor), 7.75%, 4/06/28 | 456,541 | 397,648 | |
2,227,453 | |||
Specialty Finance – 0.6% | |||
Apollo Commercial Real Estate Finance, Inc., Initial Term Loan, (1M USD LIBOR + 2.75%), 6.50%, 5/15/26 | 456,462 | 433,638 | |
Greystone Select Financial LLC, Initial Term Loan, (3M USD LIBOR + 5.00%, 0.75% Floor), 9.23%, 6/16/28 | 455,714 | 421,536 | |
Mercury Borrower, Inc., Initial Term Loan, (3M USD LIBOR + 3.50%, 0.50% Floor), 7.19%, 8/02/28 | 457,700 | 427,950 | |
1,283,124 | |||
Technology Services – 0.7% | |||
DCert Buyer, Inc., First Amendment Refinancing Loan, (3M USD LIBOR + 7.00%), 9.90%, 2/19/29 | 340,000 | 315,860 |
Par (a) | Value | ||
Technology Services (Continued) | |||
DCert Buyer, Inc., Initial Term Loan, (3M USD CME Term SOFR + 4.00%), 6.90%, 10/16/26 | $ 317,178 | $ 304,931 | |
UST Global, Inc., Initial Term Loan, (1M USD LIBOR + 3.75%, 0.50% Floor), 7.33%, 11/20/28 | 456,550 | 443,995 | |
Verscend Holding Corp., Term B-1 Loan, (1M USD LIBOR + 4.00%), 7.75%, 8/27/25 | 466,417 | 460,004 | |
1,524,790 | |||
Transportation & Logistics – 0.8% | |||
Air Canada, Term Loan, (3M USD LIBOR + 3.50%, 0.75% Floor), 6.42%, 8/11/28 | 458,850 | 447,379 | |
Brown Group Holding LLC, Initial Term Loan, (1M USD LIBOR + 2.50%, 0.50% Floor), 6.25%, 6/07/28 | 307,505 | 298,473 | |
United AirLines, Inc., Class B Term Loan, (3M USD LIBOR + 3.75%, 0.75% Floor), 8.11%, 4/21/28 | 456,524 | 444,732 | |
WWEX UNI TopCo Holdings LLC, Initial Term Loan, (3M USD LIBOR + 4.00%, 0.75% Floor), 7.67%, 7/26/28 | 456,550 | 403,764 | |
1,594,348 | |||
Total Term Loans (Cost $24,419,777) | 22,242,213 | ||
U.S. Government Obligations – 0.8% | |||
U.S. Treasury Bonds – 0.8% | |||
2.37%, 2/15/42 | 1,950,000 | 1,423,805 | |
2.25%, 2/15/52 | 480,000 | 321,900 | |
Total U.S. Government Obligations (Cost $2,424,501) | 1,745,705 |
Number of Shares | |||
Investment Companies – 6.8% | |||
Global X U.S. Preferred ETF(i) | 197,189 | 3,870,820 | |
iShares STOXX Europe 600 Telecommunications UCITS ETF DE | EUR | 133,112 | 2,438,110 |
Number of Shares | Value | ||
Vanguard Long-Term Treasury ETF | 128,883 | $ 7,671,116 | |
Total Investment Companies (Cost $19,236,463) | 13,980,046 |
Par (a)/Number of Shares | |||
Short-Term Investments – 4.8% | |||
Convertible Bonds – 0.1% | |||
Apollo Commercial Real Estate Finance, Inc., 5.38%, 10/15/23 | $130,000 | 126,100 | |
Corporate Bonds – 0.1% | |||
DCP Midstream L.P., (3M USD LIBOR + 5.15%), 7.37%, 12/15/22(k) | 200,000 | 197,011 | |
Plains All American Pipeline L.P., (3M USD LIBOR + 4.11%), 6.13%, 12/05/22(k)(m) | 120,000 | 99,660 | |
296,671 | |||
Foreign Issuer Bonds – 0.2% | |||
Avolon Holdings Funding Ltd., 5.12%, 10/01/23(b) | 60,000 | 58,912 | |
Credit Suisse A.G., 1.00%, 5/05/23 | 250,000 | 242,412 | |
InterGen N.V., 7.00%, 6/30/23(b) | 210,000 | 205,537 | |
506,861 |
Par (a)/Number of Shares | Value | ||
Money Market Funds – 4.4% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 3.08%(p)(q) | 5,391,198 | $5,391,198 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 2.48%(p) | 3,639,765 | 3,639,765 | |
9,030,963 | |||
Total Short-Term Investments (Cost $9,952,665) | 9,960,595 |
Number of Contracts | Notional Amount | ||
Purchased Options – 0.0%(g) | |||
Call Options - Exchange Traded – 0.0%(g) | |||
90-Day Euro Future, Strike Price USD 99.00, Expires 12/18/23 | 2 | 474,450 | 225 |
Total Purchased Options (Premiums Paid $479) | 225 |
Total Investments – 101.8% (Cost $231,430,169) | 210,073,821 | ||
Liabilities less Other Assets – (1.8)%(r) | (3,720,736) | ||
NET ASSETS – 100.0% | $206,353,085 |
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. | ||
(c) | Variable rate security. Rate as of October 31, 2022 is disclosed. | ||
(d) | Step coupon bond. Rate as of October 31, 2022 is disclosed. | ||
(e) | 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 October 31, 2022 is disclosed. | ||
(f) | When-Issued Security. Coupon rate was not yet in effect at October 31, 2022. | ||
(g) | Amount rounds to less than 0.05%. | ||
(h) | Security sold outside United States without registration under the Securities Act of 1933. | ||
(i) | Security either partially or fully on loan. | ||
(j) | Investment is valued using significant unobservable inputs (Level 3) (See Note 4 regarding investments in Russian securities). | ||
(k) | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate as of October 31, 2022 is disclosed. | ||
(l) | Distributions from this security are made via payments in-kind (PIK) unless otherwise noted in the description. | ||
(m) | Perpetual bond. Maturity date represents next call date. | ||
(n) | Century bond maturing in 2115. | ||
(o) | Unfunded loan commitment. As of October 31, 2022, total value of unfunded loan commitment is $6,702. |
(p) | 7-day current yield as of October 31, 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, futures and swap contracts. | ||
* | Non-Income Producing Security |
Abbreviations: | |
1M | 1 Month |
3M | 3 Month |
5Y | 5 Year |
6M | 6 Month |
10Y | 10 Year |
ABS | Asset-Backed Security |
ADR | American Depositary Receipt |
CDO | Collaterlized Debt Obligation |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity |
CVA | Credit Valuation Adjustment |
DDTL | Delayed Draw Term Loan |
ETF | Exchange-Traded Fund |
EUR | Euro |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
Freddie Mac | Federal Home Loan Mortgage Corporation |
IDR | Indonesian Rupiah |
JSC | Joint Stock Company |
L.P. | Limited Partnership |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
MTN | Medium Term Note |
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 | 63.9 |
Euro | 8.0 |
All other currencies less than 5% | 28.1 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Country Diversification (%)(a) | |
United States | 53.1 |
All other countries less than 5% | 46.9 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Futures Contracts outstanding at October 31, 2022: Exchange Traded | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | |||||
10-Year Australian Treasury Bond | 8 | 12/15/2022 | AUD | 606,294 | $ (7,251) |
90-Day Eurodollar | 19 | 12/19/2022 | USD | 4,507,275 | (100,762) |
10-Year U.S. Treasury Note | 94 | 12/20/2022 | USD | 10,395,813 | (33,016) |
U.S. Treasury Long Bond | 3 | 12/20/2022 | USD | 361,500 | (9,625) |
Ultra 10-Year U.S. Treasury Note | 14 | 12/20/2022 | USD | 1,623,781 | (113,484) |
Ultra U.S. Treasury Bond | 46 | 12/20/2022 | USD | 5,872,188 | (621,525) |
Long Gilt | 13 | 12/28/2022 | GBP | 1,522,595 | (112,614) |
2-Year U.S. Treasury Note | 140 | 12/30/2022 | USD | 28,613,594 | (593,921) |
5-Year U.S. Treasury Note | 8 | 12/30/2022 | USD | 852,750 | (31,375) |
CME 3-Month SOFR | 2 | 9/19/2023 | USD | 475,525 | (7,038) |
90-Day Eurodollar | 106 | 12/18/2023 | USD | 25,228,000 | (410,825) |
Total Long Contracts | $(2,041,436) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2022: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
01/18/23 | Norwegian Kroner | 14,521,172 | U.S. Dollars | 1,357,284 | Morgan Stanley | $ 43,466 |
01/18/23 | British Pounds | 898,794 | U.S. Dollars | 1,001,733 | Morgan Stanley | 31,913 |
01/18/23 | U.S. Dollars | 549,925 | Indonesian Rupiahs | 8,389,100,000 | JPMorgan Chase | 23,140 |
01/18/23 | Australian Dollars | 770,000 | U.S. Dollars | 484,342 | Goldman Sachs | 9,551 |
01/18/23 | Mexican Pesos | 16,498,720 | U.S. Dollars | 811,813 | Morgan Stanley | 8,783 |
01/18/23 | Canadian Dollars | 2,150,000 | U.S. Dollars | 1,574,434 | Morgan Stanley | 5,471 |
01/18/23 | U.S. Dollars | 333,482 | Japanese Yen | 48,530,000 | Goldman Sachs | 3,558 |
01/18/23 | U.S. Dollars | 1,220,364 | British Pounds | 1,060,425 | Goldman Sachs | 837 |
01/18/23 | U.S. Dollars | 55,490 | Japanese Yen | 8,090,000 | JPMorgan Chase | 492 |
Total Unrealized Appreciation | $127,211 | |||||
01/18/23 | U.S. Dollars | 89,992 | Canadian Dollars | 123,340 | Morgan Stanley | $ (643) |
01/18/23 | U.S. Dollars | 446,314 | British Pounds | 390,000 | Goldman Sachs | (2,200) |
01/18/23 | U.S. Dollars | 134,188 | Canadian Dollars | 184,800 | Morgan Stanley | (3,524) |
01/18/23 | U.S. Dollars | 219,614 | Mexican Pesos | 4,489,892 | Goldman Sachs | (3,700) |
01/18/23 | U.S. Dollars | 339,221 | Mexican Pesos | 6,918,996 | JPMorgan Chase | (4,909) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2022: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
01/18/23 | Australian Dollars | 1,250,699 | U.S. Dollars | 807,952 | Morgan Stanley | $ (5,729) |
01/18/23 | Japanese Yen | 192,024,000 | U.S. Dollars | 1,341,114 | JPMorgan Chase | (35,667) |
Total Unrealized Depreciation | $ (56,372) | |||||
Net Unrealized Appreciation | $ 70,839 |
Interest Rate Swap Contracts outstanding at October 31, 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) | |
3.85% (Annually) | 1-Day USD SOFR (Annually) | 6/30/2029 | USD | 1,374,000 | $ 5,704 | $ 1,710 | $ 3,994 |
2.65% (Annually) | 1-Day USD SOFR (Annually) | 8/15/2047 | USD | 1,055,000 | 159,721 | 13,529 | 146,192 |
2.51% (Annually) | 1-Day USD SOFR (Annually) | 2/15/2048 | USD | 582,000 | 101,402 | 9,527 | 91,875 |
2.62% (Annually) | 1-Day USD SOFR (Annually) | 2/15/2048 | USD | 445,000 | 69,505 | (86) | 69,591 |
3.05% (Annually) | 1-Day USD SOFR (Annually) | 2/15/2048 | USD | 418,000 | 35,181 | 12,837 | 22,344 |
Total | $371,513 | $37,517 | $333,996 |
Morningstar Global Income Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 9,254,363 | $ — | $ 9,254,363 |
Common Stocks | 53,208,463 | 38,457,052 | —* | 91,665,515 |
Convertible Bonds | — | 131,385 | — | 131,385 |
Corporate Bonds | — | 28,985,228 | — | 28,985,228 |
Foreign Issuer Bonds | — | 16,631,811 | — | 16,631,811 |
Master Limited Partnerships | 6,417,923 | — | — | 6,417,923 |
Mortgage-Backed Securities | — | 9,058,812 | — | 9,058,812 |
Term Loans | — | 22,242,213 | — | 22,242,213 |
U.S. Government Obligations | — | 1,745,705 | — | 1,745,705 |
Investment Companies | 13,980,046 | — | — | 13,980,046 |
Short-Term Investments | 9,030,963 | 929,632 | — | 9,960,595 |
Purchased Options | 225 | — | — | 225 |
Total Investments | $82,637,620 | $127,436,201 | $ — | $210,073,821 |
*Includes securities determined to have no value as of October 31, 2022. |
Morningstar Global Income Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Forward Foreign Currency Exchange Contracts | $ — | $127,211 | $— | $ 127,211 |
Swap Agreements | — | 371,513 | — | 371,513 |
Total Assets - Derivative Financial Instruments | $ — | $498,724 | $— | $ 498,724 |
Liabilities: | ||||
Futures Contracts | $(2,041,436) | $ — | $— | $(2,041,436) |
Forward Foreign Currency Exchange Contracts | — | (56,372) | — | (56,372) |
Total Liabilities - Derivative Financial Instruments | $(2,041,436) | $ (56,372) | $— | $(2,097,808) |
Net Derivative Financial Instruments | $(2,041,436) | $442,352 | $— | $(1,599,084) |
Par (a) | Value | ||
Long Positions – 102.1% | |||
Asset-Backed Securities – 4.3% | |||
Automobile – 0.2% | |||
Avis Budget Rental Car Funding AESOP LLC, Series 2021-1A, Class A, 1.38%, 8/20/27(b) | $770,000 | $ 655,998 | |
Hertz Vehicle Financing LLC, | |||
Series 2021-1A, Class A, 1.21%, 12/26/25(b) | 630,000 | 572,393 | |
Series 2021-1A, Class C, 2.05%, 12/26/25(b) | 420,000 | 376,115 | |
1,604,506 | |||
Home Equity – 0.1% | |||
Bayview Financial Mortgage Pass-Through Trust, Series 2006-A, Class M3, (1M USD LIBOR + 0.98%), 4.61%, 2/28/41(c) | 73,352 | 72,972 | |
GSAA Home Equity Trust, Series 2006-4, Class 1A1, 2.98%, 3/25/36(d) | 46,233 | 33,175 | |
Option One Mortgage Loan Trust, Series 2004-3, Class M1, (1M USD LIBOR + 0.78%, 0.78% Floor), 4.37%, 11/25/34(c) | 102,165 | 97,046 | |
Renaissance Home Equity Loan Trust, Series 2005-2, Class AV3, (1M USD LIBOR + 0.37%, 0.37% Floor, 14.00% Cap), 3.96%, 8/25/35(c) | 308,153 | 268,614 | |
471,807 | |||
Other – 3.8% | |||
522 Funding CLO Ltd., Series 2020-6A, Class A1R, (3M USD LIBOR + 1.15%, 1.15% Floor), 5.47%, 10/23/34(b)(c) | 610,000 | 585,507 | |
ABPCI Direct Lending Fund CLO X L.P., Series 2020-10A, Class A1A, (3M USD LIBOR + 1.95%, 1.95% Floor), 6.19%, 1/20/32(b)(c) | 400,000 | 391,845 | |
Allegro CLO XI Ltd., Series 2019-2A, Class A1A, (3M USD LIBOR + 1.39%, 1.39% Floor), 5.62%, 1/19/33(b)(c) | 250,000 | 243,459 |
Par (a) | Value | ||
Other (Continued) | |||
AMMC CLO Ltd., Series 2017-21A, Class A, (3M USD LIBOR + 1.25%), 5.71%, 11/02/30(b)(c) | $250,000 | $244,286 | |
Anchorage Capital CLO Ltd., Series 2013-1A, Class A1R, (3M USD LIBOR + 1.25%), 5.19%, 10/13/30(b)(c) | 500,000 | 490,521 | |
Applebee's Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I, 4.19%, 6/05/49(b) | 376,200 | 354,313 | |
Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A, (30D Average SOFR + 1.45%, 1.45% Floor), 4.24%, 1/15/37(b)(c) | 378,000 | 363,055 | |
Ares LXIII CLO Ltd., Series 2022-63A, Class A1A, (3M CME Term SOFR + 1.38%, 1.38% Floor), 5.34%, 4/20/35(b)(c) | 540,000 | 519,902 | |
Ares XLII CLO Ltd., Series 2017-42A, Class BR, (3M USD LIBOR + 1.50%, 1.50% Floor), 5.82%, 1/22/28(b)(c) | 500,000 | 479,352 | |
ARES XLIV CLO Ltd., Series 2017-44A, Class A1R, (3M USD LIBOR + 1.08%, 1.08% Floor), 5.16%, 4/15/34(b)(c) | 460,000 | 440,354 | |
Atrium IX, Series 9A, Class AR2, (3M USD LIBOR + 0.99%, 0.99% Floor), 4.03%, 5/28/30(b)(c) | 529,622 | 519,876 | |
Babson CLO Ltd., Series 2015-IA, Class AR, (3M USD LIBOR + 0.99%, 0.99% Floor), 5.23%, 1/20/31(b)(c) | 250,000 | 243,042 | |
Ballyrock CLO Ltd., Series 2019-2A, Class A1BR, (3M USD LIBOR + 1.20%, 1.20% Floor), 4.18%, 11/20/30(b)(c) | 250,000 | 243,441 | |
Basswood Park CLO Ltd, Series 2021-1A, Class A, (3M USD LIBOR + 1.00%, 1.00% Floor), 5.24%, 4/20/34(b)(c) | 800,000 | 765,470 | |
Bayview Commercial Asset Trust, Series 2007-4A, Class A1, (1M USD LIBOR + 0.45%, 0.45% Floor), 4.04%, 9/25/37(b)(c) | 277,698 | 249,526 |
Par (a) | Value | ||
Other (Continued) | |||
BCRED MML CLO LLC, Series 2022-1A, Class A1, (3M CME Term SOFR + 1.65%, 1.65% Floor), 5.61%, 4/20/35(b)(c) | $430,000 | $409,754 | |
BlueMountain CLO Ltd., | |||
Series 2013-2A, Class A1R, (3M USD LIBOR + 1.18%), 5.50%, 10/22/30(b)(c) | 245,096 | 240,460 | |
Series 2015-3A, Class A1R, (3M USD LIBOR + 1.00%), 5.24%, 4/20/31(b)(c) | 250,000 | 242,911 | |
Carlyle Global Market Strategies CLO Ltd., | |||
Series 2014-2RA, Class A1, (3M USD LIBOR + 1.05%), 3.96%, 5/15/31(b)(c) | 729,370 | 708,618 | |
Series 2014-3RA, Class A1A, (3M USD LIBOR + 1.05%), 5.41%, 7/27/31(b)(c) | 247,958 | 242,073 | |
Cayuga Park CLO Ltd., Series 2020-1A, Class AR, (3M USD LIBOR + 1.12%, 1.12% Floor), 5.20%, 7/17/34(b)(c) | 440,000 | 422,400 | |
Cerberus Loan Funding XXVIII L.P., Series 2020-1A, Class A, (3M USD LIBOR + 1.85%, 1.85% Floor), 5.93%, 10/15/31(b)(c) | 107,768 | 106,789 | |
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class M3A, (1M USD LIBOR + 2.50%, 2.50% Floor), 6.09%, 7/25/37(c) | 500,000 | 451,145 | |
Dryden 87 CLO Ltd., Series 2021-87A, Class A1, (3M USD LIBOR + 1.10%, 1.10% Floor), 4.08%, 5/20/34(b)(c) | 770,000 | 737,119 | |
First Franklin Mortgage Loan Trust, | |||
Series 2003-FF4, Class M1, (1M USD LIBOR + 1.80%, 1.80% Floor), 4.93%, 10/25/33(c) | 270,126 | 251,667 | |
Series 2006-FF13, Class A1, (1M USD LIBOR + 0.24%, 0.24% Floor), 3.83%, 10/25/36(c) | 29,099 | 19,729 |
Par (a) | Value | ||
Other (Continued) | |||
First Franklin Mortgage Loan Trust, | |||
Series 2006-FF13, Class A2C, (1M USD LIBOR + 0.32%, 0.32% Floor), 3.91%, 10/25/36(c) | $ 16,977 | $ 11,506 | |
GCI Funding I LLC, Series 2021-1, Class A, 2.38%, 6/18/46(b) | 543,705 | 456,260 | |
Generate CLO 3 Ltd., Series 2016-1A, Class BR, (3M USD LIBOR + 1.75%), 5.99%, 10/20/29(b)(c) | 500,000 | 475,744 | |
Golub Capital Partners CLO Ltd., Series 2015-25A, Class AR, (3M USD LIBOR + 1.38%, 1.38% Floor), 4.21%, 5/05/30(b)(c) | 587,317 | 580,295 | |
Hardee's Funding LLC, Series 2021-1A, Class A2, 2.87%, 6/20/51(b) | 414,750 | 321,565 | |
HGI CRE CLO Ltd., Series 2021-FL1, Class A, (1M USD LIBOR + 1.05%, 1.05% Floor), 4.46%, 6/16/36(b)(c) | 600,000 | 581,545 | |
Hildene Community Funding CDO Ltd., Series 2015-1A, Class ARR, 2.60%, 11/01/35(b) | 460,000 | 401,616 | |
Home Equity Asset Trust, Series 2006-4, Class 2A4, (1M USD LIBOR + 0.56%, 0.56% Floor), 4.15%, 8/25/36(c) | 388,253 | 374,631 | |
KKR CLO 32 Ltd., Series 32A, Class A1, (3M USD LIBOR + 1.32%, 1.32% Floor), 5.40%, 1/15/32(b)(c) | 150,000 | 147,159 | |
KREF Ltd., Series 2022-FL3, Class A, (1M CME Term SOFR + 1.45%, 1.45% Floor), 4.92%, 2/15/39(b)(c) | 820,000 | 785,898 | |
LCM Loan Income Fund I Income Note Issuer Ltd., Series 27A, Class A1, (3M USD LIBOR + 1.08%), 5.16%, 7/16/31(b)(c) | 250,000 | 242,778 | |
Long Beach Mortgage Loan Trust, Series 2006-6, Class 2A3, (1M USD LIBOR + 0.30%, 0.30% Floor), 3.89%, 7/25/36(c) | 747,987 | 298,079 |
Par (a) | Value | ||
Other (Continued) | |||
Madison Park Funding XIII Ltd., Series 2014-13A, Class AR2, (3M USD LIBOR + 0.95%, 0.95% Floor), 5.18%, 4/19/30(b)(c) | $ 471,871 | $ 463,535 | |
Merrill Lynch Mortgage Investors Trust, Series 2004-WMC5, Class M1, (1M USD LIBOR + 0.93%, 0.93% Floor), 4.52%, 7/25/35(c) | 165,614 | 158,446 | |
MF1 LLC, Series 2022-FL10, Class A, (1M CME Term SOFR + 2.64%, 2.64% Floor), 6.10%, 9/17/37(b)(c) | 800,000 | 790,956 | |
Myers Park CLO Ltd., Series 2018-1A, Class B1, (3M USD LIBOR + 1.60%, 1.60% Floor), 5.84%, 10/20/30(b)(c) | 250,000 | 235,258 | |
NP SPE X L.P., Series 2021-1A, Class A1, 2.23%, 3/19/51(b) | 779,408 | 666,092 | |
Octagon Investment Partners XXI Ltd., | |||
Series 2012-1A, Class AARR, (3M USD LIBOR + 0.95%, 0.95% Floor), 5.03%, 7/15/29(b)(c) | 1,442,518 | 1,413,675 | |
Series 2012-1A, Class AAR3, (3M USD LIBOR + 1.00%, 1.00% Floor), 3.91%, 2/14/31(b)(c) | 260,000 | 253,178 | |
OHA Credit Funding 7 Ltd., Series 2020-7A, Class AR, (3M CME Term SOFR + 1.30%, 1.30% Floor), 5.26%, 2/24/37(b)(c) | 350,000 | 335,185 | |
Owl Rock CLO III Ltd., Series 2020-3A, Class A1L, (3M USD LIBOR + 1.80%), 6.04%, 4/20/32(b)(c) | 270,000 | 262,358 | |
Palmer Square CLO Ltd., Series 2018-2A, Class A1A, (3M USD LIBOR + 1.10%), 5.18%, 7/16/31(b)(c) | 500,000 | 487,882 | |
Point Au Roche Park CLO Ltd., Series 2021-1A, Class A, (3M USD LIBOR + 1.08%, 1.08% Floor), 5.32%, 7/20/34(b)(c) | 620,000 | 593,819 |
Par (a) | Value | ||
Other (Continued) | |||
RR 3 Ltd., Series 2018-3A, Class A1R2, (3M USD LIBOR + 1.09%, 1.09% Floor), 5.17%, 1/15/30(b)(c) | $250,000 | $244,863 | |
SBA Small Business Investment Cos., | |||
Series 2019-10A, Class 1, 3.11%, 3/10/29 | 65,793 | 61,023 | |
Series 2021-10A, Class 1, 1.67%, 3/10/31 | 223,915 | 186,780 | |
Silver Rock CLO I Ltd., Series 2020-1A, Class A, (3M USD LIBOR + 1.65%, 1.65% Floor), 5.89%, 10/20/31(b)(c) | 440,000 | 430,073 | |
Structured Asset Investment Loan Trust, Series 2004-7, Class A8, (1M USD LIBOR + 1.20%, 1.20% Floor), 4.79%, 8/25/34(c) | 193,588 | 186,429 | |
STWD Ltd., Series 2022-FL3, Class A, (30D Average SOFR + 1.35%, 1.35% Floor), 4.14%, 11/15/38(b)(c) | 430,000 | 413,360 | |
Sunrun Vulcan Issuer LLC, Series 2021-1A, Class A, 2.46%, 1/30/52(b) | 599,130 | 485,793 | |
Towd Point Mortgage Trust, | |||
Series 2016-3, Class B1, 4.10%, 4/25/56(b)(d) | 190,000 | 178,570 | |
Series 2017-4, Class B2, 3.44%, 6/25/57(b)(d) | 330,000 | 251,297 | |
Series 2019-HY2, Class A1, (1M USD LIBOR + 1.00%, 1.00% Floor), 4.59%, 5/25/58(b)(c) | 689,818 | 673,508 | |
Series 2020-2, Class M1B, 3.00%, 4/25/60(b)(d) | 240,000 | 176,855 | |
TRTX Issuer Ltd., Series 2022-FL5, Class A, (30D Average SOFR + 1.65%, 1.65% Floor), 4.44%, 2/15/39(b)(c) | 810,000 | 778,387 | |
United States Small Business Administration, | |||
Series 2019-20D, Class 1, 2.98%, 4/01/39 | 35,487 | 32,319 | |
Series 2019-25G, Class 1, 2.69%, 7/01/44 | 60,153 | 51,787 |
Par (a) | Value | ||
Other (Continued) | |||
Venture 31 CLO Ltd., Series 2018-31A, Class A1, (3M USD LIBOR + 1.03%, 1.03% Floor), 5.27%, 4/20/31(b)(c) | $410,000 | $ 398,684 | |
Voya CLO Ltd., | |||
Series 2018-2A, Class A1, (3M USD LIBOR + 1.00%, 1.00% Floor), 5.08%, 7/15/31(b)(c) | 570,000 | 555,503 | |
Series 2018-4A, Class A1AR, (3M USD LIBOR + 1.04%, 1.04% Floor), 5.12%, 1/15/32(b)(c) | 680,000 | 662,943 | |
Series 2017-3A, Class A1R, (3M USD LIBOR + 1.04%), 5.28%, 4/20/34(b)(c) | 230,000 | 218,238 | |
Whitebox CLO II Ltd., Series 2020-2A, Class A1R, (3M USD LIBOR + 1.22%, 1.22% Floor), 5.54%, 10/24/34(b)(c) | 290,000 | 277,245 | |
Whitebox CLO III Ltd., Series 2021-3A, Class A1, (3M USD LIBOR + 1.22%, 1.22% Floor), 5.30%, 10/15/34(b)(c) | 420,000 | 400,952 | |
26,968,683 | |||
Student Loan – 0.2% | |||
Navient Student Loan Trust, | |||
Series 2017-1A, Class A3, (1M USD LIBOR + 1.15%), 4.74%, 7/26/66(b)(c) | 228,612 | 225,159 | |
Series 2017-2A, Class A, (1M USD LIBOR + 1.05%), 4.64%, 12/27/66(b)(c) | 105,518 | 103,768 | |
SLM Private Credit Student Loan Trust, Series 2006-B, Class A5, (3M USD LIBOR + 0.27%), 3.56%, 12/15/39(c) | 193,105 | 181,586 | |
SLM Private Education Loan Trust, Series 2010-C, Class A5, (1M USD LIBOR + 4.75%), 8.16%, 10/15/41(b)(c) | 245,654 | 262,597 | |
SMB Private Education Loan Trust, | |||
Series 2020-A, Class A2A, 2.23%, 9/15/37(b) | 186,570 | 166,908 |
Par (a) | Value | ||
Student Loan (Continued) | |||
SMB Private Education Loan Trust, | |||
Series 2021-E, Class A1A, 1.68%, 2/15/51(b) | $189,509 | $ 167,877 | |
Series 2021-A, Class A2B, 1.59%, 1/15/53(b) | 606,824 | 513,794 | |
Sofi Professional Loan Program Trust, Series 2018-B, Class A2FX, 3.34%, 8/25/47(b) | 67,529 | 65,356 | |
1,687,045 | |||
Total Asset-Backed Securities (Cost $32,730,986) | 30,732,041 | ||
Corporate Bonds – 20.1% | |||
Advertising & Marketing – 0.0%(e) | |||
Interpublic (The) Group of Cos., Inc, 4.75%, 3/30/30 | 60,000 | 54,476 | |
Aerospace & Defense – 0.9% | |||
Boeing (The) Co., | |||
1.43%, 2/04/24 | 110,000 | 104,402 | |
4.88%, 5/01/25 | 360,000 | 351,287 | |
2.20%, 2/04/26 | 390,000 | 344,641 | |
3.10%, 5/01/26 | 40,000 | 36,119 | |
2.70%, 2/01/27 | 30,000 | 26,013 | |
2.80%, 3/01/27(f) | 40,000 | 34,663 | |
3.20%, 3/01/29 | 130,000 | 108,310 | |
5.15%, 5/01/30 | 210,000 | 194,037 | |
3.25%, 2/01/35 | 290,000 | 204,933 | |
5.71%, 5/01/40 | 170,000 | 147,480 | |
3.63%, 3/01/48 | 212,000 | 128,379 | |
3.75%, 2/01/50 | 160,000 | 102,374 | |
5.81%, 5/01/50 | 510,000 | 438,629 | |
3.95%, 8/01/59 | 137,000 | 85,800 | |
5.93%, 5/01/60 | 140,000 | 118,346 | |
General Dynamics Corp., | |||
4.25%, 4/01/40 | 10,000 | 8,588 | |
4.25%, 4/01/50 | 70,000 | 58,317 | |
Huntington Ingalls Industries, Inc., 4.20%, 5/01/30(f) | 81,000 | 71,605 | |
L3Harris Technologies, Inc., | |||
4.40%, 6/15/28 | 269,000 | 251,485 | |
1.80%, 1/15/31 | 399,000 | 297,843 | |
4.85%, 4/27/35 | 60,000 | 53,669 | |
Lockheed Martin Corp., | |||
3.55%, 1/15/26 | 60,000 | 57,699 | |
3.90%, 6/15/32 | 90,000 | 82,265 | |
3.60%, 3/01/35 | 222,000 | 190,440 | |
4.15%, 6/15/53 | 390,000 | 311,248 |
Par (a) | Value | ||
Aerospace & Defense (Continued) | |||
Lockheed Martin Corp., | |||
5.90%, 11/15/63 | $ 45,000 | $ 45,763 | |
Northrop Grumman Corp., | |||
2.93%, 1/15/25 | 40,000 | 38,134 | |
3.25%, 1/15/28 | 280,000 | 253,094 | |
4.03%, 10/15/47 | 246,000 | 193,542 | |
5.25%, 5/01/50 | 630,000 | 584,922 | |
Raytheon Technologies Corp., | |||
3.15%, 12/15/24 | 105,000 | 100,867 | |
7.20%, 8/15/27 | 26,000 | 28,192 | |
7.00%, 11/01/28 | 90,000 | 95,348 | |
4.13%, 11/16/28 | 347,000 | 323,024 | |
2.25%, 7/01/30 | 100,000 | 80,553 | |
4.50%, 6/01/42 | 30,000 | 25,498 | |
4.15%, 5/15/45 | 150,000 | 117,695 | |
3.75%, 11/01/46 | 50,000 | 36,600 | |
4.63%, 11/16/48 | 40,000 | 33,638 | |
3.13%, 7/01/50 | 411,000 | 270,085 | |
3.03%, 3/15/52 | 122,000 | 77,772 | |
Textron, Inc., | |||
3.65%, 3/15/27 | 38,000 | 34,682 | |
3.90%, 9/17/29 | 256,000 | 225,728 | |
6,373,709 | |||
Apparel & Textile Products – 0.0%(e) | |||
NIKE, Inc., | |||
2.40%, 3/27/25 | 60,000 | 56,682 | |
2.75%, 3/27/27(f) | 100,000 | 91,632 | |
2.85%, 3/27/30(f) | 100,000 | 86,740 | |
3.25%, 3/27/40 | 50,000 | 37,916 | |
3.38%, 3/27/50(f) | 20,000 | 14,583 | |
287,553 | |||
Asset Management – 0.1% | |||
Blackstone Private Credit Fund, | |||
3.25%, 3/15/27 | 217,000 | 180,035 | |
4.00%, 1/15/29 | 154,000 | 125,363 | |
Charles Schwab (The) Corp., (10Y US Treasury CMT + 3.08%), 4.00%, 12/01/30(g)(h) | 162,000 | 120,325 | |
Nuveen LLC, 4.00%, 11/01/28(b) | 100,000 | 91,502 | |
Vanguard Group (The), Inc., 3.05%, 8/22/50(i) | 170,000 | 105,075 | |
622,300 | |||
Automotive – 0.2% | |||
General Motors Co., | |||
5.40%, 10/15/29 | 206,000 | 190,940 | |
5.60%, 10/15/32 | 269,000 | 244,137 |
Par (a) | Value | ||
Automotive (Continued) | |||
General Motors Co., | |||
6.60%, 4/01/36 | $ 10,000 | $ 9,431 | |
5.95%, 4/01/49 | 70,000 | 59,265 | |
General Motors Financial Co., Inc., | |||
4.00%, 1/15/25 | 506,000 | 485,761 | |
2.35%, 1/08/31 | 110,000 | 80,528 | |
2.70%, 6/10/31 | 218,000 | 162,213 | |
3.10%, 1/12/32 | 364,000 | 277,032 | |
1,509,307 | |||
Banking – 3.6% | |||
Bank of America Corp., | |||
(3M USD LIBOR + 0.79%), 3.00%, 12/20/23(h) | 419,000 | 417,491 | |
(3M USD LIBOR + 0.78%), 3.55%, 3/05/24(h) | 55,000 | 54,544 | |
4.20%, 8/26/24 | 60,000 | 58,673 | |
(3M USD LIBOR + 0.87%), 2.46%, 10/22/25(h) | 569,000 | 530,931 | |
(SOFR + 1.15%), 1.32%, 6/19/26(h) | 1,090,000 | 962,361 | |
(SOFR + 0.96%), 1.73%, 7/22/27(h) | 80,000 | 68,411 | |
(3M USD LIBOR + 1.58%), 3.82%, 1/20/28(h) | 398,000 | 363,341 | |
(3M USD LIBOR + 2.93%), 5.88%, 3/15/28(g)(h) | 112,000 | 96,404 | |
(SOFR + 1.58%), 4.38%, 4/27/28(h) | 430,000 | 399,866 | |
(3M USD LIBOR + 1.37%), 3.59%, 7/21/28(h) | 160,000 | 143,690 | |
(3M USD LIBOR + 1.04%), 3.42%, 12/20/28(h) | 600,000 | 529,655 | |
(3M USD LIBOR + 1.31%), 4.27%, 7/23/29(h) | 394,000 | 357,587 | |
(3M USD LIBOR + 1.21%), 3.97%, 2/07/30(h) | 620,000 | 548,319 | |
(3M USD LIBOR + 1.19%), 2.88%, 10/22/30(h) | 440,000 | 358,285 | |
(SOFR + 2.15%), 2.59%, 4/29/31(h) | 990,000 | 781,648 | |
(SOFR + 1.53%), 1.90%, 7/23/31(h) | 200,000 | 148,351 | |
(SOFR + 1.32%), 2.69%, 4/22/32(h) | 133,000 | 102,789 | |
(SOFR + 1.22%), 2.30%, 7/21/32(h) | 260,000 | 192,536 | |
(SOFR + 1.21%), 2.57%, 10/20/32(h) | 471,000 | 355,342 | |
(SOFR + 1.33%), 2.97%, 2/04/33(h) | 2,244,000 | 1,739,012 | |
(SOFR + 1.83%), 4.57%, 4/27/33(h) | 967,000 | 856,947 |
Par (a) | Value | ||
Banking (Continued) | |||
Bank of America Corp., | |||
(SOFR + 2.16%), 5.02%, 7/22/33(h) | $ 409,000 | $375,078 | |
5.00%, 1/21/44 | 170,000 | 145,144 | |
(3M USD LIBOR + 1.52%), 4.33%, 3/15/50(h) | 30,000 | 23,332 | |
(3M USD LIBOR + 3.15%), 4.08%, 3/20/51(h) | 330,000 | 245,164 | |
Citigroup, Inc., | |||
(SOFR + 1.67%), 1.68%, 5/15/24(h) | 120,000 | 117,383 | |
3.30%, 4/27/25 | 180,000 | 170,798 | |
5.50%, 9/13/25 | 120,000 | 118,948 | |
(SOFR + 0.69%), 2.01%, 1/25/26(h) | 237,000 | 216,520 | |
(5Y US Treasury CMT + 3.42%), 3.88%, 2/18/26(g)(h) | 69,000 | 56,649 | |
(SOFR + 2.84%), 3.11%, 4/08/26(h) | 80,000 | 74,673 | |
(SOFR + 1.28%), 3.07%, 2/24/28(h) | 610,000 | 537,782 | |
(SOFR + 1.89%), 4.66%, 5/24/28(f)(h) | 70,000 | 66,033 | |
(3M USD LIBOR + 1.39%), 3.67%, 7/24/28(h) | 105,000 | 94,183 | |
(3M USD LIBOR + 1.15%), 3.52%, 10/27/28(h) | 1,110,000 | 984,296 | |
(3M USD LIBOR + 1.19%), 4.08%, 4/23/29(h) | 150,000 | 135,096 | |
(3M USD LIBOR + 1.34%), 3.98%, 3/20/30(h) | 550,000 | 484,596 | |
(SOFR + 1.42%), 2.98%, 11/05/30(h) | 463,000 | 377,699 | |
(SOFR + 3.91%), 4.41%, 3/31/31(h) | 510,000 | 455,107 | |
(SOFR + 2.11%), 2.57%, 6/03/31(h) | 340,000 | 265,875 | |
(SOFR + 1.18%), 2.52%, 11/03/32(h) | 156,000 | 116,710 | |
(SOFR + 1.35%), 3.06%, 1/25/33(h) | 60,000 | 46,743 | |
(SOFR + 1.94%), 3.79%, 3/17/33(h) | 340,000 | 281,629 | |
(SOFR + 2.09%), 4.91%, 5/24/33(h) | 354,000 | 321,592 | |
8.13%, 7/15/39 | 580,000 | 668,975 | |
4.65%, 7/23/48 | 30,000 | 24,075 | |
JPMorgan Chase & Co., | |||
(SOFR + 1.46%), 1.51%, 6/01/24(h) | 310,000 | 302,668 | |
(3M USD LIBOR + 1.00%), 4.02%, 12/05/24(h) | 470,000 | 461,123 | |
(SOFR + 1.85%), 2.08%, 4/22/26(h) | 200,000 | 182,066 |
Par (a) | Value | ||
Banking (Continued) | |||
JPMorgan Chase & Co., | |||
(SOFR + 0.89%), 1.58%, 4/22/27(h) | $530,000 | $455,828 | |
3.63%, 12/01/27 | 190,000 | 171,653 | |
(3M USD LIBOR + 1.34%), 3.78%, 2/01/28(h) | 458,000 | 418,404 | |
(SOFR + 1.17%), 2.95%, 2/24/28(h) | 434,000 | 381,899 | |
(3M USD LIBOR + 1.38%), 3.54%, 5/01/28(h) | 428,000 | 384,921 | |
(3M USD LIBOR + 1.33%), 4.45%, 12/05/29(h) | 320,000 | 291,853 | |
(SOFR + 1.75%), 4.57%, 6/14/30(h) | 391,000 | 358,141 | |
(SOFR + 2.04%), 2.52%, 4/22/31(h) | 510,000 | 402,197 | |
(3M CME Term SOFR + 1.11%), 1.76%, 11/19/31(h) | 73,000 | 53,121 | |
(SOFR + 1.25%), 2.58%, 4/22/32(h) | 320,000 | 246,046 | |
(SOFR + 1.18%), 2.55%, 11/08/32(h) | 130,000 | 98,105 | |
(SOFR + 1.26%), 2.96%, 1/25/33(h) | 895,000 | 699,209 | |
(SOFR + 2.08%), 4.91%, 7/25/33(f)(h) | 312,000 | 283,893 | |
4.95%, 6/01/45 | 220,000 | 182,005 | |
(SOFR + 2.44%), 3.11%, 4/22/51(h) | 50,000 | 31,212 | |
U.S. Bancorp, 1.45%, 5/12/25(f) | 250,000 | 228,446 | |
Wells Fargo & Co., | |||
3.75%, 1/24/24 | 160,000 | 157,113 | |
(SOFR + 2.00%), 2.19%, 4/30/26(h) | 570,000 | 518,673 | |
3.00%, 10/23/26 | 80,000 | 72,394 | |
4.30%, 7/22/27 | 270,000 | 252,545 | |
(3M USD LIBOR + 1.31%), 3.58%, 5/22/28(h) | 300,000 | 270,034 | |
(SOFR + 2.10%), 2.39%, 6/02/28(h) | 130,000 | 111,045 | |
4.15%, 1/24/29 | 230,000 | 209,328 | |
(3M CME Term SOFR + 1.43%), 2.88%, 10/30/30(h) | 250,000 | 205,116 | |
(SOFR + 4.03%), 4.48%, 4/04/31(h) | 300,000 | 271,424 | |
(SOFR + 1.50%), 3.35%, 3/02/33(h) | 130,000 | 104,799 | |
(SOFR + 2.10%), 4.90%, 7/25/33(h) | 670,000 | 613,013 | |
4.40%, 6/14/46 | 40,000 | 29,474 |
Par (a) | Value | ||
Banking (Continued) | |||
Wells Fargo & Co., | |||
4.75%, 12/07/46 | $ 370,000 | $ 285,556 | |
(SOFR + 4.50%), 5.01%, 4/04/51(h) | 2,110,000 | 1,788,461 | |
25,992,028 | |||
Beverages – 0.1% | |||
Coca-Cola (The) Co., | |||
3.38%, 3/25/27 | 280,000 | 265,879 | |
1.45%, 6/01/27(f) | 90,000 | 78,150 | |
2.50%, 6/01/40 | 50,000 | 34,574 | |
2.60%, 6/01/50 | 80,000 | 50,681 | |
Constellation Brands, Inc., | |||
3.60%, 5/09/24 | 90,000 | 88,057 | |
4.35%, 5/09/27 | 130,000 | 124,107 | |
PepsiCo, Inc., | |||
2.25%, 3/19/25 | 10,000 | 9,421 | |
2.63%, 3/19/27 | 10,000 | 9,105 | |
1.63%, 5/01/30 | 40,000 | 31,810 | |
2.88%, 10/15/49 | 40,000 | 27,106 | |
718,890 | |||
Biotechnology & Pharmaceuticals – 0.7% | |||
AbbVie, Inc., | |||
3.75%, 11/14/23 | 20,000 | 19,735 | |
2.60%, 11/21/24 | 490,000 | 465,608 | |
3.80%, 3/15/25 | 410,000 | 395,498 | |
3.60%, 5/14/25 | 40,000 | 38,383 | |
2.95%, 11/21/26 | 100,000 | 91,323 | |
3.20%, 11/21/29 | 470,000 | 410,808 | |
4.55%, 3/15/35 | 142,000 | 126,723 | |
4.50%, 5/14/35 | 214,000 | 189,702 | |
4.70%, 5/14/45 | 154,000 | 127,948 | |
4.88%, 11/14/48 | 20,000 | 17,030 | |
4.25%, 11/21/49 | 505,000 | 391,783 | |
Amgen, Inc., | |||
4.05%, 8/18/29 | 300,000 | 276,927 | |
4.40%, 5/01/45 | 129,000 | 104,082 | |
Biogen, Inc., | |||
2.25%, 5/01/30 | 122,000 | 95,944 | |
3.15%, 5/01/50 | 111,000 | 68,479 | |
Bristol-Myers Squibb Co., | |||
2.90%, 7/26/24 | 192,000 | 185,677 | |
3.20%, 6/15/26 | 105,000 | 99,059 | |
3.40%, 7/26/29 | 65,000 | 59,047 | |
4.55%, 2/20/48 | 60,000 | 51,258 | |
Gilead Sciences, Inc., | |||
2.60%, 10/01/40 | 162,000 | 107,206 | |
4.75%, 3/01/46 | 153,000 | 131,432 | |
Johnson & Johnson, | |||
0.55%, 9/01/25 | 80,000 | 71,360 | |
0.95%, 9/01/27 | 150,000 | 126,925 |
Par (a) | Value | ||
Biotechnology & Pharmaceuticals (Continued) | |||
Johnson & Johnson, | |||
3.63%, 3/03/37 | $ 70,000 | $ 59,844 | |
2.10%, 9/01/40 | 350,000 | 229,915 | |
Merck & Co., Inc., | |||
0.75%, 2/24/26(f) | 240,000 | 210,420 | |
1.45%, 6/24/30 | 70,000 | 54,327 | |
2.75%, 12/10/51 | 250,000 | 158,824 | |
Pfizer, Inc., | |||
0.80%, 5/28/25 | 160,000 | 145,061 | |
2.63%, 4/01/30 | 270,000 | 230,540 | |
1.70%, 5/28/30 | 100,000 | 79,654 | |
2.55%, 5/28/40 | 240,000 | 166,076 | |
2.70%, 5/28/50 | 310,000 | 201,665 | |
Wyeth LLC, 6.50%, 2/01/34 | 26,000 | 28,070 | |
5,216,333 | |||
Cable & Satellite – 0.9% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital, | |||
4.91%, 7/23/25 | 570,000 | 553,369 | |
4.20%, 3/15/28(f) | 90,000 | 80,644 | |
5.05%, 3/30/29 | 700,000 | 643,389 | |
4.40%, 4/01/33 | 400,000 | 332,299 | |
5.38%, 4/01/38 | 60,000 | 48,216 | |
3.50%, 6/01/41 | 300,000 | 189,514 | |
3.50%, 3/01/42 | 60,000 | 37,490 | |
6.48%, 10/23/45 | 372,000 | 329,380 | |
5.38%, 5/01/47 | 181,000 | 139,229 | |
5.75%, 4/01/48 | 226,000 | 181,270 | |
5.13%, 7/01/49 | 286,000 | 210,889 | |
4.80%, 3/01/50 | 30,000 | 21,232 | |
3.70%, 4/01/51 | 211,000 | 126,485 | |
3.90%, 6/01/52 | 452,000 | 279,897 | |
6.83%, 10/23/55 | 107,000 | 96,437 | |
3.85%, 4/01/61 | 139,000 | 80,154 | |
4.40%, 12/01/61 | 146,000 | 92,575 | |
3.95%, 6/30/62 | 142,000 | 83,130 | |
5.50%, 4/01/63 | 110,000 | 83,112 | |
Comcast Corp., | |||
3.95%, 10/15/25 | 160,000 | 154,708 | |
3.15%, 3/01/26 | 50,000 | 46,965 | |
3.30%, 4/01/27 | 50,000 | 46,163 | |
4.15%, 10/15/28 | 350,000 | 328,352 | |
2.65%, 2/01/30 | 256,000 | 214,050 | |
3.40%, 4/01/30 | 70,000 | 61,699 | |
4.25%, 10/15/30 | 620,000 | 569,054 | |
4.20%, 8/15/34 | 377,000 | 329,349 | |
3.25%, 11/01/39 | 20,000 | 14,478 | |
3.75%, 4/01/40 | 180,000 | 138,627 |
Par (a) | Value | ||
Cable & Satellite (Continued) | |||
Comcast Corp., | |||
3.40%, 7/15/46 | $ 20,000 | $ 13,624 | |
4.00%, 8/15/47 | 30,000 | 22,452 | |
3.97%, 11/01/47(f) | 192,000 | 142,208 | |
4.00%, 3/01/48 | 20,000 | 15,048 | |
4.00%, 11/01/49 | 240,000 | 177,384 | |
3.45%, 2/01/50 | 60,000 | 40,516 | |
2.80%, 1/15/51 | 190,000 | 112,946 | |
2.89%, 11/01/51 | 120,000 | 72,091 | |
2.94%, 11/01/56 | 148,000 | 85,585 | |
4.95%, 10/15/58(f) | 20,000 | 16,822 | |
Cox Communications, Inc., | |||
3.15%, 8/15/24(b) | 71,000 | 67,920 | |
2.95%, 10/01/50(b) | 119,000 | 67,515 | |
Time Warner Cable LLC, | |||
6.55%, 5/01/37 | 50,000 | 44,595 | |
5.88%, 11/15/40 | 130,000 | 105,451 | |
6,496,313 | |||
Chemicals – 0.1% | |||
Celanese U.S. Holdings LLC, 5.90%, 7/05/24 | 157,000 | 154,276 | |
Ecolab, Inc., 2.75%, 8/18/55 | 97,000 | 55,897 | |
Sherwin-Williams (The) Co., 2.30%, 5/15/30 | 83,000 | 65,812 | |
Westlake Corp., 3.38%, 8/15/61 | 103,000 | 56,616 | |
332,601 | |||
Commercial Support Services – 0.1% | |||
Cintas Corp. No. 2, | |||
3.70%, 4/01/27 | 20,000 | 18,855 | |
4.00%, 5/01/32 | 120,000 | 108,612 | |
Republic Services, Inc., | |||
2.50%, 8/15/24 | 70,000 | 66,642 | |
3.95%, 5/15/28 | 80,000 | 74,352 | |
Waste Management, Inc., 1.15%, 3/15/28 | 139,000 | 112,676 | |
381,137 | |||
Containers & Packaging – 0.0%(e) | |||
International Paper Co., 6.00%, 11/15/41 | 45,000 | 41,936 | |
Diversified Industrials – 0.1% | |||
3M Co., | |||
2.38%, 8/26/29 | 410,000 | 337,575 | |
3.70%, 4/15/50(f) | 100,000 | 71,450 | |
Emerson Electric Co., 2.80%, 12/21/51 | 560,000 | 345,223 |
Par (a) | Value | ||
Diversified Industrials (Continued) | |||
General Electric Co., 6.75%, 3/15/32 | $ 11,000 | $ 11,951 | |
Honeywell International, Inc., 1.35%, 6/01/25 | 70,000 | 64,209 | |
830,408 | |||
E-Commerce Discretionary – 0.3% | |||
Amazon.com, Inc., | |||
0.80%, 6/03/25 | 130,000 | 117,434 | |
3.30%, 4/13/27 | 50,000 | 46,931 | |
1.20%, 6/03/27 | 380,000 | 323,293 | |
3.15%, 8/22/27(f) | 140,000 | 129,529 | |
3.45%, 4/13/29(f) | 110,000 | 100,882 | |
1.50%, 6/03/30 | 70,000 | 54,645 | |
2.10%, 5/12/31 | 80,000 | 64,047 | |
3.60%, 4/13/32 | 320,000 | 286,511 | |
3.88%, 8/22/37 | 200,000 | 170,039 | |
4.05%, 8/22/47(f) | 140,000 | 113,810 | |
2.50%, 6/03/50 | 873,000 | 518,485 | |
3.95%, 4/13/52 | 42,000 | 32,888 | |
4.25%, 8/22/57 | 240,000 | 193,227 | |
2,151,721 | |||
Electric Utilities – 1.0% | |||
AEP Texas, Inc., | |||
3.95%, 6/01/28 | 212,000 | 192,031 | |
3.45%, 5/15/51 | 291,000 | 188,584 | |
AEP Transmission Co. LLC, | |||
3.80%, 6/15/49 | 65,000 | 46,819 | |
3.15%, 9/15/49 | 52,000 | 33,037 | |
3.65%, 4/01/50 | 39,000 | 27,383 | |
Alabama Power Co., | |||
3.75%, 3/01/45 | 38,000 | 27,614 | |
3.45%, 10/01/49 | 47,000 | 31,778 | |
Ameren Illinois Co., 3.25%, 3/15/50 | 106,000 | 69,725 | |
American Transmission Systems, Inc., 2.65%, 1/15/32(b) | 203,000 | 157,610 | |
Baltimore Gas and Electric Co., | |||
3.75%, 8/15/47 | 118,000 | 86,026 | |
2.90%, 6/15/50 | 265,000 | 163,230 | |
CenterPoint Energy Houston Electric LLC, | |||
2.35%, 4/01/31 | 75,000 | 60,119 | |
4.25%, 2/01/49 | 2,000 | 1,599 | |
3.35%, 4/01/51 | 131,000 | 89,538 | |
4.85%, 10/01/52 | 100,000 | 88,035 | |
Cleveland Electric Illuminating (The) Co., 3.50%, 4/01/28(b) | 100,000 | 89,307 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
Commonwealth Edison Co., | |||
4.00%, 3/01/49 | $ 67,000 | $ 50,272 | |
3.00%, 3/01/50 | 106,000 | 67,379 | |
3.85%, 3/15/52 | 32,000 | 23,800 | |
Consumers Energy Co., 3.75%, 2/15/50 | 198,000 | 145,796 | |
DTE Electric Co., 3.95%, 3/01/49 | 246,000 | 188,864 | |
Duke Energy Carolinas LLC, | |||
3.75%, 6/01/45 | 185,000 | 134,428 | |
3.95%, 3/15/48 | 122,000 | 91,779 | |
Duke Energy Corp., 4.30%, 3/15/28 | 30,000 | 28,199 | |
Duke Energy Florida LLC, | |||
2.50%, 12/01/29 | 325,000 | 270,062 | |
1.75%, 6/15/30 | 50,000 | 38,512 | |
Duke Energy Progress LLC, | |||
3.45%, 3/15/29 | 233,000 | 208,977 | |
2.50%, 8/15/50 | 100,000 | 55,875 | |
Entergy Louisiana LLC, 4.20%, 9/01/48 | 148,000 | 114,344 | |
Exelon Corp., | |||
5.10%, 6/15/45 | 16,000 | 13,798 | |
4.70%, 4/15/50 | 79,000 | 63,526 | |
4.10%, 3/15/52(b)(f) | 55,000 | 40,460 | |
FirstEnergy Corp., | |||
2.05%, 3/01/25 | 22,000 | 20,223 | |
1.60%, 1/15/26 | 40,000 | 34,787 | |
4.40%, 7/15/27 | 499,000 | 468,616 | |
5.35%, 7/15/47 | 77,000 | 63,531 | |
3.40%, 3/01/50 | 55,000 | 34,169 | |
FirstEnergy Transmission LLC, | |||
4.35%, 1/15/25(b) | 285,000 | 275,102 | |
4.55%, 4/01/49(b)(f) | 309,000 | 233,531 | |
Florida Power & Light Co., | |||
5.25%, 2/01/41 | 5,000 | 4,645 | |
3.99%, 3/01/49 | 224,000 | 174,110 | |
3.15%, 10/01/49 | 246,000 | 165,113 | |
MidAmerican Energy Co., | |||
3.10%, 5/01/27 | 35,000 | 32,242 | |
3.65%, 4/15/29 | 543,000 | 495,506 | |
4.25%, 7/15/49 | 85,000 | 67,944 | |
3.15%, 4/15/50 | 99,000 | 64,644 | |
Mid-Atlantic Interstate Transmission LLC, 4.10%, 5/15/28(b) | 57,000 | 52,283 | |
Northern States Power Co., | |||
2.90%, 3/01/50 | 50,000 | 31,761 | |
2.60%, 6/01/51 | 104,000 | 61,917 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
Northern States Power Co., | |||
3.20%, 4/01/52 | $ 81,000 | $ 53,763 | |
NRG Energy, Inc., 2.45%, 12/02/27(b) | 340,000 | 279,386 | |
NSTAR Electric Co., 3.95%, 4/01/30 | 16,000 | 14,691 | |
Ohio Power Co., | |||
1.63%, 1/15/31 | 107,000 | 79,292 | |
4.15%, 4/01/48 | 14,000 | 10,446 | |
4.00%, 6/01/49 | 63,000 | 45,602 | |
Oncor Electric Delivery Co. LLC, | |||
4.55%, 9/15/32(b) | 120,000 | 113,154 | |
4.10%, 11/15/48 | 51,000 | 39,967 | |
Pacific Gas and Electric Co., | |||
2.10%, 8/01/27 | 50,000 | 41,113 | |
2.50%, 2/01/31 | 180,000 | 134,497 | |
3.30%, 8/01/40 | 20,000 | 12,987 | |
3.95%, 12/01/47 | 101,000 | 65,129 | |
3.50%, 8/01/50 | 20,000 | 12,200 | |
Progress Energy, Inc., 7.75%, 3/01/31 | 180,000 | 197,504 | |
Public Service Electric and Gas Co., 2.05%, 8/01/50 | 80,000 | 40,903 | |
Southern California Edison Co., 2.25%, 6/01/30 | 274,000 | 215,430 | |
Southwestern Public Service Co., 3.15%, 5/01/50 | 140,000 | 90,977 | |
Tampa Electric Co., 4.45%, 6/15/49 | 17,000 | 13,628 | |
Trans-Allegheny Interstate Line Co., 3.85%, 6/01/25(b) | 299,000 | 286,319 | |
Virginia Electric and Power Co., | |||
6.00%, 1/15/36 | 72,000 | 71,365 | |
4.00%, 1/15/43 | 29,000 | 22,092 | |
Vistra Operations Co. LLC, 4.30%, 7/15/29(b) | 273,000 | 238,162 | |
7,247,237 | |||
Electric, Gas Marketing & Trading – 0.0%(e) | |||
Consolidated Edison Co. of New York, Inc., | |||
3.35%, 4/01/30 | 50,000 | 43,311 | |
3.95%, 4/01/50(f) | 20,000 | 14,719 | |
PECO Energy Co., | |||
3.05%, 3/15/51 | 144,000 | 92,079 | |
2.85%, 9/15/51 | 7,000 | 4,296 | |
154,405 |
Par (a) | Value | ||
Electrical Equipment – 0.0%(e) | |||
Carrier Global Corp., 3.58%, 4/05/50 | $ 10,000 | $ 6,708 | |
Otis Worldwide Corp., 2.06%, 4/05/25 | 50,000 | 46,259 | |
52,967 | |||
Entertainment Content – 0.3% | |||
Discovery Communications LLC, 1.90%, 3/19/27(f) | EUR | 240,000 | 203,827 |
Electronic Arts, Inc., 1.85%, 2/15/31 | 39,000 | 30,078 | |
Fox Corp., 5.48%, 1/25/39 | 450,000 | 386,447 | |
Paramount Global, | |||
4.38%, 3/15/43 | 62,000 | 41,732 | |
5.85%, 9/01/43 | 70,000 | 56,953 | |
Time Warner Cable Enterprises LLC, 8.38%, 7/15/33 | 170,000 | 179,713 | |
TWDC Enterprises 18 Corp., 3.00%, 7/30/46 | 162,000 | 106,028 | |
Warnermedia Holdings, Inc., | |||
3.76%, 3/15/27(b) | 80,000 | 71,167 | |
4.05%, 3/15/29(b) | 140,000 | 118,951 | |
4.28%, 3/15/32(b) | 450,000 | 363,487 | |
5.05%, 3/15/42(b)(f) | 30,000 | 21,948 | |
5.14%, 3/15/52(b) | 500,000 | 349,109 | |
1,929,440 | |||
Food – 0.1% | |||
Hershey (The) Co., 0.90%, 6/01/25 | 30,000 | 27,087 | |
Kraft Heinz Foods Co., 3.00%, 6/01/26 | 102,000 | 94,137 | |
Mars, Inc., | |||
2.70%, 4/01/25(b) | 90,000 | 85,244 | |
3.20%, 4/01/30(b) | 180,000 | 157,788 | |
2.38%, 7/16/40(b) | 200,000 | 127,847 | |
Mondelez International, Inc., 1.50%, 5/04/25 | 250,000 | 228,311 | |
720,414 | |||
Forestry, Paper & Wood Products – 0.0%(e) | |||
Georgia-Pacific LLC, 8.88%, 5/15/31 | 13,000 | 15,479 | |
Gas & Water Utilities – 0.0%(e) | |||
Atmos Energy Corp., 4.13%, 3/15/49 | 40,000 | 30,389 | |
CenterPoint Energy Resources Corp., 1.75%, 10/01/30 | 59,000 | 44,957 |
Par (a) | Value | ||
Gas & Water Utilities (Continued) | |||
ONE Gas, Inc., 2.00%, 5/15/30 | $ 35,000 | $ 27,354 | |
Piedmont Natural Gas Co., Inc., 2.50%, 3/15/31 | 41,000 | 32,134 | |
134,834 | |||
Health Care Facilities & Services – 0.9% | |||
Cigna Corp., | |||
4.13%, 11/15/25 | 20,000 | 19,334 | |
4.38%, 10/15/28 | 440,000 | 414,181 | |
4.80%, 8/15/38 | 210,000 | 185,049 | |
4.90%, 12/15/48 | 130,000 | 110,378 | |
CVS Health Corp., | |||
3.63%, 4/01/27 | 40,000 | 37,176 | |
4.30%, 3/25/28 | 217,000 | 203,616 | |
3.75%, 4/01/30 | 512,000 | 452,107 | |
1.88%, 2/28/31(f) | 40,000 | 30,352 | |
2.13%, 9/15/31 | 130,000 | 99,476 | |
4.78%, 3/25/38(f) | 400,000 | 347,183 | |
4.13%, 4/01/40 | 40,000 | 31,304 | |
5.13%, 7/20/45 | 271,000 | 233,057 | |
5.05%, 3/25/48 | 470,000 | 399,238 | |
Elevance Health, Inc., | |||
3.65%, 12/01/27 | 300,000 | 276,869 | |
4.10%, 5/15/32 | 80,000 | 71,966 | |
4.55%, 5/15/52 | 40,000 | 32,796 | |
6.10%, 10/15/52 | 25,000 | 25,483 | |
HCA, Inc., | |||
5.25%, 4/15/25 | 146,000 | 143,487 | |
4.50%, 2/15/27 | 335,000 | 313,634 | |
5.88%, 2/01/29 | 135,000 | 131,778 | |
3.50%, 9/01/30 | 339,000 | 280,828 | |
2.38%, 7/15/31 | 316,000 | 235,554 | |
3.63%, 3/15/32(b) | 351,000 | 284,586 | |
Humana, Inc., | |||
4.50%, 4/01/25 | 20,000 | 19,575 | |
3.95%, 3/15/27 | 140,000 | 130,825 | |
3.70%, 3/23/29 | 310,000 | 276,205 | |
3.13%, 8/15/29(f) | 310,000 | 264,765 | |
2.15%, 2/03/32(f) | 50,000 | 37,612 | |
UnitedHealth Group, Inc., | |||
3.75%, 7/15/25 | 50,000 | 48,534 | |
1.25%, 1/15/26 | 40,000 | 35,530 | |
3.85%, 6/15/28 | 130,000 | 121,030 | |
3.88%, 12/15/28 | 110,000 | 102,294 | |
4.00%, 5/15/29 | 160,000 | 148,754 | |
2.00%, 5/15/30 | 40,000 | 32,061 | |
2.30%, 5/15/31 | 30,000 | 24,043 | |
4.20%, 5/15/32 | 110,000 | 101,255 | |
2.75%, 5/15/40 | 90,000 | 61,709 | |
4.45%, 12/15/48 | 57,000 | 47,360 | |
2.90%, 5/15/50 | 142,000 | 90,937 |
Par (a) | Value | ||
Health Care Facilities & Services (Continued) | |||
UnitedHealth Group, Inc., | |||
3.25%, 5/15/51 | $ 390,000 | $ 264,701 | |
6.05%, 2/15/63 | 60,000 | 61,675 | |
6,228,297 | |||
Household Products – 0.1% | |||
GSK Consumer Healthcare Capital U.S. LLC, 3.63%, 3/24/32(b)(f) | 480,000 | 404,390 | |
Kimberly-Clark Corp., 3.10%, 3/26/30 | 30,000 | 26,276 | |
Procter & Gamble (The) Co., | |||
2.80%, 3/25/27 | 20,000 | 18,440 | |
3.00%, 3/25/30 | 60,000 | 53,578 | |
502,684 | |||
Institutional Financial Services – 2.0% | |||
Bank of New York Mellon (The) Corp., | |||
1.60%, 4/24/25 | 60,000 | 54,941 | |
(3M USD LIBOR + 3.13%), 4.63%, 9/20/26(g)(h) | 79,000 | 68,222 | |
Goldman Sachs Group (The), Inc., | |||
(SOFR + 0.54%), 0.63%, 11/17/23(h) | 848,000 | 845,822 | |
3.63%, 2/20/24 | 120,000 | 117,323 | |
3.85%, 7/08/24 | 30,000 | 29,330 | |
(SOFR + 0.51%), 0.66%, 9/10/24(h) | 561,000 | 534,039 | |
3.50%, 4/01/25 | 432,000 | 409,308 | |
3.50%, 11/16/26 | 570,000 | 522,710 | |
(SOFR + 0.80%), 1.43%, 3/09/27(h) | 277,000 | 236,979 | |
(SOFR + 1.11%), 2.64%, 2/24/28(h) | 621,000 | 536,745 | |
(SOFR + 1.85%), 3.62%, 3/15/28(h) | 385,000 | 347,075 | |
(3M USD LIBOR + 1.16%), 3.81%, 4/23/29(h) | 400,000 | 354,906 | |
(3M USD LIBOR + 1.30%), 4.22%, 5/01/29(h) | 960,000 | 868,505 | |
(SOFR + 1.09%), 1.99%, 1/27/32(h) | 265,000 | 193,363 | |
(SOFR + 1.28%), 2.62%, 4/22/32(h) | 130,000 | 99,159 | |
(SOFR + 1.25%), 2.38%, 7/21/32(h) | 50,000 | 37,208 | |
(SOFR + 1.26%), 2.65%, 10/21/32(h) | 798,000 | 604,146 | |
(SOFR + 1.41%), 3.10%, 2/24/33(h) | 1,574,000 | 1,232,742 | |
(SOFR + 1.51%), 3.21%, 4/22/42(h) | 80,000 | 53,250 |
Par (a) | Value | ||
Institutional Financial Services (Continued) | |||
Goldman Sachs Group (The), Inc., | |||
(SOFR + 1.47%), 2.91%, 7/21/42(h) | $ 160,000 | $ 100,632 | |
5.15%, 5/22/45 | 410,000 | 332,748 | |
4.75%, 10/21/45 | 230,000 | 185,378 | |
Intercontinental Exchange, Inc., | |||
4.60%, 3/15/33 | 100,000 | 91,703 | |
4.95%, 6/15/52 | 30,000 | 26,035 | |
Morgan Stanley, | |||
(SOFR + 0.47%), 0.56%, 11/10/23(h) | 432,000 | 431,442 | |
(SOFR + 0.46%), 0.53%, 1/25/24(h) | 631,000 | 621,552 | |
(SOFR + 0.62%), 0.73%, 4/05/24(h) | 1,602,000 | 1,562,912 | |
(SOFR + 1.99%), 2.19%, 4/28/26(h) | 460,000 | 419,810 | |
(SOFR + 0.88%), 1.59%, 5/04/27(h) | 190,000 | 162,593 | |
(SOFR + 0.86%), 1.51%, 7/20/27(h) | 119,000 | 100,901 | |
(3M USD LIBOR + 1.34%), 3.59%, 7/22/28(h) | 405,000 | 362,992 | |
(SOFR + 2.24%), 6.30%, 10/18/28(h) | 188,000 | 189,691 | |
(3M USD LIBOR + 1.14%), 3.77%, 1/24/29(h) | 300,000 | 267,758 | |
(3M USD LIBOR + 1.63%), 4.43%, 1/23/30(h) | 10,000 | 9,125 | |
(SOFR + 1.14%), 2.70%, 1/22/31(h) | 891,000 | 713,467 | |
(SOFR + 3.12%), 3.62%, 4/01/31(h) | 360,000 | 306,098 | |
(SOFR + 1.03%), 1.79%, 2/13/32(h) | 113,000 | 81,488 | |
(SOFR + 1.02%), 1.93%, 4/28/32(h) | 63,000 | 45,673 | |
(SOFR + 1.18%), 2.24%, 7/21/32(h) | 673,000 | 496,099 | |
(SOFR + 1.20%), 2.51%, 10/20/32(h) | 726,000 | 546,597 | |
(SOFR + 1.29%), 2.94%, 1/21/33(h) | 209,000 | 162,789 | |
(SOFR + 2.08%), 4.89%, 7/20/33(h) | 65,000 | 59,167 | |
State Street Corp., (3M USD LIBOR + 2.54%), 5.63%, 12/15/23(g)(h) | 292,000 | 267,180 | |
14,689,603 | |||
Insurance – 0.1% | |||
American International Group, Inc., 2.50%, 6/30/25 | 40,000 | 37,160 |
Par (a) | Value | ||
Insurance (Continued) | |||
Aon Corp., 4.50%, 12/15/28 | $385,000 | $ 359,441 | |
Berkshire Hathaway Finance Corp., 4.25%, 1/15/49 | 150,000 | 121,848 | |
Guardian Life Global Funding, 1.10%, 6/23/25(b) | 50,000 | 44,745 | |
Marsh & McLennan Cos., Inc., 2.25%, 11/15/30 | 176,000 | 137,898 | |
MetLife, Inc., 6.40%, 12/15/36 | 100,000 | 92,282 | |
New York Life Global Funding, 0.95%, 6/24/25(b) | 80,000 | 71,483 | |
Principal Life Global Funding II, 1.25%, 6/23/25(b) | 40,000 | 35,862 | |
Teachers Insurance & Annuity Association of America, 4.90%, 9/15/44(b) | 80,000 | 68,065 | |
968,784 | |||
Internet Media & Services – 0.0%(e) | |||
Alphabet, Inc., | |||
0.45%, 8/15/25(f) | 30,000 | 26,796 | |
0.80%, 8/15/27(f) | 50,000 | 42,085 | |
1.10%, 8/15/30 | 60,000 | 46,078 | |
1.90%, 8/15/40 | 70,000 | 44,255 | |
2.05%, 8/15/50 | 40,000 | 22,872 | |
Meta Platforms, Inc., 4.45%, 8/15/52(b)(f) | 146,000 | 108,352 | |
290,438 | |||
Leisure Facilities & Services – 0.2% | |||
Las Vegas Sands Corp., | |||
3.20%, 8/08/24 | 100,000 | 95,218 | |
2.90%, 6/25/25 | 380,000 | 344,151 | |
McDonald's Corp., | |||
3.30%, 7/01/25(f) | 70,000 | 67,184 | |
1.45%, 9/01/25(f) | 140,000 | 127,522 | |
3.70%, 1/30/26 | 60,000 | 57,567 | |
3.50%, 3/01/27 | 30,000 | 28,116 | |
3.50%, 7/01/27 | 60,000 | 55,875 | |
3.80%, 4/01/28 | 270,000 | 251,844 | |
2.13%, 3/01/30 | 170,000 | 138,212 | |
3.60%, 7/01/30 | 80,000 | 71,722 | |
4.88%, 12/09/45 | 30,000 | 25,957 | |
4.20%, 4/01/50 | 350,000 | 273,808 | |
1,537,176 | |||
Machinery – 0.1% | |||
CNH Industrial Capital LLC, 4.20%, 1/15/24 | 123,000 | 120,894 |
Par (a) | Value | ||
Machinery (Continued) | |||
Deere & Co., | |||
3.10%, 4/15/30 | $ 30,000 | $ 26,241 | |
3.75%, 4/15/50(f) | 200,000 | 157,101 | |
Eaton Corp., 4.15%, 11/02/42 | 30,000 | 24,193 | |
328,429 | |||
Medical Equipment & Devices – 0.1% | |||
Abbott Laboratories, | |||
3.75%, 11/30/26 | 390,000 | 374,534 | |
4.75%, 11/30/36(f) | 40,000 | 38,290 | |
4.90%, 11/30/46 | 90,000 | 83,993 | |
Agilent Technologies, Inc., | |||
2.75%, 9/15/29 | 43,000 | 36,055 | |
2.10%, 6/04/30(f) | 66,000 | 51,596 | |
Becton Dickinson and Co., | |||
3.36%, 6/06/24 | 87,000 | 84,446 | |
4.69%, 12/15/44 | 15,000 | 12,608 | |
681,522 | |||
Metals & Mining – 0.0%(e) | |||
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 80,000 | 65,720 | |
Oil & Gas Producers – 3.1% | |||
Apache Corp., | |||
4.75%, 4/15/43 | 100,000 | 75,000 | |
4.25%, 1/15/44 | 380,000 | 262,200 | |
BP Capital Markets America, Inc., | |||
3.41%, 2/11/26 | 20,000 | 18,927 | |
3.12%, 5/04/26 | 220,000 | 205,124 | |
3.94%, 9/21/28 | 110,000 | 102,125 | |
3.63%, 4/06/30 | 80,000 | 71,432 | |
1.75%, 8/10/30(f) | 200,000 | 154,883 | |
3.00%, 2/24/50 | 190,000 | 119,731 | |
Cameron LNG LLC, | |||
2.90%, 7/15/31(b) | 160,000 | 130,571 | |
3.30%, 1/15/35(b) | 750,000 | 585,841 | |
3.40%, 1/15/38(b) | 225,000 | 175,007 | |
Cheniere Corpus Christi Holdings LLC, | |||
7.00%, 6/30/24 | 455,000 | 460,511 | |
5.88%, 3/31/25 | 233,000 | 233,035 | |
5.13%, 6/30/27 | 140,000 | 136,588 | |
2.74%, 12/31/39 | 202,000 | 149,890 | |
Chevron Corp., | |||
1.55%, 5/11/25 | 130,000 | 119,932 | |
2.00%, 5/11/27 | 40,000 | 35,375 | |
3.08%, 5/11/50 | 230,000 | 157,050 | |
Chevron USA, Inc., 3.85%, 1/15/28 | 240,000 | 227,240 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Continental Resources, Inc., | |||
3.80%, 6/01/24 | $ 130,000 | $ 125,288 | |
4.38%, 1/15/28 | 360,000 | 322,783 | |
5.75%, 1/15/31(b) | 20,000 | 18,133 | |
4.90%, 6/01/44 | 160,000 | 113,502 | |
Coterra Energy, Inc., | |||
3.90%, 5/15/27(b) | 280,000 | 257,944 | |
4.38%, 3/15/29(b) | 850,000 | 778,745 | |
Devon Energy Corp., | |||
5.85%, 12/15/25 | 120,000 | 120,769 | |
5.25%, 10/15/27 | 61,000 | 60,486 | |
5.88%, 6/15/28 | 8,000 | 8,021 | |
4.50%, 1/15/30 | 112,000 | 102,172 | |
5.60%, 7/15/41 | 371,000 | 338,884 | |
4.75%, 5/15/42 | 544,000 | 444,363 | |
5.00%, 6/15/45 | 150,000 | 125,203 | |
Diamondback Energy, Inc., | |||
3.25%, 12/01/26 | 645,000 | 591,505 | |
3.50%, 12/01/29 | 1,409,000 | 1,215,028 | |
3.13%, 3/24/31 | 80,000 | 65,374 | |
4.40%, 3/24/51 | 323,000 | 242,159 | |
Energy Transfer L.P., | |||
3.90%, 5/15/24 | 102,000 | 99,100 | |
2.90%, 5/15/25 | 200,000 | 185,656 | |
5.95%, 12/01/25 | 160,000 | 159,066 | |
5.50%, 6/01/27 | 130,000 | 126,507 | |
4.95%, 6/15/28 | 20,000 | 18,629 | |
5.25%, 4/15/29 | 60,000 | 56,227 | |
3.75%, 5/15/30 | 430,000 | 365,497 | |
5.30%, 4/01/44 | 160,000 | 125,921 | |
5.35%, 5/15/45 | 210,000 | 165,054 | |
5.40%, 10/01/47 | 305,000 | 242,168 | |
6.25%, 4/15/49 | 107,000 | 93,341 | |
5.00%, 5/15/50(f) | 274,000 | 208,062 | |
Energy Transfer L.P./Regency Energy Finance Corp., 4.50%, 11/01/23 | 28,000 | 27,660 | |
Enterprise Products Operating LLC, | |||
4.15%, 10/16/28 | 270,000 | 248,551 | |
3.13%, 7/31/29 | 234,000 | 201,149 | |
2.80%, 1/31/30 | 300,000 | 250,215 | |
7.55%, 4/15/38 | 10,000 | 10,722 | |
5.95%, 2/01/41 | 49,000 | 46,415 | |
4.85%, 3/15/44 | 80,000 | 65,759 | |
5.10%, 2/15/45 | 100,000 | 83,994 | |
4.80%, 2/01/49 | 40,000 | 32,141 | |
4.20%, 1/31/50 | 60,000 | 44,095 | |
3.70%, 1/31/51 | 170,000 | 114,426 | |
3.20%, 2/15/52(f) | 67,000 | 41,365 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Enterprise Products Operating LLC, | |||
3.95%, 1/31/60 | $ 70,000 | $ 46,490 | |
(3M USD LIBOR + 2.57%), 5.38%, 2/15/78(h) | 50,000 | 36,222 | |
EOG Resources, Inc., | |||
4.38%, 4/15/30 | 270,000 | 255,795 | |
3.90%, 4/01/35 | 180,000 | 153,483 | |
4.95%, 4/15/50 | 410,000 | 371,103 | |
EQT Corp., | |||
5.70%, 4/01/28 | 35,000 | 34,059 | |
7.00%, 2/01/30 | 150,000 | 153,758 | |
Exxon Mobil Corp., | |||
2.99%, 3/19/25 | 300,000 | 287,033 | |
3.04%, 3/01/26 | 70,000 | 65,902 | |
2.44%, 8/16/29 | 240,000 | 205,614 | |
3.48%, 3/19/30 | 120,000 | 108,749 | |
4.11%, 3/01/46 | 20,000 | 16,028 | |
4.33%, 3/19/50 | 10,000 | 8,306 | |
3.45%, 4/15/51 | 300,000 | 214,422 | |
Kinder Morgan Energy Partners L.P., | |||
4.25%, 9/01/24 | 100,000 | 97,627 | |
6.50%, 2/01/37 | 129,000 | 124,109 | |
6.38%, 3/01/41 | 110,000 | 101,654 | |
5.50%, 3/01/44 | 111,000 | 93,763 | |
Kinder Morgan, Inc., | |||
4.30%, 6/01/25 | 90,000 | 87,576 | |
4.30%, 3/01/28 | 350,000 | 327,201 | |
5.55%, 6/01/45 | 210,000 | 181,509 | |
5.05%, 2/15/46 | 40,000 | 32,353 | |
5.20%, 3/01/48 | 60,000 | 49,137 | |
Marathon Petroleum Corp., 4.50%, 4/01/48 | 35,000 | 26,289 | |
MPLX L.P., | |||
4.00%, 3/15/28 | 200,000 | 180,930 | |
4.80%, 2/15/29 | 30,000 | 27,768 | |
4.50%, 4/15/38 | 90,000 | 71,749 | |
5.20%, 3/01/47 | 60,000 | 47,827 | |
5.20%, 12/01/47 | 100,000 | 80,028 | |
4.70%, 4/15/48 | 210,000 | 156,615 | |
5.50%, 2/15/49 | 90,000 | 75,101 | |
NGPL PipeCo LLC, | |||
4.88%, 8/15/27(b) | 168,000 | 156,100 | |
3.25%, 7/15/31(b) | 368,000 | 287,325 | |
Northwest Pipeline LLC, 4.00%, 4/01/27 | 288,000 | 267,020 | |
Occidental Petroleum Corp., | |||
6.95%, 7/01/24 | 200,000 | 204,922 | |
5.55%, 3/15/26 | 160,000 | 162,400 | |
3.00%, 2/15/27(f) | 220,000 | 199,650 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Occidental Petroleum Corp., | |||
7.88%, 9/15/31(f) | $ 210,000 | $ 228,545 | |
4.50%, 7/15/44 | 80,000 | 66,029 | |
6.60%, 3/15/46 | 150,000 | 147,643 | |
4.10%, 2/15/47 | 50,000 | 39,505 | |
4.20%, 3/15/48 | 230,000 | 182,384 | |
Pioneer Natural Resources Co., | |||
1.13%, 1/15/26 | 30,000 | 26,133 | |
1.90%, 8/15/30(f) | 150,000 | 115,255 | |
2.15%, 1/15/31 | 380,000 | 294,015 | |
Sabine Pass Liquefaction LLC, 5.63%, 3/01/25 | 1,099,000 | 1,094,419 | |
Southern Natural Gas Co. LLC, 8.00%, 3/01/32 | 80,000 | 84,882 | |
Targa Resources Corp., | |||
5.20%, 7/01/27 | 260,000 | 250,780 | |
4.95%, 4/15/52 | 193,000 | 144,815 | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 5.00%, 1/15/28 | 343,000 | 316,282 | |
Tennessee Gas Pipeline Co. LLC, 2.90%, 3/01/30(b) | 210,000 | 170,966 | |
Texas Eastern Transmission L.P., | |||
3.50%, 1/15/28(b) | 226,000 | 201,236 | |
7.00%, 7/15/32 | 15,000 | 15,694 | |
Transcontinental Gas Pipe Line Co. LLC, | |||
7.85%, 2/01/26 | 1,024,000 | 1,079,005 | |
4.00%, 3/15/28 | 436,000 | 399,586 | |
Western Midstream Operating L.P., | |||
3.35%, 2/01/25 | 50,000 | 47,524 | |
4.65%, 7/01/26(f) | 90,000 | 85,275 | |
Williams (The) Cos., Inc., | |||
4.90%, 1/15/45 | 440,000 | 350,281 | |
5.10%, 9/15/45 | 140,000 | 114,930 | |
4.85%, 3/01/48 | 110,000 | 87,799 | |
3.50%, 10/15/51 | 109,000 | 69,779 | |
21,970,920 | |||
Oil, Gas Services & Equipment – 0.0%(e) | |||
Halliburton Co., 3.80%, 11/15/25(f) | 3,000 | 2,883 | |
Real Estate Investment Trusts – 0.6% | |||
Alexandria Real Estate Equities, Inc., 2.95%, 3/15/34 | 106,000 | 79,774 |
Par (a) | Value | ||
Real Estate Investment Trusts (Continued) | |||
American Tower Corp., | |||
3.95%, 3/15/29 | $ 53,000 | $ 46,901 | |
3.80%, 8/15/29 | 511,000 | 445,725 | |
2.10%, 6/15/30 | 99,000 | 75,392 | |
Crown Castle, Inc., | |||
3.10%, 11/15/29 | 366,000 | 304,764 | |
3.30%, 7/01/30 | 174,000 | 145,143 | |
2.10%, 4/01/31 | 291,000 | 217,324 | |
2.50%, 7/15/31 | 37,000 | 28,469 | |
Digital Dutch Finco B.V., | |||
1.50%, 3/15/30 | EUR | 130,000 | 97,327 |
1.00%, 1/15/32 | EUR | 100,000 | 66,402 |
Equinix, Inc., | |||
3.20%, 11/18/29(f) | 273,000 | 228,660 | |
2.15%, 7/15/30 | 126,000 | 95,917 | |
2.50%, 5/15/31 | 104,000 | 79,194 | |
3.90%, 4/15/32 | 465,000 | 391,277 | |
GLP Capital L.P./GLP Financing II, Inc., | |||
4.00%, 1/15/30 | 487,000 | 401,614 | |
4.00%, 1/15/31 | 200,000 | 160,372 | |
3.25%, 1/15/32 | 393,000 | 292,946 | |
Kimco Realty Corp., 4.60%, 2/01/33 | 41,000 | 36,286 | |
National Retail Properties, Inc., | |||
3.10%, 4/15/50 | 42,000 | 24,323 | |
3.50%, 4/15/51 | 107,000 | 66,362 | |
3.00%, 4/15/52 | 19,000 | 10,640 | |
Prologis L.P., 1.75%, 2/01/31 | 198,000 | 149,459 | |
Realty Income Corp., 3.25%, 1/15/31 | 74,000 | 61,534 | |
VICI Properties L.P., | |||
4.75%, 2/15/28 | 229,000 | 208,684 | |
4.95%, 2/15/30(f) | 438,000 | 395,865 | |
VICI Properties L.P./VICI Note Co., Inc., 4.25%, 12/01/26(b) | 31,000 | 28,237 | |
WP Carey, Inc., 2.40%, 2/01/31 | 160,000 | 120,148 | |
4,258,739 | |||
Retail - Consumer Staples – 0.1% | |||
Costco Wholesale Corp., | |||
1.38%, 6/20/27 | 190,000 | 163,587 | |
1.75%, 4/20/32(f) | 90,000 | 69,057 | |
Target Corp., 2.25%, 4/15/25(f) | 110,000 | 103,374 | |
Walmart, Inc., | |||
1.50%, 9/22/28 | 60,000 | 50,123 |
Par (a) | Value | ||
Retail - Consumer Staples (Continued) | |||
Walmart, Inc., | |||
2.38%, 9/24/29 | $ 20,000 | $ 17,105 | |
1.80%, 9/22/31 | 40,000 | 31,634 | |
434,880 | |||
Retail - Discretionary – 0.1% | |||
Home Depot (The), Inc., | |||
2.50%, 4/15/27 | 60,000 | 54,213 | |
3.90%, 12/06/28 | 10,000 | 9,446 | |
2.70%, 4/15/30 | 80,000 | 67,891 | |
3.30%, 4/15/40 | 160,000 | 119,775 | |
3.90%, 6/15/47 | 20,000 | 15,332 | |
3.35%, 4/15/50 | 210,000 | 145,831 | |
Lowe's Cos., Inc., | |||
1.70%, 9/15/28 | 180,000 | 147,191 | |
4.50%, 4/15/30(f) | 448,000 | 417,286 | |
4.65%, 4/15/42 | 54,000 | 44,169 | |
1,021,134 | |||
Semiconductors – 0.6% | |||
Applied Materials, Inc., | |||
1.75%, 6/01/30 | 210,000 | 165,640 | |
2.75%, 6/01/50 | 38,000 | 24,332 | |
Broadcom, Inc., | |||
4.15%, 11/15/30 | 154,000 | 132,451 | |
2.45%, 2/15/31(b) | 147,000 | 110,312 | |
4.15%, 4/15/32(b) | 104,000 | 87,046 | |
3.42%, 4/15/33(b) | 267,000 | 202,881 | |
3.47%, 4/15/34(b) | 280,000 | 209,582 | |
3.14%, 11/15/35(b) | 880,000 | 610,433 | |
4.93%, 5/15/37(b)(f) | 650,000 | 535,932 | |
Intel Corp., | |||
3.70%, 7/29/25 | 20,000 | 19,415 | |
1.60%, 8/12/28 | 170,000 | 140,236 | |
3.73%, 12/08/47 | 183,000 | 126,905 | |
4.75%, 3/25/50 | 150,000 | 121,548 | |
3.05%, 8/12/51 | 80,000 | 48,352 | |
KLA Corp., | |||
4.10%, 3/15/29 | 39,000 | 36,576 | |
4.65%, 7/15/32(f) | 130,000 | 123,480 | |
3.30%, 3/01/50(f) | 355,000 | 238,598 | |
5.25%, 7/15/62 | 121,000 | 106,778 | |
Lam Research Corp., | |||
4.88%, 3/15/49 | 34,000 | 29,975 | |
2.88%, 6/15/50(f) | 116,000 | 72,625 | |
NVIDIA Corp., | |||
3.50%, 4/01/40 | 250,000 | 189,858 | |
3.50%, 4/01/50 | 290,000 | 204,896 | |
3.70%, 4/01/60 | 150,000 | 102,307 | |
Texas Instruments, Inc., | |||
2.90%, 11/03/27 | 390,000 | 355,864 |
Par (a) | Value | ||
Semiconductors (Continued) | |||
Texas Instruments, Inc., | |||
1.75%, 5/04/30 | $ 70,000 | $ 55,724 | |
3.88%, 3/15/39 | 200,000 | 166,227 | |
4,217,973 | |||
Software – 0.7% | |||
Adobe, Inc., 2.30%, 2/01/30 | 200,000 | 166,212 | |
Autodesk, Inc., 2.40%, 12/15/31 | 158,000 | 121,812 | |
Microsoft Corp., | |||
3.30%, 2/06/27 | 1,120,000 | 1,064,519 | |
2.53%, 6/01/50 | 284,000 | 178,161 | |
2.92%, 3/17/52 | 128,000 | 86,483 | |
Oracle Corp., | |||
1.65%, 3/25/26 | 360,000 | 316,028 | |
2.95%, 4/01/30(f) | 30,000 | 24,429 | |
2.88%, 3/25/31 | 430,000 | 338,889 | |
3.85%, 7/15/36 | 170,000 | 127,214 | |
6.13%, 7/08/39 | 182,000 | 166,925 | |
3.60%, 4/01/40 | 234,000 | 158,330 | |
3.65%, 3/25/41 | 601,000 | 406,997 | |
4.50%, 7/08/44 | 24,000 | 17,566 | |
4.00%, 7/15/46 | 311,000 | 207,789 | |
4.00%, 11/15/47 | 60,000 | 39,753 | |
3.60%, 4/01/50 | 509,000 | 313,302 | |
4.38%, 5/15/55 | 165,000 | 111,934 | |
Roper Technologies, Inc., 2.95%, 9/15/29 | 40,000 | 33,443 | |
Salesforce, Inc., | |||
3.70%, 4/11/28 | 250,000 | 235,570 | |
3.05%, 7/15/61 | 65,000 | 39,606 | |
ServiceNow, Inc., 1.40%, 9/01/30 | 243,000 | 178,993 | |
VMware, Inc., 2.20%, 8/15/31 | 271,000 | 197,251 | |
Workday, Inc., | |||
3.50%, 4/01/27 | 70,000 | 64,569 | |
3.70%, 4/01/29 | 100,000 | 89,043 | |
3.80%, 4/01/32(f) | 130,000 | 111,063 | |
4,795,881 | |||
Specialty Finance – 0.2% | |||
Air Lease Corp., 3.38%, 7/01/25 | 70,000 | 64,792 | |
American Express Co., | |||
3.38%, 5/03/24 | 170,000 | 164,883 | |
2.50%, 7/30/24 | 410,000 | 389,734 | |
4.20%, 11/06/25 | 70,000 | 67,954 | |
4.05%, 5/03/29 | 210,000 | 190,754 | |
Capital One Financial Corp., (SOFR + 1.79%), 3.27%, 3/01/30(h) | 139,000 | 114,076 |
Par (a) | Value | ||
Specialty Finance (Continued) | |||
Penske Truck Leasing Co. L.P./PTL Finance Corp., | |||
1.20%, 11/15/25(b) | $116,000 | $ 100,110 | |
1.70%, 6/15/26(b)(f) | 241,000 | 206,105 | |
Synchrony Financial, 3.70%, 8/04/26(f) | 4,000 | 3,594 | |
USAA Capital Corp., 2.13%, 5/01/30(b) | 150,000 | 118,999 | |
1,421,001 | |||
Steel – 0.0%(e) | |||
Nucor Corp., 3.95%, 5/01/28 | 117,000 | 107,556 | |
Technology Hardware – 0.3% | |||
Apple, Inc., | |||
1.13%, 5/11/25 | 260,000 | 237,748 | |
2.45%, 8/04/26 | 100,000 | 92,052 | |
2.90%, 9/12/27(f) | 460,000 | 422,768 | |
2.38%, 2/08/41 | 111,000 | 74,284 | |
2.40%, 8/20/50 | 147,000 | 87,248 | |
2.80%, 2/08/61 | 79,000 | 46,846 | |
Dell International LLC/EMC Corp., | |||
8.35%, 7/15/46 | 10,000 | 10,616 | |
3.45%, 12/15/51(b) | 85,000 | 48,096 | |
HP, Inc., 2.65%, 6/17/31 | 39,000 | 28,577 | |
Juniper Networks, Inc., 2.00%, 12/10/30 | 70,000 | 50,683 | |
Motorola Solutions, Inc., | |||
4.60%, 5/23/29(f) | 235,000 | 216,035 | |
2.75%, 5/24/31 | 511,000 | 390,783 | |
5.60%, 6/01/32 | 140,000 | 131,821 | |
5.50%, 9/01/44 | 105,000 | 86,854 | |
Seagate HDD Cayman, 4.09%, 6/01/29 | 70,000 | 56,058 | |
1,980,469 | |||
Technology Services – 0.5% | |||
FactSet Research Systems, Inc., 3.45%, 3/01/32 | 237,000 | 190,203 | |
Global Payments, Inc., | |||
1.20%, 3/01/26 | 210,000 | 179,166 | |
4.95%, 8/15/27 | 409,000 | 388,621 | |
3.20%, 8/15/29 | 286,000 | 237,721 | |
2.90%, 5/15/30 | 178,000 | 141,648 | |
5.95%, 8/15/52 | 103,000 | 89,106 | |
International Business Machines Corp., | |||
3.00%, 5/15/24 | 410,000 | 397,839 | |
3.43%, 2/09/52 | 200,000 | 130,347 | |
Leidos, Inc., 2.30%, 2/15/31 | 184,000 | 135,680 |
Par (a) | Value | ||
Technology Services (Continued) | |||
Mastercard, Inc., | |||
3.35%, 3/26/30 | $ 120,000 | $ 107,874 | |
3.85%, 3/26/50 | 380,000 | 298,121 | |
Moody's Corp., | |||
3.25%, 1/15/28(f) | 285,000 | 255,201 | |
2.00%, 8/19/31 | 105,000 | 79,376 | |
4.88%, 12/17/48 | 41,000 | 34,393 | |
3.10%, 11/29/61 | 63,000 | 36,358 | |
PayPal Holdings, Inc., | |||
1.65%, 6/01/25 | 90,000 | 82,574 | |
2.30%, 6/01/30 | 150,000 | 120,924 | |
4.40%, 6/01/32(f) | 70,000 | 64,306 | |
S&P Global, Inc., 4.75%, 8/01/28(b) | 174,000 | 168,671 | |
Visa, Inc., | |||
3.15%, 12/14/25 | 230,000 | 219,202 | |
4.30%, 12/14/45 | 170,000 | 144,873 | |
3,502,204 | |||
Telecommunications – 1.3% | |||
AT&T, Inc., | |||
3.80%, 2/15/27 | 170,000 | 159,225 | |
2.30%, 6/01/27 | 170,000 | 148,265 | |
1.65%, 2/01/28 | 520,000 | 429,063 | |
4.35%, 3/01/29 | 36,000 | 33,462 | |
4.30%, 2/15/30(b) | 105,000 | 95,734 | |
2.25%, 2/01/32 | 30,000 | 22,540 | |
2.55%, 12/01/33 | 491,000 | 361,840 | |
4.50%, 5/15/35 | 175,000 | 150,828 | |
6.00%, 8/15/40 | 103,000 | 98,068 | |
5.35%, 9/01/40 | 50,000 | 44,251 | |
5.55%, 8/15/41 | 40,000 | 36,587 | |
4.80%, 6/15/44 | 22,000 | 17,866 | |
3.30%, 2/01/52(f) | 40,000 | 25,099 | |
3.50%, 9/15/53 | 591,000 | 379,321 | |
3.55%, 9/15/55 | 576,000 | 366,544 | |
3.80%, 12/01/57 | 30,000 | 19,769 | |
3.65%, 9/15/59 | 505,000 | 318,552 | |
T-Mobile USA, Inc., | |||
3.50%, 4/15/25 | 230,000 | 219,423 | |
2.63%, 4/15/26 | 174,000 | 157,030 | |
3.75%, 4/15/27 | 20,000 | 18,451 | |
3.88%, 4/15/30 | 1,027,000 | 908,483 | |
2.88%, 2/15/31 | 560,000 | 450,811 | |
2.55%, 2/15/31 | 70,000 | 55,366 | |
2.25%, 11/15/31 | 200,000 | 151,427 | |
3.00%, 2/15/41 | 190,000 | 127,773 | |
3.30%, 2/15/51 | 70,000 | 44,908 | |
Verizon Communications, Inc., | |||
2.63%, 8/15/26 | 10,000 | 9,095 | |
4.13%, 3/16/27 | 60,000 | 57,049 |
Par (a) | Value | ||
Telecommunications (Continued) | |||
Verizon Communications, Inc., | |||
3.00%, 3/22/27 | $ 30,000 | $ 27,198 | |
2.10%, 3/22/28 | 396,000 | 332,792 | |
4.33%, 9/21/28 | 250,000 | 234,367 | |
3.88%, 2/08/29 | 30,000 | 27,268 | |
3.15%, 3/22/30 | 90,000 | 76,047 | |
1.50%, 9/18/30 | 610,000 | 452,955 | |
1.68%, 10/30/30 | 126,000 | 93,807 | |
7.75%, 12/01/30 | 106,000 | 118,038 | |
1.75%, 1/20/31 | 370,000 | 274,425 | |
2.55%, 3/21/31 | 552,000 | 436,203 | |
2.36%, 3/15/32 | 687,000 | 520,420 | |
4.50%, 8/10/33 | 460,000 | 409,828 | |
4.40%, 11/01/34 | 178,000 | 154,104 | |
2.65%, 11/20/40 | 858,000 | 544,626 | |
3.40%, 3/22/41 | 50,000 | 35,549 | |
3.85%, 11/01/42 | 60,000 | 44,660 | |
4.13%, 8/15/46 | 70,000 | 52,672 | |
4.86%, 8/21/46 | 40,000 | 33,383 | |
4.00%, 3/22/50 | 190,000 | 139,216 | |
2.88%, 11/20/50 | 629,000 | 371,187 | |
3.55%, 3/22/51 | 330,000 | 222,749 | |
3.00%, 11/20/60 | 132,000 | 73,681 | |
9,582,005 | |||
Tobacco & Cannabis – 0.2% | |||
Altria Group, Inc., | |||
2.35%, 5/06/25 | 30,000 | 27,681 | |
4.40%, 2/14/26(f) | 172,000 | 165,044 | |
2.20%, 6/15/27 | EUR | 100,000 | 87,338 |
4.80%, 2/14/29 | 80,000 | 73,646 | |
3.13%, 6/15/31 | EUR | 205,000 | 166,375 |
2.45%, 2/04/32 | 180,000 | 127,918 | |
5.80%, 2/14/39 | 70,000 | 59,811 | |
3.40%, 2/04/41 | 354,000 | 216,583 | |
5.95%, 2/14/49 | 255,000 | 208,271 | |
6.20%, 2/14/59 | 24,000 | 19,870 | |
Philip Morris International, Inc., | |||
2.10%, 5/01/30 | 70,000 | 53,357 | |
1.45%, 8/01/39 | EUR | 200,000 | 108,055 |
4.50%, 3/20/42 | 60,000 | 43,845 | |
1,357,794 | |||
Transportation & Logistics – 0.4% | |||
American Airlines Pass Through Trust, | |||
Series 2016-1, Class B, 5.25%, 1/15/24 | 85,280 | 82,262 | |
Series 2017-1, Class B, 4.95%, 2/15/25 | 11,341 | 10,619 |
Par (a) | Value | ||
Transportation & Logistics (Continued) | |||
American Airlines Pass Through Trust, | |||
Series 2015-2, Class AA, 3.60%, 9/22/27 | $ 12,458 | $ 11,011 | |
Series 2016-1, Class AA, 3.58%, 1/15/28 | 71,438 | 62,799 | |
Series 2019-1, Class B, 3.85%, 2/15/28 | 61,002 | 49,494 | |
Series 2016-2, Class AA, 3.20%, 6/15/28 | 22,260 | 18,552 | |
Series 2016-3, Class AA, 3.00%, 10/15/28 | 106,878 | 91,391 | |
Series 2017-1, Class AA, 3.65%, 2/15/29 | 19,078 | 16,923 | |
Series 2019-1, Class AA, 3.15%, 2/15/32 | 64,832 | 53,050 | |
Burlington Northern Santa Fe LLC, | |||
3.30%, 9/15/51 | 189,000 | 128,976 | |
4.45%, 1/15/53 | 55,000 | 46,149 | |
CSX Corp., | |||
3.35%, 9/15/49 | 118,000 | 79,532 | |
2.50%, 5/15/51(f) | 59,000 | 33,620 | |
4.50%, 11/15/52 | 13,000 | 10,593 | |
Delta Air Lines Pass Through Trust, | |||
Series 2019-1, Class AA, 3.20%, 10/25/25 | 137,000 | 131,344 | |
Series 2015-1, Class AA, 3.63%, 7/30/27 | 52,147 | 47,216 | |
Delta Air Lines, Inc./SkyMiles IP Ltd., | |||
4.50%, 10/20/25(b) | 220,000 | 214,376 | |
4.75%, 10/20/28(b) | 260,000 | 241,874 | |
Norfolk Southern Corp., | |||
3.00%, 3/15/32(f) | 105,000 | 86,937 | |
3.05%, 5/15/50 | 210,000 | 132,584 | |
3.16%, 5/15/55 | 94,000 | 57,553 | |
Union Pacific Corp., | |||
2.15%, 2/05/27 | 120,000 | 106,965 | |
2.40%, 2/05/30 | 220,000 | 182,816 | |
3.95%, 8/15/59 | 104,000 | 75,554 | |
3.84%, 3/20/60 | 328,000 | 234,340 | |
3.75%, 2/05/70 | 238,000 | 159,034 | |
United Airlines Pass Through Trust, | |||
Series 2020-1, Class B, 4.88%, 1/15/26 | 49,530 | 45,968 | |
Series 2014-1, Class A, 4.00%, 4/11/26 | 82,409 | 74,368 | |
Series 2016-2, Class B, 3.65%, 4/07/27 | 2,287 | 1,990 |
Par (a) | Value | ||
Transportation & Logistics (Continued) | |||
United Airlines Pass Through Trust, | |||
Series 2020-1, Class A, 5.88%, 10/15/27 | $351,721 | $ 339,367 | |
Series 2015-1, Class AA, 3.45%, 12/01/27 | 710 | 620 | |
Series 2019-2, Class B, 3.50%, 5/01/28(f) | 47,299 | 40,188 | |
Series 2016-1, Class AA, 3.10%, 7/07/28 | 2,208 | 1,903 | |
Series 2016-2, Class AA, 2.88%, 10/07/28 | 16,185 | 13,533 | |
Series 2018-1, Class AA, 3.50%, 3/01/30 | 14,564 | 12,249 | |
Series 2019-2, Class AA, 2.70%, 5/01/32 | 54,603 | 43,281 | |
2,939,031 | |||
Total Corporate Bonds (Cost $171,839,571) | 144,148,611 | ||
Foreign Issuer Bonds – 6.3% | |||
Argentina – 0.0%(e) | |||
Genneia S.A., 8.75%, 9/02/27(b) | 16,330 | 15,146 | |
YPF S.A., 7.00%, 12/15/47(b) | 28,000 | 14,622 | |
29,768 | |||
Australia – 0.2% | |||
BHP Billiton Finance USA Ltd., 5.00%, 9/30/43 | 160,000 | 146,413 | |
Glencore Funding LLC, | |||
4.13%, 3/12/24(b) | 390,000 | 382,080 | |
1.63%, 4/27/26(b) | 238,000 | 204,422 | |
4.00%, 3/27/27(b) | 160,000 | 147,095 | |
3.88%, 10/27/27(b) | 70,000 | 63,002 | |
2.50%, 9/01/30(b)(f) | 196,000 | 150,794 | |
1,093,806 | |||
Belgium – 0.3% | |||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., | |||
3.65%, 2/01/26(f) | 300,000 | 287,330 | |
4.70%, 2/01/36 | 145,000 | 131,059 | |
4.90%, 2/01/46 | 200,000 | 171,535 | |
Anheuser-Busch InBev Finance, Inc., 4.00%, 1/17/43 | 62,000 | 47,957 | |
Anheuser-Busch InBev Worldwide, Inc., | |||
4.00%, 4/13/28 | 140,000 | 132,280 | |
4.75%, 1/23/29 | 514,000 | 499,976 | |
3.50%, 6/01/30(f) | 50,000 | 44,692 |
Par (a) | Value | ||
Belgium (Continued) | |||
Anheuser-Busch InBev Worldwide, Inc., | |||
4.35%, 6/01/40 | $ 130,000 | $ 108,678 | |
4.60%, 4/15/48 | 30,000 | 24,731 | |
5.55%, 1/23/49 | 260,000 | 244,861 | |
4.50%, 6/01/50 | 430,000 | 351,008 | |
2,044,107 | |||
Brazil – 0.3% | |||
Atento Luxco 1 S.A., | |||
8.00%, 2/10/26(b) | 16,000 | 6,240 | |
8.00%, 2/10/26 | 5,000 | 1,950 | |
Gol Finance S.A., 7.00%, 1/31/25(b) | 51,000 | 22,185 | |
Klabin Austria GmbH, 3.20%, 1/12/31(b)(f) | 200,000 | 150,895 | |
Oi S.A., (100% Cash), 10.00%, 7/27/25(j) | 26,000 | 6,761 | |
Petrobras Global Finance B.V., 5.75%, 2/01/29 | 11,000 | 10,257 | |
Suzano Austria GmbH, | |||
6.00%, 1/15/29 | 1,150,000 | 1,096,525 | |
3.13%, 1/15/32 | 45,000 | 33,187 | |
Vale Overseas Ltd., | |||
6.25%, 8/10/26(f) | 760,000 | 771,400 | |
6.88%, 11/21/36 | 300,000 | 291,572 | |
2,390,972 | |||
Canada – 0.4% | |||
Air Canada Pass Through Trust, Series 2017-1, Class AA, 3.30%, 1/15/30(b) | 14,314 | 11,913 | |
Bank of Montreal, | |||
1.85%, 5/01/25(f) | 210,000 | 192,942 | |
(5Y USD Swap Rate + 1.43%), 3.80%, 12/15/32(h) | 40,000 | 34,296 | |
Bank of Nova Scotia (The), | |||
3.45%, 4/11/25 | 430,000 | 409,752 | |
1.30%, 6/11/25 | 120,000 | 107,717 | |
(5Y US Treasury CMT + 2.05%), 4.59%, 5/04/37(h) | 140,000 | 115,030 | |
Barrick North America Finance LLC, 5.75%, 5/01/43 | 190,000 | 177,705 | |
Canadian Pacific Railway Co., | |||
2.45%, 12/02/31 | 670,000 | 531,534 | |
3.00%, 12/02/41 | 150,000 | 103,954 | |
Rogers Communications, Inc., | |||
3.80%, 3/15/32(b) | 406,000 | 345,665 |
Par (a) | Value | ||
Canada (Continued) | |||
Rogers Communications, Inc., | |||
4.55%, 3/15/52(b) | $ 67,000 | $ 51,761 | |
Royal Bank of Canada, | |||
1.15%, 6/10/25(f) | 100,000 | 89,809 | |
3.88%, 5/04/32(f) | 340,000 | 293,752 | |
Toronto-Dominion Bank (The), 1.15%, 6/12/25 | 110,000 | 98,533 | |
2,564,363 | |||
Chile – 0.1% | |||
Chile Government International Bond, 3.10%, 1/22/61(f) | 310,000 | 173,313 | |
Corp. Nacional del Cobre de Chile, | |||
3.63%, 8/01/27(b) | 330,000 | 301,166 | |
3.70%, 1/30/50(b) | 660,000 | 421,179 | |
Kenbourne Invest S.A., 6.88%, 11/26/24(b) | 200,000 | 178,000 | |
1,073,658 | |||
China – 0.3% | |||
NXP B.V./NXP Funding LLC/NXP USA, Inc., | |||
2.70%, 5/01/25 | 80,000 | 74,033 | |
4.30%, 6/18/29 | 393,000 | 353,640 | |
3.40%, 5/01/30 | 300,000 | 249,002 | |
2.50%, 5/11/31 | 462,000 | 347,464 | |
2.65%, 2/15/32(f) | 108,000 | 80,458 | |
Prosus N.V., | |||
3.68%, 1/21/30(b) | 600,000 | 441,556 | |
4.03%, 8/03/50(b) | 380,000 | 203,631 | |
Sinopec Group Overseas Development 2014 Ltd., 4.38%, 4/10/24(b) | 290,000 | 287,283 | |
2,037,067 | |||
Colombia – 0.3% | |||
Avianca Midco 2 PLC, 9.00%, 12/01/28(b) | 19,000 | 14,203 | |
Colombia Government International Bond, | |||
3.25%, 4/22/32 | 620,000 | 411,464 | |
5.00%, 6/15/45 | 810,000 | 490,536 | |
5.20%, 5/15/49(f) | 460,000 | 278,895 | |
Colombian TES, | |||
7.00%, 3/26/31 | COP | 78,500,000 | 10,669 |
7.25%, 10/18/34 | COP | 137,000,000 | 17,374 |
Ecopetrol S.A., | |||
4.13%, 1/16/25(f) | 37,000 | 34,115 | |
6.88%, 4/29/30 | 120,000 | 98,748 | |
5.88%, 5/28/45 | 1,220,000 | 742,760 |
Par (a) | Value | ||
Colombia (Continued) | |||
Grupo Aval Ltd., 4.38%, 2/04/30(b) | $200,000 | $ 138,688 | |
Promigas S.A. ESP/Gases del Pacifico SAC, 3.75%, 10/16/29 | 200,000 | 148,941 | |
2,386,393 | |||
Denmark – 0.1% | |||
Danske Bank A/S, | |||
5.38%, 1/12/24(b) | 200,000 | 197,095 | |
1.23%, 6/22/24(b) | 200,000 | 184,188 | |
381,283 | |||
France – 0.2% | |||
BNP Paribas S.A., | |||
(3M USD LIBOR + 2.24%), 4.71%, 1/10/25(b)(h) | 200,000 | 196,564 | |
(SOFR + 2.07%), 2.22%, 6/09/26(b)(h) | 600,000 | 536,531 | |
(3M USD LIBOR + 2.57%), 5.20%, 1/10/30(b)(h) | 300,000 | 272,554 | |
(SOFR + 1.51%), 3.05%, 1/13/31(b)(h) | 200,000 | 155,540 | |
Credit Agricole S.A., (SOFR + 1.68%), 1.91%, 6/16/26(b)(h) | 250,000 | 221,412 | |
Danone S.A., 2.95%, 11/02/26(b) | 200,000 | 182,743 | |
1,565,344 | |||
India – 0.1% | |||
Export-Import Bank of India, 3.38%, 8/05/26(b) | 200,000 | 181,633 | |
Reliance Industries Ltd., | |||
2.88%, 1/12/32(b) | 250,000 | 188,430 | |
3.63%, 1/12/52(b) | 450,000 | 264,144 | |
634,207 | |||
Indonesia – 0.2% | |||
Indonesia Government International Bond, | |||
2.85%, 2/14/30(f) | 200,000 | 169,875 | |
3.70%, 10/30/49 | 530,000 | 369,674 | |
3.05%, 3/12/51 | 222,000 | 141,375 | |
Pertamina Persero PT, 6.00%, 5/03/42(b) | 280,000 | 238,572 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, 5.45%, 5/21/28(b) | 770,000 | 729,598 | |
1,649,094 |
Par (a) | Value | ||
Ireland – 0.1% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, | |||
2.45%, 10/29/26 | $ 550,000 | $ 464,445 | |
3.00%, 10/29/28 | 400,000 | 323,148 | |
3.30%, 1/30/32 | 150,000 | 112,583 | |
900,176 | |||
Israel – 0.1% | |||
Israel Government International Bond, | |||
2.75%, 7/03/30 | 500,000 | 433,875 | |
4.50%, 4/03/20(k) | 220,000 | 166,302 | |
600,177 | |||
Japan – 0.2% | |||
Mitsubishi UFJ Financial Group, Inc., (1Y US Treasury CMT + 1.13%), 3.84%, 4/17/26(h) | 200,000 | 190,179 | |
Nissan Motor Co. Ltd., 4.81%, 9/17/30(b) | 338,000 | 269,962 | |
Nomura Holdings, Inc., 2.61%, 7/14/31 | 293,000 | 212,548 | |
Takeda Pharmaceutical Co. Ltd., | |||
5.00%, 11/26/28 | 403,000 | 388,930 | |
2.05%, 3/31/30 | 200,000 | 157,909 | |
2.00%, 7/09/40 | EUR | 110,000 | 77,910 |
1,297,438 | |||
Kazakhstan – 0.1% | |||
Kazakhstan Government International Bond, 4.88%, 10/14/44 | 600,000 | 459,647 | |
KazMunayGas National Co. JSC, 6.38%, 10/24/48(b) | 420,000 | 301,375 | |
761,022 | |||
Kuwait – 0.1% | |||
Equate Petrochemical B.V., | |||
4.25%, 11/03/26(b) | 210,000 | 194,460 | |
2.63%, 4/28/28(b) | 450,000 | 370,688 | |
565,148 | |||
Macau – 0.2% | |||
Sands China Ltd., | |||
5.63%, 8/08/25(f) | 300,000 | 264,888 | |
4.30%, 1/08/26 | 1,000,000 | 818,020 | |
4.88%, 6/18/30 | 900,000 | 641,025 | |
1,723,933 |
Par (a) | Value | ||
Mexico – 0.6% | |||
Banco Mercantil del Norte S.A., (10Y US Treasury CMT + 5.03%), 6.63%, 1/24/32(f)(g)(h) | $ 200,000 | $ 150,000 | |
Comision Federal de Electricidad, 3.88%, 7/26/33(b) | 720,000 | 513,000 | |
Grupo Posadas S.A.B. de C.V., 4.00%, 12/30/27(j) | 13,234 | 9,563 | |
Mexican Bonos, 8.50%, 11/18/38 | MXN | 2,100,000 | 93,478 |
Mexico Government International Bond, | |||
2.66%, 5/24/31 | 368,000 | 284,884 | |
4.75%, 3/08/44 | 1,750,000 | 1,326,659 | |
4.50%, 1/31/50(f) | 420,000 | 297,803 | |
4.40%, 2/12/52 | 930,000 | 634,559 | |
Orbia Advance Corp. S.A.B. de C.V., | |||
1.88%, 5/11/26(b) | 280,000 | 233,800 | |
2.88%, 5/11/31(b) | 270,000 | 199,413 | |
Petroleos Mexicanos, | |||
4.88%, 1/18/24 | 19,000 | 18,477 | |
7.19%, 9/12/24 | MXN | 403,000 | 18,535 |
6.88%, 8/04/26 | 11,000 | 10,178 | |
8.75%, 6/02/29 | 66,000 | 58,806 | |
6.70%, 2/16/32 | 31,000 | 23,444 | |
5.63%, 1/23/46(f) | 620,000 | 347,163 | |
4,219,762 | |||
Morocco – 0.0%(e) | |||
OCP S.A., 4.50%, 10/22/25(b) | 200,000 | 190,366 | |
Netherlands – 0.3% | |||
Cooperatieve Rabobank U.A., | |||
4.38%, 8/04/25 | 440,000 | 415,890 | |
(1Y US Treasury CMT + 1.22%), 3.65%, 4/06/28(b)(h) | 250,000 | 222,788 | |
(1Y US Treasury CMT + 1.42%), 3.76%, 4/06/33(b)(h) | 250,000 | 201,293 | |
Shell International Finance B.V., | |||
3.50%, 11/13/23 | 170,000 | 167,615 | |
2.88%, 5/10/26 | 140,000 | 130,319 | |
3.88%, 11/13/28 | 180,000 | 168,114 | |
2.38%, 11/07/29 | 200,000 | 168,622 | |
2.75%, 4/06/30 | 150,000 | 128,293 | |
4.38%, 5/11/45 | 150,000 | 124,057 | |
4.00%, 5/10/46 | 80,000 | 62,825 | |
3.25%, 4/06/50 | 160,000 | 109,953 | |
1,899,769 |
Par (a) | Value | ||
Panama – 0.1% | |||
Panama Government International Bond, | |||
3.88%, 3/17/28 | $ 200,000 | $ 180,977 | |
6.70%, 1/26/36 | 690,000 | 670,382 | |
4.50%, 4/01/56 | 247,000 | 161,922 | |
1,013,281 | |||
Peru – 0.3% | |||
Peruvian Government International Bond, | |||
4.13%, 8/25/27(f) | 137,000 | 128,787 | |
5.63%, 11/18/50 | 110,000 | 100,631 | |
3.55%, 3/10/51(f) | 220,000 | 144,853 | |
3.60%, 1/15/72 | 120,000 | 70,711 | |
Petroleos del Peru S.A., | |||
4.75%, 6/19/32(b) | 700,000 | 515,384 | |
5.63%, 6/19/47(b) | 200,000 | 128,286 | |
Southern Copper Corp., 5.25%, 11/08/42 | 870,000 | 753,986 | |
1,842,638 | |||
Philippines – 0.0%(e) | |||
Philippine Government International Bond, 3.20%, 7/06/46 | 267,000 | 176,185 | |
Qatar – 0.0%(e) | |||
Qatar Energy, 3.13%, 7/12/41(b) | 200,000 | 141,760 | |
Russia – 0.1% | |||
Lukoil Capital DAC, 3.60%, 10/26/31(b)(l) | 470,000 | 334,640 | |
Russian Federal Bond - OFZ, 6.10%, 7/18/35(m) | RUB | 6,245,000 | 50,322 |
384,962 | |||
Saudi Arabia – 0.0%(e) | |||
Gaci First Investment Co., 5.00%, 10/13/27 | 200,000 | 196,481 | |
South Africa – 0.2% | |||
Anglo American Capital PLC, | |||
4.00%, 9/11/27(b) | 400,000 | 360,837 | |
3.88%, 3/16/29(b) | 444,000 | 380,842 | |
5.63%, 4/01/30(b) | 725,000 | 684,213 | |
1,425,892 | |||
Spain – 0.1% | |||
Banco Santander S.A., 2.75%, 5/28/25 | 800,000 | 725,642 | |
Telefonica Emisiones S.A., 4.10%, 3/08/27 | 150,000 | 137,334 | |
862,976 |
Par (a) | Value | ||
Switzerland – 0.3% | |||
Credit Suisse A.G., | |||
2.95%, 4/09/25 | $ 250,000 | $ 223,749 | |
5.00%, 7/09/27 | 250,000 | 224,837 | |
Credit Suisse Group A.G., | |||
(SOFR + 1.56%), 2.59%, 9/11/25(b)(h) | 250,000 | 222,014 | |
(SOFR + 3.73%), 4.19%, 4/01/31(b)(h) | 250,000 | 193,063 | |
(SOFR + 1.73%), 3.09%, 5/14/32(b)(h) | 500,000 | 342,945 | |
UBS Group A.G., | |||
(1Y US Treasury CMT + 1.55%), 4.49%, 5/12/26(b)(h) | 250,000 | 237,367 | |
4.25%, 3/23/28(b) | 770,000 | 684,811 | |
(1Y US Treasury CMT + 1.10%), 2.75%, 2/11/33(b)(h) | 200,000 | 143,911 | |
2,272,697 | |||
Taiwan – 0.1% | |||
TSMC Arizona Corp., | |||
2.50%, 10/25/31 | 1,020,000 | 792,226 | |
4.25%, 4/22/32(f) | 200,000 | 179,412 | |
971,638 | |||
United Arab Emirates – 0.1% | |||
DP World Ltd., 5.63%, 9/25/48(b) | 700,000 | 576,094 | |
United Kingdom – 0.6% | |||
BAE Systems PLC, 3.40%, 4/15/30(b) | 271,000 | 232,342 | |
Barclays PLC, | |||
(1Y US Treasury CMT + 2.30%), 5.30%, 8/09/26(h) | 200,000 | 190,394 | |
(3M USD LIBOR + 1.90%), 4.97%, 5/16/29(h) | 200,000 | 177,141 | |
(3M USD LIBOR + 3.05%), 5.09%, 6/20/30(h) | 200,000 | 168,114 | |
BAT Capital Corp., | |||
3.56%, 8/15/27 | 420,000 | 365,653 | |
2.26%, 3/25/28 | 100,000 | 79,246 | |
4.54%, 8/15/47 | 190,000 | 122,723 | |
5.28%, 4/02/50 | 38,000 | 27,134 | |
HSBC Holdings PLC, | |||
(SOFR + 1.93%), 2.10%, 6/04/26(h) | 200,000 | 175,913 | |
(3M USD LIBOR + 1.55%), 4.04%, 3/13/28(h) | 240,000 | 210,170 | |
(SOFR + 3.35%), 11/03/28(h)(n) | 200,000 | 200,170 | |
(3M USD LIBOR + 1.53%), 4.58%, 6/19/29(h) | 287,000 | 249,228 |
Par (a) | Value | ||
United Kingdom (Continued) | |||
HSBC Holdings PLC, | |||
(3M USD LIBOR + 1.61%), 3.97%, 5/22/30(h) | $350,000 | $ 288,506 | |
Lloyds Banking Group PLC, | |||
(3M USD LIBOR + 0.81%), 2.91%, 11/07/23(h) | 270,000 | 269,876 | |
4.38%, 3/22/28 | 290,000 | 257,969 | |
Nationwide Building Society, (3M USD LIBOR + 1.39%), 4.36%, 8/01/24(b)(h) | 200,000 | 196,466 | |
Natwest Group PLC, | |||
(3M USD LIBOR + 1.76%), 4.27%, 3/22/25(h) | 400,000 | 385,676 | |
(3M USD LIBOR + 1.91%), 5.08%, 1/27/30(h) | 200,000 | 178,150 | |
RELX Capital, Inc., | |||
4.00%, 3/18/29 | 272,000 | 247,127 | |
3.00%, 5/22/30 | 33,000 | 27,515 | |
Reynolds American, Inc., 5.85%, 8/15/45 | 108,000 | 84,814 | |
Vodafone Group PLC, 4.38%, 5/30/28 | 130,000 | 122,333 | |
4,256,660 | |||
Uruguay – 0.2% | |||
Uruguay Government International Bond, | |||
4.38%, 1/23/31 | 170,000 | 161,742 | |
5.75%, 10/28/34 | 480,000 | 488,664 | |
5.10%, 6/18/50 | 617,641 | 551,689 | |
1,202,095 | |||
Total Foreign Issuer Bonds (Cost $55,914,426) | 45,331,212 | ||
Mortgage-Backed Securities – 31.3% | |||
Commercial Mortgage-Backed Securities – 2.3% | |||
245 Park Avenue Trust, Series 2017-245P, Class E, 3.66%, 6/05/37(b)(d) | 740,000 | 562,043 | |
AREIT Trust, Series 2022-CRE6, Class A, (30D Average SOFR + 1.25%, 1.25% Floor), 4.14%, 1/16/37(b)(c) | 798,576 | 757,647 | |
BANK, | |||
Series 2017-BNK5, Class A4, 3.13%, 6/15/60 | 330,000 | 295,223 | |
Series 2017-BNK7, Class A5, 3.44%, 9/15/60 | 100,000 | 90,069 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
BANK, | |||
Series 2019-BN19, Class C, 4.03%, 8/15/61(d) | $ 280,000 | $217,995 | |
Series 2018-BN13, Class A5, 4.22%, 8/15/61 | 480,000 | 443,407 | |
Bayview Commercial Asset Trust, Series 2006-1A, Class A1, (1M USD LIBOR + 0.41%), 3.99%, 4/25/36(b)(c) | 271,938 | 240,695 | |
Benchmark Mortgage Trust, | |||
Series 2020-IG1, Class AS, 2.91%, 9/15/43 | 720,000 | 568,130 | |
Series 2018-B2, Class A5, 3.88%, 2/15/51 | 390,000 | 356,181 | |
Series 2019-B9, Class XA, 1.03%, 3/15/52(d) | 1,739,439 | 83,568 | |
Series 2021-B25, Class XA, 1.10%, 4/15/54(d) | 6,731,510 | 425,717 | |
Series 2021-B27, Class XA, 1.27%, 7/15/54(d) | 5,244,724 | 373,452 | |
Series 2019-B10, Class A4, 3.72%, 3/15/62 | 500,000 | 445,548 | |
BHMS, Series 2018-ATLS, Class A, (1M USD LIBOR + 1.25%, 1.25% Floor), 4.66%, 7/15/35(b)(c) | 190,000 | 182,730 | |
BX Commercial Mortgage Trust, | |||
Series 2021-SOAR, Class A, (1M USD LIBOR + 0.67%, 0.67% Floor), 4.08%, 6/15/38(b)(c) | 664,963 | 630,831 | |
Series 2021-XL2, Class A, (1M USD LIBOR + 0.69%, 0.69% Floor), 4.10%, 10/15/38(b)(c) | 982,318 | 929,116 | |
BXP Trust, Series 2017-GM, Class D, 3.42%, 6/13/39(b)(d) | 370,000 | 299,537 | |
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class D, (1M USD LIBOR + 1.75%, 1.75% Floor), 5.16%, 12/15/37(b)(c) | 100,000 | 95,498 | |
CFK Trust, Series 2019-FAX, Class D, 4.64%, 1/15/39(b)(d) | 100,000 | 83,526 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
Citigroup Commercial Mortgage Trust, | |||
Series 2019-SMRT, Class D, 4.74%, 1/10/36(b)(d) | $ 500,000 | $477,821 | |
Series 2019-SMRT, Class E, 4.74%, 1/10/36(b)(d) | 500,000 | 473,322 | |
Series 2014-GC23, Class B, 4.18%, 7/10/47 | 240,000 | 227,530 | |
Series 2016-C1, Class D, 4.94%, 5/10/49(b)(d) | 250,000 | 206,565 | |
Series 2016-P6, Class A4, 3.46%, 12/10/49 | 88,681 | 82,000 | |
Series 2017-C4, Class A4, 3.47%, 10/12/50 | 420,000 | 377,672 | |
Commercial Mortgage Trust, Series 2020-CX, Class A, 2.17%, 11/10/46(b) | 290,000 | 218,514 | |
CSMC, Series 2022-NWPT, Class A, (1M CME Term SOFR + 3.14%, 3.14% Floor), 6.52%, 9/09/24(b)(c) | 100,000 | 98,602 | |
CSMC OA LLC, Series 2014-USA, Class B, 4.18%, 9/15/37(b) | 530,000 | 452,478 | |
DBGS Mortgage Trust, Series 2019-1735, Class X, 0.29%, 4/10/37(b)(d) | 13,942,489 | 190,824 | |
GS Mortgage Securities Corp. Trust, | |||
Series 2021-ROSS, Class A, (1M USD LIBOR + 1.15%, 1.15% Floor), 4.56%, 5/15/26(b)(c) | 700,000 | 649,410 | |
Series 2020-DUNE, Class A, (1M USD LIBOR + 1.10%, 1.10% Floor), 4.51%, 12/15/36(b)(c) | 960,000 | 938,677 | |
GS Mortgage Securities Trust, Series 2017-GS8, Class A4, 3.47%, 11/10/50 | 240,000 | 215,899 | |
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2022-NXSS, Class A, (1M CME Term SOFR + 2.18%, 2.18% Floor), 5.55%, 8/15/39(b)(c) | 120,000 | 118,503 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
JPMorgan Chase Commercial Mortgage Securities Trust, | |||
Series 2020-MKST, Class D, (1M USD LIBOR + 1.50%, 1.50% Floor), 4.91%, 12/15/36(b)(c) | $ 710,000 | $636,687 | |
Series 2017-JP6, Class A5, 3.49%, 7/15/50 | 235,000 | 213,603 | |
LSTAR Commercial Mortgage Trust, Series 2015-3, Class AS, 3.14%, 4/20/48(b)(d) | 50,090 | 47,799 | |
Morgan Stanley Capital I Trust, | |||
Series 2019-BPR, Class A, (1M USD LIBOR + 1.65%, 1.40% Floor), 5.06%, 5/15/36(b)(c) | 359,483 | 344,112 | |
Series 2019-L2, Class XA, 1.00%, 3/15/52(d) | 2,508,892 | 121,327 | |
OPG Trust, Series 2021-PORT, Class A, (1M USD LIBOR + 0.48%, 0.48% Floor), 3.90%, 10/15/36(b)(c) | 575,714 | 542,610 | |
PFP Ltd., Series 2022-9, Class A, (1M CME Term SOFR + 2.27%, 2.27% Floor), 5.65%, 8/19/35(b)(c) | 120,000 | 117,683 | |
SFO Commercial Mortgage Trust, Series 2021-555, Class A, (1M USD LIBOR + 1.15%, 1.15% Floor), 4.56%, 5/15/38(b)(c) | 200,000 | 185,975 | |
SMRT, Series 2022-MINI, Class A, (1M CME Term SOFR + 1.00%, 1.00% Floor), 4.38%, 1/15/39(b)(c) | 310,000 | 293,755 | |
Soho Trust, Series 2021-SOHO, Class A, 2.70%, 8/10/38(b)(d) | 846,000 | 664,547 | |
SREIT Trust, Series 2021-MFP, Class A, (1M USD LIBOR + 0.73%, 0.73% Floor), 4.14%, 11/15/38(b)(c) | 800,000 | 759,298 | |
VASA Trust, Series 2021-VASA, Class A, (1M USD LIBOR + 0.90%, 0.90% Floor), 4.31%, 7/15/39(b)(c) | 410,000 | 379,473 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
Wells Fargo Commercial Mortgage Trust, | |||
Series 2016-BNK1, Class B, 2.97%, 8/15/49 | $ 300,000 | $ 241,724 | |
Series 2017-C38, Class A5, 3.45%, 7/15/50 | 315,000 | 284,316 | |
16,641,639 | |||
Federal Home Loan Mortgage Corporation – 5.2% | |||
Multiclass Certificates, Series 2020-RR07, Class BX, 2.61%, 10/27/28 | 4,160,000 | 475,842 | |
Multifamily Structured Pass Through Certificates, | |||
Series K736, Class X1, 1.29%, 7/25/26(d) | 971,271 | 36,440 | |
Series K095, Class XAM, 1.24%, 6/25/29(d) | 500,000 | 33,921 | |
Series K-1517, Class X1, 1.33%, 7/25/35(d) | 234,911 | 24,613 | |
Pool, | |||
3.50%, 1/01/34 - 5/01/52 | 803,148 | 732,327 | |
2.00%, 2/01/36 - 2/01/52 | 10,676,301 | 8,557,782 | |
3.00%, 9/01/37 - 8/01/52 | 9,754,993 | 8,402,169 | |
1.50%, 10/01/41 - 10/01/50 | 375,254 | 281,618 | |
2.50%, 4/01/42 - 4/01/52 | 14,744,128 | 12,199,654 | |
4.00%, 1/01/45 - 7/01/52 | 2,048,623 | 1,907,560 | |
(1Y USD LIBOR + 1.62%, 1.62% Floor, 7.88% Cap), 2.88%, 11/01/47(c) | 190,369 | 182,887 | |
(1Y USD LIBOR + 1.63%, 1.63% Floor, 8.01% Cap), 3.01%, 11/01/48(c) | 688,569 | 644,803 | |
4.50%, 1/01/49 - 1/01/51 | 1,554,905 | 1,491,645 | |
5.00%, 11/01/49 - 7/01/52 | 158,728 | 154,094 | |
(1Y USD LIBOR + 1.62%, 1.62% Floor, 8.09% Cap), 3.09%, 2/01/50(c) | 335,340 | 319,518 | |
12/01/50 (n) | 489,812 | 406,475 | |
Real Estate Mortgage Investment Conduits, | |||
Series 2019-RR01, Class X, 1.53%, 6/25/28 | 2,500,000 | 172,828 | |
Series 5100, Class MI, 3.50%, 9/25/48 | 160,206 | 30,250 | |
Series 5148, Class BI, 2.50%, 1/25/49 | 843,123 | 121,135 | |
Series 5140, Class NI, 2.50%, 5/25/49 | 370,661 | 51,346 |
Par (a) | Value | ||
Federal Home Loan Mortgage Corporation (Continued) | |||
Real Estate Mortgage Investment Conduits, | |||
Series 5148, Class CI, 2.00%, 6/25/49 | $470,121 | $ 53,585 | |
Series 4940, Class PI, 4.00%, 7/25/49 | 34,005 | 5,337 | |
Series 4995, Class BI, 4.50%, 6/25/50 | 39,541 | 8,067 | |
Series 5010, Class IK, 2.50%, 9/25/50 | 69,970 | 10,403 | |
Series 5010, Class JI, 2.50%, 9/25/50 | 332,317 | 51,360 | |
Series 5013, Class IN, 2.50%, 9/25/50 | 86,627 | 13,550 | |
Series 5129, Class IO, 3.00%, 9/25/50 | 102,587 | 15,517 | |
Series 5014, Class DI, 4.00%, 9/25/50 | 47,502 | 9,327 | |
Series 5018, Class MI, 2.00%, 10/25/50 | 262,191 | 35,723 | |
Series 5018, Class CI, 4.50%, 10/25/50 | 43,284 | 9,445 | |
Series 5040, Class IB, 2.50%, 11/25/50 | 75,536 | 11,177 | |
Series 5052, Class KI, 4.00%, 12/25/50 | 140,481 | 26,330 | |
Series 5059, Class IB, 2.50%, 1/25/51 | 353,705 | 56,762 | |
Series 5069, Class MI, 2.50%, 2/25/51 | 81,190 | 12,070 | |
Series 5112, Class KI, 3.50%, 6/25/51 | 451,480 | 80,701 | |
Series 5139, Class IG, 3.00%, 9/25/51 | 297,338 | 46,831 | |
Series 5142, Class IP, 3.00%, 9/25/51 | 79,532 | 13,017 | |
Series 5142, Class PI, 3.00%, 9/25/51 | 83,679 | 13,680 | |
Series 5145, Class HI, 3.00%, 9/25/51 | 81,763 | 12,577 | |
Series 5155, Class JI, 3.00%, 10/25/51 | 81,937 | 12,760 | |
Series 5155, Class NI, 3.00%, 10/25/51 | 167,452 | 22,510 | |
Series 5152, Class EI, 3.50%, 10/25/51 | 258,207 | 48,074 | |
Series 5167, Class MI, 3.00%, 11/25/51 | 88,608 | 11,930 | |
Series 5164, Class IB, 3.00%, 11/25/51 | 78,713 | 12,428 | |
Series 5230, Class PE, 2.00%, 12/25/51 | 300,000 | 228,827 | |
Series 5196, Class DI, 3.00%, 2/25/52 | 200,747 | 32,023 |
Par (a) | Value | ||
Federal Home Loan Mortgage Corporation (Continued) | |||
Real Estate Mortgage Investment Conduits, | |||
Series 5224, Class HL, 4.00%, 4/25/52 | $ 500,000 | $ 440,351 | |
Strips, Series 334, Class S7, (6.10% - 1M USD LIBOR, 6.10% Cap), 2.69%, 8/15/44(c) | 22,322 | 2,148 | |
37,523,417 | |||
Federal Home Loan Mortgage Corporation Gold – 0.6% | |||
Pool, | |||
3.00%, 10/01/32 - 9/01/48 | 626,274 | 578,679 | |
3.50%, 6/01/46 - 4/01/49 | 2,503,110 | 2,248,179 | |
4.50%, 4/01/47 - 4/01/49 | 630,055 | 603,756 | |
4.00%, 6/01/48 | 715,031 | 665,867 | |
5.00%, 11/01/48 | 31,961 | 31,410 | |
4,127,891 | |||
Federal National Mortgage Association – 9.8% | |||
Alternative Credit Enhancement Securities, | |||
Series 2019-M6, Class A2, 3.45%, 1/01/29 | 63,437 | 59,482 | |
Series 2019-M23, Class 3A3, 2.72%, 10/25/31 | 91,742 | 78,516 | |
Series 2020-M36, Class X1, 1.49%, 9/25/34(d) | 554,049 | 44,631 | |
Series 2013-M6, Class 1AC, 3.35%, 2/25/43(d) | 49,233 | 45,420 | |
Interest Strip, | |||
Series 409, Class C18, 4.00%, 4/25/42 | 8,523 | 1,452 | |
Series 427, Class C71, 3.00%, 10/25/49 | 500,000 | 81,250 | |
Series 427, Class C77, 2.50%, 9/25/51 | 600,000 | 88,125 | |
Pool, | |||
3.00%, 9/01/28 - 12/01/54 | 11,039,574 | 9,669,417 | |
3.16%, 5/01/29 | 57,278 | 51,884 | |
2.93%, 6/01/30 | 19,112 | 16,924 | |
1/12/32 - 6/21/52(n) | 527,469 | 505,757 | |
2.15%, 2/01/32 | 19,934 | 15,944 | |
3.84%, 7/01/32 | 100,000 | 91,924 | |
3.90%, 10/01/32 | 400,000 | 366,939 | |
4.41%, 10/01/32 | 100,000 | 96,678 |
Par (a) | Value | ||
Federal National Mortgage Association (Continued) | |||
Pool, | |||
2.50%, 12/01/33 - 9/01/61 | $25,704,905 | $21,433,735 | |
3.50%, 1/01/34 - 5/01/52 | 5,355,765 | 4,819,194 | |
2.00%, 3/01/37 - 3/01/52 | 16,402,379 | 13,104,729 | |
6.00%, 7/01/41 | 32,521 | 33,660 | |
1.50%, 11/01/41 - 3/01/51 | 4,825,908 | 3,744,183 | |
4.50%, 11/01/43 - 1/01/59 | 4,994,988 | 4,781,490 | |
4.00%, 7/01/44 - 7/01/52 | 6,670,094 | 6,160,965 | |
5.00%, 8/01/48 - 9/01/49 | 1,168,784 | 1,148,189 | |
3.50%, 1/01/51(o) | 2,237,302 | 1,995,769 | |
Real Estate Mortgage Investment Conduits, | |||
Series 2013-54, Class BS, (6.15% - 1M USD LIBOR, 6.15% Cap), 2.56%, 6/25/43(c) | 19,608 | 1,931 | |
Series 2015-65, Class CZ, 3.50%, 9/25/45 | 256,925 | 212,416 | |
Series 2021-69, Class IJ, 2.50%, 1/25/49 | 858,098 | 125,729 | |
Series 2021-61, Class KI, 2.50%, 4/25/49 | 551,303 | 82,584 | |
Series 2020-32, Class PI, 4.00%, 5/25/50 | 94,630 | 18,994 | |
Series 2020-47, Class GZ, 2.00%, 7/25/50 | 209,546 | 117,045 | |
Series 2020-56, Class AQ, 2.00%, 8/25/50 | 700,000 | 539,399 | |
Series 2020-56, Class DI, 2.50%, 8/25/50 | 160,774 | 25,439 | |
Series 2020-74, Class EI, 2.50%, 10/25/50 | 79,619 | 13,502 | |
Series 2020-77, Class HI, 4.00%, 11/25/50 | 296,481 | 58,397 | |
Series 2020-80, Class EI, 4.00%, 11/25/50 | 59,687 | 11,850 | |
Series 2020-89, Class DI, 2.50%, 12/25/50 | 237,422 | 35,108 | |
Series 2020-97, Class AI, 2.00%, 1/25/51 | 454,471 | 59,106 | |
Series 2020-101, Class AI, 3.50%, 1/25/51 | 149,005 | 26,756 | |
Series 2021-3, Class QI, 2.50%, 2/25/51 | 752,112 | 114,151 | |
Series 2021-1, Class IG, 2.50%, 2/25/51 | 174,963 | 29,664 | |
Series 2021-31, Class IB, 4.00%, 6/25/51 | 130,878 | 25,969 | |
Series 2021-50, Class IO, 4.00%, 8/25/51 | 287,839 | 54,998 | |
69,989,295 |
Par (a) | Value | ||
Government National Mortgage Association – 3.8% | |||
Pool, 11/01/50 - 1/01/53(n) | $24,858,771 | $22,120,020 | |
Series 2013-107, Class AD, 2.85%, 11/16/47(d) | 78,303 | 71,290 | |
Series 2014-17, Class AM, 3.54%, 6/16/48(d) | 8,286 | 7,909 | |
Series 2014-H20, Class FA, (1M USD LIBOR + 0.43%, 0.43% Floor), 3.06%, 10/20/64(c) | 171,767 | 169,320 | |
Series 2020-103, Class AD, 1.45%, 1/16/63 | 599,413 | 476,391 | |
Series 2020-123, Class IL, 2.50%, 8/20/50 | 80,744 | 11,807 | |
Series 2020-123, Class NI, 2.50%, 8/20/50 | 163,518 | 22,704 | |
Series 2020-127, Class IN, 2.50%, 8/20/50 | 80,938 | 11,904 | |
Series 2020-129, Class IE, 2.50%, 9/20/50 | 84,004 | 12,510 | |
Series 2020-144, Class IO, 2.50%, 9/20/50 | 148,118 | 19,518 | |
Series 2020-146, Class DI, 2.50%, 10/20/50 | 77,223 | 9,919 | |
Series 2020-151, Class MI, 2.50%, 10/20/50 | 465,470 | 61,433 | |
Series 2020-160, Class IH, 2.50%, 10/20/50 | 85,541 | 12,679 | |
Series 2020-160, Class VI, 2.50%, 10/20/50 | 83,407 | 11,729 | |
Series 2020-160, Class YI, 2.50%, 10/20/50 | 254,171 | 34,764 | |
Series 2020-181, Class WI, 2.00%, 12/20/50 | 404,006 | 44,663 | |
Series 2020-185, Class MI, 2.50%, 12/20/50 | 80,191 | 10,913 | |
Series 2020-190, Class IO, 1.03%, 11/16/62(d) | 3,199,576 | 238,984 | |
Series 2020-47, Class MI, 3.50%, 4/20/50 | 277,168 | 44,887 | |
Series 2020-47, Class NI, 3.50%, 4/20/50 | 75,619 | 11,723 | |
Series 2020-H04, Class FP, (1M USD LIBOR + 0.50%, 0.50% Floor), 3.13%, 6/20/69(c) | 189,458 | 185,473 | |
Series 2020-H09, Class FL, (1M USD LIBOR + 1.15%, 1.15% Floor), 2.88%, 5/20/70(c) | 128,901 | 126,099 | |
Series 2020-H13, Class FA, (1M USD LIBOR + 0.45%, 0.45% Floor, 7.50% Cap), 2.97%, 7/20/70(c) | 729,725 | 696,609 |
Par (a) | Value | ||
Government National Mortgage Association (Continued) | |||
Series 2020-H13, Class FM, (1M USD LIBOR + 0.40%, 0.40% Floor, 11.00% Cap), 3.03%, 8/20/70(c) | $ 176,174 | $ 173,851 | |
Series 2021-14, Class AB, 1.34%, 6/16/63 | 298,829 | 229,957 | |
Series 2021-15, Class GI, 3.50%, 1/20/51 | 77,326 | 13,430 | |
Series 2021-161, Class IB, 4.00%, 9/20/51 | 69,280 | 10,978 | |
Series 2021-176, Class IA, 3.50%, 10/20/51 | 73,199 | 10,212 | |
Series 2021-199, Class KI, 3.50%, 11/20/51 | 78,090 | 12,287 | |
Series 2021-209, Class TJ, 3.50%, 11/20/51 | 74,280 | 11,197 | |
Series 2021-21, Class AH, 1.40%, 6/16/63 | 452,026 | 343,690 | |
Series 2021-214, Class AI, 4.00%, 12/20/51 | 105,093 | 17,215 | |
Series 2021-215, Class LI, 3.00%, 12/20/51 | 89,791 | 11,119 | |
Series 2021-221, Class AI, 3.50%, 12/20/51 | 151,523 | 20,651 | |
Series 2021-221, Class CI, 3.00%, 12/20/51 | 79,707 | 11,002 | |
Series 2021-29, Class TI, 2.50%, 2/20/51 | 475,493 | 81,611 | |
Series 2021-5, Class IO, 1.11%, 1/16/61(d) | 3,366,628 | 257,517 | |
Series 2021-78, Class IC, 4.00%, 5/20/51 | 69,697 | 11,331 | |
Series 2021-96, Class VI, 2.50%, 6/20/51 | 1,676,637 | 251,563 | |
Series 2022-139, Class AL, 4.00%, 7/20/51 | 200,000 | 181,501 | |
Series 2022-3, Class IO, 0.64%, 2/16/61(d) | 98,635 | 5,382 | |
Series 2022-4, Class Z, 1.90%, 3/16/64 | 202,868 | 102,043 | |
Series 2022-63, Class LM, 3.50%, 10/20/50 | 400,000 | 331,060 | |
Series 2022-82, Class Z, 2.00%, 2/16/64 | 907,528 | 573,918 | |
27,074,763 | |||
Government National Mortgage Association I – 0.0%(e) | |||
Pool, | |||
3.00%, 9/15/42 - 10/15/42 | 179,296 | 160,737 | |
3.50%, 6/15/48 - 5/15/50 | 113,577 | 104,161 | |
264,898 |
Par (a) | Value | ||
Government National Mortgage Association II – 2.3% | |||
Pool, | |||
3.50%, 3/20/45 - 7/20/52 | $ 2,470,676 | $ 2,227,534 | |
3.00%, 8/20/46 - 4/20/52 | 5,150,545 | 4,489,733 | |
4.00%, 8/20/46 - 5/20/50 | 1,572,809 | 1,471,454 | |
4.50%, 4/20/47 - 8/20/50 | 1,171,291 | 1,126,516 | |
2.50%, 10/20/49 - 7/20/52 | 5,778,165 | 4,912,950 | |
2.00%, 8/20/50 - 3/20/51 | 3,070,828 | 2,534,266 | |
16,762,453 | |||
Uniform Mortgage-Backed Securities – 5.1% | |||
Pool, 11/01/37 - 1/01/53(n) | 42,342,009 | 36,627,695 | |
Whole Loan – 2.2% | |||
Adjustable Rate Mortgage Trust, Series 2005-9, Class 5A1, (1M USD LIBOR + 0.54%, 0.54% Floor, 11.00% Cap), 4.13%, 11/25/35(c) | 102,878 | 100,164 | |
Angel Oak Mortgage Trust, Series 2022-3, Class A1, 4.00%, 1/10/67(b) | 755,566 | 687,542 | |
Cascade MH Asset Trust, Series 2021-MH1, Class A1, 1.75%, 2/25/46(b) | 134,407 | 112,421 | |
CIM Trust, Series 2021-R6, Class A1, 1.43%, 7/25/61(b) | 278,029 | 242,613 | |
COLT Mortgage Loan Trust, Series 2022-2, Class A1, (Step to 3.99% on 3/25/26), 2.99%, 2/25/67(b)(p) | 174,131 | 146,322 | |
CSMC, | |||
Series 2019-NQM1, Class A2, (Step to 3.86% on 12/25/23), 2.86%, 10/25/59(b)(p) | 285,622 | 270,607 | |
Series 2021-NQM2, Class A3, 1.54%, 2/25/66(b) | 89,744 | 75,608 | |
Series 2021-NQM6, Class A3, 1.59%, 7/25/66(b) | 659,229 | 495,878 | |
Series 2021-NQM7, Class A1, 1.76%, 10/25/66(b) | 155,020 | 122,188 | |
Series 2022-NQM1, Class A1, 2.27%, 11/25/66(b)(d) | 700,262 | 571,758 | |
CSMC Trust, | |||
Series 2021-RPL2, Class A1, 2.00%, 1/25/60(b) | 125,526 | 106,100 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
CSMC Trust, | |||
Series 2021-RPL3, Class A1, 2.00%, 1/25/60(b) | $131,905 | $113,473 | |
Series 2021-RPL6, Class A1, 2.00%, 10/25/60(b) | 157,555 | 136,344 | |
Series 2021-RPL4, Class A1, 1.80%, 12/27/60(b)(d) | 161,022 | 148,910 | |
Deephaven Residential Mortgage Trust, Series 2022-1, Class A1, 2.21%, 1/25/67(b) | 418,574 | 359,990 | |
Ellington Financial Mortgage Trust, | |||
Series 2021-2, Class A1, 0.93%, 6/25/66(b) | 323,986 | 249,183 | |
Series 2022-1, Class A1, 2.21%, 1/25/67(b) | 190,687 | 150,909 | |
FHLMC Structured Agency Credit Risk Debt Notes, Series 2021-DNA2, Class M2, (30D Average SOFR + 2.30%), 5.30%, 8/25/33(b)(c) | 190,000 | 180,775 | |
FNMA Connecticut Avenue Securities, | |||
Series 2014-C04, Class 1M2, (1M USD LIBOR + 4.90%), 8.49%, 11/25/24(c) | 75,334 | 77,416 | |
Series 2016-C02, Class 1M2, (1M USD LIBOR + 6.00%), 9.59%, 9/25/28(c) | 166,350 | 171,876 | |
Series 2016-C03, Class 1M2, (1M USD LIBOR + 5.30%), 8.89%, 10/25/28(c) | 183,855 | 189,513 | |
Freddie Mac STACR REMIC Trust, | |||
Series 2021-DNA6, Class M2, (30D Average SOFR + 1.50%), 4.50%, 10/25/41(b)(c) | 580,000 | 532,307 | |
Series 2022-DNA2, Class M1A, (30D Average SOFR + 1.30%), 4.30%, 2/25/42(b)(c) | 533,077 | 521,429 | |
Series 2022-DNA3, Class M1B, (30D Average SOFR + 2.90%), 5.90%, 4/25/42(b)(c) | 550,000 | 510,125 | |
Series 2022-DNA4, Class M1A, (30D Average SOFR + 2.20%), 5.20%, 5/25/42(b)(c) | 231,928 | 229,319 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Freddie Mac STACR REMIC Trust, | |||
Series 2022-DNA2, Class M1B, (30D Average SOFR + 2.40%), 5.40%, 2/25/42(b)(c) | $200,000 | $184,000 | |
GSR Mortgage Loan Trust, Series 2007-1F, Class 2A4, 5.50%, 1/25/37 | 138,977 | 167,230 | |
HarborView Mortgage Loan Trust, | |||
Series 2005-9, Cllass 2A1B, (1M USD LIBOR + 0.74%, 0.74% Floor, 11.00% Cap), 4.23%, 6/20/35(c) | 145,225 | 130,204 | |
Series 2005-9, Cllass 2A1C, (1M USD LIBOR + 0.90%, 0.90% Floor, 11.00% Cap), 4.39%, 6/20/35(c) | 535,341 | 477,213 | |
Impac CMB Trust, Series 2007-A, Class A, (1M USD LIBOR + 0.50%, 0.50% Floor, 11.50% Cap), 4.09%, 5/25/37(b)(c) | 183,001 | 170,157 | |
Legacy Mortgage Asset Trust, | |||
Series 2021-GS2, Class A1, (Step to 4.75% on 5/25/24), 1.75%, 4/25/61(b)(p) | 293,623 | 271,389 | |
Series 2021-GS5, Class A1, (Step to 5.25% on 12/25/24), 2.25%, 7/25/67(b)(p) | 176,682 | 160,739 | |
MASTR Asset Securitization Trust, | |||
Series 2007-1, Class 1A4, 6.50%, 11/25/37 | 616,221 | 159,357 | |
Series 2007-2, Class A2, 6.25%, 1/25/38 | 344,706 | 189,810 | |
Merrill Lynch Mortgage Investors Trust, Series 2004-A1, Class 2A2, 2.94%, 2/25/34(d) | 230,130 | 215,165 | |
Mill City Mortgage Loan Trust, Series 2019-1, Class A1, 3.25%, 10/25/69(b) | 302,079 | 280,612 | |
Morgan Stanley Resecuritization Trust, Series 2015-R2, Class 2A1, (12MTA + 1.09%, 1.09% Floor), 3.55%, 12/26/46(b)(c) | 54,200 | 53,975 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Mortgage Repurchase Agreement Financing Trust II, Series 2022-S1, Class A1, (30D Average SOFR + 2.00%, 2.00% Floor), 4.64%, 3/30/25(b)(c) | $510,000 | $500,671 | |
New Residential Mortgage Loan Trust, | |||
Series 2015-2A, Class A1, 3.75%, 8/25/55(b) | 229,453 | 210,150 | |
Series 2021-NQM3, Class A1, 1.16%, 11/27/56(b) | 179,594 | 144,214 | |
Series 2017-2A, Class B2, 4.75%, 3/25/57(b) | 257,807 | 237,098 | |
Series 2018-RPL1, Class M2, 3.50%, 12/25/57(b) | 280,000 | 219,854 | |
Series 2018-3A, Class A1, 4.50%, 5/25/58(b)(d) | 654,397 | 614,715 | |
Series 2019-NQM4, Class A1, 2.49%, 9/25/59(b) | 99,513 | 89,656 | |
Series 2019-6A, Class A1B, 3.50%, 9/25/59(b)(d) | 602,523 | 555,577 | |
Series 2019-6A, Class B3C, 3.75%, 9/25/59(b)(d) | 554,360 | 473,541 | |
Series 2022-NQM4, Class A1, (Step to 5.03% on 7/25/26), 5.00%, 6/25/62(b)(p) | 240,223 | 231,023 | |
OBX Trust, | |||
Series 2021-NQM2, Class A1, 1.10%, 5/25/61(b) | 543,985 | 418,860 | |
Series 2021-NQM3, Class A1, 1.05%, 7/25/61(b) | 181,898 | 135,017 | |
Series 2022-NQM1, Class A1, 2.31%, 11/25/61(b) | 701,265 | 557,980 | |
PRKCM Trust, Series 2021-AFC2, Class A1, 2.07%, 11/25/56(b) | 190,165 | 151,403 | |
Residential Mortgage Loan Trust, | |||
Series 2019-2, Class A1, 2.91%, 5/25/59(b) | 48,615 | 47,579 | |
Series 2020-2, Class A1, 1.65%, 5/25/60(b) | 74,600 | 73,153 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
SG Residential Mortgage Trust, | |||
Series 2022-1, Class A1, 3.17%, 3/27/62(b)(d) | $755,263 | $ 651,781 | |
Series 2022-2, Class A1, (Step to 5.37% on 8/25/26), 5.35%, 9/25/67(b)(p) | 754,020 | 726,953 | |
Thornburg Mortgage Securities Trust, Series 2004-2, Class A4, (1M USD LIBOR + 0.68%, 0.34% Floor, 11.50% Cap), 4.27%, 6/25/44(c) | 271,637 | 243,584 | |
Towd Point Mortgage Trust, Series 2022-4, Class A1, 3.75%, 9/25/62(b) | 558,121 | 515,841 | |
Voyager OPTONE Delaware Trust, Series 2009-1, Class SAA7, 2.98%, 2/25/38(b)(d) | 172,833 | 47,752 | |
WaMu Mortgage Pass-Through Certificates, Series 2006-AR13, Class 1A, (12MTA + 0.88%, 0.88% Floor), 2.25%, 10/25/46(c) | 280,874 | 233,861 | |
16,042,884 | |||
Total Mortgage-Backed Securities (Cost $248,299,858) | 225,054,935 | ||
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 | 175,729 | |
California State Taxable GO Unlimited Refunding Bonds, 4.60%, 4/01/38 | 215,000 | 193,652 | |
California State Various Purpose Taxable GO Unlimited Bonds, Build America Bonds, | |||
7.50%, 4/01/34 | 65,000 | 75,660 | |
7.55%, 4/01/39 | 20,000 | 23,944 | |
Los Angeles Community College District GO Unlimited Bonds, Build America Bonds, 6.60%, 8/01/42 | 45,000 | 49,182 |
Par (a) | Value | ||
California (Continued) | |||
Los Angeles Unified School District GO Unlimited Bonds, Series RY, Build America Bonds, 6.76%, 7/01/34 | $215,000 | $232,383 | |
University of California Taxable General Revenue Bonds, Series AD, 4.86%, 5/15/12(q) | 25,000 | 19,467 | |
770,017 | |||
Georgia – 0.0%(e) | |||
Municipal Electric Authority of Georgia Taxable Revenue Bonds, Build America Bonds, 6.64%, 4/01/57 | 40,000 | 40,278 | |
Illinois – 0.1% | |||
Illinois State Taxable GO Unlimited Pension Bonds, 5.10%, 6/01/33 | 380,000 | 355,108 | |
New Jersey – 0.0%(e) | |||
New Jersey State Turnpike Authority Taxable Revenue Bonds, Build America Bonds, 7.41%, 1/01/40 | 66,000 | 77,533 | |
New York – 0.0%(e) | |||
Metropolitan Transportation Authority Revenue Bonds, Build America Bonds, 5.87%, 11/15/39 | 45,000 | 42,106 | |
New York City Municipal Water Finance Authority Water & Sewer System Second General Resolution Taxable Revenue Bonds, 5.88%, 6/15/44 | 30,000 | 31,086 | |
New York City Municipal Water Finance Authority Water & Sewer System Taxable Revenue Bonds, Build America Bonds, 6.01%, 6/15/42 | 25,000 | 26,198 | |
New York State Dormitory Authority Personal Income TRB, Build America Bonds, 5.39%, 3/15/40 | 30,000 | 28,813 | |
Port Authority of New York & New Jersey Consolidated 164th Taxable Revenue Bonds, 5.65%, 11/01/40 | 35,000 | 35,288 |
Par (a) | Value | ||
New York (Continued) | |||
Port Authority of New York & New Jersey Consolidated 168th Revenue Bonds, 4.93%, 10/01/51 | $ 55,000 | $ 49,912 | |
Port Authority of New York & New Jersey Consolidated Taxable Revenue Bonds, Series 181, 4.96%, 8/01/46 | 60,000 | 55,242 | |
268,645 | |||
Ohio – 0.0%(e) | |||
American Municipal Power-Ohio, Inc., Taxable Revenue Bonds, Series B, Combined Hydroelectric Projects, 8.08%, 2/15/50 | 75,000 | 92,667 | |
Texas – 0.0%(e) | |||
San Antonio Electric & Gas Junior Lien Revenue Bonds, Build America Bonds, 5.81%, 2/01/41 | 75,000 | 76,628 | |
Texas State Taxable GO Unlimited Bonds, Build America Bonds, 5.52%, 4/01/39 | 115,000 | 116,189 | |
192,817 | |||
Washington – 0.1% | |||
Seattle Municipal Light & Power Improvement Revenue Bonds, 5.00%, 4/01/44 | 275,000 | 285,493 | |
Total Municipal Bonds (Cost $2,592,980) | 2,082,558 | ||
Term Loans – 0.2%(c) | |||
Apparel & Textile Products – 0.0%(e) | |||
Fanatics Commerce Intermediate Holdco LLC, Initial Term Loan, (1M USD LIBOR + 3.25%, 0.50% Floor), 7.00%, 11/24/28 | 28,783 | 27,847 | |
Tory Burch LLC, Initial Term B Loan, (1M USD LIBOR + 3.00%, 0.50% Floor), 6.75%, 4/16/28 | 69,125 | 63,055 | |
90,902 |
Par (a) | Value | ||
Chemicals – 0.1% | |||
Bakelite US Holdco, Inc., Initial Loan, (3M USD CME Term SOFR + 4.00%, 0.50% Floor), 7.67%, 5/29/29 | $127,680 | $118,184 | |
LSF11 A5 Holdco LLC, Term Loan, (1M USD CME Term SOFR + 3.50%, 0.50% Floor), 7.34%, 10/15/28 | 99,500 | 94,567 | |
212,751 | |||
Commercial Support Services – 0.0%(e) | |||
AEA International Holdings (Luxembourg) S.a.r.l., Initial Term Loan, (3M USD LIBOR + 3.75%, 0.50% Floor), 7.44%, 9/07/28 | 74,338 | 72,852 | |
Allied Universal Holdco LLC, Initial U.S. Dollar Term Loan, (1M USD LIBOR + 3.75%, 0.50% Floor), 7.50%, 5/12/28 | 67,320 | 60,967 | |
133,819 | |||
Construction Materials – 0.0%(e) | |||
CP Iris Holdco I, Inc., Delayed Draw Term Loan, | |||
(1M USD LIBOR + 3.50%, 0.50% Floor), 7.13%, 10/02/28 | 331 | 294 | |
10/02/28 (r) | 3,148 | 2,794 | |
CP Iris Holdco I, Inc., Initial Term Loan, (1M USD LIBOR + 3.50%, 0.50% Floor), 7.25%, 10/02/28 | 17,313 | 15,365 | |
18,453 | |||
Containers & Packaging – 0.0%(e) | |||
Valcour Packaging LLC, Initial Term Loan, (3M USD LIBOR + 3.75%, 0.50% Floor), 7.98%, 10/04/28 | 14,925 | 13,358 | |
Food – 0.0%(e) | |||
BCPE North Star US Holdco 2, Inc., Initial Term Loan, | |||
(3M USD LIBOR + 4.00%, 0.75% Floor), 7.67%, 6/09/28 | 77,495 | 71,683 | |
(2M USD LIBOR + 4.00%, 0.75% Floor), 8.37%, 6/09/28 | 6,866 | 6,351 | |
78,034 |
Par (a) | Value | ||
Home & Office Products – 0.0%(e) | |||
SWF Holdings I Corp., Initial Term Loan, (3M USD LIBOR + 4.00%, 0.75% Floor), 7.60%, 10/06/28 | $ 38,805 | $ 30,037 | |
Leisure Facilities & Services – 0.1% | |||
Bally's Corp., Term B Facility Loan, (1M USD LIBOR + 3.25%, 0.50% Floor), 6.55%, 10/02/28 | 161,777 | 150,110 | |
Herschend Entertainment Co. LLC, Initial Term Loan, (1M USD LIBOR + 3.75%, 0.50% Floor), 7.56%, 8/27/28 | 37,620 | 37,197 | |
187,307 | |||
Oil & Gas Producers – 0.0%(e) | |||
Southwestern Energy Co., Initial Loan, (3M USD CME Term SOFR + 2.50%, 0.50% Floor), 6.20%, 6/22/27 | 74,438 | 73,182 | |
Publishing & Broadcasting – 0.0%(e) | |||
Gray Television, Inc., Term D Loan, (1M USD LIBOR + 3.00%), 6.13%, 12/01/28 | 110,167 | 108,447 | |
Retail - Discretionary – 0.0%(e) | |||
Foundation Building Materials, Inc., Initial Term Loan, | |||
(3M USD LIBOR + 3.25%, 0.50% Floor), 7.66%, 1/31/28 | 114,260 | 103,564 | |
(1M USD LIBOR + 3.25%, 0.50% Floor), 7.00%, 1/31/28 | 290 | 263 | |
103,827 | |||
Software – 0.0%(e) | |||
ConnectWise LLC, Initial Term Loan, (3M USD LIBOR + 3.50%, 0.50% Floor), 7.17%, 9/29/28 | 78,408 | 73,866 | |
Total Term Loans (Cost $1,196,879) | 1,123,983 | ||
U.S. Government Obligations – 11.2% | |||
U.S. Treasury Bonds – 6.7% | |||
4.25%, 5/15/39 | 51,000 | 50,771 | |
4.50%, 8/15/39 | 51,000 | 52,349 | |
4.38%, 11/15/39(f) | 51,000 | 51,408 | |
4.63%, 2/15/40 | 370,000 | 384,612 |
Par (a) | Value | ||
U.S. Treasury Bonds (Continued) | |||
1.13%, 5/15/40 | $ 1,108,000 | $ 661,381 | |
3.88%, 8/15/40 | 370,000 | 347,612 | |
1.13%, 8/15/40 | 1,108,000 | 655,754 | |
4.25%, 11/15/40 | 370,000 | 365,129 | |
1.38%, 11/15/40 | 4,308,000 | 2,661,368 | |
1.88%, 2/15/41 | 3,750,000 | 2,535,059 | |
2.25%, 5/15/41 | 1,130,000 | 814,792 | |
1.75%, 8/15/41(o) | 2,570,000 | 1,677,327 | |
2.00%, 11/15/41 | 1,060,000 | 722,622 | |
2.75%, 8/15/42 | 2,960,000 | 2,288,334 | |
3.13%, 2/15/43 | 198,000 | 162,290 | |
2.88%, 5/15/43 | 198,000 | 155,206 | |
3.63%, 8/15/43 | 198,000 | 175,609 | |
3.75%, 11/15/43 | 198,000 | 178,765 | |
2.50%, 2/15/45(o) | 3,341,000 | 2,404,345 | |
2.88%, 11/15/46 | 193,000 | 148,452 | |
2.75%, 11/15/47(o) | 3,341,000 | 2,506,794 | |
3.00%, 2/15/48(o) | 2,788,000 | 2,201,540 | |
1.63%, 11/15/50 | 8,620,000 | 4,929,562 | |
1.88%, 2/15/51 | 22,130,000 | 13,548,574 | |
2.38%, 5/15/51 | 6,950,000 | 4,812,603 | |
2.00%, 8/15/51 | 3,240,000 | 2,041,073 | |
1.88%, 11/15/51 | 1,159,000 | 705,994 | |
2.25%, 2/15/52 | 3,000 | 2,012 | |
2.88%, 5/15/52 | 235,000 | 182,382 | |
3.00%, 8/15/52 | 874,000 | 699,883 | |
48,123,602 | |||
U.S. Treasury Notes – 4.5% | |||
2.50%, 4/30/24 | 142,000 | 137,618 | |
2.13%, 7/31/24 | 392,000 | 375,723 | |
1.75%, 7/31/24 | 662,000 | 630,426 | |
3.00%, 7/31/24 | 314,000 | 305,623 | |
3.25%, 8/31/24(f) | 595,000 | 581,427 | |
1.50%, 9/30/24 | 384,000 | 362,865 | |
4.25%, 9/30/24(f) | 185,000 | 184,061 | |
1.75%, 12/31/24(o) | 6,696,000 | 6,326,935 | |
2.00%, 2/15/25 | 487,000 | 460,767 | |
1.50%, 2/15/25 | 63,000 | 58,907 | |
0.50%, 3/31/25 | 1,540,000 | 1,403,806 | |
0.38%, 4/30/25 | 7,349,000 | 6,654,290 | |
2.13%, 5/15/25 | 420,000 | 396,375 | |
3.00%, 7/15/25 | 154,000 | 148,321 | |
3.13%, 8/15/25 | 213,000 | 205,661 | |
3.50%, 9/15/25 | 528,000 | 514,717 | |
4.25%, 10/15/25 | 344,000 | 342,172 | |
0.38%, 11/30/25 | 1,286,000 | 1,137,055 | |
0.38%, 12/31/25 | 1,286,000 | 1,134,393 | |
0.75%, 5/31/26 | 346,000 | 304,493 | |
1.50%, 8/15/26 | 558,000 | 502,156 | |
2.00%, 11/15/26 | 1,555,000 | 1,420,152 |
Par (a) | Value | ||
U.S. Treasury Notes (Continued) | |||
1.88%, 2/28/27 | $ 3,000 | $ 2,714 | |
0.63%, 3/31/27 | 621,000 | 530,057 | |
0.50%, 4/30/27 | 621,000 | 525,618 | |
2.38%, 5/15/27 | 614,000 | 565,384 | |
0.50%, 5/31/27 | 484,000 | 408,375 | |
3.25%, 6/30/27 | 60,000 | 57,408 | |
2.75%, 7/31/27 | 79,000 | 73,846 | |
2.25%, 8/15/27(o) | 2,561,000 | 2,337,313 | |
3.13%, 8/31/27 | 5,000 | 4,759 | |
1.25%, 3/31/28 | 558,000 | 477,003 | |
1.25%, 4/30/28 | 443,000 | 377,882 | |
2.88%, 8/15/28(o) | 122,000 | 113,312 | |
1.25%, 9/30/28 | 87,000 | 73,413 | |
3.13%, 11/15/28 | 329,000 | 309,209 | |
1.38%, 12/31/28 | 44,000 | 37,275 | |
2.63%, 2/15/29 | 548,000 | 499,108 | |
2.38%, 3/31/29 | 61,000 | 54,657 | |
2.38%, 5/15/29 | 548,000 | 490,546 | |
1.63%, 8/15/29 | 890,000 | 758,551 | |
3.13%, 8/31/29 | 30,000 | 28,111 | |
3.88%, 9/30/29 | 121,000 | 118,845 | |
1.50%, 2/15/30 | 869,000 | 728,025 | |
1.63%, 5/15/31 | 36,000 | 29,751 | |
2.88%, 5/15/32 | 600 | 544 | |
2.75%, 8/15/32 | 444,000 | 397,311 | |
32,586,960 | |||
Total U.S. Government Obligations (Cost $105,787,868) | 80,710,562 |
Number of Shares | |||
Investment Companies – 23.7% | |||
BlackRock Allocation Target Shares - BATS, Series A | 6,932,834 | 62,811,475 | |
Schwab Intermediate-Term U.S. Treasury ETF | 308,036 | 14,995,193 | |
Schwab Short-Term U.S. Treasury ETF(f) | 999,783 | 48,139,551 | |
Vanguard Long-Term Treasury ETF | 467,539 | 27,827,921 | |
Vanguard Short-Term Inflation-Protected Securities ETF | 347,624 | 16,599,046 | |
Total Investment Companies (Cost $188,979,591) | 170,373,186 |
Par (a)/Number of Shares | Value | ||
Short-Term Investments – 4.5% | |||
Corporate Bonds – 0.5% | |||
AbbVie, Inc., 2.30%, 11/21/22 | $487,000 | $486,344 | |
Aetna, Inc., 2.80%, 6/15/23 | 90,000 | 88,683 | |
American Airlines Pass Through Trust, | |||
Series 2013-2, Class A, 4.95%, 1/15/23 | 23,200 | 22,962 | |
Series 2015-2, Class B, 4.40%, 9/22/23 | 15,382 | 14,753 | |
Bank of America Corp., 3.30%, 1/11/23 | 270,000 | 269,450 | |
Cargill, Inc., 1.38%, 7/23/23(b) | 110,000 | 107,050 | |
Cigna Corp., 3.75%, 7/15/23 | 101,000 | 99,958 | |
Continental Resources, Inc., 4.50%, 4/15/23 | 90,000 | 89,626 | |
Crown Castle, Inc., 3.15%, 7/15/23 | 6,000 | 5,907 | |
Devon Energy Corp., 8.25%, 8/01/23 | 52,000 | 53,029 | |
Elevance Health, Inc., 2.95%, 12/01/22 | 30,000 | 29,962 | |
Energy Transfer L.P., 3.60%, 2/01/23 | 653,000 | 650,523 | |
Exxon Mobil Corp., 1.57%, 4/15/23 | 10,000 | 9,861 | |
General Motors Co., 4.88%, 10/02/23 | 560,000 | 554,589 | |
General Motors Financial Co., Inc., 3.70%, 5/09/23 | 7,000 | 6,934 | |
Goldman Sachs Group (The), Inc., 3.20%, 2/23/23 | 40,000 | 39,777 | |
MassMutual Global Funding II, 0.85%, 6/09/23(b) | 330,000 | 321,944 | |
Metropolitan Life Global Funding I, 0.90%, 6/08/23(b) | 250,000 | 243,967 | |
PepsiCo, Inc., 0.75%, 5/01/23 | 120,000 | 117,703 | |
Philip Morris International, Inc., 1.13%, 5/01/23 | 70,000 | 68,644 | |
State Street Corp., (3M USD LIBOR + 3.60%), 6.89%, 12/15/22(c)(g) | 26,000 | 25,928 |
Par (a)/Number of Shares | Value | ||
Corporate Bonds (Continued) | |||
UnitedHealth Group, Inc., 3.50%, 6/15/23 | $ 30,000 | $ 29,773 | |
Western Midstream Operating L.P., (3M USD LIBOR + 1.10%), 5.04%, 1/13/23(c) | 40,000 | 39,800 | |
3,377,167 | |||
Foreign Issuer Bonds – 0.3% | |||
Canadian Imperial Bank of Commerce, 0.95%, 6/23/23 | 100,000 | 97,137 | |
Credit Suisse A.G., 1.00%, 5/05/23 | 920,000 | 892,075 | |
Danske Bank A/S, 3.88%, 9/12/23(b) | 400,000 | 391,605 | |
Ecopetrol S.A., 5.88%, 9/18/23 | 7,000 | 6,887 | |
Nordea Bank Abp, 1.00%, 6/09/23(b) | 210,000 | 204,501 | |
Royal Bank of Canada, 1.60%, 4/17/23 | 190,000 | 187,034 | |
Swedbank AB, 1.30%, 6/02/23(b) | 200,000 | 195,188 | |
Toronto-Dominion Bank (The), 0.75%, 6/12/23 | 210,000 | 204,333 | |
2,178,760 | |||
Money Market Funds – 3.7% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 3.08%(s)(t) | 8,699,041 | 8,699,041 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 2.48%(s) | 17,823,522 | 17,833,522 | |
26,532,563 | |||
Mortgage-Backed Securities – 0.0%(e) | |||
MHC Trust, Series 2021-MHC2, Class A, (1M USD LIBOR + 0.85%, 0.85% Floor), 4.26%, 5/15/23(b)(c) | 240,000 | 229,483 | |
U.S. Government Obligations – 0.0%(e) | |||
U.S. Treasury Notes, 0.13%, 5/31/23 | 198,000 | 192,942 | |
Total Short-Term Investments (Cost $32,636,647) | 32,510,915 |
Number of Contracts | Notional Amount | Value | |
Purchased Options – 0.2% | |||
Call Options - Exchange Traded – 0.0%(e) | |||
10-Year U.S. Treasury Note, Strike Price $110.25, Expires 11/25/22 | 5 | $ 552,969 | $ 6,406 |
10-Year U.S. Treasury Note, Strike Price $110.50, Expires 11/25/22 | 5 | 552,969 | 5,703 |
10-Year U.S. Treasury Note, Strike Price $111.00, Expires 11/25/22 | 36 | 3,981,375 | 32,063 |
10-Year U.S. Treasury Note, Strike Price $111.25, Expires 11/25/22 | 14 | 1,548,312 | 10,937 |
10-Year U.S. Treasury Note, Strike Price $112.50, Expires 11/25/22 | 1 | 110,594 | 391 |
5-Year U.S. Treasury Note, Strike Price $106.25, Expires 11/25/22 | 7 | 746,156 | 6,508 |
5-Year U.S. Treasury Note, Strike Price $106.75, Expires 11/25/22 | 14 | 1,492,313 | 9,297 |
5-Year U.S. Treasury Note, Strike Price $111.75, Expires 11/25/22 | 6 | 639,563 | 94 |
U.S. Treasury Long Bond, Strike Price $122.00, Expires 11/25/22 | 4 | 482,000 | 5,625 |
U.S. Treasury Long Bond, Strike Price $123.00, Expires 11/25/22 | 5 | 602,500 | 5,234 |
82,258 | |||
Call Options - Over the Counter – 0.0%(e) | |||
Chilean Peso vs. U.S. Dollar, Strike Price CLP 960.00, Expires 12/29/22, Counterparty: Barclays | 2 | 58,000 | 1,963 |
Chinese Yuan vs. U.S. Dollar, Strike Price CNH 7.20, Expires 11/10/22, Counterparty: BNP Paribas | 2 | 100,000 | 1,977 |
Chinese Yuan vs. U.S. Dollar, Strike Price CNH 7.42, Expires 11/23/22, Counterparty: UBS | 2 | 126,000 | 789 |
Turkish Lira vs. U.S. Dollar, Strike Price TRY 20.00, Expires 12/09/22, Counterparty: JPMorgan Chase | 2 | 44,000 | 370 |
Number of Contracts | Notional Amount | Value | |
Call Options - Over the Counter (Continued) | |||
U.S. Dollar vs. Australian Dollar, Strike Price USD 0.65, Expires 11/10/22, Counterparty: Bank of America | 2 | $ 136,000(u) | $ 329 |
U.S. Dollar vs. Euro, Strike Price USD 1.04, Expires 1/04/23, Counterparty: Goldman Sachs | 1 | 2,970,000 (v) | 11,124 |
16,552 | |||
Call Swaptions - Over the Counter – 0.0%(e) | |||
Pay 1-Day USD SOFR (Annually); Receive 2.96% (Semi-Annually): Interest Rate Swap Maturing 09/05/2034, Strike Price USD 2.96, Expires 9/03/24, Counterparty: Morgan Stanley | 1 | 93,000 | 2,508 |
Pay 1-Day USD SOFR (Annually); Receive 3.14% (Semi-Annually): Interest Rate Swap Maturing 09/25/2035, Strike Price USD 3.14, Expires 9/23/25, Counterparty: BNP Paribas | 1 | 271,000 | 10,466 |
Pay 1-Day USD SOFR (Annually); Receive 3.28% (Semi-Annually): Interest Rate Swap Maturing 09/25/2034, Strike Price USD 3.28, Expires 9/23/24, Counterparty: Goldman Sachs | 1 | 592,600 | 21,955 |
Pay 1-Day USD SOFR (Annually); Receive 3.40% (Semi-Annually): Interest Rate Swap Maturing 10/09/2035, Strike Price USD 3.40, Expires 10/07/25, Counterparty: Goldman Sachs | 1 | 300,123 | 14,184 |
Number of Contracts | Notional Amount | Value | |
Call Swaptions - Over the Counter (Continued) | |||
Pay 1-Day USD SOFR (Annually); Receive 3.44% (Semi-Annually): Interest Rate Swap Maturing 10/16/2035, Strike Price USD 3.44, Expires 10/14/25, Counterparty: Morgan Stanley | 1 | $300,123 | $14,692 |
Pay 1-Day USD SOFR (Annually); Receive 3.48% (Semi-Annually): Interest Rate Swap Maturing 10/29/2035, Strike Price USD 3.47, Expires 10/27/25, Counterparty: Bank of America | 1 | 235,134 | 12,474 |
76,279 | |||
Put Options - Exchange Traded – 0.0%(e) | |||
10-Year U.S. Treasury Note, Strike Price $110.25, Expires 11/25/22 | 2 | 221,187 | 1,875 |
10-Year U.S. Treasury Note, Strike Price $111.50, Expires 11/25/22 | 2 | 221,188 | 3,187 |
5,062 | |||
Put Options - Over the Counter – 0.0%(e) | |||
Brazilian Real vs. U.S. Dollar, Strike Price BRL 4.65, Expires 3/23/23, Counterparty: Bank of America | 2 | 10,000 | 1,132 |
Brazilian Real vs. U.S. Dollar, Strike Price BRL 5.30, Expires 11/23/22, Counterparty: Barclays | 2 | 60,000 | 2,142 |
Czech Koruna vs. Euro, Strike Price CZK 24.50, Expires 11/01/22, Counterparty: UBS | 2 | 106,000 (v) | 136 |
Japanese Yen vs. U.S. Dollar, Strike Price JPY 122.00, Expires 12/08/22, Counterparty: Goldman Sachs | 2 | 24,000 | — |
U.S. Dollar vs. British Pound, Strike Price USD 1.04, Expires 11/08/22, Counterparty: Bank of America | 1 | 35,000 (w) | 58 |
U.S. Dollar vs. British Pound, Strike Price USD 1.04, Expires 11/08/22, Counterparty: Deutsche Bank | 1 | 35,000 (w) | 58 |
Number of Contracts | Notional Amount | Value | |
Put Options - Over the Counter (Continued) | |||
U.S. Dollar vs. Euro, Strike Price USD 0.93, Expires 11/15/22, Counterparty: BNP Paribas | 1 | $6,388,000 (v) | $ 1,372 |
U.S. Dollar vs. Euro, Strike Price USD 0.95, Expires 11/03/22, Counterparty: BNP Paribas | 2 | 130,000 (v) | 3 |
U.S. Dollar vs. Euro, Strike Price USD 0.96, Expires 11/15/22, Counterparty: Morgan Stanley | 1 | 6,388,000 (v) | 7,793 |
U.S. Dollar vs. Euro, Strike Price USD 0.97, Expires 11/23/22, Counterparty: JPMorgan Chase | 2 | 70,000 (v) | 329 |
U.S. Dollar vs. Euro, Strike Price USD 0.98, Expires 11/03/22, Counterparty: Deutsche Bank | 2 | 86,000 (v) | 153 |
13,176 | |||
Put Swaptions - Over the Counter – 0.2% | |||
Pay 2.48% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 08/14/2033, Strike Price USD 2.48, Expires 8/10/23, Counterparty: Goldman Sachs | 1 | 3,775,000 | 408,921 |
Pay 2.51% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 08/14/2033, Strike Price USD 2.51, Expires 8/10/23, Counterparty: Goldman Sachs | 1 | 3,775,000 | 401,058 |
Pay 2.96% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 09/05/2034, Strike Price USD 2.96, Expires 9/03/24, Counterparty: Morgan Stanley | 1 | 93,000 | 7,472 |
Pay 3.14% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 09/25/2035, Strike Price USD 3.14, Expires 9/23/25, Counterparty: BNP Paribas | 1 | 271,000 | 20,554 |
Number of Contracts | Notional Amount | Value | |
Put Swaptions - Over the Counter (Continued) | |||
Pay 3.28% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 09/25/2034, Strike Price USD 3.28, Expires 9/23/24, Counterparty: Goldman Sachs | 1 | $592,600 | $ 38,966 |
Pay 3.40% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 10/09/2035, Strike Price USD 3.40, Expires 10/07/25, Counterparty: Goldman Sachs | 1 | 300,123 | 19,721 |
Pay 3.44% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 10/16/2035, Strike Price USD 3.44, Expires 10/14/25, Counterparty: Morgan Stanley | 1 | 300,123 | 19,231 |
Pay 3.48% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 10/29/2035, Strike Price USD 3.47, Expires 10/27/25, Counterparty: Bank of America | 1 | 235,134 | 14,557 |
930,480 | |||
Total Purchased Options (Premiums Paid $647,106) | 1,123,807 |
Total Long Positions – 102.1% (Cost $840,625,912) | 733,191,810 |
Par (a) | Value | ||
Short Positions – (2.7)%(x) | |||
Mortgage-Backed Securities – (2.7)% | |||
Uniform Mortgage-Backed Securities – (2.7)% | |||
Pool, | |||
12/01/36 - 12/01/52(n) | (22,805,471) | (19,150,642) | |
12/01/37 | (58,000) | (49,273) | |
(19,199,915) | |||
Government National Mortgage Association II – (0.0)%(e) | |||
Pool, 3.50%, 7/20/52 | (200,000) | (179,330) |
Par (a) | Value | ||
Government National Mortgage Association – (0.0)%(e) | |||
Pool 12/01/52(n) | $(304,000) | $ (258,632) | |
Total Mortgage-Backed Securities (Proceeds $19,688,653) | (19,637,877) | ||
U.S. Government Obligations – (0.0)%(e) | |||
U.S. Treasury Bonds – (0.0)%(e) | |||
1.88%, 11/15/51 | (94,000) | (57,259) | |
Total U.S. Government Obligations (Proceeds $96,619) | (57,259) | ||
Total Short Positions – (2.7)% (Proceeds $19,785,272) | (19,695,136) | ||
Total Written Options – (0.3)% (Premiums Received $1,723,686) | (1,944,763) | ||
Other Assets – 0.9%(y) | 6,675,071 | ||
NET ASSETS – 100.0% | $718,226,982 | ||
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. |
(c) | Variable rate security. Rate as of October 31, 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 October 31, 2022 is disclosed. |
(e) | Amount rounds to less than 0.05%. |
(f) | Security either partially or fully on loan. |
(g) | Perpetual bond. Maturity date represents next call date. |
(h) | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate as of October 31, 2022 is disclosed. |
(i) | Investment is valued using significant unobservable inputs (Level 3). |
(j) | Distributions from this security are made via payments in-kind (PIK) unless otherwise noted in the description. |
(k) | Century bond maturing in 2120. |
(l) | Restricted security that has been deemed illiquid. At October 31, 2022, the value of these restricted illiquid securities amounted to $334,640 or 0.05% 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 |
(m) | Issuer has defaulted on terms of debt obligation. |
(n) | When-Issued Security. Coupon rate was not yet in effect at October 31, 2022. |
(o) | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap agreements. |
(p) | Step coupon bond. Rate as of October 31, 2022 is disclosed. |
(q) | Century bond maturing in 2112. |
(r) | Position is unsettled. Contract rate was not determined at October 31, 2022 and does not take effect until settlement date. |
(s) | 7-day current yield as of October 31, 2022 is disclosed. |
(t) | Security purchased with the cash proceeds from securities loaned (See Note 7). |
(u) | The notional amount is AUD. |
(v) | The notional amount is EUR. |
(w) | The notional amount is GBP. |
(x) | Securities sold short are not owned by the Fund and cannot produce income. |
(y) | 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 |
2M | 2 Month |
3M | 3 Month |
5Y | 5 Year |
AESOP | Employee Stock Ownership Plan |
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 |
IO | Interest Only |
JSC | Joint Stock Company |
L.P. | Limited Partnership |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability 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 |
COP | Colombian Peso |
MXN | Mexican Peso |
RUB | Russian Ruble |
CLP | Chilean Peso |
CNH | Chinese Yuan Renminbi |
TRY | Turkish Lira |
BRL | Brazilian Real |
CZK | Czech Republic Koruna |
JPY | Japanese Yen |
Futures Contracts outstanding at October 31, 2022: Exchange Traded | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | |||||
90-Day Eurodollar | 61 | 12/19/2022 | USD | 14,470,725 | $ (206,637) |
U.S. Treasury Long Bond | 56 | 12/20/2022 | USD | 6,748,000 | (504,027) |
Ultra U.S. Treasury Bond | 123 | 12/20/2022 | USD | 15,701,719 | (1,283,876) |
2-Year U.S. Treasury Note | 280 | 12/30/2022 | USD | 57,227,187 | (212,048) |
5-Year U.S. Treasury Note | 1,191 | 12/30/2022 | USD | 126,953,156 | (2,262,724) |
90-Day Eurodollar | 42 | 3/13/2023 | USD | 9,948,750 | (33,555) |
3-Month SONIA | 25 | 3/15/2023 | GBP | 6,891,193 | 49,994 |
3-Month Euribor | 26 | 6/19/2023 | EUR | 6,230,916 | (13,785) |
90-Day Eurodollar | 57 | 6/19/2023 | USD | 13,508,288 | (235,837) |
CME 3-Month SOFR | 45 | 6/20/2023 | USD | 10,694,250 | (5,900) |
90-Day Eurodollar | 25 | 9/18/2023 | USD | 5,937,500 | (112,188) |
3-Month SONIA | 8 | 9/19/2023 | GBP | 2,182,934 | 19,179 |
CME 3-Month SOFR | 2 | 9/19/2023 | USD | 475,525 | (7,225) |
90-Day Eurodollar | 57 | 12/18/2023 | USD | 13,566,000 | (274,313) |
CME 3-Month SOFR | 147 | 3/18/2025 | USD | 35,342,475 | (279,698) |
3-Month SONIA | 23 | 3/19/2025 | GBP | 6,302,641 | 18,085 |
CME 3-Month SOFR | 35 | 3/17/2026 | USD | 8,431,938 | (1,725) |
Total Long Contracts | $(5,346,280) | ||||
Short Contracts | |||||
30-Day Federal Funds | (101) | 11/30/2022 | USD | 40,494,771 | $ 7,365 |
30-Year Euro Buxl | (2) | 12/08/2022 | EUR | 285,051 | 2,576 |
Euro-Bund | (11) | 12/08/2022 | EUR | 1,504,947 | 493 |
10-Year Japanese Treasury Bond | (12) | 12/20/2022 | JPY | 12,006,053 | (24,787) |
10-Year U.S. Treasury Note | (147) | 12/20/2022 | USD | 16,257,281 | (2,466) |
U.S. Treasury Long Bond | (50) | 12/20/2022 | USD | 6,025,000 | (3,281) |
Ultra 10-Year U.S. Treasury Note | (62) | 12/20/2022 | USD | 7,191,031 | 4,612 |
CME 3-Month SOFR | (156) | 12/21/2022 | USD | 37,644,750 | 90,675 |
CME 3-Month SOFR | (385) | 3/19/2024 | USD | 91,880,250 | 614,530 |
Total Short Contracts | $ 689,717 | ||||
$(4,656,563) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2022: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/21/22 | British Pounds | 1,373,017 | Euro | 1,512,000 | JPMorgan Chase | $ 76,649 |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2022: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/21/22 | British Pounds | 762,316 | U.S. Dollars | 825,105 | Deutsche Bank | $ 50,753 |
12/21/22 | U.S. Dollars | 2,311,220 | Euro | 2,295,582 | UBS | 32,536 |
12/21/22 | Euro | 1,865,000 | U.S. Dollars | 1,825,248 | JPMorgan Chase | 26,024 |
12/21/22 | British Pounds | 640,000 | U.S. Dollars | 711,772 | UBS | 23,552 |
12/21/22 | British Pounds | 594,800 | U.S. Dollars | 660,723 | Morgan Stanley | 22,669 |
12/21/22 | British Pounds | 1,359,319 | Euro | 1,552,000 | Morgan Stanley | 21,205 |
12/21/22 | Euro | 466,563 | Swiss Francs | 439,932 | HSBC | 20,932 |
12/21/22 | British Pounds | 932,290 | Euro | 1,058,727 | Deutsche Bank | 20,214 |
12/21/22 | British Pounds | 590,000 | U.S. Dollars | 658,601 | Barclays | 19,275 |
12/21/22 | British Pounds | 330,000 | U.S. Dollars | 361,854 | HSBC | 17,297 |
11/23/22 | U.S. Dollars | 136,147 | Colombian Pesos | 596,598,000 | JPMorgan Chase | 15,859 |
12/21/22 | U.S. Dollars | 1,255,392 | Euro | 1,249,000 | HSBC | 15,586 |
12/21/22 | British Pounds | 263,778 | Euro | 290,000 | BNP Paribas | 15,201 |
12/21/22 | British Pounds | 592,884 | U.S. Dollars | 666,253 | Goldman Sachs | 14,937 |
12/21/22 | Euro | 1,110,000 | U.S. Dollars | 1,089,261 | BNP Paribas | 12,568 |
12/21/22 | Euro | 570,000 | U.S. Dollars | 556,571 | Bank of America | 9,233 |
12/21/22 | Euro | 770,639 | U.S. Dollars | 755,854 | Deutsche Bank | 9,112 |
12/21/22 | U.S. Dollars | 1,189,726 | Euro | 1,190,000 | Barclays | 8,485 |
12/21/22 | U.S. Dollars | 677,890 | Euro | 675,000 | Deutsche Bank | 7,859 |
12/21/22 | Euro | 1,865,000 | U.S. Dollars | 1,844,474 | Morgan Stanley | 6,798 |
12/21/22 | U.S. Dollars | 1,139,403 | Euro | 1,141,400 | BNP Paribas | 6,405 |
12/21/22 | Euro | 280,535 | Swiss Francs | 271,515 | JPMorgan Chase | 5,557 |
12/21/22 | British Pounds | 263,988 | Euro | 300,000 | Goldman Sachs | 5,516 |
12/21/22 | British Pounds | 364,920 | Euro | 417,339 | UBS | 5,005 |
11/23/22 | Mexican Pesos | 4,398,502 | U.S. Dollars | 216,788 | Barclays | 4,233 |
12/21/22 | U.S. Dollars | 91,602 | Canadian Dollars | 121,000 | Deutsche Bank | 2,728 |
11/14/22 | Czech Republic Koruna | 2,640,988 | U.S. Dollars | 104,000 | Goldman Sachs | 2,506 |
12/21/22 | Euro | 290,000 | U.S. Dollars | 285,487 | Goldman Sachs | 2,379 |
12/21/22 | Euro | 240,000 | U.S. Dollars | 235,946 | Standard Chartered Bank | 2,287 |
11/14/22 | U.S. Dollars | 102,000 | Chilean Pesos | 94,972,200 | Bank of America | 1,603 |
11/03/22 | Brazilian Reals | 162,545 | U.S. Dollars | 30,000 | Goldman Sachs | 1,446 |
12/21/22 | U.S. Dollars | 299,049 | Euro | 300,000 | Citibank | 1,257 |
11/03/22 | Brazilian Reals | 160,923 | U.S. Dollars | 30,000 | JPMorgan Chase | 1,132 |
11/23/22 | Mexican Pesos | 1,548,000 | U.S. Dollars | 76,679 | JPMorgan Chase | 1,106 |
12/21/22 | Euro | 650,000 | U.S. Dollars | 644,124 | UBS | 1,092 |
12/21/22 | Euro | 300,000 | U.S. Dollars | 296,729 | Citibank | 1,063 |
11/23/22 | Mexican Pesos | 876,545 | U.S. Dollars | 43,153 | UBS | 893 |
11/14/22 | Chilean Pesos | 33,876,500 | U.S. Dollars | 35,000 | BNP Paribas | 811 |
11/14/22 | Australian Dollars | 67,000 | U.S. Dollars | 42,064 | Morgan Stanley | 809 |
11/23/22 | Turkish Lira | 653,129 | U.S. Dollars | 33,762 | UBS | 753 |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2022: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
11/14/22 | U.S. Dollars | 36,000 | Chinese Offshore Yuan | 258,416 | Morgan Stanley | $ 749 |
12/02/22 | Brazilian Reals | 112,612 | U.S. Dollars | 21,000 | JPMorgan Chase | 644 |
11/03/22 | Brazilian Reals | 111,708 | U.S. Dollars | 21,000 | Bank of America | 611 |
11/14/22 | Norwegian Kroner | 296,278 | U.S. Dollars | 28,000 | JPMorgan Chase | 511 |
12/21/22 | British Pounds | 48,218 | Euro | 55,329 | Barclays | 479 |
12/02/22 | Brazilian Reals | 106,538 | U.S. Dollars | 20,000 | Goldman Sachs | 477 |
11/14/22 | U.S. Dollars | 41,429 | Australian Dollars | 64,000 | JPMorgan Chase | 475 |
11/21/22 | U.S. Dollars | 28,000 | Colombian Pesos | 136,836,000 | Deutsche Bank | 400 |
11/14/22 | Canadian Dollars | 35,934 | U.S. Dollars | 26,000 | Standard Chartered Bank | 379 |
11/14/22 | Mexican Pesos | 643,207 | U.S. Dollars | 32,000 | Goldman Sachs | 377 |
12/21/22 | British Pounds | 42,317 | Euro | 48,605 | Bank of America | 373 |
11/14/22 | British Pounds | 24,000 | U.S. Dollars | 27,170 | HSBC | 364 |
11/14/22 | U.S. Dollars | 35,000 | Japanese Yen | 5,144,694 | JPMorgan Chase | 347 |
11/14/22 | Euro | 28,000 | Japanese Yen | 4,061,138 | JPMorgan Chase | 344 |
11/14/22 | U.S. Dollars | 14,000 | South African Rand | 252,357 | HSBC | 277 |
12/21/22 | U.S. Dollars | 273,236 | Euro | 275,000 | Goldman Sachs | 260 |
11/14/22 | Euro | 28,000 | U.S. Dollars | 27,442 | Morgan Stanley | 256 |
11/23/22 | Turkish Lira | 198,310 | U.S. Dollars | 10,238 | JPMorgan Chase | 242 |
11/03/22 | Brazilian Reals | 156,300 | U.S. Dollars | 30,000 | Citibank | 238 |
11/14/22 | Euro | 28,000 | U.S. Dollars | 27,510 | Deutsche Bank | 189 |
11/23/22 | Colombian Pesos | 150,589 | U.S. Dollars | 10,438 | Barclays | 151 |
11/14/22 | U.S. Dollars | 14,000 | Norwegian Kroner | 144,148 | JPMorgan Chase | 128 |
11/14/22 | Australian Dollars | 35,000 | Canadian Dollars | 30,365 | JPMorgan Chase | 106 |
12/02/22 | Brazilian Reals | 21,362 | U.S. Dollars | 4,000 | Bank of America | 106 |
11/14/22 | U.S. Dollars | 28,000 | South African Rand | 513,258 | Bank of America | 89 |
11/14/22 | Norwegian Kroner | 291,791 | U.S. Dollars | 28,000 | Deutsche Bank | 80 |
11/14/22 | Australian Dollars | 22,000 | U.S. Dollars | 14,037 | JPMorgan Chase | 41 |
11/14/22 | U.S. Dollars | 18,000 | South African Rand | 330,269 | Goldman Sachs | 40 |
11/25/22 | South Korean Won | 28,583,000 | U.S. Dollars | 20,000 | Deutsche Bank | 35 |
11/21/22 | Colombian Pesos | 138,978,000 | U.S. Dollars | 28,000 | Citibank | 32 |
11/25/22 | South Korean Won | 39,961,600 | U.S. Dollars | 28,000 | Citibank | 10 |
11/21/22 | Colombian Pesos | 34,713,070 | U.S. Dollars | 7,000 | Goldman Sachs | 2 |
Total Unrealized Appreciation | $ 504,137 | |||||
11/14/22 | U.S. Dollars | 11,000 | Japanese Yen | 1,633,381 | Standard Chartered Bank | $ (2) |
11/14/22 | U.S. Dollars | 22,925 | British Pounds | 20,000 | HSBC | (19) |
12/21/22 | U.S. Dollars | 3,705 | Japanese Yen | 551,043 | Morgan Stanley | (26) |
11/14/22 | South African Rand | 403,839 | U.S. Dollars | 22,000 | Standard Chartered Bank | (39) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2022: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/21/22 | Euro | 100,000 | British Pounds | 86,444 | Barclays | $ (55) |
11/14/22 | U.S. Dollars | 28,000 | Mexican Pesos | 557,492 | Citibank | (62) |
11/14/22 | U.S. Dollars | 20,000 | South African Rand | 369,386 | Citibank | (87) |
11/14/22 | South African Rand | 660,371 | U.S. Dollars | 36,000 | JPMorgan Chase | (89) |
11/03/22 | U.S. Dollars | 4,000 | Brazilian Reals | 21,230 | Bank of America | (107) |
12/21/22 | Japanese Yen | 529,382 | U.S. Dollars | 3,705 | Morgan Stanley | (120) |
11/21/22 | U.S. Dollars | 28,000 | Indian Rupees | 2,334,220 | Morgan Stanley | (126) |
11/14/22 | U.S. Dollars | 30,000 | Mexican Pesos | 598,524 | Goldman Sachs | (127) |
11/14/22 | Swiss Francs | 29,848 | U.S. Dollars | 30,000 | Bank of America | (147) |
11/14/22 | U.S. Dollars | 22,000 | South African Rand | 407,366 | Deutsche Bank | (153) |
11/14/22 | Euro | 14,000 | Polish Zloty | 67,490 | Bank of America | (263) |
12/21/22 | U.S. Dollars | 642,949 | Euro | 648,010 | BNP Paribas | (291) |
11/14/22 | South African Rand | 509,050 | U.S. Dollars | 28,000 | Goldman Sachs | (318) |
11/14/22 | U.S. Dollars | 7,000 | Chilean Pesos | 6,922,580 | Deutsche Bank | (318) |
11/14/22 | U.S. Dollars | 28,000 | Norwegian Kroner | 295,571 | Deutsche Bank | (443) |
11/14/22 | Japanese Yen | 2,135,310 | Euro | 15,000 | HSBC | (456) |
11/14/22 | Japanese Yen | 4,089,224 | U.S. Dollars | 28,000 | JPMorgan Chase | (456) |
11/14/22 | South African Rand | 616,014 | U.S. Dollars | 34,000 | Deutsche Bank | (501) |
11/14/22 | U.S. Dollars | 31,113 | Euro | 32,000 | Morgan Stanley | (543) |
11/03/22 | U.S. Dollars | 23,090 | Brazilian Reals | 122,214 | BNP Paribas | (554) |
11/14/22 | U.S. Dollars | 28,000 | Norwegian Kroner | 296,743 | JPMorgan Chase | (556) |
11/14/22 | Chinese Offshore Yuan | 259,729 | U.S. Dollars | 36,000 | BNP Paribas | (570) |
12/02/22 | U.S. Dollars | 21,000 | Brazilian Reals | 112,413 | Bank of America | (606) |
11/14/22 | Euro | 70,000 | U.S. Dollars | 69,862 | JPMorgan Chase | (617) |
11/03/22 | U.S. Dollars | 35,000 | Brazilian Reals | 185,123 | JPMorgan Chase | (814) |
11/14/22 | U.S. Dollars | 28,572 | Australian Dollars | 46,000 | JPMorgan Chase | (864) |
11/14/22 | Euro | 138,000 | Czech Republic Koruna | 3,406,610 | UBS | (868) |
11/14/22 | Japanese Yen | 9,370,716 | U.S. Dollars | 64,000 | Bank of America | (882) |
11/14/22 | Euro | 32,000 | Polish Zloty | 155,988 | UBS | (961) |
12/21/22 | Euro | 170,000 | British Pounds | 147,729 | JPMorgan Chase | (983) |
12/21/22 | Euro | 200,000 | British Pounds | 173,670 | Standard Chartered Bank | (1,009) |
11/14/22 | Japanese Yen | 5,409,375 | Euro | 38,000 | Deutsche Bank | (1,155) |
11/14/22 | U.S. Dollars | 39,971 | British Pounds | 36,000 | JPMorgan Chase | (1,329) |
11/23/22 | U.S. Dollars | 44,000 | Turkish Lira | 858,440 | JPMorgan Chase | (1,364) |
11/14/22 | U.S. Dollars | 30,000 | Polish Zloty | 150,564 | Goldman Sachs | (1,483) |
11/03/22 | U.S. Dollars | 48,910 | Brazilian Reals | 261,230 | Goldman Sachs | (1,628) |
12/21/22 | U.S. Dollars | 236,546 | Euro | 240,000 | HSBC | (1,687) |
12/21/22 | Euro | 350,000 | U.S. Dollars | 350,254 | Bank of America | (2,830) |
12/21/22 | U.S. Dollars | 194,979 | Euro | 200,000 | UBS | (3,549) |
12/21/22 | Euro | 380,000 | U.S. Dollars | 380,959 | BNP Paribas | (3,756) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2022: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/21/22 | U.S. Dollars | 433,416 | Euro | 440,590 | Bank of America | $ (3,931) |
12/21/22 | Euro | 670,000 | U.S. Dollars | 669,235 | Morgan Stanley | (4,167) |
12/21/22 | U.S. Dollars | 343,056 | Euro | 350,000 | Morgan Stanley | (4,368) |
12/21/22 | Indonesian Rupiahs | 1,715,949,628 | U.S. Dollars | 114,420 | JPMorgan Chase | (4,798) |
12/21/22 | U.S. Dollars | 108,259 | British Pounds | 100,000 | Standard Chartered Bank | (6,636) |
11/23/22 | Colombian Pesos | 357,904,000 | U.S. Dollars | 80,113 | Barclays | (7,950) |
12/21/22 | U.S. Dollars | 467,734 | Euro | 480,000 | JPMorgan Chase | (8,733) |
12/21/22 | Euro | 670,000 | U.S. Dollars | 673,833 | Deutsche Bank | (8,764) |
11/23/22 | U.S. Dollars | 463,475 | Mexican Pesos | 9,414,538 | HSBC | (9,598) |
12/21/22 | Swiss Francs | 236,773 | Euro | 250,000 | JPMorgan Chase | (10,168) |
12/21/22 | Euro | 580,000 | British Pounds | 511,116 | BNP Paribas | (11,513) |
12/21/22 | U.S. Dollars | 494,013 | British Pounds | 440,000 | Citibank | (11,522) |
12/21/22 | Euro | 270,000 | British Pounds | 244,463 | Goldman Sachs | (12,862) |
12/21/22 | U.S. Dollars | 238,648 | British Pounds | 220,000 | HSBC | (14,120) |
12/21/22 | U.S. Dollars | 398,660 | British Pounds | 360,000 | State Street | (14,959) |
12/21/22 | U.S. Dollars | 788,691 | British Pounds | 700,000 | Goldman Sachs | (15,569) |
12/21/22 | Euro | 2,260,000 | U.S. Dollars | 2,259,631 | JPMorgan Chase | (16,268) |
12/21/22 | U.S. Dollars | 3,452,735 | Euro | 3,495,057 | Deutsche Bank | (16,595) |
12/21/22 | Swiss Francs | 476,723 | Euro | 501,380 | Bank of America | (18,513) |
12/21/22 | U.S. Dollars | 280,034 | British Pounds | 260,000 | Morgan Stanley | (18,692) |
12/21/22 | U.S. Dollars | 497,220 | British Pounds | 463,200 | UBS | (34,971) |
12/21/22 | Euro | 2,402,000 | British Pounds | 2,111,113 | Deutsche Bank | (41,231) |
12/21/22 | U.S. Dollars | 1,055,824 | British Pounds | 966,800 | Deutsche Bank | (54,975) |
12/21/22 | Euro | 1,512,000 | British Pounds | 1,360,286 | Morgan Stanley | (62,022) |
Total Unrealized Depreciation | $(445,738) | |||||
Net Unrealized Appreciation | $ 58,399 |
Written Call Option Contracts outstanding at October 31, 2022: Exchange Traded | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
10-Year U.S. Treasury Note | 2 | USD | 221,187 | 111.75 | 11/4/2022 | $ (406) |
10-Year U.S. Treasury Note | 85 | USD | 9,400,469 | 113.00 | 11/25/2022 | (23,906) |
10-Year U.S. Treasury Note | 52 | USD | 5,750,875 | 112.00 | 11/25/2022 | (26,813) |
10-Year U.S. Treasury Note | 50 | USD | 5,529,687 | 112.50 | 11/25/2022 | (19,531) |
10-Year U.S. Treasury Note | 24 | USD | 2,654,250 | 111.50 | 11/25/2022 | (16,500) |
10-Year U.S. Treasury Note | 13 | USD | 1,437,719 | 115.00 | 11/25/2022 | (1,016) |
10-Year U.S. Treasury Note | 13 | USD | 1,437,719 | 113.50 | 11/25/2022 | (2,641) |
10-Year U.S. Treasury Note | 5 | USD | 552,969 | 111.75 | 11/25/2022 | (2,969) |
10-Year U.S. Treasury Note | 3 | USD | 331,781 | 117.00 | 11/25/2022 | (94) |
Written Call Option Contracts outstanding at October 31, 2022: Exchange Traded (continued) | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
10-Year U.S. Treasury Note | 39 | USD | 221,187 | 114.00 | 11/25/2022 | $ (5,485) |
5-Year U.S. Treasury Note | 83 | USD | 8,847,285 | 109.25 | 11/25/2022 | (6,484) |
5-Year U.S. Treasury Note | 55 | USD | 5,862,659 | 108.00 | 11/25/2022 | (13,320) |
5-Year U.S. Treasury Note | 51 | USD | 5,436,284 | 110.00 | 11/25/2022 | (1,992) |
5-Year U.S. Treasury Note | 41 | USD | 4,370,346 | 109.00 | 11/25/2022 | (3,844) |
5-Year U.S. Treasury Note | 40 | USD | 4,263,752 | 107.50 | 11/25/2022 | (14,687) |
5-Year U.S. Treasury Note | 19 | USD | 2,025,282 | 108.75 | 11/25/2022 | (2,375) |
5-Year U.S. Treasury Note | 18 | USD | 1,918,688 | 106.50 | 11/25/2022 | (14,203) |
5-Year U.S. Treasury Note | 12 | USD | 1,279,126 | 108.50 | 11/25/2022 | (1,875) |
90-Day Euro Future | 309 | USD | 73,302,525 | 97.00 | 12/19/2022 | (3,863) |
90-Day Euro Future | 75 | USD | 17,791,875 | 96.50 | 12/19/2022 | (1,406) |
U.S. Treasury Long Bond | 10 | USD | 1,205,000 | 122.00 | 11/25/2022 | (4,063) |
U.S. Treasury Long Bond | 6 | USD | 723,000 | 130.00 | 11/25/2022 | (750) |
U.S. Treasury Long Bond | 3 | USD | 361,500 | 128.00 | 11/25/2022 | (656) |
U.S. Treasury Long Bond | 2 | USD | 241,000 | 124.00 | 11/25/2022 | (1,563) |
Total Written Call Options Contracts (Premiums Received $621,336) | $(170,442) |
Written Put Option Contracts outstanding at October 31, 2022: Exchange Traded | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
10-Year U.S. Treasury Note | 64 | USD | 7,078,000 | 110.75 | 11/25/2022 | $ (75,000) |
10-Year U.S. Treasury Note | 37 | USD | 4,091,969 | 110.50 | 11/25/2022 | (38,735) |
10-Year U.S. Treasury Note | 16 | USD | 1,769,500 | 109.50 | 11/25/2022 | (10,250) |
10-Year U.S. Treasury Note | 11 | USD | 1,216,531 | 110.00 | 11/25/2022 | (9,109) |
10-Year U.S. Treasury Note | 2 | USD | 221,187 | 109.75 | 11/25/2022 | (1,469) |
10-Year U.S. Treasury Note | 1 | USD | 204,383 | 102.25 | 11/25/2022 | (656) |
5-Year U.S. Treasury Note | 7 | USD | 746,157 | 106.25 | 11/25/2022 | (4,102) |
5-Year U.S. Treasury Note | 6 | USD | 639,563 | 106.75 | 11/25/2022 | (4,922) |
5-Year U.S. Treasury Note | 1 | USD | 106,594 | 105.00 | 11/25/2022 | (203) |
Total Written Put Options Contracts (Premiums Received $145,468) | $(144,446) |
Written Call Option Contracts outstanding at October 31, 2022: Over the Counter | ||||||||
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
Chilean Peso vs. U.S. Dollar | Barclays | (86,000) | USD | 86,000 | CLP | 980.00 | 11/3/2022 | $ (81) |
Chilean Peso vs. U.S. Dollar | Barclays | (58,000) | USD | 58,000 | CLP | 990.00 | 12/29/2022 | (1,330) |
Chinese Yuan vs. U.S. Dollar | BNP Paribas | (144,000) | USD | 144,000 | CNH | 7.35 | 11/10/2022 | (981) |
Written Call Option Contracts outstanding at October 31, 2022: Over the Counter (continued) | ||||||||
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
Chinese Yuan vs. U.S. Dollar | UBS | (126,000) | USD | 126,000 | CNH | 7.52 | 11/23/2022 | $ (426) |
Turkish Lira vs. U.S. Dollar | JPMorgan Chase | (44,000) | USD | 44,000 | TRY | 21.00 | 12/9/2022 | (196) |
U.S. Dollar vs. Australian Dollar | Bank of America | (202,000) | AUD | 202,000 | USD | 0.67 | 11/10/2022 | (78) |
U.S. Dollar vs. Euro | JPMorgan Chase | (70,000) | EUR | 70,000 | USD | 1.00 | 12/22/2022 | (949) |
U.S. Dollar vs. Euro | Goldman Sachs | (2,970,000) | EUR | 2,970,000 | USD | 1.06 | 1/4/2023 | (4,612) |
Total Written OTC Call Options Contracts (Premiums Received $18,976) | $(8,653) |
Written Put Option Contracts outstanding at October 31, 2022: Over the Counter | ||||||||
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
U.S. Dollar vs. Euro | Deutsche Bank | (130,000) | EUR | 130,000 | USD | 0.95 | 11/3/2022 | $ (3) |
U.S. Dollar vs. Euro | Morgan Stanley | (6,388,000) | EUR | 6,388,000 | USD | 0.93 | 11/15/2022 | (1,372) |
U.S. Dollar vs. Euro | BNP Paribas | (6,388,000) | EUR | 6,388,000 | USD | 0.96 | 11/15/2022 | (7,792) |
Total Written OTC Put Options Contracts (Premiums Received $37,900) | $(9,167) |
Written Call Interest Rate Swaption Contracts outstanding at October 31, 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 10/24/2025 | 3.20% (Semi-Annually) | 1-Day USD SOFR (Annually) | Morgan Stanley | 10/20/2023 | 3.20% | 18,622,200 | $ (83,102) |
Interest Rate Swap Maturing 10/31/2033 | 2.62% (Annually) | 1-Day USD SOFR (Annually) | Goldman Sachs | 10/27/2023 | 2.62 | 4,752,045 | (50,959) |
Interest Rate Swap Maturing 11/02/2025 | 3.20% (Semi-Annually) | 1-Day USD SOFR (Annually) | Morgan Stanley | 10/31/2023 | 3.20 | 16,523,309 | (82,973) |
Interest Rate Swap Maturing 11/15/2032 | 1.821% (Annually) | 6M EUR EURIBOR (Semi-Annually) | Goldman Sachs | 11/11/2022 | 1.82 | 78,500 | — |
Total Written OTC Call Swaptions Contracts (Premiums Received $241,707) | $(217,034) |
Written Put Interest Rate Swaption Contracts outstanding at October 31, 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 08/14/2024 | 1-Day USD SOFR (At Maturity) | 3.48% (At Maturity) | Goldman Sachs | 8/10/2023 | 3.48% | 67,980,044 | $ (811,784) | |
Interest Rate Swap Maturing 08/14/2033 | 1-Day USD SOFR (Annually) | 3.20% (Semi-Annually) | Goldman Sachs | 8/10/2023 | 3.20 | 2,513,685 | (158,542) | |
Interest Rate Swap Maturing 08/14/2033 | 1-Day USD SOFR (Annually) | 3.10% (Semi-Annually) | Goldman Sachs | 8/10/2023 | 3.10 | 2,513,685 | (172,551) | |
Interest Rate Swap Maturing 10/24/2025 | 1-Day USD SOFR (Annually) | 5.20% (Semi-Annually) | Morgan Stanley | 10/20/2023 | 5.20 | 18,622,200 | (69,714) | |
Interest Rate Swap Maturing 10/31/2033 | 1-Day USD SOFR (Semi-Annually) | 4.42% (Annually) | Goldman Sachs | 10/27/2023 | 4.42 | 4,752,045 | (98,423) | |
Interest Rate Swap Maturing 11/02/2025 | 1-Day USD SOFR (Annually) | 5.00% (Semi-Annually) | Morgan Stanley | 10/31/2023 | 5.00 | 16,523,309 | (75,822) | |
Interest Rate Swap Maturing 11/15/2032 | 6M EUR EURIBOR (Semi-Annually) | 1.82% (Annually) | Goldman Sachs | 11/11/2022 | 1.82 | 78,500 | (8,185) | |
Total Written OTC Put Swaptions Contracts (Premiums Received $658,299) | $(1,395,021) |
Interest Rate Swap Contracts outstanding at October 31, 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) | |
28-Day MXN-TIIE-BANXICO (Monthly) | 10.17% (Monthly) | 9/14/2023 | MXN | 3,865,000 | $ (936) | $ — | $ (936) |
28-Day MXN-TIIE-BANXICO (Monthly) | 10.30% (Monthly) | 9/18/2023 | MXN | 3,078,000 | (585) | — | (585) |
6.15% (Quarterly) | 3M PLN WIBOR (Quarterly) | 4/11/2024 | PLN | 558,000 | 2,278 | — | 2,278 |
2.22% (Semi-Annually) | 6M EUR EURIBOR (Semi-Annually) | 9/12/2024 | EUR | 155,000 | 1,157 | 46 | 1,111 |
1-Day EUR ESTR (At Maturity) | 2.74% (At Maturity) | 11/1/2024 | EUR | 1,950,000 | (1,249) | — | (1,249) |
1-Day USD SOFR (Annually) | 4.00% (Annually) | 10/25/2025 | USD | 15,065,000 | (21,025) | — | (21,025) |
1-Day EUR ESTR (Annually) | 2.86% (Annually) | 10/26/2025 | EUR | 2,490,000 | 6,677 | — | 6,677 |
1-Day EUR ESTR (Annually) | 2.71% (Annually) | 10/27/2025 | EUR | 1,200,000 | (289) | — | (289) |
1-Day EUR ESTR (Annually) | 2.71% (Annually) | 10/30/2025 | EUR | 1,230,000 | (59) | (1,197) | 1,138 |
1-Day EUR ESTR (Annually) | 2.51% (Annually) | 10/31/2025 | EUR | 2,420,000 | (9,417) | — | (9,417) |
1-Day USD SOFR (Annually) | 1.55% (Annually) | 3/4/2027 | USD | 4,175,000 | (417,596) | (5,617) | (411,979) |
6.87% (Semi-Annually) | 3M PLN WIBOR (Semi-Annually) | 9/29/2027 | PLN | 92,600 | 439 | — | 439 |
6.99% (Semi-Annually) | 6M PLN WIBOR (Semi-Annually) | 9/30/2027 | PLN | 133,000 | 586 | — | 586 |
2.73% (At Maturity) | 1-Day EUR ESTR (At Maturity) | 11/2/2027 | EUR | 2,110,000 | (981) | — | (981) |
7.15% (Semi-Annually) | 6M PLN WIBOR (Semi-Annually) | 12/21/2027 | PLN | 184,000 | 575 | — | 575 |
7.77% (Semi-Annually) | 6M PLN WIBOR (Semi-Annually) | 12/21/2027 | PLN | 173,000 | (318) | — | (318) |
1.13% (Annually) | 1-Day USD SOFR (Annually) | 8/15/2028 | USD | 15,840,000 | 2,359,080 | 43,421 | 2,315,659 |
1.22% (Annually) | 1-Day USD SOFR (Annually) | 8/15/2028 | USD | 4,412,000 | 635,936 | (1,561) | 637,497 |
2.85% (Annually) | 1-Day USD SOFR (Annually) | 2/15/2029 | USD | 2,329,000 | 137,016 | 8,767 | 128,249 |
3.27% (Annually) | 1-Day USD SOFR (Annually) | 4/30/2029 | USD | 4,174,000 | 156,764 | (71,579) | 228,343 |
Interest Rate Swap Contracts outstanding at October 31, 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) | |
3.85% (Annually) | 1-Day USD SOFR (Annually) | 6/30/2029 | USD | 5,264,000 | $ 21,851 | $ 6,549 | $ 15,302 |
6M EUR EURIBOR (Semi-Annually) | 1.57% (Annually) | 2/15/2031 | EUR | 299,632 | (28,079) | — | (28,079) |
6M EUR EURIBOR (Semi-Annually) | 1.54% (Annually) | 2/15/2031 | EUR | 299,505 | (28,768) | — | (28,768) |
6M EUR EURIBOR (Semi-Annually) | 1.56% (Annually) | 2/15/2031 | EUR | 299,505 | (28,274) | — | (28,274) |
6M EUR EURIBOR (Semi-Annually) | 1.55% (Annually) | 2/15/2031 | EUR | 238,347 | (22,658) | — | (22,658) |
6M EUR EURIBOR (Semi-Annually) | 1.82% (Annually) | 2/15/2031 | EUR | 238,235 | (17,773) | — | (17,773) |
6M EUR EURIBOR (Semi-Annually) | 1.52% (Annually) | 2/15/2031 | EUR | 205,955 | (20,031) | — | (20,031) |
6M EUR EURIBOR (Semi-Annually) | 1.65% (Annually) | 2/15/2031 | EUR | 176,431 | (15,475) | — | (15,475) |
6M EUR EURIBOR (Semi-Annually) | 1.59% (Annually) | 2/15/2031 | EUR | 149,666 | (13,758) | — | (13,758) |
6M EUR EURIBOR (Semi-Annually) | 1.69% (Annually) | 2/15/2031 | EUR | 60,187 | (5,087) | — | (5,087) |
6M EUR EURIBOR (Semi-Annually) | 1.64% (Annually) | 2/15/2031 | EUR | 58,417 | (5,134) | — | (5,134) |
2.00% (Annually) | 1-Day USD SOFR (Annually) | 3/18/2032 | USD | 2,112,000 | 297,008 | 16,042 | 280,966 |
0.29% (At Maturity) | 1-Day JPY TONAR (At Maturity) | 4/7/2032 | JPY | 89,907,875 | 9,951 | — | 9,951 |
0.30% (At Maturity) | 1-Day JPY TONAR (At Maturity) | 4/7/2032 | JPY | 180,958,238 | 19,555 | — | 19,555 |
0.31% (Annually) | 1-Day JPY TONAR (Annually) | 4/7/2032 | JPY | 167,708,887 | 16,724 | — | 16,724 |
0.39% (Annually) | 1-Day JPY TONAR (Annually) | 5/2/2032 | JPY | 58,850,500 | 2,737 | — | 2,737 |
0.40% (Annually) | 1-Day JPY TONAR (Annually) | 5/2/2032 | JPY | 4,083,500 | 183 | — | 183 |
0.42% (Annually) | 1-Day JPY TONAR (Annually) | 6/14/2032 | JPY | 242,517,466 | 8,445 | — | 8,445 |
6M EUR EURIBOR (Semi-Annually) | 2.44% (Annually) | 7/14/2032 | EUR | 157,000 | (4,387) | — | (4,387) |
9.25% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 9/17/2032 | MXN | 1,824,000 | 172 | — | 172 |
3.73% (Annually) | 1-Day USD SOFR (Annually) | 10/25/2033 | USD | 3,508,000 | (5,410) | — | (5,410) |
3.01% (Annually) | 1-Day EUR ESTR (Annually) | 10/26/2033 | EUR | 560,000 | (9,297) | — | (9,297) |
2.80% (Annually) | 1-Day EUR ESTR (Annually) | 10/27/2033 | EUR | 270,000 | 181 | — | 181 |
2.79% (Annually) | 1-Day EUR ESTR (Annually) | 10/30/2033 | EUR | 260,000 | 499 | 1,281 | (782) |
2.71% (Annually) | 1-Day EUR ESTR (Annually) | 10/31/2033 | EUR | 540,000 | 4,679 | — | 4,679 |
1.52% (Annually) | 1-Day USD SOFR (Annually) | 2/15/2047 | USD | 3,125,000 | 1,031,473 | 55,631 | 975,842 |
1.73% (Annually) | 1-Day USD SOFR (Annually) | 2/15/2047 | USD | 2,710,000 | 800,617 | 35,258 | 765,359 |
1-Day USD SOFR (Annually) | 1.63% (Annually) | 5/15/2047 | USD | 310,000 | (98,020) | (1,240) | (96,780) |
1.65% (Annually) | 1-Day USD SOFR (Annually) | 8/15/2047 | USD | 6,080,000 | 1,911,675 | 378,244 | 1,533,431 |
2.60% (Annually) | 1-Day USD SOFR (Annually) | 2/15/2048 | USD | 841,000 | 131,894 | 57,385 | 74,509 |
2.62% (Annually) | 1-Day USD SOFR (Annually) | 2/15/2048 | USD | 2,503,000 | 390,950 | 75,104 | 315,846 |
3.05% (Annually) | 1-Day USD SOFR (Annually) | 2/15/2048 | USD | 1,807,000 | 152,086 | 55,493 | 96,593 |
2.50% (Annually) | 1-Day USD SOFR (Annually) | 4/21/2052 | USD | 2,600,000 | 443,383 | 5,825 | 437,558 |
0.86% (Annually) | 1-Day JPY TONAR (Annually) | 5/9/2052 | JPY | 76,020,029 | 34,554 | — | 34,554 |
Interest Rate Swap Contracts outstanding at October 31, 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) | |
0.81% (Annually) | 1-Day JPY TONAR (Annually) | 5/30/2052 | JPY | 9,969,500 | $ 5,396 | $ — | $ 5,396 |
0.82% (Annually) | 1-Day JPY TONAR (Annually) | 5/30/2052 | JPY | 20,918,500 | 11,063 | — | 11,063 |
0.83% (Annually) | 1-Day JPY TONAR (Annually) | 5/30/2052 | JPY | 20,918,500 | 10,656 | — | 10,656 |
0.87% (Annually) | 1-Day JPY TONAR (Annually) | 5/30/2052 | JPY | 20,918,500 | 9,285 | — | 9,285 |
3.24% (Annually) | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 10/20/2072 | GBP | 377,000 | (40,348) | 4,983 | (45,331) |
Total | $7,820,571 | $662,835 | $7,157,736 |
Interest Rate Swap Contracts outstanding at October 31, 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 | 4/1/2023 | CLP | 357,254,000 | $ 18,418 | $— | $ 18,418 |
1-Day U.S. Consumer Price Index (Semi-Annually) | 1.65% (Semi-Annually) | Bank of America | 5/28/2023 | CLP | 357,254,000 | (33,997) | — | (33,997) |
1-Day BRL BZDIO (At Maturity) | 11.69% (At Maturity) | Citibank | 1/2/2025 | BRL | 266,000 | (133) | — | (133) |
1-Day BRL BZDIO (At Maturity) | 11.65% (At Maturity) | JPMorgan Chase | 1/2/2025 | BRL | 190,918 | (132) | — | (132) |
6.70% (Semi-Annually) | 1-Day CLP CLICP (Semi-Annually) | JPMorgan Chase | 12/21/2027 | CLP | 39,157,000 | — | — | — |
Total | $(15,844) | $— | $(15,844) |
Exchange Traded
Reference Obligation | Fixed Deal Pay Rate | Maturity Date | Counterparty | Notional Amount | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
Markit CDX North America Investment Grade Index Series 39 (Pay Quarterly) | 1.00% | 12/20/2027 | Morgan Stanley | USD | 5,818,000 | $ (32,810) | $26,246 | $ (59,056) |
Total | $(32,810) | $26,246 | $(59,056) |
Credit Default Swap Contracts outstanding - Sell Protection as of October 31, 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 39 (Pay Quarterly) | 0.90% | 1.00% | 12/20/2027 | USD | 100,770,000 | $592,579 | $ (116,306) | $708,885 |
Markit iTraxx Europe Main Index Series 38 (Pay Quarterly) | 5.56% | 5.00% | 12/20/2027 | EUR | 116,000 | (1,815) | (2,807) | 992 |
Total | $590,764 | $(119,113) | $709,877 |
(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 October 31, 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 | $ 2,324 | $ 3,586 | $(1,262) |
Abbott Laboratories, 3.40%, Due: 11/30/2023 (Pay Quarterly) | 1.00% | 6/20/2027 | JPMorgan Chase | USD | 129,278 | (3,628) | (2,791) | (837) |
Federal Republic of Brazil, 4.25%, Due: 01/07/2025 (Pay Quarterly) | 1.00% | 12/20/2027 | Barclays | USD | 413,000 | 30,876 | 28,098 | 2,778 |
Republic of Chile, 3.24%, Due: 02/06/2028 (Pay Quarterly) | 1.00% | 12/20/2027 | Barclays | USD | 79,000 | 1,775 | 1,116 | 659 |
Republic of Colombia, 10.38%, Due: 01/28/2033 (Pay Quarterly) | 1.00% | 12/20/2027 | Citibank | USD | 93,334 | 9,817 | 6,466 | 3,351 |
Republic of Indonesia, 3.70%, Due: 01/08/2022 (Pay Quarterly) | 1.00% | 12/20/2027 | Goldman Sachs | USD | 117,000 | 1,843 | 887 | 956 |
Republic of Philippines, 10.63%, Due: 03/16/2025 (Pay Quarterly) | 1.00% | 12/20/2027 | Goldman Sachs | USD | 99,269 | 1,071 | 59 | 1,012 |
United Mexican States, 4.15%, Due: 03/28/2027 (Pay Quarterly) | 1.00% | 12/20/2027 | Morgan Stanley | USD | 34,530 | 918 | 815 | 103 |
Total | $44,996 | $38,236 | $ 6,760 |
Credit Default Swap Contracts outstanding - Sell Protection at October 31, 2022: Over the Counter | |||||||||
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Counterparty | Notional Amount | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
Petroles Mexicanos, 6.63% 06/15/2035 (Pay Quarterly) | 1.00% | 12/20/2024 | Goldman Sachs | USD | 18,000 | $ (1,361) | $ (1,631) | $270 | |
Total | $(1,361) | $(1,631) | $270 |
Inflation Swap Contracts outstanding at October 31, 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) | |
3.97% (At Maturity) | 1-Day U.S. Consumer Price Index (At Maturity) | 11/18/2023 | USD | 1,170,000 | $ 41,247 | $ (5,484) | $ 46,731 |
1-Day U.S. Consumer Price Index (At Maturity) | 3.37% (At Maturity) | 11/18/2026 | USD | 1,170,000 | (34,007) | 21,713 | (55,720) |
1-Day U.S. Consumer Price Index (At Maturity) | 2.60% (At Maturity) | 10/27/2052 | USD | 587,600 | (1,281) | — | (1,281) |
Total | $ 5,959 | $16,229 | $(10,270) |
Morningstar Total Return Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 30,732,041 | $ — | $ 30,732,041 |
Corporate Bonds | — | 144,043,536 | 105,075 | 144,148,611 |
Foreign Issuer Bonds | — | 45,331,212 | — | 45,331,212 |
Mortgage-Backed Securities | — | 225,054,935 | — | 225,054,935 |
Municipal Bonds | — | 2,082,558 | — | 2,082,558 |
Term Loans | — | 1,123,983 | — | 1,123,983 |
U.S. Government Obligations | — | 80,710,562 | — | 80,710,562 |
Investment Companies | 170,373,186 | — | — | 170,373,186 |
Short-Term Investments | 26,532,563 | 5,978,352 | — | 32,510,915 |
Purchased Options | 87,320 | 1,036,487 | — | 1,123,807 |
Total Assets – Investments at value | $196,993,069 | $536,093,666 | $105,075 | $733,191,810 |
Liabilities: | ||||
Mortgage-Backed Securities | $ — | $ (19,637,877) | $ — | $ (19,637,877) |
U.S. Government Obligations | — | (57,259) | — | (57,259) |
Total Liabilities – Investments at value | $ — | $ (19,695,136) | $ — | $ (19,695,136) |
Net Investments | $196,993,069 | $516,398,530 | $105,075 | $713,496,674 |
Morningstar Total Return Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Futures Contracts | $ 807,509 | $ — | $— | $ 807,509 |
Forward Foreign Currency Exchange Contracts | — | 504,137 | — | 504,137 |
Swap Agreements | — | 9,316,393 | — | 9,316,393 |
Total Assets - Derivative Financial Instruments | $ 807,509 | $ 9,820,530 | $— | $10,628,039 |
Liabilities: | ||||
Futures Contracts | $(5,464,072) | $ — | $— | $ (5,464,072) |
Forward Foreign Currency Exchange Contracts | — | (445,738) | — | (445,738) |
Written Options | (314,888) | (1,629,875) | — | (1,944,763) |
Swap Agreements | — | (904,118) | — | (904,118) |
Total Liabilities - Derivative Financial Instruments | $(5,778,960) | $(2,979,731) | $— | $ (8,758,691) |
Net Derivative Financial Instruments | $(4,971,451) | $ 6,840,799 | $— | $ 1,869,348 |
Par | Value | ||
Municipal Bonds – 91.0% | |||
Alabama – 2.7% | |||
Alabama State Corrections Institution Finance Authority Revenue Bonds, 5.25%, 7/01/47 | $ 500,000 | $ 509,567 | |
Black Belt Energy Gas District Gas Prepay Revenue Bonds, Series A-1, Project No. 4, | |||
4.00%, 6/01/24 | 500,000 | 493,686 | |
4.00%, 6/01/25 | 990,000 | 968,244 | |
Black Belt Energy Gas District Gas Prepay Revenue Bonds, Series A-1, Project No. 5, 4.00%, 10/01/26(a)(b)(c) | 525,000 | 504,234 | |
Black Belt Energy Gas District Gas Supply Revenue Refunding Bonds, 4.00%, 12/01/31(a)(b)(c) | 500,000 | 460,929 | |
Black Belt Energy Gas District Project Variable Revenue Bonds, Series B-2, (SIFMA Municipal Swap Index Yield + 0.65%), 3.03%, 10/01/27(a)(c) | 250,000 | 233,374 | |
Black Belt Energy Gas District Revenue Bonds, Project No. 7, 4.00%, 12/01/26(a)(b)(c) | 2,110,000 | 2,031,094 | |
Jefferson County Sewer Warrants Senior Lien Revenue Bonds, Series A (AGM Insured), 5.50%, 10/01/53 | 300,000 | 308,556 | |
Lower Alabama Gas District Gas Project Revenue Bonds, 4.00%, 12/01/25(a)(b)(c) | 500,000 | 485,510 | |
Mobile Industrial Development Board PCR Bonds, Alabama Power Company Barry Plant Project, 1.00%, 6/26/25(a)(b)(c) | 1,000,000 | 929,389 | |
Southeast Alabama State Gas Supply District Revenue Bonds, Series A, Project No. 2, 4.00%, 6/01/24(a)(b)(c) | 600,000 | 591,798 | |
Southeast Energy Authority Commodity Supply Revenue Bonds, Series B-1, Project No. 4, 5.00%, 8/01/28(a)(b)(c) | 150,000 | 147,681 |
Par | Value | ||
Alabama (Continued) | |||
Tuscaloosa County IDA Gulf Opportunity Zone Revenue Refunding Bonds, Series A, Hunt Refining Project, 5.25%, 5/01/44(d) | $410,000 | $ 333,192 | |
University of South Alabama University Revenue Bonds (BAM Insured), 5.00%, 4/01/27 | 375,000 | 394,564 | |
University of West Alabama University Revenue Refunding Bonds (AGM Insured), 5.00%, 1/01/27 | 505,000 | 523,525 | |
8,915,343 | |||
Arizona – 1.1% | |||
Arizona State Industrial Development Authority Education Revenue Bonds, Series B, Jerome Facilities Project, Social Bonds, | |||
4.00%, 7/01/51 | 175,000 | 124,685 | |
4.00%, 7/01/61 | 250,000 | 168,472 | |
Chandler IDA Industrial Development Variable Revenue Bonds (AMT), Intel Corp., Project, 2.70%, 8/14/23(a)(b)(c) | 500,000 | 493,748 | |
Maricopa County IDA Revenue Refunding Bonds, Banner Health Obligation Group, 5.00%, 1/01/27 | 475,000 | 500,804 | |
Phoenix Civic Improvement Corp., Airport Senior Lien Revenue Refunding Bonds (AMT), | |||
5.00%, 7/01/28 | 490,000 | 492,256 | |
5.00%, 7/01/30 | 250,000 | 250,738 | |
Pima County IDA Education Revenue Facility Revenue Bonds, Paideia Academies Project, 6.13%, 7/01/45(d) | 240,000 | 228,287 | |
Pima County IDA Education Revenue Refunding Bonds, Series A, 4.00%, 12/15/24(d) | 390,000 | 381,314 |
Par | Value | ||
Arizona (Continued) | |||
Salt River Project Agricultural Improvement & Power District Electric Revenue Bonds, Salt River Project, 5.00%, 1/01/32 | $ 400,000 | $ 434,787 | |
Salt River Project Agricultural Improvement & Power District Electric System Revenue Refunding Bonds, Series A, 5.00%, 12/01/45 | 500,000 | 517,017 | |
3,592,108 | |||
Arkansas – 1.1% | |||
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(a)(b)(c) | 3,000,000 | 2,918,975 | |
Bentonville Sales & Use Tax Revenue Refunding Bonds, Series B, 1.05%, 11/01/46 | 560,000 | 538,001 | |
3,456,976 | |||
California – 7.9% | |||
Anaheim Housing & Public Improvement Authority Revenue Bonds, Series A, 5.00%, 10/01/50 | 900,000 | 917,889 | |
Anaheim Public Financing Authority Lease Revenue Refunding Bonds, Series A, Prerefunded, 5.00%, 5/01/24(e) | 250,000 | 256,736 | |
Bay Area Toll Authority Toll Bridge Variable Revenue Bonds, San Francisco Bay Area, (SIFMA Municipal Swap Index Yield + 0.90%), 3.28%, 5/01/23(a)(c) | 700,000 | 700,629 | |
Bay Area Toll Bridge Authority Variable Revenue Refunding Bonds, San Francisco Bay, | |||
(SIFMA Municipal Swap Index Yield + 0.28%), 2.66%, 4/01/24(a)(c) | 250,000 | 248,475 | |
(SIFMA Municipal Swap Index Yield + 0.45%), 2.83%, 4/01/26(a)(c) | 2,000,000 | 1,965,884 |
Par | Value | ||
California (Continued) | |||
California HFA Municipal Certificates Revenue Bonds, Series 2, Class A, 4.00%, 3/20/33 | $ 238,802 | $ 225,853 | |
California PFA Revenue Refunding Bonds, Henry Mayo Newhall Hospital, 5.00%, 10/15/47 | 580,000 | 547,099 | |
California State GO Unlimited Bonds, 4.25%, 9/01/52 | 125,000 | 116,763 | |
California State GO Unlimited Refunding Bonds, | |||
4.00%, 10/01/37 | 300,000 | 291,067 | |
4.00%, 11/01/37 | 1,400,000 | 1,358,335 | |
5.00%, 4/01/42 | 880,000 | 935,317 | |
California State Health Facilities Financing Authority Revenue Bonds, City of Hope Obligated Group, 5.00%, 11/15/49 | 500,000 | 477,377 | |
California State Health Facilities Financing Authority Revenue Bonds, Series A, Adventist Health System/West, 5.00%, 3/01/25 | 2,720,000 | 2,727,190 | |
California State Health Facilities Financing Authority Revenue Refunding Bonds, Cedars Sinai Health System, 5.00%, 8/15/51 | 550,000 | 558,375 | |
California State Infrastructure & Economic Development Bank National Charter Equitable School Revolving Fund Revenue Bonds, 5.00%, 11/01/57 | 100,000 | 97,831 | |
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 | 1,294,989 | |
California State Municipal Finance Authority Refunding COPS, Series A, Palomar Health (AGM Insured), 11/01/52(f) | 110,000 | 108,784 |
Par | Value | ||
California (Continued) | |||
California State Municipal Finance Authority Revenue Bonds, Charter School John Adams Academies-Lincoln Project, 5.00%, 10/01/57(d) | $ 330,000 | $ 262,744 | |
California State Municipal Finance Authority Revenue Refunding Bonds, Series A, Eisenhower Medical Center, 5.00%, 7/01/25 | 650,000 | 661,346 | |
California State Municipal Finance Authority Senior Living Revenue Bonds, Mt. San Antonio Garden, 2.12%, 11/15/26 | 250,000 | 226,666 | |
California State Municipal Finance Authority Student Housing Revenue Bonds, CHF-Davis I, LLC-West Village, 5.00%, 5/15/36 | 1,130,000 | 1,099,258 | |
California State Municipal Finance Authority Student Housing Revenue Bonds, Series A-P3, Claremont Colleges Project, 5.00%, 7/01/30(d) | 320,000 | 309,691 | |
California State Municipal Finance Authority Student Housing Revenue Bonds, UCR North District Phase 1 (BAM Insured), 5.00%, 5/15/28 | 500,000 | 517,133 | |
California State School Finance Authority Charter School Revenue Bonds, Series A, John Adams Academies, 5.00%, 7/01/52(d) | 520,000 | 433,319 | |
California State University Systemwide Revenue Bonds, Series C, 4.00%, 11/01/45 | 200,000 | 175,336 | |
California Statewide Communities Development Authority Revenue Bonds, Lancer Educational Standard Housing Project, 5.00%, 6/01/34(d) | 375,000 | 352,345 | |
California Statewide Communities Development Authority Revenue Bonds, Loma Linda University Medical, 5.50%, 12/01/58(d) | 500,000 | 467,130 |
Par | Value | ||
California (Continued) | |||
California Statewide Communities Development Authority Revenue Bonds, Series A, Enloe Medical Center (AGM Insured), 8/15/52(f) | $450,000 | $445,009 | |
California Statewide Communities Development Authority Revenue Bonds, Series A, Loma Linda University Medical Center, 5.25%, 12/01/56(d) | 250,000 | 227,028 | |
California Statewide Communities Development Authority Special Assessment Bonds, Statewide Community Infrastructure Program, 5.00%, 9/02/34 | 100,000 | 101,635 | |
California Tobacco Securitization Agency Tobacco Settlement Senior Revenue Refunding Bonds, Series A, 4.00%, 6/01/40 | 300,000 | 258,586 | |
Cathedral City Redevelopment Agency Successor Agency Tax Allocation Revenue Refunding Bonds, Merged Redevelopment Project Area (BAM Insured), 4.00%, 8/01/26 | 250,000 | 251,733 | |
Compton Community Redevelopment Agency Successor Agency Tax Allocation Revenue Refunding Bonds, Series A (AGM Insured), 5.00%, 8/01/42 | 250,000 | 249,521 | |
CSCDA Community Improvement Authority Essential Housing Mezzanine Lien Revenue Bonds, City of Orange, 4.00%, 3/01/57(d) | 200,000 | 126,476 | |
Foothill Eastern Transportation Corridor Agency Toll Road Junior Lien Revenue Bonds, Series C, 5.00%, 1/15/26 | 200,000 | 202,545 | |
Foothill Eastern Transportation Corridor Agency Toll Road Junior Lien Revenue Refunding Bonds, Series C, 4.00%, 1/15/43 | 250,000 | 206,950 |
Par | Value | ||
California (Continued) | |||
Fresno Airport Revenue Refunding Bonds, Series B (AMT) (BAM Insured), 5.00%, 7/01/28 | $ 390,000 | $ 391,491 | |
Los Angeles Department of Airports Airport Subordinate Revenue Bonds (AMT), Los Angeles International Airport, 5.00%, 5/15/34 | 510,000 | 512,540 | |
Los Angeles Department of Airports Airport Subordinate Revenue Bonds, Series C (AMT), Los Angeles International Airport, 5.00%, 5/15/29 | 1,000,000 | 1,031,546 | |
Mesa Water District COPS, 4.00%, 3/15/39 | 300,000 | 284,705 | |
Newman-Crows Landing Unified School District GO Unlimited CABS, 0.00%, 8/01/25(g) | 250,000 | 223,813 | |
Port of Oakland Intermediate Lien Revenue Refunding Bonds (AMT), 5.00%, 11/01/29 | 250,000 | 263,805 | |
Rocklin Community Facilities District No. 10 Special Tax Bonds, 5.00%, 9/01/34 | 150,000 | 151,543 | |
Sacramento County Sanitation Districts Financing Authority Revenue Refunding Bonds, Series A, 5.00%, 12/01/44 | 500,000 | 502,033 | |
Sacramento Railyards Community Facilities District No. 2018 Special Tax Bonds, 5.25%, 9/01/47(d) | 550,000 | 509,252 | |
San Diego County Regional Airport Authority Subordinate Revenue Refunding Bonds, Series A, 4.00%, 7/01/37 | 300,000 | 269,174 | |
San Diego County Regional Airport Authority Subordinate Revenue Refunding Bonds, Series B (AMT), 5.00%, 7/01/39 | 525,000 | 518,853 | |
San Francisco City & County Airports Commission International Airport Revenue Bonds, Series A (AMT), 5.00%, 5/01/44 | 250,000 | 242,566 |
Par | Value | ||
California (Continued) | |||
Sunnyvale Financing Authority Lease Revenue Bonds, Green Bonds, Civic Center Project, 4.00%, 4/01/34 | $ 865,000 | $ 865,459 | |
Susanville Natural Gas Revenue Refunding Bonds, Natural Gas Enterprise (AGM Insured), 3.00%, 6/01/26 | 595,000 | 581,670 | |
Tobacco Securitization Authority of Southern California Tobacco Settlement Revenue Refunding Bonds, San Diego Asset Securities, 5.00%, 6/01/35 | 100,000 | 101,005 | |
25,852,499 | |||
Colorado – 3.1% | |||
Aurora Crossroads Metropolitan District No. 2 Senior Lien GO Limited Bonds, Series A, 5.00%, 12/01/40 | 500,000 | 435,482 | |
Colorado Educational & Cultural Authority Revenue Refunding Bonds, Prospect Ridge Academy Project (Moral Obligation Insured), | |||
5.00%, 3/15/25 | 485,000 | 498,465 | |
5.00%, 3/15/26 | 510,000 | 528,851 | |
5.00%, 3/15/29 | 590,000 | 625,468 | |
5.00%, 3/15/30 | 310,000 | 329,985 | |
5.00%, 3/15/35 | 590,000 | 614,903 | |
Colorado High Performance Transportation Enterprise Revenue Bonds, C-470 Express Lane, 5.00%, 12/31/56 | 1,000,000 | 930,510 | |
Colorado State Bridge Enterprise Revenue Bonds (AMT), Central 70 Project, 4.00%, 12/31/24 | 630,000 | 629,178 | |
Colorado State COPS, | |||
6.00%, 12/15/40 | 1,000,000 | 1,144,367 | |
6.00%, 12/15/41 | 500,000 | 571,214 | |
Colorado State COPS, Series A, | |||
4.00%, 12/15/35 | 1,250,000 | 1,183,387 | |
4.00%, 12/15/36 | 200,000 | 188,279 |
Par | Value | ||
Colorado (Continued) | |||
Denver City & County Airport System Subordinate Revenue Refunding Bonds, Series A (AMT), 5.25%, 12/01/43 | $500,000 | $ 497,365 | |
Denver Convention Center Hotel Authority Senior Revenue Refunding Bonds, 5.00%, 12/01/40 | 250,000 | 239,630 | |
E-470 Public Highway Authority Senior Revenue Refunding Bonds, Series A, 5.00%, 9/01/40 | 810,000 | 804,209 | |
Park Creek Metropolitan District Revenue Refunding Bonds, Series A (NATL, IBC Insured), 5.00%, 12/01/45 | 500,000 | 507,184 | |
Sand Creek Metropolitan District GO Limited Refunding Bonds, Series A (AGM Insured), 4.00%, 12/01/23 | 180,000 | 181,124 | |
University of Colorado Enterprise Variable Revenue Bonds, Series C, Green Bond, 2.00%, 10/15/24(a)(b)(c) | 250,000 | 241,403 | |
10,151,004 | |||
Connecticut – 1.6% | |||
Bridgeport GO Unlimited Bonds, Series A, 5.00%, 8/01/27 | 275,000 | 291,492 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Forward Delivery, Stamford Hospital Issue, 4.00%, 7/01/42 | 250,000 | 206,188 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series B-1, 5.00%, 1/01/25(a)(b)(c) | 500,000 | 513,489 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series F, Masonicare Issue, 5.00%, 7/01/27 | 220,000 | 220,131 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series K, Sacred Heart University, 5.00%, 7/01/27 | 400,000 | 419,251 |
Par | Value | ||
Connecticut (Continued) | |||
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, University of Hartford, | |||
5.00%, 7/01/24 | $ 240,000 | $ 239,979 | |
5.00%, 7/01/25 | 260,000 | 259,680 | |
5.00%, 7/01/31 | 500,000 | 487,372 | |
4.00%, 7/01/39 | 120,000 | 94,664 | |
4.00%, 7/01/49 | 100,000 | 70,797 | |
Connecticut State HFA Mortgage Finance Program Variable Revenue Bonds, Series A-4, Social Bonds, (SIFMA Municipal Swap Index Yield + 0.30%), 2.68%, 11/15/24(a)(c) | 1,000,000 | 994,982 | |
Hamden GO Unlimited Refunding Bonds, Series A (BAM Insured), 5.00%, 8/01/24 | 500,000 | 511,852 | |
Hamden Revenue Refunding Bonds, Whitney Center Project, 5.00%, 1/01/40 | 125,000 | 104,627 | |
Hartford County Metropolitan District GO Unlimited Bonds, 5.00%, 7/15/35 | 750,000 | 792,800 | |
5,207,304 | |||
Delaware – 0.3% | |||
Delaware River & Bay Authority Revenue Refunding Bonds, 5.00%, 1/01/34 | 530,000 | 573,067 | |
Kent County Student Housing & Dining Facilities Revenue Bonds, CHF-Dover LLC-Delaware State University Project, | |||
5.00%, 7/01/32 | 250,000 | 235,695 | |
5.00%, 7/01/48 | 100,000 | 83,225 | |
891,987 | |||
District of Columbia – 1.3% | |||
District of Columbia Revenue Bonds, Ingleside Rock Creek Project, 5.00%, 7/01/52 | 400,000 | 315,828 | |
District of Columbia Revenue Bonds, KIPP DC Project, 4.00%, 7/01/39 | 100,000 | 86,279 |
Par | Value | ||
District of Columbia (Continued) | |||
District of Columbia Revenue Refunding Bonds, National Public Radio, Prerefunded, 4.00%, 4/01/26(e) | $ 250,000 | $ 255,197 | |
District of Columbia University Revenue Refunding Bonds, Georgetown University, 5.00%, 4/01/29 | 350,000 | 361,816 | |
District of Columbia Water & Sewer Authority Public Utility Subordinate Lien Revenue Bonds, Series A, Prerefunded, 5.00%, 10/01/23(e) | 650,000 | 660,234 | |
Metropolitan Washington Airports Authority Airport System Revenue Refunding Bonds, Series A (AMT), 5.00%, 10/01/46 | 500,000 | 488,307 | |
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 | 317,913 | |
Metropolitan Washington Airports Authority System Revenue Refunding Bonds, Series A (AMT), | |||
5.00%, 10/01/25 | 1,000,000 | 1,027,734 | |
5.00%, 10/01/43 | 500,000 | 491,610 | |
Washington Metropolitan Area Transit Authority Gross Revenue Bonds, 5.00%, 7/01/43 | 300,000 | 306,338 | |
4,311,256 | |||
Florida – 3.6% | |||
Alachua County Health Facilities Authority Revenue Bonds, Shands Teaching Hospital & Clinics, 5.00%, 12/01/44 | 500,000 | 476,094 | |
Broward County Airport System Revenue Bonds, Series A (AMT), 5.00%, 10/01/36 | 750,000 | 742,747 | |
Capital Trust Agency Sustainability Revenue Bonds, The Marie, 4.00%, 6/15/24(d) | 105,000 | 102,254 |
Par | Value | ||
Florida (Continued) | |||
Central Florida Expressway Authority Senior Lien Revenue Refunding Bonds, 5.00%, 7/01/42 | $ 350,000 | $ 357,788 | |
Collier County Water-Sewer District Revenue Bonds, 4.00%, 7/01/40 | 500,000 | 467,462 | |
Davie Educational Facilities Revenue Bonds, Series B, Nova Southeastern University Project , Prerefunded, 5.00%, 4/01/23(e) | 250,000 | 251,854 | |
Florida State Board of Education Public Education GO Unlimited Refunding Bonds, Capital Outlay, Series E, 5.00%, 6/01/31 | 1,000,000 | 1,038,035 | |
Florida State Municipal Power Agency Revenue Refunding Bonds, Series A, 5.00%, 10/01/31 | 300,000 | 313,207 | |
Greater Orlando Aviation Authority Airport Facilities Revenue Bonds, Series A (AMT), 5.00%, 10/01/40 | 500,000 | 493,531 | |
JEA Electric System Revenue Refunding Bonds, Series Three A, 4.00%, 10/01/37 | 1,395,000 | 1,276,946 | |
Lee County Local Optional Gas TRB, 5.25%, 8/01/49 | 355,000 | 363,757 | |
Lee Memorial Health System Hospital Revenue Refunding Bonds, Series A-1, 5.00%, 4/01/44 | 600,000 | 586,704 | |
Leon County School District Sales TRB, 4.00%, 9/01/26 | 800,000 | 804,486 | |
Miami-Dade County Aviation Revenue Bonds, Series A (AMT), 5.00%, 10/01/49 | 250,000 | 236,995 | |
Miami-Dade County Aviation Revenue Refunding Bonds, Series A (AMT), 5.00%, 10/01/33 | 500,000 | 497,865 | |
Miami-Dade County COPS, Series A, 5.00%, 5/01/24(a)(b)(c) | 300,000 | 306,581 |
Par | Value | ||
Florida (Continued) | |||
Miami-Dade County Educational Facilities Authority Revenue Refunding Bonds, Series A, University of Miami, 5.00%, 4/01/30 | $250,000 | $ 255,036 | |
Osceola County Florida Transportation Revenue Refunding CABS, Series A-2, | |||
0.00%, 10/01/25(g) | 125,000 | 107,761 | |
0.00%, 10/01/26(g) | 275,000 | 224,323 | |
0.00%, 10/01/27(g) | 360,000 | 277,542 | |
Sarasota County Public Hospital District Revenue Bonds, Sarasota Memorial Hospital Project, 5.00%, 7/01/52 | 250,000 | 241,581 | |
Tampa Hospital Revenue Bonds, H. Lee Moffitt Cancer Center, | |||
5.00%, 7/01/25 | 150,000 | 154,408 | |
5.00%, 7/01/26 | 125,000 | 129,455 | |
5.00%, 7/01/27 | 125,000 | 129,933 | |
Village Community Development District No. 13 Special Assessment Bonds, Limited Offering, 2.62%, 5/01/24 | 245,000 | 235,651 | |
Village Community Development District No. 14 Special Assessment Revenue Bonds, 5.50%, 5/01/53 | 240,000 | 235,820 | |
Volusia County Educational Facilities Authority Revenue Refunding Bonds, Embry-Riddle Aeronautical, 5.00%, 10/15/44 | 500,000 | 504,604 | |
Wildwood Utility Dependent District Senior Lien Revenue Bonds, South Sumter Utility Project (BAM Insured), 5.00%, 10/01/41 | 465,000 | 483,194 | |
Wildwood Utility Dependent District Subordinate Revenue Bonds, South Sumter Utility Project (BAM Insured), 5.00%, 10/01/36 | 400,000 | 428,571 | |
11,724,185 |
Par | Value | ||
Georgia – 2.3% | |||
Atlanta Airport Passenger Facility Charge Subordinate Revenue Bonds, Series C, 5.00%, 7/01/40 | $365,000 | $380,294 | |
Atlanta Development Authority Senior Lien Revenue Bonds, Series A-1, 5.00%, 7/01/30 | 200,000 | 205,841 | |
Bartow County Development Authority Revenue Refunding Bonds, Georgia Power Company Plant Bowen Project, 1.80%, 9/01/29(b)(c) | 250,000 | 214,130 | |
Bartow County Development Authority Variable Revenue Refunding Bonds, Georgia Power Company Plant Bowen Project, 2.75%, 3/15/23(a)(b)(c) | 500,000 | 497,721 | |
Brookhaven Development Authority Revenue Bonds, Children's Healthcare Of Atlanta, 5.00%, 7/01/38 | 350,000 | 358,156 | |
Fulton County Development Authority Transportation Corp., Toll Revenue Refunding Bonds, Robert W. Woodruff Arts Center, Inc., Project, 5.00%, 3/15/32 | 200,000 | 209,510 | |
Gainesville & Hall County Hospital Authority Revenue Refunding Bonds, Northeast Georgia Health System, Inc., Project, 5.00%, 2/15/37 | 500,000 | 502,329 | |
Glynn-Brunswick Memorial Hospital Authority Revenue Refunding Anticipation Certificates Bonds, Southeast Georgia Health System, 5.00%, 8/01/34 | 530,000 | 530,541 | |
Griffin-Spalding County Hospital Authority Revenue Anticipation Certificates Bonds, Wellstar, 5.00%, 4/01/35 | 150,000 | 152,393 | |
Main Street Natural Gas Inc., Gas Supply Variable Revenue Bonds, Series B, | |||
4.00%, 12/01/23 | 355,000 | 354,639 | |
4.00%, 12/02/24(a)(b)(c) | 100,000 | 99,371 |
Par | Value | ||
Georgia (Continued) | |||
Main Street Natural Gas, Inc. Gas Supply Revenue Bonds, Series A, 4.00%, 9/01/27(a)(b)(c) | $1,000,000 | $ 966,065 | |
Main Street Natural Gas, Inc. Gas Supply Revenue Bonds, Series C, 4.00%, 11/01/27(a)(b)(c)(d) | 1,000,000 | 923,521 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series A, 4.00%, 9/01/23(a)(b)(c) | 370,000 | 369,210 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series B, 5.00%, 6/01/29(a)(b)(c) | 200,000 | 196,215 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Subseries C, 4.00%, 12/01/23(a)(b)(c) | 250,000 | 249,318 | |
Municipal Electric Authority of Georgia Power Revenue Refunding Bonds, Series HH, 5.00%, 1/01/29 | 500,000 | 518,143 | |
Private Colleges & Universities Authority Revenue Refunding Bonds, Series B, Emory University, 4.00%, 9/01/40 | 1,000,000 | 908,397 | |
7,635,794 | |||
Guam – 0.1% | |||
Guam Government Business Privilege Tax Revenue Refunding Bonds, Series F, 4.00%, 1/01/42 | 250,000 | 195,778 | |
Illinois – 8.3% | |||
Chicago Board Of Education GO Unlimited Bonds, Series A, 5.00%, 12/01/38 | 500,000 | 455,342 | |
Chicago City Colleges Capital Appreciation GO Unlimited Bonds (NATL Insured), 0.00%, 1/01/30(g) | 750,000 | 536,851 | |
Chicago GO Unlimited Bonds, Series A, 5.50%, 1/01/49 | 100,000 | 96,642 |
Par | Value | ||
Illinois (Continued) | |||
Chicago Heights Multifamily Variable Revenue Bonds, Olympic Village Apartments Project (FHA Insured/Housing & Urban Development Sector 8 Program), 2.87%, 8/01/25(a)(b)(c) | $ 500,000 | $ 475,690 | |
Chicago Midway Airport Second Lien Revenue Refunding Bonds, Series A (AMT), 5.00%, 1/01/31 | 1,045,000 | 1,046,671 | |
Chicago O'Hare International Airport Passenger Facility Charge Revenue Refunding Bonds (AMT), 5.00%, 1/01/32 | 500,000 | 500,081 | |
Chicago O'Hare International Airport Senior Lien General Revenue Bonds, Series D (AMT), 5.00%, 1/01/26 | 140,000 | 143,214 | |
Chicago O'Hare International Airport Senior Lien Revenue Refunding Bonds (AMT), 5.00%, 1/01/28 | 680,000 | 698,618 | |
Chicago O'Hare International Airport Senior Lien Revenue Refunding Bonds, Series A (AMT), 5.00%, 1/01/31 | 250,000 | 254,880 | |
Chicago Park District GO Limited Tax Refunding Bonds, Series B, | |||
5.00%, 1/01/24 | 175,000 | 177,703 | |
5.00%, 1/01/26 | 395,000 | 398,417 | |
Chicago Special Assessment Refunding Bonds, Lakeshore East Project, 2.87%, 12/01/27(d) | 254,000 | 223,670 | |
Chicago Transit Authority Sales Tax Receipts Revenue Bonds, 5.25%, 12/01/49 | 495,000 | 497,422 | |
Chicago Wastewater Transmission Second Lien Revenue Bonds, 5.00%, 1/01/39 | 500,000 | 481,996 | |
Cook County GO Unlimited Refunding Bonds, Series A, 5.00%, 11/15/25 | 1,000,000 | 1,038,647 | |
Cook County Sales TRB, 5.00%, 11/15/37 | 500,000 | 500,317 |
Par | Value | ||
Illinois (Continued) | |||
Illinois State Finance Authority Revenue Refunding Bonds, Series A, 4.00%, 7/15/39 | $ 250,000 | $ 226,888 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, Bradley Universtiy Project, 4.00%, 8/01/43 | 250,000 | 198,359 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, Lutheran Communities, 5.00%, 11/01/40 | 350,000 | 289,592 | |
Illinois State Finance Authority Variable Revenue Bonds, Series B-2, 5.00%, 11/15/26(a)(b)(c) | 500,000 | 517,295 | |
Illinois State GO Unlimited Bonds, | |||
5.50%, 5/01/25 | 845,000 | 861,550 | |
5.50%, 7/01/26 | 460,000 | 462,091 | |
5.25%, 7/01/28 | 790,000 | 791,448 | |
Illinois State GO Unlimited Bonds, Series B, | |||
5.00%, 3/01/24 | 250,000 | 252,135 | |
5.00%, 10/01/31 | 250,000 | 248,798 | |
Illinois State GO Unlimited Bonds, Series D, 5.00%, 11/01/27 | 1,500,000 | 1,505,244 | |
Illinois State GO Unlimited Refunding Bonds, Series A, 5.00%, 10/01/25 | 110,000 | 110,855 | |
Illinois State GO Unlimited Refunding Bonds, Series B, 5.00%, 10/01/28 | 250,000 | 250,433 | |
Illinois State Housing Development Authority MFH Variable Revenue Bonds, Marshall Field Garden (FNMA LOC), (SIFMA Municipal Swap Index Yield + 1.00%), 3.38%, 5/15/25(a)(c) | 500,000 | 500,489 | |
Illinois State Sales Tax Junior Obligations Revenue Bonds, Series A (BAM Insured), 4.00%, 6/15/34 | 620,000 | 591,434 | |
Illinois State Sales Tax Revenue Refunding Bonds, Subseries D (BAM, TCRS Insured), 3.00%, 6/15/31 | 390,000 | 347,430 |
Par | Value | ||
Illinois (Continued) | |||
Illinois State Sports Facilities Authority State Tax Supported Revenue CABS (AMBAC Insured), 0.00%, 6/15/25(g) | $ 95,000 | $ 84,967 | |
Illinois State Sports Facilities Authority State Tax Supported Revenue Refunding Bonds (AGM Insured), 5.00%, 6/15/27 | 400,000 | 406,011 | |
Illinois State Toll Highway Authority Revenue Bonds, Series A, 5.00%, 1/01/46 | 750,000 | 754,818 | |
Illinois State Toll Highway Authority Senior Revenue Bonds, Series A, 5.00%, 1/01/40 | 500,000 | 512,060 | |
Illinois State Toll Highway Authority Senior Revenue Refunding Bonds, Series A, 5.00%, 1/01/31 | 525,000 | 564,645 | |
Kane, Cook & Dupage Counties, Illinois School District, GO Unlimited Refunding Bonds, Series D, 5.00%, 1/01/28 | 215,000 | 217,267 | |
Metropolitan Pier & Exposition Authority Dedicated Capital Appreciation Tax Revenue Refunding Bonds, Series B, McCormick Project (AGM Insured), 0.00%, 6/15/26(g) | 250,000 | 214,523 | |
Metropolitan Pier & Exposition Authority Revenue Refunding Bonds, McCormick Place Expansion, | |||
4.00%, 12/15/42 | 375,000 | 303,394 | |
4.00%, 6/15/52 | 245,000 | 182,194 | |
Metropolitan Pier & Exposition Authority Revenue Refunding CABS, McCormick Place Expansion, 0.00%, 12/15/35(g) | 150,000 | 72,346 | |
Metropolitan Pier and Exposition Authority Revenue Refunding Bonds, McCormick Place Expansion Project, | |||
5.00%, 6/15/42 | 500,000 | 472,211 | |
5.00%, 6/15/50 | 500,000 | 457,005 |
Par | Value | ||
Illinois (Continued) | |||
Northern University Board of Trustees Revenue Bonds, Auxiliary Facilities System (BAM Insured), | |||
5.00%, 10/01/25 | $ 325,000 | $ 335,006 | |
5.00%, 10/01/26 | 250,000 | 258,797 | |
Peoria County School District No. 150 GO Unlimited Refunding Bonds, Series A (AGM Insured), 4.00%, 12/01/26 | 390,000 | 396,307 | |
Peoria GO Unlimited Refunding Bonds, Series C (AGM Insured), 5.00%, 1/01/27 | 2,000,000 | 2,107,064 | |
Regional Transportation Authority Revenue Bonds, Series A (AGM Insured), 5.75%, 6/01/34 | 750,000 | 841,744 | |
Regional Transportation Authority Revenue Bonds, Series B (NATL Insured), 5.50%, 6/01/27 | 350,000 | 368,539 | |
Sales Tax Securitization Corp., Second Lien Revenue Refunding Bonds, Series A, 4.00%, 1/01/38 | 250,000 | 220,728 | |
Sangamon Logan & Menard Counties Community Unit School District No. 15 GO Unlimited Bonds, Series B (BAM Insured), | |||
5.00%, 12/01/25 | 300,000 | 312,722 | |
4.00%, 12/01/39 | 250,000 | 236,619 | |
Springfield Illinois Electric Senior Lien Revenue Refunding Bonds, 5.00%, 3/01/29 | 590,000 | 605,463 | |
Waukegan City Lake County Water & Sewer System Revenue Refunding Bonds (AGM Insured), | |||
5.00%, 12/30/26 | 200,000 | 211,017 | |
4.00%, 12/30/38 | 500,000 | 461,904 | |
4.00%, 12/30/40 | 500,000 | 455,963 | |
Waukegan GO Unlimited Bonds, Series A (AGM Insured), 5.00%, 12/30/32 | 250,000 | 258,050 |
Par | Value | ||
Illinois (Continued) | |||
Will County Community High School District No. 210 Lincoln-Way Refunding GO Unlimited Bonds (AGM Insured), 4.00%, 1/01/34 | $ 650,000 | $ 617,056 | |
Will County Community School District No. 161 Summit Hill Refunding GO Unlimited Bonds, 4.00%, 1/01/24 | 470,000 | 472,755 | |
27,081,377 | |||
Indiana – 2.5% | |||
Clarksville Sewage Works Revenue BANS, 2.75%, 12/11/23 | 125,000 | 123,227 | |
Fort Wayne Redevelopment Authority Lease Rental Revenue Refunding Bonds, Grand Wayne Center Project (State Intercept Program), 4.00%, 2/01/26 | 760,000 | 772,559 | |
Indiana Bond Bank Revenue CABS, Hamilton Co., Projects, | |||
0.00%, 7/15/25(g) | 450,000 | 405,738 | |
0.00%, 7/15/28(g) | 900,000 | 715,210 | |
0.00%, 1/15/29(g) | 560,000 | 435,096 | |
Indiana Finance Authority Educational Facilities Revenue Refunding Bonds, Series A, Depauw University Project, 5.50%, 7/01/52 | 255,000 | 259,298 | |
Indiana State Finance Authority Variable Revenue Refunding Bonds, Deaconess Health System, (SIFMA Municipal Swap Index Yield + 0.30%), 2.68%, 3/01/27(a)(c) | 1,445,000 | 1,407,075 | |
Knox Middle School Building Corp., Revenue Bonds (State Intercept), 5.00%, 1/15/27 | 440,000 | 466,387 | |
Upland Economic Development Revenue Refunding Bonds, Taylor University Project, 4.00%, 9/01/24 | 570,000 | 571,386 | |
Vinton-Tecumseh School Building Corp. Ad Valorem Property Tax First Mortgage Revenue Bonds (State Intercept), | |||
4.00%, 7/15/26 | 530,000 | 537,361 |
Par | Value | ||
Indiana (Continued) | |||
Vinton-Tecumseh School Building Corp. Ad Valorem Property Tax First Mortgage Revenue Bonds (State Intercept), | |||
4.00%, 1/15/27 | $ 540,000 | $ 548,260 | |
4.00%, 7/15/27 | 550,000 | 559,133 | |
Warrick County, Indiana Environmental Improvement Variable Revenue Bonds (AMT), Vectren Energy Delivery, 0.88%, 9/01/23(a)(b)(c) | 1,000,000 | 976,118 | |
Whiting Environmental Facilities Revenue Refunding Bonds (AMT), BP Products North America, 5.00%, 6/05/26(a)(b)(c) | 290,000 | 294,267 | |
8,071,115 | |||
Kentucky – 1.7% | |||
Kenton County Airport Board Revenue Refunding Bonds, 5.00%, 1/01/32 | 400,000 | 410,074 | |
Kentucky Bond Development Corp. Educational Facilities Revenue Refunding Bonds, Transylvania University Project, 5.00%, 3/01/27 | 155,000 | 161,440 | |
Kentucky State Economic Development Finance Authority Health System Revenue Refunding Bonds, Norton Healthcare, Inc., Series B (NATL Insured), 0.00%, 10/01/24(g) | 280,000 | 258,722 | |
Kentucky State Economic Development Finance Authority Revenue Bonds, Owensboro Health, 5.25%, 6/01/50 | 250,000 | 234,242 | |
Kentucky State Economic Development Finance Authority Revenue Refunding Bonds, Masonic Home Independent Living, 5.00%, 5/15/46 | 100,000 | 78,329 | |
Kentucky State Economic Development Finance Authority Revenue Refunding Bonds, Series B, Owensboro Health, 5.00%, 6/01/40 | 300,000 | 280,992 |
Par | Value | ||
Kentucky (Continued) | |||
Kentucky State Public Energy Authority Gas Supply Revenue Bonds, Series A, 4.00%, 4/01/24(a)(b)(c) | $ 475,000 | $ 469,222 | |
Kentucky State Public Energy Authority Gas Supply Revenue Bonds, Series A-1, 4.00%, 6/01/25(a)(b)(c) | 500,000 | 487,108 | |
Kentucky State Public Energy Authority Revenue Bonds, Series B, Gas Supply, 4.00%, 1/01/25(a)(b)(c) | 650,000 | 639,696 | |
Kentucky State University COPS, Kentucky State University Project (BAM Insured), 5.00%, 11/01/24 | 230,000 | 236,258 | |
Louisville & Jefferson County Metro Government Pollution Control Revenue Refunding Bonds (AMT), Louisville Gas & Electric, 1.35%, 11/01/27 | 1,500,000 | 1,250,326 | |
Louisville & Jefferson County Metropolitan Government Health System Variable Revenue Bonds, Norton Healthcare, Inc., 5.00%, 10/01/26(a)(b)(c) | 1,000,000 | 1,026,438 | |
5,532,847 | |||
Louisiana – 0.8% | |||
East Baton Rouge Parish Sewerage Commission Revenue Refunding Bonds, Series A, | |||
5.00%, 2/01/25 | 475,000 | 492,220 | |
5.00%, 2/01/26 | 100,000 | 105,073 | |
East Baton Rouge Parish Sewerage Commission Variable Revenue Refunding Bonds, Series A, 1.30%, 2/01/28(a)(b)(c) | 500,000 | 408,430 | |
Louisiana Public Facilities Authority Revenue Refunding Bonds, Loyola University Project, | |||
5.00%, 10/01/25 | 250,000 | 253,360 | |
5.00%, 10/01/26 | 215,000 | 218,206 | |
Saint James Parish Variable Revenue Bonds, Nustar Logistics, 5.85%, 6/01/25(a)(b)(c)(d) | 525,000 | 535,145 |
Par | Value | ||
Louisiana (Continued) | |||
Saint John The Baptist Parish Revenue Refunding Bonds, Marathon Oil Corp., Project, 2.00%, 4/01/23(a)(b)(c) | $ 600,000 | $ 594,273 | |
Saint John The Baptist Parish Variable Revenue Refunding Bonds, Marathon Oil Corp., Project, 2.38%, 7/01/26(a)(b)(c) | 125,000 | 113,781 | |
2,720,488 | |||
Maine – 0.4% | |||
Maine Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A, 5.00%, 7/01/27 | 215,000 | 224,694 | |
Maine Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A (State Aid Withholding), 5.00%, 7/01/28 | 650,000 | 680,153 | |
Maine State Finance Authority Student Loan Revenue Refunding Bonds (AMT) (AGM Insured), 5.00%, 12/01/24 | 500,000 | 511,198 | |
1,416,045 | |||
Maryland – 2.5% | |||
Baltimore Convention Center Hotel Revenue Refunding Bonds, Convention Center Hotel, 5.00%, 9/01/39 | 500,000 | 428,254 | |
Department of Transportation Revenue Bonds (AMT), Baltimore Washington International, 4.00%, 8/01/37 | 250,000 | 221,332 | |
Maryland Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Stevenson University Project, 4.00%, 6/01/51 | 325,000 | 245,472 | |
Maryland State Community Development Administration Department Housing Revenue Bonds, Series A, Woodside Gardens, 1.33%, 1/01/24(d) | 2,000,000 | 1,943,619 |
Par | Value | ||
Maryland (Continued) | |||
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 | $ 964,528 | |
Maryland State Economic Development Corp., Revenue Bonds (AMT), Seagirt Marine Terminal Projects, 5.00%, 6/01/44 | 500,000 | 483,824 | |
Maryland State Economic Development Corp., Senior Lien Revenue Bonds, Annapolis Mobility & Resilience, 5.00%, 12/31/42 | 145,000 | 139,558 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Adventist Healthcare Obligated, 5.50%, 1/01/31 | 400,000 | 415,452 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Peninsula Regional Health System, | |||
5.00%, 7/01/24 | 350,000 | 356,572 | |
5.00%, 7/01/27 | 1,320,000 | 1,376,086 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Adventist Healthcare, 4.00%, 1/01/26 | 875,000 | 864,142 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A, Broadmead Issue, 4.00%, 7/01/35 | 285,000 | 261,500 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A, Mercy Medical Center, 4.00%, 7/01/42 | 120,000 | 95,239 | |
Maryland State Health & Higher Educational Facilities Authority Variable Revenue Refunding Bonds, University of Maryland, 5.00%, 7/01/27(a)(b)(c) | 200,000 | 208,427 |
Par | Value | ||
Maryland (Continued) | |||
Montgomery County Housing Opportunities Commission Multifamily & Reconstruction Development Revenue Bonds, Series C (FHA 542 (C) Insured), 2.85%, 1/01/51 | $ 250,000 | $ 158,660 | |
Washington Country Economic Development Revenue Refunding Bonds, Homewood Maryland Obligated Group Project, 4.00%, 5/01/42 | 225,000 | 165,532 | |
8,328,197 | |||
Massachusetts – 2.0% | |||
Development Finance Agency Revenue Refunding Bonds, Lasell University, | |||
4.00%, 7/01/25 | 235,000 | 228,169 | |
4.00%, 7/01/26 | 240,000 | 230,027 | |
Massachusetts Development Finance Agency Revenue Bonds, UMass Boston Student Housing Project, 5.00%, 10/01/48 | 500,000 | 419,706 | |
Massachusetts Port Authority Revenue Bonds, Series E (AMT), 5.00%, 7/01/27 | 365,000 | 377,837 | |
Massachusetts State Consolidated Loan GO Limited Bonds, Series E, 5.25%, 9/01/48 | 500,000 | 518,794 | |
Massachusetts State Department of Transportation Metropolitan Highway System Variable Revenue Refunding Bonds, Series A, 5.00%, 1/01/23(a)(b)(c) | 1,600,000 | 1,604,811 | |
Massachusetts State Development Finance Agency Revenue Refunding Bonds, Series F, Lahey Clinic Obligated Group, 5.00%, 8/15/45 | 250,000 | 246,384 | |
Massachusetts State Development Finance Agency Variable Revenue Refunding Bonds, Partners Healthcare, (SIFMA Municipal Swap Index Yield + 0.50%), 2.88%, 1/26/23(a)(c) | 500,000 | 499,158 |
Par | Value | ||
Massachusetts (Continued) | |||
Massachusetts State Development Financing Agency Variable Revenue Bonds, Partners Healthcare System, (SIFMA Municipal Swap Index Yield + 0.60%), 2.98%, 1/29/26(a)(c)(d) | $1,000,000 | $ 989,536 | |
Massachusetts State GO Limited Refunding Bonds, Series B, 5.00%, 7/01/34 | 1,350,000 | 1,456,964 | |
6,571,386 | |||
Michigan – 2.3% | |||
Detroit Downtown Development Authority Tax Allocation Increment Revenue Refunding Bonds, Series A, Catalyst Development Project (AGM Insured), | |||
5.00%, 7/01/43 | 100,000 | 98,959 | |
5.00%, 7/01/48 | 200,000 | 194,674 | |
Detroit GO Unlimited Bonds, 5.00%, 4/01/27 | 50,000 | 51,055 | |
Detroit GO Unlimited Bonds, Series A, Social Bonds, 4.00%, 4/01/40 | 250,000 | 201,562 | |
Gerald R. Ford International Airport Authority Revenue Bonds (AMT) (County Gtd), 5.00%, 1/01/51 | 525,000 | 529,781 | |
Great Lakes Water Authority Sewage Disposal System Second Lien Revenue Refunding Bonds, Series C, 5.00%, 7/01/36 | 495,000 | 507,603 | |
Michigan Finance Authority Revenue Bonds, Local Government Loan Program, 5.00%, 7/01/33 | 350,000 | 356,198 | |
Michigan State Finance Authority Limited Obligation Revenue Refunding Bonds, Lawrence Technological University, 4.00%, 2/01/27 | 185,000 | 174,642 | |
Michigan State Finance Authority Local Government Loan Program Revenue Refunding Bonds, | |||
5.00%, 7/01/29 | 425,000 | 435,971 | |
4.50%, 10/01/29 | 250,000 | 241,581 |
Par | Value | ||
Michigan (Continued) | |||
Michigan State Finance Authority Revenue Refunding Bonds, Trinity Health Credit Group, 4.00%, 12/01/35 | $ 515,000 | $ 475,145 | |
Michigan State Finance Authority Variable Revenue Bonds, Bronson Healthcare Group, 3.50%, 11/15/22(a)(b)(c) | 250,000 | 250,003 | |
Michigan State Finance Authority Variable Revenue Refunding Bonds, Beaumont Spectrum, (SIFMA Municipal Swap Index Yield + 0.75%), 3.13%, 4/15/27(a)(c) | 1,500,000 | 1,487,384 | |
Michigan State Hospital Finance Authority Revenue Refunding Bonds, Ascenion Senior, 5.00%, 11/15/47 | 420,000 | 411,356 | |
Michigan State Strategic Fund Limited Obligation Variable Revenue Bonds (AMT), Consumers Energy Co., 1.80%, 10/01/24(a)(b)(c) | 500,000 | 476,710 | |
Michigan State Strategic Fund Limited Obligation Variable Revenue Bonds (AMT), Green Bond, 4.00%, 10/01/26(a)(b)(c) | 100,000 | 95,251 | |
Northern University General Revenue Refunding Bonds, Series A, 5.00%, 12/01/27 | 590,000 | 628,628 | |
Wayne County Airport Authority Junior Lien Revenue Refunding Bonds, Series A, 5.00%, 12/01/26 | 500,000 | 522,826 | |
Wayne University Revenue Refunding Bonds, Series A (BAM, TCRS Insured), 5.00%, 11/15/27 | 300,000 | 313,197 | |
7,452,526 |
Par | Value | ||
Minnesota – 0.4% | |||
City of Shakopee Senior Housing Revenue Bonds, Benedictine Living Community of Shakopee LLC Project, 5.85%, 11/01/25(a)(b)(c)(d) | $ 250,000 | $ 243,591 | |
Minnesota Municipal Gas Agency Commodity Supply Revenue Bonds, Series A, 4.00%, 12/01/27(a)(b)(c) | 1,125,000 | 1,083,137 | |
1,326,728 | |||
Mississippi – 0.2% | |||
Mississippi State Hospital Equipment & Facilities Authority Adjustable Revenue Refunding Bonds, North Mississippi Health, 5.00%, 3/01/27(a)(b)(c) | 265,000 | 270,758 | |
Mississippi State Hospital Equipment & Facilities Authority Revenue Refunding Bonds, Forrest Country General Hospital Project, 5.00%, 1/01/24 | 400,000 | 405,950 | |
676,708 | |||
Missouri – 0.7% | |||
Central Southwest Community College District COPS, | |||
5.00%, 3/01/26 | 225,000 | 235,236 | |
5.00%, 3/01/27 | 225,000 | 237,650 | |
Missouri Health & Educational Facilities Authority Revenue Refunding Bonds, | |||
5.00%, 2/15/26 | 200,000 | 204,065 | |
5.00%, 2/15/27 | 215,000 | 220,440 | |
5.00%, 2/15/28 | 250,000 | 257,433 | |
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 | 152,157 | |
5.00%, 11/15/30 | 250,000 | 256,818 | |
Missouri State Health & Educational Facilities Authority Revenue Refunding Bonds, Bethesda Health Group, Inc., | |||
4.00%, 8/01/24 | 320,000 | 315,319 |
Par | Value | ||
Missouri (Continued) | |||
Missouri State Health & Educational Facilities Authority Revenue Refunding Bonds, Bethesda Health Group, Inc., | |||
4.00%, 8/01/26 | $ 200,000 | $ 193,031 | |
Saint Louis County IDA Senior Living Facilities Revenue Refunding Bonds, Friendship Village St. Louis, 5.00%, 9/01/48 | 500,000 | 399,829 | |
2,471,978 | |||
Nebraska – 0.6% | |||
Douglas County Educational Facilities Variable Revenue Refunding Bonds, Creighton University Project, (SIFMA Municipal Swap Index Yield + 0.53%), 2.91%, 9/01/26(a)(c) | 740,000 | 727,864 | |
Douglas County Hospital Authority No. 2 Revenue Bonds, Children's Hospital Obligated Group, 5.00%, 11/15/25(a)(b)(c) | 600,000 | 620,611 | |
Gretna COPS, 5.00%, 12/15/25 | 500,000 | 514,196 | |
1,862,671 | |||
Nevada – 2.0% | |||
Clark County Pollution Control Revenue Refunding Bonds, Southern California Edison Company, 2.10%, 6/01/31 | 250,000 | 198,378 | |
Clark County School District GO Limited Refunding Bonds, Series E, 5.00%, 6/15/25 | 1,330,000 | 1,380,265 | |
Clark County Stadium Improvement GO Limited Bonds, Series A, 5.00%, 5/01/48 | 500,000 | 509,519 | |
Director of the State of Nevada Department of Business & Industry Variable Revenue Bonds (AMT), Brightline Passenger, 0.85%, 1/26/23(a)(b)(c)(d) | 2,500,000 | 2,477,410 |
Par | Value | ||
Nevada (Continued) | |||
Las Vegas Convention & Visitors Authority Convention Center Expansion Revenue Bonds, Series B, 5.00%, 7/01/43 | $ 250,000 | $ 253,286 | |
Las Vegas New Convention & Visitors Authority Revenue Bonds, Series B, 5.00%, 7/01/37 | 1,000,000 | 1,028,666 | |
Las Vegas Special Improvement District No. 814 Summerlin Village 21 & 24A Special Assessment Bonds, 4.00%, 6/01/49 | 100,000 | 77,225 | |
Reno Sales Tax First Lien Revenue Refunding Bonds, Retrac-Reno Transportation Rail Access Corridor Project, 5.00%, 6/01/48 | 500,000 | 499,376 | |
Sparks Nevada Tourism Improvement District No. 1 Sales Tax Senior Lien Revenue Refunding Bonds, Series A, 2.50%, 6/15/24(d) | 150,000 | 143,794 | |
6,567,919 | |||
New Hampshire – 0.3% | |||
National Finance Authority Municipal Certificates Revenue Bonds, Series 1-A, 4.13%, 1/20/34 | 696,412 | 642,420 | |
National Finance Authority Revenue Bonds, Series A, 4.00%, 7/01/51 | 250,000 | 211,521 | |
New Hampshire State Health & Education Facilities Authority Revenue Refunding Bonds, Kendal at Hanover Issue, 5.00%, 10/01/36 | 180,000 | 177,700 | |
1,031,641 | |||
New Jersey – 3.5% | |||
Atlantic City Board Of Education GO Unlimited Refunding Bonds (AGM School Board Resource Fund Insured), 4.00%, 4/01/25 | 350,000 | 354,345 | |
Garden State Preservation Trust Open Space & Farmland Preservation Revenue Bonds, Series A (AGM Insured), 5.75%, 11/01/28 | 1,170,000 | 1,248,430 |
Par | Value | ||
New Jersey (Continued) | |||
New Jersey Covid-19 GO Unlimited Emergency Bonds, 5.00%, 6/01/26 | $ 385,000 | $ 403,965 | |
New Jersey Economic Development Authority Revenue Refunding Bonds, Cranes Mill Project, 5.00%, 1/01/49 | 260,000 | 237,692 | |
New Jersey EDA Revenue Bonds, Portal North Bridge Project NJ Transit, 5.25%, 11/01/41 | 235,000 | 236,587 | |
New Jersey State EDA Energy Facility Revenue Bonds, Series A (AMT), UMM Energy Partners, | |||
5.00%, 6/15/37 | 190,000 | 182,256 | |
5.12%, 6/15/43 | 350,000 | 329,331 | |
New Jersey State EDA Motor Vehicle Surcharge Revenue Refunding Bonds, Subseries A, 3.38%, 7/01/30 | 250,000 | 224,444 | |
New Jersey State EDA Private Activity Revenue Bonds (AMT), The Goethals Project, | |||
5.00%, 1/01/24 | 150,000 | 150,148 | |
5.37%, 1/01/43 | 100,000 | 95,952 | |
New Jersey State EDA Revenue Bonds, Provident Group Rowan Properties LLC, 5.00%, 1/01/48 | 125,000 | 100,366 | |
New Jersey State EDA Revenue Refunding Bonds, Series A, United Methodist Homes, 5.00%, 7/01/24(e) | 100,000 | 102,512 | |
New Jersey State EDA Special Facility Revenue Refunding Bonds (AMT), Port Newark Container, 5.00%, 10/01/47 | 300,000 | 277,096 | |
New Jersey State EDA Water Facilities Revenue Refunding Bonds (AMT), New Jersey American Water Co., Inc. Project, 2.20%, 12/03/29(a)(b)(c) | 775,000 | 648,121 | |
New Jersey State Health Care Facilities Financing Authority Revenue Bonds, Valley Health System Obligated Group Series, 5.00%, 7/01/33 | 1,000,000 | 1,025,357 |
Par | Value | ||
New Jersey (Continued) | |||
New Jersey State Health Care Facilities Financing Authority Revenue Refunding Bonds, Inspira Health Obligated Group, 5.00%, 7/01/30 | $1,000,000 | $1,019,218 | |
New Jersey State Health Care Facilities Financing Authority Revenue Refunding Bonds, RWJ Barnajas Health Obligated Group, 5.00%, 7/01/26(a)(b)(c) | 400,000 | 417,448 | |
New Jersey State Higher Education Assistance Authority Student Loan Revenue Bonds, Series B (AMT), 5.00%, 12/01/24 | 570,000 | 580,937 | |
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series A, 4.00%, 6/15/42 | 250,000 | 209,724 | |
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series AA, 5.00%, 6/15/40 | 500,000 | 490,744 | |
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Transportation Program, | |||
5.25%, 6/15/43 | 625,000 | 625,563 | |
4.00%, 6/15/50 | 280,000 | 223,689 | |
New Jersey State Transportation Trust Fund Authority Revenue Refunding Bonds, Series A, 4.00%, 6/15/34 | 175,000 | 162,042 | |
New Jersey State Transportation Trust Fund Authority Transportation System Revenue Refunding Bonds, 5.00%, 12/15/25 | 100,000 | 103,065 | |
New Jersey State Turnpike Authority Revenue Bonds, Series A, | |||
5.00%, 1/01/27 | 305,000 | 323,386 | |
5.00%, 1/01/33 | 230,000 | 234,813 | |
New Jersey State Turnpike Authority Revenue Bonds, Series B, 1/01/52(f) | 350,000 | 364,122 | |
New Jersey State Turnpike Authority Revenue Bonds, Series B, Prerefunded, 5.00%, 1/01/23(e) | 135,000 | 135,413 |
Par | Value | ||
New Jersey (Continued) | |||
New Jersey State Turnpike Authority Turnpike Revenue Refunding Bonds, Series E, 5.00%, 1/01/31 | $255,000 | $ 269,934 | |
New Jersey Turnpike Revenue Bonds, Series A, 4.00%, 1/01/42 | 240,000 | 217,828 | |
Newark Housing Authority Port Newark Marine Terminal Rental Revenue Refunding Bonds, Additional Newark Redevelopment Project (NATL Insured), 5.25%, 1/01/24 | 500,000 | 503,732 | |
11,498,260 | |||
New Mexico – 0.3% | |||
Farmington PCR Refunding Bonds, Public Service Company of New Mexico San Juan Project, 1.15%, 6/01/24(a)(b)(c) | 250,000 | 237,842 | |
New Mexico State Hospital Equipment Loan Council Variable Revenue Bonds, Series B, 5.00%, 8/01/25(a)(b)(c) | 500,000 | 515,635 | |
New Mexico State Municipal Energy Acquisition Authority Gas Supply Revenue Refunding Bonds, Series A, 5.00%, 5/01/25(a)(b)(c) | 275,000 | 280,788 | |
1,034,265 | |||
New York – 8.9% | |||
Build Resource Corp., Revenue Bonds, Friends of Hellenic Classical Charter Schools, Inc., 4.00%, 12/01/31(d) | 500,000 | 426,340 | |
Hempstead Town Local Develop Corp., Education Revenue Refunding Bonds, Academy Charter School Project, 5.66%, 2/01/44 | 250,000 | 230,551 | |
Hempstead Town Local Development Corp. Revenue Refunding Bonds, Adelphi University Project, | |||
5.00%, 6/01/27 | 300,000 | 312,054 | |
5.00%, 6/01/28 | 500,000 | 523,538 |
Par | Value | ||
New York (Continued) | |||
Hempstead Town Local Development Corp., Education Revenue Bonds, Academy Charter School Project, 4.60%, 2/01/51 | $ 250,000 | $ 175,137 | |
Hudson Yards Infrastructure Corp. Revenue Refunding Bonds, Second Indenture Series, Fiscal 2022, Green Bonds, 4.00%, 2/15/43 | 1,000,000 | 866,387 | |
Long Beach GO Limited Bonds, Series A, 5.00%, 9/01/28 | 665,000 | 681,731 | |
Long Island Power Authority Electric System Variable Revenue Bonds, Series B, 1.65%, 9/01/24(a)(b)(c) | 1,650,000 | 1,572,143 | |
Metropolitan Transportation Authority Variable Revenue Bonds, Subseries D-1, (SOFR + 0.33%), 2.37%, 4/01/24(a)(c) | 950,000 | 922,062 | |
Metropolitan Transportation Authority, New York Transportation Variable Rate Revenue Refunding Bonds, Subseries G-3, (SIFMA Municipal Swap Index Yield + 0.43%), 2.81%, 2/01/25(a)(c) | 1,000,000 | 970,886 | |
Monroe County Industrial Development Agency School Facility Revenue Bonds, Rochester Schools Modernization Project (State Aid Withholding), 5.00%, 5/01/35 | 800,000 | 855,769 | |
Monroe County Industrial Development Corp., Revenue Bonds, University of Rochester Project, 4.00%, 7/01/50 | 1,000,000 | 833,730 | |
New York City Transitional Finance Authority Future Tax Secured Subordinate Revenue Bonds, 4.00%, 11/01/40 | 400,000 | 360,794 | |
New York City Transitional Finance Authority Future Tax Subordinate Revenue Bonds, 4.00%, 5/01/36 | 1,000,000 | 942,463 |
Par | Value | ||
New York (Continued) | |||
New York City Transitional Finance Authority Revenue Bonds, Sub Series C-2, 5.00%, 5/01/32 | $1,000,000 | $1,056,022 | |
New York City Transitional Finance Authority Subordinate Revenue Bonds, Series F-1, 5.00%, 2/01/47 | 625,000 | 635,742 | |
New York GO Unlimited Bonds, Series 1, 4.00%, 8/01/27 | 625,000 | 641,422 | |
New York GO Unlimited Bonds, Series A-1, 5.25%, 9/01/42 | 250,000 | 264,650 | |
New York GO Unlimited Bonds, Series D, Subseries D1, 5.00%, 12/01/42 | 250,000 | 253,195 | |
New York State Convention Center Development Corp., Revenue Refunding Bonds, Hotel Unit Fee Secured, 5.00%, 11/15/40 | 600,000 | 600,979 | |
New York State Dormitory Authority Non State Supported Debt Revenue Bonds, Fordham University, 4.00%, 7/01/50 | 600,000 | 499,676 | |
New York State Dormitory Authority Non State Supported Debt Revenue Refunding Bonds, Series A, Barnard College, 4.00%, 7/01/49 | 300,000 | 234,919 | |
New York State Dormitory Authority Personal Income Tax Revenue Refunding Bonds, Series A, 5.00%, 3/15/41 | 2,000,000 | 2,076,801 | |
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 | 478,548 | |
New York State Dormitory Authority Revenues Non State Supported Debt Revenue Bonds, Northwell Health Obligated Group, 5.00%, 5/01/24(a)(b)(c) | 1,250,000 | 1,266,369 |
Par | Value | ||
New York (Continued) | |||
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 | $202,100 | |
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 | 344,266 | |
New York State Dormitory Authority State Personal Income Tax Revenue Refunding Bonds, Series E, Unrefunded Balance, 5.00%, 2/15/44 | 425,000 | 431,005 | |
New York State Housing Finance Agency Affordable Housing Sustainability Revenue Bonds, Series L-2 (SonyMA Insured), 0.75%, 11/01/25 | 500,000 | 452,121 | |
New York State Liberty Development Corp., Revenue Refunding Bonds, Class 2, 3 World Trade Center Project, | |||
5.15%, 11/15/34(d) | 500,000 | 476,271 | |
5.37%, 11/15/40(d) | 150,000 | 142,602 | |
New York State Liberty Development Corp., Revenue Refunding Bonds, Green Bonds, 4 World Trade Center Project, 1.20%, 11/15/28 | 500,000 | 400,937 | |
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 | 242,768 | |
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 | 241,617 |
Par | Value | ||
New York (Continued) | |||
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 | $ 480,645 | |
New York State Urban Development Corp. Personal Income TRB, Series A, 5.00%, 3/15/41 | 250,000 | 258,317 | |
New York State Urban Development Corp. Revenue Refunding Bonds, Series E Group 3, 4.00%, 3/15/43 | 500,000 | 438,208 | |
New York State Urban Development Corp., Personal Income TRB, Series A, 4.00%, 3/15/38 | 500,000 | 460,992 | |
Niagara Frontier Transportation Authority Revenue Refunding Bonds (AMT), Buffalo Niagara International Airport, 5.00%, 4/01/26 | 250,000 | 254,778 | |
Onondaga County Trust Cultural Resource Revenue Refunding Bonds, Syracuse University Project, 4.00%, 12/01/47 | 500,000 | 429,832 | |
Onondaga County Trust Cultural Resources Revenue Refunding Bonds, Syracuse University Project, 4.00%, 12/01/41 | 250,000 | 225,751 | |
Port Authority of New York & New Jersey Consolidated 211th Revenue Refunding Bonds, 5.00%, 9/01/48 | 830,000 | 843,430 | |
Port Authority of New York & New Jersey Consolidated Revenue Bonds, Series 218 (AMT), 5.00%, 11/01/31 | 1,065,000 | 1,081,243 | |
Port Authority of New York & New Jersey Consolidated Revenue Bonds, Series 221 (AMT), 4.00%, 7/15/40 | 500,000 | 433,598 |
Par | Value | ||
New York (Continued) | |||
Port Authority of New York & New Jersey Consolidated Revenue Refunding Bonds (AMT), 5.50%, 8/01/52 | $ 600,000 | $ 625,502 | |
Port Authority of New York & New Jersey Revenue Bonds, Series 179, 5.00%, 12/01/25 | 750,000 | 764,010 | |
Poughkeepsie City GO Limited Refunding Bonds, 4.00%, 4/15/25 | 440,000 | 439,039 | |
Sales Tax Asset Receivable Corp., Revenue Refunding Bonds, Series A, Fiscal 2015, Prerefunded, 5.00%, 10/15/24(e) | 245,000 | 253,409 | |
Triborough Bridge & Tunnel Authority General Revenue Bonds, Series A, MTA Bridges and Tunnels, 4.00%, 11/15/54 | 1,300,000 | 1,062,408 | |
Triborough Bridge & Tunnel Authority Payroll Mobility Tax Revenue Refunding Bonds, Series A, MTA Bridges & Tunnels, 5.00%, 5/15/47 | 250,000 | 255,957 | |
Troy Capital Resource Corp. Revenue Bonds, Rensselaer Polytechnic Institutute Project, 4.00%, 9/01/33 | 100,000 | 92,293 | |
Yonkers Economic Development Corp., Educational Revenue Bonds, Charter School Educational Excellence Project, 5.00%, 10/15/49 | 100,000 | 84,146 | |
29,099,153 | |||
North Carolina – 1.3% | |||
Greater Asheville Regional Airport Authority Airport System Revenue Bonds, Series A (AMT) (AGM Insured), 5.50%, 7/01/47 | 1,000,000 | 1,015,120 | |
North Carolina Capital Facilities Finance Agency Educational Facilities Revenue Refunding Bonds, High Point University, | |||
4.00%, 5/01/24 | 240,000 | 241,270 | |
5.00%, 5/01/25 | 240,000 | 247,294 | |
5.00%, 5/01/26 | 275,000 | 285,792 |
Par | Value | ||
North Carolina (Continued) | |||
North Carolina Medical Care Commission Retirement Facilities Revenue Bonds, The Forest At Duke Project, | |||
4.00%, 9/01/33 | $180,000 | $ 160,209 | |
4.00%, 9/01/34 | 185,000 | 162,857 | |
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, First Mortgage, 4.00%, 1/01/25 | 250,000 | 241,201 | |
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, First Mortgage, United Church Services, Prerefunded, 5.00%, 9/01/24(e) | 155,000 | 159,390 | |
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, Series A, Sharon Towers, 5.00%, 7/01/49 | 100,000 | 86,890 | |
North Carolina State Turnpike Authority Senior Lien Revenue Bonds, Triangle Expressway, 4.00%, 1/01/55 | 400,000 | 299,580 | |
North Carolina State Turnpike Authority Senior Lien Revenue Bonds, Triangle Expressway (AGM Insured), 5.00%, 1/01/49 | 500,000 | 504,242 | |
North Carolina State Turnpike Authority Senior Lien Revenue Refunding Bonds, 5.00%, 1/01/40 | 550,000 | 527,876 | |
North Carolina Turnpike Authority Triangle Expressway System Revenue BANS, 5.00%, 2/01/24 | 200,000 | 202,417 | |
4,134,138 | |||
North Dakota – 0.6% | |||
Cass County Joint Water Resource District GO Unlimited Bonds, Series A, 0.48%, 5/01/24 | 600,000 | 560,924 |
Par | Value | ||
North Dakota (Continued) | |||
University of North Dakota COPS, Infrastructure Energy Improvement, 5.00%, 4/01/48 | $ 500,000 | $ 510,468 | |
Watford City North Dakota State Aid Certificates Indebtedness Revenue Refunding Bonds (AGM Insured), 3.00%, 12/01/23 | 800,000 | 787,733 | |
1,859,125 | |||
Ohio – 2.9% | |||
Akron Bath Copley Joint Township Hospital District Revenue Refunding Bonds, Summa Health Obligated Group Hospital, | |||
5.00%, 11/15/26 | 350,000 | 360,544 | |
5.00%, 11/15/27 | 370,000 | 381,987 | |
Allen County Ohio Hospital Facilities Revenue Refunding Bonds, Bon Secours Mercy Health, Inc., 5.00%, 12/01/28 | 400,000 | 423,201 | |
Allen County Ohio Hospital Facilities Variable Revenue Bonds, Bon Secours Mercy Health, Inc., 5.00%, 8/03/27(a)(b)(c) | 1,500,000 | 1,571,710 | |
Buckeye Tobacco Settlement Financing Authority Revenue Refunding Bonds, Senior-Class 2, Series B-2, 5.00%, 6/01/55 | 900,000 | 757,471 | |
Cleveland-Cuyahoga County Port Authority Cultural Facilities Revenue Refunding Bonds, Playhouse Square Foundation Project, 5.50%, 12/01/43 | 175,000 | 171,358 | |
Cleveland-Cuyahoga County Port Authority Cultural Facility Revenue Bonds, Cleveland Museum Of Natural History Project, | |||
5.00%, 7/01/25 | 125,000 | 129,379 | |
5.00%, 7/01/26 | 125,000 | 130,583 | |
5.00%, 7/01/27 | 125,000 | 131,561 | |
5.00%, 7/01/28 | 155,000 | 164,147 |
Par | Value | ||
Ohio (Continued) | |||
Cleveland-Cuyahoga County Port Authority Financing Senior Tax Allocation Increment Revenue Refunding Bonds, Flats East Bank Project, 4.00%, 12/01/55(d) | $250,000 | $181,711 | |
Conotton Valley Union Local School District COPS, School Facilities Project (FHLMC Insured), 4.00%, 12/01/42 | 500,000 | 446,965 | |
Franklin County Convention Facilities Authority Hotel Project Revenue Bonds, Greater Columbus Convention Center, | |||
5.00%, 12/01/34 | 170,000 | 168,236 | |
5.00%, 12/01/36 | 305,000 | 298,569 | |
Hamilton County Hospital Facilities Revenue Bonds, Cincinnati Children's Hospital Project, 5.00%, 11/15/41 | 250,000 | 260,884 | |
Lancaster Port Authority Gas Revenue Refunding Bonds, Series A, 5.00%, 2/01/25(a)(b)(c) | 225,000 | 227,665 | |
Marion County Health Care Facilities Revenue Refunding Bonds, United Church Homes, Inc., 5.12%, 12/01/49 | 100,000 | 83,358 | |
Miami Valley Career Technology Center GO Unlimited Bonds, 4.00%, 12/01/37 | 250,000 | 244,733 | |
Middleburg Heights Hospital Revenue Refunding Bonds, Southwest General Health Center, 4.00%, 8/01/41 | 500,000 | 435,460 | |
Ohio State Air Quality Development Authority Revenue Refunding Bonds (AMT), American Electric Power Company Project, 2.10%, 10/01/24(a)(b)(c) | 500,000 | 474,687 | |
Ohio State Air Quality Development Authority Revenue Refunding Bonds, Ohio Valley Electric Corp., 3.25%, 9/01/29 | 50,000 | 44,474 |
Par | Value | ||
Ohio (Continued) | |||
Ohio State Air Quality Development Authority Variable Revenue Refunding Bonds (AMT), Duke Energy Corp., Project, 4.25%, 6/01/27(a)(b)(c) | $250,000 | $ 243,898 | |
Ohio State Higher Educational Facilities Commission Revenue Refunding Bonds, Xavier University 2020 Project, 5.00%, 5/01/35 | 880,000 | 909,553 | |
Ohio State Higher Educational Facility Commission Healthcare Revenue Bonds, Ashtabula County Medical Center Obligated Group, 5.00%, 1/01/26 | 100,000 | 101,290 | |
Ohio State Higher Educational Facility Commission Hospital Variable Revenue Refunding Bonds, Cleveland Clinic, 1.53%, 11/01/22(a)(c)(h) | 200,000 | 200,000 | |
Ohio State Higher Educational Facility Commission Revenue Refunding Bonds, Otterbein University 2022 Project, 4.00%, 12/01/46 | 500,000 | 396,518 | |
Ohio State Hospital Revenue Refunding Bonds, Premier Health Partners Obligated Group, 5.00%, 11/15/26 | 145,000 | 149,423 | |
United Local School District COPS (BAM Insured), 3.00%, 12/01/23 | 330,000 | 326,644 | |
9,416,009 | |||
Oklahoma – 0.9% | |||
Bryan County School Finance Authority Educational Facilities Lease Revenue Refunding Bonds, Durant Public Schools Project, 4.00%, 12/01/23 | 620,000 | 623,608 | |
Carter County Public Facilities Authority Educational Facilities Lease Revenue Bonds, 5.00%, 9/01/27 | 500,000 | 513,466 |
Par | Value | ||
Oklahoma (Continued) | |||
Kingfisher Special Projects Authority Educational Facilities Lease Revenue Bonds, Kingfisher Public Schools Project, 4.00%, 3/01/24 | $600,000 | $ 603,953 | |
Oklahoma County Finance Authority Revenue Refunding Bonds, Series A, Epworth Villa Project, 5.88%, 4/01/30 | 50,000 | 30,000 | |
Oklahoma State Development Finance Authority Revenue Refunding Bonds, Oklahoma City University Project, 5.00%, 8/01/24 | 590,000 | 590,786 | |
Tulsa County Industrial Authority Educational Facilities Lease Revenue Bonds, Berryhill Public Schools Project, 4.00%, 9/01/26 | 500,000 | 504,601 | |
2,866,414 | |||
Oregon – 1.6% | |||
Klamath Falls Intercommunity Hospital Authority Revenue Refunding Bonds, Sky Lakes Medical Center Project, 4.00%, 9/01/25 | 550,000 | 548,376 | |
Medford Hospital Facilities Authority Revenue Refunding Bonds, Series A, Asante Projects, 5.00%, 8/15/45 | 500,000 | 492,106 | |
Multnomah County Hospital Facilities Authority Revenue Refunding Bonds, Adventist Health System, 5.00%, 3/01/25(a)(b)(c) | 500,000 | 498,969 | |
Multnomah County Hospital Facilities Authority Revenue Refunding Bonds, Terwilliger Plaza-Parkview Project, Green Bond Series, 0.95%, 6/01/27 | 500,000 | 428,008 | |
Multnomah County School District No. 1J Portland GO Unlimited Bonds (School Board Guaranty Program), 5.00%, 6/15/24 | 250,000 | 256,762 |
Par | Value | ||
Oregon (Continued) | |||
Oregon State Facilities Authority Revenue Refunding Bonds, Series A, Legacy Health Project, 5.00%, 6/01/46 | $1,000,000 | $ 976,784 | |
Port of Morrow GO Limited Refunding Bonds, Series D, | |||
4.00%, 12/01/26 | 170,000 | 171,467 | |
4.00%, 12/01/27 | 240,000 | 241,841 | |
Port of Portland Airport Revenue Refunding Bonds, Portland International Airport, 5.00%, 7/01/40 | 615,000 | 637,909 | |
Port of Portland Airport Revenue Refunding Bonds, Portland International Airport (AMT), 5.00%, 7/01/25 | 750,000 | 767,645 | |
Salem Hospital Facility Authority Revenue Refunding Bonds, Capital Manor Project, | |||
5.00%, 5/15/24 | 110,000 | 109,885 | |
5.00%, 5/15/27 | 260,000 | 256,680 | |
5,386,432 | |||
Pennsylvania – 3.9% | |||
Allegheny County Sanitary Authority Revenue Bonds, Series B, 4.00%, 6/01/25 | 100,000 | 101,584 | |
Allentown Neighborhood Improvement Zone Development Authority Tax Revenue Refunding Bonds, Forward Delivery, 5.00%, 5/01/42 | 250,000 | 220,321 | |
Commonwealth Financing Authority Taxable Revenue Refunding Bonds, Series B-1, 5.00%, 6/01/26 | 300,000 | 311,185 | |
Cumberland County Municipal Authority Revenue Refunding Bonds, Asbury Pennsylvania Obligated, 4.50%, 1/01/40(d) | 185,000 | 149,354 | |
Laurel Highlands School District GO Limited Refunding Bonds (BAM State Aid Withholding), 4.00%, 2/01/26 | 350,000 | 354,379 |
Par | Value | ||
Pennsylvania (Continued) | |||
Lehigh County General Purpose Authority Revenue Refunding Bonds, Muhlenberg College Project, (SIFMA Municipal Swap Index Yield + 0.58%), 2.96%, 11/01/24(a)(c) | $ 435,000 | $ 434,303 | |
Luzerne County IDA Revenue Refunding Bonds (AMT), Pennsylvania-American Water Co., Project, 2.45%, 12/03/29(a)(b)(c) | 750,000 | 637,131 | |
Montgomery County IDA Revenue Bonds, Acts Retirement-Life Communities, 5.00%, 11/15/45 | 1,500,000 | 1,373,407 | |
Neshannock Township School District GO Limited Refunding Bonds, Series B (State Aid Withholding), 2.00%, 9/01/24 | 190,000 | 182,999 | |
Oil City GO Unlimited Bonds, Series A (AGM Insured), | |||
4.00%, 12/01/24 | 150,000 | 151,582 | |
4.00%, 12/01/25 | 185,000 | 188,042 | |
Pennsylvania State Economic Development Financing Authority UPMC Revenue Bonds, Series A, 5.00%, 7/01/38 | 500,000 | 493,076 | |
Pennsylvania State Economic Development Financing Authority UPMC Revenue Bonds, Series A-1, | |||
5.00%, 4/15/24 | 1,200,000 | 1,225,402 | |
5.00%, 4/15/25 | 200,000 | 206,448 | |
4.00%, 4/15/45 | 500,000 | 407,664 | |
Pennsylvania State Higher Educational Facilities Authority Revenue Refunding Bonds, Thomas Jefferson University, | |||
5.00%, 9/01/39 | 500,000 | 503,741 | |
5.00%, 9/01/45 | 250,000 | 244,404 | |
Pennsylvania State Housing Finance Agency SFM Revenue Refunding Bonds (AMT), Series 125A, 2.37%, 10/01/25 | 710,000 | 677,023 |
Par | Value | ||
Pennsylvania (Continued) | |||
Pennsylvania State Housing Finance Agency Special Limited Obligation MFH Revenue Bonds, Norris Homes Phase V, 1.40%, 1/01/23(a)(b)(c) | $1,000,000 | $995,942 | |
Pennsylvania State Turnpike Commission Turnpike Variable Revenue Refunding Bonds, Series B, (SIFMA Municipal Swap Index Yield + 0.70%), 3.08%, 12/01/23(c) | 500,000 | 500,037 | |
Philadelphia Airport Revenue Refunding Bonds, Series B (AMT), | |||
5.00%, 7/01/30 | 510,000 | 516,644 | |
5.00%, 7/01/33 | 400,000 | 399,205 | |
5.00%, 7/01/35 | 155,000 | 151,960 | |
Philadelphia Airport Revenue Refunding Bonds, Series C (AMT), 4.00%, 7/01/40 | 250,000 | 211,708 | |
Philadelphia Authority for Industrial Development Temple University Revenue Refunding Bonds, Series 1-2015, 5.00%, 4/01/33 | 400,000 | 406,588 | |
Philadelphia School District GO Limited Refunding Bonds, Series C (State Aid Withholding), 5.00%, 9/01/33 | 500,000 | 515,865 | |
Southcentral General Authority Revenue Bonds, York College of Pennsylvania Project, | |||
5.00%, 5/01/27 | 300,000 | 311,631 | |
5.00%, 5/01/28 | 215,000 | 224,795 | |
Southeastern Pennsylvania Transportation Authority Revenue Bonds, Asset Improvement Program, 5.25%, 6/01/47 | 250,000 | 264,313 | |
West Cornwall Township Municipal Authority Healthcare Facilities Revenue Refunding Bonds, Lebanon Valley Brethren Home Project, | |||
4.00%, 11/15/24 | 115,000 | 113,913 | |
4.00%, 11/15/25 | 115,000 | 113,255 | |
4.00%, 11/15/26 | 125,000 | 122,084 |
Par | Value | ||
Pennsylvania (Continued) | |||
West Cornwall Township Municipal Authority Healthcare Facilities Revenue Refunding Bonds, Lebanon Valley Brethren Home Project, | |||
4.00%, 11/15/27 | $ 130,000 | $ 125,450 | |
4.00%, 11/15/28 | 105,000 | 100,112 | |
12,935,547 | |||
Puerto Rico – 1.1% | |||
Puerto Rico Commonwealth Aqueduct & Sewer Authority Senior Lien Revenue Refunding Bonds, Series A, 5.00%, 7/01/30(d) | 250,000 | 239,087 | |
Puerto Rico Commonwealth Notes, 0.00%, 11/01/43(b)(c) | 469,868 | 214,377 | |
Puerto Rico Commonwealth Restructured GO Unlimited Bonds, Series A1, | |||
5.38%, 7/01/25 | 160,394 | 160,302 | |
5.62%, 7/01/27 | 309,847 | 312,028 | |
5.63%, 7/01/29 | 1,058,875 | 1,064,997 | |
5.75%, 7/01/31 | 57,185 | 57,529 | |
4.00%, 7/01/33 | 54,226 | 45,884 | |
4.00%, 7/01/35 | 48,742 | 39,836 | |
4.00%, 7/01/37 | 41,833 | 33,274 | |
4.00%, 7/01/41 | 56,878 | 43,248 | |
4.00%, 7/01/46 | 59,153 | 42,916 | |
Puerto Rico Commonwealth Restructured GO Unlimited CABS, Series A, | |||
0.00%, 7/01/24(g) | 18,107 | 16,469 | |
0.00%, 7/01/33(g) | 69,785 | 35,462 | |
Puerto Rico Electric Power Authority Power Revenue Bonds, Series TT, 5.00%, 7/01/37(i) | 130,000 | 97,500 | |
Puerto Rico Sales Tax Financing Corp., Restructured TRB, Series A-1, 4.75%, 7/01/53 | 527,000 | 439,544 | |
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue CABS, Series A-1, | |||
0.00%, 7/01/27(g) | 225,000 | 175,211 |
Par | Value | ||
Puerto Rico (Continued) | |||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue CABS, Series A-1, | |||
0.00%, 7/01/31(g) | $500,000 | $ 305,132 | |
0.00%, 7/01/46(g) | 875,000 | 189,485 | |
3,512,281 | |||
Rhode Island – 0.2% | |||
Providence GO Unlimited Refunding Bonds, Series A, 5.00%, 1/15/25 | 200,000 | 205,571 | |
Rhode Island Commerce Corp., First Lien Special Facility Revenue Refunding Bonds, Rhode Island Airport Corp., International, 5.00%, 7/01/31 | 500,000 | 519,507 | |
725,078 | |||
South Carolina – 0.5% | |||
Connector 2000 Association, Inc. Toll Road Revenue CABS, Senior Series A-1, | |||
0.00%, 1/01/32(g) | 511,272 | 255,608 | |
0.00%, 1/01/42(g) | 228,148 | 49,008 | |
0.00%, 7/22/51(g) | 265,293 | 24,896 | |
South Carolina State Jobs EDA Hospital Revenue Refunding Bonds, Prisma Health Obligated Group, 5.00%, 5/01/38 | 400,000 | 400,970 | |
South Carolina State Jobs EDA Hospital Variable Revenue Bonds, Bon Secours Mercy Health, 5.00%, 10/01/25(a)(b)(c) | 850,000 | 877,117 | |
1,607,599 | |||
South Dakota – 0.2% | |||
South Dakota State Board of Regents Housing & Auxiliary Facilities System Revenue Refunding Bonds, | |||
4.00%, 4/01/26 | 375,000 | 379,853 | |
4.00%, 4/01/27 | 425,000 | 431,634 | |
811,487 |
Par | Value | ||
Tennessee – 0.7% | |||
Greeneville Health & Educational Facilities Board Revenue Refunding Bonds, Ballad Health Obligation Group, 5.00%, 7/01/31 | $ 140,000 | $ 140,253 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue Bonds, Vanderbilt University Medical Center, 5.00%, 7/01/40 | 400,000 | 390,766 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board Revenue Refunding Bonds, Trevecca Nazarene University, 3.00%, 10/01/24 | 215,000 | 207,456 | |
Metropolitan Nashville Airport Authority Subordinate Revenue Bonds, Series B (AMT), 5.00%, 7/01/39 | 1,000,000 | 982,786 | |
Tennergy Corp. Gas Revenue Bonds, Series A, 4.00%, 9/01/28(a)(b)(c) | 500,000 | 469,293 | |
2,190,554 | |||
Texas – 6.6% | |||
Arlington Higher Education Finance Corp. Revenue Bonds, Riverwalk Education Foundation (PSF, Gtd), 5.00%, 8/15/47 | 500,000 | 512,531 | |
Austin Airport System Revenue Bonds, Series A, 5.00%, 11/15/46 | 1,380,000 | 1,349,534 | |
Austin Convention Enterprises, Inc., Convention Center Revenue Refunding Bonds, First Tier, 5.00%, 1/01/32 | 625,000 | 617,700 | |
Board of Managers Joint Guadalupe County-City of Seguin Hospital Mortgage Revenue Refunding Bonds, 5.00%, 12/01/40 | 200,000 | 180,502 | |
Central Texas Regional Mobility Authority Revenue Bonds, Series C, 5.00%, 1/01/27 | 275,000 | 282,072 |
Par | Value | ||
Texas (Continued) | |||
Central Texas Regional Mobility Authority Senior Lien Revenue Refunding Bonds, Series A, 5.00%, 1/01/49 | $ 500,000 | $ 473,638 | |
Dallas Texas Hotel Occupancy Tax Revenue Refunding Bonds, 4.00%, 8/15/30 | 300,000 | 289,337 | |
Dallas Texas Housing Finance Corp., Estates at Shiloh Revenue Bonds, 1.25%, 7/01/23(a)(b)(c) | 500,000 | 491,656 | |
Dallas-Fort Worth International Airport Improvement Revenue Bonds, Series B, 5.00%, 11/01/44 | 350,000 | 350,000 | |
Dallas-Fort Worth International Airport Joint Improvement Revenue Bonds, Series C, 5.00%, 11/01/34 | 445,000 | 447,994 | |
Dallas-Fort Worth International Airport Joint Revenue Refunding Bonds, Series A (AMT), 5.25%, 11/01/30 | 1,100,000 | 1,106,686 | |
El Paso Texas Airport Revenue Bonds (AMT), 5.00%, 8/15/27 | 375,000 | 383,562 | |
Fort Bend Independent School District Variable GO Unlimited Refunding Bonds, Series B (PSF, Gtd), 0.72%, 8/01/26(a)(b)(c) | 860,000 | 745,640 | |
Grand Parkway Transportation Corp., System Toll Revenue Refunding Bonds, Grand Parkway System - First, 4.00%, 10/01/45 | 265,000 | 226,779 | |
Harris County Cultural Education Facilities Finance Corp., Variable Revenue Bonds, Memorial Hermann Health System, 5.00%, 12/01/24(a)(b)(c) | 1,000,000 | 1,025,014 | |
Harris County Cultural Educational Facilities Finance Corp., Revenue Refunding Bonds, Texas Children's Hospital, 4.00%, 10/01/38 | 350,000 | 320,017 | |
Houston Airport System Revenue Bonds, Subseries A (AMT), 5.00%, 7/01/25 | 500,000 | 511,129 |
Par | Value | ||
Texas (Continued) | |||
Houston Airport System Revenue Refunding Bonds (AMT), United Airlines, Inc., Improvement Projects, 5.00%, 7/15/27 | $ 175,000 | $173,830 | |
Houston Airport System Revenue Refunding Bonds (AMT), United Airlines, Inc., Terminal, 5.00%, 7/01/27 | 125,000 | 124,172 | |
Houston Airport System Subordinate Revenue Refunding Bonds, Series B, 5.00%, 7/01/26 | 500,000 | 522,682 | |
Houston Hotel Occupancy Tax & Special Revenue Refunding Bonds, Convention & Entertainment, 5.00%, 9/01/36 | 510,000 | 527,805 | |
Lower Colorado River Authority Transmission Contract Revenue Refunding Bonds, LCRA Transmission Services Corp. Project, 5.00%, 5/15/35 | 250,000 | 261,628 | |
Montgomery County Toll Road Authority Senior Lien Revenue Bonds, 5.00%, 9/15/37 | 500,000 | 485,855 | |
New Hope Cultural Educational Facilities Finance Corp., Retirement Facilities Revenue Refunding Bonds, Presbyterian Village North Project, 5.25%, 10/01/49 | 100,000 | 81,706 | |
New Hope Cultural Educational Facilities Finance Corp., Retirement Facilities Revenue Refunding Bonds, Westminster Manor Project, 5.00%, 11/01/31 | 250,000 | 249,105 | |
Northside Texas Independent School District GO Unlimited Refunding Bonds (PSF, Gtd), 1.60%, 8/01/24(a)(b)(c) | 340,000 | 325,277 | |
Northside Texas Independent School District Variable GO Unlimited Bonds (PSF, Gtd), 2.75%, 8/01/23(a)(b)(c) | 1,000,000 | 989,474 |
Par | Value | ||
Texas (Continued) | |||
Odessa Junior College District Consolidated Revenue Bonds (AGM Insured), 4.00%, 7/01/27 | $ 435,000 | $ 443,621 | |
Port Arthur Certificates GO Limited Bonds (BAM Insured), 5.00%, 2/15/27 | 345,000 | 363,938 | |
Port Beaumont Navigation District Dock & Wharf Facility Revenue Refunding Bonds (AMT), Jefferson Gulf Coast Energy Project, 4.00%, 1/01/50(d) | 375,000 | 255,761 | |
San Antonio Airport System Subordinate Lien Revenue Refunding Bonds, Series A (AMT), 5.00%, 7/01/30 | 250,000 | 255,607 | |
San Antonio Water Junior Lien Variable Revenue Bonds, Series A, 2.63%, 5/01/24(a)(b)(c) | 1,125,000 | 1,111,673 | |
Tarrant County Cultural Educational Facilities Finance Corp., Revenue Refunding Bonds, Texas Health Resources System Obligation, | |||
5.00%, 2/15/34 | 400,000 | 409,547 | |
5.00%, 2/15/47 | 700,000 | 681,042 | |
Texas City Industrial Development Corp., Revenue Bonds, Series 2012, NRG Energy Project, 4.12%, 12/01/45 | 545,000 | 425,725 | |
Texas State PFA Lease Revenue Refunding Bonds, 4.00%, 2/01/36 | 250,000 | 236,773 | |
Texas State Private Activity Bond Surface Transportation Corp., Revenue Bonds (AMT), Segment 3C Project, 5.00%, 6/30/58 | 1,100,000 | 978,465 | |
Texas State Private Activity Bond Surface Transportation Corp., Senior Lien Revenue Bonds (AMT), Blueridge Transportation, | |||
5.00%, 12/31/45 | 500,000 | 476,399 | |
5.00%, 12/31/55 | 200,000 | 182,994 |
Par | Value | ||
Texas (Continued) | |||
Texas State Private Activity Bond Surface Transportation Corp., Senior Lien Revenue Refunding Bonds, North Tarrant Express, 4.00%, 12/31/38 | $ 750,000 | $ 636,312 | |
Texas State Transportation Commission Central Turnpike System Revenue Refunding Bonds, Series A, 5.00%, 8/15/39 | 750,000 | 772,635 | |
Texas State Transportation Commission Central Turnpike System Subordinate Revenue Refunding Bonds, Series C, 5.00%, 8/15/42 | 100,000 | 100,306 | |
Texas State Transportation Commission First Tier Toll Revenue Bonds, State Highway, 5.00%, 8/01/57 | 100,000 | 91,217 | |
Texas State Transportation Commission First Tier Toll Revenue CABS, 0.00%, 8/01/29(g) | 480,000 | 334,824 | |
Texas State Water Development Board Revenue Bonds, State Water Implementation Fund, 4.00%, 10/15/38 | 510,000 | 491,371 | |
University of Houston Revenue Refunding Bonds, Series A, 5.00%, 2/15/47 | 250,000 | 258,292 | |
21,561,827 | |||
Utah – 0.2% | |||
Salt Lake City Airport Revenue Bonds, Series A (AMT), 5.00%, 7/01/47 | 805,000 | 766,915 | |
Virginia – 3.0% | |||
Chesapeake Bay Bridge & Tunnel District Revenue Bonds, First Tier General Resolution (AGM Insured), 5.00%, 7/01/41 | 1,000,000 | 1,020,968 | |
Chesapeake Bay Bridge & Tunnel District Revenue First Tier General Resolution Revenue BANS, 5.00%, 11/01/23 | 300,000 | 303,370 | |
Chesapeake Bay Bridge & Tunnel District Revenue First Tier General Resolution Revenue Bonds, 5.00%, 7/01/51 | 750,000 | 753,319 |
Par | Value | ||
Virginia (Continued) | |||
Chesapeake Hospital Authority Hospital Facilities Revenue Refunding Bonds, Chesapeake Regional Medical Center, 5.00%, 7/01/31 | $500,000 | $516,340 | |
Chesapeake Transportation System Senior Toll Road Revenue Bonds, Series A, 5.00%, 7/15/47 | 500,000 | 500,185 | |
Fairfax County EDA Residential Care Facilities Revenue Bonds, Series A, Vinson Hall LLC, Prerefunded, 5.00%, 12/01/23(e) | 200,000 | 203,586 | |
Fairfax County EDA Residential Care Facilities Revenue Refunding Bonds, Series A, Goodwin House, Inc., 5.00%, 10/01/24(e) | 150,000 | 157,240 | |
Fairfax County IDA Health Care Revenue Refunding Bonds, Inova Health System, 5.00%, 5/15/23(a)(b)(c) | 500,000 | 504,007 | |
Fairfax County IDA Health Care Revenue Refunding Bonds, Inova Health System Project, 3.50%, 5/15/39 | 500,000 | 424,722 | |
Fairfax County Water Authority Revenue Refunding Bonds, 5.00%, 4/01/45 | 500,000 | 517,216 | |
Hampton Roads Transportation Accountability Commission Senior Lien Revenue Bonds, Series A, Prerefunded, 5.50%, 1/01/28(e) | 300,000 | 331,234 | |
James City County EDA Residential Care Facilities Variable Revenue Bonds, United Methodist Home, Prerefunded, 6.00%, 6/01/23(e) | 99,579 | 100,960 | |
Newport News Economic Development Authority Residential Care Facilities Revenue Refunding Bonds, Lifespire of Virginia, 5.00%, 12/01/38 | 560,000 | 546,680 |
Par | Value | ||
Virginia (Continued) | |||
University of Virginia Revenue Refunding Bonds, Series A, 5.00%, 4/01/47 | $ 500,000 | $ 518,044 | |
Virginia Small Business Financing Authority Private Activity Revenue Bonds (AMT), Transform 66 P3 Project, 5.00%, 12/31/56 | 250,000 | 224,468 | |
Virginia State Small Business Financing Authority Senior Lien Revenue Bonds (AMT), Elizabeth River Crossings OpCo, LLC Project, | |||
4.00%, 7/01/32 | 275,000 | 253,943 | |
4.00%, 1/01/37 | 660,000 | 572,480 | |
Virginia State Small Business Financing Authority Senior Lien Revenue Refunding Bonds (AMT), 95 Express Lanes, | |||
5.00%, 7/01/38 | 645,000 | 625,933 | |
4.00%, 1/01/40 | 280,000 | 232,323 | |
4.00%, 1/01/48 | 225,000 | 170,545 | |
Virginia State Small Business Financing Authority Senior Lien Revenue Refunding Bonds (AMT), I-495 Hot Lanes, 5.00%, 12/31/47 | 350,000 | 335,615 | |
York County EDA PCR Bonds, Series A, Electric & Power, 1.90%, 6/01/23(a)(b)(c) | 1,000,000 | 988,675 | |
9,801,853 | |||
Washington – 3.0% | |||
Central Puget Sound Regional Transit Authority Sales & Use Tax Improvement Revenue Refunding Bonds, Series S-1, Green Bond, Prerefunded, 5.00%, 11/01/25(e) | 1,000,000 | 1,049,227 | |
Energy Electric Revenue Refunding Bonds, Columbia Generating Station, 5.00%, 7/01/36 | 1,200,000 | 1,278,420 | |
King County Public Hospital District No. 1 GO Limited Tax Refunding Bonds, Valley Medical Center, 5.00%, 12/01/26 | 550,000 | 578,936 |
Par | Value | ||
Washington (Continued) | |||
King County Sewer Revenue Refunding Bonds, 5.00%, 7/01/42 | $ 250,000 | $ 258,792 | |
Port of Seattle Airport Intermediate Lien Revenue Bonds (AMT), | |||
5.00%, 4/01/32 | 490,000 | 500,091 | |
5.00%, 4/01/44 | 500,000 | 480,165 | |
Port of Seattle Intermediate Lien Revenue Refunding Bonds (AMT), 5.00%, 8/01/47 | 250,000 | 238,151 | |
Seattle Housing Authority Revenue Refunding Bonds, Northgate Plaza Project, 1.00%, 6/01/26 | 500,000 | 456,331 | |
Seattle Municipal Light & Power Revenue Refunding Bonds, 4.00%, 9/01/40 | 500,000 | 458,867 | |
Seattle Municipal Light & Power Variable Revenue Refunding Bonds, Series B, (SIFMA Municipal Swap Index Yield + 0.25%), 2.63%, 11/01/26(a)(c) | 750,000 | 731,115 | |
Washington State GO Unlimited Bonds, Series C, | |||
5.00%, 2/01/26 | 350,000 | 368,307 | |
5.00%, 2/01/40 | 2,000,000 | 2,103,965 | |
Washington State Health Care Facilities Authority Revenue Bonds, Series A, Providence Health & Services, 4.00%, 10/01/34 | 500,000 | 469,602 | |
Washington State Health Care Facilities Authority Revenue Refunding Bonds, Series B, Commonspirit Health, 5.00%, 8/01/26(a)(b)(c) | 615,000 | 628,122 | |
Washington State Higher Educational Facilities Authority Revenue Bonds, Seattle University Project, 4.00%, 5/01/50 | 250,000 | 198,825 | |
9,798,916 | |||
Wisconsin – 1.8% | |||
Clayton Town NANS, Series B, | |||
2.00%, 6/01/24 | 100,000 | 95,562 | |
2.00%, 6/01/25 | 225,000 | 208,786 |
Par | Value | ||
Wisconsin (Continued) | |||
Milwaukee Corp., Purpose GO Unlimited Bonds, Series B3, 4.00%, 4/01/26 | $1,000,000 | $1,003,791 | |
Park Falls NANS, Series B, 3.00%, 3/01/25 | 975,000 | 958,713 | |
PFA Education Revenue Bonds, North Carolina Leadership Academy, 5.00%, 6/15/49(d) | 100,000 | 84,220 | |
PFA Educational Revenue Bonds, Piedmont Community Charter School, | |||
5.00%, 6/15/39 | 490,000 | 466,345 | |
5.00%, 6/15/49 | 150,000 | 136,320 | |
PFA Exempt Facilities Revenue Refunding Bonds (AMT), National Gypsum Co., 4.00%, 8/01/35 | 370,000 | 301,811 | |
PFA Hospital Revenue Refunding Bonds, Series A, WakeMed Hospital, 4.00%, 10/01/49 | 500,000 | 393,117 | |
PFA Pollution Control Variable Revenue Refunding Bonds, Duke Energy Progress Project, 3.30%, 10/01/26(a)(b)(c) | 500,000 | 488,514 | |
PFA Revenue Bonds, Roseman University of Health System, 5.00%, 4/01/50(d) | 250,000 | 208,385 | |
Wisconsin Center District Appropriation Revenue Bonds, Milwaukee Arena Project, 5.00%, 12/15/27 | 200,000 | 210,850 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Benevolent Corp., Cedar Community, 5.00%, 6/01/41 | 250,000 | 218,409 |
Par | Value | ||
Wisconsin (Continued) | |||
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Series B5, 5.00%, 12/03/24(a)(b)(c) | $1,000,000 | $ 1,026,085 | |
Wisconsin State Health & Educational Facilities Authority Variable Revenue Refunding Bonds, Advocate Aurora Health Credit Group, (SIFMA Municipal Swap Index Yield + 0.55%), 2.93%, 7/26/23(a)(c) | 250,000 | 249,425 | |
6,050,333 | |||
Total Municipal Bonds (Cost $332,087,851) | 298,102,046 |
Par/Number of Shares | |||
Short-Term Investments – 8.1% | |||
Money Market Fund – 2.3% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 2.48%(j) | 7,685,298 | 7,685,298 | |
Municipal Bonds – 5.8% | |||
Atlantic City Board Of Education GO Unlimited Refunding Bonds (AGM School Board Resource Fund Insured), 4.00%, 4/01/23 | 300,000 | 300,904 | |
Botetourt County Residential Care Facility Revenue Refunding Bonds, Series A, Glebe, Inc., 4.75%, 7/01/23 | 60,000 | 60,187 | |
Capital Trust Agency Sustainability Revenue Bonds, The Marie, 4.00%, 6/15/23(d) | 550,000 | 544,818 | |
Chicago GO Unlimited Refunding Bonds, Series A, 5.00%, 1/01/23 | 400,000 | 400,465 | |
Cleveland-Cuyahoga County Port Authority Euclid Avenue Development Corp., Revenue Refunding Bonds, 5.00%, 8/01/23 | 370,000 | 374,201 |
Par/Number of Shares | Value | ||
Municipal Bonds (Continued) | |||
Clifton Higher Education Finance Corp. Revenue Bonds, Series A, Idea Public School, 5.00%, 8/15/23 | $325,000 | $328,109 | |
E-470 Public Highway Authority Senior Revenue Refunding Bonds, Series A, 5.00%, 9/01/23 | 150,000 | 151,939 | |
East Vincent GO Unlimited Refunding Bonds, 2.00%, 12/01/22 | 200,000 | 199,701 | |
Grundy Kendall & Will Counties Community High School District No. 111 GO Unlimited Refunding Bonds, 4.00%, 5/01/23 | 175,000 | 175,486 | |
Houston Hotel Occupancy Tax & Special Revenue Refunding Bonds, Convention & Entertainment, 4.00%, 9/01/23 | 185,000 | 185,815 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series C, Presence Health Network, 5.00%, 2/15/23 | 500,000 | 502,085 | |
Illinois State GO Unlimited Bonds, 5.38%, 5/01/23 | 250,000 | 251,712 | |
Illinois State Sales TRB, Build Illinois - Junior Obligation, 5.00%, 6/15/23 | 200,000 | 201,202 | |
Indiana State Finance Authority Revenue Refunding Bonds, Valparaiso University Project, 5.00%, 10/01/23 | 585,000 | 590,627 | |
Indianola GO Unlimited Capital Loan Notes, 3.00%, 6/01/23 | 195,000 | 194,629 | |
Libertyville GO Unlimited Refunding Bonds, Series A, 3.00%, 12/15/22 | 235,000 | 234,806 | |
Louisville Regional Airport Authority Airport System Revenue Refunding Bonds, Series A (AMT), 5.00%, 7/01/23 | 500,000 | 504,426 | |
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 | 701,396 |
Par/Number of Shares | Value | ||
Municipal Bonds (Continued) | |||
Mcintosh County Educational Facilities Authority Lease Revenue Bonds, Checotah Public Schools Project, 2.00%, 9/01/23 | $ 300,000 | $ 293,926 | |
Metropolitan Transportation Authority Revenue BANS, Series A-1, 5.00%, 2/01/23 | 750,000 | 752,513 | |
Michigan State Finance Authority Revenue Refunding Bonds, Michigan Health, Escrowed to Maturity, 5.00%, 6/01/23 | 390,000 | 394,132 | |
Missouri State Public Utilities Commission Revenue Notes, 0.75%, 8/01/23 | 2,000,000 | 1,943,426 | |
Muskogee Industrial Trust Educational Lease Revenue Bonds, Muskogee Public Schools Project, 5.00%, 9/01/23 | 900,000 | 908,535 | |
New Jersey Economic Development Authority Revenue Refunding bonds, Series GGG, School Facilities Construction, 5.25%, 9/01/23(d) | 1,500,000 | 1,518,857 | |
New Jersey State EDA Revenue Refunding Bonds, Series XX, 5.00%, 6/15/23 | 170,000 | 171,370 | |
New Jersey State Transportation Trust Fund Authority Transportation System Revenue Bonds, Series A, 5.25%, 12/15/22 | 1,000,000 | 1,001,918 | |
Newark Board of Education GO Unlimited Bonds, Sustainability Bonds (School Board Guaranty Program), 5.00%, 7/15/23 | 300,000 | 303,572 | |
North Carolina Capital Facilities Finance Agency Educational Facilities Revenue Refunding Bonds, High Point University, 4.00%, 5/01/23 | 300,000 | 300,863 | |
Oil City GO Unlimited Bonds, Series A (AGM Insured), 3.00%, 12/01/22 | 100,000 | 99,967 |
Par/Number of Shares | Value | ||
Municipal Bonds (Continued) | |||
Osage County Industrial Authority Use Tax Revenue BANS, 2.00%, 9/01/23 | $1,500,000 | $1,467,823 | |
Pequea Valley School District GO Limited Bonds (State Aid Withholding), 2.00%, 5/15/23 | 175,000 | 173,295 | |
PMA Levy & Aid TRANS, Series A, 4.00%, 8/24/23 | 500,000 | 501,641 | |
Puerto Rico Commonwealth Restructured GO Unlimited Bonds, Series A1, 5.25%, 7/01/23 | 30,130 | 30,175 | |
Puerto Rico Electric Power Authority Power Revenue Refunding Bonds, Series ZZ, 5.25%, 7/01/23(i) | 175,000 | 131,250 | |
Sand Creek Metropolitan District GO Limited Refunding Bonds, Series A (AGM Insured), 4.00%, 12/01/22 | 125,000 | 125,066 | |
Seattle Municipal Light & Power Variable Revenue Refunding Bonds, (SIFMA Municipal Swap Index Yield + 0.35%), 2.73%, 11/01/22(c) | 900,000 | 900,000 | |
Tampa Hospital Revenue Bonds, H. Lee Moffitt Cancer Center, 5.00%, 7/01/23 | 150,000 | 151,328 |
Par/Number of Shares | Value | ||
Municipal Bonds (Continued) | |||
Wagoner County School Development Authority Educational Facilities Lease Revenue Bonds, Wagoner Public Schools Project, 4.00%, 9/01/23 | $1,060,000 | $ 1,064,758 | |
Wilkes-Barre Area School District GO Limited Bonds (BAM State Aid Withholding), 5.00%, 4/15/23 | 200,000 | 201,414 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Beloit Health System, Inc., 5.00%, 7/01/23 | 645,000 | 649,863 | |
18,988,200 | |||
Total Short-Term Investments (Cost $26,943,394) | 26,673,498 | ||
Total Investments – 99.1% (Cost $359,031,245) | 324,775,544 | ||
Other Assets less Liabilities – 0.9% | 2,812,687 | ||
NET ASSETS – 100.0% | $327,588,231 |
Percentages shown are based on Net Assets. |
(a) | Maturity date represents the puttable date. | ||
(b) | These securities are remarketed by an agent, and the interest rate is determined by general market conditions and supply and demand. | ||
(c) | Variable rate security. Rate as of October 31, 2022 is disclosed. | ||
(d) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | ||
(e) | Maturity date represents the prerefunded date. | ||
(f) | When-Issued Security. Coupon rate was not yet in effect at October 31, 2022. | ||
(g) | Zero coupon bond. | ||
(h) | 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. | ||
(i) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. | ||
(j) | 7-day current yield as of October 31, 2022 is disclosed. |
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 Administration |
FHA | Federal Housing Administration |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GO | Government Obligation |
Gtd | Guaranteed |
HFA | Housing Finance Authority |
IBC | Insured Bond Certificates |
IDA | Industrial Development Association |
LLC | Limited Liability Company |
LOC | Letter of Credit |
MFH | Multifamily Housing |
MTA | Metropolitan Transportation Authority |
NATL | National Interstate Insurance |
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 |
TRANS | Tax Revenue Anticipation Bonds |
TRB | Tax Revenue Bonds |
Municipal Issue Type (%)(a),(b) | |
Revenue Bonds | 65.0 |
Special Tax Bonds | 18.4 |
General Obligation Unlimited Bonds | 8.1 |
General Obligation Limited Bonds | 2.3 |
Certificates of Participation | 1.4 |
Revenue Notes | 1.3 |
Tax Allocation Bonds | 0.2 |
Special Assessment Bonds | 0.1 |
Total | 96.8 |
(a)Percentages shown are based on Net Assets. |
(b)Excludes Short-Term Money Market Fund Investments. |
Morningstar Municipal Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Municipal Bonds | $ — | $298,102,046 | $— | $298,102,046 |
Short-Term Investments | 7,685,298 | 18,988,200 | — | 26,673,498 |
Total Investments | $7,685,298 | $317,090,246 | $— | $324,775,544 |
Par | Value | ||
Asset-Backed Securities – 35.0% | |||
Automobile – 7.9% | |||
American Credit Acceptance Receivables Trust, | |||
Series 2022-1, Class B, 1.68%, 9/14/26(a) | $189,000 | $180,917 | |
Series 2021-4, Class C, 1.32%, 2/14/28(a) | 296,000 | 281,036 | |
Series 2022-1, Class C, 2.12%, 3/13/28(a) | 389,000 | 362,479 | |
BMW Vehicle Lease Trust, Series 2022-1, Class A4, 1.23%, 5/27/25 | 255,000 | 239,865 | |
CarMax Auto Owner Trust, Series 2022-1, Class A3, 1.47%, 12/15/26 | 519,000 | 491,345 | |
Chesapeake Funding II LLC, Series 2020-1A, Class C, 2.14%, 8/15/32(a) | 159,000 | 154,452 | |
Drive Auto Receivables Trust, | |||
Series 2021-3, Class B, 1.11%, 5/15/26 | 625,000 | 605,079 | |
Series 2021-3, Class C, 1.47%, 1/15/27 | 625,000 | 593,456 | |
Series 2021-2, Class C, 0.87%, 10/15/27 | 417,000 | 393,748 | |
DT Auto Owner Trust, | |||
Series 2021-4A, Class B, 1.02%, 5/15/26(a) | 116,000 | 109,600 | |
Series 2021-3A, Class C, 0.87%, 5/17/27(a) | 149,000 | 139,478 | |
Series 2021-4A, Class C, 1.50%, 9/15/27(a) | 116,000 | 106,915 | |
Series 2022-1A, Class C, 2.96%, 11/15/27(a) | 162,000 | 152,970 | |
Exeter Automobile Receivables Trust, Series 2021-4A, Class C, 1.46%, 10/15/27 | 356,000 | 330,601 | |
Flagship Credit Auto Trust, | |||
Series 2021-4, Class B, 1.49%, 2/15/27(a) | 73,000 | 67,764 | |
Series 2021-2, Class C, 1.27%, 6/15/27(a) | 150,000 | 137,466 | |
Ford Credit Auto Lease Trust, | |||
Series 2021-B, Class B, 0.66%, 1/15/25 | 178,000 | 167,974 | |
Series 2021-B, Class C, 0.90%, 5/15/26 | 176,000 | 165,587 | |
Ford Credit Auto Owner Trust, Series 2022-A, Class A3, 1.29%, 6/15/26 | 279,000 | 265,065 |
Par | Value | ||
Automobile (Continued) | |||
GM Financial Consumer Automobile Receivables Trust, | |||
Series 2020-3, Class C, 1.37%, 1/16/26 | $ 50,000 | $ 47,024 | |
Series 2022-1, Class A3, 1.26%, 11/16/26 | 244,000 | 231,208 | |
Hertz Vehicle Financing LLC, Series 2021-1A, Class A, 1.21%, 12/26/25(a) | 626,000 | 568,759 | |
Honda Auto Receivables Owner Trust, Series 2021-4, Class A3, 0.88%, 1/21/26 | 379,000 | 357,311 | |
Hyundai Auto Lease Securitization Trust, Series 2022-A, Class A4, 1.32%, 12/15/25(a) | 300,000 | 282,880 | |
Hyundai Auto Receivables Trust, Series 2021-C, Class A3, 0.74%, 5/15/26 | 250,000 | 234,863 | |
Prestige Auto Receivables Trust, | |||
Series 2021-1A, Class B, 1.19%, 4/15/26(a) | 323,000 | 304,376 | |
Series 2021-1A, Class C, 1.53%, 2/15/28(a) | 116,000 | 105,717 | |
Santander Drive Auto Receivables Trust, Series 2021-4, Class C, 1.26%, 2/16/27 | 518,000 | 493,559 | |
Santander Retail Auto Lease Trust, | |||
Series 2022-A, Class A3, 1.34%, 7/21/25(a) | 262,000 | 246,044 | |
Series 2022-A, Class A4, 1.42%, 1/20/26(a) | 157,000 | 145,501 | |
Series 2022-A, Class B, 1.61%, 1/20/26(a) | 86,000 | 79,056 | |
Volkswagen Auto Loan Enhanced Trust, Series 2021-1, Class A3, 1.02%, 6/22/26 | 449,000 | 423,369 | |
Westlake Automobile Receivables Trust, | |||
Series 2021-2A, Class C, 0.89%, 7/15/26(a) | 406,000 | 381,490 | |
Series 2021-3A, Class B, 1.29%, 1/15/27(a) | 599,000 | 569,626 | |
Series 2021-3A, Class C, 1.58%, 1/15/27(a) | 598,000 | 558,808 | |
Series 2022-1A, Class C, 3.11%, 3/15/27(a) | 448,000 | 422,434 |
Par | Value | ||
Automobile (Continued) | |||
World Omni Auto Receivables Trust, Series 2020-C, Class C, 1.39%, 5/17/27 | $ 50,000 | $ 46,593 | |
10,444,415 | |||
Other – 26.9% | |||
ABPCI Direct Lending Fund ABS I Ltd., Series 2020-1A, Class B, 4.93%, 12/20/30(a)(b) | 891,000 | 801,359 | |
ABPCI Direct Lending Fund ABS II LLC, | |||
Series 2022-2A, Class A1, (3M CME Term SOFR + 2.10%, 2.10% Floor), 6.15%, 3/01/32(a)(b)(c) | 224,000 | 219,085 | |
Series 2022-2A, Class C, 8.24%, 3/01/32(a)(b) | 935,000 | 861,401 | |
ABPCI Direct Lending Fund CLO II LLC, Series 2017-1A, Class ER, (3M USD LIBOR + 7.60%, 7.60% Floor), 11.84%, 4/20/32(a)(c) | 746,000 | 643,531 | |
ABPCI Direct Lending Fund CLO X L.P., Series 2020-10A, Class A1A, (3M USD LIBOR + 1.95%, 1.95% Floor), 6.19%, 1/20/32(a)(c) | 250,000 | 244,903 | |
ABPCI Direct Lending Fund IX LLC, Series 2020-9A, Class A1R, (3M USD LIBOR + 1.40%, 1.40% Floor), 5.76%, 11/18/31(a)(c) | 378,000 | 363,607 | |
Blackrock Mount Adams CLO IX L.P., Series 2021-9A, Class A1, (3M USD LIBOR + 1.37%, 1.37% Floor), 4.97%, 9/22/31(a)(c) | 259,000 | 251,160 | |
CARS-DB4 L.P., Series 2020-1A, Class A1, 2.69%, 2/15/50(a) | 144,818 | 134,361 | |
Cerberus Loan Funding XXIX L.P., Series 2020-2A, Class A, (3M USD LIBOR + 1.90%, 1.90% Floor), 5.98%, 10/15/32(a)(c) | 939,000 | 925,668 | |
Cerberus Loan Funding XXV L.P., Series 2018-4RA, Class A1TR, (3M USD LIBOR + 1.53%, 1.53% Floor), 5.61%, 10/15/30(a)(c) | 797,000 | 788,422 |
Par | Value | ||
Other (Continued) | |||
Cerberus Loan Funding XXVI L.P., Series 2019-1A, Class AR, (3M USD LIBOR + 1.50%, 1.50% Floor), 5.58%, 4/15/31(a)(c) | $250,000 | $241,947 | |
Cerberus Loan Funding XXVIII L.P., | |||
Series 2020-1A, Class A, (3M USD LIBOR + 1.85%, 1.85% Floor), 5.93%, 10/15/31(a)(c) | 711,266 | 704,805 | |
Series 2020-1A, Class D, (3M USD LIBOR + 5.30%, 5.30% Floor), 9.38%, 10/15/31(a)(c) | 764,000 | 727,482 | |
Cerberus Loan Funding XXXI L.P., Series 2021-1A, Class A, (3M USD LIBOR + 1.50%, 1.50% Floor), 5.58%, 4/15/32(a)(c) | 382,012 | 374,321 | |
Coinstar Funding LLC, Series 2017-1A, Class A2, 5.22%, 4/25/47(a) | 876,960 | 811,326 | |
Cologix Data Centers U.S. Issuer LLC, Series 2021-1A, Class A2, 3.30%, 12/26/51(a) | 412,000 | 354,978 | |
Conn's Receivables Funding LLC, Series 2021-A, Class B, 2.87%, 5/15/26(a) | 381,000 | 372,270 | |
Dell Equipment Finance Trust, | |||
Series 2020-2, Class D, 1.92%, 3/23/26(a) | 255,000 | 248,483 | |
Series 2021-2, Class C, 0.94%, 12/22/26(a) | 104,000 | 96,611 | |
Diamond Infrastructure Funding LLC, Series 2021-1A, Class C, 3.47%, 4/15/49(a) | 104,000 | 80,184 | |
Diamond Issuer, Series 2021-1A, Class C, 3.79%, 11/20/51(a) | 282,000 | 227,948 | |
Elm Trust, | |||
Series 2020-3A, Class A2, 2.95%, 8/20/29(a) | 134,000 | 127,256 | |
Series 2020-3A, Class B, 4.48%, 8/20/29(a) | 332,000 | 313,301 | |
Series 2020-4A, Class A2, 2.29%, 10/20/29(a) | 113,000 | 105,433 | |
Series 2020-4A, Class B, 3.87%, 10/20/29(a) | 338,000 | 315,108 |
Par | Value | ||
Other (Continued) | |||
FCI Funding, Series 2021-1A, Class A, 1.13%, 4/15/33(a) | $ 65,843 | $ 64,061 | |
Fortress Credit Opportunities IX CLO Ltd., Series 2017-9A, Class A1TR, (3M USD LIBOR + 1.55%, 1.55% Floor), 5.63%, 10/15/33(a)(c) | 954,000 | 906,328 | |
Fortress Credit Opportunities XI CLO Ltd., Series 2018-11A, Class A1T, (3M USD LIBOR + 1.30%), 5.38%, 4/15/31(a)(c) | 373,000 | 365,714 | |
Fortress Credit Opportunities XVII CLO Ltd., Series 2022-17A, Class A, (3M CME Term SOFR + 1.37%, 1.37% Floor), 5.23%, 1/15/30(a)(c) | 441,168 | 431,279 | |
Golub Capital Partners ABS Funding Ltd., | |||
Series 2020-1A, Class A2, 3.21%, 1/22/29(a) | 769,000 | 698,549 | |
Series 2020-1A, Class B, 4.50%, 1/22/29(a) | 476,000 | 435,243 | |
Series 2021-1A, Class A2, 2.77%, 4/20/29(a) | 161,000 | 144,280 | |
Series 2021-1A, Class B, 3.82%, 4/20/29(a) | 382,000 | 344,383 | |
Series 2021-2A, Class A, 2.94%, 10/19/29(a) | 796,000 | 661,340 | |
Series 2021-2A, Class B, 3.99%, 10/19/29(a) | 926,000 | 752,907 | |
Golub Capital Partners CLO 36m Ltd., Series 2018-36A, Class A, (3M USD LIBOR + 1.30%), 4.13%, 2/05/31(a)(c) | 562,000 | 546,473 | |
Golub Capital Partners CLO Ltd., | |||
Series 2018-38A, Class C, (3M USD LIBOR + 2.80%, 2.80% Floor), 7.04%, 7/20/30(a)(c) | 507,000 | 472,850 | |
Series 2019-42A, Class A2, (3M USD LIBOR + 2.00%, 2.00% Floor), 6.24%, 4/20/31(a)(c) | 472,000 | 462,969 |
Par | Value | ||
Other (Continued) | |||
Gracie Point International Funding, Series 2021-1A, Class A, (1M USD LIBOR + 0.75%), 4.52%, 11/01/23(a)(c) | $402,845 | $401,246 | |
HPEFS Equipment Trust, | |||
Series 2022-1A, Class A3, 1.38%, 5/21/29(a) | 551,000 | 524,156 | |
Series 2022-1A, Class B, 1.79%, 5/21/29(a) | 226,000 | 211,001 | |
Series 2022-1A, Class C, 1.96%, 5/21/29(a) | 150,000 | 138,744 | |
Ivy Hill Middle Market Credit Fund XVIII Ltd., Series 18A, Class E, (3M USD LIBOR + 7.75%, 7.75% Floor), 12.07%, 4/22/33(a)(c) | 970,000 | 794,563 | |
Lake Shore MM CLO III LLC, | |||
Series 2019-2A, Class A1R, (3M USD LIBOR + 1.48%, 1.48% Floor), 5.56%, 10/17/31(a)(c) | 202,000 | 197,021 | |
Series 2019-2A, Class A2R, 2.52%, 10/17/31(a) | 100,000 | 90,712 | |
Lake Shore MM CLO IV Ltd., Series 2021-1A, Class X, (3M USD LIBOR + 1.18%, 1.18% Floor), 5.26%, 10/15/33(a)(c) | 116,000 | 115,145 | |
Legal Fee Funding LLC, Series 2006-1A, Class A, 8.00%, 7/20/36(a) | 28,176 | 25,955 | |
MCF CLO IX Ltd., Series 2019-1A, Class A1R, (3M CME Term SOFR + 1.50%, 1.50% Floor), 5.36%, 7/17/31(a)(c) | 971,000 | 947,264 | |
Monroe Capital ABS Funding Ltd., | |||
Series 2021-1A, Class A2, 2.81%, 4/22/31(a)(b) | 403,000 | 358,181 | |
Series 2021-1A, Class B, 3.91%, 4/22/31(a)(b) | 221,000 | 196,829 | |
NRZ Advance Receivables Trust, Series 2020-T2, Class AT2, 1.48%, 9/15/53(a) | 930,000 | 886,378 | |
Oasis Securitization Funding LLC, Series 2021-1A, Class A, 2.58%, 2/15/33(a) | 50,750 | 49,973 |
Par | Value | ||
Other (Continued) | |||
Oportun Funding XIV LLC, Series 2021-A, Class A, 1.21%, 3/08/28(a) | $143,000 | $130,374 | |
Oportun Issuance Trust, | |||
Series 2021-B, Class A, 1.47%, 5/08/31(a) | 230,000 | 200,690 | |
Series 2021-C, Class A, 2.18%, 10/08/31(a) | 803,000 | 705,460 | |
Owl Rock CLO III Ltd., Series 2020-3A, Class A1L, (3M USD LIBOR + 1.80%), 6.04%, 4/20/32(a)(c) | 400,000 | 388,679 | |
Owl Rock CLO VI Ltd., Series 2021-6A, Class A, (3M USD LIBOR + 1.45%, 1.45% Floor), 4.98%, 6/21/32(a)(c) | 915,000 | 881,745 | |
Owl Rock Technology Financing LLC, Series 2020-1A, Class A, (3M USD LIBOR + 2.95%, 2.95% Floor), 7.03%, 1/15/31(a)(c) | 788,000 | 760,208 | |
Parliament CLO II Ltd., Series 2021-2A, Class A, (3M USD LIBOR + 1.35%, 1.35% Floor), 4.33%, 8/20/32(a)(c) | 334,000 | 327,362 | |
Parliament Funding II Ltd., Series 2020-1A, Class AR, (3M USD LIBOR + 1.25%, 1.25% Floor), 5.49%, 10/20/31(a)(c) | 349,000 | 344,834 | |
Pawneee Equipment Receivables LLC, Series 2021-1, Class A2, 1.10%, 7/15/27(a) | 150,692 | 143,579 | |
PFS Financing Corp., | |||
Series 2020-E, Class B, 1.57%, 10/15/25(a) | 747,000 | 714,053 | |
Series 2020-G, Class A, 0.97%, 2/15/26(a) | 531,000 | 499,230 | |
Series 2020-G, Class B, 1.57%, 2/15/26(a) | 100,000 | 93,953 | |
Series 2021-A, Class A, 0.71%, 4/15/26(a) | 367,000 | 342,480 | |
Series 2021-A, Class B, 0.96%, 4/15/26(a) | 100,000 | 93,044 | |
Series 2021-B, Class A, 0.77%, 8/15/26(a) | 317,000 | 287,902 | |
Series 2021-B, Class B, 1.09%, 8/15/26(a) | 101,000 | 91,808 | |
Series 2022-A, Class A, 2.47%, 2/15/27(a) | 899,000 | 830,648 |
Par | Value | ||
Other (Continued) | |||
PRET LLC, | |||
Series 2021-NPL6, Class A1, (Step to 5.49% on 12/25/24), 2.49%, 7/25/51(a)(d) | $ 244,621 | $ 225,982 | |
Series 2021-NPL5, Class A1, (Step to 5.49% on 11/25/24), 2.49%, 10/25/51(a)(d) | 821,196 | 731,386 | |
Pretium Mortgage Credit Partners I LLC, | |||
Series 2021-NPL2, Class A1, (Step to 3.38% on 7/27/24), 1.99%, 6/27/60(a)(d) | 343,391 | 315,355 | |
Series 2021-NPL4, Class A1, (Step to 3.21% on 11/27/24), 2.36%, 10/27/60(a)(d) | 689,696 | 636,234 | |
SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(a) | 331,662 | 297,546 | |
Towd Point Mortgage Trust, Series 2018-2, Class A1, 3.25%, 3/25/58(a) | 237,202 | 226,358 | |
TVEST LLC, Series 2020-A, Class A, 4.50%, 7/15/32(a) | 71,798 | 70,510 | |
Vantage Data Centers Issuer LLC, Series 2020-1A, Class A2, 1.65%, 9/15/45(a) | 140,000 | 122,745 | |
VCAT LLC, | |||
Series 2021-NPL1, Class A1, (Step to 5.29% on 1/25/24), 2.29%, 12/26/50(a)(d) | 56,476 | 53,867 | |
Series 2021-NPL2, Class A1, (Step to 5.12% on 3/26/24), 2.12%, 3/27/51(a)(d) | 245,610 | 222,943 | |
VCP CLO II Ltd., | |||
Series 2021-2A, Class E, (3M USD LIBOR + 8.41%), 12.49%, 4/15/31(a)(b)(c) | 1,119,000 | 1,080,164 | |
Series 2021-2A, Class A1, (3M USD LIBOR + 1.67%), 5.75%, 4/15/31(a)(b)(c) | 817,000 | 794,537 | |
VCP RRL ABS I Ltd., | |||
Series 2021-1A, Class A, 2.15%, 10/20/31(a) | 316,541 | 280,777 | |
Series 2021-1A, Class B, 2.85%, 10/20/31(a)(b) | 282,991 | 252,547 |
Par | Value | ||
Other (Continued) | |||
VOLT C LLC, Series 2021-NPL9, Class A1, (Step to 4.99% on 5/25/24), 1.99%, 5/25/51(a)(d) | $240,643 | $ 216,021 | |
VOLT XCIV LLC, Series 2021-NPL3, Class A1, (Step to 5.24% on 2/25/24), 2.24%, 2/27/51(a)(d) | 329,961 | 286,095 | |
VOLT XCV LLC, Series 2021-NPL4, Class A1, (Step to 5.24% on 3/25/24), 2.24%, 3/27/51(a)(d) | 313,471 | 289,688 | |
Woodmont Trust, | |||
Series 2019-6A, Class A1R, (3M USD LIBOR + 1.48%, 1.48% Floor), 5.56%, 7/15/31(a)(c) | 526,000 | 518,515 | |
Series 2019-6A, Class A1R2, (3M USD LIBOR + 1.48%, 1.48% Floor), 5.56%, 7/15/31(a)(c) | 250,000 | 245,676 | |
Zais CLO 7 Ltd., Series 2017-2A, Class A, (3M USD LIBOR + 1.29%), 5.37%, 4/15/30(a)(c) | 283,388 | 278,011 | |
35,539,500 | |||
Whole Loan – 0.2% | |||
RCO VII Mortgage LLC, Series 2021-2, Class A1, (Step to 5.12% on 10/25/24), 2.12%, 9/25/26(a)(d) | 235,809 | 220,631 | |
Total Asset-Backed Securities (Cost $49,317,597) | 46,204,546 |
Number of Shares | |||
Common Stocks – 0.7% | |||
Real Estate Services – 0.3% | |||
Copper Property CTL Pass Through Trust(e) | 25,536 | 331,968 | |
Retail - Discretionary – 0.0%(f) | |||
J.C. Penney Earnout(e)* | 3,405 | 18,728 | |
Telecommunications – 0.0%(f) | |||
Windstream Corp.(e)* | 3,347 | 50,205 |
Number of Shares | Value | ||
Transportation & Logistics – 0.4% | |||
PHI Group, Inc. | 44,387 | $554,837 | |
Total Common Stocks (Cost $894,480) | 955,738 |
Par | |||
Corporate Bonds – 2.2% | |||
Asset Management – 0.8% | |||
Golub Capital BDC, Inc., 3.37%, 4/15/24 | $513,000 | 488,265 | |
OWL Rock Core Income Corp., 4.70%, 2/08/27 | 660,000 | 580,402 | |
1,068,667 | |||
Commercial Support Services – 0.1% | |||
Aramark Services, Inc., 6.38%, 5/01/25(a) | 159,000 | 157,292 | |
Home & Office Products – 0.2% | |||
CD&R Smokey Buyer, Inc., 6.75%, 7/15/25(a) | 315,000 | 299,451 | |
Leisure Facilities & Services – 0.1% | |||
Royal Caribbean Cruises Ltd., 11.50%, 6/01/25(a) | 164,000 | 176,623 | |
Specialty Finance – 0.5% | |||
Midcap Financial Issuer Trust, 6.50%, 5/01/28(a) | 761,000 | 646,753 | |
Telecommunications – 0.5% | |||
Consolidated Communications, Inc., 6.50%, 10/01/28(a)(g) | 381,000 | 311,582 | |
Frontier Communications Holdings LLC, | |||
5.87%, 10/15/27(a)(g) | 137,000 | 126,016 | |
6.00%, 1/15/30(a)(g) | 214,000 | 167,348 | |
604,946 | |||
Total Corporate Bonds (Cost $3,287,621) | 2,953,732 | ||
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 | 479,341 |
Par | Value | ||
Ireland – 0.1% | |||
Cimpress PLC, 7.00%, 6/15/26(a) | $175,000 | $ 104,563 | |
Total Foreign Issuer Bonds (Cost $610,953) | 583,904 | ||
Mortgage-Backed Securities – 3.2% | |||
Commercial Mortgage-Backed Securities – 1.1% | |||
BX Commercial Mortgage Trust, | |||
Series 2021-VOLT, Class E, (1M USD LIBOR + 2.00%, 2.00% Floor), 5.41%, 9/15/36(a)(c) | 242,000 | 222,471 | |
Series 2021-VOLT, Class F, (1M USD LIBOR + 2.40%, 2.40% Floor), 5.81%, 9/15/36(a)(c) | 370,000 | 336,791 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class C, (1M USD LIBOR + 1.65%, 1.65% Floor), 5.06%, 5/15/38(a)(c) | 616,000 | 578,981 | |
LoanCore Issuer Ltd., Series 2021-CRE4, Class A, (30D Average SOFR + 0.91%, 0.80% Floor), 3.71%, 7/15/35(a)(c) | 100,310 | 98,279 | |
VMC Finance LLC, Series 2021-HT1, Class A, (1M USD LIBOR + 1.65%, 1.65% Floor), 5.10%, 1/18/37(a)(c) | 172,297 | 166,463 | |
1,402,985 | |||
Federal Home Loan Mortgage Corporation – 0.1% | |||
Real Estate Mortgage Investment Conduits, Series 4162, Class P, 3.00%, 2/15/33 | 172,926 | 165,761 | |
Federal National Mortgage Association – 0.2% | |||
Interest Strip, Series 284, Class 1, 0.00%, 7/25/27(h) | 68,973 | 62,677 | |
Real Estate Mortgage Investment Conduits, | |||
Series 2014-3, Class AM, 2.50%, 1/25/32 | 37,731 | 37,348 | |
Series 2012-144, Class PD, 3.50%, 4/25/42 | 104,774 | 100,724 | |
200,749 | |||
Government National Mortgage Association – 0.3% | |||
Series 2012-150, Class IO, 0.43%, 11/16/52(i) | 706,599 | 6,874 |
Par | Value | ||
Government National Mortgage Association (Continued) | |||
Series 2015-108, Class IO, 0.34%, 10/16/56(i) | $ 42,396 | $ 1,224 | |
Series 2015-7, Class IO, 0.48%, 1/16/57(i) | 1,515,802 | 32,988 | |
Series 2020-42, Class IO, 0.93%, 3/16/62(i) | 1,435,675 | 93,148 | |
Series 2020-43, Class IO, 1.26%, 11/16/61(i) | 977,004 | 69,548 | |
Series 2020-71, Class IO, 1.09%, 1/16/62(i) | 1,272,025 | 89,231 | |
Series 2020-75, Class IO, 0.87%, 2/16/62(i) | 2,287,072 | 141,705 | |
434,718 | |||
Whole Loan – 1.5% | |||
Cascade Funding Mortgage Trust, Series 2021-HB6, Class A, 0.90%, 6/25/36(a) | 126,023 | 118,687 | |
CFMT LLC, | |||
Series 2021-HB5, Class A, 0.80%, 2/25/31(a)(i) | 238,510 | 228,514 | |
Series 2021-HB7, Class A, 1.15%, 10/27/31(a) | 149,535 | 139,501 | |
Series 2021-HB7, Class M1, 2.12%, 10/27/31(a) | 192,000 | 174,302 | |
PRPM LLC, | |||
Series 2021-2, Class A1, 2.12%, 3/25/26(a)(i) | 243,764 | 224,645 | |
Series 2021-9, Class A1, (Step to 5.36% on 11/25/24), 2.36%, 10/25/26(a)(d) | 374,852 | 330,154 | |
Series 2021-10, Class A1, (Step to 5.49% on 11/25/24), 2.49%, 10/25/26(a)(d) | 369,229 | 334,757 | |
Series 2021-11, Class A1, (Step to 5.49% on 12/25/24), 2.49%, 11/25/26(a)(d) | 454,191 | 416,353 | |
1,966,913 | |||
Total Mortgage-Backed Securities (Cost $5,205,443) | 4,171,126 | ||
Term Loans – 3.8%(c) | |||
Advertising & Marketing – 0.3% | |||
ABG Intermediate Holdings 2 LLC, 2021 Refinancing Term Loan, (1M USD LIBOR + 3.25%, 0.75% Floor), 7.00%, 9/27/24 | 484,144 | 473,769 |
Par | Value | ||
Commercial Support Services – 0.9% | |||
Cimpress PLC, Tranche B-1 Term Loan, (1M USD LIBOR + 3.50%, 0.50% Floor), 7.25%, 5/17/28 | $268,600 | $ 219,581 | |
MediaCo Holding, Inc., Term Loan, (1M USD LIBOR + 7.50%, 1.00% Floor), 0.05%, 11/25/24(e) | 672,997 | 625,887 | |
Packers Holdings LLC, Initial Term Loan, (1M USD LIBOR + 3.25%, 0.75% Floor), 6.56%, 3/09/28 | 329,097 | 300,794 | |
1,146,262 | |||
Health Care Facilities & Services – 0.9% | |||
GHX Ultimate Parent Corp., Initial Term Loan, (3M USD LIBOR + 3.25%, 1.00% Floor), 6.13%, 6/28/24 | 490,876 | 472,468 | |
Heartland Dental LLC, 2021 Incremental Term Loan, (1M USD LIBOR + 4.00%), 7.58%, 4/30/25 | 492,817 | 463,248 | |
PetVet Care Centers LLC, 2021 First Lien Replacement Term Loan, (1M USD LIBOR + 3.50%, 0.75% Floor), 7.25%, 2/14/25 | 321,045 | 300,338 | |
1,236,054 | |||
Insurance – 0.5% | |||
Asurion LLC, New B-7 Term Loan, (1M USD LIBOR + 3.00%), 6.75%, 11/03/24 | 643,244 | 606,141 | |
Retail - Discretionary – 0.0%(f) | |||
J.C. Penney Corp., Inc., Term Loan, (j) | 233,386 | 24 | |
Software – 0.7% | |||
Applied Systems, Inc., Closing Date Term Loan, (3M USD LIBOR + 3.00%, 0.50% Floor), 6.67%, 9/19/24 | 315,659 | 311,287 | |
Azalea TopCo, Inc., Initial Term Loan, (1M USD LIBOR + 3.50%), 7.25%, 7/24/26 | 328,793 | 306,498 | |
Polaris Newco LLC, Dollar Term Loan, (3M USD LIBOR + 4.00%, 0.50% Floor), 7.67%, 6/02/28 | 326,700 | 297,751 | |
915,536 |
Par | Value | ||
Telecommunications – 0.5% | |||
Frontier Communications Corp., TLB, (3M USD LIBOR + 3.75%, 0.75% Floor), 7.44%, 5/01/28 | $364,450 | $ 343,625 | |
Windstream Services II LLC, Initial Term Loan, (1M USD LIBOR + 6.25%, 1.00% Floor), 10.00%, 9/21/27 | 308,817 | 276,200 | |
619,825 | |||
Total Term Loans (Cost $5,298,783) | 4,997,611 |
Number of Shares | |||
Warrants – 0.0%(f) | |||
Telecommunications – 0.0%(f) | |||
Windstream Services LLC (e)* | 318 | 4,452 | |
Total Warrants (Cost $146,140) | 4,452 | ||
Investment Companies – 46.4% | |||
Schwab Intermediate-Term U.S. Treasury ETF | 296,270 | 14,422,424 | |
Schwab Short-Term U.S. Treasury ETF | 470,110 | 22,635,796 | |
Vanguard Short-Term Corporate Bond ETF(g) | 205,807 | 15,227,660 | |
Vanguard Short-Term Inflation-Protected Securities ETF | 186,006 | 8,881,786 | |
Total Investment Companies (Cost $66,672,490) | 61,167,666 |
Par/Number of Shares | |||
Short-Term Investments – 18.9% | |||
Money Market Funds – 17.3% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 3.08%(k)(l) | 14,335,971 | 14,335,971 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 2.48%(k) | 8,519,658 | 8,519,658 | |
22,855,629 |
Par/Number of Shares | Value | ||
U.S. Treasury Bills – 1.6% | |||
U.S. Treasury Bill, 2.01%, 11/01/22(g)(m) | $1,050,000 | $ 1,050,000 | |
U.S. Treasury Bill, 1.91%, 11/03/22(m) | 1,050,000 | 1,049,875 | |
2,099,875 | |||
Total Short-Term Investments (Cost $24,955,502) | 24,955,504 | ||
Total Investments – 110.7% (Cost $156,389,009) | 145,994,279 | ||
Liabilities less Other Assets – (10.7)% | (14,127,157) | ||
NET ASSETS – 100.0% | $131,867,122 |
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. | ||
(b) | Restricted security that has been deemed illiquid. At October 31, 2022, the value of these restricted illiquid securities amounted to $4,564,102 or 3.46% 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., 4.93%, 12/20/30 | 12/16/20 | $ 891,000 | |
ABPCI Direct Lending Fund ABS II LLC, 6.15%, 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., 2.81%, 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., 12.49%, 4/15/31 | 2/5/21 | 1,085,430 | |
VCP CLO II Ltd., 5.75%, 4/15/31 | 3/7/22 | 813,426 | |
VCP RRL ABS I Ltd., 2.85%, 10/20/31 | 7/28/21 | 282,991 |
(c) | Variable rate security. Rate as of October 31, 2022 is disclosed. |
(d) | Step coupon bond. Rate as of October 31, 2022 is disclosed. |
(e) | Investment is valued using significant unobservable inputs (Level 3). |
(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 October 31, 2022 is disclosed. |
(j) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. |
(k) | 7-day current yield as of October 31, 2022 is disclosed. |
(l) | Security purchased with the cash proceeds from securities loaned (See Note 7). |
(m) | Discount rate at the time of purchase. |
* | 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 | $ — | $46,204,546 | $ — | $ 46,204,546 |
Common Stocks | 554,837 | — | 400,901 | 955,738 |
Corporate Bonds | — | 2,953,732 | — | 2,953,732 |
Foreign Issuer Bonds | — | 583,904 | — | 583,904 |
Mortgage-Backed Securities | — | 4,171,126 | — | 4,171,126 |
Term Loans | — | 4,371,724 | 625,887 | 4,997,611 |
Warrants | — | — | 4,452 | 4,452 |
Investment Companies | 61,167,666 | — | — | 61,167,666 |
Short-Term Investments | 22,855,629 | 2,099,875 | — | 24,955,504 |
Total Investments | $84,578,132 | $60,384,907 | $1,031,240 | $145,994,279 |
Par (a) | Value | ||
Asset-Backed Securities – 0.3% | |||
Other – 0.3% | |||
AIG CLO LLC, Series 2021-2A, Class E, (3M USD LIBOR + 6.50%, 6.50% Floor), 10.74%, 7/20/34(b)(c) | $250,000 | $214,524 | |
Pikes Peak CLO 4, Series 2019-4A, Class ER, (3M USD LIBOR + 6.61%, 6.61% Floor), 10.69%, 7/15/34(b)(c) | 250,000 | 200,132 | |
Total Asset-Backed Securities (Cost $496,720) | 414,656 |
Number of Shares | |||
Common Stocks – 0.1% | |||
Cable & Satellite – 0.1% | |||
Altice USA, Inc., Class A* | 16,055 | 106,124 | |
Engineering & Construction – 0.0%(d) | |||
Mcdermott International Ltd.* | 1,932 | 1,152 | |
Oil & Gas Producers – 0.0%(d) | |||
Battalion Oil Corp.* | 363 | 4,766 | |
Technology Services – 0.0%(d) | |||
Clarivate PLC* | 78 | 806 | |
Total Common Stocks (Cost $338,428) | 112,848 |
Par (a) | |||
Convertible Bonds – 1.4% | |||
Biotechnology & Pharmaceuticals – 0.4% | |||
BioMarin Pharmaceutical, Inc., | |||
0.60%, 8/01/24 | 140,000 | 140,000 | |
1.25%, 5/15/27 | 335,000 | 335,134 | |
Livongo Health, Inc., 0.87%, 6/01/25 | 100,000 | 86,200 | |
561,334 | |||
Cable & Satellite – 0.5% | |||
DISH Network Corp., | |||
0.00%, 12/15/25(e) | 105,000 | 70,686 | |
3.38%, 8/15/26 | 950,000 | 656,925 | |
727,611 | |||
Entertainment Content – 0.0%(d) | |||
Bilibili, Inc., 0.50%, 12/01/26(b) | 90,000 | 52,425 |
Par (a) | Value | ||
Health Care Facilities & Services – 0.2% | |||
Teladoc Health, Inc., 1.25%, 6/01/27 | $385,000 | $ 288,281 | |
Internet Media & Services – 0.1% | |||
Uber Technologies, Inc., 0.00%, 12/15/25(e) | 205,000 | 169,312 | |
Zillow Group, Inc., 1.38%, 9/01/26 | 25,000 | 24,875 | |
194,187 | |||
Leisure Facilities & Services – 0.1% | |||
NCL Corp. Ltd., 1.12%, 2/15/27(b) | 170,000 | 129,625 | |
Penn Entertainment, Inc., 2.75%, 5/15/26 | 25,000 | 39,525 | |
169,150 | |||
Software – 0.0%(d) | |||
RingCentral, Inc., 0.00%, 3/15/26(e) | 55,000 | 41,937 | |
Transportation & Logistics – 0.1% | |||
Southwest Airlines Co., 1.25%, 5/01/25 | 180,000 | 221,310 | |
Total Convertible Bonds (Cost $2,777,624) | 2,256,235 |
Number of Shares | |||
Convertible Preferred Stocks – 0.3% | |||
Technology Services – 0.1% | |||
Clarivate PLC, 5.25% | 2,694 | 123,143 | |
Telecommunications – 0.2% | |||
2020 Cash Mandatory Exchangeable Trust(b)(f)* | 250 | 310,500 | |
Total Convertible Preferred Stocks (Cost $504,162) | 433,643 |
Par (a) | |||
Corporate Bonds – 40.4% | |||
Advertising & Marketing – 0.0%(d) | |||
CMG Media Corp., 8.88%, 12/15/27(b) | 45,000 | 38,138 | |
Aerospace & Defense – 0.6% | |||
Boeing (The) Co., | |||
3.25%, 2/01/28 | 117,000 | 101,376 | |
5.71%, 5/01/40 | 132,000 | 114,514 | |
3.85%, 11/01/48 | 23,000 | 14,480 | |
5.80%, 5/01/50 | 49,000 | 42,143 | |
5.93%, 5/01/60 | 23,000 | 19,443 |
Par (a) | Value | ||
Aerospace & Defense (Continued) | |||
Lockheed Martin Corp., | |||
5.25%, 1/15/33 | $ 34,000 | $ 34,103 | |
5.70%, 11/15/54 | 52,000 | 52,388 | |
5.90%, 11/15/63 | 25,000 | 25,424 | |
Moog, Inc., 4.25%, 12/15/27(b) | 15,000 | 13,423 | |
Raytheon Technologies Corp., | |||
4.45%, 11/16/38 | 65,000 | 55,661 | |
4.50%, 6/01/42 | 67,000 | 56,946 | |
4.80%, 12/15/43 | 7,000 | 5,996 | |
4.35%, 4/15/47 | 48,000 | 38,613 | |
Spirit AeroSystems, Inc., 4.60%, 6/15/28 | 195,000 | 139,659 | |
TransDigm, Inc., | |||
8.00%, 12/15/25(b) | 80,000 | 81,400 | |
6.25%, 3/15/26(b) | 150,000 | 147,961 | |
5.50%, 11/15/27 | 70,000 | 63,854 | |
1,007,384 | |||
Asset Management – 0.6% | |||
BlackRock, Inc., 2.10%, 2/25/32 | 118,000 | 90,088 | |
Blackstone Holdings Finance Co. LLC, | |||
2.00%, 1/30/32(b) | 27,000 | 19,557 | |
6.20%, 4/22/33(b) | 59,000 | 58,899 | |
2.85%, 8/05/51(b) | 97,000 | 54,364 | |
Blackstone Private Credit Fund, 4.00%, 1/15/29 | 36,000 | 29,306 | |
Icahn Enterprises L.P./Icahn Enterprises Finance Corp., | |||
6.37%, 12/15/25 | 90,000 | 87,367 | |
6.25%, 5/15/26 | 90,000 | 86,445 | |
5.25%, 5/15/27 | 470,000 | 433,053 | |
KKR Group Finance Co. XII LLC, 4.85%, 5/17/32(b) | 50,000 | 45,519 | |
Main Street Capital Corp., 3.00%, 7/14/26 | 107,000 | 90,800 | |
995,398 | |||
Automotive – 1.4% | |||
Dana, Inc., 4.25%, 9/01/30 | 35,000 | 28,033 | |
Ford Motor Co., 3.25%, 2/12/32 | 285,000 | 213,984 | |
Ford Motor Credit Co. LLC, | |||
4.06%, 11/01/24 | 505,000 | 484,169 | |
2.30%, 2/10/25 | 475,000 | 429,637 | |
General Motors Co., 6.25%, 10/02/43 | 65,000 | 57,067 |
Par (a) | Value | ||
Automotive (Continued) | |||
General Motors Financial Co., Inc., | |||
(3M USD LIBOR + 3.60%), 5.75%, 9/30/27(g)(h) | $220,000 | $ 180,378 | |
(3M USD LIBOR + 3.44%), 6.50%, 9/30/28(g)(h) | 100,000 | 84,470 | |
Goodyear Tire & Rubber (The) Co., | |||
4.88%, 3/15/27 | 180,000 | 163,800 | |
5.00%, 7/15/29 | 5,000 | 4,336 | |
Harley-Davidson Financial Services, Inc., 3.05%, 2/14/27(b) | 141,000 | 120,209 | |
Tenneco, Inc., 7.87%, 1/15/29(b) | 45,000 | 44,456 | |
Toyota Motor Credit Corp., | |||
4.40%, 9/20/24 | 245,000 | 242,772 | |
4.45%, 6/29/29 | 60,000 | 57,615 | |
Wheel Pros, Inc., 6.50%, 5/15/29(b) | 55,000 | 25,888 | |
2,136,814 | |||
Banking – 2.8% | |||
Bank of America Corp., | |||
(3M USD LIBOR + 0.78%), 3.55%, 3/05/24(h) | 245,000 | 242,970 | |
(SOFR + 0.69%), 0.98%, 4/22/25(h) | 68,000 | 63,110 | |
(SOFR + 0.65%), 1.53%, 12/06/25(h) | 45,000 | 40,984 | |
(3M USD LIBOR + 0.64%), 2.02%, 2/13/26(h) | 178,000 | 162,821 | |
(SOFR + 1.01%), 1.20%, 10/24/26(h) | 28,000 | 24,300 | |
(SOFR + 0.91%), 1.66%, 3/11/27(h) | 130,000 | 112,368 | |
(SOFR + 0.96%), 1.73%, 7/22/27(h) | 51,000 | 43,612 | |
(3M USD LIBOR + 1.51%), 3.70%, 4/24/28(h) | 76,000 | 68,753 | |
(3M USD LIBOR + 1.04%), 3.42%, 12/20/28(h) | 87,000 | 76,800 | |
(SOFR + 1.06%), 2.09%, 6/14/29(h) | 6,000 | 4,855 | |
(3M USD LIBOR + 1.31%), 4.27%, 7/23/29(h) | 103,000 | 93,481 | |
(3M USD LIBOR + 1.18%), 3.19%, 7/23/30(h) | 85,000 | 71,109 | |
(SOFR + 2.15%), 2.59%, 4/29/31(h) | 60,000 | 47,373 | |
(SOFR + 1.53%), 1.90%, 7/23/31(h) | 208,000 | 154,285 | |
(SOFR + 1.32%), 2.69%, 4/22/32(h) | 176,000 | 136,022 |
Par (a) | Value | ||
Banking (Continued) | |||
Bank of America Corp., | |||
(SOFR + 1.22%), 2.30%, 7/21/32(h) | $ 78,000 | $ 57,761 | |
(SOFR + 1.33%), 2.97%, 2/04/33(h) | 149,000 | 115,469 | |
(SOFR + 1.83%), 4.57%, 4/27/33(h) | 118,000 | 104,571 | |
(SOFR + 2.16%), 5.01%, 7/22/33(h) | 187,000 | 171,491 | |
(5Y US Treasury CMT + 2.00%), 3.85%, 3/08/37(h) | 130,000 | 104,155 | |
(3M USD LIBOR + 1.32%), 4.08%, 4/23/40(h) | 64,000 | 49,934 | |
(SOFR + 1.93%), 2.68%, 6/19/41(h) | 7,000 | 4,429 | |
(3M USD LIBOR + 3.15%), 4.08%, 3/20/51(h) | 22,000 | 16,344 | |
Citigroup, Inc., | |||
(SOFR + 1.28%), 3.07%, 2/24/28(h) | 34,000 | 29,975 | |
(SOFR + 3.91%), 4.41%, 3/31/31(h) | 41,000 | 36,587 | |
Fifth Third Bancorp, (SOFR + 2.19%), 6.36%, 10/27/28(h) | 29,000 | 29,119 | |
JPMorgan Chase & Co., | |||
(3M CME Term SOFR + 0.58%), 0.97%, 6/23/25(h) | 327,000 | 300,657 | |
(SOFR + 1.16%), 2.30%, 10/15/25(h) | 75,000 | 69,954 | |
(SOFR + 0.92%), 2.60%, 2/24/26(h) | 27,000 | 25,014 | |
(SOFR + 1.85%), 2.08%, 4/22/26(h) | 302,000 | 274,919 | |
(3M USD LIBOR + 1.25%), 3.96%, 1/29/27(h) | 58,000 | 54,315 | |
(3M CME Term SOFR + 0.70%), 1.04%, 2/04/27(h) | 179,000 | 152,220 | |
(SOFR + 0.89%), 1.58%, 4/22/27(h) | 67,000 | 57,624 | |
(SOFR + 0.77%), 1.47%, 9/22/27(h) | 115,000 | 96,613 | |
(SOFR + 1.17%), 2.95%, 2/24/28(h) | 106,000 | 93,275 | |
(SOFR + 1.89%), 2.18%, 6/01/28(h) | 42,000 | 35,528 | |
(SOFR + 1.02%), 2.07%, 6/01/29(h) | 39,000 | 31,520 | |
(3M USD LIBOR + 1.33%), 4.45%, 12/05/29(h) | 126,000 | 114,917 | |
(SOFR + 1.75%), 4.56%, 6/14/30(h) | 10,000 | 9,160 |
Par (a) | Value | ||
Banking (Continued) | |||
JPMorgan Chase & Co., | |||
(SOFR + 1.07%), 1.95%, 2/04/32(h) | $155,000 | $ 113,536 | |
(SOFR + 1.18%), 2.55%, 11/08/32(h) | 33,000 | 24,904 | |
(SOFR + 2.08%), 4.91%, 7/25/33(h) | 139,000 | 126,478 | |
(SOFR + 2.58%), 5.72%, 9/14/33(h) | 94,000 | 87,627 | |
(SOFR + 2.46%), 3.11%, 4/22/41(h) | 43,000 | 29,430 | |
(3M USD LIBOR + 1.38%), 3.96%, 11/15/48(h) | 36,000 | 26,462 | |
(SOFR + 2.44%), 3.11%, 4/22/51(h) | 73,000 | 45,569 | |
Truist Financial Corp., (3M USD LIBOR + 0.65%), 3.94%, 3/15/28(c) | 106,000 | 95,934 | |
U.S. Bancorp, (SOFR + 2.09%), 5.85%, 10/21/33(h) | 203,000 | 202,315 | |
Wells Fargo & Co., | |||
(SOFR + 2.10%), 4.90%, 7/25/33(h) | 77,000 | 70,451 | |
(SOFR + 2.53%), 3.07%, 4/30/41(h) | 21,000 | 14,229 | |
(SOFR + 4.50%), 5.01%, 4/04/51(h) | 48,000 | 40,685 | |
(SOFR + 2.13%), 4.61%, 4/25/53(h) | 150,000 | 119,510 | |
4,375,524 | |||
Beverages – 0.1% | |||
Keurig Dr Pepper, Inc., 4.50%, 4/15/52 | 28,000 | 22,004 | |
PepsiCo, Inc., | |||
3.90%, 7/18/32 | 41,000 | 37,966 | |
4.20%, 7/18/52 | 34,000 | 28,949 | |
88,919 | |||
Biotechnology & Pharmaceuticals – 1.3% | |||
AbbVie, Inc., | |||
3.20%, 5/14/26 | 68,000 | 63,353 | |
3.20%, 11/21/29 | 77,000 | 67,303 | |
4.50%, 5/14/35 | 83,000 | 73,576 | |
4.05%, 11/21/39 | 121,000 | 97,460 | |
4.63%, 10/01/42 | 59,000 | 49,002 | |
4.25%, 11/21/49 | 43,000 | 33,360 | |
Amgen, Inc., | |||
2.20%, 2/21/27 | 59,000 | 52,379 | |
2.45%, 2/21/30 | 36,000 | 29,670 | |
2.30%, 2/25/31 | 22,000 | 17,611 | |
3.15%, 2/21/40 | 96,000 | 68,359 | |
4.20%, 2/22/52 | 27,000 | 20,613 |
Par (a) | Value | ||
Biotechnology & Pharmaceuticals (Continued) | |||
Amgen, Inc., | |||
4.87%, 3/01/53 | $ 24,000 | $ 20,415 | |
Bausch Health Cos., Inc., | |||
6.12%, 2/01/27(b) | 55,000 | 36,104 | |
4.87%, 6/01/28(b) | 135,000 | 82,687 | |
6.25%, 2/15/29(b) | 100,000 | 39,000 | |
5.00%, 2/15/29(b) | 5,000 | 1,952 | |
5.25%, 1/30/30(b) | 130,000 | 50,375 | |
5.25%, 2/15/31(b) | 350,000 | 137,375 | |
Bristol-Myers Squibb Co., | |||
3.20%, 6/15/26 | 46,000 | 43,397 | |
3.40%, 7/26/29 | 11,000 | 9,993 | |
4.63%, 5/15/44 | 25,000 | 21,750 | |
4.55%, 2/20/48 | 40,000 | 34,172 | |
4.25%, 10/26/49 | 35,000 | 28,465 | |
3.70%, 3/15/52 | 113,000 | 83,812 | |
3.90%, 3/15/62 | 23,000 | 16,800 | |
Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.00%, 6/30/28(b)(f)(i) | 100,000 | 4,500 | |
Endo Luxembourg Finance Co. I S.a.r.l./Endo U.S., Inc., 6.13%, 4/01/29(b)(i) | 10,000 | 7,554 | |
Gilead Sciences, Inc., 3.50%, 2/01/25 | 107,000 | 103,285 | |
Johnson & Johnson, | |||
3.63%, 3/03/37 | 61,000 | 52,150 | |
5.85%, 7/15/38 | 43,000 | 45,125 | |
2.10%, 9/01/40 | 40,000 | 26,276 | |
3.70%, 3/01/46 | 22,000 | 17,491 | |
Merck & Co., Inc., | |||
2.75%, 12/10/51 | 28,000 | 17,788 | |
2.90%, 12/10/61 | 47,000 | 28,570 | |
Mylan, Inc., 5.20%, 4/15/48 | 72,000 | 48,553 | |
Organon & Co./Organon Foreign Debt Co-Issuer B.V., 5.12%, 4/30/31(b) | 240,000 | 203,825 | |
Prestige Brands, Inc., 3.75%, 4/01/31(b) | 35,000 | 28,070 | |
Roche Holdings, Inc., 2.08%, 12/13/31(b) | 200,000 | 158,314 | |
Royalty Pharma PLC, | |||
1.75%, 9/02/27 | 101,000 | 83,244 | |
3.55%, 9/02/50 | 26,000 | 15,880 | |
Utah Acquisition Sub, Inc., 5.25%, 6/15/46 | 14,000 | 9,566 | |
Viatris, Inc., | |||
3.85%, 6/22/40 | 43,000 | 26,797 | |
4.00%, 6/22/50 | 7,000 | 4,058 | |
2,060,029 |
Par (a) | Value | ||
Cable & Satellite – 2.7% | |||
Block Communications, Inc., 4.88%, 3/01/28(b) | $ 20,000 | $ 17,381 | |
CCO Holdings LLC/CCO Holdings Capital Corp., | |||
5.50%, 5/01/26(b) | 20,000 | 19,250 | |
5.12%, 5/01/27(b) | 105,000 | 97,280 | |
5.00%, 2/01/28(b) | 120,000 | 108,600 | |
4.75%, 3/01/30(b) | 665,000 | 558,866 | |
4.50%, 8/15/30(b) | 105,000 | 85,214 | |
4.25%, 2/01/31(b) | 127,000 | 100,330 | |
4.75%, 2/01/32(b) | 310,000 | 248,015 | |
4.50%, 5/01/32 | 129,000 | 101,910 | |
4.25%, 1/15/34(b) | 110,000 | 80,850 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, | |||
4.91%, 7/23/25 | 10,000 | 9,708 | |
2.80%, 4/01/31 | 29,000 | 21,986 | |
2.30%, 2/01/32 | 27,000 | 19,261 | |
6.48%, 10/23/45 | 9,000 | 7,969 | |
4.80%, 3/01/50 | 79,000 | 55,911 | |
3.95%, 6/30/62 | 67,000 | 39,223 | |
Comcast Corp., | |||
5.35%, 11/15/27 | 10,000 | 9,996 | |
5.50%, 11/15/32 | 27,000 | 26,829 | |
5.65%, 6/15/35 | 72,000 | 70,726 | |
6.50%, 11/15/35 | 11,000 | 11,565 | |
3.20%, 7/15/36 | 23,000 | 17,524 | |
3.90%, 3/01/38 | 48,000 | 38,835 | |
3.25%, 11/01/39 | 88,000 | 63,704 | |
4.00%, 8/15/47 | 43,000 | 32,180 | |
2.89%, 11/01/51 | 113,000 | 67,886 | |
2.94%, 11/01/56 | 140,000 | 80,959 | |
CSC Holdings LLC, | |||
5.75%, 1/15/30(b) | 700,000 | 535,500 | |
4.63%, 12/01/30(b) | 800,000 | 575,818 | |
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.87%, 8/15/27(b) | 285,000 | 256,671 | |
DISH DBS Corp., | |||
7.75%, 7/01/26 | 265,000 | 223,604 | |
5.25%, 12/01/26(b) | 55,000 | 47,781 | |
7.37%, 7/01/28 | 65,000 | 49,213 | |
5.75%, 12/01/28(b) | 60,000 | 48,375 | |
5.13%, 6/01/29 | 485,000 | 325,749 |
Par (a) | Value | ||
Cable & Satellite (Continued) | |||
Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, 9/15/28(b) | $110,000 | $ 69,300 | |
Sirius XM Radio, Inc., 5.00%, 8/01/27(b) | 150,000 | 138,000 | |
4,261,969 | |||
Chemicals – 0.4% | |||
Albemarle Corp., 5.05%, 6/01/32 | 19,000 | 17,341 | |
ASP Unifrax Holdings, Inc., 5.25%, 9/30/28(b) | 100,000 | 79,475 | |
Chemours (The) Co., 5.37%, 5/15/27 | 60,000 | 53,725 | |
Dow Chemical (The) Co., | |||
2.10%, 11/15/30 | 57,000 | 43,538 | |
6.30%, 3/15/33 | 56,000 | 55,756 | |
4.38%, 11/15/42 | 71,000 | 54,310 | |
5.55%, 11/30/48 | 64,000 | 55,334 | |
6.90%, 5/15/53 | 38,000 | 38,365 | |
Mosaic (The) Co., | |||
5.45%, 11/15/33 | 81,000 | 74,941 | |
4.88%, 11/15/41 | 19,000 | 14,953 | |
5.62%, 11/15/43 | 15,000 | 13,107 | |
RPM International, Inc., 2.95%, 1/15/32 | 86,000 | 65,865 | |
566,710 | |||
Commercial Support Services – 0.2% | |||
ADT Security (The) Corp., 4.12%, 8/01/29(b) | 225,000 | 192,940 | |
Aramark Services, Inc., 5.00%, 2/01/28(b) | 20,000 | 18,222 | |
Deluxe Corp., 8.00%, 6/01/29(b) | 80,000 | 66,696 | |
Republic Services, Inc., 2.90%, 7/01/26 | 35,000 | 32,020 | |
Waste Connections, Inc., 4.20%, 1/15/33 | 33,000 | 29,843 | |
Waste Management, Inc., 2.95%, 6/01/41 | 27,000 | 18,959 | |
358,680 | |||
Construction Materials – 0.1% | |||
Advanced Drainage Systems, Inc., 6.37%, 6/15/30(b) | 75,000 | 72,479 | |
Standard Industries, Inc., 4.38%, 7/15/30(b) | 65,000 | 52,556 | |
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 1/15/29(b) | 40,000 | 36,528 | |
161,563 |
Par (a) | Value | ||
Containers & Packaging – 0.0%(d) | |||
Graham Packaging Co., Inc., 7.13%, 8/15/28(b) | $ 65,000 | $ 53,275 | |
WRKCo, Inc., 4.65%, 3/15/26 | 16,000 | 15,491 | |
68,766 | |||
Diversified Industrials – 0.2% | |||
GE Capital International Funding Co. Unlimited Co., 4.42%, 11/15/35 | 200,000 | 176,458 | |
Honeywell International, Inc., 5.00%, 2/15/33 | 25,000 | 24,771 | |
Parker-Hannifin Corp., 4.25%, 9/15/27 | 54,000 | 51,155 | |
252,384 | |||
E-Commerce Discretionary – 0.2% | |||
Amazon.com, Inc., | |||
3.60%, 4/13/32 | 68,000 | 60,884 | |
3.10%, 5/12/51 | 110,000 | 74,189 | |
3.95%, 4/13/52 | 27,000 | 21,142 | |
3.25%, 5/12/61 | 73,000 | 47,059 | |
4.10%, 4/13/62 | 99,000 | 76,080 | |
279,354 | |||
Electric Utilities – 3.1% | |||
AEP Transmission Co. LLC, 2.75%, 8/15/51 | 25,000 | 14,665 | |
Alabama Power Co., | |||
3.85%, 12/01/42 | 4,000 | 3,005 | |
3.75%, 3/01/45 | 29,000 | 21,074 | |
4.30%, 7/15/48 | 38,000 | 29,810 | |
3.45%, 10/01/49 | 26,000 | 17,579 | |
3.00%, 3/15/52 | 98,000 | 61,708 | |
Alliant Energy Finance LLC, 3.60%, 3/01/32(b) | 28,000 | 23,594 | |
American Electric Power Co., Inc., (5Y US Treasury CMT + 2.68%), 3.88%, 2/15/62(h) | 36,000 | 27,643 | |
Appalachian Power Co., | |||
3.40%, 6/01/25 | 25,000 | 23,859 | |
4.50%, 3/01/49 | 33,000 | 25,550 | |
Avangrid, Inc., 3.15%, 12/01/24 | 47,000 | 44,707 | |
Berkshire Hathaway Energy Co., 4.60%, 5/01/53(b) | 77,000 | 63,483 | |
Calpine Corp., 5.12%, 3/15/28(b) | 335,000 | 297,016 | |
CMS Energy Corp., (5Y US Treasury CMT + 4.12%), 4.75%, 6/01/50(h) | 207,000 | 171,628 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
Commonwealth Edison Co., 3.80%, 10/01/42 | $ 49,000 | $ 37,321 | |
Consumers Energy Co., 4.20%, 9/01/52 | 27,000 | 21,550 | |
Dominion Energy, Inc., 3.07%, 8/15/24(j) | 38,000 | 36,260 | |
Duke Energy Carolinas LLC, | |||
6.45%, 10/15/32 | 34,000 | 35,394 | |
4.25%, 12/15/41 | 23,000 | 18,466 | |
4.00%, 9/30/42 | 29,000 | 22,493 | |
3.75%, 6/01/45 | 6,000 | 4,360 | |
Duke Energy Corp., | |||
3.15%, 8/15/27 | 32,000 | 28,784 | |
2.55%, 6/15/31 | 71,000 | 55,642 | |
Duke Energy Florida LLC, | |||
2.40%, 12/15/31 | 35,000 | 27,426 | |
4.20%, 7/15/48 | 8,000 | 6,241 | |
Duke Energy Indiana LLC, 3.25%, 10/01/49 | 77,000 | 49,253 | |
Duke Energy Ohio, Inc., | |||
3.70%, 6/15/46 | 41,000 | 28,613 | |
4.30%, 2/01/49 | 49,000 | 37,461 | |
Duke Energy Progress LLC, | |||
4.10%, 5/15/42 | 60,000 | 47,093 | |
4.10%, 3/15/43 | 42,000 | 32,737 | |
4.15%, 12/01/44 | 53,000 | 41,249 | |
4.20%, 8/15/45 | 61,000 | 47,820 | |
Entergy Arkansas LLC, | |||
4.00%, 6/01/28 | 10,000 | 9,209 | |
4.20%, 4/01/49 | 23,000 | 17,785 | |
2.65%, 6/15/51 | 14,000 | 7,934 | |
3.35%, 6/15/52 | 34,000 | 22,070 | |
Entergy Louisiana LLC, | |||
0.62%, 11/17/23 | 46,000 | 43,783 | |
5.40%, 11/01/24 | 66,000 | 66,253 | |
3.25%, 4/01/28 | 5,000 | 4,441 | |
4.00%, 3/15/33 | 27,000 | 23,556 | |
4.95%, 1/15/45 | 181,000 | 155,018 | |
4.20%, 9/01/48 | 36,000 | 27,813 | |
4.75%, 9/15/52 | 18,000 | 14,981 | |
Entergy Mississippi LLC, | |||
3.85%, 6/01/49 | 34,000 | 24,343 | |
3.50%, 6/01/51 | 15,000 | 10,057 | |
Eversource Energy, | |||
1.40%, 8/15/26 | 119,000 | 102,422 | |
2.90%, 3/01/27 | 68,000 | 60,915 | |
Exelon Corp., 4.95%, 6/15/35 | 138,000 | 124,258 | |
Florida Power & Light Co., | |||
5.40%, 9/01/35 | 31,000 | 29,316 | |
5.65%, 2/01/37 | 20,000 | 19,619 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
Florida Power & Light Co., | |||
2.88%, 12/04/51 | $ 6,000 | $ 3,827 | |
Georgia Power Co., | |||
4.70%, 5/15/32 | 32,000 | 30,051 | |
4.30%, 3/15/43 | 47,000 | 37,370 | |
5.12%, 5/15/52 | 15,000 | 13,421 | |
Indiana Michigan Power Co., | |||
3.85%, 5/15/28 | 22,000 | 20,191 | |
6.05%, 3/15/37 | 12,000 | 11,809 | |
IPALCO Enterprises, Inc., 4.25%, 5/01/30 | 66,000 | 56,734 | |
Metropolitan Edison Co., 4.00%, 4/15/25(b) | 71,000 | 67,252 | |
MidAmerican Energy Co., | |||
4.40%, 10/15/44 | 113,000 | 92,503 | |
4.25%, 5/01/46 | 52,000 | 41,489 | |
Mississippi Power Co., | |||
4.75%, 10/15/41 | 11,000 | 8,832 | |
4.25%, 3/15/42 | 26,000 | 20,081 | |
Monongahela Power Co., 3.55%, 5/15/27(b) | 47,000 | 43,518 | |
National Rural Utilities Cooperative Finance Corp., | |||
3.40%, 2/07/28 | 22,000 | 20,108 | |
2.75%, 4/15/32 | 32,000 | 25,664 | |
4.02%, 11/01/32 | 41,000 | 36,323 | |
4.15%, 12/15/32 | 50,000 | 44,879 | |
5.80%, 1/15/33 | 12,000 | 12,145 | |
(3M USD LIBOR + 3.63%), 5.25%, 4/20/46(h) | 97,000 | 86,325 | |
NextEra Energy Capital Holdings, Inc., | |||
(SOFR Index + 0.40%), 3.50%, 11/03/23(c) | 151,000 | 149,203 | |
4.25%, 9/01/24 | 50,000 | 49,027 | |
4.45%, 6/20/25 | 51,000 | 49,955 | |
1.88%, 1/15/27 | 133,000 | 114,866 | |
Northern States Power Co., 4.50%, 6/01/52 | 30,000 | 25,271 | |
NRG Energy, Inc., | |||
5.25%, 6/15/29(b) | 10,000 | 9,075 | |
3.88%, 2/15/32(b) | 85,000 | 67,018 | |
NSTAR Electric Co., | |||
4.55%, 6/01/52 | 21,000 | 17,658 | |
4.95%, 9/15/52 | 26,000 | 23,264 | |
Oncor Electric Delivery Co. LLC, 4.95%, 9/15/52(b) | 47,000 | 42,128 | |
Pacific Gas and Electric Co., | |||
3.25%, 6/01/31 | 31,000 | 24,124 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
Pacific Gas and Electric Co., | |||
4.45%, 4/15/42 | $ 52,000 | $ 36,649 | |
4.30%, 3/15/45 | 46,000 | 30,986 | |
PacifiCorp., | |||
4.10%, 2/01/42 | 112,000 | 86,444 | |
4.15%, 2/15/50 | 63,000 | 48,051 | |
Pattern Energy Operations L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(b) | 45,000 | 40,469 | |
PG&E Corp., | |||
5.00%, 7/01/28 | 90,000 | 81,117 | |
5.25%, 7/01/30 | 15,000 | 13,282 | |
Public Service Co. of New Hampshire, 3.60%, 7/01/49 | 33,000 | 23,685 | |
Public Service Co. of Oklahoma, | |||
2.20%, 8/15/31 | 59,000 | 45,529 | |
3.15%, 8/15/51 | 57,000 | 35,068 | |
Public Service Electric and Gas Co., | |||
3.00%, 5/15/27 | 25,000 | 22,823 | |
3.10%, 3/15/32 | 27,000 | 22,671 | |
Public Service Enterprise Group, Inc., 2.45%, 11/15/31 | 90,000 | 68,880 | |
Sempra Energy, (5Y US Treasury CMT + 2.87%), 4.13%, 4/01/52(h) | 182,000 | 136,955 | |
Southern (The) Co., (5Y US Treasury CMT + 3.73%), 4.00%, 1/15/51(h) | 214,000 | 186,071 | |
Southern California Edison Co., | |||
4.05%, 3/15/42 | 60,000 | 44,408 | |
4.12%, 3/01/48 | 33,000 | 24,003 | |
3.65%, 2/01/50 | 15,000 | 10,028 | |
Tucson Electric Power Co., 4.00%, 6/15/50 | 27,000 | 19,602 | |
Union Electric Co., 2.15%, 3/15/32 | 24,000 | 18,320 | |
Virginia Electric and Power Co., 3.80%, 4/01/28 | 104,000 | 96,815 | |
Vistra Operations Co. LLC, | |||
5.12%, 5/13/25(b) | 70,000 | 67,572 | |
5.50%, 9/01/26(b) | 180,000 | 172,800 | |
WEC Energy Group, Inc., | |||
5.00%, 9/27/25 | 15,000 | 14,941 | |
5.15%, 10/01/27 | 20,000 | 19,683 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
Wisconsin Power and Light Co., 3.00%, 7/01/29 | $ 33,000 | $ 28,492 | |
4,806,712 | |||
Electric, Gas Marketing & Trading – 0.1% | |||
Consolidated Edison Co. of New York, Inc., 4.62%, 12/01/54 | 35,000 | 27,612 | |
New York State Electric & Gas Corp., 3.25%, 12/01/26(b) | 95,000 | 87,813 | |
PECO Energy Co., | |||
2.85%, 9/15/51 | 36,000 | 22,092 | |
4.38%, 8/15/52 | 27,000 | 21,894 | |
159,411 | |||
Electrical Equipment – 0.0%(d) | |||
Sensata Technologies, Inc., | |||
4.38%, 2/15/30(b) | 20,000 | 17,204 | |
3.75%, 2/15/31(b) | 30,000 | 23,888 | |
41,092 | |||
Engineering & Construction – 0.0%(d) | |||
Installed Building Products, Inc., 5.75%, 2/01/28(b) | 25,000 | 22,094 | |
Quanta Services, Inc., 2.35%, 1/15/32 | 41,000 | 29,593 | |
51,687 | |||
Entertainment Content – 0.6% | |||
Diamond Sports Group LLC/Diamond Sports Finance Co., | |||
5.37%, 8/15/26(b) | 175,000 | 35,000 | |
6.62%, 8/15/27(b)(f) | 90,000 | 4,388 | |
Discovery Communications LLC, | |||
4.88%, 4/01/43 | 62,000 | 43,835 | |
5.30%, 5/15/49 | 23,000 | 16,568 | |
Paramount Global, | |||
5.50%, 5/15/33 | 18,000 | 15,761 | |
4.38%, 3/15/43 | 87,000 | 58,560 | |
5.25%, 4/01/44 | 17,000 | 12,432 | |
4.95%, 5/19/50 | 40,000 | 27,971 | |
(5Y US Treasury CMT + 4.00%), 6.37%, 3/30/62(h) | 42,000 | 35,508 | |
Playtika Holding Corp., 4.25%, 3/15/29(b) | 50,000 | 41,649 | |
Time Warner Cable Enterprises LLC, 8.37%, 7/15/33 | 37,000 | 39,114 | |
TWDC Enterprises 18 Corp., 3.15%, 9/17/25 | 29,000 | 27,578 |
Par (a) | Value | ||
Entertainment Content (Continued) | |||
Walt Disney (The) Co., | |||
8.50%, 2/23/25 | $ 37,000 | $ 39,850 | |
2.00%, 9/01/29 | 20,000 | 16,347 | |
6.55%, 3/15/33 | 41,000 | 43,751 | |
4.63%, 3/23/40 | 12,000 | 10,561 | |
4.75%, 9/15/44 | 35,000 | 30,718 | |
4.75%, 11/15/46 | 57,000 | 49,173 | |
Warnermedia Holdings, Inc., | |||
3.76%, 3/15/27(b) | 177,000 | 157,456 | |
4.28%, 3/15/32(b) | 80,000 | 64,620 | |
5.05%, 3/15/42(b) | 41,000 | 29,995 | |
5.14%, 3/15/52(b) | 111,000 | 77,502 | |
5.39%, 3/15/62(b) | 24,000 | 16,741 | |
895,078 | |||
Food – 0.7% | |||
Cargill, Inc., | |||
2.13%, 4/23/30(b) | 34,000 | 27,188 | |
1.70%, 2/02/31(b) | 17,000 | 12,835 | |
5.12%, 10/11/32(b) | 21,000 | 20,476 | |
3.13%, 5/25/51(b) | 22,000 | 14,220 | |
Darling Ingredients, Inc., 6.00%, 6/15/30(b) | 70,000 | 67,375 | |
Hershey (The) Co., 3.13%, 11/15/49 | 65,000 | 44,092 | |
HLF Financing S.a.r.l. LLC/Herbalife International, Inc., 4.87%, 6/01/29(b) | 60,000 | 44,563 | |
Hormel Foods Corp., 3.05%, 6/03/51 | 34,000 | 22,142 | |
J M Smucker (The) Co., 2.75%, 9/15/41 | 65,000 | 40,422 | |
Kraft Heinz Foods Co., | |||
5.00%, 6/04/42 | 29,000 | 25,076 | |
5.20%, 7/15/45 | 29,000 | 25,333 | |
Mars, Inc., 2.38%, 7/16/40(b) | 99,000 | 63,285 | |
Mondelez International, Inc., 2.63%, 3/17/27 | 30,000 | 26,695 | |
Nestle Holdings, Inc., 4.70%, 1/15/53(b) | 150,000 | 134,619 | |
Pilgrim's Pride Corp., 5.87%, 9/30/27(b) | 250,000 | 244,360 | |
Post Holdings, Inc., | |||
4.62%, 4/15/30(b) | 170,000 | 143,449 | |
4.50%, 9/15/31(b) | 170,000 | 140,624 | |
Simmons Foods, Inc., 4.62%, 3/01/29(b) | 55,000 | 45,894 | |
1,142,648 |
Par (a) | Value | ||
Forestry, Paper & Wood Products – 0.1% | |||
Georgia-Pacific LLC, | |||
0.63%, 5/15/24(b) | $ 55,000 | $ 51,241 | |
2.10%, 4/30/27(b) | 36,000 | 31,629 | |
82,870 | |||
Gas & Water Utilities – 0.2% | |||
Ferrellgas L.P./Ferrellgas Finance Corp., 5.38%, 4/01/26(b) | 55,000 | 49,913 | |
ONE Gas, Inc., 4.25%, 9/01/32 | 33,000 | 30,167 | |
Piedmont Natural Gas Co., Inc., | |||
3.60%, 9/01/25 | 28,000 | 26,377 | |
3.35%, 6/01/50 | 24,000 | 15,286 | |
South Jersey Industries, Inc., 5.02%, 4/15/31 | 202,000 | 157,868 | |
Suburban Propane Partners L.P./Suburban Energy Finance Corp., 5.00%, 6/01/31(b) | 80,000 | 67,250 | |
346,861 | |||
Health Care Facilities & Services – 1.7% | |||
AdaptHealth LLC, 5.12%, 3/01/30(b) | 65,000 | 56,387 | |
AHP Health Partners, Inc., 5.75%, 7/15/29(b) | 55,000 | 42,075 | |
Centene Corp., | |||
2.45%, 7/15/28 | 195,000 | 160,387 | |
3.00%, 10/15/30 | 120,000 | 96,600 | |
CHS/Community Health Systems, Inc., 5.25%, 5/15/30(b) | 330,000 | 228,525 | |
Cigna Corp., | |||
4.13%, 11/15/25 | 23,000 | 22,234 | |
4.80%, 8/15/38 | 130,000 | 114,554 | |
3.20%, 3/15/40 | 93,000 | 66,146 | |
4.90%, 12/15/48 | 44,000 | 37,359 | |
3.40%, 3/15/50 | 31,000 | 20,587 | |
CVS Health Corp., | |||
1.30%, 8/21/27 | 20,000 | 16,565 | |
4.30%, 3/25/28 | 65,000 | 60,991 | |
4.78%, 3/25/38 | 204,000 | 177,063 | |
2.70%, 8/21/40 | 34,000 | 21,960 | |
5.12%, 7/20/45 | 13,000 | 11,180 | |
5.05%, 3/25/48 | 29,000 | 24,634 | |
DaVita, Inc., 3.75%, 2/15/31(b) | 180,000 | 130,145 | |
Elevance Health, Inc., | |||
2.88%, 9/15/29 | 54,000 | 45,861 | |
2.55%, 3/15/31 | 20,000 | 16,168 | |
4.10%, 5/15/32 | 35,000 | 31,485 |
Par (a) | Value | ||
Health Care Facilities & Services (Continued) | |||
Elevance Health, Inc., | |||
10/15/32 (k) | $ 34,000 | $ 33,865 | |
4.63%, 5/15/42 | 45,000 | 38,163 | |
5.10%, 1/15/44 | 31,000 | 27,359 | |
10/15/52 (k) | 24,000 | 24,464 | |
Encompass Health Corp., 4.75%, 2/01/30 | 90,000 | 76,725 | |
HCA, Inc., | |||
5.87%, 2/01/29 | 15,000 | 14,642 | |
3.38%, 3/15/29(b) | 35,000 | 29,688 | |
4.13%, 6/15/29 | 75,000 | 66,181 | |
3.50%, 9/01/30 | 31,000 | 25,680 | |
2.38%, 7/15/31 | 55,000 | 40,998 | |
5.25%, 6/15/49 | 77,000 | 62,360 | |
LifePoint Health, Inc., 5.37%, 1/15/29(b) | 170,000 | 108,606 | |
Molina Healthcare, Inc., 3.88%, 5/15/32(b) | 30,000 | 25,020 | |
RP Escrow Issuer LLC, 5.25%, 12/15/25(b) | 40,000 | 29,910 | |
Tenet Healthcare Corp., | |||
6.25%, 2/01/27(b) | 110,000 | 104,975 | |
5.12%, 11/01/27(b) | 50,000 | 46,063 | |
6.12%, 10/01/28(b) | 65,000 | 56,258 | |
UnitedHealth Group, Inc., | |||
1.15%, 5/15/26 | 38,000 | 33,446 | |
2.30%, 5/15/31 | 27,000 | 21,639 | |
5.35%, 2/15/33 | 65,000 | 65,208 | |
3.50%, 8/15/39 | 32,000 | 24,584 | |
2.75%, 5/15/40 | 78,000 | 53,481 | |
3.05%, 5/15/41 | 35,000 | 24,813 | |
3.75%, 10/15/47 | 9,000 | 6,736 | |
4.45%, 12/15/48 | 9,000 | 7,478 | |
3.25%, 5/15/51 | 42,000 | 28,506 | |
4.75%, 5/15/52 | 16,000 | 13,996 | |
5.87%, 2/15/53 | 37,000 | 37,762 | |
6.05%, 2/15/63 | 34,000 | 34,949 | |
US Acute Care Solutions LLC, 6.37%, 3/01/26(b) | 40,000 | 36,267 | |
2,580,728 | |||
Home & Office Products – 0.1% | |||
Newell Brands, Inc., 4.45%, 4/01/26 | 130,000 | 120,971 | |
Tempur Sealy International, Inc., 3.88%, 10/15/31(b) | 60,000 | 45,052 | |
166,023 |
Par (a) | Value | ||
Home Construction – 0.2% | |||
Cornerstone Building Brands, Inc., 6.12%, 1/15/29(b) | $100,000 | $ 62,500 | |
CP Atlas Buyer, Inc., 7.00%, 12/01/28(b) | 55,000 | 39,600 | |
JELD-WEN, Inc., 4.63%, 12/15/25(b) | 45,000 | 37,125 | |
MIWD Holdco II LLC/MIWD Finance Corp., 5.50%, 2/01/30(b) | 75,000 | 57,850 | |
Victors Merger Corp., 6.37%, 5/15/29(b) | 105,000 | 53,977 | |
251,052 | |||
Household Products – 0.2% | |||
Church & Dwight Co., Inc., 5.60%, 11/15/32 | 44,000 | 43,918 | |
Coty, Inc., 5.00%, 4/15/26(b) | 60,000 | 56,269 | |
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.75%, 1/15/29(b) | 130,000 | 112,892 | |
Energizer Holdings, Inc., 4.38%, 3/31/29(b) | 115,000 | 92,068 | |
305,147 | |||
Industrial Support Services – 0.1% | |||
Resideo Funding, Inc., 4.00%, 9/01/29(b) | 80,000 | 65,600 | |
WW Grainger, Inc., 3.75%, 5/15/46 | 54,000 | 40,727 | |
106,327 | |||
Institutional Financial Services – 2.0% | |||
Bank of New York Mellon (The) Corp., | |||
(SOFR + 1.76%), 4.60%, 7/26/30(h) | 27,000 | 25,328 | |
(SOFR Index + 2.07%), 5.83%, 10/25/33(h) | 179,000 | 179,257 | |
Coinbase Global, Inc., | |||
3.38%, 10/01/28(b) | 35,000 | 22,877 | |
3.63%, 10/01/31(b) | 40,000 | 23,686 | |
Goldman Sachs Capital I, 6.34%, 2/15/34 | 82,000 | 78,199 | |
Goldman Sachs Group (The), Inc., | |||
3.50%, 4/01/25 | 38,000 | 36,004 | |
(3M USD LIBOR + 1.75%), 6.12%, 10/28/27(c) | 43,000 | 42,558 | |
(SOFR + 1.25%), 2.38%, 7/21/32(h) | 8,000 | 5,953 | |
6.45%, 5/01/36 | 33,000 | 31,981 |
Par (a) | Value | ||
Institutional Financial Services (Continued) | |||
Goldman Sachs Group (The), Inc., | |||
6.75%, 10/01/37 | $114,000 | $ 112,711 | |
6.25%, 2/01/41 | 8,000 | 7,832 | |
Intercontinental Exchange, Inc., | |||
2.10%, 6/15/30 | 38,000 | 30,083 | |
4.60%, 3/15/33 | 131,000 | 120,130 | |
4.95%, 6/15/52 | 67,000 | 58,146 | |
Morgan Stanley, | |||
(SOFR + 0.62%), 0.73%, 4/05/24(h) | 80,000 | 78,048 | |
(3M USD LIBOR + 0.85%), 3.74%, 4/24/24(h) | 107,000 | 105,948 | |
(SOFR + 0.51%), 0.79%, 1/22/25(h) | 165,000 | 154,018 | |
(SOFR + 1.15%), 2.72%, 7/22/25(h) | 72,000 | 67,956 | |
(SOFR + 0.94%), 2.63%, 2/18/26(h) | 265,000 | 245,607 | |
(SOFR + 1.99%), 2.19%, 4/28/26(h) | 132,000 | 120,467 | |
(SOFR + 0.72%), 0.99%, 12/10/26(h) | 63,000 | 53,913 | |
(SOFR + 0.88%), 1.59%, 5/04/27(h) | 74,000 | 63,326 | |
(SOFR + 0.86%), 1.51%, 7/20/27(h) | 300,000 | 254,372 | |
(SOFR + 1.00%), 2.48%, 1/21/28(h) | 29,000 | 25,066 | |
(SOFR + 2.24%), 6.30%, 10/18/28(h) | 57,000 | 57,513 | |
(SOFR + 3.12%), 3.62%, 4/01/31(h) | 277,000 | 235,525 | |
(SOFR + 1.02%), 1.93%, 4/28/32(h) | 77,000 | 55,822 | |
(SOFR + 1.18%), 2.24%, 7/21/32(h) | 58,000 | 42,755 | |
(SOFR + 1.20%), 2.51%, 10/20/32(h) | 18,000 | 13,552 | |
(SOFR + 2.56%), 6.34%, 10/18/33(h) | 252,000 | 255,534 | |
(SOFR + 2.62%), 5.30%, 4/20/37(h) | 335,000 | 297,085 | |
Northern Trust Corp., 6.12%, 11/02/32 | 150,000 | 150,122 | |
State Street Corp., (SOFR + 1.00%), 2.62%, 2/07/33(h) | 148,000 | 115,173 | |
3,166,547 | |||
Insurance – 1.0% | |||
Alleghany Corp., | |||
3.63%, 5/15/30 | 166,000 | 147,113 | |
4.90%, 9/15/44 | 5,000 | 4,295 | |
3.25%, 8/15/51 | 28,000 | 17,994 |
Par (a) | Value | ||
Insurance (Continued) | |||
American International Group, Inc., 3.90%, 4/01/26 | $ 40,000 | $ 38,110 | |
AmWINS Group, Inc., 4.88%, 6/30/29(b) | 105,000 | 89,758 | |
Assurant, Inc., 3.70%, 2/22/30 | 56,000 | 46,092 | |
AssuredPartners, Inc., 5.62%, 1/15/29(b) | 85,000 | 69,912 | |
Berkshire Hathaway Finance Corp., | |||
4.40%, 5/15/42 | 18,000 | 15,388 | |
3.85%, 3/15/52 | 30,000 | 22,005 | |
BroadStreet Partners, Inc., 5.87%, 4/15/29(b) | 80,000 | 64,206 | |
Chubb INA Holdings, Inc., 1.38%, 9/15/30 | 124,000 | 92,274 | |
Corebridge Financial, Inc., | |||
3.85%, 4/05/29(b) | 56,000 | 48,921 | |
3.90%, 4/05/32(b) | 133,000 | 111,162 | |
(5Y US Treasury CMT + 3.85%), 6.87%, 12/15/52(b)(h) | 120,000 | 108,157 | |
Enstar Finance LLC, (5Y US Treasury CMT + 4.01%), 5.50%, 1/15/42(h) | 89,000 | 69,931 | |
Hartford Financial Services Group (The), Inc., | |||
5.95%, 10/15/36 | 44,000 | 42,215 | |
(3M USD LIBOR + 2.13%), 5.03%, 2/12/47(b)(c) | 131,000 | 108,289 | |
Liberty Mutual Group, Inc., | |||
5.50%, 6/15/52(b) | 43,000 | 35,365 | |
4.30%, 2/01/61(b) | 128,000 | 75,407 | |
Marsh & McLennan Cos., Inc., | |||
5.75%, 11/01/32 | 60,000 | 60,185 | |
6.25%, 11/01/52 | 31,000 | 31,654 | |
Old Republic International Corp., 3.85%, 6/11/51 | 66,000 | 42,806 | |
PartnerRe Finance B LLC, (5Y US Treasury CMT + 3.82%), 4.50%, 10/01/50(h) | 211,000 | 172,346 | |
1,513,585 | |||
Internet Media & Services – 1.0% | |||
ANGI Group LLC, 3.88%, 8/15/28(b) | 65,000 | 47,614 | |
Arches Buyer, Inc., 6.12%, 12/01/28(b) | 40,000 | 30,841 | |
Endurance International Group Holdings, Inc., 6.00%, 2/15/29(b) | 180,000 | 120,164 |
Par (a) | Value | ||
Internet Media & Services (Continued) | |||
Match Group Holdings II LLC, | |||
5.00%, 12/15/27(b) | $ 45,000 | $ 40,152 | |
3.63%, 10/01/31(b) | 20,000 | 15,245 | |
Meta Platforms, Inc., | |||
3.50%, 8/15/27(b) | 33,000 | 30,293 | |
3.85%, 8/15/32(b) | 102,000 | 86,786 | |
4.45%, 8/15/52(b) | 86,000 | 63,824 | |
4.65%, 8/15/62(b) | 124,000 | 91,453 | |
Netflix, Inc., | |||
5.87%, 2/15/25 | 85,000 | 85,425 | |
6.37%, 5/15/29 | 15,000 | 15,298 | |
5.37%, 11/15/29(b) | 125,000 | 118,750 | |
4.88%, 6/15/30(b) | 10,000 | 9,260 | |
Uber Technologies, Inc., | |||
8.00%, 11/01/26(b) | 45,000 | 45,167 | |
7.50%, 9/15/27(b) | 80,000 | 79,982 | |
4.50%, 8/15/29(b) | 770,000 | 660,044 | |
Ziff Davis, Inc., 4.63%, 10/15/30(b) | 83,000 | 70,153 | |
1,610,451 | |||
Leisure Facilities & Services – 1.8% | |||
Bloomin' Brands, Inc./OSI Restaurant Partners LLC, 5.13%, 4/15/29(b) | 75,000 | 63,797 | |
Caesars Entertainment, Inc., 6.25%, 7/01/25(b) | 125,000 | 121,966 | |
Carnival Corp., 5.75%, 3/01/27(b) | 220,000 | 152,457 | |
Everi Holdings, Inc., 5.00%, 7/15/29(b) | 40,000 | 34,850 | |
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.00%, 6/01/29(b) | 140,000 | 120,068 | |
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.75%, 6/01/27(b) | 120,000 | 114,551 | |
Live Nation Entertainment, Inc., | |||
4.75%, 10/15/27(b) | 115,000 | 102,341 | |
3.75%, 1/15/28(b) | 85,000 | 73,972 | |
Marriott Ownership Resorts, Inc., | |||
4.75%, 1/15/28 | 215,000 | 185,587 | |
4.50%, 6/15/29(b) | 60,000 | 50,233 | |
McDonald's Corp., | |||
5.70%, 2/01/39 | 23,000 | 22,285 | |
4.20%, 4/01/50 | 32,000 | 25,034 |
Par (a) | Value | ||
Leisure Facilities & Services (Continued) | |||
Mohegan Gaming & Entertainment, 8.00%, 2/01/26(b) | $ 15,000 | $ 12,653 | |
NCL Corp. Ltd., | |||
5.87%, 3/15/26(b) | 335,000 | 274,281 | |
5.87%, 3/15/26 | 5,000 | 4,094 | |
NCL Finance Ltd., 6.12%, 3/15/28(b) | 55,000 | 42,762 | |
Papa John's International, Inc., 3.88%, 9/15/29(b) | 60,000 | 48,746 | |
Royal Caribbean Cruises Ltd., | |||
4.25%, 7/01/26(b) | 135,000 | 107,332 | |
11.63%, 8/15/27(b) | 100,000 | 95,894 | |
3.70%, 3/15/28 | 95,000 | 68,875 | |
5.50%, 4/01/28(b) | 270,000 | 207,900 | |
Scientific Games International, Inc., | |||
7.00%, 5/15/28(b) | 235,000 | 227,417 | |
7.25%, 11/15/29(b) | 30,000 | 29,001 | |
Speedway Motorsports LLC/Speedway Funding II, Inc., 4.88%, 11/01/27(b) | 60,000 | 52,132 | |
Travel + Leisure Co., | |||
6.62%, 7/31/26(b) | 205,000 | 199,611 | |
6.00%, 4/01/27 | 10,000 | 9,337 | |
4.50%, 12/01/29(b) | 60,000 | 48,900 | |
4.63%, 3/01/30(b) | 130,000 | 104,938 | |
Viking Ocean Cruises Ship VII Ltd., 5.62%, 2/15/29(b) | 90,000 | 70,158 | |
VOC Escrow Ltd., 5.00%, 2/15/28(b) | 85,000 | 69,975 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(b) | 125,000 | 99,433 | |
2,840,580 | |||
Leisure Products – 0.0%(d) | |||
Hasbro, Inc., | |||
3.00%, 11/19/24 | 40,000 | 37,982 | |
3.55%, 11/19/26 | 36,000 | 32,893 | |
70,875 | |||
Machinery – 0.4% | |||
CNH Industrial Capital LLC, 5.45%, 10/14/25 | 20,000 | 19,779 | |
Eaton Corp., 4.70%, 8/23/52 | 92,000 | 78,122 | |
GrafTech Finance, Inc., 4.63%, 12/15/28(b) | 50,000 | 40,500 | |
John Deere Capital Corp., | |||
3.35%, 4/18/29 | 68,000 | 61,333 |
Par (a) | Value | ||
Machinery (Continued) | |||
John Deere Capital Corp., | |||
4.35%, 9/15/32 | $ 33,000 | $ 30,988 | |
Madison IAQ LLC, 5.87%, 6/30/29(b) | 80,000 | 54,800 | |
Trane Technologies Global Holding Co. Ltd., 3.75%, 8/21/28 | 20,000 | 18,280 | |
Trane Technologies Luxembourg Finance S.A., | |||
3.55%, 11/01/24 | 257,000 | 247,878 | |
3.50%, 3/21/26 | 25,000 | 23,264 | |
Xylem, Inc., 3.25%, 11/01/26 | 102,000 | 93,798 | |
668,742 | |||
Medical Equipment & Devices – 0.2% | |||
Baxter International, Inc., 1.92%, 2/01/27 | 36,000 | 30,940 | |
Boston Scientific Corp., 4.70%, 3/01/49 | 21,000 | 17,738 | |
Garden Spinco Corp., 8.62%, 7/20/30(b) | 80,000 | 82,285 | |
Medline Borrower L.P., 5.25%, 10/01/29(b) | 115,000 | 89,556 | |
PerkinElmer, Inc., 3.30%, 9/15/29 | 43,000 | 36,125 | |
256,644 | |||
Metals & Mining – 0.1% | |||
Novelis Corp., 4.75%, 1/30/30(b) | 150,000 | 127,432 | |
SunCoke Energy, Inc., 4.88%, 6/30/29(b) | 35,000 | 28,700 | |
156,132 | |||
Oil & Gas Producers – 4.8% | |||
Antero Midstream Partners L.P./Antero Midstream Finance Corp., | |||
7.87%, 5/15/26(b) | 50,000 | 51,000 | |
5.38%, 6/15/29(b) | 50,000 | 45,615 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.00%, 11/01/26(b) | 130,000 | 128,050 | |
Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.62%, 12/15/25(b) | 115,000 | 113,565 | |
BP Capital Markets America, Inc., | |||
3.94%, 9/21/28 | 89,000 | 82,628 | |
3.38%, 2/08/61 | 43,000 | 27,309 | |
Buckeye Partners L.P., | |||
4.50%, 3/01/28(b) | 90,000 | 78,075 | |
5.85%, 11/15/43 | 45,000 | 33,764 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Buckeye Partners L.P., | |||
5.60%, 10/15/44 | $ 25,000 | $ 18,500 | |
California Resources Corp., 7.12%, 2/01/26(b) | 30,000 | 29,424 | |
Callon Petroleum Co., 8.00%, 8/01/28(b) | 75,000 | 74,723 | |
Calumet Specialty Products Partners L.P./Calumet Finance Corp., 11.00%, 4/15/25(b) | 35,000 | 36,383 | |
Cameron LNG LLC, 2.90%, 7/15/31(b) | 78,000 | 63,653 | |
Cheniere Corpus Christi Holdings LLC, 3.70%, 11/15/29 | 11,000 | 9,580 | |
Cheniere Energy Partners L.P., 4.00%, 3/01/31 | 80,000 | 67,447 | |
Chesapeake Energy Corp., | |||
5.50%, 2/01/26(b) | 205,000 | 198,696 | |
6.75%, 4/15/29(b) | 40,000 | 39,179 | |
Chevron USA, Inc., 3.25%, 10/15/29 | 25,000 | 22,412 | |
Chord Energy Corp., 6.37%, 6/01/26(b) | 40,000 | 39,076 | |
CNX Resources Corp., 7.25%, 3/14/27(b) | 95,000 | 94,307 | |
Colgate Energy Partners III LLC, 5.88%, 7/01/29(b) | 50,000 | 46,613 | |
Comstock Resources, Inc., 6.75%, 3/01/29(b) | 80,000 | 76,600 | |
Continental Resources, Inc., 5.75%, 1/15/31(b) | 20,000 | 18,133 | |
Coterra Energy, Inc., | |||
3.90%, 5/15/27(b) | 98,000 | 90,280 | |
4.38%, 3/15/29(b) | 14,000 | 12,826 | |
Crescent Energy Finance LLC, 7.25%, 5/01/26(b) | 95,000 | 88,094 | |
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp., 6.00%, 2/01/29(b) | 85,000 | 79,484 | |
CVR Energy, Inc., 5.25%, 2/15/25(b) | 130,000 | 125,265 | |
DCP Midstream Operating L.P., | |||
5.38%, 7/15/25 | 70,000 | 68,451 | |
5.63%, 7/15/27 | 145,000 | 140,788 | |
3.25%, 2/15/32 | 10,000 | 7,962 | |
Diamondback Energy, Inc., | |||
3.50%, 12/01/29 | 55,000 | 47,428 | |
6.25%, 3/15/33 | 26,000 | 26,101 | |
4.40%, 3/24/51 | 57,000 | 42,734 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Energy Transfer L.P., | |||
(5Y US Treasury CMT + 5.69%), 6.50%, 11/15/26(g)(h) | $ 82,000 | $ 70,520 | |
(5Y US Treasury CMT + 5.31%), 7.12%, 5/15/30(g)(h) | 66,000 | 54,738 | |
5.30%, 4/15/47 | 82,000 | 64,406 | |
5.40%, 10/01/47 | 46,000 | 36,524 | |
EnLink Midstream LLC, 6.50%, 9/01/30(b) | 80,000 | 78,600 | |
EnLink Midstream Partners L.P., | |||
5.60%, 4/01/44 | 30,000 | 23,387 | |
5.05%, 4/01/45 | 5,000 | 3,631 | |
5.45%, 6/01/47 | 55,000 | 41,788 | |
Enterprise Products Operating LLC, 3.95%, 1/31/60 | 92,000 | 61,101 | |
EQM Midstream Partners L.P., | |||
6.00%, 7/01/25(b) | 23,000 | 22,276 | |
7.50%, 6/01/27(b) | 145,000 | 143,188 | |
6.50%, 7/01/27(b) | 120,000 | 117,000 | |
5.50%, 7/15/28 | 25,000 | 22,328 | |
7.50%, 6/01/30(b) | 30,000 | 29,175 | |
6.50%, 7/15/48 | 25,000 | 19,250 | |
EQT Corp., | |||
6.12%, 2/01/25 | 175,000 | 175,432 | |
3.13%, 5/15/26(b) | 10,000 | 9,075 | |
3.90%, 10/01/27 | 120,000 | 107,852 | |
5.70%, 4/01/28 | 72,000 | 70,063 | |
Exxon Mobil Corp., | |||
2.28%, 8/16/26 | 80,000 | 72,788 | |
2.44%, 8/16/29 | 15,000 | 12,851 | |
3.00%, 8/16/39 | 34,000 | 24,921 | |
4.23%, 3/19/40 | 129,000 | 110,452 | |
Genesis Energy L.P./Genesis Energy Finance Corp., 7.75%, 2/01/28 | 145,000 | 138,294 | |
Gulfport Energy Corp., 8.00%, 5/17/26(b) | 45,000 | 44,865 | |
Hess Midstream Operations L.P., | |||
5.63%, 2/15/26(b) | 144,000 | 141,231 | |
4.25%, 2/15/30(b) | 105,000 | 89,791 | |
Holly Energy Partners L.P./Holly Energy Finance Corp., 6.37%, 4/15/27(b) | 65,000 | 62,560 | |
Kinder Morgan, Inc., 3.60%, 2/15/51 | 124,000 | 80,258 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Marathon Petroleum Corp., | |||
4.75%, 9/15/44 | $ 22,000 | $ 17,341 | |
5.00%, 9/15/54 | 65,000 | 51,043 | |
Matador Resources Co., 5.88%, 9/15/26 | 125,000 | 122,813 | |
MPLX L.P., | |||
4.00%, 2/15/25 | 54,000 | 51,935 | |
1.75%, 3/01/26 | 45,000 | 39,233 | |
2.65%, 8/15/30 | 29,000 | 22,830 | |
5.20%, 3/01/47 | 145,000 | 115,583 | |
5.20%, 12/01/47 | 45,000 | 36,012 | |
4.70%, 4/15/48 | 28,000 | 20,882 | |
5.50%, 2/15/49 | 47,000 | 39,219 | |
Murphy Oil Corp., 6.12%, 12/01/42 | 100,000 | 78,868 | |
Murphy Oil USA, Inc., 4.75%, 9/15/29 | 20,000 | 18,000 | |
New Fortress Energy, Inc., 6.75%, 9/15/25(b) | 80,000 | 78,536 | |
Northern Oil and Gas, Inc., 8.12%, 3/01/28(b) | 50,000 | 48,500 | |
NuStar Logistics L.P., 5.75%, 10/01/25 | 85,000 | 81,960 | |
Occidental Petroleum Corp., | |||
5.55%, 3/15/26 | 30,000 | 30,450 | |
8.50%, 7/15/27 | 40,000 | 43,490 | |
8.87%, 7/15/30 | 120,000 | 136,200 | |
6.62%, 9/01/30 | 204,000 | 212,171 | |
6.12%, 1/01/31 | 164,000 | 164,431 | |
7.50%, 5/01/31 | 45,000 | 48,375 | |
7.87%, 9/15/31 | 20,000 | 21,766 | |
6.60%, 3/15/46 | 220,000 | 216,543 | |
ONEOK Partners L.P., 6.12%, 2/01/41 | 18,000 | 15,665 | |
PDC Energy, Inc., 5.75%, 5/15/26 | 210,000 | 201,319 | |
Permian Resources Operating LLC, 6.87%, 4/01/27(b) | 75,000 | 72,750 | |
Phillips 66, | |||
0.90%, 2/15/24 | 42,000 | 39,738 | |
2.15%, 12/15/30 | 36,000 | 27,904 | |
Plains All American Pipeline L.P./PAA Finance Corp., | |||
3.55%, 12/15/29 | 79,000 | 65,830 | |
3.80%, 9/15/30 | 13,000 | 10,838 | |
5.15%, 6/01/42 | 14,000 | 10,572 | |
4.30%, 1/31/43 | 8,000 | 5,376 | |
Range Resources Corp., 8.25%, 1/15/29 | 45,000 | 46,768 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Sabine Pass Liquefaction LLC, 4.20%, 3/15/28 | $148,000 | $ 134,952 | |
SM Energy Co., | |||
5.63%, 6/01/25 | 70,000 | 67,999 | |
6.75%, 9/15/26 | 65,000 | 64,025 | |
Southwestern Energy Co., 5.38%, 2/01/29 | 40,000 | 37,300 | |
Sunoco L.P./Sunoco Finance Corp., 4.50%, 5/15/29 | 50,000 | 42,945 | |
Tap Rock Resources LLC, 7.00%, 10/01/26(b) | 75,000 | 70,025 | |
Targa Resources Corp., | |||
5.20%, 7/01/27 | 115,000 | 110,922 | |
6.25%, 7/01/52 | 28,000 | 25,023 | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., | |||
5.00%, 1/15/28 | 81,000 | 74,690 | |
5.50%, 3/01/30 | 60,000 | 55,388 | |
4.88%, 2/01/31 | 15,000 | 13,235 | |
4.00%, 1/15/32 | 101,000 | 82,879 | |
Transcontinental Gas Pipe Line Co. LLC, 3.25%, 5/15/30 | 29,000 | 24,419 | |
Western Midstream Operating L.P., | |||
3.35%, 2/01/25 | 40,000 | 38,019 | |
4.50%, 3/01/28 | 20,000 | 18,351 | |
4.75%, 8/15/28 | 10,000 | 9,225 | |
5.30%, 3/01/48 | 65,000 | 52,488 | |
5.50%, 2/01/50 | 45,000 | 35,032 | |
Williams (The) Cos., Inc., | |||
4.55%, 6/24/24 | 83,000 | 81,610 | |
3.75%, 6/15/27 | 104,000 | 95,583 | |
2.60%, 3/15/31 | 58,000 | 45,443 | |
5.10%, 9/15/45 | 67,000 | 55,002 | |
7,479,986 | |||
Oil, Gas Services & Equipment – 0.3% | |||
Nabors Industries, Inc., 7.37%, 5/15/27(b) | 75,000 | 73,685 | |
Solaris Midstream Holdings LLC, 7.62%, 4/01/26(b) | 40,000 | 38,100 | |
Transocean Pontus Ltd., 6.13%, 8/01/25(b) | 33,600 | 32,343 | |
Transocean Poseidon Ltd., 6.88%, 2/01/27(b) | 157,500 | 150,806 | |
Transocean Proteus Ltd., 6.25%, 12/01/24(b) | 44,100 | 42,998 |
Par (a) | Value | ||
Oil, Gas Services & Equipment (Continued) | |||
Weatherford International Ltd., | |||
11.00%, 12/01/24(b) | $ 11,000 | $ 11,306 | |
8.62%, 4/30/30(b) | 115,000 | 108,387 | |
457,625 | |||
Publishing & Broadcasting – 0.5% | |||
Audacy Capital Corp., 6.75%, 3/31/29(b) | 80,000 | 22,751 | |
Gray Escrow II, Inc., 5.38%, 11/15/31(b) | 35,000 | 28,088 | |
Gray Television, Inc., 4.75%, 10/15/30(b) | 190,000 | 150,100 | |
iHeartCommunications, Inc., | |||
6.37%, 5/01/26 | 130,000 | 123,848 | |
8.37%, 5/01/27 | 165,000 | 148,218 | |
4.75%, 1/15/28(b) | 135,000 | 117,787 | |
Nexstar Media, Inc., 5.62%, 7/15/27(b) | 20,000 | 18,890 | |
Scripps Escrow II, Inc., 5.38%, 1/15/31(b) | 55,000 | 44,688 | |
Sinclair Television Group, Inc., 5.13%, 2/15/27(b) | 85,000 | 71,425 | |
725,795 | |||
Real Estate Investment Trusts – 1.3% | |||
American Homes 4 Rent L.P., | |||
3.38%, 7/15/51 | 41,000 | 24,049 | |
4.30%, 4/15/52 | 12,000 | 8,267 | |
American Tower Corp., | |||
4.40%, 2/15/26 | 26,000 | 24,781 | |
3.65%, 3/15/27 | 35,000 | 31,647 | |
3.60%, 1/15/28 | 48,000 | 42,536 | |
4.05%, 3/15/32 | 57,000 | 48,741 | |
Camden Property Trust, 2.80%, 5/15/30 | 79,000 | 65,051 | |
CubeSmart L.P., 2.50%, 2/15/32 | 64,000 | 47,145 | |
Extra Space Storage L.P., 3.90%, 4/01/29 | 45,000 | 39,470 | |
Invitation Homes Operating Partnership L.P., | |||
2.30%, 11/15/28 | 85,000 | 67,654 | |
2.00%, 8/15/31 | 94,000 | 65,986 | |
4.15%, 4/15/32 | 89,000 | 73,956 | |
2.70%, 1/15/34 | 28,000 | 19,353 | |
Iron Mountain, Inc., | |||
5.25%, 3/15/28(b) | 50,000 | 46,000 | |
4.87%, 9/15/29(b) | 160,000 | 137,560 | |
4.50%, 2/15/31(b) | 70,000 | 56,700 |
Par (a) | Value | ||
Real Estate Investment Trusts (Continued) | |||
Life Storage L.P., 2.40%, 10/15/31 | $ 73,000 | $ 53,761 | |
Mid-America Apartments L.P., | |||
3.60%, 6/01/27 | 47,000 | 43,130 | |
4.20%, 6/15/28 | 78,000 | 71,752 | |
2.75%, 3/15/30 | 85,000 | 69,867 | |
1.70%, 2/15/31 | 17,000 | 12,551 | |
Prologis L.P., 4.62%, 1/15/33 | 34,000 | 31,484 | |
Realty Income Corp., | |||
4.87%, 6/01/26 | 33,000 | 32,088 | |
3.95%, 8/15/27 | 62,000 | 57,534 | |
SBA Communications Corp., | |||
3.88%, 2/15/27 | 100,000 | 90,000 | |
3.13%, 2/01/29 | 275,000 | 222,263 | |
Service Properties Trust, | |||
7.50%, 9/15/25 | 95,000 | 92,625 | |
4.75%, 10/01/26 | 65,000 | 52,830 | |
Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC, 4.75%, 4/15/28(b) | 95,000 | 77,657 | |
VICI Properties L.P., 4.38%, 5/15/25 | 145,000 | 137,773 | |
VICI Properties L.P./VICI Note Co., Inc., | |||
5.62%, 5/01/24(b) | 5,000 | 4,936 | |
4.50%, 9/01/26(b) | 5,000 | 4,550 | |
4.25%, 12/01/26(b) | 5,000 | 4,554 | |
4.50%, 1/15/28(b) | 191,000 | 167,485 | |
Weyerhaeuser Co., 4.00%, 3/09/52 | 27,000 | 18,936 | |
2,044,672 | |||
Real Estate Services – 0.1% | |||
Realogy Group LLC/Realogy Co-Issuer Corp., | |||
5.75%, 1/15/29(b) | 100,000 | 71,875 | |
5.25%, 4/15/30(b) | 55,000 | 38,138 | |
110,013 | |||
Retail - Consumer Staples – 0.2% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC, 4.63%, 1/15/27(b) | 210,000 | 194,609 | |
Kroger (The) Co., 2.20%, 5/01/30 | 63,000 | 49,457 | |
Target Corp., | |||
4.50%, 9/15/32 | 52,000 | 49,041 |
Par (a) | Value | ||
Retail - Consumer Staples (Continued) | |||
Target Corp., | |||
2.95%, 1/15/52 | $ 9,000 | $ 5,830 | |
Walmart, Inc., | |||
4.15%, 9/09/32 | 46,000 | 43,520 | |
4.50%, 9/09/52 | 33,000 | 29,298 | |
371,755 | |||
Retail - Discretionary – 0.7% | |||
Asbury Automotive Group, Inc., | |||
4.50%, 3/01/28 | 79,000 | 68,489 | |
4.63%, 11/15/29(b) | 65,000 | 53,463 | |
4.75%, 3/01/30 | 22,000 | 18,023 | |
Bath & Body Works, Inc., | |||
5.25%, 2/01/28 | 35,000 | 30,958 | |
6.87%, 11/01/35 | 5,000 | 4,200 | |
6.75%, 7/01/36 | 65,000 | 53,706 | |
Builders FirstSource, Inc., | |||
5.00%, 3/01/30(b) | 45,000 | 38,648 | |
4.25%, 2/01/32(b) | 60,000 | 48,012 | |
Carvana Co., | |||
5.50%, 4/15/27(b) | 110,000 | 52,275 | |
4.87%, 9/01/29(b) | 20,000 | 8,850 | |
Foundation Building Materials, Inc., 6.00%, 3/01/29(b) | 115,000 | 79,448 | |
Group 1 Automotive, Inc., 4.00%, 8/15/28(b) | 30,000 | 24,672 | |
Home Depot (The), Inc., | |||
3.25%, 4/15/32 | 20,000 | 17,259 | |
3.30%, 4/15/40 | 65,000 | 48,659 | |
2.75%, 9/15/51 | 102,000 | 62,044 | |
3.63%, 4/15/52 | 21,000 | 15,197 | |
4.95%, 9/15/52 | 62,000 | 55,734 | |
Ken Garff Automotive LLC, 4.87%, 9/15/28(b) | 50,000 | 41,511 | |
LBM Acquisition LLC, 6.25%, 1/15/29(b) | 90,000 | 62,953 | |
Lowe's Cos., Inc., | |||
5.00%, 4/15/33 | 33,000 | 31,137 | |
4.65%, 4/15/42 | 33,000 | 26,992 | |
4.45%, 4/01/62 | 28,000 | 20,338 | |
5.80%, 9/15/62 | 33,000 | 29,511 | |
Michaels (The) Cos., Inc., 7.87%, 5/01/29(b) | 60,000 | 33,450 | |
Patrick Industries, Inc., 4.75%, 5/01/29(b) | 90,000 | 67,950 | |
QVC, Inc., 4.85%, 4/01/24 | 5,000 | 4,789 | |
Sonic Automotive, Inc., | |||
4.63%, 11/15/29(b) | 110,000 | 86,121 | |
4.88%, 11/15/31(b) | 100,000 | 75,442 | |
1,159,831 |
Par (a) | Value | ||
Semiconductors – 1.0% | |||
Advanced Micro Devices, Inc., | |||
3.92%, 6/01/32 | $102,000 | $ 90,947 | |
4.39%, 6/01/52 | 72,000 | 58,175 | |
Broadcom, Inc., | |||
2.45%, 2/15/31(b) | 35,000 | 26,265 | |
4.30%, 11/15/32 | 140,000 | 117,727 | |
3.42%, 4/15/33(b) | 46,000 | 34,953 | |
3.19%, 11/15/36(b) | 139,000 | 94,807 | |
4.93%, 5/15/37(b) | 49,000 | 40,401 | |
Entegris Escrow Corp., 5.95%, 6/15/30(b) | 180,000 | 164,250 | |
Intel Corp., | |||
3.70%, 7/29/25 | 32,000 | 31,063 | |
4.15%, 8/05/32 | 6,000 | 5,358 | |
2.80%, 8/12/41 | 132,000 | 84,650 | |
4.75%, 3/25/50 | 23,000 | 18,637 | |
3.20%, 8/12/61 | 26,000 | 14,986 | |
5.05%, 8/05/62 | 27,000 | 21,947 | |
KLA Corp., | |||
4.65%, 7/15/32 | 40,000 | 37,994 | |
4.95%, 7/15/52 | 101,000 | 87,918 | |
5.25%, 7/15/62 | 40,000 | 35,299 | |
Micron Technology, Inc., 6.75%, 11/01/29 | 180,000 | 180,103 | |
NVIDIA Corp., | |||
1.55%, 6/15/28 | 196,000 | 161,862 | |
2.00%, 6/15/31 | 122,000 | 94,874 | |
3.50%, 4/01/40 | 44,000 | 33,415 | |
Texas Instruments, Inc., | |||
3.65%, 8/16/32 | 62,000 | 55,431 | |
3.87%, 3/15/39 | 90,000 | 74,802 | |
4.10%, 8/16/52 | 41,000 | 33,715 | |
1,599,579 | |||
Software – 0.7% | |||
Cloud Software Group Holdings, Inc., 6.50%, 3/31/29(b) | 35,000 | 30,351 | |
Fortinet, Inc., 1.00%, 3/15/26 | 101,000 | 86,652 | |
GoTo Group, Inc., 5.50%, 9/01/27(b) | 95,000 | 55,075 | |
Microsoft Corp., | |||
3.45%, 8/08/36 | 19,000 | 16,281 | |
2.53%, 6/01/50 | 2,000 | 1,255 | |
2.92%, 3/17/52 | 120,000 | 81,078 | |
2.68%, 6/01/60 | 45,000 | 27,260 | |
NortonLifeLock, Inc., 6.75%, 9/30/27(b) | 115,000 | 113,366 | |
Oracle Corp., | |||
2.95%, 5/15/25 | 37,000 | 34,786 |
Par (a) | Value | ||
Software (Continued) | |||
Oracle Corp., | |||
2.80%, 4/01/27 | $ 53,000 | $ 46,861 | |
3.25%, 11/15/27 | 122,000 | 108,272 | |
2.30%, 3/25/28 | 68,000 | 56,883 | |
4.30%, 7/08/34 | 58,000 | 47,708 | |
3.80%, 11/15/37 | 16,000 | 11,630 | |
4.12%, 5/15/45 | 96,000 | 65,885 | |
4.00%, 11/15/47 | 33,000 | 21,864 | |
3.60%, 4/01/50 | 39,000 | 24,005 | |
3.95%, 3/25/51 | 7,000 | 4,579 | |
3.85%, 4/01/60 | 43,000 | 25,967 | |
Rocket Software, Inc., 6.50%, 2/15/29(b) | 60,000 | 47,897 | |
Salesforce, Inc., | |||
2.70%, 7/15/41 | 151,000 | 103,562 | |
2.90%, 7/15/51 | 26,000 | 16,743 | |
SS&C Technologies, Inc., 5.50%, 9/30/27(b) | 50,000 | 46,490 | |
1,074,450 | |||
Specialty Finance – 1.6% | |||
Aircastle Ltd., (5Y US Treasury CMT + 4.41%), 5.25%, 6/15/26(b)(g)(h) | 45,000 | 33,653 | |
American Express Co., (SOFR + 1.76%), 4.42%, 8/03/33(h) | 177,000 | 156,777 | |
Aviation Capital Group LLC, | |||
4.38%, 1/30/24(b) | 43,000 | 41,449 | |
1.95%, 9/20/26(b) | 67,000 | 53,851 | |
3.50%, 11/01/27(b) | 26,000 | 21,115 | |
Capital One Financial Corp., | |||
(SOFR + 1.29%), 2.64%, 3/03/26(h) | 49,000 | 44,921 | |
(SOFR + 1.79%), 3.27%, 3/01/30(h) | 48,000 | 39,393 | |
(SOFR + 2.60%), 5.25%, 7/26/30(h) | 35,000 | 32,068 | |
Cobra AcquisitionCo LLC, 6.37%, 11/01/29(b) | 165,000 | 109,725 | |
Freedom Mortgage Corp., 7.62%, 5/01/26(b) | 110,000 | 86,904 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.25%, 2/01/27(b) | 90,000 | 75,587 | |
LFS Topco LLC, 5.87%, 10/15/26(b) | 75,000 | 58,607 | |
Nationstar Mortgage Holdings, Inc., 6.00%, 1/15/27(b) | 150,000 | 133,500 | |
Navient Corp., | |||
5.00%, 3/15/27 | 300,000 | 252,857 |
Par (a) | Value | ||
Specialty Finance (Continued) | |||
Navient Corp., | |||
4.87%, 3/15/28 | $140,000 | $ 111,308 | |
5.50%, 3/15/29 | 20,000 | 15,868 | |
OneMain Finance Corp., | |||
6.87%, 3/15/25 | 85,000 | 82,450 | |
7.12%, 3/15/26 | 120,000 | 115,560 | |
3.50%, 1/15/27 | 230,000 | 188,511 | |
Provident Funding Associates L.P./PFG Finance Corp., 6.37%, 6/15/25(b) | 90,000 | 78,300 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., | |||
2.88%, 10/15/26(b) | 155,000 | 129,337 | |
3.63%, 3/01/29(b) | 55,000 | 42,625 | |
3.63%, 3/01/29 | 105,000 | 81,375 | |
3.88%, 3/01/31(b) | 130,000 | 96,655 | |
4.00%, 10/15/33(b) | 470,000 | 328,281 | |
Starwood Property Trust, Inc., 3.63%, 7/15/26(b) | 50,000 | 43,500 | |
2,454,177 | |||
Steel – 0.3% | |||
ATI, Inc., | |||
5.87%, 12/01/27 | 130,000 | 118,162 | |
4.88%, 10/01/29 | 40,000 | 33,633 | |
Cleveland-Cliffs, Inc., | |||
6.75%, 3/15/26(b) | 35,000 | 34,737 | |
5.87%, 6/01/27 | 95,000 | 88,350 | |
Commercial Metals Co., 4.13%, 1/15/30 | 100,000 | 84,020 | |
Nucor Corp., 4.30%, 5/23/27 | 39,000 | 37,169 | |
United States Steel Corp., 6.87%, 3/01/29 | 22,000 | 20,189 | |
416,260 | |||
Technology Hardware – 0.8% | |||
Apple, Inc., | |||
3.35%, 8/08/32 | 27,000 | 23,801 | |
3.85%, 5/04/43 | 65,000 | 52,901 | |
4.38%, 5/13/45 | 25,000 | 21,802 | |
4.65%, 2/23/46 | 17,000 | 15,357 | |
4.25%, 2/09/47 | 137,000 | 117,744 | |
2.70%, 8/05/51 | 62,000 | 38,959 | |
3.95%, 8/08/52 | 79,000 | 62,710 | |
2.85%, 8/05/61 | 91,000 | 54,522 | |
4.10%, 8/08/62 | 24,000 | 18,643 | |
Avnet, Inc., 5.50%, 6/01/32 | 52,000 | 46,451 |
Par (a) | Value | ||
Technology Hardware (Continued) | |||
CommScope Technologies LLC, 5.00%, 3/15/27(b) | $590,000 | $ 477,670 | |
HP, Inc., 4.20%, 4/15/32 | 13,000 | 10,646 | |
NCR Corp., | |||
5.75%, 9/01/27(b) | 90,000 | 86,850 | |
5.00%, 10/01/28(b) | 50,000 | 42,015 | |
5.12%, 4/15/29(b) | 10,000 | 8,393 | |
Seagate HDD Cayman, | |||
4.87%, 6/01/27 | 25,000 | 23,118 | |
3.38%, 7/15/31 | 5,000 | 3,569 | |
ViaSat, Inc., 6.50%, 7/15/28(b) | 55,000 | 45,959 | |
Western Digital Corp., | |||
4.75%, 2/15/26 | 35,000 | 32,336 | |
3.10%, 2/01/32 | 20,000 | 13,848 | |
1,197,294 | |||
Technology Services – 1.1% | |||
Block, Inc., 2.75%, 6/01/26 | 140,000 | 124,858 | |
Dun & Bradstreet (The) Corp., 5.00%, 12/15/29(b) | 45,000 | 38,171 | |
Fiserv, Inc., 3.50%, 7/01/29 | 111,000 | 96,306 | |
Global Payments, Inc., | |||
4.95%, 8/15/27 | 130,000 | 123,523 | |
4.45%, 6/01/28 | 131,000 | 119,080 | |
5.95%, 8/15/52 | 24,000 | 20,763 | |
International Business Machines Corp., | |||
4.15%, 7/27/27 | 51,000 | 48,717 | |
3.50%, 5/15/29 | 246,000 | 220,231 | |
4.40%, 7/27/32 | 99,000 | 90,487 | |
4.90%, 7/27/52 | 52,000 | 43,803 | |
Kyndryl Holdings, Inc., | |||
2.05%, 10/15/26 | 21,000 | 16,422 | |
2.70%, 10/15/28 | 106,000 | 76,637 | |
3.15%, 10/15/31 | 61,000 | 38,132 | |
Moody's Corp., | |||
3.75%, 3/24/25 | 50,000 | 48,360 | |
3.75%, 2/25/52 | 45,000 | 31,777 | |
PayPal Holdings, Inc., | |||
2.85%, 10/01/29 | 43,000 | 36,567 | |
4.40%, 6/01/32 | 30,000 | 27,560 | |
3.25%, 6/01/50 | 84,000 | 54,566 | |
5.25%, 6/01/62 | 69,000 | 59,249 | |
Presidio Holdings, Inc., | |||
4.87%, 2/01/27(b) | 25,000 | 23,085 | |
8.25%, 2/01/28(b) | 25,000 | 22,250 | |
S&P Global, Inc., | |||
2.45%, 3/01/27(b) | 68,000 | 60,920 |
Par (a) | Value | ||
Technology Services (Continued) | |||
S&P Global, Inc., | |||
2.70%, 3/01/29(b) | $ 34,000 | $ 29,217 | |
1.25%, 8/15/30 | 32,000 | 23,783 | |
2.90%, 3/01/32(b) | 126,000 | 103,635 | |
3.70%, 3/01/52(b) | 54,000 | 39,303 | |
Visa, Inc., | |||
4.15%, 12/14/35 | 86,000 | 77,466 | |
4.30%, 12/14/45 | 13,000 | 11,079 | |
1,705,947 | |||
Telecommunications – 1.2% | |||
AT&T, Inc., | |||
3.50%, 6/01/41 | 127,000 | 89,727 | |
3.55%, 9/15/55 | 121,000 | 77,000 | |
3.80%, 12/01/57 | 69,000 | 45,469 | |
3.65%, 9/15/59 | 204,000 | 128,682 | |
Embarq Corp., 7.99%, 6/01/36 | 5,000 | 2,011 | |
Frontier Communications Holdings LLC, | |||
5.87%, 10/15/27(b) | 155,000 | 142,573 | |
8.75%, 5/15/30(b) | 50,000 | 51,063 | |
Level 3 Financing, Inc., | |||
4.25%, 7/01/28(b) | 35,000 | 28,875 | |
3.62%, 1/15/29(b) | 105,000 | 80,062 | |
Ligado Networks LLC, | |||
(100% Cash), 15.50%, 11/01/23(b)(l) | 103,421 | 35,034 | |
(100% Cash), 17.50%, 5/01/24(b)(l) | 49,239 | 8,001 | |
T-Mobile USA, Inc., | |||
2.25%, 2/15/26 | 135,000 | 121,206 | |
2.63%, 4/15/26 | 106,000 | 95,662 | |
2.63%, 2/15/29 | 24,000 | 19,839 | |
3.37%, 4/15/29 | 60,000 | 51,951 | |
2.88%, 2/15/31 | 63,000 | 50,716 | |
2.55%, 2/15/31 | 23,000 | 18,192 | |
3.50%, 4/15/31 | 180,000 | 151,345 | |
5.65%, 1/15/53 | 45,000 | 41,501 | |
Verizon Communications, Inc., | |||
4.33%, 9/21/28 | 41,000 | 38,436 | |
2.36%, 3/15/32 | 98,000 | 74,238 | |
4.50%, 8/10/33 | 277,000 | 246,787 | |
4.40%, 11/01/34 | 33,000 | 28,570 | |
4.81%, 3/15/39 | 116,000 | 100,356 | |
2.65%, 11/20/40 | 40,000 | 25,391 | |
4.75%, 11/01/41 | 19,000 | 15,990 | |
3.55%, 3/22/51 | 8,000 | 5,400 | |
3.70%, 3/22/61 | 109,000 | 71,295 | |
1,845,372 |
Par (a) | Value | ||
Tobacco & Cannabis – 0.1% | |||
Altria Group, Inc., | |||
4.80%, 2/14/29 | $ 14,000 | $ 12,888 | |
3.40%, 5/06/30 | 66,000 | 53,479 | |
3.70%, 2/04/51 | 52,000 | 30,405 | |
96,772 | |||
Transportation & Logistics – 1.3% | |||
Alaska Airlines Pass Through Trust, Series 2020-1, Class A, 4.80%, 8/15/27(b) | 5,059 | 4,730 | |
Allegiant Travel Co., 7.25%, 8/15/27(b) | 70,000 | 65,803 | |
American Airlines Pass Through Trust, | |||
Series 2015-2, Class AA, 3.60%, 9/22/27 | 10,381 | 9,175 | |
Series 2015-2, Class A, 4.00%, 9/22/27 | 29,068 | 23,225 | |
Series 2016-1, Class AA, 3.58%, 1/15/28 | 5,001 | 4,396 | |
Series 2016-1, Class A, 4.10%, 1/15/28 | 1,429 | 1,120 | |
Series 2016-2, Class AA, 3.20%, 6/15/28 | 11,872 | 9,894 | |
Series 2016-2, Class A, 3.65%, 6/15/28 | 13,356 | 10,091 | |
Series 2017-1, Class AA, 3.65%, 2/15/29 | 2,201 | 1,953 | |
Series 2017-1, Class A, 4.00%, 2/15/29 | 104,193 | 83,820 | |
Series 2017-2, Class AA, 3.35%, 10/15/29 | 161,700 | 137,010 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 4/20/29(b) | 540,000 | 491,400 | |
Burlington Northern Santa Fe LLC, | |||
4.40%, 3/15/42 | 23,000 | 19,400 | |
4.37%, 9/01/42 | 53,000 | 44,348 | |
5.15%, 9/01/43 | 41,000 | 37,766 | |
4.90%, 4/01/44 | 35,000 | 31,123 | |
4.45%, 1/15/53 | 122,000 | 102,367 | |
CSX Corp., | |||
4.50%, 11/15/52 | 52,000 | 42,374 | |
4.65%, 3/01/68 | 84,000 | 64,910 | |
Delta Air Lines Pass Through Trust, | |||
Series 2015-1, Class A, 3.88%, 7/30/27 | 8,344 | 7,122 | |
Series 2020-1, Class A, 2.50%, 6/10/28 | 40,964 | 34,402 |
Par (a) | Value | ||
Transportation & Logistics (Continued) | |||
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28(b) | $ 32,000 | $ 29,769 | |
FedEx Corp., | |||
3.90%, 2/01/35 | 23,000 | 18,761 | |
3.87%, 8/01/42 | 115,000 | 82,416 | |
4.10%, 4/15/43 | 19,000 | 13,738 | |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 6/20/27(b) | 53,200 | 52,594 | |
Norfolk Southern Corp., | |||
3.95%, 10/01/42 | 61,000 | 46,910 | |
4.55%, 6/01/53 | 48,000 | 39,041 | |
U.S. Airways Pass Through Trust, | |||
Series 2012-1, Class A, 5.90%, 10/01/24 | 44,344 | 42,696 | |
Series 2012-2, Class A, 4.62%, 6/03/25 | 46,892 | 42,305 | |
Series 2013-1, Class A, 3.95%, 11/15/25 | 39,529 | 34,974 | |
Union Pacific Corp., | |||
3.60%, 9/15/37 | 14,000 | 11,251 | |
3.55%, 8/15/39 | 37,000 | 28,769 | |
3.38%, 2/14/42 | 21,000 | 15,685 | |
4.95%, 9/09/52 | 33,000 | 29,686 | |
3.50%, 2/14/53 | 41,000 | 28,704 | |
3.84%, 3/20/60 | 30,000 | 21,433 | |
5.15%, 1/20/63 | 27,000 | 24,159 | |
4.10%, 9/15/67 | 26,000 | 18,817 | |
United Airlines Pass Through Trust, | |||
Series 2012-1, Class A, 4.15%, 4/11/24 | 60,696 | 57,786 | |
Series 2020-1, Class A, 5.87%, 10/15/27 | 109,073 | 105,242 | |
Series 2016-2, Class A, 3.10%, 10/07/28 | 36,785 | 28,292 | |
Series 2018-1, Class A, 3.70%, 3/01/30 | 8,091 | 6,386 | |
Series 2019-1, Class A, 4.55%, 8/25/31 | 3,096 | 2,500 | |
2,008,343 | |||
Transportation Equipment – 0.1% | |||
Allison Transmission, Inc., 4.75%, 10/01/27(b) | 130,000 | 119,682 |
Par (a) | Value | ||
Wholesale - Consumer Staples – 0.1% | |||
Performance Food Group, Inc., 4.25%, 8/01/29(b) | $ 95,000 | $ 80,482 | |
Total Corporate Bonds (Cost $71,066,670) | 62,818,859 | ||
Foreign Issuer Bonds – 50.0% | |||
Angola – 0.3% | |||
Angolan Government International Bond, | |||
8.25%, 5/09/28(b) | 260,000 | 218,660 | |
8.75%, 4/14/32(b) | 270,000 | 217,485 | |
436,145 | |||
Argentina – 0.3% | |||
Argentine Republic Government International Bond, | |||
(Step to 4.25% on 7/9/23), 3.88%, 1/09/38(j) | 688,956 | 178,259 | |
(Step to 4.88% on 7/9/29), 3.50%, 7/09/41(j) | 658,931 | 156,961 | |
YPF S.A., 6.95%, 7/21/27(b) | 120,000 | 72,780 | |
408,000 | |||
Australia – 0.5% | |||
CSL Finance PLC, | |||
4.25%, 4/27/32(b) | 51,000 | 46,111 | |
4.63%, 4/27/42(b) | 73,000 | 61,557 | |
4.75%, 4/27/52(b) | 61,000 | 51,167 | |
4.95%, 4/27/62(b) | 31,000 | 25,840 | |
Mineral Resources Ltd., | |||
8.12%, 5/01/27(b) | 95,000 | 94,525 | |
8.00%, 11/01/27(b) | 20,000 | 19,674 | |
NBN Co. Ltd., | |||
1.45%, 5/05/26(b) | 200,000 | 173,958 | |
2.50%, 1/08/32(b) | 200,000 | 151,045 | |
Newcrest Finance Pty. Ltd., | |||
3.25%, 5/13/30(b) | 36,000 | 29,094 | |
4.20%, 5/13/50(b) | 41,000 | 28,430 | |
Rio Tinto Finance USA Ltd., 2.75%, 11/02/51 | 35,000 | 21,563 | |
South32 Treasury Ltd., 4.35%, 4/14/32(b) | 47,000 | 39,271 | |
742,235 | |||
Bahrain – 0.8% | |||
Bahrain Government International Bond, | |||
5.63%, 9/30/31(b) | 400,000 | 333,632 | |
5.25%, 1/25/33(b) | 300,000 | 234,072 |
Par (a) | Value | ||
Bahrain (Continued) | |||
Oil and Gas Holding (The) Co. BSCC, | |||
7.62%, 11/07/24 | $ 450,000 | $ 447,478 | |
7.50%, 10/25/27 | 200,000 | 194,187 | |
1,209,369 | |||
Belgium – 0.4% | |||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., | |||
3.65%, 2/01/26 | 137,000 | 131,214 | |
4.90%, 2/01/46 | 233,000 | 199,838 | |
Anheuser-Busch InBev Worldwide, Inc., | |||
4.75%, 1/23/29 | 72,000 | 70,036 | |
4.37%, 4/15/38 | 93,000 | 79,413 | |
4.44%, 10/06/48 | 86,000 | 69,652 | |
5.55%, 1/23/49 | 38,000 | 35,787 | |
585,940 | |||
Bermuda – 0.0%(d) | |||
Triton Container International Ltd., 3.15%, 6/15/31(b) | 49,000 | 36,133 | |
Brazil – 3.5% | |||
Acu Petroleo Luxembourg S.a.r.l., 7.50%, 1/13/32(b) | 250,000 | 196,738 | |
Brazil Minas SPE via State of Minas Gerais, 5.33%, 2/15/28 | 120,000 | 114,990 | |
Brazil Notas do Tesouro Nacional, Serie F, | |||
10.00%, 1/01/25 | BRL | 11,108,000 | 2,078,937 |
10.00%, 1/01/27 | BRL | 5,393,000 | 989,067 |
10.00%, 1/01/29 | BRL | 4,157,000 | 745,187 |
10.00%, 1/01/31 | BRL | 1,414,000 | 248,827 |
Brazilian Government International Bond, | |||
3.88%, 6/12/30 | 530,000 | 446,206 | |
7.12%, 1/20/37 | 200,000 | 199,400 | |
5.00%, 1/27/45 | 200,000 | 143,561 | |
MC Brazil Downstream Trading S.a.r.l., 7.25%, 6/30/31(b) | 200,000 | 152,820 | |
MV24 Capital B.V., 6.75%, 6/01/34(b) | 177,780 | 146,877 | |
5,462,610 | |||
Canada – 1.5% | |||
1011778 B.C. ULC/New Red Finance, Inc., 3.88%, 1/15/28(b) | 265,000 | 232,915 |
Par (a) | Value | ||
Canada (Continued) | |||
Algonquin Power & Utilities Corp., (5Y US Treasury CMT + 3.25%), 4.75%, 1/18/82(h) | $ 80,000 | $ 64,418 | |
Bank of Montreal, 3.70%, 6/07/25 | 68,000 | 65,085 | |
Bank of Nova Scotia (The), (5Y US Treasury CMT + 2.05%), 4.59%, 5/04/37(h) | 204,000 | 167,615 | |
Baytex Energy Corp., 8.75%, 4/01/27(b) | 140,000 | 143,150 | |
Bombardier, Inc., | |||
7.12%, 6/15/26(b) | 320,000 | 302,902 | |
6.00%, 2/15/28(b) | 30,000 | 26,697 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.88%, 2/15/30(b) | 60,000 | 46,136 | |
Enbridge, Inc., | |||
(5Y US Treasury CMT + 3.71%), 7.37%, 1/15/83(h) | 49,000 | 46,240 | |
(5Y US Treasury CMT + 4.42%), 7.62%, 1/15/83(h) | 49,000 | 47,117 | |
GFL Environmental, Inc., 4.00%, 8/01/28(b) | 80,000 | 69,232 | |
Intact Financial Corp., 5.46%, 9/22/32(b) | 133,000 | 127,539 | |
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.00%, 9/15/28(b) | 80,000 | 59,515 | |
MEG Energy Corp., 5.88%, 2/01/29(b) | 90,000 | 85,918 | |
Nutrien Ltd., 2.95%, 5/13/30 | 179,000 | 148,026 | |
Open Text Corp., 3.88%, 12/01/29(b) | 165,000 | 130,762 | |
Parkland Corp., 5.87%, 7/15/27(b) | 80,000 | 75,164 | |
Precision Drilling Corp., | |||
7.12%, 1/15/26(b) | 5,000 | 4,912 | |
6.87%, 1/15/29(b) | 55,000 | 50,580 | |
Rogers Communications, Inc., | |||
3.80%, 3/15/32(b) | 25,000 | 21,285 | |
4.55%, 3/15/52(b) | 30,000 | 23,177 | |
Royal Bank of Canada, | |||
4.65%, 1/27/26 | 51,000 | 49,221 | |
3.63%, 5/04/27 | 14,000 | 12,915 | |
4.24%, 8/03/27 | 26,000 | 24,443 | |
Strathcona Resources Ltd., 6.87%, 8/01/26(b) | 105,000 | 88,897 |
Par (a) | Value | ||
Canada (Continued) | |||
Telesat Canada/Telesat LLC, 5.63%, 12/06/26(b) | $ 65,000 | $ 30,679 | |
Toronto-Dominion Bank (The), | |||
2.80%, 3/10/27 | 42,000 | 37,452 | |
4.11%, 6/08/27 | 111,000 | 103,968 | |
2,285,960 | |||
Chile – 1.3% | |||
Bonos de la Tesoreria de la Republica en pesos, | |||
4.50%, 3/01/26 | CLP | 80,000,000 | 78,858 |
5.00%, 10/01/28(b) | CLP | 95,000,000 | 92,621 |
4.70%, 9/01/30(b) | CLP | 420,000,000 | 395,933 |
5.00%, 3/01/35 | CLP | 100,000,000 | 93,731 |
Chile Government International Bond, | |||
2.75%, 1/31/27 | 200,000 | 179,374 | |
2.55%, 1/27/32 | 390,000 | 305,515 | |
2.55%, 7/27/33 | 400,000 | 297,431 | |
3.50%, 1/31/34 | 400,000 | 322,622 | |
3.10%, 5/07/41 | 440,000 | 290,399 | |
2,056,484 | |||
China – 2.3% | |||
Agile Group Holdings Ltd., 6.05%, 10/13/25 | 205,000 | 38,342 | |
Agricultural Development Bank of China, 2.25%, 4/22/25 | CNY | 4,120,000 | 560,347 |
China Evergrande Group, 8.75%, 6/28/25 | 200,000 | 7,250 | |
China Government Bond, | |||
2.85%, 6/04/27 | CNY | 3,700,000 | 513,594 |
3.28%, 12/03/27 | CNY | 3,250,000 | 461,482 |
2.75%, 6/15/29 | CNY | 4,280,000 | 586,649 |
3.27%, 11/19/30 | CNY | 7,560,000 | 1,073,346 |
Global Aircraft Leasing Co. Ltd., (100% Cash), 6.50%, 9/15/24(b)(l) | 77,718 | 62,401 | |
Kaisa Group Holdings Ltd., 9.38%, 6/30/24(i) | 200,000 | 13,500 | |
NXP B.V./NXP Funding LLC/NXP USA, Inc., | |||
5.00%, 1/15/33 | 78,000 | 69,962 | |
3.13%, 2/15/42 | 23,000 | 14,438 | |
3.25%, 11/30/51 | 55,000 | 31,824 | |
Sunac China Holdings Ltd., 6.50%, 1/26/26 | 200,000 | 11,030 | |
Tencent Holdings Ltd., 3.92%, 1/19/38 | 200,000 | 136,205 | |
Times China Holdings Ltd., 6.20%, 3/22/26 | 215,000 | 12,062 |
Par (a) | Value | ||
China (Continued) | |||
Yuzhou Group Holdings Co. Ltd., 6.35%, 1/13/27(i) | $ 200,000 | $ 5,810 | |
Zhenro Properties Group Ltd., 6.63%, 1/07/26 | 200,000 | 6,000 | |
3,604,242 | |||
Colombia – 1.7% | |||
Colombia Government International Bond, | |||
3.13%, 4/15/31 | 200,000 | 136,576 | |
4.13%, 2/22/42 | 1,200,000 | 674,456 | |
Colombian TES, | |||
7.50%, 8/26/26 | COP | 1,737,800,000 | 291,660 |
5.75%, 11/03/27 | COP | 1,141,100,000 | 167,743 |
6.00%, 4/28/28 | COP | 1,425,600,000 | 206,182 |
7.75%, 9/18/30 | COP | 1,823,700,000 | 265,013 |
7.00%, 6/30/32 | COP | 3,035,500,000 | 397,179 |
Ecopetrol S.A., 4.62%, 11/02/31 | 233,000 | 160,575 | |
Gran Tierra Energy International Holdings Ltd., 6.25%, 2/15/25 | 200,000 | 170,290 | |
Millicom International Cellular S.A., 5.12%, 1/15/28 | 180,000 | 153,509 | |
2,623,183 | |||
Czech Republic – 0.9% | |||
Czech Republic Government Bond, | |||
1.25%, 2/14/25 | CZK | 8,090,000 | 293,119 |
1.00%, 6/26/26 | CZK | 6,500,000 | 218,546 |
2.75%, 7/23/29 | CZK | 8,230,000 | 274,713 |
0.95%, 5/15/30 | CZK | 8,670,000 | 246,928 |
2.00%, 10/13/33 | CZK | 14,740,000 | 415,877 |
1,449,183 | |||
Denmark – 0.1% | |||
Danske Bank A/S, 4.38%, 6/12/28(b) | 200,000 | 173,715 | |
Dominican Republic – 0.9% | |||
Dominican Republic International Bond, | |||
6.00%, 7/19/28 | 365,000 | 332,608 | |
5.50%, 2/22/29(b) | 475,000 | 414,739 | |
4.50%, 1/30/30(b) | 355,000 | 284,073 | |
4.87%, 9/23/32(b) | 265,000 | 204,184 | |
5.30%, 1/21/41(b) | 260,000 | 179,082 | |
1,414,686 |
Par (a) | Value | ||
Ecuador – 0.2% | |||
Ecuador Government International Bond, | |||
(Step to 6.00% on 7/31/23), 5.50%, 7/31/30(j) | $625,610 | $331,849 | |
(Step to 3.50% on 7/31/23), 2.50%, 7/31/35(b)(j) | 20,291 | 7,413 | |
339,262 | |||
Egypt – 0.2% | |||
Egypt Government International Bond, | |||
7.05%, 1/15/32(b) | 360,000 | 228,112 | |
7.30%, 9/30/33 | 200,000 | 125,766 | |
353,878 | |||
El Salvador – 0.2% | |||
El Salvador Government International Bond, | |||
6.38%, 1/18/27 | 230,000 | 89,269 | |
8.25%, 4/10/32 | 210,000 | 83,475 | |
7.12%, 1/20/50 | 300,000 | 102,285 | |
275,029 | |||
France – 0.5% | |||
Altice France S.A., 5.12%, 1/15/29(b) | 290,000 | 218,225 | |
BPCE S.A., (SOFR + 1.09%), 2.04%, 10/19/27(b)(h) | 250,000 | 207,643 | |
Danone S.A., 2.59%, 11/02/23(b) | 200,000 | 194,347 | |
Orange S.A., 9.00%, 3/01/31 | 37,000 | 44,203 | |
TotalEnergies Capital International S.A., | |||
2.83%, 1/10/30 | 47,000 | 40,340 | |
2.99%, 6/29/41 | 32,000 | 22,536 | |
XLIT Ltd., 5.50%, 3/31/45 | 104,000 | 91,866 | |
819,160 | |||
Gabon – 0.1% | |||
Gabon Government International Bond, 6.63%, 2/06/31 | 200,000 | 141,171 | |
Germany – 0.2% | |||
Deutsche Bank A.G., (5Y USD Swap Rate + 2.55%), 4.88%, 12/01/32(h) | 400,000 | 317,169 |
Par (a) | Value | ||
Guatemala – 0.5% | |||
Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.25%, 4/27/29(b) | $ 95,000 | $ 83,565 | |
CT Trust, 5.12%, 2/03/32 | 200,000 | 159,766 | |
Guatemala Government Bond, | |||
4.90%, 6/01/30 | 200,000 | 181,521 | |
3.70%, 10/07/33(b) | 400,000 | 302,884 | |
727,736 | |||
Hong Kong – 0.1% | |||
Melco Resorts Finance Ltd., 5.75%, 7/21/28(b) | 200,000 | 115,000 | |
Hungary – 0.6% | |||
Hungary Government Bond, | |||
3.00%, 6/26/24 | HUF | 193,010,000 | 397,468 |
1.00%, 11/26/25 | HUF | 39,680,000 | 69,773 |
3.00%, 10/27/27 | HUF | 62,670,000 | 104,133 |
3.25%, 10/22/31 | HUF | 91,050,000 | 133,600 |
3.00%, 10/27/38 | HUF | 23,570,000 | 27,327 |
Hungary Government International Bond, 5.25%, 6/16/29(b) | 200,000 | 183,880 | |
916,181 | |||
India – 0.5% | |||
Adani Green Energy Ltd., 4.37%, 9/08/24 | 200,000 | 150,620 | |
Clean Renewable Power Mauritius Pte. Ltd., 4.25%, 3/25/27(b) | 191,000 | 147,165 | |
India Airport Infra, 6.25%, 10/25/25 | 250,000 | 221,250 | |
India Green Power Holdings, 4.00%, 2/22/27 | 250,000 | 187,512 | |
706,547 | |||
Indonesia – 3.9% | |||
Freeport Indonesia PT, 5.32%, 4/14/32(b) | 600,000 | 504,750 | |
Indonesia Asahan Aluminium Persero PT, | |||
4.75%, 5/15/25(b) | 400,000 | 381,013 | |
5.45%, 5/15/30(b) | 300,000 | 262,706 | |
Indonesia Treasury Bond, | |||
8.37%, 9/15/26 | IDR | 5,700,000,000 | 379,510 |
6.13%, 5/15/28 | IDR | 4,200,000,000 | 254,041 |
9.00%, 3/15/29 | IDR | 9,247,000,000 | 639,886 |
7.00%, 9/15/30 | IDR | 7,666,000,000 | 476,700 |
6.50%, 2/15/31 | IDR | 10,514,000,000 | 630,727 |
Par (a) | Value | ||
Indonesia (Continued) | |||
Indonesia Treasury Bond, | |||
6.37%, 4/15/32 | IDR | $5,547,000,000 | $ 329,165 |
7.50%, 8/15/32 | IDR | 5,944,000,000 | 379,487 |
8.37%, 3/15/34 | IDR | 3,453,000,000 | 234,082 |
7.50%, 6/15/35 | IDR | 4,715,000,000 | 299,462 |
Perusahaan Penerbit SBSN Indonesia III, | |||
4.15%, 3/29/27 | 500,000 | 474,945 | |
4.40%, 6/06/27(b) | 200,000 | 190,805 | |
2.55%, 6/09/31 | 200,000 | 160,100 | |
4.70%, 6/06/32(b) | 400,000 | 373,733 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, 4.88%, 7/17/49 | 200,000 | 134,124 | |
6,105,236 | |||
Iraq – 0.3% | |||
Iraq International Bond, 5.80%, 1/15/28 | 536,250 | 457,689 | |
Ireland – 0.1% | |||
Avolon Holdings Funding Ltd., | |||
2.12%, 2/21/26(b) | 67,000 | 54,932 | |
4.25%, 4/15/26(b) | 99,000 | 86,539 | |
2.53%, 11/18/27(b) | 36,000 | 27,481 | |
168,952 | |||
Israel – 0.9% | |||
Bank Leumi Le-Israel B.M., 5.13%, 7/27/27(b) | 200,000 | 195,298 | |
Energean Israel Finance Ltd., | |||
4.88%, 3/30/26(b) | 90,000 | 81,184 | |
5.37%, 3/30/28(b) | 140,000 | 123,463 | |
5.87%, 3/30/31(b) | 175,000 | 148,605 | |
Leviathan Bond Ltd., 6.75%, 6/30/30(b) | 85,000 | 76,334 | |
Teva Pharmaceutical Finance Co. LLC, 6.15%, 2/01/36 | 50,000 | 40,975 | |
Teva Pharmaceutical Finance Netherlands III B.V., | |||
3.15%, 10/01/26 | 40,000 | 33,800 | |
4.10%, 10/01/46 | 1,132,000 | 684,991 | |
1,384,650 | |||
Italy – 0.3% | |||
Intesa Sanpaolo S.p.A., 5.71%, 1/15/26(b) | 200,000 | 186,307 | |
Telecom Italia Capital S.A., | |||
6.37%, 11/15/33 | 60,000 | 46,104 | |
6.00%, 9/30/34 | 10,000 | 7,298 |
Par (a) | Value | ||
Italy (Continued) | |||
Telecom Italia Capital S.A., | |||
7.20%, 7/18/36 | $ 49,000 | $ 38,159 | |
UniCredit S.p.A., (5Y US Treasury CMT + 4.75%), 5.46%, 6/30/35(b)(h) | 200,000 | 149,016 | |
426,884 | |||
Ivory Coast – 0.2% | |||
Ivory Coast Government International Bond, | |||
4.88%, 1/30/32(b) | EUR | 200,000 | 139,385 |
6.87%, 10/17/40(b) | EUR | 175,000 | 116,090 |
255,475 | |||
Japan – 0.5% | |||
Mitsubishi UFJ Financial Group, Inc., 1.41%, 7/17/25 | 200,000 | 178,530 | |
SoftBank Group Corp., 4.63%, 7/06/28 | 605,000 | 485,927 | |
Takeda Pharmaceutical Co. Ltd., 5.00%, 11/26/28 | 200,000 | 193,017 | |
857,474 | |||
Jordan – 0.1% | |||
Jordan Government International Bond, 7.75%, 1/15/28(b) | 200,000 | 193,140 | |
Kazakhstan – 0.4% | |||
KazMunayGas National Co. JSC, 3.50%, 4/14/33(b) | 525,000 | 352,107 | |
Tengizchevroil Finance Co. International Ltd., | |||
4.00%, 8/15/26 | 200,000 | 162,808 | |
3.25%, 8/15/30 | 200,000 | 137,050 | |
651,965 | |||
Luxembourg – 0.1% | |||
Altice Financing S.A., 5.00%, 1/15/28(b) | 240,000 | 189,758 | |
Macau – 0.4% | |||
MGM China Holdings Ltd., 4.75%, 2/01/27(b) | 200,000 | 150,032 | |
Sands China Ltd., | |||
3.35%, 3/08/29 | 10,000 | 6,687 | |
4.88%, 6/18/30 | 400,000 | 284,900 | |
Studio City Finance Ltd., 5.00%, 1/15/29(b) | 200,000 | 85,948 | |
Wynn Macau Ltd., 5.12%, 12/15/29(b) | 200,000 | 121,000 | |
648,567 |
Par (a) | Value | ||
Malaysia – 2.1% | |||
Malaysia Government Bond, | |||
4.18%, 7/15/24 | MYR | $ 156,000 | $ 33,367 |
3.95%, 9/15/25 | MYR | 1,720,000 | 364,313 |
3.90%, 11/30/26 | MYR | 1,000,000 | 210,791 |
3.90%, 11/16/27 | MYR | 2,685,000 | 560,188 |
3.73%, 6/15/28 | MYR | 2,174,000 | 445,552 |
3.89%, 8/15/29 | MYR | 3,048,000 | 624,535 |
3.58%, 7/15/32 | MYR | 1,960,000 | 389,120 |
4.76%, 4/07/37 | MYR | 789,000 | 168,822 |
3.76%, 5/22/40 | MYR | 778,000 | 142,223 |
Malaysia Government Investment Issue, 3.47%, 10/15/30 | MYR | 1,720,000 | 342,087 |
3,280,998 | |||
Mexico – 4.9% | |||
America Movil S.A.B. de C.V., 5.37%, 4/04/32(b) | 200,000 | 169,300 | |
Braskem Idesa SAPI, 6.99%, 2/20/32(b) | 200,000 | 133,776 | |
Cemex S.A.B. de C.V., | |||
(5Y US Treasury CMT + 4.53%), 5.13%, 6/08/26(b)(h) | 200,000 | 165,110 | |
3.88%, 7/11/31(b) | 490,000 | 372,971 | |
Comision Federal de Electricidad, 6.26%, 2/15/52 | 400,000 | 295,774 | |
Electricidad Firme de Mexico Holdings S.A. de C.V., 4.90%, 11/20/26(b) | 200,000 | 159,006 | |
Mexican Bonos, | |||
10.00%, 12/05/24 | MXN | 2,081,700 | 104,626 |
5.00%, 3/06/25 | MXN | 2,380,000 | 107,179 |
5.75%, 3/05/26 | MXN | 13,387,900 | 596,111 |
7.50%, 6/03/27 | MXN | 20,383,800 | 942,014 |
8.50%, 5/31/29 | MXN | 15,406,300 | 728,454 |
7.75%, 5/29/31 | MXN | 18,246,200 | 811,542 |
10.00%, 11/20/36 | MXN | 1,346,500 | 68,358 |
8.50%, 11/18/38 | MXN | 13,050,000 | 580,901 |
Mexico Government International Bond, | |||
4.50%, 4/22/29 | 600,000 | 557,415 | |
4.88%, 5/19/33 | 625,000 | 549,887 | |
3.50%, 2/12/34 | 200,000 | 152,591 | |
Petroleos Mexicanos, | |||
5.35%, 2/12/28 | 249,000 | 198,449 | |
6.84%, 1/23/30 | 442,000 | 352,773 | |
5.95%, 1/28/31 | 277,000 | 199,628 | |
6.70%, 2/16/32 | 300,000 | 226,875 | |
6.62%, 6/15/35 | 195,000 | 135,427 | |
7,608,167 |
Par (a) | Value | ||
Mozambique – 0.1% | |||
Mozambique International Bond, (Step to 9.00% on 9/15/23), 5.00%, 9/15/31(j) | $200,000 | $ 136,836 | |
Netherlands – 0.6% | |||
Cooperatieve Rabobank U.A., (1Y US Treasury CMT + 1.75%), 4.65%, 8/22/28(b)(h) | 250,000 | 231,242 | |
ING Groep N.V., (SOFR + 1.83%), 4.02%, 3/28/28(h) | 200,000 | 179,876 | |
Shell International Finance B.V., | |||
4.13%, 5/11/35 | 31,000 | 27,369 | |
2.88%, 11/26/41 | 29,000 | 19,904 | |
4.00%, 5/10/46 | 109,000 | 85,599 | |
3.00%, 11/26/51 | 62,000 | 39,887 | |
UPC Broadband Finco B.V., 4.87%, 7/15/31(b) | 220,000 | 184,741 | |
Ziggo Bond Co. B.V., 6.00%, 1/15/27(b) | 150,000 | 134,955 | |
903,573 | |||
Nigeria – 0.4% | |||
IHS Netherlands Holdco B.V., 8.00%, 9/18/27 | 200,000 | 156,338 | |
Nigeria Government International Bond, | |||
7.37%, 9/28/33 | 300,000 | 182,266 | |
7.70%, 2/23/38(b) | 390,000 | 228,150 | |
566,754 | |||
Oman – 0.9% | |||
Oman Government International Bond, | |||
4.75%, 6/15/26 | 200,000 | 189,666 | |
5.62%, 1/17/28 | 425,000 | 406,794 | |
6.00%, 8/01/29 | 200,000 | 190,474 | |
6.25%, 1/25/31(b) | 290,000 | 276,225 | |
OQ SAOC, 5.13%, 5/06/28 | 450,000 | 407,210 | |
1,470,369 | |||
Pakistan – 0.1% | |||
Pakistan Government International Bond, | |||
6.00%, 4/08/26(b) | 200,000 | 65,000 | |
6.88%, 12/05/27 | 335,000 | 107,914 | |
172,914 | |||
Panama – 1.2% | |||
Panama Government International Bond, | |||
3.75%, 3/16/25 | 250,000 | 238,636 | |
3.87%, 3/17/28 | 750,000 | 678,666 |
Par (a) | Value | ||
Panama (Continued) | |||
Panama Government International Bond, | |||
3.16%, 1/23/30 | $ 200,000 | $ 162,753 | |
6.70%, 1/26/36 | 850,000 | 825,833 | |
1,905,888 | |||
Paraguay – 0.3% | |||
Paraguay Government International Bond, | |||
2.74%, 1/29/33 | 200,000 | 148,858 | |
3.85%, 6/28/33 | 300,000 | 242,730 | |
391,588 | |||
Peru – 1.4% | |||
Peru Government Bond, | |||
5.94%, 2/12/29 | PEN | 370,000 | 83,396 |
6.15%, 8/12/32 | PEN | 1,150,000 | 246,212 |
5.35%, 8/12/40 | PEN | 474,000 | 84,382 |
Peruvian Government International Bond, | |||
8.20%, 8/12/26 | 800,000 | 207,229 | |
0.06%, 8/12/28 | PEN | 675,000 | 157,456 |
2.78%, 1/23/31 | 540,000 | 425,865 | |
3.00%, 1/15/34 | 890,000 | 664,246 | |
6.90%, 8/12/37 | PEN | 700,000 | 150,731 |
3.30%, 3/11/41 | 100,000 | 67,252 | |
Volcan Cia Minera S.A.A., 4.38%, 2/11/26(b) | 30,000 | 25,178 | |
2,111,947 | |||
Philippines – 0.6% | |||
Philippine Government International Bond, | |||
1.95%, 1/06/32 | 200,000 | 150,417 | |
3.56%, 9/29/32 | 400,000 | 342,111 | |
3.20%, 7/06/46 | 350,000 | 230,954 | |
5.95%, 10/13/47 | 200,000 | 195,947 | |
919,429 | |||
Poland – 0.9% | |||
Republic of Poland Government Bond, | |||
2.25%, 10/25/24 | PLN | 1,994,000 | 372,211 |
0.75%, 4/25/25 | PLN | 1,501,000 | 262,921 |
2.50%, 7/25/26 | PLN | 1,668,000 | 283,311 |
2.50%, 7/25/27 | PLN | 1,659,000 | 268,155 |
2.75%, 10/25/29 | PLN | 1,005,000 | 150,073 |
1.25%, 10/25/30 | PLN | 955,000 | 120,805 |
1,457,476 | |||
Qatar – 0.8% | |||
Qatar Energy, | |||
1.38%, 9/12/26 | 600,000 | 528,399 | |
2.25%, 7/12/31(b) | 200,000 | 160,500 |
Par (a) | Value | ||
Qatar (Continued) | |||
Qatar Energy, | |||
3.12%, 7/12/41(b) | $ 225,000 | $ 159,480 | |
Qatar Government International Bond, 3.75%, 4/16/30(b) | 400,000 | 371,500 | |
1,219,879 | |||
Romania – 0.8% | |||
Romania Government Bond, | |||
3.25%, 4/29/24 | RON | 1,325,000 | 247,094 |
4.75%, 2/24/25 | RON | 360,000 | 66,186 |
3.25%, 6/24/26 | RON | 2,255,000 | 375,404 |
5.00%, 2/12/29 | RON | 470,000 | 76,175 |
6.70%, 2/25/32 | RON | 590,000 | 101,760 |
Romanian Government International Bond, | |||
3.00%, 2/27/27(b) | 334,000 | 286,203 | |
3.00%, 2/14/31(b) | 150,000 | 110,796 | |
1,263,618 | |||
Saudi Arabia – 1.0% | |||
KSA Sukuk Ltd., 5.27%, 10/25/28(b) | 400,000 | 402,746 | |
Saudi Arabian Oil Co., | |||
3.50%, 4/16/29 | 425,000 | 378,683 | |
2.25%, 11/24/30 | 550,000 | 435,739 | |
Saudi Government International Bond, 5.50%, 10/25/32(b) | 400,000 | 405,000 | |
1,622,168 | |||
Senegal – 0.2% | |||
Senegal Government International Bond, | |||
5.38%, 6/08/37(b) | EUR | 300,000 | 182,090 |
6.75%, 3/13/48 | 200,000 | 127,945 | |
310,035 | |||
South Africa – 3.3% | |||
Anglo American Capital PLC, 5.63%, 4/01/30(b) | 200,000 | 188,749 | |
Eskom Holdings SOC Ltd., | |||
8.45%, 8/10/28 | 225,000 | 198,114 | |
6.35%, 8/10/28 | 400,000 | 360,384 | |
Republic of South Africa Government Bond, | |||
10.50%, 12/21/26 | ZAR | 3,654,517 | 208,727 |
8.00%, 1/31/30 | ZAR | 17,510,369 | 818,539 |
7.00%, 2/28/31 | ZAR | 10,525,574 | 443,925 |
8.25%, 3/31/32 | ZAR | 7,138,045 | 320,112 |
8.87%, 2/28/35 | ZAR | 16,384,022 | 727,154 |
6.25%, 3/31/36 | ZAR | 3,350,467 | 115,667 |
8.50%, 1/31/37 | ZAR | 15,024,445 | 629,788 |
Par (a) | Value | ||
South Africa (Continued) | |||
Republic of South Africa Government International Bond, | |||
4.85%, 9/30/29 | $ 400,000 | $ 339,000 | |
5.87%, 4/20/32 | 900,000 | 768,888 | |
5,119,047 | |||
Spain – 0.4% | |||
Banco Bilbao Vizcaya Argentaria S.A., (1Y US Treasury CMT + 2.70%), 6.14%, 9/14/28(h) | 200,000 | 190,231 | |
Banco Santander S.A., | |||
5.14%, 8/18/25 | 200,000 | 192,219 | |
(5Y US Treasury CMT + 3.75%), 4.75%, 11/12/26(h) | 200,000 | 140,766 | |
Iberdrola International B.V., 5.81%, 3/15/25 | 33,000 | 33,286 | |
556,502 | |||
Sri Lanka – 0.1% | |||
Sri Lanka Government International Bond, | |||
6.20%, 5/11/27 | 275,000 | 60,593 | |
6.75%, 4/18/28 | 400,000 | 88,126 | |
148,719 | |||
Switzerland – 0.5% | |||
Credit Suisse Group A.G., (SOFR + 3.34%), 6.37%, 7/15/26(b)(h) | 250,000 | 232,596 | |
UBS A.G., 5.13%, 5/15/24 | 200,000 | 193,560 | |
UBS Group A.G., | |||
(5Y US Treasury CMT + 4.86%), 5.12%, 7/29/26(g)(h) | 200,000 | 174,075 | |
(1Y US Treasury CMT + 1.10%), 2.75%, 2/11/33(b)(h) | 200,000 | 143,912 | |
744,143 | |||
Tanzania, United Republic of – 0.1% | |||
HTA Group Ltd., 7.00%, 12/18/25(b) | 255,000 | 223,125 | |
Thailand – 2.0% | |||
GC Treasury Center Co. Ltd., 5.20%, 3/30/52(b) | 200,000 | 139,226 | |
Thailand Government Bond, | |||
0.75%, 6/17/24 | THB | 11,998,000 | 310,293 |
2.12%, 12/17/26 | THB | 9,883,000 | 255,243 |
1.00%, 6/17/27 | THB | 29,822,000 | 727,458 |
2.87%, 12/17/28 | THB | 29,638,000 | 778,789 |
1.60%, 12/17/29 | THB | 5,919,000 | 141,918 |
Par (a) | Value | ||
Thailand (Continued) | |||
Thailand Government Bond, | |||
2.00%, 12/17/31 | THB | $16,201,000 | $ 387,909 |
1.59%, 12/17/35 | THB | 7,400,000 | 153,411 |
3.30%, 6/17/38 | THB | 8,000,000 | 196,154 |
3,090,401 | |||
Turkey – 0.2% | |||
Turkey Government International Bond, 4.88%, 4/16/43 | 525,000 | 306,527 | |
United Arab Emirates – 0.8% | |||
DP World Salaam, (5Y US Treasury CMT + 5.75%), 6.00%, 10/01/25(g)(h) | 400,000 | 388,578 | |
Galaxy Pipeline Assets Bidco Ltd., | |||
2.16%, 3/31/34(b) | 184,932 | 150,572 | |
2.63%, 3/31/36(b) | 1,025,000 | 778,464 | |
1,317,614 | |||
United Kingdom – 1.0% | |||
BAT Capital Corp., | |||
2.73%, 3/25/31 | 84,000 | 61,526 | |
3.98%, 9/25/50 | 104,000 | 62,152 | |
BP Capital Markets PLC, 3.28%, 9/19/27 | 63,000 | 57,556 | |
Coca-Cola Europacific Partners PLC, 1.50%, 1/15/27(b) | 200,000 | 170,158 | |
HSBC Holdings PLC, | |||
(SOFR + 1.73%), 2.01%, 9/22/28(h) | 200,000 | 157,177 | |
(SOFR + 3.35%), 11/03/28(h)(k) | 200,000 | 200,170 | |
Jaguar Land Rover Automotive PLC, 5.50%, 7/15/29(b) | 200,000 | 141,392 | |
Lloyds Banking Group PLC, (1Y US Treasury CMT + 1.00%), 2.44%, 2/05/26(h) | 200,000 | 181,772 | |
LSEGA Financing PLC, 1.38%, 4/06/26(b) | 200,000 | 173,740 | |
Unilever Capital Corp., 2.63%, 8/12/51 | 100,000 | 60,252 | |
Virgin Media Secured Finance PLC, 5.50%, 5/15/29(b) | 250,000 | 227,180 | |
Vodafone Group PLC, | |||
5.12%, 6/19/59 | 41,000 | 31,635 | |
(5Y US Treasury CMT + 3.07%), 5.12%, 6/04/81(h) | 140,000 | 96,746 | |
1,621,456 |
Par (a) | Value | ||
Zambia – 0.5% | |||
First Quantum Minerals Ltd., 6.87%, 3/01/26(b) | $800,000 | $ 750,720 | |
Zambia Government International Bond, 8.50%, 4/14/24 | 200,000 | 80,830 | |
831,550 | |||
Total Foreign Issuer Bonds (Cost $91,364,191) | 77,839,531 | ||
Mortgage-Backed Securities – 0.9% | |||
Commercial Mortgage-Backed Securities – 0.8% | |||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 4.95%, 5/10/47(b)(m) | 175,000 | 155,035 | |
Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.92%, 10/15/45(b) | 100,000 | 87,000 | |
GS Mortgage Securities Trust, | |||
Series 2011-GC5, Class D, 5.15%, 8/10/44(b)(m) | 315,000 | 133,362 | |
Series 2011-GC5, Class C, 5.15%, 8/10/44(b)(m) | 35,000 | 27,837 | |
Series 2013-GC13, Class C, 4.07%, 7/10/46(b)(m) | 320,000 | 271,234 | |
Series 2014-GC22, Class D, 4.69%, 6/10/47(b)(m) | 50,000 | 44,290 | |
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.36%, 2/15/46(b) | 100,000 | 93,023 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class B, 4.35%, 8/15/46(m) | 110,000 | 75,826 | |
MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C, 4.28%, 10/15/30(b)(m) | 100,000 | 72,125 | |
Wells Fargo Commercial Mortgage Trust, | |||
Series 2014-LC16, Class C, 4.46%, 8/15/50 | 75,000 | 46,070 | |
Series 2016-C36, Class C, 4.14%, 11/15/59(m) | 45,000 | 34,286 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
WFRBS Commercial Mortgage Trust, | |||
Series 2011-C3, Class D, 5.38%, 3/15/44(b)(m) | $172,920 | $ 71,070 | |
Series 2012-C7, Class D, 4.69%, 6/15/45(b)(m) | 320,000 | 118,400 | |
Series 2012-C10, Class C, 4.30%, 12/15/45 | 120,000 | 108,117 | |
1,337,675 | |||
Whole Loan – 0.1% | |||
PRPM LLC, Series 2022-5, Class A1, (Step to 0.28% on 11/25/22), 6.90%, 9/27/27(b)(j) | 125,000 | 123,163 | |
Total Mortgage-Backed Securities (Cost $1,940,170) | 1,460,838 | ||
U.S. Government Obligations – 1.5% | |||
U.S. Treasury Bonds – 0.1% | |||
3.37%, 8/15/42 | 156,900 | 135,351 | |
2.88%, 5/15/52 | 43,800 | 33,993 | |
169,344 | |||
U.S. Treasury Notes – 1.4% | |||
4.25%, 9/30/24 | 141,000 | 140,284 | |
4.25%, 10/15/25 | 442,000 | 439,652 | |
2.63%, 5/31/27 | 855,000 | 796,920 | |
4.12%, 9/30/27 | 128,000 | 127,300 | |
4.12%, 10/31/27 | 399,000 | 396,911 | |
3.88%, 9/30/29 | 149,000 | 146,346 | |
4.00%, 10/31/29 | 55,700 | 55,178 | |
2.75%, 8/15/32 | 159,800 | 142,996 | |
2,245,587 | |||
Total U.S. Government Obligations (Cost $2,461,394) | 2,414,931 |
Number of Shares | |||
Warrants – 0.0%(d) | |||
Engineering & Construction – 0.0%(d) | |||
Mcdermott International Ltd., Class A (n)* | 3,868 | 14 | |
Mcdermott International Ltd., Class B (n)* | 4,298 | 5 | |
Total Warrants (Cost $6,000) | 19 |
Par (a)/Number of Shares | Value | ||
Short-Term Investments – 4.1% | |||
Corporate Bonds – 0.1% | |||
Aviation Capital Group LLC, 3.88%, 5/01/23(b) | $ 48,000 | $ 47,248 | |
Delta Air Lines Pass Through Trust, 4.25%, 7/30/23 | 13,294 | 12,997 | |
Entergy Louisiana LLC, 4.05%, 9/01/23 | 8,000 | 7,930 | |
Mid-America Apartments L.P., 4.30%, 10/15/23 | 30,000 | 29,656 | |
97,831 | |||
Foreign Issuer Bonds – 0.3% | |||
Fantasia Holdings Group Co. Ltd., 11.88%, 6/01/23 | 200,000 | 9,988 | |
Greenko Investment Co., 4.87%, 8/16/23 | 200,000 | 191,180 | |
Romania Government Bond, 4.25%, 6/28/23 | RON | 1,685,000 | 330,059 |
531,227 | |||
Money Market Fund – 2.3% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 2.48%(o) | 3,556,518 | 3,556,518 |
Par (a)/Number of Shares | Value | ||
U.S. Government Obligations – 0.8% | |||
U.S. Treasury Notes, 0.13%, 3/31/23 | $590,000 | $ 579,698 | |
U.S. Treasury Notes, 0.25%, 4/15/23 | 305,000 | 299,377 | |
U.S. Treasury Notes, 0.12%, 9/15/23 | 425,000 | 408,664 | |
1,287,739 | |||
U.S. Treasury Bills – 0.6% | |||
U.S. Treasury Bill, 3.00%, 12/15/22(p) | 945,000 | 940,960 | |
Total Short-Term Investments (Cost $6,550,970) | 6,414,275 | ||
Total Investments – 99.0% (Cost $177,506,329) | 154,165,835 | ||
Other Assets less Liabilities – 1.0%(q) | 1,500,308 | ||
NET ASSETS – 100.0% | $155,666,143 |
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. | ||
(c) | Variable rate security. Rate as of October 31, 2022 is disclosed. | ||
(d) | Amount rounds to less than 0.05%. | ||
(e) | Zero coupon bond. | ||
(f) | Restricted security that has been deemed illiquid. At October 31, 2022, the value of these restricted illiquid securities amounted to $319,388 or 0.21% of net assets. Additional information on these restricted illiquid securities is as follows: |
Security | Acquisition Date | Acquisition Cost | |
2020 Cash Mandatory Exchangeable Trust, 0.00% | 5/06/21 | $305,140 | |
Diamond Sports Group LLC/Diamond Sports Finance Co., 6.62%, 8/15/27 | 9/29/20-727/21 | 46,213 | |
Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.00%, 6/30/28 | 6/16/20-1/12/21 | 75,900 |
(g) | Perpetual bond. Maturity date represents next call date. |
(h) | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate as of October 31, 2022 is disclosed. |
(i) | Issuer has defaulted on terms of debt obligation. |
(j) | Step coupon bond. Rate as of October 31, 2022 is disclosed. |
(k) | When-Issued Security. Coupon rate was not yet in effect at October 31, 2022. |
(l) | Distributions from this security are made via payments in-kind (PIK) unless otherwise noted in the description. |
(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 October 31, 2022 is disclosed. |
(n) | Investment is valued using significant unobservable inputs (Level 3). |
(o) | 7-day current yield as of October 31, 2022 is disclosed. |
(p) | Discount rate at the time of purchase. |
(q) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
* | Non-Income Producing Security |
Abbreviations: | |
1Y | 1 Year |
3M | 3 Month |
5Y | 5 Year |
BRL | Brazilian Real |
CLO | Collateralized Loan Obligation |
CLP | Chilean Peso |
CMS | Constant Maturity Swap |
CMT | Constant Maturity |
CNY | Chinese Offshore Yuan |
COP | Colombian Peso |
CP | Commercial Paper |
CVR | Contingent Value Rights |
CZK | Czech Republic Koruna |
EUR | Euro |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
JSC | Joint Stock Company |
L.P. | Limited Partnership |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
PEN | Peruvian Nuevo Sole |
PLC | Public Limited Company |
PLN | Polish Zloty |
RON | Romania New Leu |
S&P | Standards & Poor's |
SOFR | United States Secured Overnight Financing Rate |
THB | Thai Baht |
USD | United States Dollar |
ZAR | South African Rand |
Concentration by Currency (%)(a) | |
U.S. Dollar | 74.4 |
All other currencies less than 5% | 25.6 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Composition by Type (%)(a) | |
Non-Government | 62.1 |
Sovereign | 36.9 |
Others | 1.0 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Futures Contracts outstanding at October 31, 2022: Exchange Traded | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | |||||
Ultra U.S. Treasury Bond | 1 | 12/20/2022 | USD | 127,656 | $ 2,776 |
2-Year U.S. Treasury Note | 15 | 12/30/2022 | USD | 3,065,742 | (57,760) |
5-Year U.S. Treasury Note | 16 | 12/30/2022 | USD | 1,705,500 | (65,092) |
Total Long Contracts | $(120,076) | ||||
Short Contracts | |||||
10-Year U.S. Treasury Note | (10) | 12/20/2022 | USD | 1,105,938 | $ 70,453 |
U.S. Treasury Long Bond | (7) | 12/20/2022 | USD | 843,500 | 100,897 |
Ultra 10-Year U.S. Treasury Note | (16) | 12/20/2022 | USD | 1,855,750 | 106,921 |
Total Short Contracts | $ 278,271 | ||||
$ 158,195 |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2022: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
01/12/23 | Polish Zloty | 2,787,135 | U.S. Dollars | 547,404 | BNP | $ 28,190 |
11/14/22 | U.S. Dollars | 360,669 | Chinese Offshore Yuan | 2,446,595 | Barclays | 26,928 |
11/08/22 | U.S. Dollars | 565,000 | Euro | 549,857 | Bank of America | 21,295 |
11/03/22 | U.S. Dollars | 319,300 | Malaysian Ringgit | 1,422,162 | Barclays | 18,492 |
11/01/22 | U.S. Dollars | 142,779 | Colombian Pesos | 629,014,320 | JPMorgan Chase | 15,416 |
12/07/22 | U.S. Dollars | 160,000 | Chinese Offshore Yuan | 1,093,752 | Barclays | 10,589 |
12/01/22 | U.S. Dollars | 182,400 | Malaysian Ringgit | 817,152 | Morgan Stanley | 9,495 |
02/21/23 | Mexican Pesos | 7,599,200 | U.S. Dollars | 368,000 | Barclays | 7,504 |
11/01/22 | U.S. Dollars | 130,517 | Colombian Pesos | 629,014,320 | Bank of America | 3,154 |
12/08/22 | Czech Republic Koruna | 6,154,170 | U.S. Dollars | 245,152 | BNP | 2,631 |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2022: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
01/06/23 | U.S. Dollars | 50,677 | Euro | 50,000 | Citibank | $ 971 |
01/04/23 | U.S. Dollars | 176,500 | Euro | 176,908 | Morgan Stanley | 657 |
12/06/22 | Polish Zloty | 684,000 | U.S. Dollars | 141,970 | BNP | 528 |
12/07/22 | U.S. Dollars | 163,300 | Chinese Offshore Yuan | 1,193,458 | BNP | 268 |
Total Unrealized Appreciation | $ 146,118 | |||||
01/04/23 | Hungarian Forints | 74,492,884 | U.S. Dollars | 176,500 | Barclays | $ (87) |
01/04/23 | U.S. Dollars | 60,000 | Euro | 60,470 | BNP | (106) |
01/30/23 | U.S. Dollars | 164,000 | Taiwan Dollars | 5,282,440 | Morgan Stanley | (462) |
01/06/23 | U.S. Dollars | 258,542 | Euro | 262,000 | Bank of America | (1,918) |
01/04/23 | Hungarian Forints | 41,771,684 | U.S. Dollars | 100,898 | JPMorgan Chase | (1,975) |
01/04/23 | Hungarian Forints | 59,250,516 | U.S. Dollars | 142,601 | BNP | (2,284) |
01/04/23 | U.S. Dollars | 98,822 | Hungarian Forints | 42,814,796 | Goldman Sachs | (2,571) |
01/04/23 | Hungarian Forints | 73,904,705 | U.S. Dollars | 178,144 | Citibank | (3,123) |
11/01/22 | Colombian Pesos | 629,014,320 | U.S. Dollars | 130,517 | JPMorgan Chase | (3,154) |
12/06/22 | U.S. Dollars | 67,000 | Polish Zloty | 337,671 | BNP | (3,347) |
01/04/23 | U.S. Dollars | 274,282 | Hungarian Forint | 119,168,685 | BNP | (7,932) |
01/04/23 | U.S. Dollars | 175,100 | Hungarian Forints | 77,394,200 | Bank of America | (8,184) |
02/21/23 | U.S. Dollars | 365,548 | Mexican Pesos | 7,599,200 | Bank of America | (9,956) |
01/04/23 | Hungarian Forints | 84,836,950 | U.S. Dollars | 211,300 | Bank of America | (10,390) |
11/01/22 | Colombian Pesos | 629,014,320 | U.S. Dollars | 141,900 | Bank of America | (14,537) |
11/03/22 | Malaysian Ringgit | 1,422,162 | U.S. Dollars | 320,632 | Barclays | (19,823) |
11/14/22 | Chinese Offshore Yuan | 2,446,595 | U.S. Dollars | 365,000 | BNP | (31,260) |
Total Unrealized Depreciation | $(121,109) | |||||
Net Unrealized Appreciation | $ 25,009 |
Credit Default Swap Contracts outstanding - Sell Protection as of October 31, 2022: Exchange Traded | ||||||||
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
Markit CDX North America High Yield Index Series 37 (Pay Quarterly) | 4.38% | 5.00% | 12/20/2026 | USD | 475,200 | $12,637 | $ (3,710) | $16,347 |
Total | $12,637 | $(3,710) | $16,347 |
Morningstar Multisector Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 414,656 | $— | $ 414,656 |
Common Stocks | 112,848 | — | — | 112,848 |
Convertible Bonds | — | 2,256,235 | — | 2,256,235 |
Convertible Preferred Stocks | 123,143 | 310,500 | — | 433,643 |
Corporate Bonds | — | 62,818,859 | — | 62,818,859 |
Foreign Issuer Bonds | — | 77,839,531 | — | 77,839,531 |
Mortgage-Backed Securities | — | 1,460,838 | — | 1,460,838 |
U.S. Government Obligations | — | 2,414,931 | — | 2,414,931 |
Warrants | — | — | 19 | 19 |
Short-Term Investments | 3,556,518 | 2,857,757 | — | 6,414,275 |
Total Investments | $3,792,509 | $150,373,307 | $ 19 | $154,165,835 |
Morningstar Multisector Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Futures Contracts | $ 281,047 | $ — | $— | $ 281,047 |
Forward Foreign Currency Exchange Contracts | — | 146,118 | — | 146,118 |
Swap Agreements | — | 12,637 | — | 12,637 |
Total Assets - Derivative Financial Instruments | $ 281,047 | $ 158,755 | $— | $ 439,802 |
Liabilities: | ||||
Futures Contracts | $(122,852) | $ — | $— | $(122,852) |
Forward Foreign Currency Exchange Contracts | — | (121,109) | — | (121,109) |
Total Liabilities - Derivative Financial Instruments | $(122,852) | $(121,109) | $— | $(243,961) |
Net Derivative Financial Instruments | $ 158,195 | $ 37,646 | $— | $ 195,841 |
Number of Shares | Value | ||
Common Stocks – 53.6% | |||
Advertising & Marketing – 1.8% | |||
Dentsu Group, Inc. (Japan) | 1,900 | $ 59,096 | |
Omnicom Group, Inc. | 42,652 | 3,102,933 | |
WPP PLC (United Kingdom) | 13,946 | 122,727 | |
3,284,756 | |||
Aerospace & Defense – 0.1% | |||
BAE Systems PLC (United Kingdom) | 26,264 | 245,662 | |
Apparel & Textile Products – 1.5% | |||
Tapestry, Inc. | 88,707 | 2,810,238 | |
Asset Management – 0.5% | |||
Investor AB, Class B (Sweden) | 10,174 | 166,046 | |
Julius Baer Group Ltd. (Switzerland) | 2,488 | 119,371 | |
Kinnevik AB, Class B (Sweden)* | 3,130 | 38,666 | |
Schroders PLC (United Kingdom) | 6,224 | 27,944 | |
St. James's Place PLC (United Kingdom) | 16,062 | 196,142 | |
UBS Group A.G. (Switzerland)(a) | 20,800 | 329,767 | |
877,936 | |||
Automotive – 0.8% | |||
Bridgestone Corp. (Japan) | 5,600 | 202,532 | |
Denso Corp. (Japan) | 2,000 | 99,232 | |
Honda Motor Co. Ltd. (Japan) | 12,800 | 291,872 | |
Nissan Motor Co. Ltd. (Japan) | 31,100 | 99,125 | |
Stanley Electric Co. Ltd. (Japan) | 5,900 | 100,303 | |
Sumitomo Electric Industries Ltd. (Japan) | 5,700 | 59,567 | |
Toyota Motor Corp. (Japan) | 40,600 | 563,309 | |
1,415,940 | |||
Banking – 3.0% | |||
ABN AMRO Bank N.V. - CVA (Netherlands)(b) | 6,108 | 60,045 | |
Banco Bilbao Vizcaya Argentaria S.A. (Spain) | 39,420 | 203,360 | |
Banco Santander S.A. (Spain) | 111,571 | 289,357 | |
Barclays PLC (United Kingdom) | 188,383 | 320,110 | |
BNP Paribas S.A. (France) | 8,502 | 398,692 | |
CaixaBank S.A. (Spain) | 24,977 | 82,825 | |
DNB Bank ASA (Norway) | 4,323 | 76,460 |
Number of Shares | Value | ||
Banking (Continued) | |||
Erste Group Bank A.G. (Austria) | 3,344 | $ 82,413 | |
HSBC Holdings PLC (United Kingdom) | 227,126 | 1,165,623 | |
ING Groep N.V. (Netherlands) | 35,249 | 346,836 | |
Intesa Sanpaolo S.p.A. (Italy) | 77,084 | 146,963 | |
KBC Group N.V. (Belgium) | 1,152 | 57,733 | |
Lloyds Banking Group PLC (United Kingdom) | 995,766 | 478,234 | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | 30,800 | 145,495 | |
Mizuho Financial Group, Inc. (Japan) | 4,900 | 52,996 | |
NatWest Group PLC (United Kingdom) | 85,503 | 230,287 | |
Nordea Bank Abp (Finland) | 15,095 | 144,195 | |
Resona Holdings, Inc. (Japan) | 12,500 | 47,112 | |
Skandinaviska Enskilda Banken AB, Class A (Sweden) | 9,939 | 104,791 | |
Standard Chartered PLC (United Kingdom) | 41,145 | 245,831 | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | 9,000 | 252,734 | |
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 5,000 | 143,845 | |
Svenska Handelsbanken AB, Class A (Sweden) | 12,493 | 116,073 | |
Swedbank AB, Class A (Sweden) | 9,534 | 142,133 | |
UniCredit S.p.A. (Italy) | 12,574 | 155,934 | |
5,490,077 | |||
Beverages – 0.7% | |||
Anheuser-Busch InBev S.A./N.V. (Belgium) | 8,939 | 447,133 | |
Asahi Group Holdings Ltd. (Japan) | 2,100 | 58,760 | |
Diageo PLC (United Kingdom) | 13,455 | 553,707 | |
Kirin Holdings Co. Ltd. (Japan) | 10,000 | 146,999 | |
1,206,599 | |||
Biotechnology & Pharmaceuticals – 1.1% | |||
Astellas Pharma, Inc. (Japan) | 7,300 | 100,727 | |
AstraZeneca PLC (United Kingdom) | 8,013 | 940,183 | |
Chugai Pharmaceutical Co. Ltd. (Japan) | 6,100 | 141,348 |
Number of Shares | Value | ||
Biotechnology & Pharmaceuticals (Continued) | |||
Daiichi Sankyo Co. Ltd. (Japan) | 3,300 | $ 105,636 | |
GSK PLC | 26,822 | 439,374 | |
Ono Pharmaceutical Co. Ltd. (Japan) | 2,600 | 61,187 | |
Takeda Pharmaceutical Co. Ltd. (Japan) | 7,600 | 200,708 | |
1,989,163 | |||
Cable & Satellite – 0.3% | |||
Comcast Corp., Class A | 17,433 | 553,323 | |
Chemicals – 0.2% | |||
Nitto Denko Corp. (Japan) | 2,000 | 105,371 | |
Shin-Etsu Chemical Co. Ltd. (Japan) | 2,000 | 207,860 | |
Toray Industries, Inc. (Japan) | 11,800 | 57,317 | |
370,548 | |||
Commercial Support Services – 1.8% | |||
Compass Group PLC (United Kingdom) | 10,512 | 221,402 | |
H&R Block, Inc. | 33,522 | 1,379,430 | |
Recruit Holdings Co. Ltd. (Japan) | 6,400 | 196,935 | |
Rentokil Initial PLC (United Kingdom) | 18,587 | 115,985 | |
Secom Co. Ltd. (Japan) | 26,015 | 1,482,088 | |
3,395,840 | |||
Diversified Industrials – 0.1% | |||
Hitachi Ltd. (Japan) | 3,000 | 136,121 | |
E-Commerce Discretionary – 3.3% | |||
Alibaba Group Holding Ltd. (China)* | 290,300 | 2,257,055 | |
eBay, Inc. | 50,238 | 2,001,482 | |
JD.com, Inc., Class A (China) | 63,100 | 1,149,084 | |
Pinduoduo, Inc. ADR (China)* | 12,832 | 703,579 | |
6,111,200 | |||
Electric Utilities – 0.6% | |||
Chubu Electric Power Co., Inc. (Japan) | 6,500 | 52,910 | |
National Grid PLC (United Kingdom) | 92,933 | 1,012,517 | |
SSE PLC (United Kingdom) | 5,899 | 105,420 | |
1,170,847 | |||
Electrical Equipment – 0.2% | |||
Daikin Industries Ltd. (Japan) | 900 | 134,808 |
Number of Shares | Value | ||
Electrical Equipment (Continued) | |||
Mitsubishi Electric Corp. (Japan) | 20,700 | $ 182,131 | |
Toshiba Corp. (Japan) | 2,588 | 89,808 | |
406,747 | |||
Engineering & Construction – 1.5% | |||
Ferrovial S.A. (Spain) | 79,003 | 1,930,705 | |
Vinci S.A. (France) | 9,874 | 908,773 | |
2,839,478 | |||
Entertainment Content – 0.8% | |||
Activision Blizzard, Inc. | 1,359 | 98,935 | |
Electronic Arts, Inc. | 1,257 | 158,332 | |
NetEase, Inc. (China) | 51,900 | 575,844 | |
Nexon Co. Ltd. (Japan) | 3,200 | 53,549 | |
Square Enix Holdings Co. Ltd. (Japan) | 1,100 | 49,084 | |
Walt Disney (The) Co.* | 5,370 | 572,120 | |
1,507,864 | |||
Food – 0.1% | |||
Associated British Foods PLC (United Kingdom) | 6,224 | 96,468 | |
MEIJI Holdings Co. Ltd. (Japan) | 2,800 | 115,217 | |
Yamazaki Baking Co. Ltd. (Japan) | 4,586 | 46,728 | |
258,413 | |||
Gas & Water Utilities – 0.1% | |||
Osaka Gas Co. Ltd. (Japan) | 3,700 | 54,788 | |
Severn Trent PLC (United Kingdom) | 2,865 | 82,225 | |
137,013 | |||
Health Care Facilities & Services – 4.5% | |||
Alfresa Holdings Corp. (Japan) | 5,400 | 62,170 | |
CVS Health Corp. | 32,160 | 3,045,552 | |
DaVita, Inc.* | 10,547 | 770,037 | |
Fresenius Medical Care A.G. & Co. KGaA (Germany) | 89,323 | 2,470,728 | |
Pediatrix Medical Group, Inc.* | 101,036 | 1,960,098 | |
8,308,585 | |||
Home Construction – 0.1% | |||
Berkeley Group Holdings (The) PLC (United Kingdom) | 2,730 | 108,619 | |
Sekisui House Ltd. (Japan) | 2,961 | 49,161 | |
157,780 |
Number of Shares | Value | ||
Household Products – 0.7% | |||
Haleon PLC (United Kingdom)* | 30,310 | $ 92,944 | |
Kao Corp. (Japan) | 4,500 | 168,084 | |
Reckitt Benckiser Group PLC (United Kingdom) | 4,826 | 320,273 | |
Unilever PLC (United Kingdom) | 13,852 | 629,634 | |
1,210,935 | |||
Industrial Support Services – 0.1% | |||
Ferguson PLC | 948 | 103,388 | |
Institutional Financial Services – 0.4% | |||
Credit Suisse Group A.G. (Switzerland)(a)(c) | 11,761 | 48,719 | |
Daiwa Securities Group, Inc. (Japan) | 12,600 | 49,161 | |
Deutsche Boerse A.G. (Germany) | 1,246 | 202,624 | |
Japan Exchange Group, Inc. (Japan) | 3,700 | 48,625 | |
London Stock Exchange Group PLC (United Kingdom) | 4,845 | 419,975 | |
769,104 | |||
Insurance – 1.6% | |||
Allianz S.E. (Germany)(a) | 2,628 | 472,789 | |
Assicurazioni Generali S.p.A. (Italy) | 4,089 | 61,364 | |
Aviva PLC (United Kingdom) | 38,889 | 186,536 | |
AXA S.A. (France) | 13,218 | 326,417 | |
Dai-ichi Life Holdings, Inc. (Japan) | 4,600 | 73,061 | |
Hannover Rueck S.E. (Germany) | 503 | 81,850 | |
Legal & General Group PLC (United Kingdom) | 91,307 | 244,270 | |
MS&AD Insurance Group Holdings, Inc. (Japan) | 3,700 | 97,981 | |
Muenchener Rueckversicherungs-Gesellschaft A.G. (Germany)(a) | 842 | 222,268 | |
Prudential PLC (Hong Kong) | 37,689 | 350,118 | |
Sampo OYJ, Class A (Finland) | 1,457 | 66,625 | |
Sompo Holdings, Inc. (Japan) | 1,200 | 50,031 | |
Swiss Life Holding A.G. (Switzerland)(a) | 197 | 95,392 | |
Swiss Re A.G. | 1,982 | 147,233 | |
Tokio Marine Holdings, Inc. (Japan) | 5,400 | 97,768 |
Number of Shares | Value | ||
Insurance (Continued) | |||
Tryg A/S (Denmark) | 2,537 | $ 54,873 | |
Zurich Insurance Group A.G. (Switzerland) | 818 | 348,610 | |
2,977,186 | |||
Internet Media & Services – 5.3% | |||
Alphabet, Inc., Class A* | 26,219 | 2,477,958 | |
Baidu, Inc., Class A (China)* | 113,550 | 1,088,604 | |
Meituan, Class B (China)(b)* | 74,200 | 1,187,983 | |
Meta Platforms, Inc., Class A* | 7,762 | 723,108 | |
Netflix, Inc.* | 466 | 136,016 | |
Tencent Holdings Ltd. (China) | 86,300 | 2,267,687 | |
Tencent Music Entertainment Group ADR (China)* | 158,895 | 573,611 | |
Trip.com Group Ltd. (China)* | 37,100 | 833,352 | |
Trip.com Group Ltd. ADR (China)* | 15,745 | 356,309 | |
9,644,628 | |||
Leisure Facilities & Services – 1.8% | |||
Entain PLC (United Kingdom) | 7,563 | 109,411 | |
InterContinental Hotels Group PLC (United Kingdom) | 2,146 | 115,306 | |
International Game Technology PLC | 154,262 | 3,092,953 | |
3,317,670 | |||
Leisure Products – 0.1% | |||
Shimano, Inc. (Japan) | 700 | 108,320 | |
Machinery – 0.4% | |||
FANUC Corp. (Japan) | 1,300 | 170,107 | |
Keyence Corp. (Japan) | 500 | 188,533 | |
Komatsu Ltd. (Japan) | 5,300 | 103,828 | |
Nabtesco Corp. (Japan) | 2,438 | 51,784 | |
SMC Corp. (Japan) | 300 | 120,421 | |
Smiths Group PLC (United Kingdom) | 6,098 | 109,231 | |
Sumitomo Heavy Industries Ltd. (Japan) | 2,800 | 53,073 | |
796,977 | |||
Medical Equipment & Devices – 2.5% | |||
DENTSPLY SIRONA, Inc. | 28,768 | 886,630 | |
Hoya Corp. (Japan) | 1,000 | 92,961 | |
Medtronic PLC | 27,420 | 2,394,863 |
Number of Shares | Value | ||
Medical Equipment & Devices (Continued) | |||
Olympus Corp. (Japan) | 4,800 | $ 101,206 | |
Smith & Nephew PLC (United Kingdom) | 94,009 | 1,110,896 | |
4,586,556 | |||
Metals & Mining – 0.5% | |||
Anglo American PLC (South Africa) | 6,873 | 205,875 | |
Cameco Corp. (Canada) | 2,987 | 70,841 | |
Glencore PLC (Australia) | 46,414 | 266,095 | |
Rio Tinto PLC (Australia) | 7,365 | 384,907 | |
Sumitomo Metal Mining Co. Ltd. (Japan) | 2,000 | 56,062 | |
983,780 | |||
Oil & Gas Producers – 4.1% | |||
BP PLC (United Kingdom) | 240,975 | 1,333,220 | |
Canadian Natural Resources Ltd. (Canada) | 5,518 | 330,954 | |
Cenovus Energy, Inc. (Canada) | 4,628 | 93,555 | |
Chevron Corp. | 986 | 178,367 | |
China Petroleum & Chemical Corp., Class H (China) | 302,250 | 119,790 | |
Ecopetrol S.A. ADR (Colombia) | 3,505 | 34,559 | |
ENEOS Holdings, Inc. (Japan) | 17,600 | 58,056 | |
Eni S.p.A. (Italy) | 19,125 | 251,183 | |
Equinor ASA (Norway) | 5,440 | 198,199 | |
Exxon Mobil Corp. | 3,866 | 428,392 | |
Galp Energia SGPS S.A. (Portugal) | 5,533 | 56,177 | |
Gazprom PJSC (Russia)(d) | 100,532 | 0 | |
Imperial Oil Ltd. (Canada) | 1,136 | 61,797 | |
Inpex Corp. (Japan) | 15,500 | 156,432 | |
LUKOIL PJSC (Russia)(d) | 3,271 | 0 | |
Neste OYJ (Finland) | 3,687 | 161,596 | |
OMV A.G. (Austria) | 1,257 | 57,877 | |
Petroleo Brasileiro S.A. ADR (Brazil) | 22,590 | 289,604 | |
Repsol S.A. (Spain) | 8,920 | 121,352 | |
Rosneft Oil Co. PJSC (Russia)(d) | 48,304 | 0 | |
Santos Ltd. (Australia) | 12,020 | 58,678 | |
Shell PLC (Netherlands) | 83,370 | 2,309,483 | |
Suncor Energy, Inc. (Canada) | 6,625 | 227,876 | |
TotalEnergies S.E. (France) | 16,340 | 891,402 | |
Woodside Energy Group Ltd. (Australia) | 5,147 | 118,991 | |
7,537,540 |
Number of Shares | Value | ||
Publishing & Broadcasting – 0.1% | |||
Informa PLC (United Kingdom) | 17,013 | $ 108,406 | |
Real Estate Owners & Developers – 0.1% | |||
Mitsubishi Estate Co. Ltd. (Japan) | 11,700 | 147,131 | |
Mitsui Fudosan Co. Ltd. (Japan) | 2,600 | 49,786 | |
Sumitomo Realty & Development Co. Ltd. (Japan) | 2,100 | 48,161 | |
245,078 | |||
Retail - Consumer Staples – 0.5% | |||
Alibaba Health Information Technology Ltd. (China)(c)* | 1,438,000 | 608,568 | |
Seven & i Holdings Co. Ltd. (Japan) | 2,500 | 93,321 | |
Tesco PLC (United Kingdom) | 79,632 | 196,682 | |
898,571 | |||
Retail - Discretionary – 0.1% | |||
Fast Retailing Co. Ltd. (Japan) | 200 | 111,428 | |
Kingfisher PLC (United Kingdom) | 39,406 | 99,005 | |
210,433 | |||
Semiconductors – 1.2% | |||
Intel Corp. | 75,656 | 2,150,900 | |
Tokyo Electron Ltd. (Japan) | 500 | 131,548 | |
2,282,448 | |||
Software – 0.8% | |||
SS&C Technologies Holdings, Inc. | 27,754 | 1,427,111 | |
Specialty Finance – 0.0%(e) | |||
ORIX Corp. (Japan) | 5,200 | 76,376 | |
Steel – 0.1% | |||
Mitsui & Co. Ltd. (Japan) | 7,800 | 172,608 | |
Technology Hardware – 1.9% | |||
Casio Computer Co. Ltd. (Japan) | 6,300 | 54,758 | |
Cisco Systems, Inc. | 44,340 | 2,014,366 | |
FUJIFILM Holdings Corp. (Japan) | 1,900 | 86,925 | |
Kyocera Corp. (Japan) | 1,900 | 92,010 | |
Murata Manufacturing Co. Ltd. (Japan) | 4,100 | 194,092 | |
Nidec Corp. (Japan) | 1,800 | 98,971 | |
Nintendo Co. Ltd. (Japan) | 6,000 | 243,595 |
Number of Shares | Value | ||
Technology Hardware (Continued) | |||
Panasonic Holdings Corp. (Japan) | 16,500 | $ 117,523 | |
Sony Group Corp. (Japan) | 5,400 | 364,147 | |
TDK Corp. (Japan) | 4,400 | 137,449 | |
3,403,836 | |||
Technology Services – 3.5% | |||
Cognizant Technology Solutions Corp., Class A | 30,673 | 1,909,394 | |
Experian PLC (United Kingdom) | 5,206 | 165,995 | |
Fiserv, Inc.* | 19,728 | 2,026,855 | |
RELX PLC (United Kingdom) | 10,556 | 283,539 | |
Visa, Inc., Class A(c) | 9,936 | 2,058,342 | |
6,444,125 | |||
Telecommunications – 2.3% | |||
BT Group PLC (United Kingdom) | 60,053 | 89,493 | |
KDDI Corp. (Japan) | 7,600 | 224,633 | |
Nippon Telegraph & Telephone Corp. (Japan) | 4,500 | 124,113 | |
SES S.A. (United Kingdom) | 352,154 | 2,497,813 | |
Softbank Corp. (Japan) | 5,000 | 49,322 | |
SoftBank Group Corp. (Japan) | 5,600 | 240,387 | |
T-Mobile U.S., Inc.* | 1,458 | 220,974 | |
Verizon Communications, Inc. | 12,520 | 467,872 | |
Vodafone Group PLC (United Kingdom) | 199,011 | 232,326 | |
4,146,933 | |||
Tobacco & Cannabis – 0.3% | |||
British American Tobacco PLC (United Kingdom) | 12,288 | 485,296 | |
Japan Tobacco, Inc. (Japan) | 3,600 | 60,291 | |
545,587 | |||
Transportation & Logistics – 0.7% | |||
East Japan Railway Co. (Japan) | 3,800 | 202,484 | |
Norfolk Southern Corp. | 4,208 | 959,719 | |
Poste Italiane S.p.A. (Italy)(b) | 7,984 | 69,575 | |
1,231,778 | |||
Transportation Equipment – 1.1% | |||
Knorr-Bremse A.G. (Germany) | 44,165 | 1,988,342 |
Number of Shares | Value | ||
Wholesale - Consumer Staples – 0.2% | |||
ITOCHU Corp. (Japan) | 8,400 | $ 217,094 | |
Mitsubishi Corp. (Japan) | 6,000 | 162,534 | |
379,628 | |||
Wholesale - Discretionary – 0.1% | |||
Bunzl PLC (United Kingdom) | 3,467 | 112,974 | |
Total Common Stocks (Cost $114,235,939) | 98,384,448 | ||
Investment Companies – 40.8% | |||
Franklin FTSE Brazil ETF(c) | 215,843 | 4,304,859 | |
Invesco KBW Bank ETF(c) | 177,812 | 9,502,273 | |
iShares Core DAX UCITS ETF DE* | EUR | 67,039 | 7,410,869 |
iShares MSCI China ETF(c) | 45,302 | 1,611,845 | |
iShares MSCI South Korea ETF | 74,981 | 3,884,766 | |
Schwab Fundamental Emerging Markets Large Company Index ETF(c) | 435,331 | 10,095,326 | |
Vanguard Consumer Staples ETF | 31,233 | 5,870,555 | |
Vanguard Health Care ETF(c) | 15,392 | 3,740,718 | |
Vanguard Total Stock Market ETF | 146,953 | 28,513,290 | |
Total Investment Companies (Cost $79,363,892) | 74,934,501 |
Short-Term Investments – 13.0% | |||
Money Market Funds – 13.0% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 3.08%(f)(g) | 13,899,708 | 13,899,708 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 2.48%(f) | 9,921,961 | 9,921,961 | |
Total Short-Term Investments (Cost $23,821,669) | 23,821,669 | ||
Total Investments – 107.4% (Cost $217,421,500) | 197,140,618 | ||
Liabilities less Other Assets – (7.4)% | (13,600,497) | ||
NET ASSETS – 100.0% | $183,540,121 |
Percentages shown are based on Net Assets. |
All securities are United States companies, unless noted otherwise in parentheses. |
(a) | Security sold outside United States without registration under the Securities Act of 1933. | ||
(b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | ||
(c) | Security either partially or fully on loan. | ||
(d) | Investment is valued using significant unobservable inputs (Level 3) (See Note 4 regarding investments in Russian securities). | ||
(e) | Amount rounds to less than 0.05%. | ||
(f) | 7-day current yield as of October 31, 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 |
CVA | Credit Valuation Adjustment |
DAX | Deutscher Aktienindex |
ETF | Exchange-Traded Fund |
EUR | Euro |
FTSE | Financial Times Stock Exchange |
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 | 60.1 |
Euro | 13.5 |
British Pound | 7.9 |
Japanese Yen | 6.2 |
Hong Kong Dollar | 5.0 |
All other currencies less than 5% | 7.3 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Country Diversification (%)(a) | |
United States | 63.0 |
United Kingdom | 8.3 |
China | 6.4 |
Japan | 6.2 |
All other countries less than 5% | 16.1 |
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 | $ 42,748,985 | $55,635,463 | $—* | $ 98,384,448 |
Investment Companies | 74,934,501 | — | — | 74,934,501 |
Short-Term Investments | 23,821,669 | — | — | 23,821,669 |
Total Investments | $141,505,155 | $55,635,463 | $ — | $197,140,618 |
*Includes securities determined to have no value as of October 31, 2022. |
Par (a) | Value | ||
Long Positions – 106.5% | |||
Asset-Backed Securities – 1.0% | |||
Automobile – 0.5% | |||
ACC Auto Trust, Series 2021-A, Class A, 1.08%, 4/15/27(b) | $224,501 | $ 220,679 | |
Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.75%, 3/10/28 | 66,893 | 61,969 | |
Drive Auto Receivables Trust, Series 2019-1, Class D, 4.09%, 6/15/26 | 353,356 | 351,950 | |
JPMorgan Chase Bank NA - CACLN, | |||
Series 2021-2, Class B, 0.89%, 12/26/28(b) | 184,502 | 176,921 | |
Series 2021-3, Class B, 0.76%, 2/26/29(b) | 409,908 | 388,077 | |
Santander Bank NA - SBCLN, Series 2021-1A, Class B, 1.83%, 12/15/31(b) | 146,613 | 140,572 | |
Santander Drive Auto Receivables Trust, Series 2019-1, Class D, 3.65%, 4/15/25 | 193,403 | 193,228 | |
Westlake Automobile Receivables Trust, Series 2020-2A, Class B, 1.32%, 7/15/25(b) | 9,929 | 9,910 | |
1,543,306 | |||
Other – 0.5% | |||
Avant Loans Funding Trust, Series 2021-REV1, Class A, 1.21%, 7/15/30(b) | 270,000 | 253,134 | |
Conn's Receivables Funding LLC, Series 2022-A, Class A, 5.87%, 12/15/26(b) | 478,629 | 476,890 | |
Upstart Securitization Trust, | |||
Series 2021-1, Class A, 0.87%, 3/20/31(b) | 11,311 | 11,231 | |
Series 2021-2, Class A, 0.91%, 6/20/31(b) | 164,105 | 160,145 | |
Series 2021-3, Class A, 0.83%, 7/20/31(b) | 296,399 | 287,144 | |
Series 2021-4, Class A, 0.84%, 9/20/31(b) | 319,487 | 306,041 | |
Series 2021-5, Class A, 1.31%, 11/20/31(b) | 342,049 | 327,834 | |
1,822,419 | |||
Total Asset-Backed Securities (Cost $3,479,553) | 3,365,725 |
Number of Shares | Value | ||
Common Stocks – 22.5% | |||
Advertising & Marketing – 0.0%(c) | |||
Omnicom Group, Inc. | 56 | $ 4,074 | |
Aerospace & Defense – 0.6% | |||
Aerojet Rocketdyne Holdings, Inc.(d)(e)* | 34,629 | 1,677,775 | |
Huntington Ingalls Industries, Inc. | 203 | 52,185 | |
Lockheed Martin Corp. | 301 | 146,491 | |
1,876,451 | |||
Automotive – 0.2% | |||
Tenneco, Inc., Class A(e)* | 39,053 | 769,344 | |
Banking – 0.8% | |||
Credicorp Ltd. (Peru) | 81 | 11,855 | |
Cullen/Frost Bankers, Inc. | 184 | 28,529 | |
First Horizon Corp. | 105,305 | 2,581,026 | |
Prosperity Bancshares, Inc. | 1,703 | 121,884 | |
U.S. Bancorp | 2,431 | 103,196 | |
United Bankshares, Inc. | 121 | 5,124 | |
2,851,614 | |||
Biotechnology & Pharmaceuticals – 1.2% | |||
AbbVie, Inc. | 845 | 123,708 | |
Aerie Pharmaceuticals, Inc.* | 80,113 | 1,219,320 | |
Amgen, Inc. | 518 | 140,041 | |
AVEO Pharmaceuticals, Inc.* | 27,415 | 404,920 | |
Bristol-Myers Squibb Co. | 1,696 | 131,389 | |
Gilead Sciences, Inc. | 1,851 | 145,229 | |
Johnson & Johnson | 734 | 127,694 | |
Merck & Co., Inc. | 1,371 | 138,745 | |
Myovant Sciences Ltd.* | 38,478 | 1,028,902 | |
Pfizer, Inc. | 2,746 | 127,826 | |
Swedish Orphan Biovitrum AB (Sweden)* | 25,440 | 468,590 | |
4,056,364 | |||
Cable & Satellite – 0.1% | |||
Comcast Corp., Class A | 3,529 | 112,010 | |
Shaw Communications, Inc., Class B (Canada) | 12,022 | 308,768 | |
420,778 | |||
Chemicals – 0.6% | |||
Rogers Corp.(d)* | 8,626 | 2,029,957 |
Number of Shares | Value | ||
Commercial Support Services – 0.1% | |||
Biffa PLC (United Kingdom)(b) | 83,747 | $ 395,113 | |
H&R Block, Inc. | 33 | 1,358 | |
396,471 | |||
Construction Materials – 0.0%(c) | |||
MDU Resources Group, Inc. | 481 | 13,699 | |
Containers & Packaging – 0.1% | |||
Amcor PLC | 10,926 | 126,523 | |
International Paper Co. | 1,001 | 33,644 | |
Packaging Corp. of America | 496 | 59,624 | |
Sonoco Products Co. | 169 | 10,491 | |
230,282 | |||
E-Commerce Discretionary – 0.3% | |||
Poshmark, Inc., Class A* | 50,432 | 900,716 | |
Electric Utilities – 1.4% | |||
Alliant Energy Corp. | 963 | 50,240 | |
Ameren Corp. | 88 | 7,174 | |
American Electric Power Co., Inc. | 657 | 57,763 | |
Avangrid, Inc. | 1,878 | 76,397 | |
Brookfield Renewable Corp., Class A | 772 | 23,955 | |
CMS Energy Corp. | 1,090 | 62,184 | |
Consolidated Edison, Inc. | 1,404 | 123,496 | |
Dominion Energy, Inc. | 1,756 | 122,867 | |
DTE Energy Co. | 815 | 91,370 | |
Duke Energy Corp. | 1,289 | 120,109 | |
Electricite de France S.A. (France) | 82,007 | 968,500 | |
Evergy, Inc. | 646 | 39,490 | |
IDACORP, Inc. | 354 | 37,064 | |
NorthWestern Corp. | 558 | 29,479 | |
OGE Energy Corp. | 305 | 11,172 | |
Pinnacle West Capital Corp. | 384 | 25,809 | |
PNM Resources, Inc.(d) | 54,539 | 2,534,427 | |
Portland General Electric Co. | 149 | 6,696 | |
Southern (The) Co. | 1,763 | 115,441 | |
WEC Energy Group, Inc. | 1,338 | 122,200 | |
Xcel Energy, Inc. | 1,078 | 70,189 | |
4,696,022 | |||
Engineering & Construction – 0.1% | |||
HomeServe PLC (United Kingdom) | 32,174 | 437,905 |
Number of Shares | Value | ||
Entertainment Content – 0.9% | |||
Activision Blizzard, Inc.(d) | 43,187 | $3,144,014 | |
Food – 0.3% | |||
Campbell Soup Co. | 2,546 | 134,709 | |
Conagra Brands, Inc. | 2,564 | 94,099 | |
Flowers Foods, Inc. | 4,691 | 134,679 | |
General Mills, Inc. | 1,560 | 127,265 | |
Hormel Foods Corp. | 2,230 | 103,583 | |
JM Smucker (The) Co. | 858 | 129,266 | |
Kellogg Co. | 1,685 | 129,442 | |
Kraft Heinz (The) Co. | 2,180 | 83,864 | |
936,907 | |||
Forestry, Paper & Wood Products – 0.3% | |||
Resolute Forest Products, Inc.(d)* | 48,319 | 1,005,518 | |
Gas & Water Utilities – 0.6% | |||
South Jersey Industries, Inc. | 61,667 | 2,137,995 | |
Southwest Gas Holdings, Inc. | 74 | 5,407 | |
Spire, Inc. | 77 | 5,375 | |
2,148,777 | |||
Health Care Facilities & Services – 1.4% | |||
CVS Health Corp. | 1,206 | 114,208 | |
LHC Group, Inc.* | 14,286 | 2,387,191 | |
Mediclinic International PLC (Switzerland) | 120,951 | 688,057 | |
Patterson Cos., Inc. | 160 | 4,155 | |
Premier, Inc., Class A | 3,480 | 121,383 | |
Quest Diagnostics, Inc. | 139 | 19,967 | |
Signify Health, Inc., Class A* | 47,181 | 1,379,101 | |
UpHealth, Inc.* | 2,540 | 1,358 | |
4,715,420 | |||
Home & Office Products – 0.4% | |||
iRobot Corp.* | 26,731 | 1,510,301 | |
Household Products – 0.1% | |||
Colgate-Palmolive Co. | 1,704 | 125,824 | |
Kimberly-Clark Corp. | 1,057 | 131,554 | |
Procter & Gamble (The) Co. | 800 | 107,736 | |
365,114 | |||
Industrial Support Services – 0.0%(c) | |||
MSC Industrial Direct Co., Inc., Class A | 1,043 | 86,548 | |
Institutional Financial Services – 0.8% | |||
Cowen, Inc., Class A(d) | 27,675 | 1,068,809 |
Number of Shares | Value | ||
Institutional Financial Services (Continued) | |||
Intertrust N.V. (Netherlands)(b)* | 77,990 | $1,538,389 | |
Virtu Financial, Inc. Class A | 166 | 3,715 | |
2,610,913 | |||
Insurance – 0.5% | |||
Aflac, Inc. | 1,130 | 73,574 | |
Allstate (The) Corp. | 911 | 115,014 | |
Axis Capital Holdings Ltd. | 80 | 4,374 | |
Cincinnati Financial Corp. | 455 | 47,011 | |
Everest Re Group Ltd. | 88 | 28,394 | |
Hanover Insurance Group (The), Inc. | 604 | 88,480 | |
Hartford Financial Services Group (The), Inc. | 425 | 30,774 | |
Old Republic International Corp. | 1,629 | 37,809 | |
TOWER Ltd. (New Zealand) | 173,173 | 65,947 | |
Travelers (The) Cos., Inc. | 755 | 139,267 | |
Willis Towers Watson PLC(e) | 4,878 | 1,064,429 | |
1,695,073 | |||
Machinery – 0.3% | |||
Altra Industrial Motion Corp. | 17,229 | 1,036,152 | |
Medical Equipment & Devices – 0.0%(c) | |||
Medtronic PLC | 1,167 | 101,926 | |
Metals & Mining – 0.0%(c) | |||
Newmont Corp. | 2,760 | 116,803 | |
Oil & Gas Producers – 0.7% | |||
Continental Resources, Inc. | 31,711 | 2,345,663 | |
Kinder Morgan, Inc. | 1,520 | 27,542 | |
Williams (The) Cos., Inc. | 2,183 | 71,450 | |
2,444,655 | |||
Publishing & Broadcasting – 0.9% | |||
TEGNA, Inc.(d) | 141,552 | 2,955,606 | |
Real Estate Investment Trusts – 0.8% | |||
Essex Property Trust, Inc. | 95 | 21,113 | |
National Retail Properties, Inc. | 1,658 | 69,685 | |
Physicians Realty Trust | 1,931 | 29,081 | |
STORE Capital Corp.(d) | 79,996 | 2,543,873 | |
2,663,752 |
Number of Shares | Value | ||
Renewable Energy – 0.9% | |||
Archaea Energy, Inc.* | 79,549 | $ 2,053,160 | |
Siemens Gamesa Renewable Energy S.A. (Spain)* | 47,686 | 845,409 | |
2,898,569 | |||
Retail - Discretionary – 0.0%(c) | |||
Genuine Parts Co. | 769 | 136,774 | |
Semiconductors – 0.3% | |||
Magnachip Semiconductor Corp. (South Korea)* | 30,035 | 298,848 | |
Silicon Motion Technology Corp. ADR (Taiwan)(d) | 15,221 | 814,172 | |
1,113,020 | |||
Software – 4.6% | |||
1Life Healthcare, Inc.(d)* | 122,802 | 2,099,914 | |
AVEVA Group PLC (United Kingdom) | 19,692 | 704,742 | |
Black Knight, Inc.(d)* | 4,678 | 282,879 | |
BTRS Holdings, Inc., Class 1* | 171,925 | 1,622,972 | |
ChannelAdvisor Corp.* | 46,568 | 1,072,927 | |
ForgeRock, Inc., Class A(d)* | 57,058 | 1,287,228 | |
KnowBe4, Inc., Class A(d)* | 43,824 | 1,077,194 | |
Micro Focus International PLC (United Kingdom) | 77,744 | 463,559 | |
Momentive Global, Inc.(d)(e)* | 107,929 | 837,529 | |
UserTesting, Inc.* | 103,900 | 768,860 | |
VMware, Inc., Class A(d) | 19,242 | 2,165,302 | |
Zendesk, Inc.* | 42,290 | 3,243,220 | |
15,626,326 | |||
Specialty Finance – 0.0%(c) | |||
Radian Group, Inc. | 507 | 10,581 | |
Technology Hardware – 0.7% | |||
Cisco Systems, Inc. | 2,886 | 131,111 | |
Juniper Networks, Inc. | 421 | 12,883 | |
Sierra Wireless, Inc. (Canada)* | 80,503 | 2,389,329 | |
2,533,323 | |||
Technology Services – 0.5% | |||
Evo Payments, Inc., Class A* | 40,370 | 1,360,065 | |
International Business Machines Corp. | 964 | 133,312 | |
Moneylion, Inc.* | 25,132 | 28,148 | |
1,521,525 |
Number of Shares | Value | ||
Telecommunications – 0.7% | |||
Switch, Inc., Class A | 66,374 | $ 2,260,034 | |
Verizon Communications, Inc. | 3,075 | 114,913 | |
2,374,947 | |||
Tobacco & Cannabis – 0.3% | |||
Swedish Match AB (Sweden) | 100,749 | 1,036,193 | |
Transportation & Logistics – 1.0% | |||
Atlantia S.p.A. (Italy) | 57,283 | 1,277,842 | |
Atlas Air Worldwide Holdings, Inc.(d)* | 19,371 | 1,959,183 | |
Norfolk Southern Corp. | 4 | 912 | |
Union Pacific Corp. | 604 | 119,072 | |
United Parcel Service, Inc., Class B | 418 | 70,128 | |
3,427,137 | |||
Total Common Stocks (Cost $79,841,675) | 76,899,551 |
Par (a) | |||
Convertible Bonds – 26.2% | |||
Advertising & Marketing – 0.5% | |||
Magnite, Inc., 0.25%, 3/15/26 | $2,326,000 | 1,692,398 | |
Aerospace & Defense – 0.2% | |||
Kaman Corp., 3.25%, 5/01/24(d) | 605,000 | 565,796 | |
Asset Management – 0.4% | |||
RWT Holdings, Inc., 5.75%, 10/01/25(d) | 1,573,000 | 1,261,349 | |
WisdomTree Investments, Inc., 3.25%, 6/15/26 | 177,000 | 158,150 | |
1,419,499 | |||
Biotechnology & Pharmaceuticals – 1.5% | |||
Cerevel Therapeutics Holdings, Inc., 2.50%, 8/15/27(b)(d) | 217,000 | 198,772 | |
Coherus Biosciences, Inc., 1.50%, 4/15/26(d) | 1,228,000 | 923,333 | |
Halozyme Therapeutics, Inc., 0.25%, 3/01/27(d) | 1,417,000 | 1,266,444 | |
Insmed, Inc., 0.75%, 6/01/28(d) | 1,431,000 | 1,128,343 |
Par (a) | Value | ||
Biotechnology & Pharmaceuticals (Continued) | |||
Jazz Investments I Ltd., 1.50%, 8/15/24(d) | $1,368,000 | $1,308,150 | |
Sarepta Therapeutics, Inc., 1.25%, 9/15/27(b)(d) | 361,000 | 383,563 | |
5,208,605 | |||
Cable & Satellite – 0.7% | |||
Cable One, Inc., 1.13%, 3/15/28(d) | 1,843,000 | 1,347,233 | |
DISH Network Corp., 0.00%, 12/15/25(f) | 1,377,000 | 926,996 | |
2,274,229 | |||
Consumer Services – 1.0% | |||
Chegg, Inc., 0.00%, 9/01/26(d)(f) | 2,301,000 | 1,781,894 | |
Stride, Inc., 1.13%, 9/01/27 | 1,615,000 | 1,456,730 | |
3,238,624 | |||
E-Commerce Discretionary – 0.3% | |||
Etsy, Inc., 0.25%, 6/15/28(d) | 1,023,000 | 789,245 | |
Pinduoduo, Inc., 0.00%, 12/01/25(f) | 428,000 | 384,130 | |
1,173,375 | |||
Electric Utilities – 0.5% | |||
NRG Energy, Inc., 2.75%, 6/01/48(d) | 1,566,000 | 1,831,437 | |
Electrical Equipment – 0.3% | |||
Bloom Energy Corp., 2.50%, 8/15/25(d) | 401,000 | 535,335 | |
Mesa Laboratories, Inc., 1.38%, 8/15/25 | 622,000 | 520,925 | |
1,056,260 | |||
Food – 0.2% | |||
Herbalife Nutrition Ltd., 2.63%, 3/15/24(d) | 879,000 | 808,680 | |
Health Care Facilities & Services – 0.1% | |||
UpHealth, Inc., | |||
(SOFR + 9.00%), 12.05%, 12/15/25(b)(g) | 182,000 | 171,826 | |
6.25%, 6/15/26(b) | 66,000 | 20,213 | |
192,039 | |||
Household Products – 0.4% | |||
Beauty Health (The) Co., 1.25%, 10/01/26(b)(d) | 1,894,000 | 1,494,366 | |
Internet Media & Services – 2.0% | |||
Groupon, Inc., 1.13%, 3/15/26(d) | 1,035,000 | 622,941 |
Par (a) | Value | ||
Internet Media & Services (Continued) | |||
Liberty TripAdvisor Holdings, Inc., 0.50%, 6/30/51(b)(d) | $2,348,000 | $1,656,514 | |
Snap, Inc., 0.00%, 5/01/27(d)(f) | 1,291,000 | 888,853 | |
Upwork, Inc., 0.25%, 8/15/26 | 2,011,000 | 1,498,516 | |
Ziff Davis, Inc., 1.75%, 11/01/26(b)(d) | 1,168,000 | 1,131,208 | |
Zillow Group, Inc., 2.75%, 5/15/25(d) | 1,204,000 | 1,128,148 | |
6,926,180 | |||
Leisure Facilities & Services – 1.0% | |||
Cheesecake Factory (The), Inc., 0.38%, 6/15/26(d) | 1,333,000 | 1,093,060 | |
Marcus (The) Corp., 5.00%, 9/15/25(b)(d) | 375,000 | 566,719 | |
NCL Corp. Ltd., 2.50%, 2/15/27(b)(d) | 1,950,000 | 1,511,250 | |
Royal Caribbean Cruises Ltd., 6.00%, 8/15/25(b) | 275,000 | 357,912 | |
3,528,941 | |||
Leisure Products – 0.6% | |||
Topgolf Callaway Brands Corp., 2.75%, 5/01/26 | 503,000 | 631,579 | |
Winnebago Industries, Inc., 1.50%, 4/01/25(d) | 1,176,000 | 1,311,975 | |
1,943,554 | |||
Medical Equipment & Devices – 0.9% | |||
CONMED Corp., 2.25%, 6/15/27(b)(d) | 572,000 | 499,642 | |
Exact Sciences Corp., 0.38%, 3/15/27(d) | 1,999,000 | 1,410,544 | |
Haemonetics Corp., 0.00%, 3/01/26(f) | 1,609,000 | 1,327,425 | |
3,237,611 | |||
Oil & Gas Producers – 0.7% | |||
Permian Resources Operating LLC, 3.25%, 4/01/28(d) | 871,000 | 1,522,508 | |
Pioneer Natural Resources Co., 0.25%, 5/15/25(d) | 350,000 | 897,925 | |
2,420,433 | |||
Oil, Gas Services & Equipment – 0.2% | |||
Helix Energy Solutions Group, Inc., 6.75%, 2/15/26(d) | 488,000 | 653,334 |
Par (a) | Value | ||
Real Estate Investment Trusts – 0.7% | |||
Pebblebrook Hotel Trust, 1.75%, 12/15/26(d) | $1,426,000 | $1,256,306 | |
Summit Hotel Properties, Inc., 1.50%, 2/15/26(d) | 1,234,000 | 1,119,855 | |
2,376,161 | |||
Real Estate Services – 0.3% | |||
Realogy Group LLC/Realogy Co-Issuer Corp., 0.25%, 6/15/26 | 1,731,000 | 1,156,308 | |
Renewable Energy – 0.7% | |||
Array Technologies, Inc., 1.00%, 12/01/28(b)(d) | 1,352,000 | 1,227,616 | |
Sunnova Energy International, Inc., | |||
0.25%, 12/01/26 | 1,027,000 | 791,817 | |
2.63%, 2/15/28(b) | 434,000 | 351,540 | |
2,370,973 | |||
Retail - Discretionary – 0.2% | |||
Patrick Industries, Inc., 1.75%, 12/01/28(b)(d) | 841,000 | 610,987 | |
Semiconductors – 0.6% | |||
Impinj, Inc., 1.13%, 5/15/27(b)(d) | 469,000 | 579,497 | |
MACOM Technology Solutions Holdings, Inc., 0.25%, 3/15/26(d) | 831,000 | 792,566 | |
Semtech Corp., 1.63%, 11/01/27(b)(d) | 692,000 | 673,316 | |
2,045,379 | |||
Software – 4.9% | |||
8x8, Inc., 0.50%, 2/01/24(d) | 1,190,000 | 1,048,597 | |
Bandwidth, Inc., 0.50%, 4/01/28 | 782,000 | 444,802 | |
Bentley Systems, Inc., 0.38%, 7/01/27(d) | 1,321,000 | 1,027,738 | |
BigCommerce Holdings, Inc., 0.25%, 10/01/26 | 1,619,000 | 1,185,917 | |
Blackline, Inc., 0.00%, 3/15/26(d)(f) | 1,306,000 | 1,055,248 | |
Ceridian HCM Holding, Inc., 0.25%, 3/15/26(d) | 1,437,000 | 1,220,013 | |
Envestnet, Inc., 0.75%, 8/15/25 | 1,364,000 | 1,159,400 | |
Everbridge, Inc., 0.13%, 12/15/24(d) | 595,000 | 519,911 | |
Five9, Inc., 0.50%, 6/01/25(d) | 438,000 | 388,287 |
Par (a) | Value | ||
Software (Continued) | |||
i3 Verticals LLC, 1.00%, 2/15/25 | $ 673,000 | $ 583,828 | |
Kaleyra, Inc., 6.13%, 6/01/26(b) | 148,000 | 115,583 | |
LivePerson, Inc., 0.00%, 12/15/26(d)(f) | 1,661,000 | 1,157,551 | |
Mitek Systems, Inc., 0.75%, 2/01/26(d) | 825,000 | 703,312 | |
NextGen Healthcare, Inc., 3.75%, 11/15/27(b) | 449,000 | 471,626 | |
Progress Software Corp., 1.00%, 4/15/26 | 1,464,000 | 1,506,456 | |
RingCentral, Inc., 0.00%, 3/01/25(d)(f) | 1,498,000 | 1,246,149 | |
Splunk, Inc., 1.13%, 6/15/27 | 1,098,000 | 933,300 | |
Verint Systems, Inc., 0.25%, 4/15/26 | 1,764,000 | 1,505,574 | |
Workiva, Inc., 1.13%, 8/15/26(d) | 536,000 | 627,120 | |
16,900,412 | |||
Specialty Finance – 4.1% | |||
Arbor Realty Trust, Inc., 7.50%, 8/01/25(b) | 1,719,000 | 1,647,662 | |
LendingTree, Inc., 0.50%, 7/15/25(d) | 2,036,000 | 1,451,872 | |
MFA Financial, Inc., 6.25%, 6/15/24(d) | 3,082,000 | 2,731,422 | |
PennyMac Corp., | |||
5.50%, 11/01/24(d) | 2,600,000 | 2,341,625 | |
5.50%, 3/15/26 | 923,000 | 750,399 | |
Redwood Trust, Inc., 5.63%, 7/15/24 | 1,250,000 | 1,068,750 | |
SoFi Technologies, Inc., 0.00%, 10/15/26(b)(d)(f) | 1,950,000 | 1,396,200 | |
Two Harbors Investment Corp., 6.25%, 1/15/26(d) | 1,693,000 | 1,407,132 | |
Upstart Holdings, Inc., 0.25%, 8/15/26 | 2,060,000 | 1,126,563 | |
13,921,625 | |||
Technology Hardware – 0.9% | |||
Infinera Corp., 2.13%, 9/01/24(d) | 1,192,000 | 1,119,288 | |
Lumentum Holdings, Inc., 0.50%, 12/15/26(d) | 1,170,000 | 1,143,675 | |
Western Digital Corp., 1.50%, 2/01/24 | 765,000 | 727,898 | |
2,990,861 |
Par (a) | Value | ||
Technology Services – 0.6% | |||
Perficient, Inc., 0.13%, 11/15/26(b)(d) | $1,891,000 | $ 1,414,468 | |
Sabre GLBL, Inc., 4.00%, 4/15/25(d) | 578,000 | 581,757 | |
1,996,225 | |||
Transportation & Logistics – 1.2% | |||
Air Transport Services Group, Inc., 1.13%, 10/15/24(d) | 1,602,000 | 1,744,258 | |
CryoPort, Inc., 0.75%, 12/01/26(b)(d) | 1,791,000 | 1,323,191 | |
JetBlue Airways Corp., 0.50%, 4/01/26(d) | 837,000 | 619,798 | |
Spirit Airlines, Inc., 1.00%, 5/15/26(d) | 535,000 | 441,642 | |
4,128,889 | |||
Transportation Equipment – 0.5% | |||
Greenbrier (The) Cos., Inc., 2.88%, 4/15/28 | 1,645,000 | 1,472,275 | |
Lightning eMotors, Inc., 7.50%, 5/15/24(b) | 92,000 | 57,960 | |
1,530,235 | |||
Total Convertible Bonds (Cost $97,976,356) | 89,693,416 |
Number of Shares | |||
Convertible Preferred Stocks – 1.8% | |||
Asset Management – 0.1% | |||
AMG Capital Trust II, 5.15%(d) | 10,807 | 513,333 | |
Banking – 0.2% | |||
New York Community Capital Trust V, 6.00% | 15,668 | 668,742 | |
Chemicals – 0.2% | |||
Lyondellbasell Advanced Polymers, Inc., 6.00% | 669 | 561,960 | |
Electric Utilities – 0.1% | |||
Algonquin Power & Utilities Corp., 7.75% (Canada) | 11,531 | 434,257 | |
Engineering & Construction – 0.4% | |||
Fluor Corp., 6.50% | 964 | 1,410,498 | |
Industrial Intermediate Products – 0.1% | |||
RBC Bearings, Inc., 5.00% | 3,169 | 387,632 | |
Institutional Financial Services – 0.2% | |||
Cowen, Inc., 5.63%(d) | 548 | 821,940 |
Number of Shares | Value | ||
Specialty Finance – 0.3% | |||
Ready Capital Corp., 7.00% | 35,062 | $ 869,888 | |
Technology Hardware – 0.2% | |||
NCR Corp., 5.50%(h) | 556 | 575,738 | |
Total Convertible Preferred Stocks (Cost $5,774,182) | 6,243,988 |
Par (a) | |||
Corporate Bonds – 13.6% | |||
Advertising & Marketing – 0.0%(c) | |||
Interpublic (The) Group of Cos., Inc, 2.40%, 3/01/31 | $ 5,000 | 3,763 | |
Aerospace & Defense – 0.2% | |||
Boeing (The) Co., | |||
1.43%, 2/04/24 | 20,000 | 18,982 | |
2.20%, 2/04/26 | 60,000 | 53,022 | |
General Dynamics Corp., | |||
3.50%, 4/01/27 | 130,000 | 122,012 | |
3.75%, 5/15/28 | 70,000 | 65,306 | |
Howmet Aerospace, Inc., | |||
5.90%, 2/01/27 | 125,000 | 122,753 | |
5.95%, 2/01/37 | 25,000 | 22,901 | |
Lockheed Martin Corp., | |||
5.10%, 11/15/27 | 40,000 | 40,078 | |
3.90%, 6/15/32 | 105,000 | 95,976 | |
5.25%, 1/15/33 | 170,000 | 170,513 | |
TransDigm, Inc., 6.25%, 3/15/26(b) | 100,000 | 98,641 | |
810,184 | |||
Asset Management – 0.3% | |||
Ameriprise Financial, Inc., 3.00%, 4/02/25 | 100,000 | 94,909 | |
Ares Capital Corp., | |||
4.25%, 3/01/25 | 100,000 | 93,742 | |
3.88%, 1/15/26 | 172,000 | 154,205 | |
2.15%, 7/15/26 | 88,000 | 72,854 | |
2.88%, 6/15/27 | 60,000 | 49,313 | |
2.88%, 6/15/28 | 40,000 | 31,237 | |
Barings BDC, Inc., 3.30%, 11/23/26(b) | 35,000 | 28,912 | |
Blackstone Private Credit Fund, 2.70%, 1/15/25 | 60,000 | 54,813 | |
Charles Schwab (The) Corp., | |||
0.75%, 3/18/24 | 30,000 | 28,295 | |
1.15%, 5/13/26 | 50,000 | 43,299 |
Par (a) | Value | ||
Asset Management (Continued) | |||
Compass Group Diversified Holdings LLC, 5.25%, 4/15/29(b) | $ 40,000 | $ 34,400 | |
FS KKR Capital Corp., | |||
1.65%, 10/12/24 | 140,000 | 126,845 | |
2.63%, 1/15/27 | 150,000 | 120,841 | |
3.25%, 7/15/27 | 10,000 | 8,194 | |
Golub Capital BDC, Inc., 2.50%, 8/24/26 | 20,000 | 16,646 | |
Icahn Enterprises L.P./Icahn Enterprises Finance Corp., 4.38%, 2/01/29 | 60,000 | 50,092 | |
Prospect Capital Corp., 3.36%, 11/15/26 | 60,000 | 48,588 | |
1,057,185 | |||
Automotive – 0.3% | |||
American Honda Finance Corp., | |||
2.15%, 9/10/24 | 40,000 | 37,940 | |
1.20%, 7/08/25 | 75,000 | 67,615 | |
Ford Motor Co., | |||
9.63%, 4/22/30 | 50,000 | 55,815 | |
4.75%, 1/15/43 | 25,000 | 17,412 | |
5.29%, 12/08/46 | 25,000 | 18,508 | |
Ford Motor Credit Co. LLC, 3.38%, 11/13/25 | 200,000 | 181,442 | |
General Motors Financial Co., Inc., | |||
4.35%, 4/09/25 | 80,000 | 76,695 | |
2.35%, 2/26/27 | 200,000 | 169,278 | |
Lear Corp., 3.80%, 9/15/27 | 60,000 | 54,241 | |
Toyota Motor Credit Corp., | |||
3.95%, 6/30/25 | 280,000 | 272,800 | |
3.65%, 8/18/25 | 150,000 | 144,386 | |
1.13%, 6/18/26 | 30,000 | 26,069 | |
1,122,201 | |||
Banking – 1.5% | |||
Bank of America Corp., | |||
(SOFR + 0.74%), 0.81%, 10/24/24(i) | 135,000 | 128,085 | |
4.00%, 1/22/25 | 100,000 | 96,379 | |
(SOFR + 0.69%), 0.98%, 4/22/25(i) | 240,000 | 222,741 | |
(SOFR + 0.91%), 0.98%, 9/25/25(i) | 40,000 | 36,357 | |
(3M USD LIBOR + 0.81%), 3.37%, 1/23/26(i) | 50,000 | 47,126 | |
(SOFR + 1.33%), 3.38%, 4/02/26(i) | 695,000 | 652,910 | |
(SOFR + 1.15%), 1.32%, 6/19/26(i) | 210,000 | 185,409 |
Par (a) | Value | ||
Banking (Continued) | |||
Bank of America Corp., | |||
(SOFR + 1.75%), 4.83%, 7/22/26(i) | $105,000 | $102,254 | |
(SOFR + 2.04%), 4.95%, 7/22/28(i) | 110,000 | 104,921 | |
(3M USD LIBOR + 0.99%), 2.50%, 2/13/31(i) | 80,000 | 62,854 | |
(SOFR + 1.22%), 2.65%, 3/11/32(i) | 50,000 | 38,585 | |
(SOFR + 1.21%), 2.57%, 10/20/32(i) | 30,000 | 22,633 | |
Citigroup, Inc., | |||
4.00%, 8/05/24 | 150,000 | 146,378 | |
(SOFR + 0.69%), 0.78%, 10/30/24(i) | 450,000 | 425,457 | |
(SOFR + 0.67%), 0.98%, 5/01/25(i) | 85,000 | 78,468 | |
(SOFR + 1.37%), 4.14%, 5/24/25(i) | 110,000 | 106,939 | |
(SOFR + 0.77%), 1.46%, 6/09/27(i) | 375,000 | 317,663 | |
4.45%, 9/29/27 | 100,000 | 92,817 | |
JPMorgan Chase & Co., | |||
(SOFR + 0.98%), 3.85%, 6/14/25(i) | 244,000 | 236,422 | |
(SOFR + 0.61%), 1.56%, 12/10/25(i) | 130,000 | 118,555 | |
(SOFR + 0.92%), 2.60%, 2/24/26(i) | 327,000 | 302,945 | |
(3M CME Term SOFR + 1.59%), 2.01%, 3/13/26(i) | 300,000 | 273,548 | |
(SOFR + 0.80%), 1.05%, 11/19/26(i) | 180,000 | 155,053 | |
(3M CME Term SOFR + 0.70%), 1.04%, 2/04/27(i) | 205,000 | 174,330 | |
(SOFR + 0.77%), 1.47%, 9/22/27(i) | 95,000 | 79,811 | |
(SOFR + 1.99%), 4.85%, 7/25/28(i) | 245,000 | 232,914 | |
Santander Holdings USA, Inc., (SOFR Index + 1.38%), 4.26%, 6/09/25(i) | 70,000 | 67,080 | |
Truist Financial Corp., | |||
4.00%, 5/01/25 | 50,000 | 48,442 | |
(SOFR + 1.46%), 4.26%, 7/28/26(i) | 90,000 | 86,777 | |
U.S. Bancorp, (SOFR + 1.66%), 4.55%, 7/22/28(i) | 30,000 | 28,519 | |
Wells Fargo & Co., | |||
(SOFR + 0.51%), 0.81%, 5/19/25(i) | 33,000 | 30,540 | |
(SOFR + 1.09%), 2.41%, 10/30/25(i) | 12,000 | 11,177 |
Par (a) | Value | ||
Banking (Continued) | |||
Wells Fargo & Co., | |||
(SOFR + 1.32%), 3.91%, 4/25/26(i) | $165,000 | $ 157,208 | |
(SOFR + 1.51%), 3.53%, 3/24/28(i) | 160,000 | 144,073 | |
(SOFR + 1.98%), 4.81%, 7/25/28(i) | 240,000 | 227,297 | |
5,242,667 | |||
Beverages – 0.3% | |||
Coca-Cola (The) Co., 3.38%, 3/25/27 | 230,000 | 218,400 | |
Constellation Brands, Inc., | |||
3.60%, 5/09/24 | 149,000 | 145,784 | |
4.35%, 5/09/27 | 75,000 | 71,600 | |
Keurig Dr Pepper, Inc., | |||
3.95%, 4/15/29 | 115,000 | 104,330 | |
3.20%, 5/01/30 | 70,000 | 59,281 | |
4.05%, 4/15/32 | 55,000 | 48,158 | |
PepsiCo, Inc., 3.60%, 2/18/28 | 250,000 | 235,271 | |
882,824 | |||
Biotechnology & Pharmaceuticals – 0.4% | |||
AbbVie, Inc., | |||
3.85%, 6/15/24 | 100,000 | 97,939 | |
2.60%, 11/21/24 | 370,000 | 351,581 | |
3.80%, 3/15/25 | 70,000 | 67,524 | |
3.60%, 5/14/25 | 170,000 | 163,129 | |
Amgen, Inc., 4.05%, 8/18/29 | 15,000 | 13,846 | |
Bristol-Myers Squibb Co., 1.45%, 11/13/30 | 50,000 | 38,287 | |
Horizon Therapeutics USA, Inc., 5.50%, 8/01/27(b) | 200,000 | 192,500 | |
Regeneron Pharmaceuticals, Inc., 1.75%, 9/15/30 | 170,000 | 128,074 | |
Viatris, Inc., 1.65%, 6/22/25 | 30,000 | 26,781 | |
Zoetis, Inc., | |||
3.00%, 9/12/27 | 140,000 | 125,428 | |
2.00%, 5/15/30 | 100,000 | 78,756 | |
1,283,845 | |||
Cable & Satellite – 0.1% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital, 2.25%, 1/15/29 | 15,000 | 11,837 |
Par (a) | Value | ||
Cable & Satellite (Continued) | |||
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 8/15/27(b) | $ 15,000 | $ 13,509 | |
DISH DBS Corp., | |||
5.88%, 11/15/24 | 100,000 | 92,180 | |
7.75%, 7/01/26 | 50,000 | 42,190 | |
7.38%, 7/01/28 | 20,000 | 15,142 | |
GCI LLC, 4.75%, 10/15/28(b) | 20,000 | 16,838 | |
Sirius XM Radio, Inc., | |||
5.50%, 7/01/29(b) | 49,000 | 45,193 | |
3.88%, 9/01/31(b) | 115,000 | 92,000 | |
328,889 | |||
Chemicals – 0.3% | |||
Air Products and Chemicals, Inc., 1.85%, 5/15/27 | 110,000 | 95,931 | |
Albemarle Corp., 4.65%, 6/01/27 | 300,000 | 285,114 | |
Ashland LLC, 3.38%, 9/01/31(b) | 70,000 | 54,767 | |
Celanese U.S. Holdings LLC, | |||
6.05%, 3/15/25 | 90,000 | 87,520 | |
1.40%, 8/05/26 | 80,000 | 64,498 | |
Chemours (The) Co., 5.38%, 5/15/27 | 50,000 | 44,771 | |
E.I. du Pont de Nemours and Co., 2.30%, 7/15/30 | 60,000 | 48,399 | |
Ecolab, Inc., 0.90%, 12/15/23 | 35,000 | 33,463 | |
FMC Corp., 4.10%, 2/01/24 | 30,000 | 29,477 | |
PPG Industries, Inc., 1.20%, 3/15/26 | 165,000 | 142,924 | |
Sherwin-Williams (The) Co., | |||
3.13%, 6/01/24 | 45,000 | 43,601 | |
4.05%, 8/08/24 | 55,000 | 53,960 | |
984,425 | |||
Commercial Support Services – 0.2% | |||
AMN Healthcare, Inc., 4.63%, 10/01/27(b) | 15,000 | 14,034 | |
ASGN, Inc., 4.63%, 5/15/28(b) | 100,000 | 88,923 | |
Block Financial LLC, 2.50%, 7/15/28 | 39,000 | 32,009 | |
Cintas Corp. No. 2, | |||
3.45%, 5/01/25 | 135,000 | 130,175 | |
3.70%, 4/01/27 | 171,000 | 161,213 |
Par (a) | Value | ||
Commercial Support Services (Continued) | |||
Prime Security Services Borrower LLC/Prime Finance, Inc., 5.75%, 4/15/26(b) | $ 50,000 | $ 48,668 | |
Republic Services, Inc., | |||
0.88%, 11/15/25 | 40,000 | 35,022 | |
3.95%, 5/15/28 | 60,000 | 55,764 | |
Waste Connections, Inc., | |||
2.60%, 2/01/30 | 5,000 | 4,147 | |
3.20%, 6/01/32 | 55,000 | 45,843 | |
615,798 | |||
Construction Materials – 0.0%(c) | |||
Carlisle Cos., Inc., 2.75%, 3/01/30 | 96,000 | 77,321 | |
Consumer Services – 0.0%(c) | |||
Service Corp. International, | |||
3.38%, 8/15/30 | 15,000 | 12,108 | |
4.00%, 5/15/31 | 25,000 | 20,749 | |
32,857 | |||
Containers & Packaging – 0.1% | |||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.25%, 4/30/25(b) | 200,000 | 188,590 | |
Berry Global, Inc., 4.50%, 2/15/26(b) | 45,000 | 41,850 | |
Sealed Air Corp., 6.88%, 7/15/33(b) | 60,000 | 57,467 | |
287,907 | |||
E-Commerce Discretionary – 0.0%(c) | |||
eBay, Inc., 1.90%, 3/11/25 | 50,000 | 46,244 | |
Electric Utilities – 0.6% | |||
AEP Texas, Inc., 3.95%, 6/01/28 | 50,000 | 45,290 | |
Alabama Power Co., 3.05%, 3/15/32 | 35,000 | 29,379 | |
Appalachian Power Co., 4.50%, 8/01/32 | 20,000 | 17,865 | |
Arizona Public Service Co., 2.20%, 12/15/31 | 50,000 | 36,869 | |
Berkshire Hathaway Energy Co., | |||
4.05%, 4/15/25 | 100,000 | 97,916 | |
1.65%, 5/15/31 | 25,000 | 18,700 | |
Black Hills Corp., | |||
1.04%, 8/23/24 | 10,000 | 9,231 | |
3.15%, 1/15/27 | 20,000 | 18,048 | |
Calpine Corp., 4.63%, 2/01/29(b) | 25,000 | 21,006 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
CenterPoint Energy Houston Electric LLC, 4.45%, 10/01/32 | $ 30,000 | $ 28,118 | |
Constellation Energy Generation LLC, 3.25%, 6/01/25 | 50,000 | 47,408 | |
Dominion Energy, Inc., 3.38%, 4/01/30 | 50,000 | 42,916 | |
DPL, Inc., 4.35%, 4/15/29 | 100,000 | 85,500 | |
DTE Energy Co., 1.05%, 6/01/25 | 55,000 | 49,105 | |
Duke Energy Corp., | |||
3.75%, 4/15/24 | 30,000 | 29,434 | |
2.65%, 9/01/26 | 100,000 | 90,424 | |
3.40%, 6/15/29 | 50,000 | 43,625 | |
Duke Energy Progress LLC, 3.40%, 4/01/32 | 20,000 | 17,124 | |
Entergy Louisiana LLC, 1.60%, 12/15/30 | 90,000 | 66,927 | |
Eversource Energy, | |||
4.20%, 6/27/24 | 85,000 | 83,633 | |
2.90%, 10/01/24 | 50,000 | 47,741 | |
Florida Power & Light Co., 2.45%, 2/03/32 | 30,000 | 24,147 | |
Georgia Power Co., 4.70%, 5/15/32 | 20,000 | 18,782 | |
ITC Holdings Corp., 3.35%, 11/15/27 | 90,000 | 81,132 | |
National Rural Utilities Cooperative Finance Corp., | |||
1.00%, 6/15/26 | 85,000 | 73,590 | |
2.40%, 3/15/30 | 100,000 | 81,067 | |
NextEra Energy Capital Holdings, Inc., | |||
2.94%, 3/21/24 | 80,000 | 77,454 | |
4.45%, 6/20/25 | 190,000 | 186,108 | |
Pacific Gas and Electric Co., 2.50%, 2/01/31 | 80,000 | 59,777 | |
PG&E Corp., 5.25%, 7/01/30 | 100,000 | 88,549 | |
PPL Capital Funding, Inc., 3.10%, 5/15/26 | 20,000 | 18,251 | |
Public Service Co. of Colorado, 4.10%, 6/01/32 | 25,000 | 22,797 | |
Public Service Enterprise Group, Inc., 1.60%, 8/15/30 | 10,000 | 7,418 | |
Southern California Edison Co., 2.95%, 2/01/51 | 6,000 | 3,533 | |
Terraform Global Operating L.P., 6.13%, 3/01/26(b) | 125,000 | 115,051 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
Union Electric Co., 2.95%, 3/15/30 | $100,000 | $ 85,280 | |
Virginia Electric and Power Co., 2.30%, 11/15/31 | 95,000 | 74,499 | |
Vistra Operations Co. LLC, 5.00%, 7/31/27(b) | 50,000 | 46,125 | |
Wisconsin Electric Power Co., 1.70%, 6/15/28 | 10,000 | 8,310 | |
Wisconsin Power and Light Co., 1.95%, 9/16/31 | 5,000 | 3,808 | |
Xcel Energy, Inc., 4.60%, 6/01/32 | 10,000 | 9,210 | |
2,011,147 | |||
Electrical Equipment – 0.1% | |||
Amphenol Corp., 2.05%, 3/01/25 | 30,000 | 27,961 | |
Atkore, Inc., 4.25%, 6/01/31(b) | 35,000 | 28,350 | |
BWX Technologies, Inc., 4.13%, 6/30/28(b) | 115,000 | 100,625 | |
156,936 | |||
Engineering & Construction – 0.0%(c) | |||
Quanta Services, Inc., | |||
0.95%, 10/01/24 | 85,000 | 77,470 | |
2.35%, 1/15/32 | 50,000 | 36,090 | |
113,560 | |||
Entertainment Content – 0.0%(c) | |||
Take-Two Interactive Software, Inc., 3.30%, 3/28/24 | 70,000 | 67,957 | |
Food – 0.2% | |||
Campbell Soup Co., 3.95%, 3/15/25 | 190,000 | 184,221 | |
Darling Ingredients, Inc., 5.25%, 4/15/27(b) | 25,000 | 24,000 | |
General Mills, Inc., 4.00%, 4/17/25 | 30,000 | 29,163 | |
Hershey (The) Co., 0.90%, 6/01/25 | 44,000 | 39,727 | |
Kellogg Co., 3.25%, 4/01/26 | 50,000 | 46,832 | |
Kraft Heinz Foods Co., 3.88%, 5/15/27 | 160,000 | 149,912 | |
Mondelez International, Inc., 2.63%, 3/17/27 | 40,000 | 35,593 | |
509,448 |
Par (a) | Value | ||
Forestry, Paper & Wood Products – 0.1% | |||
Boise Cascade Co., 4.88%, 7/01/30(b) | $260,000 | $217,498 | |
Louisiana-Pacific Corp., 3.63%, 3/15/29(b) | 300,000 | 243,958 | |
461,456 | |||
Gas & Water Utilities – 0.1% | |||
American Water Capital Corp., 4.45%, 6/01/32 | 30,000 | 27,651 | |
AmeriGas Partners L.P./AmeriGas Finance Corp., 5.75%, 5/20/27 | 25,000 | 23,055 | |
National Fuel Gas Co., | |||
5.20%, 7/15/25 | 185,000 | 181,887 | |
2.95%, 3/01/31 | 60,000 | 44,990 | |
NiSource, Inc., 0.95%, 8/15/25 | 100,000 | 88,551 | |
ONE Gas, Inc., 4.25%, 9/01/32 | 25,000 | 22,854 | |
Southwest Gas Corp., 4.05%, 3/15/32 | 45,000 | 37,594 | |
426,582 | |||
Health Care Facilities & Services – 0.6% | |||
Acadia Healthcare Co., Inc., | |||
5.50%, 7/01/28(b) | 75,000 | 69,585 | |
5.00%, 4/15/29(b) | 75,000 | 67,684 | |
Aetna, Inc., 3.50%, 11/15/24 | 40,000 | 38,633 | |
AmerisourceBergen Corp., 3.25%, 3/01/25 | 75,000 | 71,764 | |
Cigna Corp., 1.25%, 3/15/26 | 100,000 | 87,285 | |
CVS Health Corp., | |||
6.25%, 6/01/27 | 80,000 | 82,633 | |
1.30%, 8/21/27 | 65,000 | 53,835 | |
HCA, Inc., 5.25%, 4/15/25 | 115,000 | 113,021 | |
Humana, Inc., | |||
3.85%, 10/01/24 | 10,000 | 9,747 | |
4.50%, 4/01/25 | 125,000 | 122,346 | |
Laboratory Corp. of America Holdings, 1.55%, 6/01/26 | 40,000 | 34,726 | |
McKesson Corp., 0.90%, 12/03/25 | 75,000 | 65,489 | |
Molina Healthcare, Inc., | |||
4.38%, 6/15/28(b) | 200,000 | 179,372 | |
3.88%, 11/15/30(b) | 50,000 | 42,490 | |
Tenet Healthcare Corp., 6.13%, 10/01/28(b) | 65,000 | 56,258 |
Par (a) | Value | ||
Health Care Facilities & Services (Continued) | |||
UnitedHealth Group, Inc., | |||
3.70%, 5/15/27 | $125,000 | $ 118,132 | |
5.25%, 2/15/28 | 170,000 | 170,456 | |
5.30%, 2/15/30 | 390,000 | 389,936 | |
2.00%, 5/15/30 | 125,000 | 100,190 | |
1,873,582 | |||
Home Construction – 0.0%(c) | |||
Masco Corp., 3.50%, 11/15/27 | 45,000 | 40,367 | |
NVR, Inc., 3.00%, 5/15/30 | 45,000 | 36,451 | |
Tri Pointe Homes, Inc., 5.70%, 6/15/28 | 50,000 | 43,319 | |
120,137 | |||
Household Products – 0.0%(c) | |||
Coty, Inc., 5.00%, 4/15/26(b) | 50,000 | 46,891 | |
Industrial Support Services – 0.1% | |||
Williams Scotsman International, Inc., 4.63%, 8/15/28(b) | 365,000 | 329,650 | |
Institutional Financial Services – 0.9% | |||
Bank of New York Mellon (The) Corp., 0.50%, 4/26/24 | 85,000 | 79,398 | |
Goldman Sachs Group (The), Inc., | |||
(SOFR + 0.51%), 0.66%, 9/10/24(i) | 470,000 | 447,413 | |
(3M USD LIBOR + 1.20%), 3.27%, 9/29/25(i) | 150,000 | 142,275 | |
(SOFR + 0.61%), 0.86%, 2/12/26(i) | 90,000 | 79,786 | |
3.50%, 11/16/26 | 50,000 | 45,852 | |
(SOFR + 0.79%), 1.09%, 12/09/26(i) | 450,000 | 386,004 | |
(SOFR + 0.80%), 1.43%, 3/09/27(i) | 110,000 | 94,107 | |
(3M USD LIBOR + 1.16%), 3.81%, 4/23/29(i) | 50,000 | 44,363 | |
3.80%, 3/15/30 | 50,000 | 43,097 | |
(SOFR + 1.09%), 1.99%, 1/27/32(i) | 115,000 | 83,912 | |
(SOFR + 1.28%), 2.62%, 4/22/32(i) | 10,000 | 7,628 | |
(SOFR + 1.25%), 2.38%, 7/21/32(i) | 75,000 | 55,812 | |
Intercontinental Exchange, Inc., 3.65%, 5/23/25 | 10,000 | 9,676 | |
LPL Holdings, Inc., | |||
4.63%, 11/15/27(b) | 100,000 | 92,097 | |
4.38%, 5/15/31(b) | 70,000 | 60,968 |
Par (a) | Value | ||
Institutional Financial Services (Continued) | |||
Morgan Stanley, | |||
(SOFR + 0.46%), 0.53%, 1/25/24(i) | $205,000 | $ 201,931 | |
(3M USD LIBOR + 0.85%), 3.74%, 4/24/24(i) | 160,000 | 158,426 | |
(SOFR + 0.75%), 0.86%, 10/21/25(i) | 130,000 | 117,256 | |
(SOFR + 1.99%), 2.19%, 4/28/26(i) | 100,000 | 91,263 | |
(SOFR + 1.67%), 4.68%, 7/17/26(i) | 260,000 | 252,064 | |
(SOFR + 0.72%), 0.99%, 12/10/26(i) | 360,000 | 308,072 | |
(SOFR + 0.88%), 1.59%, 5/04/27(i) | 70,000 | 59,903 | |
(3M USD LIBOR + 1.63%), 4.43%, 1/23/30(i) | 50,000 | 45,625 | |
(SOFR + 3.12%), 3.62%, 4/01/31(i) | 145,000 | 123,289 | |
3,030,217 | |||
Insurance – 0.5% | |||
Aflac, Inc., | |||
1.13%, 3/15/26 | 180,000 | 157,483 | |
3.60%, 4/01/30 | 64,000 | 56,752 | |
Aon Corp., 2.80%, 5/15/30 | 20,000 | 16,390 | |
Assurant, Inc., 4.90%, 3/27/28 | 160,000 | 150,241 | |
Berkshire Hathaway, Inc., 3.13%, 3/15/26 | 95,000 | 90,028 | |
Brown & Brown, Inc., | |||
4.50%, 3/15/29 | 90,000 | 82,547 | |
4.20%, 3/17/32 | 45,000 | 37,759 | |
Corebridge Financial, Inc., 3.50%, 4/04/25(b) | 80,000 | 75,394 | |
Enstar Group Ltd., 3.10%, 9/01/31 | 165,000 | 114,317 | |
Marsh & McLennan Cos., Inc., | |||
3.88%, 3/15/24 | 200,000 | 196,421 | |
4.38%, 3/15/29 | 170,000 | 160,554 | |
2.25%, 11/15/30 | 50,000 | 39,176 | |
2.38%, 12/15/31 | 100,000 | 77,495 | |
Progressive (The) Corp., 2.50%, 3/15/27 | 360,000 | 321,255 | |
Willis North America, Inc., 4.65%, 6/15/27 | 100,000 | 94,087 | |
1,669,899 | |||
Internet Media & Services – 0.2% | |||
Booking Holdings, Inc., 4.63%, 4/13/30 | 23,000 | 21,642 | |
Meta Platforms, Inc., | |||
3.50%, 8/15/27(b) | 130,000 | 119,335 |
Par (a) | Value | ||
Internet Media & Services (Continued) | |||
Meta Platforms, Inc., | |||
3.85%, 8/15/32(b) | $ 30,000 | $ 25,525 | |
Netflix, Inc., | |||
3.63%, 6/15/25(b) | 100,000 | 94,949 | |
5.88%, 11/15/28 | 50,000 | 49,625 | |
6.38%, 5/15/29 | 75,000 | 76,491 | |
5.38%, 11/15/29(b) | 75,000 | 71,250 | |
Uber Technologies, Inc., 7.50%, 5/15/25(b) | 75,000 | 75,038 | |
VeriSign, Inc., 4.75%, 7/15/27 | 100,000 | 95,876 | |
Ziff Davis, Inc., 4.63%, 10/15/30(b) | 192,000 | 162,282 | |
792,013 | |||
Leisure Facilities & Services – 0.2% | |||
Boyne USA, Inc., 4.75%, 5/15/29(b) | 10,000 | 8,750 | |
Caesars Entertainment, Inc., 6.25%, 7/01/25(b) | 55,000 | 53,665 | |
Choice Hotels International, Inc., 3.70%, 12/01/29 | 55,000 | 46,076 | |
Hilton Domestic Operating Co., Inc., 4.00%, 5/01/31(b) | 50,000 | 41,797 | |
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.88%, 7/01/31(b) | 70,000 | 57,225 | |
International Game Technology PLC, 5.25%, 1/15/29(b) | 200,000 | 185,575 | |
Marriott International, Inc., | |||
5.75%, 5/01/25 | 9,000 | 9,081 | |
5.00%, 10/15/27 | 35,000 | 33,686 | |
Marriott Ownership Resorts, Inc., 4.50%, 6/15/29(b) | 25,000 | 20,931 | |
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 5/01/29(b) | 10,000 | 8,456 | |
Royal Caribbean Cruises Ltd., 11.50%, 6/01/25(b) | 15,000 | 16,155 | |
Six Flags Theme Parks, Inc., 7.00%, 7/01/25(b) | 50,000 | 50,489 | |
Vail Resorts, Inc., 6.25%, 5/15/25(b) | 100,000 | 99,500 |
Par (a) | Value | ||
Leisure Facilities & Services (Continued) | |||
Yum! Brands, Inc., | |||
4.75%, 1/15/30(b) | $ 50,000 | $ 44,688 | |
4.63%, 1/31/32 | 100,000 | 85,503 | |
761,577 | |||
Leisure Products – 0.0%(c) | |||
Winnebago Industries, Inc., 6.25%, 7/15/28(b) | 10,000 | 9,305 | |
Machinery – 0.2% | |||
Caterpillar Financial Services Corp., | |||
0.45%, 5/17/24 | 190,000 | 177,380 | |
3.40%, 5/13/25 | 80,000 | 77,235 | |
3.65%, 8/12/25 | 40,000 | 38,780 | |
0.80%, 11/13/25 | 60,000 | 53,132 | |
Eaton Corp., 4.15%, 3/15/33 | 20,000 | 17,739 | |
IDEX Corp., 2.63%, 6/15/31 | 80,000 | 63,761 | |
John Deere Capital Corp., 3.40%, 6/06/25 | 280,000 | 270,064 | |
Terex Corp., 5.00%, 5/15/29(b) | 145,000 | 129,347 | |
827,438 | |||
Medical Equipment & Devices – 0.1% | |||
Agilent Technologies, Inc., 2.30%, 3/12/31 | 30,000 | 23,347 | |
Becton Dickinson and Co., 3.70%, 6/06/27 | 55,000 | 50,983 | |
Edwards Lifesciences Corp., 4.30%, 6/15/28 | 70,000 | 65,074 | |
Hologic, Inc., 4.63%, 2/01/28(b) | 50,000 | 46,750 | |
186,154 | |||
Metals & Mining – 0.0%(c) | |||
Arconic Corp., 6.13%, 2/15/28(b) | 40,000 | 37,495 | |
Freeport-McMoRan, Inc., 4.13%, 3/01/28 | 35,000 | 31,389 | |
68,884 | |||
Oil & Gas Producers – 2.0% | |||
Antero Midstream Partners L.P./Antero Midstream Finance Corp., | |||
5.75%, 3/01/27(b) | 75,000 | 71,422 | |
5.38%, 6/15/29(b) | 65,000 | 59,299 | |
Antero Resources Corp., | |||
7.63%, 2/01/29(b) | 54,000 | 55,080 | |
5.38%, 3/01/30(b) | 20,000 | 18,487 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Apache Corp., | |||
4.25%, 1/15/30 | $ 50,000 | $ 44,486 | |
5.10%, 9/01/40 | 25,000 | 20,243 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 8.25%, 12/31/28(b) | 10,000 | 9,650 | |
Cheniere Corpus Christi Holdings LLC, | |||
7.00%, 6/30/24 | 240,000 | 242,907 | |
5.88%, 3/31/25 | 255,000 | 255,038 | |
5.13%, 6/30/27 | 76,000 | 74,148 | |
3.70%, 11/15/29 | 40,000 | 34,838 | |
Cheniere Energy Partners L.P., 3.25%, 1/31/32 | 40,000 | 31,127 | |
Cheniere Energy, Inc., 4.63%, 10/15/28 | 25,000 | 23,063 | |
Chevron Corp., | |||
1.55%, 5/11/25 | 80,000 | 73,804 | |
2.95%, 5/16/26 | 140,000 | 131,324 | |
Chevron USA, Inc., | |||
3.85%, 1/15/28 | 30,000 | 28,405 | |
3.25%, 10/15/29 | 20,000 | 17,930 | |
CNX Resources Corp., | |||
7.25%, 3/14/27(b) | 12,000 | 11,912 | |
6.00%, 1/15/29(b) | 40,000 | 37,340 | |
Colgate Energy Partners III LLC, 5.88%, 7/01/29(b) | 10,000 | 9,323 | |
Columbia Pipeline Group, Inc., 4.50%, 6/01/25 | 235,000 | 229,390 | |
Conoco Funding Co., 7.25%, 10/15/31 | 9,000 | 9,961 | |
ConocoPhillips Co., | |||
2.40%, 3/07/25 | 195,000 | 184,295 | |
6.95%, 4/15/29 | 71,000 | 77,086 | |
Continental Resources, Inc., 4.38%, 1/15/28 | 75,000 | 67,246 | |
CQP Holdco L.P./BIP-V Chinook Holdco LLC, 5.50%, 6/15/31(b) | 400,000 | 355,000 | |
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp., 6.00%, 2/01/29(b) | 30,000 | 28,053 | |
DCP Midstream Operating L.P., | |||
3.25%, 2/15/32 | 75,000 | 59,711 | |
5.60%, 4/01/44 | 25,000 | 21,910 | |
Devon Energy Corp., | |||
5.85%, 12/15/25 | 70,000 | 70,449 | |
4.50%, 1/15/30 | 81,000 | 73,893 | |
7.95%, 4/15/32 | 44,000 | 48,704 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Energy Transfer L.P., | |||
4.05%, 3/15/25 | $ 50,000 | $ 47,868 | |
2.90%, 5/15/25 | 80,000 | 74,262 | |
EnLink Midstream LLC, | |||
5.63%, 1/15/28(b) | 25,000 | 23,961 | |
5.38%, 6/01/29 | 25,000 | 23,080 | |
EnLink Midstream Partners L.P., | |||
4.85%, 7/15/26 | 50,000 | 47,128 | |
5.45%, 6/01/47 | 25,000 | 18,995 | |
Enterprise Products Operating LLC, 3.75%, 2/15/25 | 55,000 | 52,903 | |
EQM Midstream Partners L.P., | |||
4.13%, 12/01/26 | 100,000 | 88,364 | |
6.50%, 7/01/27(b) | 20,000 | 19,500 | |
6.50%, 7/15/48 | 10,000 | 7,700 | |
EQT Corp., | |||
5.68%, 10/01/25 | 40,000 | 39,541 | |
3.90%, 10/01/27 | 100,000 | 89,877 | |
7.00%, 2/01/30 | 100,000 | 102,505 | |
Exxon Mobil Corp., 2.99%, 3/19/25 | 80,000 | 76,542 | |
Global Partners L.P./GLP Finance Corp., 6.88%, 1/15/29 | 100,000 | 90,475 | |
Harvest Midstream I L.P., 7.50%, 9/01/28(b) | 35,000 | 33,555 | |
Hess Corp., 4.30%, 4/01/27 | 50,000 | 46,929 | |
Hess Midstream Operations L.P., | |||
5.13%, 6/15/28(b) | 75,000 | 69,000 | |
4.25%, 2/15/30(b) | 25,000 | 21,379 | |
5.50%, 10/15/30(b) | 20,000 | 18,044 | |
Hilcorp Energy I L.P./Hilcorp Finance Co., 6.00%, 2/01/31(b) | 30,000 | 27,223 | |
Kinder Morgan, Inc., | |||
1.75%, 11/15/26 | 60,000 | 51,732 | |
7.75%, 1/15/32 | 20,000 | 21,739 | |
Marathon Petroleum Corp., | |||
3.63%, 9/15/24 | 80,000 | 77,283 | |
4.70%, 5/01/25 | 50,000 | 48,933 | |
MPLX L.P., | |||
4.88%, 12/01/24 | 12,000 | 11,780 | |
4.88%, 6/01/25 | 735,000 | 717,992 | |
4.13%, 3/01/27 | 180,000 | 166,879 | |
4.25%, 12/01/27 | 90,000 | 82,983 | |
2.65%, 8/15/30 | 90,000 | 70,853 | |
Murphy Oil Corp., 6.38%, 7/15/28 | 35,000 | 34,244 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Murphy Oil USA, Inc., 3.75%, 2/15/31(b) | $ 25,000 | $ 20,831 | |
New Fortress Energy, Inc., 6.75%, 9/15/25(b) | 115,000 | 112,896 | |
Northern Oil and Gas, Inc., 8.13%, 3/01/28(b) | 65,000 | 63,050 | |
Occidental Petroleum Corp., | |||
8.00%, 7/15/25 | 40,000 | 42,224 | |
5.50%, 12/01/25 | 25,000 | 25,075 | |
8.50%, 7/15/27 | 65,000 | 70,671 | |
6.38%, 9/01/28 | 45,000 | 45,673 | |
6.13%, 1/01/31 | 25,000 | 25,066 | |
6.45%, 9/15/36 | 25,000 | 24,800 | |
ONEOK, Inc., | |||
2.75%, 9/01/24 | 50,000 | 47,442 | |
2.20%, 9/15/25 | 80,000 | 72,099 | |
5.85%, 1/15/26 | 77,000 | 76,572 | |
4.00%, 7/13/27 | 255,000 | 231,158 | |
6.35%, 1/15/31 | 60,000 | 59,191 | |
Ovintiv Exploration, Inc., 5.38%, 1/01/26 | 10,000 | 9,778 | |
Southwestern Energy Co., | |||
7.75%, 10/01/27 | 75,000 | 77,150 | |
8.38%, 9/15/28 | 15,000 | 15,516 | |
Sunoco L.P./Sunoco Finance Corp., 4.50%, 5/15/29 | 35,000 | 30,062 | |
Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp., 5.50%, 1/15/28(b) | 100,000 | 89,664 | |
Targa Resources Corp., | |||
5.20%, 7/01/27 | 160,000 | 154,326 | |
4.20%, 2/01/33 | 40,000 | 33,392 | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., | |||
6.50%, 7/15/27 | 17,000 | 16,872 | |
5.00%, 1/15/28 | 46,000 | 42,417 | |
5.50%, 3/01/30 | 25,000 | 23,078 | |
4.88%, 2/01/31 | 70,000 | 61,762 | |
4.00%, 1/15/32 | 60,000 | 49,235 | |
Transcontinental Gas Pipe Line Co. LLC, | |||
7.85%, 2/01/26 | 105,000 | 110,640 | |
3.25%, 5/15/30 | 30,000 | 25,261 | |
Valero Energy Corp., 2.80%, 12/01/31 | 30,000 | 23,660 | |
Western Midstream Operating L.P., | |||
4.65%, 7/01/26 | 50,000 | 47,375 | |
4.75%, 8/15/28 | 25,000 | 23,063 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Western Midstream Operating L.P., | |||
4.30%, 2/01/30 | $ 75,000 | $ 65,985 | |
5.50%, 8/15/48 | 25,000 | 20,164 | |
Williams (The) Cos., Inc., | |||
4.30%, 3/04/24 | 75,000 | 73,850 | |
2.60%, 3/15/31 | 170,000 | 133,195 | |
6,821,966 | |||
Oil, Gas Services & Equipment – 0.1% | |||
Baker Hughes Holdings LLC/Baker Hughes Co-Obligor, Inc., | |||
3.14%, 11/07/29 | 150,000 | 127,012 | |
4.49%, 5/01/30 | 50,000 | 45,914 | |
172,926 | |||
Publishing & Broadcasting – 0.1% | |||
Nexstar Media, Inc., 5.63%, 7/15/27(b) | 100,000 | 94,450 | |
TEGNA, Inc., 5.00%, 9/15/29 | 200,000 | 189,620 | |
284,070 | |||
Real Estate Investment Trusts – 0.8% | |||
American Tower Corp., | |||
0.60%, 1/15/24 | 135,000 | 127,569 | |
5.00%, 2/15/24 | 80,000 | 79,525 | |
1.45%, 9/15/26 | 65,000 | 54,630 | |
3.13%, 1/15/27 | 20,000 | 17,820 | |
3.65%, 3/15/27 | 110,000 | 99,464 | |
3.55%, 7/15/27 | 150,000 | 134,044 | |
Camden Property Trust, 3.15%, 7/01/29 | 50,000 | 42,852 | |
Crown Castle, Inc., | |||
3.20%, 9/01/24 | 30,000 | 28,903 | |
1.35%, 7/15/25 | 230,000 | 205,449 | |
4.45%, 2/15/26 | 160,000 | 153,167 | |
2.90%, 3/15/27 | 25,000 | 22,045 | |
3.65%, 9/01/27 | 135,000 | 122,082 | |
3.80%, 2/15/28 | 17,000 | 15,325 | |
EPR Properties, 4.75%, 12/15/26 | 20,000 | 17,223 | |
Extra Space Storage L.P., 3.90%, 4/01/29 | 78,000 | 68,414 | |
Federal Realty Investment Trust, 3.95%, 1/15/24 | 50,000 | 49,165 | |
GLP Capital L.P./GLP Financing II, Inc., | |||
5.38%, 4/15/26 | 105,000 | 100,229 | |
4.00%, 1/15/31 | 25,000 | 20,046 |
Par (a) | Value | ||
Real Estate Investment Trusts (Continued) | |||
Iron Mountain Information Management Services, Inc., 5.00%, 7/15/32(b) | $ 60,000 | $ 49,482 | |
Iron Mountain, Inc., | |||
5.00%, 7/15/28(b) | 75,000 | 67,095 | |
4.88%, 9/15/29(b) | 75,000 | 64,481 | |
5.25%, 7/15/30(b) | 40,000 | 34,513 | |
4.50%, 2/15/31(b) | 30,000 | 24,300 | |
5.63%, 7/15/32(b) | 50,000 | 42,869 | |
Life Storage L.P., 3.88%, 12/15/27 | 65,000 | 58,767 | |
LifeStorage L.P., 3.50%, 7/01/26 | 159,000 | 147,588 | |
Omega Healthcare Investors, Inc., | |||
4.50%, 1/15/25 | 50,000 | 48,175 | |
4.50%, 4/01/27 | 80,000 | 72,792 | |
4.75%, 1/15/28 | 60,000 | 54,071 | |
Public Storage, | |||
1.50%, 11/09/26 | 20,000 | 17,397 | |
1.95%, 11/09/28 | 125,000 | 102,837 | |
3.39%, 5/01/29 | 25,000 | 22,084 | |
2.25%, 11/09/31 | 120,000 | 92,108 | |
Realty Income Corp., 5.63%, 10/13/32 | 30,000 | 29,308 | |
SBA Communications Corp., 3.13%, 2/01/29 | 10,000 | 8,082 | |
Simon Property Group L.P., | |||
3.50%, 9/01/25 | 65,000 | 61,731 | |
1.38%, 1/15/27 | 10,000 | 8,473 | |
Uniti Group L.P./Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, 2/15/25(b) | 50,000 | 49,500 | |
VICI Properties L.P./VICI Note Co., Inc., | |||
4.63%, 6/15/25(b) | 35,000 | 32,802 | |
5.75%, 2/01/27(b) | 100,000 | 94,472 | |
4.13%, 8/15/30(b) | 50,000 | 41,302 | |
Welltower, Inc., | |||
3.63%, 3/15/24 | 50,000 | 48,591 | |
4.00%, 6/01/25 | 57,000 | 54,475 | |
Weyerhaeuser Co., 4.00%, 4/15/30 | 95,000 | 83,023 | |
XHR L.P., 6.38%, 8/15/25(b) | 30,000 | 29,401 | |
2,797,671 | |||
Renewable Energy – 0.1% | |||
Enviva Partners Finance Corp., 6.50%, 1/15/26(b) | 200,000 | 192,044 |
Par (a) | Value | ||
Retail - Consumer Staples – 0.1% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC, | |||
4.63%, 1/15/27(b) | $ 50,000 | $ 46,336 | |
3.50%, 3/15/29(b) | 30,000 | 24,825 | |
4.88%, 2/15/30(b) | 65,000 | 57,687 | |
Costco Wholesale Corp., 1.38%, 6/20/27 | 140,000 | 120,538 | |
Ingles Markets, Inc., 4.00%, 6/15/31(b) | 35,000 | 29,065 | |
Walmart, Inc., 1.50%, 9/22/28 | 75,000 | 62,653 | |
341,104 | |||
Retail - Discretionary – 0.2% | |||
Abercrombie & Fitch Management Co., 8.75%, 7/15/25(b) | 225,000 | 212,636 | |
Bath & Body Works, Inc., | |||
5.25%, 2/01/28 | 25,000 | 22,113 | |
6.63%, 10/01/30(b) | 35,000 | 31,312 | |
Genuine Parts Co., 1.75%, 2/01/25 | 190,000 | 175,229 | |
Home Depot (The), Inc., 4.00%, 9/15/25 | 105,000 | 102,787 | |
Lowe's Cos., Inc., | |||
4.00%, 4/15/25 | 45,000 | 43,889 | |
4.40%, 9/08/25 | 65,000 | 63,715 | |
3.35%, 4/01/27 | 55,000 | 50,870 | |
3.10%, 5/03/27 | 95,000 | 86,687 | |
2.63%, 4/01/31 | 10,000 | 8,006 | |
Macy's Retail Holdings LLC, 5.88%, 4/01/29(b) | 5,000 | 4,318 | |
Ross Stores, Inc., 4.70%, 4/15/27 | 2,000 | 1,912 | |
803,474 | |||
Semiconductors – 0.3% | |||
Amkor Technology, Inc., 6.63%, 9/15/27(b) | 100,000 | 98,717 | |
Analog Devices, Inc., | |||
3.50%, 12/05/26 | 70,000 | 65,953 | |
1.70%, 10/01/28 | 40,000 | 33,069 | |
2.10%, 10/01/31 | 30,000 | 23,542 | |
Broadcom Corp./Broadcom Cayman Finance Ltd., | |||
3.63%, 1/15/24 | 220,000 | 215,462 | |
3.88%, 1/15/27 | 390,000 | 358,399 | |
Broadcom, Inc., | |||
3.46%, 9/15/26 | 70,000 | 64,248 | |
4.00%, 4/15/29(b) | 145,000 | 127,169 |
Par (a) | Value | ||
Semiconductors (Continued) | |||
Entegris, Inc., 3.63%, 5/01/29(b) | $ 30,000 | $ 24,476 | |
Intel Corp., 3.75%, 3/25/27 | 100,000 | 94,866 | |
Micron Technology, Inc., 4.98%, 2/06/26 | 30,000 | 29,165 | |
Texas Instruments, Inc., 1.90%, 9/15/31 | 54,000 | 42,159 | |
1,177,225 | |||
Software – 0.1% | |||
Fortinet, Inc., 2.20%, 3/15/31 | 70,000 | 52,580 | |
Intuit, Inc., 1.65%, 7/15/30 | 16,000 | 12,347 | |
Oracle Corp., 1.65%, 3/25/26 | 180,000 | 158,014 | |
Roper Technologies, Inc., 1.00%, 9/15/25 | 45,000 | 39,811 | |
VMware, Inc., | |||
1.00%, 8/15/24 | 65,000 | 59,932 | |
4.50%, 5/15/25 | 10,000 | 9,759 | |
332,443 | |||
Specialty Finance – 0.3% | |||
Air Lease Corp., 3.38%, 7/01/25 | 45,000 | 41,652 | |
American Express Co., | |||
2.50%, 7/30/24 | 50,000 | 47,529 | |
3.95%, 8/01/25 | 70,000 | 67,241 | |
4.20%, 11/06/25 | 50,000 | 48,538 | |
4.05%, 5/03/29 | 43,000 | 39,059 | |
Capital One Financial Corp., | |||
(SOFR + 1.37%), 4.17%, 5/09/25(i) | 85,000 | 81,686 | |
(SOFR + 2.16%), 4.99%, 7/24/26(i) | 45,000 | 43,237 | |
Credit Acceptance Corp., 6.63%, 3/15/26 | 100,000 | 94,590 | |
Fortress Transportation and Infrastructure Investors LLC, | |||
6.50%, 10/01/25(b) | 22,000 | 21,112 | |
9.75%, 8/01/27(b) | 320,000 | 325,787 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.75%, 6/15/29(b) | 80,000 | 63,677 | |
MGIC Investment Corp., 5.25%, 8/15/28 | 50,000 | 45,362 | |
Nationstar Mortgage Holdings, Inc., | |||
6.00%, 1/15/27(b) | 100,000 | 89,000 | |
5.50%, 8/15/28(b) | 25,000 | 20,278 | |
5.13%, 12/15/30(b) | 80,000 | 59,819 |
Par (a) | Value | ||
Specialty Finance (Continued) | |||
Starwood Property Trust, Inc., 5.50%, 11/01/23(b) | $ 35,000 | $ 34,554 | |
1,123,121 | |||
Steel – 0.1% | |||
Big River Steel LLC/BRS Finance Corp., 6.63%, 1/31/29(b) | 24,000 | 22,571 | |
Cleveland-Cliffs, Inc., 5.88%, 6/01/27 | 50,000 | 46,500 | |
Nucor Corp., 3.13%, 4/01/32 | 50,000 | 40,519 | |
Reliance Steel & Aluminum Co., 1.30%, 8/15/25 | 40,000 | 35,542 | |
United States Steel Corp., 6.88%, 3/01/29 | 11,000 | 10,094 | |
155,226 | |||
Technology Hardware – 0.3% | |||
Apple, Inc., | |||
1.40%, 8/05/28 | 50,000 | 41,398 | |
3.35%, 8/08/32 | 25,000 | 22,038 | |
Arrow Electronics, Inc., 2.95%, 2/15/32 | 22,000 | 16,721 | |
CDW LLC/CDW Finance Corp., | |||
5.50%, 12/01/24 | 40,000 | 39,616 | |
2.67%, 12/01/26 | 9,000 | 7,740 | |
Dell International LLC/EMC Corp., | |||
5.85%, 7/15/25 | 80,000 | 80,052 | |
6.10%, 7/15/27 | 30,000 | 30,027 | |
HP, Inc., | |||
2.20%, 6/17/25 | 15,000 | 13,790 | |
1.45%, 6/17/26 | 172,000 | 146,927 | |
4.75%, 1/15/28 | 5,000 | 4,671 | |
4.00%, 4/15/29 | 79,000 | 69,021 | |
Jabil, Inc., | |||
1.70%, 4/15/26 | 65,000 | 56,359 | |
4.25%, 5/15/27 | 70,000 | 64,912 | |
Motorola Solutions, Inc., 4.60%, 5/23/29 | 100,000 | 91,930 | |
NetApp, Inc., 1.88%, 6/22/25 | 20,000 | 18,080 | |
TD SYNNEX Corp., 1.25%, 8/09/24 | 20,000 | 18,488 | |
Teledyne Technologies, Inc., 2.75%, 4/01/31 | 30,000 | 23,440 | |
ViaSat, Inc., | |||
5.63%, 4/15/27(b) | 100,000 | 92,458 | |
6.50%, 7/15/28(b) | 115,000 | 96,097 |
Par (a) | Value | ||
Technology Hardware (Continued) | |||
Western Digital Corp., 4.75%, 2/15/26 | $ 10,000 | $ 9,239 | |
943,004 | |||
Technology Services – 0.6% | |||
Booz Allen Hamilton, Inc., | |||
3.88%, 9/01/28(b) | 10,000 | 8,811 | |
4.00%, 7/01/29(b) | 20,000 | 17,482 | |
FactSet Research Systems, Inc., 2.90%, 3/01/27 | 150,000 | 134,154 | |
Fidelity National Information Services, Inc., 4.50%, 7/15/25 | 50,000 | 48,636 | |
Gartner, Inc., | |||
4.50%, 7/01/28(b) | 30,000 | 27,802 | |
3.63%, 6/15/29(b) | 20,000 | 17,000 | |
3.75%, 10/01/30(b) | 40,000 | 33,600 | |
Global Payments, Inc., 1.20%, 3/01/26 | 85,000 | 72,519 | |
HealthEquity, Inc., 4.50%, 10/01/29(b) | 50,000 | 43,688 | |
International Business Machines Corp., | |||
4.00%, 7/27/25 | 465,000 | 453,715 | |
3.30%, 5/15/26 | 200,000 | 187,173 | |
2.20%, 2/09/27 | 100,000 | 88,516 | |
4.15%, 7/27/27 | 285,000 | 272,242 | |
Kyndryl Holdings, Inc., 2.70%, 10/15/28 | 5,000 | 3,615 | |
Mastercard, Inc., | |||
3.30%, 3/26/27 | 130,000 | 121,783 | |
1.90%, 3/15/31 | 22,000 | 17,424 | |
MSCI, Inc., | |||
3.88%, 2/15/31(b) | 100,000 | 84,261 | |
3.63%, 11/01/31(b) | 100,000 | 82,303 | |
3.25%, 8/15/33(b) | 55,000 | 42,518 | |
S&P Global, Inc., | |||
2.45%, 3/01/27(b) | 150,000 | 134,383 | |
1.25%, 8/15/30 | 110,000 | 81,755 | |
Verisk Analytics, Inc., 4.00%, 6/15/25 | 83,000 | 79,971 | |
Visa, Inc., 1.90%, 4/15/27 | 100,000 | 88,287 | |
2,141,638 | |||
Telecommunications – 0.5% | |||
AT&T, Inc., | |||
1.70%, 3/25/26 | 375,000 | 330,713 | |
2.30%, 6/01/27 | 75,000 | 65,411 | |
Frontier Communications Holdings LLC, 5.88%, 10/15/27(b) | 10,000 | 9,198 |
Par (a) | Value | ||
Telecommunications (Continued) | |||
Level 3 Financing, Inc., 3.63%, 1/15/29(b) | $100,000 | $ 76,250 | |
Lumen Technologies, Inc., | |||
4.50%, 1/15/29(b) | 50,000 | 35,248 | |
5.38%, 6/15/29(b) | 15,000 | 11,016 | |
Sprint Capital Corp., | |||
6.88%, 11/15/28 | 50,000 | 51,599 | |
8.75%, 3/15/32 | 75,000 | 88,023 | |
Sprint Corp., 7.13%, 6/15/24 | 100,000 | 101,095 | |
T-Mobile USA, Inc., | |||
3.50%, 4/15/25 | 425,000 | 405,455 | |
2.88%, 2/15/31 | 46,000 | 37,031 | |
3.50%, 4/15/31 | 44,000 | 36,996 | |
5.20%, 1/15/33 | 245,000 | 234,491 | |
Verizon Communications, Inc., 3.00%, 3/22/27 | 100,000 | 90,659 | |
1,573,185 | |||
Tobacco & Cannabis – 0.2% | |||
Altria Group, Inc., | |||
2.35%, 5/06/25 | 260,000 | 239,901 | |
2.63%, 9/16/26 | 260,000 | 231,839 | |
3.40%, 5/06/30 | 30,000 | 24,308 | |
Philip Morris International, Inc., | |||
1.50%, 5/01/25 | 100,000 | 91,135 | |
2.10%, 5/01/30 | 60,000 | 45,735 | |
Vector Group Ltd., 5.75%, 2/01/29(b) | 60,000 | 52,500 | |
685,418 | |||
Transportation & Logistics – 0.1% | |||
American Airlines, Inc., 11.75%, 7/15/25(b) | 25,000 | 27,340 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., | |||
5.50%, 4/20/26(b) | 20,000 | 19,046 | |
5.75%, 4/20/29(b) | 20,000 | 18,200 | |
Cargo Aircraft Management, Inc., 4.75%, 2/01/28(b) | 10,000 | 8,919 | |
Delta Air Lines, Inc., 7.38%, 1/15/26 | 75,000 | 76,574 | |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 9/20/25(b) | 29,920 | 30,393 | |
Union Pacific Corp., | |||
3.75%, 7/15/25 | 90,000 | 87,217 | |
2.75%, 3/01/26 | 10,000 | 9,312 |
Par (a) | Value | ||
Transportation & Logistics (Continued) | |||
United Airlines, Inc., | |||
4.38%, 4/15/26(b) | $ 30,000 | $ 27,380 | |
4.63%, 4/15/29(b) | 30,000 | 25,659 | |
United Parcel Service, Inc., 4.45%, 4/01/30 | 15,000 | 14,402 | |
XPO Logistics, Inc., 6.25%, 5/01/25(b) | 22,000 | 22,224 | |
366,666 | |||
Wholesale - Consumer Staples – 0.1% | |||
Bunge Ltd. Finance Corp., | |||
1.63%, 8/17/25 | 245,000 | 219,319 | |
3.75%, 9/25/27 | 50,000 | 45,737 | |
265,056 | |||
Total Corporate Bonds (Cost $50,881,277) | 46,415,180 | ||
Foreign Issuer Bonds – 2.7% | |||
Australia – 0.0%(c) | |||
Rio Tinto Finance USA Ltd., 7.13%, 7/15/28 | 8,000 | 8,600 | |
Westpac Banking Corp., 3.74%, 8/26/25 | 145,000 | 139,906 | |
148,506 | |||
Canada – 1.0% | |||
1011778 B.C. ULC/New Red Finance, Inc., | |||
3.88%, 1/15/28(b) | 95,000 | 83,498 | |
4.00%, 10/15/30(b) | 130,000 | 106,113 | |
Bank of Montreal, | |||
4.25%, 9/14/24 | 195,000 | 190,816 | |
3.70%, 6/07/25 | 215,000 | 205,783 | |
Bank of Nova Scotia (The), | |||
0.65%, 7/31/24 | 95,000 | 87,467 | |
2.20%, 2/03/25 | 110,000 | 102,344 | |
3.45%, 4/11/25 | 70,000 | 66,704 | |
1.05%, 3/02/26 | 90,000 | 77,955 | |
1.35%, 6/24/26 | 160,000 | 138,015 | |
Baytex Energy Corp., 8.75%, 4/01/27(b) | 75,000 | 76,688 | |
Brookfield Asset Management, Inc., 4.00%, 1/15/25 | 50,000 | 48,474 | |
Canadian Imperial Bank of Commerce, | |||
3.30%, 4/07/25 | 230,000 | 218,567 | |
3.95%, 8/04/25 | 145,000 | 139,174 | |
0.95%, 10/23/25 | 170,000 | 149,028 | |
Canadian Natural Resources Ltd., | |||
3.80%, 4/15/24 | 150,000 | 146,420 | |
2.05%, 7/15/25 | 80,000 | 73,077 |
Par (a) | Value | ||
Canada (Continued) | |||
Enbridge, Inc., 4.25%, 12/01/26 | $ 90,000 | $ 85,178 | |
Fairfax Financial Holdings Ltd., 3.38%, 3/03/31 | 25,000 | 19,592 | |
GFL Environmental, Inc., 3.75%, 8/01/25(b) | 25,000 | 23,625 | |
MEG Energy Corp., 5.88%, 2/01/29(b) | 20,000 | 19,093 | |
Methanex Corp., 5.25%, 12/15/29 | 75,000 | 64,182 | |
Rogers Communications, Inc., | |||
3.20%, 3/15/27(b) | 75,000 | 68,021 | |
3.80%, 3/15/32(b) | 70,000 | 59,597 | |
Royal Bank of Canada, | |||
3.97%, 7/26/24 | 65,000 | 63,498 | |
0.65%, 7/29/24 | 60,000 | 55,355 | |
0.75%, 10/07/24 | 70,000 | 64,067 | |
1.20%, 4/27/26 | 70,000 | 60,391 | |
2.05%, 1/21/27 | 100,000 | 87,315 | |
Taseko Mines Ltd., 7.00%, 2/15/26(b) | 50,000 | 41,604 | |
Tervita Corp., 11.00%, 12/01/25(b) | 13,000 | 14,104 | |
Thomson Reuters Corp., 4.30%, 11/23/23 | 10,000 | 9,907 | |
Toronto-Dominion Bank (The), | |||
3.25%, 3/11/24 | 50,000 | 48,612 | |
4.29%, 9/13/24 | 220,000 | 215,556 | |
3.77%, 6/06/25 | 150,000 | 143,944 | |
0.75%, 1/06/26 | 160,000 | 138,042 | |
4.69%, 9/15/27 | 130,000 | 124,518 | |
3,316,324 | |||
Finland – 0.0%(c) | |||
Nokia Oyj, 4.38%, 6/12/27 | 50,000 | 45,981 | |
Germany – 0.1% | |||
Deutsche Bank A.G., | |||
(SOFR + 3.19%), 6.12%, 7/14/26(i) | 150,000 | 142,963 | |
(SOFR + 1.22%), 2.31%, 11/16/27(i) | 150,000 | 119,731 | |
(5Y USD Swap Rate + 2.55%), 4.88%, 12/01/32(i) | 200,000 | 158,585 | |
421,279 | |||
Ireland – 0.1% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.65%, 10/29/24 | 300,000 | 272,291 |
Par (a) | Value | ||
Japan – 0.5% | |||
Honda Motor Co. Ltd., | |||
2.27%, 3/10/25 | $ 60,000 | $ 56,292 | |
2.53%, 3/10/27 | 70,000 | 62,553 | |
Mitsubishi UFJ Financial Group, Inc., | |||
3.41%, 3/07/24 | 25,000 | 24,316 | |
(1Y US Treasury CMT + 1.70%), 4.79%, 7/18/25(i) | 200,000 | 196,185 | |
(1Y US Treasury CMT + 0.45%), 0.96%, 10/11/25(i) | 200,000 | 181,816 | |
(1Y US Treasury CMT + 0.83%), 2.34%, 1/19/28(i) | 275,000 | 234,665 | |
Mizuho Financial Group, Inc., | |||
(1.25% - SOFR), 1.24%, 7/10/24(i) | 200,000 | 193,377 | |
(3M USD LIBOR + 1.00%), 3.92%, 9/11/24(i) | 200,000 | 196,158 | |
Nomura Holdings, Inc., 1.85%, 7/16/25 | 200,000 | 179,815 | |
Sumitomo Mitsui Financial Group, Inc., | |||
2.45%, 9/27/24 | 200,000 | 188,156 | |
1.40%, 9/17/26 | 200,000 | 169,302 | |
1,682,635 | |||
Mexico – 0.0%(c) | |||
Coca-Cola Femsa S.A.B. de C.V., 2.75%, 1/22/30 | 150,000 | 126,496 | |
Peru – 0.0%(c) | |||
Southern Copper Corp., 3.88%, 4/23/25 | 5,000 | 4,800 | |
Spain – 0.2% | |||
Banco Santander S.A., | |||
2.71%, 6/27/24 | 200,000 | 189,855 | |
(1Y US Treasury CMT + 0.45%), 0.70%, 6/30/24(i) | 400,000 | 384,079 | |
1.85%, 3/25/26 | 200,000 | 170,678 | |
744,612 | |||
Switzerland – 0.0%(c) | |||
Novartis Capital Corp., | |||
3.10%, 5/17/27 | 15,000 | 13,963 | |
2.20%, 8/14/30 | 10,000 | 8,273 | |
22,236 | |||
United Kingdom – 0.8% | |||
Astrazeneca Finance LLC, 1.20%, 5/28/26 | 100,000 | 87,150 |
Par (a) | Value | ||
United Kingdom (Continued) | |||
AstraZeneca PLC, 3.13%, 6/12/27 | $ 49,000 | $ 44,990 | |
Barclays PLC, (3M USD LIBOR + 1.61%), 3.93%, 5/07/25(i) | 205,000 | 195,226 | |
BAT Capital Corp., | |||
3.22%, 8/15/24 | 98,000 | 93,664 | |
2.26%, 3/25/28 | 48,000 | 38,038 | |
4.91%, 4/02/30 | 71,000 | 61,983 | |
7.75%, 10/19/32 | 35,000 | 35,784 | |
BAT International Finance PLC, 4.45%, 3/16/28 | 100,000 | 88,569 | |
HSBC Holdings PLC, | |||
(SOFR + 0.53%), 0.73%, 8/17/24(i) | 200,000 | 189,644 | |
(SOFR + 1.51%), 4.18%, 12/09/25(i) | 260,000 | 244,920 | |
(SOFR + 1.43%), 3.00%, 3/10/26(i) | 400,000 | 363,104 | |
(SOFR + 4.25%), 11/03/33(i)(j) | 200,000 | 199,662 | |
Lloyds Banking Group PLC, 4.58%, 12/10/25 | 200,000 | 183,312 | |
Reynolds American, Inc., 4.45%, 6/12/25 | 195,000 | 188,203 | |
Santander UK Group Holdings PLC, (SOFR + 0.79%), 1.09%, 3/15/25(i) | 300,000 | 275,143 | |
Unilever Capital Corp., 3.38%, 3/22/25 | 100,000 | 96,467 | |
Vmed O2 UK Financing I PLC, 4.75%, 7/15/31(b) | 200,000 | 161,612 | |
2,547,471 | |||
Total Foreign Issuer Bonds (Cost $10,117,864) | 9,332,631 | ||
Mortgage-Backed Securities – 21.0% | |||
Commercial Mortgage-Backed Securities – 0.1% | |||
Multifamily Connecticut Avenue Securities Trust, Series 2019-01, Class M10, (1M USD LIBOR + 3.25%, 3.25% Floor), 6.84%, 10/15/49(b)(g) | 335,944 | 309,479 | |
Federal Home Loan Mortgage Corporation – 1.0% | |||
Pool, | |||
3.00%, 3/01/30 - 8/01/50 | 624,413 | 554,091 | |
2.50%, 4/01/32 - 11/01/50 | 855,973 | 752,876 | |
4.50%, 4/01/49 | 43,062 | 41,153 |
Par (a) | Value | ||
Federal Home Loan Mortgage Corporation (Continued) | |||
Pool, | |||
2.00%, 10/01/50 - 1/01/52 | $ 1,283,235 | $ 1,015,268 | |
2.50%, 9/01/51(d) | 1,405,714 | 1,155,597 | |
3,518,985 | |||
Federal Home Loan Mortgage Corporation Gold – 0.1% | |||
Pool, 3.00%, 3/01/46 - 12/01/46 | 237,087 | 205,973 | |
Federal National Mortgage Association – 2.9% | |||
Pool, | |||
2.50%, 10/01/35 - 1/01/52 | 5,304,183 | 4,385,470 | |
3.50%, 8/01/45 - 2/01/51 | 565,547 | 503,827 | |
3.50%, 1/01/48(d) | 1,085,039 | 975,635 | |
4.00%, 9/01/48 - 3/01/51 | 1,716,809 | 1,580,397 | |
3.00%, 11/01/48 - 6/01/51 | 761,554 | 650,858 | |
4.50%, 1/01/49 - 2/01/50 | 381,935 | 362,231 | |
2.00%, 2/01/51 - 11/01/51 | 1,750,271 | 1,385,835 | |
9,844,253 | |||
Government National Mortgage Association – 1.5% | |||
Pool, 11/01/50 - 11/01/52(j) | 6,194,000 | 5,334,700 | |
Government National Mortgage Association II – 1.4% | |||
Pool, | |||
2.50%, 12/20/46 - 8/20/51 | 1,172,356 | 994,571 | |
3.50%, 1/20/48 - 8/20/48 | 947,928 | 862,089 | |
4.50%, 9/20/48 - 1/20/50 | 125,779 | 120,829 | |
3.00%, 4/20/49 - 7/20/50 | 1,427,706 | 1,256,700 | |
2.00%, 2/20/51 - 10/20/51 | 1,852,308 | 1,529,422 | |
4,763,611 | |||
Uniform Mortgage-Backed Securities – 7.5% | |||
Pool, 11/01/37 - 11/01/52(j) | 29,465,000 | 25,606,067 | |
Whole Loan – 6.5% | |||
FNMA Connecticut Avenue Securities, | |||
Series 2014-C01, Class M2, (1M USD LIBOR + 4.40%), 7.99%, 1/25/24(g) | 125,093 | 126,570 | |
Series 2017-C03, Class 1ED1, (1M USD LIBOR + 0.70%), 4.29%, 10/25/29(g) | 314,641 | 306,961 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
FNMA Connecticut Avenue Securities, | |||
Series 2017-C03, Class 1B1, (1M USD LIBOR + 4.85%), 8.44%, 10/25/29(g) | $ 430,000 | $ 445,635 | |
Series 2017-C04, Class 2M2, (1M USD LIBOR + 2.85%), 6.44%, 11/25/29(g) | 1,306,455 | 1,319,920 | |
Series 2017-C04, Class 2B1, (1M USD LIBOR + 5.05%), 8.64%, 11/25/29(g) | 450,000 | 464,757 | |
Series 2017-C05, Class 1B1, (1M USD LIBOR + 3.60%, 3.60% Floor), 7.19%, 1/25/30(g) | 667,125 | 657,007 | |
Series 2017-C06, Class 2B1, (1M USD LIBOR + 4.45%, 4.45% Floor), 8.04%, 2/25/30(g) | 200,000 | 200,400 | |
Series 2017-C07, Class 2B1, (1M USD LIBOR + 4.45%, 4.45% Floor), 8.04%, 5/25/30(g) | 217,000 | 219,401 | |
Series 2018-C02, Class 2B1, (1M USD LIBOR + 4.00%, 4.00% Floor), 7.59%, 8/25/30(g) | 425,000 | 421,307 | |
Series 2018-C03, Class 1B1, (1M USD LIBOR + 3.75%, 3.75% Floor), 7.34%, 10/25/30(g) | 550,000 | 543,300 | |
Series 2018-C05, Class 1B1, (1M USD LIBOR + 4.25%, 4.25% Floor), 7.84%, 1/25/31(g) | 340,000 | 343,165 | |
Series 2018-C06, Class 1M2, (1M USD LIBOR + 2.00%, 2.00% Floor), 5.59%, 3/25/31(g) | 857,694 | 854,240 | |
Series 2018-C06, Class 2M2, (1M USD LIBOR + 2.10%, 2.10% Floor), 5.69%, 3/25/31(g) | 283,578 | 278,286 | |
Series 2021-R02, Class 2M1, (30D Average SOFR + 0.90%), 3.90%, 11/25/41(b)(g) | 640,929 | 624,102 | |
FHLMC Structured Agency Credit Risk Debt Notes, | |||
Series 2014-DN2, Class M3, (1M USD LIBOR + 3.60%), 7.19%, 4/25/24(g) | 900,484 | 909,926 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
FHLMC Structured Agency Credit Risk Debt Notes, | |||
Series 2017-DNA1, Class B1, (1M USD LIBOR + 4.95%), 8.54%, 7/25/29(g) | $500,000 | $518,946 | |
Series 2017-HQA2, Class B1, (1M USD LIBOR + 4.75%), 8.34%, 12/25/29(g) | 550,000 | 548,894 | |
Series 2017-HQA3, Class M2, (1M USD LIBOR + 2.35%), 5.94%, 4/25/30(g) | 544,998 | 538,135 | |
Series 2018-DNA1, Class B1, (1M USD LIBOR + 3.15%), 6.74%, 7/25/30(g) | 690,000 | 663,044 | |
Series 2018-HQA1, Class M2, (1M USD LIBOR + 2.30%), 5.89%, 9/25/30(g) | 341,070 | 334,421 | |
Series 2022-HQA2, Class M1A, (30D Average SOFR + 2.65%), 5.65%, 7/25/42(b)(g) | 334,638 | 332,128 | |
Connecticut Avenue Securities Trust, | |||
Series 2018-R07, Class 1M2, (1M USD LIBOR + 2.40%), 5.99%, 4/25/31(b)(g) | 142,399 | 141,649 | |
Series 2018-R07, Class 1M2C, (1M USD LIBOR + 2.40%), 5.99%, 4/25/31(b)(g) | 176,610 | 175,192 | |
Series 2019-R01, Class 2M2, (1M USD LIBOR + 2.45%), 6.04%, 7/25/31(b)(g) | 131,742 | 131,245 | |
Series 2019-R01, Class 2M2C, (1M USD LIBOR + 2.45%), 6.04%, 7/25/31(b)(g) | 245,613 | 244,606 | |
Series 2019-R02, Class 1M2, (1M USD LIBOR + 2.30%, 2.30% Floor), 5.89%, 8/25/31(b)(g) | 36,711 | 36,663 | |
Series 2019-R06, Class 2M2, (1M USD LIBOR + 2.10%), 5.69%, 9/25/39(b)(g) | 86,874 | 86,634 | |
Series 2019-R07, Class 1M2, (1M USD LIBOR + 2.10%), 5.69%, 10/25/39(b)(g) | 53,446 | 53,034 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Connecticut Avenue Securities Trust, | |||
Series 2020-R02, Class 2M2, (1M USD LIBOR + 2.00%), 5.59%, 1/25/40(b)(g) | $1,157,878 | $1,137,050 | |
Series 2020-R01, Class 1M2, (1M USD LIBOR + 2.05%, 2.05% Floor), 5.64%, 1/25/40(b)(g) | 1,124,558 | 1,106,401 | |
Series 2020-SBT1, Class 1M2, (1M USD LIBOR + 3.65%), 7.24%, 2/25/40(b)(g) | 511,533 | 496,428 | |
Series 2021-R01, Class 1M2, (30D Average SOFR + 1.55%), 4.55%, 10/25/41(b)(g) | 190,000 | 177,749 | |
Series 2021-R01, Class 1B1, (30D Average SOFR + 3.10%), 6.10%, 10/25/41(b)(g) | 150,000 | 135,491 | |
Series 2021-R03, Class 1B1, (30D Average SOFR + 2.75%, 2.75% Floor), 5.75%, 12/25/41(b)(g) | 275,000 | 239,302 | |
Series 2022-R02, Class 2M1, (30D Average SOFR + 1.20%), 4.20%, 1/25/42(b)(g) | 198,708 | 192,995 | |
Series 2022-R07, Class 1M1, (30D Average SOFR + 2.95%), 5.98%, 6/25/42(b)(g) | 540,953 | 543,333 | |
Series 2022-R08, Class 1M1, (30D Average SOFR + 2.55%, 2.55% Floor), 5.55%, 7/25/42(b)(g) | 219,255 | 216,305 | |
Freddie Mac STACR REMIC Trust, | |||
Series 2021-HQA1, Class M1, (30D Average SOFR + 0.70%), 3.70%, 8/25/33(b)(g) | 235,451 | 234,274 | |
Series 2021-DNA3, Class M2, (30D Average SOFR + 2.10%), 5.10%, 10/25/33(b)(g) | 30,000 | 28,605 | |
Series 2021-DNA5, Class M2, (30D Average SOFR + 1.65%), 4.65%, 1/25/34(b)(g) | 766,507 | 745,670 | |
Series 2021-DNA6, Class M1, (30D Average SOFR + 0.80%), 3.80%, 10/25/41(b)(g) | 250,000 | 244,012 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Freddie Mac STACR REMIC Trust, | |||
Series 2021-DNA7, Class M1, (30D Average SOFR + 0.85%), 3.85%, 11/25/41(b)(g) | $ 631,250 | $ 611,259 | |
Series 2021-DNA7, Class B1, (30D Average SOFR + 3.65%), 6.65%, 11/25/41(b)(g) | 260,000 | 228,658 | |
Series 2022-HQA1, Class M1A, (30D Average SOFR + 2.10%), 5.10%, 3/25/42(b)(g) | 675,614 | 672,140 | |
Series 2022-DNA5, Class M1A, (30D Average SOFR + 2.95%), 5.95%, 6/25/42(b)(g) | 917,776 | 916,613 | |
Series 2022-HQA3, Class M1A, (30D Average SOFR + 2.30%), 5.30%, 8/25/42(b)(g) | 173,939 | 172,970 | |
Series 2019-HQA4, Class M2, (1M USD LIBOR + 2.05%), 5.64%, 11/25/49(b)(g) | 49,050 | 48,852 | |
Series 2020-DNA1, Class M2, (1M USD LIBOR + 1.70%), 5.29%, 1/25/50(b)(g) | 392,196 | 385,156 | |
Series 2020-HQA1, Class M2, (1M USD LIBOR + 1.90%), 5.49%, 1/25/50(b)(g) | 41,992 | 41,346 | |
Series 2020-DNA2, Class M2, (1M USD LIBOR + 1.85%), 5.44%, 2/25/50(b)(g) | 1,277,930 | 1,255,180 | |
Series 2020-HQA2, Class M2, (1M USD LIBOR + 3.10%), 6.69%, 3/25/50(b)(g) | 473,884 | 474,026 | |
Series 2020-DNA4, Class M2, (1M USD LIBOR + 3.75%), 7.34%, 8/25/50(b)(g) | 261 | 261 | |
Series 2020-HQA4, Class M2, (1M USD LIBOR + 3.15%), 6.74%, 9/25/50(b)(g) | 29,594 | 29,594 | |
Series 2020-DNA5, Class M2, (30D Average SOFR + 2.80%), 5.80%, 10/25/50(b)(g) | 230,031 | 230,031 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Freddie Mac STACR REMIC Trust, | |||
STACR Trust, Series 2018-HRP2, Class M3, (1M USD LIBOR + 2.40%), 5.99%, 2/25/47(b)(g) | $232,778 | $ 224,894 | |
Freddie Mac STACR Trust, Series 2019-DNA4, Class M2, (1M USD LIBOR + 1.95%), 5.54%, 10/25/49(b)(g) | 100,077 | 99,029 | |
22,407,192 | |||
Total Mortgage-Backed Securities (Cost $76,279,557) | 71,990,260 |
Number of Shares | |||
Preferred Stocks – 1.1% | |||
Specialty Finance – 1.1% | |||
AGNC Investment Corp., 6.13%(g) | 21,599 | 401,741 | |
Arbor Realty Trust, Inc., 6.25%(g) | 39,458 | 737,865 | |
Chimera Investment Corp., 8.00%(g) | 24,975 | 464,535 | |
Granite Point Mortgage Trust, Inc., 7.00%(g) | 23,527 | 467,482 | |
MFA Financial, Inc., 6.50%(g) | 44,682 | 794,446 | |
New York Mortgage Trust, Inc., 6.88%(g) | 21,682 | 371,196 | |
Rithm Capital Corp., 6.38%(g) | 43,302 | 698,028 | |
Total Preferred Stocks (Cost $5,099,181) | 3,935,293 | ||
Rights – 0.0%(c) | |||
Biotechnology & Pharmaceuticals – 0.0%(c) | |||
Zogenix Inc. Cvr(k)* | 21,009 | 15,200 | |
Total Rights (Cost $14,286) | 15,200 | ||
Warrants – 0.0%(c) | |||
Health Care Facilities & Services – 0.0%(c) | |||
UpHealth, Inc., Strike Price $11.50, Expires 7/01/24* | 254 | 15 | |
Total Warrants (Cost $—) | 15 |
Number of Shares | Value | ||
Investment Companies – 0.6% | |||
ProShares Short 20+ Year Treasury* | 80,796 | $1,918,097 | |
Total Investment Companies (Cost $1,653,648) | 1,918,097 |
Par (a)/Number of Shares | |||
Short-Term Investments – 15.7% | |||
Corporate Bonds – 0.2% | |||
Kinder Morgan Energy Partners L.P., 3.50%, 9/01/23 | $ 70,000 | 69,022 | |
Morgan Stanley, 4.10%, 5/22/23 | 25,000 | 24,873 | |
General Motors Financial Co., Inc., 1.70%, 8/18/23 | 140,000 | 135,559 | |
Boeing (The) Co., 1.17%, 2/04/23 | 30,000 | 29,704 | |
NextEra Energy Capital Holdings, Inc., 0.65%, 3/01/23 | 105,000 | 103,534 | |
Elevance Health, Inc., 0.45%, 3/15/23 | 130,000 | 127,844 | |
Pioneer Natural Resources Co., 0.55%, 5/15/23 | 40,000 | 39,029 | |
Martin Marietta Materials, Inc., 0.65%, 7/15/23 | 55,000 | 53,199 | |
Humana, Inc., 0.65%, 8/03/23 | 50,000 | 48,299 | |
631,063 | |||
Convertible Bonds – 5.4% | |||
Starwood Property Trust, Inc., 4.38%, 4/01/23 | 657,000 | 652,073 | |
Blackstone Mortgage Trust, Inc., 4.75%, 3/15/23 | 657,000 | 652,911 | |
Innoviva, Inc., 2.13%, 1/15/23(d) | 1,244,000 | 1,228,450 | |
Apollo Commercial Real Estate Finance, Inc., 5.38%, 10/15/23(d) | 2,612,000 | 2,533,640 | |
Encore Capital Europe Finance Ltd., 4.50%, 9/01/23(d) | 728,000 | 903,448 | |
Granite Point Mortgage Trust, Inc., 6.38%, 10/01/23 | 1,424,000 | 1,367,040 |
Par (a)/Number of Shares | Value | ||
Convertible Bonds (Continued) | |||
Helix Energy Solutions Group, Inc., 4.13%, 9/15/23(d) | $ 330,000 | $ 330,198 | |
Novavax, Inc., 3.75%, 2/01/23 | 1,487,000 | 1,464,695 | |
PRA Group, Inc., 3.50%, 6/01/23(d) | 1,240,000 | 1,217,060 | |
Redwood Trust, Inc., 4.75%, 8/15/23 | 419,000 | 399,098 | |
SFL Corp. Ltd., 4.88%, 5/01/23(d) | 486,000 | 487,701 | |
Granite Point Mortgage Trust, Inc., 5.63%, 12/01/22(b) | 1,533,000 | 1,516,984 | |
Ligand Pharmaceuticals, Inc., 0.75%, 5/15/23(d) | 692,000 | 669,943 | |
New Relic, Inc., 0.50%, 5/01/23(d) | 838,000 | 817,888 | |
KKR Real Estate Finance Trust, Inc., 6.13%, 5/15/23 | 555,000 | 550,560 | |
Royal Caribbean Cruises Ltd., 4.25%, 6/15/23 | 1,809,000 | 1,839,899 | |
WisdomTree Investments, Inc., 4.25%, 6/15/23 | 701,000 | 727,288 | |
DigitalBridge Group, Inc., 5.00%, 4/15/23 | 705,000 | 698,831 | |
Patrick Industries, Inc., 1.00%, 2/01/23 | 658,000 | 646,090 | |
18,703,797 | |||
Money Market Fund – 7.2% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 2.48%(l) | 24,650,827 | 24,559,555 | |
Foreign Issuer Bonds – 0.0%(c) | |||
Toronto-Dominion Bank (The), 0.30%, 6/02/23 | 50,000 | 48,620 | |
U.S. Treasury Bills – 2.9% | |||
U.S. Treasury Bill, 2.84%, 12/01/22(m) | 2,500,000 | 2,492,828 | |
U.S. Treasury Bill, 3.92%, 1/26/23(m) | 500,000 | 495,237 | |
U.S. Treasury Bill, 3.27%, 1/05/23(m) | 7,000,000 | 6,952,099 | |
9,940,164 | |||
Total Short-Term Investments (Cost $53,964,649) | 53,883,199 |
Number of Contracts | Notional Amount | Value | |
Purchased Options – 0.3% | |||
Call Options - Exchange Traded – 0.0%(c) | |||
Broadcom, Inc., | |||
Strike Price $550.00, Expires 12/16/22 | 15 | 705,180 | $ 4,245 |
Strike Price $520.00, Expires 12/16/22 | 4 | 188,048 | 3,024 |
Strike Price $500.00, Expires 12/16/22 | 2 | 94,024 | 2,580 |
ironSource Ltd., Strike Price $5.00, Expires 12/16/22 | 206 | 66,538 | 1,030 |
iShares Expanded Tech-Software Sector ETF, Strike Price $320.00, Expires 11/18/22 | 6 | 160,560 | 516 |
iShares Russell 2000 Growth ETF, Strike Price $250.00, Expires 11/18/22 | 5 | 91,665 | 1,150 |
Unity Software, Inc., Strike Price $60.00, Expires 11/18/22 | 13 | 38,350 | 52 |
12,597 | |||
Put Options - Exchange Traded – 0.3% | |||
iShares 20+ Year Treasury Bond ETF, Strike Price $100.00, Expires 12/16/22 | 1,800 | 17,299,800 | 1,044,000 |
Momentive Global, Inc., Strike Price $6.00, Expires 12/16/22 | 798 | 619,248 | 15,960 |
Tenneco, Inc., Strike Price $10.00, Expires 1/20/23 | 196 | 386,120 | 980 |
Twitter, Inc., Strike Price $30.00, Expires 11/11/22 | 341 | 1,831,170 | 682 |
1,061,622 | |||
Total Purchased Options (Premiums Paid $777,071) | 1,074,219 | ||
Total Long Positions – 106.5% (Cost $385,859,299) | 364,766,774 |
Number of Shares | Value | ||
Short Positions – (9.4)%(n) | |||
Common Stocks – (7.7)% | |||
Advertising & Marketing – (0.0)%(c) | |||
Magnite, Inc. | (5,502) | (40,110) | |
Aerospace & Defense – (0.0)%(c) | |||
Kaman Corp. | (1,531) | (49,145) |
Number of Shares | Value | ||
Asset Management – (0.1)% | |||
Affiliated Managers Group, Inc. | (557) | $ (69,157) | |
WisdomTree Investments, Inc. | (47,455) | (257,681) | |
(326,838) | |||
Biotechnology & Pharmaceuticals – (0.5)% | |||
Cerevel Therapeutics Holdings, Inc. | (3,038) | (84,942) | |
Coherus Biosciences, Inc. | (33,811) | (294,156) | |
Halozyme Therapeutics, Inc. | (9,142) | (437,079) | |
Insmed, Inc. | (29,505) | (511,027) | |
Jazz Pharmaceuticals PLC | (1,551) | (223,018) | |
Ligand Pharmaceuticals, Inc. | (138) | (12,096) | |
Sarepta Therapeutics, Inc. | (1,703) | (194,176) | |
(1,756,494) | |||
Cable & Satellite – (0.1)% | |||
Cable One, Inc. | (209) | (179,621) | |
DISH Network Corp., Class A | (14,659) | (218,566) | |
(398,187) | |||
Consumer Services – (0.2)% | |||
Chegg, Inc. | (4,280) | (92,320) | |
Stride, Inc. | (20,626) | (691,177) | |
(783,497) | |||
E-Commerce Discretionary – (0.1)% | |||
Etsy, Inc. | (2,128) | (199,841) | |
Electric Utilities – (0.4)% | |||
Algonquin Power & Utilities Corp. (Canada) | (24,709) | (273,281) | |
NRG Energy, Inc. | (24,297) | (1,078,787) | |
(1,352,068) | |||
Electrical Equipment – (0.1)% | |||
Bloom Energy Corp., Class A | (18,606) | (348,118) | |
Mesa Laboratories, Inc. | (622) | (82,235) | |
(430,353) | |||
Engineering & Construction – (0.3)% | |||
Fluor Corp. | (35,717) | (1,080,796) | |
Food – (0.0)%(c) | |||
Herbalife Nutrition Ltd. | (1,758) | (37,375) | |
Household Products – (0.1)% | |||
Beauty Health (The) Co. | (24,510) | (280,149) | |
Industrial Intermediate Products – (0.1)% | |||
RBC Bearings, Inc. | (1,170) | (296,630) |
Number of Shares | Value | ||
Institutional Financial Services – (0.2)% | |||
Cowen, Inc., Class A | (20,049) | $ (774,292) | |
Intercontinental Exchange, Inc. | (664) | (63,459) | |
(837,751) | |||
Internet Media & Services – (0.3)% | |||
Groupon, Inc. | (3,063) | (22,574) | |
Snap, Inc., Class A | (3,615) | (35,825) | |
TripAdvisor, Inc. | (8,154) | (192,598) | |
Upwork, Inc. | (7,616) | (102,435) | |
Ziff Davis, Inc. | (6,073) | (469,989) | |
Zillow Group, Inc., Class C | (6,048) | (186,641) | |
(1,010,062) | |||
Leisure Facilities & Services – (0.4)% | |||
Cheesecake Factory (The), Inc. | (6,043) | (216,400) | |
Marcus (The) Corp. | (29,850) | (448,944) | |
Norwegian Cruise Line Holdings Ltd. | (28,229) | (476,788) | |
Royal Caribbean Cruises Ltd. | (6,059) | (323,429) | |
(1,465,561) | |||
Leisure Products – (0.3)% | |||
Topgolf Callaway Brands Corp. | (21,508) | (402,630) | |
Winnebago Industries, Inc. | (11,995) | (715,981) | |
(1,118,611) | |||
Medical Equipment & Devices – (0.2)% | |||
CONMED Corp. | (1,907) | (152,045) | |
Exact Sciences Corp. | (7,170) | (249,372) | |
Haemonetics Corp. | (2,745) | (233,188) | |
(634,605) | |||
Oil & Gas Producers – (0.6)% | |||
Permian Resources Corp. | (113,737) | (1,111,211) | |
Pioneer Natural Resources Co. | (3,228) | (827,691) | |
(1,938,902) | |||
Oil, Gas Services & Equipment – (0.1)% | |||
Helix Energy Solutions Group, Inc. | (48,782) | (341,474) | |
Real Estate Investment Trusts – (0.3)% | |||
Pebblebrook Hotel Trust | (30,802) | (494,064) | |
Summit Hotel Properties, Inc. | (56,854) | (491,219) | |
(985,283) | |||
Real Estate Services – (0.1)% | |||
Anywhere Real Estate, Inc. | (28,128) | (208,991) |
Number of Shares | Value | ||
Renewable Energy – (0.4)% | |||
Array Technologies, Inc. | (43,454) | $ (786,517) | |
Sunnova Energy International, Inc. | (26,074) | (483,412) | |
(1,269,929) | |||
Retail - Discretionary – (0.1)% | |||
Patrick Industries, Inc. | (4,205) | (192,211) | |
Semiconductors – (0.6)% | |||
Broadcom, Inc.(e) | (2,422) | (1,138,631) | |
Impinj, Inc. | (3,158) | (362,001) | |
MACOM Technology Solutions Holdings, Inc. | (5,485) | (317,417) | |
MaxLinear, Inc. | (5,906) | (182,377) | |
Semtech Corp. | (4,613) | (127,734) | |
(2,128,160) | |||
Software – (0.9)% | |||
8x8, Inc. | (4,641) | (19,631) | |
Bandwidth, Inc., Class A | (1,095) | (12,998) | |
Bentley Systems, Inc., Class B | (6,706) | (236,588) | |
BigCommerce Holdings, Inc., Series 1 | (5,950) | (88,417) | |
Blackline, Inc. | (2,712) | (151,872) | |
Ceridian HCM Holding, Inc. | (3,952) | (261,583) | |
Envestnet, Inc. | (3,897) | (192,161) | |
Everbridge, Inc. | (1,031) | (32,301) | |
Five9, Inc. | (1,314) | (79,182) | |
LivePerson, Inc. | (5,522) | (58,367) | |
Mitek Systems, Inc. | (18,564) | (209,959) | |
New Relic, Inc. | (293) | (17,357) | |
NextGen Healthcare, Inc. | (11,225) | (224,949) | |
Progress Software Corp. | (15,317) | (781,626) | |
RingCentral, Inc., Class A | (428) | (15,203) | |
Splunk, Inc. | (1,361) | (113,113) | |
Verint Systems, Inc. | (11,383) | (403,300) | |
Workiva, Inc. | (4,538) | (353,102) | |
(3,251,709) | |||
Specialty Finance – (0.3)% | |||
Encore Capital Group, Inc. | (12,328) | (627,742) | |
LendingTree, Inc. | (364) | (9,184) | |
PRA Group, Inc. | (4,017) | (134,569) | |
SoFi Technologies, Inc. | (34,357) | (186,902) | |
Upstart Holdings, Inc. | (1,733) | (40,171) | |
(998,568) | |||
Technology Hardware – (0.3)% | |||
Infinera Corp. | (39,734) | (222,908) | |
Lumentum Holdings, Inc. | (7,066) | (526,063) | |
NCR Corp. | (9,272) | (197,123) | |
(946,094) |
Number of Shares | Value | ||
Technology Services – (0.2)% | |||
I3 Verticals, Inc., Class A | (5,773) | $ (125,621) | |
Perficient, Inc. | (3,451) | (231,113) | |
Sabre Corp. | (44,126) | (256,372) | |
(613,106) | |||
Transportation & Logistics – (0.3)% | |||
Air Transport Services Group, Inc. | (27,607) | (806,125) | |
CryoPort, Inc. | (3,050) | (84,668) | |
JetBlue Airways Corp. | (8,370) | (67,295) | |
SFL Corp. Ltd. (Norway) | (5,897) | (60,149) | |
Spirit Airlines, Inc. | (4,377) | (96,294) | |
(1,114,531) | |||
Transportation Equipment – (0.1)% | |||
Greenbrier (The) Cos., Inc. | (14,477) | (511,183) | |
Total Common Stocks (Proceeds $29,293,098) | (26,598,214) |
Par(a) | |||
Mortgage-Backed Securities – (1.6)% | |||
Uniform Mortgage-Backed Securities – (1.6)% | |||
Pool, 11/01/52(j) | $(6,607,000) | (5,406,430) | |
Total Mortgage-Backed Securities (Proceeds $5,496,484) | (5,406,430) |
Number of Shares | |||
Investment Companies – (0.1)% | |||
iShares Expanded Tech-Software Sector ETF(e) | (619) | (165,644) | |
iShares Russell 2000 Growth ETF(e) | (554) | (125,348) | |
Total Investment Companies (Proceeds $291,783) | (290,992) | ||
Total Short Positions – (9.4)% (Proceeds $35,081,365) | (32,295,636) | ||
Total Written Options – (0.1)% (Premiums Received $236,334) | (398,574) | ||
Other Assets less Liabilities – 3.0%(o) | 10,377,606 | ||
NET ASSETS – 100.0% | $342,450,170 | ||
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. |
(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) | Variable rate security. Rate as of October 31, 2022 is disclosed. |
(h) | Distributions from this security are made via payments in-kind (PIK) unless otherwise noted in the description. |
(i) | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate as of October 31, 2022 is disclosed. |
(j) | When-Issued Security. Coupon rate was not yet in effect at October 31, 2022. |
(k) | Investment is valued using significant unobservable inputs (Level 3). |
(l) | 7-day current yield as of October 31, 2022 is disclosed. |
(m) | Discount rate at the time of purchase. |
(n) | Securities sold short are not owned by the Fund and cannot produce income. |
(o) | 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 |
ADR | American Depositary Receipt |
BDC | Business Development Company |
CMT | Constant Maturity |
ETF | Exchange-Traded Fund |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
Freddie Mac | Federal Home Loan Mortgage Corporation |
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 October 31, 2022: Exchange Traded | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | |||||
10-Year Australian Treasury Bond | 46 | 12/15/2022 | AUD | 3,486,192 | $ 15,532 |
10-Year U.S. Treasury Note | 13 | 12/20/2022 | USD | 1,437,719 | (2,406) |
U.S. Treasury Long Bond | 1 | 12/20/2022 | USD | 120,500 | (4,992) |
Ultra U.S. Treasury Bond | 1 | 12/20/2022 | USD | 127,656 | (15,156) |
Long Gilt | 1 | 12/28/2022 | GBP | 117,123 | 3,849 |
Total Long Contracts | $ (3,173) | ||||
Short Contracts | |||||
Euro-BTP Italian Government Bond | (6) | 12/08/2022 | EUR | 679,817 | $ 8,387 |
Euro-Bund | (33) | 12/08/2022 | EUR | 4,514,840 | (16,822) |
Euro-OAT | (21) | 12/08/2022 | EUR | 2,757,692 | 100,576 |
10-Year Canadian Government Bond | (23) | 12/19/2022 | CAD | 2,077,065 | 12,520 |
Ultra 10-Year U.S. Treasury Note | (61) | 12/20/2022 | USD | 7,075,047 | (21,729) |
2-Year U.S. Treasury Note | (16) | 12/30/2022 | USD | 3,270,125 | 60,743 |
5-Year U.S. Treasury Note | (234) | 12/30/2022 | USD | 24,942,938 | 740,713 |
Total Short Contracts | $884,388 | ||||
$881,215 |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2022: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/15/22 | U.S. Dollars | 1,511 | Swedish Krona | 16,031 | Morgan Stanley | $ 54,372 |
12/15/22 | U.S. Dollars | 3,426 | Euro | 3,401 | Morgan Stanley | 51,940 |
12/15/22 | British Pounds | 1,095 | U.S. Dollars | 1,228 | Morgan Stanley | 28,647 |
12/15/22 | U.S. Dollars | 3,426 | British Pound | 2,959 | Morgan Stanley | 26,526 |
12/15/22 | U.S. Dollars | 372 | Canadian Dollars | 487 | Morgan Stanley | 14,193 |
12/15/22 | U.S. Dollars | 74 | New Zealand Dollars | 122 | Morgan Stanley | 2,583 |
12/15/22 | Swedish Krona | 715 | U.S. Dollars | 63 | Morgan Stanley | 1,396 |
12/15/22 | U.S. Dollars | 31 | Swiss Francs | 30 | JPMorgan Chase | 1,020 |
12/15/22 | U.S. Dollars | 11 | Swiss Francs | 10 | Morgan Stanley | 563 |
12/15/22 | U.S. Dollars | 11 | Swiss Francs | 10 | Deutsche Bank | 540 |
12/15/22 | U.S. Dollars | 60 | Euro | 60 | Barclays | 475 |
12/15/22 | U.S. Dollars | 21 | Czech Koruna | 510 | Barclays | 402 |
12/15/22 | U.S. Dollars | 10 | Swiss Francs | 10 | Bank of America | 383 |
12/15/22 | U.S. Dollars | 26 | Australian Dollars | 40 | Morgan Stanley | 368 |
12/15/22 | U.S. Dollars | 74 | Canadian Dollars | 100 | Citibank | 316 |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2022: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/15/22 | U.S. Dollars | 26 | Australian Dollars | 40 | JPMorgan Chase | $ 296 |
12/15/22 | New Zealand Dollars | 21 | U.S. Dollars | 10 | Morgan Stanley | 258 |
12/15/22 | U.S. Dollars | 11 | South African Rand | 200 | Barclays | 199 |
12/15/22 | U.S. Dollars | 100 | Hong Kong Dollars | 790 | JPMorgan Chase | 106 |
12/15/22 | U.S. Dollars | 51 | Canadian Dollars | 70 | JPMorgan Chase | 72 |
12/15/22 | U.S. Dollars | 10 | Euro | 10 | JPMorgan Chase | 49 |
12/15/22 | U.S. Dollars | 8 | Swedish Krona | 90 | Deutsche Bank | 37 |
12/15/22 | U.S. Dollars | 9 | Hong Kong Dollars | 70 | Goldman Sachs | 9 |
12/15/22 | U.S. Dollars | 13 | Australian Dollars | 20 | Citibank | 2 |
12/15/22 | U.S. Dollars | 10 | Euro | 10 | Deutsche Bank | 1 |
Total Unrealized Appreciation | $184,753 | |||||
12/15/22 | New Zealand Dollars | 5 | U.S. Dollars | 3 | Morgan Stanley | $ (74) |
12/15/22 | U.S. Dollars | 11 | New Zealand Dollars | 20 | JPMorgan Chase | (179) |
12/15/22 | U.S. Dollars | 15 | Canadian Dollars | 20 | Deutsche Bank | (184) |
12/15/22 | U.S. Dollars | 8 | New Zealand Dollars | 15 | Morgan Stanley | (210) |
12/15/22 | U.S. Dollars | 29 | Canadian Dollars | 40 | Morgan Stanley | (309) |
12/15/22 | Swedish Krona | 395 | U.S. Dollars | 36 | Morgan Stanley | (555) |
12/15/22 | U.S. Dollars | 50 | Australian Dollars | 80 | Citibank | (1,006) |
12/15/22 | U.S. Dollars | 75 | Australian Dollars | 120 | Morgan Stanley | (1,465) |
12/15/22 | U.S. Dollars | 176 | Swedish Krona | 1,983 | Morgan Stanley | (3,582) |
12/15/22 | U.S. Dollars | 125 | British Pound | 112 | Bank of America | (4,171) |
12/15/22 | U.S. Dollars | 1,297 | Euro | 1,321 | Morgan Stanley | (13,577) |
12/15/22 | U.S. Dollars | 546 | British Pound | 500 | Morgan Stanley | (28,113) |
Total Unrealized Depreciation | $ (53,425) | |||||
Net Unrealized Appreciation | $131,328 |
Written Call Option Contracts outstanding at October 31, 2022: Exchange Traded | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
Aerojet Rocketdyne | 96 | USD | 465,120 | 40.00 | 12/16/2022 | $ (84,672) |
Willis Towers Watson PLC | 6 | USD | 130,926 | 220.00 | 11/18/2022 | (2,475) |
Total Written Call Options Contracts (Premiums Received $49,181) | $(87,147) |
Written Put Option Contracts outstanding at October 31, 2022: Exchange Traded | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
iShares 20+ Year Treasury Bond ETF | 1,800 | USD | 17,299,800 | 92.00 | 12/16/2022 | $ (311,400) |
Tenneco, Inc. | 3 | USD | 5,910 | 5.00 | 1/20/2023 | (27) |
Total Written Put Options Contracts (Premiums Received $187,153) | $(311,427) |
Long Contracts for Difference at October 31, 2022: Over the Counter | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Alcoa Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,803 | Monthly | $ 109,158 | $ 3,064 |
Allstate Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 4,432 | Monthly | 559,030 | (27,879) |
Altice USA, Inc., Class A | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 42,467 | Monthly | 282,184 | 31,204 |
American Electric Power Co., Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 6,397 | Monthly | 561,929 | 17,864 |
American Express Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 853 | Monthly | 126,330 | 9,171 |
American Express Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,408 | Monthly | 208,778 | 9,490 |
American International Group, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 9,975 | Monthly | 568,079 | 52,072 |
American International Group, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 7,936 | Monthly | 452,229 | 20,908 |
American Tower Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,480 | Monthly | 306,253 | 26,592 |
Amgen, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,037 | Monthly | 549,944 | 49,983 |
Analog Devices, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,480 | Monthly | 210,758 | 5,334 |
Antero Resources Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 11,021 | Monthly | 403,596 | 31,328 |
Apache Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 12,340 | Monthly | 560,526 | 65,692 |
Apache Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 9,976 | Monthly | 453,390 | 16,840 |
Applied Materials, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 5,024 | Monthly | 443,446 | 16,708 |
Aramark Services, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 14,001 | Monthly | 510,916 | 15,020 |
Arrow Electronics, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 2,305 | Monthly | 233,225 | 12,035 |
AT&T, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 24,392 | Monthly | 444,307 | 70,865 |
AT&T, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 1,237 | Monthly | 22,507 | 847 |
Atmos Energy Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,114 | Monthly | 224,923 | 8,872 |
AutoNation, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,152 | Monthly | 334,564 | 8,427 |
AutoZone, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 110 | Monthly | 278,298 | 26,421 |
AutoZone, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 179 | Monthly | 453,261 | 22,315 |
Avantor, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 21,565 | Monthly | 434,568 | (2,339) |
Avis Budget Group, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 776 | Monthly | 183,732 | 5,872 |
Barrick Gold Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 27,744 | Monthly | 416,239 | (199) |
Baxter International, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,745 | Monthly | 94,685 | (1,726) |
Baxter International, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 9,567 | Monthly | 521,218 | (18,648) |
Best Buy Co., Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,185 | Monthly | 80,832 | 5,170 |
Best Buy Co., Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 690 | Monthly | 47,272 | 3,250 |
Biogen, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,098 | Monthly | 310,948 | 14,982 |
Long Contracts for Difference at October 31, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Bio-Rad Laboratories, Inc., Class A | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 506 | Monthly | $ 177,725 | $ (16,881) |
Block, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 7,083 | Monthly | 425,165 | 30,158 |
Booking Holdings, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 143 | Monthly | 267,108 | 17,217 |
BorgWarner, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,782 | Monthly | 66,824 | 6,592 |
Boston Properties, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,927 | Monthly | 430,256 | 8,194 |
Boyd Gaming Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 9,671 | Monthly | 558,447 | 38,341 |
Bristol-Myers Squibb Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,663 | Monthly | 438,118 | 43,690 |
Bristol-Myers Squibb Co. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 1,814 | Monthly | 140,488 | 8,084 |
Builders FirstSource, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 7,277 | Monthly | 448,430 | 20,621 |
Caesars Entertainment, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 10,612 | Monthly | 463,715 | 62,995 |
Camden Property Trust REIT | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,881 | Monthly | 217,129 | 43 |
Campbell Soup | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 7,614 | Monthly | 402,510 | 21,734 |
Cardinal Health, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 4,116 | Monthly | 311,928 | 22,449 |
Cardinal Health, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 3,113 | Monthly | 236,083 | 23,714 |
Cardinal Health, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 610 | Monthly | 46,278 | 1,260 |
Catalent Pharma Solutions, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 5,516 | Monthly | 362,496 | (14,228) |
Centene Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,016 | Monthly | 86,573 | 10,190 |
CH Robinson Worldwide, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 2,325 | Monthly | 226,995 | 3,121 |
Charter Communications, Inc., Class A | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,254 | Monthly | 461,014 | 72,175 |
Chevron Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 2,582 | Monthly | 466,704 | 50,202 |
Chubb Limited | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,688 | Monthly | 576,818 | 77,656 |
Chubb Limited | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 1,694 | Monthly | 363,910 | 19,384 |
Church & Dwight Co., Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 5,764 | Monthly | 427,169 | (347) |
Cisco Systems, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 12,151 | Monthly | 548,830 | 46,994 |
CME Group, Inc., Class A | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 2,398 | Monthly | 415,461 | 2,981 |
Coherent Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 6,478 | Monthly | 217,432 | 11,950 |
Colgate-Palmolive Co. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 268 | Monthly | 19,789 | (157) |
Comcast Corp., Class A | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 16,643 | Monthly | 528,249 | 16,168 |
Coterra Energy, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 14,803 | Monthly | 460,695 | 12,460 |
Crocs, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 1,710 | Monthly | 120,930 | (9,748) |
Crown Castle International Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 3,452 | Monthly | 459,900 | 36,523 |
CSX Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 15,273 | Monthly | 443,211 | 38,324 |
CSX Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 19,210 | Monthly | 557,750 | 16,988 |
CVS Health Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,198 | Monthly | 491,548 | 31,525 |
CVS Health Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,539 | Monthly | 145,616 | 5,736 |
Darling Ingredients, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 2,259 | Monthly | 177,139 | 3,222 |
DaVita, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,695 | Monthly | 269,755 | (21,995) |
Delta Air Lines, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 6,000 | Monthly | 203,580 | (2,843) |
Digital Realty Trust, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,963 | Monthly | 197,070 | 20,464 |
Long Contracts for Difference at October 31, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
DISH Network Corp., Class A | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | 3,418 | Monthly | $ 50,961 | $ (782) |
Dollar General Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 915 | Monthly | 233,298 | 9,141 |
Dow, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 3,021 | Monthly | 140,839 | 4,108 |
DTE Energy Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,490 | Monthly | 166,899 | 7,469 |
DuPont de Nemours, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 452 | Monthly | 25,848 | 531 |
DXC Technology | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 4,488 | Monthly | 128,920 | 7,250 |
DXC Technology | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 7,653 | Monthly | 219,964 | (290) |
Ebay, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 7,996 | Monthly | 318,476 | 9,191 |
Elanco Animal Health, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 24,864 | Monthly | 328,210 | 21,637 |
Elastic N.V. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 955 | Monthly | 61,070 | (559) |
Emerson Electric Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 17 | Monthly | 1,471 | 110 |
Enbridge, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 558 | Monthly | 21,715 | 1,047 |
EQT Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 5,855 | Monthly | 244,848 | 10,734 |
Equitable Holdings, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 12,682 | Monthly | 387,777 | 38,769 |
Estee Lauder (The) Cos., Inc., Class A | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 249 | Monthly | 49,917 | (1,303) |
Eversource Energy | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 4,744 | Monthly | 361,782 | 16,238 |
Exelon Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,284 | Monthly | 203,601 | 5,610 |
Exelon Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 12,788 | Monthly | 493,057 | 18,622 |
Expedia Group, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 3,764 | Monthly | 351,723 | (9,094) |
Fair Isaac Corporation | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 950 | Monthly | 454,501 | 65,685 |
Fiserv, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 468 | Monthly | 48,070 | 2,510 |
Foot Locker, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,329 | Monthly | 105,365 | (2,594) |
Fox Corp., Class A | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 4,993 | Monthly | 144,108 | (3,785) |
Freeport-McMoRan, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 7,839 | Monthly | 248,164 | 22,824 |
General Dynamics Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 345 | Monthly | 85,968 | 7,398 |
General Electric Co. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 6,730 | Monthly | 523,513 | 29,800 |
General Motors Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 10,744 | Monthly | 421,456 | 46,100 |
Gilead Sciences, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 2,769 | Monthly | 217,204 | 26,143 |
Goodyear Tire & Rubber (The) Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 36,115 | Monthly | 458,285 | 46,213 |
H&R Block, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 13,743 | Monthly | 564,710 | 32,718 |
H&R Block, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 3,952 | Monthly | 162,478 | 1,948 |
Halliburton Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 15,289 | Monthly | 556,376 | 97,859 |
Hartford Financial Services Group (The), Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 11,513 | Monthly | 832,503 | 93,138 |
Hartford Financial Services Group (The), Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 2,405 | Monthly | 173,981 | 15,203 |
Hasbro, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 1,022 | Monthly | 66,622 | (2,577) |
HCA Healthcare, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 418 | Monthly | 90,878 | 2,948 |
Healthpeak Properties, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 15,810 | Monthly | 375,075 | 23,619 |
Hologic, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 699 | Monthly | 47,392 | 904 |
Home Depot (The), Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 699 | Monthly | 206,288 | 8,548 |
Honeywell International, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,227 | Monthly | 250,270 | 37,238 |
Long Contracts for Difference at October 31, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Hormel Foods Corp | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 396 | Monthly | $ 18,334 | $ 118 |
HP, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,177 | Monthly | 32,466 | 2,229 |
HP, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 17,094 | Monthly | 472,010 | 9,447 |
International Flavors & Fragrances, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,594 | Monthly | 155,358 | 16,829 |
International Paper Co. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 16,266 | Monthly | 546,554 | 10,264 |
Johnson & Johnson | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 3,264 | Monthly | 567,343 | 23,593 |
Johnson Controls International PLC | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 6,908 | Monthly | 399,302 | 30,821 |
Kellogg Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 5,204 | Monthly | 399,429 | 23,596 |
Kimberly-Clarke Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 3,696 | Monthly | 459,887 | 31,669 |
Kinder Morgan, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 28,778 | Monthly | 521,322 | 24,038 |
Kraft Heinz Foods Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,173 | Monthly | 198,913 | 6,653 |
Kraft Heinz Foods Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 12,016 | Monthly | 461,908 | 35,460 |
Kroger (The) Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 12,417 | Monthly | 586,378 | 20,789 |
Kroger (The) Co. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 9,829 | Monthly | 464,696 | 32,318 |
L Brands, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 15,549 | Monthly | 518,214 | (13,562) |
L Brands, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 8,860 | Monthly | 295,581 | 1,613 |
Laboratory Corporation of America Holdings | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 618 | Monthly | 136,940 | 9,945 |
Lam Research Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 929 | Monthly | 375,946 | 28,537 |
Lamb Weston Holdings, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 220 | Monthly | 18,968 | 163 |
LIncoln National Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 10,576 | Monthly | 569,259 | 53,785 |
LIncoln National Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 8,549 | Monthly | 455,714 | 15,783 |
Live Nation Entertainment, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 5,577 | Monthly | 443,866 | 5,179 |
Lockheed Martin Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,150 | Monthly | 559,238 | 102,331 |
Loews Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,356 | Monthly | 77,253 | 4,571 |
Loews Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 6,645 | Monthly | 378,797 | 7,674 |
Lowe's Cos., Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 2,843 | Monthly | 554,097 | 20,722 |
Macys, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 26,394 | Monthly | 550,081 | 34,814 |
Marathon Petroleum Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,482 | Monthly | 281,601 | 24,888 |
Marathon Petroleum Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 4,931 | Monthly | 560,103 | 10,494 |
Marriott International, Inc., Class A | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 2,542 | Monthly | 406,886 | 12,927 |
Marsh & McLennan Cos., Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | 865 | Monthly | 139,568 | 4,556 |
Martin Marietta Materials, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 451 | Monthly | 151,448 | 7,302 |
Masco Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,253 | Monthly | 57,882 | (3,239) |
Mcdonalds Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,517 | Monthly | 413,079 | 53,474 |
Mcdonalds Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 340 | Monthly | 92,628 | 8,825 |
Mcdonalds Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 371 | Monthly | 101,124 | 6,400 |
McKesson Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 838 | Monthly | 325,846 | 31,247 |
McKesson Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 1,763 | Monthly | 686,272 | 17,901 |
Merck & Co., Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 845 | Monthly | 86,292 | 4,014 |
Long Contracts for Difference at October 31, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
MGM Resorts International | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 28,042 | Monthly | $ 996,578 | $ 92,224 |
Molson Coors Beverage Co., Class B | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,862 | Monthly | 93,721 | 1,763 |
Mosaic (The) Co. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 3,754 | Monthly | 201,718 | 4,671 |
MSCI, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 351 | Monthly | 164,487 | 22,023 |
Murphy Oil USA, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 809 | Monthly | 254,248 | 22,204 |
NetApp, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 6,661 | Monthly | 460,754 | 47,372 |
Newell Brands, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 3,254 | Monthly | 45,191 | (4,628) |
Newmont Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 22,122 | Monthly | 935,938 | 5,044 |
Norfolk Southern Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 712 | Monthly | 162,244 | 6,245 |
Norfolk Southern Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 2,359 | Monthly | 538,632 | 34,046 |
Northrop Grumman Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 353 | Monthly | 193,629 | 25,922 |
Northrop Grumman Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 105 | Monthly | 57,631 | 2,405 |
Nucor Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 3,326 | Monthly | 436,848 | (11,331) |
Nutrien ltd. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,933 | Monthly | 163,087 | 3,595 |
Occidental Petroleum Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,303 | Monthly | 94,482 | 5,479 |
Occidental Petroleum Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 6,506 | Monthly | 472,183 | 11,363 |
Olin Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,196 | Monthly | 169,228 | (866) |
Olin Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 4,752 | Monthly | 251,599 | 8,603 |
Omnicom Group, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,102 | Monthly | 79,920 | 8,554 |
Otis Worldwide Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,883 | Monthly | 414,989 | 34,065 |
Ovintiv, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 6,834 | Monthly | 346,050 | 6,400 |
Owens Corning | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 5,044 | Monthly | 431,697 | (6,677) |
Packaging Corp. Of America | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 8,112 | Monthly | 974,286 | 33,781 |
Parker-Hannifin Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 797 | Monthly | 231,398 | 22,600 |
PBF Energy, Inc., Class A | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 10,068 | Monthly | 445,108 | 27,387 |
Penn National Gaming, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 11,645 | Monthly | 385,352 | 27,152 |
Pfizer, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 20,509 | Monthly | 954,430 | 20,450 |
PTC Therapeutics, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 3,836 | Monthly | 451,617 | 35,833 |
Public Storage | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 1,490 | Monthly | 461,409 | 27,313 |
Qorvo, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,201 | Monthly | 189,190 | 16,165 |
Quest Diagnostics, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 2,994 | Monthly | 429,677 | 46,655 |
Range Resources Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 15,095 | Monthly | 429,807 | 27,137 |
Salesforce.com, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 295 | Monthly | 47,924 | 4,506 |
SBA Communications Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,709 | Monthly | 460,872 | 29,102 |
Seagate Technology, LLC | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 7,507 | Monthly | 372,526 | (33,216) |
Sealed Air Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 1,776 | Monthly | 84,543 | 840 |
Sempra Energy | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 3,171 | Monthly | 478,212 | 18,829 |
Skyworks Solutions, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 498 | Monthly | 42,657 | 2,239 |
SM Energy Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 9,924 | Monthly | 445,712 | 12,033 |
Southwest Airlines Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 15,943 | Monthly | 579,053 | 57,398 |
Southwest Airlines Co. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 7,766 | Monthly | 285,404 | 23,534 |
Southwestern Energy | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 48,536 | Monthly | 336,246 | 13,927 |
Steel Dynamics, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 214 | Monthly | 20,127 | (812) |
Steris, PLC | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,656 | Monthly | 459,834 | 23,856 |
Stryker Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 41 | Monthly | 9,391 | 550 |
Long Contracts for Difference at October 31, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Sysco Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 4,603 | Monthly | $ 398,326 | $ 23,136 |
Tapestry, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 5,784 | Monthly | 183,072 | 1,628 |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 122 | Monthly | 8,325 | 263 |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 7,465 | Monthly | 510,263 | 14,626 |
TC Energy Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 8,933 | Monthly | 391,688 | 33,832 |
Teleflex, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,378 | Monthly | 295,410 | 16,999 |
Thor Industries, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 5,457 | Monthly | 444,183 | 11,379 |
Toll Brothers, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,423 | Monthly | 104,218 | (2,224) |
Toll Brothers, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 1,625 | Monthly | 69,986 | 1,899 |
Transocean Ltd. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 16,497 | Monthly | 60,701 | 564 |
Tyson Foods, Inc., Class A | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | 4,999 | Monthly | 341,244 | 16,596 |
Uber Technologies, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 14,988 | Monthly | 398,024 | (8,392) |
UDR, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 938 | Monthly | 37,240 | 1,071 |
Union Pacific Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 962 | Monthly | 189,396 | 2,858 |
Union Pacific Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 2,804 | Monthly | 552,633 | 10,087 |
United Parcel Service, Inc., Class B | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 1,021 | Monthly | 171,122 | 2,943 |
Valero Energy Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 3,390 | Monthly | 425,413 | 33,868 |
Valero Energy Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 4,499 | Monthly | 564,691 | (16,670) |
Ventas, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 7,710 | Monthly | 301,614 | 15,265 |
Verizon Communications, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 2,529 | Monthly | 92,177 | 1,209 |
VF Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 7,871 | Monthly | 222,219 | (5,080) |
Visa, Inc., Class A | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,534 | Monthly | 317,499 | 33,325 |
Voya Financial, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 4,104 | Monthly | 280,310 | 17,408 |
Voya Financial, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 2,557 | Monthly | 174,751 | 7,344 |
Vulcan Materials Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 488 | Monthly | 79,819 | 3,894 |
Walgreen Boots Alliance, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 1,564 | Monthly | 57,054 | 2,799 |
Walt Disney (The) Co. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 5,345 | Monthly | 570,664 | 26,970 |
Waste Connections, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 2,138 | Monthly | 281,973 | (825) |
Westlake Chemical Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 987 | Monthly | 95,233 | 3,768 |
WestRock Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,065 | Monthly | 104,247 | 7,975 |
WestRock Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 13,391 | Monthly | 455,702 | 22,102 |
WestRock Co. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 13,863 | Monthly | 472,049 | 13,183 |
Weyerhaeuser Co. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 33,303 | Monthly | 1,029,789 | 28,701 |
Whirlpool Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 784 | Monthly | 108,279 | (2,194) |
Williams (The) Cos., Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 1,523 | Monthly | 49,806 | 4,177 |
Williams (The) Cos., Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 9,469 | Monthly | 309,846 | 14,168 |
Wynn Resorts Finance LLC/Wynn Resourts Capital Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 913 | Monthly | 59,968 | 8,356 |
Long Contracts for Difference at October 31, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Xcel Energy, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 375 | Monthly | $ 24,410 | $ 1,317 |
Xerox Holdings Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 12,315 | Monthly | 180,661 | (15,271) |
Yum Brands, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 4,634 | Monthly | 547,552 | 36,296 |
Zoetis , Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 153 | Monthly | 23,069 | 693 |
ZoomInfo Technologies, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | 505 | Monthly | 22,481 | 34 |
Total (Cost $69,388,125) | 1,415,762 | $73,136,865 | $3,748,740 |
Short Contracts for Difference at October 31, 2022: Over the Counter | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
3M Co. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (1,479) | Monthly | $ (186,006) | $ (9,691) |
Advanced Auto Parts, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (233) | Monthly | (44,243) | (2,266) |
Advanced Drainage Systemc, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (585) | Monthly | (67,731) | 5,757 |
Advanced Micro Devices, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (9,347) | Monthly | (561,250) | (12,581) |
AES (The) Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (21,074) | Monthly | (550,521) | (30,415) |
AES (The) Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (17,036) | Monthly | (445,625) | (26,540) |
Air Products & Chemicals, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (807) | Monthly | (201,989) | (10,440) |
Albemarle Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (1,602) | Monthly | (448,248) | (14,795) |
Allstate Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (486) | Monthly | (61,343) | (656) |
Ally Financial, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (24,999) | Monthly | (688,431) | 50,043 |
Altria Group, Inc. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | (1,052) | Monthly | (48,664) | (893) |
Amazon.com, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (2,575) | Monthly | (263,733) | 30,021 |
Amcor, PLC | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (10,641) | Monthly | (123,194) | (2,951) |
American Airlines Group, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (893) | Monthly | (12,648) | (1,700) |
American Homes 4 Rent, L.P. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (605) | Monthly | (19,298) | 14 |
Aptiv PLC | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (4,084) | Monthly | (371,844) | (10,083) |
Ashland Global Holdings, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (721) | Monthly | (75,554) | (7,701) |
Ashland Global Holdings, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (1,478) | Monthly | (155,023) | (5,967) |
Assurant, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (2,870) | Monthly | (389,815) | 42,436 |
Avis Budget Group, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (1,228) | Monthly | (290,198) | (67,488) |
Baker Hughes Co., Class A | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (6,309) | Monthly | (174,314) | (33,939) |
Baker Hughes Co., Class A | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (10,597) | Monthly | (293,047) | (16,147) |
Ball Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (10,521) | Monthly | (518,904) | (8,678) |
Ball Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (8,062) | Monthly | (398,087) | 95 |
Short Contracts for Difference at October 31, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Berkshire Hathaway, Inc., Class B | U.S. Fed Funds | 2/8/2023 | JPMorgan Chase | (102) | Monthly | $ (30,099) | $ 75 |
Berkshire Hathaway, Inc., Class B | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (1,504) | Monthly | (443,503) | (26,774) |
Boeing (The) Co. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (4,456) | Monthly | (634,338) | (27,921) |
Booz Allen Hamilton Holding Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (3,433) | Monthly | (373,391) | (42,347) |
Boston Scientific Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,497) | Monthly | (64,454) | (5,233) |
Boston Scientific Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (11,809) | Monthly | (508,970) | (25,037) |
Broadcom, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (215) | Monthly | (101,003) | (7,555) |
Broadridge Financial Solutions, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (333) | Monthly | (49,913) | (2,364) |
Brookfield Asset Management Inc., Class A | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (7,326) | Monthly | (289,782) | (5,313) |
Brookfield Asset Management Inc., Class A | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (2,579) | Monthly | (102,131) | (3,871) |
Brown & Brown, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (7,513) | Monthly | (441,583) | 27,707 |
Bunge Ltd. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (4,581) | Monthly | (452,037) | (34,662) |
Canadian Natural Resources Ltd. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | (2,972) | Monthly | (178,100) | (3,852) |
Capital One Financial Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (5,207) | Monthly | (551,918) | (43,923) |
Carlisle Companies, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (1,276) | Monthly | (304,617) | 49,039 |
Carnival Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (15,066) | Monthly | (136,468) | (12,626) |
Caterpillar, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (2,629) | Monthly | (568,939) | (66,011) |
Celanese Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (1,379) | Monthly | (132,543) | (2,708) |
Cenovus Energy, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (2,987) | Monthly | (60,331) | (1,468) |
Charles River Laboratories International, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (241) | Monthly | (51,141) | (2,736) |
Charter Communications, Inc., Class A | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (1,358) | Monthly | (499,101) | (41,360) |
Ciena Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (4,371) | Monthly | (209,253) | (27,053) |
Ciena Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (1,787) | Monthly | (85,579) | (7,505) |
Clarivate PLC | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (8,415) | Monthly | (86,793) | (8,954) |
Cleveland Cliffs, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (18,096) | Monthly | (234,681) | 43,092 |
Cleveland Cliffs, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (29,395) | Monthly | (381,739) | 70,415 |
Conagra Brands, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (7,082) | Monthly | (259,584) | (19,575) |
Conagra Brands, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (3,206) | Monthly | (117,572) | (7,767) |
Conagra Brands, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (10,503) | Monthly | (385,367) | (17,762) |
ConocoPhillips | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,674) | Monthly | (462,668) | (38,027) |
ConocoPhillips | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (3,416) | Monthly | (430,515) | (15,499) |
Corteva, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (8,586) | Monthly | (560,293) | (38,607) |
D.R. Horton, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (13,532) | Monthly | (1,040,110) | (77,037) |
Danaher Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (1,475) | Monthly | (371,135) | 78 |
Short Contracts for Difference at October 31, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Darden Restaurants, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (247) | Monthly | $ (35,348) | $ (2,250) |
Deere & Co. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (2,078) | Monthly | (822,325) | (19,535) |
Dell Technologies, Inc., Class C | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (19,007) | Monthly | (728,472) | (73,301) |
Dentsply Sirona, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (14,559) | Monthly | (448,606) | (18,970) |
Devon Energy Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (7,507) | Monthly | (579,944) | (65,189) |
Diamondback Energy, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (1,553) | Monthly | (243,818) | (27,237) |
Diamondback Energy, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (1,348) | Monthly | (211,730) | (5,136) |
Dick's Sporting Goods, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (1,929) | Monthly | (219,393) | 1,130 |
Discovery, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (27,659) | Monthly | (359,567) | (6,327) |
Dollar Tree, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (122) | Monthly | (19,337) | 18 |
Dominion Energy, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (6,749) | Monthly | (472,121) | (26,619) |
Eastman Chemical Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | (2,893) | Monthly | (222,040) | (8,132) |
Ecolab, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (2,003) | Monthly | (314,535) | (17,230) |
Enbridge, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (13,387) | Monthly | (521,055) | (22,107) |
Entegris, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (2,364) | Monthly | (187,403) | (8,992) |
EOG Resources, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (145) | Monthly | (19,792) | (580) |
Equifax, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (241) | Monthly | (40,804) | (1,323) |
Equity Residential | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (5,699) | Monthly | (359,151) | 6,732 |
Equity Residential | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (323) | Monthly | (20,355) | 365 |
Expedia Group, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (530) | Monthly | (49,523) | 1,268 |
Extra Space Storage, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,335) | Monthly | (236,580) | (12,006) |
FedEx Corp. | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | (424) | Monthly | (67,959) | 28 |
FirstEnergy Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (7,271) | Monthly | (274,134) | (5,689) |
FMC Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (1,032) | Monthly | (122,679) | (2,849) |
Ford Motor Co. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (33,178) | Monthly | (443,590) | (59,980) |
Ford Motor Co. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (43,474) | Monthly | (580,836) | (66,539) |
Fortune Brands Home & Security, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (5,692) | Monthly | (342,898) | (16,632) |
Freeport-McMoRan, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (13,522) | Monthly | (428,512) | (8,654) |
Gap (The), Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (41,628) | Monthly | (468,787) | (51,675) |
Gap (The), Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (40,287) | Monthly | (453,933) | (28,502) |
General Mills, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (6,354) | Monthly | (518,235) | (25,037) |
General Motors Co. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (10,790) | Monthly | (422,966) | (76,715) |
Global Payments, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (3,597) | Monthly | (410,886) | 5,143 |
Halliburton Co. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (4,964) | Monthly | (180,753) | (8,308) |
HCA Healthcare, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (2,070) | Monthly | (449,843) | (22,781) |
Hess Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,168) | Monthly | (446,366) | (53,027) |
Hess Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (3,920) | Monthly | (552,894) | (18,755) |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (125) | Monthly | (16,865) | (536) |
Honeywell International, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (1,089) | Monthly | (222,178) | (18,644) |
Host Hotels & Resorts, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (20,730) | Monthly | (391,094) | (30,807) |
Short Contracts for Difference at October 31, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Host Hotels & Resorts, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (19,047) | Monthly | $ (359,533) | $ (18,591) |
Howmet Aerospace Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (5,677) | Monthly | (201,668) | (14,724) |
Howmet Aerospace Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (6,568) | Monthly | (233,437) | (930) |
Illumina, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,959) | Monthly | (446,679) | (56,525) |
Intel Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (6,116) | Monthly | (173,760) | (11,810) |
Intercontinental Exchange, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (177) | Monthly | (16,912) | (408) |
International Business Machines Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (3,295) | Monthly | (455,375) | (50,604) |
International Business Machines Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (3,873) | Monthly | (535,494) | (20,349) |
Iron Mountain, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (8,011) | Monthly | (400,809) | (35,828) |
Iron Mountain, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (11,690) | Monthly | (585,152) | (27,656) |
JM Smucker (The) Co. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (312) | Monthly | (46,971) | (3,300) |
Johnson Controls International PLC | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (897) | Monthly | (51,871) | (2,581) |
Juniper Networks, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (9,175) | Monthly | (280,716) | (12,166) |
Keurig Dr Pepper, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (7,566) | Monthly | (293,643) | (8,088) |
Kinder Morgan, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (2,717) | Monthly | (49,202) | (1,654) |
Kohls Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (10,237) | Monthly | (306,369) | (19,221) |
Kohls Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (14,916) | Monthly | (446,668) | (15,148) |
Lamb Weston Holdings, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (6,824) | Monthly | (587,904) | (10,934) |
Las Vegas Sands Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (9,349) | Monthly | (355,089) | (21,423) |
Las Vegas Sands Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (845) | Monthly | (32,111) | (2,494) |
Lennar Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,529) | Monthly | (123,281) | (3,774) |
Lennar Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (6,273) | Monthly | (506,119) | (39,157) |
Lithia Motors, Inc., Class A | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (2,182) | Monthly | (432,052) | 10,064 |
Lumen Technologies, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (78,048) | Monthly | (574,003) | (37,033) |
Lumen Technologies, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (27,167) | Monthly | (199,920) | (13,336) |
Marathon Petroleum Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (3,522) | Monthly | (107,220) | (3,427) |
Marvell Technology, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (5,605) | Monthly | (222,355) | (7,179) |
Medical Properties Trust, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (38,602) | Monthly | (441,404) | (17,554) |
Metlife, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (7,624) | Monthly | (558,013) | (29,060) |
MGIC Investment Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (5,643) | Monthly | (76,970) | (4,965) |
MGIC Investment Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (7,420) | Monthly | (101,260) | (7,026) |
Micron Technology, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (8,044) | Monthly | (434,436) | (2,393) |
Molina Healthcare, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (1,009) | Monthly | (362,090) | (6,458) |
Mondelez International, Inc., Class A | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (7,519) | Monthly | (462,282) | (30,391) |
Mondelez International, Inc., Class A | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (1,883) | Monthly | (115,740) | (5,133) |
Short Contracts for Difference at October 31, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Moodys Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (358) | Monthly | $ (94,803) | $ (7,100) |
Motorola Solutions, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,802) | Monthly | (449,951) | (46,268) |
Motorola Solutions, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (2,327) | Monthly | (580,944) | (33,983) |
Murphy Oil Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (2,409) | Monthly | (116,745) | (14,724) |
Netflix, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,256) | Monthly | (366,031) | (96,883) |
Netflix, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (1,002) | Monthly | (292,199) | (46,609) |
NextEra Energy, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (7,187) | Monthly | (556,866) | (30,203) |
Nordstrom, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (26,869) | Monthly | (546,102) | (29,411) |
Norwegian Cruise Line Holdings Ltd. | U.S. Fed Funds + (0.57)% | 2/8/2023 | JPMorgan Chase | (3,368) | Monthly | (56,782) | (17,612) |
Norwegian Cruise Line Holdings Ltd. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (10,636) | Monthly | (179,603) | (16,766) |
NRG Energy, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,201) | Monthly | (141,916) | (10,482) |
NRG Energy, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (8,207) | Monthly | (364,281) | (11,462) |
Onemain Holdings, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (15,076) | Monthly | (581,364) | (80,238) |
Oneok, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (3,531) | Monthly | (209,425) | (10,594) |
Oracle Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (1,509) | Monthly | (117,414) | (16,281) |
Oracle Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (906) | Monthly | (70,716) | (4,650) |
Ovintiv, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (4,822) | Monthly | (244,212) | (1,328) |
PayPal Holdings, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (5,053) | Monthly | (421,988) | 5,799 |
Philip Morris International, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (4,910) | Monthly | (450,648) | (30,499) |
Pioneer Natural Resources Co. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (2,106) | Monthly | (539,588) | (25,619) |
Pioneer Natural Resources Co. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (846) | Monthly | (216,876) | 9,175 |
PPG Industries, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (3,472) | Monthly | (396,118) | (2,706) |
Procter & Gamble (The) Co. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (2,782) | Monthly | (374,575) | (24,845) |
Progressive Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (1,530) | Monthly | (196,335) | (11,908) |
Prudential Financial, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (5,297) | Monthly | (557,127) | (49,198) |
PulteGroup, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (9,270) | Monthly | (370,290) | (4,022) |
PulteGroup, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (7,585) | Monthly | (303,255) | (15,329) |
Quanta Services, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,281) | Monthly | (465,466) | (40,253) |
Radian Group, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (10,661) | Monthly | (222,217) | (16,566) |
Raymond James Financial, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (3,290) | Monthly | (388,428) | (53,728) |
Raytheon Technologies Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | (1,228) | Monthly | (116,439) | (3) |
Ross Stores, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (4,845) | Monthly | (463,618) | (55,621) |
Royal Caribbean Cruises Ltd. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (14,405) | Monthly | (768,516) | (92,346) |
S&P Global, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (40) | Monthly | (12,834) | (1,045) |
Schlumberger Ltd. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (8,945) | Monthly | (464,893) | (91,350) |
Semiconductor Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (199) | Monthly | (12,206) | 799 |
Sherwin-Williams (The) Co. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (8) | Monthly | (1,799) | (126) |
Short Contracts for Difference at October 31, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Sherwin-Williams (The) Co. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (2,513) | Monthly | $ (565,373) | $ (31,285) |
Simon Property Group, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (5,270) | Monthly | (573,907) | (51,386) |
Simon Property Group, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (2,560) | Monthly | (278,941) | (13,093) |
Southern (The) Co. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (5,101) | Monthly | (333,567) | (8,939) |
Southern (The) Co. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (2,057) | Monthly | (134,587) | (2,363) |
Southern Copper Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (1,251) | Monthly | (58,746) | (1,425) |
Stanley Black & Decker, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (2,239) | Monthly | (175,699) | (5,669) |
Stellantis N.V. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (7,560) | Monthly | (102,150) | (5,751) |
Sun Communities, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (99) | Monthly | (13,347) | (1,628) |
Synchrony Financial | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (12,053) | Monthly | (428,386) | (34,126) |
Target Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (5,094) | Monthly | (836,689) | (65,933) |
TC Energy Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (2,058) | Monthly | (90,366) | (3,004) |
Teck Resources Ltd., Class B | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (28,269) | Monthly | (859,257) | 41,676 |
Teck Resources Ltd., Class B | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (376) | Monthly | (11,435) | 909 |
Teledyne Technologies, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (1,168) | Monthly | (464,522) | (65,825) |
Tenet Healthcare Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,877) | Monthly | (83,166) | 11,083 |
Tenet Healthcare Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (7,038) | Monthly | (312,160) | (23,966) |
Tesla, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (2,551) | Monthly | (580,007) | (20,445) |
Thermo Fisher Scientific, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (451) | Monthly | (231,785) | (5,920) |
T-Mobile US, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,795) | Monthly | (271,727) | (26,088) |
T-Mobile US, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (1,898) | Monthly | (287,588) | (23,159) |
Tractor Supply Company | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (161) | Monthly | (35,375) | (1,914) |
Trane Technologies PLC | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,730) | Monthly | (276,160) | (21,314) |
TransDigm, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (553) | Monthly | (317,993) | (29,001) |
TransDigm, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (406) | Monthly | (233,560) | (20,162) |
Twilio Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (5,894) | Monthly | (438,000) | (34,909) |
United Airlines Holdings, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (13,319) | Monthly | (573,398) | (92,582) |
United Parcel Service, Inc., Class B | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,118) | Monthly | (187,383) | (9,162) |
United Rentals North America, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (173) | Monthly | (54,551) | (6,499) |
United Rentals North America, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (1,126) | Monthly | (355,230) | (31,122) |
United Rentals North America, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (67) | Monthly | (21,148) | (1,669) |
United States Steel Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (25,759) | Monthly | (523,773) | (22,760) |
United States Steel Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (4,098) | Monthly | (83,354) | (2,828) |
UnitedHealth Group, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (167) | Monthly | (92,596) | (9,128) |
UnitedHealth Group, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (190) | Monthly | (105,376) | (6,219) |
UnitedHealth Group, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (98) | Monthly | (53,870) | (793) |
Short Contracts for Difference at October 31, 2022: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Universal Health Services, Inc., Class B | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (2,221) | Monthly | $ (257,291) | $ (20,471) |
Verizon Communications, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (8,217) | Monthly | (306,808) | (1,652) |
ViacomCBS, Inc., Class B | U.S. Fed Funds | 2/8/2023 | JPMorgan Chase | (3,786) | Monthly | (69,359) | (289) |
ViacomCBS, Inc., Class B | U.S. Fed Funds + 0.20% | 1/24/2024 | Barclays | (22,663) | Monthly | (415,186) | 18,464 |
Viatris, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (19,023) | Monthly | (192,659) | (11,370) |
VICI Properties, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (14,384) | Monthly | (460,473) | (30,535) |
Vistra Operations Co. LLC | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (30,130) | Monthly | (691,514) | (27,750) |
Walmart, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (2,231) | Monthly | (317,453) | (24,367) |
Walt Disney (The) Co. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (1,496) | Monthly | (159,204) | (13,598) |
Western Digital Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (12,670) | Monthly | (435,468) | 6,969 |
Whirlpool Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (1,585) | Monthly | (219,060) | (8,414) |
Willis Towers Watson, PLC | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (90) | Monthly | (19,639) | 124 |
Workday, Inc., Class A | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (407) | Monthly | (63,405) | (3,189) |
Zimmer Biomet Holdings, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | (270) | Monthly | (30,604) | (1,166) |
Total (Cost $62,267,071) | (1,469,128) | $(65,869,041) | $(3,601,970) |
Interest Rate Swap Contracts outstanding at October 31, 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) | |
8.72% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 3/8/2028 | MXN | 6,400,000 | $ 5,407 | $ — | $ 5,407 |
8.91% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 3/8/2028 | MXN | 6,960,000 | 3,362 | — | 3,362 |
9.00% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 3/8/2028 | MXN | 7,220,000 | 2,231 | — | 2,231 |
9.07% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 3/8/2028 | MXN | 4,710,000 | 863 | — | 863 |
1-Day CHF SARON (Annually) | 2.06% (Annually) | 3/15/2028 | CHF | 640,000 | 10,034 | — | 10,034 |
1-Day CHF SARON (Annually) | 1.56% (Annually) | 3/15/2028 | CHF | 230,000 | (1,898) | 645 | (2,543) |
1-Day CHF SARON (Annually) | 2.10% (Annually) | 3/15/2028 | CHF | 210,000 | 3,649 | — | 3,649 |
1-Day GBP Sterling Overnight Index Average Rate (Annually) | 5.26% (Annually) | 3/15/2028 | GBP | 300,000 | 14,663 | — | 14,663 |
1-Day GBP Sterling Overnight Index Average Rate (Annually) | 4.50% (Annually) | 3/15/2028 | GBP | 290,000 | 3,245 | — | 3,245 |
1-Day GBP Sterling Overnight Index Average Rate (Annually) | 5.31% (Annually) | 3/15/2028 | GBP | 190,000 | 9,769 | — | 9,769 |
1-Day GBP Sterling Overnight Index Average Rate (Annually) | 4.68% (Annually) | 3/15/2028 | GBP | 30,000 | 604 | — | 604 |
Interest Rate Swap Contracts outstanding at October 31, 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-Day USD SOFR (Annually) | 3.35% (Annually) | 3/15/2028 | USD | 350,000 | $ (9,584) | $ — | $ (9,584) |
1-Day USD SOFR (Annually) | 3.30% (Annually) | 3/15/2028 | USD | 340,000 | (10,002) | — | (10,002) |
1-Day USD SOFR (Annually) | 3.73% (Annually) | 3/15/2028 | USD | 260,000 | (2,703) | — | (2,703) |
1-Day USD SOFR (Annually) | 4.03% (Annually) | 3/15/2028 | USD | 260,000 | 726 | — | 726 |
1-Day USD SOFR (Annually) | 3.79% (Annually) | 3/15/2028 | USD | 210,000 | (1,636) | — | (1,636) |
2.52% (Quarterly) | 1-Day THB THBRO (Quarterly) | 3/15/2028 | THB | 3,920,000 | 2,044 | — | 2,044 |
2.60% (Quarterly) | 1-Day THB THBRO (Quarterly) | 3/15/2028 | THB | 2,390,000 | 1,022 | — | 1,022 |
2.80% (Quarterly) | 1-Day THB THBRO (Quarterly) | 3/15/2028 | THB | 2,520,000 | 425 | — | 425 |
3.01% (Semi-Annually) | 1-Day SGD SORA (Semi-Annually) | 3/15/2028 | SGD | 1,705,000 | 37,164 | — | 37,164 |
3.02% (Semi-Annually) | 1-Day SGD SORA (Semi-Annually) | 3/15/2028 | SGD | 155,000 | 3,329 | — | 3,329 |
3.11% (Quarterly) | 3M SEK STBOR (Quarterly) | 3/15/2028 | SEK | 3,330,000 | 1,583 | 222 | 1,361 |
3.23% (Quarterly) | 3M SEK STBOR (Quarterly) | 3/15/2028 | SEK | 2,110,000 | (450) | — | (450) |
3.24% (Semi-Annually) | 1-Day SGD SORA (Semi-Annually) | 3/15/2028 | SGD | 320,000 | 4,622 | — | 4,622 |
3.29% (Annually) | 1-Day USD SOFR (Annually) | 3/15/2028 | USD | 320,000 | 9,668 | 8,229 | 1,439 |
3.29% (Quarterly) | 3M SEK STBOR (Quarterly) | 3/15/2028 | SEK | 2,600,000 | (619) | — | (619) |
3.31% (Quarterly) | 3M SEK STBOR (Quarterly) | 3/15/2028 | SEK | 2,910,000 | (932) | — | (932) |
3.34% (Quarterly) | 3M SEK STBOR (Quarterly) | 3/15/2028 | SEK | 2,380,000 | (850) | — | (850) |
3.34% (Semi-Annually) | 6M NOK NIBOR (Semi-Annually) | 3/15/2028 | NOK | 1,880,000 | 3,587 | — | 3,587 |
3.38% (Quarterly) | 3M SEK STBOR (Quarterly) | 3/15/2028 | SEK | 4,420,000 | (2,809) | — | (2,809) |
3.40% (Quarterly) | 3M SEK STBOR (Quarterly) | 3/15/2028 | SEK | 2,410,000 | (1,707) | — | (1,707) |
3.44% (Quarterly) | 3M SEK STBOR (Quarterly) | 3/15/2028 | SEK | 2,910,000 | (2,510) | — | (2,510) |
3.51% (Semi-Annually) | 1-Day SGD SORA (Semi-Annually) | 3/15/2028 | SGD | 260,000 | 1,535 | — | 1,535 |
3.53% (Semi-Annually) | 1-Day SGD SORA (Semi-Annually) | 3/15/2028 | SGD | 360,000 | 1,850 | — | 1,850 |
3.57% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 3/15/2028 | CAD | 270,000 | 1,049 | (82) | 1,131 |
3.60% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 3/15/2028 | CAD | 1,270,000 | 3,927 | (3,136) | 7,063 |
3.83% (Semi-Annually) | 6M NOK NIBOR (Semi-Annually) | 3/15/2028 | NOK | 880,000 | (165) | 328 | (493) |
3.93% (Semi-Annually) | 6M NOK NIBOR (Semi-Annually) | 3/15/2028 | NOK | 800,000 | (501) | — | (501) |
3M CAD CIDOR (Semi-Annually) | 3M CAD CIDOR% (Semi-Annually) | 3/15/2028 | CAD | 310,000 | 1,148 | 123 | 1,025 |
3M KRW KSDA (Quarterly) | 4.23% (Quarterly) | 3/15/2028 | KRW | 370,800,000 | 1,614 | — | 1,614 |
3M KRW KSDA (Quarterly) | 4.18% (Quarterly) | 3/15/2028 | KRW | 332,530,000 | 891 | — | 891 |
3M KRW KSDA (Quarterly) | 4.43% (Quarterly) | 3/15/2028 | KRW | 189,119,000 | 1,983 | — | 1,983 |
3M KRW KSDA (Quarterly) | 4.38% (Quarterly) | 3/15/2028 | KRW | 81,051,000 | 734 | — | 734 |
3M KRW KWCDC (Quarterly) | 4.15% (Quarterly) | 3/15/2028 | KRW | 368,830,000 | 636 | — | 636 |
3M KRW KWCDC (Quarterly) | 4.24% (Quarterly) | 3/15/2028 | KRW | 345,870,000 | 1,577 | — | 1,577 |
3M KRW KWCDC (Quarterly) | 4.32% (Quarterly) | 3/15/2028 | KRW | 150,975,000 | 1,078 | — | 1,078 |
3M KRW KWCDC (Quarterly) | 4.35% (Quarterly) | 3/15/2028 | KRW | 150,975,000 | 1,232 | — | 1,232 |
3M KRW KWCDC (Quarterly) | 4.23% (Quarterly) | 3/15/2028 | KRW | 65,390,000 | 273 | — | 273 |
3M ZAR JIBAR (Quarterly) | 8.73% (Quarterly) | 3/15/2028 | ZAR | 4,430,000 | (279) | — | (279) |
3M ZAR JIBAR (Quarterly) | 8.65% (Quarterly) | 3/15/2028 | ZAR | 3,990,000 | (988) | — | (988) |
3M ZAR JIBAR (Quarterly) | 8.57% (Quarterly) | 3/15/2028 | ZAR | 3,390,000 | (1,458) | — | (1,458) |
4.31% (Quarterly) | 3M HKD HIBOR (Quarterly) | 3/15/2028 | HKD | 890,000 | 1,229 | — | 1,229 |
4.34% (Quarterly) | 3M HKD HIBOR (Quarterly) | 3/15/2028 | HKD | 890,000 | 1,078 | — | 1,078 |
4.46% (Quarterly) | 3M HKD HIBOR (Quarterly) | 3/15/2028 | HKD | 1,620,000 | 864 | — | 864 |
4.48% (Quarterly) | 3M HKD HIBOR (Quarterly) | 3/15/2028 | HKD | 1,810,000 | 761 | — | 761 |
4.96% (Semi-Annually) | 6M CZK PRBOR (Semi-Annually) | 3/15/2028 | CZK | 3,380,000 | 4,868 | — | 4,868 |
Interest Rate Swap Contracts outstanding at October 31, 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) | |
6M ASX BBSW (Semi-Annually) | 4.42% (Semi-Annually) | 3/15/2028 | AUD | 254,304 | $ 313 | $ — | $ 313 |
6M ASX BBSW (Semi-Annually) | 4.28% (Semi-Annually) | 3/15/2028 | AUD | 245,000 | (722) | — | (722) |
6M ASX BBSW (Semi-Annually) | 4.26% (Semi-Annually) | 3/15/2028 | AUD | 245,000 | (789) | — | (789) |
6M ASX BBSW (Semi-Annually) | 4.39% (Semi-Annually) | 3/15/2028 | AUD | 155,000 | 68 | — | 68 |
6M ASX BBSW (Semi-Annually) | 4.50% (Semi-Annually) | 3/15/2028 | AUD | 116,850 | 398 | — | 398 |
6M ASX BBSW (Semi-Annually) | 4.44% (Semi-Annually) | 3/15/2028 | AUD | 99,305 | 175 | — | 175 |
6M ASX BBSW (Semi-Annually) | 4.43% (Semi-Annually) | 3/15/2028 | AUD | 94,541 | 144 | — | 144 |
6M ASX BBSW (Semi-Annually) | 4.03% (Semi-Annually) | 3/15/2028 | AUD | 60,000 | (592) | — | (592) |
6M EUR EURIBOR (Semi-Annually) | 2.44% (Annually) | 3/15/2028 | EUR | 760,000 | (19,513) | 2,029 | (21,542) |
6M EUR EURIBOR (Semi-Annually) | 2.90% (Annually) | 3/15/2028 | EUR | 240,000 | (1,090) | — | (1,090) |
6M EUR EURIBOR (Semi-Annually) | 3.23% (Annually) | 3/15/2028 | EUR | 200,000 | 2,006 | — | 2,006 |
7.54% (Semi-Annually) | 6M PLN WIBOR (Semi-Annually) | 3/15/2028 | PLN | 400,000 | (90) | — | (90) |
7.63% (Semi-Annually) | 6M PLN WIBOR (Semi-Annually) | 3/15/2028 | PLN | 850,000 | (826) | — | (826) |
Total | $ 86,715 | $ 8,358 | $ 78,357 |
Credit Default Swap Contracts outstanding - Sell Protection as of October 31, 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 39 (Pay Quarterly) | 0.90% | 1.00% | 12/20/2027 | USD | 4,200,000 | $23,686 | $6,141 | $17,545 |
Total | $23,686 | $6,141 | $17,545 |
(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 October 31, 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 EUR CPTFE (At Maturity) | 2/15/2032 | EUR | 350,000 | $35,201 | $495 | $34,706 |
2.74% (At Maturity) | 1-Day EUR CPTFE (At Maturity) | 6/15/2032 | EUR | 390,000 | 1,187 | — | 1,187 |
Total | $36,388 | $495 | $35,893 |
Morningstar Alternatives Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 3,365,725 | $ — | $ 3,365,725 |
Common Stocks | 68,009,305 | 8,890,246 | — | 76,899,551 |
Convertible Bonds | — | 89,693,416 | — | 89,693,416 |
Convertible Preferred Stocks | 4,284,350 | 1,959,638 | — | 6,243,988 |
Corporate Bonds | — | 46,415,180 | — | 46,415,180 |
Foreign Issuer Bonds | — | 9,332,631 | — | 9,332,631 |
Mortgage-Backed Securities | — | 71,990,260 | — | 71,990,260 |
Preferred Stocks | 3,935,293 | — | — | 3,935,293 |
Rights | — | — | 15,200 | 15,200 |
Warrants | 15 | — | — | 15 |
Investment Companies | 1,918,097 | — | — | 1,918,097 |
Short-Term Investments | 24,559,555 | 29,323,644 | — | 53,883,199 |
Purchased Options | 1,074,219 | — | — | 1,074,219 |
Total Assets – Investments at value | $103,780,834 | $260,970,740 | $15,200 | $364,766,774 |
Liabilities: | ||||
Common Stocks | $ (26,598,214) | $ — | $ — | $ (26,598,214) |
Mortgage-Backed Securities | — | (5,406,430) | — | (5,406,430) |
Investment Companies | (290,992) | — | — | (290,992) |
Total Liabilities – Investments at value | $ (26,889,206) | $ (5,406,430) | $ — | $ (32,295,636) |
Net Investments | $ 76,891,628 | $255,564,310 | $15,200 | $332,471,138 |
Morningstar Alternatives Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Futures Contracts | $ 942,320 | $ — | $— | $ 942,320 |
Forward Foreign Currency Exchange Contracts | — | 184,753 | — | 184,753 |
Contracts for Difference | — | 73,136,865 | — | 73,136,865 |
Swap Agreements | — | 209,502 | — | 209,502 |
Total Assets - Derivative Financial Instruments | $ 942,320 | $ 73,531,120 | $— | $ 74,473,440 |
Liabilities: | ||||
Futures Contracts | $ (61,105) | $ — | $— | $ (61,105) |
Forward Foreign Currency Exchange Contracts | — | (53,425) | — | (53,425) |
Written Options | (398,574) | — | — | (398,574) |
Contracts for Difference | — | (65,869,041) | — | (65,869,041) |
Swap Agreements | — | (62,713) | — | (62,713) |
Total Liabilities - Derivative Financial Instruments | $(459,679) | $(65,985,179) | $— | $(66,444,858) |
Net Derivative Financial Instruments | $ 482,641 | $ 7,545,941 | $— | $ 8,028,582 |
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* | $1,389,337,100 | $784,884,437 | $210,073,821 | $733,191,810 | $324,775,544 |
Foreign currencies, at value | 72,743 | 349,725 | 160,133 | 1,703,885 | — |
Due from broker | — | — | 1,484,069 | 15,394,467 | — |
Receivable from Adviser | 44,778 | 64,266 | — | 148,669 | 30,148 |
Receivable for: | |||||
Dividends and interest | 992,076 | 1,641,062 | 1,545,932 | 3,786,056 | 4,127,779 |
Securities lending income | 7,651 | 8,153 | 3,634 | 4,938 | — |
Foreign tax reclaims | 128,487 | 1,189,309 | 428,260 | 20,198 | — |
Investments sold | 5,021,312 | 816,510 | 557,290 | 143,066,891 | — |
Fund shares sold | 336,043 | 311,547 | 39,013 | 210,923 | 95,699 |
Variation margin on futures contracts | — | — | — | 381,696 | — |
Variation margin on exchange traded swap agreements | — | — | 33,617 | 353,471 | — |
Unrealized appreciation on OTC swap agreements and contracts for differences | — | — | — | 27,547 | — |
Unrealized appreciation on forward foreign currency exchange contracts | — | — | 127,211 | 504,137 | — |
Upfront premiums paid on swap agreements | — | — | 37,603 | 833,015 | — |
Prepaid expenses and other assets | 34,808 | 34,978 | 18,555 | 34,158 | 20,574 |
Total assets | 1,395,974,998 | 789,299,987 | 214,509,138 | 899,661,861 | 329,049,744 |
Liabilities | |||||
Investments sold short, at value | — | — | — | 19,695,136 | — |
Written options, at value | — | — | — | 1,944,763 | — |
Due to broker | — | — | 341,931 | 10,319,774 | — |
Unrealized depreciation on OTC swap agreements and contracts for differences | — | — | — | 36,361 | — |
Unrealized depreciation on forward foreign currency exchange contracts | — | — | 56,372 | 445,738 | — |
Payable for: | |||||
Dividends on short sales | — | — | — | 57,485 | — |
Investments purchased on a delayed-delivery basis | — | — | 450,130 | 135,887,601 | 902,950 |
Investments purchased | 6,232,427 | 708,179 | 1,162,952 | 1,613,889 | — |
Fund shares redeemed | 1,194,875 | 500,625 | 319,017 | 521,481 | 289,164 |
Variation margin on futures contracts | — | — | 217,106 | 1,069,936 | — |
Variation margin on exchange traded swap agreements | — | — | — | 247,764 | — |
Deferred capital gains tax | — | 142,997 | 24,963 | — | — |
Collateral for securities lending | 14,851,612 | 27,507,191 | 5,391,198 | 8,699,041 | — |
Morningstar U.S. Equity Fund | Morningstar International Equity Fund | Morningstar Global Income Fund | Morningstar Total Return Bond Fund | Morningstar Municipal Bond Fund | |
Upfront premiums received from swap agreements | — | — | 86 | 210,213 | — |
Accrued management fees | 753,167 | 531,261 | 60,988 | 272,585 | 124,250 |
Accrued trustee fees | 33,854 | 19,442 | 5,128 | 18,237 | 8,157 |
Accrued expenses | 409,469 | 338,308 | 126,182 | 394,875 | 136,992 |
Total liabilities | 23,475,404 | 29,748,003 | 8,156,053 | 181,434,879 | 1,461,513 |
Net assets | $1,372,499,594 | $ 759,551,984 | $206,353,085 | $ 718,226,982 | $327,588,231 |
Analysis of net assets: | |||||
Paid in capital | $1,213,044,247 | $ 905,728,164 | $237,910,414 | $ 896,004,554 | $364,583,754 |
Distributable earnings (loss) | 159,455,347 | (146,176,180) | (31,557,329) | (177,777,572) | (36,995,523) |
Net assets | $1,372,499,594 | $ 759,551,984 | $206,353,085 | $ 718,226,982 | $327,588,231 |
Shares outstanding: | 126,742,119 | 92,136,440 | 23,417,799 | 84,079,388 | 34,642,050 |
Net asset value, offering price and redemption price per share: | $ 10.83 | $ 8.24 | $ 8.81 | $ 8.54 | $ 9.46 |
Investments in non-affiliates, at cost | $1,324,199,544 | $ 941,587,961 | $231,430,169 | $ 840,625,912 | $359,031,245 |
Foreign currencies, at cost | $ 72,864 | $ 358,233 | $ 161,857 | $ 1,708,211 | $ — |
Investments sold short proceeds | $ — | $ — | $ — | $ 19,785,272 | $ — |
Written option premiums | $ — | $ — | $ — | $ 1,723,686 | $ — |
*Market value of securities on loan | $ 50,373,307 | $ 34,056,231 | $ 5,953,717 | $ 11,234,902 | $ — |
Morningstar Defensive Bond Fund | Morningstar Multisector Bond Fund | Morningstar Global Opportunistic Equity Fund | Morningstar Alternatives Fund | |
Assets | ||||
Investments in non-affiliates, at value* | $145,994,279 | $154,165,835 | $197,140,618 | $364,766,774 |
Cash | — | — | — | 17,909,909 |
Foreign currencies, at value | — | 235,407 | 2,737 | 780,848 |
Due from broker | — | 721,048 | — | 11,373,620 |
Receivable from Adviser | 29,851 | 48,124 | — | 54,968 |
Receivable for: | ||||
Dividends and interest | 345,780 | 2,130,893 | 188,384 | 1,489,255 |
Securities lending income | 3,124 | — | 11,452 | — |
Foreign tax reclaims | — | 79,994 | 30,864 | 5,531 |
Investments sold | — | 1,277,591 | 1,670,949 | 25,391,052 |
Fund shares sold | 67,677 | 41,794 | 68,650 | 198,628 |
Variation margin on futures contracts | — | 20,857 | — | 350,071 |
Variation margin on exchange traded swap agreements | — | 16,347 | — | 22,637 |
Unrealized appreciation on OTC swap agreements and contracts for differences | — | — | — | 4,450,569 |
Unrealized appreciation on forward foreign currency exchange contracts | — | 146,118 | — | 184,753 |
Upfront premiums paid on swap agreements | — | — | — | 18,213 |
Prepaid expenses and other assets | 25,665 | 19,700 | 19,892 | 25,727 |
Total assets | 146,466,376 | 158,903,708 | 199,133,546 | 427,022,555 |
Liabilities | ||||
Investments sold short, at value | — | — | — | 32,295,636 |
Written options, at value | — | — | — | 398,574 |
Due to broker | — | 614,755 | — | 1,849,327 |
Unrealized depreciation on OTC swap agreements and contracts for differences | — | — | — | 4,303,799 |
Unrealized depreciation on forward foreign currency exchange contracts | — | 121,109 | — | 53,425 |
Payable for: | ||||
Dividends on short sales | — | — | — | 28,951 |
Investments purchased on a delayed-delivery basis | — | — | — | 43,888,385 |
Investments purchased | — | 2,156,202 | 1,400,905 | 691,410 |
Fund shares redeemed | 133,975 | 126,875 | 109,429 | 330,786 |
Variation margin on futures contracts | — | 11,281 | — | 179,697 |
Variation margin on exchange traded swap agreements | — | — | — | 27,215 |
Collateral for securities lending | 14,335,971 | — | 13,899,708 | — |
Upfront premiums received from swap agreements | — | 3,710 | — | 3,219 |
Accrued management fees | 40,596 | 80,549 | 71,637 | 249,018 |
Accrued trustee fees | 3,019 | 3,645 | 4,619 | 8,874 |
Accrued expenses | 85,693 | 119,439 | 107,127 | 264,069 |
Total liabilities | 14,599,254 | 3,237,565 | 15,593,425 | 84,572,385 |
Net assets | $131,867,122 | $155,666,143 | $183,540,121 | $342,450,170 |
Analysis of net assets: | ||||
Paid in capital | $144,374,295 | $197,742,004 | $200,532,159 | $355,094,876 |
Morningstar Defensive Bond Fund | Morningstar Multisector Bond Fund | Morningstar Global Opportunistic Equity Fund | Morningstar Alternatives Fund | |
Distributable earnings (loss) | (12,507,173) | (42,075,861) | (16,992,038) | (12,644,706) |
Net assets | $131,867,122 | $155,666,143 | $183,540,121 | $342,450,170 |
Shares outstanding: | 14,134,880 | 18,933,472 | 21,065,690 | 34,207,543 |
Net asset value, offering price and redemption price per share: | $ 9.33 | $ 8.22 | $ 8.71 | $ 10.01 |
Investments in non-affiliates, at cost | $156,389,009 | $177,506,329 | $217,421,500 | $385,859,299 |
Foreign currencies, at cost | $ — | $ 237,255 | $ 3,061 | $ 783,021 |
Investments sold short proceeds | $ — | $ — | $ — | $ 35,081,365 |
Written option premiums | $ — | $ — | $ — | $ 236,334 |
*Market value of securities on loan | $ 15,360,669 | $ — | $ 16,055,776 | $ — |
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) | $ 13,082,051 | $ 14,944,578 | $ 4,653,519 | $ 971,832 | $ 83,917 |
Non-cash dividend income | — | 1,184,572 | — | — | — |
Interest income (net of foreign withholding taxes) | 16,050 | — | 2,892,363 | 11,152,072 | 4,877,246 |
Securities lending income, net | 52,434 | 32,472 | 29,672 | 23,701 | — |
Total investment income | 13,150,535 | 16,161,622 | 7,575,554 | 12,147,605 | 4,961,163 |
Expenses | |||||
Management fees (Note 5) | 4,779,198 | 3,510,345 | 395,806 | 1,747,269 | 795,003 |
Administration and custody fees | 356,861 | 397,156 | 130,831 | 494,696 | 96,830 |
Transfer agent fees | 5,112 | 4,986 | 4,987 | 4,991 | 4,973 |
Sub-accounting fees | 708,668 | 410,642 | 110,486 | 394,668 | 177,960 |
Audit and tax fees | 32,607 | 38,324 | 30,231 | 41,470 | 32,556 |
Legal fees | 115,321 | 69,448 | 24,752 | 64,831 | 30,121 |
Trustees’ fees | 116,509 | 69,627 | 18,527 | 64,665 | 29,384 |
Registration and filing fees | 21,852 | 20,849 | 13,143 | 23,989 | 14,737 |
Printing and postage fees | 43,647 | 49,372 | 46,965 | 38,737 | 19,552 |
Dividend and interest on securities sold short | — | — | — | 29,634 | — |
Other expenses | 74,501 | 49,154 | 20,285 | 40,475 | 25,871 |
Total expenses | 6,254,276 | 4,619,903 | 796,013 | 2,945,425 | 1,226,987 |
Less waiver of management fees (Note 5) | (279,410) | (443,498) | — | (810,921) | (171,966) |
Net expenses | 5,974,866 | 4,176,405 | 796,013 | 2,134,504 | 1,055,021 |
Net investment income | 7,175,669 | 11,985,217 | 6,779,541 | 10,013,101 | 3,906,142 |
Realized and unrealized gains (losses) | |||||
Net realized gains (losses) on: | |||||
Investments | 10,107,716 | (9,507,337) | (9,732,154) | (39,401,426) | (2,097,568) |
Investments sold short | — | — | — | 3,446,456 | — |
Swap agreements | — | — | (1,877) | (1,912,703) | — |
Futures contracts | — | — | (425,006) | (13,470,258) | — |
Written options contracts | — | — | 15,504 | 3,294,539 | — |
Forward foreign currency exchange contracts | — | 252,832 | (327,474) | 410,315 | — |
Foreign currency transactions | (12,590) | (368,502) | (300,777) | (118,193) | — |
Net realized gains (losses) | 10,095,126 | (9,623,007) | (10,771,784) | (47,751,270) | (2,097,568) |
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | (94,669,678) | (125,868,437) 1 | (13,117,731) 1 | (34,019,529) | (15,085,409) |
Investments sold short | — | — | — | (1,213,521) | — |
Swap agreements | — | — | 333,996 | 6,732,846 | — |
Futures contracts | — | — | (1,898,955) | 1,007,508 | — |
Written options contracts | — | — | 2,581 | (359,163) | — |
Forward foreign currency exchange contracts | — | (190,134) | 197,498 | (130,846) | — |
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 | (1,087) | 64,599 | 14,462 | 37,396 | — |
Net change in unrealized depreciation | (94,670,765) | (125,993,972) | (14,468,149) | (27,945,309) | (15,085,409) |
Net realized and unrealized losses | (84,575,639) | (135,616,979) | (25,239,933) | (75,696,579) | (17,182,977) |
Net decrease in net assets resulting from operations | $(77,399,970) | $(123,631,762) | $(18,460,392) | $(65,683,478) | $(13,276,835) |
Foreign withholding taxes on dividend income | $ 106,459 | $ 1,418,130 | $ 242,159 | $ — | $ — |
Foreign withholding taxes on interest income | $ — | $ — | $ — | $ 11,501 | $ — |
1 | Net of change in deferred foreign capital gains tax expense of $161,999 and $24,963, 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) | $ 420,741 | $ 51,639 | $ 2,397,444 | $ 1,244,800 |
Interest income (net of foreign withholding taxes) | 1,752,592 | 4,680,372 | — | 3,730,236 |
Securities lending income, net | 28,700 | — | 88,258 | — |
Total investment income | 2,202,033 | 4,732,011 | 2,485,702 | 4,975,036 |
Expenses | ||||
Management fees (Note 5) | 251,427 | 505,698 | 454,360 | 1,528,501 |
Administration and custody fees | 65,019 | 118,668 | 98,325 | 404,264 |
Transfer agent fees | 4,990 | 4,995 | 4,989 | 4,990 |
Sub-accounting fees | 65,325 | 78,098 | 96,487 | 184,594 |
Audit and tax fees | 34,221 | 27,342 | 22,725 | 38,628 |
Legal fees | 12,006 | 16,352 | 16,004 | 27,954 |
Trustees’ fees | 11,432 | 13,683 | 15,775 | 28,832 |
Registration and filing fees | 14,132 | 13,298 | 14,160 | 16,616 |
Printing and postage fees | 24,580 | 45,962 | 69,120 | 38,095 |
Dividend and interest on securities sold short | — | — | — | 278,168 |
Other expenses | 16,150 | 23,132 | 15,058 | 20,710 |
Total expenses | 499,282 | 847,228 | 807,003 | 2,571,352 |
Less waiver of management fees (Note 5) | (164,045) | (188,622) | — | (205,293) |
Net expenses | 335,237 | 658,606 | 807,003 | 2,366,059 |
Net investment income | 1,866,796 | 4,073,405 | 1,678,699 | 2,608,977 |
Realized and unrealized gains (losses) | ||||
Net realized gains (losses) on: | ||||
Investments | (1,131,295) | (9,865,252) | 2,094,100 | (551,019) |
Investments sold short | — | — | — | — |
Swap agreements | — | 49,003 | — | 2,179,193 |
Futures contracts | — | (64,847) | — | 2,180,102 |
Written options contracts | — | — | — | 237,357 |
Forward foreign currency exchange contracts | — | (30,059) | — | 978,243 |
Foreign currency transactions | — | (77,603) | (62,986) | (158,418) |
Net realized gains (losses) | (1,131,295) | (9,988,758) | 2,031,114 | 4,865,458 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (4,282,681) | (8,464,413) | (21,692,737) | (9,888,654) |
Investments sold short | — | — | — | (58,811) |
Swap agreements | — | 12,531 | — | (567,699) |
Futures contracts | — | 158,195 | — | (659,849) |
Written options contracts | — | — | — | (254,187) |
Forward foreign currency exchange contracts | — | 35,433 | — | (185,187) |
Foreign currency transactions | — | (28,785) | 14,070 | 3,091 |
Net change in unrealized depreciation | (4,282,681) | (8,287,039) | (21,678,667) | (11,611,296) |
Net realized and unrealized losses | (5,413,976) | (18,275,797) | (19,647,553) | (6,745,838) |
Net decrease in net assets resulting from operations | $(3,547,180) | $(14,202,392) | $(17,968,854) | $ (4,136,861) |
Foreign withholding taxes on dividend income | $ — | $ — | $ 97,141 | $ 8,308 |
Foreign withholding taxes on interest income | $ — | $ 23,851 | $ — | $ — |
Morningstar U.S. Equity Fund | Morningstar International Equity Fund | |||
Six Months Ended October 31, 2022 (unaudited) | Year Ended April 30, 2022 | Six Months Ended October 31, 2022 (unaudited) | Year Ended April 30, 2022 | |
Operations: | ||||
Net investment income | $ 7,175,669 | $ 14,829,977 | $ 11,985,217 | $ 19,677,036 |
Net realized gains (losses) | 10,095,126 | 205,706,369 | (9,623,007) | 112,311,953 |
Net change in unrealized depreciation | (94,670,765) | (261,735,692) | (125,993,972) | (261,417,915) |
Net (decrease) in net assets resulting from operations | (77,399,970) | (41,199,346) | (123,631,762) | (129,428,926) |
Distributions paid from: | ||||
Distributable earnings | — | (238,486,043) | — | (142,656,979) |
Total distributions paid | — | (238,486,043) | — | (142,656,979) |
Capital share transactions: | ||||
Proceeds from shares sold | 97,203,378 | 299,271,430 | 54,903,435 | 229,896,726 |
Reinvestment of dividends | — | 238,254,322 | — | 142,522,225 |
Payments for shares redeemed | (137,202,648) | (470,673,065) | (83,639,457) | (262,595,654) |
Net increase (decrease) in net assets from capital share transactions | (39,999,270) | 66,852,687 | (28,736,022) | 109,823,297 |
Total increase (decrease) in net assets | (117,399,240) | (212,832,702) | (152,367,784) | (162,262,608) |
Net assets: | ||||
Beginning of period | 1,489,898,834 | 1,702,731,536 | 911,919,768 | 1,074,182,376 |
End of period | $1,372,499,594 | $1,489,898,834 | $ 759,551,984 | $ 911,919,768 |
Capital share transactions | ||||
Shares sold | 8,942,774 | 22,447,159 | 6,169,933 | 20,049,671 |
Shares from reinvested dividends | — | 18,789,082 | — | 13,027,211 |
Shares redeemed | (12,590,429) | (34,767,976) | (9,327,137) | (22,201,350) |
Net increase (decrease) | (3,647,655) | 6,468,265 | (3,157,204) | 10,875,532 |
Morningstar Global Income Fund | Morningstar Total Return Bond Fund | |||
Six Months Ended October 31, 2022 (unaudited) | Year Ended April 30, 2022 | Six Months Ended October 31, 2022 (unaudited) | Year Ended April 30, 2022 | |
Operations: | ||||
Net investment income | $ 6,779,541 | $ 10,266,250 | $ 10,013,101 | $ 11,943,190 |
Net realized gains (losses) | (10,771,784) | 16,082,085 | (47,751,270) | (18,212,639) |
Net change in unrealized depreciation | (14,468,149) | (41,901,209) | (27,945,309) | (80,197,915) |
Net (decrease) in net assets resulting from operations | (18,460,392) | (15,552,874) | (65,683,478) | (86,467,364) |
Distributions paid from: | ||||
Distributable earnings | (6,234,170) | (28,559,019) | (9,223,978) | (18,514,280) |
Total distributions paid | (6,234,170) | (28,559,019) | (9,223,978) | (18,514,280) |
Capital share transactions: | ||||
Proceeds from shares sold | 13,887,462 | 59,366,985 | 48,667,970 | 290,765,341 |
Reinvestment of dividends | 6,234,155 | 28,522,540 | 9,223,973 | 18,411,734 |
Payments for shares redeemed | (36,033,674) | (69,249,969) | (93,971,163) | (207,900,741) |
Net increase (decrease) in net assets from capital share transactions | (15,912,057) | 18,639,556 | (36,079,220) | 101,276,334 |
Total increase (decrease) in net assets | (40,606,619) | (25,472,337) | (110,986,676) | (3,705,310) |
Net assets: | ||||
Beginning of period | 246,959,704 | 272,432,041 | 829,213,658 | 832,918,968 |
End of period | $206,353,085 | $246,959,704 | $ 718,226,982 | $ 829,213,658 |
Capital share transactions | ||||
Shares sold | 1,490,578 | 5,264,711 | 5,306,852 | 28,123,394 |
Shares from reinvested dividends | 676,100 | 2,638,398 | 1,022,560 | 1,746,590 |
Shares redeemed | (3,899,323) | (6,198,204) | (10,282,168) | (19,777,555) |
Net increase (decrease) | (1,732,645) | 1,704,905 | (3,952,756) | 10,092,429 |
Morningstar Municipal Bond Fund | Morningstar Defensive Bond Fund | |||
Six Months Ended October 31, 2022 (unaudited) | Year Ended April 30, 2022 | Six Months Ended October 31, 2022 (unaudited) | Year Ended April 30, 2022 | |
Operations: | ||||
Net investment income | $ 3,906,142 | $ 6,878,543 | $ 1,866,796 | $ 3,868,771 |
Net realized gains (losses) | (2,097,568) | (515,409) | (1,131,295) | (1,212,853) |
Net change in unrealized depreciation | (15,085,409) | (31,065,332) | (4,282,681) | (7,597,221) |
Net (decrease) in net assets resulting from operations | (13,276,835) | (24,702,198) | (3,547,180) | (4,941,303) |
Distributions paid from: | ||||
Distributable earnings | (3,879,421) | (7,143,683) | (1,681,703) | (5,383,260) |
Return of capital | — | — | — | (262,291) |
Total distributions paid | (3,879,421) | (7,143,683) | (1,681,703) | (5,645,551) |
Capital share transactions: | ||||
Proceeds from shares sold | 22,384,406 | 86,833,628 | 16,559,542 | 63,412,740 |
Reinvestment of dividends | 3,879,420 | 7,143,683 | 1,681,703 | 5,587,623 |
Payments for shares redeemed | (63,489,161) | (97,330,921) | (25,062,130) | (115,025,461) |
Net increase (decrease) in net assets from capital share transactions | (37,225,335) | (3,353,610) | (6,820,885) | (46,025,098) |
Total increase (decrease) in net assets | (54,381,591) | (35,199,491) | (12,049,768) | (56,611,952) |
Net assets: | ||||
Beginning of period | 381,969,822 | 417,169,313 | 143,916,890 | 200,528,842 |
End of period | $327,588,231 | $381,969,822 | $131,867,122 | $ 143,916,890 |
Capital share transactions | ||||
Shares sold | 2,266,372 | 8,153,632 | 1,733,295 | 6,267,569 |
Shares from reinvested dividends | 396,458 | 674,697 | 176,913 | 554,022 |
Shares redeemed | (6,444,365) | (9,206,617) | (2,626,111) | (11,559,469) |
Net increase (decrease) | (3,781,535) | (378,288) | (715,903) | (4,737,878) |
Morningstar Multisector Bond Fund | Morningstar Global Opportunistic Equity Fund | |||
Six Months Ended October 31, 2022 (unaudited) | Year Ended April 30, 2022 | Six Months Ended October 31, 2022 (unaudited) | Year Ended April 30, 2022 | |
Operations: | ||||
Net investment income | $ 4,073,405 | $ 9,603,120 | $ 1,678,699 | $ 3,843,266 |
Net realized gains (losses) | (9,988,758) | (14,080,071) | 2,031,114 | 27,784,612 |
Net change in unrealized depreciation | (8,287,039) | (19,601,626) | (21,678,667) | (37,294,543) |
Net (decrease) in net assets resulting from operations | (14,202,392) | (24,078,577) | (17,968,854) | (5,666,665) |
Distributions paid from: | ||||
Distributable earnings | (550,991) | (9,251,076) | — | (40,121,142) |
Total distributions paid | (550,991) | (9,251,076) | — | (40,121,142) |
Capital share transactions: | ||||
Proceeds from shares sold | 17,295,680 | 64,496,384 | 21,990,294 | 49,593,850 |
Reinvestment of dividends | 550,991 | 9,216,889 | — | 40,116,316 |
Payments for shares redeemed | (19,703,413) | (105,249,637) | (20,702,407) | (54,427,784) |
Net increase (decrease) in net assets from capital share transactions | (1,856,742) | (31,536,364) | 1,287,887 | 35,282,382 |
Total increase (decrease) in net assets | (16,610,125) | (64,866,017) | (16,680,967) | (10,505,425) |
Net assets: | ||||
Beginning of period | 172,276,268 | 237,142,285 | 200,221,088 | 210,726,513 |
End of period | $155,666,143 | $ 172,276,268 | $183,540,121 | $200,221,088 |
Capital share transactions | ||||
Shares sold | 2,009,421 | 6,453,393 | 2,419,645 | 4,416,095 |
Shares from reinvested dividends | 63,700 | 905,297 | — | 3,868,282 |
Shares redeemed | (2,283,738) | (10,759,064) | (2,266,933) | (4,811,572) |
Net increase (decrease) | (210,617) | (3,400,374) | 152,712 | 3,472,805 |
Morningstar Alternatives Fund | ||
Six Months Ended October 31, 2022 (unaudited) | Year Ended April 30, 2022 | |
Operations: | ||
Net investment income | $ 2,608,977 | $ 2,137,579 |
Net realized gains (losses) | 4,865,458 | 8,544,725 |
Net change in unrealized depreciation | (11,611,296) | (13,625,412) |
Net (decrease) in net assets resulting from operations | (4,136,861) | (2,943,108) |
Distributions paid from: | ||
Distributable earnings | — | (16,647,113) |
Total distributions paid | — | (16,647,113) |
Capital share transactions: | ||
Proceeds from shares sold | 39,700,049 | 163,288,685 |
Reinvestment of dividends | — | 16,584,193 |
Payments for shares redeemed | (61,593,749) | (119,572,952) |
Net increase (decrease) in net assets from capital share transactions | (21,893,700) | 60,299,926 |
Total increase (decrease) in net assets | (26,030,561) | 40,709,705 |
Net assets: | ||
Beginning of period | 368,480,731 | 327,771,026 |
End of period | $342,450,170 | $ 368,480,731 |
Capital share transactions | ||
Shares sold | 3,962,543 | 15,638,714 |
Shares from reinvested dividends | — | 1,587,729 |
Shares redeemed | (6,161,187) | (11,434,449) |
Net increase (decrease) | (2,198,644) | 5,791,994 |
Morningstar U.S. Equity Fund | |||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2022 (unaudited) | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $11.43 | $13.74 | $9.27 | $10.68 | $10.00 |
Income (loss) from investment operations: | |||||
Net investment income2 | 0.06 | 0.12 | 0.14 | 0.13 | 0.05 |
Net realized and unrealized gains (losses) | (0.66) | (0.36) | 4.59 | (1.31) | 0.64 |
Total income (loss) from investment operations | (0.60) | (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 period | $10.83 | $11.43 | $13.74 | $9.27 | $10.68 |
Total return3 | (5.25%) | (3.11%) | 51.43% | (11.42%) | 6.98% |
Supplemental data and ratios: | |||||
Net assets, end of period (millions) | $1,372 | $1,490 | $1,703 | $1,179 | $678 |
Ratio to average net assets of:4, 5 | |||||
Total expenses before waivers/reimbursements | 0.88% | 0.86% | 0.87% | 0.93% | 1.08% |
Total expenses after waivers/reimbursements | 0.84% | 0.83% | 0.81% | 0.81% | 0.82% |
Net investment income, net of waivers/reimbursements | 1.01% | 0.89% | 1.19% | 1.25% | 0.98% 6 |
Net investment income, before waivers/reimbursements | 0.97% | 0.86% | 1.13% | 1.13% | 0.72% 6 |
Portfolio turnover rate7 | 28% | 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 period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. 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 | |||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2022 (unaudited) | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.57 | $12.72 | $8.76 | $10.79 | $10.00 |
Income (loss) from investment operations: | |||||
Net investment income2 | 0.13 | 0.23 | 0.12 | 0.21 | 0.08 |
Net realized and unrealized gains (losses) | (1.46) | (1.66) | 4.17 | (1.94) | 0.74 |
Total income (loss) from investment operations | (1.33) | (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 period | $8.24 | $9.57 | $12.72 | $8.76 | $10.79 |
Total return3 | (13.90%) | (12.77%) | 49.22% | (16.65%) | 8.19% |
Supplemental data and ratios: | |||||
Net assets, end of period (millions) | $760 | $912 | $1,074 | $764 | $469 |
Ratio to average net assets of:4, 5 | |||||
Total expenses before waivers/reimbursements | 1.09% | 1.06% | 1.08% | 1.14% | 1.29% |
Total expenses after waivers/reimbursements | 0.99% | 0.98% | 0.89% | 0.92% | 0.94% |
Net investment income, net of waivers/reimbursements | 2.83% | 1.89% | 1.09% | 2.08% | 1.66% 6 |
Net investment income, before waivers/reimbursements | 2.73% | 1.81% | 0.90% | 1.86% | 1.31% 6 |
Portfolio turnover rate7 | 13% | 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 period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. 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 | |||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2022 (unaudited) | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.82 | $11.62 | $9.54 | $10.58 | $10.00 |
Income (loss) from investment operations: | |||||
Net investment income2 | 0.28 | 0.42 | 0.35 | 0.37 | 0.16 |
Net realized and unrealized gains (losses) | (1.03) | (1.03) | 2.09 | (0.94) | 0.52 |
Total income (loss) from investment operations | (0.75) | (0.61) | 2.44 | (0.57) | 0.68 |
Less distributions paid: | |||||
From net investment income | (0.26) | (0.45) | (0.35) | (0.42) | (0.10) |
From realized gains | — | (0.74) | (0.01) | (0.05) | — |
Total distributions paid | (0.26) | (1.19) | (0.36) | (0.47) | (0.10) |
Net asset value, end of period | $8.81 | $9.82 | $11.62 | $9.54 | $10.58 |
Total return3 | (7.64%) | (6.00%) | 26.01% | (5.73%) | 6.85% |
Supplemental data and ratios: | |||||
Net assets, end of period (millions) | $206 | $247 | $272 | $235 | $186 |
Ratio to average net assets of:4, 5 | |||||
Total expenses before waivers/reimbursements | 0.70% | 0.62% | 0.62% | 0.64% | 0.90% |
Total expenses after waivers/reimbursements | 0.70% | 0.62% | 0.61% | 0.58% | 0.58% |
Net investment income, net of waivers/reimbursements | 5.99% | 3.76% | 3.28% | 3.52% | 3.15% 6 |
Net investment income, before waivers/reimbursements | 5.99% | 3.76% | 3.27% | 3.46% | 2.83% 6 |
Portfolio turnover rate7 | 24% | 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 period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. 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 | |||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2022 (unaudited) | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.42 | $10.69 | $10.88 | $10.48 | $10.00 |
Income (loss) from investment operations: | |||||
Net investment income2 | 0.12 | 0.61 | 0.16 | 0.26 | 0.15 |
Net realized and unrealized gains (losses) | (0.89) | (1.65) | 0.17 | 0.68 | 0.45 |
Total income (loss) from investment operations | (0.77) | (1.04) | 0.33 | 0.94 | 0.60 |
Less distributions paid: | |||||
From net investment income | (0.11) | (0.17) | (0.21) | (0.28) | (0.12) |
From realized gains | — | (0.06) | (0.31) | (0.26) | — |
Total distributions paid | (0.11) | (0.23) | (0.52) | (0.54) | (0.12) |
Net asset value, end of period | $8.54 | $9.42 | $10.69 | $10.88 | $10.48 |
Total return3 | (8.25%) | (9.97%) | 2.95% | 9.13% | 6.01% |
Supplemental data and ratios: | |||||
Net assets, end of period (millions) | $718 | $829 | $833 | $519 | $415 |
Ratio to average net assets of:4, 5 | |||||
Total expenses before waivers/reimbursements6 | 0.74% | 0.71% | 0.74% | 0.81% | 0.88% |
Total expenses after waivers/reimbursements6 | 0.54% | 0.53% | 0.53% | 0.53% | 0.53% |
Total expenses after waivers/reimbursements and excluding dividend and interest expense | 0.53% | 0.52% | 0.53% | 0.53% | 0.53% |
Net investment income, net of waivers/reimbursements | 2.52% | 1.39% | 1.41% | 2.43% | 2.89% 7 |
Net investment income, before waivers/reimbursements | 2.32% | 1.21% | 1.20% | 2.15% | 2.54% 7 |
Portfolio turnover rate8 | 138% | 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 period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. 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 October 31, 2022 and 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 | |||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2022 (unaudited) | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.94 | $10.75 | $10.14 | $10.38 | $10.00 |
Income (loss) from investment operations: | |||||
Net investment income2 | 0.11 | 0.18 | 0.21 | 0.23 | 0.12 |
Net realized and unrealized gains (losses) | (0.48) | (0.81) | 0.61 | (0.21) | 0.36 |
Total income (loss) from investment operations | (0.37) | (0.63) | 0.82 | 0.02 | 0.48 |
Less distributions paid: | |||||
From net investment income | (0.11) | (0.18) | (0.21) | (0.23) | (0.10) |
From realized gains | — | — 3 | — | (0.03) | — |
Total distributions paid | (0.11) | (0.18) | (0.21) | (0.26) | (0.10) |
Net asset value, end of period | $9.46 | $9.94 | $10.75 | $10.14 | $10.38 |
Total return4 | (3.77%) | (5.93%) | 8.14% | 0.11% | 4.79% |
Supplemental data and ratios: | |||||
Net assets, end of period (millions) | $328 | $382 | $417 | $340 | $105 |
Ratio to average net assets of:5, 6 | |||||
Total expenses before waivers/reimbursements | 0.68% | 0.65% | 0.66% | 0.77% | 1.05% |
Total expenses after waivers/reimbursements | 0.58% | 0.58% | 0.58% | 0.58% | 0.58% |
Net investment income, net of waivers/reimbursements | 2.16% | 1.65% | 1.98% | 2.17% | 2.48% 7 |
Net investment income, before waivers/reimbursements | 2.06% | 1.58% | 1.90% | 1.98% | 2.01% 7 |
Portfolio turnover rate8 | 12% | 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 period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. 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 | |||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2022 (unaudited) | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.69 | $10.24 | $10.17 | $10.10 | $10.00 |
Income (loss) from investment operations: | |||||
Net investment income2 | 0.13 | 0.20 | 0.20 | 0.20 | 0.11 |
Net realized and unrealized gains (losses) | (0.37) | (0.46) | 0.16 | 0.13 | 0.08 |
Total income (loss) from investment operations | (0.24) | (0.26) | 0.36 | 0.33 | 0.19 |
Less distributions paid: | |||||
From net investment income | (0.12) | (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 | (0.12) | (0.29) | (0.29) | (0.26) | (0.09) |
Net asset value, end of period | $9.33 | $9.69 | $10.24 | $10.17 | $10.10 |
Total return3 | (2.52%) | (2.61%) | 3.56% | 3.36% | 1.87% |
Supplemental data and ratios: | |||||
Net assets, end of period (millions) | $132 | $144 | $201 | $183 | $156 |
Ratio to average net assets of:4, 5 | |||||
Total expenses before waivers/reimbursements | 0.71% | 0.64% | 0.64% | 0.66% | 0.93% |
Total expenses after waivers/reimbursements | 0.48% | 0.48% | 0.48% | 0.48% | 0.48% |
Net investment income, net of waivers/reimbursements | 2.67% | 1.96% | 1.92% | 2.02% | 2.28% 6 |
Net investment income, before waivers/reimbursements | 2.44% | 1.80% | 1.76% | 1.84% | 1.83% 6 |
Portfolio turnover rate7 | 4% | 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 period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. 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 | |||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2022 (unaudited) | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.00 | $10.52 | $9.39 | $10.28 | $10.00 |
Income (loss) from investment operations: | |||||
Net investment income2 | 0.21 | 0.43 | 0.44 | 0.46 | 0.27 |
Net realized and unrealized gains (losses) | (0.96) | (1.54) | 0.94 | (0.83) | 0.21 |
Total income (loss) from investment operations | (0.75) | (1.11) | 1.38 | (0.37) | 0.48 |
Less distributions paid: | |||||
From net investment income | (0.03) | (0.30) | (0.25) | (0.43) | (0.20) |
From realized gains | — | (0.11) | — | (0.09) | — |
Total distributions paid | (0.03) | (0.41) | (0.25) | (0.52) | (0.20) |
Net asset value, end of period | $8.22 | $9.00 | $10.52 | $9.39 | $10.28 |
Total return3 | (8.36%) | (10.95%) | 14.79% | (3.97%) | 4.86% |
Supplemental data and ratios: | |||||
Net assets, end of period (millions) | $156 | $172 | $237 | $192 | $161 |
Ratio to average net assets of:4, 5 | |||||
Total expenses before waivers/reimbursements | 1.02% | 0.92% | 0.91% | 0.98% | 1.18% |
Total expenses after waivers/reimbursements | 0.79% | 0.79% | 0.79% | 0.79% | 0.80% |
Net investment income, net of waivers/reimbursements | 4.92% | 4.25% | 4.31% | 4.52% | 5.41% 6 |
Net investment income, before waivers/reimbursements | 4.69% | 4.12% | 4.19% | 4.33% | 5.03% 6 |
Portfolio turnover rate7 | 68% | 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 period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. 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 | |||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2022 (unaudited) | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.57 | $12.08 | $9.28 | $10.38 | $10.00 |
Income (loss) from investment operations: | |||||
Net investment income2 | 0.08 | 0.21 | 0.14 | 0.23 | 0.12 |
Net realized and unrealized gains (losses) | (0.94) | (0.43) | 2.99 | (0.91) | 0.37 |
Total income (loss) from investment operations | (0.86) | (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 period | $8.71 | $9.57 | $12.08 | $9.28 | $10.38 |
Total return3 | (9.08%) | (2.77%) | 34.01% | (7.07%) | 4.97% |
Supplemental data and ratios: | |||||
Net assets, end of period (millions) | $184 | $200 | $211 | $138 | $56 |
Ratio to average net assets of:4, 5 | |||||
Total expenses before waivers/reimbursements | 0.83% | 0.78% | 0.78% | 0.94% | 1.48% |
Total expenses after waivers/reimbursements | 0.83% | 0.78% | 0.74% | 0.73% | 0.64% |
Net investment income, net of waivers/reimbursements | 1.74% | 1.81% | 1.28% | 2.29% | 2.38% 6 |
Net investment income, before waivers/reimbursements | 1.74% | 1.81% | 1.24% | 2.08% | 1.54% 6 |
Portfolio turnover rate7 | 29% | 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 period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. 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 | |||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2022 (unaudited) | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $10.12 | $10.71 | $10.12 | $10.10 | $10.00 |
Income (loss) from investment operations: | |||||
Net investment income2 | 0.08 | 0.07 | 0.12 | 0.25 | 0.05 |
Net realized and unrealized gains (losses) | (0.19) | (0.14) | 0.77 | (0.05) | 0.08 |
Total income (loss) from investment operations | (0.11) | (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 period | $10.01 | $10.12 | $10.71 | $10.12 | $10.10 |
Total return3 | (1.09%) | (0.78%) | 8.92% | 1.94% | 1.26% |
Supplemental data and ratios: | |||||
Net assets, end of period (millions) | $342 | $368 | $328 | $186 | $112 |
Ratio to average net assets of:4, 5 | |||||
Total expenses before waivers/reimbursements6 | 1.43% | 1.45% | 1.68% | 1.48% | 1.91% |
Total expenses after waivers/reimbursements6 | 1.32% | 1.31% | 1.26% | 1.13% | 0.96% |
Total expenses after waivers/reimbursements and excluding dividend and interest expense | 1.16% | 1.15% | 1.12% | 0.87% | 0.77% |
Net investment income, net of waivers/reimbursements | 1.45% | 0.63% | 1.14% | 2.45% | 1.08% 7 |
Net investment income, before waivers/reimbursements | 1.34% | 0.49% | 0.72% | 2.10% | 0.13% 7 |
Portfolio turnover rate8 | 201% | 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 period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. 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%, 0.16%, 0.14%, 0.26%, and 0.19% for October 31, 2022, 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 Alternatives Fund | |
Assets | ||||
Cash collateral for derivatives | $ 595,379 | $11,544,081 | $650,013 | $10,281,949 |
Deposits with broker for futures contracts | 888,690 | 3,850,386 | 71,035 | 1,091,671 |
Due from broker | $1,484,069 | $15,394,467 | $721,048 | $11,373,620 |
Liabilities | ||||
Cash collateral for derivatives | $ 341,931 | $10,232,884 | $614,755 | $ 1,844,327 |
Deposits with broker for futures contracts | — | 86,890 | — | 5,000 |
Due to broker | $ 341,931 | $10,319,774 | $614,755 | $ 1,849,327 |
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% |
Fund | Ratio |
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% | $191,127 |
Morningstar International Equity Fund | 1.00% | 390,566 |
Morningstar Global Income Fund | 0.89% | — |
Morningstar Total Return Bond Fund | 0.53% | 810,921 |
Morningstar Municipal Bond Fund | 0.59% | 160,961 |
Morningstar Defensive Bond Fund | 0.48% | 164,045 |
Morningstar Multisector Bond Fund | 0.80% | 184,016 |
Morningstar Global Opportunistic Equity Fund | 1.00% | — |
Morningstar Alternatives Fund | 1.29% | — |
Fund | Supplemental Expense Cap | Management Fees Waived |
Morningstar U.S. Equity Fund | 0.85% | $88,283 |
Morningstar International Equity Fund | 1.00% | 52,932 |
Morningstar Global Income Fund | 0.75% | — |
Morningstar Total Return Bond Fund | 0.54% | — |
Morningstar Municipal Bond Fund | 0.59% | 11,005 |
Morningstar Defensive Bond Fund | 0.55% | — |
Morningstar Multisector Bond Fund | 0.80% | 4,606 |
Morningstar Global Opportunistic Equity Fund | 0.93% | — |
Morningstar Alternatives Fund | 1.20% | 205,293 |
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 |
Morningstar Total Return Bond Fund | BlackRock Financial Management, Inc. Western Asset Management Company, LLC |
Morningstar Municipal Bond Fund | Allspring Global Investments, LLC T. Rowe Price Associates, Inc. |
Morningstar Defensive Bond Fund | First Pacific Advisors, LP |
Morningstar Multisector Bond Fund | Loomis, Sayles & Company, L.P. TCW Investment Management Company LLC Voya Investment Management Company, LLC |
Morningstar Global Opportunistic Equity Fund | Lazard Asset Management LLC |
Morningstar Alternatives Fund | BlackRock Financial Management, Inc. SSI Investment Management LLC Water Island Capital, LLC |
Purchases | Sales | |||||
Fund | U.S. Government | Other | U.S. Government | Other | Securities Sold Short | Covers on Securities Sold Short |
Morningstar U.S. Equity Fund | $ — | $390,671,470 | $ — | $390,443,288 | $ — | $ — |
Morningstar International Equity Fund | — | 103,501,102 | — | 107,435,647 | — | — |
Morningstar Global Income Fund | — | 51,315,329 | 9,345,951 | 52,102,801 | — | — |
Morningstar Total Return Bond Fund | 56,284,267 | 909,806,459 | 124,981,518 | 911,982,257 | 178,188,545 | 165,057,546 |
Morningstar Municipal Bond Fund | — | 38,656,483 | — | 65,351,228 | — | — |
Morningstar Defensive Bond Fund | — | 5,321,189 | — | 15,599,299 | — | — |
Morningstar Multisector Bond Fund | 21,087,193 | 123,507,567 | 19,753,516 | 83,236,109 | — | — |
Morningstar Global Opportunistic Equity Fund | — | 67,162,865 | — | 51,346,869 | — | — |
Morningstar Alternatives Fund | — | 567,470,153 | — | 567,067,363 | 179,352,144 | 167,871,484 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received |
Morningstar U.S. Equity Fund | $ 50,373,307 | $ 14,851,612 | $ 36,779,434 | $ 51,631,046 |
Morningstar International Equity Fund | 34,056,231 | 27,507,191 | 8,548,021 | 36,055,212 |
Morningstar Global Income Fund | 5,953,717 | 5,391,198 | 718,892 | 6,110,090 |
Morningstar Total Return Bond Fund | 11,234,902 | 8,699,041 | 2,852,095 | 11,551,136 |
Morningstar Defensive Bond Fund | 15,360,669 | 14,335,971 | 1,380,363 | 15,716,334 |
Morningstar Global Opportunistic Equity Fund | 16,055,776 | 13,899,708 | 2,557,163 | 16,456,871 |
*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 | $ 133,096 | $ 280,020 | $ 36,366,318 | $ 36,779,434 |
Morningstar International Equity Fund | 3,684 | 40,121 | 8,504,216 | 8,548,021 |
Morningstar Global Income Fund | - | - | 718,892 | 718,892 |
Morningstar Total Return Bond Fund | 377 | - | 2,851,718 | 2,852,095 |
Morningstar Defensive Bond Fund | - | - | 1,380,363 | 1,380,363 |
Morningstar Global Opportunistic Equity Fund | 12,324 | 59 | 2,544,780 | 2,557,163 |
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 Global Income Fund | ||||||||||
Foreign exchange rate risk | $— | $ — | $127,211 | $ — | $127,211 | $ — | $ — | $ 56,372 | $ — | $ 56,372 |
Interest rate risk | — | 371,513 | — | 225 | 371,738 | 2,041,436 | — | — | — | 2,041,436 |
Total | — | 371,513 | 127,211 | 225 | 498,949 | 2,041,436 | — | 56,372 | — | 2,097,808 |
Netting positions | — | — | (56,372) | — | (56,372) | — | — | (56,372) | — | (56,372) |
Net Fair Value of Derivative Contracts | $— | $371,513 | $ 70,839 | $ 225 | $442,577 | $2,041,436 | $ — | $ — | $ — | $2,041,436 |
Morningstar Total Return Bond Fund | ||||||||||
Credit risk | $— | $641,203 | $ — | $ — | $641,203 | $ — | $39,614 | $ — | $ — | $ 39,614 |
Foreign exchange rate risk | — | — | 504,137 | 29,728 | 533,865 | — | — | 445,738 | 17,820 | 463,558 |
Inflation risk | — | 41,247 | — | — | 41,247 | — | 35,288 | — | — | 35,288 |
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 Total Return Bond Fund (continued) | ||||||||||
Interest rate risk | $ 807,509 | $ 8,633,943 | $ — | $ 1,094,079 | $ 10,535,531 | $5,464,072 | $ 829,216 | $ — | $ 1,926,943 | $ 8,220,231 |
Total | 807,509 | 9,316,393 | 504,137 | 1,123,807 | 11,751,846 | 5,464,072 | 904,118 | 445,738 | 1,944,763 | 8,758,691 |
Netting positions | (807,509) | (904,118) | (445,738) | (1,123,807) | (3,281,172) | (807,509) | (904,118) | (445,738) | (1,123,807) | (3,281,172) |
Net Fair Value of Derivative Contracts | $ — | $ 8,412,275 | $ 58,399 | $ — | $ 8,470,674 | $4,656,563 | $ — | $ — | $ 820,956 | $ 5,477,519 |
Morningstar Multisector Bond Fund | ||||||||||
Credit risk | $ — | $ 12,637 | $ — | $ — | $ 12,637 | $ — | $ — | $ — | $ — | $ — |
Foreign exchange rate risk | — | — | 146,118 | — | 146,118 | — | — | 121,109 | — | 121,109 |
Interest rate risk | 281,047 | — | — | — | 281,047 | 122,852 | — | — | — | 122,852 |
Total | 281,047 | 12,637 | 146,118 | — | 439,802 | 122,852 | — | 121,109 | — | 243,961 |
Netting positions | (122,852) | — | (121,109) | — | (243,961) | (122,852) | — | (121,109) | — | (243,961) |
Net Fair Value of Derivative Contracts | $ 158,195 | $ 12,637 | $ 25,009 | $ — | $ 195,841 | $ — | $ — | $ — | $ — | $ — |
Morningstar Alternatives Fund | ||||||||||
Credit risk | $ — | $ 23,686 | $ — | $ — | $ 23,686 | $ — | $ — | $ — | $ — | $ — |
Equity risk | — | 73,136,865 | — | 1,074,219 | 74,211,084 | — | 65,869,041 | — | 398,574 | 66,267,615 |
Foreign exchange rate risk | — | — | 184,753 | — | 184,753 | — | — | 53,425 | — | 53,425 |
Inflation risk | — | 36,388 | — | — | 36,388 | — | — | — | — | — |
Interest rate risk | 942,320 | 149,428 | — | — | 1,091,748 | 61,105 | 62,713 | — | — | 123,818 |
Total | 942,320 | 73,346,367 | 184,753 | 1,074,219 | 75,547,659 | 61,105 | 65,931,754 | 53,425 | 398,574 | 66,444,858 |
Netting positions | (61,105) | (65,931,754) | (53,425) | (398,574) | (66,444,858) | (61,105) | (65,931,754) | (53,425) | (398,574) | (66,444,858) |
Net Fair Value of Derivative Contracts | $ 881,215 | $ 7,414,613 | $ 131,328 | $ 675,645 | $ 9,102,801 | $ — | $ — | $ — | $ — | $ — |
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 | $ — | $ — | $ 252,832 | $ — | $ 252,832 | $ — | $ — | $(190,134) | $ — | $ (190,134) |
Total | $ — | $ — | $ 252,832 | $ — | $ 252,832 | $ — | $ — | $(190,134) | $ — | $ (190,134) |
Morningstar Global Income Fund | ||||||||||
Credit risk | $ — | $ (766) | $ — | $ — | $ (766) | $ — | $ — | $ — | $ — | $ — |
Foreign exchange rate risk | — | — | (327,474) | (70,694) | (398,168) | — | — | 197,498 | 30,620 | 228,118 |
Interest rate risk | (425,006) | (1,111) | — | (12,333) | (438,450) | (1,898,955) | 333,996 | — | (942) | (1,565,901) |
Total | $ (425,006) | $ (1,877) | $(327,474) | $ (83,027) | $ (837,384) | $(1,898,955) | $ 333,996 | $ 197,498 | $ 29,678 | $(1,337,783) |
Morningstar Total Return Bond Fund | ||||||||||
Credit risk | $ — | $ (663,500) | $ — | $ 1,179 | $ (662,321) | $ — | $1,274,992 | $ — | $ — | $ 1,274,992 |
Foreign exchange rate risk | — | — | 410,315 | (96,234) | 314,081 | — | — | (130,846) | (1,111) | (131,957) |
Inflation risk | — | (1,001,604) | — | — | (1,001,604) | — | 1,433,826 | — | — | 1,433,826 |
Interest rate risk | (13,470,258) | (247,599) | — | 2,096,908 | (11,620,949) | 1,007,508 | 4,024,028 | — | (283,564) | 4,747,972 |
Total | $(13,470,258) | $(1,912,703) | $ 410,315 | $2,001,853 | $(12,970,793) | $ 1,007,508 | $6,732,846 | $(130,846) | $(284,675) | $ 7,324,833 |
Morningstar Multisector Bond Fund | ||||||||||
Credit risk | $ — | $ 49,003 | $ — | $ — | $ 49,003 | $ — | $ 12,531 | $ — | $ — | $ 12,531 |
Foreign exchange rate risk | — | — | (30,059) | — | (30,059) | — | — | 35,433 | — | 35,433 |
Interest rate risk | (64,847) | — | — | — | (64,847) | 158,195 | — | — | — | 158,195 |
Total | $ (64,847) | $ 49,003 | $ (30,059) | $ — | $ (45,903) | $ 158,195 | $ 12,531 | $ 35,433 | $ — | $ 206,159 |
Morningstar Alternatives Fund | ||||||||||
Credit risk | $ — | $ (196,840) | $ — | $ — | $ (196,840) | $ — | $ 89,508 | $ — | $ — | $ 89,508 |
Equity risk | — | 3,082,484 | — | 194,262 | 3,276,746 | — | (865,706) | — | 54,484 | (811,222) |
Foreign exchange rate risk | — | — | 978,243 | — | 978,243 | — | — | (185,187) | — | (185,187) |
Inflation risk | — | (49,143) | — | — | (49,143) | — | (90,212) | — | — | (90,212) |
Interest rate risk | 2,180,102 | (657,308) | — | — | 1,522,794 | (659,849) | 298,711 | — | — | (361,138) |
Total | $ 2,180,102 | $ 2,179,193 | $ 978,243 | $ 194,262 | $ 5,531,800 | $ (659,849) | $ (567,699) | $(185,187) | $ 54,484 | $(1,358,251) |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $ 127,211 | $ 56,372 |
Futures contracts | — | 2,041,436 |
Interest rate swap contracts* | 371,513 | — |
Purchased options | 225 | — |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $ 498,949 | $ 2,097,808 |
Less: Derivatives not subject to MNA or similar agreements | (371,738) | (2,041,436) |
Total gross amount of derivatives subject to MNA or similar agreement | $ 127,211 | $ 56,372 |
* | 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 |
Goldman Sachs | $ 13,946 | $ (5,900) | $ 8,046 | $— | $ 8,046 |
JPMorgan Chase | 23,632 | (23,632) | — | — | — |
Morgan Stanley | 89,633 | (9,897) | 79,736 | — | 79,736 |
Total | $127,211 | $(39,429) | $87,782 | $— | $87,782 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Goldman Sachs | $ (5,900) | $ 5,900 | $ — | $— | $ — |
JPMorgan Chase | (40,575) | 23,632 | (16,943) | — | (16,943) |
Morgan Stanley | (9,897) | 9,897 | — | — | — |
Total | $(56,372) | $39,429 | $(16,943) | $— | $(16,943) |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $ 504,137 | $ 445,738 |
Futures contracts | 807,509 | 5,464,072 |
Interest rate swap contracts* | 8,633,943 | 829,216 |
Credit default swap contracts* | 641,203 | 39,614 |
Inflation swap contracts* | 41,247 | 35,288 |
Purchased options | 117,048 | — |
Purchased swaptions | 1,006,759 | — |
Written options | — | 332,708 |
Written swaptions | — | 1,612,055 |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $11,751,846 | $8,758,691 |
Derivative Financial Instruments: | Assets | Liabilities |
Less: Derivatives not subject to MNA or similar agreements | (10,144,180) | (6,643,827) |
Total gross amount of derivatives subject to MNA or similar agreement | $ 1,607,666 | $ 2,114,864 |
* | 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 | $ 58,983 | $ (58,983) | $ — | $ — | $ — |
Barclays | 71,703 | (9,417) | 62,286 | (53,000) | 9,286 |
BNP Paribas(a) | 69,357 | (25,457) | 43,900 | (30,000) | 13,900 |
Citibank (b) | 12,417 | (11,805) | 612 | (612) | — |
Deutsche Bank | 91,581 | (91,581) | — | — | — |
Goldman Sachs | 946,781 | (946,781) | — | — | — |
HSBC | 54,456 | (25,880) | 28,576 | — | 28,576 |
JPMorgan Chase(a) | 129,865 | (51,944) | 77,921 | (10,000) | 67,921 |
Morgan Stanley | 105,101 | (105,101) | — | — | — |
Standard Chartered Bank | 2,666 | (2,666) | — | — | — |
UBS (b) | 64,756 | (40,776) | 23,980 | (23,980) | — |
Total | $1,607,666 | $(1,370,391) | $237,275 | $(117,592) | $119,683 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Bank of America | $ (61,352) | $ 58,983 | $ (2,369) | $ 2,369 | $ — |
Barclays | (9,417) | 9,417 | — | — | — |
BNP Paribas | (25,457) | 25,457 | — | — | — |
Citibank | (11,805) | 11,805 | — | — | — |
Deutsche Bank | (124,138) | 91,581 | (32,557) | — | (32,557) |
Goldman Sachs | (1,338,404) | 946,781 | (391,623) | — | (391,623) |
HSBC | (25,880) | 25,880 | — | — | — |
JPMorgan Chase | (51,944) | 51,944 | — | — | — |
Morgan Stanley(b) | (403,047) | 105,101 | (297,946) | 297,946 | — |
Standard Chartered Bank | (7,685) | 2,666 | (5,019) | — | (5,019) |
State Street | (14,959) | — | (14,959) | — | (14,959) |
UBS | (40,776) | 40,776 | — | — | — |
Total | $(2,114,864) | $1,370,391 | $(744,473) | $300,315 | $(444,158) |
(a) | Actual amount of collateral received from Barclays, BNP Paribas and JPMorgan Chase is included in Due from broker respectively, in the Statements of Assets and Liabilities. |
(b) | Actual amount of collateral received from Citibank and UBS and pledged by the Fund to Bank of America and Morgan Stanley 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. |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $ 146,118 | $ 121,109 |
Futures contracts | 281,047 | 122,852 |
Credit default swap contracts* | 12,637 | — |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $ 439,802 | $ 243,961 |
Less: Derivatives not subject to MNA or similar agreements | (293,684) | (122,852) |
Total gross amount of derivatives subject to MNA or similar agreement | $ 146,118 | $ 121,109 |
* | 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 | $ 24,449 | $(24,449) | $ — | $ — | $ — |
Barclays | 63,513 | (19,910) | 43,603 | — | 43,603 |
BNP | 31,617 | (31,617) | — | — | — |
Citibank | 971 | (971) | — | — | — |
JPMorgan Chase | 15,416 | (5,128) | 10,288 | — | 10,288 |
Morgan Stanley(a) | 10,152 | (463) | 9,689 | (9,689) | — |
Total | $146,118 | $(82,538) | $63,580 | $(9,689) | $53,891 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Bank of America | $ (44,985) | $24,449 | $(20,536) | $— | $(20,536) |
Barclays | (19,910) | 19,910 | — | — | — |
BNP | (44,929) | 31,617 | (13,312) | — | (13,312) |
Citibank | (3,123) | 971 | (2,152) | — | (2,152) |
Goldman Sachs | (2,571) | — | (2,571) | — | (2,571) |
JPMorgan Chase | (5,128) | 5,128 | — | — | — |
Morgan Stanley | (463) | 463 | — | — | — |
Total | $(121,109) | $82,538 | $(38,571) | $— | $(38,571) |
(a) | Actual amount of collateral received from Morgan Stanley is included in the Statements of Assets and Liabilities. |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $ 184,753 | $ 53,425 |
Futures contracts | 942,320 | 61,105 |
Contracts for difference* | 73,136,865 | 65,869,041 |
Interest rate swap contracts* | 149,428 | 62,713 |
Credit default swap contracts* | 23,686 | — |
Inflation swap contracts* | 36,388 | — |
Purchased options | 1,074,219 | — |
Derivative Financial Instruments: | Assets | Liabilities |
Written options | — | 398,574 |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $75,547,659 | $66,444,858 |
Less: Derivatives not subject to MNA or similar agreements | (2,226,041) | (522,392) |
Total gross amount of derivatives subject to MNA or similar agreement | $73,321,618 | $65,922,466 |
* | 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 | $ 383 | $ (383) | $ — | $ — | $ — |
Barclays (a) | 28,219,604 | (26,107,628) | 2,111,976 | (660,000) | 1,451,976 |
Citibank | 318 | (318) | — | — | — |
Deutsche Bank | 578 | (184) | 394 | — | 394 |
Goldman Sachs(a) | 27,825,747 | (25,257,513) | 2,568,234 | (240,000) | 2,328,234 |
JPMorgan Chase(a) | 17,094,142 | (14,504,079) | 2,590,063 | (297,000) | 2,293,063 |
Morgan Stanley | 180,846 | (47,884) | 132,962 | — | 132,962 |
Total | $73,321,618 | $(65,917,989) | $7,403,629 | $(1,197,000) | $6,206,629 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Bank of America | $ (4,171) | $ 383 | $(3,788) | $— | $(3,788) |
Barclays | (26,107,628) | 26,107,628 | — | — | — |
Citibank | (1,007) | 318 | (689) | — | (689) |
Deutsche Bank | (184) | 184 | — | — | — |
Goldman Sachs | (25,257,513) | 25,257,513 | — | — | — |
JPMorgan Chase | (14,504,079) | 14,504,079 | — | — | — |
Morgan Stanley | (47,884) | 47,884 | — | — | — |
Total | $(65,922,466) | $65,917,989 | $(4,477) | $— | $(4,477) |
(a) | Actual amount of collateral received from Barclays, Goldman Sachs and JPMorgan Chase is included in Due from 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 | $— | $44,495,783 | $421,955,203 | $2,486,611 | $1,221,467 | $13,969,933 |
Average Notional Balance - Short | — | 7,875,127 | 36,042,928 | 1,896,164 | — | 2,840,722 |
Ending Notional Balance - Long | — | 80,059,314 | 340,613,197 | 4,898,898 | — | 5,289,189 |
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: (continued) | ||||||
Ending Notional Balance - Short | $ — | $ — | $213,289,133 | $3,805,187 | $ — | $45,317,524 |
Forward Foreign Currency Exchange Contracts: | ||||||
Average Settlement Value - Purchased | 2,201,188 | 2,617,364 | 16,819,480 | 4,851,596 | 2,928,887 | 14,145,755 |
Average Settlement Value - Sold | 282,945 | 5,233,580 | 12,582,916 | 6,166,736 | 5,659,687 | 3,773,849 |
Ending Settlement Value - Purchased | — | 3,931,467 | 18,320,615 | 3,583,920 | — | 11,624,116 |
Ending Settlement Value - Sold | — | 7,378,671 | 17,308,854 | 2,939,499 | — | 1,341,571 |
Contracts for Difference: | ||||||
Average Notional Balance - Long | — | — | — | — | — | 1,678,822 |
Average Notional Balance - Short | — | — | — | — | — | 1,829,127 |
Ending Notional Balance - Long | — | — | — | — | — | 2,831,524 |
Ending Notional Balance - Short | — | — | — | — | — | 2,938,256 |
Inflation Swaps: | ||||||
Average Notional Balance - Pays Fixed Rate | — | — | 12,527,500 | — | — | — |
Average Notional Balance - Receives Fixed Rate | — | — | 21,819,351 | — | — | — |
Ending Notional Balance - Pays Fixed Rate | — | — | 1,170,000 | — | — | — |
Ending Notional Balance - Receives Fixed Rate | — | — | 1,757,600 | — | — | — |
Interest Rate Swaps: | ||||||
Average Notional Balance - Pays Fixed Rate | — | — | 67,612,921 | — | — | 15,496,151 |
Average Notional Balance - Receives Fixed Rate | — | — | 55,368,171 | — | — | 19,204,351 |
Ending Notional Balance - Pays Fixed Rate | — | — | 68,346,107 | — | — | 19,310,572 |
Ending Notional Balance - Receives Fixed Rate | — | — | 31,704,614 | — | — | 25,230,979 |
Credit Default Swaps: | ||||||
Average Notional Balance - Buy Protection | — | — | 4,443,500 | 1,158,512 | — | — |
Average Notional Balance - Sell Protection | — | — | 129,828,619 | 166,300 | — | 1,800,000 |
Ending Notional Balance - Buy Protection | — | — | 7,119,411 | — | — | — |
Ending Notional Balance - Sell Protection | — | — | 100,902,649 | 475,200 | — | 3,000,000 |
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 | |
Options: | ||||||
Average Notional Balance - Purchased | $— | $2,527,724 | $ 35,072,643 | $— | $— | $10,831,940 |
Average Notional Balance - Written | — | 250,000 | 125,851,307 | — | — | 9,183,634 |
Ending Notional Balance - Purchased | — | 474,450 | 27,975,126 | — | — | 21,480,703 |
Ending Notional Balance - Written | — | — | 187,904,050 | — | — | 17,901,756 |
Swaptions: | ||||||
Average Notional Balance - Purchased | — | — | 19,988,490 | — | — | — |
Average Notional Balance - Written | — | — | 64,607,018 | — | — | — |
Ending Notional Balance - Purchased | — | — | 11,133,960 | — | — | — |
Ending Notional Balance - Written | — | — | 152,959,522 | — | — | — |
Fund | Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) |
Morningstar U.S. Equity Fund | $1,347,490,806 | $171,566,368 | $(129,720,074) | $ 41,846,294 |
Morningstar International Equity Fund | 957,461,277 | 42,867,973 | (215,444,813) | (172,576,840) |
Morningstar Global Income Fund | 232,893,735 | 5,565,046 | (30,021,561) | (24,456,515) |
Morningstar Total Return Bond Fund | 821,870,459 | 10,689,849 | (117,340,832) | (106,650,983) |
Morningstar Municipal Bond Fund | 359,110,295 | 69,959 | (34,404,710) | (34,334,751) |
Morningstar Defensive Bond Fund | 156,032,574 | 292,058 | (10,330,353) | (10,038,295) |
Morningstar Multisector Bond Fund | 178,577,020 | 765,317 | (24,980,661) | (24,215,344) |
Morningstar Global Opportunistic Equity Fund | 219,212,674 | 2,929,321 | (25,001,377) | (22,072,056) |
Morningstar Alternatives Fund | 362,444,700 | 15,472,436 | (37,417,416) | (21,944,980) |
9. | Federal Income Tax Matters (continued) |
Fund | Current Distributable Tax-Exempt Income | Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain or Tax Basis Capital Loss Carryforwards | Net Unrealized Appreciation (Depreciation) | Accumulated Capital and Other Losses | 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 Net Realized Gain (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 |
9. | Federal Income Tax Matters (continued) |
Fiscal Year Ended April 30, 2022 | |||||
Fund | Tax-Exempt Income | Ordinary Income | Capital Gains | Return of Capital | Total Distributions Paid |
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 |
Morningstar Alternatives Fund | — | 13,669,424 | 2,977,689 | — | 16,647,113 |
9. | Federal Income Tax Matters (continued) |
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 | 99% |
Morningstar Defensive Bond Fund | 4 | 95% |
Morningstar Multisector Bond Fund | 5 | 99% |
Morningstar Global Opportunistic Equity Fund | 5 | 99% |
Fund | Number of Shareholders | % Ownership1 |
Morningstar Alternatives Fund | 5 | 99% |
1Includes omnibus positions of broker-dealers representing numerous shareholder accounts. |
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 | $947.50 | $4.12 | $1,000.00 | $1,020.97 | $4.28 |
Morningstar International Equity Fund | 0.99 | 1,000.00 | 861.00 | 4.64 | 1,000.00 | 1,020.21 | 5.04 |
Morningstar Global Income Fund | 0.70 | 1,000.00 | 923.60 | 3.39 | 1,000.00 | 1,021.68 | 3.57 |
Morningstar Total Return Bond Fund | 0.53 | 1,000.00 | 917.50 | 2.56 | 1,000.00 | 1,022.53 | 2.70 |
Morningstar Municipal Bond Fund | 0.58 | 1,000.00 | 962.30 | 2.87 | 1,000.00 | 1,022.28 | 2.96 |
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 | $974.80 | $2.39 | $1,000.00 | $1,022.79 | $2.45 |
Morningstar Multisector Bond Fund | 0.79 | 1,000.00 | 916.40 | 3.82 | 1,000.00 | 1,021.22 | 4.02 |
Morningstar Global Opportunistic Equity Fund | 0.83 | 1,000.00 | 909.20 | 3.99 | 1,000.00 | 1,021.02 | 4.23 |
Morningstar Alternatives Fund | 1.16 | 1,000.00 | 989.10 | 5.82 | 1,000.00 | 1,019.36 | 5.90 |
* | Expenses are equal to the Fund's annualized expense ratios, multiplied by the average account value over the period, multiplied by [184/365] (to reflect the one-half year period). |
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. |
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.
Not applicable for this reporting period.
Item 3. Audit Committee Financial Expert.
Not applicable for this reporting period.
Item 4. Principal Accountant Fees and Services.
Not applicable for this reporting period.
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.
2
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.
(a)(1) | Not applicable for this reporting period. |
(a)(2) | Exhibit 99.CERT: Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Exhibit 99.906 CERT: Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
3
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: December 27, 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: December 27, 2022 | ||
By | /s/ Tracy L. Dotolo | |
Tracy L. Dotolo, Treasurer | ||
(Principal Financial Officer) | ||
Date: December 27, 2022 |
4