UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-23235
Morningstar Funds Trust
(Exact name of registrant as specified in charter)
Morningstar Funds Trust
22 W. Washington Street
Chicago, IL 60602
(Address of principal executive offices) (Zip code)
D. Scott Schilling
Morningstar Funds Trust
22 W. Washington Street
Chicago, IL 60602
With a copy to:
Eric S. Purple
Stradley Ronon Stevens & Young, LLP
2000 K Street N.W., Suite 700
Washington, District of Columbia, 20006
(Name and address of agent for service)
Registrant’s telephone number, including area code: (312) 696-6000
Date of fiscal year end: April 30
Date of reporting period: April 30, 2024
Item 1. Reports to Stockholders.
(a) | Report pursuant to Rule 30e-1 |
A N N U A L R E P O R T
| April 30, 2024 | |||
Morningstar Funds Trust | Morningstar U.S. Equity Fund
Morningstar International Equity Fund
Morningstar Global Income Fund
Morningstar Total Return Bond Fund
Morningstar Municipal Bond Fund
Morningstar Defensive Bond Fund
Morningstar Multisector Bond Fund
Morningstar Global Opportunistic Equity Fund
Morningstar Alternatives Fund |
Regulatory Update
The SEC recently adopted a rule requiring mutual funds to produce “concise and visually engaging” annual and semi-annual reports to shareholders. This streamlined format is intended to highlight key information for shareholders to permit them to assess and monitor their fund investments. More detailed information that has historically been part of shareholder reports, such as financial statements and financial highlights, will not appear in the new streamlined shareholder reports, but may accompany the reports, or will be available free of charge upon request to the fund or via the fund’s Form N-CSR filed with the SEC on its EDGAR database. The compliance date for funds to implement streamlined shareholder reports is July 24, 2024; therefore, Morningstar Funds Trust will issue its first streamlined shareholder reports beginning with its October 31, 2024 semi-annual report. The new rule requires that each series of a mutual fund issue a separate streamlined shareholder report. For example, if you are a shareholder of all nine (9) series of the Morningstar Funds Trust, you will receive nine (9) separate streamlined shareholder reports, one for each fund, upon implementation of the new rule. In addition, the new rule requires that a hard copy of a fund’s streamlined shareholder report be mailed to each shareholder, unless the shareholder elects to receive such reports electronically. If you wish to ‘opt-in’ for electronic delivery of Morningstar Funds Trust’s annual and semi-annual shareholder reports, please contact your financial advisor for assistance in enrolling your account in paperless (i.e., electronic) delivery of shareholder materials.
Morningstar Funds Trust April 30, 2024
Introduction
Morningstar Investment Management LLC launched an open end management investment company consisting of nine separate portfolios (each a Fund ) that span the investment opportunity set1. Most of these Funds are designed to provide exposure to a broad asset class, such as U.S. equities, while our active management of each Fund’s asset allocation, allocation to active managers (known as “subadvisers”), and exposures to Exchange-Traded Funds (“ETFs”), or individual equity securities allows us to adjust sub-asset class allocations based on our valuation views and those of the subadvisers.
Concept and Structure
We created the Morningstar Funds Trust using an open architecture, multimanager approach, selecting subadvisers we believed fit best with our investment philosophy and the investment objectives of each Morningstar Fund2. We have recommended subadvisers we believed were independent, skilled investors in their respective asset classes to manage the Funds and we continuously monitor such subadvisers to confirm that they continue to meet our standards.
Consistent with our investment approach, our asset allocation process for the Morningstar Funds is based on fundamentals and driven by valuations. We look for asset classes and sub-asset classes around the globe that, in our view, offer fundamental value relative to price. Allocations within each Fund are in line with what we believe to reflect the best risk-adjusted opportunities.
How to Read This Report
Unless stated otherwise, this report outlines the structure and performance of the assets comprised by the Morningstar Funds Trust from May 1, 2023, through April 30, 2024. Included are fund holdings, positioning and performance summaries, including relevant commentary and examples that may aid understanding of returns for the year.
The commentary, views, and opinions in this report were current as of April 30, 2024, and are those of Morningstar Investment Management LLC. Our views reflect performance results net of fees and expenses as of the end of the reporting year.
Statements made within this report are not guarantees of future performance or investment results and should not be taken as investment advice. Investment decisions reflect a variety of factors, and we reserve the right to change views about individual holdings, sectors, and markets at any time. As a result, the views expressed should not be relied upon as a forecast of the Morningstar Funds’ future investment intent.
1All references to “we” or “our” in this report, including the funds’ performance summaries, refer to Morningstar Investment Management LLC.
2 Morningstar Funds Trust is an open end management investment company registered under the Investment Company Act of 1940 (as amended). Use of the term “Morningstar Funds” hereafter refers to Morningstar Funds Trust, or its individual series, as applicable.
c/o D. Scott Schilling, Chief Compliance Officer
22 West Washington Street
Chicago, IL 60602
General Information | |
Net Asset Value Per Share | $12.41 |
Total Net Assets (millions) | $1,595 |
Net Expense Ratio(a) | 0.85% |
Gross Expense Ratio(a) | 0.88% |
Portfolio Turnover Rate | 46% |
Number of Companies | 519 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Weighted Average Market Capitalization (billions) | $95.79 |
Price-to-Earnings Ratio(b) | 22.44 |
Ten Largest Equities (%)(c)(d)(e) | |
Microsoft Corp. | 3.5 |
Alphabet, Inc., Class A | 3.4 |
Amazon.com, Inc. | 3.0 |
Meta Platforms, Inc., Class A | 2.7 |
NVIDIA Corp. | 2.4 |
Apple, Inc. | 2.3 |
JPMorgan Chase & Co. | 1.3 |
Visa, Inc., Class A | 1.1 |
Netflix, Inc. | 1.1 |
Eaton Corp. PLC | 1.0 |
Sector Diversification (%)(c)(d) | |
Technology | 18.4 |
Financials | 12.7 |
Industrials | 11.1 |
Communications | 10.0 |
Health Care | 9.8 |
Consumer Discretionary | 7.4 |
Consumer Staples | 5.3 |
Energy | 4.8 |
Real Estate | 2.9 |
Materials | 2.8 |
Utilities | 2.7 |
Average Total Returns as of 04/30/24 | 1 year2 | 5 years3 | Since Inception4 |
Morningstar U.S. Equity Fund | 20.92% | 10.07% | 10.48% |
Morningstar U.S. Market Index1 | 22.84% | 12.57% | 13.19% |
General Information | |
Net Asset Value Per Share | $10.23 |
Total Net Assets (millions) | $810 |
Net Expense Ratio(a) | 1.00% |
Gross Expense Ratio(a) | 1.09% |
Portfolio Turnover Rate | 31% |
Number of Companies | 388 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Emerging Markets(c)(d) | 32.5% |
Weighted Average Market Capitalization (billions) | $48.57 |
Price-to-Earnings Ratio(b) | 14.50 |
Countries Represented | 42 |
Ten Largest Equities (%)(c)(d)(e) | |
Shell PLC | 2.2 |
Tencent Holdings Ltd. | 1.7 |
Taiwan Semiconductor Manufacturing Co. Ltd. | 1.5 |
Allianz S.E. | 1.4 |
Alibaba Group Holding Ltd. | 1.2 |
Samsung Electronics Co. Ltd. | 1.1 |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 1.1 |
BNP Paribas S.A. | 1.1 |
Lloyds Banking Group PLC | 1.0 |
Samsung Electronics Co. Ltd. GDR | 1.0 |
Sector Diversification (%)(c)(d) | |
Financials | 18.0 |
Industrials | 13.2 |
Technology | 13.2 |
Consumer Discretionary | 11.6 |
Consumer Staples | 9.0 |
Health Care | 8.8 |
Communications | 7.5 |
Energy | 7.1 |
Materials | 6.4 |
Utilities | 0.7 |
Real Estate | 0.4 |
Region Diversification (%)(c)(d) | |
Pacific (excluding Japan) | 29.5 |
Europe (excluding United Kingdom) | 27.4 |
Japan | 13.9 |
United States | 8.2 |
United Kingdom | 7.3 |
Latin America | 5.3 |
Canada | 2.6 |
Africa | 1.2 |
Middle East | 0.5 |
Average Total Returns as of 04/30/24 | 1 year2 | 5 years3 | Since Inception4 |
Morningstar International Equity Fund | 5.38% | 4.23% | 5.35% |
Morningstar Global Markets ex U.S. Index (net)1 | 9.63% | 5.22% | 5.99% |
General Information | |
Net Asset Value Per Share | $9.21 |
Total Net Assets (millions) | $192 |
Net Expense Ratio(a) | 0.75% |
Gross Expense Ratio(a) | 0.75% |
Portfolio Turnover Rate | 58% |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Equity Portfolio (43.8%) | |
Number of Common Stocks | 127 |
Five Largest Sectors (%)(b)(c) | |
Financials | 8.6 |
Industrials | 5.4 |
Technology | 4.7 |
Energy | 4.6 |
Real Estate | 3.5 |
Ten Largest Equities (%)(b)(c)(d) | |
Petroleo Brasileiro S.A. | 1.8 |
BNP Paribas S.A. | 1.8 |
Chevron Corp. | 1.7 |
BAE Systems PLC | 1.7 |
OPAP S.A. | 1.7 |
TF Administradora Industrial S. de R.L. de C.V. | 1.7 |
Broadcom, Inc. | 1.6 |
Softbank Corp. | 1.4 |
JPMorgan Chase & Co. | 1.4 |
Kaspi.KZ JSC ADR | 1.3 |
Fixed Income Portfolio (38.0%) | |
Number of Issuers | 333 |
Sector Diversification (%)(b)(e) | |
Corporate | 8.7 |
Mortgage Securities | 6.7 |
Asset Backed Securities | 3.9 |
Energy | 3.9 |
Consumer Discretionary | 2.9 |
Industrials | 2.6 |
Government | 2.4 |
Communications | 2.0 |
Financials | 1.6 |
Health Care | 1.2 |
Materials | 1.0 |
Technology | 0.4 |
Utilities | 0.4 |
Real Estate | 0.3 |
Five Largest Issuers (%)(b)(d)(e) | |
Energy Transfer L.P. | 1.9 |
Enterprise Products Partners L | 1.8 |
BX Trust | 0.9 |
Mexican Bonos Desarollo | 0.8 |
Freddie Mac - STACR | 0.8 |
Credit Quality (%)(b)(e)(f) | |
U.S. Agency | 1.0 |
AAA | 2.6 |
AA | 0.3 |
A | 0.9 |
BBB | 6.6 |
BB | 9.6 |
B | 9.8 |
CCC | 2.1 |
CC | 0.3 |
C | 0.1 |
Not Rated | 4.7 |
Average Total Returns as of 04/30/24 | 1 year2 | 5 years3 | Since Inception4 |
Morningstar Global Income Fund | 7.19% 5 | 4.07% | 4.96% |
Morningstar Global Income Blended Index1 | 7.22% | 3.94% | 4.73% |
General Information | |
Net Asset Value Per Share | $8.57 |
Total Net Assets (millions) | $822 |
Net Expense Ratio(a) | 0.54% |
Gross Expense Ratio(a) | 0.74% |
Portfolio Turnover Rate | 370% |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Effective Duration (years)(b) | 6.0 |
Non-USD Exposure(c)(d)(e) | 1.0% |
Five Largest Issuers (%)(c)(d)(f) | |
U.S. Treasury | 13.8 |
Federal National Mortgage Association | 8.9 |
Federal Home Loan Mortgage Corporation | 6.5 |
Government National Mortgage Association | 5.8 |
Fannie Mae or Freddie Mac | 3.4 |
Credit Quality (%)(c)(d)(g) | |
U.S. Treasury | 13.8 |
U.S. Agency | 24.9 |
AAA | 5.5 |
AA | 1.6 |
A | 9.1 |
BBB | 12.0 |
BB | 0.9 |
B | 0.1 |
CCC | 0.2 |
Not Rated | 1.0 |
Sector Diversification (%)(c)(d) | |
Mortgage Securities | 28.5 |
Government | 16.0 |
Financials | 6.1 |
Energy | 4.2 |
Asset Backed Securities | 3.8 |
Communications | 2.0 |
Health Care | 1.8 |
Utilities | 1.4 |
Industrials | 1.3 |
Technology | 0.9 |
Consumer Discretionary | 0.9 |
Real Estate | 0.8 |
Materials | 0.7 |
Consumer Staples | 0.7 |
Region Diversification (%)(c)(d) | |
United States | 61.1 |
Latin America | 3.9 |
Europe (excluding United Kingdom) | 2.0 |
Pacific (excluding Japan) | 1.1 |
United Kingdom | 0.4 |
Middle East | 0.2 |
Canada | 0.2 |
Africa | 0.1 |
Japan | 0.1 |
Average Total Returns as of 04/30/24 | 1 year2 | 5 years3 | Since Inception4 |
Morningstar Total Return Bond Fund | -1.83% | -0.35% | 0.75% |
Bloomberg U.S. Aggregate Bond Index1 | -1.47% | -0.16% | 0.89% |
General Information | |
Net Asset Value Per Share | $9.87 |
Total Net Assets (millions) | $328 |
Net Expense Ratio(a) | 0.59% |
Gross Expense Ratio(a) | 0.68% |
Portfolio Turnover Rate | 57% |
Number of Issuers | 396 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Effective Duration (years)(b) | 5.3 |
Five Largest Issuers (%)(c)(d)(e) | |
Main Street Natural Gas, Inc. Supply Revenue | 1.2 |
Michigan State Finance Authority Revenue | 1.1 |
Maryland State Health & Higher Educational Facilities Authority Revenue | 1.1 |
Texas State Private Activity Bond Surface Transportation Corp. Revenue | 1.1 |
Virginia State Small Business Financing Authority Revenue | 1.1 |
Credit Quality (%)(c)(d)(f) | |
AAA | 4.9 |
AA | 29.6 |
A | 26.9 |
BBB | 15.5 |
BB | 2.8 |
B | 0.4 |
A1+ (Short Term) | 0.5 |
A1 (Short Term) | 0.6 |
Not Rated | 5.4 |
Sector Diversification (%)(c)(d) | |
General | 14.3 |
Medical | 13.9 |
Transportation | 8.8 |
Airport | 8.2 |
General Obligation | 7.2 |
Development | 5.9 |
Higher Education | 4.2 |
School District | 4.1 |
Water | 4.0 |
Education | 3.3 |
Nursing Home | 3.0 |
Power | 2.5 |
Multifamily Housing | 1.8 |
Housing | 1.5 |
Utilities | 0.8 |
Pollution | 0.7 |
Bond Banks | 0.7 |
Single Family Housing | 0.7 |
Tobacco Settlement | 0.4 |
Government | 0.4 |
Facilities | 0.2 |
Average Total Returns as of 04/30/24 | 1 year2 | 5 years3 | Since Inception4 |
Morningstar Municipal Bond Fund | 3.01% | 1.30% | 2.05% |
Morningstar Municipal Bond Blended Index1 | 2.26% | 1.22% | 1.89% |
General Information | |
Net Asset Value Per Share | $9.52 |
Total Net Assets (millions) | $130 |
Net Expense Ratio(a) | 0.51% |
Gross Expense Ratio(a) | 0.76% |
Portfolio Turnover Rate | 65% |
Number of Issuers | 69 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Effective Duration (years)(b) | 2.4 |
Non-USD Exposure(c)(d)(e) | 0.0% |
Five Largest Issuers (%)(c)(d)(f) | |
FHLMC Multifamily Structured Pass Through Certs. | 6.2 |
Federal National Mortgage Association | 5.6 |
U.S. Treasury | 3.7 |
Federal Home Loan Mortgage Corporation | 3.4 |
Golub Capital Partners Funding | 2.0 |
Credit Quality (%)(c)(d)(g) | |
U.S. Treasury | 3.7 |
U.S. Agency | 15.4 |
AAA | 13.6 |
AA | 0.1 |
A | 1.7 |
BBB | 1.1 |
BB | 1.5 |
B | 1.9 |
CCC | 0.1 |
Not Rated | 9.2 |
Sector Diversification (%)(c)(d) | |
Mortgage Securities | 20.2 |
Asset Backed Securities | 17.6 |
Government | 3.7 |
Financials | 2.3 |
Utilities | 1.2 |
Consumer Discretionary | 0.9 |
Communications | 0.8 |
Real Estate | 0.7 |
Health Care | 0.3 |
Technology | 0.2 |
Corporate | 0.2 |
Industrials | 0.2 |
Region Diversification (%)(c)(d) | |
United States | 44.9 |
Latin America | 3.3 |
Europe (excluding United Kingdom) | 0.1 |
Average Total Returns as of 04/30/24 | 1 year3 | 5 years4 | Since Inception5 |
Morningstar Defensive Bond Fund | 4.72% | 1.90% | 2.07% |
Bloomberg U.S. Aggregate Bond Index1 | -1.47% | -0.16% | 0.89% |
Bloomberg U.S. Aggregate 1-3 Year Index2 | 2.85% | 1.19% | 1.56% |
General Information | |
Net Asset Value Per Share | $8.68 |
Total Net Assets (millions) | $173 |
Net Expense Ratio(a) | 0.80% |
Gross Expense Ratio(a) | 1.05% |
Portfolio Turnover Rate | 157% |
Number of Issuers | 683 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Effective Duration (years)(b) | 5.1 |
Non-USD Exposure(c)(d)(e) | 19.3% |
Five Largest Issuers (%)(c)(d)(f) | |
Nota Do Tesouro Nacional | 2.4 |
Government of Indonesia | 2.3 |
Republic of South Africa | 2.1 |
Mexican Bonos Desarollo | 1.6 |
Malaysia Government | 1.5 |
Credit Quality (%)(c)(d)(g) | |
U.S. Treasury | 1.1 |
AAA | 0.1 |
AA | 2.6 |
A | 13.7 |
BBB | 24.6 |
BB | 23.7 |
B | 16.0 |
CCC | 4.1 |
CC | 0.8 |
C | 0.5 |
Not Rated | 7.2 |
Sector Diversification (%)(c)(d) | |
Government | 32.9 |
Financials | 11.2 |
Energy | 8.6 |
Communications | 7.3 |
Consumer Discretionary | 6.6 |
Industrials | 4.8 |
Health Care | 4.7 |
Materials | 4.1 |
Utilities | 3.9 |
Technology | 3.8 |
Corporate | 2.1 |
Real Estate | 1.9 |
Consumer Staples | 1.6 |
Mortgage Securities | 0.6 |
Asset Backed Securities | 0.3 |
Region Diversification (%)(c)(d) | |
United States | 46.3 |
Latin America | 15.4 |
Pacific (excluding Japan) | 9.5 |
Europe (excluding United Kingdom) | 9.2 |
Africa | 5.8 |
Middle East | 4.6 |
Canada | 2.0 |
United Kingdom | 1.2 |
Japan | 0.4 |
Average Total Returns as of 04/30/24 | 1 year2 | 5 years3 | Since Inception4 |
Morningstar Multisector Bond Fund | 5.04% | 0.66% | 1.47% |
Morningstar Multisector Bond Blended Index1 | 5.81% | 1.72% | 2.70% |
General Information | |
Net Asset Value Per Share | $10.60 |
Total Net Assets (millions) | $297 |
Net Expense Ratio(a) | 0.89% |
Gross Expense Ratio(a) | 0.89% |
Portfolio Turnover Rate | 60% |
Number of Companies | 222 |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Portfolio Characteristics | |
Weighted Average Market Capitalization (billions) | $58.76 |
Price-to-Earnings Ratio(b) | 16.87 |
Countries Represented | 20 |
Emerging Markets(c)(d) | 6.0% |
Ten Largest Equities (%)(c)(d)(e) | |
Omnicom Group, Inc. | 1.9 |
National Grid PLC | 1.8 |
H&R Block, Inc. | 1.8 |
CVS Health Corp. | 1.8 |
Nexi SpA | 1.8 |
International Game Technology PLC | 1.7 |
Alphabet, Inc., Class A | 1.5 |
eBay, Inc. | 1.3 |
Henkel A.G. & Co. KGaA | 1.3 |
Severn Trent PLC | 1.2 |
Sector Diversification (%)(c)(d) | |
Communications | 9.9 |
Financials | 6.6 |
Consumer Discretionary | 5.9 |
Health Care | 5.7 |
Technology | 5.7 |
Utilities | 5.6 |
Industrials | 5.2 |
Consumer Staples | 4.2 |
Energy | 3.8 |
Materials | 0.5 |
Real Estate | 0.2 |
Average Total Returns as of 04/30/24 | 1 year2 | 5 years3 | Since Inception4 |
Morningstar Global Opportunistic Equity Fund | 11.41% 5 | 7.22% | 7.50% |
Morningstar Global Markets NR Index1 | 16.98% | 9.05% | 9.71% |
General Information | |
Net Asset Value Per Share | $10.13 |
Total Net Assets (millions) | $226 |
Net Expense Ratio(a) | 1.36% |
Gross Expense Ratio(a) | 1.49% |
Portfolio Turnover Rate | 198% |
Fund Inception | November 2, 2018 |
No sales charges or distribution fees |
Allocation Strategy Type (%)(b) | |
Convertible Arbitrage | 27.1 |
Merger Arbitrage | 19.5 |
Multi-Strategy | 40.5 |
Short-term investments and ETFs | 12.9 |
Region Diversification (%)(c)(d) | |
United States | 71.0 |
Europe (excluding United Kingdom) | 2.9 |
Canada | 1.1 |
Pacific (excluding Japan) | 0.8 |
Middle East | 0.6 |
Japan | 0.5 |
United Kingdom | 0.5 |
Latin America | 0.3 |
Africa | 0.3 |
Average Total Returns as of 04/30/24 | 1 year3 | 5 years4 | Since Inception5 |
Morningstar Alternatives Fund | 7.58% | 3.55% | 3.46% |
Bloomberg U.S. Aggregate Bond Index1 | -1.47% | -0.16% | 0.89% |
Morningstar U.S. Cash T-Bill TR USD2 | 5.45% | 2.08% | 2.11% |
Number of Shares | Value | ||
Common Stocks – 87.9% | |||
Advertising & Marketing – 0.0%(a) | |||
Interpublic Group of Cos. (The), Inc. | 4,710 | $ 143,372 | |
Omnicom Group, Inc. | 2,157 | 200,256 | |
343,628 | |||
Aerospace & Defense – 2.8% | |||
AAR Corp.* | 14,791 | 1,022,650 | |
Boeing (The) Co.* | 31,872 | 5,349,396 | |
General Dynamics Corp. | 31,654 | 9,087,547 | |
Kratos Defense & Security Solutions, Inc.* | 44,361 | 790,513 | |
L3Harris Technologies, Inc. | 12,582 | 2,693,177 | |
Lockheed Martin Corp. | 2,130 | 990,301 | |
Mercury Systems, Inc.* | 30,129 | 849,638 | |
Moog, Inc., Class A | 10,389 | 1,652,578 | |
Northrop Grumman Corp. | 16,203 | 7,858,941 | |
RTX Corp. | 138,375 | 14,047,830 | |
44,342,571 | |||
Apparel & Textile Products – 0.3% | |||
Crocs, Inc.* | 205 | 25,496 | |
Deckers Outdoor Corp.* | 206 | 168,605 | |
NIKE, Inc., Class B | 53,755 | 4,959,436 | |
Ralph Lauren Corp. | 704 | 115,202 | |
Skechers USA, Inc., Class A* | 1,657 | 109,445 | |
Tapestry, Inc. | 2,117 | 84,511 | |
VF Corp. | 1,850 | 23,051 | |
5,485,746 | |||
Asset Management – 1.0% | |||
Ameriprise Financial, Inc. | 388 | 159,774 | |
BlackRock, Inc. | 5,690 | 4,293,902 | |
Charles Schwab (The) Corp. | 13,840 | 1,023,468 | |
Cohen & Steers, Inc. | 36,932 | 2,540,183 | |
Franklin Resources, Inc. | 3,387 | 77,359 | |
Hamilton Lane, Inc., Class A | 27,221 | 3,041,130 | |
Invesco Ltd. | 3,741 | 53,010 | |
KKR & Co., Inc. | 38,108 | 3,546,711 | |
LPL Financial Holdings, Inc. | 336 | 90,428 | |
Stifel Financial Corp. | 12,613 | 1,008,031 | |
T. Rowe Price Group, Inc. | 549 | 60,154 | |
15,894,150 | |||
Automotive – 0.6% | |||
Aptiv PLC* | 37,771 | 2,681,741 | |
Autoliv, Inc. (Sweden) | 1,163 | 139,316 | |
BorgWarner, Inc. | 3,424 | 112,204 | |
Fox Factory Holding Corp.* | 19,366 | 753,725 |
Number of Shares | Value | ||
Automotive (Continued) | |||
Gentex Corp. | 6,663 | $ 228,541 | |
Lear Corp. | 11,968 | 1,506,412 | |
Phinia, Inc. | 682 | 26,598 | |
Tesla, Inc.* | 12,200 | 2,236,016 | |
XPEL, Inc.* | 29,006 | 1,524,265 | |
9,208,818 | |||
Banking – 4.7% | |||
Atlantic Union Bankshares Corp. | 46,694 | 1,483,468 | |
Bank of America Corp. | 77,743 | 2,877,268 | |
Bank OZK(b) | 79,647 | 3,556,239 | |
Banner Corp. | 17,297 | 754,668 | |
BOK Financial Corp. | 16,541 | 1,467,683 | |
Citigroup, Inc. | 122,729 | 7,526,970 | |
Citizens Financial Group, Inc. | 42,312 | 1,443,262 | |
City Holding Co.(b) | 15,269 | 1,542,474 | |
Comerica, Inc. | 10,030 | 503,205 | |
Fifth Third Bancorp | 43,473 | 1,585,026 | |
First Bancorp | 46,206 | 1,405,124 | |
Huntington Bancshares, Inc. | 139,001 | 1,872,344 | |
JPMorgan Chase & Co. | 108,315 | 20,768,318 | |
KeyCorp | 79,516 | 1,152,187 | |
M&T Bank Corp. | 14,157 | 2,044,129 | |
National Bank Holdings Corp., Class A | 22,647 | 741,236 | |
Pinnacle Financial Partners, Inc. | 15,456 | 1,185,475 | |
PNC Financial Services Group (The), Inc. | 40,591 | 6,220,977 | |
Regions Financial Corp. | 51,131 | 985,294 | |
Renasant Corp. | 53,359 | 1,550,613 | |
Seacoast Banking Corp. of Florida | 63,875 | 1,473,596 | |
Simmons First National Corp., Class A | 42,564 | 727,419 | |
Triumph Financial, Inc.(b)* | 11,048 | 777,337 | |
Truist Financial Corp. | 53,103 | 1,994,018 | |
U.S. Bancorp | 51,861 | 2,107,112 | |
Veritex Holdings, Inc. | 37,625 | 732,935 | |
Webster Financial Corp. | 60,708 | 2,660,832 | |
Wells Fargo & Co. | 62,537 | 3,709,695 | |
74,848,904 | |||
Beverages – 1.3% | |||
Brown-Forman Corp., Class B | 3,240 | 155,034 | |
Coca-Cola (The) Co. | 20,330 | 1,255,784 | |
Constellation Brands, Inc., Class A | 2,639 | 668,881 |
Number of Shares | Value | ||
Beverages (Continued) | |||
Diageo PLC (United Kingdom) | 129,992 | $ 4,492,482 | |
Duckhorn Portfolio (The), Inc.(b)* | 91,002 | 770,787 | |
Keurig Dr. Pepper, Inc. | 31,543 | 1,062,999 | |
Monster Beverage Corp.* | 115,620 | 6,179,889 | |
PepsiCo, Inc. | 36,063 | 6,343,842 | |
20,929,698 | |||
Biotechnology & Pharmaceuticals – 2.9% | |||
AbbVie, Inc. | 33,431 | 5,437,218 | |
Amgen, Inc. | 3,650 | 999,881 | |
Biogen, Inc.* | 1,865 | 400,639 | |
Bristol-Myers Squibb Co. | 14,606 | 641,788 | |
Certara, Inc.* | 87,607 | 1,498,956 | |
Eli Lilly & Co. | 9,200 | 7,186,120 | |
Exelixis, Inc.* | 6,771 | 158,848 | |
Gilead Sciences, Inc. | 10,200 | 665,040 | |
Intra-Cellular Therapies, Inc.* | 19,503 | 1,400,510 | |
Johnson & Johnson | 52,210 | 7,549,044 | |
Merck & Co., Inc. | 44,041 | 5,690,978 | |
Pfizer, Inc. | 223,512 | 5,726,377 | |
Prestige Consumer Healthcare, Inc.* | 23,346 | 1,675,309 | |
Regeneron Pharmaceuticals, Inc.* | 706 | 628,806 | |
Roche Holding A.G. (Genusschein) | 3,869 | 927,067 | |
United Therapeutics Corp.* | 550 | 128,881 | |
Zoetis, Inc. | 37,240 | 5,930,098 | |
46,645,560 | |||
Cable & Satellite – 0.7% | |||
Charter Communications, Inc., Class A(b)* | 571 | 146,142 | |
Comcast Corp., Class A | 308,787 | 11,767,872 | |
Sirius XM Holdings, Inc.(b) | 33,005 | 97,035 | |
12,011,049 | |||
Chemicals – 2.1% | |||
Albemarle Corp. | 217 | 26,107 | |
Ashland Global Holdings, Inc. | 50,142 | 4,780,037 | |
Axalta Coating Systems Ltd.* | 3,367 | 105,858 | |
Balchem Corp. | 21,218 | 2,999,801 | |
CF Industries Holdings, Inc. | 1,265 | 99,897 | |
Corteva, Inc. | 38,062 | 2,060,296 | |
DuPont de Nemours, Inc. | 68,897 | 4,995,032 | |
Eastman Chemical Co. | 1,137 | 107,378 | |
Ecovyst, Inc.* | 73,657 | 694,586 |
Number of Shares | Value | ||
Chemicals (Continued) | |||
Hawkins, Inc. | 11,789 | $ 893,253 | |
Innospec, Inc. | 29,360 | 3,523,200 | |
LyondellBasell Industries N.V., Class A | 1,290 | 128,961 | |
PPG Industries, Inc. | 18,930 | 2,441,970 | |
Sherwin-Williams (The) Co. | 30,637 | 9,179,152 | |
Stepan Co. | 17,822 | 1,479,048 | |
Westlake Corp. | 648 | 95,489 | |
33,610,065 | |||
Commercial Support Services – 0.4% | |||
Casella Waste Systems, Inc., Class A* | 17,554 | 1,586,881 | |
Insperity, Inc. | 14,611 | 1,503,910 | |
Legalzoom.com, Inc.* | 118,516 | 1,416,266 | |
Robert Half, Inc. | 1,640 | 113,390 | |
Waste Management, Inc. | 6,138 | 1,276,827 | |
5,897,274 | |||
Construction Materials – 0.2% | |||
Owens Corning | 882 | 148,361 | |
Trex Co., Inc.* | 31,430 | 2,783,127 | |
2,931,488 | |||
Containers & Packaging – 0.1% | |||
AptarGroup, Inc. | 1,984 | 286,450 | |
Berry Global Group, Inc. | 2,395 | 135,653 | |
Crown Holdings, Inc. | 1,116 | 91,590 | |
Graphic Packaging Holding Co. | 6,408 | 165,647 | |
International Paper Co. | 3,300 | 115,302 | |
Packaging Corp. of America | 1,067 | 184,570 | |
Sealed Air Corp. | 2,575 | 81,061 | |
Westrock Co. | 3,069 | 147,189 | |
1,207,462 | |||
Diversified Industrials – 1.1% | |||
3M Co. | 5,011 | 483,611 | |
Dover Corp. | 1,246 | 223,408 | |
Emerson Electric Co. | 6,380 | 687,636 | |
Honeywell International, Inc. | 35,104 | 6,765,594 | |
Illinois Tool Works, Inc. | 18,527 | 4,522,626 | |
Parker-Hannifin Corp. | 9,569 | 5,214,244 | |
17,897,119 | |||
E-Commerce Discretionary – 3.0% | |||
Amazon.com, Inc.* | 275,268 | 48,171,900 | |
eBay, Inc. | 2,067 | 106,533 | |
Etsy, Inc.* | 302 | 20,738 | |
48,299,171 |
Number of Shares | Value | ||
Electric Utilities – 2.6% | |||
Ameren Corp. | 2,500 | $ 184,675 | |
American Electric Power Co., Inc. | 25,358 | 2,181,549 | |
Avista Corp. | 42,638 | 1,534,115 | |
CMS Energy Corp. | 3,618 | 219,287 | |
Consolidated Edison, Inc. | 2,764 | 260,922 | |
Dominion Energy, Inc. | 113,678 | 5,795,304 | |
DTE Energy Co. | 2,055 | 226,708 | |
Duke Energy Corp. | 77,166 | 7,582,331 | |
Evergy, Inc.(b) | 3,666 | 192,282 | |
Eversource Energy | 2,505 | 151,853 | |
Exelon Corp. | 69,935 | 2,628,157 | |
NextEra Energy, Inc. | 66,991 | 4,486,387 | |
Northwestern Energy Group, Inc. | 31,916 | 1,609,843 | |
NRG Energy, Inc. | 2,294 | 166,705 | |
OGE Energy Corp. | 6,197 | 214,726 | |
PG&E Corp. | 221,672 | 3,792,808 | |
Southern (The) Co. | 103,397 | 7,599,680 | |
Xcel Energy, Inc. | 47,669 | 2,561,255 | |
41,388,587 | |||
Electrical Equipment – 2.0% | |||
A.O. Smith Corp. | 1,370 | 113,491 | |
Allegion PLC | 1,029 | 125,085 | |
AMETEK, Inc. | 1,593 | 278,233 | |
Amphenol Corp., Class A | 7,781 | 939,711 | |
Carrier Global Corp. | 6,195 | 380,931 | |
Eaton Corp. PLC | 50,804 | 16,168,881 | |
Generac Holdings, Inc.* | 1,014 | 137,863 | |
Hubbell, Inc. | 384 | 142,280 | |
Johnson Controls International PLC | 60,451 | 3,933,547 | |
Lennox International, Inc. | 285 | 132,075 | |
Novanta, Inc.* | 15,918 | 2,491,167 | |
Otis Worldwide Corp. | 13,560 | 1,236,672 | |
Rockwell Automation, Inc. | 407 | 110,281 | |
Sensata Technologies Holding PLC | 42,648 | 1,633,845 | |
TE Connectivity Ltd. | 1,161 | 164,258 | |
Trane Technologies PLC | 13,332 | 4,230,777 | |
32,219,097 | |||
Engineering & Construction – 0.0%(a) | |||
EMCOR Group, Inc. | 742 | 265,020 | |
Entertainment Content – 0.6% | |||
Electronic Arts, Inc. | 11,841 | 1,501,676 | |
Paramount Global, Class B | 1,915 | 21,812 | |
Walt Disney (The) Co. | 68,021 | 7,557,133 | |
9,080,621 |
Number of Shares | Value | ||
Food – 1.7% | |||
BellRing Brands, Inc.* | 39,917 | $ 2,202,221 | |
Campbell Soup Co. | 4,396 | 200,941 | |
Conagra Brands, Inc. | 8,157 | 251,073 | |
General Mills, Inc. | 9,439 | 665,072 | |
Hershey (The) Co. | 3,594 | 696,949 | |
Ingredion, Inc. | 1,919 | 219,898 | |
J&J Snack Foods Corp. | 11,978 | 1,644,460 | |
J.M. Smucker (The) Co. | 1,934 | 222,120 | |
Kellanova | 4,038 | 233,639 | |
Lamb Weston Holdings, Inc. | 1,783 | 148,595 | |
Lancaster Colony Corp. | 18,384 | 3,507,851 | |
Mondelez International, Inc., Class A | 68,681 | 4,940,911 | |
Nestle S.A.(c) | 48,294 | 4,848,727 | |
Post Holdings, Inc.* | 61,608 | 6,539,689 | |
Tyson Foods, Inc., Class A | 4,336 | 262,978 | |
26,585,124 | |||
Forestry, Paper & Wood Products – 0.1% | |||
Boise Cascade Co. | 10,792 | 1,427,458 | |
Gas & Water Utilities – 0.1% | |||
American Water Works Co., Inc. | 1,282 | 156,814 | |
UGI Corp. | 70,913 | 1,812,537 | |
1,969,351 | |||
Health Care Facilities & Services – 3.6% | |||
Cardinal Health, Inc. | 2,248 | 231,634 | |
Catalent, Inc.* | 723 | 40,379 | |
Charles River Laboratories International, Inc.* | 275 | 62,975 | |
Cigna Group (The) | 34,848 | 12,442,130 | |
CVS Health Corp. | 11,828 | 800,874 | |
DaVita, Inc.* | 1,214 | 168,758 | |
Elevance Health, Inc. | 9,742 | 5,149,426 | |
Encompass Health Corp. | 2,345 | 195,526 | |
Ensign Group (The), Inc. | 24,599 | 2,911,538 | |
HCA Healthcare, Inc. | 2,038 | 631,413 | |
HealthEquity, Inc.* | 47,389 | 3,739,466 | |
Henry Schein, Inc.* | 2,345 | 162,462 | |
Humana, Inc. | 7,504 | 2,266,883 | |
ICON PLC* | 6,176 | 1,839,707 | |
Laboratory Corp. of America Holdings | 1,146 | 230,770 | |
McKesson Corp. | 17,868 | 9,598,868 | |
Medpace Holdings, Inc.* | 6,423 | 2,494,372 | |
PACS Group, Inc.* | 19,492 | 486,715 | |
Patterson Cos., Inc. | 59,646 | 1,519,184 | |
Quest Diagnostics, Inc. | 1,995 | 275,669 |
Number of Shares | Value | ||
Health Care Facilities & Services (Continued) | |||
Tenet Healthcare Corp.* | 679 | $ 76,245 | |
UnitedHealth Group, Inc. | 24,718 | 11,956,097 | |
Universal Health Services, Inc., Class B | 855 | 145,718 | |
57,426,809 | |||
Home & Office Products – 0.1% | |||
Arhaus, Inc. | 87,229 | 1,104,319 | |
Tempur Sealy International, Inc. | 1,935 | 96,866 | |
Whirlpool Corp. | 746 | 70,766 | |
1,271,951 | |||
Home Construction – 0.4% | |||
Century Communities, Inc. | 19,836 | 1,573,392 | |
DR Horton, Inc. | 973 | 138,643 | |
Fortune Brands Innovations, Inc. | 12,353 | 903,004 | |
Lennar Corp., Class A | 1,007 | 152,681 | |
Masco Corp. | 1,732 | 118,555 | |
Mohawk Industries, Inc.* | 515 | 59,390 | |
NVR, Inc.* | 391 | 2,908,590 | |
PulteGroup, Inc. | 1,319 | 146,963 | |
Toll Brothers, Inc. | 1,651 | 196,651 | |
6,197,869 | |||
Household Products – 1.1% | |||
Central Garden & Pet Co., Class A* | 22,468 | 796,041 | |
Clorox (The) Co. | 990 | 146,391 | |
Colgate-Palmolive Co. | 12,705 | 1,167,844 | |
Estee Lauder (The) Cos., Inc., Class A | 35,400 | 5,193,534 | |
Kenvue, Inc. | 192,629 | 3,625,278 | |
Kimberly-Clark Corp. | 29,873 | 4,078,561 | |
Reckitt Benckiser Group PLC (United Kingdom) | 38,590 | 2,157,451 | |
17,165,100 | |||
Industrial Intermediate Products – 0.3% | |||
AZZ, Inc. | 15,739 | 1,127,384 | |
RBC Bearings, Inc.(b)* | 14,807 | 3,621,052 | |
4,748,436 | |||
Industrial Support Services – 1.3% | |||
Fastenal Co. | 3,021 | 205,247 | |
Ferguson PLC | 9,286 | 1,949,131 | |
SiteOne Landscape Supply, Inc.* | 6,467 | 1,014,607 | |
United Rentals, Inc. | 201 | 134,266 | |
W.W. Grainger, Inc. | 11,099 | 10,226,064 |
Number of Shares | Value | ||
Industrial Support Services (Continued) | |||
Watsco, Inc. | 251 | $ 112,378 | |
WESCO International, Inc.(b) | 46,195 | 7,056,286 | |
20,697,979 | |||
Institutional Financial Services – 1.9% | |||
Bank of New York Mellon (The) Corp. | 27,039 | 1,527,433 | |
CME Group, Inc. | 4,716 | 988,662 | |
Goldman Sachs Group (The), Inc. | 5,442 | 2,322,156 | |
Intercontinental Exchange, Inc. | 29,413 | 3,787,218 | |
Moelis & Co., Class A | 53,237 | 2,612,872 | |
Morgan Stanley | 101,659 | 9,234,704 | |
Nasdaq, Inc. | 96,105 | 5,751,884 | |
Northern Trust Corp. | 14,544 | 1,198,280 | |
Perella Weinberg Partners | 50,340 | 751,073 | |
Piper Sandler Cos. | 8,036 | 1,573,368 | |
SEI Investments Co. | 3,807 | 251,072 | |
State Street Corp. | 9,617 | 697,136 | |
30,695,858 | |||
Insurance – 4.2% | |||
Allstate (The) Corp. | 20,276 | 3,448,136 | |
American International Group, Inc. | 78,704 | 5,927,198 | |
AMERISAFE, Inc. | 15,437 | 703,927 | |
Aon PLC, Class A | 28,758 | 8,110,044 | |
BRP Group, Inc., Class A* | 57,962 | 1,544,108 | |
Chubb Ltd. | 27,623 | 6,868,183 | |
Goosehead Insurance, Inc., Class A* | 18,612 | 1,059,209 | |
Hartford Financial Services Group (The), Inc. | 23,409 | 2,268,098 | |
Loews Corp. | 10,257 | 770,813 | |
Marsh & McLennan Cos., Inc. | 72,960 | 14,550,413 | |
Progressive (The) Corp. | 64,564 | 13,445,453 | |
Travelers (The) Cos., Inc. | 31,124 | 6,603,268 | |
Willis Towers Watson PLC | 9,454 | 2,374,278 | |
67,673,128 | |||
Internet Media & Services – 7.8% | |||
Alphabet, Inc., Class A* | 334,027 | 54,372,915 | |
Booking Holdings, Inc. | 108 | 372,819 | |
GoDaddy, Inc., Class A* | 10,087 | 1,234,447 | |
Meta Platforms, Inc., Class A | 100,726 | 43,329,304 | |
Netflix, Inc.* | 32,149 | 17,702,525 | |
Uber Technologies, Inc.* | 115,879 | 7,679,301 | |
VeriSign, Inc.* | 991 | 167,955 | |
124,859,266 |
Number of Shares | Value | ||
Leisure Facilities & Services – 1.1% | |||
Chipotle Mexican Grill, Inc.* | 144 | $ 454,982 | |
Chuy's Holdings, Inc.* | 24,264 | 714,817 | |
Domino's Pizza, Inc. | 304 | 160,898 | |
Marriott International, Inc., Class A | 20,939 | 4,944,326 | |
McDonald's Corp. | 4,893 | 1,335,985 | |
Papa John's International, Inc. | 24,053 | 1,483,830 | |
Red Rock Resorts, Inc., Class A | 139,947 | 7,433,985 | |
TKO Group Holdings, Inc. | 793 | 75,073 | |
Vail Resorts, Inc. | 4,288 | 812,019 | |
Wingstop, Inc. | 291 | 111,974 | |
17,527,889 | |||
Leisure Products – 0.1% | |||
Brunswick Corp. | 990 | 79,834 | |
Hasbro, Inc. | 886 | 54,312 | |
Polaris, Inc. | 1,000 | 85,160 | |
YETI Holdings, Inc.* | 27,752 | 991,301 | |
1,210,607 | |||
Machinery – 1.1% | |||
Alamo Group, Inc. | 7,890 | 1,533,658 | |
Albany International Corp., Class A | 4,583 | 365,494 | |
Caterpillar, Inc. | 2,124 | 710,627 | |
CSW Industrials, Inc. | 9,031 | 2,145,946 | |
Esab Corp. | 10,968 | 1,161,292 | |
Graco, Inc. | 1,682 | 134,896 | |
Helios Technologies, Inc. | 25,148 | 1,134,175 | |
IDEX Corp. | 924 | 203,705 | |
Kadant, Inc. | 9,490 | 2,598,267 | |
Middleby (The) Corp.(b)* | 667 | 92,693 | |
Regal Rexnord Corp. | 33,577 | 5,418,321 | |
Snap-on, Inc. | 712 | 190,788 | |
Stanley Black & Decker, Inc.(b) | 748 | 68,367 | |
Thermon Group Holdings, Inc.* | 24,749 | 790,236 | |
Veralto Corp. | 2,278 | 213,403 | |
Xylem, Inc. | 1,206 | 157,624 | |
16,919,492 | |||
Medical Equipment & Devices – 3.3% | |||
Abbott Laboratories | 34,328 | 3,637,738 | |
Alcon, Inc. (Switzerland)(b) | 68,914 | 5,346,348 | |
Align Technology, Inc.* | 92 | 25,979 | |
Avanos Medical, Inc.* | 52,139 | 942,673 | |
Baxter International, Inc. | 1,715 | 69,235 | |
Boston Scientific Corp.* | 64,129 | 4,608,951 |
Number of Shares | Value | ||
Medical Equipment & Devices (Continued) | |||
CONMED Corp. | 20,100 | $ 1,366,398 | |
Enovis Corp.(b)* | 54,683 | 3,020,142 | |
Envista Holdings Corp.* | 45,640 | 898,195 | |
Inspire Medical Systems, Inc.* | 7,043 | 1,702,012 | |
Intuitive Surgical, Inc.* | 23,015 | 8,529,819 | |
Medtronic PLC | 18,297 | 1,468,151 | |
Merit Medical Systems, Inc.* | 22,303 | 1,652,652 | |
QuidelOrtho Corp.* | 620 | 25,141 | |
Silk Road Medical, Inc.* | 31,323 | 608,919 | |
Solventum Corp.* | 1,252 | 81,393 | |
Stryker Corp. | 22,860 | 7,692,390 | |
Thermo Fisher Scientific, Inc. | 18,808 | 10,696,486 | |
Waters Corp.* | 364 | 112,491 | |
52,485,113 | |||
Metals & Mining – 0.3% | |||
Constellium S.E.* | 35,904 | 706,950 | |
Freeport-McMoRan, Inc. | 99,107 | 4,949,403 | |
5,656,353 | |||
Oil & Gas Producers – 4.8% | |||
Antero Midstream Corp. | 88,535 | 1,225,324 | |
Cheniere Energy, Inc. | 33,045 | 5,215,162 | |
Chevron Corp. | 36,325 | 5,858,133 | |
ConocoPhillips | 85,293 | 10,714,507 | |
Coterra Energy, Inc. | 123,690 | 3,384,158 | |
Diamondback Energy, Inc. | 5,603 | 1,126,931 | |
Enbridge, Inc. (Canada) | 154,680 | 5,500,008 | |
EOG Resources, Inc. | 29,346 | 3,877,487 | |
Equitrans Midstream Corp. | 210,260 | 2,844,818 | |
Kinder Morgan, Inc.(b) | 275,955 | 5,044,457 | |
Northern Oil & Gas, Inc. | 35,938 | 1,465,911 | |
ONEOK, Inc. | 69,546 | 5,502,480 | |
Pembina Pipeline Corp. (Canada) | 44,353 | 1,560,643 | |
Pioneer Natural Resources Co. | 25,388 | 6,837,496 | |
Sitio Royalties Corp., Class A(b) | 62,918 | 1,462,214 | |
SM Energy Co.(b) | 30,493 | 1,478,606 | |
Targa Resources Corp. | 23,889 | 2,724,779 | |
TC Energy Corp. (Canada) | 101,172 | 3,624,598 | |
Texas Pacific Land Corp. | 135 | 77,801 | |
Vital Energy, Inc.(b)* | 29,918 | 1,586,252 | |
Williams (The) Cos., Inc. | 133,215 | 5,110,128 | |
76,221,893 |
Number of Shares | Value | ||
Publishing & Broadcasting – 0.1% | |||
Liberty Media Corp.-Liberty Formula One, Class C* | 27,911 | $ 1,952,933 | |
Nexstar Media Group, Inc.(b) | 600 | 96,036 | |
2,048,969 | |||
Real Estate Investment Trusts – 2.8% | |||
Boston Properties, Inc. | 1,391 | 86,089 | |
Brixmor Property Group, Inc. | 7,276 | 160,800 | |
COPT Defense Properties | 68,828 | 1,649,807 | |
Crown Castle, Inc. | 3,334 | 312,662 | |
CubeSmart | 100,518 | 4,064,948 | |
Douglas Emmett, Inc. | 52,905 | 725,328 | |
Equinix, Inc. | 9,629 | 6,847,278 | |
Extra Space Storage, Inc. | 11,489 | 1,542,743 | |
Four Corners Property Trust, Inc. | 67,046 | 1,572,229 | |
Kimco Realty Corp. | 6,749 | 125,734 | |
Mid-America Apartment Communities, Inc. | 22,599 | 2,937,870 | |
National Storage Affiliates Trust | 74,797 | 2,620,887 | |
NNN REIT, Inc. | 6,676 | 270,578 | |
Plymouth Industrial REIT, Inc. | 75,272 | 1,571,679 | |
PotlatchDeltic Corp. | 38,023 | 1,521,300 | |
Prologis, Inc. | 51,534 | 5,259,045 | |
Public Storage | 5,813 | 1,508,183 | |
Rayonier, Inc. | 56,820 | 1,685,281 | |
Ryman Hospitality Properties, Inc. | 25,638 | 2,704,296 | |
SBA Communications Corp. | 10,286 | 1,914,430 | |
Simon Property Group, Inc. | 1,143 | 160,626 | |
Sunstone Hotel Investors, Inc. | 73,412 | 748,802 | |
UDR, Inc. | 65,357 | 2,488,795 | |
Urban Edge Properties | 96,952 | 1,622,007 | |
44,101,397 | |||
Real Estate Services – 0.1% | |||
Jones Lang LaSalle, Inc.* | 8,498 | 1,535,589 | |
Renewable Energy – 0.0%(a) | |||
Enphase Energy, Inc.* | 162 | 17,619 | |
SolarEdge Technologies, Inc.* | 97 | 5,689 | |
23,308 | |||
Retail - Consumer Staples – 1.1% | |||
Dollar General Corp. | 2,494 | 347,140 | |
Five Below, Inc.* | 14,968 | 2,190,417 | |
Kroger (The) Co. | 4,796 | 265,603 |
Number of Shares | Value | ||
Retail - Consumer Staples (Continued) | |||
Ollie's Bargain Outlet Holdings, Inc.* | 20,916 | $ 1,529,796 | |
Target Corp. | 77,957 | 12,549,518 | |
16,882,474 | |||
Retail - Discretionary – 1.7% | |||
Academy Sports & Outdoors, Inc. | 26,635 | 1,552,820 | |
Advance Auto Parts, Inc. | 820 | 59,844 | |
AutoNation, Inc.* | 527 | 84,926 | |
AutoZone, Inc.* | 303 | 895,789 | |
Avis Budget Group, Inc. | 257 | 24,531 | |
Bath & Body Works, Inc. | 943 | 42,831 | |
Best Buy Co., Inc. | 1,072 | 78,942 | |
Boot Barn Holdings, Inc.(b)* | 13,380 | 1,424,569 | |
Builders FirstSource, Inc.* | 543 | 99,271 | |
CarMax, Inc.* | 21,487 | 1,460,471 | |
Dick's Sporting Goods, Inc. | 389 | 78,166 | |
Floor & Decor Holdings, Inc., Class A(b)* | 15,183 | 1,675,140 | |
Freshpet, Inc.* | 16,662 | 1,767,338 | |
GMS, Inc.* | 16,399 | 1,517,236 | |
Lithia Motors, Inc. | 242 | 61,560 | |
Lowe's Cos., Inc. | 36,895 | 8,411,691 | |
Lululemon Athletica, Inc.* | 511 | 184,267 | |
Mister Car Wash, Inc.(b)* | 139,305 | 931,950 | |
O'Reilly Automotive, Inc.* | 893 | 904,841 | |
Sonic Automotive, Inc. Class A | 16,293 | 942,387 | |
Tractor Suppy Co. | 731 | 199,622 | |
Ulta Beauty, Inc.* | 467 | 189,060 | |
Valvoline, Inc.* | 87,039 | 3,700,898 | |
Williams-Sonoma, Inc.(b) | 463 | 132,779 | |
26,420,929 | |||
Semiconductors – 4.7% | |||
Advanced Micro Devices, Inc.* | 1,396 | 221,099 | |
Analog Devices, Inc. | 38,511 | 7,725,692 | |
Applied Materials, Inc. | 1,588 | 315,456 | |
ASML Holding N.V. (Netherlands)(c) | 8,520 | 7,433,444 | |
Intel Corp. | 7,138 | 217,495 | |
KLA Corp. | 9,018 | 6,216,017 | |
Lam Research Corp. | 278 | 248,646 | |
Nova Ltd. (Israel)(b)* | 13,995 | 2,377,751 | |
NVIDIA Corp. | 43,871 | 37,905,421 | |
NXP Semiconductors N.V. (China) | 24,494 | 6,275,118 | |
QUALCOMM, Inc. | 2,051 | 340,158 | |
Skyworks Solutions, Inc. | 672 | 71,629 |
Number of Shares | Value | ||
Semiconductors (Continued) | |||
Teradyne, Inc.(b) | 757 | $ 88,054 | |
Texas Instruments, Inc. | 34,714 | 6,124,244 | |
75,560,224 | |||
Software – 7.4% | |||
Adobe, Inc.* | 15,106 | 6,991,510 | |
Akamai Technologies, Inc.* | 1,448 | 146,147 | |
Atlassian Corp., Class A* | 23,780 | 4,097,294 | |
Check Point Software Technologies Ltd. (Israel)* | 9,225 | 1,378,399 | |
Clearwater Analytics Holdings, Inc., Class A* | 144,112 | 2,274,087 | |
CyberArk Software Ltd.* | 6,314 | 1,510,624 | |
Five9, Inc.(b)* | 19,676 | 1,132,747 | |
Guidewire Software, Inc.* | 34,535 | 3,812,664 | |
Intuit, Inc. | 9,200 | 5,755,704 | |
Microsoft Corp. | 141,681 | 55,160,664 | |
Palo Alto Networks, Inc.* | 29,777 | 8,661,832 | |
Paylocity Holding Corp.* | 17,460 | 2,709,094 | |
PowerSchool Holdings, Inc., Class A(b)* | 64,184 | 1,111,667 | |
Q2 Holdings, Inc.* | 35,886 | 1,844,182 | |
Roper Technologies, Inc. | 1,544 | 789,694 | |
Salesforce, Inc. | 32,278 | 8,680,845 | |
SS&C Technologies Holdings, Inc. | 58,088 | 3,595,066 | |
Verra Mobility Corp.* | 65,221 | 1,537,911 | |
Workday, Inc., Class A* | 27,360 | 6,695,813 | |
Zoom Video Communications, Inc., Class A* | 565 | 34,522 | |
117,920,466 | |||
Specialty Finance – 0.9% | |||
American Express Co. | 36,204 | 8,472,822 | |
Capital One Financial Corp. | 12,117 | 1,737,941 | |
Credit Acceptance Corp.* | 87 | 44,694 | |
Mr. Cooper Group, Inc.* | 44,013 | 3,397,804 | |
Synchrony Financial | 2,153 | 94,689 | |
13,747,950 | |||
Steel – 0.0%(a) | |||
Cleveland-Cliffs, Inc.* | 2,461 | 41,591 | |
Nucor Corp. | 445 | 74,996 | |
116,587 | |||
Technology Hardware – 2.9% | |||
Apple, Inc. | 210,795 | 35,904,712 | |
Arista Networks, Inc.* | 1,882 | 482,846 | |
Arrow Electronics, Inc.* | 9,863 | 1,259,209 | |
Ciena Corp.* | 55,662 | 2,573,254 | |
Cisco Systems, Inc. | 15,241 | 716,022 | |
F5, Inc.* | 914 | 151,093 |
Number of Shares | Value | ||
Technology Hardware (Continued) | |||
Fabrinet (Thailand)* | 11,365 | $ 1,966,941 | |
Garmin Ltd. | 1,633 | 235,919 | |
Hewlett Packard Enterprise Co. | 9,009 | 153,153 | |
HP, Inc. | 3,972 | 111,573 | |
Juniper Networks, Inc. | 5,908 | 205,717 | |
NetApp, Inc. | 1,853 | 189,395 | |
Seagate Technology Holdings PLC | 1,057 | 90,807 | |
TD SYNNEX Corp. | 1,509 | 177,821 | |
Viavi Solutions, Inc.* | 183,374 | 1,448,655 | |
45,667,117 | |||
Technology Services – 3.4% | |||
Accenture PLC, Class A | 22,836 | 6,871,581 | |
Amdocs Ltd. | 3,126 | 262,553 | |
Automatic Data Processing, Inc. | 2,720 | 657,941 | |
Booz Allen Hamilton Holding Corp. | 2,432 | 359,134 | |
CDW Corp. | 655 | 158,418 | |
Cognizant Technology Solutions Corp., Class A | 1,433 | 94,119 | |
Corpay, Inc.* | 400 | 120,856 | |
Equifax, Inc. | 13,731 | 3,023,429 | |
FactSet Research Systems, Inc. | 399 | 166,339 | |
Fidelity National Information Services, Inc. | 29,051 | 1,973,144 | |
Globant S.A.* | 13,997 | 2,499,724 | |
ICF International, Inc. | 8,324 | 1,201,070 | |
Jack Henry & Associates, Inc. | 633 | 102,983 | |
MarketAxess Holdings, Inc. | 10,133 | 2,027,512 | |
Mastercard, Inc., Class A | 1,951 | 880,291 | |
Moody's Corp. | 930 | 344,407 | |
Open Lending Corp.* | 110,854 | 565,355 | |
Paychex, Inc. | 1,413 | 167,879 | |
PayPal Holdings, Inc.* | 96,209 | 6,534,515 | |
S&P Global, Inc. | 15,728 | 6,540,174 | |
Shift4 Payments, Inc., Class A(b)* | 35,473 | 2,052,468 | |
Verisk Analytics, Inc. | 716 | 156,059 | |
Visa, Inc., Class A(b) | 67,448 | 18,117,207 | |
54,877,158 | |||
Telecommunications – 0.7% | |||
AT&T, Inc. | 28,393 | 479,558 | |
Cogent Communications Holdings, Inc. | 12,384 | 794,805 |
Number of Shares | Value | ||
Telecommunications (Continued) | |||
T-Mobile U.S., Inc. | 16,593 | $ 2,724,073 | |
Verizon Communications, Inc. | 191,403 | 7,558,504 | |
11,556,940 | |||
Tobacco & Cannabis – 0.1% | |||
Altria Group, Inc. | 22,595 | 989,887 | |
Transportation & Logistics – 1.7% | |||
Alaska Air Group, Inc.* | 39,255 | 1,688,750 | |
Allegiant Travel Co. | 18,746 | 1,022,782 | |
ArcBest Corp. | 12,269 | 1,360,755 | |
C.H. Robinson Worldwide, Inc. | 1,081 | 76,751 | |
Canadian National Railway Co. (Canada)(b) | 17,346 | 2,106,498 | |
CSX Corp. | 16,007 | 531,752 | |
Expeditors International of Washington, Inc. | 936 | 104,186 | |
FedEx Corp. | 1,546 | 404,712 | |
JB Hunt Transport Services, Inc. | 579 | 94,128 | |
Knight-Swift Transportation Holdings, Inc. | 1,507 | 69,669 | |
Landstar System, Inc. | 895 | 156,097 | |
Norfolk Southern Corp. | 2,290 | 527,433 | |
Old Dominion Freight Line, Inc. | 1,460 | 265,297 | |
Saia, Inc.* | 3,617 | 1,435,334 | |
Union Pacific Corp. | 59,332 | 14,071,177 | |
United Parcel Service, Inc., Class B | 26,984 | 3,979,600 | |
27,894,921 | |||
Transportation Equipment – 0.3% | |||
Blue Bird Corp.* | 47,541 | 1,566,714 | |
Cummins, Inc. | 817 | 230,794 | |
PACCAR, Inc. | 32,830 | 3,483,591 | |
5,281,099 | |||
Wholesale - Consumer Staples – 0.1% | |||
Sysco Corp. | 19,966 | 1,483,873 | |
Wholesale - Discretionary – 0.2% | |||
Pool Corp. | 7,845 | 2,844,048 | |
Total Common Stocks (Cost $1,100,643,937) | 1,402,198,640 | ||
Master Limited Partnerships – 0.9% | |||
Oil & Gas Producers – 0.9% | |||
Energy Transfer L.P. | 250,633 | 3,942,457 |
Number of Shares | Value | ||
Oil & Gas Producers (Continued) | |||
Enterprise Products Partners L.P. | 196,313 | $ 5,512,469 | |
MPLX L.P. | 49,876 | 2,084,817 | |
Plains All American Pipeline L.P. | 134,090 | 2,310,371 | |
Total Master Limited Partnerships (Cost $10,707,401) | 13,850,114 | ||
Investment Companies – 9.7% | |||
Utilities Select Sector SPDR® Fund ETF(b) | 242,732 | 16,199,934 | |
Vanguard Consumer Staples ETF | 374,724 | 75,244,579 | |
Vanguard Health Care ETF(b) | 245,136 | 62,764,621 | |
Total Investment Companies (Cost $145,901,480) | 154,209,134 |
Par (d)/Number of Shares | |||
Short-Term Investments – 2.6% | |||
Money Market Funds – 2.5% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 5.14%(e) | 27,025,763 | 27,025,763 | |
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 5.37%(e)(f) | 12,764,842 | 12,764,842 | |
39,790,605 | |||
U.S. Government Agencies – 0.1%(g) | |||
Federal Home Loan Bank Discount Notes, 0.00%, 5/1/24(h) | $ 1,963,000 | 1,962,712 | |
Total Short-Term Investments (Cost $41,753,605) | 41,753,317 | ||
Total Investments – 101.1% (Cost $1,299,006,423) | 1,612,011,205 | ||
Liabilities less Other Assets – (1.1)% | (17,050,653) | ||
NET ASSETS – 100.0% | $1,594,960,552 |
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 April 30, 2024 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 |
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 | $1,389,772,913 | $12,425,727 | $— | $1,402,198,640 |
Master Limited Partnerships | 13,850,114 | — | — | 13,850,114 |
Investment Companies | 154,209,134 | — | — | 154,209,134 |
Short-Term Investments | 39,790,605 | 1,962,712 | — | 41,753,317 |
Total Investments | $1,597,622,766 | $14,388,439 | $— | $1,612,011,205 |
Number of Shares | Value | ||
Common Stocks – 95.4% | |||
Advertising & Marketing – 0.8% | |||
Dentsu Group, Inc. (Japan) | 14,394 | $ 389,403 | |
Publicis Groupe S.A. (France) | 14,378 | 1,586,566 | |
WPP PLC (United Kingdom) | 434,446 | 4,354,524 | |
6,330,493 | |||
Aerospace & Defense – 0.3% | |||
Airbus S.E. (France) | 5,600 | 921,524 | |
BAE Systems PLC (United Kingdom) | 61,281 | 1,019,239 | |
Rolls-Royce Holdings PLC (United Kingdom)* | 82,025 | 420,626 | |
2,361,389 | |||
Apparel & Textile Products – 1.5% | |||
adidas A.G. (Germany) | 11,982 | 2,887,460 | |
Cie Financiere Richemont S.A., Class A (Switzerland)(a) | 10,224 | 1,413,233 | |
Kering S.A. (France) | 15,110 | 5,295,589 | |
Swatch Group (The) A.G. (Bearer) (Switzerland) | 10,713 | 2,250,922 | |
Titan Co. Ltd. (India) | 7,607 | 326,396 | |
12,173,600 | |||
Asset Management – 1.3% | |||
3i Group PLC (United Kingdom) | 7,026 | 251,021 | |
EXOR N.V. (Netherlands) | 30,951 | 3,379,091 | |
HDFC Asset Management Co. Ltd. (India)(b) | 12,472 | 581,432 | |
Sanlam Ltd. (South Africa) | 324,427 | 1,173,576 | |
Schroders PLC (United Kingdom) | 803,424 | 3,522,278 | |
St. James's Place PLC (United Kingdom) | 24,181 | 130,851 | |
XP, Inc., Class A (Brazil) | 85,929 | 1,758,967 | |
10,797,216 | |||
Automotive – 4.0% | |||
Bayerische Motoren Werke A.G. (Germany) | 39,355 | 4,287,701 | |
Bridgestone Corp. (Japan) | 37,800 | 1,668,001 | |
Continental A.G. (Germany) | 76,675 | 4,969,403 | |
Denso Corp. (Japan) | 41,600 | 708,994 | |
Fuyao Glass Industry Group Co. Ltd., Class A (China) | 169,200 | 1,161,364 | |
Honda Motor Co. Ltd. (Japan) | 204,400 | 2,325,578 |
Number of Shares | Value | ||
Automotive (Continued) | |||
Huayu Automotive Systems Co. Ltd., Class A (China) | 336,000 | $ 761,583 | |
Hyundai Mobis Co. Ltd. (South Korea) | 8,657 | 1,416,279 | |
Kia Corp. (South Korea) | 6,789 | 575,182 | |
Li Auto, Inc. ADR (China)(c)* | 15,454 | 406,131 | |
Mercedes-Benz Group A.G. (Germany) | 74,890 | 5,664,745 | |
Nissan Motor Co. Ltd. (Japan) | 184,976 | 676,957 | |
Stanley Electric Co. Ltd. (Japan) | 46,800 | 828,219 | |
Sumitomo Electric Industries Ltd. (Japan) | 26,900 | 415,775 | |
Toyota Motor Corp. (Japan) | 216,700 | 4,942,623 | |
Valeo S.E. (France) | 120,938 | 1,532,708 | |
32,341,243 | |||
Banking – 11.6% | |||
Al Rajhi Bank (Saudi Arabia) | 22,408 | 476,602 | |
Axis Bank Ltd. (India) | 225,191 | 3,143,238 | |
Banco Bilbao Vizcaya Argentaria S.A. (Spain) | 558,852 | 6,043,409 | |
Banco do Brasil S.A. (Brazil) | 364,700 | 1,930,748 | |
Bank Central Asia Tbk PT (Indonesia) | 1,976,600 | 1,188,499 | |
Bank for Foreign Trade of Vietnam JSC (Vietnam)* | 158,200 | 568,347 | |
Bank Mandiri Persero Tbk PT (Indonesia) | 5,024,600 | 2,123,784 | |
Barclays PLC (United Kingdom) | 290,611 | 732,716 | |
BDO Unibank, Inc. (Philippines) | 267,234 | 685,565 | |
BNP Paribas S.A. (France) | 118,598 | 8,534,533 | |
Capitec Bank Holdings Ltd. (South Africa) | 1,812 | 224,258 | |
China Construction Bank Corp., Class H (China) | 3,770,000 | 2,439,156 | |
China Merchants Bank Co. Ltd., Class H (China) | 266,613 | 1,154,663 | |
Commercial International Bank - Egypt (CIB) GDR (Egypt)(a) | 379,340 | 562,182 | |
Credicorp Ltd. (Peru) | 21,991 | 3,641,929 | |
DBS Group Holdings Ltd. (Singapore) | 283,087 | 7,206,666 | |
First Abu Dhabi Bank PJSC (United Arab Emirates) | 108,439 | 368,461 |
Number of Shares | Value | ||
Banking (Continued) | |||
Grupo Financiero Banorte S.A.B. de C.V., Class O (Mexico) | 159,412 | $ 1,581,208 | |
HDFC Bank Ltd. (India) | 67,376 | 1,223,588 | |
HDFC Bank Ltd. ADR (India) | 60,180 | 3,466,368 | |
HSBC Holdings PLC (United Kingdom) | 348,521 | 3,020,964 | |
ICICI Bank Ltd. (India) | 94,668 | 1,304,426 | |
ICICI Bank Ltd. ADR (India) | 114,807 | 3,160,637 | |
Intesa Sanpaolo S.p.A. (Italy) | 1,408,839 | 5,273,290 | |
Kasikornbank PCL (Thailand)(a) | 199,400 | 702,151 | |
KB Financial Group, Inc. (South Korea) | 28,940 | 1,569,617 | |
Kotak Mahindra Bank Ltd. (India) | 47,540 | 923,959 | |
Lloyds Banking Group PLC (United Kingdom) | 13,055,982 | 8,426,115 | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | 119,200 | 1,187,394 | |
Mizuho Financial Group, Inc. (Japan) | 21,800 | 421,375 | |
National Bank of Greece S.A. (Greece)* | 116,251 | 937,917 | |
NatWest Group PLC (United Kingdom) | 146,191 | 551,781 | |
Nedbank Group Ltd. (South Africa) | 109,118 | 1,326,784 | |
OTP Bank Nyrt. (Hungary) | 53,625 | 2,657,959 | |
Qatar National Bank QPSC (Qatar) | 201,676 | 767,838 | |
Resona Holdings, Inc. (Japan) | 73,000 | 461,634 | |
Saudi Awwal Bank (Saudi Arabia) | 35,647 | 386,838 | |
Saudi National Bank (The) (Saudi Arabia) | 118,711 | 1,188,352 | |
Sberbank of Russia PJSC (Russia)(d) | 405,212 | — | |
Shinhan Financial Group Co. Ltd. (South Korea) | 41,995 | 1,410,919 | |
Skandinaviska Enskilda Banken AB, Class A (Sweden) | 451,166 | 5,908,663 | |
Standard Bank Group Ltd. (South Africa) | 115,680 | 1,086,324 | |
Standard Chartered PLC (United Kingdom) | 62,271 | 535,004 | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | 36,300 | 2,061,978 | |
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 59,600 | 1,253,080 | |
93,820,919 |
Number of Shares | Value | ||
Beverages – 2.4% | |||
Ambev S.A. ADR (Brazil)* | 890,016 | $ 2,064,837 | |
Anheuser-Busch InBev S.A./N.V. (Belgium) | 41,800 | 2,498,545 | |
Asahi Group Holdings Ltd. (Japan) | 10,500 | 359,194 | |
Becle S.A.B. de C.V. (Mexico) | 176,600 | 358,751 | |
Budweiser Brewing Co. APAC Ltd. (China)(b) | 273,800 | 380,908 | |
Diageo PLC (United Kingdom) | 48,488 | 1,675,730 | |
Eastroc Beverage Group Co. Ltd., Class A (China) | 1,300 | 38,216 | |
Eastroc Beverage Group Co. Ltd., Class A (Shanghai Stock Exchange) (China) | 4,600 | 135,000 | |
Fomento Economico Mexicano S.A.B. de C.V. ADR (Mexico) | 51,440 | 6,052,430 | |
Kirin Holdings Co. Ltd. (Japan) | 78,000 | 1,138,613 | |
Kweichow Moutai Co. Ltd., Class A (China) | 1,600 | 374,494 | |
Nongfu Spring Co. Ltd., Class H (China)(b) | 75,400 | 442,969 | |
Tingyi Cayman Islands Holding Corp. (China) | 1,002,000 | 1,105,905 | |
Wuliangye Yibin Co. Ltd., Class A (China) | 118,000 | 2,436,138 | |
19,061,730 | |||
Biotechnology & Pharmaceuticals – 5.0% | |||
Astellas Pharma, Inc. (Japan) | 61,400 | 589,311 | |
AstraZeneca PLC (United Kingdom) | 29,881 | 4,519,470 | |
Bayer A.G. (Germany)(a) | 244,030 | 7,118,519 | |
BioNTech S.E. ADR (Germany)* | 30,095 | 2,673,038 | |
China Medical System Holdings Ltd. (China) | 698,000 | 623,209 | |
Chugai Pharmaceutical Co. Ltd. (Japan) | 195,100 | 6,204,935 | |
Daiichi Sankyo Co. Ltd. (Japan) | 35,900 | 1,208,312 | |
Genmab A/S (Denmark)* | 9,271 | 2,573,909 | |
GSK PLC | 84,608 | 1,755,355 | |
Hypera S.A. (Brazil)* | 58,340 | 332,450 | |
Novartis A.G. (Switzerland)(a) | 20,700 | 2,009,091 | |
Ono Pharmaceutical Co. Ltd. (Japan) | 22,500 | 324,076 |
Number of Shares | Value | ||
Biotechnology & Pharmaceuticals (Continued) | |||
Roche Holding A.G. (Genusschein) | 27,579 | $ 6,608,321 | |
Shionogi & Co. Ltd. (Japan) | 55,300 | 2,582,553 | |
Takeda Pharmaceutical Co. Ltd. (Japan) | 49,000 | 1,287,822 | |
40,410,371 | |||
Cable & Satellite – 0.2% | |||
Liberty Global Ltd., Class A (Belgium)* | 111,499 | 1,772,277 | |
Chemicals – 2.7% | |||
Air Liquide S.A. (France) | 14,847 | 2,903,756 | |
Akzo Nobel N.V. (Netherlands) | 35,500 | 2,342,359 | |
Asian Paints Ltd. (India) | 16,493 | 567,325 | |
Brenntag S.E. (Germany) | 28,900 | 2,306,319 | |
LG Chem Ltd. (South Korea) | 2,251 | 646,821 | |
Linde PLC | 8,756 | 3,861,046 | |
Nitto Denko Corp. (Japan) | 8,700 | 719,365 | |
Novonesis (Novozymes), Class B (Denmark) | 33,924 | 1,878,601 | |
Saudi Basic Industries Corp. (Saudi Arabia) | 27,182 | 612,419 | |
Shin-Etsu Chemical Co. Ltd. (Japan) | 44,700 | 1,730,290 | |
Symrise A.G. (Germany) | 26,475 | 2,837,898 | |
Toray Industries, Inc. (Japan) | 91,000 | 415,936 | |
UPL Ltd. (India) | 146,996 | 892,122 | |
21,714,257 | |||
Commercial Support Services – 1.8% | |||
Bidvest Group (The) Ltd. (South Africa) | 84,902 | 1,110,780 | |
Brambles Ltd. (Australia) | 89,900 | 845,748 | |
Compass Group PLC (United Kingdom) | 82,461 | 2,293,548 | |
Edenred S.E. (France) | 66,900 | 3,174,530 | |
Eurofins Scientific S.E. (France) | 48,735 | 2,986,907 | |
Recruit Holdings Co. Ltd. (Japan) | 77,300 | 3,329,107 | |
Rentokil Initial PLC (United Kingdom) | 61,592 | 310,915 | |
Secom Co. Ltd. (Japan) | 11,000 | 764,088 | |
14,815,623 | |||
Construction Materials – 0.4% | |||
Anhui Conch Cement Co. Ltd., Class H (China) | 411,000 | 953,547 |
Number of Shares | Value | ||
Construction Materials (Continued) | |||
CRH PLC | 6,654 | $ 515,291 | |
Holcim A.G.* | 24,715 | 2,068,838 | |
3,537,676 | |||
Consumer Services – 0.1% | |||
New Oriental Education & Technology Group, Inc. ADR (China)* | 9,400 | 724,740 | |
Containers & Packaging – 0.2% | |||
Klabin S.A. (Brazil) | 97,809 | 433,233 | |
Smurfit Kappa Group PLC (Ireland)(c) | 22,000 | 953,251 | |
1,386,484 | |||
Diversified Industrials – 1.1% | |||
Alfa Laval AB (Sweden) | 106,437 | 4,531,529 | |
Hitachi Ltd. (Japan) | 13,300 | 1,227,067 | |
Siemens A.G. (Germany)(a) | 17,057 | 3,195,349 | |
8,953,945 | |||
E-Commerce Discretionary – 2.7% | |||
Alibaba Group Holding Ltd. (China) | 1,036,200 | 9,702,008 | |
Alibaba Group Holding Ltd. ADR (China) | 30,820 | 2,306,877 | |
JD.com, Inc. ADR (China) | 40,927 | 1,182,381 | |
JD.com, Inc., Class A (China) | 193,650 | 2,790,181 | |
MercadoLibre, Inc. (Brazil)* | 2,401 | 3,502,339 | |
PDD Holdings, Inc. ADR (China)* | 20,368 | 2,549,666 | |
22,033,452 | |||
Electric Utilities – 0.3% | |||
Chubu Electric Power Co., Inc. (Japan) | 31,681 | 406,656 | |
Engie Brasil Energia S.A. (Brazil) | 79,100 | 624,409 | |
National Grid PLC (United Kingdom) | 64,599 | 847,356 | |
SSE PLC (United Kingdom) | 17,453 | 362,785 | |
2,241,206 | |||
Electrical Equipment – 1.6% | |||
Assa Abloy AB, Class B (Sweden) | 98,915 | 2,613,475 | |
Daikin Industries Ltd. (Japan) | 6,900 | 941,790 | |
Mitsubishi Electric Corp. (Japan) | 95,100 | 1,657,586 | |
Schindler Holding A.G. (Switzerland) | 4,430 | 1,104,206 |
Number of Shares | Value | ||
Electrical Equipment (Continued) | |||
Schneider Electric S.E. | 27,116 | $ 6,182,809 | |
Voltas Ltd. (India) | 39,505 | 696,719 | |
13,196,585 | |||
Engineering & Construction – 0.3% | |||
Indus Towers Ltd. (India)* | 486,623 | 2,059,520 | |
Larsen & Toubro Ltd. (India) | 9,077 | 390,183 | |
2,449,703 | |||
Entertainment Content – 0.4% | |||
NetEase, Inc. (China) | 74,700 | 1,400,225 | |
NetEase, Inc. ADR (China) | 14,576 | 1,362,419 | |
Nexon Co. Ltd. (Japan) | 22,300 | 347,687 | |
Square Enix Holdings Co. Ltd. (Japan) | 8,300 | 300,021 | |
3,410,352 | |||
Food – 1.0% | |||
Chacha Food Co. Ltd., Class A (China) | 49,400 | 254,676 | |
Danone S.A. (France) | 42,900 | 2,684,996 | |
Gruma S.A.B. de C.V., Class B (Mexico) | 33,783 | 662,635 | |
MEIJI Holdings Co. Ltd. (Japan) | 40,900 | 915,112 | |
Nestle S.A. ADR | 23,880 | 2,402,328 | |
Want Want China Holdings Ltd. (China) | 1,030,000 | 588,556 | |
Yamazaki Baking Co. Ltd. (Japan) | 17,000 | 411,458 | |
7,919,761 | |||
Gas & Water Utilities – 0.4% | |||
ENN Energy Holdings Ltd. (China) | 204,800 | 1,744,976 | |
ENN Natural Gas Co. Ltd., Class A (China) | 253,776 | 631,184 | |
Osaka Gas Co. Ltd. (Japan) | 19,800 | 440,271 | |
Severn Trent PLC (United Kingdom) | 8,494 | 261,821 | |
3,078,252 | |||
Health Care Facilities & Services – 1.8% | |||
Alfresa Holdings Corp. (Japan) | 24,000 | 355,668 | |
Bangkok Dusit Medical Services PCL NVDR (Thailand) | 502,600 | 392,471 | |
Bumrungrad Hospital PCL (Thailand)(a) | 60,300 | 398,637 | |
Fresenius Medical Care A.G. (Germany) | 146,151 | 6,153,354 | |
Fresenius S.E. & Co. KGaA (Germany) | 167,200 | 4,989,311 |
Number of Shares | Value | ||
Health Care Facilities & Services (Continued) | |||
Life Healthcare Group Holdings Ltd. (South Africa) | 957,034 | $ 547,131 | |
Sinopharm Group Co. Ltd., Class H (China) | 569,523 | 1,438,252 | |
14,274,824 | |||
Home & Office Products – 0.8% | |||
Coway Co. Ltd. (South Korea) | 16,737 | 670,592 | |
Gree Electric Appliances, Inc. of Zhuhai, Class A (China) | 230,700 | 1,336,099 | |
Haier Smart Home Co. Ltd., Class A (China) | 862,300 | 3,581,212 | |
Midea Group Co. Ltd., Class A (China) | 121,100 | 1,162,688 | |
6,750,591 | |||
Home Construction – 0.1% | |||
Berkeley Group Holdings (The) PLC (United Kingdom) | 8,867 | 520,720 | |
Sekisui House Ltd. (Japan) | 18,169 | 417,530 | |
938,250 | |||
Household Products – 3.5% | |||
Haleon PLC | 1,377,232 | 5,816,523 | |
Hengan International Group Co. Ltd. (China) | 283,000 | 950,079 | |
Henkel A.G. & Co. KGaA (Germany) | 30,300 | 2,178,828 | |
Hindustan Unilever Ltd. (India) | 20,363 | 543,837 | |
Kao Corp. (Japan) | 34,700 | 1,431,452 | |
Kimberly-Clark de Mexico S.A.B. de C.V., Series A (Mexico) | 441,907 | 922,470 | |
L'Oreal S.A. (France) | 12,577 | 5,896,767 | |
Reckitt Benckiser Group PLC (United Kingdom) | 75,366 | 4,213,487 | |
Unicharm Corp. (Japan) | 81,100 | 2,409,737 | |
Unilever PLC (United Kingdom) | 53,063 | 2,744,992 | |
Unilever PLC (London Exchange) (United Kingdom)(c) | 22,908 | 1,184,989 | |
28,293,161 | |||
Industrial Intermediate Products – 0.4% | |||
SKF AB, Class B (Sweden) | 137,500 | 2,826,734 | |
Industrial Support Services – 0.4% | |||
Ashtead Group PLC (United Kingdom) | 43,934 | 3,190,131 |
Number of Shares | Value | ||
Institutional Financial Services – 0.3% | |||
B3 S.A. - Brasil Bolsa Balcao (Brazil) | 378,521 | $ 783,635 | |
Daiwa Securities Group, Inc. (Japan) | 54,700 | 401,994 | |
Japan Exchange Group, Inc. (Japan) | 15,500 | 363,018 | |
London Stock Exchange Group PLC (United Kingdom) | 8,393 | 925,245 | |
Moscow Exchange MICEX PJSC (Russia)(d) | 83,130 | — | |
2,473,892 | |||
Insurance – 4.5% | |||
AIA Group Ltd. (Hong Kong) | 461,800 | 3,382,389 | |
Allianz S.E. (Germany)(a) | 39,771 | 11,286,410 | |
Aviva PLC (United Kingdom) | 53,582 | 311,105 | |
BB Seguridade Participacoes S.A. (Brazil) | 303,800 | 1,883,904 | |
Dai-ichi Life Holdings, Inc. (Japan) | 28,600 | 662,406 | |
HDFC Life Insurance Co. Ltd. (India)(b) | 117,771 | 822,047 | |
Legal & General Group PLC (United Kingdom) | 94,894 | 278,561 | |
Manulife Financial Corp. (Canada) | 280,100 | 6,533,259 | |
MS&AD Insurance Group Holdings, Inc. (Japan) | 54,600 | 981,656 | |
Ping An Insurance Group Co. of China Ltd., Class H (China) | 532,000 | 2,411,068 | |
Prudential PLC (Hong Kong) | 787,179 | 6,846,372 | |
Sompo Holdings, Inc. (Japan) | 20,700 | 409,656 | |
Tokio Marine Holdings, Inc. (Japan) | 30,400 | 960,834 | |
36,769,667 | |||
Internet Media & Services – 4.5% | |||
Baidu, Inc., Class A (China)* | 195,500 | 2,532,817 | |
Meituan, Class B (China)(b)* | 315,990 | 4,314,695 | |
NAVER Corp. (South Korea) | 26,615 | 3,510,507 | |
Prosus N.V. (China)* | 206,201 | 6,899,476 | |
Tencent Holdings Ltd. (China) | 306,500 | 13,450,201 | |
Tencent Music Entertainment Group ADR (China)* | 159,435 | 2,000,909 |
Number of Shares | Value | ||
Internet Media & Services (Continued) | |||
Trip.com Group Ltd. (China)* | 44,750 | $ 2,179,654 | |
Trip.com Group Ltd. ADR (China)* | 35,958 | 1,735,333 | |
36,623,592 | |||
Leisure Facilities & Services – 1.2% | |||
Accor S.A. (France) | 75,619 | 3,314,055 | |
Arcos Dorados Holdings, Inc., Class A (Brazil)(c) | 22,566 | 243,262 | |
Entain PLC (United Kingdom) | 20,529 | 200,285 | |
Flutter Entertainment PLC - CDI (United Kingdom)* | 1,011 | 187,297 | |
InterContinental Hotels Group PLC (United Kingdom) | 6,376 | 621,877 | |
Jiumaojiu International Holdings Ltd. (China)(b) | 459,000 | 288,279 | |
Jollibee Foods Corp. (Philippines) | 122,860 | 499,556 | |
Las Vegas Sands Corp. | 32,087 | 1,423,379 | |
OPAP S.A. (Greece) | 35,925 | 598,474 | |
Yum China Holdings, Inc. (China) | 63,477 | 2,317,509 | |
9,693,973 | |||
Leisure Products – 0.3% | |||
Shimano, Inc. (Japan) | 16,900 | 2,746,470 | |
Machinery – 4.6% | |||
Atlas Copco AB, Class A (Sweden) | 270,026 | 4,729,799 | |
CNH Industrial N.V. | 597,366 | 6,809,972 | |
Daifuku Co. Ltd. (Japan) | 106,400 | 2,179,477 | |
Doosan Bobcat, Inc. (South Korea) | 9,193 | 343,588 | |
Epiroc AB, Class A (Sweden) | 163,809 | 3,028,399 | |
FANUC Corp. (Japan) | 46,200 | 1,368,412 | |
Hangcha Group Co. Ltd., Class A (China) | 93,000 | 384,119 | |
Keyence Corp. (Japan) | 8,800 | 3,869,975 | |
Komatsu Ltd. (Japan) | 211,300 | 6,308,604 | |
Nabtesco Corp. (Japan) | 23,666 | 390,298 | |
Sandvik AB (Sweden) | 76,500 | 1,524,916 | |
SMC Corp. (Japan) | 2,000 | 1,050,733 | |
Smiths Group PLC (United Kingdom) | 77,344 | 1,559,253 | |
Sumitomo Heavy Industries Ltd. (Japan) | 13,364 | 372,411 |
Number of Shares | Value | ||
Machinery (Continued) | |||
WEG S.A. (Brazil) | 68,047 | $ 519,991 | |
Zhejiang Sanhua Intelligent Controls Co. Ltd., Class A (China) | 951,200 | 2,866,520 | |
37,306,467 | |||
Medical Equipment & Devices – 2.1% | |||
Alcon, Inc. (Switzerland) | 48,639 | 3,773,414 | |
Coloplast A/S, Class B (Denmark) | 16,761 | 2,020,793 | |
FUJIFILM Holdings Corp. (Japan) | 37,500 | 797,718 | |
Hoya Corp. (Japan) | 6,300 | 730,421 | |
Olympus Corp. (Japan) | 47,200 | 657,483 | |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A (China) | 72,500 | 3,038,974 | |
Smith & Nephew PLC (United Kingdom) | 140,966 | 1,707,896 | |
Sonova Holding A.G. (Switzerland)(a) | 8,084 | 2,234,678 | |
Sysmex Corp. (Japan) | 101,700 | 1,626,221 | |
16,587,598 | |||
Metals & Mining – 2.6% | |||
Anglo American PLC (South Africa) | 54,077 | 1,767,100 | |
BHP Group Ltd. ADR (Australia)(c) | 74,562 | 4,112,840 | |
Cameco Corp. (Canada) | 7,463 | 340,501 | |
Glencore PLC (Australia) | 955,503 | 5,559,656 | |
Grupo Mexico S.A.B. de C.V., Series B (Mexico) | 143,501 | 886,769 | |
Rio Tinto PLC (Australia) | 88,175 | 5,965,989 | |
Sumitomo Metal Mining Co. Ltd. (Japan) | 15,300 | 511,152 | |
United Tractors Tbk PT (Indonesia) | 424,400 | 646,826 | |
Vale S.A. ADR (Brazil) | 115,593 | 1,406,767 | |
21,197,600 | |||
Oil & Gas Producers – 7.1% | |||
BP PLC | 1,078,220 | 6,949,815 | |
Canadian Natural Resources Ltd. (Canada) | 28,236 | 2,139,672 | |
Cenovus Energy, Inc. (Canada) | 25,582 | 525,521 | |
Chevron Corp. | 6,664 | 1,074,703 | |
China Petroleum & Chemical Corp., Class H (China) | 1,375,092 | 820,795 | |
Ecopetrol S.A. ADR (Colombia)(c) | 20,008 | 232,293 |
Number of Shares | Value | ||
Oil & Gas Producers (Continued) | |||
ENEOS Holdings, Inc. (Japan) | 93,000 | $ 429,680 | |
Eni S.p.A. (Italy) | 87,343 | 1,402,876 | |
Equinor ASA (Norway) | 37,901 | 1,008,484 | |
Exxon Mobil Corp. | 22,390 | 2,648,065 | |
Galp Energia SGPS S.A. (Portugal) | 126,145 | 2,709,740 | |
Gazprom PJSC (Russia)(d)* | 421,794 | — | |
Imperial Oil Ltd. (Canada) | 5,137 | 353,189 | |
Inpex Corp. (Japan) | 89,100 | 1,334,700 | |
LUKOIL PJSC (Russia)(d) | 61,010 | — | |
MOL Hungarian Oil & Gas PLC (Hungary) | 101,534 | 833,250 | |
Neste OYJ (Finland) | 31,896 | 723,054 | |
OMV A.G. (Austria) | 7,754 | 367,938 | |
Petroleo Brasileiro S.A. ADR (Brazil) | 229,160 | 3,888,845 | |
PTT Exploration & Production PCL (Thailand)(a) | 180,400 | 761,808 | |
Reliance Industries Ltd. (India) | 72,170 | 2,533,475 | |
Repsol S.A. (Spain) | 42,793 | 671,682 | |
Rosneft Oil Co. PJSC (Russia)(d) | 210,931 | — | |
Santos Ltd. (Australia) | 72,720 | 356,864 | |
Shell PLC | 493,434 | 17,540,897 | |
Suncor Energy, Inc. (Canada) | 37,001 | 1,411,879 | |
TotalEnergies S.E. (France) | 74,854 | 5,434,305 | |
Vibra Energia S.A. (Brazil) | 207,400 | 937,426 | |
Woodside Energy Group Ltd. (Australia) | 31,961 | 572,646 | |
57,663,602 | |||
Publishing & Broadcasting – 0.2% | |||
Informa PLC (United Kingdom) | 152,211 | 1,506,872 | |
Real Estate Owners & Developers – 0.4% | |||
Mitsubishi Estate Co. Ltd. (Japan) | 78,100 | 1,431,160 | |
Mitsui Fudosan Co. Ltd. (Japan) | 54,000 | 549,562 | |
Sumitomo Realty & Development Co. Ltd. (Japan) | 13,600 | 470,613 | |
Wharf Real Estate Investment Co. Ltd. (Hong Kong) | 135,000 | 418,839 | |
2,870,174 |
Number of Shares | Value | ||
Real Estate Services – 0.1% | |||
KE Holdings, Inc. ADR (China) | 45,969 | $ 695,051 | |
Retail - Consumer Staples – 1.4% | |||
Alibaba Health Information Technology Ltd. (China)(c)* | 2,090,000 | 780,153 | |
Alimentation Couche-Tard, Inc. (Canada) | 65,973 | 3,656,514 | |
Clicks Group Ltd. (South Africa) | 37,833 | 586,011 | |
Jeronimo Martins SGPS S.A. (Portugal) | 34,373 | 707,112 | |
Raia Drogasil S.A. (Brazil) | 224,300 | 1,107,548 | |
Seven & i Holdings Co. Ltd. (Japan) | 57,500 | 742,969 | |
Sumber Alfaria Trijaya Tbk PT (Indonesia) | 2,094,300 | 377,386 | |
Tesco PLC (United Kingdom) | 229,653 | 847,895 | |
Wal-Mart de Mexico S.A.B. de C.V. (Mexico) | 349,317 | 1,301,980 | |
Yifeng Pharmacy Chain Co. Ltd., Class A (China) | 235,756 | 1,423,574 | |
11,531,142 | |||
Retail - Discretionary – 0.7% | |||
Associated British Foods PLC (United Kingdom) | 13,869 | 459,032 | |
Astra International Tbk PT (Indonesia) | 2,772,200 | 874,783 | |
Fast Retailing Co. Ltd. (Japan) | 3,400 | 888,995 | |
Jardine Matheson Holdings Ltd. (Hong Kong) | 18,500 | 709,845 | |
Kingfisher PLC (United Kingdom) | 98,393 | 303,082 | |
Localiza Rent a Car S.A. (Brazil)* | 158,693 | 1,500,258 | |
Zhongsheng Group Holdings Ltd. (China) | 264,500 | 482,391 | |
5,218,386 | |||
Semiconductors – 4.8% | |||
ASE Technology Holding Co. Ltd. (Taiwan) | 539,000 | 2,424,744 | |
ASMPT Ltd. (Hong Kong) | 57,300 | 712,106 | |
Globalwafers Co. Ltd. (Taiwan) | 47,000 | 746,790 | |
Infineon Technologies A.G. (Germany) | 184,692 | 6,409,372 | |
MediaTek, Inc. (Taiwan) | 90,000 | 2,713,606 | |
Novatek Microelectronics Corp. (Taiwan) | 61,000 | 1,152,608 |
Number of Shares | Value | ||
Semiconductors (Continued) | |||
SK Hynix, Inc. (South Korea) | 17,953 | $ 2,215,502 | |
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | 495,945 | 11,874,793 | |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Taiwan) | 63,486 | 8,719,167 | |
Tokyo Electron Ltd. (Japan) | 7,900 | 1,732,833 | |
38,701,521 | |||
Software – 1.5% | |||
Dassault Systemes S.E. (France) | 68,303 | 2,681,024 | |
Open Text Corp. (Canada) | 94,448 | 3,334,992 | |
SAP S.E. (Germany) | 8,800 | 1,588,990 | |
SAP S.E. ADR (Germany) | 25,621 | 4,642,782 | |
12,247,788 | |||
Specialty Finance – 0.2% | |||
Chailease Holding Co. Ltd. (Taiwan) | 146,080 | 770,464 | |
Jio Financial Services Ltd. (India)* | 54,691 | 246,282 | |
ORIX Corp. (Japan) | 28,500 | 583,264 | |
1,600,010 | |||
Steel – 0.4% | |||
Mitsui & Co. Ltd. (Japan) | 32,300 | 1,559,305 | |
Ternium S.A. ADR (Mexico) | 14,915 | 627,922 | |
thyssenkrupp A.G. (Germany) | 235,100 | 1,179,892 | |
3,367,119 | |||
Technology Hardware – 4.2% | |||
Advantech Co. Ltd. (Taiwan) | 29,000 | 337,311 | |
Casio Computer Co. Ltd. (Japan) | 53,100 | 442,391 | |
Delta Electronics, Inc. (Taiwan) | 56,000 | 548,425 | |
Hon Hai Precision Industry Co. Ltd. (Taiwan) | 136,000 | 647,408 | |
Kyocera Corp. (Japan) | 54,300 | 661,843 | |
Lenovo Group Ltd. (China) | 1,720,000 | 1,934,587 | |
Murata Manufacturing Co. Ltd. (Japan) | 80,200 | 1,465,428 | |
Nidec Corp. (Japan) | 19,000 | 889,824 | |
Nintendo Co. Ltd. (Japan) | 37,500 | 1,828,838 | |
Panasonic Holdings Corp. (Japan) | 99,300 | 866,736 | |
Samsung Electronics Co. Ltd. (South Korea) | 107,279 | 5,963,279 | |
Samsung Electronics Co. Ltd. GDR (South Korea)(a) | 6,004 | 8,378,316 |
Number of Shares | Value | ||
Technology Hardware (Continued) | |||
Sony Group Corp. (Japan) | 94,500 | $ 7,810,554 | |
TDK Corp. (Japan) | 25,000 | 1,115,275 | |
Yageo Corp. (Taiwan) | 56,000 | 1,068,172 | |
33,958,387 | |||
Technology Services – 2.2% | |||
Adyen N.V. (Netherlands)(b)* | 2,381 | 2,852,437 | |
Amadeus IT Group S.A. (Spain) | 42,900 | 2,723,033 | |
Arabian Internet & Communications Services Co. (Saudi Arabia) | 3,513 | 324,879 | |
Capgemini S.E. (France) | 10,380 | 2,181,680 | |
Experian PLC | 17,040 | 687,290 | |
Fujitsu Ltd. (Japan) | 172,300 | 2,661,717 | |
Globant S.A.* | 1,722 | 307,532 | |
Infosys Ltd. (India) | 76,242 | 1,287,310 | |
Infosys Ltd. ADR (India)(c) | 47,162 | 788,077 | |
RELX PLC (United Kingdom) | 35,687 | 1,466,267 | |
Tata Consultancy Services Ltd. (India) | 25,007 | 1,141,323 | |
Worldline S.A. (France)(b)* | 165,200 | 1,713,537 | |
18,135,082 | |||
Telecommunications – 1.4% | |||
America Movil S.A.B. de C.V. ADR (Mexico) | 56,887 | 1,084,266 | |
BT Group PLC (United Kingdom) | 155,181 | 198,446 | |
KDDI Corp. (Japan) | 59,700 | 1,656,603 | |
KT Corp. (South Korea) | 39,065 | 976,701 | |
Mobile TeleSystems PJSC ADR (Russia)(d)* | 138,416 | — | |
Nippon Telegraph & Telephone Corp. (Japan) | 823,600 | 889,210 | |
Softbank Corp. (Japan) | 30,700 | 370,294 | |
SoftBank Group Corp. (Japan) | 33,800 | 1,662,304 | |
Telkom Indonesia Persero Tbk PT (Indonesia) | 11,093,400 | 2,150,550 | |
Telkom Indonesia Persero Tbk PT ADR (Indonesia) | 39,515 | 768,567 | |
Vodacom Group Ltd. (South Africa) | 191,072 | 918,242 | |
Vodafone Group PLC (United Kingdom) | 559,077 | 471,471 | |
11,146,654 | |||
Tobacco & Cannabis – 0.3% | |||
British American Tobacco PLC (United Kingdom) | 53,879 | 1,581,687 |
Number of Shares | Value | ||
Tobacco & Cannabis (Continued) | |||
Japan Tobacco, Inc. (Japan) | 14,000 | $ 376,622 | |
KT&G Corp. (South Korea) | 9,080 | 585,077 | |
2,543,386 | |||
Transportation & Logistics – 1.8% | |||
Canadian National Railway Co. (Canada) | 21,365 | 2,594,566 | |
CCR S.A. (Brazil) | 352,560 | 835,129 | |
DSV A/S (Denmark) | 19,700 | 2,798,767 | |
East Japan Railway Co. (Japan) | 73,500 | 1,347,179 | |
Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR (Mexico) | 4,075 | 740,957 | |
Ryanair Holdings PLC ADR (Italy) | 19,991 | 2,722,774 | |
ZTO Express Cayman, Inc. ADR (China) | 158,533 | 3,327,608 | |
14,366,980 | |||
Transportation Equipment – 0.9% | |||
Daimler Truck Holding A.G. (Germany) | 84,439 | 3,807,879 | |
Volvo AB, Class B (Sweden) | 83,000 | 2,112,615 | |
Weichai Power Co. Ltd., Class H (China) | 747,000 | 1,526,392 | |
7,446,886 | |||
Wholesale - Consumer Staples – 0.5% | |||
Bid Corp. Ltd. (South Africa) | 17,924 | 411,005 | |
ITOCHU Corp. (Japan) | 41,500 | 1,872,263 | |
Mitsubishi Corp. (Japan) | 67,600 | 1,545,984 | |
3,829,252 | |||
Wholesale - Discretionary – 0.1% | |||
Bunzl PLC (United Kingdom) | 25,126 | 963,527 | |
Total Common Stocks (Cost $733,280,598) | 771,996,043 | ||
Preferred Stocks – 0.5% | |||
Chemicals – 0.1% | |||
Sociedad Quimica y Minera de Chile S.A. ADR, 1.87% (Chile)(c)(e) | 13,861 | 633,309 |
Number of Shares | Value | ||
Technology Hardware – 0.4% | |||
Samsung Electronics Co. Ltd., 2.22% (South Korea)(e) | 74,400 | $3,473,820 | |
Total Preferred Stocks (Cost $4,718,275) | 4,107,129 |
Number of Shares | |||
Short-Term Investments – 4.5% | |||
Money Market Funds – 4.5% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 5.14%(f) | 29,851,854 | 29,851,854 |
Number of Shares | Value | ||
Money Market Funds (Continued) | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 5.37%(f)(g) | 6,744,839 | $ 6,744,839 | |
Total Short-Term Investments (Cost $36,596,693) | 36,596,693 | ||
Total Investments – 100.4% (Cost $774,595,566) | 812,699,865 | ||
Liabilities less Other Assets – (0.4)% | (3,094,625) | ||
NET ASSETS – 100.0% | $809,605,240 |
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. As of April 30, 2024, these securities had a total value of $11,396,304 or 1.41% of net assets. | ||
(c) | Security either partially or fully on loan. (See Note 7). | ||
(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 April 30, 2024 is disclosed. | ||
(g) | Security purchased with the cash proceeds from securities loaned. (See Note 7). | ||
* | Non-Income Producing Security |
Abbreviations: |
ADR | American Depositary Receipt |
CDI | CREST Depository Interest |
GDR | Global Depositary Receipt |
JSC | Joint Stock Company |
MICEX | Moscow Interbank Currency Exchange |
NVDR | Non-Voting Depositary Receipt |
PCL | Public Company Limited |
PJSC | Public Joint Stock Company |
PLC | Public Limited Company |
QPSC | Qatari Public Shareholding Company |
Concentration by Currency (%)(a) | |
Euro | 24.2 |
Japanese Yen | 13.9 |
U.S. Dollar | 11.8 |
British Pound | 11.5 |
Hong Kong Dollar | 7.2 |
All other currencies less than 5% | 31.4 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Country Diversification (%)(a) | |
Japan | 13.9 |
China | 12.5 |
Germany | 9.7 |
United States | 8.2 |
United Kingdom | 7.3 |
France | 6.3 |
All other countries less than 5%(b) | 42.1 |
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 | $146,265,181 | $625,730,862 | $—* | $771,996,043 |
Preferred Stocks | 633,309 | 3,473,820 | — | 4,107,129 |
Short-Term Investments | 36,596,693 | — | — | 36,596,693 |
Total Investments | $183,495,183 | $629,204,682 | $— | $812,699,865 |
*Includes securities determined to have no value as of April 30, 2024. |
Par (a) | Value | ||
Asset-Backed Securities – 3.9% | |||
Other – 3.8% | |||
AGL CLO 12 Ltd., Series 2021-12A, Class D, (3M CME Term SOFR + 3.11%, 2.85% Floor), 8.44%, 7/20/34(b)(c) | $250,000 | $251,525 | |
Aimco CLO 12 Ltd., Series 2020-12A, Class DR, (3M CME Term SOFR + 2.90%, 2.90% Floor), 8.22%, 1/17/32(b)(c) | 250,000 | 249,142 | |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R3, Class M4, (1M CME Term SOFR + 1.04%, 0.93% Floor), 6.36%, 5/25/35(c) | 76,119 | 74,979 | |
AMMC CLO Ltd., Series 2020-23A, Class D1R2, (3M CME Term SOFR + 3.70%, 3.70% Floor), 3.75%, 4/17/35(b)(c)(d) | 150,000 | 150,000 | |
Apex Credit CLO Ltd., Series 2022-1A, Class D, (3M CME Term SOFR + 4.40%, 4.40% Floor), 9.72%, 4/22/33(b)(c) | 130,000 | 130,323 | |
Apidos Loan Fund Ltd., Series 2024-1A, Class E, (3M CME Term SOFR + 5.75%, 5.75% Floor), 11.07%, 4/25/35(b)(c)(d) | 220,000 | 220,000 | |
Bain Capital Credit CLO Ltd., Series 2022-2A, Class D1, (3M CME Term SOFR + 3.65%, 3.65% Floor), 8.97%, 4/22/35(b)(c) | 250,000 | 246,781 | |
Barings CLO Ltd., Series 2018-3A, Class D, (3M CME Term SOFR + 3.16%), 8.49%, 7/20/29(b)(c) | 260,000 | 260,344 | |
Birch Grove CLO Ltd., Series 19A, Class D1RR, (3M CME Term SOFR + 3.85%, 3.85% Floor), 9.17%, 7/17/37(b)(c)(d) | 100,000 | 100,018 | |
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class ER, (3M CME Term SOFR + 7.12%, 6.86% Floor), 12.45%, 7/25/34(b)(c) | 250,000 | 247,927 |
Par (a) | Value | ||
Other (Continued) | |||
Bristol Park CLO Ltd., Series 2016-1A, Class DR, (3M CME Term SOFR + 3.21%, 2.95% Floor), 8.54%, 4/15/29(b)(c) | $250,000 | $249,406 | |
CIFC Funding Ltd., Series 2017-3A, Class D1R, (3M CME Term SOFR + 3.70%, 3.70% Floor), 9.02%, 4/20/37(b)(c) | 210,000 | 210,000 | |
Cook Park CLO Ltd., Series 2018-1A, Class D, (3M CME Term SOFR + 2.86%), 8.18%, 4/17/30(b)(c) | 250,000 | 242,268 | |
GoodLeap Sustainable Home Solutions Trust, Series 2021-3CS, Class C, 3.50%, 5/20/48(b) | 461,961 | 308,519 | |
Greenwood Park CLO Ltd., Series 2018-1A, Class E, (3M CME Term SOFR + 5.21%), 10.54%, 4/15/31(b)(c) | 250,000 | 240,129 | |
Hildene Community Funding CDO Ltd., Series 2015-1A, Class ARR, 2.60%, 11/01/35(b) | 233,012 | 190,195 | |
Mountain View CLO XVI Ltd., Series 2022-1A, Class DR, (3M CME Term SOFR + 4.19%, 4.19% Floor), 9.52%, 4/15/34(b)(c) | 140,000 | 140,001 | |
National Collegiate Student Loan Trust, Series 2007-2, Class A4, (1M CME Term SOFR + 0.40%), 5.72%, 1/25/33(c) | 309,997 | 291,573 | |
Neuberger Berman Loan Advisers CLO 33 Ltd., Series 2019-33A, Class DR, (3M CME Term SOFR + 3.16%, 2.90% Floor), 8.49%, 10/16/33(b)(c) | 250,000 | 247,896 | |
Oaktree CLO Ltd., Series 2022-1A, Class E, (3M CME Term SOFR + 7.76%, 7.76% Floor), 13.07%, 5/15/33(b)(c) | 487,000 | 488,727 | |
Ocean Trails CLO IX, Series 2020-9A, Class DR, (3M CME Term SOFR + 4.01%, 3.75% Floor), 9.34%, 10/15/34(b)(c) | 280,000 | 279,072 |
Par (a) | Value | ||
Other (Continued) | |||
Ocean Trails CLO XIV Ltd., Series 2023-14A, Class A1, (3M CME Term SOFR + 2.00%, 2.00% Floor), 7.32%, 1/20/35(b)(c) | $220,000 | $221,223 | |
Octagon Investment Partners 32 Ltd., Series 2017-1A, Class D, (3M CME Term SOFR + 3.66%), 8.99%, 7/15/29(b)(c) | 250,000 | 249,438 | |
OHA Loan Funding Ltd., Series 2013-1A, Class DR2, (3M CME Term SOFR + 3.31%), 8.64%, 7/23/31(b)(c) | 200,000 | 199,788 | |
Palmer Square Loan Funding Ltd., Series 2022-3A, Class CR, (3M CME Term SOFR + 3.00%, 3.00% Floor), 8.33%, 4/15/31(b)(c) | 160,000 | 159,995 | |
Pioneer Aircraft Finance Ltd., Series 2019-1, Class A, 3.97%, 6/15/44(b) | 183,461 | 169,718 | |
RAD CLO 21 Ltd., Series 2023-21A, Class D, (3M CME Term SOFR + 4.40%, 4.40% Floor), 9.72%, 1/25/33(b)(c) | 160,000 | 159,494 | |
SMB Private Education Loan Trust, Series 2021-A, Class D1, 3.86%, 1/15/53(b) | 178,058 | 150,854 | |
Stonepeak ABS, Series 2021-1A, Class A, 2.68%, 2/28/33(b) | 234,341 | 217,278 | |
Symphony CLO XXV Ltd., Series 2021-25A, Class D, (3M CME Term SOFR + 3.86%, 3.60% Floor), 9.19%, 4/19/34(b)(c) | 250,000 | 250,131 | |
Trinitas CLO XXVI Ltd., Series 2023-26A, Class C, (3M CME Term SOFR + 2.95%, 2.95% Floor), 8.27%, 1/20/35(b)(c) | 170,000 | 171,413 | |
Trinitas CLO XXVII Ltd., Series 2024-27A, Class D1, (3M CME Term SOFR + 4.30%, 4.30% Floor), 9.55%, 4/18/37(b)(c) | 160,000 | 159,939 |
Par (a) | Value | ||
Other (Continued) | |||
Valley Stream Park CLO Ltd., Series 2022-1A, Class DR, (3M CME Term SOFR + 4.15%, 4.15% Floor), 9.47%, 10/20/34(b)(c) | $110,000 | $ 110,411 | |
Voya CLO Ltd., Series 2020-3A, Class DR, (3M CME Term SOFR + 3.51%, 3.25% Floor), 8.84%, 10/20/34(b)(c) | 260,000 | 259,044 | |
7,297,551 | |||
Specialty Finance – 0.1% | |||
MF1 LLC, Series 2022-FL9, Class A, (1M CME Term SOFR + 2.15%, 2.15% Floor), 7.47%, 6/19/37(b)(c) | 240,000 | 240,448 | |
Total Asset-Backed Securities (Cost $7,550,591) | 7,537,999 |
Number of Shares | |||
Common Stocks – 43.8% | |||
Advertising & Marketing – 0.0%(e) | |||
WPP PLC (United Kingdom) | 2,106 | 21,109 | |
Aerospace & Defense – 1.8% | |||
BAE Systems PLC (United Kingdom) | 199,604 | 3,319,857 | |
Rolls-Royce Holdings PLC (United Kingdom)* | 3,920 | 20,102 | |
3,339,959 | |||
Asset Management – 1.4% | |||
3i Group PLC (United Kingdom) | 335 | 11,969 | |
BlackRock, Inc. | 431 | 325,250 | |
Blackstone, Inc. | 1,672 | 194,972 | |
Macquarie Korea Infrastructure Fund (South Korea) | 207,573 | 1,890,214 | |
St. James's Place PLC (United Kingdom) | 1,155 | 6,250 | |
T. Rowe Price Group, Inc. | 2,999 | 328,600 | |
2,757,255 | |||
Automotive – 1.3% | |||
Mercedes-Benz Group A.G. (Germany) | 32,251 | 2,439,494 | |
Banking – 4.8% | |||
Barclays PLC (United Kingdom) | 14,482 | 36,513 |
Number of Shares | Value | ||
Banking (Continued) | |||
BNP Paribas S.A. (France) | 47,257 | $3,400,702 | |
Grupo Financiero Banorte S.A.B. de C.V., Class O (Mexico) | 220,050 | 2,182,677 | |
HSBC Holdings PLC (United Kingdom) | 16,139 | 139,892 | |
JPMorgan Chase & Co. | 13,470 | 2,582,738 | |
Lloyds Banking Group PLC (United Kingdom) | 82,968 | 53,546 | |
NatWest Group PLC (United Kingdom) | 7,139 | 26,945 | |
PNC Financial Services Group (The), Inc. | 1,738 | 266,366 | |
Standard Chartered PLC (United Kingdom) | 2,976 | 25,568 | |
Truist Financial Corp. | 5,719 | 214,749 | |
U.S. Bancorp | 8,096 | 328,941 | |
9,258,637 | |||
Beverages – 1.3% | |||
Arca Continental S.A.B. de C.V. (Mexico) | 112,903 | 1,098,400 | |
Coca-Cola (The) Co. | 12,946 | 799,675 | |
Diageo PLC (United Kingdom) | 2,332 | 80,593 | |
PepsiCo, Inc. | 3,174 | 558,338 | |
2,537,006 | |||
Biotechnology & Pharmaceuticals – 2.8% | |||
AbbVie, Inc. | 3,203 | 520,936 | |
Amgen, Inc. | 1,593 | 436,386 | |
AstraZeneca PLC (United Kingdom) | 1,449 | 219,160 | |
Bristol-Myers Squibb Co. | 8,065 | 354,376 | |
Gilead Sciences, Inc. | 5,403 | 352,275 | |
GSK PLC | 3,923 | 81,390 | |
Johnson & Johnson | 5,552 | 802,764 | |
Novartis A.G. ADR (Switzerland) | 20,939 | 2,033,805 | |
Pfizer, Inc. | 18,793 | 481,477 | |
5,282,569 | |||
Cable & Satellite – 0.4% | |||
Comcast Corp., Class A | 21,305 | 811,934 | |
Chemicals – 0.3% | |||
Air Products and Chemicals, Inc. | 2,040 | 482,134 | |
Commercial Support Services – 0.0%(e) | |||
Compass Group PLC (United Kingdom) | 1,490 | 41,443 | |
Rentokil Initial PLC (United Kingdom) | 2,944 | 14,861 | |
56,304 |
Number of Shares | Value | ||
Construction Materials – 0.8% | |||
Cie de Saint-Gobain S.A. (France) | 19,257 | $1,522,894 | |
CRH PLC | 320 | 24,781 | |
1,547,675 | |||
Containers & Packaging – 0.2% | |||
Amcor PLC | 45,635 | 407,977 | |
Diversified Industrials – 1.3% | |||
Emerson Electric Co. | 3,803 | 409,887 | |
Illinois Tool Works, Inc. | 829 | 202,367 | |
Siemens A.G. (Germany)(f) | 9,820 | 1,839,616 | |
2,451,870 | |||
Electric Utilities – 0.6% | |||
American Electric Power Co., Inc. | 4,636 | 398,835 | |
Dominion Energy, Inc. | 7,050 | 359,409 | |
Edison International | 5,418 | 385,003 | |
National Grid PLC (United Kingdom) | 3,165 | 41,516 | |
SSE PLC (United Kingdom) | 917 | 19,061 | |
1,203,824 | |||
Electrical Equipment – 1.2% | |||
Johnson Controls International PLC | 35,636 | 2,318,835 | |
Food – 0.2% | |||
Mondelez International, Inc., Class A | 6,042 | 434,661 | |
Forestry, Paper & Wood Products – 0.6% | |||
UPM-Kymmene OYJ (Finland) | 30,698 | 1,075,815 | |
Gas & Water Utilities – 0.1% | |||
NiSource, Inc. | 8,206 | 228,619 | |
Severn Trent PLC (United Kingdom) | 433 | 13,347 | |
241,966 | |||
Health Care Facilities & Services – 0.2% | |||
CVS Health Corp. | 4,163 | 281,877 | |
Home Construction – 0.0%(e) | |||
Berkeley Group Holdings (The) PLC (United Kingdom) | 359 | 21,082 | |
Household Products – 0.7% | |||
Haleon PLC | 6,276 | 26,506 | |
Kimberly-Clark Corp. | 2,712 | 370,269 | |
Procter & Gamble (The) Co. | 4,535 | 740,112 |
Number of Shares | Value | ||
Household Products (Continued) | |||
Reckitt Benckiser Group PLC (United Kingdom) | 858 | $ 47,968 | |
Unilever PLC (United Kingdom) | 2,481 | 128,344 | |
1,313,199 | |||
Industrial Support Services – 0.0%(e) | |||
Ashtead Group PLC (United Kingdom) | 261 | 18,952 | |
Institutional Financial Services – 1.2% | |||
CME Group, Inc. | 3,059 | 641,289 | |
London Stock Exchange Group PLC (United Kingdom) | 397 | 43,765 | |
Morgan Stanley | 15,159 | 1,377,044 | |
Northern Trust Corp. | 3,282 | 270,404 | |
2,332,502 | |||
Insurance – 1.2% | |||
Aviva PLC (United Kingdom) | 2,717 | 15,775 | |
Legal & General Group PLC (United Kingdom) | 5,377 | 15,784 | |
Prudential PLC (Hong Kong) | 3,125 | 27,179 | |
Zurich Insurance Group A.G. (Switzerland) | 4,390 | 2,124,964 | |
2,183,702 | |||
Leisure Facilities & Services – 2.0% | |||
Entain PLC (United Kingdom) | 1,382 | 13,483 | |
Flutter Entertainment PLC - CDI (United Kingdom)* | 48 | 8,892 | |
InterContinental Hotels Group PLC (United Kingdom) | 266 | 25,944 | |
McDonald's Corp. | 1,196 | 326,556 | |
OPAP S.A. (Greece) | 197,106 | 3,283,588 | |
Starbucks Corp. | 2,494 | 220,694 | |
3,879,157 | |||
Leisure Products – 0.1% | |||
Hasbro, Inc. | 3,461 | 212,159 | |
Machinery – 0.0%(e) | |||
Smiths Group PLC (United Kingdom) | 756 | 15,241 | |
Medical Equipment & Devices – 0.4% | |||
Baxter International, Inc. | 3,833 | 154,738 | |
Medtronic PLC | 6,600 | 529,584 | |
Smith & Nephew PLC (United Kingdom) | 1,606 | 19,458 | |
703,780 |
Number of Shares | Value | ||
Metals & Mining – 1.7% | |||
Anglo American PLC (South Africa) | 1,284 | $ 41,958 | |
BHP Group Ltd. (Australia) | 49,050 | 1,345,251 | |
Glencore PLC (Australia) | 10,779 | 62,718 | |
Rio Tinto Ltd. (Australia) | 19,984 | 1,663,155 | |
Rio Tinto PLC (Australia) | 1,104 | 74,698 | |
3,187,780 | |||
Oil & Gas Producers – 4.6% | |||
BP PLC | 16,366 | 105,489 | |
Chevron Corp. | 20,635 | 3,327,806 | |
Exxon Mobil Corp. | 4,424 | 523,227 | |
Gazprom PJSC (Russia)(g)* | 33,780 | — | |
Kinder Morgan, Inc. | 17,701 | 323,574 | |
LUKOIL PJSC (Russia)(g) | 1,232 | — | |
ONEOK, Inc. | 4,662 | 368,858 | |
Petroleo Brasileiro S.A. (Brazil) | 411,260 | 3,510,196 | |
Rosneft Oil Co. PJSC (Russia)(g) | 17,410 | — | |
Shell PLC | 5,969 | 212,190 | |
Williams (The) Cos., Inc. | 9,227 | 353,948 | |
8,725,288 | |||
Publishing & Broadcasting – 0.0%(e) | |||
Informa PLC (United Kingdom) | 1,645 | 16,285 | |
Real Estate Investment Trusts – 3.5% | |||
Crown Castle, Inc. | 3,831 | 359,271 | |
Federal Realty Investment Trust | 3,265 | 340,115 | |
PowerGrid Infrastructure Investment Trust (India)(b) | 829,453 | 973,737 | |
Realty Income Corp. | 4,031 | 215,820 | |
Simon Property Group, Inc. | 2,210 | 310,571 | |
TF Administradora Industrial S. de R.L. de C.V. (Mexico) | 1,288,908 | 3,170,590 | |
VICI Properties, Inc. | 48,008 | 1,370,628 | |
6,740,732 | |||
Retail - Consumer Staples – 0.0%(e) | |||
Tesco PLC (United Kingdom) | 10,392 | 38,368 | |
Retail - Discretionary – 0.0%(e) | |||
Associated British Foods PLC (United Kingdom) | 695 | 23,003 | |
Kingfisher PLC (United Kingdom) | 4,984 | 15,352 | |
38,355 |
Number of Shares | Value | ||
Semiconductors – 3.0% | |||
Broadcom, Inc. | 2,316 | $ 3,011,425 | |
MediaTek, Inc. (Taiwan) | 67,700 | 2,041,235 | |
Texas Instruments, Inc. | 3,848 | 678,864 | |
5,731,524 | |||
Software – 1.3% | |||
Kaspi.KZ JSC ADR (Kazakhstan)(h) | 20,970 | 2,469,427 | |
Technology Hardware – 0.1% | |||
NetApp, Inc. | 2,475 | 252,970 | |
Technology Services – 0.3% | |||
Experian PLC | 838 | 33,800 | |
International Business Machines Corp. | 2,591 | 430,624 | |
RELX PLC (United Kingdom) | 1,652 | 67,876 | |
532,300 | |||
Telecommunications – 2.4% | |||
BT Group PLC (United Kingdom) | 6,904 | 8,829 | |
Nippon Telegraph & Telephone Corp. (Japan) | 1,226,000 | 1,323,666 | |
Softbank Corp. (Japan) | 217,775 | 2,626,734 | |
Verizon Communications, Inc. | 15,515 | 612,687 | |
Vodafone Group PLC (United Kingdom) | 25,777 | 21,738 | |
4,593,654 | |||
Tobacco & Cannabis – 0.9% | |||
British American Tobacco PLC (United Kingdom) | 2,762 | 81,082 | |
British American Tobacco PLC ADR (United Kingdom) | 30,251 | 889,984 | |
Philip Morris International, Inc. | 8,520 | 808,889 | |
1,779,955 | |||
Transportation & Logistics – 0.2% | |||
United Parcel Service, Inc., Class B | 2,810 | 414,419 | |
Transportation Equipment – 0.9% | |||
Volvo AB, Class B (Sweden) | 65,039 | 1,655,450 | |
Wholesale - Discretionary – 0.0%(e) | |||
Bunzl PLC (United Kingdom) | 562 | 21,551 | |
Total Common Stocks (Cost $76,678,516) | 83,828,733 |
Par (a) | Value | ||
Convertible Bonds – 0.2% | |||
Cable & Satellite – 0.1% | |||
DISH Network Corp., 0.00%, 12/15/25(i) | $320,000 | $232,800 | |
Publishing & Broadcasting – 0.0%(e) | |||
Gannett Co., Inc., 6.00%, 12/01/27(b) | 20,000 | 17,720 | |
Technology Services – 0.1% | |||
Multiplan Corp., 6.00%, 10/15/27(b) | 130,000 | 91,002 | |
Total Convertible Bonds (Cost $333,419) | 341,522 |
Number of Shares | |||
Convertible Preferred Stocks – 0.1% | |||
Oil & Gas Producers – 0.1% | |||
Equitrans Midstream Corp., 13.74%(c) | 5,339 | 120,127 | |
Total Convertible Preferred Stocks (Cost $118,470) | 120,127 |
Par (a) | |||
Corporate Bonds – 11.6% | |||
Aerospace & Defense – 0.3% | |||
TransDigm, Inc., | |||
7.13%, 12/01/31(b) | $ 40,000 | 40,763 | |
6.63%, 3/01/32(b) | 380,000 | 379,354 | |
Triumph Group, Inc., 9.00%, 3/15/28(b) | 144,000 | 149,105 | |
569,222 | |||
Automotive – 0.3% | |||
Ford Motor Co., 3.25%, 2/12/32 | 120,000 | 96,652 | |
Ford Motor Credit Co. LLC, 3.63%, 6/17/31 | 270,000 | 228,018 | |
PM General Purchaser LLC, 9.50%, 10/01/28(b) | 270,000 | 273,519 | |
598,189 | |||
Biotechnology & Pharmaceuticals – 0.1% | |||
Bausch Health Cos., Inc., | |||
5.50%, 11/01/25(b) | 110,000 | 102,459 | |
6.13%, 2/01/27(b) | 90,000 | 65,925 | |
Endo Finance Holdings, Inc., 8.50%, 4/15/31(b)(h) | 90,000 | 91,446 | |
259,830 |
Par (a) | Value | ||
Cable & Satellite – 0.9% | |||
CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 2/01/31(b) | $250,000 | $ 195,661 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 5.13%, 7/01/49 | 70,000 | 51,286 | |
CSC Holdings LLC, | |||
11.25%, 5/15/28(b) | 200,000 | 176,907 | |
11.75%, 1/31/29(b) | 250,000 | 222,106 | |
4.13%, 12/01/30(b) | 640,000 | 406,542 | |
Directv Financing LLC, 8.88%, 2/01/30(b) | 140,000 | 136,128 | |
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 8/15/27(b) | 60,000 | 55,925 | |
DISH DBS Corp., | |||
5.25%, 12/01/26(b) | 80,000 | 62,911 | |
5.75%, 12/01/28(b)(h) | 150,000 | 101,292 | |
DISH Network Corp., 11.75%, 11/15/27(b) | 160,000 | 161,286 | |
Time Warner Cable LLC, 6.75%, 6/15/39 | 90,000 | 82,441 | |
1,652,485 | |||
Commercial Support Services – 0.6% | |||
Clean Harbors, Inc., 5.13%, 7/15/29(b) | 100,000 | 95,280 | |
CoreCivic, Inc., | |||
4.75%, 10/15/27 | 200,000 | 186,448 | |
8.25%, 4/15/29 | 60,000 | 61,998 | |
GEO Group (The), Inc., | |||
8.63%, 4/15/29(b) | 110,000 | 111,360 | |
10.25%, 4/15/31(b) | 160,000 | 164,950 | |
GFL Environmental, Inc., | |||
5.13%, 12/15/26(b) | 80,000 | 77,903 | |
4.75%, 6/15/29(b)(h) | 40,000 | 36,900 | |
6.75%, 1/15/31(b) | 110,000 | 110,889 | |
RR Donnelley & Sons Co., 9.75%, 7/31/28(b) | 80,000 | 87,280 | |
TKC Holdings, Inc., 6.88%, 5/15/28(b) | 170,000 | 160,477 | |
ZipRecruiter, Inc., 5.00%, 1/15/30(b)(h) | 130,000 | 114,360 | |
1,207,845 |
Par (a) | Value | ||
Construction Materials – 0.2% | |||
Advanced Drainage Systems, Inc., 6.38%, 6/15/30(b)(h) | $120,000 | $119,297 | |
Smyrna Ready Mix Concrete LLC, 8.88%, 11/15/31(b) | 160,000 | 168,503 | |
287,800 | |||
Consumer Services – 0.1% | |||
Carriage Services, Inc., 4.25%, 5/15/29(b) | 140,000 | 123,443 | |
WW International, Inc., 4.50%, 4/15/29(b) | 120,000 | 50,177 | |
173,620 | |||
Containers & Packaging – 0.1% | |||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 6.00%, 6/15/27(b) | 210,000 | 203,565 | |
Electric Utilities – 0.1% | |||
Edison International, (5Y US Treasury CMT + 4.70%), 5.38%, 3/15/26(j)(k) | 180,000 | 172,439 | |
Vistra Operations Co. LLC, 6.88%, 4/15/32(b) | 110,000 | 109,539 | |
281,978 | |||
Electrical Equipment – 0.1% | |||
Vertiv Group Corp., 4.13%, 11/15/28(b) | 220,000 | 203,744 | |
Engineering & Construction – 0.2% | |||
Railworks Holdings L.P./Railworks Rally, Inc., 8.25%, 11/15/28(b) | 130,000 | 129,829 | |
TopBuild Corp., | |||
3.63%, 3/15/29(b) | 80,000 | 71,822 | |
4.13%, 2/15/32(b) | 10,000 | 8,657 | |
Tutor Perini Corp., 11.88%, 4/30/29(b)(h) | 190,000 | 194,699 | |
405,007 | |||
Food – 0.0%(e) | |||
Darling Ingredients, Inc., 6.00%, 6/15/30(b) | 60,000 | 58,287 | |
Health Care Facilities & Services – 0.8% | |||
Akumin, Inc., 9.00%, 8/01/27(b)(h)(l) | 250,000 | 207,500 | |
CHS/Community Health Systems, Inc., | |||
5.63%, 3/15/27(b) | 310,000 | 283,849 | |
6.00%, 1/15/29(b) | 190,000 | 165,764 | |
6.13%, 4/01/30(b) | 220,000 | 155,543 |
Par (a) | Value | ||
Health Care Facilities & Services (Continued) | |||
CHS/Community Health Systems, Inc., | |||
10.88%, 1/15/32(b) | $ 40,000 | $ 40,951 | |
HCA, Inc., 7.50%, 11/06/33 | 90,000 | 98,095 | |
LifePoint Health, Inc., 9.88%, 8/15/30(b) | 260,000 | 270,737 | |
Option Care Health, Inc., 4.38%, 10/31/29(b) | 210,000 | 188,073 | |
U.S. Renal Care, Inc., 10.63%, 6/28/28(b) | 52,500 | 46,200 | |
1,456,712 | |||
Home & Office Products – 0.1% | |||
Newell Brands, Inc., 5.70%, 4/01/26 | 210,000 | 206,651 | |
Industrial Intermediate Products – 0.0%(e) | |||
Park-Ohio Industries, Inc., 6.63%, 4/15/27 | 60,000 | 57,005 | |
Industrial Support Services – 0.2% | |||
H&E Equipment Services, Inc., 3.88%, 12/15/28(b) | 90,000 | 79,640 | |
PECF USS Intermediate Holding III Corp., 8.00%, 11/15/29(b) | 171,000 | 74,812 | |
United Rentals North America, Inc., 6.00%, 12/15/29(b) | 300,000 | 296,986 | |
451,438 | |||
Institutional Financial Services – 0.2% | |||
Jane Street Group/JSG Finance, Inc., | |||
4.50%, 11/15/29(b) | 40,000 | 36,383 | |
7.13%, 4/30/31(b) | 150,000 | 150,940 | |
LPL Holdings, Inc., 4.00%, 3/15/29(b) | 110,000 | 99,743 | |
State Street Corp., (5Y US Treasury CMT + 2.61%), 6.70%, 3/15/29(j)(k) | 80,000 | 80,067 | |
StoneX Group, Inc., 7.88%, 3/01/31(b) | 100,000 | 101,129 | |
468,262 | |||
Internet Media & Services – 0.1% | |||
Ziff Davis, Inc., 4.63%, 10/15/30(b)(h) | 210,000 | 182,656 | |
Leisure Facilities & Services – 1.2% | |||
AMC Entertainment Holdings, Inc., 7.50%, 2/15/29(b)(h) | 110,000 | 75,459 |
Par (a) | Value | ||
Leisure Facilities & Services (Continued) | |||
Caesars Entertainment, Inc., 6.50%, 2/15/32(b) | $200,000 | $ 197,049 | |
Carnival Corp., | |||
5.75%, 3/01/27(b) | 230,000 | 224,471 | |
4.00%, 8/01/28(b) | 90,000 | 82,287 | |
Carnival Holdings Bermuda Ltd., 10.38%, 5/01/28(b) | 80,000 | 86,741 | |
Full House Resorts, Inc., 8.25%, 2/15/28(b) | 240,000 | 229,064 | |
Mohegan Tribal Gaming Authority, 8.00%, 2/01/26(b) | 163,000 | 154,829 | |
NCL Corp. Ltd., | |||
5.88%, 3/15/26(b) | 170,000 | 166,569 | |
8.13%, 1/15/29(b) | 70,000 | 72,901 | |
Royal Caribbean Cruises Ltd., | |||
4.25%, 7/01/26(b) | 100,000 | 96,019 | |
5.50%, 8/31/26(b) | 340,000 | 333,517 | |
8.25%, 1/15/29(b) | 60,000 | 63,309 | |
9.25%, 1/15/29(b) | 80,000 | 85,437 | |
6.25%, 3/15/32(b) | 60,000 | 59,146 | |
Viking Cruises Ltd., | |||
5.88%, 9/15/27(b) | 70,000 | 67,870 | |
9.13%, 7/15/31(b) | 210,000 | 225,248 | |
VOC Escrow Ltd., 5.00%, 2/15/28(b) | 20,000 | 19,074 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 7.13%, 2/15/31(b) | 80,000 | 81,141 | |
2,320,131 | |||
Leisure Products – 0.1% | |||
Winnebago Industries, Inc., 6.25%, 7/15/28(b) | 270,000 | 264,255 | |
Machinery – 0.1% | |||
Titan International, Inc., 7.00%, 4/30/28 | 190,000 | 183,663 | |
Medical Equipment & Devices – 0.1% | |||
Medline Borrower L.P., 6.25%, 4/01/29(b) | 100,000 | 99,360 | |
Metals & Mining – 0.0%(e) | |||
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 60,000 | 54,999 | |
Oil & Gas Producers – 3.3% | |||
Berry Petroleum Co. LLC, 7.00%, 2/15/26(b) | 410,000 | 406,417 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, 12/15/25(b) | $190,000 | $190,834 | |
Chord Energy Corp., 6.38%, 6/01/26(b) | 150,000 | 149,939 | |
Continental Resources, Inc., 5.75%, 1/15/31(b) | 150,000 | 146,848 | |
Crescent Energy Finance LLC, | |||
9.25%, 2/15/28(b) | 110,000 | 116,211 | |
7.63%, 4/01/32(b) | 60,000 | 60,224 | |
Devon Energy Corp., 5.00%, 6/15/45 | 150,000 | 126,847 | |
Energy Transfer L.P., | |||
(5Y US Treasury CMT + 5.31%), 7.13%, 5/15/30(j)(k) | 130,000 | 124,815 | |
5.35%, 5/15/45 | 40,000 | 35,103 | |
EQM Midstream Partners L.P., | |||
7.50%, 6/01/30(b) | 40,000 | 41,943 | |
4.75%, 1/15/31(b) | 150,000 | 137,060 | |
EQT Corp., 3.13%, 5/15/26(b) | 20,000 | 18,897 | |
Hilcorp Energy I L.P./Hilcorp Finance Co., | |||
6.25%, 4/15/32(b) | 70,000 | 67,587 | |
8.38%, 11/01/33(b) | 120,000 | 128,725 | |
Howard Midstream Energy Partners LLC, | |||
6.75%, 1/15/27(b) | 80,000 | 78,926 | |
8.88%, 7/15/28(b) | 110,000 | 115,211 | |
Northern Oil & Gas, Inc., 8.13%, 3/01/28(b) | 190,000 | 192,214 | |
Occidental Petroleum Corp., | |||
7.15%, 5/15/28 | 180,000 | 187,489 | |
6.45%, 9/15/36 | 240,000 | 247,678 | |
7.95%, 6/15/39 | 400,000 | 452,844 | |
4.40%, 8/15/49 | 60,000 | 43,178 | |
Permian Resources Operating LLC, | |||
5.88%, 7/01/29(b) | 270,000 | 262,402 | |
9.88%, 7/15/31(b) | 220,000 | 243,305 | |
7.00%, 1/15/32(b) | 70,000 | 71,359 | |
Range Resources Corp., 8.25%, 1/15/29 | 440,000 | 458,437 | |
Rockies Express Pipeline LLC, 7.50%, 7/15/38(b) | 100,000 | 102,574 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
SilverBow Resources, Inc., (3M CME Term SOFR + 7.75%), 13.08%, 12/15/28(b)(c)(m) | $480,000 | $ 475,200 | |
Southwestern Energy Co., 4.75%, 2/01/32 | 300,000 | 270,170 | |
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 9.50%, 10/15/26(b) | 80,000 | 81,678 | |
Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp., 6.00%, 12/31/30(b) | 80,000 | 75,253 | |
Venture Global Calcasieu Pass LLC, | |||
6.25%, 1/15/30(b) | 190,000 | 187,856 | |
4.13%, 8/15/31(b)(h) | 220,000 | 192,010 | |
3.88%, 11/01/33(b) | 150,000 | 123,156 | |
Venture Global LNG, Inc., | |||
8.38%, 6/01/31(b) | 130,000 | 133,408 | |
9.88%, 2/01/32(b) | 150,000 | 160,066 | |
Western Midstream Operating L.P., | |||
5.45%, 4/01/44 | 40,000 | 35,095 | |
5.30%, 3/01/48 | 410,000 | 342,854 | |
Williams (The) Cos., Inc., 8.75%, 3/15/32 | 30,000 | 35,034 | |
6,318,847 | |||
Oil, Gas Services & Equipment – 0.0%(e) | |||
Noble Finance II LLC, 8.00%, 4/15/30(b)(h) | 90,000 | 92,736 | |
Publishing & Broadcasting – 0.2% | |||
Clear Channel Outdoor Holdings, Inc., 5.13%, 8/15/27(b) | 100,000 | 92,692 | |
iHeartCommunications, Inc., 6.38%, 5/01/26 | 30,000 | 25,354 | |
McClatchy (The) Co. LLC, (100% Cash), 11.00%, 7/15/27(b)(h)(l) | 137,464 | 150,523 | |
Nexstar Media, Inc., 5.63%, 7/15/27(b) | 120,000 | 112,845 | |
381,414 | |||
Real Estate Investment Trusts – 0.2% | |||
MPT Operating Partnership L.P./MPT Finance Corp., | |||
5.25%, 8/01/26(h) | 100,000 | 91,082 | |
5.00%, 10/15/27(h) | 110,000 | 89,976 | |
Service Properties Trust, | |||
5.50%, 12/15/27 | 90,000 | 84,922 | |
8.63%, 11/15/31(b) | 20,000 | 21,005 | |
286,985 |
Par (a) | Value | ||
Real Estate Owners & Developers – 0.0%(e) | |||
Five Point Operating Co. L.P./Five Point Capital Corp., (Step to 11.00% on 11/15/24), 10.50%, 1/15/28(b)(n) | $ 75,562 | $ 77,091 | |
Real Estate Services – 0.1% | |||
Cushman & Wakefield U.S. Borrower LLC, 8.88%, 9/01/31(b) | 110,000 | 114,142 | |
Renewable Energy – 0.1% | |||
Sunnova Energy Corp., 5.88%, 9/01/26(b) | 330,000 | 205,243 | |
Retail - Discretionary – 0.3% | |||
Bath & Body Works, Inc., | |||
5.25%, 2/01/28 | 60,000 | 57,703 | |
6.63%, 10/01/30(b)(h) | 20,000 | 19,985 | |
Builders FirstSource, Inc., 4.25%, 2/01/32(b) | 90,000 | 78,394 | |
Foot Locker, Inc., 4.00%, 10/01/29(b)(h) | 190,000 | 151,656 | |
Michaels (The) Cos., Inc., 5.25%, 5/01/28(b) | 140,000 | 118,493 | |
Sally Holdings LLC/Sally Capital, Inc., 6.75%, 3/01/32(h) | 70,000 | 67,666 | |
493,897 | |||
Software – 0.3% | |||
athenahealth Group, Inc., 6.50%, 2/15/30(b)(h) | 70,000 | 63,017 | |
Central Parent, Inc./CDK Global, Inc., 7.25%, 6/15/29(b) | 140,000 | 141,532 | |
Crowdstrike Holdings, Inc., 3.00%, 2/15/29 | 70,000 | 61,498 | |
Gen Digital, Inc., 7.13%, 9/30/30(b)(h) | 220,000 | 222,270 | |
Rackspace Finance LLC, 3.50%, 5/15/28(b) | 23,400 | 11,113 | |
499,430 | |||
Specialty Finance – 0.5% | |||
FirstCash, Inc., 5.63%, 1/01/30(b) | 120,000 | 113,080 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., | |||
4.25%, 2/01/27(b) | 20,000 | 18,519 | |
4.75%, 6/15/29(b) | 80,000 | 71,396 | |
Midcap Financial Issuer Trust, 6.50%, 5/01/28(b) | 200,000 | 180,887 |
Par (a) | Value | ||
Specialty Finance (Continued) | |||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.63%, 3/01/29(b) | $460,000 | $ 405,242 | |
Starwood Property Trust, Inc., 7.25%, 4/01/29(b)(h) | 80,000 | 78,920 | |
868,044 | |||
Technology Hardware – 0.1% | |||
CommScope, Inc., | |||
6.00%, 3/01/26(b) | 20,000 | 17,875 | |
4.75%, 9/01/29(b) | 140,000 | 97,650 | |
EquipmentShare.com, Inc., 8.63%, 5/15/32(b) | 110,000 | 111,916 | |
227,441 | |||
Technology Services – 0.0%(e) | |||
MPH Acquisition Holdings LLC, 5.75%, 11/01/28(b) | 30,000 | 22,051 | |
Transportation & Logistics – 0.5% | |||
American Airlines, Inc., 8.50%, 5/15/29(b) | 120,000 | 125,001 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 4/20/29(b) | 170,000 | 164,174 | |
Carriage Purchaser, Inc., 7.88%, 10/15/29(b)(h) | 130,000 | 114,994 | |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., | |||
8.00%, 9/20/25(b) | 100,000 | 78,104 | |
8.00%, 9/20/25(b) | 250,000 | 195,259 | |
U.S. Airways Pass Through Trust, Series 2013-1, Class A, 3.95%, 11/15/25 | 22,751 | 22,105 | |
United Airlines Pass Through Trust, Series 2020-1, Class B, 4.88%, 1/15/26 | 30,240 | 29,525 | |
XPO, Inc., | |||
6.25%, 6/01/28(b) | 100,000 | 99,626 | |
7.13%, 2/01/32(b) | 80,000 | 80,464 | |
909,252 | |||
Transportation Equipment – 0.1% | |||
JB Poindexter & Co., Inc., 8.75%, 12/15/31(b) | 100,000 | 102,177 | |
Total Corporate Bonds (Cost $22,820,750) | 22,245,454 |
Par (a) | Value | ||
Foreign Government Inflation-Linked Bonds – 0.0%(e) | |||
Sovereign Government – 0.0%(e) | |||
Uruguay Government International Bond, 3.88%, 7/02/40 | UYU | $1,530,000 | $ 55,546 |
Total Foreign Government Inflation-Linked Bonds (Cost $59,502) | 55,546 | ||
Foreign Issuer Bonds – 6.9% | |||
Angola – 0.1% | |||
Angolan Government International Bond, 8.75%, 4/14/32(b) | 210,000 | 189,672 | |
Argentina – 0.3% | |||
Pan American Energy LLC, 8.50%, 4/30/32(b) | 130,000 | 130,520 | |
Provincia de Buenos Aires, (Step to 6.63% on 9/01/24), 6.38%, 9/01/37(b)(n) | 589,020 | 260,052 | |
Provincia de Cordoba, 6.99%, 6/01/27(b) | 200,000 | 158,000 | |
548,572 | |||
Brazil – 0.4% | |||
Brazil Notas do Tesouro Nacional Serie F, 10.00%, 1/01/31 | BRL | 1,998,000 | 356,239 |
MercadoLibre, Inc., 3.13%, 1/14/31 | 270,000 | 221,466 | |
Suzano Austria GmbH, 3.13%, 1/15/32 | 160,000 | 128,636 | |
Vale Overseas Ltd., 6.25%, 8/10/26 | 130,000 | 131,666 | |
838,007 | |||
Canada – 0.6% | |||
Bank of Nova Scotia (The), (5Y US Treasury CMT + 4.02%), 8.00%, 1/27/84(k) | 250,000 | 251,327 | |
Bombardier, Inc., 7.88%, 4/15/27(b) | 166,000 | 164,965 | |
Empire Communities Corp., 9.75%, 5/01/29(b) | 70,000 | 71,350 | |
Hudbay Minerals, Inc., 6.13%, 4/01/29(b) | 90,000 | 88,096 | |
MEG Energy Corp., | |||
7.13%, 2/01/27(b) | 118,000 | 118,894 | |
5.88%, 2/01/29(b) | 40,000 | 38,700 | |
TransAlta Corp., | |||
7.75%, 11/15/29 | 110,000 | 112,584 | |
6.50%, 3/15/40 | 300,000 | 290,604 | |
1,136,520 |
Par (a) | Value | ||
China – 0.1% | |||
Prosus N.V., 3.06%, 7/13/31(b) | $270,000 | $216,427 | |
Colombia – 0.1% | |||
Ecopetrol S.A., 8.38%, 1/19/36 | 200,000 | 194,429 | |
Denmark – 0.1% | |||
Danske Bank A/S, (1Y US Treasury CMT + 2.10%), 6.47%, 1/09/26(b)(k) | 270,000 | 270,348 | |
Dominican Republic – 0.2% | |||
Dominican Republic International Bond, 4.88%, 9/23/32 | 310,000 | 271,250 | |
France – 0.5% | |||
Altice France S.A., 5.50%, 10/15/29(b) | 840,000 | 549,599 | |
BNP Paribas S.A., (5Y US Treasury CMT + 4.90%), 7.75%, 8/16/29(b)(h)(j)(k) | 200,000 | 201,683 | |
Credit Agricole S.A., (5Y USD Swap Rate + 6.19%), 8.13%, 12/23/25(b)(j)(k) | 200,000 | 202,500 | |
953,782 | |||
Germany – 0.1% | |||
ZF North America Capital, Inc., 6.88%, 4/23/32(b) | 150,000 | 151,574 | |
Guatemala – 0.1% | |||
Millicom International Cellular S.A., 4.50%, 4/27/31(b) | 250,000 | 208,626 | |
Hong Kong – 0.1% | |||
Melco Resorts Finance Ltd., 5.38%, 12/04/29(b) | 200,000 | 178,083 | |
Israel – 0.2% | |||
Teva Pharmaceutical Finance Netherlands III B.V., | |||
4.75%, 5/09/27 | 260,000 | 248,652 | |
4.10%, 10/01/46 | 210,000 | 140,007 | |
388,659 | |||
Italy – 0.3% | |||
Intesa Sanpaolo S.p.A., 7.80%, 11/28/53(b) | 400,000 | 429,600 | |
UniCredit S.p.A., (5Y US Treasury CMT + 4.75%), 5.46%, 6/30/35(b)(k) | 210,000 | 193,226 | |
622,826 |
Par (a) | Value | ||
Ivory Coast – 0.2% | |||
Ivory Coast Government International Bond, 7.63%, 1/30/33(b) | $ 300,000 | $ 286,761 | |
Jamaica – 0.0%(e) | |||
Jamaica Government International Bond, 9.63%, 11/03/30 | JMD | 10,000,000 | 67,291 |
Jordan – 0.1% | |||
Jordan Government International Bond, 7.75%, 1/15/28(b) | 230,000 | 228,850 | |
Kazakhstan – 0.1% | |||
KazMunayGas National Co. JSC, 4.75%, 4/19/27(b) | 250,000 | 239,565 | |
Kenya – 0.2% | |||
Republic of Kenya Government International Bond, 9.75%, 2/16/31(b) | 280,000 | 280,000 | |
Kuwait – 0.1% | |||
MEGlobal Canada ULC, 5.88%, 5/18/30(b) | 210,000 | 207,963 | |
Luxembourg – 0.2% | |||
Altice Financing S.A., 5.75%, 8/15/29(b) | 310,000 | 230,260 | |
ARD Finance S.A., (100% Cash), 6.50%, 6/30/27(b)(l) | 200,000 | 49,324 | |
279,584 | |||
Macau – 0.2% | |||
Sands China Ltd., 2.85%, 3/08/29 | 450,000 | 386,672 | |
Mexico – 1.0% | |||
Banco Mercantil del Norte S.A., (10Y US Treasury CMT + 5.47%), 7.50%, 6/27/29(b)(j)(k) | 250,000 | 240,927 | |
Mexican Bonos, | |||
5.75%, 3/05/26 | MXN | 4,910,000 | 263,168 |
8.50%, 5/31/29 | MXN | 10,620,000 | 581,985 |
7.75%, 11/23/34 | MXN | 14,570,000 | 728,647 |
Mexico Government International Bond, 4.75%, 3/08/44 | 150,000 | 118,433 | |
1,933,160 | |||
Morocco – 0.1% | |||
OCP S.A., 6.75%, 5/02/34(b) | 200,000 | 196,816 |
Par (a) | Value | ||
Peru – 0.1% | |||
Petroleos del Peru S.A., 5.63%, 6/19/47(b) | $ 250,000 | $ 153,408 | |
Supranational – 0.4% | |||
Inter-American Development Bank, 7.35%, 10/06/30 | INR | 64,000,000 | 767,689 |
Sweden – 0.1% | |||
Stena International S.A., 7.25%, 1/15/31(b) | 210,000 | 210,170 | |
Switzerland – 0.1% | |||
VistaJet Malta Finance PLC/Vista Management Holding, Inc., 7.88%, 5/01/27(b)(h) | 200,000 | 177,860 | |
United Arab Emirates – 0.1% | |||
DP World Ltd., 5.63%, 9/25/48(b) | 290,000 | 265,353 | |
United Kingdom – 0.4% | |||
Global Auto Holdings Ltd./AAG FH UK Ltd., 8.75%, 1/15/32(b) | 230,000 | 217,135 | |
Mclaren Finance PLC, 7.50%, 8/01/26(b)(h) | 400,000 | 347,400 | |
Vmed O2 UK Financing I PLC, 4.75%, 7/15/31(b) | 200,000 | 166,914 | |
731,449 | |||
Zambia – 0.3% | |||
First Quantum Minerals Ltd., | |||
6.88%, 10/15/27(b) | 280,000 | 269,327 | |
9.38%, 3/01/29(b) | 280,000 | 289,289 | |
558,616 | |||
Total Foreign Issuer Bonds (Cost $13,808,313) | 13,139,982 |
Number of Shares | |||
Master Limited Partnerships – 3.6% | |||
Oil & Gas Producers – 3.6% | |||
Energy Transfer L.P. | 225,895 | 3,553,328 | |
Enterprise Products Partners L.P. | 120,119 | 3,372,942 | |
Total Master Limited Partnerships (Cost $5,812,118) | 6,926,270 |
Par (a) | Value | ||
Mortgage-Backed Securities – 6.7% | |||
Commercial Mortgage-Backed Securities – 3.0% | |||
Benchmark Mortgage Trust, Series 2023-V3, Class D, 4.00%, 7/15/56(b) | $250,000 | $200,334 | |
BX Commercial Mortgage Trust, | |||
Series 2021-ACNT, Class A, (1M CME Term SOFR + 0.96%, 0.85% Floor), 6.29%, 11/15/38(b)(c) | 185,806 | 184,355 | |
Series 2021-VOLT, Class D, (1M CME Term SOFR + 1.76%, 1.65% Floor), 7.09%, 9/15/36(b)(c) | 270,000 | 265,612 | |
Series 2022-AHP, Class A, (1M CME Term SOFR + 0.99%, 0.99% Floor), 6.31%, 1/17/39(b)(c) | 212,000 | 210,013 | |
Series 2023-VLT2, Class E, (1M CME Term SOFR + 5.87%, 5.87% Floor), 11.19%, 6/15/40(b)(c) | 170,000 | 170,117 | |
BX Trust, | |||
Series 2021-ARIA, Class A, (1M CME Term SOFR + 1.01%, 0.90% Floor), 6.33%, 10/15/36(b)(c) | 270,000 | 266,625 | |
Series 2021-SDMF, Class F, (1M CME Term SOFR + 2.05%, 1.94% Floor), 7.37%, 9/15/34(b)(c) | 201,443 | 192,504 | |
Series 2022-CLS, Class A, 5.76%, 10/13/27(b) | 230,000 | 226,038 | |
Series 2024-CNYN, Class D, (1M CME Term SOFR + 2.69%, 2.69% Floor), 8.01%, 4/15/29(b)(c) | 200,000 | 199,750 | |
BXHPP Trust, Series 2021-FILM, Class C, (1M CME Term SOFR + 1.21%, 1.10% Floor), 6.54%, 8/15/36(b)(c) | 270,000 | 251,016 | |
Citigroup Commercial Mortgage Trust, Series 2017-P8, Class A3, 3.20%, 9/15/50 | 250,000 | 230,870 | |
CSAIL Commercial Mortgage Trust, Series 2015-C3, Class C, 4.49%, 8/15/48(o) | 100,000 | 84,418 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
Extended Stay America Trust, | |||
Series 2021-ESH, Class C, (1M CME Term SOFR + 1.81%, 1.70% Floor), 7.14%, 7/15/38(b)(c) | $237,707 | $237,261 | |
Series 2021-ESH, Class E, (1M CME Term SOFR + 2.96%, 2.85% Floor), 8.29%, 7/15/38(b)(c) | 237,707 | 237,408 | |
GS Mortgage Securities Trust, | |||
Series 2015-GC30, Class C, 4.20%, 5/10/50(o) | 180,000 | 161,140 | |
Series 2015-GC32, Class D, 3.35%, 7/10/48 | 220,000 | 195,066 | |
Series 2017-GS6, Class A2, 3.16%, 5/10/50 | 190,518 | 176,946 | |
JP Morgan Chase Commercial Mortgage Securities Trust, | |||
Series 2015-JP1, Class A5, 3.91%, 1/15/49 | 200,000 | 192,843 | |
Series 2015-JP1, Class C, 4.88%, 1/15/49(o) | 30,000 | 26,241 | |
Series 2022-ACB, Class A, (30D Average SOFR + 1.40%, 1.40% Floor), 6.73%, 3/15/39(b)(c) | 350,000 | 345,625 | |
Series 2022-ACB, Class D, (30D Average SOFR + 2.90%, 2.90% Floor), 8.23%, 3/15/39(b)(c) | 190,000 | 184,300 | |
KREF Ltd., Series 2022-FL3, Class D, (1M CME Term SOFR + 2.80%, 2.80% Floor), 8.12%, 2/17/39(b)(c) | 150,000 | 142,406 | |
MF1 Ltd., Series 2020-FL4, Class A, (1M CME Term SOFR + 1.81%, 1.70% Floor), 7.13%, 11/15/35(b)(c) | 89,746 | 89,764 | |
MHC Commercial Mortgage Trust, Series 2021-MHC, Class F, (1M CME Term SOFR + 2.72%, 2.60% Floor), 8.04%, 4/15/38(b)(c) | 167,775 | 166,517 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
MSWF Commercial Mortgage Trust, Series 2023-2, Class C, 7.25%, 12/15/56(o) | $ 90,000 | $ 91,249 | |
MTN Commercial Mortgage Trust, | |||
Series 2022-LPFL, Class A, (1M CME Term SOFR + 1.40%, 1.40% Floor), 6.73%, 3/15/39(b)(c) | 260,000 | 255,937 | |
Series 2022-LPFL, Class F, (1M CME Term SOFR + 5.29%, 5.29% Floor), 10.62%, 3/15/39(b)(c) | 200,000 | 188,000 | |
NCMF Trust, Series 2022-MFP, Class G, (1M CME Term SOFR + 5.13%, 5.13% Floor), 10.45%, 3/15/39(b)(c) | 195,000 | 187,842 | |
SMRT, Series 2022-MINI, Class D, (1M CME Term SOFR + 1.95%, 1.95% Floor), 7.27%, 1/15/39(b)(c) | 210,000 | 207,147 | |
Wells Fargo Commercial Mortgage Trust, Series 2014-LC18, Class B, 3.96%, 12/15/47 | 190,000 | 185,459 | |
5,752,803 | |||
Whole Loan – 3.7% | |||
Angel Oak Mortgage Trust, Series 2022-3, Class A3, 4.14%, 1/25/67(b)(o) | 143,057 | 126,960 | |
BRAVO Residential Funding Trust, | |||
Series 2022-NQM1, Class A1, 3.63%, 9/25/61(b)(o) | 177,106 | 164,360 | |
Series 2022-NQM2, Class A1, 4.27%, 11/25/61(b)(o) | 148,812 | 143,171 | |
Series 2022-NQM2, Class A3, 5.24%, 11/25/61(b) | 186,015 | 177,806 | |
Series 2024-NQM2, Class A3, (Step to 7.59% on 3/25/28), 6.59%, 2/25/64(b)(n) | 196,889 | 196,209 | |
CAFL Issuer LLC, Series 2023-RTL1, Class A1, (Step to 9.05% on 7/28/26), 7.55%, 12/28/30(b)(n) | 160,000 | 158,428 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Citigroup Mortgage Loan Trust, Series 2022-A, Class A1, (Step to 9.17% on 9/25/25), 6.17%, 9/25/62(b)(n) | $217,845 | $217,056 | |
COLT Mortgage Loan Trust, | |||
Series 2022-3, Class A1, 3.90%, 2/25/67(b)(o) | 212,166 | 196,264 | |
Series 2024-1, Class M1, 6.59%, 2/25/69(b) | 160,000 | 156,224 | |
CSMC Trust, Series 2020-RPL4, Class A1, 2.00%, 1/25/60(b) | 192,500 | 165,334 | |
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 | 351,230 | |
Series 2022-R03, Class 1M2, (30D Average SOFR + 3.50%), 8.83%, 3/25/42(b)(c) | 250,000 | 262,646 | |
Series 2022-R08, Class 1M2, (30D Average SOFR + 3.60%, 3.60% Floor), 8.93%, 7/25/42(b)(c) | 200,000 | 211,765 | |
Series 2024-R01, Class 1B1, (30D Average SOFR + 2.70%, 2.70% Floor), 8.03%, 1/25/44(b)(c) | 200,000 | 201,625 | |
Freddie Mac STACR REMIC Trust, | |||
Series 2020-DNA5, Class B1, (30D Average SOFR + 4.80%), 10.13%, 10/25/50(b)(c) | 180,000 | 204,876 | |
Series 2020-DNA6, Class B1, (30D Average SOFR + 3.00%), 8.33%, 12/25/50(b)(c) | 260,000 | 279,955 | |
Series 2021-DNA1, Class B2, (30D Average SOFR + 4.75%), 10.08%, 1/25/51(b)(c) | 240,000 | 254,352 | |
Series 2021-DNA2, Class B1, (30D Average SOFR + 3.40%), 8.73%, 8/25/33(b)(c) | 270,000 | 296,409 | |
Series 2022-DNA2, Class M2, (30D Average SOFR + 3.75%), 9.08%, 2/25/42(b)(c) | 225,000 | 236,189 | |
Series 2022-DNA2, Class M1B, (30D Average SOFR + 2.40%), 7.73%, 2/25/42(b)(c) | 210,000 | 214,590 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
GS Mortgage-Backed Securities Trust, Series 2022-NQM1, Class A4, 4.00%, 5/25/62(b)(o) | $197,393 | $173,149 | |
LHOME Mortgage Trust, Series 2024-RTL1, Class A1, (Step to 8.52% on 9/25/26), 7.02%, 1/25/29(b)(n) | 160,000 | 160,244 | |
Mill City Mortgage Loan Trust, Series 2018-2, Class M3, 3.75%, 5/25/58(b)(o) | 209,684 | 181,852 | |
New Residential Mortgage Loan Trust, Series 2022-NQM2, Class A1, 3.08%, 3/27/62(b)(o) | 213,195 | 189,374 | |
NYMT Loan Trust, Series 2024-BPL1, Class A1, (Step to 8.65% on 8/25/26), 7.15%, 2/25/29(b)(n) | 160,000 | 157,354 | |
OBX Trust, | |||
Series 2022-NQM6, Class A1, (Step to 4.72% on 7/25/26), 4.70%, 7/25/62(b)(n) | 221,783 | 213,439 | |
Series 2024-NQM, Class 3 M1, 6.85%, 12/25/63(b) | 200,000 | 197,884 | |
Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1, (Step to 8.50% on 8/25/26), 7.50%, 2/25/30(b)(n) | 160,000 | 158,852 | |
Seasoned Credit Risk Transfer Trust, Series 2022-1, Class M, 4.50%, 11/25/61(b) | 100,000 | 82,788 | |
SG Residential Mortgage Trust, Series 2022-1, Class A1, 3.17%, 3/27/62(b)(o) | 223,665 | 199,756 | |
Towd Point Mortgage Trust, | |||
Series 2015-5, Class B3, 4.02%, 5/25/55(b)(o) | 220,000 | 196,750 | |
Series 2017-5, Class B1, (1M CME Term SOFR + 1.91%), 6.45%, 2/25/57(b)(c) | 250,000 | 258,243 | |
Series 2019-HY2, Class B1, (1M CME Term SOFR + 2.36%, 2.25% Floor), 7.68%, 5/25/58(b)(c) | 190,000 | 203,629 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Verus Securitization Trust, | |||
Series 2023-8, Class A3, (Step to 7.97% on 1/25/28), 6.97%, 12/25/68(b)(n) | $ 93,409 | $ 93,367 | |
Series 2024-1, Class A3, (Step to 7.12% on 2/25/28), 6.12%, 1/25/69(b)(n) | 192,607 | 189,542 | |
Series 2024-3, Class A3, 6.85%, 4/25/69(b)(o) | 150,000 | 150,124 | |
7,021,796 | |||
Total Mortgage-Backed Securities (Cost $12,765,668) | 12,774,599 | ||
Term Loans – 8.7%(c) | |||
Advertising & Marketing – 0.1% | |||
CB Poly US Holdings, Inc., Initial Term Loan, (3M USD CME Term SOFR + 5.50%, 0.75% Floor), 10.80%, 5/18/29 | 197,000 | 193,060 | |
Aerospace & Defense – 0.1% | |||
Ovation Parent, Inc., Initial Term Loan, (3M USD CME Term SOFR + 3.50%, 0.75% Floor), 8.83%, 4/21/31 | 140,000 | 140,438 | |
Asset Management – 0.2% | |||
Nexus Buyer LLC, Amendment No. 5 Term Loan, (1M USD CME Term SOFR + 4.50%), 9.82%, 12/11/28 | 260,000 | 258,266 | |
Osaic Holdings, Inc., Term B-2 Loan, (1M USD CME Term SOFR + 4.50%), 9.82%, 8/17/28 | 129,675 | 130,382 | |
Osaic Holdings, Inc., Term Loan, 8/17/28(p) | 60,000 | 60,327 | |
448,975 | |||
Automotive – 0.1% | |||
Clarios Global L.P., 2024 Refinancing Term Loan, (1M USD CME Term SOFR + 3.00%), 8.32%, 5/06/30 | 129,675 | 129,999 | |
First Brands Group LLC, 2022-II Incremental Term Loan, (3M USD CME Term SOFR + 5.00%, 1.00% Floor), 10.59%, 3/30/27 | 138,622 | 132,673 | |
262,672 |
Par (a) | Value | ||
Beverages – 0.2% | |||
Triton Water Holdings, Inc., 2024 Incremental Term Loan, (3M USD CME Term SOFR + 4.00%, 0.50% Floor), 9.30%, 3/31/28 | $139,650 | $139,789 | |
Triton Water Holdings, Inc., Initial Term Loan, (3M USD CME Term SOFR + 3.25%, 0.50% Floor), 8.81%, 3/31/28 | 231,283 | 230,205 | |
369,994 | |||
Cable & Satellite – 0.1% | |||
Virgin Media Bristol LLC, Facility Y, (6M USD CME Term SOFR + 3.25%), 8.66%, 3/31/31 | 100,000 | 98,139 | |
Capital Goods – 0.1% | |||
Thermostat Purchaser III, Inc., Initial Term Loan, (3M USD CME Term SOFR + 4.50%, 0.75% Floor), 9.99%, 8/31/28 | 208,933 | 208,411 | |
Commercial Support Services – 0.5% | |||
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 | 195,489 | 195,526 | |
Allied Universal Holdco LLC, Amendment No. 3 Term Loan, (1M USD CME Term SOFR + 4.75%, 0.50% Floor), 10.07%, 5/12/28 | 99,500 | 99,837 | |
LRS Holdings LLC, Initial Term Loan, (1M USD CME Term SOFR + 4.25%, 0.50% Floor), 9.68%, 8/31/28 | 231,325 | 231,036 | |
LTR Intermediate Holdings, Inc., Initial Term Loan, 5/05/28(p) | 30,000 | 28,619 | |
Prime Security Services Borrower LLC, 2023 Refinancing Term B-1 Loan, (3M USD CME Term SOFR + 2.50%), 7.81%, 10/13/30 | 89,775 | 89,883 | |
Prime Security Services Borrower LLC, 2024 Refinancing Term B-1 Loan, (3M USD CME Term SOFR + 2.25%), 7.58%, 10/13/30 | 89,775 | 89,883 |
Par (a) | Value | ||
Commercial Support Services (Continued) | |||
Ryan LLC, Closing Date Initial Term Loan, (1M USD CME Term SOFR + 4.50%, 0.50% Floor), 9.82%, 11/14/30 | $190,000 | $191,267 | |
Ryan LLC, Delayed Draw Term Loan, 11/14/30(q) | 20,000 | 20,133 | |
946,184 | |||
Consumer Cyclical – 0.4% | |||
DS Parent, Inc., Term Loan B, (3M USD CME Term SOFR + 5.50%, 0.75% Floor), 10.80%, 1/31/31 | 180,000 | 177,919 | |
First Brands Group LLC, 2021 Term Loan, 3/30/27(p) | 10,000 | 9,535 | |
Flutter Entertainment PLC, Term B Loan, (3M USD CME Term SOFR + 2.25%, 0.50% Floor), 7.56%, 11/25/30 | 209,475 | 210,111 | |
Garda World Security Corp., Fourth Additional Term Loan, (3M USD CME Term SOFR + 4.25%), 9.58%, 2/01/29 | 359,086 | 360,210 | |
757,775 | |||
Consumer Non-Cyclical – 0.1% | |||
Aretec Group, Inc., Term B-1 Loan, (1M USD CME Term SOFR + 4.50%), 9.92%, 8/09/30 | 109,449 | 109,947 | |
Endo Luxembourg Finance Co., I S.a r.l. Term Loan B, (3M USD CME Term SOFR + 4.50%, 0.50% Floor), 9.83%, 4/23/32 | 130,000 | 129,512 | |
239,459 | |||
Consumer Services – 0.0%(e) | |||
Adtalem Global Education, Inc., 2024 Repricing Term Loan, (1M USD CME Term SOFR + 3.50%, 0.75% Floor), 8.82%, 8/11/28 | 24,514 | 24,526 | |
WW International, Inc., Initial Term Loan, (1M USD CME Term SOFR + 3.50%, 0.50% Floor), 8.93%, 4/13/28 | 20,000 | 8,963 | |
33,489 |
Par (a) | Value | ||
Electrical Equipment – 0.1% | |||
EMRLD Borrower L.P., Initial Term B Loan, (1M USD CME Term SOFR + 2.50%), 7.82%, 5/31/30 | $153,078 | $ 153,529 | |
Engineering & Construction – 0.0%(e) | |||
Chromalloy Corp., Term Loan, (1M USD CME Term SOFR + 3.75%), 9.06%, 3/27/31 | 60,000 | 60,275 | |
Entertainment Content – 0.2% | |||
Allen Media LLC, Initial Term Loan, (3M USD CME Term SOFR + 5.50%), 10.96%, 2/10/27 | 330,086 | 293,915 | |
Health Care Facilities & Services – 0.7% | |||
Agiliti Health, Inc., Term Loan, (3M USD CME Term SOFR + 3.00%), 8.30%, 5/01/30 | 139,300 | 139,214 | |
Cardinal Parent, Inc., Initial Term Loan, (3M USD CME Term SOFR + 4.50%, 0.75% Floor), 9.95%, 11/12/27 | 238,438 | 224,282 | |
EyeCare Partners LLC, Initial Term Loan, (3M USD CME Term SOFR + 6.75%), 12.32%, 11/15/29 | 380,000 | 98,165 | |
Gainwell Acquisition Corp., Term B Loan, (3M USD CME Term SOFR + 4.00%, 0.75% Floor), 9.41%, 10/01/27 | 251,997 | 239,949 | |
LifePoint Health, Inc., 2024 Refinancing Term Loan, (3M USD CME Term SOFR + 4.75%), 10.06%, 11/16/28 | 300,536 | 301,459 | |
PDS Holdco, Inc., Delayed Draw Term Loan, (3M USD CME Term SOFR + 4.50%), 10.10%, 8/18/28 | 31,716 | 19,237 | |
PDS Holdco, Inc., Initial Term Loan, (3M USD CME Term SOFR + 4.50%), 10.10%, 8/18/28 | 310,447 | 188,305 | |
Phoenix Guarantor, Inc., Tranche B-4 Term Loan, (1M USD CME Term SOFR + 3.25%), 8.57%, 2/21/31 | 111,330 | 110,478 | |
1,321,089 |
Par (a) | Value | ||
Home & Office Products – 0.1% | |||
Osmosis Buyer Ltd., 2023 Incremental Delayed Draw Term Loan, 7/31/28(q) | $240,000 | $241,080 | |
Industrial Support Services – 0.3% | |||
Accession Risk Management Group, Inc., 2022 Delayed Draw Tranche 2 Term Loan, | |||
(3M USD CME Term SOFR + 5.50%, 0.75% Floor), 10.99%, 11/01/29 | 9,276 | 9,253 | |
(3M USD CME Term SOFR + 5.50%, 0.75% Floor), 10.95%, 11/01/29 | 7,563 | 7,545 | |
(3M USD CME Term SOFR + 5.50%, 0.75% Floor), 10.98%, 11/01/29 | 4,270 | 4,259 | |
Accession Risk Management Group, Inc., 2023 Delayed Draw Term Loan, | |||
(3M USD CME Term SOFR + 6.00%, 0.75% Floor), 11.33%, 11/01/29 | 28,443 | 28,585 | |
11/01/29 (p)(q) | 33,000 | 33,165 | |
Accession Risk Management Group, Inc., 2023 Delayed Draw Tranche 2 Term Loan, | |||
(3M USD CME Term SOFR + 6.00%, 0.75% Floor), 11.34%, 11/01/29 | 5,579 | 5,607 | |
(3M USD CME Term SOFR + 6.00%, 0.75% Floor), 11.32%, 11/01/29 | 26,832 | 26,966 | |
(3M USD CME Term SOFR + 6.00%, 0.75% Floor), 11.30%, 11/01/29 | 14,757 | 14,831 | |
(3M USD CME Term SOFR + 6.00%, 0.75% Floor), 11.33%, 11/01/29 | 1,218 | 1,224 | |
Accession Risk Management Group, Inc., Initial Term Loan, | |||
(3M USD CME Term SOFR + 5.50%, 0.75% Floor), 10.99%, 11/01/29 | 1,054 | 1,051 | |
(3M USD CME Term SOFR + 5.50%, 0.75% Floor), 10.95%, 11/01/29 | 1,928 | 1,923 | |
(3M USD CME Term SOFR + 5.50%, 0.75% Floor), 10.98%, 11/01/29 | 27,474 | 27,405 |
Par (a) | Value | ||
Industrial Support Services (Continued) | |||
Accession Risk Management Group, Inc., Tranche B Term Loan, | |||
(3M USD CME Term SOFR + 5.50%, 0.75% Floor), 10.99%, 11/01/29 | $ 1,300 | $ 1,297 | |
(3M USD CME Term SOFR + 5.50%, 0.75% Floor), 10.95%, 11/01/29 | 5,947 | 5,932 | |
(3M USD CME Term SOFR + 5.50%, 0.75% Floor), 10.98%, 11/01/29 | 13,617 | 13,583 | |
Accession Risk Management Group, Inc., Tranche C Term Loan, | |||
(3M USD CME Term SOFR + 5.50%, 0.75% Floor), 10.99%, 11/01/29 | 1,431 | 1,428 | |
(3M USD CME Term SOFR + 5.50%, 0.75% Floor), 10.95%, 11/01/29 | 15,620 | 15,581 | |
(3M USD CME Term SOFR + 5.50%, 0.75% Floor), 10.98%, 11/01/29 | 4,979 | 4,967 | |
PECF USS Intermediate Holding III Corp., Initial Term Loan, | |||
(3M USD CME Term SOFR + 4.25%, 0.50% Floor), 9.68%, 12/15/28 | 1,150 | 775 | |
(3M USD CME Term SOFR + 4.25%, 0.50% Floor), 9.84%, 12/15/28 | 448,500 | 302,289 | |
507,666 | |||
Institutional Financial Services – 0.6% | |||
Ascensus Group Holdings, Inc., Initial Term Loan, (1M USD CME Term SOFR + 3.50%, 0.50% Floor), 8.93%, 8/02/28 | 245,351 | 244,737 | |
CTC Holdings L.P., Term Loan, (3M USD CME Term SOFR + 5.00%, 0.50% Floor), 10.48%, 2/20/29 | 171,888 | 171,029 | |
Hudson River Trading LLC, Term Loan, (1M USD CME Term SOFR + 3.00%), 8.43%, 3/20/28 | 231,260 | 230,328 | |
Jane Street Group LLC, 2024 Repricing Term Loan, (1M USD CME Term SOFR + 2.50%), 7.93%, 1/26/28 | 420,227 | 420,467 | |
1,066,561 |
Par (a) | Value | ||
Insurance – 0.8% | |||
Acrisure LLC, 2023 Refinancing Term Loan, (1M USD CME Term SOFR + 4.50%), 9.82%, 11/06/30 | $198,004 | $ 198,376 | |
Acrisure LLC, 2021-2 Additional Term Loan, (1M USD Syn LIBOR + 4.25%, 0.50% Floor), 9.68%, 2/15/27 | 332,350 | 332,765 | |
AssuredPartners, Inc., 2024 Term Loan, (1M USD CME Term SOFR + 3.50%, 0.50% Floor), 8.82%, 2/14/31 | 210,000 | 210,886 | |
Asurion LLC, New B-4 Term Loan, (1M USD CME Term SOFR + 5.25%), 10.68%, 1/20/29 | 300,000 | 269,334 | |
Asurion LLC, New B-9 Term Loan, (1M USD CME Term SOFR + 3.25%), 8.68%, 7/31/27 | 183,443 | 177,940 | |
HIG Finance 2 Ltd., 2023 Term Loan, (1M USD CME Term SOFR + 4.00%, 0.50% Floor), 9.32%, 4/18/30 | 39,600 | 39,740 | |
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 | 138,600 | 139,069 | |
Truist Insurance Holdings LLC, Term Loan B, 5/06/31(p) | 140,000 | 140,263 | |
1,508,373 | |||
Internet Media & Services – 0.1% | |||
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 | 169,573 | 168,879 | |
Leisure Facilities & Services – 0.7% | |||
1011778 B.C. Unlimited Liability Co., Sixth Additional Term B-5 Loan, 9/20/30(p) | 20,000 | 20,055 | |
1011778 B.C. Unlimited Liability Co., Term B-5 Loan, (1M USD CME Term SOFR + 2.25%), 7.57%, 9/20/30 | 129,675 | 129,767 |
Par (a) | Value | ||
Leisure Facilities & Services (Continued) | |||
Alterra Mountain Co., Series B-4 Term Loan, (1M USD CME Term SOFR + 3.25%), 8.58%, 8/17/28 | $449,624 | $ 451,121 | |
Caesars Entertainment, Inc., Term B1 Loan, (1M USD CME Term SOFR + 2.75%, 0.50% Floor), 8.07%, 2/06/31 | 150,000 | 150,075 | |
Caesars Entertainment, Inc., Term Loan B, (1M USD CME Term SOFR + 3.25%, 0.50% Floor), 8.67%, 2/06/30 | 79,200 | 79,279 | |
Carnival Corp., 2024 Repricing Advance, (1M USD CME Term SOFR + 2.75%, 0.75% Floor), 8.07%, 8/08/27 | 61,043 | 61,349 | |
Carnival Corp., Initial Advance, (1M USD CME Term SOFR + 3.00%), 8.32%, 8/09/27 | 61,043 | 61,349 | |
Four Seasons Holdings, Inc., 2024 Repricing Term Loan, (1M USD CME Term SOFR + 2.00%, 0.50% Floor), 7.32%, 11/30/29 | 129,672 | 129,779 | |
Station Casinos LLC, Term B Facility, 3/14/31(p) | 200,000 | 199,910 | |
UFC Holdings LLC, Term B-3 Loan, (3M USD CME Term SOFR + 2.75%, 0.75% Floor), 8.34%, 4/29/26 | 143,989 | 144,213 | |
1,426,897 | |||
Leisure Products – 0.2% | |||
19th Holdings Golf LLC, Initial Term Loan, (1M USD CME Term SOFR + 3.25%, 0.50% Floor), 8.67%, 2/07/29 | 451,950 | 445,455 | |
Medical Equipment & Devices – 0.1% | |||
Medline Borrower L.P., Refinancing Term Loan, (1M USD CME Term SOFR + 2.75%, 0.50% Floor), 8.07%, 10/23/28 | 70,000 | 70,155 | |
Sotera Health Holdings LLC, Term Loan, (1M USD CME Term SOFR + 3.75%, 0.50% Floor), 9.07%, 12/11/26 | 138,950 | 139,211 | |
209,366 |
Par (a) | Value | ||
Metals & Mining – 0.0%(e) | |||
GEO Group, Inc., The Term Loan, (3M USD CME Term SOFR + 5.25%, 0.75% Floor), 10.57%, 4/04/29 | $ 80,000 | $ 80,934 | |
Publishing & Broadcasting – 0.2% | |||
Gray Television, Inc., Term D Loan, (1M USD CME Term SOFR + 3.00%), 8.44%, 12/01/28 | 148,469 | 139,206 | |
Learfield Communications LLC, 2023 Term Loan, (1M USD CME Term SOFR + 5.50%, 2.00% Floor), 10.82%, 6/30/28 | 209,125 | 209,821 | |
349,027 | |||
Retail - Discretionary – 0.2% | |||
Harbor Freight Tools USA, Inc., Initial Loan, (1M USD CME Term SOFR + 2.75%, 0.50% Floor), 8.18%, 10/19/27 | 273,062 | 273,135 | |
Michaels Companies, Inc., The Term B Loan, (3M USD CME Term SOFR + 4.25%, 0.75% Floor), 9.82%, 4/15/28 | 19,898 | 18,514 | |
Peer Holding III B.V., Facility B4, (3M USD CME Term SOFR + 3.25%), 8.56%, 10/28/30 | 120,000 | 120,400 | |
412,049 | |||
Software – 1.1% | |||
Cloudera, Inc., Initial Term Loan, | |||
(1M USD CME Term SOFR + 3.75%, 0.50% Floor), 9.17%, 10/08/28 | 370,613 | 368,604 | |
(1M USD CME Term SOFR + 6.00%), 11.42%, 10/08/29 | 50,000 | 47,938 | |
Cotiviti, Inc., Initial Floating Rate Term Loan, 5/01/31(p) | 140,000 | 140,116 | |
DCert Buyer, Inc., First Amendment Refinancing Loan, (1M USD CME Term SOFR + 7.00%), 12.32%, 2/19/29 | 340,000 | 304,939 | |
DCert Buyer, Inc., Initial Term Loan, (1M USD CME Term SOFR + 4.00%), 9.32%, 10/16/26 | 312,298 | 311,327 |
Par (a) | Value | ||
Software (Continued) | |||
Magenta Buyer LLC, Initial Term Loan, (3M USD CME Term SOFR + 5.00%, 0.75% Floor), 10.59%, 7/27/28 | $133,056 | $ 66,736 | |
Modena Buyer LLC, Term Loan, 4/18/31(p) | 250,000 | 244,532 | |
MRI Software LLC, Closing Date Term Loan, (3M USD CME Term SOFR + 5.50%, 1.00% Floor), 10.90%, 2/10/27 | 128,475 | 127,511 | |
MRI Software LLC, Second Amendment Term Loan, (3M USD CME Term SOFR + 5.50%, 1.00% Floor), 10.90%, 2/10/27 | 39,650 | 39,353 | |
Planview Parent, Inc., Closing Date Term Loan, (3M USD CME Term SOFR + 4.00%, 0.75% Floor), 9.56%, 12/17/27 | 217,876 | 217,264 | |
Project Alpha Intermediate Holding, Inc., Initial Term Loan, (3M USD CME Term SOFR + 4.75%, 0.50% Floor), 10.08%, 10/28/30 | 150,000 | 150,459 | |
2,018,779 | |||
Specialty Finance – 0.1% | |||
Apollo Commercial Real Estate Finance, Inc., Initial Term Loan, (1M USD CME Term SOFR + 2.75%), 8.18%, 5/15/26 | 74,307 | 73,126 | |
Greystone Select Financial LLC, Initial Term Loan, (3M USD CME Term SOFR + 5.00%), 10.59%, 6/16/28 | 170,542 | 169,263 | |
242,389 | |||
Technology Services – 0.8% | |||
Blackhawk Network Holdings, Inc., Additional Term B-1 Loan, (1M USD CME Term SOFR + 5.00%, 1.00% Floor), 10.32%, 3/12/29 | 100,000 | 100,268 | |
Boost Newco Borrower LLC, Initial USD Term Loan, (3M USD CME Term SOFR + 3.00%), 8.31%, 1/31/31 | 100,000 | 100,188 | |
Evertec Group LLC, Term Loan B, (1M USD CME Term SOFR + 3.50%, 0.50% Floor), 8.82%, 10/30/30 | 72,000 | 72,450 |
Par (a) | Value | ||
Technology Services (Continued) | |||
MPH Acquisition Holdings LLC, Initial Term Loan, (3M USD CME Term SOFR + 4.25%, 0.50% Floor), 9.85%, 9/01/28 | $138,931 | $ 128,285 | |
Neptune BidCo US, Inc., Term A Loan, (3M USD CME Term SOFR + 4.75%, 0.50% Floor), 10.16%, 10/11/28 | 247,500 | 230,794 | |
UST Global, Inc., Initial Term Loan, (1M USD CME Term SOFR + 3.50%), 8.94%, 11/20/28 | 449,650 | 448,715 | |
Verscend Holding Corp., Term B-1 Loan, (3M USD PRIME + 3.00%), 11.50%, 8/27/25 | 459,333 | 459,447 | |
1,540,147 | |||
Telecommunications – 0.0%(e) | |||
Lorca Holdco Ltd., Term Loan, 4/17/31(p) | 30,000 | 30,150 | |
Transportation – 0.1% | |||
Genesee & Wyoming, Inc., Initial Term Loan, 4/10/31(p) | 180,000 | 180,011 | |
Transportation & Logistics – 0.4% | |||
Brown Group Holding LLC, Incremental Term B-2 Facility, | |||
(3M USD CME Term SOFR + 3.00%, 0.50% Floor), 8.34%, 7/02/29 | 6,711 | 6,715 | |
(3M USD CME Term SOFR + 3.00%, 0.50% Floor), 8.33%, 7/02/29 | 14,142 | 14,151 | |
(3M USD CME Term SOFR + 3.00%, 0.50% Floor), 8.32%, 7/02/29 | 8,921 | 8,927 | |
Brown Group Holding LLC, Initial Term Loan, (1M USD CME Term SOFR + 2.75%, 0.50% Floor), 8.17%, 6/07/28 | 302,515 | 302,470 |
Par (a) | Value | ||
Transportation & Logistics (Continued) | |||
United AirLines, Inc., Class B Term Loan, (3M USD CME Term SOFR + 2.75%), 8.08%, 2/22/31 | $180,000 | $ 180,506 | |
WWEX UNI TopCo Holdings LLC, Initial Term Loan, (3M USD CME Term SOFR + 4.00%, 0.75% Floor), 9.57%, 7/26/28 | 242,301 | 239,299 | |
752,068 | |||
Total Term Loans (Cost $17,344,981) | 16,707,235 |
Number of Shares | |||
Investment Companies – 10.9% | |||
Schwab Short-Term U.S. Treasury ETF | 204,234 | 9,772,597 | |
Vanguard Intermediate-Term Treasury ETF | 66,246 | 3,788,608 | |
Vanguard Long-Term Treasury ETF(h) | 130,973 | 7,276,860 | |
Total Investment Companies (Cost $23,558,098) | 20,838,065 |
Par (a)/Number of Shares | |||
Short-Term Investments – 6.7% | |||
Corporate Bonds – 0.6% | |||
American Airlines Pass Through Trust, Series 2017-1, Class B, 4.95%, 2/15/25 | 91,140 | 89,848 | |
DISH DBS Corp., 5.88%, 11/15/24(h) | 300,000 | 282,594 | |
Las Vegas Sands Corp., 3.20%, 8/08/24 | 250,000 | 247,591 | |
Occidental Petroleum Corp., 2.90%, 8/15/24 | 90,000 | 89,128 | |
Plains All American Pipeline L.P., (3M CME Term SOFR + 4.37%), 9.68%, 6/03/24(c)(j) | 180,000 | 177,966 | |
QVC, Inc., 4.45%, 2/15/25 | 280,000 | 271,855 | |
1,158,982 | |||
Foreign Issuer Bonds – 0.7% | |||
Credit Suisse A.G., | |||
4.75%, 8/09/24 | 260,000 | 259,343 |
Par (a)/Number of Shares | Value | ||
Foreign Issuer Bonds (Continued) | |||
Credit Suisse A.G., | |||
7.95%, 1/09/25 | 250,000 | $ 253,365 | |
Global Aircraft Leasing Co. Ltd., (100% Cash), 6.50%, 9/15/24(b)(l) | 258,090 | 244,146 | |
Petrobras Global Finance B.V., 5.30%, 1/27/25 | 150,000 | 148,884 | |
Turk Telekomunikasyon AS, 6.88%, 2/28/25(b) | 250,000 | 249,375 | |
Wynn Macau Ltd., 4.88%, 10/01/24(b) | 280,000 | 277,724 | |
1,432,837 | |||
Money Market Funds – 5.4% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 5.37%(r)(s) | 5,081,368 | 5,081,368 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 5.14%(r) | 5,262,505 | 5,262,505 | |
10,343,873 | |||
Total Short-Term Investments (Cost $12,912,197) | 12,935,692 |
Number of Contracts | Notional Amount | ||
Purchased Options – 0.0%(e) | |||
Put Options - Over the Counter – 0.0%(e) | |||
Brazilian Real vs. U.S. Dollar, Strike Price BRL 1.13, Expires 6/14/24, Counterparty: Goldman Sachs | 1 | 295,000 | 2,167 |
Brazilian Real vs. U.S. Dollar, Strike Price BRL 5.19, Expires 6/17/24, Counterparty: Citibank | 1 | 214,666 | 2,819 |
Total Purchased Options (Premiums Paid $5,502) | 4,986 |
Total Investments – 103.1% (Cost $193,768,125) | 197,456,210 | ||
Total Written Options — 0.0%(e) (Premiums Received $1,778) | (1,111) | ||
Liabilities less Other Assets – (3.1)%(t) | (5,944,713) | ||
NET ASSETS – 100.0% | $191,511,497 |
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. As of April 30, 2024, these securities had a total value of $45,779,842 or 23.90% of net assets. | ||
(c) | Variable or floating rate security. Rate as of April 30, 2024 is disclosed. | ||
(d) | When-Issued Security. Coupon rate was not yet in effect at April 30, 2024. | ||
(e) | Amount rounds to less than 0.05%. | ||
(f) | Security sold outside United States without registration under the Securities Act of 1933. | ||
(g) | Investment is valued using significant unobservable inputs (Level 3) (See Note 4 regarding investments in Russian securities). | ||
(h) | Security either partially or fully on loan. (See Note 7). | ||
(i) | Zero coupon bond. | ||
(j) | Perpetual bond. Maturity date represents next call date. | ||
(k) | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate as of April 30, 2024 is disclosed. | ||
(l) | Distributions from this security are made via payments in-kind (PIK) unless otherwise noted in the description. | ||
(m) | Investment is valued using significant unobservable inputs (Level 3). | ||
(n) | Step coupon bond. Rate as of April 30, 2024 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 April 30, 2024 is disclosed. | ||
(p) | Position is unsettled. Contract rate was not determined at April 30, 2024 and does not take effect until settlement date. | ||
(q) | Unfunded loan commitment. As of April 30, 2024, total value of unfunded loan commitment is $294,378. | ||
(r) | 7-day current yield as of April 30, 2024 is disclosed. | ||
(s) | Security purchased with the cash proceeds from securities loaned. (See Note 7). | ||
(t) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures, swap and written options 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 |
CDI | CREST Depository Interest |
CDO | Collateralized Debt Obligation |
CLO | Collateralized Loan Obligation |
CME | Chicago Mercantile Exchange |
CMT | Constant Maturity |
CR | Custody Receipt |
ETF | Exchange-Traded Fund |
EUR | Euro |
FNMA | Federal National Mortgage Association |
Freddie Mac | Federal Home Loan Mortgage Corporation |
GBP | British Pound |
INR | Indian Rupee |
JMD | Jamaica Dollar |
JSC | Joint Stock Company |
L.P. | Limited Partnership |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
MTN | Medium Term Note |
MXN | Mexican Peso |
PJSC | Public Joint Stock Company |
PLC | Public Limited Company |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | United States Secured Overnight Financing Rate |
SONIA | Sterling Overnight Index Average |
STACR | Structured Agency Credit Risk |
TIIE | Tasa de Interés Interbancaria de Equilibrio |
ULC | Unlimited Liability Corporation |
USD | United States Dollar |
UYU | Uruguay Peso |
Concentration by Currency (%)(a) | |
U.S. Dollar | 69.8 |
Euro | 7.2 |
All other currencies less than 5% | 23.0 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Country Diversification (%)(a) | |
United States | 59.8 |
All other countries less than 5%(b) | 40.2 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
(b) Includes Other. |
Futures Contracts outstanding at April 30, 2024: Exchange Traded | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | |||||
Euro-Bund | 20 | 6/06/2024 | EUR | 2,776,428 | $ (50,677) |
10-Year Australian Treasury Bond | 8 | 6/17/2024 | AUD | 583,178 | (21,119) |
10-Year U.S. Treasury Note | 3 | 6/18/2024 | USD | 322,313 | (11,531) |
U.S. Treasury Long Bond | 43 | 6/18/2024 | USD | 4,893,937 | (196,802) |
Ultra U.S. Treasury Bond | 9 | 6/18/2024 | USD | 1,076,062 | (67,836) |
Long Gilt | 14 | 6/26/2024 | GBP | 1,675,547 | (53,553) |
2-Year U.S. Treasury Note | 65 | 6/28/2024 | USD | 13,172,656 | (142,273) |
5-Year U.S. Treasury Note | 86 | 6/28/2024 | USD | 9,007,828 | (167,717) |
3-Month SONIA | 13 | 9/18/2024 | GBP | 3,854,331 | 21,431 |
CME 3-Month SOFR | 17 | 3/18/2025 | USD | 4,034,950 | (71,525) |
Total Long Contracts | $(761,602) | ||||
Short Contracts |
Futures Contracts outstanding at April 30, 2024: Exchange Traded (continued) | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
CME 3-Month SOFR | (7) | 6/18/2024 | USD | 1,656,463 | $ (1,412) |
Ultra 10-Year U.S. Treasury Note | (8) | 6/18/2024 | USD | 881,750 | 34,406 |
Total Short Contracts | $ 32,994 | ||||
$(728,608) |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2024: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
7/19/24 | U.S. Dollars | 208,307 | Mexican Pesos | 3,466,403 | JPMorgan Chase | $ 8,605 |
5/03/24 | U.S. Dollars | 391,013 | Brazilian Reals | 2,009,066 | Morgan Stanley | 4,206 |
7/19/24 | U.S. Dollars | 948,338 | British Pounds | 756,165 | Citibank | 3,043 |
7/19/24 | British Pounds | 150,000 | U.S. Dollars | 185,946 | Citibank | 1,571 |
5/03/24 | Brazilian Reals | 429,332 | U.S. Dollars | 81,404 | Citibank | 1,256 |
7/19/24 | U.S. Dollars | 130,976 | Australian Dollars | 200,000 | Citibank | 1,109 |
7/19/24 | Euro | 260,000 | U.S. Dollars | 277,631 | Citibank | 836 |
7/19/24 | U.S. Dollars | 150,772 | Euro | 140,000 | Citibank | 828 |
7/19/24 | Canadian Dollars | 420,000 | U.S. Dollars | 304,941 | Morgan Stanley | 567 |
5/03/24 | U.S. Dollars | 83,014 | Brazilian Reals | 429,332 | Citibank | 354 |
5/03/24 | Brazilian Reals | 200,000 | U.S. Dollars | 38,227 | Morgan Stanley | 279 |
7/19/24 | Mexican Pesos | 490,000 | U.S. Dollars | 28,008 | Morgan Stanley | 221 |
6/17/24 | U.S. Dollars | 114,000 | Brazilian Reals | 594,111 | Goldman Sachs | 120 |
7/19/24 | Canadian Dollars | 270,000 | U.S. Dollars | 196,337 | BNP Paribas | 61 |
Total Unrealized Appreciation | $ 23,056 | |||||
7/19/24 | U.S. Dollars | 404,264 | Chinese Offshore Yuan | 2,920,000 | JPMorgan Chase | $ —* |
7/19/24 | Canadian Dollars | 2,946 | U.S. Dollars | 2,155 | Morgan Stanley | (12) |
7/19/24 | U.S. Dollars | 124,954 | British Pounds | 100,000 | Citibank | (58) |
7/19/24 | Japanese Yen | 4,025,808 | U.S. Dollars | 26,928 | BNP Paribas | (1,084) |
7/19/24 | U.S. Dollars | 301,344 | Indonesian Rupiahs | 4,930,887,408 | JPMorgan Chase | (1,147) |
6/18/24 | U.S. Dollars | 84,435 | Brazilian Reals | 446,600 | Citibank | (1,160) |
5/03/24 | Brazilian Reals | 1,809,066 | U.S. Dollars | 349,480 | Morgan Stanley | (1,178) |
7/19/24 | U.S. Dollars | 1,039,847 | Euro | 973,000 | Goldman Sachs | (2,266) |
7/19/24 | Norwegian Kroner | 4,261,171 | U.S. Dollars | 390,299 | BNP Paribas | (5,905) |
7/19/24 | Mexican Pesos | 3,790,000 | U.S. Dollars | 224,687 | JPMorgan Chase | (6,342) |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2024: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
7/19/24 | Australian Dollars | 2,008,982 | U.S. Dollars | 1,312,797 | Citibank | $ (8,295) |
7/19/24 | Brazilian Reals | 5,629,199 | U.S. Dollars | 1,099,674 | Morgan Stanley | (24,306) |
Total Unrealized Depreciation | $ (51,753) | |||||
Net Unrealized Depreciation | $(28,697) |
*Amount rounds to less than one dollar. |
Written Put Option Contracts outstanding at April 30, 2024: Over the Counter | ||||||||
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
Mexican Peso vs. U.S. Dollar | Citibank | 1 | USD | 313,555 | MXN | 16.80 | 6/04/2024 | $ (1,111) |
Total Written OTC Put Options Contracts (Premiums Received $1,778) | $(1,111) |
Interest Rate Swap Contracts outstanding at April 30, 2024: 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) | 3/01/2030 | MXN | 27,411,000 | $ (51,171) | $— | $ (51,171) |
Total | $(51,171) | $— | $(51,171) |
Interest Rate Swap Contracts outstanding at April 30, 2024: 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) | 10.26% (At Maturity) | JPMorgan Chase | 1/02/2029 | BRL | 4,416,982 | $ (43,977) | $— | $ (43,977) |
Total | $(43,977) | $— | $(43,977) |
Centrally Cleared
Reference Obligation | Fixed Deal Pay Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||
Macy's Retail Holdings LLC, 4.50%, Due: 12/15/2034 (Pay Quarterly) | 1.00% | 12/20/2028 | USD | 59,300 | $4,899 | $7,340 | $ (2,441) | |
Total | $4,899 | $7,340 | $(2,441) |
Credit Default Swap Contracts outstanding - Sell Protection as of April 30, 2024: Centrally Cleared | ||||||||
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
Nordstorm, Inc., 6.95%, Due: 3/15/2028 (Pay Quarterly) | 3.71% | 1.00% | 12/20/2028 | USD | 59,300 | $ (6,137) | $ (7,905) | $1,768 |
Total | $(6,137) | $(7,905) | $1,768 |
Total Return Swap Contracts outstanding as of April 30, 2024: | ||||||||
Over the Counter | ||||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Counterparty | Maturity Date | Notional Amount | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
2-Day USD SOFR (Quarterly) | JPMorgan Chase | 8/1/2024 | USD | 374,000 | $— | $— | $— | |
Total | $— | $— | $— |
Morningstar Global Income Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 7,537,999 | $ — | $ 7,537,999 |
Common Stocks | 53,428,330 | 30,400,403 | —* | 83,828,733 |
Convertible Bonds | — | 341,522 | — | 341,522 |
Convertible Preferred Stocks | — | 120,127 | — | 120,127 |
Corporate Bonds | — | 21,770,254 | 475,200 | 22,245,454 |
Foreign Government Inflation-Linked Bonds | — | 55,546 | — | 55,546 |
Foreign Issuer Bonds | — | 13,139,982 | — | 13,139,982 |
Master Limited Partnerships | 6,926,270 | — | — | 6,926,270 |
Morningstar Global Income Fund | Level 1 | Level 2 | Level 3 | Totals |
Mortgage-Backed Securities | $ — | $ 12,774,599 | $ — | $ 12,774,599 |
Term Loans | — | 16,707,235 | — | 16,707,235 |
Investment Companies | 20,838,065 | — | — | 20,838,065 |
Short-Term Investments | 10,343,873 | 2,591,819 | — | 12,935,692 |
Purchased Options | — | 4,986 | — | 4,986 |
Total Investments | $91,536,538 | $105,444,472 | $475,200 | $197,456,210 |
*Includes securities determined to have no value as of April 30, 2024. |
Morningstar Global Income Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Futures Contracts | $ 55,837 | $ — | $— | $ 55,837 |
Forward Foreign Currency Exchange Contracts | — | 23,056 | — | 23,056 |
Swap Agreements | — | 4,899 | — | 4,899 |
Total Assets - Derivative Financial Instruments | $ 55,837 | $ 27,955 | $— | $ 83,792 |
Liabilities: | ||||
Futures Contracts | $(784,445) | $ — | $— | $(784,445) |
Forward Foreign Currency Exchange Contracts | — | (51,753) | — | (51,753) |
Written Options | — | (1,111) | — | (1,111) |
Swap Agreements | — | (101,285) | — | (101,285) |
Total Liabilities - Derivative Financial Instruments | $(784,445) | $(154,149) | $— | $(938,594) |
Net Derivative Financial Instruments | $(728,608) | $(126,194) | $— | $(854,802) |
Par (a) | Value | ||
Long Positions – 107.2% | |||
Asset-Backed Securities – 3.8% | |||
Other – 3.7% | |||
522 Funding CLO Ltd., Series 2020-6A, Class A1R, (3M CME Term SOFR + 1.41%, 1.15% Floor), 6.74%, 10/23/34(b)(c) | $610,000 | $611,042 | |
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) | 392,405 | 391,984 | |
AGL CLO 13 Ltd., Series 2021-13A, Class A1, (3M CME Term SOFR + 1.42%, 1.16% Floor), 6.75%, 10/20/34(b)(c) | 250,000 | 250,448 | |
AIMCO CLO, Series 2017-AA, Class AR, (3M CME Term SOFR + 1.31%, 1.05% Floor), 6.64%, 4/20/34(b)(c) | 270,000 | 269,869 | |
Allegro CLO VII Ltd., Series 2018-1A, Class A, (3M CME Term SOFR + 1.36%, 1.10% Floor), 6.69%, 6/13/31(b)(c) | 195,684 | 195,775 | |
AMMC CLO 21 Ltd., Series 2017-21A, Class A, (3M CME Term SOFR + 1.51%, 1.25% Floor), 6.84%, 11/02/30(b)(c) | 153,797 | 153,891 | |
Ares Loan Funding IV Ltd., Series 2023-ALF4A, Class A1, (3M CME Term SOFR + 1.75%, 1.75% Floor), 7.08%, 10/15/36(b)(c) | 480,000 | 484,529 | |
Ares LXIII CLO Ltd., Series 2022-63A, Class A1A, (3M CME Term SOFR + 1.38%, 1.38% Floor), 6.70%, 4/20/35(b)(c) | 540,000 | 539,687 | |
ARES XLIV CLO Ltd., Series 2017-44A, Class A1R, (3M CME Term SOFR + 1.34%, 1.08% Floor), 6.67%, 4/15/34(b)(c) | 460,000 | 459,627 | |
Atrium IX, Series 9A, Class AR2, (3M CME Term SOFR + 1.25%, 0.99% Floor), 6.59%, 5/28/30(b)(c) | 511,388 | 511,533 | |
Avis Budget Rental Car Funding AESOP LLC, Series 2021-1A, Class A, 1.38%, 8/20/27(b) | 770,000 | 702,138 |
Par (a) | Value | ||
Other (Continued) | |||
Benefit Street Partners CLO V-B Ltd., Series 2018-5BA, Class A1A, (3M CME Term SOFR + 1.35%), 6.68%, 4/20/31(b)(c) | $200,214 | $200,328 | |
Birch Grove CLO 7 Ltd., Series 2023-7A, Class A1, (3M CME Term SOFR + 1.80%, 1.80% Floor), 7.18%, 10/20/36(b)(c) | 270,000 | 271,792 | |
Birch Grove CLO 8 Ltd., Series 2024-8A, Class A1, (3M CME Term SOFR + 1.63%, 1.63% Floor), 6.93%, 4/20/37(b)(c) | 210,000 | 211,239 | |
BlueMountain CLO Ltd., | |||
Series 2013-2A, Class A1R, (3M CME Term SOFR + 1.44%), 6.77%, 10/22/30(b)(c) | 112,200 | 112,203 | |
Series 2015-3A, Class A1R, (3M CME Term SOFR + 1.26%), 6.59%, 4/20/31(b)(c) | 196,313 | 196,381 | |
BlueMountain Fuji U.S. CLO I Ltd., Series 2017-1A, Class A1R, (3M CME Term SOFR + 1.24%, 0.98% Floor), 6.57%, 7/20/29(b)(c) | 177,208 | 177,292 | |
BlueMountain Fuji U.S. CLO II Ltd., Series 2017-2A, Class A1AR, (3M CME Term SOFR + 1.26%), 6.59%, 10/20/30(b)(c) | 181,917 | 182,036 | |
Brightwood Capital MM CLO Ltd., Series 2023-1A, Class A1A, (3M CME Term SOFR + 2.75%, 2.75% Floor), 8.08%, 10/15/35(b)(c) | 320,000 | 321,895 | |
Carbone CLO Ltd., Series 2017-1A, Class A1, (3M CME Term SOFR + 1.40%), 6.73%, 1/20/31(b)(c) | 178,747 | 179,037 | |
Carlyle Global Market Strategies CLO Ltd., | |||
Series 2014-1A, Class A1R2, (3M CME Term SOFR + 1.23%, 0.97% Floor), 6.55%, 4/17/31(b)(c) | 175,771 | 175,771 |
Par (a) | Value | ||
Other (Continued) | |||
Carlyle Global Market Strategies CLO Ltd., | |||
Series 2014-2RA, Class A1, (3M CME Term SOFR + 1.31%), 6.62%, 5/15/31(b)(c) | $600,905 | $602,045 | |
Series 2014-3RA, Class A1A, (3M CME Term SOFR + 1.31%), 6.64%, 7/27/31(b)(c) | 354,267 | 354,382 | |
Cascade MH Asset Trust, Series 2021-MH1, Class A1, 1.75%, 2/25/46(b) | 110,101 | 93,283 | |
Cayuga Park CLO Ltd., Series 2020-1A, Class AR, (3M CME Term SOFR + 1.38%, 1.38% Floor), 6.70%, 7/17/34(b)(c) | 690,000 | 691,857 | |
CIFC Funding Ltd., | |||
Series 2013-3RA, Class A1, (3M CME Term SOFR + 1.24%, 0.98% Floor), 6.56%, 4/24/31(b)(c) | 204,722 | 205,064 | |
Series 2014-2RA, Class A1, (3M CME Term SOFR + 1.31%, 1.05% Floor), 6.63%, 4/24/30(b)(c) | 127,541 | 127,757 | |
Series 2015-3A, Class AR, (3M CME Term SOFR + 1.13%), 6.46%, 4/19/29(b)(c) | 107,235 | 107,166 | |
Series 2017-4A, Class A1R, (3M CME Term SOFR + 1.21%, 0.95% Floor), 6.53%, 10/24/30(b)(c) | 158,444 | 158,634 | |
Series 2017-5A, Class A1, (3M CME Term SOFR + 1.44%), 6.76%, 11/16/30(b)(c) | 177,860 | 178,053 | |
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class M3A, (1M CME Term SOFR + 3.86%, 3.75% Floor), 9.18%, 7/25/37(c) | 500,000 | 467,695 | |
CLI Funding VIII LLC, Series 2023-1A, Class A, 6.31%, 6/18/48(b) | 278,604 | 276,070 | |
Dewolf Park CLO Ltd., Series 2017-1A, Class AR, (3M CME Term SOFR + 1.18%, 0.90% Floor), 6.51%, 10/15/30(b)(c) | 210,342 | 210,447 |
Par (a) | Value | ||
Other (Continued) | |||
Dryden 87 CLO Ltd., Series 2021-87A, Class A1, (3M CME Term SOFR + 1.36%, 1.10% Floor), 6.68%, 5/20/34(b)(c) | $770,000 | $771,156 | |
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR, (3M CME Term SOFR + 1.16%), 6.49%, 4/15/29(b)(c) | 165,875 | 166,058 | |
Elmwood CLO IV Ltd., Series 2020-1A, Class A, (3M CME Term SOFR + 1.50%, 1.24% Floor), 6.83%, 4/15/33(b)(c) | 290,000 | 290,152 | |
Empower CLO Ltd., Series 2024-1, Class A1, (3M CME Term SOFR + 1.60%, 1.60% Floor), 6.91%, 4/25/37(b)(c) | 220,000 | 220,046 | |
Enterprise Fleet Financing LLC, Series 2023-1, Class A2, 5.51%, 1/22/29(b) | 292,946 | 292,309 | |
First Franklin Mortgage Loan Trust, | |||
Series 2003-FF4, Class M1, (1M CME Term SOFR + 1.91%, 1.80% Floor), 7.24%, 10/25/33(c) | 218,144 | 206,784 | |
Series 2006-FF13, Class A1, (1M CME Term SOFR + 0.35%, 0.24% Floor), 5.67%, 10/25/36(c) | 26,667 | 16,981 | |
Series 2006-FF13, Class A2C, (1M CME Term SOFR + 0.43%, 0.32% Floor), 5.75%, 10/25/36(c) | 15,559 | 9,736 | |
Flatiron CLO 17 Ltd., Series 2017-1A, Class AR, (3M CME Term SOFR + 1.24%, 0.98% Floor), 6.55%, 5/15/30(b)(c) | 122,283 | 122,386 | |
Ford Credit Auto Owner Trust, Series 2023-1, Class A, 4.85%, 8/15/35(b) | 830,000 | 814,143 | |
Generate CLO 2 Ltd., Series 2015-1A, Class AR, (3M CME Term SOFR + 1.41%, 1.15% Floor), 6.74%, 1/22/31(b)(c) | 175,977 | 176,022 |
Par (a) | Value | ||
Other (Continued) | |||
GoldentTree Loan Management U.S. CLO 1 Ltd., Series 2021-11A, Class A, (3M CME Term SOFR + 1.39%, 1.13% Floor), 6.72%, 10/20/34(b)(c) | $300,000 | $300,318 | |
Golub Capital Partners CLO Ltd., Series 2015-25A, Class AR, (3M CME Term SOFR + 1.64%, 1.38% Floor), 6.91%, 5/05/30(b)(c) | 162,873 | 162,974 | |
GSAA Home Equity Trust, Series 2006-4, Class 1A1, 4.19%, 3/25/36(d) | 43,388 | 28,767 | |
Hardee's Funding LLC, Series 2021-1A, Class A2, 2.87%, 6/20/51(b) | 408,450 | 342,118 | |
Hertz Vehicle Financing LLC, | |||
Series 2021-1A, Class A, 1.21%, 12/26/25(b) | 630,000 | 617,210 | |
Series 2021-1A, Class C, 2.05%, 12/26/25(b) | 420,000 | 411,588 | |
Hildene Community Funding CDO Ltd., Series 2015-1A, Class ARR, 2.60%, 11/01/35(b) | 428,742 | 349,958 | |
JGWPT XXXIII LLC, Series 2014-3A, Class A, 3.50%, 6/15/77(b) | 628,068 | 540,642 | |
KKR CLO 32 Ltd., Series 32A, Class A1, (3M CME Term SOFR + 1.58%, 1.32% Floor), 6.91%, 1/15/32(b)(c) | 143,357 | 143,409 | |
Logan CLO I Ltd., Series 2021-1A, Class AR1, (3M CME Term SOFR + 1.52%, 1.52% Floor), 6.84%, 4/20/37(b)(e) | 230,000 | 230,000 | |
Long Beach Mortgage Loan Trust, Series 2006-6, Class 2A3, (1M CME Term SOFR + 0.41%, 0.30% Floor), 5.73%, 7/25/36(c) | 721,670 | 271,302 | |
Madison Park Funding XIII Ltd., Series 2014-13A, Class AR2, (3M CME Term SOFR + 1.21%, 0.95% Floor), 6.54%, 4/19/30(b)(c) | 170,148 | 170,265 |
Par (a) | Value | ||
Other (Continued) | |||
Madison Park Funding XVIII Ltd., Series 2015-18A, Class ARR, (3M CME Term SOFR + 1.20%, 0.94% Floor), 6.53%, 10/21/30(b)(c) | $479,283 | $479,441 | |
Madison Park Funding XXIII Ltd., Series 2017-23A, Class AR, (3M CME Term SOFR + 1.23%, 0.97% Floor), 6.56%, 7/27/31(b)(c) | 239,511 | 239,757 | |
Madison Park Funding XXX Ltd., Series 2018-30A, Class A, (3M CME Term SOFR + 1.01%, 1.01% Floor), 6.34%, 4/15/29(b)(c) | 183,905 | 183,989 | |
Magnetite VII Ltd., Series 2016-17A, Class AR2, (3M CME Term SOFR + 1.50%, 1.50% Floor), 6.82%, 4/20/37(b)(c) | 320,000 | 320,000 | |
Merrill Lynch Mortgage Investors Trust, Series 2004-WMC5, Class M1, (1M CME Term SOFR + 1.04%, 0.93% Floor), 6.36%, 7/25/35(c) | 142,701 | 140,196 | |
Myers Park CLO Ltd., Series 2018-1A, Class B1, (3M CME Term SOFR + 1.86%, 1.60% Floor), 7.19%, 10/20/30(b)(c) | 250,000 | 250,379 | |
Navient Student Loan Trust, | |||
Series 2017-1A, Class A3, (30D Average SOFR + 1.26%), 6.59%, 7/26/66(b)(c) | 175,000 | 176,291 | |
Series 2017-2A, Class A, (30D Average SOFR + 1.16%), 6.49%, 12/27/66(b)(c) | 83,646 | 83,578 | |
NP SPE X L.P., Series 2021-1A, Class A1, 2.23%, 3/19/51(b) | 775,881 | 703,012 | |
OCP CLO Ltd., Series 2017-14A, Class A1A, (3M CME Term SOFR + 1.41%, 1.15% Floor), 6.73%, 11/20/30(b)(c) | 177,624 | 177,593 | |
Octagon 66 Ltd., Series 2022-1A, Class A1R, (3M CME Term SOFR + 1.75%, 1.75% Floor), 7.08%, 11/16/36(b)(c) | 650,000 | 654,208 |
Par (a) | Value | ||
Other (Continued) | |||
Octagon Investment Partners XXI Ltd., | |||
Series 2012-1A, Class AAR3, (3M CME Term SOFR + 1.26%, 1.00% Floor), 6.57%, 2/14/31(b)(c) | $260,000 | $260,084 | |
Series 2012-1A, Class AARR, (3M CME Term SOFR + 1.21%, 0.95% Floor), 6.54%, 7/15/29(b)(c) | 488,419 | 488,569 | |
OHA Credit Funding 7 Ltd., Series 2020-7A, Class AR, (3M CME Term SOFR + 1.30%, 1.30% Floor), 6.63%, 2/24/37(b)(c) | 350,000 | 349,410 | |
Option One Mortgage Loan Trust, Series 2004-3, Class M1, (1M CME Term SOFR + 0.89%, 0.78% Floor), 6.21%, 11/25/34(c) | 70,651 | 69,134 | |
PFS Financing Corp., Series 2021-B, Class A, 0.77%, 8/15/26(b) | 910,000 | 897,205 | |
Pikes Peak CLO 8, Series 2021-8A, Class B, (3M CME Term SOFR + 2.01%, 1.75% Floor), 7.34%, 7/20/34(b)(c) | 570,000 | 571,525 | |
Point Au Roche Park CLO Ltd., Series 2021-1A, Class A, (3M CME Term SOFR + 1.34%, 1.08% Floor), 6.67%, 7/20/34(b)(c) | 620,000 | 619,640 | |
PRPM LLC, Series 2022-1, Class A1, (Step to 6.72% on 3/25/25), 3.72%, 2/25/27(b)(f) | 298,633 | 291,762 | |
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) | 550,000 | 554,731 | |
Regatta IX Funding Ltd., Series 2017-1A, Class B1R, (3M CME Term SOFR + 2.00%, 2.00% Floor), 7.32%, 4/17/37(b)(c) | 360,000 | 360,000 | |
Renaissance Home Equity Loan Trust, Series 2005-2, Class AV3, (1M CME Term SOFR + 0.85%, 0.74% Floor, 14.00% Cap), 6.17%, 8/25/35(c) | 283,465 | 248,857 |
Par (a) | Value | ||
Other (Continued) | |||
RR 3 Ltd., Series 2018-3A, Class A1R2, (3M CME Term SOFR + 1.35%, 1.09% Floor), 6.68%, 1/15/30(b)(c) | $149,951 | $150,165 | |
SBA Small Business Investment Cos., Series 2021-10A, Class 1, 1.67%, 3/10/31 | 209,195 | 180,509 | |
Silver Rock CLO I Ltd., Series 2020-1A, Class AR, (3M CME Term SOFR + 1.78%, 1.78% Floor), 1.83%, 10/20/33(b)(c) | 550,000 | 551,657 | |
SLM Private Credit Student Loan Trust, Series 2006-B, Class A5, (3M CME Term SOFR + 0.53%), 5.86%, 12/15/39(c) | 142,869 | 139,217 | |
SMB Private Education Loan Trust, | |||
Series 2020-A, Class A2A, 2.23%, 9/15/37(b) | 128,012 | 119,454 | |
Series 2021-A, Class A2B, 1.59%, 1/15/53(b) | 427,924 | 377,170 | |
Series 2021-E, Class A1A, 1.68%, 2/15/51(b) | 120,587 | 108,801 | |
Storm King Park CLO Ltd., Series 2022-1A, Class A1, (3M CME Term SOFR + 2.05%, 2.05% Floor), 7.38%, 10/15/35(b)(c) | 250,000 | 252,995 | |
Sunrun Vulcan Issuer LLC, Series 2021-1A, Class A, 2.46%, 1/30/52(b) | 550,814 | 455,715 | |
Symphony CLO 40 Ltd., Series 2023-40A, Class A1, (3M CME Term SOFR + 1.64%, 1.64% Floor), 6.97%, 1/14/34(b)(c) | 520,000 | 521,301 | |
TCI-Symphony CLO Ltd., Series 2016-1A, Class AR2, (3M CME Term SOFR + 1.28%, 1.02% Floor), 6.61%, 10/13/32(b)(c) | 221,153 | 221,501 | |
Trinitas CLO XXV Ltd., Series 2023-25A, Class A1, (3M CME Term SOFR + 1.85%, 1.85% Floor), 7.18%, 1/23/37(b)(c) | 180,000 | 181,450 |
Par (a) | Value | ||
Other (Continued) | |||
United States Small Business Administration, | |||
Series 2019-20D, Class 1, 2.98%, 4/01/39 | $ 29,097 | $ 25,788 | |
Series 2019-25G, Class 1, 2.69%, 7/01/44 | 50,057 | 42,432 | |
Voya CLO Ltd., | |||
Series 2017-3A, Class A1R, (3M CME Term SOFR + 1.30%), 6.63%, 4/20/34(b)(c) | 230,000 | 230,119 | |
Series 2018-2A, Class A1, (3M CME Term SOFR + 1.26%, 1.00% Floor), 6.59%, 7/15/31(b)(c) | 410,537 | 410,805 | |
Whitebox CLO II Ltd., Series 2020-2A, Class A1R, (3M CME Term SOFR + 1.48%, 1.22% Floor), 6.80%, 10/24/34(b)(c) | 290,000 | 290,432 | |
Whitebox CLO III Ltd., Series 2021-3A, Class A1, (3M CME Term SOFR + 1.48%, 1.22% Floor), 6.81%, 10/15/34(b)(c) | 420,000 | 420,555 | |
Woodmont Trust, Series 2023-12A, Class A1A, (3M CME Term SOFR + 2.50%), 7.82%, 7/25/31(b)(c) | 441,045 | 446,288 | |
29,970,989 | |||
Specialty Finance – 0.1% | |||
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3, (90D Average SOFR + 1.26%), 6.61%, 10/27/36(c) | 111,951 | 111,957 | |
SLM Private Education Loan Trust, Series 2010-C, Class A5, (1M CME Term SOFR + 4.86%), 10.19%, 10/15/41(b)(c) | 187,629 | 201,378 | |
Whitebox CLO IV Ltd., Series 2023-4A, Class A1, (3M CME Term SOFR + 2.15%, 2.15% Floor), 7.47%, 4/20/36(b)(c) | 540,000 | 545,224 | |
858,559 | |||
Total Asset-Backed Securities (Cost $31,540,463) | 30,829,548 |
Par (a) | Value | ||
Corporate Bonds – 16.9% | |||
Aerospace & Defense – 0.8% | |||
Boeing (The) Co., | |||
4.88%, 5/01/25 | $170,000 | $167,889 | |
2.20%, 2/04/26 | 330,000 | 307,816 | |
3.10%, 5/01/26 | 40,000 | 37,680 | |
2.70%, 2/01/27 | 30,000 | 27,343 | |
2.80%, 3/01/27 | 40,000 | 36,452 | |
3.20%, 3/01/29 | 110,000 | 96,155 | |
5.15%, 5/01/30 | 110,000 | 104,037 | |
3.25%, 2/01/35 | 10,000 | 7,534 | |
3.75%, 2/01/50 | 40,000 | 25,789 | |
6.86%, 5/01/54(b) | 150,000 | 150,406 | |
3.95%, 8/01/59 | 99,000 | 61,872 | |
5.93%, 5/01/60 | 63,000 | 55,067 | |
7.01%, 5/01/64(b) | 90,000 | 90,082 | |
General Dynamics Corp., | |||
4.25%, 4/01/40 | 10,000 | 8,605 | |
4.25%, 4/01/50 | 70,000 | 57,731 | |
Huntington Ingalls Industries, Inc., 2.04%, 8/16/28 | 41,000 | 35,349 | |
L3Harris Technologies, Inc., | |||
4.40%, 6/15/28 | 167,000 | 160,006 | |
1.80%, 1/15/31 | 321,000 | 253,813 | |
5.25%, 6/01/31 | 233,000 | 227,069 | |
5.40%, 7/31/33 | 21,000 | 20,456 | |
5.35%, 6/01/34 | 590,000 | 570,120 | |
4.85%, 4/27/35 | 60,000 | 55,540 | |
Lockheed Martin Corp., | |||
1.85%, 6/15/30 | 40,000 | 32,934 | |
3.90%, 6/15/32 | 90,000 | 82,134 | |
3.60%, 3/01/35 | 100,000 | 85,589 | |
4.15%, 6/15/53 | 390,000 | 308,802 | |
5.20%, 2/15/64 | 50,000 | 46,420 | |
Northrop Grumman Corp., | |||
3.25%, 1/15/28 | 280,000 | 260,683 | |
4.70%, 3/15/33 | 100,000 | 94,758 | |
4.03%, 10/15/47 | 100,000 | 77,474 | |
5.25%, 5/01/50 | 614,000 | 572,083 | |
4.95%, 3/15/53 | 39,000 | 34,611 | |
RTX Corp., | |||
6.70%, 8/01/28(g) | 363,000 | 381,098 | |
7.00%, 11/01/28 | 168,000 | 176,272 | |
4.13%, 11/16/28(g) | 160,000 | 152,043 | |
5.75%, 1/15/29 | 603,000 | 612,505 | |
2.25%, 7/01/30 | 100,000 | 83,385 | |
6.00%, 3/15/31 | 150,000 | 153,781 | |
6.10%, 3/15/34 | 483,000 | 499,282 | |
5.40%, 5/01/35 | 51,000 | 49,945 | |
4.50%, 6/01/42 | 30,000 | 25,489 | |
4.15%, 5/15/45 | 150,000 | 118,244 |
Par (a) | Value | ||
Aerospace & Defense (Continued) | |||
RTX Corp., | |||
4.63%, 11/16/48 | $ 40,000 | $ 33,664 | |
3.13%, 7/01/50 | 120,000 | 77,115 | |
3.03%, 3/15/52(g) | 252,000 | 156,766 | |
Textron, Inc., 3.90%, 9/17/29 | 39,000 | 35,911 | |
6,707,799 | |||
Apparel & Textile Products – 0.0%(h) | |||
NIKE, Inc., | |||
2.75%, 3/27/27(g) | 100,000 | 93,746 | |
2.85%, 3/27/30(g) | 100,000 | 88,326 | |
3.25%, 3/27/40 | 50,000 | 38,295 | |
3.38%, 3/27/50 | 10,000 | 7,098 | |
227,465 | |||
Asset Management – 0.1% | |||
Charles Schwab (The) Corp., | |||
5.88%, 8/24/26 | 350,000 | 353,289 | |
(SOFR + 2.01%), 6.14%, 8/24/34(i) | 70,000 | 70,979 | |
Nuveen LLC, 4.00%, 11/01/28(b) | 100,000 | 95,032 | |
Vanguard Group (The), Inc., 3.05%, 8/22/50(j) | 170,000 | 102,090 | |
621,390 | |||
Automotive – 0.1% | |||
Ford Motor Co., 6.10%, 8/19/32 | 180,000 | 176,566 | |
Ford Motor Credit Co. LLC, 7.12%, 11/07/33 | 298,000 | 310,077 | |
General Motors Co., | |||
5.60%, 10/15/32(g) | 60,000 | 58,964 | |
6.60%, 4/01/36 | 10,000 | 10,290 | |
5.95%, 4/01/49(g) | 10,000 | 9,403 | |
General Motors Financial Co., Inc., | |||
6.10%, 1/07/34 | 71,000 | 70,535 | |
5.95%, 4/04/34 | 133,000 | 130,089 | |
765,924 | |||
Banking – 2.8% | |||
Bank of America Corp., | |||
(SOFR + 1.15%), 1.32%, 6/19/26(i) | 1,090,000 | 1,035,823 | |
(SOFR + 1.58%), 4.38%, 4/27/28(i) | 430,000 | 415,613 | |
(3M CME Term SOFR + 1.63%), 3.59%, 7/21/28(i) | 160,000 | 150,396 | |
(3M CME Term SOFR + 1.30%), 3.42%, 12/20/28(i) | 600,000 | 556,134 |
Par (a) | Value | ||
Banking (Continued) | |||
Bank of America Corp., | |||
(SOFR + 1.63%), 5.20%, 4/25/29(i) | $ 367,000 | $ 361,320 | |
(SOFR + 1.57%), 5.82%, 9/15/29(g)(i) | 883,000 | 888,195 | |
(3M CME Term SOFR + 1.47%), 3.97%, 2/07/30(i) | 620,000 | 576,282 | |
(SOFR + 2.15%), 2.59%, 4/29/31(i) | 990,000 | 832,570 | |
(SOFR + 1.53%), 1.90%, 7/23/31(i) | 200,000 | 160,055 | |
(SOFR + 1.21%), 2.57%, 10/20/32(i) | 270,000 | 217,813 | |
(SOFR + 1.33%), 2.97%, 2/04/33(i) | 1,349,000 | 1,113,677 | |
(SOFR + 1.84%), 5.87%, 9/15/34(i) | 837,000 | 838,522 | |
(SOFR + 1.65%), 5.47%, 1/23/35(i) | 152,000 | 147,815 | |
5.00%, 1/21/44 | 170,000 | 156,346 | |
(3M CME Term SOFR + 1.78%), 4.33%, 3/15/50(i) | 30,000 | 24,226 | |
(3M CME Term SOFR + 3.41%), 4.08%, 3/20/51(i) | 330,000 | 255,445 | |
Citigroup, Inc., | |||
5.50%, 9/13/25(g) | 90,000 | 89,776 | |
(SOFR + 2.84%), 3.11%, 4/08/26(i) | 80,000 | 77,953 | |
(SOFR + 0.77%), 1.12%, 1/28/27(i) | 138,000 | 127,354 | |
(SOFR + 1.89%), 4.66%, 5/24/28(i) | 70,000 | 68,276 | |
(3M CME Term SOFR + 1.41%), 3.52%, 10/27/28(i) | 912,000 | 850,884 | |
(3M CME Term SOFR + 1.45%), 4.08%, 4/23/29(i) | 150,000 | 141,726 | |
(SOFR + 1.36%), 5.17%, 2/13/30(g)(i) | 209,000 | 204,395 | |
(3M CME Term SOFR + 1.60%), 3.98%, 3/20/30(i) | 603,000 | 558,698 | |
(SOFR + 1.15%), 2.67%, 1/29/31(i) | 42,000 | 35,669 | |
(SOFR + 3.91%), 4.41%, 3/31/31(i) | 290,000 | 270,700 | |
(SOFR + 2.11%), 2.57%, 6/03/31(i) | 270,000 | 225,870 | |
(SOFR + 1.35%), 3.06%, 1/25/33(i) | 344,000 | 284,501 | |
(SOFR + 1.94%), 3.79%, 3/17/33(i) | 397,000 | 344,939 |
Par (a) | Value | ||
Banking (Continued) | |||
Citigroup, Inc., | |||
(SOFR + 2.09%), 4.91%, 5/24/33(i) | $210,000 | $197,086 | |
(SOFR + 2.34%), 6.27%, 11/17/33(g)(i) | 459,000 | 470,985 | |
8.13%, 7/15/39 | 280,000 | 341,755 | |
4.65%, 7/23/48 | 30,000 | 25,618 | |
JPMorgan Chase & Co., | |||
(SOFR + 1.85%), 2.08%, 4/22/26(i) | 200,000 | 192,824 | |
(SOFR + 0.89%), 1.58%, 4/22/27(i) | 410,000 | 378,345 | |
(SOFR + 1.33%), 6.07%, 10/22/27(i) | 35,000 | 35,412 | |
3.63%, 12/01/27 | 190,000 | 179,039 | |
(3M CME Term SOFR + 1.60%), 3.78%, 2/01/28(i) | 37,000 | 35,300 | |
(SOFR + 0.93%), 5.57%, 4/22/28(i) | 35,000 | 34,972 | |
(SOFR + 1.45%), 5.30%, 7/24/29(i) | 233,000 | 230,513 | |
(SOFR + 1.57%), 6.09%, 10/23/29(i) | 216,000 | 220,408 | |
(3M CME Term SOFR + 1.59%), 4.45%, 12/05/29(i) | 320,000 | 306,227 | |
(SOFR + 1.31%), 5.01%, 1/23/30(i) | 109,000 | 106,355 | |
(SOFR + 1.75%), 4.57%, 6/14/30(i) | 427,000 | 408,125 | |
(3M CME Term SOFR + 1.51%), 2.74%, 10/15/30(i) | 41,000 | 35,552 | |
(SOFR + 2.04%), 2.52%, 4/22/31(i) | 510,000 | 430,433 | |
(3M CME Term SOFR + 1.11%), 1.76%, 11/19/31(g)(i) | 320,000 | 253,121 | |
(3M CME Term SOFR + 1.25%), 2.58%, 4/22/32(i) | 484,000 | 398,262 | |
(SOFR + 1.18%), 2.55%, 11/08/32(i) | 130,000 | 105,471 | |
(SOFR + 1.49%), 5.77%, 4/22/35(i) | 632,000 | 632,423 | |
4.95%, 6/01/45 | 60,000 | 54,537 | |
(SOFR + 2.44%), 3.11%, 4/22/51(i) | 50,000 | 32,728 | |
PNC Financial Services Group (The), Inc., | |||
(SOFR + 1.32%), 5.81%, 6/12/26(i) | 80,000 | 80,016 | |
(SOFR + 1.84%), 5.58%, 6/12/29(g)(i) | 150,000 | 149,326 |
Par (a) | Value | ||
Banking (Continued) | |||
Truist Financial Corp., (SOFR + 2.05%), 6.05%, 6/08/27(i) | $ 160,000 | $ 160,847 | |
U.S. Bancorp, | |||
1.45%, 5/12/25 | 190,000 | 182,267 | |
(SOFR + 0.73%), 2.22%, 1/27/28(i) | 30,000 | 27,413 | |
(SOFR + 2.02%), 5.78%, 6/12/29(i) | 170,000 | 170,336 | |
(SOFR + 2.26%), 5.84%, 6/12/34(i) | 60,000 | 59,307 | |
Wells Fargo & Co., | |||
(SOFR + 2.00%), 2.19%, 4/30/26(i) | 570,000 | 549,559 | |
3.00%, 10/23/26 | 80,000 | 75,247 | |
4.30%, 7/22/27 | 270,000 | 260,144 | |
(SOFR + 1.07%), 5.71%, 4/22/28(i) | 448,000 | 448,311 | |
(3M CME Term SOFR + 1.57%), 3.58%, 5/22/28(i) | 300,000 | 282,404 | |
(SOFR + 2.10%), 2.39%, 6/02/28(i) | 130,000 | 118,190 | |
4.15%, 1/24/29 | 230,000 | 217,653 | |
(SOFR + 1.74%), 5.57%, 7/25/29(i) | 255,000 | 254,186 | |
(SOFR + 1.79%), 6.30%, 10/23/29(i) | 338,000 | 346,267 | |
(SOFR + 1.50%), 5.20%, 1/23/30(g)(i) | 72,000 | 70,598 | |
(3M CME Term SOFR + 1.43%), 2.88%, 10/30/30(i) | 250,000 | 217,010 | |
(3M CME Term SOFR + 4.03%), 4.48%, 4/04/31(i) | 300,000 | 281,895 | |
(SOFR + 1.50%), 3.35%, 3/02/33(i) | 80,000 | 67,533 | |
(SOFR + 2.06%), 6.49%, 10/23/34(i) | 619,000 | 644,461 | |
(SOFR + 1.78%), 5.50%, 1/23/35(i) | 189,000 | 183,592 | |
4.40%, 6/14/46 | 330,000 | 261,158 | |
4.75%, 12/07/46 | 130,000 | 108,559 | |
(3M CME Term SOFR + 4.50%), 5.01%, 4/04/51(i) | 1,650,000 | 1,465,495 | |
22,798,238 | |||
Beverages – 0.0%(h) | |||
Coca-Cola (The) Co., 2.50%, 6/01/40 | 50,000 | 34,340 | |
Constellation Brands, Inc., 4.35%, 5/09/27 | 130,000 | 125,871 |
Par (a) | Value | ||
Beverages (Continued) | |||
PepsiCo, Inc., | |||
2.63%, 3/19/27 | $ 10,000 | $ 9,332 | |
1.63%, 5/01/30 | 40,000 | 32,807 | |
202,350 | |||
Biotechnology & Pharmaceuticals – 0.8% | |||
AbbVie, Inc., | |||
3.60%, 5/14/25 | 40,000 | 39,241 | |
2.95%, 11/21/26 | 100,000 | 94,423 | |
4.80%, 3/15/29(g) | 180,000 | 176,720 | |
3.20%, 11/21/29 | 480,000 | 432,983 | |
4.95%, 3/15/31 | 70,000 | 68,661 | |
5.05%, 3/15/34 | 760,000 | 741,136 | |
4.55%, 3/15/35 | 298,000 | 276,686 | |
4.50%, 5/14/35 | 38,000 | 35,077 | |
4.30%, 5/14/36 | 59,000 | 53,109 | |
4.88%, 11/14/48(g) | 20,000 | 18,082 | |
4.25%, 11/21/49 | 350,000 | 285,991 | |
Amgen, Inc., | |||
5.25%, 3/02/30(g) | 790,000 | 783,034 | |
4.40%, 5/01/45 | 20,000 | 16,413 | |
4.40%, 2/22/62 | 259,000 | 198,933 | |
5.75%, 3/02/63 | 413,000 | 394,486 | |
Bristol-Myers Squibb Co., | |||
3.40%, 7/26/29 | 65,000 | 59,589 | |
5.10%, 2/22/31 | 126,000 | 123,971 | |
5.20%, 2/22/34 | 280,000 | 274,202 | |
4.55%, 2/20/48 | 60,000 | 50,594 | |
3.70%, 3/15/52 | 49,000 | 35,253 | |
5.55%, 2/22/54 | 135,000 | 130,291 | |
5.65%, 2/22/64 | 40,000 | 38,285 | |
Eli Lilly & Co., | |||
4.70%, 2/09/34 | 250,000 | 239,331 | |
5.00%, 2/09/54 | 30,000 | 27,898 | |
5.10%, 2/09/64 | 190,000 | 176,396 | |
Gilead Sciences, Inc., | |||
2.60%, 10/01/40 | 92,000 | 61,568 | |
4.80%, 4/01/44 | 380,000 | 333,912 | |
4.75%, 3/01/46 | 120,000 | 104,003 | |
Johnson & Johnson, | |||
3.63%, 3/03/37 | 70,000 | 59,300 | |
2.10%, 9/01/40 | 260,000 | 169,462 | |
Merck & Co., Inc., | |||
1.45%, 6/24/30 | 70,000 | 56,404 | |
2.75%, 12/10/51 | 250,000 | 152,508 | |
Pfizer Investment Enterprises Pte. Ltd., | |||
4.75%, 5/19/33 | 235,000 | 223,858 | |
5.30%, 5/19/53 | 194,000 | 180,912 | |
Pfizer, Inc., | |||
2.63%, 4/01/30 | 160,000 | 138,856 |
Par (a) | Value | ||
Biotechnology & Pharmaceuticals (Continued) | |||
Pfizer, Inc., | |||
1.70%, 5/28/30 | $100,000 | $ 82,000 | |
2.55%, 5/28/40 | 240,000 | 163,185 | |
4.13%, 12/15/46 | 87,000 | 70,289 | |
4.20%, 9/15/48 | 58,000 | 46,876 | |
2.70%, 5/28/50(g) | 180,000 | 111,885 | |
Wyeth LLC, 6.50%, 2/01/34 | 32,000 | 34,461 | |
6,760,264 | |||
Cable & Satellite – 0.6% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital, | |||
4.91%, 7/23/25 | 130,000 | 128,220 | |
4.20%, 3/15/28 | 90,000 | 83,716 | |
5.05%, 3/30/29 | 640,000 | 604,466 | |
4.40%, 4/01/33 | 400,000 | 341,529 | |
5.38%, 4/01/38 | 60,000 | 49,710 | |
3.50%, 6/01/41 | 300,000 | 191,941 | |
3.50%, 3/01/42(g) | 60,000 | 37,952 | |
5.38%, 5/01/47 | 20,000 | 15,290 | |
5.75%, 4/01/48 | 120,000 | 96,714 | |
5.13%, 7/01/49 | 70,000 | 51,287 | |
4.80%, 3/01/50 | 90,000 | 62,969 | |
3.90%, 6/01/52(g) | 843,000 | 506,978 | |
3.95%, 6/30/62 | 595,000 | 337,816 | |
5.50%, 4/01/63 | 110,000 | 81,785 | |
Comcast Corp., | |||
3.95%, 10/15/25 | 10,000 | 9,785 | |
3.15%, 3/01/26 | 50,000 | 48,164 | |
3.30%, 4/01/27 | 50,000 | 47,414 | |
4.15%, 10/15/28 | 520,000 | 497,941 | |
2.65%, 2/01/30 | 41,000 | 35,544 | |
3.40%, 4/01/30 | 70,000 | 63,053 | |
4.25%, 10/15/30 | 390,000 | 366,215 | |
1.50%, 2/15/31 | 45,000 | 35,265 | |
4.40%, 8/15/35 | 69,000 | 62,188 | |
3.25%, 11/01/39 | 20,000 | 14,820 | |
3.75%, 4/01/40 | 180,000 | 142,645 | |
3.40%, 7/15/46 | 20,000 | 14,018 | |
4.00%, 8/15/47 | 30,000 | 22,893 | |
3.97%, 11/01/47 | 140,000 | 106,149 | |
4.00%, 3/01/48 | 20,000 | 15,304 | |
4.00%, 11/01/49 | 170,000 | 128,950 | |
3.45%, 2/01/50 | 60,000 | 41,213 | |
2.80%, 1/15/51 | 190,000 | 113,317 | |
2.89%, 11/01/51 | 120,000 | 72,572 | |
2.45%, 8/15/52(g) | 231,000 | 125,938 | |
2.94%, 11/01/56 | 40,000 | 23,343 | |
4.95%, 10/15/58 | 20,000 | 17,404 |
Par (a) | Value | ||
Cable & Satellite (Continued) | |||
Comcast Corp., | |||
2.65%, 8/15/62 | $110,000 | $ 57,748 | |
2.99%, 11/01/63 | 270,000 | 153,592 | |
Time Warner Cable LLC, | |||
6.55%, 5/01/37 | 50,000 | 45,450 | |
5.88%, 11/15/40 | 60,000 | 49,599 | |
4,900,897 | |||
Chemicals – 0.0%(h) | |||
Eastman Chemical Co., 5.75%, 3/08/33 | 34,000 | 33,601 | |
RPM International, Inc., 4.55%, 3/01/29 | 43,000 | 40,888 | |
74,489 | |||
Commercial Support Services – 0.0%(h) | |||
Cintas Corp. No. 2, | |||
3.70%, 4/01/27 | 20,000 | 19,230 | |
4.00%, 5/01/32 | 120,000 | 109,627 | |
Waste Connections, Inc., 5.00%, 3/01/34 | 140,000 | 133,819 | |
Waste Management, Inc., 3.90%, 3/01/35 | 105,000 | 90,939 | |
353,615 | |||
Containers & Packaging – 0.0%(h) | |||
Amcor Finance USA, Inc., 5.63%, 5/26/33 | 33,000 | 32,734 | |
Diversified Industrials – 0.1% | |||
3M Co., | |||
2.38%, 8/26/29 | 290,000 | 248,713 | |
3.70%, 4/15/50 | 30,000 | 21,375 | |
Emerson Electric Co., 2.80%, 12/21/51(g) | 460,000 | 282,565 | |
Honeywell International, Inc., 5.00%, 3/01/35 | 230,000 | 223,251 | |
775,904 | |||
E-Commerce Discretionary – 0.2% | |||
Amazon.com, Inc., | |||
3.30%, 4/13/27 | 50,000 | 47,542 | |
1.20%, 6/03/27 | 280,000 | 249,156 | |
3.15%, 8/22/27 | 140,000 | 131,824 | |
3.45%, 4/13/29(g) | 110,000 | 102,697 | |
1.50%, 6/03/30 | 70,000 | 57,108 | |
2.10%, 5/12/31 | 80,000 | 65,838 | |
3.60%, 4/13/32 | 320,000 | 288,552 | |
3.88%, 8/22/37 | 200,000 | 172,020 | |
2.50%, 6/03/50 | 700,000 | 414,572 | |
4.25%, 8/22/57(g) | 170,000 | 138,226 | |
1,667,535 |
Par (a) | Value | ||
Electric Utilities – 1.2% | |||
AEP Texas, Inc., | |||
5.40%, 6/01/33 | $149,000 | $143,598 | |
3.45%, 5/15/51 | 204,000 | 131,020 | |
AEP Transmission Co. LLC, | |||
5.15%, 4/01/34 | 201,000 | 193,417 | |
3.80%, 6/15/49 | 308,000 | 224,310 | |
3.15%, 9/15/49 | 225,000 | 144,738 | |
Alabama Power Co., | |||
3.85%, 12/01/42 | 57,000 | 44,714 | |
3.75%, 3/01/45 | 245,000 | 184,225 | |
Ameren Illinois Co., 2.90%, 6/15/51 | 56,000 | 34,223 | |
American Transmission Systems, Inc., 2.65%, 1/15/32(b) | 60,000 | 48,512 | |
Baltimore Gas and Electric Co., | |||
3.75%, 8/15/47 | 322,000 | 235,668 | |
2.90%, 6/15/50 | 179,000 | 109,896 | |
CenterPoint Energy Houston Electric LLC, | |||
3.00%, 3/01/32 | 42,000 | 35,476 | |
3.35%, 4/01/51 | 63,000 | 42,745 | |
Cleveland Electric Illuminating (The) Co., 3.50%, 4/01/28(b) | 100,000 | 92,103 | |
Consolidated Edison Co. of New York, Inc., | |||
3.35%, 4/01/30 | 50,000 | 44,961 | |
4.45%, 3/15/44 | 89,000 | 74,326 | |
3.95%, 4/01/50 | 20,000 | 15,250 | |
Consumers Energy Co., | |||
4.63%, 5/15/33 | 261,000 | 245,026 | |
3.75%, 2/15/50 | 356,000 | 265,347 | |
Dominion Energy South Carolina, Inc., 6.25%, 10/15/53 | 50,000 | 52,928 | |
DTE Electric Co., 3.25%, 4/01/51 | 131,000 | 86,412 | |
Duke Energy Carolinas LLC, | |||
3.75%, 6/01/45 | 542,000 | 399,186 | |
3.45%, 4/15/51 | 70,000 | 47,749 | |
5.40%, 1/15/54 | 45,000 | 42,266 | |
Duke Energy Florida LLC, | |||
1.75%, 6/15/30(g) | 109,000 | 88,434 | |
3.00%, 12/15/51 | 241,000 | 148,343 | |
5.95%, 11/15/52 | 169,000 | 170,114 | |
6.20%, 11/15/53 | 43,000 | 44,784 | |
Duke Energy Ohio, Inc., 5.55%, 3/15/54 | 39,000 | 36,816 | |
Duke Energy Progress LLC, | |||
3.70%, 9/01/28 | 38,000 | 35,647 | |
3.45%, 3/15/29 | 80,000 | 73,711 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
Duke Energy Progress LLC, | |||
2.50%, 8/15/50 | $385,000 | $216,277 | |
5.35%, 3/15/53 | 107,000 | 99,297 | |
Edison International, | |||
5.75%, 6/15/27 | 115,000 | 114,997 | |
6.95%, 11/15/29 | 361,000 | 379,074 | |
Entergy Arkansas LLC, 5.30%, 9/15/33 | 37,000 | 36,051 | |
Eversource Energy, | |||
3.30%, 1/15/28 | 39,000 | 35,874 | |
5.45%, 3/01/28 | 115,000 | 114,091 | |
4.25%, 4/01/29 | 38,000 | 35,649 | |
FirstEnergy Corp., | |||
1.60%, 1/15/26 | 40,000 | 37,157 | |
4.15%, 7/15/27 | 499,000 | 470,143 | |
5.10%, 7/15/47 | 77,000 | 64,034 | |
3.40%, 3/01/50 | 167,000 | 107,164 | |
FirstEnergy Transmission LLC, 4.55%, 4/01/49(b) | 172,000 | 137,219 | |
Florida Power & Light Co., | |||
3.99%, 3/01/49 | 307,000 | 237,545 | |
2.88%, 12/04/51 | 143,000 | 88,010 | |
Georgia Power Co., 4.95%, 5/17/33 | 169,000 | 160,889 | |
MidAmerican Energy Co., | |||
3.65%, 4/15/29 | 160,000 | 148,550 | |
5.85%, 9/15/54(g) | 99,000 | 99,580 | |
5.30%, 2/01/55 | 140,000 | 130,144 | |
Mid-Atlantic Interstate Transmission LLC, 4.10%, 5/15/28(b) | 40,000 | 37,855 | |
Northern States Power Co., | |||
4.00%, 8/15/45 | 46,000 | 35,468 | |
2.90%, 3/01/50 | 100,000 | 62,525 | |
Ohio Power Co., | |||
2.60%, 4/01/30 | 294,000 | 250,426 | |
1.63%, 1/15/31 | 45,000 | 34,928 | |
4.15%, 4/01/48 | 52,000 | 39,492 | |
4.00%, 6/01/49 | 190,000 | 141,706 | |
2.90%, 10/01/51 | 203,000 | 121,527 | |
Pacific Gas and Electric Co., | |||
2.10%, 8/01/27 | 50,000 | 44,534 | |
2.50%, 2/01/31 | 180,000 | 145,941 | |
3.30%, 8/01/40 | 20,000 | 13,937 | |
4.95%, 7/01/50 | 118,000 | 95,972 | |
3.50%, 8/01/50(g) | 509,000 | 326,453 | |
5.25%, 3/01/52 | 41,000 | 34,461 | |
PECO Energy Co., | |||
2.80%, 6/15/50 | 69,000 | 42,013 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
PECO Energy Co., | |||
3.05%, 3/15/51 | $150,000 | $ 95,822 | |
2.85%, 9/15/51 | 279,000 | 169,811 | |
Progress Energy, Inc., 7.75%, 3/01/31 | 70,000 | 77,928 | |
Public Service Co. of New Hampshire, 5.15%, 1/15/53 | 38,000 | 34,968 | |
Public Service Electric and Gas Co., | |||
2.05%, 8/01/50 | 104,000 | 54,738 | |
5.45%, 3/01/54 | 49,000 | 47,191 | |
San Diego Gas & Electric Co., 3.32%, 4/15/50 | 129,000 | 84,695 | |
Southern California Edison Co., | |||
5.15%, 6/01/29 | 36,000 | 35,425 | |
2.85%, 8/01/29 | 234,000 | 206,527 | |
2.25%, 6/01/30 | 125,000 | 103,794 | |
2.50%, 6/01/31 | 208,000 | 170,203 | |
5.95%, 11/01/32 | 398,000 | 404,892 | |
5.55%, 1/15/36 | 40,000 | 38,604 | |
Union Electric Co., 3.90%, 4/01/52 | 80,000 | 59,843 | |
Virginia Electric and Power Co., | |||
4.00%, 1/15/43 | 122,000 | 95,909 | |
2.45%, 12/15/50 | 126,000 | 69,032 | |
Vistra Operations Co. LLC, 6.00%, 4/15/34(b) | 90,000 | 87,482 | |
9,511,792 | |||
Electrical Equipment – 0.0%(h) | |||
Carrier Global Corp., 3.58%, 4/05/50 | 10,000 | 7,060 | |
Otis Worldwide Corp., 5.25%, 8/16/28(g) | 108,000 | 107,651 | |
114,711 | |||
Entertainment Content – 0.2% | |||
Fox Corp., | |||
6.50%, 10/13/33 | 140,000 | 143,749 | |
5.48%, 1/25/39 | 370,000 | 338,878 | |
Paramount Global, | |||
5.85%, 9/01/43 | 71,000 | 56,205 | |
5.25%, 4/01/44 | 25,000 | 18,014 | |
4.90%, 8/15/44 | 21,000 | 14,708 | |
4.60%, 1/15/45 | 30,000 | 20,101 | |
(5Y US Treasury CMT + 4.00%), 6.38%, 3/30/62(g)(i) | 33,000 | 30,520 |
Par (a) | Value | ||
Entertainment Content (Continued) | |||
Time Warner Cable Enterprises LLC, 8.38%, 7/15/33 | $170,000 | $ 184,175 | |
Warnermedia Holdings, Inc., | |||
6.41%, 3/15/26 | 30,000 | 30,008 | |
3.76%, 3/15/27 | 80,000 | 75,384 | |
4.05%, 3/15/29 | 140,000 | 127,706 | |
4.28%, 3/15/32 | 110,000 | 94,753 | |
5.05%, 3/15/42 | 30,000 | 24,015 | |
5.14%, 3/15/52 | 80,000 | 61,273 | |
1,219,489 | |||
Food – 0.0%(h) | |||
Mars, Inc., | |||
3.20%, 4/01/30(b) | 80,000 | 71,268 | |
2.38%, 7/16/40(b) | 200,000 | 131,775 | |
Mondelez International, Inc., 1.50%, 5/04/25 | 120,000 | 115,105 | |
318,148 | |||
Gas & Water Utilities – 0.1% | |||
Atmos Energy Corp., | |||
4.13%, 3/15/49 | 85,000 | 66,757 | |
3.38%, 9/15/49 | 48,000 | 32,850 | |
CenterPoint Energy Resources Corp., | |||
5.25%, 3/01/28 | 42,000 | 41,666 | |
4.00%, 4/01/28 | 38,000 | 36,038 | |
NiSource, Inc., | |||
5.25%, 3/30/28 | 138,000 | 136,488 | |
5.40%, 6/30/33 | 63,000 | 61,300 | |
5.35%, 4/01/34 | 37,000 | 35,413 | |
ONE Gas, Inc., 5.10%, 4/01/29(g) | 51,000 | 50,466 | |
Piedmont Natural Gas Co., Inc., 2.50%, 3/15/31 | 62,000 | 50,918 | |
511,896 | |||
Health Care Facilities & Services – 0.8% | |||
Cigna Group (The), | |||
4.38%, 10/15/28 | 440,000 | 420,794 | |
4.80%, 8/15/38 | 210,000 | 187,991 | |
4.90%, 12/15/48(g) | 60,000 | 51,531 | |
CVS Health Corp., | |||
3.63%, 4/01/27 | 40,000 | 38,081 | |
4.30%, 3/25/28 | 217,000 | 208,223 | |
3.75%, 4/01/30 | 300,000 | 272,133 | |
1.88%, 2/28/31 | 40,000 | 31,695 | |
2.13%, 9/15/31 | 130,000 | 103,076 | |
4.78%, 3/25/38 | 400,000 | 352,194 | |
4.13%, 4/01/40 | 40,000 | 31,948 |
Par (a) | Value | ||
Health Care Facilities & Services (Continued) | |||
CVS Health Corp., | |||
5.13%, 7/20/45 | $131,000 | $ 113,990 | |
5.05%, 3/25/48 | 370,000 | 315,608 | |
4.25%, 4/01/50 | 145,000 | 109,934 | |
Elevance Health, Inc., | |||
3.65%, 12/01/27 | 300,000 | 283,057 | |
4.10%, 5/15/32 | 80,000 | 72,513 | |
4.55%, 5/15/52 | 40,000 | 32,939 | |
4.85%, 8/15/54 | 222,000 | 182,778 | |
HCA, Inc., | |||
5.88%, 2/15/26 | 62,000 | 62,029 | |
5.25%, 6/15/26(g) | 387,000 | 383,024 | |
4.13%, 6/15/29 | 54,000 | 50,176 | |
3.50%, 9/01/30 | 775,000 | 683,288 | |
5.45%, 4/01/31(g) | 263,000 | 257,521 | |
3.63%, 3/15/32 | 42,000 | 36,126 | |
Humana, Inc., | |||
3.95%, 3/15/27 | 140,000 | 134,203 | |
3.70%, 3/23/29 | 310,000 | 285,726 | |
3.13%, 8/15/29 | 310,000 | 275,639 | |
2.15%, 2/03/32 | 50,000 | 38,845 | |
5.95%, 3/15/34 | 179,000 | 179,226 | |
UnitedHealth Group, Inc., | |||
1.25%, 1/15/26 | 40,000 | 37,346 | |
3.85%, 6/15/28 | 130,000 | 123,401 | |
3.88%, 12/15/28 | 110,000 | 103,940 | |
4.00%, 5/15/29 | 160,000 | 151,560 | |
2.00%, 5/15/30 | 40,000 | 33,219 | |
2.30%, 5/15/31 | 30,000 | 24,670 | |
4.20%, 5/15/32 | 110,000 | 101,438 | |
2.75%, 5/15/40 | 150,000 | 105,065 | |
4.20%, 1/15/47 | 43,000 | 34,755 | |
3.70%, 8/15/49 | 47,000 | 34,583 | |
2.90%, 5/15/50 | 395,000 | 249,419 | |
3.25%, 5/15/51 | 390,000 | 262,081 | |
3.88%, 8/15/59 | 89,000 | 64,631 | |
3.13%, 5/15/60 | 209,000 | 128,051 | |
5.20%, 4/15/63 | 39,000 | 35,525 | |
6,683,972 | |||
Household Products – 0.1% | |||
Haleon U.S. Capital LLC, 3.38%, 3/24/29 | 480,000 | 437,546 | |
Kenvue, Inc., 4.90%, 3/22/33 | 200,000 | 193,580 | |
Kimberly-Clark Corp., 3.10%, 3/26/30 | 30,000 | 26,812 | |
Procter & Gamble (The) Co., 3.00%, 3/25/30 | 60,000 | 54,085 | |
712,023 |
Par (a) | Value | ||
Institutional Financial Services – 1.4% | |||
Goldman Sachs Group (The), Inc., | |||
3.50%, 11/16/26 | $ 570,000 | $ 541,781 | |
(SOFR + 0.80%), 1.43%, 3/09/27(i) | 112,000 | 103,491 | |
(SOFR + 0.91%), 1.95%, 10/21/27(i) | 38,000 | 34,697 | |
(SOFR + 1.11%), 2.64%, 2/24/28(g)(i) | 162,000 | 149,430 | |
(SOFR + 1.85%), 3.62%, 3/15/28(i) | 60,000 | 56,772 | |
(3M CME Term SOFR + 1.42%), 3.81%, 4/23/29(i) | 290,000 | 271,119 | |
(3M CME Term SOFR + 1.56%), 4.22%, 5/01/29(i) | 960,000 | 910,922 | |
(SOFR + 1.77%), 6.48%, 10/24/29(i) | 529,000 | 545,844 | |
2.60%, 2/07/30(g) | 122,000 | 104,643 | |
(SOFR + 1.27%), 5.73%, 4/25/30(i) | 910,000 | 911,481 | |
(SOFR + 1.09%), 1.99%, 1/27/32(i) | 410,000 | 323,697 | |
(SOFR + 1.28%), 2.62%, 4/22/32(i) | 168,000 | 137,548 | |
(SOFR + 1.25%), 2.38%, 7/21/32(i) | 111,000 | 88,830 | |
(SOFR + 1.26%), 2.65%, 10/21/32(i) | 591,000 | 478,557 | |
(SOFR + 1.41%), 3.10%, 2/24/33(i) | 171,000 | 142,263 | |
(SOFR + 1.95%), 6.56%, 10/24/34(g)(i) | 1,000 | 1,053 | |
(SOFR + 1.55%), 5.85%, 4/25/35(g)(i) | 718,000 | 718,379 | |
(SOFR + 1.51%), 3.21%, 4/22/42(i) | 80,000 | 57,270 | |
(SOFR + 1.47%), 2.91%, 7/21/42(i) | 160,000 | 109,069 | |
5.15%, 5/22/45 | 160,000 | 146,536 | |
4.75%, 10/21/45 | 230,000 | 200,854 | |
Intercontinental Exchange, Inc., 4.60%, 3/15/33(g) | 60,000 | 56,175 | |
Morgan Stanley, | |||
(SOFR + 1.99%), 2.19%, 4/28/26(i) | 340,000 | 327,925 | |
(3M CME Term SOFR + 1.40%), 3.77%, 1/24/29(i) | 300,000 | 281,519 | |
(SOFR + 1.83%), 6.41%, 11/01/29(i) | 1,175,000 | 1,211,557 | |
(3M CME Term SOFR + 1.89%), 4.43%, 1/23/30(i) | 10,000 | 9,512 |
Par (a) | Value | ||
Institutional Financial Services (Continued) | |||
Morgan Stanley, | |||
(SOFR + 1.26%), 5.66%, 4/18/30(i) | $763,000 | $ 763,162 | |
(SOFR + 1.14%), 2.70%, 1/22/31(g)(i) | 839,000 | 718,698 | |
(SOFR + 3.12%), 3.62%, 4/01/31(i) | 340,000 | 305,594 | |
(SOFR + 1.03%), 1.79%, 2/13/32(i) | 243,000 | 189,614 | |
(SOFR + 1.02%), 1.93%, 4/28/32(i) | 87,000 | 68,150 | |
(SOFR + 1.18%), 2.24%, 7/21/32(i) | 239,000 | 190,054 | |
(SOFR + 1.20%), 2.51%, 10/20/32(i) | 366,000 | 294,518 | |
(SOFR + 1.29%), 2.94%, 1/21/33(i) | 71,000 | 58,606 | |
(SOFR + 1.73%), 5.47%, 1/18/35(i) | 752,000 | 731,603 | |
(SOFR + 1.58%), 5.83%, 4/19/35(g)(i) | 151,000 | 150,939 | |
11,391,862 | |||
Insurance – 0.1% | |||
American International Group, Inc., 4.38%, 6/30/50 | 51,000 | 41,378 | |
Aon Corp./Aon Global Holdings PLC, 5.35%, 2/28/33 | 203,000 | 197,455 | |
Aon North America, Inc., 5.45%, 3/01/34 | 320,000 | 312,979 | |
Berkshire Hathaway Finance Corp., 4.25%, 1/15/49 | 150,000 | 126,017 | |
Guardian Life Global Funding, 1.10%, 6/23/25(b) | 50,000 | 47,513 | |
Hartford Financial Services Group (The), Inc., | |||
2.80%, 8/19/29 | 40,000 | 35,107 | |
6.63%, 3/30/40 | 34,000 | 36,189 | |
Marsh & McLennan Cos., Inc., | |||
4.20%, 3/01/48 | 80,000 | 63,436 | |
4.90%, 3/15/49 | 62,000 | 54,627 | |
2.90%, 12/15/51 | 104,000 | 63,263 | |
5.45%, 3/15/54 | 48,000 | 45,814 | |
MetLife, Inc., 6.40%, 12/15/36 | 100,000 | 99,548 | |
New York Life Global Funding, 0.95%, 6/24/25(b) | 10,000 | 9,490 |
Par (a) | Value | ||
Insurance (Continued) | |||
Principal Life Global Funding II, 1.25%, 6/23/25(b) | $ 40,000 | $ 38,091 | |
Teachers Insurance & Annuity Association of America, 4.90%, 9/15/44(b) | 20,000 | 17,347 | |
1,188,254 | |||
Internet Media & Services – 0.0%(h) | |||
Alphabet, Inc., | |||
1.10%, 8/15/30(g) | 60,000 | 47,876 | |
1.90%, 8/15/40 | 70,000 | 44,557 | |
Meta Platforms, Inc., 4.65%, 8/15/62 | 308,000 | 256,212 | |
348,645 | |||
Leisure Facilities & Services – 0.2% | |||
Las Vegas Sands Corp., 2.90%, 6/25/25 | 380,000 | 365,561 | |
Marriott International, Inc., 5.30%, 5/15/34 | 80,000 | 76,727 | |
McDonald's Corp., | |||
1.45%, 9/01/25 | 140,000 | 132,710 | |
3.50%, 3/01/27 | 30,000 | 28,629 | |
3.50%, 7/01/27 | 60,000 | 56,861 | |
3.80%, 4/01/28 | 270,000 | 256,275 | |
2.13%, 3/01/30 | 170,000 | 142,970 | |
3.60%, 7/01/30 | 80,000 | 72,773 | |
4.88%, 12/09/45 | 30,000 | 26,496 | |
4.20%, 4/01/50 | 240,000 | 189,189 | |
1,348,191 | |||
Machinery – 0.0%(h) | |||
Deere & Co., | |||
3.10%, 4/15/30 | 30,000 | 26,797 | |
3.75%, 4/15/50 | 70,000 | 54,367 | |
Eaton Corp., 4.15%, 11/02/42 | 30,000 | 25,033 | |
106,197 | |||
Medical Equipment & Devices – 0.2% | |||
Abbott Laboratories, 4.75%, 11/30/36 | 40,000 | 37,943 | |
Agilent Technologies, Inc., 2.10%, 6/04/30 | 43,000 | 35,533 | |
Becton Dickinson & Co., | |||
4.30%, 8/22/32 | 47,000 | 43,177 | |
4.69%, 12/15/44 | 15,000 | 12,883 | |
3.79%, 5/20/50 | 69,000 | 50,684 | |
Solventum Corp., | |||
5.45%, 2/25/27(b) | 82,000 | 81,309 | |
5.40%, 3/01/29(b) | 200,000 | 196,216 | |
5.45%, 3/13/31(b) | 190,000 | 184,113 |
Par (a) | Value | ||
Medical Equipment & Devices (Continued) | |||
Solventum Corp., | |||
5.60%, 3/23/34(b) | $220,000 | $ 212,182 | |
5.90%, 4/30/54(b) | 210,000 | 196,065 | |
6.00%, 5/15/64(b) | 174,000 | 161,078 | |
Thermo Fisher Scientific, Inc., 5.09%, 8/10/33 | 352,000 | 344,164 | |
1,555,347 | |||
Metals & Mining – 0.0%(h) | |||
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 20,000 | 18,333 | |
Newmont Corp., 2.25%, 10/01/30 | 163,000 | 135,165 | |
153,498 | |||
Oil & Gas Producers – 3.8% | |||
Antero Resources Corp., | |||
7.63%, 2/01/29(b) | 159,000 | 162,854 | |
5.38%, 3/01/30(b) | 185,000 | 175,891 | |
Apache Corp., | |||
5.10%, 9/01/40 | 141,000 | 117,358 | |
4.75%, 4/15/43 | 197,000 | 151,627 | |
4.25%, 1/15/44 | 380,000 | 262,815 | |
BP Capital Markets America, Inc., | |||
3.41%, 2/11/26 | 20,000 | 19,323 | |
3.12%, 5/04/26 | 50,000 | 47,876 | |
3.94%, 9/21/28 | 110,000 | 104,623 | |
3.63%, 4/06/30 | 80,000 | 73,761 | |
1.75%, 8/10/30 | 200,000 | 163,052 | |
4.81%, 2/13/33 | 37,000 | 35,368 | |
4.89%, 9/11/33 | 49,000 | 47,077 | |
3.00%, 2/24/50 | 190,000 | 121,908 | |
2.77%, 11/10/50 | 133,000 | 80,572 | |
3.38%, 2/08/61 | 71,000 | 45,957 | |
Cameron LNG LLC, | |||
2.90%, 7/15/31(b) | 160,000 | 135,145 | |
3.30%, 1/15/35(b) | 695,000 | 558,419 | |
3.40%, 1/15/38(b) | 279,000 | 220,874 | |
Cheniere Corpus Christi Holdings LLC, | |||
5.13%, 6/30/27 | 597,000 | 588,531 | |
2.74%, 12/31/39 | 327,000 | 259,138 | |
Cheniere Energy Partners L.P., | |||
4.50%, 10/01/29 | 437,000 | 408,876 | |
4.00%, 3/01/31 | 203,000 | 181,128 | |
3.25%, 1/31/32 | 231,000 | 192,992 | |
5.95%, 6/30/33 | 299,000 | 298,187 | |
Cheniere Energy, Inc., 5.65%, 4/15/34(b) | 270,000 | 264,243 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Chevron Corp., | |||
2.00%, 5/11/27 | $ 40,000 | $ 36,542 | |
3.08%, 5/11/50 | 230,000 | 153,391 | |
Chevron USA, Inc., 3.85%, 1/15/28(g) | 110,000 | 105,883 | |
Columbia Pipelines Operating Co. LLC, | |||
6.04%, 11/15/33(b) | 340,000 | 341,082 | |
6.54%, 11/15/53(b) | 50,000 | 51,571 | |
Continental Resources, Inc., | |||
4.38%, 1/15/28 | 130,000 | 123,942 | |
5.75%, 1/15/31(b) | 20,000 | 19,580 | |
4.90%, 6/01/44 | 520,000 | 419,475 | |
Coterra Energy, Inc., | |||
3.90%, 5/15/27 | 280,000 | 266,325 | |
4.38%, 3/15/29 | 750,000 | 706,675 | |
Devon Energy Corp., | |||
5.25%, 10/15/27 | 12,000 | 11,862 | |
4.50%, 1/15/30 | 112,000 | 105,653 | |
5.60%, 7/15/41(g) | 291,000 | 269,126 | |
4.75%, 5/15/42(g) | 440,000 | 365,978 | |
5.00%, 6/15/45(g) | 80,000 | 67,652 | |
Diamondback Energy, Inc., | |||
3.25%, 12/01/26 | 1,525,000 | 1,445,965 | |
3.50%, 12/01/29 | 2,247,000 | 2,040,781 | |
3.13%, 3/24/31 | 864,000 | 748,371 | |
4.40%, 3/24/51 | 452,000 | 357,054 | |
4.25%, 3/15/52 | 57,000 | 43,768 | |
6.25%, 3/15/53 | 34,000 | 34,755 | |
5.75%, 4/18/54 | 160,000 | 152,745 | |
5.90%, 4/18/64 | 131,000 | 124,617 | |
Energy Transfer L.P., | |||
2.90%, 5/15/25 | 60,000 | 58,332 | |
5.50%, 6/01/27 | 130,000 | 129,354 | |
5.55%, 2/15/28 | 159,000 | 158,835 | |
4.95%, 5/15/28 | 47,000 | 45,760 | |
4.95%, 6/15/28 | 20,000 | 19,476 | |
6.10%, 12/01/28 | 44,000 | 44,841 | |
5.25%, 4/15/29 | 60,000 | 59,061 | |
3.75%, 5/15/30 | 430,000 | 387,911 | |
7.38%, 2/01/31(b) | 405,000 | 417,641 | |
5.55%, 5/15/34 | 130,000 | 126,514 | |
4.95%, 1/15/43 | 66,000 | 55,402 | |
5.15%, 2/01/43 | 97,000 | 82,906 | |
5.30%, 4/01/44 | 160,000 | 140,437 | |
5.15%, 3/15/45 | 41,000 | 35,229 | |
5.35%, 5/15/45 | 210,000 | 184,290 | |
5.30%, 4/15/47 | 40,000 | 34,570 | |
5.40%, 10/01/47 | 90,000 | 78,975 | |
5.95%, 5/15/54 | 233,000 | 219,595 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
EnLink Midstream Partners L.P., | |||
5.60%, 4/01/44 | $146,000 | $126,433 | |
5.45%, 6/01/47 | 82,000 | 69,515 | |
Enterprise Products Operating LLC, | |||
4.15%, 10/16/28 | 270,000 | 257,942 | |
3.13%, 7/31/29 | 100,000 | 90,248 | |
2.80%, 1/31/30 | 300,000 | 262,677 | |
4.85%, 1/31/34(g) | 290,000 | 276,470 | |
6.65%, 10/15/34 | 80,000 | 86,241 | |
7.55%, 4/15/38 | 10,000 | 11,570 | |
4.85%, 3/15/44 | 80,000 | 70,651 | |
5.10%, 2/15/45 | 100,000 | 90,691 | |
3.70%, 1/31/51 | 170,000 | 122,342 | |
3.95%, 1/31/60(g) | 70,000 | 50,170 | |
(3M CME Term SOFR + 2.83%), 5.38%, 2/15/78(i) | 50,000 | 46,305 | |
EOG Resources, Inc., | |||
4.38%, 4/15/30 | 270,000 | 258,428 | |
3.90%, 4/01/35 | 180,000 | 158,381 | |
4.95%, 4/15/50 | 390,000 | 352,644 | |
EQT Corp., | |||
3.13%, 5/15/26(b) | 166,000 | 156,844 | |
3.90%, 10/01/27 | 268,000 | 252,778 | |
5.00%, 1/15/29 | 612,000 | 590,576 | |
7.00%, 2/01/30(g) | 590,000 | 615,813 | |
3.63%, 5/15/31(b) | 303,000 | 262,094 | |
Exxon Mobil Corp., | |||
2.44%, 8/16/29 | 240,000 | 211,416 | |
3.48%, 3/19/30 | 120,000 | 110,329 | |
4.11%, 3/01/46 | 20,000 | 16,306 | |
4.33%, 3/19/50(g) | 10,000 | 8,302 | |
3.45%, 4/15/51 | 300,000 | 212,079 | |
Kinder Morgan Energy Partners L.P., | |||
6.50%, 2/01/37 | 60,000 | 60,528 | |
5.50%, 3/01/44 | 10,000 | 9,031 | |
5.40%, 9/01/44 | 39,000 | 34,915 | |
Kinder Morgan, Inc., | |||
4.30%, 6/01/25 | 10,000 | 9,855 | |
4.30%, 3/01/28 | 350,000 | 336,161 | |
5.00%, 2/01/29 | 138,000 | 134,640 | |
5.30%, 12/01/34 | 144,000 | 137,615 | |
5.05%, 2/15/46 | 40,000 | 34,099 | |
MPLX L.P., | |||
4.00%, 3/15/28 | 200,000 | 189,568 | |
4.80%, 2/15/29 | 30,000 | 29,022 | |
4.50%, 4/15/38 | 90,000 | 76,914 | |
5.20%, 3/01/47 | 60,000 | 52,483 | |
5.20%, 12/01/47 | 100,000 | 87,322 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
MPLX L.P., | |||
4.70%, 4/15/48 | $210,000 | $171,504 | |
5.50%, 2/15/49 | 60,000 | 54,514 | |
NGPL PipeCo LLC, | |||
4.88%, 8/15/27(b) | 157,000 | 151,340 | |
3.25%, 7/15/31(b) | 489,000 | 407,389 | |
7.77%, 12/15/37(b) | 60,000 | 65,429 | |
Northwest Pipeline LLC, 4.00%, 4/01/27 | 674,000 | 647,103 | |
Occidental Petroleum Corp., | |||
5.55%, 3/15/26 | 160,000 | 159,232 | |
3.00%, 2/15/27 | 220,000 | 204,039 | |
7.88%, 9/15/31 | 338,000 | 375,210 | |
4.50%, 7/15/44 | 80,000 | 60,509 | |
6.60%, 3/15/46 | 150,000 | 154,446 | |
4.10%, 2/15/47 | 50,000 | 35,359 | |
4.20%, 3/15/48 | 230,000 | 169,595 | |
ONEOK, Inc., | |||
5.55%, 11/01/26 | 70,000 | 69,928 | |
5.80%, 11/01/30 | 100,000 | 100,389 | |
6.05%, 9/01/33 | 170,000 | 171,887 | |
6.63%, 9/01/53 | 280,000 | 292,043 | |
Ovintiv, Inc., | |||
5.65%, 5/15/25 | 337,000 | 335,875 | |
5.38%, 1/01/26 | 160,000 | 158,680 | |
7.10%, 7/15/53 | 124,000 | 133,918 | |
Pioneer Natural Resources Co., | |||
1.13%, 1/15/26 | 30,000 | 27,854 | |
1.90%, 8/15/30 | 150,000 | 123,070 | |
2.15%, 1/15/31 | 380,000 | 312,875 | |
Sabine Pass Liquefaction LLC, | |||
5.88%, 6/30/26 | 297,000 | 297,358 | |
5.00%, 3/15/27 | 427,000 | 420,698 | |
5.90%, 9/15/37 | 382,000 | 382,805 | |
Shell International Finance B.V., | |||
2.38%, 11/07/29 | 200,000 | 173,700 | |
2.75%, 4/06/30 | 150,000 | 131,741 | |
4.38%, 5/11/45 | 80,000 | 67,077 | |
4.00%, 5/10/46 | 80,000 | 63,289 | |
3.25%, 4/06/50(g) | 260,000 | 176,482 | |
Southern Natural Gas Co. LLC, 8.00%, 3/01/32 | 80,000 | 89,174 | |
Targa Resources Corp., | |||
4.20%, 2/01/33 | 227,000 | 200,370 | |
4.95%, 4/15/52 | 60,000 | 49,957 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., | |||
5.00%, 1/15/28 | $170,000 | $ 164,407 | |
5.50%, 3/01/30 | 55,000 | 53,655 | |
4.88%, 2/01/31 | 580,000 | 542,806 | |
4.00%, 1/15/32 | 47,000 | 41,297 | |
Tennessee Gas Pipeline Co. LLC, 2.90%, 3/01/30(b) | 70,000 | 59,965 | |
Transcontinental Gas Pipe Line Co. LLC, | |||
7.85%, 2/01/26 | 670,000 | 689,782 | |
4.60%, 3/15/48 | 284,000 | 234,896 | |
3.95%, 5/15/50 | 83,000 | 61,149 | |
Viper Energy, Inc., | |||
5.38%, 11/01/27(b) | 816,000 | 796,117 | |
7.38%, 11/01/31(b) | 515,000 | 530,265 | |
Western Midstream Operating L.P., 4.65%, 7/01/26 | 90,000 | 87,909 | |
Williams (The) Cos., Inc., | |||
4.90%, 1/15/45 | 440,000 | 374,296 | |
5.10%, 9/15/45 | 140,000 | 123,251 | |
4.85%, 3/01/48 | 40,000 | 33,761 | |
31,177,310 | |||
Real Estate Investment Trusts – 0.8% | |||
American Tower Corp., | |||
5.50%, 3/15/28 | 69,000 | 68,653 | |
5.20%, 2/15/29 | 92,000 | 90,313 | |
3.80%, 8/15/29 | 417,000 | 381,445 | |
2.10%, 6/15/30 | 204,000 | 166,458 | |
2.70%, 4/15/31 | 174,000 | 143,727 | |
2.30%, 9/15/31 | 208,000 | 165,259 | |
Crown Castle, Inc., | |||
3.10%, 11/15/29 | 116,000 | 101,356 | |
3.30%, 7/01/30 | 166,000 | 144,076 | |
2.25%, 1/15/31 | 209,000 | 168,071 | |
2.50%, 7/15/31 | 182,000 | 146,856 | |
Equinix, Inc., | |||
3.20%, 11/18/29 | 329,000 | 290,075 | |
2.15%, 7/15/30(g) | 130,000 | 105,950 | |
2.50%, 5/15/31 | 449,000 | 366,123 | |
3.90%, 4/15/32(g) | 221,000 | 195,457 | |
Extra Space Storage L.P., | |||
5.50%, 7/01/30 | 36,000 | 35,481 | |
2.55%, 6/01/31 | 43,000 | 34,852 | |
GLP Capital L.P./GLP Financing II, Inc., | |||
5.75%, 6/01/28 | 636,000 | 628,227 | |
4.00%, 1/15/30 | 439,000 | 393,142 | |
3.25%, 1/15/32 | 616,000 | 503,862 |
Par (a) | Value | ||
Real Estate Investment Trusts (Continued) | |||
Invitation Homes Operating Partnership L.P., 5.50%, 8/15/33 | $ 40,000 | $ 38,666 | |
NNN REIT, Inc., | |||
3.10%, 4/15/50 | 42,000 | 25,927 | |
3.50%, 4/15/51(g) | 160,000 | 107,774 | |
Realty Income Corp., | |||
3.25%, 1/15/31 | 158,000 | 137,523 | |
2.70%, 2/15/32 | 48,000 | 38,928 | |
VICI Properties L.P., 4.75%, 2/15/28 | 312,000 | 299,663 | |
VICI Properties L.P./VICI Note Co., Inc., | |||
4.25%, 12/01/26(b) | 769,000 | 733,758 | |
3.88%, 2/15/29(b)(g) | 404,000 | 366,547 | |
4.63%, 12/01/29(b) | 517,000 | 479,632 | |
4.13%, 8/15/30(b) | 278,000 | 247,786 | |
6,605,587 | |||
Retail - Consumer Staples – 0.0%(h) | |||
Costco Wholesale Corp., | |||
1.38%, 6/20/27(g) | 190,000 | 169,976 | |
1.75%, 4/20/32(g) | 90,000 | 70,530 | |
Walmart, Inc., | |||
1.50%, 9/22/28(g) | 60,000 | 52,030 | |
2.38%, 9/24/29 | 20,000 | 17,611 | |
1.80%, 9/22/31 | 40,000 | 32,235 | |
342,382 | |||
Retail - Discretionary – 0.1% | |||
Home Depot (The), Inc., | |||
2.50%, 4/15/27 | 60,000 | 55,687 | |
3.90%, 12/06/28 | 10,000 | 9,518 | |
2.70%, 4/15/30 | 80,000 | 69,706 | |
3.30%, 4/15/40 | 160,000 | 121,442 | |
3.90%, 6/15/47 | 20,000 | 15,445 | |
3.35%, 4/15/50 | 210,000 | 145,089 | |
Lowe's Cos., Inc., | |||
1.70%, 9/15/28(g) | 180,000 | 154,633 | |
4.50%, 4/15/30 | 94,000 | 89,915 | |
2.63%, 4/01/31 | 157,000 | 131,521 | |
2.80%, 9/15/41 | 234,000 | 157,884 | |
4.65%, 4/15/42 | 43,000 | 36,978 | |
987,818 | |||
Semiconductors – 0.3% | |||
Applied Materials, Inc., 1.75%, 6/01/30 | 210,000 | 172,953 | |
Broadcom, Inc., | |||
2.60%, 2/15/33(b) | 118,000 | 93,013 | |
3.42%, 4/15/33(b) | 93,000 | 78,101 | |
3.47%, 4/15/34(b) | 87,000 | 72,082 | |
3.14%, 11/15/35(b) | 818,000 | 634,807 |
Par (a) | Value | ||
Semiconductors (Continued) | |||
Intel Corp., | |||
1.60%, 8/12/28 | $100,000 | $ 85,953 | |
5.13%, 2/10/30 | 120,000 | 118,754 | |
5.20%, 2/10/33(g) | 90,000 | 87,811 | |
4.75%, 3/25/50(g) | 80,000 | 67,139 | |
3.05%, 8/12/51 | 50,000 | 30,789 | |
KLA Corp., | |||
4.65%, 7/15/32 | 70,000 | 66,888 | |
3.30%, 3/01/50 | 226,000 | 154,825 | |
Micron Technology, Inc., | |||
5.30%, 1/15/31 | 110,000 | 107,937 | |
5.88%, 2/09/33 | 70,000 | 70,372 | |
NVIDIA Corp., 3.70%, 4/01/60 | 150,000 | 110,242 | |
Texas Instruments, Inc., | |||
2.90%, 11/03/27(g) | 220,000 | 204,671 | |
1.75%, 5/04/30 | 70,000 | 57,882 | |
3.88%, 3/15/39 | 100,000 | 85,105 | |
4.10%, 8/16/52 | 116,000 | 93,068 | |
2,392,392 | |||
Software – 0.2% | |||
Adobe, Inc., 2.30%, 2/01/30 | 200,000 | 171,954 | |
Microsoft Corp., 2.92%, 3/17/52 | 70,000 | 46,138 | |
Oracle Corp., | |||
1.65%, 3/25/26 | 310,000 | 287,999 | |
2.95%, 4/01/30 | 30,000 | 26,057 | |
4.65%, 5/06/30(g) | 120,000 | 115,041 | |
2.88%, 3/25/31 | 360,000 | 304,226 | |
4.13%, 5/15/45 | 428,000 | 326,469 | |
4.00%, 7/15/46 | 82,000 | 60,750 | |
3.60%, 4/01/50 | 158,000 | 106,863 | |
3.95%, 3/25/51 | 73,000 | 52,151 | |
6.90%, 11/09/52 | 55,000 | 59,713 | |
4.38%, 5/15/55 | 205,000 | 154,748 | |
Salesforce, Inc., 3.70%, 4/11/28 | 190,000 | 180,863 | |
1,892,972 | |||
Specialty Finance – 0.1% | |||
Air Lease Corp., | |||
3.38%, 7/01/25 | 70,000 | 68,033 | |
5.30%, 2/01/28 | 160,000 | 157,580 | |
American Express Co., | |||
4.20%, 11/06/25 | 70,000 | 68,638 | |
4.05%, 5/03/29 | 140,000 | 133,197 | |
USAA Capital Corp., 2.13%, 5/01/30(b) | 150,000 | 123,847 | |
551,295 |
Par (a) | Value | ||
Technology Hardware – 0.2% | |||
Cisco Systems, Inc., 4.95%, 2/26/31 | $ 295,000 | $ 290,149 | |
Dell International LLC/EMC Corp., 4.90%, 10/01/26 | 341,000 | 335,856 | |
Hewlett Packard Enterprise Co., 5.25%, 7/01/28 | 77,000 | 76,453 | |
Motorola Solutions, Inc., 5.60%, 6/01/32 | 586,000 | 582,834 | |
1,285,292 | |||
Technology Services – 0.1% | |||
FactSet Research Systems, Inc., 3.45%, 3/01/32 | 41,000 | 34,779 | |
Global Payments, Inc., | |||
3.20%, 8/15/29 | 40,000 | 35,293 | |
5.30%, 8/15/29 | 48,000 | 46,901 | |
2.90%, 5/15/30 | 42,000 | 35,796 | |
Mastercard, Inc., | |||
3.35%, 3/26/30 | 120,000 | 109,174 | |
3.85%, 3/26/50 | 280,000 | 216,851 | |
Moody's Corp., 2.00%, 8/19/31 | 94,000 | 74,700 | |
PayPal Holdings, Inc., | |||
1.65%, 6/01/25 | 10,000 | 9,585 | |
2.30%, 6/01/30 | 80,000 | 67,513 | |
4.40%, 6/01/32(g) | 70,000 | 65,889 | |
Visa, Inc., 4.30%, 12/14/45 | 170,000 | 144,081 | |
840,562 | |||
Telecommunications – 1.1% | |||
AT&T, Inc., | |||
3.80%, 2/15/27 | 170,000 | 162,828 | |
2.30%, 6/01/27 | 170,000 | 155,041 | |
4.30%, 2/15/30(b) | 105,000 | 98,689 | |
2.25%, 2/01/32 | 30,000 | 23,694 | |
2.55%, 12/01/33 | 220,000 | 169,813 | |
5.35%, 9/01/40 | 50,000 | 46,699 | |
5.55%, 8/15/41 | 40,000 | 38,366 | |
4.80%, 6/15/44 | 22,000 | 18,690 | |
4.50%, 3/09/48 | 85,000 | 68,347 | |
4.55%, 3/09/49 | 50,000 | 40,659 | |
3.65%, 6/01/51 | 160,000 | 110,175 | |
3.50%, 9/15/53 | 163,000 | 107,460 | |
3.55%, 9/15/55 | 751,000 | 489,801 | |
3.80%, 12/01/57 | 157,000 | 105,926 | |
3.65%, 9/15/59 | 866,000 | 561,810 | |
Sprint LLC, 7.63%, 3/01/26 | 918,000 | 941,972 | |
T-Mobile USA, Inc., | |||
3.75%, 4/15/27 | 20,000 | 19,058 | |
3.88%, 4/15/30 | 1,113,000 | 1,018,401 |
Par (a) | Value | ||
Telecommunications (Continued) | |||
T-Mobile USA, Inc., | |||
2.55%, 2/15/31(g) | $ 70,000 | $ 58,052 | |
2.25%, 11/15/31 | 444,000 | 353,709 | |
5.05%, 7/15/33 | 344,000 | 329,540 | |
5.15%, 4/15/34(g) | 110,000 | 105,912 | |
3.00%, 2/15/41 | 190,000 | 132,841 | |
3.30%, 2/15/51 | 70,000 | 45,948 | |
Verizon Communications, Inc., | |||
2.63%, 8/15/26 | 10,000 | 9,401 | |
4.13%, 3/16/27 | 60,000 | 58,069 | |
3.00%, 3/22/27 | 30,000 | 28,122 | |
2.10%, 3/22/28 | 200,000 | 177,089 | |
4.33%, 9/21/28 | 250,000 | 239,551 | |
3.88%, 2/08/29 | 30,000 | 28,103 | |
4.02%, 12/03/29 | 69,000 | 64,300 | |
3.15%, 3/22/30 | 90,000 | 79,427 | |
1.75%, 1/20/31 | 388,000 | 306,360 | |
2.55%, 3/21/31 | 380,000 | 315,353 | |
2.36%, 3/15/32 | 620,000 | 494,675 | |
5.05%, 5/09/33(g) | 303,000 | 293,062 | |
4.50%, 8/10/33 | 310,000 | 286,232 | |
4.40%, 11/01/34(g) | 253,000 | 229,459 | |
4.27%, 1/15/36 | 172,000 | 152,258 | |
2.65%, 11/20/40 | 200,000 | 133,633 | |
3.40%, 3/22/41 | 50,000 | 37,226 | |
2.85%, 9/03/41 | 104,000 | 70,912 | |
3.85%, 11/01/42 | 60,000 | 46,629 | |
4.00%, 3/22/50 | 160,000 | 121,170 | |
3.55%, 3/22/51 | 330,000 | 230,030 | |
3.00%, 11/20/60(g) | 113,000 | 65,405 | |
8,669,897 | |||
Tobacco & Cannabis – 0.2% | |||
Altria Group, Inc., | |||
2.35%, 5/06/25 | 30,000 | 29,012 | |
4.40%, 2/14/26 | 52,000 | 50,966 | |
4.80%, 2/14/29 | 80,000 | 77,639 | |
2.45%, 2/04/32 | 180,000 | 142,104 | |
6.88%, 11/01/33(g) | 447,000 | 472,156 | |
5.80%, 2/14/39 | 70,000 | 68,359 | |
3.40%, 2/04/41 | 100,000 | 70,028 | |
4.25%, 8/09/42 | 244,000 | 190,309 | |
5.95%, 2/14/49(g) | 195,000 | 188,092 | |
3.70%, 2/04/51 | 249,000 | 164,002 | |
6.20%, 2/14/59 | 24,000 | 23,315 | |
Philip Morris International, Inc., | |||
5.13%, 11/17/27 | 56,000 | 55,479 | |
4.88%, 2/15/28 | 142,000 | 139,575 | |
4.88%, 2/13/29 | 80,000 | 78,095 | |
2.10%, 5/01/30 | 70,000 | 57,934 |
Par (a) | Value | ||
Tobacco & Cannabis (Continued) | |||
Philip Morris International, Inc., | |||
5.13%, 2/13/31(g) | $ 20,000 | $ 19,434 | |
5.25%, 2/13/34 | 60,000 | 57,879 | |
1,884,378 | |||
Transportation & Logistics – 0.2% | |||
Burlington Northern Santa Fe LLC, | |||
3.30%, 9/15/51 | 137,000 | 92,796 | |
2.88%, 6/15/52 | 131,000 | 80,644 | |
Delta Air Lines Pass Through Trust, Series 2015-1, Class AA, 3.63%, 7/30/27 | 47,216 | 44,156 | |
Delta Air Lines, Inc./SkyMiles IP Ltd., | |||
4.50%, 10/20/25(b) | 110,227 | 108,708 | |
4.75%, 10/20/28(b) | 260,000 | 251,701 | |
Norfolk Southern Corp., 3.16%, 5/15/55 | 360,000 | 222,357 | |
Union Pacific Corp., | |||
2.15%, 2/05/27 | 120,000 | 110,441 | |
2.40%, 2/05/30 | 150,000 | 128,587 | |
3.84%, 3/20/60 | 279,000 | 199,361 | |
2.97%, 9/16/62 | 191,000 | 110,972 | |
3.75%, 2/05/70 | 130,000 | 89,052 | |
1,438,775 | |||
Total Corporate Bonds (Cost $150,664,652) | 139,121,289 | ||
Foreign Issuer Bonds – 5.9% | |||
Argentina – 0.0%(h) | |||
Argentine Republic Government International Bond, | |||
1.00%, 7/09/29 | 21,000 | 12,358 | |
(Step to 4.13% on 7/09/24), 3.63%, 7/09/35(f) | 38,250 | 17,548 | |
(Step to 5.00% on 7/09/24), 4.25%, 1/09/38(f) | 23,000 | 11,720 | |
YPF S.A., 9.50%, 1/17/31(b) | 47,000 | 47,493 | |
89,119 | |||
Australia – 0.2% | |||
BHP Billiton Finance USA Ltd., 5.00%, 9/30/43 | 160,000 | 145,895 | |
Glencore Funding LLC, | |||
4.00%, 3/27/27(b) | 160,000 | 152,869 | |
3.88%, 10/27/27(b) | 70,000 | 65,958 | |
5.40%, 5/08/28(b) | 139,000 | 137,523 |
Par (a) | Value | ||
Australia (Continued) | |||
Glencore Funding LLC, | |||
5.37%, 4/04/29(b) | $ 274,000 | $ 269,087 | |
2.50%, 9/01/30(b) | 44,000 | 36,411 | |
6.38%, 10/06/30(b) | 282,000 | 289,453 | |
2.85%, 4/27/31(b) | 42,000 | 34,823 | |
1,132,019 | |||
Belgium – 0.3% | |||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 2/01/46 | 200,000 | 179,978 | |
Anheuser-Busch InBev Worldwide, Inc., | |||
4.75%, 1/23/29 | 260,000 | 255,667 | |
3.50%, 6/01/30 | 50,000 | 45,553 | |
4.35%, 6/01/40 | 130,000 | 112,194 | |
5.55%, 1/23/49 | 260,000 | 255,993 | |
Kingdom of Belgium Government Bond, 3.30%, 6/22/54(b) | EUR | 1,590,520 | 1,629,924 |
2,479,309 | |||
Brazil – 0.4% | |||
Brazil Notas do Tesouro Nacional Serie F, 10.00%, 1/01/35 | BRL | 4,900,000 | 848,539 |
Brazilian Government International Bond, 6.13%, 3/15/34 | 940,000 | 898,825 | |
Embraer Netherlands Finance B.V., 7.00%, 7/28/30(b) | 9,000 | 9,212 | |
Petrorio Luxembourg Trading S.a.r.l., 6.13%, 6/09/26(b) | 23,000 | 22,481 | |
Samarco Mineracao S.A., 9.50%, 6/30/31(k) | 54,585 | 49,820 | |
Suzano Austria GmbH, 6.00%, 1/15/29 | 850,000 | 841,114 | |
Vale Overseas Ltd., | |||
6.25%, 8/10/26 | 560,000 | 567,175 | |
6.88%, 11/21/36 | 300,000 | 307,473 | |
3,544,639 | |||
Canada – 0.2% | |||
Algonquin Power & Utilities Corp., 5.37%, 6/15/26 | 245,000 | 242,441 | |
Bank of Montreal, | |||
1.85%, 5/01/25 | 210,000 | 202,432 | |
(5Y USD Swap Rate + 1.43%), 3.80%, 12/15/32(i) | 40,000 | 37,030 | |
Bank of Nova Scotia (The), | |||
1.30%, 6/11/25(g) | 120,000 | 114,455 |
Par (a) | Value | ||
Canada (Continued) | |||
Bank of Nova Scotia (The), | |||
(5Y US Treasury CMT + 2.05%), 4.59%, 5/04/37(i) | $ 140,000 | $ 123,586 | |
Barrick North America Finance LLC, 5.75%, 5/01/43 | 190,000 | 186,657 | |
Rogers Communications, Inc., 5.30%, 2/15/34 | 213,000 | 204,194 | |
Royal Bank of Canada, | |||
1.15%, 6/10/25 | 10,000 | 9,533 | |
3.88%, 5/04/32(g) | 340,000 | 304,474 | |
5.15%, 2/01/34(g) | 130,000 | 125,555 | |
Toronto-Dominion Bank (The), | |||
1.15%, 6/12/25(g) | 110,000 | 104,843 | |
4.46%, 6/08/32 | 70,000 | 64,944 | |
1,720,144 | |||
Chile – 0.0%(h) | |||
Banco de Credito e Inversiones S.A., (5Y US Treasury CMT + 4.94%), 8.75%, 2/08/29(b)(i)(l) | 18,000 | 18,448 | |
Chile Government International Bond, 3.10%, 1/22/61 | 310,000 | 181,202 | |
Empresa Nacional del Petroleo, 6.15%, 5/10/33(b) | 18,000 | 17,876 | |
217,526 | |||
China – 0.1% | |||
NXP B.V./NXP Funding LLC/NXP USA, Inc., | |||
2.70%, 5/01/25 | 80,000 | 77,725 | |
2.50%, 5/11/31 | 121,000 | 98,777 | |
Prosus N.V., | |||
3.68%, 1/21/30(b) | 600,000 | 516,562 | |
4.03%, 8/03/50(b) | 380,000 | 239,958 | |
933,022 | |||
Colombia – 0.3% | |||
Colombia Government International Bond, | |||
3.13%, 4/15/31 | 200,000 | 154,565 | |
3.25%, 4/22/32 | 620,000 | 465,775 | |
5.00%, 6/15/45 | 1,070,000 | 736,631 | |
Colombian TES, | |||
7.50%, 8/26/26 | COP | 513,600,000 | 124,721 |
5.75%, 11/03/27 | COP | 250,300,000 | 56,012 |
6.00%, 4/28/28 | COP | 208,700,000 | 46,430 |
Ecopetrol S.A., | |||
8.88%, 1/13/33 | 17,000 | 17,400 |
Par (a) | Value | ||
Colombia (Continued) | |||
Ecopetrol S.A., | |||
5.88%, 5/28/45 | $1,220,000 | $ 865,326 | |
Gran Tierra Energy, Inc., 9.50%, 10/15/29(b)(g) | 19,000 | 17,877 | |
Oleoducto Central S.A., 4.00%, 7/14/27(b) | 20,000 | 18,508 | |
2,503,245 | |||
Czech Republic – 0.0%(h) | |||
Czech Republic Government Bond, | |||
2.75%, 7/23/29 | CZK | 2,150,000 | 85,034 |
5.00%, 9/30/30 | CZK | 840,000 | 37,172 |
122,206 | |||
Denmark – 0.0%(h) | |||
Danske Bank A/S, (1Y US Treasury CMT + 0.55%), 0.98%, 9/10/25(b)(i) | 220,000 | 215,806 | |
Dominican Republic – 0.0%(h) | |||
Dominican Republic International Bond, 4.88%, 9/23/32(b)(g) | 100,000 | 87,500 | |
France – 0.5% | |||
BNP Paribas S.A., | |||
(SOFR + 2.07%), 2.22%, 6/09/26(b)(i) | 600,000 | 576,191 | |
(1Y US Treasury CMT + 1.45%), 5.13%, 1/13/29(b)(i) | 500,000 | 492,342 | |
(3M CME Term SOFR + 2.83%), 5.20%, 1/10/30(b)(g)(i) | 300,000 | 292,974 | |
(SOFR + 1.51%), 3.05%, 1/13/31(b)(i) | 200,000 | 171,925 | |
(SOFR + 1.87%), 5.89%, 12/05/34(b)(i) | 240,000 | 242,420 | |
Credit Agricole S.A., (SOFR + 1.68%), 1.91%, 6/16/26(b)(i) | 250,000 | 238,894 | |
Danone S.A., 2.95%, 11/02/26(b) | 200,000 | 188,500 | |
French Republic Government Bond OAT, 3.00%, 5/25/54(b) | EUR | 1,638,760 | 1,594,128 |
3,797,374 | |||
Germany – 0.1% | |||
Deutsche Bank A.G., 5.37%, 9/09/27 | 493,000 | 490,149 | |
Hong Kong – 0.0%(h) | |||
FWD Group Holdings Ltd., 8.40%, 4/05/29(b) | 200,000 | 203,493 |
Par (a) | Value | ||
Hungary – 0.0%(h) | |||
Hungary Government International Bond, | |||
4.00%, 7/25/29 | EUR | $102,000 | $ 107,841 |
5.38%, 9/12/33 | EUR | 6,000 | 6,634 |
114,475 | |||
India – 0.1% | |||
Continuum Energy Levanter Pte Ltd., 4.50%, 2/09/27(b) | 19,521 | 18,560 | |
Export-Import Bank of India, 3.38%, 8/05/26(b) | 200,000 | 190,381 | |
Reliance Industries Ltd., | |||
2.88%, 1/12/32(b)(g) | 250,000 | 205,666 | |
3.63%, 1/12/52(b) | 450,000 | 303,897 | |
Vedanta Resources Finance II PLC, 13.88%, 12/09/28(b) | 26,040 | 23,681 | |
Vedanta Resources Ltd., 13.88%, 12/09/28(b) | 12,220 | 10,805 | |
752,990 | |||
Indonesia – 0.2% | |||
Indonesia Government International Bond, | |||
2.85%, 2/14/30 | 400,000 | 349,058 | |
3.05%, 3/12/51 | 222,000 | 143,905 | |
Medco Maple Tree Pte. Ltd., 8.96%, 4/27/29(b) | 13,000 | 13,284 | |
Pertamina Persero PT, 6.00%, 5/03/42(b) | 280,000 | 269,163 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, 5.45%, 5/21/28(b) | 770,000 | 757,516 | |
1,532,926 | |||
Ireland – 0.1% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, | |||
2.45%, 10/29/26 | 400,000 | 369,573 | |
3.00%, 10/29/28 | 400,000 | 356,752 | |
3.30%, 1/30/32 | 150,000 | 125,227 | |
851,552 | |||
Israel – 0.1% | |||
Israel Government International Bond, | |||
2.75%, 7/03/30 | 500,000 | 415,697 | |
5.75%, 3/12/54 | 204,000 | 183,894 | |
4.50%, 4/03/20(m) | 220,000 | 151,800 | |
751,391 |
Par (a) | Value | ||
Japan – 0.1% | |||
Mitsubishi UFJ Financial Group, Inc., (1Y US Treasury CMT + 1.13%), 3.84%, 4/17/26(i) | $ 200,000 | $ 196,233 | |
Sumitomo Mitsui Financial Group, Inc., (5Y US Treasury CMT + 2.28%), 6.60%, 6/05/34(i)(l) | 204,000 | 196,176 | |
Takeda Pharmaceutical Co. Ltd., 2.05%, 3/31/30 | 200,000 | 165,349 | |
557,758 | |||
Kazakhstan – 0.1% | |||
Kazakhstan Government International Bond, 4.88%, 10/14/44(g) | 600,000 | 554,280 | |
KazMunayGas National Co. JSC, 6.38%, 10/24/48(b) | 420,000 | 373,097 | |
927,377 | |||
Kuwait – 0.1% | |||
MEGlobal B.V., | |||
4.25%, 11/03/26(b) | 210,000 | 200,416 | |
2.63%, 4/28/28(b) | 450,000 | 395,446 | |
595,862 | |||
Macau – 0.3% | |||
Sands China Ltd., | |||
5.13%, 8/08/25 | 300,000 | 296,691 | |
4.05%, 1/08/26 | 1,000,000 | 962,545 | |
4.63%, 6/18/30 | 900,000 | 810,255 | |
2,069,491 | |||
Mexico – 0.8% | |||
Comision Federal de Electricidad, 3.88%, 7/26/33(b) | 720,000 | 566,553 | |
Grupo Posadas S.A.B. de C.V., (Step to 8.00% on 12/30/25), 7.00%, 12/30/27(f) | 22,234 | 20,428 | |
Mexican Bonos, | |||
8.50%, 3/01/29 | MXN | 8,000,000 | 439,542 |
8.50%, 5/31/29 | MXN | 17,954,000 | 983,895 |
7.75%, 11/23/34 | MXN | 5,500,000 | 275,055 |
Mexico Government International Bond, | |||
2.66%, 5/24/31 | 568,000 | 460,493 | |
3.50%, 2/12/34 | 235,000 | 188,147 | |
6.35%, 2/09/35 | 615,000 | 611,170 | |
4.75%, 3/08/44 | 430,000 | 339,508 | |
4.50%, 1/31/50(g) | 420,000 | 312,294 | |
4.40%, 2/12/52 | 1,150,000 | 826,490 |
Par (a) | Value | ||
Mexico (Continued) | |||
Orbia Advance Corp. S.A.B. de C.V., | |||
1.88%, 5/11/26(b) | $280,000 | $ 257,719 | |
2.88%, 5/11/31(b)(g) | 270,000 | 219,537 | |
Petroleos Mexicanos, | |||
6.88%, 8/04/26 | 52,000 | 50,471 | |
6.50%, 3/13/27 | 231,000 | 216,344 | |
Southern Copper Corp., 5.25%, 11/08/42 | 770,000 | 702,227 | |
6,469,873 | |||
Morocco – 0.0%(h) | |||
OCP S.A., 4.50%, 10/22/25(b) | 200,000 | 195,500 | |
Netherlands – 0.1% | |||
Cooperatieve Rabobank U.A., | |||
4.38%, 8/04/25 | 440,000 | 430,805 | |
(1Y US Treasury CMT + 1.22%), 3.65%, 4/06/28(b)(i) | 250,000 | 235,788 | |
(1Y US Treasury CMT + 1.42%), 3.76%, 4/06/33(b)(i) | 250,000 | 217,871 | |
884,464 | |||
Panama – 0.1% | |||
Panama Government International Bond, | |||
3.88%, 3/17/28 | 400,000 | 359,335 | |
3.16%, 1/23/30 | 200,000 | 162,715 | |
4.50%, 4/01/56 | 247,000 | 153,066 | |
675,116 | |||
Peru – 0.2% | |||
Peruvian Government International Bond, | |||
6.35%, 8/12/28 | PEN | 267,000 | 72,241 |
5.94%, 2/12/29 | PEN | 247,000 | 65,336 |
5.63%, 11/18/50 | 100,000 | 92,788 | |
3.55%, 3/10/51 | 220,000 | 147,158 | |
2.78%, 12/01/60 | 10,000 | 5,245 | |
3.60%, 1/15/72 | 120,000 | 72,900 | |
Petroleos del Peru S.A., | |||
4.75%, 6/19/32(b) | 700,000 | 521,824 | |
5.63%, 6/19/47(b) | 200,000 | 122,727 | |
1,100,219 | |||
Philippines – 0.0%(h) | |||
Philippine Government International Bond, 3.20%, 7/06/46 | 267,000 | 180,785 |
Par (a) | Value | ||
Poland – 0.0%(h) | |||
Republic of Poland Government Bond, 2.75%, 10/25/29 | PLN | $ 360,000 | $ 77,268 |
Russia – 0.0%(h) | |||
Russian Federal Bond - OFZ, 6.10%, 7/18/35 | RUB | 6,245,000 | 31,810 |
South Africa – 0.1% | |||
Anglo American Capital PLC, | |||
4.00%, 9/11/27(b) | 400,000 | 379,041 | |
3.88%, 3/16/29(b) | 475,000 | 438,709 | |
Republic of South Africa Government Bond, 7.00%, 2/28/31 | ZAR | 1,562,400 | 66,680 |
884,430 | |||
Spain – 0.1% | |||
Banco Santander S.A., 2.75%, 5/28/25 | 600,000 | 580,984 | |
Telefonica Emisiones S.A., 4.10%, 3/08/27 | 150,000 | 144,314 | |
725,298 | |||
Supranational – 0.1% | |||
European Union, | |||
2.50%, 10/04/52 | EUR | 262,000 | 233,972 |
3.00%, 3/04/53 | EUR | 732,000 | 723,267 |
957,239 | |||
Switzerland – 0.6% | |||
Credit Suisse A.G., | |||
5.00%, 7/09/27 | 500,000 | 489,013 | |
7.50%, 2/15/28 | 753,000 | 797,262 | |
UBS Group A.G., | |||
(SOFR + 1.56%), 2.59%, 9/11/25(b)(i) | 250,000 | 246,903 | |
(1Y US Treasury CMT + 1.55%), 4.49%, 5/12/26(b)(i) | 250,000 | 246,090 | |
4.25%, 3/23/28(b) | 770,000 | 729,754 | |
(SOFR + 3.73%), 4.19%, 4/01/31(b)(i) | 250,000 | 227,962 | |
(1Y US Treasury CMT + 1.00%), 2.10%, 2/11/32(b)(i) | 286,000 | 223,353 | |
(SOFR + 1.73%), 3.09%, 5/14/32(b)(i) | 500,000 | 414,022 | |
(1Y US Treasury CMT + 1.10%), 2.75%, 2/11/33(b)(i) | 200,000 | 158,832 | |
(SOFR + 5.02%), 9.02%, 11/15/33(b)(i) | 650,000 | 768,066 |
Par (a) | Value | ||
Switzerland (Continued) | |||
UBS Group A.G., | |||
(1Y US Treasury CMT + 2.00%), 6.30%, 9/22/34(b)(i) | $ 210,000 | $ 213,176 | |
(1Y US Treasury CMT + 1.77%), 5.70%, 2/08/35(b)(i) | 649,000 | 629,324 | |
5,143,757 | |||
Taiwan – 0.1% | |||
TSMC Arizona Corp., 2.50%, 10/25/31 | 1,020,000 | 848,218 | |
Thailand – 0.0%(h) | |||
Bangkok Bank PCL, | |||
5.30%, 9/21/28(b) | 18,000 | 17,764 | |
5.50%, 9/21/33(b) | 18,000 | 17,543 | |
35,307 | |||
Ukraine – 0.0%(h) | |||
MHP Lux S.A., 6.25%, 9/19/29(b) | 19,000 | 12,743 | |
Ukraine Government International Bond, | |||
7.25%, 3/15/35 | 200,000 | 49,283 | |
7.75%, 8/01/41(c)(n) | 57,000 | 30,210 | |
92,236 | |||
United Arab Emirates – 0.1% | |||
DP World Ltd., 5.63%, 9/25/48(b) | 700,000 | 640,508 | |
GEMS MENASA Cayman Ltd./GEMS Education Delaware LLC, 7.13%, 7/31/26(b) | 19,000 | 18,866 | |
MDGH GMTN RSC Ltd., 4.38%, 11/22/33(b)(g) | 19,000 | 17,432 | |
676,806 | |||
United Kingdom – 0.4% | |||
Avianca Midco 2 PLC, 9.00%, 12/01/28(b) | 3,000 | 2,833 | |
BAE Systems PLC, 3.40%, 4/15/30(b) | 427,000 | 379,746 | |
Barclays PLC, (SOFR + 1.74%), 5.69%, 3/12/30(g)(i) | 441,000 | 435,159 | |
BAT Capital Corp., | |||
3.56%, 8/15/27 | 77,000 | 72,211 | |
2.26%, 3/25/28 | 100,000 | 87,901 | |
6.00%, 2/20/34 | 150,000 | 149,073 | |
4.54%, 8/15/47 | 159,000 | 118,980 | |
4.76%, 9/06/49 | 143,000 | 110,330 | |
3.98%, 9/25/50 | 488,000 | 339,255 | |
5.65%, 3/16/52 | 40,000 | 34,813 | |
7.08%, 8/02/53 | 307,000 | 321,317 |
Par (a) | Value | ||
United Kingdom (Continued) | |||
HSBC Holdings PLC, | |||
(SOFR + 1.93%), 2.10%, 6/04/26(i) | $200,000 | $ 191,693 | |
(3M CME Term SOFR + 1.81%), 4.04%, 3/13/28(i) | 240,000 | 228,649 | |
(3M CME Term SOFR + 1.87%), 3.97%, 5/22/30(i) | 350,000 | 320,760 | |
Lloyds Banking Group PLC, 4.38%, 3/22/28 | 290,000 | 276,463 | |
Natwest Group PLC, (3M USD LIBOR + 1.91%), 5.08%, 1/27/30(i) | 200,000 | 193,238 | |
3,262,421 | |||
Uruguay – 0.0%(h) | |||
Uruguay Government International Bond, 5.10%, 6/18/50 | 167,641 | 152,469 | |
Total Foreign Issuer Bonds (Cost $52,881,713) | 48,082,589 | ||
Mortgage-Backed Securities – 30.6% | |||
Commercial Mortgage-Backed Securities – 2.0% | |||
245 Park Avenue Trust, Series 2017-245P, Class E, 3.78%, 6/05/37(b)(d) | 740,000 | 600,973 | |
Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A, (30D Average SOFR + 1.45%, 1.45% Floor), 6.78%, 1/15/37(b)(c) | 378,000 | 376,988 | |
AREIT Trust, Series 2022-CRE6, Class A, (30D Average SOFR + 1.25%, 1.25% Floor), 6.58%, 1/16/37(b)(c) | 751,023 | 742,751 | |
BANK, | |||
Series 2017-BNK5, Class A4, 3.13%, 6/15/60 | 330,000 | 306,341 | |
Series 2017-BNK7, Class A5, 3.44%, 9/15/60 | 100,000 | 92,832 | |
Series 2018-BN13, Class A5, 4.22%, 8/15/61 | 480,000 | 452,256 | |
Series 2019-BN19, Class C, 4.16%, 8/15/61(d) | 280,000 | 210,137 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
Bayview Commercial Asset Trust, | |||
Series 2006-1A, Class A1, (1M CME Term SOFR + 0.52%), 5.84%, 4/25/36(b)(c) | $ 220,778 | $203,163 | |
Series 2007-4A, Class A1, (1M CME Term SOFR + 0.79%, 0.68% Floor), 6.11%, 9/25/37(b)(c) | 220,456 | 205,419 | |
Benchmark Mortgage Trust, | |||
Series 2018-B2, Class A5, 3.88%, 2/15/51 | 390,000 | 358,763 | |
Series 2019-B10, Class A4, 3.72%, 3/15/62 | 500,000 | 457,006 | |
Series 2019-B9, Class XA, 1.18%, 3/15/52(d)(o) | 1,673,444 | 61,219 | |
Series 2020-IG1, Class AS, 2.91%, 9/15/43 | 720,000 | 521,155 | |
Series 2021-B25, Class XA, 1.21%, 4/15/54(d)(o) | 6,680,873 | 358,992 | |
Series 2021-B27, Class XA, 1.37%, 7/15/54(d)(o) | 5,209,740 | 300,503 | |
BHMS, Series 2018-ATLS, Class A, (1M CME Term SOFR + 1.55%, 1.50% Floor), 6.87%, 7/15/35(b)(c) | 190,000 | 189,831 | |
BX Commercial Mortgage Trust, | |||
Series 2021-SOAR, Class A, (1M CME Term SOFR + 0.78%, 0.67% Floor), 6.11%, 6/15/38(b)(c) | 591,438 | 585,894 | |
Series 2021-XL2, Class A, (1M CME Term SOFR + 0.80%, 0.69% Floor), 6.12%, 10/15/38(b)(c) | 786,911 | 779,534 | |
Series 2023-XL3, Class A, (1M CME Term SOFR + 1.76%, 1.76% Floor), 7.08%, 12/09/40(b)(c) | 300,000 | 301,875 | |
Series 2024-XL5, Class A, (1M CME Term SOFR + 1.39%, 1.39% Floor), 6.71%, 3/15/39(b)(c) | 222,318 | 221,762 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
BX Trust, Series 2021-BXMF, Class A, (1M CME Term SOFR + 0.75%, 0.64% Floor), 6.07%, 10/15/26(b)(c) | $ 469,232 | $463,954 | |
BXP Trust, Series 2017-GM, Class D, 3.54%, 6/13/39(b)(d) | 370,000 | 325,060 | |
CAMB Commercial Mortgage Trust, | |||
Series 2019-LIFE, Class A, (1M CME Term SOFR + 1.37%, 1.07% Floor), 6.69%, 12/15/37(b)(c) | 270,000 | 269,578 | |
Series 2019-LIFE, Class D, (1M CME Term SOFR + 2.05%, 1.75% Floor), 7.37%, 12/15/37(b)(c) | 100,000 | 99,812 | |
CFK Trust, Series 2019-FAX, Class D, 4.79%, 1/15/39(b)(d) | 100,000 | 87,109 | |
Citigroup Commercial Mortgage Trust, | |||
Series 2014-GC23, Class B, 4.18%, 7/10/47 | 240,000 | 236,421 | |
Series 2016-P6, Class A4, 3.46%, 12/10/49 | 88,681 | 83,970 | |
Series 2017-C4, Class A4, 3.47%, 10/12/50 | 420,000 | 387,830 | |
Commercial Mortgage Trust, Series 2020-CX, Class A, 2.17%, 11/10/46(b) | 290,000 | 227,605 | |
DBGS Mortgage Trust, Series 2019-1735, Class X, 0.43%, 4/10/37(b)(d)(o) | 13,945,000 | 156,527 | |
GS Mortgage Securities Trust, Series 2017-GS8, Class A4, 3.47%, 11/10/50 | 240,000 | 221,479 | |
HGI CRE CLO Ltd., Series 2021-FL1, Class A, (1M CME Term SOFR + 1.16%, 1.16% Floor), 6.48%, 6/16/36(b)(c) | 354,988 | 351,434 | |
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2022-NXSS, Class A, (1M CME Term SOFR + 2.18%, 2.18% Floor), 7.50%, 8/15/39(b)(c) | 120,000 | 120,112 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
KSL Commercial Mortgage Trust, Series 2023-HT, Class D, (1M CME Term SOFR + 4.29%, 4.29% Floor), 9.61%, 12/15/36(b)(c) | $ 171,000 | $171,641 | |
MHC Commercial Mortgage Trust, Series 2021-MHC, Class A, (1M CME Term SOFR + 0.92%, 0.80% Floor), 6.24%, 4/15/38(b)(c) | 192,942 | 191,736 | |
Morgan Stanley Capital I Trust, | |||
Series 2019-BPR, Class A, (1M CME Term SOFR + 1.99%, 1.40% Floor), 7.32%, 5/15/36(b)(c) | 310,737 | 310,074 | |
Series 2019-L2, Class XA, 1.17%, 3/15/52(d)(o) | 2,486,457 | 93,510 | |
MSWF Commercial Mortgage Trust, | |||
Series 2023-2, Class A5, 6.01%, 12/15/56 | 350,000 | 362,935 | |
Series 2023-2, Class XA, 1.14%, 12/15/56(d)(o) | 999,718 | 64,483 | |
NJ Trust, Series 2023-GSP, Class A, 6.70%, 1/06/29(b)(d) | 270,000 | 273,904 | |
OPG Trust, Series 2021-PORT, Class A, (1M CME Term SOFR + 0.60%, 0.48% Floor), 5.92%, 10/15/36(b)(c) | 503,612 | 495,743 | |
PFP Ltd., Series 2022-9, Class A, (1M CME Term SOFR + 2.27%, 2.27% Floor), 7.59%, 8/19/35(b)(c) | 120,000 | 120,570 | |
SFO Commercial Mortgage Trust, Series 2021-555, Class A, (1M CME Term SOFR + 1.26%, 1.15% Floor), 6.59%, 5/15/38(b)(c) | 440,000 | 422,622 | |
SMRT, Series 2022-MINI, Class A, (1M CME Term SOFR + 1.00%, 1.00% Floor), 6.32%, 1/15/39(b)(c) | 790,000 | 781,606 | |
Soho Trust, Series 2021-SOHO, Class A, 2.79%, 8/10/38(b)(d) | 846,000 | 559,322 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
SREIT Trust, Series 2021-MFP, Class A, (1M CME Term SOFR + 0.85%, 0.73% Floor), 6.17%, 11/15/38(b)(c) | $ 765,490 | $ 760,228 | |
VASA Trust, Series 2021-VASA, Class A, (1M CME Term SOFR + 1.01%, 0.90% Floor), 6.34%, 7/15/39(b)(c) | 410,000 | 377,752 | |
Velocity Commercial Capital Loan Trust, Series 2024-1, Class A, 6.55%, 1/25/54(b) | 97,617 | 96,945 | |
Wells Fargo Commercial Mortgage Trust, | |||
Series 2016-BNK1, Class B, 2.97%, 8/15/49 | 300,000 | 240,126 | |
Series 2017-C38, Class A5, 3.45%, 7/15/50 | 315,000 | 292,854 | |
15,974,336 | |||
Federal Home Loan Mortgage Corporation – 6.2% | |||
Multiclass Certificates, Series 2020-RR07, Class BX, 2.61%, 10/27/28(o) | 4,160,000 | 356,880 | |
Multifamily Structured Pass Through Certificates, | |||
Series K095, Class XAM, 1.37%, 6/25/29(d)(o) | 500,000 | 27,442 | |
Series K124, Class X1, 0.81%, 12/25/30(d)(o) | 5,868,188 | 219,805 | |
Series K-1517, Class X1, 1.44%, 7/25/35(d)(o) | 234,530 | 23,565 | |
Series K736, Class X1, 1.41%, 7/25/26(d)(o) | 951,566 | 20,147 | |
Series KG06, Class X1, 0.63%, 10/25/31(d)(o) | 3,095,852 | 95,119 | |
Pool, | |||
3.50%, 1/01/34 - 4/01/52 | 1,201,922 | 1,066,305 | |
2.00%, 9/01/35 - 2/01/52 | 13,841,852 | 10,955,563 | |
1.50%, 4/01/36 - 2/01/51 | 2,743,484 | 2,158,688 | |
3.00%, 9/01/37 - 8/01/52 | 7,209,313 | 6,087,280 | |
2.00%, 3/01/41(e) | 363,390 | 297,193 | |
4.00%, 1/01/45 - 2/01/53 | 3,081,352 | 2,800,413 | |
4.50%, 3/01/47 - 1/01/54 | 2,621,871 | 2,451,519 | |
(1Y Refinitiv USD IBOR Consumer Cash Fallbacks + 1.62%, 1.62% Floor, 7.87% Cap), 2.87%, 11/01/47(c) | 157,005 | 151,693 |
Par (a) | Value | ||
Federal Home Loan Mortgage Corporation (Continued) | |||
Pool, | |||
(1Y Refinitiv USD IBOR Consumer Cash Fallbacks + 1.63%, 1.63% Floor, 8.01% Cap), 3.01%, 11/01/48(c) | $ 561,261 | $ 521,604 | |
5.00%, 11/01/49 - 6/01/53 | 2,618,046 | 2,495,623 | |
(1Y Refinitiv USD IBOR Consumer Cash Fallbacks + 1.62%, 1.62% Floor, 8.10% Cap), 3.10%, 2/01/50(c) | 274,431 | 257,199 | |
2.50%, 7/01/50 - 4/01/52 | 11,342,981 | 9,165,159 | |
2.50%, 1/01/52(p) | 4,275,536 | 3,439,582 | |
6.00%, 11/01/52 - 4/01/54 | 1,893,338 | 1,884,558 | |
5.50%, 12/01/52 - 9/01/53 | 2,527,024 | 2,461,877 | |
6.50%, 2/01/53 - 4/01/54 | 1,647,204 | 1,670,744 | |
7.50%, 12/01/53 - 1/01/54 | 60,156 | 62,310 | |
7.00%, 1/01/54 | 40,326 | 41,196 | |
Real Estate Mortgage Investment Conduits, | |||
Series 2019-RR01, Class X, 1.53%, 6/25/28(o) | 2,500,000 | 126,042 | |
Series 4391, Class MZ, 3.00%, 9/15/44 | 266,522 | 224,273 | |
Series 4980, Class KI, 4.50%, 6/25/50(o) | 440,513 | 101,170 | |
Series 5010, Class IK, 2.50%, 9/25/50(o) | 63,847 | 9,253 | |
Series 5010, Class JI, 2.50%, 9/25/50(o) | 306,114 | 49,515 | |
Series 5013, Class IN, 2.50%, 9/25/50(o) | 78,373 | 12,534 | |
Series 5018, Class MI, 2.00%, 10/25/50(o) | 240,521 | 32,108 | |
Series 5040, Class IB, 2.50%, 11/25/50(o) | 67,641 | 9,474 | |
Series 5059, Class IB, 2.50%, 1/25/51(o) | 322,288 | 53,479 | |
Series 5069, Class MI, 2.50%, 2/25/51(o) | 72,396 | 10,930 | |
Series 5081, Class AI, 3.50%, 3/25/51(o) | 80,709 | 15,073 | |
Series 5092, Class AP, 2.00%, 4/25/41 | 76,273 | 63,555 | |
Series 5093, Class IY, 4.50%, 12/25/50(o) | 479,361 | 110,325 | |
Series 5112, Class KI, 3.50%, 6/25/51(o) | 389,855 | 72,200 |
Par (a) | Value | ||
Federal Home Loan Mortgage Corporation (Continued) | |||
Real Estate Mortgage Investment Conduits, | |||
Series 5118, Class NI, 2.00%, 2/25/51(o) | $ 758,474 | $ 99,427 | |
Series 5127, Class AI, 3.00%, 6/25/51(o) | 152,448 | 25,605 | |
Series 5140, Class NI, 2.50%, 5/25/49(o) | 343,408 | 47,672 | |
Series 5148, Class BI, 2.50%, 1/25/49(o) | 877,975 | 127,377 | |
Series 5148, Class CI, 2.00%, 6/25/49(o) | 447,914 | 50,554 | |
Series 5200, Class KQ, 3.00%, 9/25/49 | 75,680 | 66,695 | |
Series 5224, Class HL, 4.00%, 4/25/52 | 500,000 | 429,709 | |
Series 5230, Class PE, 2.00%, 12/25/51 | 300,000 | 225,481 | |
Series 5274, Class IO, 2.50%, 1/25/51(o) | 640,336 | 105,292 | |
Series 5293, Class IO, 2.00%, 3/25/51(o) | 925,261 | 112,840 | |
Series 5377, Class IO, 2.50%, 12/25/51(o) | 879,317 | 116,120 | |
Strips, Series 334, Class S7, (5.99% - 30D Average SOFR, 6.10% Cap), 0.66%, 8/15/44(c)(o) | 113,002 | 9,702 | |
51,017,869 | |||
Federal Home Loan Mortgage Corporation Gold – 0.4% | |||
Pool, | |||
3.00%, 10/01/32 - 12/01/32 | 469,654 | 437,844 | |
3.50%, 6/01/46 - 4/01/49 | 2,117,174 | 1,881,623 | |
4.50%, 4/01/47 - 4/01/49 | 527,200 | 498,054 | |
4.00%, 6/01/48 | 612,805 | 560,770 | |
5.00%, 11/01/48 | 26,543 | 25,640 | |
3,403,931 | |||
Federal National Mortgage Association – 9.0% | |||
Alternative Credit Enhancement Securities, Series 2020-M36, Class X1, 1.54%, 9/25/34(d)(o) | 524,237 | 30,387 | |
Interest Strip, | |||
Series 409, Class C18, 4.00%, 4/25/42(o) | 7,248 | 1,339 | |
Series 427, Class C21, 2.00%, 3/25/50(o) | 814,870 | 98,986 | |
Series 427, Class C71, 3.00%, 10/25/49(o) | 436,467 | 71,456 |
Par (a) | Value | ||
Federal National Mortgage Association (Continued) | |||
Interest Strip, | |||
Series 437, Class C11, 3.00%, 7/25/52(o) | $ 571,345 | $ 100,773 | |
Pool, | |||
3.00%, 9/01/28 - 12/01/54 | 9,884,837 | 8,479,913 | |
2.50%, 12/01/33 - 9/01/61 | 16,993,030 | 13,834,765 | |
3.50%, 1/01/34 - 6/01/52 | 5,988,884 | 5,281,080 | |
2.00%, 9/01/35 - 12/01/53 | 18,739,750 | 14,713,584 | |
1.50%, 3/01/36 - 3/01/51 | 5,051,182 | 3,898,434 | |
4.50%, 11/01/43 - 1/01/59 | 4,675,721 | 4,391,106 | |
4.00%, 4/01/44 - 7/01/52 | 6,639,234 | 6,039,134 | |
5.00%, 8/01/48 - 7/01/53 | 3,282,734 | 3,148,656 | |
3.50%, 1/01/51(p) | 1,947,112 | 1,703,775 | |
5.50%, 11/01/52 - 9/01/53 | 2,927,008 | 2,852,458 | |
6.00%, 11/01/52 - 4/01/54 | 3,828,056 | 3,808,734 | |
6.50%, 1/01/53 - 6/01/54 | 2,321,098 | 2,351,809 | |
7.50%, 12/01/53 - 1/01/54 | 116,474 | 120,589 | |
7.00%, 1/01/54 | 60,714 | 62,418 | |
Real Estate Mortgage Investment Conduits, | |||
Series 2012-118, Class VZ, 3.00%, 11/25/42 | 125,728 | 109,347 | |
Series 2013-54, Class BS, (6.04% - 30D Average SOFR, 6.15% Cap), 0.71%, 6/25/43(c)(o) | 15,991 | 1,539 | |
Series 2014-6, Class Z, 2.50%, 2/25/44 | 258,346 | 212,507 | |
Series 2015-65, Class CZ, 3.50%, 9/25/45 | 270,754 | 217,120 | |
Series 2018-74, Class AB, 3.50%, 10/25/48 | 158,890 | 140,652 | |
Series 2020-32, Class PI, 4.00%, 5/25/50(o) | 79,700 | 16,779 | |
Series 2020-47, Class GZ, 2.00%, 7/25/50 | 215,923 | 119,547 | |
Series 2020-56, Class AQ, 2.00%, 8/25/50 | 700,000 | 514,084 | |
Series 2020-56, Class DI, 2.50%, 8/25/50(o) | 74,428 | 11,908 | |
Series 2020-57, Class TA, 2.00%, 4/25/50 | 190,987 | 160,962 | |
Series 2020-74, Class EI, 2.50%, 10/25/50(o) | 73,057 | 12,287 | |
Series 2020-89, Class DI, 2.50%, 12/25/50(o) | 216,981 | 32,649 |
Par (a) | Value | ||
Federal National Mortgage Association (Continued) | |||
Real Estate Mortgage Investment Conduits, | |||
Series 2020-97, Class AI, 2.00%, 1/25/51(o) | $ 425,920 | $ 58,434 | |
Series 2021-1, Class IG, 2.50%, 2/25/51(o) | 163,354 | 27,724 | |
Series 2021-3, Class QI, 2.50%, 2/25/51(o) | 832,079 | 128,610 | |
Series 2021-50, Class IO, 4.00%, 8/25/51(o) | 244,824 | 47,000 | |
Series 2021-61, Class KI, 2.50%, 4/25/49(o) | 514,983 | 75,071 | |
Series 2021-65, Class JA, 2.00%, 1/25/46 | 71,042 | 60,458 | |
Series 2021-69, Class IJ, 2.50%, 1/25/49(o) | 883,724 | 129,668 | |
Series 2022-22, Class IO, 2.50%, 10/25/51(o) | 629,700 | 106,577 | |
Series 2022-57, Class BC, 4.00%, 9/25/52 | 84,256 | 77,260 | |
Series 2023-2, Class CI, 2.00%, 10/25/50(o) | 926,731 | 112,748 | |
Series 2024-5, Class DI, 3.00%, 10/25/51(o) | 1,089,823 | 199,413 | |
73,561,740 | |||
Government National Mortgage Association – 3.0% | |||
Pool, | |||
0.00%, 5/01/53 - 6/01/54(e) | 1,564,000 | 1,421,824 | |
6.00%, 5/01/54 - 6/01/54(e) | 3,529,000 | 3,533,070 | |
6.50%, 5/01/54 - 6/01/54(e) | 2,848,000 | 2,882,839 | |
2.00%, 5/15/54(e) | 2,716,900 | 2,137,567 | |
2.50%, 5/15/54(e) | 1,997,488 | 1,637,318 | |
3.00%, 5/15/54(e) | 2,139,271 | 1,819,639 | |
3.50%, 5/15/54(e) | 2,164,000 | 1,906,017 | |
5.00%, 5/15/54(e) | 1,544,000 | 1,477,894 | |
5.50%, 5/15/54(e) | 1,500,000 | 1,470,485 | |
Series 2013-107, Class AD, 2.83%, 11/16/47(d) | 66,026 | 58,053 | |
Series 2014-17, Class AM, 3.54%, 6/16/48(d) | 7,523 | 7,019 | |
Series 2014-H20, Class FA, (1M CME Term SOFR + 0.54%, 0.43% Floor), 5.87%, 10/20/64(c) | 114,331 | 114,035 | |
Series 2018-168, Class PA, 4.00%, 8/20/48 | 81,167 | 74,432 | |
Series 2019-18, Class TP, 3.50%, 2/20/49 | 87,516 | 77,015 | |
Series 2020-103, Class AD, 1.45%, 1/16/63 | 577,294 | 427,429 | |
Series 2020-123, Class IL, 2.50%, 8/20/50(o) | 66,404 | 8,411 |
Par (a) | Value | ||
Government National Mortgage Association (Continued) | |||
Series 2020-123, Class NI, 2.50%, 8/20/50(o) | $ 144,059 | $ 19,490 | |
Series 2020-127, Class IN, 2.50%, 8/20/50(o) | 70,933 | 9,898 | |
Series 2020-129, Class IE, 2.50%, 9/20/50(o) | 73,557 | 9,993 | |
Series 2020-146, Class DI, 2.50%, 10/20/50(o) | 66,658 | 8,686 | |
Series 2020-160, Class IH, 2.50%, 10/20/50(o) | 76,465 | 10,672 | |
Series 2020-160, Class VI, 2.50%, 10/20/50(o) | 73,623 | 10,410 | |
Series 2020-160, Class YI, 2.50%, 10/20/50(o) | 222,555 | 31,190 | |
Series 2020-181, Class WI, 2.00%, 12/20/50(o) | 351,612 | 38,430 | |
Series 2020-185, Class MI, 2.50%, 12/20/50(o) | 70,334 | 9,102 | |
Series 2020-190, Class IO, 1.05%, 11/16/62(d)(o) | 3,004,024 | 222,861 | |
Series 2020-47, Class MI, 3.50%, 4/20/50(o) | 234,954 | 42,436 | |
Series 2020-47, Class NI, 3.50%, 4/20/50(o) | 66,755 | 12,009 | |
Series 2020-H04, Class FP, (1M CME Term SOFR + 0.61%, 0.50% Floor), 5.94%, 6/20/69(c) | 156,694 | 156,375 | |
Series 2020-H09, Class FL, (1M CME Term SOFR + 1.26%, 1.15% Floor), 6.59%, 5/20/70(c) | 119,600 | 120,151 | |
Series 2020-H13, Class FA, (1M CME Term SOFR + 0.56%, 0.45% Floor, 7.50% Cap), 5.89%, 7/20/70(c) | 681,747 | 666,337 | |
Series 2020-H13, Class FM, (1M CME Term SOFR + 0.51%, 0.40% Floor, 11.00% Cap), 5.84%, 8/20/70(c) | 102,342 | 101,238 | |
Series 2021-14, Class AB, 1.34%, 6/16/63 | 286,164 | 209,587 | |
Series 2021-188, Class PA, 2.00%, 10/20/51 | 881,613 | 687,998 | |
Series 2021-21, Class AH, 1.40%, 6/16/63 | 430,376 | 316,241 | |
Series 2021-29, Class AG, 5.00%, 2/20/51 | 71,914 | 68,763 | |
Series 2021-29, Class TI, 2.50%, 2/20/51(o) | 446,334 | 76,003 | |
Series 2021-5, Class IO, 1.11%, 1/16/61(d)(o) | 3,193,719 | 246,983 | |
Series 2021-54, Class IO, 1.60%, 9/16/63(d)(o) | 3,332,364 | 366,576 |
Par (a) | Value | ||
Government National Mortgage Association (Continued) | |||
Series 2021-58, Class IY, 3.00%, 2/20/51(o) | $ 703,568 | $ 110,536 | |
Series 2021-67, Class QI, 3.00%, 4/20/51(o) | 71,504 | 11,267 | |
Series 2021-76, Class JI, 3.00%, 8/20/50(o) | 73,434 | 11,554 | |
Series 2021-78, Class IP, 3.00%, 5/20/51(o) | 665,667 | 104,535 | |
Series 2021-8, Class AQ, 5.00%, 1/20/51 | 71,738 | 69,394 | |
Series 2021-83, Class PI, 3.00%, 5/20/51(o) | 239,399 | 37,642 | |
Series 2021-96, Class MI, 3.00%, 6/20/51(o) | 128,403 | 20,237 | |
Series 2021-96, Class VI, 2.50%, 6/20/51(o) | 1,491,058 | 197,064 | |
Series 2021-97, Class LI, 3.00%, 8/20/50(o) | 852,513 | 134,361 | |
Series 2022-139, Class AL, 4.00%, 7/20/51 | 200,000 | 171,680 | |
Series 2022-189, Class PT, 2.50%, 10/20/51 | 91,449 | 73,120 | |
Series 2022-196, Class BE, 3.00%, 10/16/64(d) | 100,000 | 70,553 | |
Series 2022-220, Class E, 3.00%, 10/16/64 | 200,000 | 140,117 | |
Series 2022-3, Class IO, 0.64%, 2/16/61(d)(o) | 95,824 | 4,674 | |
Series 2022-4, Class Z, 1.90%, 3/16/64 | 208,728 | 92,812 | |
Series 2022-63, Class LM, 3.50%, 10/20/50 | 400,000 | 317,200 | |
Series 2022-78, Class IO, 3.00%, 8/20/51(o) | 76,699 | 11,978 | |
Series 2022-82, Class Z, 2.00%, 2/16/64 | 935,140 | 487,476 | |
Series 2022-85, Class IK, 3.00%, 5/20/51(o) | 392,215 | 61,647 | |
Series 2023-80, Class IA, 4.50%, 10/20/47(o) | 1,368,931 | 268,117 | |
24,890,440 |
Par (a) | Value | ||
Government National Mortgage Association II – 3.7% | |||
Pool, | |||
3.00%, 9/15/42 - 4/20/52 | $ 5,084,596 | $ 4,320,064 | |
3.50%, 3/20/45 - 6/20/52 | 2,727,496 | 2,420,501 | |
4.00%, 8/20/46 - 6/20/52 | 2,390,403 | 2,184,911 | |
4.50%, 4/20/47 - 9/20/52 | 2,062,443 | 1,942,889 | |
5.00%, 5/20/48 - 8/20/53 | 3,342,023 | 3,217,401 | |
2.50%, 10/20/49 - 1/20/53 | 7,950,450 | 6,510,845 | |
2.00%, 8/20/50 - 3/20/51 | 7,233,824 | 5,686,659 | |
2.00%, 2/20/51 - 4/20/51(e) | 755,887 | 573,527 | |
5.50%, 11/20/52 - 8/20/53 | 2,172,201 | 2,140,183 | |
6.00%, 9/20/53 - 1/20/54 | 965,138 | 977,163 | |
6.50%, 9/20/53 - 1/20/54 | 295,396 | 300,916 | |
30,275,059 | |||
Uniform Mortgage-Backed Securities – 4.5% | |||
Pool, | |||
2.00%, 5/01/38 - 5/01/53(e) | 5,106,235 | 3,905,972 | |
4.00%, 5/01/38(e) | 160,000 | 151,824 | |
0.00%, 5/01/39 - 5/01/54(e) | 9,684,984 | 9,510,935 | |
1.50%, 5/01/39 - 5/01/54(e) | 437,318 | 332,208 | |
2.50%, 5/01/39(e) | 314,000 | 277,983 | |
3.00%, 5/01/39 - 6/01/53(e) | 2,943,947 | 2,432,396 | |
3.50%, 5/01/39 - 5/01/53(e) | 6,997,000 | 6,033,066 | |
4.50%, 5/01/53(e) | 4,933,000 | 4,545,337 | |
5.50%, 5/01/53(e) | 10,197,172 | 9,896,875 | |
6.00%, 5/01/54(e) | 164,000 | 162,475 | |
37,249,071 | |||
Whole Loan – 1.8% | |||
Adjustable Rate Mortgage Trust, Series 2005-9, Class 5A1, (1M CME Term SOFR + 0.65%, 0.54% Floor, 11.00% Cap), 5.97%, 11/25/35(c) | 41,007 | 40,510 | |
Angel Oak Mortgage Trust, | |||
Series 2022-3, Class A1, 4.00%, 1/10/67(b) | 664,776 | 610,950 | |
Series 2023-7, Class A1, (Step to 4.84% on 1/25/28), 4.80%, 11/25/67(b)(f) | 115,257 | 110,466 | |
BRAVO Residential Funding Trust, Series 2024-NQM2, Class A1, (Step to 7.29% on 3/25/28), 6.29%, 2/25/64(b)(f) | 689,105 | 687,453 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
CHL Mortgage Pass-Through Trust, | |||
Series 2007-9, Class A1, 5.75%, 7/25/37 | $ 25,331 | $ 12,312 | |
Series 2007-9, Class A11, 5.75%, 7/25/37 | 13,839 | 6,727 | |
CIM Trust, Series 2021-R6, Class A1, 1.43%, 7/25/61(b) | 222,098 | 187,943 | |
COLT Mortgage Loan Trust, Series 2022-2, Class A1, (Step to 3.94% on 3/25/26), 2.99%, 2/25/67(b)(f) | 150,385 | 133,851 | |
Connecticut Avenue Securities Trust, Series 2024-R02, Class 1M2, (30D Average SOFR + 1.80%, 1.80% Floor), 7.13%, 2/25/44(b)(c) | 250,000 | 250,313 | |
Cross Mortgage Trust, Series 2023-H2, Class A1A, (Step to 8.14% on 11/25/27), 7.14%, 11/25/68(b)(f) | 93,515 | 94,155 | |
CSMC, | |||
Series 2019-NQM1, Class A2, 3.86%, 10/25/59(b) | 168,820 | 163,096 | |
Series 2021-NQM2, Class A3, 1.54%, 2/25/66(b) | 75,134 | 64,372 | |
Series 2021-NQM6, Class A3, 1.59%, 7/25/66(b) | 546,841 | 432,463 | |
Series 2021-NQM7, Class A1, 1.76%, 10/25/66(b) | 130,380 | 108,827 | |
Series 2022-NQM1, Class A1, 2.27%, 11/25/66(b)(d) | 633,009 | 539,470 | |
CSMC Trust, | |||
Series 2021-RPL2, Class A1, 2.00%, 1/25/60(b) | 104,507 | 87,847 | |
Series 2021-RPL4, Class A1, 1.80%, 12/27/60(b)(d) | 138,152 | 132,874 | |
Series 2021-RPL6, Class A1, 2.00%, 10/25/60(b) | 128,018 | 109,966 | |
Series 2022-NQM3, Class A1B, 4.27%, 3/25/67(b)(d) | 111,000 | 100,806 | |
Series 2022-NQM6, Class PT, 9.27%, 12/25/67(b) | 127,993 | 129,950 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Deephaven Residential Mortgage Trust, Series 2022-1, Class A1, 2.21%, 1/25/67(b) | $346,622 | $305,622 | |
Ellington Financial Mortgage Trust, | |||
Series 2021-2, Class A1, 0.93%, 6/25/66(b) | 281,558 | 221,581 | |
Series 2022-1, Class A1, 2.21%, 1/25/67(b) | 167,533 | 139,531 | |
FNMA Connecticut Avenue Securities, Series 2016-C03, Class 1M2, (30D Average SOFR + 5.41%), 10.74%, 10/25/28(c) | 120,459 | 126,243 | |
Freddie Mac STACR REMIC Trust, | |||
Series 2021-DNA2, Class M2, (30D Average SOFR + 2.30%), 7.63%, 8/25/33(b)(c) | 158,422 | 162,100 | |
Series 2021-DNA6, Class M2, (30D Average SOFR + 1.50%), 6.83%, 10/25/41(b)(c) | 580,000 | 581,630 | |
Series 2022-DNA2, Class M1A, (30D Average SOFR + 1.30%), 6.63%, 2/25/42(b)(c) | 334,008 | 334,527 | |
Series 2022-DNA3, Class M1B, (30D Average SOFR + 2.90%), 8.23%, 4/25/42(b)(c) | 550,000 | 569,938 | |
Series 2022-DNA4, Class M1A, (30D Average SOFR + 2.20%), 7.53%, 5/25/42(b)(c) | 162,305 | 164,739 | |
Series 2022-DNA5, Class M1B, (30D Average SOFR + 4.50%), 9.83%, 6/25/42(b)(c) | 240,000 | 259,613 | |
Series 2022-DNA2, Class M1B, (30D Average SOFR + 2.40%), 7.73%, 2/25/42(b)(c) | 200,000 | 204,372 | |
GS Mortgage-Backed Securities Trust, Series 2022-NQM1, Class A4, 4.00%, 5/25/62(b)(d) | 75,921 | 66,596 | |
GSR Mortgage Loan Trust, Series 2007-1F, Class 2A4, 5.50%, 1/25/37 | 85,138 | 117,370 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
HarborView Mortgage Loan Trust, | |||
Series 2005-9, Class 2A1B, (1M CME Term SOFR + 0.85%, 0.74% Floor, 11.00% Cap), 6.17%, 6/20/35(c) | $124,840 | $112,934 | |
Series 2005-9, Class 2A1C, (1M CME Term SOFR + 1.01%, 0.90% Floor, 11.00% Cap), 6.33%, 6/20/35(c) | 460,196 | 414,134 | |
Impac CMB Trust, Series 2007-A, Class A, (1M CME Term SOFR + 0.61%, 0.50% Floor, 11.50% Cap), 5.93%, 5/25/37(b)(c) | 150,556 | 139,481 | |
Legacy Mortgage Asset Trust, | |||
Series 2021-GS2, Class A1, (Step to 5.75% on 5/25/25), 4.75%, 4/25/61(b)(f) | 244,721 | 236,371 | |
Series 2021-GS5, Class A1, (Step to 5.25% on 12/25/24), 2.25%, 7/25/67(b)(f) | 147,863 | 142,155 | |
MASTR Asset Securitization Trust, | |||
Series 2007-1, Class 1A4, 6.50%, 11/25/37 | 568,118 | 130,408 | |
Series 2007-2, Class A2, 6.25%, 1/25/38 | 304,710 | 163,986 | |
Merrill Lynch Mortgage Investors Trust, Series 2004-A1, Class 2A2, 5.76%, 2/25/34(d) | 189,985 | 170,877 | |
Mill City Mortgage Loan Trust, Series 2019-1, Class A1, 3.25%, 10/25/69(b) | 219,482 | 208,525 | |
Morgan Stanley Resecuritization Trust, Series 2015-R2, Class 2A1, (12MTA + 1.09%, 1.09% Floor), 5.12%, 12/26/46(b)(c) | 6,701 | 6,658 | |
Morgan Stanley Residential Mortgage Loan Trust, Series 2024-INV2, Class A1, 6.50%, 8/25/45(b)(d) | 580,000 | 578,097 | |
New Residential Mortgage Loan Trust, | |||
Series 2015-2A, Class A1, 3.75%, 8/25/55(b) | 176,806 | 161,680 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
New Residential Mortgage Loan Trust, | |||
Series 2017-2A, Class B2, 4.75%, 3/25/57(b) | $211,307 | $194,186 | |
Series 2018-3A, Class A1, 4.50%, 5/25/58(b)(d) | 509,723 | 481,681 | |
Series 2018-RPL1, Class M2, 3.50%, 12/25/57(b)(d) | 280,000 | 225,288 | |
Series 2019-6A, Class B3C, 3.75%, 9/25/59(b)(d) | 503,415 | 444,758 | |
Series 2019-NQM4, Class A1, 2.49%, 9/25/59(b) | 78,109 | 71,222 | |
Series 2021-NQM3, Class A1, 1.16%, 11/27/56(b) | 147,910 | 122,067 | |
Series 2022-NQM4, Class A1, (Step to 4.97% on 6/25/24), 5.00%, 6/25/62(b)(f) | 213,351 | 209,669 | |
OBX Trust, | |||
Series 2021-NQM2, Class A1, 1.10%, 5/25/61(b) | 475,717 | 370,435 | |
Series 2021-NQM3, Class A1, 1.05%, 7/25/61(b) | 158,172 | 119,288 | |
Series 2022-NQM1, Class A1, 2.31%, 11/25/61(b) | 615,139 | 523,085 | |
PRKCM Trust, Series 2021-AFC2, Class A1, 2.07%, 11/25/56(b) | 168,649 | 139,822 | |
Residential Mortgage Loan Trust, | |||
Series 2019-2, Class A1, 2.91%, 5/25/59(b) | 1,064 | 1,059 | |
Series 2020-2, Class A1, 1.65%, 5/25/60(b) | 21,175 | 20,953 | |
SG Residential Mortgage Trust, | |||
Series 2022-1, Class A1, 3.17%, 3/27/62(b)(d) | 679,598 | 606,952 | |
Series 2022-2, Class A1, (Step to 5.28% on 6/25/24), 5.35%, 8/25/62(b)(f) | 656,258 | 638,900 | |
Towd Point Mortgage Trust, | |||
Series 2016-3, Class B1, 4.12%, 4/25/56(b)(d) | 190,000 | 178,154 | |
Series 2017-4, Class B2, 3.66%, 6/25/57(b)(d) | 330,000 | 259,577 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Towd Point Mortgage Trust, | |||
Series 2020-2, Class M1B, 3.00%, 4/25/60(b)(d) | $240,000 | $ 178,157 | |
Voyager OPTONE Delaware Trust, Series 2009-1, Class SAA7, 2.39%, 2/25/38(b)(d)(o) | 166,667 | 37,269 | |
WaMu Mortgage Pass-Through Certificates, Series 2006-AR13, Class 1A, (12MTA + 0.88%, 0.88% Floor), 5.97%, 10/25/46(c) | 255,692 | 207,479 | |
14,753,520 | |||
Total Mortgage-Backed Securities (Cost $273,187,364) | 251,125,966 | ||
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 | 170,000 | 194,778 | |
California State Taxable GO Unlimited Refunding Bonds, 4.60%, 4/01/38 | 215,000 | 199,194 | |
California State Various Purpose Taxable GO Unlimited Bonds, Build America Bonds, | |||
7.50%, 4/01/34 | 65,000 | 74,095 | |
7.55%, 4/01/39 | 20,000 | 23,507 | |
Los Angeles Community College District GO Unlimited Bonds, Build America Bonds, 6.60%, 8/01/42 | 45,000 | 48,664 | |
University of California Taxable General Revenue Bonds, Series AD, 4.86%, 5/15/12(q) | 25,000 | 21,334 | |
561,572 | |||
Florida – 0.0%(h) | |||
Florida State Development Finance Corp., Variable Revenue Refunding Bonds (AMT), Brightline Florida Passenger Rail Project, 12.00%, 7/15/28(b)(e)(r) | 330,000 | 339,900 |
Par (a) | Value | ||
Georgia – 0.0%(h) | |||
Municipal Electric Authority of Georgia Taxable Revenue Bonds, Build America Bonds, 6.64%, 4/01/57 | $ 38,000 | $ 40,741 | |
Illinois – 0.1% | |||
Illinois State Taxable GO Unlimited Pension Bonds, 5.10%, 6/01/33 | 460,000 | 449,425 | |
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 | 66,487 | |
New Jersey – 0.0%(h) | |||
New Jersey State Turnpike Authority Taxable Revenue Bonds, Build America Bonds, 7.41%, 1/01/40 | 106,000 | 121,399 | |
New York – 0.1% | |||
Metropolitan Transportation Authority Revenue Bonds, Build America Bonds, 6.67%, 11/15/39 | 70,000 | 73,938 | |
MTA Revenue Bonds, Build America Bonds, 5.87%, 11/15/39 | 45,000 | 44,408 | |
New York City Municipal Water Finance Authority Water & Sewer System Second General Resolution Taxable Revenue Bonds, 5.88%, 6/15/44 | 30,000 | 30,046 | |
New York City Municipal Water Finance Authority Water & Sewer System Taxable Revenue Bonds, Build America Bonds, 6.01%, 6/15/42 | 95,000 | 96,771 | |
New York State Dormitory Authority Personal Income TRB, Build America Bonds, 5.39%, 3/15/40 | 30,000 | 28,855 |
Par (a) | Value | ||
New York (Continued) | |||
Port Authority of New York & New Jersey Consolidated 164th Taxable Revenue Bonds, 5.65%, 11/01/40 | $ 65,000 | $ 67,022 | |
Port Authority of New York & New Jersey Consolidated 168th Revenue Bonds, 4.93%, 10/01/51 | 85,000 | 78,029 | |
Port Authority of New York & New Jersey Consolidated Taxable Revenue Bonds, Series 181, 4.96%, 8/01/46 | 60,000 | 54,660 | |
473,729 | |||
Ohio – 0.0%(h) | |||
American Municipal Power-Ohio, Inc., Taxable Revenue Bonds, Series B, Combined Hydroelectric Projects, 8.08%, 2/15/50 | 75,000 | 95,160 | |
Texas – 0.0%(h) | |||
San Antonio Electric & Gas Junior Lien Revenue Bonds, Build America Bonds, 5.81%, 2/01/41 | 75,000 | 74,585 | |
Texas State Taxable GO Unlimited Bonds, Build America Bonds, 5.52%, 4/01/39 | 155,000 | 155,399 | |
229,984 | |||
Total Municipal Bonds (Cost $2,736,422) | 2,378,397 | ||
Term Loans – 0.0%(c)(h) | |||
Publishing & Broadcasting – 0.0%(h) | |||
Gray Television, Inc., Term D Loan, (1M USD CME Term SOFR + 3.00%), 8.44%, 12/01/28 | 89 | 83 | |
Software – 0.0%(h) | |||
ConnectWise LLC, Initial Term Loan, (3M USD CME Term SOFR + 3.50%, 0.50% Floor), 9.06%, 9/29/28 | 23,029 | 23,039 | |
Total Term Loans (Cost $23,042) | 23,122 | ||
U.S. Government Obligations – 13.8% | |||
U.S. Treasury Bonds – 5.0% | |||
4.25%, 5/15/39 | 53,000 | 50,157 | |
4.50%, 8/15/39 | 53,000 | 51,503 |
Par (a) | Value | ||
U.S. Treasury Bonds (Continued) | |||
4.38%, 11/15/39 | $ 53,000 | $ 50,675 | |
4.63%, 2/15/40 | 382,000 | 375,405 | |
1.13%, 5/15/40(p) | 1,144,000 | 673,575 | |
3.88%, 8/15/40 | 382,000 | 341,651 | |
1.13%, 8/15/40 | 1,144,000 | 666,737 | |
4.25%, 11/15/40 | 1,093,700 | 1,022,268 | |
1.38%, 11/15/40 | 1,144,000 | 693,282 | |
4.75%, 2/15/41(p) | 2,020,900 | 2,003,928 | |
4.38%, 5/15/41 | 595,500 | 563,376 | |
2.00%, 11/15/41 | 6,459,000 | 4,266,977 | |
3.00%, 5/15/42 | 449,000 | 346,800 | |
2.75%, 8/15/42 | 2,960,000 | 2,190,631 | |
4.00%, 11/15/42 | 876,100 | 780,585 | |
3.13%, 2/15/43 | 204,000 | 159,295 | |
3.88%, 2/15/43 | 653,500 | 570,868 | |
2.88%, 5/15/43 | 204,000 | 152,673 | |
3.88%, 5/15/43 | 2,750,000 | 2,398,193 | |
3.63%, 8/15/43 | 1,168,000 | 979,797 | |
4.38%, 8/15/43 | 1,350,000 | 1,260,773 | |
3.75%, 11/15/43 | 1,168,000 | 996,496 | |
4.75%, 11/15/43 | 1,050,000 | 1,029,984 | |
4.50%, 2/15/44 | 473,000 | 449,054 | |
3.00%, 11/15/44 | 3,040,000 | 2,287,837 | |
2.50%, 2/15/45(p) | 3,298,000 | 2,263,252 | |
3.00%, 5/15/45 | 2,450,000 | 1,835,586 | |
2.88%, 11/15/46 | 199,000 | 143,941 | |
2.75%, 11/15/47(p) | 3,448,000 | 2,410,906 | |
3.00%, 2/15/48(p) | 1,194,000 | 874,931 | |
2.25%, 8/15/49(p) | 1,192,000 | 739,878 | |
1.38%, 8/15/50 | 2,715,700 | 1,325,071 | |
1.63%, 11/15/50 | 135,000 | 70,548 | |
2.38%, 5/15/51 | 7,000 | 4,416 | |
2.00%, 8/15/51 | 810,000 | 464,991 | |
1.88%, 11/15/51 | 970,000 | 537,895 | |
2.25%, 2/15/52 | 1,238,200 | 755,060 | |
3.00%, 8/15/52 | 22,000 | 15,884 | |
4.00%, 11/15/52 | 964,000 | 844,705 | |
3.63%, 2/15/53 | 895,000 | 731,243 | |
3.63%, 5/15/53 | 1,772,500 | 1,448,742 | |
4.13%, 8/15/53 | 1,365,000 | 1,222,315 | |
4.75%, 11/15/53 | 630,000 | 626,752 | |
4.25%, 2/15/54 | 746,000 | 682,940 | |
41,361,576 | |||
U.S. Treasury Notes – 8.8% | |||
1.13%, 1/15/33 | 720,000 | 682,132 | |
2.13%, 5/15/25 | 433,000 | 419,426 | |
2.88%, 6/15/25 | 1,920,000 | 1,871,100 | |
0.25%, 6/30/25 | 1,788,000 | 1,688,542 | |
3.00%, 7/15/25 | 154,000 | 150,060 | |
0.25%, 7/31/25 | 1,874,000 | 1,762,731 |
Par (a) | Value | ||
U.S. Treasury Notes (Continued) | |||
4.75%, 7/31/25 | $ 30,000 | $ 29,839 | |
3.13%, 8/15/25 | 213,000 | 207,583 | |
3.50%, 9/15/25 | 528,000 | 516,264 | |
5.00%, 9/30/25 | 2,624,600 | 2,617,936 | |
5.00%, 10/31/25 | 282,000 | 281,339 | |
4.50%, 11/15/25 | 1,501,000 | 1,486,283 | |
0.38%, 11/30/25 | 11,000 | 10,211 | |
4.88%, 11/30/25 | 1,580,000 | 1,573,334 | |
4.00%, 12/15/25 | 2,475,000 | 2,431,301 | |
3.88%, 1/15/26 | 90,000 | 88,186 | |
0.50%, 2/28/26 | 1,986,800 | 1,828,943 | |
4.63%, 2/28/26 | 50,000 | 49,613 | |
4.63%, 3/15/26 | 70,000 | 69,445 | |
0.75%, 3/31/26(g) | 1,497,500 | 1,381,151 | |
4.50%, 3/31/26 | 2,464,000 | 2,439,264 | |
3.75%, 4/15/26 | 614,000 | 599,298 | |
3.63%, 5/15/26 | 282,000 | 274,388 | |
0.75%, 5/31/26 | 387,000 | 354,574 | |
0.88%, 6/30/26 | 1,927,000 | 1,765,689 | |
0.63%, 7/31/26 | 1,192,000 | 1,082,485 | |
1.50%, 8/15/26 | 576,000 | 532,890 | |
4.38%, 8/15/26 | 126,000 | 124,327 | |
4.63%, 9/15/26 | 50,000 | 49,607 | |
4.63%, 10/15/26 | 44,000 | 43,663 | |
2.00%, 11/15/26 | 1,604,000 | 1,492,597 | |
1.63%, 11/30/26 | 2,383,000 | 2,194,036 | |
4.13%, 2/15/27 | 303,000 | 296,940 | |
1.88%, 2/28/27(p) | 3,000 | 2,763 | |
0.50%, 4/30/27 | 641,000 | 563,629 | |
2.38%, 5/15/27 | 634,000 | 589,719 | |
0.50%, 5/31/27 | 573,000 | 502,114 | |
2.75%, 7/31/27 | 2,000 | 1,875 | |
2.25%, 8/15/27(p) | 2,642,000 | 2,434,562 | |
3.13%, 8/31/27 | 5,000 | 4,738 | |
0.38%, 9/30/27 | 808,000 | 695,732 | |
4.13%, 10/31/27(g) | 1,269,000 | 1,239,902 | |
0.63%, 11/30/27 | 10,000 | 8,632 | |
3.88%, 11/30/27 | 3,416,000 | 3,309,250 | |
3.88%, 12/31/27 | 31,000 | 30,019 | |
3.50%, 1/31/28 | 7,000 | 6,685 | |
4.00%, 2/29/28 | 12,000 | 11,663 | |
3.63%, 3/31/28 | 1,496,700 | 1,434,376 | |
3.50%, 4/30/28(p) | 51,000 | 48,619 | |
4.00%, 6/30/28 | 1,496,700 | 1,452,968 | |
4.13%, 7/31/28 | 255,000 | 248,695 | |
4.38%, 8/31/28 | 20,000 | 19,694 | |
1.25%, 9/30/28 | 1,583,700 | 1,364,271 | |
4.88%, 10/31/28 | 247,000 | 248,129 | |
3.13%, 11/15/28 | 340,000 | 317,555 | |
1.38%, 12/31/28 | 3,000 | 2,581 | |
3.75%, 12/31/28 | 270,000 | 258,841 |
Par (a) | Value | ||
U.S. Treasury Notes (Continued) | |||
2.63%, 2/15/29 | $ 565,000 | $ 514,106 | |
4.25%, 2/28/29 | 334,000 | 327,190 | |
2.38%, 3/31/29 | 87,000 | 78,055 | |
4.13%, 3/31/29(g) | 53,000 | 51,617 | |
2.38%, 5/15/29 | 565,000 | 505,962 | |
3.25%, 6/30/29 | 1,044,600 | 973,885 | |
4.00%, 10/31/29(p) | 335,000 | 323,301 | |
3.88%, 12/31/29(p) | 6,120,000 | 5,862,530 | |
3.50%, 1/31/30 | 61,000 | 57,261 | |
1.50%, 2/15/30 | 896,000 | 751,345 | |
4.00%, 2/28/30 | 1,254,300 | 1,208,342 | |
3.75%, 5/31/30 | 872,000 | 827,480 | |
4.00%, 7/31/30 | 146,000 | 140,354 | |
4.13%, 8/31/30 | 40,000 | 38,708 | |
4.63%, 9/30/30 | 10,000 | 9,950 | |
4.88%, 10/31/30 | 1,927,300 | 1,944,164 | |
3.75%, 12/31/30 | 11,000 | 10,400 | |
4.00%, 1/31/31 | 4,123,000 | 3,954,698 | |
4.25%, 2/28/31 | 1,880,000 | 1,830,356 | |
4.13%, 3/31/31 | 216,000 | 208,643 | |
1.63%, 5/15/31 | 1,623,000 | 1,328,197 | |
1.25%, 8/15/31 | 3,233,000 | 2,553,691 | |
2.88%, 5/15/32 | 36,600 | 32,159 | |
4.13%, 11/15/32 | 356,000 | 341,816 | |
3.38%, 5/15/33 | 1,014,000 | 916,403 | |
3.88%, 8/15/33 | 1,106,000 | 1,038,257 | |
4.50%, 11/15/33 | 25,000 | 24,633 | |
4.00%, 2/15/34 | 851,000 | 805,791 | |
71,851,483 | |||
Total U.S. Government Obligations (Cost $124,454,120) | 113,213,059 |
Number of Shares | |||
Investment Companies – 30.3% | |||
BlackRock Allocation Target Shares - BATS, Series A | 6,455,775 | 60,361,492 | |
iShares U.S. Treasury Bond ETF | 8,531,353 | 189,012,126 | |
Total Investment Companies (Cost $260,246,474) | 249,373,618 |
Par (a)/Number of Shares | |||
Short-Term Investments – 5.5% | |||
Corporate Bonds – 0.8% | |||
AbbVie, Inc., | |||
2.60%, 11/21/24 | $490,000 | 482,191 |
Par (a)/Number of Shares | Value | ||
Corporate Bonds (Continued) | |||
AbbVie, Inc., | |||
3.80%, 3/15/25 | $ 190,000 | $ 187,130 | |
American Express Co., | |||
3.38%, 5/03/24 | 170,000 | 169,988 | |
2.50%, 7/30/24 | 350,000 | 347,239 | |
Bank of New York Mellon (The) Corp., 1.60%, 4/24/25 | 60,000 | 57,749 | |
Becton Dickinson & Co., 3.36%, 6/06/24 | 7,000 | 6,983 | |
Bristol-Myers Squibb Co., 2.90%, 7/26/24(g) | 62,000 | 61,584 | |
Citigroup, Inc., 3.30%, 4/27/25 | 120,000 | 117,303 | |
Constellation Brands, Inc., 3.60%, 5/09/24 | 90,000 | 89,953 | |
Continental Resources, Inc., 3.80%, 6/01/24 | 130,000 | 129,622 | |
Edison International, 4.95%, 4/15/25 | 123,000 | 121,937 | |
FirstEnergy Corp., 2.05%, 3/01/25(g) | 22,000 | 21,249 | |
Goldman Sachs Group (The), Inc., | |||
3.85%, 7/08/24 | 30,000 | 29,893 | |
(SOFR + 0.51%), 5.87%, 9/10/24(c) | 561,000 | 561,261 | |
3.50%, 4/01/25 | 70,000 | 68,605 | |
HCA, Inc., 5.25%, 4/15/25 | 191,000 | 189,980 | |
Humana, Inc., 4.50%, 4/01/25 | 20,000 | 19,767 | |
International Business Machines Corp., 3.00%, 5/15/24 | 410,000 | 409,589 | |
Kinder Morgan Energy Partners L.P., 4.25%, 9/01/24 | 10,000 | 9,941 | |
Las Vegas Sands Corp., 3.20%, 8/08/24 | 100,000 | 99,036 | |
Northrop Grumman Corp., 2.93%, 1/15/25 | 40,000 | 39,233 | |
Occidental Petroleum Corp., 6.95%, 7/01/24 | 4,000 | 4,004 | |
Otis Worldwide Corp., 2.06%, 4/05/25 | 50,000 | 48,346 | |
RTX Corp., 3.15%, 12/15/24 | 50,000 | 49,201 | |
Sabine Pass Liquefaction LLC, 5.63%, 3/01/25 | 1,042,000 | 1,038,827 | |
Sprint LLC, | |||
7.13%, 6/15/24 | 898,000 | 898,500 |
Par (a)/Number of Shares | Value | ||
Corporate Bonds (Continued) | |||
Sprint LLC, | |||
7.63%, 2/15/25 | $ 1,042,000 | $ 1,049,757 | |
T-Mobile USA, Inc., 3.50%, 4/15/25 | 90,000 | 88,120 | |
Western Midstream Operating L.P., 3.10%, 2/01/25 | 50,000 | 48,872 | |
6,445,860 | |||
Foreign Issuer Bonds – 0.3% | |||
Bank of Nova Scotia (The), 3.45%, 4/11/25 | 320,000 | 313,460 | |
Credit Suisse A.G., | |||
4.75%, 8/09/24 | 306,000 | 305,227 | |
7.95%, 1/09/25 | 370,000 | 374,980 | |
3.70%, 2/21/25 | 886,000 | 870,946 | |
2.95%, 4/09/25 | 250,000 | 243,611 | |
Kenbourne Invest S.A., 6.88%, 11/26/24(b)(s) | 203,000 | 80,632 | |
Mexico Cetes, 0.00%, 11/28/24(t) | MXN | 51,700,000 | 283,385 |
Petroleos Mexicanos, 7.19%, 9/12/24 | 403,000 | 23,003 | |
VF Ukraine PAT via VFU Funding PLC, 6.20%, 2/11/25(b) | 20,000 | 15,525 | |
2,510,769 | |||
Money Market Funds – 3.7% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 5.37%(u)(v) | 9,620,383 | 9,620,383 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 5.14%(u) | 20,675,246 | 20,675,246 | |
30,295,629 | |||
Mortgage-Backed Securities – 0.0%(h) | |||
CSMC, Series 2022-NWPT, Class A, (1M CME Term SOFR + 3.14%, 3.14% Floor), 8.46%, 9/09/24(b)(c) | 100,000 | 100,610 | |
U.S. Government Obligations – 0.6% | |||
U.S. Treasury Notes, | |||
3.00%, 7/31/24 | 314,000 | 312,111 | |
3.25%, 8/31/24(g) | 595,000 | 590,840 | |
4.25%, 9/30/24 | 185,000 | 184,127 | |
4.38%, 10/31/24(g) | 143,000 | 142,300 | |
4.50%, 11/30/24 | 128,000 | 127,366 | |
4.25%, 12/31/24(g) | 919,000 | 912,422 | |
2.00%, 2/15/25 | 503,000 | 489,939 | |
3.88%, 3/31/25 | 1,477,000 | 1,458,898 |
Par (a)/Number of Shares | Value | ||
U.S. Government Obligations (Continued) | |||
U.S. Treasury Notes, | |||
0.38%, 4/30/25(p) | $998,000 | $ 951,151 | |
3.88%, 4/30/25 | 246,000 | 242,718 | |
5,411,872 | |||
U.S. Treasury Bills – 0.1% | |||
U.S. Treasury Bills, 4.94%, 5/28/24(g)(w) | 820,000 | 816,759 | |
Total Short-Term Investments (Cost $45,788,113) | 45,581,499 |
Number of Contracts | Notional Amount | ||
Purchased Options – 0.1% | |||
Call Options - Exchange Traded – 0.0%(h) | |||
10-Year U.S. Treasury Note Future, Strike Price USD 103.50, Expires 5/24/24 | 10 | 2,026,560 | 156 |
10-Year U.S. Treasury Note Future, Strike Price USD 107.50, Expires 5/24/24 | 16 | 1,719,008 | 12,000 |
10-Year U.S. Treasury Note Future, Strike Price USD 108.00, Expires 5/24/24 | 19 | 2,041,322 | 10,094 |
5-Year U.S. Treasury Note Future, Strike Price USD 105.00, Expires 5/24/24 | 2 | 209,484 | 859 |
5-Year U.S. Treasury Note Future, Strike Price USD 105.25, Expires 5/03/24 | 37 | 3,875,454 | 4,336 |
5-Year U.S. Treasury Note Future, Strike Price USD 105.50, Expires 5/24/24 | 1 | 104,742 | 258 |
27,703 | |||
Call Options - Over the Counter – 0.0%(h) | |||
Canadian Dollar vs. U.S. Dollar, Strike Price CAD $1.40, Expires 5/15/24, Counterparty: Goldman Sachs | 1 | 1,760,400 | 1,261 |
Chinese Yuan vs. U.S. Dollar, Strike Price CNH 7.26, Expires 5/20/24, Counterparty: UBS | 1 | 88,000 | 210 |
Chinese Yuan vs. U.S. Dollar, Strike Price CNH 7.50, Expires 10/23/24, Counterparty: Barclays | 1 | 14,000 | 1,407 |
Number of Contracts | Notional Amount | Value | |
Call Options - Over the Counter (Continued) | |||
Chinese Yuan vs. U.S. Dollar, Strike Price CNH 7.75, Expires 3/06/26, Counterparty: Bank of America | 1 | $10,391,000 | $ 85,650 |
Mexican Peso vs. U.S. Dollar, Strike Price MXN 17.25, Expires 5/15/24, Counterparty: Barclays | 1 | 1,760,400 | 14,165 |
Mexican Peso vs. U.S. Dollar, Strike Price MXN 18.30, Expires 10/18/24, Counterparty: Morgan Stanley | 1 | 88,000 | 1,575 |
South African Rand vs. U.S. Dollar, Strike Price ZAR $20.80, Expires 8/15/24, Counterparty: Goldman Sachs | 1 | 92,000 | 709 |
U.S. Dollar vs. Euro, Strike Price USD 1.10, Expires 6/14/24, Counterparty: Barclays | 1 | 8,000 (x) | 1,502 |
U.S. Dollar vs. Euro, Strike Price USD 1.11, Expires 5/29/24, Counterparty: BNP Paribas | 1 | 128,000 (x) | 11 |
106,490 | |||
Call Swaptions - Over the Counter – 0.0%(h) | |||
Pay 1-Day USD SOFR (Annually); Receive 3.58% (Annually): Interest Rate Swap Maturing 5/07/34, Strike Price USD 3.58, Expires 5/03/24, Counterparty: Citibank | 1 | 1,095,000 | — |
Pay 1-Day USD SOFR (Annually); Receive 3.93% (Annually): Interest Rate Swap Maturing 4/14/37, Strike Price USD 3.93, Expires 4/12/27, Counterparty: Goldman Sachs | 1 | 1,064,000 | 45,855 |
Pay 1-Day USD SOFR (Annually); Receive 3.96% (Annually): Interest Rate Swap Maturing 4/14/37, Strike Price USD 3.96, Expires 4/12/27, Counterparty: Goldman Sachs | 1 | 488,667 | 21,460 |
Number of Contracts | Notional Amount | Value | |
Call Swaptions - Over the Counter (Continued) | |||
Pay 1-Day USD SOFR (Annually); Receive 4.01% (Annually): Interest Rate Swap Maturing 4/14/37, Strike Price USD 4.01, Expires 4/12/27, Counterparty: Goldman Sachs | 1 | $ 456,669 | $ 20,933 |
Pay 1-Day USD SOFR (Annually); Receive 4.12% (Annually): Interest Rate Swap Maturing 5/04/37, Strike Price USD 4.12, Expires 4/30/27, Counterparty: Morgan Stanley | 1 | 584,226 | 29,708 |
Pay 1-Day USD SOFR (At Maturity); Receive 4.54% (At Maturity): Interest Rate Swap Maturing 10/18/25, Strike Price USD 4.54, Expires 10/16/24, Counterparty: Barclays | 1 | 78,978,000 | 103,990 |
Pay 1-Day USD SOFR (At Maturity); Receive 4.54% (At Maturity): Interest Rate Swap Maturing 10/18/25, Strike Price USD 4.54, Expires 10/16/24, Counterparty: Goldman Sachs | 1 | 39,594,000 | 52,133 |
274,079 | |||
Put Options - Exchange Traded – 0.0%(h) | |||
10-Year U.S. Treasury Note Future, Strike Price USD 107.00, Expires 5/24/24 | 39 | 4,190,082 | 22,547 |
10-Year U.S. Treasury Note Future, Strike Price USD 107.50, Expires 5/24/24 | 66 | 7,090,908 | 53,625 |
10-Year U.S. Treasury Note Future, Strike Price USD 108.50, Expires 5/24/24 | 1 | 107,438 | 1,437 |
3-Month SOFR Future, Strike Price USD 94.94, Expires 6/14/24 | 29 | 6,865,025 | 1,088 |
3-Month SOFR Future, Strike Price USD 95.50, Expires 12/13/24 | 36 | 8,544,600 | 60,300 |
5-Year U.S. Treasury Note Future, Strike Price USD 104.25, Expires 5/03/24 | 46 | 4,818,132 | 4,672 |
143,669 |
Number of Contracts | Notional Amount | Value | |
Put Options - Over the Counter – 0.0%(h) | |||
Brazilian Real vs. U.S. Dollar, Strike Price BRL 4.85, Expires 6/03/24, Counterparty: Bank of America | 1 | $ 93,000 | $ 8 |
Brazilian Real vs. U.S. Dollar, Strike Price BRL 5.15, Expires 5/15/24, Counterparty: Deutsche Bank | 1 | 89,000 | 422 |
Indian Rupee vs. Chinese Yuan, Strike Price INR $11.50, Expires 1/23/25, Counterparty: Standard Chartered Bank | 1 | 67,000 | 2,054 |
Japanese Yen vs. U.S. Dollar, Strike Price JPY 150.00, Expires 5/09/24, Counterparty: BNP Paribas | 1 | 3,632,500 | 875 |
Polish Zloty vs. Euro, Strike Price PLN $4.31, Expires 8/13/24, Counterparty: Bank of America | 1 | 52,000 | 171 |
South African Rand vs. U.S. Dollar, Strike Price ZAR $18.20, Expires 8/15/24, Counterparty: Goldman Sachs | 1 | 92,000 | 1,170 |
Turkish Lira vs. U.S. Dollar, Strike Price TRY 35.00, Expires 11/21/24, Counterparty: UBS | 1 | 5,000 | 577 |
Turkish Lira vs. U.S. Dollar, Strike Price TRY 37.50, Expires 10/08/24, Counterparty: Goldman Sachs | 1 | 53,000 | — |
Turkish Lira vs. U.S. Dollar, Strike Price TRY 38.50, Expires 9/27/24, Counterparty: UBS | 1 | 35,000 | — |
Turkish Lira vs. U.S. Dollar, Strike Price TRY 42.50, Expires 12/06/24, Counterparty: Goldman Sachs | 1 | 37,000 | 2,969 |
U.S. Dollar vs. Australian Dollar, Strike Price USD 0.63, Expires 5/15/24, Counterparty: Goldman Sachs | 1 | 2,725,500 (y) | 2,103 |
Number of Contracts | Notional Amount | Value | |
Put Options - Over the Counter (Continued) | |||
U.S. Dollar vs. British Pound, Strike Price USD 1.22, Expires 5/15/24, Counterparty: JPMorgan Chase | 1 | $1,430,000 (aa) | $ 1,241 |
U.S. Dollar vs. Euro, Strike Price USD 1.05, Expires 5/15/24, Counterparty: Citibank | 1 | 1,662,000 (x) | 697 |
12,287 | |||
Put Swaptions - Over the Counter – 0.1% | |||
Pay 3.93% (Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 4/14/37, Strike Price USD 3.93, Expires 4/12/27, Counterparty: Goldman Sachs | 1 | 1,064,000 | 60,732 |
Pay 3.96% (Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 4/14/37, Strike Price USD 3.96, Expires 4/12/27, Counterparty: Goldman Sachs | 1 | 488,667 | 27,493 |
Pay 4.01% (Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 4/14/37, Strike Price USD 4.01, Expires 4/12/27, Counterparty: Goldman Sachs | 1 | 456,669 | 24,850 |
Pay 4.12% (Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 5/04/37, Strike Price USD 4.12, Expires 4/30/27, Counterparty: Morgan Stanley | 1 | 584,226 | 29,708 |
Pay 4.38% (Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 5/07/34, Strike Price USD 4.38, Expires 5/03/24, Counterparty: Citibank | 1 | 1,095,000 | 1,197 |
Number of Contracts | Notional Amount | Value | |
Put Swaptions - Over the Counter (Continued) | |||
Pay 4.43% (Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 10/21/34, Strike Price USD 4.43, Expires 10/17/24, Counterparty: Goldman Sachs | 2 | $ 6,505,500 | $108,950 |
Pay 4.46% (Annually); Receive 1-Day USD SOFR (Annually): Interest Rate Swap Maturing 5/29/34, Strike Price USD 4.46, Expires 5/24/24, Counterparty: Goldman Sachs | 1 | 21,584,328 | 85,936 |
338,866 | |||
Total Purchased Options (Premiums Paid $987,877) | 903,094 |
Total Long Positions – 107.2% (Cost $942,510,240) | 880,632,181 |
Par (a) | Value | ||
Short Positions – (2.1)%(ab) | |||
Mortgage-Backed Securities – (2.1)% | |||
Uniform Mortgage-Backed Securities – (1.1)% | |||
Pool, | |||
2.50%, 5/01/53(e) | (1,575,000) | (1,245,913) | |
3.00%, 5/01/53(e) | (74,000) | (61,094) | |
4.00%, 5/01/53(e) | (1,456,300) | (1,302,405) | |
5.00%, 5/01/53(e) | (1,400,000) | (1,326,511) | |
5.50%, 5/01/53(e) | (400,000) | (388,220) | |
6.50%, 5/01/53(e) | (3,412,300) | (3,438,032) | |
2.50%, 6/01/53 | (1,019,400) | (807,040) | |
6.00%, 6/01/53 | (630,000) | (623,946) | |
(9,193,161) | |||
Government National Mortgage Association – (1.0)% | |||
Pool, | |||
4.00%, 5/01/53(e) | (200,000) | (181,224) | |
4.50%, 5/01/53 | (2,923,000) | (2,722,014) |
Par (a) | Value | ||
Government National Mortgage Association (Continued) | |||
Pool, | |||
5.00%, 5/01/53(e) | $(1,800,000) | $ (1,722,934) | |
5.50%, 5/01/54(e) | (3,140,000) | (3,078,215) | |
(7,704,387) | |||
Total Mortgage-Backed Securities (Proceeds $17,092,549) | (16,897,548) | ||
Total Short Positions – (2.1)% (Proceeds $17,092,549) | (16,897,548) | ||
Total Written Options – (0.0)%(h) (Premiums Received $402,541) | (332,685) | ||
Liabilities less Other Assets – (5.1)%(ac) | (41,778,142) | ||
NET ASSETS – 100.0% | $821,623,806 | ||
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. As of April 30, 2024, these securities had a total value of $82,390,210 or 10.03% of net assets. |
(c) | Variable or floating rate security. Rate as of April 30, 2024 is disclosed. |
(d) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of April 30, 2024 is disclosed. |
(e) | When-Issued Security. Coupon rate was not yet in effect at April 30, 2024. |
(f) | Step coupon bond. Rate as of April 30, 2024 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 April 30, 2024 is disclosed. |
(j) | Investment is valued using significant unobservable inputs (Level 3). |
(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) | Century bond maturing in 2120. |
(n) | These securities are remarketed by an agent, and the interest rate is determined by general market conditions and supply and demand. |
(o) | Security is an Interest Only Strip. |
(p) | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap agreements. |
(q) | Century bond maturing in 2112. |
(r) | Maturity date represents the puttable date. |
(s) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. |
(t) | Zero coupon bond. |
(u) | 7-day current yield as of April 30, 2024 is disclosed. |
(v) | Security purchased with the cash proceeds from securities loaned. (See Note 7). |
(w) | Discount rate at the time of purchase. |
(x) | The notional amount is EUR. |
(y) | The notional amount is AUD. |
(aa) | The notional amount is GBP. |
(ab) | Securities sold short are not owned by the Fund. |
(ac) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures, swap and written options 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 |
90D | 90 Day |
AMT | Alternative Minimum Tax |
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 |
CLICP | Sinacofi Chile Interbank Rate |
CLO | Collateralized Loan Obligation |
CME | Chicago Mercantile Exchange |
CMT | Constant Maturity |
CNH | Chinese Yuan Renminbi |
COOVI | Columbian Overnight Index Average |
COP | Colombian Peso |
CZK | Czech Republic Koruna |
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 |
GMTN | Global Medium Term Note |
GO | Government Obligation |
IBOR | Interbank Offered Rate |
INR | Indian Rupee |
IO | Interest Only |
JPY | Japanese Yen |
JSC | Joint Stock Company |
KSDA | Korea Securities Dealers Association |
L.P. | Limited Partnership |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
MTA | Metropolitan Transportation Authority |
MXN | Mexican Peso |
OAT | Obligations Assimilables du Trésor |
PCL | Public Company Limited |
PEN | Peruvian Nuevo Sole |
PLC | Public Limited Company |
PLN | Polish Zloty |
PRBOR | Prague Interbank Offered Rate |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
RUB | Russian Ruble |
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 |
TIIE | Tasa de Interés Interbancaria de Equilibrio |
TRB | Tax Revenue Bonds |
TRY | Turkish Lira |
USD | United States Dollar |
WIBOR | Warsaw Interbank Offered Rate |
ZAR | South African Rand |
Futures Contracts outstanding at April 30, 2024: Exchange Traded | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | |||||
10-Year U.S. Treasury Note | 20 | 6/18/2024 | USD | 2,148,750 | $ (11,250) |
U.S. Treasury Long Bond | 165 | 6/18/2024 | USD | 18,779,063 | (743,899) |
Ultra U.S. Treasury Bond | 101 | 6/18/2024 | USD | 12,075,812 | (749,378) |
Long Gilt | 8 | 6/26/2024 | GBP | 957,455 | (6,066) |
2-Year U.S. Treasury Note | 119 | 6/28/2024 | USD | 24,116,094 | (51,197) |
5-Year U.S. Treasury Note | 620 | 6/28/2024 | USD | 64,940,156 | (681,239) |
CME 3-Month SOFR | 2 | 9/17/2024 | USD | 473,450 | (925) |
CME 3-Month SOFR | 131 | 3/18/2025 | USD | 31,092,850 | (249,485) |
3-Month SONIA | 1 | 3/19/2025 | GBP | 297,440 | (1,253) |
CME 3-Month SOFR | 221 | 3/17/2026 | USD | 52,802,425 | (299,325) |
Total Long Contracts | $(2,794,017) | ||||
Short Contracts | |||||
Euro-Bund | (8) | 6/06/2024 | EUR | 1,110,571 | $ 10,550 |
10-Year U.S. Treasury Note | (12) | 6/18/2024 | USD | 1,289,250 | 5,351 |
CME 3-Month SOFR | (26) | 6/18/2024 | USD | 6,152,575 | (5,100) |
Ultra 10-Year U.S. Treasury Note | (143) | 6/18/2024 | USD | 15,761,282 | 208,694 |
2-Year U.S. Treasury Note | (44) | 6/28/2024 | USD | 8,916,875 | 96,914 |
Total Short Contracts | $ 316,409 | ||||
$(2,477,608) |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2024: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
6/20/24 | U.S. Dollars | 2,695,000 | Japanese Yen | 410,177,842 | Goldman Sachs | $ 73,555 |
6/20/24 | U.S. Dollars | 1,816,500 | Japanese Yen | 273,034,300 | Morgan Stanley | 71,539 |
6/20/24 | U.S. Dollars | 2,539,954 | Euro | 2,322,668 | UBS | 55,825 |
6/20/24 | U.S. Dollars | 2,594,221 | Euro | 2,374,332 | Toronto-Dominion Bank | 54,837 |
6/20/24 | U.S. Dollars | 1,955,340 | Euro | 1,789,800 | RBS | 41,122 |
6/20/24 | U.S. Dollars | 1,787,000 | Japanese Yen | 273,237,685 | Citibank | 40,739 |
6/20/24 | U.S. Dollars | 663,741 | Euro | 609,000 | Morgan Stanley | 12,406 |
8/15/24 | Colombian Pesos | 329,926,000 | U.S. Dollars | 76,319 | Morgan Stanley | 6,361 |
6/20/24 | U.S. Dollars | 327,141 | Euro | 300,000 | HSBC | 6,285 |
6/20/24 | U.S. Dollars | 306,073 | British Pounds | 240,000 | Morgan Stanley | 6,099 |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2024: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
7/17/24 | U.S. Dollars | 256,519 | Indonesian Rupiahs | 4,084,030,980 | Barclays | $ 5,959 |
10/23/24 | Colombian Pesos | 728,359,000 | U.S. Dollars | 175,092 | BNP Paribas | 5,574 |
5/16/24 | U.S. Dollars | 509,820 | Mexican Pesos | 8,675,969 | Toronto-Dominion Bank | 4,693 |
8/15/24 | Colombian Pesos | 234,306,720 | U.S. Dollars | 54,186 | BNP Paribas | 4,531 |
6/20/24 | Euro | 182,790 | Japanese Yen | 29,905,000 | Bank of America | 4,374 |
6/20/24 | U.S. Dollars | 199,933 | Euro | 183,000 | Deutsche Bank | 4,213 |
5/06/24 | U.S. Dollars | 162,241 | Peruvian Nuevo Soles | 602,302 | Morgan Stanley | 2,260 |
6/20/24 | U.S. Dollars | 162,541 | Euro | 150,000 | BNP Paribas | 2,113 |
6/04/24 | U.S. Dollars | 214,324 | Czech Republic Koruna | 5,003,615 | Citibank | 2,010 |
6/20/24 | U.S. Dollars | 288,758 | Mexican Pesos | 4,953,800 | JPMorgan Chase | 1,965 |
6/20/24 | Euro | 67,370 | Japanese Yen | 11,010,000 | Barclays | 1,689 |
5/16/24 | U.S. Dollars | 101,735 | Peruvian Nuevo Soles | 376,804 | BNP Paribas | 1,663 |
1/27/25 | U.S. Dollars | 91,000 | Chinese Offshore Yuan | 637,637 | Morgan Stanley | 1,557 |
5/16/24 | U.S. Dollars | 139,950 | Peruvian Nuevo Soles | 521,466 | Deutsche Bank | 1,460 |
8/15/24 | Colombian Pesos | 91,119,280 | U.S. Dollars | 21,393 | Barclays | 1,441 |
7/02/24 | South African Rand | 1,265,791 | U.S. Dollars | 65,670 | State Street | 1,236 |
5/16/24 | U.S. Dollars | 67,512 | Peruvian Nuevo Soles | 249,863 | Citibank | 1,154 |
12/06/24 | Turkish Lira | 1,215,000 | U.S. Dollars | 28,406 | BNP Paribas | 1,099 |
5/16/24 | U.S. Dollars | 166,000 | Colombian Pesos | 648,654,040 | Morgan Stanley | 1,079 |
2/24/25 | Colombian Pesos | 361,848,000 | U.S. Dollars | 87,234 | HSBC | 1,011 |
5/16/24 | South African Rand | 846,278 | U.S. Dollars | 44,000 | Citibank | 904 |
5/16/24 | U.S. Dollars | 45,000 | Japanese Yen | 6,942,675 | Barclays | 866 |
5/16/24 | South African Rand | 845,323 | U.S. Dollars | 44,000 | Goldman Sachs | 853 |
5/03/24 | Brazilian Reals | 284,890 | U.S. Dollars | 54,000 | BNP Paribas | 850 |
5/16/24 | Colombian Pesos | 349,037,040 | U.S. Dollars | 88,000 | Standard Chartered Bank | 743 |
5/03/24 | U.S. Dollars | 62,000 | Brazilian Reals | 318,354 | Morgan Stanley | 707 |
5/16/24 | U.S. Dollars | 68,500 | Chilean Pesos | 65,255,445 | Morgan Stanley | 543 |
5/16/24 | Hungarian Forints | 23,317,574 | U.S. Dollars | 63,000 | State Street | 517 |
5/16/24 | South African Rand | 613,217 | Euro | 30,000 | Nomura | 501 |
5/16/24 | Colombian Pesos | 819,420,513 | U.S. Dollars | 207,844 | Barclays | 496 |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2024: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
9/25/24 | Turkish Lira | 2,043,000 | U.S. Dollars | 53,087 | UBS | $ 490 |
5/16/24 | U.S. Dollars | 56,000 | Peruvian Nuevo Soles | 209,396 | Barclays | 389 |
5/16/24 | U.S. Dollars | 37,000 | Swiss Francs | 33,611 | Morgan Stanley | 368 |
5/16/24 | South African Rand | 515,417 | U.S. Dollars | 27,000 | Bank of America | 348 |
6/04/24 | U.S. Dollars | 27,000 | Brazilian Reals | 138,888 | Toronto-Dominion Bank | 338 |
5/16/24 | Chilean Pesos | 22,883,125 | U.S. Dollars | 23,500 | Goldman Sachs | 330 |
5/30/24 | South African Rand | 515,654 | U.S. Dollars | 27,000 | Barclays | 329 |
5/16/24 | U.S. Dollars | 15,000 | Japanese Yen | 2,309,450 | Bank of America | 319 |
5/16/24 | U.S. Dollars | 27,000 | Chilean Pesos | 25,647,300 | Deutsche Bank | 291 |
6/04/24 | Czech Republic Koruna | 1,977,959 | U.S. Dollars | 83,680 | Goldman Sachs | 249 |
5/16/24 | British Pounds | 57,000 | U.S. Dollars | 70,988 | Toronto-Dominion Bank | 242 |
5/03/24 | U.S. Dollars | 27,000 | Brazilian Reals | 139,060 | BNP Paribas | 227 |
5/16/24 | U.S. Dollars | 37,000 | Swedish Kronor | 405,147 | JPMorgan Chase | 210 |
6/04/24 | U.S. Dollars | 18,000 | Brazilian Reals | 92,671 | Morgan Stanley | 210 |
5/16/24 | U.S. Dollars | 18,000 | Colombian Pesos | 69,984,000 | Bank of America | 206 |
5/16/24 | U.S. Dollars | 6,979 | Euro | 6,351 | BNP Paribas | 197 |
5/16/24 | Euro | 34,000 | Mexican Pesos | 620,539 | Morgan Stanley | 180 |
5/16/24 | Euro | 75,000 | U.S. Dollars | 79,943 | BNP Paribas | 150 |
5/16/24 | Hungarian Forints | 7,895,056 | Euro | 20,000 | State Street | 148 |
7/17/24 | Indonesian Rupiahs | 1,322,573,250 | U.S. Dollars | 80,998 | BNP Paribas | 144 |
5/16/24 | Polish Zloty | 669,957 | U.S. Dollars | 165,000 | JPMorgan Chase | 129 |
5/16/24 | Colombian Pesos | 138,108,600 | U.S. Dollars | 35,000 | BNP Paribas | 114 |
5/16/24 | Malaysian Ringgit | 325,312 | U.S. Dollars | 68,000 | Barclays | 84 |
5/16/24 | U.S. Dollars | 9,000 | South African Rand | 168,127 | BNP Paribas | 79 |
5/16/24 | U.S. Dollars | 26,000 | South African Rand | 488,602 | Bank of America | 74 |
5/16/24 | Australian Dollars | 21,532 | Euro | 13,000 | State Street | 73 |
5/16/24 | Colombian Pesos | 165,438,000 | U.S. Dollars | 42,000 | Citibank | 63 |
5/16/24 | Colombian Pesos | 106,407,000 | U.S. Dollars | 27,000 | Bank of America | 54 |
5/16/24 | Colombian Pesos | 35,765,419 | U.S. Dollars | 9,045 | Toronto-Dominion Bank | 49 |
5/16/24 | U.S. Dollars | 23,000 | Indian Rupees | 1,918,315 | JPMorgan Chase | 29 |
7/17/24 | Indonesian Rupiahs | 1,716,296,968 | U.S. Dollars | 105,270 | State Street | 27 |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2024: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
5/16/24 | Indian Rupees | 1,922,892 | U.S. Dollars | 23,000 | Deutsche Bank | $ 26 |
5/03/24 | U.S. Dollars | 27,000 | Indian Rupees | 2,250,990 | JPMorgan Chase | 26 |
5/03/24 | U.S. Dollars | 62,000 | Brazilian Reals | 321,904 | Deutsche Bank | 23 |
5/16/24 | Mexican Pesos | 446,879 | U.S. Dollars | 26,000 | Barclays | 18 |
5/03/24 | U.S. Dollars | 1,000 | Brazilian Reals | 5,143 | Barclays | 10 |
5/16/24 | U.S. Dollars | 18,458 | Colombian Pesos | 72,578,483 | Barclays | 5 |
Total Unrealized Appreciation | $ 433,077 | |||||
5/16/24 | Japanese Yen | 2,359,170 | U.S. Dollars | 15,000 | Deutsche Bank | $ (3) |
5/16/24 | U.S. Dollars | 35,231 | Euro | 33,000 | Goldman Sachs | (10) |
6/04/24 | Brazilian Reals | 5,157 | U.S. Dollars | 1,000 | Barclays | (10) |
5/16/24 | Euro | 60,000 | Polish Zloty | 260,016 | Goldman Sachs | (14) |
5/16/24 | U.S. Dollars | 105,000 | Chinese Offshore Yuan | 761,214 | UBS | (21) |
5/03/24 | Indian Rupees | 2,250,909 | U.S. Dollars | 27,000 | Goldman Sachs | (27) |
5/16/24 | U.S. Dollars | 68,000 | Malaysian Ringgit | 325,040 | Barclays | (27) |
5/16/24 | Colombian Pesos | 33,680,761 | U.S. Dollars | 8,597 | Goldman Sachs | (33) |
5/16/24 | Norwegian Kroner | 88,294 | U.S. Dollars | 8,000 | RBS | (48) |
5/03/24 | Brazilian Reals | 139,963 | U.S. Dollars | 27,000 | BNP Paribas | (53) |
5/16/24 | U.S. Dollars | 18,757 | Colombian Pesos | 74,073,253 | Morgan Stanley | (76) |
5/16/24 | U.S. Dollars | 12,236 | Australian Dollars | 19,000 | RBS | (78) |
5/16/24 | Euro | 40,000 | U.S. Dollars | 42,805 | Barclays | (89) |
5/16/24 | Peruvian Nuevo Soles | 95,918 | U.S. Dollars | 25,564 | Goldman Sachs | (91) |
6/14/24 | U.S. Dollars | 184,227 | Colombian Pesos | 728,359,000 | Citibank | (123) |
5/16/24 | U.S. Dollars | 8,000 | South African Rand | 153,383 | State Street | (139) |
5/16/24 | Euro | 68,000 | British Pounds | 58,223 | BNP Paribas | (142) |
5/16/24 | U.S. Dollars | 26,000 | Colombian Pesos | 102,882,000 | Standard Chartered Bank | (158) |
5/16/24 | U.S. Dollars | 32,000 | Czech Republic Koruna | 758,548 | BNP Paribas | (185) |
5/16/24 | Norwegian Kroner | 305,893 | Euro | 26,000 | Toronto-Dominion Bank | (217) |
5/30/24 | U.S. Dollars | 27,000 | South African Rand | 513,883 | Morgan Stanley | (235) |
5/16/24 | Indonesian Rupiahs | 1,086,110,200 | U.S. Dollars | 67,000 | Barclays | (236) |
5/16/24 | Colombian Pesos | 278,320,000 | U.S. Dollars | 71,000 | Citibank | (237) |
5/16/24 | Colombian Pesos | 136,676,680 | British Pounds | 28,000 | Barclays | (240) |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2024: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
5/16/24 | Mexican Pesos | 1,215,156 | U.S. Dollars | 71,000 | Toronto-Dominion Bank | $ (252) |
5/16/24 | U.S. Dollars | 71,000 | Polish Zloty | 289,126 | UBS | (263) |
5/16/24 | Polish Zloty | 160,190 | U.S. Dollars | 39,748 | Morgan Stanley | (265) |
5/16/24 | U.S. Dollars | 175,935 | Euro | 165,000 | HSBC | (269) |
5/03/24 | U.S. Dollars | 27,000 | Brazilian Reals | 141,662 | BNP Paribas | (274) |
5/16/24 | Polish Zloty | 158,643 | U.S. Dollars | 39,398 | Barclays | (296) |
7/17/24 | Indonesian Rupiahs | 1,010,475,272 | U.S. Dollars | 62,311 | Citibank | (317) |
5/16/24 | Peruvian Nuevo Soles | 196,997 | U.S. Dollars | 52,645 | Deutsche Bank | (326) |
7/24/24 | U.S. Dollars | 109,548 | Euro | 102,579 | State Street | (345) |
5/16/24 | Peruvian Nuevo Soles | 410,614 | U.S. Dollars | 109,396 | Citibank | (346) |
5/16/24 | Chilean Pesos | 42,870,600 | U.S. Dollars | 45,000 | Morgan Stanley | (355) |
5/16/24 | Mexican Pesos | 629,086 | U.S. Dollars | 37,000 | HSBC | (374) |
5/03/24 | U.S. Dollars | 27,000 | Brazilian Reals | 142,290 | Citibank | (395) |
5/16/24 | U.S. Dollars | 26,000 | Mexican Pesos | 453,354 | Goldman Sachs | (395) |
5/16/24 | U.S. Dollars | 35,000 | Hungarian Forints | 13,000,750 | Bank of America | (414) |
12/04/24 | Turkish Lira | 645,344 | U.S. Dollars | 16,118 | Barclays | (415) |
5/16/24 | Swiss Francs | 33,540 | U.S. Dollars | 37,000 | JPMorgan Chase | (446) |
5/06/24 | Peruvian Nuevo Soles | 108,000 | U.S. Dollars | 29,139 | Barclays | (453) |
5/16/24 | U.S. Dollars | 44,000 | South African Rand | 842,481 | Goldman Sachs | (703) |
5/03/24 | U.S. Dollars | 63,000 | Brazilian Reals | 331,128 | Morgan Stanley | (753) |
7/02/24 | U.S. Dollars | 133,908 | South African Rand | 2,549,322 | Bank of America | (840) |
5/16/24 | Mexican Pesos | 1,987,005 | U.S. Dollars | 116,528 | JPMorgan Chase | (842) |
5/16/24 | Japanese Yen | 6,928,995 | U.S. Dollars | 45,000 | State Street | (953) |
1/27/25 | Chinese Yuan Renminbi | 636,090 | U.S. Dollars | 91,000 | Morgan Stanley | (1,136) |
5/16/24 | Colombian Pesos | 128,129,799 | U.S. Dollars | 33,827 | Barclays | (1,250) |
5/16/24 | U.S. Dollars | 156,513 | Polish Zloty | 640,167 | Nomura | (1,273) |
5/06/24 | Peruvian Nuevo Soles | 494,302 | U.S. Dollars | 133,163 | Deutsche Bank | (1,869) |
6/17/24 | U.S. Dollars | 255,456 | Colombian Pesos | 1,017,200,000 | Citibank | (1,884) |
12/04/24 | Turkish Lira | 1,498,656 | U.S. Dollars | 38,542 | Goldman Sachs | (2,076) |
6/20/24 | U.S. Dollars | 802,084 | Euro | 752,000 | Deutsche Bank | (2,191) |
5/16/24 | U.S. Dollars | 558,509 | Colombian Pesos | 2,205,461,163 | Citibank | (2,234) |
6/20/24 | Euro | 150,000 | U.S. Dollars | 162,901 | HSBC | (2,473) |
6/20/24 | Euro | 90,000 | U.S. Dollars | 98,743 | JPMorgan Chase | (2,486) |
6/20/24 | Euro | 160,000 | U.S. Dollars | 173,804 | Morgan Stanley | (2,681) |
6/20/24 | Japanese Yen | 13,000,000 | Euro | 80,534 | HSBC | (3,050) |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2024: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
6/20/24 | Euro | 140,000 | U.S. Dollars | 153,683 | BNP Paribas | $ (3,951) |
6/20/24 | Indonesian Rupiahs | 1,715,949,628 | U.S. Dollars | 109,626 | HSBC | (4,256) |
6/20/24 | British Pounds | 240,000 | U.S. Dollars | 304,646 | Barclays | (4,672) |
5/03/24 | Brazilian Reals | 940,669 | U.S. Dollars | 188,000 | Goldman Sachs | (6,892) |
6/20/24 | Japanese Yen | 27,915,000 | Euro | 174,953 | State Street | (8,711) |
6/20/24 | Japanese Yen | 136,407,024 | U.S. Dollars | 908,000 | BNP Paribas | (36,223) |
6/20/24 | Euro | 4,058,000 | U.S. Dollars | 4,385,448 | Nomura | (45,356) |
6/20/24 | Japanese Yen | 550,309,220 | U.S. Dollars | 3,632,500 | Goldman Sachs | (115,476) |
Total Unrealized Depreciation | $(262,923) | |||||
Net Unrealized Appreciation | $ 170,154 |
Written Call Option Contracts outstanding at April 30, 2024: Exchange Traded | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
10-Year U.S. Treasury Note Future | 1 | USD | 107,438 | 111.00 | 5/24/2024 | $ (47) |
10-Year U.S. Treasury Note Future | 10 | USD | 2,026,560 | 104.50 | 5/24/2024 | (10) |
10-Year U.S. Treasury Note Future | 22 | USD | 2,363,636 | 109.50 | 5/24/2024 | (3,437) |
10-Year U.S. Treasury Note Future | 23 | USD | 2,471,074 | 110.00 | 5/24/2024 | (2,516) |
10-Year U.S. Treasury Note Future | 46 | USD | 4,942,148 | 111.50 | 5/24/2024 | (1,437) |
10-Year U.S. Treasury Note Future | 32 | USD | 3,445,504 | 110.00 | 6/21/2024 | (11,500) |
10-Year U.S. Treasury Note Future | 32 | USD | 3,445,504 | 110.50 | 6/21/2024 | (8,500) |
3-Month SOFR Future | 58 | USD | 13,730,050 | 95.25 | 6/14/2024 | (1,450) |
3-Month SOFR Future | 73 | USD | 17,326,550 | 97.13 | 12/13/2024 | (5,019) |
5-Year U.S. Treasury Note Future | 26 | USD | 2,723,292 | 105.75 | 5/03/2024 | (1,016) |
5-Year U.S. Treasury Note Future | 36 | USD | 3,867,768 | 106.50 | 5/24/2024 | (3,375) |
5-Year U.S. Treasury Note Future | 38 | USD | 4,082,644 | 108.50 | 5/24/2024 | (594) |
U.S. Treasury Long Bond Future | 3 | USD | 341,439 | 130.00 | 5/24/2024 | (47) |
Total Written Call Options Contracts (Premiums Received $123,673) | $(38,948) |
Written Put Option Contracts outstanding at April 30, 2024: Exchange Traded | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
10-Year U.S. Treasury Note Future | 13 | USD | 1,396,694 | 108.50 | 5/24/2024 | $ (18,687) |
10-Year U.S. Treasury Note Future | 33 | USD | 3,545,454 | 108.00 | 5/24/2024 | (36,094) |
3-Month SOFR Future | 36 | USD | 8,544,600 | 95.00 | 12/13/2024 | (26,775) |
Written Put Option Contracts outstanding at April 30, 2024: Exchange Traded (continued) | ||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
5-Year U.S. Treasury Note Future | 3 | USD | 314,226 | 104.00 | 5/24/2024 | $ (750) |
Total Written Put Options Contracts (Premiums Received $40,427) | $(82,306) |
Written Call Option Contracts outstanding at April 30, 2024: Over the Counter | ||||||||
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
Brazilian Real vs. U.S. Dollar | Barclays | 1 | USD | 18,000 | BRL | 5.15 | 7/03/2024 | $ (460) |
Brazilian Real vs. U.S. Dollar | Deutsche Bank | 1 | USD | 45,000 | BRL | 5.35 | 7/15/2024 | (554) |
Chinese Yuan vs. U.S. Dollar | UBS | 1 | USD | 132,000 | CNH | 7.32 | 5/20/2024 | (103) |
Indian Rupee vs. Chinese Yuan | Standard Chartered Bank | 1 | CNH | 34,000 | INR | 12.50 | 1/23/2025 | (520) |
South African Rand vs. U.S. Dollar | Goldman Sachs | 1 | USD | 92,000 | ZAR | 20.80 | 8/15/2024 | (709) |
Turkish Lira vs. U.S. Dollar | Goldman Sachs | 1 | USD | 27,000 | TRY | 39.00 | 7/23/2024 | (194) |
Total Written OTC Call Options Contracts (Premiums Received $3,139) | $(2,540) |
Written Put Option Contracts outstanding at April 30, 2024: Over the Counter | ||||||||
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
Japanese Yen vs. U.S. Dollar | JPMorgan Chase | 1 | USD | 3,632,500 | JPY | 1.13 | 5/09/2024 | $ (875) |
Mexican Peso vs. U.S. Dollar | Morgan Stanley | 1 | USD | 88,000 | BRL | 17.00 | 10/18/2024 | (1,166) |
South African Rand vs. U.S. Dollar | Goldman Sachs | 1 | USD | 92,000 | ZAR | 18.20 | 8/15/2024 | (1,170) |
Turkish Lira vs. U.S. Dollar | Goldman Sachs | 1 | USD | 55,000 | TRY | 40.50 | 12/06/2024 | (2,723) |
Total Written OTC Put Options Contracts (Premiums Received $15,331) | $(5,934) |
Written Call Interest Rate Swaption Contracts outstanding at April 30, 2024: 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 10/18/2025 | 3.84% (At Maturity) | 1-Day USD SOFR (At Maturity) | Goldman Sachs | 10/16/2024 | 3.84% | 39,594,000 | $ (17,766) |
Written Call Interest Rate Swaption Contracts outstanding at April 30, 2024: Over the Counter (continued) | |||||||
Description | Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Counterparty | Expiration Date | Exercise Rate | Notional Amount | Value |
Interest Rate Swap Maturing 10/18/2025 | 3.84% (At Maturity) | 1-Day USD SOFR (At Maturity) | Barclays | 10/16/2024 | 3.84% | 78,978,000 | (35,437) |
Interest Rate Swap Maturing 5/07/2034 | 3.78% (Annually) | 1-Day USD SOFR (Annually) | Citibank | 5/03/2024 | 3.78 | 1,095,000 | — |
Total Written OTC Call Swaptions Contracts (Premiums Received $101,297) | $(53,203) |
Written Put Interest Rate Swaption Contracts outstanding at April 30, 2024: 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 10/21/2025 | 1-Day USD SOFR (At Maturity) | 5.10% (At Maturity) | Goldman Sachs | 10/17/2024 | 5.10% | USD | 54,648,000 | $ (117,903) |
Interest Rate Swap Maturing 5/07/2034 | 1-Day USD SOFR (Annually) | 4.18% (Annually) | Citibank | 5/03/2024 | 4.18 | USD | 1,095,000 | (11,980) |
Interest Rate Swap Maturing 5/29/2034 | 1-Day USD SOFR (Annually) | 4.70% (Annually) | Goldman Sachs | 5/24/2024 | 4.70 | USD | 21,584,328 | (19,871) |
Total Written OTC Put Swaptions Contracts (Premiums Received $118,674) | $(149,754) |
Interest Rate Swap Contracts outstanding at April 30, 2024: Centrally Cleared | |||||||
Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
10.76% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 1/23/2025 | MXN | 4,537,000 | $ 608 | $ — | $ 608 |
4.68% (Quarterly) | 3M CZK PRBOR (Quarterly) | 3/20/2025 | CZK | 6,582,000 | 803 | — | 803 |
5.14% (Semi-Annually) | 6M PLN WIBOR (Semi-Annually) | 12/20/2025 | PLN | 456,000 | 1,287 | — | 1,287 |
3M KRW KSDA (Quarterly) | 3.38% (Quarterly) | 9/20/2026 | KRW | 181,949,097 | (576) | — | (576) |
3M KRW KSDA (Quarterly) | 3.33% (Quarterly) | 9/20/2026 | KRW | 90,960,903 | (369) | — | (369) |
6M EUR EURIBOR (Semi-Annually) | 3.15% (Annually) | 7/21/2028 | EUR | 111,000 | 2,150 | — | 2,150 |
28-Day MXN-TIIE-BANXICO (Monthly) | 9.70% (Monthly) | 4/23/2029 | MXN | 782,000 | (39) | — | (39) |
3.87% (Annually) | 2-Day USD SOFR (Annually) | 2/28/2031 | USD | 15,781,000 | 450,528 | (42,234) | 492,762 |
3.15% (Annually) | 2-Day USD SOFR (Annually) | 5/15/2048 | USD | 10,265,000 | 1,766,193 | (32,598) | 1,798,791 |
2.49% (Semi-Annually) | 6M EUR EURIBOR (Semi-Annually) | 2/19/2054 | EUR | 793,980 | 12,103 | — | 12,103 |
2.51% (Semi-Annually) | 6M EUR EURIBOR (Semi-Annually) | 2/20/2054 | EUR | 1,547,980 | 16,780 | — | 16,780 |
2.51% (Semi-Annually) | 6M EUR EURIBOR (Semi-Annually) | 3/01/2054 | EUR | 395,000 | 3,954 | — | 3,954 |
Interest Rate Swap Contracts outstanding at April 30, 2024: 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) | |
2.46% (Semi-Annually) | 6M EUR EURIBOR (Semi-Annually) | 3/22/2054 | EUR | 166,000 | $ 3,246 | $ — | $ 3,246 |
2.54% (Semi-Annually) | 6M EUR EURIBOR (Semi-Annually) | 4/22/2054 | EUR | 642,000 | 91 | (1,332) | 1,423 |
Total | $2,256,759 | $(76,164) | $2,332,923 |
Interest Rate Swap Contracts outstanding at April 30, 2024: 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) | |
10.30% (At Maturity) | 1-Day BRL BZDIO (At Maturity) | Barclays | 1/02/2025 | BRL | 3,604,000 | $ 202 | $— | $ 202 |
10.32% (At Maturity) | 1-Day BRL BZDIO (At Maturity) | Barclays | 1/02/2025 | BRL | 3,567,296 | 124 | — | 124 |
8.62% (At Maturity) | 1-Day COP COOVI (At Maturity) | JPMorgan Chase | 11/05/2025 | COP | 781,128,000 | 85 | — | 85 |
1-Day BRL BZDIO (At Maturity) | 10.62% (At Maturity) | Barclays | 1/02/2026 | BRL | 2,965,000 | (34) | — | (34) |
1-Day BRL BZDIO (At Maturity) | 10.58% (At Maturity) | Citibank | 1/02/2026 | BRL | 980,000 | (874) | — | (874) |
1-Day BRL BZDIO (At Maturity) | 11.80% (At Maturity) | Citibank | 1/02/2026 | BRL | 578,798 | 1,514 | — | 1,514 |
1-Day BRL BZDIO (At Maturity) | 11.75% (At Maturity) | Citibank | 1/02/2026 | BRL | 563,000 | 1,295 | — | 1,295 |
1-Day BRL BZDIO (At Maturity) | 10.11% (At Maturity) | Goldman Sachs | 1/02/2026 | BRL | 231,260 | (855) | — | (855) |
1-Day CLP CLICP (At Maturity) | 4.88% (At Maturity) | JPMorgan Chase | 4/01/2026 | CLP | 237,810,314 | (676) | — | (676) |
1-Day CLP CLICP (At Maturity) | 4.95% (At Maturity) | Goldman Sachs | 4/01/2026 | CLP | 236,847,686 | (515) | — | (515) |
10.97% (At Maturity) | 1-Day BRL BZDIO (At Maturity) | Barclays | 1/04/2027 | BRL | 937,000 | (154) | — | (154) |
1-Day BRL BZDIO (At Maturity) | 9.79% (At Maturity) | BNP Paribas | 1/04/2027 | BRL | 837,000 | (5,173) | — | (5,173) |
1-Day BRL BZDIO (At Maturity) | 10.29% (At Maturity) | Citibank | 1/04/2027 | BRL | 681,992 | (2,158) | — | (2,158) |
1-Day BRL BZDIO (At Maturity) | 10.32% (At Maturity) | Bank of America | 1/04/2027 | BRL | 11,480 | (35) | — | (35) |
4.92% (Semi-Annually) | 1-Day CLP CLICP (Semi-Annually) | JPMorgan Chase | 4/01/2028 | CLP | 127,656,455 | 619 | — | 619 |
Interest Rate Swap Contracts outstanding at April 30, 2024: 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) | |
4.99% (Semi-Annually) | 1-Day CLP CLICP (Semi-Annually) | Goldman Sachs | 4/01/2028 | CLP | 132,993,545 | $ 466 | $— | $ 466 |
Total | $(6,169) | $— | $(6,169) |
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% | 6/20/2029 | EUR | 342,900 | $ (29,686) | $ (30,429) | $743 | |
Total | $(29,686) | $(30,429) | $743 |
Credit Default Swap Contracts outstanding - Sell Protection as of April 30, 2024: 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 42 (Pay Quarterly) | 3.54% | 5.00% | 6/20/2029 | USD | 7,169,325 | $468,594 | $465,610 | $ 2,984 |
Markit CDX North America Investment Grade Index Series 42 (Pay Quarterly) | 0.53% | 1.00% | 6/20/2029 | USD | 17,634,000 | 392,940 | 382,168 | 10,772 |
Total | $861,534 | $847,778 | $13,756 |
Credit Default Swap Contracts outstanding - Buy Protection at April 30, 2024: 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 | $ (1,875) | $ 1,071 | $ (2,946) |
Abbott Laboratories 3.40% 11/30/2023 (Pay Quarterly) | 1.00% | 6/20/2029 | JPMorgan Chase | USD | 129,000 | (3,539) | (3,010) | (529) |
American Electric Power, 3.20%, Due: 11/13/2027 (Pay Quarterly) | 1.00% | 6/20/2029 | Goldman Sachs | USD | 360,000 | (10,780) | (10,183) | (597) |
American Electric Power, 3.20%, Due: 11/13/2027 (Pay Quarterly) | 1.00% | 6/20/2029 | Bank of America | USD | 343,000 | (10,271) | (9,702) | (569) |
Credit Default Swap Contracts outstanding - Buy Protection at April 30, 2024: Over the Counter (continued) | ||||||||
Reference Obligation | Fixed Deal Pay Rate | Maturity Date | Counterparty | Notional Amount | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
American Express Co., 4.05%, Due: 5/03/2029 (Pay Quarterly) | 1.00% | 6/20/2029 | Goldman Sachs | USD | 360,000 | (11,515) | $(10,861) | $ (654) |
Dominion Energy, Inc., 4.25%, Due: 6/01/2028 (Pay Quarterly) | 1.00% | 6/20/2029 | Goldman Sachs | USD | 346,000 | (7,710) | (6,936) | (774) |
Federal Republic of Brazil, 4.25%, Due: 1/07/2025 (Pay Quarterly) | 1.00% | 6/20/2029 | Bank of America | USD | 33,396 | 675 | 549 | 126 |
Republic of Colombia, 10.38%, Due: 1/28/2033 (Pay Quarterly) | 1.00% | 6/20/2029 | JPMorgan Chase | USD | 88,272 | 3,342 | 3,040 | 302 |
Republic of South Africa, 5.88%, Due: 9/16/2025 (Pay Quarterly) | 1.00% | 6/20/2029 | Citibank | USD | 97,834 | 5,667 | 5,923 | (256) |
Republic of South Africa, 5.88%, Due: 9/16/2025 (Pay Quarterly) | 1.00% | 6/20/2029 | Morgan Stanley | USD | 53,000 | 3,070 | 3,440 | (370) |
Republic of Turkiye, 11.88%, Due: 1/15/2030 (Pay Quarterly) | 1.00% | 6/20/2029 | Goldman Sachs | USD | 210,022 | 17,011 | 20,276 | (3,265) |
Republic of Turkiye, 11.88%, Due: 1/15/2030 (Pay Quarterly) | 1.00% | 6/20/2029 | Bank of America | USD | 18,978 | 1,537 | 1,673 | (136) |
United Mexican States, 4.15%, Due: 3/28/2027 (Pay Quarterly) | 1.00% | 6/20/2029 | Bank of America | USD | 199,076 | (388) | (628) | 240 |
Total | $(14,776) | $ (5,348) | $(9,428) |
Morningstar Total Return Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 30,829,548 | $ — | $ 30,829,548 |
Corporate Bonds | — | 139,019,199 | 102,090 | 139,121,289 |
Foreign Issuer Bonds | — | 48,082,589 | — | 48,082,589 |
Mortgage-Backed Securities | — | 251,125,966 | — | 251,125,966 |
Municipal Bonds | — | 2,378,397 | — | 2,378,397 |
Term Loans | — | 23,122 | — | 23,122 |
U.S. Government Obligations | — | 113,213,059 | — | 113,213,059 |
Investment Companies | 249,373,618 | — | — | 249,373,618 |
Short-Term Investments | 30,295,629 | 15,285,870 | — | 45,581,499 |
Purchased Options | 171,372 | 731,722 | — | 903,094 |
Total Assets – Investments at value | $279,840,619 | $600,689,472 | $102,090 | $880,632,181 |
Morningstar Total Return Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Liabilities: | ||||
Mortgage-Backed Securities | $ — | $ (16,897,548) | $ — | $ (16,897,548) |
Total Liabilities – Investments at value | $ — | $ (16,897,548) | $ — | $ (16,897,548) |
Net Investments | $279,840,619 | $583,791,924 | $102,090 | $863,734,633 |
Morningstar Total Return Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Futures Contracts | $ 321,509 | $ — | $— | $ 321,509 |
Forward Foreign Currency Exchange Contracts | — | 433,077 | — | 433,077 |
Swap Agreements | — | 3,154,884 | — | 3,154,884 |
Total Assets - Derivative Financial Instruments | $ 321,509 | $3,587,961 | $— | $ 3,909,470 |
Liabilities: | ||||
Futures Contracts | $(2,799,117) | $ — | $— | $(2,799,117) |
Forward Foreign Currency Exchange Contracts | — | (262,923) | — | (262,923) |
Written Options | (121,254) | (211,431) | — | (332,685) |
Swap Agreements | — | (87,222) | — | (87,222) |
Total Liabilities - Derivative Financial Instruments | $(2,920,371) | $ (561,576) | $— | $(3,481,947) |
Net Derivative Financial Instruments | $(2,598,862) | $3,026,385 | $— | $ 427,523 |
Par | Value | ||
Municipal Bonds – 86.6% | |||
Alabama – 2.2% | |||
Alabama State Corrections Institution Finance Authority Revenue Bonds, 5.25%, 7/01/47 | $ 500,000 | $ 536,159 | |
Black Belt Energy Gas District Gas Project Revenue Bonds, Series C, 5.50%, 6/01/32(a)(b)(c) | 1,250,000 | 1,347,896 | |
Black Belt Energy Gas District Gas Project Revenue Bonds, Series C-1, 5.25%, 6/01/29(a)(b)(c) | 1,030,000 | 1,074,709 | |
Black Belt Energy Gas District Gas Supply Revenue Refunding Bonds, 4.00%, 12/01/31(a)(b)(c) | 500,000 | 492,515 | |
Black Belt Energy Gas District Project Variable Revenue Bonds, Series B-2, (SIFMA Municipal Swap Index Yield + 0.65%), 4.30%, 10/01/27(a)(c) | 250,000 | 244,266 | |
Lower Alabama Gas District Gas Project Revenue Bonds, 4.00%, 12/01/25(a)(b)(c) | 500,000 | 499,521 | |
Mobile Industrial Development Board PCR Bonds, Alabama Power Company Barry Plant Project, 1.00%, 6/26/25(a)(b)(c) | 1,000,000 | 963,422 | |
Southeast Alabama State Gas Supply District Revenue Refunding Bonds, Series 2024-B, Project No. 2, 5.00%, 5/01/32(a)(b)(c) | 350,000 | 364,700 | |
Southeast Energy Authority Commodity Supply Revenue Bonds, Series B, Project No. 6, 5.00%, 6/01/30 | 475,000 | 499,308 | |
Southeast Energy Authority Commodity Supply Revenue Bonds, Series B-1, Project No. 4, 5.00%, 8/01/28(a)(b)(c) | 150,000 | 154,776 | |
Tuscaloosa County IDA Gulf Opportunity Zone Revenue Refunding Bonds, Series A, Hunt Refining Project, 5.25%, 5/01/44(d) | 260,000 | 260,226 |
Par | Value | ||
Alabama (Continued) | |||
University of South Alabama University Revenue Bonds (BAM Insured), 5.00%, 4/01/27 | $ 375,000 | $ 389,814 | |
University of West Alabama University Revenue Refunding Bonds (AGM Insured), 5.00%, 1/01/27 | 505,000 | 518,764 | |
7,346,076 | |||
Alaska – 0.2% | |||
Alaska State Municipal Bond Bank Authority Revenue Bonds, Series 2 (AMT), 5.00%, 12/01/29 | 590,000 | 622,036 | |
Arizona – 0.7% | |||
Arizona State IDA Education Revenue Bonds, Series B, Jerome Facilities Project, Social Bonds, 4.00%, 7/01/51 | 175,000 | 143,465 | |
Arizona State IDA National Charter School Revolving Loan Fund Sustainable Revenue Bonds, Equitable School, 5.25%, 11/01/53 | 1,000,000 | 1,045,117 | |
Maricopa County IDA Revenue Bonds, Series A, Banner Health, 4.00%, 1/01/41 | 250,000 | 244,662 | |
Pima County IDA Education Revenue Facility Revenue Bonds, Paideia Academies Project, 6.13%, 7/01/45(d) | 240,000 | 240,654 | |
Salt River Project Agricultural Improvement & Power District Electric System Revenue Refunding Bonds, Series A, 5.00%, 12/01/45 | 500,000 | 508,003 | |
2,181,901 | |||
Arkansas – 0.1% | |||
Bentonville Sales & Use Tax Revenue Refunding Bonds, Series B, 1.05%, 11/01/46 | 25,000 | 25,000 | |
Springdale Sales & Use Revenue Bonds, Series B (BAM Insured), | |||
5.00%, 8/01/28 | 125,000 | 132,986 | |
5.00%, 8/01/29 | 120,000 | 129,385 | |
287,371 |
Par | Value | ||
California – 6.6% | |||
Bay Area Toll Bridge Authority Variable Revenue Refunding Bonds, San Francisco Bay, (SIFMA Municipal Swap Index Yield + 0.45%), 4.10%, 4/01/26(a)(c) | $2,000,000 | $1,978,305 | |
California Community Choice Financing Authority Sustainable Revenue Bonds, Series B-1, Clean Energy Project, 4.00%, 8/01/31(a)(b)(c) | 500,000 | 494,012 | |
California Community Choice Financing Authority Variable Revenue Bonds, Clean Energy Project, Green Bonds, 5.00%, 10/01/30 | 450,000 | 459,190 | |
California Housing Finance Agency Municipal Certificates Revenue Bonds, Series 2, Class A, 4.00%, 3/20/33 | 232,233 | 231,200 | |
California PFA Revenue Refunding Bonds, Henry Mayo Newhall Hospital, 5.00%, 10/15/47 | 580,000 | 557,997 | |
California State GO Unlimited Bonds, 4.25%, 9/01/52 | 125,000 | 126,020 | |
California State Health Facilities Financing Authority Revenue Bonds, Episcopal Communities & Services, 5.00%, 11/15/30 | 200,000 | 216,095 | |
California State Infrastructure & Economic Development Bank National Charter Equitable School Revolving Fund Revenue Bonds, 5.00%, 11/01/57 | 100,000 | 103,054 | |
California State Infrastructure & Economic Development Bank Revenue Refunding Bonds, Los Angeles County Museum of Natural History Foundation, 3.00%, 7/01/50 | 1,250,000 | 941,162 | |
California State Municipal Finance Authority Refunding COPS, Series A, Palomar Health (AGM Insured), 5.25%, 11/01/52 | 110,000 | 116,367 |
Par | Value | ||
California (Continued) | |||
California State Municipal Finance Authority Revenue Bonds, Charter School John Adams Academies-Lincoln Project, 5.00%, 10/01/57(d) | $ 330,000 | $ 298,814 | |
California State Municipal Finance Authority Revenue Refunding Bonds, Series A, Eisenhower Medical Center, 5.00%, 7/01/25 | 650,000 | 654,465 | |
California State Municipal Finance Authority Senior Living Revenue Refunding Bonds, Mt. San Antonio Gardens Project, 5.00%, 11/15/39 | 300,000 | 298,712 | |
California State Municipal Finance Authority Student Housing Revenue Bonds, CHF-Davis I, LLC-West Village, 5.00%, 5/15/36 | 1,130,000 | 1,181,482 | |
California State Municipal Finance Authority Student Housing Revenue Bonds, Series A-P3, Claremont Colleges Project, 5.00%, 7/01/30(d) | 320,000 | 321,555 | |
California State Municipal Finance Authority Student Housing Revenue Bonds, UCR North District Phase 1 (BAM Insured), 5.00%, 5/15/28 | 500,000 | 529,046 | |
California State Pollution Control Financing Authority Solid Waste Disposal Revenue Refunding Bonds, Series A1 (AMT), Waste Management, Inc., 3.38%, 7/01/25 | 1,500,000 | 1,493,769 | |
California State School Finance Authority Charter School Revenue Bonds, Series A, John Adams Academies, 5.00%, 7/01/52(d) | 520,000 | 481,454 | |
California Statewide Communities Development Authority Revenue Bonds, Lancer Educational Standard Housing Project, 5.00%, 6/01/34(d) | 375,000 | 385,474 |
Par | Value | ||
California (Continued) | |||
California Statewide Communities Development Authority Revenue Bonds, Loma Linda University Medical, 5.50%, 12/01/58(d) | $500,000 | $509,174 | |
California Statewide Communities Development Authority Revenue Bonds, Series A, Enloe Medical Center (AGM Insured), 5.25%, 8/15/52 | 450,000 | 478,043 | |
California Statewide Communities Development Authority Revenue Bonds, Series A, Loma Linda University Medical Center, 5.25%, 12/01/56(d) | 250,000 | 251,128 | |
California Statewide Communities Development Authority Special Assessment Bonds, Statewide Community Infrastructure Program, | |||
5.00%, 9/02/34 | 100,000 | 107,007 | |
5.25%, 9/02/43 | 200,000 | 200,366 | |
California Tobacco Securitization Agency Tobacco Settlement Senior Revenue Refunding Bonds, Series A, 4.00%, 6/01/40 | 300,000 | 301,201 | |
Cathedral City Redevelopment Agency Successor Agency Tax Allocation Revenue Refunding Bonds, Merged Redevelopment Project Area (BAM Insured), 4.00%, 8/01/26 | 250,000 | 251,675 | |
Compton Community Redevelopment Agency Successor Agency Tax Allocation Revenue Refunding Bonds, Series A (AGM Insured), 5.00%, 8/01/42 | 250,000 | 269,019 | |
CSCDA Community Improvement Authority Essential Housing Mezzanine Lien Revenue Bonds, City of Orange, 4.00%, 3/01/57(d) | 200,000 | 143,557 |
Par | Value | ||
California (Continued) | |||
Foothill Eastern Transportation Corridor Agency Toll Road Junior Lien Revenue Bonds, Series C, 5.00%, 1/15/26 | $ 200,000 | $202,587 | |
Foothill Eastern Transportation Corridor Agency Toll Road Junior Lien Revenue Refunding Bonds, Series C, 4.00%, 1/15/43 | 250,000 | 242,229 | |
Lodi Unified School District GO Unlimited Bonds, 3.00%, 8/01/46 | 400,000 | 317,070 | |
Los Angeles Department of Airports Airport Subordinate Revenue Bonds (AMT), Los Angeles International Airport, 5.00%, 5/15/34 | 510,000 | 521,707 | |
Los Angeles Department of Airports Subordinate Revenue Bonds, Series A (AMT), Private Activity, 4.00%, 5/15/41 | 1,000,000 | 979,546 | |
Los Angeles Department of Airports Subordinate Revenue Refunding Bonds (AMT), 5.00%, 5/15/43 | 500,000 | 514,036 | |
Newman-Crows Landing Unified School District GO Unlimited CABS, 0.00%, 8/01/25(e) | 250,000 | 238,269 | |
Orange County Community Facilities District No. 2023-1 Special Tax Bonds, Rienda Phase 2B, 5.50%, 8/15/53 | 500,000 | 508,550 | |
Pittsburg Public Financing Authority Water Revenue Bonds, Series A (AGM Insured), 4.13%, 8/01/47 | 250,000 | 252,285 | |
Port of Oakland Intermediate Lien Revenue Refunding Bonds (AMT), 5.00%, 11/01/29 | 250,000 | 267,796 | |
Riverside County Redevelopment Successor Agency Tax Allocation Revenue Refunding Bonds, Series B (AGM Insured), 4.00%, 10/01/37 | 400,000 | 390,606 | |
Rocklin Community Facilities District No. 10 Special Tax Bonds, 5.00%, 9/01/34 | 150,000 | 153,329 |
Par | Value | ||
California (Continued) | |||
Sacramento Railyards Community Facilities District No. 2018 Special Tax Bonds, 5.25%, 9/01/47(d) | $550,000 | $ 554,944 | |
San Diego County Regional Airport Authority Subordinate Revenue Refunding Bonds, Series B (AMT), 5.00%, 7/01/39 | 525,000 | 545,292 | |
San Francisco Bay Area Rapid Transit District Sustainable GO Unlimited Bonds, Series C-1, 4.00%, 8/01/45 | 200,000 | 196,959 | |
San Francisco City & County Airports Commission International Airport Revenue Bonds, Series A (AMT), 5.00%, 5/01/44 | 250,000 | 256,743 | |
San Mateo Foster City School District GO Unlimited Bonds, Series B, 4.00%, 8/01/48 | 500,000 | 501,775 | |
Susanville Natural Gas Revenue Refunding Bonds, Natural Gas Enterprise (AGM Insured), 3.00%, 6/01/26 | 595,000 | 587,453 | |
Tobacco Securitization Authority of Southern California Tobacco Settlement Revenue Refunding Bonds, San Diego Asset Securities, 5.00%, 6/01/35 | 100,000 | 107,873 | |
Washington Township Health Care District 2020 Election GO Unlimited Bonds, Series B, 5.50%, 8/01/53 | 750,000 | 827,201 | |
21,545,593 | |||
Colorado – 4.2% | |||
Aurora Crossroads Metropolitan District No. 2 Senior Lien GO Limited Bonds, Series A, 5.00%, 12/01/40 | 500,000 | 475,056 | |
Boulder Valley School District No. RE-2 GO Unlimited Bonds (State Aid Withholding), 4.13%, 12/01/46 | 660,000 | 658,954 |
Par | Value | ||
Colorado (Continued) | |||
Colorado Educational & Cultural Authority Revenue Refunding Bonds, Ascent Classical Academy, 5.75%, 4/01/59(d) | $ 100,000 | $ 99,095 | |
Colorado Educational & Cultural Authority Revenue Refunding Bonds, Prospect Ridge Academy Project (Moral Obligation Insured), | |||
5.00%, 3/15/26 | 510,000 | 519,539 | |
5.00%, 3/15/29 | 590,000 | 623,065 | |
5.00%, 3/15/30 | 310,000 | 330,331 | |
5.00%, 3/15/35 | 590,000 | 624,089 | |
Colorado High Performance Transportation Enterprise Revenue Bonds, C-470 Express Lane, 5.00%, 12/31/56 | 1,000,000 | 1,000,773 | |
Colorado Science and Technology Park Metropolitan District No. 1 Revenue Refunding Bonds, Series A (AGM Insured), 4.25%, 12/01/44 | 250,000 | 246,644 | |
Colorado State COPS, | |||
6.00%, 12/15/40 | 1,000,000 | 1,180,461 | |
6.00%, 12/15/41 | 500,000 | 587,830 | |
Colorado State COPS, Series A, | |||
4.00%, 12/15/35 | 1,250,000 | 1,286,955 | |
4.00%, 12/15/36 | 200,000 | 204,980 | |
Colorado State Health Facilities Authority Revenue Bonds, Commonspirit Health, Series B-2, 5.00%, 8/01/26(a)(b)(c) | 615,000 | 626,693 | |
Colorado State Health Facilities Authority Revenue Refunding Bonds, Parkview Medical Center, Inc., Project, Series B, 5.00%, 9/01/25(f) | 1,000,000 | 1,018,921 | |
Colorado State Health Facilities Authority Revenue Refunding Bonds, Series 2019-A, AdventHealth Obligated Group, 4.00%, 11/15/43 | 500,000 | 488,446 |
Par | Value | ||
Colorado (Continued) | |||
Colorado State Health Facilities Authority Revenue Refunding Bonds, Series A, Sanford Health, 4.00%, 11/01/39 | $200,000 | $ 193,504 | |
Denver City & County Airport Revenue Refunding Bonds, Series D (AMT), 5.75%, 11/15/41 | 325,000 | 366,815 | |
Denver City & County Airport System Subordinate Revenue Refunding Bonds, Series A (AMT), 5.25%, 12/01/43 | 500,000 | 515,922 | |
Denver Convention Center Hotel Authority Senior Revenue Refunding Bonds, | |||
5.00%, 12/01/36 | 500,000 | 507,243 | |
5.00%, 12/01/40 | 250,000 | 251,496 | |
Denver Health & Hospital Authority Healthcare Revenue Bonds, Series A, 4.00%, 12/01/27 | 180,000 | 178,901 | |
Midtown Clear Creek Metropolitan District Refunding GO Limited Bonds, Series A (BAM Insured), 5.00%, 12/01/53 | 845,000 | 870,759 | |
Park Creek Metropolitan District Revenue Refunding Bonds, Series A (NATL, IBC Insured), 5.00%, 12/01/45 | 500,000 | 497,479 | |
Public Authority for Colorado State Energy Natural Gas Purchase Revenue Bonds, 6.50%, 11/15/38 | 250,000 | 301,636 | |
13,655,587 | |||
Connecticut – 0.7% | |||
Connecticut State Health & Educational Facilities Authority Revenue Bonds, Series K, Sacred Heart University, 5.00%, 7/01/27 | 400,000 | 416,428 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Forward Delivery, Stamford Hospital Issue, 4.00%, 7/01/42 | 250,000 | 226,995 |
Par | Value | ||
Connecticut (Continued) | |||
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series F, Masonicare Issue, 5.00%, 7/01/27 | $220,000 | $ 220,835 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, University of Hartford, | |||
5.00%, 7/01/25 | 260,000 | 258,518 | |
5.00%, 7/01/31 | 500,000 | 497,172 | |
4.00%, 7/01/39 | 120,000 | 97,842 | |
4.00%, 7/01/49 | 100,000 | 72,643 | |
Hamden Revenue Refunding Bonds, Whitney Center Project, 5.00%, 1/01/40 | 125,000 | 117,236 | |
West Haven City GO Unlimited Bonds (BAM Insured), 5.00%, 2/15/27 | 255,000 | 264,303 | |
2,171,972 | |||
Delaware – 0.1% | |||
Bridgeville Special Tax Obligation Bonds, Heritage Shores Special Development, 5.25%, 7/01/44(d)(g) | 100,000 | 103,055 | |
Kent County Student Housing & Dining Facilities Revenue Bonds, CHF-Dover LLC-Delaware State University Project, | |||
5.00%, 7/01/32 | 250,000 | 255,434 | |
5.00%, 7/01/48 | 100,000 | 98,887 | |
457,376 | |||
District of Columbia – 1.4% | |||
District of Columbia Hospital Revenue Refunding Bonds, Children's Hospital, 5.00%, 7/15/44 | 300,000 | 302,992 | |
District of Columbia Income Tax Secured Revenue Bonds, Series A, 5.25%, 5/01/48 | 500,000 | 548,006 | |
District of Columbia Revenue Bonds, Ingleside Rock Creek Project, 5.00%, 7/01/52 | 400,000 | 354,812 | |
District of Columbia Revenue Bonds, KIPP DC Project, 4.00%, 7/01/39 | 100,000 | 94,455 |
Par | Value | ||
District of Columbia (Continued) | |||
Metropolitan Washington Airports Authority Airport System Revenue Refunding Bonds, Series A (AMT), 5.25%, 10/01/48 | $1,000,000 | $1,057,720 | |
Metropolitan Washington Airports Authority Dulles Toll Road Revenue Refunding Bonds, Dulles Metrorail & Capital (AGM Insured), 4.00%, 10/01/52 | 280,000 | 263,622 | |
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 | 354,906 | |
Metropolitan Washington Airports Authority System Revenue Refunding Bonds, Series A (AMT), 5.00%, 10/01/46 | 500,000 | 518,528 | |
Washington Metropolitan Area Transit Authority Dedicated Revenue Bonds, Series A, Green Bonds, 5.50%, 7/15/51 | 525,000 | 580,310 | |
Washington Metropolitan Area Transit Authority Dedicated Revenue Bonds, Sustainability Financed, 5.25%, 7/15/53 | 450,000 | 486,356 | |
4,561,707 | |||
Florida – 4.2% | |||
Alachua County Health Facilities Authority Revenue Bonds, Shands Teaching Hospital & Clinics, 5.00%, 12/01/44 | 500,000 | 488,746 | |
Broward County Airport System Revenue Bonds, Series A (AMT), 5.00%, 10/01/36 | 750,000 | 790,412 | |
Florida State Development Finance Corp., Solid Waste Disposal Variable Revenue Bonds, Waste Pro USA, Inc. (AMT), 6.13%, 7/01/26(a)(b)(c)(d) | 200,000 | 204,054 | |
Florida State Municipal Power Agency Revenue Refunding Bonds, Series A, 5.00%, 10/01/31 | 300,000 | 308,243 |
Par | Value | ||
Florida (Continued) | |||
Greater Orlando Aviation Authority Airport Facilities Revenue Bonds, Series A (AMT), 5.00%, 10/01/40 | $ 500,000 | $ 503,302 | |
JEA Electric System Revenue Refunding Bonds, Series Three A, 4.00%, 10/01/37 | 1,395,000 | 1,396,467 | |
Lakeland Hospital System Revenue Refunding Bonds, Lakeland Regional Health Systems, 5.00%, 11/15/26 | 425,000 | 438,025 | |
Lakewood Ranch Stewardship District Utility Revenue Bonds, System Acquisition Project (AGM Insured), 5.25%, 10/01/48 | 350,000 | 372,958 | |
Lee County IDA Healthcare Facilities Revenue Bonds, Shell Point/Waterside Health Project, 5.00%, 11/15/39 | 300,000 | 302,881 | |
Lee County Local Optional Gas TRB, 5.25%, 8/01/49 | 355,000 | 372,895 | |
Leon County School District Sales TRB, 4.00%, 9/01/26 | 800,000 | 800,264 | |
Miami-Dade County Aviation Revenue Bonds, Series A (AMT), 5.00%, 10/01/49 | 500,000 | 505,125 | |
Miami-Dade County Aviation Revenue Refunding Bonds, Series A (AMT), 5.00%, 10/01/33 | 500,000 | 500,971 | |
Miami-Dade County Educational Facilities Authority Revenue Refunding Bonds, Series A, University of Miami, 5.00%, 4/01/30 | 250,000 | 252,348 | |
Miami-Dade County Expressway Authority Toll System Revenue Bonds, Series A, 5.00%, 7/01/28 | 250,000 | 250,290 | |
Miami-Dade County GO Unlimited Bonds, Public Health Trust Program, 4.00%, 7/01/42 | 250,000 | 246,068 | |
Miami-Dade County Seaport Revenue Refunding Bonds, Series A (AMT), Senior Bonds, 5.25%, 10/01/52 | 500,000 | 523,805 |
Par | Value | ||
Florida (Continued) | |||
Miami-Dade County Seaport Subordinate Revenue Refunding Bonds, Subseries B-1 (AMT), 4.00%, 10/01/46 | $500,000 | $453,252 | |
Miami-Dade County, Florida Aviation Revenue Refunding Bonds, Series A (AMT), 5.00%, 10/01/34 | 290,000 | 290,546 | |
Osceola County Florida Transportation Revenue Refunding CABS, Series A-2, | |||
0.00%, 10/01/25(e) | 125,000 | 117,066 | |
0.00%, 10/01/26(e) | 275,000 | 246,425 | |
0.00%, 10/01/27(e) | 360,000 | 309,174 | |
Polk County Utility System Revenue Refunding Bonds, 4.00%, 10/01/43 | 400,000 | 392,546 | |
Saint John County School Board COPS, Series A (AGM Insured), 5.25%, 7/01/46 | 500,000 | 544,374 | |
Sarasota County Public Hospital District Revenue Bonds, Sarasota Memorial Hospital Project, 5.00%, 7/01/52 | 250,000 | 257,828 | |
South Broward Hospital District Revenue Refunding Bonds, Series A, 4.00%, 5/01/44 | 500,000 | 470,875 | |
Tampa Health System Revenue Bonds, Series A, Baycare, 4.00%, 11/15/46 | 415,000 | 385,077 | |
Tampa Hospital Revenue Bonds, H. Lee Moffitt Cancer Center, | |||
5.00%, 7/01/25 | 150,000 | 151,665 | |
5.00%, 7/01/26 | 125,000 | 127,910 | |
5.00%, 7/01/27 | 125,000 | 129,717 | |
Village Community Development District No. 14 Special Assessment Revenue Bonds, 5.50%, 5/01/53 | 240,000 | 247,987 | |
Volusia County Educational Facilities Authority Revenue Refunding Bonds, Embry-Riddle Aeronautical, 5.00%, 10/15/44 | 500,000 | 518,487 |
Par | Value | ||
Florida (Continued) | |||
Wildwood Utility Dependent District Senior Lien Revenue Bonds, South Sumter Utility Project (BAM Insured), 5.00%, 10/01/41 | $465,000 | $ 494,367 | |
Wildwood Utility Dependent District Subordinate Revenue Bonds, South Sumter Utility Project (BAM Insured), 5.00%, 10/01/36 | 400,000 | 438,404 | |
13,832,554 | |||
Georgia – 3.0% | |||
Atlanta Airport Passenger Facility Charge Subordinate Revenue Bonds, Series C, 5.00%, 7/01/40 | 365,000 | 400,319 | |
Atlanta Development Authority Senior Lien Revenue Bonds, Series A-1, 5.00%, 7/01/30 | 200,000 | 203,410 | |
Bartow County Development Authority Revenue Refunding Bonds, Georgia Power Company Plant Bowen Project, 1.80%, 9/01/29(b)(c) | 250,000 | 211,100 | |
Burke County Development Authority Pollution Control Variable Revenue Refunding Bonds, Georgia Power Company Plant Vogtle Project, 3.38%, 3/12/27(a)(b)(c) | 575,000 | 567,087 | |
City of Atlanta Airport Passenger Facility Charge Subordinate Lien Green Revenue Bonds (AMT), 5.25%, 7/01/41 | 500,000 | 545,174 | |
Fulton County Development Authority Transportation Corp., Toll Revenue Refunding Bonds, Robert W. Woodruff Arts Center, Inc., Project, 5.00%, 3/15/32 | 200,000 | 212,951 | |
Gainesville & Hall County Hospital Authority Revenue Refunding Bonds, Northeast Georgia Health System, Inc., Project, 5.00%, 2/15/37 | 500,000 | 514,300 |
Par | Value | ||
Georgia (Continued) | |||
Geo L. Smith II Congress Authority Convention Center Hotel Revenue Bonds, 4.00%, 1/01/36 | $ 500,000 | $ 494,251 | |
Geo L. Smith II Congress Center Authority Convention Center Hotel First Tier Revenue Bonds, 4.00%, 1/01/54 | 250,000 | 212,827 | |
Georgia State GO Unlimited Bonds, Bidding Group 2, Series A, 4.00%, 7/01/42 | 1,000,000 | 1,011,265 | |
Glynn-Brunswick Memorial Hospital Authority Revenue Refunding Anticipation Certificates Bonds, Southeast Georgia Health System, 5.00%, 8/01/34 | 530,000 | 533,489 | |
Griffin-Spalding County Hospital Authority Revenue Anticipation Certificates Bonds, Wellstar, 5.00%, 4/01/35 | 150,000 | 155,472 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series 2024-B, 5.00%, 3/01/32(a)(b)(c) | 750,000 | 791,056 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series A, | |||
4.00%, 9/01/27(a)(b)(c) | 1,125,000 | 1,123,126 | |
5.00%, 9/01/31(a)(b)(c) | 250,000 | 264,712 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series B, | |||
5.00%, 6/01/29(a)(b)(c) | 700,000 | 726,898 | |
5.00%, 3/01/30(a)(b)(c) | 335,000 | 351,674 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series C, 4.00%, 11/01/27(a)(b)(c)(d) | 350,000 | 339,741 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series D, 5.00%, 12/01/30(a)(b)(c) | 250,000 | 258,841 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series E-1, 5.00%, 6/01/31(a)(b)(c) | 150,000 | 158,401 |
Par | Value | ||
Georgia (Continued) | |||
Municipal Electric Authority of Georgia Power Revenue Refunding Bonds, Series HH, 5.00%, 1/01/29 | $500,000 | $ 525,668 | |
Municipal Electric Authority of Georgia Revenue Bonds, Plant Vogtle Units 3&4 Project (AGM Insured), 5.00%, 7/01/55 | 250,000 | 258,464 | |
9,860,226 | |||
Guam – 0.1% | |||
Guam Government Business Privilege Tax Revenue Refunding Bonds, Series F, 4.00%, 1/01/42 | 250,000 | 229,088 | |
Hawaii – 0.0%(h) | |||
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 | 137,637 | |
Idaho – 0.2% | |||
Idaho Housing and Finance Association Single Family Mortgage Revenue Bonds, Series A (GNMA, FNMA, FHLMC Insured), 6.00%, 7/01/54 | 500,000 | 546,512 | |
Illinois – 7.0% | |||
Chicago Board of Education GO Unlimited Bonds, Series A, | |||
5.00%, 12/01/38 | 500,000 | 510,857 | |
5.00%, 12/01/42 | 250,000 | 247,861 | |
Chicago Board of Education GO Unlimited Bonds, Series D, 5.00%, 12/01/46 | 350,000 | 343,024 | |
Chicago Board of Education GO Unlimited Refunding Bonds, Dedicated, Series D, 5.00%, 12/01/31 | 750,000 | 763,736 | |
Chicago City Colleges Capital Appreciation GO Unlimited Bonds (NATL Insured), 0.00%, 1/01/30(e) | 750,000 | 593,569 |
Par | Value | ||
Illinois (Continued) | |||
Chicago GO Unlimited Bonds, Series A, 5.50%, 1/01/49 | $100,000 | $103,103 | |
Chicago GO Unlimited Bonds, Series A, Chicago Works, 5.50%, 1/01/39 | 250,000 | 271,391 | |
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 | 490,337 | |
Chicago O'Hare International Airport Passenger Facility Charge Revenue Refunding Bonds (AMT), 5.00%, 1/01/32 | 500,000 | 500,249 | |
Chicago O'Hare International Airport Senior Lien General Revenue Bonds, Series D (AMT), 5.00%, 1/01/26 | 140,000 | 142,303 | |
Chicago O'Hare International Airport Senior Lien Revenue Refunding Bonds (AMT), 5.00%, 1/01/28 | 680,000 | 707,356 | |
Chicago O'Hare International Airport Senior Lien Revenue Refunding Bonds, Series A (AMT), 5.00%, 1/01/31 | 250,000 | 263,818 | |
Chicago Special Assessment Refunding Bonds, Lakeshore East Project, 2.87%, 12/01/27(d) | 254,000 | 237,712 | |
Chicago Transit Authority Sales Tax Receipts Revenue Bonds, 5.25%, 12/01/49 | 495,000 | 496,242 | |
Chicago Wastewater Transmission Second Lien Revenue Bonds, 5.00%, 1/01/39 | 550,000 | 551,107 | |
City of Chicago GO Unlimited Refunding Bonds, Series A, 5.00%, 1/01/27 | 250,000 | 257,520 | |
City of Chicago O'Hare International Airport Senior Lien Revenue Refunding Bonds, Customer Facility (BAM Insured), 5.00%, 1/01/28 | 220,000 | 230,839 |
Par | Value | ||
Illinois (Continued) | |||
Cook County Community College District No. 508 GO Unlimited Refunding Bonds, City Colleges of Chicago (BAM Insured), 5.00%, 12/01/42 | $250,000 | $264,381 | |
Illinois State Finance Authority Revenue Bonds, Series A, The University of Chicago, 5.25%, 5/15/48 | 100,000 | 107,744 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, 4.00%, 7/15/39 | 250,000 | 249,098 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, Bradley University Project, 4.00%, 8/01/43 | 250,000 | 224,400 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, Lutheran Communities, 5.00%, 11/01/40 | 350,000 | 285,394 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, The Carle Foundation, 5.00%, 2/15/45 | 250,000 | 252,284 | |
Illinois State Finance Authority Variable Revenue Bonds, Series B-2, 5.00%, 11/15/26(a)(b)(c) | 925,000 | 945,140 | |
Illinois State GO Unlimited Bonds, | |||
5.50%, 5/01/25 | 845,000 | 858,150 | |
5.00%, 5/01/30 | 350,000 | 350,311 | |
Illinois State GO Unlimited Bonds, Series B, | |||
5.00%, 10/01/31 | 250,000 | 271,062 | |
5.50%, 5/01/47 | 100,000 | 106,851 | |
Illinois State GO Unlimited Refunding Bonds, Series A, 5.00%, 10/01/25 | 110,000 | 111,755 | |
Illinois State GO Unlimited Refunding Bonds, Series B, 5.00%, 10/01/28 | 250,000 | 264,519 | |
Illinois State HDA MFH Variable Revenue Bonds, 6900 Crandon (FHA Insured, Housing & Urban Development Sector 8 Program), 5.00%, 2/01/26(a)(b)(c) | 400,000 | 404,763 |
Par | Value | ||
Illinois (Continued) | |||
Illinois State HDA MFH Variable Revenue Bonds, South Shore HHDC (Housing & Urban Development Sector 8 Program), 5.00%, 2/01/26(a)(b)(c) | $670,000 | $677,978 | |
Illinois State HDA Revenue Refunding Bonds, Series H, Social Bonds (GNMA, FNMA, FHLMC Insured), 5.75%, 10/01/53 | 245,000 | 259,128 | |
Illinois State Housing Development Authority MFH Variable Revenue Bonds, Marshall Field Garden (FNMA LOC), (SIFMA Municipal Swap Index Yield + 1.00%), 4.65%, 5/15/25(a)(c) | 500,000 | 499,888 | |
Illinois State Sales Tax Revenue Refunding Bonds, Subseries D (BAM, TCRS Insured), 3.00%, 6/15/31 | 390,000 | 368,773 | |
Illinois State Sports Facilities Authority State Tax Supported Revenue CABS (AMBAC Insured), 0.00%, 6/15/25(e) | 95,000 | 90,306 | |
Illinois State Sports Facilities Authority State Tax Supported Revenue Refunding Bonds (AGM Insured), 5.00%, 6/15/27 | 400,000 | 399,657 | |
Illinois State Toll Highway Authority Revenue Bonds, Series A, | |||
5.00%, 1/01/46 | 750,000 | 790,710 | |
4.00%, 1/01/46 | 250,000 | 238,652 | |
Illinois State Toll Highway Authority Senior Revenue Bonds, Series A, | |||
5.00%, 1/01/40 | 500,000 | 546,814 | |
5.00%, 1/01/45 | 250,000 | 263,898 | |
Macoupin Country Community Unit School District No. 7 GO Unlimited Refunding Bonds, Series D (AGM Insured), 4.00%, 12/01/26 | 250,000 | 251,734 |
Par | Value | ||
Illinois (Continued) | |||
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 | $230,721 | |
Metropolitan Pier & Exposition Authority Revenue Refunding Bonds, McCormick Place Expansion, | |||
4.00%, 12/15/42 | 375,000 | 357,803 | |
4.00%, 6/15/52 | 245,000 | 214,829 | |
Metropolitan Pier & Exposition Authority Revenue Refunding Bonds, McCormick Place Expansion Project, | |||
5.00%, 6/15/42 | 500,000 | 521,067 | |
5.00%, 6/15/50 | 500,000 | 509,994 | |
Metropolitan Pier & Exposition Authority Revenue Refunding CABS, McCormick Place Expansion, 0.00%, 12/15/35(e) | 150,000 | 92,326 | |
Northern Illinois University Board of Trustees Auxiliary Facilities System Revenue Bonds (BAM Insured), 5.00%, 10/01/27 | 350,000 | 362,506 | |
Northern University Board of Trustees Revenue Bonds, Auxiliary Facilities System (BAM Insured), | |||
5.00%, 10/01/25 | 325,000 | 329,358 | |
5.00%, 10/01/26 | 250,000 | 255,730 | |
Peoria County School District No. 150 GO Unlimited Refunding Bonds, Series A (AGM Insured), 4.00%, 12/01/26 | 390,000 | 395,660 | |
Regional Transportation Authority Revenue Bonds, Series B (NATL Insured), 5.50%, 6/01/27 | 350,000 | 362,712 | |
Sales Tax Securitization Corp., Second Lien Revenue Refunding Bonds, Series A, 4.00%, 1/01/38 | 250,000 | 245,492 |
Par | Value | ||
Illinois (Continued) | |||
Sangamon Logan & Menard Counties Community Unit School District No. 15 GO Unlimited Bonds, Series B (BAM Insured), | |||
5.00%, 12/01/25 | $300,000 | $ 305,089 | |
4.00%, 12/01/39 | 250,000 | 241,009 | |
Springfield Illinois Electric Senior Lien Revenue Refunding Bonds, 5.00%, 3/01/29 | 590,000 | 595,359 | |
Waukegan City Lake County Water & Sewer System Revenue Refunding Bonds (AGM Insured), | |||
5.00%, 12/30/26 | 200,000 | 208,103 | |
4.00%, 12/30/38 | 500,000 | 498,140 | |
4.00%, 12/30/40 | 500,000 | 489,896 | |
Waukegan GO Unlimited Bonds, Series A (AGM Insured), 5.00%, 12/30/32 | 250,000 | 250,852 | |
Will County Community High School District No. 210 Lincoln-Way Refunding GO Unlimited Refunding Bonds (AGM Insured), 4.00%, 1/01/34 | 650,000 | 649,833 | |
22,910,893 | |||
Indiana – 1.6% | |||
Fort Wayne Redevelopment Authority Lease Rental Revenue Refunding Bonds, Grand Wayne Center Project (State Intercept Program), 4.00%, 2/01/26 | 760,000 | 765,930 | |
Indiana Bond Bank Revenue CABS, Hamilton Co., Projects, | |||
0.00%, 7/15/25(e) | 450,000 | 427,738 | |
0.00%, 7/15/28(e) | 900,000 | 759,352 | |
0.00%, 1/15/29(e) | 560,000 | 462,678 | |
Indiana Finance Authority Educational Facilities Revenue Refunding Bonds, Series A, Depauw University Project, 5.50%, 7/01/52 | 255,000 | 260,996 |
Par | Value | ||
Indiana (Continued) | |||
Indiana State Finance Authority Variable Revenue Refunding Bonds, Deaconess Health System, (SIFMA Municipal Swap Index Yield + 0.30%), 3.95%, 3/01/27(a)(c) | $1,325,000 | $1,304,178 | |
Knox Middle School Building Corp., Revenue Bonds (State Intercept Program), 5.00%, 1/15/27 | 440,000 | 458,085 | |
Tippecanoe County School Building Corp., Revenue Bonds, Series B (State Intercept Program), 5.00%, 7/15/29 | 195,000 | 211,277 | |
Valparaiso Exempt Facilities Revenue Refunding Bonds (AMT), Pratt Paper LLC, 5.00%, 1/01/54(d)(g) | 250,000 | 253,038 | |
Whiting Environmental Facilities Revenue Refunding Bonds (AMT), BP Products North America, 5.00%, 6/05/26(a)(b)(c) | 440,000 | 447,314 | |
5,350,586 | |||
Kansas – 0.5% | |||
City of Valley Center GO Unlimited Temporary Notes, Series 1, 4.38%, 12/01/25 | 500,000 | 500,059 | |
Dodge City GO Unlimited Temporary Notes, Series 2023-1, 4.13%, 9/01/25 | 1,000,000 | 1,001,004 | |
1,501,063 | |||
Kentucky – 1.8% | |||
Fayette County School District Finance Corp., Revenue Bonds, Series A (State Intercept Program), 4.00%, 5/01/38 | 250,000 | 245,251 | |
Kenton County Airport Board Revenue Refunding Bonds, 5.00%, 1/01/32 | 400,000 | 409,011 | |
Kentucky Bond Development Corp., Educational Facilities Revenue Refunding Bonds, Transylvania University Project, 5.00%, 3/01/27 | 155,000 | 159,972 |
Par | Value | ||
Kentucky (Continued) | |||
Kentucky State Economic Development Finance Authority Revenue Bonds, Owensboro Health, 5.25%, 6/01/50 | $ 250,000 | $ 243,025 | |
Kentucky State Economic Development Finance Authority Revenue Refunding Bonds, Masonic Home Independent Living, | |||
5.00%, 5/15/36 | 200,000 | 171,612 | |
5.00%, 5/15/46 | 100,000 | 75,334 | |
Kentucky State Economic Development Finance Authority Revenue Refunding Bonds, Series B, Owensboro Health, 5.00%, 6/01/40 | 300,000 | 301,831 | |
Kentucky State Interlocal School Transportation Association Equipment Lease COPS (State Intercept Program), 4.00%, 3/01/29 | 310,000 | 312,333 | |
Kentucky State Public Energy Authority Gas Supply Revenue Bonds, Series A-1, 4.00%, 6/01/25(a)(b)(c) | 500,000 | 499,871 | |
Kentucky State Public Energy Authority Gas Supply Revenue Refunding Bonds, Series A-1, 5.25%, 2/01/32(a)(b)(c) | 775,000 | 819,074 | |
Louisville & Jefferson County Metro Government PCR Refunding Bonds (AMT), Louisville Gas & Electric, 1.35%, 11/01/27 | 1,500,000 | 1,340,485 | |
Owen County Water Facilities Variable Revenue Refunding Bonds, American Water Company Project, 3.88%, 9/01/28(a)(b)(c) | 500,000 | 497,531 | |
Rural Water Financing Agency Public Project Revenue Bonds, Public Project Construction, 3.70%, 5/01/27(g) | 1,000,000 | 998,763 | |
6,074,093 |
Par | Value | ||
Louisiana – 1.4% | |||
East Baton Rouge Parish Sewerage Commission Variable Revenue Refunding Bonds, Series A, 1.30%, 2/01/28(a)(b)(c) | $500,000 | $437,295 | |
Louisiana Public Facilities Authority Revenue Refunding Bonds, Loyola University Project, | |||
5.00%, 10/01/25 | 250,000 | 252,826 | |
5.00%, 10/01/26 | 215,000 | 220,626 | |
Louisiana State Local Government Environmental Facilities & Community Development Authority Subordinate Revenue Refunding Bonds, East Baton Rouge, 5.00%, 2/01/27 | 400,000 | 413,693 | |
Louisiana State Offshore Terminal Authority Deepwater Port Variable Revenue Refunding bonds, Series C, Loop LLC Project, 4.20%, 9/01/28(a)(b)(c) | 300,000 | 303,020 | |
Louisiana State Public Facilities Authority Revenue Refunding Bonds, Ochsner Clinic Foundation Project, 5.00%, 5/15/26 | 400,000 | 404,797 | |
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 | 212,930 | |
New Orleans Aviation Board Revenue Bonds, Series B (AMT), 5.00%, 1/01/30 | 520,000 | 522,075 | |
Saint James Parish Variable Revenue Bonds, Nustar Logistics, 5.85%, 6/01/25(a)(b)(c)(d) | 525,000 | 532,642 |
Par | Value | ||
Louisiana (Continued) | |||
Saint John The Baptist Parish Revenue Refunding Bonds, Marathon Oil Corp., Project, 4.05%, 7/01/26(a)(b)(c) | $1,250,000 | $1,236,942 | |
Saint John The Baptist Parish Variable Revenue Refunding Bonds, Marathon Oil Corp., Project, 2.38%, 7/01/26(a)(b)(c) | 125,000 | 119,429 | |
4,656,275 | |||
Maine – 0.3% | |||
Maine Health & Higher Educational Facilities Authority Revenue Bonds, Series A, 5.00%, 7/01/27 | 215,000 | 223,243 | |
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(f) | 30,000 | 31,462 | |
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 | 643,773 | |
898,478 | |||
Maryland – 2.8% | |||
Baltimore Convention Center Hotel Revenue Refunding Bonds, Convention Center Hotel, 5.00%, 9/01/39 | 500,000 | 479,375 | |
Baltimore County GO Unlimited Bonds, 4.00%, 3/01/42 | 1,000,000 | 984,665 | |
Maryland State Community Development Administration Department Housing & Community Development Revenue Bonds, Social Bonds (GNMA, FNMA, FHLMC Insured), 5.05%, 3/01/47 | 500,000 | 503,028 |
Par | Value | ||
Maryland (Continued) | |||
Maryland State Department of Transportation Revenue Bonds (AMT), Baltimore Washington International, 4.00%, 8/01/37 | $ 270,000 | $ 265,706 | |
Maryland State Economic Development Corp., Private Activity Revenue Bonds (AMT), Purple Line Light Rail Project, Green Bonds, | |||
5.00%, 11/12/28 | 500,000 | 508,140 | |
5.25%, 6/30/55 | 1,000,000 | 1,023,078 | |
Maryland State Economic Development Corp., Revenue Bonds (AMT), Seagirt Marine Terminal Projects, 5.00%, 6/01/44 | 500,000 | 510,256 | |
Maryland State Economic Development Corp., Senior Lien Revenue Bonds, Annapolis Mobility & Resilience, 5.00%, 12/31/42 | 145,000 | 151,287 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Adventist Healthcare Obligated, 5.50%, 1/01/31 | 400,000 | 414,176 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Peninsula Regional Health System, 5.00%, 7/01/27 | 1,320,000 | 1,365,420 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Adventist Healthcare, 4.00%, 1/01/26 | 875,000 | 867,018 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A, Broadmead Issue, 4.00%, 7/01/35 | 285,000 | 284,225 |
Par | Value | ||
Maryland (Continued) | |||
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A, Mercy Medical Center, 4.00%, 7/01/42 | $ 120,000 | $ 107,607 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Stevenson University Project, 4.00%, 6/01/51 | 500,000 | 426,733 | |
Maryland State Health & Higher Educational Facilities Authority Variable Revenue Refunding Bonds, University of Maryland, 5.00%, 7/01/27(a)(b)(c) | 200,000 | 206,835 | |
Montgomery County GO Unlimited Refunding Bonds, Series A, Consolidated Public Improvement Project, 2.00%, 8/01/41 | 1,000,000 | 666,179 | |
Montgomery County Housing Opportunities Commission Multifamily & Reconstruction Development Revenue Bonds, Series C (FHA 542 (C) Insured), 2.85%, 1/01/51 | 250,000 | 169,672 | |
Washington County Economic Development Revenue Refunding Bonds, Homewood Maryland Obligated Group Project, 4.00%, 5/01/42 | 225,000 | 171,160 | |
9,104,560 | |||
Massachusetts – 0.8% | |||
Massachusetts State Development Finance Agency Revenue Bonds, UMass Boston Student Housing Project, 5.00%, 10/01/48 | 500,000 | 495,108 | |
Massachusetts State Development Finance Agency Revenue Refunding Bonds, Lasell University, | |||
4.00%, 7/01/25 | 235,000 | 232,739 | |
4.00%, 7/01/26 | 240,000 | 236,591 |
Par | Value | ||
Massachusetts (Continued) | |||
Massachusetts State Development Finance Agency Revenue Refunding Bonds, Series F, Lahey Clinic Obligated Group, 5.00%, 8/15/45 | $ 250,000 | $ 250,910 | |
Massachusetts State Development Financing Agency Variable Revenue Bonds, Partners Healthcare System, (SIFMA Municipal Swap Index Yield + 0.60%), 4.25%, 1/29/26(a)(c)(d) | 1,000,000 | 996,545 | |
Massachusetts State Port Authority Revenue Bonds, Series E (AMT), 5.00%, 7/01/27 | 365,000 | 378,958 | |
2,590,851 | |||
Michigan – 2.4% | |||
Detroit Downtown Development Authority Tax Allocation Increment Revenue Refunding Bonds, Series A, Catalyst Development Project (AGM Insured), | |||
5.00%, 7/01/43 | 100,000 | 99,987 | |
5.00%, 7/01/48 | 200,000 | 194,340 | |
Detroit GO Unlimited Bonds, 5.00%, 4/01/27 | 50,000 | 51,225 | |
Detroit GO Unlimited Bonds, Series A, Social Bonds, 4.00%, 4/01/40 | 250,000 | 228,684 | |
Gerald R. Ford International Airport Authority Revenue Bonds (AMT) (County Gtd), 5.00%, 1/01/51 | 525,000 | 543,806 | |
Great Lakes Water Authority Sewage Disposal System Second Lien Revenue Refunding Bonds, Series C, 5.00%, 7/01/36 | 495,000 | 507,263 | |
Michigan State Finance Authority Limited Obligation Revenue Refunding Bonds, Lawrence Technological University, 4.00%, 2/01/27 | 140,000 | 135,407 | |
Michigan State Finance Authority Limited Obligation Revenue Refunding Bonds, University of Detroit Mercy, 5.63%, 11/01/52 | 300,000 | 290,995 |
Par | Value | ||
Michigan (Continued) | |||
Michigan State Finance Authority Local Government Loan Program Revenue Refunding Bonds, | |||
5.00%, 7/01/29 | $ 425,000 | $ 430,360 | |
4.50%, 10/01/29 | 250,000 | 250,111 | |
Michigan State Finance Authority Revenue Bonds, Local Government Loan Program, 5.00%, 7/01/33 | 350,000 | 353,473 | |
Michigan State Finance Authority Revenue Refunding Bonds, Trinity Health Credit Group, | |||
4.00%, 12/01/35 | 515,000 | 523,009 | |
4.00%, 12/01/40 | 500,000 | 483,261 | |
Michigan State Finance Authority Variable Revenue Refunding Bonds, Beaumont Spectrum, (SIFMA Municipal Swap Index Yield + 0.75%), 4.40%, 4/15/27(a)(c) | 1,500,000 | 1,499,857 | |
Michigan State Hospital Finance Authority Revenue Refunding Bonds, Ascenion Senior, 5.00%, 11/15/47 | 420,000 | 425,081 | |
Michigan State Strategic Fund Limited Obligation Variable Revenue Bonds (AMT), Green Bonds, 4.00%, 10/01/26(a)(b)(c) | 100,000 | 99,497 | |
Michigan State Trunk Line Revenue Bonds, Rebuilding Michigan Program, 5.50%, 11/15/49 | 1,000,000 | 1,107,736 | |
Okemos Public School District GO Unlimited Bonds, Series II (Q-SBLF Insured), 5.00%, 5/01/49(g) | 500,000 | 533,982 | |
Wayne State University Revenue Refunding Bonds, Series A (BAM, TCRS Insured), 5.00%, 11/15/27 | 300,000 | 308,538 | |
8,066,612 | |||
Minnesota – 1.0% | |||
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 | 243,302 |
Par | Value | ||
Minnesota (Continued) | |||
Gibbon Independent School District No. 2365 GO Unlimited Bonds, Series A (School District Credit Program), 6.00%, 2/01/28 | $ 200,000 | $ 219,767 | |
Minneapolis Health Care System Revenue Refunding Bonds, Fairview Health Services, Series A, 5.00%, 11/15/27 | 585,000 | 592,054 | |
Minnesota State Agricultural & Economic Development Board Revenue Bonds, HealthPartners Obligated Group, 5.25%, 1/01/54 | 300,000 | 319,252 | |
Saint Francis Independent School District No. 15 GO Unlimited Bonds, Series A (School District Credit Program), 4.00%, 2/01/33 | 410,000 | 409,960 | |
Saint Paul Housing & Redevelopment Authority Health Care Facilities Revenue Refunding Bonds, HealthPartners Obligated Group, 5.00%, 7/01/31 | 1,635,000 | 1,652,196 | |
3,436,531 | |||
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 | 273,565 | |
Missouri – 1.1% | |||
Central Southwest Community College District COPS, | |||
5.00%, 3/01/26 | 225,000 | 230,613 | |
5.00%, 3/01/27 | 225,000 | 234,428 | |
Missouri State Health & Educational Facilities Authority Health Facilities Revenue Bonds, Mercy Health, 3.00%, 6/01/53 | 970,000 | 704,570 |
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 | $ 257,489 | |
Missouri State Health & Educational Facilities Authority Revenue Refunding Bonds, | |||
5.00%, 2/15/26 | 200,000 | 200,715 | |
5.00%, 2/15/27 | 215,000 | 216,803 | |
5.00%, 2/15/28 | 250,000 | 253,440 | |
Missouri State Health & Educational Facilities Authority Revenue Refunding Bonds, Bethesda Health Group, Inc., 4.00%, 8/01/26 | 200,000 | 193,643 | |
Missouri State Health & Educational Facilities Authority Revenue Refunding Bonds, Series C, 5.00%, 5/01/28(a)(b)(c) | 500,000 | 527,805 | |
Missouri State Health & Educational Facilities Authority Revenue Refunding Bonds, Webster University Project, 5.00%, 4/01/26 | 500,000 | 488,026 | |
Saint Louis County IDA Senior Living Facilities Revenue Refunding Bonds, Friendship Village St. Louis, 5.00%, 9/01/48 | 500,000 | 464,120 | |
3,771,652 | |||
Nebraska – 0.7% | |||
Douglas County Educational Facilities Variable Revenue Refunding Bonds, Creighton University Project, (SIFMA Municipal Swap Index Yield + 0.53%), 4.18%, 9/01/26(a)(c) | 735,000 | 724,916 | |
Douglas County Hospital Authority No. 2 Revenue Bonds, Children's Hospital Obligated Group, 5.00%, 11/15/25(a)(b)(c) | 600,000 | 606,305 |
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 | $ 508,973 | |
Gretna COPS, 5.00%, 12/15/25 | 500,000 | 503,736 | |
2,343,930 | |||
Nevada – 0.9% | |||
Clark County PCR Refunding Bonds, Southern California Edison Company, 2.10%, 6/01/31 | 250,000 | 211,023 | |
Clark County Stadium Improvement GO Limited Bonds, Series A, 5.00%, 5/01/48 | 500,000 | 516,329 | |
Las Vegas Convention & Visitors Authority Convention Center Expansion Revenue Bonds, Series B, 5.00%, 7/01/43 | 250,000 | 259,680 | |
Las Vegas New Convention & Visitors Authority Revenue Bonds, Series B, 5.00%, 7/01/37 | 1,000,000 | 1,065,384 | |
Las Vegas Special Improvement District No. 814 Summerlin Village 21 & 24A Special Assessment Bonds, 4.00%, 6/01/49 | 95,000 | 74,380 | |
Las Vegas Valley Water District GO Limited Bonds, Series A, 4.00%, 6/01/46 | 250,000 | 240,655 | |
Reno Sales Tax First Lien Revenue Refunding Bonds, Retrac-Reno Transportation Rail Access Corridor Project, 5.00%, 6/01/48 | 500,000 | 510,782 | |
2,878,233 | |||
New Hampshire – 0.3% | |||
National Finance Authority Municipal Certificates Revenue Bonds, Series 1-A, 4.13%, 1/20/34 | 865,503 | 831,709 |
Par | Value | ||
New Hampshire (Continued) | |||
National Finance Authority Revenue Bonds, Series A, 4.00%, 7/01/51 | $ 125,000 | $ 117,381 | |
New Hampshire State Health & Education Facilities Authority Revenue Refunding Bonds, Kendal at Hanover Issue, 5.00%, 10/01/36 | 180,000 | 182,647 | |
1,131,737 | |||
New Jersey – 2.9% | |||
Garden State Preservation Trust Open Space & Farmland Preservation Revenue Bonds, Series A (AGM Insured), 5.75%, 11/01/28 | 400,000 | 422,844 | |
Jersey City Municipal Utilities Authority Revenue Notes, Water Project, Series A, 5.00%, 5/01/25 | 1,000,000 | 1,009,184 | |
New Jersey State EDA Energy Facility Revenue Bonds, Series A (AMT), UMM Energy Partners, | |||
5.00%, 6/15/37 | 190,000 | 189,990 | |
5.13%, 6/15/43 | 350,000 | 347,575 | |
New Jersey State EDA Motor Vehicle Surcharge Revenue Refunding Bonds, Subseries A, 3.38%, 7/01/30 | 250,000 | 237,986 | |
New Jersey State EDA Private Activity Revenue Bonds (AMT), The Goethals Project, 5.38%, 1/01/43 | 100,000 | 100,033 | |
New Jersey State EDA Revenue Bonds, Portal North Bridge Project NJ Transit, 5.25%, 11/01/41 | 235,000 | 257,046 | |
New Jersey State EDA Revenue Bonds, Provident Group Rowan Properties LLC, 5.00%, 1/01/48 | 125,000 | 115,995 | |
New Jersey State EDA Revenue Refunding Bonds, Cranes Mill Project, 5.00%, 1/01/49 | 260,000 | 219,372 | |
New Jersey State EDA Special Facility Revenue Refunding Bonds (AMT), Port Newark Container, 5.00%, 10/01/47 | 300,000 | 301,758 |
Par | Value | ||
New Jersey (Continued) | |||
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 | $ 671,802 | |
New Jersey State GO Unlimited Bonds, 2.00%, 6/01/37 | 1,175,000 | 867,622 | |
New Jersey State Health Care Facilities Financing Authority Revenue Bonds, Valley Health System Obligated Group Series, 5.00%, 7/01/33 | 1,000,000 | 1,074,486 | |
New Jersey State Health Care Facilities Financing Authority Revenue Refunding Bonds, Inspira Health Obligated Group, 5.00%, 7/01/30 | 1,000,000 | 1,026,888 | |
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 | 408,814 | |
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series A, 4.00%, 6/15/42 | 250,000 | 242,096 | |
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series AA, 5.00%, 6/15/40 | 500,000 | 532,419 | |
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Transportation Program, 5.25%, 6/15/43 | 625,000 | 649,075 | |
New Jersey State Transportation Trust Fund Authority Revenue Refunding Bonds, Series A, 4.00%, 6/15/34 | 175,000 | 179,330 | |
New Jersey State Turnpike Authority Revenue Bonds, Series A, 5.00%, 1/01/33 | 230,000 | 230,331 | |
New Jersey State Turnpike Authority Revenue Bonds, Series B, 5.25%, 1/01/52 | 350,000 | 378,132 | |
9,462,778 |
Par | Value | ||
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 | $ 987,993 | |
New York – 6.4% | |||
Build Resource Corp., Revenue Bonds, Friends of Hellenic Classical Charter Schools, Inc., 4.00%, 12/01/31(d) | 500,000 | 465,639 | |
Hempstead Town Local Develop Corp., Education Revenue Refunding Bonds, Academy Charter School Project, 5.66%, 2/01/44 | 250,000 | 230,701 | |
Hempstead Town Local Development Corp., Education Revenue Bonds, Academy Charter School Project, 4.60%, 2/01/51 | 250,000 | 187,548 | |
Hempstead Town Local Development Corp., Revenue Refunding Bonds, Adelphi University Project, 5.00%, 6/01/27 | 300,000 | 311,660 | |
Hudson Yards Infrastructure Corp., Revenue Refunding Bonds, Second Indenture Series, Fiscal 2022, Green Bonds, 4.00%, 2/15/43 | 1,000,000 | 1,000,759 | |
Metropolitan Transportation Authority Revenue Refunding Bonds, Series D (BAM, TCRS Insured), 4.00%, 11/15/42 | 300,000 | 289,691 | |
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 | 260,517 | |
New York City Municipal Water Finance Authority Water & Sewer System Revenue Bonds, Series AA-1, 5.25%, 6/15/52 | 250,000 | 271,017 | |
New York City Municipal Water Finance Authority Water & Sewer System Revenue Bonds, Series BB-1, 5.25%, 6/15/54 | 500,000 | 544,374 |
Par | Value | ||
New York (Continued) | |||
New York City Transitional Finance Authority Future Tax Subordinate Revenue Bonds, 4.00%, 5/01/36 | $1,000,000 | $1,028,476 | |
New York GO Unlimited Bonds, Series A-1, 5.25%, 9/01/42 | 250,000 | 276,372 | |
New York GO Unlimited Bonds, Series C, 5.25%, 3/01/53 | 1,000,000 | 1,083,591 | |
New York GO Unlimited Bonds, Series D, Subseries D1, 5.00%, 12/01/42 | 250,000 | 262,685 | |
New York State Convention Center Development Corp., Revenue Refunding Bonds, Hotel Unit Fee Secured, 5.00%, 11/15/40 | 600,000 | 606,868 | |
New York State Dormitory Authority Non State Supported Debt Revenue Refunding Bonds, Series A, Barnard College, 4.00%, 7/01/49 | 300,000 | 269,697 | |
New York State Dormitory Authority Personal Income Tax Revenue Refunding Bonds, Series A, 5.00%, 3/15/41 | 1,000,000 | 1,088,843 | |
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 | 426,476 | |
New York State Dormitory Authority State Personal Income Tax Revenue Refunding Bonds, Series E, Unrefunded Balance, 5.00%, 2/15/44 | 425,000 | 426,332 | |
New York State Energy Research & Development Authority PCR Refunding Bonds, New York Electric & Gas, Series C, 4.00%, 4/01/34 | 250,000 | 250,103 | |
New York State Housing Finance Agency Affordable Housing Sustainability Revenue Bonds, Series L-2 (SonyMA Insured), 0.75%, 11/01/25 | 420,000 | 393,934 |
Par | Value | ||
New York (Continued) | |||
New York State Liberty Development Corp., Revenue Refunding Bonds, 4 World Trade Center Project, Green Bonds, 1.20%, 11/15/28 | $500,000 | $430,215 | |
New York State Liberty Development Corp., Revenue Refunding Bonds, Class 2, 3 World Trade Center Project, | |||
5.15%, 11/15/34(d) | 500,000 | 501,210 | |
5.38%, 11/15/40(d) | 150,000 | 150,306 | |
New York State Transportation Development Corp. Special Facilities Revenue Bonds (AMT), John F. Kennedy International Airport (AGM Insured), Sustainable Bonds, 5.00%, 6/30/49 | 250,000 | 257,534 | |
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 | 528,106 | |
New York State Transportation Development Corp., Special Facilities Revenue Bonds, Delta Air Lines, Inc. (AMT), 5.00%, 1/01/30 | 345,000 | 356,526 | |
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 | 263,038 | |
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 | 266,956 |
Par | Value | ||
New York (Continued) | |||
New York State Transportation Development Corporation Special Facilities Revenue Bonds (AMT), Delta Air Lines Inc., 4.00%, 10/01/30 | $1,500,000 | $1,495,560 | |
New York State Urban Development Corp., Personal Income TRB, Series A, | |||
4.00%, 3/15/38 | 500,000 | 506,895 | |
5.00%, 3/15/41 | 250,000 | 268,453 | |
New York State Urban Development Corp., Revenue Refunding Bonds, Series E Group 3, 4.00%, 3/15/43 | 500,000 | 489,937 | |
Niagara Frontier Transportation Authority Revenue Refunding Bonds (AMT), Buffalo Niagara International Airport, 5.00%, 4/01/26 | 250,000 | 253,090 | |
Onondaga County Trust Cultural Resources Revenue Refunding Bonds, Syracuse University Project, 4.00%, 12/01/41 | 250,000 | 250,120 | |
Port Authority of New York & New Jersey Consolidated 211th Revenue Refunding Bonds, 5.00%, 9/01/48 | 830,000 | 861,954 | |
Port Authority of New York & New Jersey Consolidated Revenue Bonds, Series 218 (AMT), 5.00%, 11/01/31 | 1,065,000 | 1,134,522 | |
Port Authority of New York & New Jersey Consolidated Revenue Bonds, Series 221 (AMT), 4.00%, 7/15/40 | 500,000 | 485,350 | |
Port Authority of New York & New Jersey Consolidated Revenue Refunding Bonds (AMT), 5.50%, 8/01/52 | 600,000 | 641,660 | |
Triborough Bridge & Tunnel Authority General Revenue Bonds, Series A, MTA Bridges & Tunnels, 4.00%, 11/15/54 | 1,000,000 | 942,365 |
Par | Value | ||
New York (Continued) | |||
Triborough Bridge & Tunnel Authority Payroll Mobility Tax Revenue Refunding Bonds, Series A, MTA Bridges & Tunnels, 5.00%, 5/15/47 | $ 250,000 | $ 266,258 | |
Triborough Bridge & Tunnel Authority Sales Tax Revenue Bonds, Series A-1, 5.25%, 5/15/64 | 125,000 | 134,781 | |
Triborough Bridge & Tunnel Authority Sales Tax Revenue Bonds, Series A-2, 5.25%, 5/15/64 | 500,000 | 535,926 | |
Troy Capital Resource Corp., Revenue Bonds, Rensselaer Polytechnic Institute Project, 4.00%, 9/01/33 | 100,000 | 101,218 | |
Yonkers Economic Development Corp., Educational Revenue Bonds, Charter School Educational Excellence Project, 5.00%, 10/15/49 | 100,000 | 96,660 | |
20,893,923 | |||
North Carolina – 2.2% | |||
Forsyth County GO Unlimited Bonds, Series B, 2.00%, 3/01/37 | 1,000,000 | 764,120 | |
Greater Asheville Regional Airport Authority Airport System Revenue Bonds (AMT) (AGM Insured), 5.25%, 7/01/48 | 250,000 | 265,279 | |
Greater Asheville Regional Airport Authority Airport System Revenue Bonds, Series A (AMT) (AGM Insured), 5.50%, 7/01/47 | 1,000,000 | 1,078,691 | |
North Carolina State Capital Facilities Finance Agency Educational Facilities Revenue Refunding Bonds, High Point University, | |||
5.00%, 5/01/25 | 240,000 | 242,150 | |
5.00%, 5/01/26 | 275,000 | 280,780 | |
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 | 300,826 | |
5.00%, 10/01/34 | 250,000 | 247,789 |
Par | Value | ||
North Carolina (Continued) | |||
North Carolina State Medical Care Commission Retirement Facilities Revenue Bonds, The Forest At Duke Project, | |||
4.00%, 9/01/33 | $ 180,000 | $ 169,650 | |
4.00%, 9/01/34 | 185,000 | 173,046 | |
North Carolina State Medical Care Commission Retirement Facilities Revenue Bonds, United Methodist Retirement House, 3.75%, 10/01/28 | 525,000 | 518,887 | |
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, Series A, Sharon Towers, 5.00%, 7/01/49 | 100,000 | 86,049 | |
North Carolina State Turnpike Authority Senior Lien Revenue Bonds, Triangle Expressway, 4.00%, 1/01/55 | 425,000 | 360,885 | |
North Carolina State Turnpike Authority Senior Lien Revenue Bonds, Triangle Expressway (AGM Insured), 5.00%, 1/01/49 | 500,000 | 515,322 | |
North Carolina State Turnpike Authority Senior Lien Revenue Bonds, Triangle Expressway System (AGM Insured), 5.00%, 1/01/58 | 1,000,000 | 1,054,621 | |
North Carolina State Turnpike Authority Senior Lien Revenue Refunding Bonds, 5.00%, 1/01/40 | 550,000 | 564,463 | |
Union County GO Unlimited Bonds, Series C, 2.50%, 9/01/38 | 590,000 | 470,123 | |
7,092,681 | |||
North Dakota – 0.6% | |||
Cass County Joint Water Resource District Improvement Revenue Refunding Bonds, Series A (County Gtd), 3.45%, 4/01/27 | 1,500,000 | 1,497,332 |
Par | Value | ||
North Dakota (Continued) | |||
City of Grand Forks Health Care System Revenue Bonds, Altru Health System, Series A (AGM Insured), 5.00%, 12/01/29 | $125,000 | $ 133,969 | |
University of North Dakota COPS, Infrastructure Energy Improvement, 5.00%, 4/01/48 | 500,000 | 511,787 | |
2,143,088 | |||
Ohio – 2.1% | |||
Akron Bath Copley Joint Township Hospital District Revenue Refunding Bonds, Summa Health Obligated Group Hospital, | |||
5.00%, 11/15/26 | 350,000 | 357,628 | |
5.00%, 11/15/27 | 370,000 | 381,593 | |
Buckeye Tobacco Settlement Financing Authority Revenue Refunding Bonds, Senior-Class 2, Series B-2, 5.00%, 6/01/55 | 900,000 | 814,742 | |
Cleveland-Cuyahoga County Port Authority Cultural Facilities Revenue Refunding Bonds, Playhouse Square Foundation Project, 5.50%, 12/01/43 | 175,000 | 176,752 | |
Cleveland-Cuyahoga County Port Authority Cultural Facility Revenue Bonds, Cleveland Museum of Natural History Project, | |||
5.00%, 7/01/25 | 125,000 | 126,680 | |
5.00%, 7/01/26 | 125,000 | 128,428 | |
5.00%, 7/01/27 | 125,000 | 130,354 | |
5.00%, 7/01/28 | 155,000 | 164,307 | |
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 | 196,502 | |
Conotton Valley Union Local School District COPS, School Facilities Project (FHLMC Insured), 4.00%, 12/01/42 | 500,000 | 484,813 |
Par | Value | ||
Ohio (Continued) | |||
Cuyahoga Metropolitan Housing Authority Multifamily Housing Variable Revenue Bonds, Wade Park Apartments (FHA Insured, Housing & Urban Development Sector 8 Program), 4.75%, 12/01/25(a)(b)(c) | $350,000 | $351,451 | |
Franklin County Convention Facilities Authority Hotel Project Revenue Bonds, Greater Columbus Convention Center, | |||
5.00%, 12/01/34 | 170,000 | 171,057 | |
5.00%, 12/01/36 | 305,000 | 304,465 | |
Franklin County Health Care Facilities Revenue Refunding Bonds, Ohio Living Communities, 5.00%, 7/01/31 | 255,000 | 255,172 | |
Hamilton County Hospital Facilities Revenue Bonds, Cincinnati Children's Hospital Project, 5.00%, 11/15/41 | 250,000 | 282,700 | |
Marion County Health Care Facilities Revenue Refunding Bonds, United Church Homes, Inc., 5.13%, 12/01/49 | 100,000 | 78,210 | |
Miami Valley Career Technology Center GO Unlimited Bonds, 4.00%, 12/01/37 | 250,000 | 251,808 | |
Middleburg Heights Hospital Revenue Refunding Bonds, Southwest General Health Center, 4.00%, 8/01/41 | 500,000 | 471,243 | |
Ohio State Air Quality Development Authority Revenue Refunding Bonds, Ohio Valley Electric Corp., 3.25%, 9/01/29 | 50,000 | 47,230 | |
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 | 250,325 |
Par | Value | ||
Ohio (Continued) | |||
Ohio State Higher Educational Facilities Commission Revenue Refunding Bonds, Xavier University 2020 Project, 5.00%, 5/01/35 | $ 880,000 | $ 955,693 | |
Ohio State Higher Educational Facility Commission Healthcare Revenue Bonds, Ashtabula County Medical Center Obligated Group, 5.00%, 1/01/26 | 100,000 | 100,614 | |
Ohio State Higher Educational Facility Commission Revenue Refunding Bonds, Otterbein University 2022 Project, 4.00%, 12/01/46 | 500,000 | 424,461 | |
Ohio State Hospital Revenue Refunding Bonds, Premier Health Partners Obligated Group, 5.00%, 11/15/26 | 145,000 | 147,426 | |
7,053,654 | |||
Oklahoma – 1.3% | |||
Carter County Public Facilities Authority Educational Facilities Lease Revenue Bonds, 5.00%, 9/01/27 | 500,000 | 513,190 | |
Comanche County Hospital Authority Revenue Refunding Bonds, 5.00%, 7/01/29 | 570,000 | 557,103 | |
Creek County Educational Facilities Authority Lease Revenue Bonds, Sapulpa Public Schools Project (BAM Insured), 4.13%, 9/01/48 | 250,000 | 239,765 | |
Muskogee Industrial Trust Educational Facilities Lease Revenue Bonds, Muskogee Public Schools Project, 5.00%, 9/01/26 | 150,000 | 153,040 | |
Oklahoma County Finance Authority Revenue Bonds, Exchange-Epworth Villa Project, 2.00%, 12/01/47 | 8,975 | 448 | |
Oklahoma County Finance Authority Revenue Bonds, Exchange-Epworth Villa Project-B, 5.88%, 12/01/47 | 43,620 | 33,885 | |
Oklahoma State Turnpike Authority Second Senior Revenue Bonds, Series C, 5.00%, 1/01/47 | 1,000,000 | 1,023,487 |
Par | Value | ||
Oklahoma (Continued) | |||
Oklahoma State Turnpike Authority Senior Lien Revenue Bonds, 5.50%, 1/01/53 | $475,000 | $ 519,117 | |
Oklahoma State Water Resources Board Revolving Fund Revenue Bonds, Drinking Water Program 2019 Master Trust, 4.00%, 4/01/48 | 300,000 | 287,601 | |
Tulsa County Industrial Authority Educational Facilities Lease Revenue Bonds, Berryhill Public Schools Project, 4.00%, 9/01/26 | 500,000 | 501,778 | |
Washington County Educational Facilities Authority Lease Revenue Bonds, Dewey Public Schools Project, 5.00%, 9/01/29 | 435,000 | 457,226 | |
4,286,640 | |||
Oregon – 1.2% | |||
Klamath Falls Intercommunity Hospital Authority Revenue Refunding Bonds, Sky Lakes Medical Center Project, 4.00%, 9/01/25 | 550,000 | 547,313 | |
Medford Hospital Facilities Authority Revenue Refunding Bonds, Series A, Asante Projects, 5.00%, 8/15/45 | 500,000 | 516,862 | |
Oregon State Business Development Commission Variable Revenue Bonds, Series 232, Intel Corp. Project, 3.80%, 6/15/28(a)(b)(c) | 500,000 | 502,327 | |
Oregon State Facilities Authority Revenue Refunding Bonds, Samaritan Health Services, 5.00%, 10/01/30 | 300,000 | 315,424 | |
Oregon State Facilities Authority Revenue Refunding Bonds, Series A, Legacy Health Project, 5.00%, 6/01/46 | 500,000 | 503,197 | |
Port of Morrow GO Limited Refunding Bonds, Series D, | |||
4.00%, 12/01/26 | 170,000 | 171,462 | |
4.00%, 12/01/27 | 240,000 | 243,655 |
Par | Value | ||
Oregon (Continued) | |||
Port of Portland Airport Revenue Refunding Bonds, Portland International Airport (AMT), 5.00%, 7/01/25 | $ 750,000 | $ 759,606 | |
Salem Hospital Facility Authority Revenue Refunding Bonds, Capital Manor Project, 5.00%, 5/15/27 | 260,000 | 262,178 | |
3,822,024 | |||
Pennsylvania – 3.8% | |||
Allentown Neighborhood Improvement Zone Development Authority Tax Revenue Refunding Bonds, Forward Delivery, 5.00%, 5/01/42 | 250,000 | 254,752 | |
Chester County IDA Revenue Bonds, Avon Grove Charter School, 5.00%, 3/01/27 | 500,000 | 504,647 | |
Commonwealth Financing Authority Taxable Revenue Refunding Bonds, Series B-1, 5.00%, 6/01/26 | 300,000 | 304,094 | |
Cumberland County Municipal Authority Revenue Bonds, Penn State Health, 4.00%, 11/01/44 | 500,000 | 469,629 | |
Cumberland County Municipal Authority Revenue Refunding Bonds, Asbury Pennsylvania Obligated, 4.50%, 1/01/40(d) | 185,000 | 160,283 | |
Lancaster County Hospital Authority Revenue Refunding Bonds, Masonic Villages Project, 5.00%, 11/01/30 | 470,000 | 486,109 | |
Laurel Highlands School District GO Limited Refunding Bonds (BAM State Aid Withholding), 4.00%, 2/01/26 | 350,000 | 352,075 | |
Luzerne County IDA Revenue Refunding Bonds (AMT), Pennsylvania-American Water Co., Project, 2.45%, 12/03/29(a)(b)(c) | 750,000 | 665,755 | |
Montgomery County IDA Revenue Bonds, Acts Retirement-Life Communities, 5.00%, 11/15/45 | 1,500,000 | 1,520,830 |
Par | Value | ||
Pennsylvania (Continued) | |||
Pennsylvania State Economic Development Financing Authority Parking System Revenue Refunding Bonds, Senior Insured Capitol Region (AGM Insured), 5.00%, 1/01/40 | $500,000 | $528,762 | |
Pennsylvania State Economic Development Financing Authority Tax-Exempt Private Activity Revenue Bonds (AMT), The Penndot Major Bridges, 5.75%, 6/30/48 | 575,000 | 624,327 | |
Pennsylvania State Economic Development Financing Authority UPMC Revenue Bonds, Series A-1, 4.00%, 4/15/45 | 500,000 | 471,779 | |
Pennsylvania State Economic Development Financing Authority UPMC Revenue Bonds, Series A-2, 4.00%, 5/15/48 | 250,000 | 231,686 | |
Pennsylvania State Higher Educational Facilities Authority Revenue Bonds, Trustees of the University of Pennsylvania, Series A, 4.00%, 2/15/43 | 585,000 | 575,862 | |
Pennsylvania State Higher Educational Facilities Authority Revenue Refunding Bonds, Thomas Jefferson University, | |||
5.00%, 9/01/39 | 500,000 | 501,827 | |
5.00%, 9/01/45 | 250,000 | 250,364 | |
Pennsylvania State Housing Finance Agency SFM Revenue Refunding Bonds (AMT), Series 125A, 2.38%, 10/01/25 | 370,000 | 358,868 | |
Pennsylvania State Turnpike Commission Revenue Refunding Bonds, Series B, 5.25%, 12/01/52 | 250,000 | 269,408 | |
Pennsylvania State Turnpike Commission Subordinate Revenue Bonds, Series A (AGM Insured), 4.00%, 12/01/49 | 350,000 | 334,360 |
Par | Value | ||
Pennsylvania (Continued) | |||
Philadelphia Airport Revenue Refunding Bonds, Series B (AMT), | |||
5.00%, 7/01/30 | $510,000 | $ 527,753 | |
5.00%, 7/01/33 | 400,000 | 413,786 | |
5.00%, 7/01/35 | 155,000 | 160,119 | |
Philadelphia Airport Revenue Refunding Bonds, Series C (AMT), 4.00%, 7/01/40 | 250,000 | 241,042 | |
Philadelphia School District GO Limited Bonds, Series A (BAM, TCRS Insured State Aid Withholding), | |||
4.00%, 9/01/39 | 500,000 | 501,032 | |
4.00%, 9/01/40 | 500,000 | 492,727 | |
Southcentral General Authority Revenue Bonds, York College of Pennsylvania Project, | |||
5.00%, 5/01/27 | 300,000 | 309,558 | |
5.00%, 5/01/28 | 215,000 | 224,986 | |
Southeastern Pennsylvania Transportation Authority Revenue Bonds, Asset Improvement Program, 5.25%, 6/01/47 | 250,000 | 271,606 | |
West Cornwall Township Municipal Authority Healthcare Facilities Revenue Refunding Bonds, Lebanon Valley Brethren Home Project, | |||
4.00%, 11/15/25 | 115,000 | 113,501 | |
4.00%, 11/15/26 | 125,000 | 122,433 | |
4.00%, 11/15/27 | 130,000 | 126,446 | |
12,370,406 | |||
Puerto Rico – 1.2% | |||
Puerto Rico Commonwealth Aqueduct & Sewer Authority Senior Lien Revenue Refunding Bonds, Series A, 5.00%, 7/01/30(d) | 250,000 | 264,224 | |
Puerto Rico Commonwealth Notes, | |||
2.70%, 11/01/43(b)(c) | 21,189 | 12,607 | |
1.87%, 11/01/51(b)(c) | 431,249 | 258,750 | |
Puerto Rico Commonwealth Restructured GO Unlimited Bonds, Series A1, | |||
5.38%, 7/01/25 | 160,394 | 161,474 | |
5.63%, 7/01/27 | 309,847 | 322,037 |
Par | Value | ||
Puerto Rico (Continued) | |||
Puerto Rico Commonwealth Restructured GO Unlimited Bonds, Series A1, | |||
5.63%, 7/01/29 | $1,058,875 | $1,141,037 | |
5.75%, 7/01/31 | 57,185 | 63,738 | |
4.00%, 7/01/33 | 54,226 | 53,325 | |
4.00%, 7/01/35 | 48,742 | 47,160 | |
4.00%, 7/01/37 | 106,285 | 101,553 | |
4.00%, 7/01/41 | 56,878 | 52,727 | |
Puerto Rico Commonwealth Restructured GO Unlimited CABS, Series A, 0.00%, 7/01/33(e) | 69,785 | 45,693 | |
Puerto Rico Sales Tax Financing Corp., Restructured TRB, Series A-1, 4.75%, 7/01/53 | 527,000 | 513,249 | |
Puerto Rico Sales Tax Financing Corp., Revenue CABS, Series A-1, Restructured Bonds, 0.00%, 7/01/33(e) | 500,000 | 344,705 | |
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue CABS, Series A-1, | |||
0.00%, 7/01/27(e) | 225,000 | 199,241 | |
0.00%, 7/01/46(e) | 875,000 | 272,846 | |
3,854,366 | |||
Rhode Island – 0.2% | |||
Rhode Island Commerce Corp., First Lien Special Facility Revenue Refunding Bonds, Rhode Island Airport Corp., International, 5.00%, 7/01/31 | 500,000 | 528,659 | |
South Carolina – 0.8% | |||
Connector 2000 Association, Inc., Toll Road Revenue CABS, Senior Series A-1, | |||
0.00%, 1/01/32(e) | 409,302 | 243,907 | |
0.00%, 1/01/42(e) | 228,148 | 66,640 | |
0.00%, 7/22/51(e) | 264,657 | 34,831 | |
South Carolina State Jobs EDA Hospital Revenue Refunding Bonds, Prisma Health Obligated Group, 5.00%, 5/01/38 | 400,000 | 411,060 |
Par | Value | ||
South Carolina (Continued) | |||
South Carolina State Jobs EDA Hospital Variable Revenue Bonds, Bon Secours Mercy Health, 5.00%, 10/01/25(a)(b)(c) | $850,000 | $ 861,032 | |
South Carolina State Public Service Authority Revenue Bonds, Series E, Santee Cooper, 5.75%, 12/01/47 | 250,000 | 274,947 | |
South Carolina State Public Service Authority Revenue Obligation Bonds, Series A, Unrefunded Balance, 5.50%, 12/01/54 | 275,000 | 274,981 | |
South Carolina State Public Service Authority Revenue Refunding Bonds, Series A, 4.00%, 12/01/36 | 350,000 | 349,355 | |
2,516,753 | |||
South Dakota – 0.4% | |||
South Dakota State Board of Regents Housing & Auxiliary Facilities System Revenue Refunding Bonds, 4.00%, 4/01/26 | 375,000 | 377,408 | |
South Dakota State Health & Educational Facilities Authority Revenue Refunding Bonds, Series A, Avera Health, | |||
4.25%, 7/01/49 | 475,000 | 456,716 | |
5.25%, 7/01/54 | 425,000 | 459,303 | |
1,293,427 | |||
Tennessee – 1.5% | |||
Knox County Health Educational & Housing Facility Board Student Housing Revenue Bonds, University of Tennessee Project, Series A-1 (BAM Insured), 5.50%, 7/01/54 | 250,000 | 268,346 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue Bonds, Vanderbilt University Medical Center, 5.00%, 7/01/40 | 400,000 | 404,555 | |
Metropolitan Nashville Airport Authority Revenue Bonds, Series B (AMT), 5.00%, 7/01/26 | 600,000 | 614,571 |
Par | Value | ||
Tennessee (Continued) | |||
Metropolitan Nashville Airport Authority Subordinate Revenue Bonds, Series B (AMT), 5.00%, 7/01/39 | $1,000,000 | $1,048,012 | |
Tennergy Corp., Gas Revenue Bonds, Series A, 4.00%, 9/01/28(a)(b)(c) | 1,500,000 | 1,487,434 | |
Tennergy Corp., Gas Supply Revenue Bonds, Series A, 5.50%, 12/01/30(a)(b)(c) | 1,000,000 | 1,051,021 | |
4,873,939 | |||
Texas – 6.5% | |||
Arlington Higher Education Finance Corp., Revenue Bonds, Riverwalk Education Foundation (PSF, Gtd), 5.00%, 8/15/47 | 500,000 | 521,154 | |
Austin Convention Enterprises, Inc., Convention Center Revenue Refunding Bonds, First Tier, 5.00%, 1/01/32 | 625,000 | 631,029 | |
Board of Managers Joint Guadalupe County-City of Seguin Hospital Mortgage Revenue Refunding Bonds, 5.00%, 12/01/40 | 200,000 | 183,305 | |
Central Texas Regional Mobility Authority Revenue Bonds, Series C, 5.00%, 1/01/27 | 275,000 | 280,434 | |
Central Texas Regional Mobility Authority Senior Lien Revenue Refunding Bonds, Series A, 5.00%, 1/01/49 | 500,000 | 514,816 | |
City of Greenville GO Limited Bonds (AGM Insured), 4.25%, 2/15/54 | 500,000 | 478,909 | |
Clifton Higher Educational Finance Corp. Revenue Refunding Bonds, International Leadership of Texas (PSF, Gtd), 4.13%, 8/15/49 | 200,000 | 192,814 | |
Dallas Area Rapid Transit Senior Lien Sales Tax Revenue Refunding Bonds, Series B, 4.00%, 12/01/51 | 500,000 | 469,416 |
Par | Value | ||
Texas (Continued) | |||
Dallas Senior Lien Special Tax Variable Revenue Bonds, Fair Park Venue Project, 6.25%, 8/15/28(a)(b)(c)(d) | $250,000 | $251,776 | |
Dallas-Fort Worth International Airport Revenue Refunding Bonds, Series B, 5.00%, 11/01/25 | 400,000 | 408,404 | |
El Paso Texas Airport Revenue Bonds (AMT), 5.00%, 8/15/27 | 375,000 | 389,115 | |
Fort Bend Independent School District Variable GO Unlimited Refunding Bonds, Series B (PSF, Gtd), 0.72%, 8/01/26(a)(b)(c) | 840,000 | 769,335 | |
Grand Parkway Transportation Corp., System Toll Revenue Refunding Bonds, Grand Parkway System - First, 4.00%, 10/01/45 | 265,000 | 251,291 | |
Greater Texoma Utility Authority Contract Revenue Bonds, City of Sherman Project (AGM Insured), 4.25%, 10/01/53 | 565,000 | 536,695 | |
Greater Texoma Utility Authority Contract Revenue Bonds, Series A, City of Sherman Project (BAM Insured), | |||
5.00%, 10/01/29 | 350,000 | 377,735 | |
4.00%, 10/01/43 | 250,000 | 242,126 | |
Harris County Cultural Education Facilities Finance Corp., Variable Revenue Refunding Bonds, Memorial Hermann Health, 5.00%, 12/01/28(a)(b)(c) | 570,000 | 599,516 | |
Harris County Cultural Educational Facilities Finance Corp., Revenue Refunding Bonds, Texas Children's Hospital, 4.00%, 10/01/38 | 350,000 | 347,599 | |
Harris County Flood Control District GO Limited Bonds, Sustainability Bond, Series A, 4.00%, 9/15/43 | 250,000 | 245,963 |
Par | Value | ||
Texas (Continued) | |||
Houston Airport System Revenue Bonds, Subseries A (AMT), 5.00%, 7/01/25 | $500,000 | $505,266 | |
Houston Airport System Revenue Refunding Bonds (AMT), United Airlines, Inc., Improvement Projects, 5.00%, 7/15/27 | 175,000 | 177,445 | |
Houston Airport System Revenue Refunding Bonds (AMT), United Airlines, Inc., Terminal, 5.00%, 7/01/27 | 125,000 | 126,727 | |
Houston Airport System Subordinate Lien Revenue Refunding Bonds, Series A (AMT) (AGM Insured), 5.25%, 7/01/43 | 400,000 | 431,257 | |
Houston Hotel Occupancy Tax & Special Revenue Refunding Bonds, Convention & Entertainment, 5.00%, 9/01/36 | 510,000 | 539,187 | |
Kermit Independent School District GO Unlimited Bonds (PSF, Gtd), 5.00%, 2/15/26 | 325,000 | 333,737 | |
Kilgore Independent School District GO Unlimited Bonds (PSF, Gtd), 3.00%, 2/15/41 | 730,000 | 607,481 | |
Matagorda County Navigation District No. 1 Revenue Refunding Bonds (AMBAC Insured), 4.40%, 5/01/30 | 500,000 | 503,174 | |
Midland Independent School District GO Unlimited Bonds (PSF, Gtd), | |||
5.00%, 2/15/50 | 500,000 | 514,871 | |
4.00%, 2/15/54 | 125,000 | 116,690 | |
Montgomery County Toll Road Authority Senior Lien Revenue Bonds, 5.00%, 9/15/37 | 500,000 | 504,847 | |
New Hope Cultural Educational Facilities Finance Corp., Retirement Facilities Revenue Refunding Bonds, Presbyterian Village North Project, 5.25%, 10/01/49 | 100,000 | 85,096 |
Par | Value | ||
Texas (Continued) | |||
New Hope Cultural Educational Facilities Finance Corp., Retirement Facilities Revenue Refunding Bonds, Westminster Manor Project, 5.00%, 11/01/31 | $ 250,000 | $ 253,983 | |
Northside Independent School District Variable Refunding GO Unlimited Bonds, Series B (PSF, Gtd), 3.45%, 8/01/27(a)(b)(c)(g) | 500,000 | 499,381 | |
Odessa Junior College District Consolidated Revenue Bonds (AGM Insured), 4.00%, 7/01/27 | 435,000 | 442,952 | |
Pasadena Independent School District GO Unlimited Bonds, Series A (PSF, Gtd), 4.00%, 2/15/32 | 700,000 | 700,025 | |
Port Arthur Certificates GO Limited Bonds (BAM Insured), 5.00%, 2/15/27 | 345,000 | 359,343 | |
Port Beaumont Navigation District Dock & Wharf Facility Revenue Refunding Bonds (AMT), Jefferson Gulf Coast Energy Project, 4.00%, 1/01/50(d) | 375,000 | 289,553 | |
San Antonio Airport System Subordinate Lien Revenue Refunding Bonds, Series A (AMT), 5.00%, 7/01/30 | 250,000 | 265,261 | |
San Antonio Water Junior Lien Revenue Refunding Bonds, Series A, 5.00%, 5/15/43 | 500,000 | 517,812 | |
Texas City Industrial Development Corp., Revenue Bonds, Series 2012, NRG Energy Project, 4.13%, 12/01/45 | 545,000 | 480,010 | |
Texas State PFA Lease Revenue Refunding Bonds, 4.00%, 2/01/36 | 250,000 | 255,538 | |
Texas State Private Activity Bond Surface Transportation Corp., Revenue Bonds (AMT), Segment 3C Project, 5.00%, 6/30/58 | 1,100,000 | 1,106,883 |
Par | Value | ||
Texas (Continued) | |||
Texas State Private Activity Bond Surface Transportation Corp., Senior Lien Revenue Bonds (AMT), Blueridge Transportation, | |||
5.00%, 12/31/45 | $ 500,000 | $ 500,540 | |
5.00%, 12/31/55 | 200,000 | 200,232 | |
Texas State Private Activity Bond Surface Transportation Corp., Senior Lien Revenue Refunding Bonds, North Tarrant Express, 4.00%, 12/31/38 | 750,000 | 727,065 | |
Texas State Private Activity Surface Transportation Corp., Senior Lien Revenue Refunding Bonds (AMT), 5.50%, 6/30/42 | 1,000,000 | 1,060,576 | |
Texas State Transportation Commission First Tier Toll Revenue Bonds, State Highway, 5.00%, 8/01/57 | 100,000 | 100,907 | |
Texas State Transportation Commission First Tier Toll Revenue CABS, 0.00%, 8/01/29(e) | 480,000 | 386,920 | |
Texas State Water Development Board Revenue Bonds, State Water Implementation Fund, 4.00%, 10/15/38 | 510,000 | 518,445 | |
University of Houston Revenue Refunding Bonds, Series A, 5.00%, 2/15/47 | 250,000 | 266,010 | |
Waller Independent School District GO Unlimited Bonds (BAM Insured), 5.00%, 2/15/44 | 235,000 | 252,204 | |
21,320,850 | |||
Utah – 0.7% | |||
Cache County School District Building GO Unlimited Refunding Bonds (School Board Guaranty Program), 4.00%, 6/15/30 | 925,000 | 938,552 | |
Salt Lake City Airport Revenue Bonds, Series A (AMT), 5.00%, 7/01/51 | 1,000,000 | 1,017,247 | |
Utah County Hospital Revenue Bonds, Series A, IHC Health Services Inc., 4.00%, 5/15/45 | 500,000 | 468,987 | |
2,424,786 |
Par | Value | ||
Virginia – 2.6% | |||
Arlington County IDA Hospital Facilities Revenue Refunding Bonds, Virginia Hospital Center, 3.75%, 7/01/50 | $ 500,000 | $ 450,852 | |
Chesapeake Bay Bridge & Tunnel District Revenue Bonds, First Tier General Resolution (AGM Insured), 5.00%, 7/01/41 | 1,000,000 | 1,019,265 | |
Chesapeake Hospital Authority Hospital Facilities Revenue Refunding Bonds, Chesapeake Regional Medical Center, 5.00%, 7/01/31 | 500,000 | 533,647 | |
Chesapeake Transportation System Senior Toll Road Revenue Bonds, Series A, 5.00%, 7/15/47 | 500,000 | 500,030 | |
Fairfax County GO Unlimited Bonds, Series A (State Aid Withholding), 2.00%, 10/01/41 | 1,000,000 | 676,035 | |
Fairfax County IDA Health Care Revenue Refunding Bonds, Inova Health System Project, 3.50%, 5/15/39 | 525,000 | 485,291 | |
Newport News EDA Residential Care Facilities Revenue Refunding Bonds, Lifespire of Virginia, 5.00%, 12/01/38 | 560,000 | 563,780 | |
Virginia State Commonwealth Transportation Board Capital Projects Revenue Bonds, 3.00%, 5/15/37 | 1,000,000 | 887,109 | |
Virginia State Small Business Financing Authority Senior Lien Revenue Bonds (AMT), Elizabeth River Crossings OpCo, LLC Project, | |||
4.00%, 7/01/32 | 275,000 | 278,399 | |
4.00%, 1/01/37 | 660,000 | 655,413 | |
Virginia State Small Business Financing Authority Senior Lien Revenue Refunding Bonds (AMT), 95 Express Lanes, | |||
5.00%, 7/01/38 | 910,000 | 945,524 | |
4.00%, 7/01/39 | 240,000 | 224,184 | |
4.00%, 1/01/40 | 280,000 | 258,449 |
Par | Value | ||
Virginia (Continued) | |||
Virginia State Small Business Financing Authority Senior Lien Revenue Refunding Bonds (AMT), 95 Express Lanes, | |||
4.00%, 1/01/48 | $ 225,000 | $ 197,940 | |
Virginia State Small Business Financing Authority Senior Lien Revenue Refunding Bonds (AMT), I-495 Hot Lanes, 5.00%, 12/31/57 | 1,000,000 | 999,536 | |
8,675,454 | |||
Washington – 2.5% | |||
Energy Northwest Electric Revenue Refunding Bonds, Columbia Generating Station, 4.00%, 7/01/42 | 1,515,000 | 1,494,665 | |
King County Public Hospital District No. 1 GO Limited Tax Refunding Bonds, Valley Medical Center, 5.00%, 12/01/26 | 550,000 | 569,529 | |
King County Sewer Revenue Refunding Bonds, 5.00%, 7/01/42 | 250,000 | 257,905 | |
Port of Seattle Airport Intermediate Lien Revenue Bonds (AMT), 5.00%, 4/01/44 | 500,000 | 510,679 | |
Port of Seattle Intermediate Lien Revenue Refunding Bonds (AMT), 5.00%, 8/01/47 | 250,000 | 257,723 | |
Seattle Housing Authority Revenue Refunding Bonds, Northgate Plaza Project, 1.00%, 6/01/26 | 500,000 | 465,322 | |
Seattle Municipal Light & Power Revenue Refunding Bonds, 4.00%, 9/01/40 | 500,000 | 495,803 | |
Seattle Municipal Light & Power Variable Revenue Refunding Bonds, Series B, (SIFMA Municipal Swap Index Yield + 0.25%), 3.90%, 11/01/26(a)(c) | 750,000 | 731,755 | |
Skagit County Public Hospital District No. 1 Revenue Improvement & Refunding Bonds, Skagit Regional Health, | |||
5.00%, 12/01/27 | 500,000 | 504,617 |
Par | Value | ||
Washington (Continued) | |||
Skagit County Public Hospital District No. 1 Revenue Improvement & Refunding Bonds, Skagit Regional Health, | |||
5.00%, 12/01/28 | $ 440,000 | $ 444,717 | |
Washington State GO Unlimited Bonds, Series C, 5.00%, 2/01/40 | 1,000,000 | 1,072,012 | |
Washington State Health Care Facilities Authority Revenue Bonds, Series A, Providence Health & Services, 4.00%, 10/01/34 | 500,000 | 482,771 | |
Washington State Higher Educational Facilities Authority Revenue Bonds, Seattle University Project, 4.00%, 5/01/50 | 250,000 | 219,327 | |
Washington State Housing Finance Commission Nonprofit Revenue Bonds, Radford Court & Nordheim Court, 5.50%, 7/01/59(g) | 400,000 | 416,959 | |
Washington State Housing Finance Commission Nonprofit Revenue Refunding Bonds, Emerald Heights Project, Series A, 5.00%, 7/01/26 | 285,000 | 291,787 | |
8,215,571 | |||
West Virginia – 0.5% | |||
West Virginia State EDA Solid Waste Disposal Facilities Variable Revenue Bonds, Appalachian Power Company-Amos Project, 3.75%, 6/01/25(a)(b)(c) | 500,000 | 498,592 | |
West Virginia State EDA Solid Waste Disposal Facilities Variable Revenue Refunding Bonds, Series 2015-A, Appalachian Power Company - Amos Project, 3.38%, 6/15/28(a)(b)(c) | 750,000 | 738,776 | |
West Virginia State Housing Development Fund Sustainable Revenue Bonds, Series A, 4.40%, 11/01/44 | 500,000 | 495,993 | |
1,733,361 |
Par | Value | ||
Wisconsin – 2.4% | |||
Clayton Town NANS, Series B, 2.00%, 6/01/25 | $ 225,000 | $ 217,315 | |
Milwaukee Corp., Purpose GO Unlimited Bonds, Series B3, 4.00%, 4/01/26 | 1,000,000 | 1,000,231 | |
Milwaukee GO Unlimited Bonds, Promissory Notes, Series N3 (AGM Insured), 5.00%, 4/01/31 | 500,000 | 552,259 | |
Milwaukee Metropolitan Sewerage District GO Unlimited Bonds, Green Bonds, Climate Bond Certified, 4.00%, 10/01/43 | 500,000 | 484,252 | |
PFA Education Revenue Bonds, North Carolina Leadership Academy, 5.00%, 6/15/49(d) | 100,000 | 91,573 | |
PFA Educational Revenue Bonds, Piedmont Community Charter School, | |||
5.00%, 6/15/39 | 490,000 | 483,414 | |
5.00%, 6/15/49 | 150,000 | 139,229 | |
PFA Exempt Facilities Revenue Refunding Bonds (AMT), National Gypsum Co., 4.00%, 8/01/35 | 370,000 | 329,323 | |
PFA Pollution Control Variable Revenue Refunding Bonds, Duke Energy Progress Project, 3.30%, 10/01/26(a)(b)(c) | 500,000 | 491,703 | |
PFA Project Revenue Bonds, CFP3 - Eastern Michigan University Housing Project (BAM Insured), 5.50%, 7/01/52 | 250,000 | 267,215 | |
PFA Revenue Bonds, Roseman University, Unrefunded Balance, 5.00%, 4/01/50(d) | 250,000 | 246,049 | |
PFA Variable Revenue Refunding Bonds, Providence St. Joseph, 4.00%, 10/01/30(a)(b)(c) | 370,000 | 363,295 | |
Public Financial Authority Solid Waste Disposal Revenue Refunding Bonds (AMT), Waste Management, Inc., Project, 2.88%, 5/01/27 | 495,000 | 475,495 |
Par | Value | ||
Wisconsin (Continued) | |||
Wisconsin Center District TRB, CABS, Junior Dedicated, Series D (AGM Moral Obligation Insured), 0.00%, 12/15/45(e) | $250,000 | $ 87,833 | |
Wisconsin State Health & Educational Facilities Authority Revenue Bonds, Forensic Science & Protective Medicine Collaboration Project, 5.00%, 8/01/27(d) | 500,000 | 508,612 | |
Wisconsin State Health & Educational Facilities Authority Revenue Bonds, Series A, Unitypoint Health, 5.00%, 12/01/28 | 590,000 | 591,833 | |
Wisconsin State Health & Educational Facilities Authority Revenue Bonds, Three Pillars Senior Living Communities, 4.00%, 8/15/31 | 375,000 | 365,259 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Ascension Health Credit Group, 4.00%, 11/15/39 | 290,000 | 280,600 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Benevolent Corp., Cedar Community, 5.00%, 6/01/41 | 250,000 | 226,978 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Froedtert Health, Inc., Series A, 4.00%, 4/01/41 | 350,000 | 338,608 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Rogers Memorial Hospital, Inc., 5.00%, 7/01/25 | 385,000 | 385,579 | |
7,926,655 |
Par | Value | ||
Wyoming – 0.1% | |||
Sublette County Hospital District Revenue Bonds, Series A, Hospital Construction Project, 5.00%, 6/15/26 | $500,000 | $ 496,145 | |
Total Municipal Bonds (Cost $297,767,018) | 284,397,848 |
Par/Number of Shares | |||
Short-Term Investments – 14.0% | |||
Money Market Fund – 2.0% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 5.14%(i) | 6,673,285 | 6,673,285 | |
Municipal – 12.0% | |||
Albuquerque Municipal School District No. 12 GO Unlimited Bonds, (State Aid Withholding), 5.00%, 8/01/24(g) | 1,000,000 | 1,002,578 | |
Atlantic City Board of Education GO Unlimited Refunding Bonds (AGM School Board Resource Fund Insured), 4.00%, 4/01/25 | 350,000 | 350,852 | |
Capital Trust Agency Sustainability Revenue Bonds, The Marie, 4.00%, 6/15/24(d) | 105,000 | 104,851 | |
Cass County Joint Water Resource District GO Unlimited Bonds, Series A, 0.48%, 5/01/24 | 600,000 | 600,000 | |
Charlotte-Mecklenburg Hospital Authority Health Care System Variable Revenue Refunding Bonds, 3.60%, 5/01/24(a)(c)(j) | 2,500,000 | 2,500,000 | |
Clayton Town NANS, Series B, 2.00%, 6/01/24 | 100,000 | 99,591 | |
Colorado Educational & Cultural Authority Revenue Refunding Bonds, Prospect Ridge Academy Project (Moral Obligation Insured), 5.00%, 3/15/25 | 485,000 | 488,227 | |
Colorado State Bridge Enterprise Revenue Bonds (AMT), Central 70 Project, 4.00%, 12/31/24 | 630,000 | 627,514 |
Par/Number of Shares | Value | ||
Municipal (Continued) | |||
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series B-1, 5.00%, 1/01/25(a)(b)(c) | 500,000 | $ 501,857 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, University of Hartford, 5.00%, 7/01/24 | 240,000 | 239,633 | |
Connecticut State HFA Mortgage Finance Program Variable Revenue Bonds, Series A-4, Social Bonds, (SIFMA Municipal Swap Index Yield + 0.30%), 3.95%, 11/15/24(a)(c) | 140,000 | 139,726 | |
Denver City & County Airport Revenue Refunding Bonds, Series D (AMT), 5.00%, 11/15/24 | 500,000 | 502,669 | |
East Baton Rouge Parish Sewerage Commission Revenue Refunding Bonds, Series A, 5.00%, 2/01/25 | 475,000 | 479,853 | |
East Providence GO Unlimited TANS, 4.00%, 7/31/24 | 1,400,000 | 1,399,737 | |
Fairfax County EDA Residential Care Facilities Revenue Refunding Bonds, Series A, Goodwin House, Inc., Prerefunded, 5.00%, 10/01/24(f) | 150,000 | 153,537 | |
Farmington PCR Refunding Bonds, Public Service Company of New Mexico San Juan Project, 1.15%, 6/01/24(a)(b)(c) | 250,000 | 249,279 | |
Fort Bend Independent School District Variable GO Unlimited Bonds, Series B (PSF, Gtd), 3.65%, 8/01/24(a)(b)(c) | 500,000 | 498,928 | |
Glendale IDA Revenue Refunding Bonds, Midwestern University, 5.00%, 5/15/24 | 250,000 | 250,077 | |
Hamden GO Unlimited Refunding Bonds, Series A (BAM Insured), 5.00%, 8/01/24 | 500,000 | 500,891 |
Par/Number of Shares | Value | ||
Municipal (Continued) | |||
Harris County Health Facilities Development Corp., Variable Revenue Refunding Bonds, Methodist Hospital System, 3.70%, 5/01/24(a)(c)(j) | 400,000 | $ 400,000 | |
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 | 274,473 | |
Kentucky State Public Energy Authority Revenue Bonds, Series B, Gas Supply, 4.00%, 1/01/25(a)(b)(c) | 650,000 | 649,752 | |
Kentucky State University COPS, Kentucky State University Project (BAM Insured), 5.00%, 11/01/24 | 230,000 | 231,123 | |
Lancaster Port Authority Gas Revenue Refunding Bonds, Series A, 5.00%, 2/01/25(a)(b)(c) | 225,000 | 226,623 | |
Lehigh County General Purpose Authority Revenue Refunding Bonds, Muhlenberg College Project, (SIFMA Municipal Swap Index Yield + 0.58%), 4.23%, 11/01/24(a)(c) | 395,000 | 394,255 | |
Long Island Power Authority Electric System Variable Revenue Bonds, Series B, 1.65%, 9/01/24(a)(b)(c) | 1,650,000 | 1,632,075 | |
Lowville GO Limited BANS, Series A, 4.63%, 8/22/24 | 465,000 | 464,576 | |
Main Street Natural Gas, Inc., Gas Supply Variable Revenue Bonds, Series B, 4.00%, 12/02/24(a)(b)(c) | 100,000 | 100,013 | |
Maine State Finance Authority Student Loan Revenue Refunding Bonds (AMT) (AGM Insured), 5.00%, 12/01/24 | 500,000 | 502,124 |
Par/Number of Shares | Value | ||
Municipal (Continued) | |||
Maryland State Community Development Administration Housing Revenue Bonds, Series I, Rosemont L.P., 4.38%, 1/01/25(d) | 1,000,000 | $ 995,728 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Peninsula Regional Health System, 5.00%, 7/01/24 | 350,000 | 350,286 | |
Massachusetts State Health & Educational Facilities Authority Variable Revenue Bonds, Museum of Fine Arts Issue, Series A-1, 3.81%, 5/01/24(a)(c)(j) | 4,000,000 | 4,000,000 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board Revenue Refunding Bonds, Trevecca Nazarene University, 3.00%, 10/01/24 | 110,000 | 108,926 | |
Miami-Dade County COPS, Series A, Prerefunded, 5.00%, 5/01/24(b)(c)(f) | 515,000 | 515,000 | |
Michigan State Strategic Fund Limited Obligation Variable Revenue Bonds (AMT), Consumers Energy Co., 1.80%, 10/01/24(a)(b)(c) | 500,000 | 493,868 | |
Milwaukee Refunding GO Unlimited Bonds, Promissory Notes, Series N3 (AGM Insured), 5.00%, 4/01/25 | 1,000,000 | 1,010,803 | |
Missouri State Health & Educational Facilities Authority Revenue Refunding Bonds, Bethesda Health Group, Inc., 4.00%, 8/01/24 | 320,000 | 318,582 | |
Monroe School District GO Unlimited Refunding Bonds (AGM Insured), 5.00%, 3/01/25 | 300,000 | 303,096 |
Par/Number of Shares | Value | ||
Municipal (Continued) | |||
MTA, New York Transportation Variable Revenue Refunding Bonds, Subseries G-3, (SIFMA Municipal Swap Index Yield + 0.43%), 4.08%, 2/01/25(a)(c) | 1,000,000 | $996,268 | |
Multnomah County Hospital Facilities Authority Revenue Refunding Bonds, Adventist Health System, 5.00%, 3/01/25(a)(b)(c) | 500,000 | 500,791 | |
Neshannock Township School District GO Limited Refunding Bonds, Series B (State Aid Withholding), 2.00%, 9/01/24 | 190,000 | 187,988 | |
New Jersey State Higher Education Assistance Authority Student Loan Revenue Bonds, Series B (AMT), 5.00%, 12/01/24 | 570,000 | 573,367 | |
New Jersey Transportation Trust Fund Authority Revenue Refunding Bonds, Series AA, 5.00%, 6/15/24 | 600,000 | 600,535 | |
New Orleans Sewarage Service Revenue Refunding Bonds, 5.00%, 6/01/24 | 500,000 | 500,310 | |
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 | 250,000 | |
Newark GO Limited BANS, 4.50%, 3/20/25 | 500,000 | 500,459 | |
North Carolina State Capital Facilities Finance Agency Educational Facilities Revenue Refunding Bonds, High Point University, 4.00%, 5/01/24 | 240,000 | 240,000 | |
North Carolina State Housing Finance Agency MFH Variable Revenue Bonds, Wind Creek Senior Living, 4.50%, 6/01/24(k) | 481,000 | 480,889 |
Par/Number of Shares | Value | ||
Municipal (Continued) | |||
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, First Mortgage, 4.00%, 1/01/25 | 250,000 | $248,197 | |
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, First Mortgage, United Church Services, Prerefunded, 5.00%, 9/01/24(f) | 155,000 | 155,527 | |
Northside Texas Independent School District GO Unlimited Refunding Bonds (PSF, Gtd), 1.60%, 8/01/24(a)(b)(c) | 335,000 | 333,048 | |
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 | 491,914 | |
Oil City GO Unlimited Bonds, Series A (AGM Insured), 4.00%, 12/01/24 | 150,000 | 150,092 | |
Oklahoma State Development Finance Authority Revenue Refunding Bonds, Oklahoma City University Project, 5.00%, 8/01/24 | 590,000 | 589,228 | |
Park Falls NANS, Series B, 3.00%, 3/01/25 | 975,000 | 960,247 | |
Pennsylvania State Economic Development Financing Authority UPMC Revenue Bonds, Series A-1, 5.00%, 4/15/25 | 200,000 | 202,493 | |
Pima County IDA Education Revenue Refunding Bonds, Series A, 4.00%, 12/15/24(d) | 140,000 | 139,500 | |
Poughkeepsie City GO Limited Refunding Bonds, 4.00%, 4/15/25 | 440,000 | 435,881 | |
Providence GO Unlimited Refunding Bonds, Series A, 5.00%, 1/15/25 | 400,000 | 402,740 |
Par/Number of Shares | Value | ||
Municipal (Continued) | |||
Puerto Rico Commonwealth Restructured GO Unlimited CABS, Series A, 0.00%, 7/01/24(e) | 8,821 | $ 8,755 | |
Salem Hospital Facility Authority Revenue Refunding Bonds, Capital Manor Project, 5.00%, 5/15/24 | 110,000 | 109,996 | |
Sales Tax Securitization Corp. Second Lien Revenue Refunding Bonds, Series A, 5.00%, 1/01/25 | 815,000 | 821,441 | |
San Antonio Water Junior Lien Variable Revenue Bonds, Series A, Prerefunded, 2.63%, 5/01/24(b)(c)(f) | 780,000 | 780,000 | |
San Antonio Water Junior Lien Variable Revenue Bonds, Series A, Unrefunded Balance, 2.63%, 5/01/24(b)(c) | 345,000 | 345,000 | |
South Carolina State Jobs EDA Hospital Revenue Refunding Bonds, Anmed Health Project, 5.00%, 2/01/25 | 1,000,000 | 1,006,781 | |
Tennergy Corp., Gas Revenue Bonds, Series A, 5.00%, 10/01/24(a)(b)(c) | 500,000 | 502,018 | |
Village Community Development District No. 13 Special Assessment Bonds, Limited Offering, 2.63%, 5/01/24 | 125,000 | 125,000 | |
West Cornwall Township Municipal Authority Healthcare Facilities Revenue Refunding Bonds, Lebanon Valley Brethren Home Project, 4.00%, 11/15/24 | 115,000 | 114,433 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Fort Healthcare, Inc., 5.00%, 5/01/24(f) | 350,000 | 350,000 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Series B5, 5.00%, 12/03/24(a)(b)(c) | 855,000 | 858,836 |
Par/Number of Shares | Value | ||
Municipal (Continued) | |||
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 | $ 504,411 | |
Wisconsin State Health & Educational Facilities Authority Variable Revenue Refunding Bonds, Series B, Medical College of Wisconsin (TD Bank LOC), 3.75%, 5/01/24(a)(c)(j) | 1,100,000 | 1,100,000 | |
39,227,248 | |||
Total Short-Term Investments (Cost $46,153,335) | 45,900,533 | ||
Total Investments – 100.6% (Cost $343,920,353) | 330,298,381 | ||
Liabilities less Other Assets – (0.6)% | (1,837,930) | ||
NET ASSETS – 100.0% | $328,460,451 |
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 April 30, 2024 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. As of April 30, 2024, these securities had a total value of $11,034,900 or 3.36% of net assets. | ||
(e) | Zero coupon bond. | ||
(f) | Maturity date represents the prerefunded date. | ||
(g) | When-Issued Security. Coupon rate was not yet in effect at April 30, 2024. | ||
(h) | Amount rounds to less than 0.05%. | ||
(i) | 7-day current yield as of April 30, 2024 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. | ||
(k) | Security has converted to a fixed rate as of June 1, 2023, and will continue at a fixed rate going forward. |
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 |
HDA | Housing Development Authority |
HFA | Housing Finance Authority |
HHDC | Hispanic Housing Development Corporation |
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 |
Q-SBLF | Qualified School Band Loan Fund |
SFM | Single Family Mortgage |
SIFMA | Securities Industry and Financial Markets Association |
SonyMA | State of New York Mortgage Agency |
TANS | Tax Anticipation Notes |
TCRS | Transferable Custodial Receipts |
TRB | Tax Revenue Bonds |
Municipal Issue Type (%)(a),(b) | |
Revenue Bonds | 81.2 |
General Obligation Unlimited Bonds | 11.0 |
Certificates of Participation | 2.1 |
General Obligation Limited Bonds | 1.9 |
Special Tax Bonds | 0.5 |
Tax Allocation Bonds | 0.4 |
General Obligation Unlimited Notes | 0.4 |
Revenue Notes | 0.4 |
Special Assessment Bonds | 0.3 |
General Obligation Limited Notes | 0.3 |
Total | 98.5 |
(a)Percentages shown are based on Net Assets. |
(b)Excludes Short-Term Money Market Fund Investments and Other. |
Sector Diversification (%)(a) | |
General | 16.8 |
Medical | 15.8 |
Transportation | 9.3 |
General Obligation | 8.9 |
Airport | 8.4 |
Development | 6.1 |
Higher Education | 5.6 |
School District | 5.0 |
All other sectors less than 5%(b) | 24.1 |
Total | 100.0 |
(a)Percentages shown are based on Net Assets. |
(b)Includes Other. |
Morningstar Municipal Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Municipal Bonds | $ — | $284,397,848 | $— | $284,397,848 |
Short-Term Investments | 6,673,285 | 39,227,248 | — | 45,900,533 |
Total Investments | $6,673,285 | $323,625,096 | $— | $330,298,381 |
Par | Value | ||
Asset-Backed Securities – 20.5% | |||
Banking – 0.3% | |||
Chase Issuance Trust, Series 2023-A2, Class A, 5.08%, 9/15/30 | $409,000 | $ 408,527 | |
Consumer Services – 0.9% | |||
Avis Budget Rental Car Funding AESOP LLC, | |||
Series 2023-4A, Class A, 5.49%, 6/20/29(a) | 300,000 | 296,991 | |
Series 2023-6A, Class A, 5.81%, 12/20/29(a) | 423,000 | 423,223 | |
Series 2023-8A, Class A, 6.02%, 2/20/30(a) | 306,000 | 309,039 | |
Series 2024-1A, Class A, 5.36%, 6/20/30(a) | 125,000 | 122,923 | |
1,152,176 | |||
Other – 18.9% | |||
ABPCI Direct Lending Fund ABS I Ltd., Series 2020-1A, Class B, 4.94%, 12/20/30(a) | 737,239 | 699,697 | |
ABPCI Direct Lending Fund ABS II LLC, | |||
Series 2022-2A, Class A1, (3M CME Term SOFR + 2.10%, 2.10% Floor), 7.42%, 3/01/32(a)(b) | 223,142 | 218,179 | |
Series 2022-2A, Class C, 8.24%, 3/01/32(a) | 931,420 | 856,533 | |
ABPCI Direct Lending Fund CLO II LLC, Series 2017-1A, Class ER, (3M CME Term SOFR + 7.86%, 7.60% Floor), 13.19%, 4/20/32(a)(b) | 746,000 | 725,748 | |
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)(b) | 245,253 | 244,989 | |
American Express Credit Account Master Trust, | |||
Series 2023-4, Class A, 5.15%, 9/15/30 | 667,000 | 666,055 | |
Series 2024-2, Class A, 5.24%, 4/15/31 | 390,000 | 390,863 | |
Avis Budget Rental Car Funding AESOP LLC, Series 2024-3A, Class A, 5.23%, 12/20/30(a) | 467,000 | 457,662 | |
CARS-DB4 L.P., Series 2020-1A, Class A1, 2.69%, 2/15/50(a) | 143,664 | 139,673 |
Par | Value | ||
Other (Continued) | |||
Cerberus Loan Funding XL LLC, Series 2023-1A, Class A, (3M CME Term SOFR + 2.40%, 2.40% Floor), 7.73%, 3/22/35(a)(b) | $250,000 | $252,491 | |
Cerberus Loan Funding XLI LLC, Series 2023-2A, Class A1, (3M CME Term SOFR + 2.55%, 2.55% Floor), 7.88%, 7/15/35(a)(b) | 419,000 | 421,836 | |
Cerberus Loan Funding XLIII LLC, Series 2023-4A, Class A, (3M CME Term SOFR + 2.43%, 2.43% Floor), 7.75%, 10/15/35(a)(b) | 451,000 | 455,801 | |
Cerberus Loan Funding XXVIII L.P., Series 2020-1A, Class D, (3M CME Term SOFR + 5.56%, 5.30% Floor), 10.89%, 10/15/31(a)(b) | 764,000 | 772,109 | |
Chase Issuance Trust, Series 2024-A2, Class A, 4.63%, 1/15/31 | 559,000 | 546,060 | |
Coinstar Funding LLC, Series 2017-1A, Class A2, 5.22%, 4/25/47(a) | 863,040 | 764,486 | |
Cologix Data Centers U.S. Issuer LLC, Series 2021-1A, Class A2, 3.30%, 12/26/51(a) | 412,000 | 373,650 | |
Diamond Infrastructure Funding LLC, Series 2021-1A, Class C, 3.48%, 4/15/49(a) | 104,000 | 92,374 | |
Diamond Issuer LLC, Series 2021-1A, Class C, 3.79%, 11/20/51(a) | 282,000 | 234,942 | |
Elm Trust, | |||
Series 2020-3A, Class A2, 2.95%, 8/20/29(a) | 48,146 | 46,085 | |
Series 2020-3A, Class B, 4.48%, 8/20/29(a) | 155,965 | 146,869 | |
Series 2020-4A, Class A2, 2.29%, 10/20/29(a) | 51,684 | 49,082 | |
Series 2020-4A, Class B, 3.87%, 10/20/29(a) | 184,068 | 170,693 | |
FCI Funding LLC, Series 2021-1A, Class A, 1.13%, 4/15/33(a) | 10,925 | 10,880 |
Par | Value | ||
Other (Continued) | |||
Ford Credit Floorplan Master Owner Trust, Series 2018-4, Class A, 4.06%, 11/15/30 | $696,000 | $659,363 | |
Fortress Credit Opportunities IX CLO Ltd., Series 2017-9A, Class A1TR, (3M CME Term SOFR + 1.81%, 1.55% Floor), 7.14%, 10/15/33(a)(b) | 954,000 | 956,414 | |
GM Financial Revolving Receivables Trust, | |||
Series 2023-1, Class A, 5.12%, 4/11/35(a) | 437,000 | 432,319 | |
Series 2023-2, Class A, 5.77%, 8/11/36(a) | 109,000 | 110,461 | |
Series 2024-1, Class A, 4.98%, 12/11/36(a) | 527,000 | 518,064 | |
GMF Floorplan Owner Revolving Trust, | |||
Series 2023-2, Class A, 5.34%, 6/15/30(a) | 165,000 | 164,022 | |
Series 2024-2A, Class A, 5.06%, 3/15/31(a) | 239,000 | 235,362 | |
Golub Capital Partners ABS Funding Ltd., | |||
Series 2020-1A, Class A2, 3.21%, 1/22/29(a) | 408,918 | 387,424 | |
Series 2020-1A, Class B, 4.50%, 1/22/29(a) | 281,189 | 262,023 | |
Series 2021-1A, Class A2, 2.77%, 4/20/29(a) | 138,939 | 131,082 | |
Series 2021-1A, Class B, 3.82%, 4/20/29(a) | 369,697 | 344,565 | |
Series 2021-2A, Class A, 2.94%, 10/19/29(a) | 787,270 | 726,247 | |
Series 2021-2A, Class B, 3.99%, 10/19/29(a) | 915,845 | 790,398 | |
Golub Capital Partners Clo 46M Ltd., Series 2019-46A, Class A1R, (3M CME Term SOFR + 1.81%, 1.81% Floor), 7.13%, 4/20/37(a)(b) | 343,000 | 342,996 | |
Golub Capital Partners CLO Ltd., Series 2018-38A, Class C, (3M CME Term SOFR + 3.06%, 2.80% Floor), 8.39%, 7/20/30(a)(b) | 507,000 | 500,327 | |
Helios Issuer LLC, Series 2023-GRID1, Class 1A, 5.75%, 12/20/50(a) | 97,127 | 97,063 |
Par | Value | ||
Other (Continued) | |||
Hertz Vehicle Financing III LLC, Series 2023-4A, Class A, 6.15%, 3/25/30(a) | $285,000 | $286,180 | |
Hotwire Funding LLC, Series 2023-1A, Class A2, 5.69%, 5/20/53(a) | 115,000 | 111,099 | |
Ivy Hill Middle Market Credit Fund XVIII Ltd., Series 18A, Class E, (3M CME Term SOFR + 8.01%, 7.75% Floor), 13.34%, 4/22/33(a)(b) | 970,000 | 922,245 | |
Lake Shore MM CLO III LLC, Series 2019-2A, Class A2R, 2.52%, 10/17/31(a) | 71,589 | 69,283 | |
M&T Equipment, Series 2023-1A, Class A4, 5.75%, 7/15/30(a) | 100,000 | 99,136 | |
MMAF Equipment Finance LLC, | |||
Series 2020-A, Class A5, 1.56%, 10/09/42(a) | 100,000 | 88,179 | |
Series 2024-A, Class A4, 5.10%, 7/13/49(a) | 132,000 | 129,512 | |
Monroe Capital ABS Funding Ltd., | |||
Series 2021-1A, Class A2, 2.82%, 4/22/31(a) | 340,829 | 322,460 | |
Series 2021-1A, Class B, 3.91%, 4/22/31(a) | 205,974 | 196,360 | |
PRET LLC, Series 2021-NPL5, Class A1, (Step to 5.49% on 11/25/24), 2.49%, 10/25/51(a)(c) | 652,701 | 630,947 | |
Pretium Mortgage Credit Partners I LLC, | |||
Series 2021-NPL2, Class A1, (Step to 3.57% on 7/27/24), 1.99%, 6/27/60(a)(c) | 277,056 | 265,136 | |
Series 2021-NPL4, Class A1, (Step to 3.32% on 11/27/24), 2.36%, 10/27/60(a)(c) | 507,269 | 489,039 | |
Progress Residential Trust, | |||
Series 2021-SFR11, Class A, 2.28%, 1/17/39(a) | 121,494 | 104,849 | |
Series 2021-SFR7, Class A, 1.69%, 8/17/40(a) | 112,794 | 95,860 |
Par | Value | ||
Other (Continued) | |||
Progress Residential Trust, | |||
Series 2023-SFR2, Class A, 4.50%, 10/17/28(a) | $ 246,000 | $ 234,897 | |
PRPM LLC, | |||
Series 2021-10, Class A1, (Step to 5.49% on 11/25/24), 2.49%, 10/25/26(a)(c) | 287,533 | 278,708 | |
Series 2021-11, Class A1, (Step to 5.49% on 12/25/24), 2.49%, 11/25/26(a)(c) | 318,141 | 308,577 | |
Series 2021-9, Class A1, (Step to 5.36% on 11/25/24), 2.36%, 10/25/26(a)(c) | 281,339 | 271,216 | |
SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(a) | 211,128 | 192,155 | |
TVEST LLC, Series 2020-A, Class A, 4.50%, 7/15/32(a) | 14,328 | 14,283 | |
VCAT LLC, Series 2021-NPL1, Class A1, (Step to 6.29% on 1/25/25), 5.29%, 12/26/50(a)(c) | 22,780 | 22,550 | |
VCP CLO II Ltd., Series 2021-2A, Class E, (3M CME Term SOFR + 8.67%), 14.00%, 4/15/31(a)(b) | 1,119,000 | 1,118,841 | |
VCP RRL ABS I Ltd., | |||
Series 2021-1A, Class A, 2.15%, 10/20/31(a) | 271,064 | 255,470 | |
Series 2021-1A, Class B, 2.85%, 10/20/31(a) | 242,334 | 222,481 | |
Verizon Master Trust, | |||
Series 2023-3, Class A, 4.73%, 4/21/31(a) | 526,000 | 515,413 | |
Series 2023-6, Class A, 5.35%, 9/22/31(a) | 689,000 | 690,640 | |
Series 2024-2, Class A, 4.83%, 12/22/31(a) | 715,000 | 697,671 | |
VOLT C LLC, Series 2021-NPL9, Class A1, (Step to 5.99% on 5/25/25), 4.99%, 5/25/51(a)(c) | 156,897 | 150,756 | |
VOLT XCIV LLC, Series 2021-NPL3, Class A1, (Step to 6.24% on 2/25/25), 5.24%, 2/27/51(a)(c) | 187,825 | 184,173 |
Par | Value | ||
Other (Continued) | |||
VOLT XCV LLC, Series 2021-NPL4, Class A1, (Step to 6.24% on 3/25/25), 5.24%, 3/27/51(a)(c) | $179,702 | $ 176,423 | |
WEPCO Environmental Trust Finance I LLC, Series 2021-1, Class A, 1.58%, 12/15/35 | 81,676 | 68,631 | |
24,608,057 | |||
Specialty Finance – 0.4% | |||
Mercedes-Benz Auto Receivables Trust, Series 2024-1, Class A4, 4.79%, 7/15/31 | 100,000 | 98,203 | |
Toyota Auto Loan Extended Note Trust, Series 2023-1A, Class A, 4.93%, 6/25/36(a) | 387,000 | 380,723 | |
478,926 | |||
Total Asset-Backed Securities (Cost $27,496,778) | 26,647,686 |
Number of Shares | |||
Common Stocks – 1.0% | |||
Real Estate Services – 0.2% | |||
Copper Property CTL Pass Through Trust(d) | 25,536 | 248,976 | |
Telecommunications – 0.0%(e) | |||
Windstream Corp.(f)* | 3,665 | 34,818 | |
Transportation & Logistics – 0.8% | |||
PHI Group, Inc.(d) | 44,387 | 1,067,507 | |
Total Common Stocks (Cost $1,040,620) | 1,351,301 |
Par | |||
Corporate Bonds – 4.3% | |||
Asset Management – 1.0% | |||
Ares Capital Corp., 2.88%, 6/15/28(g) | $398,000 | 349,641 | |
Blue Owl Credit Income Corp., 7.95%, 6/13/28(a) | 468,000 | 479,385 | |
HPS Corporate Lending Fund, 6.75%, 1/30/29(a) | 207,000 | 204,176 | |
Oaktree Strategic Credit Fund, 8.40%, 11/14/28(a) | 313,000 | 326,829 | |
1,360,031 |
Par | Value | ||
Commercial Support Services – 0.1% | |||
VT Topco, Inc., 8.50%, 8/15/30(a) | $100,000 | $ 103,504 | |
Electric Utilities – 0.9% | |||
Consumers 2023 Securitization Funding LLC, 5.21%, 9/01/30 | 197,000 | 195,422 | |
DTE Electric Securitization Funding II LLC, 5.97%, 3/01/32 | 261,000 | 265,935 | |
PG&E Recovery Funding LLC, 5.05%, 7/15/32 | 311,232 | 305,841 | |
Virginia Power Fuel Securitization LLC, 4.88%, 5/01/31 | 387,000 | 378,486 | |
1,145,684 | |||
Gas & Water Utilities – 0.3% | |||
Kansas Gas Service Securitization I LLC, 5.49%, 8/01/32 | 410,978 | 411,798 | |
Health Care Facilities & Services – 0.3% | |||
Heartland Dental LLC/Heartland Dental Finance Corp., 10.50%, 4/30/28(a) | 359,000 | 377,888 | |
Real Estate Investment Trusts – 0.7% | |||
American Tower Trust #1, 5.49%, 3/15/28(a) | 685,000 | 681,937 | |
SBA Tower Trust, | |||
1.63%, 11/15/26(a) | 117,000 | 104,105 | |
2.33%, 1/15/28(a) | 151,000 | 133,168 | |
919,210 | |||
Specialty Finance – 0.5% | |||
Midcap Financial Issuer Trust, 6.50%, 5/01/28(a) | 761,000 | 688,275 | |
Telecommunications – 0.5% | |||
Consolidated Communications, Inc., 6.50%, 10/01/28(a) | 381,000 | 330,148 | |
Frontier Communications Holdings LLC, | |||
5.88%, 10/15/27(a) | 137,000 | 131,405 | |
6.00%, 1/15/30(a) | 214,000 | 178,314 | |
639,867 | |||
Total Corporate Bonds (Cost $5,747,118) | 5,646,257 |
Par | Value | ||
Foreign Issuer Bonds – 0.1% | |||
Ireland – 0.1% | |||
Cimpress PLC, 7.00%, 6/15/26 | $175,000 | $ 173,645 | |
Total Foreign Issuer Bonds (Cost $163,686) | 173,645 | ||
Mortgage-Backed Securities – 18.8% | |||
Commercial Mortgage-Backed Securities – 2.2% | |||
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class A5, 2.76%, 5/15/53(a) | 540,000 | 463,293 | |
BX Commercial Mortgage Trust, | |||
Series 2021-VOLT, Class E, (1M CME Term SOFR + 2.11%, 2.00% Floor), 7.44%, 9/15/36(a)(b) | 242,000 | 237,869 | |
Series 2021-VOLT, Class F, (1M CME Term SOFR + 2.51%, 2.40% Floor), 7.84%, 9/15/36(a)(b) | 370,000 | 366,300 | |
BX Trust, Series 2019-OC11, Class A, 3.20%, 12/09/41(a) | 418,000 | 364,206 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class C, (1M CME Term SOFR + 1.70%, 1.65% Floor), 7.02%, 5/15/38(a)(b) | 616,000 | 611,380 | |
Manhattan West Mortgage Trust, Series 2020-1MW, Class A, 2.13%, 9/10/39(a) | 407,000 | 355,829 | |
SLG Office Trust, Series 2021-OVA, Class A, 2.59%, 7/15/41(a) | 455,000 | 363,408 | |
VMC Finance LLC, Series 2021-HT1, Class A, (1M CME Term SOFR + 1.76%, 1.65% Floor), 7.08%, 1/18/37(a)(b) | 103,530 | 102,250 | |
2,864,535 | |||
Federal Home Loan Mortgage Corporation – 9.5% | |||
Multifamily Structured Pass Through Certificates, | |||
Series K077, Class A2, 3.85%, 5/25/28 | 100,000 | 95,460 | |
Series K079, Class A2, 3.93%, 6/25/28 | 273,000 | 260,113 | |
Series K080, Class A2, 3.93%, 7/25/28 | 219,000 | 209,090 |
Par | Value | ||
Federal Home Loan Mortgage Corporation (Continued) | |||
Multifamily Structured Pass Through Certificates, | |||
Series K081, Class A2, 3.90%, 8/25/28 | $556,000 | $529,858 | |
Series K082, Class A2, 3.92%, 9/25/28 | 413,000 | 392,719 | |
Series K083, Class A2, 4.05%, 9/25/28 | 209,000 | 200,254 | |
Series K084, Class A2, 3.78%, 10/25/28 | 489,000 | 462,933 | |
Series K085, Class A2, 4.06%, 10/25/28 | 244,000 | 233,623 | |
Series K088, Class A2, 3.69%, 1/25/29 | 100,000 | 94,141 | |
Series K089, Class A2, 3.56%, 1/25/29 | 239,000 | 223,679 | |
Series K090, Class A2, 3.42%, 2/25/29 | 365,000 | 339,266 | |
Series K091, Class A2, 3.51%, 3/25/29 | 215,000 | 200,530 | |
Series K092, Class A2, 3.30%, 4/25/29 | 100,000 | 92,274 | |
Series K093, Class A2, 2.98%, 5/25/29 | 100,000 | 90,954 | |
Series K094, Class A2, 2.90%, 6/25/29 | 532,000 | 479,789 | |
Series K095, Class A2, 2.79%, 6/25/29 | 725,000 | 650,760 | |
Series K096, Class A2, 2.52%, 7/25/29 | 774,000 | 684,221 | |
Series K097, Class A2, 2.51%, 7/25/29 | 359,000 | 316,626 | |
Series K099, Class A2, 2.60%, 9/25/29 | 100,000 | 88,407 | |
Series K102, Class A2, 2.54%, 10/25/29 | 271,000 | 238,420 | |
Series K103, Class A2, 2.65%, 11/25/29 | 382,000 | 337,232 | |
Series K104, Class A2, 2.25%, 1/25/30 | 100,000 | 86,190 | |
Series K105, Class A2, 1.87%, 1/25/30 | 100,000 | 84,164 | |
Series K107, Class A2, 1.64%, 1/25/30 | 100,000 | 83,150 | |
Series K108, Class A2, 1.52%, 3/25/30 | 100,000 | 82,231 | |
Series K109, Class A2, 1.56%, 4/25/30 | 151,000 | 123,918 | |
Series K114, Class A2, 1.37%, 6/25/30 | 100,000 | 80,427 | |
Series K117, Class A2, 1.41%, 8/25/30 | 493,000 | 395,881 | |
Series K751, Class A2, 4.41%, 3/25/30 | 504,000 | 485,695 |
Par | Value | ||
Federal Home Loan Mortgage Corporation (Continued) | |||
Multifamily Structured Pass Through Certificates, | |||
Series K754, Class A2, 4.94%, 11/25/30 | $ 405,000 | $ 399,615 | |
Pool, | |||
1.50%, 11/01/35 - 1/01/42 | 2,999,914 | 2,448,450 | |
1.00%, 7/01/36 | 74,490 | 61,356 | |
4.00%, 10/01/40 - 11/01/40 | 200,159 | 183,845 | |
2.00%, 12/01/40 - 8/01/42 | 708,167 | 574,543 | |
(2.13% - 30D Average SOFR, 2.13% Floor, 6.68% Cap), 1.68%, 9/01/51(b) | 84,613 | 71,339 | |
(30D Average SOFR + 2.13%, 2.13% Floor, 7.57% Cap), 2.57%, 3/01/52(b) | 112,805 | 98,015 | |
(30D Average SOFR + 2.14%, 2.14% Floor, 7.55% Cap), 2.55%, 5/01/52(b) | 72,183 | 62,734 | |
(2.18% - 30D Average SOFR, 2.18% Floor, 7.16% Cap), 2.16%, 7/01/52 - 5/01/53(b) | 816,124 | 696,981 | |
(30D Average SOFR + 2.22%, 2.22% Floor, 8.40% Cap), 3.40%, 11/01/52(b) | 97,176 | 87,718 | |
Real Estate Mortgage Investment Conduits, Series 4162, Class P, 3.00%, 2/15/33 | 94,248 | 89,887 | |
12,416,488 | |||
Federal National Mortgage Association – 5.6% | |||
Interest Strip, Series 284, Class 1, 0.00%, 7/25/27(h) | 38,644 | 35,976 | |
Pool, | |||
1.50%, 12/01/35 - 11/01/41 | 3,777,714 | 3,092,985 | |
1.00%, 4/01/36 - 3/01/37 | 2,282,639 | 1,875,030 | |
2.00%, 11/01/40 - 8/01/42 | 874,574 | 708,645 | |
2.50%, 5/01/41 | 142,751 | 118,893 | |
3.50%, 4/01/44 | 293,937 | 262,269 | |
4.00%, 6/01/45 - 3/01/48 | 756,632 | 694,971 | |
(2.08% - 30D Average SOFR, 2.08% Floor, 6.97% Cap), 1.97%, 8/01/51(b) | 226,412 | 194,211 |
Par | Value | ||
Federal National Mortgage Association (Continued) | |||
Pool, | |||
(2.33% - 30D Average SOFR, 2.33% Floor, 6.89% Cap), 1.89%, 4/01/52(b) | $ 202,546 | $ 172,402 | |
Real Estate Mortgage Investment Conduits, Series 2012-144, Class PD, 3.50%, 4/25/42 | 79,742 | 75,597 | |
7,230,979 | |||
Government National Mortgage Association – 0.3% | |||
Series 2012-150, Class IO, 0.44%, 11/16/52(i)(j) | 638,523 | 5,706 | |
Series 2015-108, Class IO, 0.34%, 10/16/56(i)(j) | 39,583 | 534 | |
Series 2015-7, Class IO, 0.45%, 1/16/57(i)(j) | 1,470,567 | 33,412 | |
Series 2020-42, Class IO, 0.94%, 3/16/62(i)(j) | 1,395,783 | 90,169 | |
Series 2020-43, Class IO, 1.26%, 11/16/61(i)(j) | 944,341 | 69,936 | |
Series 2020-71, Class IO, 1.10%, 1/16/62(i)(j) | 1,205,560 | 86,148 | |
Series 2020-75, Class IO, 0.87%, 2/16/62(i)(j) | 2,225,326 | 134,908 | |
420,813 | |||
Whole Loan – 1.2% | |||
GS Mortgage-Backed Securities Trust, | |||
Series 2021-PJ6, Class A8, 2.50%, 11/25/51(a)(j) | 106,615 | 90,696 | |
Series 2021-PJ7, Class A8, 2.50%, 1/25/52(a)(j) | 153,475 | 130,420 | |
Series 2022-PJ2, Class A24, 3.00%, 6/25/52(a)(j) | 128,031 | 111,136 | |
Series 2022-PJ5, Class A22, 2.50%, 10/25/52(a)(j) | 542,835 | 460,848 | |
J.P. Morgan Mortgage Trust, Series 2021-15,Class A4, 2.50%, 6/25/52(a)(j) | 78,520 | 66,520 | |
JP Morgan Mortgage Trust, | |||
Series 2021-13, Class A4, 2.50%, 4/25/52(a)(j) | 123,175 | 105,042 | |
Series 2022-3, Class A4A, 2.50%, 8/25/52(a)(j) | 81,365 | 68,491 | |
Series 2024-3, Class A4, 3.00%, 5/25/54(a) | 271,392 | 232,965 |
Par | Value | ||
Whole Loan (Continued) | |||
PRET Trust, Series 2024-RPL1, Class A1, 3.90%, 10/25/63(a)(j) | $ 97,699 | $ 89,972 | |
Towd Point Mortgage Trust, | |||
Series 2020-4, Class A1, 1.75%, 10/25/60(a) | 63,159 | 54,801 | |
Series 2023-1, Class A1, 3.75%, 1/25/63(a) | 172,640 | 158,665 | |
1,569,556 | |||
Total Mortgage-Backed Securities (Cost $25,586,309) | 24,502,371 | ||
Municipal Bonds – 0.1% | |||
Texas – 0.1% | |||
Texas Natural Gas Securitization Finance Corp., Taxable Customer Rate Relief Revenue Bonds, 5.10%, 4/01/35 | 97,004 | 95,979 | |
Total Municipal Bonds (Cost $97,004) | 95,979 | ||
Term Loans – 0.7%(b) | |||
Retail - Discretionary – 0.0%(e) | |||
J.C. Penney Corp., Inc., Term Loan(d)(f)(k) | 228,931 | 23 | |
Software – 0.2% | |||
Polaris Newco LLC, Dollar Term Loan, (3M USD CME Term SOFR + 4.00%, 0.50% Floor), 9.59%, 6/02/28(d) | 321,750 | 319,565 | |
Telecommunications – 0.5% | |||
Frontier Communications Corp., Term Loan B, (1M USD CME Term SOFR + 3.75%, 0.75% Floor), 9.18%, 10/08/27(d) | 358,900 | 357,490 | |
Windstream Services II LLC, Initial Term Loan, (1M USD CME Term SOFR + 6.25%, 1.00% Floor), 11.67%, 9/21/27(d) | 303,998 | 302,606 | |
660,096 | |||
Total Term Loans (Cost $974,249) | 979,684 |
Par | Value | ||
U.S. Government Obligations – 3.7% | |||
U.S. Treasury Notes – 3.7% | |||
4.00%, 1/31/29 | $ 983,000 | $ 952,473 | |
4.25%, 2/28/29 | 1,011,000 | 990,385 | |
4.13%, 3/31/29(g) | 2,006,000 | 1,953,656 | |
4.63%, 9/30/30 | 883,000 | 878,551 | |
Total U.S. Government Obligations (Cost $4,825,280) | 4,775,065 |
Number of Shares | |||
Investment Companies – 38.7% | |||
Schwab Short-Term U.S. Treasury ETF | 995,766 | 47,647,403 | |
Vanguard Short-Term Inflation-Protected Securities ETF | 56,437 | 2,697,689 | |
Total Investment Companies (Cost $52,175,821) | 50,345,092 |
Par/Number of Shares | Value | ||
Short-Term Investments – 11.7% | |||
Money Market Fund – 10.6% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 5.14%(l) | 13,763,601 | $ 13,763,601 | |
U.S. Treasury Bills – 1.1% | |||
U.S. Treasury Bill, 4.59%, 5/02/24(m) | 1,418,000 | 1,417,791 | |
Total Short-Term Investments (Cost $15,181,394) | 15,181,392 | ||
Total Investments – 99.6% (Cost $133,288,259) | 129,698,472 | ||
Other Assets less Liabilities – 0.4% | 465,186 | ||
NET ASSETS – 100.0% | $130,163,658 |
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. As of April 30, 2024, these securities had a total value of $31,983,209 or 24.57% of net assets. | ||
(b) | Variable or floating rate security. Rate as of April 30, 2024 is disclosed. | ||
(c) | Step coupon bond. Rate as of April 30, 2024 is disclosed. | ||
(d) | Restricted securities (including private placements) - The Fund may own investment securities that have other legal or contractual limitations. At April 30, 2024, the value of restricted securities (excluding 144A issues) amounted to $2,296,167 or 1.76% of net assets. |
Restricted Security | Acquisition Date | Acquisition Cost | |
Copper Property CTL Pass Through Trust | 11/27/18-2/12/21 | $499,686 | |
Frontier Communications Corp., Term Loan B, 9.18%, 10/08/27 | 4/09/21 | 355,307 | |
J.C. Penney Corp., Inc., Term Loan | 2/12/21-4/29/22 | — | |
PHI Group, Inc. | 8/19/19 | 363,029 | |
Polaris Newco LLC, Dollar Term Loan, 9.59%, 6/02/28 | 6/03/21-12/02/21 | 320,709 | |
Windstream Services II LLC, Initial Term Loan, 11.67%, 9/21/27 | 8/11/20 | 291,838 |
(e) | Amount rounds to less than 0.05%. |
(f) | Investment is valued using significant unobservable inputs (Level 3). |
(g) | Security either partially or fully on loan. (See Note 7). |
(h) | Zero coupon bond. |
(i) | Security is an Interest Only Strip. |
(j) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of April 30, 2024 is disclosed. |
(k) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. |
(l) | 7-day current yield as of April 30, 2024 is disclosed. |
(m) | Discount rate at the time of purchase. |
* | Non-Income Producing Security |
Abbreviations: |
1M | 1 Month |
3M | 3 Month |
30D | 30 Day |
ABS | Asset-Backed Security |
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 | $ — | $26,647,686 | $ — | $ 26,647,686 |
Common Stocks | 1,067,507 | 248,976 | 34,818 | 1,351,301 |
Corporate Bonds | — | 5,646,257 | — | 5,646,257 |
Foreign Issuer Bonds | — | 173,645 | — | 173,645 |
Mortgage-Backed Securities | — | 24,502,371 | — | 24,502,371 |
Municipal Bonds | — | 95,979 | — | 95,979 |
Term Loans | — | 979,661 | 23 | 979,684 |
U.S. Government Obligations | — | 4,775,065 | — | 4,775,065 |
Investment Companies | 50,345,092 | — | — | 50,345,092 |
Short-Term Investments | 13,763,601 | 1,417,791 | — | 15,181,392 |
Total Investments | $65,176,200 | $64,487,431 | $34,841 | $129,698,472 |
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), 12.09%, 7/20/34(b)(c) | $250,000 | $251,283 | |
Pikes Peak CLO 4, Series 2019-4A, Class ER, (3M CME Term SOFR + 6.87%, 6.61% Floor), 12.20%, 7/15/34(b)(c) | 250,000 | 247,375 | |
Total Asset-Backed Securities (Cost $497,800) | 498,658 |
Number of Shares | |||
Common Stocks – 0.2% | |||
Aerospace & Defense – 0.0%(d) | |||
Lockheed Martin Corp. | 127 | 59,046 | |
Biotechnology & Pharmaceuticals – 0.0%(d) | |||
AbbVie, Inc. | 287 | 46,678 | |
Cable & Satellite – 0.0%(d) | |||
Altice USA, Inc., Class A* | 16,055 | 30,986 | |
Engineering & Construction – 0.0%(d) | |||
Mcdermott International Ltd.* | 1,932 | 444 | |
Entertainment Content – 0.1% | |||
Paramount Global, Class B | 11,364 | 129,436 | |
Health Care Facilities & Services – 0.1% | |||
Elevance Health, Inc. | 113 | 59,730 | |
Oil & Gas Producers – 0.0%(d) | |||
Battalion Oil Corp.* | 363 | 1,862 | |
Technology Services – 0.0%(d) | |||
Clarivate PLC* | 78 | 527 | |
Total Common Stocks (Cost $632,705) | 328,709 |
Par (a) | |||
Convertible Bonds – 1.6% | |||
Aerospace & Defense – 0.0%(d) | |||
Axon Enterprise, Inc., 0.50%, 12/15/27 | $35,000 | 50,942 |
Par (a) | Value | ||
Biotechnology & Pharmaceuticals – 0.2% | |||
BioMarin Pharmaceutical, Inc., 1.25%, 5/15/27 | $ 335,000 | $326,457 | |
Cable & Satellite – 0.5% | |||
DISH Network Corp., | |||
0.00%, 12/15/25(e) | 240,000 | 174,600 | |
3.38%, 8/15/26 | 1,185,000 | 722,848 | |
Liberty Media Corp., 3.75%, 3/15/28 | 10,000 | 10,740 | |
908,188 | |||
Electric Utilities – 0.1% | |||
Evergy, Inc., 4.50%, 12/15/27(b) | 30,000 | 30,004 | |
NRG Energy, Inc., 2.75%, 6/01/48 | 20,000 | 35,800 | |
PG&E Corp., 4.25%, 12/01/27(b) | 40,000 | 40,060 | |
105,864 | |||
Internet Media & Services – 0.1% | |||
Booking Holdings, Inc., 0.75%, 5/01/25 | 45,000 | 82,548 | |
Uber Technologies, Inc., 0.88%, 12/01/28(b) | 20,000 | 22,420 | |
Zillow Group, Inc., 1.38%, 9/01/26 | 70,000 | 80,430 | |
185,398 | |||
Leisure Facilities & Services – 0.2% | |||
Carnival Corp., 5.75%, 12/01/27 | 165,000 | 231,825 | |
Royal Caribbean Cruises Ltd., 6.00%, 8/15/25 | 10,000 | 28,500 | |
260,325 | |||
Machinery – 0.0%(d) | |||
Middleby (The) Corp., 1.00%, 9/01/25 | 30,000 | 35,147 | |
Medical Equipment & Devices – 0.0%(d) | |||
Insulet Corp., 0.38%, 9/01/26 | 35,000 | 35,957 | |
Oil & Gas Producers – 0.0%(d) | |||
Pioneer Natural Resources Co., 0.25%, 5/15/25 | 20,000 | 58,620 | |
Publishing & Broadcasting – 0.0%(d) | |||
Liberty Media Corp.-Liberty Formula One, 2.25%, 8/15/27 | 30,000 | 31,127 |
Par (a) | Value | ||
Real Estate Owners & Developers – 0.0%(d) | |||
Sunac China Holdings Ltd., (100% Cash), 1.00%, 9/30/32(b)(f) | $ 21,790 | $ 1,090 | |
Semiconductors – 0.1% | |||
ON Semiconductor Corp., 0.50%, 3/01/29 | 60,000 | 57,900 | |
Wolfspeed, Inc., | |||
0.25%, 2/15/28 | 15,000 | 8,850 | |
1.88%, 12/01/29 | 240,000 | 137,880 | |
204,630 | |||
Software – 0.3% | |||
Datadog, Inc., 0.13%, 6/15/25 | 35,000 | 49,893 | |
Dropbox, Inc., 0.00%, 3/01/28(e) | 35,000 | 31,874 | |
HubSpot, Inc., 0.38%, 6/01/25 | 25,000 | 53,912 | |
Nutanix, Inc., 0.25%, 10/01/27 | 60,000 | 72,420 | |
Palo Alto Networks, Inc., 0.38%, 6/01/25 | 40,000 | 116,900 | |
Vertex, Inc., 0.75%, 5/01/29(b) | 45,000 | 46,980 | |
Zscaler, Inc., 0.13%, 7/01/25 | 60,000 | 75,960 | |
447,939 | |||
Steel – 0.1% | |||
United States Steel Corp., 5.00%, 11/01/26 | 28,000 | 76,846 | |
Technology Services – 0.0%(d) | |||
Shift4 Payments, Inc., | |||
0.00%, 12/15/25(e) | 15,000 | 15,441 | |
0.50%, 8/01/27 | 15,000 | 13,307 | |
28,748 | |||
Total Convertible Bonds (Cost $3,143,332) | 2,757,278 |
Number of Shares | |||
Convertible Preferred Stocks – 0.1% | |||
Asset Management – 0.1% | |||
Apollo Global Management, Inc., 6.75% | 1,456 | 88,787 | |
Technology Services – 0.0%(d) | |||
Clarivate PLC, 5.25% | 2,552 | 69,185 | |
Total Convertible Preferred Stocks (Cost $182,408) | 157,972 |
Par (a) | Value | ||
Corporate Bonds – 42.1% | |||
Advertising & Marketing – 0.2% | |||
Advantage Sales & Marketing, Inc., 6.50%, 11/15/28(b) | $155,000 | $ 144,232 | |
Outfront Media Capital LLC/Outfront Media Capital Corp., 7.38%, 2/15/31(b) | 55,000 | 56,441 | |
Stagwell Global LLC, 5.63%, 8/15/29(b) | 125,000 | 111,917 | |
312,590 | |||
Aerospace & Defense – 1.2% | |||
Boeing (The) Co., | |||
5.15%, 5/01/30 | 150,000 | 141,869 | |
3.63%, 2/01/31 | 95,000 | 81,629 | |
6.39%, 5/01/31(b) | 40,000 | 40,180 | |
6.52%, 5/01/34(b) | 57,000 | 57,410 | |
5.71%, 5/01/40 | 128,000 | 116,211 | |
5.81%, 5/01/50 | 90,000 | 79,643 | |
6.86%, 5/01/54(b) | 40,000 | 40,108 | |
5.93%, 5/01/60 | 5,000 | 4,370 | |
7.01%, 5/01/64(b) | 114,000 | 114,104 | |
HEICO Corp., 5.25%, 8/01/28 | 66,000 | 65,298 | |
L3Harris Technologies, Inc., | |||
5.40%, 7/31/33 | 94,000 | 91,563 | |
5.35%, 6/01/34 | 85,000 | 82,136 | |
Lockheed Martin Corp., 5.20%, 2/15/64 | 63,000 | 58,490 | |
Northrop Grumman Corp., 5.15%, 5/01/40 | 52,000 | 48,828 | |
RTX Corp., | |||
5.75%, 11/08/26 | 51,000 | 51,366 | |
3.50%, 3/15/27 | 109,000 | 103,785 | |
4.45%, 11/16/38 | 65,000 | 56,148 | |
4.80%, 12/15/43 | 7,000 | 6,069 | |
5.38%, 2/27/53 | 46,000 | 42,888 | |
Spirit AeroSystems, Inc., | |||
4.60%, 6/15/28 | 30,000 | 27,643 | |
9.75%, 11/15/30(b) | 50,000 | 55,312 | |
TransDigm, Inc., | |||
6.75%, 8/15/28(b) | 300,000 | 301,275 | |
6.38%, 3/01/29(b) | 125,000 | 124,045 | |
6.88%, 12/15/30(b) | 85,000 | 85,578 | |
6.63%, 3/01/32(b) | 215,000 | 214,634 | |
2,090,582 |
Par (a) | Value | ||
Apparel & Textile Products – 0.0%(d) | |||
Crocs, Inc., 4.13%, 8/15/31(b) | $ 20,000 | $ 16,783 | |
Hanesbrands, Inc., 9.00%, 2/15/31(b) | 30,000 | 29,856 | |
46,639 | |||
Asset Management – 0.7% | |||
Ameriprise Financial, Inc., 5.70%, 12/15/28 | 51,000 | 51,566 | |
BlackRock Funding, Inc., | |||
5.00%, 3/14/34 | 41,000 | 39,813 | |
5.25%, 3/14/54 | 118,000 | 111,385 | |
Blackstone Holdings Finance Co. LLC, 2.00%, 1/30/32(b) | 75,000 | 57,198 | |
Blackstone Secured Lending Fund, 3.63%, 1/15/26 | 60,000 | 57,219 | |
Blue Owl Credit Income Corp., | |||
7.75%, 9/16/27 | 57,000 | 58,210 | |
6.65%, 3/15/31(b) | 36,000 | 34,652 | |
Charles Schwab (The) Corp., (10Y US Treasury CMT + 3.08%), 4.00%, 12/01/30(g)(h) | 62,000 | 50,460 | |
Icahn Enterprises L.P./Icahn Enterprises Finance Corp., | |||
6.38%, 12/15/25 | 15,000 | 14,731 | |
5.25%, 5/15/27 | 630,000 | 578,494 | |
Nuveen LLC, 5.55%, 1/15/30(b) | 75,000 | 74,427 | |
1,128,155 | |||
Automotive – 0.7% | |||
American Honda Finance Corp., | |||
5.13%, 7/07/28 | 37,000 | 36,751 | |
5.65%, 11/15/28 | 44,000 | 44,600 | |
5.85%, 10/04/30 | 71,000 | 72,699 | |
4.90%, 1/10/34 | 41,000 | 39,052 | |
Ford Motor Credit Co. LLC, 4.13%, 8/17/27 | 200,000 | 187,847 | |
General Motors Financial Co., Inc., | |||
(3M USD LIBOR + 3.60%), 5.75%, 9/30/27(g)(h) | 240,000 | 223,895 | |
2.35%, 1/08/31 | 100,000 | 80,372 | |
6.10%, 1/07/34 | 38,000 | 37,751 | |
5.95%, 4/04/34 | 65,000 | 63,577 | |
Hyundai Capital America, | |||
5.68%, 6/26/28(b) | 65,000 | 64,745 | |
6.10%, 9/21/28(b) | 103,000 | 104,181 | |
5.40%, 1/08/31(b) | 21,000 | 20,535 |
Par (a) | Value | ||
Automotive (Continued) | |||
Tenneco, Inc., 8.00%, 11/17/28(b) | $ 60,000 | $ 56,062 | |
Toyota Motor Credit Corp., | |||
4.45%, 6/29/29 | 60,000 | 57,951 | |
5.55%, 11/20/30 | 80,000 | 80,799 | |
4.80%, 1/05/34 | 101,000 | 95,983 | |
Wheel Pros, Inc., 6.50%, 5/15/29(b) | 65,000 | 20,150 | |
1,286,950 | |||
Banking – 2.5% | |||
Bank of America Corp., | |||
(3M CME Term SOFR + 1.30%), 3.42%, 12/20/28(h) | 128,000 | 118,642 | |
(SOFR + 1.63%), 5.20%, 4/25/29(h) | 56,000 | 55,133 | |
(SOFR + 1.06%), 2.09%, 6/14/29(h) | 6,000 | 5,220 | |
(3M CME Term SOFR + 1.57%), 4.27%, 7/23/29(h) | 103,000 | 97,698 | |
(3M CME Term SOFR + 1.44%), 3.19%, 7/23/30(h) | 85,000 | 75,534 | |
(SOFR + 2.15%), 2.59%, 4/29/31(h) | 41,000 | 34,480 | |
(SOFR + 1.22%), 2.65%, 3/11/32(h) | 51,000 | 42,052 | |
(SOFR + 1.32%), 2.69%, 4/22/32(h) | 247,000 | 203,512 | |
(SOFR + 1.22%), 2.30%, 7/21/32(h) | 122,000 | 97,187 | |
(SOFR + 1.33%), 2.97%, 2/04/33(h) | 128,000 | 105,671 | |
(SOFR + 1.83%), 4.57%, 4/27/33(h) | 76,000 | 70,057 | |
(SOFR + 1.91%), 5.29%, 4/25/34(h) | 44,000 | 42,382 | |
(SOFR + 1.84%), 5.87%, 9/15/34(h) | 218,000 | 218,396 | |
(SOFR + 1.65%), 5.47%, 1/23/35(h) | 192,000 | 186,714 | |
(SOFR + 1.93%), 2.68%, 6/19/41(h) | 7,000 | 4,735 | |
Citizens Financial Group, Inc., | |||
(SOFR + 2.33%), 6.65%, 4/25/35(h) | 75,000 | 75,210 | |
(5Y US Treasury CMT + 2.75%), 5.64%, 5/21/37(h) | 55,000 | 50,084 | |
Huntington Bancshares, Inc., | |||
(SOFR Index + 1.87%), 5.71%, 2/02/35(h) | 152,000 | 145,723 |
Par (a) | Value | ||
Banking (Continued) | |||
Huntington Bancshares, Inc., | |||
(5Y US Treasury CMT + 1.17%), 2.49%, 8/15/36(h) | $ 25,000 | $ 18,391 | |
JPMorgan Chase & Co., | |||
(3M CME Term SOFR + 0.58%), 0.97%, 6/23/25(h) | 137,000 | 135,968 | |
(SOFR + 1.16%), 2.30%, 10/15/25(h) | 118,000 | 116,055 | |
(3M CME Term SOFR + 1.51%), 3.96%, 1/29/27(h) | 58,000 | 56,306 | |
(3M CME Term SOFR + 0.70%), 1.04%, 2/04/27(h) | 179,000 | 164,991 | |
(SOFR + 0.89%), 1.58%, 4/22/27(h) | 67,000 | 61,827 | |
(SOFR + 0.77%), 1.47%, 9/22/27(h) | 79,000 | 71,647 | |
(SOFR + 1.33%), 6.07%, 10/22/27(h) | 138,000 | 139,623 | |
(SOFR + 1.17%), 2.95%, 2/24/28(h) | 106,000 | 98,666 | |
(SOFR + 1.89%), 2.18%, 6/01/28(h) | 42,000 | 37,969 | |
(3M CME Term SOFR + 1.21%), 3.51%, 1/23/29(h) | 69,000 | 64,294 | |
(SOFR + 1.02%), 2.07%, 6/01/29(h) | 64,000 | 55,927 | |
(3M CME Term SOFR + 1.59%), 4.45%, 12/05/29(h) | 202,000 | 193,306 | |
(SOFR + 1.31%), 5.01%, 1/23/30(h) | 67,000 | 65,374 | |
(SOFR + 1.07%), 1.95%, 2/04/32(h) | 45,000 | 35,705 | |
(SOFR + 1.62%), 5.34%, 1/23/35(h) | 324,000 | 314,061 | |
(SOFR + 1.49%), 5.77%, 4/22/35(h) | 185,000 | 185,124 | |
KeyCorp, | |||
(SOFR Index + 2.06%), 4.79%, 6/01/33(h) | 46,000 | 40,800 | |
(SOFR Index + 2.42%), 6.40%, 3/06/35(h) | 117,000 | 115,093 | |
PNC Financial Services Group (The), Inc., | |||
(SOFR + 2.28%), 6.88%, 10/20/34(h) | 60,000 | 63,685 | |
(SOFR + 1.90%), 5.68%, 1/22/35(h) | 160,000 | 156,756 |
Par (a) | Value | ||
Banking (Continued) | |||
Truist Financial Corp., | |||
(3M CME Term SOFR + 0.91%), 6.24%, 3/15/28(c) | $106,000 | $ 100,173 | |
(SOFR + 2.24%), 4.92%, 7/28/33(h) | 102,000 | 91,840 | |
(SOFR + 1.92%), 5.71%, 1/24/35(h) | 62,000 | 60,170 | |
Wells Fargo & Co., | |||
(SOFR + 2.02%), 5.39%, 4/24/34(h) | 49,000 | 47,220 | |
(SOFR + 1.99%), 5.56%, 7/25/34(h) | 26,000 | 25,343 | |
(SOFR + 1.78%), 5.50%, 1/23/35(h) | 91,000 | 88,396 | |
(SOFR + 2.53%), 3.07%, 4/30/41(h) | 21,000 | 14,958 | |
(3M CME Term SOFR + 4.50%), 5.01%, 4/04/51(h) | 48,000 | 42,633 | |
(SOFR + 2.13%), 4.61%, 4/25/53(h) | 56,000 | 46,667 | |
4,337,398 | |||
Beverages – 0.1% | |||
Constellation Brands, Inc., 4.80%, 1/15/29 | 50,000 | 48,621 | |
Keurig Dr Pepper, Inc., 5.05%, 3/15/29 | 38,000 | 37,443 | |
86,064 | |||
Biotechnology & Pharmaceuticals – 1.3% | |||
AbbVie, Inc., | |||
3.20%, 5/14/26 | 68,000 | 65,213 | |
3.20%, 11/21/29 | 71,000 | 64,045 | |
5.05%, 3/15/34 | 78,000 | 76,064 | |
4.05%, 11/21/39 | 66,000 | 55,918 | |
4.63%, 10/01/42 | 17,000 | 14,991 | |
5.35%, 3/15/44 | 47,000 | 45,453 | |
5.40%, 3/15/54 | 56,000 | 54,218 | |
5.50%, 3/15/64 | 76,000 | 73,276 | |
Amgen, Inc., | |||
2.45%, 2/21/30 | 28,000 | 23,882 | |
5.25%, 3/02/30 | 41,000 | 40,639 | |
2.30%, 2/25/31 | 13,000 | 10,719 | |
3.15%, 2/21/40 | 82,000 | 59,833 | |
5.75%, 3/02/63 | 53,000 | 50,624 | |
Bausch Health Cos., Inc., | |||
6.13%, 2/01/27(b) | 65,000 | 47,613 | |
4.88%, 6/01/28(b) | 520,000 | 335,909 | |
Bristol-Myers Squibb Co., | |||
4.90%, 2/22/27 | 72,000 | 71,395 | |
4.90%, 2/22/29 | 101,000 | 99,474 | |
6.40%, 11/15/63 | 60,000 | 63,922 |
Par (a) | Value | ||
Biotechnology & Pharmaceuticals (Continued) | |||
Bristol-Myers Squibb Co., | |||
5.65%, 2/22/64 | $ 55,000 | $ 52,642 | |
Eli Lilly & Co., | |||
4.70%, 2/09/34 | 52,000 | 49,781 | |
5.55%, 3/15/37 | 53,000 | 53,940 | |
5.00%, 2/09/54 | 71,000 | 66,026 | |
Johnson & Johnson, | |||
3.63%, 3/03/37 | 61,000 | 51,676 | |
5.85%, 7/15/38 | 41,000 | 43,330 | |
2.10%, 9/01/40 | 33,000 | 21,509 | |
Pfizer Investment Enterprises Pte. Ltd., | |||
4.65%, 5/19/30 | 43,000 | 41,582 | |
5.11%, 5/19/43 | 53,000 | 49,338 | |
5.30%, 5/19/53 | 77,000 | 71,805 | |
5.34%, 5/19/63 | 222,000 | 203,654 | |
Prestige Brands, Inc., 3.75%, 4/01/31(b) | 45,000 | 38,281 | |
Royalty Pharma PLC, | |||
1.75%, 9/02/27 | 101,000 | 89,320 | |
3.30%, 9/02/40 | 95,000 | 66,949 | |
Utah Acquisition Sub, Inc., 5.25%, 6/15/46 | 84,000 | 67,097 | |
Viatris, Inc., 3.85%, 6/22/40 | 47,000 | 33,196 | |
2,253,314 | |||
Cable & Satellite – 2.7% | |||
Block Communications, Inc., 4.88%, 3/01/28(b) | 25,000 | 21,616 | |
CCO Holdings LLC/CCO Holdings Capital Corp., | |||
4.75%, 3/01/30(b) | 620,000 | 515,186 | |
4.25%, 2/01/31(b) | 25,000 | 19,566 | |
4.50%, 6/01/33(b) | 409,000 | 307,565 | |
4.25%, 1/15/34(b) | 1,140,000 | 825,943 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, | |||
4.80%, 3/01/50 | 194,000 | 135,734 | |
5.25%, 4/01/53 | 33,000 | 24,772 | |
3.85%, 4/01/61 | 32,000 | 17,880 | |
4.40%, 12/01/61 | 83,000 | 51,382 | |
3.95%, 6/30/62 | 67,000 | 38,040 | |
Comcast Corp., | |||
5.65%, 6/15/35 | 72,000 | 72,032 | |
6.50%, 11/15/35 | 11,000 | 11,740 | |
3.20%, 7/15/36 | 81,000 | 63,697 | |
3.25%, 11/01/39 | 88,000 | 65,208 | |
5.50%, 5/15/64 | 152,000 | 141,598 |
Par (a) | Value | ||
Cable & Satellite (Continued) | |||
CSC Holdings LLC, | |||
5.75%, 1/15/30(b) | $ 900,000 | $ 394,668 | |
4.63%, 12/01/30(b) | 1,000,000 | 434,033 | |
3.38%, 2/15/31(b) | 200,000 | 123,313 | |
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 8/15/27(b) | 495,000 | 461,378 | |
DISH DBS Corp., | |||
7.75%, 7/01/26 | 315,000 | 197,687 | |
5.25%, 12/01/26(b) | 285,000 | 224,119 | |
7.38%, 7/01/28 | 80,000 | 35,835 | |
5.75%, 12/01/28(b) | 190,000 | 128,304 | |
5.13%, 6/01/29 | 610,000 | 245,026 | |
DISH Network Corp., 11.75%, 11/15/27(b) | 55,000 | 55,442 | |
Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, 9/15/28(b) | 130,000 | 54,362 | |
4,666,126 | |||
Chemicals – 0.4% | |||
Air Products and Chemicals, Inc., 4.85%, 2/08/34 | 55,000 | 52,516 | |
Ashland, Inc., 3.38%, 9/01/31(b) | 35,000 | 29,030 | |
ASP Unifrax Holdings, Inc., 5.25%, 9/30/28(b) | 75,000 | 45,185 | |
Chemours (The) Co., | |||
5.75%, 11/15/28(b) | 165,000 | 151,532 | |
4.63%, 11/15/29(b) | 20,000 | 17,137 | |
Dow Chemical (The) Co., 4.38%, 11/15/42 | 71,000 | 57,627 | |
Olympus Water U.S. Holding Corp., 9.75%, 11/15/28(b) | 200,000 | 212,224 | |
RPM International, Inc., 2.95%, 1/15/32 | 86,000 | 70,673 | |
Sherwin-Williams (The) Co., 4.50%, 6/01/47 | 31,000 | 25,546 | |
Westlake Corp., 3.13%, 8/15/51 | 61,000 | 36,998 | |
WR Grace Holdings LLC, 5.63%, 8/15/29(b) | 15,000 | 13,432 | |
711,900 | |||
Commercial Support Services – 0.5% | |||
ADT Security (The) Corp., 4.13%, 8/01/29(b) | 265,000 | 239,545 | |
Aramark Services, Inc., 5.00%, 2/01/28(b) | 25,000 | 23,737 | |
Clean Harbors, Inc., | |||
5.13%, 7/15/29(b) | 5,000 | 4,764 |
Par (a) | Value | ||
Commercial Support Services (Continued) | |||
Clean Harbors, Inc., | |||
6.38%, 2/01/31(b) | $ 50,000 | $ 49,535 | |
Covanta Holding Corp., 4.88%, 12/01/29(b) | 160,000 | 140,257 | |
GFL Environmental, Inc., | |||
4.00%, 8/01/28(b) | 80,000 | 72,511 | |
6.75%, 1/15/31(b) | 50,000 | 50,404 | |
Prime Security Services Borrower LLC/Prime Finance, Inc., 3.38%, 8/31/27(b) | 30,000 | 27,323 | |
Republic Services, Inc., | |||
2.90%, 7/01/26 | 35,000 | 33,346 | |
4.88%, 4/01/29 | 76,000 | 74,515 | |
VT Topco, Inc., 8.50%, 8/15/30(b) | 80,000 | 82,803 | |
Waste Management, Inc., | |||
2.00%, 6/01/29 | 47,000 | 40,316 | |
4.63%, 2/15/30 | 34,000 | 32,923 | |
4.88%, 2/15/34 | 56,000 | 53,843 | |
925,822 | |||
Construction Materials – 0.2% | |||
Advanced Drainage Systems, Inc., 6.38%, 6/15/30(b) | 140,000 | 139,180 | |
Standard Industries, Inc., 4.38%, 7/15/30(b) | 80,000 | 70,852 | |
Summit Materials LLC/Summit Materials Finance Corp., 7.25%, 1/15/31(b) | 80,000 | 82,187 | |
292,219 | |||
Containers & Packaging – 0.1% | |||
Clydesdale Acquisition Holdings, Inc., 8.75%, 4/15/30(b) | 55,000 | 53,155 | |
Packaging Corp. of America, 5.70%, 12/01/33 | 52,000 | 51,801 | |
WRKCo, Inc., 4.65%, 3/15/26 | 20,000 | 19,623 | |
124,579 | |||
Diversified Industrials – 0.1% | |||
Honeywell International, Inc., | |||
5.00%, 2/15/33 | 25,000 | 24,534 | |
5.25%, 3/01/54 | 53,000 | 50,236 | |
Parker-Hannifin Corp., 4.25%, 9/15/27 | 116,000 | 112,202 | |
186,972 |
Par (a) | Value | ||
E-Commerce Discretionary – 0.1% | |||
Amazon.com, Inc., | |||
2.10%, 5/12/31 | $ 17,000 | $ 13,991 | |
4.70%, 12/01/32 | 31,000 | 30,107 | |
3.10%, 5/12/51 | 60,000 | 40,177 | |
3.25%, 5/12/61 | 25,000 | 16,271 | |
100,546 | |||
Electric Utilities – 2.5% | |||
AES (The) Corp., 5.45%, 6/01/28 | 52,000 | 51,205 | |
Alabama Power Co., | |||
5.85%, 11/15/33 | 36,000 | 36,715 | |
3.75%, 3/01/45 | 33,000 | 24,814 | |
4.30%, 7/15/48 | 38,000 | 30,503 | |
3.45%, 10/01/49 | 26,000 | 18,056 | |
Alliant Energy Finance LLC, 3.60%, 3/01/32(b) | 28,000 | 23,785 | |
Ameren Corp., | |||
5.70%, 12/01/26 | 101,000 | 101,237 | |
5.00%, 1/15/29 | 77,000 | 75,098 | |
American Electric Power Co., Inc., 5.63%, 3/01/33 | 41,000 | 40,077 | |
Calpine Corp., 4.50%, 2/15/28(b) | 125,000 | 116,734 | |
CMS Energy Corp., (5Y US Treasury CMT + 4.12%), 4.75%, 6/01/50(h) | 97,000 | 87,617 | |
Commonwealth Edison Co., 5.90%, 3/15/36 | 73,000 | 74,646 | |
Consolidated Edison Co. of New York, Inc., 4.63%, 12/01/54 | 51,000 | 42,109 | |
Consumers Energy Co., 4.90%, 2/15/29 | 87,000 | 85,531 | |
Dominion Energy South Carolina, Inc., 6.25%, 10/15/53 | 51,000 | 53,987 | |
DTE Energy Co., 5.85%, 6/01/34 | 55,000 | 54,689 | |
Duke Energy Carolinas LLC, | |||
4.25%, 12/15/41 | 18,000 | 14,775 | |
3.75%, 6/01/45 | 6,000 | 4,419 | |
Duke Energy Corp., 3.15%, 8/15/27 | 32,000 | 29,779 | |
Duke Energy Florida LLC, | |||
2.40%, 12/15/31 | 35,000 | 28,563 | |
5.88%, 11/15/33 | 29,000 | 29,638 | |
5.95%, 11/15/52 | 29,000 | 29,191 | |
Duke Energy Ohio, Inc., | |||
5.25%, 4/01/33 | 22,000 | 21,465 | |
3.70%, 6/15/46 | 44,000 | 32,038 | |
4.30%, 2/01/49 | 49,000 | 38,403 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
Duke Energy Ohio, Inc., | |||
5.65%, 4/01/53 | $ 15,000 | $ 14,372 | |
Duke Energy Progress LLC, | |||
4.10%, 5/15/42 | 32,000 | 25,641 | |
4.10%, 3/15/43 | 22,000 | 17,410 | |
4.20%, 8/15/45 | 61,000 | 48,066 | |
5.35%, 3/15/53 | 41,000 | 38,048 | |
Entergy Arkansas LLC, | |||
4.00%, 6/01/28 | 10,000 | 9,511 | |
2.65%, 6/15/51 | 14,000 | 7,955 | |
Entergy Louisiana LLC, | |||
3.25%, 4/01/28 | 5,000 | 4,621 | |
5.35%, 3/15/34 | 17,000 | 16,488 | |
Entergy Texas, Inc., 5.80%, 9/01/53 | 20,000 | 19,566 | |
Evergy Kansas Central, Inc., 5.70%, 3/15/53 | 37,000 | 35,563 | |
Eversource Energy, | |||
1.40%, 8/15/26 | 119,000 | 107,924 | |
2.90%, 3/01/27 | 68,000 | 63,105 | |
5.45%, 3/01/28 | 51,000 | 50,597 | |
5.95%, 2/01/29 | 61,000 | 61,696 | |
5.13%, 5/15/33 | 34,000 | 32,064 | |
5.50%, 1/01/34 | 52,000 | 50,053 | |
5.95%, 7/15/34 | 105,000 | 104,239 | |
Exelon Corp., | |||
5.15%, 3/15/28 | 82,000 | 80,912 | |
4.95%, 6/15/35 | 97,000 | 88,321 | |
FirstEnergy Pennsylvania Electric Co., 5.20%, 4/01/28(b) | 43,000 | 42,479 | |
Florida Power & Light Co., | |||
4.63%, 5/15/30 | 33,000 | 31,979 | |
4.80%, 5/15/33 | 23,000 | 21,900 | |
5.40%, 9/01/35 | 31,000 | 30,600 | |
5.65%, 2/01/37 | 20,000 | 20,003 | |
Indiana Michigan Power Co., | |||
3.85%, 5/15/28 | 22,000 | 20,677 | |
6.05%, 3/15/37 | 12,000 | 12,064 | |
IPALCO Enterprises, Inc., 4.25%, 5/01/30 | 66,000 | 60,567 | |
Liberty Utilities Co., 5.87%, 1/31/34(b) | 95,000 | 92,787 | |
MidAmerican Energy Co., | |||
4.80%, 9/15/43 | 15,000 | 13,339 | |
4.40%, 10/15/44 | 95,000 | 78,354 | |
Mississippi Power Co., | |||
4.75%, 10/15/41 | 11,000 | 9,113 | |
4.25%, 3/15/42 | 26,000 | 20,908 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
Monongahela Power Co., 5.85%, 2/15/34(b) | $ 66,000 | $ 65,776 | |
National Rural Utilities Cooperative Finance Corp., | |||
5.60%, 11/13/26 | 96,000 | 96,283 | |
3.40%, 2/07/28 | 22,000 | 20,551 | |
5.00%, 2/07/31 | 48,000 | 46,604 | |
2.75%, 4/15/32 | 32,000 | 26,342 | |
4.02%, 11/01/32 | 41,000 | 36,655 | |
4.15%, 12/15/32 | 50,000 | 45,091 | |
5.80%, 1/15/33 | 29,000 | 29,399 | |
(3M USD LIBOR + 3.63%), 5.25%, 4/20/46(h) | 97,000 | 93,910 | |
Nevada Power Co., 6.00%, 3/15/54 | 24,000 | 23,937 | |
NextEra Energy Capital Holdings, Inc., | |||
1.88%, 1/15/27 | 70,000 | 63,622 | |
5.25%, 3/15/34 | 63,000 | 60,446 | |
(5Y US Treasury CMT + 2.36%), 6.70%, 9/01/54(h) | 50,000 | 49,520 | |
Niagara Mohawk Power Corp., | |||
1.96%, 6/27/30(b) | 58,000 | 47,154 | |
5.66%, 1/17/54(b) | 78,000 | 73,401 | |
NRG Energy, Inc., | |||
5.25%, 6/15/29(b) | 10,000 | 9,458 | |
3.88%, 2/15/32(b) | 9,000 | 7,583 | |
NSTAR Electric Co., 5.50%, 3/15/40 | 68,000 | 65,375 | |
Pacific Gas and Electric Co., | |||
3.25%, 6/01/31 | 31,000 | 26,222 | |
4.45%, 4/15/42 | 52,000 | 40,616 | |
4.30%, 3/15/45 | 46,000 | 34,319 | |
6.75%, 1/15/53 | 32,000 | 32,991 | |
PacifiCorp., | |||
4.10%, 2/01/42 | 90,000 | 68,409 | |
5.80%, 1/15/55 | 63,000 | 58,131 | |
PECO Energy Co., 4.90%, 6/15/33 | 26,000 | 25,075 | |
PG&E Corp., | |||
5.00%, 7/01/28 | 105,000 | 100,047 | |
5.25%, 7/01/30 | 15,000 | 14,044 | |
PPL Electric Utilities Corp., 4.85%, 2/15/34 | 83,000 | 79,051 | |
Public Service Co. of New Hampshire, 5.15%, 1/15/53 | 12,000 | 11,042 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
Public Service Electric and Gas Co., | |||
3.00%, 5/15/27 | $ 14,000 | $ 13,124 | |
5.20%, 3/01/34 | 50,000 | 48,864 | |
5.50%, 3/01/40 | 44,000 | 42,946 | |
3.80%, 3/01/46 | 5,000 | 3,796 | |
Public Service Enterprise Group, Inc., | |||
5.85%, 11/15/27 | 54,000 | 54,567 | |
2.45%, 11/15/31 | 90,000 | 72,428 | |
Southern California Edison Co., | |||
4.05%, 3/15/42 | 60,000 | 46,584 | |
4.00%, 4/01/47 | 33,000 | 24,698 | |
3.65%, 2/01/50 | 15,000 | 10,449 | |
Southwestern Electric Power Co., 5.30%, 4/01/33 | 34,000 | 32,397 | |
Talen Energy Supply LLC, 8.63%, 6/01/30(b) | 45,000 | 47,612 | |
Virginia Electric and Power Co., | |||
3.80%, 4/01/28 | 104,000 | 98,131 | |
5.70%, 8/15/53 | 15,000 | 14,594 | |
WEC Energy Group, Inc., | |||
5.00%, 9/27/25 | 15,000 | 14,857 | |
5.15%, 10/01/27 | 20,000 | 19,787 | |
4,371,884 | |||
Electric, Gas Marketing & Trading – 0.1% | |||
New York State Electric & Gas Corp., 3.25%, 12/01/26(b) | 95,000 | 88,593 | |
Electrical Equipment – 0.2% | |||
Carrier Global Corp., | |||
5.80%, 11/30/25 | 74,000 | 74,137 | |
2.49%, 2/15/27 | 29,000 | 26,715 | |
2.72%, 2/15/30 | 16,000 | 13,806 | |
6.20%, 3/15/54 | 62,000 | 64,636 | |
Sensata Technologies, Inc., | |||
4.38%, 2/15/30(b) | 20,000 | 17,906 | |
3.75%, 2/15/31(b) | 125,000 | 105,635 | |
Trane Technologies Financing Ltd., | |||
3.50%, 3/21/26 | 25,000 | 24,030 | |
3.80%, 3/21/29 | 20,000 | 18,703 | |
5.25%, 3/03/33 | 60,000 | 59,021 | |
Trane Technologies Global Holding Co. Ltd., 3.75%, 8/21/28 | 20,000 | 18,779 | |
423,368 |
Par (a) | Value | ||
Engineering & Construction – 0.0%(d) | |||
Installed Building Products, Inc., 5.75%, 2/01/28(b) | $ 30,000 | $ 29,108 | |
Entertainment Content – 0.6% | |||
AMC Networks, Inc., 10.25%, 1/15/29(b) | 45,000 | 44,918 | |
Paramount Global, | |||
3.70%, 6/01/28 | 75,000 | 67,049 | |
5.50%, 5/15/33 | 18,000 | 15,544 | |
6.88%, 4/30/36 | 125,000 | 116,220 | |
4.38%, 3/15/43 | 210,000 | 139,118 | |
5.85%, 9/01/43 | 104,000 | 82,328 | |
4.95%, 5/19/50 | 29,000 | 20,242 | |
Time Warner Cable Enterprises LLC, 8.38%, 7/15/33 | 37,000 | 40,085 | |
Warnermedia Holdings, Inc., | |||
3.76%, 3/15/27 | 107,000 | 100,826 | |
5.05%, 3/15/42 | 111,000 | 88,857 | |
5.14%, 3/15/52 | 235,000 | 179,990 | |
5.39%, 3/15/62 | 84,000 | 64,316 | |
959,493 | |||
Food – 0.6% | |||
Cargill, Inc., | |||
2.13%, 4/23/30(b) | 34,000 | 28,439 | |
1.70%, 2/02/31(b) | 39,000 | 31,060 | |
2.13%, 11/10/31(b) | 18,000 | 14,371 | |
Fiesta Purchaser, Inc., 7.88%, 3/01/31(b) | 120,000 | 122,276 | |
HLF Financing S.a.r.l. LLC/Herbalife International, Inc., 4.88%, 6/01/29(b) | 70,000 | 41,118 | |
J M Smucker (The) Co., 2.75%, 9/15/41 | 40,000 | 25,838 | |
Kraft Heinz Foods Co., | |||
5.00%, 6/04/42 | 29,000 | 25,901 | |
5.20%, 7/15/45 | 29,000 | 26,137 | |
Lamb Weston Holdings, Inc., 4.38%, 1/31/32(b) | 205,000 | 177,654 | |
Mars, Inc., 2.38%, 7/16/40(b) | 99,000 | 65,229 | |
Nestle Capital Corp., 4.88%, 3/12/34(b) | 150,000 | 145,241 | |
Post Holdings, Inc., 6.25%, 2/15/32(b) | 140,000 | 138,131 | |
Simmons Foods, Inc., 4.63%, 3/01/29(b) | 65,000 | 56,082 | |
Tyson Foods, Inc., 5.40%, 3/15/29 | 65,000 | 64,327 | |
961,804 |
Par (a) | Value | ||
Gas & Water Utilities – 0.2% | |||
American Water Capital Corp., | |||
5.15%, 3/01/34 | $ 52,000 | $ 50,391 | |
5.45%, 3/01/54 | 132,000 | 124,496 | |
AmeriGas Partners L.P./AmeriGas Finance Corp., 9.38%, 6/01/28(b) | 55,000 | 57,146 | |
Essential Utilities, Inc., 5.38%, 1/15/34 | 42,000 | 40,447 | |
Ferrellgas L.P./Ferrellgas Finance Corp., 5.38%, 4/01/26(b) | 65,000 | 63,690 | |
South Jersey Industries, Inc., 5.02%, 4/15/31 | 66,000 | 52,088 | |
388,258 | |||
Health Care Facilities & Services – 1.8% | |||
AdaptHealth LLC, | |||
4.63%, 8/01/29(b) | 35,000 | 29,488 | |
5.13%, 3/01/30(b) | 95,000 | 80,866 | |
Cardinal Health, Inc., 5.13%, 2/15/29 | 90,000 | 88,588 | |
Cencora, Inc., 5.13%, 2/15/34 | 85,000 | 82,124 | |
Centene Corp., | |||
2.45%, 7/15/28 | 76,000 | 66,333 | |
3.00%, 10/15/30 | 80,000 | 67,061 | |
2.50%, 3/01/31 | 62,000 | 49,829 | |
2.63%, 8/01/31 | 40,000 | 32,006 | |
CHS/Community Health Systems, Inc., 5.25%, 5/15/30(b) | 270,000 | 220,748 | |
Cigna Group (The), | |||
5.25%, 2/15/34 | 78,000 | 75,169 | |
4.80%, 8/15/38 | 116,000 | 103,843 | |
3.20%, 3/15/40 | 27,000 | 19,513 | |
5.60%, 2/15/54 | 148,000 | 139,398 | |
CVS Health Corp., | |||
5.00%, 1/30/29 | 41,000 | 40,267 | |
4.78%, 3/25/38 | 184,000 | 162,009 | |
4.13%, 4/01/40 | 30,000 | 23,961 | |
2.70%, 8/21/40 | 34,000 | 22,226 | |
5.63%, 2/21/53 | 29,000 | 26,751 | |
5.88%, 6/01/53 | 30,000 | 28,580 | |
6.00%, 6/01/63 | 11,000 | 10,534 | |
DaVita, Inc., 3.75%, 2/15/31(b) | 215,000 | 176,918 | |
Elevance Health, Inc., 2.88%, 9/15/29 | 54,000 | 47,608 | |
Encompass Health Corp., 4.75%, 2/01/30 | 105,000 | 96,289 |
Par (a) | Value | ||
Health Care Facilities & Services (Continued) | |||
Fortrea Holdings, Inc., 7.50%, 7/01/30(b) | $ 25,000 | $ 25,218 | |
HCA, Inc., | |||
5.88%, 2/01/29 | 15,000 | 15,074 | |
3.38%, 3/15/29 | 35,000 | 31,509 | |
4.13%, 6/15/29 | 75,000 | 69,688 | |
3.50%, 9/01/30 | 31,000 | 27,332 | |
2.38%, 7/15/31 | 32,000 | 25,622 | |
5.60%, 4/01/34 | 57,000 | 55,618 | |
5.13%, 6/15/39 | 64,000 | 57,620 | |
5.25%, 6/15/49 | 77,000 | 66,631 | |
6.00%, 4/01/54 | 44,000 | 41,933 | |
6.10%, 4/01/64 | 39,000 | 36,932 | |
Humana, Inc., | |||
5.75%, 3/01/28 | 41,000 | 41,211 | |
5.75%, 12/01/28 | 51,000 | 51,199 | |
LifePoint Health, Inc., 5.38%, 1/15/29(b) | 205,000 | 163,905 | |
Molina Healthcare, Inc., | |||
3.88%, 11/15/30(b) | 15,000 | 13,009 | |
3.88%, 5/15/32(b) | 135,000 | 112,965 | |
Quest Diagnostics, Inc., | |||
2.95%, 6/30/30 | 20,000 | 17,315 | |
2.80%, 6/30/31 | 25,000 | 20,879 | |
Radiology Partners, Inc., 8.50%, 1/31/29(b)(f) | 44,820 | 41,346 | |
Star Parent, Inc., 9.00%, 10/01/30(b) | 110,000 | 115,066 | |
U.S. Acute Care Solutions LLC, 6.38%, 3/01/26(b) | 50,000 | 50,625 | |
UnitedHealth Group, Inc., | |||
5.00%, 4/15/34 | 60,000 | 58,038 | |
3.50%, 8/15/39 | 32,000 | 25,135 | |
2.75%, 5/15/40 | 78,000 | 54,634 | |
3.05%, 5/15/41 | 35,000 | 25,325 | |
3.75%, 10/15/47 | 9,000 | 6,732 | |
4.45%, 12/15/48 | 9,000 | 7,560 | |
3.25%, 5/15/51 | 42,000 | 28,224 | |
4.75%, 5/15/52 | 16,000 | 13,919 | |
5.38%, 4/15/54 | 45,000 | 42,745 | |
5.20%, 4/15/63 | 53,000 | 48,278 | |
5.50%, 4/15/64 | 50,000 | 47,446 | |
3,128,842 | |||
Home & Office Products – 0.1% | |||
Newell Brands, Inc., 5.70%, 4/01/26 | 155,000 | 152,528 | |
Home Construction – 0.2% | |||
Camelot Return Merger Sub, Inc., 8.75%, 8/01/28(b) | 20,000 | 19,662 |
Par (a) | Value | ||
Home Construction (Continued) | |||
Cornerstone Building Brands, Inc., 6.13%, 1/15/29(b) | $120,000 | $101,254 | |
Fortune Brands Innovations, Inc., 5.88%, 6/01/33 | 44,000 | 43,783 | |
MIWD Holdco II LLC/MIWD Finance Corp., 5.50%, 2/01/30(b) | 90,000 | 81,509 | |
Mohawk Industries, Inc., 5.85%, 9/18/28 | 141,000 | 142,509 | |
388,717 | |||
Household Products – 0.5% | |||
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, | |||
4.75%, 1/15/29(b) | 255,000 | 237,705 | |
6.63%, 7/15/30(b) | 125,000 | 125,075 | |
Energizer Holdings, Inc., 4.38%, 3/31/29(b) | 410,000 | 362,185 | |
Kenvue, Inc., | |||
5.05%, 3/22/28 | 35,000 | 34,866 | |
4.90%, 3/22/33 | 40,000 | 38,716 | |
5.10%, 3/22/43 | 32,000 | 30,192 | |
5.05%, 3/22/53 | 35,000 | 32,319 | |
5.20%, 3/22/63 | 32,000 | 29,610 | |
890,668 | |||
Industrial Support Services – 0.1% | |||
Resideo Funding, Inc., 4.00%, 9/01/29(b) | 190,000 | 166,607 | |
WW Grainger, Inc., 3.75%, 5/15/46 | 76,000 | 58,076 | |
224,683 | |||
Institutional Financial Services – 1.6% | |||
Bank of New York Mellon (The) Corp., | |||
(SOFR + 1.03%), 4.95%, 4/26/27(h) | 61,000 | 60,369 | |
(SOFR + 1.42%), 5.19%, 3/14/35(h) | 237,000 | 227,929 | |
Coinbase Global, Inc., | |||
3.38%, 10/01/28(b) | 45,000 | 37,726 | |
3.63%, 10/01/31(b) | 50,000 | 38,989 | |
Goldman Sachs Capital I, 6.35%, 2/15/34 | 82,000 | 82,739 | |
Goldman Sachs Group (The), Inc., | |||
3.85%, 1/26/27 | 83,000 | 79,618 | |
(3M CME Term SOFR + 2.01%), 7.34%, 10/28/27(c) | 43,000 | 44,364 |
Par (a) | Value | ||
Institutional Financial Services (Continued) | |||
Goldman Sachs Group (The), Inc., | |||
(SOFR + 1.73%), 4.48%, 8/23/28(h) | $203,000 | $196,124 | |
(5Y US Treasury CMT + 2.81%), 7.50%, 5/10/29(g)(h) | 45,000 | 45,490 | |
(SOFR + 1.77%), 6.48%, 10/24/29(h) | 40,000 | 41,274 | |
(SOFR + 1.27%), 5.73%, 4/25/30(h) | 40,000 | 40,065 | |
(SOFR + 1.25%), 2.38%, 7/21/32(h) | 8,000 | 6,402 | |
(SOFR + 1.41%), 3.10%, 2/24/33(h) | 116,000 | 96,506 | |
(SOFR + 1.55%), 5.85%, 4/25/35(h) | 85,000 | 85,045 | |
6.25%, 2/01/41 | 8,000 | 8,355 | |
Intercontinental Exchange, Inc., 2.10%, 6/15/30 | 106,000 | 87,883 | |
Jefferies Financial Group, Inc., 6.20%, 4/14/34 | 65,000 | 64,258 | |
Morgan Stanley, | |||
(SOFR + 1.15%), 2.72%, 7/22/25(h) | 58,000 | 57,556 | |
(SOFR + 0.88%), 1.59%, 5/04/27(h) | 74,000 | 68,205 | |
(SOFR + 0.86%), 1.51%, 7/20/27(h) | 166,000 | 151,591 | |
(SOFR + 1.00%), 2.48%, 1/21/28(h) | 29,000 | 26,748 | |
3.59%, 7/22/28(c) | 22,000 | 20,701 | |
(SOFR + 2.24%), 6.30%, 10/18/28(h) | 110,000 | 112,329 | |
(SOFR + 1.59%), 5.16%, 4/20/29(h) | 72,000 | 70,823 | |
(SOFR + 1.20%), 2.51%, 10/20/32(h) | 18,000 | 14,484 | |
(SOFR + 1.87%), 5.25%, 4/21/34(h) | 139,000 | 133,377 | |
(SOFR + 1.88%), 5.42%, 7/21/34(h) | 20,000 | 19,407 | |
(SOFR + 2.05%), 6.63%, 11/01/34(h) | 57,000 | 60,145 | |
(SOFR + 1.73%), 5.47%, 1/18/35(h) | 125,000 | 121,610 | |
(SOFR + 1.58%), 5.83%, 4/19/35(h) | 110,000 | 109,956 | |
(5Y US Treasury CMT + 1.80%), 5.94%, 2/07/39(h) | 272,000 | 261,718 | |
Northern Trust Corp., (3M USD LIBOR + 1.13%), 3.38%, 5/08/32(h) | 56,000 | 51,818 |
Par (a) | Value | ||
Institutional Financial Services (Continued) | |||
State Street Corp., | |||
(SOFR + 1.72%), 5.82%, 11/04/28(h) | $ 44,000 | $ 44,601 | |
(SOFR + 1.48%), 5.68%, 11/21/29(h) | 66,000 | 66,705 | |
(SOFR + 1.96%), 6.12%, 11/21/34(h) | 217,000 | 220,050 | |
2,854,960 | |||
Insurance – 1.9% | |||
Acrisure LLC/Acrisure Finance, Inc., 4.25%, 2/15/29(b) | 90,000 | 80,627 | |
Alleghany Corp., | |||
4.90%, 9/15/44 | 86,000 | 77,946 | |
3.25%, 8/15/51 | 41,000 | 27,041 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, | |||
6.75%, 10/15/27(b) | 90,000 | 88,256 | |
7.00%, 1/15/31(b) | 225,000 | 225,705 | |
American International Group, Inc., | |||
4.20%, 4/01/28 | 77,000 | 73,633 | |
3.40%, 6/30/30 | 62,000 | 55,306 | |
5.13%, 3/27/33 | 48,000 | 46,040 | |
AmWINS Group, Inc., | |||
6.38%, 2/15/29(b) | 180,000 | 177,821 | |
4.88%, 6/30/29(b) | 70,000 | 63,636 | |
Aon North America, Inc., 5.15%, 3/01/29 | 168,000 | 165,752 | |
Arthur J Gallagher & Co., | |||
5.45%, 7/15/34 | 109,000 | 105,889 | |
5.75%, 3/02/53 | 36,000 | 34,034 | |
6.75%, 2/15/54 | 12,000 | 12,922 | |
5.75%, 7/15/54 | 41,000 | 38,946 | |
AssuredPartners, Inc., 5.63%, 1/15/29(b) | 100,000 | 91,188 | |
Corebridge Financial, Inc., | |||
3.85%, 4/05/29 | 23,000 | 21,113 | |
3.90%, 4/05/32 | 154,000 | 134,348 | |
6.05%, 9/15/33(b) | 55,000 | 54,994 | |
5.75%, 1/15/34 | 41,000 | 40,276 | |
(5Y US Treasury CMT + 3.85%), 6.88%, 12/15/52(h) | 64,000 | 63,357 | |
Hartford Financial Services Group (The), Inc., | |||
5.95%, 10/15/36 | 44,000 | 44,843 | |
(3M CME Term SOFR + 2.39%), 7.69%, 2/12/47(b)(c) | 87,000 | 77,212 | |
HUB International Ltd., 7.25%, 6/15/30(b) | 475,000 | 481,968 |
Par (a) | Value | ||
Insurance (Continued) | |||
Liberty Mutual Group, Inc., | |||
3.95%, 5/15/60(b) | $ 30,000 | $ 20,243 | |
4.30%, 2/01/61(b) | 190,000 | 116,672 | |
Marsh & McLennan Cos., Inc., | |||
5.70%, 9/15/53 | 9,000 | 8,881 | |
5.45%, 3/15/54 | 116,000 | 110,718 | |
New York Life Insurance Co., | |||
3.75%, 5/15/50(b) | 71,000 | 51,382 | |
4.45%, 5/15/69(b) | 56,000 | 42,788 | |
Northwestern Mutual Life Insurance (The) Co., | |||
3.45%, 3/30/51(b) | 66,000 | 44,617 | |
3.63%, 9/30/59(b) | 26,000 | 16,990 | |
Old Republic International Corp., 5.75%, 3/28/34 | 228,000 | 222,000 | |
Panther Escrow Issuer LLC, 7.13%, 6/01/31(b) | 185,000 | 185,959 | |
Sammons Financial Group, Inc., 6.88%, 4/15/34(b) | 55,000 | 54,253 | |
Teachers Insurance & Annuity Association of America, | |||
4.90%, 9/15/44(b) | 29,000 | 25,153 | |
3.30%, 5/15/50(b) | 20,000 | 13,250 | |
Transatlantic Holdings, Inc., 8.00%, 11/30/39 | 9,000 | 11,121 | |
Willis North America, Inc., 5.90%, 3/05/54 | 45,000 | 43,153 | |
3,250,033 | |||
Internet Media & Services – 0.8% | |||
ANGI Group LLC, 3.88%, 8/15/28(b) | 80,000 | 67,565 | |
Arches Buyer, Inc., 4.25%, 6/01/28(b) | 50,000 | 42,875 | |
Meta Platforms, Inc., 5.75%, 5/15/63 | 44,000 | 43,848 | |
Netflix, Inc., 5.88%, 11/15/28 | 118,000 | 120,443 | |
Newfold Digital Holdings Group, Inc., 11.75%, 10/15/28(b) | 140,000 | 150,393 | |
Uber Technologies, Inc., 4.50%, 8/15/29(b) | 1,025,000 | 954,887 | |
Ziff Davis, Inc., 4.63%, 10/15/30(b) | 98,000 | 85,239 | |
1,465,250 |
Par (a) | Value | ||
Leisure Facilities & Services – 2.7% | |||
Bloomin' Brands, Inc./OSI Restaurant Partners LLC, 5.13%, 4/15/29(b) | $ 90,000 | $ 82,821 | |
Carnival Corp., | |||
5.75%, 3/01/27(b) | 335,000 | 326,947 | |
6.00%, 5/01/29(b) | 280,000 | 271,332 | |
7.00%, 8/15/29(b) | 20,000 | 20,532 | |
Everi Holdings, Inc., 5.00%, 7/15/29(b) | 50,000 | 49,017 | |
Hilton Domestic Operating Co., Inc., 3.63%, 2/15/32(b) | 45,000 | 37,814 | |
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, | |||
4.88%, 7/01/31(b) | 305,000 | 265,556 | |
6.63%, 1/15/32(b) | 315,000 | 310,548 | |
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.75%, 6/01/27(b) | 180,000 | 173,730 | |
Light & Wonder International, Inc., | |||
7.00%, 5/15/28(b) | 280,000 | 280,972 | |
7.25%, 11/15/29(b) | 35,000 | 35,300 | |
7.50%, 9/01/31(b) | 50,000 | 50,993 | |
Marriott International, Inc., | |||
4.88%, 5/15/29 | 33,000 | 32,042 | |
5.30%, 5/15/34 | 42,000 | 40,282 | |
Marriott Ownership Resorts, Inc., | |||
4.75%, 1/15/28 | 75,000 | 69,246 | |
4.50%, 6/15/29(b) | 350,000 | 314,253 | |
McDonald's Corp., | |||
5.70%, 2/01/39 | 23,000 | 22,907 | |
5.45%, 8/14/53 | 19,000 | 18,107 | |
Mohegan Tribal Gaming Authority, 8.00%, 2/01/26(b) | 55,000 | 52,243 | |
NCL Corp. Ltd., | |||
5.88%, 3/15/26(b) | 335,000 | 328,240 | |
5.88%, 3/15/26 | 5,000 | 4,899 | |
8.13%, 1/15/29(b) | 40,000 | 41,658 | |
NCL Finance Ltd., 6.13%, 3/15/28(b) | 55,000 | 53,668 | |
Papa John's International, Inc., 3.88%, 9/15/29(b) | 165,000 | 143,618 | |
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp., 5.63%, 9/01/29(b) | 70,000 | 52,183 |
Par (a) | Value | ||
Leisure Facilities & Services (Continued) | |||
Royal Caribbean Cruises Ltd., | |||
4.25%, 7/01/26(b) | $160,000 | $ 153,630 | |
3.70%, 3/15/28 | 115,000 | 105,671 | |
5.50%, 4/01/28(b) | 320,000 | 311,477 | |
Speedway Motorsports LLC/Speedway Funding II, Inc., 4.88%, 11/01/27(b) | 70,000 | 65,904 | |
Travel + Leisure Co., | |||
6.63%, 7/31/26(b) | 145,000 | 145,165 | |
6.00%, 4/01/27 | 10,000 | 9,878 | |
4.50%, 12/01/29(b) | 55,000 | 49,576 | |
4.63%, 3/01/30(b) | 95,000 | 84,856 | |
Viking Cruises Ltd., | |||
5.88%, 9/15/27(b) | 110,000 | 106,652 | |
7.00%, 2/15/29(b) | 60,000 | 59,772 | |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 2/15/29(b) | 105,000 | 100,480 | |
VOC Escrow Ltd., 5.00%, 2/15/28(b) | 100,000 | 95,368 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(b) | 150,000 | 139,182 | |
Yum! Brands, Inc., | |||
3.63%, 3/15/31 | 90,000 | 77,771 | |
4.63%, 1/31/32 | 95,000 | 85,523 | |
4,669,813 | |||
Machinery – 0.5% | |||
AGCO Corp., 5.80%, 3/21/34 | 40,000 | 39,138 | |
CNH Industrial Capital LLC, | |||
5.45%, 10/14/25 | 20,000 | 19,954 | |
4.55%, 4/10/28 | 72,000 | 69,308 | |
Deere & Co., 3.10%, 4/15/30 | 44,000 | 39,303 | |
Esab Corp., 6.25%, 4/15/29(b) | 95,000 | 94,644 | |
GrafTech Finance, Inc., 4.63%, 12/15/28(b) | 170,000 | 109,479 | |
GrafTech Global Enterprises, Inc., 9.88%, 12/15/28(b) | 95,000 | 71,422 | |
Ingersoll Rand, Inc., | |||
5.40%, 8/14/28 | 53,000 | 52,862 | |
5.70%, 8/14/33 | 83,000 | 82,440 | |
John Deere Capital Corp., | |||
4.95%, 7/14/28 | 45,000 | 44,626 | |
4.50%, 1/16/29 | 49,000 | 47,661 | |
3.35%, 4/18/29 | 68,000 | 62,706 |
Par (a) | Value | ||
Machinery (Continued) | |||
John Deere Capital Corp., | |||
4.90%, 3/07/31 | $ 89,000 | $ 86,959 | |
5.10%, 4/11/34 | 70,000 | 68,734 | |
889,236 | |||
Medical Equipment & Devices – 0.5% | |||
Becton Dickinson & Co., 4.69%, 2/13/28 | 73,000 | 71,030 | |
Hologic, Inc., | |||
4.63%, 2/01/28(b) | 60,000 | 57,064 | |
3.25%, 2/15/29(b) | 45,000 | 39,742 | |
Medline Borrower L.P., | |||
3.88%, 4/01/29(b) | 120,000 | 107,500 | |
6.25%, 4/01/29(b) | 155,000 | 154,009 | |
Neogen Food Safety Corp., 8.63%, 7/20/30(b) | 90,000 | 94,895 | |
Solventum Corp., | |||
5.40%, 3/01/29(b) | 90,000 | 88,298 | |
5.60%, 3/23/34(b) | 124,000 | 119,593 | |
5.90%, 4/30/54(b) | 36,000 | 33,611 | |
Thermo Fisher Scientific, Inc., | |||
5.00%, 1/31/29 | 75,000 | 74,324 | |
5.40%, 8/10/43 | 42,000 | 40,963 | |
Zimmer Biomet Holdings, Inc., 5.35%, 12/01/28 | 56,000 | 55,754 | |
936,783 | |||
Metals & Mining – 0.1% | |||
Newmont Corp./Newcrest Finance Pty. Ltd., | |||
3.25%, 5/13/30(b) | 36,000 | 31,859 | |
4.20%, 5/13/50(b) | 41,000 | 32,099 | |
Novelis Corp., 4.75%, 1/30/30(b) | 175,000 | 160,129 | |
224,087 | |||
Oil & Gas Producers – 4.7% | |||
Antero Midstream Partners L.P./Antero Midstream Finance Corp., | |||
7.88%, 5/15/26(b) | 60,000 | 61,090 | |
5.38%, 6/15/29(b) | 90,000 | 85,641 | |
6.63%, 2/01/32(b) | 145,000 | 144,563 | |
Antero Resources Corp., 5.38%, 3/01/30(b) | 115,000 | 109,338 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.00%, 11/01/26(b) | 155,000 | 154,768 | |
BP Capital Markets America, Inc., | |||
3.94%, 9/21/28 | 64,000 | 60,872 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
BP Capital Markets America, Inc., | |||
4.89%, 9/11/33 | $ 29,000 | $ 27,862 | |
4.99%, 4/10/34 | 20,000 | 19,313 | |
3.00%, 2/24/50 | 43,000 | 27,590 | |
2.94%, 6/04/51 | 38,000 | 23,804 | |
Buckeye Partners L.P., | |||
5.85%, 11/15/43 | 55,000 | 46,446 | |
5.60%, 10/15/44 | 30,000 | 23,144 | |
Cameron LNG LLC, 2.90%, 7/15/31(b) | 78,000 | 65,883 | |
Cheniere Corpus Christi Holdings LLC, 3.70%, 11/15/29 | 11,000 | 9,992 | |
Cheniere Energy Partners L.P., | |||
4.50%, 10/01/29 | 35,000 | 32,747 | |
5.95%, 6/30/33 | 71,000 | 70,807 | |
Chesapeake Energy Corp., | |||
5.50%, 2/01/26(b) | 180,000 | 177,722 | |
6.75%, 4/15/29(b) | 50,000 | 49,961 | |
Civitas Resources, Inc., | |||
8.38%, 7/01/28(b) | 195,000 | 203,421 | |
8.38%, 7/01/28 | 15,000 | 15,648 | |
8.63%, 11/01/30(b) | 60,000 | 63,848 | |
Columbia Pipelines Holding Co. LLC, 6.04%, 8/15/28(b) | 33,000 | 33,299 | |
ConocoPhillips Co., | |||
5.30%, 5/15/53 | 53,000 | 49,584 | |
5.70%, 9/15/63 | 85,000 | 83,427 | |
Crescent Energy Finance LLC, | |||
7.25%, 5/01/26(b) | 110,000 | 111,994 | |
9.25%, 2/15/28(b) | 130,000 | 137,340 | |
CVR Energy, Inc., 8.50%, 1/15/29(b) | 155,000 | 155,382 | |
Delek Logistics Partners L.P./Delek Logistics Finance Corp., 8.63%, 3/15/29(b) | 115,000 | 115,870 | |
Diamondback Energy, Inc., | |||
5.40%, 4/18/34 | 55,000 | 53,447 | |
4.25%, 3/15/52 | 83,000 | 63,732 | |
5.75%, 4/18/54 | 58,000 | 55,370 | |
5.90%, 4/18/64 | 64,000 | 60,881 | |
Energy Transfer L.P., | |||
(5Y US Treasury CMT + 5.69%), 6.50%, 11/15/26(g)(h) | 49,000 | 47,547 | |
5.55%, 5/15/34 | 41,000 | 39,901 | |
5.95%, 10/01/43 | 55,000 | 51,881 | |
6.00%, 6/15/48 | 92,000 | 87,257 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Energy Transfer L.P., | |||
5.95%, 5/15/54 | $119,000 | $112,154 | |
EnLink Midstream LLC, 6.50%, 9/01/30(b) | 105,000 | 106,318 | |
EnLink Midstream Partners L.P., | |||
5.60%, 4/01/44 | 45,000 | 38,969 | |
5.05%, 4/01/45 | 20,000 | 16,085 | |
5.45%, 6/01/47 | 130,000 | 110,207 | |
Enterprise Products Operating LLC, | |||
4.85%, 1/31/34 | 22,000 | 20,974 | |
3.95%, 1/31/60 | 105,000 | 75,256 | |
(3M CME Term SOFR + 3.29%), 5.25%, 8/16/77(h) | 10,000 | 9,380 | |
EQM Midstream Partners L.P., | |||
7.50%, 6/01/27(b) | 170,000 | 173,200 | |
6.50%, 7/01/27(b) | 140,000 | 140,194 | |
5.50%, 7/15/28 | 30,000 | 29,222 | |
7.50%, 6/01/30(b) | 35,000 | 36,700 | |
4.75%, 1/15/31(b) | 55,000 | 50,255 | |
6.50%, 7/15/48 | 30,000 | 29,600 | |
Exxon Mobil Corp., | |||
3.00%, 8/16/39 | 34,000 | 25,239 | |
4.23%, 3/19/40 | 103,000 | 89,614 | |
Global Partners L.P./GLP Finance Corp., 8.25%, 1/15/32(b) | 55,000 | 56,343 | |
Gulfport Energy Corp., 8.00%, 5/17/26(b) | 55,000 | 55,709 | |
Hess Corp., 4.30%, 4/01/27 | 85,000 | 82,255 | |
Hess Midstream Operations L.P., | |||
5.63%, 2/15/26(b) | 114,000 | 112,719 | |
5.13%, 6/15/28(b) | 85,000 | 81,358 | |
4.25%, 2/15/30(b) | 60,000 | 54,150 | |
ITT Holdings LLC, 6.50%, 8/01/29(b) | 25,000 | 22,580 | |
Kinetik Holdings L.P., | |||
6.63%, 12/15/28(b) | 160,000 | 160,770 | |
5.88%, 6/15/30(b) | 160,000 | 154,700 | |
Marathon Petroleum Corp., | |||
6.50%, 3/01/41 | 64,000 | 66,378 | |
5.00%, 9/15/54 | 65,000 | 54,544 | |
Matador Resources Co., | |||
5.88%, 9/15/26 | 85,000 | 84,878 | |
6.88%, 4/15/28(b) | 75,000 | 75,575 | |
6.50%, 4/15/32(b) | 200,000 | 198,218 | |
MPLX L.P., 2.65%, 8/15/30 | 64,000 | 53,925 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Murphy Oil Corp., 5.88%, 12/01/42 | $120,000 | $105,685 | |
New Fortress Energy, Inc., 6.50%, 9/30/26(b) | 120,000 | 114,752 | |
Northern Oil & Gas, Inc., | |||
8.13%, 3/01/28(b) | 60,000 | 60,699 | |
8.75%, 6/15/31(b) | 280,000 | 294,533 | |
Occidental Petroleum Corp., | |||
8.50%, 7/15/27 | 35,000 | 37,405 | |
6.13%, 1/01/31 | 91,000 | 92,142 | |
6.20%, 3/15/40 | 86,000 | 85,110 | |
6.60%, 3/15/46 | 58,000 | 59,719 | |
Ovintiv, Inc., | |||
5.65%, 5/15/28 | 20,000 | 19,982 | |
7.10%, 7/15/53 | 29,000 | 31,319 | |
PBF Holding Co. LLC/PBF Finance Corp., 7.88%, 9/15/30(b) | 60,000 | 61,709 | |
Permian Resources Operating LLC, | |||
5.88%, 7/01/29(b) | 60,000 | 58,312 | |
7.00%, 1/15/32(b) | 110,000 | 112,136 | |
Plains All American Pipeline L.P./PAA Finance Corp., | |||
3.55%, 12/15/29 | 31,000 | 27,885 | |
4.30%, 1/31/43 | 8,000 | 6,183 | |
4.90%, 2/15/45 | 15,000 | 12,454 | |
Range Resources Corp., 8.25%, 1/15/29 | 55,000 | 57,305 | |
Sabine Pass Liquefaction LLC, 4.20%, 3/15/28 | 85,000 | 81,004 | |
Shell International Finance B.V., | |||
4.13%, 5/11/35 | 23,000 | 20,676 | |
2.88%, 11/26/41 | 29,000 | 20,320 | |
4.00%, 5/10/46 | 26,000 | 20,569 | |
3.00%, 11/26/51 | 53,000 | 33,630 | |
Sitio Royalties Operating Partnership L.P./Sitio Finance Corp., 7.88%, 11/01/28(b) | 290,000 | 298,220 | |
SM Energy Co., | |||
5.63%, 6/01/25 | 80,000 | 79,406 | |
6.75%, 9/15/26 | 75,000 | 74,980 | |
Southwestern Energy Co., 5.38%, 2/01/29 | 50,000 | 47,959 | |
Sunoco L.P./Sunoco Finance Corp., 4.50%, 5/15/29 | 60,000 | 54,778 | |
Targa Resources Corp., | |||
4.20%, 2/01/33 | 26,000 | 22,950 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
Targa Resources Corp., | |||
6.50%, 3/30/34 | $ 33,000 | $ 34,386 | |
6.25%, 7/01/52 | 172,000 | 168,800 | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 4.88%, 2/01/31 | 65,000 | 60,832 | |
Transcontinental Gas Pipe Line Co. LLC, 3.25%, 5/15/30 | 61,000 | 53,739 | |
Venture Global Calcasieu Pass LLC, | |||
4.13%, 8/15/31(b) | 175,000 | 152,735 | |
3.88%, 11/01/33(b) | 290,000 | 238,101 | |
Venture Global LNG, Inc., 8.38%, 6/01/31(b) | 140,000 | 143,670 | |
Vital Energy, Inc., | |||
9.75%, 10/15/30 | 5,000 | 5,448 | |
7.88%, 4/15/32(b) | 85,000 | 86,250 | |
Western Midstream Operating L.P., | |||
4.75%, 8/15/28 | 38,000 | 36,667 | |
6.15%, 4/01/33 | 129,000 | 128,771 | |
Williams (The) Cos., Inc., | |||
4.90%, 3/15/29 | 35,000 | 34,018 | |
5.10%, 9/15/45 | 67,000 | 58,985 | |
8,193,065 | |||
Oil, Gas Services & Equipment – 0.5% | |||
Diamond Foreign Asset Co./Diamond Finance LLC, 8.50%, 10/01/30(b) | 75,000 | 78,449 | |
Oceaneering International, Inc., 6.00%, 2/01/28 | 35,000 | 34,425 | |
Schlumberger Investment S.A., 2.65%, 6/26/30 | 40,000 | 34,609 | |
Solaris Midstream Holdings LLC, 7.63%, 4/01/26(b) | 85,000 | 85,332 | |
Transocean Aquila Ltd., 8.00%, 9/30/28(b) | 75,000 | 76,282 | |
Transocean Poseidon Ltd., 6.88%, 2/01/27(b) | 172,125 | 171,558 | |
Transocean Titan Financing Ltd., 8.38%, 2/01/28(b) | 70,000 | 71,859 | |
Transocean, Inc., 8.00%, 2/01/27(b) | 125,000 | 125,302 |
Par (a) | Value | ||
Oil, Gas Services & Equipment (Continued) | |||
USA Compression Partners L.P./USA Compression Finance Corp., 7.13%, 3/15/29(b) | $ 85,000 | $ 84,456 | |
Weatherford International Ltd., 8.63%, 4/30/30(b) | 135,000 | 140,183 | |
902,455 | |||
Publishing & Broadcasting – 0.2% | |||
iHeartCommunications, Inc., | |||
5.25%, 8/15/27(b) | 175,000 | 128,391 | |
4.75%, 1/15/28(b) | 220,000 | 157,094 | |
285,485 | |||
Real Estate Investment Trusts – 1.8% | |||
American Homes 4 Rent L.P., | |||
3.63%, 4/15/32 | 15,000 | 12,830 | |
5.50%, 2/01/34 | 144,000 | 138,853 | |
3.38%, 7/15/51 | 57,000 | 35,829 | |
American Tower Corp., | |||
4.40%, 2/15/26 | 26,000 | 25,419 | |
3.65%, 3/15/27 | 35,000 | 33,217 | |
3.60%, 1/15/28 | 48,000 | 44,695 | |
1.50%, 1/31/28 | 98,000 | 84,255 | |
5.25%, 7/15/28 | 27,000 | 26,621 | |
2.70%, 4/15/31 | 66,000 | 54,517 | |
Camden Property Trust, 2.80%, 5/15/30 | 79,000 | 68,178 | |
Crown Castle, Inc., | |||
4.45%, 2/15/26 | 78,000 | 76,275 | |
4.80%, 9/01/28 | 106,000 | 102,087 | |
5.60%, 6/01/29 | 46,000 | 45,727 | |
3.30%, 7/01/30 | 41,000 | 35,585 | |
2.10%, 4/01/31 | 80,000 | 63,295 | |
2.50%, 7/15/31 | 58,000 | 46,800 | |
5.80%, 3/01/34 | 35,000 | 34,669 | |
CubeSmart L.P., 2.50%, 2/15/32 | 64,000 | 50,896 | |
Extra Space Storage L.P., | |||
3.90%, 4/01/29 | 45,000 | 41,478 | |
4.00%, 6/15/29 | 20,000 | 18,483 | |
2.40%, 10/15/31 | 84,000 | 66,691 | |
Healthpeak OP LLC, 5.25%, 12/15/32 | 70,000 | 67,310 | |
Highwoods Realty L.P., 2.60%, 2/01/31 | 62,000 | 48,447 | |
Hudson Pacific Properties L.P., 3.95%, 11/01/27 | 65,000 | 57,419 | |
Invitation Homes Operating Partnership L.P., | |||
2.30%, 11/15/28 | 85,000 | 73,551 |
Par (a) | Value | ||
Real Estate Investment Trusts (Continued) | |||
Invitation Homes Operating Partnership L.P., | |||
2.00%, 8/15/31 | $ 61,000 | $ 47,145 | |
2.70%, 1/15/34 | 42,000 | 32,311 | |
Iron Mountain, Inc., | |||
5.25%, 3/15/28(b) | 60,000 | 57,408 | |
4.88%, 9/15/29(b) | 190,000 | 175,326 | |
5.25%, 7/15/30(b) | 55,000 | 51,048 | |
4.50%, 2/15/31(b) | 85,000 | 74,972 | |
Kilroy Realty L.P., | |||
2.50%, 11/15/32 | 15,000 | 10,964 | |
2.65%, 11/15/33 | 35,000 | 25,028 | |
MPT Operating Partnership L.P./MPT Finance Corp., 3.50%, 3/15/31 | 145,000 | 97,227 | |
Prologis L.P., | |||
3.88%, 9/15/28 | 71,000 | 67,040 | |
5.25%, 3/15/54 | 30,000 | 27,384 | |
Prologis Targeted U.S. Logistics Fund L.P., | |||
5.25%, 4/01/29(b) | 51,000 | 50,029 | |
5.50%, 4/01/34(b) | 36,000 | 34,934 | |
Realty Income Corp., | |||
5.05%, 1/13/26 | 34,000 | 33,805 | |
3.95%, 8/15/27 | 62,000 | 59,237 | |
Regency Centers L.P., 5.25%, 1/15/34 | 100,000 | 95,611 | |
Rexford Industrial Realty L.P., 2.15%, 9/01/31 | 130,000 | 101,666 | |
Service Properties Trust, | |||
7.50%, 9/15/25 | 110,000 | 110,812 | |
4.75%, 10/01/26 | 80,000 | 74,281 | |
3.95%, 1/15/28 | 50,000 | 42,661 | |
8.63%, 11/15/31(b) | 160,000 | 168,039 | |
Store Capital LLC, 2.70%, 12/01/31 | 19,000 | 14,691 | |
Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC, | |||
10.50%, 2/15/28(b) | 105,000 | 108,930 | |
4.75%, 4/15/28(b) | 125,000 | 109,631 | |
Welltower OP LLC, 2.75%, 1/15/31 | 55,000 | 46,183 | |
3,069,490 | |||
Real Estate Services – 0.1% | |||
Jones Lang LaSalle, Inc., 6.88%, 12/01/28 | 53,000 | 54,940 |
Par (a) | Value | ||
Real Estate Services (Continued) | |||
Realogy Group LLC/Realogy Co-Issuer Corp., | |||
5.75%, 1/15/29(b) | $ 85,000 | $ 59,331 | |
5.25%, 4/15/30(b) | 65,000 | 43,631 | |
157,902 | |||
Retail - Consumer Staples – 0.0%(d) | |||
Dollar General Corp., 5.20%, 7/05/28 | 35,000 | 34,549 | |
Retail - Discretionary – 0.9% | |||
Asbury Automotive Group, Inc., | |||
4.50%, 3/01/28 | 94,000 | 88,178 | |
4.63%, 11/15/29(b) | 55,000 | 49,732 | |
AutoZone, Inc., 6.25%, 11/01/28 | 27,000 | 27,825 | |
Bath & Body Works, Inc., | |||
5.25%, 2/01/28 | 40,000 | 38,469 | |
6.63%, 10/01/30(b) | 10,000 | 9,992 | |
6.88%, 11/01/35 | 35,000 | 34,767 | |
6.75%, 7/01/36 | 75,000 | 73,191 | |
Beacon Roofing Supply, Inc., 6.50%, 8/01/30(b) | 145,000 | 144,750 | |
Builders FirstSource, Inc., | |||
5.00%, 3/01/30(b) | 55,000 | 51,498 | |
4.25%, 2/01/32(b) | 70,000 | 60,973 | |
Foundation Building Materials, Inc., 6.00%, 3/01/29(b) | 115,000 | 101,348 | |
Home Depot (The), Inc., | |||
4.90%, 4/15/29 | 71,000 | 70,262 | |
2.70%, 4/15/30 | 186,000 | 162,067 | |
3.30%, 4/15/40 | 65,000 | 49,336 | |
3.63%, 4/15/52 | 21,000 | 15,173 | |
4.95%, 9/15/52 | 20,000 | 18,088 | |
Lithia Motors, Inc., 4.38%, 1/15/31(b) | 55,000 | 48,153 | |
Lowe's Cos., Inc., | |||
4.65%, 4/15/42 | 33,000 | 28,379 | |
5.75%, 7/01/53 | 22,000 | 21,377 | |
4.45%, 4/01/62 | 28,000 | 21,393 | |
5.80%, 9/15/62 | 24,000 | 23,009 | |
5.85%, 4/01/63 | 36,000 | 34,847 | |
Sonic Automotive, Inc., 4.63%, 11/15/29(b) | 130,000 | 116,352 |
Par (a) | Value | ||
Retail - Discretionary (Continued) | |||
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 9/30/26(b) | $150,000 | $ 148,097 | |
Staples, Inc., 7.50%, 4/15/26(b) | 120,000 | 115,694 | |
1,552,950 | |||
Semiconductors – 0.5% | |||
Analog Devices, Inc., 1.70%, 10/01/28 | 43,000 | 37,083 | |
Broadcom, Inc., | |||
3.19%, 11/15/36(b) | 270,000 | 207,034 | |
4.93%, 5/15/37(b) | 27,000 | 24,657 | |
Intel Corp., | |||
3.70%, 7/29/25 | 32,000 | 31,281 | |
5.13%, 2/10/30 | 60,000 | 59,377 | |
5.15%, 2/21/34 | 70,000 | 67,460 | |
2.80%, 8/12/41 | 132,000 | 88,954 | |
5.70%, 2/10/53 | 56,000 | 53,474 | |
5.60%, 2/21/54 | 46,000 | 43,286 | |
KLA Corp., | |||
4.70%, 2/01/34 | 41,000 | 38,999 | |
3.30%, 3/01/50 | 41,000 | 28,088 | |
5.25%, 7/15/62 | 40,000 | 37,063 | |
QUALCOMM, Inc., 6.00%, 5/20/53 | 82,000 | 86,068 | |
Texas Instruments, Inc., 3.88%, 3/15/39 | 90,000 | 76,595 | |
879,419 | |||
Software – 0.8% | |||
Adobe, Inc., 4.95%, 4/04/34 | 70,000 | 68,289 | |
Cloud Software Group, Inc., 6.50%, 3/31/29(b) | 180,000 | 170,722 | |
Concentrix Corp., | |||
6.60%, 8/02/28 | 37,000 | 36,890 | |
6.85%, 8/02/33 | 217,000 | 209,145 | |
GoTo Group, Inc., 5.50%, 5/01/28(b) | 53,361 | 45,528 | |
Intuit, Inc., | |||
5.20%, 9/15/33 | 73,000 | 72,050 | |
5.50%, 9/15/53 | 92,000 | 89,957 | |
Oracle Corp., | |||
2.95%, 5/15/25 | 37,000 | 35,983 | |
3.25%, 11/15/27 | 122,000 | 113,364 | |
2.30%, 3/25/28 | 68,000 | 60,481 | |
6.15%, 11/09/29 | 47,000 | 48,471 | |
4.30%, 7/08/34 | 58,000 | 51,511 | |
3.80%, 11/15/37 | 16,000 | 12,815 | |
4.00%, 11/15/47 | 33,000 | 24,219 |
Par (a) | Value | ||
Software (Continued) | |||
Oracle Corp., | |||
3.60%, 4/01/50 | $ 51,000 | $ 34,494 | |
3.95%, 3/25/51 | 26,000 | 18,574 | |
6.90%, 11/09/52 | 46,000 | 49,941 | |
4.38%, 5/15/55 | 24,000 | 18,117 | |
3.85%, 4/01/60 | 131,000 | 87,196 | |
UKG, Inc., 6.88%, 2/01/31(b) | 190,000 | 190,362 | |
VMware LLC, 2.20%, 8/15/31 | 35,000 | 27,670 | |
1,465,779 | |||
Specialty Finance – 1.8% | |||
Aircastle Ltd., (5Y US Treasury CMT + 4.41%), 5.25%, 6/15/26(b)(g)(h) | 55,000 | 51,966 | |
American Express Co., | |||
(SOFR + 1.00%), 4.99%, 5/01/26(h) | 27,000 | 26,783 | |
(SOFR + 1.33%), 6.34%, 10/30/26(h) | 109,000 | 109,870 | |
(SOFR Index + 1.28%), 5.28%, 7/27/29(h) | 74,000 | 73,448 | |
(SOFR + 1.09%), 5.53%, 4/25/30(h) | 85,000 | 84,850 | |
(SOFR + 1.94%), 6.49%, 10/30/31(h) | 46,000 | 48,149 | |
Discover Financial Services, 4.10%, 2/09/27 | 34,000 | 32,424 | |
Freedom Mortgage Holdings LLC, 9.25%, 2/01/29(b) | 55,000 | 55,291 | |
GATX Corp., | |||
3.50%, 6/01/32 | 83,000 | 70,411 | |
6.90%, 5/01/34 | 94,000 | 99,608 | |
Nationstar Mortgage Holdings, Inc., | |||
5.00%, 2/01/26(b) | 100,000 | 97,281 | |
6.00%, 1/15/27(b) | 175,000 | 171,480 | |
5.13%, 12/15/30(b) | 80,000 | 71,868 | |
5.75%, 11/15/31(b) | 35,000 | 31,811 | |
Navient Corp., 5.00%, 3/15/27 | 300,000 | 282,825 | |
OneMain Finance Corp., | |||
7.13%, 3/15/26 | 140,000 | 141,274 | |
3.50%, 1/15/27 | 155,000 | 142,601 | |
3.88%, 9/15/28 | 15,000 | 13,203 | |
5.38%, 11/15/29 | 40,000 | 36,991 | |
4.00%, 9/15/30 | 170,000 | 142,987 | |
PennyMac Financial Services, Inc., 7.88%, 12/15/29(b) | 120,000 | 122,479 |
Par (a) | Value | ||
Specialty Finance (Continued) | |||
Penske Truck Leasing Co. L.P./PTL Finance Corp., 4.20%, 4/01/27(b) | $ 92,000 | $ 88,345 | |
Provident Funding Associates L.P./PFG Finance Corp., 6.38%, 6/15/25(b) | 90,000 | 86,604 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., | |||
2.88%, 10/15/26(b) | 110,000 | 100,995 | |
2.88%, 10/15/26 | 15,000 | 13,772 | |
3.63%, 3/01/29(b) | 40,000 | 35,238 | |
3.63%, 3/01/29 | 80,000 | 70,477 | |
3.88%, 3/01/31(b) | 290,000 | 245,877 | |
4.00%, 10/15/33(b) | 565,000 | 461,261 | |
Synchrony Financial, 2.88%, 10/28/31 | 104,000 | 81,977 | |
3,092,146 | |||
Steel – 0.3% | |||
ATI, Inc., | |||
4.88%, 10/01/29 | 50,000 | 46,557 | |
7.25%, 8/15/30 | 55,000 | 56,264 | |
Cleveland-Cliffs, Inc., 7.00%, 3/15/32(b) | 170,000 | 166,027 | |
Commercial Metals Co., | |||
4.13%, 1/15/30 | 120,000 | 107,435 | |
4.38%, 3/15/32 | 100,000 | 88,237 | |
Nucor Corp., 4.30%, 5/23/27 | 39,000 | 37,876 | |
United States Steel Corp., 6.88%, 3/01/29 | 22,000 | 22,029 | |
524,425 | |||
Technology Hardware – 0.9% | |||
Arrow Electronics, Inc., 5.88%, 4/10/34 | 50,000 | 48,195 | |
Avnet, Inc., 6.25%, 3/15/28 | 45,000 | 45,590 | |
Cisco Systems, Inc., | |||
4.80%, 2/26/27 | 35,000 | 34,705 | |
4.85%, 2/26/29 | 70,000 | 69,126 | |
4.95%, 2/26/31 | 87,000 | 85,569 | |
5.05%, 2/26/34 | 88,000 | 86,077 | |
5.30%, 2/26/54 | 55,000 | 52,923 | |
5.35%, 2/26/64 | 63,000 | 59,959 | |
CommScope Technologies LLC, 5.00%, 3/15/27(b) | 520,000 | 176,815 | |
CommScope, Inc., | |||
6.00%, 3/01/26(b) | 65,000 | 58,094 | |
4.75%, 9/01/29(b) | 90,000 | 62,775 |
Par (a) | Value | ||
Technology Hardware (Continued) | |||
NCR Atleos Corp., 9.50%, 4/01/29(b) | $185,000 | $ 196,654 | |
NCR Voyix Corp., | |||
5.00%, 10/01/28(b) | 170,000 | 156,563 | |
5.13%, 4/15/29(b) | 45,000 | 41,351 | |
Pitney Bowes, Inc., 6.88%, 3/15/27(b) | 30,000 | 27,038 | |
Seagate HDD Cayman, | |||
4.88%, 6/01/27 | 25,000 | 24,149 | |
4.09%, 6/01/29 | 70,000 | 63,674 | |
8.25%, 12/15/29(b) | 95,000 | 100,974 | |
9.63%, 12/01/32 | 3,825 | 4,291 | |
Viasat, Inc., 6.50%, 7/15/28(b) | 65,000 | 49,687 | |
Western Digital Corp., | |||
4.75%, 2/15/26 | 40,000 | 38,924 | |
2.85%, 2/01/29 | 60,000 | 50,676 | |
3.10%, 2/01/32 | 25,000 | 19,540 | |
1,553,349 | |||
Technology Services – 1.1% | |||
Boost Newco Borrower LLC, 7.50%, 1/15/31(b) | 201,000 | 207,451 | |
Booz Allen Hamilton, Inc., | |||
3.88%, 9/01/28(b) | 66,000 | 61,040 | |
4.00%, 7/01/29(b) | 216,000 | 197,711 | |
Equifax, Inc., 5.10%, 6/01/28 | 135,000 | 132,560 | |
Fidelity National Information Services, Inc., 1.65%, 3/01/28 | 63,000 | 54,735 | |
Fiserv, Inc., | |||
5.15%, 3/15/27 | 77,000 | 76,249 | |
5.45%, 3/02/28 | 39,000 | 38,886 | |
3.50%, 7/01/29 | 111,000 | 101,109 | |
2.65%, 6/01/30 | 15,000 | 12,766 | |
Global Payments, Inc., | |||
4.45%, 6/01/28 | 162,000 | 154,520 | |
5.95%, 8/15/52 | 55,000 | 52,565 | |
IBM International Capital Pte. Ltd., | |||
4.90%, 2/05/34 | 101,000 | 95,557 | |
5.25%, 2/05/44 | 101,000 | 93,336 | |
Kyndryl Holdings, Inc., 6.35%, 2/20/34 | 85,000 | 84,543 | |
MPH Acquisition Holdings LLC, 5.50%, 9/01/28(b) | 95,000 | 77,412 | |
Neptune Bidco U.S., Inc., 9.29%, 4/15/29(b) | 120,000 | 113,265 | |
PayPal Holdings, Inc., 2.85%, 10/01/29 | 12,000 | 10,653 |
Par (a) | Value | ||
Technology Services (Continued) | |||
Paysafe Finance PLC/Paysafe Holdings U.S. Corp., 4.00%, 6/15/29(b) | $ 60,000 | $ 52,756 | |
Presidio Holdings, Inc., | |||
4.88%, 2/01/27(b) | 30,000 | 29,945 | |
8.25%, 2/01/28(b) | 30,000 | 30,334 | |
S&P Global, Inc., 1.25%, 8/15/30 | 32,000 | 25,288 | |
Sabre GLBL, Inc., | |||
8.63%, 6/01/27(b) | 35,000 | 30,971 | |
11.25%, 12/15/27(b) | 120,000 | 112,152 | |
1,845,804 | |||
Telecommunications – 1.1% | |||
AT&T, Inc., | |||
3.50%, 6/01/41 | 127,000 | 94,170 | |
3.50%, 9/15/53 | 54,000 | 35,600 | |
3.80%, 12/01/57 | 259,000 | 174,744 | |
3.65%, 9/15/59 | 66,000 | 42,817 | |
Frontier Communications Holdings LLC, | |||
5.88%, 10/15/27(b) | 185,000 | 177,444 | |
5.00%, 5/01/28(b) | 235,000 | 216,197 | |
8.75%, 5/15/30(b) | 60,000 | 61,088 | |
Lumen Technologies, Inc., | |||
4.13%, 4/15/29(b) | 36,125 | 23,157 | |
4.13%, 4/15/30(b) | 36,125 | 22,307 | |
Sprint Capital Corp., | |||
6.88%, 11/15/28 | 160,000 | 167,550 | |
8.75%, 3/15/32 | 119,000 | 140,508 | |
T-Mobile USA, Inc., | |||
2.25%, 2/15/26 | 97,000 | 91,450 | |
2.63%, 4/15/26 | 45,000 | 42,516 | |
2.63%, 2/15/29 | 24,000 | 21,090 | |
3.38%, 4/15/29 | 60,000 | 54,448 | |
2.88%, 2/15/31 | 63,000 | 53,549 | |
2.55%, 2/15/31 | 23,000 | 19,074 | |
3.50%, 4/15/31 | 163,000 | 143,353 | |
Verizon Communications, Inc., | |||
1.75%, 1/20/31 | 26,000 | 20,529 | |
2.55%, 3/21/31 | 27,000 | 22,407 | |
2.36%, 3/15/32 | 116,000 | 92,552 | |
4.81%, 3/15/39 | 31,000 | 28,073 | |
6.55%, 9/15/43 | 78,000 | 84,661 | |
5.50%, 2/23/54 | 71,000 | 67,428 | |
1,896,712 |
Par (a) | Value | ||
Tobacco & Cannabis – 0.1% | |||
Altria Group, Inc., 6.20%, 11/01/28 | $ 60,000 | $ 61,486 | |
Philip Morris International, Inc., 5.25%, 2/13/34 | 86,000 | 82,960 | |
144,446 | |||
Transportation & Logistics – 1.3% | |||
Allegiant Travel Co., 7.25%, 8/15/27(b) | 80,000 | 77,322 | |
American Airlines Pass Through Trust, | |||
Series 2015-2, Class AA, 3.60%, 9/22/27 | 21,114 | 19,742 | |
Series 2015-2, Class A, 4.00%, 9/22/27 | 24,220 | 22,498 | |
Series 2016-1, Class AA, 3.58%, 1/15/28 | 3,216 | 3,008 | |
Series 2016-2, Class AA, 3.20%, 6/15/28 | 18,212 | 16,670 | |
Series 2016-2, Class A, 3.65%, 6/15/28 | 6,745 | 6,090 | |
Series 2017-2, Class AA, 3.35%, 10/15/29 | 216,085 | 196,105 | |
Series 2019-1, Class AA, 3.15%, 2/15/32 | 4,698 | 4,139 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 4/20/29(b) | 580,000 | 560,125 | |
Burlington Northern Santa Fe LLC, | |||
4.40%, 3/15/42 | 32,000 | 27,412 | |
4.38%, 9/01/42 | 12,000 | 10,205 | |
4.55%, 9/01/44 | 36,000 | 30,985 | |
3.90%, 8/01/46 | 61,000 | 47,086 | |
5.20%, 4/15/54 | 64,000 | 59,892 | |
CSX Corp., | |||
4.50%, 11/15/52 | 28,000 | 23,463 | |
4.65%, 3/01/68 | 67,000 | 54,663 | |
Delta Air Lines Pass Through Trust, | |||
Series 2015-1, Class A, 3.88%, 7/30/27 | 7,555 | 6,982 | |
Series 2020-1, Class A, 2.50%, 6/10/28 | 36,922 | 33,286 | |
FedEx Corp., 4.55%, 4/01/46 | 23,000 | 18,713 | |
FedEx Corp. Pass Through Trust, Series 2020-1, Class AA, 1.88%, 2/20/34 | 34,140 | 27,534 |
Par (a) | Value | ||
Transportation & Logistics (Continued) | |||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 1/20/26(b) | $ 70,000 | $ 65,652 | |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 6/20/27(b) | 15,599 | 15,626 | |
Norfolk Southern Corp., | |||
5.05%, 8/01/30 | 8,000 | 7,861 | |
3.95%, 10/01/42 | 38,000 | 29,864 | |
2.90%, 8/25/51 | 24,000 | 14,543 | |
5.95%, 3/15/64 | 129,000 | 129,246 | |
Rand Parent LLC, 8.50%, 2/15/30(b) | 290,000 | 286,786 | |
Ryder System, Inc., | |||
6.30%, 12/01/28 | 49,000 | 50,454 | |
5.50%, 6/01/29(i) | 65,000 | 64,617 | |
6.60%, 12/01/33 | 61,000 | 64,030 | |
U.S. Airways Pass Through Trust, | |||
Series 2012-2, Class A, 4.63%, 6/03/25 | 19,702 | 19,440 | |
Series 2013-1, Class A, 3.95%, 11/15/25 | 51,949 | 50,474 | |
Union Pacific Corp., | |||
3.38%, 2/01/35 | 13,000 | 10,839 | |
3.60%, 9/15/37 | 14,000 | 11,485 | |
3.55%, 8/15/39 | 59,000 | 46,754 | |
4.05%, 11/15/45 | 16,000 | 12,722 | |
3.35%, 8/15/46 | 7,000 | 4,884 | |
3.88%, 2/01/55 | 9,000 | 6,674 | |
3.95%, 8/15/59 | 34,000 | 24,784 | |
3.55%, 5/20/61 | 19,000 | 12,729 | |
3.75%, 2/05/70 | 7,000 | 4,795 | |
United Airlines Pass Through Trust, | |||
Series 2020-1, Class A, 5.88%, 10/15/27 | 46,281 | 46,154 | |
Series 2016-2, Class AA, 2.88%, 10/07/28 | 2,666 | 2,404 | |
2,228,737 | |||
Transportation Equipment – 0.2% | |||
Allison Transmission, Inc., 4.75%, 10/01/27(b) | 155,000 | 148,142 | |
Cummins, Inc., 5.45%, 2/20/54 | 33,000 | 31,767 |
Par (a) | Value | ||
Transportation Equipment (Continued) | |||
PACCAR Financial Corp., 5.00%, 3/22/34 | $ 82,000 | $ 79,685 | |
Westinghouse Air Brake Technologies Corp., 5.61%, 3/11/34 | 70,000 | 68,813 | |
328,407 | |||
Total Corporate Bonds (Cost $76,481,875) | 73,003,084 | ||
Foreign Issuer Bonds – 46.6% | |||
Angola – 0.4% | |||
Angolan Government International Bond, | |||
8.25%, 5/09/28(b) | 260,000 | 244,837 | |
8.00%, 11/26/29 | 400,000 | 363,500 | |
9.13%, 11/26/49 | 200,000 | 166,150 | |
774,487 | |||
Argentina – 0.5% | |||
Argentine Republic Government International Bond, | |||
(Step to 1.75% on 7/09/27), 0.75%, 7/09/30(j) | 508,383 | 294,105 | |
(Step to 4.13% on 7/09/24), 3.63%, 7/09/35(j) | 504,220 | 231,326 | |
(Step to 5.00% on 7/09/24), 4.25%, 1/09/38(j) | 204,592 | 104,255 | |
(Step to 4.88% on 7/09/29), 3.50%, 7/09/41(j) | 666,904 | 291,543 | |
921,229 | |||
Australia – 0.5% | |||
BHP Billiton Finance USA Ltd., | |||
5.25%, 9/08/30 | 62,000 | 61,499 | |
4.90%, 2/28/33 | 52,000 | 49,908 | |
5.25%, 9/08/33 | 80,000 | 78,407 | |
5.50%, 9/08/53 | 19,000 | 18,368 | |
CIMIC Finance USA Pty. Ltd., 7.00%, 3/25/34(b) | 35,000 | 34,554 | |
CSL Finance PLC, 5.42%, 4/03/54(b) | 111,000 | 104,476 | |
Mineral Resources Ltd., | |||
8.13%, 5/01/27(b) | 110,000 | 111,032 | |
8.00%, 11/01/27(b) | 90,000 | 91,024 | |
9.25%, 10/01/28(b) | 125,000 | 131,042 | |
NBN Co. Ltd., 2.50%, 1/08/32(b) | 200,000 | 162,381 |
Par (a) | Value | ||
Australia (Continued) | |||
Rio Tinto Finance USA Ltd., 2.75%, 11/02/51 | $ 35,000 | $ 21,198 | |
Rio Tinto Finance USA PLC, 5.13%, 3/09/53 | 63,000 | 57,957 | |
921,846 | |||
Bahrain – 0.6% | |||
Bahrain Government International Bond, | |||
6.75%, 9/20/29 | 600,000 | 596,280 | |
5.63%, 5/18/34 | 200,000 | 175,000 | |
7.50%, 2/12/36(b) | 200,000 | 198,758 | |
970,038 | |||
Belgium – 0.1% | |||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 2/01/46 | 197,000 | 177,278 | |
Anheuser-Busch InBev Worldwide, Inc., 4.38%, 4/15/38 | 93,000 | 82,408 | |
259,686 | |||
Brazil – 3.4% | |||
Acu Petroleo Luxembourg S.a.r.l., 7.50%, 1/13/32(b) | 242,425 | 232,105 | |
Aegea Finance S.a.r.l., 9.00%, 1/20/31(b) | 200,000 | 209,289 | |
Banco BTG Pactual S.A., 6.25%, 4/08/29(b) | 200,000 | 198,400 | |
Brazil Notas do Tesouro Nacional Serie F, 10.00%, 1/01/31 | BRL | 8,550,000 | 1,524,900 |
Brazil Notas do Tesouro Nacional, Serie F, | |||
10.00%, 1/01/27 | BRL | 5,982,000 | 1,126,879 |
10.00%, 1/01/29 | BRL | 8,232,000 | 1,508,347 |
Brazilian Government International Bond, 5.00%, 1/27/45 | 200,000 | 150,457 | |
CSN Resources S.A., 4.63%, 6/10/31(b) | 200,000 | 157,290 | |
Minerva Luxembourg S.A., 8.88%, 9/13/33(b) | 200,000 | 205,142 | |
Nexa Resources S.A., 6.75%, 4/09/34(b) | 200,000 | 200,690 | |
Samarco Mineracao S.A., (100% Cash), 9.50%, 6/30/31(b)(f) | 408,110 | 372,487 | |
5,885,986 | |||
Canada – 1.4% | |||
1011778 B.C. ULC/New Red Finance, Inc., | |||
3.88%, 1/15/28(b) | 390,000 | 359,780 |
Par (a) | Value | ||
Canada (Continued) | |||
1011778 B.C. ULC/New Red Finance, Inc., | |||
3.50%, 2/15/29(b) | $ 40,000 | $ 35,708 | |
4.00%, 10/15/30(b) | 65,000 | 56,054 | |
Bank of Montreal, 3.70%, 6/07/25 | 68,000 | 66,597 | |
Bank of Nova Scotia (The), | |||
4.85%, 2/01/30 | 44,000 | 42,608 | |
(5Y US Treasury CMT + 2.05%), 4.59%, 5/04/37(h) | 78,000 | 68,855 | |
Baytex Energy Corp., 8.50%, 4/30/30(b) | 110,000 | 114,687 | |
Bell Telephone Co. of Canada or Bell Canada, 5.55%, 2/15/54 | 69,000 | 64,988 | |
Bombardier, Inc., | |||
7.13%, 6/15/26(b) | 380,000 | 384,044 | |
6.00%, 2/15/28(b) | 35,000 | 34,132 | |
8.75%, 11/15/30(b) | 60,000 | 63,833 | |
7.25%, 7/01/31(b) | 140,000 | 140,345 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.88%, 2/15/30(b) | 70,000 | 60,581 | |
Canadian Pacific Railway Co., 2.88%, 11/15/29 | 62,000 | 54,672 | |
Element Fleet Management Corp., 6.32%, 12/04/28(b) | 143,000 | 145,125 | |
Enbridge, Inc., 5.63%, 4/05/34 | 40,000 | 39,135 | |
MEG Energy Corp., 5.88%, 2/01/29(b) | 30,000 | 29,025 | |
Nutrien Ltd., | |||
5.95%, 11/07/25 | 24,000 | 24,116 | |
4.90%, 3/27/28 | 19,000 | 18,595 | |
2.95%, 5/13/30 | 179,000 | 156,061 | |
5.88%, 12/01/36 | 7,000 | 6,989 | |
5.80%, 3/27/53 | 9,000 | 8,703 | |
Open Text Holdings, Inc., 4.13%, 2/15/30(b) | 5,000 | 4,391 | |
Parkland Corp., | |||
5.88%, 7/15/27(b) | 95,000 | 92,623 | |
4.50%, 10/01/29(b) | 85,000 | 77,034 | |
Royal Bank of Canada, 5.15%, 2/01/34 | 36,000 | 34,769 | |
Strathcona Resources Ltd., 6.88%, 8/01/26(b) | 60,000 | 59,420 | |
Telesat Canada/Telesat LLC, 5.63%, 12/06/26(b) | 80,000 | 38,862 |
Par (a) | Value | ||
Canada (Continued) | |||
Toronto-Dominion Bank (The), 5.52%, 7/17/28 | $ 57,000 | $ 57,188 | |
Triton Container International Ltd., 3.15%, 6/15/31(b) | 49,000 | 39,268 | |
2,378,188 | |||
Chile – 1.1% | |||
AES Andes S.A., 6.30%, 3/15/29(b) | 200,000 | 197,089 | |
Bonos de la Tesoreria de la Republica en pesos, | |||
5.00%, 10/01/28(b) | CLP | 95,000,000 | 95,166 |
6.00%, 4/01/33(b) | CLP | 75,000,000 | 78,197 |
5.00%, 3/01/35 | CLP | 100,000,000 | 95,765 |
Corp Nacional del Cobre de Chile, | |||
6.44%, 1/26/36 | 600,000 | 599,761 | |
6.30%, 9/08/53 | 200,000 | 190,248 | |
Corp. Nacional del Cobre de Chile, 3.00%, 9/30/29 | 200,000 | 173,353 | |
Empresa Nacional del Petroleo, 6.15%, 5/10/33(b) | 200,000 | 198,620 | |
Engie Energia Chile S.A., 6.38%, 4/17/34(b) | 200,000 | 197,720 | |
1,825,919 | |||
China – 0.2% | |||
Agile Group Holdings Ltd., 6.05%, 10/13/25 | 205,000 | 20,242 | |
China Evergrande Group, 8.75%, 6/28/25(k) | 200,000 | 2,180 | |
Fantasia Holdings Group Co. Ltd., 11.88%, 6/01/23(k) | 200,000 | 3,286 | |
Fortune Star BVI Ltd., 5.00%, 5/18/26 | 200,000 | 177,263 | |
NXP B.V./NXP Funding LLC/NXP USA, Inc., | |||
4.30%, 6/18/29 | 63,000 | 59,471 | |
5.00%, 1/15/33 | 62,000 | 58,802 | |
Sunac China Holdings Ltd., | |||
(100% Cash), 6.00%, 9/30/25(b)(f) | 18,066 | 1,807 | |
(100% Cash), 6.25%, 9/30/26(b)(f) | 18,088 | 1,688 | |
(100% Cash), 6.50%, 9/30/27(b)(f) | 36,221 | 2,716 | |
(100% Cash), 6.75%, 9/30/28(b)(f) | 54,397 | 3,784 | |
(100% Cash), 7.00%, 9/30/29(b)(f) | 54,463 | 3,336 | |
(100% Cash), 7.25%, 9/30/30(b)(f) | 25,620 | 1,281 |
Par (a) | Value | ||
China (Continued) | |||
Times China Holdings Ltd., 6.20%, 3/22/26(k) | $ 215,000 | $ 4,429 | |
Yuzhou Group Holdings Co. Ltd., 6.35%, 1/13/27(k) | 200,000 | 9,500 | |
Zhenro Properties Group Ltd., 6.63%, 1/07/26(k) | 200,000 | 1,520 | |
351,305 | |||
Colombia – 2.0% | |||
AI Candelaria Spain S.A., 5.75%, 6/15/33 | 250,000 | 193,321 | |
Colombia Government International Bond, | |||
3.88%, 4/25/27 | 200,000 | 185,399 | |
8.00%, 11/14/35 | 200,000 | 201,590 | |
7.38%, 9/18/37 | 183,000 | 174,380 | |
8.75%, 11/14/53 | 200,000 | 206,076 | |
Colombian TES, | |||
6.00%, 4/28/28 | COP | 226,800,000 | 50,457 |
7.75%, 9/18/30 | COP | 1,803,600,000 | 408,878 |
7.00%, 6/30/32 | COP | 2,029,800,000 | 421,956 |
13.25%, 2/09/33 | COP | 2,188,400,000 | 640,117 |
7.25%, 10/18/34 | COP | 1,393,200,000 | 282,327 |
6.25%, 7/09/36 | COP | 500,100,000 | 88,764 |
Ecopetrol S.A., | |||
8.38%, 1/19/36 | 420,000 | 408,302 | |
5.88%, 5/28/45 | 150,000 | 106,393 | |
Gran Tierra Energy, Inc., 9.50%, 10/15/29(b) | 200,000 | 188,180 | |
3,556,140 | |||
Costa Rica – 0.2% | |||
Costa Rica Government International Bond, | |||
6.55%, 4/03/34(b) | 200,000 | 202,420 | |
7.30%, 11/13/54(b) | 200,000 | 208,032 | |
410,452 | |||
Czech Republic – 1.1% | |||
Czech Republic Government Bond, | |||
5.50%, 12/12/28 | CZK | 3,810,000 | 170,309 |
2.75%, 7/23/29 | CZK | 8,230,000 | 325,503 |
0.95%, 5/15/30 | CZK | 8,670,000 | 304,435 |
1.75%, 6/23/32 | CZK | 5,220,000 | 183,603 |
2.00%, 10/13/33 | CZK | 10,070,000 | 352,758 |
3.50%, 5/30/35 | CZK | 15,980,000 | 629,187 |
1,965,795 | |||
Dominican Republic – 0.6% | |||
Dominican Republic International Bond, | |||
5.50%, 2/22/29(b) | 200,000 | 190,031 |
Par (a) | Value | ||
Dominican Republic (Continued) | |||
Dominican Republic International Bond, | |||
4.50%, 1/30/30(b) | $630,000 | $ 562,525 | |
4.88%, 9/23/32(b) | 200,000 | 175,000 | |
6.85%, 1/27/45 | 200,000 | 190,054 | |
1,117,610 | |||
Ecuador – 0.4% | |||
Ecuador Government International Bond, | |||
(Step to 6.90% on 7/31/24), 6.00%, 7/31/30(j) | 210,164 | 147,568 | |
0.00%, 7/31/30(e) | 81,000 | 44,060 | |
(Step to 5.50% on 7/31/24), 3.50%, 7/31/35(j) | 37,000 | 20,263 | |
(Step to 5.50% on 7/31/24), 3.50%, 7/31/35(b)(j) | 381,291 | 208,818 | |
(Step to 5.00% on 7/31/24), 2.50%, 7/31/40(j) | 400,000 | 204,000 | |
624,709 | |||
Egypt – 0.6% | |||
Egypt Government International Bond, | |||
5.88%, 2/16/31 | 200,000 | 155,660 | |
7.05%, 1/15/32(b) | 535,000 | 433,378 | |
8.50%, 1/31/47 | 300,000 | 228,522 | |
7.50%, 2/16/61 | 400,000 | 271,656 | |
1,089,216 | |||
El Salvador – 0.3% | |||
El Salvador Government International Bond, | |||
8.63%, 2/28/29 | 11,000 | 9,633 | |
0.25%, 4/17/30(b) | 150,000 | 4,156 | |
9.25%, 4/17/30(b) | 150,000 | 134,008 | |
8.25%, 4/10/32 | 101,000 | 80,771 | |
7.65%, 6/15/35 | 38,000 | 27,350 | |
7.12%, 1/20/50 | 230,000 | 147,925 | |
9.50%, 7/15/52 | 150,000 | 118,218 | |
522,061 | |||
France – 0.3% | |||
Altice France S.A., | |||
8.13%, 2/01/27(b) | 200,000 | 150,572 | |
5.13%, 1/15/29(b) | 290,000 | 189,469 | |
TotalEnergies Capital S.A., | |||
5.15%, 4/05/34 | 70,000 | 68,975 | |
5.49%, 4/05/54 | 65,000 | 63,247 | |
5.64%, 4/05/64 | 60,000 | 58,591 | |
530,854 |
Par (a) | Value | ||
Gabon – 0.3% | |||
Gabon Government International Bond, 6.63%, 2/06/31 | $ 600,000 | $471,757 | |
Germany – 0.5% | |||
Deutsche Telekom International Finance B.V., 4.38%, 6/21/28(b) | 150,000 | 144,175 | |
RWE Finance U.S. LLC, 5.88%, 4/16/34(b) | 150,000 | 147,150 | |
Volkswagen Group of America Finance LLC, 6.45%, 11/16/30(b) | 200,000 | 206,794 | |
ZF North America Capital, Inc., | |||
6.88%, 4/14/28(b) | 150,000 | 151,003 | |
6.88%, 4/23/32(b) | 225,000 | 227,361 | |
876,483 | |||
Ghana – 0.3% | |||
Ghana Government International Bond, | |||
7.63%, 5/16/29 | 400,000 | 192,648 | |
8.13%, 3/26/32 | 325,000 | 156,812 | |
8.63%, 4/07/34 | 200,000 | 96,750 | |
446,210 | |||
Guatemala – 0.2% | |||
Guatemala Government Bond, | |||
5.38%, 4/24/32 | 200,000 | 186,019 | |
3.70%, 10/07/33(b) | 200,000 | 158,263 | |
344,282 | |||
Hong Kong – 0.1% | |||
Melco Resorts Finance Ltd., 5.38%, 12/04/29 | 220,000 | 195,891 | |
Hungary – 1.3% | |||
Hungary Government Bond, | |||
5.50%, 6/24/25 | HUF | 45,250,000 | 121,058 |
2.75%, 12/22/26 | HUF | 77,250,000 | 188,557 |
3.00%, 10/27/27 | HUF | 62,670,000 | 149,321 |
3.25%, 10/22/31 | HUF | 59,400,000 | 126,215 |
4.75%, 11/24/32 | HUF | 14,850,000 | 34,406 |
2.25%, 4/20/33 | HUF | 224,890,000 | 420,147 |
Hungary Government International Bond, | |||
6.13%, 5/22/28(b) | 210,000 | 212,067 | |
5.50%, 6/16/34 | 250,000 | 237,625 | |
5.50%, 3/26/36(b) | 200,000 | 186,500 | |
6.75%, 9/25/52(b) | 200,000 | 205,338 |
Par (a) | Value | ||
Hungary (Continued) | |||
Magyar Export-Import Bank Zrt., 6.13%, 12/04/27(b) | $ 200,000 | $ 199,578 | |
MVM Energetika Zrt, 7.50%, 6/09/28 | 200,000 | 205,937 | |
2,286,749 | |||
India – 1.0% | |||
India Government Bond, | |||
7.17%, 4/17/30 | INR | 3,000,000 | 35,872 |
7.18%, 8/14/33 | INR | 120,260,000 | 1,438,709 |
Indiabulls Housing Finance Ltd., 9.70%, 7/03/27(b) | 200,000 | 193,931 | |
1,668,512 | |||
Indonesia – 3.1% | |||
Freeport Indonesia PT, 5.32%, 4/14/32(b) | 400,000 | 378,641 | |
Indonesia Government International Bond, | |||
2.85%, 2/14/30 | 200,000 | 174,529 | |
4.70%, 2/10/34 | 200,000 | 188,312 | |
5.65%, 1/11/53 | 200,000 | 195,666 | |
Indonesia Treasury Bond, | |||
8.38%, 9/15/26 | IDR | 5,700,000,000 | 360,523 |
9.00%, 3/15/29 | IDR | 4,814,000,000 | 317,976 |
6.88%, 4/15/29 | IDR | 7,360,000,000 | 447,444 |
7.00%, 9/15/30 | IDR | 3,482,000,000 | 212,034 |
6.38%, 4/15/32 | IDR | 3,817,000,000 | 223,336 |
7.50%, 8/15/32 | IDR | 5,944,000,000 | 371,773 |
7.00%, 2/15/33 | IDR | 9,146,000,000 | 560,690 |
6.63%, 2/15/34 | IDR | 18,425,000,000 | 1,083,799 |
8.38%, 3/15/34 | IDR | 2,453,000,000 | 163,080 |
7.50%, 6/15/35 | IDR | 2,678,000,000 | 168,299 |
8.38%, 4/15/39 | IDR | 1,562,000,000 | 106,383 |
Perusahaan Penerbit SBSN Indonesia III, | |||
4.70%, 6/06/32(b) | 200,000 | 189,237 | |
5.60%, 11/15/33(b) | 200,000 | 200,977 | |
5,342,699 | |||
Ireland – 0.2% | |||
GGAM Finance Ltd., 6.88%, 4/15/29(b) | 100,000 | 99,906 | |
Smurfit Kappa Treasury ULC, 5.44%, 4/03/34(b) | 200,000 | 193,525 | |
293,431 | |||
Israel – 1.3% | |||
Energean Israel Finance Ltd., | |||
4.88%, 3/30/26(b) | 354,568 | 333,181 | |
5.38%, 3/30/28(b) | 156,582 | 138,750 |
Par (a) | Value | ||
Israel (Continued) | |||
Israel Government International Bond, | |||
5.38%, 3/12/29 | $200,000 | $ 195,750 | |
5.50%, 3/12/34 | 200,000 | 189,250 | |
Leviathan Bond Ltd., 6.75%, 6/30/30(b) | 215,000 | 191,619 | |
Teva Pharmaceutical Finance Co. LLC, 6.15%, 2/01/36 | 60,000 | 57,006 | |
Teva Pharmaceutical Finance Netherlands III B.V., | |||
3.15%, 10/01/26 | 400,000 | 370,568 | |
7.88%, 9/15/29 | 200,000 | 209,975 | |
4.10%, 10/01/46 | 787,000 | 524,692 | |
2,210,791 | |||
Italy – 0.4% | |||
Intesa Sanpaolo S.p.A., 6.63%, 6/20/33(b) | 400,000 | 402,970 | |
Telecom Italia Capital S.A., | |||
6.38%, 11/15/33 | 70,000 | 61,845 | |
6.00%, 9/30/34 | 10,000 | 8,420 | |
7.20%, 7/18/36 | 59,000 | 53,445 | |
UniCredit S.p.A., (5Y US Treasury CMT + 4.75%), 5.46%, 6/30/35(b)(h) | 200,000 | 184,024 | |
710,704 | |||
Ivory Coast – 0.2% | |||
Ivory Coast Government International Bond, | |||
6.13%, 6/15/33 | 200,000 | 173,170 | |
8.25%, 1/30/37(b) | 200,000 | 191,080 | |
364,250 | |||
Jamaica – 0.1% | |||
Jamaica Government International Bond, 8.00%, 3/15/39 | 100,000 | 115,350 | |
Japan – 0.4% | |||
Mitsubishi UFJ Financial Group, Inc., (1Y US Treasury CMT + 1.00%), 5.43%, 4/17/35(h) | 200,000 | 195,133 | |
Nippon Life Insurance Co., (5Y US Treasury CMT + 2.59%), 5.95%, 4/16/54(b)(h) | 70,000 | 68,063 | |
SoftBank Group Corp., 4.63%, 7/06/28 | 405,000 | 366,542 | |
629,738 |
Par (a) | Value | ||
Jordan – 0.3% | |||
Jordan Government International Bond, | |||
7.75%, 1/15/28(b) | $ 200,000 | $199,000 | |
7.50%, 1/13/29(b) | 200,000 | 196,690 | |
7.38%, 10/10/47 | 200,000 | 170,150 | |
565,840 | |||
Kazakhstan – 0.4% | |||
KazMunayGas National Co. JSC, | |||
4.75%, 4/19/27 | 400,000 | 383,304 | |
5.75%, 4/19/47 | 300,000 | 247,748 | |
631,052 | |||
Kenya – 0.3% | |||
Republic of Kenya Government International Bond, | |||
7.00%, 5/22/27 | 200,000 | 192,604 | |
6.30%, 1/23/34 | 205,000 | 161,973 | |
8.25%, 2/28/48 | 200,000 | 168,000 | |
522,577 | |||
Lebanon – 0.0%(d) | |||
Lebanon Government International Bond, | |||
6.10%, 10/04/22(k) | 200,000 | 10,580 | |
6.00%, 1/27/23(k) | 245,000 | 15,619 | |
6.65%, 4/22/24(k) | 150,000 | 9,562 | |
6.60%, 11/27/26(k) | 125,000 | 7,913 | |
8.25%, 5/17/34(k) | 225,000 | 15,096 | |
58,770 | |||
Luxembourg – 0.1% | |||
Altice Financing S.A., 5.00%, 1/15/28(b) | 240,000 | 189,410 | |
Macau – 0.5% | |||
MGM China Holdings Ltd., 4.75%, 2/01/27(b) | 210,000 | 198,208 | |
Sands China Ltd., 5.40%, 8/08/28 | 200,000 | 193,650 | |
Studio City Finance Ltd., 5.00%, 1/15/29(b) | 200,000 | 170,092 | |
Wynn Macau Ltd., | |||
5.50%, 1/15/26(b) | 200,000 | 194,110 | |
5.13%, 12/15/29(b) | 200,000 | 176,611 | |
932,671 | |||
Malaysia – 1.7% | |||
Malaysia Government Bond, | |||
3.73%, 6/15/28 | MYR | 3,553,000 | 742,442 |
3.89%, 8/15/29 | MYR | 3,048,000 | 641,218 |
4.76%, 4/07/37 | MYR | 2,369,000 | 530,632 |
Par (a) | Value | ||
Malaysia (Continued) | |||
Malaysia Government Bond, | |||
4.89%, 6/08/38 | MYR | $ 2,185,000 | $ 495,557 |
3.76%, 5/22/40 | MYR | 778,000 | 155,364 |
Malaysia Government Investment Issue, 3.47%, 10/15/30 | MYR | 1,720,000 | 352,037 |
2,917,250 | |||
Mexico – 3.4% | |||
Buffalo Energy Mexico Holdings/Buffalo Energy Infrastructure/Buffalo Energy, 7.88%, 2/15/39(b) | 200,000 | 209,450 | |
Cemex S.A.B. de C.V., | |||
(5Y US Treasury CMT + 4.53%), 5.13%, 6/08/26(b)(g)(h) | 200,000 | 192,336 | |
(5Y US Treasury CMT + 5.16%), 9.13%, 3/14/28(b)(g)(h) | 275,000 | 295,113 | |
Mexican Bonos, | |||
5.75%, 3/05/26 | MXN | 7,445,100 | 399,045 |
8.50%, 5/31/29 | MXN | 4,754,500 | 260,551 |
7.75%, 5/29/31 | MXN | 11,900,900 | 616,041 |
7.50%, 5/26/33 | MXN | 12,932,800 | 644,279 |
10.00%, 11/20/36 | MXN | 1,224,400 | 71,831 |
8.50%, 11/18/38 | MXN | 10,499,200 | 543,556 |
7.75%, 11/13/42 | MXN | 5,936,800 | 279,943 |
Mexico Government International Bond, | |||
6.35%, 2/09/35 | 400,000 | 397,509 | |
6.34%, 5/04/53 | 330,000 | 306,976 | |
Petroleos Mexicanos, | |||
6.50%, 3/13/27 | 200,000 | 187,311 | |
5.95%, 1/28/31 | 557,000 | 439,483 | |
6.70%, 2/16/32 | 400,000 | 327,084 | |
6.63%, 6/15/35 | 397,000 | 293,274 | |
6.38%, 1/23/45 | 104,000 | 64,456 | |
6.75%, 9/21/47 | 340,000 | 217,070 | |
7.69%, 1/23/50 | 156,000 | 108,610 | |
5,853,918 | |||
Morocco – 0.2% | |||
Morocco Government International Bond, 5.95%, 3/08/28(b) | 200,000 | 198,360 | |
OCP S.A., 7.50%, 5/02/54(b) | 200,000 | 194,288 | |
392,648 | |||
Mozambique – 0.1% | |||
Mozambique International Bond, 9.00%, 9/15/31 | 200,000 | 168,645 |
Par (a) | Value | ||
Netherlands – 0.3% | |||
ING Groep N.V., (SOFR + 1.77%), 5.55%, 3/19/35(h) | $200,000 | $ 192,602 | |
Ziggo Bond Co. B.V., 6.00%, 1/15/27(b) | 345,000 | 339,195 | |
531,797 | |||
Nigeria – 0.5% | |||
Nigeria Government International Bond, | |||
6.13%, 9/28/28(b) | 200,000 | 176,000 | |
7.38%, 9/28/33 | 400,000 | 331,720 | |
7.70%, 2/23/38(b) | 390,000 | 306,719 | |
814,439 | |||
Oman – 0.6% | |||
Mazoon Assets Co. SAOC, 5.50%, 2/14/29(b) | 200,000 | 196,500 | |
Oman Government International Bond, | |||
6.00%, 8/01/29 | 200,000 | 199,906 | |
6.25%, 1/25/31(b) | 700,000 | 706,032 | |
1,102,438 | |||
Pakistan – 0.4% | |||
Pakistan Government International Bond, | |||
6.00%, 4/08/26(b) | 200,000 | 179,492 | |
6.88%, 12/05/27 | 335,000 | 287,329 | |
7.38%, 4/08/31 | 200,000 | 158,292 | |
625,113 | |||
Panama – 0.7% | |||
Panama Government International Bond, | |||
3.16%, 1/23/30 | 200,000 | 162,715 | |
2.25%, 9/29/32 | 200,000 | 138,160 | |
6.40%, 2/14/35 | 450,000 | 412,472 | |
7.88%, 3/01/57 | 525,000 | 513,323 | |
1,226,670 | |||
Paraguay – 0.1% | |||
Paraguay Government International Bond, 6.00%, 2/09/36(b) | 200,000 | 194,510 | |
Peru – 0.7% | |||
Cia de Minas Buenaventura S.A.A., 5.50%, 7/23/26 | 200,000 | 191,781 | |
Peru Government Bond, | |||
6.15%, 8/12/32 | PEN | 417,000 | 104,652 |
7.30%, 8/12/33(b) | PEN | 400,000 | 107,090 |
5.40%, 8/12/34 | PEN | 525,000 | 120,611 |
Par (a) | Value | ||
Peru (Continued) | |||
Peruvian Government International Bond, | |||
2.78%, 1/23/31 | $ 326,000 | $ 270,547 | |
7.30%, 8/12/33(b) | PEN | 270,000 | 72,286 |
3.00%, 1/15/34 | 90,000 | 70,425 | |
6.90%, 8/12/37 | PEN | 1,134,000 | 285,670 |
1,223,062 | |||
Philippines – 0.3% | |||
Philippine Government International Bond, | |||
3.56%, 9/29/32 | 300,000 | 260,231 | |
3.20%, 7/06/46 | 350,000 | 236,984 | |
497,215 | |||
Poland – 1.6% | |||
Republic of Poland Government Bond, | |||
3.25%, 7/25/25 | PLN | 1,011,000 | 243,453 |
2.50%, 7/25/26 | PLN | 1,665,000 | 386,674 |
2.50%, 7/25/27 | PLN | 981,000 | 221,532 |
2.75%, 10/25/29 | PLN | 1,005,000 | 215,706 |
1.25%, 10/25/30 | PLN | 2,014,000 | 381,922 |
1.75%, 4/25/32 | PLN | 2,257,000 | 418,808 |
Republic of Poland Government International Bond, | |||
4.63%, 3/18/29 | 240,000 | 233,014 | |
4.88%, 10/04/33 | 532,000 | 506,734 | |
5.50%, 3/18/54 | 158,000 | 148,144 | |
2,755,987 | |||
Qatar – 0.1% | |||
QatarEnergy, 2.25%, 7/12/31 | 200,000 | 162,460 | |
Romania – 1.3% | |||
Romania Government Bond, | |||
3.25%, 6/24/26 | RON | 1,710,000 | 346,812 |
5.80%, 7/26/27 | RON | 620,000 | 131,220 |
5.00%, 2/12/29 | RON | 470,000 | 94,678 |
7.35%, 4/28/31 | RON | 1,605,000 | 357,633 |
6.70%, 2/25/32 | RON | 2,280,000 | 486,754 |
Romanian Government International Bond, | |||
6.63%, 2/17/28(b) | 100,000 | 101,150 | |
5.88%, 1/30/29(b) | 200,000 | 195,700 | |
7.13%, 1/17/33(b) | 280,000 | 288,910 | |
6.38%, 1/30/34(b) | 120,000 | 117,240 | |
7.63%, 1/17/53(b) | 170,000 | 181,050 | |
2,301,147 |
Par (a) | Value | ||
Saudi Arabia – 1.0% | |||
Saudi Government International Bond, | |||
4.75%, 1/16/30(b) | $ 604,000 | $ 582,256 | |
5.00%, 1/16/34 | 200,000 | 192,816 | |
5.75%, 1/16/54(b) | 406,000 | 378,595 | |
TMS Issuer S.a.r.l., 5.78%, 8/23/32 | 600,000 | 602,700 | |
1,756,367 | |||
Senegal – 0.1% | |||
Senegal Government International Bond, 6.25%, 5/23/33 | 200,000 | 168,508 | |
South Africa – 2.5% | |||
Eskom Holdings SOC Ltd., 8.45%, 8/10/28 | 400,000 | 393,160 | |
Republic of South Africa Government Bond, | |||
7.00%, 2/28/31 | ZAR | 1,611,193 | 68,762 |
8.25%, 3/31/32 | ZAR | 12,846,227 | 568,213 |
8.88%, 2/28/35 | ZAR | 15,121,863 | 647,658 |
8.50%, 1/31/37 | ZAR | 15,024,445 | 596,947 |
9.00%, 1/31/40 | ZAR | 10,406,227 | 413,291 |
8.75%, 1/31/44 | ZAR | 19,949,000 | 752,808 |
Republic of South Africa Government International Bond, | |||
4.85%, 9/30/29 | 300,000 | 266,772 | |
5.00%, 10/12/46 | 200,000 | 131,174 | |
5.65%, 9/27/47 | 200,000 | 141,380 | |
Sasol Financing USA LLC, 8.75%, 5/03/29(b) | 200,000 | 201,117 | |
Stillwater Mining Co., 4.50%, 11/16/29 | 200,000 | 156,832 | |
4,338,114 | |||
Spain – 0.2% | |||
Banco Santander S.A., 6.35%, 3/14/34 | 200,000 | 195,073 | |
CaixaBank S.A., (SOFR + 2.26%), 6.04%, 6/15/35(b)(h) | 200,000 | 195,493 | |
390,566 | |||
Sri Lanka – 0.2% | |||
Sri Lanka Government International Bond, 6.75%, 4/18/28 | 600,000 | 339,212 | |
Switzerland – 0.2% | |||
Swiss Re Treasury U.S. Corp., 4.25%, 12/06/42(b) | 41,000 | 33,066 |
Par (a) | Value | ||
Switzerland (Continued) | |||
UBS A.G., 5.65%, 9/11/28 | $ 200,000 | $ 200,918 | |
UBS Group A.G., (1Y US Treasury CMT + 2.00%), 6.30%, 9/22/34(b)(h) | 200,000 | 203,025 | |
437,009 | |||
Thailand – 1.5% | |||
Thailand Government Bond, | |||
2.25%, 3/17/27 | THB | 18,076,000 | 485,830 |
1.60%, 12/17/29 | THB | 19,701,000 | 504,387 |
2.00%, 12/17/31 | THB | 8,427,000 | 216,843 |
3.35%, 6/17/33 | THB | 16,023,000 | 453,042 |
1.59%, 12/17/35 | THB | 5,110,000 | 120,597 |
3.30%, 6/17/38 | THB | 11,699,000 | 325,463 |
3.45%, 6/17/43 | THB | 15,170,000 | 419,955 |
2,526,117 | |||
Turkey – 1.2% | |||
Akbank T.A.S., (5Y US Treasury CMT + 5.27%), 9.37%, 3/14/29(b)(g)(h) | 200,000 | 197,784 | |
Hazine Mustesarligi Varlik Kiralama AS, 8.51%, 1/14/29(b) | 400,000 | 420,560 | |
Istanbul Metropolitan Municipality, 10.50%, 12/06/28(b) | 200,000 | 214,000 | |
Sisecam UK PLC, 8.63%, 5/02/32(b) | 200,000 | 202,640 | |
Turkiye Government International Bond, | |||
9.13%, 7/13/30 | 400,000 | 430,000 | |
5.75%, 5/11/47 | 225,000 | 166,219 | |
Turkiye Vakiflar Bankasi T.A.O., (5Y US Treasury CMT + 5.49%), 10.12%, 4/24/29(b)(g)(h) | 200,000 | 200,500 | |
Yapi ve Kredi Bankasi A.S., (5Y US Treasury CMT + 5.28%), 9.25%, 1/17/34(b)(h) | 200,000 | 204,464 | |
2,036,167 | |||
Ukraine – 0.3% | |||
Ukraine Government International Bond, | |||
7.75%, 9/01/27 | 100,000 | 28,000 | |
7.75%, 9/01/27 | 300,000 | 84,288 | |
7.75%, 9/01/28 | 100,000 | 27,994 | |
6.88%, 5/21/31 | 200,000 | 49,720 | |
7.25%, 3/15/35 | 600,000 | 147,851 | |
7.75%, 8/01/41(c)(l) | 191,000 | 101,230 | |
439,083 |
Par (a) | Value | ||
United Arab Emirates – 0.7% | |||
Finance Department Government of Sharjah, | |||
6.50%, 11/23/32(b) | $400,000 | $ 404,000 | |
6.13%, 3/06/36(b) | 200,000 | 194,500 | |
Galaxy Pipeline Assets Bidco Ltd., 2.94%, 9/30/40(b) | 206,050 | 157,771 | |
MDGH GMTN RSC Ltd., | |||
5.50%, 4/28/33 | 200,000 | 200,300 | |
5.88%, 5/01/34 | 200,000 | 205,138 | |
1,161,709 | |||
United Kingdom – 1.4% | |||
Ardonagh Finco Ltd., 7.75%, 2/15/31(b) | 200,000 | 196,810 | |
Ardonagh Group Finance Ltd., 8.88%, 2/15/32(b) | 200,000 | 194,808 | |
Astrazeneca Finance LLC, | |||
4.85%, 2/26/29 | 101,000 | 99,450 | |
5.00%, 2/26/34 | 101,000 | 98,249 | |
BAT Capital Corp., | |||
7.08%, 8/02/43 | 54,000 | 55,944 | |
7.08%, 8/02/53 | 75,000 | 78,497 | |
Global Auto Holdings Ltd./AAG FH UK Ltd., 8.38%, 1/15/29(b) | 400,000 | 380,980 | |
Howden UK Refinance PLC/Howden UK Refinance 2 PLC/Howden U.S. Refinance LLC, 7.25%, 2/15/31(b) | 200,000 | 197,444 | |
Jaguar Land Rover Automotive PLC, 5.50%, 7/15/29(b) | 200,000 | 188,188 | |
LSEGA Financing PLC, 1.38%, 4/06/26(b) | 200,000 | 184,716 | |
Macquarie Airfinance Holdings Ltd., | |||
6.40%, 3/26/29(b) | 15,000 | 14,956 | |
6.50%, 3/26/31(b) | 180,000 | 180,134 | |
Reynolds American, Inc., 5.85%, 8/15/45 | 16,000 | 14,421 | |
Smith & Nephew PLC, 5.40%, 3/20/34 | 75,000 | 72,293 | |
Swiss RE Subordinated Finance PLC, (3M CME Term SOFR + 1.81%), 5.70%, 4/05/35(b)(h) | 200,000 | 193,200 |
Par (a) | Value | ||
United Kingdom (Continued) | |||
Virgin Media Secured Finance PLC, 5.50%, 5/15/29(b) | $250,000 | $ 227,235 | |
Vodafone Group PLC, (5Y US Treasury CMT + 3.07%), 5.13%, 6/04/81(h) | 15,000 | 10,987 | |
2,388,312 | |||
Uruguay – 0.0%(d) | |||
Uruguay Government International Bond, 5.10%, 6/18/50 | 30,000 | 27,285 | |
Uzbekistan – 0.1% | |||
Republic of Uzbekistan International Bond, 3.90%, 10/19/31 | 200,000 | 159,196 | |
Zambia – 0.5% | |||
First Quantum Minerals Ltd., | |||
9.38%, 3/01/29(b) | 490,000 | 506,256 | |
8.63%, 6/01/31(b) | 200,000 | 193,579 | |
Zambia Government International Bond, 5.38%, 9/20/22(m) | 300,000 | 197,400 | |
897,235 | |||
Total Foreign Issuer Bonds (Cost $83,582,436) | 80,794,867 | ||
Mortgage-Backed Securities – 0.6% | |||
Commercial Mortgage-Backed Securities – 0.5% | |||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 5.03%, 5/10/47(b)(n) | 175,000 | 135,641 | |
Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.92%, 10/15/45(b) | 96,246 | 90,467 | |
GS Mortgage Securities Trust, | |||
Series 2011-GC5, Class C, 5.30%, 8/10/44(b)(n) | 35,000 | 26,962 | |
Series 2011-GC5, Class D, 5.30%, 8/10/44(b)(n) | 315,000 | 149,737 | |
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.36%, 2/15/46(b) | 100,000 | 88,017 |
Par (a) | Value | ||
Commercial Mortgage-Backed Securities (Continued) | |||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class B, 4.21%, 8/15/46(n) | $110,000 | $ 67,283 | |
MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C, 4.42%, 10/15/30(b)(n) | 100,000 | 61,727 | |
Wells Fargo Commercial Mortgage Trust, | |||
Series 2014-LC16, Class C, 4.46%, 8/15/50 | 75,000 | 51,421 | |
Series 2016-C36, Class C, 4.25%, 11/15/59(n) | 45,000 | 37,704 | |
WFRBS Commercial Mortgage Trust, | |||
Series 2011-C3, Class D, 6.05%, 3/15/44(b)(n) | 56,647 | 21,667 | |
Series 2012-C10, Class C, 4.48%, 12/15/45(n) | 120,000 | 93,127 | |
823,753 | |||
Specialty Finance – 0.1% | |||
GS Mortgage Securities Trust, | |||
Series 2013-GC13, Class C, 3.97%, 7/10/46(b)(n) | 320,000 | 264,365 | |
Series 2014-GC22, Class D, 4.83%, 6/10/47(b) | 50,000 | 13,869 | |
278,234 | |||
Total Mortgage-Backed Securities (Cost $1,570,013) | 1,101,987 | ||
Term Loans – 2.1%(c) | |||
Advertising & Marketing – 0.1% | |||
Planet US Buyer LLC, Term B Loan, (3M USD CME Term SOFR + 3.50%), 8.81%, 2/07/31 | 114,000 | 114,422 | |
Aerospace & Defense – 0.0%(d) | |||
TransDigm, Inc., Tranche J Term Loan, (3M USD CME Term SOFR + 3.25%), 8.56%, 2/28/31 | 57,855 | 58,169 | |
Asset Management – 0.0%(d) | |||
HighTower Holding LLC, Initial Term Loan, (3M USD CME Term SOFR + 4.00%, 0.75% Floor), 9.59%, 4/21/28 | 85,780 | 86,049 |
Par (a) | Value | ||
Chemicals – 0.1% | |||
Chemours Co., The Tranche B-3 US$ Term Loan, (1M USD CME Term SOFR + 3.50%, 0.50% Floor), 8.82%, 8/18/28 | $100,495 | $100,307 | |
Commercial Support Services – 0.1% | |||
Creative Artists Agency LLC, Incremental Term B-2 Loan, 11/27/28(o) | 197,574 | 198,179 | |
VT Topco, Inc., Incremental Term Loan, 8/09/30(o) | 56,384 | 56,525 | |
254,704 | |||
Consumer Non-Cyclical – 0.1% | |||
IVC Acquisition Ltd., Facility B9, (3M USD CME Term SOFR + 5.50%, 0.50% Floor), 10.81%, 12/12/28 | 96,758 | 96,830 | |
Electric Utilities – 0.0%(d) | |||
Talen Energy Supply LLC, Initial Term B Loan, (3M USD CME Term SOFR + 4.50%, 0.50% Floor), 9.83%, 5/17/30 | 61,485 | 61,588 | |
Talen Energy Supply LLC, Initial Term C Loan, 5/17/30(o) | 11,960 | 11,980 | |
73,568 | |||
Food – 0.1% | |||
Chobani LLC, 2023 Additional Term Loan, (1M USD CME Term SOFR + 3.75%), 9.07%, 10/25/27 | 124,688 | 125,272 | |
Health Care Facilities & Services – 0.2% | |||
Inception Finco S.a r.l. Term Loan B, 3/17/31(o) | 147,822 | 147,546 | |
Star Parent, Inc., Term Loan, (3M USD CME Term SOFR + 4.00%), 9.31%, 9/27/30 | 165,740 | 165,637 | |
313,183 | |||
Home Construction – 0.0%(d) | |||
MI Windows and Doors LLC, 2024 Incremental Term Loan, 3/28/31(o) | 72,790 | 73,093 | |
Institutional Financial Services – 0.1% | |||
Eisner Advisory Group LLC, February 2024 Incremental Term Loan, 2/28/31(o) | 87,000 | 87,436 |
Par (a) | Value | ||
Insurance – 0.4% | |||
Acrisure LLC, 2020 Term Loan, (1M USD Syn LIBOR + 3.50%), 8.93%, 2/15/27 | $343,888 | $343,180 | |
AssuredPartners, Inc., 2024 Term Loan, (1M USD CME Term SOFR + 3.50%, 0.50% Floor), 8.82%, 2/14/31 | 56,000 | 56,236 | |
Asurion LLC, New B-11 Term Loan, | |||
8/19/28 (o) | 95,758 | 93,260 | |
(1M USD CME Term SOFR + 4.25%), 9.67%, 8/19/28 | 48,877 | 47,601 | |
Truist Insurance Holdings LLC, Term Loan, 3/08/32(o) | 72,778 | 73,370 | |
USI, Inc., 2023 Second Funding New Term Loan, (3M USD CME Term SOFR + 3.25%), 8.55%, 9/27/30 | 17,177 | 17,220 | |
USI, Inc., 2023-B Term Loan, (3M USD CME Term SOFR + 3.00%), 8.30%, 11/22/29 | 71,101 | 71,239 | |
702,106 | |||
Internet Media & Services – 0.1% | |||
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 | 61,460 | 61,208 | |
Stubhub Holdco Sub LLC, Extended USD Term B Loan, (1M USD CME Term SOFR + 4.75%), 10.07%, 3/15/30 | 75,246 | 75,175 | |
136,383 | |||
Leisure Facilities & Services – 0.1% | |||
Carnival Corp., 2024 Repricing Advance, | |||
(1M USD CME Term SOFR + 2.75%, 0.75% Floor), 8.07%, 8/08/27 | 20,110 | 20,210 | |
(1M USD CME Term SOFR + 2.75%, 0.75% Floor), 8.07%, 10/18/28 | 200,297 | 200,925 | |
221,135 |
Par (a) | Value | ||
Medical Equipment & Devices – 0.2% | |||
Bausch + Lomb Corp., Initial Term Loan, | |||
5/10/27 (o) | $141,491 | $ 140,518 | |
(1M USD CME Term SOFR + 3.25%, 0.50% Floor), 8.67%, 5/10/27 | 144,618 | 143,625 | |
284,143 | |||
Publishing & Broadcasting – 0.1% | |||
Cengage Learning, Inc., Term B Loan, 3/24/31(o) | 197,325 | 197,678 | |
Retail - Discretionary – 0.0%(d) | |||
Edelman Financial Engines Center LLC, The Initial Term Loan, | |||
4/07/28 (o) | 49,744 | 49,755 | |
(1M USD CME Term SOFR + 3.50%), 8.93%, 4/07/28 | 34,821 | 34,828 | |
84,583 | |||
Software – 0.2% | |||
Cotiviti, Inc., Initial Floating Rate Term Loan, 5/01/31(o) | 146,000 | 146,121 | |
CT Technologies Intermediate Holdings, Inc. (Smart Holdings Corp.), 2021 Term Loan, 12/16/25(o) | 149,614 | 149,100 | |
UKG, Inc., 2024 Refinancing Term Loan, 2/10/31(o) | 7,000 | 7,030 | |
302,251 | |||
Technology Services – 0.1% | |||
Neptune BidCo US, Inc., Dollar Term B Loan, (3M USD CME Term SOFR + 5.00%, 0.50% Floor), 10.41%, 4/11/29 | 131,580 | 123,393 | |
Transportation & Logistics – 0.1% | |||
PODS LLC, Initial Term Loan, (3M USD CME Term SOFR + 3.00%, 0.75% Floor), 8.59%, 3/31/28 | 147,749 | 141,839 | |
Total Term Loans (Cost $3,564,051) | 3,576,544 |
Par(a) | Value | ||
U.S. Government Obligations – 1.1% | |||
Sovereign Government – 0.0%(d) | |||
4.63%, 4/30/29 | $ 3,700 | $ 3,686 | |
4.63%, 4/30/31 | 86,000 | 85,597 | |
89,283 | |||
U.S. Treasury Bonds – 0.3% | |||
4.50%, 2/15/44 | 268,400 | 254,812 | |
4.75%, 11/15/53 | 301,600 | 300,045 | |
554,857 | |||
U.S. Treasury Notes – 0.8% | |||
2.13%, 5/15/25 | 290,000 | 280,909 | |
4.50%, 3/31/26 | 115,000 | 113,845 | |
4.00%, 2/15/34 | 1,014,800 | 960,889 | |
1,355,643 | |||
Total U.S. Government Obligations (Cost $2,019,423) | 1,999,783 |
Number of Shares | |||
Warrants – 0.0%(d) | |||
Engineering & Construction – 0.0%(d) | |||
Mcdermott International Ltd., Class A(p)* | 3,868 | — | |
Mcdermott International Ltd., Class B(p)* | 4,298 | — | |
Total Warrants (Cost $6,000) | — |
Par (a)/Number of Shares | |||
Short-Term Investments – 4.5% | |||
Asset Management – 0.1% | |||
UBS A.G., 5.13%, 5/15/24 | 200,000 | 199,701 | |
Corporate Bonds – 0.0%(d) | |||
Goldman Sachs Group (The), Inc., 3.50%, 4/01/25 | 38,000 | 37,243 | |
Electric Utilities – 0.1% | |||
Avangrid, Inc., 3.15%, 12/01/24 | 47,000 | 46,248 | |
Dominion Energy, Inc., 3.07%, 8/15/24 | 38,000 | 37,666 | |
Iberdrola International B.V., 5.81%, 3/15/25 | 33,000 | 32,968 | |
116,882 |
Par (a)/Number of Shares | Value | ||
Foreign Issuer Bonds – 0.0%(d) | |||
Global Aircraft Leasing Co. Ltd., (100% Cash), 6.50%, 9/15/24(b)(f) | 3,361 | $ 3,179 | |
Money Market Fund – 1.9% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 5.14%(q) | 3,380,875 | 3,380,875 | |
Oil & Gas Producers – 0.2% | |||
Energy Transfer L.P., (3M CME Term SOFR + 4.29%), 9.60%, 5/17/24(c)(g) | 315,000 | 315,029 | |
Real Estate Owners & Developers – 0.0%(d) | |||
Kaisa Group Holdings Ltd., 9.38%, 6/30/24(k) | 200,000 | 5,000 | |
Software – 0.1% | |||
CyberArk Software Ltd., 0.00%, 11/15/24(e) | 10,000 | 15,330 | |
Oracle Corp., 2.50%, 4/01/25 | 120,000 | 116,495 | |
131,825 | |||
Sovereign Government – 2.0% | |||
Brazil Notas do Tesouro Nacional, Serie F, 10.00%, 1/01/25 | BRL | 5,295,000 | 1,015,441 |
Czech Republic Government Bond, 1.25%, 2/14/25 | CZK | 8,090,000 | 335,233 |
Egypt Treasury Bills, | |||
26.51%, 6/11/24(r) | EGP | 18,075,000 | 368,229 |
24.79%, 9/10/24(r) | EGP | 21,200,000 | 406,713 |
24.75%, 9/17/24(r) | EGP | 19,125,000 | 365,252 |
22.44%, 12/10/24(r) | EGP | 4,750,000 | 86,045 |
22.78%, 12/17/24(r) | EGP | 7,550,000 | 136,177 |
Ethiopia International Bond, 6.63%, 12/11/24 | 200,000 | 140,356 | |
Lebanon Government International Bond, 6.20%, 2/26/25(k) | 150,000 | 9,978 | |
Malaysia Government Bond, 3.88%, 3/14/25 | MYR | 2,554,000 | 537,431 |
Nigeria Treasury Bill, 20.13%, 3/27/25(r) | NGN | 30,000,000 | 18,112 |
Romania Government Bond, 4.75%, 2/24/25 | RON | 360,000 | 76,442 |
3,495,409 | |||
Specialty Finance – 0.1% | |||
OneMain Finance Corp., 6.88%, 3/15/25 | 100,000 | 100,655 |
Par (a)/Number of Shares | Value | ||
Transportation & Logistics – 0.0%(d) | |||
U.S. Airways Pass Through Trust, Series 2012-1, Class A, 5.90%, 10/01/24 | 15,031 | $ 15,002 | |
Total Short-Term Investments (Cost $7,864,594) | 7,800,800 |
Number of Contracts | Notional Amount | ||
Purchased Options – 0.0%(d) | |||
Put Options - Over the Counter – 0.0%(d) | |||
U.S. Dollar vs. Euro, Strike Price USD 1.07, Expires 7/11/24, Counterparty: Barclays | 1 | 2,579,439 (s) | 28,651 |
Total Purchased Options (Premiums Paid $24,792) | 28,651 |
Total Investments – 99.2% (Cost $179,569,429) | 172,048,333 | ||
Total Written Options — 0.0%(d) (Premiums Received $7,022) | (6,920) | ||
Other Assets less Liabilities – 0.8%(t) | 1,306,480 | ||
NET ASSETS – 100.0% | $173,354,813 |
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. As of April 30, 2024, these securities had a total value of $59,351,119 or 34.24% of net assets. | ||
(c) | Variable or floating rate security. Rate as of April 30, 2024 is disclosed. | ||
(d) | Amount rounds to less than 0.05%. | ||
(e) | Zero coupon bond. | ||
(f) | Distributions from this security are made via payments in-kind (PIK) unless otherwise noted in the description. | ||
(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 April 30, 2024 is disclosed. | ||
(i) | When-Issued Security. Coupon rate was not yet in effect at April 30, 2024. | ||
(j) | Step coupon bond. Rate as of April 30, 2024 is disclosed. | ||
(k) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. | ||
(l) | These securities are remarketed by an agent, and the interest rate is determined by general market conditions and supply and demand. | ||
(m) | Issuer has defaulted on terms of debt obligation. | ||
(n) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of April 30, 2024 is disclosed. | ||
(o) | Position is unsettled. Contract rate was not determined at April 30, 2024 and does not take effect until settlement date. | ||
(p) | Investment is valued using significant unobservable inputs (Level 3). | ||
(q) | 7-day current yield as of April 30, 2024 is disclosed. | ||
(r) | Discount rate at the time of purchase. |
(s) | The notional amount is EUR. | ||
(t) | Includes appreciation/ (depreciation) on forward foreign currency exchange contracts, futures and written option contracts. | ||
* | Non-Income Producing Security |
Abbreviations: |
1Y | 1 Year |
1M | 1 Month |
3M | 3 Month |
5Y | 5 Year |
10Y | 10 Year |
BRL | Brazilian Real |
CLO | Collateralized Loan Obligation |
CLP | Chilean Peso |
CME | Chicago Mercantile Exchange |
CMT | Constant Maturity |
COP | Colombian Peso |
CZK | Czech Republic Koruna |
EGP | Egyptian Pound |
EUR | Euro |
GMTN | Global Medium Term Note |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
JSC | Joint Stock Company |
L.P. | Limited Partnership |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NGN | Nigerian Naira |
PEN | Peruvian Nuevo Sole |
PLC | Public Limited Company |
PLN | Polish Zloty |
RON | Romania New Leu |
S&P | Standards & Poor's |
SOFR | United States Secured Overnight Financing Rate |
THB | Thai Baht |
ULC | Unlimited Liability Corporation |
USD | United States Dollar |
ZAR | South African Rand |
Concentration by Currency (%)(a) | |
U.S. Dollar | 77.4 |
All other currencies less than 5% | 22.6 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Composition by Type (%)(a) | |
Non-Government | 64.3 |
Sovereign | 34.9 |
Others (b) | 0.8 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. | |
(b) Includes Other. |
Futures Contracts outstanding at April 30, 2024: Exchange Traded | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | |||||
10-Year U.S. Treasury Note | 5 | 6/18/2024 | USD | 537,188 | $ (3,047) |
Ultra U.S. Treasury Bond | 6 | 6/18/2024 | USD | 717,375 | (38,760) |
2-Year U.S. Treasury Note | 26 | 6/28/2024 | USD | 5,269,062 | (50,244) |
5-Year U.S. Treasury Note | 4 | 6/28/2024 | USD | 418,969 | (7,227) |
Total Long Contracts | $ (99,278) | ||||
Short Contracts | |||||
U.S. Treasury Long Bond | (2) | 6/18/2024 | USD | 227,625 | $ 12,000 |
Ultra 10-Year U.S. Treasury Note | (53) | 6/18/2024 | USD | 5,841,594 | 205,290 |
Total Short Contracts | $217,290 | ||||
$118,012 |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2024: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
5/02/24 | U.S. Dollars | 2,700,000 | Thai Baht | 98,253,000 | Morgan Stanley | $ 48,813 |
6/13/24 | U.S. Dollars | 1,484,300 | Peruvian Nuevo Soles | 5,473,356 | JPMorgan Chase | 31,193 |
6/12/24 | U.S. Dollars | 742,200 | Euro | 675,612 | BNP Paribas | 19,880 |
10/28/24 | Turkish Lira | 14,230,700 | U.S. Dollars | 340,000 | Deutsche Bank | 19,002 |
3/03/25 | Turkish Lira | 10,582,642 | U.S. Dollars | 220,502 | BNP Paribas | 16,974 |
5/20/24 | U.S. Dollars | 1,831,639 | Thai Baht | 67,221,168 | Bank of America | 14,767 |
6/07/24 | U.S. Dollars | 848,227 | South Korean Won | 1,157,660,000 | JPMorgan Chase | 11,409 |
6/13/24 | Chilean Pesos | 1,434,130,660 | U.S. Dollars | 1,484,300 | JPMorgan Chase | 8,829 |
6/12/24 | U.S. Dollars | 723,011 | Brazilian Reals | 3,724,953 | Goldman Sachs | 8,596 |
7/15/24 | South African Rand | 17,264,334 | U.S. Dollars | 902,946 | JPMorgan Chase | 8,554 |
12/11/24 | U.S. Dollars | 233,441 | Egyptian Pounds | 11,577,862 | JPMorgan Chase | 7,975 |
9/18/24 | Turkish Lira | 6,134,647 | U.S. Dollars | 154,749 | Barclays | 7,437 |
3/03/25 | Turkish Lira | 5,238,277 | U.S. Dollars | 110,233 | JPMorgan Chase | 7,314 |
5/20/24 | U.S. Dollars | 554,877 | Thai Baht | 20,336,237 | Barclays | 5,223 |
5/20/24 | U.S. Dollars | 549,492 | Thai Baht | 20,147,118 | Morgan Stanley | 4,950 |
5/20/24 | U.S. Dollars | 549,492 | Thai Baht | 20,164,971 | JPMorgan Chase | 4,467 |
7/22/24 | Chilean Pesos | 452,824,721 | U.S. Dollars | 467,456 | Citibank | 3,887 |
7/15/24 | South African Rand | 3,980,537 | U.S. Dollars | 208,269 | Bank of America | 1,890 |
10/15/24 | Turkish Lira | 6,363,000 | U.S. Dollars | 161,680 | Barclays | 1,317 |
10/28/24 | Turkish Lira | 16,133,789 | U.S. Dollars | 406,700 | JPMorgan Chase | 312 |
7/15/24 | U.S. Dollars | 1,121,930 | South African Rand | 21,244,870 | Morgan Stanley | 271 |
Total Unrealized Appreciation | $ 233,060 | |||||
12/11/24 | U.S. Dollars | 42,858 | Egyptian Pounds | 2,337,901 | JPMorgan Chase | $ (2,670) |
6/20/24 | Malaysian Ringgit | 625,793 | U.S. Dollars | 134,175 | Morgan Stanley | (3,223) |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2024: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
12/11/24 | Egyptian Pounds | 4,938,536 | U.S. Dollars | 102,396 | Bank of America | $ (6,223) |
9/18/24 | Turkish Lira | 6,561,000 | U.S. Dollars | 180,000 | Morgan Stanley | (6,542) |
9/18/24 | Turkish Lira | 9,794,664 | U.S. Dollars | 268,200 | JPMorgan Chase | (9,252) |
12/11/24 | Egyptian Pounds | 8,977,226 | U.S. Dollars | 184,312 | JPMorgan Chase | (9,490) |
7/11/24 | Thai Baht | 31,857,421 | U.S. Dollars | 874,255 | Bank of America | (9,585) |
6/11/24 | Polish Zloty | 1,174,072 | U.S. Dollars | 299,780 | ING | (10,492) |
6/07/24 | South Korean Won | 457,660,000 | U.S. Dollars | 344,229 | JPMorgan Chase | (13,409) |
7/15/24 | Mexican Pesos | 10,576,217 | U.S. Dollars | 623,800 | Bank of America | (14,072) |
6/11/24 | Polish Zloty | 2,520,161 | U.S. Dollars | 639,116 | Barings | (18,154) |
6/12/24 | Brazilian Reals | 3,724,953 | U.S. Dollars | 742,200 | BNP Paribas | (27,785) |
6/07/24 | South Korean Won | 700,000,000 | U.S. Dollars | 534,784 | Bank of America | (28,787) |
5/02/24 | Thai Baht | 98,253,000 | U.S. Dollars | 2,692,158 | JPMorgan Chase | (40,971) |
Total Unrealized Depreciation | $(200,655) | |||||
Net Unrealized Appreciation | $ 32,405 |
Written Put Option Contracts outstanding at April 30, 2024: Over the Counter | ||||||||
Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
U.S. Dollar vs. Euro | Barclays | 1 | EUR | 2,653,846 | USD | 1.04 | 7/11/2024 | $ (6,920) |
Total Written OTC Put Options Contracts (Premiums Received $7,022) | $(6,920) |
Morningstar Multisector Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 498,658 | $— | $ 498,658 |
Common Stocks | 328,709 | — | — | 328,709 |
Convertible Bonds | — | 2,757,278 | — | 2,757,278 |
Convertible Preferred Stocks | 157,972 | — | — | 157,972 |
Corporate Bonds | — | 73,003,084 | — | 73,003,084 |
Foreign Issuer Bonds | — | 80,794,867 | — | 80,794,867 |
Mortgage-Backed Securities | — | 1,101,987 | — | 1,101,987 |
Term Loans | — | 3,576,544 | — | 3,576,544 |
U.S. Government Obligations | — | 1,999,783 | — | 1,999,783 |
Warrants | — | — | —* | — |
Short-Term Investments | 3,380,875 | 4,419,925 | — | 7,800,800 |
Morningstar Multisector Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Purchased Options | $ — | $ 28,651 | $— | $ 28,651 |
Total Investments | $3,867,556 | $168,180,777 | $— | $172,048,333 |
*Includes securities determined to have no value as of April 30, 2024. |
Morningstar Multisector Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Futures Contracts | $217,290 | $ — | $— | $ 217,290 |
Forward Foreign Currency Exchange Contracts | — | 233,060 | — | 233,060 |
Total Assets - Derivative Financial Instruments | $217,290 | $ 233,060 | $— | $ 450,350 |
Liabilities: | ||||
Futures Contracts | $ (99,278) | $ — | $— | $ (99,278) |
Forward Foreign Currency Exchange Contracts | — | (200,655) | — | (200,655) |
Written Options | — | (6,920) | — | (6,920) |
Total Liabilities - Derivative Financial Instruments | $ (99,278) | $(207,575) | $— | $(306,853) |
Net Derivative Financial Instruments | $118,012 | $ 25,485 | $— | $ 143,497 |
Number of Shares | Value | ||
Common Stocks – 52.0% | |||
Advertising & Marketing – 1.9% | |||
Dentsu Group, Inc. (Japan) | 1,900 | $ 51,401 | |
Omnicom Group, Inc. | 59,701 | 5,542,641 | |
WPP PLC (United Kingdom) | 4,527 | 45,375 | |
5,639,417 | |||
Aerospace & Defense – 0.0%(a) | |||
BAE Systems PLC (United Kingdom) | 5,786 | 96,234 | |
Rolls-Royce Holdings PLC (United Kingdom)* | 6,915 | 35,460 | |
131,694 | |||
Asset Management – 0.1% | |||
3i Group PLC (United Kingdom) | 1,128 | 40,300 | |
Charles Schwab (The) Corp. | 4,682 | 346,234 | |
St. James's Place PLC (United Kingdom) | 4,313 | 23,339 | |
409,873 | |||
Automotive – 0.8% | |||
Bridgestone Corp. (Japan) | 7,700 | 339,778 | |
Denso Corp. (Japan) | 9,600 | 163,614 | |
Honda Motor Co. Ltd. (Japan) | 40,700 | 463,068 | |
Nissan Motor Co. Ltd. (Japan) | 37,400 | 136,873 | |
Stanley Electric Co. Ltd. (Japan) | 8,400 | 148,655 | |
Sumitomo Electric Industries Ltd. (Japan) | 5,700 | 88,101 | |
Toyota Motor Corp. (Japan) | 44,500 | 1,014,982 | |
2,355,071 | |||
Banking – 4.6% | |||
Bank of America Corp. | 35,307 | 1,306,712 | |
Barclays PLC (United Kingdom) | 22,513 | 56,762 | |
Citigroup, Inc. | 13,660 | 837,768 | |
Citizens Financial Group, Inc. | 19,363 | 660,472 | |
Comerica, Inc. | 4,331 | 217,286 | |
Fifth Third Bancorp | 18,611 | 678,557 | |
HSBC Holdings PLC (United Kingdom) | 33,220 | 287,949 | |
Huntington Bancshares, Inc. | 60,869 | 819,905 | |
JPMorgan Chase & Co. | 5,637 | 1,080,838 | |
KeyCorp | 33,714 | 488,516 | |
Lloyds Banking Group PLC (United Kingdom) | 147,527 | 95,211 | |
M&T Bank Corp. | 6,400 | 924,096 |
Number of Shares | Value | ||
Banking (Continued) | |||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 30,800 | $ 306,810 | |
Mizuho Financial Group, Inc. (Japan) | 4,900 | 94,713 | |
NatWest Group PLC (United Kingdom) | 12,619 | 47,629 | |
PNC Financial Services Group (The), Inc. | 6,330 | 970,136 | |
Regions Financial Corp. | 22,796 | 439,279 | |
Resona Holdings, Inc. (Japan) | 12,500 | 79,047 | |
Standard Chartered PLC (United Kingdom) | 6,624 | 56,910 | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | 7,100 | 403,307 | |
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 12,800 | 269,118 | |
Truist Financial Corp. | 24,030 | 902,327 | |
U.S. Bancorp | 23,498 | 954,724 | |
Wells Fargo & Co. | 27,891 | 1,654,494 | |
13,632,566 | |||
Beverages – 0.2% | |||
Asahi Group Holdings Ltd. (Japan) | 2,100 | 71,839 | |
Diageo PLC (United Kingdom) | 4,989 | 172,418 | |
Kirin Holdings Co. Ltd. (Japan) | 15,000 | 218,964 | |
463,221 | |||
Biotechnology & Pharmaceuticals – 0.5% | |||
Astellas Pharma, Inc. (Japan) | 11,400 | 109,416 | |
AstraZeneca PLC (United Kingdom) | 2,816 | 425,917 | |
Chugai Pharmaceutical Co. Ltd. (Japan) | 7,700 | 244,890 | |
Daiichi Sankyo Co. Ltd. (Japan) | 8,400 | 282,725 | |
GSK PLC | 8,192 | 169,959 | |
Ono Pharmaceutical Co. Ltd. (Japan) | 3,300 | 47,531 | |
Takeda Pharmaceutical Co. Ltd. (Japan) | 9,200 | 241,795 | |
1,522,233 | |||
Cable & Satellite – 0.3% | |||
Comcast Corp., Class A | 19,428 | 740,401 | |
Chemicals – 0.2% | |||
Nitto Denko Corp. (Japan) | 2,000 | 165,371 |
Number of Shares | Value | ||
Chemicals (Continued) | |||
Shin-Etsu Chemical Co. Ltd. (Japan) | 10,000 | $ 387,089 | |
Toray Industries, Inc. (Japan) | 11,800 | 53,935 | |
606,395 | |||
Commercial Support Services – 2.5% | |||
Compass Group PLC (United Kingdom) | 3,234 | 89,950 | |
H&R Block, Inc. | 113,150 | 5,344,074 | |
Recruit Holdings Co. Ltd. (Japan) | 7,400 | 318,699 | |
Rentokil Initial PLC (United Kingdom) | 297,052 | 1,499,511 | |
Secom Co. Ltd. (Japan) | 2,100 | 145,871 | |
7,398,105 | |||
Construction Materials – 0.0%(a) | |||
CRH PLC | 658 | 50,956 | |
Diversified Industrials – 0.1% | |||
Hitachi Ltd. (Japan) | 3,000 | 276,782 | |
E-Commerce Discretionary – 3.2% | |||
Alibaba Group Holding Ltd. (China) | 332,600 | 3,114,155 | |
eBay, Inc. | 76,139 | 3,924,204 | |
JD.com, Inc., Class A (China) | 104,400 | 1,504,234 | |
PDD Holdings, Inc. ADR (China)* | 7,645 | 957,001 | |
9,499,594 | |||
Electric Utilities – 2.1% | |||
Chubu Electric Power Co., Inc. (Japan) | 6,500 | 83,434 | |
Exelon Corp. | 14,500 | 544,910 | |
National Grid PLC (United Kingdom) | 414,991 | 5,443,504 | |
SSE PLC (United Kingdom) | 2,163 | 44,961 | |
6,116,809 | |||
Electrical Equipment – 0.2% | |||
Daikin Industries Ltd. (Japan) | 1,500 | 204,737 | |
Mitsubishi Electric Corp. (Japan) | 20,800 | 362,542 | |
567,279 | |||
Engineering & Construction – 0.8% | |||
Ferrovial S.E. | 69,101 | 2,485,242 | |
Entertainment Content – 0.6% | |||
Electronic Arts, Inc. | 1,160 | 147,111 | |
NetEase, Inc. (China) | 39,600 | 742,288 |
Number of Shares | Value | ||
Entertainment Content (Continued) | |||
Nexon Co. Ltd. (Japan) | 3,200 | $ 49,892 | |
Square Enix Holdings Co. Ltd. (Japan) | 1,900 | 68,680 | |
Walt Disney (The) Co. | 7,212 | 801,253 | |
1,809,224 | |||
Food – 1.6% | |||
Kerry Group PLC, Class A (Ireland) | 41,485 | 3,570,133 | |
Kraft Heinz (The) Co. | 23,449 | 905,366 | |
MEIJI Holdings Co. Ltd. (Japan) | 6,600 | 147,671 | |
Yamazaki Baking Co. Ltd. (Japan) | 4,086 | 98,895 | |
4,722,065 | |||
Gas & Water Utilities – 3.5% | |||
Osaka Gas Co. Ltd. (Japan) | 3,700 | 82,273 | |
Severn Trent PLC (United Kingdom) | 119,293 | 3,677,122 | |
Snam S.p.A. (Italy) | 678,958 | 3,106,418 | |
United Utilities Group PLC (United Kingdom)(b) | 275,317 | 3,588,807 | |
10,454,620 | |||
Health Care Facilities & Services – 4.1% | |||
Alfresa Holdings Corp. (Japan) | 5,400 | 80,025 | |
CVS Health Corp. | 78,008 | 5,281,922 | |
Fresenius Medical Care A.G. (Germany) | 79,995 | 3,368,007 | |
Henry Schein, Inc.* | 47,951 | 3,322,045 | |
12,051,999 | |||
Home Construction – 0.0%(a) | |||
Berkeley Group Holdings (The) PLC (United Kingdom) | 770 | 45,219 | |
Sekisui House Ltd. (Japan) | 3,961 | 91,025 | |
136,244 | |||
Household Products – 0.7% | |||
Haleon PLC | 14,054 | 59,355 | |
Kao Corp. (Japan) | 6,700 | 276,390 | |
Reckitt Benckiser Group PLC (United Kingdom) | 25,273 | 1,412,938 | |
Unilever PLC (United Kingdom) | 5,371 | 277,846 | |
2,026,529 | |||
Industrial Support Services – 0.0%(a) | |||
Ashtead Group PLC (United Kingdom) | 630 | 45,745 |
Number of Shares | Value | ||
Institutional Financial Services – 1.3% | |||
Bank of New York Mellon (The) Corp. | 11,783 | $ 665,622 | |
Daiwa Securities Group, Inc. (Japan) | 14,300 | 105,092 | |
Goldman Sachs Group (The), Inc. | 2,476 | 1,056,534 | |
Japan Exchange Group, Inc. (Japan) | 4,600 | 107,734 | |
London Stock Exchange Group PLC (United Kingdom) | 861 | 94,917 | |
Morgan Stanley | 10,956 | 995,243 | |
Northern Trust Corp. | 6,811 | 561,158 | |
State Street Corp. | 4,466 | 323,740 | |
3,910,040 | |||
Insurance – 0.2% | |||
Aviva PLC (United Kingdom) | 5,363 | 31,138 | |
Dai-ichi Life Holdings, Inc. (Japan) | 5,700 | 132,018 | |
Legal & General Group PLC (United Kingdom) | 10,687 | 31,372 | |
MS&AD Insurance Group Holdings, Inc. (Japan) | 9,100 | 163,609 | |
Prudential PLC (Hong Kong) | 7,770 | 67,579 | |
Sompo Holdings, Inc. (Japan) | 4,800 | 94,993 | |
Tokio Marine Holdings, Inc. (Japan) | 5,200 | 164,353 | |
685,062 | |||
Internet Media & Services – 5.7% | |||
Alphabet, Inc., Class A* | 27,502 | 4,476,775 | |
Baidu, Inc., Class A (China)* | 101,350 | 1,313,049 | |
Meituan, Class B (China)(c)* | 151,870 | 2,073,714 | |
Meta Platforms, Inc., Class A | 5,186 | 2,230,862 | |
Netflix, Inc.* | 710 | 390,954 | |
Tencent Holdings Ltd. (China) | 76,400 | 3,352,676 | |
Tencent Music Entertainment Group ADR (China)* | 88,333 | 1,108,579 | |
Trip.com Group Ltd. (China)* | 42,750 | 2,082,240 | |
17,028,849 | |||
Leisure Facilities & Services – 1.7% | |||
Entain PLC (United Kingdom) | 2,981 | 29,083 | |
Flutter Entertainment PLC - CDI (United Kingdom)* | 162 | 30,012 |
Number of Shares | Value | ||
Leisure Facilities & Services (Continued) | |||
InterContinental Hotels Group PLC (United Kingdom) | 450 | $ 43,891 | |
International Game Technology PLC | 253,280 | 4,999,747 | |
5,102,733 | |||
Leisure Products – 0.1% | |||
Shimano, Inc. (Japan) | 1,000 | 162,513 | |
Machinery – 0.4% | |||
FANUC Corp. (Japan) | 9,500 | 281,383 | |
Keyence Corp. (Japan) | 600 | 263,862 | |
Komatsu Ltd. (Japan) | 5,300 | 158,238 | |
Nabtesco Corp. (Japan) | 3,038 | 50,103 | |
SMC Corp. (Japan) | 500 | 262,683 | |
Smiths Group PLC (United Kingdom) | 1,764 | 35,562 | |
Sumitomo Heavy Industries Ltd. (Japan) | 2,800 | 78,027 | |
1,129,858 | |||
Medical Equipment & Devices – 1.2% | |||
DENTSPLY SIRONA, Inc.(b) | 99,071 | 2,973,121 | |
FUJIFILM Holdings Corp. (Japan) | 7,800 | 165,925 | |
Hoya Corp. (Japan) | 1,300 | 150,722 | |
Olympus Corp. (Japan) | 11,900 | 165,764 | |
Smith & Nephew PLC (United Kingdom) | 3,662 | 44,367 | |
3,499,899 | |||
Metals & Mining – 0.2% | |||
Anglo American PLC (South Africa) | 2,515 | 82,184 | |
Cameco Corp. (Canada) | 2,678 | 122,185 | |
Glencore PLC (Australia) | 19,630 | 114,218 | |
Rio Tinto PLC (Australia) | 2,374 | 160,627 | |
Sumitomo Metal Mining Co. Ltd. (Japan) | 2,000 | 66,817 | |
546,031 | |||
Oil & Gas Producers – 3.8% | |||
BP PLC | 239,175 | 1,541,635 | |
Canadian Natural Resources Ltd. (Canada) | 9,614 | 728,531 | |
Cenovus Energy, Inc. (Canada) | 7,892 | 162,122 | |
Chevron Corp. | 2,036 | 328,346 | |
China Petroleum & Chemical Corp., Class H (China) | 460,250 | 274,724 | |
Ecopetrol S.A. ADR (Colombia)(b) | 6,719 | 78,008 |
Number of Shares | Value | ||
Oil & Gas Producers (Continued) | |||
ENEOS Holdings, Inc. (Japan) | 17,600 | $ 81,316 | |
Eni S.p.A. (Italy) | 24,827 | 398,764 | |
Equinor ASA (Norway) | 9,118 | 242,615 | |
Exxon Mobil Corp. | 6,750 | 798,323 | |
Galp Energia SGPS S.A. (Portugal) | 6,650 | 142,850 | |
Gazprom PJSC (Russia)(d)* | 100,532 | — | |
Imperial Oil Ltd. (Canada) | 1,610 | 110,694 | |
Inpex Corp. (Japan) | 19,300 | 289,110 | |
LUKOIL PJSC (Russia)(d) | 3,271 | — | |
Neste OYJ (Finland) | 8,225 | 186,453 | |
OMV A.G. (Austria) | 1,876 | 89,019 | |
Petroleo Brasileiro S.A. ADR (Brazil) | 39,838 | 676,051 | |
Repsol S.A. (Spain) | 13,802 | 216,637 | |
Rosneft Oil Co. PJSC (Russia)(d) | 48,304 | — | |
Santos Ltd. (Australia) | 17,507 | 85,913 | |
Shell PLC | 76,391 | 2,715,594 | |
Suncor Energy, Inc. (Canada) | 12,518 | 477,660 | |
TotalEnergies S.E. (France) | 22,921 | 1,664,035 | |
Woodside Energy Group Ltd. (Australia) | 8,573 | 153,603 | |
11,442,003 | |||
Publishing & Broadcasting – 0.0%(a) | |||
Informa PLC (United Kingdom) | 3,132 | 31,007 | |
Real Estate Owners & Developers – 0.2% | |||
Mitsubishi Estate Co. Ltd. (Japan) | 13,300 | 243,719 | |
Mitsui Fudosan Co. Ltd. (Japan) | 10,500 | 106,859 | |
Sumitomo Realty & Development Co. Ltd. (Japan) | 2,900 | 100,351 | |
450,929 | |||
Retail - Consumer Staples – 0.2% | |||
Alibaba Health Information Technology Ltd. (China)(b)* | 1,174,000 | 438,229 | |
Seven & i Holdings Co. Ltd. (Japan) | 12,300 | 158,931 | |
Tesco PLC (United Kingdom) | 21,541 | 79,531 | |
676,691 | |||
Retail - Discretionary – 0.1% | |||
Associated British Foods PLC (United Kingdom) | 1,320 | 43,689 |
Number of Shares | Value | ||
Retail - Discretionary (Continued) | |||
Fast Retailing Co. Ltd. (Japan) | 800 | $ 209,175 | |
Kingfisher PLC (United Kingdom) | 10,850 | 33,422 | |
286,286 | |||
Semiconductors – 0.1% | |||
Tokyo Electron Ltd. (Japan) | 1,700 | 372,888 | |
Specialty Finance – 0.3% | |||
Capital One Financial Corp. | 5,275 | 756,593 | |
ORIX Corp. (Japan) | 5,900 | 120,746 | |
877,339 | |||
Steel – 0.1% | |||
Mitsui & Co. Ltd. (Japan) | 6,000 | 289,654 | |
Technology Hardware – 1.2% | |||
Casio Computer Co. Ltd. (Japan) | 6,300 | 52,487 | |
Cisco Systems, Inc. | 35,045 | 1,646,414 | |
Kyocera Corp. (Japan) | 11,600 | 141,388 | |
Murata Manufacturing Co. Ltd. (Japan) | 15,900 | 290,528 | |
Nidec Corp. (Japan) | 4,300 | 201,381 | |
Nintendo Co. Ltd. (Japan) | 8,700 | 424,290 | |
Panasonic Holdings Corp. (Japan) | 18,200 | 158,858 | |
Sony Group Corp. (Japan) | 6,200 | 512,439 | |
TDK Corp. (Japan) | 4,900 | 218,594 | |
3,646,379 | |||
Technology Services – 4.3% | |||
Cognizant Technology Solutions Corp., Class A | 43,693 | 2,869,756 | |
Experian PLC | 1,652 | 66,632 | |
Fiserv, Inc.* | 24,003 | 3,664,538 | |
Nexi SpA (Italy)(c)* | 907,292 | 5,278,767 | |
RELX PLC (United Kingdom) | 3,430 | 140,928 | |
Visa, Inc., Class A(b) | 3,130 | 840,749 | |
12,861,370 | |||
Telecommunications – 1.5% | |||
BT Group PLC (United Kingdom) | 16,862 | 21,563 | |
KDDI Corp. (Japan) | 11,400 | 316,336 | |
Nippon Telegraph & Telephone Corp. (Japan) | 164,600 | 177,712 | |
SES S.A. (France) | 479,186 | 2,324,762 | |
Softbank Corp. (Japan) | 5,900 | 71,164 | |
SoftBank Group Corp. (Japan) | 6,600 | 324,592 | |
T-Mobile U.S., Inc. | 1,879 | 308,476 |
Number of Shares | Value | ||
Telecommunications (Continued) | |||
Verizon Communications, Inc. | 18,172 | $ 717,612 | |
Vodafone Group PLC (United Kingdom) | 62,166 | 52,425 | |
4,314,642 | |||
Tobacco & Cannabis – 0.1% | |||
British American Tobacco PLC (United Kingdom) | 6,418 | 188,408 | |
Japan Tobacco, Inc. (Japan) | 2,900 | 78,015 | |
266,423 | |||
Transportation & Logistics – 0.1% | |||
East Japan Railway Co. (Japan) | 15,900 | 291,431 | |
Transportation Equipment – 1.0% | |||
Knorr-Bremse A.G. (Germany) | 40,507 | 3,005,844 | |
Wholesale - Consumer Staples – 0.2% | |||
ITOCHU Corp. (Japan) | 9,100 | 410,544 | |
Mitsubishi Corp. (Japan) | 14,300 | 327,035 | |
737,579 | |||
Wholesale - Discretionary – 0.0%(a) | |||
Bunzl PLC (United Kingdom) | 1,180 | 45,250 | |
Total Common Stocks (Cost $143,159,214) | 154,802,764 | ||
Preferred Stocks – 1.3% | |||
Household Products – 1.3% | |||
Henkel A.G. & Co. KGaA, 2.49%(e) | 47,104 | 3,742,025 | |
Total Preferred Stocks (Cost $3,411,081) | 3,742,025 | ||
Investment Companies – 41.3% | |||
iShares Global Consumer Staples ETF | 176,434 | 10,598,390 |
Number of Shares | Value | ||
iShares MSCI South Korea ETF(b) | 135,523 | $ 8,544,725 | |
Materials Select Sector SPDR® Fund ETF(b) | 50,763 | 4,499,125 | |
Schwab Fundamental Emerging Markets Large Company Index ETF(b) | 633,451 | 17,920,329 | |
Utilities Select Sector SPDR® Fund ETF(b) | 73,927 | 4,933,888 | |
VanEck Morningstar Wide Moat ETF | 51,653 | 4,412,716 | |
Vanguard Consumer Staples ETF | 37,094 | 7,448,475 | |
Vanguard Health Care ETF | 26,395 | 6,758,176 | |
Vanguard Total Stock Market ETF(b) | 232,094 | 57,700,889 | |
Total Investment Companies (Cost $110,802,876) | 122,816,713 |
Short-Term Investments – 22.8% | |||
Money Market Funds – 22.8% | |||
Northern Institutional Funds - Liquid Assets Portfolio (Shares), 5.37%(f)(g) | 52,073,069 | 52,073,069 | |
Northern Institutional Funds - Treasury Portfolio (Premier), 5.14%(f) | 15,733,969 | 15,733,969 | |
Total Short-Term Investments (Cost $67,807,038) | 67,807,038 | ||
Total Investments – 117.4% (Cost $325,180,209) | 349,168,540 | ||
Liabilities less Other Assets – (17.4)% | (51,760,331) | ||
NET ASSETS – 100.0% | $297,408,209 |
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) | 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. As of April 30, 2024, these securities had a total value of $7,352,481 or 2.47% of net assets. | ||
(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 April 30, 2024 is disclosed. |
(g) | Security purchased with the cash proceeds from securities loaned. (See Note 7). | ||
* | Non-Income Producing Security |
Abbreviations: |
ADR | American Depositary Receipt |
CDI | CREST Depository Interest |
ETF | Exchange-Traded Fund |
MSCI | Morgan Stanley Capital International |
PJSC | Public Joint Stock Company |
PLC | Public Limited Company |
SPDR | Standard & Poor's Depositary Receipt |
Concentration by Currency (%)(a) | |
U.S. Dollar | 65.6 |
Euro | 9.9 |
British Pound | 7.9 |
Japanese Yen | 5.5 |
Hong Kong Dollar | 5.0 |
All other currencies less than 5% | 6.1 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
Country Diversification (%)(a) | |
United States | 67.0 |
United Kingdom | 6.2 |
China | 5.7 |
Japan | 5.5 |
All other countries less than 5%(b) | 15.6 |
Total | 100.0 |
(a) Percentages shown are based on Net Assets. |
(b) Includes Other. |
Morningstar Global Opportunistic Equity Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Common Stocks | $ 73,860,665 | $80,942,099 | $—* | $154,802,764 |
Preferred Stocks | — | 3,742,025 | — | 3,742,025 |
Investment Companies | 122,816,713 | — | — | 122,816,713 |
Short-Term Investments | 67,807,038 | — | — | 67,807,038 |
Total Investments | $264,484,416 | $84,684,124 | $— | $349,168,540 |
*Includes securities determined to have no value as of April 30, 2024. |
Par (a) | Value | ||
Long Positions – 101.5% | |||
Asset-Backed Securities – 1.3% | |||
Other – 1.3% | |||
Affirm Asset Securitization Trust, | |||
Series 2022-A, Class 1A, 4.30%, 5/17/27(b) | $550,000 | $ 549,535 | |
Series 2023-A, Class 1A, 6.61%, 1/18/28(b) | 474,000 | 475,918 | |
Series 2023-B, Class B, 7.44%, 9/15/28(b) | 300,000 | 302,386 | |
Series 2023-X1, Class A, 7.11%, 11/15/28(b) | 241,456 | 242,386 | |
Series 2023-X1, Class B, 7.77%, 11/15/28(b) | 100,000 | 101,424 | |
Series 2024-X1, Class B, 6.34%, 5/15/29(b)(c) | 275,000 | 275,023 | |
Series 2024-X1, Class C, 6.57%, 5/15/29(b)(c) | 417,000 | 416,885 | |
Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.75%, 3/10/28 | 35,627 | 33,405 | |
Drive Auto Receivables Trust, Series 2021-3, Class C, 1.47%, 1/15/27 | 395,140 | 389,936 | |
JPMorgan Chase Bank NA - CACLN, | |||
Series 2021-2, Class B, 0.89%, 12/26/28(b) | 34,893 | 34,352 | |
Series 2021-3, Class B, 0.76%, 2/26/29(b) | 128,881 | 125,279 | |
Santander Bank NA - SBCLN, Series 2021-1A, Class B, 1.83%, 12/15/31(b) | 33,765 | 33,362 | |
2,979,891 | |||
Total Asset-Backed Securities (Cost $2,964,527) | 2,979,891 |
Number of Shares | |||
Common Stocks – 24.7% | |||
Advertising & Marketing – 0.0%(d) | |||
Omnicom Group, Inc. | 185 | 17,175 | |
Aerospace & Defense – 0.1% | |||
Curtiss-Wright Corp. | 21 | 5,322 | |
General Dynamics Corp. | 351 | 100,769 | |
General Electric Co. | 206 | 33,335 | |
HEICO Corp. | 36 | 7,466 | |
Howmet Aerospace, Inc. | 136 | 9,078 | |
Huntington Ingalls Industries, Inc. | 24 | 6,646 | |
Lockheed Martin Corp. | 231 | 107,399 |
Number of Shares | Value | ||
Aerospace & Defense (Continued) | |||
Northrop Grumman Corp. | 32 | $ 15,521 | |
Woodward, Inc. | 33 | 5,358 | |
290,894 | |||
Apparel & Textile Products – 0.7% | |||
Capri Holdings Ltd.(e)* | 44,089 | 1,564,278 | |
Deckers Outdoor Corp.* | 10 | 8,185 | |
NIKE, Inc., Class B | 260 | 23,987 | |
1,596,450 | |||
Automotive – 0.1% | |||
Gentex Corp. | 180 | 6,174 | |
Tesla, Inc.* | 448 | 82,109 | |
88,283 | |||
Beverages – 0.1% | |||
Boston Beer (The) Co., Inc., Class A* | 15 | 4,176 | |
Brown-Forman Corp., Class B | 157 | 7,512 | |
Coca-Cola (The) Co. | 632 | 39,039 | |
Constellation Brands, Inc., Class A | 38 | 9,631 | |
Keurig Dr. Pepper, Inc. | 1,159 | 39,058 | |
Molson Coors Beverage Co., Class B | 229 | 13,113 | |
Monster Beverage Corp.* | 206 | 11,011 | |
PepsiCo, Inc. | 714 | 125,600 | |
249,140 | |||
Biotechnology & Pharmaceuticals – 2.5% | |||
AbbVie, Inc. | 739 | 120,191 | |
BioMarin Pharmaceutical, Inc.* | 70 | 5,653 | |
Bristol-Myers Squibb Co. | 1,631 | 71,666 | |
Cerevel Therapeutics Holdings, Inc.(f)* | 52,595 | 2,246,332 | |
Deciphera Pharmaceuticals, Inc.* | 11,226 | 283,681 | |
Eli Lilly & Co. | 128 | 99,981 | |
Exelixis, Inc.* | 211 | 4,950 | |
Gilead Sciences, Inc. | 1,413 | 92,128 | |
Incyte Corp.* | 122 | 6,350 | |
Johnson & Johnson | 884 | 127,818 | |
Merck & Co., Inc. | 361 | 46,648 | |
Neurocrine Biosciences, Inc.* | 53 | 7,290 | |
Olink Holding AB ADR (Sweden)* | 106,813 | 2,459,903 | |
Regeneron Pharmaceuticals, Inc.* | 20 | 17,813 | |
United Therapeutics Corp.* | 22 | 5,155 |
Number of Shares | Value | ||
Biotechnology & Pharmaceuticals (Continued) | |||
Vertex Pharmaceuticals, Inc.* | 48 | $ 18,855 | |
Zoetis, Inc. | 90 | 14,332 | |
5,628,746 | |||
Cable & Satellite – 0.0%(d) | |||
Comcast Corp., Class A | 619 | 23,590 | |
Chemicals – 0.1% | |||
Air Products and Chemicals, Inc. | 46 | 10,872 | |
Avery Dennison Corp. | 36 | 7,822 | |
DuPont de Nemours, Inc. | 107 | 7,758 | |
Ecolab, Inc. | 54 | 12,212 | |
Linde PLC | 71 | 31,308 | |
LyondellBasell Industries N.V., Class A | 100 | 9,997 | |
PPG Industries, Inc. | 59 | 7,611 | |
RPM International, Inc. | 65 | 6,949 | |
Sherwin-Williams (The) Co. | 45 | 13,482 | |
108,011 | |||
Commercial Support Services – 0.3% | |||
Applus Services S.A. (Spain) | 40,939 | 553,991 | |
Cintas Corp. | 19 | 12,509 | |
Clean Harbors, Inc.* | 36 | 6,820 | |
FTI Consulting, Inc.* | 24 | 5,132 | |
GFL Environmental, Inc. | 206 | 6,571 | |
H&R Block, Inc. | 598 | 28,244 | |
Republic Services, Inc. | 72 | 13,802 | |
Rollins, Inc. | 149 | 6,639 | |
Waste Connections, Inc. | 67 | 10,860 | |
Waste Management, Inc. | 80 | 16,642 | |
661,210 | |||
Construction Materials – 0.0%(d) | |||
Eagle Materials, Inc. | 27 | 6,769 | |
Martin Marietta Materials, Inc. | 18 | 10,567 | |
Trex Co., Inc.* | 75 | 6,641 | |
Vulcan Materials Co. | 39 | 10,048 | |
34,025 | |||
Containers & Packaging – 0.0%(d) | |||
Amcor PLC | 3,194 | 28,554 | |
Packaging Corp. of America | 115 | 19,893 | |
48,447 | |||
Diversified Industrials – 0.0%(d) | |||
Dover Corp. | 52 | 9,323 |
Number of Shares | Value | ||
Diversified Industrials (Continued) | |||
Honeywell International, Inc. | 105 | $ 20,237 | |
Illinois Tool Works, Inc. | 61 | 14,891 | |
Parker-Hannifin Corp. | 24 | 13,078 | |
57,529 | |||
E-Commerce Discretionary – 0.1% | |||
Amazon.com, Inc.* | 601 | 105,175 | |
Electric Utilities – 0.6% | |||
Alliant Energy Corp. | 123 | 6,125 | |
Ameren Corp. | 89 | 6,574 | |
American Electric Power Co., Inc. | 116 | 9,980 | |
CenterPoint Energy, Inc. | 1,029 | 29,985 | |
CMS Energy Corp. | 1,044 | 63,277 | |
Consolidated Edison, Inc. | 1,059 | 99,970 | |
Constellation Energy Corp. | 62 | 11,528 | |
DTE Energy Co. | 308 | 33,979 | |
Duke Energy Corp. | 1,031 | 101,306 | |
Evergy, Inc. | 325 | 17,046 | |
OGE Energy Corp. | 1,197 | 41,476 | |
PG&E Corp. | 514 | 8,795 | |
Pinnacle West Capital Corp. | 1,162 | 85,581 | |
PNM Resources, Inc.(f) | 13,284 | 492,305 | |
PPL Corp. | 243 | 6,673 | |
Public Service Enterprise Group, Inc. | 1,447 | 99,959 | |
Sempra | 310 | 22,205 | |
Southern (The) Co. | 1,411 | 103,709 | |
Vistra Corp. | 105 | 7,963 | |
WEC Energy Group, Inc. | 1,033 | 85,367 | |
Xcel Energy, Inc. | 1,673 | 89,890 | |
1,423,693 | |||
Electrical Equipment – 0.1% | |||
Allegion PLC | 42 | 5,105 | |
AMETEK, Inc. | 62 | 10,829 | |
Amphenol Corp., Class A | 114 | 13,768 | |
BWX Technologies, Inc. | 66 | 6,321 | |
Cognex Corp. | 165 | 6,854 | |
Eaton Corp. PLC | 64 | 20,369 | |
Fortive Corp. | 111 | 8,355 | |
GE Vernova, Inc.* | 46 | 7,071 | |
Hubbell, Inc. | 17 | 6,299 | |
Keysight Technologies, Inc.* | 49 | 7,249 | |
Lennox International, Inc. | 16 | 7,415 | |
nVent Electric PLC | 75 | 5,405 | |
Otis Worldwide Corp. | 113 | 10,305 | |
Rockwell Automation, Inc. | 29 | 7,858 |
Number of Shares | Value | ||
Electrical Equipment (Continued) | |||
TE Connectivity Ltd. | 81 | $ 11,460 | |
Trane Technologies PLC | 43 | 13,645 | |
148,308 | |||
Engineering & Construction – 0.0%(d) | |||
Comfort Systems USA, Inc. | 24 | 7,426 | |
EMCOR Group, Inc. | 17 | 6,072 | |
Quanta Services, Inc. | 35 | 9,049 | |
TopBuild Corp.* | 13 | 5,261 | |
27,808 | |||
Entertainment Content – 0.7% | |||
Endeavor Group Holdings, Inc., Class A(f) | 54,681 | 1,444,125 | |
Walt Disney (The) Co. | 271 | 30,108 | |
1,474,233 | |||
Food – 0.2% | |||
BellRing Brands, Inc.* | 110 | 6,069 | |
Campbell Soup Co. | 2,089 | 95,488 | |
Conagra Brands, Inc. | 966 | 29,733 | |
General Mills, Inc. | 1,350 | 95,121 | |
Hershey (The) Co. | 56 | 10,860 | |
Hormel Foods Corp. | 185 | 6,579 | |
Ingredion, Inc. | 280 | 32,085 | |
Kellanova | 1,635 | 94,601 | |
Kraft Heinz (The) Co. | 2,661 | 102,741 | |
Lamb Weston Holdings, Inc. | 57 | 4,750 | |
McCormick & Co., Inc. (Non Voting) | 86 | 6,541 | |
Mondelez International, Inc., Class A | 258 | 18,561 | |
Post Holdings, Inc.* | 60 | 6,369 | |
509,498 | |||
Gas & Water Utilities – 0.1% | |||
American Water Works Co., Inc. | 74 | 9,052 | |
Atmos Energy Corp. | 789 | 93,023 | |
Essential Utilities, Inc. | 147 | 5,377 | |
107,452 | |||
Health Care Facilities & Services – 2.2% | |||
Amedisys, Inc.* | 35,593 | 3,276,336 | |
Cardinal Health, Inc. | 773 | 79,650 | |
Catalent, Inc.* | 23,149 | 1,292,872 | |
Chemed Corp. | 11 | 6,248 | |
CVS Health Corp. | 1,165 | 78,882 | |
Henry Schein, Inc.* | 90 | 6,235 | |
Laboratory Corp. of America Holdings | 37 | 7,451 |
Number of Shares | Value | ||
Health Care Facilities & Services (Continued) | |||
Patterson Cos., Inc. | 2,258 | $ 57,511 | |
Quest Diagnostics, Inc. | 708 | 97,831 | |
4,903,016 | |||
Home Construction – 0.8% | |||
Armstrong World Industries, Inc. | 51 | 5,859 | |
DR Horton, Inc. | 71 | 10,117 | |
Masco Corp. | 102 | 6,982 | |
Masonite International Corp.* | 13,365 | 1,771,530 | |
NVR, Inc.* | 1 | 7,439 | |
PulteGroup, Inc. | 81 | 9,025 | |
1,810,952 | |||
Household Products – 0.1% | |||
Church & Dwight Co., Inc. | 86 | 9,279 | |
Clorox (The) Co. | 43 | 6,359 | |
Colgate-Palmolive Co. | 173 | 15,902 | |
elf Beauty, Inc.* | 29 | 4,713 | |
Kenvue, Inc. | 539 | 10,144 | |
Kimberly-Clark Corp. | 757 | 103,353 | |
Procter & Gamble (The) Co. | 865 | 141,168 | |
290,918 | |||
Industrial Intermediate Products – 0.0%(d) | |||
Valmont Industries, Inc. | 21 | 4,301 | |
Industrial Support Services – 0.0%(d) | |||
Applied Industrial Technologies, Inc. | 26 | 4,765 | |
Core & Main, Inc., Class A* | 96 | 5,421 | |
Fastenal Co. | 151 | 10,259 | |
Ferguson PLC | 45 | 9,445 | |
MSC Industrial Direct Co., Inc., Class A | 48 | 4,380 | |
W.W. Grainger, Inc. | 10 | 9,213 | |
Watsco, Inc. | 19 | 8,507 | |
51,990 | |||
Insurance – 0.6% | |||
Aflac, Inc. | 1,019 | 85,239 | |
American Financial Group, Inc. | 123 | 15,713 | |
Axis Capital Holdings Ltd. | 455 | 27,905 | |
Berkshire Hathaway, Inc., Class B* | 256 | 101,563 | |
Everest Group Ltd. | 219 | 80,244 | |
Hartford Financial Services Group (The), Inc. | 860 | 83,325 | |
National Western Life Group, Inc., Class A | 1,356 | 662,840 |
Number of Shares | Value | ||
Insurance (Continued) | |||
Old Republic International Corp. | 2,845 | $ 84,952 | |
Reinsurance Group of America, Inc. | 445 | 83,211 | |
Travelers (The) Cos., Inc. | 376 | 79,772 | |
Unum Group | 1,590 | 80,613 | |
1,385,377 | |||
Internet Media & Services – 1.0% | |||
Adevinta ASA (France)* | 200,157 | 2,043,283 | |
Alphabet, Inc., Class A* | 709 | 115,411 | |
Booking Holdings, Inc. | 5 | 17,260 | |
Meta Platforms, Inc., Class A | 214 | 92,056 | |
VeriSign, Inc.* | 42 | 7,118 | |
2,275,128 | |||
Leisure Facilities & Services – 0.1% | |||
Chipotle Mexican Grill, Inc.* | 5 | 15,798 | |
Darden Restaurants, Inc. | 524 | 80,387 | |
Hilton Worldwide Holdings, Inc. | 60 | 11,837 | |
McDonald's Corp. | 115 | 31,400 | |
Restaurant Brands International, Inc. (Canada) | 132 | 10,012 | |
Starbucks Corp. | 217 | 19,202 | |
Texas Roadhouse, Inc. | 45 | 7,235 | |
Wendy's (The) Co. | 4,160 | 83,159 | |
Yum! Brands, Inc. | 77 | 10,876 | |
269,906 | |||
Machinery – 0.0%(d) | |||
Graco, Inc. | 84 | 6,737 | |
IDEX Corp. | 33 | 7,275 | |
Ingersoll Rand, Inc. | 96 | 8,959 | |
Lincoln Electric Holdings, Inc. | 29 | 6,367 | |
Nordson Corp. | 28 | 7,229 | |
Pentair PLC | 70 | 5,536 | |
Snap-on, Inc. | 27 | 7,235 | |
Toro (The) Co. | 73 | 6,394 | |
Xylem, Inc. | 77 | 10,064 | |
65,796 | |||
Medical Equipment & Devices – 2.3% | |||
Abbott Laboratories | 261 | 27,658 | |
Agilent Technologies, Inc. | 78 | 10,689 | |
Axonics, Inc.(f)* | 39,979 | 2,661,402 | |
Becton Dickinson & Co. | 62 | 14,545 | |
Bio-Techne Corp. | 79 | 4,994 | |
Boston Scientific Corp.* | 278 | 19,980 |
Number of Shares | Value | ||
Medical Equipment & Devices (Continued) | |||
Cooper (The) Cos., Inc. | 85 | $ 7,570 | |
Danaher Corp. | 121 | 29,841 | |
Dexcom, Inc.* | 79 | 10,064 | |
Edwards Lifesciences Corp.* | 121 | 10,245 | |
Hologic, Inc.* | 106 | 8,032 | |
IDEXX Laboratories, Inc.* | 21 | 10,348 | |
Intuitive Surgical, Inc.* | 58 | 21,496 | |
Medtronic PLC | 1,233 | 98,936 | |
Mettler-Toledo International, Inc.* | 6 | 7,378 | |
Penumbra, Inc.* | 28 | 5,501 | |
ResMed, Inc. | 41 | 8,774 | |
Shockwave Medical, Inc.* | 6,552 | 2,163,405 | |
STERIS PLC | 38 | 7,773 | |
Stryker Corp. | 61 | 20,526 | |
Thermo Fisher Scientific, Inc. | 60 | 34,123 | |
West Pharmaceutical Services, Inc. | 20 | 7,150 | |
Zimmer Biomet Holdings, Inc. | 72 | 8,660 | |
5,199,090 | |||
Metals & Mining – 0.0%(d) | |||
Encore Wire Corp. | 18 | 5,029 | |
Franco-Nevada Corp. (Canada) | 75 | 9,030 | |
Royal Gold, Inc. | 42 | 5,045 | |
19,104 | |||
Oil & Gas Producers – 3.7% | |||
Canadian Natural Resources Ltd. (Canada) | 191 | 14,482 | |
Cheniere Energy, Inc. | 56 | 8,838 | |
Chevron Corp. | 806 | 129,983 | |
DT Midstream, Inc. | 248 | 15,425 | |
Enbridge, Inc. (Canada) | 444 | 15,780 | |
EOG Resources, Inc. | 106 | 14,006 | |
Exxon Mobil Corp. | 1,266 | 149,730 | |
Hess Corp.(f) | 20,602 | 3,244,609 | |
Murphy USA, Inc. | 16 | 6,621 | |
ONEOK, Inc. | 334 | 26,426 | |
Pioneer Natural Resources Co. | 17,294 | 4,657,620 | |
TC Energy Corp. (Canada) | 240 | 8,604 | |
Williams (The) Cos., Inc. | 2,188 | 83,932 | |
8,376,056 | |||
Oil, Gas Services & Equipment – 0.8% | |||
ChampionX Corp.(f) | 55,271 | 1,855,447 |
Number of Shares | Value | ||
Publishing & Broadcasting – 0.0%(d) | |||
New York Times (The) Co., Class A | 147 | $ 6,325 | |
News Corp., Class A | 287 | 6,831 | |
13,156 | |||
Real Estate Investment Trusts – 0.5% | |||
Apartment Income REIT Corp.(f) | 29,792 | 1,143,417 | |
Equinix, Inc. | 18 | 12,800 | |
1,156,217 | |||
Real Estate Owners & Developers – 0.7% | |||
McGrath RentCorp(f) | 15,500 | 1,653,230 | |
Retail - Consumer Staples – 0.7% | |||
Albertsons Cos., Inc., Class A(f) | 70,475 | 1,437,690 | |
Casey's General Stores, Inc. | 18 | 5,752 | |
Costco Wholesale Corp. | 64 | 46,266 | |
Kroger (The) Co. | 1,196 | 66,234 | |
Sprouts Farmers Market, Inc.* | 103 | 6,801 | |
Walmart, Inc. | 1,145 | 67,956 | |
1,630,699 | |||
Retail - Discretionary – 0.1% | |||
Builders FirstSource, Inc.* | 45 | 8,227 | |
Home Depot (The), Inc. | 140 | 46,791 | |
Lowe's Cos., Inc. | 92 | 20,975 | |
Lululemon Athletica, Inc.* | 29 | 10,457 | |
O'Reilly Automotive, Inc.* | 11 | 11,146 | |
TJX (The) Cos., Inc. | 206 | 19,383 | |
Tractor Suppy Co. | 37 | 10,104 | |
Ulta Beauty, Inc.* | 16 | 6,477 | |
133,560 | |||
Semiconductors – 0.4% | |||
Applied Materials, Inc. | 128 | 25,427 | |
Lam Research Corp. | 24 | 21,466 | |
Lattice Semiconductor Corp.* | 96 | 6,586 | |
Monolithic Power Systems, Inc. | 15 | 10,040 | |
NVIDIA Corp. | 119 | 102,818 | |
Onto Innovation, Inc.* | 38 | 7,049 | |
Rambus, Inc.* | 81 | 4,440 | |
Silicon Motion Technology Corp. ADR (Taiwan)(f) | 10,395 | 767,255 | |
Teradyne, Inc. | 58 | 6,747 | |
Texas Instruments, Inc. | 144 | 25,404 | |
977,232 |
Number of Shares | Value | ||
Software – 1.6% | |||
Adobe, Inc.* | 66 | $ 30,547 | |
ANSYS, Inc.(f)* | 4,246 | 1,379,440 | |
Appfolio, Inc., Class A* | 28 | 6,350 | |
Cadence Design Systems, Inc.* | 49 | 13,506 | |
Guidewire Software, Inc.* | 58 | 6,403 | |
HashiCorp, Inc., Class A(f)* | 17,059 | 553,735 | |
Intuit, Inc. | 43 | 26,902 | |
Manhattan Associates, Inc.* | 30 | 6,182 | |
Microsoft Corp. | 258 | 100,447 | |
Model N, Inc.* | 48,194 | 1,428,952 | |
Roper Technologies, Inc. | 21 | 10,741 | |
Synopsys, Inc.* | 27 | 14,326 | |
Tyler Technologies, Inc.* | 15 | 6,923 | |
Veeva Systems, Inc., Class A* | 49 | 9,729 | |
Workday, Inc., Class A* | 55 | 13,460 | |
3,607,643 | |||
Steel – 0.8% | |||
Reliance, Inc. | 25 | 7,118 | |
United States Steel Corp.(f) | 46,102 | 1,682,723 | |
1,689,841 | |||
Technology Hardware – 1.6% | |||
Apple, Inc. | 618 | 105,264 | |
Arista Networks, Inc.* | 56 | 14,367 | |
Cisco Systems, Inc. | 2,358 | 110,779 | |
Garmin Ltd. | 65 | 9,391 | |
Juniper Networks, Inc.(f) | 57,581 | 2,004,970 | |
Motorola Solutions, Inc. | 33 | 11,192 | |
Teledyne Technologies, Inc.* | 19 | 7,248 | |
Vizio Holding Corp., Class A(f)* | 118,818 | 1,259,471 | |
3,522,682 | |||
Technology Services – 0.8% | |||
Accenture PLC, Class A | 106 | 31,896 | |
Amdocs Ltd. | 1,039 | 87,266 | |
Automatic Data Processing, Inc. | 347 | 83,936 | |
Booz Allen Hamilton Holding Corp. | 54 | 7,974 | |
Broadridge Financial Solutions, Inc. ADR | 44 | 8,510 | |
CACI International, Inc., Class A* | 14 | 5,631 | |
Cognizant Technology Solutions Corp., Class A | 139 | 9,130 | |
CoStar Group, Inc.* | 96 | 8,787 |
Number of Shares | Value | ||
Technology Services (Continued) | |||
FactSet Research Systems, Inc. | 17 | $ 7,087 | |
Gartner, Inc.* | 19 | 7,839 | |
Genpact Ltd. | 149 | 4,580 | |
International Business Machines Corp. | 455 | 75,621 | |
Jack Henry & Associates, Inc. | 41 | 6,670 | |
Leidos Holdings, Inc. | 49 | 6,871 | |
Mastercard, Inc., Class A | 130 | 58,656 | |
Moody's Corp. | 39 | 14,443 | |
MSCI, Inc. | 18 | 8,384 | |
Network International Holdings PLC (United Arab Emirates)(b)* | 239,821 | 1,178,296 | |
Paychex, Inc. | 364 | 43,247 | |
S&P Global, Inc. | 55 | 22,871 | |
Thomson Reuters Corp. (Canada) | 97 | 14,657 | |
Verisk Analytics, Inc. | 42 | 9,154 | |
Visa, Inc., Class A | 282 | 75,748 | |
1,777,254 | |||
Telecommunications – 0.0%(d) | |||
BCE, Inc. (Canada) | 272 | 8,935 | |
GCI Liberty Escrow, Inc., Class A(g)* | 31,520 | — | |
TELUS Corp. (Canada) | 443 | 7,119 | |
T-Mobile U.S., Inc. | 191 | 31,357 | |
Verizon Communications, Inc. | 645 | 25,471 | |
72,882 | |||
Tobacco & Cannabis – 0.1% | |||
Altria Group, Inc. | 323 | 14,151 | |
Philip Morris International, Inc. | 1,180 | 112,029 | |
126,180 | |||
Transportation & Logistics – 0.1% | |||
Canadian National Railway Co. (Canada) | 128 | 15,544 | |
Canadian Pacific Kansas City Ltd. (Canada) | 190 | 14,902 | |
CSX Corp. | 412 | 13,687 | |
Expeditors International of Washington, Inc. | 66 | 7,347 | |
JB Hunt Transport Services, Inc. | 41 | 6,665 | |
Landstar System, Inc. | 27 | 4,709 | |
Norfolk Southern Corp. | 52 | 11,977 | |
Old Dominion Freight Line, Inc. | 48 | 8,722 |
Number of Shares | Value | ||
Transportation & Logistics (Continued) | |||
Saia, Inc.* | 13 | $ 5,159 | |
Union Pacific Corp. | 409 | 96,998 | |
185,710 | |||
Transportation Equipment – 0.0%(d) | |||
Allison Transmission Holdings, Inc. | 61 | 4,487 | |
Westinghouse Air Brake Technologies Corp. | 63 | 10,148 | |
14,635 | |||
Wholesale - Consumer Staples – 0.0%(d) | |||
Sysco Corp. | 301 | 22,370 | |
US Foods Holding Corp.* | 106 | 5,327 | |
27,697 | |||
Wholesale - Discretionary – 0.0%(d) | |||
Copart, Inc.* | 233 | 12,654 | |
Pool Corp. | 19 | 6,888 | |
19,542 | |||
Total Common Stocks (Cost $57,180,050) | 55,714,908 |
Par (a) | |||
Convertible Bonds – 29.0% | |||
Advertising & Marketing – 0.1% | |||
Cardlytics, Inc., 4.25%, 4/01/29(b) | $ 353,000 | 349,029 | |
Asset Management – 2.1% | |||
HAT Holdings I LLC/HAT Holdings II LLC, 0.00%, 5/01/25(b)(h) | 1,339,000 | 1,373,278 | |
RWT Holdings, Inc., 5.75%, 10/01/25(f) | 2,386,000 | 2,290,461 | |
WisdomTree, Inc., 5.75%, 8/15/28 | 1,056,000 | 1,207,536 | |
4,871,275 | |||
Biotechnology & Pharmaceuticals – 2.1% | |||
Bridgebio Pharma, Inc., 2.25%, 2/01/29(f) | 903,000 | 706,598 | |
Coherus Biosciences, Inc., 1.50%, 4/15/26(f) | 701,000 | 441,413 | |
Collegium Pharmaceutical, Inc., 2.88%, 2/15/29 | 1,202,000 | 1,443,001 | |
Halozyme Therapeutics, Inc., 0.25%, 3/01/27(f) | 867,000 | 754,723 |
Par (a) | Value | ||
Biotechnology & Pharmaceuticals (Continued) | |||
Mirum Pharmaceuticals, Inc., 4.00%, 5/01/29(b)(f) | $ 548,000 | $ 603,978 | |
Revance Therapeutics, Inc., 1.75%, 2/15/27(f) | 1,356,000 | 904,452 | |
4,854,165 | |||
Cable & Satellite – 1.3% | |||
Cable One, Inc., 1.13%, 3/15/28(f) | 1,765,000 | 1,300,099 | |
Liberty Media Corp., 3.75%, 3/15/28 | 1,497,000 | 1,607,778 | |
2,907,877 | |||
E-Commerce Discretionary – 0.4% | |||
Wayfair, Inc., 1.00%, 8/15/26(f) | 1,029,000 | 914,061 | |
Electric Utilities – 1.1% | |||
CenterPoint Energy, Inc., 4.25%, 8/15/26(b) | 409,000 | 404,705 | |
Duke Energy Corp., 4.13%, 4/15/26 | 915,000 | 905,159 | |
PG&E Corp., 4.25%, 12/01/27(b)(f) | 1,260,000 | 1,261,890 | |
2,571,754 | |||
Electrical Equipment – 0.3% | |||
Mesa Laboratories, Inc., 1.38%, 8/15/25(f) | 622,000 | 578,979 | |
Entertainment Content – 0.5% | |||
Sphere Entertainment Co., 3.50%, 12/01/28(b)(f) | 920,000 | 1,199,496 | |
Health Care Facilities & Services – 0.1% | |||
UpHealth, Inc., | |||
(SOFR + 9.00%), 14.34%, 12/15/25(b)(i) | 91,000 | 90,090 | |
6.25%, 6/15/26(b) | 66,000 | 60,964 | |
151,054 | |||
Household Products – 0.5% | |||
Beauty Health (The) Co., 1.25%, 10/01/26(b)(f) | 1,394,000 | 1,154,093 | |
Industrial Intermediate Products – 0.3% | |||
Xometry, Inc., 1.00%, 2/01/27(f) | 925,000 | 727,475 | |
Institutional Financial Services – 0.1% | |||
Coinbase Global, Inc., 0.25%, 4/01/30(b)(f) | 219,000 | 197,790 | |
Internet Media & Services – 2.1% | |||
Airbnb, Inc., 0.00%, 3/15/26(f)(h) | 456,000 | 419,064 |
Par (a) | Value | ||
Internet Media & Services (Continued) | |||
JOYY, Inc., 1.38%, 6/15/26 | $ 424,000 | $ 419,760 | |
Liberty TripAdvisor Holdings, Inc., 0.50%, 6/30/51(b)(f) | 1,969,000 | 1,836,093 | |
Snap, Inc., 0.00%, 5/01/27(f)(h) | 1,560,000 | 1,268,280 | |
TechTarget, Inc., 0.00%, 12/15/26(h) | 357,000 | 340,935 | |
Ziff Davis, Inc., 1.75%, 11/01/26 | 417,000 | 377,124 | |
4,661,256 | |||
Leisure Facilities & Services – 1.5% | |||
Cheesecake Factory (The), Inc., 0.38%, 6/15/26(f) | 1,492,000 | 1,310,697 | |
Live Nation Entertainment, Inc., 3.13%, 1/15/29 | 1,084,000 | 1,174,405 | |
Marriott Vacations Worldwide Corp., 3.25%, 12/15/27 | 890,000 | 812,125 | |
3,297,227 | |||
Medical Equipment & Devices – 1.5% | |||
CONMED Corp., 2.25%, 6/15/27(f) | 948,000 | 834,525 | |
Enovis Corp., 3.88%, 10/15/28(b)(f) | 833,000 | 982,940 | |
Haemonetics Corp., 0.00%, 3/01/26(f)(h) | 909,000 | 829,735 | |
Integer Holdings Corp., 2.13%, 2/15/28(f) | 509,000 | 707,510 | |
3,354,710 | |||
Metals & Mining – 0.9% | |||
Century Aluminum Co., 2.75%, 5/01/28(f) | 641,000 | 713,925 | |
Equinox Gold Corp., 4.75%, 10/15/28(b)(f) | 582,000 | 647,578 | |
MP Materials Corp., 0.25%, 4/01/26(b)(f) | 333,000 | 293,922 | |
SSR Mining, Inc., 2.50%, 4/01/39(f) | 510,000 | 456,858 | |
2,112,283 | |||
Oil & Gas Producers – 0.3% | |||
Kosmos Energy Ltd., 3.13%, 3/15/30(b)(f) | 567,000 | 600,453 | |
Real Estate Investment Trusts – 1.1% | |||
Pebblebrook Hotel Trust, 1.75%, 12/15/26(f) | 1,470,000 | 1,284,633 | |
Summit Hotel Properties, Inc., 1.50%, 2/15/26(f) | 1,274,000 | 1,113,476 | |
2,398,109 |
Par (a) | Value | ||
Real Estate Services – 0.3% | |||
Realogy Group LLC/Realogy Co-Issuer Corp., 0.25%, 6/15/26(f) | $ 711,000 | $ 579,465 | |
Renewable Energy – 0.5% | |||
Sunnova Energy International, Inc., | |||
0.25%, 12/01/26 | 817,000 | 365,807 | |
2.63%, 2/15/28 | 860,000 | 277,350 | |
Sunrun, Inc., 4.00%, 3/01/30(b)(f) | 500,000 | 419,750 | |
1,062,907 | |||
Software – 3.6% | |||
Alteryx, Inc., 1.00%, 8/01/26 | 490,000 | 488,285 | |
Bentley Systems, Inc., 0.38%, 7/01/27(f) | 684,000 | 624,150 | |
Dayforce, Inc., 0.25%, 3/15/26(f) | 1,038,000 | 941,466 | |
DigitalOcean Holdings, Inc., 0.00%, 12/01/26(h) | 1,180,000 | 984,668 | |
Envestnet, Inc., 2.63%, 12/01/27(f) | 874,000 | 932,995 | |
Evolent Health, Inc., 3.50%, 12/01/29(b)(f) | 826,000 | 860,706 | |
Jamf Holding Corp., 0.13%, 9/01/26(f) | 725,000 | 639,863 | |
MicroStrategy, Inc., 0.00%, 2/15/27(f)(h) | 550,000 | 558,516 | |
Progress Software Corp., 3.50%, 3/01/30(b)(f) | 502,000 | 488,697 | |
Veradigm, Inc., 0.88%, 1/01/27 | 299,000 | 313,472 | |
Verint Systems, Inc., 0.25%, 4/15/26(f) | 1,298,000 | 1,183,127 | |
Vertex, Inc., 0.75%, 5/01/29(b) | 76,000 | 79,344 | |
8,095,289 | |||
Specialty Finance – 3.9% | |||
Arbor Realty Trust, Inc., 7.50%, 8/01/25 | 615,000 | 600,349 | |
Blackstone Mortgage Trust, Inc., 5.50%, 3/15/27 | 521,000 | 467,597 | |
EZCORP, Inc., | |||
2.38%, 5/01/25 | 521,000 | 509,330 | |
3.75%, 12/15/29(b)(f) | 398,000 | 470,834 | |
LendingTree, Inc., 0.50%, 7/15/25 | 1,842,000 | 1,718,586 | |
PennyMac Corp., 5.50%, 3/15/26 | 698,000 | 657,865 |
Par (a) | Value | ||
Specialty Finance (Continued) | |||
SoFi Technologies, Inc., 0.00%, 10/15/26(b)(f)(h) | $1,950,000 | $ 1,651,436 | |
Two Harbors Investment Corp., 6.25%, 1/15/26(f) | 1,750,000 | 1,662,500 | |
Upstart Holdings, Inc., 0.25%, 8/15/26 | 1,499,000 | 1,147,185 | |
8,885,682 | |||
Technology Hardware – 1.1% | |||
3D Systems Corp., 0.00%, 11/15/26(h) | 531,000 | 411,965 | |
Lumentum Holdings, Inc., 0.50%, 12/15/26(f) | 638,000 | 558,550 | |
Super Micro Computer, Inc., 0.00%, 3/01/29(b)(f)(h) | 153,000 | 156,137 | |
Western Digital Corp., 3.00%, 11/15/28(b)(f) | 974,000 | 1,471,227 | |
2,597,879 | |||
Technology Services – 1.5% | |||
Affirm Holdings, Inc., 0.00%, 11/15/26(h) | 1,162,000 | 961,903 | |
Block, Inc., 0.25%, 11/01/27(f) | 945,000 | 772,065 | |
CSG Systems International, Inc., 3.88%, 9/15/28(b)(f) | 489,000 | 462,719 | |
Perficient, Inc., 0.13%, 11/15/26 | 1,266,000 | 1,107,750 | |
3,304,437 | |||
Transportation & Logistics – 1.3% | |||
Air Transport Services Group, Inc., 3.88%, 8/15/29(b)(f) | 1,244,000 | 1,005,401 | |
American Airlines Group, Inc., 6.50%, 7/01/25(f) | 796,000 | 868,362 | |
CryoPort, Inc., 0.75%, 12/01/26(b)(f) | 612,000 | 529,196 | |
JetBlue Airways Corp., 0.50%, 4/01/26 | 590,000 | 510,167 | |
2,913,126 | |||
Transportation Equipment – 0.5% | |||
Greenbrier (The) Cos., Inc., 2.88%, 4/15/28(f) | 1,106,000 | 1,186,185 | |
Total Convertible Bonds (Cost $66,729,238) | 65,526,056 |
Number of Shares | Value | ||
Convertible Preferred Stocks – 0.9% | |||
Asset Management – 0.1% | |||
Apollo Global Management, Inc., 6.75% | 4,097 | $ 249,835 | |
Chemicals – 0.2% | |||
Lyondellbasell Advanced Polymers, Inc., 6.00% | 669 | 545,235 | |
Industrial Intermediate Products – 0.3% | |||
Chart Industries, Inc., 6.75% | 12,078 | 694,002 | |
Technology Hardware – 0.3% | |||
NCR Voyix Corp., (100% Cash), 5.50%(j) | 556 | 574,426 | |
Total Convertible Preferred Stocks (Cost $2,165,240) | 2,063,498 |
Par (a) | |||
Corporate Bonds – 18.6% | |||
Advertising & Marketing – 0.0%(d) | |||
Advantage Sales & Marketing, Inc., 6.50%, 11/15/28(b) | $ 81,000 | 75,373 | |
Interpublic (The) Group of Cos., Inc, 2.40%, 3/01/31 | 5,000 | 4,083 | |
79,456 | |||
Aerospace & Defense – 0.5% | |||
Boeing (The) Co., | |||
2.20%, 2/04/26 | 30,000 | 27,983 | |
6.30%, 5/01/29(b) | 35,000 | 35,139 | |
5.15%, 5/01/30 | 55,000 | 52,019 | |
6.52%, 5/01/34(b) | 25,000 | 25,180 | |
General Dynamics Corp., | |||
3.50%, 4/01/27 | 130,000 | 124,089 | |
3.75%, 5/15/28 | 70,000 | 66,589 | |
Hexcel Corp., 4.20%, 2/15/27 | 60,000 | 57,434 | |
Lockheed Martin Corp., | |||
3.90%, 6/15/32 | 105,000 | 95,823 | |
5.25%, 1/15/33 | 170,000 | 169,633 | |
4.75%, 2/15/34 | 320,000 | 305,704 | |
RTX Corp., | |||
5.75%, 1/15/29 | 15,000 | 15,236 | |
6.00%, 3/15/31 | 30,000 | 30,756 | |
Spirit AeroSystems, Inc., 9.75%, 11/15/30(b) | 30,000 | 33,187 |
Par (a) | Value | ||
Aerospace & Defense (Continued) | |||
TransDigm, Inc., | |||
6.88%, 12/15/30(b) | $ 12,000 | $ 12,082 | |
6.63%, 3/01/32(b) | 20,000 | 19,966 | |
1,070,820 | |||
Apparel & Textile Products – 0.1% | |||
Tapestry, Inc., | |||
7.35%, 11/27/28 | 10,000 | 10,317 | |
7.70%, 11/27/30 | 10,000 | 10,378 | |
3.05%, 3/15/32 | 130,000 | 103,255 | |
7.85%, 11/27/33 | 10,000 | 10,446 | |
134,396 | |||
Asset Management – 0.4% | |||
Ameriprise Financial, Inc., | |||
5.70%, 12/15/28 | 100,000 | 101,110 | |
5.15%, 5/15/33 | 85,000 | 83,262 | |
Ares Capital Corp., | |||
2.15%, 7/15/26 | 48,000 | 44,076 | |
7.00%, 1/15/27 | 90,000 | 91,605 | |
2.88%, 6/15/27 | 60,000 | 54,756 | |
2.88%, 6/15/28 | 40,000 | 35,140 | |
Barings BDC, Inc., 3.30%, 11/23/26 | 35,000 | 31,911 | |
Charles Schwab (The) Corp., | |||
1.15%, 5/13/26 | 50,000 | 45,926 | |
5.88%, 8/24/26 | 75,000 | 75,705 | |
(SOFR + 1.88%), 6.20%, 11/17/29(k) | 40,000 | 40,938 | |
(SOFR + 2.50%), 5.85%, 5/19/34(k) | 13,000 | 12,944 | |
Compass Group Diversified Holdings LLC, 5.25%, 4/15/29(b) | 33,000 | 30,848 | |
FS KKR Capital Corp., | |||
2.63%, 1/15/27 | 105,000 | 94,510 | |
3.25%, 7/15/27 | 10,000 | 8,996 | |
3.13%, 10/12/28 | 20,000 | 17,194 | |
7.88%, 1/15/29 | 20,000 | 20,584 | |
Golub Capital BDC, Inc., 2.50%, 8/24/26 | 10,000 | 9,154 | |
Icahn Enterprises L.P./Icahn Enterprises Finance Corp., | |||
6.25%, 5/15/26 | 10,000 | 9,726 | |
5.25%, 5/15/27 | 59,000 | 54,176 | |
9.75%, 1/15/29(b) | 65,000 | 67,415 | |
4.38%, 2/01/29 | 29,000 | 24,413 | |
Main Street Capital Corp., 6.95%, 3/01/29 | 55,000 | 55,413 | |
1,009,802 |
Par (a) | Value | ||
Automotive – 0.3% | |||
American Honda Finance Corp., 4.90%, 3/13/29 | $ 65,000 | $ 63,742 | |
Ford Motor Credit Co. LLC, 6.80%, 11/07/28 | 230,000 | 235,151 | |
General Motors Financial Co., Inc., | |||
2.35%, 2/26/27 | 170,000 | 155,381 | |
5.40%, 5/08/27 | 60,000 | 59,582 | |
Lear Corp., 3.80%, 9/15/27 | 60,000 | 56,809 | |
Tenneco, Inc., 8.00%, 11/17/28(b) | 18,000 | 16,819 | |
587,484 | |||
Banking – 2.3% | |||
Bank of America Corp., | |||
(3M CME Term SOFR + 1.07%), 3.37%, 1/23/26(k) | 25,000 | 24,540 | |
(SOFR + 1.33%), 3.38%, 4/02/26(k) | 495,000 | 483,738 | |
(SOFR + 1.15%), 1.32%, 6/19/26(k) | 210,000 | 199,562 | |
(SOFR + 1.75%), 4.83%, 7/22/26(k) | 105,000 | 103,656 | |
(SOFR + 1.05%), 2.55%, 2/04/28(k) | 25,000 | 23,026 | |
(SOFR + 2.04%), 4.95%, 7/22/28(k) | 85,000 | 83,384 | |
(SOFR + 1.99%), 6.20%, 11/10/28(k) | 125,000 | 127,614 | |
(3M CME Term SOFR + 1.25%), 2.50%, 2/13/31(k) | 80,000 | 67,327 | |
(SOFR + 1.22%), 2.65%, 3/11/32(k) | 50,000 | 41,228 | |
(SOFR + 1.21%), 2.57%, 10/20/32(k) | 30,000 | 24,201 | |
(SOFR + 1.91%), 5.29%, 4/25/34(k) | 80,000 | 77,059 | |
(SOFR + 1.65%), 5.47%, 1/23/35(k) | 70,000 | 68,073 | |
Citigroup, Inc., | |||
(SOFR + 1.37%), 4.14%, 5/24/25(k) | 110,000 | 109,859 | |
(SOFR + 0.77%), 1.46%, 6/09/27(k) | 375,000 | 343,353 | |
4.45%, 9/29/27 | 100,000 | 96,237 | |
(SOFR + 1.36%), 5.17%, 2/13/30(k) | 50,000 | 48,898 | |
(SOFR + 1.94%), 3.79%, 3/17/33(k) | 140,000 | 121,641 | |
(SOFR + 2.06%), 5.83%, 2/13/35(k) | 200,000 | 192,492 |
Par (a) | Value | ||
Banking (Continued) | |||
Fifth Third Bancorp, (SOFR + 2.34%), 6.34%, 7/27/29(k) | $ 30,000 | $ 30,342 | |
JPMorgan Chase & Co., | |||
(3M CME Term SOFR + 1.59%), 2.01%, 3/13/26(k) | 300,000 | 290,210 | |
(SOFR + 0.80%), 1.05%, 11/19/26(k) | 180,000 | 167,508 | |
(3M CME Term SOFR + 0.70%), 1.04%, 2/04/27(k) | 205,000 | 188,956 | |
(SOFR + 0.77%), 1.47%, 9/22/27(k) | 95,000 | 86,158 | |
(SOFR + 1.99%), 4.85%, 7/25/28(k) | 245,000 | 239,982 | |
(SOFR + 1.31%), 5.01%, 1/23/30(k) | 25,000 | 24,393 | |
(SOFR + 1.26%), 2.96%, 1/25/33(k) | 15,000 | 12,463 | |
(SOFR + 2.08%), 4.91%, 7/25/33(k) | 75,000 | 71,306 | |
(SOFR + 1.85%), 5.35%, 6/01/34(k) | 120,000 | 116,696 | |
PNC Financial Services Group (The), Inc., | |||
(SOFR Index + 1.73%), 6.62%, 10/20/27(k) | 180,000 | 183,932 | |
(SOFR + 1.84%), 5.58%, 6/12/29(k) | 40,000 | 39,820 | |
(SOFR + 1.90%), 5.68%, 1/22/35(k) | 80,000 | 78,378 | |
Popular, Inc., 7.25%, 3/13/28 | 44,000 | 44,117 | |
Santander Holdings USA, Inc., | |||
(SOFR Index + 1.38%), 4.26%, 6/09/25(k) | 70,000 | 69,748 | |
(SOFR + 2.36%), 6.50%, 3/09/29(k) | 10,000 | 10,078 | |
(SOFR + 2.50%), 6.17%, 1/09/30(k) | 90,000 | 89,648 | |
Truist Financial Corp., | |||
(SOFR + 1.46%), 4.26%, 7/28/26(k) | 88,000 | 86,332 | |
(SOFR + 0.86%), 1.89%, 6/07/29(k) | 36,000 | 30,755 | |
(SOFR + 1.92%), 5.71%, 1/24/35(k) | 65,000 | 63,082 | |
U.S. Bancorp, (SOFR + 1.66%), 4.55%, 7/22/28(k) | 20,000 | 19,348 | |
Wells Fargo & Co., | |||
(SOFR + 1.32%), 3.91%, 4/25/26(k) | 104,000 | 102,003 | |
(SOFR + 1.51%), 3.53%, 3/24/28(k) | 161,000 | 151,929 |
Par (a) | Value | ||
Banking (Continued) | |||
Wells Fargo & Co., | |||
(SOFR + 1.07%), 5.71%, 4/22/28(k) | $165,000 | $ 165,115 | |
(3M CME Term SOFR + 1.57%), 3.58%, 5/22/28(k) | 1,000 | 941 | |
(SOFR + 1.98%), 4.81%, 7/25/28(k) | 241,000 | 234,828 | |
4.15%, 1/24/29 | 20,000 | 18,926 | |
(SOFR + 1.74%), 5.57%, 7/25/29(k) | 80,000 | 79,744 | |
(SOFR + 1.79%), 6.30%, 10/23/29(k) | 23,000 | 23,563 | |
(3M CME Term SOFR + 1.43%), 2.88%, 10/30/30(k) | 1,000 | 868 | |
(SOFR + 1.99%), 5.56%, 7/25/34(k) | 90,000 | 87,727 | |
(SOFR + 1.78%), 5.50%, 1/23/35(k) | 50,000 | 48,569 | |
5,093,353 | |||
Beverages – 0.0%(d) | |||
Constellation Brands, Inc., 4.35%, 5/09/27 | 65,000 | 62,935 | |
Biotechnology & Pharmaceuticals – 0.4% | |||
AbbVie, Inc., 5.05%, 3/15/34 | 105,000 | 102,394 | |
Amgen, Inc., 5.25%, 3/02/30 | 108,000 | 107,048 | |
Bausch Health Americas, Inc., | |||
9.25%, 4/01/26(b) | 8,000 | 7,404 | |
8.50%, 1/31/27(b) | 2,000 | 1,295 | |
Bausch Health Cos., Inc., | |||
9.00%, 12/15/25(b) | 2,000 | 1,890 | |
6.13%, 2/01/27(b) | 86,000 | 62,995 | |
11.00%, 9/30/28(b) | 84,000 | 65,561 | |
Bristol-Myers Squibb Co., | |||
1.45%, 11/13/30 | 50,000 | 39,463 | |
5.20%, 2/22/34 | 50,000 | 48,965 | |
Eli Lilly & Co., 4.70%, 2/27/33 | 8,000 | 7,689 | |
Merck & Co., Inc., 4.50%, 5/17/33 | 110,000 | 103,969 | |
Organon & Co./Organon Foreign Debt Co-Issuer B.V., 5.13%, 4/30/31(b) | 20,000 | 17,294 | |
Pfizer Investment Enterprises Pte. Ltd., 4.45%, 5/19/28 | 30,000 | 29,096 | |
Regeneron Pharmaceuticals, Inc., 1.75%, 9/15/30 | 230,000 | 183,623 |
Par (a) | Value | ||
Biotechnology & Pharmaceuticals (Continued) | |||
Zoetis, Inc., | |||
3.00%, 9/12/27 | $140,000 | $129,704 | |
2.00%, 5/15/30 | 20,000 | 16,477 | |
924,867 | |||
Cable & Satellite – 0.4% | |||
Cable One, Inc., 4.00%, 11/15/30(b) | 47,000 | 35,857 | |
CCO Holdings LLC/CCO Holdings Capital Corp., | |||
5.38%, 6/01/29(b) | 5,000 | 4,404 | |
6.38%, 9/01/29(b) | 40,000 | 36,667 | |
7.38%, 3/01/31(b) | 115,000 | 109,128 | |
4.75%, 2/01/32(b) | 135,000 | 106,169 | |
4.50%, 6/01/33(b) | 32,000 | 24,064 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, | |||
2.25%, 1/15/29 | 15,000 | 12,520 | |
2.30%, 2/01/32 | 50,000 | 37,267 | |
Comcast Corp., | |||
3.40%, 4/01/30 | 50,000 | 45,038 | |
4.80%, 5/15/33 | 110,000 | 104,661 | |
CSC Holdings LLC, 11.25%, 5/15/28(b) | 35,000 | 30,959 | |
Directv Financing LLC, 8.88%, 2/01/30(b) | 48,000 | 46,672 | |
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 8/15/27(b) | 155,000 | 144,472 | |
GCI LLC, 4.75%, 10/15/28(b) | 52,000 | 46,386 | |
Sirius XM Radio, Inc., | |||
5.50%, 7/01/29(b) | 134,000 | 124,384 | |
4.13%, 7/01/30(b) | 30,000 | 25,442 | |
934,090 | |||
Chemicals – 0.3% | |||
Air Products and Chemicals, Inc., 1.85%, 5/15/27 | 50,000 | 45,494 | |
Celanese U.S. Holdings LLC, 6.35%, 11/15/28 | 65,000 | 66,016 | |
Chemours (The) Co., 5.38%, 5/15/27 | 61,000 | 57,714 | |
CVR Partners L.P./CVR Nitrogen Finance Corp., 6.13%, 6/15/28(b) | 69,000 | 64,377 | |
Ecolab, Inc., 2.13%, 2/01/32 | 20,000 | 16,116 | |
LSB Industries, Inc., 6.25%, 10/15/28(b) | 71,000 | 67,305 |
Par (a) | Value | ||
Chemicals (Continued) | |||
LYB International Finance II B.V., 3.50%, 3/02/27 | $ 30,000 | $ 28,404 | |
PPG Industries, Inc., 1.20%, 3/15/26 | 165,000 | 152,223 | |
Rain Carbon, Inc., 12.25%, 9/01/29(b) | 45,000 | 46,863 | |
SK Invictus Intermediate II S.a.r.l., 5.00%, 10/30/29(b) | 78,000 | 67,998 | |
Tronox, Inc., 4.63%, 3/15/29(b) | 5,000 | 4,461 | |
616,971 | |||
Commercial Support Services – 0.2% | |||
ADT Security (The) Corp., 4.88%, 7/15/32(b) | 72,000 | 64,087 | |
APX Group, Inc., 5.75%, 7/15/29(b) | 42,000 | 39,053 | |
Cintas Corp. No. 2, 4.00%, 5/01/32 | 60,000 | 54,813 | |
CoreCivic, Inc., 8.25%, 4/15/29 | 35,000 | 36,165 | |
Deluxe Corp., 8.00%, 6/01/29(b) | 52,000 | 46,780 | |
GEO Group (The), Inc., | |||
8.63%, 4/15/29(b) | 35,000 | 35,433 | |
10.25%, 4/15/31(b) | 70,000 | 72,166 | |
Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 1/15/28(b) | 33,000 | 32,238 | |
VT Topco, Inc., 8.50%, 8/15/30(b) | 15,000 | 15,526 | |
Waste Connections, Inc., | |||
2.60%, 2/01/30 | 5,000 | 4,319 | |
3.20%, 6/01/32 | 55,000 | 46,810 | |
ZipRecruiter, Inc., 5.00%, 1/15/30(b) | 59,000 | 51,902 | |
499,292 | |||
Construction Materials – 0.1% | |||
AmeriTex HoldCo Intermediate LLC, 10.25%, 10/15/28(b) | 15,000 | 15,801 | |
Eagle Materials, Inc., 2.50%, 7/01/31 | 88,000 | 72,102 | |
Eco Material Technologies, Inc., 7.88%, 1/31/27(b) | 20,000 | 20,147 | |
Smyrna Ready Mix Concrete LLC, | |||
6.00%, 11/01/28(b) | 28,000 | 27,086 | |
8.88%, 11/15/31(b) | 50,000 | 52,657 | |
187,793 |
Par (a) | Value | ||
Consumer Services – 0.0%(d) | |||
Adtalem Global Education, Inc., 5.50%, 3/01/28(b) | $ 31,000 | $ 29,372 | |
PROG Holdings, Inc., 6.00%, 11/15/29(b) | 64,000 | 58,970 | |
88,342 | |||
Containers & Packaging – 0.1% | |||
Graham Packaging Co., Inc., 7.13%, 8/15/28(b) | 60,000 | 54,197 | |
Mauser Packaging Solutions Holding Co., | |||
7.88%, 4/15/27(b) | 32,000 | 32,600 | |
9.25%, 4/15/27(b) | 21,000 | 20,579 | |
Packaging Corp. of America, 5.70%, 12/01/33 | 95,000 | 94,637 | |
202,013 | |||
Diversified Industrials – 0.0%(d) | |||
Honeywell International, Inc., 4.50%, 1/15/34 | 80,000 | 75,177 | |
Electric Utilities – 0.9% | |||
AEP Texas, Inc., 3.95%, 6/01/28 | 50,000 | 46,814 | |
AES (The) Corp., 5.45%, 6/01/28 | 30,000 | 29,541 | |
Appalachian Power Co., 4.50%, 8/01/32 | 50,000 | 45,521 | |
Arizona Public Service Co., 2.20%, 12/15/31 | 10,000 | 7,916 | |
Black Hills Corp., 3.15%, 1/15/27 | 20,000 | 18,703 | |
CenterPoint Energy Houston Electric LLC, 4.45%, 10/01/32 | 30,000 | 27,935 | |
CenterPoint Energy, Inc., 5.25%, 8/10/26 | 22,000 | 21,855 | |
Constellation Energy Generation LLC, 3.25%, 6/01/25 | 50,000 | 48,700 | |
Dominion Energy, Inc., 3.38%, 4/01/30 | 50,000 | 44,289 | |
DTE Electric Co., 5.20%, 4/01/33 | 50,000 | 49,065 | |
Duke Energy Carolinas LLC, 4.95%, 1/15/33 | 20,000 | 19,249 | |
Duke Energy Corp., | |||
2.65%, 9/01/26 | 100,000 | 93,707 | |
3.40%, 6/15/29 | 50,000 | 45,418 | |
5.75%, 9/15/33 | 26,000 | 25,899 | |
Duke Energy Progress LLC, | |||
3.40%, 4/01/32 | 20,000 | 17,344 | |
5.25%, 3/15/33 | 10,000 | 9,812 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
Entergy Louisiana LLC, 1.60%, 12/15/30 | $ 90,000 | $ 70,489 | |
Evergy Kansas Central, Inc., 5.90%, 11/15/33 | 10,000 | 10,131 | |
Eversource Energy, 5.13%, 5/15/33 | 50,000 | 47,153 | |
Exelon Corp., 5.15%, 3/15/28 | 40,000 | 39,469 | |
Florida Power & Light Co., | |||
2.45%, 2/03/32 | 30,000 | 24,516 | |
4.80%, 5/15/33 | 15,000 | 14,283 | |
Georgia Power Co., | |||
4.65%, 5/16/28 | 30,000 | 29,167 | |
4.70%, 5/15/32 | 20,000 | 18,933 | |
Interstate Power and Light Co., 5.70%, 10/15/33 | 14,000 | 13,927 | |
ITC Holdings Corp., 3.35%, 11/15/27 | 10,000 | 9,309 | |
National Rural Utilities Cooperative Finance Corp., | |||
1.00%, 6/15/26 | 85,000 | 77,551 | |
2.40%, 3/15/30 | 50,000 | 42,207 | |
NextEra Energy Capital Holdings, Inc., | |||
5.75%, 9/01/25 | 30,000 | 30,019 | |
5.25%, 3/15/34 | 50,000 | 47,973 | |
NRG Energy, Inc., 7.00%, 3/15/33(b) | 110,000 | 114,551 | |
Oncor Electric Delivery Co. LLC, | |||
4.30%, 5/15/28 | 25,000 | 24,076 | |
5.65%, 11/15/33 | 10,000 | 10,045 | |
Pacific Gas and Electric Co., | |||
2.50%, 2/01/31 | 80,000 | 64,863 | |
6.40%, 6/15/33 | 29,000 | 29,508 | |
PacifiCorp, 5.30%, 2/15/31 | 10,000 | 9,771 | |
PECO Energy Co., 4.90%, 6/15/33 | 40,000 | 38,577 | |
PPL Capital Funding, Inc., 3.10%, 5/15/26 | 20,000 | 19,114 | |
PPL Electric Utilities Corp., | |||
5.00%, 5/15/33 | 10,000 | 9,673 | |
4.85%, 2/15/34 | 25,000 | 23,811 | |
Public Service Co. of Colorado, | |||
4.10%, 6/01/32 | 25,000 | 22,648 | |
5.35%, 5/15/34 | 30,000 | 29,239 | |
Public Service Electric and Gas Co., | |||
4.65%, 3/15/33 | 10,000 | 9,433 |
Par (a) | Value | ||
Electric Utilities (Continued) | |||
Public Service Electric and Gas Co., | |||
5.20%, 8/01/33 | $20,000 | $ 19,598 | |
Public Service Enterprise Group, Inc., 1.60%, 8/15/30 | 10,000 | 7,887 | |
San Diego Gas & Electric Co., 4.95%, 8/15/28 | 45,000 | 44,343 | |
Sempra, 5.50%, 8/01/33 | 10,000 | 9,713 | |
Southern (The) Co., 5.20%, 6/15/33 | 50,000 | 48,169 | |
Southern California Edison Co., | |||
5.95%, 11/01/32 | 21,000 | 21,364 | |
2.95%, 2/01/51 | 6,000 | 3,657 | |
5.88%, 12/01/53 | 10,000 | 9,737 | |
Southwestern Electric Power Co., 5.30%, 4/01/33 | 10,000 | 9,528 | |
Talen Energy Supply LLC, 8.63%, 6/01/30(b) | 53,000 | 56,076 | |
Union Electric Co., 2.95%, 3/15/30 | 70,000 | 61,131 | |
Virginia Electric and Power Co., 2.30%, 11/15/31 | 45,000 | 36,240 | |
Vistra Operations Co. LLC, | |||
5.50%, 9/01/26(b) | 25,000 | 24,398 | |
5.63%, 2/15/27(b) | 84,000 | 81,728 | |
5.00%, 7/31/27(b) | 50,000 | 47,586 | |
7.75%, 10/15/31(b) | 50,000 | 51,280 | |
WEC Energy Group, Inc., 5.60%, 9/12/26 | 15,000 | 15,017 | |
Wisconsin Electric Power Co., 1.70%, 6/15/28 | 10,000 | 8,699 | |
Wisconsin Power and Light Co., 1.95%, 9/16/31 | 5,000 | 3,943 | |
Xcel Energy, Inc., 4.60%, 6/01/32 | 10,000 | 9,175 | |
2,001,473 | |||
Engineering & Construction – 0.0%(d) | |||
Brand Industrial Services, Inc., 10.38%, 8/01/30(b) | 15,000 | 16,096 | |
Quanta Services, Inc., 2.35%, 1/15/32 | 30,000 | 23,670 | |
Tutor Perini Corp., | |||
6.88%, 5/01/25(b) | 13,000 | 13,000 | |
11.88%, 4/30/29(b) | 34,000 | 34,841 | |
87,607 |
Par (a) | Value | ||
Entertainment Content – 0.1% | |||
Lions Gate Capital Holdings LLC, 5.50%, 4/15/29(b) | $ 57,000 | $ 43,436 | |
Paramount Global, 4.20%, 5/19/32 | 65,000 | 53,082 | |
TEGNA, Inc., | |||
4.63%, 3/15/28 | 53,000 | 47,763 | |
5.00%, 9/15/29 | 200,000 | 176,309 | |
320,590 | |||
Food – 0.1% | |||
BellRing Brands, Inc., 7.00%, 3/15/30(b) | 37,000 | 37,441 | |
Chobani LLC/Chobani Finance Corp., Inc., 7.63%, 7/01/29(b) | 15,000 | 15,159 | |
General Mills, Inc., 4.95%, 3/29/33 | 35,000 | 33,525 | |
Hershey (The) Co., 4.50%, 5/04/33 | 52,000 | 49,649 | |
Mondelez International, Inc., 2.63%, 3/17/27 | 40,000 | 37,135 | |
172,909 | |||
Gas & Water Utilities – 0.2% | |||
American Water Capital Corp., | |||
4.45%, 6/01/32 | 30,000 | 28,011 | |
5.15%, 3/01/34 | 5,000 | 4,845 | |
AmeriGas Partners L.P./AmeriGas Finance Corp., | |||
5.88%, 8/20/26 | 29,000 | 28,516 | |
5.75%, 5/20/27 | 42,000 | 40,765 | |
9.38%, 6/01/28(b) | 48,000 | 49,873 | |
Essential Utilities, Inc., 5.38%, 1/15/34 | 25,000 | 24,076 | |
NiSource, Inc., 0.95%, 8/15/25 | 100,000 | 94,093 | |
ONE Gas, Inc., 4.25%, 9/01/32 | 25,000 | 23,093 | |
Piedmont Natural Gas Co., Inc., 5.40%, 6/15/33 | 10,000 | 9,763 | |
Southern California Gas Co., 5.20%, 6/01/33 | 30,000 | 29,177 | |
Southern Co. Gas Capital Corp., 5.75%, 9/15/33 | 10,000 | 10,047 | |
Southwest Gas Corp., 4.05%, 3/15/32 | 25,000 | 22,261 | |
Suburban Propane Partners L.P./Suburban Energy Finance Corp., 5.00%, 6/01/31(b) | 10,000 | 8,883 | |
373,403 |
Par (a) | Value | ||
Health Care Facilities & Services – 0.4% | |||
Cencora, Inc., 2.70%, 3/15/31 | $ 90,000 | $ 75,383 | |
DaVita, Inc., | |||
4.63%, 6/01/30(b) | 106,000 | 92,870 | |
3.75%, 2/15/31(b) | 37,000 | 30,446 | |
Fortrea Holdings, Inc., 7.50%, 7/01/30(b) | 48,000 | 48,419 | |
HCA, Inc., | |||
3.50%, 9/01/30 | 50,000 | 44,083 | |
3.63%, 3/15/32 | 91,000 | 78,273 | |
5.60%, 4/01/34 | 235,000 | 229,303 | |
IQVIA, Inc., 6.25%, 2/01/29 | 25,000 | 25,407 | |
McKesson Corp., 0.90%, 12/03/25 | 75,000 | 69,716 | |
UnitedHealth Group, Inc., | |||
2.00%, 5/15/30 | 125,000 | 103,809 | |
4.50%, 4/15/33 | 21,000 | 19,684 | |
Universal Health Services, Inc., | |||
2.65%, 10/15/30 | 112,000 | 92,955 | |
2.65%, 1/15/32 | 98,000 | 77,971 | |
988,319 | |||
Home & Office Products – 0.0%(d) | |||
Steelcase, Inc., 5.13%, 1/18/29 | 46,000 | 43,026 | |
Home Construction – 0.2% | |||
Interface, Inc., 5.50%, 12/01/28(b) | 18,000 | 16,881 | |
Lennar Corp., 5.00%, 6/15/27 | 35,000 | 34,514 | |
LGI Homes, Inc., 8.75%, 12/15/28(b) | 37,000 | 38,488 | |
Masco Corp., 3.50%, 11/15/27 | 45,000 | 41,762 | |
Meritage Homes Corp., 5.13%, 6/06/27 | 30,000 | 29,195 | |
NVR, Inc., 3.00%, 5/15/30 | 135,000 | 117,039 | |
Toll Brothers Finance Corp., | |||
4.35%, 2/15/28 | 60,000 | 57,366 | |
3.80%, 11/01/29 | 50,000 | 45,551 | |
380,796 | |||
Industrial Support Services – 0.0%(d) | |||
NESCO Holdings II, Inc., 5.50%, 4/15/29(b) | 40,000 | 37,232 | |
Institutional Financial Services – 0.9% | |||
Bank of New York Mellon (The) Corp., (SOFR + 1.17%), 4.54%, 2/01/29(k) | 50,000 | 48,495 | |
Coinbase Global, Inc., | |||
3.38%, 10/01/28(b) | 42,000 | 35,211 |
Par (a) | Value | ||
Institutional Financial Services (Continued) | |||
Coinbase Global, Inc., | |||
3.63%, 10/01/31(b) | $ 79,000 | $ 61,603 | |
Goldman Sachs Group (The), Inc., | |||
(3M CME Term SOFR + 1.46%), 3.27%, 9/29/25(k) | 25,000 | 24,725 | |
(SOFR + 0.61%), 0.86%, 2/12/26(k) | 90,000 | 86,446 | |
3.50%, 11/16/26 | 50,000 | 47,525 | |
(SOFR + 0.79%), 1.09%, 12/09/26(k) | 450,000 | 417,155 | |
(SOFR + 0.80%), 1.43%, 3/09/27(k) | 110,000 | 101,643 | |
(3M CME Term SOFR + 1.42%), 3.81%, 4/23/29(k) | 50,000 | 46,745 | |
3.80%, 3/15/30 | 50,000 | 45,738 | |
(SOFR + 1.28%), 2.62%, 4/22/32(k) | 10,000 | 8,187 | |
(SOFR + 1.25%), 2.38%, 7/21/32(k) | 75,000 | 60,020 | |
(SOFR + 1.55%), 5.85%, 4/25/35(k) | 125,000 | 125,066 | |
Intercontinental Exchange, Inc., 1.85%, 9/15/32 | 20,000 | 15,144 | |
Jefferies Financial Group, Inc., | |||
5.88%, 7/21/28 | 25,000 | 24,895 | |
6.20%, 4/14/34 | 12,000 | 11,863 | |
Morgan Stanley, | |||
(SOFR + 1.99%), 2.19%, 4/28/26(k) | 20,000 | 19,290 | |
(SOFR + 1.67%), 4.68%, 7/17/26(k) | 164,000 | 161,868 | |
3.95%, 4/23/27 | 12,000 | 11,491 | |
(SOFR + 0.88%), 1.59%, 5/04/27(k) | 35,000 | 32,259 | |
(SOFR + 0.86%), 1.51%, 7/20/27(k) | 5,000 | 4,566 | |
(3M CME Term SOFR + 1.40%), 3.77%, 1/24/29(k) | 1,000 | 938 | |
(SOFR + 1.73%), 5.12%, 2/01/29(k) | 1,000 | 984 | |
(SOFR + 1.59%), 5.16%, 4/20/29(k) | 11,000 | 10,820 | |
(SOFR + 1.63%), 5.45%, 7/20/29(k) | 16,000 | 15,902 | |
(3M CME Term SOFR + 1.89%), 4.43%, 1/23/30(k) | 53,000 | 50,415 | |
(SOFR + 3.12%), 3.62%, 4/01/31(k) | 146,000 | 131,226 |
Par (a) | Value | ||
Institutional Financial Services (Continued) | |||
Morgan Stanley, | |||
(SOFR + 1.03%), 1.79%, 2/13/32(k) | $280,000 | $ 218,485 | |
(SOFR + 1.18%), 2.24%, 7/21/32(k) | 40,000 | 31,808 | |
(SOFR + 1.87%), 5.25%, 4/21/34(k) | 160,000 | 153,528 | |
StoneX Group, Inc., 7.88%, 3/01/31(b) | 54,000 | 54,610 | |
2,058,651 | |||
Insurance – 0.6% | |||
Aflac, Inc., 1.13%, 3/15/26 | 30,000 | 27,689 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(b) | 11,000 | 10,787 | |
Aon Corp., 2.80%, 5/15/30 | 20,000 | 17,222 | |
Arthur J Gallagher & Co., | |||
2.40%, 11/09/31 | 20,000 | 15,958 | |
5.50%, 3/02/33 | 30,000 | 29,386 | |
6.50%, 2/15/34 | 125,000 | 130,180 | |
Assurant, Inc., 4.90%, 3/27/28 | 65,000 | 62,820 | |
Assured Guaranty U.S. Holdings, Inc., 6.13%, 9/15/28 | 58,000 | 58,843 | |
Brown & Brown, Inc., | |||
4.50%, 3/15/29 | 90,000 | 85,885 | |
4.20%, 3/17/32 | 100,000 | 88,987 | |
Enstar Group Ltd., 3.10%, 9/01/31 | 197,000 | 157,229 | |
Marsh & McLennan Cos., Inc., | |||
2.38%, 12/15/31 | 410,000 | 332,880 | |
5.75%, 11/01/32 | 100,000 | 102,365 | |
5.40%, 9/15/33 | 46,000 | 45,850 | |
Principal Financial Group, Inc., 5.38%, 3/15/33 | 18,000 | 17,651 | |
Progressive (The) Corp., 3.20%, 3/26/30 | 32,000 | 28,537 | |
Unum Group, 4.00%, 6/15/29 | 135,000 | 124,550 | |
1,336,819 | |||
Internet Media & Services – 0.4% | |||
Booking Holdings, Inc., 4.63%, 4/13/30 | 23,000 | 22,172 | |
GrubHub Holdings, Inc., 5.50%, 7/01/27(b) | 54,000 | 48,160 | |
Meta Platforms, Inc., | |||
3.50%, 8/15/27 | 130,000 | 123,546 | |
4.60%, 5/15/28 | 50,000 | 49,112 | |
4.80%, 5/15/30 | 40,000 | 39,274 |
Par (a) | Value | ||
Internet Media & Services (Continued) | |||
Meta Platforms, Inc., | |||
3.85%, 8/15/32 | $235,000 | $213,362 | |
4.95%, 5/15/33 | 163,000 | 159,682 | |
VeriSign, Inc., | |||
4.75%, 7/15/27 | 100,000 | 97,061 | |
2.70%, 6/15/31 | 150,000 | 122,998 | |
875,367 | |||
Leisure Facilities & Services – 1.1% | |||
Boyne USA, Inc., 4.75%, 5/15/29(b) | 10,000 | 9,099 | |
Brinker International, Inc., 8.25%, 7/15/30(b) | 32,000 | 33,320 | |
Carnival Corp., | |||
5.75%, 3/01/27(b) | 55,000 | 53,678 | |
10.50%, 6/01/30(b) | 58,000 | 62,988 | |
Carnival Holdings Bermuda Ltd., 10.38%, 5/01/28(b) | 63,000 | 68,309 | |
Carrols Restaurant Group, Inc., 5.88%, 7/01/29(b) | 632,000 | 642,905 | |
Choice Hotels International, Inc., 3.70%, 12/01/29 | 5,000 | 4,409 | |
Darden Restaurants, Inc., 6.30%, 10/10/33 | 30,000 | 30,421 | |
Everi Holdings, Inc., 5.00%, 7/15/29(b) | 640,000 | 627,420 | |
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, | |||
5.00%, 6/01/29(b) | 90,000 | 81,860 | |
4.88%, 7/01/31(b) | 88,000 | 76,619 | |
6.63%, 1/15/32(b) | 10,000 | 9,859 | |
Hyatt Hotels Corp., 5.75%, 1/30/27 | 30,000 | 30,144 | |
Marriott International, Inc., | |||
5.75%, 5/01/25 | 9,000 | 9,003 | |
5.00%, 10/15/27 | 35,000 | 34,508 | |
5.55%, 10/15/28 | 30,000 | 30,074 | |
2.85%, 4/15/31 | 100,000 | 83,878 | |
5.30%, 5/15/34 | 35,000 | 33,568 | |
McDonald's Corp., 4.60%, 9/09/32 | 284,000 | 270,532 | |
NCL Corp. Ltd., | |||
5.88%, 3/15/26(b) | 83,000 | 81,325 | |
7.75%, 2/15/29(b) | 48,000 | 49,031 | |
Raising Cane's Restaurants LLC, 9.38%, 5/01/29(b) | 15,000 | 16,088 |
Par (a) | Value | ||
Leisure Facilities & Services (Continued) | |||
Resorts World Las Vegas LLC/RWLV Capital, Inc., | |||
4.63%, 4/16/29(b) | $ 25,000 | $ 22,188 | |
8.45%, 7/27/30(b) | 65,000 | 68,093 | |
Royal Caribbean Cruises Ltd., 5.50%, 8/31/26(b) | 36,000 | 35,314 | |
Station Casinos LLC, 4.63%, 12/01/31(b) | 11,000 | 9,642 | |
Travel + Leisure Co., | |||
6.63%, 7/31/26(b) | 14,000 | 14,016 | |
4.50%, 12/01/29(b) | 32,000 | 28,844 | |
4.63%, 3/01/30(b) | 18,000 | 16,078 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 7.13%, 2/15/31(b) | 12,000 | 12,171 | |
2,545,384 | |||
Machinery – 0.2% | |||
Eaton Corp., 4.15%, 3/15/33 | 20,000 | 18,387 | |
IDEX Corp., 2.63%, 6/15/31 | 60,000 | 49,374 | |
Ingersoll Rand, Inc., | |||
5.40%, 8/14/28 | 90,000 | 89,765 | |
5.70%, 8/14/33 | 60,000 | 59,595 | |
Oshkosh Corp., 3.10%, 3/01/30 | 103,000 | 89,820 | |
Pentair Finance S.a.r.l., 4.50%, 7/01/29 | 60,000 | 57,151 | |
Titan International, Inc., 7.00%, 4/30/28 | 51,000 | 49,299 | |
413,391 | |||
Medical Equipment & Devices – 0.1% | |||
Agilent Technologies, Inc., 2.30%, 3/12/31 | 30,000 | 24,623 | |
Bausch + Lomb Corp., 8.38%, 10/01/28(b) | 90,000 | 92,948 | |
Edwards Lifesciences Corp., 4.30%, 6/15/28 | 70,000 | 67,181 | |
Embecta Corp., 5.00%, 2/15/30(b) | 18,000 | 13,877 | |
Zimmer Biomet Holdings, Inc., 5.35%, 12/01/28 | 30,000 | 29,868 | |
228,497 | |||
Metals & Mining – 0.0%(d) | |||
Arsenal AIC Parent LLC, 8.00%, 10/01/30(b) | 15,000 | 15,618 |
Par (a) | Value | ||
Metals & Mining (Continued) | |||
Freeport-McMoRan, Inc., 4.13%, 3/01/28 | $ 35,000 | $ 32,954 | |
SunCoke Energy, Inc., 4.88%, 6/30/29(b) | 54,000 | 47,681 | |
96,253 | |||
Oil & Gas Producers – 2.5% | |||
Cheniere Corpus Christi Holdings LLC, 5.13%, 6/30/27 | 41,000 | 40,418 | |
Cheniere Energy, Inc., 4.63%, 10/15/28 | 110,000 | 105,150 | |
Chevron USA, Inc., 3.25%, 10/15/29 | 20,000 | 18,290 | |
Civitas Resources, Inc., | |||
5.00%, 10/15/26(b) | 24,000 | 23,214 | |
8.38%, 7/01/28(b) | 109,000 | 113,707 | |
8.75%, 7/01/31(b) | 32,000 | 33,944 | |
CNX Midstream Partners L.P., 4.75%, 4/15/30(b) | 6,000 | 5,310 | |
CNX Resources Corp., | |||
6.00%, 1/15/29(b) | 40,000 | 38,756 | |
7.38%, 1/15/31(b) | 44,000 | 44,540 | |
Columbia Pipeline Group, Inc., 4.50%, 6/01/25 | 15,000 | 14,766 | |
ConocoPhillips Co., 5.05%, 9/15/33 | 20,000 | 19,481 | |
CQP Holdco L.P./BIP-V Chinook Holdco LLC, 5.50%, 6/15/31(b) | 60,000 | 55,136 | |
Crescent Energy Finance LLC, 9.25%, 2/15/28(b) | 30,000 | 31,694 | |
CrownRock L.P./CrownRock Finance, Inc., 5.63%, 10/15/25(b) | 1,033,000 | 1,027,289 | |
CVR Energy, Inc., 8.50%, 1/15/29(b) | 79,000 | 79,195 | |
DCP Midstream Operating L.P., 3.25%, 2/15/32 | 5,000 | 4,206 | |
Delek Logistics Partners L.P./Delek Logistics Finance Corp., | |||
7.13%, 6/01/28(b) | 22,000 | 21,488 | |
8.63%, 3/15/29(b) | 94,000 | 94,711 | |
Diamondback Energy, Inc., 5.40%, 4/18/34 | 105,000 | 102,035 | |
Energy Transfer L.P., | |||
2.90%, 5/15/25 | 40,000 | 38,888 | |
5.75%, 2/15/33 | 10,000 | 9,920 | |
6.55%, 12/01/33 | 65,000 | 67,726 | |
EQT Corp., 3.90%, 10/01/27 | 45,000 | 42,444 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
FTAI Infra Escrow Holdings LLC, 10.50%, 6/01/27(b) | $ 15,000 | $ 15,718 | |
Global Partners L.P./GLP Finance Corp., | |||
6.88%, 1/15/29 | 100,000 | 97,864 | |
8.25%, 1/15/32(b) | 43,000 | 44,050 | |
Gulfport Energy Corp., 8.00%, 5/17/26(b) | 21,000 | 21,271 | |
Harvest Midstream I L.P., 7.50%, 9/01/28(b) | 35,000 | 35,096 | |
Hess Corp., 4.30%, 4/01/27 | 50,000 | 48,385 | |
Hilcorp Energy I L.P./Hilcorp Finance Co., | |||
6.25%, 11/01/28(b) | 20,000 | 19,706 | |
6.00%, 2/01/31(b) | 63,000 | 60,142 | |
6.25%, 4/15/32(b) | 40,000 | 38,621 | |
8.38%, 11/01/33(b) | 20,000 | 21,454 | |
Howard Midstream Energy Partners LLC, 8.88%, 7/15/28(b) | 15,000 | 15,711 | |
Kinder Morgan, Inc., 1.75%, 11/15/26 | 60,000 | 54,722 | |
Marathon Oil Corp., 5.70%, 4/01/34 | 70,000 | 67,674 | |
Marathon Petroleum Corp., 4.70%, 5/01/25 | 50,000 | 49,493 | |
MPLX L.P., | |||
4.88%, 6/01/25 | 735,000 | 728,067 | |
4.13%, 3/01/27 | 180,000 | 173,530 | |
4.25%, 12/01/27 | 90,000 | 86,218 | |
2.65%, 8/15/30 | 50,000 | 42,129 | |
5.00%, 3/01/33 | 210,000 | 197,496 | |
New Fortress Energy, Inc., | |||
6.75%, 9/15/25(b) | 75,000 | 74,078 | |
6.50%, 9/30/26(b) | 25,000 | 23,907 | |
8.75%, 3/15/29(b) | 36,000 | 35,109 | |
NGL Energy Operating LLC/NGL Energy Finance Corp., | |||
8.13%, 2/15/29(b) | 36,000 | 36,573 | |
8.38%, 2/15/32(b) | 96,000 | 97,551 | |
Northern Oil & Gas, Inc., | |||
8.13%, 3/01/28(b) | 35,000 | 35,408 | |
8.75%, 6/15/31(b) | 42,000 | 44,180 | |
ONEOK, Inc., | |||
2.20%, 9/15/25 | 80,000 | 76,204 | |
5.85%, 1/15/26 | 77,000 | 77,293 | |
4.00%, 7/13/27 | 255,000 | 243,092 | |
6.05%, 9/01/33 | 110,000 | 111,221 | |
Ovintiv, Inc., 5.38%, 1/01/26 | 10,000 | 9,917 |
Par (a) | Value | ||
Oil & Gas Producers (Continued) | |||
PBF Holding Co. LLC/PBF Finance Corp., | |||
6.00%, 2/15/28 | $ 43,000 | $ 41,938 | |
7.88%, 9/15/30(b) | 46,000 | 47,310 | |
Plains All American Pipeline L.P./PAA Finance Corp., 3.55%, 12/15/29 | 62,000 | 55,771 | |
Prairie Acquiror L.P., 9.00%, 8/01/29(b) | 25,000 | 25,535 | |
Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp., 7.38%, 2/15/29(b) | 20,000 | 20,022 | |
Talos Production, Inc., | |||
9.00%, 2/01/29(b) | 60,000 | 63,304 | |
9.38%, 2/01/31(b) | 50,000 | 53,285 | |
Targa Resources Corp., | |||
5.20%, 7/01/27 | 160,000 | 158,215 | |
6.15%, 3/01/29 | 130,000 | 132,230 | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., | |||
6.50%, 7/15/27 | 17,000 | 17,105 | |
5.00%, 1/15/28 | 46,000 | 44,487 | |
5.50%, 3/01/30 | 25,000 | 24,389 | |
4.88%, 2/01/31 | 20,000 | 18,717 | |
Transcontinental Gas Pipe Line Co. LLC, 7.85%, 2/01/26 | 105,000 | 108,100 | |
Venture Global LNG, Inc., | |||
8.13%, 6/01/28(b) | 60,000 | 61,348 | |
9.50%, 2/01/29(b) | 47,000 | 50,519 | |
8.38%, 6/01/31(b) | 35,000 | 35,917 | |
9.88%, 2/01/32(b) | 47,000 | 50,154 | |
5,722,534 | |||
Oil, Gas Services & Equipment – 0.2% | |||
Bristow Group, Inc., 6.88%, 3/01/28(b) | 23,000 | 22,306 | |
Diamond Foreign Asset Co./Diamond Finance LLC, 8.50%, 10/01/30(b) | 51,000 | 53,345 | |
Helix Energy Solutions Group, Inc., 9.75%, 3/01/29(b) | 19,000 | 20,197 | |
Noble Finance II LLC, 8.00%, 4/15/30(b) | 45,000 | 46,368 | |
Transocean, Inc., | |||
8.00%, 2/01/27(b) | 9,000 | 9,022 | |
8.75%, 2/15/30(b) | 36,000 | 37,536 |
Par (a) | Value | ||
Oil, Gas Services & Equipment (Continued) | |||
USA Compression Partners L.P./USA Compression Finance Corp., | |||
6.88%, 9/01/27 | $ 46,000 | $ 45,924 | |
7.13%, 3/15/29(b) | 31,000 | 30,802 | |
Valaris Ltd., 8.38%, 4/30/30(b) | 75,000 | 77,131 | |
342,631 | |||
Publishing & Broadcasting – 0.1% | |||
Belo Corp., 7.25%, 9/15/27 | 14,000 | 14,145 | |
Nexstar Media, Inc., | |||
5.63%, 7/15/27(b) | 119,000 | 111,904 | |
4.75%, 11/01/28(b) | 46,000 | 40,837 | |
Sinclair Television Group, Inc., 4.13%, 12/01/30(b) | 42,000 | 29,111 | |
Townsquare Media, Inc., 6.88%, 2/01/26(b) | 53,000 | 51,435 | |
247,432 | |||
Real Estate Investment Trusts – 0.5% | |||
American Tower Corp., 5.80%, 11/15/28 | 55,000 | 55,352 | |
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.75%, 5/15/26(b) | 70,000 | 67,735 | |
Crown Castle, Inc., | |||
3.65%, 9/01/27 | 80,000 | 74,975 | |
3.80%, 2/15/28 | 17,000 | 15,858 | |
5.60%, 6/01/29 | 10,000 | 9,941 | |
Equinix, Inc., 1.45%, 5/15/26 | 70,000 | 64,229 | |
Essential Properties L.P., 2.95%, 7/15/31 | 30,000 | 23,788 | |
Iron Mountain Information Management Services, Inc., 5.00%, 7/15/32(b) | 60,000 | 53,177 | |
Iron Mountain, Inc., 5.63%, 7/15/32(b) | 50,000 | 46,279 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 4.88%, 5/15/29(b) | 2,000 | 1,830 | |
Prologis L.P., | |||
4.88%, 6/15/28 | 20,000 | 19,684 | |
4.75%, 6/15/33 | 40,000 | 37,756 | |
Public Storage Operating Co., 3.39%, 5/01/29 | 7,000 | 6,407 |
Par (a) | Value | ||
Real Estate Investment Trusts (Continued) | |||
Realty Income Corp., 4.75%, 2/15/29 | $ 90,000 | $ 87,083 | |
RLJ Lodging Trust L.P., 4.00%, 9/15/29(b) | 54,000 | 46,834 | |
Service Properties Trust, 7.50%, 9/15/25 | 46,000 | 46,339 | |
Simon Property Group L.P., | |||
3.50%, 9/01/25 | 65,000 | 63,300 | |
1.38%, 1/15/27 | 10,000 | 8,994 | |
5.50%, 3/08/33 | 40,000 | 39,502 | |
Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC, | |||
10.50%, 2/15/28(b) | 67,000 | 69,508 | |
6.50%, 2/15/29(b) | 126,000 | 101,295 | |
VICI Properties L.P./VICI Note Co., Inc., 4.13%, 8/15/30(b) | 50,000 | 44,566 | |
Welltower OP LLC, 4.00%, 6/01/25 | 57,000 | 55,904 | |
XHR L.P., 4.88%, 6/01/29(b) | 15,000 | 13,691 | |
1,054,027 | |||
Real Estate Owners & Developers – 0.1% | |||
Five Point Operating Co. L.P./Five Point Capital Corp., (Step to 11.00% on 11/15/24), 10.50%, 1/15/28(b)(l) | 24,000 | 24,486 | |
Greystar Real Estate Partners LLC, 7.75%, 9/01/30(b) | 10,000 | 10,300 | |
Howard Hughes (The) Corp., | |||
5.38%, 8/01/28(b) | 46,000 | 43,287 | |
4.13%, 2/01/29(b) | 18,000 | 15,895 | |
4.38%, 2/01/31(b) | 26,000 | 22,047 | |
116,015 | |||
Real Estate Services – 0.1% | |||
Anywhere Real Estate Group LLC/Anywhere Co-Issuer Corp., 7.00%, 4/15/30(b) | 49,367 | 43,317 | |
Cushman & Wakefield U.S. Borrower LLC, 6.75%, 5/15/28(b) | 64,000 | 63,108 | |
Newmark Group, Inc., 7.50%, 1/12/29(b) | 6,000 | 6,058 | |
112,483 | |||
Retail - Discretionary – 0.5% | |||
AutoZone, Inc., | |||
5.05%, 7/15/26 | 120,000 | 119,124 | |
4.50%, 2/01/28 | 40,000 | 38,702 |
Par (a) | Value | ||
Retail - Discretionary (Continued) | |||
Builders FirstSource, Inc., 6.38%, 6/15/32(b) | $ 63,000 | $ 62,346 | |
Carvana Co., | |||
(100% Cash), 12.00%, 12/01/28(b)(j) | 59,061 | 57,848 | |
13.00%, 6/01/30(b)(j) | 56,000 | 55,561 | |
Evergreen Acqco 1 L.P./TVI, Inc., 9.75%, 4/26/28(b) | 11,000 | 11,651 | |
Foot Locker, Inc., 4.00%, 10/01/29(b) | 47,000 | 37,515 | |
Gap (The), Inc., 3.63%, 10/01/29(b) | 19,000 | 16,077 | |
Kohl's Corp., 4.63%, 5/01/31 | 66,000 | 54,412 | |
Lowe's Cos., Inc., | |||
3.35%, 4/01/27 | 25,000 | 23,645 | |
3.10%, 5/03/27 | 45,000 | 42,239 | |
2.63%, 4/01/31 | 10,000 | 8,377 | |
Macy's Retail Holdings LLC, | |||
5.88%, 4/01/29(b) | 27,000 | 26,033 | |
5.88%, 3/15/30(b) | 37,000 | 35,268 | |
6.13%, 3/15/32(b) | 70,000 | 66,214 | |
Nordstrom, Inc., | |||
4.38%, 4/01/30 | 23,000 | 20,528 | |
4.25%, 8/01/31 | 26,000 | 22,425 | |
QVC, Inc., 4.38%, 9/01/28 | 71,000 | 54,597 | |
SRS Distribution, Inc., 4.63%, 7/01/28(b) | 332,000 | 330,763 | |
1,083,325 | |||
Semiconductors – 0.5% | |||
Analog Devices, Inc., | |||
1.70%, 10/01/28 | 40,000 | 34,496 | |
2.10%, 10/01/31 | 30,000 | 24,262 | |
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 1/15/27 | 220,000 | 211,121 | |
Broadcom, Inc., | |||
3.46%, 9/15/26 | 70,000 | 66,899 | |
4.00%, 4/15/29(b) | 5,000 | 4,675 | |
4.15%, 4/15/32(b) | 40,000 | 36,015 | |
2.60%, 2/15/33(b) | 270,000 | 212,826 | |
Intel Corp., 3.75%, 3/25/27 | 50,000 | 47,932 | |
Marvell Technology, Inc., 5.95%, 9/15/33 | 40,000 | 40,237 | |
Micron Technology, Inc., 5.30%, 1/15/31 | 80,000 | 78,500 | |
Texas Instruments, Inc., | |||
4.60%, 2/08/29 | 160,000 | 156,856 | |
1.90%, 9/15/31 | 54,000 | 43,732 |
Par (a) | Value | ||
Semiconductors (Continued) | |||
Texas Instruments, Inc., | |||
4.90%, 3/14/33 | $ 25,000 | $ 24,454 | |
4.85%, 2/08/34 | 60,000 | 58,159 | |
1,040,164 | |||
Software – 0.4% | |||
Cloud Software Group, Inc., | |||
6.50%, 3/31/29(b) | 48,000 | 45,526 | |
9.00%, 9/30/29(b) | 47,000 | 45,226 | |
Fortinet, Inc., 2.20%, 3/15/31 | 10,000 | 8,105 | |
Intuit, Inc., 5.20%, 9/15/33 | 100,000 | 98,699 | |
MicroStrategy, Inc., 6.13%, 6/15/28(b) | 55,000 | 50,973 | |
Oracle Corp., | |||
1.65%, 3/25/26 | 180,000 | 167,225 | |
4.65%, 5/06/30 | 25,000 | 23,967 | |
2.88%, 3/25/31 | 220,000 | 185,916 | |
4.90%, 2/06/33 | 100,000 | 94,669 | |
RingCentral, Inc., 8.50%, 8/15/30(b) | 15,000 | 15,263 | |
Roper Technologies, Inc., 1.00%, 9/15/25 | 45,000 | 42,230 | |
VMware LLC, 4.50%, 5/15/25 | 10,000 | 9,879 | |
787,678 | |||
Specialty Finance – 1.0% | |||
Ally Financial, Inc., (SOFR + 2.82%), 6.85%, 1/03/30(k) | 70,000 | 70,728 | |
American Express Co., | |||
3.95%, 8/01/25 | 70,000 | 68,585 | |
4.05%, 5/03/29 | 43,000 | 40,910 | |
(SOFR + 1.84%), 5.04%, 5/01/34(k) | 180,000 | 172,633 | |
Apollo Commercial Real Estate Finance, Inc., 4.63%, 6/15/29(b) | 58,000 | 47,807 | |
Bread Financial Holdings, Inc., 9.75%, 3/15/29(b) | 58,000 | 60,317 | |
Burford Capital Global Finance LLC, | |||
6.25%, 4/15/28(b) | 22,000 | 21,168 | |
6.88%, 4/15/30(b) | 32,000 | 31,009 | |
9.25%, 7/01/31(b) | 56,000 | 58,333 | |
Capital One Financial Corp., | |||
(SOFR + 1.37%), 4.17%, 5/09/25(k) | 85,000 | 84,964 | |
(SOFR + 2.64%), 6.31%, 6/08/29(k) | 160,000 | 161,414 |
Par (a) | Value | ||
Specialty Finance (Continued) | |||
Capital One Financial Corp., | |||
(SOFR + 2.60%), 5.25%, 7/26/30(k) | $ 7,000 | $ 6,737 | |
(SOFR + 2.26%), 6.05%, 2/01/35(k) | 120,000 | 118,029 | |
Credit Acceptance Corp., | |||
6.63%, 3/15/26 | 2,000 | 1,994 | |
9.25%, 12/15/28(b) | 55,000 | 58,314 | |
Encore Capital Group, Inc., 9.25%, 4/01/29(b) | 49,000 | 50,061 | |
Enova International, Inc., 11.25%, 12/15/28(b) | 38,000 | 40,346 | |
FirstCash, Inc., | |||
5.63%, 1/01/30(b) | 27,000 | 25,443 | |
6.88%, 3/01/32(b) | 45,000 | 44,431 | |
Fortress Transportation and Infrastructure Investors LLC, | |||
9.75%, 8/01/27(b) | 120,000 | 123,888 | |
7.88%, 12/01/30(b) | 20,000 | 20,775 | |
Freedom Mortgage Corp., | |||
12.00%, 10/01/28(b) | 10,000 | 10,703 | |
12.25%, 10/01/30(b) | 20,000 | 21,704 | |
Freedom Mortgage Holdings LLC, 9.25%, 2/01/29(b) | 5,000 | 5,027 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.25%, 2/01/27(b) | 40,000 | 37,038 | |
LD Holdings Group LLC, | |||
6.50%, 11/01/25(b) | 44,000 | 41,758 | |
6.13%, 4/01/28(b) | 72,000 | 54,705 | |
MGIC Investment Corp., 5.25%, 8/15/28 | 7,000 | 6,719 | |
Nationstar Mortgage Holdings, Inc., | |||
5.00%, 2/01/26(b) | 108,000 | 105,064 | |
6.00%, 1/15/27(b) | 25,000 | 24,497 | |
5.50%, 8/15/28(b) | 25,000 | 23,509 | |
5.13%, 12/15/30(b) | 80,000 | 71,868 | |
7.13%, 2/01/32(b) | 15,000 | 14,785 | |
Navient Corp., 6.75%, 6/15/26 | 6,000 | 5,980 | |
OneMain Finance Corp., | |||
7.13%, 3/15/26 | 98,000 | 98,892 | |
6.63%, 1/15/28 | 41,000 | 40,869 | |
9.00%, 1/15/29 | 45,000 | 47,177 | |
PennyMac Financial Services, Inc., | |||
7.88%, 12/15/29(b) | 23,000 | 23,475 | |
5.75%, 9/15/31(b) | 55,000 | 49,854 |
Par (a) | Value | ||
Specialty Finance (Continued) | |||
PRA Group, Inc., | |||
7.38%, 9/01/25(b) | $ 4,000 | $ 3,982 | |
5.00%, 10/01/29(b) | 9,000 | 7,450 | |
Rithm Capital Corp., | |||
6.25%, 10/15/25(b) | 10,000 | 9,904 | |
8.00%, 4/01/29(b) | 78,000 | 76,273 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.00%, 10/15/33(b) | 30,000 | 24,492 | |
Starwood Property Trust, Inc., 7.25%, 4/01/29(b) | 15,000 | 14,798 | |
United Wholesale Mortgage LLC, | |||
5.50%, 11/15/25(b) | 48,000 | 47,216 | |
5.75%, 6/15/27(b) | 42,000 | 40,304 | |
5.50%, 4/15/29(b) | 51,000 | 47,379 | |
2,263,308 | |||
Steel – 0.1% | |||
Cleveland-Cliffs, Inc., | |||
6.75%, 4/15/30(b) | 40,000 | 39,060 | |
7.00%, 3/15/32(b) | 45,000 | 43,948 | |
Nucor Corp., 3.13%, 4/01/32 | 50,000 | 42,666 | |
Reliance, Inc., 1.30%, 8/15/25 | 40,000 | 37,782 | |
163,456 | |||
Technology Hardware – 0.6% | |||
Apple, Inc., 3.35%, 8/08/32 | 25,000 | 22,204 | |
CDW LLC/CDW Finance Corp., | |||
2.67%, 12/01/26 | 9,000 | 8,335 | |
3.57%, 12/01/31 | 110,000 | 93,629 | |
Cisco Systems, Inc., 5.05%, 2/26/34 | 45,000 | 44,016 | |
Dell International LLC/EMC Corp., | |||
5.85%, 7/15/25 | 80,000 | 80,136 | |
5.40%, 4/15/34 | 60,000 | 58,132 | |
EquipmentShare.com, Inc., 9.00%, 5/15/28(b) | 15,000 | 15,399 | |
Flex Ltd., 4.88%, 6/15/29 | 90,000 | 86,319 | |
Jabil, Inc., | |||
1.70%, 4/15/26 | 65,000 | 60,141 | |
4.25%, 5/15/27 | 70,000 | 67,104 | |
5.45%, 2/01/29 | 30,000 | 29,565 | |
Motorola Solutions, Inc., | |||
4.60%, 5/23/29 | 180,000 | 172,953 | |
2.75%, 5/24/31 | 40,000 | 33,232 | |
5.60%, 6/01/32 | 50,000 | 49,730 |
Par (a) | Value | ||
Technology Hardware (Continued) | |||
Motorola Solutions, Inc., | |||
5.40%, 4/15/34 | $ 70,000 | $ 68,074 | |
NCR Atleos Corp., 9.50%, 4/01/29(b) | 30,000 | 31,890 | |
Seagate HDD Cayman, | |||
8.25%, 12/15/29(b) | 103,000 | 109,477 | |
8.50%, 7/15/31(b) | 3,000 | 3,203 | |
9.63%, 12/01/32 | 96,000 | 107,688 | |
TD SYNNEX Corp., 6.10%, 4/12/34 | 85,000 | 84,410 | |
Teledyne FLIR LLC, 2.50%, 8/01/30 | 40,000 | 33,313 | |
Teledyne Technologies, Inc., 2.75%, 4/01/31 | 30,000 | 24,973 | |
Western Digital Corp., | |||
4.75%, 2/15/26 | 70,000 | 68,118 | |
3.10%, 2/01/32 | 20,000 | 15,632 | |
Xerox Holdings Corp., | |||
5.00%, 8/15/25(b) | 9,000 | 8,745 | |
5.50%, 8/15/28(b) | 40,000 | 34,709 | |
8.88%, 11/30/29(b) | 15,000 | 14,290 | |
1,425,417 | |||
Technology Services – 0.6% | |||
Boost Newco Borrower LLC, 7.50%, 1/15/31(b) | 25,000 | 25,802 | |
Broadridge Financial Solutions, Inc., 2.60%, 5/01/31 | 10,000 | 8,183 | |
Conduent Business Services LLC/Conduent State & Local Solutions, Inc., 6.00%, 11/01/29(b) | 58,000 | 52,489 | |
FactSet Research Systems, Inc., | |||
2.90%, 3/01/27 | 150,000 | 139,300 | |
3.45%, 3/01/32 | 72,000 | 61,076 | |
Fiserv, Inc., | |||
5.38%, 8/21/28 | 30,000 | 29,805 | |
5.60%, 3/02/33 | 150,000 | 148,613 | |
5.45%, 3/15/34 | 30,000 | 29,322 | |
International Business Machines Corp., | |||
2.20%, 2/09/27 | 100,000 | 92,010 | |
4.15%, 7/27/27 | 285,000 | 275,152 | |
Kyndryl Holdings, Inc., | |||
2.70%, 10/15/28 | 5,000 | 4,362 | |
3.15%, 10/15/31 | 40,000 | 32,603 | |
Mastercard, Inc., | |||
3.30%, 3/26/27 | 78,000 | 74,151 | |
1.90%, 3/15/31 | 22,000 | 17,958 |
Par (a) | Value | ||
Technology Services (Continued) | |||
S&P Global, Inc., | |||
2.45%, 3/01/27 | $150,000 | $ 138,837 | |
1.25%, 8/15/30 | 110,000 | 86,928 | |
2.90%, 3/01/32 | 90,000 | 76,126 | |
Sabre GLBL, Inc., 11.25%, 12/15/27(b) | 47,000 | 43,926 | |
Verisk Analytics, Inc., 4.00%, 6/15/25 | 83,000 | 81,305 | |
1,417,948 | |||
Telecommunications – 0.4% | |||
AT&T, Inc., | |||
1.70%, 3/25/26 | 373,000 | 347,357 | |
4.35%, 3/01/29 | 2,000 | 1,908 | |
Cogent Communications Group, Inc., 7.00%, 6/15/27(b) | 41,000 | 40,475 | |
Consolidated Communications, Inc., 6.50%, 10/01/28(b) | 87,000 | 75,388 | |
Frontier Communications Holdings LLC, | |||
5.88%, 10/15/27(b) | 10,000 | 9,592 | |
6.75%, 5/01/29(b) | 59,000 | 51,886 | |
8.75%, 5/15/30(b) | 10,000 | 10,181 | |
8.63%, 3/15/31(b) | 114,000 | 115,137 | |
Hughes Satellite Systems Corp., | |||
5.25%, 8/01/26 | 50,000 | 41,399 | |
6.63%, 8/01/26 | 25,000 | 14,348 | |
Sprint Capital Corp., 8.75%, 3/15/32 | 30,000 | 35,422 | |
T-Mobile USA, Inc., | |||
2.88%, 2/15/31 | 99,000 | 84,149 | |
5.15%, 4/15/34 | 45,000 | 43,328 | |
Verizon Communications, Inc., 3.00%, 3/22/27 | 100,000 | 93,740 | |
964,310 | |||
Tobacco & Cannabis – 0.5% | |||
Altria Group, Inc., | |||
2.35%, 5/06/25 | 260,000 | 251,440 | |
3.40%, 5/06/30 | 30,000 | 26,617 | |
2.45%, 2/04/32 | 190,000 | 149,999 | |
6.88%, 11/01/33 | 110,000 | 116,190 | |
Philip Morris International, Inc., | |||
3.38%, 8/15/29 | 15,000 | 13,672 | |
5.63%, 11/17/29 | 274,000 | 276,315 | |
2.10%, 5/01/30 | 60,000 | 49,658 | |
5.75%, 11/17/32 | 25,000 | 25,170 | |
5.38%, 2/15/33 | 80,000 | 78,409 |
Par (a) | Value | ||
Tobacco & Cannabis (Continued) | |||
Philip Morris International, Inc., | |||
5.63%, 9/07/33 | $ 90,000 | $ 89,491 | |
Vector Group Ltd., 5.75%, 2/01/29(b) | 60,000 | 54,537 | |
1,131,498 | |||
Transportation & Logistics – 0.2% | |||
American Airlines, Inc., | |||
7.25%, 2/15/28(b) | 2,000 | 2,011 | |
8.50%, 5/15/29(b) | 25,000 | 26,042 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., | |||
5.50%, 4/20/26(b) | 13,333 | 13,179 | |
5.75%, 4/20/29(b) | 99,000 | 95,607 | |
GN Bondco LLC, 9.50%, 10/15/31(b) | 47,000 | 45,135 | |
Ryder System, Inc., | |||
5.65%, 3/01/28 | 50,000 | 50,273 | |
6.60%, 12/01/33 | 63,000 | 66,129 | |
United Airlines, Inc., | |||
4.38%, 4/15/26(b) | 47,000 | 45,208 | |
4.63%, 4/15/29(b) | 106,000 | 97,693 | |
United Parcel Service, Inc., 4.45%, 4/01/30 | 15,000 | 14,476 | |
455,753 | |||
Transportation Equipment – 0.0%(d) | |||
JB Poindexter & Co., Inc., 8.75%, 12/15/31(b) | 35,000 | 35,762 | |
Westinghouse Air Brake Technologies Corp., 5.61%, 3/11/34 | 60,000 | 58,983 | |
94,745 | |||
Total Corporate Bonds (Cost $42,903,127) | 41,949,232 | ||
Foreign Issuer Bonds – 3.0% | |||
Australia – 0.2% | |||
BHP Billiton Finance USA Ltd., | |||
4.75%, 2/28/28 | 270,000 | 264,941 | |
4.90%, 2/28/33 | 65,000 | 62,385 | |
Mineral Resources Ltd., | |||
8.13%, 5/01/27(b) | 59,000 | 59,554 | |
8.00%, 11/01/27(b) | 8,000 | 8,091 | |
9.25%, 10/01/28(b) | 28,000 | 29,353 | |
8.50%, 5/01/30(b) | 60,000 | 61,450 | |
Rio Tinto Finance USA Ltd., 7.13%, 7/15/28 | 8,000 | 8,546 | |
494,320 |
Par (a) | Value | ||
Austria – 0.0%(d) | |||
Benteler International A.G., 10.50%, 5/15/28(b) | $ 15,000 | $ 15,969 | |
Bermuda – 0.0%(d) | |||
RenaissanceRe Holdings Ltd., 5.75%, 6/05/33 | 81,000 | 78,956 | |
Canada – 0.7% | |||
1011778 B.C. ULC/New Red Finance, Inc., 4.00%, 10/15/30(b) | 35,000 | 30,183 | |
Bank of Montreal, | |||
3.70%, 6/07/25 | 215,000 | 210,566 | |
5.72%, 9/25/28 | 50,000 | 50,559 | |
Bank of Nova Scotia (The), | |||
1.05%, 3/02/26 | 65,000 | 59,943 | |
1.35%, 6/24/26 | 156,000 | 143,085 | |
Baytex Energy Corp., 8.50%, 4/30/30(b) | 75,000 | 78,196 | |
Brookfield Finance, Inc., 6.35%, 1/05/34 | 50,000 | 51,383 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.88%, 2/15/30(b) | 60,000 | 51,927 | |
Canadian Imperial Bank of Commerce, 3.95%, 8/04/25 | 50,000 | 48,972 | |
Canadian National Railway Co., 3.85%, 8/05/32 | 60,000 | 54,107 | |
Canadian Natural Resources Ltd., 2.05%, 7/15/25 | 80,000 | 76,451 | |
Dye & Durham Ltd., 8.63%, 4/15/29(b) | 24,000 | 24,235 | |
Enbridge, Inc., | |||
4.25%, 12/01/26 | 60,000 | 58,160 | |
5.63%, 4/05/34 | 35,000 | 34,243 | |
Fairfax Financial Holdings Ltd., | |||
3.38%, 3/03/31 | 25,000 | 21,366 | |
5.63%, 8/16/32 | 70,000 | 67,946 | |
goeasy Ltd., | |||
9.25%, 12/01/28(b) | 50,000 | 52,792 | |
7.63%, 7/01/29(b) | 50,000 | 49,990 | |
NOVA Chemicals Corp., 9.00%, 2/15/30(b) | 35,000 | 36,064 | |
Royal Bank of Canada, | |||
1.20%, 4/27/26 | 70,000 | 64,408 | |
2.05%, 1/21/27 | 100,000 | 91,789 | |
5.20%, 8/01/28 | 40,000 | 39,771 | |
Strathcona Resources Ltd., 6.88%, 8/01/26(b) | 33,000 | 32,681 |
Par (a) | Value | ||
Canada (Continued) | |||
Taseko Mines Ltd., 8.25%, 5/01/30(b) | $ 39,000 | $ 39,623 | |
Toronto-Dominion Bank (The), | |||
3.77%, 6/06/25 | 62,000 | 60,793 | |
0.75%, 1/06/26 | 100,000 | 92,534 | |
4.69%, 9/15/27 | 40,000 | 39,080 | |
1,660,847 | |||
Chile – 0.0%(d) | |||
Mercury Chile Holdco LLC, 6.50%, 1/24/27(b) | 22,000 | 21,136 | |
Finland – 0.0%(d) | |||
Amer Sports Co., 6.75%, 2/16/31(b) | 9,000 | 8,863 | |
France – 0.0%(d) | |||
Calderys Financing LLC, 11.25%, 6/01/28(b) | 4,000 | 4,247 | |
TotalEnergies Capital S.A., 5.15%, 4/05/34 | 60,000 | 59,121 | |
63,368 | |||
Germany – 0.1% | |||
Deutsche Bank A.G., (SOFR + 1.59%), 5.71%, 2/08/28(k) | 195,000 | 193,177 | |
IHO Verwaltungs GmbH, 4.75%, 9/15/26(b)(j) | 25,000 | 24,074 | |
217,251 | |||
Ghana – 0.1% | |||
Kosmos Energy Ltd., | |||
7.13%, 4/04/26(b) | 64,000 | 61,851 | |
7.50%, 3/01/28(b) | 47,000 | 44,894 | |
106,745 | |||
Ireland – 0.2% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, | |||
6.10%, 1/15/27 | 150,000 | 151,170 | |
5.10%, 1/19/29 | 150,000 | 146,301 | |
Cimpress PLC, 7.00%, 6/15/26 | 20,000 | 19,845 | |
GGAM Finance Ltd., 8.00%, 2/15/27(b) | 15,000 | 15,373 | |
332,689 | |||
Israel – 0.0%(d) | |||
Energean PLC, 6.50%, 4/30/27(b) | 50,000 | 46,500 |
Par (a) | Value | ||
Italy – 0.0%(d) | |||
Intesa Sanpaolo S.p.A., (1Y US Treasury CMT + 2.75%), 4.95%, 6/01/42(b)(k) | $ 76,000 | $ 54,647 | |
UniCredit S.p.A., (5Y USD Swap Rate + 4.91%), 7.30%, 4/02/34(b)(k) | 25,000 | 25,211 | |
79,858 | |||
Japan – 0.6% | |||
Honda Motor Co. Ltd., 2.53%, 3/10/27 | 70,000 | 64,962 | |
Mitsubishi UFJ Financial Group, Inc., | |||
(1Y US Treasury CMT + 1.70%), 4.79%, 7/18/25(k) | 200,000 | 199,434 | |
(1Y US Treasury CMT + 0.83%), 2.34%, 1/19/28(k) | 275,000 | 252,235 | |
Mizuho Financial Group, Inc., (1Y US Treasury CMT + 1.90%), 5.75%, 7/06/34(k) | 200,000 | 199,205 | |
Nomura Holdings, Inc., 1.85%, 7/16/25 | 200,000 | 190,289 | |
Rakuten Group, Inc., | |||
(5Y US Treasury CMT + 4.58%), 5.13%, 4/22/26(b)(k)(m) | 20,000 | 16,465 | |
11.25%, 2/15/27(b) | 93,000 | 96,581 | |
9.75%, 4/15/29(b) | 42,000 | 41,594 | |
(5Y US Treasury CMT + 4.96%), 6.25%, 4/22/31(b)(k)(m) | 20,000 | 14,296 | |
Sumitomo Mitsui Financial Group, Inc., 1.40%, 9/17/26 | 200,000 | 181,613 | |
1,256,674 | |||
Jersey, C.I. – 0.1% | |||
Aston Martin Capital Holdings Ltd., 10.00%, 3/31/29(b) | 93,000 | 91,084 | |
Mexico – 0.0%(d) | |||
Borr IHC Ltd./Borr Finance LLC, | |||
10.00%, 11/15/28(b) | 60,000 | 62,024 | |
10.38%, 11/15/30(b) | 25,000 | 25,963 | |
87,987 | |||
Netherlands – 0.0%(d) | |||
Sunrise FinCo I B.V., 4.88%, 7/15/31(b) | 50,000 | 43,539 |
Par (a) | Value | ||
Norway – 0.0%(d) | |||
Seadrill Finance Ltd., 8.38%, 8/01/30(b) | $ 50,000 | $ 52,089 | |
South Africa – 0.1% | |||
Sasol Financing USA LLC, | |||
6.50%, 9/27/28 | 34,000 | 32,286 | |
8.75%, 5/03/29(b) | 20,000 | 20,112 | |
5.50%, 3/18/31 | 92,000 | 76,464 | |
Stillwater Mining Co., | |||
4.00%, 11/16/26(b) | 66,000 | 58,854 | |
4.50%, 11/16/29(b) | 64,000 | 50,186 | |
237,902 | |||
Spain – 0.3% | |||
Banco Santander S.A., 5.59%, 8/08/28 | 600,000 | 596,534 | |
Switzerland – 0.0%(d) | |||
Novartis Capital Corp., 2.20%, 8/14/30 | 10,000 | 8,459 | |
Turkey – 0.0%(d) | |||
Eldorado Gold Corp., 6.25%, 9/01/29(b) | 55,000 | 51,795 | |
United Kingdom – 0.5% | |||
BAT Capital Corp., 6.34%, 8/02/30 | 96,000 | 98,427 | |
BAT International Finance PLC, 4.45%, 3/16/28 | 20,000 | 19,131 | |
Diageo Capital PLC, 5.50%, 1/24/33 | 260,000 | 262,039 | |
HSBC Holdings PLC, | |||
(SOFR + 1.43%), 3.00%, 3/10/26(k) | 200,000 | 194,997 | |
(SOFR + 1.97%), 6.16%, 3/09/29(k) | 200,000 | 202,261 | |
Lloyds Banking Group PLC, 4.58%, 12/10/25 | 200,000 | 195,159 | |
Macquarie Airfinance Holdings Ltd., 8.13%, 3/30/29(b) | 15,000 | 15,685 | |
Vodafone Group PLC, (5Y US Treasury CMT + 3.07%), 5.13%, 6/04/81(k) | 63,000 | 46,144 | |
1,033,843 | |||
Zambia – 0.1% | |||
First Quantum Minerals Ltd., 9.38%, 3/01/29(b) | 95,000 | 98,152 | |
Total Foreign Issuer Bonds (Cost $6,831,728) | 6,684,560 |
Par (a) | Value | ||
Mortgage-Backed Securities – 10.8% | |||
Federal Home Loan Mortgage Corporation – 0.1% | |||
Pool, | |||
3.00%, 7/01/46 - 12/01/47 | $ 259,050 | $ 219,924 | |
4.50%, 4/01/49 | 36,492 | 34,195 | |
2.50%, 6/01/50 - 7/01/50 | 64,818 | 52,086 | |
2.00%, 10/01/50 | 53,516 | 41,038 | |
347,243 | |||
Federal Home Loan Mortgage Corporation Gold – 0.1% | |||
Pool, 3.00%, 3/01/46 - 12/01/46 | 208,677 | 177,418 | |
Federal National Mortgage Association – 0.8% | |||
Pool, | |||
3.50%, 8/01/45 - 1/01/49 | 78,021 | 68,812 | |
4.00%, 9/01/48 - 3/01/51 | 529,966 | 480,163 | |
3.00%, 11/01/48 | 16,737 | 14,123 | |
4.50%, 1/01/49 | 7,651 | 7,175 | |
2.50%, 10/01/50 - 12/01/51 | 355,340 | 286,016 | |
2.00%, 2/01/51 - 11/01/51 | 495,258 | 378,796 | |
5.00%, 2/01/53 - 4/01/53 | 328,829 | 311,995 | |
5.50%, 2/01/53 | 182,213 | 178,722 | |
1,725,802 | |||
Government National Mortgage Association – 0.9% | |||
Pool, | |||
2.00%, 5/15/54(c) | 1,175,000 | 924,451 | |
2.50%, 5/15/54(c) | 200,000 | 163,938 | |
3.00%, 5/15/54(c) | 325,000 | 276,441 | |
3.50%, 5/15/54(c) | 575,000 | 506,451 | |
4.50%, 5/15/54(c) | 25,000 | 23,281 | |
5.00%, 5/15/54(c) | 100,000 | 95,719 | |
5.50%, 5/15/54(c) | 100,000 | 98,032 | |
2,088,313 | |||
Government National Mortgage Association II – 0.2% | |||
Pool, | |||
2.50%, 12/20/46 - 2/20/51 | 276,460 | 224,420 | |
4.50%, 9/20/48 - 1/20/50 | 102,701 | 96,941 | |
3.00%, 1/20/50 - 7/20/50 | 248,932 | 212,569 | |
533,930 |
Par (a) | Value | ||
Uniform Mortgage-Backed Securities – 1.7% | |||
Pool, | |||
2.00%, 5/01/38 - 5/01/53(c) | $ 850,000 | $ 662,819 | |
4.00%, 5/01/38 - 5/01/53(c) | 200,000 | 182,959 | |
2.50%, 5/01/39 - 5/01/53(c) | 1,615,000 | 1,331,743 | |
3.00%, 5/01/39 - 5/01/53(c) | 275,000 | 237,226 | |
3.50%, 5/01/39 - 5/01/53(c) | 575,000 | 497,211 | |
4.50%, 5/01/53(c) | 350,000 | 322,495 | |
6.50%, 5/01/53(c) | 100,000 | 100,754 | |
6.00%, 5/01/54(c) | 425,000 | 421,049 | |
3,756,256 | |||
Whole Loan – 7.0% | |||
Connecticut Avenue Securities Trust, | |||
Series 2022-R04, Class 1B1, (30D Average SOFR + 5.25%), 10.58%, 3/25/42(b)(i) | 250,000 | 271,647 | |
Series 2024-R02, Class 1B1, (30D Average SOFR + 2.50%, 2.50% Floor), 7.83%, 2/25/44(b)(i) | 220,000 | 221,696 | |
FNMA Connecticut Avenue Securities, | |||
Series 2018-C03, Class 1EB2, (30D Average SOFR + 0.96%, 0.85% Floor), 6.29%, 10/25/30(i) | 145,334 | 145,467 | |
Series 2019-R01, Class 2M2, (30D Average SOFR + 2.56%), 7.89%, 7/25/31(b)(i) | 26,125 | 26,158 | |
Series 2019-R01, Class 2M2C, (30D Average SOFR + 2.56%), 7.89%, 7/25/31(b)(i) | 46,018 | 46,063 | |
Series 2020-R01, Class 1B1, (30D Average SOFR + 3.36%, 3.25% Floor), 8.69%, 1/25/40(b)(i) | 100,870 | 104,653 | |
Series 2020-SBT1, Class 1M2, (30D Average SOFR + 3.76%), 9.09%, 2/25/40(b)(i) | 625,000 | 665,281 | |
Series 2020-SBT1, Class 2M2, (30D Average SOFR + 3.76%), 9.09%, 2/25/40(b)(i) | 245,000 | 261,081 | |
Series 2021-R01, Class 1B1, (30D Average SOFR + 3.10%), 8.43%, 10/25/41(b)(i) | 380,200 | 390,254 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
FNMA Connecticut Avenue Securities, | |||
Series 2021-R01, Class 1M2, (30D Average SOFR + 1.55%), 6.88%, 10/25/41(b)(i) | $188,837 | $189,226 | |
Series 2021-R02, Class 2B1, (30D Average SOFR + 3.30%), 8.63%, 11/25/41(b)(i) | 500,000 | 514,784 | |
Series 2021-R02, Class 2M1, (30D Average SOFR + 0.90%), 6.23%, 11/25/41(b)(i) | 280,765 | 280,764 | |
Series 2021-R02, Class 2M2, (30D Average SOFR + 2.00%), 7.33%, 11/25/41(b)(i) | 275,000 | 276,031 | |
Series 2021-R03, Class 1B1, (30D Average SOFR + 2.75%, 2.75% Floor), 8.08%, 12/25/41(b)(i) | 250,000 | 255,400 | |
Series 2022-R01, Class 1B1, (30D Average SOFR + 3.15%), 8.48%, 12/25/41(b)(i) | 550,000 | 566,813 | |
Series 2022-R02, Class 2B1, (30D Average SOFR + 4.50%), 9.83%, 1/25/42(b)(i) | 536,000 | 563,470 | |
Series 2022-R02, Class 2M2, (30D Average SOFR + 3.00%), 8.33%, 1/25/42(b)(i) | 700,000 | 717,890 | |
Series 2022-R03, Class 1B1, (30D Average SOFR + 6.25%), 11.58%, 3/25/42(b)(i) | 450,000 | 500,277 | |
Series 2022-R05, Class 2M2, (30D Average SOFR + 3.00%), 8.33%, 4/25/42(b)(i) | 200,000 | 206,250 | |
Series 2022-R07, Class 1M1, (30D Average SOFR + 2.95%), 8.28%, 6/25/42(b)(i) | 401,790 | 414,580 | |
Series 2022-R08, Class 1M1, (30D Average SOFR + 2.55%, 2.55% Floor), 7.88%, 7/25/42(b)(i) | 174,105 | 178,893 | |
Freddie Mac STACR Debt Notes, | |||
Series 2016-DNA4, Class M3, (30D Average SOFR + 3.91%), 9.24%, 3/25/29(i) | 346,873 | 361,615 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Freddie Mac STACR Debt Notes, | |||
Series 2017-HQA3, Class M2, (30D Average SOFR + 2.46%), 7.79%, 4/25/30(i) | $429,831 | $443,293 | |
Freddie Mac STACR REMIC Trust, | |||
Series 2021-DNA1, Class B1, (30D Average SOFR + 2.65%), 7.98%, 1/25/51(b)(i) | 200,000 | 212,153 | |
Series 2021-DNA2, Class B1, (30D Average SOFR + 3.40%), 8.73%, 8/25/33(b)(i) | 200,000 | 219,562 | |
Series 2021-DNA3, Class B1, (30D Average SOFR + 3.50%), 8.83%, 10/25/33(b)(i) | 250,000 | 277,033 | |
Series 2021-DNA3, Class M2, (30D Average SOFR + 2.10%), 7.43%, 10/25/33(b)(i) | 30,000 | 30,647 | |
Series 2021-DNA5, Class B1, (30D Average SOFR + 3.05%), 8.38%, 1/25/34(b)(i) | 284,414 | 300,680 | |
Series 2021-DNA5, Class M2, (30D Average SOFR + 1.65%), 6.98%, 1/25/34(b)(i) | 514,570 | 517,143 | |
Series 2021-DNA6, Class B1, (30D Average SOFR + 3.40%), 8.73%, 10/25/41(b)(i) | 700,000 | 722,198 | |
Series 2021-DNA7, Class B1, (30D Average SOFR + 3.65%), 8.98%, 11/25/41(b)(i) | 510,000 | 530,434 | |
Series 2021-DNA7, Class M1, (30D Average SOFR + 0.85%), 6.18%, 11/25/41(b)(i) | 203,760 | 203,759 | |
Series 2021-HQA1, Class B1, (30D Average SOFR + 3.00%), 8.33%, 8/25/33(b)(i) | 379,000 | 408,255 | |
Series 2021-HQA3, Class B1, (30D Average SOFR + 3.35%), 8.68%, 9/25/41(b)(i) | 150,000 | 154,407 | |
Series 2021-HQA3, Class M2, (30D Average SOFR + 2.10%), 7.43%, 9/25/41(b)(i) | 355,000 | 355,667 |
Par (a) | Value | ||
Whole Loan (Continued) | |||
Freddie Mac STACR REMIC Trust, | |||
Series 2021-HQA4, Class B1, (30D Average SOFR + 3.75%), 9.08%, 12/25/41(b)(i) | $750,000 | $ 773,512 | |
Series 2022-DNA2, Class M2, (30D Average SOFR + 3.75%), 9.08%, 2/25/42(b)(i) | 300,000 | 314,918 | |
Series 2022-DNA3, Class M1A, (30D Average SOFR + 2.00%), 7.33%, 4/25/42(b)(i) | 598,599 | 604,962 | |
Series 2022-DNA3, Class M2, (30D Average SOFR + 4.35%), 9.68%, 4/25/42(b)(i) | 271,000 | 289,292 | |
Series 2022-DNA5, Class M1A, (30D Average SOFR + 2.95%), 8.28%, 6/25/42(b)(i) | 644,460 | 663,685 | |
Series 2022-DNA6, Class M1A, (30D Average SOFR + 2.15%), 7.48%, 9/25/42(b)(i) | 308,928 | 313,054 | |
Series 2022-DNA7, Class M2, (30D Average SOFR + 7.00%), 12.33%, 3/25/52(b)(i) | 250,000 | 288,202 | |
Series 2022-HQA1, Class M1A, (30D Average SOFR + 2.10%), 7.43%, 3/25/42(b)(i) | 418,357 | 421,758 | |
Series 2022-HQA1, Class M2, (30D Average SOFR + 5.25%), 10.58%, 3/25/42(b)(i) | 282,000 | 305,090 | |
Series 2022-HQA2, Class M1A, (30D Average SOFR + 2.65%), 7.98%, 7/25/42(b)(i) | 255,378 | 261,604 | |
15,769,601 | |||
Total Mortgage-Backed Securities (Cost $24,584,750) | 24,398,563 |
Number of Shares | |||
Preferred Stocks – 1.6% | |||
Specialty Finance – 1.6% | |||
AGNC Investment Corp., 6.13%(i) | 21,599 | 504,553 | |
AGNC Investment Corp. (NASDAQ Exchange), 6.50%(i) | 3,228 | 78,860 |
Number of Shares | Value | ||
Specialty Finance (Continued) | |||
Annaly Capital Management, Inc., 6.75%(i) | 16,561 | $ 415,516 | |
Granite Point Mortgage Trust, Inc., 7.00%(i) | 1,623 | 27,591 | |
MFA Financial, Inc., 6.50%(i) | 41,438 | 917,852 | |
New York Mortgage Trust, Inc., 7.88%(i) | 2,103 | 49,336 | |
New York Mortgage Trust, Inc. (NASDAQ Exchange), 6.88%(i) | 21,682 | 426,051 | |
Redwood Trust, Inc., 10.00%(i) | 7,133 | 174,594 | |
Rithm Capital Corp., 7.13%(i) | 2,335 | 57,698 | |
Rithm Capital Corp. (New York Exchange), 6.38%(i) | 43,302 | 981,656 | |
Total Preferred Stocks (Cost $3,573,639) | 3,633,707 | ||
Rights – 0.1% | |||
Biotechnology & Pharmaceuticals – 0.1% | |||
Albireo Pharma CVR(g)(n)* | 21,904 | 52,605 | |
CinCor Pharma CVR(g)(n)* | 24,888 | 85,271 | |
Concert Pharmaceuticals, Inc. CVR(g)(n)* | 97,290 | 40,181 | |
178,057 | |||
Forestry, Paper & Wood Products – 0.0%(d) | |||
Resolute Forest CVR(g)(n)* | 44,100 | 69,969 | |
Medical Equipment & Devices – 0.0%(d) | |||
Abiomed, Inc. CVR(g)(n)* | 8,954 | 15,669 | |
Total Rights (Cost $—) | 263,695 | ||
Investment Companies – 0.1% | |||
ProShares Short 20+ Year Treasury ETF | 8,969 | 223,687 | |
Total Investment Companies (Cost $212,702) | 223,687 |
Par (a)/Number of Shares | |||
Short-Term Investments – 11.4% | |||
Asset Management – 0.0%(d) | |||
Brookfield Corp., 4.00%, 1/15/25 | $50,000 | 49,403 |
Par (a)/Number of Shares | Value | ||
Convertible Bonds – 4.7% | |||
Alteryx, Inc., 0.50%, 8/01/24 | $ 345,000 | $ 342,413 | |
Chegg, Inc., 0.13%, 3/15/25(f) | 1,075,000 | 1,003,512 | |
i3 Verticals LLC, 1.00%, 2/15/25(f) | 1,035,000 | 991,530 | |
Jazz Investments I Ltd., 1.50%, 8/15/24(f) | 853,000 | 841,484 | |
Kaman Corp., 3.25%, 5/01/24(f) | 705,000 | 704,859 | |
Liberty Latin America Ltd., 2.00%, 7/15/24 | 327,000 | 317,517 | |
MFA Financial, Inc., 6.25%, 6/15/24(f) | 2,354,000 | 2,347,939 | |
NextEra Energy Partners L.P., 0.00%, 6/15/24(b)(h) | 740,000 | 732,970 | |
PennyMac Corp., 5.50%, 11/01/24(f) | 1,900,000 | 1,871,500 | |
Turning Point Brands, Inc., 2.50%, 7/15/24 | 524,000 | 519,757 | |
Uniti Fiber Holdings, Inc., 4.00%, 6/15/24(b) | 1,023,000 | 1,006,703 | |
10,680,184 | |||
Corporate Bonds – 0.4% | |||
Aetna, Inc., 3.50%, 11/15/24 | 40,000 | 39,513 | |
American Tower Corp., 2.95%, 1/15/25 | 105,000 | 102,869 | |
Black Hills Corp., 1.04%, 8/23/24 | 10,000 | 9,848 | |
Blackstone Private Credit Fund, 2.70%, 1/15/25 | 60,000 | 58,526 | |
CDW LLC/CDW Finance Corp., 5.50%, 12/01/24 | 40,000 | 39,840 | |
Corebridge Financial, Inc., 3.50%, 4/04/25 | 10,000 | 9,790 | |
eBay, Inc., 1.90%, 3/11/25 | 50,000 | 48,450 | |
Energy Transfer L.P., 4.05%, 3/15/25 | 30,000 | 29,542 | |
Eversource Energy, | |||
4.20%, 6/27/24 | 85,000 | 84,780 | |
2.90%, 10/01/24 | 50,000 | 49,388 | |
General Mills, Inc., 4.00%, 4/17/25 | 30,000 | 29,531 | |
Genuine Parts Co., 1.75%, 2/01/25 | 90,000 | 87,280 | |
Humana, Inc., 4.50%, 4/01/25 | 57,000 | 56,337 | |
MPLX L.P., 4.88%, 12/01/24 | 12,000 | 11,923 | |
Omega Healthcare Investors, Inc., 4.50%, 1/15/25 | 50,000 | 49,484 |
Par (a)/Number of Shares | Value | ||
Corporate Bonds (Continued) | |||
ONEOK, Inc., 2.75%, 9/01/24 | $ 50,000 | $ 49,470 | |
T-Mobile USA, Inc., 3.50%, 4/15/25 | 125,000 | 122,388 | |
VMware LLC, 1.00%, 8/15/24 | 65,000 | 64,078 | |
943,037 | |||
Metals & Mining – 0.0%(d) | |||
Southern Copper Corp., 3.88%, 4/23/25 | 5,000 | 4,905 | |
Money Market Fund – 5.9% | |||
Northern Institutional Funds - Treasury Portfolio (Premier), 5.14%(o) | 13,257,606 | 13,257,606 | |
Mortgage-Backed Securities – 0.2% | |||
FNMA Connecticut Avenue Securities, Series 2014-C03, Class 1M2, (30D Average SOFR + 3.11%, 3.00% Floor), 8.44%, 7/25/24(i) | 476,703 | 479,280 | |
Tobacco & Cannabis – 0.0%(d) | |||
BAT Capital Corp., 3.22%, 8/15/24 | 57,000 | 56,518 | |
U.S. Treasury Bills – 0.2% | |||
U.S. Treasury Bills, 5.13%, 5/23/24(p) | 363,000 | 361,829 | |
Total Short-Term Investments (Cost $25,919,891) | 25,832,762 |
Number of Contracts | Notional Amount | ||
Purchased Options – 0.0%(d) | |||
Call Options - Over the Counter – 0.0%(d) | |||
Canadian Dollar vs. U.S. Dollar, Strike Price CAD 1.38, Expires 8/16/24, Counterparty: Morgan Stanley | 1 | 240,194 | 2,295 |
Japanese Yen vs. U.S. Dollar, Strike Price 146.00, Expires 5/17/24, Counterparty: Morgan Stanley | 1 | 76,100 | 5,446 |
7,741 | |||
Put Options - Exchange Traded – 0.0%(d) | |||
Capri Holdings Ltd, Strike Price USD 37.50, Expires 5/17/24 | 345 | 1,224,060 | 82,800 |
Number of Contracts | Notional Amount | Value | |
Put Options - Over the Counter – 0.0%(d) | |||
U.S. Dollar vs. Euro, Strike Price USD 1.07, Expires 5/24/24, Counterparty: Bank of America | 1 | 139,676(q) | $ 1,045 |
Total Purchased Options (Premiums Paid $33,750) | 91,586 | ||
Total Long Positions – 101.5% (Cost $233,098,642) | 229,362,145 |
Number of Shares | Value | ||
Short Positions – (11.9)%(r) | |||
Common Stocks – (11.9)% | |||
Advertising & Marketing – (0.1)% | |||
Cardlytics, Inc. | (11,745) | (143,876) | |
Asset Management – (0.4)% | |||
Apollo Global Management, Inc. | (1,793) | (194,325) | |
WisdomTree, Inc. | (74,142) | (659,864) | |
(854,189) | |||
Biotechnology & Pharmaceuticals – (0.7)% | |||
Bridgebio Pharma, Inc. | (2,797) | (71,659) | |
Coherus Biosciences, Inc. | (13,577) | (26,611) | |
Collegium Pharmaceutical, Inc. | (27,001) | (997,147) | |
Halozyme Therapeutics, Inc. | (3,637) | (138,570) | |
Mirum Pharmaceuticals, Inc. | (13,247) | (332,632) | |
Revance Therapeutics, Inc. | (10,577) | (38,183) | |
(1,604,802) | |||
Cable & Satellite – (0.0)%(d) | |||
Cable One, Inc. | (31) | (12,209) | |
E-Commerce Discretionary – (0.0)%(d) | |||
Wayfair, Inc., Class A | (1,724) | (86,459) | |
Electric Utilities – (0.4)% | |||
CenterPoint Energy, Inc. | (3,320) | (96,745) | |
Duke Energy Corp. | (2,505) | (246,141) | |
PG&E Corp. | (27,020) | (462,312) | |
(805,198) | |||
Entertainment Content – (0.4)% | |||
Sphere Entertainment Co. | (22,022) | (855,775) | |
Household Products – (0.0)%(d) | |||
Beauty Health (The) Co. | (6,366) | (20,562) |
Number of Shares | Value | ||
Industrial Intermediate Products – (0.3)% | |||
Chart Industries, Inc. | (3,840) | $ (553,190) | |
Xometry, Inc., Class A | (5,766) | (103,039) | |
(656,229) | |||
Industrial Support Services – (0.3)% | |||
WillScot Mobile Mini Holdings Corp. | (17,490) | (646,430) | |
Institutional Financial Services – (0.0)%(d) | |||
Coinbase Global, Inc., Class A | (454) | (92,584) | |
Internet Media & Services – (0.1)% | |||
Airbnb, Inc., Class A | (430) | (68,185) | |
Snap, Inc., Class A | (1,251) | (18,828) | |
TripAdvisor, Inc. | (1,271) | (33,465) | |
Ziff Davis, Inc. | (923) | (46,252) | |
(166,730) | |||
Leisure Facilities & Services – (0.4)% | |||
Cheesecake Factory (The), Inc. | (3,241) | (111,879) | |
Live Nation Entertainment, Inc. | (7,017) | (623,882) | |
Marriott Vacations Worldwide Corp. | (1,661) | (159,639) | |
(895,400) | |||
Medical Equipment & Devices – (0.6)% | |||
CONMED Corp. | (1,572) | (106,865) | |
Enovis Corp. | (10,941) | (604,271) | |
Haemonetics Corp. | (930) | (85,514) | |
Integer Holdings Corp. | (4,937) | (551,117) | |
(1,347,767) | |||
Metals & Mining – (0.4)% | |||
Century Aluminum Co. | (26,523) | (460,174) | |
Equinox Gold Corp. (Canada) | (72,513) | (392,295) | |
MP Materials Corp. | (1,498) | (23,968) | |
SSR Mining, Inc. (Canada) | (8,058) | (43,191) | |
(919,628) | |||
Oil & Gas Producers – (3.7)% | |||
Chevron Corp. | (21,117) | (3,405,538) | |
Exxon Mobil Corp. | (40,166) | (4,750,433) | |
Kosmos Energy Ltd. (Ghana) | (56,461) | (320,134) | |
(8,476,105) | |||
Oil, Gas Services & Equipment – (0.8)% | |||
Schlumberger N.V. | (40,664) | (1,930,727) |
Number of Shares | Value | ||
Publishing & Broadcasting – (0.4)% | |||
Liberty Media Corp.-Liberty SiriusXM, Class A | (33,297) | $ (801,126) | |
Real Estate Investment Trusts – (0.2)% | |||
Pebblebrook Hotel Trust | (24,119) | (350,449) | |
Summit Hotel Properties, Inc. | (25,142) | (151,104) | |
(501,553) | |||
Real Estate Services – (0.0)%(d) | |||
Anywhere Real Estate, Inc. | (4,356) | (21,170) | |
Renewable Energy – (0.1)% | |||
Sunnova Energy International, Inc. | (31,549) | (132,821) | |
Sunrun, Inc. | (16,000) | (164,640) | |
(297,461) | |||
Software – (1.2)% | |||
Bentley Systems, Inc., Class B | (3,332) | (175,030) | |
Dayforce, Inc. | (1,050) | (64,438) | |
Envestnet, Inc. | (7,879) | (489,050) | |
Evolent Health, Inc., Class A | (15,471) | (429,166) | |
Jamf Holding Corp. | (2,581) | (50,252) | |
MicroStrategy, Inc., Class A | (257) | (273,713) | |
Progress Software Corp. | (4,083) | (203,415) | |
Synopsys, Inc. | (1,465) | (777,314) | |
Veradigm, Inc. | (3,379) | (26,998) | |
Verint Systems, Inc. | (4,751) | (143,860) | |
Vertex, Inc., Class A | (1,368) | (39,850) | |
(2,673,086) | |||
Specialty Finance – (0.2)% | |||
EZCORP, Inc., Class A | (29,292) | (321,626) | |
SoFi Technologies, Inc. | (11,391) | (77,231) | |
(398,857) | |||
Technology Hardware – (0.6)% | |||
Lumentum Holdings, Inc. | (1,645) | (71,985) | |
NCR Voyix Corp. | (18,292) | (224,077) | |
Super Micro Computer, Inc. | (67) | (57,540) | |
Western Digital Corp. | (14,116) | (999,836) | |
(1,353,438) |
Number of Shares | Value | ||
Technology Services – (0.1)% | |||
Block, Inc. | (609) | $ (44,457) | |
CSG Systems International, Inc. | (3,121) | (147,436) | |
I3 Verticals, Inc., Class A | (1,164) | (26,435) | |
Perficient, Inc. | (1,013) | (47,874) | |
(266,202) | |||
Transportation & Logistics – (0.2)% | |||
Air Transport Services Group, Inc. | (17,196) | (220,453) | |
American Airlines Group, Inc. | (21,473) | (290,100) | |
(510,553) | |||
Transportation Equipment – (0.3)% | |||
Greenbrier (The) Cos., Inc. | (12,115) | (598,360) | |
Total Common Stocks (Proceeds $26,637,269) | (26,936,476) | ||
Rights – 0.0%(d) | |||
Biotechnology & Pharmaceuticals — 0.0%(d) | |||
Ligand Pharmaceuticals, Inc. CVR (Switzerland Exchange)(g) | (52) | — | |
Ligand Pharmaceuticals, Inc. CVR(g) | (52) | — | |
Total Rights (Proceeds $—) | — | ||
Total Short Positions – (11.9)% (Proceeds $26,637,269) | (26,936,476) | ||
Other Assets less Liabilities – 10.4%(s) | 23,557,517 | ||
NET ASSETS – 100.0% | $225,983,186 | ||
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. As of April 30, 2024, these securities had a total value of $53,332,078 or 23.60% of net assets. |
(c) | When-Issued Security. Coupon rate was not yet in effect at April 30, 2024. |
(d) | Amount rounds to less than 0.05%. |
(e) | Security represents underlying investment on open options contracts. |
(f) | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap agreements. |
(g) | Investment is valued using significant unobservable inputs (Level 3). |
(h) | Zero coupon bond. |
(i) | Variable or floating rate security. Rate as of April 30, 2024 is disclosed. |
(j) | Distributions from this security are made via payments in-kind (PIK) unless otherwise noted in the description. |
(k) | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate as of April 30, 2024 is disclosed. |
(l) | Step coupon bond. Rate as of April 30, 2024 is disclosed. |
(m) | Perpetual bond. Maturity date represents next call date. |
(n) | Restricted securities (including private placements) - The Fund may own investment securities that have other legal or contractual limitations. At April 30, 2024, the value of restricted securities (excluding 144A issues) amounted to $263,695 or 0.12% of net assets. |
Restricted Security | Acquisition Date | Acquisition Cost | |
Abiomed, Inc. CVR | 12/23/22 | $— | |
Albireo Pharma CVR | 3/03/23 | — | |
CinCor Pharma CVR | 2/27/23 | — | |
Concert Pharmaceuticals, Inc. CVR | 3/07/23 | — | |
Resolute Forest CVR | 3/01/23 | — |
(o) | 7-day current yield as of April 30, 2024 is disclosed. |
(p) | Discount rate at the time of purchase. |
(q) | The notional amount is EUR. |
(r) | Securities sold short are not owned by the Fund. |
(s) | 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 |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
MSCI | Morgan Stanley Capital International |
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 |
SOFR | United States Secured Overnight Financing Rate |
STACR | Structured Agency Credit Risk |
USD | United States Dollar |
Futures Contracts outstanding at April 30, 2024: Exchange Traded | |||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | |||||
10-Year Australian Treasury Bond | 17 | 6/17/2024 | AUD | 1,239,253 | $ (7,422) |
Ultra 10-Year U.S. Treasury Note | 36 | 6/18/2024 | USD | 3,967,875 | (156,615) |
Ultra U.S. Treasury Bond | 30 | 6/18/2024 | USD | 3,586,875 | (247,350) |
10-Year Canadian Government Bond | 19 | 6/19/2024 | CAD | 1,614,651 | (25,865) |
E-Mini S&P 500 | 3 | 6/21/2024 | USD | 760,050 | (29,519) |
2-Year U.S. Treasury Note | 76 | 6/28/2024 | USD | 15,401,875 | (159,169) |
5-Year U.S. Treasury Note | 15 | 6/28/2024 | USD | 1,571,133 | (23,935) |
Total Long Contracts | $(649,875) | ||||
Short Contracts | |||||
Euro-Bund | (11) | 6/06/2024 | EUR | 1,527,035 | $ 10,114 |
Euro-OAT | (7) | 6/06/2024 | EUR | 937,311 | 10,639 |
10-Year U.S. Treasury Note | (162) | 6/18/2024 | USD | 17,404,875 | 434,415 |
U.S. Treasury Long Bond | (30) | 6/18/2024 | USD | 3,414,375 | 151,549 |
Long Gilt | (4) | 6/26/2024 | GBP | 478,728 | 3,776 |
Total Short Contracts | $ 610,493 | ||||
$ (39,382) |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2024: | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
6/17/24 | U.S. Dollars | 2,192,809 | Norwegian Kroner | 23,018,100 | Morgan Stanley | $ 118,110 |
6/17/24 | U.S. Dollars | 1,928,585 | British Pounds | 1,509,500 | Morgan Stanley | 41,905 |
6/20/24 | U.S. Dollars | 914,024 | New Zealand Dollars | 1,490,000 | Deutsche Bank | 36,042 |
6/20/24 | U.S. Dollars | 770,271 | Philippine Pesos | 42,700,000 | Bank of America | 31,811 |
6/20/24 | U.S. Dollars | 651,481 | Swiss Francs | 570,000 | Deutsche Bank | 27,761 |
6/20/24 | U.S. Dollars | 1,394,442 | Canadian Dollars | 1,880,000 | Morgan Stanley | 27,632 |
6/20/24 | U.S. Dollars | 1,051,750 | Australian Dollars | 1,590,000 | Morgan Stanley | 20,152 |
6/20/24 | U.S. Dollars | 498,826 | Thai Baht | 17,700,000 | Goldman Sachs | 19,255 |
6/20/24 | U.S. Dollars | 1,144,606 | Swiss Francs | 1,030,000 | Goldman Sachs | 17,534 |
6/20/24 | U.S. Dollars | 469,936 | Japanese Yen | 71,000,000 | Barclays | 16,175 |
6/20/24 | U.S. Dollars | 935,841 | Czech Republic Koruna | 21,700,000 | Goldman Sachs | 14,917 |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2024: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
6/20/24 | U.S. Dollars | 633,755 | Euro | 580,000 | Morgan Stanley | $ 13,436 |
6/20/24 | U.S. Dollars | 385,823 | South Korean Won | 515,269,190 | Barclays | 13,100 |
6/20/24 | U.S. Dollars | 481,764 | South Korean Won | 649,730,810 | JPMorgan Chase | 11,777 |
6/20/24 | U.S. Dollars | 299,300 | Japanese Yen | 45,000,000 | Morgan Stanley | 11,705 |
6/20/24 | U.S. Dollars | 343,897 | Brazilian Reals | 1,740,000 | Goldman Sachs | 10,485 |
6/20/24 | U.S. Dollars | 355,154 | Polish Zloty | 1,400,000 | Morgan Stanley | 10,237 |
6/20/24 | U.S. Dollars | 273,898 | Taiwan Dollars | 8,600,000 | Goldman Sachs | 10,131 |
6/17/24 | U.S. Dollars | 577,054 | Euro | 530,310 | Morgan Stanley | 9,955 |
6/20/24 | U.S. Dollars | 697,022 | British Pounds | 550,000 | Morgan Stanley | 9,582 |
6/20/24 | U.S. Dollars | 829,177 | Swiss Francs | 750,000 | Morgan Stanley | 8,494 |
6/20/24 | U.S. Dollars | 382,635 | British Pounds | 300,000 | Deutsche Bank | 7,668 |
6/20/24 | U.S. Dollars | 499,614 | Euro | 460,000 | Barclays | 7,638 |
6/20/24 | U.S. Dollars | 544,396 | British Pounds | 430,000 | Citibank | 6,944 |
6/20/24 | U.S. Dollars | 279,641 | Swedish Kronor | 3,000,000 | Goldman Sachs | 6,775 |
6/20/24 | U.S. Dollars | 343,201 | Swedish Kronor | 3,700,000 | Morgan Stanley | 6,668 |
6/20/24 | U.S. Dollars | 258,887 | Norwegian Kroner | 2,800,000 | Deutsche Bank | 6,494 |
6/20/24 | U.S. Dollars | 293,953 | Czech Republic Koruna | 6,800,000 | Deutsche Bank | 5,368 |
6/20/24 | U.S. Dollars | 132,533 | Mexican Pesos | 2,200,000 | Barclays | 5,168 |
6/20/24 | U.S. Dollars | 275,130 | Brazilian Reals | 1,410,000 | Morgan Stanley | 4,951 |
6/20/24 | U.S. Dollars | 241,889 | British Pounds | 190,000 | Goldman Sachs | 4,409 |
6/20/24 | U.S. Dollars | 93,807 | Japanese Yen | 14,000,000 | Deutsche Bank | 4,333 |
6/20/24 | U.S. Dollars | 101,701 | South Korean Won | 135,000,000 | Goldman Sachs | 4,047 |
6/20/24 | U.S. Dollars | 164,163 | Polish Zloty | 650,000 | Barclays | 4,023 |
6/20/24 | U.S. Dollars | 678,601 | Australian Dollars | 1,040,000 | Citibank | 3,845 |
6/20/24 | U.S. Dollars | 90,636 | South Korean Won | 120,000,000 | Deutsche Bank | 3,834 |
6/20/24 | Czech Republic Koruna | 15,800,000 | U.S. Dollars | 666,774 | Deutsche Bank | 3,762 |
6/20/24 | U.S. Dollars | 121,831 | Swedish Kronor | 1,300,000 | Deutsche Bank | 3,589 |
6/20/24 | U.S. Dollars | 176,009 | Japanese Yen | 27,000,000 | Goldman Sachs | 3,452 |
6/20/24 | U.S. Dollars | 153,172 | Euro | 140,000 | Deutsche Bank | 3,439 |
6/20/24 | U.S. Dollars | 417,686 | Canadian Dollars | 570,000 | Barclays | 3,282 |
6/20/24 | U.S. Dollars | 223,425 | Singapore Dollars | 300,000 | Goldman Sachs | 3,116 |
6/20/24 | U.S. Dollars | 112,267 | Brazilian Reals | 570,000 | Bank of America | 3,046 |
6/20/24 | U.S. Dollars | 111,198 | Norwegian Kroner | 1,200,000 | Barclays | 3,030 |
6/20/24 | U.S. Dollars | 151,484 | Czech Republic Koruna | 3,500,000 | JPMorgan Chase | 2,947 |
6/20/24 | U.S. Dollars | 219,390 | Thai Baht | 8,000,000 | Barclays | 2,634 |
6/20/24 | South African Rand | 2,300,000 | U.S. Dollars | 119,171 | Barclays | 2,519 |
6/21/24 | Chilean Pesos | 235,000,000 | U.S. Dollars | 242,158 | Citibank | 2,501 |
6/20/24 | U.S. Dollars | 129,822 | Mexican Pesos | 2,200,000 | Morgan Stanley | 2,455 |
6/20/24 | U.S. Dollars | 112,677 | Australian Dollars | 170,000 | JPMorgan Chase | 2,380 |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2024: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
6/20/24 | U.S. Dollars | 141,383 | Euro | 130,000 | Citibank | $ 2,346 |
6/20/24 | U.S. Dollars | 96,889 | Indonesian Rupiahs | 1,540,000,000 | Morgan Stanley | 2,323 |
6/20/24 | U.S. Dollars | 88,282 | Colombian Pesos | 340,000,000 | JPMorgan Chase | 2,305 |
6/20/24 | U.S. Dollars | 102,310 | Swedish Kronor | 1,100,000 | Barclays | 2,259 |
6/20/24 | U.S. Dollars | 335,809 | Colombian Pesos | 1,320,000,000 | Barclays | 2,014 |
6/20/24 | Colombian Pesos | 2,000,000,000 | U.S. Dollars | 503,893 | Morgan Stanley | 1,855 |
6/20/24 | U.S. Dollars | 170,427 | Hungarian Forints | 62,000,000 | Goldman Sachs | 1,823 |
6/20/24 | U.S. Dollars | 86,121 | Australian Dollars | 130,000 | Goldman Sachs | 1,777 |
6/20/24 | Euro | 790,000 | U.S. Dollars | 843,154 | Barclays | 1,763 |
6/20/24 | U.S. Dollars | 126,559 | Singapore Dollars | 170,000 | Barclays | 1,717 |
6/20/24 | U.S. Dollars | 76,707 | British Pounds | 60,000 | Bank of America | 1,714 |
6/20/24 | U.S. Dollars | 146,397 | Mexican Pesos | 2,500,000 | Deutsche Bank | 1,664 |
6/20/24 | U.S. Dollars | 78,289 | Brazilian Reals | 400,000 | Barclays | 1,643 |
6/20/24 | U.S. Dollars | 100,186 | Polish Zloty | 400,000 | Goldman Sachs | 1,638 |
6/20/24 | U.S. Dollars | 439,995 | Euro | 410,000 | Bank of America | 1,494 |
6/20/24 | U.S. Dollars | 121,106 | Hungarian Forints | 44,000,000 | Barclays | 1,451 |
6/20/24 | U.S. Dollars | 125,044 | Canadian Dollars | 170,000 | Bank of America | 1,450 |
6/20/24 | Australian Dollars | 280,000 | U.S. Dollars | 180,257 | Deutsche Bank | 1,408 |
6/20/24 | Czech Republic Koruna | 3,400,000 | U.S. Dollars | 143,021 | Morgan Stanley | 1,272 |
6/20/24 | U.S. Dollars | 186,588 | Indonesian Rupiahs | 3,020,000,000 | Barclays | 1,141 |
6/21/24 | U.S. Dollars | 87,531 | Chilean Pesos | 83,000,000 | Goldman Sachs | 1,120 |
6/20/24 | U.S. Dollars | 128,878 | Hungarian Forints | 47,000,000 | Citibank | 1,065 |
6/20/24 | Brazilian Reals | 360,000 | U.S. Dollars | 67,944 | Citibank | 1,038 |
6/20/24 | U.S. Dollars | 73,713 | Canadian Dollars | 100,000 | Deutsche Bank | 1,011 |
6/20/24 | U.S. Dollars | 111,868 | Polish Zloty | 450,000 | Deutsche Bank | 1,001 |
6/20/24 | Australian Dollars | 170,000 | U.S. Dollars | 109,304 | Barclays | 993 |
6/20/24 | U.S. Dollars | 239,077 | South African Rand | 4,500,000 | JPMorgan Chase | 987 |
6/20/24 | U.S. Dollars | 118,229 | Indonesian Rupiahs | 1,910,000,000 | Bank of America | 943 |
6/20/24 | U.S. Dollars | 110,283 | Swiss Francs | 100,000 | Barclays | 859 |
6/20/24 | Canadian Dollars | 560,000 | U.S. Dollars | 406,299 | Barclays | 836 |
6/20/24 | U.S. Dollars | 33,664 | Philippine Pesos | 1,900,000 | Morgan Stanley | 805 |
6/20/24 | U.S. Dollars | 24,365 | New Zealand Dollars | 40,000 | Morgan Stanley | 795 |
6/20/24 | U.S. Dollars | 124,379 | Canadian Dollars | 170,000 | JPMorgan Chase | 785 |
6/20/24 | U.S. Dollars | 18,792 | Norwegian Kroner | 200,000 | Morgan Stanley | 764 |
6/20/24 | U.S. Dollars | 59,157 | Australian Dollars | 90,000 | Deutsche Bank | 764 |
6/20/24 | U.S. Dollars | 64,388 | Czech Republic Koruna | 1,500,000 | Bank of America | 729 |
6/20/24 | U.S. Dollars | 75,059 | Philippine Pesos | 4,300,000 | JPMorgan Chase | 694 |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2024: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
6/20/24 | U.S. Dollars | 117,005 | Canadian Dollars | 160,000 | Royal Bank Of Canada | $ 681 |
6/20/24 | U.S. Dollars | 106,339 | Thai Baht | 3,900,000 | Morgan Stanley | 671 |
6/20/24 | U.S. Dollars | 51,537 | Canadian Dollars | 70,000 | Citibank | 645 |
6/20/24 | Australian Dollars | 130,000 | U.S. Dollars | 83,704 | Bank of America | 640 |
6/20/24 | Mexican Pesos | 1,600,000 | U.S. Dollars | 92,038 | Deutsche Bank | 592 |
6/20/24 | U.S. Dollars | 312,562 | Indonesian Rupiahs | 5,080,743,258 | Deutsche Bank | 575 |
6/20/24 | South African Rand | 900,000 | U.S. Dollars | 47,074 | Goldman Sachs | 545 |
6/20/24 | U.S. Dollars | 85,401 | Czech Republic Koruna | 2,000,000 | Barclays | 523 |
6/20/24 | Australian Dollars | 170,000 | U.S. Dollars | 109,798 | Citibank | 499 |
6/20/24 | U.S. Dollars | 25,032 | Taiwan Dollars | 800,000 | Bank of America | 495 |
6/20/24 | U.S. Dollars | 32,373 | Japanese Yen | 5,000,000 | Citibank | 418 |
6/20/24 | U.S. Dollars | 100,394 | British Pounds | 80,000 | Barclays | 403 |
6/20/24 | Mexican Pesos | 1,100,000 | U.S. Dollars | 63,283 | Citibank | 400 |
6/20/24 | U.S. Dollars | 165,376 | New Zealand Dollars | 280,000 | Barclays | 386 |
6/20/24 | Czech Republic Koruna | 1,300,000 | U.S. Dollars | 54,786 | JPMorgan Chase | 385 |
6/21/24 | U.S. Dollars | 30,571 | Chilean Pesos | 29,000,000 | Bank of America | 379 |
6/20/24 | South African Rand | 800,000 | U.S. Dollars | 41,956 | Morgan Stanley | 371 |
6/21/24 | Chilean Pesos | 22,000,000 | U.S. Dollars | 22,557 | Goldman Sachs | 347 |
6/20/24 | Polish Zloty | 300,000 | U.S. Dollars | 73,585 | Deutsche Bank | 326 |
6/20/24 | U.S. Dollars | 18,457 | Swedish Kronor | 200,000 | JPMorgan Chase | 266 |
6/20/24 | British Pounds | 120,000 | U.S. Dollars | 149,726 | Citibank | 261 |
6/20/24 | U.S. Dollars | 18,288 | Norwegian Kroner | 200,000 | Goldman Sachs | 260 |
6/20/24 | British Pounds | 40,000 | U.S. Dollars | 49,741 | Morgan Stanley | 255 |
6/20/24 | Colombian Pesos | 140,000,000 | U.S. Dollars | 35,163 | Barclays | 239 |
6/20/24 | U.S. Dollars | 40,760 | Mexican Pesos | 700,000 | JPMorgan Chase | 235 |
6/20/24 | U.S. Dollars | 43,215 | Colombian Pesos | 170,000,000 | Goldman Sachs | 226 |
6/20/24 | U.S. Dollars | 114,439 | Hungarian Forints | 42,000,000 | JPMorgan Chase | 223 |
6/20/24 | U.S. Dollars | 82,709 | New Zealand Dollars | 140,000 | Goldman Sachs | 214 |
6/20/24 | U.S. Dollars | 100,917 | Indonesian Rupiahs | 1,640,000,000 | Citibank | 211 |
6/20/24 | U.S. Dollars | 79,012 | Hungarian Forints | 29,000,000 | Deutsche Bank | 149 |
6/20/24 | U.S. Dollars | 44,190 | Singapore Dollars | 60,000 | Morgan Stanley | 129 |
6/20/24 | U.S. Dollars | 36,826 | Singapore Dollars | 50,000 | JPMorgan Chase | 108 |
6/20/24 | Hungarian Forints | 9,000,000 | U.S. Dollars | 24,373 | Citibank | 101 |
6/20/24 | British Pounds | 150,000 | U.S. Dollars | 187,390 | Deutsche Bank | 94 |
6/20/24 | U.S. Dollars | 37,119 | South African Rand | 700,000 | Goldman Sachs | 83 |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2024: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
6/20/24 | U.S. Dollars | 56,404 | Hong Kong Dollars | 440,000 | Barclays | $ 69 |
6/20/24 | U.S. Dollars | 50,272 | Indian Rupees | 4,200,000 | Goldman Sachs | 58 |
6/20/24 | U.S. Dollars | 28,847 | Indonesian Rupiahs | 469,256,742 | Goldman Sachs | 32 |
Total Unrealized Appreciation | $ 667,253 | |||||
6/20/24 | U.S. Dollars | 7,256 | Canadian Dollars | 10,000 | Morgan Stanley | $ (14) |
6/20/24 | Indian Rupees | 2,500,000 | U.S. Dollars | 29,908 | Barclays | (19) |
6/20/24 | Indian Rupees | 2,900,000 | U.S. Dollars | 34,700 | Deutsche Bank | (28) |
6/20/24 | U.S. Dollars | 69,295 | Indian Rupees | 5,800,000 | JPMorgan Chase | (49) |
6/20/24 | Philippine Pesos | 2,000,000 | U.S. Dollars | 34,637 | JPMorgan Chase | (49) |
6/20/24 | U.S. Dollars | 94,513 | Indonesian Rupiahs | 1,540,000,000 | Deutsche Bank | (52) |
6/20/24 | U.S. Dollars | 37,444 | British Pounds | 30,000 | Morgan Stanley | (53) |
6/20/24 | U.S. Dollars | 48,713 | Thai Baht | 1,800,000 | Morgan Stanley | (57) |
6/20/24 | Colombian Pesos | 70,000,000 | U.S. Dollars | 17,760 | Goldman Sachs | (58) |
6/20/24 | South Korean Won | 15,444,957 | U.S. Dollars | 11,231 | Barclays | (59) |
6/17/24 | Euro | 7,930 | U.S. Dollars | 8,552 | Morgan Stanley | (73) |
6/20/24 | Singapore Dollars | 50,000 | U.S. Dollars | 36,799 | Morgan Stanley | (81) |
6/20/24 | South African Rand | 1,418,838 | U.S. Dollars | 75,151 | Barclays | (82) |
6/20/24 | Canadian Dollars | 60,000 | U.S. Dollars | 43,704 | Citibank | (83) |
6/20/24 | Indian Rupees | 5,500,000 | U.S. Dollars | 65,864 | Bank of America | (107) |
6/20/24 | Hungarian Forints | 31,000,000 | U.S. Dollars | 84,415 | JPMorgan Chase | (113) |
6/20/24 | U.S. Dollars | 50,447 | Colombian Pesos | 200,000,000 | Goldman Sachs | (127) |
6/21/24 | Chilean Pesos | 39,260,269 | U.S. Dollars | 41,022 | Goldman Sachs | (147) |
6/20/24 | U.S. Dollars | 181,663 | Euro | 170,000 | Barclays | (154) |
6/20/24 | U.S. Dollars | 164,804 | New Zealand Dollars | 280,000 | Deutsche Bank | (186) |
6/20/24 | U.S. Dollars | 49,051 | Polish Zloty | 200,000 | Goldman Sachs | (223) |
6/20/24 | Euro | 150,000 | U.S. Dollars | 160,678 | Deutsche Bank | (251) |
6/20/24 | U.S. Dollars | 238,129 | Thai Baht | 8,800,000 | Barclays | (304) |
6/20/24 | Colombian Pesos | 110,000,000 | U.S. Dollars | 28,133 | Citibank | (317) |
6/20/24 | U.S. Dollars | 62,893 | Colombian Pesos | 250,000,000 | Morgan Stanley | (325) |
6/20/24 | U.S. Dollars | 247,157 | New Zealand Dollars | 420,000 | Morgan Stanley | (327) |
6/20/24 | U.S. Dollars | 155,096 | Indian Rupees | 13,000,000 | Bank of America | (329) |
6/20/24 | South African Rand | 1,000,000 | U.S. Dollars | 53,261 | Citibank | (352) |
6/21/24 | U.S. Dollars | 18,378 | Chilean Pesos | 18,000,000 | Goldman Sachs | (362) |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2024: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
6/20/24 | South African Rand | 2,000,000 | U.S. Dollars | 106,248 | Goldman Sachs | $ (432) |
6/20/24 | Philippine Pesos | 1,100,000 | U.S. Dollars | 19,459 | Goldman Sachs | (436) |
6/20/24 | Indonesian Rupiahs | 420,000,000 | U.S. Dollars | 26,262 | Goldman Sachs | (471) |
6/20/24 | British Pounds | 30,000 | U.S. Dollars | 38,003 | Barclays | (507) |
6/20/24 | U.S. Dollars | 64,715 | Hungarian Forints | 24,000,000 | Goldman Sachs | (551) |
6/20/24 | Australian Dollars | 290,000 | U.S. Dollars | 188,752 | Citibank | (599) |
6/20/24 | Brazilian Reals | 350,000 | U.S. Dollars | 67,668 | Goldman Sachs | (602) |
6/20/24 | British Pounds | 260,000 | U.S. Dollars | 325,599 | Deutsche Bank | (627) |
6/20/24 | British Pounds | 110,000 | U.S. Dollars | 138,129 | Bank of America | (641) |
6/20/24 | Hungarian Forints | 19,000,000 | U.S. Dollars | 52,348 | Goldman Sachs | (678) |
6/20/24 | Philippine Pesos | 3,100,000 | U.S. Dollars | 54,318 | Bank of America | (706) |
6/20/24 | Taiwan Dollars | 2,000,000 | U.S. Dollars | 62,054 | Bank of America | (713) |
6/20/24 | Taiwan Dollars | 800,000 | U.S. Dollars | 25,256 | JPMorgan Chase | (719) |
6/20/24 | Australian Dollars | 140,000 | U.S. Dollars | 91,585 | Deutsche Bank | (752) |
6/20/24 | Swiss Francs | 90,000 | U.S. Dollars | 99,240 | Barclays | (759) |
6/20/24 | South African Rand | 1,611,162 | U.S. Dollars | 86,034 | Deutsche Bank | (789) |
6/20/24 | Japanese Yen | 3,000,000 | U.S. Dollars | 19,994 | Morgan Stanley | (821) |
6/21/24 | U.S. Dollars | 105,365 | Chilean Pesos | 102,000,000 | Citibank | (828) |
6/20/24 | Philippine Pesos | 5,700,000 | U.S. Dollars | 99,443 | Morgan Stanley | (866) |
6/20/24 | U.S. Dollars | 99,114 | British Pounds | 80,000 | Barclays | (878) |
6/20/24 | Hungarian Forints | 23,000,000 | U.S. Dollars | 63,457 | Deutsche Bank | (910) |
6/20/24 | Czech Republic Koruna | 2,300,000 | U.S. Dollars | 98,527 | Goldman Sachs | (917) |
6/20/24 | Canadian Dollars | 90,000 | U.S. Dollars | 66,363 | JPMorgan Chase | (930) |
6/20/24 | Taiwan Dollars | 1,500,000 | U.S. Dollars | 47,015 | Citibank | (1,010) |
6/20/24 | U.S. Dollars | 62,475 | South African Rand | 1,200,000 | Morgan Stanley | (1,016) |
6/20/24 | South African Rand | 2,400,000 | U.S. Dollars | 128,092 | Morgan Stanley | (1,110) |
6/21/24 | Chilean Pesos | 94,739,732 | U.S. Dollars | 99,815 | Citibank | (1,181) |
6/20/24 | Swiss Francs | 90,000 | U.S. Dollars | 99,706 | JPMorgan Chase | (1,225) |
6/20/24 | U.S. Dollars | 96,666 | Hungarian Forints | 36,000,000 | Deutsche Bank | (1,233) |
6/20/24 | U.S. Dollars | 152,132 | South African Rand | 2,900,000 | Barclays | (1,303) |
6/20/24 | Singapore Dollars | 140,000 | U.S. Dollars | 104,115 | JPMorgan Chase | (1,304) |
6/20/24 | Australian Dollars | 270,000 | U.S. Dollars | 176,509 | Morgan Stanley | (1,332) |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2024: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
6/20/24 | Indonesian Rupiahs | 920,000,000 | U.S. Dollars | 57,881 | Citibank | $ (1,387) |
6/20/24 | U.S. Dollars | 104,405 | South African Rand | 2,000,000 | Citibank | (1,413) |
6/20/24 | Brazilian Reals | 570,000 | U.S. Dollars | 110,647 | Barclays | (1,425) |
6/20/24 | Mexican Pesos | 1,530,000 | U.S. Dollars | 90,007 | Citibank | (1,430) |
6/20/24 | Czech Republic Koruna | 3,800,000 | U.S. Dollars | 162,705 | Bank of America | (1,437) |
6/20/24 | Czech Republic Koruna | 2,790,000 | U.S. Dollars | 119,850 | Deutsche Bank | (1,446) |
6/20/24 | Indonesian Rupiahs | 1,020,000,000 | U.S. Dollars | 64,086 | Deutsche Bank | (1,452) |
6/20/24 | Canadian Dollars | 150,000 | U.S. Dollars | 110,567 | Morgan Stanley | (1,513) |
6/20/24 | Australian Dollars | 220,000 | U.S. Dollars | 144,254 | JPMorgan Chase | (1,517) |
6/20/24 | Australian Dollars | 222,500 | U.S. Dollars | 145,881 | Barclays | (1,522) |
6/20/24 | U.S. Dollars | 202,408 | Hungarian Forints | 75,000,000 | Morgan Stanley | (1,549) |
6/20/24 | Swedish Kronor | 400,000 | U.S. Dollars | 37,936 | Bank of America | (1,554) |
6/20/24 | U.S. Dollars | 362,031 | Euro | 340,000 | Deutsche Bank | (1,604) |
6/20/24 | Indian Rupees | 17,900,000 | U.S. Dollars | 215,642 | Goldman Sachs | (1,633) |
6/20/24 | U.S. Dollars | 102,507 | Mexican Pesos | 1,800,000 | Barclays | (1,702) |
6/21/24 | Chilean Pesos | 109,000,000 | U.S. Dollars | 115,249 | Morgan Stanley | (1,768) |
6/21/24 | Chilean Pesos | 136,000,000 | U.S. Dollars | 143,473 | Deutsche Bank | (1,883) |
6/20/24 | Polish Zloty | 560,000 | U.S. Dollars | 139,862 | Morgan Stanley | (1,895) |
6/20/24 | New Zealand Dollars | 180,000 | U.S. Dollars | 107,975 | Goldman Sachs | (1,910) |
6/20/24 | Indonesian Rupiahs | 680,000,000 | U.S. Dollars | 43,800 | Barclays | (2,044) |
6/20/24 | Swedish Kronor | 900,000 | U.S. Dollars | 84,083 | Morgan Stanley | (2,223) |
6/21/24 | U.S. Dollars | 76,862 | Chilean Pesos | 76,000,000 | JPMorgan Chase | (2,262) |
6/20/24 | Swiss Francs | 230,000 | U.S. Dollars | 254,013 | Goldman Sachs | (2,337) |
6/20/24 | Mexican Pesos | 3,700,000 | U.S. Dollars | 216,575 | Morgan Stanley | (2,368) |
6/20/24 | Australian Dollars | 380,000 | U.S. Dollars | 249,347 | Goldman Sachs | (2,802) |
6/20/24 | Norwegian Kroner | 2,000,000 | U.S. Dollars | 183,361 | Goldman Sachs | (3,081) |
6/20/24 | Thai Baht | 11,100,000 | U.S. Dollars | 303,845 | Barclays | (3,096) |
6/20/24 | Philippine Pesos | 4,300,000 | U.S. Dollars | 77,665 | Barclays | (3,300) |
6/20/24 | Thai Baht | 6,900,000 | U.S. Dollars | 190,256 | Morgan Stanley | (3,305) |
6/20/24 | Canadian Dollars | 320,000 | U.S. Dollars | 236,126 | Bank of America | (3,477) |
6/20/24 | New Zealand Dollars | 390,000 | U.S. Dollars | 233,339 | Bank of America | (3,531) |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2024: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
6/20/24 | Polish Zloty | 550,000 | U.S. Dollars | 139,170 | Goldman Sachs | $ (3,666) |
6/20/24 | Taiwan Dollars | 4,800,000 | U.S. Dollars | 150,953 | Deutsche Bank | (3,733) |
6/20/24 | British Pounds | 200,000 | U.S. Dollars | 253,793 | Citibank | (3,816) |
6/20/24 | Norwegian Kroner | 1,130,000 | U.S. Dollars | 105,963 | Deutsche Bank | (4,105) |
6/20/24 | Swiss Francs | 220,000 | U.S. Dollars | 245,082 | Bank of America | (4,349) |
6/20/24 | Polish Zloty | 500,000 | U.S. Dollars | 127,589 | Barclays | (4,404) |
6/20/24 | South Korean Won | 599,555,043 | U.S. Dollars | 438,148 | JPMorgan Chase | (4,457) |
6/20/24 | U.S. Dollars | 370,508 | British Pounds | 300,000 | JPMorgan Chase | (4,459) |
6/20/24 | Australian Dollars | 690,000 | U.S. Dollars | 452,537 | Bank of America | (4,862) |
6/20/24 | British Pounds | 400,000 | U.S. Dollars | 504,845 | Goldman Sachs | (4,889) |
6/20/24 | Euro | 300,000 | U.S. Dollars | 325,852 | Goldman Sachs | (4,997) |
6/20/24 | New Zealand Dollars | 380,000 | U.S. Dollars | 229,212 | Morgan Stanley | (5,298) |
6/20/24 | Polish Zloty | 900,000 | U.S. Dollars | 227,127 | Deutsche Bank | (5,394) |
6/20/24 | Swedish Kronor | 2,300,000 | U.S. Dollars | 215,971 | Goldman Sachs | (6,775) |
6/20/24 | New Zealand Dollars | 1,130,000 | U.S. Dollars | 673,763 | Citibank | (7,911) |
6/20/24 | Mexican Pesos | 6,700,000 | U.S. Dollars | 395,839 | Barclays | (7,952) |
6/20/24 | Canadian Dollars | 630,000 | U.S. Dollars | 466,127 | Goldman Sachs | (8,100) |
6/17/24 | British Pounds | 550,200 | U.S. Dollars | 696,285 | Morgan Stanley | (8,606) |
6/20/24 | Indonesian Rupiahs | 2,880,000,000 | U.S. Dollars | 185,484 | Morgan Stanley | (8,634) |
6/20/24 | New Zealand Dollars | 680,000 | U.S. Dollars | 411,448 | Barclays | (10,759) |
6/20/24 | Swedish Kronor | 1,500,000 | U.S. Dollars | 147,554 | Deutsche Bank | (11,121) |
6/20/24 | Singapore Dollars | 900,000 | U.S. Dollars | 672,087 | Barclays | (11,162) |
6/20/24 | Canadian Dollars | 1,120,000 | U.S. Dollars | 826,390 | Barclays | (12,121) |
6/20/24 | Euro | 1,000,000 | U.S. Dollars | 1,081,820 | Barclays | (12,303) |
6/20/24 | Norwegian Kroner | 2,900,000 | U.S. Dollars | 276,109 | Morgan Stanley | (14,703) |
6/20/24 | Euro | 645,000 | U.S. Dollars | 704,547 | Morgan Stanley | (14,710) |
6/20/24 | Japanese Yen | 56,000,000 | U.S. Dollars | 377,040 | Barclays | (19,144) |
6/20/24 | Singapore Dollars | 1,480,000 | U.S. Dollars | 1,116,766 | Citibank | (29,911) |
6/20/24 | Brazilian Reals | 3,760,000 | U.S. Dollars | 750,601 | Morgan Stanley | (30,124) |
6/20/24 | Japanese Yen | 84,000,000 | U.S. Dollars | 567,419 | Citibank | (30,576) |
6/20/24 | Swiss Francs | 840,000 | U.S. Dollars | 951,165 | Morgan Stanley | (32,002) |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2024: (continued) | ||||||
Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
6/20/24 | Swedish Kronor | 9,300,000 | U.S. Dollars | 906,720 | Barclays | $ (60,838) |
6/20/24 | South Korean Won | 1,655,000,000 | U.S. Dollars | 1,267,102 | Deutsche Bank | (69,948) |
Total Unrealized Depreciation | $(560,922) | |||||
Net Unrealized Appreciation | $ 106,331 |
Long Contracts for Difference at April 30, 2024: Over the Counter | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Agilent Technologies, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,370 | Monthly | $ 187,578 | $ 3,560 |
Allstate Corp. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,736 | Monthly | 294,944 | (9,568) |
Allstate Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 2,088 | Monthly | 354,394 | 8,287 |
Altria Group, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 7,124 | Monthly | 311,431 | 19,704 |
American Airlines Group, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 25,755 | Monthly | 346,877 | (9,688) |
American Electric Power Co., Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 3,730 | Monthly | 320,601 | 3,924 |
American Express Co. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 1,556 | Monthly | 363,094 | 14,787 |
American International Group, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 3,938 | Monthly | 296,299 | 1,107 |
American International Group, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 4,708 | Monthly | 353,873 | 9,953 |
American Tower Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,304 | Monthly | 223,287 | (7,055) |
American Water Works Company, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 866 | Monthly | 105,702 | 5,263 |
Amgen, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 908 | Monthly | 248,256 | 7,173 |
Apache Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 12,711 | Monthly | 398,911 | (20,724) |
Applied Materials, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 262 | Monthly | 51,998 | 1,385 |
AT&T, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 24,396 | Monthly | 411,278 | 14,935 |
Atmos Energy Corp. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 12 | Monthly | 1,413 | (3) |
AutoZone, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 118 | Monthly | 348,547 | (1,114) |
Ball Corp. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 3,275 | Monthly | 227,453 | 14,587 |
Barrick Gold Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 11,589 | Monthly | 192,520 | (6,105) |
Becton Dickinson and Company | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 123 | Monthly | 28,725 | (1,006) |
Biogen, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 525 | Monthly | 112,594 | 5,753 |
Bio-rad Laboratories, Class A | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 49 | Monthly | 13,207 | (772) |
Booking Holdings, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 81 | Monthly | 279,356 | (1,147) |
BorgWarner, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 5,885 | Monthly | 192,486 | (5,374) |
Boston Scientific Corp. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 2,311 | Monthly | 165,842 | 8,053 |
Bristol-Myers Squibb Co. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 7,587 | Monthly | 333,217 | (8,068) |
Long Contracts for Difference at April 30, 2024: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Broadridge Financial Solutions, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 209 | Monthly | $ 40,341 | $ (554) |
Builders FirstSource, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 1,570 | Monthly | 286,099 | (26,780) |
Camden Property Trust REIT | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 2,956 | Monthly | 293,728 | (8,168) |
Cardinal Health, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 2,612 | Monthly | 268,424 | (14,048) |
Cardinal Health, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 2,590 | Monthly | 266,365 | (9,258) |
Carlisle Companies, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 33 | Monthly | 12,772 | (445) |
Carnival Corp. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 22,124 | Monthly | 327,587 | 11,656 |
Carnival Corp. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 19,608 | Monthly | 289,667 | (15,939) |
Caterpillar, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,002 | Monthly | 334,566 | (28,534) |
CenterPoint Energy, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 451 | Monthly | 13,130 | 150 |
CF Industries Holdings, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 3,517 | Monthly | 277,189 | 2,617 |
CH Robinson Worldwide, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 3,997 | Monthly | 283,236 | 7,403 |
Chubb Limited | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,449 | Monthly | 359,572 | 5,378 |
Cincinnati Financial Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 2,036 | Monthly | 235,451 | 291 |
Cisco Systems, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 4,303 | Monthly | 201,581 | (5,996) |
Cleveland Cliffs, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,929 | Monthly | 32,418 | (7,801) |
Cleveland Cliffs, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 13,795 | Monthly | 232,187 | (77,097) |
Clorox (The) Co. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,983 | Monthly | 292,961 | 5,149 |
CME Group, Inc., Class A | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,369 | Monthly | 286,433 | 4,104 |
Colgate-Palmolive Co. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 3,151 | Monthly | 289,384 | 11,056 |
Conagra Brands, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 10,097 | Monthly | 310,202 | 8,982 |
Consolidated Edison, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 2,992 | Monthly | 281,788 | 11,569 |
Crocs, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,432 | Monthly | 177,945 | (1,602) |
Crown Castle International Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 3,026 | Monthly | 283,211 | (6,036) |
CVS Health Corp. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 4,078 | Monthly | 275,126 | (25,432) |
D.R. Horton, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 641 | Monthly | 91,252 | (456) |
DaVita, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 2,116 | Monthly | 293,887 | 13,475 |
DaVita, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 2,683 | Monthly | 371,863 | 13,066 |
Dell Technologies, Inc., Class C | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 2,876 | Monthly | 358,159 | 25,866 |
Dell Technologies, Inc., Class C | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 2,059 | Monthly | 256,125 | 13,554 |
Delta Air Lines, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 6,487 | Monthly | 324,517 | 6,869 |
Devon Energy Corp. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 2,336 | Monthly | 119,174 | (5,639) |
DuPont de Nemours, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 4,071 | Monthly | 294,195 | (16,341) |
Eagle Materials, Inc. | U.S. Fed Funds | 1/24/2025 | Barclays | 49 | Monthly | 12,285 | 0 |
Eastman Chemical Co. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,868 | Monthly | 176,300 | (4,451) |
Elastic N.V. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 2,451 | Monthly | 250,299 | 9,219 |
Energy, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 5,632 | Monthly | 294,832 | 11,035 |
Exelon Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 10,762 | Monthly | 403,656 | 13,318 |
FirstEnergy Corp. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 5,699 | Monthly | 218,140 | 2,622 |
Ford Motor Co. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 27,693 | Monthly | 335,796 | (2,721) |
Long Contracts for Difference at April 30, 2024: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Fortune Brands Home & Security, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 2,390 | Monthly | $ 174,401 | $ (6,816) |
Fox Corp., Class A | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 4,630 | Monthly | 143,409 | (1,973) |
Freeport-McMoRan, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,740 | Monthly | 86,817 | 1,644 |
Gap (The), Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 14,004 | Monthly | 287,106 | (3,828) |
Gap (The), Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 16,315 | Monthly | 334,097 | (20,989) |
General Electric Co. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 3,346 | Monthly | 541,213 | 13,487 |
General Mills, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 4,919 | Monthly | 346,271 | (3,815) |
Gilead Sciences, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 1,295 | Monthly | 84,027 | (6,155) |
GoDaddy, Inc., Class A | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 815 | Monthly | 99,518 | 560 |
H&R Block, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 7,242 | Monthly | 341,370 | 5,920 |
Halliburton Co. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 16,097 | Monthly | 601,898 | (27,495) |
Hartford Financial Services Group (The), Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 3,598 | Monthly | 347,911 | (2,174) |
Healthpeak Properties, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 11,533 | Monthly | 214,422 | 4,176 |
Hewlett Packard Enterprise Co. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 837 | Monthly | 14,216 | 129 |
HF Sinclair Corporation | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 4,884 | Monthly | 264,382 | (23,530) |
Home Depot (The), Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,002 | Monthly | 334,579 | (2,204) |
Honeywell International, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,803 | Monthly | 347,168 | (5,463) |
HP, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 8,545 | Monthly | 239,261 | (11,193) |
HP, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 3,526 | Monthly | 98,775 | 188 |
Huntington Ingalls Industries, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 213 | Monthly | 58,932 | 466 |
Illumina, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 358 | Monthly | 44,011 | 1,431 |
International Business Machines Corp. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 2,005 | Monthly | 332,923 | (29,395) |
International Paper Co. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,549 | Monthly | 53,980 | 137 |
Johnson & Johnson | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 2,274 | Monthly | 328,486 | (10,613) |
KB Home | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 502 | Monthly | 32,450 | 821 |
Kimberly-Clarke Corp. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 925 | Monthly | 126,103 | 6,843 |
Kinross Gold Corp. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,863 | Monthly | 12,005 | (48) |
Kroger (The) Co. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 6,058 | Monthly | 335,217 | (7,701) |
L Brands, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 7,752 | Monthly | 351,016 | (9,803) |
L Brands, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 6,520 | Monthly | 295,569 | 5,064 |
Laboratory Corporation of America Holdings | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,369 | Monthly | 275,420 | (2,583) |
Lear Corp. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 2,096 | Monthly | 263,565 | (17,551) |
Lennar Corp. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 340 | Monthly | 51,549 | (499) |
Lowe's Cos., Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 1,440 | Monthly | 327,682 | (4,477) |
Macys, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 8,074 | Monthly | 148,665 | (2,723) |
Marathon Petroleum Corp. | U.S. Fed Funds + U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 12,108 | Monthly | 589,197 | (37,145) |
Marathon Petroleum Corp. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 1,421 | Monthly | 257,279 | (51,050) |
Masco Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 3,025 | Monthly | 206,663 | (13,599) |
Long Contracts for Difference at April 30, 2024: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
McDonald's Corp. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 536 | Monthly | $ 146,214 | $ (1,497) |
McDonald's Corp. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 1,699 | Monthly | 462,501 | 7,917 |
Medtronic, PLC | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 925 | Monthly | 74,151 | 561 |
MGM Resorts International | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 619 | Monthly | 24,389 | (1,875) |
MGM Resorts International | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 13,149 | Monthly | 517,509 | (45,374) |
Micron Technology, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 2,429 | Monthly | 273,511 | (23,449) |
Mid-America Apartment Communities, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 1,228 | Monthly | 159,089 | (3,891) |
Mondelez International, Inc., Class A | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,244 | Monthly | 89,414 | 3,068 |
Mosaic (The) Co. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 9,017 | Monthly | 282,789 | 5,606 |
Motorola Solutions, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,022 | Monthly | 346,287 | (6,538) |
MSCI, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 631 | Monthly | 293,335 | (26,737) |
Murphy Oil Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 6,959 | Monthly | 309,967 | (13,696) |
Netflix, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 610 | Monthly | 335,579 | (2,727) |
Netflix, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 507 | Monthly | 278,581 | (27,668) |
Newmont Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 5,226 | Monthly | 211,890 | 11,003 |
Nike, Inc., Class B | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 3,161 | Monthly | 291,360 | (6,375) |
Northrop Grumman Corp. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 75 | Monthly | 36,345 | 1,021 |
Norwegian Cruise Line Holdings Ltd. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 15,846 | Monthly | 299,536 | 5,751 |
Nutrien ltd. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 5,345 | Monthly | 281,497 | 1,633 |
Occidental Petroleum Corp. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 5,211 | Monthly | 344,334 | (4,803) |
Olin Corp. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 3,267 | Monthly | 170,214 | (20,514) |
Omnicom Group, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 3,809 | Monthly | 352,540 | (2,001) |
Oracle Corp. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,785 | Monthly | 202,988 | (1,920) |
Ovintiv, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 6,631 | Monthly | 339,985 | (6,021) |
Owens Corning | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,196 | Monthly | 200,998 | 4,328 |
Packaging Corp. Of America | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,620 | Monthly | 279,960 | (10,489) |
Packaging Corp. Of America | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 1,948 | Monthly | 335,826 | (35,677) |
Patterson-UTI Energy, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 3,687 | Monthly | 39,855 | (1,956) |
PBF Energy, Inc., Class A | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 2,194 | Monthly | 116,765 | (7,483) |
Phillips 66 | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 684 | Monthly | 97,576 | (17,112) |
PPG Industries, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 2,025 | Monthly | 260,477 | (19,188) |
Procter & Gamble (The) Co. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,251 | Monthly | 203,999 | 2,797 |
Public Storage | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 886 | Monthly | 229,675 | (1,728) |
Qorvo, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 242 | Monthly | 28,227 | 289 |
Quest Diagnostics, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 4,743 | Monthly | 654,112 | 43,973 |
Ralph Lauren Corp., Class A | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,790 | Monthly | 292,358 | 5,840 |
Range Resources Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,669 | Monthly | 59,788 | 1,290 |
Regency Centers Corp. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 4,509 | Monthly | 266,322 | 2,149 |
Ross Stores, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 467 | Monthly | 60,472 | (730) |
Royal Caribbean Cruises Ltd. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,809 | Monthly | 252,371 | 13,601 |
Royalty Pharma PLC, Class A | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 2,206 | Monthly | 61,073 | (439) |
Long Contracts for Difference at April 30, 2024: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
SBA Communications Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 843 | Monthly | $ 156,531 | $ (11,951) |
Schlumberger Ltd. | U.S. Fed Funds | 1/24/2025 | Barclays | 424 | Monthly | 20,132 | (1) |
Seagate Technology, LLC | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 3,305 | Monthly | 283,379 | 6,156 |
Semiconductor Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,764 | Monthly | 123,708 | 10,309 |
Sempra Energy | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 3,317 | Monthly | 237,027 | 11,106 |
Sherwin-Williams (The) Co. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,098 | Monthly | 328,659 | (10,908) |
Simon Property Group, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 644 | Monthly | 90,204 | (6,627) |
Skyworks Solutions, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 2,785 | Monthly | 296,285 | 17,433 |
Stanley Black & Decker, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,659 | Monthly | 151,295 | 608 |
Starbucks Corp. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 3,275 | Monthly | 289,539 | 750 |
Steel Dynamics, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 568 | Monthly | 73,836 | (4,150) |
Stellantis N.V. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 2,682 | Monthly | 59,720 | (8,210) |
Steris, PLC | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 2,176 | Monthly | 275,706 | (907) |
Stryker Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 517 | Monthly | 173,689 | (1,538) |
Sun Communities, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 247 | Monthly | 27,475 | (755) |
Synchrony Financial | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 6,672 | Monthly | 292,630 | 11,750 |
Sysco Corp. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 2,507 | Monthly | 186,155 | (7,641) |
Tapestry, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 6,544 | Monthly | 260,703 | (6,489) |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 326 | Monthly | 37,184 | (956) |
Target Corp. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 918 | Monthly | 147,479 | (5,445) |
Target Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 2,039 | Monthly | 327,566 | (8,889) |
Tenet Healthcare Corp. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 3,719 | Monthly | 417,282 | 64,535 |
Tenet Healthcare Corp. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 2,518 | Monthly | 281,960 | 25,527 |
TJX (The) Cos., Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 2,921 | Monthly | 274,584 | (224) |
Trane Technologies PLC | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 458 | Monthly | 145,219 | 11,872 |
Travelers (The) Cos., Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 121 | Monthly | 25,670 | (152) |
Twilio Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 4,579 | Monthly | 273,959 | 4,465 |
Uber Technologies, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 4,178 | Monthly | 276,311 | (27,920) |
UDR, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 3,802 | Monthly | 144,301 | 1,232 |
Union Pacific Corp. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,478 | Monthly | 350,216 | 3,187 |
United Airlines Holdings, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 6,698 | Monthly | 344,132 | 69,070 |
United Parcel Service, Inc., Class B | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 2,310 | Monthly | 340,434 | 3,487 |
Valero Energy Corp. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 2,039 | Monthly | 325,664 | (12,606) |
Valero Energy Corp. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,695 | Monthly | 270,402 | (18,884) |
Ventas, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 3,082 | Monthly | 136,060 | 2,024 |
VeriSign, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,605 | Monthly | 271,465 | (21,754) |
Verisk Analytics, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 1,243 | Monthly | 270,669 | (6,731) |
Verizon Communications, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 5,924 | Monthly | 233,249 | (11,069) |
Verizon Communications, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 8,775 | Monthly | 345,851 | (5,880) |
Walt Disney (The) Co. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,025 | Monthly | 335,456 | (6,119) |
Long Contracts for Difference at April 30, 2024: Over the Counter (continued) | |||||||
Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
WEC Energy Group, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,801 | Monthly | $ 148,565 | $ 6,278 |
Williams (The) Cos., Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 41 | Monthly | 1,568 | (29) |
Willis Towers Watson, PLC | U.S. Fed Funds | 1/24/2025 | Barclays | 84 | Monthly | 21,096 | (109) |
Workday, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 674 | Monthly | 164,393 | (16,650) |
Wynn Resorts Finance LLC/Wynn Resourts Capital Corp. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 2,965 | Monthly | 270,810 | (42,301) |
Yum Brands, Inc. | U.S. Fed Funds + (0.20)% | 1/24/2025 | Barclays | 2,014 | Monthly | 284,188 | 4,121 |
Zoetis, Inc. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,877 | Monthly | 298,332 | 17,213 |
ZoomInfo Technologies, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 16,437 | Monthly | 259,867 | 54 |
Total (Cost $45,268,550) | 736,382 | $44,821,743 | $(446,807) |
Short Contracts for Difference at April 30, 2024: Over the Counter | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Advanced Micro Devices, Inc. | U.S. Fed Funds + 0.05% | 1/24/2025 | Barclays | 2,203 | Monthly | $ (348,644) | $ (19,605) |
AES (The) Corp. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 24,057 | Monthly | (429,474) | 10,769 |
Air Products & Chemicals, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 1,236 | Monthly | (291,867) | (2,198) |
Albemarle Corp. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 2,468 | Monthly | (296,018) | 26,639 |
Allegion, PLC | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 50 | Monthly | (6,059) | 584 |
Ally Financial, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 9,419 | Monthly | (360,734) | (15,169) |
Amazon.com, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,208 | Monthly | (211,007) | 9,748 |
Amcor, PLC | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 22,678 | Monthly | (202,565) | 2,217 |
Amgen, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 1,232 | Monthly | (337,250) | (2,130) |
Analog Devices, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 638 | Monthly | (127,887) | (9,021) |
Aptiv PLC | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,795 | Monthly | (268,927) | 8,146 |
Aramark Services, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 11,075 | Monthly | (348,666) | 8,503 |
Arrow Electronics, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,777 | Monthly | (353,899) | (11,217) |
Arthur J Gallagher & Co. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 1,161 | Monthly | (272,237) | 3,523 |
Avantor, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 11,727 | Monthly | (283,899) | 2,358 |
Avis Budget Group, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 3,321 | Monthly | (316,370) | 50,850 |
Baxter International, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 8,530 | Monthly | (343,321) | 17,072 |
Baxter International, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 6,883 | Monthly | (277,351) | (1,756) |
Best Buy Co., Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 4,662 | Monthly | (342,644) | 13,020 |
Boeing (The) Co. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 1,714 | Monthly | (287,439) | 4,390 |
Boeing (The) Co. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,061 | Monthly | (345,306) | 448 |
Broadcom, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 224 | Monthly | (290,563) | 5,636 |
Brown & Brown, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,341 | Monthly | (271,919) | (1,198) |
Brown-Forman Corp., Class B | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 5,630 | Monthly | (268,586) | 16,511 |
Short Contracts for Difference at April 30, 2024: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Caesars Entertainment, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,182 | Monthly | $ (42,306) | $ 2,114 |
Campbell Soup | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 3,806 | Monthly | (173,824) | (2,098) |
Canadian Natural Resources Ltd. | U.S. Fed Funds + 0.20% | 1/24/2025 | Barclays | 2,124 | Monthly | (160,374) | 2,686 |
Capital One Financial Corp. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 2,483 | Monthly | (355,822) | 9,800 |
CBRE Group, Inc., Class A | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,738 | Monthly | (237,437) | 741 |
CDW Corporation of Delaware | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 832 | Monthly | (200,620) | 10,924 |
Celanese Corp. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 1,784 | Monthly | (273,802) | 2,611 |
Cenovus Energy, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 1,615 | Monthly | (33,175) | 901 |
Centene Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 416 | Monthly | (30,393) | 165 |
Charles River Laboratories International, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 350 | Monthly | (80,075) | 2,501 |
Charter Communications, Inc., Class A | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 1,289 | Monthly | (329,612) | 12,076 |
Charter Communications, Inc., Class A | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,071 | Monthly | (273,597) | 1,543 |
Chevron Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,698 | Monthly | (273,385) | (4,338) |
Cigna Corp. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 673 | Monthly | (240,083) | (2,393) |
Coherent Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,181 | Monthly | (173,771) | (626) |
Comcast Corp., Class A | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 7,424 | Monthly | (282,610) | 9,452 |
ConocoPhillips | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 2,600 | Monthly | (326,322) | 9,936 |
ConocoPhillips | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,196 | Monthly | (275,326) | 10,703 |
Constellation Brands, Inc., Class A | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,089 | Monthly | (275,493) | 5,999 |
Corteva, Inc. | U.S. Fed Funds + 0.20% | 1/24/2025 | Barclays | 156 | Monthly | (8,414) | 197 |
Cummins, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 999 | Monthly | (281,958) | 8,152 |
D.R. Horton, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,927 | Monthly | (274,109) | 11,912 |
Danaher Corp. | U.S. Fed Funds | 1/24/2025 | Barclays | 1,475 | Monthly | (363,456) | (15,238) |
Danaher Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,023 | Monthly | (251,834) | (6,661) |
Darden Restaurants, Inc. | U.S. Fed Funds + 0.20% | 2/10/2025 | JPMorgan Chase | 166 | Monthly | (25,391) | 827 |
Deere & Co. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 846 | Monthly | (330,843) | 7,228 |
Delta Air Lines, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,161 | Monthly | (108,070) | (5,438) |
Devon Energy Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 974 | Monthly | (49,753) | 1,557 |
Diamondback Energy, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 827 | Monthly | (166,190) | 1,344 |
Dick's Sporting Goods, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,442 | Monthly | (289,234) | (2,558) |
Digital Realty Trust, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 90 | Monthly | (12,488) | 245 |
Dollar General Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,404 | Monthly | (195,013) | 8,132 |
Dominion Energy, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 6,990 | Monthly | (356,045) | (2,142) |
Dow, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 6,022 | Monthly | (342,006) | 3,175 |
Eaton Corp. PLC | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 459 | Monthly | (145,959) | (4,546) |
Ebay, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 5,484 | Monthly | (282,405) | (3,050) |
Ecolab, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 390 | Monthly | (87,470) | (1,939) |
Emerson Electric Co. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,536 | Monthly | (272,800) | 10,623 |
Short Contracts for Difference at April 30, 2024: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Enbridge, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 1,093 | Monthly | $ (38,735) | $ (217) |
Entegris, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,271 | Monthly | (301,460) | (2,551) |
EQT Corp. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 7,433 | Monthly | (297,904) | (15,673) |
Equity Residential | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 5,547 | Monthly | (356,321) | (2,301) |
Estee Lauder (The) Cos., Inc., Class A | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 1,567 | Monthly | (229,240) | (1,351) |
Expedia Group, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 2,633 | Monthly | (354,182) | (7,706) |
Expedia Group, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 726 | Monthly | (97,667) | (603) |
Exxon Mobil Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 845 | Monthly | (99,721) | 1,408 |
FedEx Corp. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 1,244 | Monthly | (325,379) | 10,349 |
Fidelity National Information Services, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 3,474 | Monthly | (235,140) | 18,740 |
Fiserv, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 2,323 | Monthly | (354,355) | (8,692) |
Fiserv, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 321 | Monthly | (48,981) | 35 |
FMC Corp. | U.S. Fed Funds | 1/24/2025 | Barclays | 5,080 | Monthly | (299,508) | (3,598) |
Foot Locker, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 12,971 | Monthly | (270,205) | 9,450 |
Ford Motor Co. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 16,939 | Monthly | (205,198) | 21,245 |
Freeport-McMoRan, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 7,042 | Monthly | (351,019) | 1,222 |
Gartner, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 240 | Monthly | (98,930) | 7,404 |
General Motors Co. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 8,813 | Monthly | (392,271) | (11,461) |
Graphic Packaging Holding Company | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 10,387 | Monthly | (268,259) | 16,241 |
Hasbro, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 4,064 | Monthly | (249,081) | (21,904) |
HCA Healthcare, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,015 | Monthly | (313,855) | 13,615 |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 198 | Monthly | (39,028) | (391) |
Hologic, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 731 | Monthly | (55,286) | 663 |
Host Hotels & Resorts, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 18,074 | Monthly | (340,411) | 12,279 |
Howmet Aerospace Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 6,688 | Monthly | (446,061) | (25,186) |
Humana, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 929 | Monthly | (280,529) | 7,719 |
Intel Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 8,834 | Monthly | (268,754) | 41,767 |
Intercontinental Exchange, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 2,118 | Monthly | (272,197) | 4,287 |
International Flavors & Fragrances, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 3,579 | Monthly | (302,701) | 1,121 |
Intui, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 421 | Monthly | (263,149) | (6,435) |
IQVIA, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,202 | Monthly | (278,068) | (213) |
Iron Mountain, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 4,594 | Monthly | (355,827) | (7,372) |
Jabil, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 852 | Monthly | (99,814) | 10,607 |
Johnson Controls International PLC | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 1,581 | Monthly | (102,793) | (606) |
Johnson Controls International PLC | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 5,597 | Monthly | (363,523) | (3,076) |
Keurig Dr Pepper, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 9,159 | Monthly | (308,408) | (17,518) |
Keysight Technologies, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 854 | Monthly | (126,132) | 4,803 |
Short Contracts for Difference at April 30, 2024: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Kinder Morgan, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 16,243 | Monthly | $ (296,862) | $ 7,675 |
KKR & Co., Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 3,057 | Monthly | (284,266) | 4,529 |
Kohls Corp. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 833 | Monthly | (19,926) | 1,003 |
Kraft Heinz Foods Co. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 9,260 | Monthly | (357,224) | (3,955) |
Lamb Weston Holdings, Inc. | U.S. Fed Funds + (0.14)% | 8/19/2026 | Goldman Sachs | 5,390 | Monthly | (448,456) | (16,525) |
Las Vegas Sands Corp. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 2,851 | Monthly | (126,356) | 6,387 |
LyondellBasell Industries N.V., Class A | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 135 | Monthly | (13,471) | 92 |
Marriott International, Inc., Class A | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 1,185 | Monthly | (279,572) | 1,759 |
Marsh & McLennan Cos., Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 1,378 | Monthly | (274,015) | 7,083 |
Marsh & McLennan Cos., Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,663 | Monthly | (331,038) | (2,895) |
Martin Marietta Materials, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 43 | Monthly | (25,196) | 572 |
Marvell Technology, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 3,284 | Monthly | (215,882) | 18,841 |
McKesson Corp. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 633 | Monthly | (339,830) | (3,695) |
Medical Properties Trust, Inc. | U.S. Fed Funds + (4.45)% | 1/24/2025 | Barclays | 26,584 | Monthly | (122,352) | (2,192) |
Medical Properties Trust, Inc. | U.S. Fed Funds + (4.45)% | 2/10/2025 | JPMorgan Chase | 5,981 | Monthly | (27,531) | (3,069) |
Metlife, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 4,829 | Monthly | (342,239) | 13,159 |
Mohawk Industries, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 960 | Monthly | (109,875) | (2,624) |
Mondelez International, Inc., Class A | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 4,787 | Monthly | (343,938) | (21,174) |
Newmont Corp. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 7,802 | Monthly | (316,859) | (17,982) |
NextEra Energy, Inc. | U.S. Fed Funds + 0.19% | 8/19/2026 | Goldman Sachs | 6,178 | Monthly | (413,020) | (23,537) |
Nordstrom, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 1,379 | Monthly | (26,192) | (281) |
Nordstrom, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 9,715 | Monthly | (184,140) | 4,720 |
NRG Energy, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,943 | Monthly | (141,013) | 148 |
Nucor Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 372 | Monthly | (62,636) | 3,934 |
Oneok, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 3,711 | Monthly | (292,848) | 3,957 |
Oracle Corp. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 2,355 | Monthly | (267,040) | 25,804 |
Paccar, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 510 | Monthly | (54,017) | 5,374 |
PayPal Holdings, Inc. | U.S. Fed Funds + 0.42% | 8/19/2026 | Goldman Sachs | 4,119 | Monthly | (279,219) | (17,622) |
Penn National Gaming, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 11,619 | Monthly | (192,009) | 4,701 |
Penn National Gaming, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 5,242 | Monthly | (86,439) | 5,243 |
Permian Resources Corp. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 1,868 | Monthly | (31,261) | 812 |
Pfizer, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 13,097 | Monthly | (334,668) | 10,774 |
Pfizer, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 10,377 | Monthly | (265,332) | 3,536 |
Prologis, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 2,020 | Monthly | (205,513) | 49,351 |
Prudential Financial, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,031 | Monthly | (334,251) | (5,811) |
PulteGroup, Inc. | U.S. Fed Funds + 0.05% | 1/24/2025 | Barclays | 2,992 | Monthly | (333,083) | (10,455) |
Quanta Services, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 947 | Monthly | (244,143) | 4,217 |
Short Contracts for Difference at April 30, 2024: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
Raytheon Technologies Corp. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 3,011 | Monthly | $ (304,818) | $ 1,942 |
Raytheon Technologies Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,024 | Monthly | (306,431) | (3,970) |
Revvity, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 2,681 | Monthly | (274,489) | (4,325) |
Royal Caribbean Cruises Ltd. | U.S. Fed Funds + 0.20% | 8/19/2026 | Goldman Sachs | 1,300 | Monthly | (181,431) | (4,980) |
S&P Global, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 685 | Monthly | (284,133) | 12,491 |
Sealed Air Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 9,969 | Monthly | (313,227) | 6,180 |
Sensta Technologies Holding PLC | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 314 | Monthly | (11,902) | (1,390) |
Southern Copper Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 151 | Monthly | (17,617) | 0 |
Southwest Airlines Co. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 12,618 | Monthly | (327,001) | 46,137 |
Southwest Airlines Co. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 7,170 | Monthly | (185,660) | 14,353 |
Spirit AeroSystems Holdings, Inc., Class A | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 4,171 | Monthly | (133,354) | 3,872 |
Take-Two Interactive Software, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,691 | Monthly | (241,113) | 2,798 |
TC Energy Corp. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 9,379 | Monthly | (335,230) | 21,019 |
Teck Resources Ltd., Class B | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 3,810 | Monthly | (186,932) | (8,015) |
Teck Resources Ltd., Class B | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 874 | Monthly | (42,992) | 314 |
Teledyne Technologies, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 16 | Monthly | (6,098) | 367 |
Tempur Sealy International, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 5,713 | Monthly | (285,751) | (5,071) |
Tesla, Inc. | U.S. Fed Funds + (0.05)% | 8/19/2026 | Goldman Sachs | 1,862 | Monthly | (340,810) | (43,641) |
Texas Instruments, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 1,675 | Monthly | (295,258) | (20,705) |
Thermo Fisher Scientific, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 479 | Monthly | (271,699) | 5,546 |
T-Mobile US, Inc. | U.S. Fed Funds | 1/24/2025 | Barclays | 850 | Monthly | (139,422) | (1,416) |
T-Mobile US, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 1,362 | Monthly | (222,970) | (3,824) |
Toll Brothers, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 1,593 | Monthly | (189,220) | 9,093 |
Tractor Supply Company | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,084 | Monthly | (295,612) | (33,317) |
TransDigm, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 134 | Monthly | (166,797) | (2,220) |
Transocean Ltd. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 24,035 | Monthly | (125,342) | 14,301 |
Transocean Ltd. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 7,228 | Monthly | (37,578) | 9,766 |
Trimble, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 4,779 | Monthly | (286,832) | (5,158) |
Tyson Foods, Inc., Class A | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 9,421 | Monthly | (570,359) | (22,811) |
United Parcel Service, Inc., Class B | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 135 | Monthly | (19,861) | 309 |
United Rentals North America, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 219 | Monthly | (146,197) | (4,877) |
UnitedHealth Group, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,266 | Monthly | (611,714) | 13,772 |
Universal Health Services, Inc., Class B | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 726 | Monthly | (122,664) | (5,683) |
US Foods Holding Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 3,753 | Monthly | (188,233) | 1,481 |
Short Contracts for Difference at April 30, 2024: Over the Counter (continued) | |||||||
Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
VF Corp. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 18,166 | Monthly | $ (225,936) | $ (5,219) |
Viatris, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 23,998 | Monthly | (276,847) | 5,130 |
VICI Properties, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 5,905 | Monthly | (168,435) | (2,859) |
Vistra Operations Co. LLC | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 4,634 | Monthly | (350,814) | (34,978) |
Walmart, Inc. | U.S. Fed Funds + 0.05% | 1/24/2025 | Barclays | 6,017 | Monthly | (356,785) | 5,077 |
Warner Bros. Discovery, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 1,704 | Monthly | (12,519) | 1,500 |
WESCO International, Inc. | U.S. Fed Funds + (0.15)% | 8/19/2026 | Goldman Sachs | 529 | Monthly | (80,709) | 1,577 |
Weyerhaeuser Co. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 2,580 | Monthly | (77,584) | 11,220 |
Whirlpool Corp. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 5,127 | Monthly | (485,915) | 50,930 |
Williams (The) Cos., Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 8,691 | Monthly | (333,097) | 2,897 |
Xcel Energy, Inc. | U.S. Fed Funds + (0.15)% | 2/10/2025 | JPMorgan Chase | 3,416 | Monthly | (182,957) | 1,780 |
Xylem, Inc. | U.S. Fed Funds + (0.15)% | 1/24/2025 | Barclays | 2,311 | Monthly | (301,791) | (3,718) |
Total (Cost $42,524,304) | 756,080 | $(42,198,037) | $326,267 |
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 42 (Pay Quarterly) | 5.00% | 6/20/2029 | USD | 1,620,000 | $ (105,885) | $ (88,325) | $ (17,560) | |
Total | $(105,885) | $(88,325) | $(17,560) |
Morningstar Alternatives Fund | Level 1 | Level 2 | Level 3 | Totals |
Investments | ||||
Assets: | ||||
Asset-Backed Securities | $ — | $ 2,979,891 | $— | $ 2,979,891 |
Common Stocks | 55,714,908 | — | —* | 55,714,908 |
Convertible Bonds | — | 65,526,056 | — | 65,526,056 |
Convertible Preferred Stocks | 943,837 | 1,119,661 | — | 2,063,498 |
Corporate Bonds | — | 41,949,232 | — | 41,949,232 |
Foreign Issuer Bonds | — | 6,684,560 | — | 6,684,560 |
Morningstar Alternatives Fund | Level 1 | Level 2 | Level 3 | Totals |
Mortgage-Backed Securities | $ — | $ 24,398,563 | $ — | $ 24,398,563 |
Preferred Stocks | 3,633,707 | — | — | 3,633,707 |
Rights | — | — | 263,695 | 263,695 |
Investment Companies | 223,687 | — | — | 223,687 |
Short-Term Investments | 13,257,606 | 12,575,156 | — | 25,832,762 |
Purchased Options | 82,800 | 8,786 | — | 91,586 |
Total Assets – Investments at value | $ 73,856,545 | $155,241,905 | $263,695 | $229,362,145 |
Liabilities: | ||||
Common Stocks | $(26,936,476) | $ — | $ — | $ (26,936,476) |
Rights | — | — | —* | — |
Total Liabilities – Investments at value | $(26,936,476) | $ — | $ — | $ (26,936,476) |
Net Investments | $ 46,920,069 | $155,241,905 | $263,695 | $202,425,669 |
*Includes securities determined to have no value as of April 30, 2024. |
Morningstar Alternatives Fund | Level 1 | Level 2 | Level 3 | Totals |
Derivative Financial Instruments | ||||
Assets: | ||||
Futures Contracts | $ 610,493 | $ — | $— | $ 610,493 |
Forward Foreign Currency Exchange Contracts | — | 667,253 | — | 667,253 |
Contracts for Difference | — | 44,821,743 | — | 44,821,743 |
Total Assets - Derivative Financial Instruments | $ 610,493 | $ 45,488,996 | $— | $ 46,099,489 |
Liabilities: | ||||
Futures Contracts | $(649,875) | $ — | $— | $ (649,875) |
Forward Foreign Currency Exchange Contracts | — | (560,922) | — | (560,922) |
Contracts for Difference | — | (42,198,037) | — | (42,198,037) |
Swap Agreements | — | (105,885) | — | (105,885) |
Total Liabilities - Derivative Financial Instruments | $(649,875) | $(42,864,844) | $— | $(43,514,719) |
Net Derivative Financial Instruments | $ (39,382) | $ 2,624,152 | $— | $ 2,584,770 |
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* | $1,612,011,205 | $812,699,865 | $197,456,210 | $880,632,181 | $330,298,381 |
Cash | — | 118,125 | — | 20,000 | 1 |
Foreign currencies, at value | 60,103 | 1,434,073 | 457,389 | 1,027,159 | — |
Due from broker | — | — | 1,165,470 | 5,477,137 | — |
Receivable from Adviser | 31,581 | 43,884 | 1,341 | 120,404 | 20,772 |
Receivable for: | |||||
Dividends and interest | 1,213,490 | 2,720,943 | 1,422,811 | 4,938,235 | 4,135,201 |
Securities lending income | 5,119 | 3,152 | 4,859 | 4,393 | — |
Foreign tax reclaims | 148,670 | 1,343,875 | 465,152 | 24,776 | — |
Investments sold | 840,443 | 2,059,084 | 993,290 | 85,433,849 | — |
Fund shares sold | 860,124 | 530,411 | 85,367 | 655,270 | 8,875 |
Variation margin on futures contracts | — | — | 7,890 | 132,274 | — |
Variation margin on centrally cleared swap agreements | — | — | 153 | 169,576 | — |
Unrealized appreciation on OTC swap agreements and contracts for differences | — | — | — | 4,973 | — |
Unrealized appreciation on forward foreign currency exchange contracts | — | — | 23,056 | 433,077 | — |
Upfront premiums paid on swap agreements | — | — | 7,340 | 883,750 | — |
Prepaid expenses and other assets | 40,733 | 27,972 | 15,003 | 30,414 | 19,656 |
Total assets | 1,615,211,468 | 820,981,384 | 202,105,331 | 979,987,468 | 334,482,886 |
Liabilities | |||||
Investments sold short, at value | — | — | — | 16,897,548 | — |
Written options, at value | — | — | 1,111 | 332,685 | — |
Cash overdraft | — | — | 126,744 | 855,179 | — |
Due to broker | — | — | 53,765 | 3,769,567 | — |
Unrealized depreciation on OTC swap agreements and contracts for differences | — | — | 43,977 | 20,570 | — |
Unrealized depreciation on forward foreign currency exchange contracts | — | — | 51,753 | 262,923 | — |
Payable for: | |||||
Dividends on short sales | — | — | — | 65,301 | — |
Investments purchased on a delayed-delivery basis | — | — | 470,433 | 122,154,493 | 3,804,754 |
Investments purchased | 3,331,693 | 1,907,325 | 4,028,068 | 1,025,713 | 1,167,207 |
Fund shares redeemed | 2,878,002 | 1,486,767 | 389,621 | 1,920,201 | 804,169 |
Variation margin on futures contracts | — | — | 125,996 | 586,684 | — |
Variation margin on centrally cleared swap agreements | — | — | 2,708 | 34,751 | — |
Deferred capital gains tax | — | 404,426 | — | — | — |
Morningstar U.S. Equity Fund | Morningstar International Equity Fund | Morningstar Global Income Fund | Morningstar Total Return Bond Fund | Morningstar Municipal Bond Fund | |
Collateral for securities lending | 12,764,842 | 6,744,839 | 5,081,368 | 9,620,383 | — |
Upfront premiums received from swap agreements | — | — | 7,905 | 147,913 | — |
Accrued management fees | 897,880 | 553,352 | 55,736 | 298,843 | 119,390 |
Accrued trustee fees | 19,567 | 9,749 | 2,337 | 9,905 | 3,959 |
Accrued expenses | 358,932 | 269,686 | 152,312 | 361,003 | 122,956 |
Total liabilities | 20,250,916 | 11,376,144 | 10,593,834 | 158,363,662 | 6,022,435 |
Net assets | $1,594,960,552 | $809,605,240 | $191,511,497 | $ 821,623,806 | $328,460,451 |
Analysis of net assets: | |||||
Paid in capital | $1,213,448,741 | $777,942,406 | $213,775,616 | $1,000,904,328 | $351,592,983 |
Distributable earnings (loss) | 381,511,811 | 31,662,834 | (22,264,119) | (179,280,522) | (23,132,532) |
Net assets | $1,594,960,552 | $809,605,240 | $191,511,497 | $ 821,623,806 | $328,460,451 |
Shares outstanding: | 128,496,656 | 79,113,056 | 20,801,936 | 95,890,731 | 33,284,286 |
Net asset value, offering price and redemption price per share: | $ 12.41 | $ 10.23 | $ 9.21 | $ 8.57 | $ 9.87 |
Investments in non-affiliates, at cost | $1,299,006,423 | $774,595,566 | $193,768,125 | $ 942,510,240 | $343,920,353 |
Foreign currencies, at cost | $ 60,104 | $ 1,537,833 | $ 462,856 | $ 1,049,324 | $ — |
Investments sold short proceeds | $ — | $ — | $ — | $ 17,092,549 | $ — |
Written option premiums | $ — | $ — | $ 1,778 | $ 402,541 | $ — |
*Market value of securities on loan | $ 50,331,801 | $ 7,622,078 | $ 5,224,067 | $ 16,299,526 | $ — |
Morningstar Defensive Bond Fund | Morningstar Multisector Bond Fund | Morningstar Global Opportunistic Equity Fund | Morningstar Alternatives Fund | |
Assets | ||||
Investments in non-affiliates, at value* | $129,698,472 | $172,048,333 | $349,168,540 | $229,362,145 |
Cash | — | — | — | 29,136,128 |
Foreign currencies, at value | — | 161,248 | 126,416 | 98,778 |
Due from broker | — | 302,153 | — | 1,041,192 |
Receivable from Adviser | 26,220 | 36,951 | — | 17,438 |
Receivable for: | ||||
Dividends and interest | 339,105 | 2,598,462 | 452,758 | 1,293,864 |
Securities lending income | 249 | — | 6,055 | — |
Foreign tax reclaims | — | 40,449 | 89,884 | 9,187 |
Investments sold | 740,398 | 1,485,799 | 494,427 | 216,603 |
Fund shares sold | 103,891 | 182,764 | 251,928 | 119,232 |
Variation margin on futures contracts | — | 34,688 | — | 128,224 |
Variation margin on centrally cleared swap agreements | — | — | — | 5,760 |
Unrealized appreciation on OTC swap agreements and contracts for differences | — | — | — | 1,645,156 |
Unrealized appreciation on forward foreign currency exchange contracts | — | 233,060 | — | 667,253 |
Prepaid expenses and other assets | 14,139 | 15,709 | 17,674 | 16,897 |
Total assets | 130,922,474 | 177,139,616 | 350,607,682 | 263,757,857 |
Liabilities | ||||
Investments sold short, at value | — | — | — | 26,936,476 |
Written options, at value | — | 6,920 | — | — |
Cash overdraft | — | 240,317 | — | — |
Due to broker | — | 2,225 | — | 375,402 |
Unrealized depreciation on OTC swap agreements and contracts for differences | — | — | — | 1,765,696 |
Unrealized depreciation on forward foreign currency exchange contracts | — | 200,655 | — | 560,922 |
Payable for: | ||||
Dividends on short sales | — | — | — | 3,635 |
Investments purchased on a delayed-delivery basis | — | 64,787 | — | 6,670,091 |
Investments purchased | 384,040 | 2,645,097 | 499,036 | 605,315 |
Fund shares redeemed | 221,970 | 364,077 | 392,699 | 286,182 |
Variation margin on futures contracts | — | 14,466 | — | 101,778 |
Collateral for securities lending | — | — | 52,073,069 | — |
Upfront premiums received from swap agreements | — | — | — | 88,325 |
Accrued management fees | 38,880 | 87,553 | 115,233 | 158,805 |
Accrued trustee fees | 1,575 | 2,105 | 3,558 | 2,733 |
Accrued expenses | 112,351 | 156,601 | 115,878 | 219,311 |
Total liabilities | 758,816 | 3,784,803 | 53,199,473 | 37,774,671 |
Net assets | $130,163,658 | $173,354,813 | $297,408,209 | $225,983,186 |
Analysis of net assets: | ||||
Paid in capital | $140,040,427 | $206,973,296 | $269,715,481 | $235,990,238 |
Distributable earnings (loss) | (9,876,769) | (33,618,483) | 27,692,728 | (10,007,052) |
Net assets | $130,163,658 | $173,354,813 | $297,408,209 | $225,983,186 |
Shares outstanding: | 13,672,815 | 19,982,631 | 28,050,709 | 22,315,488 |
Morningstar Defensive Bond Fund | Morningstar Multisector Bond Fund | Morningstar Global Opportunistic Equity Fund | Morningstar Alternatives Fund | |
Net asset value, offering price and redemption price per share: | $ 9.52 | $ 8.68 | $ 10.60 | $ 10.13 |
Investments in non-affiliates, at cost | $133,288,259 | $179,569,429 | $325,180,209 | $233,098,642 |
Foreign currencies, at cost | $ — | $ 187,661 | $ 142,505 | $ 99,714 |
Investments sold short proceeds | $ — | $ — | $ — | $ 26,637,269 |
Written option premiums | $ — | $ 7,022 | $ — | $ — |
*Market value of securities on loan | $ 2,314,692 | $ — | $ 51,570,348 | $ — |
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) | $ 26,705,683 | $23,851,087 | $ 6,445,696 | $ 6,096,897 | $ 461,741 |
Interest income (net of foreign withholding taxes) | 131,189 | 1,136 | 7,153,461 | 28,581,218 | 11,236,202 |
Securities lending income, net | 151,600 | 28,919 | 60,930 | 91,934 | — |
Total investment income | 26,988,472 | 23,881,142 | 13,660,087 | 34,770,049 | 11,697,943 |
Expenses | |||||
Management fees (Note 5) | 10,366,199 | 6,504,982 | 711,857 | 3,560,112 | 1,449,271 |
Administration and custody fees | 796,327 | 707,923 | 329,049 | 1,017,309 | 180,972 |
Transfer agent fees | 8,297 | 8,056 | 7,867 | 8,055 | 8,036 |
Sub-accounting fees | 1,540,990 | 778,446 | 203,383 | 814,111 | 328,839 |
Audit and tax fees | 55,930 | 89,716 | 86,465 | 99,284 | 53,588 |
Legal fees | 168,884 | 85,370 | 28,954 | 93,404 | 35,693 |
Trustees’ fees | 247,129 | 127,248 | 33,173 | 130,352 | 53,305 |
Registration and filing fees | 38,622 | 30,827 | 20,214 | 35,298 | 22,908 |
Printing and postage fees | 86,523 | 66,008 | 40,649 | 75,046 | 18,837 |
Dividend and interest on securities sold short | — | — | — | 43,421 | — |
Other expenses | 138,006 | 80,717 | 40,752 | 120,176 | 42,245 |
Total expenses | 13,446,907 | 8,479,293 | 1,502,363 | 5,996,568 | 2,193,694 |
Less waiver of management fees (Note 5) | (479,841) | (741,298) | (47,180) | (1,651,567) | (277,922) |
Net expenses | 12,967,066 | 7,737,995 | 1,455,183 | 4,345,001 | 1,915,772 |
Net investment income | 14,021,406 | 16,143,147 | 12,204,904 | 30,425,048 | 9,782,171 |
Realized and unrealized gains (losses) | |||||
Net realized gains (losses) on: | |||||
Investments | 117,866,764 | 8,221,562 1 | (1,227,278) | (23,122,238) | (4,829,215) |
Investments sold short | — | — | — | 172,571 | — |
Swap agreements | — | — | 266,924 | (94,943) | — |
Futures contracts | — | — | (2,142,707) | (8,733,437) | — |
Written options contracts | — | — | 56,284 | (1,515,696) | — |
Forward foreign currency exchange contracts | — | 224,852 | 62,661 | (282,340) | — |
Foreign currency transactions | (1,425) | (318,244) | (71,266) | (22,128) | — |
Net realized gains (losses) | 117,865,339 | 8,128,170 | (3,055,382) | (33,598,211) | (4,829,215) |
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 161,824,092 | 18,335,950 2 | 6,378,009 | (12,672,368) | 4,553,081 |
Investments sold short | — | — | — | 196,420 | — |
Swap agreements | — | — | (182,141) | 2,160,220 | — |
Futures contracts | — | — | (1,346,482) | (2,090,542) | — |
Written options contracts | — | — | (11,857) | (70,499) | — |
Forward foreign currency exchange contracts | — | — | 42,292 | 217,411 | — |
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 | (13,552) | (148,539) | (9,707) | (10,014) | — |
Net change in unrealized appreciation (depreciation) | 161,810,540 | 18,187,411 | 4,870,114 | (12,269,372) | 4,553,081 |
Net realized and unrealized gains (losses) | 279,675,879 | 26,315,581 | 1,814,732 | (45,867,583) | (276,134) |
Net increase (decrease) in net assets resulting from operations | $293,697,285 | $42,458,728 | $14,019,636 | $(15,442,535) | $9,506,037 |
Foreign withholding taxes on dividend income | $ 212,228 | $ 2,250,996 | $ 421,489 | $ 2,318 | $ — |
Foreign withholding taxes on interest income | $ — | $ — | $ 15,128 | $ — | $ — |
1 | Net of foreign capital gains taxes (refunded)/paid of $137,654. |
2 | Net of change in deferred foreign capital gains tax expense of $(389,497). |
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) | $ 2,459,211 | $ 182,770 | $ 8,001,125 | $ 2,050,520 |
Interest income (net of foreign withholding taxes) | 3,976,636 | 11,639,327 | 160 | 9,852,830 |
Securities lending income, net | 15,537 | — | 63,350 | — |
Total investment income | 6,451,384 | 11,822,097 | 8,064,635 | 11,903,350 |
Expenses | ||||
Management fees (Note 5) | 479,665 | 1,066,466 | 1,294,559 | 2,137,571 |
Administration and custody fees | 160,005 | 278,202 | 232,956 | 640,350 |
Transfer agent fees | 8,051 | 8,065 | 8,053 | 8,063 |
Sub-accounting fees | 133,882 | 174,649 | 273,897 | 250,560 |
Audit and tax fees | 66,867 | 90,635 | 36,940 | 84,342 |
Legal fees | 14,437 | 19,012 | 30,376 | 32,657 |
Trustees’ fees | 21,582 | 28,285 | 43,283 | 41,664 |
Registration and filing fees | 20,366 | 21,467 | 21,446 | 24,482 |
Printing and postage fees | 19,658 | 70,200 | 50,943 | 81,552 |
Dividend and interest on securities sold short | — | 6 | — | 601,221 |
Other expenses | 25,869 | 43,687 | 36,250 | 50,281 |
Total expenses | 950,382 | 1,800,674 | 2,028,703 | 3,952,743 |
Less waiver of management fees (Note 5) | (310,827) | (416,629) | — | (413,923) |
Net expenses | 639,555 | 1,384,045 | 2,028,703 | 3,538,820 |
Net investment income | 5,811,829 | 10,438,052 | 6,035,932 | 8,364,530 |
Realized and unrealized gains (losses) | ||||
Net realized gains (losses) on: | ||||
Investments | (4,027,361) | (4,290,172) | 5,331,292 | (810,396) |
Investments sold short | — | (187) | — | (897,693) |
Swap agreements | — | 56,848 | — | 2,222,932 |
Futures contracts | — | 218,800 | — | 1,016,782 |
Written options contracts | — | 21,194 | — | 59,567 |
Forward foreign currency exchange contracts | — | (129,226) | 180,124 | (143,365) |
Foreign currency transactions | — | 4,837 | (117,789) | 5,436 |
Net realized gains (losses) | (4,027,361) | (4,117,906) | 5,393,627 | 1,453,263 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 4,249,949 | 1,979,753 | 18,100,645 | 7,979,326 |
Investments sold short | — | — | — | (1,485,431) |
Swap agreements | — | — | — | 551,938 |
Futures contracts | — | 148,991 | — | 905,526 |
Written options contracts | — | 102 | — | (57,501) |
Forward foreign currency exchange contracts | — | 9,268 | 40,310 | 258,748 |
Foreign currency transactions | — | (36,213) | (21,472) | (8,267) |
Net change in unrealized appreciation (depreciation) | 4,249,949 | 2,101,901 | 18,119,483 | 8,144,339 |
Net realized and unrealized gains (losses) | 222,588 | (2,016,005) | 23,513,110 | 9,597,602 |
Net increase (decrease) in net assets resulting from operations | $ 6,034,417 | $ 8,422,047 | $29,549,042 | $17,962,132 |
Foreign withholding taxes on dividend income | $ — | $ 25,721 | $ 175,214 | $ 12,118 |
Foreign withholding taxes on interest income | $ — | $ — | $ 467 | $ — |
Morningstar U.S. Equity Fund | Morningstar International Equity Fund | |||
Year Ended April 30, 2024 | Year Ended April 30, 2023 | Year Ended April 30, 2024 | Year Ended April 30, 2023 | |
Operations: | ||||
Net investment income | $ 14,021,406 | $ 13,977,813 | $ 16,143,147 | $ 19,550,459 |
Net realized gains (losses) | 117,865,339 | 33,183,317 | 8,128,170 | (11,042,912) |
Net change in unrealized appreciation (depreciation) | 161,810,540 | (8,619,394) | 18,187,411 | 50,303,118 |
Net increase (decrease) in net assets resulting from operations | 293,697,285 | 38,541,736 | 42,458,728 | 58,810,665 |
Distributions paid from: | ||||
Distributable earnings | (65,213,794) | (122,368,733) | (18,789,554) | (28,222,108) |
Total distributions paid | (65,213,794) | (122,368,733) | (18,789,554) | (28,222,108) |
Capital share transactions: | ||||
Proceeds from shares sold | 216,461,411 | 210,902,774 | 134,449,493 | 108,253,119 |
Reinvestment of dividends | 65,213,794 | 122,368,733 | 18,789,554 | 28,222,108 |
Payments for shares redeemed | (374,124,322) | (280,417,166) | (171,283,582) | (275,002,951) |
Net increase (decrease) in net assets from capital share transactions | (92,449,117) | 52,854,341 | (18,044,535) | (138,527,724) |
Total increase (decrease) in net assets | 136,034,374 | (30,972,656) | 5,624,639 | (107,939,167) |
Net assets: | ||||
Beginning of year | 1,458,926,178 | 1,489,898,834 | 803,980,601 | 911,919,768 |
End of year | $1,594,960,552 | $1,458,926,178 | $ 809,605,240 | $ 803,980,601 |
Capital share transactions | ||||
Shares sold | 18,556,563 | 19,809,277 | 13,478,010 | 11,756,238 |
Shares from reinvested dividends | 5,518,258 | 12,325,143 | 1,851,188 | 3,108,151 |
Shares redeemed | (31,874,328) | (26,228,031) | (17,119,739) | (29,254,436) |
Net increase (decrease) | (7,799,507) | 5,906,389 | (1,790,541) | (14,390,047) |
Morningstar Global Income Fund | Morningstar Total Return Bond Fund | |||
Year Ended April 30, 2024 | Year Ended April 30, 2023 | Year Ended April 30, 2024 | Year Ended April 30, 2023 | |
Operations: | ||||
Net investment income | $ 12,204,904 | $ 12,517,215 | $ 30,425,048 | $ 22,675,268 |
Net realized gains (losses) | (3,055,382) | (16,566,026) | (33,598,211) | (58,471,204) |
Net change in unrealized appreciation (depreciation) | 4,870,114 | 6,534,428 | (12,269,372) | 27,090,040 |
Net increase (decrease) in net assets resulting from operations | 14,019,636 | 2,485,617 | (15,442,535) | (8,705,896) |
Distributions paid from: | ||||
Distributable earnings | (12,554,075) | (19,352,530) | (30,053,731) | (22,208,256) |
Total distributions paid | (12,554,075) | (19,352,530) | (30,053,731) | (22,208,256) |
Capital share transactions: | ||||
Proceeds from shares sold | 24,667,901 | 26,263,775 | 187,768,363 | 166,265,015 |
Reinvestment of dividends | 12,554,075 | 19,352,489 | 30,053,730 | 22,207,983 |
Payments for shares redeemed | (61,905,061) | (60,980,034) | (163,316,868) | (174,157,657) |
Net increase (decrease) in net assets from capital share transactions | (24,683,085) | (15,363,770) | 54,505,225 | 14,315,341 |
Total increase (decrease) in net assets | (23,217,524) | (32,230,683) | 9,008,959 | (16,598,811) |
Net assets: | ||||
Beginning of year | 214,729,021 | 246,959,704 | 812,614,847 | 829,213,658 |
End of year | $191,511,497 | $214,729,021 | $ 821,623,806 | $ 812,614,847 |
Capital share transactions | ||||
Shares sold | 2,717,442 | 2,856,138 | 21,483,243 | 18,397,389 |
Shares from reinvested dividends | 1,387,125 | 2,131,637 | 3,441,355 | 2,478,205 |
Shares redeemed | (6,802,043) | (6,638,807) | (18,694,342) | (19,247,263) |
Net increase (decrease) | (2,697,476) | (1,651,032) | 6,230,256 | 1,628,331 |
Morningstar Municipal Bond Fund | Morningstar Defensive Bond Fund | |||
Year Ended April 30, 2024 | Year Ended April 30, 2023 | Year Ended April 30, 2024 | Year Ended April 30, 2023 | |
Operations: | ||||
Net investment income | $ 9,782,171 | $ 8,082,300 | $ 5,811,829 | $ 4,125,804 |
Net realized gains (losses) | (4,829,215) | (4,095,158) | (4,027,361) | (1,661,588) |
Net change in unrealized appreciation (depreciation) | 4,553,081 | 995,239 | 4,249,949 | (1,727,687) |
Net increase (decrease) in net assets resulting from operations | 9,506,037 | 4,982,381 | 6,034,417 | 736,529 |
Distributions paid from: | ||||
Distributable earnings | (9,752,404) | (8,029,279) | (5,698,959) | (3,670,466) |
Total distributions paid | (9,752,404) | (8,029,279) | (5,698,959) | (3,670,466) |
Capital share transactions: | ||||
Proceeds from shares sold | 60,991,828 | 54,677,480 | 27,358,791 | 36,381,030 |
Reinvestment of dividends | 9,752,404 | 8,029,187 | 5,698,960 | 3,670,466 |
Payments for shares redeemed | (72,775,554) | (110,891,451) | (37,957,515) | (46,306,485) |
Net increase (decrease) in net assets from capital share transactions | (2,031,322) | (48,184,784) | (4,899,764) | (6,254,989) |
Total increase (decrease) in net assets | (2,277,689) | (51,231,682) | (4,564,306) | (9,188,926) |
Net assets: | ||||
Beginning of year | 330,738,140 | 381,969,822 | 134,727,964 | 143,916,890 |
End of year | $328,460,451 | $ 330,738,140 | $130,163,658 | $134,727,964 |
Capital share transactions | ||||
Shares sold | 6,195,536 | 5,544,927 | 2,869,404 | 3,840,070 |
Shares from reinvested dividends | 993,143 | 818,905 | 599,661 | 388,482 |
Shares redeemed | (7,419,312) | (11,272,498) | (3,992,949) | (4,882,636) |
Net increase (decrease) | (230,633) | (4,908,666) | (523,884) | (654,084) |
Morningstar Multisector Bond Fund | Morningstar Global Opportunistic Equity Fund | |||
Year Ended April 30, 2024 | Year Ended April 30, 2023 | Year Ended April 30, 2024 | Year Ended April 30, 2023 | |
Operations: | ||||
Net investment income | $ 10,438,052 | $ 8,592,585 | $ 6,035,932 | $ 4,280,767 |
Net realized gains (losses) | (4,117,906) | (13,531,145) | 5,393,627 | 1,953,386 |
Net change in unrealized appreciation (depreciation) | 2,101,901 | 5,371,792 | 18,119,483 | 4,453,185 |
Net increase (decrease) in net assets resulting from operations | 8,422,047 | 433,232 | 29,549,042 | 10,687,338 |
Distributions paid from: | ||||
Distributable earnings | (10,383,761) | (4,767,523) | (7,668,617) | (5,851,851) |
Total distributions paid | (10,383,761) | (4,767,523) | (7,668,617) | (5,851,851) |
Capital share transactions: | ||||
Proceeds from shares sold | 30,637,969 | 44,978,679 | 91,220,358 | 67,581,311 |
Reinvestment of dividends | 10,383,761 | 4,767,479 | 7,668,617 | 5,851,850 |
Payments for shares redeemed | (41,956,846) | (41,436,492) | (56,315,808) | (45,535,119) |
Net increase (decrease) in net assets from capital share transactions | (935,116) | 8,309,666 | 42,573,167 | 27,898,042 |
Total increase (decrease) in net assets | (2,896,830) | 3,975,375 | 64,453,592 | 32,733,529 |
Net assets: | ||||
Beginning of year | 176,251,643 | 172,276,268 | 232,954,617 | 200,221,088 |
End of year | $173,354,813 | $176,251,643 | $297,408,209 | $232,954,617 |
Capital share transactions | ||||
Shares sold | 3,519,886 | 5,186,619 | 9,005,767 | 7,165,593 |
Shares from reinvested dividends | 1,192,603 | 549,926 | 738,527 | 640,324 |
Shares redeemed | (4,823,673) | (4,786,819) | (5,529,823) | (4,882,657) |
Net increase (decrease) | (111,184) | 949,726 | 4,214,471 | 2,923,260 |
Morningstar Alternatives Fund | ||
Year Ended April 30, 2024 | Year Ended April 30, 2023 | |
Operations: | ||
Net investment income | $ 8,364,530 | $ 6,334,536 |
Net realized gains (losses) | 1,453,263 | 1,069,518 |
Net change in unrealized appreciation (depreciation) | 8,144,339 | (6,683,214) |
Net increase (decrease) in net assets resulting from operations | 17,962,132 | 720,840 |
Distributions paid from: | ||
Distributable earnings | (8,664,487) | (11,517,692) |
Total distributions paid | (8,664,487) | (11,517,692) |
Capital share transactions: | ||
Proceeds from shares sold | 39,504,294 | 69,848,746 |
Reinvestment of dividends | 8,664,488 | 11,517,691 |
Payments for shares redeemed | (106,213,027) | (164,320,530) |
Net increase (decrease) in net assets from capital share transactions | (58,044,245) | (82,954,093) |
Total increase (decrease) in net assets | (48,746,600) | (93,750,945) |
Net assets: | ||
Beginning of year | 274,729,786 | 368,480,731 |
End of year | $ 225,983,186 | $ 274,729,786 |
Capital share transactions | ||
Shares sold | 3,958,165 | 7,011,646 |
Shares from reinvested dividends | 867,316 | 1,173,356 |
Shares redeemed | (10,601,239) | (16,499,943) |
Net increase (decrease) | (5,775,758) | (8,314,941) |
Morningstar U.S. Equity Fund | |||||
Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | |
Selected per share data | 2024 | 2023 | 2022 | 2021 | 2020 |
Net asset value, beginning of year | $10.70 | $11.43 | $13.74 | $9.27 | $10.68 |
Income (loss) from investment operations: | |||||
Net investment income1 | 0.11 | 0.11 | 0.12 | 0.14 | 0.13 |
Net realized and unrealized gains (losses) | 2.10 | 0.13 | (0.36) | 4.59 | (1.31) |
Total income (loss) from investment operations | 2.21 | 0.24 | (0.24) | 4.73 | (1.18) |
Less distributions paid: | |||||
From net investment income | (0.11) | (0.07) | (0.13) | (0.14) | (0.09) |
From realized gains | (0.39) | (0.90) | (1.94) | (0.12) | (0.14) |
Total distributions paid | (0.50) | (0.97) | (2.07) | (0.26) | (0.23) |
Net asset value, end of year | $12.41 | $10.70 | $11.43 | $13.74 | $9.27 |
Total return2 | 20.92% | 2.79% | (3.11%) | 51.43% | (11.42%) |
Supplemental data and ratios: | |||||
Net assets, end of year (millions) | $1,595 | $1,459 | $1,490 | $1,703 | $1,179 |
Ratio to average net assets of:3 | |||||
Total expenses before waivers/reimbursements | 0.87% | 0.87% | 0.86% | 0.87% | 0.93% |
Total expenses after waivers/reimbursements | 0.84% | 0.84% | 0.83% | 0.81% | 0.81% |
Net investment income, net of waivers/reimbursements | 0.91% | 0.99% | 0.89% | 1.19% | 1.25% |
Net investment income, before waivers/reimbursements | 0.88% | 0.96% | 0.86% | 1.13% | 1.13% |
Portfolio turnover rate | 46% | 53% | 61% | 68% | 58% |
1 | Calculated using the average shares outstanding method. |
2 | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
3 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
Morningstar International Equity Fund | |||||
Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | |
Selected per share data | 2024 | 2023 | 2022 | 2021 | 2020 |
Net asset value, beginning of year | $9.94 | $9.57 | $12.72 | $8.76 | $10.79 |
Income (loss) from investment operations: | |||||
Net investment income1 | 0.21 | 0.22 | 0.23 | 0.12 | 0.21 |
Net realized and unrealized gains (losses) | 0.32 | 0.47 | (1.66) | 4.17 | (1.94) |
Total income (loss) from investment operations | 0.53 | 0.69 | (1.43) | 4.29 | (1.73) |
Less distributions paid: | |||||
From net investment income | (0.24) | (0.10) | (0.18) | (0.14) | (0.19) |
From realized gains | — | (0.22) | (1.54) | (0.19) | (0.11) |
Total distributions paid | (0.24) | (0.32) | (1.72) | (0.33) | (0.30) |
Net asset value, end of year | $10.23 | $9.94 | $9.57 | $12.72 | $8.76 |
Total return2 | 5.38% | 7.61% | (12.77%) | 49.22% | (16.65%) |
Supplemental data and ratios: | |||||
Net assets, end of year (millions) | $810 | $804 | $912 | $1,074 | $764 |
Ratio to average net assets of:3 | |||||
Total expenses before waivers/reimbursements | 1.08% | 1.08% | 1.06% | 1.08% | 1.14% |
Total expenses after waivers/reimbursements | 0.99% | 0.99% | 0.98% | 0.89% | 0.92% |
Net investment income, net of waivers/reimbursements | 2.06% | 2.33% | 1.89% | 1.09% | 2.08% |
Net investment income, before waivers/reimbursements | 1.97% | 2.24% | 1.81% | 0.90% | 1.86% |
Portfolio turnover rate | 31% | 21% | 67% | 41% | 36% |
1 | Calculated using the average shares outstanding method. |
2 | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
3 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
Morningstar Global Income Fund | |||||
Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | |
Selected per share data | 2024 | 2023 | 2022 | 2021 | 2020 |
Net asset value, beginning of year | $9.14 | $9.82 | $11.62 | $9.54 | $10.58 |
Income (loss) from investment operations: | |||||
Net investment income1 | 0.55 | 0.53 | 0.42 | 0.35 | 0.37 |
Net realized and unrealized gains (losses) | 0.08 | (0.38) | (1.03) | 2.09 | (0.94) |
Total income (loss) from investment operations | 0.63 | 0.15 | (0.61) | 2.44 | (0.57) |
Less distributions paid: | |||||
From net investment income | (0.56) | (0.49) | (0.45) | (0.35) | (0.42) |
From realized gains | — | (0.34) | (0.74) | (0.01) | (0.05) |
Total distributions paid | (0.56) | (0.83) | (1.19) | (0.36) | (0.47) |
Net asset value, end of year | $9.21 | $9.14 | $9.82 | $11.62 | $9.54 |
Total return2 | 7.19% | 1.88% | (6.00%) | 26.01% | (5.73%) |
Supplemental data and ratios: | |||||
Net assets, end of year (millions) | $192 | $215 | $247 | $272 | $235 |
Ratio to average net assets of:3 | |||||
Total expenses before waivers/reimbursements | 0.74% | 0.73% | 0.62% | 0.62% | 0.64% |
Total expenses after waivers/reimbursements | 0.72% | 0.73% | 0.62% | 0.61% | 0.58% |
Net investment income, net of waivers/reimbursements | 6.01% | 5.73% | 3.76% | 3.28% | 3.52% |
Net investment income, before waivers/reimbursements | 5.99% | 5.73% | 3.76% | 3.27% | 3.46% |
Portfolio turnover rate | 58% | 63% | 138% | 59% | 62% |
1 | Calculated using the average shares outstanding method. |
2 | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
3 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
Morningstar Total Return Bond Fund | |||||
Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | |
Selected per share data | 2024 | 2023 | 2022 | 2021 | 2020 |
Net asset value, beginning of year | $9.06 | $9.42 | $10.69 | $10.88 | $10.48 |
Income (loss) from investment operations: | |||||
Net investment income1 | 0.33 | 0.26 | 0.61 | 0.16 | 0.26 |
Net realized and unrealized gains (losses) | (0.50) | (0.36) | (1.65) | 0.17 | 0.68 |
Total income (loss) from investment operations | (0.17) | (0.10) | (1.04) | 0.33 | 0.94 |
Less distributions paid: | |||||
From net investment income | (0.32) | (0.26) | (0.17) | (0.21) | (0.28) |
From realized gains | — | — | (0.06) | (0.31) | (0.26) |
Total distributions paid | (0.32) | (0.26) | (0.23) | (0.52) | (0.54) |
Net asset value, end of year | $8.57 | $9.06 | $9.42 | $10.69 | $10.88 |
Total return2 | (1.83%) | (1.03%) | (9.97%) | 2.95% | 9.13% |
Supplemental data and ratios: | |||||
Net assets, end of year (millions) | $822 | $813 | $829 | $833 | $519 |
Ratio to average net assets of:3 | |||||
Total expenses before waivers/reimbursements4 | 0.73% | 0.73% | 0.71% | 0.74% | 0.81% |
Total expenses after waivers/reimbursements4 | 0.53% | 0.53% | 0.53% | 0.53% | 0.53% |
Total expenses after waivers/reimbursements and excluding dividend and interest expense | 0.53% | 0.53% | 0.52% | 0.53% | 0.53% |
Net investment income, net of waivers/reimbursements | 3.77% | 2.89% | 1.39% | 1.41% | 2.43% |
Net investment income, before waivers/reimbursements | 3.57% | 2.69% | 1.21% | 1.20% | 2.15% |
Portfolio turnover rate | 370% | 302% | 346% | 438% | 612% |
1 | Calculated using the average shares outstanding method. |
2 | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
3 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
4 | Expenses include dividend and interest expense of less than 0.01% for April 30, 2024, less than 0.01% for April 30, 2023, 0.01% for April 30, 2022, and less than 0.01% for April 30, 2021 and April 30, 2020, respectively. |
Morningstar Municipal Bond Fund | |||||
Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | |
Selected per share data | 2024 | 2023 | 2022 | 2021 | 2020 |
Net asset value, beginning of year | $9.87 | $9.94 | $10.75 | $10.14 | $10.38 |
Income (loss) from investment operations: | |||||
Net investment income1 | 0.29 | 0.23 | 0.18 | 0.21 | 0.23 |
Net realized and unrealized gains (losses) | — 2 | (0.07) | (0.81) | 0.61 | (0.21) |
Total income (loss) from investment operations | 0.29 | 0.16 | (0.63) | 0.82 | 0.02 |
Less distributions paid: | |||||
From net investment income | (0.29) | (0.23) | (0.18) | (0.21) | (0.23) |
From realized gains | — | — | — 2 | — | (0.03) |
Total distributions paid | (0.29) | (0.23) | (0.18) | (0.21) | (0.26) |
Net asset value, end of year | $9.87 | $9.87 | $9.94 | $10.75 | $10.14 |
Total return3 | 3.01% | 1.67% | (5.93%) | 8.14% | 0.11% |
Supplemental data and ratios: | |||||
Net assets, end of year (millions) | $328 | $331 | $382 | $417 | $340 |
Ratio to average net assets of:4 | |||||
Total expenses before waivers/reimbursements | 0.67% | 0.67% | 0.65% | 0.66% | 0.77% |
Total expenses after waivers/reimbursements | 0.58% | 0.58% | 0.58% | 0.58% | 0.58% |
Net investment income, net of waivers/reimbursements | 2.98% | 2.34% | 1.65% | 1.98% | 2.17% |
Net investment income, before waivers/reimbursements | 2.89% | 2.25% | 1.58% | 1.90% | 1.98% |
Portfolio turnover rate | 57% | 22% | 41% | 53% | 127% |
1 | Calculated using the average shares outstanding method. |
2 | Rounds to less than 0.01. |
3 | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
4 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
Morningstar Defensive Bond Fund | |||||
Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | |
Selected per share data | 2024 | 2023 | 2022 | 2021 | 2020 |
Net asset value, beginning of year | $9.49 | $9.69 | $10.24 | $10.17 | $10.10 |
Income (loss) from investment operations: | |||||
Net investment income1 | 0.42 | 0.29 | 0.20 | 0.20 | 0.20 |
Net realized and unrealized gains (losses) | 0.02 | (0.23) | (0.46) | 0.16 | 0.13 |
Total income (loss) from investment operations | 0.44 | 0.06 | (0.26) | 0.36 | 0.33 |
Less distributions paid: | |||||
From net investment income | (0.41) | (0.26) | (0.19) | (0.19) | (0.23) |
From realized gains | — | — | (0.08) | (0.10) | (0.03) |
From return of capital | — | — | (0.02) | — | — |
Total distributions paid | (0.41) | (0.26) | (0.29) | (0.29) | (0.26) |
Net asset value, end of year | $9.52 | $9.49 | $9.69 | $10.24 | $10.17 |
Total return2 | 4.72% | 0.63% | (2.61%) | 3.56% | 3.36% |
Supplemental data and ratios: | |||||
Net assets, end of year (millions) | $130 | $135 | $144 | $201 | $183 |
Ratio to average net assets of:3 | |||||
Total expenses before waivers/reimbursements | 0.71% | 0.73% | 0.64% | 0.64% | 0.66% |
Total expenses after waivers/reimbursements | 0.48% | 0.48% | 0.48% | 0.48% | 0.48% |
Net investment income, net of waivers/reimbursements | 4.37% | 3.03% | 1.96% | 1.92% | 2.02% |
Net investment income, before waivers/reimbursements | 4.14% | 2.78% | 1.80% | 1.76% | 1.84% |
Portfolio turnover rate | 65% | 16% | 45% | 53% | 88% |
1 | Calculated using the average shares outstanding method. |
2 | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
3 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
Morningstar Multisector Bond Fund | |||||
Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | |
Selected per share data | 2024 | 2023 | 2022 | 2021 | 2020 |
Net asset value, beginning of year | $8.77 | $9.00 | $10.52 | $9.39 | $10.28 |
Income (loss) from investment operations: | |||||
Net investment income1 | 0.52 | 0.45 | 0.43 | 0.44 | 0.46 |
Net realized and unrealized gains (losses) | (0.09) | (0.44) | (1.54) | 0.94 | (0.83) |
Total income (loss) from investment operations | 0.43 | 0.01 | (1.11) | 1.38 | (0.37) |
Less distributions paid: | |||||
From net investment income | (0.52) | (0.24) | (0.30) | (0.25) | (0.43) |
From realized gains | — | — | (0.11) | — | (0.09) |
Total distributions paid | (0.52) | (0.24) | (0.41) | (0.25) | (0.52) |
Net asset value, end of year | $8.68 | $8.77 | $9.00 | $10.52 | $9.39 |
Total return2 | 5.04% | 0.23% | (10.95%) | 14.79% | (3.97%) |
Supplemental data and ratios: | |||||
Net assets, end of year (millions) | $173 | $176 | $172 | $237 | $192 |
Ratio to average net assets of:3 | |||||
Total expenses before waivers/reimbursements | 1.03% | 1.04% | 0.92% | 0.91% | 0.98% |
Total expenses after waivers/reimbursements | 0.79% | 0.80% | 0.79% | 0.79% | 0.79% |
Net investment income, net of waivers/reimbursements | 5.98% | 5.14% | 4.25% | 4.31% | 4.52% |
Net investment income, before waivers/reimbursements | 5.74% | 4.90% | 4.12% | 4.19% | 4.33% |
Portfolio turnover rate | 157% | 131% | 97% | 127% | 138% |
1 | Calculated using the average shares outstanding method. |
2 | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
3 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
Morningstar Global Opportunistic Equity Fund | |||||
Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | |
Selected per share data | 2024 | 2023 | 2022 | 2021 | 2020 |
Net asset value, beginning of year | $9.77 | $9.57 | $12.08 | $9.28 | $10.38 |
Income (loss) from investment operations: | |||||
Net investment income1 | 0.22 | 0.20 | 0.21 | 0.14 | 0.23 |
Net realized and unrealized gains (losses) | 0.88 | 0.27 | (0.43) | 2.99 | (0.91) |
Total income (loss) from investment operations | 1.10 | 0.47 | (0.22) | 3.13 | (0.68) |
Less distributions paid: | |||||
From net investment income | (0.24) | (0.12) | (0.26) | (0.23) | (0.21) |
From realized gains | (0.03) | (0.15) | (2.03) | (0.10) | (0.21) |
Total distributions paid | (0.27) | (0.27) | (2.29) | (0.33) | (0.42) |
Net asset value, end of year | $10.60 | $9.77 | $9.57 | $12.08 | $9.28 |
Total return2 | 11.41% | 5.15% | (2.77%) | 34.01% | (7.07%) |
Supplemental data and ratios: | |||||
Net assets, end of year (millions) | $297 | $233 | $200 | $211 | $138 |
Ratio to average net assets of:3 | |||||
Total expenses before waivers/reimbursements | 0.74% | 0.80% | 0.78% | 0.78% | 0.94% |
Total expenses after waivers/reimbursements | 0.74% | 0.80% | 0.78% | 0.74% | 0.73% |
Net investment income, net of waivers/reimbursements | 2.20% | 2.15% | 1.81% | 1.28% | 2.29% |
Net investment income, before waivers/reimbursements | 2.20% | 2.15% | 1.81% | 1.24% | 2.08% |
Portfolio turnover rate | 60% | 47% | 96% | 52% | 66% |
1 | Calculated using the average shares outstanding method. |
2 | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
3 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
Morningstar Alternatives Fund | |||||
Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | Year Ended April 30 | |
Selected per share data | 2024 | 2023 | 2022 | 2021 | 2020 |
Net asset value, beginning of year | $9.78 | $10.12 | $10.71 | $10.12 | $10.10 |
Income (loss) from investment operations: | |||||
Net investment income1 | 0.33 | 0.19 | 0.07 | 0.12 | 0.25 |
Net realized and unrealized gains (losses) | 0.41 | (0.15) | (0.14) | 0.77 | (0.05) |
Total income (loss) from investment operations | 0.74 | 0.04 | (0.07) | 0.89 | 0.20 |
Less distributions paid: | |||||
From net investment income | (0.39) | (0.20) | (0.14) | (0.13) | (0.14) |
From realized gains | — | (0.18) | (0.38) | (0.17) | (0.04) |
Total distributions paid | (0.39) | (0.38) | (0.52) | (0.30) | (0.18) |
Net asset value, end of year | $10.13 | $9.78 | $10.12 | $10.71 | $10.12 |
Total return2 | 7.58% | 0.42% | (0.78%) | 8.92% | 1.94% |
Supplemental data and ratios: | |||||
Net assets, end of year (millions) | $226 | $275 | $368 | $328 | $186 |
Ratio to average net assets of:3 | |||||
Total expenses before waivers/reimbursements4 | 1.57% | 1.44% | 1.45% | 1.68% | 1.48% |
Total expenses after waivers/reimbursements4 | 1.41% | 1.31% | 1.31% | 1.26% | 1.13% |
Total expenses after waivers/reimbursements and excluding dividend and interest expense | 1.17% | 1.16% | 1.15% | 1.12% | 0.87% |
Net investment income, net of waivers/reimbursements | 3.33% | 1.91% | 0.63% | 1.14% | 2.45% |
Net investment income, before waivers/reimbursements | 3.17% | 1.78% | 0.49% | 0.72% | 2.10% |
Portfolio turnover rate | 198% | 358% | 433% | 372% | 154% |
1 | Calculated using the average shares outstanding method. |
2 | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
3 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
4 | Expenses include dividend and interest expense of 0.24%, 0.16%, 0.16%, 0.14%, and 0.26% for April 30, 2024, April 30, 2023, April 30, 2022, April 30, 2021, and April 30, 2020, respectively. |
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 | Maximize total return while also generating income and preserving capital |
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 | $ 285,835 | $4,686,007 | $166,356 | $ 557,383 |
Deposits with broker for futures contracts | 879,635 | 791,130 | 135,797 | 483,809 |
Due from broker | $1,165,470 | $5,477,137 | $302,153 | $1,041,192 |
Liabilities | ||||
Cash collateral for derivatives | $ 53,765 | $3,691,535 | $ — | $ 375,402 |
Deposits with broker for futures contracts | — | 78,032 | 2,225 | — |
Due to broker | $ 53,765 | $3,769,567 | $ 2,225 | $ 375,402 |
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% |
Alternatives Fund | 0.85% |
Morningstar Funds | Expense Cap | Management Fees Waived |
U.S. Equity Fund | 0.84% | $321,657 |
International Equity Fund | 0.99% | 457,396 |
Global Income Fund | 0.73% | 47,180 |
Total Return Bond Fund | 0.53% | 1,085,888 |
Municipal Bond Fund | 0.58% | 183,137 |
Defensive Bond Fund | 0.48% | 216,767 |
Multisector Bond Fund | 0.79% | 298,726 |
Morningstar Funds | Expense Cap | Management Fees Waived |
Global Opportunistic Equity Fund | 0.84% | $— |
Alternatives Fund | 1.16% | 247,603 |
Morningstar Funds | Prior Expense Cap Before Inclusion of AFFE (through 8/31/2023) | Fees Waived/ Reimbursed Before Inclusion of AFFE (through 8/31/2023) | Prior Expense Cap After Inclusion of AFFE (through 8/31/2023) | Fees Waived/ Reimbursed After Inclusion of AFFE (through 8/31/2023) |
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. |
Morningstar Funds | Subadvisers |
International Equity Fund | Harding Loevner LP 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 | $ — | $ 695,256,569 | $ — | $ 820,968,640 | $ — | $ — |
International Equity Fund | — | 237,104,101 | — | 245,312,136 | — | — |
Global Income Fund | 2,654,552 | 110,487,078 | 3,364,698 | 132,094,924 | — | — |
Total Return Bond Fund | 266,542,812 | 2,577,385,422 | 237,763,936 | 2,553,425,883 | 404,396,006 | 408,245,394 |
Municipal Bond Fund | — | 179,866,548 | — | 177,962,511 | — | — |
Defensive Bond Fund | — | 78,703,326 | — | 86,980,435 | — | — |
Multisector Bond Fund | 78,117,214 | 185,981,412 | 77,997,317 | 186,942,610 | 46,722 | 46,909 |
Global Opportunistic Equity Fund | — | 201,373,391 | — | 155,588,384 | — | — |
Alternatives Fund | 121,260,818 | 320,810,771 | 143,839,407 | 344,658,035 | 64,421,735 | 57,812,585 |
Morningstar Funds | Market Value of Securities on Loan | Cash Collateral Received* | Non-Cash Collateral Received* | Total Collateral Received |
U.S. Equity Fund | $ 50,331,801 | $12,764,842 | $ 39,558,227 | $ 52,323,069 |
International Equity Fund | 7,622,078 | 6,744,839 | 1,304,297 | 8,049,136 |
Global Income Fund | 5,224,067 | 5,081,368 | 234,437 | 5,315,805 |
Total Return Bond Fund | 16,299,526 | 9,620,383 | 7,234,483 | 16,854,866 |
Defensive Bond Fund | 2,314,692 | — | 2,387,206 | 2,387,206 |
Global Opportunistic Equity Fund | 51,570,348 | 52,073,069 | 1,473,804 | 53,546,873 |
* There are no restrictions or maturity dates on the cash collateral received from borrower. The non-cash collateral received consists of U.S. Government securities which cannot be sold or repledged, and accordingly are not reflected in the Portfolio of Investments. The remaining contractual maturity of non-cash collateral received are as follows: | ||||
Morningstar Funds | Up to 30 Days | 30-90 Days | Over 90 Days | Total Non-Cash Collateral Received |
U.S. Equity Fund | $ 142,228 | $ 72,933 | $ 39,343,066 | $ 39,558,227 |
International Equity Fund | 1,345 | 2,040 | 1,300,912 | 1,304,297 |
Global Income Fund | 573 | 1,856 | 232,008 | 234,437 |
Total Return Bond Fund | 98,246 | 712,656 | 6,423,581 | 7,234,483 |
Defensive Bond Fund | — | 35,172 | 2,352,034 | 2,387,206 |
* There are no restrictions or maturity dates on the cash collateral received from borrower. The non-cash collateral received consists of U.S. Government securities which cannot be sold or repledged, and accordingly are not reflected in the Portfolio of Investments. The remaining contractual maturity of non-cash collateral received are as follows: | ||||
Morningstar Funds | Up to 30 Days | 30-90 Days | Over 90 Days | Total Non-Cash Collateral Received |
Global Opportunistic Equity Fund | $8,770 | $2,521 | $1,462,513 | $1,473,804 |
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 | ||||||||||
Credit risk | $ — | $ 4,899 | $ — | $ — | $ 4,899 | $ — | $ 6,137 | $ — | $ — | $ 6,137 |
Foreign exchange rate risk | — | — | 23,056 | 4,986 | 28,042 | — | — | 51,753 | 1,111 | 52,864 |
Interest rate risk | 55,837 | — | — | — | 55,837 | 784,445 | 95,148 | — | — | 879,593 |
Total | 55,837 | 4,899 | 23,056 | 4,986 | 88,778 | 784,445 | 101,285 | 51,753 | 1,111 | 938,594 |
Netting positions | (55,837) | (4,899) | (23,056) | (1,111) | (84,903) | (55,837) | (4,899) | (23,056) | (1,111) | (84,903) |
Net Fair Value of Derivative Contracts | $ — | $ — | $ — | $ 3,875 | $ 3,875 | $ 728,608 | $ 96,386 | $ 28,697 | $ — | $ 853,691 |
Morningstar Total Return Bond Fund | ||||||||||
Credit risk | $ — | $ 892,836 | $ — | $ — | $ 892,836 | $ — | $ 75,764 | $ — | $ — | $ 75,764 |
Foreign exchange rate risk | — | — | 433,077 | 118,777 | 551,854 | — | — | 262,923 | 8,474 | 271,397 |
Interest rate risk | 321,509 | 2,262,048 | — | 784,317 | 3,367,874 | 2,799,117 | 11,458 | — | 324,211 | 3,134,786 |
Total | 321,509 | 3,154,884 | 433,077 | 903,094 | 4,812,564 | 2,799,117 | 87,222 | 262,923 | 332,685 | 3,481,947 |
Netting positions | (321,509) | (87,222) | (262,923) | (332,685) | (1,004,339) | (321,509) | (87,222) | (262,923) | (332,685) | (1,004,339) |
Net Fair Value of Derivative Contracts | $ — | $ 3,067,662 | $ 170,154 | $ 570,409 | $ 3,808,225 | $2,477,608 | $ — | $ — | $ — | $ 2,477,608 |
Morningstar Multisector Bond Fund | ||||||||||
Foreign exchange rate risk | $ — | $ — | $ 233,060 | $ 28,651 | $ 261,711 | $ — | $ — | $ 200,655 | $ 6,920 | $ 207,575 |
Interest rate risk | 217,290 | — | — | — | 217,290 | 99,278 | — | — | — | 99,278 |
Total | 217,290 | — | 233,060 | 28,651 | 479,001 | 99,278 | — | 200,655 | 6,920 | 306,853 |
Netting positions | (99,278) | — | (200,655) | (6,920) | (306,853) | (99,278) | — | (200,655) | (6,920) | (306,853) |
Net Fair Value of Derivative Contracts | $ 118,012 | $ — | $ 32,405 | $ 21,731 | $ 172,148 | $ — | $ — | $ — | $ — | $ — |
Morningstar Alternatives Fund | ||||||||||
Credit risk | $ — | $ — | $ — | $ — | $ — | $ — | $ 105,885 | $ — | $ — | $ 105,885 |
Equity risk | — | 44,821,743 | — | 82,800 | 44,904,543 | — | 42,198,037 | — | — | 42,198,037 |
Foreign exchange rate risk | — | — | 667,253 | 8,786 | 676,039 | — | — | 560,922 | — | 560,922 |
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 | $ 610,493 | $ — | $ — | $ — | $ 610,493 | $ 649,875 | $ — | $ — | $— | $ 649,875 |
Total | 610,493 | 44,821,743 | 667,253 | 91,586 | 46,191,075 | 649,875 | 42,303,922 | 560,922 | — | 43,514,719 |
Netting positions | (610,493) | (42,303,922) | (560,922) | — | (43,475,337) | (610,493) | (42,303,922) | (560,922) | — | (43,475,337) |
Net Fair Value of Derivative Contracts | $ — | $ 2,517,821 | $ 106,331 | $91,586 | $ 2,715,738 | $ 39,382 | $ — | $ — | $— | $ 39,382 |
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 | $ — | $ — | $ 224,852 | $ — | $ 224,852 | $ — | $ — | $ — | $ — | $ — |
Total | $ — | $ — | $ 224,852 | $ — | $ 224,852 | $ — | $ — | $ — | $ — | $ — |
Morningstar Global Income Fund | ||||||||||
Credit risk | $ — | $ (11,856) | $ — | $ (1) | $ (11,857) | $ — | $ (673) | $ — | $ — | $ (673) |
Foreign exchange rate risk | — | — | 62,661 | (76,165) | (13,504) | — | — | 42,292 | (19,405) | 22,887 |
Interest rate risk | (2,142,707) | 278,780 | — | (17,845) | (1,881,772) | (1,346,482) | (181,468) | — | (5,980) | (1,533,930) |
Total | $(2,142,707) | $ 266,924 | $ 62,661 | $ (94,011) | $ (1,907,133) | $(1,346,482) | $ (182,141) | $ 42,292 | $(25,385) | $(1,511,716) |
Morningstar Total Return Bond Fund | ||||||||||
Credit risk | $ — | $ 1,087,342 | $ — | $ — | $ 1,087,342 | $ — | $ (315,259) | $ — | $ — | $ (315,259) |
Equity risk | — | (82,060) | — | — | (82,060) | — | — | — | — | — |
Foreign exchange rate risk | — | — | (282,340) | (176,989) | (459,329) | — | — | 217,411 | 24,076 | 241,487 |
Interest rate risk | (8,733,437) | (1,100,225) | — | (1,338,573) | (11,172,235) | (2,090,542) | 2,475,479 | — | (52,453) | 332,484 |
Total | $(8,733,437) | $ (94,943) | $(282,340) | $(1,515,562) | $(10,626,282) | $(2,090,542) | $2,160,220 | $217,411 | $(28,377) | $ 258,712 |
Morningstar Multisector Bond Fund | ||||||||||
Credit risk | $ — | $ 56,848 | $ — | $ — | $ 56,848 | $ — | $ — | $ — | $ — | $ — |
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 | $ — | $ — | $(129,226) | $ (77,056) | $ (206,282) | $ — | $ — | $ 9,268 | $ 3,961 | $ 13,229 |
Interest rate risk | 218,800 | — | — | — | 218,800 | 148,991 | — | — | — | 148,991 |
Total | $ 218,800 | $ 56,848 | $(129,226) | $ (77,056) | $ 69,366 | $148,991 | $ — | $ 9,268 | $ 3,961 | $ 162,220 |
Morningstar Global Opportunistic Equity Fund | ||||||||||
Foreign exchange rate risk | $ — | $ — | $ 180,124 | $ — | $ 180,124 | $ — | $ — | $ 40,310 | $ — | $ 40,310 |
Total | $ — | $ — | $ 180,124 | $ — | $ 180,124 | $ — | $ — | $ 40,310 | $ — | $ 40,310 |
Morningstar Alternatives Fund | ||||||||||
Credit risk | $ — | $ (51,827) | $ — | $ — | $ (51,827) | $ — | $ 80,861 | $ — | $ — | $ 80,861 |
Equity risk | 1,016,782 | 2,335,766 | — | (454,581) | 2,897,967 | — | 362,046 | — | 163,472 | 525,518 |
Foreign exchange rate risk | — | — | (143,365) | 2,725 | (140,640) | — | — | 258,748 | 4,361 | 263,109 |
Inflation risk | — | 7,736 | — | — | 7,736 | — | (2,449) | — | — | (2,449) |
Interest rate risk | — | (68,743) | — | — | (68,743) | 905,526 | 111,480 | — | — | 1,017,006 |
Total | $1,016,782 | $2,222,932 | $(143,365) | $(451,856) | $2,644,493 | $905,526 | $551,938 | $258,748 | $167,833 | $1,884,045 |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $ 23,056 | $ 51,753 |
Futures contracts | 55,837 | 784,445 |
Interest rate swap contracts* | — | 95,148 |
Credit default swap contracts* | 4,899 | 6,137 |
Purchased options | 4,986 | — |
Written options | — | 1,111 |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $ 88,778 | $ 938,594 |
Less: Derivatives not subject to MNA or similar agreements | (60,736) | (841,753) |
Total gross amount of derivatives subject to MNA or similar agreement | $ 28,042 | $ 96,841 |
* | 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 | $61 | $(61) | $— | $— | $— |
Counterparty | Gross Assets | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Citibank | $11,816 | (10,624) | $1,192 | $— | $1,192 |
Goldman Sachs | 2,287 | (2,266) | 21 | — | 21 |
JPMorgan Chase | 8,605 | (8,605) | — | — | — |
Morgan Stanley | 5,273 | (5,273) | — | — | — |
Total | $28,042 | $(26,829) | $1,213 | $— | $1,213 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
BNP Paribas | $ (6,989) | $ 61 | $ (6,928) | $ — | $ (6,928) |
Citibank | (10,624) | 10,624 | — | — | — |
Goldman Sachs | (2,266) | 2,266 | — | — | — |
JPMorgan Chase(a) | (51,466) | 8,605 | (42,861) | 42,861 | — |
Morgan Stanley | (25,496) | 5,273 | (20,223) | — | (20,223) |
Total | $(96,841) | $26,829 | $(70,012) | $42,861 | $(27,151) |
(a) | Actual amount of collateral pledged by the Fund to JPMorgan Chase exceeded the net amount before collateral and is included in Due from broker in the Statements of Assets and Liabilities. |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $ 433,077 | $ 262,923 |
Futures contracts | 321,509 | 2,799,117 |
Interest rate swap contracts* | 2,262,048 | 11,458 |
Credit default swap contracts* | 892,836 | 75,764 |
Purchased options | 290,149 | — |
Purchased swaptions | 612,945 | — |
Written options | — | 129,728 |
Written swaptions | — | 202,957 |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $ 4,812,564 | $ 3,481,947 |
Less: Derivatives not subject to MNA or similar agreements | (3,612,158) | (2,951,041) |
Total gross amount of derivatives subject to MNA or similar agreement | $ 1,200,406 | $ 530,906 |
* | 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 | $ 93,416 | $(11,948) | $81,468 | $ — | $81,468 |
Barclays (a) | 132,676 | (45,648) | 87,028 | (87,028) | — |
BNP Paribas | 17,627 | (17,627) | — | — | — |
Citibank | 55,240 | (20,548) | 34,692 | — | 34,692 |
Counterparty | Gross Assets | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Deutsche Bank | $ 6,435 | $ (4,943) | $ 1,492 | $ — | $ 1,492 |
Goldman Sachs(a) | 549,018 | (317,428) | 231,590 | (231,590) | — |
HSBC | 7,296 | (7,296) | — | — | — |
JPMorgan Chase | 7,646 | (7,646) | — | — | — |
Morgan Stanley(b) | 167,370 | (6,667) | 160,703 | (20,000) | 140,703 |
Nomura | 501 | (501) | — | — | — |
RBS | 41,122 | (126) | 40,996 | — | 40,996 |
Standard Chartered Bank | 2,797 | (678) | 2,119 | — | 2,119 |
State Street | 2,001 | (2,001) | — | — | — |
Toronto—Dominion Bank | 60,159 | (469) | 59,690 | — | 59,690 |
UBS (b) | 57,102 | (387) | 56,715 | (10,000) | 46,715 |
Total | $1,200,406 | $(443,913) | $756,493 | $(348,618) | $407,875 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Bank of America | $ (11,948) | $ 11,948 | $ — | $— | $ — |
Barclays | (45,648) | 45,648 | — | — | — |
BNP Paribas | (46,001) | 17,627 | (28,374) | — | (28,374) |
Citibank | (20,548) | 20,548 | — | — | — |
Deutsche Bank | (4,943) | 4,943 | — | — | — |
Goldman Sachs | (317,428) | 317,428 | — | — | — |
HSBC | (10,422) | 7,296 | (3,126) | — | (3,126) |
JPMorgan Chase | (8,864) | 7,646 | (1,218) | — | (1,218) |
Morgan Stanley | (6,667) | 6,667 | — | — | — |
Nomura | (46,629) | 501 | (46,128) | — | (46,128) |
RBS | (126) | 126 | — | — | — |
Standard Chartered Bank | (678) | 678 | — | — | — |
State Street | (10,148) | 2,001 | (8,147) | — | (8,147) |
Toronto—Dominion Bank | (469) | 469 | — | — | — |
UBS | (387) | 387 | — | — | — |
Total | $(530,906) | $443,913 | $(86,993) | $— | $(86,993) |
(a) | Actual amount of collateral received from Barclays and Goldman Sachs 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 Morgan Stanley and UBS is included in Due to broker in the Statements of Assets and Liabilities. |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $233,060 | $200,655 |
Futures contracts | 217,290 | 99,278 |
Purchased options | 28,651 | — |
Derivative Financial Instruments: | Assets | Liabilities |
Written options | — | 6,920 |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $ 479,001 | $306,853 |
Less: Derivatives not subject to MNA or similar agreements | (217,290) | (99,278) |
Total gross amount of derivatives subject to MNA or similar agreement | $ 261,711 | $207,575 |
* | 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 | $ 16,657 | $ (16,657) | $ — | $— | $ — |
Barclays | 42,628 | (6,920) | 35,708 | — | 35,708 |
BNP Paribas | 36,854 | (27,785) | 9,069 | — | 9,069 |
Citibank | 3,887 | — | 3,887 | — | 3,887 |
Deutsche Bank | 19,002 | — | 19,002 | — | 19,002 |
Goldman Sachs | 8,596 | — | 8,596 | — | 8,596 |
JPMorgan Chase | 80,053 | (75,792) | 4,261 | — | 4,261 |
Morgan Stanley | 54,034 | (9,765) | 44,269 | — | 44,269 |
Total | $261,711 | $(136,919) | $124,792 | $— | $124,792 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Bank of America(a) | $ (58,667) | $ 16,657 | $(42,010) | $42,010 | $ — |
Barclays | (6,920) | 6,920 | — | — | — |
Barings | (18,154) | — | (18,154) | — | (18,154) |
BNP Paribas | (27,785) | 27,785 | — | — | — |
ING | (10,492) | — | (10,492) | — | (10,492) |
JPMorgan Chase | (75,792) | 75,792 | — | — | — |
Morgan Stanley | (9,765) | 9,765 | — | — | — |
Total | $(207,575) | $136,919 | $(70,656) | $42,010 | $(28,646) |
(a) | Actual amount of collateral pledged by the Fund to Bank of America exceeded the net amount before collateral and is included in Due from broker in the Statements of Assets and Liabilities. |
Derivative Financial Instruments: | Assets | Liabilities |
Forward foreign currency exchange contracts | $ 667,253 | $ 560,922 |
Futures contracts | 610,493 | 649,875 |
Contracts for difference* | 44,821,743 | 42,198,037 |
Credit default swap contracts* | — | 105,885 |
Purchased options | 91,586 | — |
Total gross amount of derivatives in the Statement of Assets and Liabilities | $46,191,075 | $43,514,719 |
Derivative Financial Instruments: | Assets | Liabilities |
Less: Derivatives not subject to MNA or similar agreements | (693,293) | (755,760) |
Total gross amount of derivatives subject to MNA or similar agreement | $45,497,782 | $42,758,959 |
* | 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(a) | $ 43,746 | $ (21,706) | $ 22,040 | $ (22,040) | $ — |
Barclays | 17,389,003 | (17,389,003) | — | — | — |
Citibank | 20,274 | (20,274) | — | — | — |
Deutsche Bank | 109,874 | (105,514) | 4,360 | — | 4,360 |
Goldman Sachs(b) | 17,174,879 | (16,032,110) | 1,142,769 | (260,000) | 882,769 |
JPMorgan Chase | 10,457,062 | (8,569,733) | 1,887,329 | — | 1,887,329 |
Morgan Stanley | 302,263 | (134,773) | 167,490 | — | 167,490 |
Royal Bank Of Canada | 681 | — | 681 | — | 681 |
Total | $45,497,782 | $(42,273,113) | $3,224,669 | $(282,040) | $2,942,629 |
Counterparty | Gross Liabilities | Offset | Net Amount Before Collateral | Collateral (Received) Pledged | Net Exposure |
Bank of America | $ (21,706) | $ 21,706 | $ — | $ — | $ — |
Barclays (b) | (17,814,309) | 17,389,003 | (425,306) | 200,000 | (225,306) |
Citibank | (80,814) | 20,274 | (60,540) | — | (60,540) |
Deutsche Bank | (105,514) | 105,514 | — | — | — |
Goldman Sachs | (16,032,110) | 16,032,110 | — | — | — |
JPMorgan Chase | (8,569,733) | 8,569,733 | — | — | — |
Morgan Stanley | (134,773) | 134,773 | — | — | — |
Total | $(42,758,959) | $42,273,113 | $(485,846) | $200,000 | $(285,846) |
(a) | Actual amount of collateral received from Bank of America 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 Barclays is included in Due to broker and Due from broker, respectively, 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 | $58,968,697 | $234,460,832 | $5,857,205 | $— | $45,175,661 |
Average Notional Balance - Short | 6,786,166 | 117,610,955 | 5,088,453 | — | 32,725,597 |
Ending Notional Balance - Long | 41,397,230 | 207,683,495 | 6,942,594 | — | 28,141,712 |
Morningstar Global Income Fund | Morningstar Total Return Bond Fund | Morningstar Multisector Bond Fund | Morningstar Global Opportunistic Equity Fund | Morningstar Alternatives Fund | |
Futures Contracts: (continued) | |||||
Ending Notional Balance - Short | $ 2,538,213 | $ 33,230,552 | $ 6,069,219 | $ — | $23,762,324 |
Forward Foreign Currency Exchange Contracts: | |||||
Average Settlement Value - Purchased | 3,288,914 | 11,304,852 | 6,193,124 | 96,434 | 24,995,436 |
Average Settlement Value - Sold | 4,264,440 | 7,748,319 | 10,112,640 | 37,003 | 18,712,971 |
Ending Settlement Value - Purchased | 3,981,264 | 20,657,643 | 11,381,467 | — | 31,832,710 |
Ending Settlement Value - Sold | 4,518,514 | 13,362,787 | 12,076,240 | — | 27,155,888 |
Contracts for Difference: | |||||
Average Notional Balance - Long | — | — | — | — | 858,695 |
Average Notional Balance - Short | — | — | — | — | 874,408 |
Ending Notional Balance - Long | — | — | — | — | 736,382 |
Ending Notional Balance - Short | — | — | — | — | 756,080 |
Total Return Swaps: | |||||
Average Notional Balance - Pays Fixed Rate | 703 | — | — | — | — |
Ending Notional Balance - Pays Fixed Rate | 2,810 | — | — | — | — |
Inflation Swaps: | |||||
Average Notional Balance - Pays Fixed Rate | — | 1,802,000 | — | — | — |
Average Notional Balance - Receives Fixed Rate | — | 1,918,250 | — | — | — |
Interest Rate Swaps: | |||||
Average Notional Balance - Pays Fixed Rate | 1,583,250 | 1,626,896,995 | — | — | — |
Average Notional Balance - Receives Fixed Rate | 30,723,736 | 527,108,816 | — | — | — |
Ending Notional Balance - Pays Fixed Rate | — | 1,091,052,256 | — | — | — |
Ending Notional Balance - Receives Fixed Rate | 31,827,982 | 755,309,530 | — | — | — |
Credit Default Swaps: | |||||
Average Notional Balance - Buy Protection | 14,825 | 2,202,400 | 225,000 | — | 2,377,500 |
Morningstar Global Income Fund | Morningstar Total Return Bond Fund | Morningstar Multisector Bond Fund | Morningstar Global Opportunistic Equity Fund | Morningstar Alternatives Fund | |
Credit Default Swaps (continued): | |||||
Average Notional Balance - Sell Protection | $ 14,825 | $ 24,857,754 | $ 278,750 | $— | $ 730,125 |
Ending Notional Balance - Buy Protection | 59,300 | 2,917,478 | — | — | 1,620,000 |
Ending Notional Balance - Sell Protection | 59,300 | 24,803,325 | — | — | — |
Options: | |||||
Average Notional Balance - Purchased | 3,006,094 | 184,519,259 | 1,670,360 | — | 1,468,017 |
Average Notional Balance - Written | 208,389 | 198,737,251 | 1,328,962 | — | 27,252 |
Ending Notional Balance - Purchased | 509,666 | 65,895,555 | 2,579,439 | — | 1,680,030 |
Ending Notional Balance - Written | 313,555 | 78,890,081 | 2,653,846 | — | — |
Swaptions: | |||||
Average Notional Balance - Purchased | 431,250 | 120,278,768 | — | — | — |
Average Notional Balance - Written | 2,156,000 | 156,765,102 | — | — | — |
Ending Notional Balance - Purchased | — | 154,038,952 | — | — | — |
Ending Notional Balance - Written | — | 196,994,328 | — | — | — |
Morningstar Funds | Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) |
U.S. Equity Fund | $1,308,612,918 | $348,965,523 | $(45,567,236) | $303,398,287 |
International Equity Fund | 790,865,636 | 102,569,947 | (81,142,213) | 21,427,734 |
Global Income Fund | 196,269,349 | 9,718,832 | (8,665,428) | 1,053,404 |
Total Return Bond Fund | 928,072,505 | 5,157,216 | (66,790,437) | (61,633,221) |
Municipal Bond Fund | 343,950,535 | 1,082,250 | (14,734,403) | (13,652,153) |
Defensive Bond Fund | 132,468,551 | 920,567 | (3,690,646) | (2,770,079) |
Multisector Bond Fund | 180,417,892 | 2,728,904 | (11,023,596) | (8,294,692) |
Global Opportunistic Equity Fund | 327,534,944 | 31,070,306 | (9,436,709) | 21,633,597 |
Alternatives Fund | 211,241,713 | 9,900,739 | (16,224,367) | (6,323,628) |
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) | Total Accumulated Earnings |
U.S. Equity Fund | $ — | $10,027,243 | $ 68,098,135 | $303,386,433 | $ 381,511,811 |
International Equity Fund | — | 13,258,190 | (2,879,705) | 21,284,349 | 31,662,834 |
Global Income Fund | — | 1,735,882 | (25,043,773) | 1,043,772 | (22,264,119) |
Total Return Bond Fund | — | 678,737 | (118,301,911) | (61,657,348) | (179,280,522) |
Municipal Bond Fund | 196,891 | — | (9,677,270) | (13,652,153) | (23,132,532) |
Defensive Bond Fund | — | 61,416 | (7,168,106) | (2,770,079) | (9,876,769) |
Multisector Bond Fund | — | 20,477 | (25,306,210) | (8,332,750) | (33,618,483) |
Global Opportunistic Equity Fund | — | 2,353,531 | 3,732,251 | 21,606,946 | 27,692,728 |
Alternatives Fund | — | 2,194,922 | (5,877,101) | (6,324,873) | (10,007,052) |
Morningstar Funds | Accumulated Distributable Earnings (Losses) | Paid-in Capital |
International Equity Fund | $(50,479) | $50,479 |
Total Return Bond Fund | 12 | (12) |
Fiscal Year Ended April 30, 2024 | ||||
Morningstar Funds | Tax-Exempt Income | Ordinary Income | Capital Gains | Total Distributions Paid |
U.S. Equity Fund | $ — | $23,462,336 | $41,751,458 | $65,213,794 |
International Equity Fund | — | 18,789,554 | — | 18,789,554 |
Global Income Fund | — | 12,554,100 | — | 12,554,100 |
Total Return Bond Fund | — | 30,053,999 | — | 30,053,999 |
Municipal Bond Fund | 9,291,963 | 460,441 | — | 9,752,404 |
Defensive Bond Fund | — | 5,698,959 | — | 5,698,959 |
Multisector Bond Fund | — | 10,383,805 | — | 10,383,805 |
Global Opportunistic Equity Fund | — | 6,731,199 | 937,418 | 7,668,617 |
Alternatives Fund | — | 8,664,487 | — | 8,664,487 |
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, 2024 | ||
Morningstar Funds | Short-Term Capital Loss Carryforward | Long-Term Capital Loss Carryforward |
International Equity Fund | $ 2,879,705 | $ — |
Global Income Fund | 13,967,875 | 11,075,898 |
Total Return Bond Fund | 46,571,494 | 71,730,417 |
Municipal Bond Fund | 1,009,902 | 8,667,368 |
Defensive Bond Fund | 615,801 | 6,552,305 |
Multisector Bond Fund | 15,153,574 | 10,152,636 |
Alternatives Fund | — | 5,877,101 |
Morningstar Funds | |
International Equity Fund | 6,699,872 |
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 | 3 | 95% |
1Includes omnibus positions of broker-dealers representing numerous shareholder accounts. |
June 27, 2024
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 | $1,203.60 | $4.60 | $1,000.00 | $1,020.69 | $4.22 |
Morningstar International Equity Fund | 0.99 | 1,000.00 | 1,139.80 | 5.27 | 1,000.00 | 1,019.94 | 4.97 |
Morningstar Global Income Fund | 0.74 | 1,000.00 | 1,114.50 | 3.89 | 1,000.00 | 1,021.18 | 3.72 |
Morningstar Total Return Bond Fund | 0.53 | 1,000.00 | 1,051.90 | 2.70 | 1,000.00 | 1,022.23 | 2.66 |
Morningstar Municipal Bond Fund | 0.58 | 1,000.00 | 1,065.00 | 2.98 | 1,000.00 | 1,021.98 | 2.92 |
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 | $1,036.30 | $2.43 | $1,000.00 | $1,022.48 | $2.41 |
Morningstar Multisector Bond Fund | 0.79 | 1,000.00 | 1,082.20 | 4.09 | 1,000.00 | 1,020.93 | 3.97 |
Morningstar Global Opportunistic Equity Fund | 0.76 | 1,000.00 | 1,156.70 | 4.08 | 1,000.00 | 1,021.08 | 3.82 |
Morningstar Alternatives Fund | 1.16 | 1,000.00 | 1,056.40 | 5.93 | 1,000.00 | 1,019.10 | 5.82 |
* | Expenses are equal to the Fund's annualized expense ratios, multiplied by the average account value over the period, multiplied by [182/366] (to reflect the one-half year period). |
Morningstar Funds | Long-Term Capital Gain | |
U.S. Equity Fund | $68,098,135 | |
Global Opportunistic Equity Fund | 3,732,251 |
Morningstar Funds | Corporate DRD Percentage (%) | |
U.S. Equity Fund | 49 | |
International Equity Fund | 1 | |
Global Income Fund | 7 | |
Defensive Bond Fund | 3 | |
Multisector Bond Fund | —* | |
Global Opportunistic Equity Fund | 19 | |
Alternatives Fund | 8 | |
* Amount rounds to less than 0.5% |
Morningstar Funds | QDI Percentage (%) | |
U.S. Equity Fund | 55 | |
International Equity Fund | 100 | |
Global Income Fund | 28 | |
Defensive Bond Fund | 3 | |
Multisector Bond Fund | —* | |
Global Opportunistic Equity Fund | 76 | |
Alternatives Fund | 10 | |
* Amount rounds to less than 0.5% |
Morningstar Funds | Foreign Tax Credit | Foreign Source Income |
International Equity Fund | $0.03 | $0.21 |
Morningstar Funds | Exempt-Interest Dividend (%) | |
Municipal Bond Fund | 95.28 |
Name and Year of Birth | Position with the Trust, Term of Office and Length of Time Served | Principal Occupation During Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustees | Other Directorships Held During Past Five Years |
Independent Trustees of the Trust(1) | ||||
Theresa Hamacher (1960) | Trustee and Chairperson of the Board since March 2018 | President of Versanture Consulting since 2015 | 9 | None |
Linda D. Taylor (1952) | Trustee since April 2018 | Chairman and Chief Executive Officer of Clifford Swan Investment Counselors from 2010 to 2020 | 9 | San Pasqual Fiduciary Trust Company Since 2011 |
Barry P. Benjamin (1957) | Trustee since July 2018 | Affiliate Instructor at Loyola University, Maryland since 2020; Partner at PricewaterhouseCoopers LLP from 1991 to 2018 | 9 | None |
Jennifer Choi (1968) | Trustee since April 2023 | Professorial Lecturer in Law at the George Washington University School of Law since 2022; Senior Policy Advisor at Ropes & Gray from 2022 to 2023; Chief Counsel of the Investment Company Institute (ICI) from 2017 to 2022; Adjunct Professor of Law at American University’s Washington College of Law from 2006 to 2019 | 9 | None |
Name and Year of Birth | Position with the Trust, Term of Office and Length of Time Served | Principal Occupation During Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustees | Other Directorships Held During Past Five Years |
Interested Trustee of the Trust | ||||
Daniel E. Needham(2) (1978) | Trustee, President and Principal Executive Officer since 2017 | President of Morningstar Inc.’s Wealth Management Solutions group since 2022; Co-President of Morningstar Investment Management LLC and Morningstar Investment Services, LLC since 2015; Chief Investment Officer of Morningstar, Inc.'s investment management group from 2013 to July 2021 | 9 | None |
Officers of the Trust | ||||
Tracy L. Dotolo (1976) | Principal Financial Officer and Treasurer since March 2018 | Senior Principal Consultant at Foreside Fund Officer Services, LLC (dba ACA Group) since May 2016 | N/A | N/A |
D. Scott Schilling (1960) | Chief Compliance Officer, Anti-Money Laundering Compliance Officer, and Secretary since March 2018 | Chief Compliance Officer at Morningstar Investment Management, LLC from January 2000 to November 2018; Chief Compliance Officer at Morningstar Investment Services LLC from July 2001 to November 2018; Chief Compliance Officer at Morningstar Research Services LLC from its inception in November 2016 to November 2018; Global Chief Compliance Officer at Morningstar, Inc. from July 2013 to October 2020 | N/A | N/A |
Name and Year of Birth | Position with the Trust, Term of Office and Length of Time Served | Principal Occupation During Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustees | Other Directorships Held During Past Five Years |
Jaime A. Dubon (1993) | Assistant Treasurer since June 2022 | Mutual Fund Accounting Manager at Morningstar Investment Management, LLC since June 2021; Senior Financial Reporting Analyst from September 2019 to June 2021 and Financial Reporting Analyst from August 2017 to August 2019 at Jackson National Asset Management, LLC | N/A | N/A |
(1) | The trustees of the Trust who are not “interested persons” of the Trust as defined under the 1940 Act (independent trustees). |
(2) | Daniel Needham is an “interested person” of the Trust as defined by the 1940 Act because he is an affiliated person of the adviser. |
Morningstar Funds Trust Privacy Policy (unaudited) | ||
PLEASE READ "OTHER IMPORTANT INFORMATION" SECTION BELOW FOR INFORMATION ABOUT MORNINGSTAR FUNDS TRUST ACCESS TO YOUR PERSONAL INFORMATION | ||
Why? | Financial companies can choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand Morningstar Funds Trust access to your personal information. | |
What? | Personal information includes, but is not limited to: | |
► | Your name, address, phone number, and email address; | |
► | Your social security number or other unique identifier; | |
► | Your account information, such as account balance and transactions (including account transaction history); | |
► | Your demographic information, such as age, income, investment preferences, investment experience, and risk profile. | |
How? | All financial companies need to share clients’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their clients’ personal information; the reasons Trust chooses to share; and whether you can limit this sharing. |
Reasons financial companies can share your personal information | Does Morningstar Funds Trust share? | Can you limit this sharing? |
For our everyday business purposes—such as to process your transactions, maintain your account(s), or respond to court orders and legal investigations. | See “Other Important Information” below. | No |
For our marketing purposes—to offer our products and services. | No | N/A |
For joint marketing with other financial companies. | No | N/A |
For our affiliates’ everyday business purposes—information about your transactions and experiences. | No | N/A |
For our affiliates’ everyday business purposes—information about your creditworthiness. | No | N/A |
For our affiliates to market to you. | No | N/A |
For nonaffiliates to market to you. | No | N/A |
Who we are | Who is providing this notice? Morningstar Funds Trust | |
What we do | How does Morningstar Funds Trust protect your personal information? | |
Security measures are in place to protect against unauthorized access to, or unauthorized alteration, disclosure or destruction of personal information. Secure data networks are protected by industry standard firewall and password protection systems. | ||
How does Morningstar Funds Trust collect your personal information? | ||
We will collect your personal information if you open an account directly with us or if you gave us your personal information; however, please read the "Other Important Information" section below. | ||
Why can’t you limit sharing? | ||
Federal law gives you the right to limit only: | ||
► | sharing for affiliates’ everyday business purposes—information about your creditworthiness; | |
► | affiliates from using your information to market to you; |
► | sharing for nonaffiliates to market to you. | |
State laws and individual companies’ policies may give you additional rights to limit sharing. | ||
Definitions | Affiliates | |
Companies related by common ownership or control. They can be financial and nonfinancial companies. | ||
► | Morningstar Funds Trust’s investment adviser is Morningstar Investment Management LLC, a wholly owned subsidiary of Morningstar, Inc. Morningstar Investment Services LLC, a wholly owned subsidiary of Morningstar Investment Management LLC, is the sponsor of the Morningstar Managed Portfolios advisory service. | |
Nonaffiliates | ||
Companies not related by common ownership or control. They can be financial and nonfinancial companies. | ||
► | The Trust does not share your personal information with nonaffiliates for marketing their services to you. | |
Joint marketing | ||
A formal agreement between nonaffiliated financial companies that together market financial products or services to you. | ||
► | The Trust does not have such an agreement in place. | |
Other Important Information | Morningstar Funds Trust ("Morningstar Funds") are available through investment 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. |
Morningstar U.S. Equity Fund | Morningstar Municipal Bond Fund |
• ClearBridge Investments, LLC | • Allspring Global Investments, LLC |
• Diamond Hill Capital Management, Inc. | • T. Rowe Price Associates, Inc. |
• Massachusetts Financial Services Company (d/b/a MFS Investment Management) | |
• Wasatch Advisors, LP (d/b/a Wasatch Global Investors) | Morningstar Defensive Bond Fund |
• Westwood Management Corp. | • First Pacific Advisors, LP |
Morningstar International Equity Fund | Morningstar Multisector Bond Fund |
• Harding Loevner LP | • Loomis, Sayles & Company, L.P. |
• Harris Associates L.P. | • TCW Investment Management Company LLC |
• Lazard Asset Management LLC | • Voya Investment Management Company, LLC |
• T. Rowe Price Associates, Inc. | |
○ T. Rowe Price Singapore Private Ltd | Morningstar Global Opportunistic Equity Fund |
Morningstar Global Income Fund | • Lazard Asset Management LLC |
• Cullen Capital Management, LLC | Morningstar Alternatives Fund |
• Western Asset Management Company, LLC | |
• BlackRock Financial Management, Inc. | |
Morningstar Total Return Bond Fund | ○ BlackRock International Limited |
• SSI Investment Management LLC | |
• BlackRock Financial Management, Inc. | • Water Island Capital, LLC |
○ BlackRock International Limited | |
○ BlackRock (Singapore) Limited | |
• Western Asset Management Company, LLC |
• | Fund Expenses - Fund expenses are an important factor because they directly affect shareholder returns. The Board noted that one of Morningstar’s investment principles - minimizing costs - is consistent with this view. The Board continues to be encouraged by Morningstar’s commitment to lowering costs to shareholders, notably through its implementation of voluntary expense waivers and expense reimbursements. |
• | Investment Performance - Fund performance was also important to the Board. In evaluating performance, the Board looked at each Fund’s performance relative to other funds that invest in similar types of securities, its performance relative to an index benchmark, and its risk-adjusted performance. Performance as compared to peer funds for calendar year 2023 was mostly positive: |
○ | The Defensive Bond Fund, Multisector Bond Fund, and Global Opportunistic Equity Fund performed in the best performing quintile of their categories (i.e., 1st out of 5 performing quintiles, with 1st quintile being the best performing quintile); |
○ | The Alternatives Fund and U.S. Equity Fund performed in the second-best performing quintile of their categories (i.e., 2nd out of 5 performing quintiles, with 1st quintile being the best performing quintile); and |
○ | The Global Income Fund, International Equity Fund, Municipal Bond Fund and Total Return Bond Fund performed in the middle performing quintile of their categories (i.e., 3rd out of 5 performing quintiles, with 1st quintile being the best performing quintile). |
• | The services that Morningstar and each Subadviser provided and would provide to each Fund. |
• | Morningstar’s investment management operations. |
• | The investment approach for each Fund and whether this investment approach was being followed by Morningstar and each Subadviser. |
• | The due diligence conducted on each Subadviser by Morningstar, and Morningstar’s reasons for recommending the retention of each Subadviser and the renewal of the related Subadvisory Agreement. |
• | The due diligence conducted by the Trust’s Chief Compliance Officer with regard to compliance programs and capabilities of Morningstar and each Subadviser. |
• | The services that the custodian, fund administrator, transfer agent and distributor provided and would provide to each Fund. |
• | The fees paid and to be paid to service providers to each Fund, including Morningstar and each Subadviser. |
• | The expense ratio for each Fund, reflecting both the fees paid and to be paid to service providers and expenses incurred and to be incurred directly by each Fund. |
• | Expense limitation arrangements, to be achieved by fee waivers and expense reimbursements by Morningstar. |
• | The investment performance of each Fund and the performance of Morningstar and each Subadviser in achieving this performance. |
• | Whether each Fund had operated in accordance with its investment objective. |
• | The fairness of the compensation under the Investment Advisory Agreement and Subadvisory Agreements. |
• | The expense ratio to be borne by shareholders, considering the combined effect of the pricing structure of each Fund and existing fee waivers and expense reimbursements. |
• | Morningstar’s investment principles. |
• | The nature, extent and quality of services that Morningstar and each Subadviser provided and would be expected to provide to each Fund. |
• | The background, experience, personnel (including talent management and related diversity, equity, and inclusion matters), operations, technology, policies, procedures and compliance functions of Morningstar and each Subadviser, including their experience as managers of other funds and accounts, their investment management approaches and resources, their financial condition and their reputation in the industry. |
• | The compatibility of each Subadviser’s operations, policies, procedures and compliance functions with those of Morningstar and other service providers to the Funds. |
• | The Trust’s Chief Compliance Officer’s review of the compliance programs and capabilities of Morningstar and of each Subadviser, including the policies and procedures in place to address actual and potential conflicts of interest. |
• | Morningstar’s risk management program, especially those aspects of the program related to selecting and overseeing the Subadvisers to each Fund. |
• | The use of derivatives and other complex instruments to carry out each Fund’s investment goals. |
• | Each Subadviser’s risk management program. |
• | Profitability matters and economies of scale. |
• | Portfolio construction for each Fund, involving asset allocation among Subadvisers, exchange-traded funds, Morningstar research ideas generated using custom exposure portfolios constructed by Morningstar (“Equity Sleeves”), cash and other investments. |
• | Oversight and monitoring of the day-to-day investment activities of the Subadvisers and the ongoing assessment of their performance. |
• | Morningstar’s implementation and execution of the Equity Sleeves. |
• | Risk management. |
• | Oversight and monitoring of the Subadvisers’ compliance with the investment mandate, compliance policies and procedures and federal securities laws. |
• | Performance of due diligence of each Subadviser’s risk management, operations, trading activities, technology and financial condition. |
• | Reporting to the Board. |
• | The implementation of the Board’s directives with regard to the Funds. |
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, Maine 04101
to access the Morningstar Funds Trust prospectus.
(b) | Not applicable. |
Item 2. Code of Ethics.
(a) | As of April 30, 2024, the registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). |
(c) | The registrant has not amended its Code of Ethics during the period covered by this report. |
(d) | The registrant has not granted any waivers, including any implicit waivers, from any provisions of its Code of Ethics during the period covered by this report. |
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR), serving on its audit committee. Barry P. Benjamin and Theresa Hamacher are the “audit committee financial experts” and are “independent” (as each term is defined in Item 3 of Form N-CSR).
Under applicable securities laws and regulations, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liability that are greater than the duties, obligations, and liability imposed on such person as a member of the registrant’s Audit Committee and Board of Trustees in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations or liability of any other member of the registrant’s Audit Committee or Board of Trustees.
Item 4. Principal Accountant Fees and Services.
Item 4(a): Audit Fees
The aggregate fees billed for each of the last two fiscal years for professional services rendered by Ernst & Young LLP (“E&Y”), independent registered public accounting firm, for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant
in connection with statutory and regulatory filings or engagements are $466,400 in 2024 and $440,000 in 2023.
Item 4(b): Audit-Related Fees
The aggregate fees billed in each of the last two fiscal years for assurance and related services by E&Y that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are NONE in 2024 and NONE in 2023.
Item 4(c): Tax Fees
The aggregate fees billed in each of the last two fiscal years for professional services rendered by E&Y for RIC tax compliance and diversification review, tax advice and tax return review are $176,074 in 2024 and $135,475 in 2023.
Item 4(d): All Other Fees
The aggregate fees billed in each of the last two fiscal years for products and services provided by E&Y, other than the services reported in paragraphs (a) through (c) of this Item are NONE in 2024 and NONE in 2023.
Item 4(e)(1): Pre-Approval Policies and Procedures
Pursuant to the registrant’s Audit Committee Charter and Audit Committee Pre-Approval Policies and Procedures, each adopted on March 9, 2018 and amended most recently on June 21, 2023, the Audit Committee shall, to the extent required by applicable regulations, pre-approve (i) all audit, audit-related and permitted non-audit services rendered by the independent auditors to a series of the registrant (“Fund”) and (ii) all non-audit services rendered by the independent auditors to a Fund’s investment adviser and to certain of the investment adviser’s affiliates, as applicable. The Audit Committee has implemented policies and procedures by which such services may be pre-approved other than by the full Committee (for example, by any Committee member who is not an “interested person” of the Trust, as defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”)).
Item 4(e)(2): Percentage of Fees Pre-Approved Pursuant to Waiver Provision of Paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X
No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
Item 4(f): Work Performed by Persons Other than the Principal Accountant
The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the fiscal year ended April 30, 2024 that were attributed to work performed by persons other than the principal accountant’s full time, permanent employees was not greater than 50%.
Item 4(g): Aggregate Non-Audit Fees
The aggregate non-audit fees and services billed by E&Y for services rendered to the registrant and service affiliates for the last two fiscal years was $176,074 in 2024 and $135,475 in 2023.
Item 4(h): Non-Audit Services and Independent Accountant’s Independence
The registrant’s Audit Committee has considered whether the provision of non-audit services rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if any, is compatible with maintaining E&Y’s independence in performing audit services.
Item 4(i):
Not applicable.
Item 4(j):
Not applicable.
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 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) | Exhibit 99.CODE: Code of Ethics pursuant to Item 2 of Form N-CSR. |
(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: July 1, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By /s/ Daniel E. Needham |
Daniel E. Needham, President |
(Principal Executive Officer) |
Date: July 1, 2024 |
By /s/ Tracy L. Dotolo |
Tracy L. Dotolo, Treasurer |
(Principal Financial Officer) |
Date: July 1, 2024 |