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, 2023
Item 1. Reports to Stockholders.
(a) | Report pursuant to Rule 30e-1 |
Morningstar U.S. Equity Fund | |
Morningstar International Equity Fund | |
Morningstar Global Income Fund | |
Morningstar Total Return Bond Fund | |
Morningstar Municipal Bond Fund | |
Morningstar Defensive Bond Fund | |
Morningstar Multisector Bond Fund | |
Morningstar Global Opportunistic Equity Fund | |
Morningstar Alternatives Fund |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-303084/g634907imgd7b8187c1.gif)
c/o D. Scott Schilling, Chief Compliance Officer
22 West Washington Street
Chicago, IL 60602
![](https://capedge.com/proxy/N-CSRS/0001193125-23-303084/g634907imga18974e62.jpg)
Chief Investment Officer, Americas
Morningstar Investment Management LLC
General Information | |
Net Asset Value Per Share | $10.75 |
Total Net Assets (millions) | $1,414 |
Net Expense Ratio(a) | 0.85% |
Gross Expense Ratio(a) | 0.88% |
Portfolio Turnover Rate | 35% |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-303084/g634907img571a2c543.jpg)
Portfolio Characteristics | |
Weighted Average Market Capitalization (billions) | $77.67 |
Price-to-Earnings Ratio(b) | 19.60 |
Ten Largest Equities (%)(c)(d)(e) | |
Microsoft Corp. | 3.9 |
Alphabet, Inc., Class A | 2.9 |
Amazon.com, Inc. | 2.9 |
Apple, Inc. | 2.6 |
Meta Platforms, Inc., Class A | 2.4 |
NVIDIA Corp. | 1.5 |
Visa, Inc., Class A | 1.4 |
Netflix, Inc. | 1.1 |
Comcast Corp., Class A | 1.1 |
Marsh & McLennan Cos., Inc. | 1.1 |
Sector Diversification (%)(c)(d) | |
Technology | 19.6 |
Financials | 12.1 |
Industrials | 10.8 |
Health Care | 10.3 |
Communications | 10.0 |
Consumer Discretionary | 7.3 |
Consumer Staples | 5.1 |
Energy | 4.6 |
Materials | 3.4 |
Real Estate | 2.8 |
Utilities | 2.8 |
General Information | |
Net Asset Value Per Share | $9.19 |
Total Net Assets (millions) | $709 |
Net Expense Ratio(a) | 1.00% |
Gross Expense Ratio(a) | 1.09% |
Portfolio Turnover Rate | 14% |
Number of Issuers | 399 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-303084/g634907img3e44235c4.jpg)
Portfolio Characteristics | |
Weighted Average Market Capitalization (billions) | $39.67 |
Price-to-Earnings Ratio(b) | 11.96 |
Countries Represented | 43 |
Emerging Markets(c)(d) | 30.1% |
Ten Largest Equities (%)(c)(d)(e) | |
Shell PLC | 2.1 |
Allianz S.E. | 1.4 |
Tencent Holdings Ltd. | 1.3 |
Samsung Electronics Co. Ltd. | 1.2 |
Taiwan Semiconductor Manufacturing Co. Ltd. | 1.2 |
Alibaba Group Holding Ltd. | 1.1 |
Chugai Pharmaceutical Co. Ltd. | 1.1 |
Samsung Electronics Co. Ltd. GDR | 1.0 |
Lloyds Banking Group PLC | 1.0 |
Roche Holding A.G. (Genusschein) | 0.9 |
Sector Diversification (%)(c)(d) | |
Financials | 17.5 |
Industrials | 12.8 |
Technology | 12.6 |
Consumer Discretionary | 12.0 |
Consumer Staples | 9.9 |
Health Care | 8.4 |
Energy | 7.3 |
Materials | 6.8 |
Communications | 6.8 |
Utilities | 0.7 |
Real Estate | 0.6 |
Region Diversification (%)(c)(d) | |
Europe (excluding United Kingdom) | 28.8 |
Pacific (excluding Japan) | 27.4 |
Japan | 16.8 |
United Kingdom | 8.6 |
Latin America | 4.8 |
United States | 4.6 |
Canada | 2.5 |
Africa | 1.2 |
Middle East | 0.7 |
General Information | |
Net Asset Value Per Share | $8.49 |
Total Net Assets (millions) | $195 |
Net Expense Ratio(a) | 0.75% |
Gross Expense Ratio(a) | 0.75% |
Portfolio Turnover Rate | 25% |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-303084/g634907img891142ac5.jpg)
Equity Portfolio (42.4%) | |
Number of Common Stocks | 123 |
Five Largest Sectors (%)(b)(c) | |
Financials | 6.3 |
Consumer Staples | 5.0 |
Technology | 4.3 |
Materials | 4.1 |
Communications | 3.9 |
Ten Largest Equities (%)(b)(c)(d) | |
OPAP S.A. | 2.1 |
Petroleo Brasileiro S.A. | 1.7 |
BAE Systems PLC | 1.6 |
Arca Continental S.A.B. de C.V. | 1.5 |
Broadcom, Inc. | 1.5 |
TF Administradora Industrial S. de R.L. de C.V. | 1.4 |
Nippon Telegraph & Telephone Corp. | 1.4 |
British American Tobacco PLC ADR | 1.2 |
Macquarie Korea Infrastructure Fund | 1.2 |
Softbank Corp. | 1.2 |
Fixed Income Portfolio (38.4%) | |
Number of Issuers | 327 |
Sector Diversification (%)(b)(e) | |
Corporate | 8.4 |
Mortgage Securities | 5.0 |
Asset Backed Securities | 4.8 |
Energy | 4.2 |
Consumer Discretionary | 3.9 |
Industrials | 2.9 |
Communications | 2.1 |
Financials | 1.8 |
Government | 1.5 |
Health Care | 1.2 |
Materials | 1.1 |
Technology | 0.9 |
Utilities | 0.3 |
Real Estate | 0.2 |
Consumer Staples | 0.1 |
Five Largest Issuers (%)(b)(d)(e) | |
Energy Transfer L.P. | 2.2 |
Enterprise Products Partners L | 1.9 |
Freddie Mac - STACR | 0.8 |
BX Trust | 0.8 |
United Rentals North America | 0.5 |
Credit Quality (%)(b)(e)(f) | |
AAA | 0.9 |
AA | 0.2 |
A | 0.2 |
BBB | 3.2 |
BB | 7.8 |
B | 7.5 |
CCC | 2.2 |
CC | 0.1 |
C | 0.1 |
Not Rated | 16.3 |
CCC | 2.2 |
General Information | |
Net Asset Value Per Share | $8.30 |
Total Net Assets (millions) | $755 |
Net Expense Ratio(a) | 0.54% |
Gross Expense Ratio(a) | 0.74% |
Portfolio Turnover Rate | 179% |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-303084/g634907img8515106a6.jpg)
Portfolio Characteristics | |
Effective Duration (years)(b) | 6.2 |
Non-USD Exposure(c)(d)(e) | 0.1% |
Five Largest Issuers (%)(c)(d)(f) | |
U.S. Treasury | 13.5 |
Federal National Mortgage Association | 11.4 |
Federal Home Loan Mortgage Corporation | 7.6 |
Government National Mortgage Association | 4.9 |
Fannie Mae or Freddie Mac | 2.5 |
Credit Quality (%)(c)(d)(g) | |
U.S. Treasury | 13.5 |
U.S. Agency | 29.2 |
AAA | 0.9 |
AA | 0.7 |
A | 8.2 |
BBB | 10.6 |
BB | 0.7 |
B | 0.1 |
Not Rated | 11.9 |
Sector Diversification (%)(c)(d) | |
Mortgage Securities | 33.9 |
Government | 14.6 |
Financials | 7.3 |
Energy | 4.6 |
Asset Backed Securities | 4.4 |
Communications | 1.9 |
Health Care | 1.7 |
Industrials | 1.7 |
Utilities | 1.5 |
Technology | 1.1 |
Materials | 0.9 |
Consumer Discretionary | 0.8 |
Real Estate | 0.8 |
Consumer Staples | 0.6 |
Region Diversification (%)(c)(d) | |
United States | 67.3 |
Latin America | 4.2 |
Europe (excluding United Kingdom) | 2.2 |
Pacific (excluding Japan) | 1.1 |
United Kingdom | 0.4 |
Middle East | 0.3 |
Canada | 0.2 |
Africa | 0.1 |
Japan | 0.0 |
General Information | |
Net Asset Value Per Share | $9.41 |
Total Net Assets (millions) | $314 |
Net Expense Ratio(a) | 0.59% |
Gross Expense Ratio(a) | 0.68% |
Portfolio Turnover Rate | 16% |
Number of Issuers | 432 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-303084/g634907img49f5bc6b7.jpg)
Portfolio Characteristics | |
Effective Duration (years)(b) | 5.1 |
Five Largest Issuers (%)(c)(d)(e) | |
Port Authority of New York & New Jersey | 1.2 |
Wisconsin State Health & Educational Facilities Authority Revenue | 1.1 |
Main Street Natural Gas Inc Ga Gas Supply Revenue | 1.1 |
Maryland State Health & Higher Educational Facilities Authority Revenue | 1.1 |
Black Belt Energy Gas District Al Gas Project Revenue | 1.0 |
Credit Quality (%)(c)(d)(f) | |
AAA | 1.6 |
AA | 18.0 |
A | 15.2 |
BBB | 5.0 |
BB | 0.6 |
A1+ (Short Term) | 0.2 |
Not Rated | 44.1 |
Sector Diversification (%)(c)(d) | |
General | 15.3 |
Medical | 13.2 |
Airport | 8.8 |
Transportation | 8.7 |
General Obligation | 6.5 |
Higher Education | 4.8 |
Development | 4.7 |
Education | 3.7 |
Nursing Home | 3.4 |
Water | 3.3 |
School District | 3.0 |
Power | 2.8 |
Multifamily Housing | 2.1 |
Housing | 1.1 |
Utilities | 0.7 |
Bond Banks | 0.7 |
Single Family Housing | 0.4 |
Pollution | 0.4 |
Tobacco Settlement | 0.4 |
Student Loan | 0.3 |
Government | 0.2 |
Facilities | 0.2 |
General Information | |
Net Asset Value Per Share | $9.39 |
Total Net Assets (millions) | $129 |
Net Expense Ratio(a) | 0.51% |
Gross Expense Ratio(a) | 0.76% |
Portfolio Turnover Rate | 30% |
Number of Issuers | 112 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-303084/g634907imgb5dfecff8.jpg)
Portfolio Characteristics | |
Effective Duration (years)(b) | 2.2 |
Non-USD Exposure(c)(d)(e) | 0.0% |
Five Largest Issuers (%)(c)(d)(f) | |
Fhlmc Multifamily Structured P | 4.4 |
Golub Capital Partners Funding | 2.1 |
U.S. Treasury | 1.7 |
Cerberus | 1.7 |
VCP CLO II Ltd | 1.4 |
Credit Quality (%)(c)(d)(g) | |
U.S. Treasury | 1.5 |
U.S. Agency | 1.6 |
AAA | 8.8 |
AA | 0.9 |
A | 1.8 |
BBB | 0.7 |
B | 2.4 |
CCC | 0.3 |
Not Rated | 32.1 |
Sector Diversification (%)(c)(d) | |
Asset Backed Securities | 34.5 |
Mortgage Securities | 8.1 |
Government | 1.8 |
Financials | 1.6 |
Communications | 0.8 |
Industrials | 0.8 |
Real Estate | 0.7 |
Utilities | 0.7 |
Technology | 0.5 |
Health Care | 0.3 |
Consumer Discretionary | 0.2 |
Corporate | 0.2 |
Region Diversification (%)(c)(d) | |
United States | 43.2 |
Latin America | 6.4 |
Canada | 0.5 |
Europe (excluding United Kingdom) | 0.1 |
General Information | |
Net Asset Value Per Share | $8.26 |
Total Net Assets (millions) | $167 |
Net Expense Ratio(a) | 0.80% |
Gross Expense Ratio(a) | 1.05% |
Portfolio Turnover Rate | 71% |
Number of Issuers | 679 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-303084/g634907img92a41a7d9.jpg)
Portfolio Characteristics | |
Effective Duration (years)(b) | 5.1 |
Non-USD Exposure(c)(d)(e) | 19.9% |
Five Largest Issuers (%)(c)(d)(f) | |
Nota Do Tesouro Nacional | 2.7 |
Government of Indonesia | 2.4 |
Republic of South Africa | 2.2 |
Mexican Bonos Desarollo | 2.0 |
Malaysia Government | 1.9 |
Credit Quality (%)(c)(d)(g) | |
U.S. Treasury | 1.3 |
AA | 1.5 |
A | 9.4 |
BBB | 19.2 |
BB | 16.4 |
B | 7.9 |
CCC | 1.5 |
C | 0.1 |
Not Rated | 37.7 |
Sector Diversification (%)(c)(d) | |
Government | 35.1 |
Financials | 10.4 |
Energy | 8.9 |
Communications | 8.3 |
Consumer Discretionary | 7.2 |
Health Care | 5.4 |
Industrials | 4.6 |
Utilities | 4.2 |
Technology | 3.6 |
Materials | 3.1 |
Consumer Staples | 1.9 |
Real Estate | 1.6 |
Mortgage Securities | 0.5 |
Asset Backed Securities | 0.2 |
Region Diversification (%)(c)(d) | |
United States | 46.8 |
Latin America | 14.3 |
Pacific (excluding Japan) | 11.4 |
Europe (excluding United Kingdom) | 7.7 |
Africa | 6.5 |
Middle East | 5.7 |
Canada | 1.6 |
United Kingdom | 0.7 |
Japan | 0.3 |
General Information | |
Net Asset Value Per Share | $9.41 |
Total Net Assets (millions) | $258 |
Net Expense Ratio(a) | 0.89% |
Gross Expense Ratio(a) | 0.89% |
Portfolio Turnover Rate | 40% |
Number of Issuers | 256 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-303084/g634907imgd612317610.jpg)
Portfolio Characteristics | |
Weighted Average Market Capitalization (billions) | $48.40 |
Price-to-Earnings Ratio(b) | 13.91 |
Countries Represented | 25 |
Emerging Markets(c)(d) | 5.7% |
Ten Largest Equities (%)(b)(c)(d) | |
H&R Block, Inc. | 2.0 |
CVS Health Corp. | 2.0 |
Omnicom Group, Inc. | 1.8 |
eBay, Inc. | 1.7 |
National Grid PLC | 1.6 |
United Utilities Group PLC | 1.6 |
Visa, Inc., Class A | 1.6 |
Knorr-Bremse A.G. | 1.3 |
Fresenius Medical Care A.G. & Co. KGaA | 1.3 |
Alphabet, Inc., Class A | 1.3 |
Sector Diversification (%)(b)(c) | |
Communications | 9.8 |
Financials | 8.8 |
Consumer Discretionary | 6.8 |
Industrials | 6.3 |
Health Care | 6.1 |
Technology | 5.4 |
Utilities | 4.5 |
Energy | 4.3 |
Consumer Staples | 3.9 |
Materials | 0.6 |
Real Estate | 0.1 |
General Information | |
Net Asset Value Per Share | $9.96 |
Total Net Assets (millions) | $258 |
Net Expense Ratio(a) | 1.36% |
Gross Expense Ratio(a) | 1.49% |
Portfolio Turnover Rate | 107% |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-303084/g634907imgb1dceedc11.jpg)
Allocation Strategy Type (%)(b) | |
Convertible Arbitrage | 28.1 |
Merger Arbitrage | 19.2 |
Multi-Strategy | 40.1 |
Short-term investments and ETFs | 12.6 |
Region Diversification (%)(c)(d) | |
United States | 66.5 |
United Kingdom | 2.7 |
Europe (excluding United Kingdom) | 2.6 |
Pacific (excluding Japan) | 1.8 |
Canada | 0.9 |
Japan | 0.6 |
Middle East | 0.2 |
Latin America | 0.1 |
Number of Shares | Value | ||
Common Stocks – 88.8% | |||
Advertising & Marketing – 0.0%(a) | |||
Interpublic Group of Cos. (The), Inc. | 4,753 | $ 134,985 | |
Omnicom Group, Inc. | 2,166 | 162,255 | |
297,240 | |||
Aerospace & Defense – 2.4% | |||
Boeing (The) Co.* | 1,581 | 295,362 | |
General Dynamics Corp. | 32,689 | 7,888,183 | |
Huntington Ingalls Industries, Inc. | 994 | 218,501 | |
L3Harris Technologies, Inc. | 13,232 | 2,373,953 | |
Lockheed Martin Corp. | 2,112 | 960,200 | |
Mercury Systems, Inc.* | 18,512 | 666,062 | |
Moog, Inc., Class A | 12,388 | 1,437,627 | |
Northrop Grumman Corp. | 19,230 | 9,065,599 | |
RTX Corp. | 127,918 | 10,411,246 | |
Textron, Inc. | 2,763 | 209,988 | |
33,526,721 | |||
Apparel & Textile Products – 0.5% | |||
Crocs, Inc.* | 248 | 22,151 | |
Deckers Outdoor Corp.* | 212 | 126,577 | |
Hanesbrands, Inc. | 183,720 | 769,787 | |
NIKE, Inc., Class B | 58,400 | 6,001,768 | |
Ralph Lauren Corp. | 743 | 83,610 | |
Skechers USA, Inc., Class A* | 1,881 | 90,702 | |
Tapestry, Inc. | 2,160 | 59,529 | |
VF Corp. | 1,985 | 29,239 | |
7,183,363 | |||
Asset Management – 0.9% | |||
Ameriprise Financial, Inc. | 389 | 122,368 | |
BlackRock, Inc. | 5,947 | 3,641,229 | |
Charles Schwab (The) Corp. | 14,013 | 729,237 | |
Cohen & Steers, Inc.(b) | 31,210 | 1,630,410 | |
Franklin Resources, Inc. | 3,437 | 78,329 | |
Hamilton Lane, Inc., Class A | 35,061 | 2,949,331 | |
Invesco Ltd. | 3,881 | 50,337 | |
KKR & Co., Inc. | 39,778 | 2,203,701 | |
LPL Financial Holdings, Inc. | 324 | 72,744 | |
Stifel Financial Corp. | 13,390 | 763,230 | |
T. Rowe Price Group, Inc. | 563 | 50,952 | |
12,291,868 | |||
Automotive – 0.8% | |||
Aptiv PLC* | 44,071 | 3,842,991 | |
Autoliv, Inc. (Sweden) | 1,179 | 108,055 | |
BorgWarner, Inc. | 19,005 | 701,285 |
Number of Shares | Value | ||
Automotive (Continued) | |||
Fox Factory Holding Corp.* | 21,334 | $ 1,738,081 | |
Gentex Corp. | 6,577 | 188,628 | |
Lear Corp. | 7,500 | 973,200 | |
Phinia, Inc. | 693 | 17,935 | |
Tesla, Inc.* | 14,400 | 2,892,096 | |
XPEL, Inc.(b)* | 26,469 | 1,225,515 | |
11,687,786 | |||
Banking – 4.3% | |||
Atlantic Union Bankshares Corp. | 50,187 | 1,445,888 | |
Bank of America Corp. | 77,743 | 2,047,751 | |
Bank OZK(b) | 110,430 | 3,954,498 | |
Banner Corp. | 17,297 | 730,106 | |
BOK Financial Corp. | 17,441 | 1,142,734 | |
Citigroup, Inc. | 129,708 | 5,122,169 | |
Citizens Financial Group, Inc. | 42,312 | 991,370 | |
City Holding Co.(b) | 16,417 | 1,490,335 | |
Comerica, Inc. | 10,030 | 395,182 | |
Cullen/Frost Bankers, Inc. | 7,609 | 692,343 | |
Fifth Third Bancorp | 45,524 | 1,079,374 | |
First Bancorp | 49,675 | 1,441,569 | |
Huntington Bancshares, Inc. | 139,001 | 1,341,360 | |
JPMorgan Chase & Co. | 111,257 | 15,471,398 | |
KeyCorp | 79,516 | 812,654 | |
M&T Bank Corp. | 12,400 | 1,398,100 | |
National Bank Holdings Corp., Class A | 25,900 | 807,562 | |
PNC Financial Services Group (The), Inc. | 41,345 | 4,732,762 | |
Provident Financial Services, Inc. | 45,684 | 641,860 | |
Regions Financial Corp. | 34,234 | 497,420 | |
Renasant Corp. | 55,373 | 1,350,547 | |
Seacoast Banking Corp. of Florida | 70,663 | 1,428,099 | |
Triumph Financial, Inc.* | 23,498 | 1,462,751 | |
Truist Financial Corp. | 53,103 | 1,506,001 | |
U.S. Bancorp | 51,861 | 1,653,329 | |
Veritex Holdings, Inc. | 41,432 | 713,459 | |
Webster Financial Corp. | 88,329 | 3,353,852 | |
Wells Fargo & Co. | 66,657 | 2,650,949 | |
60,355,422 | |||
Beverages – 1.3% | |||
Brown-Forman Corp., Class B | 3,289 | 184,710 | |
Constellation Brands, Inc., Class A | 2,574 | 602,702 | |
Diageo PLC (United Kingdom) | 135,690 | 5,131,257 |
Number of Shares | Value | ||
Beverages (Continued) | |||
Duckhorn Portfolio (The), Inc.(b)* | 80,886 | $ 843,641 | |
Keurig Dr. Pepper, Inc. | 31,215 | 946,751 | |
Monster Beverage Corp.* | 124,084 | 6,340,693 | |
PepsiCo, Inc. | 25,415 | 4,149,761 | |
18,199,515 | |||
Biotechnology & Pharmaceuticals – 3.0% | |||
AbbVie, Inc. | 30,485 | 4,303,872 | |
Amgen, Inc. | 3,549 | 907,479 | |
Biogen, Inc.* | 1,875 | 445,388 | |
Certara, Inc.* | 63,452 | 773,480 | |
Eli Lilly & Co. | 7,900 | 4,376,047 | |
Exelixis, Inc.* | 6,657 | 137,068 | |
Gilead Sciences, Inc. | 10,100 | 793,254 | |
Intra-Cellular Therapies, Inc.* | 19,177 | 954,248 | |
Johnson & Johnson | 61,964 | 9,191,740 | |
Merck & Co., Inc. | 45,972 | 4,721,324 | |
Pfizer, Inc. | 219,948 | 6,721,611 | |
Prestige Consumer Healthcare, Inc.* | 23,737 | 1,409,028 | |
Regeneron Pharmaceuticals, Inc.* | 708 | 552,162 | |
Roche Holding A.G. (Genusschein) | 4,039 | 1,040,889 | |
United Therapeutics Corp.* | 552 | 123,019 | |
Zoetis, Inc. | 36,940 | 5,799,580 | |
42,250,189 | |||
Cable & Satellite – 1.4% | |||
Charter Communications, Inc., Class A(b)* | 9,189 | 3,701,329 | |
Comcast Corp., Class A | 388,772 | 16,052,396 | |
Sirius XM Holdings, Inc.(b) | 31,341 | 134,140 | |
19,887,865 | |||
Chemicals – 2.4% | |||
Albemarle Corp. | 215 | 27,258 | |
Ashland Global Holdings, Inc. | 51,392 | 3,938,169 | |
Axalta Coating Systems Ltd.* | 3,355 | 88,002 | |
Balchem Corp. | 24,714 | 2,872,755 | |
CF Industries Holdings, Inc. | 1,167 | 93,103 | |
Corteva, Inc. | 39,730 | 1,912,602 | |
DuPont de Nemours, Inc. | 71,916 | 5,241,238 | |
Eastman Chemical Co. | 1,174 | 87,733 | |
Ecovyst, Inc.* | 76,828 | 706,818 | |
Innospec, Inc. | 32,895 | 3,223,710 | |
LyondellBasell Industries N.V., Class A | 1,250 | 112,800 |
Number of Shares | Value | ||
Chemicals (Continued) | |||
PPG Industries, Inc. | 19,749 | $ 2,424,585 | |
Sherwin-Williams (The) Co. | 38,874 | 9,260,175 | |
Stepan Co. | 19,180 | 1,434,664 | |
Valvoline, Inc. | 81,623 | 2,421,754 | |
Westlake Corp. | 638 | 73,600 | |
33,918,966 | |||
Commercial Support Services – 0.1% | |||
Legalzoom.com, Inc.(b)* | 67,450 | 672,477 | |
Robert Half, Inc. | 1,625 | 121,501 | |
Waste Management, Inc. | 5,959 | 979,242 | |
1,773,220 | |||
Construction Materials – 0.3% | |||
Carlisle Cos., Inc. | 647 | 164,396 | |
Owens Corning | 900 | 102,033 | |
Summit Materials, Inc., Class A* | 23,232 | 764,333 | |
Trex Co., Inc.* | 50,507 | 2,838,998 | |
3,869,760 | |||
Containers & Packaging – 0.2% | |||
AptarGroup, Inc. | 1,929 | 235,859 | |
Berry Global Group, Inc. | 2,527 | 138,985 | |
Crown Holdings, Inc. | 1,100 | 88,660 | |
Graphic Packaging Holding Co. | 6,453 | 138,804 | |
International Paper Co. | 3,418 | 115,289 | |
Packaging Corp. of America | 1,071 | 163,917 | |
Sealed Air Corp. | 2,541 | 78,237 | |
TriMas Corp. | 54,816 | 1,327,095 | |
Westrock Co. | 3,101 | 111,419 | |
2,398,265 | |||
Diversified Industrials – 1.3% | |||
3M Co. | 5,122 | 465,846 | |
Emerson Electric Co. | 6,244 | 555,529 | |
Honeywell International, Inc. | 36,510 | 6,690,823 | |
Illinois Tool Works, Inc. | 23,296 | 5,221,099 | |
Parker-Hannifin Corp. | 14,752 | 5,442,160 | |
18,375,457 | |||
E-Commerce Discretionary – 2.9% | |||
Amazon.com, Inc.* | 304,468 | 40,521,646 | |
eBay, Inc. | 2,072 | 81,284 | |
Etsy, Inc.* | 336 | 20,933 | |
40,623,863 | |||
Electric Utilities – 2.7% | |||
Ameren Corp. | 2,498 | 189,124 |
Number of Shares | Value | ||
Electric Utilities (Continued) | |||
American Electric Power Co., Inc. | 29,403 | $ 2,221,103 | |
Avista Corp. | 46,503 | 1,473,680 | |
CMS Energy Corp. | 3,591 | 195,135 | |
Consolidated Edison, Inc. | 2,738 | 240,369 | |
Dominion Energy, Inc. | 96,060 | 3,873,139 | |
Duke Energy Corp. | 80,189 | 7,128,000 | |
Eversource Energy | 2,662 | 143,189 | |
Exelon Corp. | 89,900 | 3,500,706 | |
NextEra Energy, Inc. | 61,900 | 3,608,770 | |
NorthWestern Corp. | 30,664 | 1,472,179 | |
NRG Energy, Inc. | 2,244 | 95,101 | |
OGE Energy Corp. | 6,187 | 211,595 | |
PG&E Corp.* | 162,061 | 2,641,594 | |
Southern (The) Co. | 107,563 | 7,238,990 | |
Xcel Energy, Inc. | 54,771 | 3,246,277 | |
37,478,951 | |||
Electrical Equipment – 1.8% | |||
A.O. Smith Corp. | 1,345 | 93,827 | |
Allegion PLC | 1,012 | 99,540 | |
AMETEK, Inc. | 1,555 | 218,897 | |
Amphenol Corp., Class A | 7,813 | 629,337 | |
Eaton Corp. PLC | 65,322 | 13,581,097 | |
Generac Holdings, Inc.* | 278 | 23,371 | |
Hubbell, Inc. | 380 | 102,638 | |
Johnson Controls International PLC | 42,591 | 2,087,811 | |
Lennox International, Inc. | 283 | 104,863 | |
Novanta, Inc.* | 17,450 | 2,304,447 | |
Otis Worldwide Corp. | 14,155 | 1,092,908 | |
Rockwell Automation, Inc. | 405 | 106,438 | |
Sensata Technologies Holding PLC | 62,407 | 1,989,535 | |
TE Connectivity Ltd. | 1,150 | 135,528 | |
Trane Technologies PLC | 15,387 | 2,928,300 | |
25,498,537 | |||
Engineering & Construction – 0.2% | |||
Comfort Systems USA, Inc. | 8,118 | 1,476,258 | |
EMCOR Group, Inc. | 713 | 147,341 | |
Installed Building Products, Inc. | 7,465 | 833,617 | |
2,457,216 | |||
Entertainment Content – 0.6% | |||
Electronic Arts, Inc. | 12,880 | 1,594,415 | |
Paramount Global, Class B(b) | 2,146 | 23,349 | |
Walt Disney (The) Co.* | 84,834 | 6,921,606 | |
8,539,370 |
Number of Shares | Value | ||
Food – 1.6% | |||
BellRing Brands, Inc.* | 76,762 | $ 3,356,802 | |
Campbell Soup Co. | 4,307 | 174,046 | |
Conagra Brands, Inc. | 8,088 | 221,288 | |
General Mills, Inc. | 8,981 | 585,921 | |
Hershey (The) Co. | 3,348 | 627,248 | |
J&J Snack Foods Corp. | 9,507 | 1,488,891 | |
J.M. Smucker (The) Co. | 1,878 | 213,792 | |
Kraft Heinz (The) Co. | 29,592 | 930,964 | |
Lamb Weston Holdings, Inc. | 1,808 | 162,358 | |
Lancaster Colony Corp. | 19,187 | 3,245,865 | |
Mondelez International, Inc., Class A | 14,516 | 961,104 | |
Nestle S.A.(c) | 50,411 | 5,436,261 | |
Post Holdings, Inc.(b)* | 65,208 | 5,234,898 | |
Tyson Foods, Inc., Class A | 4,257 | 197,312 | |
22,836,750 | |||
Forestry, Paper & Wood Products – 0.1% | |||
Boise Cascade Co. | 15,220 | 1,426,875 | |
Gas & Water Utilities – 0.1% | |||
American Water Works Co., Inc. | 1,281 | 150,710 | |
UGI Corp. | 94,209 | 1,959,547 | |
2,110,257 | |||
Health Care Facilities & Services – 3.6% | |||
Cardinal Health, Inc. | 2,267 | 206,297 | |
Catalent, Inc.* | 800 | 27,512 | |
Charles River Laboratories International, Inc.* | 300 | 50,508 | |
Cigna Group (The) | 36,375 | 11,247,150 | |
CVS Health Corp. | 11,677 | 805,830 | |
DaVita, Inc.* | 1,310 | 101,171 | |
Elevance Health, Inc. | 1,882 | 847,069 | |
Encompass Health Corp. | 2,316 | 144,889 | |
Ensign Group (The), Inc. | 35,077 | 3,388,438 | |
HCA Healthcare, Inc. | 2,103 | 475,573 | |
HealthEquity, Inc.* | 48,501 | 3,476,552 | |
Henry Schein, Inc.* | 2,259 | 146,790 | |
ICON PLC* | 12,727 | 3,104,879 | |
McKesson Corp. | 20,635 | 9,396,354 | |
Medpace Holdings, Inc.* | 8,987 | 2,180,875 | |
Patterson Cos., Inc. | 46,539 | 1,417,578 | |
Quest Diagnostics, Inc. | 2,007 | 261,111 | |
Tenet Healthcare Corp.* | 782 | 41,993 | |
UnitedHealth Group, Inc. | 25,818 | 13,827,088 | |
Universal Health Services, Inc., Class B | 870 | 109,524 | |
51,257,181 |
Number of Shares | Value | ||
Home & Office Products – 0.0%(a) | |||
Tempur Sealy International, Inc. | 1,923 | $ 76,785 | |
Whirlpool Corp.(b) | 718 | 75,074 | |
151,859 | |||
Home Construction – 0.6% | |||
Century Communities, Inc. | 12,058 | 741,567 | |
DR Horton, Inc. | 949 | 99,076 | |
Fortune Brands Innovations, Inc. | 12,387 | 691,194 | |
Lennar Corp., Class A | 988 | 105,400 | |
Masco Corp. | 1,753 | 91,314 | |
Masonite International Corp.* | 17,905 | 1,417,002 | |
Mohawk Industries, Inc.* | 520 | 41,798 | |
NVR, Inc.* | 847 | 4,584,489 | |
PulteGroup, Inc. | 1,306 | 96,108 | |
Toll Brothers, Inc.(b) | 1,626 | 114,974 | |
7,982,922 | |||
Household Products – 1.0% | |||
Central Garden & Pet Co., Class A* | 18,164 | 720,929 | |
Clorox (The) Co. | 1,018 | 119,818 | |
Colgate-Palmolive Co. | 12,724 | 955,827 | |
Estee Lauder (The) Cos., Inc., Class A | 29,600 | 3,814,552 | |
Kenvue, Inc. | 167,947 | 3,123,814 | |
Kimberly-Clark Corp. | 30,751 | 3,679,050 | |
Reckitt Benckiser Group PLC (United Kingdom) | 23,350 | 1,562,278 | |
13,976,268 | |||
Industrial Intermediate Products – 0.3% | |||
AZZ, Inc. | 15,739 | 743,983 | |
RBC Bearings, Inc.(b)* | 16,778 | 3,688,475 | |
4,432,458 | |||
Industrial Support Services – 1.2% | |||
Fastenal Co. | 2,906 | 169,536 | |
Ferguson PLC | 10,186 | 1,529,937 | |
United Rentals, Inc. | 196 | 79,629 | |
W.W. Grainger, Inc.(b) | 12,899 | 9,414,077 | |
Watsco, Inc.(b) | 244 | 85,129 | |
WESCO International, Inc. | 49,819 | 6,386,796 | |
17,665,104 | |||
Institutional Financial Services – 1.7% | |||
Bank of New York Mellon (The) Corp. | 27,039 | 1,149,158 | |
CME Group, Inc. | 4,721 | 1,007,745 | |
Goldman Sachs Group (The), Inc. | 4,949 | 1,502,566 |
Number of Shares | Value | ||
Institutional Financial Services (Continued) | |||
Houlihan Lokey, Inc. | 1,757 | $ 176,614 | |
Intercontinental Exchange, Inc. | 17,000 | 1,826,480 | |
Moelis & Co., Class A(b) | 79,447 | 3,308,173 | |
Morgan Stanley | 101,972 | 7,221,657 | |
Nasdaq, Inc. | 100,294 | 4,974,582 | |
Northern Trust Corp. | 14,544 | 958,595 | |
Piper Sandler Cos. | 10,530 | 1,472,620 | |
SEI Investments Co. | 3,785 | 203,103 | |
State Street Corp. | 6,526 | 421,775 | |
24,223,068 | |||
Insurance – 4.5% | |||
Allstate (The) Corp. | 21,986 | 2,817,066 | |
American International Group, Inc. | 85,267 | 5,227,720 | |
AMERISAFE, Inc. | 15,204 | 774,948 | |
Aon PLC, Class A | 28,069 | 8,684,548 | |
BRP Group, Inc., Class A* | 45,734 | 957,213 | |
Chubb Ltd. | 36,050 | 7,737,051 | |
Goosehead Insurance, Inc., Class A* | 12,800 | 830,336 | |
Hartford Financial Services Group (The), Inc. | 28,852 | 2,119,179 | |
Loews Corp. | 10,257 | 656,550 | |
Marsh & McLennan Cos., Inc. | 82,000 | 15,551,300 | |
Progressive (The) Corp. | 63,019 | 9,962,674 | |
Skyward Specialty Insurance Group, Inc.(b)* | 21,945 | 617,752 | |
Travelers (The) Cos., Inc. | 32,488 | 5,439,791 | |
Willis Towers Watson PLC | 10,721 | 2,528,977 | |
63,905,105 | |||
Internet Media & Services – 7.0% | |||
Alphabet, Inc., Class A* | 335,669 | 41,649,810 | |
Meta Platforms, Inc., Class A* | 114,427 | 34,473,422 | |
Netflix, Inc.* | 39,286 | 16,173,653 | |
Uber Technologies, Inc.* | 159,779 | 6,915,235 | |
99,212,120 | |||
Leisure Facilities & Services – 1.0% | |||
Chipotle Mexican Grill, Inc.* | 144 | 279,677 | |
Chuy's Holdings, Inc.* | 20,831 | 701,171 | |
Domino's Pizza, Inc. | 307 | 104,070 | |
Marriott International, Inc., Class A | 24,665 | 4,650,832 | |
Papa John's International, Inc.(b) | 23,078 | 1,500,532 | |
Red Rock Resorts, Inc., Class A(b) | 152,207 | 6,019,787 |
Number of Shares | Value | ||
Leisure Facilities & Services (Continued) | |||
TKO Group Holdings, Inc.(b) | 766 | $ 62,797 | |
Vail Resorts, Inc. | 4,288 | 910,128 | |
Wingstop, Inc. | 307 | 56,110 | |
14,285,104 | |||
Leisure Products – 0.1% | |||
Brunswick Corp. | 1,033 | 71,762 | |
Hasbro, Inc. | 898 | 40,545 | |
Polaris, Inc.(b) | 947 | 81,840 | |
YETI Holdings, Inc.* | 38,681 | 1,644,716 | |
1,838,863 | |||
Machinery – 1.4% | |||
Alamo Group, Inc. | 8,884 | 1,424,105 | |
Albany International Corp., Class A | 16,470 | 1,344,117 | |
Caterpillar, Inc. | 2,107 | 476,287 | |
CSW Industrials, Inc. | 9,715 | 1,722,081 | |
Esab Corp. | 59,203 | 3,747,550 | |
Federal Signal Corp. | 23,373 | 1,356,569 | |
Graco, Inc. | 1,672 | 124,313 | |
Helios Technologies, Inc. | 27,704 | 1,432,851 | |
IDEX Corp. | 915 | 175,140 | |
Kadant, Inc.(b) | 14,417 | 3,171,740 | |
Middleby (The) Corp.* | 665 | 75,059 | |
Regal Rexnord Corp.(b) | 32,305 | 3,825,235 | |
Snap-on, Inc. | 697 | 179,784 | |
Stanley Black & Decker, Inc. | 760 | 64,638 | |
Veralto Corp.* | 2,377 | 164,013 | |
Xylem, Inc. | 1,215 | 113,651 | |
19,397,133 | |||
Medical Equipment & Devices – 3.7% | |||
Abbott Laboratories | 41,383 | 3,912,763 | |
Alcon, Inc. (Switzerland) | 80,314 | 5,727,995 | |
Align Technology, Inc.* | 98 | 18,090 | |
Avanos Medical, Inc.* | 60,628 | 1,113,130 | |
Baxter International, Inc. | 1,803 | 58,471 | |
Boston Scientific Corp.* | 134,990 | 6,910,138 | |
CONMED Corp. | 15,373 | 1,498,253 | |
Enovis Corp.* | 60,612 | 2,782,091 | |
Envista Holdings Corp.* | 33,096 | 770,144 | |
Inspire Medical Systems, Inc.* | 5,958 | 876,779 | |
Intuitive Surgical, Inc.* | 26,668 | 6,992,883 | |
Medtronic PLC | 35,429 | 2,499,870 | |
Merit Medical Systems, Inc.* | 18,877 | 1,297,605 | |
Neogen Corp.* | 75,161 | 1,119,147 | |
QuidelOrtho Corp.* | 700 | 42,756 | |
Silk Road Medical, Inc.(b)* | 31,026 | 233,005 |
Number of Shares | Value | ||
Medical Equipment & Devices (Continued) | |||
Stryker Corp. | 24,600 | $ 6,647,412 | |
Thermo Fisher Scientific, Inc. | 21,936 | 9,756,475 | |
Waters Corp.* | 389 | 92,788 | |
52,349,795 | |||
Metals & Mining – 0.4% | |||
Encore Wire Corp.(b) | 8,068 | 1,442,801 | |
Freeport-McMoRan, Inc. | 127,930 | 4,321,475 | |
5,764,276 | |||
Oil & Gas Producers – 4.5% | |||
Antero Midstream Corp. | 88,535 | 1,092,522 | |
Cheniere Energy, Inc. | 33,045 | 5,499,349 | |
ConocoPhillips | 89,032 | 10,577,002 | |
Coterra Energy, Inc. | 128,507 | 3,533,942 | |
Diamondback Energy, Inc. | 627 | 100,521 | |
Enbridge, Inc. (Canada) | 154,680 | 4,956,899 | |
Enerplus Corp. (Canada) | 81,190 | 1,372,923 | |
EOG Resources, Inc. | 30,459 | 3,845,449 | |
Equitrans Midstream Corp. | 210,260 | 1,865,006 | |
Kinder Morgan, Inc. | 276,217 | 4,474,715 | |
Murphy USA, Inc. | 495 | 179,531 | |
Northern Oil and Gas, Inc. | 38,296 | 1,468,269 | |
ONEOK, Inc. | 69,546 | 4,534,399 | |
Pembina Pipeline Corp. (Canada) | 44,353 | 1,365,052 | |
Pioneer Natural Resources Co. | 26,405 | 6,310,795 | |
Sitio Royalties Corp., Class A(b) | 57,690 | 1,426,097 | |
SM Energy Co. | 26,309 | 1,060,779 | |
Targa Resources Corp. | 23,889 | 1,997,359 | |
TC Energy Corp. (Canada) | 101,172 | 3,484,388 | |
Texas Pacific Land Corp. | 43 | 79,376 | |
Williams (The) Cos., Inc. | 133,215 | 4,582,596 | |
63,806,969 | |||
Oil, Gas Services & Equipment – 0.1% | |||
Weatherford International PLC* | 7,839 | 729,733 | |
Publishing & Broadcasting – 0.1% | |||
Liberty Media Corp.-Liberty Formula One, Class C* | 27,911 | 1,805,562 | |
Nexstar Media Group, Inc. | 573 | 80,266 | |
1,885,828 | |||
Real Estate Investment Trusts – 2.7% | |||
Boston Properties, Inc. | 1,421 | 76,123 | |
Brixmor Property Group, Inc. | 7,047 | 146,507 | |
COPT Defense Properties | 58,123 | 1,325,204 |
Number of Shares | Value | ||
Real Estate Investment Trusts (Continued) | |||
CubeSmart | 108,411 | $ 3,695,731 | |
Douglas Emmett, Inc. | 58,331 | 653,890 | |
Easterly Government Properties, Inc. | 66,697 | 717,660 | |
Equinix, Inc. | 7,729 | 5,639,387 | |
Extra Space Storage, Inc. | 11,474 | 1,188,592 | |
Four Corners Property Trust, Inc. | 67,046 | 1,428,080 | |
Kimco Realty Corp. | 6,772 | 121,490 | |
Mid-America Apartment Communities, Inc. | 8,991 | 1,062,287 | |
National Storage Affiliates Trust | 69,417 | 1,979,773 | |
NNN REIT, Inc. | 6,805 | 247,226 | |
Plymouth Industrial REIT, Inc. | 72,334 | 1,442,340 | |
PotlatchDeltic Corp. | 32,741 | 1,402,952 | |
Prologis, Inc. | 53,794 | 5,419,745 | |
Public Storage | 5,985 | 1,428,679 | |
Rayonier, Inc. | 61,120 | 1,542,669 | |
Ryman Hospitality Properties, Inc. | 27,668 | 2,368,381 | |
SBA Communications Corp. | 8,811 | 1,838,239 | |
Simon Property Group, Inc. | 1,157 | 127,143 | |
Sunstone Hotel Investors, Inc. | 94,032 | 874,497 | |
UDR, Inc. | 65,357 | 2,079,006 | |
Urban Edge Properties | 89,673 | 1,422,214 | |
38,227,815 | |||
Real Estate Services – 0.1% | |||
Jones Lang LaSalle, Inc.* | 11,178 | 1,429,890 | |
Renewable Energy – 0.0%(a) | |||
Enphase Energy, Inc.* | 175 | 13,927 | |
SolarEdge Technologies, Inc.* | 96 | 7,291 | |
21,218 | |||
Retail - Consumer Staples – 1.0% | |||
Dollar General Corp. | 2,615 | 311,290 | |
Five Below, Inc.* | 18,803 | 3,271,346 | |
Kroger (The) Co. | 4,668 | 211,787 | |
Ollie's Bargain Outlet Holdings, Inc.* | 20,828 | 1,608,755 | |
Target Corp. | 78,908 | 8,742,217 | |
14,145,395 | |||
Retail - Discretionary – 1.2% | |||
Academy Sports & Outdoors, Inc. | 31,734 | 1,422,952 | |
Advance Auto Parts, Inc. | 725 | 37,722 | |
AutoNation, Inc.* | 508 | 66,081 |
Number of Shares | Value | ||
Retail - Discretionary (Continued) | |||
AutoZone, Inc.* | 288 | $ 713,413 | |
Avis Budget Group, Inc.* | 240 | 39,072 | |
Bath & Body Works, Inc. | 944 | 27,990 | |
Best Buy Co., Inc. | 1,126 | 75,239 | |
Builders FirstSource, Inc.* | 543 | 58,926 | |
CarMax, Inc.(b)* | 14,069 | 859,475 | |
Dick's Sporting Goods, Inc. | 425 | 45,454 | |
Floor & Decor Holdings, Inc., Class A(b)* | 18,629 | 1,535,029 | |
Freshpet, Inc.(b)* | 19,429 | 1,115,225 | |
Home Depot (The), Inc. | 1,458 | 415,078 | |
Lithia Motors, Inc. | 236 | 57,161 | |
Lowe's Cos., Inc. | 35,668 | 6,797,251 | |
Lululemon Athletica, Inc.(b)* | 504 | 198,314 | |
Mister Car Wash, Inc.(b)* | 136,414 | 709,353 | |
Monro, Inc. | 30,979 | 768,899 | |
O'Reilly Automotive, Inc.* | 869 | 808,552 | |
Sonic Automotive, Inc. Class A | 14,013 | 670,522 | |
Tractor Suppy Co. | 712 | 137,103 | |
Ulta Beauty, Inc.* | 483 | 184,173 | |
Williams-Sonoma, Inc. | 537 | 80,679 | |
16,823,663 | |||
Semiconductors – 4.0% | |||
Advanced Micro Devices, Inc.* | 1,431 | 140,954 | |
Analog Devices, Inc. | 40,177 | 6,321,047 | |
Applied Materials, Inc. | 1,535 | 203,157 | |
ASML Holding N.V. (Netherlands) | 10,320 | 6,179,719 | |
Intel Corp. | 107,985 | 3,941,453 | |
KLA Corp. | 11,833 | 5,557,960 | |
Lam Research Corp. | 283 | 166,466 | |
Micron Technology, Inc. | 2,943 | 196,798 | |
Monolithic Power Systems, Inc. | 3,436 | 1,517,819 | |
Nova Ltd. (Israel)(b)* | 14,964 | 1,421,131 | |
NVIDIA Corp. | 50,750 | 20,695,850 | |
NXP Semiconductors N.V. (China) | 26,883 | 4,635,436 | |
QUALCOMM, Inc. | 2,052 | 223,647 | |
Skyworks Solutions, Inc. | 694 | 60,198 | |
Teradyne, Inc.(b) | 770 | 64,118 | |
Texas Instruments, Inc. | 36,162 | 5,135,366 | |
56,461,119 | |||
Software – 8.6% | |||
Adobe, Inc.* | 17,506 | 9,314,242 | |
Akamai Technologies, Inc.* | 1,471 | 151,998 | |
Atlassian Corp., Class A* | 24,580 | 4,440,131 |
Number of Shares | Value | ||
Software (Continued) | |||
Check Point Software Technologies Ltd. (Israel)* | 19,431 | $ 2,608,612 | |
Clearwater Analytics Holdings, Inc., Class A(b)* | 142,005 | 2,567,450 | |
CyberArk Software Ltd.(b)* | 11,943 | 1,954,352 | |
Five9, Inc.* | 23,631 | 1,367,526 | |
Guidewire Software, Inc.* | 34,274 | 3,089,116 | |
Intuit, Inc. | 10,500 | 5,196,975 | |
Microsoft Corp. | 163,081 | 55,139,317 | |
Palo Alto Networks, Inc.* | 38,077 | 9,253,473 | |
Paylocity Holding Corp.* | 12,153 | 2,180,248 | |
PowerSchool Holdings, Inc., Class A(b)* | 57,311 | 1,141,635 | |
Q2 Holdings, Inc.* | 40,119 | 1,204,774 | |
Roper Technologies, Inc. | 1,534 | 749,466 | |
Salesforce, Inc.* | 41,678 | 8,370,193 | |
Splunk, Inc.* | 30,157 | 4,437,904 | |
SS&C Technologies Holdings, Inc. | 59,388 | 2,984,247 | |
Workday, Inc., Class A* | 25,560 | 5,411,308 | |
Zoom Video Communications, Inc., Class A* | 612 | 36,708 | |
121,599,675 | |||
Specialty Finance – 0.7% | |||
American Express Co. | 42,663 | 6,230,078 | |
Capital One Financial Corp. | 12,948 | 1,311,503 | |
Credit Acceptance Corp.(b)* | 90 | 36,219 | |
Mr. Cooper Group, Inc.* | 49,554 | 2,801,287 | |
Synchrony Financial | 2,215 | 62,131 | |
10,441,218 | |||
Steel – 0.0%(a) | |||
Cleveland-Cliffs, Inc.* | 2,417 | 40,557 | |
Nucor Corp. | 457 | 67,540 | |
108,097 | |||
Technology Hardware – 3.3% | |||
Apple, Inc. | 218,903 | 37,382,065 | |
Arista Networks, Inc.* | 1,902 | 381,104 | |
Arrow Electronics, Inc.* | 9,812 | 1,112,779 | |
Ciena Corp.* | 62,531 | 2,638,808 | |
Cisco Systems, Inc. | 13,641 | 711,105 | |
F5, Inc.* | 938 | 142,192 | |
Fabrinet (Thailand)* | 13,355 | 2,070,025 | |
Garmin Ltd. | 1,645 | 168,662 | |
Hewlett Packard Enterprise Co. | 9,026 | 138,820 | |
HP, Inc. | 4,034 | 106,215 | |
Juniper Networks, Inc. | 5,926 | 159,528 | |
NetApp, Inc. | 2,075 | 151,019 |
Number of Shares | Value | ||
Technology Hardware (Continued) | |||
Seagate Technology Holdings PLC(b) | 1,099 | $ 75,007 | |
TD SYNNEX Corp. | 1,502 | 137,703 | |
Viavi Solutions, Inc.* | 132,453 | 1,030,484 | |
46,405,516 | |||
Technology Services – 3.7% | |||
Accenture PLC, Class A | 24,703 | 7,339,014 | |
Amdocs Ltd. | 3,187 | 255,470 | |
Automatic Data Processing, Inc. | 2,674 | 583,520 | |
Booz Allen Hamilton Holding Corp. | 2,316 | 277,758 | |
CDW Corp. | 630 | 126,252 | |
Cognizant Technology Solutions Corp., Class A | 1,480 | 95,416 | |
Equifax, Inc. | 17,935 | 3,041,238 | |
FactSet Research Systems, Inc. | 390 | 168,437 | |
Fidelity National Information Services, Inc. | 29,051 | 1,426,695 | |
FleetCor Technologies, Inc.* | 403 | 90,743 | |
Globant S.A.* | 15,240 | 2,595,220 | |
International Business Machines Corp. | 7,864 | 1,137,449 | |
Jack Henry & Associates, Inc. | 639 | 90,093 | |
MarketAxess Holdings, Inc. | 8,155 | 1,743,131 | |
Moody's Corp. | 947 | 291,676 | |
Open Lending Corp.* | 103,398 | 619,354 | |
Paychex, Inc. | 1,451 | 161,133 | |
PayPal Holdings, Inc.* | 83,799 | 4,340,788 | |
S&P Global, Inc. | 20,728 | 7,240,498 | |
Shift4 Payments, Inc., Class A(b)* | 29,458 | 1,311,470 | |
Verisk Analytics, Inc. | 706 | 160,516 | |
Visa, Inc., Class A(b) | 81,267 | 19,105,872 | |
52,201,743 | |||
Telecommunications – 0.8% | |||
AT&T, Inc. | 29,085 | 447,909 | |
Cogent Communications Holdings, Inc. | 6,927 | 450,117 | |
T-Mobile U.S., Inc.* | 21,347 | 3,070,979 | |
Verizon Communications, Inc. | 229,100 | 8,048,283 | |
12,017,288 | |||
Tobacco & Cannabis – 0.1% | |||
Altria Group, Inc. | 23,196 | 931,783 |
Number of Shares | Value | ||
Transportation & Logistics – 1.9% | |||
Alaska Air Group, Inc.* | 41,655 | $ 1,317,548 | |
Allegiant Travel Co. | 18,746 | 1,248,858 | |
ArcBest Corp. | 12,745 | 1,387,675 | |
C.H. Robinson Worldwide, Inc. | 1,059 | 86,658 | |
Canadian National Railway Co. (Canada)(b) | 18,106 | 1,915,253 | |
CSX Corp. | 16,182 | 483,033 | |
Expeditors International of Washington, Inc. | 935 | 102,149 | |
FedEx Corp. | 1,537 | 369,034 | |
JB Hunt Transport Services, Inc. | 586 | 100,716 | |
Kirby Corp.* | 8,073 | 603,053 | |
Knight-Swift Transportation Holdings, Inc. | 1,530 | 74,802 | |
Landstar System, Inc. | 895 | 147,478 | |
Norfolk Southern Corp. | 2,372 | 452,554 | |
Saia, Inc.* | 5,948 | 2,132,298 | |
Union Pacific Corp. | 59,979 | 12,452,240 | |
United Parcel Service, Inc., Class B | 31,092 | 4,391,745 | |
27,265,094 | |||
Transportation Equipment – 0.2% | |||
Cummins, Inc. | 811 | 175,419 | |
PACCAR, Inc. | 33,841 | 2,792,898 | |
2,968,317 | |||
Wholesale - Consumer Staples – 0.2% | |||
Archer-Daniels-Midland Co. | 35,218 | 2,520,552 | |
Wholesale - Discretionary – 0.2% | |||
Pool Corp. | 8,083 | 2,552,369 | |
Total Common Stocks (Cost $1,140,310,900) | 1,255,971,994 | ||
Master Limited Partnerships – 0.9% | |||
Oil & Gas Producers – 0.9% | |||
Energy Transfer L.P. | 250,633 | 3,295,824 | |
Enterprise Products Partners L.P. | 196,313 | 5,111,991 |
Number of Shares | Value | ||
Oil & Gas Producers (Continued) | |||
MPLX L.P. | 49,876 | $ 1,797,531 | |
Plains All American Pipeline L.P. | 133,934 | 2,029,100 | |
Total Master Limited Partnerships (Cost $10,704,978) | 12,234,446 | ||
Investment Companies – 8.8% | |||
Materials Select Sector SPDR® Fund ETF(b) | 268,006 | 20,384,536 | |
Vanguard Consumer Staples ETF(b) | 188,727 | 33,874,609 | |
Vanguard Health Care ETF(b) | 312,268 | 70,510,115 | |
Total Investment Companies (Cost $128,848,527) | 124,769,260 |
Par (d)/Number of Shares | |||
Short-Term Investments – 2.3% | |||
Money Market Funds – 2.2% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 5.41%(e)(f) | 11,876,126 | 11,876,126 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 5.21%(e) | 18,920,337 | 18,920,337 | |
30,796,463 | |||
U.S. Government Agencies – 0.1%(g) | |||
Freddie Mac Discount Notes, 0.00%, 11/1/23(h) | $ 1,630,000 | 1,630,000 | |
Total Short-Term Investments (Cost $32,426,463) | 32,426,463 | ||
Total Investments – 100.8% (Cost $1,312,290,868) | 1,425,402,163 | ||
Liabilities less Other Assets – (0.8)% | (11,645,824) | ||
NET ASSETS – 100.0% | $1,413,756,339 |
Percentages shown are based on Net Assets. |
All securities are United States companies, unless noted otherwise in parentheses. | |||
(a) | Amount rounds to less than 0.05%. | ||
(b) | Security either partially or fully on loan. (See Note 7). | ||
(c) | Security sold outside United States without registration under the Securities Act of 1933. | ||
(d) | Par value is in USD unless otherwise indicated. | ||
(e) | 7-day current yield as of October 31, 2023 is disclosed. | ||
(f) | Security purchased with the cash proceeds from securities loaned. (See Note 7). |
(g) | The obligations of certain U.S. government-sponsored entities are neither issued nor guaranteed by the United States Treasury. | ||
(h) | Zero coupon bond. | ||
* | Non-Income Producing Security |
Abbreviations: |
ETF | Exchange-Traded Fund |
Freddie Mac | Federal Home Loan Mortgage Corporation |
L.P. | Limited Partnership |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
S&P | Standards & Poor's |
SPDR | Standard & Poor's Depositary Receipt |
Morningstar U.S. Equity Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Common Stocks | $1,242,801,309 | $13,170,685 | $— | $1,255,971,994 |
Master Limited Partnerships | 12,234,446 | — | — | 12,234,446 |
Investment Companies | 124,769,260 | — | — | 124,769,260 |
Short-Term Investments | 30,796,463 | 1,630,000 | — | 32,426,463 |
Total Investments | $1,410,601,478 | $14,800,685 | $— | $1,425,402,163 |
Number of Shares | Value | ||
Common Stocks – 94.8% | |||
Advertising & Marketing – 0.8% | |||
Dentsu Group, Inc. (Japan) | 14,394 | $ 418,088 | |
Publicis Groupe S.A. (France) | 29,078 | 2,214,096 | |
WPP PLC (United Kingdom) | 396,946 | 3,418,194 | |
6,050,378 | |||
Aerospace & Defense – 0.1% | |||
BAE Systems PLC (United Kingdom) | 72,270 | 971,770 | |
Apparel & Textile Products – 1.7% | |||
adidas A.G. (Germany) | 13,967 | 2,483,442 | |
Cie Financiere Richemont S.A., Class A (Switzerland)(a) | 13,824 | 1,630,893 | |
Kering S.A. (France) | 14,671 | 5,966,721 | |
Swatch Group (The) A.G. (Bearer) (Switzerland) | 7,693 | 1,969,224 | |
Titan Co. Ltd. (India) | 7,395 | 283,493 | |
12,333,773 | |||
Asset Management – 1.5% | |||
EXOR N.V. (Netherlands)(b) | 38,551 | 3,308,801 | |
HDFC Asset Management Co. Ltd. (India)(c) | 12,367 | 406,221 | |
Sanlam Ltd. (South Africa) | 333,527 | 1,169,828 | |
Schroders PLC (United Kingdom) | 800,124 | 3,603,005 | |
St. James's Place PLC (United Kingdom) | 31,615 | 246,464 | |
XP, Inc., Class A (Brazil) | 83,596 | 1,671,920 | |
10,406,239 | |||
Automotive – 4.5% | |||
Bajaj Auto Ltd. (India) | 6,667 | 425,294 | |
Bayerische Motoren Werke A.G. (Germany) | 40,255 | 3,743,891 | |
Bridgestone Corp. (Japan) | 45,300 | 1,714,388 | |
Continental A.G. (Germany) | 64,175 | 4,189,921 | |
Denso Corp. (Japan) | 56,400 | 832,821 | |
Fuyao Glass Industry Group Co. Ltd., Class A (China) | 252,800 | 1,282,027 | |
Honda Motor Co. Ltd. (Japan) | 216,900 | 2,222,959 | |
Huayu Automotive Systems Co. Ltd., Class A (China) | 322,000 | 769,683 | |
Hyundai Mobis Co. Ltd. (South Korea) | 4,525 | 700,763 | |
Kia Corp. (South Korea) | 8,493 | 485,217 | |
Li Auto, Inc. ADR (China)* | 31,404 | 1,061,769 |
Number of Shares | Value | ||
Automotive (Continued) | |||
Li Auto, Inc., Class A (China)* | 2,500 | $ 42,284 | |
Maruti Suzuki India Ltd. (India) | 3,452 | 431,074 | |
Mercedes-Benz Group A.G. (Germany) | 81,690 | 4,806,172 | |
Nissan Motor Co. Ltd. (Japan) | 226,676 | 872,246 | |
Stanley Electric Co. Ltd. (Japan) | 46,800 | 748,547 | |
Sumitomo Electric Industries Ltd. (Japan) | 40,600 | 426,228 | |
Toyota Motor Corp. (Japan) | 282,600 | 4,943,734 | |
Valeo SE (France) | 153,136 | 2,023,400 | |
31,722,418 | |||
Banking – 10.8% | |||
Al Rajhi Bank (Saudi Arabia) | 12,090 | 216,418 | |
Axis Bank Ltd. (India) | 234,050 | 2,761,746 | |
Banco Bilbao Vizcaya Argentaria S.A. (Spain) | 552,981 | 4,350,431 | |
Banco do Brasil S.A. (Brazil) | 174,800 | 1,677,012 | |
Banco Santander Chile ADR (Chile)(b) | 17,132 | 298,097 | |
Bank Central Asia Tbk PT (Indonesia) | 1,758,500 | 968,794 | |
Bank for Foreign Trade of Vietnam JSC (Vietnam)* | 93,100 | 329,240 | |
Bank Mandiri Persero Tbk PT (Indonesia) | 4,082,300 | 1,458,410 | |
Barclays PLC (United Kingdom) | 290,611 | 466,445 | |
BDO Unibank, Inc. (Philippines) | 267,704 | 602,595 | |
BNP Paribas S.A. (France) | 95,698 | 5,503,021 | |
Capitec Bank Holdings Ltd. (South Africa) | 6,258 | 556,052 | |
China Construction Bank Corp., Class H (China) | 3,613,000 | 2,043,361 | |
China Merchants Bank Co. Ltd., Class H (China) | 231,113 | 876,680 | |
CIMB Group Holdings Bhd. (Malaysia) | 293,300 | 351,402 | |
Commercial International Bank Egypt S.A.E. GDR (Egypt)(a) | 435,761 | 495,896 | |
Credicorp Ltd. (Peru) | 17,171 | 2,145,688 | |
DBS Group Holdings Ltd. (Singapore) | 254,952 | 6,124,797 | |
First Abu Dhabi Bank PJSC (United Arab Emirates) | 109,386 | 377,624 |
Number of Shares | Value | ||
Banking (Continued) | |||
Grupo Financiero Banorte S.A.B. de C.V., Class O (Mexico) | 150,432 | $ 1,218,625 | |
HDFC Bank Ltd. (India) | 39,236 | 696,225 | |
HDFC Bank Ltd. ADR (India) | 59,399 | 3,359,013 | |
HSBC Holdings PLC (United Kingdom) | 364,295 | 2,630,365 | |
ICICI Bank Ltd. (India) | 60,431 | 664,850 | |
ICICI Bank Ltd. ADR (India) | 112,375 | 2,493,601 | |
Intesa Sanpaolo S.p.A. (Italy) | 1,856,739 | 4,838,274 | |
Kasikornbank PCL (Thailand)(a) | 191,100 | 699,097 | |
KB Financial Group, Inc. (South Korea) | 31,529 | 1,201,831 | |
Kotak Mahindra Bank Ltd. (India) | 33,758 | 705,705 | |
Lloyds Banking Group PLC (United Kingdom) | 14,629,682 | 7,120,266 | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | 156,900 | 1,316,257 | |
Mizuho Financial Group, Inc. (Japan) | 30,700 | 521,237 | |
National Bank of Greece S.A. (Greece)* | 15,663 | 89,708 | |
NatWest Group PLC (United Kingdom) | 146,191 | 318,085 | |
Nedbank Group Ltd. (South Africa) | 104,573 | 1,125,377 | |
OTP Bank Nyrt. (Hungary) | 63,294 | 2,355,804 | |
Qatar National Bank QPSC (Qatar) | 219,450 | 897,449 | |
Resona Holdings, Inc. (Japan) | 102,800 | 549,294 | |
Saudi Awwal Bank (Saudi Arabia) | 31,414 | 280,499 | |
Saudi National Bank (The) (Saudi Arabia) | 128,220 | 1,147,332 | |
Sberbank of Russia PJSC (Russia)(d) | 405,212 | — | |
Shinhan Financial Group Co. Ltd. (South Korea) | 37,021 | 951,596 | |
Skandinaviska Enskilda Banken AB, Class A (Sweden) | 447,217 | 4,990,725 | |
Standard Bank Group Ltd. (South Africa) | 92,251 | 905,260 | |
Standard Chartered PLC (United Kingdom) | 62,271 | 477,453 | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | 44,900 | 2,164,538 | |
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 34,700 | 1,301,139 | |
76,623,314 |
Number of Shares | Value | ||
Beverages – 2.4% | |||
Ambev S.A. ADR (Brazil)* | 871,167 | $ 2,204,053 | |
Anheuser-Busch InBev S.A./N.V. (Belgium) | 48,900 | 2,782,314 | |
Asahi Group Holdings Ltd. (Japan) | 13,200 | 477,449 | |
Becle S.A.B. de C.V. (Mexico) | 96,200 | 169,627 | |
Budweiser Brewing Co. APAC Ltd. (China)(c) | 437,500 | 831,402 | |
Diageo PLC (United Kingdom) | 51,859 | 1,961,101 | |
Fomento Economico Mexicano S.A.B. de C.V. ADR (Mexico) | 49,276 | 5,588,391 | |
Kirin Holdings Co. Ltd. (Japan) | 93,000 | 1,306,959 | |
Kweichow Moutai Co. Ltd., Class A (China) | 1,700 | 390,221 | |
Nongfu Spring Co. Ltd., Class H (China)(c) | 76,600 | 436,294 | |
Tingyi Cayman Islands Holding Corp. (China) | 756,000 | 1,002,815 | |
17,150,626 | |||
Biotechnology & Pharmaceuticals – 5.3% | |||
Astellas Pharma, Inc. (Japan) | 61,400 | 776,702 | |
AstraZeneca PLC (United Kingdom) | 29,101 | 3,643,555 | |
Bayer A.G. (Germany)(a) | 101,660 | 4,392,583 | |
BioNTech S.E. ADR (Germany)* | 22,403 | 2,095,577 | |
China Medical System Holdings Ltd. (China) | 398,000 | 636,441 | |
Chugai Pharmaceutical Co. Ltd. (Japan) | 263,700 | 7,820,436 | |
Daiichi Sankyo Co. Ltd. (Japan) | 28,500 | 734,849 | |
Genmab A/S (Denmark)* | 9,074 | 2,565,065 | |
GSK PLC | 84,608 | 1,508,288 | |
Hypera S.A. (Brazil)* | 59,000 | 355,047 | |
Novartis A.G. (Switzerland)(a) | 22,400 | 2,097,078 | |
Ono Pharmaceutical Co. Ltd. (Japan) | 22,500 | 388,564 | |
Roche Holding A.G. (Genusschein) | 23,814 | 6,137,097 | |
Sandoz Group A.G. (Switzerland)* | 4,860 | 126,355 | |
Shionogi & Co. Ltd. (Japan) | 54,100 | 2,519,147 | |
Takeda Pharmaceutical Co. Ltd. (Japan) | 60,400 | 1,639,543 | |
37,436,327 |
Number of Shares | Value | ||
Cable & Satellite – 0.3% | |||
Liberty Global PLC, Class A (United Kingdom)* | 115,900 | $ 1,803,404 | |
Chemicals – 2.8% | |||
Air Liquide S.A. (France) | 14,533 | 2,490,262 | |
Akzo Nobel N.V. (Netherlands) | 24,000 | 1,610,033 | |
Asian Paints Ltd. (India) | 16,295 | 586,966 | |
Brenntag S.E. (Germany) | 31,500 | 2,342,391 | |
LG Chem Ltd. (South Korea) | 2,709 | 887,854 | |
Linde PLC | 8,571 | 3,275,493 | |
Nitto Denko Corp. (Japan) | 12,700 | 821,763 | |
Novozymes A/S, Class B (Denmark)(b) | 32,464 | 1,459,029 | |
Saudi Basic Industries Corp. (Saudi Arabia) | 34,042 | 699,538 | |
Shin-Etsu Chemical Co. Ltd. (Japan) | 64,200 | 1,919,797 | |
Symrise A.G. (Germany) | 25,914 | 2,648,133 | |
Toray Industries, Inc. (Japan) | 91,000 | 440,243 | |
UPL Ltd. (India) | 140,873 | 914,683 | |
20,096,185 | |||
Commercial Support Services – 1.7% | |||
Bidvest Group (The) Ltd. (South Africa) | 47,067 | 666,224 | |
Compass Group PLC (United Kingdom) | 82,661 | 2,083,998 | |
Edenred (France) | 35,400 | 1,884,394 | |
Eurofins Scientific S.E. (France) | 46,335 | 2,350,843 | |
Pony Testing International Group Co. Ltd., Class A (China) | 157,602 | 286,553 | |
Recruit Holdings Co. Ltd. (Japan) | 122,900 | 3,523,876 | |
Rentokil Initial PLC (United Kingdom) | 52,522 | 267,468 | |
Secom Co. Ltd. (Japan) | 13,800 | 958,477 | |
12,021,833 | |||
Construction Materials – 0.5% | |||
Anhui Conch Cement Co. Ltd., Class H (China) | 332,000 | 826,247 | |
Holcim Ltd.* | 44,415 | 2,746,080 | |
Siam Cement (The) PCL (Thailand)(a) | 43,900 | 351,762 | |
3,924,089 | |||
Containers & Packaging – 0.0% | |||
Klabin S.A. (Brazil) | 90,200 | 382,859 |
Number of Shares | Value | ||
Diversified Industrials – 1.1% | |||
Alfa Laval AB (Sweden) | 106,437 | $ 3,449,281 | |
Hitachi Ltd. (Japan) | 18,900 | 1,198,007 | |
Siemens A.G. (Germany)(a) | 21,957 | 2,913,669 | |
7,560,957 | |||
E-Commerce Discretionary – 2.1% | |||
Alibaba Group Holding Ltd. (China)* | 791,856 | 8,152,220 | |
Alibaba Group Holding Ltd. ADR (China)* | 17,177 | 1,417,790 | |
JD.com, Inc. ADR (China) | 19,932 | 506,671 | |
JD.com, Inc., Class A (China) | 122,633 | 1,559,053 | |
MercadoLibre, Inc. (Brazil)* | 529 | 656,352 | |
PDD Holdings, Inc. (China)* | 19,352 | 1,962,680 | |
Sea Ltd. ADR (Singapore)* | 4,301 | 179,352 | |
Vipshop Holdings Ltd. ADR (China)* | 21,890 | 312,151 | |
14,746,269 | |||
Electric Utilities – 0.3% | |||
Chubu Electric Power Co., Inc. (Japan) | 39,581 | 478,303 | |
Engie Brasil Energia S.A. (Brazil) | 75,800 | 593,110 | |
National Grid PLC (United Kingdom) | 64,599 | 770,212 | |
SSE PLC (United Kingdom) | 17,453 | 346,853 | |
2,188,478 | |||
Electrical Equipment – 2.0% | |||
Assa Abloy AB, Class B (Sweden) | 96,820 | 2,063,726 | |
Daikin Industries Ltd. (Japan) | 6,900 | 994,834 | |
Mitsubishi Electric Corp. (Japan) | 132,500 | 1,519,313 | |
Schindler Holding A.G. (Switzerland) | 6,875 | 1,390,969 | |
Schneider Electric S.E. | 38,842 | 5,976,124 | |
Shenzhen Inovance Technology Co. Ltd., Class A (China) | 42,000 | 346,023 | |
Toshiba Corp. (Japan)* | 28,330 | 861,251 | |
Voltas Ltd. (India) | 85,574 | 861,127 | |
14,013,367 | |||
Engineering & Construction – 0.2% | |||
Indus Towers Ltd. (India)* | 466,353 | 965,058 | |
Larsen & Toubro Ltd. (India) | 14,137 | 497,494 | |
1,462,552 | |||
Entertainment Content – 0.3% | |||
NetEase, Inc. (China) | 64,200 | 1,373,980 |
Number of Shares | Value | ||
Entertainment Content (Continued) | |||
Nexon Co. Ltd. (Japan) | 22,300 | $ 409,188 | |
Square Enix Holdings Co. Ltd. (Japan) | 10,500 | 348,829 | |
2,131,997 | |||
Food – 1.2% | |||
Chacha Food Co. Ltd., Class A (China) | 78,100 | 393,920 | |
Danone S.A. (France) | 41,200 | 2,451,007 | |
Gruma S.A.B. de C.V., Class B (Mexico) | 27,730 | 482,987 | |
MEIJI Holdings Co. Ltd. (Japan) | 50,300 | 1,238,086 | |
Nestle S.A. ADR | 23,375 | 2,518,890 | |
Universal Robina Corp. (Philippines) | 107,970 | 208,148 | |
Want Want China Holdings Ltd. (China) | 871,000 | 541,204 | |
Yamazaki Baking Co. Ltd. (Japan) | 24,300 | 513,815 | |
8,348,057 | |||
Gas & Water Utilities – 0.4% | |||
ENN Energy Holdings Ltd. (China) | 204,800 | 1,551,390 | |
ENN Natural Gas Co. Ltd., Class A (China) | 243,200 | 572,050 | |
Osaka Gas Co. Ltd. (Japan) | 31,100 | 586,477 | |
Severn Trent PLC (United Kingdom) | 8,494 | 274,207 | |
2,984,124 | |||
Health Care Facilities & Services – 1.8% | |||
Alfresa Holdings Corp. (Japan) | 30,800 | 487,890 | |
Bangkok Dusit Medical Services PCL NVDR (Thailand) | 508,000 | 374,480 | |
Bumrungrad Hospital PCL (Thailand)(a) | 45,200 | 326,967 | |
Fresenius Medical Care A.G. & Co. KGaA (Germany) | 115,300 | 3,830,977 | |
Fresenius S.E. & Co. KGaA (Germany) | 146,300 | 3,763,317 | |
Life Healthcare Group Holdings Ltd. (South Africa) | 535,175 | 533,237 | |
Lonza Group A.G. (Switzerland)(a) | 4,669 | 1,635,102 | |
Nahdi Medical Co. (Saudi Arabia) | 21,052 | 795,980 | |
Sinopharm Group Co. Ltd., Class H (China) | 455,923 | 1,090,241 | |
12,838,191 |
Number of Shares | Value | ||
Home & Office Products – 0.7% | |||
Coway Co. Ltd. (South Korea) | 16,039 | $ 513,261 | |
Gree Electric Appliances, Inc. of Zhuhai, Class A (China) | 221,100 | 1,022,085 | |
Haier Smart Home Co. Ltd., Class A (China) | 862,300 | 2,611,280 | |
Midea Group Co. Ltd., Class A (China) | 142,400 | 1,026,718 | |
5,173,344 | |||
Home Construction – 0.1% | |||
Berkeley Group Holdings (The) PLC (United Kingdom) | 8,867 | 435,872 | |
Sekisui House Ltd. (Japan) | 24,869 | 487,004 | |
922,876 | |||
Household Products – 3.8% | |||
Haleon PLC | 1,365,051 | 5,471,248 | |
Hengan International Group Co. Ltd. (China) | 271,000 | 907,660 | |
Henkel A.G. & Co. KGaA (Germany) | 33,600 | 2,123,533 | |
Hindustan Unilever Ltd. (India) | 15,233 | 454,604 | |
Kao Corp. (Japan) | 44,200 | 1,612,589 | |
Kimberly-Clark de Mexico S.A.B. de C.V., Series A (Mexico) | 423,507 | 776,120 | |
L'Oreal S.A. (France) | 12,449 | 5,232,698 | |
Reckitt Benckiser Group PLC (United Kingdom) | 44,796 | 2,997,164 | |
Shiseido Co. Ltd. (Japan) | 48,000 | 1,522,343 | |
Unicharm Corp. (Japan) | 79,400 | 2,697,923 | |
Unilever PLC (United Kingdom) | 50,467 | 2,390,152 | |
Unilever PLC (London Exchange) (United Kingdom) | 21,950 | 1,038,330 | |
27,224,364 | |||
Industrial Intermediate Products – 0.4% | |||
SKF AB, Class B (Sweden) | 189,500 | 3,072,262 | |
Industrial Support Services – 0.3% | |||
Ashtead Group PLC (United Kingdom) | 36,434 | 2,089,581 | |
Institutional Financial Services – 0.3% | |||
B3 S.A. - Brasil Bolsa Balcao (Brazil) | 277,810 | 546,975 | |
Daiwa Securities Group, Inc. (Japan) | 91,200 | 525,902 | |
Japan Exchange Group, Inc. (Japan) | 25,900 | 512,167 |
Number of Shares | Value | ||
Institutional Financial Services (Continued) | |||
London Stock Exchange Group PLC (United Kingdom) | 8,393 | $ 846,813 | |
Moscow Exchange MICEX PJSC (Russia)(d) | 83,130 | — | |
2,431,857 | |||
Insurance – 4.7% | |||
AIA Group Ltd. (Hong Kong) | 545,800 | 4,739,622 | |
Allianz S.E. (Germany)(a) | 40,936 | 9,588,953 | |
Aviva PLC (United Kingdom) | 53,582 | 259,528 | |
BB Seguridade Participacoes S.A. (Brazil) | 283,500 | 1,725,151 | |
Dai-ichi Life Holdings, Inc. (Japan) | 41,200 | 870,351 | |
HDFC Life Insurance Co. Ltd. (India)(c) | 116,564 | 865,916 | |
Legal & General Group PLC (United Kingdom) | 94,894 | 244,495 | |
Manulife Financial Corp. (Canada) | 277,700 | 4,834,093 | |
MS&AD Insurance Group Holdings, Inc. (Japan) | 25,900 | 948,990 | |
Ping An Insurance Group Co. of China Ltd., Class H (China) | 522,000 | 2,647,833 | |
Prudential PLC (Hong Kong) | 480,792 | 5,027,348 | |
Sompo Holdings, Inc. (Japan) | 10,300 | 446,196 | |
Tokio Marine Holdings, Inc. (Japan) | 40,200 | 899,364 | |
33,097,840 | |||
Internet Media & Services – 3.4% | |||
Baidu, Inc., Class A (China)* | 117,700 | 1,545,261 | |
Meituan, Class B (China)(c)* | 129,690 | 1,838,357 | |
NAVER Corp. (South Korea) | 27,111 | 3,790,204 | |
Prosus N.V. (China)* | 150,707 | 4,214,609 | |
Tencent Holdings Ltd. (China) | 250,900 | 9,285,497 | |
Tencent Music Entertainment Group ADR (China)* | 142,510 | 1,034,623 | |
Trip.com Group Ltd. (China)* | 29,800 | 1,015,632 | |
Trip.com Group Ltd. ADR (China)* | 35,958 | 1,222,572 | |
23,946,755 | |||
Leisure Facilities & Services – 1.3% | |||
Accor S.A. (France) | 94,219 | 3,005,831 |
Number of Shares | Value | ||
Leisure Facilities & Services (Continued) | |||
Entain PLC (United Kingdom) | 20,529 | $ 233,051 | |
InterContinental Hotels Group PLC (United Kingdom) | 6,376 | 451,820 | |
Jiumaojiu International Holdings Ltd. (China)(c) | 285,000 | 310,114 | |
Jollibee Foods Corp. (Philippines) | 127,710 | 461,646 | |
Las Vegas Sands Corp. | 21,906 | 1,039,659 | |
OPAP S.A. (Greece) | 32,089 | 543,533 | |
Yum China Holdings, Inc. (China) | 6,800 | 356,334 | |
Yum China Holdings, Inc. (New York Stock Exchange) (China) | 56,240 | 2,955,974 | |
9,357,962 | |||
Leisure Products – 0.4% | |||
Shimano, Inc. (Japan) | 17,700 | 2,547,138 | |
Machinery – 4.6% | |||
Atlas Copco AB, Class A (Sweden) | 264,307 | 3,422,517 | |
CNH Industrial N.V. (United Kingdom)(b) | 453,466 | 5,025,300 | |
Daifuku Co. Ltd. (Japan) | 103,400 | 1,708,468 | |
Epiroc AB, Class A (Sweden) | 160,340 | 2,641,557 | |
FANUC Corp. (Japan) | 74,200 | 1,841,378 | |
Hangcha Group Co. Ltd., Class A (China) | 119,000 | 356,559 | |
Hongfa Technology Co. Ltd., Class A (China) | 76,300 | 301,763 | |
Keyence Corp. (Japan) | 9,100 | 3,522,780 | |
Komatsu Ltd. (Japan) | 225,200 | 5,174,285 | |
Nabtesco Corp. (Japan) | 23,666 | 419,165 | |
Sandvik AB (Sweden) | 77,800 | 1,325,169 | |
SMC Corp. (Japan) | 2,500 | 1,154,408 | |
Smiths Group PLC (United Kingdom) | 74,744 | 1,466,152 | |
Sumitomo Heavy Industries Ltd. (Japan) | 21,164 | 484,439 | |
WEG S.A. (Brazil) | 68,029 | 444,329 | |
Zhejiang Sanhua Intelligent Controls Co. Ltd., Class A (China) | 951,200 | 3,469,752 | |
32,758,021 | |||
Medical Equipment & Devices – 1.4% | |||
Alcon, Inc. (Switzerland) | 47,609 | 3,395,474 | |
FUJIFILM Holdings Corp. (Japan) | 16,700 | 913,453 | |
Hoya Corp. (Japan) | 8,100 | 779,776 |
Number of Shares | Value | ||
Medical Equipment & Devices (Continued) | |||
Olympus Corp. (Japan) | 57,600 | $ 769,268 | |
Smith & Nephew PLC (United Kingdom) | 30,066 | 336,473 | |
Sonova Holding A.G. (Switzerland)(a) | 7,913 | 1,875,487 | |
Sysmex Corp. (Japan) | 33,000 | 1,580,792 | |
9,650,723 | |||
Metals & Mining – 2.8% | |||
Anglo American PLC (South Africa) | 51,460 | 1,311,181 | |
BHP Group Ltd. ADR (Australia)(b) | 74,562 | 4,254,508 | |
Cameco Corp. (Canada) | 7,295 | 298,428 | |
China Shenhua Energy Co. Ltd., Class H (China) | 167,500 | 513,383 | |
Glencore PLC (Australia) | 802,103 | 4,248,604 | |
Grupo Mexico S.A.B. de C.V., Series B (Mexico) | 241,755 | 1,003,949 | |
Hindalco Industries Ltd. (India) | 75,256 | 415,395 | |
Rio Tinto PLC (Australia) | 89,902 | 5,735,795 | |
Sumitomo Metal Mining Co. Ltd. (Japan) | 15,300 | 429,807 | |
United Tractors Tbk PT (Indonesia) | 324,600 | 513,682 | |
Vale S.A. ADR (Brazil) | 66,061 | 905,696 | |
19,630,428 | |||
Oil & Gas Producers – 7.0% | |||
Bharat Petroleum Corp. Ltd. (India) | 129,305 | 542,067 | |
BP PLC (United Kingdom) | 934,721 | 5,707,425 | |
Canadian Natural Resources Ltd. (Canada) | 26,646 | 1,692,047 | |
Cenovus Energy, Inc. (Canada) | 20,829 | 396,829 | |
Chevron Corp. | 5,184 | 755,464 | |
China Petroleum & Chemical Corp., Class H (China) | 1,067,092 | 545,751 | |
Ecopetrol S.A. ADR (Colombia)(b) | 13,677 | 161,525 | |
ENEOS Holdings, Inc. (Japan) | 144,000 | 533,580 | |
Eni S.p.A. (Italy) | 74,026 | 1,210,152 | |
Equinor ASA (Norway) | 27,585 | 924,738 | |
Exxon Mobil Corp. | 17,338 | 1,835,227 | |
Galp Energia SGPS S.A. (Portugal) | 168,723 | 2,540,086 | |
Gazprom PJSC (Russia)(d)* | 421,794 | — | |
Imperial Oil Ltd. (Canada) | 4,733 | 269,731 | |
Inpex Corp. (Japan) | 85,100 | 1,234,876 | |
LUKOIL PJSC (Russia)(d) | 61,010 | — |
Number of Shares | Value | ||
Oil & Gas Producers (Continued) | |||
MOL Hungarian Oil & Gas PLC (Hungary) | 84,671 | $ 673,714 | |
Neste OYJ (Finland) | 23,474 | 788,913 | |
OMV A.G. (Austria) | 6,107 | 267,842 | |
Petroleo Brasileiro S.A. ADR (Brazil) | 233,664 | 3,504,960 | |
Petronet LNG Ltd. (India) | 269,396 | 645,732 | |
PTT Exploration & Production PCL (Thailand)(a) | 172,900 | 789,660 | |
Reliance Industries Ltd. (India) | 62,805 | 1,726,999 | |
Repsol S.A. (Spain) | 35,377 | 517,995 | |
Rosneft Oil Co. PJSC (Russia)(d) | 210,931 | — | |
Santos Ltd. (Australia) | 51,994 | 253,703 | |
Shell PLC (Netherlands) | 471,114 | 15,182,522 | |
Suncor Energy, Inc. (Canada) | 32,366 | 1,048,175 | |
TotalEnergies S.E. (France) | 66,838 | 4,468,621 | |
Vibra Energia S.A. (Brazil)* | 198,800 | 781,518 | |
Woodside Energy Group Ltd. (Australia) | 22,524 | 490,568 | |
49,490,420 | |||
Publishing & Broadcasting – 0.3% | |||
Focus Media Information Technology Co. Ltd., Class A (China) | 648,200 | 610,695 | |
Informa PLC (United Kingdom) | 172,311 | 1,492,986 | |
2,103,681 | |||
Real Estate Owners & Developers – 0.5% | |||
China Overseas Land & Investment Ltd. (China) | 202,000 | 381,196 | |
China Vanke Co. Ltd., Class H (China) | 465,595 | 435,591 | |
Mitsubishi Estate Co. Ltd. (Japan) | 115,100 | 1,473,317 | |
Mitsui Fudosan Co. Ltd. (Japan) | 23,300 | 505,024 | |
Sumitomo Realty & Development Co. Ltd. (Japan) | 17,800 | 446,672 | |
3,241,800 | |||
Real Estate Services – 0.1% | |||
KE Holdings, Inc. ADR (China) | 52,482 | 772,010 | |
Renewable Energy – 0.3% | |||
LONGi Green Energy Technology Co. Ltd., Class A (China) | 627,900 | 2,065,630 |
Number of Shares | Value | ||
Retail - Consumer Staples – 1.6% | |||
Alibaba Health Information Technology Ltd. (China)(b)* | 1,132,000 | $ 666,837 | |
Alimentation Couche-Tard, Inc. (Canada) | 65,973 | 3,591,348 | |
Clicks Group Ltd. (South Africa) | 54,264 | 799,628 | |
Jeronimo Martins SGPS S.A. (Portugal) | 20,328 | 468,660 | |
Raia Drogasil S.A. (Brazil) | 249,719 | 1,278,375 | |
Seven & i Holdings Co. Ltd. (Japan) | 22,800 | 835,363 | |
Sumber Alfaria Trijaya Tbk PT (Indonesia) | 1,780,200 | 323,876 | |
Tesco PLC (United Kingdom) | 229,653 | 753,621 | |
Wal-Mart de Mexico S.A.B. de C.V. (Mexico) | 365,484 | 1,309,572 | |
Woolworths Holdings Ltd. (South Africa) | 75,073 | 279,507 | |
Yifeng Pharmacy Chain Co. Ltd., Class A (China) | 234,356 | 1,046,328 | |
11,353,115 | |||
Retail - Discretionary – 1.1% | |||
Associated British Foods PLC (United Kingdom) | 15,741 | 388,300 | |
Astra International Tbk PT (Indonesia) | 1,530,500 | 556,765 | |
Fast Retailing Co. Ltd. (Japan) | 4,500 | 996,284 | |
Kingfisher PLC (United Kingdom) | 98,393 | 251,248 | |
Li Ning Co. Ltd. (China) | 178,500 | 546,996 | |
Localiza Rent a Car S.A. (Brazil)* | 150,521 | 1,522,302 | |
Nitori Holdings Co. Ltd. (Japan) | 18,200 | 1,970,966 | |
Zhongsheng Group Holdings Ltd. (China) | 546,500 | 1,262,030 | |
7,494,891 | |||
Semiconductors – 4.0% | |||
ASE Technology Holding Co. Ltd. (Taiwan) | 577,000 | 2,020,066 | |
ASMPT Ltd. (Hong Kong) | 60,600 | 513,255 | |
Globalwafers Co. Ltd. (Taiwan) | 45,000 | 661,496 | |
Infineon Technologies A.G. (Germany) | 183,069 | 5,347,486 | |
MediaTek, Inc. (Taiwan) | 93,000 | 2,427,241 | |
Novatek Microelectronics Corp. (Taiwan) | 88,000 | 1,239,311 |
Number of Shares | Value | ||
Semiconductors (Continued) | |||
SK Hynix, Inc. (South Korea) | 16,909 | $ 1,468,413 | |
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | 500,945 | 8,181,694 | |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Taiwan) | 54,850 | 4,734,104 | |
Tokyo Electron Ltd. (Japan) | 10,300 | 1,361,018 | |
Vanguard International Semiconductor Corp. (Taiwan) | 168,000 | 364,849 | |
28,318,933 | |||
Software – 1.7% | |||
Dassault Systemes S.E. (France) | 66,857 | 2,754,065 | |
Hundsun Technologies, Inc., Class A (China) | 5,113 | 21,701 | |
Open Text Corp. (Canada) | 91,348 | 3,049,874 | |
SAP S.E. (Germany) | 21,500 | 2,883,845 | |
SAP S.E. ADR (Germany) | 25,078 | 3,360,452 | |
ZWSOFT Co. Ltd. (Guangzhou), Class A (China) | 19,350 | 284,116 | |
12,354,053 | |||
Specialty Finance – 0.2% | |||
Chailease Holding Co. Ltd. (Taiwan) | 107,080 | 580,860 | |
Jio Financial Services Ltd. (India)* | 42,276 | 111,201 | |
ORIX Corp. (Japan) | 36,500 | 663,802 | |
1,355,863 | |||
Steel – 0.5% | |||
Mitsui & Co. Ltd. (Japan) | 40,800 | 1,482,843 | |
Ternium S.A. ADR (Mexico) | 13,143 | 492,731 | |
thyssenkrupp A.G. (Germany) | 214,400 | 1,494,295 | |
3,469,869 | |||
Technology Hardware – 3.8% | |||
Casio Computer Co. Ltd. (Japan) | 53,100 | 425,491 | |
Hon Hai Precision Industry Co. Ltd. (Taiwan) | 192,000 | 573,065 | |
Kyocera Corp. (Japan) | 17,200 | 847,812 | |
Lenovo Group Ltd. (China) | 1,576,000 | 1,834,042 | |
Murata Manufacturing Co. Ltd. (Japan) | 96,600 | 1,654,698 | |
Nidec Corp. (Japan) | 17,900 | 656,591 | |
Nintendo Co. Ltd. (Japan) | 53,600 | 2,214,455 |
Number of Shares | Value | ||
Technology Hardware (Continued) | |||
Panasonic Holdings Corp. (Japan) | 99,300 | $ 871,208 | |
Samsung Electronics Co. Ltd. (South Korea) | 99,885 | 4,971,763 | |
Samsung Electronics Co. Ltd. GDR (South Korea)(a) | 5,948 | 7,437,829 | |
Sony Group Corp. (Japan) | 44,000 | 3,658,111 | |
TDK Corp. (Japan) | 36,100 | 1,350,689 | |
Yageo Corp. (Taiwan) | 50,000 | 815,177 | |
27,310,931 | |||
Technology Services – 2.6% | |||
Adyen N.V. (Netherlands)(c)* | 2,331 | 1,572,227 | |
Amadeus IT Group S.A. (Spain) | 44,400 | 2,534,033 | |
Arabian Internet & Communications Services Co. (Saudi Arabia) | 3,858 | 322,018 | |
Capgemini S.E. (France) | 20,500 | 3,622,940 | |
Experian PLC | 17,040 | 516,974 | |
Fujitsu Ltd. (Japan) | 22,200 | 2,875,956 | |
Globant S.A.* | 3,600 | 613,044 | |
Infosys Ltd. (India) | 85,447 | 1,405,241 | |
Infosys Ltd. ADR (India) | 45,198 | 742,151 | |
RELX PLC (United Kingdom) | 35,687 | 1,246,465 | |
Sangfor Technologies, Inc., Class A (China)* | 800 | 9,147 | |
Tata Consultancy Services Ltd. (India) | 26,086 | 1,056,055 | |
Worldline S.A. (France)(c)* | 137,500 | 1,748,439 | |
18,264,690 | |||
Telecommunications – 1.7% | |||
America Movil S.A.B. de C.V. ADR (Mexico) | 47,855 | 794,393 | |
BT Group PLC (United Kingdom) | 155,181 | 213,130 | |
KDDI Corp. (Japan) | 66,900 | 2,001,296 | |
KT Corp. (South Korea) | 37,438 | 905,707 | |
Mobile TeleSystems PJSC ADR (Russia)(d)* | 138,416 | — | |
Nippon Telegraph & Telephone Corp. (Japan) | 1,047,500 | 1,232,673 | |
Softbank Corp. (Japan) | 44,900 | 507,678 | |
SoftBank Group Corp. (Japan) | 44,900 | 1,838,838 | |
Telkom Indonesia Persero Tbk PT (Indonesia) | 10,814,000 | 2,370,600 | |
Telkom Indonesia Persero Tbk PT ADR (Indonesia)(b) | 28,694 | 631,268 |
Number of Shares | Value | ||
Telecommunications (Continued) | |||
Vodacom Group Ltd. (South Africa) | 127,481 | $ 693,989 | |
Vodafone Group PLC (United Kingdom) | 697,882 | 642,428 | |
11,832,000 | |||
Tobacco & Cannabis – 0.4% | |||
British American Tobacco PLC (United Kingdom) | 53,879 | 1,609,498 | |
Japan Tobacco, Inc. (Japan) | 23,600 | 549,381 | |
KT&G Corp. (South Korea) | 8,702 | 548,951 | |
2,707,830 | |||
Transportation & Logistics – 1.3% | |||
Canadian National Railway Co. (Canada)(b) | 20,913 | 2,212,177 | |
CCR S.A. (Brazil) | 413,260 | 986,070 | |
DSV A/S (Denmark) | 11,000 | 1,643,850 | |
East Japan Railway Co. (Japan) | 31,000 | 1,610,057 | |
Ryanair Holdings PLC ADR (Ireland)* | 35,891 | 3,147,641 | |
9,599,795 | |||
Transportation Equipment – 1.1% | |||
Daimler Truck Holding A.G. (Germany) | 113,739 | 3,573,705 | |
Volvo AB, Class B (Sweden) | 140,600 | 2,786,016 | |
Weichai Power Co. Ltd., Class H (China) | 798,000 | 1,194,464 | |
7,554,185 | |||
Wholesale - Consumer Staples – 0.5% | |||
Bid Corp. Ltd. (South Africa) | 9,814 | 208,202 | |
ITOCHU Corp. (Japan) | 51,800 | 1,865,889 | |
Mitsubishi Corp. (Japan) | 32,300 | 1,505,683 | |
3,579,774 | |||
Wholesale - Discretionary – 0.1% | |||
Bunzl PLC (United Kingdom) | 19,326 | 689,479 | |
Total Common Stocks (Cost $719,411,451) | 672,659,307 | ||
Preferred Stocks – 0.6% | |||
Chemicals – 0.1% | |||
Sociedad Quimica y Minera de Chile S.A. ADR, 1.26% (Chile)(b)(e) | 12,398 | 600,063 |
Number of Shares | Value | ||
Technology Hardware – 0.5% | |||
Samsung Electronics Co. Ltd., 2.70% (South Korea)(e) | 81,100 | $ 3,237,896 | |
Total Preferred Stocks (Cost $5,106,714) | 3,837,959 | ||
Rights – 0.0% | |||
Retail - Discretionary – 0.0% | |||
Localiza Rent a Car S.A. (Brazil)* | 1,085 | 1,177 | |
Total Rights (Cost $—) | 1,177 | ||
Investment Companies – 1.4% | |||
iShares MSCI South Korea ETF(b) | 182,979 | 10,054,696 | |
Total Investment Companies (Cost $11,032,022) | 10,054,696 |
Number of Shares | Value | ||
Short-Term Investments – 3.7% | |||
Money Market Funds – 3.7% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 5.41%(f)(g) | 7,145,629 | $ 7,145,629 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 5.21%(f) | 19,280,515 | 19,280,515 | |
Total Short-Term Investments (Cost $26,426,144) | 26,426,144 | ||
Total Investments – 100.5% (Cost $761,976,331) | 712,979,283 | ||
Liabilities less Other Assets – (0.5)% | (3,630,984) | ||
NET ASSETS – 100.0% | $709,348,299 |
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) | Security either partially or fully on loan. (See Note 7). | ||
(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, 2023 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 |
JSC | Joint Stock Company |
MSCI | Morgan Stanley Capital International |
NVDR | Non-Voting Depositary Receipt |
PCL | Public Company Limited |
PJSC | Public Joint Stock Company |
PLC | Public Limited Company |
QPSC | Qualified Personal Service Corporation |
Concentration by Currency (%)(a) | |
Euro | 21.1 |
Japanese Yen | 16.8 |
British Pound | 13.0 |
U.S. Dollar | 12.8 |
Hong Kong Dollar | 7.3 |
All other currencies less than 5% | 29.0 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Country Diversification (%)(a) | |
Japan | 16.8 |
China | 11.1 |
Germany | 9.2 |
United Kingdom | 8.6 |
France | 6.4 |
United States | 6.0 |
All other countries less than 5%(b) | 41.9 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
(b) Includes Other. |
Morningstar International Equity Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Common Stocks | $103,632,522 | $569,026,785 | $—* | $672,659,307 |
Preferred Stocks | 600,063 | 3,237,896 | — | 3,837,959 |
Rights | 1,177 | — | — | 1,177 |
Investment Companies | 10,054,696 | — | — | 10,054,696 |
Short-Term Investments | 26,426,144 | — | — | 26,426,144 |
Total Investments | $140,714,602 | $572,264,681 | $— | $712,979,283 |
*Includes securities determined to have no value as of October 31, 2023. |
Par (a) | Value | ||
Asset-Backed Securities – 4.6% | |||
Other – 4.4% | |||
AB BSL CLO 4 Ltd., Series 2023-4A, Class A, (3M CME Term SOFR + 2.00%, 2.00% Floor), 7.42%, 4/20/36(b)(c) | $100,000 | $100,694 | |
AGL CLO Ltd., Series 2021-12A, Class D, (3M CME Term SOFR + 3.11%, 2.85% Floor), 8.53%, 7/20/34(b)(c) | 250,000 | 240,128 | |
Aimco CLO 12 Ltd., Series 2020-12A, Class DR, (3M CME Term SOFR + 2.90%, 2.90% Floor), 8.30%, 1/17/32(b)(c) | 250,000 | 240,130 | |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R3, Class M4, (1M CME Term SOFR + 1.04%, 0.93% Floor), 6.37%, 5/25/35(c) | 107,777 | 105,347 | |
Apex Credit CLO Ltd., Series 2022-1A, Class D, (3M CME Term SOFR + 4.40%, 4.40% Floor), 9.81%, 4/22/33(b)(c) | 130,000 | 123,351 | |
Bain Capital Credit CLO Ltd., Series 2022-2A, Class D1, (3M CME Term SOFR + 3.65%, 3.65% Floor), 9.06%, 4/22/35(b)(c) | 250,000 | 240,429 | |
Barings CLO Ltd., | |||
Series 2016-2A, Class ER2, (3M CME Term SOFR + 6.76%, 6.50% Floor), 12.18%, 1/20/32(b)(c) | 390,000 | 372,679 | |
Series 2018-3A, Class D, (3M CME Term SOFR + 3.16%), 8.58%, 7/20/29(b)(c) | 260,000 | 255,134 | |
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class ER, (3M CME Term SOFR + 7.12%, 6.86% Floor), 12.50%, 7/25/34(b)(c) | 250,000 | 219,660 | |
Bristol Park CLO Ltd., | |||
Series 2016-1A, Class DR, (3M CME Term SOFR + 3.21%, 2.95% Floor), 8.61%, 4/15/29(b)(c) | 250,000 | 237,212 |
Par (a) | Value | ||
Other (Continued) | |||
Bristol Park CLO Ltd., | |||
Series 2016-1A, Class ER, (3M CME Term SOFR + 7.26%, 7.00% Floor), 12.66%, 4/15/29(b)(c) | $350,000 | $316,892 | |
Canyon CLO Ltd., Series 2020-1A, Class BR, (3M CME Term SOFR + 1.96%, 1.70% Floor), 7.36%, 7/15/34(b)(c) | 250,000 | 243,603 | |
CarVal CLO VII-C Ltd., Series 2023-1A, Class A1, (3M CME Term SOFR + 2.20%, 2.20% Floor), 7.62%, 1/20/35(b)(c) | 240,000 | 241,856 | |
Cook Park CLO Ltd., Series 2018-1A, Class D, (3M CME Term SOFR + 2.86%), 8.26%, 4/17/30(b)(c) | 250,000 | 232,788 | |
GoodLeap Sustainable Home Solutions Trust, Series 2021-3CS, Class C, 3.50%, 5/20/48(b) | 472,403 | 306,266 | |
Greenwood Park CLO Ltd., Series 2018-1A, Class E, (3M CME Term SOFR + 5.21%), 10.61%, 4/15/31(b)(c) | 250,000 | 207,275 | |
Hildene Community Funding CDO Ltd., Series 2015-1A, Class ARR, 2.60%, 11/01/35(b) | 234,271 | 187,589 | |
JP Morgan Mortgage Acquisition Trust, Series 2007-CH4, Class M1, (1M CME Term SOFR + 0.34%, 0.23% Floor), 5.67%, 5/25/37(c) | 270,000 | 251,017 | |
KKR CLO 40 Ltd., Series 40A, Class D, (3M CME Term SOFR + 3.90%, 3.90% Floor), 9.32%, 10/20/34(b)(c) | 300,000 | 284,182 | |
National Collegiate Student Loan Trust, Series 2007-2, Class A4, (1M USD LIBOR + 0.29%), 5.73%, 1/25/33(c) | 363,490 | 336,453 | |
Neuberger Berman Loan Advisers CLO 33 Ltd., Series 2019-33A, Class DR, (3M CME Term SOFR + 3.16%, 2.90% Floor), 8.56%, 10/16/33(b)(c) | 250,000 | 239,017 |
Par (a) | Value | ||
Other (Continued) | |||
Oaktree CLO Ltd., Series 2022-1A, Class E, (3M CME Term SOFR + 7.76%, 7.76% Floor), 13.12%, 5/15/33(b)(c) | $487,000 | $466,488 | |
Ocean Trails CLO IX, Series 2020-9A, Class DR, (3M CME Term SOFR + 4.01%, 3.75% Floor), 9.41%, 10/15/34(b)(c) | 280,000 | 256,921 | |
Ocean Trails CLO XIV Ltd., Series 2023-14A, Class A1, (3M CME Term SOFR + 2.00%, 2.00% Floor), 7.42%, 1/20/35(b)(c) | 220,000 | 219,394 | |
Palmer Square Loan Funding Ltd., Series 2022-3A, Class C, (3M CME Term SOFR + 5.40%, 5.40% Floor), 10.79%, 4/15/31(b)(c) | 210,000 | 210,649 | |
Pioneer Aircraft Finance Ltd., Series 2019-1, Class A, 3.97%, 6/15/44(b) | 193,282 | 168,106 | |
RAD CLO 21 Ltd., Series 2023-21A, Class D, (3M CME Term SOFR + 4.40%, 4.40% Floor), 9.77%, 1/25/33(b)(c)(d) | 160,000 | 160,000 | |
SMB Private Education Loan Trust, Series 2021-A, Class D1, 3.86%, 1/15/53(b) | 270,947 | 239,191 | |
Stonepeak ABS, Series 2021-1A, Class A, 2.68%, 2/28/33(b) | 277,664 | 247,276 | |
Sycamore Tree CLO Ltd., Series 2023-2A, Class A, (3M CME Term SOFR + 2.33%, 2.33% Floor), 7.75%, 4/20/35(b)(c) | 250,000 | 252,395 | |
Symphony CLO 37 Ltd., Series 2022-37A, Class A1A, (3M CME Term SOFR + 2.30%, 2.30% Floor), 7.72%, 10/20/34(b)(c) | 250,000 | 250,340 | |
Symphony CLO XXV Ltd., Series 2021-25A, Class D, (3M CME Term SOFR + 3.86%, 3.60% Floor), 9.26%, 4/19/34(b)(c) | 250,000 | 235,409 |
Par (a) | Value | ||
Other (Continued) | |||
TSTAT Ltd., Series 2022-2A, Class C, (3M CME Term SOFR + 4.80%, 4.80% Floor), 10.22%, 1/20/31(b)(c) | $250,000 | $ 252,605 | |
Valley Stream Park CLO Ltd., Series 2022-1A, Class DR, (3M CME Term SOFR + 4.15%, 4.15% Floor), 9.57%, 10/20/34(b)(c) | 110,000 | 109,442 | |
VERDE CLO Ltd., Series 2019-1A, Class DR, (3M CME Term SOFR + 3.51%, 3.25% Floor), 8.91%, 4/15/32(b)(c) | 250,000 | 240,068 | |
Voya CLO Ltd., Series 2020-3A, Class DR, (3M CME Term SOFR + 3.51%, 3.25% Floor), 8.93%, 10/20/34(b)(c) | 260,000 | 247,908 | |
8,537,894 | |||
Specialty Finance – 0.2% | |||
MF1 LLC, Series 2022-FL9, Class A, (1M CME Term SOFR + 2.15%, 2.15% Floor), 7.48%, 6/19/37(b)(c) | 240,000 | 239,888 | |
Whitebox CLO IV Ltd., Series 2023-4A, Class A1, (3M CME Term SOFR + 2.15%, 2.15% Floor), 7.57%, 4/20/36(b)(c) | 260,000 | 261,734 | |
501,622 | |||
Total Asset-Backed Securities (Cost $9,311,764) | 9,039,516 |
Number of Shares | |||
Common Stocks – 42.4% | |||
Advertising & Marketing – 0.0%(e) | |||
WPP PLC (United Kingdom) | 4,171 | 35,917 | |
Aerospace & Defense – 1.6% | |||
BAE Systems PLC (United Kingdom) | 232,913 | 3,131,837 | |
Asset Management – 1.6% | |||
BlackRock, Inc. | 531 | 325,121 | |
Blackstone, Inc. | 2,169 | 200,307 | |
Macquarie Korea Infrastructure Fund (South Korea) | 260,573 | 2,321,845 |
Number of Shares | Value | ||
Asset Management (Continued) | |||
St. James's Place PLC (United Kingdom) | 3,908 | $ 30,466 | |
T. Rowe Price Group, Inc. | 3,265 | 295,482 | |
3,173,221 | |||
Automotive – 0.9% | |||
Mercedes-Benz Group A.G. (Germany) | 28,226 | 1,660,656 | |
Banking – 2.2% | |||
Barclays PLC (United Kingdom) | 25,363 | 40,709 | |
BNP Paribas S.A. (France) | 18,582 | 1,068,540 | |
HSBC Holdings PLC (United Kingdom) | 32,583 | 235,263 | |
JPMorgan Chase & Co. | 14,810 | 2,059,479 | |
Lloyds Banking Group PLC (United Kingdom) | 171,980 | 83,703 | |
NatWest Group PLC (United Kingdom) | 13,127 | 28,562 | |
PNC Financial Services Group (The), Inc. | 2,384 | 272,896 | |
Standard Chartered PLC (United Kingdom) | 5,463 | 41,887 | |
Truist Financial Corp. | 3,253 | 92,255 | |
U.S. Bancorp | 9,739 | 310,479 | |
4,233,773 | |||
Beverages – 2.3% | |||
Arca Continental S.A.B. de C.V. (Mexico) | 325,722 | 2,922,808 | |
Coca-Cola (The) Co. | 13,493 | 762,220 | |
Diageo PLC (United Kingdom) | 4,858 | 183,710 | |
PepsiCo, Inc. | 3,174 | 518,251 | |
4,386,989 | |||
Biotechnology & Pharmaceuticals – 3.4% | |||
AbbVie, Inc. | 4,613 | 651,263 | |
Amgen, Inc. | 1,780 | 455,146 | |
AstraZeneca PLC (United Kingdom) | 2,703 | 338,426 | |
Bristol-Myers Squibb Co. | 7,349 | 378,694 | |
Gilead Sciences, Inc. | 5,899 | 463,307 | |
GSK PLC | 7,491 | 133,540 | |
Johnson & Johnson | 5,487 | 813,942 | |
Merck & Co., Inc. | 8,014 | 823,038 | |
Novartis A.G. ADR (Switzerland)(f) | 22,906 | 2,143,544 | |
Pfizer, Inc. | 15,621 | 477,378 | |
6,678,278 | |||
Cable & Satellite – 0.4% | |||
Comcast Corp., Class A | 20,348 | 840,169 |
Number of Shares | Value | ||
Chemicals – 0.3% | |||
Air Products and Chemicals, Inc. | 2,040 | $ 576,178 | |
Commercial Support Services – 0.1% | |||
Compass Group PLC (United Kingdom) | 3,129 | 78,886 | |
Rentokil Initial PLC (United Kingdom) | 5,391 | 27,454 | |
106,340 | |||
Construction Materials – 0.6% | |||
Cie de Saint-Gobain (France) | 12,547 | 682,985 | |
Xinyi Glass Holdings Ltd. (China)(f) | 436,745 | 501,829 | |
1,184,814 | |||
Containers & Packaging – 0.2% | |||
Amcor PLC | 45,635 | 405,695 | |
Diversified Industrials – 0.9% | |||
Emerson Electric Co. | 4,632 | 412,109 | |
Illinois Tool Works, Inc. | 927 | 207,759 | |
Siemens A.G. (Germany)(g) | 8,820 | 1,170,404 | |
1,790,272 | |||
Electric Utilities – 0.7% | |||
American Electric Power Co., Inc. | 5,005 | 378,078 | |
Dominion Energy, Inc. | 7,050 | 284,256 | |
Duke Energy Corp. | 2,252 | 200,180 | |
Edison International | 5,637 | 355,469 | |
National Grid PLC (United Kingdom) | 6,330 | 75,473 | |
SSE PLC (United Kingdom) | 2,085 | 41,436 | |
1,334,892 | |||
Food – 0.2% | |||
Mondelez International, Inc., Class A | 6,656 | 440,694 | |
Forestry, Paper & Wood Products – 0.7% | |||
UPM-Kymmene OYJ (Finland) | 41,078 | 1,383,340 | |
Gas & Water Utilities – 0.1% | |||
NiSource, Inc. | 8,206 | 206,463 | |
Severn Trent PLC (United Kingdom) | 1,003 | 32,379 | |
238,842 | |||
Health Care Facilities & Services – 0.2% | |||
CVS Health Corp. | 5,075 | 350,226 |
Number of Shares | Value | ||
Home Construction – 0.0%(e) | |||
Berkeley Group Holdings (The) PLC (United Kingdom) | 788 | $ 38,735 | |
Household Products – 0.8% | |||
Haleon PLC | 12,292 | 49,267 | |
Kimberly-Clark Corp. | 2,712 | 324,464 | |
Procter & Gamble (The) Co. | 5,303 | 795,609 | |
Reckitt Benckiser Group PLC (United Kingdom) | 1,658 | 110,932 | |
Unilever PLC (United Kingdom) | 4,711 | 223,116 | |
1,503,388 | |||
Industrial Support Services – 0.0%(e) | |||
Ashtead Group PLC (United Kingdom) | 532 | 30,512 | |
Institutional Financial Services – 1.3% | |||
CME Group, Inc. | 3,364 | 718,080 | |
London Stock Exchange Group PLC (United Kingdom) | 768 | 77,487 | |
Morgan Stanley | 20,502 | 1,451,952 | |
Northern Trust Corp. | 3,755 | 247,492 | |
2,495,011 | |||
Insurance – 1.2% | |||
Aviva PLC (United Kingdom) | 6,096 | 29,526 | |
Legal & General Group PLC (United Kingdom) | 11,144 | 28,713 | |
Prudential PLC (Hong Kong) | 5,414 | 56,611 | |
Zurich Insurance Group A.G. (Switzerland) | 4,710 | 2,237,215 | |
2,352,065 | |||
Leisure Facilities & Services – 2.4% | |||
Entain PLC (United Kingdom) | 2,232 | 25,338 | |
InterContinental Hotels Group PLC (United Kingdom) | 517 | 36,636 | |
McDonald's Corp. | 1,196 | 313,555 | |
OPAP S.A. (Greece) | 236,206 | 4,000,925 | |
Starbucks Corp. | 2,494 | 230,047 | |
4,606,501 | |||
Leisure Products – 0.1% | |||
Hasbro, Inc. | 3,461 | 156,264 | |
Machinery – 0.0%(e) | |||
Smiths Group PLC (United Kingdom) | 1,564 | 30,679 |
Number of Shares | Value | ||
Medical Equipment & Devices – 0.3% | |||
Medtronic PLC | 7,060 | $ 498,154 | |
Smith & Nephew PLC (United Kingdom) | 3,068 | 34,334 | |
532,488 | |||
Metals & Mining – 2.3% | |||
Anglo American PLC (South Africa) | 2,486 | 63,342 | |
BHP Group Ltd. (Australia) | 56,091 | 1,587,795 | |
Glencore PLC (Australia) | 188,485 | 998,373 | |
Rio Tinto Ltd. (Australia) | 22,109 | 1,651,500 | |
Rio Tinto PLC (Australia) | 2,306 | 147,124 | |
4,448,134 | |||
Oil & Gas Producers – 3.6% | |||
BP PLC (United Kingdom) | 31,030 | 189,470 | |
Exxon Mobil Corp. | 4,424 | 468,280 | |
Gazprom PJSC (Russia)(h)* | 33,780 | — | |
Kinder Morgan, Inc. | 12,609 | 204,266 | |
LUKOIL PJSC (Russia)(h) | 1,232 | — | |
ONEOK, Inc. | 5,389 | 351,363 | |
Petroleo Brasileiro S.A. (Brazil) | 445,890 | 3,343,014 | |
Rosneft Oil Co. PJSC (Russia)(h) | 17,410 | — | |
Shell PLC (Netherlands) | 11,814 | 380,728 | |
Williams (The) Cos., Inc. | 10,415 | 358,276 | |
Woodside Energy Group Ltd. (Australia) | 74,270 | 1,617,586 | |
6,912,983 | |||
Publishing & Broadcasting – 0.0%(e) | |||
Informa PLC (United Kingdom) | 3,223 | 27,926 | |
Real Estate Investment Trusts – 3.6% | |||
Crown Castle, Inc. | 4,536 | 421,757 | |
Federal Realty Investment Trust | 3,265 | 297,735 | |
PowerGrid Infrastructure Investment Trust (India)(b) | 1,387,453 | 1,637,606 | |
Realty Income Corp. | 4,031 | 190,989 | |
Simon Property Group, Inc. | 3,063 | 336,593 | |
TF Administradora Industrial S. de R.L. de C.V. (Mexico) | 1,726,309 | 2,799,782 | |
VICI Properties, Inc. | 46,620 | 1,300,698 | |
6,985,160 | |||
Retail - Consumer Staples – 0.0%(e) | |||
Tesco PLC (United Kingdom) | 20,768 | 68,151 |
Number of Shares | Value | ||
Retail - Discretionary – 0.0%(e) | |||
Associated British Foods PLC (United Kingdom) | 1,565 | $ 38,605 | |
Kingfisher PLC (United Kingdom) | 10,194 | 26,031 | |
64,636 | |||
Semiconductors – 2.9% | |||
Broadcom, Inc. | 3,454 | 2,906,092 | |
MediaTek, Inc. (Taiwan) | 84,000 | 2,192,347 | |
Texas Instruments, Inc. | 4,208 | 597,578 | |
5,696,017 | |||
Technology Hardware – 1.0% | |||
NetApp, Inc. | 3,127 | 227,583 | |
Unimicron Technology Corp. (Taiwan) | 399,620 | 1,782,271 | |
2,009,854 | |||
Technology Services – 0.4% | |||
Experian PLC | 1,751 | 53,123 | |
International Business Machines Corp. | 4,063 | 587,673 | |
RELX PLC (United Kingdom) | 3,178 | 111,000 | |
751,796 | |||
Telecommunications – 3.5% | |||
BCE, Inc. (Canada)(f) | 28,053 | 1,041,608 | |
BT Group PLC (United Kingdom) | 20,635 | 28,341 | |
Nippon Telegraph & Telephone Corp. (Japan) | 2,264,000 | 2,664,220 | |
Softbank Corp. (Japan) | 199,285 | 2,253,289 | |
Verizon Communications, Inc. | 18,944 | 665,503 | |
Vodafone Group PLC (United Kingdom) | 60,848 | 56,013 | |
6,708,974 | |||
Tobacco & Cannabis – 1.7% | |||
British American Tobacco PLC (United Kingdom) | 5,075 | 151,603 | |
British American Tobacco PLC ADR (United Kingdom) | 80,255 | 2,396,414 | |
Philip Morris International, Inc. | 8,613 | 767,935 | |
3,315,952 | |||
Transportation & Logistics – 0.2% | |||
United Parcel Service, Inc., Class B | 2,686 | 379,397 | |
Transportation Equipment – 0.7% | |||
Volvo AB, Class B (Sweden) | 71,079 | 1,408,444 |
Number of Shares | Value | ||
Wholesale - Discretionary – 0.0%(e) | |||
Bunzl PLC (United Kingdom) | 1,121 | $ 39,993 | |
Total Common Stocks (Cost $85,121,486) | 82,515,193 |
Par (a) | |||
Convertible Bonds – 0.1% | |||
Cable & Satellite – 0.1% | |||
DISH Network Corp., | |||
0.00%, 12/15/25(i) | $220,000 | 134,204 | |
3.38%, 8/15/26 | 80,000 | 41,000 | |
175,204 | |||
Publishing & Broadcasting – 0.0%(e) | |||
Gannett Co., Inc., 6.00%, 12/01/27(b) | 20,000 | 16,590 | |
Total Convertible Bonds (Cost $201,540) | 191,794 | ||
Corporate Bonds – 13.7% | |||
Aerospace & Defense – 0.5% | |||
Boeing (The) Co., 3.25%, 2/01/35 | 270,000 | 199,632 | |
TransDigm, Inc., | |||
6.25%, 3/15/26(b) | 160,000 | 156,234 | |
6.75%, 8/15/28(b) | 280,000 | 271,875 | |
Triumph Group, Inc., 9.00%, 3/15/28(b) | 260,000 | 252,522 | |
880,263 | |||
Automotive – 0.8% | |||
Clarios Global L.P./Clarios U.S. Finance Co., 8.50%, 5/15/27(b) | 250,000 | 246,144 | |
Ford Motor Co., | |||
3.25%, 2/12/32(f) | 920,000 | 694,369 | |
6.10%, 8/19/32(f) | 10,000 | 9,249 | |
Ford Motor Credit Co. LLC, 3.63%, 6/17/31 | 270,000 | 213,300 | |
PM General Purchaser LLC, 9.50%, 10/01/28(b) | 390,000 | 366,600 | |
1,529,662 | |||
Biotechnology & Pharmaceuticals – 0.1% | |||
Bausch Health Cos., Inc., | |||
5.50%, 11/01/25(b) | 110,000 | 94,875 | |
6.13%, 2/01/27(b)(f) | 90,000 | 50,206 | |
5.00%, 1/30/28(b) | 20,000 | 7,339 | |
152,420 |
Par (a) | Value | ||
Cable & Satellite – 1.0% | |||
CCO Holdings LLC/CCO Holdings Capital Corp., | |||
4.25%, 2/01/31(b) | $460,000 | $ 357,971 | |
4.50%, 5/01/32 | 80,000 | 61,240 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 5.13%, 7/01/49 | 70,000 | 48,432 | |
CSC Holdings LLC, | |||
7.50%, 4/01/28(b)(f) | 640,000 | 410,194 | |
6.50%, 2/01/29(b)(f) | 200,000 | 158,138 | |
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 8/15/27(b) | 230,000 | 201,534 | |
DISH DBS Corp., | |||
5.88%, 11/15/24 | 220,000 | 201,853 | |
7.75%, 7/01/26 | 80,000 | 53,606 | |
5.75%, 12/01/28(b) | 150,000 | 108,938 | |
DISH Network Corp., 11.75%, 11/15/27(b) | 200,000 | 198,112 | |
Time Warner Cable LLC, 6.75%, 6/15/39 | 90,000 | 78,487 | |
1,878,505 | |||
Commercial Support Services – 0.3% | |||
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, 7/15/26(b) | 160,000 | 149,840 | |
Clean Harbors, Inc., 5.13%, 7/15/29(b) | 100,000 | 89,943 | |
CoreCivic, Inc., 8.25%, 4/15/26 | 180,000 | 182,237 | |
RR Donnelley & Sons Co., 9.75%, 7/31/28(b) | 80,000 | 78,400 | |
TKC Holdings, Inc., 6.88%, 5/15/28(b) | 50,000 | 43,250 | |
ZipRecruiter, Inc., 5.00%, 1/15/30(b)(f) | 60,000 | 46,862 | |
590,532 | |||
Construction Materials – 0.2% | |||
Advanced Drainage Systems, Inc., 6.38%, 6/15/30(b)(f) | 270,000 | 254,925 | |
Smyrna Ready Mix Concrete LLC, 6.00%, 11/01/28(b) | 160,000 | 147,934 | |
402,859 | |||
Consumer Services – 0.1% | |||
Carriage Services, Inc., 4.25%, 5/15/29(b)(f) | 140,000 | 114,513 |
Par (a) | Value | ||
Consumer Services (Continued) | |||
StoneMor, Inc., 8.50%, 5/15/29(b) | $170,000 | $ 135,788 | |
Upbound Group, Inc., 6.38%, 2/15/29(b) | 40,000 | 34,400 | |
284,701 | |||
Containers & Packaging – 0.1% | |||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 6.00%, 6/15/27(b) | 210,000 | 198,454 | |
Sealed Air Corp./Sealed Air Corp. U.S., 6.13%, 2/01/28(b)(f) | 60,000 | 57,109 | |
255,563 | |||
Electrical Equipment – 0.1% | |||
Vertiv Group Corp., 4.13%, 11/15/28(b) | 280,000 | 244,721 | |
Engineering & Construction – 0.2% | |||
TopBuild Corp., | |||
3.63%, 3/15/29(b) | 150,000 | 125,036 | |
4.13%, 2/15/32(b) | 10,000 | 7,911 | |
Tutor Perini Corp., 6.88%, 5/01/25(b)(f) | 310,000 | 266,600 | |
399,547 | |||
Food – 0.1% | |||
Darling Ingredients, Inc., 6.00%, 6/15/30(b) | 240,000 | 225,168 | |
Health Care Facilities & Services – 0.6% | |||
AdaptHealth LLC, 4.63%, 8/01/29(b) | 220,000 | 164,450 | |
Akumin Escrow, Inc., 7.50%, 8/01/28(b)(j) | 150,000 | 118,611 | |
Akumin, Inc., 7.00%, 11/01/25(b)(f)(j) | 110,000 | 92,950 | |
CHS/Community Health Systems, Inc., | |||
8.00%, 3/15/26(b)(f) | 90,000 | 82,265 | |
6.13%, 4/01/30(b) | 400,000 | 155,000 | |
4.75%, 2/15/31(b) | 160,000 | 107,239 | |
LifePoint Health, Inc., 9.88%, 8/15/30(b) | 260,000 | 234,975 | |
Option Care Health, Inc., 4.38%, 10/31/29(b) | 230,000 | 192,223 | |
U.S. Renal Care, Inc., 10.63%, 6/28/28(b) | 52,500 | 32,025 | |
1,179,738 | |||
Home & Office Products – 0.1% | |||
Newell Brands, Inc., 5.20%, 4/01/26(f) | 210,000 | 198,272 |
Par (a) | Value | ||
Home Construction – 0.0%(e) | |||
MDC Holdings, Inc., 6.00%, 1/15/43 | $ 50,000 | $ 39,278 | |
Industrial Intermediate Products – 0.1% | |||
Park-Ohio Industries, Inc., 6.63%, 4/15/27 | 230,000 | 199,525 | |
Industrial Support Services – 0.6% | |||
H&E Equipment Services, Inc., 3.88%, 12/15/28(b)(f) | 150,000 | 127,055 | |
PECF USS Intermediate Holding III Corp., 8.00%, 11/15/29(b)(f) | 160,000 | 75,901 | |
United Rentals North America, Inc., | |||
5.50%, 5/15/27(f) | 100,000 | 96,608 | |
6.00%, 12/15/29(b) | 850,000 | 817,855 | |
1,117,419 | |||
Institutional Financial Services – 0.2% | |||
Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29(b) | 180,000 | 153,385 | |
LPL Holdings, Inc., 4.00%, 3/15/29(b) | 170,000 | 146,177 | |
StoneX Group, Inc., 8.63%, 6/15/25(b) | 180,000 | 180,450 | |
480,012 | |||
Insurance – 0.3% | |||
Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc., (100% Cash), 7.63%, 10/15/25(b)(k) | 400,000 | 389,784 | |
NMI Holdings, Inc., 7.38%, 6/01/25(b) | 150,000 | 150,155 | |
539,939 | |||
Internet Media & Services – 0.1% | |||
Ziff Davis, Inc., 4.63%, 10/15/30(b)(f) | 210,000 | 175,816 | |
Leisure Facilities & Services – 1.5% | |||
AMC Entertainment Holdings, Inc., 7.50%, 2/15/29(b)(f) | 110,000 | 77,037 | |
Boyne USA, Inc., 4.75%, 5/15/29(b)(f) | 120,000 | 104,479 | |
Caesars Entertainment, Inc., 7.00%, 2/15/30(b) | 200,000 | 193,019 | |
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 7/01/25(b) | 120,000 | 118,082 |
Par (a) | Value | ||
Leisure Facilities & Services (Continued) | |||
Carnival Corp., | |||
5.75%, 3/01/27(b) | $410,000 | $ 366,074 | |
4.00%, 8/01/28(b)(f) | 90,000 | 78,284 | |
Carnival Holdings Bermuda Ltd., 10.38%, 5/01/28(b) | 80,000 | 85,297 | |
Full House Resorts, Inc., 8.25%, 2/15/28(b) | 200,000 | 168,406 | |
Mohegan Tribal Gaming Authority, | |||
8.00%, 2/01/26(b) | 40,000 | 36,750 | |
13.25%, 12/15/27(b) | 290,000 | 307,400 | |
NCL Corp. Ltd., | |||
5.88%, 3/15/26(b) | 250,000 | 224,375 | |
8.13%, 1/15/29(b) | 120,000 | 117,239 | |
Royal Caribbean Cruises Ltd., | |||
4.25%, 7/01/26(b) | 230,000 | 211,508 | |
5.50%, 8/31/26(b) | 340,000 | 320,851 | |
11.63%, 8/15/27(b) | 90,000 | 97,611 | |
8.25%, 1/15/29(b) | 60,000 | 61,507 | |
9.25%, 1/15/29(b) | 80,000 | 83,507 | |
Viking Cruises Ltd., | |||
5.88%, 9/15/27(b) | 20,000 | 18,018 | |
9.13%, 7/15/31(b) | 150,000 | 147,375 | |
VOC Escrow Ltd., 5.00%, 2/15/28(b) | 20,000 | 17,969 | |
2,834,788 | |||
Leisure Products – 0.1% | |||
Winnebago Industries, Inc., 6.25%, 7/15/28(b) | 200,000 | 188,066 | |
Machinery – 0.2% | |||
Titan International, Inc., 7.00%, 4/30/28 | 480,000 | 438,609 | |
Medical Equipment & Devices – 0.2% | |||
Bausch & Lomb Escrow Corp., 8.38%, 10/01/28(b) | 120,000 | 119,190 | |
Medline Borrower L.P., 5.25%, 10/01/29(b)(f) | 260,000 | 221,318 | |
340,508 | |||
Metals & Mining – 0.0%(e) | |||
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 60,000 | 49,349 | |
Oil & Gas Producers – 3.4% | |||
Berry Petroleum Co. LLC, 7.00%, 2/15/26(b) | 540,000 | 518,400 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, 12/15/25(b) | $220,000 | $220,314 | |
Chord Energy Corp., 6.38%, 6/01/26(b) | 260,000 | 255,252 | |
Continental Resources, Inc., 5.75%, 1/15/31(b) | 170,000 | 157,656 | |
Crescent Energy Finance LLC, 9.25%, 2/15/28(b) | 110,000 | 110,788 | |
DCP Midstream Operating L.P., 6.75%, 9/15/37(b) | 200,000 | 197,713 | |
Devon Energy Corp., 5.00%, 6/15/45 | 170,000 | 130,989 | |
Earthstone Energy Holdings LLC, 9.88%, 7/15/31(b)(f) | 150,000 | 161,534 | |
Endeavor Energy Resources L.P./EER Finance, Inc., 5.75%, 1/30/28(b) | 160,000 | 153,486 | |
Energy Transfer L.P., | |||
(5Y US Treasury CMT + 5.31%), 7.13%, 5/15/30(l)(m) | 70,000 | 58,130 | |
5.35%, 5/15/45 | 90,000 | 70,723 | |
EQM Midstream Partners L.P., | |||
7.50%, 6/01/30(b) | 100,000 | 98,114 | |
4.75%, 1/15/31(b)(f) | 150,000 | 126,300 | |
EQT Corp., 3.13%, 5/15/26(b) | 20,000 | 18,523 | |
Hilcorp Energy I L.P./Hilcorp Finance Co., 6.25%, 4/15/32(b) | 120,000 | 104,796 | |
Howard Midstream Energy Partners LLC, | |||
6.75%, 1/15/27(b) | 130,000 | 122,863 | |
8.88%, 7/15/28(b) | 110,000 | 110,586 | |
Northern Oil and Gas, Inc., 8.13%, 3/01/28(b) | 220,000 | 217,257 | |
Occidental Petroleum Corp., | |||
7.15%, 5/15/28 | 120,000 | 122,400 | |
6.45%, 9/15/36 | 240,000 | 233,107 | |
7.95%, 6/15/39 | 400,000 | 427,600 | |
4.40%, 8/15/49 | 60,000 | 39,233 | |
Permian Resources Operating LLC, 5.88%, 7/01/29(b) | 340,000 | 316,449 | |
Range Resources Corp., | |||
8.25%, 1/15/29 | 500,000 | 510,619 | |
4.75%, 2/15/30(b) | 120,000 | 106,578 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Rockies Express Pipeline LLC, 7.50%, 7/15/38(b) | $100,000 | $ 92,435 | |
Southwestern Energy Co., 4.75%, 2/01/32 | 300,000 | 257,996 | |
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 9.00%, 10/15/26(b) | 120,000 | 115,200 | |
Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp., 6.00%, 12/31/30(b)(f) | 80,000 | 67,347 | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 4.88%, 2/01/31 | 250,000 | 220,383 | |
Transcontinental Gas Pipe Line Co. LLC, 4.60%, 3/15/48 | 100,000 | 75,247 | |
Venture Global Calcasieu Pass LLC, | |||
6.25%, 1/15/30(b) | 190,000 | 179,238 | |
4.13%, 8/15/31(b) | 220,000 | 176,882 | |
3.88%, 11/01/33(b) | 150,000 | 113,347 | |
Venture Global LNG, Inc., 8.38%, 6/01/31(b) | 130,000 | 124,053 | |
Western Midstream Operating L.P., | |||
5.45%, 4/01/44 | 340,000 | 261,672 | |
5.30%, 3/01/48 | 410,000 | 306,292 | |
Williams (The) Cos., Inc., 8.75%, 3/15/32 | 30,000 | 33,337 | |
6,612,839 | |||
Oil, Gas Services & Equipment – 0.0%(e) | |||
Noble Finance II LLC, 8.00%, 4/15/30(b)(f) | 90,000 | 89,945 | |
Publishing & Broadcasting – 0.1% | |||
McClatchy (The) Co. LLC, (100% Cash), 11.00%, 7/15/27(b)(f)(k) | 139,380 | 151,924 | |
Real Estate Investment Trusts – 0.1% | |||
Service Properties Trust, 5.50%, 12/15/27 | 210,000 | 177,293 | |
Real Estate Owners & Developers – 0.0%(e) | |||
Five Point Operating Co. L.P./Five Point Capital Corp., 7.88%, 11/15/25(b) | 90,000 | 84,527 | |
Real Estate Services – 0.1% | |||
Cushman & Wakefield U.S. Borrower LLC, 8.88%, 9/01/31(b) | 100,000 | 94,809 |
Par (a) | Value | ||
Renewable Energy – 0.2% | |||
Sunnova Energy Corp., 5.88%, 9/01/26(b)(f) | $500,000 | $ 405,015 | |
Retail - Discretionary – 0.5% | |||
Bath & Body Works, Inc., | |||
5.25%, 2/01/28 | 150,000 | 137,542 | |
6.63%, 10/01/30(b)(f) | 70,000 | 64,806 | |
Builders FirstSource, Inc., 4.25%, 2/01/32(b)(f) | 160,000 | 127,337 | |
Foot Locker, Inc., 4.00%, 10/01/29(b) | 260,000 | 191,108 | |
Michaels (The) Cos., Inc., 5.25%, 5/01/28(b)(f) | 140,000 | 101,438 | |
QVC, Inc., | |||
4.45%, 2/15/25(f) | 40,000 | 34,453 | |
4.38%, 9/01/28 | 100,000 | 50,671 | |
Sally Holdings LLC/Sally Capital, Inc., 5.63%, 12/01/25 | 320,000 | 309,331 | |
1,016,686 | |||
Software – 0.5% | |||
athenahealth Group, Inc., 6.50%, 2/15/30(b) | 270,000 | 220,656 | |
Central Parent, Inc./CDK Global, Inc., 7.25%, 6/15/29(b) | 340,000 | 326,634 | |
Crowdstrike Holdings, Inc., 3.00%, 2/15/29 | 100,000 | 83,587 | |
Gen Digital, Inc., 7.13%, 9/30/30(b)(f) | 220,000 | 214,027 | |
Rackspace Technology Global, Inc., 3.50%, 2/15/28(b) | 70,000 | 30,684 | |
875,588 | |||
Specialty Finance – 0.5% | |||
Burford Capital Global Finance LLC, 9.25%, 7/01/31(b) | 200,000 | 197,400 | |
FirstCash, Inc., 5.63%, 1/01/30(b) | 180,000 | 160,231 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., | |||
4.25%, 2/01/27(b) | 20,000 | 17,472 | |
4.75%, 6/15/29(b) | 80,000 | 64,320 | |
Midcap Financial Issuer Trust, 6.50%, 5/01/28(b) | 200,000 | 169,482 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.63%, 3/01/29(b) | 520,000 | 422,601 | |
1,031,506 |
Par (a) | Value | ||
Technology Hardware – 0.2% | |||
CommScope, Inc., | |||
6.00%, 3/01/26(b) | $ 20,000 | $ 16,799 | |
4.75%, 9/01/29(b) | 140,000 | 95,550 | |
NCR Voyix Corp., 5.13%, 4/15/29(b) | 160,000 | 137,587 | |
Viavi Solutions, Inc., 3.75%, 10/01/29(b) | 60,000 | 46,703 | |
296,639 | |||
Technology Services – 0.2% | |||
GTCR W-2 Merger Sub LLC, 7.50%, 1/15/31(b) | 210,000 | 207,343 | |
Paysafe Finance PLC/Paysafe Holdings U.S. Corp., 4.00%, 6/15/29(b) | 120,000 | 96,469 | |
303,812 | |||
Tobacco & Cannabis – 0.0%(e) | |||
Altria Group, Inc., 5.95%, 2/14/49 | 80,000 | 67,866 | |
Transportation & Logistics – 0.4% | |||
American Airlines Pass Through Trust, Series 2017-1, Class B, 4.95%, 2/15/25 | 102,000 | 98,286 | |
American Airlines, Inc., 7.25%, 2/15/28(b)(f) | 160,000 | 148,772 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 4/20/29(b) | 170,000 | 153,349 | |
Carriage Purchaser, Inc., 7.88%, 10/15/29(b) | 70,000 | 51,497 | |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 6/20/27(b) | 298 | 294 | |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., | |||
8.00%, 9/20/25(b) | 100,000 | 73,750 | |
8.00%, 9/20/25(b) | 180,000 | 132,750 | |
United Airlines Pass Through Trust, Series 2020-1, Class B, 4.88%, 1/15/26 | 36,480 | 34,954 | |
United Airlines, Inc., 4.63%, 4/15/29(b) | 110,000 | 92,917 | |
XPO CNW, Inc., 6.70%, 5/01/34 | 30,000 | 27,747 | |
XPO Escrow Sub LLC, 7.50%, 11/15/27(b) | 50,000 | 49,987 | |
864,303 |
Par (a) | Value | ||
Transportation Equipment – 0.0%(e) | |||
Allison Transmission, Inc., 4.75%, 10/01/27(b) | $ 70,000 | $ 63,838 | |
Total Corporate Bonds (Cost $29,058,198) | 26,761,850 | ||
Foreign Issuer Bonds – 6.2% | |||
Angola – 0.1% | |||
Angolan Government International Bond, 8.75%, 4/14/32(b) | 210,000 | 163,194 | |
Argentina – 0.3% | |||
Provincia de Buenos Aires, (Step to 6.63% on 9/1/24), 6.38%, 9/01/37(b)(n) | 600,000 | 193,537 | |
Provincia de Cordoba, 6.99%, 6/01/27(b) | 200,000 | 149,000 | |
YPF S.A., 8.50%, 7/28/25(b) | 200,000 | 184,255 | |
526,792 | |||
Brazil – 0.3% | |||
MercadoLibre, Inc., 3.13%, 1/14/31 | 270,000 | 204,482 | |
Petrobras Global Finance B.V., 5.30%, 1/27/25 | 150,000 | 147,644 | |
Suzano Austria GmbH, 3.13%, 1/15/32 | 160,000 | 120,582 | |
Vale Overseas Ltd., 6.25%, 8/10/26 | 130,000 | 130,869 | |
603,577 | |||
Canada – 0.8% | |||
Air Canada, 3.88%, 8/15/26(b) | 250,000 | 227,466 | |
Bombardier, Inc., 7.88%, 4/15/27(b) | 250,000 | 240,493 | |
GFL Environmental, Inc., | |||
4.25%, 6/01/25(b) | 50,000 | 48,063 | |
5.13%, 12/15/26(b) | 10,000 | 9,489 | |
4.75%, 6/15/29(b)(f) | 240,000 | 210,096 | |
Hudbay Minerals, Inc., 6.13%, 4/01/29(b) | 90,000 | 80,533 | |
MEG Energy Corp., | |||
7.13%, 2/01/27(b) | 200,000 | 201,436 | |
5.88%, 2/01/29(b) | 40,000 | 37,379 | |
Superior Plus L.P./Superior General Partner, Inc., 4.50%, 3/15/29(b) | 50,000 | 42,647 | |
TransAlta Corp., | |||
7.75%, 11/15/29(f) | 90,000 | 89,542 | |
6.50%, 3/15/40 | 380,000 | 334,896 | |
1,522,040 |
Par (a) | Value | ||
China – 0.1% | |||
Prosus N.V., 3.06%, 7/13/31(b) | $ 270,000 | $194,496 | |
Denmark – 0.1% | |||
Danske Bank A/S, (1Y US Treasury CMT + 2.10%), 6.47%, 1/09/26(b)(m) | 270,000 | 268,887 | |
Dominican Republic – 0.1% | |||
Dominican Republic International Bond, 4.88%, 9/23/32 | 310,000 | 250,506 | |
Egypt – 0.1% | |||
Egypt Government International Bond, 5.80%, 9/30/27 | 300,000 | 193,413 | |
France – 0.3% | |||
Banijay Entertainment SASU, 8.13%, 5/01/29(b)(f) | 200,000 | 194,997 | |
BNP Paribas S.A., (5Y US Treasury CMT + 4.90%), 7.75%, 8/16/29(b)(l)(m) | 200,000 | 185,435 | |
Credit Agricole S.A., (5Y USD Swap Rate + 6.19%), 8.13%, 12/23/25(b)(l)(m) | 200,000 | 197,500 | |
577,932 | |||
Germany – 0.2% | |||
ZF North America Capital, Inc., | |||
4.75%, 4/29/25(b) | 330,000 | 318,399 | |
7.13%, 4/14/30(b)(f) | 160,000 | 155,210 | |
473,609 | |||
Guatemala – 0.1% | |||
Millicom International Cellular S.A., 4.50%, 4/27/31(b) | 250,000 | 188,569 | |
Hong Kong – 0.2% | |||
Melco Resorts Finance Ltd., | |||
4.88%, 6/06/25(b) | 200,000 | 189,000 | |
5.38%, 12/04/29(b) | 200,000 | 158,311 | |
347,311 | |||
Indonesia – 0.3% | |||
Indonesia Treasury Bond, 6.50%, 2/15/31 | IDR | 8,192,000,000 | 495,129 |
Israel – 0.3% | |||
Teva Pharmaceutical Finance Co. LLC, 6.15%, 2/01/36(f) | 200,000 | 167,995 |
Par (a) | Value | ||
Israel (Continued) | |||
Teva Pharmaceutical Finance Netherlands III B.V., | |||
3.15%, 10/01/26 | $ 50,000 | $ 44,021 | |
4.75%, 5/09/27 | 460,000 | 417,652 | |
629,668 | |||
Italy – 0.1% | |||
UniCredit S.p.A., (5Y US Treasury CMT + 4.75%), 5.46%, 6/30/35(b)(m) | 210,000 | 172,278 | |
Ivory Coast – 0.1% | |||
Ivory Coast Government International Bond, 5.75%, 12/31/32 | 141,736 | 126,677 | |
Jamaica – 0.0%(e) | |||
Jamaica Government International Bond, 9.63%, 11/03/30 | JMD | 10,000,000 | 64,058 |
Jordan – 0.1% | |||
Jordan Government International Bond, 7.75%, 1/15/28(b) | 230,000 | 218,834 | |
Kazakhstan – 0.1% | |||
KazMunayGas National Co. JSC, 4.75%, 4/19/27(b) | 250,000 | 233,260 | |
Kuwait – 0.1% | |||
MEGlobal Canada ULC, 5.88%, 5/18/30(b) | 210,000 | 204,488 | |
Luxembourg – 0.4% | |||
Altice Financing S.A., 5.75%, 8/15/29(b) | 310,000 | 239,726 | |
Altice France Holding S.A., 10.50%, 5/15/27(b) | 620,000 | 337,342 | |
ARD Finance S.A., (100% Cash), 6.50%, 6/30/27(b)(k) | 200,000 | 116,436 | |
693,504 | |||
Macau – 0.2% | |||
Sands China Ltd., 3.10%, 3/08/29(f) | 450,000 | 363,134 | |
Mexico – 0.3% | |||
Banco Mercantil del Norte S.A., (10Y US Treasury CMT + 5.47%), 7.50%, 6/27/29(b)(l)(m) | 250,000 | 215,786 |
Par (a) | Value | ||
Mexico (Continued) | |||
Mexican Bonos, 5.75%, 3/05/26 | MXN | $ 4,910,000 | $244,988 |
Mexico Government International Bond, 4.75%, 3/08/44 | 150,000 | 111,015 | |
571,789 | |||
Panama – 0.1% | |||
Panama Government International Bond, 4.50%, 4/01/56 | 200,000 | 121,084 | |
Peru – 0.1% | |||
Petroleos del Peru S.A., 5.63%, 6/19/47(b) | 250,000 | 136,795 | |
Supranational – 0.2% | |||
Inter-American Development Bank, 7.35%, 10/06/30 | INR | 34,000,000 | 396,115 |
Switzerland – 0.2% | |||
Credit Suisse A.G., 7.95%, 1/09/25 | 250,000 | 253,566 | |
VistaJet Malta Finance PLC/Vista Management Holding, Inc., | |||
7.88%, 5/01/27(b)(f) | 200,000 | 153,816 | |
9.50%, 6/01/28(b)(f) | 50,000 | 38,308 | |
445,690 | |||
Turkey – 0.1% | |||
Turk Telekomunikasyon AS, 6.88%, 2/28/25(b) | 250,000 | 243,123 | |
United Arab Emirates – 0.2% | |||
DP World Ltd., 5.63%, 9/25/48(b) | 290,000 | 238,369 | |
Shelf Drilling Holdings Ltd., 9.63%, 4/15/29(b)(f) | 210,000 | 199,662 | |
438,031 | |||
United Kingdom – 0.2% | |||
Mclaren Finance PLC, 7.50%, 8/01/26(b)(f) | 200,000 | 171,000 | |
Vmed O2 UK Financing I PLC, 4.75%, 7/15/31(b) | 200,000 | 160,981 | |
331,981 | |||
Uruguay – 0.0%(e) | |||
Uruguay Government International Bond, 3.88%, 7/02/40 | UYU | 1,530,000 | 48,503 |
Par (a) | Value | ||
Zambia – 0.4% | |||
First Quantum Minerals Ltd., | |||
6.88%, 10/15/27(b) | $280,000 | $ 238,483 | |
8.63%, 6/01/31(b) | 700,000 | 590,871 | |
829,354 | |||
Total Foreign Issuer Bonds (Cost $13,699,211) | 12,073,821 |
Number of Shares | |||
Master Limited Partnerships – 4.0% | |||
Oil & Gas Producers – 4.0% | |||
Energy Transfer L.P. | 312,783 | 4,113,097 | |
Enterprise Products Partners L.P. | 139,884 | 3,642,579 | |
Total Master Limited Partnerships (Cost $7,313,829) | 7,755,676 |
Par (a) | |||
Mortgage-Backed Securities – 5.4% | |||
Commercial Mortgage-Backed Securities – 2.6% | |||
Benchmark Mortgage Trust, Series 2023-V3, Class D, 4.00%, 7/15/56(b) | $250,000 | 173,098 | |
BX Commercial Mortgage Trust, | |||
Series 2021-ACNT, Class A, (1M CME Term SOFR + 0.96%, 0.85% Floor), 6.30%, 11/15/38(b)(c) | 197,000 | 192,686 | |
Series 2021-VOLT, Class D, (1M CME Term SOFR + 1.76%, 1.65% Floor), 7.10%, 9/15/36(b)(c) | 270,000 | 257,758 | |
Series 2022-AHP, Class A, (1M CME Term SOFR + 0.99%, 0.99% Floor), 6.32%, 1/17/39(b)(c) | 212,000 | 206,771 | |
Series 2023-VLT2, Class E, (1M CME Term SOFR + 5.87%, 5.87% Floor), 11.21%, 6/15/40(b)(c) | 170,000 | 169,332 | |
BX Trust, | |||
Series 2021-ARIA, Class A, (1M CME Term SOFR + 1.01%, 0.90% Floor), 6.35%, 10/15/36(b)(c) | 270,000 | 261,215 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
BX Trust, | |||
Series 2021-SDMF, Class F, (1M CME Term SOFR + 2.05%, 1.94% Floor), 7.39%, 9/15/34(b)(c) | $210,000 | $193,685 | |
Series 2022-CLS, Class A, 5.76%, 10/13/27(b) | 230,000 | 221,125 | |
BXHPP Trust, Series 2021-FILM, Class C, (1M CME Term SOFR + 1.21%, 1.10% Floor), 6.55%, 8/15/36(b)(c) | 270,000 | 242,377 | |
Citigroup Commercial Mortgage Trust, Series 2017-P8, Class A3, 3.20%, 9/15/50 | 250,000 | 223,461 | |
Commercial Mortgage Trust, Series 2015-CR25, Class A4, 3.76%, 8/10/48 | 260,000 | 248,415 | |
Extended Stay America Trust, | |||
Series 2021-ESH, Class C, (1M CME Term SOFR + 1.81%, 1.70% Floor), 7.15%, 7/15/38(b)(c) | 246,311 | 241,063 | |
Series 2021-ESH, Class E, (1M CME Term SOFR + 2.96%, 2.85% Floor), 8.30%, 7/15/38(b)(c) | 246,311 | 240,754 | |
GS Mortgage Securities Trust, | |||
Series 2015-GC32, Class D, 3.35%, 7/10/48 | 220,000 | 185,912 | |
Series 2017-GS6, Class A2, 3.16%, 5/10/50 | 190,517 | 171,644 | |
J.P. Morgan Chase Commercial Mortgage Securities Trust, | |||
Series 2022-ACB, Class A, (30D Average SOFR + 1.40%, 1.40% Floor), 6.72%, 3/15/39(b)(c) | 350,000 | 343,421 | |
Series 2022-ACB, Class D, (30D Average SOFR + 2.90%, 2.90% Floor), 8.22%, 3/15/39(b)(c) | 190,000 | 180,480 | |
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class A5, 3.91%, 1/15/49 | 200,000 | 189,157 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
KREF Ltd., Series 2022-FL3, Class D, (1M CME Term SOFR + 2.80%, 2.80% Floor), 8.13%, 2/17/39(b)(c) | $150,000 | $ 140,994 | |
MF1 Ltd., Series 2020-FL4, Class A, (1M CME Term SOFR + 1.81%, 1.70% Floor), 7.15%, 11/15/35(b)(c) | 129,807 | 129,395 | |
MTN Commercial Mortgage Trust, | |||
Series 2022-LPFL, Class A, (1M CME Term SOFR + 1.40%, 1.40% Floor), 6.74%, 3/15/39(b)(c) | 260,000 | 254,149 | |
Series 2022-LPFL, Class F, (1M CME Term SOFR + 5.29%, 5.29% Floor), 10.63%, 3/15/39(b)(c) | 200,000 | 184,480 | |
NCMF Trust, Series 2022-MFP, Class G, (1M CME Term SOFR + 5.13%, 5.13% Floor), 10.46%, 3/15/39(b)(c) | 195,000 | 185,303 | |
Wells Fargo Commercial Mortgage Trust, Series 2014-LC18, Class B, 3.96%, 12/15/47 | 190,000 | 175,895 | |
5,012,570 | |||
Whole Loan – 2.8% | |||
BRAVO Residential Funding Trust, | |||
Series 2022-NQM1, Class A1, 3.63%, 9/25/61(b)(o) | 189,793 | 169,991 | |
Series 2022-NQM2, Class A1, 4.27%, 11/25/61(b)(o) | 157,794 | 151,400 | |
Series 2022-NQM2, Class A3, 5.24%, 11/25/61(b) | 197,242 | 189,103 | |
Citigroup Mortgage Loan Trust, Series 2022-A, Class A1, (Step to 9.17% on 9/25/25), 6.17%, 9/25/62(b)(n) | 228,604 | 226,091 | |
COLT Mortgage Loan Trust, Series 2022-3, Class A1, 3.90%, 2/25/67(b)(o) | 222,461 | 196,261 | |
CSMC Trust, Series 2020-RPL4, Class A1, 2.00%, 1/25/60(b) | 203,142 | 170,397 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
FNMA Connecticut Avenue Securities, | |||
Series 2017-C06, Class 1B1, (30D Average SOFR + 4.26%, 4.15% Floor), 9.59%, 2/25/30(c) | $330,000 | $352,218 | |
Series 2022-R03, Class 1M2, (30D Average SOFR + 3.50%), 8.82%, 3/25/42(b)(c) | 250,000 | 259,724 | |
Series 2022-R08, Class 1M2, (30D Average SOFR + 3.60%, 3.60% Floor), 8.92%, 7/25/42(b)(c) | 200,000 | 208,050 | |
Freddie Mac STACR Debt Notes, Series 2021-DNA2, Class B1, (30D Average SOFR + 3.40%), 8.72%, 8/25/33(b)(c) | 270,000 | 275,132 | |
Freddie Mac STACR REMIC Trust, | |||
Series 2020-DNA3, Class B1, (30D Average SOFR + 5.21%), 10.54%, 6/25/50(b)(c) | 152,647 | 165,512 | |
Series 2020-DNA5, Class B1, (30D Average SOFR + 4.80%), 10.12%, 10/25/50(b)(c) | 180,000 | 194,700 | |
Series 2020-DNA6, Class B1, (30D Average SOFR + 3.00%), 8.32%, 12/25/50(b)(c) | 260,000 | 260,972 | |
Series 2021-DNA1, Class B2, (30D Average SOFR + 4.75%), 10.07%, 1/25/51(b)(c) | 240,000 | 234,239 | |
Series 2022-DNA2, Class M2, (30D Average SOFR + 3.75%), 9.07%, 2/25/42(b)(c) | 225,000 | 228,094 | |
Series 2022-DNA2, Class M1B, (30D Average SOFR + 2.40%), 7.72%, 2/25/42(b)(c) | 210,000 | 210,393 | |
GS Mortgage-Backed Securities Trust, Series 2022-NQM1, Class A4, 4.00%, 5/25/62(b)(o) | 205,761 | 173,313 | |
Mill City Mortgage Loan Trust, Series 2018-2, Class M3, 3.75%, 5/25/58(b)(o) | 209,684 | 170,632 | |
New Residential Mortgage Loan Trust, Series 2022-NQM2, Class A1, 3.08%, 3/27/62(b)(o) | 223,806 | 191,949 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
OBX Trust, Series 2022-NQM6, Class A1, (Step to 4.73% on 7/25/26), 4.70%, 7/25/62(b)(n) | $233,296 | $ 219,237 | |
Residential Mortgage Loan Trust, Series 2020-2, Class A2, 2.51%, 5/25/60(b) | 360,000 | 339,766 | |
Seasoned Credit Risk Transfer Trust, Series 2022-1, Class M, 4.50%, 11/25/61(b) | 100,000 | 75,512 | |
SG Residential Mortgage Trust, Series 2022-1, Class A1, 3.17%, 3/27/62(b)(o) | 231,824 | 197,373 | |
Towd Point Mortgage Trust, | |||
Series 2015-5, Class B3, 4.01%, 5/25/55(b)(o) | 220,000 | 187,776 | |
Series 2017-5, Class B1, (1M CME Term SOFR + 1.91%), 5.51%, 2/25/57(b)(c) | 250,000 | 244,707 | |
Series 2019-HY2, Class B1, (1M CME Term SOFR + 2.36%, 2.25% Floor), 7.69%, 5/25/58(b)(c) | 190,000 | 188,883 | |
5,481,425 | |||
Total Mortgage-Backed Securities (Cost $10,807,584) | 10,493,995 | ||
Term Loans – 8.4%(c) | |||
Advertising & Marketing – 0.1% | |||
CB Poly US Holdings, Inc., Initial Term Loan, (1M USD CME Term SOFR + 5.50%, 0.75% Floor), 10.82%, 5/18/29 | 198,000 | 187,704 | |
Aerospace & Defense – 0.4% | |||
Barnes Group, Inc., Initial Term Loan, (1M USD CME Term SOFR + 3.00%), 8.42%, 9/03/30 | 230,000 | 226,934 |
Par (a) | Value | ||
Aerospace & Defense (Continued) | |||
Vertex Aerospace Services Corp., Initial Term Loan, (1M USD CME Term SOFR + 3.75%, 0.75% Floor), 9.17%, 12/06/28 | $242,071 | $241,769 | |
WP CPP Holdings LLC, Initial Term Loan, (3M USD CME Term SOFR + 3.75%, 1.00% Floor), 9.29%, 4/30/25 | 334,125 | 319,209 | |
787,912 | |||
Asset Management – 0.2% | |||
Jump Financial LLC, Term Loan, (3M USD CME Term SOFR + 4.50%, 0.50% Floor), 10.15%, 8/07/28 | 378,658 | 362,565 | |
Osaic Holdings, Inc., Term B-2 Loan, (1M USD CME Term SOFR + 4.50%), 9.82%, 8/17/28 | 130,000 | 129,253 | |
491,818 | |||
Automotive – 0.1% | |||
Clarios Global L.P., Incremental Term Loan, (1M USD CME Term SOFR + 3.75%), 9.07%, 5/06/30 | 130,000 | 129,675 | |
First Brands Group LLC, 2022-II Incremental Term Loan, (6M USD CME Term SOFR + 5.00%, 1.00% Floor), 10.88%, 3/30/27 | 139,298 | 137,035 | |
266,710 | |||
Beverages – 0.1% | |||
Triton Water Holdings, Inc., Initial Term Loan, (3M USD CME Term SOFR + 3.25%, 0.50% Floor), 8.90%, 3/31/28 | 232,471 | 219,897 | |
Cable & Satellite – 0.0%(e) | |||
Virgin Media Bristol LLC, Facility Y, (6M USD CME Term SOFR + 3.25%), 8.79%, 3/31/31 | 100,000 | 97,672 | |
Commercial Support Services – 0.6% | |||
Allied Universal Holdco LLC, Initial U.S. Dollar Term Loan, (1M USD CME Term SOFR + 3.75%, 0.50% Floor), 9.17%, 5/12/28 | 196,491 | 186,250 |
Par (a) | Value | ||
Commercial Support Services (Continued) | |||
Allied Universal Holdco LLC, Amendment No. 3 Term Loan, (1M USD CME Term SOFR + 4.75%, 0.50% Floor), 10.07%, 5/12/28 | $100,000 | $ 96,813 | |
Garda World Security Corp., Term B-2 Loan, (3M USD CME Term SOFR + 4.25%), 9.75%, 10/30/26 | 360,000 | 358,369 | |
GEO Group, Inc., The Tranche 1 Loan, | |||
3/23/27 (p) | 229 | 233 | |
(1M USD CME Term SOFR + 7.13%, 0.75% Floor), 12.45%, 3/23/27 | 127,485 | 129,557 | |
LRS Holdings LLC, Initial Term Loan, (1M USD CME Term SOFR + 4.25%, 0.50% Floor), 9.69%, 8/31/28 | 232,509 | 227,277 | |
Prime Security Services Borrower LLC, 2023 Refinancing Term B-1 Loan, (3M USD CME Term SOFR + 2.50%), 7.83%, 10/13/30 | 90,000 | 89,775 | |
1,088,274 | |||
Communications – 0.1% | |||
Learfield Communications LLC, 2023 Term Loan, 6/30/28(p) | 140,000 | 133,234 | |
Construction Materials – 0.1% | |||
Smyrna Ready Mix Concrete LLC, Initial Term Loan, (1M USD CME Term SOFR + 4.25%, 0.50% Floor), 9.67%, 4/02/29 | 188,568 | 188,568 | |
Consumer Cyclical – 0.1% | |||
Cinemark USA, Inc., Term Loan, | |||
(3M USD CME Term SOFR + 3.75%, 0.50% Floor), 9.14%, 5/24/30 | 81,727 | 81,522 | |
(1M USD CME Term SOFR + 3.75%, 0.50% Floor), 9.07%, 5/24/30 | 186,923 | 186,456 | |
267,978 |
Par (a) | Value | ||
Consumer Non-Cyclical – 0.1% | |||
Topgolf Callaway Brands Corp., Initial Term Loan, (1M USD CME Term SOFR + 3.50%), 8.92%, 3/15/30 | $149,250 | $148,411 | |
Consumer Services – 0.0%(e) | |||
Adtalem Global Education, Inc., Term B Loan, (1M USD CME Term SOFR + 4.00%, 0.75% Floor), 9.44%, 8/12/28 | 29,125 | 29,074 | |
WW International, Inc., Initial Term Loan, 4/13/28(p) | 20,000 | 14,133 | |
43,207 | |||
Electrical Equipment – 0.1% | |||
EMRLD Borrower L.P., Initial Term B Loan, (1M USD CME Term SOFR + 3.00%), 8.32%, 5/31/30 | 110,000 | 109,707 | |
Entertainment Content – 0.2% | |||
Allen Media LLC, Initial Term Loan, (3M USD CME Term SOFR + 5.50%), 11.04%, 2/10/27 | 451,805 | 398,153 | |
Health Care Facilities & Services – 0.7% | |||
Agiliti Health, Inc., Term Loan, (3M USD CME Term SOFR + 3.00%), 8.39%, 5/01/30 | 140,000 | 137,900 | |
Cardinal Parent, Inc., Initial Term Loan, (3M USD CME Term SOFR + 4.50%, 0.75% Floor), 10.04%, 11/12/27 | 239,667 | 217,098 | |
EyeCare Partners LLC, Initial Term Loan, (3M USD CME Term SOFR + 6.75%), 12.39%, 11/15/29 | 380,000 | 152,000 | |
Gainwell Acquisition Corp., Term B Loan, (3M USD CME Term SOFR + 4.00%, 0.75% Floor), 9.49%, 10/01/27 | 253,299 | 241,691 | |
LifePoint Health, Inc., 2023 Refinancing Term Loan, (3M USD CME Term SOFR + 5.50%), 14.00%, 11/16/28 | 301,289 | 284,107 |
Par (a) | Value | ||
Health Care Facilities & Services (Continued) | |||
PDS Holdco, Inc., Delayed Draw Term Loan, (3M USD CME Term SOFR + 4.50%), 10.18%, 8/18/28 | $ 31,878 | $ 24,207 | |
PDS Holdco, Inc., Initial Term Loan, (3M USD CME Term SOFR + 4.50%), 10.18%, 8/18/28 | 312,035 | 236,953 | |
1,293,956 | |||
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), 8.89%, 2/26/29 | 245,625 | 231,656 | |
Industrial Support Services – 0.2% | |||
Accession Risk Management Group, Inc., 2023 Delayed Draw Term Loan, | |||
10/30/26 (p)(q) | 101,201 | 99,935 | |
(3M USD CME Term SOFR + 6.00%, 0.75% Floor), 11.58%, 10/30/26 | 8,800 | 8,690 | |
PECF USS Intermediate Holding III Corp., Initial Term Loan, | |||
(1M USD CME Term SOFR + 4.25%, 0.50% Floor), 9.69%, 12/15/28 | 1,150 | 866 | |
(3M USD CME Term SOFR + 4.25%, 0.50% Floor), 9.89%, 12/15/28 | 450,800 | 339,398 | |
448,889 | |||
Institutional Financial Services – 0.7% | |||
CTC Holdings L.P., Term Loan, (3M USD CME Term SOFR + 5.00%, 0.50% Floor), 10.34%, 2/20/29 | 423,401 | 415,992 | |
Hudson River Trading LLC, Term Loan, (1M USD CME Term SOFR + 3.00%), 8.44%, 3/20/28 | 232,452 | 228,835 | |
Jane Street Group LLC, Dollar Term Loan, (1M USD CME Term SOFR + 2.75%), 8.19%, 1/26/28 | 422,399 | 421,026 | |
Mercury Borrower, Inc., Initial Term Loan, (1M USD CME Term SOFR + 3.50%, 0.50% Floor), 8.94%, 8/02/28 | 246,638 | 241,500 | |
1,307,353 |
Par (a) | Value | ||
Insurance – 0.6% | |||
Acrisure LLC, 2022 Additional Term Loan, (3M USD CME Term SOFR + 5.75%, 1.00% Floor), 11.12%, 2/15/27 | $198,500 | $ 198,500 | |
Acrisure LLC, 2021-2 Additional Term Loan, (1M USD Syn LIBOR + 4.25%, 0.50% Floor), 9.69%, 2/15/27 | 334,050 | 331,404 | |
AssuredPartners, Inc., 2023 Term Loan, 2/12/27(p) | 120,000 | 119,350 | |
Asurion LLC, New B-4 Term Loan, (1M USD CME Term SOFR + 5.25%), 10.69%, 1/20/29 | 300,000 | 255,429 | |
Asurion LLC, New B-9 Term Loan, (1M USD CME Term SOFR + 3.25%), 8.69%, 7/31/27 | 184,389 | 176,014 | |
HIG Finance 2 Ltd., 2023 Term Loan, (1M USD CME Term SOFR + 4.00%, 0.50% Floor), 9.32%, 4/18/30 | 39,800 | 39,738 | |
Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.), 2023 Term Loan, (1M USD CME Term SOFR + 3.75%), 9.07%, 2/24/28 | 139,300 | 138,691 | |
1,259,126 | |||
Leisure Facilities & Services – 0.4% | |||
1011778 B.C. Unlimited Liability Co., Term B-5 Loan, (1M USD CME Term SOFR + 2.25%), 7.57%, 9/23/30 | 130,000 | 128,667 | |
Alterra Mountain Co., Series B-2 Term Loan, (1M USD CME Term SOFR + 3.50%, 0.50% Floor), 8.94%, 8/17/28 | 451,930 | 451,365 | |
Caesars Entertainment, Inc., Term Loan B, (1M USD CME Term SOFR + 3.25%, 0.50% Floor), 8.67%, 2/06/30 | 79,600 | 79,213 |
Par (a) | Value | ||
Leisure Facilities & Services (Continued) | |||
Carnival Corp., Initial Advance, (1M USD CME Term SOFR + 3.00%, 0.75% Floor), 8.34%, 8/09/27 | $ 79,800 | $ 78,304 | |
UFC Holdings LLC, Term B-3 Loan, (3M USD CME Term SOFR + 2.75%, 0.75% Floor), 8.40%, 4/29/26 | 144,808 | 144,587 | |
882,136 | |||
Leisure Products – 0.3% | |||
19th Holdings Golf LLC, Initial Term Loan, (1M USD CME Term SOFR + 3.25%, 0.50% Floor), 8.68%, 2/07/29 | 454,250 | 429,266 | |
Hayward Industries, Inc., 2022 Incremental Term Loan, (1M USD CME Term SOFR + 3.25%), 8.67%, 5/30/28 | 89,100 | 87,764 | |
517,030 | |||
Machinery – 0.1% | |||
SPX Flow, Inc., Term Loan, (1M USD CME Term SOFR + 4.50%, 0.50% Floor), 9.92%, 4/05/29 | 243,996 | 241,556 | |
Medical Equipment & Devices – 0.1% | |||
Sotera Health Holdings LLC, Term Loan, (1M USD CME Term SOFR + 3.75%, 0.50% Floor), 9.09%, 12/11/26 | 139,650 | 139,301 | |
Retail - Discretionary – 0.5% | |||
Great Outdoors Group LLC, Term B-2 Loan, (3M USD CME Term SOFR + 3.75%, 0.75% Floor), 9.40%, 3/06/28 | 343,860 | 340,779 | |
Harbor Freight Tools USA, Inc., Initial Loan, (1M USD CME Term SOFR + 2.75%, 0.50% Floor), 8.19%, 10/19/27 | 278,564 | 274,762 | |
Leslie's Poolmart, Inc., Initial Term Loan, (1M USD CME Term SOFR + 2.75%, 0.50% Floor), 8.19%, 3/09/28 | 232,096 | 225,906 |
Par (a) | Value | ||
Retail - Discretionary (Continued) | |||
Michaels Companies, Inc., The Term B Loan, (3M USD CME Term SOFR + 4.25%), 9.90%, 4/15/28 | $ 20,000 | $ 16,655 | |
Peer Holding III B.V., Term Loan B4, 10/19/30(p) | 120,000 | 119,438 | |
977,540 | |||
Software – 0.9% | |||
athenahealth Group, Inc., Initial Term Loan, (1M USD CME Term SOFR + 3.25%, 0.50% Floor), 8.58%, 2/15/29 | 44,655 | 43,196 | |
Cloudera, Inc., Initial Term Loan, | |||
(1M USD CME Term SOFR + 3.75%, 0.50% Floor), 9.17%, 10/08/28 | 232,508 | 223,401 | |
(1M USD CME Term SOFR + 6.00%), 11.42%, 10/08/29 | 50,000 | 44,729 | |
DCert Buyer, Inc., First Amendment Refinancing Loan, (1M USD CME Term SOFR + 7.00%), 12.32%, 2/19/29 | 340,000 | 303,168 | |
DCert Buyer, Inc., Initial Term Loan, (1M USD CME Term SOFR + 4.00%), 9.32%, 10/16/26 | 313,925 | 307,793 | |
Magenta Buyer LLC, Initial Term Loan, | |||
(3M USD CME Term SOFR + 5.00%, 0.75% Floor), 10.64%, 7/27/28 | 133,714 | 93,599 | |
(3M USD CME Term SOFR + 8.25%, 0.75% Floor), 13.89%, 7/27/29 | 300,000 | 129,000 | |
MRI Software LLC, Closing Date Term Loan, (3M USD CME Term SOFR + 5.50%, 1.00% Floor), 10.99%, 2/10/26 | 129,144 | 126,238 | |
MRI Software LLC, Second Amendment Term Loan, (3M USD CME Term SOFR + 5.50%, 1.00% Floor), 10.99%, 2/10/26 | 39,855 | 38,959 | |
Planview Parent, Inc., Closing Date Term Loan, (3M USD CME Term SOFR + 4.00%, 0.75% Floor), 9.65%, 12/17/27 | 219,002 | 214,896 | |
Project Alpha Intermediate Holding, Inc., Initial Term Loan, 10/28/30(p) | 150,000 | 145,383 | |
1,670,362 |
Par (a) | Value | ||
Specialty Finance – 0.2% | |||
Apollo Commercial Real Estate Finance, Inc., Initial Term Loan, (1M USD CME Term SOFR + 2.75%), 8.19%, 5/15/26 | $ 74,697 | $ 72,083 | |
Greystone Select Financial LLC, Initial Term Loan, (3M USD CME Term SOFR + 5.00%), 10.66%, 6/16/28 | 251,887 | 243,700 | |
315,783 | |||
Technology Services – 1.0% | |||
Amentum Government Services Holdings LLC, Tranche 1 Term Loan, (1M USD CME Term SOFR + 4.00%), 9.44%, 1/29/27 | 451,827 | 442,791 | |
Evertec Group LLC, Term Loan B, 10/12/30(p) | 80,000 | 80,000 | |
GTCR W Merger Sub LLC, Term Loan B, 9/20/30(p) | 100,000 | 99,208 | |
MPH Acquisition Holdings LLC, Initial Term Loan, (3M USD CME Term SOFR + 4.25%, 0.50% Floor), 9.92%, 9/01/28 | 139,644 | 129,326 | |
Neptune BidCo US, Inc., Term A Loan, (3M USD CME Term SOFR + 4.75%, 0.50% Floor), 10.26%, 10/11/28 | 248,750 | 214,858 | |
UST Global, Inc., Initial Term Loan, (1M USD CME Term SOFR + 3.50%), 8.93%, 11/20/28 | 451,950 | 448,560 | |
Verscend Holding Corp., Term B-1 Loan, (1M USD CME Term SOFR + 4.00%), 9.44%, 8/27/25 | 461,694 | 461,020 | |
1,875,763 | |||
Telecommunications – 0.1% | |||
R.R. Donnelley & Sons Co., 2023 Replacement Term Loan, (1M USD CME Term SOFR + 7.25%, 0.75% Floor), 12.67%, 3/17/28 | 215,444 | 214,690 | |
Transportation & Logistics – 0.3% | |||
Brown Group Holding LLC, Incremental Term B-2 Facility, | |||
(3M USD CME Term SOFR + 3.75%, 0.50% Floor), 9.17%, 7/02/29 | 7,525 | 7,502 | |
(3M USD CME Term SOFR + 3.75%, 0.50% Floor), 9.13%, 7/02/29 | 15,858 | 15,809 |
Par (a) | Value | ||
Transportation & Logistics (Continued) | |||
Brown Group Holding LLC, Incremental Term B-2 Facility, | |||
(1M USD CME Term SOFR + 3.75%, 0.50% Floor), 9.07%, 7/02/29 | $ 6,466 | $ 6,446 | |
Brown Group Holding LLC, Initial Term Loan, (1M USD CME Term SOFR + 2.75%, 0.50% Floor), 8.17%, 6/07/28 | 304,179 | 298,347 | |
WWEX UNI TopCo Holdings LLC, Initial Term Loan, (3M USD CME Term SOFR + 4.00%, 0.75% Floor), 9.65%, 7/26/28 | 243,541 | 232,506 | |
560,610 | |||
Total Term Loans (Cost $17,283,727) | 16,364,996 |
Number of Shares | |||
Investment Companies – 8.1% | |||
Schwab Short-Term U.S. Treasury ETF | 214,601 | 10,277,242 | |
Vanguard Long-Term Treasury ETF(f) | 103,063 | 5,422,144 | |
Total Investment Companies (Cost $19,197,101) | 15,699,386 |
Par (a)/Number of Shares | |||
Short-Term Investments – 8.8% | |||
Corporate Bonds – 0.7% | |||
Aspen Insurance Holdings Ltd., 4.65%, 11/15/23 | 10,000 | 9,991 | |
Comerica Bank, 2.50%, 7/23/24 | 510,000 | 490,050 | |
CSC Holdings LLC, 5.25%, 6/01/24(f) | 320,000 | 299,207 | |
Las Vegas Sands Corp., 3.20%, 8/08/24 | 280,000 | 272,455 | |
Plains All American Pipeline L.P., (3M CME Term SOFR + 4.37%), 9.74%, 12/04/23(c)(l) | 180,000 | 169,148 | |
QVC, Inc., 4.85%, 4/01/24 | 140,000 | 134,319 | |
1,375,170 |
Par (a)/Number of Shares | Value | ||
Foreign Issuer Bonds – 0.7% | |||
Credit Suisse A.G., 4.75%, 8/09/24 | 260,000 | $ 256,565 | |
Global Aircraft Leasing Co. Ltd., (100% Cash), 6.50%, 9/15/24(b)(k) | 259,062 | 234,118 | |
UBS Group A.G., (5Y USD Swap Rate + 4.34%), 7.00%, 1/31/24(b)(l)(m) | 500,000 | 495,792 | |
Wynn Macau Ltd., 4.88%, 10/01/24(b)(f) | 480,000 | 466,309 | |
1,452,784 | |||
Money Market Funds – 7.4% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 5.41%(r)(s) | 4,901,136 | 4,901,136 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 5.21%(r) | 9,481,127 | 9,481,127 | |
14,382,263 | |||
Total Short-Term Investments (Cost $17,219,128) | 17,210,217 |
Number of Contracts | Notional Amount | ||
Purchased Options – 0.0%(e) | |||
Call Options - Exchange Traded – 0.0%(e) | |||
10-Year U.S. Treasury Note Future, Strike Price USD 118.50, Expires 12/22/23 | 1 | 106,453 | 31 |
3-Month SOFR Future, Strike Price USD 99.25, Expires 12/15/23 | 2 | 472,800 | 13 |
5-Year U.S. Treasury Note Future, Strike Price USD 104.50, Expires 11/24/23 | 11 | 1,149,243 | 6,016 |
6,060 |
Number of Contracts | Notional Amount | Value | |
Put Options - Over the Counter – 0.0%(e) | |||
Canadian Dollar vs. U.S. Dollar, Strike Price CAD 1.33, Expires 11/09/23, Counterparty: BNP Paribas | 1 | $1,020,000 | $ — |
U.S. Dollar vs. Euro, Strike Price USD 1.06, Expires 02/05/24, Counterparty: JPMorgan Chase | 1 | 456,193 (t) | 5,333 |
U.S. Dollar vs. Euro, Strike Price USD 1.06, Expires 02/05/24, Counterparty: Citibank | 1 | 58,067 (t) | 679 |
6,012 | |||
Total Purchased Options (Premiums Paid $22,356) | 12,072 |
Total Investments – 101.7% (Cost $209,235,924) | 198,118,516 | ||
Liabilities less Other Assets – (1.7)%(u) | (3,405,769) | ||
NET ASSETS – 100.0% | $194,712,747 |
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 or floating rate security. Rate as of October 31, 2023 is disclosed. | ||
(d) | When-Issued Security. Coupon rate was not yet in effect at October 31, 2023. | ||
(e) | Amount rounds to less than 0.05%. | ||
(f) | Security either partially or fully on loan. (See Note 7). | ||
(g) | Security sold outside United States without registration under the Securities Act of 1933. | ||
(h) | Investment is valued using significant unobservable inputs (Level 3). (See Note 4 regarding investments in Russian securities). |
(i) | Zero coupon bond. | ||
(j) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. | ||
(k) | Distributions from this security are made via payments in-kind (PIK) unless otherwise noted in the description. | ||
(l) | Perpetual bond. Maturity date represents next call date. | ||
(m) | 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, 2023 is disclosed. | ||
(n) | Step coupon bond. Rate as of October 31, 2023 is disclosed. | ||
(o) | 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, 2023 is disclosed. | ||
(p) | Position is unsettled. Contract rate was not determined at October 31, 2023 and does not take effect until settlement date. | ||
(q) | Unfunded loan commitment. As of October 31, 2023, total value of unfunded loan commitment is $99,935. | ||
(r) | 7-day current yield as of October 31, 2023 is disclosed. | ||
(s) | Security purchased with the cash proceeds from securities loaned. (See Note 7). | ||
(t) | The notional amount is EUR. | ||
(u) | 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 |
6M | 6 Month |
10Y | 10 Year |
30D | 30 Day |
ABS | Asset-Backed Security |
ADR | American Depositary Receipt |
AUD | Australian Dollar |
BANXICO | Banco de Mexico |
BRL | Brazilian Real |
BZDIO | Brazil Interbank Rate |
CAD | Canadian Dollar |
CDO | Collateralized Debt Obligation |
CLO | Collateralized Loan Obligation |
CME | Chicago Mercantile Exchange |
CMT | Constant Maturity |
ETF | Exchange-Traded Fund |
EUR | Euro |
FNMA | Federal National Mortgage Association |
Freddie Mac | Federal Home Loan Mortgage Corporation |
GBP | British Pound |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
JMD | Jamaica Dollar |
JSC | Joint Stock Company |
L.P. | Limited Partnership |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
MTN | Medium Term Note |
MXN | Mexican Peso |
PJSC | Public Joint Stock Company |
PLC | Public Limited Company |
REMIC | Real Estate Mortgage Investment Conduit |
SASU | Société par Actions Simplifiée Unipersonnelle |
SOFR | United States Secured Overnight Financing Rate |
SONIA | Sterling Overnight Index Average |
STACR | Structured Agency Credit Risk |
TIIE | Tasa de Interés Interbancaria de Equilibrio |
USD | United States Dollar |
UYU | Uruguay Peso |
Concentration by Currency (%)(a) | |
U.S. Dollar | 67.1 |
Euro | 5.1 |
All other currencies less than 5% | 27.8 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Country Diversification (%)(a) | |
United States | 54.9 |
All other countries less than 5%(b) | 45.1 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
(b) Includes Other. |
Futures Contracts outstanding at October 31, 2023: Exchange Traded | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | |||||
Euro-Bund | 20 | 12/07/2023 | EUR | 2,729,686 | $ 36,660 |
10-Year Australian Treasury Bond | 8 | 12/15/2023 | AUD | 549,320 | (35,860) |
10-Year U.S. Treasury Note | 75 | 12/19/2023 | USD | 7,962,891 | (274,741) |
U.S. Treasury Long Bond | 34 | 12/19/2023 | USD | 3,720,875 | (340,013) |
Ultra U.S. Treasury Bond | 32 | 12/19/2023 | USD | 3,602,000 | (435,456) |
3-Month SONIA | 37 | 12/20/2023 | GBP | 10,654,909 | (61,182) |
Long Gilt | 8 | 12/27/2023 | GBP | 905,851 | (14,237) |
2-Year U.S. Treasury Note | 67 | 12/29/2023 | USD | 13,562,266 | (59,771) |
5-Year U.S. Treasury Note | 78 | 12/29/2023 | USD | 8,149,172 | (158,257) |
3-Month SONIA | 12 | 3/20/2024 | GBP | 3,453,276 | 31,988 |
3-Month SONIA | 13 | 9/18/2024 | GBP | 3,748,357 | 20,647 |
CME 3-Month SOFR | 17 | 3/18/2025 | USD | 4,052,587 | (53,887) |
Total Long Contracts | $(1,344,109) | ||||
Short Contracts | |||||
CME 3-Month SOFR | (28) | 3/19/2024 | USD | 6,619,200 | $ 42,200 |
10-Year U.S. Treasury Note | (7) | 6/18/2024 | USD | 1,655,938 | (887) |
Total Short Contracts | $ 41,313 | ||||
$(1,302,796) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2023: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
11/09/23 | U.S. Dollars | 357,000 | Canadian Dollars | 480,236 | BNP Paribas | $ 10,654 |
1/19/24 | U.S. Dollars | 384,731 | Indonesian Rupiahs | 6,031,820,000 | JPMorgan Chase | 6,597 |
1/19/24 | U.S. Dollars | 247,306 | Canadian Dollars | 336,270 | BNP Paribas | 4,463 |
11/13/23 | Brazilian Reals | 1,200,000 | U.S. Dollars | 233,909 | Goldman Sachs | 3,714 |
1/19/24 | Mexican Pesos | 7,640,000 | U.S. Dollars | 414,267 | JPMorgan Chase | 3,619 |
1/19/24 | U.S. Dollars | 560,483 | British Pounds | 458,576 | BNP Paribas | 2,733 |
1/19/24 | Mexican Pesos | 4,480,000 | U.S. Dollars | 242,327 | Goldman Sachs | 2,717 |
1/19/24 | Brazilian Reals | 320,000 | U.S. Dollars | 62,499 | Morgan Stanley | 365 |
11/16/23 | Brazilian Reals | 820,000 | U.S. Dollars | 162,023 | Goldman Sachs | 291 |
1/19/24 | U.S. Dollars | 180,660 | Euro | 170,000 | BNP Paribas | 80 |
Total Unrealized Appreciation | $ 35,233 | |||||
1/19/24 | U.S. Dollars | 146,308 | Euro | 138,000 | BNP Paribas | $ (281) |
1/19/24 | British Pounds | 242,411 | U.S. Dollars | 295,580 | BNP Paribas | (744) |
1/19/24 | Australian Dollars | 2,716,409 | U.S. Dollars | 1,728,634 | BNP Paribas | (826) |
1/19/24 | Mexican Pesos | 3,400,000 | U.S. Dollars | 187,332 | Goldman Sachs | (1,361) |
1/19/24 | U.S. Dollars | 426,369 | Mexican Pesos | 7,829,971 | JPMorgan Chase | (1,909) |
1/19/24 | Canadian Dollars | 400,000 | U.S. Dollars | 292,781 | Morgan Stanley | (3,915) |
1/19/24 | Norwegian Kroner | 3,761,171 | U.S. Dollars | 349,306 | Morgan Stanley | (11,829) |
1/19/24 | Japanese Yen | 127,275,808 | U.S. Dollars | 863,905 | Morgan Stanley | (12,605) |
1/19/24 | Canadian Dollars | 1,289,453 | U.S. Dollars | 946,742 | Goldman Sachs | (15,544) |
Total Unrealized Depreciation | $ (49,014) | |||||
Net Unrealized Depreciation | $(13,781) |
Interest Rate Swap Contracts outstanding at October 31, 2023: Centrally Cleared | |||||||
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) | 8.97% (Monthly) | 3/1/2030 | MXN | 27,411,000 | $ (50,497) | $ — | $ (50,497) |
2.60% (Annually) | 2-Day USD SOFR (Annually) | 2/15/2048 | USD | 168,000 | 47,969 | 19,894 | 28,075 |
3.05% (Annually) | 2-Day USD SOFR (Annually) | 2/15/2048 | USD | 964,000 | 208,375 | 37,136 | 171,239 |
3.15% (Annually) | 2-Day USD SOFR (Annually) | 5/15/2048 | USD | 979,000 | 192,682 | 8 | 192,674 |
Total | $398,529 | $57,038 | $341,491 |
Interest Rate Swap Contracts outstanding at October 31, 2023: 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-Day BRL BZDIO (At Maturity) | 10.23% (At Maturity) | JPMorgan Chase | 1/2/2029 | BRL | 4,416,982 | $ (58,731) | $— | $ (58,731) |
Total | $(58,731) | $— | $(58,731) |
Morningstar Global Income Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 9,039,516 | $— | $ 9,039,516 |
Common Stocks | 43,001,039 | 39,514,154 | —* | 82,515,193 |
Convertible Bonds | — | 191,794 | — | 191,794 |
Corporate Bonds | — | 26,761,850 | — | 26,761,850 |
Foreign Issuer Bonds | — | 12,073,821 | — | 12,073,821 |
Master Limited Partnerships | 7,755,676 | — | — | 7,755,676 |
Mortgage-Backed Securities | — | 10,493,995 | — | 10,493,995 |
Term Loans | — | 16,364,996 | — | 16,364,996 |
Investment Companies | 15,699,386 | — | — | 15,699,386 |
Short-Term Investments | 14,382,263 | 2,827,954 | — | 17,210,217 |
Purchased Options | 6,060 | 6,012 | — | 12,072 |
Total Investments | $80,844,424 | $117,274,092 | $— | $198,118,516 |
*Includes securities determined to have no value as of October 31, 2023. |
Morningstar Global Income Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Futures Contracts | $ 131,495 | $ — | $— | $ 131,495 |
Forward Foreign Currency Exchange Contracts | — | 35,233 | — | 35,233 |
Swap Agreements | — | 449,026 | — | 449,026 |
Total Assets - Derivative Financial Instruments | $ 131,495 | $484,259 | $— | $ 615,754 |
Liabilities: | ||||
Futures Contracts | $(1,434,291) | $ — | $— | $(1,434,291) |
Morningstar Global Income Fund | Level 1 | Level 2 | Level 3 | Totals |
Forward Foreign Currency Exchange Contracts | $ — | $ (49,014) | $— | $ (49,014) |
Swap Agreements | — | (109,228) | — | (109,228) |
Total Liabilities - Derivative Financial Instruments | $(1,434,291) | $(158,242) | $— | $(1,592,533) |
Net Derivative Financial Instruments | $(1,302,796) | $ 326,017 | $— | $ (976,779) |
Par (a) | Value | ||
Long Positions – 109.6% | |||
Asset-Backed Securities – 4.4% | |||
Other – 4.3% | |||
522 Funding CLO Ltd., Series 2020-6A, Class A1R, (3M CME Term SOFR + 1.41%, 1.15% Floor), 6.82%, 10/23/34(b)(c) | $610,000 | $602,070 | |
AB BSL CLO 4 Ltd., Series 2023-4A, Class A, (3M CME Term SOFR + 2.00%, 2.00% Floor), 7.42%, 4/20/36(b)(c) | 100,000 | 100,694 | |
ABPCI Direct Lending Fund CLO X L.P., Series 2020-10A, Class A1A, (3M CME Term SOFR + 2.21%, 1.95% Floor), 7.54%, 1/20/32(b)(c) | 400,000 | 397,380 | |
AGL CLO 13 Ltd., Series 2021-13A, Class A1, (3M CME Term SOFR + 1.42%, 1.16% Floor), 6.84%, 10/20/34(b)(c) | 250,000 | 248,288 | |
AIMCO CLO, Series 2017-AA, Class AR, (3M CME Term SOFR + 1.31%, 1.05% Floor), 6.73%, 4/20/34(b)(c) | 270,000 | 266,428 | |
Allegro CLO VII Ltd., Series 2018-1A, Class A, (3M CME Term SOFR + 1.36%, 1.10% Floor), 6.76%, 6/13/31(b)(c) | 237,832 | 236,980 | |
AMMC CLO Ltd., Series 2017-21A, Class A, (3M CME Term SOFR + 1.51%), 6.89%, 11/02/30(b)(c) | 225,362 | 224,826 | |
Anchorage Capital CLO Ltd., Series 2013-1A, Class A1R, (3M CME Term SOFR + 1.51%), 6.91%, 10/13/30(b)(c) | 325,923 | 325,000 | |
Ares Loan Funding IV Ltd., Series 2023-ALF4A, Class A1, (3M CME Term SOFR + 1.75%, 1.75% Floor), 7.12%, 10/15/36(b)(c)(d) | 630,000 | 629,774 | |
Ares LXIII CLO Ltd., Series 2022-63A, Class A1A, (3M CME Term SOFR + 1.38%, 1.38% Floor), 6.80%, 4/20/35(b)(c) | 540,000 | 535,889 |
Par (a) | Value | ||
Other (Continued) | |||
Ares XLII CLO Ltd., Series 2017-42A, Class BR, (3M CME Term SOFR + 1.76%, 1.50% Floor), 7.17%, 1/22/28(b)(c) | $500,000 | $495,675 | |
ARES XLIV CLO Ltd., Series 2017-44A, Class A1R, (3M CME Term SOFR + 1.34%, 1.08% Floor), 6.74%, 4/15/34(b)(c) | 460,000 | 456,559 | |
Atrium IX, Series 9A, Class AR2, (3M CME Term SOFR + 1.25%, 0.99% Floor), 6.64%, 5/28/30(b)(c) | 517,620 | 515,558 | |
Avis Budget Rental Car Funding AESOP LLC, Series 2021-1A, Class A, 1.38%, 8/20/27(b) | 770,000 | 679,349 | |
Ballyrock CLO Ltd., Series 2019-2A, Class A1BR, (3M CME Term SOFR + 1.46%, 1.20% Floor), 6.84%, 11/20/30(b)(c) | 250,000 | 247,142 | |
Benefit Street Partners CLO V-B Ltd., Series 2018-5BA, Class A1A, (3M CME Term SOFR + 1.35%), 6.77%, 4/20/31(b)(c) | 240,958 | 240,627 | |
Birch Grove CLO 7 Ltd., Series 2023-7A, Class A1, (3M CME Term SOFR + 1.80%), 7.17%, 10/20/36(b)(c)(d) | 270,000 | 270,000 | |
BlueMountain CLO Ltd., | |||
Series 2013-2A, Class A1R, (3M CME Term SOFR + 1.44%), 6.85%, 10/22/30(b)(c) | 172,646 | 171,951 | |
Series 2015-3A, Class A1R, (3M CME Term SOFR + 1.26%), 6.68%, 4/20/31(b)(c) | 223,746 | 223,290 | |
BlueMountain Fuji U.S. CLO I Ltd., Series 2017-1A, Class A1R, (3M CME Term SOFR + 1.24%, 0.98% Floor), 6.66%, 7/20/29(b)(c) | 215,381 | 214,308 | |
BlueMountain Fuji U.S. CLO II Ltd., Series 2017-2A, Class A1AR, (3M CME Term SOFR + 1.26%), 6.68%, 10/20/30(b)(c) | 221,345 | 220,454 |
Par (a) | Value | ||
Other (Continued) | |||
Brightwood Capital MM CLO Ltd., Series 2023-1A, Class A1A, (3M CME Term SOFR + 2.75%, 2.75% Floor), 8.15%, 10/15/35(b)(c) | $320,000 | $319,923 | |
Carbone CLO Ltd., Series 2017-1A, Class A1, (3M CME Term SOFR + 1.40%), 6.82%, 1/20/31(b)(c) | 217,291 | 216,680 | |
Carlyle Global Market Strategies CLO Ltd., | |||
Series 2014-1A, Class A1R2, (3M CME Term SOFR + 1.23%, 0.97% Floor), 6.63%, 4/17/31(b)(c) | 237,941 | 237,007 | |
Series 2014-2RA, Class A1, (3M CME Term SOFR + 1.31%), 6.68%, 5/15/31(b)(c) | 726,750 | 724,093 | |
Series 2014-3RA, Class A1A, (3M CME Term SOFR + 1.31%), 6.70%, 7/27/31(b)(c) | 467,666 | 466,420 | |
Cascade MH Asset Trust, Series 2021-MH1, Class A1, 1.75%, 2/25/46(b) | 117,499 | 97,873 | |
Cayuga Park CLO Ltd., Series 2020-1A, Class AR, (3M CME Term SOFR + 1.38%, 1.38% Floor), 6.78%, 7/17/34(b)(c) | 690,000 | 685,013 | |
CIFC Funding Ltd., | |||
Series 2013-3RA, Class A1, (3M CME Term SOFR + 1.24%, 0.98% Floor), 6.64%, 4/24/31(b)(c) | 247,052 | 246,032 | |
Series 2014-2RA, Class A1, (3M CME Term SOFR + 1.31%, 1.05% Floor), 6.71%, 4/24/30(b)(c) | 199,294 | 198,764 | |
Series 2015-3A, Class AR, (3M CME Term SOFR + 1.13%), 6.53%, 4/19/29(b)(c) | 179,916 | 179,499 | |
Series 2017-3A, Class A1, (3M CME Term SOFR + 1.48%), 6.90%, 7/20/30(b)(c) | 205,172 | 204,751 |
Par (a) | Value | ||
Other (Continued) | |||
CIFC Funding Ltd., | |||
Series 2017-4A, Class A1R, (3M CME Term SOFR + 1.21%, 0.95% Floor), 6.61%, 10/24/30(b)(c) | $210,931 | $210,354 | |
Series 2017-5A, Class A1, (3M CME Term SOFR + 1.44%), 6.84%, 11/16/30(b)(c) | 222,276 | 221,685 | |
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class M3A, (1M CME Term SOFR + 2.61%, 2.50% Floor), 7.94%, 7/25/37(c) | 500,000 | 452,814 | |
CLI Funding VIII LLC, Series 2023-1A, Class A, 6.31%, 6/18/48(b) | 289,853 | 284,978 | |
Dewolf Park CLO Ltd., Series 2017-1A, Class AR, (3M CME Term SOFR + 1.18%, 0.90% Floor), 6.58%, 10/15/30(b)(c) | 237,955 | 236,910 | |
Dryden 87 CLO Ltd., Series 2021-87A, Class A1, (3M CME Term SOFR + 1.36%, 1.10% Floor), 6.74%, 5/20/34(b)(c) | 770,000 | 764,577 | |
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR, (3M CME Term SOFR + 1.16%), 6.56%, 4/15/29(b)(c) | 184,457 | 183,940 | |
Elmwood CLO IV Ltd., Series 2020-1A, Class A, (3M CME Term SOFR + 1.50%, 1.24% Floor), 6.90%, 4/15/33(b)(c) | 290,000 | 289,188 | |
Enterprise Fleet Financing LLC, Series 2023-1, Class A2, 5.51%, 1/22/29(b) | 360,000 | 356,840 | |
First Franklin Mortgage Loan Trust, | |||
Series 2003-FF4, Class M1, (1M CME Term SOFR + 1.91%, 1.80% Floor), 7.23%, 10/25/33(c) | 237,784 | 221,215 | |
Series 2006-FF13, Class A1, (1M CME Term SOFR + 0.35%, 0.24% Floor), 5.68%, 10/25/36(c) | 27,559 | 17,727 |
Par (a) | Value | ||
Other (Continued) | |||
First Franklin Mortgage Loan Trust, | |||
Series 2006-FF13, Class A2C, (1M CME Term SOFR + 0.43%, 0.32% Floor), 5.76%, 10/25/36(c) | $ 16,079 | $ 10,070 | |
Flatiron CLO 17 Ltd., Series 2017-1A, Class AR, (3M CME Term SOFR + 1.24%, 0.98% Floor), 6.61%, 5/15/30(b)(c) | 170,643 | 169,563 | |
Ford Credit Auto Owner Trust, Series 2023-1, Class A, 4.85%, 8/15/35(b) | 830,000 | 790,358 | |
Generate CLO 2 Ltd., Series 2015-1A, Class AR, (3M CME Term SOFR + 1.41%, 1.15% Floor), 6.82%, 1/22/31(b)(c) | 232,342 | 231,776 | |
GoldentTree Loan Management U.S. CLO 1 Ltd., Series 2021-11A, Class A, (3M CME Term SOFR + 1.39%, 1.13% Floor), 6.81%, 10/20/34(b)(c) | 300,000 | 296,816 | |
Golub Capital Partners CLO Ltd., Series 2015-25A, Class AR, (3M CME Term SOFR + 1.64%, 1.38% Floor), 7.01%, 5/05/30(b)(c) | 227,478 | 225,510 | |
GSAA Home Equity Trust, Series 2006-4, Class 1A1, 3.66%, 3/25/36(e) | 44,355 | 29,675 | |
Hardee's Funding LLC, Series 2021-1A, Class A2, 2.87%, 6/20/51(b) | 410,550 | 320,679 | |
Hertz Vehicle Financing LLC, | |||
Series 2021-1A, Class A, 1.21%, 12/26/25(b) | 630,000 | 600,366 | |
Series 2021-1A, Class C, 2.05%, 12/26/25(b) | 420,000 | 399,585 | |
Hildene Community Funding CDO Ltd., Series 2015-1A, Class ARR, 2.60%, 11/01/35(b) | 431,058 | 345,164 | |
Home Equity Asset Trust, Series 2006-4, Class 2A4, (1M CME Term SOFR + 0.67%, 0.56% Floor), 6.00%, 8/25/36(c) | 328,084 | 315,743 |
Par (a) | Value | ||
Other (Continued) | |||
KKR CLO 32 Ltd., Series 32A, Class A1, (3M CME Term SOFR + 1.58%, 1.32% Floor), 6.98%, 1/15/32(b)(c) | $150,000 | $149,518 | |
Long Beach Mortgage Loan Trust, Series 2006-6, Class 2A3, (1M CME Term SOFR + 0.41%, 0.30% Floor), 5.74%, 7/25/36(c) | 729,018 | 271,106 | |
Madison Park Funding XIII Ltd., Series 2014-13A, Class AR2, (3M CME Term SOFR + 1.21%, 0.95% Floor), 6.61%, 4/19/30(b)(c) | 369,817 | 368,930 | |
Madison Park Funding XVIII Ltd., Series 2015-18A, Class ARR, (3M CME Term SOFR + 1.20%, 0.94% Floor), 6.61%, 10/21/30(b)(c) | 488,746 | 486,157 | |
Madison Park Funding XXIII Ltd., Series 2017-23A, Class AR, (3M CME Term SOFR + 1.23%, 0.97% Floor), 6.62%, 7/27/31(b)(c) | 242,591 | 241,738 | |
Madison Park Funding XXX Ltd., Series 2018-30A, Class A, (3M CME Term SOFR + 1.01%, 1.01% Floor), 6.41%, 4/15/29(b)(c) | 232,580 | 231,014 | |
Merrill Lynch Mortgage Investors Trust, Series 2004-WMC5, Class M1, (1M CME Term SOFR + 1.04%, 0.93% Floor), 6.37%, 7/25/35(c) | 152,037 | 147,416 | |
Myers Park CLO Ltd., Series 2018-1A, Class B1, (3M CME Term SOFR + 1.86%, 1.60% Floor), 7.28%, 10/20/30(b)(c) | 250,000 | 246,311 | |
Navient Student Loan Trust, | |||
Series 2017-1A, Class A3, (30D Average SOFR + 1.26%), 6.59%, 7/26/66(b)(c) | 193,341 | 192,619 | |
Series 2017-2A, Class A, (30D Average SOFR + 1.16%), 6.49%, 12/27/66(b)(c) | 91,896 | 91,266 |
Par (a) | Value | ||
Other (Continued) | |||
Neuberger Berman Loan Advisers CLO 29 Ltd., Series 2018-29A, Class A1, (3M CME Term SOFR + 1.39%, 1.13% Floor), 6.79%, 10/19/31(b)(c) | $260,000 | $259,124 | |
NP SPE X L.P., Series 2021-1A, Class A1, 2.23%, 3/19/51(b) | 775,881 | 678,699 | |
OCP CLO Ltd., Series 2017-14A, Class A1A, (3M CME Term SOFR + 1.41%, 1.15% Floor), 6.79%, 11/20/30(b)(c) | 240,493 | 240,043 | |
Octagon 66 Ltd., Series 2022-1A, Class A1R, (3M CME Term SOFR + 1.75%, 1.75% Floor), 7.12%, 11/16/36(b)(c)(d) | 650,000 | 650,000 | |
Octagon Investment Partners 31 Ltd., Series 2017-1A, Class AR, (3M CME Term SOFR + 1.31%, 1.05% Floor), 6.73%, 7/20/30(b)(c) | 201,663 | 200,983 | |
Octagon Investment Partners XXI Ltd., | |||
Series 2012-1A, Class AAR3, (3M CME Term SOFR + 1.26%, 1.00% Floor), 6.63%, 2/14/31(b)(c) | 260,000 | 258,497 | |
Series 2012-1A, Class AARR, (3M CME Term SOFR + 1.21%, 0.95% Floor), 6.61%, 7/15/29(b)(c) | 883,242 | 879,251 | |
OHA Credit Funding 7 Ltd., Series 2020-7A, Class AR, (3M CME Term SOFR + 1.30%, 1.30% Floor), 6.70%, 2/24/37(b)(c) | 350,000 | 345,175 | |
Option One Mortgage Loan Trust, Series 2004-3, Class M1, (1M CME Term SOFR + 0.89%, 0.78% Floor), 6.22%, 11/25/34(c) | 73,110 | 70,374 | |
Owl Rock CLO III Ltd., Series 2020-3A, Class A1L, (3M CME Term SOFR + 2.06%), 7.48%, 4/20/32(b)(c) | 270,000 | 269,606 | |
PFS Financing Corp., Series 2021-B, Class A, 0.77%, 8/15/26(b) | 910,000 | 871,641 |
Par (a) | Value | ||
Other (Continued) | |||
Point Au Roche Park CLO Ltd., Series 2021-1A, Class A, (3M CME Term SOFR + 1.34%, 1.08% Floor), 6.76%, 7/20/34(b)(c) | $620,000 | $614,879 | |
PRPM LLC, Series 2022-1, Class A1, (Step to 6.72% on 3/25/25), 3.72%, 2/25/27(b)(f) | 318,333 | 302,338 | |
Rad CLO 1 Ltd., Series 2018-1A, Class AR, (3M CME Term SOFR + 1.24%), 6.64%, 7/15/31(b)(c) | 229,825 | 228,805 | |
Rad CLO 22 Ltd., Series 2023-22A, Class A1, (3M CME Term SOFR + 1.83%, 1.83% Floor), 7.20%, 1/20/37(b)(c)(d) | 550,000 | 550,000 | |
Renaissance Home Equity Loan Trust, Series 2005-2, Class AV3, (1M CME Term SOFR + 0.85%, 0.74% Floor, 14.00% Cap), 6.18%, 8/25/35(c) | 291,609 | 250,050 | |
RR 3 Ltd., Series 2018-3A, Class A1R2, (3M CME Term SOFR + 1.35%, 1.09% Floor), 6.75%, 1/15/30(b)(c) | 200,916 | 200,286 | |
SBA Small Business Investment Cos., Series 2021-10A, Class 1, 1.67%, 3/10/31 | 210,181 | 174,219 | |
Silver Rock CLO I Ltd., Series 2020-1A, Class A, (3M CME Term SOFR + 1.91%, 1.65% Floor), 7.33%, 10/20/31(b)(c) | 440,000 | 439,148 | |
SLM Private Credit Student Loan Trust, Series 2006-B, Class A5, (3M CME Term SOFR + 0.53%), 5.94%, 12/15/39(c) | 158,367 | 151,948 | |
SMB Private Education Loan Trust, | |||
Series 2020-A, Class A2A, 2.23%, 9/15/37(b) | 145,414 | 133,375 | |
Series 2021-A, Class A2B, 1.59%, 1/15/53(b) | 473,861 | 407,440 | |
Series 2021-E, Class A1A, 1.68%, 2/15/51(b) | 140,782 | 124,820 |
Par (a) | Value | ||
Other (Continued) | |||
Storm King Park CLO Ltd., Series 2022-1A, Class A1, (3M CME Term SOFR + 2.05%, 2.05% Floor), 7.44%, 10/15/35(b)(c) | $250,000 | $251,260 | |
Structured Asset Investment Loan Trust, Series 2004-7, Class A8, (1M CME Term SOFR + 1.31%, 1.20% Floor), 6.64%, 8/25/34(c) | 161,750 | 157,244 | |
Sunrun Vulcan Issuer LLC, Series 2021-1A, Class A, 2.46%, 1/30/52(b) | 569,314 | 467,532 | |
Symphony CLO 40 Ltd., Series 2023-40A, Class A1, (3M CME Term SOFR + 1.64%, 1.64% Floor), 7.01%, 1/14/34(b)(c)(d) | 520,000 | 520,000 | |
TCI-Symphony CLO Ltd., Series 2016-1A, Class AR2, (3M CME Term SOFR + 1.28%, 1.02% Floor), 6.68%, 10/13/32(b)(c) | 250,000 | 248,567 | |
United States Small Business Administration, | |||
Series 2019-20D, Class 1, 2.98%, 4/01/39 | 32,045 | 27,780 | |
Series 2019-25G, Class 1, 2.69%, 7/01/44 | 55,262 | 45,659 | |
Venture 31 CLO Ltd., Series 2018-31A, Class A1, (3M CME Term SOFR + 1.29%, 1.03% Floor), 6.71%, 4/20/31(b)(c) | 403,259 | 400,951 | |
Voya CLO Ltd., | |||
Series 2015-1A, Class A1R, (3M CME Term SOFR + 1.16%, 0.90% Floor), 6.56%, 1/18/29(b)(c) | 115,728 | 115,545 | |
Series 2017-3A, Class A1R, (3M CME Term SOFR + 1.30%), 6.72%, 4/20/34(b)(c) | 230,000 | 226,895 | |
Series 2018-2A, Class A1, (3M CME Term SOFR + 1.26%, 1.00% Floor), 6.66%, 7/15/31(b)(c) | 530,423 | 529,558 |
Par (a) | Value | ||
Other (Continued) | |||
Whitebox CLO II Ltd., Series 2020-2A, Class A1R, (3M CME Term SOFR + 1.48%, 1.22% Floor), 6.88%, 10/24/34(b)(c) | $290,000 | $ 287,012 | |
Whitebox CLO III Ltd., Series 2021-3A, Class A1, (3M CME Term SOFR + 1.48%, 1.22% Floor), 6.88%, 10/15/34(b)(c) | 420,000 | 414,233 | |
32,272,842 | |||
Specialty Finance – 0.1% | |||
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3, (90D Average SOFR + 1.26%), 6.32%, 10/27/36(c) | 138,948 | 138,681 | |
SLM Private Education Loan Trust, Series 2010-C, Class A5, (1M CME Term SOFR + 4.86%), 10.20%, 10/15/41(b)(c) | 204,539 | 214,668 | |
Whitebox CLO IV Ltd., Series 2023-4A, Class A1, (3M CME Term SOFR + 2.15%, 2.15% Floor), 7.57%, 4/20/36(b)(c) | 540,000 | 543,601 | |
896,950 | |||
Total Asset-Backed Securities (Cost $34,222,836) | 33,169,792 | ||
Corporate Bonds – 18.1% | |||
Aerospace & Defense – 1.0% | |||
Boeing (The) Co., | |||
4.88%, 5/01/25 | 360,000 | 353,663 | |
2.20%, 2/04/26 | 390,000 | 358,344 | |
3.10%, 5/01/26 | 40,000 | 37,295 | |
2.70%, 2/01/27 | 30,000 | 27,012 | |
2.80%, 3/01/27 | 40,000 | 35,989 | |
3.20%, 3/01/29 | 130,000 | 112,330 | |
5.15%, 5/01/30 | 370,000 | 346,671 | |
3.25%, 2/01/35 | 290,000 | 214,420 | |
5.71%, 5/01/40 | 230,000 | 203,451 | |
3.75%, 2/01/50 | 160,000 | 101,765 | |
5.81%, 5/01/50 | 350,000 | 301,315 | |
3.95%, 8/01/59 | 216,000 | 133,039 | |
5.93%, 5/01/60 | 140,000 | 117,783 | |
General Dynamics Corp., | |||
4.25%, 4/01/40 | 10,000 | 8,106 | |
4.25%, 4/01/50 | 70,000 | 54,528 |
Par (a) | Value | ||
Aerospace & Defense (Continued) | |||
Huntington Ingalls Industries, Inc., | |||
3.48%, 12/01/27 | $314,000 | $ 284,480 | |
2.04%, 8/16/28 | 343,000 | 285,624 | |
4.20%, 5/01/30 | 153,000 | 135,469 | |
L3Harris Technologies, Inc., | |||
1.80%, 1/15/31 | 321,000 | 239,161 | |
5.40%, 7/31/33 | 275,000 | 256,967 | |
4.85%, 4/27/35 | 60,000 | 52,476 | |
Lockheed Martin Corp., | |||
4.45%, 5/15/28(g) | 100,000 | 95,848 | |
3.90%, 6/15/32 | 90,000 | 78,778 | |
3.60%, 3/01/35 | 145,000 | 118,344 | |
4.15%, 6/15/53 | 390,000 | 290,071 | |
Northrop Grumman Corp., | |||
2.93%, 1/15/25 | 40,000 | 38,634 | |
3.25%, 1/15/28 | 280,000 | 255,163 | |
4.70%, 3/15/33 | 243,000 | 221,320 | |
4.03%, 10/15/47 | 100,000 | 72,689 | |
5.25%, 5/01/50 | 820,000 | 712,945 | |
4.95%, 3/15/53 | 100,000 | 82,833 | |
RTX Corp., | |||
3.15%, 12/15/24 | 50,000 | 48,468 | |
7.00%, 11/01/28 | 168,000 | 171,137 | |
4.13%, 11/16/28 | 580,000 | 532,598 | |
2.25%, 7/01/30 | 100,000 | 78,465 | |
4.50%, 6/01/42 | 30,000 | 23,279 | |
4.15%, 5/15/45 | 150,000 | 107,506 | |
4.63%, 11/16/48 | 40,000 | 30,780 | |
3.13%, 7/01/50 | 120,000 | 69,604 | |
3.03%, 3/15/52 | 321,000 | 179,385 | |
Textron, Inc., 3.90%, 9/17/29 | 368,000 | 327,069 | |
7,194,804 | |||
Apparel & Textile Products – 0.0%(h) | |||
NIKE, Inc., | |||
2.75%, 3/27/27(g) | 100,000 | 92,106 | |
2.85%, 3/27/30 | 100,000 | 85,537 | |
3.25%, 3/27/40 | 50,000 | 36,011 | |
3.38%, 3/27/50(g) | 20,000 | 13,458 | |
227,112 | |||
Asset Management – 0.1% | |||
Charles Schwab (The) Corp., | |||
5.88%, 8/24/26 | 350,000 | 347,579 | |
(SOFR + 2.50%), 5.85%, 5/19/34(i) | 205,000 | 188,021 | |
(SOFR + 2.01%), 6.14%, 8/24/34(i) | 233,000 | 218,228 |
Par (a) | Value | ||
Asset Management (Continued) | |||
Nuveen LLC, 4.00%, 11/01/28(b) | $ 100,000 | $ 92,161 | |
Vanguard Group (The), Inc., 3.05%, 8/22/50(j) | 170,000 | 93,381 | |
939,370 | |||
Automotive – 0.0%(h) | |||
General Motors Co., | |||
5.60%, 10/15/32(g) | 60,000 | 54,788 | |
6.60%, 4/01/36 | 10,000 | 9,404 | |
5.95%, 4/01/49 | 70,000 | 56,596 | |
120,788 | |||
Banking – 3.2% | |||
Bank of America Corp., | |||
(SOFR + 1.15%), 1.32%, 6/19/26(i) | 1,090,000 | 1,001,732 | |
(SOFR + 1.58%), 4.38%, 4/27/28(i) | 430,000 | 401,398 | |
(3M CME Term SOFR + 1.63%), 3.59%, 7/21/28(i) | 160,000 | 144,792 | |
(3M CME Term SOFR + 1.30%), 3.42%, 12/20/28(i) | 600,000 | 534,078 | |
(3M CME Term SOFR + 1.33%), 3.97%, 3/05/29(i) | 138,000 | 124,867 | |
(SOFR + 1.57%), 5.82%, 9/15/29(i) | 1,498,000 | 1,458,645 | |
(3M CME Term SOFR + 1.47%), 3.97%, 2/07/30(i) | 620,000 | 548,313 | |
(SOFR + 2.15%), 2.59%, 4/29/31(i) | 990,000 | 780,481 | |
(SOFR + 1.53%), 1.90%, 7/23/31(i) | 200,000 | 148,795 | |
(SOFR + 1.21%), 2.57%, 10/20/32(i) | 270,000 | 202,215 | |
(SOFR + 1.33%), 2.97%, 2/04/33(i) | 689,000 | 528,073 | |
(SOFR + 1.83%), 4.57%, 4/27/33(i) | 336,000 | 289,770 | |
(SOFR + 1.91%), 5.29%, 4/25/34(i) | 64,000 | 57,804 | |
5.00%, 1/21/44 | 170,000 | 142,523 | |
(3M CME Term SOFR + 1.78%), 4.33%, 3/15/50(i) | 30,000 | 22,025 | |
(3M CME Term SOFR + 3.41%), 4.08%, 3/20/51(i) | 530,000 | 371,582 | |
Citigroup, Inc., | |||
3.30%, 4/27/25 | 180,000 | 173,196 | |
5.50%, 9/13/25 | 90,000 | 88,735 |
Par (a) | Value | ||
Banking (Continued) | |||
Citigroup, Inc., | |||
(SOFR + 2.84%), 3.11%, 4/08/26(i) | $ 80,000 | $ 76,350 | |
(SOFR + 1.89%), 4.66%, 5/24/28(i) | 538,000 | 509,540 | |
(3M CME Term SOFR + 1.41%), 3.52%, 10/27/28(i) | 1,344,000 | 1,208,100 | |
(3M CME Term SOFR + 1.45%), 4.08%, 4/23/29(i) | 150,000 | 136,429 | |
(3M CME Term SOFR + 1.60%), 3.98%, 3/20/30(i) | 550,000 | 486,596 | |
(SOFR + 3.91%), 4.41%, 3/31/31(i) | 290,000 | 256,564 | |
(SOFR + 2.11%), 2.57%, 6/03/31(i) | 270,000 | 211,425 | |
(SOFR + 1.35%), 3.06%, 1/25/33(i) | 399,000 | 307,194 | |
(SOFR + 1.94%), 3.79%, 3/17/33(i) | 340,000 | 276,019 | |
(SOFR + 2.09%), 4.91%, 5/24/33(i) | 210,000 | 186,109 | |
(SOFR + 2.34%), 6.27%, 11/17/33(i) | 593,000 | 575,779 | |
8.13%, 7/15/39 | 460,000 | 518,666 | |
4.65%, 7/23/48(g) | 30,000 | 23,106 | |
JPMorgan Chase & Co., | |||
(3M CME Term SOFR + 1.26%), 4.02%, 12/05/24(i) | 470,000 | 468,819 | |
(SOFR + 1.85%), 2.08%, 4/22/26(i) | 200,000 | 187,965 | |
(SOFR + 0.89%), 1.58%, 4/22/27(i) | 530,000 | 472,831 | |
(SOFR + 1.33%), 6.07%, 10/22/27(i) | 500,000 | 498,943 | |
3.63%, 12/01/27 | 190,000 | 173,609 | |
(3M CME Term SOFR + 1.52%), 4.20%, 7/23/29(i) | 280,000 | 256,789 | |
(SOFR + 1.45%), 5.30%, 7/24/29(i) | 62,000 | 59,691 | |
(SOFR + 1.57%), 6.09%, 10/23/29(g)(i) | 454,000 | 451,308 | |
(3M CME Term SOFR + 1.59%), 4.45%, 12/05/29(i) | 320,000 | 294,335 | |
(SOFR + 1.75%), 4.57%, 6/14/30(i) | 444,000 | 407,488 | |
(SOFR + 2.04%), 2.52%, 4/22/31(i) | 510,000 | 405,621 | |
(3M CME Term SOFR + 1.25%), 2.58%, 4/22/32(i) | 320,000 | 247,147 |
Par (a) | Value | ||
Banking (Continued) | |||
JPMorgan Chase & Co., | |||
(SOFR + 1.18%), 2.55%, 11/08/32(i) | $130,000 | $ 98,496 | |
(SOFR + 1.26%), 2.96%, 1/25/33(i) | 607,000 | 472,910 | |
4.95%, 6/01/45 | 220,000 | 180,140 | |
(SOFR + 2.44%), 3.11%, 4/22/51(i) | 50,000 | 29,451 | |
PNC Financial Services Group (The), Inc., | |||
(SOFR + 1.32%), 5.81%, 6/12/26(i) | 80,000 | 78,939 | |
(SOFR + 1.84%), 5.58%, 6/12/29(i) | 270,000 | 258,514 | |
Truist Financial Corp., (SOFR + 2.05%), 6.05%, 6/08/27(i) | 160,000 | 156,722 | |
U.S. Bancorp, | |||
1.45%, 5/12/25 | 190,000 | 177,114 | |
(SOFR + 0.73%), 2.22%, 1/27/28(i) | 30,000 | 26,118 | |
(SOFR + 2.02%), 5.78%, 6/12/29(i) | 170,000 | 163,465 | |
(SOFR + 2.26%), 5.84%, 6/12/34(i) | 60,000 | 55,264 | |
Wells Fargo & Co., | |||
(SOFR + 2.00%), 2.19%, 4/30/26(i) | 570,000 | 536,199 | |
3.00%, 10/23/26 | 80,000 | 73,285 | |
4.30%, 7/22/27 | 270,000 | 251,659 | |
(3M CME Term SOFR + 1.57%), 3.58%, 5/22/28(i) | 300,000 | 273,072 | |
(SOFR + 2.10%), 2.39%, 6/02/28(i) | 130,000 | 113,317 | |
4.15%, 1/24/29 | 230,000 | 208,903 | |
(SOFR + 1.74%), 5.57%, 7/25/29(i) | 561,000 | 540,963 | |
(SOFR + 1.79%), 6.30%, 10/23/29(i) | 820,000 | 813,219 | |
(3M CME Term SOFR + 1.43%), 2.88%, 10/30/30(i) | 250,000 | 204,437 | |
(3M CME Term SOFR + 4.03%), 4.48%, 4/04/31(i) | 300,000 | 266,554 | |
(SOFR + 1.50%), 3.35%, 3/02/33(g)(i) | 80,000 | 62,989 | |
(SOFR + 2.02%), 5.39%, 4/24/34(i) | 94,000 | 85,094 | |
(SOFR + 1.99%), 5.56%, 7/25/34(i) | 526,000 | 481,496 | |
4.40%, 6/14/46 | 360,000 | 251,813 | |
4.75%, 12/07/46 | 370,000 | 272,497 |
Par (a) | Value | ||
Banking (Continued) | |||
Wells Fargo & Co., | |||
(3M CME Term SOFR + 4.50%), 5.01%, 4/04/51(i) | $1,940,000 | $ 1,538,538 | |
Wells Fargo Bank N.A., 5.45%, 8/07/26 | 562,000 | 556,719 | |
23,943,334 | |||
Beverages – 0.0%(h) | |||
Coca-Cola (The) Co., | |||
2.50%, 6/01/40 | 50,000 | 32,287 | |
2.60%, 6/01/50 | 80,000 | 45,538 | |
Constellation Brands, Inc., 4.35%, 5/09/27 | 130,000 | 124,005 | |
PepsiCo, Inc., | |||
2.63%, 3/19/27 | 10,000 | 9,169 | |
1.63%, 5/01/30(g) | 40,000 | 31,460 | |
2.88%, 10/15/49(g) | 40,000 | 24,320 | |
266,779 | |||
Biotechnology & Pharmaceuticals – 0.8% | |||
AbbVie, Inc., | |||
2.60%, 11/21/24 | 490,000 | 473,468 | |
3.80%, 3/15/25 | 410,000 | 399,110 | |
3.60%, 5/14/25 | 40,000 | 38,696 | |
2.95%, 11/21/26 | 100,000 | 92,616 | |
3.20%, 11/21/29 | 480,000 | 418,305 | |
4.55%, 3/15/35 | 201,000 | 176,710 | |
4.50%, 5/14/35 | 360,000 | 314,497 | |
4.88%, 11/14/48 | 20,000 | 16,560 | |
4.25%, 11/21/49 | 472,000 | 354,230 | |
Amgen, Inc., | |||
4.05%, 8/18/29(g) | 193,000 | 176,532 | |
5.25%, 3/02/30 | 324,000 | 311,039 | |
2.30%, 2/25/31 | 122,000 | 95,379 | |
4.40%, 5/01/45 | 20,000 | 15,021 | |
4.40%, 2/22/62 | 414,000 | 286,414 | |
5.75%, 3/02/63 | 324,000 | 280,623 | |
Bristol-Myers Squibb Co., | |||
3.40%, 7/26/29 | 65,000 | 58,316 | |
4.55%, 2/20/48 | 60,000 | 47,259 | |
Gilead Sciences, Inc., | |||
1.65%, 10/01/30(g) | 265,000 | 202,399 | |
2.60%, 10/01/40 | 82,000 | 51,286 | |
4.50%, 2/01/45 | 268,000 | 209,666 | |
4.75%, 3/01/46 | 156,000 | 126,093 | |
Johnson & Johnson, | |||
3.63%, 3/03/37 | 70,000 | 56,802 | |
2.10%, 9/01/40 | 260,000 | 157,910 | |
Merck & Co., Inc., | |||
1.45%, 6/24/30 | 70,000 | 53,820 | |
2.75%, 12/10/51 | 250,000 | 141,170 |
Par (a) | Value | ||
Biotechnology & Pharmaceuticals (Continued) | |||
Pfizer Investment Enterprises Pte. Ltd., | |||
4.75%, 5/19/33 | $330,000 | $ 303,271 | |
5.30%, 5/19/53 | 453,000 | 396,306 | |
5.34%, 5/19/63 | 72,000 | 61,679 | |
Pfizer, Inc., | |||
2.63%, 4/01/30 | 160,000 | 133,722 | |
1.70%, 5/28/30 | 100,000 | 78,763 | |
2.55%, 5/28/40 | 240,000 | 152,357 | |
2.70%, 5/28/50(g) | 180,000 | 104,433 | |
5,784,452 | |||
Cable & Satellite – 0.6% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital, | |||
4.91%, 7/23/25 | 320,000 | 312,889 | |
4.20%, 3/15/28 | 90,000 | 81,908 | |
5.05%, 3/30/29 | 700,000 | 647,513 | |
4.40%, 4/01/33(g) | 400,000 | 330,958 | |
5.38%, 4/01/38 | 60,000 | 47,354 | |
3.50%, 6/01/41 | 300,000 | 179,760 | |
3.50%, 3/01/42 | 60,000 | 35,433 | |
5.38%, 5/01/47 | 161,000 | 116,442 | |
5.75%, 4/01/48 | 171,000 | 129,742 | |
5.13%, 7/01/49 | 70,000 | 48,432 | |
4.80%, 3/01/50 | 30,000 | 19,776 | |
3.70%, 4/01/51 | 216,000 | 118,416 | |
3.90%, 6/01/52 | 781,000 | 440,835 | |
6.83%, 10/23/55 | 50,000 | 42,188 | |
3.85%, 4/01/61 | 271,000 | 143,161 | |
5.50%, 4/01/63 | 110,000 | 77,339 | |
Comcast Corp., | |||
3.95%, 10/15/25 | 160,000 | 155,163 | |
3.15%, 3/01/26 | 50,000 | 47,440 | |
3.30%, 4/01/27 | 50,000 | 46,334 | |
4.15%, 10/15/28 | 520,000 | 485,763 | |
2.65%, 2/01/30 | 61,000 | 50,623 | |
3.40%, 4/01/30 | 70,000 | 60,600 | |
4.25%, 10/15/30 | 390,000 | 352,789 | |
3.25%, 11/01/39 | 20,000 | 13,792 | |
3.75%, 4/01/40 | 180,000 | 132,281 | |
3.40%, 7/15/46 | 20,000 | 12,846 | |
4.00%, 8/15/47 | 30,000 | 21,134 | |
3.97%, 11/01/47 | 140,000 | 98,267 | |
4.00%, 3/01/48 | 20,000 | 14,102 | |
4.00%, 11/01/49 | 240,000 | 167,638 | |
3.45%, 2/01/50 | 60,000 | 37,931 | |
2.80%, 1/15/51 | 190,000 | 103,827 | |
2.89%, 11/01/51 | 120,000 | 66,272 | |
2.94%, 11/01/56 | 40,000 | 21,192 |
Par (a) | Value | ||
Cable & Satellite (Continued) | |||
Comcast Corp., | |||
4.95%, 10/15/58 | $ 20,000 | $ 16,096 | |
Time Warner Cable LLC, | |||
6.55%, 5/01/37 | 50,000 | 43,897 | |
5.88%, 11/15/40 | 130,000 | 102,555 | |
4,822,688 | |||
Commercial Support Services – 0.0%(h) | |||
Cintas Corp. No. 2, | |||
3.70%, 4/01/27 | 20,000 | 18,851 | |
4.00%, 5/01/32(g) | 120,000 | 104,788 | |
Republic Services, Inc., 2.38%, 3/15/33(g) | 53,000 | 39,595 | |
Waste Management, Inc., 4.88%, 2/15/34 | 73,000 | 66,849 | |
230,083 | |||
Containers & Packaging – 0.1% | |||
Berry Global, Inc., 1.57%, 1/15/26 | 618,000 | 558,344 | |
Diversified Industrials – 0.1% | |||
3M Co., | |||
2.38%, 8/26/29 | 410,000 | 334,639 | |
3.70%, 4/15/50(g) | 100,000 | 66,163 | |
Emerson Electric Co., 2.80%, 12/21/51 | 460,000 | 260,506 | |
661,308 | |||
E-Commerce Discretionary – 0.2% | |||
Amazon.com, Inc., | |||
3.30%, 4/13/27(g) | 50,000 | 46,841 | |
1.20%, 6/03/27 | 380,000 | 329,352 | |
3.15%, 8/22/27 | 140,000 | 129,528 | |
3.45%, 4/13/29(g) | 110,000 | 100,417 | |
1.50%, 6/03/30(g) | 70,000 | 54,558 | |
2.10%, 5/12/31 | 80,000 | 63,062 | |
3.60%, 4/13/32(g) | 320,000 | 277,847 | |
3.88%, 8/22/37 | 200,000 | 163,806 | |
4.05%, 8/22/47 | 140,000 | 106,728 | |
2.50%, 6/03/50 | 700,000 | 387,128 | |
4.25%, 8/22/57 | 240,000 | 181,622 | |
1,840,889 | |||
Electric Utilities – 1.2% | |||
AEP Texas, Inc., | |||
3.95%, 6/01/28 | 280,000 | 256,962 | |
5.40%, 6/01/33 | 158,000 | 146,656 | |
3.45%, 5/15/51 | 267,000 | 159,722 | |
AEP Transmission Co. LLC, 3.80%, 6/15/49 | 303,000 | 205,479 | |
Alabama Power Co., | |||
3.75%, 3/01/45 | 94,000 | 64,786 | |
3.00%, 3/15/52 | 170,000 | 95,874 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
Ameren Illinois Co., 3.25%, 3/15/50 | $106,000 | $ 65,428 | |
American Transmission Systems, Inc., 2.65%, 1/15/32(b) | 317,000 | 243,991 | |
Baltimore Gas and Electric Co., | |||
3.75%, 8/15/47 | 195,000 | 132,562 | |
2.90%, 6/15/50 | 156,000 | 87,624 | |
CenterPoint Energy Houston Electric LLC, 3.35%, 4/01/51 | 221,000 | 138,298 | |
Cleveland Electric Illuminating (The) Co., 3.50%, 4/01/28(b) | 100,000 | 89,397 | |
Commonwealth Edison Co., | |||
4.00%, 3/01/49 | 42,000 | 29,849 | |
3.00%, 3/01/50 | 51,000 | 29,452 | |
3.13%, 3/15/51 | 63,000 | 37,040 | |
5.30%, 2/01/53 | 138,000 | 119,084 | |
Consumers Energy Co., | |||
4.63%, 5/15/33 | 69,000 | 62,487 | |
3.75%, 2/15/50 | 207,000 | 140,722 | |
Dominion Energy South Carolina, Inc., 6.25%, 10/15/53 | 50,000 | 48,650 | |
DTE Electric Co., | |||
3.95%, 3/01/49 | 174,000 | 122,134 | |
3.25%, 4/01/51 | 183,000 | 110,660 | |
Duke Energy Carolinas LLC, | |||
3.75%, 6/01/45 | 71,000 | 48,346 | |
3.95%, 3/15/48 | 122,000 | 84,867 | |
3.20%, 8/15/49 | 46,000 | 27,552 | |
3.55%, 3/15/52 | 206,000 | 130,734 | |
Duke Energy Florida LLC, | |||
2.50%, 12/01/29 | 62,000 | 51,605 | |
1.75%, 6/15/30 | 195,000 | 150,042 | |
3.00%, 12/15/51 | 241,000 | 136,431 | |
5.95%, 11/15/52 | 164,000 | 151,768 | |
Duke Energy Progress LLC, | |||
3.45%, 3/15/29 | 232,000 | 207,618 | |
2.50%, 8/15/50 | 257,000 | 131,845 | |
4.00%, 4/01/52 | 5,000 | 3,425 | |
5.35%, 3/15/53 | 52,000 | 44,272 | |
Edison International, | |||
5.75%, 6/15/27 | 235,000 | 231,010 | |
5.25%, 11/15/28 | 268,000 | 254,287 | |
6.95%, 11/15/29 | 249,000 | 253,141 | |
Eversource Energy, 5.45%, 3/01/28 | 152,000 | 148,385 | |
Exelon Corp., 5.60%, 3/15/53(g) | 84,000 | 72,062 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
FirstEnergy Corp., | |||
2.05%, 3/01/25 | $ 22,000 | $ 20,654 | |
1.60%, 1/15/26 | 40,000 | 36,003 | |
4.15%, 7/15/27(g) | 499,000 | 461,870 | |
5.10%, 7/15/47 | 77,000 | 63,850 | |
3.40%, 3/01/50 | 167,000 | 100,994 | |
FirstEnergy Transmission LLC, 4.55%, 4/01/49(b) | 299,000 | 221,019 | |
Florida Power & Light Co., 3.99%, 3/01/49 | 174,000 | 124,598 | |
Georgia Power Co., 4.95%, 5/17/33 | 102,000 | 93,102 | |
MidAmerican Energy Co., 3.65%, 4/15/29 | 160,000 | 144,256 | |
Mid-Atlantic Interstate Transmission LLC, 4.10%, 5/15/28(b) | 40,000 | 36,726 | |
Northern States Power Co., | |||
2.60%, 6/01/51 | 201,000 | 106,675 | |
3.20%, 4/01/52 | 212,000 | 126,415 | |
NRG Energy, Inc., 2.45%, 12/02/27(b) | 36,000 | 30,313 | |
Ohio Power Co., | |||
2.60%, 4/01/30 | 126,000 | 102,362 | |
5.00%, 6/01/33 | 266,000 | 242,119 | |
4.15%, 4/01/48 | 52,000 | 36,881 | |
4.00%, 6/01/49 | 190,000 | 131,249 | |
Oncor Electric Delivery Co. LLC, 2.70%, 11/15/51 | 116,000 | 61,683 | |
Pacific Gas and Electric Co., | |||
2.10%, 8/01/27 | 50,000 | 42,337 | |
2.50%, 2/01/31 | 180,000 | 133,437 | |
3.30%, 8/01/40 | 20,000 | 12,135 | |
4.95%, 7/01/50 | 138,000 | 96,328 | |
3.50%, 8/01/50(g) | 919,000 | 511,434 | |
6.70%, 4/01/53(g) | 40,000 | 35,430 | |
Progress Energy, Inc., 7.75%, 3/01/31 | 70,000 | 74,752 | |
Public Service Co. of New Hampshire, 5.15%, 1/15/53 | 121,000 | 103,154 | |
Public Service Electric and Gas Co., | |||
4.90%, 12/15/32 | 200,000 | 185,771 | |
2.05%, 8/01/50(g) | 261,000 | 124,804 | |
San Diego Gas & Electric Co., | |||
3.32%, 4/15/50 | 129,000 | 77,293 | |
2.95%, 8/15/51(g) | 248,000 | 140,974 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
Southern California Edison Co., | |||
5.65%, 10/01/28 | $ 30,000 | $ 29,706 | |
2.25%, 6/01/30(g) | 255,000 | 201,014 | |
2.50%, 6/01/31 | 208,000 | 161,847 | |
5.95%, 11/01/32 | 330,000 | 322,279 | |
Virginia Electric and Power Co., 4.00%, 1/15/43 | 167,000 | 121,340 | |
9,029,051 | |||
Electric, Gas Marketing & Trading – 0.0%(h) | |||
Consolidated Edison Co. of New York, Inc., | |||
3.35%, 4/01/30 | 50,000 | 43,027 | |
3.95%, 4/01/50 | 20,000 | 13,956 | |
PECO Energy Co., | |||
3.05%, 3/15/51 | 150,000 | 87,021 | |
2.85%, 9/15/51 | 215,000 | 118,452 | |
262,456 | |||
Electrical Equipment – 0.0%(h) | |||
Carrier Global Corp., 3.58%, 4/05/50 | 10,000 | 6,271 | |
Otis Worldwide Corp., | |||
2.06%, 4/05/25 | 50,000 | 47,383 | |
5.25%, 8/16/28(g) | 106,000 | 103,108 | |
156,762 | |||
Entertainment Content – 0.2% | |||
Fox Corp., | |||
6.50%, 10/13/33 | 140,000 | 136,733 | |
5.48%, 1/25/39 | 370,000 | 306,161 | |
Time Warner Cable Enterprises LLC, 8.38%, 7/15/33 | 170,000 | 177,361 | |
Warnermedia Holdings, Inc., | |||
6.41%, 3/15/26 | 140,000 | 139,714 | |
3.76%, 3/15/27 | 80,000 | 73,648 | |
4.05%, 3/15/29(g) | 140,000 | 123,882 | |
4.28%, 3/15/32 | 110,000 | 91,203 | |
5.05%, 3/15/42 | 30,000 | 22,222 | |
5.14%, 3/15/52 | 80,000 | 56,609 | |
1,127,533 | |||
Food – 0.1% | |||
Kraft Heinz Foods Co., 3.00%, 6/01/26 | 102,000 | 95,315 | |
Mars, Inc., | |||
3.20%, 4/01/30(b) | 80,000 | 68,847 | |
2.38%, 7/16/40(b) | 200,000 | 120,070 |
Par (a) | Value | ||
Food (Continued) | |||
Mondelez International, Inc., 1.50%, 5/04/25 | $250,000 | $234,122 | |
518,354 | |||
Gas & Water Utilities – 0.1% | |||
Atmos Energy Corp., 4.13%, 3/15/49 | 40,000 | 28,625 | |
CenterPoint Energy Resources Corp., 5.25%, 3/01/28 | 84,000 | 82,122 | |
NiSource, Inc., | |||
5.25%, 3/30/28 | 396,000 | 384,470 | |
5.40%, 6/30/33 | 80,000 | 74,441 | |
Piedmont Natural Gas Co., Inc., 2.50%, 3/15/31 | 62,000 | 47,763 | |
617,421 | |||
Health Care Facilities & Services – 0.8% | |||
Cigna Group (The), | |||
4.13%, 11/15/25 | 20,000 | 19,378 | |
4.38%, 10/15/28 | 440,000 | 411,240 | |
4.80%, 8/15/38 | 210,000 | 177,886 | |
4.90%, 12/15/48(g) | 130,000 | 103,959 | |
CVS Health Corp., | |||
3.63%, 4/01/27 | 40,000 | 37,130 | |
4.30%, 3/25/28(g) | 217,000 | 203,304 | |
3.75%, 4/01/30 | 300,000 | 261,003 | |
1.88%, 2/28/31 | 40,000 | 29,736 | |
2.13%, 9/15/31 | 130,000 | 96,871 | |
4.78%, 3/25/38 | 400,000 | 330,838 | |
4.13%, 4/01/40 | 40,000 | 29,627 | |
5.05%, 3/25/48 | 470,000 | 369,460 | |
Elevance Health, Inc., | |||
3.65%, 12/01/27 | 300,000 | 276,366 | |
4.10%, 5/15/32 | 80,000 | 69,416 | |
4.55%, 5/15/52 | 40,000 | 30,283 | |
6.10%, 10/15/52 | 171,000 | 161,690 | |
HCA, Inc., | |||
5.25%, 4/15/25 | 191,000 | 188,314 | |
5.88%, 2/15/26 | 198,000 | 196,258 | |
5.25%, 6/15/26 | 163,000 | 159,146 | |
4.13%, 6/15/29 | 202,000 | 179,289 | |
3.50%, 9/01/30 | 686,000 | 567,763 | |
Humana, Inc., | |||
4.50%, 4/01/25 | 20,000 | 19,647 | |
3.95%, 3/15/27 | 140,000 | 132,004 | |
3.70%, 3/23/29 | 310,000 | 280,375 | |
3.13%, 8/15/29 | 310,000 | 268,800 | |
2.15%, 2/03/32 | 50,000 | 36,928 | |
UnitedHealth Group, Inc., | |||
1.25%, 1/15/26 | 40,000 | 36,507 | |
3.85%, 6/15/28 | 130,000 | 121,266 |
Par (a) | Value | ||
Health Care Facilities & Services (Continued) | |||
UnitedHealth Group, Inc., | |||
3.88%, 12/15/28 | $ 110,000 | $ 102,305 | |
4.00%, 5/15/29 | 160,000 | 148,044 | |
2.00%, 5/15/30 | 40,000 | 31,785 | |
2.30%, 5/15/31 | 30,000 | 23,606 | |
4.20%, 5/15/32 | 110,000 | 97,528 | |
2.75%, 5/15/40 | 260,000 | 168,329 | |
2.90%, 5/15/50 | 100,000 | 57,690 | |
3.25%, 5/15/51 | 563,000 | 345,835 | |
4.75%, 5/15/52 | 179,000 | 143,288 | |
3.88%, 8/15/59(g) | 233,000 | 154,053 | |
6,066,947 | |||
Household Products – 0.1% | |||
Haleon U.S. Capital LLC, 3.38%, 3/24/29 | 480,000 | 424,214 | |
Kenvue, Inc., 4.90%, 3/22/33 | 200,000 | 187,408 | |
Kimberly-Clark Corp., 3.10%, 3/26/30 | 30,000 | 25,873 | |
Procter & Gamble (The) Co., 3.00%, 3/25/30 | 60,000 | 52,217 | |
689,712 | |||
Institutional Financial Services – 1.4% | |||
Bank of New York Mellon (The) Corp., 1.60%, 4/24/25 | 60,000 | 56,288 | |
Goldman Sachs Group (The), Inc., | |||
3.50%, 4/01/25 | 140,000 | 134,741 | |
3.50%, 11/16/26 | 570,000 | 528,623 | |
(SOFR + 0.91%), 1.95%, 10/21/27(i) | 142,000 | 124,536 | |
(SOFR + 1.85%), 3.62%, 3/15/28(i) | 60,000 | 54,935 | |
(SOFR + 1.73%), 4.48%, 8/23/28(i) | 205,000 | 191,932 | |
(3M CME Term SOFR + 1.42%), 3.81%, 4/23/29(i) | 290,000 | 260,502 | |
(3M CME Term SOFR + 1.56%), 4.22%, 5/01/29(i) | 1,699,000 | 1,550,823 | |
(SOFR + 1.77%), 6.48%, 10/24/29(g)(i) | 219,000 | 218,949 | |
(SOFR + 1.28%), 2.62%, 4/22/32(g)(i) | 319,000 | 243,046 | |
(SOFR + 1.25%), 2.38%, 7/21/32(i) | 110,000 | 81,647 | |
(SOFR + 1.26%), 2.65%, 10/21/32(i) | 504,000 | 378,934 | |
(SOFR + 1.41%), 3.10%, 2/24/33(i) | 241,000 | 187,352 |
Par (a) | Value | ||
Institutional Financial Services (Continued) | |||
Goldman Sachs Group (The), Inc., | |||
(SOFR + 1.51%), 3.21%, 4/22/42(i) | $ 80,000 | $ 51,919 | |
(SOFR + 1.47%), 2.91%, 7/21/42(i) | 160,000 | 98,570 | |
5.15%, 5/22/45 | 250,000 | 202,662 | |
4.75%, 10/21/45 | 230,000 | 183,653 | |
Intercontinental Exchange, Inc., | |||
4.60%, 3/15/33 | 60,000 | 53,641 | |
4.95%, 6/15/52 | 30,000 | 24,544 | |
Morgan Stanley, | |||
(SOFR + 1.99%), 2.19%, 4/28/26(i) | 460,000 | 432,673 | |
(3M CME Term SOFR + 1.40%), 3.77%, 1/24/29(i) | 300,000 | 270,580 | |
(SOFR + 1.59%), 5.16%, 4/20/29(i) | 532,000 | 506,160 | |
(SOFR + 1.63%), 5.45%, 7/20/29(i) | 764,000 | 734,769 | |
(SOFR + 1.83%), 6.41%, 11/01/29(i) | 835,000 | 834,616 | |
(3M CME Term SOFR + 1.89%), 4.43%, 1/23/30(i) | 10,000 | 9,105 | |
(SOFR + 1.14%), 2.70%, 1/22/31(i) | 1,033,000 | 829,991 | |
(SOFR + 3.12%), 3.62%, 4/01/31(i) | 340,000 | 287,870 | |
(SOFR + 1.03%), 1.79%, 2/13/32(i) | 285,000 | 206,187 | |
(SOFR + 1.18%), 2.24%, 7/21/32(i) | 350,000 | 258,141 | |
(SOFR + 1.20%), 2.51%, 10/20/32(i) | 230,000 | 172,032 | |
(SOFR + 2.56%), 6.34%, 10/18/33(i) | 487,000 | 477,444 | |
(SOFR + 1.87%), 5.25%, 4/21/34(i) | 127,000 | 114,428 | |
(SOFR + 1.88%), 5.42%, 7/21/34(i) | 413,000 | 376,938 | |
Nasdaq, Inc., | |||
5.55%, 2/15/34 | 41,000 | 38,031 | |
6.10%, 6/28/63 | 149,000 | 131,734 | |
10,307,996 | |||
Insurance – 0.1% | |||
American International Group, Inc., 2.50%, 6/30/25 | 40,000 | 37,751 | |
Aon Corp./Aon Global Holdings PLC, | |||
5.00%, 9/12/32 | 89,000 | 80,718 |
Par (a) | Value | ||
Insurance (Continued) | |||
Aon Corp./Aon Global Holdings PLC, | |||
5.35%, 2/28/33 | $198,000 | $ 184,534 | |
Berkshire Hathaway Finance Corp., 4.25%, 1/15/49 | 150,000 | 115,799 | |
Guardian Life Global Funding, 1.10%, 6/23/25(b)(g) | 50,000 | 46,301 | |
Marsh & McLennan Cos., Inc., 2.90%, 12/15/51 | 104,000 | 58,113 | |
MetLife, Inc., 6.40%, 12/15/36 | 100,000 | 93,748 | |
New York Life Global Funding, 0.95%, 6/24/25(b) | 80,000 | 73,971 | |
Principal Life Global Funding II, 1.25%, 6/23/25(b) | 40,000 | 37,013 | |
Teachers Insurance & Annuity Association of America, 4.90%, 9/15/44(b) | 80,000 | 64,683 | |
792,631 | |||
Internet Media & Services – 0.0%(h) | |||
Alphabet, Inc., | |||
1.10%, 8/15/30 | 60,000 | 45,989 | |
1.90%, 8/15/40 | 70,000 | 41,856 | |
2.05%, 8/15/50 | 40,000 | 20,677 | |
Meta Platforms, Inc., 5.75%, 5/15/63(g) | 145,000 | 130,086 | |
238,608 | |||
Leisure Facilities & Services – 0.2% | |||
Las Vegas Sands Corp., 2.90%, 6/25/25 | 380,000 | 356,817 | |
McDonald's Corp., | |||
1.45%, 9/01/25 | 140,000 | 129,768 | |
3.70%, 1/30/26 | 60,000 | 57,676 | |
3.50%, 3/01/27 | 30,000 | 28,035 | |
3.50%, 7/01/27 | 60,000 | 55,747 | |
3.80%, 4/01/28 | 270,000 | 250,500 | |
2.13%, 3/01/30 | 170,000 | 136,644 | |
3.60%, 7/01/30 | 80,000 | 70,066 | |
4.88%, 12/09/45 | 30,000 | 24,695 | |
4.20%, 4/01/50 | 240,000 | 174,727 | |
1,284,675 | |||
Machinery – 0.0%(h) | |||
Deere & Co., | |||
3.10%, 4/15/30 | 30,000 | 25,889 | |
3.75%, 4/15/50(g) | 200,000 | 148,028 |
Par (a) | Value | ||
Machinery (Continued) | |||
Eaton Corp., 4.15%, 11/02/42 | $ 30,000 | $ 23,328 | |
197,245 | |||
Medical Equipment & Devices – 0.1% | |||
Abbott Laboratories, | |||
4.75%, 11/30/36 | 40,000 | 36,463 | |
4.90%, 11/30/46 | 90,000 | 77,630 | |
Becton Dickinson & Co., 4.69%, 12/15/44 | 15,000 | 11,989 | |
Thermo Fisher Scientific, Inc., | |||
2.00%, 10/15/31 | 64,000 | 48,293 | |
5.09%, 8/10/33 | 282,000 | 263,771 | |
438,146 | |||
Metals & Mining – 0.0%(h) | |||
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 80,000 | 65,799 | |
Newmont Corp., 2.25%, 10/01/30 | 120,000 | 93,776 | |
159,575 | |||
Oil & Gas Producers – 4.1% | |||
Antero Resources Corp., | |||
7.63%, 2/01/29(b) | 80,000 | 80,999 | |
5.38%, 3/01/30(b) | 185,000 | 168,816 | |
Apache Corp., | |||
5.10%, 9/01/40 | 169,000 | 131,321 | |
4.75%, 4/15/43 | 153,000 | 107,454 | |
4.25%, 1/15/44 | 380,000 | 235,851 | |
BP Capital Markets America, Inc., | |||
3.41%, 2/11/26 | 20,000 | 19,067 | |
3.12%, 5/04/26 | 220,000 | 207,674 | |
3.94%, 9/21/28 | 110,000 | 102,118 | |
3.63%, 4/06/30 | 80,000 | 70,666 | |
1.75%, 8/10/30 | 200,000 | 154,918 | |
3.00%, 2/24/50 | 190,000 | 112,098 | |
Cameron LNG LLC, | |||
2.90%, 7/15/31(b) | 160,000 | 128,928 | |
3.30%, 1/15/35(b) | 681,000 | 521,216 | |
3.40%, 1/15/38(b) | 279,000 | 210,356 | |
Cheniere Corpus Christi Holdings LLC, | |||
5.88%, 3/31/25 | 233,000 | 231,871 | |
5.13%, 6/30/27 | 830,000 | 800,823 | |
3.70%, 11/15/29(g) | 311,000 | 270,979 | |
2.74%, 12/31/39 | 83,000 | 59,838 | |
Cheniere Energy Partners L.P., | |||
4.50%, 10/01/29 | 874,000 | 782,534 | |
4.00%, 3/01/31 | 195,000 | 163,286 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Cheniere Energy Partners L.P., | |||
3.25%, 1/31/32 | $ 758,000 | $ 587,782 | |
Chevron Corp., | |||
2.00%, 5/11/27 | 40,000 | 35,725 | |
3.08%, 5/11/50 | 230,000 | 144,377 | |
Chevron USA, Inc., 3.85%, 1/15/28 | 240,000 | 227,195 | |
Columbia Pipelines Operating Co. LLC, | |||
6.04%, 11/15/33(b) | 340,000 | 322,879 | |
6.54%, 11/15/53(b) | 100,000 | 91,853 | |
Continental Resources, Inc., | |||
4.38%, 1/15/28 | 130,000 | 119,774 | |
5.75%, 1/15/31(b) | 20,000 | 18,548 | |
4.90%, 6/01/44 | 590,000 | 416,599 | |
Coterra Energy, Inc., | |||
3.90%, 5/15/27 | 280,000 | 261,067 | |
4.38%, 3/15/29 | 750,000 | 686,148 | |
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp., | |||
5.63%, 5/01/27(b) | 5,000 | 4,809 | |
6.00%, 2/01/29(b) | 5,000 | 4,838 | |
7.38%, 2/01/31(b)(g) | 500,000 | 504,005 | |
Devon Energy Corp., | |||
5.85%, 12/15/25 | 90,000 | 89,402 | |
5.25%, 10/15/27 | 12,000 | 11,625 | |
4.50%, 1/15/30 | 112,000 | 99,600 | |
5.60%, 7/15/41(g) | 291,000 | 247,026 | |
4.75%, 5/15/42 | 440,000 | 335,456 | |
5.00%, 6/15/45 | 150,000 | 115,579 | |
Diamondback Energy, Inc., | |||
3.25%, 12/01/26 | 1,605,000 | 1,495,988 | |
3.50%, 12/01/29(g) | 2,247,000 | 1,965,692 | |
3.13%, 3/24/31 | 584,000 | 478,133 | |
4.40%, 3/24/51 | 310,000 | 219,969 | |
Energy Transfer L.P., | |||
2.90%, 5/15/25 | 200,000 | 190,519 | |
5.50%, 6/01/27 | 130,000 | 126,793 | |
4.95%, 6/15/28 | 20,000 | 18,903 | |
5.25%, 4/15/29 | 60,000 | 56,944 | |
3.75%, 5/15/30 | 430,000 | 367,512 | |
6.40%, 12/01/30(g) | 185,000 | 182,999 | |
6.55%, 12/01/33 | 45,000 | 44,406 | |
4.95%, 1/15/43 | 66,000 | 49,266 | |
5.15%, 2/01/43 | 139,000 | 106,671 | |
5.30%, 4/01/44 | 160,000 | 125,736 | |
5.35%, 5/15/45 | 210,000 | 165,021 | |
5.30%, 4/15/47 | 165,000 | 127,892 | |
5.40%, 10/01/47 | 417,000 | 327,494 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Energy Transfer L.P., | |||
6.25%, 4/15/49 | $ 50,000 | $ 43,998 | |
5.00%, 5/15/50(g) | 700,000 | 524,850 | |
Enterprise Products Operating LLC, | |||
4.15%, 10/16/28 | 270,000 | 250,940 | |
3.13%, 7/31/29 | 100,000 | 86,808 | |
2.80%, 1/31/30 | 300,000 | 250,595 | |
6.65%, 10/15/34 | 80,000 | 82,931 | |
7.55%, 4/15/38 | 10,000 | 10,904 | |
4.85%, 3/15/44 | 80,000 | 66,254 | |
5.10%, 2/15/45 | 100,000 | 85,127 | |
4.80%, 2/01/49(g) | 40,000 | 32,332 | |
4.20%, 1/31/50 | 60,000 | 43,947 | |
3.70%, 1/31/51 | 170,000 | 113,700 | |
3.95%, 1/31/60(g) | 70,000 | 46,875 | |
(3M CME Term SOFR + 2.83%), 5.38%, 2/15/78(i) | 50,000 | 42,461 | |
EOG Resources, Inc., | |||
4.38%, 4/15/30 | 270,000 | 250,018 | |
3.90%, 4/01/35 | 180,000 | 147,685 | |
4.95%, 4/15/50(g) | 410,000 | 344,210 | |
EQT Corp., | |||
3.13%, 5/15/26(b) | 166,000 | 153,738 | |
3.90%, 10/01/27 | 161,000 | 148,134 | |
5.70%, 4/01/28 | 129,000 | 125,491 | |
5.00%, 1/15/29 | 334,000 | 311,449 | |
7.00%, 2/01/30 | 431,000 | 436,698 | |
3.63%, 5/15/31(b) | 193,000 | 158,916 | |
Exxon Mobil Corp., | |||
2.44%, 8/16/29 | 240,000 | 204,959 | |
3.48%, 3/19/30 | 120,000 | 106,362 | |
4.11%, 3/01/46 | 20,000 | 15,244 | |
4.33%, 3/19/50 | 10,000 | 7,744 | |
3.45%, 4/15/51 | 300,000 | 197,130 | |
Kinder Morgan Energy Partners L.P., | |||
6.50%, 2/01/37 | 96,000 | 90,734 | |
4.70%, 11/01/42 | 156,000 | 115,661 | |
5.50%, 3/01/44 | 10,000 | 8,146 | |
Kinder Morgan, Inc., | |||
4.30%, 6/01/25 | 90,000 | 87,599 | |
4.30%, 3/01/28 | 350,000 | 326,409 | |
5.55%, 6/01/45 | 210,000 | 172,856 | |
5.05%, 2/15/46 | 40,000 | 30,508 | |
5.20%, 3/01/48 | 60,000 | 46,680 | |
MPLX L.P., | |||
4.00%, 3/15/28 | 200,000 | 183,223 | |
4.80%, 2/15/29 | 30,000 | 28,061 | |
4.50%, 4/15/38 | 90,000 | 70,115 | |
5.20%, 3/01/47 | 60,000 | 46,402 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
MPLX L.P., | |||
5.20%, 12/01/47 | $100,000 | $ 76,984 | |
4.70%, 4/15/48 | 210,000 | 151,808 | |
5.50%, 2/15/49 | 60,000 | 48,430 | |
NGPL PipeCo LLC, | |||
4.88%, 8/15/27(b) | 118,000 | 110,654 | |
3.25%, 7/15/31(b) | 489,000 | 382,471 | |
Northwest Pipeline LLC, 4.00%, 4/01/27 | 508,000 | 476,703 | |
Occidental Petroleum Corp., | |||
5.55%, 3/15/26 | 160,000 | 157,851 | |
3.00%, 2/15/27 | 220,000 | 197,530 | |
7.88%, 9/15/31(g) | 347,000 | 371,516 | |
4.50%, 7/15/44 | 80,000 | 55,593 | |
6.60%, 3/15/46(g) | 150,000 | 144,436 | |
4.10%, 2/15/47 | 50,000 | 32,259 | |
4.20%, 3/15/48 | 230,000 | 155,027 | |
ONEOK, Inc., | |||
5.55%, 11/01/26 | 70,000 | 69,155 | |
5.80%, 11/01/30 | 100,000 | 96,254 | |
6.05%, 9/01/33 | 170,000 | 162,921 | |
6.63%, 9/01/53 | 416,000 | 388,773 | |
Pioneer Natural Resources Co., | |||
1.13%, 1/15/26 | 30,000 | 27,222 | |
1.90%, 8/15/30 | 150,000 | 117,199 | |
2.15%, 1/15/31(g) | 380,000 | 298,439 | |
Sabine Pass Liquefaction LLC, | |||
5.63%, 3/01/25 | 898,000 | 892,127 | |
5.88%, 6/30/26 | 626,000 | 621,327 | |
5.90%, 9/15/37(g) | 127,000 | 121,709 | |
Southern Natural Gas Co. LLC, 8.00%, 3/01/32 | 80,000 | 86,880 | |
Targa Resources Corp., | |||
5.20%, 7/01/27 | 357,000 | 345,427 | |
6.13%, 3/15/33 | 174,000 | 166,647 | |
4.95%, 4/15/52 | 60,000 | 43,780 | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., | |||
5.00%, 1/15/28 | 272,000 | 256,692 | |
5.50%, 3/01/30 | 180,000 | 165,874 | |
4.88%, 2/01/31 | 344,000 | 303,247 | |
Tennessee Gas Pipeline Co. LLC, 2.90%, 3/01/30(b) | 210,000 | 171,910 | |
Texas Eastern Transmission L.P., 3.50%, 1/15/28(b) | 435,000 | 394,513 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Transcontinental Gas Pipe Line Co. LLC, | |||
7.85%, 2/01/26 | $670,000 | $ 691,749 | |
4.00%, 3/15/28 | 436,000 | 401,172 | |
4.60%, 3/15/48 | 157,000 | 118,138 | |
Viper Energy Partners L.P., | |||
5.38%, 11/01/27(b)(g) | 816,000 | 773,364 | |
7.38%, 11/01/31(b)(g) | 515,000 | 513,712 | |
Western Midstream Operating L.P., | |||
3.10%, 2/01/25 | 50,000 | 48,037 | |
4.65%, 7/01/26 | 90,000 | 86,049 | |
6.35%, 1/15/29 | 115,000 | 114,382 | |
Williams (The) Cos., Inc., | |||
4.90%, 1/15/45 | 440,000 | 337,477 | |
5.10%, 9/15/45 | 140,000 | 112,534 | |
4.85%, 3/01/48 | 110,000 | 84,223 | |
30,803,127 | |||
Real Estate Investment Trusts – 0.8% | |||
American Tower Corp., | |||
3.95%, 3/15/29 | 239,000 | 212,909 | |
3.80%, 8/15/29 | 472,000 | 413,259 | |
2.10%, 6/15/30(g) | 127,000 | 96,732 | |
2.70%, 4/15/31 | 302,000 | 233,506 | |
Crown Castle, Inc., | |||
3.10%, 11/15/29 | 416,000 | 345,896 | |
3.30%, 7/01/30 | 72,000 | 59,185 | |
2.10%, 4/01/31 | 463,000 | 342,707 | |
Equinix, Inc., | |||
2.00%, 5/15/28 | 40,000 | 33,364 | |
3.20%, 11/18/29 | 103,000 | 87,033 | |
2.15%, 7/15/30 | 174,000 | 133,609 | |
Extra Space Storage L.P., 5.50%, 7/01/30 | 33,000 | 31,214 | |
GLP Capital L.P./GLP Financing II, Inc., | |||
5.75%, 6/01/28(g) | 445,000 | 417,208 | |
4.00%, 1/15/30 | 439,000 | 366,366 | |
NNN REIT, Inc., | |||
3.10%, 4/15/50 | 42,000 | 22,962 | |
3.50%, 4/15/51(g) | 158,000 | 94,509 | |
Prologis L.P., 5.13%, 1/15/34 | 178,000 | 163,002 | |
Realty Income Corp., 3.25%, 1/15/31 | 149,000 | 122,093 | |
VICI Properties L.P., 4.75%, 2/15/28 | 438,000 | 403,354 | |
VICI Properties L.P./VICI Note Co., Inc., | |||
4.50%, 9/01/26(b) | 453,000 | 422,857 | |
4.25%, 12/01/26(b) | 135,000 | 124,594 | |
5.75%, 2/01/27(b) | 181,000 | 173,220 |
Par (a) | Value | ||
Real Estate Investment Trusts (Continued) | |||
VICI Properties L.P./VICI Note Co., Inc., | |||
3.75%, 2/15/27(b) | $ 382,000 | $ 343,733 | |
4.63%, 12/01/29(b) | 1,074,000 | 928,967 | |
4.13%, 8/15/30(b) | 153,000 | 126,217 | |
5,698,496 | |||
Retail - Consumer Staples – 0.0%(h) | |||
Costco Wholesale Corp., | |||
1.38%, 6/20/27 | 190,000 | 165,366 | |
1.75%, 4/20/32(g) | 90,000 | 67,358 | |
Walmart, Inc., | |||
1.50%, 9/22/28 | 60,000 | 50,509 | |
2.38%, 9/24/29 | 20,000 | 17,112 | |
1.80%, 9/22/31 | 40,000 | 30,761 | |
331,106 | |||
Retail - Discretionary – 0.1% | |||
Home Depot (The), Inc., | |||
2.50%, 4/15/27 | 60,000 | 54,462 | |
3.90%, 12/06/28 | 10,000 | 9,310 | |
2.70%, 4/15/30 | 80,000 | 66,984 | |
3.30%, 4/15/40 | 160,000 | 113,124 | |
3.90%, 6/15/47 | 20,000 | 14,310 | |
3.35%, 4/15/50 | 210,000 | 133,082 | |
Lowe's Cos., Inc., | |||
1.70%, 9/15/28 | 180,000 | 148,908 | |
4.50%, 4/15/30 | 261,000 | 238,742 | |
2.80%, 9/15/41 | 284,000 | 172,501 | |
951,423 | |||
Semiconductors – 0.3% | |||
Applied Materials, Inc., 1.75%, 6/01/30 | 210,000 | 164,872 | |
Broadcom, Inc., | |||
3.47%, 4/15/34(b) | 161,000 | 122,672 | |
3.14%, 11/15/35(b) | 1,062,000 | 749,132 | |
3.19%, 11/15/36(b) | 213,000 | 147,515 | |
Intel Corp., | |||
1.60%, 8/12/28 | 100,000 | 83,683 | |
5.13%, 2/10/30 | 120,000 | 116,118 | |
5.20%, 2/10/33 | 90,000 | 84,966 | |
4.75%, 3/25/50(g) | 80,000 | 62,822 | |
3.05%, 8/12/51 | 80,000 | 45,802 | |
KLA Corp., | |||
4.65%, 7/15/32 | 70,000 | 64,886 | |
3.30%, 3/01/50 | 209,000 | 131,715 | |
Micron Technology, Inc., 5.88%, 2/09/33 | 70,000 | 65,119 | |
NVIDIA Corp., | |||
3.50%, 4/01/50 | 150,000 | 102,649 | |
3.70%, 4/01/60 | 150,000 | 100,886 |
Par (a) | Value | ||
Semiconductors (Continued) | |||
Texas Instruments, Inc., | |||
2.90%, 11/03/27(g) | $220,000 | $ 200,345 | |
1.75%, 5/04/30 | 70,000 | 55,802 | |
3.88%, 3/15/39 | 100,000 | 79,485 | |
2,378,469 | |||
Software – 0.3% | |||
Adobe, Inc., 2.30%, 2/01/30 | 200,000 | 166,250 | |
Intuit, Inc., 5.50%, 9/15/53 | 30,000 | 27,291 | |
Microsoft Corp., | |||
2.53%, 6/01/50 | 200,000 | 114,484 | |
2.92%, 3/17/52 | 70,000 | 43,212 | |
Oracle Corp., | |||
1.65%, 3/25/26 | 310,000 | 281,166 | |
2.95%, 4/01/30 | 30,000 | 24,864 | |
4.65%, 5/06/30 | 120,000 | 110,012 | |
2.88%, 3/25/31 | 360,000 | 288,561 | |
3.85%, 7/15/36 | 79,000 | 60,253 | |
3.80%, 11/15/37 | 162,000 | 119,211 | |
3.60%, 4/01/40 | 101,000 | 69,352 | |
5.38%, 7/15/40 | 94,000 | 79,996 | |
4.13%, 5/15/45 | 166,000 | 114,989 | |
4.00%, 7/15/46 | 414,000 | 278,157 | |
3.60%, 4/01/50 | 75,000 | 45,958 | |
Salesforce, Inc., 3.70%, 4/11/28 | 190,000 | 177,973 | |
2,001,729 | |||
Specialty Finance – 0.2% | |||
Air Lease Corp., | |||
3.38%, 7/01/25 | 70,000 | 66,442 | |
5.30%, 2/01/28 | 160,000 | 153,037 | |
American Express Co., | |||
4.20%, 11/06/25 | 70,000 | 67,740 | |
4.05%, 5/03/29 | 140,000 | 128,054 | |
Capital One Financial Corp., | |||
(SOFR + 3.07%), 7.62%, 10/30/31(i) | 140,000 | 139,932 | |
(SOFR + 2.86%), 6.38%, 6/08/34(i) | 86,000 | 78,426 | |
Penske Truck Leasing Co. L.P./PTL Finance Corp., | |||
5.88%, 11/15/27(b) | 193,000 | 188,210 | |
6.05%, 8/01/28(b) | 186,000 | 182,482 | |
USAA Capital Corp., 2.13%, 5/01/30(b) | 150,000 | 118,490 | |
1,122,813 |
Par (a) | Value | ||
Technology Hardware – 0.1% | |||
Dell International LLC/EMC Corp., | |||
4.90%, 10/01/26 | $172,000 | $ 167,409 | |
5.25%, 2/01/28 | 147,000 | 143,656 | |
Hewlett Packard Enterprise Co., 5.25%, 7/01/28 | 126,000 | 121,665 | |
Motorola Solutions, Inc., | |||
2.75%, 5/24/31 | 276,000 | 213,959 | |
5.60%, 6/01/32 | 311,000 | 291,418 | |
5.50%, 9/01/44 | 121,000 | 101,529 | |
1,039,636 | |||
Technology Services – 0.3% | |||
Booz Allen Hamilton, Inc., 5.95%, 8/04/33 | 192,000 | 182,482 | |
FactSet Research Systems, Inc., 3.45%, 3/01/32 | 265,000 | 214,323 | |
Global Payments, Inc., | |||
3.20%, 8/15/29 | 293,000 | 245,919 | |
2.90%, 5/15/30 | 187,000 | 149,788 | |
Mastercard, Inc., | |||
3.35%, 3/26/30 | 120,000 | 105,433 | |
3.85%, 3/26/50 | 280,000 | 204,585 | |
MSCI, Inc., | |||
4.00%, 11/15/29(b) | 258,000 | 222,096 | |
3.88%, 2/15/31(b) | 190,000 | 156,825 | |
3.63%, 11/01/31(b) | 372,000 | 295,337 | |
PayPal Holdings, Inc., | |||
1.65%, 6/01/25(g) | 90,000 | 84,456 | |
2.30%, 6/01/30 | 80,000 | 64,137 | |
4.40%, 6/01/32(g) | 70,000 | 62,731 | |
S&P Global, Inc., | |||
2.90%, 3/01/32 | 100,000 | 80,236 | |
5.25%, 9/15/33(b) | 60,000 | 56,610 | |
Visa, Inc., 4.30%, 12/14/45 | 170,000 | 135,723 | |
2,260,681 | |||
Telecommunications – 1.0% | |||
AT&T, Inc., | |||
3.80%, 2/15/27 | 170,000 | 158,662 | |
2.30%, 6/01/27 | 170,000 | 150,193 | |
4.30%, 2/15/30(b) | 105,000 | 94,165 | |
2.25%, 2/01/32 | 30,000 | 22,170 | |
2.55%, 12/01/33 | 290,000 | 208,133 | |
5.40%, 2/15/34 | 390,000 | 358,343 | |
4.50%, 5/15/35 | 150,000 | 125,090 | |
5.35%, 9/01/40 | 50,000 | 42,494 | |
5.55%, 8/15/41 | 40,000 | 34,525 | |
4.80%, 6/15/44 | 22,000 | 16,819 | |
3.50%, 9/15/53 | 297,000 | 174,888 | |
3.55%, 9/15/55 | 373,000 | 216,824 |
Par (a) | Value | ||
Telecommunications (Continued) | |||
AT&T, Inc., | |||
3.80%, 12/01/57 | $277,000 | $ 166,810 | |
3.65%, 9/15/59 | 403,000 | 233,161 | |
Sprint LLC, | |||
7.63%, 2/15/25 | 521,000 | 528,414 | |
7.63%, 3/01/26 | 292,000 | 299,923 | |
T-Mobile USA, Inc., | |||
3.50%, 4/15/25 | 230,000 | 222,208 | |
3.75%, 4/15/27 | 20,000 | 18,599 | |
3.88%, 4/15/30 | 769,000 | 669,571 | |
2.55%, 2/15/31 | 70,000 | 54,540 | |
2.25%, 11/15/31 | 400,000 | 296,974 | |
3.00%, 2/15/41 | 190,000 | 119,928 | |
3.30%, 2/15/51 | 70,000 | 41,136 | |
Verizon Communications, Inc., | |||
2.63%, 8/15/26 | 10,000 | 9,207 | |
4.13%, 3/16/27 | 60,000 | 56,835 | |
3.00%, 3/22/27 | 30,000 | 27,402 | |
2.10%, 3/22/28 | 360,000 | 307,079 | |
4.33%, 9/21/28 | 250,000 | 232,769 | |
3.88%, 2/08/29 | 30,000 | 27,237 | |
3.15%, 3/22/30 | 90,000 | 75,504 | |
1.75%, 1/20/31 | 615,000 | 454,742 | |
2.55%, 3/21/31 | 380,000 | 296,880 | |
2.36%, 3/15/32 | 245,000 | 183,199 | |
5.05%, 5/09/33 | 108,000 | 98,850 | |
4.50%, 8/10/33 | 310,000 | 268,650 | |
4.40%, 11/01/34 | 581,000 | 491,864 | |
2.65%, 11/20/40 | 360,000 | 217,612 | |
3.40%, 3/22/41 | 50,000 | 33,740 | |
3.85%, 11/01/42 | 60,000 | 42,442 | |
4.13%, 8/15/46 | 70,000 | 50,057 | |
4.00%, 3/22/50 | 160,000 | 108,793 | |
2.88%, 11/20/50 | 40,000 | 21,863 | |
3.55%, 3/22/51 | 330,000 | 207,348 | |
3.00%, 11/20/60 | 113,000 | 57,846 | |
7,523,489 | |||
Tobacco & Cannabis – 0.2% | |||
Altria Group, Inc., | |||
2.35%, 5/06/25 | 30,000 | 28,432 | |
4.40%, 2/14/26 | 172,000 | 166,353 | |
4.80%, 2/14/29(g) | 80,000 | 74,927 | |
2.45%, 2/04/32 | 180,000 | 131,354 | |
6.88%, 11/01/33 | 485,000 | 480,794 | |
5.80%, 2/14/39 | 70,000 | 62,221 | |
3.40%, 2/04/41 | 156,000 | 95,597 | |
4.25%, 8/09/42 | 244,000 | 167,006 | |
4.50%, 5/02/43 | 119,000 | 84,003 | |
5.95%, 2/14/49 | 255,000 | 216,322 |
Par (a) | Value | ||
Tobacco & Cannabis (Continued) | |||
Altria Group, Inc., | |||
6.20%, 2/14/59 | $ 24,000 | $ 21,438 | |
Philip Morris International, Inc., | |||
5.13%, 11/17/27 | 92,000 | 89,678 | |
2.10%, 5/01/30 | 70,000 | 54,940 | |
4.50%, 3/20/42 | 60,000 | 45,896 | |
1,718,961 | |||
Transportation & Logistics – 0.3% | |||
American Airlines Pass Through Trust, | |||
Series 2017-1, Class AA, 3.65%, 2/15/29 | 7,549 | 6,753 | |
Series 2019-1, Class AA, 3.15%, 2/15/32 | 54,280 | 45,235 | |
Burlington Northern Santa Fe LLC, | |||
4.55%, 9/01/44 | 97,000 | 77,204 | |
3.30%, 9/15/51 | 189,000 | 117,808 | |
2.88%, 6/15/52 | 134,000 | 76,471 | |
CSX Corp., 3.35%, 9/15/49 | 174,000 | 109,113 | |
Delta Air Lines Pass Through Trust, | |||
Series 2019-1, Class AA, 3.20%, 10/25/25 | 137,000 | 134,666 | |
Series 2015-1, Class AA, 3.63%, 7/30/27 | 48,859 | 44,915 | |
Delta Air Lines, Inc./SkyMiles IP Ltd., | |||
4.50%, 10/20/25(b) | 146,969 | 142,850 | |
4.75%, 10/20/28(b) | 260,000 | 244,395 | |
Norfolk Southern Corp., | |||
3.05%, 5/15/50 | 258,000 | 149,671 | |
3.16%, 5/15/55(g) | 148,000 | 83,897 | |
Ryder System, Inc., 5.25%, 6/01/28 | 40,000 | 38,500 | |
Union Pacific Corp., | |||
2.15%, 2/05/27 | 120,000 | 107,733 | |
2.40%, 2/05/30 | 150,000 | 123,235 | |
3.84%, 3/20/60 | 272,000 | 179,148 | |
2.97%, 9/16/62 | 187,000 | 98,620 | |
3.75%, 2/05/70 | 238,000 | 147,689 | |
United Airlines Pass Through Trust, | |||
Series 2020-1, Class B, 4.88%, 1/15/26 | 39,520 | 37,867 | |
Series 2014-1, Class A, 4.00%, 4/11/26 | 74,908 | 70,440 | |
Series 2016-2, Class B, 3.65%, 4/07/27 | 1,944 | 1,820 | |
Series 2016-1, Class AA, 3.10%, 7/07/28 | 2,050 | 1,823 |
Par (a) | Value | ||
Transportation & Logistics (Continued) | |||
United Airlines Pass Through Trust, | |||
Series 2016-2, Class AA, 2.88%, 10/07/28 | $ 15,133 | $ 13,125 | |
Series 2019-2, Class AA, 2.70%, 5/01/32 | 13,744 | 11,152 | |
2,064,130 | |||
Total Corporate Bonds (Cost $156,809,300) | 136,371,123 | ||
Foreign Issuer Bonds – 5.6% | |||
Argentina – 0.0%(h) | |||
Argentine Republic Government International Bond, | |||
(Step to 4.13% on 7/9/24), 3.63%, 7/09/35(f) | 43,000 | 10,550 | |
(Step to 5.00% on 7/9/24), 4.25%, 1/09/38(f) | 23,000 | 6,917 | |
YPF S.A., | |||
6.95%, 7/21/27 | 10,000 | 7,558 | |
7.00%, 9/30/33 | 9,682 | 7,296 | |
7.00%, 12/15/47(b) | 18,000 | 11,483 | |
43,804 | |||
Australia – 0.1% | |||
BHP Billiton Finance USA Ltd., 5.00%, 9/30/43 | 160,000 | 138,236 | |
Glencore Funding LLC, | |||
4.00%, 3/27/27(b) | 160,000 | 149,219 | |
3.88%, 10/27/27(b) | 70,000 | 64,149 | |
6.38%, 10/06/30(b) | 209,000 | 204,756 | |
556,360 | |||
Belgium – 0.2% | |||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., | |||
3.65%, 2/01/26 | 300,000 | 288,417 | |
4.90%, 2/01/46 | 200,000 | 166,555 | |
Anheuser-Busch InBev Worldwide, Inc., | |||
4.00%, 4/13/28 | 140,000 | 131,658 | |
4.75%, 1/23/29 | 260,000 | 250,921 | |
3.50%, 6/01/30 | 50,000 | 43,943 | |
4.35%, 6/01/40 | 130,000 | 104,963 | |
5.55%, 1/23/49 | 260,000 | 235,877 | |
1,222,334 |
Par (a) | Value | ||
Brazil – 0.3% | |||
Petrorio Luxembourg Trading S.a.r.l., 6.13%, 6/09/26(b) | $ 23,000 | $ 21,871 | |
Suzano Austria GmbH, 6.00%, 1/15/29 | 1,150,000 | 1,106,641 | |
Vale Overseas Ltd., | |||
6.25%, 8/10/26 | 560,000 | 563,741 | |
6.88%, 11/21/36 | 300,000 | 296,194 | |
1,988,447 | |||
Canada – 0.2% | |||
Bank of Montreal, | |||
1.85%, 5/01/25 | 210,000 | 197,360 | |
(5Y USD Swap Rate + 1.43%), 3.80%, 12/15/32(i) | 40,000 | 34,666 | |
Bank of Nova Scotia (The), | |||
3.45%, 4/11/25(g) | 430,000 | 414,377 | |
1.30%, 6/11/25 | 120,000 | 111,292 | |
(5Y US Treasury CMT + 2.05%), 4.59%, 5/04/37(i) | 140,000 | 113,214 | |
Barrick North America Finance LLC, 5.75%, 5/01/43 | 190,000 | 174,893 | |
Enbridge, Inc., 5.70%, 3/08/33 | 166,000 | 155,216 | |
Royal Bank of Canada, | |||
1.15%, 6/10/25(g) | 100,000 | 92,885 | |
3.88%, 5/04/32(g) | 340,000 | 286,013 | |
Toronto-Dominion Bank (The), | |||
1.15%, 6/12/25(g) | 110,000 | 101,933 | |
4.46%, 6/08/32 | 70,000 | 61,040 | |
1,742,889 | |||
Chile – 0.1% | |||
Chile Government International Bond, 3.10%, 1/22/61 | 310,000 | 166,386 | |
Corp. Nacional del Cobre de Chile, | |||
3.63%, 8/01/27(b) | 330,000 | 300,765 | |
3.70%, 1/30/50(b) | 660,000 | 387,579 | |
Kenbourne Invest S.A., 6.88%, 11/26/24(b)(g) | 200,000 | 151,094 | |
1,005,824 | |||
China – 0.1% | |||
NXP B.V./NXP Funding LLC/NXP USA, Inc., | |||
2.70%, 5/01/25 | 80,000 | 76,031 | |
4.30%, 6/18/29 | 193,000 | 174,149 |
Par (a) | Value | ||
China (Continued) | |||
Prosus N.V., | |||
3.68%, 1/21/30(b) | $ 600,000 | $ 475,671 | |
4.03%, 8/03/50(b) | 380,000 | 204,880 | |
930,731 | |||
Colombia – 0.3% | |||
Avianca Midco 2 PLC, 9.00%, 12/01/28(b) | 4,000 | 3,288 | |
Colombia Government International Bond, | |||
3.25%, 4/22/32 | 620,000 | 443,564 | |
5.00%, 6/15/45 | 810,000 | 518,169 | |
5.20%, 5/15/49 | 460,000 | 294,156 | |
Colombian TES, | |||
7.50%, 8/26/26 | COP | 783,100,000 | 175,157 |
5.75%, 11/03/27 | COP | 258,000,000 | 52,497 |
Ecopetrol S.A., | |||
8.88%, 1/13/33 | 18,000 | 17,287 | |
5.88%, 5/28/45 | 1,220,000 | 795,574 | |
2,299,692 | |||
Czech Republic – 0.0%(h) | |||
Czech Republic Government Bond, | |||
5.50%, 12/12/28 | CZK | 1,580,000 | 71,434 |
5.00%, 9/30/30 | CZK | 840,000 | 37,152 |
4.20%, 12/04/36 | CZK | 280,000 | 11,470 |
120,056 | |||
Denmark – 0.0%(h) | |||
Danske Bank A/S, (1Y US Treasury CMT + 0.55%), 0.98%, 9/10/25(b)(i) | 220,000 | 209,539 | |
France – 0.3% | |||
BNP Paribas S.A., | |||
(SOFR + 2.07%), 2.22%, 6/09/26(b)(i) | 600,000 | 560,314 | |
(1Y US Treasury CMT + 1.45%), 5.13%, 1/13/29(b)(i) | 500,000 | 478,063 | |
(3M CME Term SOFR + 2.83%), 5.20%, 1/10/30(b)(i) | 300,000 | 281,138 | |
(SOFR + 1.51%), 3.05%, 1/13/31(b)(i) | 200,000 | 161,108 | |
Credit Agricole S.A., (SOFR + 1.68%), 1.91%, 6/16/26(b)(i) | 250,000 | 232,599 | |
Danone S.A., 2.95%, 11/02/26(b) | 200,000 | 185,532 | |
1,898,754 |
Par (a) | Value | ||
Germany – 0.1% | |||
Deutsche Bank A.G., | |||
5.37%, 9/09/27 | $493,000 | $ 476,772 | |
(SOFR + 1.32%), 2.55%, 1/07/28(i) | 150,000 | 129,833 | |
606,605 | |||
India – 0.1% | |||
Export-Import Bank of India, 3.38%, 8/05/26(b) | 200,000 | 188,152 | |
Reliance Industries Ltd., | |||
2.88%, 1/12/32(b)(g) | 250,000 | 194,774 | |
3.63%, 1/12/52(b) | 450,000 | 271,948 | |
654,874 | |||
Indonesia – 0.2% | |||
Indonesia Government International Bond, | |||
2.85%, 2/14/30 | 200,000 | 168,978 | |
3.05%, 3/12/51 | 222,000 | 135,173 | |
Pertamina Persero PT, 6.00%, 5/03/42(b) | 280,000 | 244,926 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, 5.45%, 5/21/28(b) | 770,000 | 746,827 | |
1,295,904 | |||
Ireland – 0.1% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, | |||
2.45%, 10/29/26 | 400,000 | 355,812 | |
3.00%, 10/29/28 | 400,000 | 336,898 | |
3.30%, 1/30/32 | 150,000 | 116,128 | |
808,838 | |||
Israel – 0.1% | |||
Energian Israel Finance Ltd., 8.50%, 9/30/33(b) | 2,059 | 1,804 | |
Israel Government International Bond, | |||
2.75%, 7/03/30 | 500,000 | 411,200 | |
4.50%, 4/03/20(k) | 220,000 | 144,148 | |
Leviathan Bond Ltd., 6.75%, 6/30/30(b) | 250 | 213 | |
557,365 | |||
Japan – 0.0%(h) | |||
Mitsubishi UFJ Financial Group, Inc., (1Y US Treasury CMT + 1.13%), 3.84%, 4/17/26(i) | 200,000 | 193,211 | |
Takeda Pharmaceutical Co. Ltd., 2.05%, 3/31/30 | 200,000 | 158,055 | |
351,266 |
Par (a) | Value | ||
Kazakhstan – 0.1% | |||
Kazakhstan Government International Bond, 4.88%, 10/14/44 | $ 600,000 | $ 496,399 | |
KazMunayGas National Co. JSC, 6.38%, 10/24/48(b) | 420,000 | 328,440 | |
824,839 | |||
Kuwait – 0.1% | |||
MEGlobal B.V., | |||
4.25%, 11/03/26(b) | 210,000 | 197,649 | |
2.63%, 4/28/28(b)(g) | 450,000 | 384,075 | |
581,724 | |||
Macau – 0.3% | |||
Sands China Ltd., | |||
5.38%, 8/08/25 | 300,000 | 290,362 | |
4.30%, 1/08/26(g) | 1,000,000 | 927,610 | |
4.88%, 6/18/30 | 900,000 | 755,077 | |
1,973,049 | |||
Mexico – 0.6% | |||
Comision Federal de Electricidad, 3.88%, 7/26/33(b) | 720,000 | 521,893 | |
Grupo Posadas S.A.B. de C.V., (Step to 7.00% on 12/30/23), 5.00%, 12/30/27(f) | 22,234 | 18,732 | |
Mexican Bonos, | |||
7.50%, 6/03/27 | MXN | 1,500,000 | 76,216 |
8.50%, 5/31/29 | MXN | 4,545,000 | 234,472 |
8.50%, 11/18/38 | MXN | 991,600 | 48,052 |
Mexico Cetes, 0.00%, 11/28/24(l) | MXN | 51,700,000 | 254,155 |
Mexico Government International Bond, | |||
2.66%, 5/24/31 | 568,000 | 442,438 | |
4.75%, 3/08/44 | 930,000 | 688,295 | |
4.50%, 1/31/50(g) | 420,000 | 289,530 | |
4.40%, 2/12/52(g) | 1,150,000 | 763,471 | |
Orbia Advance Corp. S.A.B. de C.V., | |||
1.88%, 5/11/26(b) | 280,000 | 248,954 | |
2.88%, 5/11/31(b) | 270,000 | 200,230 | |
Petroleos Mexicanos, | |||
6.88%, 8/04/26 | 104,000 | 96,027 | |
6.38%, 1/23/45(g) | 50,000 | 28,273 | |
5.63%, 1/23/46(g) | 560,000 | 296,835 | |
Southern Copper Corp., 5.25%, 11/08/42 | 770,000 | 644,264 | |
4,851,837 |
Par (a) | Value | ||
Morocco – 0.0%(h) | |||
OCP S.A., 4.50%, 10/22/25(b) | $ 200,000 | $ 191,160 | |
Netherlands – 0.2% | |||
Cooperatieve Rabobank U.A., | |||
4.38%, 8/04/25 | 440,000 | 422,567 | |
(1Y US Treasury CMT + 1.22%), 3.65%, 4/06/28(b)(i) | 250,000 | 227,973 | |
(1Y US Treasury CMT + 1.42%), 3.76%, 4/06/33(b)(i) | 250,000 | 204,042 | |
Shell International Finance B.V., | |||
2.38%, 11/07/29 | 200,000 | 167,359 | |
2.75%, 4/06/30 | 150,000 | 126,806 | |
4.38%, 5/11/45 | 150,000 | 117,115 | |
4.00%, 5/10/46 | 80,000 | 58,910 | |
3.25%, 4/06/50(g) | 340,000 | 214,334 | |
1,539,106 | |||
Panama – 0.1% | |||
Panama Government International Bond, | |||
3.88%, 3/17/28 | 400,000 | 358,768 | |
4.50%, 4/16/50 | 920,000 | 575,815 | |
4.50%, 4/01/56(g) | 247,000 | 149,539 | |
1,084,122 | |||
Peru – 0.1% | |||
Peruvian Government International Bond, | |||
5.63%, 11/18/50(g) | 110,000 | 96,984 | |
3.55%, 3/10/51(g) | 220,000 | 138,278 | |
3.60%, 1/15/72(g) | 120,000 | 68,045 | |
Petroleos del Peru S.A., | |||
4.75%, 6/19/32(b) | 700,000 | 466,864 | |
5.63%, 6/19/47(b) | 200,000 | 109,436 | |
879,607 | |||
Philippines – 0.0%(h) | |||
Philippine Government International Bond, 3.20%, 7/06/46 | 267,000 | 166,824 | |
Romania – 0.0%(h) | |||
Romanian Government International Bond, 2.13%, 3/07/28 | EUR | 23,000 | 21,185 |
Russia – 0.0%(h) | |||
Russian Federal Bond - OFZ, 6.10%, 7/18/35 | RUB | 6,245,000 | 23,832 |
Par (a) | Value | ||
Saudi Arabia – 0.0%(h) | |||
Gaci First Investment Co., 5.00%, 10/13/27 | $ 350,000 | $ 340,225 | |
South Africa – 0.1% | |||
Anglo American Capital PLC, 4.00%, 9/11/27(b) | 400,000 | 370,542 | |
Republic of South Africa Government Bond, 7.00%, 2/28/31 | ZAR | 1,414,000 | 60,054 |
430,596 | |||
Spain – 0.1% | |||
Banco Santander S.A., 2.75%, 5/28/25 | 600,000 | 565,395 | |
Telefonica Emisiones S.A., 4.10%, 3/08/27 | 150,000 | 140,399 | |
705,794 | |||
Switzerland – 1.0% | |||
Credit Suisse A.G., | |||
7.95%, 1/09/25 | 870,000 | 882,409 | |
3.70%, 2/21/25 | 1,902,000 | 1,831,755 | |
2.95%, 4/09/25 | 250,000 | 237,380 | |
5.00%, 7/09/27 | 750,000 | 715,664 | |
7.50%, 2/15/28 | 480,000 | 498,388 | |
UBS Group A.G., | |||
(SOFR + 1.56%), 2.59%, 9/11/25(b)(i) | 250,000 | 241,100 | |
(1Y US Treasury CMT + 1.55%), 4.49%, 5/12/26(b)(i) | 250,000 | 242,285 | |
4.28%, 1/09/28(b) | 381,000 | 347,585 | |
4.25%, 3/23/28(b) | 770,000 | 700,076 | |
(SOFR + 3.73%), 4.19%, 4/01/31(b)(i) | 250,000 | 213,741 | |
(SOFR + 1.73%), 3.09%, 5/14/32(b)(i) | 500,000 | 384,578 | |
(1Y US Treasury CMT + 1.10%), 2.75%, 2/11/33(b)(i) | 600,000 | 439,333 | |
(SOFR + 5.02%), 9.02%, 11/15/33(b)(i) | 650,000 | 728,140 | |
7,462,434 | |||
Taiwan – 0.1% | |||
TSMC Arizona Corp., 2.50%, 10/25/31 | 1,020,000 | 806,645 | |
Ukraine – 0.0%(h) | |||
Ukraine Government International Bond, 7.75%, 8/01/41(c)(m) | 30,000 | 12,578 | |
United Arab Emirates – 0.1% | |||
DP World Ltd., 5.63%, 9/25/48(b) | 700,000 | 575,372 |
Par (a) | Value | ||
United Kingdom – 0.4% | |||
BAE Systems PLC, 3.40%, 4/15/30(b) | $627,000 | $ 536,393 | |
Barclays PLC, (SOFR + 2.62%), 6.69%, 9/13/34(i) | 225,000 | 212,789 | |
BAT Capital Corp., | |||
3.56%, 8/15/27 | 77,000 | 69,804 | |
2.26%, 3/25/28 | 100,000 | 83,921 | |
4.54%, 8/15/47 | 190,000 | 122,924 | |
4.76%, 9/06/49(g) | 85,000 | 56,508 | |
3.98%, 9/25/50 | 326,000 | 191,801 | |
7.08%, 8/02/53 | 105,000 | 93,714 | |
HSBC Holdings PLC, | |||
(SOFR + 1.93%), 2.10%, 6/04/26(i) | 200,000 | 186,362 | |
(3M CME Term SOFR + 1.81%), 4.04%, 3/13/28(i) | 240,000 | 220,434 | |
(3M CME Term SOFR + 1.87%), 3.97%, 5/22/30(i) | 350,000 | 302,393 | |
Lloyds Banking Group PLC, 4.38%, 3/22/28 | 290,000 | 266,054 | |
Natwest Group PLC, | |||
(3M USD LIBOR + 1.76%), 4.27%, 3/22/25(i) | 200,000 | 197,988 | |
(3M USD LIBOR + 1.91%), 5.08%, 1/27/30(i) | 200,000 | 183,574 | |
Reynolds American, Inc., 5.85%, 8/15/45 | 108,000 | 84,426 | |
2,809,085 | |||
Uruguay – 0.1% | |||
Uruguay Government International Bond, | |||
4.38%, 1/23/31 | 170,000 | 160,583 | |
5.75%, 10/28/34(g) | 380,000 | 380,261 | |
5.10%, 6/18/50(g) | 617,641 | 533,999 | |
1,074,843 | |||
Total Foreign Issuer Bonds (Cost $50,411,449) | 42,648,139 | ||
Mortgage-Backed Securities – 36.2% | |||
Commercial Mortgage-Backed Securities – 2.6% | |||
245 Park Avenue Trust, Series 2017-245P, Class E, 3.66%, 6/05/37(b)(e) | 740,000 | 576,795 | |
Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A, (30D Average SOFR + 1.45%, 1.45% Floor), 6.77%, 1/15/37(b)(c) | 378,000 | 373,359 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
AREIT Trust, Series 2022-CRE6, Class A, (30D Average SOFR + 1.25%, 1.25% Floor), 6.57%, 1/16/37(b)(c) | $ 751,023 | $730,262 | |
BANK, | |||
Series 2017-BNK5, Class A4, 3.13%, 6/15/60 | 330,000 | 298,189 | |
Series 2017-BNK7, Class A5, 3.44%, 9/15/60 | 100,000 | 90,104 | |
Series 2018-BN13, Class A5, 4.22%, 8/15/61 | 480,000 | 437,760 | |
Series 2019-BN19, Class C, 4.03%, 8/15/61(e) | 280,000 | 166,206 | |
Bayview Commercial Asset Trust, Series 2006-1A, Class A1, (1M CME Term SOFR + 0.52%), 5.84%, 4/25/36(b)(c) | 240,201 | 213,209 | |
Benchmark Mortgage Trust, | |||
Series 2018-B2, Class A5, 3.88%, 2/15/51 | 390,000 | 349,178 | |
Series 2019-B10, Class A4, 3.72%, 3/15/62 | 500,000 | 439,569 | |
Series 2019-B9, Class XA, 1.02%, 3/15/52(e) | 1,683,892 | 67,166 | |
Series 2020-IG1, Class AS, 2.91%, 9/15/43 | 720,000 | 532,378 | |
Series 2021-B25, Class XA, 1.09%, 4/15/54(e) | 6,698,694 | 359,877 | |
Series 2021-B27, Class XA, 1.26%, 7/15/54(e) | 5,223,215 | 336,512 | |
BHMS, Series 2018-ATLS, Class A, (1M CME Term SOFR + 1.55%, 1.50% Floor), 6.88%, 7/15/35(b)(c) | 190,000 | 186,672 | |
BX Commercial Mortgage Trust, | |||
Series 2021-SOAR, Class A, (1M CME Term SOFR + 0.78%, 0.67% Floor), 6.12%, 6/15/38(b)(c) | 622,031 | 609,360 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
BX Commercial Mortgage Trust, | |||
Series 2021-XL2, Class A, (1M CME Term SOFR + 0.80%, 0.69% Floor), 6.14%, 10/15/38(b)(c) | $ 828,846 | $808,593 | |
BXP Trust, Series 2017-GM, Class D, 3.42%, 6/13/39(b)(e) | 370,000 | 306,015 | |
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class D, (1M CME Term SOFR + 1.80%, 1.75% Floor), 7.13%, 12/15/37(b)(c) | 100,000 | 98,654 | |
CFK Trust, Series 2019-FAX, Class D, 4.64%, 1/15/39(b)(e) | 100,000 | 83,904 | |
Citigroup Commercial Mortgage Trust, | |||
Series 2014-GC23, Class B, 4.18%, 7/10/47 | 240,000 | 225,067 | |
Series 2016-P6, Class A4, 3.46%, 12/10/49 | 88,681 | 82,292 | |
Series 2017-C4, Class A4, 3.47%, 10/12/50 | 420,000 | 376,908 | |
Series 2019-SMRT, Class D, 4.74%, 1/10/36(b)(e) | 500,000 | 499,104 | |
Series 2019-SMRT, Class E, 4.74%, 1/10/36(b)(e) | 500,000 | 499,097 | |
Commercial Mortgage Trust, Series 2020-CX, Class A, 2.17%, 11/10/46(b) | 290,000 | 215,524 | |
CSMC OA LLC, Series 2014-USA, Class B, 4.18%, 9/15/37(b) | 530,000 | 408,727 | |
DBGS Mortgage Trust, Series 2019-1735, Class X, 0.29%, 4/10/37(b)(e) | 13,945,000 | 166,852 | |
GS Mortgage Securities Corp. Trust, | |||
Series 2020-DUNE, Class A, (1M CME Term SOFR + 1.21%, 1.10% Floor), 6.55%, 12/15/36(b)(c) | 960,000 | 942,467 | |
Series 2021-ROSS, Class A, (1M CME Term SOFR + 1.26%, 1.15% Floor), 6.60%, 5/15/26(b)(c) | 700,000 | 619,441 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
GS Mortgage Securities Trust, Series 2017-GS8, Class A4, 3.47%, 11/10/50 | $ 240,000 | $215,221 | |
HGI CRE CLO Ltd., Series 2021-FL1, Class A, (1M CME Term SOFR + 1.16%, 1.16% Floor), 6.50%, 6/16/36(b)(c) | 565,060 | 554,049 | |
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2022-NXSS, Class A, (1M CME Term SOFR + 2.18%, 2.18% Floor), 7.51%, 8/15/39(b)(c) | 120,000 | 119,999 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-MKST, Class D, (1M CME Term SOFR + 1.86%, 1.50% Floor), 7.20%, 12/15/36(b)(c)(n) | 710,000 | 234,648 | |
KREF Ltd., Series 2022-FL3, Class A, (1M CME Term SOFR + 1.45%, 1.45% Floor), 6.78%, 2/15/39(b)(c) | 820,000 | 799,512 | |
LSTAR Commercial Mortgage Trust, Series 2015-3, Class AS, 3.12%, 4/20/48(b)(e) | 31,198 | 30,154 | |
MF1 LLC, Series 2022-FL10, Class A, (1M CME Term SOFR + 2.64%, 2.64% Floor), 7.97%, 9/17/37(b)(c) | 800,000 | 801,594 | |
Morgan Stanley Capital I Trust, | |||
Series 2019-BPR, Class A, (1M CME Term SOFR + 1.99%, 1.40% Floor), 7.31%, 5/15/36(b)(c) | 310,737 | 300,631 | |
Series 2019-L2, Class XA, 1.00%, 3/15/52(e) | 2,496,874 | 99,948 | |
Multifamily Structured Pass Through Certificates, Series K124, Class X1, 0.72%, 12/25/30(e) | 4,979,198 | 196,119 | |
OPG Trust, Series 2021-PORT, Class A, (1M CME Term SOFR + 0.60%, 0.48% Floor), 5.93%, 10/15/36(b)(c) | 559,308 | 543,539 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
PFP Ltd., Series 2022-9, Class A, (1M CME Term SOFR + 2.27%, 2.27% Floor), 7.61%, 8/19/35(b)(c) | $ 120,000 | $ 119,374 | |
SFO Commercial Mortgage Trust, Series 2021-555, Class A, (1M CME Term SOFR + 1.26%, 1.15% Floor), 6.60%, 5/15/38(b)(c) | 200,000 | 182,472 | |
SMRT, Series 2022-MINI, Class A, (1M CME Term SOFR + 1.00%, 1.00% Floor), 6.34%, 1/15/39(b)(c) | 790,000 | 767,236 | |
Soho Trust, Series 2021-SOHO, Class A, 2.70%, 8/10/38(b)(e) | 846,000 | 578,435 | |
SREIT Trust, Series 2021-MFP, Class A, (1M CME Term SOFR + 0.85%, 0.73% Floor), 6.18%, 11/15/38(b)(c) | 800,000 | 782,708 | |
STWD Ltd., Series 2022-FL3, Class A, (30D Average SOFR + 1.35%, 1.35% Floor), 6.67%, 11/15/38(b)(c) | 430,000 | 414,978 | |
TRTX Issuer Ltd., Series 2022-FL5, Class A, (30D Average SOFR + 1.65%, 1.65% Floor), 6.97%, 2/15/39(b)(c) | 810,000 | 790,103 | |
VASA Trust, Series 2021-VASA, Class A, (1M CME Term SOFR + 1.01%, 0.90% Floor), 6.35%, 7/15/39(b)(c) | 410,000 | 366,738 | |
Wells Fargo Commercial Mortgage Trust, | |||
Series 2016-BNK1, Class B, 2.97%, 8/15/49 | 300,000 | 218,752 | |
Series 2017-C38, Class A5, 3.45%, 7/15/50 | 315,000 | 284,489 | |
19,499,940 | |||
Federal Home Loan Mortgage Corporation – 7.3% | |||
Multiclass Certificates, Series 2020-RR07, Class BX, 2.61%, 10/27/28 | 4,160,000 | 394,100 | |
Multifamily Structured Pass Through Certificates, | |||
Series K095, Class XAM, 1.24%, 6/25/29(e) | 500,000 | 29,115 |
Par (a) | Value | ||
Federal Home Loan Mortgage Corporation (Continued) | |||
Multifamily Structured Pass Through Certificates, | |||
Series K-1517, Class X1, 1.32%, 7/25/35(e) | $ 234,659 | $ 23,383 | |
Series K736, Class X1, 1.28%, 7/25/26(e) | 958,435 | 25,810 | |
Multifamily WI Certificates, Series K161, Class A2, 4.90%, 1/25/34 | 200,000 | 187,737 | |
Pool, | |||
3.65%, 10/01/29 | 600,000 | 541,792 | |
0.00%, 11/01/33(d) | 200,000 | 198,859 | |
3.50%, 1/01/34 - 6/01/52 | 1,273,793 | 1,096,692 | |
2.00%, 9/01/35 - 2/01/52 | 16,563,537 | 12,647,956 | |
1.50%, 4/01/36 - 2/01/51 | 2,855,715 | 2,155,865 | |
3.00%, 9/01/37 - 8/01/52 | 7,357,791 | 6,014,448 | |
4.00%, 1/01/45 - 2/01/53 | 4,685,603 | 4,120,696 | |
4.50%, 3/01/47 - 12/01/52 | 2,727,781 | 2,467,712 | |
(1Y Refinitiv USD IBOR Consumer Cash Fallbacks + 1.62%, 1.62% Floor, 7.87% Cap), 2.87%, 11/01/47(c) | 166,562 | 157,272 | |
4.00%, 1/01/48(d) | 329,788 | 290,513 | |
(1Y Refinitiv USD IBOR Consumer Cash Fallbacks + 1.63%, 1.63% Floor, 8.01% Cap), 3.01%, 11/01/48(c) | 589,385 | 543,833 | |
5.00%, 11/01/49 - 6/01/53 | 2,062,088 | 1,905,926 | |
(1Y Refinitiv USD IBOR Consumer Cash Fallbacks + 1.62%, 1.62% Floor, 8.10% Cap), 3.10%, 2/01/50(c) | 287,807 | 270,512 | |
2.50%, 7/01/50 - 4/01/52 | 13,887,943 | 10,822,025 | |
2.50%, 1/01/52(o) | 4,437,240 | 3,431,539 | |
6.00%, 11/01/52 - 6/01/53 | 1,325,839 | 1,294,703 | |
5.50%, 12/01/52 - 8/01/53 | 2,520,320 | 2,393,028 | |
6.50%, 2/01/53 - 5/01/53 | 1,032,119 | 1,028,105 | |
5.00%, 4/01/53(d) | 289,050 | 268,127 | |
5.50%, 4/01/53(d) | 95,153 | 90,303 | |
6.00%, 7/01/53 - 9/01/53(d) | 392,687 | 383,753 | |
Real Estate Mortgage Investment Conduits, | |||
Series 2019-RR01, Class X, 1.53%, 6/25/28 | 2,500,000 | 140,355 | |
Series 4391, Class MZ, 3.00%, 9/15/44 | 262,559 | 211,110 |
Par (a) | Value | ||
Federal Home Loan Mortgage Corporation (Continued) | |||
Real Estate Mortgage Investment Conduits, | |||
Series 5010, Class IK, 2.50%, 9/25/50 | $ 65,961 | $ 9,863 | |
Series 5010, Class JI, 2.50%, 9/25/50 | 313,572 | 47,584 | |
Series 5013, Class IN, 2.50%, 9/25/50 | 79,982 | 12,528 | |
Series 5018, Class MI, 2.00%, 10/25/50 | 247,954 | 32,340 | |
Series 5040, Class IB, 2.50%, 11/25/50 | 70,280 | 11,997 | |
Series 5052, Class KI, 4.00%, 12/25/50 | 176,118 | 35,531 | |
Series 5059, Class IB, 2.50%, 1/25/51 | 333,289 | 51,980 | |
Series 5069, Class MI, 2.50%, 2/25/51 | 74,744 | 10,723 | |
Series 5081, Class AI, 3.50%, 3/25/51 | 84,909 | 15,087 | |
Series 5081, Class PI, 3.00%, 3/25/51 | 192,231 | 31,193 | |
Series 5092, Class AP, 2.00%, 4/25/41 | 78,912 | 64,561 | |
Series 5112, Class KI, 3.50%, 6/25/51 | 407,105 | 74,447 | |
Series 5127, Class AI, 3.00%, 6/25/51 | 159,421 | 25,325 | |
Series 5129, Class IO, 3.00%, 9/25/50 | 93,656 | 15,645 | |
Series 5140, Class NI, 2.50%, 5/25/49 | 350,364 | 50,051 | |
Series 5145, Class HI, 3.00%, 9/25/51 | 76,054 | 12,104 | |
Series 5148, Class BI, 2.50%, 1/25/49 | 814,030 | 112,841 | |
Series 5148, Class CI, 2.00%, 6/25/49 | 455,184 | 50,160 | |
Series 5152, Class EI, 3.50%, 10/25/51 | 229,228 | 42,181 | |
Series 5155, Class NI, 3.00%, 10/25/51 | 151,179 | 21,772 | |
Series 5161, Class LI, 3.00%, 11/25/51 | 147,507 | 20,098 | |
Series 5164, Class IB, 3.00%, 11/25/51 | 71,950 | 11,012 | |
Series 5167, Class MI, 3.00%, 11/25/51 | 78,637 | 10,922 | |
Series 5196, Class DI, 3.00%, 2/25/52 | 263,166 | 41,843 | |
Series 5200, Class KQ, 3.00%, 9/25/49 | 80,185 | 69,301 | |
Series 5224, Class HL, 4.00%, 4/25/52 | 500,000 | 408,623 |
Par (a) | Value | ||
Federal Home Loan Mortgage Corporation (Continued) | |||
Real Estate Mortgage Investment Conduits, | |||
Series 5230, Class PE, 2.00%, 12/25/51 | $ 300,000 | $ 213,135 | |
Series 5274, Class IO, 2.50%, 1/25/51 | 659,776 | 105,805 | |
Strips, | |||
Series 334, Class S7, (5.99% - 30D Average SOFR, 6.10% Cap), 0.67%, 8/15/44(c) | 117,234 | 8,984 | |
Series 389, Class C45, 3.00%, 10/15/52 | 652,229 | 108,617 | |
54,861,522 | |||
Federal Home Loan Mortgage Corporation Gold – 0.4% | |||
Pool, | |||
3.00%, 10/01/32 - 12/01/32 | 525,200 | 487,675 | |
3.50%, 6/01/46 - 4/01/49 | 2,206,506 | 1,889,424 | |
4.50%, 4/01/47 - 4/01/49 | 556,561 | 509,402 | |
4.00%, 6/01/48 | 643,529 | 569,968 | |
5.00%, 11/01/48 | 29,212 | 27,472 | |
3,483,941 | |||
Federal National Mortgage Association – 11.4% | |||
Alternative Credit Enhancement Securities, | |||
Series 2013-M6, Class 1AC, 3.39%, 2/25/43(e) | 44,281 | 39,809 | |
Series 2019-M23, Class 3A3, 2.72%, 10/25/31(e) | 91,665 | 75,843 | |
Series 2019-M6, Class A2, 3.45%, 1/01/29 | 47,956 | 44,579 | |
Series 2020-M36, Class X1, 1.45%, 9/25/34(e) | 526,300 | 32,547 | |
Interest Strip, | |||
Series 409, Class C18, 4.00%, 4/25/42 | 7,632 | 1,407 | |
Series 427, Class C71, 3.00%, 10/25/49 | 455,741 | 75,685 | |
Series 427, Class C85, 3.50%, 8/25/49 | 179,007 | 32,419 | |
Series 428, Class C16, 3.00%, 3/25/50 | 283,449 | 49,109 | |
Series 437, Class C11, 3.00%, 7/25/52 | 993,168 | 170,825 | |
Pool, | |||
3.00%, 9/01/28 - 12/01/54 | 10,612,994 | 8,841,299 | |
5.34%, 9/01/28 | 100,000 | 99,095 | |
5.05%, 10/01/28 | 100,000 | 97,835 |
Par (a) | Value | ||
Federal National Mortgage Association (Continued) | |||
Pool, | |||
5.13%, 10/01/28 | $ 200,000 | $ 196,487 | |
3.78%, 1/01/29 | 194,787 | 180,042 | |
2.93%, 6/01/30 | 18,707 | 16,239 | |
2.15%, 2/01/32(e) | 19,890 | 15,488 | |
3.35%, 6/01/32 | 100,000 | 84,664 | |
3.84%, 7/01/32 | 100,000 | 87,905 | |
3.89%, 7/01/32 | 200,000 | 173,442 | |
4.06%, 7/01/32 | 100,000 | 87,802 | |
4.84%, 10/01/32 | 98,808 | 93,650 | |
5.18%, 11/01/32 | 100,000 | 96,759 | |
2.50%, 12/01/33 - 9/01/61 | 20,947,864 | 16,476,717 | |
3.50%, 1/01/34 - 6/01/52 | 6,644,691 | 5,681,753 | |
2.00%, 9/01/35 - 3/01/52 | 22,887,285 | 17,335,239 | |
1.50%, 3/01/36 - 3/01/51 | 4,973,869 | 3,694,930 | |
4.50%, 11/01/43 - 1/01/59 | 5,007,601 | 4,546,842 | |
4.00%, 4/01/44 - 7/01/52 | 14,355,602 | 12,626,553 | |
5.00%, 8/01/48 - 7/01/53 | 2,719,457 | 2,535,821 | |
3.50%, 1/01/51(o) | 2,028,812 | 1,728,964 | |
4.00%, 5/01/51 - 10/01/51(d) | 1,671,598 | 1,472,452 | |
3.00%, 9/01/51(d) | 78,761 | 63,425 | |
5.50%, 11/01/52 - 7/01/53(d) | 572,559 | 543,701 | |
6.00%, 11/01/52 - 8/01/53 | 2,724,968 | 2,658,517 | |
5.50%, 1/01/53 - 9/01/53 | 3,547,482 | 3,367,858 | |
6.50%, 1/01/53 | 274,275 | 274,007 | |
6.00%, 7/01/53(d) | 96,978 | 95,213 | |
Real Estate Mortgage Investment Conduits, | |||
Series 2012-118, Class VZ, 3.00%, 11/25/42 | 130,714 | 111,247 | |
Series 2013-54, Class BS, (6.04% - 30D Average SOFR, 6.15% Cap), 0.71%, 6/25/43(c) | 17,095 | 1,410 | |
Series 2014-6, Class Z, 2.50%, 2/25/44 | 255,140 | 201,225 | |
Series 2015-65, Class CZ, 3.50%, 9/25/45 | 266,063 | 198,709 | |
Series 2018-74, Class AB, 3.50%, 10/25/48 | 165,952 | 140,943 | |
Series 2020-32, Class PI, 4.00%, 5/25/50 | 83,872 | 17,526 | |
Series 2020-47, Class GZ, 2.00%, 7/25/50 | 213,776 | 105,685 | |
Series 2020-56, Class AQ, 2.00%, 8/25/50 | 700,000 | 493,481 |
Par (a) | Value | ||
Federal National Mortgage Association (Continued) | |||
Real Estate Mortgage Investment Conduits, | |||
Series 2020-56, Class DI, 2.50%, 8/25/50 | $ 76,455 | $ 11,731 | |
Series 2020-57, Class TA, 2.00%, 4/25/50 | 199,239 | 163,707 | |
Series 2020-74, Class EI, 2.50%, 10/25/50 | 74,789 | 12,007 | |
Series 2020-77, Class HI, 4.00%, 11/25/50 | 264,645 | 53,261 | |
Series 2020-89, Class DI, 2.50%, 12/25/50 | 222,278 | 34,016 | |
Series 2020-97, Class AI, 2.00%, 1/25/51 | 434,721 | 57,481 | |
Series 2021-1, Class IG, 2.50%, 2/25/51 | 168,655 | 27,831 | |
Series 2021-3, Class MI, 3.50%, 2/25/51 | 154,902 | 28,132 | |
Series 2021-3, Class QI, 2.50%, 2/25/51 | 700,163 | 108,259 | |
Series 2021-31, Class IB, 4.00%, 6/25/51 | 233,893 | 46,410 | |
Series 2021-50, Class IO, 4.00%, 8/25/51 | 256,542 | 49,512 | |
Series 2021-61, Class KI, 2.50%, 4/25/49 | 529,036 | 74,267 | |
Series 2021-65, Class JA, 2.00%, 1/25/46 | 73,885 | 61,261 | |
Series 2021-69, Class IJ, 2.50%, 1/25/49 | 821,760 | 112,271 | |
Series 2022-57, Class BC, 4.00%, 9/25/52 | 89,348 | 80,139 | |
Series 2023-39, Class IO, 3.00%, 10/25/52 | 885,719 | 147,472 | |
86,032,905 | |||
Government National Mortgage Association – 3.3% | |||
Pool, | |||
3.00%, 11/01/50(d) | 1,476,271 | 1,216,554 | |
2.00%, 11/01/52(d) | 2,592,900 | 1,998,863 | |
2.50%, 11/01/52(d) | 2,047,488 | 1,630,472 | |
4.50%, 11/01/52(d) | 1,538,000 | 1,389,583 | |
3.50%, 11/01/53(d) | 3,060,000 | 2,607,853 | |
4.00%, 11/01/53(d) | 1,582,000 | 1,390,491 | |
5.00%, 11/01/53(d) | 2,056,000 | 1,912,963 | |
5.50%, 11/01/53 - 1/01/54(d) | 2,042,000 | 2,010,397 | |
6.00%, 11/01/53 - 1/01/54(d) | 2,645,000 | 2,651,557 | |
6.50%, 11/01/53 - 1/01/54(d) | 1,769,000 | 1,761,015 | |
Series 2013-107, Class AD, 2.84%, 11/16/47(e) | 74,160 | 63,328 | |
Series 2014-17, Class AM, 3.54%, 6/16/48(e) | 7,694 | 7,063 |
Par (a) | Value | ||
Government National Mortgage Association (Continued) | |||
Pool, | |||
Series 2014-H20, Class FA, (1M CME Term SOFR + 0.54%, 0.43% Floor), 5.87%, 10/20/64(c) | $ 133,271 | $132,343 | |
Series 2018-168, Class PA, 4.00%, 8/20/48 | 86,235 | 77,690 | |
Series 2019-18, Class TP, 3.50%, 2/20/49 | 91,710 | 78,506 | |
Series 2020-103, Class AD, 1.45%, 1/16/63 | 583,500 | 414,088 | |
Series 2020-123, Class IL, 2.50%, 8/20/50 | 70,304 | 9,159 | |
Series 2020-123, Class NI, 2.50%, 8/20/50 | 150,109 | 20,162 | |
Series 2020-127, Class IN, 2.50%, 8/20/50 | 73,821 | 10,021 | |
Series 2020-129, Class IE, 2.50%, 9/20/50 | 75,823 | 10,358 | |
Series 2020-144, Class IO, 2.50%, 9/20/50 | 133,735 | 17,755 | |
Series 2020-146, Class DI, 2.50%, 10/20/50 | 69,672 | 9,285 | |
Series 2020-151, Class MI, 2.50%, 10/20/50 | 139,615 | 18,434 | |
Series 2020-160, Class IH, 2.50%, 10/20/50 | 79,243 | 10,710 | |
Series 2020-160, Class VI, 2.50%, 10/20/50 | 76,640 | 10,849 | |
Series 2020-160, Class YI, 2.50%, 10/20/50 | 232,061 | 32,975 | |
Series 2020-181, Class WI, 2.00%, 12/20/50 | 366,734 | 39,316 | |
Series 2020-185, Class MI, 2.50%, 12/20/50 | 73,292 | 9,727 | |
Series 2020-190, Class IO, 1.05%, 11/16/62(e) | 3,034,954 | 219,879 | |
Series 2020-47, Class MI, 3.50%, 4/20/50 | 246,431 | 42,329 | |
Series 2020-47, Class NI, 3.50%, 4/20/50 | 69,352 | 11,518 | |
Series 2020-H04, Class FP, (1M CME Term SOFR + 0.61%, 0.50% Floor), 5.47%, 6/20/69(c) | 168,379 | 167,034 | |
Series 2020-H09, Class FL, (1M CME Term SOFR + 1.26%, 1.15% Floor), 4.85%, 5/20/70(c) | 123,708 | 122,500 | |
Series 2020-H13, Class FA, (1M CME Term SOFR + 0.56%, 0.45% Floor, 7.50% Cap), 5.01%, 7/20/70(c) | 695,352 | 671,640 |
Par (a) | Value | ||
Government National Mortgage Association (Continued) | |||
Pool, | |||
Series 2020-H13, Class FM, (1M CME Term SOFR + 0.51%, 0.40% Floor, 11.00% Cap), 5.84%, 8/20/70(c) | $ 123,517 | $121,702 | |
Series 2021-14, Class AB, 1.34%, 6/16/63 | 289,217 | 208,235 | |
Series 2021-15, Class GI, 3.50%, 1/20/51 | 68,399 | 11,907 | |
Series 2021-161, Class IB, 4.00%, 9/20/51 | 62,638 | 11,840 | |
Series 2021-176, Class IA, 3.50%, 10/20/51 | 65,228 | 11,349 | |
Series 2021-188, Class PA, 2.00%, 10/20/51 | 928,608 | 730,344 | |
Series 2021-21, Class AH, 1.40%, 6/16/63 | 435,153 | 314,744 | |
Series 2021-214, Class AI, 4.00%, 12/20/51 | 94,427 | 17,851 | |
Series 2021-215, Class LI, 3.00%, 12/20/51 | 81,970 | 11,923 | |
Series 2021-29, Class AG, 5.00%, 2/20/51 | 74,244 | 69,208 | |
Series 2021-29, Class TI, 2.50%, 2/20/51 | 455,380 | 79,313 | |
Series 2021-5, Class IO, 1.11%, 1/16/61(e) | 3,229,339 | 233,192 | |
Series 2021-58, Class IY, 3.00%, 2/20/51 | 741,669 | 113,945 | |
Series 2021-67, Class QI, 3.00%, 4/20/51 | 74,679 | 11,390 | |
Series 2021-76, Class JI, 3.00%, 8/20/50 | 76,695 | 11,679 | |
Series 2021-78, Class IP, 3.00%, 5/20/51 | 703,479 | 109,039 | |
Series 2021-8, Class AQ, 5.00%, 1/20/51 | 74,063 | 70,490 | |
Series 2021-83, Class PI, 3.00%, 5/20/51 | 308,857 | 45,811 | |
Series 2021-96, Class MI, 3.00%, 6/20/51 | 134,105 | 20,465 | |
Series 2021-96, Class VI, 2.50%, 6/20/51 | 1,540,654 | 209,391 | |
Series 2021-97, Class LI, 3.00%, 8/20/50 | 897,067 | 138,104 | |
Series 2022-139, Class AL, 4.00%, 7/20/51 | 200,000 | 162,610 | |
Series 2022-189, Class PT, 2.50%, 10/20/51 | 94,326 | 72,201 | |
Series 2022-196, Class BE, 3.00%, 10/16/64(e) | 100,000 | 64,629 | |
Series 2022-220, Class E, 3.00%, 10/16/64 | 200,000 | 132,526 |
Par (a) | Value | ||
Government National Mortgage Association (Continued) | |||
Pool, | |||
Series 2022-3, Class IO, 0.64%, 2/16/61(e) | $ 96,773 | $ 4,675 | |
Series 2022-4, Class Z, 1.90%, 3/16/64 | 206,756 | 79,436 | |
Series 2022-63, Class LM, 3.50%, 10/20/50 | 400,000 | 298,564 | |
Series 2022-78, Class IO, 3.00%, 8/20/51 | 79,929 | 12,416 | |
Series 2022-82, Class Z, 2.00%, 2/16/64 | 925,843 | 451,595 | |
Series 2022-85, Class IK, 3.00%, 5/20/51 | 412,185 | 63,889 | |
24,670,880 | |||
Government National Mortgage Association II – 3.4% | |||
Pool, | |||
3.00%, 9/15/42 - 12/20/52 | 6,843,297 | 5,647,508 | |
3.50%, 3/20/45 - 12/20/52 | 3,201,717 | 2,748,257 | |
4.00%, 8/20/46 - 4/20/53 | 2,616,942 | 2,330,748 | |
4.50%, 4/20/47 - 9/20/52 | 2,727,858 | 2,490,418 | |
5.00%, 5/20/48 - 5/20/53 | 3,117,921 | 2,917,186 | |
2.50%, 10/20/49 - 1/20/53 | 6,039,860 | 4,799,877 | |
2.00%, 8/20/50 - 3/20/51 | 2,756,675 | 2,132,468 | |
5.50%, 11/20/52 - 8/20/53 | 1,851,411 | 1,773,091 | |
6.00%, 7/20/53 | 695,012 | 681,230 | |
25,520,783 | |||
Uniform Mortgage-Backed Securities – 5.9% | |||
Pool, | |||
1.50%, 11/01/38 - 11/01/53(d) | 278,318 | 204,961 | |
2.00%, 11/01/38 - 11/01/52(d) | 4,367,235 | 3,250,674 | |
2.50%, 11/01/38 - 11/01/52(d) | 874,000 | 705,077 | |
3.50%, 11/01/38 - 11/01/52(d) | 1,159,000 | 968,710 | |
4.00%, 11/01/38(d) | 160,000 | 149,153 | |
4.50%, 11/01/38 - 11/01/53(d) | 5,266,000 | 4,715,306 | |
3.00%, 11/01/52(d) | 11,061,047 | 8,848,947 | |
5.50%, 1/01/53 - 11/01/53(d) | 8,577,591 | 8,135,309 | |
6.00%, 1/01/53 - 11/01/53(d) | 7,946,300 | 7,729,213 | |
5.00%, 11/01/53(d) | �� | 8,970,745 | 8,269,906 |
6.50%, 1/01/54(d) | 1,900,000 | 1,886,632 | |
44,863,888 |
Par (a) | Value | ||
Whole Loan – 1.9% | |||
Adjustable Rate Mortgage Trust, Series 2005-9, Class 5A1, (1M CME Term SOFR + 0.65%, 0.54% Floor, 11.00% Cap), 5.98%, 11/25/35(c) | $ 66,254 | $ 64,529 | |
Angel Oak Mortgage Trust, Series 2022-3, Class A1, 4.00%, 1/10/67(b) | 691,653 | 604,922 | |
Bayview Commercial Asset Trust, Series 2007-4A, Class A1, (1M CME Term SOFR + 0.79%, 0.68% Floor), 6.11%, 9/25/37(b)(c) | 233,024 | 208,567 | |
CIM Trust, Series 2021-R6, Class A1, 1.43%, 7/25/61(b) | 237,146 | 198,446 | |
COLT Mortgage Loan Trust, Series 2022-2, Class A1, (Step to 3.96% on 3/25/26), 2.99%, 2/25/67(b)(f) | 158,659 | 134,971 | |
CSMC, | |||
Series 2019-NQM1, Class A2, (Step to 3.86% on 12/25/23), 2.86%, 10/25/59(b)(f) | 201,243 | 192,393 | |
Series 2021-NQM2, Class A3, 1.54%, 2/25/66(b) | 79,133 | 63,920 | |
Series 2021-NQM6, Class A3, 1.59%, 7/25/66(b) | 583,805 | 443,139 | |
Series 2021-NQM7, Class A1, 1.76%, 10/25/66(b) | 139,252 | 109,896 | |
Series 2022-NQM1, Class A1, 2.27%, 11/25/66(b)(e) | 653,118 | 529,332 | |
CSMC Trust, | |||
Series 2021-RPL2, Class A1, 2.00%, 1/25/60(b) | 111,349 | 91,666 | |
Series 2021-RPL4, Class A1, 1.80%, 12/27/60(b)(e) | 145,239 | 133,942 | |
Series 2021-RPL6, Class A1, 2.00%, 10/25/60(b) | 137,356 | 116,476 | |
Deephaven Residential Mortgage Trust, Series 2022-1, Class A1, 2.21%, 1/25/67(b) | 371,536 | 318,178 | |
Ellington Financial Mortgage Trust, | |||
Series 2021-2, Class A1, 0.93%, 6/25/66(b) | 291,415 | 220,164 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Ellington Financial Mortgage Trust, | |||
Series 2022-1, Class A1, 2.21%, 1/25/67(b) | $176,998 | $141,054 | |
FNMA Connecticut Avenue Securities, Series 2016-C03, Class 1M2, (30D Average SOFR + 5.41%), 10.74%, 10/25/28(c) | 138,306 | 147,625 | |
Freddie Mac STACR Debt Notes, Series 2021-DNA2, Class M2, (30D Average SOFR + 2.30%), 7.62%, 8/25/33(b)(c) | 172,101 | 172,746 | |
Freddie Mac STACR REMIC Trust, | |||
Series 2021-DNA6, Class M2, (30D Average SOFR + 1.50%), 6.82%, 10/25/41(b)(c) | 580,000 | 571,192 | |
Series 2022-DNA2, Class M1A, (30D Average SOFR + 1.30%), 6.62%, 2/25/42(b)(c) | 394,469 | 394,276 | |
Series 2022-DNA3, Class M1B, (30D Average SOFR + 2.90%), 8.22%, 4/25/42(b)(c) | 550,000 | 560,312 | |
Series 2022-DNA4, Class M1A, (30D Average SOFR + 2.20%), 7.52%, 5/25/42(b)(c) | 183,740 | 186,093 | |
Series 2022-DNA2, Class M1B, (30D Average SOFR + 2.40%), 7.72%, 2/25/42(b)(c) | 200,000 | 200,374 | |
GSR Mortgage Loan Trust, Series 2007-1F, Class 2A4, 5.50%, 1/25/37 | 106,658 | 136,712 | |
HarborView Mortgage Loan Trust, | |||
Series 2005-9, Class 2A1B, (1M CME Term SOFR + 0.85%, 0.74% Floor, 11.00% Cap), 6.19%, 6/20/35(c) | 129,748 | 115,104 | |
Series 2005-9, Class 2A1C, (1M CME Term SOFR + 1.01%, 0.90% Floor, 11.00% Cap), 6.35%, 6/20/35(c) | 478,285 | 421,899 | |
Impac CMB Trust, Series 2007-A, Class A, (1M CME Term SOFR + 0.61%, 0.50% Floor, 11.50% Cap), 5.94%, 5/25/37(b)(c) | 158,449 | 145,289 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Legacy Mortgage Asset Trust, | |||
Series 2021-GS2, Class A1, (Step to 4.75% on 5/25/24), 1.75%, 4/25/61(b)(f) | $261,189 | $241,087 | |
Series 2021-GS5, Class A1, (Step to 5.25% on 12/25/24), 2.25%, 7/25/67(b)(f) | 156,184 | 143,676 | |
MASTR Asset Securitization Trust, | |||
Series 2007-1, Class 1A4, 6.50%, 11/25/37 | 568,118 | 137,842 | |
Series 2007-2, Class A2, 6.25%, 1/25/38 | 322,543 | 175,534 | |
Merrill Lynch Mortgage Investors Trust, Series 2004-A1, Class 2A2, 4.67%, 2/25/34(e) | 202,954 | 181,041 | |
Mill City Mortgage Loan Trust, Series 2019-1, Class A1, 3.25%, 10/25/69(b) | 247,676 | 231,973 | |
Morgan Stanley Resecuritization Trust, Series 2015-R2, Class 2A1, (12MTA + 1.09%, 1.09% Floor), 4.97%, 12/26/46(b)(c) | 23,609 | 23,359 | |
New Residential Mortgage Loan Trust, | |||
Series 2015-2A, Class A1, 3.75%, 8/25/55(b) | 194,974 | 176,115 | |
Series 2017-2A, Class B2, 4.75%, 3/25/57(b)(e) | 227,144 | 206,868 | |
Series 2018-3A, Class A1, 4.50%, 5/25/58(b)(e) | 549,569 | 510,499 | |
Series 2018-RPL1, Class M2, 3.50%, 12/25/57(b) | 280,000 | 206,228 | |
Series 2019-6A, Class A1B, 3.50%, 9/25/59(b)(e) | 518,483 | 464,700 | |
Series 2019-6A, Class B3C, 3.75%, 9/25/59(b)(e) | 520,430 | 447,015 | |
Series 2019-NQM4, Class A1, 2.49%, 9/25/59(b) | 80,319 | 72,360 | |
Series 2021-NQM3, Class A1, 1.16%, 11/27/56(b) | 161,651 | 128,105 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
New Residential Mortgage Loan Trust, | |||
Series 2022-NQM4, Class A1, (Step to 4.98% on 7/25/25), 5.00%, 6/25/62(b)(f) | $220,176 | $205,627 | |
OBX Trust, | |||
Series 2021-NQM2, Class A1, 1.10%, 5/25/61(b) | 490,095 | 356,135 | |
Series 2021-NQM3, Class A1, 1.05%, 7/25/61(b) | 166,444 | 119,534 | |
Series 2022-NQM1, Class A1, 2.31%, 11/25/61(b) | 635,106 | 516,573 | |
PRKCM Trust, Series 2021-AFC2, Class A1, 2.07%, 11/25/56(b) | 174,125 | 138,053 | |
Residential Mortgage Loan Trust, | |||
Series 2019-2, Class A1, 2.91%, 5/25/59(b) | 13,862 | 13,700 | |
Series 2020-2, Class A1, 1.65%, 5/25/60(b) | 32,845 | 32,289 | |
SG Residential Mortgage Trust, | |||
Series 2022-1, Class A1, 3.17%, 3/27/62(b)(e) | 704,389 | 599,711 | |
Series 2022-2, Class A1, (Step to 5.31% on 4/25/24), 5.35%, 8/25/62(b)(f) | 686,890 | 657,690 | |
Towd Point Mortgage Trust, | |||
Series 2016-3, Class B1, 4.12%, 4/25/56(b)(e) | 190,000 | 175,118 | |
Series 2017-4, Class B2, 3.62%, 6/25/57(b)(e) | 330,000 | 229,593 | |
Series 2019-HY2, Class A1, (1M CME Term SOFR + 1.11%, 1.00% Floor), 6.44%, 5/25/58(b)(c) | 512,926 | 516,018 | |
Series 2020-2, Class M1B, 3.00%, 4/25/60(b)(e) | 240,000 | 158,762 | |
Series 2022-4, Class A1, 3.75%, 9/25/62(b) | 486,617 | 431,185 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Voyager OPTONE Delaware Trust, Series 2009-1, Class SAA7, 5.72%, 2/25/38(b)(e) | $170,068 | $ 38,294 | |
WaMu Mortgage Pass-Through Certificates, Series 2006-AR13, Class 1A, (12MTA + 0.88%, 0.88% Floor), 5.68%, 10/25/46(c) | 262,416 | 210,724 | |
14,368,625 | |||
Total Mortgage-Backed Securities (Cost $303,872,495) | 273,302,484 | ||
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 | 168,813 | |
California State Taxable GO Unlimited Refunding Bonds, 4.60%, 4/01/38 | 215,000 | 187,285 | |
California State Various Purpose Taxable GO Unlimited Bonds, Build America Bonds, | |||
7.50%, 4/01/34 | 65,000 | 72,753 | |
7.55%, 4/01/39 | 20,000 | 22,822 | |
Los Angeles Community College District GO Unlimited Bonds, Build America Bonds, 6.60%, 8/01/42 | 45,000 | 47,195 | |
Los Angeles Unified School District GO Unlimited Bonds, Series RY, Build America Bonds, 6.76%, 7/01/34 | 215,000 | 227,246 | |
University of California Taxable General Revenue Bonds, Series AD, 4.86%, 5/15/12(p) | 25,000 | 19,520 | |
745,634 | |||
Georgia – 0.0%(h) | |||
Municipal Electric Authority of Georgia Taxable Revenue Bonds, Build America Bonds, 6.64%, 4/01/57 | 39,000 | 39,754 | |
Illinois – 0.1% | |||
Illinois State Taxable GO Unlimited Pension Bonds, 5.10%, 6/01/33 | 380,000 | 352,088 |
Par (a) | Value | ||
Louisiana – 0.0%(h) | |||
Louisiana State Local Government Environmental Facilities & Community Development Authority Taxable Revenue Bonds, Louisiana Utilities Restoration Corp. Project, 4.15%, 2/01/33 | $ 70,000 | $ 64,917 | |
New Jersey – 0.0%(h) | |||
New Jersey State Turnpike Authority Taxable Revenue Bonds, Build America Bonds, 7.41%, 1/01/40 | 106,000 | 119,177 | |
New York – 0.1% | |||
MTA Revenue Bonds, Build America Bonds, | |||
6.67%, 11/15/39 | 70,000 | 69,902 | |
5.87%, 11/15/39 | 45,000 | 42,490 | |
New York City Municipal Water Finance Authority Water & Sewer System Second General Resolution Taxable Revenue Bonds, 5.88%, 6/15/44 | 30,000 | 29,066 | |
New York City Municipal Water Finance Authority Water & Sewer System Taxable Revenue Bonds, Build America Bonds, 6.01%, 6/15/42 | 65,000 | 64,335 | |
New York State Dormitory Authority Personal Income TRB, Build America Bonds, 5.39%, 3/15/40 | 30,000 | 28,126 | |
Port Authority of New York & New Jersey Consolidated 164th Taxable Revenue Bonds, 5.65%, 11/01/40 | 35,000 | 33,378 | |
Port Authority of New York & New Jersey Consolidated 168th Revenue Bonds, 4.93%, 10/01/51 | 55,000 | 47,124 | |
Port Authority of New York & New Jersey Consolidated Taxable Revenue Bonds, Series 181, 4.96%, 8/01/46 | 60,000 | 51,120 | |
365,541 |
Par (a) | Value | ||
Ohio – 0.0%(h) | |||
American Municipal Power-Ohio, Inc., Taxable Revenue Bonds, Series B, Combined Hydroelectric Projects, 8.08%, 2/15/50 | $ 75,000 | $ 91,030 | |
Texas – 0.0%(h) | |||
San Antonio Electric & Gas Junior Lien Revenue Bonds, Build America Bonds, 5.81%, 2/01/41 | 75,000 | 72,738 | |
Texas State Taxable GO Unlimited Bonds, Build America Bonds, 5.52%, 4/01/39 | 115,000 | 110,509 | |
183,247 | |||
Washington – 0.0%(h) | |||
Seattle Municipal Light & Power Improvement Revenue Bonds, 5.00%, 4/01/44 | 275,000 | 278,056 | |
Total Municipal Bonds (Cost $2,800,775) | 2,239,444 | ||
Term Loans – 0.0%(c)(h) | |||
Chemicals – 0.0%(h) | |||
Bakelite US Holdco, Inc., Initial Loan, (3M USD CME Term SOFR + 4.00%, 0.50% Floor), 9.54%, 5/29/29 | 90 | 87 | |
Construction Materials – 0.0%(h) | |||
CP Iris Holdco I, Inc., Delayed Draw Term Loan, 10/02/28(q)(r) | 99 | 96 | |
Publishing & Broadcasting – 0.0%(h) | |||
Gray Television, Inc., Term D Loan, (1M USD CME Term SOFR + 3.00%), 8.43%, 12/01/28 | 90 | 86 | |
Software – 0.0%(h) | |||
ConnectWise LLC, Initial Term Loan, (1M USD CME Term SOFR + 3.50%, 0.50% Floor), 8.94%, 9/29/28 | 23,078 | 22,420 | |
Total Term Loans (Cost $23,251) | 22,689 | ||
U.S. Government Obligations – 13.5% | |||
U.S. Treasury Bonds – 4.6% | |||
4.25%, 5/15/39 | 44,000 | 39,708 | |
4.50%, 8/15/39 | 44,000 | 40,812 |
Par (a) | Value | ||
U.S. Treasury Bonds (Continued) | |||
4.38%, 11/15/39 | $ 44,000 | $ 40,098 | |
4.63%, 2/15/40 | 318,000 | 298,249 | |
1.13%, 5/15/40 | 953,000 | 519,273 | |
3.88%, 8/15/40 | 318,000 | 270,201 | |
1.13%, 8/15/40 | 953,000 | 514,583 | |
4.25%, 11/15/40 | 911,700 | 811,555 | |
1.38%, 11/15/40 | 953,000 | 537,142 | |
4.75%, 2/15/41 | 1,090,200 | 1,031,942 | |
4.38%, 5/15/41 | 496,500 | 447,936 | |
2.00%, 11/15/41 | 6,010,000 | 3,720,096 | |
2.75%, 8/15/42 | 2,960,000 | 2,071,653 | |
4.00%, 11/15/42 | 730,100 | 618,931 | |
3.13%, 2/15/43 | 170,000 | 125,760 | |
3.88%, 2/15/43 | 664,500 | 552,470 | |
2.88%, 5/15/43 | 170,000 | 120,242 | |
3.88%, 5/15/43 | 5,750,000 | 4,775,195 | |
3.63%, 8/15/43 | 973,000 | 776,196 | |
4.38%, 8/15/43 | 1,350,000 | 1,204,031 | |
3.75%, 11/15/43 | 973,000 | 789,688 | |
3.00%, 11/15/44 | 3,040,000 | 2,158,756 | |
2.50%, 2/15/45(o) | 2,723,000 | 1,757,292 | |
3.00%, 5/15/45 | 2,450,000 | 1,731,748 | |
2.88%, 11/15/46 | 166,000 | 112,887 | |
2.75%, 11/15/47(o) | 2,873,000 | 1,890,456 | |
3.00%, 2/15/48(o) | 586,000 | 404,500 | |
2.25%, 8/15/49(o) | 993,000 | 579,974 | |
1.38%, 8/15/50 | 2,188,700 | 996,372 | |
2.38%, 5/15/51 | 3,000 | 1,787 | |
2.00%, 8/15/51 | 810,000 | 437,906 | |
1.88%, 11/15/51 | 809,000 | 421,944 | |
2.25%, 2/15/52 | 3,000 | 1,727 | |
3.00%, 8/15/52 | 18,000 | 12,347 | |
4.00%, 11/15/52 | 803,000 | 671,070 | |
3.63%, 2/15/53(g) | 684,000 | 532,986 | |
3.63%, 5/15/53(g) | 2,904,500 | 2,264,149 | |
4.13%, 8/15/53 | 1,754,000 | 1,500,492 | |
34,782,154 | |||
U.S. Treasury Notes – 8.9% | |||
1.13%, 1/15/33 | 2,980,000 | 2,720,957 | |
4.50%, 11/30/24 | 128,000 | 126,735 | |
1.75%, 12/31/24(o) | 5,759,000 | 5,524,816 | |
4.25%, 12/31/24 | 919,000 | 907,261 | |
2.00%, 2/15/25 | 419,000 | 401,864 | |
3.88%, 3/31/25 | 1,231,000 | 1,208,015 | |
0.38%, 4/30/25 | 10,559,000 | 9,827,707 | |
3.88%, 4/30/25 | 246,000 | 241,234 | |
2.13%, 5/15/25 | 361,000 | 344,642 | |
2.75%, 5/15/25 | 1,554,800 | 1,498,317 | |
2.88%, 6/15/25 | 1,600,000 | 1,542,812 | |
0.25%, 6/30/25 | 1,490,000 | 1,374,292 |
Par (a) | Value | ||
U.S. Treasury Notes (Continued) | |||
3.00%, 7/15/25 | $ 154,000 | $ 148,598 | |
0.25%, 7/31/25 | 1,562,000 | 1,435,271 | |
4.75%, 7/31/25 | 30,000 | 29,804 | |
3.13%, 8/15/25 | 213,000 | 205,720 | |
3.50%, 9/15/25 | 2,090,000 | 2,029,912 | |
4.50%, 11/15/25 | 456,000 | 451,013 | |
0.38%, 11/30/25 | 4,000 | 3,634 | |
4.00%, 12/15/25 | 2,098,000 | 2,053,909 | |
3.88%, 1/15/26 | 90,000 | 87,855 | |
0.50%, 2/28/26 | 1,655,800 | 1,493,842 | |
4.63%, 3/15/26 | 70,000 | 69,423 | |
3.75%, 4/15/26 | 614,000 | 596,779 | |
3.63%, 5/15/26 | 282,000 | 273,143 | |
0.75%, 5/31/26 | 166,000 | 149,264 | |
0.88%, 6/30/26 | 1,606,000 | 1,446,780 | |
0.63%, 7/31/26 | 993,000 | 884,817 | |
1.50%, 8/15/26 | 480,000 | 437,550 | |
4.38%, 8/15/26 | 126,000 | 124,199 | |
4.63%, 9/15/26(g) | 50,000 | 49,633 | |
4.63%, 10/15/26 | 268,000 | 266,011 | |
2.00%, 11/15/26 | 1,337,000 | 1,228,525 | |
1.63%, 11/30/26 | 1,986,000 | 1,802,295 | |
1.88%, 2/28/27 | 537,000 | 487,768 | |
0.50%, 4/30/27 | 534,000 | 459,428 | |
2.38%, 5/15/27 | 528,000 | 485,183 | |
0.50%, 5/31/27 | 93,000 | 79,737 | |
2.75%, 7/31/27 | 2,000 | 1,855 | |
2.25%, 8/15/27(o) | 2,202,000 | 2,002,960 | |
3.13%, 8/31/27 | 5,000 | 4,695 | |
0.38%, 9/30/27 | 673,000 | 566,082 | |
4.13%, 10/31/27 | 37,000 | 35,997 | |
0.63%, 11/30/27 | 6,000 | 5,066 | |
3.88%, 11/30/27 | 1,860,000 | 1,791,921 | |
3.88%, 12/31/27 | 31,000 | 29,854 | |
3.50%, 1/31/28 | 7,000 | 6,637 | |
4.00%, 2/29/28 | 12,000 | 11,604 | |
3.50%, 4/30/28 | 51,000 | 48,259 | |
4.13%, 7/31/28(g) | 255,000 | 247,380 | |
4.38%, 8/31/28 | 20,000 | 19,619 | |
1.25%, 9/30/28 | 87,000 | 73,342 | |
3.13%, 11/15/28 | 283,000 | 260,946 | |
1.38%, 12/31/28 | 3,000 | 2,524 | |
2.63%, 2/15/29 | 471,000 | 421,729 | |
2.38%, 3/31/29 | 4,000 | 3,522 | |
2.38%, 5/15/29 | 471,000 | 413,799 | |
3.88%, 9/30/29 | 1,100,800 | 1,041,890 | |
4.00%, 10/31/29(g)(o) | 1,985,700 | 1,890,991 | |
3.88%, 12/31/29(o) | 5,083,000 | 4,800,060 | |
3.50%, 1/31/30 | 61,000 | 56,346 | |
1.50%, 2/15/30 | 747,000 | 610,702 | |
4.00%, 2/28/30 | 17,000 | 16,146 |
Par (a) | Value | ||
U.S. Treasury Notes (Continued) | |||
3.75%, 5/31/30 | $ 552,000 | $ 515,732 | |
4.00%, 7/31/30 | 146,000 | 138,301 | |
4.13%, 8/31/30 | 2,556,500 | 2,438,661 | |
4.63%, 9/30/30 | 10,000 | 9,831 | |
1.63%, 5/15/31 | 1,318,000 | 1,049,406 | |
1.25%, 8/15/31 | 2,694,000 | 2,063,436 | |
2.88%, 5/15/32 | 5,600 | 4,805 | |
2.75%, 8/15/32 | 1,813,700 | 1,534,277 | |
4.13%, 11/15/32 | 356,000 | 335,391 | |
3.38%, 5/15/33(g) | 1,274,000 | 1,126,495 | |
3.88%, 8/15/33(g) | 1,106,000 | 1,018,038 | |
67,097,044 | |||
Total U.S. Government Obligations (Cost $116,228,268) | 101,879,198 |
Number of Shares | |||
Investment Companies – 28.3% | |||
BlackRock Allocation Target Shares - BATS, Series A | 6,455,774 | 59,070,337 | |
iShares U.S. Treasury Bond ETF | 4,781,729 | 103,906,971 | |
Schwab Short-Term U.S. Treasury ETF(g) | 1,064,395 | 50,973,877 | |
Total Investment Companies (Cost $227,362,405) | 213,951,185 |
Par (a)/Number of Shares | |||
Short-Term Investments – 3.0% | |||
Corporate Bonds – 0.5% | |||
AbbVie, Inc., 3.75%, 11/14/23 | $ 20,000 | 19,985 | |
American Express Co., | |||
3.38%, 5/03/24 | 170,000 | 167,902 | |
2.50%, 7/30/24 | 410,000 | 399,934 | |
Bank of America Corp., 4.20%, 8/26/24 | 60,000 | 59,031 | |
Becton Dickinson & Co., 3.36%, 6/06/24 | 87,000 | 85,619 | |
Boeing (The) Co., 1.43%, 2/04/24 | 110,000 | 108,605 | |
Bristol-Myers Squibb Co., 2.90%, 7/26/24(g) | 192,000 | 188,078 | |
Constellation Brands, Inc., 3.60%, 5/09/24 | 90,000 | 88,828 | |
Continental Resources, Inc., 3.80%, 6/01/24 | 130,000 | 128,038 |
Par (a)/Number of Shares | Value | ||
Corporate Bonds (Continued) | |||
Goldman Sachs Group (The), Inc., | |||
3.63%, 2/20/24 | $ 120,000 | $ 119,096 | |
3.85%, 7/08/24 | 30,000 | 29,556 | |
(SOFR + 0.51%), 5.85%, 9/10/24(c) | 561,000 | 559,542 | |
International Business Machines Corp., 3.00%, 5/15/24 | 410,000 | 404,023 | |
Kinder Morgan Energy Partners L.P., 4.25%, 9/01/24 | 100,000 | 98,382 | |
Las Vegas Sands Corp., 3.20%, 8/08/24 | 100,000 | 97,305 | |
Occidental Petroleum Corp., 6.95%, 7/01/24 | 94,000 | 94,395 | |
Republic Services, Inc., 2.50%, 8/15/24 | 70,000 | 68,097 | |
Sprint LLC, 7.13%, 6/15/24 | 898,000 | 902,549 | |
Wells Fargo & Co., 3.75%, 1/24/24 | 160,000 | 159,082 | |
3,778,047 | |||
Foreign Issuer Bonds – 0.1% | |||
Credit Suisse A.G., 4.75%, 8/09/24 | 306,000 | 301,957 | |
Danske Bank A/S, 5.38%, 1/12/24(b) | 200,000 | 199,421 | |
Glencore Funding LLC, 4.13%, 3/12/24(b) | 330,000 | 327,551 | |
Petroleos Mexicanos, | |||
4.88%, 1/18/24 | 19,000 | 18,884 | |
7.19%, 9/12/24 | MXN | 403,000 | 21,088 |
Shell International Finance B.V., 3.50%, 11/13/23 | 170,000 | 169,871 | |
1,038,772 | |||
Money Market Funds – 1.9% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 5.41%(s)(t) | 10,092,376 | 10,092,376 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 5.21%(s) | 4,001,897 | 4,001,897 | |
14,094,273 | |||
Mortgage-Backed Securities – 0.0%(h) | |||
CSMC, Series 2022-NWPT, Class A, (1M CME Term SOFR + 3.14%, 3.14% Floor), 8.48%, 9/09/24(b)(c) | 100,000 | 100,618 |
Par (a)/Number of Shares | Value | ||
U.S. Government Obligations – 0.3% | |||
U.S. Treasury Notes, | |||
0.25%, 11/15/23 | $ 9,000 | $ 8,982 | |
2.50%, 4/30/24 | 142,000 | 139,909 | |
1.75%, 7/31/24 | 569,000 | 553,419 | |
2.13%, 7/31/24 | 337,000 | 328,707 | |
3.00%, 7/31/24 | 314,000 | 308,272 | |
3.25%, 8/31/24 | 595,000 | 584,146 | |
4.25%, 9/30/24(g) | 185,000 | 183,005 | |
4.38%, 10/31/24 | 143,000 | 141,503 | |
2,247,943 | |||
U.S. Treasury Bills – 0.2% | |||
U.S. Treasury Bill, 5.09%, 1/30/24(g)(u) | 1,290,000 | 1,272,831 | |
Total Short-Term Investments (Cost $22,622,481) | 22,532,484 |
Number of Contracts | Notional Amount | ||
Purchased Options – 0.2% | |||
Call Options - Exchange Traded – 0.0%(h) | |||
10-Year U.S. Treasury Note Future, Strike Price USD 106.00, Expires 11/24/23 | 18 | 1,911,094 | 17,156 |
10-Year U.S. Treasury Note Future, Strike Price USD 106.50, Expires 11/24/23 | 18 | 1,911,094 | 12,656 |
10-Year U.S. Treasury Note Future, Strike Price USD 106.75, Expires 11/03/23 | 76 | 8,069,063 | 15,438 |
10-Year U.S. Treasury Note Future, Strike Price USD 107.00, Expires 11/24/23 | 29 | 3,078,984 | 14,953 |
10-Year U.S. Treasury Note Future, Strike Price USD 108.50, Expires 11/24/23 | 16 | 1,698,750 | 2,750 |
3-Month SOFR 1-Year Mid Curve Future, Strike Price USD 95.69, Expires 12/15/23 | 104 | 24,585,600 | 28,600 |
5-Year U.S. Treasury Note Future, Strike Price USD 104.50, Expires 11/24/23 | 40 | 4,179,065 | 21,875 |
5-Year U.S. Treasury Note Future, Strike Price USD 104.75, Expires 11/24/23 | 38 | 3,970,111 | 16,625 |
Number of Contracts | Notional Amount | Value | |
Call Options - Exchange Traded (Continued) | |||
5-Year U.S. Treasury Note Future, Strike Price USD 105.00, Expires 11/24/23 | 2 | $208,953 | $ 688 |
5-Year U.S. Treasury Note Future, Strike Price USD 105.50, Expires 11/24/23 | 4 | 417,906 | 844 |
5-Year U.S. Treasury Note Future, Strike Price USD 106.00, Expires 11/24/23 | 4 | 417,906 | 531 |
5-Year U.S. Treasury Note Future, Strike Price USD 106.50, Expires 11/24/23 | 4 | 417,906 | 313 |
132,429 | |||
Call Options - Over the Counter – 0.0%(h) | |||
Brazilian Real vs. U.S. Dollar, Strike Price BRL 5.05, Expires 11/16/23, Counterparty: Bank of America | 2 | 66,000 | 750 |
Polish Zloty vs. Euro, Strike Price PLN $4.66, Expires 11/01/23, Counterparty: HSBC | 2 | 8,000 | — |
U.S. Dollar vs. Euro, Strike Price USD 1.06, Expires 11/02/23, Counterparty: Bank of America | 2 | 154,000 (v) | 322 |
1,072 | |||
Call Swaptions - Over the Counter – 0.1% | |||
Pay 1-Day USD SOFR (Annually); Receive 3.21% (Semi-Annually): Interest Rate Swap Maturing 7/22/2036, Strike Price USD 3.21, Expires 7/20/26, Counterparty: Barclays | 1 | 182,600 | 3,114 |
Pay 1-Day USD SOFR (Annually); Receive 3.23% (Semi-Annually): Interest Rate Swap Maturing 7/22/2036, Strike Price USD 3.23, Expires 7/20/26, Counterparty: Barclays | 1 | 350,500 | 6,061 |
Pay 1-Day USD SOFR (Annually); Receive 3.24% (Semi-Annually): Interest Rate Swap Maturing 6/17/2036, Strike Price USD 3.24, Expires 6/15/26, Counterparty: Barclays | 1 | 350,500 | 2,739 |
Number of Contracts | Notional Amount | Value | |
Call Swaptions - Over the Counter (Continued) | |||
Pay 1-Day USD SOFR (Annually); Receive 3.77% (Semi-Annually): Interest Rate Swap Maturing 9/10/2036, Strike Price USD 3.77, Expires 9/08/26, Counterparty: Goldman Sachs | 1 | $ 493,904 | $14,547 |
Pay 1-Day USD SOFR (Annually); Receive 4.00% (Semi-Annually): Interest Rate Swap Maturing 10/01/2035, Strike Price USD 4.00, Expires 9/29/25, Counterparty: Goldman Sachs | 1 | 121,892 | 3,837 |
Pay 1-Day USD SOFR (Annually); Receive 4.03% (Semi-Annually): Interest Rate Swap Maturing 9/30/2036, Strike Price USD 4.03, Expires 9/28/26, Counterparty: Goldman Sachs | 1 | 242,272 | 8,931 |
Pay 1-Day USD SOFR (Annually); Receive 4.07% (Semi-Annually): Interest Rate Swap Maturing 9/30/2036, Strike Price USD 4.07, Expires 9/28/26, Counterparty: Goldman Sachs | 1 | 605,663 | 23,092 |
Pay 1-Day USD SOFR (Annually); Receive 4.20% (Semi-Annually): Interest Rate Swap Maturing 10/15/2036, Strike Price USD 4.20, Expires 10/13/26, Counterparty: Goldman Sachs | 1 | 443,000 | 18,838 |
Pay 1-Day USD SOFR (Annually); Receive 4.22% (Semi-Annually): Interest Rate Swap Maturing 10/15/2036, Strike Price USD 4.22, Expires 10/13/26, Counterparty: Deutsche Bank | 1 | 677,000 | 29,187 |
Pay 1-Day USD SOFR (Annually); Receive 4.24% (Semi-Annually): Interest Rate Swap Maturing 3/28/2029, Strike Price USD 4.24, Expires 3/26/24, Counterparty: Citibank | 1 | 6,751,000 | 69,202 |
Number of Contracts | Notional Amount | Value | |
Call Swaptions - Over the Counter (Continued) | |||
Pay 1-Day USD SOFR (Annually); Receive 4.28% (Semi-Annually): Interest Rate Swap Maturing 10/07/2036, Strike Price USD 4.28, Expires 10/05/26, Counterparty: Bank of America | 1 | $ 534,576 | $ 24,163 |
Pay 1-Day USD SOFR (Annually); Receive 4.33% (Semi-Annually): Interest Rate Swap Maturing 10/07/2035, Strike Price USD 4.33, Expires 10/03/25, Counterparty: Bank of America | 1 | 747,417 | 31,827 |
Pay 1-Day USD SOFR (Annually); Receive 4.41% (Semi-Annually): Interest Rate Swap Maturing 10/21/2036, Strike Price USD 4.41, Expires 10/19/26, Counterparty: Goldman Sachs | 1 | 1,240,929 | 62,050 |
Pay 1-Day USD SOFR (Annually); Receive 4.47% (Semi-Annually): Interest Rate Swap Maturing 10/28/2036, Strike Price USD 4.47, Expires 10/26/26, Counterparty: Goldman Sachs | 1 | 177,907 | 9,263 |
Pay 1-Day USD SOFR (Annually); Receive 4.50% (At Maturity): Interest Rate Swap Maturing 1/24/2025, Strike Price USD 4.50, Expires 1/22/24, Counterparty: Citibank | 1 | 68,280,000 | 16,769 |
Pay 1-Day USD SOFR (Annually); Receive 4.55% (At Maturity): Interest Rate Swap Maturing 1/26/2025, Strike Price USD 4.55, Expires 1/24/24, Counterparty: Citibank | 1 | 68,280,000 | 20,197 |
343,817 | |||
Put Options - Exchange Traded – 0.0%(h) | |||
10-Year U.S. Treasury Note Future, Strike Price USD 101.25, Expires 11/24/23 | 4 | 809,687 | 2,000 |
Number of Contracts | Notional Amount | Value | |
Put Options - Exchange Traded (Continued) | |||
3-Month SOFR 1-Year Mid Curve Future, Strike Price USD 95.88, Expires 12/15/23 | 49 | $11,583,600 | $72,888 |
3-Month SOFR 1-Year Mid Curve Future, Strike Price USD 96.00, Expires 12/15/23 | 13 | 3,073,200 | 22,831 |
97,719 | |||
Put Options - Over the Counter – 0.0%(h) | |||
Brazilian Real vs. U.S. Dollar, Strike Price BRL 5.10, Expires 11/01/23, Counterparty: Bank of America | 2 | 66,000 | 784 |
Chilean Peso vs. U.S. Dollar, Strike Price CLP 1.13, Expires 11/30/23, Counterparty: Bank of America | 1 | 33,000 | 688 |
Chilean Peso vs. U.S. Dollar, Strike Price CLP 900.00, Expires 11/30/23, Counterparty: Bank of America | 1 | 33,000 | 688 |
Chilean Peso vs. U.S. Dollar, Strike Price CLP 930.00, Expires 11/30/23, Counterparty: Bank of America | 2 | 66,000 | 2,942 |
Japanese Yen vs. U.S. Dollar, Strike Price JPY 148.00, Expires 11/13/23, Counterparty: Morgan Stanley | 2 | 96,000 | 152 |
Mexican Peso vs. Euro, Strike Price MXN 18.50, Expires 12/08/23, Counterparty: Bank of America | 2 | 6,000 | 2,206 |
Mexican Peso vs. U.S. Dollar, Strike Price MXN 18.00, Expires 11/08/23, Counterparty: HSBC | 2 | 64,000 | 450 |
Polish Zloty vs. Euro, Strike Price PLN $4.42, Expires 12/07/23, Counterparty: Goldman Sachs | 2 | 10,000 | 7,164 |
U.S. Dollar vs. Euro, Strike Price USD 1.04, Expires 1/12/24, Counterparty: Bank of America | 1 | 1,020,000 (v) | 5,712 |
Number of Contracts | Notional Amount | Value | |
Put Options - Over the Counter (Continued) | |||
U.S. Dollar vs. Euro, Strike Price USD 1.04, Expires 1/17/24, Counterparty: Deutsche Bank | 1 | $510,000 (v) | $ 2,995 |
U.S. Dollar vs. Euro, Strike Price USD 1.05, Expires 11/16/23, Counterparty: HSBC | 1 | 6,000 (v) | 3,543 |
U.S. Dollar vs. Euro, Strike Price USD 1.05, Expires 11/22/23, Counterparty: Barclays | 2 | 120,000 (v) | 446 |
U.S. Dollar vs. Thai Baht, Strike Price THB $36.50, Expires 11/02/23, Counterparty: Standard Chartered Bank | 2 | 64,000 | 716 |
28,486 | |||
Put Swaptions - Over the Counter – 0.1% | |||
Pay 3.21% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 7/22/2036, Strike Price USD 3.21, Expires 7/20/26, Counterparty: Barclays | 1 | 182,600 | 19,869 |
Pay 3.23% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 7/22/2036, Strike Price USD 3.23, Expires 7/20/26, Counterparty: Barclays | 1 | 350,500 | 37,876 |
Pay 3.24% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 6/17/2036, Strike Price USD 3.24, Expires 6/15/26, Counterparty: Barclays | 1 | 159,800 | 17,123 |
Pay 3.77% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 9/10/2036, Strike Price USD 3.77, Expires 9/08/26, Counterparty: Goldman Sachs | 1 | 493,904 | 40,522 |
Pay 4.00% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 10/01/2035, Strike Price USD 4.00, Expires 9/29/25, Counterparty: Goldman Sachs | 1 | 121,892 | 7,958 |
Number of Contracts | Notional Amount | Value | |
Put Swaptions - Over the Counter (Continued) | |||
Pay 4.03% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 9/30/2036, Strike Price USD 4.03, Expires 9/28/26, Counterparty: Goldman Sachs | 1 | $ 242,272 | $ 17,364 |
Pay 4.07% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 9/30/2036, Strike Price USD 4.07, Expires 9/28/26, Counterparty: Goldman Sachs | 1 | 605,663 | 42,440 |
Pay 4.20% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 10/15/2036, Strike Price USD 4.20, Expires 10/13/26, Counterparty: Goldman Sachs | 1 | 443,000 | 28,932 |
Pay 4.22% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 10/15/2036, Strike Price USD 4.22, Expires 10/13/26, Counterparty: Deutsche Bank | 1 | 677,000 | 43,785 |
Pay 4.24% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 3/28/2029, Strike Price USD 4.24, Expires 3/26/24, Counterparty: Citibank | 1 | 6,751,000 | 132,725 |
Pay 4.28% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 10/07/2036, Strike Price USD 4.28, Expires 10/05/26, Counterparty: Bank of America | 1 | 534,576 | 33,320 |
Pay 4.33% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 10/07/2035, Strike Price USD 4.33, Expires 10/03/25, Counterparty: Bank of America | 1 | 747,417 | 39,404 |
Number of Contracts | Notional Amount | Value | |
Put Swaptions - Over the Counter (Continued) | |||
Pay 4.41% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 10/21/2036, Strike Price USD 4.41, Expires 10/19/26, Counterparty: Goldman Sachs | 1 | $1,240,929 | $ 72,131 |
Pay 4.47% (Semi-Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 10/28/2036, Strike Price USD 4.47, Expires 10/26/26, Counterparty: Goldman Sachs | 1 | 177,907 | 10,051 |
543,500 | |||
Total Purchased Options (Premiums Paid $1,450,914) | 1,147,023 |
Total Long Positions – 109.6% (Cost $915,804,174) | 827,263,561 |
Par (a) | Value | ||
Short Positions – (2.3)%(w) | |||
Mortgage-Backed Securities – (2.3)% | |||
Uniform Mortgage-Backed Securities – (2.3)% | |||
Pool, | |||
3.00%, 11/01/38(d) | (4,400) | (3,934) | |
2.50%, 12/01/51(d) | (4,725,400) | (3,630,436) | |
4.00%, 12/01/51 - 11/01/52(d) | (11,126,700) | (9,616,676) | |
6.50%, 11/01/53(d) | (3,610,000) | (3,587,985) | |
(16,839,031) | |||
Total Mortgage-Backed Securities (Proceeds $16,920,494) | (16,839,031) | ||
Total Written Options – (0.1)% (Premiums Received $1,054,580) | (969,161) | ||
Liabilities less Other Assets – (7.2)%(x) | (54,503,211) | ||
NET ASSETS – 100.0% | $754,952,158 | ||
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 or floating rate security. Rate as of October 31, 2023 is disclosed. |
(d) | When-Issued Security. Coupon rate was not yet in effect at October 31, 2023. |
(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, 2023 is disclosed. |
(f) | Step coupon bond. Rate as of October 31, 2023 is disclosed. |
(g) | Security either partially or fully on loan. (See Note 7). |
(h) | Amount rounds to less than 0.05%. |
(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, 2023 is disclosed. |
(j) | Investment is valued using significant unobservable inputs (Level 3). |
(k) | Century bond maturing in 2120. |
(l) | Zero coupon bond. |
(m) | These securities are remarketed by an agent, and the interest rate is determined by general market conditions and supply and demand. |
(n) | Restricted security that has been deemed illiquid and is classified as Level 2. At October 31, 2023, the value of these restricted illiquid securities amounted to $234,648 or 0.03% of net assets. Additional information on these restricted illiquid securities is as follows: |
Security | Acquisition Date | Acquisition Cost | |
JPMorgan Chase Commercial Mortgage Securities Trust, 7.20%, 12/15/36 | 1/29/20 | $710,000 |
(o) | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap agreements. |
(p) | Century bond maturing in 2112. |
(q) | Unfunded loan commitment. As of October 31, 2023, total value of unfunded loan commitment is $96. |
(r) | Position is unsettled. Contract rate was not determined at October 31, 2023 and does not take effect until settlement date. |
(s) | 7-day current yield as of October 31, 2023 is disclosed. |
(t) | Security purchased with the cash proceeds from securities loaned. (See Note 7). |
(u) | Discount rate at the time of purchase. |
(v) | The notional amount is EUR. |
(w) | Securities sold short are not owned by the Fund. |
(x) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
Abbreviations: |
1M | 1 Month |
1Y | 1 Year |
3M | 3 Month |
5Y | 5 Year |
6M | 6 Month |
12MTA | 12 Month Treasury Average |
30D | 30 Day |
BANXICO | Banco de Mexico |
BATS | Better Alternative Trading System |
BRL | Brazilian Real |
BZDIO | Brazil Interbank Rate |
CAD | Canadian Dollar |
CDO | Collateralized Debt Obligation |
CDX | Credit Default Swap Index |
CLO | Collateralized Loan Obligation |
CLP | Chilean Peso |
CMBX | Commercial Mortgage Backed Securities Index |
CME | Chicago Mercantile Exchange |
CMT | Constant Maturity |
COOVI | Columbian Overnight Index Average |
COP | Colombian Peso |
CORRA | Canadian Overnight Repo Rate Average |
CZK | Czech Republic Koruna |
ESTR | Euro Short Term Rate |
ETF | Exchange-Traded Fund |
EUR | Euro |
EURIBOR | Euro Interbank Offered Rate |
FNMA | Federal National Mortgage Association |
Freddie Mac | Federal Home Loan Mortgage Corporation |
GBP | British Pound |
GO | Government Obligation |
IO | Interest Only |
JPY | Japanese Yen |
JSC | Joint Stock Company |
KRW | South Korean Won |
KSDA | Korea Securities Dealers Association |
L.P. | Limited Partnership |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
MSCI | Morgan Stanley Capital International |
MTA | Metropolitan Transportation Authority |
MXN | Mexican Peso |
PLC | Public Limited Company |
PLN | Polish Zloty |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
RUB | Russian Ruble |
S&P | Standards & Poor's |
SOFR | United States Secured Overnight Financing Rate |
SONIA | Sterling Overnight Index Average |
STACR | Structured Agency Credit Risk |
Strip | Separate Trading of Registered Interest and Principal |
THB | Thai Baht |
TIIE | Tasa de Interés Interbancaria de Equilibrio |
TONAR | Tokyo Overnight Average Rate |
TRB | Tax Revenue Bonds |
USD | United States Dollar |
ZAR | South African Rand |
Futures Contracts outstanding at October 31, 2023: Exchange Traded | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | |||||
Euro-Bobl | 1 | 12/07/2023 | EUR | 123,046 | $ 315 |
U.S. Treasury Long Bond | 167 | 12/19/2023 | USD | 18,276,063 | (1,058,255) |
Ultra 10-Year U.S. Treasury Note | 26 | 12/19/2023 | USD | 2,829,531 | (14,420) |
Ultra U.S. Treasury Bond | 172 | 12/19/2023 | USD | 19,360,751 | (2,179,627) |
2-Year U.S. Treasury Note | 15 | 12/29/2023 | USD | 3,036,328 | (480) |
5-Year U.S. Treasury Note | 502 | 12/29/2023 | USD | 52,447,234 | (189,864) |
Futures Contracts outstanding at October 31, 2023: Exchange Traded (continued) | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
CME 3-Month SOFR | 233 | 3/18/2025 | USD | 55,544,287 | $ (592,500) |
CME 3-Month SOFR | 240 | 3/17/2026 | USD | 57,516,000 | (164,037) |
Total Long Contracts | $(4,198,868) | ||||
Short Contracts | |||||
10-Year Japanese Treasury Bond | (4) | 12/13/2023 | JPY | 3,793,502 | $ 12,297 |
10-Year Canadian Government Bond | (10) | 12/18/2023 | CAD | 828,772 | 241 |
10-Year U.S. Treasury Note | (288) | 12/19/2023 | USD | 30,577,500 | 508,764 |
CME 3-Month SOFR | (239) | 12/19/2023 | USD | 56,553,375 | 38,630 |
Ultra 10-Year U.S. Treasury Note | (43) | 12/19/2023 | USD | 4,679,609 | 254,851 |
CME 3-Month SOFR | (283) | 3/19/2024 | USD | 66,901,200 | 513,145 |
10-Year U.S. Treasury Note | (142) | 6/18/2024 | USD | 33,591,875 | (2,540) |
CME 3-Month SOFR | (19) | 3/18/2025 | USD | 4,529,363 | (3,712) |
Total Short Contracts | $ 1,321,676 | ||||
$(2,877,192) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2023: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
11/15/23 | U.S. Dollars | 736,222 | Mexican Pesos | 12,917,526 | Citibank | $ 21,564 |
12/20/23 | U.S. Dollars | 282,078 | Japanese Yen | 41,000,000 | HSBC | 9,207 |
12/20/23 | U.S. Dollars | 137,367 | Japanese Yen | 20,000,000 | Bank of America | 4,259 |
12/20/23 | U.S. Dollars | 417,747 | Euro | 390,000 | UBS | 4,086 |
11/07/23 | South African Rand | 1,944,605 | U.S. Dollars | 101,175 | Morgan Stanley | 3,097 |
12/20/23 | U.S. Dollars | 353,033 | Euro | 330,000 | JPMorgan Chase | 3,013 |
1/31/24 | U.S. Dollars | 80,408 | Indonesian Rupiahs | 1,240,219,383 | Citibank | 2,678 |
11/16/23 | U.S. Dollars | 141,000 | Canadian Dollars | 192,071 | Deutsche Bank | 2,466 |
12/20/23 | U.S. Dollars | 267,569 | Euro | 250,000 | Citibank | 2,402 |
12/20/23 | U.S. Dollars | 278,126 | Euro | 260,000 | HSBC | 2,352 |
11/16/23 | South African Rand | 2,450,688 | U.S. Dollars | 129,000 | Citibank | 2,301 |
12/20/23 | Euro | 700,000 | U.S. Dollars | 740,260 | JPMorgan Chase | 2,209 |
12/20/23 | U.S. Dollars | 342,418 | British Pounds | 280,000 | Barclays | 1,949 |
3/04/24 | U.S. Dollars | 66,710 | Czech Republic Koruna | 1,507,339 | Bank of America | 1,916 |
12/20/23 | U.S. Dollars | 68,289 | Canadian Dollars | 92,000 | RBS | 1,886 |
11/15/23 | U.S. Dollars | 81,751 | Colombian Pesos | 329,926,000 | Citibank | 1,878 |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2023: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
3/04/24 | U.S. Dollars | 96,276 | Czech Republic Koruna | 2,196,159 | HSBC | $ 1,874 |
11/16/23 | Colombian Pesos | 146,902,000 | British Pounds | 28,000 | Citibank | 1,520 |
12/04/23 | U.S. Dollars | 66,000 | Brazilian Reals | 327,092 | JPMorgan Chase | 1,394 |
12/20/23 | U.S. Dollars | 135,123 | British Pounds | 110,000 | Goldman Sachs | 1,368 |
12/20/23 | U.S. Dollars | 41,552 | Japanese Yen | 6,046,000 | RBS | 1,313 |
11/03/23 | Brazilian Reals | 616,758 | U.S. Dollars | 121,000 | Citibank | 1,285 |
11/16/23 | Euro | 217,000 | U.S. Dollars | 228,911 | HSBC | 854 |
12/20/23 | Euro | 570,000 | U.S. Dollars | 603,738 | Barclays | 842 |
11/07/23 | U.S. Dollars | 22,220 | Euro | 20,216 | UBS | 823 |
11/16/23 | Czech Republic Koruna | 1,969,740 | U.S. Dollars | 84,000 | Toronto-Dominion Bank | 778 |
11/16/23 | Chilean Pesos | 22,186,320 | U.S. Dollars | 24,000 | Barclays | 767 |
11/03/23 | Brazilian Reals | 417,421 | U.S. Dollars | 82,000 | Deutsche Bank | 762 |
11/16/23 | Hungarian Forints | 12,194,573 | U.S. Dollars | 33,000 | JPMorgan Chase | 643 |
12/20/23 | Colombian Pesos | 67,608,989 | U.S. Dollars | 15,679 | Barclays | 560 |
11/16/23 | Colombian Pesos | 68,254,400 | U.S. Dollars | 16,000 | Citibank | 520 |
11/16/23 | Mexican Pesos | 587,496 | U.S. Dollars | 32,000 | Barclays | 497 |
11/16/23 | Mexican Pesos | 583,088 | Euro | 30,000 | BNP Paribas | 488 |
11/16/23 | Hungarian Forints | 11,689,100 | Euro | 30,000 | JPMorgan Chase | 484 |
12/20/23 | Colombian Pesos | 114,365,819 | U.S. Dollars | 27,022 | Citibank | 448 |
11/16/23 | Chilean Pesos | 29,056,000 | U.S. Dollars | 32,000 | Standard Chartered Bank | 436 |
12/20/23 | U.S. Dollars | 138,299 | Euro | 130,000 | RBS | 412 |
11/16/23 | U.S. Dollars | 26,000 | Japanese Yen | 3,869,247 | Toronto-Dominion Bank | 404 |
11/16/23 | South African Rand | 306,110 | U.S. Dollars | 16,000 | Goldman Sachs | 401 |
12/20/23 | U.S. Dollars | 201,926 | Euro | 190,000 | State Street | 399 |
11/16/23 | South African Rand | 304,244 | U.S. Dollars | 16,000 | Deutsche Bank | 301 |
11/03/23 | Brazilian Reals | 248,398 | U.S. Dollars | 49,000 | JPMorgan Chase | 250 |
11/16/23 | Japanese Yen | 18,462,242 | Canadian Dollars | 169,000 | Goldman Sachs | 237 |
11/16/23 | U.S. Dollars | 31,998 | Euro | 30,000 | Barclays | 234 |
11/16/23 | Mexican Pesos | 871,760 | U.S. Dollars | 48,000 | JPMorgan Chase | 222 |
3/04/24 | Czech Republic Koruna | 727,964 | U.S. Dollars | 31,074 | HSBC | 218 |
11/16/23 | Euro | 30,000 | Mexican Pesos | 570,678 | Toronto-Dominion Bank | 198 |
11/16/23 | South African Rand | 596,526 | Euro | 30,000 | Nomura | 196 |
12/04/23 | U.S. Dollars | 16,000 | Brazilian Reals | 80,133 | BNP Paribas | 173 |
11/03/23 | U.S. Dollars | 32,000 | Brazilian Reals | 160,560 | UBS | 166 |
12/20/23 | U.S. Dollars | 60,963 | British Pounds | 50,000 | JPMorgan Chase | 165 |
1/17/24 | U.S. Dollars | 47,000 | Taiwan Dollars | 1,512,132 | Morgan Stanley | 150 |
11/16/23 | Mexican Pesos | 581,068 | U.S. Dollars | 32,000 | Bank of America | 142 |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2023: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
11/16/23 | Norwegian Kroner | 180,055 | U.S. Dollars | 16,000 | Goldman Sachs | $ 126 |
12/20/23 | Euro | 59,177 | U.S. Dollars | 62,646 | Bank of America | 121 |
11/16/23 | Chilean Pesos | 7,271,421 | U.S. Dollars | 8,000 | BNP Paribas | 117 |
11/16/23 | U.S. Dollars | 48,820 | Euro | 46,000 | JPMorgan Chase | 114 |
11/03/23 | U.S. Dollars | 65,000 | Brazilian Reals | 327,307 | Deutsche Bank | 105 |
11/16/23 | Norwegian Kroner | 358,362 | U.S. Dollars | 32,000 | Barclays | 96 |
12/20/23 | U.S. Dollars | 233,443 | Euro | 220,000 | Deutsche Bank | 96 |
11/03/23 | U.S. Dollars | 25,000 | Brazilian Reals | 125,637 | Goldman Sachs | 90 |
11/03/23 | U.S. Dollars | 24,000 | Brazilian Reals | 120,735 | JPMorgan Chase | 62 |
11/16/23 | U.S. Dollars | 24,000 | Polish Zloty | 100,847 | Bank of America | 62 |
11/16/23 | Euro | 46,000 | U.S. Dollars | 48,646 | Citibank | 60 |
11/16/23 | U.S. Dollars | 34,000 | South Korean Won | 45,845,600 | JPMorgan Chase | 54 |
11/16/23 | U.S. Dollars | 40,000 | Canadian Dollars | 55,394 | JPMorgan Chase | 46 |
11/16/23 | South African Rand | 94,166 | U.S. Dollars | 5,000 | HSBC | 46 |
11/16/23 | Polish Zloty | 101,286 | U.S. Dollars | 24,000 | Goldman Sachs | 42 |
11/16/23 | Canadian Dollars | 110,000 | Japanese Yen | 11,987,598 | JPMorgan Chase | 39 |
11/16/23 | Mexican Pesos | 835,751 | British Pounds | 38,000 | Barclays | 38 |
12/20/23 | British Pounds | 50,000 | U.S. Dollars | 60,763 | Toronto-Dominion Bank | 34 |
11/16/23 | U.S. Dollars | 8,000 | Mexican Pesos | 144,154 | Goldman Sachs | 26 |
Total Unrealized Appreciation | $ 90,561 | |||||
11/16/23 | Mexican Pesos | 108,408 | U.S. Dollars | 6,000 | Barclays | $ (4) |
11/15/23 | Mexican Pesos | 898,882 | U.S. Dollars | 49,736 | JPMorgan Chase | (6) |
1/31/24 | Indonesian Rupiahs | 8,605,763 | U.S. Dollars | 554 | Citibank | (15) |
11/16/23 | Indian Rupees | 4,163,800 | U.S. Dollars | 50,000 | Citibank | (18) |
11/16/23 | Euro | 46,000 | U.S. Dollars | 48,724 | Citibank | (18) |
11/16/23 | U.S. Dollars | 32,000 | Polish Zloty | 134,905 | BNP Paribas | (22) |
11/16/23 | U.S. Dollars | 31,742 | Euro | 30,000 | UBS | (23) |
11/16/23 | U.S. Dollars | 32,000 | Norwegian Kroner | 357,593 | JPMorgan Chase | (27) |
11/16/23 | Mexican Pesos | 288,296 | U.S. Dollars | 16,000 | Goldman Sachs | (53) |
11/16/23 | U.S. Dollars | 40,000 | Canadian Dollars | 55,535 | JPMorgan Chase | (55) |
11/16/23 | Polish Zloty | 100,823 | U.S. Dollars | 24,000 | Citibank | (68) |
12/04/23 | U.S. Dollars | 60,733 | South African Rand | 1,136,669 | Citibank | (68) |
11/16/23 | Euro | 30,000 | U.S. Dollars | 31,842 | JPMorgan Chase | (76) |
11/16/23 | Australian Dollars | 50,000 | U.S. Dollars | 31,840 | UBS | (106) |
11/16/23 | British Pounds | 60,000 | U.S. Dollars | 73,058 | UBS | (124) |
12/20/23 | Euro | 120,000 | U.S. Dollars | 127,408 | Deutsche Bank | (128) |
11/03/23 | U.S. Dollars | 32,000 | Brazilian Reals | 162,080 | UBS | (136) |
11/16/23 | U.S. Dollars | 32,000 | Mexican Pesos | 580,960 | HSBC | (136) |
11/16/23 | Mexican Pesos | 865,109 | U.S. Dollars | 48,000 | JPMorgan Chase | (146) |
11/16/23 | Norwegian Kroner | 355,541 | U.S. Dollars | 32,000 | Deutsche Bank | (156) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2023: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/20/23 | U.S. Dollars | 52,866 | Euro | 50,000 | Toronto-Dominion Bank | $ (167) |
11/16/23 | Euro | 30,000 | Polish Zloty | 134,528 | Goldman Sachs | (168) |
12/20/23 | U.S. Dollars | 10,908 | Colombian Pesos | 46,139,411 | Citibank | (175) |
11/16/23 | U.S. Dollars | 65,472 | Euro | 62,000 | State Street | (176) |
11/16/23 | U.S. Dollars | 73,938 | Euro | 70,000 | BNP Paribas | (180) |
11/16/23 | U.S. Dollars | 50,620 | Euro | 48,000 | JPMorgan Chase | (204) |
11/16/23 | U.S. Dollars | 24,000 | Polish Zloty | 102,059 | Deutsche Bank | (225) |
11/16/23 | U.S. Dollars | 48,000 | Mexican Pesos | 871,872 | Citibank | (228) |
11/03/23 | U.S. Dollars | 57,000 | Brazilian Reals | 288,835 | Deutsche Bank | (268) |
11/16/23 | U.S. Dollars | 16,000 | South African Rand | 303,869 | Toronto-Dominion Bank | (280) |
11/16/23 | U.S. Dollars | 34,000 | Polish Zloty | 144,438 | Toronto-Dominion Bank | (284) |
11/03/23 | Brazilian Reals | 402,040 | U.S. Dollars | 80,000 | Goldman Sachs | (288) |
11/16/23 | South Korean Won | 64,430,400 | U.S. Dollars | 48,000 | BNP Paribas | (294) |
11/16/23 | Japanese Yen | 2,827,582 | U.S. Dollars | 19,000 | Toronto-Dominion Bank | (295) |
11/16/23 | South Korean Won | 45,461,740 | U.S. Dollars | 34,000 | Citibank | (338) |
11/16/23 | U.S. Dollars | 32,000 | Mexican Pesos | 584,937 | JPMorgan Chase | (356) |
11/03/23 | U.S. Dollars | 41,000 | Brazilian Reals | 208,735 | Morgan Stanley | (386) |
12/20/23 | U.S. Dollars | 95,074 | Euro | 90,000 | Deutsche Bank | (387) |
11/16/23 | Japanese Yen | 3,718,987 | U.S. Dollars | 25,000 | BNP Paribas | (398) |
11/15/23 | Mexican Pesos | 418,190 | U.S. Dollars | 23,583 | State Street | (447) |
11/03/23 | U.S. Dollars | 98,000 | Brazilian Reals | 496,888 | Citibank | (517) |
11/03/23 | U.S. Dollars | 24,000 | Brazilian Reals | 124,124 | JPMorgan Chase | (610) |
11/16/23 | U.S. Dollars | 32,000 | South African Rand | 609,248 | Goldman Sachs | (642) |
11/16/23 | U.S. Dollars | 32,000 | South African Rand | 611,027 | Bank of America | (737) |
11/16/23 | Indonesian Rupiahs | 911,180,000 | U.S. Dollars | 58,000 | Barclays | (740) |
11/16/23 | Malaysian Ringgit | 320,066 | U.S. Dollars | 68,000 | Morgan Stanley | (752) |
11/16/23 | U.S. Dollars | 32,000 | Mexican Pesos | 592,253 | Barclays | (760) |
11/16/23 | U.S. Dollars | 32,000 | Colombian Pesos | 135,661,760 | Bank of America | (834) |
11/16/23 | U.S. Dollars | 48,000 | Mexican Pesos | 883,067 | Goldman Sachs | (847) |
11/16/23 | U.S. Dollars | 97,000 | South African Rand | 1,826,807 | HSBC | (875) |
12/20/23 | U.S. Dollars | 264,168 | Euro | 250,000 | BNP Paribas | (999) |
12/04/23 | Brazilian Reals | 237,936 | U.S. Dollars | 48,000 | Citibank | (1,004) |
12/20/23 | Euro | 220,823 | U.S. Dollars | 235,229 | Bank of America | (1,010) |
8/15/24 | Colombian Pesos | 329,926,000 | U.S. Dollars | 76,319 | Morgan Stanley | (1,083) |
11/16/23 | U.S. Dollars | 24,000 | Chilean Pesos | 22,496,640 | Barclays | (1,114) |
11/07/23 | U.S. Dollars | 103,070 | South African Rand | 1,944,605 | Toronto-Dominion Bank | (1,202) |
11/03/23 | Brazilian Reals | 325,885 | U.S. Dollars | 66,000 | JPMorgan Chase | (1,387) |
11/16/23 | Canadian Dollars | 244,404 | U.S. Dollars | 178,000 | JPMorgan Chase | (1,720) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2023: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
11/16/23 | U.S. Dollars | 32,000 | Chilean Pesos | 30,240,000 | BNP Paribas | $ (1,758) |
1/31/24 | Indonesian Rupiahs | 1,231,613,620 | U.S. Dollars | 79,254 | BNP Paribas | (2,063) |
11/16/23 | U.S. Dollars | 68,000 | Colombian Pesos | 290,942,800 | Citibank | (2,418) |
12/20/23 | British Pounds | 390,000 | U.S. Dollars | 476,672 | Barclays | (2,448) |
12/20/23 | Euro | 260,000 | U.S. Dollars | 278,247 | Barclays | (2,473) |
12/20/23 | U.S. Dollars | 400,227 | Euro | 380,000 | State Street | (2,827) |
12/20/23 | U.S. Dollars | 442,551 | Euro | 420,000 | Barclays | (2,929) |
12/20/23 | Euro | 260,000 | U.S. Dollars | 278,995 | HSBC | (3,221) |
12/20/23 | Indonesian Rupiahs | 1,715,949,628 | U.S. Dollars | 111,367 | JPMorgan Chase | (3,735) |
12/20/23 | Euro | 770,000 | U.S. Dollars | 823,977 | JPMorgan Chase | (7,262) |
12/20/23 | U.S. Dollars | 186,454 | Colombian Pesos | 811,214,353 | Bank of America | (8,398) |
12/20/23 | Japanese Yen | 61,000,000 | U.S. Dollars | 420,812 | Toronto-Dominion Bank | (14,834) |
Total Unrealized Depreciation | $(78,128) | |||||
Net Unrealized Appreciation | $ 12,433 |
Written Call Option Contracts outstanding at October 31, 2023: Exchange Traded | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
10-Year U.S. Treasury Note Future | 76 | USD | 8,069,062 | 107.75 | 11/3/2023 | $ (3,563) |
10-Year U.S. Treasury Note Future | 42 | USD | 4,459,219 | 107.50 | 11/24/2023 | (15,094) |
5-Year U.S. Treasury Note Future | 76 | USD | 7,940,222 | 105.75 | 11/24/2023 | (12,469) |
U.S. Treasury Long Bond Future | 21 | USD | 2,298,187 | 111.00 | 11/24/2023 | (25,266) |
Total Written Call Options Contracts (Premiums Received $88,083) | $(56,392) |
Written Put Option Contracts outstanding at October 31, 2023: Exchange Traded | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
10-Year U.S. Treasury Note Future | 3 | USD | 318,516 | 105.00 | 11/24/2023 | $ (1,219) |
10-Year U.S. Treasury Note Future | 4 | USD | 809,688 | 101.00 | 11/24/2023 | (1,000) |
3-Month SOFR 1-Year Mid Curve Future | 26 | USD | 6,146,400 | 95.38 | 12/15/2023 | (14,300) |
3-Month SOFR 1-Year Mid Curve Future | 98 | USD | 23,167,200 | 95.25 | 12/15/2023 | (36,750) |
Total Written Put Options Contracts (Premiums Received $52,354) | $(53,269) |
Written Call Option Contracts outstanding at October 31, 2023: Over the Counter | ||||||||
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
Brazilian Real vs. U.S. Dollar | Bank of America | 2 | USD | 100,000 | BRL | 5.25 | 11/16/2023 | $ (210) |
Chilean Peso vs. U.S. Dollar | Bank of America | 2 | USD | 48,000 | CLP | 950.00 | 11/30/2023 | (192) |
Mexican Peso vs. U.S. Dollar | HSBC | 2 | USD | 32,000 | MXN | 19.00 | 11/8/2023 | (13) |
Polish Zloty vs. Euro | Citibank | 2 | EUR | 30,000 | PLN | 4.44 | 11/16/2023 | (258) |
Total Written OTC Call Options Contracts (Premiums Received $1,630) | $(673) |
Written Put Option Contracts outstanding at October 31, 2023: Over the Counter | ||||||||
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
Chilean Peso vs. U.S. Dollar | Bank of America | 2 | USD | 66,000 | CLP | 860.00 | 11/30/2023 | $ (264) |
Chilean Peso vs. U.S. Dollar | Bank of America | 2 | USD | 66,000 | CLP | 900.00 | 11/30/2023 | (1,376) |
Total Written OTC Put Options Contracts (Premiums Received $770) | $(1,640) |
Written Call Interest Rate Swaption Contracts outstanding at October 31, 2023: 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 1/24/2025 | 3.80% (At Maturity) | 1-Day USD SOFR (Annually) | Citibank | 1/22/2024 | 3.80% | 68,280,000 | $ (3,708) |
Interest Rate Swap Maturing 1/26/2025 | 3.85% (At Maturity) | 1-Day USD SOFR (Annually) | Citibank | 1/24/2024 | 3.85 | 68,280,000 | (4,513) |
Interest Rate Swap Maturing 10/22/2035 | 4.48% (Semi-Annually) | 1-Day USD SOFR (Annually) | JPMorgan Chase | 10/20/2025 | 4.48 | 254,486 | (12,457) |
Interest Rate Swap Maturing 10/22/2035 | 4.54% (Semi-Annually) | 1-Day USD SOFR (Annually) | JPMorgan Chase | 10/20/2025 | 4.54 | 250,689 | (12,852) |
Interest Rate Swap Maturing 3/13/2029 | 4.00% (Semi-Annually) | 1-Day USD SOFR (Annually) | Citibank | 3/11/2024 | 4.00 | 6,750,500 | (41,452) |
Interest Rate Swap Maturing 3/14/2029 | 4.00% (Semi-Annually) | 1-Day USD SOFR (Annually) | Citibank | 3/12/2024 | 4.00 | 6,750,500 | (41,805) |
Interest Rate Swap Maturing 3/18/2029 | 3.96% (Semi-Annually) | 1-Day USD SOFR (Annually) | Barclays | 3/14/2024 | 3.96 | 6,750,500 | (39,489) |
Interest Rate Swap Maturing 3/19/2029 | 4.03% (Semi-Annually) | 1-Day USD SOFR (Annually) | Morgan Stanley | 3/15/2024 | 4.03 | 3,375,250 | (22,667) |
Interest Rate Swap Maturing 9/30/2036 | 4.17% (Semi-Annually) | 1-Day USD SOFR (Annually) | JPMorgan Chase | 9/28/2026 | 4.17 | 272,431 | (11,297) |
Total Written OTC Call Swaptions Contracts (Premiums Received $523,810) | $(190,240) |
Written Put Interest Rate Swaption Contracts outstanding at October 31, 2023: Over the Counter | ||||||||
Description | Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Counterparty | Expiration Date | Exercise Rate | Notional Amount | Value | |
Interest Rate Swap Maturing 10/22/2035 | 1-Day USD SOFR (Annually) | 4.54% (Semi-Annually) | JPMorgan Chase | 10/20/2025 | 4.54% | USD | 505,175 | $ (23,724) |
Interest Rate Swap Maturing 3/13/2029 | 1-Day USD SOFR (Annually) | 4.00% (Semi-Annually) | Citibank | 3/11/2024 | 4.00 | USD | 6,750,500 | (176,797) |
Interest Rate Swap Maturing 3/14/2029 | 1-Day USD SOFR (Annually) | 4.00% (Semi-Annually) | Citibank | 3/12/2024 | 4.00 | USD | 6,750,500 | (176,941) |
Interest Rate Swap Maturing 3/18/2029 | 1-Day USD SOFR (Annually) | 3.96% (Semi-Annually) | Barclays | 3/14/2024 | 3.96 | USD | 6,750,500 | (186,146) |
Interest Rate Swap Maturing 3/19/2029 | 1-Day USD SOFR (Annually) | 4.03% (Semi-Annually) | Morgan Stanley | 3/15/2024 | 4.03 | USD | 3,375,250 | (85,320) |
Interest Rate Swap Maturing 9/30/2036 | 1-Day USD SOFR (Annually) | 4.17% (Semi-Annually) | JPMorgan Chase | 9/28/2026 | 4.17 | USD | 272,431 | (18,019) |
Total Written OTC Put Swaptions Contracts (Premiums Received $387,933) | $(666,947) |
Interest Rate Swap Contracts outstanding at October 31, 2023: Centrally Cleared | |||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
5.41% (At Maturity) | 1-Day U.S. Federal Funds Rate (At Maturity) | 1/31/2024 | USD | 70,982,000 | $ (170) | $ — | $ (170) |
2-Day USD SOFR (At Maturity) | 4.19% (At Maturity) | 7/29/2025 | USD | 3,620,500 | (18,674) | — | (18,674) |
3.23% (At Maturity) | 1-Day EUR ESTR (At Maturity) | 7/29/2025 | EUR | 3,203,000 | (4,874) | — | (4,874) |
0.35% (At Maturity) | 1-Day JPY TONAR (At Maturity) | 9/13/2025 | JPY | 244,000,000 | 986 | — | 986 |
28-Day MXN-TIIE-BANXICO (Monthly) | 9.43% (Monthly) | 9/17/2025 | MXN | 8,432,000 | (2,455) | — | (2,455) |
28-Day MXN-TIIE-BANXICO (Monthly) | 9.20% (Monthly) | 9/17/2025 | MXN | 1,982,000 | (795) | — | (795) |
0.38% (At Maturity) | 1-Day JPY TONAR (At Maturity) | 9/24/2025 | JPY | 200,000,000 | 519 | — | 519 |
28-Day MXN-TIIE-BANXICO (Monthly) | 10.84% (Monthly) | 9/25/2025 | MXN | 2,501,000 | 267 | — | 267 |
28-Day MXN-TIIE-BANXICO (Monthly) | 10.72% (Monthly) | 10/16/2025 | MXN | 2,095,000 | 35 | — | 35 |
1-Day GBP SONIA Rate (At Maturity) | 4.78% (At Maturity) | 10/28/2025 | GBP | 1,410,000 | 2,392 | — | 2,392 |
4.60% (At Maturity) | 2-Day USD SOFR (At Maturity) | 10/29/2025 | USD | 1,720,000 | (1,380) | — | (1,380) |
3M KRW KSDA (Quarterly) | 3.38% (Quarterly) | 9/20/2026 | KRW | 181,949,097 | (2,577) | — | (2,577) |
3M KRW KSDA (Quarterly) | 3.55% (Quarterly) | 9/20/2026 | KRW | 115,565,000 | (1,236) | — | (1,236) |
3M KRW KSDA (Quarterly) | 3.33% (Quarterly) | 9/20/2026 | KRW | 90,960,903 | (1,387) | — | (1,387) |
1-Day GBP SONIA Rate (At Maturity) | 4.13% (At Maturity) | 10/16/2027 | GBP | 780,000 | (89) | 83 | (172) |
2.93% (At Maturity) | 1-Day EUR ESTR (At Maturity) | 10/21/2027 | EUR | 840,000 | (1,450) | 222 | (1,672) |
2-Day USD SOFR (Annually) | 4.18% (Annually) | 2/29/2028 | USD | 17,611,000 | (237,900) | 13,002 | (250,902) |
2-Day USD SOFR (Annually) | 4.00% (Annually) | 2/29/2028 | USD | 15,890,000 | (323,487) | (2,814) | (320,673) |
Interest Rate Swap Contracts outstanding at October 31, 2023: Centrally Cleared (continued) | |||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
6M EUR EURIBOR (Semi-Annually) | 3.15% (Annually) | 7/21/2028 | EUR | 111,000 | $ (817) | $ — | $ (817) |
4.30% (Annually) | 2-Day USD SOFR (Annually) | 9/21/2028 | USD | 681,869 | 7,754 | — | 7,754 |
28-Day MXN-TIIE-BANXICO (Monthly) | 9.67% (Monthly) | 10/23/2028 | MXN | 1,846,000 | (252) | — | (252) |
28-Day MXN-TIIE-BANXICO (Monthly) | 9.69% (Monthly) | 10/25/2028 | MXN | 1,851,000 | (174) | — | (174) |
2.85% (Annually) | 2-Day USD SOFR (Annually) | 2/15/2029 | USD | 2,329,000 | 219,732 | 7,375 | 212,357 |
4.37% (Annually) | 2-Day USD SOFR (Annually) | 3/20/2029 | USD | 2,387,975 | 6,634 | — | 6,634 |
4.45% (Annually) | 2-Day USD SOFR (Annually) | 3/20/2029 | USD | 1,842,070 | (1,371) | — | (1,371) |
4.51% (Annually) | 2-Day USD SOFR (Annually) | 3/20/2029 | USD | 1,501,015 | (4,870) | — | (4,870) |
3.85% (Annually) | 2-Day USD SOFR (Annually) | 6/30/2029 | USD | 4,375,000 | 166,670 | 4,627 | 162,043 |
3.25% (Annually) | 2-Day USD SOFR (Annually) | 9/30/2029 | USD | 2,157,000 | 143,954 | 818 | 143,136 |
1-Day CORRA (Semi-Annually) | 3.54% (Semi-Annually) | 6/15/2033 | CAD | 1,023,040 | (40,286) | — | (40,286) |
1-Day JPY TONAR (Annually) | 1.32% (Annually) | 9/13/2033 | JPY | 52,000,000 | (4,243) | — | (4,243) |
1-Day CORRA (Semi-Annually) | 4.00% (Semi-Annually) | 9/21/2033 | CAD | 270,000 | (2,824) | — | (2,824) |
1-Day JPY TONAR (Annually) | 1.32% (Annually) | 9/21/2033 | JPY | 42,000,000 | (3,375) | — | (3,375) |
3.15% (Annually) | 2-Day USD SOFR (Annually) | 5/15/2048 | USD | 11,585,000 | 2,280,107 | (41,294) | 2,321,401 |
2.50% (Annually) | 2-Day USD SOFR (Annually) | 4/21/2052 | USD | 115,000 | 35,546 | 102 | 35,444 |
3.40% (Semi-Annually) | 1-Day CORRA (Semi-Annually) | 6/15/2053 | CAD | 455,000 | 34,519 | — | 34,519 |
3.72% (Semi-Annually) | 1-Day CORRA (Semi-Annually) | 9/21/2053 | CAD | 120,000 | 3,954 | — | 3,954 |
Total | $2,248,383 | $(17,879) | $2,266,262 |
Interest Rate Swap Contracts outstanding at October 31, 2023: 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) | |
12.62% (At Maturity) | 1-Day BRL BZDIO (At Maturity) | Citibank | 1/2/2024 | BRL | 3,224,657 | $ 15 | $— | $ 15 |
1-Day BRL BZDIO (At Maturity) | 11.07% (At Maturity) | Barclays | 1/2/2025 | BRL | 928,000 | (259) | — | (259) |
1-Day BRL BZDIO (At Maturity) | 11.87% (At Maturity) | Bank of America | 1/2/2025 | BRL | 616,569 | 204 | — | 204 |
8.62% (At Maturity) | 1-Day COP COOVI (At Maturity) | JPMorgan Chase | 11/5/2025 | COP | 781,128,000 | (413) | — | (413) |
1-Day BRL BZDIO (At Maturity) | 9.98% (At Maturity) | HSBC | 1/2/2026 | BRL | 737,000 | (3,961) | — | (3,961) |
1-Day BRL BZDIO (At Maturity) | 11.80% (At Maturity) | Citibank | 1/2/2026 | BRL | 578,798 | 807 | — | 807 |
1-Day BRL BZDIO (At Maturity) | 11.75% (At Maturity) | Citibank | 1/2/2026 | BRL | 563,000 | 611 | — | 611 |
Interest Rate Swap Contracts outstanding at October 31, 2023: Over the Counter (continued) | ||||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Counterparty | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
1-Day BRL BZDIO (At Maturity) | 10.11% (At Maturity) | Goldman Sachs | 1/2/2026 | BRL | 231,260 | (1,127) | $— | $ (1,127) |
10.56% (At Maturity) | 1-Day BRL BZDIO (At Maturity) | Morgan Stanley | 1/4/2027 | BRL | 404,000 | 1,721 | — | 1,721 |
Total | $(2,402) | $— | $(2,402) |
Centrally Cleared
Reference Obligation | Fixed Deal Pay Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||
Markit iTraxx Europe Main Index Series (Pay Quarterly) | 5.00% | 12/20/2028 | EUR | 148,546 | $ (3,994) | $ (3,372) | $ (622) | |
Total | $(3,994) | $(3,372) | $(622) |
Credit Default Swap Contracts outstanding - Sell Protection as of October 31, 2023: Centrally Cleared | ||||||||
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 41 (Pay Quarterly) | 5.14% | 5.00% | 12/20/2028 | USD | 2,263,572 | $ 1,232 | $ (24,307) | $ 25,539 |
Markit CDX North America Investment Grade Index Series 41 (Pay Quarterly) | 0.79% | 1.00% | 12/20/2028 | USD | 20,787,900 | 226,220 | 261,774 | (35,554) |
Total | $227,452 | $237,467 | $(10,015) |
Credit Default Swap Contracts outstanding - Buy Protection at October 31, 2023: 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: 1/07/2025 (Pay Quarterly) | 1.00% | 12/20/2024 | Barclays | USD | 336,000 | $ (2,586) | $ 1,908 | $ (4,494) |
Abbott Laboratories 3.4% 11/30/2023 (Pay Quarterly) | 1.00% | 12/20/2028 | JPMorgan Chase | USD | 129,000 | (3,243) | (2,502) | (741) |
American Electric Power, 3.2%, Due: 11/13/2027 (Pay Quarterly) | 1.00% | 12/20/2028 | Goldman Sachs | USD | 360,000 | (8,149) | (8,943) | 794 |
Credit Default Swap Contracts outstanding - Buy Protection at October 31, 2023: Over the Counter (continued) | ||||||||
Reference Obligation | Fixed Deal Pay Rate | Maturity Date | Counterparty | Notional Amount | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
American Electric Power, 3.2%, Due: 11/13/2027 (Pay Quarterly) | 1.00% | 12/20/2028 | Deutsche Bank | USD | 190,770 | $ (4,318) | $ (3,958) | $ (360) |
American Electric Power, 3.2%, Due: 11/13/2027 (Pay Quarterly) | 1.00% | 12/20/2028 | Bank of America | USD | 152,230 | (3,446) | (3,579) | 133 |
American Express Co., 4.05%, Due: 5/03/2029 (Pay Quarterly) | 1.00% | 12/20/2028 | Citibank | USD | 360,000 | (6,647) | (7,934) | 1,287 |
Dominion Energy, Inc., 4.25%, Due: 6/01/2028 (Pay Quarterly) | 1.00% | 12/20/2028 | Bank of America | USD | 152,233 | (2,096) | (2,531) | 435 |
Dominion Energy, Inc., 4.25%, Due: 6/01/2028 (Pay Quarterly) | 1.00% | 12/20/2028 | Barclays | USD | 38,422 | (529) | (619) | 90 |
Federal Republic of Brazil, 4.25%, Due: 1/07/2025 (Pay Quarterly) | 1.00% | 12/20/2028 | Goldman Sachs | USD | 36,100 | 1,259 | 1,527 | (268) |
Republic of South Africa, 5.88%, Due: 9/16/2025 (Pay Quarterly) | 1.00% | 12/20/2028 | Barclays | USD | 98,000 | 7,261 | 7,859 | (598) |
United Mexican States, 4.15%, Due: 3/28/2027 (Pay Quarterly) | 1.00% | 12/20/2028 | BNP Paribas | USD | 151,000 | 1,272 | 1,556 | (284) |
United Mexican States, 4.15%, Due: 3/28/2027 (Pay Quarterly) | 1.00% | 12/20/2028 | Barclays | USD | 76,506 | 645 | 619 | 26 |
United Mexican States, 4.15%, Due: 3/28/2027 (Pay Quarterly) | 1.00% | 12/20/2028 | JPMorgan Chase | USD | 28,800 | 243 | 294 | (51) |
Total | $(20,334) | $(16,303) | $(4,031) |
Credit Default Swap Contracts outstanding - Sell Protection at October 31, 2023: 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) | |
Markit CMBX North America Index Series 14 (Pay Monthly) | 0.00% | 3.00% | 12/16/2072 | Goldman Sachs | USD | 40,000 | $ (11,182) | $ (6,765) | $ (4,417) |
Total | $(11,182) | $(6,765) | $(4,417) |
Inflation Swap Contracts outstanding at October 31, 2023: Centrally Cleared | |||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
2.59% (At Maturity) | 1-Day U.S. Consumer Price Index (At Maturity) | 10/31/2028 | USD | 1,749,000 | $ (929) | $ (401) | $ (528) |
Inflation Swap Contracts outstanding at October 31, 2023: Centrally Cleared (continued) | |||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
2.60% (At Maturity) | 1-Day U.S. Consumer Price Index (At Maturity) | 11/1/2028 | USD | 1,749,000 | (1,677) | $(2,221) | $ 544 |
1-Day U.S. Consumer Price Index (At Maturity) | 2.68% (At Maturity) | 10/31/2033 | USD | 1,749,000 | 2,482 | 402 | 2,080 |
1-Day U.S. Consumer Price Index (At Maturity) | 2.67% (At Maturity) | 11/1/2033 | USD | 1,749,000 | 1,603 | 2,222 | (619) |
3.40% (At Maturity) | 1-Day UK Retail Price Index (At Maturity) | 10/15/2053 | GBP | 115,000 | (761) | — | (761) |
1-Day U.S. Consumer Price Index (At Maturity) | 2.67% (At Maturity) | 10/20/2053 | USD | 165,000 | (742) | — | (742) |
Total | $ (24) | $ 2 | $ (26) |
Morningstar Total Return Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 33,169,792 | $ — | $ 33,169,792 |
Corporate Bonds | — | 136,277,742 | 93,381 | 136,371,123 |
Foreign Issuer Bonds | — | 42,648,139 | — | 42,648,139 |
Mortgage-Backed Securities | — | 273,302,484 | — | 273,302,484 |
Municipal Bonds | — | 2,239,444 | — | 2,239,444 |
Term Loans | — | 22,689 | — | 22,689 |
U.S. Government Obligations | — | 101,879,198 | — | 101,879,198 |
Investment Companies | 213,951,185 | — | — | 213,951,185 |
Short-Term Investments | 14,094,273 | 8,438,211 | — | 22,532,484 |
Purchased Options | 230,148 | 916,875 | — | 1,147,023 |
Total Assets – Investments at value | $228,275,606 | $598,894,574 | $93,381 | $827,263,561 |
Liabilities: | ||||
Mortgage-Backed Securities | $ — | $ (16,839,031) | $ — | $ (16,839,031) |
Total Liabilities – Investments at value | $ — | $ (16,839,031) | $ — | $ (16,839,031) |
Net Investments | $228,275,606 | $582,055,543 | $93,381 | $810,424,530 |
Morningstar Total Return Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments |
Morningstar Total Return Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Assets: | ||||
Futures Contracts | $ 1,328,243 | $ — | $— | $ 1,328,243 |
Forward Foreign Currency Exchange Contracts | — | 90,561 | — | 90,561 |
Swap Agreements | — | 3,148,644 | — | 3,148,644 |
Total Assets - Derivative Financial Instruments | $ 1,328,243 | $ 3,239,205 | $— | $ 4,567,448 |
Liabilities: | ||||
Futures Contracts | $(4,205,435) | $ — | $— | $(4,205,435) |
Forward Foreign Currency Exchange Contracts | — | (78,128) | — | (78,128) |
Written Options | (109,661) | (859,500) | — | (969,161) |
Swap Agreements | — | (710,745) | — | (710,745) |
Total Liabilities - Derivative Financial Instruments | $(4,315,096) | $(1,648,373) | $— | $(5,963,469) |
Net Derivative Financial Instruments | $(2,986,853) | $ 1,590,832 | $— | $(1,396,021) |
Par | Value | ||
Municipal Bonds – 84.7% | |||
Alabama – 3.1% | |||
Alabama State Corrections Institution Finance Authority Revenue Bonds, 5.25%, 7/01/47 | $ 500,000 | $ 507,743 | |
Black Belt Energy Gas District Gas Prepay Revenue Bonds, Series A-1, Project No. 4, 4.00%, 6/01/25 | 990,000 | 978,299 | |
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 | 508,707 | |
Black Belt Energy Gas District Gas Project Revenue Bonds, Series C-1, 5.25%, 6/01/29(a)(b)(c) | 1,030,000 | 1,031,856 | |
Black Belt Energy Gas District Gas Supply Revenue Refunding Bonds, 4.00%, 12/01/31(a)(b)(c) | 500,000 | 459,934 | |
Black Belt Energy Gas District Project Variable Revenue Bonds, Series B-2, (SIFMA Municipal Swap Index Yield + 0.65%), 4.74%, 10/01/27(a)(c) | 250,000 | 245,304 | |
Black Belt Energy Gas District Revenue Bonds, Project No. 7, 4.00%, 12/01/26(a)(b)(c) | 2,110,000 | 2,032,356 | |
Jefferson County Sewer Warrants Senior Lien Revenue Bonds, Series A (AGM Insured), 5.50%, 10/01/53 | 300,000 | 300,407 | |
Lower Alabama Gas District Gas Project Revenue Bonds, 4.00%, 12/01/25(a)(b)(c) | 500,000 | 488,732 | |
Mobile Industrial Development Board PCR Bonds, Alabama Power Company Barry Plant Project, 1.00%, 6/26/25(a)(b)(c) | 1,000,000 | 944,746 | |
Southeast Energy Authority Commodity Supply Revenue Bonds, Series B, Project No. 6, | |||
5.00%, 6/01/30 | 475,000 | 476,350 | |
5.00%, 6/01/30(a)(b)(c) | 500,000 | 496,623 |
Par | Value | ||
Alabama (Continued) | |||
Southeast Energy Authority Commodity Supply Revenue Bonds, Series B-1, Project No. 4, 5.00%, 8/01/28(a)(b)(c) | $150,000 | $ 148,545 | |
Tuscaloosa County IDA Gulf Opportunity Zone Revenue Refunding Bonds, Series A, Hunt Refining Project, 5.25%, 5/01/44(d) | 410,000 | 336,753 | |
University of South Alabama University Revenue Bonds (BAM Insured), 5.00%, 4/01/27 | 375,000 | 385,841 | |
University of West Alabama University Revenue Refunding Bonds (AGM Insured), 5.00%, 1/01/27 | 505,000 | 513,673 | |
9,855,869 | |||
Alaska – 0.2% | |||
Alaska State Municipal Bond Bank Authority Revenue Bonds, Series 2 (AMT), 5.00%, 12/01/29 | 590,000 | 603,450 | |
Arizona – 0.5% | |||
Arizona State IDA Education Revenue Bonds, Series B, Jerome Facilities Project, Social Bonds, 4.00%, 7/01/51 | 175,000 | 130,144 | |
Maricopa County IDA Revenue Bonds, Series A, Banner Health, 4.00%, 1/01/41 | 250,000 | 219,769 | |
Maricopa County IDA Variable Revenue Bonds, Series A-3, Banner Health, 5.00%, 11/01/30(a)(b)(c) | 300,000 | 310,736 | |
Pima County IDA Education Revenue Facility Revenue Bonds, Paideia Academies Project, 6.13%, 7/01/45(d) | 240,000 | 223,541 | |
Pima County IDA Education Revenue Refunding Bonds, Series A, 4.00%, 12/15/24(d) | 260,000 | 256,278 | |
Salt River Project Agricultural Improvement & Power District Electric System Revenue Refunding Bonds, Series A, 5.00%, 12/01/45 | 500,000 | 507,390 | |
1,647,858 |
Par | Value | ||
Arkansas – 0.1% | |||
Bentonville Sales & Use Tax Revenue Refunding Bonds, Series B, 1.05%, 11/01/46 | $ 235,000 | $ 232,998 | |
Springdale Sales & Use Revenue Bonds, Series B (BAM Insured), | |||
5.00%, 8/01/28 | 125,000 | 130,419 | |
5.00%, 8/01/29 | 120,000 | 125,794 | |
489,211 | |||
California – 6.2% | |||
Bay Area Toll Bridge Authority Variable Revenue Refunding Bonds, San Francisco Bay, (SIFMA Municipal Swap Index Yield + 0.45%), 4.30%, 4/01/26(a)(c) | 2,000,000 | 1,962,513 | |
California Community Choice Financing Authority Variable Revenue Bonds, Clean Energy Project, Green Bonds, 5.00%, 10/01/30 | 450,000 | 439,459 | |
California Housing Finance Agency Municipal Certificates Revenue Bonds, Series 2, Class A, 4.00%, 3/20/33 | 234,477 | 220,953 | |
California PFA Revenue Refunding Bonds, Henry Mayo Newhall Hospital, 5.00%, 10/15/47 | 580,000 | 527,551 | |
California State GO Unlimited Bonds, 4.25%, 9/01/52 | 125,000 | 113,403 | |
California State Infrastructure & Economic Development Bank National Charter Equitable School Revolving Fund Revenue Bonds, 5.00%, 11/01/57 | 100,000 | 90,904 | |
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 | 1,268,387 |
Par | Value | ||
California (Continued) | |||
California State Municipal Finance Authority Refunding COPS, Series A, Palomar Health (AGM Insured), 5.25%, 11/01/52 | $ 110,000 | $ 111,421 | |
California State Municipal Finance Authority Revenue Bonds, Charter School John Adams Academies-Lincoln Project, 5.00%, 10/01/57(d) | 330,000 | 264,412 | |
California State Municipal Finance Authority Revenue Refunding Bonds, Series A, Eisenhower Medical Center, 5.00%, 7/01/25 | 650,000 | 652,925 | |
California State Municipal Finance Authority Senior Living Revenue Bonds, Mt. San Antonio Garden, 2.13%, 11/15/26 | 250,000 | 240,109 | |
California State Municipal Finance Authority Senior Living Revenue Refunding Bonds, Mt. San Antonio Gardens Project, 5.00%, 11/15/39 | 300,000 | 264,573 | |
California State Municipal Finance Authority Student Housing Revenue Bonds, CHF-Davis I, LLC-West Village, 5.00%, 5/15/36 | 1,130,000 | 1,145,024 | |
California State Municipal Finance Authority Student Housing Revenue Bonds, Series A-P3, Claremont Colleges Project, 5.00%, 7/01/30(d) | 320,000 | 307,699 | |
California State Municipal Finance Authority Student Housing Revenue Bonds, UCR North District Phase 1 (BAM Insured), 5.00%, 5/15/28 | 500,000 | 518,566 | |
California State School Finance Authority Charter School Revenue Bonds, Series A, John Adams Academies, 5.00%, 7/01/52(d) | 520,000 | 425,483 | |
California State University Systemwide Revenue Bonds, Series C, 4.00%, 11/01/45 | 200,000 | 176,924 |
Par | Value | ||
California (Continued) | |||
California Statewide Communities Development Authority Revenue Bonds, Lancer Educational Standard Housing Project, 5.00%, 6/01/34(d) | $375,000 | $351,223 | |
California Statewide Communities Development Authority Revenue Bonds, Loma Linda University Medical, 5.50%, 12/01/58(d) | 500,000 | 456,672 | |
California Statewide Communities Development Authority Revenue Bonds, Series A, Enloe Medical Center (AGM Insured), 5.25%, 8/15/52 | 450,000 | 459,188 | |
California Statewide Communities Development Authority Revenue Bonds, Series A, Loma Linda University Medical Center, 5.25%, 12/01/56(d) | 250,000 | 221,162 | |
California Statewide Communities Development Authority Special Assessment Bonds, Statewide Community Infrastructure Program, | |||
5.00%, 9/02/34 | 100,000 | 101,059 | |
5.25%, 9/02/43 | 200,000 | 181,816 | |
California Tobacco Securitization Agency Tobacco Settlement Senior Revenue Refunding Bonds, Series A, 4.00%, 6/01/40 | 300,000 | 265,279 | |
Cathedral City Redevelopment Agency Successor Agency Tax Allocation Revenue Refunding Bonds, Merged Redevelopment Project Area (BAM Insured), 4.00%, 8/01/26 | 250,000 | 249,070 | |
Compton Community Redevelopment Agency Successor Agency Tax Allocation Revenue Refunding Bonds, Series A (AGM Insured), 5.00%, 8/01/42 | 250,000 | 252,427 |
Par | Value | ||
California (Continued) | |||
CSCDA Community Improvement Authority Essential Housing Mezzanine Lien Revenue Bonds, City of Orange, 4.00%, 3/01/57(d) | $ 200,000 | $ 127,790 | |
Foothill Eastern Transportation Corridor Agency Toll Road Junior Lien Revenue Bonds, Series C, 5.00%, 1/15/26 | 200,000 | 201,779 | |
Foothill Eastern Transportation Corridor Agency Toll Road Junior Lien Revenue Refunding Bonds, Series C, 4.00%, 1/15/43 | 250,000 | 212,679 | |
Lodi Unified School District GO Unlimited Bonds, 3.00%, 8/01/46 | 400,000 | 277,498 | |
Los Angeles Department of Airports Airport Subordinate Revenue Bonds (AMT), Los Angeles International Airport, 5.00%, 5/15/34 | 510,000 | 511,975 | |
Los Angeles Department of Airports Airport Subordinate Revenue Bonds, Series C (AMT), Los Angeles International Airport, 5.00%, 5/15/29 | 1,000,000 | 1,021,833 | |
Los Angeles Department of Airports Subordinate Revenue Bonds, Series A (AMT), Private Activity, 4.00%, 5/15/41 | 1,000,000 | 851,991 | |
Los Angeles Department of Airports Subordinate Revenue Refunding Bonds (AMT), 5.00%, 5/15/43 | 500,000 | 484,114 | |
Mesa Water District COPS, 4.00%, 3/15/39 | 300,000 | 281,367 | |
Newman-Crows Landing Unified School District GO Unlimited CABS, 0.00%, 8/01/25(e) | 250,000 | 231,524 | |
Pittsburg Public Financing Authority Water Revenue Bonds, Series A (AGM Insured), 4.13%, 8/01/47 | 250,000 | 225,335 | |
Port of Oakland Intermediate Lien Revenue Refunding Bonds (AMT), 5.00%, 11/01/29 | 250,000 | 258,427 |
Par | Value | ||
California (Continued) | |||
Rocklin Community Facilities District No. 10 Special Tax Bonds, 5.00%, 9/01/34 | $150,000 | $ 151,037 | |
Sacramento Railyards Community Facilities District No. 2018 Special Tax Bonds, 5.25%, 9/01/47(d) | 550,000 | 504,105 | |
San Diego County Regional Airport Authority Subordinate Revenue Refunding Bonds, Series A, 4.00%, 7/01/37 | 300,000 | 287,341 | |
San Diego County Regional Airport Authority Subordinate Revenue Refunding Bonds, Series B (AMT), 5.00%, 7/01/39 | 525,000 | 516,707 | |
San Francisco City & County Airports Commission International Airport Revenue Bonds, Series A (AMT), 5.00%, 5/01/44 | 250,000 | 240,692 | |
San Mateo Foster City School District GO Unlimited Bonds, Series B, 4.00%, 8/01/48 | 500,000 | 443,289 | |
Susanville Natural Gas Revenue Refunding Bonds, Natural Gas Enterprise (AGM Insured), 3.00%, 6/01/26 | 595,000 | 576,489 | |
Tobacco Securitization Authority of Southern California Tobacco Settlement Revenue Refunding Bonds, San Diego Asset Securities, 5.00%, 6/01/35 | 100,000 | 103,761 | |
Washington Township Health Care District 2020 Election GO Unlimited Bonds, Series B, 5.50%, 8/01/53 | 750,000 | 786,353 | |
19,564,288 | |||
Colorado – 3.7% | |||
Aurora Crossroads Metropolitan District No. 2 Senior Lien GO Limited Bonds, Series A, 5.00%, 12/01/40 | 500,000 | 432,093 |
Par | Value | ||
Colorado (Continued) | |||
Colorado Educational & Cultural Authority Revenue Refunding Bonds, Prospect Ridge Academy Project (Moral Obligation Insured), | |||
5.00%, 3/15/25 | $ 485,000 | $ 488,369 | |
5.00%, 3/15/26 | 510,000 | 515,257 | |
5.00%, 3/15/29 | 590,000 | 603,091 | |
5.00%, 3/15/30 | 310,000 | 316,812 | |
5.00%, 3/15/35 | 590,000 | 598,041 | |
Colorado High Performance Transportation Enterprise Revenue Bonds, C-470 Express Lane, 5.00%, 12/31/56 | 1,000,000 | 896,159 | |
Colorado State Bridge Enterprise Revenue Bonds (AMT), Central 70 Project, 4.00%, 12/31/24 | 630,000 | 623,845 | |
Colorado State COPS, | |||
6.00%, 12/15/40 | 1,000,000 | 1,114,847 | |
6.00%, 12/15/41 | 500,000 | 555,681 | |
Colorado State COPS, Series A, | |||
4.00%, 12/15/35 | 1,250,000 | 1,199,305 | |
4.00%, 12/15/36 | 200,000 | 187,841 | |
Colorado State Health Facilities Authority Revenue Bonds, Commonspirit Health, Series B-2, 5.00%, 8/01/26(a)(b)(c) | 615,000 | 620,622 | |
Colorado State Health Facilities Authority Revenue Refunding Bonds, Parkview Medical Center, Inc., Project, Series B, 5.00%, 9/01/29 | 1,000,000 | 1,004,426 | |
Denver City & County Airport Revenue Refunding Bonds, Series D (AMT), | |||
5.00%, 11/15/24 | 500,000 | 502,424 | |
5.75%, 11/15/41 | 325,000 | 344,309 | |
Denver City & County Airport System Subordinate Revenue Refunding Bonds, Series A (AMT), 5.25%, 12/01/43 | 500,000 | 493,742 | |
Denver Convention Center Hotel Authority Senior Revenue Refunding Bonds, 5.00%, 12/01/40 | 250,000 | 226,150 |
Par | Value | ||
Colorado (Continued) | |||
Denver Health & Hospital Authority Healthcare Revenue Bonds, Series A, 4.00%, 12/01/27 | $180,000 | $ 173,218 | |
Park Creek Metropolitan District Revenue Refunding Bonds, Series A (NATL, IBC Insured), 5.00%, 12/01/45 | 500,000 | 485,102 | |
Public Authority for Colorado State Energy Natural Gas Purchase Revenue Bonds, 6.50%, 11/15/38 | 250,000 | 276,211 | |
11,657,545 | |||
Connecticut – 1.1% | |||
Connecticut State Health & Educational Facilities Authority Revenue Bonds, Series K, Sacred Heart University, 5.00%, 7/01/27 | 400,000 | 411,345 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Forward Delivery, Stamford Hospital Issue, 4.00%, 7/01/42 | 250,000 | 207,019 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series B-1, 5.00%, 1/01/25(a)(b)(c) | 500,000 | 502,540 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series F, Masonicare Issue, 5.00%, 7/01/27 | 220,000 | 216,378 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, University of Hartford, | |||
5.00%, 7/01/25 | 260,000 | 256,523 | |
5.00%, 7/01/31 | 500,000 | 479,071 | |
4.00%, 7/01/39 | 120,000 | 90,783 | |
4.00%, 7/01/49 | 100,000 | 65,597 |
Par | Value | ||
Connecticut (Continued) | |||
Connecticut State HFA Mortgage Finance Program Variable Revenue Bonds, Series A-4, Social Bonds, (SIFMA Municipal Swap Index Yield + 0.30%), 4.39%, 11/15/24(a)(c) | $1,000,000 | $ 996,281 | |
Hamden Revenue Refunding Bonds, Whitney Center Project, 5.00%, 1/01/40 | 125,000 | 102,595 | |
3,328,132 | |||
Delaware – 0.1% | |||
Kent County Student Housing & Dining Facilities Revenue Bonds, CHF-Dover LLC-Delaware State University Project, | |||
5.00%, 7/01/32 | 250,000 | 247,045 | |
5.00%, 7/01/48 | 100,000 | 87,924 | |
334,969 | |||
District of Columbia – 1.2% | |||
District of Columbia Hospital Revenue Refunding Bonds, Children's Hospital, 5.00%, 7/15/44 | 300,000 | 284,805 | |
District of Columbia Revenue Bonds, Ingleside Rock Creek Project, 5.00%, 7/01/52 | 400,000 | 299,613 | |
District of Columbia Revenue Bonds, KIPP DC Project, 4.00%, 7/01/39 | 100,000 | 86,492 | |
District of Columbia University Revenue Refunding Bonds, Georgetown University, 5.00%, 4/01/29 | 350,000 | 357,727 | |
Metropolitan Washington Airports Authority Airport System Revenue Refunding Bonds, Series A (AMT), 5.25%, 10/01/48 | 1,000,000 | 991,716 | |
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 | 322,232 |
Par | Value | ||
District of Columbia (Continued) | |||
Metropolitan Washington Airports Authority System Revenue Refunding Bonds, Series A (AMT), 5.00%, 10/01/46 | $ 500,000 | $ 478,844 | |
Washington Metropolitan Area Transit Authority Dedicated Revenue Bonds, Series A, Green Bonds, 5.50%, 7/15/51 | 525,000 | 550,790 | |
Washington Metropolitan Area Transit Authority Dedicated Revenue Bonds, Sustainability Financed, 5.25%, 7/15/53 | 450,000 | 460,567 | |
3,832,786 | |||
Florida – 4.0% | |||
Alachua County Health Facilities Authority Revenue Bonds, Shands Teaching Hospital & Clinics, 5.00%, 12/01/44 | 500,000 | 476,614 | |
Broward County Airport System Revenue Bonds, Series A (AMT), 5.00%, 10/01/36 | 750,000 | 735,406 | |
Central Florida Expressway Authority Senior Lien Revenue Refunding Bonds, 5.00%, 7/01/42 | 350,000 | 350,779 | |
Collier County Water-Sewer District Revenue Bonds, 4.00%, 7/01/40 | 500,000 | 449,398 | |
Florida State Municipal Power Agency Revenue Refunding Bonds, Series A, 5.00%, 10/01/31 | 300,000 | 304,903 | |
Greater Orlando Aviation Authority Airport Facilities Revenue Bonds, Series A (AMT), 5.00%, 10/01/40 | 500,000 | 486,456 | |
JEA Electric System Revenue Refunding Bonds, Series Three A, 4.00%, 10/01/37 | 1,395,000 | 1,204,548 | |
Lakeland Hospital System Revenue Refunding Bonds, Lakeland Regional Health Systems, 5.00%, 11/15/26 | 425,000 | 432,781 | |
Lakewood Ranch Stewardship District Utility Revenue Bonds, System Acquisition Project (AGM Insured), 5.25%, 10/01/48 | 350,000 | 354,574 |
Par | Value | ||
Florida (Continued) | |||
Lee County IDA Healthcare Facilities Revenue Bonds, Shell Point/Waterside Health Project, 5.00%, 11/15/39 | $300,000 | $276,333 | |
Lee County Local Optional Gas TRB, 5.25%, 8/01/49 | 355,000 | 355,102 | |
Lee Memorial Health System Hospital Revenue Refunding Bonds, Series A-1, 5.00%, 4/01/44 | 600,000 | 573,506 | |
Leon County School District Sales TRB, 4.00%, 9/01/26 | 800,000 | 799,960 | |
Miami-Dade County Aviation Revenue Bonds, Series A (AMT), 5.00%, 10/01/49 | 500,000 | 465,049 | |
Miami-Dade County Aviation Revenue Refunding Bonds, Series A (AMT), 5.00%, 10/01/33 | 500,000 | 490,801 | |
Miami-Dade County Educational Facilities Authority Revenue Refunding Bonds, Series A, University of Miami, 5.00%, 4/01/30 | 250,000 | 250,922 | |
Miami-Dade County Expressway Authority Toll System Revenue Bonds, Series A, 5.00%, 7/01/28 | 250,000 | 251,323 | |
Miami-Dade County GO Unlimited Bonds, Public Health Trust Program, 4.00%, 7/01/42 | 250,000 | 214,502 | |
Miami-Dade County Seaport Revenue Refunding Bonds, Series A (AMT), Senior Bonds, 5.25%, 10/01/52 | 500,000 | 480,692 | |
Miami-Dade County, Florida Aviation Revenue Refunding Bonds, Series A (AMT), 5.00%, 10/01/34 | 290,000 | 283,739 | |
Osceola County Florida Transportation Revenue Refunding CABS, Series A-2, | |||
0.00%, 10/01/25(e) | 125,000 | 112,958 | |
0.00%, 10/01/26(e) | 275,000 | 236,307 | |
0.00%, 10/01/27(e) | 360,000 | 294,849 | |
Polk County Utility System Revenue Refunding Bonds, 4.00%, 10/01/43 | 400,000 | 344,931 |
Par | Value | ||
Florida (Continued) | |||
Sarasota County Public Hospital District Revenue Bonds, Sarasota Memorial Hospital Project, 5.00%, 7/01/52 | $250,000 | $ 241,289 | |
Tampa Hospital Revenue Bonds, H. Lee Moffitt Cancer Center, | |||
5.00%, 7/01/25 | 150,000 | 151,584 | |
5.00%, 7/01/26 | 125,000 | 126,954 | |
5.00%, 7/01/27 | 125,000 | 127,523 | |
Village Community Development District No. 14 Special Assessment Revenue Bonds, 5.50%, 5/01/53 | 240,000 | 228,921 | |
Volusia County Educational Facilities Authority Revenue Refunding Bonds, Embry-Riddle Aeronautical, 5.00%, 10/15/44 | 500,000 | 491,795 | |
Wildwood Utility Dependent District Senior Lien Revenue Bonds, South Sumter Utility Project (BAM Insured), 5.00%, 10/01/41 | 465,000 | 469,766 | |
Wildwood Utility Dependent District Subordinate Revenue Bonds, South Sumter Utility Project (BAM Insured), 5.00%, 10/01/36 | 400,000 | 415,402 | |
12,479,667 | |||
Georgia – 2.5% | |||
Atlanta Airport Passenger Facility Charge Subordinate Revenue Bonds, Series C, 5.00%, 7/01/40 | 365,000 | 375,758 | |
Atlanta Development Authority Senior Lien Revenue Bonds, Series A-1, 5.00%, 7/01/30 | 200,000 | 202,475 | |
Bartow County Development Authority Revenue Refunding Bonds, Georgia Power Company Plant Bowen Project, 1.80%, 9/01/29(b)(c) | 250,000 | 199,494 | |
City of Atlanta Airport Passenger Facility Charge Subordinate Lien Green Revenue Bonds (AMT), 5.25%, 7/01/41 | 500,000 | 505,362 |
Par | Value | ||
Georgia (Continued) | |||
Fulton County Development Authority Transportation Corp., Toll Revenue Refunding Bonds, Robert W. Woodruff Arts Center, Inc., Project, 5.00%, 3/15/32 | $ 200,000 | $ 206,847 | |
Gainesville & Hall County Hospital Authority Revenue Refunding Bonds, Northeast Georgia Health System, Inc., Project, 5.00%, 2/15/37 | 500,000 | 503,954 | |
Georgia State GO Unlimited Bonds, Bidding Group 2, Series A, 4.00%, 7/01/42 | 1,000,000 | 930,039 | |
Glynn-Brunswick Memorial Hospital Authority Revenue Refunding Anticipation Certificates Bonds, Southeast Georgia Health System, 5.00%, 8/01/34 | 530,000 | 521,122 | |
Griffin-Spalding County Hospital Authority Revenue Anticipation Certificates Bonds, Wellstar, 5.00%, 4/01/35 | 150,000 | 152,293 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series A, 4.00%, 9/01/27(a)(b)(c) | 1,125,000 | 1,082,390 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series B, | |||
5.00%, 6/01/29(a)(b)(c) | 700,000 | 689,959 | |
5.00%, 3/01/30(a)(b)(c) | 335,000 | 332,800 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series C, 4.00%, 11/01/27(a)(b)(c)(d) | 1,000,000 | 931,211 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series D, 5.00%, 12/01/30(a)(b)(c) | 250,000 | 245,588 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series E-1, 5.00%, 6/01/31(a)(b)(c) | 150,000 | 148,861 | |
Main Street Natural Gas, Inc., Gas Supply Variable Revenue Bonds, Series B, 4.00%, 12/02/24(a)(b)(c) | 100,000 | 99,038 |
Par | Value | ||
Georgia (Continued) | |||
Municipal Electric Authority of Georgia Power Revenue Refunding Bonds, Series HH, 5.00%, 1/01/29 | $500,000 | $ 514,467 | |
Municipal Electric Authority of Georgia Revenue Bonds, Plant Vogtle Units 3&4 Project (AGM Insured), 5.00%, 7/01/55 | 250,000 | 241,079 | |
7,882,737 | |||
Guam – 0.1% | |||
Guam Government Business Privilege Tax Revenue Refunding Bonds, Series F, 4.00%, 1/01/42 | 250,000 | 206,938 | |
Hawaii – 0.0%(f) | |||
Honolulu City & County Multifamily Variable Revenue Bonds, Maunakea Tower Apartments (Housing & Urban Development Sector 8 Program), 5.00%, 6/01/26(a)(b)(c) | 135,000 | 136,765 | |
Illinois – 6.9% | |||
Chicago Board of Education GO Unlimited Bonds, Series A, | |||
5.00%, 12/01/38 | 500,000 | 463,926 | |
5.00%, 12/01/42 | 250,000 | 221,526 | |
Chicago Board of Education GO Unlimited Bonds, Series D, 5.00%, 12/01/46 | 350,000 | 303,341 | |
Chicago Board of Education GO Unlimited Refunding Bonds, Dedicated, Series D, 5.00%, 12/01/31 | 750,000 | 736,995 | |
Chicago City Colleges Capital Appreciation GO Unlimited Bonds (NATL Insured), 0.00%, 1/01/30(e) | 750,000 | 551,309 | |
Chicago GO Unlimited Bonds, Project & Refunding Series A, 5.25%, 1/01/30 | 500,000 | 500,937 | |
Chicago GO Unlimited Bonds, Series A, 5.50%, 1/01/49 | 100,000 | 97,466 |
Par | Value | ||
Illinois (Continued) | |||
Chicago GO Unlimited Bonds, Series A, Chicago Works, 5.50%, 1/01/39 | $250,000 | $252,716 | |
Chicago Heights Multifamily Variable Revenue Bonds, Olympic Village Apartments Project (FHA Insured, Housing & Urban Development Sector 8 Program), 2.88%, 8/01/25(a)(b)(c) | 500,000 | 485,006 | |
Chicago O'Hare International Airport Passenger Facility Charge Revenue Refunding Bonds (AMT), 5.00%, 1/01/32 | 500,000 | 495,078 | |
Chicago O'Hare International Airport Senior Lien General Revenue Bonds, Series D (AMT), 5.00%, 1/01/26 | 140,000 | 141,215 | |
Chicago O'Hare International Airport Senior Lien Revenue Refunding Bonds (AMT), 5.00%, 1/01/28 | 680,000 | 689,720 | |
Chicago O'Hare International Airport Senior Lien Revenue Refunding Bonds, Series A (AMT), 5.00%, 1/01/31 | 250,000 | 253,142 | |
Chicago Park District GO Limited Tax Refunding Bonds, Series B, 5.00%, 1/01/26 | 395,000 | 393,686 | |
Chicago Special Assessment Refunding Bonds, Lakeshore East Project, 2.87%, 12/01/27(d) | 254,000 | 230,807 | |
Chicago Transit Authority Sales Tax Receipts Revenue Bonds, 5.25%, 12/01/49 | 495,000 | 485,963 | |
Chicago Wastewater Transmission Second Lien Revenue Bonds, 5.00%, 1/01/39 | 550,000 | 528,619 | |
City of Chicago GO Unlimited Refunding Bonds, Series A, 5.00%, 1/01/27 | 250,000 | 253,804 |
Par | Value | ||
Illinois (Continued) | |||
City of Chicago O'Hare International Airport Senior Lien Revenue Refunding Bonds, Customer Facility (BAM Insured), 5.00%, 1/01/28 | $220,000 | $227,266 | |
Illinois State Finance Authority Revenue Bonds, Series A, The University of Chicago, 5.25%, 5/15/48 | 100,000 | 103,487 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, 4.00%, 7/15/39 | 250,000 | 218,530 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, Bradley University Project, 4.00%, 8/01/43 | 250,000 | 200,198 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, Lutheran Communities, 5.00%, 11/01/40 | 350,000 | 282,544 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, The Carle Foundation, 5.00%, 2/15/45 | 250,000 | 241,478 | |
Illinois State Finance Authority Variable Revenue Bonds, Series B-2, 5.00%, 11/15/26(a)(b)(c) | 925,000 | 936,836 | |
Illinois State GO Unlimited Bonds, | |||
5.50%, 5/01/25 | 845,000 | 858,834 | |
5.00%, 5/01/30 | 350,000 | 346,181 | |
Illinois State GO Unlimited Bonds, Series B, | |||
5.00%, 10/01/31 | 250,000 | 257,490 | |
5.50%, 5/01/47 | 100,000 | 100,513 | |
Illinois State GO Unlimited Refunding Bonds, Series A, 5.00%, 10/01/25 | 110,000 | 111,297 | |
Illinois State GO Unlimited Refunding Bonds, Series B, 5.00%, 10/01/28 | 250,000 | 257,279 | |
Illinois State HDA Revenue Refunding Bonds, Series H, Social Bonds (GNMA, FNMA, FHLMC Insured), 5.75%, 10/01/53 | 250,000 | 257,324 |
Par | Value | ||
Illinois (Continued) | |||
Illinois State Housing Development Authority MFH Variable Revenue Bonds, Marshall Field Garden (FNMA LOC), (SIFMA Municipal Swap Index Yield + 1.00%), 4.85%, 5/15/25(a)(c) | $500,000 | $498,388 | |
Illinois State Sales Tax Revenue Refunding Bonds, Subseries D (BAM, TCRS Insured), 3.00%, 6/15/31 | 390,000 | 332,749 | |
Illinois State Sports Facilities Authority State Tax Supported Revenue CABS (AMBAC Insured), 0.00%, 6/15/25(e) | 95,000 | 87,377 | |
Illinois State Sports Facilities Authority State Tax Supported Revenue Refunding Bonds (AGM Insured), 5.00%, 6/15/27 | 400,000 | 400,058 | |
Illinois State Toll Highway Authority Revenue Bonds, Series A, | |||
5.00%, 1/01/46 | 750,000 | 748,780 | |
4.00%, 1/01/46 | 250,000 | 211,349 | |
Illinois State Toll Highway Authority Senior Revenue Bonds, Series A, | |||
5.00%, 1/01/40 | 500,000 | 507,830 | |
5.00%, 1/01/45 | 250,000 | 249,518 | |
Illinois State Toll Highway Authority Senior Revenue Refunding Bonds, Series A, 5.00%, 1/01/31 | 525,000 | 549,917 | |
Kane, Cook & Dupage Counties, Illinois School District, GO Unlimited Refunding Bonds, Series D, 5.00%, 1/01/28 | 215,000 | 214,996 | |
Metropolitan Pier & Exposition Authority Dedicated Capital Appreciation Tax Revenue Refunding Bonds, Series B, McCormick Project (AGM Insured), 0.00%, 6/15/26(e) | 250,000 | 222,418 | |
Metropolitan Pier & Exposition Authority Revenue Refunding Bonds, McCormick Place Expansion, | |||
4.00%, 12/15/42 | 375,000 | 310,850 | |
4.00%, 6/15/52 | 245,000 | 188,443 |
Par | Value | ||
Illinois (Continued) | |||
Metropolitan Pier & Exposition Authority Revenue Refunding Bonds, McCormick Place Expansion Project, | |||
5.00%, 6/15/42 | $500,000 | $482,787 | |
5.00%, 6/15/50 | 500,000 | 464,293 | |
Metropolitan Pier & Exposition Authority Revenue Refunding CABS, McCormick Place Expansion, 0.00%, 12/15/35(e) | 150,000 | 79,840 | |
Northern University Board of Trustees Revenue Bonds, Auxiliary Facilities System (BAM Insured), | |||
5.00%, 10/01/25 | 325,000 | 328,728 | |
5.00%, 10/01/26 | 250,000 | 253,581 | |
Peoria County School District No. 150 GO Unlimited Refunding Bonds, Series A (AGM Insured), 4.00%, 12/01/26 | 390,000 | 391,154 | |
Regional Transportation Authority Revenue Bonds, Series B (NATL Insured), 5.50%, 6/01/27 | 350,000 | 362,128 | |
Sales Tax Securitization Corp., Second Lien Revenue Refunding Bonds, Series A, 4.00%, 1/01/38 | 250,000 | 222,992 | |
Sangamon Logan & Menard Counties Community Unit School District No. 15 GO Unlimited Bonds, Series B (BAM Insured), | |||
5.00%, 12/01/25 | 300,000 | 304,318 | |
4.00%, 12/01/39 | 250,000 | 215,521 | |
Springfield Illinois Electric Senior Lien Revenue Refunding Bonds, 5.00%, 3/01/29 | 590,000 | 593,215 | |
Waukegan City Lake County Water & Sewer System Revenue Refunding Bonds (AGM Insured), | |||
5.00%, 12/30/26 | 200,000 | 206,530 | |
4.00%, 12/30/38 | 500,000 | 439,318 | |
4.00%, 12/30/40 | 500,000 | 430,297 |
Par | Value | ||
Illinois (Continued) | |||
Waukegan GO Unlimited Bonds, Series A (AGM Insured), 5.00%, 12/30/32 | $ 250,000 | $ 252,862 | |
Will County Community High School District No. 210 Lincoln-Way Refunding GO Unlimited Refunding Bonds (AGM Insured), 4.00%, 1/01/34 | 650,000 | 615,639 | |
21,650,389 | |||
Indiana – 2.1% | |||
Fort Wayne Redevelopment Authority Lease Rental Revenue Refunding Bonds, Grand Wayne Center Project (State Intercept Program), 4.00%, 2/01/26 | 760,000 | 760,868 | |
Indiana Bond Bank Revenue CABS, Hamilton Co., Projects, | |||
0.00%, 7/15/25(e) | 450,000 | 418,060 | |
0.00%, 7/15/28(e) | 900,000 | 735,492 | |
0.00%, 1/15/29(e) | 560,000 | 447,338 | |
Indiana Finance Authority Educational Facilities Revenue Refunding Bonds, Series A, Depauw University Project, 5.50%, 7/01/52 | 255,000 | 239,638 | |
Indiana State Finance Authority Variable Revenue Refunding Bonds, Deaconess Health System, (SIFMA Municipal Swap Index Yield + 0.30%), 4.15%, 3/01/27(a)(c) | 1,390,000 | 1,344,680 | |
Knox Middle School Building Corp., Revenue Bonds (State Intercept Program), 5.00%, 1/15/27 | 440,000 | 454,447 | |
Tippecanoe County School Building Corp., Revenue Bonds, Series B (State Intercept Program), 5.00%, 7/15/29 | 195,000 | 204,767 | |
Vinton-Tecumseh School Building Corp., Ad Valorem Property Tax First Mortgage Revenue Bonds (State Intercept Program), | |||
4.00%, 7/15/26 | 530,000 | 529,757 | |
4.00%, 1/15/27 | 540,000 | 540,334 | |
4.00%, 7/15/27 | 550,000 | 551,045 |
Par | Value | ||
Indiana (Continued) | |||
Whiting Environmental Facilities Revenue Refunding Bonds (AMT), BP Products North America, 5.00%, 6/05/26(a)(b)(c) | $ 440,000 | $ 439,135 | |
6,665,561 | |||
Kansas – 0.5% | |||
City of Valley Center GO Unlimited Temporary Notes, Series 1, 4.38%, 12/01/25 | 500,000 | 498,286 | |
Dodge City GO Unlimited Temporary Notes, Series 2023-1, 4.13%, 9/01/25 | 1,000,000 | 998,379 | |
1,496,665 | |||
Kentucky – 1.6% | |||
Fayette County School District Finance Corp., Revenue Bonds, Series A (State Intercept Program), 4.00%, 5/01/38 | 250,000 | 217,558 | |
Kenton County Airport Board Revenue Refunding Bonds, 5.00%, 1/01/32 | 400,000 | 403,824 | |
Kentucky Bond Development Corp., Educational Facilities Revenue Refunding Bonds, Transylvania University Project, 5.00%, 3/01/27 | 155,000 | 158,282 | |
Kentucky State Economic Development Finance Authority Revenue Bonds, Owensboro Health, 5.25%, 6/01/50 | 250,000 | 229,118 | |
Kentucky State Economic Development Finance Authority Revenue Refunding Bonds, Masonic Home Independent Living, | |||
5.00%, 5/15/36 | 200,000 | 158,983 | |
5.00%, 5/15/46 | 100,000 | 68,273 | |
Kentucky State Economic Development Finance Authority Revenue Refunding Bonds, Series B, Owensboro Health, 5.00%, 6/01/40 | 300,000 | 279,080 | |
Kentucky State Interlocal School Transportation Association Equipment Lease COPS (State Intercept Program), 4.00%, 3/01/29 | 310,000 | 297,819 |
Par | Value | ||
Kentucky (Continued) | |||
Kentucky State Public Energy Authority Gas Supply Revenue Bonds, Series A-1, 4.00%, 6/01/25(a)(b)(c) | $ 500,000 | $ 491,291 | |
Kentucky State Public Energy Authority Revenue Bonds, Series B, Gas Supply, 4.00%, 1/01/25(a)(b)(c) | 650,000 | 641,843 | |
Kentucky State University COPS, Kentucky State University Project (BAM Insured), 5.00%, 11/01/24 | 230,000 | 231,992 | |
Louisville & Jefferson County Metro Government PCR Refunding Bonds (AMT), Louisville Gas & Electric, 1.35%, 11/01/27 | 1,500,000 | 1,280,805 | |
Owen County Water Facilities Variable Revenue Refunding Bonds, American Water Company Project, 3.88%, 9/01/28(a)(b)(c) | 500,000 | 481,641 | |
4,940,509 | |||
Louisiana – 1.2% | |||
East Baton Rouge Parish Sewerage Commission Revenue Refunding Bonds, Series A, | |||
5.00%, 2/01/25 | 475,000 | 481,795 | |
5.00%, 2/01/26 | 100,000 | 102,482 | |
East Baton Rouge Parish Sewerage Commission Variable Revenue Refunding Bonds, Series A, 1.30%, 2/01/28(a)(b)(c) | 500,000 | 412,326 | |
Louisiana Public Facilities Authority Revenue Refunding Bonds, Loyola University Project, | |||
5.00%, 10/01/25 | 250,000 | 252,091 | |
5.00%, 10/01/26 | 215,000 | 217,786 | |
Louisiana State Public Facilities Authority Revenue Refunding Bonds, Ochsner Clinic Foundation Project, 5.00%, 5/15/26 | 400,000 | 404,070 |
Par | Value | ||
Louisiana (Continued) | |||
Louisiana State Public Facilities Authority Solid Waste Disposal Variable Revenue Bonds (AMT), Waste Pro USA Inc., Project, 6.75%, 10/01/28(a)(b)(c)(d) | $ 200,000 | $ 199,975 | |
Saint James Parish Variable Revenue Bonds, Nustar Logistics, 5.85%, 6/01/25(a)(b)(c)(d) | 525,000 | 530,722 | |
Saint John The Baptist Parish Revenue Refunding Bonds, Marathon Oil Corp., Project, 4.05%, 7/01/26(a)(b)(c) | 1,250,000 | 1,224,612 | |
Saint John The Baptist Parish Variable Revenue Refunding Bonds, Marathon Oil Corp., Project, 2.38%, 7/01/26(a)(b)(c) | 125,000 | 116,640 | |
3,942,499 | |||
Maine – 0.4% | |||
Maine Health & Higher Educational Facilities Authority Revenue Bonds, Series A, 5.00%, 7/01/27 | 215,000 | 220,437 | |
Maine State Finance Authority Student Loan Revenue Refunding Bonds (AMT) (AGM Insured), 5.00%, 12/01/24 | 500,000 | 501,840 | |
Maine State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A (State Intercept State Resource Fund Guaranty Program), Prerefunded, 5.00%, 7/01/27(g) | 30,000 | 31,234 | |
Maine State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A (State Intercept State Resource Fund Guaranty Program), Unrefunded Balance, 5.00%, 7/01/28 | 620,000 | 635,889 | |
1,389,400 |
Par | Value | ||
Maryland – 2.7% | |||
Baltimore Convention Center Hotel Revenue Refunding Bonds, Convention Center Hotel, 5.00%, 9/01/39 | $ 500,000 | $ 426,156 | |
Maryland State Community Development Administration Department Housing & Community Development Revenue Bonds, Social Bonds (GNMA, FNMA, FHLMC Insured), 5.05%, 3/01/47 | 500,000 | 492,569 | |
Maryland State Community Development Administration Housing Revenue Bonds, Series I, Rosemont L.P., 4.38%, 1/01/25(d) | 1,000,000 | 989,687 | |
Maryland State Department of Transportation Revenue Bonds (AMT), Baltimore Washington International, 4.00%, 8/01/37 | 270,000 | 241,984 | |
Maryland State Economic Development Corp., Private Activity Revenue Bonds (AMT), Purple Line Light Rail Project, Green Bonds, | |||
5.00%, 11/12/28 | 500,000 | 496,495 | |
5.25%, 6/30/55 | 1,000,000 | 915,028 | |
Maryland State Economic Development Corp., Revenue Bonds (AMT), Seagirt Marine Terminal Projects, 5.00%, 6/01/44 | 500,000 | 471,165 | |
Maryland State Economic Development Corp., Senior Lien Revenue Bonds, Annapolis Mobility & Resilience, 5.00%, 12/31/42 | 145,000 | 136,100 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Adventist Healthcare Obligated, 5.50%, 1/01/31 | 400,000 | 411,987 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Peninsula Regional Health System, 5.00%, 7/01/27 | 1,320,000 | 1,347,539 |
Par | Value | ||
Maryland (Continued) | |||
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Adventist Healthcare, 4.00%, 1/01/26 | $ 875,000 | $ 854,471 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A, Broadmead Issue, 4.00%, 7/01/35 | 285,000 | 249,656 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A, Mercy Medical Center, 4.00%, 7/01/42 | 120,000 | 97,307 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Stevenson University Project, 4.00%, 6/01/51 | 325,000 | 252,070 | |
Maryland State Health & Higher Educational Facilities Authority Variable Revenue Refunding Bonds, University of Maryland, 5.00%, 7/01/27(a)(b)(c) | 200,000 | 204,621 | |
Montgomery County GO Unlimited Refunding Bonds, Series A, Consolidated Public Improvement Project, 2.00%, 8/01/41 | 1,000,000 | 595,183 | |
Montgomery County Housing Opportunities Commission Multifamily & Reconstruction Development Revenue Bonds, Series C (FHA 542 (C) Insured), 2.85%, 1/01/51 | 250,000 | 152,927 | |
Washington County Economic Development Revenue Refunding Bonds, Homewood Maryland Obligated Group Project, 4.00%, 5/01/42 | 225,000 | 155,579 | |
8,490,524 |
Par | Value | ||
Massachusetts – 1.3% | |||
Massachusetts State Development Finance Agency Revenue Bonds, UMass Boston Student Housing Project, 5.00%, 10/01/48 | $ 500,000 | $ 434,007 | |
Massachusetts State Development Finance Agency Revenue Refunding Bonds, Lasell University, | |||
4.00%, 7/01/25 | 235,000 | 230,254 | |
4.00%, 7/01/26 | 240,000 | 232,734 | |
Massachusetts State Development Finance Agency Revenue Refunding Bonds, Series F, Lahey Clinic Obligated Group, 5.00%, 8/15/45 | 250,000 | 242,927 | |
Massachusetts State Development Financing Agency Variable Revenue Bonds, Partners Healthcare System, (SIFMA Municipal Swap Index Yield + 0.60%), 4.45%, 1/29/26(a)(c)(d) | 1,000,000 | 989,796 | |
Massachusetts State GO Limited Refunding Bonds, Series B, 5.00%, 7/01/34 | 1,350,000 | 1,447,740 | |
Massachusetts State Port Authority Revenue Bonds, Series E (AMT), 5.00%, 7/01/27 | 365,000 | 372,367 | |
3,949,825 | |||
Michigan – 2.5% | |||
Detroit Downtown Development Authority Tax Allocation Increment Revenue Refunding Bonds, Series A, Catalyst Development Project (AGM Insured), | |||
5.00%, 7/01/43 | 100,000 | 95,626 | |
5.00%, 7/01/48 | 200,000 | 186,077 | |
Detroit GO Unlimited Bonds, 5.00%, 4/01/27 | 50,000 | 50,164 | |
Detroit GO Unlimited Bonds, Series A, Social Bonds, 4.00%, 4/01/40 | 250,000 | 202,809 | |
Gerald R. Ford International Airport Authority Revenue Bonds (AMT) (County Gtd), 5.00%, 1/01/51 | 525,000 | 503,295 |
Par | Value | ||
Michigan (Continued) | |||
Great Lakes Water Authority Sewage Disposal System Second Lien Revenue Refunding Bonds, Series C, 5.00%, 7/01/36 | $ 495,000 | $ 499,572 | |
Michigan State Finance Authority Limited Obligation Revenue Refunding Bonds, Lawrence Technological University, 4.00%, 2/01/27 | 185,000 | 175,234 | |
Michigan State Finance Authority Limited Obligation Revenue Refunding Bonds, University Of Detroit Mercy, 5.63%, 11/01/52 | 300,000 | 284,651 | |
Michigan State Finance Authority Local Government Loan Program Revenue Refunding Bonds, | |||
5.00%, 7/01/29 | 425,000 | 429,896 | |
4.50%, 10/01/29 | 250,000 | 244,369 | |
Michigan State Finance Authority Revenue Bonds, Local Government Loan Program, 5.00%, 7/01/33 | 350,000 | 352,912 | |
Michigan State Finance Authority Revenue Refunding Bonds, Trinity Health Credit Group, 4.00%, 12/01/35 | 515,000 | 482,613 | |
Michigan State Finance Authority Variable Revenue Refunding Bonds, Beaumont Spectrum, (SIFMA Municipal Swap Index Yield + 0.75%), 4.84%, 4/15/27(a)(c) | 1,500,000 | 1,490,959 | |
Michigan State Hospital Finance Authority Revenue Refunding Bonds, Ascenion Senior, 5.00%, 11/15/47 | 420,000 | 405,338 | |
Michigan State Strategic Fund Limited Obligation Variable Revenue Bonds (AMT), Green Bonds, 4.00%, 10/01/26(a)(b)(c) | 100,000 | 96,895 | |
Michigan State Strategic Fund Variable Limited Obligation Revenue Bonds (AMT), DTE Electric Company Exempt, 3.88%, 6/03/30(a)(b)(c) | 1,000,000 | 932,883 |
Par | Value | ||
Michigan (Continued) | |||
Michigan State Trunk Line Revenue Bonds, Rebuilding Michagan Program, 5.50%, 11/15/49 | $1,000,000 | $1,064,278 | |
Wayne State University Revenue Refunding Bonds, Series A (BAM, TCRS Insured), 5.00%, 11/15/27 | 300,000 | 307,150 | |
7,804,721 | |||
Minnesota – 1.1% | |||
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 | 243,239 | |
Gibbon Independent School District No. 2365 GO Unlimited Bonds, Series A (School District Credit Program), 6.00%, 2/01/28 | 200,000 | 216,978 | |
Minneapolis Health Care System Variable Revenue Bonds, Series B, Allina Health System, 5.00%, 11/15/30(a)(b)(c) | 1,000,000 | 1,034,698 | |
Saint Francis Independent School District No. 15 GO Unlimited Bonds, Series A (School District Credit Program), 4.00%, 2/01/33 | 410,000 | 409,900 | |
Saint Paul Housing & Redevelopment Authority Health Care Facilities Revenue Refunding Bonds, HealthPartners Obligated Group, 5.00%, 7/01/31 | 1,635,000 | 1,638,715 | |
3,543,530 | |||
Mississippi – 0.1% | |||
Mississippi State Hospital Equipment & Facilities Authority Adjustable Revenue Refunding Bonds, North Mississippi Health, 5.00%, 3/01/27(a)(b)(c) | 265,000 | 269,019 | |
Missouri – 0.8% | |||
Central Southwest Community College District COPS, | |||
5.00%, 3/01/26 | 225,000 | 229,961 | |
5.00%, 3/01/27 | 225,000 | 232,301 |
Par | Value | ||
Missouri (Continued) | |||
Missouri State Health & Educational Facilities Authority Health Facilities Revenue Refunding Bonds, Series A, St. Luke's Health System, Inc., 5.00%, 11/15/30 | $250,000 | $ 252,708 | |
Missouri State Health & Educational Facilities Authority Revenue Refunding Bonds, | |||
5.00%, 2/15/26 | 200,000 | 199,131 | |
5.00%, 2/15/27 | 215,000 | 213,818 | |
5.00%, 2/15/28 | 250,000 | 248,245 | |
Missouri State Health & Educational Facilities Authority Revenue Refunding Bonds, Bethesda Health Group, Inc., 4.00%, 8/01/26 | 200,000 | 190,088 | |
Missouri State Health & Educational Facilities Authority Revenue Refunding Bonds, Webster University Project, 5.00%, 4/01/26 | 500,000 | 492,424 | |
Saint Louis County IDA Senior Living Facilities Revenue Refunding Bonds, Friendship Village St. Louis, 5.00%, 9/01/48 | 500,000 | 394,255 | |
2,452,931 | |||
Nebraska – 0.9% | |||
Central Plains Energy Gas Project Variable Revenue Refunding Bonds, Series A, Project No. 4, 5.00%, 11/01/29(a)(b)(c) | 500,000 | 497,407 | |
Douglas County Educational Facilities Variable Revenue Refunding Bonds, Creighton University Project, (SIFMA Municipal Swap Index Yield + 0.53%), 4.38%, 9/01/26(a)(c) | 735,000 | 721,968 | |
Douglas County Hospital Authority No. 2 Revenue Bonds, Children's Hospital Obligated Group, 5.00%, 11/15/25(a)(b)(c) | 600,000 | 605,062 |
Par | Value | ||
Nebraska (Continued) | |||
Douglas County Hospital Authority No. 3 Nebraska Health Facilities Revenue Refunding Bonds, Nebraska Methodist Health, 5.00%, 11/01/27 | $ 500,000 | $ 505,362 | |
Gretna COPS, 5.00%, 12/15/25 | 500,000 | 504,418 | |
2,834,217 | |||
Nevada – 0.8% | |||
Clark County PCR Refunding Bonds, Southern California Edison Company, 2.10%, 6/01/31 | 250,000 | 188,681 | |
Clark County Stadium Improvement GO Limited Bonds, Series A, 5.00%, 5/01/48 | 500,000 | 499,410 | |
Las Vegas Convention & Visitors Authority Convention Center Expansion Revenue Bonds, Series B, 5.00%, 7/01/43 | 250,000 | 251,060 | |
Las Vegas New Convention & Visitors Authority Revenue Bonds, Series B, 5.00%, 7/01/37 | 1,000,000 | 1,025,158 | |
Las Vegas Special Improvement District No. 814 Summerlin Village 21 & 24A Special Assessment Bonds, 4.00%, 6/01/49 | 95,000 | 70,309 | |
Reno Sales Tax First Lien Revenue Refunding Bonds, Retrac-Reno Transportation Rail Access Corridor Project, 5.00%, 6/01/48 | 500,000 | 466,224 | |
2,500,842 | |||
New Hampshire – 0.4% | |||
National Finance Authority Municipal Certificates Revenue Bonds, Series 1-A, 4.13%, 1/20/34 | 873,356 | 803,791 | |
National Finance Authority Revenue Bonds, Series A, 4.00%, 7/01/51 | 250,000 | 204,814 | |
New Hampshire State Health & Education Facilities Authority Revenue Refunding Bonds, Kendal at Hanover Issue, 5.00%, 10/01/36 | 180,000 | 169,368 | |
1,177,973 |
Par | Value | ||
New Jersey – 2.7% | |||
Atlantic City Board of Education GO Unlimited Refunding Bonds (AGM School Board Resource Fund Insured), 4.00%, 4/01/25 | $ 350,000 | $ 350,007 | |
Garden State Preservation Trust Open Space & Farmland Preservation Revenue Bonds, Series A (AGM Insured), 5.75%, 11/01/28 | 400,000 | 417,440 | |
New Jersey State EDA Energy Facility Revenue Bonds, Series A (AMT), UMM Energy Partners, | |||
5.00%, 6/15/37 | 190,000 | 176,009 | |
5.13%, 6/15/43 | 350,000 | 318,236 | |
New Jersey State EDA Motor Vehicle Surcharge Revenue Refunding Bonds, Subseries A, 3.38%, 7/01/30 | 250,000 | 225,129 | |
New Jersey State EDA Private Activity Revenue Bonds (AMT), The Goethals Project, 5.38%, 1/01/43 | 100,000 | 96,798 | |
New Jersey State EDA Revenue Bonds, Portal North Bridge Project NJ Transit, 5.25%, 11/01/41 | 235,000 | 241,866 | |
New Jersey State EDA Revenue Bonds, Provident Group Rowan Properties LLC, 5.00%, 1/01/48 | 125,000 | 104,282 | |
New Jersey State EDA Revenue Refunding Bonds, Cranes Mill Project, 5.00%, 1/01/49 | 260,000 | 198,339 | |
New Jersey State EDA Special Facility Revenue Refunding Bonds (AMT), Port Newark Container, 5.00%, 10/01/47 | 300,000 | 270,582 | |
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 | 630,698 | |
New Jersey State Health Care Facilities Financing Authority Revenue Bonds, Valley Health System Obligated Group Series, 5.00%, 7/01/33 | 1,000,000 | 1,031,229 |
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 | $1,009,726 | |
New Jersey State Health Care Facilities Financing Authority Revenue Refunding Bonds, RWJ Barnabas Health Obligated Group, 5.00%, 7/01/26(a)(b)(c) | 400,000 | 406,253 | |
New Jersey State Higher Education Assistance Authority Student Loan Revenue Bonds, Series B (AMT), 5.00%, 12/01/24 | 570,000 | 572,217 | |
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series A, 4.00%, 6/15/42 | 250,000 | 218,364 | |
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series AA, 5.00%, 6/15/40 | 500,000 | 503,393 | |
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Transportation Program, | |||
5.25%, 6/15/43 | 625,000 | 630,642 | |
4.00%, 6/15/50 | 280,000 | 232,442 | |
New Jersey State Transportation Trust Fund Authority Revenue Refunding Bonds, Series A, 4.00%, 6/15/34 | 175,000 | 167,113 | |
New Jersey State Transportation Trust Fund Authority Transportation System Revenue Refunding Bonds, 5.00%, 12/15/25 | 100,000 | 101,860 | |
New Jersey State Turnpike Authority Revenue Bonds, Series A, 5.00%, 1/01/33 | 230,000 | 230,160 | |
New Jersey State Turnpike Authority Revenue Bonds, Series B, 5.25%, 1/01/52 | 350,000 | 356,862 | |
8,489,647 | |||
New Mexico – 0.3% | |||
Farmington Pollution Control Variable Revenue Refunding Bonds, Public Service Company of New Mexico San Juan, 3.90%, 6/01/28(a)(b)(c) | 1,000,000 | 964,036 |
Par | Value | ||
New York – 7.3% | |||
Build Resource Corp., Revenue Bonds, Friends of Hellenic Classical Charter Schools, Inc., 4.00%, 12/01/31(d) | $ 500,000 | $ 437,851 | |
Hempstead Town Local Develop Corp., Education Revenue Refunding Bonds, Academy Charter School Project, 5.66%, 2/01/44 | 250,000 | 210,199 | |
Hempstead Town Local Development Corp., Education Revenue Bonds, Academy Charter School Project, 4.60%, 2/01/51 | 250,000 | 168,012 | |
Hempstead Town Local Development Corp., Revenue Refunding Bonds, Adelphi University Project, 5.00%, 6/01/27 | 300,000 | 306,176 | |
Hudson Yards Infrastructure Corp., Revenue Refunding Bonds, Second Indenture Series, Fiscal 2022, Green Bonds, 4.00%, 2/15/43 | 1,000,000 | 868,878 | |
Monroe County Industrial Development Agency School Facility Revenue Bonds, Rochester Schools Modernization Project (State Aid Withholding), 5.00%, 5/01/35 | 800,000 | 851,044 | |
Monroe County Industrial Development Corp., Revenue Bonds, University of Rochester Project, 4.00%, 7/01/50 | 1,600,000 | 1,321,755 | |
MTA, New York Transportation Variable Revenue Refunding Bonds, Subseries G-3, (SIFMA Municipal Swap Index Yield + 0.43%), 4.52%, 2/01/25(a)(c) | 1,000,000 | 987,297 | |
New York City Housing Development Corp., MFH Variable Revenue Bonds, Sustainable Development, 3.70%, 12/30/27(a)(b)(c) | 500,000 | 484,943 |
Par | Value | ||
New York (Continued) | |||
New York City Municipal Water Finance Authority Water & Sewer System Revenue Bonds, Second General Resolution, Series CC-1, 5.00%, 6/15/49 | $ 250,000 | $ 248,933 | |
New York City Municipal Water Finance Authority Water & Sewer System Revenue Bonds, Series AA-1, 5.25%, 6/15/52 | 250,000 | 256,741 | |
New York City Transitional Finance Authority Future Tax Subordinate Revenue Bonds, 4.00%, 5/01/36 | 1,000,000 | 950,574 | |
New York City Transitional Finance Authority Subordinate Revenue Bonds, Series F-1, 5.00%, 2/01/47 | 625,000 | 626,783 | |
New York GO Unlimited Bonds, Series A-1, 5.25%, 9/01/42 | 250,000 | 259,234 | |
New York GO Unlimited Bonds, Series D, Subseries D1, 5.00%, 12/01/42 | 250,000 | 251,410 | |
New York State Convention Center Development Corp., Revenue Refunding Bonds, Hotel Unit Fee Secured, 5.00%, 11/15/40 | 600,000 | 586,331 | |
New York State Dormitory Authority Non State Supported Debt Revenue Refunding Bonds, Series A, Barnard College, 4.00%, 7/01/49 | 300,000 | 233,288 | |
New York State Dormitory Authority Personal Income Tax Revenue Refunding Bonds, Series A, 5.00%, 3/15/41 | 2,000,000 | 2,053,959 | |
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 | 200,888 | |
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 | 372,547 |
Par | Value | ||
New York (Continued) | |||
New York State Dormitory Authority State Personal Income Tax Revenue Refunding Bonds, Series E, Unrefunded Balance, 5.00%, 2/15/44 | $425,000 | $421,896 | |
New York State Energy Research & Development Authority PCR Refunding Bonds, New York Electric & Gas, Series C, 4.00%, 4/01/34 | 250,000 | 232,594 | |
New York State Housing Finance Agency Affordable Housing Sustainability Revenue Bonds, Series L-2 (SonyMA Insured), 0.75%, 11/01/25 | 465,000 | 418,109 | |
New York State Liberty Development Corp., Revenue Refunding Bonds, 4 World Trade Center Project, Green Bonds, 1.20%, 11/15/28 | 500,000 | 408,383 | |
New York State Liberty Development Corp., Revenue Refunding Bonds, Class 2, 3 World Trade Center Project, | |||
5.15%, 11/15/34(d) | 500,000 | 471,821 | |
5.38%, 11/15/40(d) | 150,000 | 138,573 | |
New York State Transportation Development Corp., Special Facilities Revenue Bonds (AMT), Delta Air Lines, Inc., Laguardia Airport Terminal C&D Redevelopment Project, 5.00%, 10/01/35 | 500,000 | 474,210 | |
New York State Transportation Development Corp., Special Facilities Revenue Bonds, Delta Air Lines, Inc. (AMT), 5.00%, 1/01/30 | 345,000 | 336,971 | |
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 | 241,587 |
Par | Value | ||
New York (Continued) | |||
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 | $ 250,959 | |
New York State Urban Development Corp., Personal Income TRB, Series A, | |||
4.00%, 3/15/38 | 500,000 | 458,267 | |
5.00%, 3/15/41 | 250,000 | 254,242 | |
New York State Urban Development Corp., Revenue Refunding Bonds, Series E Group 3, 4.00%, 3/15/43 | 500,000 | 436,209 | |
Niagara Frontier Transportation Authority Revenue Refunding Bonds (AMT), Buffalo Niagara International Airport, 5.00%, 4/01/26 | 250,000 | 251,454 | |
Onondaga County Trust Cultural Resource Revenue Refunding Bonds, Syracuse University Project, 4.00%, 12/01/47 | 500,000 | 418,310 | |
Onondaga County Trust Cultural Resources Revenue Refunding Bonds, Syracuse University Project, 4.00%, 12/01/41 | 250,000 | 221,106 | |
Port Authority of New York & New Jersey Consolidated 211th Revenue Refunding Bonds, 5.00%, 9/01/48 | 830,000 | 824,109 | |
Port Authority of New York & New Jersey Consolidated Revenue Bonds, Series 218 (AMT), 5.00%, 11/01/31 | 1,065,000 | 1,094,531 | |
Port Authority of New York & New Jersey Consolidated Revenue Bonds, Series 221 (AMT), 4.00%, 7/15/40 | 500,000 | 425,659 | |
Port Authority of New York & New Jersey Consolidated Revenue Refunding Bonds (AMT), 5.50%, 8/01/52 | 600,000 | 608,286 |
Par | Value | ||
New York (Continued) | |||
Port Authority of New York & New Jersey Revenue Bonds, Series 179, 5.00%, 12/01/25 | $ 750,000 | $ 750,874 | |
Poughkeepsie City GO Limited Refunding Bonds, 4.00%, 4/15/25 | 440,000 | 432,058 | |
Triborough Bridge & Tunnel Authority General Revenue Bonds, Series A, MTA Bridges & Tunnels, 4.00%, 11/15/54 | 1,300,000 | 1,068,055 | |
Triborough Bridge & Tunnel Authority Payroll Mobility Tax Revenue Refunding Bonds, Series A, MTA Bridges & Tunnels, 5.00%, 5/15/47 | 250,000 | 248,752 | |
Troy Capital Resource Corp., Revenue Bonds, Rensselaer Polytechnic Institute Project, 4.00%, 9/01/33 | 100,000 | 91,863 | |
Yonkers Economic Development Corp., Educational Revenue Bonds, Charter School Educational Excellence Project, 5.00%, 10/15/49 | 100,000 | 80,670 | |
Yonkers GO Limited Bonds, Series F (BAM Insured), 5.00%, 11/15/27 | 100,000 | 104,673 | |
22,841,064 | |||
North Carolina – 1.7% | |||
Forsyth County GO Unlimited Bonds, Series B, 2.00%, 3/01/37 | 1,000,000 | 695,085 | |
Greater Asheville Regional Airport Authority Airport System Revenue Bonds (AMT) (AGM Insured), 5.25%, 7/01/48 | 250,000 | 246,579 | |
Greater Asheville Regional Airport Authority Airport System Revenue Bonds, Series A (AMT) (AGM Insured), 5.50%, 7/01/47 | 1,000,000 | 1,011,851 | |
North Carolina State Capital Facilities Finance Agency Educational Facilities Revenue Refunding Bonds, High Point University, | |||
5.00%, 5/01/25 | 240,000 | 242,151 | |
5.00%, 5/01/26 | 275,000 | 278,970 |
Par | Value | ||
North Carolina (Continued) | |||
North Carolina State Capital Facilities Finance Agency Revenue Refunding Bonds, The Arc of North Carolina (Housing & Urban Development Sector 8 Program), | |||
5.00%, 10/01/28 | $300,000 | $ 291,469 | |
5.00%, 10/01/34 | 250,000 | 232,640 | |
North Carolina State Medical Care Commission Retirement Facilities Revenue Bonds, The Forest At Duke Project, | |||
4.00%, 9/01/33 | 180,000 | 158,442 | |
4.00%, 9/01/34 | 185,000 | 160,783 | |
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, First Mortgage, 4.00%, 1/01/25 | 250,000 | 244,825 | |
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, Series A, Sharon Towers, 5.00%, 7/01/49 | 100,000 | 77,382 | |
North Carolina State Turnpike Authority Senior Lien Revenue Bonds, Triangle Expressway, 4.00%, 1/01/55 | 425,000 | 331,935 | |
North Carolina State Turnpike Authority Senior Lien Revenue Bonds, Triangle Expressway (AGM Insured), 5.00%, 1/01/49 | 500,000 | 491,570 | |
North Carolina State Turnpike Authority Senior Lien Revenue Refunding Bonds, 5.00%, 1/01/40 | 550,000 | 541,988 | |
Union County GO Unlimited Bonds, Series C, 2.50%, 9/01/38 | 590,000 | 423,979 | |
5,429,649 |
Par | Value | ||
North Dakota – 0.2% | |||
City of Grand Forks Health Care System Revenue Bonds, Altru Health System, Series A (AGM Insured), 5.00%, 12/01/29 | $125,000 | $129,798 | |
University of North Dakota COPS, Infrastructure Energy Improvement, 5.00%, 4/01/48 | 500,000 | 486,210 | |
616,008 | |||
Ohio – 2.2% | |||
Akron Bath Copley Joint Township Hospital District Revenue Refunding Bonds, Summa Health Obligated Group Hospital, | |||
5.00%, 11/15/26 | 350,000 | 354,125 | |
5.00%, 11/15/27 | 370,000 | 375,235 | |
Buckeye Tobacco Settlement Financing Authority Revenue Refunding Bonds, Senior-Class 2, Series B-2, 5.00%, 6/01/55 | 900,000 | 736,229 | |
Cleveland-Cuyahoga County Port Authority Cultural Facilities Revenue Refunding Bonds, Playhouse Square Foundation Project, 5.50%, 12/01/43 | 175,000 | 162,736 | |
Cleveland-Cuyahoga County Port Authority Cultural Facility Revenue Bonds, Cleveland Museum Of Natural History Project, | |||
5.00%, 7/01/25 | 125,000 | 126,721 | |
5.00%, 7/01/26 | 125,000 | 127,743 | |
5.00%, 7/01/27 | 125,000 | 128,803 | |
5.00%, 7/01/28 | 155,000 | 161,193 | |
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 | 177,525 | |
Conotton Valley Union Local School District COPS, School Facilities Project (FHLMC Insured), 4.00%, 12/01/42 | 500,000 | 426,012 |
Par | Value | ||
Ohio (Continued) | |||
Cuyahoga Metropolitan Housing Authority MFH Variable Revenue Bonds, Wade Park Apartments (FHA Insured, Housing & Urban Development Sector 8 Program), 4.75%, 12/01/25(a)(b)(c) | $350,000 | $349,179 | |
Franklin County Convention Facilities Authority Hotel Project Revenue Bonds, Greater Columbus Convention Center, | |||
5.00%, 12/01/34 | 170,000 | 158,551 | |
5.00%, 12/01/36 | 305,000 | 275,242 | |
Franklin County Health Care Facilities Revenue Refunding Bonds, Ohio Living Communities, 5.00%, 7/01/31 | 255,000 | 243,564 | |
Hamilton County Hospital Facilities Revenue Bonds, Cincinnati Children's Hospital Project, 5.00%, 11/15/41 | 250,000 | 249,787 | |
Lancaster Port Authority Gas Revenue Refunding Bonds, Series A, 5.00%, 2/01/25(a)(b)(c) | 225,000 | 224,769 | |
Marion County Health Care Facilities Revenue Refunding Bonds, United Church Homes, Inc., 5.13%, 12/01/49 | 100,000 | 70,956 | |
Miami Valley Career Technology Center GO Unlimited Bonds, 4.00%, 12/01/37 | 250,000 | 221,428 | |
Middleburg Heights Hospital Revenue Refunding Bonds, Southwest General Health Center, 4.00%, 8/01/41 | 500,000 | 406,146 | |
Ohio State Air Quality Development Authority Revenue Refunding Bonds, Ohio Valley Electric Corp., 3.25%, 9/01/29 | 50,000 | 45,831 | |
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 | 244,621 |
Par | Value | ||
Ohio (Continued) | |||
Ohio State Higher Educational Facilities Commission Revenue Refunding Bonds, Xavier University 2020 Project, 5.00%, 5/01/35 | $880,000 | $ 908,573 | |
Ohio State Higher Educational Facility Commission Healthcare Revenue Bonds, Ashtabula County Medical Center Obligated Group, 5.00%, 1/01/26 | 100,000 | 99,971 | |
Ohio State Higher Educational Facility Commission Revenue Refunding Bonds, Otterbein University 2022 Project, 4.00%, 12/01/46 | 500,000 | 371,788 | |
Ohio State Hospital Revenue Refunding Bonds, Premier Health Partners Obligated Group, 5.00%, 11/15/26 | 145,000 | 145,893 | |
6,792,621 | |||
Oklahoma – 0.8% | |||
Carter County Public Facilities Authority Educational Facilities Lease Revenue Bonds, 5.00%, 9/01/27 | 500,000 | 505,272 | |
Muskogee Industrial Trust Educational Facilities Lease Revenue Bonds, Muskogee Public Schools Project, 5.00%, 9/01/26 | 150,000 | 150,792 | |
Oklahoma County Finance Authority Revenue Refunding Bonds, Series A, Epworth Villa Project, 5.88%, 4/01/30(h) | 50,000 | 32,500 | |
Oklahoma State Turnpike Authority Senior Lien Revenue Bonds, 5.50%, 1/01/53 | 475,000 | 498,797 | |
Oklahoma State Water Resources Board Revolving Fund Revenue Bonds, Drinking Water Program 2019 Master Trust, 4.00%, 4/01/48 | 300,000 | 254,716 |
Par | Value | ||
Oklahoma (Continued) | |||
Tulsa County Industrial Authority Educational Facilities Lease Revenue Bonds, Berryhill Public Schools Project, 4.00%, 9/01/26 | $500,000 | $ 497,785 | |
Washington County Educational Facilities Authority Lease Revenue Bonds, Dewey Public Schools Project, 5.00%, 9/01/29 | 435,000 | 443,317 | |
2,383,179 | |||
Oregon – 1.4% | |||
Klamath Falls Intercommunity Hospital Authority Revenue Refunding Bonds, Sky Lakes Medical Center Project, 4.00%, 9/01/25 | 550,000 | 541,436 | |
Medford Hospital Facilities Authority Revenue Refunding Bonds, Series A, Asante Projects, 5.00%, 8/15/45 | 500,000 | 474,141 | |
Multnomah County Hospital Facilities Authority Revenue Refunding Bonds, Adventist Health System, 5.00%, 3/01/25(a)(b)(c) | 500,000 | 501,726 | |
Multnomah County Hospital Facilities Authority Revenue Refunding Bonds, Terwilliger Plaza-Parkview Project, Green Bonds, 0.95%, 6/01/27 | 500,000 | 430,345 | |
Oregon State Business Development Commission Variable Revenue Bonds, Series 232, Intel Corp. Project, 3.80%, 6/15/28(a)(b)(c) | 500,000 | 487,534 | |
Oregon State Facilities Authority Revenue Refunding Bonds, Series A, Legacy Health Project, 5.00%, 6/01/46 | 500,000 | 476,152 | |
Port of Morrow GO Limited Refunding Bonds, Series D, | |||
4.00%, 12/01/26 | 170,000 | 169,332 | |
4.00%, 12/01/27 | 240,000 | 239,012 |
Par | Value | ||
Oregon (Continued) | |||
Port of Portland Airport Revenue Refunding Bonds, Portland International Airport (AMT), 5.00%, 7/01/25 | $ 750,000 | $ 756,122 | |
Salem Hospital Facility Authority Revenue Refunding Bonds, Capital Manor Project, 5.00%, 5/15/27 | 260,000 | 255,529 | |
4,331,329 | |||
Pennsylvania – 3.3% | |||
Allentown Neighborhood Improvement Zone Development Authority Tax Revenue Refunding Bonds, Forward Delivery, 5.00%, 5/01/42 | 250,000 | 226,113 | |
Commonwealth Financing Authority Taxable Revenue Refunding Bonds, Series B-1, 5.00%, 6/01/26 | 300,000 | 304,364 | |
Cumberland County Municipal Authority Revenue Refunding Bonds, Asbury Pennsylvania Obligated, 4.50%, 1/01/40(d) | 185,000 | 141,086 | |
Laurel Highlands School District GO Limited Refunding Bonds (BAM State Aid Withholding), 4.00%, 2/01/26 | 350,000 | 349,580 | |
Lehigh County General Purpose Authority Revenue Refunding Bonds, Muhlenberg College Project, (SIFMA Municipal Swap Index Yield + 0.58%), 4.67%, 11/01/24(a)(c) | 415,000 | 414,777 | |
Luzerne County IDA Revenue Refunding Bonds (AMT), Pennsylvania-American Water Co., Project, 2.45%, 12/03/29(a)(b)(c) | 750,000 | 640,168 | |
Montgomery County IDA Revenue Bonds, Acts Retirement-Life Communities, 5.00%, 11/15/45 | 1,500,000 | 1,341,478 | |
Oil City GO Unlimited Bonds, Series A (AGM Insured), 4.00%, 12/01/24 | 150,000 | 149,944 |
Par | Value | ||
Pennsylvania (Continued) | |||
Pennsylvania State Economic Development Financing Authority Tax-Exempt Private Activity Revenue Bonds (AMT), The Penndot Major Bridges, 5.75%, 6/30/48 | $ 575,000 | $ 584,777 | |
Pennsylvania State Economic Development Financing Authority UPMC Revenue Bonds, Series A-1, | |||
5.00%, 4/15/25 | 200,000 | 202,409 | |
4.00%, 4/15/45 | 500,000 | 411,332 | |
Pennsylvania State Economic Development Financing Authority UPMC Revenue Bonds, Series A-2, 4.00%, 5/15/48 | 250,000 | 200,421 | |
Pennsylvania State Higher Educational Facilities Authority Revenue Refunding Bonds, Thomas Jefferson University, | |||
5.00%, 9/01/39 | 500,000 | 488,418 | |
5.00%, 9/01/45 | 250,000 | 238,488 | |
Pennsylvania State Housing Finance Agency SFM Revenue Refunding Bonds (AMT), Series 125A, 2.38%, 10/01/25 | 485,000 | 465,207 | |
Pennsylvania State Turnpike Commission Registration Fee Variable Revenue Refunding Bonds, (SIFMA Municipal Swap Index Yield + 0.85%), 4.94%, 7/15/26(a)(c) | 1,000,000 | 1,000,012 | |
Pennsylvania State Turnpike Commission Revenue Refunding Bonds, Series B, 5.25%, 12/01/52 | 250,000 | 254,134 | |
Pennsylvania State Turnpike Commission Subordinate Revenue Bonds, Series A (AGM Insured), 4.00%, 12/01/49 | 350,000 | 290,979 | |
Philadelphia Airport Revenue Refunding Bonds, Series B (AMT), | |||
5.00%, 7/01/30 | 510,000 | 513,041 | |
5.00%, 7/01/33 | 400,000 | 400,808 |
Par | Value | ||
Pennsylvania (Continued) | |||
Philadelphia Airport Revenue Refunding Bonds, Series B (AMT), | |||
5.00%, 7/01/35 | $ 155,000 | $ 153,048 | |
Philadelphia Airport Revenue Refunding Bonds, Series C (AMT), 4.00%, 7/01/40 | 250,000 | 214,734 | |
Southcentral General Authority Revenue Bonds, York College of Pennsylvania Project, | |||
5.00%, 5/01/27 | 300,000 | 305,802 | |
5.00%, 5/01/28 | 215,000 | 220,691 | |
Southeastern Pennsylvania Transportation Authority Revenue Bonds, Asset Improvement Program, 5.25%, 6/01/47 | 250,000 | 257,012 | |
West Cornwall Township Municipal Authority Healthcare Facilities Revenue Refunding Bonds, Lebanon Valley Brethren Home Project, | |||
4.00%, 11/15/24 | 115,000 | 113,238 | |
4.00%, 11/15/25 | 115,000 | 111,525 | |
4.00%, 11/15/26 | 125,000 | 119,350 | |
4.00%, 11/15/27 | 130,000 | 122,173 | |
4.00%, 11/15/28 | 105,000 | 97,105 | |
10,332,214 | |||
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 | 248,168 | |
Puerto Rico Commonwealth Notes, | |||
3.55%, 11/01/43(b)(c) | 22,633 | 11,260 | |
2.46%, 11/01/51(b)(c) | 446,000 | 225,787 | |
Puerto Rico Commonwealth Restructured GO Unlimited Bonds, Series A1, | |||
5.38%, 7/01/25 | 160,394 | 161,255 | |
5.63%, 7/01/27 | 309,847 | 315,145 | |
5.63%, 7/01/29 | 1,058,875 | 1,081,927 | |
5.75%, 7/01/31 | 57,185 | 58,820 | |
4.00%, 7/01/33 | 54,226 | 47,152 | |
4.00%, 7/01/35 | 48,742 | 40,862 | |
4.00%, 7/01/37 | 106,285 | 86,301 | |
4.00%, 7/01/41 | 56,878 | 43,862 |
Par | Value | ||
Puerto Rico (Continued) | |||
Puerto Rico Commonwealth Restructured GO Unlimited CABS, Series A, 0.00%, 7/01/33(e) | $ 69,785 | $ 39,860 | |
Puerto Rico Sales Tax Financing Corp., Restructured TRB, Series A-1, 4.75%, 7/01/53 | 527,000 | 445,115 | |
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue CABS, Series A-1, | |||
0.00%, 7/01/27(e) | 225,000 | 190,079 | |
0.00%, 7/01/31(e) | 500,000 | 347,508 | |
0.00%, 7/01/46(e) | 875,000 | 216,892 | |
3,559,993 | |||
Rhode Island – 0.3% | |||
Providence GO Unlimited Refunding Bonds, Series A, 5.00%, 1/15/25 | 400,000 | 403,734 | |
Rhode Island Commerce Corp., First Lien Special Facility Revenue Refunding Bonds, Rhode Island Airport Corp., International, 5.00%, 7/01/31 | 500,000 | 513,657 | |
917,391 | |||
South Carolina – 0.7% | |||
Connector 2000 Association, Inc., Toll Road Revenue CABS, Senior Series A-1, | |||
0.00%, 1/01/32(e) | 460,096 | 239,534 | |
0.00%, 1/01/42(e) | 228,148 | 50,738 | |
0.00%, 7/22/51(e) | 265,293 | 26,394 | |
South Carolina State Jobs EDA Hospital Revenue Refunding Bonds, Prisma Health Obligated Group, 5.00%, 5/01/38 | 400,000 | 392,745 | |
South Carolina State Jobs EDA Hospital Variable Revenue Bonds, Bon Secours Mercy Health, 5.00%, 10/01/25(a)(b)(c) | 850,000 | 858,973 |
Par | Value | ||
South Carolina (Continued) | |||
South Carolina State Public Service Authority Revenue Bonds, Series E, Santee Cooper, 5.75%, 12/01/47 | $ 250,000 | $ 255,190 | |
South Carolina State Public Service Authority Revenue Refunding Bonds, Series A, 4.00%, 12/01/36 | 350,000 | 314,450 | |
2,138,024 | |||
South Dakota – 0.1% | |||
South Dakota State Board of Regents Housing & Auxiliary Facilities System Revenue Refunding Bonds, 4.00%, 4/01/26 | 375,000 | 374,389 | |
Tennessee – 1.4% | |||
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue Bonds, Vanderbilt University Medical Center, 5.00%, 7/01/40 | 400,000 | 391,358 | |
Metropolitan Nashville Airport Authority Revenue Bonds, Series B (AMT), 5.00%, 7/01/26 | 600,000 | 607,573 | |
Metropolitan Nashville Airport Authority Subordinate Revenue Bonds, Series B (AMT), 5.00%, 7/01/39 | 1,000,000 | 968,531 | |
Tennergy Corp., Gas Revenue Bonds, Series A, 4.00%, 9/01/28(a)(b)(c) | 1,500,000 | 1,414,216 | |
Tennergy Corp., Gas Supply Revenue Bonds, Series A, 5.50%, 12/01/30(a)(b)(c) | 1,000,000 | 1,003,226 | |
4,384,904 | |||
Texas – 6.2% | |||
Arlington Higher Education Finance Corp., Revenue Bonds, Riverwalk Education Foundation (PSF, Gtd), 5.00%, 8/15/47 | 500,000 | 493,040 | |
Austin Convention Enterprises, Inc., Convention Center Revenue Refunding Bonds, First Tier, 5.00%, 1/01/32 | 625,000 | 614,764 |
Par | Value | ||
Texas (Continued) | |||
Board of Managers Joint Guadalupe County-City of Seguin Hospital Mortgage Revenue Refunding Bonds, 5.00%, 12/01/40 | $ 200,000 | $ 168,892 | |
Central Texas Regional Mobility Authority Revenue Bonds, Series C, 5.00%, 1/01/27 | 275,000 | 279,374 | |
Central Texas Regional Mobility Authority Senior Lien Revenue Refunding Bonds, Series A, 5.00%, 1/01/49 | 500,000 | 481,305 | |
Dallas Texas Hotel Occupancy Tax Revenue Refunding Bonds, 4.00%, 8/15/30 | 300,000 | 287,030 | |
Dallas-Fort Worth International Airport Joint Improvement Revenue Bonds, Series C, 5.00%, 11/01/34 | 445,000 | 445,000 | |
Dallas-Fort Worth International Airport Joint Revenue Refunding Bonds, Series A (AMT), 5.25%, 11/01/30 | 1,100,000 | 1,100,000 | |
Dallas-Fort Worth International Airport Revenue Refunding Bonds, Series B, 5.00%, 11/01/25 | 400,000 | 408,184 | |
El Paso Texas Airport Revenue Bonds (AMT), 5.00%, 8/15/27 | 375,000 | 381,472 | |
Fort Bend Independent School District Variable GO Unlimited Refunding Bonds, Series B (PSF, Gtd), 0.72%, 8/01/26(a)(b)(c) | 840,000 | 729,779 | |
Grand Parkway Transportation Corp., System Toll Revenue Refunding Bonds, Grand Parkway System - First, 4.00%, 10/01/45 | 265,000 | 218,336 | |
Greater Texoma Utility Authority Contract Revenue Bonds, Series A, City of Sherman Project (BAM Insured), | |||
5.00%, 10/01/29 | 350,000 | 368,576 | |
4.00%, 10/01/43 | 250,000 | 207,801 |
Par | Value | ||
Texas (Continued) | |||
Harris County Cultural Education Facilities Finance Corp., Variable Revenue Refunding Bonds, Memorial Hermann Health, 5.00%, 12/01/28(a)(b)(c) | $570,000 | $588,515 | |
Harris County Cultural Educational Facilities Finance Corp., Revenue Refunding Bonds, Texas Children's Hospital, 4.00%, 10/01/38 | 350,000 | 308,948 | |
Harris County Flood Control District GO Limited Bonds, Sustainability Bond, Series A, 4.00%, 9/15/43 | 250,000 | 217,108 | |
Houston Airport System Revenue Bonds, Subseries A (AMT), 5.00%, 7/01/25 | 500,000 | 503,682 | |
Houston Airport System Revenue Refunding Bonds (AMT), United Airlines, Inc., Improvement Projects, 5.00%, 7/15/27 | 175,000 | 169,025 | |
Houston Airport System Revenue Refunding Bonds (AMT), United Airlines, Inc., Terminal, 5.00%, 7/01/27 | 125,000 | 120,773 | |
Houston Airport System Subordinate Lien Revenue Refunding Bonds, Series A (AMT) (AGM Insured), 5.25%, 7/01/43 | 400,000 | 400,208 | |
Houston Hotel Occupancy Tax & Special Revenue Refunding Bonds, Convention & Entertainment, 5.00%, 9/01/36 | 510,000 | 521,125 | |
Kermit Independent School District GO Unlimited Bonds (PSF, Gtd), 5.00%, 2/15/26 | 325,000 | 332,368 | |
Kilgore Independent School District GO Unlimited Bonds (PSF, Gtd), 3.00%, 2/15/41 | 730,000 | 536,025 | |
Lower Colorado River Authority Transmission Contract Revenue Refunding Bonds, LCRA Transmission Services Corp., Project, 5.00%, 5/15/35 | 250,000 | 256,999 |
Par | Value | ||
Texas (Continued) | |||
Matagorda County Navigation District No. 1 Revenue Refunding Bonds (AMBAC Insured), 4.40%, 5/01/30 | $1,500,000 | $1,431,544 | |
Montgomery County Toll Road Authority Senior Lien Revenue Bonds, 5.00%, 9/15/37 | 500,000 | 479,053 | |
New Hope Cultural Educational Facilities Finance Corp., Retirement Facilities Revenue Refunding Bonds, Presbyterian Village North Project, 5.25%, 10/01/49 | 100,000 | 72,232 | |
New Hope Cultural Educational Facilities Finance Corp., Retirement Facilities Revenue Refunding Bonds, Westminster Manor Project, 5.00%, 11/01/31 | 250,000 | 250,482 | |
Odessa Junior College District Consolidated Revenue Bonds (AGM Insured), 4.00%, 7/01/27 | 435,000 | 436,074 | |
Pasadena Independent School District GO Unlimited Bonds, Series A (PSF, Gtd), 4.00%, 2/15/32 | 700,000 | 686,488 | |
Port Arthur Certificates GO Limited Bonds (BAM Insured), 5.00%, 2/15/27 | 345,000 | 353,991 | |
Port Beaumont Navigation District Dock & Wharf Facility Revenue Refunding Bonds (AMT), Jefferson Gulf Coast Energy Project, 4.00%, 1/01/50(d) | 375,000 | 242,115 | |
San Antonio Airport System Subordinate Lien Revenue Refunding Bonds, Series A (AMT), 5.00%, 7/01/30 | 250,000 | 254,067 | |
San Antonio Water Junior Lien Revenue Refunding Bonds, Series A, 5.00%, 5/15/43 | 500,000 | 504,163 | |
Tarrant County Cultural Educational Facilities Finance Corp., Revenue Refunding Bonds, Texas Health Resources System Obligation, 5.00%, 2/15/34 | 400,000 | 406,969 |
Par | Value | ||
Texas (Continued) | |||
Texas City Industrial Development Corp., Revenue Bonds, Series 2012, NRG Energy Project, 4.13%, 12/01/45 | $ 545,000 | $ 422,184 | |
Texas State PFA Lease Revenue Refunding Bonds, 4.00%, 2/01/36 | 250,000 | 235,810 | |
Texas State Private Activity Bond Surface Transportation Corp., Revenue Bonds (AMT), Segment 3C Project, 5.00%, 6/30/58 | 1,100,000 | 1,002,552 | |
Texas State Private Activity Bond Surface Transportation Corp., Senior Lien Revenue Bonds (AMT), Blueridge Transportation, | |||
5.00%, 12/31/45 | 500,000 | 451,243 | |
5.00%, 12/31/55 | 200,000 | 174,656 | |
Texas State Private Activity Bond Surface Transportation Corp., Senior Lien Revenue Refunding Bonds, North Tarrant Express, 4.00%, 12/31/38 | 750,000 | 655,057 | |
Texas State Transportation Commission First Tier Toll Revenue Bonds, State Highway, 5.00%, 8/01/57 | 100,000 | 87,650 | |
Texas State Transportation Commission First Tier Toll Revenue CABS, 0.00%, 8/01/29(e) | 480,000 | 356,788 | |
Texas State Water Development Board Revenue Bonds, State Water Implementation Fund, 4.00%, 10/15/38 | 510,000 | 467,411 | |
University of Houston Revenue Refunding Bonds, Series A, 5.00%, 2/15/47 | 250,000 | 251,857 | |
Waller Independent School District GO Unlimited Bonds (BAM Insured), 5.00%, 2/15/44 | 235,000 | 236,139 | |
19,596,854 | |||
Utah – 0.3% | |||
Salt Lake City Airport Revenue Bonds, Series A (AMT), 5.00%, 7/01/51 | 1,000,000 | 934,930 |
Par | Value | ||
Virginia – 2.6% | |||
Arlington County IDA Hospital Facilities Revenue Refunding Bonds, Virginia Hospital Center, 3.75%, 7/01/50 | $ 500,000 | $387,654 | |
Chesapeake Bay Bridge & Tunnel District Revenue Bonds, First Tier General Resolution (AGM Insured), 5.00%, 7/01/41 | 1,000,000 | 984,141 | |
Chesapeake Bay Bridge & Tunnel District Revenue First Tier General Resolution Revenue Bonds, 5.00%, 7/01/51 | 750,000 | 695,156 | |
Chesapeake Hospital Authority Hospital Facilities Revenue Refunding Bonds, Chesapeake Regional Medical Center, 5.00%, 7/01/31 | 500,000 | 514,478 | |
Chesapeake Transportation System Senior Toll Road Revenue Bonds, Series A, 5.00%, 7/15/47 | 500,000 | 467,299 | |
Fairfax County GO Unlimited Bonds, Series A (State Aid Withholding), 2.00%, 10/01/41 | 1,000,000 | 603,517 | |
Fairfax County IDA Health Care Revenue Refunding Bonds, Inova Health System Project, 3.50%, 5/15/39 | 500,000 | 417,664 | |
Newport News EDA Residential Care Facilities Revenue Refunding Bonds, Lifespire of Virginia, 5.00%, 12/01/38 | 560,000 | 526,061 | |
Virginia State Commonwealth Transportation Board Capital Projects Revenue Bonds, 3.00%, 5/15/37 | 1,000,000 | 797,299 | |
Virginia State Small Business Financing Authority Senior Lien Revenue Bonds (AMT), Elizabeth River Crossings OpCo, LLC Project, | |||
4.00%, 7/01/32 | 275,000 | 251,135 | |
4.00%, 1/01/37 | 660,000 | 575,173 |
Par | Value | ||
Virginia (Continued) | |||
Virginia State Small Business Financing Authority Senior Lien Revenue Refunding Bonds (AMT), 95 Express Lanes, | |||
5.00%, 7/01/38 | $ 645,000 | $ 622,978 | |
4.00%, 7/01/39 | 240,000 | 204,828 | |
4.00%, 1/01/40 | 280,000 | 236,910 | |
4.00%, 1/01/48 | 225,000 | 178,888 | |
Virginia State Small Business Financing Authority Senior Lien Revenue Refunding Bonds (AMT), I-495 Hot Lanes, 5.00%, 12/31/57 | 850,000 | 779,721 | |
8,242,902 | |||
Washington – 2.7% | |||
Energy Northwest Electric Revenue Refunding Bonds, Columbia Generating Station, 4.00%, 7/01/42 | 1,515,000 | 1,334,450 | |
King County Public Hospital District No. 1 GO Limited Tax Refunding Bonds, Valley Medical Center, 5.00%, 12/01/26 | 550,000 | 565,193 | |
King County Sewer Revenue Refunding Bonds, 5.00%, 7/01/42 | 250,000 | 253,862 | |
Port of Seattle Airport Intermediate Lien Revenue Bonds (AMT), 5.00%, 4/01/44 | 500,000 | 482,383 | |
Port of Seattle Intermediate Lien Revenue Refunding Bonds (AMT), 5.00%, 8/01/47 | 250,000 | 237,002 | |
Seattle Housing Authority Revenue Refunding Bonds, Northgate Plaza Project, 1.00%, 6/01/26 | 500,000 | 452,399 | |
Seattle Municipal Light & Power Revenue Refunding Bonds, 4.00%, 9/01/40 | 500,000 | 449,817 | |
Seattle Municipal Light & Power Variable Revenue Refunding Bonds, Series B, (SIFMA Municipal Swap Index Yield + 0.25%), 4.10%, 11/01/26(a)(c) | 750,000 | 728,406 |
Par | Value | ||
Washington (Continued) | |||
Skagit County Public Hospital District No. 1 Revenue Improvement & Refunding Bonds, Skagit Regional Health, | |||
5.00%, 12/01/27 | $ 500,000 | $ 488,991 | |
5.00%, 12/01/28 | 440,000 | 428,805 | |
Washington State GO Unlimited Bonds, Series C, 5.00%, 2/01/40 | 2,000,000 | 2,059,117 | |
Washington State Health Care Facilities Authority Revenue Bonds, Series A, Providence Health & Services, 4.00%, 10/01/34 | 500,000 | 449,251 | |
Washington State Higher Educational Facilities Authority Revenue Bonds, Seattle University Project, 4.00%, 5/01/50 | 250,000 | 195,274 | |
Washington State Housing Finance Commission Nonprofit Revenue Refunding Bonds, Emerald Heights Project, Series A, 5.00%, 7/01/26 | 285,000 | 287,454 | |
8,412,404 | |||
Wisconsin – 3.2% | |||
Clayton Town NANS, Series B, 2.00%, 6/01/25 | 225,000 | 212,458 | |
Milwaukee Corp., Purpose GO Unlimited Bonds, Series B3, 4.00%, 4/01/26 | 1,000,000 | 998,144 | |
Milwaukee GO Unlimited Bonds, Promissory Notes, Series N3 (AGM Insured), 5.00%, 4/01/31 | 500,000 | 524,805 | |
Milwaukee Metropolitan Sewerage District GO Unlimited Bonds, Green Bonds, Climate Bond Certified, 4.00%, 10/01/43 | 500,000 | 435,725 | |
Monroe School District GO Unlimited Refunding Bonds (AGM Insured), 5.00%, 3/01/25 | 300,000 | 303,957 | |
Park Falls NANS, Series B, 3.00%, 3/01/25 | 975,000 | 947,375 | |
PFA Education Revenue Bonds, North Carolina Leadership Academy, 5.00%, 6/15/49(d) | 100,000 | 80,657 |
Par | Value | ||
Wisconsin (Continued) | |||
PFA Educational Revenue Bonds, Piedmont Community Charter School, | |||
5.00%, 6/15/39 | $490,000 | $444,549 | |
5.00%, 6/15/49 | 150,000 | 126,199 | |
PFA Exempt Facilities Revenue Refunding Bonds (AMT), National Gypsum Co., 4.00%, 8/01/35 | 370,000 | 303,303 | |
PFA Pollution Control Variable Revenue Refunding Bonds, Duke Energy Progress Project, 3.30%, 10/01/26(a)(b)(c) | 500,000 | 487,247 | |
PFA Project Revenue Bonds, CFP3 - Eastern Michigan University Housing Project (BAM Insured), 5.50%, 7/01/52 | 250,000 | 256,573 | |
PFA Revenue Bonds, Roseman University, Unrefunded Balance, 5.00%, 4/01/50(d) | 250,000 | 209,263 | |
PFA Variable Revenue Refunding Bonds, Providence St. Joseph, 4.00%, 10/01/30(a)(b)(c) | 370,000 | 350,453 | |
Public Financial Authority Solid Waste Disposal Revenue Refunding Bonds (AMT), Waste Management, Inc., Project, 2.88%, 5/01/27 | 495,000 | 455,055 | |
Wisconsin Center District Appropriation Revenue Bonds, Milwaukee Arena Project, 5.00%, 12/15/27 | 200,000 | 204,878 | |
Wisconsin Center District TRB, CABS, Junior Dedicated, Series D (AGM Moral Obligation Insured), 0.00%, 12/15/45(e) | 250,000 | 76,338 | |
Wisconsin State Health & Educational Facilities Authority Revenue Bonds, Series A, Unitypoint Health, 5.00%, 12/01/28 | 590,000 | 591,275 | |
Wisconsin State Health & Educational Facilities Authority Revenue Bonds, Three Pillars Senior Living Communities, 4.00%, 8/15/31 | 375,000 | 337,747 |
Par | Value | ||
Wisconsin (Continued) | |||
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Ascension Health Credit Group, 4.00%, 11/15/39 | $290,000 | $ 257,680 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Benevolent Corp., Cedar Community, 5.00%, 6/01/41 | 250,000 | 203,129 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Fort Healthcare, Inc., 5.00%, 5/01/25 | 350,000 | 350,791 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Rogers Memorial Hospital, Inc., 5.00%, 7/01/25 | 385,000 | 386,644 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Series B5, 5.00%, 12/03/24(a)(b)(c) | 935,000 | 941,216 | |
Wisconsin State Health & Educational Facilities Authority Variable Revenue Refunding Bonds, Advocate Aurora Health Credit Group, 5.00%, 1/29/25(a)(b)(c) | 500,000 | 503,734 | |
9,989,195 | |||
Wyoming – 0.1% | |||
Sublette County Hospital District Revenue Bonds, Series A, Hospital Construction Project, 5.00%, 6/15/26 | 500,000 | 489,984 | |
Total Municipal Bonds (Cost $296,683,493) | 266,349,537 |
Par/Number of Shares | |||
Short-Term Investments – 14.2% | |||
Money Market Fund – 2.2% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 5.21%(i) | 7,079,523 | 7,079,523 |
Par/Number of Shares | Value | ||
Municipal – 12.0% | |||
Arkansas State Development Finance Authority Multi Family Housing Variable Revenue Bonds, The Cottages Apartments (Housing & Urban Development Sector 8 Program), 1.25%, 12/01/23(a)(b)(c) | 3,000,000 | $2,993,516 | |
Bay Area Toll Bridge Authority Variable Revenue Refunding Bonds, San Francisco Bay, (SIFMA Municipal Swap Index Yield + 0.28%), 4.37%, 4/01/24(a)(c) | 250,000 | 249,118 | |
California State Infrastructure & Economic Development Bank Variable Revenue Bonds (AMT), Brightline West Passenger Rail Project, 3.65%, 1/31/24(a)(b)(c)(d) | 1,200,000 | 1,193,290 | |
Capital Trust Agency Sustainability Revenue Bonds, The Marie, 4.00%, 6/15/24(d) | 105,000 | 103,917 | |
Cass County Joint Water Resource District GO Unlimited Bonds, Series A, 0.48%, 5/01/24 | 600,000 | 583,178 | |
Charlotte-Mecklenburg Hospital Authority Health Care System Variable Revenue Refunding Bonds, 3.10%, 11/01/23(a)(c)(j) | 800,000 | 800,000 | |
Chesapeake Bay Bridge & Tunnel District Revenue First Tier General Resolution Revenue BANS, 5.00%, 11/01/23 | 300,000 | 300,000 | |
Chicago Park District GO Limited Tax Refunding Bonds, Series B, 5.00%, 1/01/24 | 175,000 | 175,197 | |
Clarksville Sewage Works Revenue BANS, 2.75%, 12/11/23 | 125,000 | 124,684 | |
Clayton Town NANS, Series B, 2.00%, 6/01/24 | 100,000 | 97,821 |
Par/Number of Shares | Value | ||
Municipal (Continued) | |||
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, University of Hartford, 5.00%, 7/01/24 | 240,000 | $ 238,748 | |
County Square Redevelopment Corp., Installment Purchase Revenue BANS, Greenville County South Carolina Project, 5.00%, 2/09/24 | 2,000,000 | 2,005,066 | |
Fairfax County EDA Residential Care Facilities Revenue Refunding Bonds, Series A, Goodwin House, Inc., Prerefunded, 5.00%, 10/01/24(g) | 150,000 | 154,098 | |
Farmington PCR Refunding Bonds, Public Service Company of New Mexico San Juan Project, 1.15%, 6/01/24(a)(b)(c) | 250,000 | 244,130 | |
Fort Bend Independent School District Variable GO Unlimited Bonds, Series B (PSF, Gtd), 3.65%, 8/01/24(a)(b)(c) | 500,000 | 497,325 | |
Hamden GO Unlimited Refunding Bonds, Series A (BAM Insured), 5.00%, 8/01/24 | 500,000 | 502,811 | |
Houston Housing Finance Corp., MFH Variable Revenue Bonds, Temenos Place Apartments, 4.08%, 2/01/24(a)(b)(c) | 450,000 | 449,204 | |
Idaho State Health Facilities Authority Hospital Variable Revenue Bonds, Che Trinity Health Credit Group, 4.30%, 2/01/24(a)(b)(c) | 500,000 | 500,000 | |
Illinois State GO Unlimited Bonds, Series B, 5.00%, 3/01/24 | 250,000 | 250,442 | |
Kentucky State Economic Development Finance Authority Health System Revenue Bonds, Norton Healthcare, Inc., Series B (NATL Insured), 0.00%, 10/01/24(e) | 280,000 | 267,763 |
Par/Number of Shares | Value | ||
Municipal (Continued) | |||
Kentucky State Economic Development Finance Authority Solid Waste Disposal Revenue Refunding Bonds, Republic Services, Inc. Project, 3.95%, 12/01/23(a)(b)(c) | 250,000 | $ 249,943 | |
Kentucky State Public Energy Authority Gas Supply Revenue Bonds, Series A, 4.00%, 4/01/24(a)(b)(c) | 475,000 | 472,733 | |
Kingfisher Special Projects Authority Educational Facilities Lease Revenue Bonds, Kingfisher Public Schools Project, 4.00%, 3/01/24 | 600,000 | 599,684 | |
Long Island Power Authority Electric System Variable Revenue Bonds, Series B, 1.65%, 9/01/24(a)(b)(c) | 1,650,000 | 1,611,473 | |
Lowville GO Limited BANS, Series A, 4.63%, 8/22/24 | 500,000 | 498,800 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Subseries C, 4.00%, 12/01/23(a)(b)(c) | 950,000 | 949,894 | |
Main Street Natural Gas, Inc., Gas Supply Variable Revenue Bonds, Series B, 4.00%, 12/01/23 | 355,000 | 354,911 | |
Maryland State Community Development Administration Department Housing Revenue Bonds, Series A, Woodside Gardens, 1.33%, 1/01/24(d) | 2,000,000 | 1,983,704 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Peninsula Regional Health System, 5.00%, 7/01/24 | 350,000 | 351,374 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board Revenue Refunding Bonds, Trevecca Nazarene University, 3.00%, 10/01/24 | 110,000 | 107,597 |
Par/Number of Shares | Value | ||
Municipal (Continued) | |||
Miami-Dade County COPS, Series A, Prerefunded, 5.00%, 5/01/24(b)(c)(g) | 515,000 | $517,345 | |
Michigan State Strategic Fund Limited Obligation Variable Revenue Bonds (AMT), Consumers Energy Co., 1.80%, 10/01/24(a)(b)(c) | 500,000 | 486,303 | |
Mississippi State Hospital Equipment & Facilities Authority Revenue Refunding Bonds, Forrest Country General Hospital Project, 5.00%, 1/01/24 | 400,000 | 400,417 | |
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 | 150,041 | |
Missouri State Health & Educational Facilities Authority Revenue Refunding Bonds, Bethesda Health Group, Inc., 4.00%, 8/01/24 | 320,000 | 315,641 | |
MTA Variable Revenue Bonds, Subseries D-1, (SOFR + 0.33%), 3.92%, 4/01/24(a)(c) | 900,000 | 897,766 | |
Neshannock Township School District GO Limited Refunding Bonds, Series B (State Aid Withholding), 2.00%, 9/01/24 | 190,000 | 185,011 | |
New Jersey State EDA Private Activity Revenue Bonds (AMT), The Goethals Project, 5.00%, 1/01/24 | 150,000 | 150,029 | |
New Jersey State EDA Revenue Refunding Bonds, Series A, United Methodist Homes, Prerefunded, 5.00%, 7/01/24(g) | 100,000 | 100,380 | |
New Jersey Transportation Trust Fund Authority Revenue Refunding Bonds, Series AA, 5.00%, 6/15/24 | 600,000 | 603,072 |
Par/Number of Shares | Value | ||
Municipal (Continued) | |||
New Orleans Sewarage Service Revenue Refunding Bonds, 5.00%, 6/01/24 | 500,000 | $ 502,199 | |
New York State Dormitory Authority Revenues Non State Supported Debt Revenue Bonds, Northwell Health Obligated Group, 5.00%, 5/01/24(a)(b)(c) | 250,000 | 250,139 | |
New York State Transportation Development Corp., Special Facility Revenue Refunding Bonds (AMT), Terminal 4 John F. Kennedy International Airport Project, 5.00%, 12/01/23 | 1,000,000 | 1,000,087 | |
Newark Housing Authority Port Newark Marine Terminal Rental Revenue Refunding Bonds, Additional Newark Redevelopment Project (NATL Insured), 5.25%, 1/01/24 | 500,000 | 499,976 | |
North Carolina State Capital Facilities Finance Agency Educational Facilities Revenue Refunding Bonds, High Point University, 4.00%, 5/01/24 | 240,000 | 239,620 | |
North Carolina State Housing Fiance Agency MFH Variable Revenue Bonds, Wind Creek Senior Living, 4.50%, 6/01/24 | 481,000 | 480,632 | |
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, First Mortgage, United Church Services, Prerefunded, 5.00%, 9/01/24(g) | 155,000 | 156,443 | |
North Carolina State Turnpike Authority Triangle Expressway System Revenue BANS, Escrowed to Maturity, 5.00%, 2/01/24 | 200,000 | 200,428 |
Par/Number of Shares | Value | ||
Municipal (Continued) | |||
Northside Texas Independent School District GO Unlimited Refunding Bonds (PSF, Gtd), 1.60%, 8/01/24(a)(b)(c) | 335,000 | $ 328,126 | |
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 | 483,324 | |
Ohio State Solid Waste Revenue Refunding Bonds, Republic Services, Inc., Project, 3.95%, 12/01/23(a)(b)(c) | 1,000,000 | 999,770 | |
Oklahoma State Development Finance Authority Revenue Refunding Bonds, Oklahoma City University Project, 5.00%, 8/01/24 | 590,000 | 587,952 | |
Orlando Tourist Development Senior Lien Tax Revenue Refunding Bonds (AGM Insured), 5.00%, 11/01/23 | 1,000,000 | 1,000,000 | |
Pennsylvania State Turnpike Commission Variable Revenue Refunding Bonds, Series B, (SIFMA Municipal Swap Index Yield + 0.70%), 4.79%, 12/01/23(c) | 500,000 | 500,171 | |
PMA Levy & Aid Anticipation Notes Program Revenue Notes, Series A, 5.00%, 9/25/24 | 1,000,000 | 1,007,251 | |
PMA Levy & Aid Anticipation Program Note Participations Revenue Bonds, Series B, 5.00%, 4/03/24 | 400,000 | 401,228 | |
Puerto Rico Commonwealth Restructured GO Unlimited CABS, Series A, 0.00%, 7/01/24(e) | 8,821 | 8,545 | |
Salem Hospital Facility Authority Revenue Refunding Bonds, Capital Manor Project, 5.00%, 5/15/24 | 110,000 | 109,722 |
Par/Number of Shares | Value | ||
Municipal (Continued) | |||
San Antonio Water Junior Lien Variable Revenue Bonds, Series A, 2.63%, 5/01/24(a)(b)(c) | 1,125,000 | $1,113,629 | |
Sand Creek Metropolitan District GO Limited Refunding Bonds, Series A (AGM Insured), 4.00%, 12/01/23 | 180,000 | 179,954 | |
Southeast Alabama State Gas Supply District Revenue Bonds, Series A, Project No. 2, 4.00%, 6/01/24(a)(b)(c) | 600,000 | 596,050 | |
Stratford GO Unlimited BANS, Series B, 5.00%, 1/30/24 | 500,000 | 500,412 | |
Tennergy Corp., Gas Revenue Bonds, Series A, 5.00%, 10/01/24(a)(b)(c) | 500,000 | 500,047 | |
United Local School District COPS (BAM Insured), 3.00%, 12/01/23 | 330,000 | 329,468 | |
University of North Carolina Hospital Chapel Hill Revenue Bonds, Series A, 3.05%, 11/01/23(a)(c)(j) | 1,600,000 | 1,600,000 |
Par/Number of Shares | Value | ||
Municipal (Continued) | |||
Village Community Development District No. 13 Special Assessment Bonds, Limited Offering, 2.63%, 5/01/24 | 125,000 | $ 123,594 | |
Watford City North Dakota State Aid Certificates Indebtedness Revenue Refunding Bonds (AGM Insured), 3.00%, 12/01/23 | 800,000 | 798,381 | |
Will County Community School District No. 161 Summit Hill Refunding GO Unlimited Refunding Bonds, 4.00%, 1/01/24 | 470,000 | 469,837 | |
37,683,411 | |||
Total Short-Term Investments (Cost $45,064,423) | 44,762,934 | ||
Total Investments – 98.9% (Cost $341,747,916) | 311,112,471 | ||
Other Assets less Liabilities – 1.1% | 3,360,982 | ||
NET ASSETS – 100.0% | $314,473,453 |
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 or floating rate security. Rate as of October 31, 2023 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) | Zero coupon bond. | ||
(f) | Amount rounds to less than 0.05%. | ||
(g) | Maturity date represents the prerefunded date. | ||
(h) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. | ||
(i) | 7-day current yield as of October 31, 2023 is disclosed. | ||
(j) | Rate is determined by a Remarketing Agent which, in its judgment, on the basis of prevailing financial markets, will be the lowest interest rate necessary to enable the remarketing agent to sell the bonds at a price equal to 100% of the principal amount. |
Abbreviations: |
AGM | Assured Guarantee Municipal Corporation |
AMBAC | American Municipal Bond Assurance Corporation |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
BANS | Bond Anticipation Notes |
CABS | Capital Appreciation Bonds |
COPS | Certificates of Participation |
EDA | Economic Development Administration |
FHA | Federal Housing Administration |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
GO | Government Obligation |
Gtd | Guaranteed |
HFA | Housing Finance Authority |
IBC | Insured Bond Certificates |
IDA | Industrial Development Association |
L.P. | Limited Partnership |
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 |
TRB | Tax Revenue Bonds |
Municipal Issue Type (%)(a),(b) | |
Revenue Bonds | 81.7 |
General Obligation Unlimited Bonds | 8.9 |
Certificates of Participation | 2.1 |
General Obligation Limited Bonds | 1.8 |
Revenue Notes | 1.0 |
Tax Allocation Bonds | 0.3 |
Special Assessment Bonds | 0.3 |
Special Tax Bonds | 0.2 |
General Obligation Unlimited Notes | 0.2 |
General Obligation Limited Notes | 0.2 |
Total | 96.7 |
(a)Percentages shown are based on Net Assets. |
(b)Excludes Short-Term Investments and Other. |
Morningstar Municipal Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Municipal Bonds | $ — | $266,349,537 | $— | $266,349,537 |
Short-Term Investments | 7,079,523 | 37,683,411 | — | 44,762,934 |
Total Investments | $7,079,523 | $304,032,948 | $— | $311,112,471 |
Par | Value | ||
Asset-Backed Securities – 34.4% | |||
Automotive – 0.1% | |||
Volkswagen Auto Loan Enhanced Trust, Series 2023-1, Class A4, 5.01%, 1/22/30 | $100,000 | $ 97,530 | |
Banking – 0.3% | |||
Chase Issuance Trust, Series 2023-A2, Class A, 5.08%, 9/15/30 | 409,000 | 398,842 | |
Consumer Services – 0.8% | |||
Avis Budget Rental Car Funding AESOP LLC, | |||
Series 2023-1A, Class A, 5.25%, 4/20/29(a) | 101,000 | 96,516 | |
Series 2023-4A, Class A, 5.49%, 6/20/29(a) | 300,000 | 289,082 | |
Series 2023-6A, Class A, 5.81%, 12/20/29(a) | 423,000 | 410,811 | |
Series 2023-8A, Class A, 6.02%, 2/20/30(a) | 306,000 | 300,024 | |
1,096,433 | |||
Other – 31.7% | |||
ABPCI Direct Lending Fund ABS I Ltd., Series 2020-1A, Class B, 4.94%, 12/20/30(a)(b) | 807,351 | 744,012 | |
ABPCI Direct Lending Fund ABS II LLC, | |||
Series 2022-2A, Class A1, (3M CME Term SOFR + 2.10%, 2.10% Floor), 7.49%, 3/01/32(a)(b)(c) | 224,000 | 222,304 | |
Series 2022-2A, Class C, 8.24%, 3/01/32(a)(b) | 935,000 | 799,043 | |
ABPCI Direct Lending Fund CLO II LLC, Series 2017-1A, Class ER, (3M CME Term SOFR + 7.86%, 7.60% Floor), 13.28%, 4/20/32(a)(c) | 746,000 | 701,259 | |
ABPCI Direct Lending Fund CLO X L.P., Series 2020-10A, Class A1A, (3M CME Term SOFR + 2.21%, 1.95% Floor), 7.54%, 1/20/32(a)(c) | 250,000 | 248,362 | |
ABPCI Direct Lending Fund IX LLC, Series 2020-9A, Class A1R, (3M CME Term SOFR + 1.66%, 1.40% Floor), 7.05%, 11/18/31(a)(c) | 378,000 | 374,113 |
Par | Value | ||
Other (Continued) | |||
Ally Auto Receivables Trust, Series 2023-1, Class A4, 5.27%, 11/15/28 | $100,000 | $ 98,343 | |
American Express Credit Account Master Trust, | |||
Series 2023-2, Class A, 4.80%, 5/15/30 | 590,000 | 572,519 | |
Series 2023-4, Class A, 5.15%, 9/15/30 | 567,000 | 555,811 | |
BMW Vehicle Lease Trust, Series 2022-1, Class A4, 1.23%, 5/27/25 | 255,000 | 249,344 | |
BMW Vehicle Owner Trust, Series 2023-A, Class A4, 5.25%, 11/26/29 | 100,000 | 98,507 | |
CARS-DB4 L.P., Series 2020-1A, Class A1, 2.69%, 2/15/50(a) | 144,049 | 136,706 | |
Cascade Funding Mortgage Trust, Series 2021-HB6, Class A, 0.90%, 6/25/36(a) | 89,013 | 86,231 | |
Cerberus Loan Funding XL LLC, Series 2023-1A, Class A, (3M CME Term SOFR + 2.40%, 2.40% Floor), 7.79%, 3/22/35(a)(c) | 250,000 | 249,987 | |
Cerberus Loan Funding XLI LLC, Series 2023-2A, Class A1, (3M CME Term SOFR + 2.55%, 2.55% Floor), 7.94%, 7/15/35(a)(c) | 419,000 | 414,709 | |
Cerberus Loan Funding XXIX L.P., Series 2020-2A, Class A, (3M CME Term SOFR + 2.16%, 1.90% Floor), 7.56%, 10/15/32(a)(c) | 708,000 | 708,969 | |
Cerberus Loan Funding XXVIII L.P., Series 2020-1A, Class D, (3M CME Term SOFR + 5.56%, 5.30% Floor), 10.96%, 10/15/31(a)(c) | 764,000 | 762,593 | |
CFMT LLC, | |||
Series 2021-HB5, Class A, 0.80%, 2/25/31(a) | 117,118 | 115,956 | |
Series 2021-HB7, Class A, 1.15%, 10/27/31(a) | 111,709 | 106,785 | |
Series 2021-HB7, Class M1, 2.12%, 10/27/31(a) | 192,000 | 177,874 |
Par | Value | ||
Other (Continued) | |||
Chesapeake Funding II LLC, Series 2020-1A, Class C, 2.14%, 8/15/32(a) | $159,000 | $155,434 | |
CNH Equipment Trust, | |||
Series 2023-A, Class A4, 4.77%, 10/15/30 | 100,000 | 96,579 | |
Series 2023-B, Class A4, 5.46%, 3/17/31 | 154,000 | 151,672 | |
Coinstar Funding LLC, Series 2017-1A, Class A2, 5.22%, 4/25/47(a) | 867,680 | 707,794 | |
Cologix Data Centers U.S. Issuer LLC, Series 2021-1A, Class A2, 3.30%, 12/26/51(a) | 412,000 | 360,664 | |
Dell Equipment Finance Trust, Series 2021-2, Class C, 0.94%, 12/22/26(a) | 104,000 | 101,071 | |
Diamond Infrastructure Funding LLC, Series 2021-1A, Class C, 3.48%, 4/15/49(a) | 104,000 | 90,317 | |
Diamond Issuer, Series 2021-1A, Class C, 3.79%, 11/20/51(a) | 282,000 | 224,974 | |
Drive Auto Receivables Trust, Series 2021-3, Class C, 1.47%, 1/15/27 | 625,000 | 607,177 | |
DT Auto Owner Trust, | |||
Series 2021-3A, Class C, 0.87%, 5/17/27(a) | 149,000 | 144,360 | |
Series 2021-4A, Class C, 1.50%, 9/15/27(a) | 116,000 | 110,222 | |
Series 2022-1A, Class C, 2.96%, 11/15/27(a) | 162,000 | 157,035 | |
Elm Trust, | |||
Series 2020-3A, Class A2, 2.95%, 8/20/29(a) | 90,427 | 85,316 | |
Series 2020-3A, Class B, 4.48%, 8/20/29(a) | 234,728 | 212,435 | |
Series 2020-4A, Class A2, 2.29%, 10/20/29(a) | 87,489 | 81,683 | |
Series 2020-4A, Class B, 3.87%, 10/20/29(a) | 297,423 | 263,894 | |
Enterprise Fleet Financing, Series 2023-3, Class A3, 6.41%, 6/20/30(a) | 305,000 | 306,562 | |
Enterprise Fleet Financing LLC, | |||
Series 2023-1, Class A3, 5.42%, 10/22/29(a) | 226,000 | 222,607 | |
Series 2023-2, Class A3, 5.50%, 4/22/30(a) | 313,000 | 307,117 |
Par | Value | ||
Other (Continued) | |||
Exeter Automobile Receivables Trust, Series 2021-4A, Class C, 1.46%, 10/15/27 | $356,000 | $345,616 | |
FCI Funding, Series 2021-1A, Class A, 1.13%, 4/15/33(a) | 23,017 | 22,481 | |
Flagship Credit Auto Trust, | |||
Series 2021-2, Class C, 1.27%, 6/15/27(a) | 150,000 | 140,279 | |
Series 2021-4, Class B, 1.49%, 2/15/27(a) | 73,000 | 69,567 | |
Ford Credit Auto Owner Trust, | |||
Series 2022-A, Class A3, 1.29%, 6/15/26 | 238,307 | 230,916 | |
Series 2023-A, Class A4, 4.56%, 12/15/28 | 114,000 | 110,289 | |
Series 2023-B, Class A4, 5.06%, 2/15/29 | 100,000 | 97,941 | |
Ford Credit Floorplan Master Owner Trust, Series 2018-4, Class A, 4.06%, 11/15/30 | 645,000 | 590,709 | |
Fortress Credit Opportunities IX CLO Ltd., Series 2017-9A, Class A1TR, (3M CME Term SOFR + 1.81%, 1.55% Floor), 7.21%, 10/15/33(a)(c) | 954,000 | 936,561 | |
Fortress Credit Opportunities XI CLO Ltd., Series 2018-11A, Class A1T, (3M CME Term SOFR + 1.56%), 6.96%, 4/15/31(a)(c) | 323,688 | 321,697 | |
Fortress Credit Opportunities XVII CLO Ltd., Series 2022-17A, Class A, (3M CME Term SOFR + 1.37%, 1.37% Floor), 6.76%, 1/15/30(a)(c) | 239,954 | 238,888 | |
GM Financial Consumer Automobile Receivables Trust, Series 2020-3, Class C, 1.37%, 1/16/26 | 50,000 | 48,269 | |
GM Financial Revolving Receivables Trust, | |||
Series 2021-1, Class A, 1.17%, 6/12/34(a) | 302,000 | 265,367 | |
Series 2023-1, Class A, 5.12%, 4/11/35(a) | 437,000 | 423,912 | |
GMF Floorplan Owner Revolving Trust, Series 2023-2, Class A, 5.34%, 6/15/30(a) | 165,000 | 161,742 |
Par | Value | ||
Other (Continued) | |||
Golub Capital Partners ABS Funding Ltd., | |||
Series 2020-1A, Class A2, 3.21%, 1/22/29(a) | $446,087 | $417,636 | |
Series 2020-1A, Class B, 4.50%, 1/22/29(a) | 306,748 | 279,312 | |
Series 2021-1A, Class A2, 2.77%, 4/20/29(a) | 144,255 | 135,254 | |
Series 2021-1A, Class B, 3.82%, 4/20/29(a) | 382,000 | 352,709 | |
Series 2021-2A, Class A, 2.94%, 10/19/29(a) | 796,000 | 709,422 | |
Series 2021-2A, Class B, 3.99%, 10/19/29(a) | 926,000 | 755,665 | |
Golub Capital Partners CLO 36m Ltd., Series 2018-36A, Class A, (3M CME Term SOFR + 1.56%), 6.95%, 2/05/31(a)(c) | 269,620 | 268,002 | |
Golub Capital Partners CLO Ltd., | |||
Series 2018-38A, Class C, (3M CME Term SOFR + 3.06%, 2.80% Floor), 8.48%, 7/20/30(a)(c) | 507,000 | 494,152 | |
Series 2019-42A, Class A2, (3M CME Term SOFR + 2.26%, 2.00% Floor), 7.68%, 4/20/31(a)(c) | 472,000 | 468,846 | |
Great America Leasing Receivables, Series 2023-1, Class A4, 5.06%, 3/15/30(a) | 137,000 | 132,568 | |
Helios Issuer LLC, Series 2023-GRID1, Class 1A, 5.75%, 12/20/50(a)(d) | 100,000 | 98,257 | |
Hertz Vehicle Financing LLC, | |||
Series 2022-2A, Class A, 2.33%, 6/26/28(a) | 298,000 | 259,894 | |
Series 2022-5A, Class A, 3.89%, 9/25/28(a) | 614,000 | 563,620 | |
Series 2023-4A, Class A, 6.15%, 3/25/30(a) | 285,000 | 280,931 | |
Honda Auto Receivables Owner Trust, Series 2021-4, Class A3, 0.88%, 1/21/26 | 304,052 | 293,687 | |
Hotwire Funding LLC, Series 2023-1A, Class A2, 5.69%, 5/20/53(a) | 115,000 | 109,635 |
Par | Value | ||
Other (Continued) | |||
HPEFS Equipment Trust, | |||
Series 2022-1A, Class B, 1.79%, 5/21/29(a) | $226,000 | $218,584 | |
Series 2022-1A, Class C, 1.96%, 5/21/29(a) | 150,000 | 143,575 | |
Hyundai Auto Receivables Trust, Series 2021-C, Class A3, 0.74%, 5/15/26 | 199,758 | 193,179 | |
Ivy Hill Middle Market Credit Fund XVIII Ltd., Series 18A, Class E, (3M CME Term SOFR + 8.01%, 7.75% Floor), 13.42%, 4/22/33(a)(c) | 970,000 | 881,590 | |
John Deere Owner Trust, Series 2023-B, Class A4, 5.11%, 5/15/30 | 102,000 | 100,175 | |
Kubota Credit Owner Trust, | |||
Series 2023-1A, Class A4, 5.07%, 2/15/29(a) | 100,000 | 97,362 | |
Series 2023-2A, Class A4, 5.23%, 6/15/28(a) | 116,000 | 113,955 | |
Lake Shore MM CLO III LLC, | |||
Series 2019-2A, Class A1R, (3M CME Term SOFR + 1.74%, 1.48% Floor), 7.14%, 10/17/31(a)(c) | 202,000 | 199,370 | |
Series 2019-2A, Class A2R, 2.52%, 10/17/31(a) | 100,000 | 94,155 | |
Lake Shore MM CLO IV Ltd., Series 2021-1A, Class X, (3M CME Term SOFR + 1.44%, 1.18% Floor), 6.84%, 10/15/33(a)(c) | 77,333 | 77,219 | |
M&T Equipment, Series 2023-1A, Class A4, 5.75%, 7/15/30(a) | 100,000 | 98,231 | |
MCF CLO IX Ltd., Series 2019-1A, Class A1R, (3M CME Term SOFR + 1.50%, 1.50% Floor), 6.90%, 7/17/31(a)(c) | 905,598 | 901,143 | |
MMAF Equipment Finance LLC, | |||
Series 2020-A, Class A5, 1.56%, 10/09/42(a) | 100,000 | 86,309 | |
Series 2023-A, Class A4, 5.50%, 12/13/38(a) | 217,000 | 212,602 |
Par | Value | ||
Other (Continued) | |||
Monroe Capital ABS Funding Ltd., | |||
Series 2021-1A, Class A2, 2.82%, 4/22/31(a)(b) | $385,709 | $368,804 | |
Series 2021-1A, Class B, 3.91%, 4/22/31(a)(b) | 221,000 | 212,015 | |
Nissan Auto Receivables Owner Trust, Series 2023-A, Class A4, 4.85%, 6/17/30 | 126,000 | 122,726 | |
Oportun Funding XIV LLC, Series 2021-A, Class A, 1.21%, 3/08/28(a) | 85,593 | 81,071 | |
Oportun Issuance Trust, | |||
Series 2021-B, Class A, 1.47%, 5/08/31(a) | 230,000 | 209,148 | |
Series 2021-C, Class A, 2.18%, 10/08/31(a) | 803,000 | 725,845 | |
Owl Rock CLO III Ltd., Series 2020-3A, Class A1L, (3M CME Term SOFR + 2.06%), 7.48%, 4/20/32(a)(c) | 400,000 | 399,416 | |
Owl Rock CLO VI Ltd., Series 2021-6A, Class A, (3M CME Term SOFR + 1.71%, 1.45% Floor), 7.11%, 6/21/32(a)(c) | 915,000 | 906,024 | |
Parliament CLO II Ltd., Series 2021-2A, Class A, (3M CME Term SOFR + 1.61%, 1.35% Floor), 6.99%, 8/20/32(a)(c) | 328,696 | 325,097 | |
PFS Financing Corp., | |||
Series 2021-B, Class B, 1.09%, 8/15/26(a) | 101,000 | 96,578 | |
Series 2022-A, Class A, 2.47%, 2/15/27(a) | 899,000 | 858,218 | |
Porsche Financial Auto Securitization Trust, Series 2023-1A, Class A4, 4.72%, 6/23/31(a) | 142,000 | 137,776 | |
Prestige Auto Receivables Trust, Series 2021-1A, Class C, 1.53%, 2/15/28(a) | 116,000 | 108,810 | |
PRET LLC, | |||
Series 2021-NPL5, Class A1, (Step to 5.49% on 11/25/24), 2.49%, 10/25/51(a)(e) | 702,305 | 656,664 | |
Series 2021-NPL6, Class A1, (Step to 5.49% on 12/25/24), 2.49%, 7/25/51(a)(e) | 150,784 | 143,399 |
Par | Value | ||
Other (Continued) | |||
Pretium Mortgage Credit Partners I LLC, | |||
Series 2021-NPL2, Class A1, (Step to 3.46% on 7/27/24), 1.99%, 6/27/60(a)(e) | $291,535 | $268,721 | |
Series 2021-NPL4, Class A1, (Step to 3.29% on 11/27/24), 2.36%, 10/27/60(a)(e) | 540,176 | 504,423 | |
Progress Residential Trust, | |||
Series 2021-SFR11, Class A, 2.28%, 1/17/39(a) | 121,730 | 100,378 | |
Series 2021-SFR7, Class A, 1.69%, 8/17/40(a) | 112,794 | 91,230 | |
Series 2023-SFR2, Class A, 4.50%, 10/17/28(a) | 246,000 | 228,687 | |
PRPM LLC, | |||
Series 2021-10, Class A1, (Step to 5.49% on 11/25/24), 2.49%, 10/25/26(a)(e) | 312,823 | 291,417 | |
Series 2021-11, Class A1, (Step to 5.49% on 12/25/24), 2.49%, 11/25/26(a)(e) | 361,986 | 340,913 | |
Series 2021-2, Class A1, 2.12%, 3/25/26(a)(f) | 189,386 | 181,191 | |
Series 2021-9, Class A1, (Step to 5.36% on 11/25/24), 2.36%, 10/25/26(a)(e) | 311,467 | 289,245 | |
Santander Drive Auto Receivables Trust, Series 2021-4, Class C, 1.26%, 2/16/27 | 518,000 | 503,367 | |
Santander Retail Auto Lease Trust, Series 2022-A, Class B, 1.61%, 1/20/26(a) | 86,000 | 82,308 | |
SFS Auto Receivables Securitization Trust, Series 2023-1A, Class A4, 5.47%, 12/20/29(a) | 100,000 | 97,942 | |
SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(a) | 244,330 | 222,147 | |
Toyota Auto Loan Extended Note Trust, Series 2022-1A, Class A, 3.82%, 4/25/35(a) | 429,000 | 400,951 |
Par | Value | ||
Other (Continued) | |||
Toyota Auto Receivables, Series 2023-C, Class A4, 5.01%, 2/15/29 | $ 228,000 | $ 222,272 | |
TVEST LLC, Series 2020-A, Class A, 4.50%, 7/15/32(a) | 24,070 | 23,906 | |
Vantage Data Centers Issuer LLC, Series 2020-1A, Class A2, 1.65%, 9/15/45(a) | 140,000 | 126,811 | |
VCAT LLC, | |||
Series 2021-NPL1, Class A1, (Step to 5.29% on 1/25/24), 2.29%, 12/26/50(a)(e) | 30,155 | 29,402 | |
Series 2021-NPL2, Class A1, (Step to 5.12% on 4/25/24), 2.12%, 3/27/51(a)(e) | 179,319 | 171,095 | |
VCP CLO II Ltd., | |||
Series 2021-2A, Class A1, (3M CME Term SOFR + 1.93%), 7.33%, 4/15/31(a)(b)(c) | 755,747 | 753,638 | |
Series 2021-2A, Class E, (3M CME Term SOFR + 8.67%), 14.07%, 4/15/31(a)(b)(c) | 1,119,000 | 1,071,405 | |
VCP RRL ABS I Ltd., | |||
Series 2021-1A, Class A, 2.15%, 10/20/31(a) | 279,878 | 255,136 | |
Series 2021-1A, Class B, 2.85%, 10/20/31(a)(b) | 250,214 | 226,621 | |
Verizon Master Trust, | |||
Series 2023-3, Class A, 4.73%, 4/21/31(a) | 526,000 | 507,550 | |
Series 2023-6, Class A, 5.35%, 9/22/31(a) | 689,000 | 678,201 | |
Volkswagen Auto Loan Enhanced Trust, Series 2021-1, Class A3, 1.02%, 6/22/26 | 346,115 | 334,087 | |
VOLT C LLC, Series 2021-NPL9, Class A1, (Step to 4.99% on 5/25/24), 1.99%, 5/25/51(a)(e) | 185,697 | 171,395 | |
VOLT XCIV LLC, Series 2021-NPL3, Class A1, (Step to 5.24% on 2/25/24), 2.24%, 2/27/51(a)(e) | 245,575 | 231,310 | |
VOLT XCV LLC, Series 2021-NPL4, Class A1, (Step to 5.24% on 3/25/24), 2.24%, 3/27/51(a)(e) | 221,736 | 212,461 |
Par | Value | ||
Other (Continued) | |||
WEPCO Environmental Trust Finance I LLC, Series 2021-1, Class A, 1.58%, 12/15/35 | $ 85,433 | $ 69,982 | |
Westlake Automobile Receivables Trust, | |||
Series 2021-2A, Class C, 0.89%, 7/15/26(a) | 406,000 | 394,679 | |
Series 2021-3A, Class C, 1.58%, 1/15/27(a) | 598,000 | 572,512 | |
Series 2022-1A, Class C, 3.11%, 3/15/27(a) | 448,000 | 432,710 | |
Woodmont Trust, Series 2019-6A, Class A1R, (3M CME Term SOFR + 1.74%, 1.48% Floor), 7.14%, 7/15/31(a)(c) | 268,765 | 264,246 | |
World Omni Auto Receivables Trust, | |||
Series 2020-C, Class C, 1.39%, 5/17/27 | 50,000 | 47,429 | |
Series 2023-B, Class A4, 4.68%, 5/15/29 | 175,000 | 168,803 | |
Series 2023-C, Class A4, 5.03%, 11/15/29 | 100,000 | 97,381 | |
40,869,156 | |||
Specialty Finance – 1.5% | |||
CarMax Auto Owner Trust, | |||
Series 2023-1, Class A4, 4.65%, 1/16/29 | 100,000 | 96,518 | |
Series 2023-2, Class A4, 5.01%, 11/15/28 | 172,000 | 167,285 | |
Series 2023-3, Class A4, 5.26%, 2/15/29 | 183,000 | 179,108 | |
GM Financial Consumer Automobile Receivables Trust, | |||
Series 2023-1, Class A4, 4.59%, 7/17/28 | 122,000 | 117,985 | |
Series 2023-3, Class A4, 5.34%, 12/18/28 | 121,000 | 119,450 | |
Hyundai Auto Receivables Trust, Series 2023-B, Class A4, 5.31%, 8/15/29 | 100,000 | 98,628 | |
John Deere Owner Trust, | |||
Series 2023-A, Class A4, 5.01%, 12/17/29 | 123,000 | 120,916 | |
Series 2023-C, Class A4, 5.39%, 8/15/30 | 142,000 | 140,635 | |
Mercedes-Benz Auto Receivables Trust, Series 2023-1, Class A4, 4.31%, 4/16/29 | 100,000 | 96,098 |
Par | Value | ||
Specialty Finance (Continued) | |||
Toyota Auto Loan Extended Note Trust, Series 2023-1A, Class A, 4.93%, 6/25/36(a) | $387,000 | $ 372,303 | |
Toyota Auto Receivables Owner Trust, | |||
Series 2023-A, Class A4, 4.42%, 8/15/28 | 125,000 | 120,274 | |
Series 2023-B, Class A4, 4.66%, 9/15/28 | 163,000 | 157,363 | |
World Omni Auto Receivables Trust, Series 2023-A, Class A4, 4.66%, 5/15/29 | 114,000 | 110,160 | |
1,896,723 | |||
Total Asset-Backed Securities (Cost $46,478,175) | 44,358,684 |
Number of Shares | |||
Common Stocks – 1.0% | |||
Institutional Financial Services – 0.0%(g) | |||
J.C. Penney Earnout* | 3,405 | 9,364 | |
Real Estate Services – 0.2% | |||
Copper Property CTL Pass Through Trust | 25,536 | 265,574 | |
Telecommunications – 0.0%(g) | |||
Windstream Corp.(h)* | 3,665 | 32,985 | |
Transportation & Logistics – 0.8% | |||
PHI Group, Inc. | 44,387 | 1,020,901 | |
Total Common Stocks (Cost $1,040,620) | 1,328,824 |
Par | |||
Corporate Bonds – 4.1% | |||
Asset Management – 1.1% | |||
Ares Capital Corp., 2.88%, 6/15/28 | $398,000 | 329,409 | |
Blue Owl Credit Income Corp., | |||
4.70%, 2/08/27 | 660,000 | 598,742 | |
7.95%, 6/13/28(a) | 468,000 | 457,521 | |
1,385,672 | |||
Commercial Support Services – 0.1% | |||
VT Topco, Inc., 8.50%, 8/15/30(a) | 100,000 | 97,559 |
Par | Value | ||
Electric Utilities – 0.4% | |||
DTE Electric Securitization Funding II LLC, 5.97%, 3/01/32(d) | $261,000 | $ 261,797 | |
PG&E Recovery Funding LLC, 5.05%, 7/15/32 | 326,081 | 314,119 | |
575,916 | |||
Gas & Water Utilities – 0.3% | |||
Kansas Gas Service Securitization I LLC, 5.49%, 8/01/32 | 429,762 | 419,331 | |
Health Care Facilities & Services – 0.3% | |||
Heartland Dental LLC/Heartland Dental Finance Corp., 10.50%, 4/30/28(a) | 359,000 | 345,046 | |
Home & Office Products – 0.2% | |||
CD&R Smokey Buyer, Inc., 6.75%, 7/15/25(a)(i) | 315,000 | 301,077 | |
Real Estate Investment Trusts – 0.7% | |||
American Tower Trust #1, 5.49%, 3/15/28(a) | 685,000 | 672,610 | |
SBA Tower Trust, | |||
1.63%, 11/15/26(a) | 117,000 | 101,278 | |
2.33%, 1/15/28(a) | 151,000 | 127,111 | |
900,999 | |||
Specialty Finance – 0.5% | |||
Midcap Financial Issuer Trust, 6.50%, 5/01/28(a) | 761,000 | 644,879 | |
Telecommunications – 0.5% | |||
Consolidated Communications, Inc., 6.50%, 10/01/28(a)(i) | 381,000 | 300,799 | |
Frontier Communications Holdings LLC, | |||
5.88%, 10/15/27(a) | 137,000 | 124,899 | |
6.00%, 1/15/30(a) | 214,000 | 161,087 | |
586,785 | |||
Total Corporate Bonds (Cost $5,648,207) | 5,257,264 | ||
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 | 503,409 |
Par | Value | ||
Ireland – 0.1% | |||
Cimpress PLC, 7.00%, 6/15/26 | $175,000 | $ 161,949 | |
Total Foreign Issuer Bonds (Cost $618,970) | 665,358 | ||
Mortgage-Backed Securities – 8.1% | |||
Commercial Mortgage-Backed Securities – 2.1% | |||
BX Commercial Mortgage Trust, | |||
Series 2021-VOLT, Class E, (1M CME Term SOFR + 2.11%, 2.00% Floor), 7.45%, 9/15/36(a)(c) | 242,000 | 229,447 | |
Series 2021-VOLT, Class F, (1M CME Term SOFR + 2.51%, 2.40% Floor), 7.85%, 9/15/36(a)(c) | 370,000 | 343,623 | |
BX Trust, Series 2019-OC11, Class A, 3.20%, 12/09/41(a) | 418,000 | 344,927 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class C, (1M CME Term SOFR + 1.70%, 1.65% Floor), 7.03%, 5/15/38(a)(c) | 616,000 | 602,476 | |
Manhattan West Mortgage Trust, Series 2020-1MW, Class A, 2.13%, 9/10/39(a) | 407,000 | 345,202 | |
Multifamily Structured Pass Through Certificates, | |||
Series K073, Class A2, 3.35%, 1/25/28 | 261,000 | 241,257 | |
Series K088, Class A2, 3.69%, 1/25/29 | 100,000 | 92,228 | |
Series K114, Class A2, 1.37%, 6/25/30 | 100,000 | 76,902 | |
SLG Office Trust, Series 2021-OVA, Class A, 2.59%, 7/15/41(a) | 455,000 | 345,122 | |
VMC Finance LLC, Series 2021-HT1, Class A, (1M CME Term SOFR + 1.76%, 1.65% Floor), 7.10%, 1/18/37(a)(c) | 172,297 | 167,792 | |
2,788,976 | |||
Federal Home Loan Mortgage Corporation – 4.8% | |||
Multifamily Structured Pass Through Certificates, | |||
Series K068, Class A2, 3.24%, 8/25/27 | 100,000 | 92,729 |
Par | Value | ||
Federal Home Loan Mortgage Corporation (Continued) | |||
Multifamily Structured Pass Through Certificates, | |||
Series K072, Class A2, 3.44%, 12/25/27 | $100,000 | $ 92,901 | |
Series K076, Class A2, 3.90%, 4/25/28 | 144,000 | 135,575 | |
Series K077, Class A2, 3.85%, 5/25/28 | 100,000 | 93,826 | |
Series K079, Class A2, 3.93%, 6/25/28 | 273,000 | 256,561 | |
Series K080, Class A2, 3.93%, 7/25/28 | 219,000 | 205,633 | |
Series K081, Class A2, 3.90%, 8/25/28 | 556,000 | 521,109 | |
Series K082, Class A2, 3.92%, 9/25/28 | 413,000 | 387,263 | |
Series K083, Class A2, 4.05%, 9/25/28 | 209,000 | 196,843 | |
Series K084, Class A2, 3.78%, 10/25/28 | 489,000 | 456,811 | |
Series K085, Class A2, 4.06%, 10/25/28 | 244,000 | 229,478 | |
Series K089, Class A2, 3.56%, 1/25/29 | 226,000 | 207,028 | |
Series K091, Class A2, 3.51%, 3/25/29 | 198,000 | 180,410 | |
Series K093, Class A2, 2.98%, 5/25/29 | 100,000 | 88,506 | |
Series K094, Class A2, 2.90%, 6/25/29 | 532,000 | 466,923 | |
Series K095, Class A2, 2.79%, 6/25/29 | 697,000 | 607,684 | |
Series K096, Class A2, 2.52%, 7/25/29 | 694,000 | 594,450 | |
Series K097, Class A2, 2.51%, 7/25/29 | 359,000 | 306,668 | |
Series K109, Class A2, 1.56%, 4/25/30 | 139,000 | 109,377 | |
Pool, 1.50%, 11/01/35 | 995,000 | 824,153 | |
Real Estate Mortgage Investment Conduits, Series 4162, Class P, 3.00%, 2/15/33 | 115,711 | 110,020 | |
6,163,948 | |||
Federal National Mortgage Association – 0.6% | |||
Interest Strip, Series 284, Class 1, 0.00%, 7/25/27(j) | 45,922 | 42,174 | |
Pool, 1.50%, 12/01/35 | 741,000 | 613,859 | |
Real Estate Mortgage Investment Conduits, Series 2012-144, Class PD, 3.50%, 4/25/42 | 88,303 | 83,136 | |
739,169 |
Par | Value | ||
Government National Mortgage Association – 0.3% | |||
Series 2012-150, Class IO, 0.44%, 11/16/52(f) | $ 659,807 | $ 5,919 | |
Series 2015-108, Class IO, 0.34%, 10/16/56(f) | 40,537 | 736 | |
Series 2015-7, Class IO, 0.45%, 1/16/57(f) | 1,485,931 | 29,917 | |
Series 2020-42, Class IO, 0.94%, 3/16/62(f) | 1,409,329 | 84,792 | |
Series 2020-43, Class IO, 1.26%, 11/16/61(f) | 955,416 | 67,117 | |
Series 2020-71, Class IO, 1.09%, 1/16/62(f) | 1,246,847 | 82,769 | |
Series 2020-75, Class IO, 0.87%, 2/16/62(f) | 2,246,330 | 129,141 | |
400,391 | |||
Whole Loan – 0.3% | |||
Towd Point Mortgage Trust, | |||
Series 2018-2, Class A1, 3.25%, 3/25/58(a) | 174,952 | 166,948 | |
Series 2020-4, Class A1, 1.75%, 10/25/60(a) | 67,418 | 57,614 | |
Series 2023-1, Class A1, 3.75%, 1/25/63(a) | 184,559 | 165,859 | |
390,421 | |||
Total Mortgage-Backed Securities (Cost $11,561,477) | 10,482,905 | ||
Municipal Bonds – 0.1% | |||
Texas – 0.1% | |||
Texas Natural Gas Securitization Finance Corp., Taxable Customer Rate Relief Revenue Bonds, 5.10%, 4/01/35 | 100,000 | 96,777 | |
Total Municipal Bonds (Cost $100,000) | 96,777 | ||
Term Loans – 1.2%(c) | |||
Commercial Support Services – 0.2% | |||
Cimpress PLC, Tranche B-1 Term Loan, (1M USD CME Term SOFR + 3.50%), 8.94%, 5/17/28 | 265,880 | 260,951 | |
Retail - Discretionary – 0.0%(g) | |||
J.C. Penney Corp., Inc., Term Loan(k) | 233,386 | 23 |
Par | Value | ||
Software – 0.5% | |||
Azalea TopCo, Inc., Initial Term Loan, (3M USD CME Term SOFR + 3.50%), 9.18%, 7/24/26 | $325,404 | $ 308,320 | |
Polaris Newco LLC, Dollar Term Loan, (1M USD CME Term SOFR + 4.00%, 0.50% Floor), 9.44%, 6/02/28 | 323,400 | 304,805 | |
613,125 | |||
Telecommunications – 0.5% | |||
Frontier Communications Corp., TLB, (1M USD CME Term SOFR + 3.75%, 0.75% Floor), 9.19%, 10/08/27 | 360,750 | 346,771 | |
Windstream Services II LLC, Initial Term Loan, (1M USD CME Term SOFR + 6.25%, 1.00% Floor), 11.67%, 9/21/27 | 305,605 | 281,792 | |
628,563 | |||
Total Term Loans (Cost $1,566,557) | 1,502,662 |
U.S. Government Obligations – 1.8% | |||
U.S. Treasury Notes – 1.8% | |||
4.38%, 8/31/28 | 1,106,000 | 1,084,917 | |
4.63%, 9/30/28(i) | 294,000 | 291,336 | |
4.63%, 9/30/30 | 883,000 | 868,099 | |
Total U.S. Government Obligations (Cost $2,251,407) | 2,244,352 |
Number of Shares | |||
Investment Companies – 43.2% | |||
Schwab Intermediate-Term U.S. Treasury ETF(i) | 221,251 | 10,489,510 | |
Schwab Short-Term U.S. Treasury ETF | 789,537 | 37,810,927 | |
Vanguard Short-Term Corporate Bond ETF | 35,486 | 2,656,482 | |
Vanguard Short-Term Inflation-Protected Securities ETF | 100,747 | 4,749,213 | |
Total Investment Companies (Cost $59,540,639) | 55,706,132 |
Par/Number of Shares | Value | ||
Short-Term Investments – 6.0% | |||
Corporate Bonds – 0.4% | |||
Golub Capital BDC, Inc., 3.38%, 4/15/24 | 513,000 | $ 504,949 | |
Money Market Funds – 5.6% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 5.41%(l)(m) | 1,272,762 | 1,272,762 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 5.21%(l) | 5,951,188 | 5,951,188 | |
7,223,950 | |||
Total Short-Term Investments (Cost $7,736,938) | 7,728,899 | ||
Total Investments – 100.4% (Cost $136,542,990) | 129,371,857 | ||
Liabilities less Other Assets – (0.4)% | (498,548) | ||
NET ASSETS – 100.0% | $128,873,309 |
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 and is classified as Level 2. At October 31, 2023, the value of these restricted illiquid securities amounted to $4,397,840 or 3.41% of net assets. Additional information on these restricted illiquid securities is as follows: |
Security | Acquisition Date | Acquisition Cost | |
ABPCI Direct Lending Fund ABS I Ltd., 4.94%, 12/20/30 | 12/16/20 | $ 807,351 | |
ABPCI Direct Lending Fund ABS II LLC, 7.49%, 3/1/32 | 2/15/22 | 224,000 | |
ABPCI Direct Lending Fund ABS II LLC, 8.24%, 3/1/32 | 2/15/22 | 935,000 | |
Monroe Capital ABS Funding Ltd., 2.82%, 4/22/31 | 2/18/21-3/25/21 | 385,476 | |
Monroe Capital ABS Funding Ltd., 3.91%, 4/22/31 | 2/18/21 | 221,000 | |
VCP CLO II Ltd., 7.33%, 4/15/31 | 3/7/22 | 752,441 | |
VCP CLO II Ltd., 14.07%, 4/15/31 | 2/5/21 | 1,085,430 | |
VCP RRL ABS I Ltd., 2.85%, 10/20/31 | 7/28/21 | 250,214 |
(c) | Variable or floating rate security. Rate as of October 31, 2023 is disclosed. |
(d) | When-Issued Security. Coupon rate was not yet in effect at October 31, 2023. |
(e) | Step coupon bond. Rate as of October 31, 2023 is disclosed. |
(f) | 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, 2023 is disclosed. |
(g) | Amount rounds to less than 0.05%. |
(h) | Investment is valued using significant unobservable inputs (Level 3). |
(i) | Security either partially or fully on loan. (See Note 7). |
(j) | Zero coupon bond. |
(k) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. |
(l) | 7-day current yield as of October 31, 2023 is disclosed. |
(m) | Security purchased with the cash proceeds from securities loaned. (See Note 7). |
* | Non-Income Producing Security |
Abbreviations: |
1M | 1 Month |
3M | 3 Month |
ABS | Asset-Backed Security |
BDC | Business Development Company |
CLO | Collateralized Loan Obligation |
CME | Chicago Mercantile Exchange |
ETF | Exchange-Traded Fund |
IO | Interest Only |
L.P. | Limited Partnership |
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 | $ — | $44,358,684 | $ — | $ 44,358,684 |
Common Stocks | 1,020,901 | 274,938 | 32,985 | 1,328,824 |
Corporate Bonds | — | 5,257,264 | — | 5,257,264 |
Foreign Issuer Bonds | — | 665,358 | — | 665,358 |
Mortgage-Backed Securities | — | 10,482,905 | — | 10,482,905 |
Municipal Bonds | — | 96,777 | — | 96,777 |
Term Loans | — | 1,502,662 | — | 1,502,662 |
U.S. Government Obligations | — | 2,244,352 | — | 2,244,352 |
Investment Companies | 55,706,132 | — | — | 55,706,132 |
Short-Term Investments | 7,223,950 | 504,949 | — | 7,728,899 |
Total Investments | $63,950,983 | $65,387,889 | $32,985 | $129,371,857 |
Par (a) | Value | ||
Asset-Backed Securities – 0.3% | |||
Other – 0.3% | |||
Clover CLO LLC, Series 2021-2A, Class E, (3M CME Term SOFR + 6.76%, 6.50% Floor), 12.18%, 7/20/34(b)(c) | $250,000 | $242,865 | |
Pikes Peak CLO 4, Series 2019-4A, Class ER, (3M CME Term SOFR + 6.87%, 6.61% Floor), 12.27%, 7/15/34(b)(c) | 250,000 | 225,600 | |
PRPM LLC, Series 2022-5, Class A1, (Step to 9.90% on 9/25/25), 6.90%, 9/27/27(b)(d) | 115,362 | 114,244 | |
Total Asset-Backed Securities (Cost $613,109) | 582,709 |
Number of Shares | |||
Common Stocks – 0.2% | |||
Biotechnology & Pharmaceuticals – 0.1% | |||
AbbVie, Inc. | 590 | 83,296 | |
Cable & Satellite – 0.0%(e) | |||
Altice USA, Inc., Class A* | 16,055 | 46,399 | |
Engineering & Construction – 0.0%(e) | |||
Mcdermott International Ltd.* | 1,932 | 367 | |
Oil & Gas Producers – 0.1% | |||
Battalion Oil Corp.* | 363 | 2,178 | |
Canadian Natural Resources Ltd. (Canada) | 1,464 | 93,008 | |
Diamondback Energy, Inc. | 558 | 89,458 | |
184,644 | |||
Technology Services – 0.0%(e) | |||
Clarivate PLC* | 78 | 498 | |
Total Common Stocks (Cost $594,347) | 315,204 |
Par (a) | |||
Convertible Bonds – 1.3% | |||
Biotechnology & Pharmaceuticals – 0.3% | |||
BioMarin Pharmaceutical, Inc., 1.25%, 5/15/27 | $335,000 | 322,083 | |
Livongo Health, Inc., 0.88%, 6/01/25 | 120,000 | 109,061 | |
431,144 |
Par (a) | Value | ||
Cable & Satellite – 0.4% | |||
DISH Network Corp., | |||
0.00%, 12/15/25(f) | $ 185,000 | $ 112,854 | |
3.38%, 8/15/26 | 1,185,000 | 607,312 | |
720,166 | |||
Health Care Facilities & Services – 0.2% | |||
Teladoc Health, Inc., 1.25%, 6/01/27 | 460,000 | 357,190 | |
Household Products – 0.1% | |||
Beauty Health (The) Co., 1.25%, 10/01/26(b) | 135,000 | 101,064 | |
Internet Media & Services – 0.0%(e) | |||
Zillow Group, Inc., 1.38%, 9/01/26 | 30,000 | 31,590 | |
Leisure Facilities & Services – 0.1% | |||
NCL Corp. Ltd., 1.13%, 2/15/27 | 150,000 | 116,225 | |
Penn Entertainment, Inc., 2.75%, 5/15/26 | 30,000 | 32,877 | |
149,102 | |||
Medical Equipment & Devices – 0.1% | |||
Envista Holdings Corp., 1.75%, 8/15/28(b) | 155,000 | 133,455 | |
Lantheus Holdings, Inc., 2.63%, 12/15/27(b) | 60,000 | 66,506 | |
199,961 | |||
Semiconductors – 0.0%(e) | |||
Wolfspeed, Inc., | |||
0.25%, 2/15/28 | 15,000 | 9,293 | |
1.88%, 12/01/29(b) | 35,000 | 20,825 | |
30,118 | |||
Transportation & Logistics – 0.1% | |||
Southwest Airlines Co., 1.25%, 5/01/25 | 210,000 | 199,185 | |
Total Convertible Bonds (Cost $2,959,307) | 2,219,520 |
Number of Shares | |||
Convertible Preferred Stocks – 0.1% | |||
Technology Services – 0.1% | |||
Clarivate PLC, 5.25% | 4,753 | 132,751 | |
Total Convertible Preferred Stocks (Cost $266,943) | 132,751 |
Par (a) | Value | ||
Corporate Bonds – 42.8% | |||
Advertising & Marketing – 0.2% | |||
Outfront Media Capital LLC/Outfront Media Capital Corp., 5.00%, 8/15/27(b) | $ 75,000 | $ 66,621 | |
Stagwell Global LLC, 5.63%, 8/15/29(b) | 295,000 | 243,815 | |
310,436 | |||
Aerospace & Defense – 0.9% | |||
Boeing (The) Co., | |||
3.25%, 2/01/28 | 117,000 | 104,559 | |
5.71%, 5/01/40 | 126,000 | 111,456 | |
3.85%, 11/01/48 | 23,000 | 14,870 | |
5.81%, 5/01/50 | 88,000 | 75,759 | |
5.93%, 5/01/60 | 52,000 | 43,748 | |
HEICO Corp., | |||
5.25%, 8/01/28 | 66,000 | 63,666 | |
5.35%, 8/01/33 | 94,000 | 86,278 | |
L3Harris Technologies, Inc., 5.40%, 7/31/33 | 49,000 | 45,787 | |
Lockheed Martin Corp., 5.20%, 2/15/55 | 50,000 | 43,594 | |
Northrop Grumman Corp., | |||
5.15%, 5/01/40 | 52,000 | 45,571 | |
4.95%, 3/15/53 | 4,000 | 3,313 | |
RTX Corp., | |||
3.50%, 3/15/27 | 109,000 | 100,786 | |
5.15%, 2/27/33 | 58,000 | 53,509 | |
4.45%, 11/16/38 | 65,000 | 51,833 | |
4.50%, 6/01/42 | 67,000 | 51,991 | |
4.80%, 12/15/43 | 7,000 | 5,547 | |
5.38%, 2/27/53 | 109,000 | 92,396 | |
TransDigm, Inc., | |||
6.25%, 3/15/26(b) | 200,000 | 195,292 | |
6.75%, 8/15/28(b) | 300,000 | 291,295 | |
6.88%, 12/15/30(b) | 85,000 | 82,073 | |
1,563,323 | |||
Apparel & Textile Products – 0.0%(e) | |||
Crocs, Inc., 4.13%, 8/15/31(b) | 20,000 | 15,199 | |
Asset Management – 0.8% | |||
BlackRock, Inc., 4.75%, 5/25/33 | 41,000 | 37,543 | |
Blackstone Holdings Finance Co. LLC, 2.00%, 1/30/32(b) | 66,000 | 46,655 | |
Blackstone Secured Lending Fund, | |||
3.63%, 1/15/26 | 140,000 | 129,325 | |
2.75%, 9/16/26 | 30,000 | 26,325 |
Par (a) | Value | ||
Asset Management (Continued) | |||
Blue Owl Capital Corp., 3.40%, 7/15/26 | $160,000 | $ 142,762 | |
Blue Owl Credit Income Corp., 7.75%, 9/16/27 | 57,000 | 56,125 | |
Charles Schwab (The) Corp., | |||
(10Y US Treasury CMT + 3.08%), 4.00%, 12/01/30(g)(h) | 80,000 | 54,593 | |
(SOFR + 2.01%), 6.14%, 8/24/34(h) | 76,000 | 71,182 | |
Icahn Enterprises L.P./Icahn Enterprises Finance Corp., | |||
6.38%, 12/15/25 | 15,000 | 14,111 | |
5.25%, 5/15/27 | 625,000 | 535,156 | |
NFP Corp., | |||
6.88%, 8/15/28(b) | 100,000 | 85,391 | |
4.88%, 8/15/28(b) | 35,000 | 30,645 | |
8.50%, 10/01/31(b) | 85,000 | 83,576 | |
Sixth Street Specialty Lending, Inc., 6.95%, 8/14/28 | 59,000 | 57,390 | |
1,370,779 | |||
Automotive – 1.7% | |||
American Axle & Manufacturing, Inc., 5.00%, 10/01/29 | 70,000 | 55,294 | |
American Honda Finance Corp., | |||
5.13%, 7/07/28 | 57,000 | 55,549 | |
5.85%, 10/04/30 | 71,000 | 70,498 | |
Ford Motor Credit Co. LLC, | |||
4.06%, 11/01/24 | 505,000 | 491,618 | |
2.30%, 2/10/25 | 475,000 | 448,547 | |
6.95%, 6/10/26 | 220,000 | 220,550 | |
4.13%, 8/17/27 | 200,000 | 181,582 | |
General Motors Co., 6.13%, 10/01/25 | 60,000 | 59,893 | |
General Motors Financial Co., Inc., | |||
(3M USD LIBOR + 3.60%), 5.75%, 9/30/27(g)(h) | 260,000 | 202,682 | |
(3M USD LIBOR + 3.44%), 6.50%, 9/30/28(g)(h) | 120,000 | 98,317 | |
5.85%, 4/06/30 | 34,000 | 32,134 | |
(5Y US Treasury CMT + 5.00%), 5.70%, 9/30/30(g)(h) | 150,000 | 125,965 | |
Hyundai Capital America, | |||
6.25%, 11/03/25(b) | 146,000 | 145,979 | |
5.68%, 6/26/28(b) | 65,000 | 62,887 | |
6.10%, 9/21/28(b) | 103,000 | 101,301 |
Par (a) | Value | ||
Automotive (Continued) | |||
Hyundai Capital America, | |||
5.70%, 6/26/30(b) | $338,000 | $ 320,098 | |
Toyota Motor Credit Corp., 4.45%, 6/29/29 | 60,000 | 56,758 | |
Wheel Pros, Inc., 6.50%, 5/15/29(b) | 65,000 | 19,714 | |
2,749,366 | |||
Banking – 2.3% | |||
Bank of America Corp., | |||
(3M CME Term SOFR + 1.30%), 3.42%, 12/20/28(h) | 128,000 | 113,937 | |
(SOFR + 1.63%), 5.20%, 4/25/29(h) | 56,000 | 53,243 | |
(SOFR + 1.06%), 2.09%, 6/14/29(h) | 6,000 | 4,954 | |
(3M CME Term SOFR + 1.57%), 4.27%, 7/23/29(h) | 103,000 | 93,732 | |
(3M CME Term SOFR + 1.44%), 3.19%, 7/23/30(h) | 85,000 | 71,281 | |
(SOFR + 2.15%), 2.59%, 4/29/31(h) | 41,000 | 32,323 | |
(SOFR + 1.53%), 1.90%, 7/23/31(h) | 121,000 | 90,021 | |
(SOFR + 1.22%), 2.65%, 3/11/32(h) | 90,000 | 68,973 | |
(SOFR + 1.32%), 2.69%, 4/22/32(h) | 137,000 | 105,045 | |
(SOFR + 1.22%), 2.30%, 7/21/32(h) | 122,000 | 90,007 | |
(SOFR + 1.33%), 2.97%, 2/04/33(h) | 128,000 | 98,104 | |
(SOFR + 1.83%), 4.57%, 4/27/33(h) | 76,000 | 65,543 | |
(SOFR + 1.91%), 5.29%, 4/25/34(h) | 44,000 | 39,740 | |
(SOFR + 1.84%), 5.87%, 9/15/34(h) | 95,000 | 89,459 | |
(5Y US Treasury CMT + 1.20%), 2.48%, 9/21/36(h) | 69,000 | 49,176 | |
(5Y US Treasury CMT + 2.00%), 3.85%, 3/08/37(h) | 67,000 | 52,855 | |
(SOFR + 1.93%), 2.68%, 6/19/41(h) | 7,000 | 4,268 | |
Citizens Financial Group, Inc., | |||
2.50%, 2/06/30 | 70,000 | 52,107 | |
(5Y US Treasury CMT + 2.75%), 5.64%, 5/21/37(h) | 92,000 | 73,384 |
Par (a) | Value | ||
Banking (Continued) | |||
Fifth Third Bancorp, (SOFR + 2.34%), 6.34%, 7/27/29(h) | $ 93,000 | $ 90,080 | |
First Horizon Bank, 5.75%, 5/01/30 | 250,000 | 211,589 | |
Huntington Bancshares, Inc., | |||
(SOFR + 2.02%), 6.21%, 8/21/29(h) | 38,000 | 36,529 | |
(5Y US Treasury CMT + 1.17%), 2.49%, 8/15/36(h) | 25,000 | 16,827 | |
JPMorgan Chase & Co., | |||
(3M CME Term SOFR + 0.58%), 0.97%, 6/23/25(h) | 137,000 | 131,978 | |
(SOFR + 1.16%), 2.30%, 10/15/25(h) | 75,000 | 72,186 | |
(3M CME Term SOFR + 1.51%), 3.96%, 1/29/27(h) | 58,000 | 55,286 | |
(3M CME Term SOFR + 0.70%), 1.04%, 2/04/27(h) | 179,000 | 159,171 | |
(SOFR + 0.89%), 1.58%, 4/22/27(h) | 67,000 | 59,773 | |
(SOFR + 0.77%), 1.47%, 9/22/27(h) | 79,000 | 68,820 | |
(SOFR + 1.33%), 6.07%, 10/22/27(h) | 138,000 | 137,708 | |
(SOFR + 1.17%), 2.95%, 2/24/28(h) | 106,000 | 95,412 | |
(SOFR + 1.89%), 2.18%, 6/01/28(h) | 42,000 | 36,510 | |
(3M CME Term SOFR + 1.21%), 3.51%, 1/23/29(h) | 136,000 | 122,024 | |
(SOFR + 1.02%), 2.07%, 6/01/29(h) | 64,000 | 53,197 | |
(3M CME Term SOFR + 1.59%), 4.45%, 12/05/29(h) | 126,000 | 115,894 | |
(SOFR + 1.07%), 1.95%, 2/04/32(h) | 45,000 | 33,430 | |
(SOFR + 1.81%), 6.25%, 10/23/34(h) | 94,000 | 92,733 | |
KeyCorp, (SOFR Index + 2.06%), 4.79%, 6/01/33(h) | 111,000 | 87,532 | |
Truist Financial Corp., | |||
(3M CME Term SOFR + 0.91%), 6.32%, 3/15/28(c) | 106,000 | 94,022 | |
(SOFR + 2.24%), 4.92%, 7/28/33(h) | 35,000 | 28,581 | |
(SOFR + 2.36%), 5.87%, 6/08/34(h) | 207,000 | 188,308 |
Par (a) | Value | ||
Banking (Continued) | |||
U.S. Bancorp, (SOFR + 2.11%), 4.97%, 7/22/33(h) | $121,000 | $ 101,260 | |
Wells Fargo & Co., | |||
(SOFR + 2.02%), 5.39%, 4/24/34(h) | 95,000 | 85,999 | |
(SOFR + 1.99%), 5.56%, 7/25/34(h) | 26,000 | 23,800 | |
(SOFR + 2.06%), 6.49%, 10/23/34(h) | 188,000 | 184,729 | |
(SOFR + 2.53%), 3.07%, 4/30/41(h) | 21,000 | 13,419 | |
(3M CME Term SOFR + 4.50%), 5.01%, 4/04/51(h) | 48,000 | 38,067 | |
(SOFR + 2.13%), 4.61%, 4/25/53(h) | 150,000 | 110,594 | |
3,793,610 | |||
Beverages – 0.0%(e) | |||
Molson Coors Beverage Co., 4.20%, 7/15/46 | 33,000 | 23,401 | |
Biotechnology & Pharmaceuticals – 1.7% | |||
AbbVie, Inc., | |||
3.20%, 5/14/26 | 68,000 | 64,125 | |
3.20%, 11/21/29 | 110,000 | 95,862 | |
4.50%, 5/14/35 | 83,000 | 72,509 | |
4.05%, 11/21/39 | 66,000 | 51,568 | |
4.63%, 10/01/42 | 17,000 | 13,669 | |
4.25%, 11/21/49 | 55,000 | 41,277 | |
Amgen, Inc., | |||
2.20%, 2/21/27 | 59,000 | 52,875 | |
2.45%, 2/21/30 | 36,000 | 29,392 | |
5.25%, 3/02/30 | 41,000 | 39,360 | |
2.30%, 2/25/31 | 22,000 | 17,199 | |
5.25%, 3/02/33 | 33,000 | 30,776 | |
3.15%, 2/21/40 | 96,000 | 64,293 | |
5.60%, 3/02/43 | 178,000 | 158,761 | |
5.65%, 3/02/53 | 85,000 | 74,759 | |
2.77%, 9/01/53 | 46,000 | 24,033 | |
4.40%, 2/22/62 | 54,000 | 37,358 | |
5.75%, 3/02/63 | 53,000 | 45,904 | |
Bausch Health Cos., Inc., | |||
6.13%, 2/01/27(b) | 65,000 | 36,260 | |
4.88%, 6/01/28(b) | 520,000 | 259,371 | |
6.25%, 2/15/29(b) | 120,000 | 43,840 | |
5.00%, 2/15/29(b) | 5,000 | 1,753 | |
5.25%, 1/30/30(b) | 140,000 | 48,475 | |
Bristol-Myers Squibb Co., | |||
3.20%, 6/15/26 | 46,000 | 43,590 | |
3.40%, 7/26/29 | 11,000 | 9,869 | |
4.55%, 2/20/48 | 40,000 | 31,506 |
Par (a) | Value | ||
Biotechnology & Pharmaceuticals (Continued) | |||
Bristol-Myers Squibb Co., | |||
11/15/53 (i) | $ 63,000 | $ 62,346 | |
11/15/63 (i) | 60,000 | 59,444 | |
Eli Lilly & Co., 5.55%, 3/15/37 | 53,000 | 52,084 | |
Gilead Sciences, Inc., 5.55%, 10/15/53 | 47,000 | 42,456 | |
Johnson & Johnson, | |||
3.63%, 3/03/37 | 61,000 | 49,499 | |
5.85%, 7/15/38 | 43,000 | 43,943 | |
2.10%, 9/01/40 | 40,000 | 24,294 | |
Merck & Co., Inc., | |||
4.50%, 5/17/33 | 20,000 | 18,181 | |
4.90%, 5/17/44 | 34,000 | 29,399 | |
5.00%, 5/17/53 | 47,000 | 40,136 | |
5.15%, 5/17/63 | 53,000 | 45,161 | |
Mylan, Inc., 5.20%, 4/15/48 | 22,000 | 15,126 | |
Organon & Co./Organon Foreign Debt Co-Issuer B.V., 5.13%, 4/30/31(b) | 240,000 | 187,420 | |
Pfizer Investment Enterprises Pte. Ltd., | |||
4.65%, 5/19/30 | 43,000 | 40,435 | |
4.75%, 5/19/33 | 130,000 | 119,470 | |
5.11%, 5/19/43 | 77,000 | 67,584 | |
5.30%, 5/19/53 | 98,000 | 85,735 | |
5.34%, 5/19/63 | 205,000 | 175,615 | |
Prestige Brands, Inc., 3.75%, 4/01/31(b) | 45,000 | 35,741 | |
Royalty Pharma PLC, | |||
1.75%, 9/02/27 | 101,000 | 85,999 | |
3.30%, 9/02/40 | 116,000 | 73,302 | |
3.35%, 9/02/51 | 62,000 | 34,192 | |
Utah Acquisition Sub, Inc., 5.25%, 6/15/46 | 12,000 | 8,406 | |
Viatris, Inc., 3.85%, 6/22/40 | 64,000 | 39,833 | |
2,824,185 | |||
Cable & Satellite – 3.0% | |||
Block Communications, Inc., 4.88%, 3/01/28(b) | 25,000 | 20,528 | |
CCO Holdings LLC/CCO Holdings Capital Corp., | |||
4.75%, 3/01/30(b) | 620,000 | 511,452 | |
4.25%, 2/01/31(b) | 25,000 | 19,455 | |
4.50%, 6/01/33(b) | 305,000 | 227,520 | |
4.25%, 1/15/34(b) | 1,140,000 | 823,425 |
Par (a) | Value | ||
Cable & Satellite (Continued) | |||
Charter Communications Operating LLC/Charter Communications Operating Capital, | |||
2.80%, 4/01/31 | $ 29,000 | $ 22,177 | |
2.30%, 2/01/32 | 27,000 | 19,289 | |
4.80%, 3/01/50 | 79,000 | 52,076 | |
3.95%, 6/30/62 | 67,000 | 35,764 | |
Comcast Corp., | |||
5.35%, 11/15/27 | 10,000 | 9,928 | |
1.95%, 1/15/31 | 36,000 | 27,614 | |
5.65%, 6/15/35 | 72,000 | 68,607 | |
6.50%, 11/15/35 | 11,000 | 11,235 | |
3.20%, 7/15/36 | 23,000 | 16,975 | |
3.90%, 3/01/38 | 48,000 | 37,234 | |
3.25%, 11/01/39 | 88,000 | 60,683 | |
2.94%, 11/01/56 | 87,000 | 46,093 | |
5.50%, 5/15/64 | 152,000 | 129,609 | |
CSC Holdings LLC, | |||
5.75%, 1/15/30(b) | 900,000 | 470,853 | |
4.63%, 12/01/30(b) | 1,000,000 | 507,122 | |
3.38%, 2/15/31(b) | 200,000 | 127,915 | |
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 8/15/27(b) | 495,000 | 433,736 | |
DISH DBS Corp., | |||
7.75%, 7/01/26 | 315,000 | 211,072 | |
5.25%, 12/01/26(b) | 285,000 | 229,896 | |
7.38%, 7/01/28 | 80,000 | 45,179 | |
5.75%, 12/01/28(b) | 190,000 | 137,988 | |
5.13%, 6/01/29 | 610,000 | 314,150 | |
Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, 9/15/28(b) | 130,000 | 64,350 | |
Sirius XM Radio, Inc., 3.88%, 9/01/31(b) | 330,000 | 248,552 | |
4,930,477 | |||
Chemicals – 0.2% | |||
Ashland, Inc., 3.38%, 9/01/31(b) | 35,000 | 26,830 | |
ASP Unifrax Holdings, Inc., 5.25%, 9/30/28(b) | 175,000 | 118,203 | |
Dow Chemical (The) Co., | |||
6.30%, 3/15/33 | 20,000 | 20,090 | |
4.38%, 11/15/42 | 71,000 | 52,739 | |
LYB International Finance III LLC, | |||
4.20%, 5/01/50 | 23,000 | 15,216 | |
3.63%, 4/01/51 | 16,000 | 9,642 | |
Mosaic (The) Co., 4.88%, 11/15/41 | 19,000 | 14,539 |
Par (a) | Value | ||
Chemicals (Continued) | |||
RPM International, Inc., 2.95%, 1/15/32 | $ 86,000 | $ 65,358 | |
Westlake Corp., 3.13%, 8/15/51 | 17,000 | 9,156 | |
WR Grace Holdings LLC, 5.63%, 8/15/29(b) | 15,000 | 11,625 | |
343,398 | |||
Commercial Support Services – 0.5% | |||
ADT Security (The) Corp., 4.13%, 8/01/29(b) | 265,000 | 227,277 | |
Aramark Services, Inc., 5.00%, 2/01/28(b) | 25,000 | 22,929 | |
Clean Harbors, Inc., | |||
5.13%, 7/15/29(b) | 5,000 | 4,497 | |
6.38%, 2/01/31(b) | 50,000 | 47,523 | |
Covanta Holding Corp., 4.88%, 12/01/29(b) | 255,000 | 198,900 | |
Prime Security Services Borrower LLC/Prime Finance, Inc., 3.38%, 8/31/27(b) | 30,000 | 26,376 | |
Republic Services, Inc., 2.90%, 7/01/26 | 35,000 | 32,712 | |
VT Topco, Inc., 8.50%, 8/15/30(b) | 80,000 | 78,047 | |
Waste Management, Inc., | |||
4.88%, 2/15/29 | 24,000 | 23,130 | |
2.00%, 6/01/29 | 47,000 | 38,775 | |
4.63%, 2/15/30 | 34,000 | 31,953 | |
4.63%, 2/15/33 | 23,000 | 20,859 | |
4.88%, 2/15/34 | 120,000 | 109,889 | |
862,867 | |||
Construction Materials – 0.1% | |||
Advanced Drainage Systems, Inc., 6.38%, 6/15/30(b) | 85,000 | 80,254 | |
Standard Industries, Inc., 4.38%, 7/15/30(b) | 80,000 | 65,362 | |
145,616 | |||
Containers & Packaging – 0.1% | |||
Graham Packaging Co., Inc., 7.13%, 8/15/28(b) | 75,000 | 57,460 | |
LABL, Inc., 5.88%, 11/01/28(b) | 45,000 | 38,081 | |
Sealed Air Corp./Sealed Air Corp. U.S., 6.13%, 2/01/28(b) | 60,000 | 57,109 | |
WRKCo, Inc., 4.65%, 3/15/26 | 20,000 | 19,379 | |
172,029 |
Par (a) | Value | ||
Diversified Industrials – 0.0%(e) | |||
Honeywell International, Inc., 5.00%, 2/15/33 | $ 25,000 | $ 23,619 | |
Parker-Hannifin Corp., 4.25%, 9/15/27 | 54,000 | 51,209 | |
74,828 | |||
E-Commerce Discretionary – 0.1% | |||
Amazon.com, Inc., | |||
2.10%, 5/12/31 | 17,000 | 13,400 | |
4.70%, 12/01/32 | 31,000 | 29,071 | |
3.10%, 5/12/51 | 60,000 | 37,174 | |
3.95%, 4/13/52 | 27,000 | 19,739 | |
3.25%, 5/12/61 | 73,000 | 43,716 | |
4.10%, 4/13/62 | 21,000 | 15,098 | |
158,198 | |||
Electric Utilities – 3.0% | |||
AES (The) Corp., | |||
5.45%, 6/01/28 | 52,000 | 49,658 | |
2.45%, 1/15/31 | 41,000 | 30,808 | |
Alabama Power Co., | |||
3.75%, 3/01/45 | 33,000 | 22,744 | |
4.30%, 7/15/48 | 38,000 | 27,772 | |
3.45%, 10/01/49 | 26,000 | 16,353 | |
Alliant Energy Finance LLC, 3.60%, 3/01/32(b) | 28,000 | 22,581 | |
American Electric Power Co., Inc., | |||
5.63%, 3/01/33 | 41,000 | 38,484 | |
(5Y US Treasury CMT + 2.68%), 3.88%, 2/15/62(h) | 30,000 | 23,560 | |
Appalachian Power Co., | |||
3.40%, 6/01/25 | 25,000 | 24,028 | |
4.50%, 3/01/49 | 33,000 | 23,925 | |
Avangrid, Inc., 3.15%, 12/01/24 | 47,000 | 45,413 | |
Baltimore Gas and Electric Co., 5.40%, 6/01/53 | 35,000 | 30,357 | |
Calpine Corp., | |||
5.25%, 6/01/26(b) | 40,000 | 38,284 | |
4.50%, 2/15/28(b) | 355,000 | 320,103 | |
CMS Energy Corp., (5Y US Treasury CMT + 4.12%), 4.75%, 6/01/50(h) | 207,000 | 171,657 | |
Commonwealth Edison Co., 5.90%, 3/15/36 | 73,000 | 70,830 | |
Consumers Energy Co., 4.90%, 2/15/29 | 87,000 | 84,063 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
Dominion Energy South Carolina, Inc., 6.25%, 10/15/53 | $ 51,000 | $ 49,623 | |
Dominion Energy, Inc., 5.38%, 11/15/32 | 53,000 | 49,077 | |
DTE Electric Co., 5.40%, 4/01/53 | 19,000 | 16,683 | |
Duke Energy Carolinas LLC, | |||
6.45%, 10/15/32 | 34,000 | 34,164 | |
4.25%, 12/15/41 | 18,000 | 13,721 | |
4.00%, 9/30/42 | 32,000 | 23,405 | |
3.75%, 6/01/45 | 6,000 | 4,086 | |
5.35%, 1/15/53 | 47,000 | 40,291 | |
Duke Energy Corp., 3.15%, 8/15/27 | 32,000 | 28,978 | |
Duke Energy Florida LLC, | |||
2.40%, 12/15/31 | 35,000 | 26,918 | |
5.95%, 11/15/52 | 29,000 | 26,837 | |
Duke Energy Indiana LLC, 3.25%, 10/01/49 | 29,000 | 17,339 | |
Duke Energy Ohio, Inc., | |||
5.25%, 4/01/33 | 22,000 | 20,672 | |
3.70%, 6/15/46 | 44,000 | 28,772 | |
4.30%, 2/01/49 | 49,000 | 35,465 | |
5.65%, 4/01/53 | 15,000 | 13,301 | |
Duke Energy Progress LLC, | |||
5.25%, 3/15/33 | 21,000 | 19,791 | |
4.10%, 5/15/42 | 62,000 | 46,183 | |
4.10%, 3/15/43 | 42,000 | 30,683 | |
4.20%, 8/15/45 | 61,000 | 44,364 | |
5.35%, 3/15/53 | 41,000 | 34,907 | |
Entergy Arkansas LLC, | |||
4.00%, 6/01/28 | 10,000 | 9,342 | |
5.15%, 1/15/33 | 23,000 | 21,409 | |
4.20%, 4/01/49 | 23,000 | 16,415 | |
2.65%, 6/15/51 | 14,000 | 7,302 | |
3.35%, 6/15/52 | 34,000 | 20,426 | |
Entergy Louisiana LLC, 3.25%, 4/01/28 | 5,000 | 4,482 | |
Entergy Mississippi LLC, | |||
5.00%, 9/01/33 | 51,000 | 46,668 | |
3.50%, 6/01/51 | 15,000 | 9,220 | |
Entergy Texas, Inc., 5.80%, 9/01/53 | 20,000 | 17,885 | |
Evergy Kansas Central, Inc., 5.70%, 3/15/53 | 37,000 | 32,535 | |
Eversource Energy, | |||
1.40%, 8/15/26 | 119,000 | 105,419 | |
2.90%, 3/01/27 | 68,000 | 61,617 | |
5.45%, 3/01/28 | 51,000 | 49,787 | |
5.13%, 5/15/33 | 34,000 | 30,732 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
Exelon Corp., | |||
5.15%, 3/15/28 | $82,000 | $79,546 | |
4.95%, 6/15/35 | 97,000 | 84,049 | |
Florida Power & Light Co., | |||
4.63%, 5/15/30 | 33,000 | 30,842 | |
4.80%, 5/15/33 | 23,000 | 21,080 | |
5.40%, 9/01/35 | 31,000 | 28,874 | |
5.65%, 2/01/37 | 20,000 | 18,932 | |
2.88%, 12/04/51 | 4,000 | 2,268 | |
Idaho Power Co., 5.80%, 4/01/54 | 69,000 | 62,443 | |
Indiana Michigan Power Co., | |||
3.85%, 5/15/28 | 22,000 | 20,477 | |
6.05%, 3/15/37 | 12,000 | 11,539 | |
5.63%, 4/01/53 | 73,000 | 64,626 | |
IPALCO Enterprises, Inc., 4.25%, 5/01/30 | 66,000 | 56,836 | |
Kentucky Utilities Co., 5.45%, 4/15/33 | 25,000 | 23,828 | |
Louisville Gas and Electric Co., 5.45%, 4/15/33 | 25,000 | 23,892 | |
Metropolitan Edison Co., | |||
4.00%, 4/15/25(b) | 71,000 | 67,389 | |
5.20%, 4/01/28(b) | 43,000 | 41,489 | |
MidAmerican Energy Co., | |||
4.80%, 9/15/43 | 15,000 | 12,287 | |
4.40%, 10/15/44 | 95,000 | 73,366 | |
4.25%, 5/01/46 | 59,000 | 43,975 | |
Mississippi Power Co., | |||
4.75%, 10/15/41 | 11,000 | 8,261 | |
4.25%, 3/15/42 | 26,000 | 19,098 | |
Monongahela Power Co., | |||
3.55%, 5/15/27(b) | 47,000 | 43,254 | |
5.85%, 2/15/34(b) | 66,000 | 62,876 | |
National Rural Utilities Cooperative Finance Corp., | |||
5.60%, 11/13/26 | 96,000 | 95,962 | |
3.40%, 2/07/28 | 22,000 | 20,046 | |
2.75%, 4/15/32 | 32,000 | 24,962 | |
4.02%, 11/01/32 | 41,000 | 35,033 | |
4.15%, 12/15/32 | 50,000 | 43,103 | |
5.80%, 1/15/33 | 29,000 | 28,049 | |
(3M USD LIBOR + 3.63%), 5.25%, 4/20/46(h) | 97,000 | 91,554 | |
(5Y US Treasury CMT + 3.53%), 7.13%, 9/15/53(h) | 32,000 | 31,726 | |
Nevada Power Co., 6.00%, 3/15/54 | 24,000 | 22,061 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
NextEra Energy Capital Holdings, Inc., | |||
4.45%, 6/20/25 | $ 51,000 | $ 49,726 | |
1.88%, 1/15/27 | 70,000 | 61,481 | |
NRG Energy, Inc., | |||
5.25%, 6/15/29(b) | 10,000 | 8,823 | |
3.88%, 2/15/32(b) | 100,000 | 74,316 | |
Oklahoma Gas and Electric Co., 5.40%, 1/15/33 | 24,000 | 22,661 | |
Pacific Gas and Electric Co., | |||
3.25%, 6/01/31 | 31,000 | 24,066 | |
4.45%, 4/15/42 | 52,000 | 35,128 | |
4.30%, 3/15/45 | 46,000 | 29,766 | |
6.75%, 1/15/53 | 32,000 | 28,322 | |
PacifiCorp., | |||
4.10%, 2/01/42 | 90,000 | 63,628 | |
5.35%, 12/01/53 | 30,000 | 23,862 | |
Pattern Energy Operations L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(b) | 45,000 | 39,225 | |
PG&E Corp., | |||
5.00%, 7/01/28 | 105,000 | 95,124 | |
5.25%, 7/01/30 | 15,000 | 13,139 | |
Public Service Co. of New Hampshire, 5.15%, 1/15/53 | 12,000 | 10,230 | |
Public Service Co. of Oklahoma, | |||
2.20%, 8/15/31 | 59,000 | 44,369 | |
3.15%, 8/15/51 | 57,000 | 32,236 | |
Public Service Electric and Gas Co., | |||
3.00%, 5/15/27 | 14,000 | 12,858 | |
5.20%, 8/01/33 | 57,000 | 54,113 | |
3.80%, 3/01/46 | 5,000 | 3,524 | |
5.45%, 8/01/53 | 45,000 | 40,608 | |
Public Service Enterprise Group, Inc., | |||
5.85%, 11/15/27 | 54,000 | 53,713 | |
2.45%, 11/15/31 | 90,000 | 68,021 | |
Sempra, (5Y US Treasury CMT + 2.87%), 4.13%, 4/01/52(h) | 103,000 | 79,338 | |
Southern (The) Co., (5Y US Treasury CMT + 3.73%), 4.00%, 1/15/51(h) | 214,000 | 195,250 | |
Southern California Edison Co., | |||
4.05%, 3/15/42 | 60,000 | 42,927 | |
4.00%, 4/01/47 | 33,000 | 22,588 | |
3.65%, 2/01/50 | 15,000 | 9,529 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
Southwestern Electric Power Co., 5.30%, 4/01/33 | $ 34,000 | $ 31,315 | |
Talen Energy Supply LLC, 8.63%, 6/01/30(b) | 45,000 | 45,725 | |
Tucson Electric Power Co., 4.00%, 6/15/50 | 27,000 | 18,018 | |
Union Electric Co., | |||
2.15%, 3/15/32 | 24,000 | 17,983 | |
5.45%, 3/15/53 | 19,000 | 16,548 | |
Virginia Electric and Power Co., | |||
3.80%, 4/01/28 | 104,000 | 96,088 | |
5.45%, 4/01/53 | 47,000 | 40,061 | |
5.70%, 8/15/53 | 38,000 | 33,632 | |
WEC Energy Group, Inc., | |||
5.00%, 9/27/25 | 15,000 | 14,779 | |
5.15%, 10/01/27 | 20,000 | 19,514 | |
Wisconsin Power and Light Co., 3.00%, 7/01/29 | 33,000 | 28,465 | |
4,973,541 | |||
Electric, Gas Marketing & Trading – 0.1% | |||
New York State Electric & Gas Corp., | |||
3.25%, 12/01/26(b) | 95,000 | 87,349 | |
5.85%, 8/15/33(b) | 35,000 | 33,629 | |
PECO Energy Co., | |||
4.90%, 6/15/33 | 46,000 | 42,562 | |
2.85%, 9/15/51 | 36,000 | 19,834 | |
183,374 | |||
Electrical Equipment – 0.4% | |||
Carrier Global Corp., 2.49%, 2/15/27 | 29,000 | 25,951 | |
Lennox International, Inc., 5.50%, 9/15/28 | 68,000 | 66,326 | |
Otis Worldwide Corp., 5.25%, 8/16/28 | 65,000 | 63,227 | |
Sensata Technologies, Inc., | |||
4.38%, 2/15/30(b) | 20,000 | 16,904 | |
3.75%, 2/15/31(b) | 125,000 | 100,043 | |
Trane Technologies Financing Ltd., | |||
3.55%, 11/01/24 | 257,000 | 251,003 | |
3.50%, 3/21/26 | 25,000 | 23,748 | |
3.80%, 3/21/29 | 20,000 | 18,253 | |
5.25%, 3/03/33 | 60,000 | 56,166 | |
Trane Technologies Global Holding Co. Ltd., 3.75%, 8/21/28 | 20,000 | 18,386 | |
640,007 |
Par (a) | Value | ||
Engineering & Construction – 0.0%(e) | |||
Installed Building Products, Inc., 5.75%, 2/01/28(b) | $ 30,000 | $ 27,066 | |
Entertainment Content – 0.5% | |||
Activision Blizzard, Inc., 2.50%, 9/15/50 | 132,000 | 73,791 | |
Diamond Sports Group LLC/Diamond Sports Finance Co., | |||
5.38%, 8/15/26(b)(j)(k) | 215,000 | 2,215 | |
6.63%, 8/15/27(b)(j)(k) | 115,000 | 1,150 | |
Paramount Global, | |||
4.95%, 1/15/31 | 70,000 | 58,458 | |
4.20%, 5/19/32 | 48,000 | 37,060 | |
5.50%, 5/15/33 | 18,000 | 14,985 | |
4.38%, 3/15/43 | 88,000 | 52,793 | |
5.85%, 9/01/43 | 74,000 | 53,425 | |
5.25%, 4/01/44 | 17,000 | 11,052 | |
4.95%, 5/19/50 | 73,000 | 46,297 | |
(5Y US Treasury CMT + 4.00%), 6.38%, 3/30/62(h) | 42,000 | 30,909 | |
Playtika Holding Corp., 4.25%, 3/15/29(b) | 60,000 | 48,404 | |
Time Warner Cable Enterprises LLC, 8.38%, 7/15/33 | 37,000 | 38,602 | |
Walt Disney (The) Co., 2.00%, 9/01/29 | 20,000 | 16,410 | |
Warnermedia Holdings, Inc., | |||
3.76%, 3/15/27 | 107,000 | 98,504 | |
4.28%, 3/15/32 | 45,000 | 37,310 | |
5.05%, 3/15/42 | 101,000 | 74,814 | |
5.14%, 3/15/52 | 119,000 | 84,206 | |
5.39%, 3/15/62 | 34,000 | 23,813 | |
804,198 | |||
Food – 0.6% | |||
Cargill, Inc., | |||
2.13%, 4/23/30(b) | 34,000 | 27,297 | |
1.70%, 2/02/31(b) | 39,000 | 29,467 | |
2.13%, 11/10/31(b) | 18,000 | 13,634 | |
General Mills, Inc., 5.50%, 10/17/28 | 124,000 | 121,754 | |
HLF Financing S.a.r.l. LLC/Herbalife International, Inc., 4.88%, 6/01/29(b) | 70,000 | 47,775 | |
J M Smucker (The) Co., | |||
6.20%, 11/15/33 | 33,000 | 32,077 | |
2.75%, 9/15/41 | 40,000 | 23,806 | |
6.50%, 11/15/43 | 60,000 | 56,942 |
Par (a) | Value | ||
Food (Continued) | |||
J M Smucker (The) Co., | |||
6.50%, 11/15/53 | $ 48,000 | $ 45,258 | |
Kraft Heinz Foods Co., | |||
5.00%, 6/04/42 | 29,000 | 23,902 | |
5.20%, 7/15/45 | 29,000 | 23,965 | |
Lamb Weston Holdings, Inc., 4.38%, 1/31/32(b) | 180,000 | 148,926 | |
Mars, Inc., 2.38%, 7/16/40(b) | 99,000 | 59,435 | |
Mondelez International, Inc., 2.63%, 3/17/27 | 30,000 | 27,147 | |
Nestle Holdings, Inc., 4.70%, 1/15/53(b) | 150,000 | 125,220 | |
Post Holdings, Inc., 4.63%, 4/15/30(b) | 165,000 | 138,169 | |
Simmons Foods, Inc., 4.63%, 3/01/29(b) | 65,000 | 52,801 | |
997,575 | |||
Gas & Water Utilities – 0.2% | |||
Atmos Energy Corp., 6.20%, 11/15/53 | 25,000 | 24,263 | |
Ferrellgas L.P./Ferrellgas Finance Corp., 5.38%, 4/01/26(b) | 65,000 | 60,839 | |
South Jersey Industries, Inc., 5.02%, 4/15/31 | 161,000 | 121,993 | |
Suburban Propane Partners L.P./Suburban Energy Finance Corp., 5.00%, 6/01/31(b) | 95,000 | 78,689 | |
285,784 | |||
Health Care Facilities & Services – 1.7% | |||
AdaptHealth LLC, | |||
4.63%, 8/01/29(b) | 35,000 | 26,163 | |
5.13%, 3/01/30(b) | 185,000 | 140,138 | |
Centene Corp., | |||
2.45%, 7/15/28 | 122,000 | 102,625 | |
3.00%, 10/15/30 | 241,000 | 190,721 | |
2.63%, 8/01/31 | 40,000 | 30,040 | |
CHS/Community Health Systems, Inc., 5.25%, 5/15/30(b) | 270,000 | 191,742 | |
Cigna Group (The), | |||
4.13%, 11/15/25 | 23,000 | 22,285 | |
4.80%, 8/15/38 | 130,000 | 110,120 | |
3.20%, 3/15/40 | 43,000 | 29,151 | |
CVS Health Corp., | |||
5.00%, 1/30/29 | 41,000 | 39,249 | |
4.78%, 3/25/38 | 204,000 | 168,727 | |
2.70%, 8/21/40 | 34,000 | 20,589 |
Par (a) | Value | ||
Health Care Facilities & Services (Continued) | |||
CVS Health Corp., | |||
5.05%, 3/25/48 | $ 63,000 | $ 49,523 | |
6.00%, 6/01/63 | 38,000 | 32,921 | |
DaVita, Inc., 3.75%, 2/15/31(b) | 215,000 | 154,543 | |
Elevance Health, Inc., | |||
2.88%, 9/15/29 | 54,000 | 45,876 | |
2.55%, 3/15/31 | 20,000 | 15,818 | |
5.50%, 10/15/32 | 58,000 | 55,483 | |
Encompass Health Corp., 4.75%, 2/01/30 | 105,000 | 90,738 | |
Fortrea Holdings, Inc., 7.50%, 7/01/30(b) | 25,000 | 24,125 | |
HCA, Inc., | |||
5.88%, 2/01/29 | 15,000 | 14,532 | |
3.38%, 3/15/29 | 35,000 | 30,086 | |
4.13%, 6/15/29 | 75,000 | 66,568 | |
3.50%, 9/01/30 | 31,000 | 25,657 | |
2.38%, 7/15/31 | 32,000 | 23,793 | |
3.63%, 3/15/32 | 36,000 | 28,918 | |
5.25%, 6/15/49 | 77,000 | 59,186 | |
5.90%, 6/01/53 | 30,000 | 25,361 | |
Humana, Inc., 5.75%, 3/01/28 | 41,000 | 40,842 | |
LifePoint Health, Inc., 5.38%, 1/15/29(b) | 205,000 | 124,199 | |
Molina Healthcare, Inc., | |||
3.88%, 11/15/30(b) | 15,000 | 12,234 | |
3.88%, 5/15/32(b) | 135,000 | 106,078 | |
Quest Diagnostics, Inc., | |||
2.95%, 6/30/30 | 20,000 | 16,423 | |
2.80%, 6/30/31 | 25,000 | 19,789 | |
6.40%, 11/30/33 | 49,000 | 48,853 | |
RP Escrow Issuer LLC, 5.25%, 12/15/25(b) | 50,000 | 35,625 | |
Star Parent, Inc., 9.00%, 10/01/30(b) | 205,000 | 203,439 | |
U.S. Acute Care Solutions LLC, 6.38%, 3/01/26(b) | 50,000 | 42,538 | |
UnitedHealth Group, Inc., | |||
1.15%, 5/15/26 | 38,000 | 34,308 | |
4.20%, 5/15/32 | 10,000 | 8,866 | |
3.50%, 8/15/39 | 32,000 | 23,498 | |
2.75%, 5/15/40 | 78,000 | 50,499 | |
3.05%, 5/15/41 | 35,000 | 23,355 | |
3.75%, 10/15/47 | 9,000 | 6,232 | |
4.45%, 12/15/48 | 9,000 | 6,940 | |
3.25%, 5/15/51 | 42,000 | 25,799 | |
4.75%, 5/15/52 | 16,000 | 12,808 |
Par (a) | Value | ||
Health Care Facilities & Services (Continued) | |||
UnitedHealth Group, Inc., | |||
5.88%, 2/15/53 | $ 47,000 | $ 44,448 | |
5.20%, 4/15/63 | 53,000 | 44,280 | |
2,745,731 | |||
Home & Office Products – 0.1% | |||
Newell Brands, Inc., 5.20%, 4/01/26 | 155,000 | 146,344 | |
Tempur Sealy International, Inc., 3.88%, 10/15/31(b) | 70,000 | 52,421 | |
198,765 | |||
Home Construction – 0.2% | |||
ACProducts Holdings, Inc., 6.38%, 5/15/29(b) | 100,000 | 61,000 | |
Camelot Return Merger Sub, Inc., 8.75%, 8/01/28(b) | 20,000 | 18,674 | |
Cornerstone Building Brands, Inc., 6.13%, 1/15/29(b) | 120,000 | 87,732 | |
Fortune Brands Innovations, Inc., 5.88%, 6/01/33 | 44,000 | 41,030 | |
Meritage Homes Corp., 3.88%, 4/15/29(b) | 5,000 | 4,201 | |
MIWD Holdco II LLC/MIWD Finance Corp., 5.50%, 2/01/30(b) | 90,000 | 71,437 | |
Mohawk Industries, Inc., 5.85%, 9/18/28 | 38,000 | 37,336 | |
321,410 | |||
Household Products – 0.5% | |||
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, | |||
4.75%, 1/15/29(b) | 70,000 | 61,966 | |
6.63%, 7/15/30(b) | 125,000 | 119,090 | |
Energizer Holdings, Inc., 4.38%, 3/31/29(b) | 410,000 | 334,692 | |
Estee Lauder (The) Cos., Inc., 4.65%, 5/15/33 | 33,000 | 30,000 | |
Kenvue, Inc., | |||
5.05%, 3/22/28 | 35,000 | 34,347 | |
4.90%, 3/22/33 | 68,000 | 63,719 | |
5.10%, 3/22/43 | 48,000 | 42,464 | |
5.05%, 3/22/53 | 35,000 | 30,072 | |
5.20%, 3/22/63 | 47,000 | 39,904 | |
756,254 |
Par (a) | Value | ||
Industrial Intermediate Products – 0.0%(e) | |||
Chart Industries, Inc., 7.50%, 1/01/30(b) | $ 65,000 | $ 63,829 | |
Industrial Support Services – 0.1% | |||
Resideo Funding, Inc., 4.00%, 9/01/29(b) | 190,000 | 152,475 | |
WW Grainger, Inc., 3.75%, 5/15/46 | 76,000 | 53,302 | |
205,777 | |||
Institutional Financial Services – 1.6% | |||
Bank of New York Mellon (The) Corp., | |||
(SOFR + 1.03%), 4.95%, 4/26/27(h) | 61,000 | 59,285 | |
(SOFR + 1.60%), 6.32%, 10/25/29(h) | 104,000 | 104,805 | |
(SOFR + 1.85%), 6.47%, 10/25/34(h) | 178,000 | 178,595 | |
Coinbase Global, Inc., | |||
3.38%, 10/01/28(b) | 45,000 | 33,041 | |
3.63%, 10/01/31(b) | 50,000 | 33,993 | |
Goldman Sachs Capital I, 6.35%, 2/15/34 | 82,000 | 79,113 | |
Goldman Sachs Group (The), Inc., | |||
3.50%, 4/01/25 | 38,000 | 36,573 | |
3.85%, 1/26/27 | 130,000 | 121,075 | |
(3M CME Term SOFR + 2.01%), 7.40%, 10/28/27(c) | 43,000 | 43,878 | |
(SOFR + 1.73%), 4.48%, 8/23/28(h) | 203,000 | 190,060 | |
(SOFR + 1.77%), 6.48%, 10/24/29(h) | 207,000 | 206,951 | |
(SOFR + 1.25%), 2.38%, 7/21/32(h) | 8,000 | 5,938 | |
6.25%, 2/01/41 | 8,000 | 7,745 | |
Intercontinental Exchange, Inc., | |||
4.00%, 9/15/27 | 167,000 | 156,206 | |
2.10%, 6/15/30 | 131,000 | 102,801 | |
4.25%, 9/21/48 | 31,000 | 23,144 | |
Morgan Stanley, | |||
(SOFR + 1.15%), 2.72%, 7/22/25(h) | 58,000 | 56,433 | |
(SOFR + 0.88%), 1.59%, 5/04/27(h) | 74,000 | 65,755 | |
(SOFR + 0.86%), 1.51%, 7/20/27(h) | 300,000 | 263,352 | |
(SOFR + 1.00%), 2.48%, 1/21/28(h) | 29,000 | 25,701 | |
3.59%, 7/22/28(c) | 22,000 | 19,952 | |
(SOFR + 2.24%), 6.30%, 10/18/28(h) | 17,000 | 16,969 |
Par (a) | Value | ||
Institutional Financial Services (Continued) | |||
Morgan Stanley, | |||
(SOFR + 1.59%), 5.16%, 4/20/29(h) | $ 72,000 | $ 68,503 | |
(SOFR + 1.02%), 1.93%, 4/28/32(h) | 77,000 | 55,776 | |
(SOFR + 1.20%), 2.51%, 10/20/32(h) | 18,000 | 13,463 | |
(SOFR + 2.56%), 6.34%, 10/18/33(h) | 124,000 | 121,567 | |
(SOFR + 1.87%), 5.25%, 4/21/34(h) | 14,000 | 12,614 | |
(SOFR + 1.88%), 5.42%, 7/21/34(h) | 46,000 | 41,983 | |
(SOFR + 2.05%), 6.63%, 11/01/34(h) | 170,000 | 169,745 | |
(SOFR + 2.62%), 5.30%, 4/20/37(h) | 139,000 | 120,549 | |
(5Y US Treasury CMT + 2.43%), 5.95%, 1/19/38(h) | 235,000 | 213,092 | |
Northern Trust Corp., (3M USD LIBOR + 1.13%), 3.38%, 5/08/32(h) | 43,000 | 37,766 | |
State Street Corp., (SOFR + 1.72%), 5.82%, 11/04/28(h) | 44,000 | 43,491 | |
2,729,914 | |||
Insurance – 1.1% | |||
Acrisure LLC/Acrisure Finance, Inc., 4.25%, 2/15/29(b) | 90,000 | 73,797 | |
Alleghany Corp., 3.25%, 8/15/51 | 162,000 | 99,201 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 4.25%, 10/15/27(b) | 25,000 | 21,979 | |
American International Group, Inc., | |||
3.90%, 4/01/26 | 40,000 | 38,111 | |
3.40%, 6/30/30 | 62,000 | 52,153 | |
5.13%, 3/27/33 | 123,000 | 111,851 | |
4.75%, 4/01/48 | 50,000 | 39,159 | |
AmWINS Group, Inc., 4.88%, 6/30/29(b) | 125,000 | 107,005 | |
Assurant, Inc., 3.70%, 2/22/30 | 56,000 | 46,411 | |
AssuredPartners, Inc., 5.63%, 1/15/29(b) | 100,000 | 84,833 | |
BroadStreet Partners, Inc., 5.88%, 4/15/29(b) | 95,000 | 82,826 | |
Corebridge Financial, Inc., | |||
3.90%, 4/05/32 | 105,000 | 85,892 | |
6.05%, 9/15/33(b) | 48,000 | 45,057 |
Par (a) | Value | ||
Insurance (Continued) | |||
Corebridge Financial, Inc., | |||
(5Y US Treasury CMT + 3.85%), 6.88%, 12/15/52(h) | $ 77,000 | $ 71,137 | |
Hartford Financial Services Group (The), Inc., | |||
5.95%, 10/15/36 | 44,000 | 41,877 | |
(3M CME Term SOFR + 2.39%), 7.75%, 2/12/47(b)(c) | 87,000 | 74,484 | |
HUB International Ltd., 7.25%, 6/15/30(b) | 175,000 | 170,706 | |
Liberty Mutual Group, Inc., | |||
3.95%, 5/15/60(b) | 35,000 | 20,473 | |
4.30%, 2/01/61(b) | 190,000 | 99,033 | |
Marsh & McLennan Cos., Inc., | |||
5.40%, 9/15/33 | 81,000 | 76,990 | |
5.70%, 9/15/53 | 67,000 | 61,509 | |
Metropolitan Life Global Funding I, 2.40%, 1/11/32(b) | 154,000 | 116,136 | |
PartnerRe Finance B LLC, (5Y US Treasury CMT + 3.82%), 4.50%, 10/01/50(h) | 250,000 | 205,472 | |
Teachers Insurance & Annuity Association of America, 4.90%, 9/15/44(b) | 15,000 | 12,128 | |
Travelers (The) Cos., Inc., 4.30%, 8/25/45 | 15,000 | 11,367 | |
Willis North America, Inc., 5.05%, 9/15/48 | 36,000 | 27,657 | |
1,877,244 | |||
Internet Media & Services – 1.2% | |||
ANGI Group LLC, 3.88%, 8/15/28(b) | 80,000 | 59,999 | |
Arches Buyer, Inc., | |||
4.25%, 6/01/28(b) | 50,000 | 41,415 | |
6.13%, 12/01/28(b) | 50,000 | 40,386 | |
Match Group Holdings II LLC, | |||
5.00%, 12/15/27(b) | 55,000 | 50,728 | |
3.63%, 10/01/31(b) | 25,000 | 19,187 | |
Meta Platforms, Inc., | |||
3.50%, 8/15/27 | 33,000 | 31,026 | |
4.45%, 8/15/52 | 87,000 | 65,777 | |
4.65%, 8/15/62 | 15,000 | 11,311 | |
5.75%, 5/15/63 | 93,000 | 83,435 | |
Newfold Digital Holdings Group, Inc., 11.75%, 10/15/28(b) | 300,000 | 303,030 |
Par (a) | Value | ||
Internet Media & Services (Continued) | |||
Uber Technologies, Inc., | |||
8.00%, 11/01/26(b) | $ 165,000 | $ 166,164 | |
7.50%, 9/15/27(b) | 95,000 | 95,239 | |
4.50%, 8/15/29(b) | 1,025,000 | 903,983 | |
Ziff Davis, Inc., 4.63%, 10/15/30(b) | 98,000 | 82,047 | |
1,953,727 | |||
Leisure Facilities & Services – 2.6% | |||
Bloomin' Brands, Inc./OSI Restaurant Partners LLC, 5.13%, 4/15/29(b) | 90,000 | 78,049 | |
Caesars Entertainment, Inc., 6.25%, 7/01/25(b) | 150,000 | 147,583 | |
Carnival Corp., | |||
5.75%, 3/01/27(b) | 335,000 | 299,109 | |
6.00%, 5/01/29(b) | 280,000 | 236,543 | |
7.00%, 8/15/29(b) | 20,000 | 19,611 | |
Everi Holdings, Inc., 5.00%, 7/15/29(b) | 50,000 | 42,014 | |
Hilton Domestic Operating Co., Inc., 3.63%, 2/15/32(b) | 45,000 | 35,571 | |
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, | |||
5.00%, 6/01/29(b) | 205,000 | 171,687 | |
4.88%, 7/01/31(b) | 305,000 | 241,524 | |
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.75%, 6/01/27(b) | 180,000 | 170,109 | |
Light & Wonder International, Inc., | |||
7.00%, 5/15/28(b) | 280,000 | 272,941 | |
7.25%, 11/15/29(b) | 35,000 | 33,942 | |
7.50%, 9/01/31(b) | 50,000 | 48,821 | |
Marriott Ownership Resorts, Inc., 4.50%, 6/15/29(b) | 425,000 | 349,240 | |
McDonald's Corp., | |||
5.70%, 2/01/39 | 23,000 | 21,650 | |
5.45%, 8/14/53 | 40,000 | 35,260 | |
NCL Corp. Ltd., | |||
5.88%, 3/15/26(b) | 335,000 | 300,663 | |
5.88%, 3/15/26 | 5,000 | 4,488 | |
8.13%, 1/15/29(b) | 115,000 | 112,354 | |
NCL Finance Ltd., 6.13%, 3/15/28(b) | 55,000 | 45,993 | |
Papa John's International, Inc., 3.88%, 9/15/29(b) | 165,000 | 135,375 |
Par (a) | Value | ||
Leisure Facilities & Services (Continued) | |||
Penn Entertainment, Inc., 4.13%, 7/01/29(b) | $ 5,000 | $ 3,885 | |
Royal Caribbean Cruises Ltd., | |||
4.25%, 7/01/26(b) | 160,000 | 147,136 | |
11.63%, 8/15/27(b) | 115,000 | 124,725 | |
3.70%, 3/15/28 | 115,000 | 98,012 | |
5.50%, 4/01/28(b) | 320,000 | 291,793 | |
Speedway Motorsports LLC/Speedway Funding II, Inc., 4.88%, 11/01/27(b) | 70,000 | 62,475 | |
Travel + Leisure Co., | |||
6.63%, 7/31/26(b) | 145,000 | 141,482 | |
6.00%, 4/01/27 | 10,000 | 9,340 | |
4.50%, 12/01/29(b) | 55,000 | 45,330 | |
4.63%, 3/01/30(b) | 95,000 | 77,771 | |
Viking Cruises Ltd., | |||
5.88%, 9/15/27(b) | 110,000 | 99,099 | |
7.00%, 2/15/29(b) | 60,000 | 54,300 | |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 2/15/29(b) | 105,000 | 93,056 | |
VOC Escrow Ltd., 5.00%, 2/15/28(b) | 100,000 | 89,842 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(b) | 150,000 | 127,921 | |
Yum! Brands, Inc., 3.63%, 3/15/31 | 40,000 | 32,481 | |
4,301,175 | |||
Machinery – 0.4% | |||
CNH Industrial Capital LLC, | |||
5.45%, 10/14/25 | 20,000 | 19,847 | |
4.55%, 4/10/28 | 72,000 | 67,663 | |
Deere & Co., 3.10%, 4/15/30 | 44,000 | 37,970 | |
GrafTech Finance, Inc., 4.63%, 12/15/28(b) | 130,000 | 95,295 | |
GrafTech Global Enterprises, Inc., 9.88%, 12/15/28(b) | 90,000 | 80,594 | |
Ingersoll Rand, Inc., | |||
5.40%, 8/14/28 | 20,000 | 19,488 | |
5.70%, 8/14/33 | 50,000 | 47,243 | |
John Deere Capital Corp., | |||
4.95%, 7/14/28 | 45,000 | 43,894 | |
3.35%, 4/18/29 | 68,000 | 61,243 | |
Madison IAQ LLC, 5.88%, 6/30/29(b) | 80,000 | 61,971 | |
Nordson Corp., | |||
5.60%, 9/15/28 | 33,000 | 32,391 | |
5.80%, 9/15/33 | 33,000 | 31,413 |
Par (a) | Value | ||
Machinery (Continued) | |||
Veralto Corp., 5.45%, 9/18/33(b) | $ 23,000 | $ 21,492 | |
Xylem, Inc., 3.25%, 11/01/26 | 102,000 | 94,905 | |
715,409 | |||
Medical Equipment & Devices – 0.5% | |||
Bausch & Lomb Escrow Corp., 8.38%, 10/01/28(b) | 280,000 | 278,110 | |
Becton Dickinson & Co., 4.69%, 2/13/28 | 73,000 | 69,877 | |
Garden Spinco Corp., 8.63%, 7/20/30(b) | 90,000 | 92,859 | |
Hologic, Inc., | |||
4.63%, 2/01/28(b) | 60,000 | 54,564 | |
3.25%, 2/15/29(b) | 45,000 | 37,778 | |
Medline Borrower L.P., 3.88%, 4/01/29(b) | 120,000 | 101,324 | |
Medtronic Global Holdings S.C.A., 4.50%, 3/30/33 | 44,000 | 39,982 | |
Thermo Fisher Scientific, Inc., | |||
5.09%, 8/10/33 | 97,000 | 90,730 | |
5.40%, 8/10/43 | 42,000 | 38,086 | |
803,310 | |||
Metals & Mining – 0.1% | |||
Novelis Corp., 4.75%, 1/30/30(b) | 175,000 | 148,483 | |
Oil & Gas Producers – 4.5% | |||
Antero Midstream Partners L.P./Antero Midstream Finance Corp., | |||
7.88%, 5/15/26(b) | 60,000 | 60,423 | |
5.38%, 6/15/29(b) | 90,000 | 81,724 | |
Antero Resources Corp., 5.38%, 3/01/30(b) | 115,000 | 104,940 | |
Apache Corp., | |||
4.38%, 10/15/28 | 10,000 | 8,937 | |
4.75%, 4/15/43 | 50,000 | 35,116 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.00%, 11/01/26(b) | 155,000 | 149,682 | |
Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, 12/15/25(b) | 130,000 | 130,186 | |
BP Capital Markets America, Inc., | |||
3.94%, 9/21/28 | 89,000 | 82,622 | |
4.89%, 9/11/33 | 29,000 | 26,545 | |
3.00%, 2/24/50 | 43,000 | 25,370 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
BP Capital Markets America, Inc., | |||
2.94%, 6/04/51 | $ 38,000 | $ 21,848 | |
Buckeye Partners L.P., | |||
5.85%, 11/15/43 | 55,000 | 38,867 | |
5.60%, 10/15/44 | 30,000 | 20,138 | |
Cameron LNG LLC, 2.90%, 7/15/31(b) | 78,000 | 62,853 | |
Cheniere Corpus Christi Holdings LLC, 3.70%, 11/15/29 | 11,000 | 9,584 | |
Cheniere Energy Partners L.P., 5.95%, 6/30/33(b) | 48,000 | 44,889 | |
Chesapeake Energy Corp., | |||
5.50%, 2/01/26(b) | 240,000 | 232,987 | |
6.75%, 4/15/29(b) | 50,000 | 48,923 | |
Civitas Resources, Inc., | |||
8.38%, 7/01/28(b) | 195,000 | 196,201 | |
8.63%, 11/01/30(b) | 60,000 | 61,070 | |
ConocoPhillips Co., | |||
5.30%, 5/15/53 | 53,000 | 45,756 | |
5.55%, 3/15/54 | 84,000 | 75,085 | |
5.70%, 9/15/63 | 85,000 | 75,851 | |
Continental Resources, Inc., | |||
5.75%, 1/15/31(b) | 85,000 | 78,828 | |
2.88%, 4/01/32(b) | 260,000 | 192,112 | |
4.90%, 6/01/44 | 50,000 | 35,305 | |
Crescent Energy Finance LLC, | |||
7.25%, 5/01/26(b) | 110,000 | 106,491 | |
9.25%, 2/15/28(b) | 95,000 | 95,680 | |
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp., 6.00%, 2/01/29(b) | 100,000 | 96,750 | |
CVR Energy, Inc., 5.25%, 2/15/25(b) | 155,000 | 152,050 | |
Diamondback Energy, Inc., | |||
6.25%, 3/15/33 | 11,000 | 10,857 | |
4.40%, 3/24/51 | 57,000 | 40,446 | |
4.25%, 3/15/52 | 105,000 | 72,166 | |
Energy Transfer L.P., | |||
(5Y US Treasury CMT + 5.69%), 6.50%, 11/15/26(g)(h) | 82,000 | 74,266 | |
6.10%, 12/01/28 | 33,000 | 32,590 | |
(5Y US Treasury CMT + 5.31%), 7.13%, 5/15/30(g)(h) | 66,000 | 54,808 | |
6.55%, 12/01/33 | 72,000 | 71,050 | |
5.95%, 10/01/43 | 55,000 | 46,520 | |
5.40%, 10/01/47 | 46,000 | 36,126 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Energy Transfer L.P., | |||
6.00%, 6/15/48 | $ 92,000 | $ 78,223 | |
EnLink Midstream LLC, 6.50%, 9/01/30(b) | 105,000 | 100,786 | |
EnLink Midstream Partners L.P., | |||
5.60%, 4/01/44 | 45,000 | 35,381 | |
5.05%, 4/01/45 | 20,000 | 14,338 | |
5.45%, 6/01/47 | 130,000 | 97,722 | |
Enterprise Products Operating LLC, | |||
3.70%, 1/31/51 | 14,000 | 9,364 | |
3.95%, 1/31/60 | 105,000 | 70,313 | |
(3M CME Term SOFR + 3.29%), 5.25%, 8/16/77(h) | 10,000 | 8,582 | |
EQM Midstream Partners L.P., | |||
6.00%, 7/01/25(b) | 28,000 | 27,382 | |
7.50%, 6/01/27(b) | 170,000 | 168,365 | |
6.50%, 7/01/27(b) | 140,000 | 136,081 | |
5.50%, 7/15/28 | 30,000 | 27,998 | |
7.50%, 6/01/30(b) | 35,000 | 34,340 | |
6.50%, 7/15/48 | 30,000 | 25,367 | |
Exxon Mobil Corp., | |||
2.28%, 8/16/26 | 80,000 | 73,911 | |
3.00%, 8/16/39 | 34,000 | 23,664 | |
4.23%, 3/19/40 | 103,000 | 83,587 | |
Gulfport Energy Corp., 8.00%, 5/17/26(b) | 55,000 | 54,905 | |
Hess Midstream Operations L.P., | |||
5.63%, 2/15/26(b) | 89,000 | 86,191 | |
5.13%, 6/15/28(b) | 85,000 | 78,485 | |
4.25%, 2/15/30(b) | 200,000 | 171,135 | |
Holly Energy Partners L.P./Holly Energy Finance Corp., 5.00%, 2/01/28(b) | 45,000 | 41,656 | |
Kinder Morgan Energy Partners L.P., | |||
5.00%, 8/15/42 | 46,000 | 35,940 | |
4.70%, 11/01/42 | 51,000 | 37,812 | |
Kinder Morgan, Inc., | |||
4.80%, 2/01/33 | 93,000 | 81,325 | |
5.05%, 2/15/46 | 20,000 | 15,254 | |
Kinetik Holdings L.P., 5.88%, 6/15/30(b) | 140,000 | 128,457 | |
Marathon Petroleum Corp., | |||
6.50%, 3/01/41 | 64,000 | 60,742 | |
5.00%, 9/15/54 | 65,000 | 47,928 | |
Matador Resources Co., | |||
5.88%, 9/15/26 | 150,000 | 144,539 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Matador Resources Co., | |||
6.88%, 4/15/28(b) | $ 75,000 | $ 73,498 | |
MPLX L.P., | |||
1.75%, 3/01/26 | 23,000 | 20,868 | |
4.95%, 3/14/52 | 20,000 | 14,822 | |
Murphy Oil Corp., 5.88%, 12/01/42 | 120,000 | 92,196 | |
Murphy Oil USA, Inc., 4.75%, 9/15/29 | 25,000 | 22,134 | |
Northern Oil and Gas, Inc., | |||
8.13%, 3/01/28(b) | 60,000 | 59,252 | |
8.75%, 6/15/31(b) | 225,000 | 223,863 | |
Occidental Petroleum Corp., | |||
8.50%, 7/15/27 | 35,000 | 37,291 | |
6.13%, 1/01/31 | 25,000 | 24,449 | |
7.50%, 5/01/31 | 26,000 | 27,263 | |
6.60%, 3/15/46 | 130,000 | 125,178 | |
Ovintiv, Inc., | |||
5.65%, 5/15/28 | 20,000 | 19,418 | |
6.25%, 7/15/33 | 27,000 | 25,666 | |
7.10%, 7/15/53 | 59,000 | 56,151 | |
PBF Holding Co. LLC/PBF Finance Corp., 7.88%, 9/15/30(b) | 60,000 | 57,901 | |
Permian Resources Operating LLC, | |||
6.88%, 4/01/27(b) | 90,000 | 88,303 | |
5.88%, 7/01/29(b) | 60,000 | 55,844 | |
7.00%, 1/15/32(b) | 70,000 | 67,858 | |
Plains All American Pipeline L.P./PAA Finance Corp., | |||
3.55%, 12/15/29 | 31,000 | 26,347 | |
4.30%, 1/31/43 | 8,000 | 5,418 | |
Range Resources Corp., 8.25%, 1/15/29 | 55,000 | 56,168 | |
Sabine Pass Liquefaction LLC, 4.20%, 3/15/28 | 148,000 | 136,178 | |
Sitio Royalties Operating Partnership L.P./Sitio Finance Corp., 7.88%, 11/01/28(b) | 290,000 | 286,056 | |
SM Energy Co., | |||
5.63%, 6/01/25 | 80,000 | 77,871 | |
6.75%, 9/15/26 | 75,000 | 73,666 | |
Southwestern Energy Co., 5.38%, 2/01/29 | 50,000 | 46,189 | |
Sunoco L.P./Sunoco Finance Corp., 4.50%, 5/15/29 | 60,000 | 51,974 | |
Targa Resources Corp., | |||
4.95%, 4/15/52 | 24,000 | 17,512 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Targa Resources Corp., | |||
6.25%, 7/01/52 | $ 41,000 | $ 35,835 | |
6.50%, 2/15/53 | 13,000 | 11,853 | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., | |||
4.88%, 2/01/31 | 95,000 | 83,746 | |
4.00%, 1/15/32 | 40,000 | 32,921 | |
Transcontinental Gas Pipe Line Co. LLC, 3.25%, 5/15/30 | 29,000 | 24,286 | |
Venture Global Calcasieu Pass LLC, | |||
4.13%, 8/15/31(b) | 175,000 | 140,701 | |
3.88%, 11/01/33(b) | 290,000 | 219,138 | |
Western Midstream Operating L.P., | |||
3.10%, 2/01/25 | 50,000 | 48,037 | |
4.50%, 3/01/28 | 25,000 | 23,086 | |
4.75%, 8/15/28 | 80,000 | 74,419 | |
5.30%, 3/01/48 | 80,000 | 59,764 | |
5.25%, 2/01/50 | 55,000 | 40,643 | |
Williams (The) Cos., Inc., 5.10%, 9/15/45 | 67,000 | 53,856 | |
7,553,034 | |||
Oil, Gas Services & Equipment – 0.6% | |||
Diamond Foreign Asset Co./Diamond Finance LLC, 8.50%, 10/01/30(b) | 75,000 | 73,103 | |
Oceaneering International, Inc., 6.00%, 2/01/28(b) | 35,000 | 32,113 | |
Schlumberger Investment S.A., 2.65%, 6/26/30 | 40,000 | 33,109 | |
Solaris Midstream Holdings LLC, 7.63%, 4/01/26(b) | 90,000 | 85,855 | |
Transocean Aquila Ltd., 8.00%, 9/30/28(b) | 75,000 | 73,902 | |
Transocean Poseidon Ltd., 6.88%, 2/01/27(b) | 352,500 | 345,450 | |
Transocean Titan Financing Ltd., 8.38%, 2/01/28(b) | 70,000 | 70,283 | |
Transocean, Inc., 7.50%, 1/15/26(b) | 115,000 | 110,154 | |
Weatherford International Ltd., 8.63%, 4/30/30(b) | 135,000 | 136,415 | |
960,384 |
Par (a) | Value | ||
Publishing & Broadcasting – 0.3% | |||
iHeartCommunications, Inc., | |||
6.38%, 5/01/26 | $115,000 | $ 93,737 | |
5.25%, 8/15/27(b) | 175,000 | 128,265 | |
4.75%, 1/15/28(b) | 335,000 | 236,839 | |
458,841 | |||
Real Estate Investment Trusts – 1.5% | |||
Alexandria Real Estate Equities, Inc., | |||
3.55%, 3/15/52 | 9,000 | 5,367 | |
5.15%, 4/15/53 | 8,000 | 6,300 | |
American Homes 4 Rent L.P., | |||
3.63%, 4/15/32 | 15,000 | 12,114 | |
3.38%, 7/15/51 | 57,000 | 32,092 | |
American Tower Corp., | |||
4.40%, 2/15/26 | 26,000 | 25,029 | |
3.65%, 3/15/27 | 35,000 | 32,226 | |
3.60%, 1/15/28 | 48,000 | 43,150 | |
1.50%, 1/31/28 | 98,000 | 80,652 | |
5.25%, 7/15/28 | 27,000 | 25,756 | |
2.70%, 4/15/31 | 66,000 | 51,031 | |
5.65%, 3/15/33 | 32,000 | 29,772 | |
Camden Property Trust, | |||
5.85%, 11/03/26 | 71,000 | 71,047 | |
2.80%, 5/15/30 | 79,000 | 65,334 | |
Crown Castle, Inc., | |||
4.80%, 9/01/28 | 106,000 | 99,045 | |
3.30%, 7/01/30 | 41,000 | 33,702 | |
2.10%, 4/01/31 | 40,000 | 29,607 | |
2.50%, 7/15/31 | 58,000 | 43,803 | |
5.10%, 5/01/33 | 42,000 | 37,309 | |
CubeSmart L.P., 2.50%, 2/15/32 | 64,000 | 47,448 | |
Extra Space Storage L.P., | |||
3.90%, 4/01/29 | 45,000 | 39,910 | |
4.00%, 6/15/29 | 20,000 | 17,804 | |
2.40%, 10/15/31 | 60,000 | 44,867 | |
Healthpeak OP LLC, 5.25%, 12/15/32 | 70,000 | 63,394 | |
Highwoods Realty L.P., 2.60%, 2/01/31 | 22,000 | 15,349 | |
Invitation Homes Operating Partnership L.P., | |||
2.30%, 11/15/28 | 85,000 | 70,326 | |
5.45%, 8/15/30 | 36,000 | 33,567 | |
2.00%, 8/15/31 | 94,000 | 67,683 | |
5.50%, 8/15/33 | 20,000 | 18,132 | |
2.70%, 1/15/34 | 42,000 | 29,758 | |
Iron Mountain, Inc., | |||
5.25%, 3/15/28(b) | 60,000 | 54,878 |
Par (a) | Value | ||
Real Estate Investment Trusts (Continued) | |||
Iron Mountain, Inc., | |||
4.88%, 9/15/29(b) | $190,000 | $ 165,502 | |
5.25%, 7/15/30(b) | 55,000 | 47,744 | |
4.50%, 2/15/31(b) | 85,000 | 69,528 | |
Kilroy Realty L.P., | |||
2.50%, 11/15/32 | 15,000 | 9,925 | |
2.65%, 11/15/33 | 35,000 | 22,871 | |
Mid-America Apartments L.P., 3.60%, 6/01/27 | 47,000 | 43,674 | |
MPT Operating Partnership L.P./MPT Finance Corp., 3.50%, 3/15/31 | 145,000 | 87,907 | |
NNN REIT, Inc., 5.60%, 10/15/33 | 50,000 | 46,086 | |
Prologis L.P., 3.88%, 9/15/28 | 71,000 | 65,144 | |
Realty Income Corp., | |||
5.05%, 1/13/26 | 34,000 | 33,391 | |
4.13%, 10/15/26 | 73,000 | 69,445 | |
3.95%, 8/15/27 | 62,000 | 57,569 | |
Rexford Industrial Realty L.P., 2.15%, 9/01/31 | 130,000 | 94,197 | |
Service Properties Trust, | |||
7.50%, 9/15/25 | 110,000 | 106,873 | |
4.75%, 10/01/26 | 80,000 | 68,023 | |
3.95%, 1/15/28 | 30,000 | 22,431 | |
STORE Capital Corp., 2.70%, 12/01/31 | 73,000 | 48,929 | |
Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC, 4.75%, 4/15/28(b) | 125,000 | 101,022 | |
Welltower OP LLC, 2.75%, 1/15/31 | 55,000 | 43,176 | |
Weyerhaeuser Co., 4.00%, 3/09/52 | 27,000 | 18,419 | |
2,448,308 | |||
Real Estate Services – 0.1% | |||
CBRE Services, Inc., 5.95%, 8/15/34 | 43,000 | 39,095 | |
Realogy Group LLC/Realogy Co-Issuer Corp., | |||
5.75%, 1/15/29(b) | 120,000 | 75,623 | |
5.25%, 4/15/30(b) | 65,000 | 40,471 | |
155,189 | |||
Retail - Consumer Staples – 0.1% | |||
Dollar General Corp., 5.20%, 7/05/28 | 35,000 | 33,625 |
Par (a) | Value | ||
Retail - Consumer Staples (Continued) | |||
Target Corp., 4.40%, 1/15/33 | $ 82,000 | $ 73,942 | |
Walmart, Inc., 4.10%, 4/15/33 | 116,000 | 103,838 | |
211,405 | |||
Retail - Discretionary – 1.1% | |||
Asbury Automotive Group, Inc., | |||
4.50%, 3/01/28 | 94,000 | 83,290 | |
4.63%, 11/15/29(b) | 160,000 | 135,343 | |
4.75%, 3/01/30 | 27,000 | 22,912 | |
AutoZone, Inc., 6.25%, 11/01/28 | 27,000 | 27,272 | |
Bath & Body Works, Inc., | |||
5.25%, 2/01/28 | 40,000 | 36,678 | |
6.63%, 10/01/30(b) | 10,000 | 9,258 | |
6.88%, 11/01/35 | 35,000 | 30,886 | |
6.75%, 7/01/36 | 75,000 | 64,693 | |
Beacon Roofing Supply, Inc., 6.50%, 8/01/30(b) | 145,000 | 138,453 | |
Builders FirstSource, Inc., | |||
5.00%, 3/01/30(b) | 55,000 | 47,997 | |
4.25%, 2/01/32(b) | 70,000 | 55,710 | |
Foundation Building Materials, Inc., 6.00%, 3/01/29(b) | 240,000 | 197,974 | |
Home Depot (The), Inc., | |||
2.70%, 4/15/30 | 191,000 | 159,924 | |
3.25%, 4/15/32 | 20,000 | 16,651 | |
3.30%, 4/15/40 | 65,000 | 45,956 | |
3.63%, 4/15/52 | 21,000 | 13,985 | |
4.95%, 9/15/52 | 20,000 | 16,834 | |
Ken Garff Automotive LLC, 4.88%, 9/15/28(b) | 60,000 | 50,742 | |
LBM Acquisition LLC, 6.25%, 1/15/29(b) | 105,000 | 82,950 | |
Lithia Motors, Inc., 4.38%, 1/15/31(b) | 55,000 | 44,530 | |
Lowe's Cos., Inc., | |||
4.65%, 4/15/42 | 33,000 | 26,081 | |
5.75%, 7/01/53 | 36,000 | 31,589 | |
4.45%, 4/01/62 | 28,000 | 19,117 | |
5.80%, 9/15/62 | 33,000 | 27,962 | |
5.85%, 4/01/63 | 27,000 | 23,035 | |
Michaels (The) Cos., Inc., 7.88%, 5/01/29(b) | 70,000 | 39,025 | |
Nordstrom, Inc., 4.25%, 8/01/31 | 15,000 | 10,989 | |
Patrick Industries, Inc., 4.75%, 5/01/29(b) | 105,000 | 85,206 |
Par (a) | Value | ||
Retail - Discretionary (Continued) | |||
Sonic Automotive, Inc., | |||
4.63%, 11/15/29(b) | $130,000 | $ 108,219 | |
4.88%, 11/15/31(b) | 120,000 | 95,559 | |
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 9/30/26(b) | 150,000 | 139,550 | |
Victoria's Secret & Co., 4.63%, 7/15/29(b) | 5,000 | 3,676 | |
1,892,046 | |||
Semiconductors – 0.8% | |||
Advanced Micro Devices, Inc., 4.39%, 6/01/52 | 57,000 | 43,908 | |
Analog Devices, Inc., 1.70%, 10/01/28 | 43,000 | 35,973 | |
Broadcom, Inc., | |||
2.45%, 2/15/31(b) | 35,000 | 26,860 | |
3.19%, 11/15/36(b) | 260,000 | 180,065 | |
4.93%, 5/15/37(b) | 64,000 | 53,339 | |
Entegris Escrow Corp., 5.95%, 6/15/30(b) | 210,000 | 192,117 | |
Intel Corp., | |||
3.70%, 7/29/25 | 32,000 | 30,978 | |
5.13%, 2/10/30 | 60,000 | 58,059 | |
5.20%, 2/10/33 | 10,000 | 9,441 | |
2.80%, 8/12/41 | 132,000 | 82,627 | |
5.70%, 2/10/53 | 83,000 | 74,279 | |
KLA Corp., | |||
4.95%, 7/15/52 | 39,000 | 32,676 | |
5.25%, 7/15/62 | 40,000 | 33,897 | |
Micron Technology, Inc., 6.75%, 11/01/29 | 170,000 | 170,827 | |
QUALCOMM, Inc., 6.00%, 5/20/53 | 96,000 | 92,387 | |
Texas Instruments, Inc., | |||
3.88%, 3/15/39 | 90,000 | 71,536 | |
5.00%, 3/14/53 | 25,000 | 21,289 | |
5.05%, 5/18/63 | 55,000 | 45,798 | |
1,256,056 | |||
Software – 0.7% | |||
Cloud Software Group, Inc., 6.50%, 3/31/29(b) | 180,000 | 158,030 | |
Concentrix Corp., | |||
6.60%, 8/02/28 | 41,000 | 39,362 | |
6.85%, 8/02/33 | 129,000 | 116,535 | |
GoTo Group, Inc., 5.50%, 9/01/27(b) | 165,000 | 86,043 | |
Intuit, Inc., | |||
5.20%, 9/15/33 | 107,000 | 101,786 | |
5.50%, 9/15/53 | 136,000 | 123,719 |
Par (a) | Value | ||
Software (Continued) | |||
Microsoft Corp., | |||
3.45%, 8/08/36 | $ 19,000 | $ 15,493 | |
2.53%, 6/01/50 | 14,000 | 8,014 | |
2.92%, 3/17/52 | 28,000 | 17,285 | |
Oracle Corp., | |||
2.95%, 5/15/25 | 37,000 | 35,413 | |
2.80%, 4/01/27 | 53,000 | 47,952 | |
3.25%, 11/15/27 | 122,000 | 110,454 | |
2.30%, 3/25/28 | 68,000 | 58,388 | |
6.15%, 11/09/29 | 47,000 | 47,170 | |
4.30%, 7/08/34 | 58,000 | 48,345 | |
3.80%, 11/15/37 | 16,000 | 11,774 | |
4.00%, 11/15/47 | 33,000 | 21,940 | |
6.90%, 11/09/52 | 51,000 | 50,256 | |
4.38%, 5/15/55 | 24,000 | 16,238 | |
3.85%, 4/01/60 | 43,000 | 25,809 | |
1,140,006 | |||
Specialty Finance – 1.9% | |||
Aircastle Ltd., | |||
(5Y US Treasury CMT + 4.41%), 5.25%, 6/15/26(b)(g)(h) | 55,000 | 43,128 | |
6.50%, 7/18/28(b) | 65,000 | 62,603 | |
American Express Co., | |||
(SOFR + 1.00%), 4.99%, 5/01/26(h) | 27,000 | 26,482 | |
(SOFR + 1.33%), 6.34%, 10/30/26(h) | 109,000 | 109,309 | |
(SOFR + 1.28%), 5.28%, 7/27/29(h) | 74,000 | 71,033 | |
(SOFR + 1.94%), 6.49%, 10/30/31(h) | 64,000 | 64,096 | |
Capital One Financial Corp., (SOFR + 1.79%), 3.27%, 3/01/30(h) | 92,000 | 75,441 | |
Discover Financial Services, | |||
4.10%, 2/09/27 | 34,000 | 30,519 | |
6.70%, 11/29/32 | 11,000 | 10,191 | |
(SOFR Index + 3.37%), 7.96%, 11/02/34(h) | 89,000 | 88,380 | |
GATX Corp., 6.90%, 5/01/34 | 94,000 | 93,762 | |
Nationstar Mortgage Holdings, Inc., | |||
5.00%, 2/01/26(b) | 100,000 | 92,950 | |
6.00%, 1/15/27(b) | 175,000 | 162,666 | |
5.13%, 12/15/30(b) | 80,000 | 64,735 | |
5.75%, 11/15/31(b) | 145,000 | 120,763 | |
Navient Corp., | |||
5.00%, 3/15/27 | 300,000 | 263,499 | |
4.88%, 3/15/28 | 115,000 | 94,452 |
Par (a) | Value | ||
Specialty Finance (Continued) | |||
OneMain Finance Corp., | |||
6.88%, 3/15/25 | $100,000 | $ 98,659 | |
7.13%, 3/15/26 | 140,000 | 135,968 | |
3.50%, 1/15/27 | 155,000 | 130,975 | |
3.88%, 9/15/28 | 15,000 | 11,860 | |
5.38%, 11/15/29 | 40,000 | 32,889 | |
4.00%, 9/15/30 | 170,000 | 124,355 | |
Penske Truck Leasing Co. L.P./PTL Finance Corp., 4.20%, 4/01/27(b) | 92,000 | 85,481 | |
Provident Funding Associates L.P./PFG Finance Corp., 6.38%, 6/15/25(b) | 105,000 | 93,450 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., | |||
2.88%, 10/15/26(b) | 110,000 | 95,763 | |
2.88%, 10/15/26 | 15,000 | 13,059 | |
3.63%, 3/01/29(b) | 40,000 | 32,508 | |
3.63%, 3/01/29 | 80,000 | 65,015 | |
3.88%, 3/01/31(b) | 290,000 | 224,257 | |
4.00%, 10/15/33(b) | 565,000 | 415,275 | |
Synchrony Financial, 7.25%, 2/02/33 | 70,000 | 59,361 | |
3,092,884 | |||
Steel – 0.2% | |||
ATI, Inc., | |||
4.88%, 10/01/29 | 50,000 | 42,581 | |
7.25%, 8/15/30 | 95,000 | 91,455 | |
Commercial Metals Co., 4.13%, 1/15/30 | 120,000 | 101,276 | |
Nucor Corp., 4.30%, 5/23/27 | 39,000 | 37,227 | |
United States Steel Corp., 6.88%, 3/01/29 | 22,000 | 21,373 | |
293,912 | |||
Technology Hardware – 0.7% | |||
Avnet, Inc., | |||
6.25%, 3/15/28 | 45,000 | 44,404 | |
5.50%, 6/01/32 | 52,000 | 46,430 | |
CDW LLC/CDW Finance Corp., 4.25%, 4/01/28 | 5,000 | 4,545 | |
CommScope Technologies LLC, 5.00%, 3/15/27(b) | 625,000 | 230,019 | |
CommScope, Inc., 4.75%, 9/01/29(b) | 15,000 | 10,237 | |
HP, Inc., 2.65%, 6/17/31 | 65,000 | 49,605 | |
NCR Atleos Escrow Corp., 9.50%, 4/01/29(b) | 260,000 | 254,860 |
Par (a) | Value | ||
Technology Hardware (Continued) | |||
NCR Voyix Corp., | |||
5.00%, 10/01/28(b) | $255,000 | $ 220,167 | |
5.13%, 4/15/29(b) | 70,000 | 60,194 | |
Seagate HDD Cayman, | |||
4.88%, 6/01/27 | 25,000 | 23,479 | |
4.09%, 6/01/29 | 70,000 | 60,350 | |
8.25%, 12/15/29(b) | 95,000 | 96,542 | |
9.63%, 12/01/32(b) | 3,825 | 4,078 | |
Viasat, Inc., 6.50%, 7/15/28(b) | 65,000 | 46,078 | |
Western Digital Corp., | |||
4.75%, 2/15/26 | 40,000 | 37,507 | |
3.10%, 2/01/32 | 25,000 | 17,671 | |
1,206,166 | |||
Technology Services – 1.0% | |||
Block, Inc., 2.75%, 6/01/26 | 165,000 | 148,065 | |
Booz Allen Hamilton, Inc., | |||
3.88%, 9/01/28(b) | 66,000 | 58,976 | |
4.00%, 7/01/29(b) | 216,000 | 190,620 | |
Dun & Bradstreet (The) Corp., 5.00%, 12/15/29(b) | 55,000 | 47,317 | |
Fiserv, Inc., | |||
5.45%, 3/02/28 | 39,000 | 38,230 | |
3.50%, 7/01/29 | 111,000 | 97,370 | |
2.65%, 6/01/30 | 15,000 | 12,088 | |
5.63%, 8/21/33 | 80,000 | 75,039 | |
Gartner, Inc., 3.75%, 10/01/30(b) | 90,000 | 74,492 | |
Global Payments, Inc., | |||
4.45%, 6/01/28 | 131,000 | 120,608 | |
5.95%, 8/15/52 | 24,000 | 20,262 | |
GTCR W-2 Merger Sub LLC, 7.50%, 1/15/31(b) | 201,000 | 198,457 | |
International Business Machines Corp., 4.15%, 7/27/27 | 36,000 | 34,115 | |
Moody's Corp., 3.75%, 3/24/25 | 50,000 | 48,540 | |
Neptune Bidco U.S., Inc., 9.29%, 4/15/29(b) | 120,000 | 105,906 | |
PayPal Holdings, Inc., | |||
2.85%, 10/01/29 | 12,000 | 10,206 | |
2.30%, 6/01/30 | 60,000 | 48,103 | |
4.40%, 6/01/32 | 15,000 | 13,442 | |
5.25%, 6/01/62 | 26,000 | 21,528 | |
Paysafe Finance PLC/Paysafe Holdings U.S. Corp., 4.00%, 6/15/29(b) | 60,000 | 48,234 |
Par (a) | Value | ||
Technology Services (Continued) | |||
Presidio Holdings, Inc., | |||
4.88%, 2/01/27(b) | $ 30,000 | $ 27,486 | |
8.25%, 2/01/28(b) | 30,000 | 28,390 | |
S&P Global, Inc., | |||
2.45%, 3/01/27 | 68,000 | 61,535 | |
2.70%, 3/01/29 | 34,000 | 29,483 | |
1.25%, 8/15/30 | 32,000 | 23,793 | |
2.90%, 3/01/32 | 94,000 | 75,422 | |
5.25%, 9/15/33(b) | 33,000 | 31,136 | |
Sabre GLBL, Inc., 11.25%, 12/15/27(b) | 40,000 | 35,619 | |
1,724,462 | |||
Telecommunications – 1.1% | |||
AT&T, Inc., | |||
5.40%, 2/15/34 | 25,000 | 22,971 | |
3.50%, 6/01/41 | 127,000 | 84,905 | |
3.50%, 9/15/53 | 54,000 | 31,798 | |
3.80%, 12/01/57 | 132,000 | 79,491 | |
3.65%, 9/15/59 | 210,000 | 121,498 | |
Frontier Communications Holdings LLC, | |||
5.88%, 10/15/27(b) | 185,000 | 168,659 | |
5.00%, 5/01/28(b) | 235,000 | 202,897 | |
8.75%, 5/15/30(b) | 60,000 | 57,165 | |
Level 3 Financing, Inc., | |||
4.25%, 7/01/28(b) | 45,000 | 25,446 | |
3.63%, 1/15/29(b) | 125,000 | 63,837 | |
Lumen Technologies, Inc., 4.00%, 2/15/27(b) | 85,000 | 57,375 | |
Sprint Capital Corp., | |||
6.88%, 11/15/28 | 61,000 | 62,560 | |
8.75%, 3/15/32 | 157,000 | 176,726 | |
T-Mobile USA, Inc., | |||
2.25%, 2/15/26 | 97,000 | 89,226 | |
2.63%, 4/15/26 | 45,000 | 41,590 | |
2.63%, 2/15/29 | 24,000 | 20,121 | |
3.38%, 4/15/29 | 60,000 | 52,240 | |
2.88%, 2/15/31 | 63,000 | 50,167 | |
2.55%, 2/15/31 | 23,000 | 17,920 | |
3.50%, 4/15/31 | 209,000 | 173,502 | |
6.00%, 6/15/54 | 47,000 | 42,674 | |
5.80%, 9/15/62 | 21,000 | 18,096 | |
Verizon Communications, Inc., | |||
1.75%, 1/20/31 | 26,000 | 19,225 | |
2.55%, 3/21/31 | 27,000 | 21,094 | |
4.40%, 11/01/34 | 107,000 | 90,584 | |
4.81%, 3/15/39 | 116,000 | 96,131 | |
1,887,898 |
Par (a) | Value | ||
Tobacco & Cannabis – 0.1% | |||
Altria Group, Inc., 6.20%, 11/01/28 | $ 60,000 | $ 59,666 | |
Philip Morris International, Inc., 5.38%, 2/15/33 | 100,000 | 92,390 | |
152,056 | |||
Transportation & Logistics – 1.5% | |||
Allegiant Travel Co., 7.25%, 8/15/27(b) | 80,000 | 72,400 | |
American Airlines Pass Through Trust, | |||
Series 2015-2, Class AA, 3.60%, 9/22/27 | 7,092 | 6,465 | |
Series 2015-2, Class A, 4.00%, 9/22/27 | 45,130 | 40,405 | |
Series 2016-1, Class AA, 3.58%, 1/15/28 | 3,334 | 3,039 | |
Series 2016-2, Class AA, 3.20%, 6/15/28 | 18,819 | 16,596 | |
Series 2016-2, Class A, 3.65%, 6/15/28 | 12,546 | 10,903 | |
Series 2016-3, Class A, 3.25%, 10/15/28 | 76,031 | 64,508 | |
Series 2017-2, Class AA, 3.35%, 10/15/29 | 224,745 | 197,168 | |
Series 2019-1, Class AA, 3.15%, 2/15/32 | 4,861 | 4,051 | |
Series 2019-1, Class A, 3.50%, 2/15/32 | 132,053 | 105,367 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 4/20/29(b) | 645,000 | 581,825 | |
Burlington Northern Santa Fe LLC, | |||
4.40%, 3/15/42 | 65,000 | 51,531 | |
4.38%, 9/01/42 | 12,000 | 9,454 | |
4.45%, 3/15/43 | 2,000 | 1,583 | |
5.15%, 9/01/43 | 39,000 | 33,930 | |
4.90%, 4/01/44 | 35,000 | 29,386 | |
3.90%, 8/01/46 | 42,000 | 29,760 | |
3.30%, 9/15/51 | 19,000 | 11,843 | |
5.20%, 4/15/54 | 64,000 | 55,262 | |
CSX Corp., | |||
5.20%, 11/15/33 | 24,000 | 22,525 | |
4.50%, 11/15/52 | 52,000 | 39,670 | |
4.65%, 3/01/68 | 67,000 | 49,661 | |
Delta Air Lines Pass Through Trust, | |||
Series 2015-1, Class A, 3.88%, 7/30/27 | 7,818 | 7,036 | |
Series 2020-1, Class A, 2.50%, 6/10/28 | 39,362 | 34,117 |
Par (a) | Value | ||
Transportation & Logistics (Continued) | |||
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28(b) | $ 16,073 | $ 15,108 | |
FedEx Corp., 4.55%, 4/01/46 | 23,000 | 17,350 | |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 6/20/27(b) | 48,749 | 48,158 | |
Norfolk Southern Corp., | |||
2.55%, 11/01/29 | 24,000 | 19,915 | |
5.05%, 8/01/30 | 39,000 | 36,871 | |
3.95%, 10/01/42 | 61,000 | 44,441 | |
2.90%, 8/25/51 | 24,000 | 13,343 | |
5.35%, 8/01/54 | 60,000 | 51,205 | |
Rand Parent LLC, 8.50%, 2/15/30(b) | 380,000 | 347,014 | |
Ryder System, Inc., | |||
6.30%, 12/01/28 | 49,000 | 48,815 | |
6.60%, 12/01/33 | 61,000 | 60,547 | |
U.S. Airways Pass Through Trust, | |||
Series 2012-2, Class A, 4.63%, 6/03/25 | 42,823 | 40,753 | |
Series 2013-1, Class A, 3.95%, 11/15/25 | 56,309 | 53,107 | |
Union Pacific Corp., | |||
3.38%, 2/01/35 | 13,000 | 10,167 | |
3.60%, 9/15/37 | 14,000 | 10,764 | |
3.55%, 8/15/39 | 59,000 | 43,438 | |
3.80%, 10/01/51 | 27,000 | 18,655 | |
3.88%, 2/01/55 | 9,000 | 6,078 | |
3.95%, 8/15/59 | 20,000 | 13,424 | |
3.84%, 3/20/60 | 50,000 | 32,932 | |
3.75%, 2/05/70 | 7,000 | 4,344 | |
United Airlines Pass Through Trust, | |||
Series 2020-1, Class A, 5.88%, 10/15/27 | 42,054 | 41,404 | |
Series 2016-1, Class A, 3.45%, 7/07/28 | 62,190 | 54,447 | |
Series 2016-2, Class AA, 2.88%, 10/07/28 | 2,751 | 2,386 | |
Series 2018-1, Class AA, 3.50%, 3/01/30 | 44,054 | 38,955 | |
Series 2018-1, Class A, 3.70%, 3/01/30 | 9,115 | 7,663 | |
Series 2019-1, Class AA, 4.15%, 8/25/31 | 17,447 | 15,446 | |
2,575,215 |
Par (a) | Value | ||
Transportation Equipment – 0.1% | |||
Allison Transmission, Inc., 4.75%, 10/01/27(b) | $155,000 | $ 141,354 | |
Total Corporate Bonds (Cost $79,052,063) | 71,219,501 | ||
Foreign Issuer Bonds – 48.1% | |||
Angola – 0.5% | |||
Angolan Government International Bond, | |||
8.25%, 5/09/28(b) | 460,000 | 388,700 | |
8.00%, 11/26/29 | 200,000 | 160,096 | |
8.75%, 4/14/32(b) | 270,000 | 209,822 | |
758,618 | |||
Argentina – 0.3% | |||
Argentine Republic Government International Bond, | |||
(Step to 4.13% on 7/9/24), 3.63%, 7/09/35(d) | 640,380 | 157,123 | |
(Step to 5.00% on 7/9/24), 4.25%, 1/09/38(d) | 204,592 | 61,526 | |
(Step to 4.88% on 7/9/29), 3.50%, 7/09/41(d) | 751,974 | 196,135 | |
414,784 | |||
Australia – 0.5% | |||
BHP Billiton Finance USA Ltd., | |||
5.25%, 9/08/30 | 62,000 | 59,637 | |
4.90%, 2/28/33 | 79,000 | 73,061 | |
5.25%, 9/08/33 | 68,000 | 63,914 | |
5.50%, 9/08/53 | 19,000 | 17,271 | |
CSL Finance PLC, 4.95%, 4/27/62(b) | 31,000 | 24,295 | |
Mineral Resources Ltd., | |||
8.13%, 5/01/27(b) | 110,000 | 107,014 | |
8.00%, 11/01/27(b) | 90,000 | 86,966 | |
9.25%, 10/01/28(b) | 125,000 | 125,000 | |
NBN Co. Ltd., 2.50%, 1/08/32(b) | 200,000 | 152,400 | |
Newcrest Finance Pty. Ltd., | |||
3.25%, 5/13/30(b) | 36,000 | 30,203 | |
4.20%, 5/13/50(b) | 41,000 | 29,298 | |
Rio Tinto Finance USA Ltd., 2.75%, 11/02/51 | 35,000 | 19,487 | |
Rio Tinto Finance USA PLC, | |||
5.00%, 3/09/33 | 22,000 | 20,617 | |
5.13%, 3/09/53 | 63,000 | 54,258 | |
863,421 |
Par (a) | Value | ||
Azerbaijan – 0.1% | |||
Republic of Azerbaijan International Bond, 3.50%, 9/01/32 | $ 250,000 | $ 196,000 | |
Bahrain – 0.7% | |||
Bahrain Government International Bond, | |||
6.75%, 9/20/29 | 800,000 | 774,720 | |
5.63%, 5/18/34 | 200,000 | 164,505 | |
7.75%, 4/18/35(b) | 250,000 | 239,719 | |
1,178,944 | |||
Belgium – 0.1% | |||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 2/01/46 | 197,000 | 164,057 | |
Anheuser-Busch InBev Worldwide, Inc., 4.38%, 4/15/38 | 93,000 | 76,929 | |
240,986 | |||
Brazil – 3.7% | |||
Acu Petroleo Luxembourg S.a.r.l., 7.50%, 1/13/32(b) | 245,405 | 221,467 | |
Aegea Finance S.a.r.l., 9.00%, 1/20/31(b) | 200,000 | 199,500 | |
Braskem Netherlands Finance B.V., 8.50%, 1/12/31(b) | 200,000 | 187,240 | |
Brazil Notas do Tesouro Nacional, Serie F, | |||
10.00%, 1/01/25 | BRL | 8,477,000 | 1,660,367 |
10.00%, 1/01/27 | BRL | 5,982,000 | 1,147,284 |
10.00%, 1/01/29 | BRL | 8,232,000 | 1,537,287 |
10.00%, 1/01/31 | BRL | 446,000 | 81,373 |
Brazilian Government International Bond, | |||
3.75%, 9/12/31 | 250,000 | 207,249 | |
6.00%, 10/20/33 | 400,000 | 370,068 | |
CSN Resources S.A., 4.63%, 6/10/31(b) | 200,000 | 149,072 | |
Embraer Netherlands Finance B.V., 7.00%, 7/28/30(b) | 200,000 | 195,278 | |
Minerva Luxembourg S.A., 8.88%, 9/13/33(b) | 200,000 | 196,290 | |
6,152,475 | |||
Canada – 1.6% | |||
1011778 B.C. ULC/New Red Finance, Inc., | |||
3.88%, 1/15/28(b) | 475,000 | 424,079 | |
3.50%, 2/15/29(b) | 40,000 | 34,199 | |
Bank of Montreal, 3.70%, 6/07/25 | 68,000 | 65,545 |
Par (a) | Value | ||
Canada (Continued) | |||
Bank of Nova Scotia (The), | |||
4.85%, 2/01/30 | $ 44,000 | $ 40,460 | |
(5Y US Treasury CMT + 2.05%), 4.59%, 5/04/37(h) | 121,000 | 97,849 | |
Baytex Energy Corp., | |||
8.75%, 4/01/27(b) | 165,000 | 166,299 | |
8.50%, 4/30/30(b) | 45,000 | 44,570 | |
Bell Telephone Co. of Canada or Bell Canada, 5.10%, 5/11/33 | 115,000 | 104,707 | |
Bombardier, Inc., | |||
7.13%, 6/15/26(b) | 380,000 | 365,631 | |
6.00%, 2/15/28(b) | 35,000 | 30,971 | |
Brookfield Finance, Inc., 3.63%, 2/15/52 | 76,000 | 44,988 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.88%, 2/15/30(b) | 70,000 | 53,232 | |
Canadian National Railway Co., 2.75%, 3/01/26 | 95,000 | 89,214 | |
Canadian Pacific Railway Co., 2.88%, 11/15/29 | 29,000 | 24,443 | |
Enbridge, Inc., | |||
5.70%, 3/08/33 | 59,000 | 55,167 | |
(5Y US Treasury CMT + 3.71%), 7.38%, 1/15/83(h) | 25,000 | 23,128 | |
(5Y US Treasury CMT + 4.42%), 7.63%, 1/15/83(h) | 24,000 | 21,467 | |
GFL Environmental, Inc., 4.00%, 8/01/28(b) | 80,000 | 68,847 | |
Intact Financial Corp., 5.46%, 9/22/32(b) | 71,000 | 65,754 | |
MEG Energy Corp., 5.88%, 2/01/29(b) | 30,000 | 28,035 | |
Nutrien Ltd., | |||
5.95%, 11/07/25 | 24,000 | 24,000 | |
4.90%, 3/27/28 | 19,000 | 18,201 | |
2.95%, 5/13/30 | 179,000 | 147,335 | |
5.88%, 12/01/36 | 7,000 | 6,488 | |
5.80%, 3/27/53 | 9,000 | 7,864 | |
Open Text Corp., 6.90%, 12/01/27(b) | 130,000 | 129,356 | |
Open Text Holdings, Inc., 4.13%, 2/15/30(b) | 5,000 | 4,143 | |
Parkland Corp., | |||
5.88%, 7/15/27(b) | 95,000 | 90,958 | |
4.50%, 10/01/29(b) | 85,000 | 73,108 |
Par (a) | Value | ||
Canada (Continued) | |||
Precision Drilling Corp., 6.88%, 1/15/29(b) | $ 55,000 | $ 50,925 | |
Strathcona Resources Ltd., 6.88%, 8/01/26(b) | 60,000 | 55,350 | |
Telesat Canada/Telesat LLC, 5.63%, 12/06/26(b) | 80,000 | 51,063 | |
Toronto-Dominion Bank (The), | |||
4.11%, 6/08/27 | 72,000 | 67,502 | |
5.52%, 7/17/28 | 57,000 | 55,571 | |
Triton Container International Ltd., 3.15%, 6/15/31(b) | 49,000 | 35,703 | |
2,666,152 | |||
Chile – 1.1% | |||
Bonos de la Tesoreria de la Republica en pesos, | |||
5.00%, 10/01/28(b) | CLP | 95,000,000 | 98,899 |
4.70%, 9/01/30(b) | CLP | 420,000,000 | 419,576 |
6.00%, 4/01/33(b) | CLP | 115,000,000 | 123,439 |
5.00%, 3/01/35 | CLP | 100,000,000 | 99,149 |
Chile Government International Bond, | |||
2.75%, 1/31/27 | 200,000 | 182,747 | |
2.55%, 7/27/33 | 200,000 | 149,723 | |
4.95%, 1/05/36 | 400,000 | 355,101 | |
Corp. Nacional del Cobre de Chile, 3.00%, 9/30/29 | 200,000 | 165,944 | |
Empresa Nacional del Petroleo, 6.15%, 5/10/33(b) | 200,000 | 185,529 | |
1,780,107 | |||
China – 1.2% | |||
Agile Group Holdings Ltd., 6.05%, 10/13/25 | 205,000 | 17,425 | |
China Evergrande Group, 8.75%, 6/28/25(j) | 200,000 | 3,000 | |
China Government Bond, | |||
3.27%, 11/19/30 | CNH | 2,860,000 | 407,252 |
2.60%, 9/01/32 | CNH | 5,280,000 | 712,370 |
2.67%, 5/25/33 | CNH | 4,350,000 | 590,599 |
Fantasia Holdings Group Co. Ltd., 11.88%, 6/01/23(j) | 200,000 | 4,000 | |
NXP B.V./NXP Funding LLC/NXP USA, Inc., | |||
4.30%, 6/18/29 | 63,000 | 56,847 | |
5.00%, 1/15/33 | 62,000 | 55,278 | |
3.13%, 2/15/42 | 23,000 | 14,253 | |
3.25%, 11/30/51 | 55,000 | 31,136 |
Par (a) | Value | ||
China (Continued) | |||
Sunac China Holdings Ltd., 6.50%, 1/26/26 | $ 200,000 | $ 31,000 | |
Times China Holdings Ltd., 6.20%, 3/22/26(j) | 215,000 | 4,300 | |
Yuzhou Group Holdings Co. Ltd., 6.35%, 1/31/27(j) | 200,000 | 12,000 | |
Zhenro Properties Group Ltd., 6.63%, 1/07/26(j) | 200,000 | 1,000 | |
1,940,460 | |||
Colombia – 1.6% | |||
Colombia Government International Bond, | |||
3.88%, 4/25/27 | 200,000 | 182,043 | |
7.50%, 2/02/34 | 400,000 | 374,075 | |
7.38%, 9/18/37 | 350,000 | 315,037 | |
Colombian TES, | |||
7.50%, 8/26/26 | COP | 205,200,000 | 45,897 |
6.00%, 4/28/28 | COP | 1,425,600,000 | 287,024 |
7.75%, 9/18/30 | COP | 1,803,600,000 | 367,585 |
7.00%, 6/30/32 | COP | 2,029,800,000 | 373,279 |
6.25%, 7/09/36 | COP | 500,100,000 | 78,228 |
Ecopetrol S.A., | |||
8.63%, 1/19/29 | 310,000 | 309,163 | |
8.88%, 1/13/33 | 170,000 | 163,268 | |
Gran Tierra Energy, Inc., 9.50%, 10/15/29(b) | 200,000 | 171,782 | |
2,667,381 | |||
Czech Republic – 1.3% | |||
Czech Republic Government Bond, | |||
1.25%, 2/14/25 | CZK | 8,090,000 | 331,970 |
1.00%, 6/26/26 | CZK | 6,500,000 | 255,801 |
0.25%, 2/10/27 | CZK | 6,000,000 | 225,790 |
5.50%, 12/12/28 | CZK | 3,810,000 | 172,255 |
2.75%, 7/23/29 | CZK | 8,230,000 | 323,565 |
0.95%, 5/15/30 | CZK | 8,670,000 | 298,613 |
1.75%, 6/23/32 | CZK | 5,220,000 | 180,214 |
2.00%, 10/13/33 | CZK | 10,070,000 | 344,131 |
2,132,339 | |||
Dominican Republic – 0.7% | |||
Dominican Republic International Bond, | |||
6.00%, 7/19/28 | 150,000 | 141,990 | |
5.50%, 2/22/29(b) | 200,000 | 182,010 | |
4.50%, 1/30/30(b) | 605,000 | 511,987 | |
4.88%, 9/23/32(b) | 200,000 | 161,617 | |
6.85%, 1/27/45 | 225,000 | 187,235 | |
1,184,839 |
Par (a) | Value | ||
Ecuador – 0.3% | |||
Ecuador Government International Bond, | |||
(Step to 6.90% on 7/31/24), 6.00%, 7/31/30(d) | $230,519 | $ 116,625 | |
(Step to 5.50% on 7/31/24), 3.50%, 7/31/35(b)(d) | 566,291 | 214,254 | |
(Step to 5.00% on 7/31/24), 2.50%, 7/31/40(d) | 400,000 | 133,779 | |
464,658 | |||
Egypt – 0.8% | |||
Egypt Government International Bond, | |||
5.88%, 2/16/31 | 400,000 | 220,220 | |
7.05%, 1/15/32(b) | 535,000 | 301,323 | |
7.30%, 9/30/33 | 280,000 | 155,180 | |
8.50%, 1/31/47 | 800,000 | 418,702 | |
7.50%, 2/16/61 | 300,000 | 149,238 | |
1,244,663 | |||
El Salvador – 0.2% | |||
El Salvador Government International Bond, | |||
6.38%, 1/18/27 | 30,000 | 24,491 | |
8.25%, 4/10/32 | 110,000 | 86,181 | |
7.12%, 1/20/50 | 450,000 | 280,770 | |
391,442 | |||
France – 0.2% | |||
Altice France S.A., | |||
8.13%, 2/01/27(b) | 200,000 | 168,593 | |
5.13%, 1/15/29(b) | 290,000 | 200,144 | |
Orange S.A., 9.00%, 3/01/31 | 37,000 | 42,387 | |
411,124 | |||
Gabon – 0.3% | |||
Gabon Government International Bond, 6.63%, 2/06/31 | 600,000 | 426,649 | |
Germany – 0.4% | |||
BMW U.S. Capital LLC, 5.15%, 8/11/33(b) | 56,000 | 51,738 | |
Deutsche Bank A.G., (5Y USD Swap Rate + 2.55%), 4.88%, 12/01/32(h) | 400,000 | 336,811 |
Par (a) | Value | ||
Germany (Continued) | |||
Deutsche Telekom International Finance B.V., 4.38%, 6/21/28(b) | $ 150,000 | $ 140,742 | |
ZF North America Capital, Inc., 6.88%, 4/14/28(b) | 150,000 | 145,357 | |
674,648 | |||
Ghana – 0.4% | |||
Ghana Government International Bond, | |||
6.38%, 2/11/27 | 260,000 | 111,116 | |
7.75%, 4/07/29 | 200,000 | 85,920 | |
7.63%, 5/16/29 | 400,000 | 171,412 | |
8.13%, 3/26/32 | 325,000 | 137,829 | |
8.63%, 4/07/34 | 200,000 | 85,300 | |
8.88%, 5/07/42 | 200,000 | 83,632 | |
675,209 | |||
Guatemala – 0.4% | |||
Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.25%, 4/27/29(b) | 110,000 | 96,800 | |
Guatemala Government Bond, | |||
4.90%, 6/01/30 | 200,000 | 177,942 | |
3.70%, 10/07/33(b) | 200,000 | 147,210 | |
6.60%, 6/13/36(b) | 200,000 | 184,743 | |
606,695 | |||
Hong Kong – 0.1% | |||
Melco Resorts Finance Ltd., 5.38%, 12/04/29(b) | 200,000 | 158,311 | |
Hungary – 1.1% | |||
Hungary Government Bond, | |||
5.50%, 6/24/25 | HUF | 45,250,000 | 120,515 |
1.00%, 11/26/25 | HUF | 39,680,000 | 96,140 |
3.00%, 10/27/27 | HUF | 62,670,000 | 147,324 |
3.25%, 10/22/31 | HUF | 59,400,000 | 125,619 |
4.75%, 11/24/32 | HUF | 143,210,000 | 326,487 |
Hungary Government International Bond, | |||
6.13%, 5/22/28(b) | 210,000 | 208,173 | |
6.75%, 9/25/52(b) | 200,000 | 184,604 | |
Magyar Export-Import Bank Zrt., 6.13%, 12/04/27(b) | 400,000 | 391,242 | |
MVM Energetika Zrt, 7.50%, 6/09/28 | 200,000 | 200,357 | |
1,800,461 |
Par (a) | Value | ||
India – 0.2% | |||
Clean Renewable Power Mauritius Pte. Ltd., 4.25%, 3/25/27(b) | $ 180,000 | $ 153,247 | |
India Green Power Holdings, 4.00%, 2/22/27 | 250,000 | 214,065 | |
367,312 | |||
Indonesia – 3.4% | |||
Freeport Indonesia PT, 5.32%, 4/14/32(b) | 400,000 | 356,435 | |
Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT, | |||
4.75%, 5/15/25(b) | 200,000 | 195,800 | |
5.45%, 5/15/30(b) | 500,000 | 463,750 | |
Indonesia Government International Bond, 5.65%, 1/11/53 | 200,000 | 183,054 | |
Indonesia Treasury Bond, | |||
6.50%, 6/15/25 | IDR | 11,034,000,000 | 689,624 |
8.38%, 9/15/26 | IDR | 5,700,000,000 | 371,464 |
6.13%, 5/15/28 | IDR | 3,148,000,000 | 190,927 |
9.00%, 3/15/29 | IDR | 9,247,000,000 | 628,814 |
7.00%, 9/15/30 | IDR | 3,482,000,000 | 217,418 |
6.38%, 4/15/32 | IDR | 3,817,000,000 | 229,550 |
7.50%, 8/15/32 | IDR | 5,944,000,000 | 379,138 |
7.00%, 2/15/33 | IDR | 15,925,000,000 | 994,220 |
8.38%, 3/15/34 | IDR | 2,453,000,000 | 167,077 |
7.50%, 6/15/35 | IDR | 2,678,000,000 | 172,108 |
Perusahaan Penerbit SBSN Indonesia III, | |||
2.55%, 6/09/31 | 200,000 | 159,694 | |
4.70%, 6/06/32(b) | 200,000 | 185,235 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, 4.88%, 7/17/49 | 200,000 | 142,362 | |
5,726,670 | |||
Iraq – 0.1% | |||
Iraq International Bond, 5.80%, 1/15/28 | 140,625 | 125,367 | |
Ireland – 0.1% | |||
SMBC Aviation Capital Finance DAC, 5.70%, 7/25/33(b) | 202,000 | 182,079 | |
Israel – 1.2% | |||
Energian Israel Finance Ltd., | |||
4.88%, 3/30/26(b) | 354,568 | 313,350 | |
5.38%, 3/30/28(b) | 210,432 | 172,994 |
Par (a) | Value | ||
Israel (Continued) | |||
Leviathan Bond Ltd., | |||
6.13%, 6/30/25(b) | $100,000 | $ 93,090 | |
6.75%, 6/30/30(b) | 390,000 | 331,717 | |
Teva Pharmaceutical Finance Co. LLC, 6.15%, 2/01/36 | 60,000 | 50,399 | |
Teva Pharmaceutical Finance Netherlands III B.V., | |||
3.15%, 10/01/26 | 500,000 | 440,212 | |
7.88%, 9/15/29 | 200,000 | 197,220 | |
4.10%, 10/01/46 | 787,000 | 470,790 | |
2,069,772 | |||
Italy – 0.4% | |||
Intesa Sanpaolo S.p.A., 6.63%, 6/20/33(b) | 400,000 | 366,880 | |
Telecom Italia Capital S.A., | |||
6.38%, 11/15/33 | 70,000 | 59,690 | |
6.00%, 9/30/34 | 10,000 | 8,230 | |
7.20%, 7/18/36 | 59,000 | 51,012 | |
UniCredit S.p.A., (5Y US Treasury CMT + 4.75%), 5.46%, 6/30/35(b)(h) | 200,000 | 164,075 | |
649,887 | |||
Japan – 0.3% | |||
SoftBank Group Corp., 4.63%, 7/06/28 | 405,000 | 346,934 | |
Takeda Pharmaceutical Co. Ltd., 5.00%, 11/26/28 | 200,000 | 193,082 | |
540,016 | |||
Jordan – 0.2% | |||
Jordan Government International Bond, | |||
7.75%, 1/15/28(b) | 200,000 | 190,290 | |
7.50%, 1/13/29(b) | 200,000 | 185,763 | |
376,053 | |||
Kazakhstan – 0.6% | |||
KazMunayGas National Co. JSC, | |||
4.75%, 4/19/27(b) | 800,000 | 746,432 | |
5.38%, 4/24/30 | 200,000 | 178,900 | |
925,332 | |||
Kenya – 0.2% | |||
Republic of Kenya Government International Bond, | |||
7.00%, 5/22/27 | 200,000 | 173,588 | |
6.30%, 1/23/34 | 205,000 | 140,190 | |
313,778 |
Par (a) | Value | ||
Luxembourg – 0.1% | |||
Altice Financing S.A., 5.00%, 1/15/28(b) | $ 240,000 | $ 195,184 | |
Macau – 0.5% | |||
MGM China Holdings Ltd., 4.75%, 2/01/27 | 200,000 | 175,860 | |
Sands China Ltd., 5.65%, 8/08/28 | 200,000 | 185,012 | |
Studio City Finance Ltd., 5.00%, 1/15/29(b) | 200,000 | 143,560 | |
Wynn Macau Ltd., | |||
5.50%, 1/15/26(b) | 200,000 | 185,771 | |
5.13%, 12/15/29(b) | 200,000 | 157,013 | |
847,216 | |||
Malaysia – 2.1% | |||
Malaysia Government Bond, | |||
3.88%, 3/14/25 | MYR | 2,554,000 | 538,712 |
3.73%, 6/15/28 | MYR | 3,553,000 | 739,069 |
3.89%, 8/15/29 | MYR | 3,048,000 | 634,874 |
4.76%, 4/07/37 | MYR | 2,369,000 | 523,183 |
4.89%, 6/08/38 | MYR | 2,185,000 | 489,902 |
3.76%, 5/22/40 | MYR | 778,000 | 150,017 |
Malaysia Government Investment Issue, 3.47%, 10/15/30 | MYR | 1,720,000 | 346,756 |
3,422,513 | |||
Mexico – 4.1% | |||
Cemex S.A.B. de C.V., | |||
(5Y US Treasury CMT + 4.53%), 5.13%, 6/08/26(b)(g)(h) | 200,000 | 185,033 | |
(5Y US Treasury CMT + 5.16%), 9.13%, 12/31/49(b)(g)(h) | 275,000 | 281,912 | |
Mexican Bonos, | |||
10.00%, 12/05/24 | MXN | 8,900,900 | 487,193 |
5.00%, 3/06/25 | MXN | 4,630,800 | 238,285 |
5.75%, 3/05/26 | MXN | 7,445,100 | 371,478 |
8.50%, 5/31/29 | MXN | 14,008,700 | 722,696 |
7.75%, 5/29/31 | MXN | 11,900,900 | 575,467 |
7.50%, 5/26/33 | MXN | 7,756,800 | 359,887 |
7.75%, 11/23/34 | MXN | 8,382,900 | 391,475 |
10.00%, 11/20/36 | MXN | 1,224,400 | 67,297 |
8.50%, 11/18/38 | MXN | 10,499,200 | 508,782 |
Mexico Government International Bond, | |||
3.25%, 4/16/30 | 570,000 | 479,942 | |
6.35%, 2/09/35 | 800,000 | 764,770 | |
6.34%, 5/04/53 | 330,000 | 288,493 | |
Petroleos Mexicanos, | |||
6.88%, 8/04/26 | 470,000 | 433,970 |
Par (a) | Value | ||
Mexico (Continued) | |||
Petroleos Mexicanos, | |||
6.49%, 1/23/27 | $280,000 | $ 247,975 | |
5.35%, 2/12/28 | 99,000 | 79,911 | |
5.95%, 1/28/31 | 307,000 | 219,659 | |
6.63%, 6/15/35 | 90,000 | 59,362 | |
6,763,587 | |||
Morocco – 0.2% | |||
Morocco Government International Bond, 5.95%, 3/08/28(b) | 400,000 | 391,500 | |
Mozambique – 0.1% | |||
Mozambique International Bond, 9.00%, 9/15/31 | 200,000 | 155,340 | |
Netherlands – 0.4% | |||
Cooperatieve Rabobank U.A., (1Y US Treasury CMT + 1.75%), 4.66%, 8/22/28(b)(h) | 250,000 | 234,486 | |
Shell International Finance B.V., | |||
4.13%, 5/11/35 | 23,000 | 19,608 | |
2.88%, 11/26/41 | 29,000 | 18,751 | |
4.00%, 5/10/46 | 55,000 | 40,501 | |
3.00%, 11/26/51 | 46,000 | 27,122 | |
Ziggo Bond Co. B.V., 6.00%, 1/15/27(b) | 345,000 | 316,079 | |
656,547 | |||
Nigeria – 0.7% | |||
IHS Netherlands Holdco B.V., 8.00%, 9/18/27 | 200,000 | 163,706 | |
Nigeria Government International Bond, | |||
6.13%, 9/28/28(b) | 200,000 | 163,148 | |
8.38%, 3/24/29 | 200,000 | 176,110 | |
7.38%, 9/28/33 | 600,000 | 453,768 | |
7.70%, 2/23/38(b) | 390,000 | 277,387 | |
1,234,119 | |||
Oman – 0.6% | |||
Oman Government International Bond, | |||
6.00%, 8/01/29 | 400,000 | 388,724 | |
6.25%, 1/25/31(b) | 700,000 | 679,328 | |
1,068,052 | |||
Pakistan – 0.3% | |||
Pakistan Government International Bond, | |||
6.00%, 4/08/26(b) | 600,000 | 327,000 | |
6.88%, 12/05/27 | 335,000 | 178,857 | |
505,857 |
Par (a) | Value | ||
Panama – 0.4% | |||
Panama Government International Bond, | |||
3.16%, 1/23/30 | $ 400,000 | $ 322,722 | |
2.25%, 9/29/32 | 200,000 | 136,299 | |
6.40%, 2/14/35 | 250,000 | 229,226 | |
688,247 | |||
Paraguay – 0.1% | |||
Paraguay Government International Bond, 3.85%, 6/28/33 | 300,000 | 240,408 | |
Peru – 1.0% | |||
Peru Government Bond, | |||
6.15%, 8/12/32 | PEN | 417,000 | 99,300 |
7.30%, 8/12/33(b) | PEN | 400,000 | 102,093 |
5.40%, 8/12/34 | PEN | 525,000 | 114,174 |
Peruvian Government International Bond, | |||
2.78%, 1/23/31 | 505,000 | 404,273 | |
7.30%, 8/12/33(b) | PEN | 270,000 | 68,913 |
3.00%, 1/15/34 | 740,000 | 559,696 | |
6.90%, 8/12/37 | PEN | 1,134,000 | 273,890 |
Volcan Cia Minera S.A.A., 4.38%, 2/11/26(b) | 35,000 | 16,804 | |
1,639,143 | |||
Philippines – 0.5% | |||
Philippine Government International Bond, | |||
3.56%, 9/29/32 | 600,000 | 505,161 | |
2.95%, 5/05/45 | 200,000 | 122,401 | |
3.20%, 7/06/46 | 350,000 | 218,683 | |
846,245 | |||
Poland – 1.6% | |||
Bank Gospodarstwa Krajowego, 6.25%, 10/31/28(b) | 200,000 | 202,372 | |
Republic of Poland Government Bond, | |||
3.25%, 7/25/25 | PLN | 1,011,000 | 232,519 |
2.50%, 7/25/26 | PLN | 1,665,000 | 369,539 |
2.50%, 7/25/27 | PLN | 981,000 | 212,329 |
2.75%, 10/25/29 | PLN | 1,005,000 | 207,957 |
1.25%, 10/25/30 | PLN | 2,014,000 | 366,214 |
1.75%, 4/25/32 | PLN | 2,257,000 | 399,752 |
Republic of Poland Government International Bond, | |||
5.50%, 11/16/27 | 250,000 | 250,986 | |
4.88%, 10/04/33 | 282,000 | 261,065 | |
5.50%, 4/04/53 | 213,000 | 187,717 | |
2,690,450 |
Par (a) | Value | ||
Qatar – 0.3% | |||
Qatar Energy, | |||
2.25%, 7/12/31 | $ 350,000 | $ 273,908 | |
3.30%, 7/12/51 | 400,000 | 244,890 | |
518,798 | |||
Romania – 1.4% | |||
Romania Government Bond, | |||
4.75%, 2/24/25 | RON | 360,000 | 75,533 |
3.25%, 6/24/26 | RON | 1,710,000 | 340,344 |
5.00%, 2/12/29 | RON | 470,000 | 92,132 |
7.35%, 4/28/31 | RON | 1,605,000 | 352,957 |
6.70%, 2/25/32 | RON | 2,280,000 | 477,999 |
Romanian Government International Bond, | |||
6.63%, 2/17/28(b) | 470,000 | 470,000 | |
7.13%, 1/17/33(b) | 280,000 | 278,447 | |
7.63%, 1/17/53(b) | 170,000 | 166,989 | |
2,254,401 | |||
Saudi Arabia – 0.9% | |||
Gaci First Investment Co., | |||
4.75%, 2/14/30 | 400,000 | 376,451 | |
4.88%, 2/14/35 | 400,000 | 353,704 | |
5.13%, 2/14/53 | 200,000 | 154,750 | |
TMS Issuer S.a.r.l., 5.78%, 8/23/32 | 600,000 | 584,414 | |
1,469,319 | |||
South Africa – 2.7% | |||
Eskom Holdings SOC Ltd., | |||
8.45%, 8/10/28 | 400,000 | 379,949 | |
6.35%, 8/10/28 | 300,000 | 272,258 | |
Republic of South Africa Government Bond, | |||
10.50%, 12/21/26 | ZAR | 3,654,517 | 202,271 |
7.00%, 2/28/31 | ZAR | 12,825,574 | 544,713 |
8.25%, 3/31/32 | ZAR | 12,846,227 | 566,888 |
8.88%, 2/28/35 | ZAR | 24,404,861 | 1,042,649 |
8.50%, 1/31/37 | ZAR | 15,024,445 | 596,060 |
9.00%, 1/31/40 | ZAR | 10,406,227 | 415,132 |
Republic of South Africa Government International Bond, | |||
5.88%, 6/22/30 | 200,000 | 175,380 | |
5.65%, 9/27/47 | 200,000 | 129,848 | |
Sasol Financing USA LLC, 8.75%, 5/03/29(b) | 200,000 | 190,000 | |
4,515,148 |
Par (a) | Value | ||
South Korea – 0.2% | |||
POSCO, 5.75%, 1/17/28(b) | $ 200,000 | $ 196,920 | |
SK Hynix, Inc., 6.38%, 1/17/28(b) | 200,000 | 197,779 | |
394,699 | |||
Spain – 0.1% | |||
Banco Santander S.A., 6.94%, 11/07/33 | 200,000 | 200,539 | |
Iberdrola International B.V., 5.81%, 3/15/25 | 33,000 | 32,958 | |
233,497 | |||
Sri Lanka – 0.1% | |||
Sri Lanka Government International Bond, 6.75%, 4/18/28 | 400,000 | 198,745 | |
Switzerland – 0.3% | |||
Swiss Re Treasury U.S. Corp., 4.25%, 12/06/42(b) | 43,000 | 32,454 | |
UBS A.G., 5.65%, 9/11/28 | 200,000 | 195,724 | |
UBS Group A.G., (1Y US Treasury CMT + 1.75%), 4.75%, 5/12/28(b)(h) | 200,000 | 187,893 | |
416,071 | |||
Thailand – 1.6% | |||
Thailand Government Bond, | |||
2.13%, 12/17/26 | THB | 9,883,000 | 270,448 |
2.88%, 12/17/28 | THB | 29,638,000 | 825,288 |
1.60%, 12/17/29 | THB | 5,919,000 | 152,161 |
2.00%, 12/17/31 | THB | 20,100,000 | 512,615 |
3.78%, 6/25/32 | THB | 2,316,000 | 67,206 |
3.35%, 6/17/33 | THB | 4,551,000 | 128,507 |
1.59%, 12/17/35 | THB | 19,080,000 | 436,341 |
3.30%, 6/17/38 | THB | 8,000,000 | 214,730 |
2,607,296 | |||
Turkey – 1.0% | |||
Turkiye Government International Bond, | |||
9.88%, 1/15/28 | 220,000 | 229,933 | |
9.38%, 3/14/29 | 200,000 | 203,600 | |
9.13%, 7/13/30 | 400,000 | 399,500 | |
5.75%, 5/11/47 | 625,000 | 406,975 | |
Yapi ve Kredi Bankasi AS, 9.25%, 10/16/28(b) | 400,000 | 401,872 | |
1,641,880 | |||
Ukraine – 0.2% | |||
Ukraine Government International Bond, | |||
7.75%, 9/01/27 | 300,000 | 85,708 |
Par (a) | Value | ||
Ukraine (Continued) | |||
Ukraine Government International Bond, | |||
7.25%, 3/15/35 | $600,000 | $ 153,300 | |
7.75%, 8/01/41(c)(l) | 191,000 | 80,081 | |
319,089 | |||
United Arab Emirates – 0.7% | |||
Abu Dhabi Government International Bond, 3.13%, 9/30/49 | 200,000 | 123,055 | |
Finance Department Government of Sharjah, 6.50%, 11/23/32(b) | 400,000 | 387,032 | |
Galaxy Pipeline Assets Bidco Ltd., | |||
2.16%, 3/31/34(b) | 169,888 | 137,535 | |
2.63%, 3/31/36(b) | 350,000 | 263,674 | |
2.94%, 9/30/40(b) | 209,952 | 154,919 | |
MDGH GMTN RSC Ltd., 5.08%, 5/22/53 | 200,000 | 167,202 | |
1,233,417 | |||
United Kingdom – 0.7% | |||
BAT Capital Corp., | |||
6.42%, 8/02/33 | 50,000 | 47,116 | |
7.08%, 8/02/43 | 54,000 | 49,230 | |
7.08%, 8/02/53 | 75,000 | 66,938 | |
Coca-Cola Europacific Partners PLC, 1.50%, 1/15/27(b) | 200,000 | 173,823 | |
Jaguar Land Rover Automotive PLC, 5.50%, 7/15/29(b) | 200,000 | 172,396 | |
LSEGA Financing PLC, 1.38%, 4/06/26(b) | 200,000 | 179,498 | |
RELX Capital, Inc., 4.00%, 3/18/29 | 39,000 | 35,909 | |
Reynolds American, Inc., 5.85%, 8/15/45 | 16,000 | 12,508 | |
Virgin Media Secured Finance PLC, 5.50%, 5/15/29(b) | 250,000 | 221,374 | |
Vodafone Group PLC, | |||
5.13%, 6/19/59 | 22,000 | 16,550 | |
5.75%, 2/10/63 | 28,000 | 23,331 | |
(5Y US Treasury CMT + 3.07%), 5.13%, 6/04/81(h) | 155,000 | 98,466 | |
1,097,139 | |||
Uruguay – 0.3% | |||
Uruguay Government International Bond, | |||
4.38%, 1/23/31 | 225,000 | 212,536 |
Par (a) | Value | ||
Uruguay (Continued) | |||
Uruguay Government International Bond, | |||
5.75%, 10/28/34 | $275,000 | $ 275,189 | |
5.10%, 6/18/50 | 40,000 | 34,583 | |
522,308 | |||
Zambia – 0.6% | |||
First Quantum Minerals Ltd., | |||
6.88%, 3/01/26(b) | 710,000 | 623,604 | |
8.63%, 6/01/31(b) | 200,000 | 168,820 | |
Zambia Government International Bond, 5.38%, 9/20/22(j) | 300,000 | 165,017 | |
957,441 | |||
Total Foreign Issuer Bonds (Cost $87,186,539) | 80,030,288 | ||
Mortgage-Backed Securities – 0.5% | |||
Commercial Mortgage-Backed Securities – 0.5% | |||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 4.94%, 5/10/47(b)(m) | 175,000 | 108,145 | |
Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.92%, 10/15/45(b) | 100,000 | 78,800 | |
GS Mortgage Securities Trust, | |||
Series 2011-GC5, Class C, 5.15%, 8/10/44(b)(m) | 35,000 | 24,413 | |
Series 2011-GC5, Class D, 5.15%, 8/10/44(b)(m) | 315,000 | 92,806 | |
Series 2013-GC13, Class C, 3.83%, 7/10/46(b)(m) | 320,000 | 220,310 | |
Series 2014-GC22, Class D, 4.69%, 6/10/47(b)(m) | 50,000 | 20,279 | |
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.36%, 2/15/46(b) | 100,000 | 83,985 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class B, 4.08%, 8/15/46(m) | 110,000 | 56,375 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C, 4.28%, 10/15/30(b)(m) | $100,000 | $ 58,370 | |
Wells Fargo Commercial Mortgage Trust, | |||
Series 2014-LC16, Class C, 4.46%, 8/15/50 | 75,000 | 28,012 | |
Series 2016-C36, Class C, 4.12%, 11/15/59(m) | 45,000 | 30,649 | |
WFRBS Commercial Mortgage Trust, | |||
Series 2011-C3, Class D, 5.85%, 3/15/44(b)(m) | 52,576 | 15,904 | |
Series 2012-C10, Class C, 4.33%, 12/15/45(m) | 120,000 | 82,031 | |
Total Mortgage-Backed Securities (Cost $1,567,998) | 900,079 | ||
Term Loans – 0.7%(c) | |||
Chemicals – 0.0%(e) | |||
Chemours Co., The Tranche B-3 US$ Term Loan, (1M USD CME Term SOFR + 3.50%, 0.50% Floor), 8.82%, 8/18/28 | 101,000 | 97,970 | |
Electric Utilities – 0.0%(e) | |||
Talen Energy Supply LLC, Initial Term B Loan, (3M USD CME Term SOFR + 4.50%, 0.50% Floor), 9.88%, 5/17/30 | 36,907 | 36,835 | |
Health Care Facilities & Services – 0.1% | |||
Star Parent, Inc., Term Loan, | |||
9/27/30 (n) | 75,740 | 72,076 | |
(3M USD CME Term SOFR + 4.00%), 9.39%, 9/27/30 | 90,000 | 85,647 | |
157,723 | |||
Insurance – 0.1% | |||
AssuredPartners, Inc., 2023 Term Loan, 2/12/27(n) | 13,965 | 13,889 | |
USI, Inc., 2022 New Term Loan, (3M USD CME Term SOFR + 3.75%, 0.50% Floor), 9.14%, 11/22/29 | 71,638 | 71,385 |
Par (a) | Value | ||
Insurance (Continued) | |||
USI, Inc., 2023 First Funding New Term Loan, (3M USD CME Term SOFR + 3.25%), 8.64%, 9/27/30 | $ 6,913 | $ 6,885 | |
USI, Inc., 2023 Second Funding New Term Loan, 9/27/30(n) | 10,369 | 10,304 | |
102,463 | |||
Internet Media & Services – 0.2% | |||
MH Sub I LLC (Micro Holding Corp.), 2023 May Incremental Term Loan, (1M USD CME Term SOFR + 4.25%, 0.50% Floor), 9.57%, 5/03/28 | 299,250 | 285,616 | |
Leisure Facilities & Services – 0.2% | |||
Carnival Corp., 2021 Incremental Term B Advance, | |||
10/18/28 (n) | 12,464 | 12,220 | |
(1M USD CME Term SOFR + 3.25%, 0.75% Floor), 8.69%, 10/18/28 | 237,518 | 232,867 | |
Carnival Corp., Initial Advance, | |||
(1M USD CME Term SOFR + 3.00%, 0.75% Floor), 8/09/27(n) | 10,688 | 10,488 | |
(1M USD CME Term SOFR + 3.00%, 0.75% Floor), 8.34%, 8/09/27 | 56,750 | 55,686 | |
311,261 | |||
Technology Services – 0.1% | |||
Neptune BidCo US, Inc., Dollar Term B Loan, (3M USD CME Term SOFR + 5.00%, 0.50% Floor), 10.51%, 4/11/29 | 132,245 | 115,302 | |
Total Term Loans (Cost $1,127,611) | 1,107,170 |
U.S. Government Obligations – 1.3% | |||
U.S. Treasury Bonds – 0.4% | |||
4.38%, 8/15/43 | 281,900 | 251,419 | |
3.63%, 5/15/53 | 508,200 | 396,158 | |
647,577 | |||
U.S. Treasury Notes – 0.9% | |||
4.63%, 10/15/26 | 77,000 | 76,428 | |
4.88%, 10/31/28 | 60,100 | 60,227 |
Par(a) | Value | ||
U.S. Treasury Notes (Continued) | |||
4.88%, 10/31/30 | $ 73,000 | $ 72,852 | |
3.88%, 8/15/33 | 1,345,600 | 1,238,583 | |
1,448,090 | |||
Total U.S. Government Obligations (Cost $2,107,157) | 2,095,667 |
Number of Shares | |||
Warrants – 0.0%(e) | |||
Engineering & Construction – 0.0%(e) | |||
Mcdermott International Ltd., Class A(o)* | 3,868 | — | |
Mcdermott International Ltd., Class B(o)* | 4,298 | — | |
Total Warrants (Cost $6,000) | — | ||
Investment Companies – 0.3% | |||
iShares iBoxx High Yield Corporate Bond ETF | 7,750 | 562,417 | |
Total Investment Companies (Cost $567,406) | 562,417 |
Par (a)/Number of Shares | |||
Short-Term Investments – 3.5% | |||
Corporate Bonds – 0.4% | |||
Dominion Energy, Inc., 3.07%, 8/15/24 | 38,000 | 37,095 | |
Energy Transfer L.P., (3M USD LIBOR + 4.03%), 9.65%, 12/31/49(c)(g) | 315,000 | 296,835 | |
Entergy Louisiana LLC, 0.62%, 11/17/23 | 46,000 | 45,889 | |
Phillips 66, 0.90%, 2/15/24 | 42,000 | 41,349 | |
QVC, Inc., 4.85%, 4/01/24 | 5,000 | 4,797 | |
Toyota Motor Credit Corp., 4.40%, 9/20/24 | 290,000 | 286,729 | |
U.S. Airways Pass Through Trust, Series 2012-1, Class A, 5.90%, 10/01/24 | 39,764 | 39,590 | |
752,284 | |||
Foreign Issuer Bonds – 0.9% | |||
Global Aircraft Leasing Co. Ltd., (100% Cash), 6.50%, 9/15/24(b)(p) | 92,718 | 83,791 |
Par (a)/Number of Shares | Value | ||
Foreign Issuer Bonds (Continued) | |||
Hungary Government Bond, | |||
3.00%, 6/26/24 | HUF | 84,090,000 | $ 224,294 |
2.50%, 10/24/24 | HUF | 25,460,000 | 66,601 |
Kaisa Group Holdings Ltd., 9.38%, 6/30/24(j) | 200,000 | 6,250 | |
Republic of Poland Government Bond, | |||
2.50%, 4/25/24 | PLN | 1,152,000 | 270,201 |
2.25%, 10/25/24 | PLN | 2,539,000 | 586,777 |
UBS A.G., 5.13%, 5/15/24 | 200,000 | 197,455 | |
1,435,369 | |||
Money Market Fund – 1.1% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 5.21%(q) | 1,776,704 | 1,776,704 | |
U.S. Treasury Bills – 1.1% | |||
U.S. Treasury Bills, 5.20%, 1/04/24(r) | 1,855,000 | 1,837,522 | |
Total Short-Term Investments (Cost $5,850,523) | 5,801,879 |
Number of Contracts | Notional Amount | Value | |
Purchased Options – 0.0%(e) | |||
Call Options - Over the Counter – 0.0%(e) | |||
South African Rand vs. U.S. Dollar, Strike Price ZAR 19.30, Expires 12/15/23, Counterparty: Barclays | 1 | $925,000 | $ 9,479 |
South African Rand vs. U.S. Dollar, Strike Price ZAR 19.30, Expires 12/15/23, Counterparty: Bank of America | 1 | 406,000 | 4,161 |
Total Purchased Options (Premiums Paid $34,445) | 13,640 |
Total Investments – 99.1% (Cost $181,933,448) | 164,980,825 | ||
Total Written Options — 0.0%(e) (Premiums Received $11,650) | (2,023) | ||
Other Assets less Liabilities – 0.9%(s) | 1,534,036 | ||
NET ASSETS – 100.0% | $166,514,861 |
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 or floating rate security. Rate as of October 31, 2023 is disclosed. | ||
(d) | Step coupon bond. Rate as of October 31, 2023 is disclosed. | ||
(e) | Amount rounds to less than 0.05%. | ||
(f) | Zero coupon bond. | ||
(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, 2023 is disclosed. | ||
(i) | When-Issued Security. Coupon rate was not yet in effect at October 31, 2023. | ||
(j) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. | ||
(k) | Restricted security that has been deemed illiquid and is classified as Level 2. At October 31, 2023, the value of these restricted illiquid securities amounted to $3,365 or 0.00% of net assets. Additional information on these restricted illiquid securities is as follows: |
Security | Acquisition Date | Acquisition Cost | |
Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 8/15/26 | 4/15/20-12/5/22 | $ 134,640 | |
Diamond Sports Group LLC/Diamond Sports Finance Co., 6.63%, 8/15/27 | 9/29/20-12/5/22 | 47,148 |
(l) | These securities are remarketed by an agent, and the interest rate is determined by general market conditions and supply and demand. |
(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, 2023 is disclosed. |
(n) | Position is unsettled. Contract rate was not determined at October 31, 2023 and does not take effect until settlement date. |
(o) | Investment is valued using significant unobservable inputs (Level 3). |
(p) | Distributions from this security are made via payments in-kind (PIK) unless otherwise noted in the description. |
(q) | 7-day current yield as of October 31, 2023 is disclosed. |
(r) | Discount rate at the time of purchase. |
(s) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
* | Non-Income Producing Security |
Abbreviations: |
1Y | 1 Year |
1M | 1 Month |
3M | 3 Month |
5Y | 5 Year |
10Y | 10 Year |
BRL | Brazilian Real |
CDX | Credit Default Swap Index |
CLO | Collateralized Loan Obligation |
CLP | Chilean Peso |
CME | Chicago Mercantile Exchange |
CMT | Constant Maturity |
CNH | Chinese Yuan Renminbi |
COP | Colombian Peso |
CZK | Czech Republic Koruna |
ETF | Exchange-Traded Fund |
GMTN | Global Medium Term Note |
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 |
REIT | Real Estate Investment Trust |
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 | 76.4 |
All other currencies less than 5% | 23.6 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Composition by Type (%)(a) | |
Non-Government | 62.3 |
Sovereign | 36.8 |
Others | 0.9 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Futures Contracts outstanding at October 31, 2023: Exchange Traded | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | |||||
Ultra U.S. Treasury Bond | 1 | 12/19/2023 | USD | 112,562 | $ (13,531) |
2-Year U.S. Treasury Note | 24 | 12/29/2023 | USD | 4,858,125 | (18,445) |
5-Year U.S. Treasury Note | 1 | 12/29/2023 | USD | 104,477 | (946) |
Total Long Contracts | $ (32,922) | ||||
Short Contracts | |||||
U.S. Treasury Long Bond | (2) | 12/19/2023 | USD | 218,875 | $ 15,742 |
Ultra 10-Year U.S. Treasury Note | (41) | 12/19/2023 | USD | 4,461,953 | 249,422 |
Total Short Contracts | $265,164 | ||||
$232,242 |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2023: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
11/29/23 | U.S. Dollars | 730,594 | Indonesian Rupiahs | 11,200,000,000 | Barclays | $ 27,782 |
3/18/24 | U.S. Dollars | 540,000 | Peruvian Nuevo Soles | 2,020,140 | Citibank | 16,592 |
12/07/23 | Polish Zloty | 1,954,422 | U.S. Dollars | 451,712 | Bank of America | 11,902 |
1/12/24 | Thai Baht | 26,215,099 | U.S. Dollars | 724,975 | JPMorgan Chase | 9,337 |
1/12/24 | U.S. Dollars | 513,450 | Malaysian Ringgit | 2,390,621 | Goldman Sachs | 9,291 |
12/12/23 | U.S. Dollars | 1,084,548 | Chinese Offshore Yuan | 7,906,898 | Goldman Sachs | 4,331 |
3/18/24 | U.S. Dollars | 361,300 | Euro | 335,461 | BNP Paribas | 3,965 |
1/12/24 | Turkish Lira | 6,363,000 | U.S. Dollars | 210,000 | Morgan Stanley | 1,415 |
1/12/24 | U.S. Dollars | 59,054 | Malaysian Ringgit | 274,987 | Morgan Stanley | 1,062 |
11/15/23 | Colombian Pesos | 518,596,688 | U.S. Dollars | 124,722 | JPMorgan Chase | 826 |
11/15/23 | Colombian Pesos | 309,707,491 | U.S. Dollars | 74,431 | BNP Paribas | 547 |
Total Unrealized Appreciation | $ 87,050 | |||||
11/02/23 | U.S. Dollars | 52,209 | Nigerian Neria | 47,288,500 | BNP Paribas | $ (29) |
12/12/23 | Chinese Offshore Yuan | 7,906,898 | U.S. Dollars | 1,080,340 | Bank of America | (123) |
11/15/23 | Colombian Pesos | 333,107,739 | U.S. Dollars | 80,861 | BNP Paribas | (218) |
12/07/23 | Polish Zloty | 732,311 | U.S. Dollars | 174,008 | Bank of America | (294) |
12/07/23 | Polish Zloty | 2,001,796 | U.S. Dollars | 475,579 | Goldman Sachs | (729) |
12/11/23 | Turkish Lira | 2,704,297 | U.S. Dollars | 94,000 | Morgan Stanley | (1,552) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2023: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
11/15/23 | Colombian Pesos | 1,092,946,200 | U.S. Dollars | 266,800 | Citibank | $ (2,206) |
11/15/23 | U.S. Dollars | 213,000 | Colombian Pesos | 889,498,650 | Barclays | (2,340) |
11/29/23 | Indian Rupees | 60,582,700 | U.S. Dollars | 730,000 | Citibank | (3,084) |
11/15/23 | Colombian Pesos | 1,529,320,800 | U.S. Dollars | 374,100 | JPMorgan Chase | (3,864) |
11/02/23 | Nigerian Neria | 47,288,500 | U.S. Dollars | 59,000 | BNP Paribas | (6,762) |
1/12/24 | Malaysian Ringgit | 2,665,608 | U.S. Dollars | 570,245 | Barclays | (8,094) |
9/18/24 | Turkish Lira | 6,561,000 | U.S. Dollars | 180,000 | Morgan Stanley | (8,731) |
9/18/24 | Turkish Lira | 9,794,664 | U.S. Dollars | 268,200 | JPMorgan Chase | (12,519) |
11/15/23 | Nigerian Neria | 105,047,856 | U.S. Dollars | 131,310 | BNP Paribas | (16,505) |
11/13/23 | Nigerian Neria | 145,851,000 | U.S. Dollars | 183,000 | BNP Paribas | (23,373) |
3/18/24 | Colombian Pesos | 3,712,152,000 | U.S. Dollars | 903,200 | Morgan Stanley | (30,009) |
12/07/23 | U.S. Dollars | 1,065,042 | Polish Zloty | 4,688,529 | JPMorgan Chase | (47,136) |
Total Unrealized Depreciation | $(167,568) | |||||
Net Unrealized Depreciation | $ (80,518) |
Written Call Option Contracts outstanding at October 31, 2023: Over the Counter | ||||||||
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
South African Rand vs. U.S. Dollar | Barclays | 1 | USD | 925,000 | ZAR | 20.80 | 12/15/2023 | $ (1,406) |
South African Rand vs. U.S. Dollar | Bank of America | 1 | USD | 406,000 | ZAR | 20.80 | 12/15/2023 | (617) |
Total Written OTC Call Options Contracts (Premiums Received $11,650) | $(2,023) |
Credit Default Swap Contracts outstanding - Sell Protection as of October 31, 2023: Centrally Cleared | ||||||||
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 41 (Pay Quarterly) | 5.14% | 10.00% | 12/20/2028 | USD | 1,115,000 | 607 | (11,470) | $12,077 |
Total | $607 | $(11,470) | $12,077 |
Morningstar Multisector Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 582,709 | $— | $ 582,709 |
Common Stocks | 315,204 | — | — | 315,204 |
Convertible Bonds | — | 2,219,520 | — | 2,219,520 |
Convertible Preferred Stocks | 132,751 | — | — | 132,751 |
Corporate Bonds | — | 71,219,501 | — | 71,219,501 |
Foreign Issuer Bonds | — | 80,030,288 | — | 80,030,288 |
Mortgage-Backed Securities | — | 900,079 | — | 900,079 |
Term Loans | — | 1,107,170 | — | 1,107,170 |
U.S. Government Obligations | — | 2,095,667 | — | 2,095,667 |
Warrants | — | — | —* | — |
Investment Companies | 562,417 | — | — | 562,417 |
Short-Term Investments | 1,776,704 | 4,025,175 | — | 5,801,879 |
Purchased Options | — | 13,640 | — | 13,640 |
Total Investments | $2,787,076 | $162,193,749 | $— | $164,980,825 |
*Includes securities determined to have no value as of October 31, 2023. |
Morningstar Multisector Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Futures Contracts | $265,164 | $ — | $— | $ 265,164 |
Forward Foreign Currency Exchange Contracts | — | 87,050 | — | 87,050 |
Swap Agreements | — | 607 | — | 607 |
Total Assets - Derivative Financial Instruments | $265,164 | $ 87,657 | $— | $ 352,821 |
Liabilities: | ||||
Futures Contracts | $ (32,922) | $ — | $— | $ (32,922) |
Forward Foreign Currency Exchange Contracts | — | (167,568) | — | (167,568) |
Written Options | — | (2,023) | — | (2,023) |
Total Liabilities - Derivative Financial Instruments | $ (32,922) | $(169,591) | $— | $(202,513) |
Net Derivative Financial Instruments | $232,242 | $ (81,934) | $— | $ 150,308 |
Number of Shares | Value | ||
Common Stocks – 55.6% | |||
Advertising & Marketing – 1.9% | |||
Dentsu Group, Inc. (Japan) | 1,900 | $ 55,188 | |
Omnicom Group, Inc. | 63,488 | 4,755,886 | |
WPP PLC (United Kingdom) | 7,613 | 65,557 | |
4,876,631 | |||
Aerospace & Defense – 0.1% | |||
BAE Systems PLC (United Kingdom) | 10,926 | 146,915 | |
Asset Management – 0.4% | |||
Charles Schwab (The) Corp. | 5,364 | 279,142 | |
Investor AB, Class B (Sweden) | 7,449 | 136,742 | |
Julius Baer Group Ltd. (Switzerland) | 1,475 | 87,411 | |
Schroders PLC (United Kingdom) | 6,224 | 28,025 | |
St. James's Place PLC (United Kingdom) | 12,321 | 96,052 | |
UBS Group A.G. (Switzerland)(a) | 13,250 | 311,328 | |
938,700 | |||
Automotive – 0.8% | |||
Bridgestone Corp. (Japan) | 7,700 | 291,408 | |
Denso Corp. (Japan) | 9,600 | 141,757 | |
Honda Motor Co. Ltd. (Japan) | 43,500 | 445,822 | |
Nissan Motor Co. Ltd. (Japan) | 37,400 | 143,915 | |
Stanley Electric Co. Ltd. (Japan) | 8,400 | 134,354 | |
Sumitomo Electric Industries Ltd. (Japan) | 5,700 | 59,840 | |
Toyota Motor Corp. (Japan) | 55,200 | 965,655 | |
2,182,751 | |||
Banking – 5.7% | |||
ABN AMRO Bank N.V. - CVA (Netherlands)(b) | 4,945 | 66,602 | |
Banco Bilbao Vizcaya Argentaria S.A. (Spain) | 23,328 | 183,527 | |
Banco Santander S.A. (Spain) | 67,628 | 248,731 | |
Bank of America Corp. | 39,562 | 1,042,063 | |
Barclays PLC (United Kingdom) | 128,603 | 206,414 | |
BNP Paribas S.A. (France) | 6,283 | 361,298 | |
CaixaBank S.A. (Spain) | 17,759 | 72,200 | |
Citigroup, Inc. | 17,033 | 672,633 | |
Citizens Financial Group, Inc. | 21,084 | 493,998 |
Number of Shares | Value | ||
Banking (Continued) | |||
Comerica, Inc. | 5,139 | $ 202,477 | |
Cullen/Frost Bankers, Inc. | 3,831 | 348,583 | |
DNB Bank ASA (Norway) | 3,714 | 67,008 | |
Erste Group Bank A.G. (Austria) | 2,261 | 80,965 | |
Fifth Third Bancorp | 22,807 | 540,754 | |
HSBC Holdings PLC (United Kingdom) | 131,839 | 951,934 | |
Huntington Bancshares, Inc. | 68,909 | 664,972 | |
ING Groep N.V. (Netherlands) | 19,712 | 252,718 | |
Intesa Sanpaolo S.p.A. (Italy) | 61,857 | 161,186 | |
JPMorgan Chase & Co. | 5,752 | 799,873 | |
KBC Group N.V. (Belgium) | 1,109 | 61,034 | |
KeyCorp | 40,778 | 416,751 | |
Lloyds Banking Group PLC (United Kingdom) | 698,093 | 339,762 | |
M&T Bank Corp. | 6,092 | 686,873 | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | 30,800 | 258,386 | |
Mizuho Financial Group, Inc. (Japan) | 4,900 | 83,194 | |
NatWest Group PLC (United Kingdom) | 58,517 | 127,323 | |
Nordea Bank Abp (Finland) | 12,127 | 127,724 | |
PNC Financial Services Group (The), Inc. | 6,890 | 788,698 | |
Regions Financial Corp. | 16,914 | 245,760 | |
Resona Holdings, Inc. (Japan) | 12,500 | 66,792 | |
Skandinaviska Enskilda Banken AB, Class A (Sweden) | 7,898 | 88,138 | |
Standard Chartered PLC (United Kingdom) | 20,028 | 153,561 | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | 9,000 | 433,872 | |
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 5,600 | 209,982 | |
Svenska Handelsbanken AB, Class A (Sweden) | 10,900 | 92,930 | |
Swedbank AB, Class A (Sweden) | 5,545 | 91,067 | |
Truist Financial Corp. | 27,827 | 789,174 | |
U.S. Bancorp | 26,014 | 829,326 | |
UniCredit S.p.A. (Italy) | 4,966 | 124,496 | |
Wells Fargo & Co. | 33,210 | 1,320,762 | |
14,753,541 | |||
Beverages – 0.5% | |||
Anheuser-Busch InBev S.A./N.V. (Belgium) | 13,973 | 795,036 |
Number of Shares | Value | ||
Beverages (Continued) | |||
Asahi Group Holdings Ltd. (Japan) | 2,100 | $ 75,958 | |
Diageo PLC (United Kingdom) | 8,584 | 324,613 | |
Kirin Holdings Co. Ltd. (Japan) | 15,000 | 210,800 | |
1,406,407 | |||
Biotechnology & Pharmaceuticals – 0.6% | |||
Astellas Pharma, Inc. (Japan) | 9,000 | 113,849 | |
AstraZeneca PLC (United Kingdom) | 4,594 | 575,186 | |
Chugai Pharmaceutical Co. Ltd. (Japan) | 7,700 | 228,356 | |
Daiichi Sankyo Co. Ltd. (Japan) | 5,600 | 144,391 | |
GSK PLC | 12,667 | 225,812 | |
Ono Pharmaceutical Co. Ltd. (Japan) | 3,300 | 56,989 | |
Takeda Pharmaceutical Co. Ltd. (Japan) | 9,200 | 249,732 | |
1,594,315 | |||
Cable & Satellite – 0.3% | |||
Comcast Corp., Class A | 16,241 | 670,591 | |
Chemicals – 0.2% | |||
Nitto Denko Corp. (Japan) | 2,000 | 129,412 | |
Shin-Etsu Chemical Co. Ltd. (Japan) | 10,000 | 299,034 | |
Toray Industries, Inc. (Japan) | 11,800 | 57,086 | |
485,532 | |||
Commercial Support Services – 2.2% | |||
Compass Group PLC (United Kingdom) | 5,566 | 140,327 | |
H&R Block, Inc. | 125,714 | 5,160,560 | |
Recruit Holdings Co. Ltd. (Japan) | 9,000 | 258,054 | |
Rentokil Initial PLC (United Kingdom) | 9,430 | 48,022 | |
Secom Co. Ltd. (Japan) | 2,100 | 145,855 | |
5,752,818 | |||
Diversified Industrials – 0.1% | |||
Hitachi Ltd. (Japan) | 3,000 | 190,160 | |
E-Commerce Discretionary – 3.6% | |||
Alibaba Group Holding Ltd. (China)* | 263,100 | 2,708,635 | |
eBay, Inc. | 113,144 | 4,438,639 |
Number of Shares | Value | ||
E-Commerce Discretionary (Continued) | |||
JD.com, Inc., Class A (China) | 87,100 | $1,107,317 | |
PDD Holdings, Inc. (China)* | 9,533 | 966,837 | |
9,221,428 | |||
Electric Utilities – 1.7% | |||
Chubu Electric Power Co., Inc. (Japan) | 6,500 | 78,547 | |
National Grid PLC (United Kingdom) | 351,627 | 4,192,441 | |
SSE PLC (United Kingdom) | 3,341 | 66,398 | |
4,337,386 | |||
Electrical Equipment – 0.2% | |||
Daikin Industries Ltd. (Japan) | 1,300 | 187,432 | |
Mitsubishi Electric Corp. (Japan) | 24,100 | 276,343 | |
Toshiba Corp. (Japan)* | 4,088 | 124,278 | |
588,053 | |||
Engineering & Construction – 0.9% | |||
Ferrovial S.E. | 76,042 | 2,288,563 | |
Entertainment Content – 0.7% | |||
Electronic Arts, Inc. | 1,160 | 143,596 | |
NetEase, Inc. (China) | 39,600 | 847,501 | |
Nexon Co. Ltd. (Japan) | 3,200 | 58,718 | |
Square Enix Holdings Co. Ltd. (Japan) | 1,900 | 63,121 | |
Walt Disney (The) Co.* | 7,338 | 598,708 | |
1,711,644 | |||
Food – 1.3% | |||
Kerry Group PLC, Class A (Ireland) | 29,325 | 2,265,175 | |
Kraft Heinz (The) Co. | 27,176 | 854,957 | |
MEIJI Holdings Co. Ltd. (Japan) | 6,600 | 162,453 | |
Yamazaki Baking Co. Ltd. (Japan) | 5,586 | 118,114 | |
3,400,699 | |||
Gas & Water Utilities – 2.8% | |||
Osaka Gas Co. Ltd. (Japan) | 3,700 | 69,774 | |
Severn Trent PLC (United Kingdom) | 52,697 | 1,701,183 | |
Snam S.p.A. (Italy) | 335,628 | 1,539,037 | |
United Utilities Group PLC (United Kingdom)(c) | 313,580 | 4,055,708 | |
7,365,702 | |||
Health Care Facilities & Services – 5.2% | |||
Alfresa Holdings Corp. (Japan) | 5,400 | 85,539 |
Number of Shares | Value | ||
Health Care Facilities & Services (Continued) | |||
CVS Health Corp. | 73,756 | $ 5,089,902 | |
DaVita, Inc.* | 9,493 | 733,144 | |
Fresenius Medical Care A.G. & Co. KGaA (Germany) | 98,854 | 3,284,540 | |
Henry Schein, Inc.* | 34,324 | 2,230,374 | |
Pediatrix Medical Group, Inc.* | 183,129 | 2,098,658 | |
13,522,157 | |||
Home & Office Products – 0.9% | |||
Scotts Miracle-Gro (The) Co.(c) | 51,107 | 2,271,195 | |
Home Construction – 0.0%(d) | |||
Berkeley Group Holdings (The) PLC (United Kingdom) | 1,334 | 65,575 | |
Sekisui House Ltd. (Japan) | 2,961 | 57,984 | |
123,559 | |||
Household Products – 0.3% | |||
Haleon PLC | 20,894 | 83,745 | |
Kao Corp. (Japan) | 6,700 | 244,442 | |
Reckitt Benckiser Group PLC (United Kingdom) | 2,882 | 192,826 | |
Unilever PLC (United Kingdom) | 8,187 | 387,742 | |
908,755 | |||
Industrial Support Services – 0.0%(d) | |||
Ashtead Group PLC (United Kingdom) | 870 | 49,897 | |
Institutional Financial Services – 1.3% | |||
Bank of New York Mellon (The) Corp. | 13,239 | 562,658 | |
Daiwa Securities Group, Inc. (Japan) | 14,300 | 82,461 | |
Deutsche Boerse A.G. (Germany) | 938 | 154,391 | |
Goldman Sachs Group (The), Inc. | 2,442 | 741,416 | |
Japan Exchange Group, Inc. (Japan) | 4,600 | 90,964 | |
London Stock Exchange Group PLC (United Kingdom) | 3,118 | 314,591 | |
Morgan Stanley | 10,420 | 737,944 | |
Northern Trust Corp. | 7,231 | 476,595 | |
State Street Corp. | 3,216 | 207,850 | |
3,368,870 | |||
Insurance – 1.1% | |||
Allianz S.E. (Germany)(a) | 1,781 | 417,186 |
Number of Shares | Value | ||
Insurance (Continued) | |||
Assicurazioni Generali S.p.A. (Italy) | 3,287 | $ 65,292 | |
Aviva PLC (United Kingdom) | 27,517 | 133,281 | |
AXA S.A. (France) | 9,384 | 278,052 | |
Dai-ichi Life Holdings, Inc. (Japan) | 5,700 | 120,413 | |
Hannover Rueck S.E. (Germany) | 313 | 69,115 | |
Legal & General Group PLC (United Kingdom) | 61,486 | 158,419 | |
Mandatum OYJ (Finland)* | 1,595 | 6,163 | |
MS&AD Insurance Group Holdings, Inc. (Japan) | 4,100 | 150,226 | |
Muenchener Rueckversicherungs-Gesellschaft A.G. (Germany)(a) | 511 | 205,068 | |
NN Group N.V. (Netherlands) | 2,485 | 79,700 | |
Prudential PLC (Hong Kong) | 27,547 | 288,042 | |
Sampo OYJ, Class A (Finland) | 1,595 | 62,730 | |
Sompo Holdings, Inc. (Japan) | 1,600 | 69,312 | |
Swiss Life Holding A.G. (Switzerland)(a) | 161 | 103,407 | |
Swiss Re A.G. | 1,462 | 159,742 | |
Tokio Marine Holdings, Inc. (Japan) | 6,700 | 149,894 | |
Tryg A/S (Denmark) | 2,537 | 49,541 | |
Zurich Insurance Group A.G. (Switzerland) | 660 | 313,495 | |
2,879,078 | |||
Internet Media & Services – 5.1% | |||
Alphabet, Inc., Class A* | 26,377 | 3,272,858 | |
Alphabet, Inc., Class C* | 5,495 | 688,524 | |
Baidu, Inc., Class A (China)* | 92,950 | 1,220,323 | |
Meituan, Class B (China)(b)* | 88,470 | 1,254,063 | |
Meta Platforms, Inc., Class A* | 5,299 | 1,596,430 | |
Netflix, Inc.* | 603 | 248,249 | |
Tencent Holdings Ltd. (China) | 71,900 | 2,660,930 | |
Tencent Music Entertainment Group ADR (China)* | 107,575 | 780,994 | |
Trip.com Group Ltd. (China)* | 38,750 | 1,320,663 | |
13,043,034 |
Number of Shares | Value | ||
Leisure Facilities & Services – 1.3% | |||
Entain PLC (United Kingdom) | 4,874 | $ 55,331 | |
InterContinental Hotels Group PLC (United Kingdom) | 918 | 65,052 | |
International Game Technology PLC | 123,705 | 3,144,581 | |
3,264,964 | |||
Leisure Products – 0.1% | |||
Shimano, Inc. (Japan) | 1,000 | 143,906 | |
Machinery – 0.4% | |||
FANUC Corp. (Japan) | 9,500 | 235,756 | |
Keyence Corp. (Japan) | 500 | 193,559 | |
Komatsu Ltd. (Japan) | 5,300 | 121,775 | |
Nabtesco Corp. (Japan) | 3,038 | 53,808 | |
SMC Corp. (Japan) | 500 | 230,882 | |
Smiths Group PLC (United Kingdom) | 2,599 | 50,981 | |
Sumitomo Heavy Industries Ltd. (Japan) | 2,800 | 64,091 | |
950,852 | |||
Medical Equipment & Devices – 0.2% | |||
FUJIFILM Holdings Corp. (Japan) | 2,600 | 142,214 | |
Hoya Corp. (Japan) | 1,300 | 125,149 | |
Olympus Corp. (Japan) | 11,900 | 158,929 | |
Smith & Nephew PLC (United Kingdom) | 5,327 | 59,615 | |
485,907 | |||
Metals & Mining – 0.3% | |||
Anglo American PLC (South Africa) | 4,402 | 112,161 | |
Cameco Corp. (Canada) | 2,678 | 109,553 | |
Glencore PLC (Australia) | 36,826 | 195,061 | |
Rio Tinto PLC (Australia) | 4,114 | 262,476 | |
Sumitomo Metal Mining Co. Ltd. (Japan) | 2,000 | 56,184 | |
735,435 | |||
Oil & Gas Producers – 4.3% | |||
BP PLC (United Kingdom) | 257,617 | 1,573,015 | |
Canadian Natural Resources Ltd. (Canada) | 9,614 | 610,499 | |
Cenovus Energy, Inc. (Canada) | 7,892 | 150,356 | |
Chevron Corp. | 2,036 | 296,706 | |
China Petroleum & Chemical Corp., Class H (China) | 460,250 | 235,389 | |
Ecopetrol S.A. ADR (Colombia)(c) | 6,719 | 79,351 |
Number of Shares | Value | ||
Oil & Gas Producers (Continued) | |||
ENEOS Holdings, Inc. (Japan) | 17,600 | $ 65,215 | |
Eni S.p.A. (Italy) | 24,827 | 405,863 | |
Equinor ASA (Norway) | 9,118 | 305,665 | |
Exxon Mobil Corp. | 6,750 | 714,488 | |
Galp Energia SGPS S.A. (Portugal) | 6,650 | 100,114 | |
Gazprom PJSC (Russia)(e)* | 100,532 | — | |
Imperial Oil Ltd. (Canada) | 1,610 | 91,753 | |
Inpex Corp. (Japan) | 19,300 | 280,060 | |
LUKOIL PJSC (Russia)(e) | 3,271 | — | |
Neste OYJ (Finland) | 8,225 | 276,425 | |
OMV A.G. (Austria) | 1,876 | 82,278 | |
Petroleo Brasileiro S.A. ADR (Brazil) | 39,838 | 597,570 | |
Repsol S.A. (Spain) | 13,802 | 202,091 | |
Rosneft Oil Co. PJSC (Russia)(e) | 48,304 | — | |
Santos Ltd. (Australia) | 17,507 | 85,425 | |
Shell PLC (Netherlands) | 84,395 | 2,719,786 | |
Suncor Energy, Inc. (Canada) | 12,518 | 405,396 | |
TotalEnergies S.E. (France) | 22,921 | 1,532,441 | |
Woodside Energy Group Ltd. (Australia) | 8,573 | 186,718 | |
10,996,604 | |||
Publishing & Broadcasting – 0.0%(d) | |||
Informa PLC (United Kingdom) | 5,609 | 48,599 | |
Real Estate Owners & Developers – 0.1% | |||
Mitsubishi Estate Co. Ltd. (Japan) | 16,700 | 213,765 | |
Mitsui Fudosan Co. Ltd. (Japan) | 3,500 | 75,862 | |
Sumitomo Realty & Development Co. Ltd. (Japan) | 2,900 | 72,773 | |
362,400 | |||
Retail - Consumer Staples – 0.4% | |||
Alibaba Health Information Technology Ltd. (China)(c)* | 1,174,000 | 691,579 | |
Seven & i Holdings Co. Ltd. (Japan) | 3,500 | 128,235 | |
Tesco PLC (United Kingdom) | 35,929 | 117,903 | |
937,717 | |||
Retail - Discretionary – 0.1% | |||
Associated British Foods PLC (United Kingdom) | 2,654 | 65,469 |
Number of Shares | Value | ||
Retail - Discretionary (Continued) | |||
Fast Retailing Co. Ltd. (Japan) | 800 | $ 177,117 | |
Kingfisher PLC (United Kingdom) | 18,575 | 47,432 | |
290,018 | |||
Semiconductors – 0.1% | |||
Tokyo Electron Ltd. (Japan) | 1,700 | 224,634 | |
Specialty Finance – 0.3% | |||
Capital One Financial Corp. | 6,621 | 670,641 | |
ORIX Corp. (Japan) | 5,900 | 107,300 | |
777,941 | |||
Steel – 0.1% | |||
Mitsui & Co. Ltd. (Japan) | 7,800 | 283,485 | |
Technology Hardware – 0.7% | |||
Casio Computer Co. Ltd. (Japan) | 6,300 | 50,482 | |
Kyocera Corp. (Japan) | 2,900 | 142,945 | |
Murata Manufacturing Co. Ltd. (Japan) | 15,900 | 272,357 | |
Nidec Corp. (Japan) | 2,900 | 106,375 | |
Nintendo Co. Ltd. (Japan) | 8,700 | 359,436 | |
Panasonic Holdings Corp. (Japan) | 18,200 | 159,677 | |
Sony Group Corp. (Japan) | 6,200 | 515,461 | |
TDK Corp. (Japan) | 5,900 | 220,750 | |
1,827,483 | |||
Technology Services – 4.6% | |||
Cognizant Technology Solutions Corp., Class A | 45,939 | 2,961,687 | |
Experian PLC | 3,100 | 94,050 | |
Fiserv, Inc.* | 13,332 | 1,516,515 | |
Nexi SpA (Italy)(b)* | 531,414 | 3,087,946 | |
RELX PLC (United Kingdom) | 5,635 | 196,818 | |
Visa, Inc., Class A(c) | 17,180 | 4,039,018 | |
11,896,034 | |||
Telecommunications – 1.9% | |||
BT Group PLC (United Kingdom) | 37,502 | 51,506 | |
KDDI Corp. (Japan) | 11,400 | 341,028 | |
Nippon Telegraph & Telephone Corp. (Japan) | 164,600 | 193,697 | |
SES S.A. (France) | 479,186 | 2,795,809 | |
Softbank Corp. (Japan) | 5,900 | 66,711 | |
SoftBank Group Corp. (Japan) | 7,600 | 311,251 | |
T-Mobile U.S., Inc.* | 2,064 | 296,927 |
Number of Shares | Value | ||
Telecommunications (Continued) | |||
Verizon Communications, Inc. | 18,172 | $ 638,382 | |
Vodafone Group PLC (United Kingdom) | 103,061 | 94,872 | |
4,790,183 | |||
Tobacco & Cannabis – 0.1% | |||
British American Tobacco PLC (United Kingdom) | 8,905 | 266,014 | |
Japan Tobacco, Inc. (Japan) | 3,600 | 83,804 | |
349,818 | |||
Transportation & Logistics – 1.2% | |||
CSX Corp. | 13,247 | 395,423 | |
East Japan Railway Co. (Japan) | 5,300 | 275,268 | |
Norfolk Southern Corp. | 12,106 | 2,309,704 | |
Poste Italiane S.p.A. (Italy)(b) | 6,050 | 59,896 | |
3,040,291 | |||
Transportation Equipment – 1.3% | |||
Knorr-Bremse A.G. (Germany) | 59,523 | 3,324,626 | |
Wholesale - Consumer Staples – 0.2% | |||
ITOCHU Corp. (Japan) | 9,100 | 327,791 | |
Mitsubishi Corp. (Japan) | 6,500 | 303,001 | |
630,792 | |||
Wholesale - Discretionary – 0.0%(d) | |||
Bunzl PLC (United Kingdom) | 1,937 | 69,105 | |
Total Common Stocks (Cost $147,093,550) | 143,509,175 | ||
Preferred Stocks – 0.9% | |||
Household Products – 0.9% | |||
Henkel A.G. & Co. KGaA, 2.72%(f) | 33,145 | 2,390,917 | |
Total Preferred Stocks (Cost $2,349,719) | 2,390,917 | ||
Investment Companies – 37.5% | |||
Franklin FTSE Brazil ETF | 223,997 | 3,982,667 | |
iShares Core DAX UCITS ETF DE (Germany)* | EUR | 28,861 | 3,783,637 |
iShares Global Consumer Staples ETF | 159,457 | 8,972,645 | |
iShares MSCI South Korea ETF(c) | 135,523 | 7,446,989 | |
Materials Select Sector SPDR® Fund ETF(c) | 50,763 | 3,861,034 |
Number of Shares | Value | ||
Schwab Fundamental Emerging Markets Large Company Index ETF(c) | 618,425 | $15,664,705 | |
Vanguard Consumer Staples ETF(c) | 22,658 | 4,066,884 | |
Vanguard Health Care ETF(c) | 28,053 | 6,334,367 | |
Vanguard Total Stock Market ETF(c) | 205,586 | 42,513,129 | |
Total Investment Companies (Cost $99,404,302) | 96,626,057 |
Number of Shares | Value | ||
Short-Term Investments – 11.1% | |||
Money Market Funds – 11.1% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 5.41%(g)(h) | 13,615,016 | $ 13,615,016 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 5.21%(g) | 14,969,561 | 14,969,561 | |
Total Short-Term Investments (Cost $28,584,577) | 28,584,577 | ||
Total Investments – 105.1% (Cost $277,432,148) | 271,110,726 | ||
Liabilities less Other Assets – (5.1)%(i) | (13,071,421) | ||
NET ASSETS – 100.0% | $258,039,305 |
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. (See Note 7). | ||
(d) | Amount rounds to less than 0.05%. | ||
(e) | Investment is valued using significant unobservable inputs (Level 3) (See Note 4 regarding investments in Russian securities). | ||
(f) | Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income. | ||
(g) | 7-day current yield as of October 31, 2023 is disclosed. | ||
(h) | Security purchased with the cash proceeds from securities loaned. (See Note 7). | ||
(i) | Includes appreciation/(depreciation) on forward foreign currency exchange contracts. | ||
* | 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 | 62.5 |
Euro | 12.1 |
British Pound | 8.2 |
Japanese Yen | 5.6 |
All other currencies less than 5% | 11.6 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Country Diversification (%)(a) | |
United States | 62.2 |
United Kingdom | 6.7 |
Japan | 5.6 |
China | 5.4 |
Germany | 5.3 |
All other countries less than 5%(b) | 14.8 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
(b) Includes Other. |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2023: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
11/30/23 | British Pounds | 95,546 | U.S. Dollars | 115,885 | State Street | $ 268 |
Total Unrealized Appreciation | $ 268 | |||||
11/30/23 | Norwegian Kroner | 42,238 | U.S. Dollars | 3,827 | State Street | $ (42) |
11/30/23 | Swedish Kronor | 311,669 | U.S. Dollars | 28,301 | State Street | (345) |
Total Unrealized Depreciation | $ (387) | |||||
Net Unrealized Depreciation | $(119) |
Morningstar Global Opportunistic Equity Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Common Stocks | $ 68,483,117 | $75,026,058 | $—* | $143,509,175 |
Preferred Stocks | — | 2,390,917 | — | 2,390,917 |
Investment Companies | 96,626,057 | — | — | 96,626,057 |
Short-Term Investments | 28,584,577 | — | — | 28,584,577 |
Total Investments | $193,693,751 | $77,416,975 | $— | $271,110,726 |
*Includes securities determined to have no value as of October 31, 2023. |
Morningstar Global Opportunistic Equity Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Forward Foreign Currency Exchange Contracts | $— | $ 268 | $— | $ 268 |
Total Assets - Derivative Financial Instruments | $— | $ 268 | $— | $ 268 |
Liabilities: | ||||
Forward Foreign Currency Exchange Contracts | $— | $(387) | $— | $(387) |
Total Liabilities - Derivative Financial Instruments | $— | $(387) | $— | $(387) |
Net Derivative Financial Instruments | $— | $(119) | $— | $(119) |
Par (a) | Value | ||
Long Positions – 97.4% | |||
Asset-Backed Securities – 1.0% | |||
Other – 1.0% | |||
Affirm Asset Securitization Trust, | |||
Series 2022-A, Class 1A, 4.30%, 5/17/27(b) | $550,000 | $ 537,227 | |
Series 2023-A, Class 1A, 6.61%, 1/18/28(b) | 474,000 | 453,263 | |
Series 2023-B, Class B, 7.44%, 9/15/28(b) | 300,000 | 299,437 | |
Avant Loans Funding Trust, Series 2021-REV1, Class A, 1.21%, 7/15/30(b) | 136,160 | 134,671 | |
Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.75%, 3/10/28 | 44,529 | 41,159 | |
Drive Auto Receivables Trust, Series 2021-3, Class C, 1.47%, 1/15/27 | 600,000 | 582,890 | |
JPMorgan Chase Bank NA - CACLN, | |||
Series 2021-2, Class B, 0.89%, 12/26/28(b) | 72,531 | 70,570 | |
Series 2021-3, Class B, 0.76%, 2/26/29(b) | 209,510 | 200,957 | |
Santander Bank NA - SBCLN, Series 2021-1A, Class B, 1.83%, 12/15/31(b) | 64,651 | 63,025 | |
Upstart Securitization Trust, | |||
Series 2021-4, Class A, 0.84%, 9/20/31(b) | 49,528 | 49,137 | |
Series 2021-5, Class A, 1.31%, 11/20/31(b) | 86,029 | 84,938 | |
2,517,274 | |||
Total Asset-Backed Securities (Cost $2,548,677) | 2,517,274 |
Number of Shares | |||
Common Stocks – 26.9% | |||
Aerospace & Defense – 0.1% | |||
General Dynamics Corp. | 545 | 131,514 | |
Huntington Ingalls Industries, Inc. | 224 | 49,239 | |
Lockheed Martin Corp. | 298 | 135,483 | |
316,236 | |||
Apparel & Textile Products – 0.8% | |||
Capri Holdings Ltd.* | 40,817 | 2,089,014 |
Number of Shares | Value | ||
Asset Management – 1.2% | |||
Avantax, Inc.* | 105,694 | $ 2,727,962 | |
Gresham House PLC (United Kingdom) | 34,768 | 454,282 | |
3,182,244 | |||
Banking – 0.4% | |||
Credicorp Ltd. (Peru) | 462 | 57,732 | |
First Horizon Corp. | 81,971 | 881,188 | |
938,920 | |||
Beverages – 0.0%(c) | |||
Coca-Cola Europacific Partners PLC (United Kingdom) | 2,016 | 117,956 | |
Biotechnology & Pharmaceuticals – 4.4% | |||
AbbVie, Inc. | 816 | 115,203 | |
Abcam PLC Sponsored - ADR (United Kingdom)(d)* | 79,646 | 1,825,486 | |
Amgen, Inc. | 461 | 117,878 | |
Bristol-Myers Squibb Co. | 2,103 | 108,368 | |
Dechra Pharmaceuticals PLC (United Kingdom) | 24,620 | 1,141,113 | |
Gilead Sciences, Inc. | 1,642 | 128,963 | |
Merck & Co., Inc. | 1,182 | 121,391 | |
Mirati Therapeutics, Inc.(d)* | 13,894 | 771,534 | |
Olink Holding AB ADR (Sweden)(d)* | 34,225 | 852,887 | |
Orchard Therapeutics PLC ADR (United Kingdom)(d)* | 49,438 | 786,558 | |
Pfizer, Inc. | 3,550 | 108,488 | |
Point Biopharma Global, Inc.* | 85,908 | 1,087,595 | |
Royalty Pharma PLC, Class A | 307 | 8,249 | |
Seagen, Inc.(d)* | 18,341 | 3,903,148 | |
Swedish Orphan Biovitrum AB (Sweden)* | 18,689 | 384,474 | |
11,461,335 | |||
Chemicals – 0.2% | |||
Rogers Corp.(d)* | 4,177 | 513,312 | |
Commercial Support Services – 2.6% | |||
Applus Services S.A. (Spain) | 31,467 | 331,288 | |
Caverion OYJ (Finland) | 167,873 | 1,515,153 | |
H&R Block, Inc. | 1,202 | 49,342 | |
Sovos Brands, Inc.(d)* | 176,883 | 3,840,130 | |
SP Plus Corp.(d)* | 19,310 | 975,734 | |
6,711,647 | |||
Construction Materials – 0.0%(c) | |||
MDU Resources Group, Inc. | 809 | 15,056 |
Number of Shares | Value | ||
Containers & Packaging – 0.3% | |||
Amcor PLC | 2,519 | $ 22,394 | |
Westrock Co.(d) | 19,079 | 685,508 | |
707,902 | |||
Electric Utilities – 1.6% | |||
Alliant Energy Corp. | 278 | 13,564 | |
Ameren Corp. | 357 | 27,028 | |
American Electric Power Co., Inc. | 527 | 39,810 | |
Brookfield Renewable Corp., Class A | 1,560 | 35,506 | |
CenterPoint Energy, Inc. | 952 | 25,590 | |
CMS Energy Corp. | 816 | 44,341 | |
Consolidated Edison, Inc. | 1,447 | 127,032 | |
DTE Energy Co. | 210 | 20,240 | |
Duke Energy Corp. | 1,403 | 124,713 | |
Edison International | 117 | 7,378 | |
Evergy, Inc. | 1,890 | 92,875 | |
Exelon Corp. | 2,249 | 87,576 | |
OGE Energy Corp. | 645 | 22,059 | |
Pinnacle West Capital Corp. | 880 | 65,278 | |
PNM Resources, Inc.(d) | 76,536 | 3,234,411 | |
Public Service Enterprise Group, Inc. | 768 | 47,347 | |
Sempra | 345 | 24,160 | |
WEC Energy Group, Inc. | 1,346 | 109,551 | |
Xcel Energy, Inc. | 1,592 | 94,358 | |
4,242,817 | |||
Entertainment Content – 1.0% | |||
TEGNA, Inc.(d) | 168,837 | 2,449,825 | |
Food – 1.0% | |||
Campbell Soup Co. | 3,018 | 121,957 | |
Conagra Brands, Inc. | 3,418 | 93,517 | |
Flowers Foods, Inc. | 3,808 | 83,509 | |
General Mills, Inc. | 1,912 | 124,739 | |
Hershey (The) Co. | 610 | 114,284 | |
Hormel Foods Corp. | 1,102 | 35,870 | |
Hostess Brands, Inc.* | 54,882 | 1,833,059 | |
Ingredion, Inc. | 214 | 20,026 | |
Kellanova | 2,271 | 114,617 | |
Kraft Heinz (The) Co. | 3,635 | 114,357 | |
2,655,935 | |||
Gas & Water Utilities – 0.1% | |||
Atmos Energy Corp. | 1,153 | 124,132 | |
Brookfield Infrastructure Corp., Class A (Canada) | 816 | 21,020 | |
New Jersey Resources Corp. | 352 | 14,284 |
Number of Shares | Value | ||
Gas & Water Utilities (Continued) | |||
NiSource, Inc. | 1,640 | $ 41,263 | |
ONE Gas, Inc. | 538 | 32,495 | |
233,194 | |||
Health Care Facilities & Services – 0.8% | |||
Amedisys, Inc.(d)* | 17,938 | 1,641,148 | |
Cardinal Health, Inc. | 1,386 | 126,126 | |
CVS Health Corp. | 1,383 | 95,441 | |
Patterson Cos., Inc. | 686 | 20,895 | |
Quest Diagnostics, Inc. | 994 | 129,319 | |
2,012,929 | |||
Household Products – 0.0%(c) | |||
Kimberly-Clark Corp. | 998 | 119,401 | |
Industrial Support Services – 0.4% | |||
MSC Industrial Direct Co., Inc., Class A | 498 | 47,186 | |
Textainer Group Holdings Ltd. (China)(d) | 17,660 | 867,459 | |
914,645 | |||
Insurance – 0.3% | |||
Aflac, Inc. | 1,595 | 124,586 | |
American Financial Group, Inc. | 328 | 35,870 | |
Hartford Financial Services Group (The), Inc. | 1,415 | 103,932 | |
Old Republic International Corp. | 4,584 | 125,510 | |
Reinsurance Group of America, Inc. | 262 | 39,161 | |
TOWER Ltd. (New Zealand) | 173,173 | 64,570 | |
Travelers (The) Cos., Inc. | 748 | 125,245 | |
Unum Group | 1,317 | 64,401 | |
683,275 | |||
Leisure Facilities & Services – 0.1% | |||
Darden Restaurants, Inc. | 717 | 104,345 | |
Wendy's (The) Co. | 927 | 17,632 | |
121,977 | |||
Medical Equipment & Devices – 0.0%(c) | |||
Medtronic PLC | 1,518 | 107,110 | |
Oil & Gas Producers – 2.8% | |||
Chevron Corp. | 721 | 105,071 | |
Denbury, Inc.* | 33,519 | 2,979,504 | |
Exxon Mobil Corp. | 783 | 82,880 | |
Hess Corp.(d) | 11,930 | 1,722,692 | |
Phillips 66 | 495 | 56,465 |
Number of Shares | Value | ||
Oil & Gas Producers (Continued) | |||
Pioneer Natural Resources Co.(d) | 9,284 | $ 2,218,876 | |
Williams (The) Cos., Inc. | 3,650 | 125,560 | |
7,291,048 | |||
Real Estate Investment Trusts – 1.1% | |||
Hersha Hospitality Trust, Class A | 66,963 | 664,273 | |
NNN REIT, Inc. | 755 | 27,429 | |
Public Storage | 129 | 30,794 | |
Spirit Realty Capital, Inc. | 55,162 | 1,985,280 | |
2,707,776 | |||
Retail - Consumer Staples – 0.6% | |||
Albertsons Cos., Inc., Class A(d) | 68,767 | 1,492,244 | |
Kroger (The) Co. | 2,357 | 106,937 | |
1,599,181 | |||
Retail - Discretionary – 0.4% | |||
Chico's FAS, Inc.(d)* | 106,504 | 796,650 | |
Dick's Sporting Goods, Inc. | 316 | 33,796 | |
Genuine Parts Co. | 590 | 76,028 | |
906,474 | |||
Semiconductors – 0.6% | |||
Magnachip Semiconductor Corp. (South Korea)* | 26,184 | 193,500 | |
Silicon Motion Technology Corp. ADR (Taiwan)* | 26,454 | 1,417,405 | |
1,610,905 | |||
Software – 4.7% | |||
Avid Technology, Inc.* | 102,314 | 2,764,524 | |
EngageSmart, Inc.(d)* | 43,053 | 975,150 | |
Kahoot! ASA (Norway)* | 301,764 | 945,261 | |
Splunk, Inc.(d)* | 5,555 | 817,474 | |
Tabula Rasa HealthCare, Inc.* | 108,734 | 1,134,096 | |
VMware, Inc., Class A* | 38,258 | 5,572,278 | |
12,208,783 | |||
Steel – 0.1% | |||
Kloeckner & Co. S.E. (Germany) | 19,511 | 199,427 | |
Technology Hardware – 0.1% | |||
Cisco Systems, Inc. | 2,243 | 116,928 | |
Garmin Ltd. | 285 | 29,221 | |
Juniper Networks, Inc. | 4,368 | 117,586 | |
NetApp, Inc. | 233 | 16,958 | |
280,693 |
Number of Shares | Value | ||
Technology Services – 0.3% | |||
Amdocs Ltd. | 563 | $ 45,130 | |
Automatic Data Processing, Inc. | 501 | 109,328 | |
International Business Machines Corp. | 857 | 123,956 | |
Moneylion, Inc.* | 837 | 16,104 | |
Network International Holdings PLC (United Arab Emirates)(b)* | 85,168 | 401,441 | |
695,959 | |||
Telecommunications – 0.0%(c) | |||
GCI Liberty Escrow, Inc., Class A(e)* | 31,520 | — | |
Tobacco & Cannabis – 0.0%(c) | |||
Philip Morris International, Inc. | 236 | 21,042 | |
Transportation & Logistics – 0.9% | |||
Euronav N.V. (Belgium)(d) | 129,557 | 2,310,001 | |
Union Pacific Corp. | 364 | 75,570 | |
2,385,571 | |||
Total Common Stocks (Cost $73,204,997) | 69,501,589 |
Par (a) | |||
Convertible Bonds – 24.6% | |||
Asset Management – 0.8% | |||
RWT Holdings, Inc., 5.75%, 10/01/25(d) | $1,073,000 | 996,161 | |
WisdomTree, Inc., 5.75%, 8/15/28(b)(d) | 1,056,000 | 1,036,200 | |
2,032,361 | |||
Automotive – 0.2% | |||
Rivian Automotive, Inc., 4.63%, 3/15/29(b)(d) | 598,000 | 628,797 | |
Biotechnology & Pharmaceuticals – 1.9% | |||
Amphastar Pharmaceuticals, Inc., 2.00%, 3/15/29(b)(d) | 195,000 | 189,832 | |
Bridgebio Pharma, Inc., 2.25%, 2/01/29(d) | 720,000 | 526,651 | |
Coherus Biosciences, Inc., 1.50%, 4/15/26(d) | 657,000 | 365,993 | |
Collegium Pharmaceutical, Inc., 2.88%, 2/15/29(b)(d) | 1,151,000 | 988,239 | |
Halozyme Therapeutics, Inc., 0.25%, 3/01/27(d) | 1,367,000 | 1,114,238 |
Par (a) | Value | ||
Biotechnology & Pharmaceuticals (Continued) | |||
Insmed, Inc., 0.75%, 6/01/28(d) | $ 413,000 | $ 397,306 | |
Mirum Pharmaceuticals, Inc., 4.00%, 5/01/29(b)(d) | 548,000 | 637,392 | |
Revance Therapeutics, Inc., 1.75%, 2/15/27(d) | 808,000 | 604,659 | |
4,824,310 | |||
Cable & Satellite – 0.9% | |||
Cable One, Inc., 1.13%, 3/15/28(d) | 1,343,000 | 991,805 | |
Liberty Media Corp., 3.75%, 3/15/28(b)(d) | 1,343,000 | 1,459,841 | |
2,451,646 | |||
Commercial Support Services – 0.0%(c) | |||
PureCycle Technologies, Inc., 7.25%, 8/15/30(b)(d) | 202,000 | 119,223 | |
Consumer Services – 0.4% | |||
Chegg, Inc., 0.13%, 3/15/25(d) | 1,275,000 | 1,122,000 | |
E-Commerce Discretionary – 0.8% | |||
PDD Holdings, Inc., 0.00%, 12/01/25(f) | 1,190,000 | 1,183,454 | |
Wayfair, Inc., 1.00%, 8/15/26(d) | 1,029,000 | 772,779 | |
1,956,233 | |||
Electric Utilities – 0.9% | |||
CenterPoint Energy, Inc., 4.25%, 8/15/26(b) | 409,000 | 399,389 | |
Duke Energy Corp., 4.13%, 4/15/26(b)(d) | 996,000 | 969,775 | |
NRG Energy, Inc., 2.75%, 6/01/48(d) | 798,000 | 891,366 | |
2,260,530 | |||
Electrical Equipment – 0.5% | |||
Advanced Energy Industries, Inc., 2.50%, 9/15/28(b)(d) | 234,000 | 216,162 | |
Itron, Inc., 0.00%, 3/15/26(d)(f) | 499,000 | 421,440 | |
Mesa Laboratories, Inc., 1.38%, 8/15/25(d) | 622,000 | 552,774 | |
1,190,376 | |||
Engineering & Construction – 0.1% | |||
Tetra Tech, Inc., 2.25%, 8/15/28(b)(d) | 199,000 | 192,532 |
Par (a) | Value | ||
Health Care Facilities & Services – 0.0%(c) | |||
UpHealth, Inc., | |||
(SOFR + 9.00%), 14.32%, 12/15/25(b)(g) | $ 91,000 | $ 72,345 | |
6.25%, 6/15/26(b) | 66,000 | 15,180 | |
87,525 | |||
Household Products – 0.4% | |||
Beauty Health (The) Co., 1.25%, 10/01/26(b)(d) | 1,394,000 | 1,043,581 | |
Internet Media & Services – 2.4% | |||
Airbnb, Inc., 0.00%, 3/15/26(d)(f) | 786,000 | 679,497 | |
Liberty TripAdvisor Holdings, Inc., 0.50%, 6/30/51(b)(d) | 1,969,000 | 1,545,665 | |
Lyft, Inc., 1.50%, 5/15/25 | 1,391,000 | 1,268,592 | |
Snap, Inc., 0.00%, 5/01/27(d)(f) | 1,353,000 | 1,008,661 | |
Upwork, Inc., 0.25%, 8/15/26(d) | 1,498,000 | 1,225,364 | |
Ziff Davis, Inc., 1.75%, 11/01/26 | 567,000 | 510,017 | |
6,237,796 | |||
Leisure Facilities & Services – 1.3% | |||
Cheesecake Factory (The), Inc., 0.38%, 6/15/26(d) | 1,492,000 | 1,238,014 | |
Live Nation Entertainment, Inc., 3.13%, 1/15/29(b)(d) | 852,000 | 855,408 | |
Marcus (The) Corp., 5.00%, 9/15/25(b)(d) | 316,000 | 488,536 | |
Marriott Vacations Worldwide Corp., 3.25%, 12/15/27(b)(d) | 883,000 | 742,603 | |
3,324,561 | |||
Medical Equipment & Devices – 1.2% | |||
CONMED Corp., 2.25%, 6/15/27 | 698,000 | 650,187 | |
Enovis Corp., 3.88%, 10/15/28(b) | 357,000 | 371,994 | |
Haemonetics Corp., 0.00%, 3/01/26(d)(f) | 1,609,000 | 1,379,797 | |
Integer Holdings Corp., 2.13%, 2/15/28(b)(d) | 631,000 | 692,054 | |
3,094,032 | |||
Metals & Mining – 0.2% | |||
Equinox Gold Corp., 4.75%, 10/15/28(b)(d) | 547,000 | 538,467 |
Par (a) | Value | ||
Oil, Gas Services & Equipment – 0.3% | |||
Helix Energy Solutions Group, Inc., 6.75%, 2/15/26(d) | $ 488,000 | $ 761,524 | |
Real Estate Investment Trusts – 1.2% | |||
HAT Holdings I LLC/HAT Holdings II LLC, 0.00%, 5/01/25(b)(f) | 928,000 | 877,254 | |
Pebblebrook Hotel Trust, 1.75%, 12/15/26(d) | 1,469,000 | 1,157,002 | |
Summit Hotel Properties, Inc., 1.50%, 2/15/26(d) | 1,464,000 | 1,211,742 | |
3,245,998 | |||
Real Estate Services – 0.2% | |||
Realogy Group LLC/Realogy Co-Issuer Corp., 0.25%, 6/15/26(d) | 711,000 | 527,100 | |
Renewable Energy – 0.4% | |||
Sunnova Energy International, Inc., | |||
0.25%, 12/01/26 | 1,027,000 | 549,445 | |
2.63%, 2/15/28 | 860,000 | 413,660 | |
963,105 | |||
Retail - Discretionary – 0.3% | |||
Patrick Industries, Inc., 1.75%, 12/01/28(d) | 841,000 | 790,961 | |
Software – 2.8% | |||
Bentley Systems, Inc., 0.38%, 7/01/27(d) | 984,000 | 834,924 | |
Ceridian HCM Holding, Inc., 0.25%, 3/15/26(d) | 1,538,000 | 1,338,747 | |
Envestnet, Inc., | |||
0.75%, 8/15/25(d) | 577,000 | 523,339 | |
2.63%, 12/01/27(b) | 729,000 | 623,295 | |
i3 Verticals LLC, 1.00%, 2/15/25(d) | 1,035,000 | 945,084 | |
Jamf Holding Corp., 0.13%, 9/01/26(d) | 709,000 | 581,904 | |
Kaleyra, Inc., 6.13%, 6/01/26(b) | 82,000 | 81,612 | |
Mitek Systems, Inc., 0.75%, 2/01/26(d) | 825,000 | 709,021 | |
NextGen Healthcare, Inc., 3.75%, 11/15/27(b)(d) | 422,000 | 474,263 | |
Q2 Holdings, Inc., 0.75%, 6/01/26(d) | 359,000 | 308,823 | |
Verint Systems, Inc., 0.25%, 4/15/26(d) | 1,102,000 | 928,435 | |
7,349,447 |
Par (a) | Value | ||
Specialty Finance – 3.8% | |||
Arbor Realty Trust, Inc., 7.50%, 8/01/25(b) | $ 547,000 | $ 519,650 | |
EZCORP, Inc., | |||
2.38%, 5/01/25 | 521,000 | 478,960 | |
3.75%, 12/15/29(b) | 398,000 | 379,045 | |
LendingTree, Inc., 0.50%, 7/15/25 | 1,842,000 | 1,436,760 | |
PennyMac Corp., | |||
5.50%, 11/01/24(d) | 2,100,000 | 2,042,250 | |
5.50%, 3/15/26 | 923,000 | 838,786 | |
SoFi Technologies, Inc., 0.00%, 10/15/26(b)(d)(f) | 1,950,000 | 1,467,375 | |
Two Harbors Investment Corp., 6.25%, 1/15/26(d) | 1,835,000 | 1,643,243 | |
Upstart Holdings, Inc., 0.25%, 8/15/26 | 1,499,000 | 945,869 | |
9,751,938 | |||
Technology Hardware – 0.2% | |||
Lumentum Holdings, Inc., 0.50%, 12/15/26(d) | 764,000 | 622,675 | |
Technology Services – 1.4% | |||
Affirm Holdings, Inc., 0.00%, 11/15/26(f) | 1,162,000 | 828,622 | |
Block, Inc., | |||
0.13%, 3/01/25 | 356,000 | 327,876 | |
0.25%, 11/01/27 | 647,000 | 483,633 | |
CSG Systems International, Inc., 3.88%, 9/15/28(b)(d) | 388,000 | 359,653 | |
Perficient, Inc., 0.13%, 11/15/26 | 1,266,000 | 1,011,982 | |
Repay Holdings Corp., 0.00%, 2/01/26(b)(f) | 632,000 | 501,840 | |
3,513,606 | |||
Transportation & Logistics – 1.6% | |||
Air Transport Services Group, Inc., 3.88%, 8/15/29(b)(d) | 1,014,000 | 935,922 | |
American Airlines Group, Inc., 6.50%, 7/01/25 | 1,296,000 | 1,312,848 | |
CryoPort, Inc., 0.75%, 12/01/26(b)(d) | 1,341,000 | 1,053,490 | |
Spirit Airlines, Inc., 1.00%, 5/15/26(d) | 1,321,000 | 767,329 | |
4,069,589 |
Par (a) | Value | ||
Transportation Equipment – 0.4% | |||
Greenbrier (The) Cos., Inc., 2.88%, 4/15/28(d) | $1,106,000 | $ 955,252 | |
Total Convertible Bonds (Cost $69,167,984) | 63,655,165 |
Number of Shares | |||
Convertible Preferred Stocks – 1.0% | |||
Asset Management – 0.2% | |||
Apollo Global Management, Inc., 6.75% | 11,468 | 551,725 | |
Banking – 0.3% | |||
New York Community Capital Trust V, 6.00% | 23,824 | 840,034 | |
Chemicals – 0.2% | |||
Lyondellbasell Advanced Polymers, Inc., 6.00% | 669 | 565,305 | |
Technology Hardware – 0.3% | |||
NCR Voyix Corp., (100% Cash), 5.50%(h) | 556 | 673,421 | |
Total Convertible Preferred Stocks (Cost $3,005,481) | 2,630,485 |
Par (a) | |||
Corporate Bonds – 16.4% | |||
Advertising & Marketing – 0.0%(c) | |||
Advantage Sales & Marketing, Inc., 6.50%, 11/15/28(b) | $ 35,000 | $ 28,525 | |
Interpublic (The) Group of Cos., Inc, 2.40%, 3/01/31 | 5,000 | 3,850 | |
32,375 | |||
Aerospace & Defense – 0.4% | |||
Boeing (The) Co., | |||
2.20%, 2/04/26 | 60,000 | 55,130 | |
5.15%, 5/01/30 | 105,000 | 98,380 | |
General Dynamics Corp., | |||
3.50%, 4/01/27 | 130,000 | 121,886 | |
3.75%, 5/15/28 | 70,000 | 65,215 | |
Lockheed Martin Corp., | |||
5.10%, 11/15/27 | 40,000 | 39,539 | |
3.90%, 6/15/32 | 105,000 | 91,908 | |
5.25%, 1/15/33 | 170,000 | 163,798 | |
4.75%, 2/15/34 | 320,000 | 294,140 | |
Moog, Inc., 4.25%, 12/15/27(b) | 5,000 | 4,451 |
Par (a) | Value | ||
Aerospace & Defense (Continued) | |||
TransDigm, Inc., | |||
5.50%, 11/15/27 | $ 54,000 | $ 50,272 | |
6.75%, 8/15/28(b) | 114,000 | 110,692 | |
6.88%, 12/15/30(b) | 12,000 | 11,587 | |
1,106,998 | |||
Apparel & Textile Products – 0.0%(c) | |||
Tapestry, Inc., 3.05%, 3/15/32 | 140,000 | 100,447 | |
Asset Management – 0.2% | |||
Ameriprise Financial, Inc., | |||
3.00%, 4/02/25 | 100,000 | 96,033 | |
5.15%, 5/15/33 | 85,000 | 78,455 | |
Ares Capital Corp., | |||
2.15%, 7/15/26 | 48,000 | 42,158 | |
2.88%, 6/15/27 | 60,000 | 52,037 | |
2.88%, 6/15/28 | 40,000 | 33,106 | |
Barings BDC, Inc., 3.30%, 11/23/26 | 35,000 | 30,628 | |
Charles Schwab (The) Corp., | |||
1.15%, 5/13/26 | 50,000 | 43,945 | |
5.88%, 8/24/26 | 75,000 | 74,481 | |
Compass Group Diversified Holdings LLC, 5.25%, 4/15/29(b) | 23,000 | 19,641 | |
FS KKR Capital Corp., | |||
2.63%, 1/15/27 | 105,000 | 89,515 | |
3.25%, 7/15/27 | 10,000 | 8,595 | |
Golub Capital BDC, Inc., 2.50%, 8/24/26 | 10,000 | 8,744 | |
NFP Corp., | |||
6.88%, 8/15/28(b) | 31,000 | 26,471 | |
8.50%, 10/01/31(b) | 20,000 | 19,665 | |
623,474 | |||
Automotive – 0.2% | |||
Adient Global Holdings Ltd., | |||
7.00%, 4/15/28(b) | 10,000 | 9,843 | |
8.25%, 4/15/31(b) | 9,000 | 8,759 | |
American Honda Finance Corp., 1.20%, 7/08/25 | 75,000 | 69,649 | |
General Motors Financial Co., Inc., | |||
4.35%, 4/09/25 | 80,000 | 77,784 | |
2.35%, 2/26/27 | 200,000 | 175,819 | |
Lear Corp., 3.80%, 9/15/27 | 60,000 | 54,964 |
Par (a) | Value | ||
Automotive (Continued) | |||
Tenneco, Inc., 8.00%, 11/17/28(b) | $ 30,000 | $ 24,075 | |
Toyota Motor Credit Corp., 1.13%, 6/18/26 | 30,000 | 26,829 | |
447,722 | |||
Banking – 1.8% | |||
Bank of America Corp., | |||
4.00%, 1/22/25 | 50,000 | 48,662 | |
(SOFR + 0.91%), 0.98%, 9/25/25(i) | 20,000 | 19,036 | |
(3M CME Term SOFR + 1.07%), 3.37%, 1/23/26(i) | 25,000 | 24,029 | |
(SOFR + 1.33%), 3.38%, 4/02/26(i) | 695,000 | 665,915 | |
(SOFR + 1.15%), 1.32%, 6/19/26(i) | 210,000 | 192,994 | |
(SOFR + 1.75%), 4.83%, 7/22/26(i) | 105,000 | 102,319 | |
(SOFR + 2.04%), 4.95%, 7/22/28(i) | 110,000 | 104,538 | |
(SOFR + 1.99%), 6.20%, 11/10/28(i) | 125,000 | 124,157 | |
(3M CME Term SOFR + 1.25%), 2.50%, 2/13/31(i) | 80,000 | 63,056 | |
(SOFR + 1.22%), 2.65%, 3/11/32(i) | 50,000 | 38,319 | |
(SOFR + 1.21%), 2.57%, 10/20/32(i) | 30,000 | 22,468 | |
(SOFR + 1.91%), 5.29%, 4/25/34(i) | 80,000 | 72,255 | |
Citigroup, Inc., | |||
(SOFR + 1.37%), 4.14%, 5/24/25(i) | 110,000 | 108,642 | |
(SOFR + 0.77%), 1.46%, 6/09/27(i) | 375,000 | 330,076 | |
4.45%, 9/29/27 | 100,000 | 92,374 | |
(SOFR + 1.94%), 3.79%, 3/17/33(i) | 140,000 | 113,655 | |
Fifth Third Bancorp, (SOFR + 2.34%), 6.34%, 7/27/29(i) | 30,000 | 29,058 | |
JPMorgan Chase & Co., | |||
(SOFR + 0.61%), 1.56%, 12/10/25(i) | 25,000 | 23,658 | |
(SOFR + 0.92%), 2.60%, 2/24/26(i) | 327,000 | 311,667 | |
(3M CME Term SOFR + 1.59%), 2.01%, 3/13/26(i) | 300,000 | 283,097 | |
(SOFR + 0.80%), 1.05%, 11/19/26(i) | 180,000 | 161,887 |
Par (a) | Value | ||
Banking (Continued) | |||
JPMorgan Chase & Co., | |||
(3M CME Term SOFR + 0.70%), 1.04%, 2/04/27(i) | $205,000 | $ 182,291 | |
(SOFR + 0.77%), 1.47%, 9/22/27(i) | 95,000 | 82,758 | |
(SOFR + 1.99%), 4.85%, 7/25/28(i) | 245,000 | 234,099 | |
(SOFR + 2.08%), 4.91%, 7/25/33(i) | 90,000 | 80,841 | |
(SOFR + 1.85%), 5.35%, 6/01/34(i) | 120,000 | 110,678 | |
Santander Holdings USA, Inc., | |||
(SOFR Index + 1.38%), 4.26%, 6/09/25(i) | 70,000 | 68,471 | |
(SOFR + 2.36%), 6.50%, 3/09/29(i) | 10,000 | 9,672 | |
Truist Financial Corp., | |||
4.00%, 5/01/25 | 50,000 | 48,042 | |
(SOFR + 1.46%), 4.26%, 7/28/26(i) | 90,000 | 86,198 | |
U.S. Bancorp, (SOFR + 1.66%), 4.55%, 7/22/28(i) | 20,000 | 18,565 | |
Wells Fargo & Co., | |||
(3M CME Term SOFR + 1.09%), 2.41%, 10/30/25(i) | 12,000 | 11,514 | |
(SOFR + 1.32%), 3.91%, 4/25/26(i) | 165,000 | 159,094 | |
(SOFR + 1.51%), 3.53%, 3/24/28(i) | 160,000 | 145,884 | |
(SOFR + 1.98%), 4.81%, 7/25/28(i) | 240,000 | 227,037 | |
(SOFR + 1.74%), 5.57%, 7/25/29(i) | 80,000 | 77,143 | |
(SOFR + 1.99%), 5.56%, 7/25/34(i) | 90,000 | 82,385 | |
4,556,534 | |||
Beverages – 0.1% | |||
Constellation Brands, Inc., 4.35%, 5/09/27 | 65,000 | 62,002 | |
PepsiCo, Inc., 4.45%, 2/15/33 | 100,000 | 93,662 | |
155,664 | |||
Biotechnology & Pharmaceuticals – 0.6% | |||
AbbVie, Inc., | |||
2.60%, 11/21/24 | 370,000 | 357,516 | |
3.80%, 3/15/25 | 70,000 | 68,141 | |
3.60%, 5/14/25 | 170,000 | 164,459 | |
Bausch Health Americas, Inc., 8.50%, 1/31/27(b) | 2,000 | 895 |
Par (a) | Value | ||
Biotechnology & Pharmaceuticals (Continued) | |||
Bausch Health Cos., Inc., 11.00%, 9/30/28(b) | $ 69,000 | $ 42,090 | |
Biogen, Inc., 2.25%, 5/01/30 | 135,000 | 106,025 | |
Bristol-Myers Squibb Co., | |||
1.45%, 11/13/30 | 50,000 | 37,680 | |
5.75%, 2/01/31(j) | 90,000 | 89,454 | |
Eli Lilly & Co., 4.70%, 2/27/33 | 70,000 | 65,736 | |
Jazz Securities DAC, 4.38%, 1/15/29(b) | 42,000 | 36,526 | |
Merck & Co., Inc., 4.50%, 5/17/33 | 240,000 | 218,178 | |
Organon & Co./Organon Foreign Debt Co-Issuer B.V., 5.13%, 4/30/31(b) | 70,000 | 54,664 | |
Perrigo Finance Unlimited Co., 4.65%, 6/15/30 | 40,000 | 33,402 | |
Pfizer Investment Enterprises Pte. Ltd., 4.45%, 5/19/28 | 30,000 | 28,674 | |
Regeneron Pharmaceuticals, Inc., 1.75%, 9/15/30 | 280,000 | 211,014 | |
Zoetis, Inc., | |||
3.00%, 9/12/27 | 140,000 | 127,213 | |
2.00%, 5/15/30 | 20,000 | 15,752 | |
1,657,419 | |||
Cable & Satellite – 0.4% | |||
Cable One, Inc., 4.00%, 11/15/30(b) | 30,000 | 22,350 | |
CCO Holdings LLC/CCO Holdings Capital Corp., | |||
5.38%, 6/01/29(b) | 5,000 | 4,376 | |
6.38%, 9/01/29(b) | 40,000 | 36,608 | |
7.38%, 3/01/31(b) | 115,000 | 108,677 | |
4.75%, 2/01/32(b) | 135,000 | 105,376 | |
4.50%, 6/01/33(b) | 32,000 | 23,871 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, | |||
2.25%, 1/15/29 | 15,000 | 12,146 | |
2.30%, 2/01/32 | 120,000 | 85,731 | |
Comcast Corp., | |||
3.40%, 4/01/30 | 50,000 | 43,286 | |
4.80%, 5/15/33 | 110,000 | 100,328 | |
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 8/15/27(b) | 155,000 | 135,816 | |
DISH DBS Corp., | |||
7.75%, 7/01/26 | 22,000 | 14,742 |
Par (a) | Value | ||
Cable & Satellite (Continued) | |||
DISH DBS Corp., | |||
5.75%, 12/01/28(b) | $ 28,000 | $ 20,335 | |
GCI LLC, 4.75%, 10/15/28(b) | 20,000 | 17,162 | |
Sirius XM Radio, Inc., | |||
5.00%, 8/01/27(b) | 80,000 | 73,352 | |
5.50%, 7/01/29(b) | 134,000 | 118,734 | |
4.13%, 7/01/30(b) | 30,000 | 23,821 | |
946,711 | |||
Chemicals – 0.5% | |||
Air Products and Chemicals, Inc., 1.85%, 5/15/27 | 110,000 | 97,198 | |
Ashland, Inc., 3.38%, 9/01/31(b) | 70,000 | 53,660 | |
Celanese U.S. Holdings LLC, 6.35%, 11/15/28 | 65,000 | 63,461 | |
Chemours (The) Co., | |||
5.38%, 5/15/27 | 61,000 | 55,108 | |
5.75%, 11/15/28(b) | 89,000 | 75,272 | |
CVR Partners L.P./CVR Nitrogen Finance Corp., 6.13%, 6/15/28(b) | 69,000 | 60,893 | |
LYB International Finance II B.V., 3.50%, 3/02/27 | 30,000 | 27,723 | |
PPG Industries, Inc., 1.20%, 3/15/26 | 165,000 | 148,046 | |
Rain Carbon, Inc., 12.25%, 9/01/29(b) | 32,000 | 32,560 | |
SK Invictus Intermediate II S.a.r.l., 5.00%, 10/30/29(b) | 7,000 | 5,286 | |
Tronox, Inc., 4.63%, 3/15/29(b) | 28,000 | 22,057 | |
Valvoline, Inc., 4.25%, 2/15/30(b) | 735,000 | 719,985 | |
1,361,249 | |||
Commercial Support Services – 0.2% | |||
ADT Security (The) Corp., 4.13%, 8/01/29(b) | 36,000 | 30,876 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp., 9.75%, 7/15/27(b) | 25,000 | 21,716 | |
APX Group, Inc., | |||
6.75%, 2/15/27(b) | 7,000 | 6,758 | |
5.75%, 7/15/29(b) | 42,000 | 34,917 | |
Cintas Corp. No. 2, | |||
3.45%, 5/01/25 | 87,000 | 84,197 | |
3.70%, 4/01/27 | 171,000 | 161,178 |
Par (a) | Value | ||
Commercial Support Services (Continued) | |||
Prime Security Services Borrower LLC/Prime Finance, Inc., | |||
5.75%, 4/15/26(b) | $ 50,000 | $ 48,505 | |
6.25%, 1/15/28(b) | 33,000 | 30,601 | |
TriNet Group, Inc., 7.13%, 8/15/31(b) | 23,000 | 22,237 | |
VT Topco, Inc., 8.50%, 8/15/30(b) | 15,000 | 14,634 | |
Waste Connections, Inc., | |||
2.60%, 2/01/30 | 5,000 | 4,138 | |
3.20%, 6/01/32 | 55,000 | 44,522 | |
Williams Scotsman International, Inc., 4.63%, 8/15/28(b) | 46,000 | 40,865 | |
Williams Scotsman, Inc., | |||
6.13%, 6/15/25(b) | 51,000 | 50,110 | |
7.38%, 10/01/31(b) | 10,000 | 9,836 | |
605,090 | |||
Construction Materials – 0.1% | |||
AmeriTex HoldCo Intermediate LLC, 10.25%, 10/15/28(b) | 15,000 | 14,183 | |
Eagle Materials, Inc., 2.50%, 7/01/31 | 38,000 | 28,972 | |
Smyrna Ready Mix Concrete LLC, 6.00%, 11/01/28(b) | 28,000 | 25,888 | |
Standard Industries, Inc., 4.38%, 7/15/30(b) | 135,000 | 110,298 | |
179,341 | |||
Consumer Services – 0.0%(c) | |||
Adtalem Global Education, Inc., 5.50%, 3/01/28(b) | 3,000 | 2,732 | |
Service Corp. International, 4.00%, 5/15/31 | 54,000 | 43,708 | |
46,440 | |||
Containers & Packaging – 0.0%(c) | |||
Mauser Packaging Solutions Holding Co., | |||
7.88%, 8/15/26(b) | 10,000 | 9,366 | |
9.25%, 4/15/27(b) | 11,000 | 9,161 | |
18,527 | |||
Diversified Industrials – 0.0%(c) | |||
Honeywell International, Inc., 4.50%, 1/15/34 | 80,000 | 71,894 | |
E-Commerce Discretionary – 0.0%(c) | |||
eBay, Inc., 1.90%, 3/11/25 | 50,000 | 47,379 |
Par (a) | Value | ||
Electric Utilities – 0.9% | |||
AEP Texas, Inc., 3.95%, 6/01/28 | $ 50,000 | $45,886 | |
AES (The) Corp., 5.45%, 6/01/28 | 30,000 | 28,649 | |
Alabama Power Co., 3.05%, 3/15/32 | 35,000 | 28,412 | |
Appalachian Power Co., 4.50%, 8/01/32 | 50,000 | 43,646 | |
Arizona Public Service Co., 2.20%, 12/15/31 | 50,000 | 36,963 | |
Berkshire Hathaway Energy Co., | |||
3.70%, 7/15/30 | 60,000 | 52,199 | |
1.65%, 5/15/31 | 25,000 | 18,236 | |
Black Hills Corp., 3.15%, 1/15/27 | 20,000 | 18,248 | |
Calpine Corp., | |||
4.63%, 2/01/29(b) | 25,000 | 21,116 | |
5.00%, 2/01/31(b) | 53,000 | 42,749 | |
CenterPoint Energy Houston Electric LLC, 4.45%, 10/01/32 | 30,000 | 26,830 | |
CenterPoint Energy, Inc., 5.25%, 8/10/26 | 22,000 | 21,665 | |
Constellation Energy Generation LLC, 3.25%, 6/01/25 | 50,000 | 47,846 | |
Dominion Energy, Inc., 3.38%, 4/01/30 | 50,000 | 42,048 | |
DTE Electric Co., 5.20%, 4/01/33 | 50,000 | 47,105 | |
DTE Energy Co., 1.05%, 6/01/25 | 55,000 | 50,808 | |
Duke Energy Carolinas LLC, 4.95%, 1/15/33 | 20,000 | 18,471 | |
Duke Energy Corp., | |||
2.65%, 9/01/26 | 100,000 | 91,644 | |
3.40%, 6/15/29 | 50,000 | 43,782 | |
5.75%, 9/15/33 | 5,000 | 4,749 | |
Duke Energy Progress LLC, | |||
3.40%, 4/01/32 | 20,000 | 16,528 | |
5.25%, 3/15/33 | 10,000 | 9,424 | |
Entergy Louisiana LLC, 1.60%, 12/15/30 | 90,000 | 66,250 | |
Eversource Energy, 5.13%, 5/15/33 | 50,000 | 45,194 | |
Exelon Corp., 5.15%, 3/15/28 | 40,000 | 38,803 | |
Florida Power & Light Co., | |||
2.45%, 2/03/32 | 30,000 | 23,395 | |
4.80%, 5/15/33 | 30,000 | 27,496 | |
Georgia Power Co., | |||
4.65%, 5/16/28 | 30,000 | 28,659 | |
4.70%, 5/15/32 | 20,000 | 18,107 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
ITC Holdings Corp., 3.35%, 11/15/27 | $ 90,000 | $ 81,723 | |
National Rural Utilities Cooperative Finance Corp., | |||
1.00%, 6/15/26 | 85,000 | 75,481 | |
2.40%, 3/15/30 | 50,000 | 40,252 | |
NextEra Energy Capital Holdings, Inc., | |||
4.45%, 6/20/25 | 190,000 | 185,255 | |
5.75%, 9/01/25 | 30,000 | 29,859 | |
NRG Energy, Inc., | |||
5.25%, 6/15/29(b) | 119,000 | 104,989 | |
3.88%, 2/15/32(b) | 31,000 | 23,038 | |
Oncor Electric Delivery Co. LLC, 4.30%, 5/15/28(b) | 25,000 | 23,621 | |
Pacific Gas and Electric Co., 2.50%, 2/01/31 | 80,000 | 59,305 | |
PG&E Corp., 5.25%, 7/01/30 | 119,000 | 104,232 | |
PPL Capital Funding, Inc., 3.10%, 5/15/26 | 20,000 | 18,695 | |
PPL Electric Utilities Corp., 5.00%, 5/15/33 | 10,000 | 9,274 | |
Public Service Co. of Colorado, 4.10%, 6/01/32 | 25,000 | 21,630 | |
Public Service Electric and Gas Co., | |||
4.65%, 3/15/33 | 10,000 | 9,111 | |
5.20%, 8/01/33 | 20,000 | 18,987 | |
Public Service Enterprise Group, Inc., 1.60%, 8/15/30 | 10,000 | 7,504 | |
San Diego Gas & Electric Co., 4.95%, 8/15/28 | 45,000 | 43,383 | |
Sempra, 5.50%, 8/01/33 | 10,000 | 9,300 | |
Southern (The) Co., 5.20%, 6/15/33 | 50,000 | 45,959 | |
Southern California Edison Co., | |||
2.95%, 2/01/51 | 6,000 | 3,334 | |
5.88%, 12/01/53 | 10,000 | 8,896 | |
Southwestern Electric Power Co., 5.30%, 4/01/33 | 10,000 | 9,210 | |
Talen Energy Supply LLC, 8.63%, 6/01/30(b) | 15,000 | 15,242 | |
Union Electric Co., 2.95%, 3/15/30 | 70,000 | 58,919 | |
Virginia Electric and Power Co., 2.30%, 11/15/31 | 45,000 | 34,364 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
Vistra Operations Co. LLC, | |||
5.50%, 9/01/26(b) | $ 25,000 | $ 23,784 | |
5.63%, 2/15/27(b) | 76,000 | 71,517 | |
5.00%, 7/31/27(b) | 50,000 | 45,739 | |
7.75%, 10/15/31(b) | 35,000 | 33,783 | |
WEC Energy Group, Inc., 5.60%, 9/12/26 | 15,000 | 14,910 | |
Wisconsin Electric Power Co., 1.70%, 6/15/28 | 10,000 | 8,455 | |
Wisconsin Power and Light Co., 1.95%, 9/16/31 | 5,000 | 3,709 | |
Xcel Energy, Inc., 4.60%, 6/01/32 | 10,000 | 8,840 | |
2,257,208 | |||
Electric, Gas Marketing & Trading – 0.0%(c) | |||
PECO Energy Co., 4.90%, 6/15/33 | 20,000 | 18,505 | |
Electrical Equipment – 0.1% | |||
Atkore, Inc., 4.25%, 6/01/31(b) | 55,000 | 45,444 | |
BWX Technologies, Inc., 4.13%, 6/30/28(b) | 115,000 | 101,198 | |
Emerald Debt Merger Sub LLC, 6.63%, 12/15/30(b) | 15,000 | 14,269 | |
160,911 | |||
Engineering & Construction – 0.0%(c) | |||
Brand Industrial Services, Inc., 10.38%, 8/01/30(b) | 15,000 | 14,887 | |
Quanta Services, Inc., 2.35%, 1/15/32 | 50,000 | 35,993 | |
TopBuild Corp., 4.13%, 2/15/32(b) | 20,000 | 15,822 | |
Tutor Perini Corp., 6.88%, 5/01/25(b) | 13,000 | 11,180 | |
77,882 | |||
Entertainment Content – 0.1% | |||
ROBLOX Corp., 3.88%, 5/01/30(b) | 13,000 | 10,548 | |
TEGNA, Inc., | |||
4.63%, 3/15/28 | 53,000 | 45,713 | |
5.00%, 9/15/29 | 200,000 | 167,500 | |
Univision Communications, Inc., | |||
6.63%, 6/01/27(b) | 23,000 | 21,008 | |
8.00%, 8/15/28(b) | 5,000 | 4,722 | |
7.38%, 6/30/30(b) | 116,000 | 102,139 | |
351,630 |
Par (a) | Value | ||
Finance Companies – 0.0%(c) | |||
Blackstone Private Credit Fund, 2.70%, 1/15/25 | $ 60,000 | $ 56,940 | |
Food – 0.1% | |||
BellRing Brands, Inc., 7.00%, 3/15/30(b) | 37,000 | 35,936 | |
General Mills, Inc., | |||
4.00%, 4/17/25 | 30,000 | 29,195 | |
4.95%, 3/29/33 | 35,000 | 31,787 | |
Hershey (The) Co., 4.50%, 5/04/33 | 35,000 | 32,162 | |
Lamb Weston Holdings, Inc., 4.38%, 1/31/32(b) | 103,000 | 85,219 | |
Mondelez International, Inc., 2.63%, 3/17/27 | 40,000 | 36,197 | |
Post Holdings, Inc., 5.50%, 12/15/29(b) | 63,000 | 56,184 | |
306,680 | |||
Forestry, Paper & Wood Products – 0.0%(c) | |||
Boise Cascade Co., 4.88%, 7/01/30(b) | 61,000 | 52,474 | |
Domtar Corp., 6.75%, 10/01/28(b) | 21,000 | 17,089 | |
Louisiana-Pacific Corp., 3.63%, 3/15/29(b) | 28,000 | 23,063 | |
92,626 | |||
Gas & Water Utilities – 0.1% | |||
American Water Capital Corp., 4.45%, 6/01/32 | 30,000 | 26,990 | |
AmeriGas Partners L.P./AmeriGas Finance Corp., | |||
5.88%, 8/20/26 | 11,000 | 10,312 | |
5.75%, 5/20/27 | 42,000 | 38,599 | |
9.38%, 6/01/28(b) | 48,000 | 47,436 | |
NiSource, Inc., 0.95%, 8/15/25 | 100,000 | 91,367 | |
ONE Gas, Inc., 4.25%, 9/01/32 | 25,000 | 22,025 | |
Piedmont Natural Gas Co., Inc., 5.40%, 6/15/33 | 10,000 | 9,286 | |
Southern California Gas Co., 5.20%, 6/01/33 | 30,000 | 27,717 | |
Southern Co. Gas Capital Corp., 5.75%, 9/15/33 | 10,000 | 9,518 |
Par (a) | Value | ||
Gas & Water Utilities (Continued) | |||
Southwest Gas Corp., 4.05%, 3/15/32 | $ 25,000 | $ 21,173 | |
Suburban Propane Partners L.P./Suburban Energy Finance Corp., 5.00%, 6/01/31(b) | 26,000 | 21,536 | |
325,959 | |||
Health Care Facilities & Services – 0.7% | |||
Acadia Healthcare Co., Inc., 5.50%, 7/01/28(b) | 21,000 | 19,387 | |
Aetna, Inc., 3.50%, 11/15/24 | 40,000 | 38,992 | |
Cencora, Inc., 2.70%, 3/15/31 | 90,000 | 71,317 | |
CHS/Community Health Systems, Inc., | |||
8.00%, 3/15/26(b) | 33,000 | 30,164 | |
6.88%, 4/15/29(b) | 33,000 | 13,626 | |
Cigna Group (The), 1.25%, 3/15/26 | 100,000 | 89,965 | |
DaVita, Inc., 4.63%, 6/01/30(b) | 102,000 | 79,939 | |
Fortrea Holdings, Inc., 7.50%, 7/01/30(b) | 3,000 | 2,895 | |
HCA, Inc., | |||
3.50%, 9/01/30 | 50,000 | 41,382 | |
3.63%, 3/15/32 | 121,000 | 97,195 | |
Heartland Dental LLC/Heartland Dental Finance Corp., 10.50%, 4/30/28(b) | 20,000 | 19,223 | |
Humana, Inc., | |||
4.50%, 4/01/25 | 57,000 | 55,993 | |
5.75%, 3/01/28 | 70,000 | 69,730 | |
LifePoint Health, Inc., | |||
9.88%, 8/15/30(b) | 35,000 | 31,631 | |
11.00%, 10/15/30(b) | 25,000 | 23,527 | |
McKesson Corp., 0.90%, 12/03/25 | 75,000 | 67,991 | |
Molina Healthcare, Inc., 4.38%, 6/15/28(b) | 200,000 | 178,003 | |
Star Parent, Inc., 9.00%, 10/01/30(b) | 10,000 | 9,924 | |
Tenet Healthcare Corp., | |||
6.13%, 10/01/28 | 124,000 | 115,010 | |
6.13%, 6/15/30 | 13,000 | 12,032 | |
6.75%, 5/15/31(b) | 20,000 | 18,993 | |
UnitedHealth Group, Inc., | |||
4.25%, 1/15/29 | 30,000 | 28,204 | |
5.30%, 2/15/30 | 390,000 | 382,839 | |
2.00%, 5/15/30 | 125,000 | 99,327 | |
4.50%, 4/15/33 | 320,000 | 288,129 | |
1,885,418 |
Par (a) | Value | ||
Home & Office Products – 0.0%(c) | |||
Steelcase, Inc., 5.13%, 1/18/29 | $ 17,000 | $ 14,980 | |
Tempur Sealy International, Inc., | |||
4.00%, 4/15/29(b) | 25,000 | 20,510 | |
3.88%, 10/15/31(b) | 43,000 | 32,202 | |
67,692 | |||
Home Construction – 0.1% | |||
Lennar Corp., 5.00%, 6/15/27 | 35,000 | 33,775 | |
Masco Corp., 3.50%, 11/15/27 | 45,000 | 40,680 | |
NVR, Inc., 3.00%, 5/15/30 | 135,000 | 110,801 | |
Toll Brothers Finance Corp., | |||
4.35%, 2/15/28 | 60,000 | 55,106 | |
3.80%, 11/01/29 | 30,000 | 25,842 | |
266,204 | |||
Household Products – 0.0%(c) | |||
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.75%, 1/15/29(b) | 21,000 | 18,590 | |
Industrial Support Services – 0.0%(c) | |||
EquipmentShare.com, Inc., 9.00%, 5/15/28(b) | 15,000 | 14,100 | |
NESCO Holdings II, Inc., 5.50%, 4/15/29(b) | 2,000 | 1,715 | |
United Rentals North America, Inc., 6.00%, 12/15/29(b) | 10,000 | 9,622 | |
25,437 | |||
Institutional Financial Services – 0.9% | |||
Bank of New York Mellon (The) Corp., (SOFR + 1.17%), 4.54%, 2/01/29(i) | 50,000 | 46,913 | |
Coinbase Global, Inc., | |||
3.38%, 10/01/28(b) | 42,000 | 30,838 | |
3.63%, 10/01/31(b) | 18,000 | 12,238 | |
Goldman Sachs Group (The), Inc., | |||
(3M CME Term SOFR + 1.46%), 3.27%, 9/29/25(i) | 25,000 | 24,261 | |
(SOFR + 0.61%), 0.86%, 2/12/26(i) | 90,000 | 83,478 | |
3.50%, 11/16/26 | 50,000 | 46,370 | |
(SOFR + 0.79%), 1.09%, 12/09/26(i) | 450,000 | 401,741 | |
(SOFR + 0.80%), 1.43%, 3/09/27(i) | 110,000 | 97,694 |
Par (a) | Value | ||
Institutional Financial Services (Continued) | |||
Goldman Sachs Group (The), Inc., | |||
(3M CME Term SOFR + 1.42%), 3.81%, 4/23/29(i) | $ 50,000 | $ 44,914 | |
3.80%, 3/15/30 | 50,000 | 43,199 | |
(SOFR + 1.09%), 1.99%, 1/27/32(i) | 65,000 | 47,685 | |
(SOFR + 1.28%), 2.62%, 4/22/32(i) | 10,000 | 7,619 | |
(SOFR + 1.25%), 2.38%, 7/21/32(i) | 75,000 | 55,669 | |
Intercontinental Exchange, Inc., 1.85%, 9/15/32 | 30,000 | 21,341 | |
Jefferies Financial Group, Inc., 5.88%, 7/21/28 | 45,000 | 43,439 | |
Morgan Stanley, | |||
(SOFR + 1.99%), 2.19%, 4/28/26(i) | 20,000 | 18,812 | |
(SOFR + 1.67%), 4.68%, 7/17/26(i) | 260,000 | 252,631 | |
(SOFR + 0.72%), 0.99%, 12/10/26(i) | 360,000 | 320,382 | |
(SOFR + 0.88%), 1.59%, 5/04/27(i) | 70,000 | 62,200 | |
(3M CME Term SOFR + 1.89%), 4.43%, 1/23/30(i) | 50,000 | 45,526 | |
(SOFR + 3.12%), 3.62%, 4/01/31(i) | 145,000 | 122,768 | |
(SOFR + 1.03%), 1.79%, 2/13/32(i) | 350,000 | 253,212 | |
(SOFR + 1.87%), 5.25%, 4/21/34(i) | 160,000 | 144,161 | |
2,227,091 | |||
Insurance – 0.6% | |||
Aflac, Inc., 1.13%, 3/15/26 | 30,000 | 26,937 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, | |||
6.75%, 10/15/27(b) | 11,000 | 10,046 | |
6.75%, 4/15/28(b) | 10,000 | 9,502 | |
Aon Corp., 2.80%, 5/15/30 | 20,000 | 16,320 | |
Arthur J Gallagher & Co., | |||
2.40%, 11/09/31 | 20,000 | 15,066 | |
5.50%, 3/02/33 | 170,000 | 158,353 | |
6.50%, 2/15/34 | 75,000 | 74,439 | |
Assurant, Inc., 4.90%, 3/27/28 | 65,000 | 61,550 | |
Assured Guaranty U.S. Holdings, Inc., 6.13%, 9/15/28 | 70,000 | 69,517 |
Par (a) | Value | ||
Insurance (Continued) | |||
AssuredPartners, Inc., 5.63%, 1/15/29(b) | $ 3,000 | $ 2,545 | |
Brown & Brown, Inc., | |||
4.50%, 3/15/29 | 90,000 | 82,294 | |
4.20%, 3/17/32 | 50,000 | 41,911 | |
Corebridge Financial, Inc., 3.50%, 4/04/25 | 10,000 | 9,615 | |
Enstar Group Ltd., 3.10%, 9/01/31 | 165,000 | 121,978 | |
HUB International Ltd., | |||
7.00%, 5/01/26(b) | 10,000 | 9,734 | |
7.25%, 6/15/30(b) | 10,000 | 9,755 | |
Marsh & McLennan Cos., Inc., | |||
2.25%, 11/15/30 | 50,000 | 39,329 | |
2.38%, 12/15/31 | 410,000 | 313,771 | |
5.75%, 11/01/32 | 100,000 | 97,499 | |
5.40%, 9/15/33 | 96,000 | 91,247 | |
Principal Financial Group, Inc., 5.38%, 3/15/33 | 40,000 | 37,378 | |
Progressive (The) Corp., | |||
2.50%, 3/15/27 | 90,000 | 81,254 | |
3.20%, 3/26/30 | 60,000 | 51,125 | |
Unum Group, 4.00%, 6/15/29 | 135,000 | 120,275 | |
1,551,440 | |||
Internet Media & Services – 0.4% | |||
Booking Holdings, Inc., 4.63%, 4/13/30 | 23,000 | 21,429 | |
Meta Platforms, Inc., | |||
3.50%, 8/15/27 | 130,000 | 122,222 | |
4.60%, 5/15/28 | 50,000 | 48,467 | |
4.80%, 5/15/30 | 40,000 | 38,570 | |
3.85%, 8/15/32 | 235,000 | 204,245 | |
4.95%, 5/15/33 | 220,000 | 206,235 | |
VeriSign, Inc., | |||
4.75%, 7/15/27 | 100,000 | 95,316 | |
2.70%, 6/15/31 | 300,000 | 231,678 | |
Ziff Davis, Inc., 4.63%, 10/15/30(b) | 187,000 | 156,560 | |
1,124,722 | |||
Leisure Facilities & Services – 0.6% | |||
Affinity Interactive, 6.88%, 12/15/27(b) | 9,000 | 7,336 | |
Boyne USA, Inc., 4.75%, 5/15/29(b) | 10,000 | 8,707 | |
Caesars Entertainment, Inc., 7.00%, 2/15/30(b) | 32,000 | 30,883 | |
Carnival Corp., | |||
7.63%, 3/01/26(b) | 15,000 | 14,586 |
Par (a) | Value | ||
Leisure Facilities & Services (Continued) | |||
Carnival Corp., | |||
6.00%, 5/01/29(b) | $ 23,000 | $ 19,430 | |
10.50%, 6/01/30(b) | 86,000 | 87,258 | |
Carnival Holdings Bermuda Ltd., 10.38%, 5/01/28(b) | 63,000 | 67,171 | |
Choice Hotels International, Inc., 3.70%, 12/01/29 | 5,000 | 4,095 | |
Churchill Downs, Inc., 6.75%, 5/01/31(b) | 53,000 | 48,892 | |
Darden Restaurants, Inc., 6.30%, 10/10/33 | 30,000 | 29,140 | |
Hilton Domestic Operating Co., Inc., | |||
4.88%, 1/15/30 | 128,000 | 114,909 | |
4.00%, 5/01/31(b) | 50,000 | 41,408 | |
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, | |||
5.00%, 6/01/29(b) | 32,000 | 26,800 | |
4.88%, 7/01/31(b) | 70,000 | 55,432 | |
Hyatt Hotels Corp., 5.75%, 1/30/27 | 30,000 | 29,649 | |
Live Nation Entertainment, Inc., 6.50%, 5/15/27(b) | 10,000 | 9,756 | |
Marriott International, Inc., | |||
5.75%, 5/01/25 | 9,000 | 8,972 | |
5.00%, 10/15/27 | 35,000 | 33,809 | |
5.55%, 10/15/28 | 30,000 | 29,235 | |
2.85%, 4/15/31 | 110,000 | 86,442 | |
Marriott Ownership Resorts, Inc., 4.50%, 6/15/29(b) | 25,000 | 20,544 | |
McDonald's Corp., 4.60%, 9/09/32 | 320,000 | 293,652 | |
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 5/01/29(b) | 10,000 | 8,325 | |
NCL Corp. Ltd., | |||
5.88%, 3/15/26(b) | 65,000 | 58,337 | |
8.13%, 1/15/29(b) | 15,000 | 14,655 | |
7.75%, 2/15/29(b) | 2,000 | 1,746 | |
Resorts World Las Vegas LLC/RWLV Capital, Inc., 8.45%, 7/27/30(b) | 65,000 | 59,783 | |
Royal Caribbean Cruises Ltd., | |||
5.50%, 8/31/26(b) | 36,000 | 33,972 | |
11.63%, 8/15/27(b) | 104,000 | 112,795 |
Par (a) | Value | ||
Leisure Facilities & Services (Continued) | |||
Station Casinos LLC, 4.63%, 12/01/31(b) | $ 15,000 | $ 11,843 | |
Travel + Leisure Co., | |||
6.63%, 7/31/26(b) | 35,000 | 34,151 | |
6.00%, 4/01/27 | 34,000 | 31,756 | |
4.63%, 3/01/30(b) | 23,000 | 18,829 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., | |||
5.13%, 10/01/29(b) | 9,000 | 7,675 | |
7.13%, 2/15/31(b) | 12,000 | 11,175 | |
Yum! Brands, Inc., | |||
4.75%, 1/15/30(b) | 50,000 | 44,511 | |
4.63%, 1/31/32 | 96,000 | 81,799 | |
1,599,458 | |||
Leisure Products – 0.0%(c) | |||
Thor Industries, Inc., 4.00%, 10/15/29(b) | 24,000 | 19,345 | |
Machinery – 0.2% | |||
Eaton Corp., 4.15%, 3/15/33 | 20,000 | 17,596 | |
GrafTech Finance, Inc., 4.63%, 12/15/28(b) | 25,000 | 18,326 | |
IDEX Corp., 2.63%, 6/15/31 | 180,000 | 140,466 | |
Ingersoll Rand, Inc., | |||
5.40%, 8/14/28 | 90,000 | 87,695 | |
5.70%, 8/14/33 | 60,000 | 56,692 | |
Oshkosh Corp., 3.10%, 3/01/30 | 103,000 | 87,052 | |
Pentair Finance S.a.r.l., 4.50%, 7/01/29 | 60,000 | 54,283 | |
Terex Corp., 5.00%, 5/15/29(b) | 22,000 | 19,258 | |
Titan International, Inc., 7.00%, 4/30/28 | 51,000 | 46,602 | |
527,970 | |||
Medical Equipment & Devices – 0.1% | |||
Agilent Technologies, Inc., 2.30%, 3/12/31 | 30,000 | 23,242 | |
Bausch & Lomb Escrow Corp., 8.38%, 10/01/28(b) | 15,000 | 14,899 | |
Becton Dickinson & Co., 3.70%, 6/06/27 | 55,000 | 51,177 | |
Edwards Lifesciences Corp., 4.30%, 6/15/28 | 70,000 | 65,588 | |
Embecta Corp., 5.00%, 2/15/30(b) | 18,000 | 14,293 |
Par (a) | Value | ||
Medical Equipment & Devices (Continued) | |||
Hologic, Inc., 4.63%, 2/01/28(b) | $ 50,000 | $ 45,470 | |
Medline Borrower L.P., 5.25%, 10/01/29(b) | 40,000 | 34,049 | |
248,718 | |||
Metals & Mining – 0.1% | |||
Arsenal AIC Parent LLC, 8.00%, 10/01/30(b) | 15,000 | 14,813 | |
Freeport-McMoRan, Inc., 4.13%, 3/01/28 | 35,000 | 31,809 | |
Novelis Corp., 4.75%, 1/30/30(b) | 55,000 | 46,666 | |
SunCoke Energy, Inc., 4.88%, 6/30/29(b) | 20,000 | 16,740 | |
110,028 | |||
Oil & Gas Producers – 1.9% | |||
Antero Midstream Partners L.P./Antero Midstream Finance Corp., 5.75%, 3/01/27(b) | 26,000 | 24,850 | |
Cheniere Corpus Christi Holdings LLC, 5.13%, 6/30/27 | 41,000 | 39,559 | |
Chesapeake Energy Corp., 6.75%, 4/15/29(b) | 5,000 | 4,892 | |
Chevron USA, Inc., 3.25%, 10/15/29 | 20,000 | 17,769 | |
Civitas Resources, Inc., | |||
5.00%, 10/15/26(b) | 20,000 | 18,713 | |
8.38%, 7/01/28(b) | 53,000 | 53,327 | |
8.63%, 11/01/30(b) | 10,000 | 10,178 | |
8.75%, 7/01/31(b) | 30,000 | 30,278 | |
CNX Resources Corp., | |||
7.25%, 3/14/27(b) | 12,000 | 11,810 | |
6.00%, 1/15/29(b) | 40,000 | 36,678 | |
7.38%, 1/15/31(b) | 26,000 | 24,842 | |
Columbia Pipeline Group, Inc., 4.50%, 6/01/25 | 235,000 | 229,281 | |
Comstock Resources, Inc., | |||
6.75%, 3/01/29(b) | 64,000 | 58,241 | |
5.88%, 1/15/30(b) | 6,000 | 5,130 | |
CQP Holdco L.P./BIP-V Chinook Holdco LLC, 5.50%, 6/15/31(b) | 60,000 | 52,185 | |
Crescent Energy Finance LLC, | |||
7.25%, 5/01/26(b) | 36,000 | 34,852 | |
9.25%, 2/15/28(b) | 30,000 | 30,215 | |
DCP Midstream Operating L.P., 3.25%, 2/15/32 | 5,000 | 3,932 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Earthstone Energy Holdings LLC, 9.88%, 7/15/31(b) | $ 25,000 | $ 26,922 | |
Energy Transfer L.P., | |||
4.05%, 3/15/25 | 50,000 | 48,603 | |
2.90%, 5/15/25 | 80,000 | 76,208 | |
5.75%, 2/15/33 | 90,000 | 84,370 | |
6.55%, 12/01/33 | 50,000 | 49,341 | |
EnLink Midstream LLC, | |||
5.63%, 1/15/28(b) | 25,000 | 23,573 | |
5.38%, 6/01/29 | 12,000 | 10,980 | |
EnLink Midstream Partners L.P., 5.45%, 6/01/47 | 8,000 | 6,014 | |
EQM Midstream Partners L.P., 7.50%, 6/01/30(b) | 90,000 | 88,302 | |
EQT Corp., | |||
3.90%, 10/01/27 | 100,000 | 92,009 | |
7.00%, 2/01/30 | 100,000 | 101,322 | |
FTAI Infra Escrow Holdings LLC, 10.50%, 6/01/27(b) | 15,000 | 14,579 | |
Global Partners L.P./GLP Finance Corp., 6.88%, 1/15/29 | 100,000 | 88,255 | |
Gulfport Energy Corp., 8.00%, 5/17/26 | 11,000 | 10,981 | |
Harvest Midstream I L.P., 7.50%, 9/01/28(b) | 35,000 | 33,164 | |
Hess Corp., 4.30%, 4/01/27 | 50,000 | 47,843 | |
Hess Midstream Operations L.P., | |||
5.13%, 6/15/28(b) | 75,000 | 69,252 | |
4.25%, 2/15/30(b) | 25,000 | 21,392 | |
5.50%, 10/15/30(b) | 6,000 | 5,447 | |
Hilcorp Energy I L.P./Hilcorp Finance Co., | |||
6.25%, 11/01/28(b) | 20,000 | 18,699 | |
6.00%, 2/01/31(b) | 63,000 | 55,186 | |
6.25%, 4/15/32(b) | 40,000 | 34,932 | |
Howard Midstream Energy Partners LLC, 8.88%, 7/15/28(b) | 15,000 | 15,080 | |
Kinder Morgan, Inc., | |||
1.75%, 11/15/26 | 60,000 | 53,172 | |
7.75%, 1/15/32 | 20,000 | 21,227 | |
5.20%, 6/01/33 | 10,000 | 9,012 | |
Marathon Petroleum Corp., 4.70%, 5/01/25 | 50,000 | 48,958 | |
MPLX L.P., | |||
4.88%, 12/01/24 | 12,000 | 11,838 | |
4.88%, 6/01/25 | 735,000 | 720,535 | |
4.13%, 3/01/27 | 180,000 | 169,044 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
MPLX L.P., | |||
4.25%, 12/01/27 | $ 90,000 | $ 83,719 | |
2.65%, 8/15/30 | 50,000 | 39,500 | |
5.00%, 3/01/33 | 260,000 | 230,238 | |
Murphy Oil USA, Inc., 3.75%, 2/15/31(b) | 20,000 | 16,068 | |
New Fortress Energy, Inc., | |||
6.75%, 9/15/25(b) | 115,000 | 106,689 | |
6.50%, 9/30/26(b) | 25,000 | 22,392 | |
Northern Oil and Gas, Inc., | |||
8.13%, 3/01/28(b) | 35,000 | 34,564 | |
8.75%, 6/15/31(b) | 6,000 | 5,970 | |
ONEOK, Inc., | |||
2.20%, 9/15/25 | 80,000 | 74,550 | |
5.85%, 1/15/26 | 77,000 | 76,924 | |
4.00%, 7/13/27 | 255,000 | 237,047 | |
6.05%, 9/01/33 | 110,000 | 105,419 | |
Ovintiv, Inc., 5.38%, 1/01/26 | 10,000 | 9,827 | |
PBF Holding Co. LLC/PBF Finance Corp., | |||
6.00%, 2/15/28 | 38,000 | 34,934 | |
7.88%, 9/15/30(b) | 19,000 | 18,335 | |
Plains All American Pipeline L.P./PAA Finance Corp., 3.55%, 12/15/29 | 62,000 | 52,693 | |
Sunoco L.P./Sunoco Finance Corp., | |||
5.88%, 3/15/28 | 109,000 | 103,113 | |
7.00%, 9/15/28(b) | 30,000 | 29,197 | |
4.50%, 5/15/29 | 35,000 | 30,318 | |
Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp., 5.50%, 1/15/28(b) | 100,000 | 87,605 | |
Targa Resources Corp., 5.20%, 7/01/27 | 160,000 | 154,813 | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., | |||
6.50%, 7/15/27 | 17,000 | 16,801 | |
5.00%, 1/15/28 | 46,000 | 43,411 | |
5.50%, 3/01/30 | 25,000 | 23,038 | |
4.88%, 2/01/31 | 20,000 | 17,631 | |
Transcontinental Gas Pipe Line Co. LLC, | |||
7.85%, 2/01/26 | 105,000 | 108,409 | |
3.25%, 5/15/30 | 30,000 | 25,124 | |
Venture Global Calcasieu Pass LLC, 6.25%, 1/15/30(b) | 112,000 | 105,656 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Venture Global LNG, Inc., | |||
8.13%, 6/01/28(b) | $ 60,000 | $ 58,249 | |
9.50%, 2/01/29(b) | 27,000 | 27,430 | |
8.38%, 6/01/31(b) | 35,000 | 33,399 | |
9.88%, 2/01/32(b) | 27,000 | 27,378 | |
Viper Energy Partners L.P., 7.38%, 11/01/31(b) | 28,000 | 27,930 | |
4,811,343 | |||
Oil, Gas Services & Equipment – 0.1% | |||
Diamond Foreign Asset Co./Diamond Finance LLC, 8.50%, 10/01/30(b) | 5,000 | 4,874 | |
Noble Finance II LLC, 8.00%, 4/15/30(b) | 45,000 | 44,972 | |
Patterson-UTI Energy, Inc., 7.15%, 10/01/33 | 55,000 | 53,659 | |
Transocean, Inc., | |||
7.50%, 1/15/26(b) | 10,000 | 9,579 | |
8.00%, 2/01/27(b) | 9,000 | 8,448 | |
8.75%, 2/15/30(b) | 63,650 | 63,462 | |
USA Compression Partners L.P./USA Compression Finance Corp., | |||
6.88%, 4/01/26 | 21,000 | 20,393 | |
6.88%, 9/01/27 | 43,000 | 41,199 | |
Valaris Ltd., 8.38%, 4/30/30(b) | 60,000 | 58,875 | |
305,461 | |||
Publishing & Broadcasting – 0.1% | |||
Belo Corp., 7.25%, 9/15/27 | 14,000 | 13,342 | |
Nexstar Media, Inc., | |||
5.63%, 7/15/27(b) | 100,000 | 89,996 | |
4.75%, 11/01/28(b) | 33,000 | 27,717 | |
Urban One, Inc., 7.38%, 2/01/28(b) | 19,000 | 15,622 | |
146,677 | |||
Real Estate Investment Trusts – 0.6% | |||
American Tower Corp., | |||
2.95%, 1/15/25 | 105,000 | 101,085 | |
5.80%, 11/15/28 | 55,000 | 53,732 | |
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.75%, 5/15/26(b) | 70,000 | 64,096 | |
Crown Castle, Inc., | |||
3.65%, 9/01/27 | 80,000 | 72,727 | |
3.80%, 2/15/28 | 17,000 | 15,332 | |
EPR Properties, 4.75%, 12/15/26 | 20,000 | 18,243 |
Par (a) | Value | ||
Real Estate Investment Trusts (Continued) | |||
Equinix, Inc., 1.45%, 5/15/26 | $ 70,000 | $ 62,520 | |
Iron Mountain Information Management Services, Inc., 5.00%, 7/15/32(b) | 60,000 | 49,095 | |
Iron Mountain, Inc., | |||
5.00%, 7/15/28(b) | 75,000 | 67,116 | |
4.88%, 9/15/29(b) | 20,000 | 17,421 | |
5.25%, 7/15/30(b) | 40,000 | 34,723 | |
5.63%, 7/15/32(b) | 50,000 | 42,714 | |
Omega Healthcare Investors, Inc., | |||
4.50%, 1/15/25 | 50,000 | 48,483 | |
4.50%, 4/01/27 | 80,000 | 73,677 | |
4.75%, 1/15/28 | 60,000 | 54,725 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, | |||
5.88%, 10/01/28(b) | 29,000 | 26,106 | |
4.88%, 5/15/29(b) | 2,000 | 1,669 | |
Prologis L.P., | |||
4.88%, 6/15/28 | 20,000 | 19,238 | |
4.75%, 6/15/33 | 40,000 | 35,818 | |
Public Storage Operating Co., | |||
1.50%, 11/09/26 | 20,000 | 17,838 | |
1.95%, 11/09/28 | 125,000 | 104,712 | |
3.39%, 5/01/29 | 25,000 | 22,208 | |
2.25%, 11/09/31 | 120,000 | 91,519 | |
5.10%, 8/01/33 | 25,000 | 23,165 | |
RLJ Lodging Trust L.P., 4.00%, 9/15/29(b) | 40,000 | 32,600 | |
Service Properties Trust, 7.50%, 9/15/25 | 25,000 | 24,289 | |
Simon Property Group L.P., | |||
3.50%, 9/01/25 | 65,000 | 62,269 | |
1.38%, 1/15/27 | 10,000 | 8,673 | |
5.50%, 3/08/33 | 40,000 | 37,171 | |
Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC, | |||
10.50%, 2/15/28(b) | 38,000 | 36,592 | |
6.50%, 2/15/29(b) | 24,000 | 15,586 | |
VICI Properties L.P./VICI Note Co., Inc., | |||
4.63%, 6/15/25(b) | 35,000 | 33,617 | |
5.75%, 2/01/27(b) | 100,000 | 95,701 | |
4.13%, 8/15/30(b) | 50,000 | 41,248 |
Par (a) | Value | ||
Real Estate Investment Trusts (Continued) | |||
Welltower OP LLC, 4.00%, 6/01/25 | $ 57,000 | $ 55,095 | |
XHR L.P., 4.88%, 6/01/29(b) | 40,000 | 33,843 | |
1,594,646 | |||
Real Estate Owners & Developers – 0.1% | |||
Greystar Real Estate Partners LLC, 7.75%, 9/01/30(b) | 10,000 | 9,825 | |
Howard Hughes (The) Corp., | |||
5.38%, 8/01/28(b) | 46,000 | 40,439 | |
4.13%, 2/01/29(b) | 8,000 | 6,420 | |
4.38%, 2/01/31(b) | 26,000 | 19,791 | |
Kennedy-Wilson Inc., | |||
4.75%, 3/01/29 | 41,000 | 30,852 | |
4.75%, 2/01/30 | 11,000 | 8,030 | |
5.00%, 3/01/31 | 11,000 | 7,893 | |
123,250 | |||
Retail - Consumer Staples – 0.1% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC, 4.88%, 2/15/30(b) | 57,000 | 50,890 | |
Costco Wholesale Corp., 1.38%, 6/20/27 | 140,000 | 121,849 | |
Ingles Markets, Inc., 4.00%, 6/15/31(b) | 35,000 | 27,825 | |
200,564 | |||
Retail - Discretionary – 0.4% | |||
Academy Ltd., 6.00%, 11/15/27(b) | 23,000 | 21,652 | |
Asbury Automotive Group, Inc., 5.00%, 2/15/32(b) | 55,000 | 44,608 | |
AutoZone, Inc., | |||
5.05%, 7/15/26 | 120,000 | 117,961 | |
4.50%, 2/01/28 | 40,000 | 37,821 | |
Bath & Body Works, Inc., 5.25%, 2/01/28 | 25,000 | 22,924 | |
Beacon Roofing Supply, Inc., 6.50%, 8/01/30(b) | 19,000 | 18,142 | |
Builders FirstSource, Inc., 6.38%, 6/15/32(b) | 85,000 | 77,798 | |
Gap (The), Inc., 3.63%, 10/01/29(b) | 19,000 | 14,517 | |
Genuine Parts Co., 1.75%, 2/01/25 | 190,000 | 179,594 | |
Lowe's Cos., Inc., | |||
4.00%, 4/15/25 | 45,000 | 43,861 | |
4.40%, 9/08/25 | 65,000 | 63,542 |
Par (a) | Value | ||
Retail - Discretionary (Continued) | |||
Lowe's Cos., Inc., | |||
3.35%, 4/01/27 | $ 55,000 | $ 50,930 | |
3.10%, 5/03/27 | 95,000 | 87,060 | |
2.63%, 4/01/31 | 10,000 | 7,898 | |
Macy's Retail Holdings LLC, | |||
5.88%, 4/01/29(b) | 27,000 | 23,803 | |
5.88%, 3/15/30(b) | 37,000 | 31,302 | |
6.13%, 3/15/32(b) | 70,000 | 57,810 | |
Metis Merger Sub LLC, 6.50%, 5/15/29(b) | 14,000 | 11,440 | |
Nordstrom, Inc., | |||
4.38%, 4/01/30 | 23,000 | 17,853 | |
4.25%, 8/01/31 | 26,000 | 19,047 | |
Ross Stores, Inc., 4.70%, 4/15/27 | 2,000 | 1,918 | |
951,481 | |||
Semiconductors – 0.4% | |||
Analog Devices, Inc., | |||
1.70%, 10/01/28 | 40,000 | 33,463 | |
2.10%, 10/01/31 | 30,000 | 23,131 | |
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 1/15/27 | 350,000 | 327,132 | |
Broadcom, Inc., | |||
3.46%, 9/15/26 | 70,000 | 65,675 | |
4.00%, 4/15/29(b) | 145,000 | 129,521 | |
4.15%, 4/15/32(b) | 40,000 | 33,845 | |
2.60%, 2/15/33(b) | 270,000 | 195,897 | |
3.42%, 4/15/33(b) | 140,000 | 108,853 | |
Intel Corp., 3.75%, 3/25/27 | 50,000 | 47,179 | |
Marvell Technology, Inc., 5.95%, 9/15/33 | 40,000 | 37,992 | |
Texas Instruments, Inc., | |||
1.90%, 9/15/31 | 54,000 | 41,615 | |
4.90%, 3/14/33 | 25,000 | 23,522 | |
1,067,825 | |||
Software – 0.3% | |||
athenahealth Group, Inc., 6.50%, 2/15/30(b) | 35,000 | 28,604 | |
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8.00%, 6/15/29(b) | 10,000 | 9,877 | |
Cloud Software Group, Inc., | |||
6.50%, 3/31/29(b) | 48,000 | 42,141 | |
9.00%, 9/30/29(b) | 47,000 | 40,025 | |
Elastic N.V., 4.13%, 7/15/29(b) | 11,000 | 9,270 | |
Fortinet, Inc., 2.20%, 3/15/31 | 10,000 | 7,625 |
Par (a) | Value | ||
Software (Continued) | |||
Intuit, Inc., | |||
1.65%, 7/15/30 | $ 16,000 | $ 12,369 | |
5.20%, 9/15/33 | 100,000 | 95,127 | |
McAfee Corp., 7.38%, 2/15/30(b) | 22,000 | 17,599 | |
Oracle Corp., | |||
1.65%, 3/25/26 | 180,000 | 163,258 | |
4.65%, 5/06/30 | 25,000 | 22,919 | |
2.88%, 3/25/31 | 390,000 | 312,608 | |
Roper Technologies, Inc., 1.00%, 9/15/25 | 45,000 | 41,218 | |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 9/01/25(b) | 6,000 | 4,912 | |
VMware, Inc., 4.50%, 5/15/25 | 10,000 | 9,767 | |
817,319 | |||
Specialty Finance – 0.5% | |||
Air Lease Corp., 3.38%, 7/01/25 | 45,000 | 42,713 | |
American Express Co., | |||
3.95%, 8/01/25 | 70,000 | 67,632 | |
4.20%, 11/06/25 | 50,000 | 48,386 | |
4.05%, 5/03/29 | 43,000 | 39,331 | |
(SOFR + 1.84%), 5.04%, 5/01/34(i) | 180,000 | 161,588 | |
Apollo Commercial Real Estate Finance, Inc., 4.63%, 6/15/29(b) | 35,000 | 26,791 | |
Burford Capital Global Finance LLC, | |||
6.88%, 4/15/30(b) | 5,000 | 4,500 | |
9.25%, 7/01/31(b) | 5,000 | 4,935 | |
Capital One Financial Corp., | |||
(SOFR + 1.37%), 4.17%, 5/09/25(i) | 85,000 | 83,279 | |
(SOFR + 2.16%), 4.99%, 7/24/26(i) | 45,000 | 43,385 | |
FirstCash, Inc., 5.63%, 1/01/30(b) | 18,000 | 16,023 | |
Fortress Transportation and Infrastructure Investors LLC, | |||
6.50%, 10/01/25(b) | 22,000 | 21,782 | |
9.75%, 8/01/27(b) | 120,000 | 123,450 | |
Freedom Mortgage Corp., | |||
12.00%, 10/01/28(b) | 10,000 | 10,032 | |
12.25%, 10/01/30(b) | 20,000 | 20,007 | |
MGIC Investment Corp., 5.25%, 8/15/28 | 44,000 | 40,444 |
Par (a) | Value | ||
Specialty Finance (Continued) | |||
Nationstar Mortgage Holdings, Inc., | |||
5.00%, 2/01/26(b) | $108,000 | $ 100,386 | |
5.50%, 8/15/28(b) | 25,000 | 22,092 | |
5.13%, 12/15/30(b) | 80,000 | 64,735 | |
Navient Corp., 6.75%, 6/15/26 | 6,000 | 5,685 | |
OneMain Finance Corp., | |||
7.13%, 3/15/26 | 35,000 | 33,992 | |
6.63%, 1/15/28 | 41,000 | 37,300 | |
PennyMac Financial Services, Inc., | |||
5.38%, 10/15/25(b) | 27,000 | 25,712 | |
5.75%, 9/15/31(b) | 26,000 | 21,199 | |
SLM Corp., 4.20%, 10/29/25 | 15,000 | 13,950 | |
United Wholesale Mortgage LLC, | |||
5.50%, 11/15/25(b) | 48,000 | 45,623 | |
5.75%, 6/15/27(b) | 30,000 | 27,298 | |
5.50%, 4/15/29(b) | 51,000 | 42,712 | |
1,194,962 | |||
Steel – 0.1% | |||
Carpenter Technology Corp., 6.38%, 7/15/28 | 9,000 | 8,561 | |
Cleveland-Cliffs, Inc., 6.75%, 4/15/30(b) | 42,000 | 38,942 | |
Nucor Corp., 3.13%, 4/01/32 | 50,000 | 40,394 | |
Reliance Steel & Aluminum Co., 1.30%, 8/15/25 | 40,000 | 36,760 | |
124,657 | |||
Technology Hardware – 0.4% | |||
Apple, Inc., 3.35%, 8/08/32 | 25,000 | 21,465 | |
CDW LLC/CDW Finance Corp., | |||
5.50%, 12/01/24 | 40,000 | 39,586 | |
2.67%, 12/01/26 | 9,000 | 8,051 | |
3.57%, 12/01/31 | 110,000 | 88,205 | |
Dell International LLC/EMC Corp., 5.85%, 7/15/25 | 80,000 | 79,850 | |
Flex Ltd., 4.88%, 6/15/29 | 90,000 | 82,298 | |
Imola Merger Corp., 4.75%, 5/15/29(b) | 33,000 | 28,769 | |
Jabil, Inc., | |||
1.70%, 4/15/26 | 65,000 | 58,587 | |
4.25%, 5/15/27 | 70,000 | 65,689 | |
5.45%, 2/01/29 | 30,000 | 28,837 |
Par (a) | Value | ||
Technology Hardware (Continued) | |||
Motorola Solutions, Inc., | |||
4.60%, 5/23/29 | $100,000 | $ 93,182 | |
2.75%, 5/24/31 | 100,000 | 77,521 | |
5.60%, 6/01/32 | 60,000 | 56,222 | |
NCR Atleos Escrow Corp., 9.50%, 4/01/29(b) | 30,000 | 29,407 | |
NCR Voyix Corp., 5.00%, 10/01/28(b) | 40,000 | 34,536 | |
Seagate HDD Cayman, | |||
8.25%, 12/15/29(b) | 103,000 | 104,671 | |
8.50%, 7/15/31(b) | 3,000 | 3,053 | |
9.63%, 12/01/32(b) | 66,000 | 70,357 | |
Teledyne Technologies, Inc., 2.75%, 4/01/31 | 30,000 | 23,663 | |
Xerox Holdings Corp., 5.50%, 8/15/28(b) | 47,000 | 36,300 | |
1,030,249 | |||
Technology Services – 0.7% | |||
ASGN, Inc., 4.63%, 5/15/28(b) | 20,000 | 17,710 | |
Conduent Business Services LLC/Conduent State & Local Solutions, Inc., 6.00%, 11/01/29(b) | 26,000 | 21,433 | |
FactSet Research Systems, Inc., 2.90%, 3/01/27 | 150,000 | 135,490 | |
Fidelity National Information Services, Inc., 4.50%, 7/15/25 | 50,000 | 48,828 | |
Fiserv, Inc., | |||
5.38%, 8/21/28 | 30,000 | 29,341 | |
5.60%, 3/02/33 | 220,000 | 207,017 | |
Gartner, Inc., | |||
4.50%, 7/01/28(b) | 38,000 | 34,189 | |
3.63%, 6/15/29(b) | 13,000 | 10,978 | |
3.75%, 10/01/30(b) | 33,000 | 27,314 | |
International Business Machines Corp., | |||
3.30%, 5/15/26 | 200,000 | 189,154 | |
2.20%, 2/09/27 | 100,000 | 89,645 | |
4.15%, 7/27/27 | 285,000 | 270,079 | |
Kyndryl Holdings, Inc., 2.70%, 10/15/28 | 5,000 | 4,043 | |
Mastercard, Inc., | |||
3.30%, 3/26/27 | 130,000 | 121,395 | |
1.90%, 3/15/31 | 22,000 | 17,078 | |
MPH Acquisition Holdings LLC, 5.50%, 9/01/28(b) | 77,000 | 65,458 |
Par (a) | Value | ||
Technology Services (Continued) | |||
Neptune Bidco U.S., Inc., 9.29%, 4/15/29(b) | $ 46,000 | $ 40,597 | |
S&P Global, Inc., | |||
2.45%, 3/01/27 | 150,000 | 135,739 | |
1.25%, 8/15/30 | 110,000 | 81,788 | |
2.90%, 3/01/32 | 90,000 | 72,212 | |
Sabre GLBL, Inc., 11.25%, 12/15/27(b) | 34,000 | 30,276 | |
Verisk Analytics, Inc., 4.00%, 6/15/25 | 83,000 | 80,404 | |
1,730,168 | |||
Telecommunications – 0.4% | |||
AT&T, Inc., 1.70%, 3/25/26 | 375,000 | 340,373 | |
Consolidated Communications, Inc., 6.50%, 10/01/28(b) | 14,000 | 11,053 | |
Frontier Communications Holdings LLC, | |||
5.88%, 10/15/27(b) | 10,000 | 9,117 | |
6.75%, 5/01/29(b) | 10,000 | 7,913 | |
8.75%, 5/15/30(b) | 10,000 | 9,527 | |
8.63%, 3/15/31(b) | 24,000 | 22,565 | |
Intelsat Jackson Holdings S.A., 6.50%, 3/15/30(b) | 33,000 | 28,975 | |
Level 3 Financing, Inc., 10.50%, 5/15/30(b) | 55,000 | 55,043 | |
T-Mobile USA, Inc., | |||
3.50%, 4/15/25 | 425,000 | 410,602 | |
2.88%, 2/15/31 | 46,000 | 36,630 | |
Verizon Communications, Inc., 3.00%, 3/22/27 | 100,000 | 91,341 | |
Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.75%, 8/15/28(b) | 11,000 | 8,723 | |
1,031,862 | |||
Tobacco & Cannabis – 0.6% | |||
Altria Group, Inc., | |||
2.35%, 5/06/25 | 260,000 | 246,408 | |
2.63%, 9/16/26 | 260,000 | 238,677 | |
3.40%, 5/06/30 | 30,000 | 25,090 | |
2.45%, 2/04/32 | 250,000 | 182,436 | |
6.88%, 11/01/33 | 110,000 | 109,046 | |
Philip Morris International, Inc., | |||
1.50%, 5/01/25 | 100,000 | 93,941 | |
5.63%, 11/17/29 | 270,000 | 264,222 | |
2.10%, 5/01/30 | 60,000 | 47,091 | |
5.75%, 11/17/32 | 85,000 | 81,209 | |
5.38%, 2/15/33 | 80,000 | 73,912 | |
5.63%, 9/07/33 | 90,000 | 84,492 |
Par (a) | Value | ||
Tobacco & Cannabis (Continued) | |||
Vector Group Ltd., 5.75%, 2/01/29(b) | $ 60,000 | $ 50,845 | |
1,497,369 | |||
Transportation & Logistics – 0.2% | |||
American Airlines, Inc., | |||
11.75%, 7/15/25(b) | 25,000 | 26,487 | |
7.25%, 2/15/28(b) | 2,000 | 1,860 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., | |||
5.50%, 4/20/26(b) | 16,667 | 16,207 | |
5.75%, 4/20/29(b) | 99,000 | 89,303 | |
Forward Air Corp., 9.50%, 10/15/31(b) | 47,000 | 45,825 | |
Rand Parent LLC, 8.50%, 2/15/30(b) | 23,000 | 21,004 | |
Ryder System, Inc., | |||
5.65%, 3/01/28 | 50,000 | 48,842 | |
6.60%, 12/01/33 | 80,000 | 79,406 | |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 9/20/25(b) | 29,920 | 22,066 | |
United Airlines, Inc., | |||
4.38%, 4/15/26(b) | 70,000 | 64,933 | |
4.63%, 4/15/29(b) | 185,000 | 156,270 | |
United Parcel Service, Inc., 4.45%, 4/01/30 | 15,000 | 14,070 | |
586,273 | |||
Wholesale - Consumer Staples – 0.0%(c) | |||
United Natural Foods, Inc., 6.75%, 10/15/28(b) | 14,000 | 11,016 | |
Total Corporate Bonds (Cost $45,609,653) | 42,502,840 | ||
Foreign Issuer Bonds – 3.0% | |||
Australia – 0.3% | |||
BHP Billiton Finance USA Ltd., | |||
4.75%, 2/28/28 | 270,000 | 260,666 | |
4.90%, 2/28/33 | 65,000 | 60,114 | |
FMG Resources August 2006 Pty. Ltd., | |||
5.88%, 4/15/30(b) | 30,000 | 26,922 | |
6.13%, 4/15/32(b) | 116,000 | 102,385 | |
Mineral Resources Ltd., | |||
8.13%, 5/01/27(b) | 59,000 | 57,398 | |
8.00%, 11/01/27(b) | 8,000 | 7,730 | |
9.25%, 10/01/28(b) | 15,000 | 15,000 | |
8.50%, 5/01/30(b) | 60,000 | 57,445 |
Par (a) | Value | ||
Australia (Continued) | |||
Rio Tinto Finance USA Ltd., 7.13%, 7/15/28 | $ 8,000 | $ 8,477 | |
Rio Tinto Finance USA PLC, 5.00%, 3/09/33 | 110,000 | 103,087 | |
699,224 | |||
Austria – 0.0%(c) | |||
Benteler International A.G., 10.50%, 5/15/28(b) | 15,000 | 15,108 | |
Bermuda – 0.1% | |||
RenaissanceRe Holdings Ltd., 5.75%, 6/05/33 | 120,000 | 110,396 | |
Canada – 0.8% | |||
1011778 B.C. ULC/New Red Finance, Inc., | |||
3.88%, 1/15/28(b) | 50,000 | 44,640 | |
4.38%, 1/15/28(b) | 32,000 | 28,812 | |
4.00%, 10/15/30(b) | 163,000 | 133,501 | |
Bank of Montreal, | |||
3.70%, 6/07/25 | 215,000 | 207,239 | |
5.72%, 9/25/28 | 50,000 | 48,959 | |
Bank of Nova Scotia (The), | |||
1.05%, 3/02/26 | 65,000 | 57,965 | |
1.35%, 6/24/26 | 160,000 | 141,883 | |
Baytex Energy Corp., 8.75%, 4/01/27(b) | 75,000 | 75,590 | |
Brookfield Corp., 4.00%, 1/15/25 | 50,000 | 48,738 | |
Canadian Imperial Bank of Commerce, 3.95%, 8/04/25 | 50,000 | 48,234 | |
Canadian National Railway Co., 3.85%, 8/05/32 | 60,000 | 51,937 | |
Canadian Natural Resources Ltd., 2.05%, 7/15/25 | 80,000 | 74,709 | |
Enbridge, Inc., 4.25%, 12/01/26 | 60,000 | 57,010 | |
Fairfax Financial Holdings Ltd., | |||
3.38%, 3/03/31 | 25,000 | 20,129 | |
5.63%, 8/16/32 | 70,000 | 64,675 | |
GFL Environmental, Inc., | |||
3.75%, 8/01/25(b) | 25,000 | 23,644 | |
4.75%, 6/15/29(b) | 9,000 | 7,879 | |
MEG Energy Corp., 5.88%, 2/01/29(b) | 94,000 | 87,841 | |
Methanex Corp., 5.25%, 12/15/29 | 73,000 | 64,553 | |
Open Text Holdings, Inc., | |||
4.13%, 2/15/30(b) | 34,000 | 28,172 |
Par (a) | Value | ||
Canada (Continued) | |||
Open Text Holdings, Inc., | |||
4.13%, 12/01/31(b) | $ 32,000 | $ 25,137 | |
Parkland Corp., 4.50%, 10/01/29(b) | 68,000 | 58,487 | |
Royal Bank of Canada, | |||
1.20%, 4/27/26 | 70,000 | 62,424 | |
2.05%, 1/21/27 | 100,000 | 88,504 | |
5.20%, 8/01/28 | 40,000 | 38,575 | |
Superior Plus L.P./Superior General Partner, Inc., 4.50%, 3/15/29(b) | 26,000 | 22,176 | |
Taseko Mines Ltd., 7.00%, 2/15/26(b) | 50,000 | 45,355 | |
Toronto-Dominion Bank (The), | |||
3.77%, 6/06/25 | 62,000 | 59,914 | |
0.75%, 1/06/26 | 160,000 | 143,083 | |
4.69%, 9/15/27 | 80,000 | 76,188 | |
1,935,953 | |||
France – 0.0%(c) | |||
Calderys Financing LLC, 11.25%, 6/01/28(b) | 4,000 | 4,035 | |
Iliad Holding SASU, | |||
6.50%, 10/15/26(b) | 20,000 | 18,689 | |
7.00%, 10/15/28(b) | 20,000 | 18,099 | |
40,823 | |||
Hong Kong – 0.0%(c) | |||
Melco Resorts Finance Ltd., 5.75%, 7/21/28(b) | 45,000 | 38,008 | |
Ireland – 0.1% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.10%, 1/15/27 | 150,000 | 147,540 | |
Japan – 0.6% | |||
Honda Motor Co. Ltd., 2.53%, 3/10/27 | 70,000 | 63,282 | |
Mitsubishi UFJ Financial Group, Inc., | |||
(1Y US Treasury CMT + 1.70%), 4.79%, 7/18/25(i) | 200,000 | 197,725 | |
(1Y US Treasury CMT + 0.45%), 0.96%, 10/11/25(i) | 200,000 | 189,881 | |
(1Y US Treasury CMT + 0.83%), 2.34%, 1/19/28(i) | 275,000 | 243,035 |
Par (a) | Value | ||
Japan (Continued) | |||
Mizuho Financial Group, Inc., (1Y US Treasury CMT + 1.90%), 5.75%, 7/06/34(i) | $200,000 | $ 185,914 | |
Nomura Holdings, Inc., 1.85%, 7/16/25 | 200,000 | 185,268 | |
Sumitomo Mitsui Financial Group, Inc., | |||
1.40%, 9/17/26 | 200,000 | 175,547 | |
5.71%, 1/13/30 | 200,000 | 192,666 | |
5.85%, 7/13/30 | 200,000 | 193,924 | |
1,627,242 | |||
Luxembourg – 0.0%(c) | |||
Altice France Holding S.A., 10.50%, 5/15/27(b) | 25,000 | 13,602 | |
Macau – 0.0%(c) | |||
Sands China Ltd., 5.65%, 8/08/28 | 50,000 | 46,253 | |
Mexico – 0.0%(c) | |||
Southern Copper Corp., 3.88%, 4/23/25 | 5,000 | 4,836 | |
Netherlands – 0.0%(c) | |||
UPC Broadband Finco B.V., 4.88%, 7/15/31(b) | 50,000 | 39,921 | |
Ziggo Bond Co. B.V., | |||
6.00%, 1/15/27(b) | 30,000 | 27,485 | |
5.13%, 2/28/30(b) | 30,000 | 21,858 | |
89,264 | |||
Norway – 0.0%(c) | |||
Seadrill Finance Ltd., 8.38%, 8/01/30(b) | 50,000 | 50,016 | |
Spain – 0.1% | |||
Banco Santander S.A., | |||
1.85%, 3/25/26 | 200,000 | 178,679 | |
6.92%, 8/08/33 | 200,000 | 185,756 | |
364,435 | |||
Switzerland – 0.0%(c) | |||
Novartis Capital Corp., 2.20%, 8/14/30 | 10,000 | 8,131 | |
VistaJet Malta Finance PLC/Vista Management Holding, Inc., 9.50%, 6/01/28(b) | 20,000 | 15,324 | |
23,455 | |||
United Kingdom – 1.0% | |||
180 Medical, Inc., 3.88%, 10/15/29(b) | 40,000 | 33,231 | |
Astrazeneca Finance LLC, 1.20%, 5/28/26 | 100,000 | 89,941 |
Par (a) | Value | ||
United Kingdom (Continued) | |||
AstraZeneca PLC, 3.13%, 6/12/27 | $ 49,000 | $ 45,324 | |
Barclays PLC, (3M USD LIBOR + 1.61%), 3.93%, 5/07/25(i) | 205,000 | 202,208 | |
BAT Capital Corp., 6.34%, 8/02/30 | 110,000 | 106,757 | |
BAT International Finance PLC, | |||
4.45%, 3/16/28 | 20,000 | 18,428 | |
5.93%, 2/02/29 | 100,000 | 97,241 | |
Diageo Capital PLC, 5.50%, 1/24/33 | 260,000 | 253,485 | |
HSBC Holdings PLC, | |||
(SOFR + 1.43%), 3.00%, 3/10/26(i) | 400,000 | 381,425 | |
(3M CME Term SOFR + 1.87%), 3.97%, 5/22/30(i) | 530,000 | 457,910 | |
(SOFR + 4.25%), 8.11%, 11/03/33(i) | 200,000 | 206,967 | |
Lloyds Banking Group PLC, 4.58%, 12/10/25 | 200,000 | 190,213 | |
Macquarie Airfinance Holdings Ltd., 8.13%, 3/30/29(b) | 15,000 | 14,776 | |
Reynolds American, Inc., 4.45%, 6/12/25 | 121,000 | 117,987 | |
Santander UK Group Holdings PLC, (SOFR + 0.79%), 1.09%, 3/15/25(i) | 300,000 | 292,976 | |
Virgin Media Secured Finance PLC, 5.50%, 5/15/29(b) | 50,000 | 44,275 | |
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 7/15/28(b) | 50,000 | 42,453 | |
Vodafone Group PLC, (5Y US Treasury CMT + 3.07%), 5.13%, 6/04/81(i) | 69,000 | 43,833 | |
2,639,430 | |||
Total Foreign Issuer Bonds (Cost $8,306,134) | 7,845,585 |
Number of Shares | |||
Master Limited Partnerships – 0.7% | |||
Oil & Gas Producers – 0.7% | |||
Holly Energy Partners L.P. | 79,411 | 1,687,484 | |
Total Master Limited Partnerships (Cost $1,707,237) | 1,687,484 |
Par (a) | Value | ||
Mortgage-Backed Securities – 10.9% | |||
Federal Home Loan Mortgage Corporation – 0.3% | |||
Pool, | |||
3.00%, 3/01/30 - 8/01/50 | $ 546,173 | $ 464,327 | |
2.50%, 4/01/32 - 7/01/50 | 250,170 | 217,155 | |
4.50%, 4/01/49 | 38,837 | 35,260 | |
2.00%, 10/01/50 | 55,409 | 41,177 | |
757,919 | |||
Federal Home Loan Mortgage Corporation Gold – 0.1% | |||
Pool, 3.00%, 3/01/46 - 12/01/46 | 217,171 | 180,049 | |
Federal National Mortgage Association – 1.2% | |||
Pool, | |||
2.50%, 10/01/35 - 12/01/51 | 1,235,354 | 964,028 | |
3.50%, 8/01/45 - 1/01/49 | 81,355 | 69,833 | |
4.00%, 9/01/48 - 3/01/51 | 555,743 | 487,945 | |
3.00%, 11/01/48 | 17,396 | 14,323 | |
4.50%, 1/01/49 - 2/01/50 | 356,416 | 323,009 | |
2.00%, 2/01/51 - 11/01/51 | 916,616 | 678,582 | |
5.00%, 2/01/53 - 4/01/53 | 336,602 | 310,584 | |
5.50%, 2/01/53 | 191,351 | 182,589 | |
3,030,893 | |||
Government National Mortgage Association – 0.3% | |||
Pool, | |||
3.00%, 11/01/50(j) | 825,000 | 679,860 | |
4.50%, 11/01/52(j) | 100,000 | 90,350 | |
770,210 | |||
Government National Mortgage Association II – 1.0% | |||
Pool, | |||
2.50%, 12/20/46 - 7/20/51 | 544,569 | 432,390 | |
3.50%, 1/20/48 - 8/20/48 | 838,218 | 726,410 | |
4.50%, 9/20/48 - 1/20/50 | 109,248 | 100,113 | |
3.00%, 1/20/50 - 7/20/50 | 360,088 | 299,176 | |
2.00%, 2/20/51 - 10/20/51 | 1,445,483 | 1,117,914 | |
2,676,003 |
Par (a) | Value | ||
Uniform Mortgage-Backed Securities – 1.1% | |||
Pool, | |||
2.00%, 11/01/38 - 11/01/52(j) | $ 950,000 | $ 720,008 | |
2.50%, 11/01/38 - 11/01/52(j) | 1,415,000 | 1,121,812 | |
3.50%, 11/01/38 - 11/01/52(j) | 875,000 | 730,558 | |
4.00%, 11/01/38 - 11/01/52(j) | 400,000 | 350,634 | |
2,923,012 | |||
Whole Loan – 6.9% | |||
FNMA Connecticut Avenue Securities, | |||
Series 2018-C03, Class 1EB2, (30D Average SOFR + 0.96%, 0.85% Floor), 6.29%, 10/25/30(g) | 254,764 | 254,349 | |
Series 2018-R07, Class 1M2, (30D Average SOFR + 2.51%), 7.84%, 4/25/31(b)(g) | 36,474 | 36,474 | |
Series 2018-R07, Class 1M2C, (30D Average SOFR + 2.51%), 7.84%, 4/25/31(b)(g) | 51,447 | 51,477 | |
Series 2019-R01, Class 2M2, (30D Average SOFR + 2.56%), 7.89%, 7/25/31(b)(g) | 59,091 | 59,162 | |
Series 2019-R01, Class 2M2C, (30D Average SOFR + 2.56%), 7.89%, 7/25/31(b)(g) | 115,995 | 116,218 | |
Series 2019-R07, Class 1M2, (30D Average SOFR + 2.21%), 7.54%, 10/25/39(b)(g) | 9,546 | 9,546 | |
Series 2020-R01, Class 1B1, (30D Average SOFR + 3.36%, 3.25% Floor), 8.69%, 1/25/40(b)(g) | 100,870 | 101,937 | |
Series 2020-R01, Class 1M2, (30D Average SOFR + 2.16%), 7.49%, 1/25/40(b)(g) | 886,199 | 895,061 | |
Series 2020-R02, Class 2M2, (30D Average SOFR + 2.11%), 7.44%, 1/25/40(b)(g) | 861,927 | 863,001 | |
Series 2020-SBT1, Class 1M2, (30D Average SOFR + 3.76%), 9.09%, 2/25/40(b)(g) | 275,000 | 286,063 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
FNMA Connecticut Avenue Securities, | |||
Series 2020-SBT1, Class 2M2, (30D Average SOFR + 3.76%), 9.09%, 2/25/40(b)(g) | $245,000 | $255,005 | |
Series 2021-R01, Class 1B1, (30D Average SOFR + 3.10%), 8.42%, 10/25/41(b)(g) | 380,200 | 379,016 | |
Series 2021-R01, Class 1M2, (30D Average SOFR + 1.55%), 6.87%, 10/25/41(b)(g) | 190,000 | 188,240 | |
Series 2021-R02, Class 2B1, (30D Average SOFR + 3.30%), 8.62%, 11/25/41(b)(g) | 500,000 | 496,250 | |
Series 2021-R02, Class 2M1, (30D Average SOFR + 0.90%), 6.22%, 11/25/41(b)(g) | 391,254 | 389,591 | |
Series 2021-R03, Class 1B1, (30D Average SOFR + 2.75%, 2.75% Floor), 8.07%, 12/25/41(b)(g) | 250,000 | 247,243 | |
Series 2022-R01, Class 1B1, (30D Average SOFR + 3.15%), 8.47%, 12/25/41(b)(g) | 550,000 | 548,285 | |
Series 2022-R02, Class 2B1, (30D Average SOFR + 4.50%), 9.82%, 1/25/42(b)(g) | 536,000 | 546,625 | |
Series 2022-R02, Class 2M1, (30D Average SOFR + 1.20%), 6.52%, 1/25/42(b)(g) | 132,488 | 132,033 | |
Series 2022-R02, Class 2M2, (30D Average SOFR + 3.00%), 8.32%, 1/25/42(b)(g) | 450,000 | 449,825 | |
Series 2022-R07, Class 1M1, (30D Average SOFR + 2.95%), 8.27%, 6/25/42(b)(g) | 448,127 | 458,327 | |
Series 2022-R08, Class 1M1, (30D Average SOFR + 2.55%, 2.55% Floor), 7.87%, 7/25/42(b)(g) | 187,959 | 191,067 | |
Series 2023-R05, Class 1B1, (30D Average SOFR + 4.75%, 4.75% Floor), 10.07%, 6/25/43(b)(g) | 100,000 | 103,634 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Freddie Mac STACR Debt Notes, | |||
Series 2016-DNA4, Class M3, (30D Average SOFR + 3.91%), 9.24%, 3/25/29(g) | $380,093 | $396,224 | |
Series 2017-HQA3, Class M2, (30D Average SOFR + 2.46%), 7.79%, 4/25/30(g) | 463,298 | 471,215 | |
Series 2018-HQA1, Class M2, (30D Average SOFR + 2.41%), 7.74%, 9/25/30(g) | 284,535 | 289,178 | |
Series 2021-DNA2, Class B1, (30D Average SOFR + 3.40%), 8.72%, 8/25/33(b)(g) | 200,000 | 203,801 | |
Series 2022-HQA2, Class M1A, (30D Average SOFR + 2.65%), 7.97%, 7/25/42(b)(g) | 282,501 | 287,394 | |
Freddie Mac STACR REMIC Trust, | |||
Series 2020-DNA1, Class M2, (30D Average SOFR + 1.81%), 7.14%, 1/25/50(b)(g) | 233,458 | 233,678 | |
Series 2020-DNA2, Class M2, (30D Average SOFR + 1.96%), 7.29%, 2/25/50(b)(g) | 967,532 | 975,059 | |
Series 2020-DNA5, Class M2, (30D Average SOFR + 2.80%), 8.12%, 10/25/50(b)(g) | 153,121 | 155,151 | |
Series 2020-HQA1, Class M2, (30D Average SOFR + 2.01%), 7.34%, 1/25/50(b)(g) | 25,429 | 25,429 | |
Series 2020-HQA2, Class M2, (30D Average SOFR + 3.21%), 8.54%, 3/25/50(b)(g) | 376,774 | 389,530 | |
Series 2021-DNA1, Class B1, (30D Average SOFR + 2.65%), 7.97%, 1/25/51(b)(g) | 200,000 | 195,252 | |
Series 2021-DNA3, Class M2, (30D Average SOFR + 2.10%), 7.42%, 10/25/33(b)(g) | 30,000 | 30,051 | |
Series 2021-DNA5, Class B1, (30D Average SOFR + 3.05%), 8.37%, 1/25/34(b)(g) | 150,000 | 150,000 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Freddie Mac STACR REMIC Trust, | |||
Series 2021-DNA5, Class M2, (30D Average SOFR + 1.65%), 6.97%, 1/25/34(b)(g) | $592,467 | $592,602 | |
Series 2021-DNA6, Class B1, (30D Average SOFR + 3.40%), 8.72%, 10/25/41(b)(g) | 400,000 | 402,000 | |
Series 2021-DNA6, Class M1, (30D Average SOFR + 0.80%), 6.12%, 10/25/41(b)(g) | 148,125 | 147,673 | |
Series 2021-DNA7, Class B1, (30D Average SOFR + 3.65%), 8.97%, 11/25/41(b)(g) | 760,000 | 769,596 | |
Series 2021-DNA7, Class M1, (30D Average SOFR + 0.85%), 6.17%, 11/25/41(b)(g) | 453,673 | 450,508 | |
Series 2021-HQA3, Class M2, (30D Average SOFR + 2.10%), 7.42%, 9/25/41(b)(g) | 355,000 | 344,794 | |
Series 2021-HQA4, Class B1, (30D Average SOFR + 3.75%), 9.07%, 12/25/41(b)(g) | 750,000 | 745,795 | |
Series 2022-DNA1, Class M2, (30D Average SOFR + 2.50%), 7.82%, 1/25/42(b)(g) | 250,000 | 244,375 | |
Series 2022-DNA2, Class M2, (30D Average SOFR + 3.75%), 9.07%, 2/25/42(b)(g) | 300,000 | 304,125 | |
Series 2022-DNA3, Class M1A, (30D Average SOFR + 2.00%), 7.32%, 4/25/42(b)(g) | 680,532 | 686,664 | |
Series 2022-DNA5, Class M1A, (30D Average SOFR + 2.95%), 8.27%, 6/25/42(b)(g) | 728,513 | 746,546 | |
Series 2022-DNA6, Class M1A, (30D Average SOFR + 2.15%), 7.47%, 9/25/42(b)(g) | 362,232 | 365,099 | |
Series 2022-DNA7, Class M2, (30D Average SOFR + 7.00%), 12.32%, 3/25/52(b)(g) | 250,000 | 280,000 | |
Series 2022-HQA1, Class M1A, (30D Average SOFR + 2.10%), 7.42%, 3/25/42(b)(g) | 500,250 | 504,282 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Freddie Mac STACR REMIC Trust, | |||
Series 2022-HQA1, Class M2, (30D Average SOFR + 5.25%), 10.57%, 3/25/42(b)(g) | $282,000 | $ 296,013 | |
Freddie Mac STACR Trust, Series 2019-DNA4, Class M2, (30D Average SOFR + 2.06%), 7.39%, 10/25/49(b)(g) | 19,311 | 19,334 | |
17,759,797 | |||
Total Mortgage-Backed Securities (Cost $29,536,986) | 28,097,883 |
Number of Shares | |||
Preferred Stocks – 1.6% | |||
Specialty Finance – 1.6% | |||
AGNC Investment Corp., 6.50%(g) | 3,228 | 68,724 | |
AGNC Investment Corp., 6.13%(g) | 21,599 | 431,764 | |
Annaly Capital Management, Inc., 6.75%(g) | 16,561 | 382,725 | |
Arbor Realty Trust, Inc., 6.25%(g) | 39,458 | 689,331 | |
Granite Point Mortgage Trust, Inc., 7.00%(g) | 23,230 | 373,771 | |
MFA Financial, Inc., 6.50%(g) | 41,438 | 761,216 | |
New York Mortgage Trust, Inc., 7.88%(g) | 2,103 | 44,625 | |
New York Mortgage Trust, Inc., 6.88%(g) | 21,682 | 396,564 | |
Redwood Trust, Inc., 10.00%(g) | 7,133 | 160,136 | |
Rithm Capital Corp., 7.13%(g) | 2,335 | 51,720 | |
Rithm Capital Corp., 6.38%(g) | 43,302 | 839,193 | |
Total Preferred Stocks (Cost $5,140,375) | 4,199,769 | ||
Rights – 0.1% | |||
Biotechnology & Pharmaceuticals – 0.1% | |||
Albireo Pharma CVR(e)* | 21,904 | 50,156 | |
Amryt Pharma CVR(e)* | 130,430 | 3,299 | |
Amryt Pharma CVR (London Exchange)(e)* | 130,430 | 2,200 |
Number of Shares | Value | ||
Biotechnology & Pharmaceuticals (Continued) | |||
CinCor Pharma CVR(e)* | 24,888 | $ 81,304 | |
Concert Pharmaceuticals, Inc. CVR(e)* | 97,290 | 38,313 | |
175,272 | |||
Forestry, Paper & Wood Products – 0.0%(c) | |||
Resolute Forest CVR(e)* | 44,100 | 66,714 | |
Medical Equipment & Devices – 0.0%(c) | |||
Abiomed, Inc. CVR(e)* | 8,954 | 15,669 | |
Total Rights (Cost $—) | 257,655 | ||
Investment Companies – 0.3% | |||
ProShares Short 20+ Year Treasury ETF | 26,963 | 719,912 | |
Total Investment Companies (Cost $538,934) | 719,912 |
Par (a)/Number of Shares | |||
Short-Term Investments – 10.9% | |||
Convertible Bonds – 4.1% | |||
8x8, Inc., 0.50%, 2/01/24(d) | $1,220,000 | 1,173,565 | |
DISH Network Corp., 2.38%, 3/15/24 | 504,000 | 481,950 | |
Herbalife Ltd., 2.63%, 3/15/24 | 1,149,000 | 1,119,701 | |
Jazz Investments I Ltd., 1.50%, 8/15/24(d) | 768,000 | 738,816 | |
Kaman Corp., 3.25%, 5/01/24(d) | 705,000 | 683,709 | |
MFA Financial, Inc., 6.25%, 6/15/24(d) | 2,854,000 | 2,832,597 | |
NextEra Energy Partners L.P., 0.00%, 6/15/24(b)(f) | 665,000 | 631,085 | |
Redwood Trust, Inc., 5.63%, 7/15/24 | 1,367,000 | 1,325,989 | |
Turning Point Brands, Inc., 2.50%, 7/15/24 | 524,000 | 503,039 | |
Uniti Fiber Holdings, Inc., 4.00%, 6/15/24(b) | 1,023,000 | 978,381 | |
10,468,832 | |||
Corporate Bonds – 0.3% | |||
Black Hills Corp., 1.04%, 8/23/24 | 10,000 | 9,586 | |
Boeing (The) Co., 1.43%, 2/04/24 | 20,000 | 19,746 |
Par (a)/Number of Shares | Value | ||
Corporate Bonds (Continued) | |||
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.63%, 1/15/24 | $ 220,000 | $ 218,880 | |
Charles Schwab (The) Corp., 0.75%, 3/18/24 | 30,000 | 29,398 | |
Duke Energy Corp., 3.75%, 4/15/24 | 30,000 | 29,706 | |
Ecolab, Inc., 0.90%, 12/15/23 | 35,000 | 34,787 | |
Eversource Energy, | |||
4.20%, 6/27/24 | 85,000 | 83,963 | |
2.90%, 10/01/24 | 50,000 | 48,598 | |
Hewlett Packard Enterprise Co., 5.90%, 10/01/24 | 100,000 | 99,820 | |
ONEOK, Inc., 2.75%, 9/01/24 | 50,000 | 48,594 | |
Quanta Services, Inc., 0.95%, 10/01/24 | 85,000 | 80,980 | |
VMware, Inc., 1.00%, 8/15/24 | 65,000 | 62,429 | |
Welltower OP LLC, 3.63%, 3/15/24 | 50,000 | 49,534 | |
Williams (The) Cos., Inc., 4.30%, 3/04/24 | 75,000 | 74,532 | |
890,553 | |||
Foreign Issuer Bonds – 0.1% | |||
BAT Capital Corp., 3.22%, 8/15/24 | 57,000 | 55,723 | |
Canadian Natural Resources Ltd., 3.80%, 4/15/24 | 150,000 | 148,400 | |
Thomson Reuters Corp., 4.30%, 11/23/23 | 10,000 | 9,984 | |
214,107 | |||
Money Market Fund – 4.2% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 5.21%(k) | 10,735,879 | 10,735,879 | |
Mortgage-Backed Securities – 0.5% | |||
FNMA Connecticut Avenue Securities, | |||
Series 2014-C01, Class M2, (30D Average SOFR + 4.51%), 9.84%, 1/25/24(g) | 110,366 | 111,189 | |
Series 2014-C03, Class 1M2, (30D Average SOFR + 3.11%, 3.00% Floor), 8.44%, 7/25/24(g) | 504,876 | 511,089 |
Par (a)/Number of Shares | Value | ||
Mortgage-Backed Securities (Continued) | |||
Freddie Mac STACR Debt Notes, Series 2013-DN2, Class M2, (30D Average SOFR + 4.36%), 9.69%, 11/25/23(g) | $ 639,532 | $ 640,922 | |
1,263,200 | |||
U.S. Treasury Bills – 1.7% | |||
U.S. Treasury Bills, | |||
5.24%, 2/08/24(l) | 900,000 | 886,876 | |
5.27%, 3/21/24(l) | 2,500,000 | 2,447,871 | |
5.29%, 3/28/24(l) | 190,000 | 185,842 | |
5.29%, 4/18/24(l) | 900,000 | 877,501 | |
5.22%, 4/25/24(l) | 100,000 | 97,393 | |
4,495,483 | |||
Total Short-Term Investments (Cost $28,224,578) | 28,068,054 |
Number of Contracts | Notional Amount | ||
Purchased Options – 0.0%(c) | |||
Call Options - Exchange Traded – 0.0%(c) | |||
MaxLinear, Inc., Strike Price $25.00, Expires 12/15/23 | 102 | 155,040 | 1,020 |
Call Options - Over the Counter – 0.0%(c) | |||
Japanese Yen vs. U.S. Dollar, Strike Price $1.13, Expires 1/19/24, Counterparty: Bank of America | 1 | 279,469 | 2,340 |
Put Options - Exchange Traded – 0.0%(c) | |||
PacWest Bancorp, Strike Price $6.00, Expires 11/17/23 | 114 | 80,712 | 2,850 |
Total Purchased Options (Premiums Paid $18,069) | 6,210 | ||
Total Long Positions – 97.4% (Cost $267,009,105) | 251,689,905 |
Number of Shares | Value | ||
Short Positions – (10.9)%(m) | |||
Common Stocks – (10.8)% | |||
Asset Management – (0.3)% | |||
Apollo Global Management, Inc. | (4,300) | (332,992) | |
WisdomTree, Inc. | (61,152) | (379,142) | |
(712,134) |
Number of Shares | Value | ||
Automotive – (0.2)% | |||
Rivian Automotive, Inc., Class A | (23,760) | $ (385,387) | |
Banking – (0.1)% | |||
New York Community Bancorp, Inc. | (20,778) | (196,975) | |
Biotechnology & Pharmaceuticals – (0.6)% | |||
Amphastar Pharmaceuticals, Inc. | (1,985) | (89,861) | |
Bridgebio Pharma, Inc. | (2,865) | (74,605) | |
Coherus Biosciences, Inc. | (9,715) | (32,545) | |
Collegium Pharmaceutical, Inc. | (20,129) | (438,007) | |
Halozyme Therapeutics, Inc. | (7,108) | (240,748) | |
Insmed, Inc. | (9,228) | (231,254) | |
Jazz Pharmaceuticals PLC | (95) | (12,067) | |
Mirum Pharmaceuticals, Inc. | (13,175) | (361,390) | |
Revance Therapeutics, Inc. | (8,726) | (68,848) | |
(1,549,325) | |||
Cable & Satellite – (0.0)%(c) | |||
Cable One, Inc. | (90) | (49,488) | |
Commercial Support Services – (0.0)%(c) | |||
PureCycle Technologies, Inc. | (8,080) | (35,956) | |
Containers & Packaging – (0.2)% | |||
Smurfit Kappa Group PLC (Ireland) | (19,079) | (607,666) | |
E-Commerce Discretionary – (0.0)%(c) | |||
Wayfair, Inc., Class A | (1,750) | (74,568) | |
Electric Utilities – (0.3)% | |||
CenterPoint Energy, Inc. | (2,904) | (78,060) | |
Duke Energy Corp. | (2,029) | (180,358) | |
NRG Energy, Inc. | (12,619) | (534,793) | |
(793,211) | |||
Electrical Equipment – (0.1)% | |||
Advanced Energy Industries, Inc. | (899) | (78,447) | |
Itron, Inc. | (991) | (56,764) | |
Mesa Laboratories, Inc. | (102) | (9,571) | |
(144,782) | |||
Engineering & Construction – (0.0)%(c) | |||
Tetra Tech, Inc. | (597) | (90,093) | |
Food – (0.1)% | |||
J.M. Smucker (The) Co. | (1,647) | (187,494) |
Number of Shares | Value | ||
Home & Office Products – (0.0)%(c) | |||
iRobot Corp. | (3,654) | $ (120,326) | |
Household Products – (0.0)%(c) | |||
Beauty Health (The) Co. | (4,250) | (17,213) | |
Internet Media & Services – (0.1)% | |||
Airbnb, Inc., Class A | (550) | (65,060) | |
Snap, Inc., Class A | (1,546) | (15,475) | |
TripAdvisor, Inc. | (2,628) | (38,789) | |
Upwork, Inc. | (2,284) | (23,868) | |
Ziff Davis, Inc. | (2,075) | (125,455) | |
(268,647) | |||
Leisure Facilities & Services – (0.4)% | |||
Cheesecake Factory (The), Inc. | (3,440) | (106,881) | |
Live Nation Entertainment, Inc. | (5,216) | (417,384) | |
Marcus (The) Corp. | (26,038) | (404,630) | |
Marriott Vacations Worldwide Corp. | (1,251) | (112,415) | |
(1,041,310) | |||
Medical Equipment & Devices – (0.4)% | |||
CONMED Corp. | (2,433) | (237,120) | |
Enovis Corp. | (3,356) | (154,040) | |
Haemonetics Corp. | (2,061) | (175,659) | |
Integer Holdings Corp. | (5,256) | (426,630) | |
(993,449) | |||
Metals & Mining – (0.1)% | |||
Equinox Gold Corp. (Canada) | (60,790) | (267,476) | |
Oil & Gas Producers – (3.3)% | |||
Chevron Corp. | (12,228) | (1,781,986) | |
Exxon Mobil Corp. | (49,726) | (5,263,497) | |
HF Sinclair Corp. | (25,015) | (1,385,331) | |
(8,430,814) | |||
Oil, Gas Services & Equipment – (0.2)% | |||
Helix Energy Solutions Group, Inc. | (55,957) | (548,379) | |
Publishing & Broadcasting – (0.3)% | |||
Liberty Media Corp., Class A | (31,050) | (760,415) | |
Real Estate Investment Trusts – (0.9)% | |||
Pebblebrook Hotel Trust | (20,434) | (243,778) | |
Realty Income Corp. | (42,023) | (1,991,050) | |
Summit Hotel Properties, Inc. | (28,418) | (160,277) | |
(2,395,105) |
Number of Shares | Value | ||
Real Estate Services – (0.0)%(c) | |||
Anywhere Real Estate, Inc. | (3,147) | $ (14,696) | |
Renewable Energy – (0.1)% | |||
Sunnova Energy International, Inc. | (27,154) | (247,916) | |
Retail - Discretionary – (0.2)% | |||
Patrick Industries, Inc. | (5,540) | (416,331) | |
Semiconductors – (1.6)% | |||
Broadcom, Inc. | (4,821) | (4,056,245) | |
MaxLinear, Inc.(n) | (10,249) | (155,785) | |
(4,212,030) | |||
Software – (0.4)% | |||
Bentley Systems, Inc., Class B | (4,619) | (224,668) | |
Ceridian HCM Holding, Inc. | (2,899) | (185,565) | |
Envestnet, Inc. | (4,036) | (149,332) | |
Jamf Holding Corp. | (2,348) | (37,709) | |
Mitek Systems, Inc. | (16,236) | (173,401) | |
NextGen Healthcare, Inc. | (9,859) | (235,827) | |
Q2 Holdings, Inc. | (1,005) | (30,180) | |
Verint Systems, Inc. | (1,791) | (33,689) | |
(1,070,371) | |||
Specialty Finance – (0.2)% | |||
EZCORP, Inc., Class A | (26,337) | (215,963) | |
SoFi Technologies, Inc. | (24,689) | (186,402) | |
(402,365) | |||
Technology Hardware – (0.1)% | |||
Lumentum Holdings, Inc. | (1,918) | (75,205) | |
NCR Atleos Corp. | (1,684) | (37,160) | |
NCR Voyix Corp. | (14,696) | (224,702) | |
(337,067) | |||
Technology Services – (0.1)% | |||
Block, Inc. | (400) | (16,100) | |
CSG Systems International, Inc. | (3,277) | (153,560) | |
I3 Verticals, Inc., Class A | (2,686) | (50,362) | |
Perficient, Inc. | (1,656) | (96,363) | |
(316,385) | |||
Transportation & Logistics – (0.3)% | |||
Air Transport Services Group, Inc. | (18,621) | (364,413) |
Number of Shares | Value | ||
Transportation & Logistics (Continued) | |||
American Airlines Group, Inc. | (37,991) | $ (423,600) | |
CryoPort, Inc. | (1,138) | (11,038) | |
Spirit Airlines, Inc. | (7,852) | (90,141) | |
(889,192) | |||
Transportation Equipment – (0.2)% | |||
Greenbrier (The) Cos., Inc. | (11,945) | (413,178) | |
Total Common Stocks (Proceeds $29,183,121) | (27,989,744) |
Par (a) | |||
Mortgage-Backed Securities – (0.1)% | |||
Government National Mortgage Association – (0.1)% | |||
Pool, 2.00%, 11/01/52(j) | $(150,000) | (115,635) | |
Total Mortgage-Backed Securities (Proceeds $116,748) | (115,635) |
Number of Shares | |||
Rights – 0.0%(c) | |||
Biotechnology & Pharmaceuticals — 0.0%(c) | |||
Ligand Pharmaceuticals, Inc. CVR (Switzerland Exchange)(e) | (52) | — | |
Ligand Pharmaceuticals, Inc. CVR(e) | (52) | — | |
Total Rights (Proceeds $—) | — | ||
Total Short Positions – (10.9)% (Proceeds $29,299,869) | (28,105,379) | ||
Other Assets less Liabilities – 13.5%(o) | 34,829,660 | ||
NET ASSETS – 100.0% | $258,414,186 | ||
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) | Investment is valued using significant unobservable inputs (Level 3). |
(f) | Zero coupon bond. |
(g) | Variable or floating rate security. Rate as of October 31, 2023 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, 2023 is disclosed. |
(j) | When-Issued Security. Coupon rate was not yet in effect at October 31, 2023. |
(k) | 7-day current yield as of October 31, 2023 is disclosed. |
(l) | Discount rate at the time of purchase. |
(m) | Securities sold short are not owned by the Fund. |
(n) | Security represents underlying investment on open options contracts. |
(o) | 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 |
30D | 30 Day |
ADR | American Depositary Receipt |
AUD | Australian Dollar |
BDC | Business Development Company |
CAD | Canadian Dollar |
CDX | Credit Default Swap Index |
CME | Chicago Mercantile Exchange |
CMT | Constant Maturity |
CVR | Contingent Value RIghts |
ETF | Exchange-Traded Fund |
EUR | Euro |
FNMA | Federal National Mortgage Association |
Freddie Mac | Federal Home Loan Mortgage Corporation |
GBP | British Pound |
L.P. | Limited Partnership |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
OAT | Obligations Assimilables du Trésor |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
S&P | Standards & Poor's |
SASU | Société par Actions Simplifiée Unipersonnelle |
SOFR | United States Secured Overnight Financing Rate |
STACR | Structured Agency Credit Risk |
USD | United States Dollar |
Futures Contracts outstanding at October 31, 2023: Exchange Traded | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | |||||
Euro-Bund | 15 | 12/07/2023 | EUR | 2,047,265 | $ (10,703) |
10-Year Australian Treasury Bond | 5 | 12/15/2023 | AUD | 343,325 | (9,958) |
Ultra U.S. Treasury Bond | 30 | 12/19/2023 | USD | 3,376,875 | (453,686) |
2-Year U.S. Treasury Note | 358 | 12/29/2023 | USD | 72,467,031 | (314,796) |
Total Long Contracts | $ (789,143) | ||||
Short Contracts | |||||
Euro-OAT | (8) | 12/07/2023 | EUR | 1,043,625 | $ 25,352 |
10-Year Canadian Government Bond | (23) | 12/18/2023 | CAD | 1,906,176 | 45,048 |
10-Year U.S. Treasury Note | (123) | 12/19/2023 | USD | 13,059,141 | 389,765 |
U.S. Treasury Long Bond | (37) | 12/19/2023 | USD | 4,049,188 | 393,152 |
Ultra 10-Year U.S. Treasury Note | (57) | 12/19/2023 | USD | 6,203,203 | 346,844 |
Long Gilt | (12) | 12/27/2023 | GBP | 1,358,776 | 18,058 |
5-Year U.S. Treasury Note | (120) | 12/29/2023 | USD | 12,537,187 | 217,465 |
Total Short Contracts | $1,435,684 | ||||
$ 646,541 |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2023: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/15/23 | U.S. Dollars | 2,939,288 | British Pounds | 2,365,000 | Morgan Stanley | $ 63,715 |
12/15/23 | U.S. Dollars | 3,136,220 | Euro | 2,915,380 | Morgan Stanley | 44,853 |
12/15/23 | U.S. Dollars | 990,653 | Norwegian Kroner | 10,561,700 | Morgan Stanley | 43,886 |
12/15/23 | U.S. Dollars | 2,012,139 | Danish Kroner | 13,934,900 | Morgan Stanley | 31,415 |
12/20/23 | U.S. Dollars | 627,015 | Canadian Dollars | 850,000 | Barclays | 13,515 |
12/15/23 | Danish Kroner | 13,934,900 | U.S. Dollars | 1,968,686 | Morgan Stanley | 12,038 |
12/20/23 | U.S. Dollars | 850,850 | New Zealand Dollars | 1,440,000 | Morgan Stanley | 11,759 |
12/20/23 | U.S. Dollars | 331,615 | Indonesian Rupiahs | 5,137,610,000 | Deutsche Bank | 9,357 |
12/20/23 | U.S. Dollars | 254,617 | Israeli Shekels | 1,000,000 | Citibank | 6,477 |
12/20/23 | U.S. Dollars | 669,390 | Swedish Kronor | 7,400,000 | Goldman Sachs | 4,737 |
12/20/23 | Thai Baht | 10,500,000 | U.S. Dollars | 288,940 | Barclays | 4,548 |
12/20/23 | Swiss Francs | 710,000 | U.S. Dollars | 780,623 | Morgan Stanley | 4,516 |
12/20/23 | U.S. Dollars | 165,712 | Norwegian Kroner | 1,800,000 | Deutsche Bank | 4,334 |
12/20/23 | U.S. Dollars | 247,387 | Swiss Francs | 220,000 | Goldman Sachs | 4,105 |
12/20/23 | U.S. Dollars | 243,610 | Japanese Yen | 36,000,000 | Morgan Stanley | 4,015 |
12/20/23 | U.S. Dollars | 214,035 | Swiss Francs | 190,000 | Morgan Stanley | 3,927 |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2023: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/20/23 | U.S. Dollars | 215,157 | South Korean Won | 285,000,000 | Citibank | $ 3,903 |
12/20/23 | U.S. Dollars | 189,783 | Israeli Shekels | 750,000 | Morgan Stanley | 3,678 |
12/20/23 | U.S. Dollars | 133,113 | Mexican Pesos | 2,354,035 | Citibank | 3,635 |
12/20/23 | South African Rand | 4,500,000 | U.S. Dollars | 236,838 | Citibank | 3,535 |
12/20/23 | Czech Republic Koruna | 9,500,000 | U.S. Dollars | 405,242 | Goldman Sachs | 3,480 |
12/20/23 | U.S. Dollars | 101,884 | Norwegian Kroner | 1,100,000 | JPMorgan Chase | 3,265 |
12/20/23 | U.S. Dollars | 89,506 | Japanese Yen | 13,000,000 | Deutsche Bank | 2,985 |
12/20/23 | U.S. Dollars | 52,575 | Israeli Shekels | 200,000 | Deutsche Bank | 2,947 |
12/20/23 | U.S. Dollars | 1,048,667 | British Pounds | 860,000 | Barclays | 2,942 |
12/15/23 | U.S. Dollars | 389,670 | Swedish Kronor | 4,309,600 | Morgan Stanley | 2,719 |
12/20/23 | U.S. Dollars | 233,746 | British Pounds | 190,000 | Morgan Stanley | 2,714 |
12/20/23 | U.S. Dollars | 339,308 | Australian Dollars | 530,000 | Barclays | 2,521 |
12/20/23 | U.S. Dollars | 83,073 | Norwegian Kroner | 900,000 | Bank of America | 2,384 |
12/20/23 | U.S. Dollars | 101,302 | Mexican Pesos | 1,800,000 | Goldman Sachs | 2,299 |
12/20/23 | U.S. Dollars | 110,139 | Australian Dollars | 170,000 | Citibank | 2,113 |
12/20/23 | U.S. Dollars | 168,041 | Canadian Dollars | 230,000 | Morgan Stanley | 2,034 |
12/20/23 | U.S. Dollars | 160,890 | Australian Dollars | 250,000 | Deutsche Bank | 2,028 |
12/20/23 | Colombian Pesos | 240,000,000 | U.S. Dollars | 55,731 | Goldman Sachs | 1,917 |
12/20/23 | Polish Zloty | 300,000 | U.S. Dollars | 69,204 | Morgan Stanley | 1,899 |
12/20/23 | U.S. Dollars | 122,317 | Indonesian Rupiahs | 1,920,000,000 | Goldman Sachs | 1,886 |
12/15/23 | Euro | 501,980 | U.S. Dollars | 530,397 | Morgan Stanley | 1,885 |
12/20/23 | Thai Baht | 2,800,000 | U.S. Dollars | 76,464 | Morgan Stanley | 1,800 |
12/20/23 | U.S. Dollars | 186,000 | Australian Dollars | 290,000 | Bank of America | 1,720 |
12/20/23 | U.S. Dollars | 112,408 | New Zealand Dollars | 190,000 | JPMorgan Chase | 1,694 |
12/20/23 | U.S. Dollars | 145,383 | Swedish Kronor | 1,600,000 | Morgan Stanley | 1,674 |
12/20/23 | U.S. Dollars | 100,285 | Norwegian Kroner | 1,100,000 | Goldman Sachs | 1,665 |
12/20/23 | U.S. Dollars | 224,814 | Swedish Kronor | 2,485,000 | Bank of America | 1,616 |
12/20/23 | Polish Zloty | 900,000 | U.S. Dollars | 211,770 | Goldman Sachs | 1,539 |
12/20/23 | Australian Dollars | 380,000 | U.S. Dollars | 239,949 | Morgan Stanley | 1,521 |
12/20/23 | Polish Zloty | 500,000 | U.S. Dollars | 117,025 | JPMorgan Chase | 1,479 |
12/20/23 | U.S. Dollars | 272,273 | Swedish Kronor | 3,015,000 | Deutsche Bank | 1,471 |
12/20/23 | British Pounds | 170,000 | U.S. Dollars | 205,270 | Barclays | 1,443 |
12/20/23 | U.S. Dollars | 103,103 | Australian Dollars | 160,000 | JPMorgan Chase | 1,431 |
12/20/23 | U.S. Dollars | 149,904 | Euro | 140,000 | Deutsche Bank | 1,412 |
12/20/23 | Mexican Pesos | 1,800,000 | U.S. Dollars | 97,677 | Morgan Stanley | 1,327 |
12/20/23 | U.S. Dollars | 67,275 | Indonesian Rupiahs | 1,052,390,000 | JPMorgan Chase | 1,264 |
12/20/23 | Chilean Pesos | 30,000,000 | U.S. Dollars | 32,193 | Morgan Stanley | 1,222 |
12/20/23 | U.S. Dollars | 82,736 | South Korean Won | 110,000,000 | JPMorgan Chase | 1,200 |
12/20/23 | Colombian Pesos | 170,000,000 | U.S. Dollars | 39,646 | Morgan Stanley | 1,188 |
12/20/23 | U.S. Dollars | 121,909 | Australian Dollars | 190,000 | Morgan Stanley | 1,174 |
12/20/23 | U.S. Dollars | 172,743 | Australian Dollars | 270,000 | Goldman Sachs | 1,171 |
12/20/23 | U.S. Dollars | 49,304 | South Korean Won | 65,000,000 | Barclays | 1,123 |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2023: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/20/23 | U.S. Dollars | 69,097 | Taiwan Dollars | 2,200,000 | Morgan Stanley | $ 1,119 |
12/20/23 | U.S. Dollars | 70,494 | Indonesian Rupiahs | 1,106,172,413 | Bank of America | 1,109 |
12/20/23 | Colombian Pesos | 130,000,000 | U.S. Dollars | 30,137 | Barclays | 1,089 |
12/20/23 | South African Rand | 1,100,000 | U.S. Dollars | 57,739 | Barclays | 1,019 |
12/20/23 | Hungarian Forints | 15,000,000 | U.S. Dollars | 40,217 | JPMorgan Chase | 975 |
12/20/23 | Hungarian Forints | 21,000,000 | U.S. Dollars | 56,775 | Deutsche Bank | 893 |
12/20/23 | U.S. Dollars | 75,030 | Taiwan Dollars | 2,400,000 | Barclays | 872 |
12/20/23 | U.S. Dollars | 27,478 | Japanese Yen | 4,000,000 | JPMorgan Chase | 857 |
12/15/23 | U.S. Dollars | 65,896 | New Zealand Dollars | 111,700 | Morgan Stanley | 809 |
12/20/23 | U.S. Dollars | 161,848 | Singapore Dollars | 220,000 | Goldman Sachs | 800 |
12/20/23 | Hungarian Forints | 11,000,000 | U.S. Dollars | 29,459 | Barclays | 748 |
12/20/23 | U.S. Dollars | 36,827 | Canadian Dollars | 50,000 | Goldman Sachs | 739 |
12/20/23 | U.S. Dollars | 168,520 | Czech Republic Koruna | 3,900,000 | Citibank | 728 |
12/20/23 | U.S. Dollars | 98,142 | Canadian Dollars | 135,000 | JPMorgan Chase | 703 |
12/20/23 | Mexican Pesos | 800,000 | U.S. Dollars | 43,373 | Bank of America | 629 |
12/20/23 | U.S. Dollars | 71,696 | Taiwan Dollars | 2,300,000 | Goldman Sachs | 627 |
12/20/23 | U.S. Dollars | 13,011 | Israeli Shekels | 50,000 | Goldman Sachs | 604 |
12/20/23 | Australian Dollars | 200,000 | U.S. Dollars | 126,493 | Barclays | 596 |
12/20/23 | U.S. Dollars | 51,839 | Brazilian Reals | 260,000 | Bank of America | 572 |
12/20/23 | U.S. Dollars | 45,468 | Swedish Kronor | 500,000 | Barclays | 559 |
12/20/23 | U.S. Dollars | 62,032 | Thai Baht | 2,200,000 | Citibank | 539 |
12/20/23 | U.S. Dollars | 33,809 | Japanese Yen | 5,000,000 | Barclays | 532 |
12/20/23 | U.S. Dollars | 191,446 | Euro | 180,000 | Barclays | 525 |
12/20/23 | South African Rand | 1,000,000 | U.S. Dollars | 52,956 | Morgan Stanley | 460 |
12/20/23 | U.S. Dollars | 129,660 | Chilean Pesos | 116,000,000 | JPMorgan Chase | 453 |
12/20/23 | U.S. Dollars | 35,408 | New Zealand Dollars | 60,000 | Goldman Sachs | 446 |
12/20/23 | U.S. Dollars | 40,126 | Canadian Dollars | 55,000 | Citibank | 429 |
12/20/23 | Brazilian Reals | 280,000 | U.S. Dollars | 54,795 | Morgan Stanley | 416 |
12/20/23 | Chilean Pesos | 20,000,000 | U.S. Dollars | 21,862 | Barclays | 415 |
12/20/23 | U.S. Dollars | 45,764 | Brazilian Reals | 230,000 | Barclays | 412 |
12/20/23 | U.S. Dollars | 81,941 | Indonesian Rupiahs | 1,300,000,000 | Morgan Stanley | 399 |
12/20/23 | Polish Zloty | 50,000 | U.S. Dollars | 11,469 | Deutsche Bank | 381 |
12/20/23 | Singapore Dollars | 260,000 | U.S. Dollars | 189,953 | Morgan Stanley | 377 |
12/20/23 | U.S. Dollars | 32,136 | Euro | 30,000 | JPMorgan Chase | 316 |
12/20/23 | Euro | 80,000 | U.S. Dollars | 84,553 | Barclays | 301 |
12/20/23 | Indian Rupees | 22,400,000 | U.S. Dollars | 268,271 | Deutsche Bank | 298 |
12/20/23 | Norwegian Kroner | 1,000,000 | U.S. Dollars | 89,380 | Deutsche Bank | 274 |
12/20/23 | Hungarian Forints | 10,000,000 | U.S. Dollars | 27,230 | Goldman Sachs | 230 |
12/20/23 | U.S. Dollars | 79,449 | Philippine Pesos | 4,500,000 | JPMorgan Chase | 204 |
12/20/23 | Chilean Pesos | 25,217,779 | U.S. Dollars | 27,901 | Citibank | 188 |
12/20/23 | U.S. Dollars | 219,059 | British Pounds | 180,000 | Goldman Sachs | 187 |
12/20/23 | Indian Rupees | 18,300,000 | U.S. Dollars | 219,235 | Goldman Sachs | 176 |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2023: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/20/23 | Singapore Dollars | 70,000 | U.S. Dollars | 51,074 | Barclays | $ 169 |
12/20/23 | U.S. Dollars | 56,097 | Czech Republic Koruna | 1,300,000 | Goldman Sachs | 167 |
12/20/23 | New Zealand Dollars | 130,000 | U.S. Dollars | 75,591 | Morgan Stanley | 161 |
12/20/23 | U.S. Dollars | 44,914 | Indonesian Rupiahs | 713,827,587 | Citibank | 140 |
12/20/23 | U.S. Dollars | 27,588 | Hungarian Forints | 10,000,000 | Morgan Stanley | 128 |
12/20/23 | Polish Zloty | 100,000 | U.S. Dollars | 23,574 | Barclays | 127 |
12/20/23 | Indian Rupees | 9,300,000 | U.S. Dollars | 111,377 | Morgan Stanley | 126 |
12/20/23 | Mexican Pesos | 700,000 | U.S. Dollars | 38,391 | Goldman Sachs | 110 |
12/20/23 | U.S. Dollars | 27,005 | Norwegian Kroner | 300,000 | Morgan Stanley | 109 |
12/20/23 | South Korean Won | 100,000,000 | U.S. Dollars | 74,019 | Goldman Sachs | 106 |
12/20/23 | U.S. Dollars | 37,155 | South Korean Won | 50,000,000 | Bank of America | 93 |
12/20/23 | Czech Republic Koruna | 900,000 | U.S. Dollars | 38,637 | Morgan Stanley | 84 |
12/20/23 | Indian Rupees | 4,200,000 | U.S. Dollars | 50,274 | Bank of America | 83 |
12/20/23 | U.S. Dollars | 34,844 | Indian Rupees | 2,900,000 | Bank of America | 74 |
12/20/23 | U.S. Dollars | 64,169 | New Zealand Dollars | 110,000 | Bank of America | 72 |
12/20/23 | U.S. Dollars | 81,598 | Indian Rupees | 6,800,000 | Barclays | 68 |
12/20/23 | U.S. Dollars | 56,339 | Hong Kong Dollars | 440,000 | Morgan Stanley | 65 |
12/20/23 | Swiss Francs | 80,000 | U.S. Dollars | 88,403 | Barclays | 63 |
12/20/23 | U.S. Dollars | 40,826 | South Korean Won | 55,000,000 | Goldman Sachs | 57 |
12/20/23 | Indonesian Rupiahs | 330,000,000 | U.S. Dollars | 20,667 | Deutsche Bank | 32 |
12/20/23 | Indian Rupees | 4,700,000 | U.S. Dollars | 56,325 | Barclays | 26 |
12/20/23 | U.S. Dollars | 27,526 | Mexican Pesos | 500,000 | Morgan Stanley | 25 |
12/20/23 | U.S. Dollars | 19,589 | Thai Baht | 700,000 | Barclays | 23 |
12/20/23 | U.S. Dollars | 33,648 | Colombian Pesos | 140,000,000 | Bank of America | 20 |
12/20/23 | U.S. Dollars | 56,367 | Philippine Pesos | 3,200,000 | Citibank | 15 |
12/20/23 | U.S. Dollars | 10,990 | Hungarian Forints | 4,000,000 | Deutsche Bank | 5 |
12/15/23 | New Zealand Dollars | 3,500 | U.S. Dollars | 2,034 | Morgan Stanley | 5 |
12/20/23 | Singapore Dollars | 40,000 | U.S. Dollars | 29,279 | Goldman Sachs | 2 |
12/20/23 | U.S. Dollars | 8,029 | Mexican Pesos | 145,965 | Barclays | 1 |
12/20/23 | U.S. Dollars | 24,715 | Hungarian Forints | 9,000,000 | Goldman Sachs | — |
12/20/23 | U.S. Dollars | 65,884 | Singapore Dollars | 90,000 | Barclays | — |
Total Unrealized Appreciation | $ 380,261 | |||||
12/15/23 | U.S. Dollars | 1,513 | New Zealand Dollars | 2,600 | Morgan Stanley | $ (2) |
12/20/23 | U.S. Dollars | 8,976 | Swedish Kronor | 100,000 | Morgan Stanley | (6) |
12/20/23 | British Pounds | 20,000 | U.S. Dollars | 24,334 | Citibank | (15) |
12/15/23 | U.S. Dollars | 29,181 | Swedish Kronor | 325,200 | Morgan Stanley | (17) |
12/20/23 | Hungarian Forints | 46,000,000 | U.S. Dollars | 126,339 | Goldman Sachs | (20) |
12/20/23 | Swedish Kronor | 300,000 | U.S. Dollars | 26,969 | Goldman Sachs | (24) |
12/20/23 | U.S. Dollars | 54,890 | Hungarian Forints | 20,000,000 | Barclays | (31) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2023: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/20/23 | U.S. Dollars | 36,936 | Philippine Pesos | 2,100,000 | Deutsche Bank | $ (45) |
12/15/23 | Euro | 519,150 | U.S. Dollars | 550,536 | Morgan Stanley | (48) |
12/20/23 | South Korean Won | 25,000,000 | U.S. Dollars | 18,585 | Barclays | (54) |
12/15/23 | U.S. Dollars | 117,034 | British Pounds | 96,300 | Morgan Stanley | (56) |
12/20/23 | U.S. Dollars | 148,429 | Euro | 140,000 | Citibank | (65) |
12/20/23 | Polish Zloty | 150,000 | U.S. Dollars | 35,617 | Deutsche Bank | (66) |
12/20/23 | U.S. Dollars | 17,542 | Philippine Pesos | 1,000,000 | Citibank | (68) |
12/20/23 | U.S. Dollars | 85,042 | British Pounds | 70,000 | JPMorgan Chase | (75) |
12/20/23 | U.S. Dollars | 16,425 | Mexican Pesos | 300,000 | Morgan Stanley | (76) |
12/20/23 | U.S. Dollars | 21,132 | Euro | 20,000 | Bank of America | (82) |
12/20/23 | Philippine Pesos | 3,200,000 | U.S. Dollars | 56,447 | Morgan Stanley | (95) |
12/20/23 | Czech Republic Koruna | 2,100,000 | U.S. Dollars | 90,451 | Citibank | (101) |
12/20/23 | U.S. Dollars | 80,735 | Swedish Kronor | 900,000 | Deutsche Bank | (102) |
12/20/23 | Indonesian Rupiahs | 430,000,000 | U.S. Dollars | 27,079 | Deutsche Bank | (107) |
12/20/23 | U.S. Dollars | 86,541 | Thai Baht | 3,100,000 | Goldman Sachs | (108) |
12/20/23 | U.S. Dollars | 30,078 | Hungarian Forints | 11,000,000 | JPMorgan Chase | (129) |
12/20/23 | Euro | 10,000 | U.S. Dollars | 10,740 | Barclays | (133) |
12/20/23 | U.S. Dollars | 52,880 | Euro | 50,000 | Goldman Sachs | (153) |
12/20/23 | U.S. Dollars | 105,497 | Philippine Pesos | 6,000,000 | Morgan Stanley | (165) |
12/20/23 | U.S. Dollars | 119,571 | Philippine Pesos | 6,800,000 | Bank of America | (178) |
12/20/23 | Colombian Pesos | 80,000,000 | U.S. Dollars | 19,397 | Citibank | (181) |
12/20/23 | U.S. Dollars | 107,297 | South Korean Won | 145,000,000 | Barclays | (183) |
12/20/23 | U.S. Dollars | 97,644 | Thai Baht | 3,500,000 | Morgan Stanley | (185) |
12/20/23 | Czech Republic Koruna | 300,000 | U.S. Dollars | 13,099 | JPMorgan Chase | (192) |
12/20/23 | Australian Dollars | 100,000 | U.S. Dollars | 63,739 | Goldman Sachs | (194) |
12/20/23 | Polish Zloty | 400,000 | U.S. Dollars | 95,001 | Morgan Stanley | (197) |
12/20/23 | Indian Rupees | 15,800,000 | U.S. Dollars | 189,650 | Goldman Sachs | (212) |
12/20/23 | U.S. Dollars | 59,053 | South Korean Won | 80,000,000 | Morgan Stanley | (246) |
12/20/23 | Czech Republic Koruna | 600,000 | U.S. Dollars | 26,066 | Barclays | (252) |
12/20/23 | Japanese Yen | 3,000,000 | U.S. Dollars | 20,222 | JPMorgan Chase | (256) |
12/20/23 | Singapore Dollars | 80,000 | U.S. Dollars | 58,837 | JPMorgan Chase | (274) |
12/20/23 | Swiss Francs | 60,000 | U.S. Dollars | 66,624 | Barclays | (274) |
12/20/23 | U.S. Dollars | 158,586 | Australian Dollars | 250,000 | Morgan Stanley | (275) |
12/20/23 | Australian Dollars | 40,000 | U.S. Dollars | 25,701 | Morgan Stanley | (283) |
12/20/23 | Taiwan Dollars | 1,651,352 | U.S. Dollars | 51,322 | Bank of America | (296) |
12/20/23 | Euro | 80,000 | U.S. Dollars | 85,153 | JPMorgan Chase | (299) |
12/20/23 | U.S. Dollars | 96,497 | Philippine Pesos | 5,500,000 | JPMorgan Chase | (358) |
12/20/23 | Norwegian Kroner | 100,000 | U.S. Dollars | 9,334 | JPMorgan Chase | (369) |
12/20/23 | U.S. Dollars | 81,375 | Czech Republic Koruna | 1,900,000 | JPMorgan Chase | (370) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2023: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/20/23 | U.S. Dollars | 70,044 | South Korean Won | 95,000,000 | Goldman Sachs | $ (374) |
12/20/23 | U.S. Dollars | 318,348 | Philippine Pesos | 18,100,000 | Barclays | (394) |
12/20/23 | U.S. Dollars | 242,794 | British Pounds | 200,000 | Morgan Stanley | (397) |
12/15/23 | U.S. Dollars | 67,782 | Euro | 64,300 | Morgan Stanley | (400) |
12/20/23 | Singapore Dollars | 160,000 | U.S. Dollars | 117,536 | Morgan Stanley | (410) |
12/20/23 | Australian Dollars | 190,000 | U.S. Dollars | 121,147 | Barclays | (412) |
12/20/23 | Chilean Pesos | 44,000,000 | U.S. Dollars | 49,433 | Goldman Sachs | (424) |
12/20/23 | Polish Zloty | 300,000 | U.S. Dollars | 71,528 | Barclays | (425) |
12/20/23 | Mexican Pesos | 2,800,000 | U.S. Dollars | 154,434 | Morgan Stanley | (429) |
12/20/23 | British Pounds | 70,000 | U.S. Dollars | 85,549 | Goldman Sachs | (432) |
12/20/23 | Czech Republic Koruna | 1,300,000 | U.S. Dollars | 56,413 | Goldman Sachs | (483) |
12/20/23 | Swiss Francs | 70,000 | U.S. Dollars | 77,892 | JPMorgan Chase | (484) |
12/20/23 | Japanese Yen | 4,000,000 | U.S. Dollars | 27,109 | Barclays | (488) |
12/20/23 | U.S. Dollars | 157,569 | British Pounds | 130,000 | Barclays | (505) |
12/20/23 | U.S. Dollars | 76,891 | Swiss Francs | 70,000 | JPMorgan Chase | (517) |
12/20/23 | Singapore Dollars | 160,000 | U.S. Dollars | 117,681 | Goldman Sachs | (555) |
12/20/23 | Colombian Pesos | 130,000,000 | U.S. Dollars | 31,800 | Bank of America | (575) |
12/15/23 | Swedish Kronor | 463,500 | U.S. Dollars | 42,193 | Morgan Stanley | (576) |
12/20/23 | Mexican Pesos | 400,000 | U.S. Dollars | 22,581 | Citibank | (580) |
12/20/23 | Brazilian Reals | 100,000 | U.S. Dollars | 20,305 | Goldman Sachs | (586) |
12/20/23 | Czech Republic Koruna | 2,100,000 | U.S. Dollars | 90,936 | Deutsche Bank | (587) |
12/20/23 | Mexican Pesos | 300,000 | U.S. Dollars | 17,094 | Goldman Sachs | (593) |
12/20/23 | U.S. Dollars | 59,619 | Czech Republic Koruna | 1,400,000 | Morgan Stanley | (614) |
12/20/23 | Swedish Kronor | 3,000,000 | U.S. Dollars | 270,100 | Barclays | (646) |
12/20/23 | U.S. Dollars | 37,825 | Mexican Pesos | 700,000 | Barclays | (677) |
12/20/23 | Euro | 60,000 | U.S. Dollars | 64,321 | Goldman Sachs | (681) |
12/20/23 | U.S. Dollars | 24,473 | Thai Baht | 900,000 | Barclays | (683) |
12/20/23 | Japanese Yen | 7,000,000 | U.S. Dollars | 47,307 | Bank of America | (719) |
12/20/23 | U.S. Dollars | 264,443 | Euro | 250,000 | Barclays | (724) |
12/20/23 | Polish Zloty | 850,000 | U.S. Dollars | 202,210 | Bank of America | (752) |
12/20/23 | U.S. Dollars | 65,143 | Hungarian Forints | 24,000,000 | Deutsche Bank | (762) |
12/20/23 | Israeli Shekels | 50,000 | U.S. Dollars | 13,173 | Morgan Stanley | (766) |
12/20/23 | Israeli Shekels | 50,000 | U.S. Dollars | 13,173 | JPMorgan Chase | (766) |
12/20/23 | Indonesian Rupiahs | 380,000,000 | U.S. Dollars | 24,648 | JPMorgan Chase | (813) |
12/20/23 | South Korean Won | 145,000,000 | U.S. Dollars | 108,310 | Morgan Stanley | (828) |
12/20/23 | South Korean Won | 60,000,000 | U.S. Dollars | 45,367 | JPMorgan Chase | (892) |
12/20/23 | Swedish Kronor | 400,000 | U.S. Dollars | 36,835 | Bank of America | (907) |
12/20/23 | U.S. Dollars | 169,280 | British Pounds | 140,000 | Goldman Sachs | (954) |
12/20/23 | U.S. Dollars | 30,211 | Colombian Pesos | 130,000,000 | Goldman Sachs | (1,015) |
12/20/23 | Taiwan Dollars | 4,848,648 | U.S. Dollars | 150,848 | Barclays | (1,029) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2023: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/20/23 | U.S. Dollars | 26,808 | Chilean Pesos | 25,000,000 | Goldman Sachs | $ (1,039) |
12/20/23 | U.S. Dollars | 42,174 | Colombian Pesos | 180,000,000 | JPMorgan Chase | (1,061) |
12/20/23 | South Korean Won | 410,000,000 | U.S. Dollars | 305,147 | Goldman Sachs | (1,236) |
12/20/23 | Brazilian Reals | 190,000 | U.S. Dollars | 38,735 | Citibank | (1,271) |
12/20/23 | U.S. Dollars | 174,987 | Czech Republic Koruna | 4,100,000 | Citibank | (1,408) |
12/20/23 | Japanese Yen | 11,000,000 | U.S. Dollars | 74,620 | Morgan Stanley | (1,410) |
12/20/23 | Israeli Shekels | 100,000 | U.S. Dollars | 26,353 | Barclays | (1,539) |
12/20/23 | U.S. Dollars | 80,802 | Chilean Pesos | 74,000,000 | Bank of America | (1,623) |
12/20/23 | U.S. Dollars | 27,117 | Colombian Pesos | 120,000,000 | Bank of America | (1,707) |
12/20/23 | U.S. Dollars | 62,130 | South African Rand | 1,200,000 | Goldman Sachs | (1,969) |
12/20/23 | Swedish Kronor | 1,100,000 | U.S. Dollars | 100,801 | Morgan Stanley | (2,001) |
12/20/23 | U.S. Dollars | 68,985 | Polish Zloty | 300,000 | JPMorgan Chase | (2,118) |
12/20/23 | U.S. Dollars | 68,773 | Polish Zloty | 300,000 | Citibank | (2,330) |
12/20/23 | New Zealand Dollars | 210,000 | U.S. Dollars | 124,749 | Citibank | (2,381) |
12/20/23 | British Pounds | 90,000 | U.S. Dollars | 111,859 | Barclays | (2,422) |
12/15/23 | British Pounds | 352,200 | U.S. Dollars | 430,782 | Morgan Stanley | (2,546) |
12/20/23 | U.S. Dollars | 146,954 | South African Rand | 2,800,000 | Deutsche Bank | (2,611) |
12/20/23 | British Pounds | 220,000 | U.S. Dollars | 270,173 | Bank of America | (2,662) |
12/20/23 | U.S. Dollars | 119,863 | South African Rand | 2,300,000 | JPMorgan Chase | (2,995) |
12/20/23 | Mexican Pesos | 1,400,000 | U.S. Dollars | 80,268 | JPMorgan Chase | (3,265) |
12/20/23 | New Zealand Dollars | 180,000 | U.S. Dollars | 108,431 | Bank of America | (3,544) |
12/20/23 | Czech Republic Koruna | 4,900,000 | U.S. Dollars | 214,448 | Morgan Stanley | (3,633) |
12/20/23 | New Zealand Dollars | 390,000 | U.S. Dollars | 231,058 | Deutsche Bank | (3,805) |
12/20/23 | Euro | 220,000 | U.S. Dollars | 237,315 | Bank of America | (3,968) |
12/20/23 | U.S. Dollars | 124,218 | South African Rand | 2,400,000 | Morgan Stanley | (3,982) |
12/20/23 | Canadian Dollars | 250,000 | U.S. Dollars | 184,448 | Morgan Stanley | (4,006) |
12/20/23 | Australian Dollars | 520,000 | U.S. Dollars | 334,599 | Citibank | (4,166) |
12/20/23 | Israeli Shekels | 300,000 | U.S. Dollars | 78,638 | Deutsche Bank | (4,197) |
12/20/23 | U.S. Dollars | 102,395 | Polish Zloty | 450,000 | Deutsche Bank | (4,259) |
12/20/23 | U.S. Dollars | 610,646 | Euro | 580,000 | JPMorgan Chase | (4,542) |
12/20/23 | Taiwan Dollars | 11,900,000 | U.S. Dollars | 372,804 | Deutsche Bank | (5,103) |
12/20/23 | Colombian Pesos | 740,000,000 | U.S. Dollars | 183,168 | Morgan Stanley | (5,422) |
12/20/23 | U.S. Dollars | 164,024 | Chilean Pesos | 153,000,000 | Barclays | (6,395) |
12/20/23 | Brazilian Reals | 2,100,000 | U.S. Dollars | 420,650 | Morgan Stanley | (6,570) |
12/20/23 | Canadian Dollars | 430,000 | U.S. Dollars | 316,975 | Bank of America | (6,616) |
12/20/23 | Israeli Shekels | 550,000 | U.S. Dollars | 143,558 | Citibank | (7,082) |
12/20/23 | New Zealand Dollars | 750,000 | U.S. Dollars | 444,314 | Morgan Stanley | (7,288) |
12/20/23 | New Zealand Dollars | 560,000 | U.S. Dollars | 333,853 | Goldman Sachs | (7,539) |
12/20/23 | New Zealand Dollars | 590,000 | U.S. Dollars | 351,357 | Barclays | (7,564) |
12/20/23 | Swiss Francs | 450,000 | U.S. Dollars | 506,558 | Morgan Stanley | (8,933) |
12/20/23 | Norwegian Kroner | 4,100,000 | U.S. Dollars | 376,751 | Goldman Sachs | (9,169) |
Forward Foreign Currency Exchange Contracts outstanding at October 31, 2023: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/20/23 | Canadian Dollars | 510,000 | U.S. Dollars | 378,750 | JPMorgan Chase | $ (10,650) |
12/20/23 | Norwegian Kroner | 4,500,000 | U.S. Dollars | 415,064 | Morgan Stanley | (11,621) |
12/20/23 | British Pounds | 480,000 | U.S. Dollars | 596,747 | JPMorgan Chase | (13,088) |
12/20/23 | Norwegian Kroner | 4,500,000 | U.S. Dollars | 416,663 | Deutsche Bank | (13,219) |
12/20/23 | Israeli Shekels | 950,000 | U.S. Dollars | 249,032 | Bank of America | (13,299) |
12/20/23 | U.S. Dollars | 700,348 | Polish Zloty | 3,050,000 | Morgan Stanley | (22,532) |
Total Unrealized Depreciation | $(273,557) | |||||
Net Unrealized Appreciation | $ 106,704 |
Long Contracts for Difference at October 31, 2023: Over the Counter | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
3M Co. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,415 | Monthly | $ 310,034 | $ 4,877 |
AbbVie, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,084 | Monthly | 296,852 | (307) |
Agilent Technologies, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 998 | Monthly | 102,992 | (5,831) |
Albemarle Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 768 | Monthly | 97,273 | (7,793) |
Alcoa Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 4,398 | Monthly | 112,670 | 9,713 |
Alexandria Real Estate Equities, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 860 | Monthly | 79,919 | (6,855) |
Allstate Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 3,049 | Monthly | 389,908 | 9,027 |
Altria Group, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 16,292 | Monthly | 653,092 | (43,794) |
Amazon.com, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 112 | Monthly | 14,906 | 42 |
American Electric Power Co., Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,100 | Monthly | 158,456 | 4,421 |
American Express Co. | U.S. Fed Funds | 1/24/2024 | Barclays | 189 | Monthly | 27,579 | 360 |
American Express Co. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 2,521 | Monthly | 367,372 | (17,811) |
American International Group, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 5,233 | Monthly | 320,551 | 11,909 |
American International Group, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,563 | Monthly | 218,048 | (3,755) |
American Water Works Company, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,557 | Monthly | 182,864 | (2,835) |
Apache Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 9,246 | Monthly | 366,472 | (23,617) |
Applied Materials, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,187 | Monthly | 288,834 | (19,533) |
AT&T, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 29,848 | Monthly | 458,800 | 28,691 |
Atmos Energy Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 243 | Monthly | 26,161 | 180 |
Autodesk, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 66 | Monthly | 13,031 | (150) |
AutoZone, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 148 | Monthly | 366,284 | 6,227 |
Avis Budget Group, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 505 | Monthly | 82,020 | (5,249) |
Barrick Gold Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 5,728 | Monthly | 91,446 | (3,352) |
Baxter International, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 11,170 | Monthly | 361,906 | (5,029) |
Best Buy Co., Inc. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 4,584 | Monthly | 305,402 | (14,771) |
Long Contracts for Difference at October 31, 2023: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Booking Holdings, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 103 | Monthly | $ 287,120 | $ (2,125) |
BorgWarner, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 5,500 | Monthly | 202,927 | (7,338) |
BorgWarner, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 7,989 | Monthly | 294,180 | (21,066) |
Boyd Gaming Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 4,831 | Monthly | 266,644 | (25,148) |
Bristol-Myers Squibb Co. | U.S. Fed Funds | 1/24/2024 | Barclays | 6,904 | Monthly | 355,441 | (27,892) |
Camden Property Trust REIT | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 1,769 | Monthly | 149,859 | (14,420) |
Campbell Soup | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,395 | Monthly | 96,522 | 482 |
Capital One Financial Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 2,363 | Monthly | 238,628 | 10,572 |
Cardinal Health, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 3,226 | Monthly | 293,293 | (3,467) |
Cardinal Health, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 4,002 | Monthly | 363,708 | (6,908) |
Carnival Corp. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 26,799 | Monthly | 306,170 | (29,229) |
Caterpillar, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 1,239 | Monthly | 279,806 | (26,350) |
Caterpillar, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,533 | Monthly | 345,765 | (65,688) |
CH Robinson Worldwide, Inc. | U.S. Fed Funds | 8/19/2026 | Goldman Sachs | 3,548 | Monthly | 289,738 | (14,434) |
Chubb Limited | U.S. Fed Funds | 8/19/2026 | Goldman Sachs | 1,711 | Monthly | 367,208 | 2,585 |
Church & Dwight Co., Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 857 | Monthly | 77,795 | 1,456 |
Ciena Corpment, Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,955 | Monthly | 124,608 | 3,576 |
Cigna Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 300 | Monthly | 92,432 | (1,207) |
Cisco Systems, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 6,941 | Monthly | 361,084 | (14,841) |
Cleveland Cliffs, Inc. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 23,102 | Monthly | 387,345 | 40,046 |
Clorox (The) Co. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,507 | Monthly | 294,484 | (17,606) |
CME Group, Inc., Class A | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,452 | Monthly | 309,309 | (8,417) |
Colgate-Palmolive Co. | U.S. Fed Funds | 1/24/2024 | Barclays | 4,268 | Monthly | 320,330 | 13,204 |
Comcast Corp., Class A | U.S. Fed Funds | 1/24/2024 | Barclays | 5,425 | Monthly | 223,838 | (5,602) |
Conagra Brands, Inc. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 10,727 | Monthly | 293,202 | (350) |
ConocoPhillips | U.S. Fed Funds | 1/24/2024 | Barclays | 2,809 | Monthly | 333,475 | (5,182) |
Coterra Energy, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 10,839 | Monthly | 297,789 | (10,038) |
Crown Castle International Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 1,881 | Monthly | 174,642 | 11,729 |
CSX Corp. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 7,314 | Monthly | 217,626 | (9,693) |
CSX Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 12,077 | Monthly | 359,741 | (19,598) |
CVS Health Corp. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 5,569 | Monthly | 383,101 | (13,690) |
Darden Restaurants, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 413 | Monthly | 60,077 | 1,522 |
Darden Restaurants, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,925 | Monthly | 279,612 | 12,402 |
Darling Ingredients, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 420 | Monthly | 18,591 | 1,542 |
DaVita, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 261 | Monthly | 20,154 | (72) |
DaVita, Inc. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 974 | Monthly | 75,028 | (8,264) |
Dell Technologies, Inc., Class C | U.S. Fed Funds | 1/24/2024 | Barclays | 5,525 | Monthly | 369,345 | 7,236 |
Dell Technologies, Inc., Class C | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 4,582 | Monthly | 305,994 | (4,057) |
Devon Energy Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 8,061 | Monthly | 375,047 | (9,543) |
Devon Energy Corp. | U.S. Fed Funds | 2/8/2024 | JPMorgan Chase | 5,642 | Monthly | 261,998 | 1,879 |
Discovery Incment, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 4,909 | Monthly | 48,718 | (3,372) |
Dominion Energy, Inc. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 9,138 | Monthly | 367,311 | (16,822) |
Long Contracts for Difference at October 31, 2023: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Duke Energy Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 4,116 | Monthly | $ 365,136 | $ (3,081) |
DuPont de Nemours, Inc. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 2,434 | Monthly | 176,773 | (6,434) |
Eaton Corp. PLC | U.S. Fed Funds | 1/24/2024 | Barclays | 40 | Monthly | 8,295 | 310 |
Elastic N.V. | U.S. Fed Funds | 1/24/2024 | Barclays | 3,804 | Monthly | 285,193 | (14,377) |
Energy, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 6,145 | Monthly | 301,346 | (8,546) |
EQT Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 4,856 | Monthly | 205,586 | 323 |
Equity Residential | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 263 | Monthly | 14,504 | (1,284) |
Equity Residential | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 6,492 | Monthly | 358,448 | (30,679) |
Eversource Energy | U.S. Fed Funds | 1/24/2024 | Barclays | 4,600 | Monthly | 247,212 | 5,896 |
Exelon Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 9,654 | Monthly | 375,152 | (12,649) |
Expedia Group, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,632 | Monthly | 345,427 | (15,599) |
Extra Space Storage Incment, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 2,868 | Monthly | 296,479 | (41,206) |
FedEx Corp. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 1,604 | Monthly | 383,965 | (22,798) |
FedEx Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,217 | Monthly | 291,600 | (9,680) |
Fidelity National Information Services, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 368 | Monthly | 18,070 | 175 |
Ford Motor Co. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 42,274 | Monthly | 411,002 | (78,342) |
Fortune Brands Home & Security, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 2,082 | Monthly | 115,925 | (10,672) |
Fox Corp., Class A | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,689 | Monthly | 51,238 | (1,655) |
Gap (The), Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 23,371 | Monthly | 302,036 | 12,960 |
Gap (The), Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 29,869 | Monthly | 381,604 | 21,683 |
General Electric Co. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,717 | Monthly | 294,881 | 5,004 |
General Electric Co. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,868 | Monthly | 202,788 | 273 |
General Motors Co. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 13,366 | Monthly | 376,182 | (24,085) |
Halliburton Co. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 10,184 | Monthly | 399,986 | (24,040) |
Hartford Financial Services Group (The), Inc. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 3,098 | Monthly | 226,873 | 6,853 |
Hasbro, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,455 | Monthly | 110,800 | (8,133) |
HCA Healthcare, Inc. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 584 | Monthly | 131,736 | (11,874) |
Healthpeak Properties, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 14,255 | Monthly | 221,449 | (13,759) |
Hershey (The) Co. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 304 | Monthly | 56,838 | (1,478) |
HF Sinclair Corporation | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,692 | Monthly | 93,517 | 474 |
Home Depot (The), Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 1,315 | Monthly | 374,039 | (295) |
Honeywell International, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,006 | Monthly | 367,286 | 5,163 |
Hormel Foods Corp | U.S. Fed Funds | 1/24/2024 | Barclays | 443 | Monthly | 14,407 | 692 |
Host Hotels & Resorts, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 2,329 | Monthly | 36,054 | 493 |
HP, Inc. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 11,493 | Monthly | 301,692 | 1,955 |
HP, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 14,218 | Monthly | 373,597 | (8,583) |
Humana, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 602 | Monthly | 314,631 | (943) |
Illumina, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 995 | Monthly | 108,863 | (51) |
International Paper Co. | U.S. Fed Funds | 1/24/2024 | Barclays | 8,167 | Monthly | 275,243 | 10,092 |
JM Smucker (The) Co. | U.S. Fed Funds + (0.06)% | 8/19/2026 | Goldman Sachs | 1,335 | Monthly | 151,676 | 1,195 |
Long Contracts for Difference at October 31, 2023: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Johnson Controls International PLC | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 6,068 | Monthly | $ 296,511 | $ (21,484) |
Johnson Controls International PLC | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 7,603 | Monthly | 371,954 | (25,640) |
KB Home | U.S. Fed Funds | 1/24/2024 | Barclays | 337 | Monthly | 14,797 | 236 |
KB Home | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,541 | Monthly | 156,217 | 1,355 |
Keysight Technologies, Inc. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 273 | Monthly | 33,210 | (2,597) |
Kimberly-Clarke Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,411 | Monthly | 288,182 | (5,502) |
Kimco Realty Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 999 | Monthly | 17,907 | 1,443 |
Kinder Morgan, Inc. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 21,625 | Monthly | 349,303 | (14,733) |
KLA Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 613 | Monthly | 287,665 | 4,116 |
Kroger (The) Co. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 6,231 | Monthly | 281,850 | 3,822 |
L Brands, Inc. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 8,898 | Monthly | 263,582 | (3,404) |
L Brands, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 10,251 | Monthly | 303,321 | (16,847) |
L3Harris Technologies, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 607 | Monthly | 108,691 | 1,330 |
Lam Research Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 507 | Monthly | 297,963 | (5,547) |
Las Vegas Sands Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 860 | Monthly | 40,816 | (129) |
Lennar Corp. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 2,834 | Monthly | 301,503 | (10,185) |
Lockheed Martin Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 815 | Monthly | 370,197 | 6,577 |
Lowe's Cos., Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,224 | Monthly | 423,442 | 4,485 |
Marathon Petroleum Corp. | U.S. Fed Funds + U.S. Fed Funds | 1/24/2024 | Barclays | 5,482 | Monthly | 472,217 | 4,326 |
Marathon Petroleum Corp. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 1,646 | Monthly | 248,393 | 5,139 |
Marriott International, Inc., Class A | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 543 | Monthly | 102,335 | (420) |
Marsh & McLennan Cos., Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,766 | Monthly | 334,482 | (2,464) |
Martin Marietta Materials, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 351 | Monthly | 143,451 | (95) |
Masco Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 772 | Monthly | 40,200 | 717 |
Match Group, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 4,557 | Monthly | 157,371 | (7,109) |
McCormick & Co., Inc. (Non Voting) | U.S. Fed Funds | 1/24/2024 | Barclays | 3,211 | Monthly | 205,024 | 7,623 |
Mcdonalds Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 800 | Monthly | 209,549 | 5,749 |
Mcdonalds Corp. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 685 | Monthly | 179,077 | 7,990 |
Mcdonalds Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,178 | Monthly | 308,248 | 13,819 |
McKesson Corp. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 809 | Monthly | 367,274 | 1,096 |
Medtronic, PLC | U.S. Fed Funds | 1/24/2024 | Barclays | 748 | Monthly | 52,729 | (1,419) |
Meta Platform Inc., Class A | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 987 | Monthly | 296,765 | (17,750) |
Mid-America Apartment Communities, Inc. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 2,515 | Monthly | 296,189 | (36,900) |
Mohawk Industries, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 162 | Monthly | 13,010 | 162 |
Mondelez International, Inc., Class A | U.S. Fed Funds | 1/24/2024 | Barclays | 3,487 | Monthly | 230,589 | 7,456 |
Moodys Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 300 | Monthly | 92,224 | (3,621) |
Mosaic (The) Co. | U.S. Fed Funds | 1/24/2024 | Barclays | 8,690 | Monthly | 281,984 | (10,893) |
Long Contracts for Difference at October 31, 2023: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Motorola Solutions, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 761 | Monthly | $ 211,712 | $ (934) |
Murphy Oil Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 8,141 | Monthly | 364,634 | (15,908) |
National Oilwell Varco, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 2,647 | Monthly | 52,726 | (1,538) |
Newmont Corp. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 9,949 | Monthly | 371,970 | (11,699) |
Newmont Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 7,873 | Monthly | 294,372 | (20,942) |
Norfolk Southern Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 1,968 | Monthly | 375,145 | (10,301) |
Northrop Grumman Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 772 | Monthly | 363,190 | (14,372) |
Nucor Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 94 | Monthly | 13,882 | 47 |
Nutrien ltd. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 4,422 | Monthly | 237,084 | (25,932) |
NXP Semiconductors N.V. | U.S. Fed Funds | 1/24/2024 | Barclays | 287 | Monthly | 49,474 | (1,623) |
Occidental Petroleum Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 5,866 | Monthly | 362,238 | (6,264) |
Olin Corp. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 1,476 | Monthly | 62,841 | (7,284) |
Olin Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,494 | Monthly | 63,638 | (8,029) |
Omnicom Group, Inc. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 4,960 | Monthly | 370,258 | (1,246) |
Oracle Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,627 | Monthly | 277,463 | 5,148 |
O'Reilly Automotive, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1 | Monthly | 929 | (17) |
Otis Worldwide Corp. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 432 | Monthly | 33,301 | (493) |
Ovintiv, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 7,522 | Monthly | 360,716 | (8,614) |
Owens Corning | U.S. Fed Funds | 1/24/2024 | Barclays | 777 | Monthly | 88,051 | (2,861) |
Packaging Corp. Of America | U.S. Fed Funds | 1/24/2024 | Barclays | 1,788 | Monthly | 274,429 | 13,701 |
Packaging Corp. Of America | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 2,555 | Monthly | 389,838 | (2,942) |
Parker-Hannifin Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 788 | Monthly | 290,090 | (21,920) |
PBF Energy, Inc., Class A | U.S. Fed Funds | 1/24/2024 | Barclays | 765 | Monthly | 36,871 | 771 |
Pfizer, Inc. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 11,427 | Monthly | 348,877 | (1,849) |
PPG Industries, Inc. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 2,407 | Monthly | 294,665 | (14,682) |
Procter & Gamble (The) Co. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 302 | Monthly | 45,309 | 232 |
Public Storage | U.S. Fed Funds | 1/24/2024 | Barclays | 4 | Monthly | 954 | (38) |
Ralph Lauren Corp., Class A | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 2,692 | Monthly | 302,330 | 1,283 |
Range Resources Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 4,543 | Monthly | 162,475 | 3,197 |
Royal Caribbean Cruises Ltd. | U.S. Fed Funds | 1/24/2024 | Barclays | 3,569 | Monthly | 302,134 | 12,046 |
Royalty Pharma PLC, Class A | U.S. Fed Funds | 1/24/2024 | Barclays | 9,807 | Monthly | 263,267 | (5,249) |
Salesforce.com, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 1,439 | Monthly | 288,727 | (1,951) |
SBA Communications Corp. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 1,415 | Monthly | 294,446 | 18,912 |
Sherwin-Williams (The) Co. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | 1,894 | Monthly | 450,834 | (442) |
SM Energy Co. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 2,813 | Monthly | 113,078 | 1,543 |
Southern Copper Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 956 | Monthly | 67,668 | (1,133) |
Southwestern Energy | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 3,638 | Monthly | 25,846 | 1,216 |
Stanley Black & Decker, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 2,160 | Monthly | 183,473 | 7,855 |
Starbucks Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 81 | Monthly | 7,464 | (166) |
Steel Dynamics, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,873 | Monthly | 305,742 | 22,033 |
Steris, PLC | U.S. Fed Funds | 1/24/2024 | Barclays | 2,437 | Monthly | 301,414 | (4,811) |
Stryker Corp. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 953 | Monthly | 256,918 | 4,641 |
Synchrony Financial | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 9,554 | Monthly | 267,084 | (13,422) |
Sysco Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 3,286 | Monthly | 218,290 | 4,700 |
Long Contracts for Difference at October 31, 2023: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Tapestry, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 6,896 | Monthly | $ 189,877 | $ (2,522) |
Target Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 4,279 | Monthly | 473,684 | 11,730 |
Tenet Healthcare Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 1,740 | Monthly | 93,325 | (1,784) |
TJX (The) Cos., Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,254 | Monthly | 110,188 | (2,303) |
Toll Brothers, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 5,201 | Monthly | 367,430 | 6,221 |
Toll Brothers, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 4,258 | Monthly | 300,489 | (4,022) |
Trane Technologies PLC | U.S. Fed Funds | 1/24/2024 | Barclays | 416 | Monthly | 79,111 | 1,141 |
Travelers (The) Cos., Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,836 | Monthly | 306,805 | (1,000) |
Twilio Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 245 | Monthly | 12,559 | (1) |
Uber Technologies, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 6,077 | Monthly | 262,406 | (9,297) |
UDR, Inc. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 5,553 | Monthly | 176,070 | (24,512) |
Union Pacific Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 1,807 | Monthly | 374,806 | (616) |
United Parcel Service, Inc., Class B | U.S. Fed Funds | 1/24/2024 | Barclays | 1,533 | Monthly | 216,405 | (3,101) |
United States Steel Corp. | U.S. Fed Funds + 0.20% | 2/8/2024 | JPMorgan Chase | 5,435 | Monthly | 183,642 | 4,233 |
Universal Health Services, Inc., Class B | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 43 | Monthly | 5,297 | (125) |
Valero Energy Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,869 | Monthly | 364,018 | (11,046) |
Valero Energy Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 2,335 | Monthly | 296,145 | (2,185) |
VeriSign, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,250 | Monthly | 249,048 | (14,927) |
Vistra Operations Co. LLC | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 8,912 | Monthly | 291,090 | 3,004 |
Vulcan Materials Co. | U.S. Fed Funds | 1/24/2024 | Barclays | 569 | Monthly | 111,697 | (3,526) |
W.P. Carey, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 5,208 | Monthly | 279,169 | 4,204 |
Walmart, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,202 | Monthly | 196,373 | 546 |
Waste Connections, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 501 | Monthly | 64,840 | (1,945) |
Weyerhaeuser Co. | U.S. Fed Funds | 1/24/2024 | Barclays | 9,269 | Monthly | 265,682 | (1,636) |
Workday, Inc. | U.S. Fed Funds | 8/19/2026 | Goldman Sachs | 181 | Monthly | 38,242 | (786) |
Yum Brands, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 5,350 | Monthly | 645,571 | 9,172 |
Zimmer Biomet Holdings, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 347 | Monthly | 36,197 | (294) |
Zoetis , Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 1,844 | Monthly | 289,296 | (13,355) |
ZoomInfo Technologies, Inc. | U.S. Fed Funds | 8/19/2026 | Goldman Sachs | 3,835 | Monthly | 49,570 | (16,200) |
Total (Cost $50,582,879) | 912,299 | $49,643,187 | $(939,692) |
Short Contracts for Difference at October 31, 2023: Over the Counter | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Advance Drainage Systems, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,678 | Monthly | $ (285,523) | $ 28,598 |
Advanced Auto Parts, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,840 | Monthly | (146,847) | (9,249) |
Advanced Micro Devices, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 3,793 | Monthly | (373,314) | 94 |
Short Contracts for Difference at October 31, 2023: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
AES (The) Corp. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 26,573 | Monthly | $ (394,231) | $ (54,461) |
Aflac, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 906 | Monthly | (70,724) | (761) |
Air Products & Chemicals, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 198 | Monthly | (55,890) | (1,173) |
Allstate Corp. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 473 | Monthly | (60,587) | (1,277) |
Ally Financial, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 485 | Monthly | (11,710) | 230 |
Ally Financial, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 15,697 | Monthly | (378,455) | 14,068 |
Amcor, PLC | U.S. Fed Funds | 1/24/2024 | Barclays | 22,678 | Monthly | (201,442) | (9,813) |
American Airlines Group, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 18,048 | Monthly | (199,923) | 20,187 |
AmerisourceBergen Corp. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 674 | Monthly | (124,768) | 1,600 |
Amgen, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 816 | Monthly | (208,293) | 14,524 |
Apollo Global Management, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,619 | Monthly | (125,111) | 16,146 |
Aramark Services, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 6,245 | Monthly | (168,134) | (1,547) |
Arthur J Gallagher & Co. | U.S. Fed Funds | 1/24/2024 | Barclays | 1,295 | Monthly | (304,723) | (9,207) |
Avantor, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 16,036 | Monthly | (279,249) | 45,588 |
Avery Dennison Corp. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 1,555 | Monthly | (269,791) | 17,433 |
Avis Budget Group, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 2,284 | Monthly | (370,718) | 37,940 |
Ball Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | 7,956 | Monthly | (382,800) | (39,721) |
Best Buy Co., Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 5,177 | Monthly | (345,242) | 21,083 |
Boeing (The) Co. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,031 | Monthly | (378,749) | (3,762) |
Booz Allen Hamilton Holding Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,490 | Monthly | (298,026) | 22,437 |
Boston Properties, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 281 | Monthly | (15,051) | 13 |
Boston Scientific Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 6,894 | Monthly | (352,440) | (6,844) |
Broadcom, Inc. | U.S. Fed Funds | 2/8/2024 | JPMorgan Chase | 54 | Monthly | (45,384) | 1,081 |
Brookfield Asset Management, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 4,298 | Monthly | (125,174) | 6,947 |
Brown & Brown, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 4,277 | Monthly | (295,921) | 2,656 |
Brown-Forman Corp., Class B | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 5,360 | Monthly | (300,170) | (79) |
Builders FirstSource, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 153 | Monthly | (16,552) | 1,600 |
Bunge Ltd. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,446 | Monthly | (258,927) | (10,804) |
Caesars Entertainment, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 2,237 | Monthly | (89,216) | 31 |
Campbell Soup | U.S. Fed Funds | 1/24/2024 | Barclays | 8,886 | Monthly | (358,788) | (7,166) |
Canadian Natural Resources Ltd. | U.S. Fed Funds | 1/24/2024 | Barclays | 10,655 | Monthly | (676,322) | 12,844 |
Carnival Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 32,107 | Monthly | (367,433) | 7,547 |
Cboe Global Markets, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 441 | Monthly | (72,228) | (908) |
CBRE Group, Inc., Class A | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 4,327 | Monthly | (299,460) | 13,040 |
CDW Corporation of Delaware | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 1,453 | Monthly | (290,313) | 12,086 |
Celanese Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,565 | Monthly | (293,468) | (3,367) |
Cenovus Energy, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 14,575 | Monthly | (277,074) | 29,147 |
Centene Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 4,267 | Monthly | (293,770) | 9,699 |
Short Contracts for Difference at October 31, 2023: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
CF Industries Holdings, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 794 | Monthly | $ (63,291) | $ 443 |
Charles River Laboratories International, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,659 | Monthly | (278,743) | 39,334 |
Charter Communications, Inc., Class A | U.S. Fed Funds | 1/24/2024 | Barclays | 983 | Monthly | (395,632) | 22,563 |
Charter Communications, Inc., Class A | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 795 | Monthly | (319,338) | 27,334 |
Chubb Limited | U.S. Fed Funds | 2/8/2024 | JPMorgan Chase | 9 | Monthly | (1,331) | 564 |
Cintas Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 454 | Monthly | (230,034) | (1,271) |
Coherent Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 9,063 | Monthly | (267,689) | 39,909 |
Comcast Corp., Class A | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,682 | Monthly | (151,659) | 11,269 |
ConocoPhillips | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,455 | Monthly | (291,198) | 15,622 |
Corteva, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 6,183 | Monthly | (297,404) | 3,988 |
Corteva, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 7,555 | Monthly | (362,639) | 18,911 |
Crocs, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,960 | Monthly | (264,232) | (9,186) |
Crown Holdings, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,002 | Monthly | (161,213) | (7,019) |
D.R. Horton, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 1,170 | Monthly | (122,046) | (2,566) |
Danaher Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 1,898 | Monthly | (364,130) | 21,995 |
Danaher Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 100 | Monthly | (19,161) | 1,884 |
Deere & Co. | U.S. Fed Funds | 1/24/2024 | Barclays | 460 | Monthly | (167,918) | 3,786 |
Delta Air Lines, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 1,468 | Monthly | (45,669) | 188 |
Dick's Sporting Goods, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,892 | Monthly | (308,702) | 10,632 |
Discover Financial Services | U.S. Fed Funds | 1/24/2024 | Barclays | 3,668 | Monthly | (300,821) | 1,020 |
Dollar General Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,688 | Monthly | (319,408) | (14,132) |
Dollar Tree, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,064 | Monthly | (118,041) | (514) |
Dow, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 7,582 | Monthly | (365,826) | 14,323 |
Eastman Chemical Co. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,283 | Monthly | (244,888) | (3,916) |
Enbridge, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 11,651 | Monthly | (372,333) | 4,160 |
Entegris, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,411 | Monthly | (299,266) | 31,172 |
Equinix, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 33 | Monthly | (24,058) | (977) |
Estee Lauder (The) Cos., Inc., Class A | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 2,252 | Monthly | (289,354) | 28,345 |
Exxon Mobil Corp. | U.S. Fed Funds | 2/8/2024 | JPMorgan Chase | 327 | Monthly | (34,613) | 9 |
FirstEnergy Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 808 | Monthly | (28,741) | (469) |
FirstEnergy Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 10,889 | Monthly | (386,912) | 6,834 |
Fiserv, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,890 | Monthly | (331,739) | (14,966) |
FMC Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 5,301 | Monthly | (281,763) | 25,621 |
Foot Locker, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 15,088 | Monthly | (316,444) | (6,692) |
Freeport-McMoRan, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 13,692 | Monthly | (461,621) | 27,844 |
Gartner, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 268 | Monthly | (88,908) | 2,890 |
Gen Digital Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 12,421 | Monthly | (206,528) | 10,840 |
General Mills, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,966 | Monthly | (193,345) | (2,004) |
General Motors Co. | U.S. Fed Funds | 1/24/2024 | Barclays | 6,867 | Monthly | (193,380) | 7,273 |
Genuine Parts Co. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,271 | Monthly | (163,487) | 21,285 |
Short Contracts for Difference at October 31, 2023: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Global Payments, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 145 | Monthly | $ (15,388) | $ 385 |
GoDaddy, Inc., Class A | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 3,502 | Monthly | (254,999) | 7,490 |
Graphic Packaging Holding Company | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 13,865 | Monthly | (297,687) | (3,610) |
Hartford Financial Services Group (The), Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 152 | Monthly | (11,139) | (574) |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 446 | Monthly | (67,392) | (634) |
Hologic, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 4,437 | Monthly | (293,154) | 10,960 |
Howmet Aerospace Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | 8,460 | Monthly | (372,784) | (4,385) |
Intel Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,337 | Monthly | (84,686) | 754 |
International Business Machines Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | 2,637 | Monthly | (381,106) | (21,472) |
International Business Machines Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,155 | Monthly | (311,151) | (11,417) |
International Flavors & Fragrances, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 4,635 | Monthly | (316,544) | (16,381) |
Intui, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 489 | Monthly | (238,878) | 7,593 |
Iron Mountain, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | 11,263 | Monthly | (664,734) | 458 |
Jabil, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 1,161 | Monthly | (142,218) | 13,882 |
Johnson & Johnson | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 863 | Monthly | (127,221) | 8,727 |
Keurig Dr Pepper, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 549 | Monthly | (16,638) | (1,085) |
KKR & Co., Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 1,808 | Monthly | (99,158) | 12,215 |
Kohls Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 17,928 | Monthly | (403,101) | (21,818) |
Kraft Heinz Foods Co. | U.S. Fed Funds | 1/24/2024 | Barclays | 11,869 | Monthly | (373,084) | (3,720) |
Lamb Weston Holdings, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,359 | Monthly | (211,663) | (6,029) |
Lamb Weston Holdings, Inc. | U.S. Fed Funds + (5.00)% | 8/19/2026 | Goldman Sachs | 4,348 | Monthly | (389,755) | (21,740) |
Leidos Holdings, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,676 | Monthly | (165,826) | (5,919) |
Lennar Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,050 | Monthly | (218,509) | (2,644) |
LIncoln National Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 5,835 | Monthly | (126,882) | 6,832 |
Macys, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 21,747 | Monthly | (263,227) | (21,645) |
Marriott International, Inc., Class A | U.S. Fed Funds | 2/8/2024 | JPMorgan Chase | 980 | Monthly | (184,203) | 6,338 |
Medical Properties Trust, Inc. | U.S. Fed Funds + (0.29)% | 1/24/2024 | Barclays | 26,584 | Monthly | (126,969) | (4,682) |
Medical Properties Trust, Inc. | U.S. Fed Funds + (0.45)% | 2/8/2024 | JPMorgan Chase | 16,073 | Monthly | (76,604) | 5,850 |
Merck & Co., Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,706 | Monthly | (277,459) | 3,714 |
Metlife, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 6,253 | Monthly | (374,170) | 12,110 |
Metlife, Inc. | U.S. Fed Funds | 8/19/2026 | Goldman Sachs | 4,780 | Monthly | (286,287) | 16,526 |
MGIC Investment Corp. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | 3,636 | Monthly | (61,178) | (857) |
MGIC Investment Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 5,643 | Monthly | (94,843) | 3,909 |
MGM Resorts International | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 9,195 | Monthly | (320,521) | 16,552 |
Micron Technology, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 4,345 | Monthly | (289,989) | 10,164 |
Short Contracts for Difference at October 31, 2023: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Molina Healthcare, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 904 | Monthly | $ (300,385) | $ 21,195 |
Murphy Oil USA, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 320 | Monthly | (115,844) | 806 |
Netflix, Inc. | U.S. Fed Funds + 20.00% | 8/19/2026 | Goldman Sachs | 62 | Monthly | (25,558) | (539) |
NextEra Energy, Inc. | U.S. Fed Funds + (7.50)% | 8/19/2026 | Goldman Sachs | 10,660 | Monthly | (620,379) | (40,688) |
Nordstrom, Inc. | U.S. Fed Funds + (0.25)% | 1/24/2024 | Barclays | 1,638 | Monthly | (22,880) | (505) |
Nordstrom, Inc. | U.S. Fed Funds + (0.57)% | 2/8/2024 | JPMorgan Chase | 20,588 | Monthly | (287,080) | 1,152 |
Nordstrom, Inc. | U.S. Fed Funds + (0.45)% | 8/19/2026 | Goldman Sachs | 1,132 | Monthly | (15,797) | 187 |
Norwegian Cruise Line Holdings Ltd. | U.S. Fed Funds | 1/24/2024 | Barclays | 21,767 | Monthly | (295,773) | 7,224 |
NRG Energy, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 7,640 | Monthly | (322,172) | (18,864) |
NRG Energy, Inc. | U.S. Fed Funds + (9.21)% | 8/19/2026 | Goldman Sachs | 9,459 | Monthly | (399,557) | (6,630) |
Onemain Holdings, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 5,802 | Monthly | (208,046) | 16,201 |
Option Care Health, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 1,241 | Monthly | (34,377) | 5,886 |
Penn National Gaming, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 1,009 | Monthly | (19,908) | (3) |
Penn National Gaming, Inc. | U.S. Fed Funds + (0.45)% | 2/8/2024 | JPMorgan Chase | 1,958 | Monthly | (38,628) | (1,269) |
Perkinelmer, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 1,316 | Monthly | (108,915) | 25,685 |
Permian Resources Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 8,217 | Monthly | (119,640) | 2,229 |
Pfizer, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 9,822 | Monthly | (299,586) | 25,217 |
Philip Morris International, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,380 | Monthly | (300,811) | 13,106 |
Progressive Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,035 | Monthly | (321,446) | (9,114) |
Prologis, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 12 | Monthly | (928) | 385 |
Prudential Financial, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,730 | Monthly | (340,457) | 15,225 |
PTC Therapeutics, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 130 | Monthly | (18,237) | (330) |
PulteGroup, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | 4,709 | Monthly | (346,249) | (13,935) |
Quanta Services, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 1,752 | Monthly | (291,973) | 11,572 |
Quest Diagnostics, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 2,228 | Monthly | (289,844) | (1,844) |
Radian Group, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 8,741 | Monthly | (220,827) | 12,383 |
Radian Group, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 634 | Monthly | (16,034) | 894 |
Raymond James Financial, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,138 | Monthly | (298,917) | 18,285 |
Raytheon Technologies Corp. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 4,654 | Monthly | (378,721) | (9,630) |
Raytheon Technologies Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,982 | Monthly | (323,602) | (29,111) |
Royal Caribbean Cruises Ltd. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 4,569 | Monthly | (386,663) | (9,292) |
Schlumberger Ltd. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,930 | Monthly | (106,882) | 7,856 |
Seagate Technology, LLC | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 4,221 | Monthly | (287,576) | (2,634) |
Seagate Technology, LLC | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 269 | Monthly | (18,325) | 223 |
Sealed Air Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 12,797 | Monthly | (393,322) | (9,629) |
Semiconductor Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,467 | Monthly | (154,508) | 16,832 |
Sempra Energy | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 287 | Monthly | (20,061) | 291 |
Simon Property Group, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,463 | Monthly | (379,869) | (5,116) |
Southern (The) Co. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,480 | Monthly | (233,787) | 452 |
Southwest Airlines Co. | U.S. Fed Funds | 1/24/2024 | Barclays | 16,029 | Monthly | (356,011) | 31,510 |
Short Contracts for Difference at October 31, 2023: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Spirit AeroSystems Holdings, Inc., Class A | U.S. Fed Funds | 1/24/2024 | Barclays | 14,197 | Monthly | $ (320,587) | $ (9,246) |
Stellantis N.V. | U.S. Fed Funds | 1/24/2024 | Barclays | 8,211 | Monthly | (155,256) | 261 |
Suncor Energy, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2024 | Barclays | 7,890 | Monthly | (255,275) | 9,119 |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 1,615 | Monthly | (134,483) | 899 |
TC Energy Corp. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 10,610 | Monthly | (364,491) | (2,143) |
Teck Resources Ltd., Class B | U.S. Fed Funds | 1/24/2024 | Barclays | 3,919 | Monthly | (138,379) | 12,598 |
Teck Resources Ltd., Class B | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 5,015 | Monthly | (176,975) | 12,733 |
Teledyne Technologies, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 4 | Monthly | (1,497) | 43 |
Tempur Sealy International, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 7,773 | Monthly | (310,125) | (1,443) |
Tesla, Inc. | U.S. Fed Funds + 10.00% | 8/19/2026 | Goldman Sachs | 1,853 | Monthly | (371,712) | 48,540 |
Thermo Fisher Scientific, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 658 | Monthly | (291,801) | 31,396 |
T-Mobile US, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 3,553 | Monthly | (510,713) | (21,323) |
T-Mobile US, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 1,362 | Monthly | (195,389) | (4,518) |
TransDigm, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 259 | Monthly | (213,832) | 10,737 |
TransDigm, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 185 | Monthly | (152,898) | 6,926 |
Transocean Ltd. | U.S. Fed Funds | 1/24/2024 | Barclays | 3,542 | Monthly | (23,448) | (257) |
Tyson Foods, Inc., Class A | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 14,100 | Monthly | (652,316) | 14,589 |
United Airlines Holdings, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 10,789 | Monthly | (377,006) | 43,035 |
United Rentals North America, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 1,504 | Monthly | (610,558) | 4,428 |
United States Steel Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 5,559 | Monthly | (188,244) | (12,246) |
UnitedHealth Group, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 551 | Monthly | (294,848) | (7,463) |
UnitedHealth Group, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 491 | Monthly | (261,936) | 1,014 |
US Foods Holding Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,665 | Monthly | (142,515) | (6,797) |
Verizon Communications, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 11,516 | Monthly | (404,249) | (42,761) |
VF Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 17,095 | Monthly | (251,292) | 25,476 |
ViacomCBS, Inc., Class B | U.S. Fed Funds + (0.25)% | 1/24/2024 | Barclays | 50,534 | Monthly | (549,155) | 15,942 |
Viatris, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 9,254 | Monthly | (82,104) | 7,289 |
VICI Properties, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 10,527 | Monthly | (293,456) | (6,280) |
Walgreen Boots Alliance, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 13,910 | Monthly | (292,646) | 22,627 |
Walt Disney (The) Co. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 5,847 | Monthly | (476,411) | 14,921 |
Welltower, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 2,905 | Monthly | (242,732) | (1,703) |
Western Digital Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 6,050 | Monthly | (242,529) | 8,983 |
Westinghouse Air Brake Technologies Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 720 | Monthly | (76,274) | (5,181) |
Whirlpool Corp. | U.S. Fed Funds | 1/24/2024 | Barclays | 1,929 | Monthly | (201,484) | 44,656 |
Williams (The) Cos., Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 11,200 | Monthly | (384,944) | 5,264 |
Short Contracts for Difference at October 31, 2023: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Williams (The) Cos., Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 2,503 | Monthly | $ (85,856) | $ 147 |
Wynn Resorts Finance LLC/Wynn Resourts Capital Corp. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 3,388 | Monthly | (297,264) | 4,136 |
Xcel Energy, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2024 | JPMorgan Chase | 829 | Monthly | (49,118) | (354) |
Xylem, Inc. | U.S. Fed Funds | 1/24/2024 | Barclays | 3,298 | Monthly | (308,243) | (12,608) |
Total (Cost $46,831,961) | 1,060,718 | $(46,036,209) | $795,752 |
Centrally Cleared
Reference Obligation | Fixed Deal Pay Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||
Markit CDX North America High Yield Index Series 41 (Pay Quarterly) | 5.00% | 12/20/2028 | USD | 955,000 | $ (520) | $ (1,472) | $952 | |
Total | $(520) | $(1,472) | $952 |
Morningstar Alternatives Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 2,517,274 | $ — | $ 2,517,274 |
Common Stocks | 65,451,018 | 4,050,571 | —* | 69,501,589 |
Convertible Bonds | — | 63,655,165 | — | 63,655,165 |
Convertible Preferred Stocks | 1,391,759 | 1,238,726 | — | 2,630,485 |
Corporate Bonds | — | 42,502,840 | — | 42,502,840 |
Foreign Issuer Bonds | — | 7,845,585 | — | 7,845,585 |
Master Limited Partnerships | 1,687,484 | — | — | 1,687,484 |
Mortgage-Backed Securities | — | 28,097,883 | — | 28,097,883 |
Preferred Stocks | 4,199,769 | — | — | 4,199,769 |
Rights | — | — | 257,655 | 257,655 |
Investment Companies | 719,912 | — | — | 719,912 |
Morningstar Alternatives Fund | Level 1 | Level 2 | Level 3 | Totals |
Short-Term Investments | $ 10,735,879 | $ 17,332,175 | $ — | $ 28,068,054 |
Purchased Options | 3,870 | 2,340 | — | 6,210 |
Total Assets – Investments at value | $ 84,189,691 | $167,242,559 | $257,655 | $251,689,905 |
Liabilities: | ||||
Common Stocks | $(27,989,744) | $ — | $ — | $ (27,989,744) |
Mortgage-Backed Securities | — | (115,635) | — | (115,635) |
Rights | — | — | —* | — |
Total Liabilities – Investments at value | $(27,989,744) | $ (115,635) | $ — | $ (28,105,379) |
Net Investments | $ 56,199,947 | $167,126,924 | $257,655 | $223,584,526 |
*Includes securities determined to have no value as of October 31, 2023. |
Morningstar Alternatives Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Futures Contracts | $1,435,684 | $ — | $— | $ 1,435,684 |
Forward Foreign Currency Exchange Contracts | — | 380,261 | — | 380,261 |
Contracts for Difference | — | 49,643,187 | — | 49,643,187 |
Total Assets - Derivative Financial Instruments | $1,435,684 | $ 50,023,448 | $— | $ 51,459,132 |
Liabilities: | ||||
Futures Contracts | $ (789,143) | $ — | $— | $ (789,143) |
Forward Foreign Currency Exchange Contracts | — | (273,557) | — | (273,557) |
Contracts for Difference | — | (46,036,209) | — | (46,036,209) |
Swap Agreements | — | (520) | — | (520) |
Total Liabilities - Derivative Financial Instruments | $ (789,143) | $(46,310,286) | $— | $(47,099,429) |
Net Derivative Financial Instruments | $ 646,541 | $ 3,713,162 | $— | $ 4,359,703 |
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* | $1,425,402,163 | $712,979,283 | $198,118,516 | $827,263,561 | $311,112,471 |
Cash | 1,942 | — | — | — | 1,800 |
Foreign currencies, at value | 57,787 | 976,857 | 279,371 | 805,666 | — |
Due from broker | — | — | 1,479,648 | 7,770,871 | — |
Receivable from Adviser | 51,907 | 69,999 | — | 137,036 | 25,647 |
Receivable for: | |||||
Dividends and interest | 1,231,211 | 1,530,413 | 1,481,743 | 4,603,256 | 4,169,577 |
Securities lending income | 8,487 | 2,069 | 5,452 | 8,365 | — |
Foreign tax reclaims | 149,996 | 1,414,152 | 449,447 | 24,862 | — |
Investments sold | 1,137,993 | 1,515,220 | 924,028 | 72,380,140 | — |
Fund shares sold | 1,078,236 | 644,559 | 40,688 | 549,697 | 181,160 |
Variation margin on futures contracts | — | — | 24,096 | 109,777 | — |
Variation margin on centrally cleared swap agreements | — | — | 3,037 | 154,902 | — |
Unrealized appreciation on OTC swap agreements and contracts for differences | — | — | — | 6,123 | — |
Unrealized appreciation on forward foreign currency exchange contracts | — | — | 35,233 | 90,561 | — |
Upfront premiums paid on swap agreements | — | — | 57,038 | 304,390 | — |
Prepaid expenses and other assets | 53,139 | 35,016 | 36,902 | 34,798 | 22,987 |
Total assets | 1,429,172,861 | 719,167,568 | 202,935,199 | 914,244,005 | 315,513,642 |
Liabilities | |||||
Investments sold short, at value | — | — | — | 16,839,031 | — |
Written options, at value | — | — | — | 969,161 | — |
Due to broker | — | — | 505,613 | 4,013,087 | — |
Unrealized depreciation on OTC swap agreements and contracts for differences | — | — | 58,731 | 16,973 | — |
Unrealized depreciation on forward foreign currency exchange contracts | — | — | 49,014 | 78,128 | — |
Payable for: | |||||
Dividends on short sales | — | — | — | 58,036 | — |
Investments purchased on a delayed-delivery basis | — | — | — | 122,606,451 | — |
Investments purchased | 1,367,688 | 1,330,658 | 2,097,349 | 2,538,718 | 500,000 |
Unrealized depreciation on unfunded loan commitments | — | — | 106 | — | — |
Fund shares redeemed | 1,076,439 | 560,538 | 422,185 | 1,272,763 | 320,512 |
Variation margin on futures contracts | — | — | 24,083 | 83,054 | — |
Variation margin on centrally cleared swap agreements | — | — | 2,223 | 39,597 | — |
Morningstar U.S. Equity Fund | Morningstar International Equity Fund | Morningstar Global Income Fund | Morningstar Total Return Bond Fund | Morningstar Municipal Bond Fund | |
Deferred capital gains tax | — | 33,875 | — | — | — |
Collateral for securities lending | 11,876,126 | 7,145,629 | 4,901,136 | 10,092,376 | — |
Upfront premiums received from swap agreements | — | — | — | 111,240 | — |
Accrued management fees | 818,324 | 510,716 | 58,793 | 284,553 | 118,867 |
Accrued trustee fees | 13,788 | 6,581 | 1,843 | 7,012 | 2,912 |
Accrued expenses | 264,157 | 231,272 | 101,376 | 281,667 | 97,898 |
Total liabilities | 15,416,522 | 9,819,269 | 8,222,452 | 159,291,847 | 1,040,189 |
Net assets | $1,413,756,339 | $709,348,299 | $194,712,747 | $ 754,952,158 | $314,473,453 |
Analysis of net assets: | |||||
Paid in capital | $1,252,462,287 | $758,622,488 | $233,331,400 | $ 957,947,979 | $352,702,865 |
Distributable earnings (loss) | 161,294,052 | (49,274,189) | (38,618,653) | (202,995,821) | (38,229,412) |
Net assets | $1,413,756,339 | $709,348,299 | $194,712,747 | $ 754,952,158 | $314,473,453 |
Shares outstanding: | 131,535,697 | 77,209,190 | 22,928,609 | 90,978,333 | 33,405,519 |
Net asset value, offering price and redemption price per share: | $ 10.75 | $ 9.19 | $ 8.49 | $ 8.30 | $ 9.41 |
Investments in non-affiliates, at cost | $1,312,290,868 | $761,976,331 | $209,235,924 | $ 915,804,174 | $341,747,916 |
Foreign currencies, at cost | $ 57,789 | $ 1,081,202 | $ 286,840 | $ 815,864 | $ — |
Investments sold short proceeds | $ — | $ — | $ — | $ 16,920,494 | $ — |
Written option premiums | $ — | $ — | $ — | $ 1,054,580 | $ — |
*Market value of securities on loan | $ 63,640,880 | $ 14,845,033 | $ 6,410,992 | $ 22,852,570 | $ — |
Morningstar Defensive Bond Fund | Morningstar Multisector Bond Fund | Morningstar Global Opportunistic Equity Fund | Morningstar Alternatives Fund | |
Assets | ||||
Investments in non-affiliates, at value* | $129,371,857 | $164,980,825 | $271,110,726 | $251,689,905 |
Cash | — | 38,189 | — | 30,032,931 |
Foreign currencies, at value | — | 147,035 | 101,812 | 421,375 |
Due from broker | — | 273,251 | — | 2,314,328 |
Receivable from Adviser | 27,036 | 35,632 | — | 40,101 |
Receivable for: | ||||
Dividends and interest | 310,314 | 2,506,192 | 355,170 | 1,380,435 |
Securities lending income | 848 | — | 5,022 | — |
Foreign tax reclaims | — | 89,851 | 54,463 | 10,595 |
Investments sold | 1,409,525 | 2,225,941 | 1,986,164 | 8,516,448 |
Fund shares sold | 27,628 | 128,628 | 241,337 | 100,213 |
Variation margin on futures contracts | — | 344 | — | 31,593 |
Variation margin on centrally cleared swap agreements | — | 12,077 | — | — |
Unrealized appreciation on OTC swap agreements and contracts for differences | — | — | — | 1,933,908 |
Unrealized appreciation on forward foreign currency exchange contracts | — | 87,050 | 268 | 380,261 |
Prepaid expenses and other assets | 25,784 | 33,383 | 28,676 | 26,532 |
Total assets | 131,172,992 | 170,558,398 | 273,883,638 | 296,878,625 |
Liabilities | ||||
Investments sold short, at value | — | — | — | 28,105,379 |
Written options, at value | — | 2,023 | — | — |
Due to broker | — | 12,077 | — | 279,846 |
Unrealized depreciation on OTC swap agreements and contracts for differences | — | — | — | 2,077,848 |
Unrealized depreciation on forward foreign currency exchange contracts | — | 167,568 | 387 | 273,557 |
Payable for: | ||||
Dividends on short sales | — | — | — | 15,340 |
Investments purchased on a delayed-delivery basis | 358,444 | 122,813 | — | 3,849,125 |
Investments purchased | 318,300 | 3,085,277 | 1,844,196 | 3,101,032 |
Fund shares redeemed | 237,045 | 433,577 | 227,200 | 285,135 |
Variation margin on futures contracts | — | 6,444 | — | 64,315 |
Variation margin on centrally cleared swap agreements | — | — | — | 2,384 |
Collateral for securities lending | 1,272,762 | — | 13,615,016 | — |
Upfront premiums received from swap agreements | — | 11,470 | — | 1,472 |
Accrued management fees | 39,952 | 86,760 | 105,007 | 188,909 |
Accrued trustee fees | 1,189 | 1,539 | 2,630 | 2,339 |
Accrued expenses | 71,991 | 113,989 | 49,897 | 217,758 |
Total liabilities | 2,299,683 | 4,043,537 | 15,844,333 | 38,464,439 |
Net assets | $128,873,309 | $166,514,861 | $258,039,305 | $258,414,186 |
Analysis of net assets: | ||||
Paid in capital | $140,465,240 | $208,583,543 | $263,359,823 | $272,625,321 |
Distributable earnings (loss) | (11,591,931) | (42,068,682) | (5,320,518) | (14,211,135) |
Net assets | $128,873,309 | $166,514,861 | $258,039,305 | $258,414,186 |
Morningstar Defensive Bond Fund | Morningstar Multisector Bond Fund | Morningstar Global Opportunistic Equity Fund | Morningstar Alternatives Fund | |
Shares outstanding: | 13,721,458 | 20,170,690 | 27,435,734 | 25,933,309 |
Net asset value, offering price and redemption price per share: | $ 9.39 | $ 8.26 | $ 9.41 | $ 9.96 |
Investments in non-affiliates, at cost | $136,542,990 | $181,933,448 | $277,432,148 | $267,009,105 |
Foreign currencies, at cost | $ — | $ 172,854 | $ 118,222 | $ 421,959 |
Investments sold short proceeds | $ — | $ — | $ — | $ 29,299,869 |
Written option premiums | $ — | $ 11,650 | $ — | $ — |
*Market value of securities on loan | $ 1,839,705 | $ — | $ 18,028,544 | $ — |
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) | $ 13,281,044 | $ 13,411,587 | $ 3,505,110 | $ 2,960,098 | $ 201,170 |
Interest income (net of foreign withholding taxes) | 72,617 | 805 | 3,695,185 | 13,827,287 | 5,484,297 |
Securities lending income, net | 91,076 | 16,397 | 35,787 | 48,821 | — |
Total investment income | 13,444,737 | 13,428,789 | 7,236,082 | 16,836,206 | 5,685,467 |
Expenses | |||||
Management fees (Note 5) | 5,040,611 | 3,234,443 | 367,559 | 1,748,243 | 725,901 |
Administration and custody fees | 370,018 | 353,692 | 126,476 | 505,693 | 90,226 |
Transfer agent fees | 4,701 | 4,580 | 4,488 | 4,583 | 4,565 |
Sub-accounting fees | 739,960 | 405,481 | 106,632 | 401,997 | 165,127 |
Audit and tax fees | 29,608 | 42,054 | 38,149 | 51,048 | 26,748 |
Legal fees | 94,999 | 49,723 | 13,323 | 49,891 | 20,687 |
Trustees’ fees | 117,861 | 62,511 | 16,671 | 62,732 | 26,021 |
Registration and filing fees | 22,462 | 18,280 | 12,632 | 21,433 | 14,207 |
Printing and postage fees | 50,005 | 41,887 | 21,884 | 34,803 | 11,489 |
Dividend and interest on securities sold short | — | — | — | 40,398 | — |
Other expenses | 70,754 | 41,959 | 24,040 | 48,932 | 21,640 |
Total expenses | 6,540,979 | 4,254,610 | 731,854 | 2,969,753 | 1,106,611 |
Less waiver of management fees (Note 5) | (250,767) | (417,623) | — | (834,166) | (144,370) |
Net expenses | 6,290,212 | 3,836,987 | 731,854 | 2,135,587 | 962,241 |
Net investment income | 7,154,525 | 9,591,802 | 6,504,228 | 14,700,619 | 4,723,226 |
Realized and unrealized gains (losses) | |||||
Net realized gains (losses) on: | |||||
Investments | 39,192,108 | 1,678,105 1 | (1,864,301) | (19,543,749) | (2,889,219) |
Investments sold short | — | — | — | 176,250 | — |
Swap agreements | — | — | 59,533 | (993,951) | — |
Futures contracts | — | — | (2,158,029) | (9,023,797) | — |
Written options contracts | — | — | 38,177 | (112,614) | — |
Forward foreign currency exchange contracts | — | 121,560 | (60,202) | (165,679) | — |
Foreign currency transactions | (9,294) | (204,306) | (54,390) | (66,818) | — |
Net realized gains (losses) | 39,182,814 | 1,595,359 | (4,039,212) | (29,730,358) | (2,889,219) |
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | (38,069,395) | (68,394,846) 2 | (8,427,484) | (39,334,922) | (12,460,392) |
Investments sold short | — | — | — | 82,882 | — |
Swap agreements | — | — | 196,440 | 2,073,144 | — |
Futures contracts | — | — | (1,920,670) | (2,490,126) | — |
Written options contracts | — | — | (12,524) | (54,936) | — |
Forward foreign currency exchange contracts | — | — | 57,208 | 59,690 | — |
Morningstar U.S. Equity Fund | Morningstar International Equity Fund | Morningstar Global Income Fund | Morningstar Total Return Bond Fund | Morningstar Municipal Bond Fund | |
Foreign currency transactions | (2,212) | (110,643) | (10,454) | 4,297 | — |
Net change in unrealized appreciation (depreciation) | (38,071,607) | (68,505,489) | (10,117,484) | (39,659,971) | (12,460,392) |
Net realized and unrealized gains (losses) | 1,111,207 | (66,910,130) | (14,156,696) | (69,390,329) | (15,349,611) |
Net increase (decrease) in net assets resulting from operations | $ 8,265,732 | $(57,318,328) | $ (7,652,468) | $(54,689,710) | $(10,626,385) |
Foreign withholding taxes on dividend income | $ 76,418 | $ 1,319,927 | $ 257,881 | $ 1,070 | $ — |
Foreign withholding taxes on interest income | $ — | $ — | $ — | $ — | $ — |
1 | Net of foreign capital gains taxes (refunded)/paid of $(29,360). |
2 | Net of change in deferred foreign capital gains tax expense of $18,946. |
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) | $ 1,143,347 | $ 105,758 | $ 3,501,669 | $ 1,062,729 |
Interest income (net of foreign withholding taxes) | 2,002,654 | 5,697,643 | 124 | 5,046,438 |
Securities lending income, net | 8,212 | — | 35,100 | — |
Total investment income | 3,154,213 | 5,803,401 | 3,536,893 | 6,109,167 |
Expenses | ||||
Management fees (Note 5) | 242,536 | 533,197 | 615,778 | 1,148,222 |
Administration and custody fees | 60,695 | 114,389 | 85,686 | 382,035 |
Transfer agent fees | 4,577 | 4,588 | 4,576 | 4,582 |
Sub-accounting fees | 67,762 | 87,376 | 118,721 | 139,509 |
Audit and tax fees | 32,958 | 48,414 | 18,395 | 42,074 |
Legal fees | 8,437 | 10,998 | 16,358 | 16,998 |
Trustees’ fees | 10,600 | 13,785 | 19,929 | 21,586 |
Registration and filing fees | 13,134 | 13,298 | 13,107 | 15,761 |
Printing and postage fees | 12,889 | 28,428 | 28,019 | 33,735 |
Dividend and interest on securities sold short | — | — | — | 280,929 |
Other expenses | 13,550 | 22,630 | 17,674 | 26,781 |
Total expenses | 467,138 | 877,103 | 938,243 | 2,112,212 |
Less waiver of management fees (Note 5) | (143,757) | (183,690) | — | (243,854) |
Net expenses | 323,381 | 693,413 | 938,243 | 1,868,358 |
Net investment income | 2,830,832 | 5,109,988 | 2,598,650 | 4,240,809 |
Realized and unrealized gains (losses) | ||||
Net realized gains (losses) on: | ||||
Investments | (2,076,624) | (2,930,475) | (1,815,996) | (702,744) |
Investments sold short | — | — | — | 592,589 |
Swap agreements | — | (15,997) | — | 1,316,750 |
Futures contracts | — | 136,948 | — | 769,140 |
Written options contracts | — | 9,544 | — | 45,284 |
Forward foreign currency exchange contracts | — | (225,189) | 137,008 | 117,364 |
Foreign currency transactions | — | 26,705 | 110,360 | (21,946) |
Net realized gains (losses) | (2,076,624) | (2,998,464) | (1,568,628) | 2,116,437 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 668,603 | (7,451,774) | (12,209,108) | (3,603,377) |
Investments sold short | — | — | — | 8,266 |
Swap agreements | — | 12,077 | — | 547,050 |
Futures contracts | — | 263,221 | — | 1,591,449 |
Written options contracts | — | 9,627 | — | (57,501) |
Forward foreign currency exchange contracts | — | (103,655) | 40,191 | 259,121 |
Foreign currency transactions | — | (40,064) | 6,074 | (8,692) |
Net change in unrealized appreciation (depreciation) | 668,603 | (7,310,568) | (12,162,843) | (1,263,684) |
Net realized and unrealized gains (losses) | (1,408,021) | (10,309,032) | (13,731,471) | 852,753 |
Net increase (decrease) in net assets resulting from operations | $ 1,422,811 | $ (5,199,044) | $(11,132,821) | $ 5,093,562 |
Foreign withholding taxes on dividend income | $ — | $ 14,805 | $ 122,885 | $ 4,111 |
Foreign withholding taxes on interest income | $ — | $ — | $ — | $ — |
Morningstar U.S. Equity Fund | Morningstar International Equity Fund | |||
Six Months Ended October 31, 2023 (unaudited) | Year Ended April 30, 2023 | Six Months Ended October 31, 2023 (unaudited) | Year Ended April 30, 2023 | |
Operations: | ||||
Net investment income | $ 7,154,525 | $ 13,977,813 | $ 9,591,802 | $ 19,550,459 |
Net realized gains (losses) | 39,182,814 | 33,183,317 | 1,595,359 | (11,042,912) |
Net change in unrealized appreciation (depreciation) | (38,071,607) | (8,619,394) | (68,505,489) | 50,303,118 |
Net increase (decrease) in net assets resulting from operations | 8,265,732 | 38,541,736 | (57,318,328) | 58,810,665 |
Distributions paid from: | ||||
Distributable earnings | — | (122,368,733) | — | (28,222,108) |
Total distributions paid | — | (122,368,733) | — | (28,222,108) |
Capital share transactions: | ||||
Proceeds from shares sold | 101,173,141 | 210,902,774 | 58,260,025 | 108,253,119 |
Reinvestment of dividends | — | 122,368,733 | — | 28,222,108 |
Payments for shares redeemed | (154,608,712) | (280,417,166) | (95,573,999) | (275,002,951) |
Net increase (decrease) in net assets from capital share transactions | (53,435,571) | 52,854,341 | (37,313,974) | (138,527,724) |
Total increase (decrease) in net assets | (45,169,839) | (30,972,656) | (94,632,302) | (107,939,167) |
Net assets: | ||||
Beginning of period | 1,458,926,178 | 1,489,898,834 | 803,980,601 | 911,919,768 |
End of period | $1,413,756,339 | $1,458,926,178 | $709,348,299 | $ 803,980,601 |
Capital share transactions | ||||
Shares sold | 9,070,231 | 19,809,277 | 5,909,002 | 11,756,238 |
Shares from reinvested dividends | — | 12,325,143 | — | 3,108,151 |
Shares redeemed | (13,830,697) | (26,228,031) | (9,603,409) | (29,254,436) |
Net increase (decrease) | (4,760,466) | 5,906,389 | (3,694,407) | (14,390,047) |
Morningstar Global Income Fund | Morningstar Total Return Bond Fund | |||
Six Months Ended October 31, 2023 (unaudited) | Year Ended April 30, 2023 | Six Months Ended October 31, 2023 (unaudited) | Year Ended April 30, 2023 | |
Operations: | ||||
Net investment income | $ 6,504,228 | $ 12,517,215 | $ 14,700,619 | $ 22,675,268 |
Net realized gains (losses) | (4,039,212) | (16,566,026) | (29,730,358) | (58,471,204) |
Net change in unrealized appreciation (depreciation) | (10,117,484) | 6,534,428 | (39,659,971) | 27,090,040 |
Net increase (decrease) in net assets resulting from operations | (7,652,468) | 2,485,617 | (54,689,710) | (8,705,896) |
Distributions paid from: | ||||
Distributable earnings | (7,236,505) | (19,352,530) | (14,521,843) | (22,208,256) |
Total distributions paid | (7,236,505) | (19,352,530) | (14,521,843) | (22,208,256) |
Capital share transactions: | ||||
Proceeds from shares sold | 12,029,180 | 26,263,775 | 73,449,879 | 166,265,015 |
Reinvestment of dividends | 7,236,506 | 19,352,489 | 14,521,844 | 22,207,983 |
Payments for shares redeemed | (24,392,987) | (60,980,034) | (76,422,859) | (174,157,657) |
Net increase (decrease) in net assets from capital share transactions | (5,127,301) | (15,363,770) | 11,548,864 | 14,315,341 |
Total increase (decrease) in net assets | (20,016,274) | (32,230,683) | (57,662,689) | (16,598,811) |
Net assets: | ||||
Beginning of period | 214,729,021 | 246,959,704 | 812,614,847 | 829,213,658 |
End of period | $194,712,747 | $214,729,021 | $754,952,158 | $ 812,614,847 |
Capital share transactions | ||||
Shares sold | 1,348,809 | 2,856,138 | 8,404,522 | 18,397,389 |
Shares from reinvested dividends | 811,257 | 2,131,637 | 1,673,441 | 2,478,205 |
Shares redeemed | (2,730,869) | (6,638,807) | (8,760,105) | (19,247,263) |
Net increase (decrease) | (570,803) | (1,651,032) | 1,317,858 | 1,628,331 |
Morningstar Municipal Bond Fund | Morningstar Defensive Bond Fund | |||
Six Months Ended October 31, 2023 (unaudited) | Year Ended April 30, 2023 | Six Months Ended October 31, 2023 (unaudited) | Year Ended April 30, 2023 | |
Operations: | ||||
Net investment income | $ 4,723,226 | $ 8,082,300 | $ 2,830,832 | $ 4,125,804 |
Net realized gains (losses) | (2,889,219) | (4,095,158) | (2,076,624) | (1,661,588) |
Net change in unrealized appreciation (depreciation) | (12,460,392) | 995,239 | 668,603 | (1,727,687) |
Net increase (decrease) in net assets resulting from operations | (10,626,385) | 4,982,381 | 1,422,811 | 736,529 |
Distributions paid from: | ||||
Distributable earnings | (4,716,862) | (8,029,279) | (2,802,515) | (3,670,466) |
Total distributions paid | (4,716,862) | (8,029,279) | (2,802,515) | (3,670,466) |
Capital share transactions: | ||||
Proceeds from shares sold | 34,966,804 | 54,677,480 | 11,743,812 | 36,381,030 |
Reinvestment of dividends | 4,716,862 | 8,029,187 | 2,802,515 | 3,670,466 |
Payments for shares redeemed | (40,605,106) | (110,891,451) | (19,021,278) | (46,306,485) |
Net increase (decrease) in net assets from capital share transactions | (921,440) | (48,184,784) | (4,474,951) | (6,254,989) |
Total increase (decrease) in net assets | (16,264,687) | (51,231,682) | (5,854,655) | (9,188,926) |
Net assets: | ||||
Beginning of period | 330,738,140 | 381,969,822 | 134,727,964 | 143,916,890 |
End of period | $314,473,453 | $ 330,738,140 | $128,873,309 | $134,727,964 |
Capital share transactions | ||||
Shares sold | 3,574,100 | 5,544,927 | 1,242,578 | 3,840,070 |
Shares from reinvested dividends | 486,555 | 818,905 | 297,375 | 388,482 |
Shares redeemed | (4,170,055) | (11,272,498) | (2,015,194) | (4,882,636) |
Net increase (decrease) | (109,400) | (4,908,666) | (475,241) | (654,084) |
Morningstar Multisector Bond Fund | Morningstar Global Opportunistic Equity Fund | |||
Six Months Ended October 31, 2023 (unaudited) | Year Ended April 30, 2023 | Six Months Ended October 31, 2023 (unaudited) | Year Ended April 30, 2023 | |
Operations: | ||||
Net investment income | $ 5,109,988 | $ 8,592,585 | $ 2,598,650 | $ 4,280,767 |
Net realized gains (losses) | (2,998,464) | (13,531,145) | (1,568,628) | 1,953,386 |
Net change in unrealized appreciation (depreciation) | (7,310,568) | 5,371,792 | (12,162,843) | 4,453,185 |
Net increase (decrease) in net assets resulting from operations | (5,199,044) | 433,232 | (11,132,821) | 10,687,338 |
Distributions paid from: | ||||
Distributable earnings | (5,212,869) | (4,767,523) | — | (5,851,851) |
Total distributions paid | (5,212,869) | (4,767,523) | — | (5,851,851) |
Capital share transactions: | ||||
Proceeds from shares sold | 15,404,031 | 44,978,679 | 62,164,473 | 67,581,311 |
Reinvestment of dividends | 5,212,869 | 4,767,479 | — | 5,851,850 |
Payments for shares redeemed | (19,941,769) | (41,436,492) | (25,946,964) | (45,535,119) |
Net increase (decrease) in net assets from capital share transactions | 675,131 | 8,309,666 | 36,217,509 | 27,898,042 |
Total increase (decrease) in net assets | (9,736,782) | 3,975,375 | 25,084,688 | 32,733,529 |
Net assets: | ||||
Beginning of period | 176,251,643 | 172,276,268 | 232,954,617 | 200,221,088 |
End of period | $166,514,861 | $176,251,643 | $258,039,305 | $232,954,617 |
Capital share transactions | ||||
Shares sold | 1,787,757 | 5,186,619 | 6,212,021 | 7,165,593 |
Shares from reinvested dividends | 606,258 | 549,926 | — | 640,324 |
Shares redeemed | (2,317,140) | (4,786,819) | (2,612,525) | (4,882,657) |
Net increase (decrease) | 76,875 | 949,726 | 3,599,496 | 2,923,260 |
Morningstar Alternatives Fund | ||
Six Months Ended October 31, 2023 (unaudited) | Year Ended April 30, 2023 | |
Operations: | ||
Net investment income | $ 4,240,809 | $ 6,334,536 |
Net realized gains (losses) | 2,116,437 | 1,069,518 |
Net change in unrealized appreciation (depreciation) | (1,263,684) | (6,683,214) |
Net increase (decrease) in net assets resulting from operations | 5,093,562 | 720,840 |
Distributions paid from: | ||
Distributable earnings | — | (11,517,692) |
Total distributions paid | — | (11,517,692) |
Capital share transactions: | ||
Proceeds from shares sold | 23,060,231 | 69,848,746 |
Reinvestment of dividends | — | 11,517,691 |
Payments for shares redeemed | (44,469,393) | (164,320,530) |
Net increase (decrease) in net assets from capital share transactions | (21,409,162) | (82,954,093) |
Total increase (decrease) in net assets | (16,315,600) | (93,750,945) |
Net assets: | ||
Beginning of period | 274,729,786 | 368,480,731 |
End of period | $258,414,186 | $ 274,729,786 |
Capital share transactions | ||
Shares sold | 2,331,021 | 7,011,646 |
Shares from reinvested dividends | — | 1,173,356 |
Shares redeemed | (4,488,958) | (16,499,943) |
Net increase (decrease) | (2,157,937) | (8,314,941) |
Morningstar U.S. Equity Fund | ||||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2023 (unaudited) | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $10.70 | $11.43 | $13.74 | $9.27 | $10.68 | $10.00 |
Income (loss) from investment operations: | ||||||
Net investment income2 | 0.05 | 0.11 | 0.12 | 0.14 | 0.13 | 0.05 |
Net realized and unrealized gains (losses) | — | 0.13 | (0.36) | 4.59 | (1.31) | 0.64 |
Total income (loss) from investment operations | 0.05 | 0.24 | (0.24) | 4.73 | (1.18) | 0.69 |
Less distributions paid: | ||||||
From net investment income | — | (0.07) | (0.13) | (0.14) | (0.09) | (0.01) |
From realized gains | — | (0.90) | (1.94) | (0.12) | (0.14) | — |
Total distributions paid | — | (0.97) | (2.07) | (0.26) | (0.23) | (0.01) |
Net asset value, end of period | $10.75 | $10.70 | $11.43 | $13.74 | $9.27 | $10.68 |
Total return3 | 0.47% | 2.79% | (3.11%) | 51.43% | (11.42%) | 6.98% |
Supplemental data and ratios: | ||||||
Net assets, end of period (millions) | $1,414 | $1,459 | $1,490 | $1,703 | $1,179 | $678 |
Ratio to average net assets of:4, 5 | ||||||
Total expenses before waivers/reimbursements | 0.87% | 0.87% | 0.86% | 0.87% | 0.93% | 1.08% |
Total expenses after waivers/reimbursements | 0.84% | 0.84% | 0.83% | 0.81% | 0.81% | 0.82% |
Net investment income, net of waivers/reimbursements | 0.95% | 0.99% | 0.89% | 1.19% | 1.25% | 0.98% 6 |
Net investment income, before waivers/reimbursements | 0.92% | 0.96% | 0.86% | 1.13% | 1.13% | 0.72% 6 |
Portfolio turnover rate7 | 35% | 53% | 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 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2023 (unaudited) | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.94 | $9.57 | $12.72 | $8.76 | $10.79 | $10.00 |
Income (loss) from investment operations: | ||||||
Net investment income2 | 0.12 | 0.22 | 0.23 | 0.12 | 0.21 | 0.08 |
Net realized and unrealized gains (losses) | (0.87) | 0.47 | (1.66) | 4.17 | (1.94) | 0.74 |
Total income (loss) from investment operations | (0.75) | 0.69 | (1.43) | 4.29 | (1.73) | 0.82 |
Less distributions paid: | ||||||
From net investment income | — | (0.10) | (0.18) | (0.14) | (0.19) | (0.03) |
From realized gains | — | (0.22) | (1.54) | (0.19) | (0.11) | — |
Total distributions paid | — | (0.32) | (1.72) | (0.33) | (0.30) | (0.03) |
Net asset value, end of period | $9.19 | $9.94 | $9.57 | $12.72 | $8.76 | $10.79 |
Total return3 | (7.54%) | 7.61% | (12.77%) | 49.22% | (16.65%) | 8.19% |
Supplemental data and ratios: | ||||||
Net assets, end of period (millions) | $709 | $804 | $912 | $1,074 | $764 | $469 |
Ratio to average net assets of:4, 5 | ||||||
Total expenses before waivers/reimbursements | 1.09% | 1.08% | 1.06% | 1.08% | 1.14% | 1.29% |
Total expenses after waivers/reimbursements | 0.98% | 0.99% | 0.98% | 0.89% | 0.92% | 0.94% |
Net investment income, net of waivers/reimbursements | 2.46% | 2.33% | 1.89% | 1.09% | 2.08% | 1.66% 6 |
Net investment income, before waivers/reimbursements | 2.35% | 2.24% | 1.81% | 0.90% | 1.86% | 1.31% 6 |
Portfolio turnover rate7 | 14% | 21% | 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 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2023 (unaudited) | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.14 | $9.82 | $11.62 | $9.54 | $10.58 | $10.00 |
Income (loss) from investment operations: | ||||||
Net investment income2 | 0.28 | 0.53 | 0.42 | 0.35 | 0.37 | 0.16 |
Net realized and unrealized gains (losses) | (0.62) | (0.38) | (1.03) | 2.09 | (0.94) | 0.52 |
Total income (loss) from investment operations | (0.34) | 0.15 | (0.61) | 2.44 | (0.57) | 0.68 |
Less distributions paid: | ||||||
From net investment income | (0.31) | (0.49) | (0.45) | (0.35) | (0.42) | (0.10) |
From realized gains | — | (0.34) | (0.74) | (0.01) | (0.05) | — |
Total distributions paid | (0.31) | (0.83) | (1.19) | (0.36) | (0.47) | (0.10) |
Net asset value, end of period | $8.49 | $9.14 | $9.82 | $11.62 | $9.54 | $10.58 |
Total return3 | (3.82%) | 1.88% | (6.00%) | 26.01% | (5.73%) | 6.85% |
Supplemental data and ratios: | ||||||
Net assets, end of period (millions) | $195 | $215 | $247 | $272 | $235 | $186 |
Ratio to average net assets of:4, 5 | ||||||
Total expenses before waivers/reimbursements | 0.70% | 0.73% | 0.62% | 0.62% | 0.64% | 0.90% |
Total expenses after waivers/reimbursements | 0.70% | 0.73% | 0.62% | 0.61% | 0.58% | 0.58% |
Net investment income, net of waivers/reimbursements | 6.19% | 5.73% | 3.76% | 3.28% | 3.52% | 3.15% 6 |
Net investment income, before waivers/reimbursements | 6.19% | 5.73% | 3.76% | 3.27% | 3.46% | 2.83% 6 |
Portfolio turnover rate7 | 25% | 63% | 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 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2023 (unaudited) | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.06 | $9.42 | $10.69 | $10.88 | $10.48 | $10.00 |
Income (loss) from investment operations: | ||||||
Net investment income2 | 0.16 | 0.26 | 0.61 | 0.16 | 0.26 | 0.15 |
Net realized and unrealized gains (losses) | (0.76) | (0.36) | (1.65) | 0.17 | 0.68 | 0.45 |
Total income (loss) from investment operations | (0.60) | (0.10) | (1.04) | 0.33 | 0.94 | 0.60 |
Less distributions paid: | ||||||
From net investment income | (0.16) | (0.26) | (0.17) | (0.21) | (0.28) | (0.12) |
From realized gains | — | — | (0.06) | (0.31) | (0.26) | — |
Total distributions paid | (0.16) | (0.26) | (0.23) | (0.52) | (0.54) | (0.12) |
Net asset value, end of period | $8.30 | $9.06 | $9.42 | $10.69 | $10.88 | $10.48 |
Total return3 | (6.68%) | (1.03%) | (9.97%) | 2.95% | 9.13% | 6.01% |
Supplemental data and ratios: | ||||||
Net assets, end of period (millions) | $755 | $813 | $829 | $833 | $519 | $415 |
Ratio to average net assets of:4, 5 | ||||||
Total expenses before waivers/reimbursements6 | 0.75% | 0.73% | 0.71% | 0.74% | 0.81% | 0.88% |
Total expenses after waivers/reimbursements6 | 0.54% | 0.53% | 0.53% | 0.53% | 0.53% | 0.53% |
Total expenses after waivers/reimbursements and excluding dividend and interest expense | 0.54% | 0.53% | 0.52% | 0.53% | 0.53% | 0.53% |
Net investment income, net of waivers/reimbursements | 3.70% | 2.89% | 1.39% | 1.41% | 2.43% | 2.89% 7 |
Net investment income, before waivers/reimbursements | 3.49% | 2.69% | 1.21% | 1.20% | 2.15% | 2.54% 7 |
Portfolio turnover rate8 | 179% | 302% | 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 less than 0.01% for April 30, 2023, 0.01% for April 30, 2022 and less than 0.01% for April 30, 2021, April 30, 2020 and April 30, 2019, respectively. |
7 | As the Fund commenced investment operations on November 2, 2018, annualized net investment income ratios may not be reflective of actual amounts the Fund might obtain in a full year of operation. |
8 | Portfolio turnover rate is not annualized for periods less than one year. |
Morningstar Municipal Bond Fund | ||||||
Six Months Ended October 31 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2023 (unaudited) | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.87 | $9.94 | $10.75 | $10.14 | $10.38 | $10.00 |
Income (loss) from investment operations: | ||||||
Net investment income2 | 0.14 | 0.23 | 0.18 | 0.21 | 0.23 | 0.12 |
Net realized and unrealized gains (losses) | (0.46) | (0.07) | (0.81) | 0.61 | (0.21) | 0.36 |
Total income (loss) from investment operations | (0.32) | 0.16 | (0.63) | 0.82 | 0.02 | 0.48 |
Less distributions paid: | ||||||
From net investment income | (0.14) | (0.23) | (0.18) | (0.21) | (0.23) | (0.10) |
From realized gains | — | — | — 3 | — | (0.03) | — |
Total distributions paid | (0.14) | (0.23) | (0.18) | (0.21) | (0.26) | (0.10) |
Net asset value, end of period | $9.41 | $9.87 | $9.94 | $10.75 | $10.14 | $10.38 |
Total return4 | (3.27%) | 1.67% | (5.93%) | 8.14% | 0.11% | 4.79% |
Supplemental data and ratios: | ||||||
Net assets, end of period (millions) | $314 | $331 | $382 | $417 | $340 | $105 |
Ratio to average net assets of:5, 6 | ||||||
Total expenses before waivers/reimbursements | 0.67% | 0.67% | 0.65% | 0.66% | 0.77% | 1.05% |
Total expenses after waivers/reimbursements | 0.58% | 0.58% | 0.58% | 0.58% | 0.58% | 0.58% |
Net investment income, net of waivers/reimbursements | 2.86% | 2.34% | 1.65% | 1.98% | 2.17% | 2.48% 7 |
Net investment income, before waivers/reimbursements | 2.77% | 2.25% | 1.58% | 1.90% | 1.98% | 2.01% 7 |
Portfolio turnover rate8 | 16% | 22% | 41% | 53% | 127% | 115% |
1 | Commencement of operations was November 2, 2018. |
2 | Calculated using the average shares outstanding method. |
3 | Rounds 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 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2023 (unaudited) | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.49 | $9.69 | $10.24 | $10.17 | $10.10 | $10.00 |
Income (loss) from investment operations: | ||||||
Net investment income2 | 0.20 | 0.29 | 0.20 | 0.20 | 0.20 | 0.11 |
Net realized and unrealized gains (losses) | (0.10) | (0.23) | (0.46) | 0.16 | 0.13 | 0.08 |
Total income (loss) from investment operations | 0.10 | 0.06 | (0.26) | 0.36 | 0.33 | 0.19 |
Less distributions paid: | ||||||
From net investment income | (0.20) | (0.26) | (0.19) | (0.19) | (0.23) | (0.09) |
From realized gains | — | — | (0.08) | (0.10) | (0.03) | — |
From return of capital | — | — | (0.02) | — | — | — |
Total distributions paid | (0.20) | (0.26) | (0.29) | (0.29) | (0.26) | (0.09) |
Net asset value, end of period | $9.39 | $9.49 | $9.69 | $10.24 | $10.17 | $10.10 |
Total return3 | 1.06% | 0.63% | (2.61%) | 3.56% | 3.36% | 1.87% |
Supplemental data and ratios: | ||||||
Net assets, end of period (millions) | $129 | $135 | $144 | $201 | $183 | $156 |
Ratio to average net assets of:4, 5 | ||||||
Total expenses before waivers/reimbursements | 0.69% | 0.73% | 0.64% | 0.64% | 0.66% | 0.93% |
Total expenses after waivers/reimbursements | 0.48% | 0.48% | 0.48% | 0.48% | 0.48% | 0.48% |
Net investment income, net of waivers/reimbursements | 4.20% | 3.03% | 1.96% | 1.92% | 2.02% | 2.28% 6 |
Net investment income, before waivers/reimbursements | 3.99% | 2.78% | 1.80% | 1.76% | 1.84% | 1.83% 6 |
Portfolio turnover rate7 | 30% | 16% | 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 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2023 (unaudited) | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $8.77 | $9.00 | $10.52 | $9.39 | $10.28 | $10.00 |
Income (loss) from investment operations: | ||||||
Net investment income2 | 0.25 | 0.45 | 0.43 | 0.44 | 0.46 | 0.27 |
Net realized and unrealized gains (losses) | (0.50) | (0.44) | (1.54) | 0.94 | (0.83) | 0.21 |
Total income (loss) from investment operations | (0.25) | 0.01 | (1.11) | 1.38 | (0.37) | 0.48 |
Less distributions paid: | ||||||
From net investment income | (0.26) | (0.24) | (0.30) | (0.25) | (0.43) | (0.20) |
From realized gains | — | — | (0.11) | — | (0.09) | — |
Total distributions paid | (0.26) | (0.24) | (0.41) | (0.25) | (0.52) | (0.20) |
Net asset value, end of period | $8.26 | $8.77 | $9.00 | $10.52 | $9.39 | $10.28 |
Total return3 | (2.93%) | 0.23% | (10.95%) | 14.79% | (3.97%) | 4.86% |
Supplemental data and ratios: | ||||||
Net assets, end of period (millions) | $167 | $176 | $172 | $237 | $192 | $161 |
Ratio to average net assets of:4, 5 | ||||||
Total expenses before waivers/reimbursements | 1.00% | 1.04% | 0.92% | 0.91% | 0.98% | 1.18% |
Total expenses after waivers/reimbursements | 0.79% | 0.80% | 0.79% | 0.79% | 0.79% | 0.80% |
Net investment income, net of waivers/reimbursements | 5.83% | 5.14% | 4.25% | 4.31% | 4.52% | 5.41% 6 |
Net investment income, before waivers/reimbursements | 5.62% | 4.90% | 4.12% | 4.19% | 4.33% | 5.03% 6 |
Portfolio turnover rate7 | 71% | 131% | 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 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2023 (unaudited) | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.77 | $9.57 | $12.08 | $9.28 | $10.38 | $10.00 |
Income (loss) from investment operations: | ||||||
Net investment income2 | 0.10 | 0.20 | 0.21 | 0.14 | 0.23 | 0.12 |
Net realized and unrealized gains (losses) | (0.46) | 0.27 | (0.43) | 2.99 | (0.91) | 0.37 |
Total income (loss) from investment operations | (0.36) | 0.47 | (0.22) | 3.13 | (0.68) | 0.49 |
Less distributions paid: | ||||||
From net investment income | — | (0.12) | (0.26) | (0.23) | (0.21) | (0.11) |
From realized gains | — | (0.15) | (2.03) | (0.10) | (0.21) | — |
Total distributions paid | — | (0.27) | (2.29) | (0.33) | (0.42) | (0.11) |
Net asset value, end of period | $9.41 | $9.77 | $9.57 | $12.08 | $9.28 | $10.38 |
Total return3 | (3.68%) | 5.15% | (2.77%) | 34.01% | (7.07%) | 4.97% |
Supplemental data and ratios: | ||||||
Net assets, end of period (millions) | $258 | $233 | $200 | $211 | $138 | $56 |
Ratio to average net assets of:4, 5 | ||||||
Total expenses before waivers/reimbursements | 0.72% | 0.80% | 0.78% | 0.78% | 0.94% | 1.48% |
Total expenses after waivers/reimbursements | 0.72% | 0.80% | 0.78% | 0.74% | 0.73% | 0.64% |
Net investment income, net of waivers/reimbursements | 1.98% | 2.15% | 1.81% | 1.28% | 2.29% | 2.38% 6 |
Net investment income, before waivers/reimbursements | 1.98% | 2.15% | 1.81% | 1.24% | 2.08% | 1.54% 6 |
Portfolio turnover rate7 | 40% | 47% | 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 | Year Ended April 30 | Since Inception1 | |
Selected per share data | 2023 (unaudited) | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.78 | $10.12 | $10.71 | $10.12 | $10.10 | $10.00 |
Income (loss) from investment operations: | ||||||
Net investment income2 | 0.16 | 0.19 | 0.07 | 0.12 | 0.25 | 0.05 |
Net realized and unrealized gains (losses) | 0.02 | (0.15) | (0.14) | 0.77 | (0.05) | 0.08 |
Total income (loss) from investment operations | 0.18 | 0.04 | (0.07) | 0.89 | 0.20 | 0.13 |
Less distributions paid: | ||||||
From net investment income | — | (0.20) | (0.14) | (0.13) | (0.14) | (0.03) |
From realized gains | — | (0.18) | (0.38) | (0.17) | (0.04) | — |
Total distributions paid | — | (0.38) | (0.52) | (0.30) | (0.18) | (0.03) |
Net asset value, end of period | $9.96 | $9.78 | $10.12 | $10.71 | $10.12 | $10.10 |
Total return3 | 1.84% | 0.42% | (0.78%) | 8.92% | 1.94% | 1.26% |
Supplemental data and ratios: | ||||||
Net assets, end of period (millions) | $258 | $275 | $368 | $328 | $186 | $112 |
Ratio to average net assets of:4, 5 | ||||||
Total expenses before waivers/reimbursements6 | 1.46% | 1.44% | 1.45% | 1.68% | 1.48% | 1.91% |
Total expenses after waivers/reimbursements6 | 1.28% | 1.31% | 1.31% | 1.26% | 1.13% | 0.96% |
Total expenses after waivers/reimbursements and excluding dividend and interest expense | 0.21% | 1.16% | 1.15% | 1.12% | 0.87% | 0.77% |
Net investment income, net of waivers/reimbursements | 3.14% | 1.91% | 0.63% | 1.14% | 2.45% | 1.08% 7 |
Net investment income, before waivers/reimbursements | 2.96% | 1.78% | 0.49% | 0.72% | 2.10% | 0.13% 7 |
Portfolio turnover rate8 | 107% | 358% | 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 0.21%, 0.16%, 0.16%, 0.14%, 0.26%, and 0.19% for October 31, 2023, April 30, 2023, 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 |
Morningstar Funds | Investment Objective |
U.S. Equity Fund | Long-term capital appreciation |
International Equity Fund | Long-term capital appreciation |
Global Income Fund | Current income and long-term capital appreciation |
Total Return Bond Fund | Total return maximization, income generation and capital preservation |
Municipal Bond Fund | Income exempt from federal income taxes as well as capital preservation |
Defensive Bond Fund | Capital preservation |
Multisector Bond Fund | Total return through a combination of current income and capital appreciation |
Global Opportunistic Equity Fund | Long-term capital appreciation over a full market cycle |
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 | $ 658,971 | $5,724,643 | $150,859 | $1,492,070 |
Deposits with broker for futures contracts | 820,677 | 2,046,228 | 122,392 | 822,258 |
Due from broker | $1,479,648 | $7,770,871 | $273,251 | $2,314,328 |
Liabilities | ||||
Cash collateral for derivatives | $ 505,613 | $3,935,067 | $ 12,077 | $ 273,000 |
Deposits with broker for futures contracts | — | 78,020 | — | 6,846 |
Due to broker | $ 505,613 | $4,013,087 | $ 12,077 | $ 279,846 |
Morningstar Funds | Frequency |
U.S. Equity Fund | Annually |
International Equity Fund | Annually |
Global Income Fund | Monthly |
Total Return Bond Fund | Monthly |
Municipal Bond Fund | Monthly |
Defensive Bond Fund | Monthly |
Multisector Bond Fund | Monthly |
Global Opportunistic Equity Fund | Annually |
Alternatives Fund | Annually |
Morningstar Funds | Ratio |
U.S. Equity Fund | 0.67% |
International Equity Fund | 0.83% |
Global Income Fund | 0.35% |
Total Return Bond Fund | 0.44% |
Municipal Bond Fund | 0.44% |
Defensive Bond Fund | 0.36% |
Multisector Bond Fund | 0.61% |
Global Opportunistic Equity Fund | 0.47% |
Morningstar Funds | Ratio |
Alternatives Fund | 0.85% |
Morningstar Funds | Expense Cap | Management Fees Waived |
U.S. Equity Fund | 0.84% | $92,583 |
International Equity Fund | 0.99% | 133,721 |
Global Income Fund | 0.73% | — |
Total Return Bond Fund | 0.53% | 268,487 |
Municipal Bond Fund | 0.58% | 49,585 |
Defensive Bond Fund | 0.48% | 49,697 |
Multisector Bond Fund | 0.79% | 65,787 |
Global Opportunistic Equity Fund | 0.84% | — |
Alternatives Fund | 1.16% | 77,534 |
Morningstar Funds | Prior Expense Cap Before Inclusion of AFFE (through 8/31/23) | Fees Waived/ Reimbursed Before Inclusion of AFFE (through 8/31/23) | Prior Expense Cap After Inclusion of AFFE (through 8/31/23) | Fees Waived/ Reimbursed After Inclusion of AFFE (through 8/31/23) |
U.S. Equity Fund | 0.85% | $78,144 | 0.85% | $80,040 |
International Equity Fund | 1.00% | 236,340 | 1.00% | 47,562 |
Global Income Fund | 0.89% | — | 0.75% | — |
Total Return Bond Fund | 0.53% | 555,032 | 0.54% | 10,647 |
Municipal Bond Fund | 0.59% | 89,053 | 0.59% | 5,732 |
Defensive Bond Fund | 0.48% | 94,060 | 0.55% | — |
Multisector Bond Fund | 0.80% | 114,885 | 0.80% | 3,018 |
Global Opportunistic Equity Fund | 1.00% | — | 0.93% | — |
Alternatives Fund | 1.29% | 68,588 | 1.20% | 97,732 |
Morningstar Funds | Subadvisers |
U.S. Equity Fund | ClearBridge Investments, LLC Diamond Hill Capital Management, Inc. Massachusetts Financial Services Company, d/b/a MFS Investment Management Wasatch Advisors, LP, d/b/a Wasatch Global Investors Westwood Management Corp. |
International Equity Fund | Harding Loevner, L.P. Harris Associates, L.P. Lazard Asset Management LLC T. Rowe Price Associates, Inc. |
Global Income Fund | Cullen Capital Management LLC Western Asset Management Company, LLC |
Total Return Bond Fund | BlackRock Financial Management, Inc. Western Asset Management Company, LLC |
Municipal Bond Fund | Allspring Global Investments, LLC T. Rowe Price Associates, Inc. |
Defensive Bond Fund | First Pacific Advisors, LP |
Multisector Bond Fund | Loomis, Sayles & Company, L.P. TCW Investment Management Company LLC Voya Investment Management Company, LLC |
Global Opportunistic Equity Fund | Lazard Asset Management LLC |
Alternatives Fund | BlackRock Financial Management, Inc. SSI Investment Management LLC Water Island Capital, LLC |
Purchases | Sales | |||||
Morningstar Funds | U.S. Government | Other | U.S. Government | Other | Securities Sold Short | Covers on Securities Sold Short |
U.S. Equity Fund | $ — | $514,888,164 | $ — | $539,992,762 | $ — | $ — |
International Equity Fund | — | 105,255,061 | — | 109,349,513 | — | — |
Global Income Fund | — | 50,080,567 | — | 60,478,027 | — | — |
Total Return Bond Fund | 1,158,871,009 | 208,213,296 | 1,113,999,855 | 208,627,068 | 193,559,501 | 196,916,778 |
Municipal Bond Fund | — | 50,866,147 | — | 54,278,489 | — | — |
Defensive Bond Fund | — | 39,764,931 | — | 38,583,329 | — | — |
Multisector Bond Fund | 26,572,174 | 93,721,510 | 26,547,678 | 92,084,260 | — | — |
Global Opportunistic Equity Fund | — | 140,008,453 | — | 95,590,696 | — | — |
Alternatives Fund | — | 282,682,376 | — | 306,842,641 | 38,924,536 | 28,392,212 |
Morningstar Funds | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received |
U.S. Equity Fund | $ 63,640,880 | $ 11,876,126 | $ 52,737,784 | $ 64,613,910 |
International Equity Fund | 14,845,033 | 7,145,629 | 8,286,911 | 15,432,540 |
Global Income Fund | 6,410,992 | 4,901,136 | 1,668,767 | 6,569,903 |
Total Return Bond Fund | 22,852,570 | 10,092,376 | 13,404,541 | 23,496,917 |
Defensive Bond Fund | 1,839,705 | 1,272,762 | 621,255 | 1,894,017 |
Global Opportunistic Equity Fund | 18,028,544 | 13,615,016 | 4,957,937 | 18,572,953 |
*There are no restrictions or maturity dates on the cash collateral received from borrower. The remaining contractual maturity of securities lending transactions with non-cash collateral are as follows: | ||||
Morningstar Funds | Up to 30 Days | 30-90 Days | Over 90 Days | Total Non-Cash Collateral Received |
U.S. Equity Fund | $ 1,369,010 | $ 1,437,981 | $ 49,930,793 | $ 52,737,784 |
International Equity Fund | 47,664 | 113,061 | 8,126,186 | 8,286,911 |
Global Income Fund | 51,284 | 109,397 | 1,508,086 | 1,668,767 |
Total Return Bond Fund | 273,465 | 50,997 | 13,080,079 | 13,404,541 |
Defensive Bond Fund | 15,056 | 3,432 | 602,767 | 621,255 |
Global Opportunistic Equity Fund | 176,298 | 192,219 | 4,589,420 | 4,957,937 |
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 | $ — | $ — | $ 35,233 | $ 6,012 | $ 41,245 | $ — | $ — | $ 49,014 | $— | $ 49,014 |
Interest rate risk | 131,495 | 449,026 | — | 6,060 | 586,581 | 1,434,291 | 109,228 | — | — | 1,543,519 |
Total | 131,495 | 449,026 | 35,233 | 12,072 | 627,826 | 1,434,291 | 109,228 | 49,014 | — | 1,592,533 |
Netting positions | (131,495) | (109,228) | (35,233) | — | (275,956) | (131,495) | (109,228) | (35,233) | — | (275,956) |
Net Fair Value of Derivative Contracts | $ — | $ 339,798 | $ — | $12,072 | $ 351,870 | $1,302,796 | $ — | $ 13,781 | $— | $1,316,577 |
Morningstar Total Return Bond Fund | ||||||||||
Credit risk | $ — | $ 238,132 | $ — | $ — | $ 238,132 | $ — | $ 46,190 | $ — | $— | $ 46,190 |
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) | ||||||||||
Foreign exchange rate risk | $ — | $ — | $ 90,561 | $ 29,558 | $ 120,119 | $ — | $ — | $ 78,128 | $ 2,313 | $ 80,441 |
Inflation risk | — | 4,085 | — | — | 4,085 | — | 4,109 | — | — | 4,109 |
Interest rate risk | 1,328,243 | 2,906,427 | — | 1,117,465 | 5,352,135 | 4,205,435 | 660,446 | — | 966,848 | 5,832,729 |
Total | 1,328,243 | 3,148,644 | 90,561 | 1,147,023 | 5,714,471 | 4,205,435 | 710,745 | 78,128 | 969,161 | 5,963,469 |
Netting positions | (1,328,243) | (710,745) | (78,128) | (969,161) | (3,086,277) | (1,328,243) | (710,745) | (78,128) | (969,161) | (3,086,277) |
Net Fair Value of Derivative Contracts | $ — | $ 2,437,899 | $ 12,433 | $ 177,862 | $ 2,628,194 | $ 2,877,192 | $ — | $ — | $ — | $ 2,877,192 |
Morningstar Multisector Bond Fund | ||||||||||
Credit risk | $ — | $ 607 | $ — | $ — | $ 607 | $ — | $ — | $ — | $ — | $ — |
Foreign exchange rate risk | — | — | 87,050 | 13,640 | 100,690 | — | — | 167,568 | 2,023 | 169,591 |
Interest rate risk | 265,164 | — | — | — | 265,164 | 32,922 | — | — | — | 32,922 |
Total | 265,164 | 607 | 87,050 | 13,640 | 366,461 | 32,922 | — | 167,568 | 2,023 | 202,513 |
Netting positions | (32,922) | — | (87,050) | (2,023) | (121,995) | (32,922) | — | (87,050) | (2,023) | (121,995) |
Net Fair Value of Derivative Contracts | $ 232,242 | $ 607 | $ — | $ 11,617 | $ 244,466 | $ — | $ — | $ 80,518 | $ — | $ 80,518 |
Morningstar Global Opportunistic Equity Fund | ||||||||||
Foreign exchange rate risk | $ — | $ — | $ 268 | $ — | $ 268 | $ — | $ — | $ 387 | $ — | $ 387 |
Total | — | — | 268 | — | 268 | — | — | 387 | — | 387 |
Netting positions | — | — | (268) | — | (268) | — | — | (268) | — | (268) |
Net Fair Value of Derivative Contracts | $ — | $ — | $ — | $ — | $ — | $ — | $ — | $ 119 | $ — | $ 119 |
Morningstar Alternatives Fund | ||||||||||
Credit risk | $ — | $ — | $ — | $ — | $ — | $ — | $ 520 | $ — | $ — | $ 520 |
Equity risk | — | 49,643,187 | — | 3,870 | 49,647,057 | — | 46,036,209 | — | — | 46,036,209 |
Foreign exchange rate risk | — | — | 380,261 | 2,340 | 382,601 | — | — | 273,557 | — | 273,557 |
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 Alternatives Fund (continued) | ||||||||||
Interest rate risk | $1,435,684 | $ — | $ — | $ — | $ 1,435,684 | $ 789,143 | $ — | $ — | $— | $ 789,143 |
Total | 1,435,684 | 49,643,187 | 380,261 | 6,210 | 51,465,342 | 789,143 | 46,036,729 | 273,557 | — | 47,099,429 |
Netting positions | (789,143) | (46,036,729) | (273,557) | — | (47,099,429) | (789,143) | (46,036,729) | (273,557) | — | (47,099,429) |
Net Fair Value of Derivative Contracts | $ 646,541 | $ 3,606,458 | $ 106,704 | $6,210 | $ 4,365,913 | $ — | $ — | $ — | $— | $ — |
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 | $ — | $ — | $ 121,560 | $ — | $ 121,560 | $ — | $ — | $ — | $ — | $ — |
Total | $ — | $ — | $ 121,560 | $ — | $ 121,560 | $ — | $ — | $ — | $ — | $ — |
Morningstar Global Income Fund | ||||||||||
Credit risk | $ — | $ — | $ — | $ (1) | $ (1) | $ — | $ — | $ — | $ — | $ — |
Foreign exchange rate risk | — | — | (60,202) | (34,516) | (94,718) | — | — | 57,208 | (28,020) | 29,188 |
Interest rate risk | (2,158,029) | 59,533 | — | (9,054) | (2,107,550) | (1,920,670) | 196,440 | — | (7,799) | (1,732,029) |
Total | $(2,158,029) | $ 59,533 | $ (60,202) | $ (43,571) | $ (2,202,269) | $(1,920,670) | $ 196,440 | $57,208 | $ (35,819) | $(1,702,841) |
Morningstar Total Return Bond Fund | ||||||||||
Credit risk | $ — | $ 629,394 | $ — | $ — | $ 629,394 | $ — | $ (339,441) | $ — | $ — | $ (339,441) |
Equity risk | — | (82,060) | — | — | (82,060) | — | — | — | — | — |
Foreign exchange rate risk | — | — | (165,679) | (103,751) | (269,430) | — | — | 59,690 | 30,332 | 90,022 |
Inflation risk | — | — | — | — | — | — | (26) | — | — | (26) |
Interest rate risk | (9,023,797) | (1,541,285) | — | (8,847) | (10,573,929) | (2,490,126) | 2,412,611 | — | (262,253) | (339,768) |
Total | $(9,023,797) | $ (993,951) | $(165,679) | $(112,598) | $(10,296,025) | $(2,490,126) | $2,073,144 | $59,690 | $(231,921) | $ (589,213) |
Morningstar Multisector Bond Fund | ||||||||||
Credit risk | $ — | $ (15,997) | $ — | $ — | $ (15,997) | $ — | $ 12,077 | $ — | $ — | $ 12,077 |
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 | |
Foreign exchange rate risk | $ — | $ — | $(225,189) | $ (46,511) | $ (271,700) | $ — | $ — | $(103,655) | $(11,179) | $ (114,834) |
Interest rate risk | 136,948 | — | — | — | 136,948 | 263,221 | — | — | — | 263,221 |
Total | $136,948 | $ (15,997) | $(225,189) | $ (46,511) | $ (150,749) | $ 263,221 | $ 12,077 | $(103,655) | $(11,179) | $ 160,464 |
Morningstar Global Opportunistic Equity Fund | ||||||||||
Foreign exchange rate risk | $ — | $ — | $ 137,008 | $ — | $ 137,008 | $ — | $ — | $ 40,191 | $ — | $ 40,191 |
Total | $ — | $ — | $ 137,008 | $ — | $ 137,008 | $ — | $ — | $ 40,191 | $ — | $ 40,191 |
Morningstar Alternatives Fund | ||||||||||
Credit risk | $ — | $1,406,202 | $ — | $ — | $1,406,202 | $ — | $ (44,568) | $ — | $ — | $ (44,568) |
Equity risk | — | — | — | (419,579) | (419,579) | — | 482,587 | — | 97,109 | 579,696 |
Foreign exchange rate risk | — | — | 117,364 | 2,420 | 119,784 | — | — | 259,121 | 1,029 | 260,150 |
Inflation risk | — | — | — | — | — | — | (2,449) | — | — | (2,449) |
Interest rate risk | 769,140 | (89,452) | — | — | 679,688 | 1,591,449 | 111,480 | — | — | 1,702,929 |
Total | $769,140 | $1,316,750 | $ 117,364 | $(417,159) | $1,786,095 | $1,591,449 | $547,050 | $ 259,121 | $ 98,138 | $2,495,758 |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $ 35,233 | $ 49,014 |
Futures contracts | 131,495 | 1,434,291 |
Interest rate swap contracts* | 449,026 | 109,228 |
Purchased options | 12,072 | — |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $ 627,826 | $ 1,592,533 |
Less: Derivatives not subject to MNA or similar agreements | (586,581) | (1,484,788) |
Total gross amount of derivatives subject to MNA or similar agreement | $ 41,245 | $ 107,745 |
* | 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 |
BNP Paribas | $17,930 | $(1,851) | $16,079 | $— | $16,079 |
Citibank | 679 | — | 679 | — | 679 |
Goldman Sachs | 6,722 | (6,722) | — | — | — |
Counterparty | Gross Assets | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
JPMorgan Chase | $15,549 | (15,549) | $ — | $— | $ — |
Morgan Stanley | 365 | (365) | — | — | — |
Total | $41,245 | $(24,487) | $16,758 | $— | $16,758 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
BNP Paribas | $ (1,851) | $ 1,851 | $ — | $— | $ — |
Goldman Sachs | (16,905) | 6,722 | (10,183) | — | (10,183) |
JPMorgan Chase | (60,640) | 15,549 | (45,091) | — | (45,091) |
Morgan Stanley | (28,349) | 365 | (27,984) | — | (27,984) |
Total | $(107,745) | $24,487 | $(83,258) | $— | $(83,258) |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $ 90,561 | $ 78,128 |
Futures contracts | 1,328,243 | 4,205,435 |
Interest rate swap contracts* | 2,906,427 | 660,446 |
Credit default swap contracts* | 238,132 | 46,190 |
Inflation swap contracts* | 4,085 | 4,109 |
Purchased options | 259,706 | — |
Purchased swaptions | 887,317 | — |
Written options | — | 111,974 |
Written swaptions | — | 857,187 |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $ 5,714,471 | $ 5,963,469 |
Less: Derivatives not subject to MNA or similar agreements | (4,692,997) | (4,977,885) |
Total gross amount of derivatives subject to MNA or similar agreement | $ 1,021,474 | $ 985,584 |
* | The values of swap agreements are the market values listed on the Schedules of Investments. |
Counterparty | Gross Assets | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Bank of America(a) | $149,510 | $ (18,563) | $130,947 | $ (70,000) | $60,947 |
Barclays | 100,117 | (100,117) | — | — | — |
BNP Paribas | 2,050 | (2,050) | — | — | — |
Citibank | 274,982 | (274,982) | — | — | — |
Deutsche Bank(a) | 79,697 | (5,482) | 74,215 | (74,215) | — |
Goldman Sachs(a) | 370,669 | (22,456) | 348,213 | (340,000) | 8,213 |
HSBC | 18,544 | (8,206) | 10,338 | — | 10,338 |
JPMorgan Chase | 8,938 | (8,938) | — | — | — |
Morgan Stanley | 5,120 | (5,120) | — | — | — |
Counterparty | Gross Assets | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Nomura | $ 196 | $ — | $ 196 | $ — | $ 196 |
RBS | 3,611 | — | 3,611 | — | 3,611 |
Standard Chartered Bank | 1,152 | — | 1,152 | — | 1,152 |
State Street | 399 | (399) | — | — | — |
Toronto—Dominion Bank | 1,414 | (1,414) | — | — | — |
UBS | 5,075 | (389) | 4,686 | — | 4,686 |
Total | $1,021,474 | $(448,116) | $573,358 | $(484,215) | $89,143 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Bank of America | $ (18,563) | $ 18,563 | $ — | $ — | $ — |
Barclays (a) | (239,477) | 100,117 | (139,360) | 139,360 | — |
BNP Paribas | (5,714) | 2,050 | (3,664) | — | (3,664) |
Citibank (a) | (456,988) | 274,982 | (182,006) | 182,006 | — |
Deutsche Bank | (5,482) | 5,482 | — | — | — |
Goldman Sachs | (22,456) | 22,456 | — | — | — |
HSBC | (8,206) | 8,206 | — | — | — |
JPMorgan Chase(a) | (97,589) | 8,938 | (88,651) | 88,651 | — |
Morgan Stanley(a) | (110,208) | 5,120 | (105,088) | 105,088 | — |
State Street(a) | (3,450) | 399 | (3,051) | 3,051 | — |
Toronto—Dominion Bank | (17,062) | 1,414 | (15,648) | — | (15,648) |
UBS | (389) | 389 | — | — | — |
Total | $(985,584) | $448,116 | $(537,468) | $518,157 | $(19,312) |
(a) | Actual amount of collateral received from Bank of America and Goldman Sachs and pledged by the Fund to Barclays, Citibank, JPMorgan Chase, Morgan Stanley and State Street exceeded the net amount before collateral and is included in Due to broker and Due from broker, respectively in the Statements of Assets and Liabilities. |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $ 87,050 | $167,568 |
Futures contracts | 265,164 | 32,922 |
Credit default swap contracts* | 607 | — |
Purchased options | 13,640 | — |
Written options | — | 2,023 |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $ 366,461 | $202,513 |
Less: Derivatives not subject to MNA or similar agreements | (265,771) | (32,922) |
Total gross amount of derivatives subject to MNA or similar agreement | $ 100,690 | $169,591 |
* | 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 | $ 16,063 | $ (1,034) | $15,029 | $— | $15,029 |
Barclays | 37,261 | (11,840) | 25,421 | — | 25,421 |
BNP Paribas | 4,512 | (4,512) | — | — | — |
Citibank | 16,592 | (5,290) | 11,302 | — | 11,302 |
Goldman Sachs | 13,622 | (729) | 12,893 | — | 12,893 |
JPMorgan Chase | 10,163 | (10,163) | — | — | — |
Morgan Stanley | 2,477 | (2,477) | — | — | — |
Total | $100,690 | $(36,045) | $64,645 | $— | $64,645 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Bank of America | $ (1,034) | $ 1,034 | $ — | $— | $ — |
Barclays | (11,840) | 11,840 | — | — | — |
BNP Paribas | (46,887) | 4,512 | (42,375) | — | (42,375) |
Citibank | (5,290) | 5,290 | — | — | — |
Goldman Sachs | (729) | 729 | — | — | — |
JPMorgan Chase | (63,519) | 10,163 | (53,356) | — | (53,356) |
Morgan Stanley | (40,292) | 2,477 | (37,815) | — | (37,815) |
Total | $(169,591) | $36,045 | $(133,546) | $— | $(133,546) |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $268 | $387 |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $268 | $387 |
Less: Derivatives not subject to MNA or similar agreements | — | — |
Total gross amount of derivatives subject to MNA or similar agreement | $268 | $387 |
Counterparty | Gross Assets | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
State Street | $268 | $(268) | $— | $— | $— |
Total | $268 | $(268) | $— | $— | $— |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
State Street | $(387) | $268 | $(119) | $— | $(119) |
Total | $(387) | $268 | $(119) | $— | $(119) |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $ 380,261 | $ 273,557 |
Futures contracts | 1,435,684 | 789,143 |
Contracts for difference* | 49,643,187 | 46,036,209 |
Credit default swap contracts* | — | 520 |
Purchased options | 6,210 | — |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $51,465,342 | $47,099,429 |
Less: Derivatives not subject to MNA or similar agreements | (1,439,554) | (789,663) |
Total gross amount of derivatives subject to MNA or similar agreement | $50,025,788 | $46,309,766 |
* | 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 | $ 10,712 | $ (10,712) | $ — | $ — | $ — |
Barclays | 19,661,665 | (18,470,023) | 1,191,642 | — | 1,191,642 |
Citibank (a) | 21,702 | (19,648) | 2,054 | (2,054) | — |
Deutsche Bank | 26,417 | (26,417) | — | — | — |
Goldman Sachs(b) | 20,279,744 | (18,527,107) | 1,752,637 | (130,000) | 1,622,637 |
JPMorgan Chase(b) | 9,776,306 | (9,135,182) | 641,124 | (50,000) | 591,124 |
Morgan Stanley | 249,242 | (86,015) | 163,227 | — | 163,227 |
Total | $50,025,788 | $(46,275,104) | $3,750,684 | $(182,054) | $3,568,630 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Bank of America | $ (36,928) | $ 10,712 | $(26,216) | $— | $(26,216) |
Barclays | (18,470,023) | 18,470,023 | — | — | — |
Citibank | (19,648) | 19,648 | — | — | — |
Deutsche Bank | (34,863) | 26,417 | (8,446) | — | (8,446) |
Goldman Sachs | (18,527,107) | 18,527,107 | — | — | — |
JPMorgan Chase | (9,135,182) | 9,135,182 | — | — | — |
Morgan Stanley | (86,015) | 86,015 | — | — | — |
Total | $(46,309,766) | $46,275,104 | $(34,662) | $— | $(34,662) |
(a) | Actual amount of collateral received from Citibank exceeded the net amount before collateral and is included in Due to broker in the Statements of Assets and Liabilities. |
(b) | Actual amount of collateral received from Goldman Sachs and JPMorgan Chase is included in Due to broker in the Statements of Assets and Liabilities. |
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 | $64,268,854 | $248,587,792 | $5,310,707 | $ — | $33,247,793 |
Average Notional Balance - Short | 8,895,519 | 213,447,226 | 4,269,352 | — | 40,157,296 |
Ending Notional Balance - Long | 63,091,190 | 209,133,240 | 5,075,164 | — | 78,234,494 |
Ending Notional Balance - Short | 8,275,138 | 201,455,196 | 4,680,828 | — | 40,157,296 |
Forward Foreign Currency Exchange Contracts: | |||||
Average Settlement Value - Purchased | 4,611,471 | 7,316,720 | 2,934,169 | 1,987,621 | 14,432,120 |
Average Settlement Value - Sold | 5,935,122 | 6,064,598 | 6,954,397 | 37,003 | 7,631,708 |
Ending Settlement Value - Purchased | 2,302,857 | 7,447,159 | 4,619,197 | — | 26,350,798 |
Ending Settlement Value - Sold | 5,779,305 | 6,686,532 | 7,156,483 | 148,013 | 19,676,931 |
Contracts for Difference: | |||||
Average Notional Balance - Long | — | — | — | — | 1,006,504 |
Average Notional Balance - Short | — | — | — | — | 1,063,634 |
Ending Notional Balance - Long | — | — | — | — | 912,299 |
Ending Notional Balance - Short | — | — | — | — | 1,060,718 |
Inflation Swaps: | |||||
Average Notional Balance - Pays Fixed Rate | — | 1,833,402 | — | — | 472,442 |
Average Notional Balance - Receives Fixed Rate | — | 1,839,765 | — | — | 675,357 |
Ending Notional Balance - Pays Fixed Rate | — | 3,637,547 | — | — | — |
Ending Notional Balance - Receives Fixed Rate | — | 3,663,000 | — | — | — |
Interest Rate Swaps: | |||||
Average Notional Balance - Pays Fixed Rate | 2,841,000 | 79,967,827 | — | — | 4,253,629 |
Average Notional Balance - Receives Fixed Rate | 1,388,725 | 41,741,039 | — | — | 4,339,364 |
Morningstar Global Income Fund | Morningstar Total Return Bond Fund | Morningstar Multisector Bond Fund | Morningstar Global Opportunistic Equity Fund | Morningstar Alternatives Fund | |
Interest Rate Swaps (continued): | |||||
Ending Notional Balance - Pays Fixed Rate | $2,111,000 | $108,203,694 | $ — | $— | $ — |
Ending Notional Balance - Receives Fixed Rate | 2,394,226 | 43,496,951 | — | — | — |
Credit Default Swaps: | |||||
Average Notional Balance - Buy Protection | — | 1,628,752 | 745,713 | — | 5,440,000 |
Average Notional Balance - Sell Protection | — | 55,462,961 | 278,750 | — | — |
Ending Notional Balance - Buy Protection | — | 2,266,074 | — | — | 955,000 |
Ending Notional Balance - Sell Protection | — | 23,091,472 | 1,115,000 | — | — |
Options: | |||||
Average Notional Balance - Purchased | 3,643,936 | 162,867,197 | 1,025,500 | — | 10,232,743 |
Average Notional Balance - Written | 1,318,110 | 219,701,849 | 665,500 | — | 8,760,968 |
Ending Notional Balance - Purchased | 3,262,756 | 68,654,919 | 1,331,000 | — | 515,221 |
Ending Notional Balance - Written | — | 53,550,494 | 1,331,000 | — | — |
Swaptions: | |||||
Average Notional Balance - Purchased | 431,250 | 121,035,830 | — | — | — |
Average Notional Balance - Written | — | 143,343,103 | — | — | — |
Ending Notional Balance - Purchased | 2,156,000 | 162,207,620 | — | — | — |
Ending Notional Balance - Written | — | 185,368,712 | — | — | — |
Morningstar Funds | Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) |
U.S. Equity Fund | $1,325,960,861 | $179,773,089 | $ (80,331,787) | $ 99,441,302 |
International Equity Fund | 777,157,519 | 58,628,749 | (122,806,985) | (64,178,236) |
Global Income Fund | 211,049,788 | 6,021,201 | (19,929,252) | (13,908,051) |
Morningstar Funds | Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) |
Total Return Bond Fund | $657,391,346 | $4,782,873 | $(92,048,281) | $(87,265,408) |
Municipal Bond Fund | 341,826,966 | 105,135 | (30,819,630) | (30,714,495) |
Defensive Bond Fund | 135,799,976 | 764,397 | (7,192,516) | (6,428,119) |
Multisector Bond Fund | 183,089,487 | 912,909 | (18,871,234) | (17,958,325) |
Global Opportunistic Equity Fund | 281,441,769 | 8,354,515 | (18,685,677) | (10,331,162) |
Alternatives Fund | 244,342,382 | 7,202,606 | (23,606,968) | (16,404,362) |
Morningstar Funds | Current Distributable Tax-Exempt Income | Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain or Tax Basis Capital Loss Carryforwards | Net Unrealized Appreciation (Depreciation) | Accumulated Capital and Other Losses | Other Temporary Differences | Total Accumulated Earnings |
U.S. Equity Fund | $ — | $ 5,450,542 | $ 17,133,007 | $130,444,771 | $ — | $ — | $ 153,028,320 |
International Equity Fund | — | 14,735,360 | (9,579,354) | 2,888,225 | — | (92) | 8,044,139 |
Global Income Fund | — | 1,498,085 | (20,508,265) | (4,719,475) | — | (25) | (23,729,680) |
Total Return Bond Fund | — | 699,468 | (79,072,112) | (55,411,356) | — | (268) | (133,784,268) |
Municipal Bond Fund | 167,124 | — | (4,799,187) | (18,254,102) | — | — | (22,886,165) |
Defensive Bond Fund | — | 36,353 | (3,120,048) | (7,128,532) | — | — | (10,212,227) |
Multisector Bond Fund | — | 456,786 | (21,459,699) | (10,653,812) | — | (44) | (31,656,769) |
Global Opportunistic Equity Fund | — | 2,548,034 | 937,412 | 2,326,857 | — | — | 5,812,303 |
Alternatives Fund | — | 1,905,757 | — | (13,900,981) | (7,309,473) | — | (19,304,697) |
Fiscal Year Ended April 30, 2023 | ||||
Morningstar Funds | Tax-Exempt Income | Ordinary Income | Capital Gains | Total Distributions Paid |
U.S. Equity Fund | $ — | $18,811,662 | $103,557,071 | $122,368,733 |
International Equity Fund | — | 14,561,814 | 13,660,294 | 28,222,108 |
Global Income Fund | — | 11,680,371 | 7,672,134 | 19,352,505 |
Total Return Bond Fund | — | 22,207,988 | — | 22,207,988 |
Municipal Bond Fund | 7,795,775 | 233,504 | — | 8,029,279 |
Defensive Bond Fund | — | 3,670,466 | — | 3,670,466 |
Multisector Bond Fund | — | 4,767,479 | — | 4,767,479 |
Global Opportunistic Equity Fund | — | 4,269,209 | 1,582,642 | 5,851,851 |
Alternatives Fund | — | 11,324,569 | 193,123 | 11,517,692 |
Fiscal Year Ended April 30, 2022 | |||||
Morningstar Funds | Tax Exempt Income | Ordinary Income | Capital Gains | Return of Capital | Total Distributions Paid |
U.S. Equity Fund | $ — | $110,198,770 | $128,287,273 | $ — | $238,486,043 |
International Equity Fund | — | 45,662,593 | 96,994,386 | — | 142,656,979 |
Global Income Fund | — | 14,947,148 | 13,613,661 | — | 28,560,809 |
Total Return Bond Fund | — | 13,881,661 | 4,639,870 | — | 18,521,531 |
Municipal Bond Fund | 6,838,232 | 64,365 | 241,086 | — | 7,143,683 |
Defensive Bond Fund | — | 4,600,989 | 785,732 | 262,291 | 5,649,012 |
Multisector Bond Fund | — | 8,172,757 | 1,078,319 | — | 9,251,076 |
Global Opportunistic Equity Fund | — | 14,334,709 | 25,786,433 | — | 40,121,142 |
Alternatives Fund | — | 13,669,424 | 2,977,689 | — | 16,647,113 |
Morningstar Funds | |
Alternatives Fund | $ 7,309,473 |
Morningstar Funds | Number of Shareholders | % Ownership1 |
U.S. Equity Fund | 4 | 99% |
International Equity Fund | 4 | 99% |
Global Income Fund | 4 | 99% |
Total Return Bond Fund | 4 | 99% |
Municipal Bond Fund | 4 | 99% |
Defensive Bond Fund | 3 | 96% |
Multisector Bond Fund | 4 | 99% |
Global Opportunistic Equity Fund | 4 | 99% |
Alternatives Fund | 4 | 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 | $1,004.70 | $4.23 | $1,000.00 | $1,020.91 | $4.27 |
Morningstar International Equity Fund | 0.98 | 1,000.00 | 924.60 | 4.74 | 1,000.00 | 1,020.21 | 4.98 |
Morningstar Global Income Fund | 0.70 | 1,000.00 | 961.80 | 3.45 | 1,000.00 | 1,021.62 | 3.56 |
Morningstar Total Return Bond Fund | 0.53 | 1,000.00 | 933.20 | 2.58 | 1,000.00 | 1,022.47 | 2.69 |
Morningstar Municipal Bond Fund | 0.58 | 1,000.00 | 967.30 | 2.87 | 1,000.00 | 1,022.22 | 2.95 |
Actual | Hypothetical (5% return) | ||||||
Annualized Expense Ratio | Beginning Account Value | Ending Account Value | Expenses Paid* During Period | Beginning Account Value | Ending Account Value | Expenses Paid * During Period | |
Morningstar Defensive Bond Fund | 0.48% | $1,000.00 | $1,010.60 | $2.43 | $1,000.00 | $1,022.72 | $2.44 |
Morningstar Multisector Bond Fund | 0.79 | 1,000.00 | 970.70 | 3.91 | 1,000.00 | 1,021.17 | 4.01 |
Morningstar Global Opportunistic Equity Fund | 0.72 | 1,000.00 | 963.20 | 3.55 | 1,000.00 | 1,021.52 | 3.66 |
Morningstar Alternatives Fund | 1.18 | 1,000.00 | 1,018.40 | 5.99 | 1,000.00 | 1,019.20 | 5.99 |
* | Expenses are equal to the Fund's annualized expense ratios, multiplied by the average account value over the period, multiplied by [184/366] (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 platforms provided by financial institutions on a stand-alone basis and/or as part of a model portfolio ("Solutions") | |
Such Solutions 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.
![](https://capedge.com/proxy/N-CSRS/0001193125-23-303084/g634907imgd7b8187c1.gif)
(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.
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. |
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 26, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By | /s/ Daniel E. Needham | |
Daniel E. Needham, President | ||
(Principal Executive Officer) |
Date: December 26, 2023
By | /s/ Tracy L. Dotolo | |
Tracy L. Dotolo, Treasurer | ||
(Principal Financial Officer) |
Date: December 26, 2023