Northern Funds

NUMBER OF
CONTRACTS

NOTIONAL
AMOUNT
(000S)

VALUE
(000S)

Amazon.com, Inc.,

Exp. Date 10/16/2020, Strike Price $3,600.00



Amounts in thousands, except per share data	INCOME EQUITY FUND		INTERNATIONAL EQUITY FUND			LARGE CAP CORE FUND		LARGE CAP VALUE FUND
ASSETS:

Investments, at value		$129,871		$90,602			$218,003		$51,768

Investments in affiliates, at value		1,212		266			2,140		458

Cash held at broker (restricted $0)		—		41			—		—

Foreign currencies held at broker, at value (restricted $168)		—		385	⁽¹⁾		—		—

Foreign currencies, at value (cost $194)		—		194			—		—

Dividend income receivable		153		409			175		48

Receivable for foreign tax reclaims		—		480			—		—

Receivable for securities sold		—		—			—		—

Receivable for variation margin on futures contracts		7		—			13		3

Receivable for fund shares sold		—		1			201		—

Receivable from investment adviser		5		6			4		3

Prepaid and other assets		6		10			7		14
Total Assets		131,254		92,394			220,543		52,294

LIABILITIES:

Payable for securities purchased		—		—			—		—

Payable for variation margin on futures contracts		—		11			—		—

Payable for fund shares redeemed		116		2			56		4

Payable to affiliates:

Management fees		20		7			16		4

Custody fees		3		12			4		—

Shareholder servicing fees		37		1			7		7

Transfer agent fees		4		3			7		2

Trustee fees		4		9			17		7

Outstanding options written, at value (premiums received $31)		21		—			—		—

Accrued other liabilities		8		43			12		7
Total Liabilities		213		88			119		31
Net Assets		$131,041		$92,306			$220,424		$52,263

ANALYSIS OF NET ASSETS:

Capital stock		$89,014		$137,666			$160,508		$59,105

Distributable earnings		42,027		(45,360	)		59,916		(6,842	)
Net Assets		$131,041		$92,306			$220,424		$52,263

Net Assets:

Shares		$131,041		$92,306			$220,424		$52,263

Class K		—		—			—		—

Class I		—		—			—		—

Total Shares Outstanding ($.001 par value, unlimited authorization):

Shares		9,924		10,939			10,603		3,352

Class K		—		—			—		—

Class I		—		—			—		—

Net Asset Value, Redemption and Offering Price Per Share:

Shares		$13.20		$8.44			$20.79		$15.59

Class K		—		—			—		—

Class I		—		—			—		—
Investments, at cost		$97,262		$92,142			$158,848		$53,709
Investments in affiliates, at cost		1,212		266			2,140		458

⁽¹⁾

Costs associated with foreign currencies held at broker is $378.



Amounts in thousands	INCOME EQUITY FUND			INTERNATIONAL EQUITY FUND			LARGE CAP CORE FUND			LARGE CAP VALUE FUND

INVESTMENT INCOME:

Dividend income		$1,765			$1,946	⁽¹⁾		$2,190			$744

Dividend income from investments in affiliates		1			1			1			—

Interest income		1			—			2			1

Total Investment Income		1,767			1,947			2,193			745

EXPENSES:

Management fees		607			244			439			138

Custody fees		12			59			18			7

Transfer agent fees		25			20			38			10

Registration fees		11			10			11			10

Printing fees		30			30			30			30

Professional fees		20			23			20			20

Shareholder servicing fees (Shares)		67			2			16			16

Shareholder servicing fees (Class I)		—			—			—			—

Trustee fees		3			3			3			3

Interest expense		—			1			—			—

Other		7			14			8			8

Total Expenses		782			406			583			242

Less expenses reimbursed by investment adviser		(138	)		(137	)		(128	)		(93	)

Net Expenses		644			269			455			149

Net Investment Income		1,123			1,678			1,738			596

NET REALIZED AND UNREALIZED GAINS (LOSSES):

Net realized gains (losses) on:

Investments		9,564			(16,621	)		2,377			(3,370	)

Options written		352			—			—			—

Futures contracts		525			719			982			281

Foreign currency transactions		—			(16	)		—			—

Net changes in unrealized appreciation (depreciation) on:

Investments		19,090			32,090			39,791			12,266

Options written		(30	)		—			—			—

Futures contracts		(192	)		(385	)		(92	)		(35	)

Foreign currency translations		—			41			—			—

Net Gains		29,309			15,828			43,058			9,142

Net Increase in Net Assets Resulting from Operations		$30,432			$17,506			$44,796			$9,738

⁽¹⁾

Net of $188 in foreign withholding taxes.


	INCOME EQUITY FUND						INTERNATIONAL EQUITY FUND						LARGE CAP CORE FUND						LARGE CAP VALUE FUND
Amounts in thousands	SEP 30, 2020			MAR 31, 2020			SEP 30, 2020			MAR 31, 2020			SEP 30, 2020			MAR 31, 2020			SEP 30, 2020			MAR 31, 2020
OPERATIONS:

Net investment income		$1,123			$3,464			$1,678			$5,733			$1,738			$4,468			$596			$1,429

Net realized gains (losses)		10,441			6,801			(15,918	)		(15,908	)		3,359			2,258			(3,089	)		990

Net change in unrealized appreciation (depreciation)		18,868			(25,216	)		31,746			(24,618	)		39,699			(27,339	)		12,231			(13,245	)

Net Increase (Decrease) in Net Assets Resulting from Operations		30,432			(14,951	)		17,506			(34,793	)		44,796			(20,613	)		9,738			(10,826	)
CAPITAL SHARE TRANSACTIONS:

Net increase (decrease) in net assets resulting from Shares transactions		(13,838	)		(41,592	)		(47,389	)		(39,768	)		12,681			(50,039	)		(3,261	)		(27,469	)

Net increase in net assets resulting from Class K transactions		—			—			—			—			—			—			—			—

Net increase in net assets resulting from Class I transactions		—			—			—			—			—			—			—			—

Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions		(13,838	)		(41,592	)		(47,389	)		(39,768	)		12,681			(50,039	)		(3,261	)		(27,469	)
DISTRIBUTIONS TO SHARES SHAREHOLDERS:

Distributable earnings		(1,115	)		(15,527	)		—			(6,938	)		(1,748	)		(9,873	)		—			(1,500	)

Total Distributions to Shares Shareholders		(1,115	)		(15,527	)		—			(6,938	)		(1,748	)		(9,873	)		—			(1,500	)
DISTRIBUTIONS TO CLASS K SHAREHOLDERS:

Distributable earnings		—			—			—			—			—			—			—			—

Total Distributions to Class K Shareholders		—			—			—			—			—			—			—			—
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:

Distributable earnings		—			—			—			—			—			—			—			—

Total Distributions to Class I Shareholders		—			—			—			—			—			—			—			—
Total Increase (Decrease) in Net Assets		15,479			(72,070	)		(29,883	)		(81,499	)		55,729			(80,525	)		6,477			(39,795	)

NET ASSETS:

Beginning of period		115,562			187,632			122,189			203,688			164,695			245,220			45,786			85,581

End of period		$131,041			$115,562			$92,306			$122,189			$220,424			$164,695			$52,263			$45,786

*	Amounts round to less than $1,000.

⁽¹⁾

On July 31, 2020, the balances of the Shares Class for Small Cap Core and U.S. Quality ESG Funds were transferred to Class I and Class K, respectively, in a class conversion. (See Note 8).


INCOME EQUITY FUND	SHARES

Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016
Net Asset Value, Beginning of Period		$10.42			$12.95			$13.96			$13.39			$12.22			$12.74

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.11			0.26			0.28			0.27			0.27			0.27

Net realized and unrealized gains (losses)		2.78			(1.63	)		0.56			1.36			1.29			(0.09	)

Total from Investment Operations		2.89			(1.37	)		0.84			1.63			1.56			0.18

LESS DISTRIBUTIONS PAID:

From net investment income		(0.11	)		(0.26	)		(0.28	)		(0.27	)		(0.27	)		(0.27	)

From net realized gains		—			(0.90	)		(1.57	)		(0.79	)		(0.12	)		(0.43	)
Total Distributions Paid		(0.11	)		(1.16	)		(1.85	)		(1.06	)		(0.39	)		(0.70	)

Net Asset Value, End of Period		$13.20			$10.42			$12.95			$13.96			$13.39			$12.22

Total Return⁽¹⁾		27.68	%		(12.44)	%⁽²⁾		7.66	%⁽³⁾		12.08	%		12.94	%		1.62	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$131,041			$115,562			$187,632			$217,214			$230,511			$239,540

Ratio to average net assets of:⁽⁴⁾

Expenses, net of reimbursements and credits⁽⁵⁾		1.01	%		1.02	%		1.01	%		1.01	%		1.01	%		1.00	%

Expenses, before reimbursements and credits		1.22	%		1.12	%		1.12	%		1.11	%		1.15	%		1.13	%

Net investment income, net of reimbursements and credits⁽⁵⁾		1.76	%		1.89	%		2.01	%		1.88	%		2.07	%		2.12	%

Net investment income, before reimbursements and credits		1.55	%		1.79	%		1.90	%		1.78	%		1.93	%		1.99	%

Portfolio Turnover Rate		28.76	%		76.34	%		40.94	%		23.14	%		32.17	%		13.14	%

⁽¹⁾

Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. The total return is not annualized for periods less than one year.

⁽²⁾

During the fiscal year ended March 31, 2020, the Fund received monies related to certain nonrecurring litigation proceeds. If these monies were not received, the total return would have been (12.98)%.

⁽³⁾

During the fiscal year ended March 31, 2019, the Fund received monies related to certain nonrecurring litigation proceeds. If these monies were not received, the total return would have been 7.16%.

⁽⁴⁾

Annualized for periods less than one year.

⁽⁵⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $1,000, $1,000, $2,000, $3,000 and $5,000, which represent less than 0.01 percent of average net assets for the six months ended September 30, 2020 and for the fiscal years ended March 31, 2020, 2019, 2018 and 2017, respectively, and approximately $3,000, which represents less than 0.005 percent of average net assets for the fiscal year ended March 31, 2016. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.


INTERNATIONAL EQUITY FUND	SHARES

Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016
Net Asset Value, Beginning of Period		$7.14			$9.36			$10.16			$9.06			$8.12			$9.39

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.34			0.37			0.37			0.21			0.14			0.17

Net realized and unrealized gains (losses)		0.96			(2.23	)		(0.94	)		1.01			0.93			(1.27	)

Total from Investment Operations		1.30			(1.86	)		(0.57	)		1.22			1.07			(1.10	)

LESS DISTRIBUTIONS PAID:

From net investment income⁽¹⁾		—			(0.36	)		(0.23	)		(0.12	)		(0.13	)		(0.17	)

Total Distributions Paid		—			(0.36	)		(0.23	)		(0.12	)		(0.13	)		(0.17	)
Net Asset Value, End of Period		$8.44			$7.14			$9.36			$10.16			$9.06			$8.12

Total Return⁽²⁾		18.21	%		(20.78	)%		(5.36	)%		13.50	%		13.32	%		(11.78	)%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$92,306			$122,189			$203,688			$262,902			$154,784			$153,111

Ratio to average net assets of:⁽³⁾

Expenses, net of reimbursements and credits⁽⁴⁾		0.53	%		0.55	%		0.51	%		0.51	%		0.93	%⁽⁵⁾		1.08	%

Expenses, before reimbursements and credits		0.80	%		0.67	%		0.69	%		0.81	%		1.23	%		1.22	%

Net investment income, net of reimbursements and credits⁽⁴⁾		3.30	%		3.14	%		3.18	%		2.53	%		1.67	%⁽⁵⁾		1.66	%

Net investment income, before reimbursements and credits		3.03	%		3.02	%		3.00	%		2.23	%		1.37	%		1.52	%

Portfolio Turnover Rate		26.51	%		33.97	%		59.45	%		101.53	%		101.07	%		12.78	%

⁽¹⁾

Distributions to shareholders from net investment income include amounts related to foreign currency transactions, which are treated as ordinary income for federal income tax purposes.

⁽²⁾

⁽³⁾

Annualized for periods less than one year.

⁽⁴⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $1,000, $1,000, $1,000, 3,000 and $1,000, which represent less than 0.01 percent of average net assets for the six months ended September 30, 2020 and for the fiscal years ended March 31, 2020, 2019, 2018 and 2017, respectively, and approximately $1,000, which represents less than 0.005 percent of average net assets for the fiscal year ended March 31, 2016. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.

⁽⁵⁾

Effective January 1, 2017, the investment adviser agreed to increase the expense reimbursements it provides to the Fund by contractually limiting the Fund’s total expenses (other than certain excepted expenses noted in the Notes to the Financial Statements) to 0.50%. Prior to January 1, 2017, the expense limitation had been 1.06%.


LARGE CAP CORE FUND	SHARES

Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016
Net Asset Value, Beginning of Period		$16.46			$19.36			$18.88			$16.98			$15.10			$15.42

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.17			0.39			0.34			0.31			0.30			0.28

Net realized and unrealized gains (losses)		4.33			(2.44	)		0.65			2.11			1.88			(0.32	)

Total from Investment Operations		4.50			(2.05	)		0.99			2.42			2.18			(0.04	)

LESS DISTRIBUTIONS PAID:

From net investment income		(0.17	)		(0.39	)		(0.34	)		(0.31	)		(0.30	)		(0.28	)

From net realized gains		—			(0.46	)		(0.17	)		(0.21	)		—			—
Total Distributions Paid		(0.17	)		(0.85	)		(0.51	)		(0.52	)		(0.30	)		(0.28	)

Net Asset Value, End of Period		$20.79			$16.46			$19.36			$18.88			$16.98			$15.10

Total Return⁽¹⁾		27.40	%		(11.28)	%		5.45	%		14.34	%		14.60	%		(0.22)	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$220,424			$164,695			$245,220			$244,798			$127,255			$144,226

Ratio to average net assets of:⁽²⁾

Expenses, net of reimbursements and credits⁽³⁾		0.46	%		0.46	%		0.46	%		0.46	%		0.49	%⁽⁴⁾		0.59	%

Expenses, before reimbursements and credits		0.58	%		0.56	%		0.56	%		0.58	%		0.63	%		0.59	%

Net investment income, net of reimbursements and credits⁽³⁾		1.74	%		1.85	%		1.76	%		1.75	%		1.85	%⁽⁴⁾		1.82	%

Net investment income, before reimbursements and credits		1.62	%		1.75	%		1.66	%		1.63	%		1.71	%		1.82	%

Portfolio Turnover Rate		22.55	%		37.90	%		45.92	%		50.70	%		66.77	%		56.10	%

⁽¹⁾

⁽²⁾

Annualized for periods less than one year.

⁽³⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $2,000, $1,000, $2,000, $1,000 and $1,000, which represent less than 0.01 percent of average net assets for the six months ended September 30, 2020 and for the fiscal years ended March 31, 2020, 2019, 2018 and 2017, respectively, and approximately $1,000, which represents less than 0.005 percent of average net assets for the fiscal year ended March 31, 2016. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.

⁽⁴⁾

Effective June 15, 2016, the investment adviser agreed to increase the expense reimbursements it provides to the Fund by contractually limiting the Fund’s total expenses (other than certain excepted expenses noted in the Notes to Financial Statements) to 0.45%. Prior to June 15, 2016, the expense limitation had been 0.60%.


LARGE CAP VALUE FUND	SHARES

Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016
Net Asset Value, Beginning of Period		$12.85			$16.42			$15.83			$15.22			$12.95			$13.99

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.19			0.41			0.34			0.35			0.27			0.22

Net realized and unrealized gains (losses)		2.55			(3.62	)		0.50			0.64			2.22			(1.04	)

Total from Investment Operations		2.74			(3.21	)		0.84			0.99			2.49			(0.82	)

LESS DISTRIBUTIONS PAID:

From net investment income		—			(0.36	)		(0.25	)		(0.38	)		(0.22	)		(0.22	)
Total Distributions Paid		—			(0.36	)		(0.25	)		(0.38	)		(0.22	)		(0.22	)

Net Asset Value, End of Period		$15.59			$12.85			$16.42			$15.83			$15.22			$12.95

Total Return⁽¹⁾		21.32	%		(20.16)	%		5.52	%		6.43	%		19.29	%		(5.87)	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$52,263			$45,786			$85,581			$89,814			$93,854			$89,048

Ratio to average net assets of:⁽²⁾

Expenses, net of reimbursements and credits⁽³⁾		0.57	%		0.55	%		0.59	%		0.58	%		0.63	%⁽⁴⁾		0.87	%

Expenses, before reimbursements and credits		0.93	%		0.83	%		0.83	%		0.90	%		1.12	%		1.09	%

Net investment income, net of reimbursements and credits⁽³⁾		2.30	%		2.04	%		1.95	%		2.08	%		1.80	%⁽⁴⁾		1.58	%

Net investment income, before reimbursements and credits		1.94	%		1.76	%		1.71	%		1.76	%		1.31	%		1.36	%

Portfolio Turnover Rate		28.19	%		80.40	%		96.45	%		110.59	%		71.22	%		60.22	%

⁽¹⁾

⁽²⁾

Annualized for periods less than one year.

⁽³⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of less than $1,000 for the six months ended September 30, 2020, which represents less than 0.01 percent of average net assets and approximately $1,000, $2,000, $1,000 and $1,000, which represent less than 0.01 percent of average net assets for the fiscal years ended March 31, 2020, 2019, 2018 and 2017, respectively, and approximately $1,000, which represent less than 0.005 percent of average net assets for the fiscal year ended March 31, 2016. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.

⁽⁴⁾

Effective June 15, 2016, the investment adviser agreed to increase the expense reimbursements it provides to the Fund by contractually limiting the Fund’s total expenses (other than certain excepted expenses noted in the Notes to the Financial Statements) to 0.55%. Prior to June 15, 2016, the expense limitation had been 0.85%.


SMALL CAP CORE FUND	CLASS K⁽¹⁾

Selected per share data	PERIOD ENDED SEPTEMBER 30, 2020 (UNAUDITED)
Net Asset Value, Beginning of Period		$23.46

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.05

Net realized and unrealized losses		(0.06	)

Total from Investment Operations		(0.01	)

LESS DISTRIBUTIONS PAID:

From net investment income		—

From net realized gains		—
Total Distributions Paid		—

Net Asset Value, End of Period		$23.45

Total Return⁽²⁾		(0.04	)%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$208,937

Ratio to average net assets of:⁽³⁾

Expenses, net of reimbursements and credits		0.49	%

Expenses, before reimbursements and credits⁽⁴⁾		0.61	%

Net investment income, net of reimbursements and credits⁽⁵⁾		1.20	%

Net investment income, before reimbursements and credits⁽⁴⁾⁽⁵⁾		1.08	%

Portfolio Turnover Rate		26.78	%

⁽¹⁾

For the period from July 31, 2020 (commencement of class operations) through September 30, 2020.

⁽²⁾

⁽³⁾

Annualized for periods less than one year.

⁽⁴⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of less than $1,000, which represents less than 0.01 percent of average net assets for the period July 31, 2020 (commencement of class operations) to September 30, 2020. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.

⁽⁵⁾

As the Fund commenced operation of Class K shares on July 31, 2020, annualized net investment income may not be reflective of actual amounts the Fund might obtain in a full year of operation.


SMALL CAP CORE FUND	CLASS I⁽¹⁾
Selected per share data	PERIOD ENDED SEPTEMBER 30, 2020 (UNAUDITED)
Net Asset Value, Beginning of Period		$23.46

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.05

Net realized and unrealized losses		(0.07	)

Total from Investment Operations		(0.02	)

LESS DISTRIBUTIONS PAID:

From net investment income		—

From net realized gains		—

Total Distributions Paid		—

Net Asset Value, End of Period		$23.44

Total Return⁽²⁾		(0.08	)%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$177,412

Ratio to average net assets of:⁽³⁾

Expenses, net of reimbursements and credits		0.59	%

Expenses, before reimbursements and credits⁽⁴⁾		0.71	%

Net investment income, net of reimbursements and credits⁽⁵⁾		1.09	%

Net investment income, before reimbursements and credits⁽⁴⁾⁽⁵⁾		0.97	%

Portfolio Turnover Rate		26.78	%

⁽¹⁾

For the period from July 31, 2020 (commencement of class operations) through September 30, 2020.

⁽²⁾

⁽³⁾

Annualized for periods less than one year.

⁽⁴⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of less than $1,000, which represents less than 0.01 percent of average net assets for the period July 31, 2020 (commencement of class operations) to September 30, 2020. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.

⁽⁵⁾

As the Fund commenced operation of Class I shares on July 31, 2020, annualized net investment income may not be reflective of actual amounts the Fund might obtain in a full year of operation.


SMALL CAP VALUE FUND	SHARES
Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016

Net Asset Value, Beginning of Period		$13.49			$20.18			$22.71			$24.00			$19.81			$21.61

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.12			0.22			0.21			0.20			0.19			0.24

Net realized and unrealized gains (losses)		2.18			(5.45	)		(0.59	)		0.79			4.55			(1.17	)

Total from Investment Operations		2.30			(5.23	)		(0.38	)		0.99			4.74			(0.93	)

LESS DISTRIBUTIONS PAID:

From net investment income		—			(0.23	)		(0.16	)		(0.21	)		(0.22	)		(0.23	)

From net realized gains		—			(1.23	)		(1.99	)		(2.07	)		(0.33	)		(0.64	)

Total Distributions Paid		—			(1.46	)		(2.15	)		(2.28	)		(0.55	)		(0.87	)

Net Asset Value, End of Period		$15.79			$13.49			$20.18			$22.71			$24.00			$19.81

Total Return⁽¹⁾		16.96	%		(28.43	)%		(0.45	)%		3.76	%		23.82	%		(4.22	)%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$2,204,106			$2,076,900			$2,972,451			$3,538,528			$3,777,051			$2,914,311

Ratio to average net assets of:⁽²⁾

Expenses, net of reimbursements and credits⁽³⁾		1.00	%		1.00	%		1.00	%		1.00	%		1.00	%		1.00	%

Expenses, before reimbursements and credits		1.18	%		1.10	%		1.12	%		1.13	%		1.22	%		1.23	%

Net investment income, net of reimbursements and credits⁽³⁾		1.44	%		1.09	%		0.86	%		0.82	%		0.89	%		1.13	%

Net investment income, before reimbursements and credits		1.26	%		0.99	%		0.74	%		0.69	%		0.67	%		0.90	%

Portfolio Turnover Rate		20.30	%		14.18	%		16.02	%		18.65	%		11.48	%		25.31	%

⁽¹⁾

⁽²⁾

Annualized for periods less than one year.

⁽³⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $52,000, $138,000, $110,000, $119,000 and $184,000, which represent less than 0.01 percent of average net assets for the six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, March 31, 2018 and 2017, respectively, and approximately $91,000, which represents less than 0.005 percent of average net assets for the fiscal year ended March 31, 2016. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.


U.S. QUALITY ESG FUND	CLASS K⁽¹⁾
Selected per share data	PERIOD ENDED SEPTEMBER 30, 2020 (UNAUDITED)
Net Asset Value, Beginning of Period		$13.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.03

Net realized and unrealized gains		0.40

Total from Investment Operations		0.43

LESS DISTRIBUTIONS PAID:

From net investment income		(0.04	)

From net realized gains		—

Total Distributions Paid		(0.04	)

Net Asset Value, End of Period		$13.39

Total Return⁽²⁾		3.30	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$186,442

Ratio to average net assets of:⁽³⁾

Expenses, net of reimbursements and credits		0.39	%

Expenses, before reimbursements and credits⁽⁴⁾⁽⁵⁾		0.56	%

Net investment income, net of reimbursements and credits		1.27	%

Net investment income, before reimbursements and credits⁽⁴⁾⁽⁵⁾		1.10	%

Portfolio Turnover Rate		14.45	%

⁽¹⁾

For the period from July 31, 2020 (commencement of class operations) through September 30, 2020.

⁽²⁾

⁽³⁾

Annualized for periods less than one year.

⁽⁴⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of less than $1,000, which represents less than 0.01 percent of average net assets for the period July 31, 2020 (commencement of class operations) to September 30, 2020. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.

⁽⁵⁾

As the Fund commenced operation of Class K shares on July 31, 2020, annualized net investment income may not be reflective of actual amounts the Fund might obtain in a full year of operation.


U.S. QUALITY ESG FUND	CLASS I ⁽¹⁾
Selected per share data	PERIOD ENDED SEPTEMBER 30, 2020 (UNAUDITED)

Net Asset Value, Beginning of Period		$13.66

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.01

Net realized and unrealized losses		(0.24	)

Total from Investment Operations		(0.23	)

LESS DISTRIBUTIONS PAID:

From net investment income		(0.04	)

From net realized gains		—

Total Distributions Paid		(0.04	)

Net Asset Value, End of Period		$13.39

Total Return⁽²⁾		(1.70	)%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$60

Ratio to average net assets of:⁽³⁾

Expenses, net of reimbursements and credits		0.49	%

Expenses, before reimbursements and credits		0.69	%

Net investment income, net of reimbursements and credits⁽⁴⁾		0.89	%

Net investment income, before reimbursements and credits⁽⁴⁾		0.69	%

Portfolio Turnover Rate		14.45	%

⁽¹⁾

For the period from August 24, 2020 (commencement of class operations) through September 30, 2020.

⁽²⁾

⁽³⁾

Annualized for periods less than one year.

⁽⁴⁾

As the Fund commenced operation of Class I shares on August 24, 2020, annualized net investment income may not be reflective of actual amounts the Fund might obtain in a full year of operation.



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 99.0%

Aerospace & Defense – 1.3%

Lockheed Martin Corp.		4,538		$1,739

Apparel & Textile Products - 0.5%

VF Corp.		9,589		674

Asset Management – 1.2%

Ameriprise Financial, Inc.		4,805		740

BlackRock, Inc.		1,579		890

				1,630

Banking – 3.4%

Bank of America Corp.		10,747		259

Citigroup, Inc.		35,923		1,548

First Hawaiian, Inc.		39,713		575

JPMorgan Chase & Co.		20,996		2,021

				4,403

Biotechnology & Pharmaceuticals – 10.0%

AbbVie, Inc.		15,823		1,386

Amgen, Inc.		8,431		2,143

Eli Lilly and Co.		12,464		1,845

Gilead Sciences, Inc.		24,872		1,572

Johnson & Johnson		16,565		2,466

Merck & Co., Inc.		17,900		1,485

Pfizer, Inc.		60,476		2,219

				13,116

Chemicals – 2.4%

CF Industries Holdings, Inc.		20,879		641

Dow, Inc.		14,593		687

Huntsman Corp.		24,195		537

Sherwin-Williams (The) Co.		1,900		1,324

				3,189

Construction Materials – 0.5%

MDU Resources Group, Inc.		28,427		640

Consumer Products – 6.5%

Altria Group, Inc.		38,119		1,473

Clorox (The) Co.		3,579		752

Coca-Cola (The) Co.		4,269		211

Colgate-Palmolive Co.		20,139		1,554

General Mills, Inc.		14,252		879

Kimberly-Clark Corp.		5,457		806

Philip Morris International, Inc.		24,079		1,805

Procter & Gamble (The) Co.		7,844		1,090

				8,570

Containers & Packaging – 0.6%

International Paper Co.		19,749		801



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.0% continued

Distributors – Consumer Staples - 0.5%

Sysco Corp.		11,356		$707

Distributors - Discretionary – 0.3%

Pool Corp.		1,222		409

Electrical Equipment – 0.8%

Emerson Electric Co.		14,048		921

Rockwell Automation, Inc.		759		168

				1,089

Gaming, Lodging & Restaurants – 0.6%

McDonald’s Corp.		359		79

Wyndham Destinations, Inc.		9,603		295

Yum! Brands, Inc.		4,264		389

				763

Hardware – 10.6%

Apple, Inc.⁽¹⁾		88,780		10,282

Cisco Systems, Inc.		51,578		2,032

HP, Inc.		42,498		807

NetApp, Inc.		9,269		406

Seagate Technology PLC		8,277		408

Ubiquiti, Inc.		39		6

				13,941

Health Care Facilities & Services – 1.2%

AmerisourceBergen Corp.		105		10

Cardinal Health, Inc.		14,770		694

Humana, Inc.		327		135

UnitedHealth Group, Inc.		2,331		727

				1,566

Home & Office Products – 0.6%

Leggett & Platt, Inc.		2,536		104

Newell Brands, Inc.		42,401		728

				832

Industrial Services – 0.9%

Fastenal Co.		11,662		526

Watsco, Inc.		2,741		638

				1,164

Institutional Financial Services – 0.7%

Lazard Ltd., Class A		21,106		698

Morgan Stanley		3,124		151

				849

Insurance – 1.8%

Aflac, Inc.		21,223		772

Allstate (The) Corp.		5,856		551


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.0% continued

Insurance – 1.8% continued

MetLife, Inc.		8,782		$326

Principal Financial Group, Inc.		16,150		650

				2,299

Machinery – 1.7%

Caterpillar, Inc.		6,362		949

Illinois Tool Works, Inc.		6,759		1,306

				2,255

Media – 5.2%

Alphabet, Inc., Class A*		1,673		2,452

Comcast Corp., Class A		51,883		2,400

Facebook, Inc., Class A⁽¹⁾*		4,502		1,179

New York Times (The) Co., Class A		634		27

Omnicom Group, Inc.		5,809		287

Sirius XM Holdings, Inc.		75,663		406

				6,751

Medical Equipment & Devices – 2.0%

Abbott Laboratories		9,234		1,005

Baxter International, Inc.		6,908		556

DENTSPLY SIRONA, Inc.		1,841		80

ResMed, Inc.		4,462		765

Thermo Fisher Scientific, Inc.		347		153

				2,559

Metals & Mining – 0.5%

Southern Copper Corp.		14,314		648

Oil, Gas & Coal – 1.9%

Antero Midstream Corp.		91,645		492

Cabot Oil & Gas Corp.		7,308		127

ConocoPhillips		25,215		828

Helmerich & Payne, Inc.		32,642		478

Valero Energy Corp.		11,624		504

Williams (The) Cos., Inc.		1,237		24

				2,453

Real Estate Investment Trusts – 4.2%

American Tower Corp.		4,379		1,058

Apartment Investment and Management Co., Class A		15,605		526

Brandywine Realty Trust		17,586		182

Corporate Office Properties Trust		21,113		501

Cousins Properties, Inc.		21,535		616

Extra Space Storage, Inc.		2,238		239

Gaming and Leisure Properties, Inc.		17,915		662

Highwoods Properties, Inc.		17,655		593


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.0% continued

Real Estate Investment Trusts – 4.2% continued

Mid-America Apartment Communities, Inc.		6,285		$729

Weingarten Realty Investors		22,832		387

				5,493

Retail - Consumer Staples – 2.0%

Target Corp.		2,004		316

Walmart, Inc.		16,819		2,353

				2,669

Retail-Discretionary –7.2%

Amazon.com, Inc.⁽¹⁾*		1,408		4,433

Best Buy Co., Inc.		5,322		592

eBay, Inc.		7,118		371

Genuine Parts Co.		2,846		271

Home Depot (The), Inc.		9,711		2,697

Lowe’s Cos., Inc.		5,012		831

Tractor Supply Co.		1,217		175

				9,370

Semiconductors – 5.7%

Analog Devices, Inc.		6,492		758

Applied Materials, Inc.		829		50

Intel Corp.		6,334		328

KLA Corp.		2,577		499

Lam Research Corp.		3,413		1,132

Microchip Technology, Inc.		5,459		561

NVIDIA Corp.		270		146

QUALCOMM, Inc.		16,802		1,977

Texas Instruments, Inc.		13,777		1,967

				7,418

Software – 10.3%

Activision Blizzard, Inc.		18,116		1,466

Cerner Corp.		8,447		611

Citrix Systems, Inc.		5,155		710

Intuit, Inc.		3,682		1,201

Microsoft Corp.		32,539		6,844

Oracle Corp.		33,611		2,007

SS&C Technologies Holdings, Inc.		10,608		642

				13,481

Specialty Finance – 3.9%

American Express Co.		15,520		1,556

Mastercard, Inc., Class A		7,418		2,508

Visa, Inc., Class A		5,396		1,079

				5,143


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.0% continued

Technology Services – 2.5%

Accenture PLC, Class A		4,526		$1,023

International Business Machines Corp.		14,793		1,800

TransUnion		4,841		407

				3,230

Telecom – 2.7%

AT&T, Inc.		38,521		1,098

Verizon Communications, Inc.		41,859		2,490

				3,588

Transportation & Logistics – 1.5%

C.H. Robinson Worldwide, Inc.		5,119		523

Old Dominion Freight Line, Inc.		3,799		687

Union Pacific Corp.		3,614		712

				1,922

Transportation Equipment – 0.5%

Cummins, Inc.		3,222		680
Utilities – 2.8%

Avangrid, Inc.		13,370		675

Exelon Corp.		22,911		819

NRG Energy, Inc.		6,371		196

OGE Energy Corp.		4,461		134

Public Service Enterprise Group, Inc.		14,755		810

Vistra Corp.		11,476		216

WEC Energy Group, Inc.		8,716		845

				3,695
Total Common Stocks
(Cost $97,127)				129,736


INVESTMENT COMPANIES – 0.9%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽²⁾⁽³⁾		1,211,557		1,212
Total Investment Companies
(Cost $1,212)				1,212


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

SHORT-TERM INVESTMENTS – 0.1%
U.S. Treasury Bill, 0.11%, 1/28/21⁽⁴⁾⁽⁵⁾		$135		$135
Total Short-Term Investments
(Cost $135)				135

Total Investments – 100.0%
(Cost $98,474)				131,083

Liabilities less Other Assets – (0.0%)				(42	)
NET ASSETS – 100.0%				$131,041

⁽¹⁾

Security represents underlying investment on open written option contracts.

⁽²⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽³⁾

7-day current yield as of September 30, 2020 is disclosed.

⁽⁴⁾

Discount rate at the time of purchase.

⁽⁵⁾

Security pledged as collateral to cover margin requirements for open futures contracts.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

PLC - Public Limited Company

S&P - Standard & Poor’s

Percentages shown are based on Net Assets.

At September 30, 2020, the Fund had open futures contracts as follows:



TYPE	NUMBER OF CONTRACTS	NOTIONAL AMOUNT (000S)	CONTRACT POSITION	CONTRACT EXP.	VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) (000S)⁽¹⁾

E-Mini S&P 500	8	$1,341	Long	12/20	$(8)

⁽¹⁾

Includes cumulative appreciation/depreciation on futures contracts. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.

At September 30, 2020, the Fund had open written call options as follows:



TYPE	NUMBER OF CONTRACTS		NOTIONAL AMOUNT (000S)		VALUE (000S)

Apple, Inc.,

Exp. Date 10/16/2020, Strike Price

$135.00		(443)		$(5,130)		$ (9)

Facebook, Inc.,

Exp. Date 10/16/2020, Strike Price

$310.00		(45)		(1,179)		(1)

Total Written Options Contracts						$(21)

(Premiums Received (000s) $31)

At September 30, 2020, the industry sectors for the Fund were:



INDUSTRY SECTOR	% OF LONG-TERM INVESTMENTS

Communication Services		9.1	%

Consumer Discretionary		9.5

Consumer Staples		9.0

Energy		1.9

Financials		8.3

Health Care		13.8

Industrials		7.1

Information Technology		30.2

Materials		3.6

Real Estate		4.2

Utilities		3.3
Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. The following table summarizes the valuations of the Fund’s investments by the above fair value hierarchy as of September 30, 2020:



INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

Common Stocks⁽¹⁾		$129,736		$ —		$ —		$129,736

Investment Companies		1,212		—		—		1,212

Short-Term Investments		—		135		—		135

Total Investments		$130,948	$	135		$ —		$131,083


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.5% ⁽¹⁾

Australia – 5.1%

AGL Energy Ltd.		12,379		$121

Aristocrat Leisure Ltd.		26,206		565

ASX Ltd.		2,105		123

Aurizon Holdings Ltd.		101,152		309

AusNet Services		88,173		119

Australia & New Zealand Banking Group Ltd.		76,987		953

BHP Group Ltd.		12,724		328

Coca-Cola Amatil Ltd.		3,107		21

Commonwealth Bank of Australia		8,688		397

CSL Ltd.		1,495		308

Fortescue Metals Group Ltd.		75,025		878

Santos Ltd.		24,394		86

Telstra Corp. Ltd.		231,974		463

				4,671

Austria – 1.0%

ANDRITZ A.G.		4,885		151

OMV A.G.*		7,245		198

Raiffeisen Bank International A.G.*		34,757		531

				880

Belgium – 1.2%

Ageas S.A./N.V.		5,639		230

Colruyt S.A.		4,882		317

Proximus S.A.DP		23,106		422

UCB S.A.		1,377		156

				1,125

Canada – 8.9%

Alimentation Couche-Tard, Inc., Class B		19,656		685

AltaGas Ltd.		9,824		119

Atco Ltd., Class I		3,763		109

B2Gold Corp.		50,897		331

Barrick Gold Corp.		3,558		100

Canadian Apartment Properties REIT		8,810		307

Canadian Natural Resources Ltd.		24,918		399

Canadian Pacific Railway Ltd.		2,791		849

Canadian Tire Corp. Ltd., Class A		749		75

Canadian Utilities Ltd., Class A		1,749		42

CGI, Inc.*		9,866		670

CI Financial Corp.		57,260		726

Constellation Software, Inc.		23		26

Emera, Inc.		572		24

Fortis, Inc.		452		19

IGM Financial, Inc.		31,898		731


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.5% ⁽¹⁾ continued

Canada – 8.9% continued

Kinross Gold Corp.*		97,043		$856

Manulife Financial Corp.		63,348		881

National Bank of Canada		7,072		351

Quebecor, Inc., Class B		2,034		51

TC Energy Corp.		21,441		900

				8,251

China – 0.6%

Yangzijiang Shipbuilding Holdings Ltd.		758,000		553

Denmark – 2.3%

Carlsberg A.S., Class B		4,634		624

Novo Nordisk A/S, Class B		1,772		123

Orsted A/S⁽²⁾		442		61

Pandora A/S		10,733		772

Vestas Wind Systems A/S		3,599		583

				2,163

Finland – 1.5%

Fortum OYJ		7,616		154

Orion OYJ, Class B		7,873		356

UPM-Kymmene OYJ		28,816		877

				1,387

France – 8.6%

Atos S.E.*		140		11

BNP Paribas S.A.*		25,582		927

Capgemini S.E.		7,343		940

Cie de Saint-Gobain*		5,747		241

Cie Generale des Etablissements Michelin S.C.A.		7,102		760

Dassault Aviation S.A.*		129		110

Engie S.A.*		3,347		45

ICADE		4,207		236

Iliad S.A.		359		66

Ingenico Group S.A.*		2,972		460

La Francaise des Jeux S.A.E.M⁽²⁾		4,832		177

LVMH Moet Hennessy Louis Vuitton S.E.		2,748		1,285

Peugeot S.A.*		20,860		376

Sanofi		10,878		1,091

Sartorius Stedim Biotech		193		66

Schneider Electric S.E.		3,659		454

Sodexo S.A.		1,962		140

TOTAL S.E.		16,914		581

				7,966

Germany – 6.8%

Allianz S.E. (Registered)		1,924		369


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.5% ⁽¹⁾ continued

Germany – 6.8% continued

Aroundtown S.A.*		17,227		$87

Brenntag A.G.		7,377		469

Deutsche Post A.G. (Registered)		16,521		753

E.ON S.E.		5,160		57

Evonik Industries A.G.		20,388		528

Fresenius Medical Care A.G. & Co. KGaA		4,922		416

LEG Immobilien A.G.		2,281		326

Merck KGaA		4,841		707

RWE A.G.		4,081		153

SAP S.E.		8,488		1,322

Siemens A.G. (Registered)		912		115

Siemens Energy A.G.*		456		12

Siemens Healthineers A.G.⁽²⁾		12,848		577

Uniper S.E.		4,114		133

United Internet A.G. (Registered)		5,858		224

Zalando S.E.⁽²⁾^*		610		57

				6,305

Hong Kong – 3.2%

BOC Hong Kong Holdings Ltd.		300,477		797

CK Asset Holdings Ltd.		126,878		619

CK Hutchison Holdings Ltd.		33,779		205

CK Infrastructure Holdings Ltd.		9,877		46

CLP Holdings Ltd.		20,960		195

Hang Seng Bank Ltd.		21,528		320

Hong Kong & China Gas Co. Ltd.		1		—

Link REIT		6,858		56

Sun Hung Kai Properties Ltd.		6,076		78

WH Group Ltd.⁽²⁾		746,950		608

				2,924

Ireland – 0.2%

CRH PLC		3,811		138

Israel – 1.3%

Check Point Software Technologies Ltd.*		6,979		840

ICL Group Ltd.		110,167		389

				1,229

Italy – 1.9%

DiaSorin S.p.A.		174		35

Enel S.p.A.		60,313		524

Intesa Sanpaolo S.p.A.*		183,180		344


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.5% ⁽¹⁾ continued

Italy – 1.9% continued

Poste Italiane S.p.A.⁽²⁾		78,234		$693

Snam S.p.A.		23,978		123

				1,719

Japan – 23.3%

ABC-Mart, Inc.		13,400		698

Alfresa Holdings Corp.		22,209		486

Asahi Group Holdings Ltd.		20,200		704

Astellas Pharma, Inc.		58,800		875

Bridgestone Corp.		20,310		642

Brother Industries Ltd.		36,622		582

Central Japan Railway Co.		3,139		450

Chubu Electric Power Co., Inc.		12,000		146

Dai Nippon Printing Co. Ltd.		12,700		257

Daito Trust Construction Co. Ltd.		1,920		170

Daiwa House Industry Co. Ltd.		26,100		671

FUJIFILM Holdings Corp.		1,000		49

Hitachi Ltd.		5,300		179

Honda Motor Co. Ltd.		7,300		172

Hoya Corp.		2,500		282

Iida Group Holdings Co. Ltd.		5,400		109

ITOCHU Corp.		42,327		1,082

Kajima Corp.		3,300		40

Kamigumi Co. Ltd.		26,400		520

KDDI Corp.		33,819		856

Kurita Water Industries Ltd.		3,700		122

Marubeni Corp.		15,400		87

Medipal Holdings Corp.		11,000		220

MEIJI Holdings Co. Ltd.		1,700		130

Mitsubishi Chemical Holdings Corp.		22,100		128

Mitsubishi Corp.		300		7

Mitsubishi Gas Chemical Co., Inc.		13,500		250

Mitsui & Co. Ltd.		13,300		228

Nexon Co. Ltd.		2,700		67

Nippon Telegraph & Telephone Corp.		1,534		31

Nitto Denko Corp.		3,800		248

Nomura Real Estate Holdings, Inc.		3,400		65

NTT DOCOMO, Inc.		34,400		1,276

Obayashi Corp.		28,900		262

Ono Pharmaceutical Co. Ltd.		8,900		279

ORIX Corp.		17,900		223

Otsuka Corp.		14,000		717

Resona Holdings, Inc.		167,500		571

SCSK Corp.		5,600		313

Secom Co. Ltd.		3,500		320


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.5% ⁽¹⁾ continued

Japan – 23.3% continued

Sekisui House Ltd.		16,100		$285

Subaru Corp.		14,900		289

Sumitomo Heavy Industries Ltd.		10,700		249

Sumitomo Mitsui Financial Group, Inc.		36,800		1,024

Sundrug Co. Ltd.		7,100		267

Suntory Beverage & Food Ltd.		14,276		537

Tohoku Electric Power Co., Inc.		13,000		130

Tokyo Electric Power Co. Holdings, Inc.*		33,900		93

Tokyo Electron Ltd.		4,000		1,047

Toppan Printing Co. Ltd.		28,900		407

Toshiba Corp.		1,000		25

Tosoh Corp.		51,044		830

Toyota Motor Corp.		26,700		1,766

				21,463

Jordan – 0.1%

Hikma Pharmaceuticals PLC		2,809		94

Netherlands – 3.8%

ASML Holding N.V.		570		210

EXOR N.V.		2,509		137

Koninklijke Ahold Delhaize N.V.		33,540		993

NN Group N.V.		18,844		708

Randstad N.V.*		6,387		333

Royal Dutch Shell PLC, Class B		79,126		957

Wolters Kluwer N.V.		1,845		158

				3,496

New Zealand – 0.5%

Fisher & Paykel Healthcare Corp. Ltd.		21,783		480

Mercury NZ Ltd.		4,528		15

				495

Norway – 0.9%

DNB ASA*		33,179		458

Yara International ASA		8,809		339

				797

Singapore – 0.4%

DBS Group Holdings Ltd.		20,600		303

Singapore Exchange Ltd.		13,600		91

				394

Spain – 1.3%

ACS Actividades de Construccion y Servicios S.A.		20,295		460

Enagas S.A.		5,444		125

Endesa S.A.		5,436		145


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.5% ⁽¹⁾ continued

Spain – 1.3% continued

Iberdrola S.A.		29,315		$361

Naturgy Energy Group S.A.		7,026		141

				1,232

Sweden – 4.1%

Essity AB, Class B*		3,730		126

Hennes & Mauritz AB, Class B		24,074		415

Hexagon AB, Class B*		3,829		289

Investor AB, Class B		15,227		993

Sandvik AB*		16,956		331

Skandinaviska Enskilda Banken AB, Class A*		39,203		347

Skanska AB, Class B*		27,975		590

SKF AB, Class B		27,362		564

Volvo AB, Class B*		8,607		165

				3,820

Switzerland – 8.7%

Adecco Group A.G. (Registered)		15,211		804

Credit Suisse Group A.G. (Registered)		18,207		182

LafargeHolcim Ltd. (Registered)*		8,691		396

Logitech International S.A. (Registered)		4,538		351

Nestle S.A. (Registered)		17,862		2,119

Novartis A.G. (Registered)		12,669		1,101

Roche Holding A.G. (Genusschein)		6,832		2,338

Swisscom A.G. (Registered)		1,424		755

				8,046

United Kingdom – 11.8%

3i Group PLC		3,639		47

Admiral Group PLC		18,753		632

Anglo American PLC		37,932		916

BAE Systems PLC		144,343		893

Barratt Developments PLC		29,359		179

Berkeley Group Holdings (The) PLC		10,874		592

British American Tobacco PLC		28,210		1,014

BT Group PLC		205,535		261

Direct Line Insurance Group PLC		80,745		281

GlaxoSmithKline PLC		71,114		1,332

Imperial Brands PLC		25,084		442

ITV PLC		135,379		117

Legal & General Group PLC		279,145		677

National Grid PLC		22,381		258

Persimmon PLC		3,153		100

Rio Tinto PLC		6,788		410

Sage Group (The) PLC		30,179		279


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.5% ⁽¹⁾ continued

United Kingdom – 11.8% continued

Segro PLC		2,066		$25

Smiths Group PLC		3,004		53

SSE PLC		391		6

Unilever N.V.		31,425		1,897

United Utilities Group PLC		12,765		141

Vodafone Group PLC		164,165		218

Wm Morrison Supermarkets PLC		56,039		123

				10,893
Total Common Stocks
(Cost $91,621)				90,041


PREFERRED STOCKS – 0.6% ⁽¹⁾

Germany – 0.6%

Henkel A.G. & Co. KGaA, 2.06%⁽³⁾		1,275		133

Volkswagen A.G., 3.68%⁽³⁾		2,658		428

				561
Total Preferred Stocks
(Cost $521)				561


INVESTMENT COMPANIES – 0.3%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽⁴⁾⁽⁵⁾		265,838		266
Total Investment Companies
(Cost $266)				266

Total Investments – 98.4%
(Cost $92,408)				90,868

Other Assets less Liabilities – 1.6%				1,438
Net Assets – 100.0%				$92,306

⁽¹⁾

Adjustment factors were provided by an independent evaluation service to determine the value of certain foreign securities.

⁽²⁾

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Northern Funds.

⁽³⁾

Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income.

⁽⁴⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽⁵⁾

7-day current yield as of September 30, 2020 is disclosed.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

PLC – Public Limited Company

REIT – Real Estate Investment Trust

S&P – Standard & Poor’s

Percentages shown are based on Net Assets.

At September 30, 2020, the Fund had open futures contracts as follows:


TYPE	NUMBER OF CONTRACTS		NOTIONAL AMOUNT (000S)		CONTRACT POSITION		CONTRACT EXP.		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) (000S)⁽¹⁾

Euro Stoxx 50 (Euro)		19		$712		Long		12/20		$(26)

FTSE 100 Index (British Pound)		3		226		Long		12/20		(7)

S&P/TSX 60 Index (Canadian Dollar)		1		144		Long		12/20		1

SPI 200 Index (Australian Dollar)		2		208		Long		12/20		(3)

Yen Denominated Nikkei 225 (Japanese Yen)		3		331		Long		12/20		1

Total										$(34)

⁽¹⁾

Includes cumulative appreciation/depreciation on futures contracts. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF LONG-TERM INVESTMENTS

Communication Services		5.3	%

Consumer Discretionary		10.9

Consumer Staples		11.9

Energy		3.4

Financials		16.6

Health Care		12.5

Industrials		14.6

Information Technology		9.1

Materials		8.8

Real Estate		2.9

Utilities		4.0

Total		100.0	%

At September 30, 2020, the Fund’s investments were denominated in the following currencies:


CONCENTRATION BY CURRENCY	% OF LONG-TERM INVESTMENTS

Euro		28.4	%

Japanese Yen		23.7

British Pound		11.1

Canadian Dollar		9.1

Swiss Franc		8.9

Australian Dollar		5.2

All other currencies less than 5%		13.6

Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, maturities, ratings and/or securities indices). The Fund adjusted the price of certain foreign equity securities held in its portfolio on September 30, 2020 using adjustment factors designed to reflect more accurately the fair value of the securities. See Note 2 for a discussion of this procedure. The fair valuation of these securities resulted in their categorization as Level 2 investments.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)			LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

Common Stocks:

Canada	$	8,251		$	—		$—	$	8,251

Germany		12			6,293		—		6,305

Israel		840			389		—		1,229

All Other Countries⁽¹⁾		—			74,256		—		74,256

Total Common Stocks		9,103			80,938		—		90,041

Preferred Stocks		—			561		—		561

Investment Companies		266			—		—		266

Total Investments	$	9,369		$	81,499		$—	$	90,868

OTHER FINANCIAL INSTRUMENTS

Assets

Futures Contracts	$	2		$	—		$—	$	2

Liabilities

Futures Contracts		(36	)		—		—		(36	)

Total Other Financial Instruments	$	(34)		$	—		$—	$	(34	)

⁽¹⁾

Classifications as defined in the Schedule of Investments.



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.7%

Aerospace & Defense – 1.0%

Lockheed Martin Corp.		5,603		$2,147

Asset Management – 0.9%

Ameriprise Financial, Inc.		2,865		441

BlackRock, Inc.		963		543

Franklin Resources, Inc.		53,463		1,088

				2,072

Automotive – 0.1%

Gentex Corp.		8,665		223

Banking – 3.1%

Bank of America Corp.		107,947		2,600

Citigroup, Inc.		44,781		1,931

Citizens Financial Group, Inc.		4,168		105

JPMorgan Chase & Co.		11,547		1,112

New York Community Bancorp, Inc.		79,169		655

Wells Fargo & Co.		20,095		472

				6,875

Biotechnology & Pharmaceuticals – 6.9%

Amgen, Inc.		10,048		2,554

Biogen, Inc.*		4,658		1,321

Eli Lilly and Co.		16,017		2,371

Gilead Sciences, Inc.		4,332		274

Johnson & Johnson		29,615		4,409

Merck & Co., Inc.		35,234		2,923

Pfizer, Inc.		11,031		405

Regeneron Pharmaceuticals, Inc.*		949		531

Vertex Pharmaceuticals, Inc.*		1,709		465

				15,253

Chemicals – 1.8%

3M Co.		9,392		1,504

Celanese Corp.		833		90

Eastman Chemical Co.		5,665		443

LyondellBasell Industries N.V., Class A		6,926		488

PPG Industries, Inc.		5,195		634

Sherwin-Williams (The) Co.		1,201		837

				3,996

Commercial Services – 0.6%

ManpowerGroup, Inc.		2,891		212

Robert Half International, Inc.		21,673		1,147

				1,359

Consumer Products – 4.8%

Altria Group, Inc.		14,001		541

Campbell Soup Co.		28,451		1,376



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.7% continued

Consumer Products – 4.8% continued

Coca-Cola (The) Co.		8,196		$405

General Mills, Inc.		19,048		1,175

Herbalife Nutrition Ltd.*		14,217		663

Kimberly-Clark Corp.		10,327		1,525

Monster Beverage Corp.*		3,018		242

Nu Skin Enterprises, Inc., Class A		5,113		256

PepsiCo, Inc.		9,577		1,327

Philip Morris International, Inc.		21,636		1,623

Procter & Gamble (The) Co.		10,169		1,413

				10,546

Containers & Packaging – 0.6%

International Paper Co.		32,255		1,308

Electrical Equipment – 1.1%

Emerson Electric Co.		15,634		1,025

Hubbell, Inc.		9,796		1,341

				2,366

Engineering & Construction Services – 0.2%

Quanta Services, Inc.		9,691		512

Gaming, Lodging & Restaurants – 0.8%

Domino’s Pizza, Inc.		2,785		1,184

McDonald’s Corp.		1,590		349

Yum! Brands, Inc.		3,451		315

				1,848

Hardware – 8.8%

Apple, Inc.		141,831		16,425

Cisco Systems, Inc.		67,623		2,664

Zebra Technologies Corp., Class A*		1,356		342

				19,431

Health Care Facilities & Services – 3.2%

AmerisourceBergen Corp.		8,919		864

Charles River Laboratories International, Inc.*		619		140

DaVita, Inc.*		3,598		308

Humana, Inc.		4,447		1,841

McKesson Corp.		6,171		919

Molina Healthcare, Inc.*		1,314		241

UnitedHealth Group, Inc.		8,500		2,650

				6,963

Home & Office Products – 1.9%

Lennar Corp., Class A		8,914		728

Masco Corp.		26,366		1,453

Newell Brands, Inc.		1,176		20



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.7% continued

Home & Office Products – 1.9% continued

NVR, Inc.*		93		$380

PulteGroup, Inc.		29,405		1,361

Snap-on, Inc.		582		86

Whirlpool Corp.		662		122

				4,150

Industrial Services – 0.3%

HD Supply Holdings, Inc.*		2,966		122

United Rentals, Inc.*		611		107

W.W. Grainger, Inc.		1,308		467

				696

Institutional Financial Services – 1.9%

Goldman Sachs Group (The), Inc.		4,258		856

Jefferies Financial Group, Inc.		81,140		1,460

Morgan Stanley		37,159		1,797

				4,113

Insurance – 3.2%

Aflac, Inc.		12,346		449

Allstate (The) Corp.		17,556		1,653

Assured Guaranty Ltd.		28,674		616

Berkshire Hathaway, Inc., Class B*		10,053		2,141

Equitable Holdings, Inc.		27,958		510

MetLife, Inc.		42,684		1,586

Principal Financial Group, Inc.		1,504		60

				7,015

Iron & Steel – 0.6%

Reliance Steel & Aluminum Co.		13,564		1,384

Leisure Products – 0.4%

Polaris, Inc.		9,517		898

Machinery – 0.3%

Dover Corp.		3,593		389

Regal Beloit Corp.		2,257		212

				601

Media – 7.5%

Alphabet, Inc., Class A*		5,603		8,212

Charter Communications, Inc., Class A*		869		543

Comcast Corp., Class A		9,435		436

Facebook, Inc., Class A*		18,987		4,973

Netflix, Inc.*		2,122		1,061

Omnicom Group, Inc.		15,930		788

Walt Disney (The) Co.		3,245		403

				16,416



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.7% continued

Medical Equipment & Devices – 4.3%

Abbott Laboratories		19,479		$2,120

Baxter International, Inc.		9,065		729

Edwards Lifesciences Corp.*		1,702		136

Hologic, Inc.*		5,010		333

IDEXX Laboratories, Inc.*		1,962		771

Medtronic PLC		23,024		2,393

Mettler-Toledo International, Inc.*		543		524

Quidel Corp.*		796		174

ResMed, Inc.		6,802		1,166

Thermo Fisher Scientific, Inc.		2,059		909

Waters Corp.*		1,240		243

				9,498

Metals & Mining – 0.3%

Newmont Corp.		11,406		724

Oil, Gas & Coal – 2.1%

Baker Hughes Co.		51,180		680

Chevron Corp.		27,367		1,970

Concho Resources, Inc.		8,059		356

ConocoPhillips		28,097		923

Exxon Mobil Corp.		312		11

HollyFrontier Corp.		12,450		245

Schlumberger N.V.		23,993		373

				4,558

Real Estate – 0.5%

CBRE Group, Inc., Class A*		22,691		1,066

Real Estate Investment Trusts – 2.5%

Boston Properties, Inc.		4,448		357

Cousins Properties, Inc.		46,984		1,343

Equity Residential		11,597		596

Gaming and Leisure Properties, Inc.		26,894		993

Highwoods Properties, Inc.		38,126		1,280

Kimco Realty Corp.		5,210		59

Weyerhaeuser Co.		28,901		824

				5,452

Retail - Consumer Staples – 3.0%

Kroger (The) Co.		13,986		474

Sprouts Farmers Market, Inc.*		58,696		1,229

Target Corp.		13,181		2,075

Walmart, Inc.		20,612		2,884

				6,662

Retail - Discretionary – 8.0%

Amazon.com, Inc.*		3,126		9,843



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.7% continued

Retail - Discretionary – 8.0% continued

AutoZone, Inc.*		612		$721

Best Buy Co., Inc.		14,488		1,613

eBay, Inc.		29,851		1,555

Genuine Parts Co.		8,217		782

Home Depot (The), Inc.		5,354		1,487

Lowe’s Cos., Inc.		7,248		1,202

O’Reilly Automotive, Inc.*		269		124

Qurate Retail, Inc., Class A		13,812		99

Tractor Supply Co.		357		51

Williams-Sonoma, Inc.		2,078		188

				17,665

Semiconductors – 5.0%

Applied Materials, Inc.		28,839		1,715

Intel Corp.		56,969		2,950

KLA Corp.		6,171		1,196

Lam Research Corp.		4,969		1,648

Microchip Technology, Inc.		6,473		665

NVIDIA Corp.		1,966		1,064

Texas Instruments, Inc.		12,616		1,801

				11,039

Software – 9.8%

Activision Blizzard, Inc.		3,202		259

Adobe, Inc.*		2,715		1,331

Citrix Systems, Inc.		11,028		1,519

Electronic Arts, Inc.*		12,304		1,605

Intuit, Inc.		963		314

Microsoft Corp.		67,054		14,103

Oracle Corp.		41,808		2,496

salesforce.com, Inc.*		239		60

				21,687

Specialty Finance – 2.0%

Jack Henry & Associates, Inc.		288		47

Mastercard, Inc., Class A		2,755		932

PayPal Holdings, Inc.*		1,956		385

SLM Corp.		99,302		803

Visa, Inc., Class A		6,346		1,269

Western Union (The) Co.		43,311		928

				4,364

Technology Services – 3.3%

Accenture PLC, Class A		11,115		2,512

Amdocs Ltd.		8,176		469

Booz Allen Hamilton Holding Corp.		11,825		981



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.7% continued

Technology Services – 3.3% continued

Cognizant Technology Solutions Corp., Class A		5,753		$399

International Business Machines Corp.		17,373		2,114

Leidos Holdings, Inc.		9,326		832

				7,307

Telecom – 2.4%

AT&T, Inc.		67,829		1,934

Verizon Communications, Inc.		56,938		3,387

				5,321

Transportation & Logistics – 2.0%

C.H. Robinson Worldwide, Inc.		15,947		1,630

Expeditors International of Washington, Inc.		13,438		1,216

Landstar System, Inc.		10,884		1,366

Schneider National, Inc., Class B		3,561		88

				4,300

Transportation Equipment – 0.8%

Allison Transmission Holdings, Inc.		1,095		39

Cummins, Inc.		7,895		1,667

				1,706

Utilities – 2.7%

AES (The) Corp.		70,232		1,272

Ameren Corp.		15,993		1,265

Edison International		1,007		51

Entergy Corp.		198		19

Exelon Corp.		33,803		1,209

FirstEnergy Corp.		31,495		904

NRG Energy, Inc.		12,323		379

Public Service Enterprise Group, Inc.		16,895		928

				6,027
Total Common Stocks

(Cost $158,393)				217,548


PREFERRED STOCKS – 0 .0%

Retail - Consumer Discretionary – 0.0%

Qurate Retail, Inc.*		408		40
Total Preferred Stocks

(Cost $40)				40



	NUMBER OF SHARES		VALUE (000S)

INVESTMENT COMPANIES – 1.0%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽¹⁾⁽²⁾		2,140,116		$2,140

Total Investment Companies

(Cost $2,140)				2,140

	PRINCIPAL AMOUNT (000S)		VALUE (000S)

SHORT-TERM INVESTMENTS – 0.2%

U.S. Treasury Bill, 0.11%, 1/28/21⁽³⁾⁽⁴⁾		$415		$415

Total Short-Term Investments

(Cost $415)				415



Total Investments – 99.9%

(Cost $160,988)				220,143

Other Assets less Liabilities – 0.1%				281
NET ASSETS – 100.0%				$220,424

⁽¹⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽²⁾

7-day current yield as of September 30, 2020 is disclosed.

⁽³⁾

Discount rate at the time of purchase.

⁽⁴⁾

Security pledged as collateral to cover margin requirements for open futures contracts.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

PLC - Public Limited Company

S&P - Standard & Poor’s

Percentages shown are based on Net Assets.

At September 30, 2020, the Fund had open futures contracts as follows:

TYPE

NUMBER OF
CONTRACTS

NOTIONAL
AMOUNT
(000S)

CONTRACT
POSITION

CONTRACT
EXP.

VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
(000S)⁽¹⁾

E-Mini S&P 500

$2,514

Long

12/20

$23

⁽¹⁾

Includes cumulative appreciation/depreciation on futures contracts. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF LONG-TERM INVESTMENTS

Communication Services		10.8	%

Consumer Discretionary		11.7

Consumer Staples		6.9

Energy		2.1

Financials		9.6

Health Care		14.6

Industrials		7.7

Information Technology		28.1

Materials		2.7

Real Estate		3.0

Utilities		2.8

Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

Common Stocks⁽¹⁾		$217,548		$ —		$ —		$217,548

Preferred Stocks⁽¹⁾		40		—		—		40

Investment Companies		2,140		—		—		2,140

Short-Term Investments		—		415		—		415

Total Investments		$219,728		$415		$ —		$220,143

OTHER FINANCIAL INSTRUMENTS

Assets

Futures Contracts		$ 23		$ —		$ —		$ 23

⁽¹⁾

Classifications as defined in the Schedule of Investments.


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.7%

Aerospace & Defense – 0.5%

Howmet Aerospace, Inc.		8,085		$135

Raytheon Technologies Corp.		1,381		80

Textron, Inc.		696		25

				240

Apparel & Textile Products – 0.5%

Hanesbrands, Inc.		15,876		250

Asset Management – 0.1%

Affiliated Managers Group, Inc.		922		63

Automotive – 1.2%

BorgWarner, Inc.		2,946		114

Gentex Corp.		10,269		264

ITT, Inc.		388		23

Lear Corp.		1,995		218

				619

Banking – 7.4%

Bank of America Corp.		47,667		1,148

Citigroup, Inc.		16,898		729

First Citizens BancShares, Inc., Class A		637		203

JPMorgan Chase & Co.		10,015		964

M&T Bank Corp.		2,756		254

PNC Financial Services Group (The), Inc.		1,002		110

Popular, Inc.		5,599		203

U.S. Bancorp		4,888		175

Wells Fargo & Co.		3,616		85

				3,871

Biotechnology & Pharmaceuticals – 5.7%

Johnson & Johnson		11,436		1,703

Mylan N.V.*		1,771		26

Pfizer, Inc.		34,221		1,256

				2,985

Chemicals – 2.7%

CF Industries Holdings, Inc.		6,544		201

Dow, Inc.		12,896		607

Eastman Chemical Co.		3,973		310

Huntsman Corp.		9,260		206

LyondellBasell Industries N.V., Class A		1,396		98

				1,422

Commercial Services – 0.8%

FTI Consulting, Inc.*		1,213		129

ManpowerGroup, Inc.		3,715		272

				401


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.7% continued

Construction Materials – 0.9%

Carlisle Cos., Inc.		1,906		$233

MDU Resources Group, Inc.		11,694		263

				496

Consumer Products – 5.0%

Campbell Soup Co.		5,236		253

General Mills, Inc.		10,103		623

J.M. Smucker (The) Co.		1,538		178

Procter & Gamble (The) Co.		8,816		1,226

TreeHouse Foods, Inc.*		5,928		240

Tyson Foods, Inc., Class A		1,361		81

				2,601

Containers & Packaging – 1.0%

International Paper Co.		8,300		336

Sonoco Products Co.		3,672		188

				524

Distributors - Consumer Staples – 1.2%

Archer-Daniels-Midland Co.		9,623		447

Bunge Ltd.		3,409		156

				603

Electrical Equipment – 5.8%

Acuity Brands, Inc.		1,081		111

Amphenol Corp., Class A		2,952		320

Eaton Corp. PLC		6,952		709

Emerson Electric Co.		7,277		477

General Electric Co.		12,150		76

Hubbell, Inc.		2,176		298

Johnson Controls International PLC		12,935		528

Trane Technologies PLC		4,148		503

				3,022

Engineering & Construction Services – 0.7%

AECOM*		1,767		74

Jacobs Engineering Group, Inc.		3,297		306

				380

Gaming, Lodging & Restaurants – 0.3%

Hyatt Hotels Corp., Class A		3,148		168

Hardware – 1.2%

Cisco Systems, Inc.		14,382		566

Zebra Technologies Corp., Class A*		138		35

				601

Health Care Facilities & Services – 2.8%

Anthem, Inc.		979		263

Cigna Corp.		791		134


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.7% continued

Health Care Facilities & Services – 2.8% continued

CVS Health Corp.		3,794		$222

Humana, Inc.		1,422		588

IQVIA Holdings, Inc.*		59		9

Laboratory Corp. of America Holdings*		19		4

Universal Health Services, Inc., Class B		2,518		269

				1,489

Home & Office Products – 4.1%

Fortune Brands Home & Security, Inc.		4,339		376

Lennar Corp., Class A		4,963		405

Newell Brands, Inc.		16,906		290

NVR, Inc.*		76		310

PulteGroup, Inc.		6,930		321

Snap-on, Inc.		409		60

Whirlpool Corp.		2,078		382

				2,144

Industrial Services – 1.0%

HD Supply Holdings, Inc.*		7,771		320

MSC Industrial Direct Co., Inc., Class A		3,567		226

				546

Institutional Financial Services – 3.7%

Bank of New York Mellon (The) Corp.		13,876		477

Goldman Sachs Group (The), Inc.		3,662		736

Jefferies Financial Group, Inc.		1,966		35

Morgan Stanley		14,114		682

				1,930

Insurance – 4.6%

Aflac, Inc.		7,610		277

Assured Guaranty Ltd.		6,857		147

Berkshire Hathaway, Inc., Class B*		2,672		569

Chubb Ltd.		39		5

Globe Life, Inc.		3,720		297

Hartford Financial Services Group (The), Inc.		3,894		144

Loews Corp.		6,742		234

MetLife, Inc.		13,370		497

White Mountains Insurance Group Ltd.		285		222

				2,392

Iron & Steel – 0.9%

Reliance Steel & Aluminum Co.		2,834		289

Steel Dynamics, Inc.		5,420		155

				444


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.7% continued

Machinery – 0.2%

Oshkosh Corp.		1,482		$109

Media – 6.4%

Charter Communications, Inc., Class A*		528		330

Comcast Corp., Class A		28,234		1,306

Discovery, Inc., Class A*		11,990		261

Fox Corp., Class A		2,661		74

Interpublic Group of (The) Cos., Inc.		15,654		261

Liberty Media Corp.-Liberty SiriusXM, Class A*		396		13

Lions Gate Entertainment Corp., Class A*		13,630		129

Walt Disney (The) Co.		7,995		992

				3,366

Medical Equipment & Devices – 6.5%

Abbott Laboratories		9,042		984

Agilent Technologies, Inc.		4,912		496

Baxter International, Inc.		1,970		158

Becton Dickinson and Co.		1,419		330

Danaher Corp.		769		166

Medtronic PLC		10,047		1,044

Thermo Fisher Scientific, Inc.		464		205

				3,383

Oil, Gas & Coal – 3.1%

Chevron Corp.		2,350		169

Concho Resources, Inc.		880		39

Devon Energy Corp.		23,159		219

Exxon Mobil Corp.		12,712		436

Helmerich & Payne, Inc.		12,153		178

HollyFrontier Corp.		9,051		178

Marathon Petroleum Corp.		9,830		289

National Oilwell Varco, Inc.		11,878		108

				1,616

Passenger Transportation – 0.6%

Southwest Airlines Co.		8,839		332

Real Estate Investment Trusts – 3.7%

American Homes 4 Rent, Class A		10,011		285

AvalonBay Communities, Inc.		2,444		365

Cousins Properties, Inc.		2,305		66

Equity Residential		6,383		327

Highwoods Properties, Inc.		6,887		231

JBG SMITH Properties		6,497		174

Life Storage, Inc.		2,771		292


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.7% continued

Real Estate Investment Trusts – 3.7% continued

Weingarten Realty Investors		10,655		$181

Welltower, Inc.		510		28

				1,949

Retail - Consumer Staples – 5.0%

Kroger (The) Co.		13,443		456

Target Corp.		5,834		918

Walmart, Inc.		8,926		1,249

				2,623

Retail - Discretionary – 0.4%

Qurate Retail, Inc., Class A		1,497		11

Williams-Sonoma, Inc.		2,349		212

				223

Semiconductors – 4.6%

Analog Devices, Inc.		843		98

Applied Materials, Inc.		891		53

Broadcom, Inc.		233		85

Intel Corp.		17,821		923

KLA Corp.		948		184

Lam Research Corp.		786		261

Maxim Integrated Products, Inc.		4,689		317

Microchip Technology, Inc.		509		52

Skyworks Solutions, Inc.		941		137

Teradyne, Inc.		2,901		230

Xilinx, Inc.		365		38

				2,378

Software – 0.8%

Cerner Corp.		2,829		204

SS&C Technologies Holdings, Inc.		3,118		189

				393

Specialty Finance – 2.9%

Ally Financial, Inc.		12,340		310

Capital One Financial Corp.		1,659		119

Fidelity National Information Services, Inc.		300		44

Jack Henry & Associates, Inc.		1,396		227

MGIC Investment Corp.		24,378		216

Santander Consumer U.S.A. Holdings, Inc.		11,884		216

SLM Corp.		22,792		185

Synchrony Financial		7,617		199

				1,516


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.7% continued

Technology Services – 3.2%

Accenture PLC, Class A		706		$159

Amdocs Ltd.		4,493		258

Cognizant Technology Solutions Corp., Class A		5,442		378

International Business Machines Corp.		5,778		703

Leidos Holdings, Inc.		58		5

Paychex, Inc.		1,789		143

				1,646

Telecom – 2.1%

AT&T, Inc.		18,445		526

CenturyLink, Inc.		13,256		134

Verizon Communications, Inc.		7,757		461

				1,121

Transportation & Logistics – 0.0%

Schneider National, Inc., Class B		135		3

Transportation Equipment – 1.1%

Cummins, Inc.		2,559		541

PACCAR, Inc.		600		51

				592

Utilities – 5.4%

CenterPoint Energy, Inc.		14,788		286

Consolidated Edison, Inc.		2,911		227

Duke Energy Corp.		58		5

Evergy, Inc.		4,888		249

Exelon Corp.		10,129		362

Hawaiian Electric Industries, Inc.		7,137		237

IDACORP, Inc.		2,991		239

National Fuel Gas Co.		3,281		133

OGE Energy Corp.		8,679		260

Pinnacle West Capital Corp.		2,054		153

PPL Corp.		12,102		329

Public Service Enterprise Group, Inc.		6,690		368

				2,848

Waste & Environment Services & Equipment – 0.6%

Pentair PLC		7,070		324

Total Common Stocks

(Cost $53,555)				51,613


	NUMBER OF SHARES		VALUE (000S)

PREFERRED STOCKS – 0.0%

Retail - Consumer Discretionary – 0.0%

Qurate Retail, Inc.*		45		$5
Total Preferred Stocks
(Cost $4)				5



INVESTMENT COMPANIES – 0.9%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽¹⁾⁽²⁾		457,856		458
Total Investment Companies
(Cost $458)				458


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

SHORT-TERM INVESTMENTS – 0.3%
U.S. Treasury Bills, 0.11%, 1/28/21⁽³⁾⁽⁴⁾		$150		$150
Total Short-Term Investments
(Cost $150)				150


Total Investments – 99.9%
(Cost $54,167)				52,226

Other Assets less Liabilities – 0.1%				37
NET ASSETS – 100.0%				$52,263

⁽¹⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽²⁾

7-day current yield as of September 30, 2020 is disclosed.

⁽³⁾

Discount rate at the time of purchase.

⁽⁴⁾

Security pledged as collateral to cover margin requirements for open futures contracts.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

PLC - Public Limited Company

S&P - Standard & Poor’s

Percentages shown are based on Net Assets.

At September 30, 2020, the Fund had open futures contracts as follows:


TYPE	NUMBER OF CONTRACTS	NOTIONAL AMOUNT (000S)	CONTRACT POSITION	CONTRACT EXP.	VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) (000S)⁽¹⁾

E-Mini S&P 500	3	$503	Long	12/20	$6

⁽¹⁾

Includes cumulative appreciation/depreciation on futures contracts. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF LONG-TERM INVESTMENTS

Communication Services		8.7	%

Consumer Discretionary		7.5

Consumer Staples		9.5

Energy		3.1

Financials		18.4

Health Care		15.6

Industrials		12.3

Information Technology		10.5

Materials		4.6

Real Estate		3.8

Utilities		6.0

Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

Common Stocks⁽¹⁾		$51,613		$ —		$ —		$51,613

Preferred Stocks⁽¹⁾		5		—		—		5

Investment Companies		458		—		—		458

Short-Term Investments		—		150		—		150

Total Investments		$52,076		$150		$ —		$52,226


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.8%

Aerospace & Defense – 0.8%

AAR Corp.		7,509		$141

Aerojet Rocketdyne Holdings, Inc.*		14,794		590

AeroVironment, Inc.*		5,868		352

American Outdoor Brands, Inc.*		2,698		35

Astronics Corp.*		2,544		20

Astronics Corp., Class B*		3,668		27

Barnes Group, Inc.		11,984		428

Ducommun, Inc.*		3,306		109

Ituran Location and Control Ltd.		4,136		58

Kaman Corp.		5,448		212

Moog, Inc., Class A		9,117		579

National Presto Industries, Inc.		1,353		111

Park Aerospace Corp.		2,783		30

Smith & Wesson Brands, Inc.		10,792		168

Sturm Ruger & Co., Inc.		4,250		260

Woodward, Inc.		1,719		138

				3,258

Apparel & Textile Products – 1.1%

Capri Holdings Ltd.*		28,325		510

Crocs, Inc.*		15,605		667

Culp, Inc.		198		3

Deckers Outdoor Corp.*		5,447		1,198

Delta Apparel, Inc.*		8,061		115

Fossil Group, Inc.*		1,756		10

Kontoor Brands, Inc.		8,256		200

Movado Group, Inc.		3,336		33

Oxford Industries, Inc.		5,034		203

Rocky Brands, Inc.		4,550		113

Steven Madden Ltd.		16,871		329

Superior Group of Cos., Inc.		7,320		170

Unifi, Inc.*		692		9

Urban Outfitters, Inc.*		10,054		209

Weyco Group, Inc.		3,278		53

Wolverine World Wide, Inc.		16,966		438

				4,260

Asset Management – 0.9%

Altisource Asset Management Corp.*		512		11

Apollo Investment Corp.		12,727		105

Artisan Partners Asset Management, Inc., Class A		10,027		391

Associated Capital Group, Inc., Class A		2,873		104

B. Riley Financial, Inc.		1,755		44

Blucora, Inc.*		9,564		90

Boston Private Financial Holdings, Inc.		2,714		15


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Asset Management – 0.9% continued

Cohen & Steers, Inc.		5,667		$316

Diamond Hill Investment Group, Inc.		963		122

Freedom Holding Corp.*		5,424		130

GAMCO Investors, Inc., Class A		5,150		60

Hamilton Lane, Inc., Class A		5,519		356

Kennedy-Wilson Holdings, Inc.		20,864		303

Pzena Investment Management, Inc., Class A		4,695		25

Rafael Holdings, Inc., Class B*		5,871		91

Safeguard Scientifics, Inc.		826		4

Siebert Financial Corp.*		919		3

Stifel Financial Corp.		12,811		648

StoneCastle Financial Corp.		3,697		72

Victory Capital Holdings, Inc., Class A		9,571		162

Virtus Investment Partners, Inc.		2,317		321

Waddell & Reed Financial, Inc., Class A		13,855		206

Westwood Holdings Group, Inc.		496		5

WisdomTree Investments, Inc.		4,100		13

				3,597

Automotive – 1.2%

Adient PLC*		17,670		306

American Axle & Manufacturing Holdings, Inc.*		7,181		41

Cooper Tire & Rubber Co.		15,420		489

Dana, Inc.		27,461		338

Delphi Technologies PLC*		11,697		196

Dorman Products, Inc.*		9,467		856

Fox Factory Holding Corp.*		8,308		618

Gentherm, Inc.*		8,767		359

Goodyear Tire & Rubber (The) Co.		45,802		351

Methode Electronics, Inc.		7,359		210

Miller Industries, Inc.		8,446		258

Modine Manufacturing Co.*		2,602		16

Motorcar Parts of America, Inc.*		5,314		83

Standard Motor Products, Inc.		4,636		207

Tenneco, Inc., Class A*		3,500		24

Visteon Corp.*		5,291		366

				4,718

Banking – 7.2%

1st Source Corp.		5,460		168

Allegiance Bancshares, Inc.		4,097		96

Altabancorp		4,601		93

Amalgamated Bank, Class A		6,269		66

American National Bankshares, Inc.		2,646		55


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Banking – 7.2% continued

Ameris Bancorp		14,521		$331

Ames National Corp.		2,547		43

Arrow Financial Corp.		5,265		132

Atlantic Union Bankshares Corp.		16,996		363

Axos Financial, Inc.*		14,037		327

Banc of California, Inc.		6,661		67

BancFirst Corp.		4,585		187

Banco Latinoamericano de Comercio Exterior S.A., Class E		7,890		96

Bancorp (The), Inc.*		7,254		63

BancorpSouth Bank		19,847		385

Bank First Corp.		3,402		200

Bank of Hawaii Corp.		6,979		353

Bank of Marin Bancorp		3,682		107

Bank of NT Butterfield & Son (The) Ltd.		10,037		224

Bank of South Carolina Corp.		5,450		87

Bank7 Corp.		9,191		86

BankFinancial Corp.		1,816		13

Bankwell Financial Group, Inc.		7,813		111

Banner Corp.		8,821		285

Bar Harbor Bankshares		1,968		40

BCB Bancorp, Inc.		508		4

Berkshire Bancorp, Inc.*		121		1

Brookline Bancorp, Inc.		23,413		202

Bryn Mawr Bank Corp.		4,961		123

Burke & Herbert Bank & Trust Co.		20		32

C&F Financial Corp.		474		14

California First National Bancorp		1,583		25

Cambridge Bancorp		913		49

Camden National Corp.		4,006		121

Capital City Bank Group, Inc.		4,062		76

Capitol Federal Financial, Inc.		25,224		234

Cathay General Bancorp		16,356		355

CBTX, Inc.		3,800		62

Central Pacific Financial Corp.		675		9

Century Bancorp, Inc., Class A		4,752		312

Citizens & Northern Corp.		774		13

City Holding Co.		3,955		228

Columbia Banking System, Inc.		13,496		322

Commercial National Financial Corp.		121		2

Community Bank System, Inc.		9,784		533

Community Financial (The) Corp.		3,510		75

Community Trust Bancorp, Inc.		2,985		84

ConnectOne Bancorp, Inc.		5,067		71


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Banking – 7.2% continued

Customers Bancorp, Inc.*		7,370		$83

CVB Financial Corp.		23,812		396

Dime Community Bancshares, Inc.		7,293		82

Eagle Bancorp, Inc.		6,851		184

Eagle Financial Services, Inc.		100		2

Enterprise Bancorp, Inc.		2,054		43

Enterprise Financial Services Corp.		5,591		152

Equity Bancshares, Inc., Class A*		3,473		54

ESSA Bancorp, Inc.		924		11

FB Financial Corp.		2,484		62

Financial Institutions, Inc.		4,552		70

First Bancorp		7,975		167

First Bancorp (The), Inc.		2,982		63

First Bancshares (The), Inc.		4,998		105

First Busey Corp.		11,676		186

First Commonwealth Financial Corp.		30,033		232

First Community Bankshares, Inc.		1,805		33

First Financial Bankshares, Inc.		30,003		837

First Financial Corp.		2,808		88

First Financial Northwest, Inc.		699		6

First Foundation, Inc.		5,394		70

First Horizon National Corp.		53,449		504

First Internet Bancorp		1,689		25

First Interstate BancSystem, Inc., Class A		10,214		325

First Merchants Corp.		10,848		251

First Mid Bancshares, Inc.		37		1

First Northwest Bancorp		521		5

First of Long Island (The) Corp.		3,693		55

First Savings Financial Group, Inc.		3,176		173

First United Corp.		8,086		95

Flagstar Bancorp, Inc.		8,757		259

Flushing Financial Corp.		4,485		47

FNB Corp.		59,964		407

FS Bancorp, Inc.		116		5

Fulton Financial Corp.		29,705		277

German American Bancorp, Inc.		5,541		150

Glacier Bancorp, Inc.		15,879		509

Great Southern Bancorp, Inc.		5,209		189

Guaranty Federal Bancshares, Inc.		3,878		54

Hancock Whitney Corp.		17,373		327

Hanmi Financial Corp.		3,851		32

Hawthorn Bancshares, Inc.		1,370		26

Heartland Financial U.S.A., Inc.		6,005		180

Heritage Financial Corp.		8,439		155


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Banking – 7.2% continued

Hilltop Holdings, Inc.		16,924		$348

Hingham Institution For Savings (The)		701		129

Home Bancorp, Inc.		3,119		75

Home BancShares, Inc.		28,961		439

HomeStreet, Inc.		4,343		112

HomeTrust Bancshares, Inc.		1,363		18

Hope Bancorp, Inc.		22,785		173

Independent Bank Corp.		7,099		372

Independent Bank Group, Inc.		10,771		476

International Bancshares Corp.		12,763		333

Investar Holding Corp.		10,598		136

Investors Bancorp, Inc.		66,653		484

Kearny Financial Corp.		22,037		159

Kentucky First Federal Bancorp		724		4

Lake Shore Bancorp, Inc.		300		4

Lakeland Bancorp, Inc.		7,660		76

Lakeland Financial Corp.		4,918		203

Landmark Bancorp, Inc.		5,709		122

Malvern Bancorp, Inc.⁽¹⁾*		9		—

Mercantile Bank Corp.		5,312		96

Meridian Bancorp, Inc.		10,036		104

Meta Financial Group, Inc.		11,612		223

Metropolitan Bank Holding Corp.*		200		6

MidWestOne Financial Group, Inc.		564		10

NASB Financial, Inc.		4,183		251

National Bank Holdings Corp., Class A		7,956		209

National Bankshares, Inc.		1,783		45

NBT Bancorp, Inc.		10,910		293

Nicolet Bankshares, Inc.*		3,149		172

Northeast Community Bancorp, Inc.		897		9

Northfield Bancorp, Inc.		16,513		151

Northrim BanCorp, Inc.		2,996		76

NorthWest Indiana Bancorp		700		22

Norwood Financial Corp.		1,101		27

OceanFirst Financial Corp.		9,688		133

OFG Bancorp		7,059		88

Ohio Valley Banc Corp.		757		16

Old National Bancorp		28,488		358

Old Second Bancorp, Inc.		2,655		20

Pacific Premier Bancorp, Inc.		12,068		243

Park National Corp.		3,093		253

Peapack-Gladstone Financial Corp.		4,327		66

Penns Woods Bancorp, Inc.		150		3

Peoples Bancorp, Inc.		1,726		33


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Banking – 7.2% continued

Peoples Financial Corp.		236		$2

Peoples Financial Services Corp.		420		15

Preferred Bank		3,973		128

Premier Financial Bancorp, Inc.		8,354		90

Premier Financial Corp.		10,387		162

Provident Bancorp, Inc.⁽¹⁾		18		—

Provident Financial Services, Inc.		19,080		233

Prudential Bancorp, Inc.		1,050		11

QCR Holdings, Inc.		7,155		196

Renasant Corp.		12,493		284

Republic Bancorp, Inc., Class A		4,201		118

Republic First Bancorp, Inc.*		24,079		48

Sandy Spring Bancorp, Inc.		5,362		124

Seacoast Banking Corp. of Florida*		10,995		198

ServisFirst Bancshares, Inc.		13,308		453

Severn Bancorp, Inc.		1,292		8

Shore Bancshares, Inc.		691		8

Sierra Bancorp		823		14

Simmons First National Corp., Class A		14,914		236

South State Corp.		13,412		646

Southern BancShares NC, Inc.		5		17

Southern First Bancshares, Inc.*		4,663		113

Southern National Bancorp of Virginia, Inc.		669		6

Southside Bancshares, Inc.		5,136		125

Spirit of Texas Bancshares, Inc.*		4,794		53

Standard AVB Financial Corp.		947		31

Stock Yards Bancorp, Inc.		6,474		220

Texas Capital Bancshares, Inc.*		3,839		119

Tompkins Financial Corp.		4,208		239

Towne Bank		10,454		171

TriCo Bancshares		5,153		126

Triumph Bancorp, Inc.*		6,583		205

TrustCo Bank Corp. NY		9,135		48

Trustmark Corp.		13,142		281

UMB Financial Corp.		9,011		442

Union Bankshares, Inc.		5,883		119

United Bancorp, Inc.		498		6

United Bankshares, Inc.		19,350		415

United Community Banks, Inc.		15,574		264

Univest Financial Corp.		5,415		78

Veritex Holdings, Inc.		8,419		143

Virginia National Bankshares Corp.		105		3

Washington Trust Bancorp, Inc.		3,313		102


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Banking – 7.2% continued

Waterstone Financial, Inc.		3,803		$59

WesBanco, Inc.		15,509		331

West BanCorp, Inc.		2,843		45

Westamerica BanCorp		6,293		342

Western New England Bancorp, Inc.		4,295		24

WSFS Financial Corp.		14,348		387

				27,960

Biotechnology & Pharmaceuticals – 10.4%

89bio, Inc.*		7,393		190

Abeona Therapeutics, Inc.*		1,200		1

Adamas Pharmaceuticals, Inc.*		7,666		32

ADMA Biologics, Inc.*		22,679		54

Adverum Biotechnologies, Inc.*		12,531		129

Aerie Pharmaceuticals, Inc.*		6,902		81

Akcea Therapeutics, Inc.*		6,780		123

Akebia Therapeutics, Inc.*		24,751		62

Akero Therapeutics, Inc.*		4,219		130

Albireo Pharma, Inc.*		7,695		257

Alector, Inc.*		6,804		72

Altimmune, Inc.*		13,560		179

AMAG Pharmaceuticals, Inc.*		14,322		135

Amicus Therapeutics, Inc.*		64,019		904

Amneal Pharmaceuticals, Inc.*		36,053		140

Amphastar Pharmaceuticals, Inc.*		12,971		243

AnaptysBio, Inc.*		5,481		81

Anavex Life Sciences Corp.*		15,685		71

Anika Therapeutics, Inc.*		5,635		199

Anixa Biosciences, Inc.*		3,567		9

Apellis Pharmaceuticals, Inc.*		957		29

Applied Molecular Transport, Inc.*		6,700		213

Applied Therapeutics, Inc.*		1,837		38

Aprea Therapeutics, Inc.*		3,767		91

Arcturus Therapeutics Holdings, Inc.*		8,992		386

Arcus Biosciences, Inc.*		10,566		181

Ardelyx, Inc.*		9,450		50

Arena Pharmaceuticals, Inc.*		10,748		804

Arrowhead Pharmaceuticals, Inc.*		21,732		936

Arvinas, Inc.*		283		7

Assembly Biosciences, Inc.*		9,978		164

Atara Biotherapeutics, Inc.*		12,001		156

Atreca, Inc., Class A*		4,447		62

Avrobio, Inc.*		4,520		59

Axsome Therapeutics, Inc.*		5,644		402

Baudax Bio, Inc.*		5,890		16


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Biotechnology & Pharmaceuticals – 10.4% continued

Beyond Air, Inc.*		15,066		$78

Beyondspring, Inc.*		4,914		65

BioCryst Pharmaceuticals, Inc.*		17,291		59

BioDelivery Sciences International, Inc.*		2,711		10

BioSpecifics Technologies Corp.*		4,646		245

Bioxcel Therapeutics, Inc.*		9,922		430

Blueprint Medicines Corp.*		12,273		1,138

Bridgebio Pharma, Inc.*		692		26

Calithera Biosciences, Inc.*		2,212		8

Capricor Therapeutics, Inc.*		23,956		126

Cara Therapeutics, Inc.*		10,599		135

CASI Pharmaceuticals, Inc.*		38,269		59

Catabasis Pharmaceuticals, Inc.*		15,355		95

Catalyst Biosciences, Inc.*		17,739		76

Catalyst Pharmaceuticals, Inc.*		35,088		104

Centogene N.V.*		5,273		50

Champions Oncology, Inc.*		4,476		41

ChemoCentryx, Inc.*		7,251		397

China Biologic Products Holdings, Inc.*		5,242		583

Clovis Oncology, Inc.*		500		3

Coherus Biosciences, Inc.*		11,902		218

Collegium Pharmaceutical, Inc.*		16,050		334

Concert Pharmaceuticals, Inc.*		21,147		208

Corcept Therapeutics, Inc.*		30,380		529

CorMedix, Inc.*		3,231		19

Crinetics Pharmaceuticals, Inc.*		4,914		77

Cue Biopharma, Inc.*		4,219		63

Cumberland Pharmaceuticals, Inc.*		232		1

Cytokinetics, Inc.*		18,969		411

Deciphera Pharmaceuticals, Inc.*		2,542		130

DermTech, Inc.*		7,232		86

DiaMedica Therapeutics, Inc.*		21,394		91

Dicerna Pharmaceuticals, Inc.*		17,005		306

Dyadic International, Inc.*		16,724		127

Dynavax Technologies Corp.*		19,370		84

Eagle Pharmaceuticals, Inc.*		2,183		93

Editas Medicine, Inc.*		11,450		321

Eiger BioPharmaceuticals, Inc.*		20,361		166

Eloxx Pharmaceuticals, Inc.*		700		2

Emergent BioSolutions, Inc.*		10,694		1,105

Enanta Pharmaceuticals, Inc.*		5,645		258

Endo International PLC*		34,982		115

Epizyme, Inc.*		6,667		80


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Biotechnology & Pharmaceuticals – 10.4% continued

Esperion Therapeutics, Inc.*		5,608		$208

Fate Therapeutics, Inc.*		15,015		600

FibroGen, Inc.*		20,175		830

Five Prime Therapeutics, Inc.*		4,000		19

Flexion Therapeutics, Inc.*		9,909		103

Frequency Therapeutics, Inc.*		4,163		80

Fulcrum Therapeutics, Inc.*		5,424		43

G1 Therapeutics, Inc.*		7,844		91

Galmed Pharmaceuticals Ltd.*		209		1

Geron Corp.*		7,700		13

GlycoMimetics, Inc.*		7,400		23

Gossamer Bio, Inc.*		8,136		101

Gritstone Oncology, Inc.*		5,765		15

Halozyme Therapeutics, Inc.*		18,177		478

Harpoon Therapeutics, Inc.*		6,027		102

Harrow Health, Inc.*		17,176		96

Heska Corp.*		5,016		496

Homology Medicines, Inc.*		10,502		112

IGM Biosciences, Inc.*		6,108		451

ImmuCell Corp.*		2,554		14

Immunic, Inc.*		7,940		147

ImmunoGen, Inc.*		15,996		58

Innoviva, Inc.*		27,817		291

Inovio Pharmaceuticals, Inc.*		12,374		144

Intellia Therapeutics, Inc.*		12,074		240

Intersect ENT,Inc.*		12,063		197

Intra-Cellular Therapies, Inc.*		13,585		349

Ironwood Pharmaceuticals, Inc.*		33,005		297

Kadmon Holdings, Inc.*		30,330		119

Kala Pharmaceuticals, Inc.*		7,533		56

Kaleido Biosciences, Inc.*		14,464		160

KalVista Pharmaceuticals, Inc.*		18,954		239

Karyopharm Therapeutics, Inc.*		9,181		134

Kindred Biosciences, Inc.*		8,662		37

Krystal Biotech, Inc.*		3,143		135

Kura Oncology, Inc.*		10,420		319

La Jolla Pharmaceutical Co.*		1,889		8

Lannett Co., Inc.*		16,884		103

Lexicon Pharmaceuticals, Inc.*		3,400		5

Ligand Pharmaceuticals, Inc.*		4,796		457

MacroGenics, Inc.*		11,173		281

Magenta Therapeutics, Inc.*		10,245		70

Mallinckrodt PLC*		9,730		9

Mannatech, Inc.		4,014		67


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Biotechnology & Pharmaceuticals – 10.4% continued

MediciNova, Inc.*		28,415		$149

MeiraGTx Holdings PLC*		14,024		186

Merrimack Pharmaceuticals, Inc.		261		1

Merus N.V.*		12,819		154

Minerva Neurosciences, Inc.*		2,542		8

Mirati Therapeutics, Inc.*		262		43

Mirum Pharmaceuticals, Inc.*		5,575		107

Molecular Templates, Inc.*		14,114		154

Momenta Pharmaceuticals, Inc.*		14,360		754

Monopar Therapeutics, Inc.*		13,409		71

Morphic Holding, Inc.*		5,028		137

MyoKardia, Inc.*		8,204		1,118

Natural Alternatives International, Inc.*		729		5

Nature’s Sunshine Products, Inc.*		6,487		75

Neoleukin Therapeutics, Inc.*		8,437		101

NeuroBo Pharmaceuticals, Inc.*		7,383		41

Nkarta, Inc.*		6,400		192

Novavax, Inc.*		11,340		1,229

Ocular Therapeutix, Inc.*		395		3

Omeros Corp.*		15,976		161

Opiant Pharmaceuticals, Inc.*		10,218		76

Optinose, Inc.*		249		1

Oramed Pharmaceuticals, Inc.*		471		1

Otonomy, Inc.*		400		2

Oyster Point Pharma, Inc.*		3,465		73

Pacira BioSciences, Inc.*		11,698		703

Paratek Pharmaceuticals, Inc.*		12,084		65

PDL BioPharma, Inc.*		24,608		78

Phibro Animal Health Corp., Class A		9,732		169

Prestige Consumer Healthcare, Inc.*		12,573		458

ProPhase Labs, Inc.		15,179		53

ProQR Therapeutics N.V.*		154		1

Protagonist Therapeutics, Inc.*		9,167		179

Protara Therapeutics, Inc.*		2,109		35

Prothena Corp. PLC*		9,356		93

Provention Bio, Inc.*		8,437		108

PTC Therapeutics, Inc.*		12,766		597

RAPT Therapeutics, Inc.*		5,123		165

Relmada Therapeutics, Inc.*		2,109		79

Replimune Group, Inc.*		8,636		199

Retrophin, Inc.*		14,007		259

Revance Therapeutics, Inc.*		11,601		292

Rhythm Pharmaceuticals, Inc.*		9,410		204

Rocket Pharmaceuticals, Inc.*		631		14


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Biotechnology & Pharmaceuticals – 10.4% continued

Rockwell Medical, Inc.*		5,100		$5

Sage Therapeutics, Inc.*		10,546		645

Sangamo Therapeutics, Inc.*		23,805		225

Satsuma Pharmaceuticals, Inc.*		3,384		13

Savara, Inc.*		3,800		4

Scholar Rock Holding Corp.*		6,027		107

scPharmaceuticals, Inc.*		12,806		95

Seres Therapeutics, Inc.*		8,500		241

Sierra Oncology, Inc.*		7,232		77

Sinovac Biotech Ltd.⁽²⁾*		1,587		5

Solid Biosciences, Inc.⁽¹⁾*		61		—

Sorrento Therapeutics, Inc.*		29,292		327

Spero Therapeutics, Inc.*		6,768		76

SpringWorks Therapeutics, Inc.*		8,754		417

Stoke Therapeutics, Inc.*		7,058		236

Supernus Pharmaceuticals, Inc.*		10,089		210

Syndax Pharmaceuticals, Inc.*		6,027		89

Taro Pharmaceutical Industries Ltd.*		7,759		426

TCR2 Therapeutics, Inc.*		14,928		303

TG Therapeutics, Inc.*		15,315		410

Theravance Biopharma, Inc.*		10,661		158

TransMedics Group, Inc.*		10,153		140

Twist Bioscience Corp.*		8,000		608

Ultragenyx Pharmaceutical, Inc.*		13,402		1,102

UroGen Pharma Ltd.*		7,775		150

Urovant Sciences Ltd.*		9,191		86

USANA Health Sciences, Inc.*		2,397		177

Vanda Pharmaceuticals, Inc.*		10,878		105

Verrica Pharmaceuticals, Inc.*		8,136		63

Viking Therapeutics, Inc.*		2,948		17

Voyager Therapeutics, Inc.*		10,628		113

WaVe Life Sciences Ltd.*		5,408		46

Windtree Therapeutics, Inc.*		14,313		79

X4 Pharmaceuticals, Inc.*		11,601		79

XBiotech, Inc.*		7,081		135

Xencor, Inc.*		13,786		535

Xenon Pharmaceuticals, Inc.*		8,588		95

XOMA Corp.*		8,798		166

Y-mAbs Therapeutics, Inc.*		7,438		286

ZIOPHARM Oncology, Inc.*		35,901		90

Zymeworks, Inc.*		7,920		369

Zynerba Pharmaceuticals, Inc.*		16,896		56

				40,195


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Chemicals – 2.2%

American Vanguard Corp.		4,066		$53

Amyris, Inc.*		6,700		20

Balchem Corp.		6,686		653

Cabot Corp.		11,821		426

Codexis, Inc.*		10,165		119

Element Solutions, Inc.*		34,004		357

Ferro Corp.*		15,438		191

GCP Applied Technologies, Inc.*		9,944		208

H.B. Fuller Co.		13,390		613

Hawkins, Inc.		4,191		193

Haynes International, Inc.		2,409		41

Ingevity Corp.*		8,613		426

Innospec, Inc.		5,014		318

Koppers Holdings, Inc.*		8,679		182

Kraton Corp.*		5,093		91

Kronos Worldwide, Inc.		700		9

LSB Industries, Inc.⁽¹⁾*		19		—

Lydall, Inc.*		148		2

Materion Corp.		7,197		375

Minerals Technologies, Inc.		7,964		407

Oil-Dri Corp. of America		3,144		113

Olin Corp.		29,078		360

Orion Engineered Carbons S.A.		8,880		111

Quaker Chemical Corp.		4,276		768

Rogers Corp.*		3,688		362

Sensient Technologies Corp.		9,304		537

Stepan Co.		5,067		552

Trinseo S.A.		10,592		272

Tronox Holdings PLC, Class A		6,864		54

WD-40 Co.		2,802		530

				8,343

Commercial Services – 2.9%

ABM Industries, Inc.		14,272		523

AMN Healthcare Services, Inc.*		10,869		635

ASGN, Inc.*		13,282		844

Barrett Business Services, Inc.		3,862		202

Brady Corp., Class A		10,646		426

Brink’s (The) Co.		10,081		414

CBIZ, Inc.*		23,591		539

Collectors Universe, Inc.		9,699		480

Computer Task Group, Inc.*		140		1

CorVel Corp.*		7,007		599

CRA International, Inc.		4,004		150

Cross Country Healthcare, Inc.*		16,073		104


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Commercial Services – 2.9% continued

Deluxe Corp.		7,479		$192

Ennis, Inc.		4,851		85

Forrester Research, Inc.*		6,555		215

Franklin Covey Co.*		4,998		89

FTI Consulting, Inc.*		8,061		854

GP Strategies Corp.*		1,059		10

Hackett Group (The), Inc.		10,164		114

Healthcare Services Group, Inc.		15,860		341

Heidrick & Struggles International, Inc.		6,671		131

HMS Holdings Corp.*		20,332		487

Huron Consulting Group, Inc.*		4,958		195

Information Services Group, Inc.*		11,200		24

Insperity, Inc.		7,709		505

Kelly Services, Inc., Class A		5,020		86

Kforce, Inc.		11,993		386

Korn Ferry		11,439		332

Morgan Group Holding Co.⁽¹⁾^*		64		—

National Research Corp.		3,595		177

NV5 Global, Inc.*		4,029		213

Quad/Graphics, Inc.		254		1

R.R. Donnelley & Sons Co.⁽¹⁾		1		—

R1 RCM, Inc.*		20,733		356

Resources Connection, Inc.		7,968		92

ShotSpotter, Inc.*		4,447		138

SP Plus Corp.*		4,601		83

TrueBlue, Inc.*		10,075		156

UniFirst Corp.		3,731		707

Vectrus, Inc.*		7,375		280

Viad Corp.		4,634		96

Where Food Comes From, Inc.*		1,100		2

Willdan Group, Inc.*		2,967		76

				11,340

Construction Materials – 1.2%

Advanced Drainage Systems, Inc.		10,440		652

Apogee Enterprises, Inc.		7,098		152

Boise Cascade Co.		8,865		354

Louisiana-Pacific Corp.		26,788		791

Simpson Manufacturing Co., Inc.		10,922		1,061

Summit Materials, Inc., Class A*		27,409		453

U.S. Concrete, Inc.*		3,245		94

UFP Industries, Inc.		13,652		771

United States Lime & Minerals, Inc.		1,432		129

				4,457


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Consumer Products – 2.7%

Adecoagro S.A.*		1,368		$6

Alico, Inc.		6,543		187

B&G Foods, Inc.		14,086		391

Bridgford Foods Corp.*		3,967		73

Cadiz, Inc.*		15,939		158

Cal-Maine Foods, Inc.*		7,853		301

Calyxt, Inc.*		20,942		115

Central Garden & Pet Co.*		200		8

Central Garden & Pet Co., Class A*		8,097		293

Clearwater Paper Corp.*		3,759		143

Coca-Cola Consolidated, Inc.		1,618		389

Darling Ingredients, Inc.*		36,524		1,316

Edgewell Personal Care Co.*		11,261		314

Farmer Bros. Co.*		6,514		29

Fresh Del Monte Produce, Inc.		4,379		100

Helen of Troy Ltd.*		5,751		1,113

Hostess Brands, Inc.*		25,419		313

Inter Parfums, Inc.		4,931		184

J&J Snack Foods Corp.		4,137		540

John B. Sanfilippo & Son, Inc.		1,445		109

Lancaster Colony Corp.		4,146		741

Landec Corp.*		3,108		30

MGP Ingredients, Inc.		3,510		140

Nathan’s Famous, Inc.		1,531		79

National Beverage Corp.*		3,533		240

Nu Skin Enterprises, Inc., Class A		14,001		701

Quanex Building Products Corp.		6,254		115

Sanderson Farms, Inc.		4,698		554

Seneca Foods Corp., Class A*		3,901		139

Simply Good Foods (The) Co.*		17,343		382

Spectrum Brands Holdings, Inc.		10,159		581

Tejon Ranch Co.*		8,274		117

Tootsie Roll Industries, Inc.		10,766		333

United-Guardian, Inc.		502		8

Universal Corp.		5,861		246

Vector Group Ltd.		9,438		92

				10,580

Consumer Services – 1.1%

Aaron’s, Inc.		15,161		859

Adtalem Global Education, Inc.*		13,448		330

Afya Ltd., Class A*		17,929		488

American Public Education, Inc.*		5,419		153

Graham Holdings Co., Class B		975		394

K12, Inc.*		6,794		179


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Consumer Services – 1.1% continued

Medifast, Inc.		4,086		$672

Perdoceo Education Corp.*		10,265		126

Regis Corp.*		9,180		56

Rent-A-Center, Inc.		9,876		295

Strategic Education, Inc.		4,525		414

WW International, Inc.*		8,121		153

				4,119

Containers & Packaging – 0.4%

Greif, Inc., Class A		5,160		187

Matthews International Corp., Class A		5,438		122

Myers Industries, Inc.		3,706		49

O-I Glass, Inc.		24,175		256

Silgan Holdings, Inc.		11,836		435

TriMas Corp.*		10,067		229

UFP Technologies, Inc.*		3,876		161

				1,439

Design, Manufacturing & Distribution – 0.5%

Benchmark Electronics, Inc.		11,604		234

Fabrinet*		8,353		527

MIND Technology, Inc.*		3,700		8

Plexus Corp.*		6,346		448

Sanmina Corp.*		13,686		370

SYNNEX Corp.		1,358		190

				1,777

Distributors - Consumer Staples – 0.4%

Andersons (The), Inc.		4,233		81

Calavo Growers, Inc.		3,038		201

Chefs’ Warehouse (The), Inc.*		1,600		23

Core-Mark Holding Co., Inc.		10,009		290

Performance Food Group Co.*		24,700		855

United Natural Foods, Inc.*		7,444		111

				1,561

Distributors - Discretionary – 0.4%

ePlus, Inc.*		7,814		572

G-III Apparel Group Ltd.*		8,353		109

KAR Auction Services, Inc.		27,120		391

PC Connection, Inc.		8,438		346

ScanSource, Inc.*		4,877		97

Wayside Technology Group, Inc.		5,862		135

				1,650

Electrical Equipment – 2.0%

AAON, Inc.		8,650		521


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Electrical Equipment – 2.0% continued

Advanced Energy Industries, Inc.*		9,353		$589

Alarm.com Holdings, Inc.*		6,539		361

Allied Motion Technologies, Inc.		2,967		122

Argan, Inc.		4,170		175

Atkore International Group, Inc.*		9,410		214

Badger Meter, Inc.		5,795		379

Bel Fuse, Inc., Class B		2,900		31

Belden, Inc.		7,560		235

Chase Corp.		2,616		250

CompX International, Inc.⁽¹⁾		1		—

CyberOptics Corp.*		2,329		74

ENGlobal Corp.*		6,300		5

FARO Technologies, Inc.*		3,813		233

Houston Wire & Cable Co.⁽¹⁾^*		139		—

IntriCon Corp.*		13,397		163

Itron, Inc.*		8,999		547

Kimball Electronics, Inc.*		5,454		63

Mesa Laboratories, Inc.		830		211

NL Industries, Inc.⁽¹⁾		100		—

nLight, Inc.*		11,794		277

Novanta, Inc.*		8,524		898

OSI Systems, Inc.*		5,529		429

Powell Industries, Inc.		4,712		114

Preformed Line Products Co.		2,026		99

SMART Global Holdings, Inc.*		7,792		213

SPX Corp.*		11,024		511

Stoneridge, Inc.*		4,784		88

Transcat, Inc.*		4,255		125

Watts Water Technologies, Inc., Class A		6,222		623

				7,550

Engineering & Construction Services – 2.0%

Aegion Corp.*		7,212		102

Arcosa, Inc.		10,394		458

Comfort Systems U.S.A., Inc.		10,254		528

Dycom Industries, Inc.*		7,118		376

EMCOR Group, Inc.		11,512		780

Exponent, Inc.		13,613		981

Fluor Corp.		25,425		224

Goldfield (The) Corp.*		6,800		29

Great Lakes Dredge & Dock Corp.*		4,201		40

IES Holdings, Inc.*		1,500		48

Installed Building Products, Inc.*		6,486		660

KBR, Inc.		27,763		621


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Engineering & Construction Services – 2.0% continued

Kratos Defense & Security Solutions, Inc.*		18,256		$352

MasTec, Inc.*		14,637		618

Mistras Group, Inc.*		1,067		4

MYR Group, Inc.*		3,372		125

Primoris Services Corp.		7,275		131

Sterling Construction Co., Inc.*		3,867		55

TopBuild Corp.*		7,131		1,217

Tutor Perini Corp.*		2,100		23

WillScot Mobile Mini Holdings Corp.*		27,546		459

				7,831

Forest & Paper Products – 0.2%

Domtar Corp.		6,160		162

Neenah, Inc.		5,147		193

P.H. Glatfelter Co.		8,081		111

Resolute Forest Products, Inc.*		21,609		97

Schweitzer-Mauduit International, Inc.		9,398		286

Verso Corp., Class A		8,256		65

				914

Gaming, Lodging & Restaurants – 3.2%

BBQ Holdings, Inc.*		174		1

Biglari Holdings, Inc., Class B*		874		78

BJ’s Restaurants, Inc.		872		26

Boyd Gaming Corp.		18,976		582

Brinker International, Inc.		5,700		243

Caesars Entertainment, Inc.*		11,518		646

Cannae Holdings, Inc.*		13,606		507

Carrols Restaurant Group, Inc.*		300		2

Churchill Downs, Inc.		8,244		1,351

Chuy’s Holdings, Inc.*		2,787		55

Cracker Barrel Old Country Store, Inc.		5,175		593

Dave & Buster’s Entertainment, Inc.		5,504		83

Denny’s Corp.*		15,633		156

Dine Brands Global, Inc.		2,254		123

El Pollo Loco Holdings, Inc.⁽¹⁾^*		15		—

Everi Holdings, Inc.*		12,281		101

Extended Stay America, Inc.		30,932		370

Fiesta Restaurant Group, Inc.*		1,356		13

Golden Entertainment, Inc.*		1,711		24

Hilton Grand Vacations, Inc.*		14,989		314

International Game Technology PLC		19,749		220

Jack in the Box, Inc.		4,475		355

Marriott Vacations Worldwide Corp.		8,132		738

Monarch Casino & Resort, Inc.*		947		42


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Gaming, Lodging & Restaurants – 3.2% continued

Papa John’s International, Inc.		7,548		$621

Penn National Gaming, Inc.*		26,527		1,929

Red Lion Hotels Corp.*		1,115		2

Red Rock Resorts, Inc., Class A		9,486		162

Ruth’s Hospitality Group, Inc.		3,095		34

Scientific Games Corp.*		8,646		302

Shake Shack, Inc., Class A*		4,957		320

Texas Roadhouse, Inc.		16,784		1,020

Wingstop, Inc.		5,779		790

Wyndham Destinations, Inc.		15,800		486

				12,289
Hardware – 1.9%

3D Systems Corp.*		13,533		66

Acacia Communications, Inc.*		7,087		478

ADTRAN, Inc.		9,982		102

Anterix, Inc.*		5,005		164

Applied Optoelectronics, Inc.*		5,897		66

Arlo Technologies, Inc.*		3,200		17

AstroNova, Inc.		13,073		105

AudioCodes Ltd.		5,611		177

Aware, Inc.*		683		2

BK Technologies Corp.		1,835		5

CalAmp Corp.*		2,500		18

CCUR Holdings, Inc.		691		2

Ciena Corp.*		1,379		55

Clearfield, Inc.*		4,759		96

CommScope Holding Co., Inc.*		38,269		344

Comtech Telecommunications Corp.		7,285		102

Daktronics, Inc.		2,559		10

Diebold Nixdorf, Inc.*		7,968		61

Digimarc Corp.*		5,036		112

Extreme Networks, Inc.*		14,194		57

Fitbit, Inc., Class A*		27,359		190

Frequency Electronics, Inc.*		6,866		69

GoPro, Inc., Class A*		8,900		40

Harmonic, Inc.*		13,292		74

Infinera Corp.*		17,463		108

Inseego Corp.*		3,287		34

InterDigital, Inc.		8,535		487

Knowles Corp.*		15,208		227

Kornit Digital Ltd.*		7,102		461

Maxar Technologies, Inc.		900		22

NETGEAR, Inc.*		7,536		232

NetScout Systems, Inc.*		14,957		327


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Hardware – 1.9% continued

PAR Technology Corp.*		3,687		$149

PCTEL, Inc.*		14,245		81

Pitney Bowes, Inc.		15,756		84

Radware Ltd.*		7,640		185

Silicom Ltd.*		5,346		173

Sonos, Inc.*		17,827		271

Stratasys Ltd.*		9,136		114

Super Micro Computer, Inc.*		7,916		209

TTM Technologies, Inc.*		13,062		149

Universal Electronics, Inc.*		3,806		144

UTStarcom Holdings Corp.⁽¹⁾^*		1		—

Viavi Solutions, Inc.*		40,923		480

Vicor Corp.*		6,224		484

Vishay Precision Group, Inc.*		7,056		179

Vocera Communications, Inc.*		14,947		435

VOXX International Corp.*		1,469		11

				7,458

Health Care Facilities & Services – 3.6%

Acadia Healthcare Co., Inc.*		15,048		444

Addus HomeCare Corp.*		6,002		567

American Renal Associates Holdings, Inc.*		20,174		139

Apollo Medical Holdings, Inc.*		7,812		140

Capital Senior Living Corp.⁽¹⁾^*		526		—

Cellular Biomedicine Group, Inc.*		14,203		261

Covetrus, Inc.*		21,751		531

Cryo-Cell International, Inc.*		750		6

Eidos Therapeutics, Inc.*		1,442		73

Ensign Group (The), Inc.		13,658		779

Enzo Biochem, Inc.*		7,400		16

Evofem Biosciences, Inc.*		2,852		7

Five Star Senior Living, Inc.*		3,367		17

Fulgent Genetics, Inc.*		6,328		253

Global Cord Blood Corp.*		6,447		23

Hanger, Inc.*		7,033		111

HealthEquity, Inc.*		13,769		707

Independence Holding Co.		4,659		176

Invitae Corp.*		20,244		878

Joint (The) Corp.*		10,534		183

LHC Group, Inc.*		6,192		1,316

Magellan Health, Inc.*		6,750		512

MedCath Corp.⁽³⁾^*		7,953		—

Medpace Holdings, Inc.*		6,042		675

National HealthCare Corp.		4,414		275


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Health Care Facilities & Services – 3.6% continued

NeoGenomics, Inc.*		23,102		$852

OPKO Health, Inc.*		95,756		353

Option Care Health, Inc.*		99		1

Owens & Minor, Inc.		11,434		287

Patterson Cos., Inc.		23,617		569

Pennant Group (The), Inc.*		6,632		256

Personalis, Inc.*		7,684		167

Premier, Inc., Class A		12,511		411

Providence Service (The) Corp.*		5,029		467

RadNet, Inc.*		9,430		145

Select Medical Holdings Corp.*		26,172		545

SI-BONE, Inc.*		6,710		159

Surgery Partners, Inc.*		12,998		285

Tenet Healthcare Corp.*		22,062		541

Tivity Health, Inc.*		10,541		148

Triple-S Management Corp., Class B*		10,771		192

U.S. Physical Therapy, Inc.		5,093		442

Vapotherm, Inc.*		3,315		96

				14,005

Home & Office Products – 2.4%

ACCO Brands Corp.		21,348		124

American Woodmark Corp.*		3,709		291

Beazer Homes U.S.A., Inc.*		277		4

Caesarstone Ltd.		6,269		61

Cavco Industries, Inc.*		2,689		485

Century Communities, Inc.*		9,732		412

Cornerstone Building Brands, Inc.*		262		2

Flexsteel Industries, Inc.		4,762		114

Forestar Group, Inc.*		10,884		193

Griffon Corp.		11,009		215

Hamilton Beach Brands Holding Co., Class A		2,945		57

Herman Miller, Inc.		14,360		433

HNI Corp.		6,887		216

Hooker Furniture Corp.		1,687		44

Interface, Inc.		9,790		60

iRobot Corp.*		5,978		454

JELD-WEN Holding, Inc.*		13,707		310

KB Home		21,270		816

Kewaunee Scientific Corp.*		2,542		23

Kimball International, Inc., Class B		3,741		39

Knoll, Inc.		7,651		92

LGI Homes, Inc.*		4,344		505

Lifetime Brands, Inc.		587		5


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Home & Office Products – 2.4% continued

M/I Homes, Inc.*		5,188		$239

Masonite International Corp.*		4,870		479

MDC Holdings, Inc.		11,286		532

Meritage Homes Corp.*		9,789		1,081

Nobility Homes, Inc.		876		20

Patrick Industries, Inc.		4,767		274

PGT Innovations, Inc.*		14,120		247

Skyline Champion Corp.*		10,753		288

Steelcase, Inc., Class A		17,390		176

Taylor Morrison Home Corp.*		25,096		617

TRI Pointe Group, Inc.*		24,124		438

Virco Mfg. Corp.*		1,676		4

				9,350

Industrial Services – 0.7%

Applied Industrial Technologies, Inc.		9,557		527

CAI International, Inc.		4,320		119

EVI Industries, Inc.*		1,671		44

H&E Equipment Services, Inc.		3,388		67

Herc Holdings, Inc.*		5,115		203

SiteOne Landscape Supply, Inc.*		8,243		1,005

Systemax, Inc.		6,897		165

Team, Inc.*		483		3

Textainer Group Holdings Ltd.⁽¹⁾^*		17		—

Titan Machinery, Inc.*		800		10

Triton International Ltd.		13,242		538

VSE Corp.		3,090		95

				2,776

Institutional Financial Services – 0.6%

BGC Partners, Inc., Class A		53,837		129

Cowen, Inc., Class A		291		5

Evercore, Inc., Class A		7,383		483

Houlihan Lokey, Inc.		8,189		484

Moelis & Co., Class A		11,919		419

Piper Sandler Cos.		4,081		298

PJT Partners, Inc., Class A		4,619		280

StoneX Group, Inc.*		4,329		221

				2,319

Insurance – 2.4%

Ambac Financial Group, Inc.*		8,576		109

American Equity Investment Life Holding Co.		22,318		491

AMERISAFE, Inc.		3,589		206

Argo Group International Holdings Ltd.		9,909		341


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Insurance – 2.4% continued

Atlantic American Corp.*		6,901		$14

Citizens, Inc.*		6,295		35

CNO Financial Group, Inc.		43,870		704

Donegal Group, Inc., Class A		1,755		25

eHealth, Inc.*		5,523		436

Employers Holdings, Inc.		9,771		296

Enstar Group Ltd.*		2,075		335

FBL Financial Group, Inc., Class A		2,297		111

GAINSCO, Inc.*		714		72

Genworth Financial, Inc., Class A*		85,416		286

Global Indemnity Group LLC, Class A		1,785		37

Greenlight Capital Re Ltd., Class A*		14,935		100

Horace Mann Educators Corp.		9,817		328

James River Group Holdings Ltd.		5,979		266

Kansas City Life Insurance Co.		1,898		59

Kemper Corp.		823		55

Kinsale Capital Group, Inc.		3,969		755

MBIA, Inc.*		20,174		122

Mercury General Corp.		4,561		189

National General Holdings Corp.		11,037		372

National Western Life Group, Inc., Class A		972		178

Palomar Holdings, Inc.*		3,767		393

Primerica, Inc.		1,404		159

ProAssurance Corp.		6,260		98

Protective Insurance Corp., Class B		4,699		62

Radian Group, Inc.		36,245		529

RLI Corp.		10,332		865

Safety Insurance Group, Inc.		2,608		180

Selective Insurance Group, Inc.		11,560		595

Sirius International Insurance Group Ltd.*		463		5

State Auto Financial Corp.		4,917		68

Third Point Reinsurance Ltd.*		15,817		110

United Fire Group, Inc.		4,746		96

Universal Insurance Holdings, Inc.		5,025		70

White Mountains Insurance Group Ltd.		160		125

				9,277

Iron & Steel – 0.5%

Allegheny Technologies, Inc.*		33,208		290

Carpenter Technology Corp.		11,663		212

Commercial Metals Co.		24,117		482

Northwest Pipe Co.*		13,400		355

Shiloh Industries, Inc.⁽¹⁾^*		2,100		—


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Iron & Steel – 0.5% continued

Synalloy Corp.*		100		$ —

Universal Stainless & Alloy Products, Inc.*		1,504		8

Warrior Met Coal, Inc.		12,407		212

Worthington Industries, Inc.		12,729		519

				2,078

Leisure Products – 0.9%

Acushnet Holdings Corp.		6,780		228

Callaway Golf Co.		17,112		327

Clarus Corp.		5,500		78

Escalade, Inc.		5,294		97

Johnson Outdoors, Inc., Class A		5,630		461

LCI Industries		8,600		914

Malibu Boats, Inc., Class A*		4,068		202

Marine Products Corp.		7,934		124

Vista Outdoor, Inc.*		7,062		142

Winnebago Industries, Inc.		10,993		568

YETI Holdings, Inc.*		7,920		359

				3,500

Machinery – 2.3%

Alamo Group, Inc.		2,390		258

Albany International Corp., Class A		6,564		325

Altra Industrial Motion Corp.		14,628		541

Astec Industries, Inc.		5,862		318

Cactus, Inc., Class A		11,437		219

CIRCOR International, Inc.*		2,506		69

Columbus McKinnon Corp.		9,804		324

CSW Industrials, Inc.		3,245		251

Douglas Dynamics, Inc.		4,619		158

Enerpac Tool Group Corp.		12,742		240

Federal Signal Corp.		16,343		478

Franklin Electric Co., Inc.		9,736		573

Gorman-Rupp (The) Co.		6,696		197

Graham Corp.		2,552		33

Helios Technologies, Inc.		4,065		148

Hillenbrand, Inc.		16,242		461

Hollysys Automation Technologies Ltd.		9,394		104

Hurco Cos., Inc.		1,141		32

Hyster-Yale Materials Handling, Inc.		2,429		90

Ichor Holdings Ltd.*		2,513		54

John Bean Technologies Corp.		7,124		655

Kadant, Inc.		3,047		334

Kennametal, Inc.		18,181		526

Lindsay Corp.		2,500		242


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Machinery – 2.3% continued

MTS Systems Corp.		1,434		$27

Mueller Water Products, Inc., Class A		34,653		360

Pro-Dex, Inc.*		5,424		155

Rexnord Corp.		22,955		685

SPX FLOW, Inc.*		10,277		440

Taylor Devices, Inc.*		1,689		15

Tennant Co.		4,080		246

Terex Corp.		11,559		224

Titan International, Inc.⁽¹⁾		20		—

Twin Disc, Inc.*		356		2

Welbilt, Inc.*		21,522		133

				8,917

Manufactured Goods – 1.2%

AZZ, Inc.		5,042		172

Chart Industries, Inc.*		9,441		663

Conrad Industries, Inc.*		100		1

Eastern (The) Co.		3,604		70

EnPro Industries, Inc.		4,095		231

Gibraltar Industries, Inc.*		8,105		528

Gulf Island Fabrication, Inc.*		5,419		17

Insteel Industries, Inc.		6,218		116

L.B. Foster Co., Class A*		1,609		22

Lawson Products, Inc.*		4,295		176

Mueller Industries, Inc.		12,071		327

Omega Flex, Inc.		2,642		414

Proto Labs, Inc.*		5,787		749

Raven Industries, Inc.		7,580		163

RBC Bearings, Inc.*		5,343		648

Standex International Corp.		4,237		251

Tredegar Corp.		6,625		99

				4,647

Media – 1.6%

AMC Networks, Inc., Class A*		8,097		200

Boingo Wireless, Inc.*		13,507		138

Boston Omaha Corp., Class A⁽¹⁾^*		1		—

Cargurus, Inc.*		16,293		352

Cars.com, Inc.*		6,394		52

Cumulus Media, Inc., Class A*		300		2

Despegar.com Corp.*		7,358		47

EverQuote, Inc., Class A*		4,737		183

EW Scripps (The) Co., Class A		5,125		59

Gannett Co., Inc.		12,387		16

Gray Television, Inc.*		24,153		333


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Media – 1.6% continued

HealthStream, Inc.*		4,861		$97

Houghton Mifflin Harcourt Co.*		1,700		3

IMAX Corp.*		7,071		84

John Wiley & Sons, Inc., Class A		9,799		311

Liberty TripAdvisor Holdings, Inc., Class A*		6,300		11

LiveXLive Media, Inc.*		5,876		15

Magnite, Inc.*		12,354		86

Marchex, Inc., Class B⁽¹⁾^*		179		—

Meredith Corp.		5,720		75

MSG Networks, Inc., Class A*		9,076		87

Nexstar Media Group, Inc., Class A		8,046		723

QuinStreet, Inc.*		17,697		280

Quotient Technology, Inc.*		7,058		52

Saga Communications, Inc., Class A		1,418		28

Scholastic Corp.		7,285		153

Shutterstock, Inc.		1,362		71

Sinclair Broadcast Group, Inc., Class A		11,648		224

Stamps.com, Inc.*		3,260		785

TechTarget, Inc.*		4,457		196

TEGNA, Inc.		42,264		497

Travelzoo*		5,443		35

Tribune Publishing Co.		7,638		89

Tucows, Inc., Class A*		3,048		210

Upwork, Inc.*		19,436		339

Yelp, Inc.*		16,412		330

				6,163

Medical Equipment & Devices – 4.8%

Accuray, Inc.*		1,300		3

Alphatec Holdings, Inc.*		18,967		126

AngioDynamics, Inc.*		11,486		139

Apollo Endosurgery, Inc.*		55,294		93

Apyx Medical Corp.*		4,321		20

AtriCure, Inc.*		11,543		461

Atrion Corp.		267		167

Avanos Medical, Inc.*		12,843		427

Axogen, Inc.*		6,332		74

Axonics Modulation Technologies, Inc.*		8,256		421

Bellerophon Therapeutics, Inc.*		7,985		81

BioLife Solutions, Inc.*		11,042		320

BioSig Technologies, Inc.*		9,643		48

BioTelemetry, Inc.*		10,643		485

Cantel Medical Corp.		8,549		376


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Medical Equipment & Devices – 4.8% continued

Cardiovascular Systems, Inc.*		12,779		$503

CareDx, Inc.*		11,649		442

Castle Biosciences, Inc.*		2,712		140

Celcuity, Inc.*		9,341		54

Cerus Corp.*		50,765		318

Chembio Diagnostics, Inc.*		14,061		68

CONMED Corp.		6,137		483

CryoLife, Inc.*		9,473		175

Cutera, Inc.*		11,249		213

Daxor Corp.*		37		1

Electromed, Inc.*		5,124		53

Establishment Labs Holdings, Inc.*		5,102		95

Fluidigm Corp.*		16,440		122

FONAR Corp.*		9,796		205

GenMark Diagnostics, Inc.*		30,020		426

Harvard Bioscience, Inc.*		17,484		53

ICU Medical, Inc.*		311		57

Inmode Ltd.*		6,780		245

Inogen, Inc.*		2,812		82

Inspire Medical Systems, Inc.*		4,256		549

Integer Holdings Corp.*		8,308		490

Invacare Corp.		14,693		110

iRadimed Corp.*		7,769		166

Lantheus Holdings, Inc.*		15,666		198

LeMaitre Vascular, Inc.		12,911		420

LivaNova PLC*		5,424		245

Luminex Corp.		9,745		256

Meridian Bioscience, Inc.*		14,248		242

Merit Medical Systems, Inc.*		13,432		584

MiMedx Group, Inc.*		17,240		110

Misonix, Inc.*		8,038		94

Myriad Genetics, Inc.*		6,047		79

NanoString Technologies, Inc.*		11,086		496

Natera, Inc.*		4,276		309

Natus Medical, Inc.*		7,084		121

Neogen Corp.*		11,767		921

Nevro Corp.*		5,960		830

NuVasive, Inc.*		9,596		466

OraSure Technologies, Inc.*		18,318		223

OrthoPediatrics Corp.*		3,212		147

Oxford Immunotec Global PLC*		7,441		87

Pacific Biosciences of California, Inc.*		19,787		195

Pulse Biosciences, Inc.*		17,981		212

Quanterix Corp.*		7,638		258


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Medical Equipment & Devices – 4.8% continued

Retractable Technologies, Inc.*		17,326		$115

SeaSpine Holdings Corp.*		17,378		248

Semler Scientific, Inc.*		4,012		214

Sientra, Inc.⁽¹⁾*		113		—

SmileDirectClub, Inc.*		21,601		252

Soliton, Inc.*		5,723		44

STAAR Surgical Co.*		9,860		558

Surgalign Holdings, Inc.*		4,038		7

Surmodics, Inc.*		5,516		215

Tactile Systems Technology, Inc.*		2,023		74

Utah Medical Products, Inc.		3,351		268

Varex Imaging Corp.*		6,152		78

Veracyte, Inc.*		11,067		360

Vericel Corp.*		9,825		182

Wright Medical Group N.V.*		24,372		744

Zynex, Inc.*		11,697		204

				18,347

Metals & Mining – 0.7%

Alcoa Corp.*		37,967		442

A-Mark Precious Metals, Inc.		5,183		175

Coeur Mining, Inc.*		49,148		363

Compass Minerals International, Inc.		9,016		535

Constellium S.E.*		28,164		221

Covia Holdings Corp.⁽¹⁾^*		1,100		—

Encore Wire Corp.		4,161		193

Ferroglobe Representation & Warranty Insurance Trust⁽³⁾^*		9,916		—

Gold Resource Corp.		8,218		28

Hecla Mining Co.		54,894		279

Kaiser Aluminum Corp.		3,655		196

Livent Corp.*		29,681		266

McEwen Mining, Inc.*		24,100		25

Uranium Energy Corp.*		4,700		5

				2,728

Oil, Gas & Coal – 1.5%

Adams Resources & Energy, Inc.		4,823		96

Advanced Emissions Solutions, Inc.		838		3

Antero Resources Corp.*		31,790		87

Bonanza Creek Energy, Inc.*		2,313		44

California Resources Corp.⁽¹⁾^*		400		—

Callon Petroleum Co.*		4,630		22

ChampionX Corp.*		11,021		88

Chesapeake Energy Corp.⁽¹⁾^*		100		—

Cimarex Energy Co.		1,000		24


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Oil, Gas & Coal – 1.5% continued

CNX Resources Corp.*		27,737		$262

Comstock Resources, Inc.*		9,378		41

CONSOL Energy, Inc.*		5,501		24

Contango Oil & Gas Co.*		11,200		15

Cosan Ltd., Class A		40,469		601

Dawson Geophysical Co.*		16,700		29

Delek U.S. Holdings, Inc.		11,628		129

DMC Global, Inc.		2,241		74

Dril-Quip, Inc.*		6,644		165

Earthstone Energy, Inc., Class A*		1,500		4

Equitrans Midstream Corp.		35,858		303

Exterran Corp.*		8,874		37

Geospace Technologies Corp.*		9,242		57

Goodrich Petroleum Corp.*		1,100		9

Gulfport Energy Corp.*		4,600		3

Hallador Energy Co.		12,596		8

Helix Energy Solutions Group, Inc.*		38,775		94

Helmerich & Payne, Inc.		18,381		269

HighPoint Resources Corp.*		11,000		3

Laredo Petroleum, Inc.*		717		7

Matrix Service Co.*		3,627		30

Murphy Oil Corp.		25,462		227

Murphy U.S.A., Inc.*		5,717		733

Nabors Industries Ltd.		1,888		46

NACCO Industries, Inc., Class A		2,826		52

Natural Gas Services Group, Inc.*		6,630		56

NexTier Oilfield Solutions, Inc.*		21,655		40

Northern Oil and Gas, Inc.*		3,730		21

NOW, Inc.*		11,220		51

Ovintiv, Inc.		45,651		373

Par Pacific Holdings, Inc.*		304		2

Parsley Energy, Inc., Class A		3,385		32

Patterson-UTI Energy, Inc.		42,276		121

PBF Energy, Inc., Class A		16,874		96

PDC Energy, Inc.*		14,475		179

Peabody Energy Corp.		5,697		13

PrimeEnergy Resources Corp.*		1,583		105

ProPetro Holding Corp.*		5,400		22

Range Resources Corp.		37,365		247

Riviera Resources, Inc.		6,246		11

RPC, Inc.*		8,100		21

SM Energy Co.		3,700		6

Solaris Oilfield Infrastructure, Inc., Class A		7,243		46


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Oil, Gas & Coal – 1.5% continued

Southwestern Energy Co.*		110,850		$261

TETRA Technologies, Inc.*		12,300		6

Thermon Group Holdings, Inc.*		3,372		38

Torchlight Energy Resources, Inc.*		2,700		1

Transocean Ltd.*		101,939		82

U.S. Silica Holdings, Inc.		400		1

Ultra Petroleum Corp.⁽³⁾^*		20,300		—

VAALCO Energy, Inc.*		15,700		16

Voc Energy Trust		2,500		4

World Fuel Services Corp.		12,831		272

				5,709

Passenger Transportation – 0.3%

Allegiant Travel Co.		3,268		391

Bristow Group, Inc.*		2,304		49

Copa Holdings S.A., Class A		6,629		334

Hawaiian Holdings, Inc.		1,583		20

SkyWest, Inc.		11,911		356

Universal Logistics Holdings, Inc.		4,517		94

				1,244

Real Estate – 0.5%

American Realty Investors, Inc.*		1,772		16

CTO Realty Growth, Inc.		3,251		143

Cushman & Wakefield PLC*		21,803		229

FRP Holdings, Inc.*		1,150		48

Griffin Industrial Realty, Inc.		3,609		193

McGrath RentCorp		6,332		377

Newmark Group, Inc., Class A		300		1

RE/MAX Holdings, Inc., Class A		6,159		202

Realogy Holdings Corp.*		12,857		122

Redfin Corp.*		13,600		679

RMR Group (The), Inc., Class A		81		2

Stratus Properties, Inc.*		114		3

				2,015

Real Estate Investment Trusts – 6.0%

Agree Realty Corp.		10,613		675

Alexander & Baldwin, Inc.		5,270		59

Alexander’s, Inc.		686		168

American Assets Trust, Inc.		8,982		216

American Finance Trust, Inc.		20,166		126

Anworth Mortgage Asset Corp.		18,506		30

Apple Hospitality REIT, Inc.		42,035		404

Arbor Realty Trust, Inc.		26,402		303


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Real Estate Investment Trusts – 6.0% continued

Arlington Asset Investment Corp., Class A⁽¹⁾		10		$ —

Armada Hoffler Properties, Inc.		5,470		51

ARMOUR Residential REIT, Inc.		7,592		72

Blackstone Mortgage Trust, Inc., Class A		13,680		301

Bluerock Residential Growth REIT, Inc.		9,167		69

Braemar Hotels & Resorts, Inc.		4,900		12

Brookfield Property REIT, Inc., Class A		15,984		196

BRT Apartments Corp.		15,639		184

Capstead Mortgage Corp.		27,285		153

CareTrust REIT, Inc.		18,889		336

CatchMark Timber Trust, Inc., Class A		15,074		135

Chimera Investment Corp.		35,557		292

CIM Commercial Trust Corp.		934		9

City Office REIT, Inc.		14,526		109

Colony Capital, Inc.		78,094		213

Community Healthcare Trust, Inc.		4,519		211

CoreCivic, Inc.		22,866		183

CorEnergy Infrastructure Trust, Inc.		1,462		9

CorePoint Lodging, Inc.		12,463		68

Dynex Capital, Inc.		6,553		100

Easterly Government Properties, Inc.		14,120		316

EastGroup Properties, Inc.		8,106		1,048

Ellington Residential Mortgage REIT		540		6

Essential Properties Realty Trust, Inc.		16,849		309

Exantas Capital Corp.		410		1

Four Corners Property Trust, Inc.		15,711		402

Franklin Street Properties Corp.		16,282		60

Front Yard Residential Corp.		10,026		88

GEO Group (The), Inc.		26,323		299

Getty Realty Corp.		13,670		356

Gladstone Commercial Corp.		7,329		124

Gladstone Land Corp.		15,818		238

Global Medical REIT, Inc.		9,922		134

Global Net Lease, Inc.		19,638		312

Hannon Armstrong Sustainable Infrastructure Capital, Inc.		14,043		594

Healthcare Realty Trust, Inc.		28,620		862

Independence Realty Trust, Inc.		17,342		201

Industrial Logistics Properties Trust		11,179		244

Innovative Industrial Properties, Inc.		3,384		420

Invesco Mortgage Capital, Inc.		2,185		6

Investors Real Estate Trust		2,037		133


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Real Estate Investment Trusts – 6.0% continued

iStar, Inc.		18,767		$222

Jernigan Capital, Inc.		9,038		155

Kite Realty Group Trust		16,166		187

Ladder Capital Corp.		10,691		76

Lexington Realty Trust		45,508		476

LTC Properties, Inc.		8,378		292

Macerich (The) Co.		28,325		192

Mack-Cali Realty Corp.		15,029		190

Monmouth Real Estate Investment Corp.		19,704		273

National Health Investors, Inc.		8,413		507

National Storage Affiliates Trust		11,300		370

New Senior Investment Group, Inc.		2,823		11

New York Mortgage Trust, Inc.		46,822		119

NexPoint Residential Trust, Inc.		3,956		175

One Liberty Properties, Inc.		6,466		106

Outfront Media, Inc.		28,777		419

Pebblebrook Hotel Trust		25,732		322

Pennsylvania Real Estate Investment Trust⁽¹⁾		371		—

Physicians Realty Trust		37,846		678

Piedmont Office Realty Trust, Inc., Class A		23,981		325

Plymouth Industrial REIT, Inc.		5,953		73

PotlatchDeltic Corp.		13,026		548

Preferred Apartment Communities, Inc., Class A		600		3

PS Business Parks, Inc.		4,074		499

QTS Realty Trust, Inc., Class A		11,229		708

Ready Capital Corp.		1,512		17

Retail Opportunity Investments Corp.		22,123		230

Retail Value, Inc.		3,035		38

RLJ Lodging Trust		22,498		195

RPT Realty		293		2

Ryman Hospitality Properties, Inc.		9,576		352

Sabra Health Care REIT, Inc.		40,920		564

Safehold, Inc.		3,465		215

Saul Centers, Inc.		2,417		64

Service Properties Trust		32,694		260

Sotherly Hotels, Inc.		2,334		4

STAG Industrial, Inc.		29,935		913

Sunstone Hotel Investors, Inc.		45,405		361

Terreno Realty Corp.		13,784		755

Transcontinental Realty Investors, Inc.*		405		10

Two Harbors Investment Corp.		17,000		87


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Real Estate Investment Trusts – 6.0% continued

UMH Properties, Inc.		8,589		$116

Uniti Group, Inc.		39,298		414

Urstadt Biddle Properties, Inc., Class A		9,130		84

Washington Real Estate Investment Trust		14,982		302

Weingarten Realty Investors		24,257		411

Western Asset Mortgage Capital Corp.		1,107		2

Whitestone REIT		10,902		65

				23,224

Recreational Facilities & Services – 0.2%

AMC Entertainment Holdings, Inc., Class A		14,983		70

Bowl America, Inc., Class A		492		5

Cinemark Holdings, Inc.		20,189		202

Drive Shack, Inc.*		8,763		10

Marcus (The) Corp.		2,392		18

RCI Hospitality Holdings, Inc.		12,441		254

Reading International, Inc., Class A*		4,319		14

Town Sports International Holdings, Inc.^(1)*		2,621		—

				573

Renewable Energy – 0.7%

Canadian Solar, Inc.*		10,026		352

EnerSys		10,946		735

FutureFuel Corp.		7,167		81

Green Plains, Inc.*		13,340		206

Pacific Ethanol, Inc.*		10,100		74

Plug Power, Inc.*		25,715		345

Renewable Energy Group, Inc.*		9,969		533

REX American Resources Corp.*		5,230		343

Ultralife Corp.*		846		5

				2,674

Retail - Consumer Staples – 0.8%

Big Lots, Inc.		9,088		405

BJ’s Wholesale Club Holdings, Inc.*		21,780		905

Five Below, Inc.*		292		37

Ingles Markets, Inc., Class A		5,861		223

PriceSmart, Inc.		4,389		292

Rite Aid Corp.*		8,702		83

SpartanNash Co.		7,367		120

Sprouts Farmers Market, Inc.*		25,764		539

Village Super Market, Inc., Class A		1,495		37

Weis Markets, Inc.		4,952		238

				2,879


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Retail - Discretionary – 3.8%

1-800-Flowers.com, Inc., Class A*		8,910		$222

Abercrombie & Fitch Co., Class A		1,861		26

American Eagle Outfitters, Inc.		33,193		492

America’s Car-Mart, Inc.*		2,145		182

Asbury Automotive Group, Inc.*		7,705		751

Aspen Aerogels, Inc.*		4,100		45

Avis Budget Group, Inc.*		12,056		317

Beacon Roofing Supply, Inc.*		14,342		446

Bed Bath & Beyond, Inc.		21,487		322

BlueLinx Holdings, Inc.*		700		15

BMC Stock Holdings, Inc.*		13,662		585

Boot Barn Holdings, Inc.*		4,351		122

Buckle (The), Inc.		6,066		124

Builders FirstSource, Inc.*		23,138		755

Cato (The) Corp., Class A		1,700		13

Chico’s FAS, Inc.		8,100		8

Children’s Place (The), Inc.		1,269		36

Citi Trends, Inc.		3,770		94

Conn’s, Inc.*		2,468		26

Designer Brands, Inc., Class A		7,251		39

Ethan Allen Interiors, Inc.		4,504		61

Express, Inc.*		4,300		3

Foundation Building Materials, Inc.*		6,108		96

Freshpet, Inc.*		7,550		843

Gaia, Inc.*		18,993		187

GameStop Corp., Class A*		10,537		107

Genesco, Inc.*		3,475		75

GMS, Inc.*		8,763		211

Group 1 Automotive, Inc.		3,981		352

Guess?, Inc.		9,451		110

Haverty Furniture Cos., Inc.		4,637		97

Hibbett Sports, Inc.*		2,984		117

La-Z-Boy, Inc.		10,046		318

Liquidity Services, Inc.*		5,320		40

Lithia Motors, Inc., Class A		4,723		1,077

Lumber Liquidators Holdings, Inc.*		8,218		181

Macy’s, Inc.		61,923		353

Monro, Inc.		6,996		284

National Vision Holdings, Inc.*		13,103		501

ODP (The) Corp.		6,775		132

Overstock.com, Inc.*		4,821		350

PetIQ, Inc.*		7,262		239

PetMed Express, Inc.		9,779		309

RH*		3,303		1,264


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Retail - Discretionary – 3.8% continued

RTW Retailwinds, Inc.⁽¹⁾^*		54		$ —

Rush Enterprises, Inc., Class A		10,939		553

Sally Beauty Holdings, Inc.*		25,083		218

Shoe Carnival, Inc.		5,730		192

Signet Jewelers Ltd.		7,154		134

Sleep Number Corp.*		10,345		506

Sonic Automotive, Inc., Class A		10,117		406

Stitch Fix, Inc., Class A*		11,330		307

Vera Bradley, Inc.*		5,750		35

Winmark Corp.		1,331		229

Zumiez, Inc.*		7,313		203

				14,710

Semiconductors – 3.2%

ACM Research, Inc., Class A*		3,767		260

Alpha & Omega Semiconductor Ltd.*		5,605		72

Ambarella, Inc.*		6,260		327

Amkor Technology, Inc.*		21,960		246

Axcelis Technologies, Inc.*		11,708		258

Brooks Automation, Inc.		14,717		681

CEVA, Inc.*		4,919		194

Cirrus Logic, Inc.*		14,778		997

Coherent, Inc.*		4,136		459

Cohu, Inc.		5,101		88

CTS Corp.		6,987		154

Diodes, Inc.*		11,269		636

DSP Group, Inc.*		2,504		33

Entegris, Inc.		2,791		207

FormFactor, Inc.*		14,643		365

II-VI, Inc.*		9,900		401

Impinj, Inc.*		4,254		112

Kulicke & Soffa Industries, Inc.		20,461		458

Lattice Semiconductor Corp.*		31,836		922

MACOM Technology Solutions Holdings, Inc.*		10,286		350

MagnaChip Semiconductor Corp.*		1,800		25

MaxLinear, Inc.*		12,973		301

Nova Measuring Instruments Ltd.*		3,143		164

NVE Corp.		2,041		100

Onto Innovation, Inc.*		13,555		404

Photronics, Inc.*		10,954		109

Power Integrations, Inc.		14,016		776

Rambus, Inc.*		20,527		281

Semtech Corp.*		15,577		825

Silicon Laboratories, Inc.*		8,408		823


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Semiconductors – 3.2% continued

Synaptics, Inc.*		7,364		$592

Ultra Clean Holdings, Inc.*		13,051		280

Veeco Instruments, Inc.*		10,199		119

Vishay Intertechnology, Inc.		22,014		343

				12,362

Software – 6.5%

ACI Worldwide, Inc.*		27,852		728

Actua Corp.⁽³⁾^*		8,828		—

Agilysys, Inc.*		8,597		208

Altair Engineering, Inc., Class A*		7,600		319

American Software, Inc., Class A		14,207		200

Appfolio, Inc., Class A*		3,560		505

Appian Corp.*		6,269		406

Arco Platform Ltd., Class A*		10,236		418

Avaya Holdings Corp.*		22,773		346

Avid Technology, Inc.*		137		1

Bandwidth, Inc., Class A*		3,303		577

Benefitfocus, Inc.*		5,124		57

Blackbaud, Inc.		9,881		552

Blackline, Inc.*		9,876		885

Bottomline Technologies DE, Inc.*		9,781		412

Box, Inc., Class A*		25,775		448

Brightcove, Inc.*		9,410		96

Calix, Inc.*		6,866		122

Cardlytics, Inc.*		4,925		348

Castlight Health, Inc., Class B*		32,200		36

ChannelAdvisor Corp.*		1,965		28

Cloudera, Inc.*		48,546		529

CommVault Systems, Inc.*		7,713		315

Computer Programs and Systems, Inc.		9,368		259

Cornerstone OnDemand, Inc.*		10,902		396

Daily Journal Corp.*		337		82

Digi International, Inc.*		9,145		143

Digital Turbine, Inc.*		15,000		491

Domo, Inc., Class B*		5,414		208

Donnelley Financial Solutions, Inc.⁽¹⁾^*		1		—

Ebix, Inc.		6,980		144

eGain Corp.*		2,900		41

Envestnet, Inc.*		8,699		671

Evolent Health, Inc., Class A*		20,397		253

Glu Mobile, Inc.*		24,408		187

HubSpot, Inc.*		850		248

Immersion Corp.*		7,975		56

InnerWorkings, Inc.⁽¹⁾^*		73		—


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Software – 6.5% continued

Inovalon Holdings, Inc., Class A*		14,043		$371

J2 Global, Inc.*		11,303		782

LivePerson, Inc.*		13,525		703

MicroStrategy, Inc., Class A*		1,489		224

Mimecast Ltd.*		11,408		535

Model N, Inc.*		7,476		264

MTBC, Inc.*		13,710		122

NextGen Healthcare, Inc.*		11,631		148

Omnicell, Inc.*		10,073		752

OneSpan, Inc.*		12,648		265

Ontrak, Inc.*		6,248		375

Park City Group, Inc.⁽¹⁾^*		33		—

PDF Solutions, Inc.*		15,448		289

Phreesia, Inc.*		2,513		81

Progress Software Corp.		9,007		330

Q2 Holdings, Inc.*		9,724		887

QAD, Inc., Class B		717		24

Qualys, Inc.*		7,867		771

Rapid7, Inc.*		7,976		489

Rosetta Stone, Inc.*		9,241		277

Sailpoint Technologies Holdings, Inc.*		15,028		595

Sapiens International Corp. N.V.		10,236		313

Sciplay Corp., Class A*		23,956		389

SecureWorks Corp., Class A*		5,801		66

Simulations Plus, Inc.		9,438		711

SPS Commerce, Inc.*		9,009		702

SVMK, Inc.*		23,445		518

Synchronoss Technologies, Inc.*		1,500		5

Tabula Rasa HealthCare, Inc.*		4,219		172

Tenable Holdings, Inc.*		12,500		472

Teradata Corp.*		21,696		493

TransAct Technologies, Inc.		376		2

Upland Software, Inc.*		2,646		100

Varonis Systems, Inc.*		5,789		668

Verint Systems, Inc.*		12,751		614

Verra Mobility Corp.*		26,366		255

VirnetX Holding Corp.		398		2

Workiva, Inc.*		6,943		387

Xperi Holding Corp.		11,954		137

Zovio, Inc.⁽¹⁾^*		16		—

				25,005

Specialty Finance – 2.1%

Alliance Data Systems Corp.		9,341		392

Cardtronics PLC, Class A*		7,571		150


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Specialty Finance – 2.1% continued

Cass Information Systems, Inc.		3,132		$126

Curo Group Holdings Corp.		193		1

Encore Capital Group, Inc.*		7,190		277

Enova International, Inc.*		5,154		84

Essent Group Ltd.		20,754		768

Evo Payments, Inc., Class A*		7,943		197

EZCORP, Inc., Class A*		2,900		15

Federal Agricultural Mortgage Corp., Class C		1,345		86

Fidelity National Financial, Inc.		1,734		54

FirstCash, Inc.		10,057		575

GATX Corp.		7,071		451

Green Dot Corp., Class A*		11,809		598

I3 Verticals, Inc., Class A*		4,136		104

Investors Title Co.		1,861		242

LendingClub Corp.*		9,539		45

LendingTree, Inc.*		247		76

MGIC Investment Corp.		62,464		553

Mr Cooper Group, Inc.*		7,927		177

Navient Corp.		35,406		299

Nelnet, Inc., Class A		7,149		431

Ocwen Financial Corp.*		25		1

PennyMac Financial Services, Inc.		6,995		407

PRA Group, Inc.*		10,712		428

Regional Management Corp.*		300		5

Repay Holdings Corp.*		8,883		209

Stewart Information Services Corp.		3,230		141

Walker & Dunlop, Inc.		8,351		443

Willis Lease Finance Corp.*		1,778		33

World Acceptance Corp.*		6,851		723

				8,091

Technology Services – 1.8%

CACI International, Inc., Class A*		423		90

Computer Services, Inc.		4,115		255

comScore, Inc.*		11,803		24

CoreLogic, Inc.		3,572		242

CSG Systems International, Inc.		7,858		322

EVERTEC, Inc.		11,883		412

ExlService Holdings, Inc.*		7,538		497

ICF International, Inc.		5,779		356

Insight Enterprises, Inc.*		11,174		632

ManTech International Corp., Class A		6,150		424

MAXIMUS, Inc.		18,429		1,261

NIC, Inc.		14,693		289


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Technology Services – 1.8% continued

Parsons Corp.*		2,411		$81

Perficient, Inc.*		8,279		354

Perspecta, Inc.		28,757		559

StarTek, Inc.*		835		4

Sykes Enterprises, Inc.*		14,221		487

TTEC Holdings, Inc.		4,350		237

Unisys Corp.*		4,641		50

Virtusa Corp.*		4,589		226

				6,802

Telecom – 0.8%

ATN International, Inc.		2,935		147

Cincinnati Bell, Inc.*		7,638		115

Cogent Communications Holdings, Inc.		8,080		485

Consolidated Communications Holdings, Inc.*		12,277		70

GTT Communications, Inc.*		16,337		84

Iridium Communications, Inc.*		22,227		568

KVH Industries, Inc.*		6,277		56

LICT Corp.*		6		103

Loral Space & Communications, Inc.		664		12

Otelco, Inc., Class A*		3,996		46

Shenandoah Telecommunications Co.		10,009		445

Spok Holdings, Inc.		13,551		129

Switch, Inc., Class A		6,445		101

Telephone and Data Systems, Inc.		19,100		352

Vonage Holdings Corp.*		44,164		452

Zix Corp.*		3,437		20

				3,185

Transportation & Logistics – 1.6%

Air T, Inc.*		765		7

Air Transport Services Group, Inc.*		14,180		355

ArcBest Corp.		5,468		170

Ardmore Shipping Corp.		23,904		85

Atlas Air Worldwide Holdings, Inc.*		4,640		283

Atlas Corp.		45,809		409

Covenant Logistics Group, Inc.*		6,575		115

CryoPort, Inc.*		13,111		621

DHT Holdings, Inc.		36,497		188

Dorian LPG Ltd.*		1,355		11

Forward Air Corp.		7,245		416

Frontline Ltd.		30,092		196

Golar LNG Ltd.*		9,720		59

Heartland Express, Inc.		15,462		288

Hornbeck Offshore Services, Inc.⁽³⁾^*		10,400		—


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Transportation & Logistics – 1.6% continued

International Seaways, Inc.		10,375		$152

Marten Transport Ltd.		17,184		280

Matson, Inc.		10,673		428

Navigator Holdings Ltd.*		15,986		134

Navios Maritime Acquisition Corp.		600		2

Nordic American Tankers Ltd.		14,210		50

Overseas Shipholding Group, Inc., Class A*		8,500		18

P.A.M. Transportation Services, Inc.*		1,329		50

Patriot Transportation Holding, Inc.		465		4

Saia, Inc.*		6,576		829

Scorpio Tankers, Inc.		13,037		144

SEACOR Holdings, Inc.*		3,613		105

SFL Corp. Ltd.		21,321		160

Star Bulk Carriers Corp.		14,016		97

Teekay Corp.*		6,900		15

Teekay Tankers Ltd., Class A*		1,000		11

USA Truck, Inc.*		500		5

Werner Enterprises, Inc.		9,760		410

				6,097

Transportation Equipment – 0.4%

Greenbrier (The) Cos., Inc.		5,241		154

Meritor, Inc.*		17,465		366

Navistar International Corp.*		9,072		395

Shyft Group (The), Inc.		6,678		126

Trinity Industries, Inc.		19,479		380

Wabash National Corp.		6,866		82

				1,503

Utilities – 3.4%

ALLETE, Inc.		12,847		665

American States Water Co.		9,611		720

Artesian Resources Corp., Class A		4,427		153

Avista Corp.		14,348		490

Black Hills Corp.		13,276		710

Brookfield Renewable Corp., Class A		7,386		433

California Water Service Group		11,093		482

Chesapeake Utilities Corp.		4,541		383

Clearway Energy, Inc., Class A		1,149		28

Clearway Energy, Inc., Class C		18,028		486

Consolidated Water Co. Ltd.		13,701		143

MGE Energy, Inc.		8,978		563

Middlesex Water Co.		9,213		573

New Jersey Resources Corp.		21,224		573

Northwest Natural Holding Co.		8,139		369


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.8% continued

Utilities – 3.4% continued

NorthWestern Corp.		12,070		$587

ONE Gas, Inc.		12,214		843

Ormat Technologies, Inc.		9,623		569

Otter Tail Corp.		10,911		395

PNM Resources, Inc.		20,020		827

Portland General Electric Co.		21,043		747

RGC Resources, Inc.		936		22

SJW Group		6,691		407

South Jersey Industries, Inc.		20,924		403

Southwest Gas Holdings, Inc.		12,318		777

Spire, Inc.		12,028		640

Unitil Corp.		3,712		143

York Water (The) Co.		3,678		155

				13,286

Waste & Environment Services & Equipment – 0.8%

Advanced Disposal Services, Inc.*		7,759		235

Casella Waste Systems, Inc., Class A*		9,090		508

CECO Environmental Corp.*		206		2

Covanta Holding Corp.		2,623		20

ESCO Technologies, Inc.		6,647		535

Evoqua Water Technologies Corp.*		15,198		322

Heritage-Crystal Clean, Inc.*		508		7

Tetra Tech, Inc.		13,982		1,335

				2,964
Total Common Stocks
(Cost $280,216)				381,726



PREFERRED STOCKS – 0.0%

Manufactured Goods – 0.0%

Steel Partners Holdings L.P., 6.00%		2,675		51
Total Preferred Stocks
(Cost $67)				51



RIGHTS – 0.1%

Biotechnology & Pharmaceuticals – 0.1%

Achillion Pharmaceuticals, Inc. (Contingent Value Rights)⁽²⁾^*		23,500		13

Alder Biopharmaceuticals, Inc. (Contingent Value Rights)*		8,800		8

Dova Pharmaceuticals, Inc. (Contingent Value Rights)*		4,020		2

Progenics Pharmaceuticals, Inc. (Contingent Value Rights)⁽³⁾^*		10,111		—

Sinovac Biotech Ltd.⁽³⁾^*		1,587		—


	NUMBER OF SHARES		VALUE (000S)

RIGHTS - 0.1% continued

Biotechnology & Pharmaceuticals – 0.1% continued

Stemline Therapeutics, Inc. (Contingent Value Rights)⁽²⁾^*		17,190		$6

Tobira Therapeutics, Inc. (Contingent Value Rights)⁽²⁾^*		16,926		129

				158

Media – 0.0%

Media General, Inc. (Contingent Value Rights) ^(2)*		11,792		1

Medical Equipment & Devices – 0.0%

American Medical Alert Corp.⁽³⁾^*		13,109		—

Specialty Finance – 0.0%

NewStar Financial, Inc. (Contingent Value Rights)⁽³⁾^*		1,580		—
Total Rights
(Cost $147)				159



OTHER – 0.0%

Escrow Adolor Corp.⁽³⁾^*		1,241		—

Escrow Calamos Asset Management, Inc.^(3)*		2,074		—
Total Other
(Cost $—)				—


	NUMBER OF WARRANTS		VALUE (000S)

WARRANTS – 0.0%

Air T Funding, Exp. 12/31/49, Strike $100.00^(1)*		2,121		$ —

Tidewater, Inc., Class A Exp. 7/31/23, Strike $0.00⁽¹⁾^*		10		—

Tidewater, Inc., Class B Exp. 7/31/23, Strike $0.00⁽¹⁾^*		11		—
Total Warrants
(Cost $—)				—


	NUMBER OF SHARES		VALUE (000S)

INVESTMENT COMPANIES – 1.4%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽⁴⁾⁽⁵⁾		5,351,934		$5,352
Total Investment Companies
(Cost $5,352)				5,352


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

SHORT - TERM INVESTMENTS –0.1%

U.S. Treasury Bill, 0.11%, 1/28/21⁽⁶⁾⁽⁷⁾		$437		$437
Total Short-Term Investments
(Cost $437)				437


Total Investments – 100.4%
(Cost $286,219)				387,725

Liabilities less Other Assets – (0.4%)				(1,376	)
NET ASSETS – 100.0%				$386,349

⁽¹⁾

Value rounds to less than one thousand.

⁽²⁾

Level 3 asset.

⁽³⁾

Level 3 asset that is worthless, bankrupt or has been delisted.

⁽⁴⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽⁵⁾

7-day current yield as of September 30, 2020 is disclosed.

⁽⁶⁾

Discount rate at the time of purchase.

⁽⁷⁾

Security pledged as collateral to cover margin requirements for open futures contracts.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

PLC - Public Limited Company

REIT - Real Estate Investment Trust

Percentages shown are based on Net Assets.

At September 30, 2020, the Fund had open futures contracts as follows:


TYPE	NUMBER OF CONTRACTS	NOTIONAL AMOUNT (000S)	CONTRACT POSITION	CONTRACT EXP.	VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) (000S)⁽¹⁾

E-Mini Russell 2000 Index	56	$4,212	Long	12/20	$(20)

⁽¹⁾

Includes cumulative appreciation/depreciation on futures contracts. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF LONG-TERM INVESTMENTS

Communication Services		2.5	%

Consumer Discretionary		13.5

Consumer Staples		3.9

Energy		2.0

Financials		13.7

Health Care		21.0

Industrials		15.4

Information Technology		14.3

Materials		4.1

Real Estate		6.1

Utilities		3.5
Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)			LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

Common Stocks:

Aerospace & Defense		$ 3,231			$27		$ —		$ 3,258

Banking		27,901			59		—		27,960

Biotechnology & Pharmaceuticals		40,190			—		5		40,195

Hardware		7,456			2		—		7,458

Health Care Facilities & Services		13,999			6		—		14,005

All Other Industries⁽¹⁾		288,850			—		—		288,850

Total Common Stocks		381,627			94		5		381,726

Preferred Stocks		51			—		—		51

Rights:

Biotechnology & Pharmaceuticals		—			10		148		158

Media		—			—		1		1

Total Rights		—			10		149		159

Warrants		—	*		—		—		—	*


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.4%

Aerospace & Defense – 1.3%

AAR Corp.		392,898		$7,386

Barnes Group, Inc.		135,314		4,836

Kaman Corp.		123,934		4,830

Moog, Inc., Class A		184,527		11,723

				28,775

Apparel & Textile Products – 0.2%

Lakeland Industries, Inc.*		13,489		267

Movado Group, Inc.		115,504		1,148

Oxford Industries, Inc.		28,823		1,164

Rocky Brands, Inc.		12,372		307

Superior Group of Cos., Inc.		25,913		602

				3,488

Asset Management – 0.8%

Blucora, Inc.*		18,714		176

Boston Private Financial Holdings, Inc.		265,149		1,464

Kennedy-Wilson Holdings, Inc.		186,183		2,703

Stifel Financial Corp.		210,775		10,657

Waddell & Reed Financial, Inc., Class A		152,296		2,262

				17,262

Automotive – 1.5%

American Axle & Manufacturing Holdings, Inc.*		521,684		3,010

Cooper Tire & Rubber Co.		401,798		12,737

Cooper-Standard Holdings, Inc.*		41,543		549

Dana, Inc.		461,102		5,681

Methode Electronics, Inc.		62,758		1,788

Miller Industries, Inc.		19,297		590

Modine Manufacturing Co.*		176,135		1,101

Standard Motor Products, Inc.		154,665		6,906

Superior Industries International, Inc.*		2,430		3

Visteon Corp.*		4,303		298

				32,663

Banking – 16.2%

1st Source Corp.		18,308		565

Alerus Financial Corp.		28,943		567

Amalgamated Bank, Class A		53,758		569

Arrow Financial Corp.		15,891		399

Atlantic Union Bankshares Corp.		158,573		3,389

Axos Financial, Inc.*		191,185		4,457

BancFirst Corp.		117,072		4,781

BancorpSouth Bank		681,537		13,208

Bank of NT Butterfield & Son (The) Ltd.		56,470		1,258

BankFinancial Corp.		111,364		804


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.4% continued

Banking – 16.2% continued

Banner Corp.		67,855		$2,189

Berkshire Hills Bancorp, Inc.		109,618		1,108

Bridge Bancorp, Inc.		33,388		582

Brookline Bancorp, Inc.		216,868		1,875

Capitol Federal Financial, Inc.		55,387		513

Cathay General Bancorp		220,071		4,771

Central Pacific Financial Corp.		85,030		1,154

City Holding Co.		124,563		7,176

Civista Bancshares, Inc.		27,138		340

CNB Financial Corp.		69,833		1,038

Columbia Banking System, Inc.		206,080		4,915

Community Bank System, Inc.		184,014		10,021

Community Trust Bancorp, Inc.		160,666		4,540

ConnectOne Bancorp, Inc.		67,115		944

CVB Financial Corp.		469,306		7,805

Dime Community Bancshares, Inc.		424,641		4,803

Eagle Bancorp, Inc.		91,932		2,463

Enterprise Financial Services Corp.		101,836		2,777

ESSA Bancorp, Inc.		18,771		231

Financial Institutions, Inc.		73,117		1,126

First Bancorp		89,816		1,880

First BanCorp (New York Exchange)		913,604		4,769

First Bancshares (The), Inc.		36,207		759

First Busey Corp.		24,591		391

First Business Financial Services, Inc.		33,526		479

First Commonwealth Financial Corp.		315,139		2,439

First Community Bankshares, Inc.		29,950		541

First Financial Bancorp		291,701		3,502

First Financial Corp.		117,905		3,702

First Guaranty Bancshares, Inc.		16,483		200

First Horizon National Corp.		1,033,806		9,749

First Interstate BancSystem, Inc., Class A		52,841		1,683

First Merchants Corp.		266,248		6,166

First Mid Bancshares, Inc.		28,260		705

First Midwest Bancorp, Inc.		466,354		5,027

First of Long Island (The) Corp.		40,348		598

Flushing Financial Corp.		377,752		3,974

Fulton Financial Corp.		764,406		7,132

German American Bancorp, Inc.		64,307		1,745

Glacier Bancorp, Inc.		66,498		2,131

Great Southern Bancorp, Inc.		43,155		1,563

Great Western Bancorp, Inc.		170,995		2,129

Hancock Whitney Corp.		341,094		6,416

Heartland Financial U.S.A., Inc.		136,341		4,090


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.4% continued

Banking – 16.2% continued

Heritage Financial Corp.		81,355		$1,496

Hilltop Holdings, Inc.		152,632		3,141

Home Bancorp, Inc.		15,242		368

Home BancShares, Inc.		448,931		6,806

HomeStreet, Inc.		78,416		2,020

Hope Bancorp, Inc.		685,434		5,199

Horizon Bancorp, Inc.		74,062		747

Independent Bank Corp.		172,563		9,039

Independent Bank Corp. (Berlin Exchange)		37,040		466

Independent Bank Group, Inc.		44,545		1,968

International Bancshares Corp.		160,690		4,188

Investors Bancorp, Inc.		651,088		4,727

Lakeland Bancorp, Inc.		322,957		3,213

Lakeland Financial Corp.		157,402		6,485

Luther Burbank Corp.		89,593		748

Mercantile Bank Corp.		27,419		494

Meridian Bancorp, Inc.		21,661		224

Metropolitan Bank Holding Corp.*		14,035		393

NBT Bancorp, Inc.		250,661		6,723

Northwest Bancshares, Inc.		532,440		4,898

OceanFirst Financial Corp.		238,901		3,271

OFG Bancorp		139,139		1,734

Old National Bancorp		439,533		5,521

Old Second Bancorp, Inc.		50,225		376

Pacific Premier Bancorp, Inc.		155,273		3,127

Park National Corp.		40,017		3,280

Peapack-Gladstone Financial Corp.		38,277		580

Pinnacle Financial Partners, Inc.		53,160		1,892

Preferred Bank		40,083		1,287

Premier Financial Corp.		35,556		554

Provident Financial Services, Inc.		832,980		10,162

QCR Holdings, Inc.		26,690		732

Renasant Corp.		164,446		3,736

Republic Bancorp, Inc., Class A		31,635		891

Riverview Bancorp, Inc.		38,145		158

S&T Bancorp, Inc.		223,419		3,952

Sandy Spring Bancorp, Inc.		111,169		2,566

Sierra Bancorp		134,795		2,263

Simmons First National Corp., Class A		387,514		6,144

SmartFinancial, Inc.		25,747		350

South State Corp.		122,908		5,918

Southern Missouri Bancorp, Inc.		15,445		364

Southside Bancshares, Inc.		86,244		2,107


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.4% continued

Banking – 16.2% continued

Summit Financial Group, Inc.		21,949		$325

Texas Capital Bancshares, Inc.*		158,157		4,923

Tompkins Financial Corp.		44,796		2,545

Towne Bank		200,612		3,290

TriCo Bancshares		144,644		3,542

TriState Capital Holdings, Inc.*		50,491		668

TrustCo Bank Corp. NY		328,305		1,714

Trustmark Corp.		187,358		4,011

UMB Financial Corp.		243,907		11,954

Umpqua Holdings Corp.		449,320		4,772

United Community Banks, Inc.		343,213		5,811

Univest Financial Corp.		76,031		1,093

Valley National Bancorp		1,055,254		7,228

Veritex Holdings, Inc.		87,822		1,496

Washington Federal, Inc.		222,302		4,637

WesBanco, Inc.		235,976		5,040

Westamerica BanCorp		21,776		1,184

WSFS Financial Corp.		207,640		5,600

				356,279

Biotechnology & Pharmaceuticals – 1.5%

Anika Therapeutics, Inc.*		24,143		854

Arena Pharmaceuticals, Inc.*		137,000		10,246

Endo International PLC*		365,269		1,205

Intra-Cellular Therapies, Inc.*		69,816		1,792

Jounce Therapeutics, Inc.*		57,618		470

Lannett Co., Inc.*		68,247		417

Nature’s Sunshine Products, Inc.*		32,948		381

PDL BioPharma, Inc.*		1,396,839		4,400

Phibro Animal Health Corp., Class A		7,848		137

Prestige Consumer Healthcare, Inc.*		159,082		5,794

Taro Pharmaceutical Industries Ltd.*		64,733		3,551

Viking Therapeutics, Inc.*		297,922		1,734

XBiotech, Inc.*		48,819		932

				31,913

Chemicals – 2.6%

American Vanguard Corp.		179,101		2,353

H.B. Fuller Co.		280,164		12,826

Hawkins, Inc.		17,984		829

Haynes International, Inc.		21,174		362

Innospec, Inc.		124,407		7,877

Kraton Corp.*		117,753		2,098

Materion Corp.		73,865		3,843

Minerals Technologies, Inc.		268,099		13,700


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.4% continued

Chemicals – 2.6% continued

PQ Group Holdings, Inc.*		369,574		$3,792

Sensient Technologies Corp.		112,530		6,498

Stepan Co.		31,969		3,485

Univar Solutions, Inc.*		10,965		185

				57,848

Commercial Services – 2.6%

ABM Industries, Inc.		468,952		17,192

Barrett Business Services, Inc.		31,542		1,654

BrightView Holdings, Inc.*		177,535		2,024

CBIZ, Inc.*		217,189		4,967

Ennis, Inc.		326,652		5,697

GP Strategies Corp.*		46,230		445

Kforce, Inc.		72,529		2,333

Korn Ferry		313,992		9,106

Resources Connection, Inc.		54,190		626

TrueBlue, Inc.*		16,461		255

UniFirst Corp.		61,213		11,592

Viad Corp.		43,200		900

				56,791

Construction Materials – 1.5%

Apogee Enterprises, Inc.		44,928		960

Boise Cascade Co.		152,281		6,079

Simpson Manufacturing Co., Inc.		159,610		15,508

Summit Materials, Inc., Class A*		377,745		6,248

UFP Industries, Inc.		88,496		5,001

				33,796

Consumer Products – 2.9%

Alico, Inc.		12,666		362

B&G Foods, Inc.		108,364		3,009

Cal-Maine Foods, Inc.*		101,961		3,912

Central Garden & Pet Co., Class A*		25,788		932

Clearwater Paper Corp.*		27,945		1,060

Darling Ingredients, Inc.*		793,992		28,608

Fresh Del Monte Produce, Inc.		110,197		2,526

Helen of Troy Ltd.*		19,505		3,775

Inter Parfums, Inc.		174,986		6,536

MGP Ingredients, Inc.		6,700		266

Seneca Foods Corp., Class A*		12,722		455

Simply Good Foods (The) Co.*		83,560		1,842

Universal Corp.		236,058		9,886

				63,169

Consumer Services – 1.1%

Aaron’s, Inc.		173,155		9,809


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.4% continued

Consumer Services – 1.1% continued

Adtalem Global Education, Inc.*		308,012		$7,559

American Public Education, Inc.*		26,053		734

Laureate Education, Inc., Class A*		321,676		4,272

Regis Corp.*		177,925		1,093

				23,467

Containers & Packaging – 0.2%

Matthews International Corp., Class A		31,340		701

Myers Industries, Inc.		298,315		3,946

				4,647

Design, Manufacturing & Distribution – 0.7%

Benchmark Electronics, Inc.		477,934		9,630

Plexus Corp.*		21,158		1,495

Sanmina Corp.*		188,205		5,091

				16,216

Distributors - Consumer Staples – 0.4%

Andersons (The), Inc.		354,163		6,789

Core-Mark Holding Co., Inc.		81,477		2,357

				9,146

Distributors - Discretionary – 0.7%

ePlus, Inc.*		14,872		1,088

G-III Apparel Group Ltd.*		19,663		258

KAR Auction Services, Inc.		217,884		3,137

PC Connection, Inc.		250,263		10,276

ScanSource, Inc.*		42,750		848

				15,607

Electrical Equipment – 1.1%

Belden, Inc.		203,989		6,348

Kimball Electronics, Inc.*		42,278		489

LSI Industries, Inc.		44,319		299

NL Industries, Inc.		48,756		207

Powell Industries, Inc.		31,198		753

Preformed Line Products Co.		13,406		653

Watts Water Technologies, Inc., Class A		152,730		15,296

				24,045

Engineering & Construction Services – 1.4%

Aegion Corp.*		238,033		3,363

Arcosa, Inc.		130,266		5,743

Dycom Industries, Inc.*		12,233		646

EMCOR Group, Inc.		99,207		6,717

KBR, Inc.		200,037		4,473

MasTec, Inc.*		126,509		5,339

Primoris Services Corp.		102,299		1,846


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.4% continued

Engineering & Construction Services – 1.4% continued

Sterling Construction Co., Inc.*		47,337		$670

TopBuild Corp.*		14,239		2,431

				31,228

Forest & Paper Products – 0.3%

Neenah, Inc.		44,647		1,673

P.H. Glatfelter Co.		229,697		3,163

Schweitzer-Mauduit International, Inc.		41,068		1,248

				6,084

Gaming, Lodging & Restaurants – 1.1%

Boyd Gaming Corp.		45,075		1,383

Cannae Holdings, Inc.*		133,680		4,981

El Pollo Loco Holdings, Inc.*		59,022		956

Marriott Vacations Worldwide Corp.		125,618		11,408

Monarch Casino & Resort, Inc.*		24,064		1,073

Wingstop, Inc.		24,652		3,369

				23,170

Hardware – 1.0%

ADTRAN, Inc.		185,668		1,904

Arlo Technologies, Inc.*		344,573		1,812

Comtech Telecommunications Corp.		41,268		578

Knowles Corp.*		434,774		6,478

NETGEAR, Inc.*		174,001		5,363

NetScout Systems, Inc.*		133,793		2,921

PCTEL, Inc.*		40,999		232

Plantronics, Inc.		40,048		474

TTM Technologies, Inc.*		219,498		2,505

Vishay Precision Group, Inc.*		21,224		537

				22,804

Health Care Facilities & Services – 1.8%

Magellan Health, Inc.*		212,271		16,086

MedCath Corp.⁽¹⁾*		106,845		—

National HealthCare Corp.		71,641		4,464

OPKO Health, Inc.*		1,232,291		4,547

Owens & Minor, Inc.		106,346		2,670

Patterson Cos., Inc.		258,820		6,239

Triple-S Management Corp., Class B*		367,135		6,561

				40,567

Home & Office Products – 3.6%

ACCO Brands Corp.		675,780		3,920

Beazer Homes U.S.A., Inc.*		202,441		2,672

Caesarstone Ltd.		92,608		908

Hooker Furniture Corp.		138,788		3,585


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.4% continued

Home & Office Products – 3.6% continued

Interface, Inc.		23,773		$145

KB Home		375,673		14,422

M/I Homes, Inc.*		47,618		2,193

MDC Holdings, Inc.		171,828		8,093

Meritage Homes Corp.*		201,339		22,226

Steelcase, Inc., Class A		250,572		2,533

Taylor Morrison Home Corp.*		333,317		8,196

TRI Pointe Group, Inc.*		620,847		11,262

				80,155

Industrial Services – 1.2%

Applied Industrial Technologies, Inc.		32,101		1,769

CAI International, Inc.		17,506		482

DXP Enterprises, Inc.*		105,692		1,705

Herc Holdings, Inc.*		49,256		1,951

Textainer Group Holdings Ltd.*		54,870		777

Triton International Ltd.		266,561		10,841

WESCO International, Inc.*		177,327		7,806

				25,331

Insurance – 4.9%

American Equity Investment Life Holding Co.		494,016		10,863

AMERISAFE, Inc.		112,267		6,440

Argo Group International Holdings Ltd.		88,737		3,055

CNO Financial Group, Inc.		710,791		11,401

Donegal Group, Inc., Class A		39,683		558

Employers Holdings, Inc.		327,899		9,919

Enstar Group Ltd.*		36,564		5,905

FBL Financial Group, Inc., Class A		26,447		1,275

GWG Holdings, Inc.*		7,314		63

Hanover Insurance Group (The), Inc.		17,026		1,586

Horace Mann Educators Corp.		386,010		12,893

Kemper Corp.		97,097		6,489

National General Holdings Corp.		325,149		10,974

NMI Holdings, Inc., Class A*		25,994		463

ProAssurance Corp.		110,445		1,727

Radian Group, Inc.		1,089,188		15,913

Selective Insurance Group, Inc.		102,886		5,298

United Fire Group, Inc.		147,958		3,007

Universal Insurance Holdings, Inc.		13,967		193

				108,022

Iron & Steel – 1.4%

Allegheny Technologies, Inc.*		684,731		5,971

Arch Resources, Inc.		82,222		3,493


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.4% continued

Iron & Steel – 1.4% continued

Carpenter Technology Corp.		214,921		$3,903

Cleveland-Cliffs, Inc.		136,888		879

Commercial Metals Co.		481,774		9,626

Ryerson Holding Corp.*		64,494		369

Schnitzer Steel Industries, Inc., Class A		81,919		1,575

Warrior Met Coal, Inc.		316,321		5,403

				31,219

Leisure Products – 0.7%

Acushnet Holdings Corp.		107,072		3,599

Callaway Golf Co.		522,363		9,998

Vista Outdoor, Inc.*		97,843		1,974

				15,571

Machinery – 1.4%

Alamo Group, Inc.		30,927		3,341

Altra Industrial Motion Corp.		65,592		2,425

Astec Industries, Inc.		38,148		2,069

CIRCOR International, Inc.*		600		16

Columbus McKinnon Corp.		74,137		2,454

Hollysys Automation Technologies Ltd.		102,429		1,132

Hyster-Yale Materials Handling, Inc.		39,881		1,482

Kadant, Inc.		37,495		4,110

Kennametal, Inc.		83,884		2,428

Manitowoc (The) Co., Inc.*		34,509		290

MTS Systems Corp.		6,263		120

Regal Beloit Corp.		102,094		9,584

Rexnord Corp.		41,657		1,243

SPX FLOW, Inc.*		17,023		729

				31,423

Manufactured Goods – 1.0%

AZZ, Inc.		54,649		1,865

Chart Industries, Inc.*		172,404		12,115

EnPro Industries, Inc.		8,651		488

Gibraltar Industries, Inc.*		12,720		828

L.B. Foster Co., Class A*		28,823		387

Standex International Corp.		91,299		5,405

Timken (The) Co.		31,202		1,692

				22,780

Media – 1.6%

DHI Group, Inc.*		89,840		203

Entercom Communications Corp., Class A		319,722		515

EW Scripps (The) Co., Class A		734,971		8,408

Gannett Co., Inc.		23,733		31


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.4% continued

Media – 1.6% continued

Gray Television, Inc.*		156,223		$2,151

Hemisphere Media Group, Inc.*		84,035		730

Meredith Corp.		214,395		2,813

Saga Communications, Inc., Class A		8,533		170

Scholastic Corp.		139,342		2,925

Sinclair Broadcast Group, Inc., Class A		124,381		2,392

TEGNA, Inc.		1,137,444		13,365

Tribune Publishing Co.		61,687		719

				34,422

Medical Equipment & Devices – 1.2%

AngioDynamics, Inc.*		325,859		3,930

Avanos Medical, Inc.*		308,668		10,254

FONAR Corp.*		10,908		228

Harvard Bioscience, Inc.*		64,939		195

Integer Holdings Corp.*		24,144		1,425

Invacare Corp.		56,977		428

Myriad Genetics, Inc.*		436,574		5,693

Natus Medical, Inc.*		79,825		1,367

Orthofix Medical, Inc.*		52,442		1,633

Varex Imaging Corp.*		64,924		826

				25,979

Metals & Mining – 0.7%

Arconic Corp.*		257,394		4,903

Encore Wire Corp.		91,225		4,235

Gold Resource Corp.		118,484		404

Kaiser Aluminum Corp.		111,212		5,960

				15,502

Oil, Gas & Coal – 2.4%

Abraxas Petroleum Corp.*		183,307		27

Archrock, Inc.		257,032		1,383

Bonanza Creek Energy, Inc.*		178,300		3,352

Clean Energy Fuels Corp.*		339,967		843

CNX Resources Corp.*		405,350		3,826

Comstock Resources, Inc.*		392,220		1,718

CVR Energy, Inc.		34,786		431

Delek U.S. Holdings, Inc.		463,709		5,161

Diamond Offshore Drilling, Inc.*		377,157		83

Dril-Quip, Inc.*		198,924		4,925

Earthstone Energy, Inc., Class A*		50,511		131

Exterran Corp.*		142,204		592

Matador Resources Co.*		118,726		981

Matrix Service Co.*		246,978		2,062

Montage Resources Corp.*		60,599		266


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.4% continued

Oil, Gas & Coal – 2.4% continued

National Energy Services Reunited Corp.*		148,042		$945

Natural Gas Services Group, Inc.*		181,589		1,534

Newpark Resources, Inc.*		902,480		948

Oil States International, Inc.*		53,092		145

Ovintiv, Inc.		439,618		3,587

Par Pacific Holdings, Inc.*		55,970		379

Parsley Energy, Inc., Class A		97,280		911

PBF Energy, Inc., Class A		44,339		252

PDC Energy, Inc.*		419,231		5,196

Peabody Energy Corp.		245,326		564

Penn Virginia Corp.*		153,888		1,516

ProPetro Holding Corp.*		408,972		1,660

Ramaco Resources, Inc.*		72,271		253

RPC, Inc.*		672,500		1,775

SM Energy Co.		44,721		71

Southwestern Energy Co.*		787,530		1,851

Thermon Group Holdings, Inc.*		180,023		2,022

World Fuel Services Corp.		179,164		3,796

				53,186

Passenger Transportation – 0.4%

Hawaiian Holdings, Inc.		301,125		3,881

Mesa Air Group, Inc.*		35,195		104

SkyWest, Inc.		123,841		3,698

Spirit Airlines, Inc.*		97,156		1,564

				9,247

Real Estate – 0.4%

McGrath RentCorp		101,880		6,071

RE/MAX Holdings, Inc., Class A		30,179		988

St. Joe (The) Co.*		112,619		2,323

				9,382

Real Estate Investment Trusts – 11.7%

Acadia Realty Trust		317,692		3,336

Agree Realty Corp.		177,845		11,318

American Assets Trust, Inc.		196,525		4,734

Apple Hospitality REIT, Inc.		469,967		4,516

Blackstone Mortgage Trust, Inc., Class A		309,158		6,792

Brandywine Realty Trust		360,005		3,722

Capstead Mortgage Corp.		847,585		4,763

CareTrust REIT, Inc.		231,500		4,120

Chatham Lodging Trust		209,659		1,598

City Office REIT, Inc.		78,400		590


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.4% continued

Real Estate Investment Trusts – 11.7% continued

CoreCivic, Inc.		100,000		$800

CorEnergy Infrastructure Trust, Inc.		41,427		242

Corporate Office Properties Trust		103,192		2,448

Cousins Properties, Inc.		274,699		7,854

DiamondRock Hospitality Co.		428,139		2,171

Easterly Government Properties, Inc.		125,477		2,812

Essential Properties Realty Trust, Inc.		148,783		2,726

Exantas Capital Corp.		520,780		1,088

Farmland Partners, Inc.		50,533		337

Franklin Street Properties Corp.		382,777		1,401

Getty Realty Corp.		97,800		2,544

Global Net Lease, Inc.		151,363		2,407

Hannon Armstrong Sustainable Infrastructure Capital, Inc.		189,316		8,002

Healthcare Realty Trust, Inc.		220,482		6,641

Hersha Hospitality Trust		49,956		277

Independence Realty Trust, Inc.		182,539		2,116

Industrial Logistics Properties Trust		121,414		2,655

Investors Real Estate Trust		19,670		1,282

Kite Realty Group Trust		80,751		935

Ladder Capital Corp.		566,091		4,031

Lexington Realty Trust		659,131		6,888

LTC Properties, Inc.		119,300		4,159

Mack-Cali Realty Corp.		435,112		5,491

MFA Financial, Inc.		837,952		2,246

Monmouth Real Estate Investment Corp.		78,327		1,085

National Health Investors, Inc.		168,415		10,150

New York Mortgage Trust, Inc.		347,943		887

Office Properties Income Trust		62,820		1,302

One Liberty Properties, Inc.		156,994		2,568

Orchid Island Capital, Inc.		857,544		4,296

Park Hotels & Resorts, Inc.		437,538		4,371

Physicians Realty Trust		661,333		11,845

Piedmont Office Realty Trust, Inc., Class A		504,321		6,844

PotlatchDeltic Corp.		268,586		11,307

Ready Capital Corp.		433,695		4,857

Retail Opportunity Investments Corp.		45,039		469

Retail Properties of America, Inc., Class A		87,934		511

Rexford Industrial Realty, Inc.		32,483		1,486

RLJ Lodging Trust		917,230		7,943

RPT Realty		793,883		4,319

Sabra Health Care REIT, Inc.		667,666		9,204


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.4% continued

Real Estate Investment Trusts – 11.7% continued

Service Properties Trust		65,844		$523

Spirit Realty Capital, Inc.		202,911		6,848

STAG Industrial, Inc.		538,716		16,425

Summit Hotel Properties, Inc.		313,547		1,624

Sunstone Hotel Investors, Inc.		1,162,039		9,227

Terreno Realty Corp.		166,875		9,138

Washington Prime Group, Inc.		566,819		367

Washington Real Estate Investment Trust		332,797		6,699

Weingarten Realty Investors		216,884		3,678

Xenia Hotels & Resorts, Inc.		440,939		3,871

				258,886

Recreational Facilities & Services – 0.1%

Marcus (The) Corp.		319,528		2,470

RCI Hospitality Holdings, Inc.		15,440		315

				2,785

Renewable Energy – 1.1%

Canadian Solar, Inc.*		100,458		3,526

EnerSys		130,367		8,750

Green Plains, Inc.*		219,795		3,402

Renewable Energy Group, Inc.*		148,298		7,922

REX American Resources Corp.*		16,148		1,060

				24,660

Retail - Consumer Staples – 0.6%

Big Lots, Inc.		66,015		2,944

Ingles Markets, Inc., Class A		59,075		2,247

PriceSmart, Inc.		22,366		1,486

SpartanNash Co.		79,907		1,307

Village Super Market, Inc., Class A		38,861		957

Weis Markets, Inc.		72,524		3,481

				12,422

Retail - Discretionary – 7.2%

Abercrombie & Fitch Co., Class A		27,249		380

American Eagle Outfitters, Inc.		466,136		6,903

AutoNation, Inc.*		187,734		9,937

Beacon Roofing Supply, Inc.*		68,836		2,139

BMC Stock Holdings, Inc.*		283,971		12,162

Boot Barn Holdings, Inc.*		80,448		2,264

Buckle (The), Inc.		83,287		1,698

Builders FirstSource, Inc.*		117,929		3,847

Caleres, Inc.		113,149		1,082

Chico’s FAS, Inc.		51,202		50

Children’s Place (The), Inc.		26,576		753

Citi Trends, Inc.		43,770		1,093


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.4% continued

Retail - Discretionary – 7.2% continued

Conn’s, Inc.*		64,764		$685

Designer Brands, Inc., Class A		400,939		2,177

Dick’s Sporting Goods, Inc.		33,130		1,918

Dillard’s, Inc., Class A		9,805		358

Ethan Allen Interiors, Inc.		195,817		2,651

Foot Locker, Inc.		229,668		7,586

Foundation Building Materials, Inc.*		72,736		1,143

Genesco, Inc.*		150,252		3,236

GMS, Inc.*		71,350		1,719

Group 1 Automotive, Inc.		257,783		22,785

Haverty Furniture Cos., Inc.		189,720		3,973

Lands’ End, Inc.*		54,790		714

La-Z-Boy, Inc.		292,242		9,244

Lithia Motors, Inc., Class A		22,797		5,196

ODP (The) Corp.		206,304		4,013

Penske Automotive Group, Inc.		170,183		8,111

Rush Enterprises, Inc., Class A		284,544		14,381

Shoe Carnival, Inc.		248,618		8,349

Sonic Automotive, Inc., Class A		413,065		16,589

Zumiez, Inc.*		43,662		1,215

				158,351

Semiconductors – 2.5%

Amkor Technology, Inc.*		1,142,865		12,800

AXT, Inc.*		69,112		423

Cohu, Inc.		113,743		1,954

CTS Corp.		385,248		8,487

Diodes, Inc.*		174,449		9,848

Onto Innovation, Inc.*		9,519		283

Photronics, Inc.*		477,590		4,757

Rambus, Inc.*		355,299		4,864

Synaptics, Inc.*		68,319		5,494

Vishay Intertechnology, Inc.		412,066		6,416

				55,326

Software – 0.7%

Allscripts Healthcare Solutions, Inc.*		449,496		3,659

Avaya Holdings Corp.*		322,864		4,908

Computer Programs and Systems, Inc.		24,290		671

Digi International, Inc.*		149,882		2,343

Donnelley Financial Solutions, Inc.*		58,036		775

Ebix, Inc.		108,659		2,238

NextGen Healthcare, Inc.*		110,713		1,410

				16,004


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.4% continued

Specialty Finance – 2.3%

Encore Capital Group, Inc.*		152,754		$5,895

Enova International, Inc.*		126,917		2,080

Essent Group Ltd.		39,303		1,455

GATX Corp.		208,917		13,318

General Finance Corp.*		51,819		328

Marlin Business Services Corp.		35,711		252

Mr Cooper Group, Inc.*		155,614		3,473

Navient Corp.		327,120		2,764

Nelnet, Inc., Class A		93,090		5,609

Ocwen Financial Corp.*		8,248		174

PennyMac Financial Services, Inc.		134,061		7,792

Regional Management Corp.*		18,915		315

Stewart Information Services Corp.		40,112		1,754

Walker & Dunlop, Inc.		64,478		3,417

World Acceptance Corp.*		24,397		2,575

				51,201

Technology Services – 1.8%

ICF International, Inc.		74,701		4,596

Insight Enterprises, Inc.*		268,884		15,214

ManTech International Corp., Class A		52,968		3,648

Perficient, Inc.*		186,749		7,982

Sykes Enterprises, Inc.*		214,122		7,325

				38,765

Telecom – 0.8%

Alaska Communications Systems Group, Inc.		90,625		181

ATN International, Inc.		31,119		1,560

Consolidated Communications Holdings, Inc.*		121,949		694

EchoStar Corp., Class A*		19,313		481

Iridium Communications, Inc.*		272,699		6,976

Telephone and Data Systems, Inc.		257,836		4,754

United States Cellular Corp.*		109,472		3,233

				17,879

Transportation & Logistics – 2.8%

ArcBest Corp.		154,737		4,806

Ardmore Shipping Corp.		241,373		859

Costamare, Inc.		119,932		728

DHT Holdings, Inc.		807,668		4,168

Diamond S Shipping, Inc.*		68,442		470

Echo Global Logistics, Inc.*		111,935		2,885

Frontline Ltd.		754,341		4,903

GasLog Ltd.		32,337		88


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 98.4% continued

Transportation & Logistics – 2.8% continued

International Seaways, Inc.		48,804		$713

Matson, Inc.		60,691		2,433

Nordic American Tankers Ltd.		249,115		869

Overseas Shipholding Group, Inc., Class A*		145,477		311

Pangaea Logistics Solutions Ltd.		45,061		117

Saia, Inc.*		108,317		13,663

Schneider National, Inc., Class B		291,452		7,208

SEACOR Holdings, Inc.*		80,911		2,353

SFL Corp. Ltd.		1,241,541		9,299

Teekay Corp.*		41,912		94

Teekay Tankers Ltd., Class A*		49,117		532

Werner Enterprises, Inc.		100,930		4,238

				60,737

Transportation Equipment – 0.0%

Wabash National Corp.		23,096		276

Utilities – 5.0%

ALLETE, Inc.		124,940		6,464

Avista Corp.		112,874		3,851

Black Hills Corp.		162,491		8,692

Consolidated Water Co. Ltd.		25,575		266

National Fuel Gas Co.		180,436		7,324

New Jersey Resources Corp.		236,700		6,396

NorthWestern Corp.		315,479		15,345

ONE Gas, Inc.		12,504		863

Ormat Technologies, Inc.		20,308		1,200

Otter Tail Corp.		204,958		7,413

PICO Holdings, Inc.*		19,313		173

PNM Resources, Inc.		438,809		18,136

Portland General Electric Co.		85,876		3,049

SJW Group		8,849		538

Southwest Gas Holdings, Inc.		303,457		19,148

Spire, Inc.		169,447		9,015

Unitil Corp.		45,700		1,766

				109,639

Waste & Environment Services & Equipment – 0.0%

CECO Environmental Corp.*		95,281		695
Total Common Stocks
(Cost $2,171,105)				2,168,810


OTHER – 0.0%

Escrow Calamos Asset Management, Inc.⁽¹⁾ ^*		8,063		—


	NUMBER OF SHARES		VALUE (000S)

OTHER - 0.0% continued

Escrow DLB Oil & Gas^{(1) *}		2,100		$—

Escrow Spirit MTA REIT^{(2) *}		17,083		13
Total Other
(Cost $13)				13


INVESTMENT COMPANIES – 1.7%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽³⁾⁽⁴⁾		37,213,042		37,213
Total Investment Companies
(Cost $37,213)				37,213

	PRINCIPAL AMOUNT (000S)		VALUE (000S)

SHORT-TERM INVESTMENTS – 0.3%

U.S. Treasury Bill, 0.11%, 1/28/21⁽⁵⁾⁽⁶⁾		$6,014		$6,012
Total Short-Term Investments
(Cost $6,012)				6,012

Total Investments – 100.4%
(Cost $2,214,343)				2,212,048

Liabilities less Other Assets – (0.4%)				(7,942	)
NET ASSETS – 100.0%				$2,204,106

⁽¹⁾

Level 3 asset that is worthless, bankrupt or has been delisted.

⁽²⁾

Level 3 asset.

⁽³⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽⁴⁾

7-day current yield as of September 30, 2020 is disclosed.

⁽⁵⁾

Discount rate at the time of purchase.

⁽⁶⁾

Security pledged as collateral to cover margin requirements for open futures contracts.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

PLC - Public Limited Company

REIT - Real Estate Investment Trust

Percentages shown are based on Net Assets.

At September 30, 2020, the Fund had open futures contracts as follows:


TYPE	NUMBER OF CONTRACTS	NOTIONAL AMOUNT (000S)	CONTRACT POSITION	CONTRACT EXP.	VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) (000S)⁽¹⁾
E-Mini Russell 2000 Index	461	$34,676	Long	12/20	$18

⁽¹⁾

Includes cumulative appreciation/depreciation on futures contracts. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF LONG-TERM INVESTMENTS

Communication Services		2.5	%

Consumer Discretionary		13.8

Consumer Staples		3.5

Energy		4.2

Financials		25.8

Health Care		4.8

Industrials		16.6

Information Technology		7.8

Materials		5.5

Real Estate		10.5

Utilities		5.0

Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

Common Stocks⁽¹⁾		$2,168,810		$ —		$—		$2,168,810

Other		—		—		13		13

Investment Companies		37,213		—		—		37,213

Short-Term Investments		—		6,012		—		6,012

Total Investments		$2,206,023		$6,012		$13		$2,212,048


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 99.8%

Aerospace & Defense – 1.1%

Lockheed Martin Corp.		5,522		$2,117

Apparel & Textile Products – 1.8%

Hanesbrands, Inc.		69,965		1,102

NIKE, Inc., Class B		9,793		1,229

PVH Corp.		10,399		620

VF Corp.		6,034		424

				3,375

Asset Management – 1.6%

Ameriprise Financial, Inc.		7,090		1,093

Charles Schwab (The) Corp.		21,628		783

T. Rowe Price Group, Inc.		7,868		1,009

				2,885

Automotive – 0.3%

Aptiv PLC		6,102		559

Banking – 3.0%

Bank of America Corp.		49,116		1,183

Citigroup, Inc.		33,692		1,453

First Republic Bank		1,728		189

JPMorgan Chase & Co.		21,058		2,027

SVB Financial Group*		583		140

Zions Bancorp N.A.		21,524		629

				5,621

Biotechnology & Pharmaceuticals – 7.4%

AbbVie, Inc.		13,325		1,167

Amgen, Inc.		11,649		2,961

Biogen, Inc.*		2,188		621

Bristol-Myers Squibb Co.		6,327		381

Eli Lilly and Co.		9,868		1,461

Gilead Sciences, Inc.		19,299		1,219

Johnson & Johnson		12,012		1,788

Merck & Co., Inc.		38,640		3,205

Pfizer, Inc.		10,780		396

Vertex Pharmaceuticals, Inc.*		2,126		579

				13,778

Chemicals – 1.1%

3M Co.		1,201		192

Axalta Coating Systems Ltd.*		22,738		504

Ecolab, Inc.		4,559		911

PPG Industries, Inc.		4,248		519

				2,126


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.8% continued

Commercial Services – 0.6%

ManpowerGroup, Inc.		10,963		$804

Robert Half International, Inc.		6,422		340

				1,144

Consumer Products – 4.9%

Clorox (The) Co.		4,091		860

Coca-Cola (The) Co.		10,204		504

Colgate-Palmolive Co.		19,704		1,520

General Mills, Inc.		21,503		1,326

Kellogg Co.		10,437		674

Kimberly-Clark Corp.		6,513		962

Molson Coors Beverage Co., Class B		6,739		226

Procter & Gamble (The) Co.		21,600		3,002

				9,074

Distributors - Consumer Staples – 0.4%

Bunge Ltd.		17,049		779

Distributors - Discretionary – 0.4%

Pool Corp.		2,192		733

Electrical Equipment – 3.4%

Acuity Brands, Inc.		6,653		681

General Electric Co.		45,170		281

Honeywell International, Inc.		9,607		1,581

Johnson Controls International PLC		27,847		1,138

Lennox International, Inc.		476		130

Rockwell Automation, Inc.		5,219		1,152

Trane Technologies PLC		10,839		1,314

				6,277

Engineering & Construction Services – 0.7%

AECOM^*		18,470		773

Quanta Services, Inc.		10,220		540

				1,313

Gaming, Lodging & Restaurants – 1.0%

Domino’s Pizza, Inc.		1,097		467

Dunkin’ Brands Group, Inc.		6,997		573

Marriott International, Inc., Class A		4,610		427

MGM Resorts International		20,387		443

				1,910

Hardware – 9.4%

Apple, Inc.		122,127		14,144

Cisco Systems, Inc.		24,838		978

HP, Inc.		38,801		737


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.8% continued

Hardware – 9.4% continued

Motorola Solutions, Inc.		3,765		$590

Zebra Technologies Corp., Class A*		4,065		1,026

				17,475

Health Care Facilities & Services – 3.6%

AmerisourceBergen Corp.		3,905		378

Cardinal Health, Inc.		19,613		921

Cigna Corp.		4,027		682

HCA Healthcare, Inc.		5,229		652

Henry Schein, Inc.*		16,288		957

Humana, Inc.		3,023		1,251

Molina Healthcare, Inc.*		2,746		503

Teladoc Health, Inc.*		1,889		414

UnitedHealth Group, Inc.		3,161		986

				6,744

Home & Office Products – 0.3%

Newell Brands, Inc.		19,942		342

Tempur Sealy International, Inc.*		2,117		189

				531

Industrial Services – 0.6%

W.W. Grainger, Inc.		3,364		1,200

Institutional Financial Services – 1.1%

Bank of New York Mellon (The) Corp.		9,985		343

Goldman Sachs Group (The), Inc.		5,168		1,039

Morgan Stanley		4,024		194

State Street Corp.		6,838		406

				1,982

Insurance – 1.3%

Allstate (The) Corp.		8,348		786

Aon PLC, Class A		3,600		743

Loews Corp.		4,329		150

Marsh & McLennan Cos., Inc.		1,610		185

Travelers (The) Cos., Inc.		5,152		557

				2,421

Machinery – 2.1%

AGCO Corp.		2,745		204

Caterpillar, Inc.		12,653		1,887

Illinois Tool Works, Inc.		5,865		1,133

Oshkosh Corp.		8,169		601

				3,825

Media – 7.9%

Alphabet, Inc., Class A*		3,692		5,411

Alphabet, Inc., Class C*		2,169		3,188


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.8% continued

Media – 7.9% continued

Booking Holdings, Inc.*		393		$672

Comcast Corp., Class A		5,518		255

Facebook, Inc., Class A*		10,454		2,738

Lions Gate Entertainment Corp., Class A*		47,767		453

Lions Gate Entertainment Corp., Class B*		39,869		348

New York Times (The) Co., Class A		24,961		1,068

Sirius XM Holdings, Inc.		69,668		373

Walt Disney (The) Co.		2,420		300

				14,806

Medical Equipment & Devices – 4.0%

Abbott Laboratories		1,872		204

Agilent Technologies, Inc.		13,243		1,337

Hologic, Inc.*		11,968		796

IDEXX Laboratories, Inc.*		2,425		953

Medtronic PLC		5,088		529

Mettler-Toledo International, Inc.*		1,295		1,251

Quidel Corp.*		996		218

ResMed, Inc.		2,958		507

Thermo Fisher Scientific, Inc.		1,724		761

Waters Corp.*		4,877		954

				7,510

Metals & Mining – 0.2%

Newmont Corp.		4,802		305

Oil, Gas & Coal – 1.0%

Baker Hughes Co.		45,325		602

ConocoPhillips		14,822		487

Schlumberger N.V.		35,256		548

Valero Energy Corp.		6,962		302

				1,939

Real Estate – 0.1%

Jones Lang LaSalle, Inc.		1,362		130

Real Estate Investment Trusts – 3.1%

American Tower Corp.		10,152		2,454

AvalonBay Communities, Inc.		3,370		503

Boston Properties, Inc.		2,228		179

Corporate Office Properties Trust		15,369		365

Kilroy Realty Corp.		8,012		416

Park Hotels & Resorts, Inc.		31,539		315

Prologis, Inc.		11,711		1,179

Welltower, Inc.		8,189		451

				5,862


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.8% continued

Recreational Facilities & Services – 0.1%

Six Flags Entertainment Corp.		9,101		$185

Retail - Consumer Staples – 0.3%

Kroger (The) Co.		14,379		488

Retail - Discretionary – 9.2%

Amazon.com, Inc.*		2,244		7,066

Best Buy Co., Inc.		11,790		1,312

eBay, Inc.		16,572		863

Etsy, Inc.*		1,454		177

Foot Locker, Inc.		4,345		144

Gap (The), Inc.		21,183		361

Home Depot (The), Inc.		14,664		4,072

Lowe’s Cos., Inc.		13,493		2,238

Tractor Supply Co.		824		118

Williams-Sonoma, Inc.		9,307		842

				17,193

Semiconductors – 4.4%

Advanced Micro Devices, Inc.*		5,645		463

Applied Materials, Inc.		17,601		1,046

Intel Corp.		13,858		718

Lam Research Corp.		881		292

NVIDIA Corp.		4,793		2,594

Texas Instruments, Inc.		21,508		3,071

				8,184

Software – 10.6%

Activision Blizzard, Inc.		4,362		353

Adobe, Inc.*		2,878		1,412

Autodesk, Inc.*		2,624		606

Cadence Design Systems, Inc.*		8,549		912

Cerner Corp.		8,426		609

Citrix Systems, Inc.		2,914		401

Electronic Arts, Inc.*		4,877		636

Intuit, Inc.		5,455		1,780

Manhattan Associates, Inc.*		3,560		340

Microsoft Corp.		50,936		10,713

Oracle Corp.		9,231		551

Teradata Corp.*		17,726		402

Veeva Systems, Inc., Class A*		1,098		309

VMware, Inc., Class A*		5,060		727

				19,751

Specialty Finance – 5.5%

Ally Financial, Inc.		31,593		792

American Express Co.		14,814		1,485

Jack Henry & Associates, Inc.		1,135		184


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.8% continued

Specialty Finance – 5.5% continued

Mastercard, Inc., Class A		15,015		$5,078

PayPal Holdings, Inc.*		3,672		723

Square, Inc., Class A*		2,158		351

Visa, Inc., Class A		6,259		1,252

Western Union (The) Co.		18,364		394

				10,259

Technology Services – 3.4%

Accenture PLC, Class A		9,514		2,150

Broadridge Financial Solutions, Inc.		3,182		420

Cognizant Technology Solutions Corp., Class A		935		65

FactSet Research Systems, Inc.		3,381		1,132

International Business Machines Corp.		12,775		1,554

Moody’s Corp.		1,741		505

S&P Global, Inc.		1,147		414

				6,240

Telecom – 0.7%

AT&T, Inc.		15,982		455

Verizon Communications, Inc.		14,839		883

				1,338

Transportation & Logistics – 0.8%

CSX Corp.		4,491		349

Expeditors International of Washington, Inc.		12,947		1,172

				1,521

Transportation Equipment – 0.8%

Allison Transmission Holdings, Inc.		2,575		90

Cummins, Inc.		6,231		1,316

				1,406

Utilities – 1.6%

AES (The) Corp.		10,398		188

Consolidated Edison, Inc.		9,332		726

Exelon Corp.		35,493		1,269

NextEra Energy, Inc.		3,152		875

				3,058
Total Common Stocks
(Cost $159,622)				186,044


	NUMBER OF SHARES		VALUE (000S)

INVESTMENT COMPANIES – 0.0%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽¹⁾⁽²⁾		70,090		$70
Total Investment Companies
(Cost $70)				70


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

SHORT - TERM INVESTMENTS – 0.1%

U.S. Treasury Bills, 0.11%, 1/28/21⁽³⁾		$250		$250
Total Short-Term Investments
(Cost $250)				250


Total Investments – 99.9%
(Cost $159,942)				186,364

Other Assets less Liabilities – 0.1%				138
NET ASSETS – 100.0%				$186,502

⁽¹⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽²⁾

7-day current yield as of September 30, 2020 is disclosed.

⁽³⁾

Discount rate at the time of purchase.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

PLC - Public Limited Company

Percentages shown are based on Net Assets.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF LONG-TERM INVESTMENTS

Communication Services		8.9	%

Consumer Discretionary		13.5

Consumer Staples		5.6

Energy		1.0

Financials		9.3

Health Care		15.6

Industrials		10.2

Information Technology		29.9

Materials		1.2

Real Estate		3.2

Utilities		1.6

Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

Common Stocks⁽¹⁾		$186,044		$ —		$ —		$186,044

Investment Companies		70		—		—		70

Short-Term Investments		—		250		—		250

Total Investments		$186,114		$250		$ —		$186,364

⁽¹⁾

Classifications as defined in the Schedule of Investments.

1. ORGANIZATION

Except for the Small Cap Core and U.S. Quality ESG Funds, each Fund is authorized to issue one class of shares designated as the “Shares” class. Effective July 31, 2020, the Small Cap Core and U.S. Quality ESG Funds are authorized to issue two classes of shares designated as Class K shares and Class I shares, which replaced the Shares class for each Fund. At September 30, 2020, the Income Equity, International Equity, Large Cap Core, Large Cap Value and Small Cap Value Funds had Shares outstanding; and the Small Cap Core and U.S. Quality ESG Funds had Class K shares and Class I shares outstanding.

Northern Trust Investments, Inc. (“NTI”), a subsidiary of The Northern Trust Company (“Northern Trust”), serves as the investment adviser and administrator for each of the Funds. Northern Trust serves as the custodian, transfer agent and sub-administrator for the Trust. Northern Funds Distributors, LLC, not an affiliate of NTI, is the Trust’s distributor.

2. SIGNIFICANT ACCOUNTING POLICIES

The Trust, which is an investment company, follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services-Investment Companies.

The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results may differ from those estimates.

The net asset value (“NAV”) of each Fund is determined daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), generally 3:00 P.M. Central Time, on each day the NYSE is open for trading.

A) VALUATION OF SECURITIES AND DERIVATIVE CONTRACTS Securities are valued at their fair value. Securities traded on United States (“U.S.”) securities exchanges or in the NASDAQ National Market System are principally valued at the regular trading session closing price (generally, 3:00 P.M. Central Time) on the exchange or market in which such securities are principally traded. If any such security is not traded on a valuation date, it is valued at the most recent quoted bid price. Over-the-counter securities not reported in the NASDAQ National Market System are also generally valued at the most recent quoted bid price. Fixed income securities, however, may be valued on the basis of evaluated prices provided by the Funds’ approved independent third-party pricing services when such prices are believed to reflect the fair value of such securities or broker provided prices. Such prices may be determined by taking into account other similar securities’ prices, yields, maturities, call features, ratings, institutional size trading in similar groups of securities and developments related to specific securities.

The values of securities of foreign issuers are generally based upon market quotations, which depending upon local convention or regulation, may be the last sale price, the last bid price or the mean between the last bid and asked price as of, in each case, the close of the appropriate exchange or other designated time. Foreign fixed income securities, however, may, like domestic fixed income securities, be valued based on evaluated prices provided by independent pricing services when such prices are believed to reflect the fair value of such securities.

Shares of open-end investment companies, other than exchange-traded funds, are valued at their NAV. Spot and forward foreign currency exchange contracts are generally valued using an independent pricing service. Exchange-traded financial futures and options are valued at the settlement price as established by the exchange on which they are traded. The foregoing prices may be obtained from one or more independent pricing services or, as needed or applicable, independent broker-dealers. Short-term investments with a maturity of 60 days or less are valued at their amortized cost, which NTI, as authorized by the Trust’s Board of Trustees (the “Board”), has determined approximates fair value.

Any securities for which market quotations are not readily available or are believed to be incorrect are valued at fair value as determined in good faith by NTI under the supervision of the Board. The Trust, in its discretion, may make adjustments to the prices of securities held by a Fund if an event occurs after the publication of fair values normally used by a Fund but before the time as of which the Fund calculates its NAV, depending on the nature and significance of the event, consistent with applicable regulatory guidance and U.S. GAAP. This may occur particularly with respect to certain foreign securities held by a Fund, in which case the Trust may use adjustment factors obtained from an independent evaluation service that are intended to reflect more accurately the fair value of those securities as of the time the Fund’s NAV is calculated.

The use of fair valuation involves the risk that the values used by the Funds to price their investments may be higher or lower than the values used by other unaffiliated investment companies and investors to price the same investments.

B) FUTURES CONTRACTS Certain Funds invest in long or short exchange-traded futures contracts for hedging purposes, to increase total return (i.e., for speculative purposes) or to maintain liquidity to meet potential shareholder redemptions, to invest cash balances or dividends or to minimize trading costs. When used as a hedge, a Fund may sell a futures contract in order to offset a decrease in the fair value of its portfolio securities that might otherwise result from a market decline. A Fund may do so either to hedge the value of its portfolio securities as a whole, or to protect against declines occurring prior to sales of securities in the value of the securities to be sold. Conversely, a Fund may purchase a futures contract as a hedge in anticipation of purchases of securities. In addition, a Fund may utilize futures contracts in anticipation of changes in the composition of its portfolio holdings. A Fund bears the market risk arising from changes in the value of these financial instruments. At the time a Fund enters into a futures contract, it is generally required to make a margin deposit with the custodian of a specified amount of liquid assets. Futures are marked-to-market each day with the change in value reflected in the unrealized gains or losses. Risk may arise as a result of the potential inability of the counterparties to meet the terms of their contracts. Credit risk is mitigated to the extent that the exchange on which a particular futures contract is traded assumes the risk of a counterparty defaulting on its obligations under the contract. The Statements of Operations include any realized gains or losses on closed futures contracts in Net realized gains (losses) on futures contracts, and any unrealized gains or losses on open futures contracts in Net change in unrealized appreciation (depreciation) on futures contracts.

The contract position and investment strategy utilized during the six months ended September 30, 2020, was as follows:


	CONTRACT POSITION	INVESTMENT STRATEGY

Income Equity	Long	Liquidity

International Equity	Long and Short	Liquidity

Large Cap Core	Long	Liquidity

Large Cap Value	Long	Liquidity

Small Cap Core	Long	Liquidity

Small Cap Value	Long	Liquidity

U.S. Quality ESG	Long	Liquidity

At September 30, 2020, the aggregate fair value of securities pledged to cover margin requirements for open positions for the Income Equity, Large Cap Core, Large Cap Value, Small Cap Core and Small Cap Value Funds was approximately $135,000, $415,000, $150,000, $437,000 and $6,012,000, respectively. At September 30, 2020, the aggregate fair value of foreign currencies

to cover margin requirements for open positions for the International Equity Fund was approximately $168,000. Further information on the impact of these positions on the Funds’ financial statements can be found in Note 10.

C) OPTIONS CONTRACTS Certain Funds buy put options and call options and write covered call options and secured put options for hedging purposes or to earn additional income. When used as a hedge, a Fund may enter into option contracts in order to hedge against adverse price movements of securities which a Fund intends to trade upon. These options may relate to particular securities, foreign and domestic securities indices, financial instruments or foreign currencies. The gains or losses on purchased options contracts are included with Net realized and unrealized gains (losses) on investments on the Statements of Operations. The gains or losses on written options contracts are included with Net realized and unrealized gains (losses) on options written on the Statements of Operations, if applicable.

The risks associated with purchasing an option include risk of loss of premium, change in fair value and counterparty nonperformance under the contract. Credit risk is mitigated to the extent that the exchange on which a particular options contract is traded assumes the risk of a counterparty defaulting on its obligations under the contract. Put and call options purchased are accounted for in the same manner as Fund securities.

The cost of securities acquired through the exercise of call options is increased by the premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.

In writing an option, a Fund bears the market risk of an unfavorable change in the price of the security or currency underlying the written option. Exercise of an option written by a Fund could result in a Fund selling or buying a security or currency at a price different from the current fair value. Further information on the impact of these positions on the Funds’ financial statements can be found in Note 10.

D) FOREIGN CURRENCY TRANSLATION Values of investments denominated in foreign currencies are converted into U.S. dollars using the spot rates on the NYSE, generally at 3:00 P.M. Central Time. The cost of purchases and proceeds from sales of investments, interest and dividend income are translated into U.S. dollars using the spot rates on the NYSE, generally at 3:00 P.M. Central Time. The gains or losses, if any, on investments from the original purchase date to subsequent sales trade date resulting from changes in foreign exchange rates are included in the Statements of Operations in Net realized gains (losses) on investments and Net change in unrealized appreciation (depreciation) on investments. The gains or losses, if any, on translation of other assets and liabilities denominated in foreign currencies and between the trade and settlement dates on investment transactions are included in Net realized gains (losses)

on foreign currency transactions and Net change in unrealized appreciation (depreciation) on foreign currency translations in the Statements of Operations.

E) FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS Certain Funds are authorized to enter into forward foreign currency exchange contracts, or forward currency exchange contracts, for the purchase or sale of a specific foreign currency at a specified exchange rate on a future date as a hedge against either specific transactions or portfolio positions, or as a cross-hedge transaction or for speculative purposes. The objective of a Fund’s foreign currency hedging transactions is to reduce the risk that the U.S. dollar value of a Fund’s foreign currency denominated securities will decline in value due to changes in foreign currency exchange rates. All forward foreign currency exchange contracts are marked-to-market daily at the applicable exchange rates. Any resulting unrealized gains or losses are recorded in Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts in the Statements of Operations. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Realized gains or losses, if any, are included in Net realized gains (losses) on forward foreign currency exchange contracts in the Statements of Operations.

Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. The contractual amounts of forward foreign currency exchange contracts do not necessarily represent the amounts potentially subject to risk. A Fund bears the market risk from changes in foreign currency exchange rates and the credit risk if the counterparty to the contract fails to perform. The institutions that deal in forward foreign currency exchange contracts are not required to continue to make markets in the currencies they trade and these markets can experience periods of illiquidity. No forward foreign currency exchange contracts were held by the Funds during the six months ended September 30, 2020.

F) INVESTMENT TRANSACTIONS AND INCOME Investment transactions are recorded as of the trade date. The Funds determine the gain or loss realized from investment transactions by using an identified cost basis method. Interest income is recognized on an accrual basis and includes amortization of premiums and accretion of discounts using the effective yield method. The interest rates reflected in the Schedules of Investments represent either the stated coupon rate, annualized yield on the date of purchase for discount notes, the current reset rate for floating rate securities, the 7-day yield for money market funds or, for interest-only or principal-only securities, the current effective yield. Cost of investments includes amortization of premiums and accretion of discounts, if any. Dividend income, if any, is recognized

on the ex-dividend date. Dividends from foreign securities are recorded on the ex-dividend date, or as soon as the information is available. Distributions received from a Fund’s investments in real estate investment trusts (“REITs”) are

comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until the fiscal year-end. A Fund records the character of distributions received from the REITs during the year based on estimates available. A Fund’s characterization may be subsequently revised based on information received from the REITs after their tax reporting periods conclude.

The Funds allocate all income and realized and unrealized gains or losses on a daily basis to each class of shares based upon the relative proportion of the value of shares outstanding of each class, if applicable.

G) EXPENSES Each Fund is charged for those expenses that are directly attributable to that Fund. Expenses arising in connection with a specific class of shares are charged to that class of shares. Expenses incurred which do not specifically relate to an individual fund generally are allocated among all funds in the Trust in proportion to each Fund’s relative net assets.

H) REDEMPTION FEES The International Equity Fund charges a 2 percent redemption fee on the redemption of shares (including by exchange) held for 30 days or less. For the purpose of applying the fee, the Fund uses a first-in, first-out (“FIFO”) method so that shares held longest are treated as being redeemed first and shares held shortest are treated as being redeemed last. The redemption fee is paid to the Fund from which the redemption is made and is intended to offset the trading, market impact and other costs associated with short term money movements in and out of the Fund. The redemption fee may be collected by deduction from the redemption proceeds or, if assessed after the redemption transaction, through a separate billing. The Fund is authorized to waive the redemption fee for certain types of redemptions as described in the Fund’s prospectus.

Redemption fees for the International Equity Fund were less than $1,000 for the six months ended September 30, 2020 and the fiscal year ended March 31, 2020. These amounts are included in Payments for Shares Redeemed in Note 8—Capital Share Transactions. The impact from redemption fees paid to the Fund was less than $0.001 per share for both periods.

I) DISTRIBUTIONS TO SHAREHOLDERS Distributions of dividends from net investment income, if any, are declared and paid as follows:


		DECLARATION AND PAYMENT FREQUENCY

Income Equity		Monthly

International Equity		Annually

Large Cap Core		Quarterly

Large Cap Value		Annually

Small Cap Core		Annually

Small Cap Value		Annually


		DECLARATION AND PAYMENT FREQUENCY

U.S. Quality ESG		Quarterly

Distributions of net realized capital gains, if any, are declared and paid at least annually. Distributions to shareholders are recorded on the ex-dividend date.

Income dividends and capital gains distributions are determined in accordance with federal income tax regulations. Such amounts may differ from income and capital gains recorded in accordance with U.S. GAAP. Accordingly, the Funds may periodically make reclassifications among certain of their capital accounts to reflect differences between financial reporting and federal income tax basis distributions. These reclassifications are reported in order to reflect the tax treatment for certain permanent differences that exist between income tax regulations and U.S. GAAP. These reclassifications may relate to net operating losses, Section 988 currency gains and losses, Passive Foreign Investment Companies (“PFICs”) gains and losses, recharacterization of dividends received from investments in REITs, expired capital loss carryforwards, and gains or losses on in-kind transactions. These reclassifications have no impact on the total net assets or the NAVs per share of the Funds. At March 31, 2020, the following reclassifications were recorded:


Amounts in thousands	UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)			ACCUMULATED UNDISTRIBUTED NET REALIZED GAINS (LOSSES)

International Equity		$ 182			$(182	)

Small Cap Core		267			(267	)

Small Cap Value		(1,701	)		1,701

J) FEDERAL INCOME TAXES No provision for federal income taxes has been made since each Fund’s policy is to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute, each year, substantially all of its taxable income and capital gains to its shareholders.

For the period from November 1, 2019 through March 31, 2020, the following Funds incurred net capital losses and/or late year ordinary losses for which the Fund intends to treat as having been incurred in the following fiscal year:


Amounts in thousands

Income Equity	$	626

Large Cap Core		1,125

Small Cap Value		36,806

effective for the Funds for the fiscal year ended March 31, 2012. Consequently, capital losses incurred by the Funds in taxable years beginning with the taxable year ended March 31, 2012 can be carried forward for an unlimited period. However, capital losses incurred by the Funds in taxable years beginning before the taxable year ended March 31, 2012 with an expiration date may not be used to offset capital gains until all net capital losses incurred in taxable years beginning with the taxable year ended March 31, 2012 without an expiration date have been utilized. As a result, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses instead of as short-term capital losses as under prior law. The Funds’ ability to utilize capital loss carryforwards in the future may be limited under the Code and related regulations based on the results of future transactions.

During the fiscal year ended March 31, 2020, the Large Cap Value Fund utilized approximately $1,239,000 in capital loss carryforwards.

Capital losses incurred that will be carried forward indefinitely under the provisions of the Act are as follows:

Post-enactment losses


Amounts in thousands	SHORT-TERM CAPITAL LOSS CARRYFORWARD		LONG-TERM CAPITAL LOSS CARRYFOWARD

International Equity		$ 14,978		$ 19,149

Large Cap Value		–		2,361

Small Cap Core		2,190		–

U.S. Quality ESG		702		–

At March 31, 2020, the tax components of undistributed net investment income, undistributed realized gains and unrealized gains (losses) were as follows:


	UNDISTRIBUTED
Amounts in thousands	ORDINARY INCOME*		LONG-TERM CAPITAL GAINS		UNREALIZED GAINS (LOSSES)

Income Equity	$	65	$	–	$	13,275

International Equity		5,764		–		(34,504	)

Large Cap Core		94		–		17,907

Large Cap Value		710		–		(14,922	)

Small Cap Core		3,469		–		37,476

Small Cap Value		6,576		–		(150,585	)

U.S. Quality ESG		10		–		(9,400	)

*	Ordinary income includes taxable market discount income and short-term capital gains, if any.

The tax character of distributions paid during the fiscal year ended March 31, 2020, was as follows:


	DISTRIBUTIONS FROM
Amounts in thousands	ORDINARY INCOME*		LONG-TERM CAPITAL GAINS

Income Equity		$ 3,527		$ 12,000

International Equity		6,938		–

Large Cap Core		4,473		5,400

Large Cap Value		1,500		–

Small Cap Core		3,428		25,869

Small Cap Value		38,800		170,000

U.S. Quality ESG		1,598		425

*	Ordinary income includes taxable market discount income and short-term capital gains, if any.

The tax character of distributions paid during the fiscal year ended March 31, 2019, was as follows:


	DISTRIBUTIONS FROM
Amounts in thousands	ORDINARY INCOME*		LONG-TERM CAPITAL GAINS

Income Equity		$ 4,786		$ 21,474

International Equity		5,000		–

Large Cap Core		4,363		2,200

Large Cap Value		1,300		–

Small Cap Core		2,724		2,175

Small Cap Value		21,227		270,107

U.S. Quality ESG		480		252

*	Ordinary income includes taxable market discount income and short-term capital gains, if any.

As of March 31, 2020, no Fund had uncertain tax positions that would require financial statement recognition or disclosure. The Funds’ federal tax returns remain subject to examination by the Internal Revenue Service for three years after they are filed. Interest or penalties incurred, if any, on future unknown, uncertain tax positions taken by the Funds will be recorded as interest expense and other expenses, respectively, on the Statements of Operations.

K) OTHER RISKS Certain Funds may invest in emerging market securities. Additional risks are involved when a Fund invests its assets in countries with emerging economies or securities markets. These countries generally are located in the Asia and Pacific regions, the Middle East, Eastern Europe, Central America, South America and Africa. Political and economic structures in many of these countries may lack the social, political and economic stability characteristics of more developed countries. In general, the securities markets of these countries are less liquid, subject to

greater price volatility and have smaller market capitalizations. As a result, the risks presented by investments in these countries are heightened.

3. SERVICE PLAN

The Trust has adopted a Service Plan pursuant to which the Trust may enter into agreements with Northern Trust, its affiliates or other institutions (together “Service Organizations”) under which the Service Organizations agree to provide certain administrative support services and, in some cases, personal and account maintenance services for their customers, who are beneficial owners of shares of the Funds. As compensation for services provided pursuant to the Service Plan, the Service Organizations receive a fee at an annual rate of up to 0.15 percent of the average daily net assets of the Shares class of the Funds beneficially owned by their customers.

Effective July 31, 2020, Service Organizations may receive fees from Class I shares of the Small Cap Core and U.S. Quality ESG Funds at an annual rate of up to 0.15% of the average daily NAV of Class I shares of these Funds beneficially owned by such clients. NTI has contractually agreed to limit payments of service fees from Class I shares of the Small Cap Core and U.S. Quality ESG Funds to an annual rate of 0.10% of the average NAV of the Class I shares of these Funds. There is no service fee payable by Class K shares of the Small Cap Core and U.S. Quality ESG Funds.

There were no shareholder servicing fees paid by the Funds to Northern Trust or its affiliates during the six months ended September 30, 2020.

Service Plan expenses, if any, are included in the Statements of Operations under Shareholder servicing fees for the six months ended September 30, 2020.

4. BANK BORROWINGS

The Trust and Northern Institutional Funds, a registered investment company also advised by NTI, jointly entered into a $250,000,000 senior unsecured revolving credit facility on November 18, 2019, which is administered by Citibank, N.A., for liquidity and other purposes (the “Credit Facility”). The interest rate charged under the Credit Facility is equal to the sum of (i) the Federal Funds Rate plus (ii) if the one month London Interbank Offered Rate (“LIBOR”) on the date of borrowing exceeded such Federal Funds Rate, the amount by which it so exceeded, plus (iii) 1.00 percent. In addition, there is an annual commitment fee of 0.15 percent on the unused portion of the credit line under the Credit Facility, payable quarterly in arrears, which is included in Other expenses on the Statements of Operations.

interest rate charged under the New Credit Facility is equal to the sum of (i) the Federal Funds Rate plus (ii) if the one month LIBOR on the date of borrowing exceeded such Federal Funds Rate, the amount by which it so exceeded, plus (iii) 1.25 percent. In addition, there is an annual commitment fee of 0.15 percent on the unused portion of the credit line under the New Credit Facility, payable quarterly in arrears. The New Credit Facility is anticipated to go into effect on November 16, 2020 and will expire on November 15, 2021, unless renewed.

During the six months ended September 30, 2020, the following Funds had borrowings with the average loan amounts and weighted average interest rates as disclosed below:


Amounts in thousands	DOLLAR AMOUNT		RATE

Income Equity	$	600		1.15	%

International Equity		1,788		1.36

Small Cap Core		200		1.17

No other Fund had any borrowings or incurred any interest expense during the six months ended September 30, 2020. There were no outstanding loan amounts at September 30, 2020.

5. MANAGEMENT AND OTHER AGREEMENTS

As compensation for advisory and administration services and the assumption of related expenses, NTI is entitled to a management fee, computed daily and payable monthly, at annual rates set forth in the table below (expressed as a percentage of each Fund’s respective average daily net assets).

NTI has contractually agreed to reimburse a portion of the operating expenses (other than certain excepted expenses, i.e., acquired fund fees and expenses, service fees for the Small Cap Core Fund (effective July 31, 2020), the compensation paid to each independent Trustee of the Trust, expenses of third-party consultants engaged by the Board, membership dues paid to the Investment Company Institute and Mutual Fund Directors Forum, expenses in connection with the negotiation and renewal of the revolving credit facility, extraordinary expenses and interest) of each Fund except for the U.S. Quality ESG Fund, for which NTI has contractually agreed to reimburse a portion of operating expenses (other than service fees effective July 31, 2020 and extraordinary expenses) of the Fund, as shown on the accompanying Statements of Operations, to the extent the total annual fund operating expenses of the Funds exceed the expense limitations set forth below. The total annual fund operating expenses after expense reimbursement for each Fund may be higher than the contractual limitation as a result of certain excepted expenses that are not reimbursed. The amount of the reimbursement is included in Less expenses reimbursed by investment adviser as a reduction to Total Expenses in the Statements of Operations.

At September 30, 2020, the annual management fees and contractual expense limitations for the Funds were based on the following annual rates as set forth in the table below.


	CONTRACTUAL
	ANNUAL MANAGEMENT FEES			EXPENSE LIMITATIONS

International Equity		0.48	%		0.50	%

Large Cap Core		0.44	%		0.45	%

Large Cap Value		0.53	%		0.55	%

Small Cap Value		0.95	%		1.00	%


	CONTRACTUAL ANNUAL
	MANAGEMENT FEES									CONTRACTUAL
	FIRST $1 BILLION			NEXT $1 BILLION			OVER $2 BILLION			EXPENSE LIMITATIONS

Income Equity		0.95	%		0.922	%		0.894	%		1.00	%


	CONTRACTUAL
	ANNUAL MANAGEMENT FEES			EXPENSE LIMITATIONS

Small Cap Core⁽¹⁾		0.47	%		0.49	%

U.S. Quality ESG⁽²⁾		0.37	%		0.39	%

⁽¹⁾

Prior to July 31, 2020, the Small Cap Core Fund’s contractual management fee rate was 0.63% of the Fund’s average daily net assets and the contractual expense limitation for the Fund was based on an annual rate of 0.65%.

⁽²⁾

Prior to July 31, 2020, the U.S. Quality ESG Fund’s contractual management fee rate was 0.41% of the Fund’s average daily net assets and the contractual expense limitation for the Fund was based on an annual rate of 0.43%.

The contractual reimbursement arrangements of each Fund are expected to continue until at least July 31, 2021. The contractual reimbursement arrangements will continue automatically for periods of one year (each such one-year period, a “Renewal Year”). The arrangement may be terminated, as to any succeeding Renewal Year, by NTI or a Fund upon 60 days’ written notice prior to the end of the current Renewal Year. The Board may terminate the contractual arrangements at any time with respect to a Fund if it determines that it is in the best interest of the Fund and its shareholders.

In addition, NTI has contractually agreed to reimburse certain additional expenses that may be excepted expenses.

As compensation for services rendered as transfer agent, including the assumption by Northern Trust of the expenses related thereto, Northern Trust receives a fee, computed daily and payable monthly, at an annual rate of 0.0385 percent of the average daily net assets of each Fund.

For compensation as custodian, Northern Trust receives an amount based on a pre-determined schedule of charges approved by the Board. The Funds have entered into an expense offset arrangement with the custodian whereby credits realized as a result of uninvested cash balances are used to reduce a portion of the Funds’ custodian expenses, unless such uninvested cash balances receive a separate type of return.

Northern Funds Distributors, LLC, the distributor for the Funds, received no compensation from the Funds under its distribution agreement. However, it received compensation from NTI for its services as distributor pursuant to a separate letter agreement between it and NTI.

Certain officers of the Trust are also officers of Northern Trust and NTI. All officers serve without compensation from the Funds. The Trust provided a deferred compensation plan for its Trustees who are not officers of Northern Trust or NTI. Prior to August 22, 2013, under the deferred compensation plan, Trustees may have elected to defer all or a portion of their compensation. Effective August 22, 2013, the Trustees may no longer defer their compensation. Any amounts deferred and invested under the plan shall remain invested pursuant to the terms of the plan. Each Trustee’s account shall be deemed to be invested in shares of the U.S Government Portfolio of Northern Institutional Funds and/or the Global Tactical Asset Allocation Fund of the Trust and/or at the discretion of the Trust, another money market fund selected by the Trust that complies with the provisions of Rule 2a-7 under the 1940 Act or one or more short-term fixed-income instruments selected by the Trust that are “eligible securities” as defined by that rule. The net investment income, gains and losses achieved by such deemed investment shall be credited to the Trustee’s account as provided in the plan.

6. RELATED PARTY TRANSACTIONS

Each Fund may invest its uninvested cash in a money market fund advised by NTI or its affiliates. Accordingly, each Fund bears indirectly a proportionate share of that money market fund’s operating expenses. These operating expenses include the management, transfer agent and custody fees that the money market fund pays to NTI and/or its affiliates. At September 30, 2020, the uninvested cash of the Funds is invested in the Northern Institutional Funds U.S. Government Portfolio (the “Portfolio”). The total annual portfolio operating expenses after expense reimbursement (other than certain excepted expenses as described in the fees and expenses table of the Portfolio’s prospectus) on any assets invested in the Portfolio is 0.25%. However, to the extent of any duplicative advisory fees, NTI will reimburse each Fund for a portion of the management fees attributable to and payable by the

Funds for advisory services on any assets invested in an affiliated money market fund. This reimbursement is included in Less expenses reimbursed by the investment adviser as a reduction to Total Expenses in the Statements of Operations. This reimbursement’s impact on each Fund’s net expense and net investment income ratios is included in each Fund’s Financial Highlights.

The Funds are permitted to purchase and sell securities from or to certain affiliated funds or portfolios under specified conditions outlined in Rule 17a-7 Procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price as defined in the Rule 17a-7 Procedures. For the six months ended September 30, 2020, the Funds did not engage in any purchases and/or sales of securities from an affiliated entity.

7. INVESTMENT TRANSACTIONS

For the six months ended September 30, 2020, the aggregate costs of purchases and proceeds from sales of securities (excluding short-term investments) for the Funds were as follows:

PURCHASES

SALES

Amounts in thousands

U.S. GOVERNMENT

OTHER

U.S. GOVERNMENT

OTHER

Income Equity

$–

$ 36,338

$–

$ 48,958

International Equity

–

26,719

–

70,922

Large Cap Core

–

56,654

–

44,290

Large Cap Value

–

14,279

–

16,384

Small Cap Core

–

100,306

–

132,130

Small Cap Value

–

435,008

–

480,613

U.S. Quality ESG

–

66,133

–

21,993

The difference between book basis and tax basis net unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, deferral of post-October currency and capital losses for tax purposes, and the recharacterization of income recognition on investments in REITs and PFICs.

At September 30, 2020, for federal income tax purposes, gross unrealized appreciation, gross unrealized depreciation, net unrealized appreciation (depreciation) on investments (including

the effects of foreign currency translation and derivative instruments, if any) and the cost basis of investments (including derivative instruments, if any) were as follows:


Amounts in thousands	UNREALIZED APPRECIATION			UNREALIZED DEPRECIATION				NET APPRECIATION (DEPRECIATION)				COST BASIS OF INVESTMENTS

Income Equity		$	34,368		$	(2,032	)		$	32,336			$	98,718

International Equity			9,824			(12,289	)			(2,465	)			93,299


Amounts in thousands	UNREALIZED APPRECIATION			UNREALIZED DEPRECIATION				NET APPRECIATION (DEPRECIATION)				COST BASIS OF INVESTMENTS

Large Cap Core		$	63,585		$	(5,886	)		$	57,699			$	162,467

Large Cap Value			4,166			(6,822	)			(2,656	)			54,888

Small Cap Core			120,628			(20,251	)			100,377				287,328

Small Cap Value			450,995			(459,225	)			(8,230	)			2,220,296

U.S. Quality ESG			31,237			(5,419	)			25,818				160,546

8. CAPITAL SHARE TRANSACTIONS

Transactions in Shares for the six months ended September 30, 2020, were as follows:


Amounts in thousands	SHARES SOLD		PROCEEDS FROM SHARES SOLD			SHARES FROM REINVESTED DIVIDENDS		REINVESTMENTS OF DIVIDENDS			SHARES REDEEMED			PAYMENTS FOR SHARES REDEEMED				NET INCREASE (DECREASE) IN SHARES			NET INCREASE (DECREASE) IN NET ASSETS

Income Equity		409		$	5,179		82		$	1,017		(1,654	)		$	(20,034	)		(1,163	)		$	(13,838	)

International Equity		364			2,751		–			–		(6,543	)			(50,140	)		(6,179	)			(47,389	)

Large Cap Core		1,332			26,665		79			1,563		(815	)			(15,547	)		596				12,681

Large Cap Value		230			3,217		–			–		(442	)			(6,478	)		(212	)			(3,261	)

Small Cap Core *		1,017			21,041		–			–		(19,545	)			(451,334	)		(18,528	)			(430,293	)

Small Cap Value		17,016			256,046		–			–		(31,372	)			(466,136	)		(14,356	)			(210,090	)

U.S. Quality ESG *		3,255			38,828		3			36		(13,632	)			(176,744	)		(10,374	)			(137,880	)

Shares class of the Small Cap Core Fund and U.S. Quality ESG Fund ceased operations on July 31, 2020.

Transactions in capital shares for the fiscal year ended March 31, 2020, were as follows:


Amounts in thousands	SHARES SOLD		PROCEEDS FROM SHARES SOLD			SHARES FROM REINVESTED DIVIDENDS		REINVESTMENTS OF DIVIDENDS			SHARES REDEEMED			PAYMENTS FOR SHARES REDEEMED				NET INCREASE (DECREASE) IN SHARES			NET INCREASE (DECREASE) IN NET ASSETS

Income Equity		853		$	11,215		1,029		$	13,735		(5,287	)		$	(66,542	)		(3,405	)		$	(41,592	)

International Equity		925			7,805		119			1,126		(5,694	)			(48,699	)		(4,650	)			(39,768	)

Large Cap Core		773			15,144		423			8,358		(3,854	)			(73,541	)		(2,658	)			(50,039	)

Large Cap Value		494			8,307		80			1,432		(2,222	)			(37,208	)		(1,648	)			(27,469	)

Small Cap Core		3,545			87,363		1,008			26,505		(4,062	)			(97,291	)		491				16,577

Small Cap Value		39,343			707,015		9,821			202,616		(42,589	)			(808,797	)		6,575				100,834

U.S. Quality ESG		7,433			85,305		46			562		(529	)			(6,278	)		6,950				79,589

Transactions in Class K shares for the period ended September 30, 2020, were as follows:


Amounts in thousands	SHARES SOLD			PROCEEDS FROM SHARES SOLD				SHARES FROM REINVESTED DIVIDENDS		REINVESTMENTS OF DIVIDENDS			SHARES REDEEMED			PAYMENTS FOR PAYMENTS FOR SHARES REDEEMED				NET INCREASE (DECREASE) IN SHARES		NET INCREASE (DECREASE) IN NET ASSETS

Small Cap Core*		9,304	**		$	218,188	**		–		$	–		(394	)		$	(9,562	)		8,910		$	208,626

U.S. Quality ESG*		14,166	***			184,591	***		2			28		(246	)			(3,288	)		13,922			181,331

Commenced class operations on July 31, 2020.

Amounts include shares of approximately 8,648,000 and proceeds of approximately $202,885,000 for the Small Cap Core Fund which was transferred due to the conversion of the Shares Class to Class K. The transfer was completed on July 31, 2020.

***	Amounts include shares of approximately 13,262,000 and proceeds of approximately $172,453,000 for the U.S. Quality ESG Fund which was transferred due to the conversion of the Shares Class to Class K. The transfer was completed on July 31, 2020.

Transactions in Class I shares for the period ended September 30, 2020, were as follows:


Amounts in thousands	SHARES SOLD			PROCEEDS FROM SHARES SOLD				SHARES FROM REINVESTED DIVIDENDS		REINVESTMENTS OF DIVIDENDS			SHARES REDEEMED			PAYMENTS FOR SHARES REDEEMED				NET INCREASE (DECREASE) IN SHARES		NET INCREASE (DECREASE) IN NET ASSETS

Small Cap Core*		8,560	**		$	201,079	**		–		$	–		(993	)		$	(23,380	)		7,567		$	177,699

U.S. Quality ESG***		4				61			–			–		–				–			4			61

*	Commenced class operations on July 31, 2020.

**	Amounts include shares of approximately 8,230,000 and proceeds of approximately $193,126,000 for the Small Cap Core Fund which was transferred due to the conversion of the Shares Class to Class I. The transfer was completed on July 31, 2020.

***	Commenced class operations on August 24, 2020.

9. INVESTMENTS IN AFFILIATES

Transactions in affiliated investments for the six months ended September 30, 2020, were as follows:


Amounts in thousands except shares	AFFILIATE	VALUE, BEGINNING OF PERIOD			PURCHASES			SALES PROCEEDS			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)			NET REALIZED GAINS (LOSSES)			DIVIDEND INCOME				VALUE, END OF PERIOD			SHARES, END OF PERIOD

Income Equity	Northern Institutional Funds - U.S. Government Portfolio (Shares)		$	1,766		$	10,809		$	11,363		$	–		$	–		$	1			$	1,212		1,211,557

International Equity	Northern Institutional Funds - U.S. Government Portfolio (Shares)			1,535			14,911			16,180			–			–			1				266		265,838

Large Cap Core	Northern Institutional Funds - U.S. Government Portfolio (Shares)			2,974			17,021			17,855			–			–			1				2,140		2,140,116

Large Cap Value	Northern Institutional Funds - U.S. Government Portfolio (Shares)			776			4,339			4,657			–			–			–	*			458		457,856

Small Cap Core	Northern Institutional Funds - U.S. Government Portfolio (Shares)			11,389			35,226			41,263			–			–			3				5,352		5,351,934

Small Cap Value	Northern Institutional Funds - U.S. Government Portfolio (Shares)			136,890			173,115			272,792			–			–			42				37,213		37,213,042

U.S. Quality ESG	Northern Institutional Funds - U.S. Government Portfolio (Shares)			536			47,616			48,082			–			–			1				70		70,090

*	Amount rounds to less than one thousand.

10. DERIVATIVE INSTRUMENTS

Information concerning the types of derivatives in which the Funds invest, the objectives for using them and their related risks can be found in Note 2.

Below are the types of derivatives by primary risk exposure as presented in the Statements of Assets and Liabilities as of September 30, 2020:

ASSETS

LIABILITIES

Amounts in thousands

CONTRACT TYPE

STATEMENTS OF

ASSETS LOCATION

VALUE

STATEMENTS OF
LIABILITIES LOCATION

VALUE

Income Equity

Equity contracts

Net Assets - Net unrealized appreciation

$ –

Net Assets - Net unrealized depreciation

Equity contracts

Outstanding options written, at value

(21

)

International Equity

Equity contracts

Net Assets - Net unrealized appreciation

Net Assets - Net unrealized depreciation

(36

Large Cap Core

Equity contracts

Net Assets - Net unrealized appreciation

23*

Net Assets - Net unrealized depreciation

–

Large Cap Value

Equity contracts

Net Assets - Net unrealized appreciation

Net Assets - Net unrealized depreciation

–

Small Cap Core

Equity contracts

Net Assets - Net unrealized appreciation

–

Net Assets - Net unrealized depreciation

(20

Small Cap Value

Equity contracts

Net Assets - Net unrealized appreciation

18*

Net Assets - Net unrealized depreciation

–

Includes cumulative appreciation/depreciation on futures contracts as reported in the Schedules of Investments’ footnotes. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.

The following tables set forth by primary risk exposure the Funds’ realized gains (losses) and change in unrealized appreciation (depreciation) by type of derivative contract for the six months ended September 30, 2020:


		AMOUNT OF REALIZED GAIN (LOSS) ON DERIVATIVE CONTRACTS

Amounts in thousands	CONTRACT TYPE	STATEMENTS OF OPERATIONS LOCATION	VALUE

Income Equity	Equity contracts	Net realized gains (losses) on futures contracts	$	525

	Equity contracts	Net realized gains (losses) on options written		352

International Equity	Equity contracts	Net realized gains (losses) on futures contracts		719

Large Cap Core	Equity contracts	Net realized gains (losses) on futures contracts		982

Large Cap Value	Equity contracts	Net realized gains (losses) on futures contracts		281

Small Cap Core	Equity contracts	Net realized gains (losses) on futures contracts		2,918

Small Cap Value	Equity contracts	Net realized gains (losses) on futures contracts		29,782

U.S. Quality ESG	Equity contracts	Net realized gains (losses) on futures contracts		261


		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVE CONTRACTS

Amounts in thousands	CONTRACT TYPE	STATEMENTS OF OPERATIONS LOCATION	VALUE

Income Equity	Equity contracts	Net change in unrealized appreciation (depreciation) on futures contracts	$	(192	)

	Equity contracts	Net change in unrealized appreciation (depreciation) on options written		(30	)

International Equity	Equity contracts	Net change in unrealized appreciation (depreciation) on futures contracts		(385	)

Large Cap Core	Equity contracts	Net change in unrealized appreciation (depreciation) on futures contracts		(92	)

Large Cap Value	Equity contracts	Net change in unrealized appreciation (depreciation) on futures contracts		(35	)

Small Cap Core	Equity contracts	Net change in unrealized appreciation (depreciation) on futures contracts		(545	)

Small Cap Value	Equity contracts	Net change in unrealized appreciation (depreciation) on futures contracts		(3,898	)

U.S. Quality ESG	Equity contracts	Net change in unrealized appreciation (depreciation) on futures contracts		(34	)

Volume of derivative activity for the six months ended September 30, 2020*:


	EQUITY CONTRACTS
	NUMBER OF TRADES		AVERAGE NOTIONAL AMOUNT**

Income Equity		58		$ 524

International Equity		125		394

Large Cap Core		54		372

Large Cap Value		17		265

Small Cap Core		49		994

Small Cap Value		77		3,394

U.S. Quality ESG		25		654

*	Activity for the period is measured by number of trades during the period and average notional amount for futures and written option equity contracts.

**	Amounts in thousands.

11. INDEMNIFICATIONS AND WARRANTIES

In the ordinary course of their business, the Funds may enter into contracts or agreements that contain indemnifications or warranties. Future events could occur that lead to the execution of these provisions against the Funds. The maximum exposure to the Funds under these provisions is unknown, as this would involve future claims that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and believe the risk of loss to be remote.

12. LEGAL PROCEEDINGS

In 2007, the Large Cap Core Fund and the Large Cap Value Fund were shareholders of the Tribune Company (“Tribune”). In December of 2007, as a part of a leveraged buy-out transaction (the “LBO”), Tribune was converted from a public company to a privately-held company. Tribune later filed for bankruptcy. On December 7, 2010, Northern Funds was named as a defendant and a putative member of the proposed defendant class of shareholders named in an adversary proceeding (the “Committee Action”) brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune’s bankruptcy proceeding. On June 2, 2011, a second suit was initiated by certain creditors of Tribune in the Delaware Superior Court with respect to claims related to the LBO (Niese et al.v. A.G.Edwards, Inc. et al.), in which Northern Funds was named as a defendant. On June 2, 2011, the indenture trustees, on behalf of certain noteholders of Tribune, filed a third suit and named Northern Funds as a defendant in the U.S. District Court for the Northern District of Illinois (Deutsche Bank Trust Co. et al. v. Ohlson Enterprises et al.) and a fourth suit named Northern Funds as a defendant in the U.S. District Court for the Southern District of New York (Deutsche Bank Trust Co. et al. v. Sirius International Insurance Corp. et al.). Each of these cases, along

with others brought by the indenture trustees and other individual creditors, has now been consolidated into a Multi-District Litigation proceeding in the Southern District of New York (the “District Court”). The cases attempt to “clawback” the proceeds paid out in connection with the LBO. The Tribune bankruptcy plan was confirmed by the U.S. Bankruptcy Court on July 23, 2012, and became effective on December 31, 2012.

The former shareholder defendants filed motions to dismiss, each of which was granted by the District Court. The District Court’s order dismissing the actions by the individual creditors was affirmed on appeal by the Second Circuit Court of Appeals (the “Second Circuit Decision”). The Plaintiffs in the individual creditor actions filed a Petition for Writ of Certiorari requesting review of the Second Circuit Decision by the United States Supreme Court; however, the Supreme Court issued a statement indicating a potential lack of a quorum and informing the parties that the Second Circuit or District Court could provide relief based on the Supreme Court decision in Merit Management Group, LP v. FTI Consulting, Inc. The Plaintiffs filed a motion with the Second Circuit to recall the mandate and vacate the Second Circuit decision, and the Second Circuit recalled the mandate on May 15, 2018. On December 19, 2019, the Second Circuit issued an amended decision that affirmed dismissal of the constructive fraudulent transfer claims, holding that the safe harbor of Section 546(e) of the Bankruptcy Code applies. On February 6, 2020, the Second Circuit denied plaintiffs’ petition for a rehearing en banc. Plaintiffs filed a Writ of Certiorari with the United States Supreme Court on July 6, 2020 to seek review of the Second Circuit’s amended decision. Defendants filed an opposition brief on August 26, 2020, and plaintiffs filed a reply brief on September 8, 2020. On October 5, 2020, the Supreme Court invited the Acting Solicitor General to file a brief expressing the views of the United States.

The motion to dismiss the Committee Action was also granted by the District Court. The Plaintiff in the Committee Action also sought from the District Court leave to amend the complaint with an additional claim for constructive fraudulent transfer based upon the decision in Merit Management. The motion for leave to amend was denied on April 23, 2019. On June 13, 2019, the District Court entered a final judgment on the claim dismissed. On July 12, 2019, the Trustee filed a notice of appeal stating that it was appealing the final judgment and the April 23, 2019 decision and related orders to the Second Circuit Court of Appeals. The appeal was fully briefed, and argument on the appeal took place on August 24, 2020. The Second Circuit has not yet issued a decision.

The value of the proceeds received by the Large Cap Core Fund and the Large Cap Value Fund in the LBO was approximately $308,000 and $26,520,000, respectively. The Funds cannot predict the outcome of these proceedings, but an adverse decision could have a material impact on the Funds’ net asset value. The Funds intend to vigorously defend these actions.

On or about February 14, 2020, Marc S. Kirschner, as Trustee for NWHI Litigation Trust (“Litigation Trustee”) and Wilmington Savings Fund Society, FSB, as indenture Trustee (“Indenture Trustee”) for several series of notes issued by Nine West Holdings, Inc. (“Nine West”), filed separate complaints (docket nos. 20-cv-01129 and 20-cv-01136, respectively ) in the United States District Court for the Northern District of Illinois against a group of defendants that includes three Northern Funds that had invested in The Jones Group Inc. (“Jones Group”) including the Small Cap Core Fund and Small Cap Value Fund (together, the “Funds”). The claim stems from a series of merger transactions (“Transactions”) entered into by Jones Group, Nine West and others in 2014 that allegedly rendered Jones Group insolvent. The matters in these proceedings have been transferred from the United States District Court for the Northern District of Illinois to the United States District Court for the Southern District of New York to centralize the litigation, and have been assigned to the Honorable Jed S. Rakoff for coordinated or consolidated pretrial proceedings. The Funds allegedly received the following amounts as a result of the Transactions: Small Cap Core Fund ($134,265) and Small Cap Value Fund ($4,010,685). The Litigation Trustee and Indenture Trustee seek to clawback these proceeds for the benefit of the Trust and the noteholders, respectively, on the basis that they were fraudulent conveyances. The Funds intend to vigorously defend themselves against this action.

13. LIBOR TRANSITION

and certain other Reference Rates after 2021. Such announcement indicates that the continuation of LIBOR and other Reference Rates on the current basis cannot and will not be guaranteed after 2021. The transition away from Reference Rates may lead to increased volatility and illiquidity in markets that are tied to such Reference Rates and reduced values of Reference Rate-related instruments. This announcement and any additional regulatory or market changes that occur as a result of the transition away from Reference Rates may have an adverse impact on a Fund’s investments, performance or financial condition.

14. CORONAVIRUS (COVID-19) PANDEMIC

An outbreak of respiratory disease caused by a novel coronavirus was first detected in December 2019 and has spread internationally. The outbreak and efforts to contain its spread have resulted in closing borders and quarantines, restricting international and domestic travel, enhanced health screenings, cancelations, disrupted supply chains and customer activity, responses by businesses (including changes to operations and reducing staff), and have produced general concern and uncertainty. The impact of the coronavirus pandemic, and other epidemics and pandemics that may arise in the future could adversely affect national and global economies, individual companies and the market in general in a manner and for a period of time that cannot be foreseen at the present time and may adversely affect the value, volatility and liquidity of dividend and interest paying securities. In the event of a pandemic or an outbreak, there can be no assurance that the Funds and their service providers will be able to maintain normal business operations for an extended period of time or will not lose the services of key personnel on a temporary or long-term basis due to illness or other reasons, and could otherwise disrupt the ability of the Funds’ service providers to perform essential services. Certain economic and market conditions arising out of a pandemic or outbreak could result in a Fund’s inability to achieve its investment objectives, cause the postponement of reconstitution or rebalance dates for benchmark indices, adversely affect the prices and liquidity of the securities and other instruments in which a Fund invests, negatively impact a Fund’s performance, and cause losses on your investment in a Fund. Management is monitoring the development of the pandemic, which was ongoing as of the date of the financial statements, and is evaluating its impact on the financial position and operating results of the Funds.

15. SUBSEQUENT EVENTS

Management has evaluated subsequent events for the Funds through the date the financial statements were issued, and has concluded that there are no recognized or non-recognized subsequent events relevant for financial statement disclosure, other than the New Credit Facility disclosed in Note 4 - Bank Borrowings.

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, if any, including redemption fees on certain exchanges and redemptions in the International Equity Fund; and (2) ongoing costs, including management fees and other fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period, April 1, 2020 through September 30, 2020.

ACTUAL EXPENSES

The first line of the tables below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled Expenses Paid 4/1/2020 - 9/30/2020 to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The second line in the tables below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5 percent per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5 percent hypothetical example with the 5 percent hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), redemption fees, or exchange fees or other costs such as advisory fees related to affiliated money market fund investments, but shareholders of other funds may incur such costs. For example, the information does not reflect redemption fees (See page 73), if any, in the International Equity Fund. If these fees were included, your costs would have been higher. The information also does not reflect reimbursements of advisory fees incurred in connection with the investment of uninvested cash in affiliated money market funds (See page 77), which may result in different expense ratios in the Financial Highlights. Therefore, the hypothetical information is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.



INCOME EQUITY
SHARES	EXPENSE RATIO			BEGINNING ACCOUNT VALUE 4/1/2020		ENDING ACCOUNT VALUE 9/30/2020		EXPENSES PAID* 4/1/2020- 9/30/2020

Actual		1.01	%		$1,000.00		$1,276.80		$5.75

Hypothetical		1.01	%		$1,000.00		$1,019.95		$5.10

INTERNATIONAL EQUITY
SHARES	EXPENSE RATIO			BEGINNING ACCOUNT VALUE 4/1/2020		ENDING ACCOUNT VALUE 9/30/2020		EXPENSES PAID* 4/1/2020- 9/30/2020

Actual		0.53	%		$1,000.00		$1,182.10		$2.89

Hypothetical		0.53	%		$1,000.00		$1,022.35		$2.68

LARGE CAP CORE
SHARES	EXPENSE RATIO			BEGINNING ACCOUNT VALUE 4/1/2020		ENDING ACCOUNT VALUE 9/30/2020		EXPENSES PAID* 4/1/2020- 9/30/2020

Actual		0.46	%		$1,000.00		$1,274.00		$2.62

Hypothetical		0.46	%		$1,000.00		$1,022.70		$2.33

LARGE CAP VALUE
SHARES	EXPENSE RATIO			BEGINNING ACCOUNT VALUE 4/1/2020		ENDING ACCOUNT VALUE 9/30/2020		EXPENSES PAID* 4/1/2020- 9/30/2020

Actual		0.57	%		$1,000.00		$1,213.20		$3.15

Hypothetical		0.57	%		$1,000.00		$1,022.15		$2.88

SMALL CAP CORE
	EXPENSE RATIO			BEGINNING ACCOUNT VALUE 4/1/2020		ENDING ACCOUNT VALUE 9/30/2020		EXPENSES PAID* 4/1/2020- 9/30/2020

Class K⁽¹⁾

Actual		0.49	%		$1,000.00		$ 999.60		$0.83

Hypothetical		0.49	%		$1,000.00		$1,022.55		$2.48

Class I⁽¹⁾

Actual		0.59	%		$1,000.00		$ 999.20		$1.00

Hypothetical		0.59	%		$1,000.00		$1,022.05		$2.98

SMALL CAP VALUE
SHARES	EXPENSE RATIO			BEGINNING ACCOUNT VALUE 4/1/2020		ENDING ACCOUNT VALUE 9/30/2020		EXPENSES PAID* 4/1/2020- 9/30/2020

Actual		1.00	%		$1,000.00		$1,169.60		$5.42

Hypothetical		1.00	%		$1,000.00		$1,020.00		$5.05

Expenses are calculated using the Funds’ annualized expense ratios, which represent ongoing expenses as a percentage of net assets for the six months ended September 30, 2020. Expenses are equal to the Funds’ annualized expense ratio multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).


U.S. QUALITY ESG
	EXPENSE RATIO			BEGINNING ACCOUNT VALUE 4/1/2020		ENDING ACCOUNT VALUE 9/30/2020		EXPENSES PAID* 4/1/2020- 9/30/2020

Class K⁽¹⁾

Actual		0.39	%	$	1,000.00	$	1,033.00	$	0.67

Hypothetical		0.39	%	$	1,000.00	$	1,023.05	$	1.97

Class I⁽²⁾

Actual		0.49	%	$	1,000.00	$	983.00	$	0.50

Hypothetical		0.49	%	$	1,000.00	$	1,022.55	$	2.48

⁽¹⁾

Commenced class operations on July 31, 2020. The actual expense example is based on the period since inception; the hypothetical example is based on the half-year beginning 4/1/2020.

⁽²⁾

Commenced class operations on August 24, 2020. The actual expense example is based on the period since inception; the hypothetical example is based on the half-year beginning 4/1/2020.

The Board of Trustees (the “Board” or the “Trustees”) of Northern Funds (the “Trust”) oversees the management of the Trust, including review of the investment performance and expenses of the investment funds covered by this Report (the “Funds”) at regularly scheduled meetings held during the Funds’ fiscal year. In addition, the Trustees determine annually whether to approve and continue the Trust’s management agreement (the “Management Agreement”) for the Funds with Northern Trust Investments, Inc. (“Northern”).

The Management Agreement was re-approved with respect to the Funds by the Board, including all of the Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of any party thereto (the “Independent Trustees”) voting separately, at the annual contract renewal meeting held on May 13-14, 2020 (the “Annual Contract Meeting”).⁽¹⁾

In advance of, and at, the Annual Contract Meeting, the Trustees received, considered and discussed a variety of information relating to the Management Agreement and Northern and its affiliates. This information included written materials and verbal presentations at an in-person Board meeting held on February 12-13, 2020 and a Board meeting held through videoconference and telephonically on April 29, 2020 (the “February and April Board Meetings”). At the Annual Contract Meeting, the Trustees considered these reports and presentations and discussed the information that had been provided. Throughout the process, the Trustees also asked questions of and requested additional information from management. In connection with their deliberations, the Independent Trustees met separately with and were advised by their independent legal counsel and received a memorandum from their independent legal counsel regarding their responsibilities under applicable law. They also met in executive sessions at the Annual Contract Meeting, and each of the other Board meetings, with their independent legal counsel without employees of Northern present.

In evaluating the Management Agreement, the Trustees reviewed the Funds’ Management Agreement. The Trustees also reviewed Northern’s reports and presentations and discussed with their independent counsel the information that had been provided to them at the February and April Board Meetings and at the Annual Contract Meeting, as well as their interactions with Northern throughout the year and in past years at various meetings. The Trustees noted that the evaluation process with respect to Northern and the Management Agreement was an ongoing one throughout the year. The materials reviewed by the Trustees included, without limitation: (i) information on the investment performance of the Funds in comparison to other mutual funds and benchmark indices; (ii) compliance reports; (iii) information about Northern’s and its affiliates’ risk management processes and business continuity and cyber-security programs; (iv) fees charged to and expenses borne by the Funds; (v) Northern’s profitability and costs and compensation paid to affiliates of Northern; (vi) the qualifications of Northern and its affiliates to provide services to

the Funds; (vii) information regarding purchases and redemptions of the Funds’ shares; (viii) policies adopted by Northern regarding brokerage, including soft dollars, trade allocations and other matters; and (ix) the nature of the Funds’ shareholders. The Trustees also considered the nature, quality and extent of non-advisory services provided to the Funds by Northern’s affiliates.

More specifically, the Trustees reviewed, among other things, information relating to: (i) the terms of the Management Agreement; (ii) the Funds’ investment performance over different time periods in comparison to the investment performance of mutual fund peer groups and categories selected by Broadridge, an independent third-party provider of mutual fund data; (iii) the contractual and net management fees and total expenses (after expense reimbursements and fee waivers) of the Funds in comparison to those borne by mutual fund peer groups and categories selected by Broadridge; (iv) the management fees charged to the Funds compared to the management fees charged by Northern to Northern’s other comparable institutional accounts; (v) Northern’s staffing for the Funds and the experience of the portfolio managers, credit research and other personnel; (vi) Northern’s financial resources and its ability to attract and retain portfolio management talent; (vii) Northern’s investments in technology to benefit the Funds; (viii) the fees paid by the Funds to Northern and its affiliates for services, and the expenses incurred by them in connection with the provision of those services; and (ix) the benefits received by Northern and its affiliates from their relationships with the Funds. The Trustees were provided with a description of the methodology Broadridge used to determine the similarity of the Funds with the funds included in their respective peer groups and peer universes. The Trustees also took into account factors such as conditions and trends prevailing generally in the economy, the securities markets, and the industry. In evaluating the Management Agreement for each of the Funds, the Trustees gave weight to various factors including those discussed below, but did not identify any single factor as controlling their decision, and each Trustee may have attributed different weight to different factors.

Nature, Extent and Quality of Services

The Trustees considered, as part of their review, the nature, quality and extent of the services provided by Northern. In this regard, they considered both the investment advisory services, and separately the administrative and other non-advisory services that are provided to the Funds by Northern and its affiliates. These services included acting as the Funds’ administrator and sub-administrator, custodian and transfer agent and providing other services necessary for the operation of the Funds and the Trust. The Trustees understood that the Management Agreement encompassed both the advisory and administrative functions being rendered by Northern and its affiliates. They considered the quality of Northern’s communications with and services to shareholders, as well as the expenditures made by Northern and its affiliates to improve the quality and scope of their services to

the Funds. The Trustees considered the strength of Northern’s and its affiliates’ risk management processes. The Trustees also reviewed the compliance and administrative services provided to the Funds by Northern and its affiliates, including its oversight of the Funds’ day-to-day operations and fund accounting. The Trustees also noted that on a regular basis they received and reviewed information from Trust’s Chief Compliance Officer regarding the Funds’ compliance policies and procedures pursuant to Rule 38a-1 under the 1940 Act. They also considered the quality of Northern’s compliance oversight program with respect to all of the Funds’ service providers and the continued involvement of Northern’s internal audit group in reviewing operations that support the Funds, as well as Northern’s responses to any compliance or operational issues raised during the year. The Trustees also took into account that the scope of services provided by Northern, and the undertakings required of Northern in connection with those services, including maintaining and monitoring their own and the Funds’ compliance programs, had expanded over time as a result of regulatory, market and other developments. They also considered Northern’s preparations with respect to the increased reporting requirements and liquidity risk management program required by SEC regulations.

The Trustees took into account the qualifications, background and responsibilities of Northern’s senior management and investment personnel. They also noted Northern’s recruitment and retention plans for attracting high quality investment professionals, as well as its portfolio management compensation structure, which was not based on performance or size of the Funds, and the consistency of investment approach with respect to the Funds. The Trustees also considered Northern’s and its affiliates’ strong financial position and stability. The Trustees concluded that Northern was able to commit, and had committed, substantial financial and other resources to the operations of the Funds and was able to continue to provide quality services to the Funds.

Performance

The Trustees considered the investment performance of each of the Funds, including whether it had operated within its respective investment objective, as well as its compliance with its investment restrictions. For Funds that had been in existence for the applicable periods, the Trustees received information on the Funds’ investment performance for one, two, three, four, five and ten years, as well as performance for the most recent quarter and year-to-date. The Trustees compared the investment performance of the Funds to the performance of other SEC registered funds and to rankings issued by Broadridge. The Funds were ranked by Broadridge in quintiles, ranging from first to fifth, where first is the most desirable quintile position and fifth is the least desirable. The Trustees also reviewed the Funds’ investment performance relative to their respective performance benchmarks and the Funds’ three-year performance versus net expenses as calculated by Broadridge (“Broadridge Bubble Charts”).

∎

the Large Cap Core Fund, which was in the fourth quintile for the one-year period; and

∎

the International Equity Fund, which was in the fifth quintile for the one-, three- and five-year periods.

They also considered that all of the Funds underperformed their respective benchmarks for the one-, three- and five-year periods ended March 31, 2020, except for:

∎

the Small Cap Core Fund, which outperformed its benchmark for the one- and three-year periods; and

∎

the Small Cap Value Fund and U.S. Quality ESG Fund, which outperformed their respective benchmarks for the one-year period.

They also considered that none of the Funds were in the least desirable less return, more expenses quadrant of its Broadridge Bubble Chart.

The Trustees also took into account senior management’s and portfolio managers’ discussion of the Funds’ performance and explanations for differences in investment parameters of certain Funds and their peers. They also considered the Funds’ investment performance relative to the investor base the Funds are intended to serve. The Trustees noted the potential impact on performance of the relative risk parameters of the different Funds. In addition, the Trustees reviewed the consistency of Northern’s investment approach for the Funds and processes to address performance issues. The Trustees expected and believed also that Northern was appropriately monitoring underperforming Funds. They noted the quarterly in-depth performance reviews had assisted them in that regard.

The Trustees concluded, based on the information received, that the Funds’ performance was satisfactory for most Funds, and that Northern was taking appropriate steps to address the performance of any underperforming Funds.

Fee Rates, Costs of Services and Profitability

The Trustees also evaluated the Funds’ contractual management fee rates and the net (after expense reimbursements) management fees paid by the Funds; the Funds’ total operating expense ratios; Northern’s contractual commitments to continue expense reimbursements for at least one year with respect to the Funds; and whether a consistent methodology was in place for determining the fees and expenses of the Funds. They also noted certain other actions taken by Northern in past years to reduce Fund expenses, such as management fee reductions with respect to certain Funds. The Trustees also considered that, for those

Funds that were sweeping uninvested cash into a Northern-affiliated money market Portfolio, Northern was in each case rebating back to the investing Fund all of the advisory fees received by Northern, if any, of the applicable money market Portfolio.

The Trustees reviewed information on the fee rates paid by the Funds under the Management Agreement and the Funds’ total operating expense ratios compared to similar information for mutual funds advised by unaffiliated investment management firms, as prepared by Broadridge. The Broadridge report compared the expenses of each Fund against its respective Broadridge peer group and universe. In comparing the Funds’ contractual and net management fees to those of comparable funds, the Trustees noted that the Funds’ management fees include both advisory and administrative costs. Among other things, the Trustees noted, with respect to the Funds:

∎

actual management fees were equal to or lower than the Funds’ respective peer group and universe medians, except the Income Equity Fund, whose actual management fees were higher than its expense group and universe medians; and

∎

all of the Funds’ actual expenses, after reimbursement and fee waivers, were in the first quintile of their respective peer group and peer universe, except the Income Equity Fund, which was in the third quintile of its peer group and fourth quintile of its peer universe.

The Trustees took into account Northern’s discussion of the Funds’ expenses, and that Northern had reimbursed expenses for most of the Funds. They also reviewed information comparing the Funds’ fee rates to the fee rates charged by Northern to similarly managed, private institutional accounts, if any. The Trustees considered the difference in, and level of complexity of, services provided by Northern with regard to the private institutional accounts, as well as regulatory, operational and compliance differences, board and committee support provided by Northern to the Funds and other differences. The Trustees considered the fee comparisons in light of the differences in management of these different kinds of accounts. These comparisons assisted the Trustees in evaluating the reasonableness of the management fees paid by the Funds.

In addition, the Trustees considered the amount of assets in each Fund; the information provided by Northern relating to the costs of the services provided by it and its affiliates; and the profits realized by them through their relationship on a Fund-by-Fund basis and on an overall Trust basis and both before and after distribution and certain non-distribution costs. The Trustees considered Northern’s assumptions and methodology for allocating costs to each Fund, recognizing that cost allocation methodologies are inherently subjective and not audited.

The Trustees also determined that the management fees charged under the Management Agreement were based on services provided that were in addition to, rather than duplicative of, services provided under the management agreement of any affiliated funds in which the Funds invested in the prior year.

The Trustees also discussed information provided by Broadridge with respect to Northern’s profitability compared to other publicly traded advisers. They considered that comparisons of advisory agreement profitability across fund families are difficult because of numerous factors, including the type of funds managed, business mix, cost allocation methodologies and other factors. The Trustees also took into account Northern’s expense reimbursements during the year, the nature of the Funds and the high quality of the services provided by Northern. The Trustees understood that Northern should be entitled to earn a reasonable level of profit in exchange for the level of services it provides to the Funds. The Trustees concluded that the profitability of Northern was not unreasonable based on the services and benefits provided and the costs assumed by Northern and its affiliates. They also noted that Northern appeared to have the resources necessary to fulfill its obligations under its management and other agreements with the Funds.

Economies of Scale

The Trustees considered the extent to which economies of scale would be realized as the Funds grow and whether fee levels reflected these economies of scale for the benefit of shareholders. They took into account management’s discussion of the Funds’ management fee structure and considered Northern’s view that the Funds were sharing in economies of scale through the level at which the Funds’ management fees are set and through Northern’s contractual expense reimbursements that limit the expenses for the Funds to specific levels. The Trustees considered that the Income Equity Fund had breakpoints, thus ensuring that as this Fund grew, shareholders would receive reduced fee rates. The Trustees also noted that all of the Funds had a quantitative active strategy. They agreed that breakpoints were not necessary with respect to the Funds (other than the Income Equity Fund) at this time based on the level of management fees and the contractual expense reimbursements. The Trustees determined, on the basis of the foregoing, that the Funds’ current management fee structures were reasonable.

Other Benefits to Northern



				This report has been prepared for the general information of Northern Funds shareholders. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current Northern Funds summary prospectus or prospectus, which contains more complete information about a fund’s investment objectives, risks, fees and expenses. Investors are reminded to read a summary prospectus or prospectus carefully before investing or sending money. Northern Funds are distributed by Northern Funds Distributors, LLC, Three Canal Plaza, Suite 100, Portland, Maine 04101, not affiliated with Northern Trust.
				NOT FDIC INSURED
				May lose value / No bank guarantee



Amounts in thousands, except per share data	EMERGING MARKETS EQUITY INDEX FUND		GLOBAL REAL ESTATE INDEX FUND
ASSETS:
Investments, at value		$1,841,680		$1,329,616
Investments in affiliates, at value		25,394		12,982
Cash held at broker (restricted $3,821, $1,666, $1,368 and $5, respectively)		5,366		2,970
Foreign currencies held at broker, at value (restricted $137, $930 and $5,113, respectively)		—		288	⁽¹⁾
Foreign currencies, at value (cost $10,234, $2,231, $1,603 and $9,477, respectively)		10,342		2,240
Dividend income receivable		2,420		5,730
Receivable for foreign tax reclaims		69		1,705
Receivable for securities sold		—		630
Receivable for variation margin on futures contracts		683		162
Receivable for fund shares sold		1,620		148
Receivable from investment adviser		14		1
Unrealized appreciation on forward foreign currency exchange contracts		24		33
Prepaid and other assets		17		18
Total Assets		1,887,629		1,356,523
LIABILITIES:
Unrealized depreciation on forward foreign currency exchange contracts		83		48
Payable for securities purchased		767		—
Payable for variation margin on futures contracts		—		32
Payable for fund shares redeemed		464		1,045
Payable to affiliates:
Management fees		64		88
Custody fees		197		66
Shareholder servicing fees		134		48
Transfer agent fees		62		45
Trustee fees		9		7
Deferred foreign capital gains tax payable		1,143		—
Accrued other liabilities		108		46
Total Liabilities		3,031		1,425
Net Assets		$1,884,598		$1,355,098
ANALYSIS OF NET ASSETS:
Capital stock		$1,690,873		$1,433,168
Distributable earnings		193,725		(78,070	)
Net Assets		$1,884,598		$1,355,098
Net Assets:
Shares		$1,884,598		$1,355,098
Class K		—		—
Class I		—		—
Total Shares Outstanding ($.001 par value, unlimited authorization):
Shares		156,702		149,250
Class K		—		—
Class I		—		—
Net Asset Value, Redemption and Offering Price Per Share:
Shares		$12.03		$9.08
Class K		—		—
Class I		—		—

Investments, at cost		$1,205,021		$1,140,358
Investments in affiliates, at cost		25,394		12,982

⁽¹⁾

Costs associated with foreign currencies held at broker are $282, $1,470 and $5,800 respectively.


GLOBAL SUSTAINABILITY INDEX FUND				INTERNATIONAL EQUITY INDEX FUND			MID CAP INDEX FUND		SMALL CAP INDEX FUND		STOCK INDEX FUND

	$	940,382			$4,413,241			$1,870,127		$1,097,192		$9,452,250
		20,976			13,120			56,404		20,360		21,356
		1,539			5			—		—		—
		1,487	⁽¹⁾		5,875	⁽¹⁾		—		—		—
		1,625			9,483			—		—		—
		1,302			12,484			1,828		962		6,631
		657			13,146			—		—		—
		—			2,042			—		2,030		—
		95			51			480		3		209
		2,275			2,016			292		142		2,430
		1			1			17		9		48
		11			173			—		—		—
		27			27			9		16		26
		970,377			4,471,664			1,929,157		1,120,714		9,482,950

		22			163			—		—		—
		2			—			2,909		568		—
		81			538			78		50		30
		326			3,017			912		1,889		3,878
		28			131			40		23		122
		3			99			16		9		61
		54			60			36		7		33
		31			147			62		36		309
		3			15			7		7		28
		—			—			—		—		—
		16			87			19		9		36
		566			4,257			4,079		2,598		4,497
		$969,811			$4,467,407			$1,925,078		$1,118,116		$9,478,453

	$	764,379			$4,203,115			$1,529,255		$845,701		$3,547,260
		205,432			264,292			395,823		272,415		5,931,193
		$969,811			$4,467,407			$1,925,078		$1,118,116		$9,478,453

		—			4,467,407			1,925,078		1,118,116		9,478,453
		419,336			—			—		—		—
		550,475			—			—		—		—

		—			377,177			109,030		92,680		245,963
		26,367			—			—		—		—
		34,615			—			—		—		—

		—			11.84			17.66		12.06		38.54
		15.90			—			—		—		—
		15.90			—			—		—		—

		$734,548			$3,395,755			$1,542,487		$842,920		$3,633,136
		20,973			13,120			56,404		20,360		19,606


Amounts in thousands	EMERGING MARKETS EQUITY INDEX FUND			GLOBAL REAL ESTATE INDEX FUND

INVESTMENT INCOME:

Dividend income		$25,713	⁽¹⁾		$29,071	⁽¹⁾

Non-cash dividend income		—			1,527

Dividend income from investments in affiliates		12			6

Interest income (Note 6)		151			—

Total Investment Income		25,876			30,604

EXPENSES:

Management fees		1,813			3,043

Custody fees		677			240

Transfer agent fees		332			293

Registration fees		16			13

Printing fees		16			12

Professional fees		38			32

Shareholder servicing fees (Shares)		245			85

Shareholder servicing fees (Class I)		—			—

Trustee fees		14			10

Interest expense		1			1

Other		32			27

Total Expenses		3,184			3,756

Less expenses reimbursed by investment adviser		(571	)		(7	)

Net Expenses		2,613			3,749

Net Investment Income		23,263			26,855

NET REALIZED AND UNREALIZED GAINS (LOSSES):

Net realized gains (losses) on:

Investments		1,241	⁽²⁾		(114,481	)

Investments in affiliates		—			—

Futures contracts		15,578			7,263

Foreign currency transactions		(231	)		216

Forward foreign currency exchange contracts		98			224

Net changes in unrealized appreciation (depreciation) on:

Investments		399,326	⁽³⁾		261,811

Investments in affiliates		—			—

Futures contracts		(2,748	)		(200	)

Foreign currency translations		389			107

Forward foreign currency exchange contracts		(247	)		(6	)

Net Gains		413,406			154,934

Net Increase in Net Assets Resulting from Operations		$436,669			$181,789

⁽¹⁾

Net of $3,337, $997, $493, $5,624, and $1, respectively, in foreign withholding taxes.

⁽²⁾

Net of foreign capital gains tax paid of $2.

⁽³⁾

Net change in unrealized of deferred foreign capital gains tax of $1,143.


	EMERGING MARKETS EQUITY INDEX FUND						GLOBAL REAL ESTATE INDEX FUND
Amounts in thousands	SEP 30, 2020			MAR 31, 2020			SEP 30, 2020			MAR 31, 2020
OPERATIONS:

Net investment income (Note 6)		$23,263			$74,267			$26,855			$63,374

Net realized gains (losses)		16,686			(39,976	)		(106,778	)		(33,601	)

Net change in unrealized appreciation (depreciation)		396,720			(426,456	)		261,712			(571,427	)

Net Increase (Decrease) in Net Assets Resulting from Operations		436,669			(392,165	)		181,789			(541,654	)
CAPITAL SHARE TRANSACTIONS:

Net increase (decrease) in net assets resulting from Shares transactions		(146,109	)		(728,602	)		(580,640	)		334,977

Net increase in net assets resulting from Class K transactions		—			—			—			—

Net increase in net assets resulting from Class I transactions		—			—			—			—

Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions		(146,109	)		(728,602	)		(580,640	)		334,977
DISTRIBUTIONS TO SHARES SHAREHOLDERS:

Distributable earnings		—			(76,000	)		(26,479	)		(104,128	)

Total Distributions to Shares Shareholders		—			(76,000	)		(26,479	)		(104,128	)
DISTRIBUTIONS TO CLASS K SHAREHOLDERS:

Distributable earnings		—			—			—			—

Total Distributions to Class K Shareholders		—			—			—			—
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:

Distributable earnings		—			—			—			—

Total Distributions to Class I Shareholders		—			—			—			—
Total Increase (Decrease) in Net Assets		290,560			(1,196,767	)		(425,330	)		(310,805	)

NET ASSETS:

Beginning of period		1,594,038			2,790,805			1,780,428			2,091,233

End of period		$1,884,598			$1,594,038			$1,355,098			$1,780,428

⁽¹⁾

On July 31, 2020, the balances of the Shares Class for Global Sustainability Index Fund were transferred to Class K and Class I in a class conversion. (See Note 8).


GLOBAL SUSTAINABILITY INDEX FUND						INTERNATIONAL EQUITY INDEX FUND						MID CAP INDEX FUND						SMALL CAP INDEX FUND						STOCK INDEX FUND
SEP 30, 2020			MAR 31, 2020			SEP 30, 2020			MAR 31, 2020			SEP 30, 2020			MAR 31, 2020			SEP 30, 2020			MAR 31, 2020			SEP 30, 2020			MAR 31, 2020

	$8,427			$15,437			$58,243			$152,483			$14,272			$35,727			$6,252			$13,459			$77,799			$173,001

	(4,289	)		1,679			(94,428	)		(151,090	)		59,446			6,377			36,269			(7,293	)		192,620			35,003

	186,628			(85,460	)		820,100			(711,129	)		425,243			(555,094	)		229,888			(295,492	)		2,141,269			(816,127	)

	190,766			(68,344	)		783,915			(709,736	)		498,961			(512,990	)		272,409			(289,326	)		2,411,688			(608,123	)

	(856,563	)⁽¹⁾		141,317			(416,668	)		(351,789	)		(274,393	)		(26,486	)		(41,722	)		32,463			(788,921	)		271,109

	408,503			—			—			—			—			—			—			—			—			—

	537,265			—			—			—			—			—			—			—			—			—

	89,205			141,317			(416,668	)		(351,789	)		(274,393	)		(26,486	)		(41,722	)		32,463			(788,921	)		271,109

	—			(21,417	)		—			(172,000	)		—			(54,750	)		—			(22,800	)		(77,536	)		(241,825	)

	—			(21,417	)		—			(172,000	)		—			(54,750	)		—			(22,800	)		(77,536	)		(241,825	)

	—			—			—			—			—			—			—			—			—			—

	—			—			—			—			—			—			—			—			—			—

	—			—			—			—			—			—			—			—			—			—

	—			—			—			—			—			—			—			—			—			—

	279,971			51,556			367,247			(1,233,525	)		224,568			(594,226	)		230,687			(279,663	)		1,545,231			(578,839	)

	689,840			638,284			4,100,160			5,333,685			1,700,510			2,294,736			887,429			1,167,092			7,933,222			8,512,061

	$969,811			$689,840			$4,467,407			$4,100,160			$1,925,078			$1,700,510			$1,118,116			$887,429			$9,478,453			$7,933,222


EMERGING MARKETS EQUITY INDEX FUND	SHARES
Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016

Net Asset Value, Beginning of Period		$9.25			$11.70			$13.10			$10.68			$9.28			$10.86

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.14	⁽¹⁾		0.37			0.30			0.24			0.20			0.22

Net realized and unrealized gains (losses)		2.64			(2.43	)		(1.41	)		2.40			1.38			(1.58	)

Total from Investment Operations		2.78			(2.06	)		(1.11	)		2.64			1.58			(1.36	)

LESS DISTRIBUTIONS PAID:

From net investment income⁽²⁾		—			(0.39	)		(0.29	)		(0.22	)		(0.18	)		(0.22	)

Total Distributions Paid		—			(0.39	)		(0.29	)		(0.22	)		(0.18	)		(0.22	)

Net Asset Value, End of Period		$12.03			$9.25			$11.70			$13.10			$10.68			$9.28

Total Return⁽³⁾		30.05	%		(18.36	)%		(8.20	)%		24.84	%		17.30	%		(12.38	)%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$1,884,598			$1,594,038			$2,790,805			$3,255,089			$2,296,815			$1,552,904

Ratio to average net assets of:⁽⁴⁾

Expenses, net of reimbursements and credits⁽⁵⁾		0.30	%		0.30	%		0.30	%		0.30	%		0.30	%		0.30	%

Expenses, before reimbursements and credits		0.37	%		0.35	%		0.35	%		0.34	%		0.35	%		0.35	%

Net investment income, net of reimbursements and credits⁽⁵⁾		2.69	%		3.07	%		2.35	%		2.00	%		1.95	%		2.36	%

Net investment income, before reimbursements and credits		2.62	%		3.02	%		2.30	%		1.96	%		1.90	%		2.31	%

Portfolio Turnover Rate		25.41	%		45.08	%		54.69	%		27.03	%		30.14	%		34.20	%

⁽¹⁾

The Northern Trust Company reimbursed the Fund approximately $151,000. The reimbursements represent less than $0.01 per share. Without these reimbursements, the total return would have been 29.98%. See Note 6.

⁽²⁾

Distributions to shareholders from net investment income include amounts related to foreign currency transactions, which are treated as ordinary income for federal income tax purposes.

⁽³⁾

⁽⁴⁾

Annualized for periods less than one year.

⁽⁵⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $16,000, $26,000, $31,000, $34,000 and $32,000, which represent less than 0.01 percent of average net assets for the six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, 2018 and 2017, respectively, and approximately $15,000 which represents less than 0.005 percent of average net assets for the fiscal year ended March 31, 2016. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.


GLOBAL REAL ESTATE INDEX FUND	SHARES
Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016
Net Asset Value, Beginning of Period		$8.22			$11.05			$10.35			$9.99			$10.08			$10.41

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.02			0.34			0.34			0.33			0.25			0.27

Net realized and unrealized gains (losses)		1.01			(2.67	)		0.72			0.38			0.02			(0.31	)

Total from Investment Operations		1.03			(2.33	)		1.06			0.71			0.27			(0.04	)

LESS DISTRIBUTIONS PAID:

From net investment income⁽¹⁾		(0.17	)		(0.50	)		(0.36	)		(0.35	)		(0.36	)		(0.29	)

Total Distributions Paid		(0.17	)		(0.50	)		(0.36	)		(0.35	)		(0.36	)		(0.29	)

Net Asset Value, End of Period		$9.08			$8.22			$11.05			$10.35			$9.99			$10.08

Total Return⁽²⁾		12.61	%		(22.11	)%		10.55	%		7.10	%		2.81	%		(0.25	)%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$1,355,098			$1,780,428			$2,091,233			$1,881,555			$1,889,797			$1,910,722

Ratio to average net assets of:⁽³⁾

Expenses, net of reimbursements and credits⁽⁴⁾		0.49	%		0.49	%		0.50	%		0.50	%		0.50	%		0.50	%

Expenses, before reimbursements and credits		0.49	%		0.49	%		0.53	%		0.53	%		0.53	%		0.53	%

Net investment income, net of reimbursements and credits⁽⁴⁾		3.53	%		2.81	%		3.17	%		3.21	%		2.52	%		2.59	%

Net investment income, before reimbursements and credits		3.53	%		2.81	%		3.14	%		3.18	%		2.49	%		2.56	%

Portfolio Turnover Rate		4.89	%		6.91	%		27.17	%		9.53	%		5.96	%		8.55	%

⁽¹⁾

Distributions to shareholders from net investment income include amounts related to foreign currency transactions, which are treated as ordinary income for federal income tax purposes.

⁽²⁾

⁽³⁾

Annualized for periods less than one year.

⁽⁴⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $7,000, $32,000, $16,000, $16,000 and $24,000, which represent less than 0.01 percent of average net assets for the six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, 2018 and 2017, respectively, and approximately $28,000 which represents less than 0.005 percent of average net assets for the fiscal year ended March 31, 2016. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.


GLOBAL SUSTAINABILITY INDEX FUND CLASS K⁽¹⁾
Selected per share data	PERIOD ENDED SEPTEMBER 30, 2020 (UNAUDITED)

Net Asset Value, Beginning of Period		$15.50

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.06

Net realized and unrealized gains		0.34

Total from Investment Operations		0.40

LESS DISTRIBUTIONS PAID:

From net investment income		—

From net realized gains		—

Total Distributions Paid		—

Net Asset Value, End of Period		$15.90

Total Return⁽²⁾		2.58	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$419,336

Ratio to average net assets of:⁽³⁾

Expenses, net of reimbursements and credits		0.24	%

Expenses, before reimbursements and credits⁽⁴⁾		0.26	%

Net investment income, net of reimbursements and credits⁽⁵⁾		2.12	%

Net investment income, before reimbursements and credits⁽⁴⁾⁽⁵⁾		2.10	%

Portfolio Turnover Rate		7.15	%

⁽¹⁾

For the period from July 31, 2020 (commencement of class operations) through September 30, 2020.

⁽²⁾

⁽³⁾

Annualized for periods less than one year.

⁽⁴⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $1,000, which represents less than 0.01 percent of average net assets for the period July 31, 2020 (commencement of class operations) to September 30, 2020. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.

⁽⁵⁾

As the Fund commenced operation of Class K shares on July 31, 2020, annualized net investment income may not be reflective of actual amounts the Fund might obtain in a full year of operation.


GLOBAL SUSTAINABILITY INDEX FUND CLASS I ⁽¹⁾
Selected per share data	PERIOD ENDED SEPTEMBER 30, 2020 (UNAUDITED)

Net Asset Value, Beginning of Period		$15.50

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.05

Net realized and unrealized gains		0.35

Total from Investment Operations		0.40

LESS DISTRIBUTIONS PAID:

From net investment income		—

From net realized gains		—

Total Distributions Paid		—

Net Asset Value, End of Period		$15.90

Total Return⁽²⁾		2.58	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$550,475

Ratio to average net assets of:⁽³⁾

Expenses, net of reimbursements and credits		0.29	%

Expenses, before reimbursements and credits⁽⁴⁾		0.31	%

Net investment income, net of reimbursements and credits⁽⁵⁾		2.08	%

Net investment income, before reimbursements and credits⁽⁴⁾⁽⁵⁾		2.06	%

Portfolio Turnover Rate		7.15	%

⁽¹⁾

For the period from July 31, 2020 (commencement of class operations) through September 30, 2020.

⁽²⁾

⁽³⁾

Annualized for periods less than one year.

⁽⁴⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $1,000, which represents less than 0.01 percent of average net assets for the period July 31, 2020 (commencement of class operations) to September 30, 2020. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.

⁽⁵⁾

As the Fund commenced operation of Class I shares on July 31, 2020, annualized net investment income may not be reflective of actual amounts the Fund might obtain in a full year of operation.


INTERNATIONAL EQUITY INDEX FUND	SHARES
Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016
Net Asset Value, Beginning of Period		$9.84			$11.86			$12.77			$11.39			$10.49			$11.78

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.15			0.35	⁽¹⁾		0.39			0.30			0.33			0.29

Net realized and unrealized gains (losses)		1.85			(1.98	)		(0.93	)		1.40	⁽²⁾		0.91			(1.29	)

Total from Investment Operations		2.00			(1.63	)		(0.54	)		1.70			1.24			(1.00	)

LESS DISTRIBUTIONS PAID:

From net investment income⁽³⁾		—			(0.39	)		(0.37	)		(0.32	)		(0.34	)		(0.29	)

Total Distributions Paid		—			(0.39	)		(0.37	)		(0.32	)		(0.34	)		(0.29	)

Net Asset Value, End of Period		$11.84			$9.84			$11.86			$12.77			$11.39			$10.49

Total Return⁽⁴⁾		20.20	%		(14.46	)%		(3.89	)%		14.88	%		12.07	%		(8.50	)%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$4,467,407			$4,100,160			$5,333,685			$6,209,334			$4,401,667			$4,241,254

Ratio to average net assets of:⁽⁵⁾

Expenses, net of reimbursements and credits⁽⁶⁾		0.25	%		0.25	%		0.25	%		0.25	%		0.25	%		0.25	%

Expenses, before reimbursements and credits		0.25	%		0.26	%		0.30	%		0.30	%		0.30	%		0.29	%

Net investment income, net of reimbursements and credits⁽⁶⁾		2.68	%		2.85	%		3.15	%		2.58	%		2.98	%		2.76	%

Net investment income, before reimbursements and credits		2.68	%		2.84	%		3.10	%		2.53	%		2.93	%		2.72	%

Portfolio Turnover Rate		8.69	%		10.17	%		26.95	%		31.54	%		28.03	%		30.80	%

⁽¹⁾

The Northern Trust Company reimbursed the Fund approximately $69,000. The reimbursement represents less than $0.01 per share and had no effect on the Fund’s total return. See Note 6.

⁽²⁾

The Fund received reimbursements from Northern Trust Investments, Inc. of approximately $137,000. The reimbursements represent less than $0.01 per share and had no effect on the Fund’s total return.

⁽³⁾

Distributions to shareholders from net investment income include amounts related to foreign currency transactions, which are treated as ordinary income for federal income tax purposes.

⁽⁴⁾

⁽⁵⁾

Annualized for periods less than one year.

⁽⁶⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $10,000, $30,000, $36,000, $55,000 and $32,000, which represent less than 0.01 percent of average net assets for the six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, 2018 and 2017, respectively, and approximately $19,000 which represents less than 0.005 percent of average net assets for the fiscal year ended March 31, 2016. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.


MID CAP INDEX FUND	SHARES
Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016
Net Asset Value, Beginning of Period		$13.59			$17.95			$19.17			$18.59			$16.39			$18.43

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.14			0.28			0.27			0.26			0.23			0.23

Net realized and unrealized gains (losses)		3.93			(4.21	)		(0.04	)		1.76			3.12			(0.97	)

Total from Investment Operations		4.07			(3.93	)		0.23			2.02			3.35			(0.74	)

LESS DISTRIBUTIONS PAID:

From net investment income		—			(0.27	)		(0.28	)		(0.24	)		(0.24	)		(0.23	)

From net realized gains		—			(0.16	)		(1.17	)		(1.20	)		(0.91	)		(1.07	)

Total Distributions Paid		—			(0.43	)		(1.45	)		(1.44	)		(1.15	)		(1.30	)

Net Asset Value, End of Period		$17.66			$13.59			$17.95			$19.17			$18.59			$16.39

Total Return⁽¹⁾		29.95	%		(22.61	)%		2.38	%		10.80	%		20.71	%		(3.71	)%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$1,925,078			$1,700,510			$2,294,736			$2,320,034			$2,175,963			$1,689,719

Ratio to average net assets of:⁽²⁾

Expenses, net of reimbursements and credits⁽³⁾		0.15	%		0.15	%		0.15	%		0.15	%		0.15	%		0.15	%

Expenses, before reimbursements and credits		0.20	%		0.18	%		0.17	%		0.18	%		0.18	%		0.18	%

Net investment income, net of reimbursements and credits⁽³⁾		1.47	%		1.52	%		1.39	%		1.35	%		1.35	%		1.38	%

Net investment income, before reimbursements and credits		1.42	%		1.49	%		1.37	%		1.32	%		1.32	%		1.35	%

Portfolio Turnover Rate		11.20	%		18.15	%		20.59	%		16.02	%		19.71	%		20.43	%

⁽¹⁾

⁽²⁾

Annualized for periods less than one year.

⁽³⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $12,000, $72,000, $77,000, $44,000 and $87,000, which represent less than 0.01 percent of average net assets for the six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, 2018 and 2017, respectively, and approximately $38,000 which represents less than 0.005 percent of average net assets for the fiscal year ended March 31, 2016. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.


SMALL CAP INDEX FUND	SHARES
Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016
Net Asset Value, Beginning of Period		$9.18			$12.34			$13.60			$12.97			$10.70			$12.67

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.07			0.14			0.16			0.15			0.14			0.13

Net realized and unrealized gains (losses)		2.81			(3.07	)		(0.11	)		1.38			2.64			(1.37	)

Total from Investment Operations		2.88			(2.93	)		0.05			1.53			2.78			(1.24	)

LESS DISTRIBUTIONS PAID:

From net investment income		—			(0.14	)		(0.15	)		(0.15	)		(0.13	)		(0.14	)

From net realized gains		—			(0.09	)		(1.16	)		(0.75	)		(0.38	)		(0.59	)

Total Distributions Paid		—			(0.23	)		(1.31	)		(0.90	)		(0.51	)		(0.73	)

Net Asset Value, End of Period		$12.06			$9.18			$12.34			$13.60			$12.97			$10.70

Total Return⁽¹⁾		31.37	%		(24.28	)%		1.97	%		11.68	%		26.11	%		(9.91	)%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$1,118,116			$887,429			$1,167,092			$1,214,764			$1,183,557			$953,884

Ratio to average net assets of:⁽²⁾

Expenses, net of reimbursements and credits⁽³⁾		0.15	%		0.15	%		0.15	%		0.15	%		0.15	%		0.15	%

Expenses, before reimbursements and credits		0.20	%		0.19	%		0.18	%		0.18	%		0.18	%		0.18	%

Net investment income, net of reimbursements and credits⁽³⁾		1.20	%		1.13	%		1.13	%		1.04	%		1.16	%		1.13	%

Net investment income, before reimbursements and credits		1.15	%		1.09	%		1.10	%		1.01	%		1.13	%		1.10	%

Portfolio Turnover Rate		18.75	%		18.36	%		20.81	%		13.03	%		19.37	%		18.80	%

⁽¹⁾

⁽²⁾

Annualized for periods less than one year.

⁽³⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $9,000, $32,000, $32,000, $25,000 and $28,000, which represent less than 0.01 percent of average net assets for the six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, 2018 and 2017, respectively, and approximately $22,000 which represents less than 0.005 percent of average net assets for the fiscal year ended March 31, 2016. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.


STOCK INDEX FUND							SHARES
Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016
Net Asset Value, Beginning of Period		$29.61			$32.74			$31.35			$28.44			$24.94			$25.41

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.31			0.65			0.61			0.58			0.53			0.54

Net realized and unrealized gains (losses)		8.93			(2.87	)		2.18			3.35			3.68			(0.13	)

Total from Investment Operations		9.24			(2.22	)		2.79			3.93			4.21			0.41

LESS DISTRIBUTIONS PAID:

From net investment income		(0.31	)		(0.65	)		(0.61	)		(0.57	)		(0.52	)		(0.55	)

From net realized gains		—			(0.26	)		(0.79	)		(0.45	)		(0.19	)		(0.33	)

Total Distributions Paid		(0.31	)		(0.91	)		(1.40	)		(1.02	)		(0.71	)		(0.88	)

Net Asset Value, End of Period		$38.54			$29.61			$32.74			$31.35			$28.44			$24.94

Total Return⁽¹⁾		31.28	%		(7.10	)%		9.38	%		13.87	%		17.06	%		1.70	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$9,478,453			$7,933,222			$8,512,061			$7,787,749			$7,544,579			$7,011,831

Ratio to average net assets of:⁽²⁾

Expenses, net of reimbursements and credits⁽³⁾		0.10	%		0.10	%		0.10	%		0.10	%		0.10	%		0.10	%

Expenses, before reimbursements and credits		0.13	%		0.12	%		0.11	%		0.12	%		0.11	%		0.11	%

Net investment income, net of reimbursements and credits⁽³⁾		1.70	%		1.88	%		1.89	%		1.86	%		1.98	%		2.14	%

Net investment income, before reimbursements and credits		1.67	%		1.86	%		1.88	%		1.84	%		1.97	%		2.13	%

Portfolio Turnover Rate		1.87	%		5.15	%		6.68	%		6.76	%		3.88	%		5.46	%

⁽¹⁾

⁽²⁾

Annualized for periods less than one year.

⁽³⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $59,000, $205,000, $185,000, $153,000 and $61,000, which represent less than 0.01 percent of average net assets for the six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, 2018 and 2017, respectively, and approximately $72,000 which represents less than 0.005 percent of average net assets for the fiscal year ended March 31, 2016. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾

Argentina – 0.1%

Globant S.A.*		10,632		$1,906

Telecom Argentina S.A. ADR		27,193		178

YPF S.A. ADR*		50,787		181

				2,265

Brazil – 3.3%

Ambev S.A.*		1,354,560		3,034

Atacadao S.A.*		108,400		393

B2W Cia Digital*		63,991		1,030

B3 S.A. - Brasil Bolsa Balcao		590,882		5,800

Banco Bradesco S.A.		381,760		1,229

Banco BTG Pactual S.A.*		65,600		846

Banco do Brasil S.A.*		246,644		1,304

Banco Santander Brasil S.A.		118,336		588

BB Seguridade Participacoes S.A.		200,801		871

BRF S.A.*		163,120		534

CCR S.A.		347,800		789

Centrais Eletricas Brasileiras S.A.		92,400		501

Cia Brasileira de Distribuicao		46,142		573

Cia de Saneamento Basico do Estado de Sao Paulo*		98,071		817

Cia Siderurgica Nacional S.A.		199,090		585

Cielo S.A.*		249,839		176

Cogna Educacao		511,552		476

Cosan S.A.		50,447		615

CPFL Energia S.A.		66,100		325

Energisa S.A.		52,700		388

Engie Brasil Energia S.A.		68,847		496

Equatorial Energia S.A.		260,870		983

Hapvida Participacoes e Investimentos S.A.⁽²⁾		63,900		711

Hypera S.A.*		107,358		568

IRB Brasil Resseguros S/A		350,023		467

JBS S.A.		313,236		1,154

Klabin S.A.		198,741		842

Localiza Rent a Car S.A.*		174,066		1,761

Lojas Renner S.A.		228,215		1,615

Magazine Luiza S.A.		209,800		3,345

Multiplan Empreendimentos

Imobiliarios S.A.*		81,038		281

Natura & Co. Holding S.A.*		215,201		1,959

Notre Dame Intermedica Participacoes S.A.		138,600		1,608

Petrobras Distribuidora S.A.		217,300		787

Petroleo Brasileiro S.A.		1,067,878		3,776


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

Brazil – 3.3% continued

Porto Seguro S.A.		27,508		$236

Raia Drogasil S.A.		308,035		1,292

Rumo S.A.*		372,800		1,267

Sul America S.A.		83,785		589

Suzano S.A.*		156,256		1,262

TIM Participacoes S.A.*		243,136		564

Ultrapar Participacoes S.A.		208,548		719

Vale S.A.		1,069,969		11,275

Via Varejo S/A*		367,100		1,135

WEG S.A.		240,824		2,804

				62,370

Chile – 0.4%

Aguas Andinas S.A., Class A		723,294		203

Banco de Chile		13,045,681		996

Banco de Credito e Inversiones S.A.		14,548		460

Banco Santander Chile		18,961,994		659

Cencosud S.A.		410,140		601

Cencosud Shopping S.A.		146,864		210

Cia Cervecerias Unidas S.A.		42,416		274

Colbun S.A.		2,343,569		379

Empresa Nacional de Telecomunicaciones S.A.		43,337		270

Empresas CMPC S.A.		322,858		678

Empresas COPEC S.A.		111,911		839

Enel Americas S.A.		9,826,038		1,277

Enel Chile S.A.		7,939,909		557

Falabella S.A.		216,000		633

				8,036

China – 37.9%

360 Security Technology, Inc., Class A		77,700		190

3SBio, Inc.*		355,000		404

51job, Inc. ADR*		7,516		586

AAC Technologies Holdings, Inc.		208,000		1,129

Accelink Technologies Co. Ltd., Class A		11,600		60

Addsino Co. Ltd., Class A		27,600		87

AECC Aero-Engine Control Co. Ltd., Class A		19,700		57

AECC Aviation Power Co. Ltd., Class A		43,700		265

Agile Group Holdings Ltd.		336,000		441

Agricultural Bank of China Ltd., Class A		1,256,700		585

Agricultural Bank of China Ltd., Class H		7,939,367		2,486

Aier Eye Hospital Group Co. Ltd., Class A		65,351		494

Air China Ltd., Class A		95,200		99


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

Air China Ltd., Class H		512,705		$336

Airtac International Group		36,000		814

Aisino Corp., Class A		45,400		106

AK Medical Holdings Ltd.⁽²⁾		110,000		282

Alibaba Group Holding Ltd. ADR*		539,937		158,731

A-Living Services Co. Ltd., Class H		120,500		614

Aluminum Corp. of China Ltd., Class A*		300,800		129

Aluminum Corp. of China Ltd., Class H*		1,011,435		209

Angang Steel Co. Ltd., Class A		110,110		42

Angel Yeast Co. Ltd., Class A		14,100		127

Anhui Conch Cement Co. Ltd., Class A		68,800		560

Anhui Conch Cement Co. Ltd., Class H		354,075		2,448

Anhui Gujing Distillery Co. Ltd., Class A		7,200		230

Anhui Gujing Distillery Co. Ltd., Class B		30,900		344

Anhui Kouzi Distillery Co. Ltd., Class A		14,600		109

ANTA Sports Products Ltd.		309,432		3,207

Apeloa Pharmaceutical Co. Ltd., Class A		20,200		71

Asymchem Laboratories Tianjin Co. Ltd., Class A		2,900		113

Autobio Diagnostics Co. Ltd., Class A		6,100		145

Autohome, Inc. ADR		16,987		1,631

AVIC Aircraft Co. Ltd., Class A		46,400		157

Avic Capital Co. Ltd., Class A		127,300		82

AVIC Electromechanical Systems Co. Ltd., Class A		56,100		94

AVIC Jonhon Optronic Technology Co. Ltd., Class A		18,200		124

AVIC Shenyang Aircraft Co. Ltd., Class A		20,000		169

AviChina Industry & Technology Co. Ltd., Class H		678,313		388

AVICOPTER PLC, Class A		9,300		77

BAIC BluePark New Energy Technology Co. Ltd., Class A*		40,100		35

BAIC Motor Corp. Ltd., Class H⁽²⁾		416,000		170

Baidu, Inc. ADR*		78,773		9,972

Bank of Beijing Co. Ltd., Class A		366,100		252

Bank of Chengdu Co. Ltd., Class A		78,000		113

Bank of China Ltd., Class A		627,000		295

Bank of China Ltd., Class H		22,797,652		7,098

Bank of Communications Co. Ltd.,

Class A		681,400		454

Bank of Communications Co. Ltd.,

Class H		2,511,117		1,208


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

Bank of Hangzhou Co. Ltd., Class A		102,020		$177

Bank of Jiangsu Co. Ltd., Class A		216,188		193

Bank of Nanjing Co. Ltd., Class A		179,496		208

Bank of Ningbo Co. Ltd., Class A		103,400		478

Bank of Shanghai Co. Ltd., Class A		244,571		292

Baoshan Iron & Steel Co. Ltd., Class A		333,996		245

Baozun, Inc. ADR*		16,536		537

BBMG Corp., Class A		179,000		81

Beijing Capital Development Co. Ltd., Class A		44,400		44

Beijing Capital International Airport Co. Ltd., Class H		538,000		324

Beijing Dabeinong Technology Group Co. Ltd., Class A		76,900		101

Beijing E-Hualu Information Technology Co. Ltd., Class A		11,160		57

Beijing Enlight Media Co. Ltd., Class A		65,100		160

Beijing Kunlun Tech Co. Ltd., Class A		19,700		76

Beijing New Building Materials PLC, Class A		31,900		145

Beijing Oriental Yuhong Waterproof Technology Co. Ltd., Class A		27,000		214

Beijing Originwater Technology Co. Ltd., Class A		33,200		42

Beijing Shiji Information Technology Co. Ltd., Class A		16,000		90

Beijing Shunxin Agriculture Co. Ltd., Class A		14,500		128

Beijing Sinnet Technology Co. Ltd., Class A		23,000		76

Beijing Thunisoft Corp. Ltd., Class A		13,900		49

Beijing Tiantan Biological Products Corp. Ltd., Class A		24,240		142

Beijing Tongrentang Co. Ltd., Class A		28,100		112

Beijing Yanjing Brewery Co. Ltd., Class A		48,500		60

Beijing-Shanghai High Speed Railway Co. Ltd., Class A		197,500		170

BEST, Inc. ADR*		55,779		167

Betta Pharmaceuticals Co. Ltd., Class A		9,200		155

BGI Genomics Co. Ltd., Class A		7,800		165

Bilibili, Inc. ADR*		33,894		1,410

BOE Technology Group Co. Ltd., Class A		559,900		406

Bohai Leasing Co. Ltd., Class A*		185,800		76

BTG Hotels Group Co. Ltd., Class A		17,000		45



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

BYD Co. Ltd., Class A		33,000		$567

BYD Co. Ltd., Class H		183,699		2,914

BYD Electronic International Co. Ltd.		190,500		969

By-health Co. Ltd., Class A		27,200		84

C&S Paper Co. Ltd., Class A		22,500		71

Caitong Securities Co. Ltd., Class A		61,700		130

CanSino Biologics, Inc., Class H*		17,000		367

Centre Testing International Group Co. Ltd., Class A		14,200		51

CGN Power Co. Ltd., Class H⁽²⁾		2,565,000		528

Chacha Food Co. Ltd., Class A		8,700		74

Changchun High & New Technology Industry Group, Inc., Class A		6,800		370

Changjiang Securities Co. Ltd., Class A		114,600		135

Changzhou Xingyu Automotive Lighting Systems Co. Ltd., Class A		4,700		104

Chaozhou Three-Circle Group Co. Ltd., Class A		30,900		131

Chengdu Kanghong Pharmaceutical Group Co. Ltd., Class A		13,900		93

Chengdu Xingrong Environment Co. Ltd., Class A		51,400		39

China Aerospace Times Electronics Co. Ltd., Class A		46,800		48

China Aoyuan Group Ltd.		333,000		342

China Avionics Systems Co. Ltd., Class A		25,200		63

China Cinda Asset Management Co. Ltd., Class H		2,530,000		475

China CITIC Bank Corp. Ltd., Class A		70,900		53

China CITIC Bank Corp. Ltd., Class H		2,562,286		995

China Communications Construction Co. Ltd., Class A		73,400		80

China Communications Construction Co. Ltd., Class H		1,270,287		668

China Communications Services Corp. Ltd., Class H		667,035		393

China Conch Venture Holdings Ltd.		466,000		2,160

China Construction Bank Corp., Class A		172,000		155

China Construction Bank Corp., Class H		27,723,693		18,054

China East Education Holdings Ltd.		159,500		346

China Eastern Airlines Corp. Ltd., Class A		221,700		161

China Eastern Airlines Corp. Ltd., Class H		454,000		194



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

China Enterprise Co. Ltd., Class A		69,900		$40

China Everbright Bank Co. Ltd., Class A		685,500		368

China Everbright Bank Co. Ltd., Class H		887,000		280

China Evergrande Group		531,411		1,359

China Feihe Ltd.⁽²⁾		333,000		776

China Film Co. Ltd., Class A		26,700		55

China Fortune Land Development Co. Ltd., Class A		70,850		158

China Galaxy Securities Co. Ltd., Class A		73,900		138

China Galaxy Securities Co. Ltd., Class H		1,006,000		567

China Gezhouba Group Co. Ltd., Class A		84,900		74

China Great Wall Securities Co. Ltd., Class A		38,900		75

China Greatwall Technology Group Co. Ltd., Class A		57,400		136

China Hongqiao Group Ltd.		472,000		296

China Huarong Asset Management Co. Ltd., Class H⁽²⁾		3,444,000		366

China International Capital Corp. Ltd., Class H⁽²⁾ *		382,400		888

China Jushi Co. Ltd., Class A		70,600		150

China Lesso Group Holdings Ltd.		308,000		557

China Life Insurance Co. Ltd., Class A		47,800		314

China Life Insurance Co. Ltd., Class H		2,134,544		4,845

China Literature Ltd.*		82,800		624

China Longyuan Power Group Corp. Ltd., Class H		891,473		559

China Medical System Holdings Ltd.		389,000		432

China Meheco Co. Ltd., Class A		18,300		40

China Merchants Bank Co. Ltd., Class A		355,179		1,878

China Merchants Bank Co. Ltd., Class H		1,119,433		5,331

China Merchants Energy Shipping Co. Ltd., Class A		116,700		99

China Merchants Property Operation & Service Co. Ltd., Class A		18,200		71

China Merchants Securities Co. Ltd., Class A*		132,210		421

China Merchants Shekou Industrial Zone Holdings Co. Ltd., Class A		106,800		238

China Minsheng Banking Corp. Ltd., Class A		610,540		475



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

China Minsheng Banking Corp. Ltd., Class H		1,671,154		$877

China Molybdenum Co. Ltd., Class A		339,100		186

China Molybdenum Co. Ltd., Class H		957,000		341

China National Accord Medicines Corp. Ltd., Class A		6,400		44

China National Building Material Co. Ltd., Class H		1,110,000		1,406

China National Chemical Engineering Co. Ltd., Class A		77,100		61

China National Medicines Corp. Ltd., Class A		12,900		84

China National Nuclear Power Co. Ltd., Class A		269,798		174

China National Software & Service Co. Ltd., Class A		9,200		113

China Northern Rare Earth Group High-Tech Co. Ltd., Class A*		62,500		99

China Oilfield Services Ltd., Class H		472,757		332

China Pacific Insurance Group Co. Ltd., Class A		108,200		497

China Pacific Insurance Group Co. Ltd., Class H		796,337		2,275

China Petroleum & Chemical Corp., Class A		472,000		271

China Petroleum & Chemical Corp., Class H		6,954,628		2,804

China Railway Construction Corp. Ltd., Class A		200,700		244

China Railway Construction Corp. Ltd., Class H		566,000		390

China Railway Group Ltd., Class A		360,800		286

China Railway Group Ltd., Class H		1,085,827		512

China Railway Signal & Communication Corp. Ltd., Class H		422,000		139

China Reinsurance Group Corp., Class H		1,629,000		150

China Resources Pharmaceutical Group Ltd.		415,000		213

China Resources Sanjiu Medical & Pharmaceutical Co. Ltd., Class A		21,100		80

China Shenhua Energy Co. Ltd., Class A		87,800		213

China Shenhua Energy Co. Ltd., Class H		975,136		1,757

China Shipbuilding Industry Co. Ltd., Class A*		392,600		251



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

China South Publishing & Media Group Co. Ltd., Class A		35,800		$57

China Southern Airlines Co. Ltd., Class A*		176,800		150

China Southern Airlines Co. Ltd., Class H*		444,530		241

China Spacesat Co. Ltd., Class A		22,600		111

China State Construction Engineering Corp. Ltd., Class A		733,280		547

China Telecom Corp. Ltd., Class H		3,782,339		1,135

China Tourism Group Duty Free Corp. Ltd., Class A		33,600		1,102

China Tower Corp. Ltd., Class H		12,722,000		2,210

China TransInfo Technology Co. Ltd., Class A		27,400		89

China United Network Communications Ltd., Class A		474,300		339

China Vanke Co. Ltd., Class A		167,400		691

China Vanke Co. Ltd., Class H		489,072		1,500

China Yangtze Power Co. Ltd., Class A		365,000		1,028

China Yuhua Education Corp. Ltd.		334,000		287

Chinese Universe Publishing and Media

Group Co. Ltd., Class A		23,300		40

Chongqing Brewery Co. Ltd., Class A		10,100		153

Chongqing Changan Automobile Co. Ltd., Class A*		74,400		147

Chongqing Fuling Zhacai Group Co. Ltd., Class A		15,300		106

Chongqing Rural Commercial Bank Co. Ltd., Class H		684,434		252

Chongqing Zhifei Biological Products Co. Ltd., Class A		27,500		567

CIFI Holdings Group Co. Ltd.		874,973		646

CITIC Ltd.		1,668,803		1,238

CITIC Securities Co. Ltd., Class A		189,800		840

CITIC Securities Co. Ltd., Class H		621,000		1,392

CNOOC Ltd.		5,124,433		4,960

Contemporary Amperex Technology Co. Ltd., Class A		40,100		1,243

COSCO SHIPPING Development Co. Ltd., Class A		184,700		56

COSCO SHIPPING Energy Transportation Co. Ltd., Class A		59,600		62

COSCO SHIPPING Energy Transportation Co. Ltd., Class H		382,000		159

COSCO SHIPPING Holdings Co. Ltd., Class A*		171,600		144



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

COSCO SHIPPING Holdings Co. Ltd., Class H*		684,000		$335

Country Garden Holdings Co. Ltd.		2,194,879		2,704

Country Garden Services Holdings Co. Ltd.		403,000		2,608

CRRC Corp. Ltd., Class A		440,891		355

CRRC Corp. Ltd., Class H		1,253,991		502

CSC Financial Co. Ltd., Class A		47,600		351

CSPC Pharmaceutical Group Ltd.		1,609,600		3,123

Da An Gene Co. Ltd. of Sun Yat-Sen University, Class A		15,100		78

Dali Foods Group Co. Ltd.		565,500		346

Daqin Railway Co. Ltd., Class A		255,900		239

Dawning Information Industry Co. Ltd., Class A		19,320		108

DHC Software Co. Ltd., Class A		72,400		108

Dong-E-E-Jiao Co. Ltd., Class A		18,200		106

Dongfang Electric Corp. Ltd., Class A		60,600		90

Dongfeng Motor Group Co. Ltd., Class H		739,169		463

Dongxing Securities Co. Ltd., Class A		35,200		67

East Money Information Co. Ltd., Class A		139,920		493

ENN Energy Holdings Ltd.		226,079		2,466

Eve Energy Co. Ltd., Class A		32,597		237

Everbright Securities Co. Ltd., Class A		65,098		210

Fangda Carbon New Material Co. Ltd., Class A*		99,082		89

Fiberhome Telecommunication Technologies Co. Ltd., Class A		23,200		81

Financial Street Holdings Co. Ltd., Class A		40,800		39

First Capital Securities Co. Ltd., Class A		72,300		118

Focus Media Information Technology Co. Ltd., Class A		235,400		280

Foshan Haitian Flavouring & Food Co. Ltd., Class A		46,404		1,109

Fosun International Ltd.		717,365		838

Founder Securities Co. Ltd., Class A*		133,500		165

Foxconn Industrial Internet Co. Ltd., Class A		128,400		257

Fujian Star-net Communication Co. Ltd., Class A		10,000		37

Fujian Sunner Development Co. Ltd., Class A		25,600		82



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

Fuyao Glass Industry Group Co. Ltd., Class A		34,392		$164

Fuyao Glass Industry Group Co. Ltd., Class H⁽²⁾		144,800		533

Ganfeng Lithium Co. Ltd., Class A		18,800		151

G-bits Network Technology Xiamen Co. Ltd., Class A		1,300		119

GCL System Integration Technology Co. Ltd., Class A*		78,000		43

GD Power Development Co. Ltd., Class A		362,600		108

GDS Holdings Ltd. ADR*		22,666		1,855

GEM Co. Ltd., Class A		48,800		34

Gemdale Corp., Class A		77,700		166

Genscript Biotech Corp.		278,000		458

GF Securities Co. Ltd., Class A		109,993		255

GF Securities Co. Ltd., Class H		354,800		452

Giant Network Group Co. Ltd., Class A		39,100		111

Gigadevice Semiconductor Beijing, Inc., Class A		7,700		197

Glodon Co. Ltd., Class A		7,300		79

GoerTek, Inc., Class A		56,900		340

GOME Retail Holdings Ltd.*		2,578,970		341

Gotion High-tech Co. Ltd., Class A*		20,200		71

Grandjoy Holdings Group Co. Ltd., Class A		91,900		63

Great Wall Motor Co. Ltd., Class H		889,296		1,133

Gree Electric Appliances, Inc. of Zhuhai, Class A		51,500		405

Greenland Holdings Corp. Ltd., Class A		152,500		143

Greentown Service Group Co. Ltd.		414,000		507

GRG Banking Equipment Co. Ltd., Class A		41,400		74

GSX Techedu, Inc. ADR*		22,158		1,997

Guangdong Haid Group Co. Ltd., Class A		27,200		246

Guangdong HEC Technology Holding Co. Ltd., Class A*		41,300		38

Guangdong Hongda Blasting Co. Ltd., Class A		12,100		90

Guanghui Energy Co. Ltd., Class A*		191,100		80

Guangzhou Automobile Group Co. Ltd., Class H		815,664		684

Guangzhou Baiyun International Airport Co. Ltd., Class A		45,000		90



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd., Class A		30,600		$136

Guangzhou Haige Communications Group, Inc. Co., Class A		35,000		60

Guangzhou Kingmed Diagnostics Group Co. Ltd., Class A		7,000		106

Guangzhou R&F Properties Co. Ltd., Class H		356,814		461

Guangzhou Shiyuan Electronic Technology Co. Ltd., Class A		11,900		170

Guangzhou Wondfo Biotech Co. Ltd., Class A		5,900		72

Guocheng Mining Co. Ltd., Class A*		19,500		48

Guosen Securities Co. Ltd., Class A		71,700		142

Guotai Junan Securities Co. Ltd., Class A		129,400		348

Guotai Junan Securities Co. Ltd., Class H⁽²⁾		148,000		207

Guoyuan Securities Co. Ltd., Class A		61,200		108

Haidilao International Holding Ltd.		228,000		1,650

Haier Smart Home Co. Ltd., Class A		118,497		380

Hainan Airlines Holding Co. Ltd., Class A*		283,000		73

Haitian International Holdings Ltd.		173,000		402

Haitong Securities Co. Ltd., Class A*		166,200		346

Haitong Securities Co. Ltd., Class H*		782,433		671

Hangzhou Hikvision Digital Technology Co. Ltd., Class A		160,900		904

Hangzhou Robam Appliances Co. Ltd., Class A		16,300		78

Hangzhou Silan Microelectronics Co. Ltd., Class A		22,900		54

Hangzhou Tigermed Consulting Co. Ltd., Class A		11,300		172

Hansoh Pharmaceutical Group Co. Ltd.⁽²⁾*		340,000		1,665

Hefei Meiya Optoelectronic Technology, Inc., Class A		9,700		68

Heilongjiang Agriculture Co. Ltd., Class A		30,600		83

Henan Shuanghui Investment & Development Co. Ltd., Class A		44,900		349

Hengan International Group Co. Ltd.		187,398		1,362

Hengli Petrochemical Co. Ltd., Class A		105,460		289

Hengtong Optic-electric Co. Ltd., Class A		27,860		59



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

Hengyi Petrochemical Co. Ltd., Class A		57,330		$88

Hesteel Co. Ltd., Class A*		142,400		44

Hithink RoyalFlush Information Network Co. Ltd., Class A		9,300		219

Holitech Technology Co. Ltd., Class A		40,000		30

Hongfa Technology Co. Ltd., Class A		12,800		86

Hua Hong Semiconductor Ltd.*		126,000		487

Huaan Securities Co. Ltd., Class A		62,300		80

Huadian Power International Corp. Ltd., Class A		121,800		64

Huadong Medicine Co. Ltd., Class A		32,720		119

Huagong Tech Co. Ltd., Class A		17,300		58

Hualan Biological Engineering, Inc., Class A		27,070		227

Huaneng Power International, Inc., Class A		126,200		100

Huaneng Power International, Inc., Class H		944,501		366

Huatai Securities Co. Ltd., Class A		126,600		383

Huatai Securities Co. Ltd., Class H⁽²⁾		419,200		687

Huaxi Securities Co. Ltd., Class A		45,200		80

Huaxia Bank Co. Ltd., Class A		249,690		225

Huaxin Cement Co. Ltd., Class A		23,400		87

Huayu Automotive Systems Co. Ltd., Class A		54,500		200

Huazhu Group Ltd. ADR		45,587		1,971

Hubei Biocause Pharmaceutical Co. Ltd., Class A		120,900		94

Hubei Energy Group Co. Ltd., Class A		117,200		64

Hubei Jumpcan Pharmaceutical Co. Ltd., Class A		14,000		46

Hunan Valin Steel Co. Ltd., Class A		105,500		78

Hundsun Technologies, Inc., Class A		18,135		264

HUYA, Inc. ADR*		16,532		396

Iflytek Co. Ltd., Class A		43,500		220

Industrial & Commercial Bank of China Ltd., Class A		924,800		668

Industrial & Commercial Bank of China Ltd., Class H		17,435,023		9,089

Industrial Bank Co. Ltd., Class A		349,800		829

Industrial Securities Co. Ltd., Class A		128,600		157

Inner Mongolia BaoTou Steel Union Co. Ltd., Class A*		873,200		147

Inner Mongolia First Machinery Group Co. Ltd., Class A		29,000		48



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

Inner Mongolia Junzheng Energy & Chemical Industry Group Co. Ltd., Class A		131,000		$140

Inner Mongolia MengDian HuaNeng Thermal Power Corp. Ltd., Class A		100,000		38

Inner Mongolia Yili Industrial Group Co. Ltd., Class A		104,400		593

Inner Mongolia Yitai Coal Co. Ltd., Class B		288,400		198

Innovent Biologics, Inc.*		269,500		2,007

Inspur Electronic Information Industry Co. Ltd., Class A		29,456		132

iQIYI, Inc. ADR*		63,506		1,434

Jafron Biomedical Co. Ltd., Class A		17,100		179

JD.com, Inc. ADR*		244,028		18,939

Jiangsu Changshu Rural Commercial Bank Co. Ltd., Class A		74,200		85

Jiangsu Expressway Co. Ltd., Class H		344,000		346

Jiangsu Hengli Hydraulic Co. Ltd., Class A		24,568		258

Jiangsu Hengrui Medicine Co. Ltd., Class A		91,388		1,210

Jiangsu King’sLuck Brewery JSC Ltd., Class A		24,100		157

Jiangsu Shagang Co. Ltd., Class A		28,700		51

Jiangsu Yanghe Brewery Joint-Stock Co. Ltd., Class A		25,900		477

Jiangsu Yangnong Chemical Co. Ltd., Class A		5,300		68

Jiangsu Yuyue Medical Equipment & Supply Co. Ltd., Class A		19,800		95

Jiangsu Zhongnan Construction Group Co. Ltd., Class A		79,600		107

Jiangsu Zhongtian Technology Co. Ltd., Class A		77,500		119

Jiangxi Copper Co. Ltd., Class A		51,499		108

Jiangxi Copper Co. Ltd., Class H		338,000		380

Jiangxi Zhengbang Technology Co. Ltd., Class A		38,200		103

Jilin Aodong Pharmaceutical Group Co. Ltd., Class A		20,000		49

Jinduicheng Molybdenum Co. Ltd., Class A		46,200		40

Jinke Properties Group Co. Ltd., Class A		89,000		118

Jinyu Bio-Technology Co. Ltd., Class A		12,000		48

Joincare Pharmaceutical Group Industry Co. Ltd., Class A		34,700		87



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

Jointown Pharmaceutical Group Co. Ltd., Class A*		23,300		$58

Jonjee Hi-Tech Industrial And Commercial Holding Co. Ltd., Class A		15,400		149

Joyoung Co. Ltd., Class A		13,200		79

JOYY, Inc. ADR		16,632		1,342

Juewei Food Co. Ltd., Class A		11,600		140

Juneyao Airlines Co. Ltd., Class A		43,500		69

Kaisa Group Holdings Ltd.*		707,000		363

KE Holdings, Inc. ADR*		26,315		1,613

Kingdee International Software Group Co. Ltd.*		667,000		1,733

Kingsoft Corp. Ltd.		235,903		1,189

Koolearn Technology Holding Ltd.*		64,000		274

Kweichow Moutai Co. Ltd., Class A		21,595		5,309

KWG Group Holdings Ltd.		350,000		599

Laobaixing Pharmacy Chain JSC, Class A		7,840		96

Legend Holdings Corp., Class H⁽²⁾		141,200		172

Lenovo Group Ltd.		2,068,000		1,374

Lens Technology Co. Ltd., Class A		48,900		232

Leo Group Co. Ltd., Class A		116,300		50

Lepu Medical Technology Beijing Co. Ltd., Class A		32,100		160

Leyard Optoelectronic Co. Ltd., Class A		43,700		50

Li Ning Co. Ltd.		598,500		2,808

Liaoning Cheng Da Co. Ltd., Class A		26,300		90

Lingyi iTech Guangdong Co., Class A		95,100		157

Livzon Pharmaceutical Group, Inc., Class A		10,600		77

Logan Group Co. Ltd.		394,000		625

Lomon Billions Group Co. Ltd., Class A		29,100		100

Longfor Group Holdings Ltd.		514,731		2,893

LONGi Green Energy Technology Co. Ltd., Class A		62,787		692

Luenmei Quantum Co. Ltd., Class A		26,200		50

Luxshare Precision Industry Co. Ltd.,

Class A		116,905		987

Luye Pharma Group Ltd.		515,500		300

Luzhou Laojiao Co. Ltd., Class A		25,200		533

Maanshan Iron & Steel Co. Ltd., Class A		126,200		50

Mango Excellent Media Co. Ltd., Class A		29,570		293



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

Maxscend Microelectronics Co. Ltd., Class A		2,500		$139

Meinian Onehealth Healthcare Holdings Co. Ltd., Class A*		74,176		155

Meituan Dianping, Class B*		1,024,200		32,210

Metallurgical Corp. of China Ltd., Class A		307,400		119

Momo, Inc. ADR		43,177		594

Muyuan Foods Co. Ltd., Class A		64,456		701

NanJi E-Commerce Co. Ltd., Class A		42,000		107

Nanjing King-Friend Biochemical

Pharmaceutical Co. Ltd., Class A		8,580		57

Nanjing Securities Co. Ltd., Class A		54,800		114

Nanyang Topsec Technologies Group, Inc., Class A*		19,900		67

NARI Technology Co. Ltd., Class A		79,585		231

NAURA Technology Group Co. Ltd., Class A		8,500		199

NavInfo Co. Ltd., Class A		33,500		73

NetEase, Inc. ADR		23,655		10,755

New China Life Insurance Co. Ltd., Class A		35,900		329

New China Life Insurance Co. Ltd., Class H		237,352		895

New Hope Liuhe Co. Ltd., Class A		72,400		295

New Oriental Education & Technology

Group, Inc. ADR*		40,948		6,122

Newland Digital Technology Co. Ltd., Class A		18,100		42

Ninestar Corp., Class A		20,400		86

Ningbo Joyson Electronic Corp., Class A		21,800		71

Ningbo Tuopu Group Co. Ltd., Class A		18,100		107

NIO, Inc. ADR*		306,954		6,514

Noah Holdings Ltd. ADR*		9,530		248

Northeast Securities Co. Ltd., Class A		40,300		59

Oceanwide Holdings Co. Ltd., Class A		74,500		46

Offcn Education Technology Co. Ltd., Class A		25,800		124

Offshore Oil Engineering Co. Ltd., Class A		50,500		34

OFILM Group Co. Ltd., Class A		45,000		96

Oppein Home Group, Inc., Class A		6,720		106

Orient Securities Co. Ltd., Class A		102,687		166

Oriental Pearl Group Co. Ltd., Class A		79,480		113

Ovctek China, Inc., Class A		11,500		106



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

Pacific Securities (The) Co. Ltd., Class A*		117,300		$70

Pangang Group Vanadium Titanium & Resources Co. Ltd., Class A*		259,900		79

People’s Insurance Co. Group of China (The) Ltd., Class A		103,700		103

People’s Insurance Co. Group of China (The) Ltd., Class H		2,378,535		711

Perfect World Co. Ltd., Class A		33,450		164

PetroChina Co. Ltd., Class A		371,700		224

PetroChina Co. Ltd., Class H		6,053,438		1,780

PICC Property & Casualty Co. Ltd., Class H		1,979,359		1,385

Pinduoduo, Inc. ADR*		78,062		5,788

Ping An Bank Co. Ltd., Class A		334,100		745

Ping An Healthcare and Technology Co. Ltd.⁽²⁾*		107,200		1,384

Ping An Insurance Group Co. of China Ltd., Class A		186,435		2,090

Ping An Insurance Group Co. of China Ltd., Class H		1,718,406		17,727

Poly Developments and Holdings Group Co. Ltd., Class A		205,400		480

Poly Property Services Co. Ltd.		32,400		252

Postal Savings Bank of China Co. Ltd., Class A		192,900		128

Postal Savings Bank of China Co. Ltd., Class H⁽²⁾		2,849,000		1,199

Power Construction Corp. of China Ltd., Class A		278,300		154

Proya Cosmetics Co. Ltd., Class A		3,400		72

Qingdao Rural Commercial Bank Corp., Class A		80,300		59

RiseSun Real Estate Development Co. Ltd., Class A		110,600		124

Rongsheng Petro Chemical Co. Ltd., Class A		90,200		250

SAIC Motor Corp. Ltd., Class A		134,193		378

Sanan Optoelectronics Co. Ltd., Class A		78,600		283

Sangfor Technologies, Inc., Class A		4,600		143

Sansteel Minguang Co. Ltd. Fujian, Class A		34,600		33

Sany Heavy Industry Co. Ltd., Class A		139,700		510

SDIC Capital Co. Ltd., Class A		67,600		152

SDIC Power Holdings Co. Ltd., Class A		137,800		183

Sealand Securities Co. Ltd., Class A		95,440		75



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

Seazen Group Ltd.*		608,000		$519

Seazen Holdings Co. Ltd., Class A		38,194		197

Semiconductor Manufacturing International Corp.*		1,018,000		2,413

SF Holding Co. Ltd., Class A		50,600		606

SG Micro Corp., Class A		2,600		115

Shaanxi Coal Industry Co. Ltd., Class A		150,200		186

Shandong Buchang Pharmaceuticals Co. Ltd., Class A		19,856		73

Shandong Gold Mining Co. Ltd., Class A⁽³⁾		60,137		225

Shandong Hualu Hengsheng Chemical Co. Ltd., Class A		39,500		143

Shandong Linglong Tyre Co. Ltd., Class A		31,800		137

Shandong Nanshan Aluminum Co. Ltd., Class A		188,800		63

Shandong Sinocera Functional Material Co. Ltd., Class A		12,800		70

Shandong Sun Paper Industry JSC Ltd., Class A		34,000		70

Shandong Weigao Group Medical Polymer Co. Ltd., Class H		712,116		1,427

Shanghai 2345 Network Holding Group Co. Ltd., Class A		99,300		42

Shanghai Baosight Software Co. Ltd., Class A		17,000		181

Shanghai Construction Group Co. Ltd., Class A		174,100		79

Shanghai Electric Group Co. Ltd., Class A*		161,200		119

Shanghai Electric Group Co. Ltd., Class H*		680,000		184

Shanghai Electric Power Co. Ltd., Class A		45,000		50

Shanghai Fosun Pharmaceutical Group Co. Ltd., Class A		35,500		259

Shanghai Fosun Pharmaceutical Group Co. Ltd., Class H		144,000		605

Shanghai International Airport Co. Ltd., Class A		19,700		199

Shanghai International Port Group Co. Ltd., Class A		195,000		120

Shanghai Jahwa United Co. Ltd., Class A		11,500		64

Shanghai Jinjiang International Hotels Co. Ltd., Class A		13,800		83



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

Shanghai Lujiazui Finance & Trade Zone Development Co. Ltd., Class B		305,401		$256

Shanghai M&G Stationery, Inc., Class A		15,800		158

Shanghai Pharmaceuticals Holding Co. Ltd., Class A		42,300		126

Shanghai Pharmaceuticals Holding Co. Ltd., Class H		213,947		359

Shanghai Pudong Development Bank Co. Ltd., Class A		505,392		697

Shanghai Putailai New Energy Technology Co. Ltd., Class A		8,200		132

Shanghai RAAS Blood Products Co. Ltd., Class A		94,600		114

Shanghai Tunnel Engineering Co. Ltd., Class A		39,500		33

Shanghai Yuyuan Tourist Mart Group Co. Ltd., Class A		84,800		110

Shanghai Zhangjiang High-Tech Park Development Co. Ltd., Class A		37,200		104

Shanxi Lu’an Environmental Energy Development Co. Ltd., Class A		27,200		24

Shanxi Meijin Energy Co. Ltd., Class A*		81,300		72

Shanxi Securities Co. Ltd., Class A		48,230		57

Shanxi Taigang Stainless Steel Co. Ltd., Class A		164,300		89

Shanxi Xinghuacun Fen Wine Factory Co. Ltd., Class A		14,700		428

Shanxi Xishan Coal & Electricity Power Co. Ltd., Class A		56,420		36

Shenergy Co. Ltd., Class A		111,400		90

Shengyi Technology Co. Ltd., Class A		41,800		144

Shennan Circuits Co. Ltd., Class A		9,380		162

Shenwan Hongyuan Group Co. Ltd., Class A		367,100		286

Shenzhen Airport Co. Ltd., Class A		65,300		82

Shenzhen Energy Group Co. Ltd., Class A		101,656		80

Shenzhen Expressway Co. Ltd., Class H		212,000		184

Shenzhen Goodix Technology Co. Ltd., Class A		7,700		178

Shenzhen Hepalink Pharmaceutical Group Co. Ltd., Class A		13,800		46

Shenzhen Inovance Technology Co. Ltd., Class A		32,200		275

Shenzhen Kaifa Technology Co. Ltd., Class A		18,700		57



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

Shenzhen Kangtai Biological Products Co. Ltd., Class A		10,600		$285

Shenzhen Kingdom Sci-Tech Co. Ltd., Class A		14,800		39

Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A		17,100		875

Shenzhen Overseas Chinese Town Co. Ltd., Class A		154,400		154

Shenzhen Salubris Pharmaceuticals Co. Ltd., Class A		18,000		92

Shenzhen Sunway Communication Co. Ltd., Class A		15,400		124

Shenzhou International Group Holdings Ltd.		237,200		4,028

Shijiazhuang Yiling Pharmaceutical Co. Ltd., Class A		19,100		76

Siasun Robot & Automation Co. Ltd., Class A*		22,500		48

Sichuan Chuantou Energy Co. Ltd., Class A		83,800		121

Sichuan Kelun Pharmaceutical Co. Ltd., Class A		29,000		95

Sichuan Languang Development Co. Ltd., Class A		42,100		31

Sichuan Swellfun Co. Ltd., Class A		8,400		80

Silergy Corp.		23,000		1,361

SINA Corp.*		17,964		765

Sinolink Securities Co. Ltd., Class A		66,100		148

Sino-Ocean Group Holding Ltd.		796,048		161

Sinopec Engineering Group Co. Ltd., Class H		364,500		134

Sinopec Shanghai Petrochemical Co. Ltd., Class A		144,100		71

Sinopec Shanghai Petrochemical Co. Ltd., Class H		860,005		157

Sinopharm Group Co. Ltd., Class H		373,914		794

Sinotrans Ltd., Class A		75,400		41

Sinotruk Hong Kong Ltd.		191,000		491

SOHO China Ltd.*		585,778		158

Songcheng Performance Development Co. Ltd., Class A		43,200		116

SooChow Securities Co. Ltd., Class A		67,110		105

Southwest Securities Co. Ltd., Class A		131,700		102

Spring Airlines Co. Ltd., Class A		14,200		94

STO Express Co. Ltd., Class A		26,300		58

Sunac China Holdings Ltd.		733,000		2,879



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

Suning.com Co. Ltd., Class A		177,100		$237

Sunny Optical Technology Group Co. Ltd.		204,525		3,132

Sunwoda Electronic Co. Ltd., Class A		22,300		89

Suofeiya Home Collection Co. Ltd., Class A		15,700		61

Suzhou Dongshan Precision Manufacturing Co. Ltd., Class A		30,300		118

Suzhou Gold Mantis Construction

Decoration Co. Ltd., Class A		74,800		107

TAL Education Group ADR*		110,058		8,369

Tangshan Jidong Cement Co. Ltd., Class A		23,200		53

TBEA Co. Ltd., Class A		69,000		89

TCL Technology Group Corp., Class A		202,500		184

Tencent Holdings Ltd.		1,647,389		109,705

Tencent Music Entertainment Group ADR*		104,606		1,545

Thunder Software Technology Co. Ltd., Class A		7,200		91

Tianfeng Securities Co. Ltd., Class A		90,500		86

Tianjin 712 Communication & Broadcasting Co. Ltd., Class A		17,800		118

Tianjin Chase Sun Pharmaceutical Co. Ltd., Class A		51,700		41

Tianjin Zhonghuan Semiconductor Co. Ltd., Class A		55,900		182

Tianma Microelectronics Co. Ltd., Class A		51,500		112

Tianqi Lithium Corp., Class A*		24,390		71

Tianshui Huatian Technology Co. Ltd., Class A		36,500		74

Tingyi Cayman Islands Holding Corp.		552,435		979

Toly Bread Co. Ltd., Class A		13,500		119

Tongcheng-Elong Holdings Ltd.*		244,400		448

TongFu Microelectronics Co. Ltd., Class A*		13,000		44

Tonghua Dongbao Pharmaceutical Co. Ltd., Class A		44,400		89

Tongkun Group Co. Ltd., Class A		50,100		102

Tongling Nonferrous Metals Group Co. Ltd., Class A		218,400		72

Tongwei Co. Ltd., Class A		64,100		252

Topchoice Medical Corp., Class A*		6,100		192

Topsports International Holdings Ltd.		355,000		491

Transfar Zhilian Co. Ltd., Class A		87,500		73



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

TravelSky Technology Ltd., Class H		265,000		$567

Trip.com Group Ltd. ADR*		136,161		4,240

Tsingtao Brewery Co. Ltd., Class A		12,800		142

Tsingtao Brewery Co. Ltd., Class H		121,767		995

Tunghsu Optoelectronic Technology Co. Ltd., Class A*		151,600		68

Unigroup Guoxin Microelectronics Co. Ltd., Class A		10,400		183

Uni-President China Holdings Ltd.		383,000		352

Unisplendour Corp. Ltd., Class A		48,048		180

Universal Scientific Industrial Shanghai Co. Ltd., Class A		27,800		105

Venustech Group, Inc., Class A		10,800		55

Vipshop Holdings Ltd. ADR*		126,543		1,979

Visionox Technology, Inc., Class A*		600		1

Walvax Biotechnology Co. Ltd., Class A		27,100		203

Wanda Film Holding Co. Ltd., Class A*		45,800		120

Wangsu Science & Technology Co. Ltd., Class A		42,900		51

Wanhua Chemical Group Co. Ltd., Class A		56,000		574

Want Want China Holdings Ltd.		1,424,870		994

Weibo Corp. ADR*		14,783		539

Weichai Power Co. Ltd., Class A		101,700		227

Weichai Power Co. Ltd., Class H		544,812		1,098

Weifu High-Technology Group Co. Ltd., Class A		23,600		87

Weihai Guangwei Composites Co. Ltd., Class A		8,900		93

Wens Foodstuffs Group Co. Ltd., Class A		109,700		315

Western Securities Co. Ltd., Class A		61,100		85

Westone Information Industry, Inc., Class A		25,100		68

Will Semiconductor Ltd., Class A		10,100		265

Wingtech Technology Co. Ltd., Class A		15,800		273

Winning Health Technology Group Co. Ltd., Class A		43,030		124

Wonders Information Co. Ltd., Class A*		13,200		46

Wuchan Zhongda Group Co. Ltd., Class A		124,900		85

Wuhan Guide Infrared Co. Ltd., Class A		29,410		150

Wuhu Sanqi Interactive Entertainment

Network Technology Group Co. Ltd., Class A		36,500		213

Wuhu Token Science Co. Ltd., Class A		42,000		62



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

Wuliangye Yibin Co. Ltd., Class A		66,800		$2,174

WUS Printed Circuit Kunshan Co. Ltd., Class A		33,800		94

WuXi AppTec Co. Ltd., Class A		35,660		534

WuXi AppTec Co. Ltd., Class H⁽²⁾		79,176		1,145

Wuxi Biologics Cayman, Inc.⁽²⁾*		292,500		7,178

Wuxi Lead Intelligent Equipment Co. Ltd., Class A		18,200		130

Wuxi Taiji Industry Co. Ltd., Class A		36,200		55

XCMG Construction Machinery Co. Ltd., Class A		117,700		96

Xiamen C & D, Inc., Class A		28,100		35

Xiamen Intretech, Inc., Class A		7,800		67

Xiamen Tungsten Co. Ltd., Class A		24,200		48

Xiaomi Corp., Class B*		3,037,200		8,112

Xinhu Zhongbao Co. Ltd., Class A		163,100		81

Xinjiang Goldwind Science & Technology Co. Ltd., Class A		63,800		96

Xinjiang Goldwind Science & Technology Co. Ltd., Class H		195,236		171

Xinyi Solar Holdings Ltd.		1,169,879		1,873

XPeng, Inc. ADR*		29,844		599

Yango Group Co. Ltd., Class A		95,800		103

Yantai Jereh Oilfield Services Group Co. Ltd., Class A		17,100		75

Yanzhou Coal Mining Co. Ltd., Class A		66,500		91

Yanzhou Coal Mining Co. Ltd., Class H		413,138		308

Yealink Network Technology Corp. Ltd., Class A		14,400		128

Yifan Pharmaceutical Co. Ltd., Class A		21,200		78

Yifeng Pharmacy Chain Co. Ltd., Class A		10,120		148

Yihai International Holding Ltd.*		135,000		2,127

Yintai Gold Co. Ltd., Class A		33,600		52

Yonghui Superstores Co. Ltd., Class A		165,300		190

Yonyou Network Technology Co. Ltd., Class A		61,035		344

Youngor Group Co. Ltd., Class A		86,300		87

Youzu Interactive Co. Ltd., Class A		14,000		36

Yuan Longping High-tech Agriculture Co. Ltd., Class A*		19,100		52

Yum China Holdings, Inc.		114,184		6,046

Yunda Holding Co. Ltd., Class A		41,450		114

Yunnan Baiyao Group Co. Ltd., Class A		21,500		323

Yunnan Energy New Material Co. Ltd., Class A		13,800		187



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

Yuzhou Group Holdings Co. Ltd.		524,186		$208

Zai Lab Ltd. ADR*		19,597		1,630

Zhangzhou Pientzehuang Pharmaceutical Co. Ltd., Class A		10,393		374

Zhaojin Mining Industry Co. Ltd., Class H		291,000		356

Zhejiang Century Huatong Group Co. Ltd., Class A*		145,460		204

Zhejiang Chint Electrics Co. Ltd., Class A		36,494		162

Zhejiang Dahua Technology Co. Ltd., Class A		48,500		147

Zhejiang Dingli Machinery Co. Ltd., Class A		8,340		121

Zhejiang Expressway Co. Ltd., Class H		397,294		287

Zhejiang Huahai Pharmaceutical Co. Ltd., Class A		23,210		110

Zhejiang Huayou Cobalt Co. Ltd., Class A*		18,950		97

Zhejiang Jingsheng Mechanical & Electrical Co. Ltd., Class A		37,100		168

Zhejiang Juhua Co. Ltd., Class A		47,200		47

Zhejiang Longsheng Group Co. Ltd., Class A		50,800		102

Zhejiang NHU Co. Ltd., Class A		48,000		210

Zhejiang Sanhua Intelligent Controls Co. Ltd., Class A		56,420		185

Zhejiang Semir Garment Co. Ltd., Class A		38,700		46

Zhejiang Supor Co. Ltd., Class A		13,000		151

Zhejiang Wanfeng Auto Wheel Co. Ltd., Class A		37,600		37

Zhejiang Weixing New Building Materials Co. Ltd., Class A		27,000		63

Zhejiang Wolwo Bio-Pharmaceutical Co. Ltd., Class A		10,100		83

Zhengzhou Yutong Bus Co. Ltd., Class A		43,300		100

Zhenro Properties Group Ltd.		446,000		274

Zheshang Securities Co. Ltd., Class A		47,800		124

ZhongAn Online P&C Insurance Co. Ltd., Class H*		107,800		538

Zhongji Innolight Co. Ltd., Class A		8,200		61

Zhongjin Gold Corp. Ltd., Class A		83,400		123

Zhongsheng Group Holdings Ltd.		158,500		996

Zhongtian Financial Group Co. Ltd., Class A*		120,600		60



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

China – 37.9% continued

Zhuzhou CRRC Times Electric Co. Ltd., Class H		149,774		$505

Zijin Mining Group Co. Ltd., Class A		342,100		311

Zijin Mining Group Co. Ltd., Class H		1,646,162		1,049

Zoomlion Heavy Industry Science and Technology Co. Ltd., Class A*		111,600		133

Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H		363,600		352

ZTE Corp., Class A		67,500		330

ZTE Corp., Class H		216,717		518

ZTO Express Cayman, Inc. ADR		116,348		3,481

				714,386

Colombia – 0.1%

Bancolombia S.A.		73,138		464

Ecopetrol S.A.		1,415,985		701

Grupo de Inversiones Suramericana S.A.		67,303		363

Interconexion Electrica S.A. ESP		127,536		679

				2,207

Czech Republic – 0.1%

CEZ A.S.		46,318		876

Komercni banka A.S.*		20,919		440

Moneta Money Bank A.S.⁽²⁾		151,153		348

				1,664

Egypt – 0.1%

Commercial International Bank Egypt S.A.E.		400,524		1,691

Eastern Co. S.A.E.		290,572		222

ElSewedy Electric Co.		220,868		96

				2,009

Greece – 0.1%

FF Group⁽⁴⁾*		18,664		—

Hellenic Telecommunications Organization S.A.		68,867		994

JUMBO S.A.		30,650		539

Motor Oil Hellas Corinth Refineries S.A.		12,369		146

OPAP S.A.		58,955		559

				2,238

Hong Kong – 3.1%

Alibaba Health Information Technology Ltd.*		930,000		2,288

Alibaba Pictures Group Ltd.*		3,300,000		494

Beijing Enterprises Holdings Ltd.		139,771		421

Beijing Enterprises Water Group Ltd.*		1,419,886		550



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

Hong Kong – 3.1% continued

Bosideng International Holdings Ltd.		908,000		$283

Brilliance China Automotive Holdings Ltd.		867,944		817

China Education Group Holdings Ltd.		218,000		400

China Everbright Environment Group Ltd.		1,057,629		601

China Everbright Ltd.		259,110		347

China Gas Holdings Ltd.		748,695		2,135

China Huishan Dairy Holdings⁽⁴⁾*		1,922,380		—

China Jinmao Holdings Group Ltd.		1,597,791		885

China Mengniu Dairy Co. Ltd.*		789,870		3,728

China Merchants Port Holdings Co. Ltd.		394,329		403

China Mobile Ltd. (Hong Kong Exchange)		1,762,508		11,331

China Overseas Land & Investment Ltd.		1,100,195		2,775

China Overseas Property Holdings Ltd.		375,000		307

China Power International Development Ltd.		1,219,000		226

China Resources Beer Holdings Co. Ltd.		418,948		2,570

China Resources Cement Holdings Ltd.		700,000		960

China Resources Gas Group Ltd.		273,958		1,227

China Resources Land Ltd.		919,432		4,181

China Resources Power Holdings Co. Ltd.		541,735		600

China State Construction International Holdings Ltd.		557,600		365

China Taiping Insurance Holdings Co. Ltd.		464,104		715

China Traditional Chinese Medicine Holdings Co. Ltd.		756,000		317

China Unicom Hong Kong Ltd.		1,754,494		1,150

COSCO SHIPPING Ports Ltd.		459,905		263

Far East Horizon Ltd.		568,000		462

Geely Automobile Holdings Ltd.		1,687,641		3,389

Guangdong Investment Ltd.		842,514		1,338

Haier Electronics Group Co. Ltd.		358,000		1,299

Hutchison China MediTech Ltd. ADR*		19,818		640

Kingboard Holdings Ltd.		185,500		613

Kingboard Laminates Holdings Ltd.		308,000		424

Kunlun Energy Co. Ltd.		1,117,230		736

Lee & Man Paper Manufacturing Ltd.		362,000		263

Nine Dragons Paper Holdings Ltd.		466,923		587

Shanghai Industrial Holdings Ltd.		124,043		165

Shanghai Industrial Urban Development Group Ltd.		24,809		2



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

Hong Kong – 3.1% continued

Shenzhen International Holdings Ltd.		306,255		$488

Shenzhen Investment Ltd.		802,200		234

Shimao Group Holdings Ltd.		347,403		1,444

Sino Biopharmaceutical Ltd.		2,979,750		3,266

SSY Group Ltd.		440,000		251

Sun Art Retail Group Ltd.		668,500		741

Vinda International Holdings Ltd.		103,000		340

Wharf Holdings (The) Ltd.		437,000		873

Yuexiu Property Co. Ltd.		1,998,000		391

				58,285

Hungary – 0.2%

MOL Hungarian Oil & Gas PLC*		117,762		642

OTP Bank Nyrt.*		64,284		1,933

Richter Gedeon Nyrt.		40,115		847

				3,422

India – 8.1%

Adani Ports & Special Economic Zone Ltd.		146,117		680

Ambuja Cements Ltd.		199,447		589

Asian Paints Ltd.		82,582		2,225

Aurobindo Pharma Ltd.		82,396		893

Avenue Supermarts Ltd.*		44,616		1,333

Axis Bank Ltd.*		649,581		3,771

Bajaj Auto Ltd.		19,961		780

Bajaj Finance Ltd.		51,646		2,320

Bajaj Finserv Ltd.		10,960		875

Bandhan Bank Ltd.*		207,948		778

Berger Paints India Ltd.		65,194		516

Bharat Forge Ltd.		64,960		396

Bharat Petroleum Corp. Ltd.		186,762		898

Bharti Airtel Ltd.		360,491		2,065

Bharti Infratel Ltd.		99,384		237

Biocon Ltd.*		82,651		504

Bosch Ltd.		1,709		319

Britannia Industries Ltd.		16,602		858

Cipla Ltd.		99,492		1,050

Coal India Ltd.		355,985		561

Colgate-Palmolive India Ltd.		18,953		368

Container Corp. of India Ltd.		58,358		290

Dabur India Ltd.		152,136		1,056

Divi’s Laboratories Ltd.		22,855		945

DLF Ltd.		174,412		363

Dr. Reddy’s Laboratories Ltd.		31,721		2,232

Dr. Reddy’s Laboratories Ltd. ADR		1,163		81



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

India – 8.1% continued

Eicher Motors Ltd.		38,390		$1,155

GAIL India Ltd.		453,020		536

Godrej Consumer Products Ltd.		117,355		1,156

Grasim Industries Ltd.		84,950		861

Havells India Ltd.		71,833		662

HCL Technologies Ltd.		311,512		3,429

HDFC Asset Management Co. Ltd.⁽²⁾		14,653		451

HDFC Life Insurance Co. Ltd.*		202,764		1,538

Hero MotoCorp Ltd.		28,087		1,203

Hindalco Industries Ltd.		335,185		802

Hindustan Petroleum Corp. Ltd.		174,925		431

Hindustan Unilever Ltd.		235,989		6,629

Housing Development Finance Corp. Ltd.		475,800		11,292

ICICI Bank Ltd.*		1,464,124		7,102

ICICI Lombard General Insurance Co. Ltd.		58,689		1,038

ICICI Prudential Life Insurance Co. Ltd.		97,182		558

Indian Oil Corp. Ltd.		541,627		545

Indraprastha Gas Ltd.		60,266		317

Info Edge India Ltd.		17,703		873

Infosys Ltd.		977,738		13,508

InterGlobe Aviation Ltd.⁽²⁾*		26,664		453

ITC Ltd.		847,902		1,975

JSW Steel Ltd.		242,797		920

Jubilant Foodworks Ltd.		20,830		662

Larsen & Toubro Ltd.		136,970		1,683

LIC Housing Finance Ltd.		81,279		306

Lupin Ltd.		63,701		870

Mahindra & Mahindra Ltd.		214,066		1,774

Marico Ltd.		129,589		640

Maruti Suzuki India Ltd.		34,676		3,186

Motherson Sumi Systems Ltd.		271,884		426

Nestle India Ltd.		6,640		1,433

NTPC Ltd.		681,501		787

Oil & Natural Gas Corp.Ltd.		722,070		681

Page Industries Ltd.		1,516		439

Petronet LNG Ltd.		172,191		517

Pidilite Industries Ltd.		34,989		682

Piramal Enterprises Ltd.		26,268		447

Power Grid Corp. of India Ltd.		525,485		1,160

REC Ltd.		198,370		268

Reliance Industries Ltd.		821,993		25,036

SBI Life Insurance Co. Ltd.*		114,796		1,269



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

India – 8.1% continued

Shree Cement Ltd.		2,485		$683

Shriram Transport Finance Co. Ltd.		26,871		227

Siemens Ltd.		20,440		352

State Bank of India*		512,246		1,297

Sun Pharmaceutical Industries Ltd.		240,994		1,640

Tata Consultancy Services Ltd.		258,450		8,766

Tata Consumer Products Ltd.		124,301		843

Tata Motors Ltd.*		487,569		888

Tata Steel Ltd.		100,218		492

Tech Mahindra Ltd.		133,025		1,434

Titan Co. Ltd.		89,173		1,458

Torrent Pharmaceuticals Ltd.		14,569		555

UltraTech Cement Ltd.		33,131		1,820

United Spirits Ltd.*		83,569		587

UPL Ltd.		142,525		977

Vedanta Ltd.		531,237		986

Wipro Ltd.		327,917		1,399

Zee Entertainment Enterprises Ltd.		248,735		709

				151,796

Indonesia – 1.2%

Ace Hardware Indonesia Tbk PT		1,968,700		210

Adaro Energy Tbk PT		4,130,720		316

Astra International Tbk PT		5,809,060		1,748

Bank Central Asia Tbk PT		2,830,192		5,165

Bank Mandiri Persero Tbk PT		5,357,010		1,798

Bank Negara Indonesia Persero Tbk PT		2,140,709		643

Bank Rakyat Indonesia Persero Tbk PT		15,929,190		3,268

Barito Pacific Tbk PT*		7,663,900		408

Charoen Pokphand Indonesia Tbk PT		2,117,635		811

Gudang Garam Tbk PT*		138,015		372

Hanjaya Mandala Sampoerna Tbk PT		2,555,900		241

Indah Kiat Pulp & Paper Corp. Tbk PT		785,000		476

Indocement Tunggal Prakarsa Tbk PT		422,503		296

Indofood CBP Sukses Makmur Tbk PT		781,600		530

Indofood Sukses Makmur Tbk PT		1,259,871		607

Kalbe Farma Tbk PT		6,194,480		647

Perusahaan Gas Negara Tbk PT		2,244,412		140

Semen Indonesia Persero Tbk PT		973,255		602

Telekomunikasi Indonesia Persero Tbk PT		14,214,662		2,452

Unilever Indonesia Tbk PT		2,189,640		1,195

United Tractors Tbk PT		481,671		741

XL Axiata Tbk PT		1,018,600		140

				22,806



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

Malaysia – 1.7%

AMMB Holdings Bhd.		482,237		$349

Axiata Group Bhd.		788,903		562

Carlsberg Brewery Malaysia Bhd.		44,400		221

CIMB Group Holdings Bhd.		1,850,996		1,377

Dialog Group Bhd.		1,133,344		1,042

DiGi.Com Bhd.		892,500		867

Fraser & Neave Holdings Bhd.		43,100		334

Gamuda Bhd.		505,936		426

Genting Bhd.		611,900		470

Genting Malaysia Bhd.		852,000		428

Genting Plantations Bhd.		74,500		178

HAP Seng Consolidated Bhd.		172,600		297

Hartalega Holdings Bhd.		484,900		1,915

Hong Leong Bank Bhd.		186,598		678

Hong Leong Financial Group Bhd.		62,128		214

IHH Healthcare Bhd.		629,500		792

IOI Corp. Bhd.		721,440		774

Kossan Rubber Industries		183,700		613

Kuala Lumpur Kepong Bhd.		124,092		682

Malayan Banking Bhd.		1,129,059		1,967

Malaysia Airports Holdings Bhd.		312,593		358

Maxis Bhd.		673,251		824

MISC Bhd.		389,860		703

Nestle Malaysia Bhd.		20,200		688

Petronas Chemicals Group Bhd.		688,700		934

Petronas Dagangan Bhd.		87,600		418

Petronas Gas Bhd.		227,100		900

PPB Group Bhd.		183,700		842

Press Metal Aluminium Holdings Bhd.		405,600		504

Public Bank Bhd.		835,561		3,158

QL Resources Bhd.		209,500		495

RHB Bank Bhd.		449,546		495

Sime Darby Bhd.		781,128		469

Sime Darby Plantation Bhd.		597,928		729

Supermax Corp. Bhd.*		430,000		875

Telekom Malaysia Bhd.		326,586		326

Tenaga Nasional Bhd.		652,750		1,650

Top Glove Corp. Bhd.		1,365,900		2,759

Westports Holdings Bhd.		244,600		227

YTL Corp. Bhd.		957,095		156

				31,696

Mexico – 1.6%

Alfa S.A.B. de C.V., Class A		870,480		539

America Movil S.A.B. de C.V., Series L		9,657,135		6,032



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

Mexico – 1.6% continued

Arca Continental S.A.B. de C.V.		126,484		$545

Becle S.A.B. de C.V.		157,200		320

Cemex S.A.B. de C.V., Series CPO		4,344,152		1,648

Coca-Cola Femsa S.A.B. de C.V.		150,722		611

Fibra Uno Administracion S.A. de C.V.		906,401		716

Fomento Economico Mexicano S.A.B. de C.V., Series UBD		558,143		3,135

Gruma S.A.B. de C.V., Class B		64,805		717

Grupo Aeroportuario del Pacifico S.A.B. de C.V., Class B		109,452		878

Grupo Aeroportuario del Sureste S.A.B. de C.V., Series B*		59,630		692

Grupo Bimbo S.A.B. de C.V., Series A		462,428		860

Grupo Carso S.A.B. de C.V., Series A1		135,273		276

Grupo Financiero Banorte S.A.B. de C.V., Series O*		744,688		2,573

Grupo Financiero Inbursa S.A.B. de C.V., Series O*		663,933		513

Grupo Mexico S.A.B. de C.V., Series B		893,639		2,275

Grupo Televisa S.A.B., Series CPO*		689,714		853

Industrias Penoles S.A.B. de C.V.		39,444		636

Infraestructura Energetica Nova S.A.B. de C.V.		157,200		473

Kimberly-Clark de Mexico S.A.B. de C.V., Class A		427,327		675

Megacable Holdings S.A.B. de C.V., Series CPO		83,551		242

Orbia Advance Corp. S.A.B. de C.V.		291,980		509

Promotora y Operadora de Infraestructura S.A.B. de C.V.*		65,855		463

Wal-Mart de Mexico S.A.B. de C.V.		1,503,283		3,597

				29,778

Pakistan – 0.0%

Habib Bank Ltd.		161,400		128

MCB Bank Ltd.		125,000		131

Oil & Gas Development Co. Ltd.		176,600		111

				370

Peru – 0.2%

Cia de Minas Buenaventura S.A.A. ADR		61,890		756

Credicorp Ltd.		19,456		2,412

Southern Copper Corp.		24,405		1,105

				4,273

Philippines – 0.7%

Aboitiz Equity Ventures, Inc.		570,189		543



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

Philippines – 0.7% continued

Aboitiz Power Corp.		403,944		$213

Ayala Corp.		80,797		1,148

Ayala Land, Inc.		2,323,360		1,423

Bank of the Philippine Islands		258,686		342

BDO Unibank, Inc.		565,899		1,010

Globe Telecom, Inc.		9,555		410

GT Capital Holdings, Inc.		27,972		223

International Container Terminal Services, Inc.		287,070		652

JG Summit Holdings, Inc.		822,251		1,021

Jollibee Foods Corp.		123,093		368

Manila Electric Co.		66,140		370

Megaworld Corp.*		3,482,700		213

Metro Pacific Investments Corp.		3,895,400		280

Metropolitan Bank & Trust Co.		516,249		407

PLDT, Inc.		24,985		690

Puregold Price Club, Inc.		289,700		293

Robinsons Land Corp.		582,170		171

SM Investments Corp.		69,132		1,255

SM Prime Holdings, Inc.		2,900,713		1,764

Universal Robina Corp.		253,020		699

				13,495

Poland – 0.6%

Bank Polska Kasa Opieki S.A.*		52,727		685

CD Projekt S.A.*		19,309		2,087

Cyfrowy Polsat S.A.*		82,593		576

Dino Polska S.A.*		14,068		828

Grupa Lotos S.A.		26,527		236

KGHM Polska Miedz S.A.*		40,177		1,224

LPP S.A.*		372		631

mBank S.A.*		4,253		183

Orange Polska S.A.*		190,250		336

PGE Polska Grupa Energetyczna S.A.*		241,467		400

Polski Koncern Naftowy ORLEN S.A.		85,922		1,018

Polskie Gornictwo Naftowe i Gazownictwo S.A.		497,487		648

Powszechna Kasa Oszczednosci Bank Polski S.A.*		251,112		1,375

Powszechny Zaklad Ubezpieczen S.A.*		173,472		1,111

Santander Bank Polska S.A.*		10,254		377

				11,715

Qatar – 0.8%

Barwa Real Estate Co.		558,073		538



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

Qatar – 0.8% continued

Commercial Bank PSQC (The)		569,135		$637

Industries Qatar QSC		520,878		1,410

Masraf Al Rayan QSC		1,054,670		1,207

Mesaieed Petrochemical Holding Co.		1,261,905		722

Ooredoo QPSC		270,562		497

Qatar Electricity & Water Co. QSC		154,684		720

Qatar Fuel QSC		139,814		681

Qatar International Islamic Bank QSC		212,858		491

Qatar Islamic Bank S.A.Q.		332,281		1,510

Qatar National Bank QPSC		1,298,851		6,484

				14,897

Romania – 0.0%

NEPI Rockcastle PLC		116,688		480

Russia – 2.9%

Alrosa PJSC		739,770		702

Gazprom PJSC		1,814,678		3,989

Gazprom PJSC ADR		816,297		3,551

Inter RAO UES PJSC		10,540,623		761

LUKOIL PJSC		59,858		3,449

LUKOIL PJSC ADR		59,399		3,434

Magnit PJSC		2,287		146

Magnit PJSC GDR (Registered)		92,947		1,387

Magnitogorsk Iron & Steel Works PJSC		653,100		324

MMC Norilsk Nickel PJSC		16,399		3,969

MMC Norilsk Nickel PJSC ADR		17,697		425

Mobile TeleSystems PJSC ADR		129,038		1,126

Moscow Exchange MICEX-RTS PJSC		391,976		738

Novatek PJSC GDR (Registered)		26,141		3,577

Novolipetsk Steel PJSC		343,990		760

PhosAgro PJSC GDR (Registered)		35,003		421

Polymetal International PLC		67,474		1,476

Polyus PJSC		9,632		2,015

Rosneft Oil Co. PJSC		178,275		879

Rosneft Oil Co. PJSC GDR (Registered)		157,036		770

Sberbank of Russia PJSC*		3,041,562		8,918

Sberbank of Russia PJSC (Moscow Exchange)*		56,000		165

Severstal PAO		49,527		632

Severstal PAO GDR (Registered)		10,645		135

Surgutneftegas PJSC		1,102,667		491

Surgutneftegas PJSC ADR		95,608		422

Tatneft PJSC		345,977		2,055

Tatneft PJSC ADR		1,663		60

Tatneft PJSC ADR (London Exchange)		8,388		300



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

Russia – 2.9% continued

VTB Bank PJSC*		800,566,738		$355

VTB Bank PJSC GDR⁽²⁾(5) *		11,036		10

VTB Bank PJSC GDR (Registered)*		67,875		56

X5 Retail Group N.V. GDR (Registered)		35,071		1,303

Yandex N.V., Class A*		86,669		5,631

				54,432

Saudi Arabia – 2.7%

Abdullah Al Othaim Markets Co.		12,656		437

Advanced Petrochemical Co.		30,924		487

Al Rajhi Bank		356,891		6,255

Alinma Bank*		281,245		1,226

Almarai Co. JSC		71,746		1,012

Arab National Bank		172,191		931

Bank AlBilad		105,467		679

Bank Al-Jazira		115,310		431

Banque Saudi Fransi		169,450		1,460

Bupa Arabia for Cooperative Insurance Co.*		17,219		564

Co for Cooperative Insurance (The)*		17,476		405

Dar Al Arkan Real Estate Development Co.*		154,388		386

Emaar Economic City*		109,771		295

Etihad Etisalat Co.*		108,279		825

Jarir Marketing Co.		16,912		845

National Commercial Bank		421,868		4,181

National Industrialization Co.*		94,064		334

Rabigh Refining & Petrochemical Co.*		62,849		262

Riyad Bank		387,429		1,926

Sahara International Petrochemical Co.		120,516		532

Samba Financial Group		281,245		2,018

Saudi Airlines Catering Co.		11,114		245

Saudi Arabian Fertilizer Co.		58,592		1,280

Saudi Arabian Mining Co.*		123,606		1,377

Saudi Arabian Oil Co.⁽²⁾		632,304		6,054

Saudi Basic Industries Corp.		258,286		6,091

Saudi British Bank (The)		206,393		1,393

Saudi Cement Co.		21,013		326

Saudi Electricity Co.		239,150		1,098

Saudi Industrial Investment Group		51,505		320

Saudi Kayan Petrochemical Co.*		210,996		660

Saudi Telecom Co.		172,191		4,615

Savola Group (The)		75,089		961

Yanbu National Petrochemical Co.		72,643		1,137

				51,048



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

Singapore – 0.0%

BOC Aviation Ltd.⁽²⁾		59,400		$405

South Africa – 3.4%

Absa Group Ltd.		206,798		1,100

Anglo American Platinum Ltd.		15,478		1,074

AngloGold Ashanti Ltd.		119,345		3,118

Aspen Pharmacare Holdings Ltd.*		111,345		792

Bid Corp. Ltd.		96,256		1,483

Bidvest Group (The) Ltd.		83,005		683

Capitec Bank Holdings Ltd.		20,319		1,258

Clicks Group Ltd.		72,183		957

Discovery Ltd.		113,351		865

Exxaro Resources Ltd.		72,060		535

FirstRand Ltd.		1,368,363		3,362

Gold Fields Ltd.		253,503		3,101

Growthpoint Properties Ltd.		880,001		643

Harmony Gold Mining Co. Ltd.*		156,015		829

Impala Platinum Holdings Ltd.		229,310		1,990

Kumba Iron Ore Ltd.		18,486		546

Life Healthcare Group Holdings Ltd.		416,640		425

Momentum Metropolitan Holdings		285,352		264

Mr Price Group Ltd.		73,990		582

MTN Group Ltd.		486,681		1,637

MultiChoice Group		126,994		734

Naspers Ltd., Class N		125,171		22,077

Nedbank Group Ltd.		106,985		642

Northam Platinum Ltd.*		102,409		1,039

Old Mutual Ltd.		1,351,284		835

Pepkor Holdings Ltd.⁽²⁾		232,419		155

Rand Merchant Investment Holdings Ltd.		216,879		376

Reinet Investments S.C.A.		42,243		732

Remgro Ltd.		151,877		851

Sanlam Ltd.		511,589		1,585

Sasol Ltd.*		161,690		1,239

Shoprite Holdings Ltd.		144,249		1,176

Sibanye Stillwater Ltd.		652,534		1,816

SPAR Group (The) Ltd.		55,976		633

Standard Bank Group Ltd.		371,866		2,395

Tiger Brands Ltd.		46,303		527

Vodacom Group Ltd.		184,403		1,355

Woolworths Holdings Ltd.		285,867		600

				64,011

South Korea – 11.1%

Alteogen, Inc.*		5,229		805



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

South Korea – 11.1% continued

Amorepacific Corp.		9,227		$1,285

AMOREPACIFIC Group		8,413		349

BGF retail Co. Ltd.		2,232		235

BNK Financial Group, Inc.		79,507		342

Celltrion Healthcare Co. Ltd.*		19,516		1,462

Celltrion Pharm, Inc.*		4,752		458

Celltrion, Inc.*		27,070		5,956

Cheil Worldwide, Inc.		19,809		355

CJ CheilJedang Corp.		2,376		802

CJ Corp.		4,605		318

CJ ENM Co. Ltd.		3,191		388

CJ Logistics Corp.*		2,659		401

Coway Co. Ltd.*		13,766		945

Daelim Industrial Co. Ltd.		7,989		528

Daewoo Shipbuilding & Marine Engineering Co. Ltd.*		10,696		217

DB Insurance Co. Ltd.		14,222		554

Doosan Bobcat, Inc.		14,702		338

Douzone Bizon Co. Ltd.		5,535		497

E-MART, Inc.		5,599		671

Fila Holdings Corp.		16,763		521

GS Engineering & Construction Corp.		17,535		362

GS Holdings Corp.		14,665		393

GS Retail Co. Ltd.		7,937		229

Hana Financial Group, Inc.		86,165		2,051

Hankook Tire & Technology Co. Ltd.		21,330		569

Hanmi Pharm Co. Ltd.		1,869		437

Hanon Systems		53,657		566

Hanwha Corp.		11,199		241

Hanwha Solutions Corp.		30,122		1,006

HLB, Inc.*		12,716		1,142

Hotel Shilla Co. Ltd.		9,010		581

Hyundai Engineering & Construction Co. Ltd.		22,370		582

Hyundai Glovis Co. Ltd.		5,380		673

Hyundai Heavy Industries Holdings Co. Ltd.		2,804		519

Hyundai Marine & Fire Insurance Co. Ltd.		17,225		329

Hyundai Mobis Co. Ltd.		19,146		3,761

Hyundai Motor Co.		42,923		6,542

Hyundai Steel Co.		24,893		533

Industrial Bank of Korea		74,194		504

Kakao Corp.		16,436		5,116

Kangwon Land, Inc.		30,698		564



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

South Korea – 11.1% continued

KB Financial Group, Inc.		113,364		$3,656

Kia Motors Corp.		75,616		3,082

KMW Co. Ltd.*		7,542		506

Korea Aerospace Industries Ltd.		20,980		409

Korea Electric Power Corp.*		73,693		1,285

Korea Gas Corp.		7,741		162

Korea Investment Holdings Co. Ltd.		12,014		758

Korea Shipbuilding & Offshore Engineering Co. Ltd.*		11,170		801

Korea Zinc Co. Ltd.		2,436		793

Korean Air Lines Co. Ltd.*		23,042		367

KT&G Corp.		33,490		2,364

Kumho Petrochemical Co. Ltd.		5,344		497

LG Chem Ltd.		13,168		7,352

LG Corp.		27,236		1,724

LG Display Co. Ltd.*		66,747		875

LG Electronics, Inc.		30,526		2,422

LG Household & Health Care Ltd.		2,689		3,338

LG Innotek Co. Ltd.		4,140		548

LG Uplus Corp.		61,397		603

Lotte Chemical Corp.		4,918		825

Lotte Corp.		7,684		188

Lotte Shopping Co. Ltd.		3,247		218

Meritz Securities Co. Ltd.		77,596		218

Mirae Asset Daewoo Co. Ltd.		83,441		615

NAVER Corp.		35,355		8,952

NCSoft Corp.		4,725		3,254

Netmarble Corp.⁽²⁾*		6,190		871

NH Investment & Securities Co. Ltd.		32,551		257

Orion Corp.		6,807		768

Ottogi Corp.		335		162

Pan Ocean Co. Ltd.*		76,849		223

Pearl Abyss Corp.*		1,730		298

POSCO		21,268		3,574

POSCO Chemical Co. Ltd.		5,998		429

Posco International Corp.		13,725		159

S-1 Corp.		4,958		371

Samsung Biologics Co. Ltd.*		4,747		2,799

Samsung C&T Corp.		24,497		2,197

Samsung Card Co. Ltd.		8,323		203

Samsung Electro-Mechanics Co. Ltd.		16,076		1,908

Samsung Electronics Co. Ltd.		1,372,624		69,161

Samsung Engineering Co. Ltd.*		45,663		411



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

South Korea – 11.1% continued

Samsung Fire & Marine Insurance Co. Ltd.		8,837		$1,374

Samsung Heavy Industries Co. Ltd.*		135,600		617

Samsung Life Insurance Co. Ltd.		20,088		1,047

Samsung SDI Co. Ltd.		15,787		5,844

Samsung SDS Co. Ltd.		9,992		1,447

Samsung Securities Co. Ltd.		17,519		458

Seegene, Inc.		5,277		1,177

Shin Poong Pharmaceutical Co. Ltd.*		8,375		905

Shinhan Financial Group Co. Ltd.		131,528		3,059

Shinsegae, Inc.		2,125		383

SK Holdings Co. Ltd.		10,096		1,712

SK Hynix, Inc.		156,694		11,243

SK Innovation Co. Ltd.		15,921		1,890

SK Telecom Co. Ltd.		11,161		2,270

SK Telecom Co. Ltd. ADR		1,900		43

S-Oil Corp.		12,923		570

Woori Financial Group, Inc.		155,460		1,141

Yuhan Corp.		13,315		726

				209,636

Taiwan – 12.4%

Accton Technology Corp.		144,000		1,113

Acer, Inc.		837,800		722

Advantech Co. Ltd.		109,793		1,104

ASE Technology Holding Co. Ltd.		931,928		1,915

Asia Cement Corp.		626,567		901

ASMedia Technology, Inc.		7,000		355

Asustek Computer, Inc.		201,546		1,771

AU Optronics Corp.*		2,485,215		968

Catcher Technology Co. Ltd.		198,111		1,247

Cathay Financial Holding Co. Ltd.		2,267,212		3,030

Chailease Holding Co. Ltd.		356,615		1,620

Chang Hwa Commercial Bank Ltd.		1,490,026		893

Cheng Shin Rubber Industry Co. Ltd.		511,184		652

Chicony Electronics Co. Ltd.		167,765		489

China Development Financial Holding Corp.		3,649,868		1,073

China Life Insurance Co. Ltd.		780,002		535

China Steel Corp.		3,386,156		2,396

Chunghwa Telecom Co. Ltd.		1,090,493		4,022

Compal Electronics, Inc.		1,200,759		792

CTBC Financial Holding Co. Ltd.		5,034,878		3,202

Delta Electronics, Inc.		558,343		3,661

E.Sun Financial Holding Co. Ltd.		3,239,886		2,866



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

Taiwan – 12.4% continued

Eclat Textile Co. Ltd.		55,182		$688

Eva Airways Corp.		668,592		247

Evergreen Marine Corp. Taiwan Ltd.*		689,891		378

Far Eastern New Century Corp.		848,789		742

Far EasTone Telecommunications Co. Ltd.		457,345		964

Feng TAY Enterprise Co. Ltd.		115,928		698

First Financial Holding Co. Ltd.		2,946,691		2,096

Formosa Chemicals & Fibre Corp.		1,008,499		2,360

Formosa Petrochemical Corp.		327,487		906

Formosa Plastics Corp.		1,095,682		2,976

Formosa Taffeta Co. Ltd.		231,827		251

Foxconn Technology Co. Ltd.		264,131		471

Fubon Financial Holding Co. Ltd.		1,908,025		2,770

Giant Manufacturing Co. Ltd.		85,483		808

Globalwafers Co. Ltd.		62,000		825

Highwealth Construction Corp.		226,039		336

Hiwin Technologies Corp.		72,776		718

Hon Hai Precision Industry Co. Ltd.		3,615,942		9,680

Hotai Motor Co. Ltd.		85,900		1,917

Hua Nan Financial Holdings Co. Ltd.		2,397,465		1,462

Innolux Corp.*		2,378,900		776

Inventec Corp.		720,314		560

Largan Precision Co. Ltd.		29,835		3,486

Lite-On Technology Corp.		606,964		966

MediaTek, Inc.		433,334		9,138

Mega Financial Holding Co. Ltd.		3,121,543		2,999

Micro-Star International Co. Ltd.		193,000		892

Nan Ya Plastics Corp.		1,478,951		3,041

Nanya Technology Corp.		352,071		700

Nien Made Enterprise Co. Ltd.		47,000		560

Novatek Microelectronics Corp.		165,850		1,529

Pegatron Corp.		561,594		1,241

Phison Electronics Corp.		42,608		391

Pou Chen Corp.		686,093		622

Powertech Technology, Inc.		211,568		632

President Chain Store Corp.		163,220		1,484

Quanta Computer, Inc.		830,576		2,176

Realtek Semiconductor Corp.		145,457		1,862

Ruentex Development Co. Ltd.		237,135		319

Shanghai Commercial & Savings Bank (The) Ltd.		964,359		1,295

Shin Kong Financial Holding Co. Ltd.		3,149,344		878

SinoPac Financial Holdings Co. Ltd.		2,910,792		1,094



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

Taiwan – 12.4% continued

Standard Foods Corp.		77,355		$163

Synnex Technology International Corp.		384,940		549

Taishin Financial Holding Co. Ltd.		2,815,611		1,245

Taiwan Business Bank		1,585,699		523

Taiwan Cement Corp.		1,399,824		2,007

Taiwan Cooperative Financial Holding Co. Ltd.		2,678,604		1,805

Taiwan High Speed Rail Corp.		565,000		618

Taiwan Mobile Co. Ltd.		473,076		1,579

Taiwan Semiconductor Manufacturing Co. Ltd.		7,079,749		106,328

Uni-President Enterprises Corp.		1,385,150		2,995

United Microelectronics Corp.		3,337,043		3,271

Vanguard International Semiconductor Corp.		258,000		861

Walsin Technology Corp.		92,000		493

Win Semiconductors Corp.		97,000		965

Winbond Electronics Corp.		873,000		423

Wistron Corp.		814,449		843

Wiwynn Corp.		23,000		522

WPG Holdings Ltd.		461,290		620

Ya Hsin Industrial Co. Ltd.⁽⁴⁾*		121,548		—

Yageo Corp.		105,377		1,287

Yuanta Financial Holding Co. Ltd.		2,785,846		1,719

Zhen Ding Technology Holding Ltd.		167,850		735

				232,812

Thailand – 1.7%

Advanced Info Service PCL (Registered)		194,000		1,047

Advanced Info Service PCL NVDR		139,099		753

Airports of Thailand PCL NVDR		1,229,900		2,201

Asset World Corp. PCL NVDR		1,836,700		203

B Grimm Power PCL NVDR (Registered)		224,600		300

Bangkok Bank PCL (Registered)		90,100		274

Bangkok Bank PCL NVDR		75,300		229

Bangkok Commercial Asset Management PCL NVDR (Registered)		510,100		319

Bangkok Dusit Medical Services PCL NVDR		2,736,400		1,678

Bangkok Expressway & Metro PCL NVDR (Registered)		2,193,198		593

Berli Jucker PCL NVDR		344,900		401

BTS Group Holdings PCL NVDR		2,265,000		680

Bumrungrad Hospital PCL NVDR		143,487		432

Central Pattana PCL NVDR		643,900		865



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

Thailand – 1.7% continued

Central Retail Corp. PCL NVDR (Registered)*		510,358		$420

Charoen Pokphand Foods PCL NVDR		1,112,057		986

CP ALL PCL (Registered)		905,200		1,721

CP ALL PCL NVDR		770,436		1,466

Electricity Generating PCL NVDR		83,000		490

Energy Absolute PCL NVDR		428,100		531

Global Power Synergy PCL NVDR		207,400		379

Gulf Energy Development PCL NVDR (Registered)		731,950		705

Home Product Center PCL NVDR		1,698,304		773

Indorama Ventures PCL NVDR		466,547		311

Intouch Holdings PCL NVDR		644,100		1,046

IRPC PCL (Registered)		1,860,900		113

IRPC PCL NVDR		1,364,481		83

Kasikornbank PCL (Registered)		151,500		369

Kasikornbank PCL NVDR		332,947		811

Krung Thai Bank PCL (Registered)		699,750		195

Krung Thai Bank PCL NVDR		302,893		85

Krungthai Card PCL NVDR		221,900		245

Land & Houses PCL NVDR		2,429,100		522

Minor International PCL NVDR*		892,330		565

Muangthai Capital PCL NVDR (Registered)		212,900		332

Osotspa PCL NVDR		213,900		237

PTT Exploration & Production PCL (Registered)		242,500		605

PTT Exploration & Production PCL NVDR		156,243		394

PTT Global Chemical PCL (Registered)		189,814		235

PTT Global Chemical PCL NVDR		468,476		587

PTT PCL (Registered)		1,835,000		1,853

PTT PCL NVDR		1,443,800		1,461

Ratch Group PCL NVDR		231,700		368

Siam Cement (The) PCL (Registered)		51,000		518

Siam Cement (The) PCL NVDR		173,098		1,761

Siam Commercial Bank (The) PCL (Registered)		232,700		477

Siam Commercial Bank (The) PCL NVDR		2,076		4

Srisawad Corp. PCL NVDR		215,700		332

Thai Oil PCL (Registered)		97,800		99

Thai Oil PCL NVDR		224,195		227

Thai Union Group PCL NVDR		1,060,000		469

TMB Bank PCL NVDR		7,051,563		198



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 95.5% ⁽¹⁾ continued

Thailand – 1.7% continued

Total Access Communication PCL NVDR		198,100		$203

True Corp. PCL NVDR		3,378,252		331

				32,482

Turkey – 0.4%

Akbank T.A.S.*		895,393		597

Anadolu Efes Biracilik Ve Malt Sanayii A.S.		59,009		158

Aselsan Elektronik Sanayi Ve Ticaret A.S.		199,182		498

BIM Birlesik Magazalar A.S.		130,693		1,177

Eregli Demir ve Celik Fabrikalari T.A.S.		401,693		491

Ford Otomotiv Sanayi A.S.		20,141		228

Haci Omer Sabanci Holding A.S.		276,836		298

Is Gayrimenkul Yatirim Ortakligi A.S.⁽⁶⁾ *		1		—

KOC Holding A.S.		214,067		406

Tupras Turkiye Petrol Rafinerileri A.S.*		35,005		360

Turk Hava Yollari A.O.*		158,415		215

Turkcell Iletisim Hizmetleri A.S.		315,683		621

Turkiye Garanti Bankasi A.S.*		668,602		614

Turkiye Is Bankasi A.S., Class C*		429,178		297

Turkiye Sise ve Cam Fabrikalari A.S.		396,264		375

Yapi ve Kredi Bankasi A.S.*		848,462		234

				6,569

United Arab Emirates – 0.6%

Abu Dhabi Commercial Bank PJSC		798,665		1,229

Aldar Properties PJSC		1,105,664		606

Dubai Islamic Bank PJSC		519,496		614

Emaar Malls PJSC*		746,982		303

Emaar Properties PJSC*		1,006,822		766

Emirates NBD Bank PJSC		726,183		2,114

Emirates Telecommunications Group Co. PJSC		499,167		2,268

First Abu Dhabi Bank PJSC		783,469		2,400

				10,300

Total Common Stocks

(Cost $1,160,610)				1,799,883


PREFERRED STOCKS – 2.0% ⁽¹⁾

Brazil – 1.1%

Banco Bradesco S.A., 8.80%⁽⁷⁾		1,272,801		4,417

Braskem S.A., Class A, 4.03%⁽⁷⁾		53,041		197

Centrais Eletricas Brasileiras S.A., Class B, 5.89%⁽⁷⁾		72,241		403



	NUMBER OF SHARES		VALUE (000S)

PREFERRED STOCKS – 2.0% ⁽¹⁾ continued

Brazil – 1.1% continued

Cia Energetica de MinasGerais, 2.36%⁽⁷⁾		275,644		$495

Cia Paranaense de Energia, Class B*		29,400		326

Gerdau S.A., 0.58%⁽⁷⁾		312,361		1,162

Itau Unibanco Holding S.A., 0.80%⁽⁷⁾		1,390,639		5,601

Itausa S.A., 0.90%⁽⁷⁾		1,267,539		1,995

Lojas Americanas S.A.*		260,580		1,311

Petroleo Brasileiro S.A., 0.00%⁽⁷⁾⁽⁸⁾		1,366,495		4,794

Telefonica Brasil S.A., 6.17%⁽⁷⁾		128,473		996

				21,697

Chile – 0.1%

Embotelladora Andina S.A., Class B, 5.10%⁽⁷⁾		100,164		221

Sociedad Quimica y Minera de Chile S.A., Class B, 2.77%⁽⁷⁾		32,844		1,067

				1,288

Colombia – 0.0%

Bancolombia S.A., 4.66%⁽⁷⁾		117,908		761

Bancolombia S.A. ADR, 4.78%⁽⁷⁾		2,352		60

				821

Russia – 0.1%

Surgutneftegas PJSC, 2.45%⁽⁷⁾		1,989,237		1,006

South Korea – 0.7%

Amorepacific Corp., 1.74%⁽⁷⁾		2,625		131

Hyundai Motor Co., 3.61%⁽⁷⁾		6,640		479

Hyundai Motor Co. (2nd Preferred), 3.51%⁽⁷⁾		10,470		789

LG Chem Ltd., 0.64%⁽⁷⁾		2,206		603

LG Household & Health Care Ltd., 1.56%⁽⁷⁾		613		372

Samsung Electronics Co. Ltd., 2.81%⁽⁷⁾		236,156		10,188

				12,562

Total Preferred Stocks

(Cost $40,004)				37,374

	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS – 0.0%

India – 0.0%

Britannia Industries Ltd., 8.00%, 8/28/22 (INR)		$747		$11

Total Foreign Issuer Bonds

(Cost $10)				11



	NUMBER OF SHARES		VALUE (000S)

RIGHTS – 0.0%

China – 0.0%

Legend Holdings Corp., Class H⁽⁴⁾*		17,469		$—

Thailand – 0.0%

Siam Cement (The) PCL NVDR⁽⁴⁾*		7,188		—

Total Rights

(Cost $—)				—

	NUMBER OF WARRANTS		VALUE (000S)

WARRANTS – 0.0%

Srisawad Corp. PCL NVDR, Exp. 6/23/26, Strike $100.00*		8,628		$3

Total Warrants

(Cost $—)				3

	NUMBER OF SHARES		VALUE (000S)

INVESTMENT COMPANIES – 1.6%

iShares MSCI Emerging Markets ETF		100,000		$4,409

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽⁹⁾(10)		25,393,824		25,394

Total Investment Companies

(Cost $29,791)				29,803


Total Investments – 99.1%

(Cost $1,230,415)				1,867,074

Other Assets less Liabilities – 0.9%				17,524

Net Assets – 100.0%				$1,884,598

⁽¹⁾

Adjustment factors obtained from an independent evaluation service were used to determine the value of certain foreign securities.

⁽²⁾

⁽³⁾

Level 3 asset.

⁽⁴⁾

Level 3 asset that is worthless, bankrupt or has been delisted.

⁽⁵⁾

Restricted security that has been deemed illiquid. At September 30, 2020, the value of this restricted illiquid security amounted to approximately $10,000 or 0.0% of net assets. Additional information on this restricted illiquid security is as follows:


SECURITY	ACQUISITION AND ENFORCEABLE DATE		COST (000S)

VTB Bank PJSC GDR		5/11/07-10/28/09		$80

⁽⁶⁾

Value rounds to less than one thousand.

⁽⁷⁾

Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income.

⁽⁸⁾

Current yield is less than 0.01%.

⁽⁹⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽¹⁰⁾

7-day current yield as of September 30, 2020 is disclosed.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

ADR – American Depositary Receipt

CPO – Certificado de Participación Ordinario

ETF – Exchange-Traded Fund GDR – Global Depositary Receipt

MSCI – Morgan Stanley Capital International

NVDR – Non-Voting Depositary Receipt

PCL – Public Company Limited

PLC – Public Limited Company

INR - Indian Rupee

Percentages shown are based on Net Assets.

At September 30, 2020, the Fund had outstanding forward foreign currency exchange contracts as follows:


COUNTERPARTY	CONTRACTS TO DELIVER CURRENCY		AMOUNT (LOCAL CURRENCY) (000S)		IN EXCHANGE FOR CURRENCY		AMOUNT (LOCAL CURRENCY) (000S)		SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION) (000S)

Goldman Sachs		Brazilian Real		2,522		United States Dollar		472		12/16/20		$24

Toronto-Dominion Bank		United States Dollar		683		Hong Kong Dollar		5,300		12/16/20		—	*

Subtotal Appreciation												24

Citibank		Indian Rupee		27,953		United States Dollar		377		12/16/20		—	*

Citibank		Korean Won		1,881,670		United States Dollar		1,586		12/16/20		(28	)

Citibank		Taiwan Dollar		103,009		United States Dollar		3,555		12/16/20		(44	)

Citibank		United States Dollar		137		Brazilian Real		730		12/16/20		(7	)

Goldman Sachs		South African Rand		6,293		United States Dollar		370		12/17/20		(2	)

Morgan Stanley		United States Dollar		185		South African Rand		3,110		12/17/20		(1	)

UBS		Hong Kong Dollar		16,974		United States Dollar		2,189		12/16/20		(1	)

Subtotal Depreciation												(83	)

Total												$(59	)

*	Amount rounds to less than one thousand.

At September 30, 2020, the Fund had open futures contracts as follows:


TYPE	NUMBER OF CONTRACTS		NOTIONAL AMOUNT (000S)		CONTRACT POSITION		CONTRACT EXP.		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) (000S)⁽¹⁾

MSCI Emerging Markets Index (United States Dollar)		801	$	43,594		Long		12/20	$	(133	)

⁽¹⁾

Includes cumulative appreciation/depreciation on futures contracts. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF LONG-TERM INVESTMENTS

Communication Services		12.7	%

Consumer Discretionary		20.1

Consumer Staples		6.1

Energy		5.4

Financials		17.3

Health Care		4.3

Industrials		4.4

Information Technology		18.5

Materials		6.9

Real Estate		2.4

Utilities		1.9

Total		100.0	%

At September 30, 2020, the Fund’s investments were denominated in the following currencies:


CONCENTRATION BY CURRENCY	% OF LONG-TERM INVESTMENTS

Hong Kong Dollar		22.6	%

United States Dollar		15.7

Taiwan Dollar		12.8

Korean Won		12.1

Indian Rupee		8.2

Chinese Yuan Renminbi		5.0

All other currencies less than 5%		23.6

Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest

rates and yield curves, maturities, ratings and/or securities indices). The Fund adjusted the price of certain foreign equity securities held in its portfolio on September 30, 2020 using adjustment factors designed to reflect more accurately the fair value of the securities. See Note 2 for a discussion of this procedure. The fair valuation of these securities resulted in their categorization as Level 2 investments.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)			LEVEL 2 (000S)			LEVEL 3 (000S)		TOTAL (000S)

Common Stocks:

Argentina	$	2,265		$	—		$	—	$	2,265

Brazil		62,370			—			—		62,370

Chile		8,036			—			—		8,036

China		261,795			452,366			225		714,386

Colombia		2,207			—			—		2,207

Hong Kong		640			57,645			—		58,285

India		81			151,715			—		151,796

Mexico		29,778			—			—		29,778

Peru		4,273			—			—		4,273

Russia		1,291			53,141			—		54,432

South Korea		43			209,593			—		209,636

All Other Countries⁽¹⁾		—			502,419			—		502,419

Total Common Stocks		372,779			1,426,879			225		1,799,883

Preferred Stocks:

Russia		—			1,006			—		1,006

South Korea		—			12,562			—		12,562

All Other Countries⁽¹⁾		23,806			—			—		23,806

Total Preferred Stocks		23,806			13,568			—		37,374

Foreign Issuer Bonds⁽¹⁾		—			11			—		11

Warrants		3			—			—		3

Investment Companies		29,803			—			—		29,803

Total Investments	$	426,391		$	1,440,458		$	225	$	1,867,074

OTHER FINANCIAL INSTRUMENTS

Assets

Forward Foreign

Currency Exchange

Contracts	$	—		$	24		$	—	$	24

Liabilities

Forward Foreign

Currency Exchange

Contracts		—			(83	)		—		(83	)

Futures Contracts		(133	)		—			—		(133	)

Total Other Financial Instruments	$	(133	)	$	(59	)	$	—	$	(192	)

⁽¹⁾

Classifications as defined in the Schedule of Investments.



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.1% ⁽¹⁾

Australia – 3.1%

Abacus Property Group		298,219		$623

Aventus Group		284,173		483

BGP Holdings PLC⁽²⁾*		6,535,576		—

BWP Trust		392,247		1,137

Cedar Woods Properties Ltd.		52,949		218

Centuria Industrial REIT		340,571		761

Centuria Office REIT		329,064		481

Charter Hall Long Wale REIT		358,258		1,290

Charter Hall Retail REIT		423,024		1,021

Charter Hall Social Infrastructure REIT		260,570		529

Dexus		885,544		5,651

GDI Property Group		408,160		308

GPT Group (The)		1,581,879		4,433

Growthpoint Properties Australia Ltd.		229,819		553

Ingenia Communities Group		230,409		754

Investec Australia Property Fund		400,836		374

Lifestyle Communities Ltd.		72,371		511

Mirvac Group		3,198,230		5,009

National Storage REIT		798,368		1,040

Scentre Group		4,205,218		6,654

Shopping Centres Australasia Property Group		865,472		1,329

Stockland		1,930,274		5,243

Vicinity Centres		3,121,522		3,085

Waypoint REIT		571,582		1,112

				42,599

Austria – 0.2%

CA Immobilien Anlagen A.G.		52,012		1,540

IMMOFINANZ A.G.*		63,150		999

S IMMO A.G.*		36,678		624

				3,163

Belgium – 0.9%

Aedifica S.A.		21,702		2,649

Befimmo S.A.		18,668		835

Cofinimmo S.A.		19,823		2,977

Intervest Offices & Warehouses N.V.		16,285		431

Montea - C.V.A.		8,401		994

Retail Estates N.V.		8,069		526

Warehouses De Pauw - C.V.A.		105,420		3,836

				12,248

Brazil – 0.3%

Aliansce Sonae Shopping Centers S.A.*		112,400		476



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.1% ⁽¹⁾ continued

Brazil – 0.3% continued

BR Malls Participacoes S.A.*		658,813		$985

BR Properties S.A.		187,552		299

Iguatemi Empresa de Shopping Centers S.A.		66,903		366

Jereissati Participacoes S.A.		32,700		120

JHSF Participacoes S.A.		228,963		285

LOG Commercial Properties e Participacoes S.A.		35,800		191

Multiplan Empreendimentos Imobiliarios S.A.*		229,372		796

				3,518

Canada – 1.3%

Allied Properties Real Estate Investment Trust		48,908		1,317

Artis Real Estate Investment Trust		54,449		325

Boardwalk Real Estate Investment Trust		19,006		392

Canadian Apartment Properties REIT		67,713		2,362

City Office REIT, Inc.		37,562		282

Cominar Real Estate Investment Trust, Class U		74,001		408

Crombie Real Estate Investment Trust		35,360		350

CT Real Estate Investment Trust		43,351		455

Dream Industrial Real Estate Investment Trust		48,049		408

Dream Office Real Estate Investment Trust		21,818		297

First Capital Real Estate Investment Trust		85,175		829

Granite Real Estate Investment Trust		21,363		1,240

H&R Real Estate Investment Trust		114,228		830

InterRent Real Estate Investment Trust		54,095		512

Killam Apartment Real Estate Investment Trust		39,605		516

Minto Apartment Real Estate Investment Trust		14,560		200

Morguard North American Residential Real Estate Investment Trust		18,120		197

Morguard Real Estate Investment Trust		22,272		71

Northview Apartment Real Estate Investment Trust		32,734		885

NorthWest Healthcare Properties Real Estate Investment Trust		65,306		557

RioCan Real Estate Investment Trust		127,103		1,342

Slate Grocery REIT		15,896		125

SmartCentres Real Estate Investment Trust		58,860		884

Summit Industrial Income REIT		57,505		555


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.1% ⁽¹⁾ continued

Canada – 1.3% continued

Tricon Residential, Inc.		156,992		$1,302

WPT Industrial Real Estate Investment Trust		35,085		446

				17,087

Chile – 0.1%

Cencosud Shopping S.A.		401,010		575

Parque Arauco S.A.		479,332		671

				1,246

China – 4.4%

Agile Group Holdings Ltd.		983,226		1,292

Beijing Capital Development Co. Ltd., Class A		146,200		144

Beijing Capital Land Ltd., Class H		1,314,000		225

Beijing North Star Co. Ltd., Class H		674,000		127

Central China Real Estate Ltd.		666,000		306

China Aoyuan Group Ltd.		932,000		956

China Enterprise Co. Ltd., Class A		226,400		130

China Evergrande Group		1,510,000		3,861

China Fortune Land Development Co. Ltd., Class A		201,240		449

China Logistics Property Holdings Co. Ltd.*		501,000		226

China Merchants Shekou Industrial Zone Holdings Co. Ltd., Class A		318,900		711

China SCE Group Holdings Ltd.		1,381,000		619

China Vanke Co. Ltd., Class A		485,740		2,005

China Vanke Co. Ltd., Class H		1,391,141		4,268

CIFI Holdings Group Co. Ltd.		2,607,137		1,926

Country Garden Holdings Co. Ltd.		6,142,405		7,568

DaFa Properties Group Ltd.		243,000		216

Dexin China Holdings Co. Ltd.*		604,000		227

Fantasia Holdings Group Co. Ltd.*		1,071,000		209

Financial Street Holdings Co. Ltd., Class A		170,300		163

Gemdale Corp., Class A		218,300		467

Grandjoy Holdings Group Co. Ltd., Class A		160,800		110

Greenland Hong Kong Holdings Ltd.		633,000		195

Guangzhou R&F Properties Co. Ltd., Class H		1,065,402		1,376

Guorui Properties Ltd.		1,058,000		116

Huijing Holdings Co. Ltd.		734,000		210

Jingrui Holdings Ltd.		147,000		40

Jinke Properties Group Co. Ltd., Class A		284,000		378

JY Grandmark Holdings Ltd.		305,000		125


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.1% ⁽¹⁾ continued

China – 4.4% continued

Kaisa Group Holdings Ltd.*		2,006,000		$1,030

KWG Group Holdings Ltd.		1,043,594		1,785

Logan Group Co. Ltd.		1,133,000		1,797

Longfor Group Holdings Ltd.		1,464,500		8,232

Poly Developments and Holdings Group Co. Ltd., Class A		576,800		1,347

Redco Properties Group Ltd.		906,000		384

Redsun Properties Group Ltd.		762,000		281

RiseSun Real Estate Development Co. Ltd., Class A		194,300		218

Ronshine China Holdings Ltd.*		447,500		315

Seazen Group Ltd.*		1,786,000		1,523

Seazen Holdings Co. Ltd., Class A		99,100		510

Shanghai Lujiazui Finance & Trade Zone Development Co. Ltd., Class B		904,951		758

Shanghai Zhangjiang High-Tech Park Development Co. Ltd., Class A		86,800		242

Shui On Land Ltd.		3,124,777		396

Sichuan Languang Development Co. Ltd., Class A		171,700		127

Sino-Ocean Group Holding Ltd.		2,393,000		483

Skyfame Realty Holdings Ltd.		1,800,000		228

SOHO China Ltd.*		1,662,256		449

Sunac China Holdings Ltd.		2,087,050		8,198

Xinhu Zhongbao Co. Ltd., Class A		485,900		241

Xinji Shaxi Group Co. Ltd.		351,000		112

Yango Group Co. Ltd., Class A		229,900		247

Yincheng International Holding Co. Ltd.		378,000		118

Yuzhou Group Holdings Co. Ltd.		1,463,061		580

Zhenro Properties Group Ltd.		1,232,000		756

Zhongtian Financial Group Co. Ltd., Class A*		390,000		193

				59,195

Egypt – 0.1%

Heliopolis Housing		331,796		124

Medinet Nasr Housing		661,369		135

Palm Hills Developments S.A.E.*		1,453,248		130

Six of October Development & Investment		173,518		138

Talaat Moustafa Group		716,052		288

				815

Finland – 0.0%

Citycon OYJ		51,448		405


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.1% ⁽¹⁾ continued

France – 1.3%

Carmila S.A.		38,360		$348

Covivio		41,836		2,953

Gecina S.A.		36,960		4,890

ICADE		24,138		1,355

Klepierre S.A.		159,088		2,232

Mercialys S.A.		51,993		287

Nexity S.A.		34,732		1,057

Unibail-Rodamco-Westfield		111,936		4,130

				17,252

Germany – 4.9%

ADO Properties S.A.*		50,120		1,389

alstria office REIT-A.G.		130,311		1,813

Aroundtown S.A.*		809,119		4,067

Deutsche EuroShop A.G.*		40,645		505

Deutsche Wohnen S.E.		276,804		13,851

DIC Asset A.G.		38,864		467

Grand City Properties S.A.		88,476		2,138

Hamborner REIT A.G.*		53,121		543

LEG Immobilien A.G.		55,980		7,991

Sirius Real Estate Ltd.		774,224		728

TAG Immobilien A.G.*		119,549		3,608

Vonovia S.E.		417,153		28,666

				65,766

Greece – 0.0%

LAMDA Development S.A.*		55,757		361

Hong Kong – 7.7%

C&D International Investment Group Ltd.		233,000		397

Champion REIT		1,661,846		825

China Jinmao Holdings Group Ltd.		4,608,000		2,551

China Merchants Commercial Real Estate Investment Trust		578,000		174

China Merchants Land Ltd.		1,164,000		166

China Overseas Grand Oceans Group Ltd.		1,416,500		810

China Overseas Land & Investment Ltd.		3,129,042		7,891

China Resources Land Ltd.		2,610,155		11,871

China South City Holdings Ltd.		3,526,000		324

China Vast Industrial Urban Development Co. Ltd.*		315,000		132

Chinese Estates Holdings Ltd.		366,500		201

CK Asset Holdings Ltd.		2,079,500		10,146

Cosmopolitan International Holdings Ltd.*		1,232,000		247


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.1% ⁽¹⁾ continued

Hong Kong – 7.7% continued

CSI Properties Ltd.		1,780,000		$53

Far East Consortium International Ltd.		922,096		258

Fortune Real Estate Investment Trust		1,184,000		992

Gemdale Properties & Investment Corp. Ltd.		4,562,000		775

Hang Lung Group Ltd.		718,000		1,636

Hang Lung Properties Ltd.		1,659,452		4,232

Henderson Land Development Co. Ltd.		1,185,555		4,374

HKC Holdings Ltd.		149,000		79

Hongkong Land Holdings Ltd.		963,418		3,588

Hysan Development Co. Ltd.		513,045		1,535

Jiayuan International Group Ltd.		1,072,303		447

K Wah International Holdings Ltd.		996,802		480

Kerry Properties Ltd.		543,599		1,389

Lai Sun Development Co. Ltd.		141,187		127

Langham Hospitality Investments and Langham Hospitality Investments Ltd.		756,000		93

Link REIT		1,673,602		13,681

LVGEM China Real Estate Investment Co. Ltd.		772,000		263

Poly Property Group Co. Ltd.		1,622,000		453

Prosperity REIT		1,010,000		299

Road King Infrastructure Ltd.		172,000		206

Shanghai Industrial Urban Development Group Ltd.		1,786,000		171

Shenzhen Investment Ltd.		2,477,191		724

Shimao Group Holdings Ltd.		1,003,869		4,172

Silver Grant International Holdings Group Ltd.*		482,000		61

Sino Land Co. Ltd.		2,512,475		2,924

Sun Hung Kai Properties Ltd.		1,050,425		13,466

Sunlight Real Estate Investment Trust		805,000		362

Swire Properties Ltd.		921,600		2,435

Wharf Holdings (The) Ltd.		1,201,317		2,401

Wharf Real Estate Investment Co. Ltd.		1,367,317		5,597

Yuexiu Property Co. Ltd.		5,463,442		1,069

Yuexiu Real Estate Investment Trust		1,298,000		604

Zhuguang Holdings Group Co. Ltd.*		786,000		126

				104,807

India – 0.2%

DLF Ltd.		480,191		999

Godrej Properties Ltd.*		48,824		573

Indiabulls Real Estate Ltd.*		165,598		116

Oberoi Realty Ltd.*		39,583		213


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.1% ⁽¹⁾ continued

India – 0.2% continued

Phoenix Mills (The) Ltd.		70,103		$557

Prestige Estates Projects Ltd.		113,504		391

Sunteck Realty Ltd.		41,233		154

				3,003

Indonesia – 0.1%

Ciputra Development Tbk PT		6,800,936		297

Lippo Karawaci Tbk PT*		26,091,410		209

Pakuwon Jati Tbk PT*		13,062,840		311

Rimo International Lestari Tbk PT⁽³⁾*		42,545,100		107

Summarecon Agung Tbk PT*		5,870,000		221

				1,145

Ireland – 0.1%

Hibernia REIT PLC		562,032		657

Irish Residential Properties REIT PLC		363,899		601

				1,258

Israel – 0.5%

AFI Properties Ltd.*		20,758		504

Amot Investments Ltd.		135,247		618

Azrieli Group Ltd.		34,840		1,552

Bayside Land Corp.		1,117		644

Blue Square Real Estate Ltd.		4,284		165

Mega Or Holdings Ltd.		19,314		466

Melisron Ltd.		17,639		567

Mivne Real Estate KD Ltd.		493,529		917

Property & Building Corp. Ltd.		2,078		142

Reit 1 Ltd.		146,492		537

Summit Real Estate Holdings Ltd.		28,944		250

YH Dimri Construction & Development Ltd.		6,280		184

				6,546

Italy – 0.0%

Immobiliare Grande Distribuzione SIIQ S.p.A.		49,211		171

Japan – 11.2%

Activia Properties, Inc.		533		2,027

Advance Residence Investment Corp.		1,070		3,161

Aeon Mall Co. Ltd.		83,266		1,171

AEON REIT Investment Corp.		1,247		1,439

Comforia Residential REIT, Inc.		498		1,456

CRE Logistics REIT, Inc.		260		386

Daibiru Corp.		37,800		439

Daiwa House Industry Co. Ltd.		456,000		11,716

Daiwa House REIT Investment Corp.		1,610		4,123


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.1% ⁽¹⁾ continued

Japan – 11.2% continued

Daiwa Office Investment Corp.		263		$1,509

Daiwa Securities Living Investments Corp.		1,444		1,492

Frontier Real Estate Investment Corp.		385		1,313

Fukuoka REIT Corp.		553		717

Global One Real Estate Investment Corp.		795		767

GLP J-Reit		2,950		4,554

Goldcrest Co. Ltd.		14,900		195

Hankyu Hanshin REIT, Inc.		457		531

Heiwa Real Estate Co. Ltd.		26,900		742

Heiwa Real Estate REIT, Inc.		713		790

Hoshino Resorts REIT, Inc.		175		881

Hulic Co. Ltd.		238,540		2,237

Hulic Reit, Inc.		973		1,289

Ichigo Office REIT Investment Corp.		998		729

Ichigo, Inc.		182,300		531

Industrial & Infrastructure Fund Investment Corp.		1,374		2,354

Invesco Office J-Reit, Inc.		7,251		1,008

Invincible Investment Corp.		4,997		1,488

Itochu Advance Logistics Investment Corp.		365		511

Japan Excellent, Inc.		1,003		1,173

Japan Hotel REIT Investment Corp.		3,618		1,786

Japan Logistics Fund, Inc.		699		2,005

Japan Prime Realty Investment Corp.		659		2,046

Japan Real Estate Investment Corp.		1,072		5,481

Japan Retail Fund Investment Corp.		2,121		3,284

Katitas Co. Ltd.		39,000		1,107

Keihanshin Building Co. Ltd.		24,700		401

Kenedix Office Investment Corp.		349		2,095

Kenedix Residential Next Investment Corp.		745		1,319

Kenedix Retail REIT Corp.		420		844

LaSalle Logiport REIT		1,257		2,099

Leopalace21 Corp.*		94,800		172

MCUBS MidCity Investment Corp.		1,395		1,078

Mirai Corp.		1,259		476

Mitsubishi Estate Co. Ltd.		952,980		14,403

Mitsubishi Estate Logistics REIT Investment Corp.		231		955

Mitsui Fudosan Co. Ltd.		749,562		13,056

Mitsui Fudosan Logistics Park, Inc.		324		1,549

Mori Hills REIT Investment Corp.		1,312		1,704


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.1% ⁽¹⁾ continued

Japan – 11.2% continued

Mori Trust Hotel Reit, Inc.		260		$270

Mori Trust Sogo Reit, Inc.		814		1,031

Nippon Accommodations Fund, Inc.		358		2,067

Nippon Building Fund, Inc.		1,034		5,870

Nippon Prologis REIT, Inc.		1,702		5,747

NIPPON REIT Investment Corp.		366		1,249

Nomura Real Estate Holdings, Inc.		96,300		1,832

Nomura Real Estate Master Fund, Inc.		3,450		4,338

One REIT, Inc.		180		428

Orix JREIT, Inc.		2,128		3,283

Premier Investment Corp.		1,085		1,266

SAMTY Co. Ltd.		23,700		356

Samty Residential Investment Corp.		276		267

Sekisui House Reit, Inc.		3,355		2,481

Star Asia Investment Corp.		1,184		494

Starts Proceed Investment Corp.		175		344

Sumitomo Realty & Development Co. Ltd.		248,325		7,347

Sun Frontier Fudousan Co. Ltd.		22,400		188

Takara Leben Co. Ltd.		48,300		143

Takara Leben Real Estate Investment Corp.		358		297

TOC Co. Ltd.		19,400		120

Tokyo Tatemono Co. Ltd.		154,700		1,893

Tokyu REIT, Inc.		673		944

Tosei Corp.		23,300		217

United Urban Investment Corp.		2,406		2,683

				151,744

Malaysia – 0.2%

Axis Real Estate Investment Trust		905,800		471

Eco World Development Group Bhd.*		867,400		84

IGB Real Estate Investment Trust		1,251,400		549

IOI Properties Group Bhd.		1,037,400		226

Mah Sing Group Bhd.		964,900		155

Matrix Concepts Holdings Bhd.		398,800		164

Pavilion Real Estate Investment Trust		581,000		215

Sime Darby Property Bhd.		1,924,900		270

SP Setia Bhd. Group		1,312,169		244

Sunway Real Estate Investment Trust		1,378,300		519

UEM Sunrise Bhd.*		1,290,300		114

YTL Hospitality REIT		562,600		99

				3,110


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.1% ⁽¹⁾ continued

Mexico – 0.4%

Concentradora Fibra Danhos S.A. de C.V.		264,353		$242

Corp. Inmobiliaria Vesta S.A.B. de C.V.		459,900		691

Fibra Uno Administracion S.A. de C.V.		2,553,009		2,016

Macquarie Mexico Real Estate Management S.A. de C.V.		619,789		759

PLA Administradora Industrial S de RL de C.V.		645,700		897

Prologis Property Mexico S.A. de C.V.		376,462		726

				5,331

Netherlands – 0.1%

Brack Capital Properties N.V.*		2,516		187

Eurocommercial Properties N.V. - C.V.A.		32,289		373

NSI N.V.		15,083		530

Vastned Retail N.V.		9,700		259

Wereldhave N.V.		27,526		252

				1,601

New Zealand – 0.3%

Argosy Property Ltd.		658,332		594

Goodman Property Trust		888,239		1,384

Kiwi Property Group Ltd.		1,249,391		880

Precinct Properties New Zealand Ltd.		892,364		998

				3,856

Norway – 0.2%

Entra ASA		139,941		1,972

Selvaag Bolig ASA		33,193		184

				2,156

Philippines – 0.8%

Ayala Land, Inc.		6,445,881		3,949

DoubleDragon Properties Corp.*		349,700		101

Filinvest Land, Inc.		3,429,989		65

Megaworld Corp.*		8,837,001		541

Robinsons Land Corp.		1,648,396		485

SM Prime Holdings, Inc.		8,070,653		4,908

Vista Land & Lifescapes, Inc.		2,906,400		205

				10,254

Qatar – 0.2%

Barwa Real Estate Co.		1,579,552		1,523

United Development Co. QSC		1,410,087		721

				2,244

Romania – 0.1%

NEPI Rockcastle PLC		332,361		1,367


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.1% ⁽¹⁾ continued

Russia – 0.0%

LSR Group PJSC GDR		206,644		$450

Saudi Arabia – 0.2%

Arriyadh Development Co.		69,614		311

Dar Al Arkan Real Estate Development Co.*		431,751		1,079

Emaar Economic City*		305,069		819

Jadwa REIT Saudi Fund		61,744		226

Saudi Real Estate Co.*		77,883		318

				2,753

Singapore – 3.3%

AIMS APAC REIT		384,500		339

ARA LOGOS Logistics Trust		801,900		366

Ascendas India Trust		628,600		632

Ascendas Real Estate Investment Trust		2,461,557		5,877

Ascott Residence Trust		1,586,314		1,042

CapitaLand Commercial Trust		2,135,971		2,586

CapitaLand Mall Trust		2,106,215		2,999

CapitaLand Retail China Trust		592,924		484

CDL Hospitality Trusts		654,892		508

Chip Eng Seng Corp. Ltd.		124,000		40

City Developments Ltd.		374,800		2,108

Cromwell European Real Estate Investment Trust		1,063,700		606

ESR-REIT		1,765,430		501

Far East Hospitality Trust		603,203		245

First Real Estate Investment Trust		420,451		134

Frasers Centrepoint Trust		598,612		1,055

Frasers Hospitality Trust		566,000		178

Frasers Logistics & Commercial Trust		1,866,246		1,903

GuocoLand Ltd.		267,000		294

Keppel DC REIT		1,072,834		2,293

Keppel Pacific Oak U.S. REIT		611,100		444

Keppel REIT		1,362,220		1,073

Lendlease Global Commercial REIT		633,800		317

Lippo Malls Indonesia Retail Trust		1,721,300		101

Manulife U.S. Real Estate Investment Trust		1,195,303		888

Mapletree Commercial Trust		1,744,354		2,496

Mapletree Industrial Trust		1,219,836		2,881

Mapletree Logistics Trust		2,178,714		3,273

Mapletree North Asia Commercial Trust		1,892,400		1,303

OUE Commercial Real Estate Investment Trust		1,664,100		436

OUE Ltd.		262,900		228


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.1% ⁽¹⁾ continued

Singapore – 3.3% continued

Oxley Holdings Ltd.		760,369		$120

Parkway Life Real Estate Investment Trust		320,800		975

Prime U.S. REIT		389,100		322

Sabana Shari’ah Compliant Industrial Real Estate Investment Trust		729,300		196

Sasseur Real Estate Investment Trust		418,300		236

Soilbuild Business Space REIT		689,780		253

SPH REIT		786,400		511

Starhill Global REIT		1,172,900		380

Suntec Real Estate Investment Trust		1,534,891		1,643

UOL Group Ltd.		362,097		1,774

Yanlord Land Group Ltd.		481,700		401

				44,441

South Africa – 0.3%

Attacq Ltd.		561,447		100

Equites Property Fund Ltd.		403,744		409

Growthpoint Properties Ltd.		2,489,403		1,818

Investec Property Fund Ltd.		429,880		235

Redefine Properties Ltd.		4,457,512		641

Resilient REIT Ltd.		259,316		570

Stor-Age Property REIT Ltd.		330,431		244

Vukile Property Fund Ltd.		655,637		190

				4,207

South Korea – 0.0%

Dongwon Development Co. Ltd.		28,359		97

LOTTE Reit Co. Ltd.		71,424		316

SK D&D Co. Ltd.		6,124		219

				632

Spain – 0.4%

Aedas Homes S.A.*		17,476		376

Inmobiliaria Colonial Socimi S.A.		225,138		1,860

Lar Espana Real Estate Socimi S.A.		50,623		233

Merlin Properties Socimi S.A.		304,444		2,535

				5,004

Sweden – 1.9%

Atrium Ljungberg AB, Class B		37,927		620

Castellum AB		188,052		4,277

Catena AB		19,791		875

Cibus Nordic Real Estate AB		19,531		357

Dios Fastigheter AB		72,063		511

Fabege AB		214,296		2,972

Fastighets AB Balder, Class B*		81,838		4,157


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.1% ⁽¹⁾ continued

Sweden – 1.9% continued

Hufvudstaden AB, Class A		90,540		$1,262

John Mattson Fastighetsforetagen AB*		14,629		250

K-fast Holding AB*		7,375		195

Klovern AB, Class B		381,976		703

Kungsleden AB		150,503		1,428

Nyfosa AB*		130,685		1,160

Sagax AB, Class D		94,403		345

Samhallsbyggnadsbolaget i Norden AB		648,710		1,966

Samhallsbyggnadsbolaget i Norden AB, Class D		87,380		307

Wallenstam AB, Class B		131,558		2,005

Wihlborgs Fastigheter AB		111,942		2,217

				25,607

Switzerland – 1.2%

Allreal Holding A.G. (Registered)		11,791		2,542

Intershop Holding A.G.		1,021		659

IWG PLC*		616,481		2,055

Mobimo Holding A.G. (Registered)*		5,439		1,597

PSP Swiss Property A.G. (Registered)		35,478		4,291

Swiss Prime Site A.G. (Registered)		61,760		5,606

				16,750

Taiwan – 0.3%

Cathay Real Estate Development Co. Ltd.		408,000		274

Chong Hong Construction Co. Ltd.		141,000		390

Farglory Land Development Co. Ltd.		189,000		297

Highwealth Construction Corp.		613,800		913

Huaku Development Co. Ltd.		200,000		596

Hung Sheng Construction Ltd.		363,760		222

Kindom Development Co. Ltd.		209,000		283

Prince Housing & Development Corp.		745,000		277

Radium Life Tech Co. Ltd.		468,420		163

Ruentex Development Co. Ltd.		683,500		919

Shining Building Business Co. Ltd.*		365,197		129

				4,463

Thailand – 0.5%

Amata Corp. PCL NVDR		725,500		289

AP Thailand PCL (Registered)		441,405		80

AP Thailand PCL NVDR		1,109,404		202

Central Pattana PCL (Registered)		761,626		1,022

Central Pattana PCL NVDR		1,078,998		1,450

Land & Houses PCL NVDR		6,934,900		1,491

Origin Property PCL NVDR		578,900		115


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.1% ⁽¹⁾ continued

Thailand – 0.5% continued

Pruksa Holding PCL NVDR		509,300		$174

Quality Houses PCL NVDR		6,681,400		464

Sansiri PCL NVDR		9,967,366		189

SC Asset Corp. PCL (Registered)		747,984		52

SC Asset Corp. PCL NVDR		332,924		23

Siam Future Development PCL NVDR		1,113,032		158

Singha Estate PCL NVDR		2,773,200		115

Supalai PCL (Registered)		280,445		137

Supalai PCL NVDR		917,700		449

WHA Corp. PCL NVDR		7,304,400		651

				7,061

United Arab Emirates – 0.2%

Aldar Properties PJSC		3,155,352		1,728

DAMAC Properties Dubai Co. PJSC*		1,460,357		368

Deyaar Development PJSC*		1,336,219		104

Emaar Malls PJSC*		2,154,854		875

				3,075

United Kingdom – 3.6%

Assura PLC		2,151,803		2,138

Big Yellow Group PLC		132,062		1,770

BMO Commercial Property Trust Ltd.		660,679		551

British Land (The) Co. PLC		712,364		3,097

Capital & Counties Properties PLC		599,402		864

Civitas Social Housing PLC		505,492		687

Custodian Reit PLC		316,089		362

Derwent London PLC		85,723		2,846

Empiric Student Property PLC		468,443		369

GCP Student Living PLC		375,076		597

Grainger PLC		545,119		2,086

Great Portland Estates PLC		183,128		1,413

Hammerson PLC*		3,288,876		691

Helical PLC		90,045		344

Land Securities Group PLC		569,617		3,836

LondonMetric Property PLC		694,160		1,985

LXI REIT PLC		425,946		592

Picton Property Income (The) Ltd.		438,281		354

Primary Health Properties PLC		985,471		1,885

RDI REIT PLC		220,661		251

Regional REIT Ltd.		350,715		296

Safestore Holdings PLC		168,867		1,695

Schroder Real Estate Investment Trust Ltd.		416,166		173

Segro PLC		962,843		11,574

Shaftesbury PLC		123,642		794


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.1% ⁽¹⁾ continued

United Kingdom – 3.6% continued

St. Modwen Properties PLC		167,218		$672

Standard Life Investment Property Income Trust Ltd.		324,126		194

Tritax Big Box REIT PLC		1,377,423		2,757

UK Commercial Property REIT Ltd.		626,478		551

UNITE Group (The) PLC*		234,063		2,538

Warehouse Reit PLC		284,577		408

Watkin Jones PLC		172,733		315

Workspace Group PLC		109,280		758

				49,443

United States – 47.5%

Acadia Realty Trust		68,656		721

Agree Realty Corp.		43,486		2,767

Alexander’s, Inc.		1,877		460

Alexandria Real Estate Equities, Inc.		102,132		16,341

American Assets Trust, Inc.		41,128		991

American Campus Communities, Inc.		111,285		3,886

American Finance Trust, Inc.		85,654		537

American Homes 4 Rent, Class A		218,448		6,221

Americold Realty Trust		162,078		5,794

Apartment Investment and Management Co., Class A		120,648		4,068

Apple Hospitality REIT, Inc.		171,214		1,645

AvalonBay Communities, Inc.		113,991		17,023

Boston Properties, Inc.		119,487		9,595

Brandywine Realty Trust		137,425		1,421

Brixmor Property Group, Inc.		239,914		2,805

Camden Property Trust		78,846		7,016

CareTrust REIT, Inc.		77,291		1,375

Chatham Lodging Trust		34,537		263

Colony Capital, Inc.		394,960		1,078

Columbia Property Trust, Inc.		92,241		1,006

Community Healthcare Trust, Inc.		16,723		782

CoreSite Realty Corp.		30,686		3,648

Corporate Office Properties Trust		90,904		2,156

Cousins Properties, Inc.		120,242		3,438

CubeSmart		156,733		5,064

CyrusOne, Inc.		93,206		6,527

DiamondRock Hospitality Co.		163,153		827

Digital Realty Trust, Inc.		217,158		31,870

Diversified Healthcare Trust		194,645		685

Douglas Emmett, Inc.		135,816		3,409

Duke Realty Corp.		298,074		10,999

Eagle Hospitality Trust⁽³⁾*		496,400		51


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.1% ⁽¹⁾ continued

United States – 47.5% continued

Easterly Government Properties, Inc.		60,861		$1,364

EastGroup Properties, Inc.		31,556		4,081

Empire State Realty Trust, Inc., Class A		118,668		726

Equinix, Inc.		71,634		54,451

Equity Commonwealth		98,284		2,617

Equity Commonwealth - (Fractional Shares)⁽²⁾*		75,000		—

Equity LifeStyle Properties, Inc.		139,971		8,580

Equity Residential		301,373		15,469

Essex Property Trust, Inc.		52,995		10,641

Extra Space Storage, Inc.		104,483		11,179

Federal Realty Investment Trust		58,182		4,273

First Industrial Realty Trust, Inc.		102,751		4,090

Four Corners Property Trust, Inc.		57,559		1,473

Franklin Street Properties Corp.		87,443		320

Front Yard Residential Corp.		41,557		363

FRP Holdings, Inc.*		5,139		214

Getty Realty Corp.		28,361		738

Gladstone Commercial Corp.		27,223		459

Global Medical REIT, Inc.		35,003		473

Global Net Lease, Inc.		72,149		1,147

Healthcare Realty Trust, Inc.		109,751		3,306

Healthcare Trust of America, Inc., Class A		177,143		4,606

Healthpeak Properties, Inc.		435,608		11,827

Highwoods Properties, Inc.		84,142		2,825

Host Hotels & Resorts, Inc.		570,297		6,154

Howard Hughes (The) Corp.*		33,354		1,921

Hudson Pacific Properties, Inc.		123,955		2,718

Independence Realty Trust, Inc.		77,174		894

Industrial Logistics Properties Trust		53,032		1,160

Innovative Industrial Properties, Inc.		17,174		2,131

Investors Real Estate Trust		9,971		650

Invitation Homes, Inc.		439,946		12,314

Iron Mountain, Inc.		233,218		6,248

JBG SMITH Properties		97,558		2,609

Kennedy-Wilson Holdings, Inc.		104,165		1,512

Kilroy Realty Corp.		83,851		4,357

Kimco Realty Corp.		350,106		3,942

Kite Realty Group Trust		67,895		786

Lexington Realty Trust		222,021		2,320

Life Storage, Inc.		37,974		3,998

LTC Properties, Inc.		31,598		1,102

Macerich (The) Co.		86,075		584


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.1% ⁽¹⁾ continued

United States – 47.5% continued

Mack-Cali Realty Corp.		73,443		$927

Medical Properties Trust, Inc.		427,638		7,539

Mid-America Apartment Communities, Inc.		92,646		10,742

Monmouth Real Estate Investment Corp.		76,269		1,056

National Health Investors, Inc.		36,009		2,170

National Retail Properties, Inc.		139,076		4,800

National Storage Affiliates Trust		55,078		1,802

NexPoint Residential Trust, Inc.		15,884		704

Office Properties Income Trust		39,832		825

Omega Healthcare Investors, Inc.		183,555		5,496

One Liberty Properties, Inc.		13,306		218

Paramount Group, Inc.		142,813		1,011

Park Hotels & Resorts, Inc.		190,403		1,902

Pebblebrook Hotel Trust		105,706		1,325

Physicians Realty Trust		164,063		2,938

Piedmont Office Realty Trust, Inc., Class A		103,404		1,403

Preferred Apartment Communities, Inc., Class A		35,049		189

Prologis, Inc.		597,723		60,143

PS Business Parks, Inc.		16,770		2,052

Public Storage		127,317		28,356

QTS Realty Trust, Inc., Class A		48,474		3,055

Realty Income Corp.		277,818		16,877

Regency Centers Corp.		137,441		5,226

Retail Opportunity Investments Corp.		94,625		986

Retail Properties of America, Inc., Class A		172,850		1,004

Rexford Industrial Realty, Inc.		99,058		4,533

RLJ Lodging Trust		133,397		1,155

RPT Realty		65,553		357

Ryman Hospitality Properties, Inc.		42,190		1,553

Sabra Health Care REIT, Inc.		166,203		2,291

Saul Centers, Inc.		10,946		291

Seritage Growth Properties, Class A*		30,270		407

Service Properties Trust		133,177		1,059

Simon Property Group, Inc.		247,386		16,001

SITE Centers Corp.		124,840		899

SL Green Realty Corp.		61,941		2,872

Spirit Realty Capital, Inc.		83,185		2,808

STAG Industrial, Inc.		120,231		3,666

STORE Capital Corp.		187,811		5,152

Summit Hotel Properties, Inc.		85,241		442

Sun Communities, Inc.		79,494		11,178


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 98.1% ⁽¹⁾ continued

United States – 47.5% continued

Sunstone Hotel Investors, Inc.		175,879		$1,396

Tanger Factory Outlet Centers, Inc.		75,893		458

Taubman Centers, Inc.		49,872		1,660

Terreno Realty Corp.		54,743		2,998

UDR, Inc.		239,491		7,810

UMH Properties, Inc.		30,626		415

Universal Health Realty Income Trust		10,557		602

Urban Edge Properties		94,940		923

Urstadt Biddle Properties, Inc., Class A		23,631		217

Ventas, Inc.		301,836		12,665

VEREIT, Inc.		871,956		5,668

Vornado Realty Trust		131,481		4,432

Washington Real Estate Investment Trust		67,335		1,355

Weingarten Realty Investors		99,198		1,682

Welltower, Inc.		337,778		18,608

Whitestone REIT		31,297		188

WP Carey, Inc.		139,636		9,099

Xenia Hotels & Resorts, Inc.		91,580		804

				643,481

Total Common Stocks

(Cost $1,140,358)				1,329,615


RIGHTS – 0.0%

Thailand – 0.0%

Amata Corp. PCL*		56,435		1

Total Rights

(Cost $—)				1


INVESTMENT COMPANIES – 1.0%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽⁴⁾⁽⁵⁾		12,982,323		12,982

Total Investment Companies

(Cost $12,982)				12,982


Total Investments – 99.1%

(Cost $1,153,340)				1,342,598

Other Assets less Liabilities – 0.9%				12,500

Net Assets – 100.0%				$1,355,098

⁽¹⁾

Adjustment factors obtained from an independent evaluation service were used to determine the value of certain foreign securities.

⁽²⁾

Level 3 asset that is worthless, bankrupt or has been delisted.

⁽³⁾

Level 3 asset.

⁽⁴⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽⁵⁾

7-day current yield as of September 30, 2020 is disclosed.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

GDR – Global Depositary Receipt

MSCI – Morgan Stanley Capital International

NVDR – Non-Voting Depositary Receipt

PCL – Public Company Limited

PLC – Public Limited Company

REIT – Real Estate Investment Trust

S&P – Standard & Poor’s

Percentages shown are based on Net Assets.

At September 30, 2020, the Fund had outstanding forward foreign currency exchange contracts as follows:


COUNTERPARTY	CONTRACTS TO DELIVER CURRENCY		AMOUNT (LOCAL CURRENCY) (000S)		IN EXCHANGE FOR CURRENCY		AMOUNT (LOCAL CURRENCY) (000S)		SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION) (000S)

BNP		United States Dollar		263		Singapore Dollar		362		12/16/20		$ 2

JPMorgan Chase		Swiss Franc		120		United States Dollar		133		12/16/20		2

Morgan Stanley		Canadian Dollar		350		United States Dollar		265		12/16/20		2

Morgan Stanley		United States Dollar		1,127		British Pound		881		12/16/20		9

Morgan Stanley		United States Dollar		1,349		Japanese Yen		142,980		12/16/20		9

Morgan Stanley		United States Dollar		358		Swedish Krona		3,274		12/16/20		8

UBS		United States Dollar		2,071		Hong Kong Dollar		16,062		12/16/20		1

Subtotal Appreciation												33

Citibank		United States Dollar		675		Australian Dollar		926		12/16/20		(12	)

Goldman Sachs		Hong Kong Dollar		10,606		United States Dollar		1,368		12/16/20		—	*

JPMorgan Chase		British Pound		654		United States Dollar		832		12/16/20		(12	)

JPMorgan Chase		Euro		613		United States Dollar		714		12/16/20		(6	)

JPMorgan Chase		United States Dollar		691		Euro		582		12/16/20		(8	)

Morgan Stanley		Australian Dollar		410		United States Dollar		288		12/16/20		(6	)

Morgan Stanley		United States Dollar		112		Swedish Krona		975		12/16/20		(2	)

Toronto-Dominion Bank		Japanese Yen		72,300		United States Dollar		684		12/16/20		(2	)

Toronto-Dominion Bank		Swiss Franc		140		United States Dollar		152		12/16/20		—	*

Toronto-Dominion Bank		United States Dollar		848		Singapore Dollar		1,157		12/16/20		—	*

Subtotal Depreciation												(48	)

Total												$ (15	)

* Amounts round to less than a thousand.

At September 30, 2020, the Fund had open futures contracts as follows:


TYPE	NUMBER OF CONTRACTS		NOTIONAL AMOUNT (000S)		CONTRACT POSITION		CONTRACT EXP.		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) (000S)⁽¹⁾

E-Mini S&P 500 (United States Dollar)		80		$13,408		Long		12/20		$430

E-Mini S&P MidCap 400 (United States Dollar)		17		3,155		Long		12/20		108

MSCI EAFE Index (United States Dollar)		28		2,594		Long		12/20		19

MSCI Emerging Markets Index (United States Dollar)		67		3,646		Long		12/20		99

S&P/TSX 60 Index (Canadian Dollar)		12		1,733		Long		12/20		25

Total										$681

⁽¹⁾

Includes cumulative appreciation/depreciation on futures contracts. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF LONG-TERM INVESTMENTS

Specialized REITs		12.4	%

Industrial REITs		12.4

Real Estate Operating Companies		11.5

Retail REITs		10.5

Residential REITs		10.4

Real Estate Development		9.5

Office REITs		9.2

Diversified REITs		8.0

Diversified Real Estate Activities		7.8

Health Care REITs		6.4

Other Industries less than 5%		1.9

Total		100.0	%

At September 30, 2020, the Fund’s investments were denominated in the following currencies:


CONCENTRATION BY CURRENCY	% OF LONG-TERM INVESTMENTS

United States Dollar		48.9	%

Hong Kong Dollar		11.4

Japanese Yen		11.4

Euro		8.0

All other currencies less than 5%		20.3

Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

Common Stocks:

Brazil		$ 3,518		$ —		$—		$ 3,518

Canada		17,087		—		—		17,087

Chile		1,246		—		—		1,246

Indonesia		—		1,038		107		1,145

Mexico		5,331		—		—		5,331

Switzerland		1,597		15,153		—		16,750

United States		643,430		—		51		643,481

All Other Countries⁽¹⁾		—		641,057		—		641,057

Total Common Stocks		672,209		657,248		158		1,329,615

Rights⁽¹⁾		—		1		—		1

Investment Companies		12,982		—		—		12,982

Total Investments		$ 685,191		$ 657,249		$ 158		$ 1,342,598

OTHER FINANCIAL INSTRUMENTS

Assets

Forward Foreign Currency Exchange Contracts		$ —		$ 33		$ —		$ 33


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9% ⁽¹⁾

Argentina – 0.2%

MercadoLibre, Inc.*		1,859		$2,012

Australia – 2.0%

APA Group		49,393		366

ASX Ltd.		7,860		460

Aurizon Holdings Ltd.		82,294		251

AusNet Services		65,975		89

Australia & New Zealand Banking Group Ltd.		118,372		1,465

BlueScope Steel Ltd.		19,034		174

Brambles Ltd.		62,983		474

Coca-Cola Amatil Ltd.		20,887		142

Cochlear Ltd.		2,735		389

Coles Group Ltd.		53,607		654

Commonwealth Bank of Australia		74,003		3,382

Computershare Ltd.		18,848		166

Dexus		48,481		309

Evolution Mining Ltd.		68,279		283

Fortescue Metals Group Ltd.		70,700		828

Goodman Group		68,687		884

GPT Group (The)		87,913		246

Insurance Australia Group Ltd.		95,958		302

Lendlease Corp. Ltd.		25,488		202

Macquarie Group Ltd.		13,928		1,196

Mirvac Group		172,757		271

National Australia Bank Ltd.		133,600		1,705

Newcrest Mining Ltd.		33,566		757

Northern Star Resources Ltd.		30,774		303

Orica Ltd.		15,813		175

Origin Energy Ltd.		75,599		234

Ramsay Health Care Ltd.		7,383		350

SEEK Ltd.		12,954		198

Stockland		92,064		250

Suncorp Group Ltd.		54,915		334

Sydney Airport		51,053		215

Telstra Corp. Ltd.		172,268		344

Transurban Group		114,063		1,156

Vicinity Centres		166,719		165

Woodside Petroleum Ltd.		40,903		517

				19,236

Austria – 0.1%

ANDRITZ A.G.		2,577		79

Erste Group Bank A.G.*		11,819		247


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9% ⁽¹⁾ continued

Austria – 0.1% continued

OMV A.G.*		6,300		$172

voestalpine A.G.		4,177		110

				608

Belgium – 0.2%

Colruyt S.A.		2,115		137

KBC Group N.V.		10,223		512

Solvay S.A., Class A		3,354		288

Telenet Group Holding N.V.		1,748		68

UCB S.A.		5,104		580

Umicore S.A.		8,471		353

				1,938

Canada – 3.8%

Agnico Eagle Mines Ltd.		9,887		788

Algonquin Power & Utilities Corp.		25,453		370

Alimentation Couche-Tard, Inc., Class B		35,707		1,243

Aurora Cannabis, Inc.⁽²⁾*		1		—

B2Gold Corp.		45,447		296

Bank of Montreal		26,565		1,553

Bank of Nova Scotia (The)		49,912		2,074

BlackBerry Ltd.*		19,310		89

CAE, Inc.		10,299		151

Canadian Apartment Properties REIT		3,225		112

Canadian Imperial Bank of Commerce		18,510		1,384

Canadian National Railway Co.		29,494		3,141

Canadian Tire Corp. Ltd., Class A		2,278		229

Canopy Growth Corp.*		8,307		119

Cenovus Energy, Inc.		39,790		155

CGI, Inc.*		9,841		668

Cronos Group, Inc.*		6,483		33

Dollarama, Inc.		12,432		476

Empire Co. Ltd., Class A		7,234		210

Enbridge, Inc.		84,103		2,457

First Capital Real Estate Investment Trust		4,102		40

Fortis, Inc.		19,506		797

Franco-Nevada Corp.		7,781		1,087

Gildan Activewear, Inc.		8,042		158

Intact Financial Corp.		5,860		627

Keyera Corp.		8,370		126

Loblaw Cos. Ltd.		7,859		412

Lululemon Athletica, Inc.*		5,125		1,688

Lundin Mining Corp.		28,411		158

Magna International, Inc.		12,318		564

Manulife Financial Corp.		81,473		1,133


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9% ⁽¹⁾ continued

Canada – 3.8% continued

Metro, Inc.		10,328		$496

Nutrien Ltd.		23,223		911

Open Text Corp.		11,390		481

Ritchie Bros. Auctioneers, Inc.		4,583		272

Rogers Communications, Inc., Class B		14,492		575

Shopify, Inc., Class A*		4,453		4,554

Sun Life Financial, Inc.		24,293		990

Suncor Energy, Inc.		62,456		763

Teck Resources Ltd., Class B		19,094		266

TELUS Corp.		17,349		305

TELUS Corp.⁽²⁾		6		—

Toronto-Dominion Bank (The)		75,408		3,491

Wheaton Precious Metals Corp.		18,438		905

WSP Global, Inc.		4,811		316

				36,663

Denmark – 1.1%

Chr Hansen Holding A/S		4,361		485

Coloplast A/S, Class B		4,817		762

Demant A/S*		4,411		139

Genmab A/S*		2,673		971

GN Store Nord A/S		5,651		428

H Lundbeck A/S		2,511		83

Novo Nordisk A/S, Class B		71,731		4,982

Novozymes A/S, Class B		8,878		558

Orsted A/S⁽³⁾		7,760		1,070

Pandora A/S		3,978		286

Tryg A/S		4,425		139

Vestas Wind Systems A/S		8,164		1,321

				11,224

Finland – 0.3%

Elisa OYJ		5,978		352

Neste OYJ		17,640		928

Orion OYJ, Class B		4,191		190

Stora Enso OYJ (Registered)		24,768		388

UPM-Kymmene OYJ		21,582		657

Wartsila OYJ Abp		16,444		129

				2,644

France – 3.0%

Accor S.A.*		7,303		204

Air Liquide S.A.		19,671		3,121

Amundi S.A.⁽³⁾*		2,321		164

Atos S.E.*		4,275		344

AXA S.A.		80,870		1,493


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9% ⁽¹⁾ continued

France – 3.0% continued

Bouygues S.A.		9,467		$328

Carrefour S.A.		26,070		417

Cie de Saint-Gobain*		20,999		882

Cie Generale des Etablissements Michelin S.C.A.		7,110		761

CNP Assurances*		5,963		75

Covivio		2,341		165

Credit Agricole S.A.*		48,223		422

Danone S.A.		25,399		1,643

Dassault Systemes S.E.		5,575		1,040

Eiffage S.A.*		3,843		313

EssilorLuxottica S.A.*		12,048		1,638

Eurazeo S.E.*		1,422		77

Gecina S.A.		1,749		231

Getlink S.E.*		17,174		233

JCDecaux S.A.*		2,996		52

Kering S.A.		3,103		2,062

Klepierre S.A.		7,642		107

L’Oreal S.A.		10,423		3,392

Natixis S.A.*		34,401		77

Orange S.A.		82,511		859

Publicis Groupe S.A.		10,124		328

Schneider Electric S.E.		22,756		2,824

SEB S.A.		868		141

SES S.A.		15,240		108

Teleperformance		2,405		741

TOTAL S.E.		102,898		3,533

Ubisoft Entertainment S.A.*		3,864		349

Unibail-Rodamco-Westfield		5,324		196

Valeo S.A.		8,789		269

Wendel S.E.		1,085		98

				28,687

Germany – 2.9%

adidas A.G.*		7,905		2,559

Allianz S.E. (Registered)		17,342		3,326

BASF S.E.		38,502		2,345

Bayerische Motoren Werke A.G.		13,945		1,013

Beiersdorf A.G.		4,085		464

Commerzbank A.G.*		37,711		185

Delivery Hero S.E.⁽³⁾*		5,367		617

Deutsche Boerse A.G.		7,799		1,370

Deutsche Wohnen S.E.		13,772		689

Fraport A.G. Frankfurt Airport Services Worldwide*		1,731		68


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9% ⁽¹⁾ continued

Germany – 2.9% continued

HeidelbergCement A.G.		6,386		$392

Henkel A.G. & Co. KGaA		4,395		412

Merck KGaA		5,262		768

METRO A.G.		6,335		63

MTU Aero Engines A.G.		2,181		363

Muenchener Rueckversicherungs-Gesellschaft A.G. in Muenchen (Registered)		5,824		1,479

SAP S.E.		43,217		6,730

Siemens A.G. (Registered)		31,804		4,021

Siemens Energy A.G.*		15,902		429

Symrise A.G.		5,277		730

Telefonica Deutschland Holding A.G.		39,725		102

				28,125

Hong Kong – 0.6%

ASM Pacific Technology Ltd.		12,600		129

BOC Hong Kong Holdings Ltd.		148,500		394

CLP Holdings Ltd.		68,806		641

Hang Seng Bank Ltd.		31,278		464

HKT Trust & HKT Ltd.		148,000		196

Hong Kong & China Gas Co. Ltd.		432,822		622

Hong Kong Exchanges & Clearing Ltd.		49,815		2,342

MTR Corp. Ltd.		68,126		338

Pacific Century Premium Developments Ltd.*		17,496		5

PCCW Ltd.		162,000		97

Swire Pacific Ltd., Class A		18,000		87

Swire Properties Ltd.		42,678		113

				5,428

Ireland – 1.2%

Accenture PLC, Class A		26,358		5,957

Allegion PLC		3,860		382

Aptiv PLC		10,888		998

CRH PLC		32,317		1,167

DCC PLC		4,144		319

Jazz Pharmaceuticals PLC*		2,400		342

Kerry Group PLC, Class A		6,657		855

Kingspan Group PLC*		6,493		590

Perrigo Co. PLC		5,678		261

Trane Technologies PLC		9,874		1,197

				12,068

Israel – 0.1%

Bank Hapoalim B.M.		44,140		236


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9% ⁽¹⁾ continued

Israel – 0.1% continued

Bank Leumi Le-Israel B.M.		63,993		$281

Mizrahi Tefahot Bank Ltd.		4,911		87

				604

Italy – 0.5%

Assicurazioni Generali S.p.A.		45,275		638

Enel S.p.A.		336,330		2,920

Intesa Sanpaolo S.p.A.*		674,756		1,267

Pirelli & C S.p.A.⁽³⁾*		15,383		66

Tenaris S.A.		18,723		93

				4,984

Japan – 8.2%

Aeon Co. Ltd.		26,500		712

Ajinomoto Co., Inc.		19,900		409

ANA Holdings, Inc.*		4,500		104

Asahi Kasei Corp.		53,800		470

Astellas Pharma, Inc.		77,000		1,146

Benesse Holdings, Inc.		3,000		77

Bridgestone Corp.		21,600		682

Casio Computer Co. Ltd.		8,700		140

Central Japan Railway Co.		6,000		861

Chugai Pharmaceutical Co. Ltd.		27,530		1,235

CyberAgent, Inc.		4,400		272

Dai Nippon Printing Co. Ltd.		9,500		192

Daicel Corp.		8,800		63

Daifuku Co. Ltd.		4,100		413

Dai-ichi Life Holdings, Inc.		44,100		622

Daiichi Sankyo Co. Ltd.		70,500		2,166

Daikin Industries Ltd.		10,400		1,918

Daiwa House Industry Co. Ltd.		23,200		596

Denso Corp.		17,800		780

East Japan Railway Co.		12,700		783

Eisai Co. Ltd.		10,505		959

ENEOS Holdings, Inc.		132,700		474

Fast Retailing Co. Ltd.		2,400		1,506

Fujitsu Ltd.		8,000		1,095

Hankyu Hanshin Holdings, Inc.		9,900		318

Hino Motors Ltd.		10,200		66

Hirose Electric Co. Ltd.		1,300		167

Hitachi Construction Machinery Co. Ltd.		5,000		181

Hitachi Metals Ltd.		8,100		125

Honda Motor Co. Ltd.		67,300		1,588

Hulic Co. Ltd.		10,800		101

Inpex Corp.		45,600		244


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9% ⁽¹⁾ continued

Japan – 8.2% continued

Isuzu Motors Ltd.		20,900		$183

Japan Retail Fund Investment Corp.		106		164

JFE Holdings, Inc.*		21,600		151

Kajima Corp.		17,100		205

Kansai Paint Co. Ltd.		7,200		179

Kao Corp.		19,800		1,486

Kawasaki Heavy Industries Ltd.*		5,300		72

KDDI Corp.		67,100		1,697

Keio Corp.		4,500		278

Keyence Corp.		7,600		3,542

Kikkoman Corp.		5,700		316

Kobayashi Pharmaceutical Co. Ltd.		2,100		203

Kobe Bussan Co. Ltd.		2,400		132

Komatsu Ltd.		37,500		826

Konami Holdings Corp.		3,800		165

Kubota Corp.		42,400		758

Kuraray Co. Ltd.		12,100		118

Kurita Water Industries Ltd.		3,900		129

Kyushu Railway Co.		5,800		124

Lawson, Inc.		1,900		91

Marubeni Corp.		72,300		410

Marui Group Co.Ltd.		7,300		140

Mazda Motor Corp.		21,600		126

Mercari, Inc.*		3,300		152

Mitsubishi Chemical Holdings Corp.		56,700		327

Mitsubishi Estate Co. Ltd.		49,800		753

Mitsubishi Materials Corp.		4,300		85

Mitsubishi UFJ Lease & Finance Co. Ltd.		20,730		96

Mitsui Chemicals, Inc.		7,100		172

Mitsui Fudosan Co. Ltd.		39,400		686

Miura Co. Ltd.		3,400		166

Mizuho Financial Group, Inc.		103,297		1,290

MS&AD Insurance Group Holdings, Inc.		18,600		504

Murata Manufacturing Co. Ltd.		24,345		1,571

Nabtesco Corp.		4,300		157

Nagoya Railroad Co. Ltd.		7,300		200

NEC Corp.		9,900		580

NGK Insulators Ltd.		10,100		144

NGK Spark Plug Co. Ltd.		6,500		113

Nikon Corp.		11,800		80

Nintendo Co. Ltd.		4,600		2,615

Nippon Building Fund, Inc.		53		301

Nippon Express Co. Ltd.		2,800		163


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9% ⁽¹⁾ continued

Japan – 8.2% continued

Nippon Paint Holdings Co. Ltd.		6,000		$617

Nippon Prologis REIT, Inc.		89		301

Nippon Shinyaku Co. Ltd.		1,800		148

Nippon Yusen K.K.		5,500		95

Nissin Foods Holdings Co. Ltd.		2,700		254

Nitori Holdings Co. Ltd.		3,400		707

Nitto Denko Corp.		6,600		430

Nomura Real Estate Holdings, Inc.		4,500		86

Nomura Real Estate Master Fund, Inc.		190		239

Nomura Research Institute Ltd.		13,476		396

NSK Ltd.		13,600		104

NTT DOCOMO, Inc.		47,800		1,773

Obayashi Corp.		25,300		229

Odakyu Electric Railway Co. Ltd.		11,600		292

Omron Corp.		7,700		600

Ono Pharmaceutical Co. Ltd.		15,200		477

Oriental Land Co. Ltd.		8,200		1,149

ORIX Corp.		53,800		670

Osaka Gas Co. Ltd.		16,000		312

Otsuka Corp.		4,700		241

Panasonic Corp.		91,700		777

Park24 Co. Ltd.		4,400		71

Rakuten, Inc.		36,800		398

Recruit Holdings Co. Ltd.		52,100		2,067

Resona Holdings, Inc.		81,300		277

Rohm Co. Ltd.		4,000		309

Santen Pharmaceutical Co. Ltd.		16,900		347

SCSK Corp.		2,000		112

Secom Co. Ltd.		8,700		795

Sega Sammy Holdings, Inc.		6,700		82

Sekisui Chemical Co. Ltd.		16,200		259

Sekisui House Ltd.		28,000		495

Seven & i Holdings Co. Ltd.		31,700		980

SG Holdings Co. Ltd.		6,700		348

Sharp Corp.		8,100		100

Shimadzu Corp.		8,700		265

Shimizu Corp.		21,000		157

Shin-Etsu Chemical Co. Ltd.		14,800		1,932

Shionogi & Co. Ltd.		10,900		583

Shiseido Co. Ltd.		16,900		970

Showa Denko K.K.		4,900		90

Sohgo Security Services Co. Ltd.		2,700		129

Sompo Holdings, Inc.		14,100		488

Sony Corp.		52,300		4,000


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9% ⁽¹⁾ continued

Japan – 8.2% continued

Stanley Electric Co. Ltd.		5,733		$165

Sumitomo Chemical Co. Ltd.		58,200		193

Sumitomo Metal Mining Co. Ltd.		9,100		282

Sumitomo Mitsui Trust Holdings, Inc.		14,400		383

Sumitomo Rubber Industries Ltd.		6,100		57

Suntory Beverage & Food Ltd.		6,000		226

Sysmex Corp.		6,842		653

T&D Holdings, Inc.		24,800		245

Taisei Corp.		7,400		249

Takeda Pharmaceutical Co. Ltd.		65,700		2,340

TDK Corp.		5,300		580

Teijin Ltd.		6,900		107

Tobu Railway Co. Ltd.		7,400		229

Tokyo Century Corp.		1,700		93

Tokyo Electron Ltd.		6,200		1,623

Tokyo Gas Co. Ltd.		15,200		347

Tokyu Corp.		21,900		284

Toppan Printing Co. Ltd.		12,000		169

Toray Industries, Inc.		54,000		247

TOTO Ltd.		5,500		252

Toyo Suisan Kaisha Ltd.		3,700		196

Toyoda Gosei Co. Ltd.		2,600		60

Toyota Tsusho Corp.		8,200		229

Unicharm Corp.		17,100		764

USS Co. Ltd.		8,800		157

West Japan Railway Co.		6,500		321

Yakult Honsha Co. Ltd.		4,700		261

Yamada Holdings Co. Ltd.		27,560		137

Yamaha Corp.		6,100		292

Yamaha Motor Co. Ltd.		10,600		154

Yaskawa Electric Corp.		10,100		394

Yokogawa Electric Corp.		8,900		141

ZOZO, Inc.		4,200		117

				79,213

Jordan – 0.0%

Hikma Pharmaceuticals PLC		7,221		242

Netherlands – 1.7%

Aegon N.V.		79,887		208

Akzo Nobel N.V.		8,134		824

ASML Holding N.V.		17,679		6,519

ING Groep N.V.*		161,254		1,142

Koninklijke Ahold Delhaize N.V.		45,616		1,350

Koninklijke DSM N.V.		7,114		1,172

Koninklijke KPN N.V.		144,263		339


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9% ⁽¹⁾ continued

Netherlands – 1.7% continued

Koninklijke Philips N.V.*		37,981		$1,789

Koninklijke Vopak N.V.		2,643		149

NN Group N.V.		13,027		489

Prosus N.V.*		20,002		1,845

Wolters Kluwer N.V.		11,501		982

				16,808

New Zealand – 0.1%

Auckland International Airport Ltd.		49,023		237

Fisher & Paykel Healthcare Corp. Ltd.		23,200		511

Mercury NZ Ltd.		25,535		86

Meridian Energy Ltd.		49,231		161

Ryman Healthcare Ltd.		15,624		146

				1,141

Norway – 0.2%

Equinor ASA		40,727		575

Mowi ASA		18,089		321

Norsk Hydro ASA*		63,072		174

Orkla ASA		32,145		325

Schibsted ASA, Class B*		3,642		145

Telenor ASA		30,189		506

				2,046

Portugal – 0.1%

Banco Espirito Santo S.A. (Registered)⁽⁴⁾ *		29,034		—

EDP - Energias de Portugal S.A.		118,396		582

Galp Energia SGPS S.A.		19,238		178

Jeronimo Martins SGPS S.A.		9,867		159

				919

Singapore – 0.4%

Ascendas Real Estate Investment Trust		134,368		321

CapitaLand Commercial Trust		109,260		132

CapitaLand Ltd.		104,858		209

CapitaLand Mall Trust		118,900		169

City Developments Ltd.		21,300		120

DBS Group Holdings Ltd.		75,233		1,107

Jardine Cycle & Carriage Ltd.		3,844		51

Keppel Corp. Ltd.		56,500		185

Singapore Airlines Ltd.		52,100		133

Singapore Exchange Ltd.		31,500		212

Singapore Telecommunications Ltd.		340,500		531

United Overseas Bank Ltd.		50,000		702

UOL Group Ltd.		16,482		81

				3,953


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9% ⁽¹⁾ continued

Spain – 0.7%

Banco Bilbao Vizcaya Argentaria S.A.		283,567		$784

Bankinter S.A.		27,597		119

CaixaBank S.A.		146,428		311

Iberdrola S.A.		245,572		3,022

Industria de Diseno Textil S.A.		44,957		1,250

Naturgy Energy Group S.A.		12,673		254

Red Electrica Corp. S.A.		17,906		336

Repsol S.A.		62,397		417

Telefonica S.A.		205,357		704

				7,197

Sweden – 1.0%

Assa Abloy AB, Class B		41,553		970

Atlas Copco AB, Class A		27,587		1,313

Atlas Copco AB, Class B		15,973		665

Boliden AB		11,825		352

Electrolux AB, Class B		10,256		239

Essity AB, Class B*		25,611		865

Hennes & Mauritz AB, Class B		32,934		568

Husqvarna AB, Class B		15,632		172

ICA Gruppen AB		3,850		196

Investment AB Latour, Class B		5,779		136

Kinnevik AB, Class B		10,547		427

Sandvik AB*		47,974		936

Skandinaviska Enskilda Banken AB, Class A*		66,375		588

Skanska AB, Class B*		13,117		276

SKF AB, Class B		16,064		331

Svenska Cellulosa AB S.C.A., Class B*		26,886		369

Svenska Handelsbanken AB, Class A*		63,159		530

Tele2 AB, Class B		20,990		296

Telia Co. AB		106,942		440

				9,669

Switzerland – 3.0%

ABB Ltd. (Registered)		77,096		1,954

Adecco Group A.G. (Registered)		6,653		351

Alcon, Inc.*		20,220		1,148

Chocoladefabriken Lindt & Spruengli A.G. (Participation Certificate)		44		371

Chocoladefabriken Lindt & Spruengli A.G. (Registered)		4		356

Chubb Ltd.		18,761		2,178

Cie Financiere Richemont S.A., Class A (Registered)		21,657		1,451

Clariant A.G. (Registered)		7,210		142


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9% ⁽¹⁾ continued

Switzerland – 3.0% continued

Coca-Cola HBC A.G. - CDI*		7,885		$195

Garmin Ltd.		5,853		555

Givaudan S.A. (Registered)		380		1,638

Kuehne + Nagel International A.G. (Registered)		2,264		439

Lonza Group A.G. (Registered)		3,093		1,909

Roche Holding A.G. (Genusschein)		29,068		9,945

SGS S.A. (Registered)		245		657

Sika A.G. (Registered)		5,850		1,437

Sonova Holding A.G. (Registered)*		2,255		572

Straumann Holding A.G. (Registered)		426		429

Swiss Re A.G.		12,482		924

Swisscom A.G. (Registered)		1,086		576

Zurich Insurance Group A.G.		6,209		2,159

				29,386

United Kingdom – 4.7%

3i Group PLC		40,722		523

Amcor PLC		64,461		712

Associated British Foods PLC		14,668		353

Aviva PLC		161,314		593

Barratt Developments PLC		39,054		239

Berkeley Group Holdings (The) PLC		5,420		295

British Land (The) Co. PLC		34,352		149

BT Group PLC		362,834		461

Burberry Group PLC		16,526		331

CNH Industrial N.V.*		43,039		334

Coca-Cola European Partners PLC		8,626		335

Compass Group PLC		73,764		1,107

Croda International PLC		5,410		437

Ferguson PLC		9,310		937

GlaxoSmithKline PLC		209,371		3,922

IHS Markit Ltd.		15,632		1,227

Informa PLC*		58,645		284

InterContinental Hotels Group PLC*		7,291		383

J Sainsbury PLC		66,219		163

JD Sports Fashion PLC		16,890		177

Johnson Matthey PLC		7,398		224

Kingfisher PLC		92,674		354

Land Securities Group PLC		27,145		183

Legal & General Group PLC		250,645		607

Liberty Global PLC, Class A*		6,285		132

Liberty Global PLC, Class C*		17,316		356

Linde PLC		21,766		5,183

London Stock Exchange Group PLC		12,936		1,480


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9% ⁽¹⁾ continued

United Kingdom – 4.7% continued

Mondi PLC		20,280		$427

National Grid PLC		143,821		1,656

Next PLC		5,753		441

Pearson PLC		33,448		237

Pentair PLC		7,309		334

Prudential PLC		106,773		1,524

Reckitt Benckiser Group PLC		29,588		2,885

RELX PLC (London Exchange)		79,433		1,758

Rentokil Initial PLC*		75,436		519

RSA Insurance Group PLC*		39,116		228

Sage Group (The) PLC		45,966		426

Schroders PLC		4,743		165

Segro PLC		49,694		597

Smith & Nephew PLC		36,100		703

Spirax-Sarco Engineering PLC		3,050		434

SSE PLC		43,613		679

Standard Chartered PLC*		111,402		511

Standard Life Aberdeen PLC		98,348		286

Taylor Wimpey PLC		151,394		211

Tesco PLC		406,348		1,114

Unilever N.V.		60,020		3,623

Unilever PLC		49,042		3,022

Whitbread PLC		8,354		228

Willis Towers Watson PLC		5,266		1,100

Wm Morrison Supermarkets PLC		95,595		210

WPP PLC		53,951		421

				45,220

United States – 60.8%

3M Co.		23,832		3,817

AbbVie, Inc.		73,144		6,407

ABIOMED, Inc.*		1,847		512

Activision Blizzard, Inc.		31,791		2,573

Adobe, Inc.*		19,946		9,782

Advance Auto Parts, Inc.		2,877		442

AES (The) Corp.		27,380		496

Agilent Technologies, Inc.		12,716		1,284

Alexandria Real Estate Equities, Inc.		5,222		836

Align Technology, Inc.*		3,112		1,019

Alliant Energy Corp.		10,102		522

Allstate (The) Corp.		13,000		1,224

Ally Financial, Inc.		16,238		407

Alphabet, Inc., Class A*		12,419		18,201

Alphabet, Inc., Class C*		12,531		18,416

AMERCO		373		133


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9% ⁽¹⁾ continued

United States – 60.8% continued

American Express Co.		28,196		$2,827

American Financial Group, Inc.		3,498		234

American International Group, Inc.		35,851		987

American Tower Corp.		18,371		4,441

American Water Works Co., Inc.		7,402		1,072

Ameriprise Financial, Inc.		4,979		767

AmerisourceBergen Corp.		6,244		605

Amgen, Inc.		24,397		6,201

Aon PLC, Class A		9,650		1,991

Applied Materials, Inc.		38,245		2,274

Aramark		8,727		231

Arch Capital Group Ltd.*		16,698		488

Arthur J. Gallagher & Co.		7,867		831

Assurant, Inc.		2,578		313

Autodesk, Inc.*		9,021		2,084

Axalta Coating Systems Ltd.*		7,941		176

Baker Hughes Co.		26,670		354

Ball Corp.		13,427		1,116

Bank of New York Mellon (The) Corp.		33,536		1,152

Becton Dickinson and Co.		12,001		2,792

Best Buy Co., Inc.		9,725		1,082

Biogen, Inc.*		6,763		1,919

BioMarin Pharmaceutical, Inc.*		7,379		561

BlackRock, Inc.		6,295		3,548

Booking Holdings, Inc.*		1,699		2,906

BorgWarner, Inc.		9,130		354

Boston Properties, Inc.		6,109		491

Bristol-Myers Squibb Co.		93,436		5,633

Bunge Ltd.		5,927		271

Burlington Stores, Inc.*		2,753		567

C.H. Robinson Worldwide, Inc.		5,467		559

Cable One, Inc.		195		368

Cadence Design Systems, Inc.*		11,525		1,229

Campbell Soup Co.		7,571		366

Cardinal Health, Inc.		11,850		556

Carlyle Group (The), Inc.		5,330		131

CarMax, Inc.*		6,686		615

Caterpillar, Inc.		22,407		3,342

Cboe Global Markets, Inc.		4,728		415

CBRE Group, Inc., Class A*		13,591		638

Centene Corp.*		24,000		1,400

CenturyLink, Inc.		39,100		395

Cerner Corp.		12,818		927

Charles Schwab (The) Corp.		47,356		1,716


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9% ⁽¹⁾ continued

United States – 60.8% continued

Cheniere Energy, Inc.*		9,459		$438

Cigna Corp.		15,272		2,587

Cisco Systems, Inc.		175,271		6,904

Citizens Financial Group, Inc.		17,937		453

Citrix Systems, Inc.		4,814		663

Clorox (The) Co.		5,129		1,078

CME Group, Inc.		14,869		2,488

CMS Energy Corp.		11,582		711

Coca-Cola (The) Co.		168,573		8,322

Cognex Corp.		7,097		462

Colgate-Palmolive Co.		33,641		2,595

Comerica, Inc.		5,679		217

ConocoPhillips		44,340		1,456

Consolidated Edison, Inc.		13,636		1,061

Copart, Inc.*		8,678		913

CSX Corp.		31,735		2,465

Cummins, Inc.		6,181		1,305

Darden Restaurants, Inc.		5,337		538

DaVita, Inc.*		3,777		323

Deere & Co.		12,364		2,740

Delta Air Lines, Inc.		6,139		188

DENTSPLY SIRONA, Inc.		9,239		404

DexCom, Inc.*		3,826		1,577

Discover Financial Services		12,676		732

Discovery, Inc., Class A*		6,347		138

Discovery, Inc., Class C*		14,765		289

Dominion Energy, Inc.		34,716		2,740

Domino’s Pizza, Inc.		1,626		691

Dover Corp.		5,874		636

DTE Energy Co.		7,920		911

DuPont de Nemours, Inc.		30,293		1,681

E*TRADE Financial Corp.		9,212		461

East West Bancorp, Inc.		6,152		201

Eaton Corp. PLC		16,450		1,678

eBay, Inc.		29,117		1,517

Ecolab, Inc.		10,445		2,087

Edison International		15,740		800

Edwards Lifesciences Corp.*		25,949		2,071

Electronic Arts, Inc.*		11,992		1,564

EOG Resources, Inc.		24,395		877

Equinix, Inc.		3,663		2,784

Equitable Holdings, Inc.		17,861		326

Equity Residential		15,468		794

Erie Indemnity Co., Class A		1,001		211


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9% ⁽¹⁾ continued

United States – 60.8% continued

Estee Lauder (The) Cos., Inc., Class A		9,307		$2,031

Eversource Energy		13,936		1,164

Expedia Group, Inc.		5,655		519

Expeditors International of Washington, Inc.		6,954		629

FactSet Research Systems, Inc.		1,557		521

Fastenal Co.		23,816		1,074

Fifth Third Bancorp		29,235		623

First Republic Bank		7,067		771

Fortune Brands Home & Security, Inc.		5,816		503

Franklin Resources, Inc.		12,772		260

General Mills, Inc.		25,094		1,548

Genuine Parts Co.		5,951		566

Gilead Sciences, Inc.		52,272		3,303

Hartford Financial Services Group (The), Inc.		14,602		538

Hasbro, Inc.		5,447		451

HCA Healthcare, Inc.		11,069		1,380

Healthpeak Properties, Inc.		22,646		615

Henry Schein, Inc.*		5,903		347

Hess Corp.		11,260		461

Hewlett Packard Enterprise Co.		54,049		506

Hilton Worldwide Holdings, Inc.		11,593		989

Hologic, Inc.*		10,633		707

Home Depot (The), Inc.		44,524		12,365

Hormel Foods Corp.		11,853		579

Host Hotels & Resorts, Inc.		27,550		297

Howmet Aerospace, Inc.		15,045		252

HP, Inc.		58,605		1,113

Humana, Inc.		5,503		2,278

Huntington Bancshares, Inc.		42,381		389

IDEX Corp.		3,149		574

IDEXX Laboratories, Inc.*		3,513		1,381

Illinois Tool Works, Inc.		12,986		2,509

Intel Corp.		175,312		9,078

Intercontinental Exchange, Inc.		22,636		2,265

International Business Machines Corp.		36,780		4,475

International Flavors & Fragrances, Inc.		3,527		432

Intuit, Inc.		10,769		3,513

Invesco Ltd.		15,036		172

Iron Mountain, Inc.		11,474		307

Johnson & Johnson		109,157		16,251

Johnson Controls International PLC		31,331		1,280

Jones Lang LaSalle, Inc.		2,344		224


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9% ⁽¹⁾ continued

United States – 60.8% continued

Kansas City Southern		3,956		$715

Kellogg Co.		10,588		684

KeyCorp		40,906		488

Keysight Technologies, Inc.*		7,878		778

Kimberly-Clark Corp.		14,046		2,074

Kinder Morgan, Inc.		85,374		1,053

Laboratory Corp. of America Holdings*		3,930		740

Lam Research Corp.		6,037		2,003

Lennox International, Inc.		1,503		410

Liberty Broadband Corp., Class C*		4,600		657

Lincoln National Corp.		7,562		237

LKQ Corp.*		12,271		340

Loews Corp.		11,154		388

Lowe’s Cos., Inc.		31,267		5,186

M&T Bank Corp.		5,398		497

Marathon Petroleum Corp.		26,675		783

MarketAxess Holdings, Inc.		1,579		760

Marsh & McLennan Cos., Inc.		20,920		2,400

Masco Corp.		10,881		600

Mastercard, Inc., Class A		36,991		12,509

McCormick & Co., Inc. (Non Voting)		5,094		989

McDonald’s Corp.		30,853		6,772

Merck & Co., Inc.		104,589		8,676

Mettler-Toledo International, Inc.*		1,000		966

Microsoft Corp.		298,274		62,736

Mohawk Industries, Inc.*		2,356		230

Moody’s Corp.		7,040		2,041

Mosaic (The) Co.		15,320		280

Nasdaq, Inc.		4,743		582

National Oilwell Varco, Inc.		14,781		134

Newell Brands, Inc.		15,424		265

Newmont Corp.		33,395		2,119

Nielsen Holdings PLC		13,634		193

NIKE, Inc., Class B		51,329		6,444

Norfolk Southern Corp.		10,717		2,293

Northern Trust Corp.⁽⁵⁾		8,049		628

Nucor Corp.		12,592		565

NVIDIA Corp.		25,453		13,776

NVR, Inc.*		147		600

Occidental Petroleum Corp.		36,065		361

Omnicom Group, Inc.		8,834		437

ONEOK, Inc.		17,874		464

Owens Corning		4,159		286


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9% ⁽¹⁾ continued

United States – 60.8% continued

PACCAR, Inc.		14,163		$1,208

Parker-Hannifin Corp.		5,315		1,075

People’s United Financial, Inc.		16,945		175

PepsiCo, Inc.		57,486		7,968

Phillips 66		18,223		945

Pinnacle West Capital Corp.		4,700		350

Pioneer Natural Resources Co.		6,825		587

PNC Financial Services Group (The),

Inc.		17,775		1,954

PPG Industries, Inc.		9,713		1,186

Principal Financial Group, Inc.		11,377		458

Procter & Gamble (The) Co.		102,428		14,236

Progressive (The) Corp.		24,127		2,284

Prologis, Inc.		30,679		3,087

Prudential Financial, Inc.		16,550		1,051

Public Service Enterprise Group, Inc.		21,068		1,157

Quest Diagnostics, Inc.		5,387		617

Raymond James Financial, Inc.		5,251		382

Regions Financial Corp.		40,197		463

Reinsurance Group of America, Inc.		2,720		259

ResMed, Inc.		5,923		1,015

Robert Half International, Inc.		5,110		271

Rockwell Automation, Inc.		4,770		1,053

Roper Technologies, Inc.		4,327		1,710

Ross Stores, Inc.		14,757		1,377

Royal Caribbean Cruises Ltd.		7,263		470

S&P Global, Inc.		9,982		3,600

salesforce.com, Inc.*		37,256		9,363

SBA Communications Corp.		4,668		1,487

Schlumberger N.V.		57,806		899

Sempra Energy		12,147		1,438

Sherwin-Williams (The) Co.		3,402		2,370

Snap-on, Inc.		2,224		327

Southern (The) Co.		43,810		2,375

Stanley Black & Decker, Inc.		6,341		1,029

Starbucks Corp.		48,591		4,175

State Street Corp.		14,638		868

Steel Dynamics, Inc.		8,198		235

STERIS PLC		3,480		613

SVB Financial Group*		2,112		508

T. Rowe Price Group, Inc.		9,430		1,209

Target Corp.		20,683		3,256

TD Ameritrade Holding Corp.		11,282		442

Teladoc Health, Inc.*		2,929		642


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9% ⁽¹⁾ continued

United States – 60.8% continued

Teledyne Technologies, Inc.*		1,520		$472

Tesla, Inc.*		30,500		13,085

Texas Instruments, Inc.		37,897		5,411

Tiffany & Co.		4,469		518

TJX (The) Cos., Inc.		50,054		2,785

Tractor Supply Co.		4,938		708

Travelers (The) Cos., Inc.		10,444		1,130

Trimble, Inc.*		10,383		506

Truist Financial Corp.		55,707		2,120

U.S. Bancorp		55,879		2,003

UDR, Inc.		12,857		419

Ulta Beauty, Inc.*		2,214		496

Union Pacific Corp.		28,135		5,539

United Parcel Service, Inc., Class B		29,149		4,857

United Rentals, Inc.*		3,092		540

Vail Resorts, Inc.		1,708		365

Valero Energy Corp.		16,883		731

Varian Medical Systems, Inc.*		3,766		648

Verizon Communications, Inc.		171,076		10,177

Vertex Pharmaceuticals, Inc.*		10,784		2,935

VF Corp.		13,922		978

Visa, Inc., Class A		69,882		13,974

VMware, Inc., Class A*		3,392		487

Voya Financial, Inc.		5,295		254

W.W. Grainger, Inc.		1,862		664

Walt Disney (The) Co.		74,706		9,270

Waste Management, Inc.		17,443		1,974

Waters Corp.*		2,557		500

WEC Energy Group, Inc.		12,905		1,250

Welltower, Inc.		17,057		940

West Pharmaceutical Services, Inc.		3,100		852

Western Union (The) Co.		17,460		374

Weyerhaeuser Co.		30,764		877

Whirlpool Corp.		2,637		485

Williams (The) Cos., Inc.		50,257		988

Xcel Energy, Inc.		21,583		1,489

Xylem, Inc.		7,375		620

Zions Bancorp N.A.		6,581		192

Zoetis, Inc.		19,675		3,254

				589,493

Total Common Stocks

(Cost $734,109)				939,508


	NUMBER OF SHARES		VALUE (000S)

PREFERRED STOCKS – 0.1% ⁽¹⁾

Germany – 0.1%

Bayerische Motoren Werke A.G., 5.31%⁽⁶⁾		2,173		$119

Henkel A.G. & Co. KGaA, 2.06%⁽⁶⁾		7,356		770

Sartorius A.G., 0.10%⁽⁶⁾		1,460		600

				1,489

Total Preferred Stocks

(Cost $1,064)				1,489

	NUMBER OF WARRANTS		VALUE (000S)

WARRANTS – 0.0%

Occidental Petroleum Corp. Exp. 7/6/27, Strike $22.00*		4,308		$13

Total Warrants

(Cost $—)				13

	NUMBER OF SHARES		VALUE (000S)

INVESTMENT COMPANIES – 2.1%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽⁷⁾(8)		20,347,974		$20,348

Total Investment Companies

(Cost $20,348)				20,348


Total Investments – 99.1%

(Cost $755,521)				961,358

Other Assets less Liabilities – 0.9%				8,453

Net Assets – 100.0%				$969,811

⁽¹⁾

Adjustment factors were provided by an independent evaluation service to determine the value of certain foreign securities.

⁽²⁾

Value rounds to less than one thousand.

⁽³⁾

⁽⁴⁾

Level 3 asset that is worthless, bankrupt or has been delisted.

⁽⁵⁾

Investment in affiliate.

⁽⁶⁾

Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income.

⁽⁷⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽⁸⁾

7-day current yield as of September 30, 2020 is disclosed.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:


CDI	–	CREST Depository Interest

PLC	–	Public Limited Company

REIT	–	Real Estate Investment Trust

S&P	–	Standard & Poor’s

Percentages shown are based on Net Assets.

At September 30, 2020, the Fund had outstanding forward foreign currency exchange contracts as follows:


COUNTERPARTY	CONTRACTS TO DELIVER CURRENCY		AMOUNT (LOCAL CURRENCY) (000S)		IN EXCHANGE FOR CURRENCY		AMOUNT (LOCAL CURRENCY) (000S)		SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION) (000S)

BNP		United States Dollar		488		Japanese Yen		51,553		12/16/20		$ 1

JPMorgan Chase		United States Dollar		470		Japanese Yen		49,633		12/16/20		1

Morgan Stanley		United States Dollar		181		British Pound		141		12/16/20		2

Morgan Stanley		United States Dollar		479		Japanese Yen		50,769		12/16/20		3

Toronto-Dominion Bank		United States Dollar		246		British Pound		191		12/16/20		1

Toronto-Dominion Bank		United States Dollar		327		Canadian Dollar		438		12/16/20		2

Toronto-Dominion Bank		United States Dollar		361		Swiss Franc		332		12/16/20		1

Subtotal Appreciation												11

Citibank		United States Dollar		44		Australian Dollar		60		12/16/20		(1	)

JPMorgan Chase		United States Dollar		1,143		Euro		964		12/16/20		(11	)

JPMorgan Chase		United States Dollar		165		Swiss Franc		149		12/16/20		(2	)

Morgan Stanley		United States Dollar		369		Canadian Dollar		486		12/16/20		(3	)

Morgan Stanley		United States Dollar		74		Swedish Krona		651		12/16/20		(2	)

Toronto-Dominion Bank		Japanese Yen		35,850		United States Dollar		340		12/16/20		(1	)

Toronto-Dominion Bank		United States Dollar		149		Danish Krone		930		12/16/20		(2	)

UBS		Hong Kong Dollar		44		United States Dollar		6		12/16/20		—	*

Subtotal Depreciation												(22	)

Total												$ (11	)

*	Amounts round to less than a thousand.

At September 30, 2020, the Fund had open futures contracts as follows:


TYPE	NUMBER OF CONTRACTS		NOTIONAL AMOUNT (000S)		CONTRACT POSITION		CONTRACT EXP.		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) (000S)⁽¹⁾

E-Mini S&P 500 (United States Dollar)		106		$17,766		Long		12/20		$ 61

Euro Stoxx 50 (Euro)		111		4,157		Long		12/20		(111	)

FTSE 100 Index (British Pound)		13		980		Long		12/20		(16	)

S&P/TSX 60 Index (Canadian Dollar)		6		867		Long		12/20		(1	)


TYPE	NUMBER OF CONTRACTS		NOTIONAL AMOUNT (000S)		CONTRACT POSITION		CONTRACT EXP.		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) (000S)⁽¹⁾

SPI 200 Index (Australian Dollar)		10	$	1,039		Long		12/20	$	(19	)

Topix Index (Japanese Yen)		11		1,695		Long		12/20		11

Total									$	(75	)

⁽¹⁾

Includes cumulative appreciation/depreciation on futures contracts. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF LONG-TERM INVESTMENTS

Communication Services		8.3	%

Consumer Discretionary		12.0

Consumer Staples		8.2

Energy		2.3

Financials		12.1

Health Care		13.4

Industrials		10.7

Information Technology		21.5

Materials		5.2

Real Estate		2.9

Utilities		3.4

Total		100.0	%

At September 30, 2020, the Fund’s investments were denominated in the following currencies:


CONCENTRATION BY CURRENCY	% OF LONG-TERM INVESTMENTS

United States Dollar		65.3	%

Euro		10.6

Japanese Yen		8.4

All other currencies less than 5%		15.7

Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).



INVESTMENTS	LEVEL 1 (000S)			LEVEL 2 (000S)			LEVEL 3 (000S)		TOTAL (000S)

Common Stocks:

Argentina		$ 2,012			$ —			$ —		$2,012

Canada		36,663			—			—		36,663

Germany		429			27,696			—		28,125

Ireland		9,137			2,931			—		12,068

Switzerland		2,733			26,653			—		29,386

United Kingdom		9,379			35,841			—		45,220

United States		589,493			—			—		589,493

All Other Countries⁽¹⁾		—			196,541			—		196,541

Total Common Stocks		649,846			289,662			—		939,508

Preferred Stocks⁽¹⁾		—			1,489			—		1,489

Warrants		13			—			—		13

Investment Companies		20,348			—			—		20,348

Total Investments		$670,207			$291,151			$ —		$961,358
OTHER FINANCIAL INSTRUMENTS

Assets

Forward Foreign
Currency Exchange Contracts		$ —			$11			$ —		$ 11

Futures Contracts		72			—			—		72

Liabilities

Forward Foreign
Currency Exchange Contracts		—			(22	)		—		(22	)

Futures Contracts		(147	)		—			—		(147	)

Total Other Financial Instruments		$ (75	)		$ (11	)		$ —		$(86	)

⁽¹⁾

Classifications as defined in the Schedule of Investments.


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾

Australia – 6.5%

Afterpay Ltd.*		68,273		$3,990

AGL Energy Ltd.		204,777		2,001

AMP Ltd.		1,125,922		1,060

Ampol Ltd.		83,170		1,430

APA Group		383,235		2,842

Aristocrat Leisure Ltd.		185,908		4,009

ASX Ltd.		63,071		3,694

Aurizon Holdings Ltd.		631,243		1,926

AusNet Services		615,432		833

Australia & New Zealand Banking Group Ltd.		917,352		11,357

BGP Holdings PLC⁽²⁾*		1,085,479		—

BHP Group Ltd.		946,538		24,357

BHP Group PLC		675,409		14,399

BlueScope Steel Ltd.		160,774		1,468

Brambles Ltd.		482,513		3,632

CIMIC Group Ltd.*		31,589		421

Coca-Cola Amatil Ltd.		154,904		1,056

Cochlear Ltd.		20,749		2,949

Coles Group Ltd.		426,088		5,197

Commonwealth Bank of Australia		569,062		26,009

Computershare Ltd.		150,137		1,318

Crown Resorts Ltd.		116,748		737

CSL Ltd.		146,130		30,109

Dexus		350,141		2,235

Evolution Mining Ltd.		533,418		2,215

Fortescue Metals Group Ltd.		544,545		6,374

Goodman Group		530,949		6,833

GPT Group (The)		622,460		1,744

Insurance Australia Group Ltd.		737,089		2,320

Lendlease Corp. Ltd.		215,846		1,710

Macquarie Group Ltd.		108,520		9,322

Magellan Financial Group Ltd.		42,176		1,719

Medibank Pvt Ltd.		874,979		1,576

Mirvac Group		1,283,973		2,011

National Australia Bank Ltd.		1,033,254		13,184

Newcrest Mining Ltd.		257,528		5,804

Northern Star Resources Ltd.		243,188		2,391

Oil Search Ltd.		646,495		1,228

Orica Ltd.		127,119		1,409

Origin Energy Ltd.		557,901		1,725

Qantas Airways Ltd.*		278,173		810

QBE Insurance Group Ltd.		465,026		2,878

Ramsay Health Care Ltd.		57,943		2,749


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

Australia – 6.5% continued

REA Group Ltd.		16,671		$1,317

Santos Ltd.		585,013		2,053

Scentre Group		1,660,204		2,627

SEEK Ltd.		104,303		1,596

Sonic Healthcare Ltd.		142,612		3,393

South32 Ltd.		1,592,579		2,335

Stockland		774,161		2,103

Suncorp Group Ltd.		415,200		2,522

Sydney Airport		445,510		1,875

Tabcorp Holdings Ltd.		724,103		1,738

Telstra Corp. Ltd.		1,360,762		2,715

TPG Telecom Ltd.*		114,731		608

Transurban Group		868,830		8,805

Treasury Wine Estates Ltd.		238,937		1,533

Vicinity Centres		1,040,005		1,028

Washington H Soul Pattinson & Co. Ltd.		34,737		586

Wesfarmers Ltd.		366,324		11,680

Westpac Banking Corp.		1,155,517		13,943

WiseTech Global Ltd.		47,156		887

Woodside Petroleum Ltd.		296,207		3,741

Woolworths Group Ltd.		404,041		10,563

				292,679

Austria – 0.2%

ANDRITZ A.G.		24,345		750

Erste Group Bank A.G.*		90,538		1,893

OMV A.G.*		46,476		1,270

Raiffeisen Bank International A.G.*		48,100		735

Verbund A.G.		22,046		1,204

voestalpine A.G.		39,104		1,028

				6,880

Belgium – 0.9%

Ageas S.A./N.V.		55,457		2,263

Anheuser-Busch InBev S.A./N.V.		246,353		13,298

Colruyt S.A.		18,827		1,222

Elia Group S.A./N.V.		9,981		997

Galapagos N.V.*		13,741		1,952

Groupe Bruxelles Lambert S.A.		34,266		3,088

KBC Group N.V.		79,839		3,998

Proximus S.A.DP		51,340		937

Sofina S.A.		4,895		1,335

Solvay S.A., Class A		23,192		1,994

Telenet Group Holding N.V.		15,042		583


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

Belgium – 0.9% continued

UCB S.A.		40,651		$4,616

Umicore S.A.		64,146		2,671

				38,954

Chile – 0.0%

Antofagasta PLC		128,744		1,698

China – 0.1%

BeiGene Ltd. ADR*		12,635		3,619

Microport Scientific Corp.		232,000		928

Yangzijiang Shipbuilding Holdings Ltd.		794,366		579

				5,126

Denmark – 2.5%

Ambu A/S, Class B		53,390		1,512

AP Moller - Maersk A/S, Class A		1,004		1,467

AP Moller - Maersk A/S, Class B		2,152		3,412

Carlsberg A.S., Class B		33,245		4,476

Chr Hansen Holding A/S		33,660		3,741

Coloplast A/S, Class B		37,984		6,007

Danske Bank A/S*		221,568		3,001

Demant A/S*		33,729		1,061

DSV Panalpina A/S		66,804		10,902

Genmab A/S*		20,992		7,622

GN Store Nord A/S		41,574		3,146

H Lundbeck A/S		22,078		728

Novo Nordisk A/S, Class B		551,431		38,303

Novozymes A/S, Class B		67,668		4,256

Orsted A/S⁽³⁾		60,694		8,372

Pandora A/S		31,837		2,291

Tryg A/S		37,739		1,189

Vestas Wind Systems A/S		62,961		10,188

				111,674

Finland – 1.2%

Elisa OYJ		46,542		2,743

Fortum OYJ		140,967		2,853

Kone OYJ, Class B		108,658		9,553

Neste OYJ		136,777		7,192

Nokia OYJ*		1,832,622		7,183

Nordea Bank Abp*		1,037,846		7,906

Orion OYJ, Class B		34,192		1,548

Sampo OYJ, Class A		151,821		6,006

Stora Enso OYJ (Registered)		185,170		2,902

UPM-Kymmene OYJ		171,879		5,231

Wartsila OYJ Abp		143,513		1,129

				54,246


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

France – 10.3%

Accor S.A.*		62,009		$1,734

Aeroports de Paris		9,143		910

Air Liquide S.A.		152,002		24,120

Airbus S.E.*		188,661		13,694

Alstom S.A.*		61,474		3,061

Amundi S.A.⁽³⁾*		19,295		1,360

Arkema S.A.		21,879		2,321

Atos S.E.*		30,972		2,495

AXA S.A.		619,888		11,443

BioMerieux		13,166		2,061

BNP Paribas S.A.*		360,684		13,066

Bollore S.A.		262,625		980

Bouygues S.A.		75,250		2,609

Bureau Veritas S.A.*		97,320		2,186

Capgemini S.E.		52,157		6,680

Carrefour S.A.		192,994		3,089

Cie de Saint-Gobain*		165,882		6,965

Cie Generale des Etablissements Michelin S.C.A.		55,041		5,890

CNP Assurances*		54,298		679

Covivio		14,888		1,051

Credit Agricole S.A.*		371,695		3,249

Danone S.A.		197,684		12,786

Dassault Aviation S.A.*		777		660

Dassault Systemes S.E.		42,414		7,912

Edenred		78,121		3,505

Eiffage S.A.*		26,411		2,153

Electricite de France S.A.		195,513		2,068

Engie S.A.*		588,473		7,865

EssilorLuxottica S.A.*		90,943		12,367

Eurazeo S.E.*		13,777		746

Eurofins Scientific S.E.*		4,326		3,425

Faurecia S.E.*		24,604		1,063

Gecina S.A.		14,696		1,944

Getlink S.E.*		141,010		1,912

Hermes International		10,216		8,806

ICADE		10,130		569

Iliad S.A.		4,810		885

Ingenico Group S.A.*		19,337		2,992

Ipsen S.A.		12,382		1,299

JCDecaux S.A.*		29,434		510

Kering S.A.		24,304		16,147

Klepierre S.A.		63,233		887

La Francaise des Jeux S.A.E.M⁽³⁾		27,798		1,021


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

France – 10.3% continued

Legrand S.A.		84,108		$6,715

L’Oreal S.A.		80,691		26,257

LVMH Moet Hennessy Louis Vuitton S.E.		89,359		41,775

Natixis S.A.*		328,403		738

Orange S.A.		639,752		6,657

Orpea*		16,423		1,865

Pernod Ricard S.A.		68,369		10,911

Peugeot S.A.*		188,809		3,404

Publicis Groupe S.A.		72,100		2,337

Remy Cointreau S.A.		6,924		1,264

Renault S.A.*		63,646		1,643

Safran S.A.*		102,803		10,116

Sanofi		363,716		36,469

Sartorius Stedim Biotech		8,647		2,978

Schneider Electric S.E.		177,237		21,998

SCOR S.E.*		50,724		1,405

SEB S.A.		7,697		1,252

SES S.A.		121,841		862

Societe Generale S.A.*		259,994		3,440

Sodexo S.A.		28,765		2,048

Suez S.A.		114,484		2,119

Teleperformance		18,729		5,768

Thales S.A.		33,906		2,539

TOTAL S.E.		792,768		27,218

Ubisoft Entertainment S.A.*		29,543		2,670

Unibail-Rodamco-Westfield		30,270		1,117

Unibail-Rodamco-Westfield - CDI		284,960		503

Valeo S.A.		75,023		2,293

Veolia Environnement S.A.		175,020		3,775

Vinci S.A.		165,050		13,767

Vivendi S.A.		268,025		7,470

Wendel S.E.		8,624		782

Worldline S.A.⁽³⁾*		44,707		3,666

				458,986

Germany – 8.8%

adidas A.G.*		61,015		19,748

Allianz S.E. (Registered)		134,060		25,715

Aroundtown S.A.*		374,858		1,884

BASF S.E.		293,971		17,901

Bayer A.G. (Registered)		316,382		19,774

Bayerische Motoren Werke A.G.		106,853		7,759

Beiersdorf A.G.		32,957		3,748

Brenntag A.G.		48,795		3,105

Carl Zeiss Meditec A.G. (Bearer)		13,432		1,700


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

Germany – 8.8% continued

Commerzbank A.G.*		333,978		$1,641

Continental A.G.		35,891		3,891

Covestro A.G.⁽³⁾		55,602		2,761

Daimler A.G. (Registered)		273,419		14,743

Delivery Hero S.E.⁽³⁾*		41,019		4,718

Deutsche Bank A.G. (Registered)*		630,209		5,313

Deutsche Boerse A.G.		61,350		10,774

Deutsche Lufthansa A.G. (Registered)*		78,128		673

Deutsche Post A.G. (Registered)		319,085		14,551

Deutsche Telekom A.G. (Registered)		1,067,197		17,878

Deutsche Wohnen S.E.		108,890		5,449

E.ON S.E.		721,001		7,966

Evonik Industries A.G.		67,876		1,758

Fraport A.G. Frankfurt Airport Services Worldwide*		15,023		595

Fresenius Medical Care A.G. & Co. KGaA		69,392		5,859

Fresenius S.E. & Co. KGaA		133,426		6,074

GEA Group A.G.		50,311		1,773

Hannover Rueck S.E.		19,861		3,079

HeidelbergCement A.G.		48,335		2,965

Henkel A.G. & Co. KGaA		33,775		3,164

HOCHTIEF A.G.		7,372		574

Infineon Technologies A.G.		404,257		11,435

KION Group A.G.		21,474		1,844

Knorr-Bremse A.G.		23,292		2,751

LANXESS A.G.		27,548		1,581

LEG Immobilien A.G.		22,246		3,176

Merck KGaA		41,574		6,071

METRO A.G.		65,940		659

MTU Aero Engines A.G.		17,397		2,893

Muenchener Rueckversicherungs-Gesellschaft A.G. in Muenchen (Registered)		45,206		11,478

Nemetschek S.E.		18,794		1,377

Puma S.E.*		25,966		2,340

RWE A.G.		207,224		7,769

SAP S.E.		334,948		52,159

Scout24 A.G.⁽³⁾		34,470		3,009

Siemens A.G. (Registered)		246,327		31,147

Siemens Energy A.G.*		123,163		3,321

Siemens Healthineers A.G.⁽³⁾		86,685		3,892

Symrise A.G.		40,948		5,665

TeamViewer A.G.*		42,532		2,100

Telefonica Deutschland Holding A.G.		332,822		854


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

Germany – 8.8% continued

thyssenkrupp A.G.*		129,657		$655

Uniper S.E.		64,190		2,074

United Internet A.G. (Registered)		34,448		1,318

Volkswagen A.G.		10,320		1,804

Vonovia S.E.		164,803		11,325

Zalando S.E.⁽³⁾*		48,274		4,519

				394,749

Hong Kong – 3.1%

AIA Group Ltd.		3,877,886		38,202

ASM Pacific Technology Ltd.		97,300		995

Bank of East Asia (The) Ltd.		438,830		809

BOC Hong Kong Holdings Ltd.		1,182,108		3,136

Budweiser Brewing Co. APAC Ltd.⁽³⁾		564,700		1,650

CK Asset Holdings Ltd.		832,638		4,062

CK Hutchison Holdings Ltd.		865,638		5,248

CK Infrastructure Holdings Ltd.		217,353		1,017

CLP Holdings Ltd.		528,514		4,926

Dairy Farm International Holdings Ltd.		110,800		419

Galaxy Entertainment Group Ltd.		691,148		4,678

Hang Lung Properties Ltd.		667,501		1,702

Hang Seng Bank Ltd.		242,379		3,598

Henderson Land Development Co. Ltd.		432,929		1,597

HK Electric Investments & HK Electric Investments Ltd.		855,227		883

HKT Trust & HKT Ltd.		1,253,220		1,660

Hong Kong & China Gas Co. Ltd.		3,409,482		4,900

Hong Kong Exchanges & Clearing Ltd.		387,596		18,219

Hongkong Land Holdings Ltd.		375,600		1,399

Jardine Matheson Holdings Ltd.		69,800		2,770

Jardine Strategic Holdings Ltd.		72,200		1,430

Kerry Properties Ltd.		233,703		597

Link REIT		660,927		5,403

Melco Resorts & Entertainment Ltd. ADR		71,716		1,194

MTR Corp. Ltd.		500,136		2,482

New World Development Co. Ltd.		483,111		2,352

Pacific Century Premium Developments Ltd.*		151,084		40

PCCW Ltd.		1,398,926		836

Power Assets Holdings Ltd.		455,317		2,395

Sino Land Co. Ltd.		1,010,174		1,176

SJM Holdings Ltd.		627,572		741

Sun Hung Kai Properties Ltd.		417,758		5,356

Swire Pacific Ltd., Class A		155,051		752

Swire Properties Ltd.		383,787		1,014


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

Hong Kong – 3.1% continued

Techtronic Industries Co. Ltd.		438,833		$5,770

WH Group Ltd.⁽³⁾		3,130,213		2,548

Wharf Real Estate Investment Co. Ltd.		541,766		2,218

				138,174

Ireland – 1.1%

AerCap Holdings N.V.*		40,168		1,012

CRH PLC		251,213		9,072

DCC PLC		32,134		2,476

Experian PLC		293,432		10,980

Flutter Entertainment PLC		49,252		7,804

Irish Bank Resolution Corp. Ltd.⁽²⁾*		99,788		—

James Hardie Industries PLC - CDI		144,410		3,440

Kerry Group PLC, Class A		51,724		6,640

Kingspan Group PLC*		48,714		4,431

Smurfit Kappa Group PLC		74,036		2,905

				48,760

Isle of Man – 0.1%

GVC Holdings PLC*		185,117		2,330

Israel – 0.6%

Azrieli Group Ltd.		14,606		651

Bank Hapoalim B.M.		371,223		1,982

Bank Leumi Le-Israel B.M.		461,937		2,032

Check Point Software Technologies Ltd.*		36,562		4,400

CyberArk Software Ltd.*		11,909		1,232

Elbit Systems Ltd.		8,533		1,036

ICL Group Ltd.		227,703		804

Israel Discount Bank Ltd., Class A		370,758		999

Mizrahi Tefahot Bank Ltd.		44,365		786

Nice Ltd.*		19,770		4,480

Teva Pharmaceutical Industries Ltd. ADR*		351,151		3,164

Wix.com Ltd.*		16,515		4,209

				25,775

Italy – 2.0%

Assicurazioni Generali S.p.A.		352,973		4,971

Atlantia S.p.A.*		157,434		2,469

Davide Campari-Milano N.V.		180,713		1,975

DiaSorin S.p.A.		8,205		1,654

Enel S.p.A.		2,607,121		22,638

Eni S.p.A.		821,127		6,424

Ferrari N.V.		18,106		3,314

Ferrari N.V. (New York Exchange)		23,010		4,236


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

Italy – 2.0% continued

FinecoBank Banca Fineco S.p.A.*		192,298		$2,646

Infrastrutture Wireless Italiane S.p.A.⁽³⁾		74,074		821

Intesa Sanpaolo S.p.A.*		5,333,800		10,015

Leonardo S.p.A.		136,815		800

Mediobanca Banca di Credito Finanziario S.p.A.		198,017		1,553

Moncler S.p.A.*		63,253		2,591

Nexi S.p.A.⁽³⁾*		121,538		2,437

Pirelli & C S.p.A.⁽³⁾*		128,750		552

Poste Italiane S.p.A.⁽³⁾		170,499		1,510

Prysmian S.p.A.		76,353		2,220

Recordati Industria Chimica e Farmaceutica S.p.A.		33,670		1,723

Snam S.p.A.		659,958		3,393

Telecom Italia S.p.A.		2,637,213		1,055

Telecom Italia S.p.A. (RSP)		1,985,718		804

Tenaris S.A.		148,437		740

Terna Rete Elettrica Nazionale S.p.A.		457,985		3,209

UniCredit S.p.A.*		686,090		5,658

				89,408

Japan – 25.6%

ABC-Mart, Inc.		10,800		562

Acom Co. Ltd.		127,500		552

Advantest Corp.		63,800		3,099

Aeon Co. Ltd.		210,500		5,659

Aeon Mall Co. Ltd.		29,880		420

AGC, Inc.		63,400		1,857

Air Water, Inc.		58,469		791

Aisin Seiki Co. Ltd.		51,900		1,659

Ajinomoto Co., Inc.		153,100		3,147

Alfresa Holdings Corp.		61,400		1,343

Amada Co. Ltd.		107,000		1,003

ANA Holdings, Inc.*		34,700		804

Aozora Bank Ltd.		40,400		671

Asahi Group Holdings Ltd.		145,800		5,078

Asahi Intecc Co. Ltd.		63,300		1,988

Asahi Kasei Corp.		409,800		3,577

Astellas Pharma, Inc.		600,900		8,945

Bandai Namco Holdings, Inc.		64,200		4,690

Bank of Kyoto (The) Ltd.		19,394		937

Benesse Holdings, Inc.		23,200		596

Bridgestone Corp.		169,300		5,348

Brother Industries Ltd.		72,600		1,153

Calbee, Inc.		28,100		926


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

Japan – 25.6% continued

Canon, Inc.		320,800		$5,325

Casio Computer Co. Ltd.		64,800		1,046

Central Japan Railway Co.		46,200		6,628

Chiba Bank (The) Ltd.		181,400		1,001

Chubu Electric Power Co., Inc.		210,800		2,564

Chugai Pharmaceutical Co. Ltd.		214,665		9,633

Chugoku Electric Power (The) Co., Inc.		93,500		1,171

Coca-Cola Bottlers Japan Holdings, Inc.		39,800		666

Concordia Financial Group Ltd.		316,300		1,103

Cosmos Pharmaceutical Corp.		6,500		1,131

CyberAgent, Inc.		33,200		2,053

Dai Nippon Printing Co. Ltd.		80,900		1,639

Daicel Corp.		81,600		588

Daifuku Co. Ltd.		33,300		3,352

Dai-ichi Life Holdings, Inc.		343,600		4,849

Daiichi Sankyo Co. Ltd.		547,500		16,824

Daikin Industries Ltd.		79,400		14,641

Daito Trust Construction Co. Ltd.		21,100		1,871

Daiwa House Industry Co. Ltd.		184,600		4,743

Daiwa House REIT Investment Corp.		633		1,621

Daiwa Securities Group, Inc.		473,800		1,989

Denso Corp.		139,000		6,089

Dentsu Group, Inc.		69,618		2,057

Disco Corp.		9,400		2,287

East Japan Railway Co.		96,012		5,916

Eisai Co. Ltd.		81,700		7,455

Electric Power Development Co. Ltd.		43,700		674

ENEOS Holdings, Inc.		974,897		3,481

FamilyMart Co. Ltd.		57,200		1,294

FANUC Corp.		61,400		11,779

Fast Retailing Co. Ltd.		18,600		11,671

Fuji Electric Co. Ltd.		41,000		1,295

FUJIFILM Holdings Corp.		115,600		5,696

Fujitsu Ltd.		63,100		8,640

Fukuoka Financial Group, Inc.		58,400		983

GLP J-Reit		1,175		1,814

GMO Payment Gateway, Inc.		13,300		1,430

Hakuhodo DY Holdings, Inc.		69,900		903

Hamamatsu Photonics K.K.		45,370		2,286

Hankyu Hanshin Holdings, Inc.		73,800		2,374

Hikari Tsushin, Inc.		6,500		1,549

Hino Motors Ltd.		87,800		569

Hirose Electric Co. Ltd.		10,528		1,355

Hisamitsu Pharmaceutical Co., Inc.		16,700		853


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

Japan – 25.6% continued

Hitachi Construction Machinery Co. Ltd.		34,100		$1,235

Hitachi Ltd.		308,500		10,424

Hitachi Metals Ltd.		69,000		1,061

Honda Motor Co. Ltd.		522,500		12,328

Hoshizaki Corp.		16,400		1,308

Hoya Corp.		119,700		13,493

Hulic Co. Ltd.		102,100		958

Idemitsu Kosan Co. Ltd.		64,688		1,378

Iida Group Holdings Co. Ltd.		50,064		1,012

Inpex Corp.		334,500		1,789

Isetan Mitsukoshi Holdings Ltd.		109,860		583

Isuzu Motors Ltd.		177,800		1,558

Ito En Ltd.		17,600		1,256

ITOCHU Corp.		433,500		11,085

Itochu Techno-Solutions Corp.		31,500		1,199

Japan Airlines Co. Ltd.*		37,900		711

Japan Airport Terminal Co. Ltd.		15,900		702

Japan Exchange Group, Inc.		160,300		4,486

Japan Post Bank Co. Ltd.		129,800		1,014

Japan Post Holdings Co. Ltd.		500,100		3,411

Japan Post Insurance Co. Ltd.		76,300		1,201

Japan Prime Realty Investment Corp.		275		854

Japan Real Estate Investment Corp.		429		2,193

Japan Retail Fund Investment Corp.		888		1,375

Japan Tobacco, Inc.		385,500		7,040

JFE Holdings, Inc.*		159,200		1,113

JGC Holdings Corp.		74,800		777

JSR Corp.		66,700		1,582

JTEKT Corp.		57,300		449

Kajima Corp.		144,900		1,735

Kakaku.com, Inc.		43,700		1,155

Kamigumi Co. Ltd.		32,400		638

Kansai Electric Power (The) Co., Inc.		220,800		2,140

Kansai Paint Co. Ltd.		59,100		1,468

Kao Corp.		152,900		11,474

Kawasaki Heavy Industries Ltd.*		44,800		606

KDDI Corp.		516,000		13,053

Keihan Holdings Co. Ltd.		29,400		1,219

Keikyu Corp.		72,500		1,114

Keio Corp.		34,000		2,102

Keisei Electric Railway Co. Ltd.		42,500		1,201

Keyence Corp.		58,556		27,290

Kikkoman Corp.		45,800		2,542


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

Japan – 25.6% continued

Kintetsu Group Holdings Co. Ltd.		55,100		$2,351

Kirin Holdings Co. Ltd.		262,000		4,921

Kobayashi Pharmaceutical Co. Ltd.		16,100		1,558

Kobe Bussan Co. Ltd.		20,200		1,111

Koito Manufacturing Co. Ltd.		34,214		1,744

Komatsu Ltd.		277,800		6,116

Konami Holdings Corp.		28,500		1,235

Kose Corp.		11,000		1,345

Kubota Corp.		331,400		5,928

Kuraray Co. Ltd.		104,500		1,015

Kurita Water Industries Ltd.		31,500		1,040

Kyocera Corp.		102,700		5,868

Kyowa Kirin Co. Ltd.		88,600		2,517

Kyushu Electric Power Co., Inc.		116,800		1,061

Kyushu Railway Co.		49,000		1,047

Lasertec Corp.		24,700		2,043

Lawson, Inc.		15,900		757

LINE Corp.*		11,700		596

Lion Corp.		72,400		1,489

LIXIL Group Corp.		85,200		1,713

M3, Inc.		141,300		8,774

Makita Corp.		71,300		3,401

Marubeni Corp.		523,400		2,970

Marui Group Co. Ltd.		61,300		1,176

Maruichi Steel Tube Ltd.		17,300		433

Mazda Motor Corp.		181,600		1,062

McDonald’s Holdings Co. Japan Ltd.		21,000		1,022

Mebuki Financial Group, Inc.		276,810		628

Medipal Holdings Corp.		60,200		1,205

MEIJI Holdings Co. Ltd.		36,026		2,753

Mercari, Inc.*		27,800		1,285

MINEBEA MITSUMI, Inc.		118,900		2,243

MISUMI Group, Inc.		93,500		2,613

Mitsubishi Chemical Holdings Corp.		421,100		2,431

Mitsubishi Corp.		427,800		10,234

Mitsubishi Electric Corp.		584,100		7,886

Mitsubishi Estate Co. Ltd.		374,900		5,666

Mitsubishi Gas Chemical Co., Inc.		50,600		939

Mitsubishi Heavy Industries Ltd.		104,600		2,323

Mitsubishi Materials Corp.		36,300		717

Mitsubishi Motors Corp.*		208,400		460

Mitsubishi UFJ Financial Group, Inc.		3,943,995		15,651

Mitsubishi UFJ Lease & Finance Co. Ltd.		132,200		611

Mitsui & Co. Ltd.		519,600		8,925


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

Japan – 25.6% continued

Mitsui Chemicals, Inc.		60,400		$1,461

Mitsui Fudosan Co. Ltd.		295,400		5,145

Miura Co. Ltd.		28,800		1,408

Mizuho Financial Group, Inc.		771,619		9,639

MonotaRO Co. Ltd.		41,100		2,047

MS&AD Insurance Group Holdings, Inc.		140,643		3,809

Murata Manufacturing Co. Ltd.		182,691		11,788

Nabtesco Corp.		36,999		1,348

Nagoya Railroad Co. Ltd.		60,600		1,661

NEC Corp.		78,800		4,613

Nexon Co. Ltd.		154,100		3,827

NGK Insulators Ltd.		85,900		1,226

NGK Spark Plug Co. Ltd.		45,100		787

NH Foods Ltd.		25,000		1,116

Nidec Corp.		144,000		13,392

Nihon M&A Center, Inc.		49,000		2,795

Nikon Corp.		98,600		666

Nintendo Co. Ltd.		36,000		20,465

Nippon Building Fund, Inc.		403		2,288

Nippon Express Co. Ltd.		24,100		1,403

Nippon Paint Holdings Co. Ltd.		46,700		4,806

Nippon Prologis REIT, Inc.		667		2,252

Nippon Shinyaku Co. Ltd.		14,200		1,171

Nippon Steel Corp.*		257,061		2,428

Nippon Telegraph & Telephone Corp.		415,512		8,501

Nippon Yusen K.K.		50,900		882

Nissan Chemical Corp.		40,700		2,171

Nissan Motor Co. Ltd.*		763,500		2,714

Nisshin Seifun Group, Inc.		65,705		1,048

Nissin Foods Holdings Co. Ltd.		20,500		1,927

Nitori Holdings Co. Ltd.		25,600		5,325

Nitto Denko Corp.		50,100		3,266

Nomura Holdings, Inc.		1,004,600		4,583

Nomura Real Estate Holdings, Inc.		37,900		721

Nomura Real Estate Master Fund, Inc.		1,345		1,691

Nomura Research Institute Ltd.		104,922		3,084

NSK Ltd.		119,600		915

NTT Data Corp.		204,900		2,627

NTT DOCOMO, Inc.		364,700		13,525

Obayashi Corp.		211,600		1,918

Obic Co. Ltd.		21,700		3,818

Odakyu Electric Railway Co. Ltd.		92,400		2,325

Oji Holdings Corp.		282,800		1,298


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

Japan – 25.6% continued

Olympus Corp.		377,600		$7,838

Omron Corp.		59,300		4,619

Ono Pharmaceutical Co. Ltd.		115,100		3,613

Oracle Corp. Japan		12,600		1,366

Oriental Land Co. Ltd.		63,900		8,952

ORIX Corp.		422,300		5,257

Orix JREIT, Inc.		815		1,257

Osaka Gas Co. Ltd.		122,000		2,377

Otsuka Corp.		34,800		1,781

Otsuka Holdings Co. Ltd.		124,715		5,289

Pan Pacific International Holdings Corp.		127,900		2,979

Panasonic Corp.		705,100		5,973

Park24 Co. Ltd.		35,600		575

PeptiDream, Inc.*		31,200		1,466

Persol Holdings Co. Ltd.		57,800		940

Pigeon Corp.		37,800		1,689

Pola Orbis Holdings, Inc.		28,800		544

Rakuten, Inc.		278,600		3,010

Recruit Holdings Co. Ltd.		409,200		16,236

Renesas Electronics Corp.*		244,200		1,789

Resona Holdings, Inc.		663,110		2,260

Ricoh Co. Ltd.		217,200		1,464

Rinnai Corp.		11,600		1,133

Rohm Co. Ltd.		28,900		2,231

Ryohin Keikaku Co. Ltd.		74,100		1,231

Santen Pharmaceutical Co. Ltd.		116,700		2,393

SBI Holdings, Inc.		75,560		1,955

SCSK Corp.		17,100		957

Secom Co. Ltd.		66,600		6,085

Sega Sammy Holdings, Inc.		58,500		712

Seibu Holdings, Inc.		70,900		763

Seiko Epson Corp.		91,700		1,054

Sekisui Chemical Co. Ltd.		117,000		1,870

Sekisui House Ltd.		203,900		3,606

Seven & i Holdings Co. Ltd.		241,500		7,465

Seven Bank Ltd.		193,200		468

SG Holdings Co. Ltd.		52,500		2,729

Sharp Corp.		70,300		871

Shimadzu Corp.		69,600		2,123

Shimamura Co. Ltd.		6,900		674

Shimano, Inc.		24,100		4,745

Shimizu Corp.		181,000		1,357

Shin-Etsu Chemical Co. Ltd.		113,300		14,788

Shinsei Bank Ltd.		51,000		632


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

Japan – 25.6% continued

Shionogi & Co. Ltd.		84,100		$4,499

Shiseido Co. Ltd.		129,400		7,425

Shizuoka Bank (The) Ltd.		138,900		961

Showa Denko K.K.		45,400		832

SMC Corp.		18,500		10,296

SoftBank Corp.		922,000		10,331

SoftBank Group Corp.		502,900		31,053

Sohgo Security Services Co. Ltd.		23,300		1,110

Sompo Holdings, Inc.		106,945		3,704

Sony Corp.		404,400		30,930

Square Enix Holdings Co. Ltd.		29,900		1,988

Stanley Electric Co. Ltd.		41,500		1,191

Subaru Corp.		196,100		3,807

SUMCO Corp.		87,100		1,225

Sumitomo Chemical Co. Ltd.		427,500		1,416

Sumitomo Corp.		376,900		4,519

Sumitomo Dainippon Pharma Co. Ltd.		58,700		773

Sumitomo Electric Industries Ltd.		238,100		2,675

Sumitomo Heavy Industries Ltd.		36,200		842

Sumitomo Metal Mining Co. Ltd.		75,600		2,340

Sumitomo Mitsui Financial Group, Inc.		419,642		11,677

Sumitomo Mitsui Trust Holdings, Inc.		104,819		2,789

Sumitomo Realty & Development Co. Ltd.		101,500		3,003

Sumitomo Rubber Industries Ltd.		55,700		517

Sundrug Co. Ltd.		24,200		911

Suntory Beverage & Food Ltd.		45,700		1,718

Suzuken Co. Ltd.		21,236		809

Suzuki Motor Corp.		117,800		5,046

Sysmex Corp.		53,298		5,086

T&D Holdings, Inc.		163,400		1,616

Taiheiyo Cement Corp.		39,100		998

Taisei Corp.		62,600		2,109

Taisho Pharmaceutical Holdings Co. Ltd.		8,600		567

Taiyo Nippon Sanso Corp.		49,700		768

Takeda Pharmaceutical Co. Ltd.		507,366		18,073

TDK Corp.		42,200		4,615

Teijin Ltd.		60,200		933

Terumo Corp.		208,100		8,291

THK Co. Ltd.		36,500		916

TIS, Inc.		73,400		1,560

Tobu Railway Co. Ltd.		62,200		1,921

Toho Co. Ltd.		36,700		1,513


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

Japan – 25.6% continued

Toho Gas Co. Ltd.		24,200		$1,200

Tohoku Electric Power Co., Inc.		140,200		1,405

Tokio Marine Holdings, Inc.		200,900		8,798

Tokyo Century Corp.		13,100		713

Tokyo Electric Power Co. Holdings, Inc.*		466,000		1,281

Tokyo Electron Ltd.		48,200		12,615

Tokyo Gas Co. Ltd.		120,700		2,758

Tokyu Corp.		163,200		2,118

Tokyu Fudosan Holdings Corp.		203,000		874

Toppan Printing Co. Ltd.		82,700		1,165

Toray Industries, Inc.		440,900		2,016

Toshiba Corp.		125,800		3,202

Tosoh Corp.		87,000		1,415

TOTO Ltd.		46,100		2,115

Toyo Suisan Kaisha Ltd.		27,400		1,448

Toyoda Gosei Co. Ltd.		18,700		429

Toyota Industries Corp.		45,900		2,902

Toyota Motor Corp.		681,144		45,051

Toyota Tsusho Corp.		70,500		1,969

Trend Micro, Inc.		43,800		2,673

Tsuruha Holdings, Inc.		11,800		1,670

Unicharm Corp.		128,900		5,758

United Urban Investment Corp.		982		1,095

USS Co. Ltd.		67,700		1,211

Welcia Holdings Co. Ltd.		31,800		1,398

West Japan Railway Co.		51,600		2,550

Yakult Honsha Co. Ltd.		39,500		2,192

Yamada Holdings Co. Ltd.		237,790		1,186

Yamaha Corp.		44,000		2,106

Yamaha Motor Co. Ltd.		91,100		1,325

Yamato Holdings Co. Ltd.		98,500		2,593

Yamazaki Baking Co. Ltd.		39,405		688

Yaskawa Electric Corp.		78,100		3,050

Yokogawa Electric Corp.		72,200		1,147

Yokohama Rubber (The) Co. Ltd.		39,000		555

Z Holdings Corp.		863,300		5,768

ZOZO, Inc.		36,500		1,018

				1,141,674

Jordan – 0.0%

Hikma Pharmaceuticals PLC		56,134		1,880


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

Macau – 0.1%

Sands China Ltd.		790,299		$3,075

Wynn Macau Ltd.*		522,546		837

				3,912

Netherlands – 4.5%

ABN AMRO Bank N.V. - C.V.A.*		142,194		1,189

Adyen N.V.⁽³⁾*		5,842		10,766

Aegon N.V.		605,946		1,574

Akzo Nobel N.V.		62,283		6,308

Altice Europe N.V.*		194,759		933

ArcelorMittal S.A.*		233,124		3,109

Argenx S.E.*		14,392		3,791

ASML Holding N.V.		136,487		50,327

EXOR N.V.		34,142		1,858

Heineken Holding N.V.		36,213		2,818

Heineken N.V.		83,751		7,443

ING Groep N.V.*		1,248,959		8,844

Just Eat Takeaway.com N.V.*		39,798		4,457

Koninklijke Ahold Delhaize N.V.		355,979		10,535

Koninklijke DSM N.V.		54,945		9,055

Koninklijke KPN N.V.		1,175,509		2,764

Koninklijke Philips N.V.*		293,544		13,829

Koninklijke Vopak N.V.		22,420		1,263

NN Group N.V.		91,335		3,431

Prosus N.V.*		155,978		14,384

QIAGEN N.V.*		74,229		3,855

Randstad N.V.*		37,272		1,945

Royal Dutch Shell PLC, Class A		1,316,281		16,292

Royal Dutch Shell PLC, Class B		1,190,465		14,401

Wolters Kluwer N.V.		86,800		7,410

				202,581

New Zealand – 0.3%

a2 Milk (The) Co. Ltd.*		232,528		2,368

Auckland International Airport Ltd.		391,059		1,895

Fisher & Paykel Healthcare Corp. Ltd.		188,010		4,138

Mercury NZ Ltd.		212,645		718

Meridian Energy Ltd.		395,890		1,291

Ryman Healthcare Ltd.		135,481		1,267

Spark New Zealand Ltd.		603,061		1,881

				13,558

Norway – 0.6%

Adevinta ASA*		77,353		1,327

DNB ASA*		302,661		4,180

Equinor ASA		322,911		4,557


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

Norway – 0.6% continued

Gjensidige Forsikring ASA		68,412		$1,389

Mowi ASA		143,543		2,546

Norsk Hydro ASA*		419,775		1,155

Orkla ASA		237,343		2,402

Schibsted ASA, Class B*		29,357		1,173

Telenor ASA		228,878		3,835

Yara International ASA		56,840		2,189

				24,753

Portugal – 0.2%

Banco Espirito Santo S.A. (Registered)⁽²⁾ *		882,815		—

EDP - Energias de Portugal S.A.		882,595		4,338

Galp Energia SGPS S.A.		165,272		1,532

Jeronimo Martins SGPS S.A.		84,168		1,352

				7,222

Russia – 0.0%

Evraz PLC		159,261		710

Singapore – 1.0%

Ascendas Real Estate Investment Trust		1,008,575		2,408

CapitaLand Commercial Trust		890,336		1,078

CapitaLand Ltd.		851,962		1,702

CapitaLand Mall Trust		838,800		1,194

City Developments Ltd.		156,800		882

DBS Group Holdings Ltd.		577,270		8,491

Genting Singapore Ltd.		1,868,480		918

Jardine Cycle & Carriage Ltd.		30,673		407

Keppel Corp. Ltd.		471,750		1,547

Mapletree Commercial Trust		683,900		979

Mapletree Logistics Trust		872,200		1,310

Oversea-Chinese Banking Corp. Ltd.		1,057,228		6,568

Singapore Airlines Ltd.		426,335		1,090

Singapore Exchange Ltd.		263,600		1,774

Singapore Technologies Engineering Ltd.		514,600		1,312

Singapore Telecommunications Ltd.		2,543,225		3,967

Suntec Real Estate Investment Trust		645,000		691

United Overseas Bank Ltd.		375,649		5,273

UOL Group Ltd.		152,980		749

Venture Corp. Ltd.		89,300		1,266

Wilmar International Ltd.		605,100		1,960

				45,566


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

Spain – 2.2%

ACS Actividades de Construccion y Servicios S.A.		83,706		$1,897

Aena S.M.E. S.A.*		22,205		3,093

Amadeus IT Group S.A.		145,361		8,067

Banco Bilbao Vizcaya Argentaria S.A.		2,135,212		5,901

Banco Santander S.A.		5,365,773		9,996

Bankinter S.A.		215,495		927

CaixaBank S.A.		1,126,403		2,388

Cellnex Telecom S.A.⁽³⁾*		102,591		6,235

Enagas S.A.		82,338		1,897

Endesa S.A.		104,132		2,785

Ferrovial S.A.		156,623		3,800

Grifols S.A.		95,510		2,753

Iberdrola S.A.		1,901,908		23,408

Industria de Diseno Textil S.A.		349,411		9,715

Mapfre S.A.		353,746		554

Naturgy Energy Group S.A.		96,837		1,942

Red Electrica Corp. S.A.		138,749		2,603

Repsol S.A.		455,909		3,045

Siemens Gamesa Renewable Energy S.A.		76,255		2,055

Telefonica S.A.		1,562,187		5,358

				98,419

Sweden – 3.1%

Alfa Laval AB*		102,253		2,257

Assa Abloy AB, Class B		323,088		7,541

Atlas Copco AB, Class A		215,933		10,277

Atlas Copco AB, Class B		124,781		5,199

Boliden AB		86,489		2,571

Electrolux AB, Class B		71,380		1,664

Epiroc AB, Class A		216,191		3,138

Epiroc AB, Class B		119,262		1,659

EQT AB		77,832		1,506

Essity AB, Class B*		194,025		6,556

Evolution Gaming Group AB		41,664		2,754

Hennes & Mauritz AB, Class B		257,884		4,448

Hexagon AB, Class B*		90,839		6,865

Husqvarna AB, Class B		134,234		1,478

ICA Gruppen AB		32,571		1,656

Industrivarden AB, Class C*		50,947		1,358

Investment AB Latour, Class B		47,006		1,102

Investor AB, Class B		147,734		9,633

Kinnevik AB, Class B		76,446		3,095

L E Lundbergforetagen AB, Class B*		24,989		1,236


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

Sweden – 3.1% continued

Lundin Energy AB		60,416		$1,197

Nibe Industrier AB, Class B*		101,014		2,604

Sandvik AB*		361,626		7,054

Securitas AB, Class B*		94,230		1,442

Skandinaviska Enskilda Banken AB, Class A*		519,080		4,595

Skanska AB, Class B*		110,208		2,322

SKF AB, Class B		123,110		2,537

Svenska Cellulosa AB S.C.A., Class B*		193,021		2,646

Svenska Handelsbanken AB, Class A*		496,279		4,168

Swedbank AB, Class A*		291,273		4,555

Swedish Match AB		52,353		4,271

Tele2 AB, Class B		156,656		2,212

Telefonaktiebolaget LM Ericsson, Class B		939,746		10,275

Telia Co. AB		804,036		3,306

Volvo AB, Class B*		478,457		9,190

				138,367

Switzerland – 10.5%

ABB Ltd. (Registered)		593,878		15,052

Adecco Group A.G. (Registered)		50,262		2,656

Alcon, Inc.*		158,019		8,971

Baloise Holding A.G. (Registered)		14,629		2,152

Banque Cantonale Vaudoise (Registered)		9,874		1,001

Barry Callebaut A.G. (Registered)		996		2,215

Chocoladefabriken Lindt & Spruengli A.G. (Participation Certificate)		347		2,929

Chocoladefabriken Lindt & Spruengli A.G. (Registered)		32		2,848

Cie Financiere Richemont S.A., Class A (Registered)		168,643		11,296

Clariant A.G. (Registered)		64,224		1,263

Coca-Cola HBC A.G. - CDI*		63,501		1,570

Credit Suisse Group A.G. (Registered)		787,126		7,878

EMS-Chemie Holding A.G. (Registered)		2,601		2,334

Geberit A.G. (Registered)		11,832		7,011

Givaudan S.A. (Registered)		2,959		12,753

Glencore PLC*		3,185,253		6,599

Julius Baer Group Ltd.		70,971		3,026

Kuehne + Nagel International A.G. (Registered)		17,361		3,366

LafargeHolcim Ltd. (Registered)*		114,366		5,213

LafargeHolcim Ltd. (Registered) (Euronext Exchange)*		53,665		2,446


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

Switzerland – 10.5% continued

Logitech International S.A. (Registered)		52,204		$4,040

Lonza Group A.G. (Registered)		23,768		14,671

Nestle S.A. (Registered)		955,037		113,305

Novartis A.G. (Registered)		712,314		61,901

Partners Group Holding A.G.		5,942		5,468

Roche Holding A.G. (Genusschein)		225,470		77,139

Schindler Holding A.G. (Participation Certificate)		13,319		3,637

Schindler Holding A.G. (Registered)		6,389		1,738

SGS S.A. (Registered)		1,940		5,200

Sika A.G. (Registered)		45,679		11,222

Sonova Holding A.G. (Registered)*		17,570		4,455

STMicroelectronics N.V.		204,244		6,243

Straumann Holding A.G. (Registered)		3,298		3,318

Swatch Group (The) A.G. (Bearer)		9,305		2,167

Swatch Group (The) A.G. (Registered)		17,903		804

Swiss Life Holding A.G. (Registered)		10,367		3,917

Swiss Prime Site A.G. (Registered)		25,308		2,297

Swiss Re A.G.		94,997		7,031

Swisscom A.G. (Registered)		8,233		4,367

Temenos A.G. (Registered)		21,443		2,888

UBS Group A.G. (Registered)		1,177,380		13,144

Vifor Pharma A.G.		14,269		1,942

Zurich Insurance Group A.G.		48,444		16,843

				470,316

United Kingdom – 12.4%

3i Group PLC		310,634		3,988

Admiral Group PLC		62,797		2,118

Anglo American PLC		392,903		9,488

Ashtead Group PLC		143,771		5,151

Associated British Foods PLC		112,412		2,708

AstraZeneca PLC		421,267		45,851

Auto Trader Group PLC⁽³⁾		307,065		2,221

AVEVA Group PLC		21,941		1,357

Aviva PLC		1,266,702		4,658

BAE Systems PLC		1,033,598		6,393

Barclays PLC*		5,550,409		6,984

Barratt Developments PLC		331,361		2,026

Berkeley Group Holdings (The) PLC		39,707		2,160

BP PLC		6,523,397		18,940

British American Tobacco PLC		737,925		26,523

British Land (The) Co. PLC		278,430		1,211

BT Group PLC		2,895,841		3,680

Bunzl PLC		108,242		3,492


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

United Kingdom – 12.4% continued

Burberry Group PLC		131,002		$2,623

CNH Industrial N.V.*		326,709		2,539

Coca-Cola European Partners PLC		66,948		2,598

Compass Group PLC		570,470		8,563

Croda International PLC		42,100		3,399

Diageo PLC		749,347		25,671

Direct Line Insurance Group PLC		432,276		1,505

Ferguson PLC		72,018		7,246

Fiat Chrysler Automobiles N.V.*		126,454		1,548

Fiat Chrysler Automobiles N.V. (New York Exchange)*		231,582		2,830

GlaxoSmithKline PLC		1,613,697		30,228

Halma PLC		122,847		3,703

Hargreaves Lansdown PLC		108,007		2,165

HSBC Holdings PLC		6,547,801		25,438

Imperial Brands PLC		302,888		5,339

Informa PLC*		479,720		2,326

InterContinental Hotels Group PLC*		56,866		2,986

Intertek Group PLC		51,882		4,220

J Sainsbury PLC		597,489		1,469

JD Sports Fashion PLC		144,260		1,510

Johnson Matthey PLC		61,347		1,855

Kingfisher PLC		673,413		2,574

Land Securities Group PLC		224,023		1,509

Legal & General Group PLC		1,916,837		4,646

Lloyds Banking Group PLC*		22,486,963		7,631

London Stock Exchange Group PLC		101,675		11,632

M&G PLC		829,704		1,698

Melrose Industries PLC*		1,555,964		2,296

Mondi PLC		153,883		3,239

National Grid PLC		1,125,132		12,952

Natwest Group PLC*		1,569,060		2,142

Next PLC		42,152		3,230

Ocado Group PLC*		149,074		5,268

Pearson PLC		247,467		1,750

Persimmon PLC		103,440		3,285

Prudential PLC		835,997		11,935

Reckitt Benckiser Group PLC		228,398		22,267

RELX PLC (London Exchange)		619,289		13,708

Rentokil Initial PLC*		594,878		4,094

Rio Tinto Ltd.		118,338		8,012

Rio Tinto PLC		360,865		21,774

Rolls-Royce Holdings PLC*		626,979		1,040

RSA Insurance Group PLC*		338,978		1,972


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9% ⁽¹⁾ continued

United Kingdom – 12.4% continued

Sage Group (The) PLC		353,688		$3,276

Schroders PLC		41,409		1,443

Segro PLC		365,321		4,392

Severn Trent PLC		77,395		2,434

Smith & Nephew PLC		279,905		5,454

Smiths Group PLC		125,313		2,203

Spirax-Sarco Engineering PLC		24,141		3,432

SSE PLC		332,797		5,181

St. James’s Place PLC		168,147		2,009

Standard Chartered PLC*		873,294		4,004

Standard Life Aberdeen PLC		722,418		2,103

Taylor Wimpey PLC		1,109,922		1,544

Tesco PLC		3,155,030		8,650

Unilever N.V.		468,066		28,257

Unilever PLC		375,980		23,167

United Utilities Group PLC		214,609		2,373

Vodafone Group PLC		8,605,819		11,417

Whitbread PLC		66,367		1,810

Wm Morrison Supermarkets PLC		760,117		1,669

WPP PLC		398,580		3,113

				555,295

Total Common Stocks

(Cost $3,363,645)				4,373,692


PREFERRED STOCKS – 0.6% ⁽¹⁾

Germany – 0.6%

Bayerische Motoren Werke A.G., 5.31%⁽⁴⁾		16,990		931

FUCHS PETROLUB S.E., 2.20%⁽⁴⁾		21,600		1,099

Henkel A.G. & Co. KGaA, 2.06%⁽⁴⁾		56,676		5,935

Porsche Automobil Holding S.E.*		49,693		2,967

Sartorius A.G., 0.10%⁽⁴⁾		11,620		4,773

Volkswagen A.G., 3.68%⁽⁴⁾		59,370		9,555

				25,260

Total Preferred Stocks

(Cost $17,820)				25,260


	NUMBER OF SHARES		VALUE (000S)

INVESTMENT COMPANIES – 0.6%

iShares MSCI EAFE ETF		224,500		$14,289

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%^{(5) (6)}		13,119,724		13,120

Total Investment Companies

(Cost $27,410)				27,409



Total Investments – 99.1%

(Cost $3,408,875)				4,426,361

Other Assets less Liabilities – 0.9%				41,046

Net Assets – 100.0%				$4,467,407

⁽¹⁾

Adjustment factors obtained from an independent evaluation service were used to determine the value of certain foreign securities.

⁽²⁾

Level 3 asset that is worthless, bankrupt or has been delisted.

⁽³⁾

⁽⁴⁾

Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income.

⁽⁵⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽⁶⁾

7-day current yield as of September 30, 2020 is disclosed.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:


ADR – American Depositary Receipt

CDI – CREST Depository Interest

EAFE – Europe, Australasia and the Far East

ETF – Exchange-Traded Fund

MSCI – Morgan Stanley Capital International

PLC – Public Limited Company

REIT – Real Estate Investment Trust

Percentages shown are based on Net Assets.

At September 30, 2020, the Fund had outstanding forward foreign currency exchange contracts as follows:


COUNTERPARTY	CONTRACTS TO DELIVER CURRENCY		AMOUNT (LOCAL CURRENCY) (000S)		IN EXCHANGE FOR CURRENCY		AMOUNT (LOCAL CURRENCY) (000S)		SETTLEMENT DATE	UNREALIZED APPRECIATION (DEPRECIATION) (000S)

JPMorgan Chase		Euro		1,600		United States Dollar		1,880	12/16/20		$ 1

JPMorgan Chase		Swiss Franc		88		United States Dollar		97	12/16/20		1

JPMorgan Chase		United States Dollar		2,136		Australian Dollar		3,000	12/16/20		14

JPMorgan Chase		United States Dollar		1,156		British Pound		900	12/16/20		6

Morgan Stanley		Australian Dollar		3,071		United States Dollar		2,239	12/16/20		39

Morgan Stanley		Euro		1,450		United States Dollar		1,725	12/16/20		22

Morgan Stanley		United States Dollar		1,467		British Pound		1,146	12/16/20		12

Morgan Stanley		United States Dollar		11,089		Japanese Yen		1,175,642	12/16/20		71

Toronto-Dominion Bank		Danish Krone		1,361		United States Dollar		218	12/16/20		3

Toronto-Dominion Bank		United States Dollar		784		British Pound		610	12/16/20		4

Toronto-Dominion Bank		United States Dollar		674		Swiss Franc		620	12/16/20		—*

UBS		United States Dollar		692		Hong Kong Dollar		5,366	12/16/20		—*

Subtotal Appreciation											173

Citibank		United States Dollar		744		Australian Dollar		1,021	12/16/20		(13	)

JPMorgan Chase		Euro		975		United States Dollar		1,136	12/16/20		(10	)

JPMorgan Chase		Japanese Yen		158,500		United States Dollar		1,501	12/16/20		(3	)

JPMorgan Chase		United States Dollar		5,536		Euro		4,664	12/16/20		(57	)

JPMorgan Chase		United States Dollar		604		Japanese Yen		63,210	12/16/20		(4	)

JPMorgan Chase		United States Dollar		137		New Zealand Dollar		205	12/16/20		(1	)

Morgan Stanley		United States Dollar		221		British Pound		170	12/16/20		(2	)

Morgan Stanley		United States Dollar		1,856		Euro		1,568	12/16/20		(14	)

Morgan Stanley		United States Dollar		1,428		Swedish Krona		12,482	12/16/20		(33	)

Morgan Stanley		United States Dollar		198		Swiss Franc		180	12/16/20		(2	)

Toronto-Dominion Bank		Japanese Yen		647,370		United States Dollar		6,130	12/16/20		(15	)

Toronto-Dominion Bank		United States Dollar		2,479		Euro		2,110	12/16/20		(1	)

Toronto-Dominion Bank		United States Dollar		239		Norwegian Krone		2,153	12/16/20		(8	)

Toronto-Dominion Bank		United States Dollar		46		Singapore Dollar		63	12/16/20		—*

Subtotal Depreciation											(163	)

Total											$ 10

*	Amount rounds to less than one thousand.

At September 30, 2020, the Fund had open futures contracts as follows:

TYPE

NUMBER OF
CONTRACTS

NOTIONAL

AMOUNT

(000S)

CONTRACT

POSITION

CONTRACT

EXP.

VALUE AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

(000S)⁽¹⁾

Euro Stoxx 50

(Euro)

581

$21,757

Long

12/20

$(734

)

FTSE 100

Index (British

Pound)

129

9,723

Long

12/20

(233

)

Hang Seng

Index (Hong

Kong Dollar)

2,116

Long

10/20

TYPE

NUMBER OF
CONTRACTS

NOTIONAL
AMOUNT
(000S)

CONTRACT
POSITION

CONTRACT

EXP.

VALUE AND
UNREALIZED

APPRECIATION

(DEPRECIATION)

(000S)⁽¹⁾

SPI 200 Index

(Australian

Dollar)

$4,987

Long

12/20

$ (74

)

Topix Index

(Japanese

Yen)

12,638

Long

12/20

141

Total

$ (887

)

⁽¹⁾

Includes cumulative appreciation/depreciation on futures contracts. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF LONG-TERM INVESTMENTS

Communication Services		5.5	%

Consumer Discretionary		11.8

Consumer Staples		11.9

Energy		2.8

Financials		15.3

Health Care		14.3

Industrials		15.1

Information Technology		8.6

Materials		7.6

Real Estate		3.1

Utilities		4.0

Total		100.0	%

At September 30, 2020, the Fund’s investments were denominated in the following currencies:


CONCENTRATION BY CURRENCY	% OF LONG-TERM INVESTMENTS

Euro		31.8	%

Japanese Yen		25.9

British Pound		13.2

Swiss Franc		10.3

Australian Dollar		6.6

All other currencies less than 5%		12.2

Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)			LEVEL 2 (000S)			LEVEL 3 (000S)		TOTAL (000S)

Common Stocks:

China	$	3,619		$	1,507			$—	$	5,126

Germany		3,321			391,428			—		394,749

Hong Kong		1,194			136,980			—		138,174

Ireland		1,012			47,748			—		48,760

Israel		13,005			12,770			—		25,775

Italy		4,236			85,172			—		89,408

United Kingdom		5,428			549,867			—		555,295

All Other Countries⁽¹⁾		—			3,116,405			—		3,116,405

Total Common Stocks		31,815			4,341,877			—		4,373,692

Preferred Stocks⁽¹⁾		—			25,260			—		25,260

Investment Companies		27,409			—			—		27,409

Total Investments	$	59,224		$	4,367,137			$—	$	4,426,361

OTHER FINANCIAL INSTRUMENTS

Assets

Forward Foreign Currency Exchange Contracts	$	—		$	173			$—	$	173

Futures Contracts		154			—			—		154

Liabilities

Forward Foreign Currency Exchange Contracts		—			(163	)		—		(163	)

Futures Contracts		(1,041	)		—			—		(1,041	)

Total Other Financial Instruments	$	(887	)	$	10			$—	$	(877	)

⁽¹⁾

Classifications as defined in the Schedule of Investments.


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 96.9%

Aerospace & Defense – 1.0%

Axon Enterprise, Inc.*		71,622		$6,496

Hexcel Corp.		94,175		3,160

Mercury Systems, Inc.*		63,188		4,895

Woodward, Inc.		65,462		5,247

				19,798

Apparel & Textile Products – 1.1%

Carter’s, Inc.		49,235		4,263

Columbia Sportswear Co.		34,333		2,986

Deckers Outdoor Corp.*		31,617		6,956

Skechers U.S.A., Inc., Class A*		153,794		4,648

Urban Outfitters, Inc.*		77,230		1,607

				20,460

Asset Management – 1.0%

Affiliated Managers Group, Inc.		52,527		3,592

Eaton Vance Corp.		128,825		4,914

Federated Hermes, Inc.		107,392		2,310

Janus Henderson Group PLC		170,107		3,695

Stifel Financial Corp.		77,356		3,911

				18,422

Automotive – 1.9%

Adient PLC*		105,932		1,836

Dana, Inc.		162,971		2,008

Delphi Technologies PLC*		97,400		1,628

Fox Factory Holding Corp.*		46,756		3,475

Gentex Corp.		277,321		7,141

Goodyear Tire & Rubber (The) Co.		262,913		2,016

Harley-Davidson, Inc.		172,907		4,243

ITT, Inc.		97,488		5,757

Lear Corp.		61,549		6,712

Visteon Corp.*		31,386		2,172

				36,988

Banking – 5.4%

Associated Banc-Corp		173,340		2,188

BancorpSouth Bank		108,789		2,108

Bank of Hawaii Corp.		45,189		2,283

Bank OZK		136,355		2,907

Cathay General Bancorp		84,447		1,831

CIT Group, Inc.		111,081		1,967

Commerce Bancshares, Inc.		113,261		6,375

Cullen/Frost Bankers, Inc.		62,965		4,027

East West Bancorp, Inc.		159,592		5,225

First Financial Bankshares, Inc.		160,229		4,472

First Horizon National Corp.		624,077		5,885


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 96.9% continued

Banking – 5.4% continued

FNB Corp.		364,683		$2,473

Fulton Financial Corp.		182,872		1,706

Glacier Bancorp, Inc.		107,653		3,450

Hancock Whitney Corp.		97,434		1,833

Home BancShares, Inc.		171,494		2,600

International Bancshares Corp.		62,804		1,637

New York Community Bancorp, Inc.		523,307		4,328

PacWest Bancorp		131,733		2,250

Pinnacle Financial Partners, Inc.		85,577		3,046

Prosperity Bancshares, Inc.		104,519		5,417

Signature Bank		60,424		5,015

Sterling Bancorp		219,339		2,307

Synovus Financial Corp.		166,134		3,517

TCF Financial Corp.		171,770		4,012

Texas Capital Bancshares, Inc.*		56,879		1,771

Trustmark Corp.		71,537		1,532

UMB Financial Corp.		48,768		2,390

Umpqua Holdings Corp.		248,396		2,638

United Bankshares, Inc.		146,407		3,143

Valley National Bancorp		455,618		3,121

Washington Federal, Inc.		85,394		1,781

Webster Financial Corp.		101,709		2,686

Wintrust Financial Corp.		64,993		2,603

				104,524

Biotechnology & Pharmaceuticals – 2.1%

Arrowhead Pharmaceuticals, Inc.*		115,419		4,970

Emergent BioSolutions, Inc.*		50,759		5,245

Exelixis, Inc.*		348,650		8,525

Jazz Pharmaceuticals PLC*		62,576		8,923

Ligand Pharmaceuticals, Inc.*		18,141		1,729

Nektar Therapeutics*		201,858		3,349

Prestige Consumer Healthcare, Inc.*		56,630		2,062

United Therapeutics Corp.*		50,111		5,061

				39,864

Chemicals – 2.3%

Ashland Global Holdings, Inc.		61,407		4,355

Avient Corp.		103,171		2,730

Cabot Corp.		63,677		2,294

Chemours (The) Co.		185,233		3,873

Ingevity Corp.*		46,573		2,303

Minerals Technologies, Inc.		38,477		1,966

NewMarket Corp.		8,258		2,827

Olin Corp.		160,308		1,985


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 96.9% continued

Chemicals – 2.3% continued

RPM International, Inc.		146,651		$12,148

Sensient Technologies Corp.		47,779		2,759

Univar Solutions, Inc.*		190,758		3,220

Valvoline, Inc.		208,708		3,974

				44,434

Commercial Services – 1.2%

ASGN, Inc.*		59,218		3,764

Brink’s (The) Co.		57,004		2,342

FTI Consulting, Inc.*		41,291		4,376

H&R Block, Inc.		217,653		3,546

Healthcare Services Group, Inc.		83,939		1,807

Insperity, Inc.		40,716		2,666

ManpowerGroup, Inc.		65,523		4,805

				23,306

Construction Materials – 2.0%

Carlisle Cos., Inc.		61,584		7,536

Eagle Materials, Inc.		47,116		4,067

Louisiana-Pacific Corp.		126,719		3,740

MDU Resources Group, Inc.		226,183		5,089

Owens Corning		121,876		8,386

Trex Co., Inc.*		130,611		9,352

				38,170

Consumer Products – 3.1%

Boston Beer (The) Co., Inc., Class A*		10,279		9,080

Coty, Inc., Class A		319,408		862

Darling Ingredients, Inc.*		182,746		6,584

Edgewell Personal Care Co.*		61,293		1,709

Energizer Holdings, Inc.		65,713		2,572

Flowers Foods, Inc.		222,045		5,402

Hain Celestial Group (The), Inc.*		94,268		3,233

Helen of Troy Ltd.*		28,573		5,530

Ingredion, Inc.		75,583		5,720

Lancaster Colony Corp.		22,050		3,943

Nu Skin Enterprises, Inc., Class A		57,982		2,904

Pilgrim’s Pride Corp.*		55,070		824

Post Holdings, Inc.*		71,045		6,110

Sanderson Farms, Inc.		22,327		2,634

Tootsie Roll Industries, Inc.		19,692		609

TreeHouse Foods, Inc.*		63,753		2,584

				60,300

Consumer Services – 1.2%

Aaron’s, Inc.		75,757		4,292

Adtalem Global Education, Inc.*		58,533		1,437


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 96.9% continued

Consumer Services – 1.2% continued

Graham Holdings Co., Class B		4,680		$1,891

Grand Canyon Education, Inc.*		53,368		4,266

Service Corp. International		198,833		8,387

Strategic Education, Inc.		27,540		2,519

WW International, Inc.*		52,950		999

				23,791

Containers & Packaging – 1.1%

AptarGroup, Inc.		72,748		8,235

Greif, Inc., Class A		29,826		1,080

O-I Glass, Inc.		177,098		1,876

Silgan Holdings, Inc.		88,832		3,266

Sonoco Products Co.		113,257		5,784

				20,241

Design, Manufacturing & Distribution – 1.1%

Arrow Electronics, Inc.*		87,589		6,890

Avnet, Inc.		111,399		2,878

Jabil, Inc.		152,908		5,239

SYNNEX Corp.		46,483		6,510

				21,517

Distributors - Discretionary – 1.3%

IAA, Inc.*		151,139		7,870

KAR Auction Services, Inc.		145,751		2,099

Pool Corp.		45,219		15,127

				25,096

Electrical Equipment – 4.1%

Acuity Brands, Inc.		44,714		4,576

Belden, Inc.		50,230		1,563

Cognex Corp.		195,254		12,711

Generac Holdings, Inc.*		70,848		13,719

Hubbell, Inc.		61,187		8,373

Lennox International, Inc.		39,278		10,708

Littelfuse, Inc.		27,466		4,871

National Instruments Corp.		148,303		5,294

nVent Electric PLC		191,737		3,392

Trimble, Inc.*		282,326		13,749

				78,956

Engineering & Construction Services – 1.4%

AECOM*		180,972		7,572

Dycom Industries, Inc.*		35,925		1,897

EMCOR Group, Inc.		61,952		4,195

Fluor Corp.		140,765		1,240

KBR, Inc.		160,626		3,592


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 96.9% continued

Engineering & Construction Services – 1.4% continued

MasTec, Inc.*		63,301		$2,671

TopBuild Corp.*		37,326		6,371

				27,538

Forest & Paper Products – 0.1%

Domtar Corp.		62,255		1,635

Gaming, Lodging & Restaurants – 4.2%

Boyd Gaming Corp.		90,491		2,777

Caesars Entertainment, Inc.*		224,663		12,595

Choice Hotels International, Inc.		32,484		2,792

Churchill Downs, Inc.		40,045		6,560

Cracker Barrel Old Country Store, Inc.		26,726		3,064

Dunkin’ Brands Group, Inc.		92,832		7,604

Jack in the Box, Inc.		25,573		2,028

Marriott Vacations Worldwide Corp.		46,327		4,207

Papa John’s International, Inc.		37,025		3,047

Penn National Gaming, Inc.*		162,432		11,809

Scientific Games Corp.*		63,047		2,201

Texas Roadhouse, Inc.		73,612		4,475

Wendy’s (The) Co.		202,033		4,504

Wingstop, Inc.		33,397		4,564

Wyndham Destinations, Inc.		96,191		2,959

Wyndham Hotels & Resorts, Inc.		105,116		5,308

				80,494

Hardware – 1.2%

Ciena Corp.*		173,361		6,881

InterDigital, Inc.		34,759		1,983

Lumentum Holdings, Inc.*		84,850		6,375

NCR Corp.*		144,878		3,207

NetScout Systems, Inc.*		81,753		1,785

ViaSat, Inc.*		72,356		2,488

				22,719

Health Care Facilities & Services – 4.5%

Acadia Healthcare Co., Inc.*		100,325		2,958

Amedisys, Inc.*		36,634		8,661

Charles River Laboratories International, Inc.*		56,054		12,693

Chemed Corp.		17,962		8,628

Encompass Health Corp.		112,208		7,291

HealthEquity, Inc.*		86,531		4,445

LHC Group, Inc.*		35,644		7,577

MEDNAX, Inc.*		96,339		1,568

Medpace Holdings, Inc.*		30,763		3,438

Molina Healthcare, Inc.*		66,910		12,247


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 96.9% continued

Health Care Facilities & Services – 4.5% continued

Patterson Cos., Inc.		97,847		$2,359

PRA Health Sciences, Inc.*		72,169		7,321

Syneos Health, Inc.*		78,770		4,187

Tenet Healthcare Corp.*		118,914		2,915

				86,288

Home & Office Products – 1.9%

Herman Miller, Inc.		66,426		2,003

HNI Corp.		48,105		1,510

KB Home		99,360		3,814

MSA Safety, Inc.		40,803		5,475

Scotts Miracle-Gro (The) Co.		45,936		7,024

Taylor Morrison Home Corp.*		146,339		3,598

Tempur Sealy International, Inc.*		54,111		4,826

Toll Brothers, Inc.		129,562		6,305

TRI Pointe Group, Inc.*		147,051		2,668

				37,223

Industrial Services – 0.6%

MSC Industrial Direct Co., Inc., Class A		51,367		3,251

Watsco, Inc.		37,035		8,625

				11,876

Institutional Financial Services – 1.0%

Evercore, Inc., Class A		45,800		2,998

Interactive Brokers Group, Inc., Class A		89,197		4,311

Jefferies Financial Group, Inc.		243,678		4,386

SEI Investments Co.		137,201		6,959

				18,654

Insurance – 4.0%

Alleghany Corp.		16,149		8,405

American Financial Group, Inc.		80,921		5,420

Brighthouse Financial, Inc.*		104,961		2,824

Brown & Brown, Inc.		264,859		11,990

CNO Financial Group, Inc.		159,906		2,565

Genworth Financial, Inc., Class A*		570,948		1,913

Hanover Insurance Group (The), Inc.		42,560		3,966

Kemper Corp.		69,292		4,631

Mercury General Corp.		29,982		1,240

Old Republic International Corp.		319,039		4,703

Primerica, Inc.		44,592		5,045

Reinsurance Group of America, Inc.		76,654		7,297

RenaissanceRe Holdings Ltd.		57,790		9,809

RLI Corp.		44,635		3,737

Selective Insurance Group, Inc.		67,488		3,475

				77,020


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 96.9% continued

Iron & Steel – 1.0%

Commercial Metals Co.		134,298		$2,683

Reliance Steel & Aluminum Co.		71,940		7,341

Steel Dynamics, Inc.		225,493		6,456

United States Steel Corp.		248,432		1,824

Worthington Industries, Inc.		40,691		1,659

				19,963

Leisure Products – 1.1%

Brunswick Corp.		89,321		5,262

Mattel, Inc.*		391,290		4,578

Polaris, Inc.		65,058		6,138

Thor Industries, Inc.		62,263		5,931

				21,909

Machinery – 3.9%

AGCO Corp.		69,296		5,147

Colfax Corp.*		113,545		3,561

Crane Co.		55,652		2,790

Curtiss-Wright Corp.		46,913		4,375

Graco, Inc.		188,105		11,540

Kennametal, Inc.		93,524		2,707

Lincoln Electric Holdings, Inc.		66,987		6,165

Middleby (The) Corp.*		62,755		5,630

Nordson Corp.		60,899		11,682

Oshkosh Corp.		76,846		5,648

Regal Beloit Corp.		45,787		4,298

Terex Corp.		78,193		1,514

Toro (The) Co.		121,066		10,163

				75,220

Manufactured Goods – 0.4%

Timken (The) Co.		76,262		4,135

Valmont Industries, Inc.		24,090		2,991

				7,126

Media – 2.0%

AMC Networks, Inc., Class A*		45,746		1,130

Cable One, Inc.		6,113		11,526

GrubHub, Inc.*		104,120		7,531

John Wiley & Sons, Inc., Class A		49,273		1,562

New York Times (The) Co., Class A		162,907		6,971

TEGNA, Inc.		247,054		2,903

TripAdvisor, Inc.		108,428		2,124

World Wrestling Entertainment, Inc., Class A		52,679		2,132

Yelp, Inc.*		77,566		1,558

				37,437


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 96.9% continued

Medical Equipment & Devices – 4.2%

Avanos Medical, Inc.*		53,970		$1,793

Bio-Techne Corp.		43,497		10,775

Cantel Medical Corp.		42,332		1,860

Globus Medical, Inc., Class A*		84,994		4,209

Haemonetics Corp.*		57,205		4,991

Hill-Rom Holdings, Inc.		75,154		6,276

ICU Medical, Inc.*		21,971		4,015

Integra LifeSciences Holdings Corp.*		79,872		3,771

LivaNova PLC*		54,912		2,483

Masimo Corp.*		57,040		13,465

NuVasive, Inc.*		57,806		2,808

Penumbra, Inc.*		37,889		7,365

Quidel Corp.*		43,073		9,449

Repligen Corp.*		55,094		8,129

				81,389

Metals & Mining – 0.6%

Compass Minerals International, Inc.		38,300		2,273

Royal Gold, Inc.		74,008		8,894

				11,167

Oil, Gas & Coal – 1.3%

Antero Midstream Corp.		322,655		1,733

ChampionX Corp.*		209,532		1,674

Cimarex Energy Co.		115,167		2,802

CNX Resources Corp.*		253,174		2,390

EQT Corp.		288,405		3,729

Equitrans Midstream Corp.		458,691		3,881

Murphy Oil Corp.		162,912		1,453

Murphy U.S.A., Inc.*		30,618		3,927

World Fuel Services Corp.		71,638		1,518

WPX Energy, Inc.*		455,746		2,233

				25,340

Passenger Transportation – 0.2%

JetBlue Airways Corp.*		307,387		3,483

Real Estate – 0.3%

Jones Lang LaSalle, Inc.		58,426		5,589

Real Estate Investment Trusts – 8.7%

American Campus Communities, Inc.		155,294		5,423

Brixmor Property Group, Inc.		334,385		3,909

Camden Property Trust		109,895		9,778

CoreSite Realty Corp.		47,991		5,705

Corporate Office Properties Trust		126,523		3,001

Cousins Properties, Inc.		167,634		4,793

CyrusOne, Inc.		131,871		9,235


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 96.9% continued

Real Estate Investment Trusts – 8.7% continued

Douglas Emmett, Inc.		185,949		$4,667

EastGroup Properties, Inc.		44,381		5,740

EPR Properties		84,187		2,315

First Industrial Realty Trust, Inc.		143,487		5,711

GEO Group (The), Inc.		136,893		1,552

Healthcare Realty Trust, Inc.		153,507		4,624

Highwoods Properties, Inc.		117,180		3,934

Hudson Pacific Properties, Inc.		173,040		3,795

JBG SMITH Properties		126,806		3,391

Kilroy Realty Corp.		118,265		6,145

Lamar Advertising Co., Class A		97,476		6,450

Life Storage, Inc.		52,939		5,573

Macerich (The) Co.		126,484		859

Medical Properties Trust, Inc.		596,694		10,520

National Retail Properties, Inc.		195,810		6,757

Omega Healthcare Investors, Inc.		256,098		7,668

Park Hotels & Resorts, Inc.		265,743		2,655

Pebblebrook Hotel Trust		147,659		1,850

Physicians Realty Trust		234,855		4,206

PotlatchDeltic Corp.		75,520		3,179

PS Business Parks, Inc.		22,627		2,769

Rayonier, Inc.		154,031		4,073

Rayonier, Inc. - (Fractional Shares)⁽¹⁾		50,000		—

Rexford Industrial Realty, Inc.		139,675		6,391

Sabra Health Care REIT, Inc.		231,864		3,196

Service Properties Trust		185,625		1,476

Spirit Realty Capital, Inc.		116,267		3,924

STORE Capital Corp.		257,372		7,060

Taubman Centers, Inc.		69,635		2,318

Urban Edge Properties		123,777		1,203

Weingarten Realty Investors		135,827		2,304

				168,149

Recreational Facilities & Services – 0.2%

Cinemark Holdings, Inc.		120,701		1,207

Six Flags Entertainment Corp.		85,119		1,728

				2,935

Renewable Energy – 2.4%

EnerSys		47,928		3,217

Enphase Energy, Inc.*		142,178		11,742

First Solar, Inc.*		95,568		6,327

SolarEdge Technologies, Inc.*		56,551		13,479

Sunrun, Inc.*		143,178		11,035

				45,800


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 96.9% continued

Retail - Consumer Staples – 1.8%

BJ’s Wholesale Club Holdings, Inc.*		155,645		$6,467

Casey’s General Stores, Inc.		41,643		7,398

Five Below, Inc.*		63,008		8,002

Grocery Outlet Holding Corp.*		94,054		3,698

Ollie’s Bargain Outlet Holdings, Inc.*		64,176		5,606

Sprouts Farmers Market, Inc.*		133,080		2,785

				33,956

Retail - Discretionary –2.4%

American Eagle Outfitters, Inc.		168,065		2,489

AutoNation, Inc.*		65,933		3,490

Avis Budget Group, Inc.*		58,170		1,531

Builders FirstSource, Inc.*		131,702		4,296

Dick’s Sporting Goods, Inc.		73,494		4,254

Foot Locker, Inc.		117,610		3,885

Kohl’s Corp.		178,022		3,299

Lithia Motors,Inc.,Class A		25,321		5,772

Nordstrom, Inc.		122,349		1,458

RH*		17,413		6,662

Sally Beauty Holdings, Inc.*		127,315		1,106

Williams-Sonoma, Inc.		87,780		7,939

				46,181

Semiconductors – 3.5%

Cirrus Logic, Inc.*		65,887		4,444

CMC Materials, Inc.		32,782		4,682

Coherent, Inc.*		27,357		3,035

Cree, Inc.*		123,756		7,888

II-VI, Inc.*		116,972		4,744

MKS Instruments, Inc.		62,199		6,794

Monolithic Power Systems, Inc.		47,636		13,319

Semtech Corp.*		73,524		3,894

Silicon Laboratories, Inc.*		49,416		4,835

Synaptics, Inc.*		38,623		3,106

Universal Display Corp.		48,361		8,741

Vishay Intertechnology, Inc.		149,510		2,328

				67,810

Software – 3.1%

ACI Worldwide, Inc.*		131,325		3,431

Blackbaud, Inc.		55,971		3,125

CDK Global, Inc.		137,138		5,978

Ceridian HCM Holding, Inc.*		146,478		12,106

CommVault Systems, Inc.*		52,346		2,136

J2 Global, Inc.*		50,492		3,495

Manhattan Associates, Inc.*		71,673		6,844


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 96.9% continued

Software – 3.1% continued

Paylocity Holding Corp.*		41,896		$6,763

PTC, Inc.*		117,918		9,754

Qualys, Inc.*		38,084		3,733

Teradata Corp.*		122,988		2,792

				60,157

Specialty Finance – 1.7%

Alliance Data Systems Corp.		53,838		2,260

Essent Group Ltd.		126,850		4,695

First American Financial Corp.		125,830		6,406

FirstCash, Inc.		46,743		2,674

GATX Corp.		39,492		2,518

LendingTree, Inc.*		8,879		2,725

Navient Corp.		218,814		1,849

SLM Corp.		423,390		3,425

WEX, Inc.*		49,754		6,914

				33,466

Technology Services – 3.1%

CACI International, Inc., Class A*		28,318		6,036

CoreLogic, Inc.		89,656		6,067

FactSet Research Systems, Inc.		42,869		14,356

Fair Isaac Corp.*		32,720		13,918

LiveRamp Holdings, Inc.*		74,332		3,848

MAXIMUS, Inc.		69,159		4,731

Perspecta, Inc.		154,180		2,999

Sabre Corp.		351,596		2,289

Science Applications International Corp.		65,628		5,147

				59,391

Telecom – 0.1%

Telephone and Data Systems, Inc.		112,317		2,071

Transportation & Logistics – 1.4%

Kirby Corp.*		67,721		2,450

Knight-Swift Transportation Holdings,

Inc.		142,114		5,784

Landstar System, Inc.		43,304		5,434

Ryder System, Inc.		60,726		2,565

Werner Enterprises, Inc.		65,490		2,750

XPO Logistics, Inc.*		103,046		8,724

				27,707

Transportation Equipment – 0.1%

Trinity Industries, Inc.		100,417		1,958

Utilities – 3.4%

ALLETE, Inc.		58,539		3,029


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 96.9% continued

Utilities – 3.4% continued

Black Hills Corp.		70,780		$3,786

Essential Utilities, Inc.		251,720		10,132

Hawaiian Electric Industries, Inc.		123,192		4,095

IDACORP, Inc.		56,937		4,549

National Fuel Gas Co.		102,626		4,166

New Jersey Resources Corp.		108,241		2,925

NorthWestern Corp.		57,066		2,776

OGE Energy Corp.		225,858		6,773

ONE Gas, Inc.		59,712		4,121

PNM Resources, Inc.		89,847		3,713

Southwest Gas Holdings, Inc.		63,091		3,981

Spire, Inc.		58,089		3,090

UGI Corp.		235,055		7,752

				64,888

Waste & Environment Services & Equipment – 1.2%

Clean Harbors, Inc.*		57,756		3,236

Donaldson Co., Inc.		142,315		6,606

Stericycle, Inc.*		103,223		6,509

Tetra Tech, Inc.		60,803		5,807

				22,158

Total Common Stocks

(Cost $1,536,924)				1,864,564



INVESTMENT COMPANIES – 2.9%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽²⁾(3)		56,403,969		56,404

Total Investment Companies

(Cost $56,404)				56,404


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

SHORT—TERM INVESTMENTS – 0.3%

U.S. Treasury Bill, 0.11%, 1/28/21⁽⁴⁾(5)		$5,565		$5,563

Total Short-Term Investments

(Cost $5,563)				5,563



Total Investments – 100.1%

(Cost $1,598,891)				1,926,531

Liabilities less Other Assets – (0.1%)				(1,453	)

NET ASSETS – 100.0%				$1,925,078

(1)

Level 3 asset that is worthless, bankrupt or has been delisted.

⁽²⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽³⁾

7-day current yield as of September 30, 2020 is disclosed.

⁽⁴⁾

Discount rate at the time of purchase.

⁽⁵⁾

Security pledged as collateral to cover margin requirements for open futures contracts.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

PLC - Public Limited Company

REIT - Real Estate Investment Trust

S&P—Standard & Poor’s

Percentages shown are based on Net Assets.

At September 30, 2020, the Fund had open futures contracts as follows:

TYPE

NUMBER OF
CONTRACTS

NOTIONAL
AMOUNT
(000S)

CONTRACT
POSITION

CONTRACT
EXP.

VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
(000S)⁽¹⁾

E-Mini S&P MidCap 400

327

$60,688

Long

12/20

$912

⁽¹⁾

Includes cumulative appreciation/depreciation on futures contracts. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF LONG-TERM INVESTMENTS

Communication Services		1.8	%

Consumer Discretionary		15.9

Consumer Staples		4.0

Energy		1.1

Financials		13.7

Health Care		11.1

Industrials		17.7

Information Technology		15.8

Materials		5.8

Real Estate		9.3

Utilities		3.8

Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

Common Stocks⁽¹⁾	$	1,864,564	$	—		$—	$	1,864,564

Investment Companies		56,404		—		—		56,404

Short-Term Investments		—		5,563		—		5,563

Total Investments	$	1,920,968	$	5,563		$—	$	1,926,531

OTHER FINANCIAL INSTRUMENTS

Assets

Futures Contracts	$	912	$	—		$—	$	912

⁽¹⁾

Classifications as defined in the Schedule of Investments.


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 97.9%

Aerospace & Defense – 0.7%

AAR Corp.		19,451		$366

Aerojet Rocketdyne Holdings, Inc.*		42,560		1,698

AeroVironment, Inc.*		12,607		756

American Outdoor Brands, Inc.*		7,893		103

Astronics Corp.*		13,219		102

Barnes Group, Inc.		27,244		974

Ducommun, Inc.*		6,131		202

Kaman Corp.		16,154		629

Moog, Inc., Class A		17,247		1,096

National Presto Industries, Inc.		2,918		239

Park Aerospace Corp.		10,570		115

Smith & Wesson Brands, Inc.		31,575		490

Sturm Ruger & Co., Inc.		9,891		605

Triumph Group, Inc.		30,064		196

				7,571

Apparel & Textile Products – 0.9%

Crocs, Inc.*		38,721		1,654

Deckers Outdoor Corp.*		16,231		3,571

Fossil Group, Inc.*		27,330		157

Kontoor Brands, Inc.		30,152		730

Lakeland Industries, Inc.*		4,390		87

Movado Group, Inc.		9,319		93

Oxford Industries, Inc.		9,692		391

Rocky Brands, Inc.		4,067		101

Steven Madden Ltd.		47,796		932

Superior Group of Cos., Inc.		6,080		141

Unifi, Inc.*		7,526		97

Urban Outfitters, Inc.*		40,219		837

Weyco Group, Inc.		3,460		56

Wolverine World Wide, Inc.		46,308		1,196

				10,043

Asset Management – 1.1%

Artisan Partners Asset Management,

Inc., Class A		31,911		1,244

Assetmark Financial Holdings, Inc.*		9,306		202

Associated Capital Group, Inc., Class A		975		35

B. Riley Financial, Inc.		11,001		276

Blucora, Inc.*		27,980		264

Boston Private Financial Holdings, Inc.		46,602		257

Brightsphere Investment Group, Inc.		36,565		472

Cohen & Steers, Inc.		14,227		793

Columbia Financial, Inc.*		28,005		311

Community Bankers Trust Corp.		11,072		56

Diamond Hill Investment Group, Inc.		1,796		227


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Asset Management – 1.1% continued

Federated Hermes, Inc.		55,937		$1,203

First Western Financial, Inc.*		3,562		46

Focus Financial Partners, Inc., Class A*		18,392		603

GAMCO Investors, Inc., Class A		3,259		38

Grid Dynamics Holdings, Inc.*		12,333		95

Hamilton Lane, Inc., Class A		17,425		1,125

Kennedy-Wilson Holdings, Inc.		70,988		1,031

Oppenheimer Holdings, Inc., Class A		5,694		127

PDL Community Bancorp*		3,691		33

Pzena Investment Management, Inc.,

Class A		9,747		52

Rafael Holdings, Inc., Class B*		5,095		79

Safeguard Scientifics, Inc.		12,103		66

Sculptor Capital Management, Inc.		10,992		129

Siebert Financial Corp.*		6,930		22

Silvercrest Asset Management Group,

Inc., Class A		5,415		57

Stifel Financial Corp.		38,573		1,950

Virtus Investment Partners, Inc.		4,310		598

Waddell & Reed Financial, Inc., Class A		37,812		562

Westwood Holdings Group, Inc.		4,549		51

WisdomTree Investments, Inc.		82,701		265

				12,269

Automotive – 1.0%

Adient PLC*		51,293		889

American Axle & Manufacturing

Holdings, Inc.*		64,847		374

Cooper Tire & Rubber Co.		29,343		930

Cooper-Standard Holdings, Inc.*		9,566		126

Dana, Inc.		83,762		1,032

Dorman Products, Inc.*		15,445		1,396

Fox Factory Holding Corp.*		23,990		1,783

Gentherm, Inc.*		18,908		773

Goodyear Tire & Rubber (The) Co.		133,684		1,025

Methode Electronics, Inc.		21,200		604

Miller Industries, Inc.		6,477		198

Modine Manufacturing Co.*		29,278		183

Motorcar Parts of America, Inc.*		10,580		165

Standard Motor Products, Inc.		12,300		549

Telenav, Inc.*		19,272		70

Tenneco, Inc., Class A*		29,106		202

Visteon Corp.*		16,062		1,112

XPEL, Inc.*		9,542		249

				11,660


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Banking – 7.7%

1st Constitution Bancorp		5,567		$66

1st Source Corp.		9,301		287

ACNB Corp.		4,902		102

Alerus Financial Corp.		8,559		168

Allegiance Bancshares, Inc.		10,775		252

Altabancorp		9,006		181

Amalgamated Bank, Class A		7,236		77

American National Bankshares, Inc.		5,954		125

Ameris Bancorp		38,561		878

Ames National Corp.		5,192		88

Arrow Financial Corp.		7,468		187

Atlantic Capital Bancshares, Inc.*		12,179		138

Atlantic Union Bankshares Corp.		45,146		965

Auburn National BanCorp, Inc.		1,340		49

Axos Financial, Inc.*		33,572		783

Banc of California, Inc.		25,965		263

BancFirst Corp.		10,998		449

Banco Latinoamericano de Comercio

Exterior S.A., Class E		18,193		221

Bancorp (The), Inc.*		30,094		260

BancorpSouth Bank		57,398		1,112

Bank First Corp.		3,586		210

Bank of Commerce Holdings		10,497		73

Bank of Marin Bancorp		7,506		217

Bank of NT Butterfield & Son (The) Ltd.		29,447		656

Bank of Princeton (The)		3,356		61

Bank7 Corp.		2,324		22

BankFinancial Corp.		6,870		50

BankUnited, Inc.		53,249		1,167

Bankwell Financial Group, Inc.		3,891		55

Banner Corp.		20,021		646

Bar Harbor Bankshares		8,807		181

BayCom Corp.*		7,141		74

BCB Bancorp, Inc.		8,380		67

Berkshire Hills Bancorp, Inc.		25,670		260

Bogota Financial Corp.*		3,267		25

Bridge Bancorp, Inc.		10,002		174

Bridgewater Bancshares, Inc.*		12,673		120

Brookline Bancorp, Inc.		44,778		387

Bryn Mawr Bank Corp.		11,481		286

Business First Bancshares, Inc.		11,259		169

Byline Bancorp, Inc.		14,189		160

C&F Financial Corp.		1,933		57

Cadence BanCorp		71,539		615


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Banking – 7.7% continued

California Bancorp, Inc.*		4,314		$49

Cambridge Bancorp		3,833		204

Camden National Corp.		8,591		260

Capital Bancorp, Inc.*		4,642		44

Capital City Bank Group, Inc.		7,511		141

Capitol Federal Financial, Inc.		77,157		715

Capstar Financial Holdings, Inc.		9,240		91

Carter Bank & Trust		13,609		90

Cathay General Bancorp		43,859		951

CB Financial Services, Inc.		2,828		54

CBTX, Inc.		9,763		160

Central Pacific Financial Corp.		15,949		216

Central Valley Community Bancorp		6,294		78

Century Bancorp, Inc., Class A		1,672		110

Chemung Financial Corp.		1,888		54

ChoiceOne Financial Services, Inc.		4,527		118

CIT Group, Inc.		57,206		1,013

Citizens & Northern Corp.		7,611		124

Citizens Holding Co.		2,687		60

City Holding Co.		9,221		531

Civista Bancshares, Inc.		9,477		119

CNB Financial Corp.		8,864		132

Coastal Financial Corp.*		5,225		64

Codorus Valley Bancorp, Inc.		5,252		69

Colony Bankcorp, Inc.		4,349		47

Columbia Banking System, Inc.		41,573		991

Community Bank System, Inc.		30,683		1,671

Community Financial (The) Corp.		2,863		61

Community Trust Bancorp, Inc.		8,798		249

ConnectOne Bancorp, Inc.		21,121		297

County Bancorp, Inc.		2,863		54

CrossFirst Bankshares, Inc.*		27,128		236

Customers Bancorp, Inc.*		16,353		183

CVB Financial Corp.		74,973		1,247

Dime Community Bancshares, Inc.		16,374		185

Eagle Bancorp Montana, Inc.		3,581		63

Eagle Bancorp, Inc.		18,852		505

Enterprise Bancorp, Inc.		5,082		107

Enterprise Financial Services Corp.		13,728		374

Equity Bancshares, Inc., Class A*		7,948		123

Esquire Financial Holdings, Inc.*		4,192		63

ESSA Bancorp, Inc.		5,674		70

Evans Bancorp, Inc.		2,437		54

Farmers & Merchants Bancorp, Inc.		5,824		117


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Banking – 7.7% continued

Farmers National Banc Corp.		15,786		$172

FB Financial Corp.		17,839		448

Fidelity D&D Bancorp, Inc.		2,247		109

Financial Institutions, Inc.		9,419		145

First Bancorp		16,294		341

First BanCorp (New York Exchange)		126,370		660

First Bancorp (The), Inc.		6,081		128

First Bancshares (The), Inc.		11,957		251

First Bank		9,715		60

First Busey Corp.		29,287		465

First Business Financial Services, Inc.		4,893		70

First Capital, Inc.		1,897		106

First Choice Bancorp		6,356		84

First Commonwealth Financial Corp.		56,089		434

First Community Bankshares, Inc.		10,132		183

First Community Corp.		4,082		56

First Financial Bancorp		56,781		682

First Financial Bankshares, Inc.		74,919		2,091

First Financial Corp.		7,840		246

First Foundation, Inc.		23,664		309

First Guaranty Bancshares, Inc.		1,667		20

First Internet Bancorp		5,292		78

First Interstate BancSystem, Inc., Class A		24,308		774

First Merchants Corp.		31,405		727

First Mid Bancshares, Inc.		8,166		204

First Midwest Bancorp, Inc.		66,012		712

First Northwest Bancorp		5,264		52

First of Long Island (The) Corp.		13,322		197

First Savings Financial Group, Inc.		1,061		58

First United Corp.		3,836		45

Flagstar Bancorp, Inc.		24,784		734

Flushing Financial Corp.		15,706		165

FNCB Bancorp, Inc.		9,749		52

Franklin Financial Services Corp.		2,456		52

FS Bancorp, Inc.		2,153		88

Fulton Financial Corp.		92,119		859

FVCBankcorp, Inc.*		6,875		69

German American Bancorp, Inc.		14,306		388

Glacier Bancorp, Inc.		55,578		1,781

Great Southern Bancorp, Inc.		6,363		230

Great Western Bancorp, Inc.		32,382		403

Greene County Bancorp, Inc.		1,789		39

Guaranty Bancshares, Inc.		3,789		94

Hancock Whitney Corp.		50,014		941


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Banking – 7.7% continued

Hanmi Financial Corp.		18,429		$151

HarborOne Bancorp, Inc.		30,117		243

Hawthorn Bancshares, Inc.		3,604		68

HBT Financial, Inc.		6,001		67

Heartland Financial U.S.A., Inc.		20,154		605

Heritage Commerce Corp.		33,373		222

Heritage Financial Corp.		20,911		385

Hilltop Holdings, Inc.		42,012		865

Hingham Institution For Savings (The)		829		153

Home Bancorp, Inc.		4,398		106

Home BancShares, Inc.		88,658		1,344

HomeStreet, Inc.		12,902		332

HomeTrust Bancshares, Inc.		8,956		122

Hope Bancorp, Inc.		68,069		516

Horizon Bancorp, Inc.		24,325		245

Howard Bancorp, Inc.*		6,922		62

Independent Bank Corp.		19,062		998

Independent Bank Corp. (Berlin

Exchange)		12,217		154

Independent Bank Group, Inc.		21,475		949

International Bancshares Corp.		31,132		811

Investar Holding Corp.		5,879		75

Investors Bancorp, Inc.		133,590		970

Kearny Financial Corp.		45,793		330

Lakeland Bancorp, Inc.		27,804		277

Lakeland Financial Corp.		14,275		588

Landmark Bancorp, Inc.		2,161		46

LCNB Corp.		7,319		100

Level One Bancorp, Inc.		2,851		44

Limestone Bancorp, Inc.*		2,877		30

Live Oak Bancshares, Inc.		16,024		406

Luther Burbank Corp.		11,377		95

Macatawa Bank Corp.		15,374		100

Mackinac Financial Corp.		5,394		52

MainStreet Bancshares, Inc.*		4,276		52

Mercantile Bank Corp.		8,968		162

Merchants Bancorp		5,299		104

Meridian Bancorp, Inc.		28,239		292

Meridian Corp.		3,074		50

Meta Financial Group, Inc.		19,456		374

Metrocity Bankshares, Inc.		9,882		130

Metropolitan Bank Holding Corp.*		3,865		108

Mid Penn Bancorp, Inc.		3,960		69

Middlefield Banc Corp.		3,420		66


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Banking – 7.7% continued

Midland States Bancorp, Inc.		12,577		$162

MidWestOne Financial Group, Inc.		8,323		149

MVB Financial Corp.		5,517		88

National Bank Holdings Corp., Class A		17,017		447

National Bankshares, Inc.		3,760		95

NBT Bancorp, Inc.		24,860		667

Nicolet Bankshares, Inc.*		5,418		296

Northeast Bank		4,472		82

Northfield Bancorp, Inc.		27,814		254

Northrim BanCorp, Inc.		3,613		92

Northwest Bancshares, Inc.		68,804		633

Norwood Financial Corp.		3,600		88

Oak Valley Bancorp		3,882		44

OceanFirst Financial Corp.		34,358		470

Oconee Federal Financial Corp.		595		13

OFG Bancorp		29,894		372

Ohio Valley Banc Corp.		2,423		50

Old National Bancorp		95,010		1,193

Old Second Bancorp, Inc.		16,090		121

OP Bancorp		7,271		42

Origin Bancorp, Inc.		12,475		266

Orrstown Financial Services, Inc.		5,999		77

Pacific Premier Bancorp, Inc.		46,393		934

Park National Corp.		8,365		686

Parke Bancorp, Inc.		5,798		69

Partners Bancorp		5,591		31

PCB Bancorp		7,249		64

PCSB Financial Corp.		8,668		105

Peapack-Gladstone Financial Corp.		10,999		167

Penns Woods Bancorp, Inc.		4,014		80

Peoples Bancorp of North Carolina,

Inc.		2,693		42

Peoples Bancorp, Inc.		11,465		219

Peoples Financial Services Corp.		4,104		143

Pioneer Bancorp, Inc.*		7,086		63

Plumas Bancorp		2,655		52

Preferred Bank		8,218		264

Premier Financial Bancorp, Inc.		7,638		82

Premier Financial Corp.		21,801		340

Professional Holding Corp., Class A*		6,682		90

Provident Bancorp, Inc.		4,670		36

Provident Financial Holdings, Inc.		3,421		41

Provident Financial Services, Inc.		41,513		506

Prudential Bancorp, Inc.		5,103		54


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Banking – 7.7% continued

QCR Holdings, Inc.		8,508		$233

RBB Bancorp		9,121		103

Red River Bancshares, Inc.		2,732		117

Reliant Bancorp, Inc.		8,747		127

Renasant Corp.		31,881		724

Republic Bancorp, Inc., Class A		5,569		157

Republic First Bancorp, Inc.*		26,578		53

Richmond Mutual BanCorp, Inc.		8,099		86

Riverview Bancorp, Inc.		11,618		48

S&T Bancorp, Inc.		22,131		391

Salisbury Bancorp, Inc.		1,453		46

Sandy Spring Bancorp, Inc.		26,764		618

SB Financial Group, Inc.		4,065		55

Seacoast Banking Corp. of Florida*		30,072		542

Select Bancorp, Inc.*		8,573		62

ServisFirst Bancshares, Inc.		28,225		960

Shore Bancshares, Inc.		7,391		81

Sierra Bancorp		7,828		131

Silvergate Capital Corp., Class A*		8,795		127

Simmons First National Corp., Class A		62,810		996

SmartFinancial, Inc.		8,369		114

South Plains Financial, Inc.		6,571		82

South State Corp.		40,596		1,955

Southern First Bancshares, Inc.*		4,121		100

Southern Missouri Bancorp, Inc.		4,345		102

Southern National Bancorp of Virginia,

Inc.		11,541		100

Southside Bancshares, Inc.		18,198		445

Spirit of Texas Bancshares, Inc.*		8,102		90

Standard AVB Financial Corp.		2,200		72

Sterling Bancorp, Inc.		9,921		30

Stock Yards Bancorp, Inc.		12,066		411

Summit Financial Group, Inc.		6,688		99

Territorial Bancorp, Inc.		4,551		92

Texas Capital Bancshares, Inc.*		29,362		914

Timberland Bancorp, Inc.		4,670		84

Tompkins Financial Corp.		8,403		477

Towne Bank		38,803		636

TriCo Bancshares		15,301		375

TriState Capital Holdings, Inc.*		16,441		218

Triumph Bancorp, Inc.*		12,994		405

TrustCo Bank Corp. NY		54,617		285

Trustmark Corp.		36,759		787

UMB Financial Corp.		25,259		1,238


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Banking – 7.7% continued

United Bankshares, Inc.		71,777		$1,541

United Community Banks, Inc.		45,358		768

United Security Bancshares		8,001		49

Unity Bancorp, Inc.		5,107		59

Univest Financial Corp.		16,203		233

Valley National Bancorp		230,468		1,579

Veritex Holdings, Inc.		28,275		482

Washington Federal, Inc.		43,748		913

Washington Trust Bancorp, Inc.		10,137		311

Waterstone Financial, Inc.		13,237		205

WesBanco, Inc.		37,837		808

West BanCorp, Inc.		8,963		142

Westamerica BanCorp		15,146		823

Western New England Bancorp, Inc.		13,407		75

WSFS Financial Corp.		29,146		786

				86,558

Biotechnology & Pharmaceuticals – 12.0%

89bio, Inc.*		3,618		93

Abeona Therapeutics, Inc.*		33,545		34

AcelRx Pharmaceuticals, Inc.*		45,950		65

ADMA Biologics, Inc.*		34,324		82

Aduro Biotech, Inc.*		37,063		90

Adverum Biotechnologies, Inc.*		50,587		521

Aeglea BioTherapeutics, Inc.*		24,034		170

Aerie Pharmaceuticals, Inc.*		20,939		246

Affimed N.V.*		48,090		163

Agenus, Inc.*		86,878		348

Agile Therapeutics, Inc.*		38,788		118

Aimmune Therapeutics, Inc.*		27,151		935

Akcea Therapeutics, Inc.*		9,368		170

Akebia Therapeutics, Inc.*		83,765		210

Akero Therapeutics, Inc.*		7,634		235

Akouos, Inc.*		8,159		187

Albireo Pharma, Inc.*		7,821		261

Alector, Inc.*		26,473		279

Allakos, Inc.*		14,156		1,153

Allogene Therapeutics, Inc.*		31,340		1,182

Allovir, Inc.*		10,593		291

ALX Oncology Holdings, Inc.*		5,473		207

AMAG Pharmaceuticals, Inc.*		17,349		163

Amicus Therapeutics, Inc.*		147,850		2,088

Amneal Pharmaceuticals, Inc.*		56,672		220

Amphastar Pharmaceuticals, Inc.*		21,182		397

AnaptysBio, Inc.*		12,234		180


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Biotechnology & Pharmaceuticals – 12.0% continued

Anavex Life Sciences Corp.*		31,914		$145

ANI Pharmaceuticals, Inc.*		5,496		155

Anika Therapeutics, Inc.*		8,030		284

Annexon, Inc.*		8,226		249

Antares Pharma, Inc.*		97,674		264

Apellis Pharmaceuticals, Inc.*		34,953		1,055

Applied Genetic Technologies Corp.*		13,365		65

Applied Molecular Transport, Inc.*		7,079		225

Applied Therapeutics, Inc.*		7,637		159

Aprea Therapeutics, Inc.*		4,259		102

Aptinyx, Inc.*		14,052		47

Aquestive Therapeutics, Inc.*		11,340		55

Aravive, Inc.*		6,968		33

Arcturus Therapeutics Holdings, Inc.*		9,070		389

Arcus Biosciences, Inc.*		24,481		420

Arcutis Biotherapeutics, Inc.*		10,236		300

Ardelyx, Inc.*		41,811		220

Arena Pharmaceuticals, Inc.*		33,816		2,529

Arrowhead Pharmaceuticals, Inc.*		58,282		2,510

Arvinas, Inc.*		17,288		408

Aspira Women’s Health, Inc.*		43,970		136

Assembly Biosciences, Inc.*		17,547		288

Atara Biotherapeutics, Inc.*		42,305		548

Athenex, Inc.*		36,308		439

Athersys, Inc.*		99,351		194

Atreca, Inc., Class A*		15,694		219

Avenue Therapeutics, Inc.*		3,845		42

AVEO Pharmaceuticals, Inc.*		11,169		66

Avid Bioservices, Inc.*		32,478		247

Avidity Biosciences, Inc.*		9,479		267

Avrobio, Inc.*		17,657		230

Axcella Health, Inc.*		9,285		43

Axsome Therapeutics, Inc.*		16,099		1,147

Aytu BioScience, Inc.*		12,896		15

Beam Therapeutics, Inc.*		20,714		510

Beyond Air, Inc.*		7,435		39

Beyondspring, Inc.*		8,932		119

BioCryst Pharmaceuticals, Inc.*		103,709		356

BioDelivery Sciences International, Inc.*		50,762		189

Biohaven Pharmaceutical Holding Co. Ltd.*		27,960		1,818

BioSpecifics Technologies Corp.*		3,821		202

Bioxcel Therapeutics, Inc.*		6,656		289


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Biotechnology & Pharmaceuticals – 12.0% continued

Black Diamond Therapeutics, Inc.*		10,749		$325

Blueprint Medicines Corp.*		32,156		2,981

BrainStorm Cell Therapeutics, Inc.*		16,709		283

Bridgebio Pharma, Inc.*		42,286		1,587

Cabaletta Bio, Inc.*		7,362		80

Calithera Biosciences, Inc.*		37,588		130

Cara Therapeutics, Inc.*		23,515		299

CASI Pharmaceuticals, Inc.*		40,152		61

Cassava Sciences, Inc.*		13,321		153

Catabasis Pharmaceuticals, Inc.*		10,313		64

Catalyst Biosciences, Inc.*		13,450		58

Catalyst Pharmaceuticals, Inc.*		54,760		163

CEL-SCI Corp.*		19,843		253

Centogene N.V.*		4,245		40

Cerecor, Inc.*		22,208		51

Champions Oncology, Inc.*		4,137		38

Checkmate Pharmaceuticals, Inc.*		2,440		28

Checkpoint Therapeutics, Inc.*		24,916		67

ChemoCentryx, Inc.*		28,814		1,579

Chiasma, Inc.*		28,312		122

Chimerix, Inc.*		29,159		73

ChromaDex Corp.*		22,883		92

Cidara Therapeutics, Inc.*		19,127		55

Clovis Oncology, Inc.*		46,954		274

Cohbar, Inc.*		14,035		13

Coherus Biosciences, Inc.*		34,016		624

Collegium Pharmaceutical, Inc.*		19,623		409

Concert Pharmaceuticals, Inc.*		16,895		166

Constellation Pharmaceuticals, Inc.*		18,178		368

ContraFect Corp.*		13,438		71

Corbus Pharmaceuticals Holdings, Inc.*		47,470		85

Corcept Therapeutics, Inc.*		55,743		970

CorMedix, Inc.*		18,483		111

Cortexyme, Inc.*		8,994		450

Crinetics Pharmaceuticals, Inc.*		15,470		242

Cue Biopharma, Inc.*		16,852		254

Cyclerion Therapeutics, Inc.*		11,633		71

Cymabay Therapeutics, Inc.*		40,090		290

Cytokinetics, Inc.*		38,609		836

CytomX Therapeutics, Inc.*		25,690		171

Deciphera Pharmaceuticals, Inc.*		21,759		1,116

Denali Therapeutics, Inc.*		36,543		1,309

DermTech, Inc.*		4,605		55

Dicerna Pharmaceuticals, Inc.*		37,918		682


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Biotechnology & Pharmaceuticals – 12.0% continued

Durect Corp.*		113,217		$194

Dyadic International, Inc.*		11,055		84

Dynavax Technologies Corp.*		62,616		271

Eagle Pharmaceuticals, Inc.*		6,241		265

Editas Medicine, Inc.*		36,587		1,027

Eiger BioPharmaceuticals, Inc.*		15,194		124

Eloxx Pharmaceuticals, Inc.*		15,305		40

Emergent BioSolutions, Inc.*		25,900		2,676

Enanta Pharmaceuticals, Inc.*		10,988		503

Endo International PLC*		130,534		431

Enochian Biosciences, Inc.*		9,788		35

Epizyme, Inc.*		52,407		625

Esperion Therapeutics, Inc.*		15,250		567

Eton Pharmaceuticals, Inc.*		8,409		66

Evelo Biosciences, Inc.*		10,744		57

Evolus, Inc.*		13,639		53

Exagen, Inc.*		3,087		33

Exicure, Inc.*		33,884		59

Fate Therapeutics, Inc.*		41,642		1,664

Fennec Pharmaceuticals, Inc.*		12,401		75

FibroGen, Inc.*		49,003		2,015

Five Prime Therapeutics, Inc.*		16,525		78

Flexion Therapeutics, Inc.*		25,949		270

Forma Therapeutics Holdings, Inc.*		9,469		472

Fortress Biotech, Inc.*		37,140		150

Frequency Therapeutics, Inc.*		14,225		273

Fulcrum Therapeutics, Inc.*		8,709		69

G1 Therapeutics, Inc.*		20,253		234

Galectin Therapeutics, Inc.*		23,370		62

Galera Therapeutics, Inc.*		4,994		45

Generation Bio Co.*		6,978		216

Genprex, Inc.*		16,244		55

Geron Corp.*		170,327		296

GlycoMimetics, Inc.*		19,406		60

Gossamer Bio, Inc.*		33,148		411

Gritstone Oncology, Inc.*		16,933		45

Halozyme Therapeutics, Inc.*		79,049		2,077

Harpoon Therapeutics, Inc.*		6,055		103

Harrow Health, Inc.*		12,817		72

Heron Therapeutics, Inc.*		51,115		758

Heska Corp.*		4,055		401

Homology Medicines, Inc.*		19,417		208

Hookipa Pharma, Inc.*		6,614		63

iBio, Inc.*		35,196		71


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Biotechnology & Pharmaceuticals – 12.0% continued

Ideaya Biosciences, Inc.*		8,790		$110

IGM Biosciences, Inc.*		4,060		300

IMARA, Inc.*		2,831		58

Immunic, Inc.*		3,402		63

ImmunoGen, Inc.*		99,272		357

Immunovant, Inc.*		20,042		705

Innoviva, Inc.*		37,837		395

Inovio Pharmaceuticals, Inc.*		91,097		1,057

Inozyme Pharma, Inc.*		4,393		115

Insmed, Inc.*		58,813		1,890

Intellia Therapeutics, Inc.*		29,225		581

Intercept Pharmaceuticals, Inc.*		15,197		630

Intersect ENT,Inc.*		18,548		303

Intra-Cellular Therapies, Inc.*		38,023		976

Ironwood Pharmaceuticals, Inc.*		93,050		837

iTeos Therapeutics, Inc.*		5,979		148

IVERIC bio, Inc.*		44,980		254

Jounce Therapeutics, Inc.*		9,436		77

Kadmon Holdings, Inc.*		101,334		397

Kala Pharmaceuticals, Inc.*		22,632		170

Kaleido Biosciences, Inc.*		6,696		74

KalVista Pharmaceuticals, Inc.*		8,381		106

Karuna Therapeutics, Inc.*		9,083		702

Karyopharm Therapeutics, Inc.*		41,163		601

Keros Therapeutics, Inc.*		3,989		154

Kezar Life Sciences, Inc.*		18,717		91

Kindred Biosciences, Inc.*		20,468		88

Kiniksa Pharmaceuticals Ltd., Class A*		14,982		230

Kodiak Sciences, Inc.*		16,773		993

Krystal Biotech, Inc.*		7,667		330

Kura Oncology, Inc.*		30,871		946

La Jolla Pharmaceutical Co.*		10,726		43

Lannett Co., Inc.*		18,521		113

Lexicon Pharmaceuticals, Inc.*		21,776		31

Lifevantage Corp.*		7,614		92

Ligand Pharmaceuticals, Inc.*		8,417		802

Liquidia Technologies, Inc.*		14,989		74

LogicBio Therapeutics, Inc.*		6,816		62

Lyra Therapeutics, Inc.*		2,339		26

MacroGenics, Inc.*		30,716		774

Madrigal Pharmaceuticals, Inc.*		5,152		612

Magenta Therapeutics, Inc.*		12,577		86

Mallinckrodt PLC*		49,987		49

MannKind Corp.*		129,986		244


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Biotechnology & Pharmaceuticals – 12.0% continued

Marinus Pharmaceuticals, Inc.*		14,047		$181

Marker Therapeutics, Inc.*		18,088		27

MediciNova, Inc.*		25,432		133

MEI Pharma, Inc.*		58,041		181

MeiraGTx Holdings PLC*		11,722		155

Mersana Therapeutics, Inc.*		31,098		579

Minerva Neurosciences, Inc.*		16,996		54

Mirati Therapeutics, Inc.*		21,791		3,618

Mirum Pharmaceuticals, Inc.*		3,162		61

Molecular Templates, Inc.*		15,567		170

Momenta Pharmaceuticals, Inc.*		68,443		3,592

Morphic Holding, Inc.*		7,823		214

Mustang Bio, Inc.*		17,536		55

MyoKardia, Inc.*		29,452		4,015

NantKwest, Inc.*		18,670		129

Nature’s Sunshine Products, Inc.*		5,797		67

Neoleukin Therapeutics, Inc.*		18,859		226

Neubase Therapeutics, Inc.*		9,912		75

NeuroBo Pharmaceuticals, Inc.*		2,406		14

NextCure, Inc.*		9,412		83

NGM Biopharmaceuticals, Inc.*		14,005		223

Nkarta, Inc.*		9,216		277

Novavax, Inc.*		35,777		3,876

Nurix Therapeutics, Inc.*		6,309		220

Ocular Therapeutix, Inc.*		35,797		272

Odonate Therapeutics, Inc.*		7,473		100

Omeros Corp.*		34,975		353

Oncocyte Corp.*		38,426		53

Optinose, Inc.*		21,633		84

Organogenesis Holdings, Inc.*		11,481		44

Orgenesis, Inc.*		10,338		52

ORIC Pharmaceuticals, Inc.*		4,980		125

Osmotica Pharmaceuticals PLC*		6,916		37

Ovid therapeutics, Inc.*		24,514		141

Oyster Point Pharma, Inc.*		3,611		76

Pacira BioSciences, Inc.*		24,392		1,466

Pandion Therapeutics, Inc.*		3,957		45

Paratek Pharmaceuticals, Inc.*		26,001		141

Passage Bio, Inc.*		7,766		102

PDL BioPharma, Inc.*		64,885		204

PhaseBio Pharmaceuticals, Inc.*		7,351		26

Phathom Pharmaceuticals, Inc.*		6,356		233

Phibro Animal Health Corp., Class A		11,575		201

Pieris Pharmaceuticals, Inc.*		26,815		56


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Biotechnology & Pharmaceuticals – 12.0% continued

Pliant Therapeutics, Inc.*		6,065		$137

Poseida Therapeutics, Inc.*		7,298		65

Precigen, Inc.*		37,847		132

Prestige Consumer Healthcare, Inc.*		29,219		1,064

Prevail Therapeutics, Inc.*		8,180		83

Protagonist Therapeutics, Inc.*		17,276		338

Protara Therapeutics, Inc.*		1,157		19

Prothena Corp. PLC*		17,605		176

Provention Bio, Inc.*		26,963		346

PTC Therapeutics, Inc.*		36,026		1,684

Puma Biotechnology, Inc.*		17,146		173

Radius Health, Inc.*		25,792		292

RAPT Therapeutics, Inc.*		6,269		202

Recro Pharma, Inc.*		12,106		25

REGENXBIO, Inc.*		19,950		549

Relay Therapeutics, Inc.*		18,866		804

Relmada Therapeutics, Inc.*		8,459		318

Replimune Group, Inc.*		11,824		272

Retrophin, Inc.*		28,547		527

Revance Therapeutics, Inc.*		36,610		920

REVOLUTION Medicines, Inc.*		22,459		782

Rhythm Pharmaceuticals, Inc.*		19,206		416

Rigel Pharmaceuticals, Inc.*		101,204		243

Rocket Pharmaceuticals, Inc.*		20,087		459

Rockwell Medical, Inc.*		41,337		44

Rubius Therapeutics, Inc.*		20,958		105

Sangamo Therapeutics, Inc.*		67,486		638

Satsuma Pharmaceuticals, Inc.*		5,256		20

Savara, Inc.*		26,572		29

Scholar Rock Holding Corp.*		12,974		230

scPharmaceuticals, Inc.*		3,053		23

Selecta Biosciences, Inc.*		38,753		96

Seres Therapeutics, Inc.*		30,882		874

SIGA Technologies, Inc.*		32,412		223

Solid Biosciences, Inc.*		14,592		30

Sorrento Therapeutics, Inc.*		128,664		1,435

Spectrum Pharmaceuticals, Inc.*		84,427		344

Spero Therapeutics, Inc.*		8,229		92

SpringWorks Therapeutics, Inc.*		12,454		594

Stoke Therapeutics, Inc.*		6,983		234

Strongbridge Biopharma PLC*		19,026		40

Supernus Pharmaceuticals, Inc.*		28,566		595

Sutro Biopharma, Inc.*		14,606		147

Syndax Pharmaceuticals, Inc.*		15,424		228


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Biotechnology & Pharmaceuticals – 12.0% continued

Syros Pharmaceuticals, Inc.*		23,745		$210

TCR2 Therapeutics, Inc.*		15,094		307

Tela Bio, Inc.*		4,071		67

TG Therapeutics, Inc.*		64,510		1,726

TherapeuticsMD, Inc.*		140,073		221

Theravance Biopharma, Inc.*		27,171		402

Translate Bio, Inc.*		39,892		543

TransMedics Group, Inc.*		14,768		204

Tricida, Inc.*		16,156		146

Turning Point Therapeutics, Inc.*		19,838		1,733

Twist Bioscience Corp.*		19,011		1,444

Tyme Technologies, Inc.*		42,626		42

Ultragenyx Pharmaceutical, Inc.*		33,418		2,747

UNITY Biotechnology, Inc.*		18,827		65

UroGen Pharma Ltd.*		11,110		214

USANA Health Sciences, Inc.*		6,790		500

Vanda Pharmaceuticals, Inc.*		30,836		298

Vaxart, Inc.*		29,312		195

Vaxcyte, Inc.*		10,666		527

VBI Vaccines, Inc.*		98,234		281

Verastem, Inc.*		93,528		113

Verrica Pharmaceuticals, Inc.*		7,422		57

Veru, Inc.*		28,404		74

Viela Bio, Inc.*		12,288		345

Viking Therapeutics, Inc.*		37,185		216

Vir Biotechnology, Inc.*		31,131		1,069

VolitionRX Ltd.*		13,315		43

Voyager Therapeutics, Inc.*		14,955		160

vTv Therapeutics, Inc., Class A*		6,173		11

VYNE Therapeutics, Inc.*		79,032		131

WaVe Life Sciences Ltd.*		14,061		119

X4 Pharmaceuticals, Inc.*		9,385		64

XBiotech, Inc.*		8,180		156

Xencor, Inc.*		32,296		1,253

Xeris Pharmaceuticals, Inc.*		25,567		152

XOMA Corp.*		3,490		66

Y-mAbs Therapeutics, Inc.*		17,560		674

Zentalis Pharmaceuticals, Inc.*		6,711		219

ZIOPHARM Oncology, Inc.*		121,834		307

Zogenix, Inc.*		32,440		582

				134,119

Chemicals – 1.8%

AdvanSix, Inc.*		15,992		206

AgroFresh Solutions, Inc.*		17,045		41



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Chemicals – 1.8% continued

American Vanguard Corp.		17,035		$224

Amyris, Inc.*		63,216		185

Avient Corp.		52,932		1,401

Balchem Corp.		18,663		1,822

Codexis, Inc.*		31,893		374

Ferro Corp.*		47,797		593

GCP Applied Technologies, Inc.*		28,516		597

H.B. Fuller Co.		29,723		1,361

Hawkins, Inc.		5,585		257

Haynes International, Inc.		6,893		118

Ingevity Corp.*		24,070		1,190

Innospec, Inc.		14,150		896

Intrepid Potash, Inc.*		5,613		47

Koppers Holdings, Inc.*		11,755		246

Kraton Corp.*		17,689		315

Kronos Worldwide, Inc.		13,011		167

Lydall, Inc.*		9,646		160

Marrone Bio Innovations, Inc.*		37,982		46

Materion Corp.		11,893		619

Minerals Technologies, Inc.		19,658		1,005

Oil-Dri Corp. of America		3,033		109

Orion Engineered Carbons S.A.		35,206		440

PQ Group Holdings, Inc.*		22,869		235

Quaker Chemical Corp.		7,709		1,385

Rayonier Advanced Materials, Inc.*		35,328		113

Rogers Corp.*		10,818		1,061

Sensient Technologies Corp.		24,583		1,419

Stepan Co.		12,488		1,361

Trecora Resources*		14,431		89

Trinseo S.A.		22,307		572

Tronox Holdings PLC, Class A		52,208		411

WD-40 Co.		7,899		1,495

				20,560

Commercial Services – 2.3%

ABM Industries, Inc.		38,845		1,424

Acacia Research Corp.*		26,114		91

AMN Healthcare Services, Inc.*		27,064		1,582

ASGN, Inc.*		29,525		1,877

Barrett Business Services, Inc.		4,272		224

BG Staffing, Inc.		5,083		43

Brady Corp., Class A		27,293		1,092

BrightView Holdings, Inc.*		23,743		271

Brink’s (The) Co.		29,143		1,197

CBIZ, Inc.*		29,810		682



	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Commercial Services – 2.3% continued

Cimpress PLC*		10,359		$779

Collectors Universe, Inc.		5,377		266

CorVel Corp.*		5,196		444

CRA International, Inc.		4,267		160

Cross Country Healthcare, Inc.*		21,506		139

Deluxe Corp.		24,476		630

Emerald Holding, Inc.		13,012		26

Ennis, Inc.		15,081		263

Forrester Research, Inc.*		6,174		202

Franchise Group, Inc.		12,692		322

Franklin Covey Co.*		7,142		127

Genasys, Inc.*		18,826		116

GP Strategies Corp.*		7,339		71

Hackett Group (The), Inc.		14,762		165

Healthcare Services Group, Inc.		43,480		936

Heidrick & Struggles International, Inc.		11,371		223

HMS Holdings Corp.*		51,100		1,224

Huron Consulting Group, Inc.*		13,267		522

Information Services Group, Inc.*		18,189		38

Insperity, Inc.		21,040		1,378

Kelly Services, Inc., Class A		19,610		334

Kforce, Inc.		11,468		369

Korn Ferry		32,515		943

National Research Corp.		7,735		381

NV5 Global, Inc.*		6,245		329

Quad/Graphics, Inc.		17,100		52

R1 RCM, Inc.*		61,960		1,063

Resources Connection, Inc.		17,114		198

ShotSpotter, Inc.*		4,630		144

SP Plus Corp.*		13,406		241

TriNet Group, Inc.*		23,875		1,416

TrueBlue, Inc.*		20,476		317

UniFirst Corp.		8,726		1,652

Vectrus, Inc.*		6,685		254

Viad Corp.		11,777		245

Vivint Smart Home, Inc.*		42,277		722

Willdan Group, Inc.*		5,808		148

				25,322

Construction Materials – 1.0%

Advanced Drainage Systems, Inc.		32,228		2,012

Apogee Enterprises, Inc.		14,987		320

Boise Cascade Co.		22,789		910

Forterra, Inc.*		10,639		126

Louisiana-Pacific Corp.		65,404		1,930


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Construction Materials – 1.0% continued

Simpson Manufacturing Co., Inc.		25,263		$2,454

Summit Materials, Inc., Class A*		66,497		1,100

U.S. Concrete, Inc.*		9,216		268

UFP Industries, Inc.		34,636		1,957

United States Lime & Minerals, Inc.		1,164		105

				11,182

Consumer Products – 2.3%

Alico, Inc.		2,916		83

B&G Foods, Inc.		37,105		1,030

BellRing Brands, Inc., Class A*		23,318		484

Bridgford Foods Corp.*		1,032		19

Cadiz, Inc.*		11,353		113

Cal-Maine Foods, Inc.*		18,150		696

Calyxt, Inc.*		6,631		36

Celsius Holdings, Inc.*		20,212		459

Central Garden & Pet Co.*		5,601		224

Central Garden & Pet Co., Class A*		22,965		830

Clearwater Paper Corp.*		9,271		352

Coca-Cola Consolidated, Inc.		2,735		658

Craft Brew Alliance, Inc.*		6,729		111

Darling Ingredients, Inc.*		93,291		3,361

Edgewell Personal Care Co.*		31,586		881

elf Beauty, Inc.*		26,196		481

Farmer Bros. Co.*		9,438		42

Fresh Del Monte Produce, Inc.		17,891		410

Greenlane Holdings, Inc., Class A*		5,688		13

Helen of Troy Ltd.*		14,670		2,839

Hostess Brands, Inc.*		71,359		880

Inter Parfums, Inc.		10,314		385

J&J Snack Foods Corp.		8,671		1,131

John B. Sanfilippo & Son, Inc.		5,195		392

Lancaster Colony Corp.		10,974		1,962

Landec Corp.*		14,756		143

Limoneira Co.		9,550		137

MGP Ingredients, Inc.		7,346		292

Nathan’s Famous, Inc.		1,596		82

National Beverage Corp.*		6,902		469

NewAge, Inc.*		53,669		93

Primo Water Corp.		90,588		1,286

Quanex Building Products Corp.		19,030		351

Revlon, Inc., Class A*		3,467		22

Sanderson Farms, Inc.		11,686		1,379

Seneca Foods Corp., Class A*		3,765		134

Simply Good Foods (The) Co.*		49,364		1,088


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Consumer Products – 2.3% continued

Tejon Ranch Co.*		12,428		$176

Tootsie Roll Industries, Inc.		9,465		292

Turning Point Brands, Inc.		6,907		193

Universal Corp.		14,033		588

Vector Group Ltd.		80,891		784

Vital Farms, Inc.*		5,986		243

				25,624

Consumer Services – 0.8%

Aaron’s, Inc.		39,110		2,216

Adtalem Global Education, Inc.*		30,209		741

American Public Education, Inc.*		8,482		239

Aspen Group, Inc.*		10,616		118

Carriage Services, Inc.		9,749		217

K12, Inc.*		23,269		613

Laureate Education, Inc., Class A*		62,758		833

Medifast, Inc.		6,548		1,077

Perdoceo Education Corp.*		40,016		490

Regis Corp.*		13,144		81

Rent-A-Center, Inc.		28,060		839

Strategic Education, Inc.		14,006		1,281

Universal Technical Institute, Inc.*		16,514		84

WW International, Inc.*		27,710		523

				9,352

Containers & Packaging – 0.3%

Greif, Inc., Class A		14,940		541

Greif, Inc., Class B		3,577		141

Matthews International Corp., Class A		17,910		401

Myers Industries, Inc.		21,132		280

O-I Glass, Inc.		90,781		961

TriMas Corp.*		25,354		578

UFP Technologies, Inc.*		3,988		165

				3,067

Design, Manufacturing & Distribution – 0.4%

Benchmark Electronics, Inc.		21,004		423

Fabrinet*		21,300		1,343

Plexus Corp.*		16,639		1,175

Sanmina Corp.*		38,966		1,054

				3,995

Distributors - Consumer Staples – 0.5%

Andersons (The), Inc.		17,935		344

Calavo Growers, Inc.		9,637		639

Chefs’ Warehouse (The), Inc.*		17,575		255

Core-Mark Holding Co., Inc.		25,862		748


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Distributors - Consumer Staples – 0.5% continued

HF Foods Group, Inc.*		20,279		$134

Performance Food Group Co.*		76,045		2,633

United Natural Foods, Inc.*		31,174		464

				5,217

Distributors - Discretionary – 0.2%

ePlus, Inc.*		7,787		570

G-III Apparel Group Ltd.*		25,316		332

KAR Auction Services, Inc.		74,841		1,078

PC Connection, Inc.		6,368		261

ScanSource, Inc.*		14,927		296

Veritiv Corp.*		7,343		93

				2,630

Electrical Equipment – 1.8%

AAON, Inc.		23,815		1,435

Advanced Energy Industries, Inc.*		22,031		1,387

Alarm.com Holdings, Inc.*		27,565		1,523

Allied Motion Technologies, Inc.		4,282		177

API Group Corp.*		81,178		1,155

Argan, Inc.		8,484		356

Atkore International Group, Inc.*		27,636		628

Badger Meter, Inc.		16,921		1,106

Bel Fuse, Inc., Class B		5,685		61

Belden, Inc.		25,647		798

Bloom Energy Corp., Class A*		51,433		924

Chase Corp.		4,336		414

CompX International, Inc.		879		13

CyberOptics Corp.*		4,018		128

FARO Technologies, Inc.*		10,439		637

IntriCon Corp.*		5,218		64

Itron, Inc.*		23,272		1,413

Kimball Electronics, Inc.*		13,985		162

LSI Industries, Inc.		14,670		99

Mesa Laboratories, Inc.		2,753		701

Napco Security Technologies, Inc.*		6,956		163

NL Industries, Inc.		6,041		26

nLight, Inc.*		20,319		477

Novanta, Inc.*		19,859		2,092

Orion Energy Systems, Inc.*		15,247		115

OSI Systems,Inc.*		9,772		758

Powell Industries, Inc.		4,943		119

Preformed Line Products Co.		1,684		82

Research Frontiers, Inc.*		15,206		41

SMART Global Holdings, Inc.*		8,235		225


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Electrical Equipment – 1.8% continued

SPX Corp.*		24,924		$1,156

Stoneridge, Inc.*		15,062		277

Transcat, Inc.*		3,996		117

Watts Water Technologies, Inc., Class A		15,889		1,591

Wrap Technologies, Inc.*		6,473		44

				20,464

Engineering & Construction Services – 2.0%

Aegion Corp.*		17,464		247

Arcosa, Inc.		28,137		1,241

Comfort Systems U.S.A., Inc.		20,806		1,072

Concrete Pumping Holdings, Inc.*		14,460		52

Construction Partners, Inc., Class A*		15,250		278

Dycom Industries, Inc.*		17,812		941

EMCOR Group, Inc.		31,501		2,133

Exponent, Inc.		29,761		2,144

Fluor Corp.		82,162		724

Granite Construction, Inc.		27,165		478

Great Lakes Dredge & Dock Corp.*		36,350		346

IES Holdings, Inc.*		4,831		153

Installed Building Products, Inc.*		13,256		1,349

Iteris, Inc.*		23,018		94

KBR, Inc.		82,617		1,847

Kratos Defense & Security Solutions, Inc.*		70,437		1,358

MasTec, Inc.*		32,876		1,387

Mistras Group, Inc.*		10,210		40

MYR Group, Inc.*		9,595		357

Primoris Services Corp.		28,256		510

Sterling Construction Co., Inc.*		16,210		229

TopBuild Corp.*		19,190		3,275

Tutor Perini Corp.*		23,720		264

WillScot Mobile Mini Holdings Corp.*		92,947		1,550

				22,069

Forest & Paper Products – 0.2%

Domtar Corp.		31,948		839

Neenah, Inc.		9,843		369

P.H. Glatfelter Co.		25,845		356

Schweitzer-Mauduit International, Inc.		17,978		546

Verso Corp., Class A		18,003		142

				2,252

Gaming, Lodging & Restaurants – 3.7%

Accel Entertainment, Inc.*		25,797		276

BBX Capital Corp.*		7,483		100


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Gaming, Lodging & Restaurants – 3.7% continued

Biglari Holdings, Inc., Class A*		49		$24

Biglari Holdings, Inc., Class B*		486		43

BJ’s Restaurants, Inc.		12,840		378

Bloomin’ Brands, Inc.		50,581		772

Bluegreen Vacations Corp.		2,533		12

Boyd Gaming Corp.		47,185		1,448

Brinker International, Inc.		26,031		1,112

Caesars Entertainment, Inc.*		80,696		4,524

Cannae Holdings, Inc.*		50,085		1,866

Carrols Restaurant Group, Inc.*		20,287		131

Century Casinos, Inc.*		14,726		81

Cheesecake Factory (The), Inc.		24,395		677

Churchill Downs, Inc.		22,047		3,612

Chuy’s Holdings, Inc.*		11,464		224

Cracker Barrel Old Country Store, Inc.		13,770		1,579

Dave & Buster’s Entertainment, Inc.		25,722		390

Del Taco Restaurants, Inc.*		16,983		139

Denny’s Corp.*		36,254		363

Dine Brands Global, Inc.		8,915		487

El Pollo Loco Holdings, Inc.*		10,118		164

Everi Holdings, Inc.*		48,036		396

Fiesta Restaurant Group, Inc.*		10,253		96

GAN Ltd.*		4,235		72

Golden Entertainment, Inc.*		9,614		133

Hilton Grand Vacations, Inc.*		49,518		1,039

International Game Technology PLC		57,614		641

Jack in the Box, Inc.		13,155		1,043

Kura Sushi U.S.A., Inc., Class A*		1,478		19

Lindblad Expeditions Holdings, Inc.*		14,703		125

Marriott Vacations Worldwide Corp.		23,500		2,134

Monarch Casino & Resort, Inc.*		7,214		322

Noodles & Co.*		17,837		123

Papa John’s International, Inc.		18,990		1,563

Penn National Gaming, Inc.*		88,228		6,414

Red Robin Gourmet Burgers, Inc.*		8,315		109

Red Rock Resorts, Inc., Class A		38,541		659

Ruth’s Hospitality Group, Inc.		18,924		209

Scientific Games Corp.*		33,157		1,158

Shake Shack, Inc., Class A*		20,405		1,316

Target Hospitality Corp.*		17,409		21

Texas Roadhouse, Inc.		38,151		2,319

Twin River Worldwide Holdings, Inc.		10,749		282


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Gaming, Lodging & Restaurants – 3.7% continued

Waitr Holdings, Inc.*		48,598		$157

Wingstop, Inc.		17,195		2,350

				41,102

Hardware – 1.8%

3D Systems Corp.*		66,487		326

A10 Networks, Inc.*		35,205		224

Acacia Communications, Inc.*		22,580		1,522

ADTRAN, Inc.		27,512		282

Akoustis Technologies, Inc.*		18,137		148

Anterix, Inc.*		6,356		208

Applied Optoelectronics, Inc.*		12,619		142

Arlo Technologies, Inc.*		47,103		248

CalAmp Corp.*		19,202		138

Casa Systems, Inc.*		18,152		73

Clearfield, Inc.*		6,234		126

Comtech Telecommunications Corp.		14,352		201

Cubic Corp.		18,359		1,068

Daktronics, Inc.		22,337		88

Diebold Nixdorf, Inc.*		40,002		305

Digimarc Corp.*		7,048		157

DZS, Inc.*		6,846		64

ExOne (The) Co.*		6,389		78

Extreme Networks, Inc.*		69,319		279

Fitbit, Inc., Class A*		141,670		986

GoPro, Inc., Class A*		76,580		347

Harmonic, Inc.*		54,272		303

Infinera Corp.*		93,452		576

Inseego Corp.*		40,275		415

InterDigital, Inc.		17,875		1,020

Knowles Corp.*		51,477		767

Luna Innovations, Inc.*		16,525		99

Maxar Technologies, Inc.		35,140		876

NETGEAR, Inc.*		17,099		527

NetScout Systems, Inc.*		40,346		881

PAR Technology Corp.*		9,177		372

PCTEL, Inc.*		10,118		57

Pitney Bowes, Inc.		101,000		536

Plantronics, Inc.		19,281		228

PlayAGS, Inc.*		15,726		56

Powerfleet, Inc.*		15,555		87

Quantum Corp.*		16,667		77

Resonant, Inc.*		28,098		67

Ribbon Communications, Inc.*		38,928		151

Sonos, Inc.*		46,683		709


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Hardware – 1.8% continued

Super Micro Computer, Inc.*		25,976		$686

TTM Technologies, Inc.*		57,626		657

Turtle Beach Corp.*		7,690		140

Universal Electronics, Inc.*		7,983		301

Viavi Solutions, Inc.*		132,804		1,558

Vicor Corp.*		11,166		868

Vishay Precision Group, Inc.*		7,016		178

Vocera Communications, Inc.*		18,454		537

VOXX International Corp.*		11,403		88

				19,827

Health Care Facilities & Services – 2.9%

Accolade, Inc.*		6,908		268

AdaptHealth Corp.*		14,766		322

Addus HomeCare Corp.*		8,066		762

American Renal Associates Holdings, Inc.*		8,923		62

Apollo Medical Holdings, Inc.*		11,462		206

Avalon GloboCare Corp.*		15,021		19

Brookdale Senior Living, Inc.*		107,103		272

Cellular Biomedicine Group, Inc.*		6,823		125

Community Health Systems, Inc.*		50,327		212

Covetrus, Inc.*		56,947		1,389

Eidos Therapeutics, Inc.*		6,501		328

Ensign Group (The), Inc.		29,658		1,692

Enzo Biochem, Inc.*		24,956		53

Evofem Biosciences, Inc.*		45,341		107

Five Star Senior Living, Inc.*		10,742		54

Fulgent Genetics, Inc.*		5,525		221

Hanger, Inc.*		21,785		345

HealthEquity, Inc.*		43,725		2,246

Independence Holding Co.		2,904		109

InfuSystem Holdings, Inc.*		8,293		106

Invitae Corp.*		67,025		2,906

Joint (The) Corp.*		7,653		133

LHC Group, Inc.*		17,608		3,743

Magellan Health, Inc.*		13,688		1,037

MEDNAX, Inc.*		43,228		704

Medpace Holdings, Inc.*		15,872		1,774

National HealthCare Corp.		7,204		449

NeoGenomics, Inc.*		60,114		2,218

OPKO Health, Inc.*		232,183		857

Option Care Health, Inc.*		25,513		341

Owens & Minor, Inc.		36,225		910

Patterson Cos., Inc.		49,199		1,186


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS -97.9% continued

Health Care Facilities & Services – 2.9% continued

Pennant Group (The), Inc.*		15,020		$579

Personalis, Inc.*		14,013		304

Progenity, Inc.*		2,114		19

Progyny, Inc.*		15,510		456

Providence Service (The) Corp.*		7,070		657

RadNet, Inc.*		25,556		392

Select Medical Holdings Corp.*		62,954		1,311

SI-BONE, Inc.*		14,487		344

Surgery Partners, Inc.*		13,439		294

Tenet Healthcare Corp.*		60,588		1,485

Tivity Health, Inc.*		25,581		359

Triple-S Management Corp., Class B*		13,043		233

U.S. Physical Therapy, Inc.		7,343		638

Vapotherm, Inc.*		11,554		335

Viemed Healthcare, Inc.*		19,649		170

				32,732

Home & Office Products – 2.3%

ACCO Brands Corp.		54,762		318

American Woodmark Corp.*		9,887		776

Beazer Homes U.S.A., Inc.*		16,879		223

Caesarstone Ltd.		12,876		126

Casper Sleep, Inc.*		15,307		110

Cavco Industries, Inc.*		5,328		961

Century Communities, Inc.*		17,136		725

Cornerstone Building Brands, Inc.*		25,794		206

Forestar Group, Inc.*		9,389		166

Green Brick Partners, Inc.*		13,868		223

Griffon Corp.		24,903		487

Hamilton Beach Brands Holding Co., Class A		4,214		82

Herman Miller, Inc.		34,229		1,032

HNI Corp.		24,847		780

Hooker Furniture Corp.		6,656		172

Interface, Inc.		32,991		202

iRobot Corp.*		16,000		1,214

JELD-WEN Holding, Inc.*		39,194		886

KB Home		51,161		1,964

Kimball International, Inc., Class B		21,412		226

Knoll, Inc.		29,097		351

LGI Homes, Inc.*		12,914		1,500

Lifetime Brands, Inc.		6,357		60

M/I Homes, Inc.*		16,308		751

Masonite International Corp.*		14,126		1,390

MDC Holdings, Inc.		29,418		1,386


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Home & Office Products – 2.3% continued

Meritage Homes Corp.*		21,532		$2,377

Patrick Industries, Inc.		13,019		749

PGT Innovations, Inc.*		33,067		579

Purple Innovation, Inc.*		12,829		319

Skyline Champion Corp.*		30,485		816

Steelcase, Inc., Class A		50,472		510

Taylor Morrison Home Corp.*		73,156		1,799

TRI Pointe Group, Inc.*		74,941		1,359

Tupperware Brands Corp.*		28,453		574

				25,399

Industrial Services – 0.9%

Alta Equipment Group, Inc.*		9,696		76

Applied Industrial Technologies, Inc.		22,318		1,230

CAI International, Inc.		9,406		259

DXP Enterprises, Inc.*		9,273		150

EVI Industries, Inc.*		3,045		81

H&E Equipment Services, Inc.		18,268		359

Herc Holdings, Inc.*		14,273		565

Nesco Holdings, Inc.*		7,432		31

Resideo Technologies, Inc.*		72,242		795

SiteOne Landscape Supply, Inc.*		25,473		3,106

Systemax, Inc.		7,031		168

Team, Inc.*		18,334		101

Textainer Group Holdings Ltd.*		30,615		433

Titan Machinery, Inc.*		10,954		145

Triton International Ltd.		28,920		1,176

VSE Corp.		5,378		165

WESCO International, Inc.*		28,423		1,251

				10,091

Institutional Financial Services – 0.5%

Amerant Bancorp, Inc.*		12,942		121

BGC Partners, Inc., Class A		180,073		432

Cowen, Inc., Class A		15,232		248

Greenhill & Co., Inc.		8,245		94

Houlihan Lokey, Inc.		29,724		1,755

Moelis & Co., Class A		30,702		1,079

Piper Sandler Cos.		10,170		742

PJT Partners, Inc., Class A		13,723		832

StoneX Group, Inc.*		9,622		492

				5,795

Insurance – 2.5%

Ambac Financial Group, Inc.*		25,867		330


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Insurance – 2.5% continued

American Equity Investment Life Holding Co.		52,492		$1,154

AMERISAFE, Inc.		11,191		642

Argo Group International Holdings Ltd.		18,663		643

BRP Group, Inc., Class A*		19,761		492

Citizens, Inc.*		28,167		156

CNO Financial Group, Inc.		81,683		1,310

Crawford & Co., Class A		8,545		56

Donegal Group, Inc., Class A		6,033		85

eHealth, Inc.*		14,791		1,168

Employers Holdings, Inc.		16,687		505

Enstar Group Ltd.*		6,972		1,126

FBL Financial Group, Inc., Class A		5,683		274

FedNat Holding Co.		7,477		47

Genworth Financial, Inc., Class A*		292,757		981

Goosehead Insurance, Inc., Class A		7,532		652

Greenlight Capital Re Ltd., Class A*		16,067		108

GWG Holdings, Inc.*		1,314		11

HCI Group, Inc.		3,472		171

Heritage Insurance Holdings, Inc.		15,109		153

Horace Mann Educators Corp.		24,123		806

James River Group Holdings Ltd.		17,424		776

Kinsale Capital Group, Inc.		12,264		2,332

MBIA, Inc.*		30,939		188

National General Holdings Corp.		39,557		1,335

National Western Life Group, Inc., Class A		1,467		268

NI Holdings, Inc.*		5,597		95

NMI Holdings, Inc., Class A*		47,741		850

Palomar Holdings, Inc.*		11,751		1,225

ProAssurance Corp.		31,014		485

ProSight Global, Inc.*		5,061		57

Protective Insurance Corp., Class B		4,905		64

Radian Group, Inc.		111,131		1,624

RLI Corp.		22,963		1,923

Safety Insurance Group, Inc.		8,375		579

Security National Financial Corp., Class A*		5,475		35

Selective Insurance Group, Inc.		34,291		1,766

Selectquote, Inc.*		18,494		375

State Auto Financial Corp.		10,238		141

Third Point Reinsurance Ltd.*		46,050		320

Tiptree, Inc.		14,967		74

Trean Insurance Group, Inc.*		6,968		106


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Insurance – 2.5% continued

Trupanion, Inc.*		17,244		$1,361

United Fire Group, Inc.		11,957		243

United Insurance Holdings Corp.		11,596		70

Universal Insurance Holdings, Inc.		15,973		221

Vericity, Inc.		1,395		14

Watford Holdings Ltd.*		10,119		232

				27,629

Iron & Steel – 0.7%

Allegheny Technologies, Inc.*		73,104		637

Arch Resources, Inc.		8,694		369

Carpenter Technology Corp.		27,956		508

Cleveland-Cliffs, Inc.		229,497		1,473

Commercial Metals Co.		69,017		1,379

Northwest Pipe Co.*		5,621		149

Olympic Steel, Inc.		5,295		60

Ryerson Holding Corp.*		9,285		53

Schnitzer Steel Industries, Inc., Class A		14,802		285

SunCoke Energy, Inc.		47,288		162

TimkenSteel Corp.*		27,297		97

United States Steel Corp.		127,330		935

Warrior Met Coal, Inc.		29,632		506

Worthington Industries, Inc.		21,206		865

				7,478

Leisure Products – 0.8%

Acushnet Holdings Corp.		19,961		671

Callaway Golf Co.		54,176		1,037

Camping World Holdings, Inc., Class A		19,252		573

Clarus Corp.		13,511		191

Escalade, Inc.		5,997		110

Funko, Inc., Class A*		14,254		82

Johnson Outdoors, Inc., Class A		2,987		245

LCI Industries		14,268		1,516

Malibu Boats, Inc., Class A*		11,865		588

Marine Products Corp.		4,159		65

MasterCraft Boat Holdings, Inc.*		11,021		193

Nautilus, Inc.*		16,949		291

OneWater Marine, Inc., Class A*		2,620		54

Vista Outdoor, Inc.*		33,973		685

Winnebago Industries, Inc.		18,147		938

YETI Holdings, Inc.*		46,370		2,101

				9,340

Machinery – 2.1%

Alamo Group, Inc.		5,690		615


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Machinery – 2.1% continued

Albany International Corp., Class A		17,848		$884

Altra Industrial Motion Corp.		37,399		1,383

Astec Industries, Inc.		13,077		709

Cactus, Inc., Class A		28,037		538

CIRCOR International, Inc.*		11,749		321

Columbus McKinnon Corp.		13,288		440

CSW Industrials, Inc.		7,927		612

Douglas Dynamics, Inc.		13,251		453

Eastman Kodak Co.*		8,634		76

Enerpac Tool Group Corp.		31,555		594

Federal Signal Corp.		34,603		1,012

Franklin Electric Co., Inc.		26,689		1,570

Gencor Industries, Inc.*		5,124		56

Gorman-Rupp (The) Co.		10,556		311

Graham Corp.		6,074		78

Helios Technologies, Inc.		18,025		656

Hillenbrand, Inc.		42,884		1,216

Hurco Cos., Inc.		3,820		108

Hyster-Yale Materials Handling, Inc.		5,759		214

Ichor Holdings Ltd.*		12,668		273

Intevac, Inc.*		13,200		73

John Bean Technologies Corp.		18,166		1,669

Kadant, Inc.		6,683		733

Kennametal, Inc.		48,161		1,394

Lindsay Corp.		6,330		612

Luxfer Holdings PLC		16,295		204

Manitowoc (The) Co., Inc.*		19,940		168

MTS Systems Corp.		11,421		218

Mueller Water Products, Inc., Class A		90,907		945

NN, Inc.*		25,577		132

Ranpak Holdings Corp.*		16,579		158

Rexnord Corp.		70,735		2,111

SPX FLOW, Inc.*		24,683		1,057

Tennant Co.		10,704		646

Terex Corp.		39,339		762

Welbilt, Inc.*		76,217		469

				23,470

Manufactured Goods – 0.9%

AZZ, Inc.		15,370		524

Chart Industries, Inc.*		20,946		1,472

Eastern (The) Co.		3,233		63

EnPro Industries, Inc.		11,979		676

Gibraltar Industries, Inc.*		18,893		1,231

Insteel Industries, Inc.		10,590		198


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Manufactured Goods – 0.9% continued

L.B. Foster Co., Class A*		5,863		$79

Lawson Products, Inc.*		2,450		101

Mayville Engineering Co., Inc.*		4,554		42

Mueller Industries, Inc.		32,273		873

Omega Flex, Inc.		1,698		266

Park-Ohio Holdings Corp.		4,686		75

Proto Labs, Inc.*		15,513		2,009

Raven Industries, Inc.		20,482		441

RBC Bearings, Inc.*		14,298		1,733

Standex International Corp.		7,113		421

Tredegar Corp.		15,540		231

				10,435

Media – 1.6%

AMC Networks, Inc., Class A*		22,767		563

Boingo Wireless, Inc.*		25,110		256

Boston Omaha Corp., Class A*		6,986		112

Cargurus, Inc.*		50,149		1,085

Cars.com, Inc.*		39,698		321

Central European Media Enterprises Ltd., Class A*		51,001		214

DHI Group, Inc.*		29,635		67

Endurance International Group Holdings, Inc.*		39,141		225

Entercom Communications Corp., Class A		70,680		114

Entravision Communications Corp., Class A		34,384		52

Eros STX Global Corp.*		88,082		195

Eventbrite, Inc., Class A*		36,251		393

EverQuote, Inc., Class A*		8,020		310

EW Scripps (The) Co., Class A		32,886		376

Fluent, Inc.*		26,165		65

Gannett Co., Inc.		76,261		99

Gray Television, Inc.*		50,467		695

Groupon, Inc.*		13,482		275

HealthStream, Inc.*		14,736		296

Hemisphere Media Group, Inc.*		8,588		75

Houghton Mifflin Harcourt Co.*		62,457		108

iHeartMedia, Inc., Class A*		34,265		278

IMAX Corp.*		28,271		338

Liberty Latin America Ltd., Class A*		26,888		222

Liberty Latin America Ltd., Class C*		90,038		733

Liberty TripAdvisor Holdings, Inc., Class A*		40,526		70


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Media – 1.6% continued

LiveXLive Media, Inc.*		27,133		$70

Magnite, Inc.*		60,896		423

Meredith Corp.		22,560		296

MSG Networks, Inc., Class A*		22,793		218

National CineMedia, Inc.		34,082		92

QuinStreet, Inc.*		27,050		428

Quotient Technology, Inc.*		49,086		362

Saga Communications, Inc., Class A		2,271		45

Scholastic Corp.		16,717		351

Shutterstock, Inc.		12,712		661

Sinclair Broadcast Group, Inc., Class A		25,663		493

Stamps.com, Inc.*		9,864		2,377

TechTarget, Inc.*		13,585		597

TEGNA, Inc.		127,372		1,497

Tribune Publishing Co.		9,256		108

TrueCar, Inc.*		63,006		315

Tucows, Inc., Class A*		5,455		376

Upwork, Inc.*		54,121		944

WideOpenWest, Inc.*		29,951		155

Yelp, Inc.*		41,048		825

				18,170

Medical Equipment & Devices – 4.6%

Accelerate Diagnostics, Inc.*		17,398		185

Accuray, Inc.*		49,581		119

Acutus Medical, Inc.*		5,557		166

Alpha Pro Tech Ltd.*		7,002		103

Alphatec Holdings, Inc.*		25,407		169

AngioDynamics, Inc.*		21,405		258

Apyx Medical Corp.*		19,268		91

AtriCure, Inc.*		25,382		1,013

Atrion Corp.		814		510

Avanos Medical, Inc.*		27,658		919

Axogen, Inc.*		21,509		250

Axonics Modulation Technologies, Inc.*		17,563		896

Bellerophon Therapeutics, Inc.*		1,979		20

BioLife Solutions, Inc.*		8,217		238

BioSig Technologies, Inc.*		15,203		75

BioTelemetry, Inc.*		19,488		888

Cantel Medical Corp.		22,018		967

Cardiovascular Systems, Inc.*		22,494		885

CareDx, Inc.*		27,887		1,058

Castle Biosciences, Inc.*		6,859		353

Cerus Corp.*		95,144		596


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Medical Equipment & Devices – 4.6% continued

Chembio Diagnostics, Inc.*		11,210		$54

Co-Diagnostics, Inc.*		14,817		201

CONMED Corp.		15,773		1,241

CryoLife, Inc.*		21,425		396

Cutera, Inc.*		9,602		182

CytoSorbents Corp.*		24,722		197

Electromed, Inc.*		3,991		42

Fluidigm Corp.*		41,630		309

FONAR Corp.*		3,602		75

GenMark Diagnostics, Inc.*		40,858		580

Glaukos Corp.*		24,720		1,224

Harvard Bioscience, Inc.*		21,574		65

iCAD, Inc.*		11,501		101

Inari Medical, Inc.*		4,422		305

Inogen, Inc.*		10,869		315

Inspire Medical Systems, Inc.*		15,193		1,961

Integer Holdings Corp.*		18,978		1,120

Invacare Corp.		18,995		143

iRadimed Corp.*		3,303		71

iRhythm Technologies, Inc.*		15,912		3,789

Lantheus Holdings, Inc.*		38,315		485

LeMaitre Vascular, Inc.		9,689		315

LivaNova PLC*		28,366		1,282

Luminex Corp.		24,819		651

Meridian Bioscience, Inc.*		24,575		417

Merit Medical Systems,Inc.*		31,428		1,367

Milestone Scientific, Inc.*		20,125		28

Misonix, Inc.*		8,182		96

Myriad Genetics, Inc.*		41,737		544

NanoString Technologies, Inc.*		21,945		981

Natera, Inc.*		41,074		2,967

Natus Medical, Inc.*		19,148		328

Nemaura Medical, Inc.*		3,823		14

Neogen Corp.*		30,628		2,397

Nevro Corp.*		19,492		2,715

NuVasive, Inc.*		29,833		1,449

Nymox Pharmaceutical Corp.*		22,645		56

OraSure Technologies, Inc.*		41,238		502

Orthofix Medical, Inc.*		10,638		331

OrthoPediatrics Corp.*		7,609		349

Pacific Biosciences of California, Inc.*		96,923		957

PAVmed, Inc.*		20,402		36

Precision BioSciences, Inc.*		26,062		161

Pulse Biosciences, Inc.*		7,809		92


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Medical Equipment & Devices – 4.6% continued

Quanterix Corp.*		12,291		$415

Quotient Ltd.*		34,557		178

Repro-Med Systems, Inc.*		16,200		117

Retractable Technologies, Inc.*		7,646		51

SeaSpine Holdings Corp.*		14,938		214

Shockwave Medical, Inc.*		16,516		1,252

Sientra, Inc.*		26,345		90

Silk Road Medical, Inc.*		15,618		1,050

Soleno Therapeutics, Inc.*		31,902		80

Soliton, Inc.*		4,794		37

STAAR Surgical Co.*		26,587		1,504

Stereotaxis, Inc.*		25,258		90

Surgalign Holdings, Inc.*		34,684		63

Surmodics, Inc.*		7,858		306

Tactile Systems Technology, Inc.*		10,632		389

Utah Medical Products, Inc.		1,972		157

Varex Imaging Corp.*		21,445		273

Venus Concept, Inc.*		10,332		24

Veracyte, Inc.*		33,359		1,084

Vericel Corp.*		25,973		481

ViewRay, Inc.*		65,505		229

Wright Medical Group N.V.*		74,695		2,281

Zynex, Inc.*		10,812		189

				51,204

Metals & Mining – 0.9%

Alcoa Corp.*		108,605		1,263

A-Mark Precious Metals, Inc.		2,820		95

Arconic Corp.*		57,686		1,099

Caledonia Mining Corp. PLC		6,364		108

Century Aluminum Co.*		29,581		211

Coeur Mining, Inc.*		140,443		1,036

Compass Minerals International, Inc.		19,781		1,174

Encore Wire Corp.		11,893		552

Energy Fuels, Inc.*		75,893		127

Ferroglobe Representation & Warranty

Insurance Trust⁽¹⁾*		38,340		—

Gold Resource Corp.		38,186		130

Hecla Mining Co.		302,662		1,538

Kaiser Aluminum Corp.		9,179		492

Livent Corp.*		85,628		768

Novagold Resources, Inc.*		137,910		1,640

Uranium Energy Corp.*		105,873		106

				10,339


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Oil, Gas & Coal – 1.6%

Adams Resources & Energy, Inc.		1,205		$24

Advanced Emissions Solutions, Inc.		9,652		39

Antero Resources Corp.*		142,268		391

Archrock, Inc.		76,265		410

Berry Corp.		39,082		124

Bonanza Creek Energy, Inc.*		11,091		209

Brigham Minerals, Inc., Class A		19,901		178

ChampionX Corp.*		107,762		861

Clean Energy Fuels Corp.*		76,116		189

CNX Resources Corp.*		129,058		1,218

Comstock Resources, Inc.*		14,110		62

CONSOL Energy, Inc.*		15,043		67

Contango Oil & Gas Co.*		50,744		68

CVR Energy, Inc.		16,967		210

Delek U.S. Holdings, Inc.		36,616		408

DMC Global, Inc.		8,242		271

Dril-Quip, Inc.*		20,451		506

Earthstone Energy, Inc., Class A*		14,084		36

Evolution Petroleum Corp.		14,092		32

Exterran Corp.*		15,908		66

Falcon Minerals Corp.		22,962		56

Frank’s International N.V.*		88,047		136

Goodrich Petroleum Corp.*		5,580		43

Gulfport Energy Corp.*		92,042		49

Helix Energy Solutions Group, Inc.*		83,884		202

Kosmos Energy Ltd.		238,725		233

Liberty Oilfield Services, Inc., Class A		37,833		302

Magnolia Oil & Gas Corp., Class A*		72,002		372

Matador Resources Co.*		63,531		525

Matrix Service Co.*		14,469		121

Montage Resources Corp.*		12,151		53

MRC Global, Inc.*		45,622		195

Murphy U.S.A., Inc.*		15,981		2,050

Nabors Industries Ltd.		4,271		104

NACCO Industries, Inc., Class A		2,336		43

National Energy Services Reunited Corp.*		11,905		76

Newpark Resources, Inc.*		51,679		54

NextDecade Corp.*		14,833		44

NexTier Oilfield Solutions, Inc.*		93,712		173

NOW, Inc.*		63,146		287

Oceaneering International, Inc.*		58,720		207

Oil States International, Inc.*		35,122		96

Ovintiv, Inc.		151,855		1,239


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Oil, Gas & Coal – 1.6% continued

Par Pacific Holdings, Inc.*		22,633		$153

Patterson-UTI Energy, Inc.		108,087		308

PBF Energy, Inc., Class A		56,743		323

PDC Energy, Inc.*		57,554		713

Peabody Energy Corp.		37,457		86

Penn Virginia Corp.*		7,907		78

PrimeEnergy Resources Corp.*		304		20

ProPetro Holding Corp.*		46,725		190

Range Resources Corp.		124,154		822

RPC, Inc.*		33,757		89

Select Energy Services, Inc., Class A*		34,807		134

SM Energy Co.		63,169		100

Solaris Oilfield Infrastructure, Inc., Class A		16,064		102

Southwestern Energy Co.*		347,563		817

Talos Energy, Inc.*		6,105		39

Tellurian, Inc.*		102,884		82

Thermon Group Holdings, Inc.*		18,593		209

Tidewater, Inc.*		22,617		152

Transocean Ltd.*		342,389		276

U.S. Silica Holdings, Inc.		43,229		130

W&T Offshore, Inc.*		53,168		96

Whiting Petroleum Corp.*		717		12

World Fuel Services Corp.		36,438		772

				17,732

Passenger Transportation – 0.3%

Allegiant Travel Co.		7,573		907

Bristow Group, Inc.*		3,911		83

Hawaiian Holdings, Inc.		26,145		337

Mesa Air Group, Inc.*		18,993		56

SkyWest, Inc.		28,568		853

Spirit Airlines, Inc.*		51,687		832

Universal Logistics Holdings, Inc.		4,732		99

				3,167

Real Estate – 0.7%

American Realty Investors, Inc.*		1,627		15

CTO Realty Growth, Inc.		2,874		127

Cushman & Wakefield PLC*		64,561		679

eXp World Holdings, Inc.*		13,988		564

Fathom Holdings, Inc.*		3,089		49

FRP Holdings, Inc.*		3,968		165

Griffin Industrial Realty, Inc.		1,491		80

Legacy Housing Corp.*		4,741		65

Marcus & Millichap, Inc.*		13,561		373


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Real Estate – 0.7% continued

Maui Land & Pineapple Co., Inc.*		3,569		$39

McGrath RentCorp		14,068		838

Newmark Group, Inc., Class A		81,725		353

RE/MAX Holdings, Inc., Class A		10,159		332

Realogy Holdings Corp.*		66,768		630

Redfin Corp.*		56,238		2,808

RMR Group (The), Inc., Class A		8,675		238

St. Joe (The) Co.*		18,946		391

Stratus Properties, Inc.*		3,302		71

				7,817

Real Estate Investment Trusts – 7.0%

Acadia Realty Trust		48,854		513

Agree Realty Corp.		30,825		1,962

Alexander & Baldwin, Inc.		42,780		480

Alexander’s, Inc.		1,244		305

Alpine Income Property Trust, Inc.		3,865		60

American Assets Trust, Inc.		29,478		710

American Finance Trust, Inc.		62,463		392

Anworth Mortgage Asset Corp.		56,397		92

Apollo Commercial Real Estate Finance, Inc.		86,478		779

Arbor Realty Trust, Inc.		61,648		707

Ares Commercial Real Estate Corp.		18,086		165

Arlington Asset Investment Corp., Class A		20,678		59

Armada Hoffler Properties, Inc.		32,678		303

ARMOUR Residential REIT, Inc.		36,475		347

Blackstone Mortgage Trust, Inc., Class A		80,137		1,761

Bluerock Residential Growth REIT, Inc.		13,686		104

BRT Apartments Corp.		5,693		67

Capstead Mortgage Corp.		56,662		318

CareTrust REIT, Inc.		55,433		986

CatchMark Timber Trust, Inc., Class A		28,231		252

Chatham Lodging Trust		27,812		212

Cherry Hill Mortgage Investment Corp.		7,946		71

Chimera Investment Corp.		111,837		917

CIM Commercial Trust Corp.		5,844		58

City Office REIT, Inc.		26,892		202

Clipper Realty, Inc.		8,496		51

Colony Capital, Inc.		278,608		761

Colony Credit Real Estate, Inc.		48,139		236

Columbia Property Trust, Inc.		66,381		724

Community Healthcare Trust, Inc.		12,372		579


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Real Estate Investment Trusts – 7.0% continued

CoreCivic, Inc.		70,136		$561

CorEnergy Infrastructure Trust, Inc.		7,668		45

CorePoint Lodging, Inc.		23,382		127

DiamondRock Hospitality Co.		116,958		593

Diversified Healthcare Trust		138,789		489

Dynex Capital, Inc.		12,663		193

Easterly Government Properties, Inc.		46,390		1,040

EastGroup Properties, Inc.		22,412		2,899

Ellington Financial, Inc.		23,895		293

Ellington Residential Mortgage REIT		5,165		57

Essential Properties Realty Trust, Inc.		53,273		976

Farmland Partners, Inc.		15,777		105

Four Corners Property Trust, Inc.		40,796		1,044

Franklin Street Properties Corp.		59,149		216

Front Yard Residential Corp.		29,801		260

GEO Group (The), Inc.		68,883		781

Getty Realty Corp.		19,886		517

Gladstone Commercial Corp.		19,268		325

Gladstone Land Corp.		10,953		165

Global Medical REIT, Inc.		24,693		333

Global Net Lease, Inc.		52,002		827

Granite Point Mortgage Trust, Inc.		30,932		219

Great Ajax Corp.		11,772		98

Hannon Armstrong Sustainable Infrastructure Capital, Inc.		42,084		1,779

Healthcare Realty Trust, Inc.		78,403		2,362

Hersha Hospitality Trust		20,869		116

Independence Realty Trust, Inc.		55,602		644

Industrial Logistics Properties Trust		37,489		820

Innovative Industrial Properties, Inc.		12,331		1,530

Invesco Mortgage Capital, Inc.		105,862		287

Investors Real Estate Trust		7,450		486

iStar, Inc.		42,276		499

Jernigan Capital, Inc.		12,618		216

Kite Realty Group Trust		48,561		562

KKR Real Estate Finance Trust, Inc.		16,336		270

Ladder Capital Corp.		61,774		440

Lexington Realty Trust		158,572		1,657

LTC Properties, Inc.		22,520		785

Macerich (The) Co.		86,930		590

Mack-Cali Realty Corp.		50,355		635

MFA Financial, Inc.		264,930		710

Monmouth Real Estate Investment Corp.		55,491		769

National Health Investors, Inc.		24,957		1,504


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Real Estate Investment Trusts – 7.0% continued

National Storage Affiliates Trust		36,503		$1,194

NETSTREIT Corp.		6,979		127

New Senior Investment Group, Inc.		46,735		187

New York Mortgage Trust, Inc.		217,807		555

NexPoint Residential Trust, Inc.		12,599		559

Office Properties Income Trust		27,891		578

One Liberty Properties, Inc.		9,263		152

Orchid Island Capital, Inc.		38,008		190

Pebblebrook Hotel Trust		75,540		947

PennyMac Mortgage Investment Trust		57,603		926

Physicians Realty Trust		120,937		2,166

Piedmont Office Realty Trust, Inc., Class A		73,010		991

Plymouth Industrial REIT, Inc.		8,424		104

PotlatchDeltic Corp.		37,991		1,599

Preferred Apartment Communities, Inc., Class A		28,071		152

PS Business Parks, Inc.		11,653		1,426

QTS Realty Trust, Inc., Class A		35,503		2,237

Ready Capital Corp.		24,541		275

Redwood Trust, Inc.		65,839		495

Retail Opportunity Investments Corp.		66,679		694

Retail Properties of America, Inc., Class A		125,328		728

Retail Value, Inc.		9,428		119

RLJ Lodging Trust		95,258		825

RPT Realty		46,654		254

Ryman Hospitality Properties, Inc.		29,281		1,078

Sabra Health Care REIT, Inc.		119,185		1,643

Safehold, Inc.		10,193		633

Saul Centers, Inc.		6,657		177

Seritage Growth Properties, Class A*		19,366		260

Service Properties Trust		95,703		761

SITE Centers Corp.		89,631		645

STAG Industrial, Inc.		86,898		2,650

Summit Hotel Properties, Inc.		59,046		306

Sunstone Hotel Investors, Inc.		124,742		990

Tanger Factory Outlet Centers, Inc.		53,915		325

Terreno Realty Corp.		38,677		2,118

TPG RE Finance Trust, Inc.		34,281		290

Transcontinental Realty Investors, Inc.*		612		15

Two Harbors Investment Corp.		159,739		813

UMH Properties, Inc.		21,589		292

Uniti Group, Inc.		112,131		1,181


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Real Estate Investment Trusts – 7.0% continued

Universal Health Realty Income Trust		7,511		$428

Urban Edge Properties		68,036		661

Urstadt Biddle Properties, Inc., Class A		16,472		152

Washington Real Estate Investment Trust		47,790		962

Western Asset Mortgage Capital Corp.		30,450		62

Whitestone REIT		23,255		140

Xenia Hotels & Resorts, Inc.		66,343		583

				77,642

Recreational Facilities & Services – 0.2%

AMC Entertainment Holdings, Inc., Class A		29,295		138

Cinemark Holdings, Inc.		62,488		625

Liberty Media Corp.-Liberty Braves, Class A*		5,887		123

Liberty Media Corp.-Liberty Braves, Class C*		21,516		452

Marcus (The) Corp.		12,892		99

OneSpaWorld Holdings Ltd.		26,736		174

RCI Hospitality Holdings, Inc.		4,998		102

SeaWorld Entertainment, Inc.*		29,857		589

				2,302

Renewable Energy – 1.4%

Ameresco, Inc., Class A*		14,422		482

American Superconductor Corp.*		12,664		183

EnerSys		24,523		1,646

FuelCell Energy, Inc.*		126,133		270

FutureFuel Corp.		15,255		173

Green Plains, Inc.*		19,878		308

Maxeon Solar Technologies Ltd.*		5,532		94

Plug Power, Inc.*		197,751		2,652

Renewable Energy Group, Inc.*		22,166		1,184

REX American Resources Corp.*		3,264		214

Sunnova Energy International, Inc.*		30,810		937

SunPower Corp.*		44,259		554

Sunrun, Inc.*		69,028		5,320

TPI Composites, Inc.*		17,788		515

Ultralife Corp.*		5,150		30

Vivint Solar, Inc.*		28,537		1,209

				15,771

Retail - Consumer Staples – 0.6%

Big Lots, Inc.		22,743		1,014

BJ’s Wholesale Club Holdings, Inc.*		79,454		3,301

Ingles Markets, Inc., Class A		8,344		317


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Retail - Consumer Staples – 0.6% continued

Natural Grocers by Vitamin Cottage, Inc.		5,729		$57

OptimizeRx Corp.*		8,606		179

PriceSmart, Inc.		13,251		881

Rite Aid Corp.*		31,376		298

SpartanNash Co.		20,886		341

Village Super Market, Inc., Class A		4,614		114

Weis Markets, Inc.		5,627		270

				6,772

Retail - Discretionary – 3.7%

1-800-Flowers.com, Inc., Class A*		14,367		358

Abercrombie & Fitch Co., Class A		36,205		504

American Eagle Outfitters, Inc.		87,461		1,295

America’s Car-Mart, Inc.*		3,676		312

Asbury Automotive Group, Inc.*		11,153		1,087

Aspen Aerogels, Inc.*		11,652		128

At Home Group, Inc.*		31,053		461

Avis Budget Group, Inc.*		30,669		807

Beacon Roofing Supply, Inc.*		31,630		983

Bed Bath & Beyond, Inc.		73,913		1,107

BMC Stock Holdings, Inc.*		39,010		1,671

Boot Barn Holdings, Inc.*		16,774		472

Buckle (The), Inc.		17,264		352

Builders FirstSource, Inc.*		67,087		2,188

Caleres, Inc.		22,371		214

CarParts.com, Inc.*		12,113		131

Cato (The) Corp., Class A		12,441		97

Chico’s FAS,Inc.		71,503		70

Children’s Place (The), Inc.		8,032		228

Citi Trends, Inc.		6,259		156

Conn’s, Inc.*		10,420		110

Container Store Group (The), Inc.*		12,017		75

Designer Brands, Inc., Class A		35,573		193

Dillard’s, Inc., Class A		4,312		158

Duluth Holdings, Inc., Class B*		6,331		77

Envela Corp.*		4,535		19

Ethan Allen Interiors, Inc.		13,189		179

Express, Inc.*		38,462		23

Foundation Building Materials, Inc.*		11,648		183

Freshpet, Inc.*		22,442		2,506

Gaia, Inc.*		7,560		74

GameStop Corp., Class A*		32,745		334

Genesco, Inc.*		8,221		177

GMS, Inc.*		24,380		588


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Retail - Discretionary – 3.7% continued

Group 1 Automotive, Inc.		10,073		$890

GrowGeneration Corp.*		21,034		336

Guess?, Inc.		24,880		289

Haverty Furniture Cos., Inc.		9,901		207

Hertz Global Holdings, Inc.*		90,748		101

Hibbett Sports, Inc.*		9,719		381

Hudson Ltd., Class A*		22,930		174

Lands’ End, Inc.*		7,281		95

La-Z-Boy, Inc.		26,026		823

Liquidity Services, Inc.*		15,514		116

Lithia Motors, Inc., Class A		12,935		2,948

Lovesac (The) Co.*		5,687		158

Lumber Liquidators Holdings, Inc.*		16,653		367

Macy’s, Inc.		180,941		1,031

MarineMax, Inc.*		11,923		306

Michaels (The) Cos., Inc.*		43,970		425

Monro, Inc.		19,262		781

National Vision Holdings, Inc.*		46,674		1,785

ODP (The) Corp.		30,618		596

Overstock.com, Inc.*		24,748		1,798

PetIQ, Inc.*		12,208		402

PetMed Express, Inc.		11,442		362

RealReal (The), Inc.*		36,490		528

RH*		9,019		3,451

Rush Enterprises, Inc., Class A		15,772		797

Rush Enterprises, Inc., Class B		2,455		109

Sally Beauty Holdings, Inc.*		65,821		572

Shoe Carnival, Inc.		5,499		185

Signet Jewelers Ltd.		30,567		572

Sleep Number Corp.*		15,801		773

Sonic Automotive, Inc., Class A		13,826		555

Sportsman’s Warehouse Holdings, Inc.*		24,934		357

Stitch Fix, Inc., Class A*		32,648		886

Tilly’s, Inc., Class A		12,267		74

Vera Bradley, Inc.*		10,613		65

Winmark Corp.		1,684		290

Zumiez, Inc.*		11,974		333

				41,235

Semiconductors – 2.7%

Alpha & Omega Semiconductor Ltd.*		12,095		155

Ambarella, Inc.*		19,236		1,004

Amkor Technology, Inc.*		58,246		652

Atomera, Inc.*		9,719		102


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Semiconductors – 2.7% continued

Axcelis Technologies, Inc.*		19,517		$429

AXT, Inc.*		22,111		135

Brooks Automation, Inc.		42,158		1,950

CEVA, Inc.*		12,602		496

CMC Materials, Inc.		16,847		2,406

Cohu, Inc.		23,901		411

CTS Corp.		18,510		408

Diodes, Inc.*		24,601		1,389

DSP Group, Inc.*		12,540		165

FormFactor, Inc.*		44,468		1,109

GSI Technology, Inc.*		10,140		57

II-VI, Inc.*		58,493		2,373

Impinj, Inc.*		9,691		255

Intellicheck, Inc.*		11,384		76

Lattice Semiconductor Corp.*		78,010		2,259

MACOM Technology Solutions Holdings, Inc.*		27,288		928

MaxLinear, Inc.*		39,048		907

NeoPhotonics Corp.*		27,542		168

NVE Corp.		2,754		135

Onto Innovation, Inc.*		27,570		821

Photronics, Inc.*		37,359		372

Pixelworks, Inc.*		21,446		44

Power Integrations, Inc.		34,199		1,895

Rambus, Inc.*		65,938		903

Semtech Corp.*		37,473		1,985

Silicon Laboratories, Inc.*		25,176		2,463

SiTime Corp.*		5,328		448

Synaptics, Inc.*		19,735		1,587

Ultra Clean Holdings, Inc.*		23,127		496

Veeco Instruments, Inc.*		28,852		337

Vishay Intertechnology, Inc.		77,203		1,202

				30,522

Software – 6.7%

1Life Healthcare, Inc.*		45,622		1,294

8x8, Inc.*		60,431		940

ACI Worldwide, Inc.*		66,449		1,736

Agilysys, Inc.*		10,371		251

Akerna Corp.*		5,042		18

Allscripts Healthcare Solutions, Inc.*		93,876		764

Altair Engineering, Inc., Class A*		24,480		1,028

American Software, Inc., Class A		17,338		243

Appfolio, Inc., Class A*		9,459		1,341

Appian Corp.*		20,661		1,338


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Software – 6.7% continued

Asure Software, Inc.*		7,621		$58

Avaya Holdings Corp.*		48,007		730

Avid Technology, Inc.*		18,247		156

Bandwidth, Inc., Class A*		11,133		1,943

Benefitfocus, Inc.*		17,086		191

Blackbaud, Inc.		28,691		1,602

Blackline, Inc.*		29,123		2,610

Bottomline Technologies DE, Inc.*		25,116		1,059

Box, Inc., Class A*		80,511		1,398

Brightcove, Inc.*		22,965		235

Calix, Inc.*		30,548		543

Cardlytics, Inc.*		15,071		1,064

Cerence, Inc.*		21,322		1,042

ChannelAdvisor Corp.*		15,686		227

Cloudera, Inc.*		118,905		1,295

CommVault Systems, Inc.*		24,328		993

Computer Programs and Systems, Inc.		7,267		201

Cornerstone OnDemand, Inc.*		35,209		1,280

Daily Journal Corp.*		644		156

Digi International, Inc.*		16,956		265

Digital Turbine, Inc.*		47,786		1,564

Domo, Inc., Class B*		14,971		574

Donnelley Financial Solutions, Inc.*		17,179		229

Ebix, Inc.		15,043		310

eGain Corp.*		12,265		174

Envestnet, Inc.*		30,795		2,376

Evolent Health, Inc., Class A*		44,136		548

Glu Mobile, Inc.*		84,782		651

GTY Technology Holdings, Inc.*		26,702		71

Health Catalyst, Inc.*		19,550		716

IBEX Ltd.*		2,139		33

Immersion Corp.*		9,861		70

Inovalon Holdings, Inc., Class A*		42,802		1,132

Intelligent Systems Corp.*		4,249		166

J2 Global, Inc.*		26,286		1,819

Limelight Networks, Inc.*		68,127		392

LivePerson, Inc.*		35,790		1,861

MicroStrategy, Inc., Class A*		4,479		674

Mimecast Ltd.*		33,222		1,559

Mitek Systems, Inc.*		23,569		300

MobileIron, Inc.*		55,728		391

Model N, Inc.*		19,935		703

NantHealth, Inc.*		15,483		36

NextGen Healthcare, Inc.*		32,241		411


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Software – 6.7% continued

Omnicell, Inc.*		24,659		$1,841

OneSpan, Inc.*		19,116		401

Ontrak, Inc.*		4,612		277

Park City Group, Inc.*		6,982		34

PDF Solutions, Inc.*		16,533		309

Phreesia, Inc.*		16,808		540

Ping Identity Holding Corp.*		21,249		663

Progress Software Corp.		26,129		958

PROS Holdings, Inc.*		22,939		733

Q2 Holdings, Inc.*		28,785		2,627

QAD, Inc., Class A		6,702		283

Qualys, Inc.*		19,745		1,935

Rapid7, Inc.*		29,232		1,790

Red Violet, Inc.*		3,693		68

Rosetta Stone, Inc.*		13,355		400

Sailpoint Technologies Holdings, Inc.*		51,076		2,021

Sapiens International Corp. N.V.		15,109		462

Schrodinger, Inc.*		16,935		805

SeaChange International, Inc.*		17,194		15

SecureWorks Corp., Class A*		4,725		54

Simulations Plus, Inc.		8,180		616

Smith Micro Software, Inc.*		19,081		71

Sprout Social, Inc., Class A*		15,832		610

SPS Commerce, Inc.*		20,369		1,586

SVMK, Inc.*		70,347		1,555

SWK Holdings Corp.*		2,015		28

Synchronoss Technologies, Inc.*		22,682		68

Tabula Rasa HealthCare, Inc.*		12,014		490

Tenable Holdings, Inc.*		40,627		1,534

Upland Software, Inc.*		15,135		571

Varonis Systems, Inc.*		18,084		2,087

Verint Systems, Inc.*		37,205		1,793

Veritone, Inc.*		13,119		120

Verra Mobility Corp.*		78,057		754

VirnetX Holding Corp.		37,011		195

Workiva, Inc.*		22,721		1,267

Xperi Holding Corp.		62,602		719

Yext, Inc.*		58,737		892

Zuora, Inc., Class A*		57,476		594

				74,527

Specialty Finance – 1.7%

Altisource Portfolio Solutions S.A.*		2,248		28

Atlanticus Holdings Corp.*		2,898		35

Broadmark Realty Capital, Inc.		75,099		740


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Specialty Finance – 1.7% continued

Cardtronics PLC, Class A*		21,264		$421

Cass Information Systems, Inc.		8,534		343

Curo Group Holdings Corp.		10,435		74

Encore Capital Group, Inc.*		18,089		698

Enova International, Inc.*		16,743		274

Essent Group Ltd.		64,007		2,369

Evo Payments, Inc., Class A*		23,930		595

EZCORP, Inc., Class A*		29,398		148

Federal Agricultural Mortgage Corp., Class C		5,249		334

FirstCash, Inc.		23,582		1,349

GATX Corp.		20,160		1,285

General Finance Corp.*		5,844		37

Green Dot Corp., Class A*		29,533		1,495

GreenSky, Inc., Class A*		35,464		157

I3 Verticals, Inc., Class A*		8,549		216

International Money Express, Inc.*		13,701		197

Investors Title Co.		711		92

LendingClub Corp.*		41,282		194

Marlin Business Services Corp.		4,756		34

MMA Capital Holdings, Inc.*		2,872		65

MoneyGram International, Inc.*		35,471		100

Mr Cooper Group, Inc.*		44,398		991

Navient Corp.		111,487		942

Nelnet, Inc., Class A		9,962		600

Oportun Financial Corp.*		11,094		131

Paysign, Inc.*		17,572		100

PennyMac Financial Services, Inc.		24,625		1,431

PRA Group, Inc.*		26,147		1,045

Regional Management Corp.*		4,690		78

Repay Holdings Corp.*		34,528		811

Stewart Information Services Corp.		15,251		667

Walker & Dunlop, Inc.		16,481		874

Willis Lease Finance Corp.*		1,711		32

World Acceptance Corp.*		2,822		298

				19,280

Technology Services – 1.6%

comScore, Inc.*		33,330		68

Conduent, Inc.*		94,186		299

CSG Systems International, Inc.		19,032		779

EVERTEC, Inc.		34,919		1,212

ExlService Holdings, Inc.*		19,483		1,285

ICF International, Inc.		10,619		653

Insight Enterprises, Inc.*		20,092		1,137


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Technology Services – 1.6% continued

LiveRamp Holdings, Inc.*		37,238		$1,928

ManTech International Corp., Class A		15,757		1,085

Mastech Digital, Inc.*		2,254		41

MAXIMUS, Inc.		35,427		2,424

NIC, Inc.		38,384		756

PAE, Inc.*		33,748		287

Parsons Corp.*		12,930		434

Perficient, Inc.*		18,995		812

Perspecta, Inc.		80,794		1,571

PFSweb, Inc.*		8,026		54

Priority Technology Holdings, Inc.*		6,494		20

Rackspace Technology, Inc.*		19,597		378

Rimini Street, Inc.*		12,907		42

ServiceSource International, Inc.*		49,706		73

StarTek, Inc.*		8,886		47

Sykes Enterprises, Inc.*		22,443		768

TTEC Holdings, Inc.		10,627		580

Unisys Corp.*		36,590		390

Value Line, Inc.		669		16

Virtusa Corp.*		16,799		826

				17,965

Telecom – 0.7%

Alaska Communications Systems Group, Inc.		30,247		61

ATN International, Inc.		6,406		321

Cambium Networks Corp.*		3,162		53

Cincinnati Bell, Inc.*		29,349		440

Cogent Communications Holdings, Inc.		24,670		1,481

Consolidated Communications Holdings, Inc.*		42,906		244

Gogo, Inc.*		32,222		298

GTT Communications, Inc.*		18,151		94

HC2 Holdings, Inc.*		25,020		61

IDT Corp., Class B*		7,960		52

Iridium Communications, Inc.*		68,304		1,747

KVH Industries, Inc.*		8,845		80

Loral Space & Communications, Inc.		7,569		139

Ooma, Inc.*		11,780		154

ORBCOMM, Inc.*		41,774		142

Shenandoah Telecommunications Co.		27,961		1,242

Spok Holdings, Inc.		10,067		96

Vonage Holdings Corp.*		134,532		1,376

Zix Corp.*		32,312		189

				8,270


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Transportation & Logistics – 1.3%

Air Transport Services Group, Inc.*		34,233		$858

ArcBest Corp.		14,642		455

Ardmore Shipping Corp.		17,774		63

Atlas Air Worldwide Holdings, Inc.*		14,985		913

Costamare, Inc.		29,573		179

Covenant Logistics Group, Inc.*		7,382		129

CryoPort, Inc.*		19,931		945

Daseke, Inc.*		25,870		139

DHT Holdings, Inc.		63,812		329

Diamond S Shipping, Inc.*		15,752		108

Dorian LPG Ltd.*		21,914		176

Eagle Bulk Shipping, Inc.*		3,578		59

Echo Global Logistics, Inc.*		15,297		394

Forward Air Corp.		16,197		929

Frontline Ltd.		69,186		450

Genco Shipping & Trading Ltd.		9,745		67

Golar LNG Ltd.*		52,815		320

Heartland Express, Inc.		27,557		513

Hub Group, Inc., Class A*		19,034		955

International Seaways, Inc.		14,685		215

Marten Transport Ltd.		34,444		562

Matson, Inc.		24,904		998

Nordic American Tankers Ltd.		82,376		287

Overseas Shipholding Group, Inc., Class A*		37,401		80

P.A.M. Transportation Services, Inc.*		1,148		43

Pangaea Logistics Solutions Ltd.		6,049		16

Radiant Logistics, Inc.*		23,522		121

Safe Bulkers, Inc.*		29,451		30

Saia, Inc.*		15,221		1,920

Scorpio Bulkers, Inc.		4,925		70

Scorpio Tankers, Inc.		29,208		323

SEACOR Holdings, Inc.*		10,999		320

SFL Corp. Ltd.		56,054		420

U.S. Xpress Enterprises, Inc., Class A*		13,137		109

Werner Enterprises, Inc.		35,253		1,480

				14,975

Transportation Equipment – 0.5%

Blue Bird Corp.*		9,133		111

Greenbrier (The) Cos., Inc.		18,857		554

Meritor, Inc.*		40,379		845

Navistar International Corp.*		28,969		1,261

REV Group, Inc.		16,431		130

Shyft Group (The), Inc.		19,896		376


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Transportation Equipment – 0.5% continued

Wabash National Corp.		30,169		$361

Workhorse Group, Inc.*		54,705		1,383

				5,021

Utilities – 3.1%

ALLETE, Inc.		30,222		1,564

American States Water Co.		21,397		1,604

Artesian Resources Corp., Class A		4,679		161

Atlantic Power Corp.*		51,618		101

Avista Corp.		39,019		1,331

Black Hills Corp.		36,452		1,950

Brookfield Infrastructure Corp., Class A		18,858		1,045

Brookfield Renewable Corp., Class A		39,644		2,323

California Water Service Group		28,743		1,249

Chesapeake Utilities Corp.		9,432		795

Clearway Energy, Inc., Class A		20,462		505

Clearway Energy, Inc., Class C		46,886		1,264

Consolidated Water Co. Ltd.		8,439		88

Genie Energy Ltd., Class B		8,034		64

Global Water Resources, Inc.		7,754		84

MGE Energy, Inc.		21,147		1,325

Middlesex Water Co.		9,847		612

New Jersey Resources Corp.		55,215		1,492

Northwest Natural Holding Co.		17,743		805

NorthWestern Corp.		29,379		1,429

ONE Gas, Inc.		30,389		2,097

Ormat Technologies, Inc.		23,219		1,372

Otter Tail Corp.		23,371		845

PICO Holdings, Inc.*		10,602		95

PNM Resources, Inc.		46,069		1,904

PNM Resources, Inc. - (Fractional Shares)⁽¹⁾		50,000		—

Portland General Electric Co.		52,060		1,848

Pure Cycle Corp.*		11,213		101

RGC Resources, Inc.		4,263		100

SJW Group		15,289		931

South Jersey Industries, Inc.		58,424		1,126

Southwest Gas Holdings, Inc.		32,486		2,050

Spark Energy, Inc., Class A		6,444		54

Spire, Inc.		29,094		1,548

Unitil Corp.		8,827		341

York Water (The) Co.		7,709		326

				34,529

Waste & Environment Services & Equipment – 0.9%

Advanced Disposal Services, Inc.*		42,823		1,295


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 97.9% continued

Waste & Environment Services & Equipment –0.9% continued

Casella Waste Systems, Inc., Class A*		26,667		$1,489

CECO Environmental Corp.*		18,572		135

Covanta Holding Corp.		69,280		537

Energy Recovery, Inc.*		23,495		193

ESCO Technologies, Inc.		14,852		1,197

Evoqua Water Technologies Corp.*		52,971		1,124

Harsco Corp.*		45,608		634

Heritage-Crystal Clean, Inc.*		8,564		114

Montrose Environmental Group, Inc.*		6,380		152

Sharps Compliance Corp.*		8,207		52

Tetra Tech, Inc.		31,261		2,985

U.S. Ecology, Inc.		18,335		599

				10,506

Total Common Stocks

(Cost $840,726)				1,094,998



RIGHTS – 0.0%

Biotechnology & Pharmaceuticals – 0.0%

Omthera Pharmaceuticals, Inc. (Contingent Value Rights)⁽¹⁾*		3,681		—

Oncternal Therapeutics, Inc. (Contingent Value Rights)⁽¹⁾*		398		—

Tobira Therapeutics, Inc. (Contingent Value Rights)⁽²⁾*		5,175		39

				39

Total Rights

(Cost $40)				39



OTHER – 0.0%

Escrow Calamos Asset Management, Inc.⁽¹⁾ *		9,919		—

Escrow DLB Oil & Gas⁽¹⁾*		1,200		—

Escrow Position PetroCorp⁽¹⁾*		420		—

Total Other

(Cost $—)				—


	NUMBER OF WARRANTS		VALUE (000S)

WARRANTS – 0.0%

Pulse Biosciences, Inc., Exp. 5/14/25, Strike $7.01*		249		$1

Total Warrants

(Cost $—)				1


	NUMBER OF SHARES		VALUE (000S)

INVESTMENT COMPANIES – 1.8%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽³⁾⁽⁴⁾		20,359,722		$20,360

Total Investment Companies

(Cost $20,360)				20,360


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

SHORT-TERM INVESTMENTS – 0.2%

U.S. Treasury Bill, 0.11%, 1/28/21⁽⁵⁾⁽⁶⁾		$2,155		$2,154

Total Short-Term Investments

(Cost $2,154)				2,154


Total Investments – 99.9%

(Cost $863,280)				1,117,552

Other Assets less Liabilities – 0.1%				564

NET ASSETS – 100.0%				$1,118,116

⁽¹⁾

Level 3 asset that is worthless, bankrupt or has been delisted.

⁽²⁾

Level 3 asset.

⁽³⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽⁴⁾

7-day current yield as of September 30, 2020 is disclosed.

⁽⁵⁾

Discount rate at the time of purchase.

⁽⁶⁾

Security pledged as collateral to cover margin requirements for open futures contracts.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

PLC - Public Limited Company

REIT - Real Estate Investment Trust

Percentages shown are based on Net Assets.

At September 30, 2020, the Fund had open futures contracts as follows:


TYPE	NUMBER OF CONTRACTS	NOTIONAL AMOUNT (000S)	CONTRACT POSITION	CONTRACT EXP.	VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) (000S)⁽¹⁾

E-Mini Russell 2000 Index	323	$24,296	Long	12/20	$(57)

⁽¹⁾

Includes cumulative appreciation/depreciation on futures contracts. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF LONG-TERM INVESTMENTS

Communication Services		2.3	%

Consumer Discretionary		13.5

Consumer Staples		3.4

Energy		1.9

Financials		14.8

Health Care		21.5

Industrials		15.2

Information Technology		13.5

Materials		4.0

Real Estate		6.6

Utilities		3.3

Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)			LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)
Common Stocks:

Consumer Products	$	25,513		$	111		$—	$	25,624

All Other Industries⁽¹⁾		1,069,374			—		—		1,069,374

Total Common Stocks		1,094,887			111		—		1,094,998

Rights⁽¹⁾		—			—		39		39

Warrants		1			—		—		1

Investment Companies		20,360			—		—		20,360

Short-Term Investments		—			2,154		—		2,154

Total Investments	$	1,115,248		$	2,265		$39	$	1,117,552

OTHER FINANCIAL INSTRUMENTS
Liabilities

Futures Contracts	$		(57)	$	—		$—	$	(57	)

⁽¹⁾

Classifications as defined in the Schedule of Investments.


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 99.5%

Aerospace & Defense – 1.6%

Boeing (The) Co.		179,667		$29,692

General Dynamics Corp.		78,657		10,889

Howmet Aerospace, Inc.		132,801		2,220

Huntington Ingalls Industries, Inc.		13,689		1,927

L3Harris Technologies, Inc.		73,197		12,432

Lockheed Martin Corp.		83,300		31,927

Northrop Grumman Corp.		52,498		16,563

Raytheon Technologies Corp.		517,240		29,762

Teledyne Technologies, Inc.*		12,470		3,868

Textron, Inc.		77,982		2,814

TransDigm Group, Inc.		18,352		8,719

				150,813

Apparel & Textile Products – 0.7%

Hanesbrands, Inc.		117,636		1,853

NIKE, Inc., Class B		421,532		52,919

PVH Corp.		23,954		1,429

Ralph Lauren Corp.		16,233		1,103

Tapestry, Inc.		93,734		1,465

Under Armour, Inc., Class A*		63,705		715

Under Armour, Inc., Class C*		65,766		647

VF Corp.		108,207		7,602

				67,733

Asset Management – 0.7%

Ameriprise Financial, Inc.		40,727		6,276

BlackRock, Inc.		48,019		27,061

Charles Schwab (The) Corp.		392,700		14,227

E*TRADE Financial Corp.		74,837		3,746

Franklin Resources, Inc.		90,502		1,842

Invesco Ltd.		127,264		1,452

Raymond James Financial, Inc.		41,464		3,017

T. Rowe Price Group, Inc.		76,867		9,856

				67,477

Automotive – 0.3%

Aptiv PLC		91,437		8,383

BorgWarner, Inc.		70,159		2,718

Ford Motor Co.		1,323,175		8,812

General Motors Co.		426,387		12,617

				32,530

Banking – 3.3%

Bank of America Corp.		2,581,856		62,197

Citigroup, Inc.		704,893		30,388

Citizens Financial Group, Inc.		144,302		3,648

Comerica, Inc.		46,936		1,795


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.5% continued

Banking – 3.3% continued

Fifth Third Bancorp		241,078		$5,140

First Republic Bank		58,278		6,356

Huntington Bancshares, Inc.		344,894		3,163

JPMorgan Chase & Co.		1,032,034		99,354

KeyCorp		329,933		3,936

M&T Bank Corp.		43,370		3,994

People’s United Financial, Inc.		143,573		1,480

PNC Financial Services Group (The), Inc.		143,995		15,826

Regions Financial Corp.		325,290		3,750

SVB Financial Group*		17,520		4,216

Truist Financial Corp.		456,308		17,362

U.S. Bancorp		463,991		16,634

Wells Fargo & Co.		1,394,972		32,796

Zions Bancorp N.A.		55,193		1,613

				313,648

Biotechnology & Pharmaceuticals – 6.2%

AbbVie, Inc.		597,638		52,347

Alexion Pharmaceuticals, Inc.*		74,188		8,489

Amgen, Inc.		198,333		50,408

Biogen, Inc.*		53,611		15,208

Bristol-Myers Squibb Co.		763,276		46,018

Eli Lilly and Co.		268,828		39,792

Gilead Sciences, Inc.		424,538		26,827

Incyte Corp.*		62,929		5,647

Johnson & Johnson		891,537		132,732

Merck & Co., Inc.		856,628		71,057

Mylan N.V.*		174,930		2,594

Perrigo Co. PLC		46,359		2,128

Pfizer, Inc.		1,881,729		69,060

Regeneron Pharmaceuticals, Inc.*		35,404		19,819

Vertex Pharmaceuticals, Inc.*		88,210		24,004

Zoetis, Inc.		160,886		26,606

				592,736

Chemicals – 2.2%

3M Co.		195,051		31,243

Air Products and Chemicals, Inc.		74,788		22,276

Albemarle Corp.		35,985		3,213

Avery Dennison Corp.		28,222		3,608

Celanese Corp.		40,166		4,316

CF Industries Holdings, Inc.		72,313		2,221

Corteva, Inc.		253,649		7,307

Dow, Inc.		250,873		11,803

DuPont de Nemours, Inc.		249,005		13,815


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.5% continued

Chemicals – 2.2% continued

Eastman Chemical Co.		45,748		$3,574

Ecolab, Inc.		84,055		16,797

FMC Corp.		43,831		4,642

International Flavors & Fragrances, Inc.		36,242		4,438

Linde PLC		177,890		42,361

LyondellBasell Industries N.V., Class A		86,973		6,131

Mosaic (The) Co.		118,483		2,165

PPG Industries, Inc.		79,848		9,748

Sherwin-Williams (The) Co.		27,743		19,330

				208,988

Commercial Services – 0.2%

Cintas Corp.		29,439		9,798

Robert Half International, Inc.		38,765		2,052

Rollins, Inc.		49,934		2,706

				14,556

Construction Materials – 0.1%

Martin Marietta Materials, Inc.		21,074		4,960

Vulcan Materials Co.		44,840		6,078

				11,038

Consumer Products – 5.3%

Altria Group, Inc.		629,229		24,313

Brown-Forman Corp., Class B		61,955		4,666

Campbell Soup Co.		68,523		3,315

Church & Dwight Co., Inc.		83,699		7,843

Clorox (The) Co.		42,740		8,983

Coca-Cola (The) Co.		1,308,934		64,622

Colgate-Palmolive Co.		290,712		22,428

Conagra Brands, Inc.		165,379		5,906

Constellation Brands, Inc., Class A		57,019		10,806

Estee Lauder (The) Cos., Inc., Class A		76,257		16,643

General Mills, Inc.		206,846		12,758

Hershey (The) Co.		49,894		7,152

Hormel Foods Corp.		95,251		4,657

J.M. Smucker (The) Co.		38,747		4,476

Kellogg Co.		85,864		5,546

Kimberly-Clark Corp.		115,642		17,076

Kraft Heinz (The) Co.		219,368		6,570

Lamb Weston Holdings, Inc.		49,193		3,260

McCormick & Co., Inc. (Non Voting)		41,991		8,150

Molson Coors Beverage Co., Class B		63,503		2,131

Mondelez International, Inc., Class A		483,546		27,780

Monster Beverage Corp.*		124,969		10,023

PepsiCo, Inc.		468,828		64,980


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.5% continued

Consumer Products – 5.3% continued

Philip Morris International, Inc.		527,327		$39,544

Procter & Gamble (The) Co.		843,035		117,173

Tyson Foods, Inc., Class A		99,584		5,923

				506,724

Containers & Packaging – 0.3%

Amcor PLC		530,979		5,868

Ball Corp.		110,529		9,187

International Paper Co.		132,854		5,386

Packaging Corp. of America		32,216		3,513

Sealed Air Corp.		52,643		2,043

Westrock Co.		87,822		3,051

				29,048

Distributors - Consumer Staples – 0.2%

Archer-Daniels-Midland Co.		188,093		8,744

Sysco Corp.		172,178		10,713

				19,457

Distributors - Discretionary – 0.1%

Copart, Inc.*		69,952		7,356

LKQ Corp.*		94,631		2,624

				9,980

Electrical Equipment – 2.0%

A.O. Smith Corp.		45,931		2,425

Allegion PLC		31,339		3,100

AMETEK, Inc.		77,883		7,741

Amphenol Corp., Class A		100,964		10,931

Carrier Global Corp.		275,678		8,419

Eaton Corp. PLC		135,430		13,818

Emerson Electric Co.		202,299		13,265

Fortive Corp.		114,080		8,694

General Electric Co.		2,968,976		18,497

Honeywell International, Inc.		237,616		39,114

Johnson Controls International PLC		251,895		10,290

Keysight Technologies, Inc.*		63,320		6,255

Otis Worldwide Corp.		137,845		8,604

Rockwell Automation, Inc.		39,269		8,666

Roper Technologies, Inc.		35,458		14,010

TE Connectivity Ltd.		111,977		10,945

Trane Technologies PLC		81,040		9,826

				194,600


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.5% continued

Engineering & Construction Services – 0.1%

Jacobs Engineering Group, Inc.		44,206		$4,101

Quanta Services, Inc.		46,826		2,475

				6,576

Gaming, Lodging & Restaurants – 1.6%

Carnival Corp.		175,186		2,659

Chipotle Mexican Grill, Inc.*		9,468		11,775

Darden Restaurants, Inc.		44,336		4,466

Domino’s Pizza, Inc.		13,325		5,667

Hilton Worldwide Holdings, Inc.		93,891		8,011

Las Vegas Sands Corp.		111,227		5,190

Marriott International, Inc., Class A		90,052		8,337

McDonald’s Corp.		251,968		55,304

MGM Resorts International		138,608		3,015

Norwegian Cruise Line Holdings Ltd.*		93,249		1,595

Royal Caribbean Cruises Ltd.		60,306		3,904

Starbucks Corp.		395,832		34,010

Wynn Resorts Ltd.		32,860		2,360

Yum! Brands, Inc.		102,010		9,314

				155,607

Hardware – 7.9%

Apple, Inc.		5,444,016		630,472

Arista Networks, Inc.*		18,527		3,834

Cisco Systems, Inc.		1,433,546		56,467

Corning, Inc.		257,765		8,354

F5 Networks, Inc.*		20,719		2,544

FLIR Systems, Inc.		44,520		1,596

Garmin Ltd.		50,466		4,787

Hewlett Packard Enterprise Co.		434,685		4,073

HP, Inc.		464,950		8,829

Juniper Networks, Inc.		112,421		2,417

Motorola Solutions, Inc.		57,473		9,012

NetApp, Inc.		75,135		3,294

Seagate Technology PLC		75,522		3,721

Western Digital Corp.		102,371		3,742

Xerox Holdings Corp.		62,110		1,166

Zebra Technologies Corp., Class A*		18,053		4,558

				748,866

Health Care Facilities & Services – 2.8%

AmerisourceBergen Corp.		49,756		4,822

Anthem, Inc.		85,162		22,874

Cardinal Health, Inc.		99,609		4,677

Catalent, Inc.*		55,564		4,760

Centene Corp.*		196,238		11,447


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.5% continued

Health Care Facilities & Services – 2.8% continued

Cigna Corp.		124,342		$21,065

CVS Health Corp.		443,149		25,880

DaVita, Inc.*		27,235		2,333

HCA Healthcare, Inc.		89,273		11,130

Henry Schein, Inc.*		48,529		2,852

Humana, Inc.		44,799		18,542

IQVIA Holdings, Inc.*		64,761		10,208

Laboratory Corp. of America

Holdings*		32,972		6,208

McKesson Corp.		54,946		8,183

Quest Diagnostics, Inc.		45,466		5,205

UnitedHealth Group, Inc.		321,851		100,343

Universal Health Services, Inc., Class B		26,273		2,812

				263,341

Home & Office Products – 0.6%

D.R. Horton, Inc.		112,083		8,477

Fortune Brands Home & Security, Inc.		46,758		4,046

Leggett & Platt, Inc.		44,936		1,850

Lennar Corp., Class A		92,963		7,593

Masco Corp.		88,522		4,880

Mohawk Industries, Inc.*		20,229		1,974

Newell Brands, Inc.		127,768		2,192

NVR, Inc.*		1,178		4,810

PulteGroup, Inc.		90,781		4,202

Snap-on, Inc.		18,466		2,717

Stanley Black & Decker, Inc.		54,056		8,768

Whirlpool Corp.		21,083		3,877

				55,386

Industrial Services – 0.2%

Fastenal Co.		194,277		8,760

United Rentals, Inc.*		24,404		4,259

W.W. Grainger, Inc.		15,229		5,433

				18,452

Institutional Financial Services – 1.2%

Bank of New York Mellon (The) Corp.		275,886		9,474

Cboe Global Markets, Inc.		36,792		3,228

CME Group, Inc.		121,432		20,317

Goldman Sachs Group (The), Inc.		116,505		23,414

Intercontinental Exchange, Inc.		190,034		19,013

Morgan Stanley		405,755		19,618

Nasdaq, Inc.		38,938		4,778


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.5% continued

Institutional Financial Services – 1.2% continued

Northern Trust Corp.⁽¹⁾		70,440		$5,492

State Street Corp.		119,530		7,092

				112,426

Insurance – 3.3%

Aflac, Inc.		224,143		8,148

Allstate (The) Corp.		105,698		9,950

American International Group, Inc.		291,571		8,027

Aon PLC, Class A		78,434		16,181

Arthur J. Gallagher & Co.		64,789		6,840

Assurant, Inc.		20,431		2,478

Berkshire Hathaway, Inc., Class B*		671,260		142,938

Chubb Ltd.		153,098		17,778

Cincinnati Financial Corp.		50,632		3,948

Everest Re Group Ltd.		13,494		2,666

Globe Life, Inc.		33,114		2,646

Hartford Financial Services Group

(The), Inc.		121,186		4,467

Lincoln National Corp.		61,414		1,924

Loews Corp.		80,341		2,792

Marsh & McLennan Cos., Inc.		171,473		19,668

MetLife, Inc.		261,986		9,738

Principal Financial Group, Inc.		86,578		3,486

Progressive (The) Corp.		198,194		18,763

Prudential Financial, Inc.		133,569		8,484

Travelers (The) Cos., Inc.		85,988		9,303

Unum Group		68,514		1,153

W.R. Berkley Corp.		47,993		2,935

Willis Towers Watson PLC		43,706		9,127

				313,440

Iron & Steel – 0.0%

Nucor Corp.		102,203		4,585

Leisure Products – 0.0%

Hasbro, Inc.		43,138		3,568

Machinery – 1.0%

Caterpillar, Inc.		183,363		27,349

Deere & Co.		106,104		23,516

Dover Corp.		48,660		5,272

Flowserve Corp.		43,911		1,198

IDEX Corp.		25,593		4,668

Illinois Tool Works, Inc.		97,415		18,822

Ingersoll Rand, Inc.*		125,658		4,473


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.5% continued

Machinery – 1.0% continued

Parker-Hannifin Corp.		43,523		$8,807

Xylem, Inc.		61,084		5,138

				99,243

Media – 8.8%

Alphabet, Inc., Class A*		101,763		149,144

Alphabet, Inc., Class C*		99,411		146,094

Booking Holdings, Inc.*		13,864		23,717

Charter Communications, Inc., Class A*		50,632		31,611

Comcast Corp., Class A		1,543,384		71,397

Discovery, Inc., Class A*		55,383		1,206

Discovery, Inc., Class C*		103,370		2,026

DISH Network Corp., Class A*		83,405		2,421

Expedia Group, Inc.		46,012		4,219

Facebook, Inc., Class A*		814,184		213,235

Fox Corp., Class A		116,383		3,239

Fox Corp., Class B		53,983		1,510

Interpublic Group of (The) Cos., Inc.		131,512		2,192

Netflix, Inc.*		149,343		74,676

News Corp., Class A		133,592		1,873

News Corp., Class B		43,258		605

Omnicom Group, Inc.		72,740		3,600

Twitter, Inc.*		267,790		11,917

VeriSign, Inc.*		34,210		7,008

ViacomCBS, Inc., Class B		190,776		5,344

Walt Disney (The) Co.		611,859		75,919

				832,953

Medical Equipment & Devices – 5.1%

Abbott Laboratories		599,523		65,246

ABIOMED, Inc.*		15,241		4,223

Agilent Technologies, Inc.		104,384		10,536

Align Technology, Inc.*		24,276		7,947

Baxter International, Inc.		171,378		13,782

Becton Dickinson and Co.		98,154		22,838

Bio-Rad Laboratories, Inc., Class A*		7,240		3,732

Boston Scientific Corp.*		484,292		18,505

Cooper (The) Cos., Inc.		16,687		5,625

Danaher Corp.		213,796		46,037

DENTSPLY SIRONA, Inc.		74,436		3,255

DexCom, Inc.*		32,422		13,365

Edwards Lifesciences Corp.*		210,464		16,799

Hologic, Inc.*		87,700		5,829

IDEXX Laboratories, Inc.*		28,795		11,320

Illumina, Inc.*		49,436		15,280


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.5% continued

Medical Equipment & Devices – 5.1% continued

Intuitive Surgical, Inc.*		39,626		$28,116

Medtronic PLC		455,137		47,298

Mettler-Toledo International, Inc.*		8,118		7,840

PerkinElmer, Inc.		37,853		4,751

ResMed, Inc.		49,059		8,410

STERIS PLC		28,859		5,085

Stryker Corp.		110,627		23,051

Teleflex, Inc.		15,738		5,358

Thermo Fisher Scientific, Inc.		133,953		59,143

Varian Medical Systems, Inc.*		30,853		5,307

Waters Corp.*		20,957		4,101

West Pharmaceutical Services, Inc.		24,994		6,871

Zimmer Biomet Holdings, Inc.		70,214		9,559

				479,209

Metals & Mining – 0.3%

Freeport-McMoRan, Inc.		491,681		7,690

Newmont Corp.		271,972		17,257

				24,947

Oil, Gas & Coal – 2.0%

Apache Corp.		127,639		1,209

Baker Hughes Co.		222,106		2,952

Cabot Oil & Gas Corp.		135,533		2,353

Chevron Corp.		632,261		45,523

Concho Resources, Inc.		66,381		2,929

ConocoPhillips		364,105		11,957

Devon Energy Corp.		128,906		1,219

Diamondback Energy, Inc.		53,350		1,607

EOG Resources, Inc.		196,970		7,079

Exxon Mobil Corp.		1,431,661		49,149

Halliburton Co.		297,334		3,583

Hess Corp.		92,495		3,786

HollyFrontier Corp.		50,286		991

Kinder Morgan, Inc.		658,650		8,121

Marathon Oil Corp.		265,770		1,087

Marathon Petroleum Corp.		220,283		6,463

National Oilwell Varco, Inc.		130,942		1,186

Noble Energy, Inc.		163,813		1,400

Occidental Petroleum Corp.		283,297		2,836

ONEOK, Inc.		150,378		3,907

Phillips 66		148,267		7,686

Pioneer Natural Resources Co.		55,943		4,810

Schlumberger N.V.		469,269		7,302

TechnipFMC PLC		142,585		900


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.5% continued

Oil, Gas & Coal – 2.0% continued

Valero Energy Corp.		138,016		$5,979

Williams (The) Cos., Inc.		410,777		8,072

				194,086

Passenger Transportation – 0.2%

Alaska Air Group, Inc.		41,842		1,533

American Airlines Group, Inc.		172,216		2,117

Delta Air Lines, Inc.		215,939		6,603

Southwest Airlines Co.		199,731		7,490

United Airlines Holdings, Inc.*		98,501		3,423

				21,166

Real Estate – 0.1%

CBRE Group, Inc., Class A*		113,508		5,332

Real Estate Investment Trusts – 2.6%

Alexandria Real Estate Equities, Inc.		39,709		6,353

American Tower Corp.		150,206		36,309

Apartment Investment and

Management Co., Class A		50,220		1,693

AvalonBay Communities, Inc.		47,604		7,109

Boston Properties, Inc.		47,904		3,847

Crown Castle International Corp.		142,110		23,661

Digital Realty Trust, Inc.		91,095		13,369

Duke Realty Corp.		125,435		4,629

Equinix, Inc.		29,989		22,796

Equity Residential		115,808		5,944

Essex Property Trust, Inc.		22,225		4,463

Extra Space Storage, Inc.		43,674		4,673

Federal Realty Investment Trust		23,252		1,708

Healthpeak Properties, Inc.		183,012		4,969

Host Hotels & Resorts, Inc.		238,613		2,575

Iron Mountain, Inc.		97,507		2,612

Kimco Realty Corp.		146,223		1,646

Mid-America Apartment Communities, Inc.		38,885		4,509

Prologis, Inc.		250,166		25,172

Public Storage		51,475		11,464

Realty Income Corp.		116,764		7,093

Regency Centers Corp.		53,309		2,027

SBA Communications Corp.		37,901		12,071

Simon Property Group, Inc.		103,967		6,725

SL Green Realty Corp.		24,740		1,147

UDR, Inc.		99,516		3,245

Ventas, Inc.		126,299		5,299

Vornado Realty Trust		52,929		1,784


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.5% continued

Real Estate Investment Trusts – 2.6% continued

Welltower, Inc.		141,247		$7,781

Weyerhaeuser Co.		252,613		7,205

				243,878

Recreational Facilities & Services – 0.0%

Live Nation Entertainment, Inc.*		48,263		2,600

Retail - Consumer Staples – 2.0%

Costco Wholesale Corp.		149,483		53,067

Dollar General Corp.		84,320		17,675

Dollar Tree, Inc.*		80,337		7,338

Kroger (The) Co.		263,325		8,929

Target Corp.		169,517		26,685

Walgreens Boots Alliance, Inc.		243,487		8,746

Walmart, Inc.		470,138		65,777

				188,217

Retail - Discretionary – 7.5%

Advance Auto Parts, Inc.		23,583		3,620

Amazon.com, Inc.*		144,177		453,974

AutoZone, Inc.*		7,906		9,310

Best Buy Co., Inc.		77,984		8,679

CarMax, Inc.*		55,177		5,071

eBay, Inc.		225,139		11,730

Etsy, Inc.*		40,411		4,915

Gap (The), Inc.		69,434		1,183

Genuine Parts Co.		48,990		4,662

Home Depot (The), Inc.		364,522		101,231

L Brands, Inc.		78,986		2,513

Lowe’s Cos., Inc.		255,900		42,444

O’Reilly Automotive, Inc.*		25,071		11,560

Ross Stores, Inc.		120,642		11,258

Tiffany & Co.		36,570		4,237

TJX (The) Cos., Inc.		406,004		22,594

Tractor Supply Co.		39,345		5,640

Ulta Beauty, Inc.*		19,064		4,270

				708,891

Semiconductors – 5.1%

Advanced Micro Devices, Inc.*		397,584		32,598

Analog Devices, Inc.		125,124		14,607

Applied Materials, Inc.		309,305		18,388

Broadcom, Inc.		136,190		49,617

Intel Corp.		1,440,219		74,574

IPG Photonics Corp.*		12,069		2,051

KLA Corp.		52,656		10,201

Lam Research Corp.		49,250		16,339


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.5% continued

Semiconductors – 5.1% continued

Maxim Integrated Products, Inc.		90,544		$6,122

Microchip Technology, Inc.		85,470		8,783

Micron Technology, Inc.*		376,217		17,667

NVIDIA Corp.		208,942		113,084

Qorvo, Inc.*		38,678		4,990

QUALCOMM, Inc.		382,066		44,961

Skyworks Solutions, Inc.		56,561		8,230

Teradyne, Inc.		56,230		4,468

Texas Instruments, Inc.		310,168		44,289

Xilinx, Inc.		82,723		8,623

				479,592

Software – 9.7%

Activision Blizzard, Inc.		261,384		21,159

Adobe, Inc.*		162,434		79,663

Akamai Technologies, Inc.*		55,112		6,092

ANSYS, Inc.*		29,045		9,504

Autodesk, Inc.*		74,252		17,153

Cadence Design Systems, Inc.*		94,416		10,068

Cerner Corp.		103,354		7,471

Citrix Systems, Inc.		41,829		5,760

Electronic Arts, Inc.*		97,803		12,754

Fortinet, Inc.*		45,483		5,358

Intuit, Inc.		88,657		28,921

Microsoft Corp.		2,562,733		539,020

NortonLifeLock, Inc.		200,137		4,171

Oracle Corp.		654,672		39,084

Paycom Software, Inc.*		16,578		5,161

salesforce.com, Inc.*		308,155		77,446

ServiceNow, Inc.*		64,952		31,502

Synopsys, Inc.*		51,381		10,994

Take-Two Interactive Software, Inc.*		38,722		6,398

Tyler Technologies, Inc.*		13,622		4,748

				922,427

Specialty Finance – 4.4%

American Express Co.		220,818		22,137

Capital One Financial Corp.		154,583		11,108

Discover Financial Services		103,735		5,994

Fidelity National Information Services, Inc.		209,615		30,858

Fiserv, Inc.*		188,201		19,394

FleetCor Technologies, Inc.*		28,456		6,775

Global Payments, Inc.		101,322		17,993

Jack Henry & Associates, Inc.		26,025		4,232

Mastercard, Inc., Class A		299,137		101,159


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.5% continued

Specialty Finance – 4.4% continued

PayPal Holdings, Inc.*		397,324		$78,285

Synchrony Financial		183,764		4,809

Visa, Inc., Class A		570,927		114,168

Western Union (The) Co.		139,113		2,981

				419,893

Technology Services – 2.5%

Accenture PLC, Class A		215,436		48,686

Automatic Data Processing, Inc.		145,570		20,306

Broadridge Financial Solutions, Inc.		38,998		5,148

CDW Corp.		48,336		5,778

Cognizant Technology Solutions Corp., Class A		183,601		12,746

DXC Technology Co.		86,246		1,539

Equifax, Inc.		41,225		6,468

Gartner, Inc.*		30,424		3,801

IHS Markit Ltd.		126,313		9,917

International Business Machines Corp.		301,573		36,692

Leidos Holdings, Inc.		45,250		4,034

MarketAxess Holdings, Inc.		12,877		6,201

Moody’s Corp.		54,656		15,842

MSCI, Inc.		28,322		10,105

Nielsen Holdings PLC		120,416		1,708

Paychex, Inc.		108,425		8,649

S&P Global, Inc.		81,611		29,429

Verisk Analytics, Inc.		54,984		10,189

				237,238

Telecom – 1.9%

AT&T, Inc.		2,412,634		68,784

CenturyLink, Inc.		334,172		3,372

T-Mobile U.S., Inc.*		197,017		22,531

Verizon Communications, Inc.		1,401,268		83,361

				178,048

Transportation & Logistics – 1.8%

C.H. Robinson Worldwide, Inc.		45,615		4,661

CSX Corp.		259,086		20,123

Expeditors International of Washington, Inc.		56,457		5,111

FedEx Corp.		81,623		20,530

JB Hunt Transport Services, Inc.		28,229		3,568

Kansas City Southern		31,951		5,778

Norfolk Southern Corp.		86,393		18,487

Old Dominion Freight Line, Inc.		32,590		5,896


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.5% continued

Transportation & Logistics – 1.8% continued

Union Pacific Corp.		229,898		$45,260

United Parcel Service, Inc., Class B		239,452		39,900

				169,314

Transportation Equipment – 0.3%

Cummins, Inc.		49,994		10,557

PACCAR, Inc.		117,207		9,996

Westinghouse Air Brake Technologies Corp.		60,493		3,743

				24,296

Utilities – 3.0%

AES (The) Corp.		225,062		4,076

Alliant Energy Corp.		84,782		4,379

Ameren Corp.		83,846		6,630

American Electric Power Co., Inc.		168,244		13,751

American Water Works Co., Inc.		61,297		8,881

Atmos Energy Corp.		41,645		3,981

CenterPoint Energy, Inc.		184,328		3,567

CMS Energy Corp.		96,707		5,939

Consolidated Edison, Inc.		113,185		8,806

Dominion Energy, Inc.		284,448		22,451

DTE Energy Co.		65,131		7,493

Duke Energy Corp.		248,943		22,046

Edison International		128,258		6,521

Entergy Corp.		67,973		6,697

Evergy, Inc.		77,388		3,933

Eversource Energy		115,928		9,686

Exelon Corp.		330,818		11,830

FirstEnergy Corp.		183,522		5,269

NextEra Energy, Inc.		165,800		46,019

NiSource, Inc.		129,124		2,841

NRG Energy, Inc.		82,549		2,537

Pinnacle West Capital Corp.		38,037		2,836

PPL Corp.		260,132		7,078

Public Service Enterprise Group, Inc.		171,676		9,427

Sempra Energy		97,912		11,589

Southern (The) Co.		357,424		19,379

WEC Energy Group, Inc.		106,719		10,341

Xcel Energy, Inc.		177,775		12,268

				280,251

Waste & Environment Services & Equipment – 0.3%

Pentair PLC		56,318		2,578


	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS - 99.5% continued

Waste & Environment Services & Equipment – 0.3% continued

Republic Services, Inc.		71,114		$6,638

Waste Management, Inc.		131,588		14,892

				24,108

Total Common Stocks

(Cost $3,616,401)				9,437,264


INVESTMENT COMPANIES – 0.2%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽²⁾⁽³⁾		15,863,976		15,864

Total Investment Companies

(Cost $15,864)				15,864

	PRINCIPAL AMOUNT (000S)		VALUE (000S)

SHORT-TERM INVESTMENTS – 0.2%

U.S. Treasury Bill, 0.11%, 1/28/21⁽⁴⁾⁽⁵⁾		$20,485		$20,478

Total Short-Term Investments

(Cost $20,477)				20,478


Total Investments – 99.9%

(Cost $3,652,742)				9,473,606

Other Assets less Liabilities – 0.1%				4,847
NET ASSETS – 100.0%				$9,478,453

⁽¹⁾

Investment in affiliate.

⁽²⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽³⁾

7-day current yield as of September 30, 2020 is disclosed.

⁽⁴⁾

Discount rate at the time of purchase.

⁽⁵⁾

Security pledged as collateral to cover margin requirements for open futures contracts.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

EAFE - Europe, Australasia and the Far East

MSCI - Morgan Stanley Capital International

PLC - Public Limited Company

S&P - Standard & Poor’s

Percentages shown are based on Net Assets.

At September 30, 2020, the Fund had open futures contracts as follows:


TYPE	NUMBER OF CONTRACTS	NOTIONAL AMOUNT (000S)	CONTRACT POSITION	CONTRACT EXP.	VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) (000S)⁽¹⁾

E-Mini S&P 500	228	$38,213	Long	12/20	$315

⁽¹⁾

Includes cumulative appreciation/depreciation on futures contracts. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR		% OF LONG-TERM INVESTMENTS

Communication Services		10.8%

Consumer Discretionary		11.6

Consumer Staples		7.0

Energy		2.1

Financials		9.7

Health Care		14.2

Industrials		8.3

Information Technology		28.1

Materials		2.6

Real Estate		2.6

Utilities		3.0

Total		100.0%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

Common Stocks⁽¹⁾		$9,437,264		$ —		$—		$9,437,264

Investment Companies		15,864		—		—		15,864

Short-Term Investments		—		20,478		—		20,478

Total Investments		$9,453,128		$20,478		$—		$9,473,606

1. ORGANIZATION

Each of the Funds is presented herein. Except for the Global Sustainability Index Fund, each Fund is authorized to issue one class of shares designated as the “Shares” class. Effective July 31, 2020, the Global Sustainability Index Fund is authorized to issue two classes of shares designated as Class K shares and Class I shares, which replaced the Fund’s Shares class. At September 30, 2020, the Emerging Markets Equity Index, Global Real Estate Index, International Equity Index, Mid Cap Index, Small Cap Index, and Stock Index Funds had Shares outstanding; and the Global Sustainability Index Fund had Class K and Class I shares outstanding.

2. SIGNIFICANT ACCOUNTING POLICIES

Any securities for which market quotations are not readily available or are believed to be incorrect are valued at fair value as determined in good faith by NTI under the supervision of the Board. The Trust, in its discretion, may make adjustments to the prices of securities held by a Fund if an event occurs after the publication of fair values normally used by the Fund but before the time as of which the Fund calculates its NAV, depending on the nature and significance of the event, consistent with applicable regulatory guidance and U.S. GAAP. This may occur particularly with respect to certain foreign securities held by a Fund, in which case the Trust may use adjustment factors obtained from an independent evaluation service that are intended to reflect more accurately the fair value of those securities as of the time the Fund’s NAV is calculated.

The contract position and investment strategy utilized during the six months ended September 30, 2020, was as follows:


	CONTRACT POSITION	INVESTMENT STRATEGY

Emerging Markets Equity Index	Long	Liquidity

Global Real Estate Index	Long	Liquidity

Global Sustainability Index	Long	Liquidity

International Equity Index	Long	Liquidity

Mid Cap Index	Long	Liquidity

Small Cap Index	Long	Liquidity

Stock Index	Long	Liquidity

At September 30, 2020, the aggregate fair value of securities pledged to cover margin requirements for open positions for the Mid Cap Index, Small Cap Index and Stock Index Funds was approximately $5,563,000, $2,154,000 and $20,478,000, respectively. At September 30, 2020, the aggregate fair value of cash and foreign currencies to cover margin requirements for

open positions for the Emerging Markets Equity Index, Global Real Estate Index, Global Sustainability Index and International Equity Index Funds was approximately $3,821,000, $1,803,000, $2,298,000, and $5,118,000, respectively. Further information on the impact of these positions on the Funds’ financial statements can be found in Note 10.

C) FOREIGN CURRENCY TRANSLATION Values of investments denominated in foreign currencies are converted into U.S. dollars using the spot rates on the NYSE, generally at 3:00 P.M. Central Time. The cost of purchases and proceeds from sales of investments, interest and dividend income are translated into U.S. dollars using the spot rates on the NYSE, generally at 3:00 P.M. Central Time. The gains or losses, if any, on investments from original purchase date to subsequent sales trade date resulting from changes in foreign exchange rates are included in the Statements of Operations in Net realized gains (losses) on investments and Net change in unrealized appreciation (depreciation) on investments. The gains or losses, if any, on translation of other assets and liabilities denominated in foreign currencies and between the trade and settlement dates on investment transactions are included in Net realized gains (losses) on foreign currency transactions and Net change in unrealized appreciation (depreciation) on foreign currency translations in the Statements of Operations.

D) FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS Certain Funds are authorized to enter into forward foreign currency exchange contracts, or forward currency exchange contracts, for the purchase or sale of a specific foreign currency at a specified exchange rate on a future date as a hedge against either specific transactions or portfolio positions, or as a cross-hedge transaction or for speculative purposes. The objective of a Fund’s foreign currency hedging transactions is to reduce the risk that the U.S. dollar value of a Fund’s foreign currency denominated securities will decline in value due to changes in foreign currency exchange rates. All forward foreign currency exchange contracts are “marked-to-market” daily at the applicable exchange rates. Any resulting unrealized gains or losses are recorded in Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts in the Statements of Operations. Gains or losses are recorded for financial statement purposes as unrealized until the settlement date. Realized gains or losses, if any, are included in Net realized gains (losses) on forward foreign currency exchange contracts in the Statements of Operations.

foreign currency exchange contracts are not required to continue to make markets in the currencies they trade and these markets can experience periods of illiquidity. Further information on the impact of these positions on the Funds’ financial statements can be found in Note 10.

E) INVESTMENT TRANSACTIONS AND INCOME Investment transactions are recorded as of the trade date. The Funds determine the gain or loss realized from investment transactions by using an identified cost basis method. Interest income is recognized on an accrual basis and includes amortization of premiums and accretion of discounts using the effective yield method. The interest rates reflected in the Schedules of Investments represent either the stated coupon rate, annualized yield on the date of purchase for discount notes, the current reset rate for floating rate securities, the 7-day yield for money market funds or, for interest-only or principal-only securities, the current effective yield. Cost of investments includes amortization of premiums and accretion of discounts, if any. Dividend income, if any, is recognized on the ex-dividend date. Dividends from foreign securities are recorded on the ex-dividend date, or as soon as the information is available. Distributions received from a Fund’s investments in real estate investment trusts (“REITs”) are comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until the fiscal year-end. A Fund records the character of distributions received from the REITs during the year based on estimates available. A Fund’s characterization may be subsequently revised based on information received from the REITs after their tax reporting periods conclude.

F) EXPENSES Each Fund is charged for those expenses that are directly attributable to that Fund. Expenses arising in connection with a specific class of shares are charged to that class of shares. Expenses incurred which do not specifically relate to an individual fund generally are allocated among all funds in the Trust in proportion to each Fund’s relative net assets.

G) REDEMPTION FEES The Emerging Markets Equity Index, Global Real Estate Index, Global Sustainability Index, and International Equity Index Funds charge a 2 percent redemption fee on the redemption of shares (including by exchange) held for 30 days or less. For the purpose of applying the fee, the Funds use a first-in, first-out (“FIFO”) method so that shares held longest are treated as being redeemed first and shares held shortest are treated as being redeemed last. The redemption fee is paid to the Fund from which the redemption is made and is intended to offset the trading, market impact and other costs associated with short-term money movements in and out of the Funds. The redemption fee may be collected by deduction from the redemption proceeds or, if assessed after the redemption

transaction, through a separate billing. The Funds are authorized to waive the redemption fee for certain types of redemptions as described in the Funds’ prospectus.

Redemption fees for the six months ended September 30, 2020, were approximately $10,000, $2,000, $4,000 and less than $1,000 for the Emerging Markets Equity Index, Global Real Estate Index, Global Sustainability Index and International Equity Index Funds, respectively. Redemption fees were approximately $12,000, $3,000, $5,000 and $1,000 for the fiscal year ended March 31, 2020, for the Emerging Markets Equity Index, Global Real Estate Index, Global Sustainability Index and International Equity Index Funds, respectively. These amounts are included in Payments for Shares Redeemed in Note 8—Capital Share Transactions. The impact from redemption fees paid to each Fund was less than $0.001 per share for both fiscal periods.

H) DISTRIBUTIONS TO SHAREHOLDERS Distributions of dividends from net investment income, if any, are declared and paid as follows:


		DECLARATION AND PAYMENT FREQUENCY

Emerging Markets Equity Index		Annually

Global Real Estate Index		Quarterly

Global Sustainability Index		Annually

International Equity Index		Annually

Mid Cap Index		Annually

Small Cap Index		Annually

Stock Index		Quarterly

Distributions of net realized capital gains, if any, are declared and paid at least annually. Distributions to shareholders are recorded on the ex-dividend date.


Amounts in thousands	UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)			ACCUMULATED UNDISTRIBUTED NET REALIZED GAINS (LOSSES)			CAPITAL STOCK

Emerging Markets Equity Index		$ (39	)		$ 39			$ –

Global Real Estate Index		1,682			5,802			(7,484	)

Global Sustainability Index		(73	)		73			–

International Equity Index		(1,477	)		1,188			289

Small Cap Index		692			(944	)		252

Stock Index		(64	)		(467	)		530

I) FEDERAL INCOME TAXES No provision for federal income taxes has been made since each Fund’s policy is to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute, each year, substantially all of its taxable income and capital gains to its shareholders. The Funds may be subject to taxes imposed by countries in which they invest. Such taxes are generally based on income and/or capital gains earned. Taxes are accrued based on net investment income, net realized gains and net unrealized appreciation as such income and/or gains are recorded. Taxes accrued on unrealized gains are reflected as a liability on the Statements of Assets and Liabilities under the caption Deferred foreign capital gains tax payable and as a reduction in Net change in unrealized appreciation (depreciation) on investments on the Statements of Operations. When assets subject to capital gains tax are sold, accrued taxes are relieved, and the actual amount of the taxes paid is reflected on the Statements of Operations as a reduction in Net realized gains (losses) on Investments. The Funds seek to recover a portion of foreign withholding taxes applied to income earned in jurisdictions where favorable treaty rates for US investors are available. The portion of such taxes believed to be recoverable is reflected as an asset on the Statements of Assets and Liabilities under the caption Receivable for foreign tax reclaims.

For the period from November 1, 2019 through March 31, 2020, the following Funds incurred net capital losses and/or Section 988 net currency losses which the Funds intend to treat as having been incurred in the following fiscal year:


Amounts in thousands

Global Sustainability Index			$ 1,020

Small Cap Index			14,069

Stock Index			5,477

incurred by the Funds in taxable years beginning before the taxable year ended March 31, 2012 with an expiration date may not be used to offset capital gains until all net capital losses incurred in taxable years beginning with the taxable year ended March 31, 2012 without an expiration date have been utilized. As a result, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses instead of as short-term capital losses as under prior law. The Funds’ ability to utilize capital loss carryforwards in the future may be limited under the Code and related regulations based on the results of future transactions.

Capital losses incurred that will be carried forward indefinitely under the provisions of the Act are as follows:

Post-enactment losses


Amounts in thousands	SHORT-TERM CAPITAL LOSS CARRYFORWARD	LONG-TERM CAPITAL LOSS CARRYFOWARD

Emerging Markets Equity Index	$34,145	$400,105

International Equity Index*	28,357	501,379

Amounts include acquired capital loss carryovers which may be limited under current tax laws.

During the taxable year ended November 30, 2019, the Global Real Estate Index Fund utilized approximately $7,115,000 in capital loss carryforwards.

The Global Real Estate Index Fund had approximately $6,230,000 of capital loss carryforwards expire during the taxable year ended November 30, 2019.

At March 31, 2020, the tax components of undistributed net investment income, undistributed realized gains and unrealized gains (losses) were as follows:


	UNDISTRIBUTED
Amounts in thousands	ORDINARY INCOME*			LONG-TERM CAPITAL GAINS			UNREALIZED GAINS (LOSSES)

Emerging Markets Equity Index		$	6,833		$	–		$	184,481

Global Sustainability Index			3,528			–			12,160

International Equity Index			22,771			–			(25,218	)

Mid Cap Index			7,994			6,470			(117,597	)

Small Cap Index			3,015			75			9,735

Stock Index			4,896			–			3,578,137

Ordinary income includes taxable market discount income and short-term capital gains, if any.

The tax components of undistributed net investment income, undistributed realized gains and unrealized losses at November 30, 2019, the Global Real Estate Index Fund’s last tax year end, were as follows:

UNDISTRIBUTED

Amounts in thousands

ORDINARY
INCOME*

LONG-TERM

CAPITAL GAINS

UNREALIZED

GAINS (LOSSES)

Global Real Estate Index

53,178

–

$450,479

Ordinary income includes taxable market discount income and short-term capital gains, if any.

The tax character of distributions paid during the fiscal year ended March 31, 2020, was as follows:


	DISTRIBUTIONS FROM
Amounts in thousands	ORDINARY INCOME*			LONG-TERM CAPITAL GAINS

Emerging Markets Equity Index		$	76,000		$ –

Global Sustainability Index			15,009		6,408

International Equity Index			172,000		–

Mid Cap Index			34,000		20,750

Small Cap Index			15,500		7,300

Stock Index			173,198		68,627

Ordinary income includes taxable market discount income and short-term capital gains, if any.

The tax character of distributions paid during the fiscal year ended March 31, 2019, was as follows:


	DISTRIBUTIONS FROM
Amounts in thousands	ORDINARY INCOME*			LONG-TERM CAPITAL GAINS

Emerging Markets Equity Index		$	64,999		$	–

Global Sustainability Index			9,205			5,631

International Equity Index			170,000			–

Mid Cap Index			39,749			132,336

Small Cap Index			21,348			94,784

Stock Index			156,546			194,242

Ordinary income includes taxable market discount income and short-term capital gains, if any.

The tax character of distributions paid during the Global Real Estate Index Fund’s tax years ended November 30, 2019 and November 30, 2018 was designated for the purpose of the dividends paid deductions as follows:


	NOVEMBER 30, 2019 AND NOVEMBER 30, 2018 DISTRIBUTIONS FROM
Amounts in thousands	ORDINARY INCOME*			LONG-TERM CAPITAL GAINS

Global Real Estate Index (2019)		$	53,911		$–

Global Real Estate Index (2018)			87,381		–

Ordinary income includes taxable market discount income and short-term capital gains, if any.

The Global Real Estate Index Fund has a tax year end of November 30th. Therefore, the tax character of distributions paid for the period December 1, 2019 through March 31, 2020 will be determined at the end of its tax year.

J) OTHER RISKS Certain Funds may invest in emerging market securities. Additional risks are involved when a Fund invests its assets in countries with emerging economies or securities markets. These countries generally are located in the Asia and Pacific regions, the Middle East, Eastern Europe, Central America, South America and Africa. Political and economic structures in many of these countries may lack the social, political and economic stability characteristics of more developed countries. In general, the securities markets of these countries are less liquid, subject to greater price volatility and have smaller market capitalizations. As a result, the risks presented by investments in these countries are heightened.

3. SERVICE PLAN

Effective July 31, 2020, Service Organizations may receive fees from Class I shares of the Global Sustainability Index Fund at an annual rate of up to 0.15% of the average daily NAV of Class I shares of the Fund beneficially owned by such clients. NTI has

contractually agreed to limit payments of service fees from Class I shares of the Global Sustainability Index Fund to an annual rate of 0.05% of the average NAV of the Class I shares of the Fund. There is no service fee payable by Class K shares of the Global Sustainability Index Fund.

There were no shareholder servicing fees paid by the Funds to Northern Trust or its affiliates during the six months ended September 30, 2020.

Service Plan expenses, if any, are included in the Statements of Operations under Shareholder servicing fees for the six months ended September 30, 2020.

4. BANK BORROWINGS

At a meeting held on August 19-20, 2020, the Board approved an agreement to replace the Credit Facility (as replaced, the “New Credit Facility”). The New Credit Facility is also in the amount of $250,000,000 and will also be administered by Citibank, N.A. The interest rate charged under the New Credit Facility is equal to the sum of (i) the Federal Funds Rate plus (ii) if the one month LIBOR on the date of borrowing exceeded such Federal Funds Rate, the amount by which it so exceeded, plus (iii) 1.25 percent. In addition, there is an annual commitment fee of 0.15 percent on the unused portion of the credit line under the New Credit Facility, payable quarterly in arrears. The New Credit Facility is anticipated to go into effect on November 16, 2020 and will expire on November 15, 2021, unless renewed.

During the six months ended September 30, 2020, the following Funds had borrowings with the average loan amounts and weighted average interest rates as disclosed below:


Amounts in thousands	DOLLAR AMOUNT			RATE

Emerging Markets Equity Index		$	6,500		1.66	%

Global Real Estate Index			3,600		1.17

Stock Index			3,200		1.18

No other Funds had any borrowings or incurred any interest expense during the six months ended September 30, 2020. There were no outstanding loan amounts at September 30, 2020.

5. MANAGEMENT AND OTHER AGREEMENTS

As compensation for advisory and administration services and the assumption of related expenses, NTI is entitled to a management fee, computed daily and payable monthly, at the annual rates set forth in the table below (expressed as a percentage of each Fund’s respective average daily net assets).

NTI has contractually agreed to reimburse a portion of the operating expenses of each Fund (other than certain excepted expenses, i.e., acquired fund fees and expenses, service fees for the Global Sustainability Index Fund (effective July 31, 2020), the compensation paid to each independent Trustee of the Trust, expenses of third-party consultants engaged by the Board, membership dues paid to the Investment Company Institute and Mutual Fund Directors Forum, expenses in connection with the negotiation and renewal of the revolving credit facility, extraordinary expenses and interest) as shown on the accompanying Statements of Operations, to the extent the total annual fund operating expenses of the Funds exceed the expense limitations set forth below. The total annual fund operating expenses after expense reimbursement for each Fund may be higher than the contractual limitation as a result of certain excepted expenses that are not reimbursed. The amount of the reimbursement is included in Less expenses reimbursed by investment adviser as a reduction to Total Expenses in the Statements of Operations.

At September 30, 2020, the annual management fees and contractual expense limitations for the Funds were based on the following annual rates as set forth in the table below.


	CONTRACTUAL
	ANNUAL MANAGEMENT FEES			EXPENSE LIMITATIONS

Emerging Markets Equity Index		0.21	%		0.30	%

Global Real Estate Index		0.40	%		0.50	%

International Equity Index		0.18	%		0.25	%

Mid Cap Index		0.13	%		0.15	%

Small Cap Index		0.13	%		0.15	%

Stock Index		0.08	%		0.10	%


	CONTRACTUAL
	ANNUAL MANAGEMENT FEES			EXPENSE LIMITATIONS

Global Sustainability Index⁽¹⁾		0.18	%		0.25	%

⁽¹⁾

Prior to July 31, 2020, the Global Sustainability Index Fund’s contractual expense limitation for the Shares class was based on an annual rate of 0.30%.

The contractual reimbursement arrangement is expected to continue until at least July 31, 2021. The contractual reimbursement arrangement will continue automatically thereafter for periods of one year (each such one-year period, a “Renewal Year”). The arrangement may be terminated, as to any succeeding Renewal Year, by NTI or a Fund upon 60 days’ written notice prior to the end of the current Renewal Year. The Board may terminate the contractual arrangements at any time with respect to a Fund if it determines that it is in the best interest of the Fund and its shareholders.

In addition, NTI has contractually agreed to reimburse certain additional expenses that may be excepted expenses.

Certain officers of the Trust are also officers of Northern Trust and NTI. All officers serve without compensation from the Funds. The Trust provided a deferred compensation plan for its Trustees who are not officers of Northern Trust or NTI. Prior to August 22, 2013, under the deferred compensation plan, Trustees may have elected to defer all or a portion of their compensation. Effective August 22, 2013, the Trustees may no longer defer their compensation. Any amounts deferred and invested under the plan shall remain invested pursuant to the terms of the plan. Each Trustee’s account shall be deemed to be invested in shares of the U.S. Government Portfolio of Northern Institutional Funds and/or the Global Tactical Asset Allocation Fund of the Trust and/or, at the discretion of the Trust, another money market fund selected by the Trust that complies with the provisions of Rule 2a-7 under the 1940 Act or one or more short-term fixed-income instruments selected by the Trust that are “eligible

securities” as defined by that rule. The net investment income, gains and losses achieved by such deemed investment shall be credited to the Trustee’s account as provided in the plan.

6. RELATED PARTY TRANSACTIONS

The Funds are permitted to purchase and sell securities from or to certain affiliated funds or portfolios under specific conditions outlined in Rule 17a-7 Procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price as defined in the Rule 17a-7 Procedures. For the six months ended September 30, 2020, the Funds did not engage in any purchases and/or sales of securities from an affiliated entity.

During the fiscal year ended March 31, 2020, International Equity Index Fund received reimbursements from The Northern Trust Company of approximately $69,000 in connection with an error. This reimbursement is included in Net investment income in the Statements of Changes in Net Assets and in Net investment income in the Financial Highlights. The cash contribution represents less than $0.01 per share and had no effect on the Fund’s total return.

During the six months ended September 30, 2020, the Emerging Markets Equity Index Fund received reimbursements from The Northern Trust Company of approximately $151,000 in connection with an error. This reimbursement is included in Net investment income in the Statements of Operations and

Transactions in Shares for the six months ended September 30, 2020, were as follows:


Amounts in thousands	SHARES SOLD		PROCEEDS FROM SHARES SOLD		SHARES FROM REINVESTED DIVIDENDS		REINVESTMENTS OF DIVIDENDS		SHARES REDEEMED			PAYMENTS FOR SHARES REDEEMED			NET INCREASE (DECREASE) IN SHARES			NET INCREASE (DECREASE) IN NET ASSETS

Emerging Markets Equity Index		23,809		$268,178		–		$ –		(39,484	)		$ (414,287	)		(15,675	)		$(146,109	)

Global Real Estate Index		20,352		178,252		582		5,150		(88,367	)		(764,042	)		(67,433	)		(580,640	)

Global Sustainability Index *		9,922		142,839		–		–		(65,056	)		(999,402	)		(55,134	)		(856,563	)

International Equity Index		31,256		339,049		–		–		(70,654	)		(755,717	)		(39,398	)		(416,668	)

Mid Cap Index		15,925		252,770		–		–		(32,010	)		(527,163	)		(16,085	)		(274,393	)

Small Cap Index		15,178		165,020		–		–		(19,195	)		(206,742	)		(4,017	)		(41,722	)

Stock Index		13,435		459,107		423		15,239		(35,793	)		(1,263,267	)		(21,935	)		(788,921	)

Transactions in capital shares for the fiscal year ended March 31, 2020, were as follows:


Amounts in thousands	SHARES SOLD		PROCEEDS FROM SHARES SOLD			SHARES FROM REINVESTED DIVIDENDS		REINVESTMENTS OF DIVIDENDS			SHARES REDEEMED			PAYMENTS FOR SHARES REDEEMED				NET INCREASE (DECREASE) IN SHARES			NET INCREASE (DECREASE) IN NET ASSETS

Global Sustainability Index		24,705		$	363,542		892		$	13,784		(16,165	)		$	(236,009	)		9,432			$	141,317

International Equity Index		64,405			748,418		1,923			24,345		(99,531	)			(1,124,552	)		(33,203	)			(351,789	)

Mid Cap Index		26,990			473,955		1,540			29,630		(31,253	)			(530,071	)		(2,723	)			(26,486	)

Small Cap Index		21,657			256,854		887			11,732		(20,463	)			(236,123	)		2,081				32,463

Stock Index		40,154			1,370,565		2,734			96,446		(34,966	)			(1,195,902	)		7,922				271,109

Transactions in Class K shares for the period ended September 30, 2020, were as follows:


Amounts in thousands	SHARES SOLD			PROCEEDS FROM SHARES SOLD				SHARES FROM REINVESTED DIVIDENDS		REINVESTMENTS OF DIVIDENDS			SHARES REDEEMED			PAYMENTS FOR PAYMENTS FOR SHARES REDEEMED				NET INCREASE (DECREASE) IN SHARES		NET INCREASE (DECREASE) IN NET ASSETS

Global Sustainability Index*		26,994	**		$	418,504	**		–		$	–		(627	)		$	(10,001	)		26,367		$	408,503

Commenced class operations on July 31, 2020.

Amounts include shares of approximately 26,260,000 and proceeds of approximately $407,037,000 for the Global Sustainability Index Fund which was transferred due to the conversion of the Shares Class to Class K. The transfer was completed on July 31, 2020.

Transactions in Class I shares for the period ended September 30, 2020, were as follows:


Amounts in thousands	SHARES SOLD			PROCEEDS FROM SHARES SOLD				SHARES FROM REINVESTED DIVIDENDS		REINVESTMENTS OF DIVIDENDS			SHARES REDEEMED			PAYMENTS FOR SHARES REDEEMED				NET INCREASE (DECREASE) IN SHARES		NET INCREASE (DECREASE) IN NET ASSETS

Global Sustainability Index*		36,387	**		$	565,358	**		–		$	–		(1,772	)		$	(28,093	)		34,615		$	537,265

Commenced class operations on July 31, 2020.

Amounts include shares of approximately 33,292,000 and proceeds of approximately $516,131,000 for the Global Sustainability Index Fund which was transferred due to the conversion of the Shares Class to Class I. The transfer was completed on July 31, 2020.

9. INVESTMENTS IN AFFILIATES

Transactions in affiliated investments for the six months ended September 30, 2020, were as follows:


Amounts in thousands except shares	AFFILIATE	VALUE, BEGINNING OF PERIOD			PURCHASES			SALES PROCEEDS			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)			NET REALIZED GAINS (LOSSES)				DIVIDEND INCOME			VALUE, END OF PERIOD			SHARES, END OF PERIOD

	Northern Institutional Funds -

Emerging Markets Equity Index	U.S. Government Portfolio (Shares)		$	9,549		$	333,908		$	318,063		$	–		$	–			$	12		$	25,394		25,393,824

	Northern Institutional Funds -

Global Real Estate Index	U.S. Government Portfolio (Shares)			303			297,872			285,193			–			–				6			12,982		12,982,323

	Northern Institutional Funds -

Global Sustainability Index	U.S. Government Portfolio (Shares)			6,851			125,515			112,018			–			–				3			20,348		20,347,974

	Northern Trust Corp.			577			72			40			34			(15	)			11			628		8,049

	Total		$	7,428		$	125,587		$	112,058		$	34		$	(15	)		$	14		$	20,976		20,356,023


Amounts in thousands except shares	AFFILIATE	VALUE, BEGINNING OF PERIOD			PURCHASES			SALES PROCEEDS			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)			NET REALIZED GAINS (LOSSES)			DIVIDEND INCOME			VALUE, END OF PERIOD			SHARES, END OF PERIOD

	Northern Institutional Funds -

International Equity Index	U.S. Government Portfolio (Shares)		$	38,314		$	279,925		$	305,119		$	–		$	–		$	8		$	13,120		13,119,724

	Northern Institutional Funds -

Mid Cap Index	U.S. Government Portfolio (Shares)			14,663			255,264			213,523			–			–			9			56,404		56,403,969

	Northern Institutional Funds -

Small Cap Index	U.S. Government Portfolio (Shares)			5,226			157,821			142,687			–			–			6			20,360		20,359,722

	Northern Institutional Funds -

Stock Index	U.S. Government Portfolio (Shares)			148,697			584,156			716,989			–			–			70			15,864		15,863,976

	Northern Trust Corp.			5,616			29			355			178			24			102			5,492		70,440

	Total		$	154,313		$	584,185		$	717,344		$	178		$	24		$	172		$	21,356		15,934,416

10. DERIVATIVE INSTRUMENTS

Information concerning the types of derivatives in which the Funds invest, the objectives for using them and their related risks can be found in Note 2.

Below are the types of derivatives by primary risk exposure as presented in the Statements of Assets and Liabilities as of September 30, 2020:

ASSETS

LIABILITIES

Amounts in thousands

CONTRACT TYPE

STATEMENTS OF

ASSETS LOCATION

VALUE

STATEMENTS OF

LIABILITIES LOCATION

VALUE

Emerging Markets Equity Index

Equity contracts

Net Assets - Net unrealized appreciation

$ –

Net Assets - Net unrealized depreciation

(133

Foreign exchange contracts

Unrealized appreciation on forward foreign currency exchange contracts

Unrealized depreciation on forward foreign currency exchange contracts

(83

)

Global Real Estate Index

Equity contracts

Net Assets - Net unrealized appreciation

681*

Net Assets - Net unrealized depreciation

–

Foreign exchange contracts

Unrealized appreciation on forward foreign currency exchange contracts

Unrealized depreciation on forward foreign currency exchange contracts

(48

)

Global Sustainability Index

Equity contracts

Net Assets - Net unrealized appreciation

72*

Net Assets - Net unrealized depreciation

(147

Foreign exchange contracts

Unrealized appreciation on forward foreign currency exchange contracts

Unrealized depreciation on forward foreign currency exchange contracts

(22

)

International Equity Index

Equity contracts

Net Assets - Net unrealized appreciation

154*

Net Assets - Net unrealized depreciation

(1,041

Foreign exchange contracts

Unrealized appreciation on forward foreign currency exchange contracts

173

Unrealized depreciation on forward foreign currency exchange contracts

(163

)

Mid Cap Index

Equity contracts

Net Assets - Net unrealized appreciation

912*

Net Assets - Net unrealized depreciation

–

Small Cap Index

Equity contracts

Net Assets - Net unrealized appreciation

–

Net Assets - Net unrealized depreciation

(57

ASSETS

LIABILITIES

Amounts in thousands

CONTRACT TYPE

STATEMENTS OF

ASSETS LOCATION

VALUE

STATEMENTS OF

LIABILITIES LOCATION

VALUE

Stock Index

Equity contracts

Net Assets - Net unrealized appreciation

$315*

Net Assets - Net unrealized depreciation

$ –

The Funds may enter into transactions subject to enforceable netting agreements or other similar arrangements (“netting agreements”). Generally, netting agreements allow the Funds to offset any exposure to a specific counterparty with any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, the Funds manage their cash collateral and securities collateral on a counterparty basis. In the event of default where the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the defaulting party, realization of collateral by the Funds may be delayed or limited. In addition, the netting agreements provide the right for the non-defaulting party to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral.

As of September 30, 2020, gross amounts of assets and liabilities for forward foreign exchange contracts not offset in the Statements of Assets and Liabilities, related collateral and net amounts after taking into account netting agreements, by counterparty, are as follows:


					GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
Amounts in thousands	COUNTERPARTY	GROSS AMOUNTS OF ASSETS PRESENTED IN STATEMENTS OF ASSETS AND LIABILITIES			FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED		NET AMOUNT

Emerging Markets Equity Index	Goldman Sachs		$ 24			$ (2	)		$ –		$22

	Toronto-Dominion Bank		–	*		–			–		–	*

	Total		$ 24			$ (2	)		$ –		$22

Global Real Estate Index	BNP		$2			$ –			$ –		$2

	JPMorgan Chase		2			(2	)		–		–

	Morgan Stanley		28			(8	)		–		20

	UBS		1			–			–		1

	Total		$ 33			$(10	)		$ –		$23

Global Sustainability Index	BNP		$ 1			$ –			$ –		$1

	JPMorgan Chase		1			(1	)		–		–

	Morgan Stanley		5			(5	)		–		–

	Toronto-Dominion Bank		4			(3	)		–		1

	Total		$ 11			$ (9	)		$ –		$2

International Equity Index	JPMorgan Chase		$ 22			$(22	)		$ –		$–

	Morgan Stanley		144			(51	)		–		93

	Toronto-Dominion Bank		7			(7	)		–		–

	UBS		–	*		–			–		–	*

	Total		$173			$(80	)		$ –		$93
					GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
Amounts in thousands	COUNTERPARTY	GROSS AMOUNTS OF LIABILITIES PRESENTED IN STATEMENTS OF ASSETS AND LIABILITIES			FINANCIAL INSTRUMENTS			CASH COLLATERAL PLEDGED		NET AMOUNT

Emerging Markets Equity Index	Citibank		$(79	)		$ –			$ –		$(79	)

	Goldman Sachs		(2	)		2			–		–

	Morgan Stanley		(1	)		–			–		(1	)


					GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
Amounts in thousands	COUNTERPARTY	GROSS AMOUNTS OF LIABILITIES PRESENTED IN STATEMENTS OF ASSETS AND LIABILITIES			FINANCIAL INSTRUMENTS		CASH COLLATERAL PLEDGED		NET AMOUNT

	UBS		$ (1	)		$ –		$ –		$(1	)

	Total		$ (83	)		$ 2		$ –		$(81	)

Global Real Estate Index	Citibank		$ (12	)		$ –		$ –		$(12	)

	Goldman Sachs		–	*		–		–		–	*

	JPMorgan Chase		(26	)		2		–		(24	)

	Morgan Stanley		(8	)		8		–		–

	Toronto-Dominion Bank		(2	)		–		–		(2	)

	Total		$ (48	)		$ 10		$ –		$(38	)

Global Sustainability Index	Citibank		$ (1	)		$ –		$ –		$(1	)

	JPMorgan Chase		(13	)		1		–		(12	)

	Morgan Stanley		(5	)		5		–		–

	Toronto-Dominion Bank		(3	)		3		–		–

	UBS		–	*		–		–		–	*

	Total		$ (22	)		$ 9		$ –		$(13	)

International Equity Index	Citibank		$ (13	)		$ –		$ –		$(13	)

	JPMorgan Chase		(75	)		22		–		(53	)

	Morgan Stanley		(51	)		51		–		–

	Toronto-Dominion Bank		(24	)		7		–		(17	)

	Total		$(163	)		$80		$ –		$(83	)

Amount rounds to less than one thousand.


		AMOUNT OF REALIZED GAIN (LOSS) ON DERIVATIVE CONTRACTS

Amounts in thousands	CONTRACT TYPE	STATEMENTS OF OPERATIONS LOCATION	VALUE

Emerging Markets Equity Index	Equity contracts	Net realized gains (losses) on futures contracts	$	15,578

	Foreign exchange contracts	Net realized gains (losses) on forward foreign currency exchange contracts		98

Global Real Estate Index	Equity contracts	Net realized gains (losses) on futures contracts		7,263

	Foreign exchange contracts	Net realized gains (losses) on forward foreign currency exchange contracts		224

Global Sustainability Index	Equity contracts	Net realized gains (losses) on futures contracts		3,562

	Foreign exchange contracts	Net realized gains (losses) on forward foreign currency exchange contracts		25

International Equity Index	Equity contracts	Net realized gains (losses) on futures contracts		20,196

	Foreign exchange contracts	Net realized gains (losses) on forward foreign currency exchange contracts		1,416

Mid Cap Index	Equity contracts	Net realized gains (losses) on futures contracts		7,770

Small Cap Index	Equity contracts	Net realized gains (losses) on futures contracts		4,474

Stock Index	Equity contracts	Net realized gains (losses) on futures contracts		34,036
		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVE CONTRACTS

Amounts in thousands	CONTRACT TYPE	STATEMENTS OF OPERATIONS LOCATION	VALUE

Emerging Markets Equity Index	Equity contracts	Net change in unrealized appreciation (depreciation) on futures contracts	$	(2,748	)


		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVE CONTRACTS

Amounts in thousands	CONTRACT TYPE	STATEMENTS OF OPERATIONS LOCATION	VALUE

	Foreign exchange contracts	Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts	$	(247	)

Global Real Estate Index	Equity contracts	Net change in unrealized appreciation (depreciation) on futures contracts		(200	)

	Foreign exchange contracts	Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts		(6	)

Global Sustainability Index	Equity contracts	Net change in unrealized appreciation (depreciation) on futures contracts		(360	)

	Foreign exchange contracts	Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts		19

International Equity Index	Equity contracts	Net change in unrealized appreciation (depreciation) on futures contracts		(10,703	)

	Foreign exchange contracts	Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts		(294	)

Mid Cap Index	Equity contracts	Net change in unrealized appreciation (depreciation) on futures contracts		(142	)

Small Cap Index	Equity contracts	Net change in unrealized appreciation (depreciation) on futures contracts		(662	)

Stock Index	Equity contracts	Net change in unrealized appreciation (depreciation) on futures contracts		3,035

Volume of derivative activity for the six months ended September 30, 2020*:


	FOREIGN EXCHANGE CONTRACTS					EQUITY CONTRACTS
	NUMBER OF TRADES		AVERAGE NOTIONAL AMOUNT**			NUMBER OF TRADES		AVERAGE NOTIONAL AMOUNT**

Emerging Markets Equity Index		69		$	1,066		56		$	4,194

Global Real Estate Index		55			982		217			1,974

Global Sustainability Index		117			329		365			417

International Equity Index		200			1,736		86			3,404

Mid Cap Index		–			–		43			7,547

Small Cap Index		–			–		39			3,253

Stock Index		–			–		22			27,617

Activity for the period is measured by number of trades during the period and average notional amount for foreign currency exchange and futures equity contracts.

Amounts in thousands.

11. INDEMNIFICATIONS AND WARRANTIES

12. LEGAL PROCEEDINGS

In 2007, the Stock Index Fund was a shareholder of the Tribune Company (“Tribune”). In December of 2007, as a part of a leveraged buy-out transaction (the “LBO”), Tribune was converted from a public company to a privately-held company. Tribune later filed for bankruptcy.

On December 7, 2010, Northern Funds was named as a defendant and a putative member of the proposed defendant class of shareholders named in an adversary proceeding (the “Committee Action”) brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune’s bankruptcy proceeding. On June 2, 2011, a second suit was initiated by certain creditors of Tribune in the Delaware Superior Court with respect to claims related to the LBO (Niese et

al. v. A.G. Edwards, Inc. et al.), in which Northern Funds was named as a defendant. On June 2, 2011 the indenture trustees, on behalf of certain noteholders of Tribune, filed a third suit and named Northern Funds as a defendant in the U.S. District Court for the Northern District of Illinois (Deutsche Bank Trust Co. et al. v. Ohlson Enterprises et al.) and a fourth suit named Northern Funds as a defendant in the U.S. District Count for the Southern District of New York (Deutsche Bank Trust Co. et al. v Sirius International Insurance Corp. et al.). Each of these cases, along with others brought by the indenture trustees and other individual creditors, has now been consolidated into a Multi-District Litigation proceeding in the Southern District of New York (the “District Court”). The cases attempt to “clawback” the proceeds paid out in connection with the LBO. The Tribune bankruptcy plan was confirmed by the U.S Bankruptcy Court on July 23, 2012, and became effective on December 31, 2012.

The former shareholder defendants filed motions to dismiss, each of which were granted by the District Court. The District Court’s order dismissing the actions by the individual creditors was affirmed on appeal by the Second Circuit Court of Appeals (the “Second Circuit Decision”). The Plaintiffs in the individual creditor actions filed a Petition for Writ of Certiorari requesting review of the Second Circuit Decision by the United States Supreme Court; however, the Supreme Court issued a statement indicating a potential lack of a quorum and informing the parties that the Second Circuit or District Court could provide relief based on the Supreme Court decision in Merit Management Group, LP v. FTI Consulting, Inc. The Plaintiffs filed a motion with the Second Circuit to recall the mandate and vacate the Second Circuit decision, and the Second Circuit recalled the mandate on May 15, 2018. On December 19, 2019, the Second Circuit issued an amended decision that affirmed dismissal of the constructive fraudulent transfer claims, holding that the safe harbor of Section 546(e) of the Bankruptcy Code applies. On February 6, 2020, the Second Circuit denied plaintiffs’ petition for a rehearing en banc. Plaintiffs filed a Writ of Certiorari with the United States Supreme Court on July 6, 2020 to seek review of the Second Circuit’s amended decision. Defendants filed an opposition brief on August 26, 2020, and plaintiffs filed a reply brief on September 8, 2020. On October 5, 2020, the Supreme Court invited the Acting Solicitor General to file a brief expressing the views of the United States.

and related orders to the Second Circuit Court of Appeals. The appeal was fully briefed, and argument on the appeal took place on August 24, 2020. The Second Circuit has not yet issued a decision.

The value of the proceeds received by the Stock Index Fund in the LBO was approximately $790,000, which includes proceeds of approximately $372,000 received by the Northern Institutional Funds Equity Index Portfolio, which was acquired by the Stock Index Fund in 2012. The Fund cannot predict the outcome of these proceedings, but an adverse decision could have a material impact on the Fund’s NAV. The Fund intends to vigorously defend these actions.

On or about February 14, 2020, Marc S. Kirschner, as Trustee for NWHI Litigation Trust (“Litigation Trustee”) and Wilmington Savings Fund Society, FSB, as indenture Trustee (“Indenture Trustee”) for several series of notes issued by Nine West Holdings, Inc. (“Nine West”), filed separate complaints (docket nos. 20-cv-01129 and 20-cv-01136, respectively ) in the United States District Court for the Northern District of Illinois against a group of defendants that includes three Northern Funds that had invested in The Jones Group Inc. (“Jones Group”) including the Small Cap Index Fund. The claim stems from a series of merger transactions (“Transactions”) entered into by Jones Group, Nine West and others in 2014 that allegedly rendered Jones Group insolvent. The matters in these proceedings have been transferred from the United States District Court for the Northern District of Illinois to the United States District Court for the Southern District of New York to centralize the litigation, and have been assigned to the Honorable Jed S. Rakoff for coordinated or consolidated pretrial proceedings. The Fund allegedly received $683,610 as a result of the Transactions. The Litigation Trustee and Indenture Trustee seek to clawback these proceeds for the benefit of the Trust and the noteholders, respectively, on the basis that they were fraudulent conveyances. The Funds intend to vigorously defend themselves against this action.

13. LIBOR TRANSITION

Certain of the Funds’ investments, payment obligations and financing terms may be based on floating rates, such as LIBOR, Euro Interbank Offered Rate and other similar types of reference rates (each, a “Reference Rate”). On July 27, 2017, the Chief Executive of the UK Financial Conduct Authority (“FCA”), which regulates LIBOR, announced that the FCA will no longer persuade nor compel banks to submit rates for the calculation of LIBOR and certain other Reference Rates after 2021. Such announcement indicates that the continuation of LIBOR and other Reference Rates on the current basis cannot and will not be guaranteed after 2021. The transition away from Reference Rates may lead to increased volatility and illiquidity in markets that are tied to such Reference Rates and reduced values of Reference Rate-related instruments. This announcement and any additional regulatory or

market changes that occur as a result of the transition away from Reference Rates may have an adverse impact on a Fund’s investments, performance or financial condition.

14. CORONAVIRUS (COVID-19) PANDEMIC

15. SUBSEQUENT EVENTS

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, if any, including redemption fees on certain exchanges and redemptions in the Emerging Markets Equity Index, Global Real Estate Index, Global Sustainability Index, and International Equity Index Funds; and (2) ongoing costs, including management fees and other fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period, April 1, 2020 through September 30, 2020.

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), redemption fees, or exchange fees or other costs such as advisory fees related to affiliated money market fund investments, but shareholders of other funds may incur such costs. For example, the information does not reflect redemption fees (See page 120), if any, in the Emerging Markets Equity Index, Global Real Estate Index, Global Sustainability Index, and International Equity Index Funds. If these fees were included, your costs would have been higher. The information also does not reflect reimbursements of advisory fees incurred in connection with the investment of uninvested cash in affiliated money market funds (See page 124), which may result in different expense ratios in the Financial Highlights. Therefore, the

hypothetical information is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.



EMERGING MARKETS EQUITY INDEX
SHARES	EXPENSE RATIO			BEGINNING ACCOUNT VALUE 4/1/2020			ENDING ACCOUNT VALUE 9/30/2020			EXPENSES PAID* 4/1/2020- 9/30/2020

Actual		0.30	%		$	1,000.00		$	1,300.50		$	1.73

Hypothetical		0.30	%		$	1,000.00		$	1,023.50		$	1.52

GLOBAL REAL ESTATE INDEX
SHARES	EXPENSE RATIO			BEGINNING ACCOUNT VALUE 4/1/2020			ENDING ACCOUNT VALUE 9/30/2020			EXPENSES PAID* 4/1/2020- 9/30/2020

Actual		0.49	%		$	1,000.00		$	1,126.10		$	2.60

Hypothetical		0.49	%		$	1,000.00		$	1,022.55		$	2.48

GLOBAL SUSTAINABILITY INDEX
	EXPENSE RATIO			BEGINNING ACCOUNT VALUE 4/1/2020			ENDING ACCOUNT VALUE 9/30/2020			EXPENSES PAID* 4/1/2020- 9/30/2020

Class K⁽¹⁾

Actual		0.24	%		$	1,000.00		$	1,026.40		$	0.41

Hypothetical		0.24	%		$	1,000.00		$	1,023.80		$	1.21

Class I⁽¹⁾

Actual		0.29	%		$	1,000.00		$	1,025.80		$	0.50

Hypothetical		0.29	%		$	1,000.00		$	1,023.55		$	1.47

INTERNATIONAL EQUITY INDEX
SHARES	EXPENSE RATIO			BEGINNING ACCOUNT VALUE 4/1/2020			ENDING ACCOUNT VALUE 9/30/2020			EXPENSES PAID* 4/1/2020- 9/30/2020

Actual		0.25	%		$	1,000.00		$	1,202.00		$	1.38

Hypothetical		0.25	%		$	1,000.00		$	1,023.75		$	1.26

MID CAP INDEX
SHARES	EXPENSE RATIO			BEGINNING ACCOUNT VALUE 4/1/2020			ENDING ACCOUNT VALUE 9/30/2020			EXPENSES PAID* 4/1/2020- 9/30/2020

Actual		0.15	%		$	1,000.00		$	1,299.50		$	0.86

Hypothetical		0.15	%		$	1,000.00		$	1,024.25		$	0.76

More specifically, the Trustees reviewed, among other things, information relating to: (i) the terms of the Management Agreement; (ii) the Funds’ investment performance over different time periods in comparison to the investment performance of mutual fund peer groups and categories selected by Broadridge, an independent third-party provider of mutual fund data; (iii) the contractual and net management fees and total expenses (after expense reimbursements and fee waivers) of the Funds in comparison to those borne by mutual fund peer groups and categories selected by Broadridge; (iv) the management fees charged to the Funds compared to the management fees charged by Northern to Northern’s other comparable institutional accounts; (v) Northern’s staffing for the Funds and the experience of the portfolio managers, credit research and other personnel; (vi) Northern’s financial resources and its ability to attract and retain portfolio management talent; (vii) Northern’s investments in technology to benefit the Funds; (viii) the fees paid by the Funds to Northern and its affiliates for services, and the expenses incurred by them in connection with the provision of those services; and (ix) the benefits received by Northern and its affiliates from their relationships with the Funds. The Trustees were provided with a description of the methodology Broadridge used to determine the similarity of the Funds with the funds included in their respective peer groups and peer universes. The Trustees also took into account factors such as conditions and trends prevailing generally in the economy, the securities markets, and the industry. In evaluating the Management Agreement for each of the Funds, the Trustees gave weight to various factors including those discussed herein, but did not identify any single factor as controlling their decision, and each Trustee may have attributed different weight to different factors.

Nature, Extent and Quality of Services

Performance

The Trustees considered the investment performance of each of the Funds, including whether it had operated within its respective investment objectives, as well as its compliance with its investment restrictions. The Trustees received information on the Funds’ investment performance for one, two, three, four, five and ten years, as well as performance for the most recent quarter and year-to-date. The Trustees compared the investment performance of the Funds to the performance of other SEC registered funds and to rankings issued by Broadridge. The Funds were ranked by Broadridge in quintiles, ranging from first to fifth, where first is the most desirable quintile position and fifth is the least desirable. The Trustees also reviewed the Funds’ investment performance relative to their respective performance benchmarks; and the Funds’ three-year performance versus net expenses as calculated by Broadridge (“Broadridge Bubble Charts”).

The Trustees noted that the performance of each of the Funds was in the first, second or third quintiles relative to its respective Broadridge peer performance universe for the one-, three- and five-year periods ended January 31, 2020, with the exception of the Emerging Markets Equity Index Fund and Global Real Estate Index Fund, which were each in the fourth quintile for the one-year period.

The Trustees took into account the portfolio managers’ discussions for the reasons for tracking differences of the Funds and considered that each of them was appropriately tracking its respective index. They also considered that none of the Funds was in the least desirable less return, more expenses quadrant of its Broadridge Bubble Chart.

The Trustees also took into account senior management’s and portfolio managers’ discussion of the Funds’ performance and explanations for differences in investment parameters of certain Funds and their peers. In addition, the Trustees reviewed the consistency of Northern’s investment approach for the Funds and processes to address performance issues, if any. The Trustees expected and believed also that Northern was appropriately monitoring underperforming Funds. They noted that the quarterly in-depth performance reviews had assisted them in that regard.

Fee Rates, Costs of Services and Profitability

The Trustees also evaluated the Funds’ contractual management fee rates and the net (after expense reimbursements) management fees paid by the Funds; the Funds’ total operating expense ratios; Northern’s contractual commitments to continue expense reimbursements for at least one year with respect to the Funds; and whether a consistent methodology was in place for determining the fees and expenses of the Funds. They also noted certain other actions taken by Northern in past years to reduce Fund expenses. The Trustees also considered that, for those Funds that were sweeping uninvested cash into a Northern-affiliated money market Portfolio, Northern was in each case rebating back to the investing Fund all of the advisory fees received by Northern, if any, of the applicable money market Portfolio.

include both advisory and administrative costs. Among other things, the Trustees noted that the Funds’ actual management fees were equal to or lower than the Funds’ respective peer group and universe medians; and the Funds’ actual expenses, after reimbursement and fee waivers, were in the first quintile of their respective peer group and peer universe, except the International Equity Index Fund, which was in the second quintile of its peer group and universe.

The Trustees took into account Northern’s discussion of the Funds’ expenses, and that Northern had reimbursed expenses for most of the Funds. They also reviewed information comparing the Funds’ fee rates to the fee rates charged by Northern to similarly managed, private institutional accounts, if any. They noted that there were not applicable comparisons for every Fund. For Funds where there were applicable comparisons, the Trustees considered the difference in, and level of complexity of, services provided by Northern with regard to the private institutional accounts, as well as regulatory, operational and compliance differences, board and committee support provided by Northern to the Funds and other differences. The Trustees considered the fee comparisons in light of the differences in management of these different kinds of accounts. These comparisons assisted the Trustees in evaluating the reasonableness of the management fees paid by the Funds.

They also noted that Northern appeared to have the resources necessary to fulfill its obligations under its management and other agreements with the Funds.

Economies of Scale

The Trustees considered the extent to which economies of scale would be realized as the Funds grow and whether fee levels reflected these economies of scale for the benefit of shareholders. They took into account management’s discussion of the Funds’ management fee structure and considered Northern’s view that the Funds were sharing in economies of scale through the level at which the Funds’ management fees are set and through Northern’s contractual expense reimbursements that limit the expenses for the Funds to specific levels. They agreed that breakpoints were not necessary with respect to the Funds at this time based on the level of management fees and the contractual expense reimbursements. The Trustees determined, on the basis of the foregoing, that the Funds’ current management fee structures were reasonable.

Other Benefits to Northern

The Trustees also reviewed other benefits accruing to Northern and its affiliates as a result of their relationship with the Funds. Those benefits included fees received by the affiliates for transfer agency, custodial and sub-administrative functions. The Trustees also considered that many of the Funds’ shareholders had other client relationships with The Northern Trust Company and its affiliates. In addition, the Trustees considered that the scale of the Funds provided opportunities to Northern to obtain securities trading advantages for its other advisory clients and that Northern and its affiliates benefit from their ability to leverage resources over a larger asset base. The Trustees also took into account the extent to which Northern benefited from receipt of research products and services generated by the Trust’s other equity investment portfolios.

After deliberation, the Trustees concluded with respect to each of the Funds that the management fee to be paid by each of the Funds was reasonable in light of the services provided by Northern, its costs, the Fund’s asset levels, and other factors including those discussed above and that the renewal of the Management Agreement should be approved.

⁽¹⁾Pursuant to relief granted by the U.S. Securities and Exchange Commission (the “SEC”) in light of the COVID-19 pandemic (the “Order”) and a determination by the Board that reliance on the Order was appropriate due to circumstances related to the current or potential effects of COVID-19, the Annual Contract Meeting was held through videoconference and telephonically.



Amounts in thousands, except per share data	CORE BOND FUND		FIXED INCOME FUND
ASSETS:

Investments, at value	$	235,966	$	910,037

Investments in affiliates, at value		17,671		30,054

Foreign currencies, at value (cost $153)		—		—

Interest income receivable		972		5,212

Receivable for foreign tax reclaims		14		21

Receivable for securities sold		463		5,046

Receivable for fund shares sold		80		197

Receivable from investment adviser		3		12

Prepaid and other assets		11		4

Total Assets		255,180		950,583
LIABILITIES:

Payable for securities purchased		2,533		5,511

Payable for when-issued securities		1,949		9,759

Payable for fund shares redeemed		39		715

Distributions payable to shareholders		63		325

Payable to affiliates:

Management fees		16		66

Custody fees		2		5

Shareholder servicing fees		1		26

Transfer agent fees		7		30

Trustee fees		4		15

Accrued other liabilities		7		9

Total Liabilities		4,621		16,461
Net Assets	$	250,559	$	934,122

ANALYSIS OF NET ASSETS:

Capital stock	$	240,856	$	909,172

Distributable earnings		9,703		24,950

Net Assets	$	250,559	$	934,122
Shares Outstanding ($.0001 par value, unlimited authorization)		22,852		86,908

Net Asset Value, Redemption and Offering Price Per Share		$10.96		$10.75

Investments, at cost	$	230,328	$	890,911

Investments in affiliates, at cost		17,671		30,054


HIGH YIELD FIXED INCOME FUND			SHORT BOND FUND			SHORT- INTERMEDIATE U.S. GOVERNMENT FUND			TAX-ADVANTAGED ULTRA-SHORT FIXED INCOME FUND		ULTRA-SHORT FIXED INCOME FUND		U.S. GOVERNMENT FUND

	$3,301,228			$406,142			$77,205			$4,619,345		$3,149,548		$55,332

	51,727			6,979			779			48,868		202,827		384

	152			—			—			—		—		—

	53,174			1,772			28			29,662		10,717		25

	44			—			—			—		—		—

	56,450			—			—			97,229		—		587

	522			702			—			20,235		186,078		1

	31			29			8			20		22		5

	12			11			2			14		17		3

	3,463,340			415,635			78,022			4,815,373		3,549,209		56,337

	8,500			270			—			66,795		30,911		—

	49,720			—			—			137,377		21,989		—

	1,194			46			20			4,254		6,796		5

	3,280			117			—			541		502		1

	427			26			5			167		119		3

	28			2			—			21		5		—

	62			1			2			7		9		—

	112			14			3			145		104		2

	21			4			8			9		6		3

	28			7			23			20		27		18

	63,372			487			61			209,336		60,468		32
	$3,399,968			$415,148			$77,961			$4,606,037		$3,488,741		$56,305

	$4,094,482			$420,303			$81,349			$4,570,580		$3,456,295		$54,504

	(694,514	)		(5,155	)		(3,388	)		35,457		32,446		1,801

	$3,399,968			$415,148			$77,961			$4,606,037		$3,488,741		$56,305

	534,260			21,734			7,715			449,798		337,131		5,501

	$6.36			$19.10			$10.11			$10.24		$10.35		$10.23

	$3,471,078			$399,523			$76,987			$4,590,585		$3,122,490		$55,170

	51,727			6,758			779			48,868		202,827		384



Amounts in thousands	CORE BOND FUND			FIXED INCOME FUND			HIGH YIELD FIXED INCOME FUND
INVESTMENT INCOME:

Interest Income		$1,929			$10,208			$112,409

Dividend income		—			—			558

Dividend income from investments in affiliates		4			12			31

Total Investment Income		1,933			10,220			112,998

EXPENSES:

Management fees		396			1,868			12,988

Custody fees		12			37			128

Transfer agent fees		40			167			649

Blue sky fees		11			12			14

Printing fees		3			3			10

Audit fees		9			9			21

Legal fees		11			11			24

Shareholder servicing fees		2			48			120

Trustee fees		4			3			17

Other		7			7			20

Total Expenses		495			2,165			13,991

Less expenses reimbursed by investment adviser		(72	)		(204	)		(816	)

Net Expenses		423			1,961			13,175

Net Investment Income		1,510			8,259			99,823

NET REALIZED AND UNREALIZED GAINS (LOSSES):

Net realized gains (losses) on:

Investments		3,574			14,280			(63,447	)

Investments in affiliates		—			—			—

Futures contracts		39			80			—

Net changes in unrealized appreciation (depreciation) on:

Investments		5,976			32,950			488,478

Investments in affiliates		—			—			—

Futures contracts		(32	)		(65	)		—

Foreign currency translations		—			—			8

Net Gains		9,557			47,245			425,039
Net Increase in Net Assets Resulting from Operations	$	11,067		$	55,504		$	524,862



CORE BOND FUND

Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016
Net Asset Value, Beginning of Period		$10.47			$10.08			$10.02			$10.15			$10.40			$10.62

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.09			0.23			0.28			0.26			0.19			0.20

Net realized and unrealized gains (losses)		0.51			0.43			0.08			(0.11	)		(0.15	)		(0.10	)

Total from Investment Operations		0.60			0.66			0.36			0.15			0.04			0.10

LESS DISTRIBUTIONS PAID:

From net investment income		(0.11	)		(0.27	)		(0.30	)		(0.28	)		(0.22	)		(0.22	)

From net realized gains		—			—			—			—			(0.07	)		(0.10	)

Total Distributions Paid		(0.11	)		(0.27	)		(0.30	)		(0.28	)		(0.29	)		(0.32	)

Net Asset Value, End of Period		$10.96			$10.47			$10.08			$10.02			$10.15			$10.40

Total Return⁽¹⁾		5.69	%		6.57	%		3.75	%		1.45	%		0.36	%		1.00	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$250,559			$194,834			$255,171			$266,835			$259,951			$246,818

Ratio to average net assets of:⁽²⁾

Expenses, net of reimbursements and credits⁽³⁾		0.41	%		0.41	%		0.41	%		0.41	%		0.40	%		0.41	%

Expenses, before reimbursements and credits		0.47	%		0.47	%		0.46	%		0.46	%		0.46	%		0.45	%

Net investment income, net of reimbursements and credits⁽³⁾		1.44	%		2.33	%		2.91	%		2.49	%		1.87	%		1.92	%

Net investment income, before reimbursements and credits		1.38	%		2.27	%		2.86	%		2.44	%		1.81	%		1.88	%

Portfolio Turnover Rate		131.86	%		485.45	%		327.61	%		424.59	%		517.18	%		680.40	%

⁽¹⁾

⁽²⁾

Annualized for periods less than one year.

⁽³⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $7,000, $15,000, $11,000, $18,000, $57,000 and $32,000, which represent less than 0.01, less than 0.01, less than 0.01, less than 0.01, 0.02 and less than 0.01 percent of average net assets for six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, 2018, 2017 and 2016, respectively. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.



FIXED INCOME FUND

Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016
Net Asset Value, Beginning of Period		$10.18			$9.97			$9.94			$10.12			$10.23			$10.53

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.10			0.27			0.32			0.31			0.24			0.25

Net realized and unrealized gains (losses)		0.59			0.24			0.06			(0.16	)		(0.08	)		(0.20	)

Total from Investment Operations		0.69			0.51			0.38			0.15			0.16			0.05

LESS DISTRIBUTIONS PAID:

From net investment income⁽¹⁾		(0.12	)		(0.30	)		(0.35	)		(0.33	)		(0.27	)		(0.28	)

From net realized gains		—			—			—			—			—			(0.07	)

Total Distributions Paid		(0.12	)		(0.30	)		(0.35	)		(0.33	)		(0.27	)		(0.35	)

Net Asset Value, End of Period		$10.75			$10.18			$9.97			$9.94			$10.12			$10.23

Total Return⁽²⁾		6.82	%		5.11	%		3.98	%		1.38	%		1.58	%		0.53	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$934,122			$841,826			$848,130			$1,190,331			$1,180,510			$1,352,637

Ratio to average net assets of:⁽³⁾

Expenses, net of reimbursements and credits⁽⁴⁾		0.45	%		0.45	%		0.45	%		0.45	%		0.45	%		0.45	%

Expenses, before reimbursements and credits		0.50	%		0.49	%		0.48	%		0.48	%		0.48	%		0.47	%

Net investment income, net of reimbursements and credits⁽⁴⁾		1.90	%		2.66	%		3.41	%		2.95	%		2.40	%		2.52	%

Net investment income, before reimbursements and credits		1.85	%		2.62	%		3.38	%		2.92	%		2.37	%		2.50	%

Portfolio Turnover Rate		121.50	%		439.40	%		283.15	%		364.76	%		454.23	%		554.71	%

⁽¹⁾

Distributions to shareholders from net investment income include amounts related to foreign currency transactions, which are treated as ordinary income for federal income tax purposes.

⁽²⁾

⁽³⁾

Annualized for periods less than one year.

⁽⁴⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $20,000, $55,000, $32,000, $81,000, $207,000 and $148,000, which represent less than 0.01, less than 0.01, less than 0.01, less than 0.01, 0.02 and less than 0.01 percent of average net assets for the six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, 2018, 2017 and 2016, respectively. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.


HIGH YIELD FIXED INCOME FUND

Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016
Net Asset Value, Beginning of Period		$5.57			$6.60			$6.72			$6.84			$6.42			$7.12

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.18			0.40			0.42			0.42			0.40			0.39

Net realized and unrealized gains (losses)		0.79			(1.02	)		(0.12	)		(0.12	)		0.42			(0.70	)

Total from Investment Operations		0.97			(0.62	)		0.30			0.30			0.82			(0.31	)

LESS DISTRIBUTIONS PAID:

From net investment income⁽¹⁾		(0.18	)		(0.41	)		(0.42	)		(0.42	)		(0.40	)		(0.39	)

Total Distributions Paid		(0.18	)		(0.41	)		(0.42	)		(0.42	)		(0.40	)		(0.39	)

Net Asset Value, End of Period		$6.36			$5.57			$6.60			$6.72			$6.84			$6.42

Total Return⁽²⁾		17.30	%		(9.96	)%		4.64	%		4.32	%		13.07	%		(4.38	)%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$3,399,968			$3,153,247			$3,795,975			$3,556,517			$4,431,999			$5,124,426

Ratio to average net assets of:⁽³⁾

Expenses, net of reimbursements and credits⁽⁴⁾		0.78	%		0.78	%		0.78	%		0.80	%		0.80	%		0.80	%

Expenses, before reimbursements and credits		0.83	%		0.82	%		0.81	%		0.81	%		0.81	%		0.81	%

Net investment income, net of reimbursements and credits⁽⁴⁾		5.92	%		6.10	%		6.34	%		6.00	%		5.98	%		5.83	%

Net investment income, before reimbursements and credits		5.87	%		6.06	%		6.31	%		5.99	%		5.97	%		5.82	%

Portfolio Turnover Rate		33.91	%		47.65	%		52.19	%		95.52	%		117.53	%		80.15	%

⁽¹⁾

Distributions to shareholders from net investment income include amounts related to foreign currency transactions, which are treated as ordinary income for federal income tax purposes.

⁽²⁾

⁽³⁾

Annualized for periods less than one year.

⁽⁴⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $59,000, $94,000, $198,000, $196,000, $261,000 and $236,000, which represent less than 0.01 percent of average net assets for the six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, 2018 and 2017, respectively, and less than 0.005 percent of average net assets for the fiscal year ended March 31, 2016. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.



SHORT BOND FUND
Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016
Net Asset Value, Beginning of Period		$18.59			$18.67			$18.60			$18.85			$18.86			$19.03

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.18			0.45			0.49			0.34			0.27			0.24

Net realized and unrealized gains (losses)		0.51			(0.07	)		0.07			(0.25	)		–			(0.16	)

Total from Investment Operations		0.69			0.38			0.56			0.09			0.27			0.08

LESS DISTRIBUTIONS PAID:

From net investment income		(0.18	)		(0.46	)		(0.49	)		(0.34	)		(0.28	)		(0.25	)

Total Distributions Paid		(0.18	)		(0.46	)		(0.49	)		(0.34	)		(0.28	)		(0.25	)

Net Asset Value, End of Period		$19.10			$18.59			$18.67			$18.60			$18.85			$18.86

Total Return⁽¹⁾		3.73	%		2.04	%		3.07	%		0.45	%		1.45	%		0.42	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$415,148			$371,803			$424,702			$487,524			$494,467			$560,650

Ratio to average net assets of:⁽²⁾

Expenses, net of reimbursements and credits⁽³⁾		0.40	%		0.40	%		0.40	%		0.40	%		0.40	%		0.40	%

Expenses, before reimbursements and credits		0.45	%		0.44	%		0.43	%		0.43	%		0.43	%		0.42	%

Net investment income, net of reimbursements and credits⁽³⁾		1.81	%		2.40	%		2.65	%		1.79	%		1.43	%		1.25	%

Net investment income, before reimbursements and credits		1.76	%		2.36	%		2.62	%		1.76	%		1.40	%		1.23	%

Portfolio Turnover Rate		31.41	%		95.09	%		125.76	%		158.65	%		242.73	%		268.41	%

⁽¹⁾

⁽²⁾

Annualized for periods less than one year.

⁽³⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $5,000, $10,000, $11,000, $13,000, $29,000 and $25,000, which represent less than 0.01 percent of average net assets for the six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, 2018 and 2017, respectively, and 0.005 percent of average net assets for the fiscal year ended March 31, 2016. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.


SHORT-INTERMEDIATE U.S. GOVERNMENT FUND
Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016

Net Asset Value, Beginning of Period		$10.06			$9.60			$9.61			$9.81			$9.97			$9.89

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.01			0.14			0.21			0.13			0.07			0.06

Net realized and unrealized gains (losses)		0.05			0.47			0.02			(0.18	)		(0.15	)		0.08

Total from Investment Operations		0.06			0.61			0.23			(0.05	)		(0.08	)		0.14

LESS DISTRIBUTIONS PAID:

From net investment income		(0.01	)		(0.15	)		(0.24	)		(0.15	)		(0.08	)		(0.06	)

Total Distributions Paid		(0.01	)		(0.15	)		(0.24	)		(0.15	)		(0.08	)		(0.06	)

Net Asset Value, End of Period		$10.11			$10.06			$9.60			$9.61			$9.81			$9.97

Total Return⁽¹⁾		0.61	%		6.34	%		2.47	%		(0.55	)%		(0.74	)%		1.38	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$77,961			$58,501			$60,828			$113,917			$132,812			$166,362

Ratio to average net assets of:⁽²⁾

Expenses, net of reimbursements and credits⁽³⁾		0.41	%		0.42	%		0.42	%		0.41	%		0.41	%		0.41	%

Expenses, before reimbursements and credits		0.55	%		0.62	%		0.57	%		0.51	%		0.49	%		0.47	%

Net investment income, net of reimbursements and credits⁽³⁾		0.11	%		1.41	%		2.30	%		1.32	%		0.71	%		0.55	%

Net investment income (loss), before reimbursements and credits		(0.03	)%		1.21	%		2.15	%		1.22	%		0.63	%		0.49	%

Portfolio Turnover Rate		234.02	%		838.97	%		739.25	%		504.54	%		905.27	%		783.51	%

⁽¹⁾

⁽²⁾

Annualized for periods less than one year.

⁽³⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $4,000, $8,000, $8,000, $14,000, $31,000 and $16,000, which represent 0.01, 0.01, 0.01, 0.01, 0.02 and less than 0.01 percent of average net assets for the six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, 2018, 2017 and 2016, respectively. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.



TAX-ADVANTAGED ULTRA-SHORT FIXED INCOME FUND
Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016

Net Asset Value, Beginning of Period		$10.14			$10.14			$10.09			$10.13			$10.12			$10.15

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.05			0.16			0.15			0.10			0.08			0.07

Net realized and unrealized gains (losses)		0.10			0.01			0.05			(0.04	)		0.01			(0.03	)

Total from Investment Operations		0.15			0.17			0.20			0.06			0.09			0.04

LESS DISTRIBUTIONS PAID:

From net investment income		(0.05	)		(0.16	)		(0.15	)		(0.10	)		(0.08	)		(0.07	)

From net realized gains		–			(0.01	)		–			–	⁽¹⁾		–			–	⁽¹⁾

Total Distributions Paid		(0.05	)		(0.17	)		(0.15	)		(0.10	)		(0.08	)		(0.07	)

Net Asset Value, End of Period		$10.24			$10.14			$10.14			$10.09			$10.13			$10.12

Total Return⁽²⁾		1.46	%		1.61	%		2.06	%		0.60	%		0.94	%		0.41	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$4,606,037			$3,737,559			$4,008,207			$3,908,876			$3,544,536			$3,370,160

Ratio to average net assets of:⁽³⁾

Expenses, net of reimbursements and credits		0.25	%⁽⁴⁾		0.25	%⁽⁴⁾		0.25	%⁽⁴⁾		0.25	%⁽⁴⁾		0.25	%⁽⁴⁾		0.25	%

Expenses, before reimbursements and credits		0.27	%		0.27	%		0.26	%		0.26	%		0.26	%		0.26	%

Net investment income, net of reimbursements and credits		0.92	%⁽⁴⁾		1.52	%⁽⁴⁾		1.55	%⁽⁴⁾		1.00	%⁽⁴⁾		0.84	%⁽⁴⁾		0.66	%

Net investment income, before reimbursements and credits		0.90	%		1.50	%		1.54	%		0.99	%		0.83	%		0.65	%

Portfolio Turnover Rate		32.33	%		70.19	%		62.06	%		54.39	%		51.98	%		52.48	%

⁽¹⁾

Per share amounts were less than $0.01 per share.

⁽²⁾

⁽³⁾

Annualized for periods less than one year.

⁽⁴⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $112,000, $175,000, $81,000, $72,000 and $64,000, which represent 0.01 percent of average net assets for the six months ended September 30, 2020 and less than 0.01 percent of average net assets for the fiscal years ended March 31, 2020, 2019, 2018 and 2017, respectively. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.


ULTRA-SHORT FIXED INCOME FUND
Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016

Net Asset Value, Beginning of Period		$10.10			$10.19			$10.15			$10.21			$10.18			$10.21

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.07			0.24			0.23			0.15			0.12			0.09

Net realized and unrealized gains (losses)		0.25			(0.09	)		0.04			(0.06	)		0.03			(0.02	)

Total from Investment Operations		0.32			0.15			0.27			0.09			0.15			0.07

LESS DISTRIBUTIONS PAID:

From net investment income		(0.07	)		(0.24	)		(0.23	)		(0.15	)		(0.12	)		(0.09	)

From net realized gains		–			–			–	⁽¹⁾		–	⁽¹⁾		–			(0.01	)

Total Distributions Paid		(0.07	)		(0.24	)		(0.23	)		(0.15	)		(0.12	)		(0.10	)

Net Asset Value, End of Period		$10.35			$10.10			$10.19			$10.15			$10.21			$10.18

Total Return⁽²⁾		3.14	%		1.45	%		2.75	%		0.96	%		1.45	%		0.70	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$3,488,741			$2,189,187			$2,424,799			$2,590,298			$2,207,740			$1,542,582

Ratio to average net assets of:⁽³⁾

Expenses, net of reimbursements and credits⁽⁴⁾		0.25	%		0.25	%		0.25	%		0.25	%		0.25	%		0.25	%

Expenses, before reimbursements and credits		0.28	%		0.28	%		0.27	%		0.26	%		0.26	%		0.26	%

Net investment income, net of reimbursements and credits⁽⁴⁾		1.25	%		2.33	%		2.30	%		1.51	%		1.15	%		0.90	%

Net investment income, before reimbursements and credits		1.22	%		2.30	%		2.28	%		1.50	%		1.14	%		0.89	%

Portfolio Turnover Rate		31.37	%		75.95	%		59.63	%		58.41	%		52.98	%		50.95	%

⁽¹⁾

Per share amounts were less than $0.01 per share.

⁽²⁾

⁽³⁾

Annualized for periods less than one year.

⁽⁴⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $112,000, $43,000, $44,000, $56,000 and $74,000, which represent less than 0.01 percent of average net assets for the six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, 2018 and 2017, and approximately $42,000, which represents less than 0.005 percent of average net assets for the fiscal year ended March 31, 2016. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.



U.S. GOVERNMENT FUND
Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016

Net Asset Value, Beginning of Period		$10.17			$9.50			$9.43			$9.64			$9.87			$9.76

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.01			0.14			0.21			0.14			0.09			0.08

Net realized and unrealized gains (losses)		0.07			0.68			0.09			(0.20	)		(0.21	)		0.11

Total from Investment Operations		0.08			0.82			0.30			(0.06	)		(0.12	)		0.19

LESS DISTRIBUTIONS PAID:

From net investment income		(0.02	)		(0.15	)		(0.23	)		(0.15	)		(0.11	)		(0.08	)

Total Distributions Paid		(0.02	)		(0.15	)		(0.23	)		(0.15	)		(0.11	)		(0.08	)

Net Asset Value, End of Period		$10.23			$10.17			$9.50			$9.43			$9.64			$9.87

Total Return⁽¹⁾		0.75	%		8.66	%		3.29	%		(0.62	)%		(1.26	)%		1.99	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$56,305			$39,379			$36,008			$22,927			$24,013			$25,826

Ratio to average net assets of:⁽²⁾

Expenses, net of reimbursements and credits⁽³⁾		0.42	%		0.43	%		0.47	%		0.47	%		0.45	%		0.44	%

Expenses, before reimbursements and credits		0.59	%		0.73	%		0.93	%		0.90	%		0.90	%		0.81	%

Net investment income, net of reimbursements and credits⁽³⁾		0.19	%		1.43	%		2.33	%		1.41	%		0.94	%		0.83	%

Net investment income, before reimbursements and credits		0.02	%		1.13	%		1.87	%		0.98	%		0.49	%		0.46	%

Portfolio Turnover Rate		267.30	%		854.95	%		1,074.68	%		429.23	%		665.24	%		601.88	%

⁽¹⁾

⁽²⁾

Annualized for periods less than one year.

⁽³⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $2,000, $4,000, $4,000, $3,000, $4,000 and $2,000, which represent less than 0.01, less than 0.01, 0.01, less than 0.01, 0.02 and less than 0.01 percent of average net assets for six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, 2018, 2017 and 2016, respectively. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES – 3.4%

Automobile – 0.6%

World Omni Auto Receivables Trust, Series 2019-C, Class A3

1.96%, 12/16/24		$1,565		$1,606

Commercial Mortgage-Backed Securities – 2.0%

BANK, Series 2019-BN16, Class A4

4.01%, 2/15/52		1,000		1,180

Benchmark Mortgage Trust, Series 2018-B2, Class A2

3.66%, 2/15/51		765		800

Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class A5

3.14%, 2/10/48		920		995

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2017-JP5, Class A5

3.72%, 3/15/50		1,370		1,566

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A4

3.10%, 5/15/46		100		105

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A5

3.64%, 10/15/48		375		414

				5,060

Other – 0.8%

CNH Equipment Trust, Series 2019-C, Class A3

2.01%, 12/16/24		1,840		1,889

Total Asset-Backed Securities
(Cost $8,134)				8,555


CORPORATE BONDS – 27.5%

Aerospace & Defense – 0.9%

Boeing (The) Co.,

2.95%, 2/1/30		175		169

3.95%, 8/1/59		140		127

Northrop Grumman Corp.,

5.25%, 5/1/50		570		818

Raytheon Technologies Corp.,

3.65%, 8/16/23		114		123

2.25%, 7/1/30		135		143


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 27.5% continued

Aerospace & Defense – 0.9% continued

4.63%, 11/16/48		$500		$653

3.13%, 7/1/50		290		309

				2,342

Airlines – 0.1%

Southwest Airlines Co.,

4.75%, 5/4/23		350		374

Apparel & Textile Products – 0.3%

VF Corp.,

2.40%, 4/23/25		410		435

2.95%, 4/23/30		240		261

				696

Automobiles Manufacturing – 0.2%

General Motors Financial Co., Inc.,

2.70%, 8/20/27		550		546

Biotechnology – 0.7%

Amgen, Inc.,

3.13%, 5/1/25		295		324

2.30%, 2/25/31		525		551

Gilead Sciences, Inc.,

2.50%, 9/1/23		115		121

2.60%, 10/1/40		340		338

2.80%, 10/1/50		340		336

Regeneron Pharmaceuticals, Inc.,

2.80%, 9/15/50		200		188

				1,858

Cable & Satellite – 0.5%

Charter Communications Operating LLC/Charter Communications Operating Capital,

5.13%, 7/1/49		270		313

Comcast Corp.,

4.70%, 10/15/48		600		800

Cox Communications, Inc.,

2.95%, 10/1/50 ⁽¹⁾		205		197

				1,310

Chemicals – 0.5%

Avery Dennison Corp.,

2.65%, 4/30/30		405		430

PPG Industries, Inc.,

2.55%, 6/15/30		450		479


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 27.5% continued

Chemicals – 0.5% continued

RPM International, Inc.,

4.55%, 3/1/29		$260		$304

				1,213

Commercial Finance – 0.5%

Air Lease Corp.,

3.00%, 2/1/30		1,010		941

GATX Corp.,

4.00%, 6/30/30		185		213

				1,154

Communications Equipment – 0.4%

Corning, Inc.,

5.45%, 11/15/79		275		350

Motorola Solutions, Inc.,

2.30%, 11/15/30		550		546

				896

Construction Materials Manufacturing – 0.2%

Carlisle Cos., Inc.,

2.75%, 3/1/30		395		420

Consumer Finance – 0.3%

Fiserv, Inc.,

3.20%, 7/1/26		445		495

Global Payments, Inc.,

4.15%, 8/15/49		290		340

				835

Consumer Services – 0.1%

Block Financial LLC,

3.88%, 8/15/30		275		277

Containers & Packaging – 0.0%

Packaging Corp. of America,

3.40%, 12/15/27		109		122

Design, Manufacturing & Distribution – 0.1%

Jabil, Inc.,

3.60%, 1/15/30		245		261

Diversified Banks – 1.0%

Bank of America Corp.,

(Variable, ICE LIBOR USD 3M + 2.66%), 4.30%, 1/28/25 ⁽²⁾⁽³⁾		595		577

(Variable, U.S. SOFR + 2.15%), 2.59%, 4/29/31 ⁽²⁾		250		266

JPMorgan Chase & Co.,

(Variable, U.S. SOFR + 3.38%), 5.00%, 8/1/24 ⁽²⁾⁽³⁾		650		649


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 27.5% continued

Diversified Banks – 1.0% continued

3.88%, 9/10/24		$165		$183

(Variable, U.S. SOFR + 3.13%), 4.60%, 2/1/25 ⁽²⁾⁽³⁾		415		406

(Variable, U.S. SOFR + 1.85%), 2.08%, 4/22/26 ⁽²⁾		300		314

				2,395

Educational Services – 0.4%

Georgetown University (The),

2.94%, 4/1/50		465		462

University of Chicago (The),

2.76%, 4/1/45		290		296

William Marsh Rice University,

2.60%, 5/15/50		190		193

				951

Electrical Equipment Manufacturing – 0.6%

Carrier Global Corp.,

3.38%, 4/5/40 ⁽¹⁾		280		293

Emerson Electric Co.,

1.80%, 10/15/27		75		78

2.75%, 10/15/50		95		97

Keysight Technologies, Inc.,

4.55%, 10/30/24		83		94

3.00%, 10/30/29		280		306

Roper Technologies, Inc.,

3.85%, 12/15/25		280		318

3.80%, 12/15/26		110		127

2.00%, 6/30/30		175		178

				1,491

Entertainment Content – 0.7%

Fox Corp.,

4.71%, 1/25/29		490		587

Walt Disney (The) Co.,

1.75%, 1/13/26		255		265

2.20%, 1/13/28		255		269

2.00%, 9/1/29		405		418

3.50%, 5/13/40		190		215

				1,754

Exploration & Production – 0.8%

Hess Corp.,

7.13%, 3/15/33		765		922

Noble Energy, Inc.,

5.25%, 11/15/43		485		643


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 27.5% continued

Exploration & Production – 0.8% continued

Ovintiv, Inc.,

8.13%, 9/15/30		$450		$459

				2,024

Financial Services – 1.8%

Ares Capital Corp.,

4.25%, 3/1/25		215		222

Charles Schwab (The) Corp.,

(Variable, ICE LIBOR USD 3M + 2.58%), 5.00%, 12/1/27 ⁽²⁾⁽³⁾		185		190

FMR LLC,

6.45%, 11/15/39 ⁽¹⁾		675		1,031

FS KKR Capital Corp.,

4.13%, 2/1/25		635		631

Goldman Sachs BDC, Inc.,

3.75%, 2/10/25		195		204

Goldman Sachs Group (The), Inc.,

5.25%, 7/27/21		195		203

3.50%, 4/1/25		310		342

Intercontinental Exchange, Inc.,

2.65%, 9/15/40		300		300

Jefferies Group LLC,

2.75%, 10/15/32		225		225

Morgan Stanley,

(Variable, ICE LIBOR USD 3M + 0.85%), 3.74%, 4/24/24 ⁽²⁾		275		296

(Variable, U.S. SOFR + 1.99%), 2.19%, 4/28/26 ⁽²⁾		275		288

(Variable, U.S. SOFR + 1.14%), 2.70%, 1/22/31 ⁽²⁾		540		575

State Street Corp.,

(Variable, U.S. SOFR + 2.65%), 3.15%, 3/30/31 ⁽¹⁾⁽²⁾		95		108

				4,615

Food & Beverage – 1.5%

Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.,

3.65%, 2/1/26		515		577

4.90%, 2/1/46		415		512

Anheuser-Busch InBev Worldwide, Inc.,

4.15%, 1/23/25		190		215

Cargill, Inc.,

1.38%, 7/23/23 ⁽¹⁾		290		297


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 27.5% continued

Food & Beverage – 1.5% continued

Coca-Cola (The) Co.,

7.38%, 7/29/93		$110		$214

Constellation Brands, Inc.,

2.88%, 5/1/30		195		211

Hormel Foods Corp.,

1.80%, 6/11/30		165		170

Kellogg Co.,

2.10%, 6/1/30		420		430

Pernod Ricard International Finance LLC,

1.25%, 4/1/28 ⁽¹⁾		355		352

1.63%, 4/1/31 ⁽¹⁾		355		349

Tyson Foods, Inc.,

4.50%, 6/15/22		130		137

4.35%, 3/1/29		155		188

				3,652

Hardware – 1.0%

Dell International LLC/EMC Corp.,

5.45%, 6/15/23 ⁽¹⁾		215		236

5.85%, 7/15/25 ⁽¹⁾		560		652

5.30%, 10/1/29 ⁽¹⁾		385		441

Hewlett Packard Enterprise Co.,

4.40%, 10/15/22		300		321

4.45%, 10/2/23		240		264

4.65%, 10/1/24		235		266

HP, Inc.,

6.00%, 9/15/41		290		355

				2,535

Health Care Facilities & Services – 0.5%

Advocate Health & Hospitals Corp.,

3.39%, 10/15/49		290		323

CVS Health Corp.,

3.70%, 3/9/23		166		178

Quest Diagnostics, Inc.,

2.80%, 6/30/31		285		307

RWJ Barnabas Health, Inc.,

3.48%, 7/1/49		365		380

				1,188

Homebuilders – 0.2%

D.R. Horton, Inc.,

5.75%, 8/15/23		335		378



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 27.5% continued

Life Insurance – 0.4%

Protective Life Corp.,

8.45%, 10/15/39		$430		$675

Reinsurance Group of America, Inc.,
4.70%, 9/15/23		369		408

				1,083

Machinery Manufacturing – 0.4%

CNH Industrial Capital LLC,

1.88%, 1/15/26		615		614

IDEX Corp.,

3.00%, 5/1/30		90		99

Xylem, Inc.,

2.25%, 1/30/31		255		271

				984

Managed Care – 0.4%

Anthem, Inc.,

2.38%, 1/15/25		175		186

4.65%, 1/15/43		380		479

UnitedHealth Group, Inc.,

3.13%, 5/15/60		300		322

				987

Mass Merchants – 0.3%

Costco Wholesale Corp.,

1.38%, 6/20/27		240		246

1.75%, 4/20/32		195		200

Dollar General Corp.,

3.50%, 4/3/30		235		267

				713

Medical Equipment & Devices Manufacturing – 0.7%

Alcon Finance Corp.,

2.60%, 5/27/30 ⁽¹⁾		210		222

Becton Dickinson and Co.,

3.79%, 5/20/50		580		649

Boston Scientific Corp.,

1.90%, 6/1/25		185		193

Stryker Corp.,

4.38%, 5/15/44		465		577

				1,641

Metals & Mining – 0.2%

Glencore Funding LLC,

4.13%, 3/12/24 ⁽¹⁾		275		298

3.88%, 10/27/27 ⁽¹⁾		115		125

				423


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 27.5% continued

Oil & Gas Services & Equipment – 0.4%

Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc.,

2.77%, 12/15/22		$210		$220

4.08%, 12/15/47		235		235

National Oilwell Varco, Inc.,

3.60%, 12/1/29		255		248

Patterson-UTI Energy, Inc.,

3.95%, 2/1/28		275		212

				915

Pharmaceuticals – 0.8%

AbbVie, Inc.,

3.38%, 11/14/21		120		124

2.85%, 5/14/23		105		110

2.60%, 11/21/24 ⁽¹⁾		330		350

3.20%, 11/21/29 ⁽¹⁾		295		325

Merck & Co., Inc.,

2.45%, 6/24/50		190		191

Mylan, Inc.,

5.20%, 4/15/48		520		643

Pfizer, Inc.,

2.70%, 5/28/50		300		313

				2,056

Pipeline – 0.6%

Boardwalk Pipelines L.P.,

4.80%, 5/3/29		240		262

Energy Transfer Operating L.P.,

4.20%, 9/15/23		205		216

Enterprise Products Operating LLC,

3.95%, 1/31/60		285		281

Sunoco Logistics Partners Operations L.P.,

3.90%, 7/15/26		435		447

Western Midstream Operating L.P.,

6.25%, 2/1/50		375		347

				1,553

Power Generation – 0.2%

Liberty Utilities Finance GP 1,

2.05%, 9/15/30⁽¹⁾		510		503

Property & Casualty Insurance – 0.2%

Berkshire Hathaway Finance Corp.,

1.85%, 3/12/30		160		167


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 27.5% continued

Property & Casualty Insurance – 0.2% continued

Brown & Brown, Inc.,

2.38%, 3/15/31	$	270	$	272

				439

Real Estate – 2.2%

American Campus Communities Operating Partnership L.P.,

2.85%, 2/1/30		249		252

American Tower Corp.,

3.13%, 1/15/27		810		885

Boston Properties L.P.,

3.20%, 1/15/25		405		439

Brixmor Operating Partnership L.P.,

4.05%, 7/1/30		145		155

EPR Properties,

4.50%, 4/1/25		505		494

4.50%, 6/1/27		410		378

Equinix, Inc.,

3.20%, 11/18/29		247		272

Essex Portfolio L.P.,

2.65%, 3/15/32		580		613

Healthcare Realty Trust, Inc.,

2.40%, 3/15/30		435		441

Healthpeak Properties, Inc.,

3.25%, 7/15/26		165		184

National Retail Properties, Inc.,

3.10%, 4/15/50		550		491

Ventas Realty L.P.,

4.40%, 1/15/29		305		346

VEREIT Operating Partnership L.P.,

3.40%, 1/15/28		90		94

Weyerhaeuser Co.,

4.00%, 11/15/29		415		487

				5,531

Restaurants – 0.2%

Starbucks Corp.,

1.30%, 5/7/22		80		81

2.00%, 3/12/27		160		169

3.50%, 11/15/50		190		203

				453

Retail - Consumer Discretionary – 1.3%

Advance Auto Parts, Inc.,

1.75%, 10/1/27		230		229


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 27.5% continued

Retail - Consumer Discretionary – 1.3% continued

Amazon.com, Inc.,

2.70%, 6/3/60	$	285	$	296

Best Buy Co., Inc.,

1.95%, 10/1/30		305		303

eBay, Inc.,

3.60%, 6/5/27		195		220

2.70%, 3/11/30		820		870

Home Depot (The), Inc.,

2.50%, 4/15/27		160		174

O’Reilly Automotive, Inc.,

1.75%, 3/15/31		275		272

Ross Stores, Inc.,

4.60%, 4/15/25		260		299

5.45%, 4/15/50		500		655

				3,318

Retail - Consumer Staples – 0.2%

Sysco Corp.,

3.30%, 2/15/50		485		455

Semiconductors – 0.5%

Applied Materials, Inc.,

2.75%, 6/1/50		195		205

Broadcom, Inc.,

3.15%, 11/15/25		300		325

KLA Corp.,

5.65%, 11/1/34		115		154

3.30%, 3/1/50		270		285

Lam Research Corp.,

2.88%, 6/15/50		290		300

				1,269

Software & Services – 1.3%

Broadridge Financial Solutions, Inc.,

2.90%, 12/1/29		236		256

Citrix Systems, Inc.,

4.50%, 12/1/27		535		613

Equifax, Inc.,

2.60%, 12/15/25		235		251

3.10%, 5/15/30		270		294

Infor, Inc.,

1.75%, 7/15/25 ⁽¹⁾		210		216

Leidos, Inc.,

3.63%, 5/15/25 ⁽¹⁾		95		105

Moody’s Corp.,

4.25%, 2/1/29		415		497


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 27.5% continued

Software & Services – 1.3% continued

Oracle Corp.,

3.60%, 4/1/50		$500		$563

ServiceNow, Inc.,

1.40%, 9/1/30		95		93

Verisk Analytics, Inc.,

3.63%, 5/15/50		95		108

Vmware, Inc.,

2.95%, 8/21/22		200		208

				3,204

Tobacco – 0.1%

Reynolds American, Inc.,

5.85%, 8/15/45		310		377

Transportation & Logistics – 0.5%

Cummins, Inc.,

2.60%, 9/1/50		100		98

Penske Truck Leasing Co. L.P./PTL Finance Corp.,

4.00%, 7/15/25 ⁽¹⁾		490		552

Ryder System, Inc.,

2.90%, 12/1/26		610		658

				1,308

Utilities – 1.8%

American Electric Power Co., Inc.,

3.25%, 3/1/50		570		595

Avangrid, Inc.,

3.80%, 6/1/29		500		578

CenterPoint Energy, Inc.,

2.95%, 3/1/30		415		455

Dominion Energy, Inc.,

3.07%, 8/15/24		165		178

Duke Energy Corp.,

4.20%, 6/15/49		185		227

East Ohio Gas (The) Co.,

3.00%, 6/15/50 ⁽¹⁾		490		497

Entergy Texas, Inc.,

1.75%, 3/15/31		290		288

Exelon Corp.,

5.63%, 6/15/35		380		505

PPL Capital Funding, Inc.,

4.00%, 9/15/47		410		469

San Diego Gas & Electric Co.,

1.70%, 10/1/30		200		199


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 27.5% continued

Utilities – 1.8% continued

Xcel Energy, Inc.,

2.60%, 12/1/29		$450		$486

				4,477

Wireless Telecommunications Services – 1.5%

AT&T, Inc.,

3.80%, 2/15/27		540		609

6.55%, 6/15/34		560		756

5.35%, 12/15/43		265		330

T-Mobile U.S.A., Inc.,

3.50%, 4/15/25 ⁽¹⁾		490		538

2.55%, 2/15/31 ⁽¹⁾		300		310

2/15/51 ⁽¹⁾⁽⁴⁾		340		337

Verizon Communications, Inc.,

4.40%, 11/1/34		570		710

5.01%, 8/21/54		175		254

				3,844
Total Corporate Bonds

(Cost $65,452)				68,820


FOREIGN ISSUER BONDS – 5.7%

Banks – 1.7%

Australia & New Zealand Banking Group Ltd.,

(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 1.29%), 2.95%, 7/22/30 ⁽¹⁾⁽²⁾		445		461

BPCE S.A.,

3.50%, 10/23/27 ⁽¹⁾		435		478

Deutsche Bank A.G.,

3.30%, 11/16/22		340		352

(Variable, U.S. SOFR + 2.16%), 2.22%, 9/18/24 ⁽²⁾		396		399

Lloyds Banking Group PLC,

(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.33%, 6/15/23 ⁽²⁾		475		478

(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.00%), 2.44%, 2/5/26 ⁽²⁾		190		197

National Australia Bank Ltd.,

(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 1.88%), 3.93%, 8/2/34 ⁽¹⁾⁽²⁾		505		561


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
FOREIGN ISSUER BONDS - 5.7% continued

Banks – 1.7% continued

Nationwide Building Society,

1.00%, 8/28/25 ⁽¹⁾		$520		$515

Westpac Banking Corp.,

(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 1.35%), 2.89%, 2/4/30 ⁽²⁾		495		513

(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.00%), 4.11%, 7/24/34 ⁽²⁾		270		304

				4,258

Biotechnology – 0.2%

Royalty Pharma PLC,

1.75%, 9/2/27 ⁽¹⁾		205		206

3.30%, 9/2/40 ⁽¹⁾		205		203

				409

Commercial Finance – 0.3%

AerCap Ireland Capital DAC/AerCap Global Aviation Trust,

4.63%, 10/15/27		585		567

Avolon Holdings Funding Ltd.,

3.25%, 2/15/27 ⁽¹⁾		295		263

				830

Design, Manufacturing & Distribution – 0.2%

Flex Ltd.,

4.75%, 6/15/25		375		422

Diversified Banks – 0.7%

BNP Paribas S.A.,
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.94%), 4.50%, 2/25/30 ⁽¹⁾^(2) (3)		520		499
(Variable, U.S. SOFR + 1.51%), 3.05%, 1/13/31 ⁽¹⁾⁽²⁾		350		375

Credit Agricole S.A.,

3.25%, 1/14/30 ⁽¹⁾		250		268

Societe Generale S.A.,

2.63%, 10/16/24 ⁽¹⁾		500		518

				1,660

Electrical Equipment Manufacturing – 0.3%

Johnson Controls International PLC,

4.63%, 7/2/44		440		550

5.13%, 9/14/45		34		45


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 5.7% continued

Electrical Equipment Manufacturing – 0.3% continued

Johnson Controls International PLC/Tyco Fire & Security Finance S.C.A.,

1.75%, 9/15/30		$275		$277

				872

Financial Services – 0.5%

Credit Suisse Group A.G.,

(Variable, U.S. SOFR + 2.04%), 2.19%, 6/5/26 ⁽¹⁾⁽²⁾		565		582

(Variable, U.S. SOFR + 3.73%), 4.19%, 4/1/31 ⁽¹⁾⁽²⁾		485		560

				1,142

Food & Beverage – 0.1%

Coca-Cola Femsa S.A.B. de C.V.,

1.85%, 9/1/32		205		206

Integrated Oils – 0.2%

Cenovus Energy, Inc.,

6.75%, 11/15/39		185		186

Shell International Finance B.V.,

4.38%, 5/11/45		250		307

				493

Internet Media – 0.1%

Tencent Holdings Ltd.,

2.99%, 1/19/23⁽¹⁾		305		318

Metals & Mining – 0.2%

Anglo American Capital PLC,

3.75%, 4/10/22⁽¹⁾		460		476

Pharmaceuticals – 0.3%

GlaxoSmithKline Capital PLC,

3.00%, 6/1/24		190		205

Shire Acquisitions Investments Ireland DAC,

3.20%, 9/23/26		105		117

Takeda Pharmaceutical Co. Ltd.,

3.18%, 7/9/50		450		457

				779

Pipeline – 0.1%

TransCanada PipeLines Ltd.,

(Variable, ICE LIBOR USD 3M + 2.21%), 2.49%, 5/15/67⁽⁵⁾		215		150


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 5.7% continued

Semiconductors – 0.2%

NXP B.V./NXP Funding LLC/NXP U.S.A., Inc.,

2.70%, 5/1/25 ⁽¹⁾		$95		$101

3.40%, 5/1/30 ⁽¹⁾		465		509

				610

Waste & Environment Services & Equipment – 0.4%

Waste Connections, Inc.,

2.60%, 2/1/30		805		866

3.05%, 4/1/50		165		172

				1,038

Wireline Telecommunications Services – 0.2%

British Telecommunications PLC,

5.13%, 12/4/28		430		518

Total Foreign Issuer Bonds
(Cost $13,648)				14,181

U.S. GOVERNMENT AGENCIES – 22.6% ⁽⁶⁾

Fannie Mae – 16.4%

Pool #535714,

7.50%, 1/1/31		4		4

Pool #555599,

7.00%, 4/1/33		12		14

Pool #712130,

7.00%, 6/1/33		6		7

Pool #AL5119,

4.00%, 4/1/34		238		265

Pool #AL6041,

4.00%, 8/1/33		1,419		1,561

Pool #AL8352,

3.00%, 10/1/44		1,798		1,915

Pool #AQ5150,

2.50%, 11/1/42		1,286		1,370

Pool #AS3655,

4.50%, 10/1/44		336		369

Pool #AS5722,

3.50%, 9/1/45		204		218

Pool #AS6520,

3.50%, 1/1/46		673		716

Pool #AS6730,

3.50%, 2/1/46		943		1,007

Pool #AS7088,

2.50%, 5/1/31		226		236


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 22.6% ⁽⁶⁾ continued

Fannie Mae – 16.4% continued

Pool #AS7568,

4.50%, 7/1/46		$1,219		$1,334

Pool #AS7694,

2.50%, 8/1/31		786		842

Pool #AS8699,

4.00%, 1/1/47		477		512

Pool #AS8984,

4.50%, 3/1/47		277		302

Pool #BD7081,

4.00%, 3/1/47		1,098		1,179

Pool #BE3619,

4.00%, 5/1/47		1,132		1,215

Pool #BH4092,

4.50%, 10/1/47		675		735

Pool #BH6175,

3.50%, 7/1/47		213		226

Pool #BJ0686,

4.00%, 4/1/48		516		551

Pool #BK4740,

4.00%, 8/1/48		1,262		1,347

Pool #BM4413,

4.50%, 12/1/47		901		979

Pool #BM5168,

2.50%, 6/1/46		541		576

Pool #BM5969,

3.00%, 11/1/46		1,624		1,730

Pool #BM5984,

5.00%, 5/1/49		217		238

Pool #BM5996,

5.00%, 12/1/48		156		171

Pool #BP6499,

3.00%, 7/1/50		619		649

Pool #BP6675,

9/1/40⁽⁴⁾		695		729

Pool #CA6422,

3.00%, 7/1/50		854		896

Pool #FM0057,

2.50%, 5/1/32		1,925		2,055

Pool #FM1303,

3.00%, 1/1/48		848		915

Pool #FM1472,

3.50%, 3/1/34		185		196


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 22.6% ⁽⁶⁾ continued

Fannie Mae – 16.4% continued

Pool #FM1572,

3.00%, 9/1/48		$281		$296

Pool #FM2053,

3.50%, 8/1/44		1,412		1,526

Pool #FM2076,

3.00%, 3/1/45		1,055		1,131

Pool #FM2483,

3.50%, 2/1/33		1,018		1,090

Pool #FM3173,

3.50%, 7/1/47		841		911

Pool #FM3201,

3.50%, 4/1/34		365		388

Pool #FM3523,

3.00%, 11/1/34		921		977

Pool #FM3727,

3.00%, 7/1/50		624		655

Pool #FM4172,

3.50%, 12/1/36		1,781		1,914

Pool #MA2864,

3.50%, 1/1/47		802		855

Pool #MA3088,

4.00%, 8/1/47		693		741

Pool #MA3183,

4.00%, 11/1/47		1,345		1,444

Pool #MA3184,

4.50%, 11/1/47		1,174		1,278

Pool #MA3211,

4.00%, 12/1/47		1,384		1,483

Pool #MA3448,

5.00%, 8/1/48		399		438

Pool #MA4186,

10/1/35⁽⁴⁾		293		308

Pool TBA,

10/1/50⁽⁴⁾		550		569

				41,063

Freddie Mac – 2.8%

Freddie Mac Multifamily Structured Pass Through Certificates, Series K730, Class A2,

3.59%, 1/25/25		460		511

Pool #1B3575,

(Floating, ICE LIBOR USD 1Y + 1.80%, 1.80% Floor, 11.39% Cap), 2.46%, 9/1/37⁽⁵⁾		4		4


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 22.6% ⁽⁶⁾ continued

Freddie Mac – 2.8% continued

Pool #1G2296,

(Floating, ICE LIBOR USD 1Y + 2.09%, 2.09% Floor, 11.34% Cap), 4.21%, 11/1/37⁽⁵⁾		$10		$10

Pool #RA2484,

3.00%, 6/1/50		1,213		1,275

Pool #RD5026,

3.00%, 4/1/30		156		164

Pool #SB0084,

3.00%, 2/1/32		296		316

Pool #SB0216,

3.00%, 12/1/32		206		217

Pool #SB0328,

3.00%, 6/1/34		730		766

Pool #SB0329,

3.00%, 9/1/32		923		976

Pool #SD0033,

3.00%, 12/1/47		289		312

Pool #ZK7457,

3.50%, 2/1/29		321		347

Pool #ZS4687,

2.50%, 11/1/46		317		337

Pool #ZT0714,

5.00%, 10/1/48		418		459

Pool #ZT1333,

2.50%, 10/1/31		1,183		1,265

				6,959

Freddie Mac Gold – 1.8%

Pool #G16396,

3.50%, 2/1/33		186		197

Pool #G60948,

3.00%, 1/1/47		298		321

Pool #G61670,

3.00%, 5/1/47		1,595		1,710

Pool #Q15842,

3.00%, 2/1/43		574		616

Pool #Q42460,

4.00%, 6/1/46		137		149

Pool #Q44452,

3.00%, 11/1/46		1,085		1,140

Pool #Q63667,

4.50%, 5/1/49		258		279

				4,412


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 22.6% ⁽⁶⁾ continued

Government National Mortgage Association – 0.2%

Government National Mortgage Association, Series 2017-95, Class QG,

2.50%, 8/20/46		$548		$571

Government National Mortgage Association I – 0.3%

Pool #604183,

5.50%, 4/15/33		2		3

Pool #633627,

5.50%, 9/15/34		3		3

Pool #757013,

3.50%, 12/15/40		649		691

				697

Government National Mortgage Association II – 1.1%

Pool #784801,

3.50%, 6/20/47		696		750

Pool #784832,

2.50%, 10/20/45		878		928

Pool #MA0782,

3.00%, 2/20/43		716		755

Pool #MA0850,

2.50%, 3/20/43		407		430

				2,863

Total U.S. Government Agencies
(Cost $55,298)				56,565


U.S. GOVERNMENT OBLIGATIONS – 34.3%

U.S. Treasury Bonds – 6.2%

1.13%, 8/15/40		8,492		8,350

1.25%, 5/15/50		7,521		7,150

				15,500

U.S. Treasury Notes – 28.1%

0.13%, 8/31/22		25,895		25,894

0.13%, 8/15/23		24,197		24,178

0.25%, 8/31/25		17,333		17,319

0.63%, 8/15/30		3,081		3,066

				70,457

Total U.S. Government Obligations
(Cost $86,001)				85,957


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS – 0.7%

California – 0.3%

University of California Regents Medical Center Pooled Taxable Revenue Bonds, Series N,

3.26%, 5/15/60		$370		$404

3.71%, 5/15/20⁽⁷⁾		370		392

				796

New Jersey – 0.1%

New Jersey State Transportation Trust Fund Authority Transportation System Taxable Revenue Refunding Bonds,

4.13%, 6/15/42		380		362

New York – 0.2%

New York State Thruway Authority Taxable Revenue Refunding Bonds, Series M,

3.50%, 1/1/42		390		407

Texas – 0.1%

Texas State Private Activity Bond Surface Transportation Corp. Taxable Revenue Bonds, North Tarrant Express Managed Lanes Project,

3.92%, 12/31/49		285		323

Total Municipal Bonds
(Cost $1,795)				1,888

	NUMBER OF SHARES		VALUE (000S)

INVESTMENT COMPANIES – 7.0%

Northern Institutional Funds - U.S. Government Portfolio (Shares),

0.00%⁽⁸⁾⁽⁹⁾		17,670,987		$17,671

Total Investment Companies
(Cost $17,671)				17,671


Total Investments – 101.2%
(Cost $247,999)				253,637

Liabilities less Other Assets – (1.2%)				(3,078	)
NET ASSETS – 100.0%				$250,559

⁽¹⁾

⁽²⁾

Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end.

⁽³⁾

Perpetual bond. Maturity date represents next call date.

⁽⁴⁾

When-Issued Security. Coupon rate is not in effect at September 30, 2020.

⁽⁵⁾

Variable rate security. Rate as of September 30, 2020 is disclosed.

⁽⁶⁾

The obligations of certain U.S. government-sponsored entities are neither issued nor guaranteed by the United States Treasury.

⁽⁷⁾

Century bond maturing in 2120.

⁽⁸⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽⁹⁾

7-day current yield as of September 30, 2020 is disclosed.

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

1Y - 1 Year

3M - 3 Month

5Y - 5 Year

CMT - Constant Maturity

Fannie Mae - Federal National Mortgage Association

Freddie Mac - Federal Home Loan Mortgage Corporation

ICE - Intercontinental Exchange

LIBOR - London Interbank Offered Rate

PLC - Public Limited Company

SOFR - Secured Overnight Financing Rate

TBA - To be announced

USD - United States Dollar

Percentages shown are based on Net Assets.

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).



INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)
Asset-Backed Securities⁽¹⁾	$	—	$	8,555		$—	$	8,555
Corporate Bonds⁽¹⁾		—		68,820		—		68,820
Foreign Issuer Bonds		—		14,181		—		14,181
U.S. Government Agencies⁽¹⁾		—		56,565		—		56,565
U.S. Government
Obligations⁽¹⁾		—		85,957		—		85,957
Municipal Bonds⁽¹⁾		—		1,888		—		1,888
Investment Companies		17,671		—		—		17,671
Total Investments	$	17,671	$	235,966		$—	$	253,637

⁽¹⁾

Classifications as defined in the Schedule of Investments.


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES – 3.6%

Automobile – 0.8%

World Omni Auto Receivables Trust, Series 2019-C, Class A3

1.96%, 12/16/24		$6,750		$6,926

Commercial Mortgage-Backed Securities – 2.0%

BANK, Series 2019-BN16, Class A4

4.01%, 2/15/52		3,900		4,603

Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class A5

3.14%, 2/10/48		5,805		6,277

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2017-C5, Class A5

3.69%, 3/15/50		2,400		2,739

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A5

3.64%, 10/15/48		4,910		5,419

				19,038

Other – 0.8%

CNH Equipment Trust, Series 2019-C, Class A3

2.01%, 12/16/24		7,565		7,768

Total Asset-Backed Securities
(Cost $31,747)				33,732


CORPORATE BONDS – 35.8%

Aerospace & Defense – 1.1%

Boeing (The) Co.,

2.95%, 2/1/30		730		707

3.95%, 8/1/59		595		539

Northrop Grumman Corp.,

5.25%, 5/1/50		2,465		3,536

Raytheon Technologies Corp.,

3.65%, 8/16/23		489		528

2.25%, 7/1/30		545		576

4.63%, 11/16/48		2,055		2,684

3.13%, 7/1/50		1,185		1,264

				9,834

Airlines – 0.2%

Southwest Airlines Co.,

4.75%, 5/4/23		1,530		1,635


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 35.8% continued

Apparel & Textile Products – 0.3%

VF Corp.,

2.40%, 4/23/25		$1,750		$1,856

2.95%, 4/23/30		1,045		1,138

				2,994

Automobiles Manufacturing – 0.5%

Ford Motor Co.,

9.00%, 4/22/25		2,520		2,889

General Motors Financial Co., Inc.,

2.70%, 8/20/27		2,235		2,219

				5,108

Banks – 0.1%

CIT Bank N.A.,

(Variable, U.S. SOFR + 1.72%), 2.97%, 9/27/25⁽¹⁾		750		744

Biotechnology – 0.8%

Amgen, Inc.,

3.13%, 5/1/25		1,255		1,378

2.30%, 2/25/31		2,220		2,329

Gilead Sciences, Inc.,

2.50%, 9/1/23		500		525

2.60%, 10/1/40		1,295		1,287

2.80%, 10/1/50		1,295		1,280

Regeneron Pharmaceuticals, Inc.,

2.80%, 9/15/50		820		773

				7,572

Cable & Satellite – 0.6%

Charter Communications Operating LLC/Charter Communications Operating Capital,

5.13%, 7/1/49		1,180		1,368

Comcast Corp.,

4.70%, 10/15/48		2,420		3,228

Cox Communications, Inc.,

2.95%, 10/1/50 ⁽²⁾		845		813

				5,409

Casinos & Gaming – 0.3%

Boyd Gaming Corp.,

4.75%, 12/1/27		2,470		2,424

Chemicals – 0.5%

Avery Dennison Corp.,

2.65%, 4/30/30		1,780		1,889


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 35.8% continued

Chemicals – 0.5% continued

PPG Industries, Inc.,

2.55%, 6/15/30		$1,835		$1,954

RPM International, Inc.,

4.55%, 3/1/29		895		1,047

				4,890

Commercial Finance – 0.1%

GATX Corp.,

4.00%, 6/30/30		760		875

Communications Equipment – 0.4%

Corning, Inc.,

5.45%, 11/15/79		1,200		1,527

Motorola Solutions, Inc.,

2.30%, 11/15/30		2,245		2,229

				3,756

Construction Materials Manufacturing – 0.2%

Carlisle Cos., Inc.,

2.75%, 3/1/30		1,740		1,849

Consumer Finance – 0.6%

Fiserv, Inc.,

3.20%, 7/1/26		1,920		2,133

Global Payments, Inc.,

4.15%, 8/15/49		1,215		1,426

PennyMac Financial Services, Inc.,

5.38%, 10/15/25 ⁽²⁾		2,040		2,066

				5,625

Consumer Services – 0.1%

Block Financial LLC,

3.88%, 8/15/30		1,130		1,139

Containers & Packaging – 0.5%

Flex Acquisition Co., Inc.,

7.88%, 7/15/26 ⁽²⁾		1,830		1,862

Mauser Packaging Solutions Holding Co.,

7.25%, 4/15/25 ⁽²⁾		2,805		2,640

Packaging Corp. of America,

3.40%, 12/15/27		585		654

				5,156

Design, Manufacturing & Distribution – 0.1%

Jabil, Inc.,

3.60%, 1/15/30		1,020		1,086


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 35.8% continued

Diversified Banks – 1.1%

Bank of America Corp.,

(Variable, ICE LIBOR USD 3M + 2.93%), 5.88%, 3/15/28 ⁽¹⁾⁽³⁾		$910		$981

(Variable, U.S. SOFR + 2.15%), 2.59%, 4/29/31 ⁽¹⁾		1,095		1,165

JPMorgan Chase & Co.,

(Variable, U.S. SOFR + 3.38%), 5.00%, 8/1/24 ⁽¹⁾⁽³⁾		2,470		2,466

3.88%, 9/10/24		1,940		2,152

(Variable, U.S. SOFR + 3.13%), 4.60%, 2/1/25 ⁽¹⁾⁽³⁾		1,770		1,735

(Variable, U.S. SOFR + 1.85%), 2.08%, 4/22/26 ⁽¹⁾		1,275		1,333

				9,832

Educational Services – 0.4%

Georgetown University (The),

2.94%, 4/1/50		2,015		2,000

University of Chicago (The),

2.76%, 4/1/45		1,230		1,257

William Marsh Rice University,

2.60%, 5/15/50		830		845

				4,102

Electrical Equipment Manufacturing – 0.7%

Carrier Global Corp.,

3.38%, 4/5/40 ⁽²⁾		1,240		1,299

Emerson Electric Co.,

1.80%, 10/15/27		345		360

2.75%, 10/15/50		410		417

Keysight Technologies, Inc.,

4.55%, 10/30/24		409		462

3.00%, 10/30/29		1,190		1,301

Roper Technologies, Inc.,

3.85%, 12/15/25		1,280		1,453

3.80%, 12/15/26		456		526

2.00%, 6/30/30		690		704

				6,522

Entertainment Content – 0.5%

Walt Disney (The) Co.,

1.75%, 1/13/26		1,045		1,088

2.20%, 1/13/28		1,045		1,100

2.00%, 9/1/29		1,755		1,812

3.50%, 5/13/40		805		910

				4,910


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 35.8% continued

Exploration & Production – 1.3%

Chesapeake Energy Corp.,

11.50%, 1/1/25 ⁽²⁾⁽⁴⁾		$1,253		$169

EQT Corp.,

8.75%, 2/1/30		1,632		1,926

Hess Corp.,

7.13%, 3/15/33		1,000		1,205

Murphy Oil Corp.,

6.38%, 12/1/42		1,760		1,382

Noble Energy, Inc.,

5.25%, 11/15/43		1,995		2,645

Ovintiv, Inc.,

8.13%, 9/15/30		1,675		1,710

SM Energy Co.,

5.63%, 6/1/25		1,665		749

WPX Energy, Inc.,

4.50%, 1/15/30		2,455		2,413

				12,199

Financial Services – 2.4%

Ares Capital Corp.,

4.25%, 3/1/25		925		957

Charles Schwab (The) Corp.,

(Variable, ICE LIBOR USD 3M + 2.58%), 5.00%, 12/1/27 ⁽¹⁾⁽³⁾		693		711

FMR LLC,

6.45%, 11/15/39 ⁽²⁾		3,265		4,985

FS KKR Capital Corp.,

4.13%, 2/1/25		2,620		2,604

Goldman Sachs BDC, Inc.,

3.75%, 2/10/25		830		866

Goldman Sachs Group (The), Inc.,

5.25%, 7/27/21		825		858

(Variable, ICE LIBOR USD 3M + 2.87%), 5.00%, 11/10/22 ⁽¹⁾⁽³⁾		1,795		1,714

3.50%, 4/1/25		1,320		1,457

Icahn Enterprises L.P./Icahn Enterprises Finance Corp.,

4.75%, 9/15/24		2,000		2,025

5.25%, 5/15/27		1,465		1,526

Intercontinental Exchange, Inc.,

2.65%, 9/15/40		1,235		1,234

Jefferies Group LLC,

2.75%, 10/15/32		840		840


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 35.8% continued

Financial Services – 2.4% continued

Morgan Stanley,

(Variable, ICE LIBOR USD 3M + 0.85%), 3.74%, 4/24/24 ⁽¹⁾		$1,180		$1,270

(Variable, U.S. SOFR + 1.99%), 2.19%, 4/28/26 ⁽¹⁾		1,160		1,215

State Street Corp.,

(Variable, U.S. SOFR + 2.65%), 3.15%, 3/30/31 ⁽¹⁾⁽²⁾		405		462

				22,724

Food & Beverage – 1.8%

Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.,

3.65%, 2/1/26		2,085		2,337

4.90%, 2/1/46		1,685		2,078

Anheuser-Busch InBev Worldwide, Inc.,

4.15%, 1/23/25		830		939

Cargill, Inc.,

1.38%, 7/23/23 ⁽²⁾		1,265		1,294

Coca-Cola (The) Co.,

7.38%, 7/29/93		470		916

Constellation Brands, Inc.,

2.88%, 5/1/30		850		918

Hormel Foods Corp.,

1.80%, 6/11/30		670		691

Kellogg Co.,

2.10%, 6/1/30		1,740		1,782

NBM U.S. Holdings, Inc.,

7.00%, 5/14/26		1,825		1,932

Pernod Ricard International Finance LLC,

1.25%, 4/1/28 ⁽²⁾		1,265		1,255

1.63%, 4/1/31 ⁽²⁾		1,265		1,243

Tyson Foods, Inc.,

4.50%, 6/15/22		525		555

4.35%, 3/1/29		635		770

				16,710

Hardware – 1.2%

Dell International LLC/EMC Corp.,

5.45%, 6/15/23 ⁽²⁾		1,235		1,354

5.85%, 7/15/25 ⁽²⁾		2,435		2,837

5.30%, 10/1/29 ⁽²⁾		1,410		1,617

Hewlett Packard Enterprise Co.,

4.40%, 10/15/22		1,195		1,277


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 35.8% continued

Hardware – 1.2% continued

4.45%, 10/2/23		$1,015		$1,116

4.65%, 10/1/24		1,000		1,131

HP, Inc.,

6.00%, 9/15/41		1,210		1,483

NCR Corp.,

8.13%, 4/15/25 ⁽²⁾		620		685

				11,500

Health Care Facilities & Services – 0.9%

Advocate Health & Hospitals Corp.,

3.39%, 10/15/49		1,185		1,322

CVS Health Corp.,

3.70%, 3/9/23		673		721

DaVita, Inc.,

4.63%, 6/1/30 ⁽²⁾		3,000		3,073

Quest Diagnostics, Inc.,

2.80%, 6/30/31		1,215		1,309

RWJ Barnabas Health, Inc.,

3.48%, 7/1/49		1,480		1,540

				7,965

Industrial Other – 0.2%

H&E Equipment Services, Inc.,

5.63%, 9/1/25		1,550		1,616

Life Insurance – 0.9%

Ohio National Financial Services, Inc.,

5.55%, 1/24/30 ⁽²⁾		3,095		2,918

Protective Life Corp.,

8.45%, 10/15/39		3,475		5,455

				8,373

Machinery Manufacturing – 0.4%

CNH Industrial Capital LLC,

1.88%, 1/15/26		2,285		2,282

IDEX Corp.,

3.00%, 5/1/30		360		396

Xylem, Inc.,

2.25%, 1/30/31		1,115		1,182

				3,860

Managed Care – 0.6%

Anthem, Inc.,

3.50%, 8/15/24		1,500		1,645

2.38%, 1/15/25		715		760

Centene Corp.,

4.63%, 12/15/29		1,870		2,017


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 35.8% continued

Managed Care – 0.6% continued

UnitedHealth Group, Inc.,

3.13%, 5/15/60		$1,230		$1,320

				5,742

Mass Merchants – 0.3%

Costco Wholesale Corp.,

1.38%, 6/20/27		1,050		1,076

1.75%, 4/20/32		820		841

Dollar General Corp.,

3.50%, 4/3/30		1,015		1,155

				3,072

Medical Equipment & Devices Manufacturing – 0.7%

Alcon Finance Corp.,

2.60%, 5/27/30 ⁽²⁾		750		794

Becton Dickinson and Co.,

3.79%, 5/20/50		2,165		2,421

Boston Scientific Corp.,

1.90%, 6/1/25		750		784

Stryker Corp.,

4.38%, 5/15/44		2,010		2,493

				6,492

Metals & Mining – 0.5%

Glencore Funding LLC,

4.13%, 3/12/24 ⁽²⁾		845		916

3.88%, 10/27/27 ⁽²⁾		630		687

Kaiser Aluminum Corp.,

4.63%, 3/1/28 ⁽²⁾		1,795		1,674

Novelis Corp.,

4.75%, 1/30/30 ⁽²⁾		1,000		982

				4,259

Oil & Gas Services & Equipment – 0.2%

National Oilwell Varco, Inc.,

3.60%, 12/1/29		1,040		1,010

Patterson-UTI Energy, Inc.,

3.95%, 2/1/28		1,070		827

				1,837

Pharmaceuticals – 0.9%

AbbVie, Inc.,

3.38%, 11/14/21		515		532

2.85%, 5/14/23		386		406

2.60%, 11/21/24 ⁽²⁾		1,375		1,457

3.20%, 11/21/29 ⁽²⁾		1,240		1,366


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 35.8% continued

Pharmaceuticals – 0.9% continued

Merck & Co., Inc.,

2.45%, 6/24/50		$835		$838

Mylan, Inc.,

5.20%, 4/15/48		2,150		2,659

Pfizer, Inc.,

2.70%, 5/28/50		1,230		1,285

				8,543

Pipeline – 0.7%

Boardwalk Pipelines L.P.,

4.80%, 5/3/29		965		1,051

Energy Transfer Operating L.P.,

4.20%, 9/15/23		1,005		1,061

Enterprise Products Operating LLC,

3.95%, 1/31/60		1,195		1,179

Sunoco Logistics Partners Operations L.P.,

3.90%, 7/15/26		1,685		1,730

Western Midstream Operating L.P.,

6.25%, 2/1/50		1,590		1,473

				6,494

Power Generation – 0.7%

Calpine Corp.,

4.50%, 2/15/28 ⁽²⁾		2,185		2,238

Liberty Utilities Finance GP 1,

2.05%, 9/15/30 ⁽²⁾		2,150		2,119

Pattern Energy Operations L.P./Pattern Energy Operations, Inc.,

4.50%, 8/15/28 ⁽²⁾		660		685

Terraform Global Operating LLC,

6.13%, 3/1/26 ⁽²⁾		1,035		1,053

				6,095

Property & Casualty Insurance – 0.2%

Berkshire Hathaway Finance Corp.,

1.85%, 3/12/30		695		727

Brown & Brown, Inc.,

2.38%, 3/15/31		1,155		1,162

				1,889

Publishing & Broadcasting – 0.3%

Entercom Media Corp.,

7.25%, 11/1/24 ⁽²⁾		1,645		1,398


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 35.8% continued

Publishing & Broadcasting – 0.3% continued

TEGNA, Inc.,

5.00%, 9/15/29 ⁽²⁾		$1,850		$1,827

				3,225

Real Estate – 2.5%

American Campus Communities Operating Partnership L.P.,

2.85%, 2/1/30		1,044		1,057

American Tower Corp.,

3.13%, 1/15/27		3,270		3,571

Brixmor Operating Partnership L.P.,

4.05%, 7/1/30		600		642

EPR Properties,

4.50%, 4/1/25		1,500		1,467

4.50%, 6/1/27		2,215		2,042

Equinix, Inc.,

3.20%, 11/18/29		1,015		1,119

Essex Portfolio L.P.,

2.65%, 3/15/32		2,545		2,687

Healthcare Realty Trust, Inc.,

2.40%, 3/15/30		1,860		1,885

Healthpeak Properties, Inc.,

3.25%, 7/15/26		655		731

Iron Mountain, Inc.,

4.88%, 9/15/27 ⁽²⁾		1,765		1,800

iStar, Inc.,

4.75%, 10/1/24		1,700		1,645

National Retail Properties, Inc.,

3.10%, 4/15/50		2,410		2,153

Ventas Realty L.P.,

4.40%, 1/15/29		1,600		1,818

VEREIT Operating Partnership L.P.,

3.40%, 1/15/28		375		392

				23,009

Refining & Marketing – 0.4%

CVR Energy, Inc.,

5.75%, 2/15/28 ⁽²⁾		2,995		2,546

Murphy Oil U.S.A., Inc.,

4.75%, 9/15/29		1,000		1,065

				3,611

Restaurants – 0.4%

Golden Nugget, Inc.,

6.75%, 10/15/24 ⁽²⁾		1,920		1,603


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 35.8% continued

Restaurants – 0.4% continued

Starbucks Corp.,

1.30%, 5/7/22		$345		$350

2.00%, 3/12/27		695		735

3.50%, 11/15/50		815		868

				3,556

Retail - Consumer Discretionary – 1.5%

Advance Auto Parts, Inc.,

1.75%, 10/1/27		860		858

Amazon.com, Inc.,

2.70%, 6/3/60		1,215		1,259

Best Buy Co., Inc.,

1.95%, 10/1/30		1,140		1,132

eBay, Inc.,

3.60%, 6/5/27		790		892

2.70%, 3/11/30		3,565		3,781

Home Depot (The), Inc.,

2.50%, 4/15/27		690		750

O’Reilly Automotive, Inc.,

1.75%, 3/15/31		1,135		1,122

Ross Stores, Inc.,

4.60%, 4/15/25		1,100		1,266

5.45%, 4/15/50		2,055		2,693

				13,753

Retail - Consumer Staples – 0.2%

Sysco Corp.,

3.30%, 2/15/50		2,085		1,956

Semiconductors – 0.5%

Applied Materials, Inc.,

2.75%, 6/1/50		800		841

Broadcom, Inc.,

3.15%, 11/15/25		1,270		1,376

KLA Corp.,

3.30%, 3/1/50		1,205		1,273

Lam Research Corp.,

2.88%, 6/15/50		1,230		1,271

				4,761

Software & Services – 1.6%

Broadridge Financial Solutions, Inc.,

2.90%, 12/1/29		996		1,079

Citrix Systems, Inc.,

4.50%, 12/1/27		1,700		1,948


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 35.8% continued

Software & Services – 1.6% continued

Equifax, Inc.,

2.60%, 12/15/25		$1,030		$1,100

3.10%, 5/15/30		1,150		1,253

Infor, Inc.,

1.75%, 7/15/25 ⁽²⁾		865		890

Leidos, Inc.,

3.63%, 5/15/25 ⁽²⁾		430		477

Moody’s Corp.,

4.25%, 2/1/29		1,630		1,951

Oracle Corp.,

3.60%, 4/1/50		2,055		2,316

ServiceNow, Inc.,

1.40%, 9/1/30		380		371

Solera LLC/Solera Finance, Inc.,

10.50%, 3/1/24 ⁽²⁾		2,535		2,649

Verisk Analytics, Inc.,

3.63%, 5/15/50		400		454

Vmware, Inc.,

2.95%, 8/21/22		800		833

				15,321

Tobacco – 0.2%

Reynolds American, Inc.,

5.85%, 8/15/45		1,172		1,424

Transportation & Logistics – 0.6%

Cummins, Inc.,

2.60%, 9/1/50		410		402

Penske Truck Leasing Co. L.P./PTL Finance Corp.,

4.00%, 7/15/25 ⁽²⁾		2,090		2,354

Ryder System, Inc.,

2.90%, 12/1/26		2,285		2,466

				5,222

Utilities – 1.8%

American Electric Power Co., Inc.,

3.25%, 3/1/50		2,490		2,599

Avangrid, Inc.,

3.80%, 6/1/29		2,070		2,395

CenterPoint Energy, Inc.,

2.95%, 3/1/30		1,785		1,956

Dominion Energy, Inc.,

3.07%, 8/15/24		660		710

East Ohio Gas (The) Co.,

3.00%, 6/15/50 ⁽²⁾		2,070		2,100


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 35.8% continued

Utilities – 1.8% continued

Entergy Texas, Inc.,

1.75%, 3/15/31		$1,075		$1,066

Exelon Corp.,

5.63%, 6/15/35		1,480		1,966

PPL Capital Funding, Inc.,

4.00%, 9/15/47		1,535		1,757

San Diego Gas & Electric Co.,

1.70%, 10/1/30		765		762

Xcel Energy, Inc.,

2.60%, 12/1/29		1,840		1,988

				17,299

Waste & Environment Services & Equipment – 0.1%

Stericycle, Inc.,

5.38%, 7/15/24⁽²⁾		1,255		1,303

Wireless Telecommunications Services – 2.5%

AT&T, Inc.,

3.80%, 2/15/27		1,725		1,946

6.55%, 6/15/34		2,357		3,181

5.35%, 12/15/43		905		1,126

Sprint Capital Corp.,

6.88%, 11/15/28		2,540		3,175

Sprint Corp.,

7.88%, 9/15/23		2,860		3,285

7.13%, 6/15/24		1,705		1,962

T-Mobile U.S.A., Inc.,

3.50%, 4/15/25 ⁽²⁾		2,095		2,299

2.55%, 2/15/31 ⁽²⁾		1,250		1,293

2/15/51 ⁽²⁾⁽⁵⁾		1,285		1,273

Verizon Communications, Inc.,

4.40%, 11/1/34		2,400		2,992

5.01%, 8/21/54		755		1,095

				23,627

Wireline Telecommunications Services – 0.2%

Level 3 Financing, Inc.,

4.63%, 9/15/27⁽²⁾		1,850		1,901
Total Corporate Bonds
(Cost $321,556)				334,800


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS – 8.1%

Banks – 1.9%

Australia & New Zealand Banking Group Ltd.,

(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 1.29%), 2.95%, 7/22/30 ⁽¹⁾⁽²⁾		$2,200		$2,280

BPCE S.A.,

3.50%, 10/23/27 ⁽²⁾		1,575		1,731

Deutsche Bank A.G.,

3.30%, 11/16/22		1,465		1,515

(Variable, U.S. SOFR + 2.16%), 2.22%, 9/18/24 ⁽¹⁾		1,818		1,831

Lloyds Banking Group PLC,

(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.33%, 6/15/23 ⁽¹⁾		2,005		2,017

(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.00%), 2.44%, 2/5/26 ⁽¹⁾		800		829

National Australia Bank Ltd.,

(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 1.88%), 3.93%, 8/2/34 ⁽¹⁾⁽²⁾		2,040		2,268

Nationwide Building Society,

1.00%, 8/28/25 ⁽²⁾		2,200		2,177

Westpac Banking Corp.,

(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 1.35%), 2.89%, 2/4/30 ⁽¹⁾		2,130		2,207

(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.00%), 4.11%, 7/24/34 ⁽¹⁾		1,070		1,207

				18,062

Biotechnology – 0.2%

Royalty Pharma PLC,

1.75%, 9/2/27 ⁽²⁾		845		847

3.30%, 9/2/40 ⁽²⁾		845		838

				1,685

Cable & Satellite – 0.8%

Altice Financing S.A.,

7.50%, 5/15/26 ⁽²⁾		3,550		3,758

LCPR Senior Secured Financing DAC,

6.75%, 10/15/27 ⁽²⁾		600		627

UPC Holding B.V.,

5.50%, 1/15/28 ⁽²⁾		2,625		2,707

				7,092


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 8.1% continued

Commercial Finance – 0.3%

AerCap Ireland Capital DAC/AerCap Global Aviation Trust,

4.63%, 10/15/27		$2,260		$2,189

Avolon Holdings Funding Ltd.,

3.25%, 2/15/27 ⁽²⁾		1,220		1,088

				3,277

Design, Manufacturing & Distribution – 0.2%

Flex Ltd.,

4.75%, 6/15/25		1,625		1,828

Diversified Banks – 0.9%

BNP Paribas S.A.,

(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.94%), 4.50%, 2/25/30 ⁽¹⁾^(2) (3)		2,265		2,172

(Variable, U.S. SOFR + 1.51%), 3.05%, 1/13/31 ⁽¹⁾⁽²⁾		1,270		1,362

Credit Agricole S.A.,

3.25%, 1/14/30 ⁽²⁾		1,000		1,074

Deutsche Bank A.G.,

(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.52%), 6.00%, 10/30/25 ⁽¹⁾⁽³⁾		1,800		1,552

Societe Generale S.A.,

2.63%, 10/16/24 ⁽²⁾		1,825		1,891

				8,051

Electrical Equipment Manufacturing – 0.4%

Johnson Controls International PLC,

4.63%, 7/2/44		1,670		2,088

5.13%, 9/14/45		115		152

Johnson Controls International PLC/Tyco Fire & Security Finance S.C.A.,

1.75%, 9/15/30		1,125		1,132

				3,372

Financial Services – 0.5%

Credit Suisse Group A.G.,

(Variable, U.S. SOFR + 2.04%), 2.19%, 6/5/26 ⁽¹⁾⁽²⁾		2,340		2,410

(Variable, U.S. SOFR + 3.73%), 4.19%, 4/1/31 ⁽¹⁾⁽²⁾		2,115		2,442

				4,852

Food & Beverage – 0.4%

Coca-Cola Femsa S.A.B. de C.V.,

1.85%, 9/1/32		845		847


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 8.1% continued

Food & Beverage – 0.4% continued

JBS U.S.A. LUX S.A./JBS U.S.A. Food Co./JBS U.S.A. Finance, Inc.,

5.50%, 1/15/30 ⁽²⁾		$1,575		$1,714

MARB BondCo PLC,

6.88%, 1/19/25 ⁽²⁾		1,040		1,077

				3,638

Integrated Oils – 0.1%

Cenovus Energy, Inc.,

6.75%, 11/15/39		765		769

Internet Media – 0.1%

Tencent Holdings Ltd.,

2.99%, 1/19/23⁽²⁾		925		965

Metals & Mining – 0.5%

Anglo American Capital PLC,

3.75%, 4/10/22 ⁽²⁾		1,985		2,056

New Gold, Inc.,

6.38%, 5/15/25 ⁽²⁾		1,115		1,151

Teck Resources Ltd.,

6.25%, 7/15/41		1,620		1,873

				5,080

Oil & Gas Services & Equipment – 0.0%

Noble Holding International Ltd.,

7.88%, 2/1/26⁽²⁾^(4) (6)		1,360		328

Pharmaceuticals – 0.5%

Bausch Health Cos., Inc.,

6.13%, 4/15/25 ⁽²⁾		1,530		1,566

GlaxoSmithKline Capital PLC,

3.00%, 6/1/24		830		898

Shire Acquisitions Investments Ireland DAC,

3.20%, 9/23/26		440		489

Takeda Pharmaceutical Co. Ltd.,

3.18%, 7/9/50		2,060		2,093

				5,046

Pipeline – 0.1%

TransCanada PipeLines Ltd.,

(Variable, ICE LIBOR USD 3M + 2.21%), 2.49%, 5/15/67⁽⁷⁾		1,236		864

Refining & Marketing – 0.3%

Parkland Corp.,

6.00%, 4/1/26⁽²⁾		2,535		2,655


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 8.1% continued

Semiconductors – 0.3%

NXP B.V./NXP Funding LLC/NXP U.S.A., Inc.,

2.70%, 5/1/25 ⁽²⁾		$410		$434

3.40%, 5/1/30 ⁽²⁾		2,025		2,217
				2,651

Waste & Environment Services & Equipment – 0.1%

Waste Connections, Inc.,

3.05%, 4/1/50		705		737

Wireless Telecommunications Services – 0.3%

Altice France S.A.,

7.38%, 5/1/26 ⁽²⁾		1,000		1,048

Connect Finco S.a.r.l./Connect U.S. Finco LLC,

6.75%, 10/1/26 ⁽²⁾		1,685		1,690
				2,738

Wireline Telecommunications Services – 0.2%

British Telecommunications PLC,

5.13%, 12/4/28		1,575		1,898
Total Foreign Issuer Bonds
(Cost $74,516)				75,588

	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 0.2%

Oil, Gas & Coal – 0.2%

Denbury, Inc.*		48,395		$852

Whiting Petroleum Corp.*		37,358		646

				1,498
Total Common Stocks
(Cost $3,819)				1,498

	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES – 25.0% ⁽⁸⁾

Fannie Mae – 15.9%

Pool #256883,

6.00%, 9/1/37		$8		$9

Pool #535714,

7.50%, 1/1/31		14		16

Pool #545003,

8.00%, 5/1/31		1		1

Pool #545437,

7.00%, 2/1/32		31		37


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 25.0% ⁽⁸⁾ continued

Fannie Mae – 15.9% continued

Pool #545556,

7.00%, 4/1/32		$19		$22

Pool #555189,

7.00%, 12/1/32		113		132

Pool #581806,

7.00%, 7/1/31		43		50

Pool #585617,

7.00%, 5/1/31⁽⁹⁾		—		—

Pool #725228,

6.00%, 3/1/34		92		111

Pool #AB9546,

3.50%, 6/1/28		128		139

Pool #AL3063,

3.50%, 1/1/28		475		511

Pool #AL5119,

4.00%, 4/1/34		1,563		1,736

Pool #AL8352,

3.00%, 10/1/44		4,684		4,990

Pool #AO2961,

4.00%, 5/1/42		338		374

Pool #AQ9360,

2.50%, 1/1/28		133		141

Pool #AS1991,

3.50%, 3/1/29		620		671

Pool #AS3655,

4.50%, 10/1/44		1,263		1,389

Pool #AS6520,

3.50%, 1/1/46		2,936		3,123

Pool #AS7088,

2.50%, 5/1/31		2,640		2,763

Pool #AS7568,

4.50%, 7/1/46		1,869		2,046

Pool #AS7694,

2.50%, 8/1/31		6,808		7,294

Pool #AS8699,

4.00%, 1/1/47		2,942		3,163

Pool #AS8984,

4.50%, 3/1/47		1,819		1,984

Pool #BH4092,

4.50%, 10/1/47		2,229		2,428

Pool #BH6175,

3.50%, 7/1/47		1,157		1,225


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 25.0% ⁽⁸⁾ continued

Fannie Mae – 15.9% continued

Pool #BJ0686,

4.00%, 4/1/48		$2,063		$2,204

Pool #BJ3524,

4.00%, 11/1/47		3,196		3,426

Pool #BK4740,

4.00%, 8/1/48		5,002		5,336

Pool #BM1948,

6.00%, 7/1/41		275		333

Pool #BM3428,

3.50%, 1/1/33		1,820		1,950

Pool #BM4413,

4.50%, 12/1/47		2,990		3,249

Pool #BM5168,

2.50%, 6/1/46		963		1,025

Pool #BM5969,

3.00%, 11/1/46		7,470		7,958

Pool #BM5984,

5.00%, 5/1/49		391		429

Pool #BM5996,

5.00%, 12/1/48		281		308

Pool #BP6499,

3.00%, 7/1/50		3,096		3,247

Pool #BP6675,

9/1/40⁽⁵⁾		2,562		2,689

Pool #CA6422,

3.00%, 7/1/50		3,443		3,611

Pool #FM0057,

2.50%, 5/1/32		6,081		6,492

Pool #FM1303,

3.00%, 1/1/48		3,612		3,897

Pool #FM1438,

3.00%, 8/1/38		1,032		1,086

Pool #FM1472,

3.50%, 3/1/34		145		153

Pool #FM1572,

3.00%, 9/1/48		1,452		1,528

Pool #FM2076,

3.00%, 3/1/45		3,588		3,846

Pool #FM2483,

3.50%, 2/1/33		2,462		2,637

Pool #FM3173,

3.50%, 7/1/47		3,541		3,836


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 25.0% ⁽⁸⁾ continued

Fannie Mae – 15.9% continued

Pool #FM3201,

3.50%, 4/1/34		$1,983		$2,109

Pool #FM3308,

3.00%, 4/1/32		1,905		2,001

Pool #FM3523,

3.00%, 11/1/34		3,727		3,953

Pool #FM3727,

3.00%, 7/1/50		3,122		3,274

Pool #FM4172,

3.50%, 12/1/36		7,334		7,882

Pool #MA0878,

4.00%, 10/1/31		816		890

Pool #MA2522,

3.50%, 2/1/46		3,688		3,934

Pool #MA2642,

3.50%, 6/1/46		4,119		4,387

Pool #MA2864,

3.50%, 1/1/47		2,251		2,400

Pool #MA3004,

4.00%, 5/1/37		868		939

Pool #MA3088,

4.00%, 8/1/47		2,143		2,292

Pool #MA3183,

4.00%, 11/1/47		5,331		5,724

Pool #MA3184,

4.50%, 11/1/47		3,896		4,241

Pool #MA3211,

4.00%, 12/1/47		5,535		5,931

Pool #MA3448,

5.00%, 8/1/48		1,722		1,888

Pool #MA4186,

10/1/35⁽⁵⁾		1,075		1,130

Pool TBA,

10/1/50⁽⁵⁾		2,250		2,326

				148,896

Freddie Mac – 3.5%

Freddie Mac Multifamily Structured Pass Through Certificates, Series K730, Class A2,

3.59%, 1/25/25		1,790		1,987

Pool #1B3575,

(Floating, ICE LIBOR USD 1Y + 1.80%, 1.80% Floor, 11.39% Cap), 2.46%, 9/1/37⁽⁷⁾		54		54


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
U.S. GOVERNMENT AGENCIES - 25.0% ⁽⁸⁾ continued

Freddie Mac – 3.5% continued

Pool #1G2296,
(Floating, ICE LIBOR USD 1Y + 2.09%, 2.09% Floor, 11.34% Cap), 4.21%, 11/1/37⁽⁷⁾	$108	$109

Pool #RA2484,
3.00%, 6/1/50	5,181	5,449

Pool #RD5026,
3.00%, 4/1/30	1,030	1,085

Pool #SB0084,
3.00%, 2/1/32	1,819	1,943

Pool #SB0216,
3.00%, 12/1/32	1,166	1,226

Pool #SB0328,
3.00%, 6/1/34	2,956	3,104

Pool #SB0329,
3.00%, 9/1/32	4,030	4,262

Pool #SD0033,
3.00%, 12/1/47	1,298	1,401

Pool #ZK7457,
3.50%, 2/1/29	3,758	4,061

Pool #ZS4687,
2.50%, 11/1/46	1,099	1,171

Pool #ZT0714,
5.00%, 10/1/48	1,805	1,980

Pool #ZT1333,
2.50%, 10/1/31	4,279	4,573
		32,405

Freddie Mac Gold – 2.6%

Pool #A87842,
4.50%, 8/1/39	436	490

Pool #C00910,
7.50%, 1/1/30	107	126

Pool #G05935,
6.00%, 3/1/36	155	184

Pool #G07068,
5.00%, 7/1/41	548	630

Pool #G08731,
2.50%, 11/1/46	2,344	2,497

Pool #G15612,
3.50%, 12/1/29	145	153

Pool #G16396,
3.50%, 2/1/33	2,178	2,314


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
U.S. GOVERNMENT AGENCIES - 25.0% ⁽⁸⁾ continued

Freddie Mac Gold – 2.6% continued

Pool #G18643,
2.50%, 5/1/32	$183	$192

Pool #G60948,
3.00%, 1/1/47	526	567

Pool #G61670,
3.00%, 5/1/47	6,839	7,332

Pool #G61723,
3.50%, 1/1/43	154	173

Pool #Q15842,
3.00%, 2/1/43	2,459	2,639

Pool #Q42460,
4.00%, 6/1/46	551	597

Pool #Q44452,
3.00%, 11/1/46	5,392	5,665

Pool #Q63667,
4.50%, 5/1/49	855	925
		24,484

Government National Mortgage Association – 0.2%

Government National Mortgage Association, Series 2017-95, Class QG,
2.50%, 8/20/46	2,323	2,420

Government National Mortgage Association I – 0.3%

Pool #757013,
3.50%, 12/15/40	2,594	2,762

Government National Mortgage Association II – 2.5%

Pool #784801,
3.50%, 6/20/47	1,423	1,534

Pool #784832,
2.50%, 10/20/45	11,585	12,249

Pool #MA0782,
3.00%, 2/20/43	5,343	5,636

Pool #MA0850,
2.50%, 3/20/43	1,752	1,851

Pool #MA4008,
5.50%, 10/20/46	155	183

Pool #MA6870,
5.00%, 9/20/50	1,413	1,564
		23,017
Total U.S. Government Agencies
(Cost $228,984)		233,984


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
U.S. GOVERNMENT OBLIGATIONS – 23.8%

U.S. Treasury Bonds – 4.8%

1.13%, 8/15/40		$23,467		$23,075
1.25%, 5/15/50		22,819		21,692

				44,767

U.S. Treasury Notes – 19.0%

0.13%, 8/31/22		79,779		79,776
0.13%, 8/15/23		59,294		59,247
0.25%, 8/31/25		38,666		38,636

				177,659
Total U.S. Government Obligations
(Cost $222,674)				222,426

MUNICIPAL BONDS – 0.9%

California – 0.4%

University of California Regents Medical Center Pooled Taxable Revenue Bonds, Series N,
3.26%, 5/15/60		1,610		1,756
3.71%, 5/15/20⁽¹⁰⁾		1,610		1,707

				3,463

New Jersey – 0.2%
New Jersey State Transportation Trust Fund Authority Transportation System Taxable Revenue Refunding Bonds, 4.13%, 6/15/42		1,610		1,535

New York – 0.2%
New York State Thruway Authority Taxable Revenue Refunding Bonds, Series M, 3.50%, 1/1/42		1,585		1,653

Texas – 0.1%
Texas State Private Activity Bond Surface Transportation Corp. Taxable Revenue Bonds, North Tarrant Express Managed Lanes Project, 3.92%, 12/31/49		1,200		1,358
Total Municipal Bonds
(Cost $7,615)				8,009


	NUMBER OF SHARES		VALUE (000S)
INVESTMENT COMPANIES – 3.2%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%^{(11) (12)}		30,054,197		$30,054
Total Investment Companies
(Cost $30,054)				30,054

Total Investments – 100.6%
(Cost $920,965)				940,091
Liabilities less Other Assets – (0.6%)				(5,969	)
NET ASSETS – 100.0%				$934,122

⁽¹⁾

Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end.

⁽²⁾

⁽³⁾

Perpetual bond. Maturity date represents next call date.

⁽⁴⁾

Issuer has defaulted on terms of debt obligation. Income is not being accrued.

⁽⁵⁾

When-Issued Security. Coupon rate is not in effect at September 30, 2020.

⁽⁶⁾

Restricted security that has been deemed illiquid. At September 30, 2020, the value of this restricted illiquid security amounted to approximately $328,000 or 0.0% of net assets. Additional information on this restricted illiquid security is as follows:

SECURITY

ACQUISITION
AND
ENFORCEABLE
DATE

COST
(000S)

Noble Holding International Ltd., 7.88%, 2/1/26

1/17/18

$1,360

⁽⁷⁾

Variable rate security. Rate as of September 30, 2020 is disclosed.

⁽⁸⁾

The obligations of certain U.S. government-sponsored entities are neither issued nor guaranteed by the United States Treasury.

⁽⁹⁾

Principal Amount and Value rounds to less than one thousand.

⁽¹⁰⁾

Century bond maturing in 2120.

⁽¹¹⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽¹²⁾

7-day current yield as of September 30, 2020 is disclosed.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

1Y - 1 Year

3M - 3 Month

5Y - 5 Year

CMT - Constant Maturity

Fannie Mae - Federal National Mortgage Association

Freddie Mac - Federal Home Loan Mortgage Corporation

ICE - Intercontinental Exchange

LIBOR - London Interbank Offered Rate

PLC - Public Limited Company

SOFR - Secured Overnight Financing Rate

TBA - To be announced

USD - United States Dollar

Percentages shown are based on Net Assets.

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).



INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)
Asset-Backed Securities⁽¹⁾	$	—	$	33,732		$—	$	33,732
Corporate Bonds⁽¹⁾		—		334,800		—		334,800
Foreign Issuer Bonds⁽¹⁾		—		75,588		—		75,588
Common Stocks⁽¹⁾		1,498		—		—		1,498
U.S. Government Agencies⁽¹⁾		—		233,984		—		233,984
U.S. Government Obligations⁽¹⁾		—		222,426		—		222,426
Municipal Bonds⁽¹⁾		—		8,009		—		8,009
Investment Companies		30,054		—		—		30,054
Total Investments	$	31,552	$	908,539		$—	$	940,091

⁽¹⁾

Classifications as defined in the Schedule of Investments.


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS – 76.5%

Advertising & Marketing – 0.3%

Terrier Media Buyer, Inc.,
8.88%, 12/15/27⁽¹⁾		$11,350		$11,435

Aerospace & Defense – 1.3%

Howmet Aerospace, Inc.,
6.88%, 5/1/25		5,625		6,216

SSL Robotics LLC,
9.75%, 12/31/23 ⁽¹⁾		11,900		13,107

TransDigm, Inc.,
5.50%, 11/15/27		9,225		8,866

Triumph Group, Inc.,
8.88%, 6/1/24 ⁽¹⁾		4,125		4,393
7.75%, 8/15/25		16,750		10,741
				43,323

Airlines – 0.6%

American Airlines Group, Inc.,
3.75%, 3/1/25 ⁽¹⁾		6,600		3,346

Delta Air Lines, Inc.,
7.00%, 5/1/25 ⁽¹⁾		7,950		8,729

Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 6/20/27 ⁽¹⁾		8,350		8,695
				20,770

Auto Parts Manufacturing – 0.6%

American Axle & Manufacturing, Inc.,
6.88%, 7/1/28		3,150		3,055

Dana, Inc.,
5.63%, 6/15/28		8,750		9,040

Meritor, Inc.,
6.25%, 6/1/25 ⁽¹⁾		8,950		9,353
				21,448

Automobiles Manufacturing – 2.5%

Ford Motor Co.,
8.50%, 4/21/23		6,600		7,194
9.00%, 4/22/25		6,575		7,538
9.63%, 4/22/30		1,825		2,357

Ford Motor Credit Co. LLC,
3.81%, 10/12/21		2,750		2,757
4.25%, 9/20/22		2,775		2,799
5.58%, 3/18/24		4,628		4,814
3.66%, 9/8/24		4,275		4,183
4.06%, 11/1/24		3,800		3,795
5.13%, 6/16/25		2,000		2,063


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 76.5% continued

Automobiles Manufacturing – 2.5% continued
4.13%, 8/4/25		$8,200		$8,121
4.39%, 1/8/26		8,725		8,625
4.13%, 8/17/27		13,000		12,643
5.11%, 5/3/29		5,318		5,451

General Motors Financial Co., Inc.,
(Variable, ICE LIBOR USD 3M + 3.60%), 5.75%, 9/30/27 ⁽²⁾⁽³⁾		11,975		11,409
				83,749

Cable & Satellite – 4.0%

CCO Holdings LLC/CCO Holdings Capital Corp., 5.00%, 2/1/28 ⁽¹⁾		32,387		34,006

CSC Holdings LLC,
6.50%, 2/1/29 ⁽¹⁾		18,600		20,623
5.75%, 1/15/30 ⁽¹⁾		8,425		8,952
4.63%, 12/1/30 ⁽¹⁾		9,800		9,874

DISH DBS Corp.,
7.75%, 7/1/26		22,917		25,194

GCI LLC, 10/15/28 ⁽¹⁾⁽⁴⁾		12,000		12,150

Hughes Satellite Systems Corp., 6.63%, 8/1/26		9,030		9,772

Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 8/15/27 ⁽¹⁾		7,350		7,552

Radiate Holdco LLC/Radiate Finance, Inc.,
4.50%, 9/15/26 ⁽¹⁾		4,000		3,999
6.50%, 9/15/28 ⁽¹⁾		4,000		4,099

				136,221

Casinos & Gaming – 2.5%

Boyd Gaming Corp.,
4.75%, 12/1/27		11,350		11,137

Caesars Entertainment, Inc.,
6.25%, 7/1/25 ⁽¹⁾		5,100		5,331
8.13%, 7/1/27 ⁽¹⁾		5,975		6,334

Caesars Resort Collection LLC/CRC Finco, Inc.,
5.75%, 7/1/25 ⁽¹⁾		6,250		6,445
5.25%, 10/15/25 ⁽¹⁾		12,975		12,553

MGM Resorts International,
6.00%, 3/15/23		6,661		6,910


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 76.5% continued

Casinos & Gaming – 2.5% continued

Scientific Games International, Inc.,
8.25%, 3/15/26 ⁽¹⁾		$15,060		$15,724

Station Casinos LLC,
4.50%, 2/15/28 ⁽¹⁾		12,125		11,155

Twin River Worldwide Holdings, Inc.,
6.75%, 6/1/27 ⁽¹⁾		8,025		7,984
				83,573

Chemicals – 1.2%

CVR Partners L.P./CVR Nitrogen Finance Corp.,
9.25%, 6/15/23 ⁽¹⁾		15,110		13,977

Element Solutions, Inc.,
3.88%, 9/1/28 ⁽¹⁾		6,600		6,476

Illuminate Buyer LLC/Illuminate Holdings IV, Inc.,
9.00%, 7/1/28 ⁽¹⁾		5,650		6,074

Univar Solutions U.S.A., Inc.,
5.13%, 12/1/27 ⁽¹⁾		8,250		8,467

WR Grace & Co.-Conn,
4.88%, 6/15/27 ⁽¹⁾		4,325		4,466
				39,460

Coal Operations – 0.4%

Alliance Resource Operating Partners L.P./Alliance Resource Finance Corp.,
7.50%, 5/1/25⁽¹⁾		18,092		12,845

Commercial Finance – 0.7%

Fortress Transportation and Infrastructure Investors LLC,
6.75%, 3/15/22 ⁽¹⁾		6,961		6,857
9.75%, 8/1/27 ⁽¹⁾		9,375		10,037

Voyager Aviation Holdings LLC/Voyager Finance Co.,
8.50%, 8/15/21 ⁽¹⁾		17,225		8,569
				25,463

Communications Equipment – 1.1%
Avaya, Inc.,
6.13%, 9/15/28 ⁽¹⁾		5,475		5,583
CommScope, Inc.,
6.00%, 3/1/26 ⁽¹⁾		10,500		10,946
7.13%, 7/1/28 ⁽¹⁾		5,750		5,908


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 76.5% continued

Communications Equipment – 1.1% continued

ViaSat, Inc.,
5.63%, 4/15/27 ⁽¹⁾		$6,575		$6,764
6.50%, 7/15/28 ⁽¹⁾		7,775		7,786
				36,987

Construction Materials Manufacturing – 0.6%

Forterra Finance LLC/FRTA Finance Corp.,
6.50%, 7/15/25 ⁽¹⁾		4,775		5,045

Standard Industries, Inc.,
3.38%, 1/15/31 ⁽¹⁾		5,825		5,749

Summit Materials LLC/Summit Materials Finance Corp.,
6.50%, 3/15/27 ⁽¹⁾		8,683		9,248
				20,042

Consumer Finance – 3.3%

Credit Acceptance Corp.,
6.63%, 3/15/26		12,213		12,610

Curo Group Holdings Corp.,
8.25%, 9/1/25 ⁽¹⁾		15,240		12,763

Discover Financial Services,
(Variable, ICE LIBOR USD 3M + 3.08%), 5.50%, 10/30/27 ⁽²⁾⁽³⁾		8,825		8,402

Enova International, Inc.,
8.50%, 9/15/25 ⁽¹⁾		10,800		10,206

FirstCash, Inc.,
4.63%, 9/1/28 ⁽¹⁾		8,400		8,558

Freedom Mortgage Corp.,
8.13%, 11/15/24 ⁽¹⁾		8,848		8,826

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.,
4.25%, 2/1/27 ⁽¹⁾		10,100		8,737

Navient Corp.,
5.00%, 3/15/27		13,100		12,301

OneMain Finance Corp.,
6.88%, 3/15/25		4,175		4,633
5.38%, 11/15/29		12,225		12,714

PennyMac Financial Services, Inc.,
5.38%, 10/15/25 ⁽¹⁾		6,175		6,252

Provident Funding Associates L.P./PFG Finance Corp.,
6.38%, 6/15/25 ⁽¹⁾		5,197		5,028
				111,030


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 76.5% continued

Consumer Products – 0.4%

Edgewell Personal Care Co.,
5.50%, 6/1/28 ⁽¹⁾		$3,800		$3,998

Energizer Holdings, Inc.,
7.75%, 1/15/27 ⁽¹⁾		6,300		6,883
4.38%, 3/31/29 ⁽¹⁾		3,500		3,535

				14,416

Consumer Services – 1.1%

Allied Universal Holdco LLC/Allied Universal Finance Corp.,
6.63%, 7/15/26 ⁽¹⁾		10,275		10,943

APX Group, Inc.,
6.75%, 2/15/27 ⁽¹⁾		9,335		9,685

Prime Security Services Borrower LLC/Prime Finance, Inc.,
6.25%, 1/15/28 ⁽¹⁾		16,375		16,580

				37,208

Containers & Packaging – 1.0%

Flex Acquisition Co., Inc.,
7.88%, 7/15/26 ⁽¹⁾		5,924		6,028

Graham Packaging Co., Inc.,
7.13%, 8/15/28 ⁽¹⁾		9,100		9,475

Mauser Packaging Solutions Holding Co.,
7.25%, 4/15/25 ⁽¹⁾		11,642		10,958

Owens-Brockway Glass Container, Inc.,
6.63%, 5/13/27 ⁽¹⁾		4,535		4,912

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg),
10/15/27 ⁽¹⁾⁽⁴⁾		3,925		3,954

				35,327

Department Stores – 0.3%

Macy’s, Inc.,
8.38%, 6/15/25⁽¹⁾		10,225		10,572

Electrical Equipment Manufacturing – 0.6%

Sensata Technologies, Inc.,
3.75%, 2/15/31 ⁽¹⁾		4,150		4,124

Vertical U.S. Newco, Inc.,
5.25%, 7/15/27 ⁽¹⁾		5,600		5,820

WESCO Distribution, Inc.,
7.13%, 6/15/25 ⁽¹⁾		5,475		5,964
7.25%, 6/15/28 ⁽¹⁾		4,100		4,492

				20,400


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 76.5% continued

Entertainment Content – 0.9%

Allen Media LLC/Allen Media Co-Issuer, Inc.,
10.50%, 2/15/28 ⁽¹⁾		$12,435		$12,000

Diamond Sports Group LLC/Diamond Sports Finance Co.,
5.38%, 8/15/26 ⁽¹⁾		10,775		7,623
6.63%, 8/15/27 ⁽¹⁾		18,925		9,853

				29,476

Entertainment Resources – 0.4%

Powdr Corp.,
6.00%, 8/1/25⁽¹⁾		14,400		14,724

Exploration & Production – 6.1%

Apache Corp.,
4.88%, 11/15/27		5,700		5,387
4.38%, 10/15/28		8,000		7,320
4.25%, 1/15/30		4,000		3,604

Berry Petroleum Co. LLC,
7.00%, 2/15/26 ⁽¹⁾		17,600		13,684

Chesapeake Energy Corp.,
11.50%, 1/1/25 ⁽¹⁾⁽⁵⁾		9,100		1,229

Endeavor Energy Resources L.P./EER Finance, Inc.,
6.63%, 7/15/25 ⁽¹⁾		4,000		4,110

Energy Ventures Gom LLC/EnVen Finance Corp.,
11.00%, 2/15/23 ⁽¹⁾		17,900		13,425

EQT Corp.,
8.75%, 2/1/30		12,505		14,756

Gulfport Energy Corp.,
6.38%, 1/15/26		20,690		12,724

Hilcorp Energy I L.P./Hilcorp Finance Co.,
6.25%, 11/1/28 ⁽¹⁾		8,742		7,955

Indigo Natural Resources LLC,
6.88%, 2/15/26 ⁽¹⁾		9,595		9,339

Laredo Petroleum, Inc.,
9.50%, 1/15/25		17,240		10,274

Occidental Petroleum Corp.,
3.13%, 2/15/22		4,100		3,875
2.70%, 8/15/22		7,600		7,101
2.70%, 2/15/23		9,568		8,755
6.95%, 7/1/24		6,625		6,412
2.90%, 8/15/24		7,177		6,089
3.50%, 6/15/25		1,628		1,351


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
CORPORATE BONDS - 76.5% continued

Exploration & Production – 6.1% continued
8.00%, 7/15/25	$3,950	$3,975
5.55%, 3/15/26	12,050	10,916
3.40%, 4/15/26	10,420	8,310
3.50%, 8/15/29	14,375	11,014
6.63%, 9/1/30	11,375	10,493

SM Energy Co.,
5.63%, 6/1/25	12,210	5,494

Southwestern Energy Co.,
6.45%, 1/23/25	12,663	12,267

WPX Energy, Inc.,
4.50%, 1/15/30	8,775	8,627

		208,486

Financial Services – 1.1%

Advisor Group Holdings, Inc.,
10.80%, 8/1/27 ⁽¹⁾	9,875	10,122

Nationstar Mortgage Holdings, Inc.,
6.00%, 1/15/27 ⁽¹⁾	7,875	8,027

NFP Corp.,
6.88%, 8/15/28 ⁽¹⁾	10,110	10,235

PRA Group, Inc.,
7.38%, 9/1/25 ⁽¹⁾	8,325	8,682

		37,066

Food & Beverage – 2.6%

Dole Food Co., Inc.,
7.25%, 6/15/25 ⁽¹⁾	10,380	10,328

Kraft Heinz Foods Co.,
4.63%, 1/30/29	6,175	6,875
5.00%, 7/15/35	4,075	4,692
5.00%, 6/4/42	17,505	19,170
5.20%, 7/15/45	16,900	18,476
4.38%, 6/1/46	2,350	2,415

NBM U.S. Holdings, Inc.,
7.00%, 5/14/26	10,525	11,141

Simmons Foods, Inc.,
5.75%, 11/1/24 ⁽¹⁾	14,790	14,805

		87,902

Forest & Paper Products Manufacturing – 0.3%

Schweitzer-Mauduit International, Inc.,
6.88%, 10/1/26⁽¹⁾	10,050	10,603

Hardware – 1.3%

Everi Payments, Inc.,
7.50%, 12/15/25 ⁽¹⁾	13,927	13,648


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
CORPORATE BONDS - 76.5% continued

Hardware – 1.3% continued

NCR Corp.,
6.13%, 9/1/29 ⁽¹⁾	$17,490	$18,521
5.25%, 10/1/30 ⁽¹⁾	2,000	2,000

TTM Technologies, Inc.,
5.63%, 10/1/25 ⁽¹⁾	9,605	9,797

		43,966

Health Care Facilities & Services – 4.1%

Acadia Healthcare Co., Inc.,
4/15/29 ⁽¹⁾⁽⁴⁾	1,775	1,799

AdaptHealth LLC,
6.13%, 8/1/28 ⁽¹⁾	4,025	4,167

AMN Healthcare, Inc.,
4.63%, 10/1/27 ⁽¹⁾	6,375	6,534

CHS/Community Health Systems, Inc.,
6.63%, 2/15/25 ⁽¹⁾	22,410	21,682

DaVita, Inc.,
4.63%, 6/1/30 ⁽¹⁾	11,750	12,035

Encompass Health Corp.,
4.63%, 4/1/31	8,500	8,500

HCA, Inc.,
5.88%, 2/1/29	19,830	23,102

LifePoint Health, Inc.,
4.38%, 2/15/27 ⁽¹⁾	10,425	10,438

MEDNAX, Inc.,
6.25%, 1/15/27 ⁽¹⁾	9,315	9,664

Surgery Center Holdings, Inc.,
6.75%, 7/1/25 ⁽¹⁾	4,350	4,328
10.00%, 4/15/27 ⁽¹⁾	4,350	4,633

Tenet Healthcare Corp.,
4.88%, 1/1/26 ⁽¹⁾	11,525	11,734
6.13%, 10/1/28 ⁽¹⁾	16,525	16,071

West Street Merger Sub, Inc.,
6.38%, 9/1/25 ⁽¹⁾	6,064	6,184

		140,871

Home & Office Products Manufacturing – 0.7%

CD&R Smokey Buyer, Inc.,
6.75%, 7/15/25 ⁽¹⁾	6,560	6,921

Newell Brands, Inc.,
5.88%, 4/1/36	13,750	15,749

		22,670


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
CORPORATE BONDS - 76.5% continued

Home Improvement – 0.9%

Cornerstone Building Brands, Inc.,
8.00%, 4/15/26 ⁽¹⁾	$5,843	$6,135

Griffon Corp.,
5.75%, 3/1/28	6,615	6,905

Patrick Industries, Inc.,
7.50%, 10/15/27 ⁽¹⁾	5,025	5,452

PGT Innovations, Inc.,
6.75%, 8/1/26 ⁽¹⁾	10,455	11,135

		29,627

Homebuilders – 1.2%

Beazer Homes U.S.A., Inc.,
5.88%, 10/15/27	9,600	9,720

Century Communities, Inc.,
5.88%, 7/15/25	8,540	8,877

Forestar Group, Inc.,
5.00%, 3/1/28 ⁽¹⁾	8,250	8,332

LGI Homes, Inc.,
6.88%, 7/15/26 ⁽¹⁾	9,548	9,978

Taylor Morrison Communities, Inc.,
5.13%, 8/1/30 ⁽¹⁾	4,425	4,713

		41,620

Industrial Other – 0.5%

Ahern Rentals, Inc.,
7.38%, 5/15/23 ⁽¹⁾	15,175	8,043

Capitol Investment Merger Sub 2 LLC,
10.00%, 8/1/24 ⁽¹⁾	8,918	9,341

		17,384

Internet Media – 1.3%

GrubHub Holdings, Inc.,
5.50%, 7/1/27 ⁽¹⁾	7,850	8,144

Netflix, Inc.,
6.38%, 5/15/29	11,425	14,053

TripAdvisor, Inc.,
7.00%, 7/15/25 ⁽¹⁾	10,235	10,670

Uber Technologies, Inc.,
6.25%, 1/15/28 ⁽¹⁾	10,075	10,349

		43,216

Investment Companies – 0.5%

Icahn Enterprises L.P./Icahn Enterprises
Finance Corp.,
5.25%, 5/15/27	15,350	15,992


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
CORPORATE BONDS - 76.5% continued

Leisure Products Manufacturing – 0.2%

Mattel, Inc.,
5.88%, 12/15/27	$7,650	$8,233

Machinery Manufacturing – 0.2%

Amsted Industries, Inc.,
5.63%, 7/1/27⁽¹⁾	6,850	7,287

Manufactured Goods – 0.4%

FXI Holdings, Inc.,
12.25%, 11/15/26⁽¹⁾	11,625	12,410

Medical Equipment & Devices Manufacturing – 0.3%

Avantor Funding, Inc.,
4.63%, 7/15/28⁽¹⁾	8,550	8,871

Metals & Mining – 2.4%

Arconic Corp.,
6.13%, 2/15/28 ⁽¹⁾	6,050	6,213

Carpenter Technology Corp.,
6.38%, 7/15/28	6,575	6,881

Cleveland-Cliffs, Inc.,
9.88%, 10/17/25 ⁽¹⁾	5,325	5,944

Commercial Metals Co.,
5.75%, 4/15/26	15,048	15,650

Freeport-McMoRan, Inc.,
5.45%, 3/15/43	14,960	16,587

Joseph T Ryerson & Son, Inc.,
8.50%, 8/1/28 ⁽¹⁾	5,900	6,210

Novelis Corp.,
4.75%, 1/30/30 ⁽¹⁾	11,150	10,952

United States Steel Corp.,
6.88%, 8/15/25	20,300	14,922

		83,359

Oil & Gas Services & Equipment – 0.6%

Oceaneering International, Inc.,
6.00%, 2/1/28	20,495	12,820

U.S.A. Compression Partners L.P./U.S.A. Compression Finance Corp.,
6.88%, 4/1/26	9,466	9,383

		22,203

Pharmaceuticals – 1.2%

Bausch Health Americas, Inc.,
8.50%, 1/31/27 ⁽¹⁾	17,415	19,135

Horizon Therapeutics U.S.A., Inc.,
5.50%, 8/1/27 ⁽¹⁾	10,450	11,090


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
CORPORATE BONDS - 76.5% continued

Pharmaceuticals – 1.2% continued

JPR Royalty Sub LLC,
14.00%, 12/31/20 ⁽¹⁾^{(5) (6) (7)}	$8,000	$—

Par Pharmaceutical, Inc.,
7.50%, 4/1/27 ⁽¹⁾	8,813	9,233

		39,458

Pipeline – 4.8%

American Midstream Partners L.P./American Midstream Finance Corp.,
9.50%, 12/15/21 ⁽¹⁾	12,623	12,528

Cheniere Energy, Inc.,
4.63%, 10/15/28 ⁽¹⁾	4,075	4,182

Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp.,
5.63%, 5/1/27 ⁽¹⁾	9,075	8,106

DCP Midstream Operating L.P.,
5.63%, 7/15/27	10,983	11,236

EnLink Midstream Partners L.P.,
(Variable, ICE LIBOR USD 3M + 4.11%), 6.00%, 12/15/22^(2) (3)	19,300	7,720

EQM Midstream Partners L.P.,
6.00%, 7/1/25 ⁽¹⁾	7,250	7,477

Genesis Energy L.P./Genesis Energy Finance Corp.,
6.00%, 5/15/23	14,084	12,781

Global Partners L.P./GLP Finance Corp.,
7.00%, 8/1/27	6,135	6,252
1/15/29 ⁽¹⁾⁽⁴⁾	5,800	5,858

Harvest Midstream I L.P.,
7.50%, 9/1/28 ⁽¹⁾	4,110	4,090

Holly Energy Partners L.P./Holly Energy Finance Corp.,
5.00%, 2/1/28 ⁽¹⁾	5,325	5,192

Martin Midstream Partners L.P./Martin Midstream Finance Corp.,
11.50%, 2/28/25 ⁽¹⁾	6,802	6,122

NGL Energy Partners L.P./NGL Energy Finance Corp.,
7.50%, 11/1/23	11,882	7,916
7.50%, 4/15/26	6,625	4,157

NuStar Logistics L.P.,
6.00%, 6/1/26	6,580	6,599


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
CORPORATE BONDS - 76.5% continued

Pipeline – 4.8% continued

PBF Logistics L.P./PBF Logistics Finance Corp.,
6.88%, 5/15/23	$13,866	$13,034

Plains All American Pipeline L.P.,
(Variable, ICE LIBOR USD 3M + 4.11%), 6.13%, 11/15/22 ⁽²⁾⁽³⁾	12,100	7,676

Rattler Midstream L.P.,
5.63%, 7/15/25 ⁽¹⁾	8,325	8,387

Targa Resources Partners L.P./Targa Resources Partners Finance Corp.,
6.50%, 7/15/27	7,025	7,324

Western Midstream Operating L.P.,
4.10%, 2/1/25	6,150	5,858
4.65%, 7/1/26	5,800	5,641
4.75%, 8/15/28	4,665	4,485
5.05%, 2/1/30	2,385	2,321

		164,942

Power Generation – 1.2%

Calpine Corp.,
5.13%, 3/15/28	15,662	16,210
5.00%, 2/1/31 ⁽¹⁾	3,350	3,415

NRG Energy, Inc.,
5.75%, 1/15/28	8,470	9,137

Pattern Energy Operations L.P./Pattern Energy Operations, Inc.,
4.50%, 8/15/28 ⁽¹⁾	3,125	3,242

Vistra Operations Co. LLC,
5.63%, 2/15/27 ⁽¹⁾	8,625	9,101

		41,105

Property & Casualty Insurance – 0.7%

Acrisure LLC/Acrisure Finance, Inc.,
7.00%, 11/15/25 ⁽¹⁾	9,395	9,229

NMI Holdings, Inc.,
7.38%, 6/1/25 ⁽¹⁾	6,300	6,733

USI, Inc.,
6.88%, 5/1/25 ⁽¹⁾	8,154	8,256

		24,218

Publishing & Broadcasting – 2.6%

Clear Channel Worldwide Holdings, Inc.,
9.25%, 2/15/24	5,402	5,237

5.13%, 8/15/27 ⁽¹⁾	10,475	10,059


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
CORPORATE BONDS - 76.5% continued

Publishing & Broadcasting – 2.6% continued

Cumulus Media New Holdings, Inc.,
6.75%, 7/1/26 ⁽¹⁾	$8,785	$8,126

Entercom Media Corp.,
7.25%, 11/1/24 ⁽¹⁾	16,050	13,642

Gray Television, Inc.,
7.00%, 5/15/27 ⁽¹⁾	7,450	8,077

iHeartCommunications, Inc.,
5.25%, 8/15/27 ⁽¹⁾	5,500	5,362

Meredith Corp.,
6.88%, 2/1/26	13,025	10,876

Nexstar Broadcasting, Inc.,
5.63%, 7/15/27 ⁽¹⁾	8,850	9,296

Sirius XM Radio, Inc.,
5.50%, 7/1/29 ⁽¹⁾	6,450	6,918

TEGNA, Inc.,
5.00%, 9/15/29 ⁽¹⁾	10,250	10,122

		87,715

Real Estate – 1.4%

ESH Hospitality, Inc.,
4.63%, 10/1/27 ⁽¹⁾	10,625	10,426

HAT Holdings I LLC/HAT Holdings II LLC,
6.00%, 4/15/25 ⁽¹⁾	7,425	7,910

Howard Hughes (The) Corp.,
5.38%, 8/1/28 ⁽¹⁾	5,500	5,497

MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc.,
4.63%, 6/15/25 ⁽¹⁾	3,975	4,055

Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer,
7.50%, 6/1/25 ⁽¹⁾	9,400	10,009

Uniti Group L.P./Uniti Fiber Holdings, Inc./CSL Capital LLC,
7.88%, 2/15/25 ⁽¹⁾	7,100	7,524

XHR L.P.,
6.38%, 8/15/25 ⁽¹⁾	4,025	4,015

		49,436

Real Estate Investment Trusts – 0.3%

iStar, Inc.,
4.75%, 10/1/24	10,150	9,820


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
CORPORATE BONDS - 76.5% continued

Refining & Marketing – 1.1%

CITGO Petroleum Corp.,
7.00%, 6/15/25 ⁽¹⁾	$7,850	$7,742

CVR Energy, Inc.,
5.75%, 2/15/28 ⁽¹⁾	15,540	13,209

PBF Holding Co LLC/PBF Finance Corp.,
6.00%, 2/15/28 ⁽¹⁾	12,125	8,137

Sunoco L.P./Sunoco Finance Corp.,
5.50%, 2/15/26	6,876	6,867

		35,955

Restaurants – 0.8%

Golden Nugget, Inc.,
6.75%, 10/15/24 ⁽¹⁾	19,910	16,625

IRB Holding Corp.,
6.75%, 2/15/26 ⁽¹⁾	9,773	9,773

		26,398

Retail - Consumer Discretionary – 3.1%

Carvana Co.,
10/1/28 ⁽¹⁾⁽⁴⁾	6,250	6,172

Group 1 Automotive, Inc.,
4.00%, 8/15/28 ⁽¹⁾	3,175	3,119

Ken Garff Automotive LLC,
4.88%, 9/15/28 ⁽¹⁾	13,225	13,010

L Brands, Inc.,
6.88%, 7/1/25 ⁽¹⁾	3,667	3,960
9.38%, 7/1/25 ⁽¹⁾	1,700	1,951
5.25%, 2/1/28	3,100	2,999
6.63%, 10/1/30 ⁽¹⁾	6,125	6,232

Lithia Motors, Inc.,
4.63%, 12/15/27 ⁽¹⁾	10,950	11,306

Michaels Stores, Inc.,
4.75%, 10/1/27 ⁽¹⁾	2,950	2,924

Party City Holdings, Inc.,
6.63%, 8/1/26	18,785	5,636

Penske Automotive Group, Inc.,
3.50%, 9/1/25	6,100	6,075

PetSmart, Inc.,
7.13%, 3/15/23 ⁽¹⁾	14,825	14,955

Sonic Automotive, Inc.,
6.13%, 3/15/27	9,956	10,280

Staples, Inc.,
7.50%, 4/15/26 ⁽¹⁾	16,896	15,615

		104,234


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 76.5% continued

Retail - Consumer Staples – 0.2%
U.S. Foods, Inc.,
6.25%, 4/15/25⁽¹⁾		$7,050		$7,464

Software & Services – 2.7%

Banff Merger Sub, Inc.,
9.75%, 9/1/26 ⁽¹⁾		11,225		11,866

Castle U.S. Holding Corp.,
9.50%, 2/15/28 ⁽¹⁾		8,280		7,897

Logan Merger Sub, Inc.,
5.50%, 9/1/27 ⁽¹⁾		3,950		3,996

MPH Acquisition Holdings LLC,
7.13%, 6/1/24 ⁽¹⁾		9,331		9,586

Open Text Holdings, Inc.,
4.13%, 2/15/30 ⁽¹⁾		5,900		6,068

Refinitiv U.S. Holdings, Inc.,
8.25%, 11/15/26 ⁽¹⁾		12,125		13,277

Sabre GLBL, Inc.,
9.25%, 4/15/25 ⁽¹⁾		8,075		8,887
7.38%, 9/1/25 ⁽¹⁾		4,900		4,949

Solera LLC/Solera Finance, Inc.,
10.50%, 3/1/24 ⁽¹⁾		10,014		10,465

Sophia L.P./Sophia Finance, Inc.,
9.00%, 9/30/23 ⁽¹⁾		5,380		5,383

Verscend Escrow Corp.,
9.75%, 8/15/26 ⁽¹⁾		7,910		8,600

				90,974

Supermarkets & Pharmacies – 0.3%

Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC,
7.50%, 3/15/26⁽¹⁾		10,100		11,080

Technology – 0.6%

Iron Mountain, Inc.,
4.88%, 9/15/29 ⁽¹⁾		10,814		11,003
5.25%, 7/15/30 ⁽¹⁾		8,700		9,070

				20,073

Transportation & Logistics – 1.9%

Allison Transmission, Inc.,
5.88%, 6/1/29 ⁽¹⁾		8,025		8,679

Cargo Aircraft Management, Inc.,
4.75%, 2/1/28 ⁽¹⁾		12,275		12,396

Navistar International Corp.,
6.63%, 11/1/25 ⁽¹⁾		16,263		16,629


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 76.5% continued

Transportation & Logistics – 1.9% continued

Western Global Airlines LLC,
10.38%, 8/15/25 ⁽¹⁾		$15,675		$15,988

XPO Logistics, Inc.,
6.75%, 8/15/24 ⁽¹⁾		5,125		5,428
6.25%, 5/1/25 ⁽¹⁾		3,725		3,981

				63,101

Travel & Lodging – 0.6%

Hilton Domestic Operating Co., Inc.,
5.38%, 5/1/25 ⁽¹⁾		2,700		2,820
5.75%, 5/1/28 ⁽¹⁾		8,400		8,851

Wyndham Destinations, Inc.,
6.63%, 7/31/26 ⁽¹⁾		7,475		7,831

				19,502

Utilities – 0.6%

PG&E Corp.,
5.00%, 7/1/28		4,350		4,219

Talen Energy Supply LLC,
6.63%, 1/15/28 ⁽¹⁾		15,875		15,379

				19,598

Waste & Environment Services & Equipment – 0.2%

Covanta Holding Corp.,
5.00%, 9/1/30		7,125		7,191

Wireless Telecommunications Services – 1.3%

Sprint Capital Corp.,
6.88%, 11/15/28		14,853		18,566
8.75%, 3/15/32		13,200		19,323

Trilogy International Partners LLC/Trilogy International Finance, Inc.,
8.88%, 5/1/22 ⁽¹⁾		7,173		6,599

				44,488

Wireline Telecommunications Services – 2.4%

Cablevision Lightpath LLC,
5.63%, 9/15/28 ⁽¹⁾		9,875		10,020

CenturyLink, Inc.,
5.13%, 12/15/26 ⁽¹⁾		11,050		11,353
4.00%, 2/15/27 ⁽¹⁾		6,050		6,146

Cincinnati Bell, Inc.,
7.00%, 7/15/24 ⁽¹⁾		11,925		12,275

Consolidated Communications, Inc.,
10/1/28 ⁽¹⁾⁽⁴⁾		8,542		8,713


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 76.5% continued

Wireline Telecommunications Services – 2.4% continued

Level 3 Financing, Inc.,
4.63%, 9/15/27 ⁽¹⁾		$8,225		$8,451

Switch Ltd.,
3.75%, 9/15/28 ⁽¹⁾		4,550		4,595

Windstream Escrow LLC/Windstream Escrow Finance Corp.,
7.75%, 8/15/28 ⁽¹⁾		10,125		9,948

Zayo Group Holdings, Inc.,
6.13%, 3/1/28 ⁽¹⁾		10,825		11,174
				82,675
Total Corporate Bonds
(Cost $2,679,465)				2,599,662



FOREIGN ISSUER BONDS – 18.3%

Aerospace & Defense – 0.8%

Bombardier, Inc.,
7.50%, 12/1/24 ⁽¹⁾		17,257		13,244

TransDigm UK Holdings PLC,
6.88%, 5/15/26		13,650		13,717

				26,961

Airlines – 0.3%

Delta Air Lines, Inc./SkyMiles IP Ltd.,
4.75%, 10/20/28 ⁽¹⁾		8,350		8,670

Virgin Australia Holdings Ltd.,
7.88%, 10/15/21 ⁽¹⁾		25,450		2,290

				10,960

Auto Parts Manufacturing – 0.4%

Clarios Global L.P.,
6.75%, 5/15/25 ⁽¹⁾		2,100		2,210

IHO Verwaltungs GmbH,
6.00%, (100% Cash), 5/15/27 ^{(1) (8)}		9,400		9,917

				12,127

Banks – 0.1%

ING Groep N.V.,
(Variable, USD Swap 5Y + 4.45%),
6.50%, 4/16/25⁽²⁾⁽³⁾		3,546		3,752

Cable & Satellite – 1.7%

Altice Financing S.A.,
7.50%, 5/15/26 ⁽¹⁾		10,470		11,083
5.00%, 1/15/28 ⁽¹⁾		8,850		8,596


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 18.3% continued

Cable & Satellite – 1.7% continued

LCPR Senior Secured Financing DAC,
6.75%, 10/15/27 ⁽¹⁾		$10,565		$11,040

Telenet Finance Luxembourg Notes S.a.r.l.,
5.50%, 3/1/28 ⁽¹⁾		5,150		5,427

UPC Holding B.V.,
5.50%, 1/15/28 ⁽¹⁾		9,000		9,281

Ziggo Bond Co. B.V.,
6.00%, 1/15/27 ⁽¹⁾		11,775		12,172
				57,599

Casinos & Gaming – 0.8%

International Game Technology PLC,
5.25%, 1/15/29 ⁽¹⁾		7,525		7,610

Melco Resorts Finance Ltd.,
5.63%, 7/17/27 ⁽¹⁾		9,325		9,671

Wynn Macau Ltd.,
5.50%, 10/1/27 ⁽¹⁾		10,982		10,652
				27,933

Chemicals – 0.2%

Methanex Corp.,
5.13%, 10/15/27		5,625		5,597

Commercial Finance – 0.2%

AerCap Holdings N.V.,
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.54%), 5.88%, 10/10/79⁽²⁾		10,375		7,956

Consumer Finance – 0.4%

Fairstone Financial, Inc.,
7.88%, 7/15/24⁽¹⁾		14,122		14,475

Containers & Packaging – 0.3%

ARD Finance S.A.,

6.50%, (100% Cash), 6/30/27⁽¹⁾⁽⁸⁾		11,175		11,117

Diversified Banks – 1.3%

Barclays PLC,

(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.67%), 8.00%, 6/15/24 ⁽²⁾⁽³⁾		12,575		13,392

BNP Paribas S.A.,

(Variable, USD Swap 5Y + 5.15%), 7.38%, 8/19/25 ⁽¹⁾^(2) (3)		6,450		7,184

Credit Agricole S.A.,

(Variable, USD Swap 5Y + 4.90%), 7.88%, 1/23/24 ⁽¹⁾^(2) (3)		5,168		5,711


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 18.3% continued

Diversified Banks – 1.3% continued
Credit Suisse Group A.G.,
(Variable, USD Swap 5Y + 4.60%),
7.50%, 7/17/23 ⁽¹⁾^(2) (3)		$8,125		$8,574

Deutsche Bank A.G.,
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.52%), 6.00%, 10/30/25 ⁽²⁾⁽³⁾		12,500		10,781

				45,642

Electrical Equipment Manufacturing – 0.2%

Vertical Holdco GmbH,
7.63%, 7/15/28⁽¹⁾		6,625		7,002

Financial Services – 0.8%

Altice France Holding S.A.,
10.50%, 5/15/27 ⁽¹⁾		11,175		12,418

VistaJet Malta Finance PLC/XO Management Holding, Inc.,
10.50%, 6/1/24 ⁽¹⁾		14,425		13,534

				25,952

Food & Beverage – 0.7%

JBS U.S.A. LUX S.A./JBS U.S.A. Food Co./JBS U.S.A. Finance, Inc.,
6.50%, 4/15/29 ⁽¹⁾		10,125		11,239
5.50%, 1/15/30 ⁽¹⁾		5,000		5,442

Sigma Holdco B.V.,
7.88%, 5/15/26		6,630		6,746

				23,427

Integrated Oils – 0.2%

Cenovus Energy, Inc.,
4.25%, 4/15/27		7,825		7,074

Machinery Manufacturing – 0.2%

Husky III Holding Ltd.,
13.00%, (100% Cash),
2/15/25⁽¹⁾⁽⁸⁾		7,140		7,390

Metals & Mining – 1.4%

Alcoa Nederland Holding B.V.,
5.50%, 12/15/27 ⁽¹⁾		6,325		6,592

First Quantum Minerals Ltd.,
7.25%, 4/1/23 ⁽¹⁾		7,975		7,965
6.50%, 3/1/24 ⁽¹⁾		7,750		7,430

New Gold, Inc.,
6.38%, 5/15/25 ⁽¹⁾		13,911		14,363


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 18.3% continued

Metals & Mining – 1.4% continued

Northwest Acquisitions ULC/Dominion Finco, Inc.,
7.13%, 11/1/22 ⁽¹⁾⁽⁵⁾		$14,891		$238

Vedanta Resources Ltd.,
6.38%, 7/30/22 ⁽¹⁾		11,510		9,266

				45,854

Oil & Gas Services & Equipment – 0.3%

Nabors Industries Ltd.,
7.25%, 1/15/26 ⁽¹⁾		9,900		4,876

Noble Holding International Ltd.,
7.88%, 2/1/26 ⁽¹⁾^{(5) (6)}		7,350		1,774

Transocean Pontus Ltd.,
6.13%, 8/1/25 ⁽¹⁾		5,595		5,003

				11,653

Pharmaceuticals – 1.7%

Bausch Health Cos., Inc.,
5.00%, 1/30/28 ⁽¹⁾		8,500		8,256
5.25%, 1/30/30 ⁽¹⁾		16,725		16,474

Endo Dac/Endo Finance LLC/Endo Finco, Inc.,
9.50%, 7/31/27 ⁽¹⁾		8,277		8,650
6.00%, 6/30/28 ⁽¹⁾		11,705		8,603

Teva Pharmaceutical Finance Netherlands III B.V.,
7.13%, 1/31/25		8,625		9,056
6.75%, 3/1/28		5,780		6,040

				57,079

Power Generation – 0.3%
Drax Finco PLC,
6.63%, 11/1/25⁽¹⁾		11,102		11,546

Property & Casualty Insurance – 0.3%
Ardonagh Midco 2 PLC,
11.50%, 1/15/27⁽¹⁾		9,375		9,469

Publishing & Broadcasting – 0.2%
Clear Channel International B.V.,
6.63%, 8/1/25⁽¹⁾		6,575		6,725

Refining & Marketing – 0.8%

eG Global Finance PLC,
6.75%, 2/7/25 ⁽¹⁾		10,660		10,913

Parkland Corp.,
6.00%, 4/1/26 ⁽¹⁾		13,758		14,412

				25,325


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS – 18.3% continued

Restaurants – 0.3%

1011778 B.C. ULC/New Red Finance, Inc.,
10/15/30⁽¹⁾⁽⁴⁾		$8,350		$8,414

Semiconductors – 0.3%

ams A.G.,
7.00%, 7/31/25⁽¹⁾		10,350		10,955

Technology – 0.4%

Sixsigma Networks Mexico S.A. de C.V.,
7.50%, 5/2/25⁽¹⁾		15,525		13,916

Travel & Lodging – 0.6%

Royal Caribbean Cruises Ltd.,
9.13%, 6/15/23 ⁽¹⁾		6,250		6,625

Viking Cruises Ltd.,
13.00%, 5/15/25 ⁽¹⁾		3,865		4,474
5.88%, 9/15/27 ⁽¹⁾		11,176		8,689

				19,788

Trucking & Leasing – 0.4%

Fly Leasing Ltd.,
5.25%, 10/15/24		15,615		12,872

Wireless Telecommunications Services – 2.4%

Altice France S.A.,
7.38%, 5/1/26 ⁽¹⁾		24,012		25,162

C&W Senior Financing DAC,
6.88%, 9/15/27 ⁽¹⁾		9,451		9,817

Connect Finco S.a.r.l./Connect U.S. Finco LLC,
6.75%, 10/1/26 ⁽¹⁾		12,275		12,314

Digicel Group 0.5 Ltd.,
10.00%, 4/1/24 ⁽⁸⁾		10,431		7,993

Millicom International Cellular S.A.,
5.13%, 1/15/28 ⁽¹⁾		4,175		4,335

Telesat Canada/Telesat LLC, 6.50%, 10/15/27 ⁽¹⁾		13,000		13,094

Vmed O2 UK Financing I PLC,
4.25%, 1/31/31 ⁽¹⁾		10,200		10,378

				83,093

Wireline Telecommunications Services – 0.3%

Telecom Italia Capital S.A.,
6.38%, 11/15/33		9,451		11,247
Total Foreign Issuer Bonds
(Cost $671,299)				622,900


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

TERM LOANS – 1.4% ⁽⁹⁾

Consumer Services – 0.2%

TruGreen L.P., Initial Refinancing Term Loan,
(Floating, ICE LIBOR USD 1M + 3.75%), 3.90%, 3/19/26		$4,872		$4,819

Department Stores – 0.2%

J.C. Penney Corp., Inc., Loan,
(Floating, ICE LIBOR USD 3M + 4.25%, 1.00% Floor), 5.25%, 6/23/23⁽¹⁰⁾		24,577		7,568

Pharmaceuticals – 0.5%

Alvogen Pharma U.S., Inc., January 2020 Loan,
(Floating, ICE LIBOR USD 3M + 5.25%, 1.00% Floor), 6.25%, 12/31/23		19,033		18,303

Retail - Consumer Discretionary – 0.5%

Bass Pro Group LLC, Initial Term Loan,
(Floating, ICE LIBOR USD 3M + 5.00%, 0.75% Floor), 5.75%, 9/25/24		16,216		16,043
Total Term Loans
(Cost $64,509)				46,733

	NUMBER OF SHARES		VALUE (000S)

COMMON STOCKS – 0.4%

Oil, Gas & Coal – 0.4%

Denbury, Inc.*		574,466		$10,111
Whiting Petroleum Corp.*		319,081		5,517
				15,628
Total Common Stocks
(Cost $40,236)				15,628

PREFERRED STOCKS – 0.5%

Banks – 0.5%

GMAC Capital Trust I, (Variable, ICE LIBOR USD 3M + 5.79%), 6.07%⁽⁹⁾		652,459		16,305
Total Preferred Stocks
(Cost $15,569)				16,305


	NUMBER OF SHARES		VALUE (000S)
INVESTMENT COMPANIES – 1.5%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽¹¹⁾⁽¹²⁾		51,726,888		$51,727
Total Investment Companies
(Cost $51,727)				51,727

Total Investments – 98.6%
(Cost $3,522,805)				3,352,955

Other Assets less Liabilities – 1.4%				47,013
NET ASSETS – 100.0%				$3,399,968

⁽¹⁾

⁽²⁾

Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end.

⁽³⁾

Perpetual bond. Maturity date represents next call date.

⁽⁴⁾

When-Issued Security. Coupon rate is not in effect at September 30, 2020.

⁽⁵⁾

Issuer has defaulted on terms of debt obligation. Income is not being accrued.

⁽⁶⁾

Restricted security that has been deemed illiquid. At September 30, 2020, the value of these restricted illiquid securities amounted to approximately $1,774,000 or 0.1% of net assets. Additional information on these restricted illiquid securities is as follows:

⁽⁷⁾

Level 3 asset that is worthless, bankrupt or has been delisted.

⁽⁸⁾

Security is a payment in-kind bond (PIK), distributions received in-kind unless otherwise noted in the description.

⁽⁹⁾

Variable rate security. Rate as of September 30, 2020 is disclosed.

⁽¹⁰⁾

Issuer has defaulted on terms of debt obligation.

⁽¹¹⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽¹²⁾

7-day current yield as of September 30, 2020 is disclosed.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

1M - 1 Month

3M - 3 Month

5Y - 5 Year

CMT - Constant Maturity

ICE - Intercontinental Exchange

LIBOR - London Interbank Offered Rate

PLC - Public Limited Company

USD - United States Dollar

Percentages shown are based on Net Assets.

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).



INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)
Corporate Bonds⁽¹⁾	$	–		$2,599,662		$–		$2,599,662
Foreign Issuer Bonds⁽¹⁾		–		622,900		–		622,900
Term Loans⁽¹⁾		–		46,733		–		46,733
Common Stocks⁽¹⁾		15,628		–		–		15,628
Preferred Stocks⁽¹⁾		–		16,305		–		16,305
Investment Companies		51,727		–		–		51,727
Total Investments	$	67,355		$3,285,600		$–		$3,352,955

⁽¹⁾

Classifications as defined in the Schedule of Investments.


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
ASSET-BACKED SECURITIES – 17. 0%

Automobile – 2.7%
CarMax Auto Owner Trust, Series 2020-1, Class A3 1.89%, 12/16/24		$560		$575
Drive Auto Receivables Trust, Series 2020-1, Class A2 1.99%, 12/15/22		212		213
Enterprise Fleet Financing LLC, Series 2020-1, Class A3 1.86%, 12/22/25⁽¹⁾		2,250		2,310

Ford Credit Auto Lease Trust, Series 2020-A, Class A3 1.85%, 3/15/23		1,200		1,219

GM Financial Automobile Leasing Trust, Series 2020-1, Class A3 1.67%, 12/20/22		490		497
GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3 1.84%, 9/16/24		790		809
Hyundai Auto Lease Securitization Trust, Series 2020-A, Class A3 1.95%, 7/17/23⁽¹⁾		3,000		3,059
Santander Drive Auto Receivables Trust, Series 2020-2, Class A2A 0.62%, 5/15/23		1,500		1,502
Volkswagen Auto Loan Enhanced Trust, Series 2020-1, Class A2A 0.93%, 12/20/22		1,000		1,004

				11,188

Commercial Mortgage-Backed Securities – 6.8%
BANK, Series 2018-BN14, Class A2 4.13%, 9/15/60		3,880		4,204
Benchmark Mortgage Trust, Series 2018-B2, Class A2 3.66%, 2/15/51		2,355		2,464
Benchmark Mortgage Trust, Series 2018-B6, Class A2 4.20%, 10/10/51		3,710		3,981
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-C28, Class A4 3.23%, 10/15/48		4,090		4,442
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class A4 4.26%, 10/15/46		575		621


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
ASSET-BACKED SECURITIES - 17.0% continued

Commercial Mortgage-Backed Securities – 6.8% continued
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class A4 2.92%, 2/15/46		$2,200		$2,284

UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class A4 3.09%, 8/10/49		4,970		5,146

WFRBS Commercial Mortgage Trust, Series 2012-C10, Class A3 2.88%, 12/15/45		4,960		5,103

				28,245

Credit Card – 4.8%

American Express Credit Account Master Trust, Series 2018-8, Class A 3.18%, 4/15/24		5,200		5,346

BA Credit Card Trust, Series 2019-A1, Class A1 1.74%, 1/15/25		880		905

Capital One Multi-Asset Execution Trust, Series 2019-A1, Class A1 2.84%, 12/15/24		1,005		1,040

Discover Card Execution Note Trust, Series 2018-A5, Class A5 3.32%, 3/15/24		1,415		1,457

Discover Card Execution Note Trust, Series 2019-A1, Class A1 3.04%, 7/15/24		3,700		3,834

Golden Credit Card Trust, Series 2019-2A, Class A

(Floating, ICE LIBOR USD 1M + 0.35%, 0.35% Floor), 0.50%, 10/15/23⁽²⁾		1,000		1,002

Master Credit Card Trust II, Series 2020-1A, Class A 1.99%, 9/21/24⁽¹⁾		2,200		2,282

Synchrony Card Funding LLC, Series 2019-A1, Class A 2.95%, 3/15/25		3,210		3,321

World Financial Network Credit Card Master Trust, Series 2019-C, Class A 2.21%, 7/15/26		1,000		1,028

				20,215


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
ASSET-BACKED SECURITIES - 17.0% continued

Other – 2.7%
CNH Equipment Trust, Series 2018-A, Class A3 3.12%, 7/17/23		$1,710		$1,738

CNH Equipment Trust, Series 2019-A, Class A3 3.01%, 4/15/24		2,900		2,976

CNH Equipment Trust, Series 2019-B, Class A3 2.52%, 8/15/24		2,540		2,600

John Deere Owner Trust, Series 2019-A, Class A3 2.91%, 7/17/23		2,175		2,224

Verizon Owner Trust, Series 2020-A, Class A1A 1.85%, 7/22/24		1,550		1,590

				11,128
Total Asset-Backed Securities
(Cost $68,799)				70,776


CORPORATE BONDS – 27.8%

Aerospace & Defense – 0.7%

Boeing (The) Co., 4.51%, 5/1/23		1,000		1,054

Spirit AeroSystems, Inc.,

(Floating, ICE LIBOR USD 3M + 0.80%), 1.05%, 6/15/21 ⁽²⁾		1,830		1,731

				2,785

Airlines – 0.5%

American Airlines Group, Inc., 3.75%, 3/1/25 ⁽¹⁾		1,100		558

Delta Air Lines, Inc., 3.40%, 4/19/21		1,530		1,524

				2,082

Apparel & Textile Products – 0.3%
VF Corp., 2.05%, 4/23/22		1,000		1,025

Automobiles Manufacturing – 1.5%

American Honda Finance Corp., 0.88%, 7/7/23		1,790		1,805

BMW U.S. Capital LLC, 3.80%, 4/6/23 ⁽¹⁾		800		862

General Motors Co., 5.40%, 10/2/23		1,000		1,102


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 27.8% continued

Automobiles Manufacturing – 1.5% continued
Hyundai Capital America, 2.85%, 11/1/22 ⁽¹⁾		$530		$548

1.25%, 9/18/23 ⁽¹⁾		410		409

Toyota Motor Credit Corp., 1.15%, 5/26/22		1,000		1,013

Volkswagen Group of America Finance LLC, 3.13%, 5/12/23 ⁽¹⁾		630		665

				6,404

Banks – 0.9%

CIT Bank N.A.,

(Variable, U.S. SOFR + 1.72%), 2.97%, 9/27/25 ⁽³⁾		450		447

Discover Bank, 3.20%, 8/9/21		805		821

Fifth Third Bancorp, 2.38%, 1/28/25		265		281

KeyBank N.A., 1.25%, 3/10/23		600		611

PNC Bank N.A.,

(Floating, ICE LIBOR USD 3M + 0.43%), 0.67%, 12/9/22 ⁽²⁾		1,000		1,003

Synchrony Bank, 3.65%, 5/24/21		580		589

				3,752

Biotechnology – 0.2%
Gilead Sciences, Inc., 0.75%, 9/29/23		940		942

Chemicals – 0.9%

Albemarle Corp., (Floating, ICE LIBOR USD 3M + 1.05%), 1.33%, 11/15/22 ⁽²⁾		350		349

DuPont de Nemours, Inc., 4.21%, 11/15/23		890		977

Eastman Chemical Co., 3.50%, 12/1/21		1,110		1,144

Mosaic (The) Co., 3.75%, 11/15/21		1,124		1,153

				3,623

Commercial Finance – 0.3%
Air Lease Corp., 3.50%, 1/15/22		986		1,012


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 27.8% continued

Consumer Finance – 1.9%
Ally Financial, Inc., 3.88%, 5/21/24		$1,000		$1,066

American Express Co., 2.50%, 7/30/24		1,000		1,064

Capital One Financial Corp.,
(Floating, ICE LIBOR USD 3M + 0.95%), 1.19%, 3/9/22 ⁽²⁾		1,120		1,128

Fiserv, Inc., 2.75%, 7/1/24		260		278

Global Payments, Inc., 2.65%, 2/15/25		500		531

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.25%, 2/1/27 ⁽¹⁾		1,100		951

PayPal Holdings, Inc., 1.35%, 6/1/23		1,050		1,073

2.40%, 10/1/24		660		699

Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.63%, 3/1/29 ⁽¹⁾		1,000		991

Synchrony Financial, 2.85%, 7/25/22		230		237

				8,018

Containers & Packaging – 0.3%
Graphic Packaging International LLC, 4.75%, 7/15/27⁽¹⁾		1,180		1,277

Diversified Banks – 1.1%

Bank of America Corp.,

(Floating, ICE LIBOR USD 3M + 0.96%), 1.22%, 7/23/24 ⁽²⁾		995		1,007

(Floating, ICE LIBOR USD 3M + 0.76%), 1.01%, 9/15/26 ⁽²⁾		895		887

Citigroup, Inc., 2.70%, 3/30/21		725		734

(Floating, ICE LIBOR USD 3M + 0.69%), 0.93%, 10/27/22 ⁽²⁾		1,010		1,015

JPMorgan Chase & Co.,

(Variable, ICE LIBOR USD 3M + 0.70%), 3.21%, 4/1/23 ⁽³⁾		1,035		1,075

				4,718

Electrical Equipment Manufacturing – 0.8%

Amphenol Corp., 2.05%, 3/1/25		780		818


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 27.8% continued

Electrical Equipment Manufacturing – 0.8% continued
Carrier Global Corp., 1.92%, 2/15/23 ⁽¹⁾		$200		$206

Keysight Technologies, Inc., 4.55%, 10/30/24		850		960

Otis Worldwide Corp., 2.06%, 4/5/25		500		526

Roper Technologies, Inc., 0.45%, 8/15/22		120		120

2.35%, 9/15/24		470		497

				3,127

Exploration & Production – 0.3%
EQT Corp., 7.88%, 2/1/25		1,100		1,219

Financial Services – 1.3%

Ameriprise Financial, Inc., 3.00%, 3/22/22		710		737

Ares Capital Corp., 4.20%, 6/10/24		950		990

Goldman Sachs Group (The), Inc.,

(Floating, ICE LIBOR USD 3M + 1.05%), 1.30%, 6/5/23 ⁽²⁾		1,255		1,263

Icahn Enterprises L.P./Icahn Enterprises Finance Corp., 4.75%, 9/15/24		950		962

Intercontinental Exchange, Inc., 0.70%, 6/15/23		230		230

Morgan Stanley, 5.50%, 7/28/21		1,005		1,047

(Variable, U.S. SOFR + 1.15%), 2.72%, 7/22/25 ⁽³⁾		230		244

				5,473

Food & Beverage – 0.6%

Cargill, Inc., 1.38%, 7/23/23 ⁽¹⁾		1,020		1,043

Hershey (The) Co., 0.90%, 6/1/25		590		593

Lamb Weston Holdings, Inc., 4.88%, 5/15/28 ⁽¹⁾		660		713

				2,349

Hardware – 0.5%

Dell International LLC/EMC Corp., 5.45%, 6/15/23 ⁽¹⁾		460		504


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 27.8% continued

Hardware – 0.5% continued
Hewlett Packard Enterprise Co., 4.40%, 10/15/22		$555		$593

4.45%, 10/2/23		1,000		1,099

				2,196

Health Care Facilities & Services – 0.6%

Cigna Corp., (Floating, ICE LIBOR USD 3M + 0.65%), 0.90%, 9/17/21 ⁽²⁾		1,000		1,000

CVS Health Corp., 2.63%, 8/15/24		610		650

McKesson Corp., 3.65%, 11/30/20		690		694

				2,344

Homebuilders – 0.6%

D.R. Horton, Inc., 2.55%, 12/1/20		1,535		1,540

Forestar Group, Inc., 5.00%, 3/1/28 ⁽¹⁾		1,100		1,111

				2,651

Industrial Other – 0.2%
WW Grainger, Inc., 1.85%, 2/15/25		650		681

Integrated Oils – 0.6%

Chevron Corp., 1.14%, 5/11/23		160		163

Chevron U.S.A., Inc.,
(Floating, ICE LIBOR USD 3M + 0.20%), 0.46%, 8/11/23 ⁽²⁾		1,350		1,350

Exxon Mobil Corp., 1.57%, 4/15/23		1,100		1,131

				2,644

Internet Media – 0.3%
Expedia Group, Inc., 3.60%, 12/15/23⁽¹⁾		1,000		1,022

Life Insurance – 0.8%

MassMutual Global Funding II, 2.25%, 7/1/22 ⁽¹⁾		1,880		1,944

Metropolitan Life Global Funding I, 0.90%, 6/8/23 ⁽¹⁾		340		343

Principal Life Global Funding II, 2.25%, 11/21/24 ⁽¹⁾		930		985

				3,272


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 27.8% continued

Machinery Manufacturing – 0.5%
CNH Industrial Capital LLC, 1.95%, 7/2/23		$210		$214

4.20%, 1/15/24		730		784

Parker-Hannifin Corp., 2.70%, 6/14/24		900		964

				1,962

Managed Care – 0.6%

Anthem, Inc., 2.38%, 1/15/25		1,180		1,255

UnitedHealth Group, Inc., 2.38%, 8/15/24		1,170		1,246

				2,501

Medical Equipment & Devices Manufacturing – 0.1%
Alcon Finance Corp., 2.75%, 9/23/26⁽¹⁾		400		435

Oil & Gas Services & Equipment – 0.1%

Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc., 2.77%, 12/15/22		430		450

Pharmaceuticals – 0.7%

GlaxoSmithKline Capital, Inc., 3.38%, 5/15/23		1,300		1,400

Horizon Therapeutics U.S.A., Inc., 5.50%, 8/1/27 ⁽¹⁾		1,000		1,061

Upjohn, Inc., 1.13%, 6/22/22 ⁽¹⁾		600		604

				3,065

Pipeline – 0.4%

Energy Transfer Partners L.P./Regency Energy Finance Corp., 5.88%, 3/1/22		690		721

ONEOK, Inc., 2.20%, 9/15/25		500		493

Plains All American Pipeline L.P., (Variable, ICE LIBOR USD 3M + 4.11%), 6.13%, 11/15/22 ⁽³⁾⁽⁴⁾		525		333

				1,547

Power Generation – 0.4%

Calpine Corp., 4.50%, 2/15/28 ⁽¹⁾		900		922

NRG Energy, Inc., 3.75%, 6/15/24 ⁽¹⁾		300		320


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
CORPORATE BONDS - 27.8% continued

Power Generation – 0.4% continued

Terraform Global Operating LLC, 6.13%, 3/1/26 ⁽¹⁾	$395	$402
		1,644

Publishing & Broadcasting – 0.1%
Entercom Media Corp., 7.25%, 11/1/24⁽¹⁾	695	591

Real Estate – 3.2%

American Campus Communities Operating Partnership L.P., 3.75%, 4/15/23	1,210	1,273

American Tower Corp., 2.40%, 3/15/25	945	999

1.30%, 9/15/25	940	950

Corporate Office Properties L.P., 2.25%, 3/15/26	400	405

Crown Castle International Corp., 3.15%, 7/15/23	2,075	2,207

1.35%, 7/15/25	400	404

Equinix, Inc., 2.63%, 11/18/24	975	1,037

ESH Hospitality, Inc., 4.63%, 10/1/27 ⁽¹⁾	1,130	1,109

Healthpeak Properties, Inc., 3.25%, 7/15/26	1,150	1,284

Iron Mountain, Inc., 4.88%, 9/15/27 ⁽¹⁾	480	489

iStar, Inc., 4.75%, 10/1/24	540	522

MPT Operating Partnership L.P./MPT Finance Corp., 4.63%, 8/1/29	1,100	1,144

Simon Property Group L.P., 2.00%, 9/13/24	870	897

Welltower, Inc., 3.63%, 3/15/24	650	703

		13,423

Refining & Marketing – 1.7%

CVR Energy, Inc., 5.25%, 2/15/25 ⁽¹⁾	1,100	957

Marathon Petroleum Corp., 5.13%, 3/1/21	500	509

Phillips 66, 3.70%, 4/6/23	300	321


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
CORPORATE BONDS - 27.8% continued

Refining & Marketing – 1.7% continued

3.85%, 4/9/25	$1,900	$2,110

Valero Energy Corp., 2.70%, 4/15/23	390	404

1.20%, 3/15/24	2,890	2,878

		7,179

Restaurants – 0.1%
Starbucks Corp., 1.30%, 5/7/22	360	365

Retail - Consumer Discretionary – 0.3%
eBay, Inc., 1.90%, 3/11/25	1,300	1,355

Retail - Consumer Staples – 0.3%
Bunge Ltd. Finance Corp., 1.63%, 8/17/25	1,310	1,316

Software & Services – 0.8%

Intuit, Inc., 0.65%, 7/15/23	1,110	1,115

PTC, Inc., 4.00%, 2/15/28 ⁽¹⁾	1,190	1,223

Solera LLC/Solera Finance, Inc., 10.50%, 3/1/24 ⁽¹⁾	1,035	1,082

		3,420

Supermarkets & Pharmacies – 0.4%
Walgreens Boots Alliance, Inc., 3.30%, 11/18/21	1,600	1,641

Transportation & Logistics – 0.8%

Cargo Aircraft Management, Inc., 4.75%, 2/1/28 ⁽¹⁾	1,200	1,212

PACCAR Financial Corp., 0.80%, 6/8/23	120	121

0.35%, 8/11/23	590	589

Penske Truck Leasing Co. L.P./PTL Finance Corp., 3.65%, 7/29/21 ⁽¹⁾	1,250	1,279

		3,201

Utilities – 1.2%

Ameren Corp., 2.50%, 9/15/24	420	445

American Electric Power Co., Inc., 3.65%, 12/1/21	665	688

CenterPoint Energy, Inc., 3.60%, 11/1/21	995	1,028


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
CORPORATE BONDS - 27.8% continued

Utilities – 1.2% continued

Dominion Energy, Inc.,
(Floating, ICE LIBOR USD 3M + 0.53%), 0.78%, 9/15/23 ⁽²⁾	$400	$401

DTE Energy Co., 1.05%, 6/1/25	1,660	1,659

Xcel Energy, Inc., 0.50%, 10/15/23	860	859

		5,080

Waste & Environment Services & Equipment – 0.3%

Republic Services, Inc., 2.50%, 8/15/24	570	607

Stericycle, Inc., 5.38%, 7/15/24 ⁽¹⁾	630	654

		1,261

Wireless Telecommunications Services – 0.3%

T-Mobile U.S.A., Inc., 3.50%, 4/15/25⁽¹⁾	1,100	1,207

Wireline Telecommunications Services – 0.3%

Level 3 Financing, Inc., 4.63%, 9/15/27⁽¹⁾	1,100	1,130
Total Corporate Bonds
(Cost $113,640)		115,389

FOREIGN ISSUER BONDS – 14.8%

Automobiles Manufacturing – 0.2%
Nissan Motor Co. Ltd., 3.04%, 9/15/23⁽¹⁾	1,000	1,014

Banks – 5.1%

Bank of New Zealand, 2.00%, 2/21/25 ⁽¹⁾	1,170	1,225

Banque Federative du Credit Mutuel S.A., 2.13%, 11/21/22 ⁽¹⁾	600	619

Barclays Bank PLC, 1.70%, 5/12/22	580	590

Canadian Imperial Bank of Commerce,

(Variable, ICE LIBOR USD 3M + 0.79%), 2.61%, 7/22/23 ⁽³⁾	1,000	1,037

Cooperatieve Rabobank UA,
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.00%), 1.34%, 6/24/26 ⁽¹⁾⁽³⁾	1,950	1,974


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
FOREIGN ISSUER BONDS - 14.8% continued

Banks – 5.1% continued

Credit Suisse A.G., 2.80%, 4/8/22	$300	$311

Federation des Caisses Desjardins du Quebec, 2.05%, 2/10/25 ⁽¹⁾	1,500	1,566

Lloyds Banking Group PLC,
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.00%), 2.44%, 2/5/26 ⁽³⁾	1,110	1,150

Macquarie Bank Ltd., 2.30%, 1/22/25 ⁽¹⁾	1,000	1,059

National Bank of Canada, 2.10%, 2/1/23	1,400	1,447

Nordea Bank Abp, 1.00%, 6/9/23 ⁽¹⁾	250	253

0.75%, 8/28/25 ⁽¹⁾	2,600	2,586

Skandinaviska Enskilda Banken AB, 3.05%, 3/25/22 ⁽¹⁾	1,050	1,090

2.20%, 12/12/22 ⁽¹⁾	200	207

Svenska Handelsbanken AB, 0.63%, 6/30/23 ⁽¹⁾	600	602

Swedbank AB, 1.30%, 6/2/23 ⁽¹⁾	500	510

0.60%, 9/25/23 ⁽¹⁾	800	798

Toronto-Dominion Bank (The), 0.75%, 6/12/23	800	805

0.45%, 9/11/23	2,000	1,996

Westpac Banking Corp., 2.35%, 2/19/25	1,170	1,249

		21,074

Central Bank – 0.1%

Bank of England Euro Note, 0.50%, 4/28/23⁽¹⁾	600	603

Commercial Finance – 0.5%

AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.15%, 2/15/24	1,050	1,040

Avolon Holdings Funding Ltd., 2.88%, 2/15/25 ⁽¹⁾	1,000	916

Fly Leasing Ltd., 5.25%, 10/15/24	370	305

		2,261


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
FOREIGN ISSUER BONDS - 14.8% continued

Containers & Packaging – 0.3%

Ardagh Packaging Finance PLC/Ardagh Holdings U.S.A., Inc., 5.25%, 8/15/27⁽¹⁾		$1,000		$1,019

Diversified Banks – 2.3%

Bank of Nova Scotia (The), 1.63%, 5/1/23		1,000		1,026

BNP Paribas S.A.,

(Variable, ICE LIBOR USD 3M + 1.11%), 2.82%, 11/19/25 ⁽¹⁾⁽³⁾		1,110		1,170

Credit Agricole S.A.,

(Floating, ICE LIBOR USD 3M + 1.02%), 1.28%, 4/24/23 ⁽¹⁾⁽²⁾		1,045		1,053

HSBC Holdings PLC,

(Variable, ICE LIBOR USD 3M + 1.06%), 3.26%, 3/13/23 ⁽³⁾		1,000		1,034

Mitsubishi UFJ Financial Group, Inc., 2.80%, 7/18/24		1,000		1,068

Mizuho Financial Group, Inc.,

(Floating, ICE LIBOR USD 3M + 0.61%), 0.86%, 9/8/24 ⁽²⁾		1,500		1,496

Royal Bank of Canada, 1.95%, 1/17/23		700		724

1.15%, 6/10/25		600		608

Sumitomo Mitsui Financial Group, Inc., 2.45%, 9/27/24		1,200		1,268

				9,447

Exploration & Production – 0.4%

Sinopec Group Overseas Development 2018 Ltd., 2.50%, 11/12/24⁽¹⁾		1,495		1,564

Financial Services – 0.9%

Sumitomo Mitsui Trust Bank Ltd., 0.80%, 9/12/23 ⁽¹⁾		1,500		1,502

UBS Group A.G.,

(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.83%), 1.01%, 7/30/24 ⁽¹⁾⁽³⁾		2,150		2,155

				3,657

Food & Beverage – 0.6%

JBS U.S.A. LUX S.A./JBS U.S.A. Food Co./JBS U.S.A. Finance, Inc., 5.50%, 1/15/30 ⁽¹⁾		725		789

MARB BondCo PLC, 6.88%, 1/19/25 ⁽¹⁾		440		455


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
FOREIGN ISSUER BONDS - 14.8% continued

Food & Beverage – 0.6% continued

Mondelez International Holdings Netherlands B.V., 2.13%, 9/19/22 ⁽¹⁾		$920		$949

Pernod Ricard S.A., 5.75%, 4/7/21 ⁽¹⁾		312		321

				2,514

Government Agencies – 0.3%

Kommunalbanken AS, 2.00%, 6/19/24 ⁽¹⁾		300		318

0.38%, 9/11/25 ⁽¹⁾		1,100		1,095

				1,413

Government Development Banks – 0.3%

BNG Bank N.V., 0.75%, 4/17/23 ⁽¹⁾		600		607

Japan Bank for International Cooperation, 1.63%, 10/17/22		800		820

				1,427

Government Local – 0.3%

Japan Finance Organization for Municipalities, 1.75%, 9/5/24⁽¹⁾		1,020		1,064

Government Regional – 0.1%

Kommuninvest I Sverige AB, 0.50%, 2/2/22⁽¹⁾		400		401

Medical Equipment & Devices Manufacturing – 0.2%

DH Europe Finance II S.a.r.l., 2.20%, 11/15/24		840		888

Pharmaceuticals – 1.9%

AstraZeneca PLC, 0.70%, 4/8/26		4,470		4,413

Bausch Health Cos., Inc., 6.13%, 4/15/25 ⁽¹⁾		1,035		1,060

GlaxoSmithKline Capital PLC, 0.53%, 10/1/23		270		270

Mylan N.V., 3.15%, 6/15/21		1,510		1,534

Shire Acquisitions Investments Ireland DAC, 2.40%, 9/23/21		405		412

				7,689


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
FOREIGN ISSUER BONDS - 14.8% continued

Pipeline – 0.1%

Enbridge, Inc., 2.50%, 1/15/25		$510		$537

Power Generation – 0.3%

Drax Finco PLC, 6.63%, 11/1/25⁽¹⁾		1,200		1,248

Software & Services – 0.3%

Open Text Corp., 3.88%, 2/15/28⁽¹⁾		1,100		1,113

Supranationals – 0.4%

Nordic Investment Bank, 0.38%, 5/19/23		1,600		1,605

Travel & Lodging – 0.0%

Royal Caribbean Cruises Ltd., 5.25%, 11/15/22		176		157

Wireline Telecommunications Services – 0.2%

Altice France Holding S.A., 6.00%, 2/15/28⁽¹⁾		1,000		954
Total Foreign Issuer Bonds
(Cost $60,732)				61,649


U.S. GOVERNMENT AGENCIES – 13.0% ⁽⁵⁾

Fannie Mae – 6.5%

Pool #555649, 7.50%, 10/1/32		13		15

Pool #AD0915, 5.50%, 12/1/38		30		35

Pool #AI3471, 5.00%, 6/1/41		102		117

Pool #AL1746, 3.50%, 3/1/27		727		770

Pool #AL2049, 3.50%, 11/1/26		348		369

Pool #BA6574, 3.00%, 1/1/31		1,297		1,363

Pool #BC0266, 3.50%, 2/1/31		916		992

Pool #BC1465, 2.50%, 7/1/31		659		690

Pool #BM1239, 3.50%, 2/1/32		1,150		1,224

Pool #BM4386, 2.50%, 8/1/30		1,409		1,473


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
U.S. GOVERNMENT AGENCIES - 13.0% ⁽⁵⁾ continued

Fannie Mae – 6.5% continued

Pool #BM4485, 3.00%, 9/1/30		$2,218		$2,332

Pool #BM5017, 3.00%, 3/1/30		1,089		1,159

Pool #BM5525, 4.00%, 3/1/31		430		457

Pool #BM5706, 2.00%, 6/1/30		683		713

Pool #BM5708, 3.00%, 12/1/29		182		191

Pool #FM1454, 2.50%, 9/1/28		1,213		1,273

Pool #FM1472, 3.50%, 3/1/34		1,356		1,436

Pool #FM1551, 3.00%, 6/1/27		177		186

Pool #FM1773, 3.00%, 12/1/31		1,059		1,113

Pool #FM1842, 3.50%, 6/1/34		945		999

Pool #FM1849, 3.50%, 12/1/33		1,163		1,237

Pool #FM1852, 3.00%, 7/1/33		1,194		1,275

Pool #FM1897, 3.00%, 9/1/32		981		1,055

Pool #FM3022, 3.50%, 9/1/32		1,782		1,887

Pool #FM3308, 3.00%, 4/1/32		3,418		3,590

Pool #MA2709, 2.50%, 8/1/31		917		958

				26,909

Freddie Mac – 5.1%

Federal Home Loan Mortgage Corp., 0.13%, 7/25/22		1,000		999

0.25%, 8/24/23		4,300		4,303

Pool #1B3617,

(Floating, ICE LIBOR USD 1Y + 1.92%, 1.92% Floor, 11.11% Cap), 3.66%, 10/1/37⁽²⁾		80		82

Pool #SB0084, 3.00%, 2/1/32		3,311		3,537


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
U.S. GOVERNMENT AGENCIES - 13.0% ⁽⁵⁾ continued

Freddie Mac – 5.1% continued

Pool #SB0215, 3.00%, 2/1/32		$1,206		$1,268

Pool #SB0216, 3.00%, 12/1/32		1,977		2,079

Pool #SB0329, 3.00%, 9/1/32		2,636		2,788

Pool #ZA2807, 2.50%, 2/1/28		179		189

Pool #ZK2807, 3.50%, 12/1/25		1,119		1,186

Pool #ZK2834, 3.50%, 12/1/25		341		361

Pool #ZK4449, 2.50%, 9/1/27		160		167

Pool #ZS7325, 2.50%, 7/1/29		1,123		1,175

Pool #ZS7735, 2.00%, 1/1/32		877		916

Pool #ZS8598, 3.00%, 2/1/31		1,453		1,529

Pool #ZS8610, 2.50%, 5/1/31		772		808

				21,387

Freddie Mac Gold – 1.1%

Pool #A92650, 5.50%, 6/1/40		108		124

Pool #E04232, 2.50%, 2/1/28		868		917

Pool #E04360, 2.50%, 4/1/28		684		722

Pool #E09021, 2.50%, 2/1/28		1,243		1,301

Pool #G16618, 2.50%, 1/1/30		1,349		1,413

				4,477

Government National Mortgage Association – 0.3%

Government National Mortgage Association, Series 2017-95, Class QG,

2.50%, 8/20/46		1,029		1,072
Total U.S. Government Agencies
(Cost $52,685)				53,845


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
U.S. GOVERNMENT OBLIGATIONS – 23.8%

U.S. Treasury Floating Rate Notes – 5.4%

(Floating, U.S. Treasury 3M Bill MMY + 0.12%), 0.22%, 1/31/21⁽²⁾		$1,500		$1,501

(Floating, U.S. Treasury 3M Bill MMY + 0.11%), 0.21%, 4/30/22⁽²⁾		21,000		21,020

				22,521

U.S. Treasury Notes – 18.4%

2.38%, 3/15/21		9,000		9,093

2.38%, 4/15/21		7,170		7,258

2.25%, 4/30/21		5,019		5,082

2.63%, 5/15/21		14,341		14,563

2.13%, 5/31/21		8,000		8,106

1.63%, 6/30/21		7,507		7,590

0.13%, 4/30/22		15,000		15,001

1.38%, 10/15/22		699		717

1.38%, 2/15/23		2,700		2,779

0.13%, 5/15/23		6,000		5,997

				76,186
Total U.S. Government Obligations
(Cost $97,972)				98,707

MUNICIPAL BONDS – 1.4%

California – 0.2%

California State Taxable G.O. Unlimited Refunding Bonds, Bid Group B, 2.50%, 10/1/22		910		947

Florida – 0.5%

Florida State Board of Administration Finance Corp. Taxable Revenue Bonds, Series A, 1.26%, 7/1/25		1,100		1,117

Miami-Dade County Taxable Capital Asset Acquisition Special Obligation Revenue Bonds, 0.38%, 4/1/23		1,035		1,033

				2,150

New York – 0.7%

New York State Thruway Authority Taxable Revenue Refunding Bonds, Series M, 2.12%, 1/1/24		640		650


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
MUNICIPAL BONDS - 1.4% continued

New York – 0.7% continued

Port Authority of New York & New Jersey Consolidated Taxable Revenue Bonds, Series AAA, 1.09%, 7/1/23	$2,000		$2,029
			2,679
Total Municipal Bonds
(Cost $5,695)			5,776

	NUMBER OF SHARES		VALUE (000S)
INVESTMENT COMPANIES – 1.7%

FlexShares^®Disciplined Duration MBS Index Fund⁽⁶⁾	202,000		$4,881

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽⁶⁾⁽⁷⁾	2,097,961		2,098
Total Investment Companies
(Cost $6,758)			6,979

Total Investments – 99.5%
(Cost $406,281)			413,121

Other Assets less Liabilities – 0.5%			2,027
NET ASSETS – 100.0%		$	415,148

⁽¹⁾

⁽²⁾

Variable rate security. Rate as of September 30, 2020 is disclosed.

⁽³⁾

Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end.

⁽⁴⁾

Perpetual bond. Maturity date represents next call date.

⁽⁵⁾

The obligations of certain U.S. government-sponsored entities are neither issued nor guaranteed by the United States Treasury.

⁽⁶⁾

Investment in affiliated fund. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds and FlexShares Trust.

⁽⁷⁾

7-day current yield as of September 30, 2020 is disclosed.

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

1M - 1 Month

1Y - 1 Year

3M - 3 Month

CMT - Constant Maturity

Fannie Mae - Federal National Mortgage Association

Freddie Mac - Federal Home Loan Mortgage Corporation

G.O. - General Obligation

ICE - Intercontinental Exchange

LIBOR - London Interbank Offered Rate

MBS - Mortgage Backed Securities

MMY - Money Market Yield

PLC - Public Limited Company

SOFR - Secured Overnight Financing Rate

USD - United States Dollar

Percentages shown are based on Net Assets.

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)
Asset-Backed Securities⁽¹⁾		$ —		$ 70,776		$—		$ 70,776
Corporate Bonds⁽¹⁾		—		115,389		—		115,389
Foreign Issuer Bonds⁽¹⁾		—		61,649		—		61,649
U.S. Government Agencies⁽¹⁾		—		53,845		—		53,845
U.S. Government Obligations⁽¹⁾		—		98,707		—		98,707
Municipal Bonds⁽¹⁾		—		5,776		—		5,776
Investment Companies		6,979		—		—		6,979
Total Investments		$6,979		$406,142		$—		$413,121

⁽¹⁾

Classifications as defined in the Statement of Investments


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
U.S. GOVERNMENT AGENCIES – 9.6% ⁽¹⁾

Fannie Mae – 6.9%

Pool #555649, 7.50%, 10/1/32		$25		$28

Pool #AS4186, 2.50%, 1/1/30		293		310

Pool #AS8597, 2.50%, 1/1/32		300		317

Pool #BH9277, 3.50%, 2/1/48		380		402

Pool #BM1239, 3.50%, 2/1/32		215		229

Pool #BM5017, 3.00%, 3/1/30		248		264

Pool #FM1454, 2.50%, 9/1/28		276		290

Pool #FM1472, 3.50%, 3/1/34		370		392

Pool #FM1842, 3.50%, 6/1/34		215		227

Pool #FM1849, 3.50%, 12/1/33		727		773

Pool #FM1852, 3.00%, 7/1/33		272		290

Pool #FM1897, 3.00%, 9/1/32		731		786

Pool #FM3308, 3.00%, 4/1/32		251		264

Pool #MA2709, 2.50%, 8/1/31		683		714

Pool #MA3027, 4.00%, 6/1/47		115		123

				5,409

Freddie Mac – 1.8%

Pool #SB0084, 3.00%, 2/1/32		473		505

Pool #SB0215, 3.00%, 2/1/32		275		289

Pool #SB0216, 3.00%, 12/1/32		288		303

Pool #ZS7325, 2.50%, 7/1/29		256		268

Pool #ZS7735, 2.00%, 1/1/32		6		6
				1,371


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
U.S. GOVERNMENT AGENCIES - 9.6% ⁽¹⁾ continued

Freddie Mac Gold – 0.4%
Pool #E09021, 2.50%, 2/1/28		$283		$296

Government National Mortgage Association – 0.4%
Government National Mortgage Association, Series 2017-95, Class QG, 2.50%, 8/20/46		263		274

Government National Mortgage Association I – 0.1%

Pool #676682,
4.50%, 6/15/25		55		58

Pool #782618,
4.50%, 4/15/24		23		24

Pool #783245,
5.00%, 9/15/24		24		24

Pool #783489,
5.00%, 6/15/25		11		12
				118
Total U.S. Government Agencies
(Cost $7,271)				7,468

U.S. GOVERNMENT OBLIGATIONS – 89.4%

U.S. Treasury Notes – 89.4%

0.13%, 8/31/22		28,907		28,906

0.13%, 8/15/23		27,530		27,508

0.25%, 8/31/25		13,333		13,323
				69,737
Total U.S. Government Obligations
(Cost $69,716)				69,737

		NUMBER OF SHARES		VALUE (000S)
INVESTMENT COMPANIES – 1.0%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽²⁾⁽³⁾		778,744	$	779
Total Investment Companies
(Cost $779)				779

Total Investments – 100.0%
(Cost $77,766)				77,984
Liabilities less Other Assets – (0.0%)				(23	)
NET ASSETS – 100.0%			$	77,961

⁽¹⁾

The obligations of certain U.S. government-sponsored entities are neither issued nor guaranteed by the United States Treasury.

⁽²⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽³⁾

7-day current yield as of September 30, 2020 is disclosed.

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

Fannie Mae - Federal National Mortgage Association

Freddie Mac - Federal Home Loan Mortgage Corporation

Percentages shown are based on Net Assets.

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)
U.S. Government Agencies⁽¹⁾		$ —	$	7,468		$—	$	7,468

U.S. Government Obligations⁽¹⁾		—		69,737		—		69,737

Investment Companies		779		—		—		779
Total Investments		$779	$	77,205		$—	$	77,984

⁽¹⁾

Classifications as defined in the Schedule of Investments.


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
COMMERCIAL PAPER – 0.4%

Chemicals – 0.4%
EI du Pont de Nemours and Co., 0.85%, 12/3/20⁽¹⁾⁽²⁾	$20,000	$19,993
Total Commercial Paper
(Cost $19,970)		19,993

CORPORATE BONDS – 12.0%

Automobiles Manufacturing – 3.3%

American Honda Finance Corp., 1.95%, 5/20/22	5,000	5,121

0.88%, 7/7/23	30,000	30,247

BMW U.S. Capital LLC, 3.80%, 4/6/23 ⁽¹⁾	8,900	9,589

General Motors Financial Co., Inc., 1.70%, 8/18/23	10,000	10,025

Hyundai Capital America, 1.25%, 9/18/23 ⁽¹⁾	22,720	22,669

Toyota Motor Credit Corp.,

(Floating, ICE LIBOR USD 3M + 0.13%), 0.38%, 8/13/21 ⁽³⁾	10,000	10,007

1.15%, 5/26/22	30,000	30,380

0.45%, 7/22/22	20,000	20,042

Volkswagen Group of America Finance LLC, 3.13%, 5/12/23 ⁽¹⁾	11,850	12,509

		150,589

Banks – 1.7%

Capital One N.A., 2.15%, 9/6/22	12,500	12,848

Citibank N.A., 3.40%, 7/23/21	15,000	15,346

M&T Bank Corp.,

(Floating, ICE LIBOR USD 3M + 0.68%), 0.92%, 7/26/23 ⁽³⁾	12,708	12,814

Truist Bank,

(Floating, ICE LIBOR USD 3M + 0.59%), 0.84%, 8/2/22 ⁽³⁾	11,200	11,239

U.S. Bank N.A., 1.80%, 1/21/22	10,000	10,191

2.65%, 5/23/22	15,000	15,553

		77,991


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
CORPORATE BONDS - 12.0% continued

Biotechnology – 0.2%

Gilead Sciences, Inc.,
(Floating, ICE LIBOR USD 3M + 0.52%), 0.74%, 9/29/23⁽³⁾	$10,900	$10,913

Chemicals – 0.3%
DuPont de Nemours, Inc., 2.17%, 5/1/23	12,600	12,730

Consumer Finance – 0.5%

American Express Co., 3.70%, 11/5/21	11,413	11,793

Capital One Financial Corp.,

(Floating, ICE LIBOR USD 3M + 0.72%), 0.99%, 1/30/23 ⁽³⁾	5,000	5,002

PayPal Holdings, Inc., 2.20%, 9/26/22	5,000	5,168

		21,963

Diversified Banks – 0.4%

Bank of America Corp.,

(Floating, ICE LIBOR USD 3M + 0.38%), 0.64%, 1/23/22 ⁽³⁾	10,000	10,008

Citigroup, Inc.,
(Variable, U.S. SOFR + 0.87%), 2.31%, 11/4/22 ⁽⁴⁾	10,000	10,183

		20,191

Electrical Equipment Manufacturing – 0.5%

Honeywell International, Inc., 0.48%, 8/19/22	20,000	20,033

Otis Worldwide Corp., (Floating, ICE LIBOR USD 3M + 0.45%), 0.23%, 4/5/23 ⁽³⁾	2,400	2,401

		22,434

Entertainment Content – 0.1%
Fox Corp., 3.67%, 1/25/22	2,900	3,024

Financial Services – 0.3%

Bank of New York Mellon (The) Corp., 1.85%, 1/27/23	10,000	10,317

Morgan Stanley,
(Floating, ICE LIBOR USD 3M + 1.40%), 1.67%, 4/21/21 ⁽³⁾	2,000	2,014
		12,331

Food & Beverage – 0.4%

Mondelez International, Inc., 0.63%, 7/1/22	12,200	12,243


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 12.0% continued

Food & Beverage – 0.4% continued

2.13%, 4/13/23		$2,630		$2,729

PepsiCo, Inc., 0.75%, 5/1/23		2,920		2,950

				17,922

Hardware – 0.1%

Hewlett Packard Enterprise Co.,
(Floating, ICE LIBOR USD 3M + 0.68%), 0.93%, 3/12/21⁽³⁾		5,000		5,010

Integrated Oils – 0.3%

BP Capital Markets America, Inc., 2.94%, 4/6/23		3,400		3,596

Chevron Corp., 1.14%, 5/11/23		2,000		2,039

Exxon Mobil Corp., 1.57%, 4/15/23		10,000		10,286

				15,921

Machinery Manufacturing – 1.5%

Caterpillar Financial Services Corp.,

(Floating, ICE LIBOR USD 3M + 0.22%), 0.45%, 1/6/22 ⁽³⁾		9,620		9,629

0.95%, 5/13/22		29,250		29,519

0.45%, 9/14/23		10,000		9,996

CNH Industrial Capital LLC, 1.95%, 7/2/23		7,900		8,048

John Deere Capital Corp., 0.55%, 7/5/22		10,700		10,755

				67,947

Pharmaceuticals – 0.0%

AbbVie, Inc.,
(Floating, ICE LIBOR USD 3M + 0.46%), 0.73%, 11/19/21⁽¹⁾⁽³⁾		1,600		1,604

Refining & Marketing – 1.2%

Phillips 66, 3.70%, 4/6/23		5,500		5,888

Valero Energy Corp., 2.70%, 4/15/23		4,920		5,098
(Floating, ICE LIBOR USD 3M + 1.15%), 1.40%, 9/15/23 ⁽³⁾		43,000		42,852
				53,838

Restaurants – 0.1%
Starbucks Corp., 1.30%, 5/7/22		3,330		3,375


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 12.0% continued

Retail - Consumer Discretionary – 0.1%
Amazon.com, Inc., 0.40%, 6/3/23		$5,000		$5,022

Tobacco – 0.2%

Altria Group, Inc., 3.49%, 2/14/22		6,000		6,240

Philip Morris International, Inc., 1.13%, 5/1/23		4,540		4,610

				10,850

Transportation & Logistics – 0.1%
PACCAR Financial Corp., 0.80%, 6/8/23		4,960		4,995

Utilities – 0.7%

Florida Power & Light Co.,

(Floating, ICE LIBOR USD 3M + 0.38%), 0.64%, 7/28/23 ⁽³⁾		9,380		9,387

NextEra Energy Capital Holdings, Inc., 2.40%, 9/1/21		18,800		19,157

2.90%, 4/1/22		5,000		5,177
				33,721
Total Corporate Bonds
(Cost $544,623)				552,371

FOREIGN ISSUER BONDS – 7.8%

Banks – 4.2%

ABN AMRO Bank N.V., 3.40%, 8/27/21 ⁽¹⁾		5,600		5,753

ANZ New Zealand International Ltd., 1.90%, 2/13/23 ⁽¹⁾		20,000		20,597

Barclays Bank PLC, 1.70%, 5/12/22		13,600		13,835

Credit Suisse A.G., 2.80%, 4/8/22		3,400		3,521

1.00%, 5/5/23		26,500		26,778

ING Groep N.V.,

(Floating, ICE LIBOR USD 3M + 1.15%), 1.37%, 3/29/22 ⁽³⁾		10,030		10,127

(Floating, ICE LIBOR USD 3M + 1.00%), 1.23%, 10/2/23 ⁽³⁾		5,900		5,975

Lloyds Banking Group PLC,

(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.33%, 6/15/23 ⁽⁴⁾		5,500		5,532


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
FOREIGN ISSUER BONDS - 7.8% continued

Banks – 4.2% continued

National Australia Bank Ltd., 1.88%, 12/13/22		$5,000		$5,164

Nordea Bank Abp, 1.00%, 6/9/23 ⁽¹⁾		7,000		7,094

(Floating, ICE LIBOR USD 3M + 0.94%), 1.20%, 8/30/23 ⁽¹⁾⁽³⁾		5,800		5,807

Svenska Handelsbanken AB, 0.63%, 6/30/23 ⁽¹⁾		5,000		5,017
Swedbank AB, 1.30%, 6/2/23 ⁽¹⁾		7,100		7,236

Toronto-Dominion Bank (The), 0.75%, 6/12/23		40,000		40,260

0.45%, 9/11/23		20,000		19,963

Westpac Banking Corp., 2.00%, 1/13/23		8,000		8,293

				190,952

Diversified Banks – 2.3%

Bank of Nova Scotia (The),

(Floating, U.S. SOFR + 0.55%), 0.63%, 9/15/23 ⁽³⁾		45,000		45,026

Mitsubishi UFJ Financial Group, Inc., 2.62%, 7/18/22		14,000		14,508

Royal Bank of Canada, 1.95%, 1/17/23		15,000		15,516

1.60%, 4/17/23		24,800		25,451

Sumitomo Mitsui Financial Group, Inc.,
(Floating, ICE LIBOR USD 3M + 1.68%), 1.92%, 3/9/21 ⁽³⁾		7,000		7,048

				107,549

Financial Services – 0.6%

Sumitomo Mitsui Trust Bank Ltd., 0.80%, 9/12/23⁽¹⁾		27,400		27,441

Food & Beverage – 0.2%

Mondelez International Holdings Netherlands B.V., 2.13%, 9/19/22⁽¹⁾		9,000		9,288

Government Regional – 0.2%

Province of Ontario Canada, 1.75%, 1/24/23		10,000		10,314

Integrated Oils – 0.2%

Shell International Finance B.V., 0.38%, 9/15/23		10,000		9,963


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
FOREIGN ISSUER BONDS - 7.8% continued

Pharmaceuticals – 0.1%

GlaxoSmithKline Capital PLC, 0.53%, 10/1/23		$5,000		$5,008

Total Foreign Issuer Bonds

(Cost $355,402)				360,515


U.S. GOVERNMENT OBLIGATIONS – 0.7%

U.S. Treasury Notes – 0.7%

1.50%, 9/30/21		13,000		13,177

1.63%, 12/31/21		20,000		20,372

				33,549

Total U.S. Government Obligations

(Cost $32,984)				33,549


MUNICIPAL BONDS – 60.4%

Alabama – 2.3%

Black Belt Energy Gas District Alabama Gas Prepay Revenue Bonds, Series-B-2,
(Floating, SIFMA Municipal Swap Index Yield + 0.62%), 0.73%, 12/1/23⁽³⁾⁽⁵⁾		60,000		60,065

Black Belt Energy Gas District Alabama Gas Supply Revenue Bonds, Series A, 4.00%, 7/1/22⁽³⁾^{(5) (6)}		11,125		11,751

South East Alabama State Gas Supply District Gas Supply Revenue Bonds, Series C, SIFMA Index-Project No. 1,
(Floating, SIFMA Municipal Swap Index Yield + 0.65%), 0.76%, 4/1/24⁽³⁾⁽⁵⁾		26,000		26,039

University of Alabama University General Revenue Refunding Bonds, Series A, 5.00%, 7/1/22		5,760		6,233

				104,088

Arizona – 0.2%
Maricopa County IDA Variable
Revenue Refunding Bonds, Series B,
Banner Health,
(Floating, SIFMA Municipal Swap Index Yield + 0.57%), 0.68%, 10/18/24⁽³⁾⁽⁵⁾		8,270		8,194


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
MUNICIPAL BONDS - 60.4% continued

Arizona – 0.2% continued

Pinal County Revenue Obligations Revenue Bonds, 5.00%, 8/1/21	$2,000	$2,080

		10,274

California – 3.8%

Bay Area Toll Authority Toll Bridge Index Rate Revenue Refunding Bonds, San Francisco Bridge,

(Floating, ICE LIBOR USD 3M + 0.55%), 0.71%, 4/1/21⁽³⁾⁽⁵⁾	10,000	10,000

California State Department of Water Resources Central Valley Project Water System Variable Revenue Bonds, Series AT,

(Floating, SIFMA Municipal Swap Index Yield + 0.37%), 0.48%, 12/1/22⁽³⁾⁽⁵⁾	25,000	25,079

California State G.O. Unlimited Bonds, 2.00%, 11/1/22	7,000	7,265

California State G.O. Unlimited Floating Rate Bonds, Series B,

(Floating, SIFMA Municipal Swap Index Yield + 0.38%), 0.49%, 12/1/22⁽³⁾⁽⁵⁾	20,000	19,997

California State Index Floating Rate G.O. Unlimited Bonds, Series E,

(Floating, SIFMA Municipal Swap Index Yield + 0.43%), 0.54%, 12/1/23⁽³⁾⁽⁵⁾	30,000	30,005

California State Infrastructure & Economic Development Bank Variable Revenue Refunding Bonds, California Academy of Sciences,

(Floating, ICE LIBOR USD 1M + 0.38%), 0.48%, 8/1/21⁽³⁾⁽⁵⁾	4,000	3,987

California State Infrastructure & Economic Development Bank Variable Revenue Refunding Bonds, J. Paul Getty Trust,

(Floating, ICE LIBOR USD 1M + 0.20%), 0.30%, 4/1/21⁽³⁾⁽⁵⁾	30,000	30,002

Long Beach Harbor Revenue Notes, Series C, 4.00%, 7/15/21	5,750	5,923


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
MUNICIPAL BONDS - 60.4% continued

California – 3.8% continued

Los Angeles Community College District G.O. Unlimited Bonds, Series B-1, Election of 2016, 5.00%, 8/1/21	$10,000	$10,399

Los Angeles Municipal Improvement Corp. Lease Revenue Bonds, Series A, Capital Equipment, 5.00%, 11/1/21	2,195	2,311

Los Angeles Unified School District G.O. Unlimited Bonds, Series RYQ, 5.00%, 7/1/21	6,000	6,217

5.00%, 7/1/22	15,000	16,266

Los Angeles Unified School District G.O. Unlimited Refunding Bonds, Series A, 7/1/22⁽⁷⁾	5,165	5,598

		173,049

Colorado – 0.7%

Colorado State COPS, Series A, 5.00%, 12/15/21	2,000	2,116

5.00%, 12/15/22	2,250	2,488

Denver City & County G.O. Unlimited Bonds, Series C, 5.00%, 8/1/22	20,000	21,776

E-470 Public Highway Authority Senior Variable Revenue Refunding Bonds, Libor Index,

(Floating, ICE LIBOR USD 1M + 1.05%), 1.15%, 9/1/21⁽³⁾⁽⁵⁾	6,000	6,017

		32,397

Connecticut – 1.7%

Connecticut State G.O. Unlimited Bonds, Series C, 3.00%, 6/1/22	1,000	1,046

Connecticut State G.O. Unlimited Refunding Bonds, Series B, 5.00%, 2/15/21	11,200	11,399
5.00%, 1/15/22	5,000	5,308

Connecticut State Health & Educational Facilities Authority Revenue Bonds, Series 2014A, 1.10%, 2/7/23⁽³⁾^{(5) (6)}	10,000	10,182


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
MUNICIPAL BONDS - 60.4% continued

Connecticut – 1.7% continued

Connecticut State Health & Educational Facilities Authority Revenue Bonds, Series U-2, Yale University Issue, 2.00%, 2/8/22⁽³⁾^{(5) (6)}		$10,000		$10,245

Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series A-1, Yale University, 1.45%, 7/1/22⁽³⁾^{(5) (6)}		21,000		21,464

Connecticut State HFA Housing Finance Mortgage Program Revenue Bonds, Series E-E2 (HUD Sector 8 Program), 1.40%, 11/15/21		2,525		2,549

1.40%, 5/15/22		1,685		1,707

New Canaan Housing Authority MFH Revenue Bonds, 0.44%, 3/1/23⁽³⁾^{(5) (6)}		12,500		12,497

				76,397

Delaware – 1.0%

Delaware State G.O. Unlimited Bonds, 5.00%, 2/1/22		10,000		10,647

Delaware State G.O. Unlimited Bonds, Series A, 5.00%, 1/1/22		13,000		13,789

5.00%, 1/1/23		15,000		16,636

University of Delaware Revenue Bonds, 5.00%, 11/1/20		1,450		1,456

5.00%, 11/1/21		1,600		1,683

				44,211

District of Columbia – 1.0%

District of Columbia Housing Finance Agency MFH Revenue Bonds, The Strand Residences Project, 1.45%, 8/1/22⁽³⁾^{(5) (6)}		1,500		1,528

District of Columbia Income Tax Secured Revenue Bonds, Series A, 5.00%, 3/1/21		1,450		1,479

District of Columbia Income Tax Secured Revenue Bonds, Series C, 5.00%, 5/1/23		1,250		1,405

District of Columbia Income Tax Secured Revenue Refunding Bonds, Series C, 5.00%, 10/1/21		21,000		22,019

5.00%, 10/1/22		13,195		14,474


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
MUNICIPAL BONDS - 60.4% continued

District Of Columbia – 1.0% continued

District of Columbia Revenue Bonds, Federal Highway Grant Anticipation, 5.00%, 12/1/21		$2,000		$2,112

5.00%, 12/1/22		4,230		4,654

				47,671

Florida – 5.0%

Alachua County Facilities School Board COPS, 5.00%, 7/1/21		1,000		1,036
5.00%, 7/1/22		1,350		1,462

Citizens Property Insurance Corp. Senior Secured Revenue Bonds, Series A-1, 5.00%, 6/1/22		9,160		9,855

Florida Development Finance Corp. Surface Transportation Facilities Variable Revenue Bonds (AMT), Virgin Trains U.S.A. Pass, Prerefunded, 0.55%, 1/28/21⁽³⁾^{(6) (8)}		100,000		100,000

Florida State Board of Education G.O. Unlimited Refunding Bonds, Series A, 5.00%, 6/1/21		35,000		36,123

5.00%, 6/1/22		2,000		2,160

Florida State Board of Education G.O. Unlimited Refunding Bonds, Series C, 5.00%, 6/1/23		20,965		23,645

Florida State Board of Education Public Education Capital Outlay G.O. Unlimited Refunding Bonds, Series A, 5.00%, 6/1/22		1,480		1,599

Florida State Board of Education Public Education Capital Outlay G.O. Unlimited Refunding Bonds, Series D, 5.00%, 6/1/21		4,505		4,650

5.00%, 6/1/22		4,385		4,737

Florida State Department Transportation G.O. Unlimited Refunding Bonds, 5.00%, 7/1/21		13,000		13,469

Florida State Housing Finance Corp. Revenue Bonds, Series 1 (GNMA, FNMA, FHLMC Insured), 1.35%, 1/1/22		1,035		1,045


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
MUNICIPAL BONDS - 60.4% continued

Florida – 5.0% continued

Florida State Turnpike Authority Turnpike Revenue Bonds, Series B, 5.00%, 7/1/22	$3,000	$3,252

Florida State Turnpike Authority Turnpike Revenue Refunding Bonds, Series A, 5.00%, 7/1/21	5,415	5,610

5.00%, 7/1/22	5,680	6,156

Hillsborough County G.O. Unlimited Refunding Bonds, Environmental Lands Acquisition & Protection Program, 5.00%, 7/1/22	1,000	1,085

Jacksonville Special Revenue Refunding
Bonds, Series A, 5.00%, 10/1/22	3,570	3,908

Jacksonville Special Revenue Refunding Bonds, Series B, 5.00%, 10/1/22	2,225	2,436

Polk County School District Sales TRB, 5.00%, 10/1/21	1,750	1,833

Tampa Bay Water Regional Water Supply Authority Utility System Revenue Refunding Bonds, Prerefunded, 5.00%, 10/1/20⁽⁸⁾	1,150	1,150

Volusia County School Board COPS, 5.00%, 8/1/21	3,750	3,899

5.00%, 8/1/22	2,905	3,158

		232,268

Georgia – 2.4%

Atlanta Urban Residential Finance Authority MFH Revenue Bonds, London Townhomes, 0.44%, 3/1/23⁽³⁾^{(5) (6)}	10,000	10,000

Brookhaven Development Authority Revenue Bonds, Children’s Healthcare of Atlanta, 5.00%, 7/1/22	1,000	1,081
Cobb County Water & Sewerage Revenue Refunding Bonds, 5.00%, 7/1/22	2,000	2,170


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
MUNICIPAL BONDS - 60.4% continued

Georgia – 2.4% continued

Gainesville & Hall County Hospital Authority Revenue Refunding Bonds, Northeast Georgia Health System, Inc., Project, 5.00%, 2/15/22	$3,000	$3,178

5.00%, 2/15/23	3,750	4,133

Georgia State G.O. Unlimited Bonds, Series A-Group 1, 5.00%, 8/1/22	30,550	33,269

5.00%, 8/1/23	45,515	51,745

Henry County School District G.O. Unlimited Bonds (State Aid Withholding), 5.00%, 8/1/21	3,580	3,724

Private Colleges & Universities Authority Revenue Refunding Bonds, Series A, Emory University, 5.00%, 9/1/22	3,000	3,277

		112,577

Illinois – 0.4%

Chicago O’Hare International Airport General Revenue Refunding Bonds, Series A (AMT), Senior Lien, 5.00%, 1/1/21	5,000	5,049

Illinois State Finance Authority Revenue Refunding Bonds, Edward-Elmhurst Healthcare,

(Floating, SIFMA Municipal Swap Index Yield + 0.75%), 0.86%, 7/1/23⁽³⁾⁽⁵⁾	1,535	1,536

Illinois State Housing Development Authority MFH Variable Revenue Bonds, Northpoint Illinois Preservation, 0.33%, 8/1/22⁽³⁾^{(5) (6)}	10,000	9,997

Illinois State Toll Highway Authority Senior Revenue Refunding Bonds, Series A, 5.00%, 1/1/21	1,000	1,011

		17,593

Indiana – 0.4%

Indiana State Finance Authority Hospital Revenue Bonds, Indiana University Health Obligated Group, 1.65%, 7/1/22⁽³⁾^{(5) (6)}	5,000	5,081


	PRINCIPAL AMOUNT (000S)	VALUE (000S)

MUNICIPAL BONDS - 60.4% continued

Indiana – 0.4% continued

Indiana State Finance Authority Hospital Variable Revenue Bonds, Series L, Indiana University Health,

(Floating, SIFMA Municipal Swap Index Yield + 0.28%), 0.39%, 7/2/21⁽³⁾⁽⁵⁾	$5,500	$5,493

Indiana State Finance Authority State Revolving Funds Revenue Refunding Bonds, Green Bonds, 5.00%, 2/1/21	8,500	8,637

Ivy Technology Community College Revenue Refunding Bonds, Series W, Student Fee, 5.00%, 7/1/22	600	650

		19,861

Iowa – 0.1%

Iowa State Finance Authority SFM Variable Revenue Bonds, Series B (GNMA, FNMA, FHLMC Insured), (Floating, SIFMA Municipal Swap Index Yield + 0.30%), 0.41%, 5/3/21⁽³⁾⁽⁵⁾	5,000	5,000

Kansas – 0.3%

Johnson County Unified School District No. 229 G.O. Unlimited Bonds, Series A, 3.00%, 10/1/21	13,560	13,946

Kentucky – 0.1%

Kentucky State Public Energy Authority Revenue Bonds, Series B, Gas Supply, 4.00%, 7/1/21	3,725	3,819

Louisiana – 0.1%

East Baton Rouge Parish Capital Improvements District MovEBR Sales TRB, 5.00%, 8/1/21	1,270	1,321

Louisiana State G.O. Unlimited Bonds, Series A, 5.00%, 3/1/22	5,000	5,342

		6,663

Maryland – 1.6%

Anne Arundel County G.O. Limited Bonds, 5.00%, 10/1/21	5,000	5,243


	PRINCIPAL AMOUNT (000S)	VALUE (000S)

MUNICIPAL BONDS - 60.4% continued

Maryland – 1.6% continued

Anne Arundel County G.O. Limited Bonds, Consolidated General Improvements, 5.00%, 4/1/22	$2,000	$2,145

Anne Arundel County G.O. Limited Bonds, Consolidated Water and Sewer, 5.00%, 10/1/22	2,470	2,709

Baltimore County Consolidated Public Improvement G.O. Unlimited Bonds, 5.00%, 3/1/22	4,500	4,809

Baltimore County Consolidated Public Improvement G.O. Unlimited Refunding Bonds, 5.00%, 8/1/21	5,000	5,202

Baltimore County Metropolitan District G.O. Unlimited BANS, 4.00%, 3/22/21	20,000	20,365

Maryland State Department of Transportation Consolidated Transportation Revenue Bonds, 5.00%, 10/1/22	5,500	6,032

Montgomery County G.O. Unlimited Bonds, Series A, 5.00%, 11/1/20	10,000	10,040

Prince George’s County Consolidated Public Improvement G.O. Limited Bonds, Series A, 5.00%, 7/15/21	4,610	4,787

Washington Suburban Sanitary District Revenue Refunding Bonds (County Gtd.), 5.00%, 6/1/22	9,365	10,121

		71,453

Massachusetts – 0.7%

Boston G.O. Unlimited Bonds, Series A, 5.00%, 3/1/22	3,455	3,693

Massachusetts State Consolidated Loan G.O. Limited Bonds, Series E, 5.00%, 11/1/20	17,400	17,469

Massachusetts State HFA Variable Revenue Bonds, Chestnut Park Project, 2.40%, 12/1/21⁽³⁾^{(5) (6)}	3,000	3,075


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS – 60.4% continued

Massachusetts – 0.7% continued

Massachusetts State HFA Variable Revenue Refunding Bonds, Series Revenue Refunding Bonds, Series 196 (GNMA/FNMA/FHLMC Insured),

(Floating, ICE LIBOR USD 1M + 0.35%), 0.45%, 6/1/21⁽³⁾⁽⁵⁾		$2,275		$2,275

Worcester G.O. Limited Bonds, Series A, 4.00%, 2/1/23		3,955		4,304

				30,816

Michigan – 0.7%

Michigan State Finance Authority Revenue Notes, Series A-2 (State Aid Withholding) (JPMorgan Chase Bank N.A. LOC), 4.00%, 8/20/21		7,000		7,234

Michigan State Trunk Line Revenue Refunding Bonds, Series A, 5.00%, 11/15/22		1,250		1,378

University of Michigan General Revenue Refunding Bonds, University Revenues SIFMA,

(Floating, SIFMA Municipal Swap Index Yield + 0.27%), 0.38%, 4/1/22⁽³⁾⁽⁵⁾		18,705		18,715

West Bloomfield School District Building and Site G.O. Unlimited Bonds (AGM Insured), 3.00%, 5/1/22		3,100		3,232
3.00%, 5/1/23		1,000		1,062

				31,621

Minnesota – 2.1%

Hennepin County G.O. Unlimited Bonds, Series B, 5.00%, 12/15/20		6,050		6,110

5.00%, 12/15/21		6,350		6,722

Minneapolis G.O. Unlimited Refunding Bonds, 12/1/21⁽⁷⁾		15,000		15,497

12/1/22⁽⁷⁾		11,695		12,403

Minneapolis Improvement & Various Purpose G.O. Unlimited Bonds, 4.00%, 12/1/20		4,200		4,227


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
MUNICIPAL BONDS – 60.4% continued

Minnesota – 2.1% continued

Minnesota Housing Finance Agency Residential Housing Variable Revenue Refunding Bonds (GNMA/FNMA/FHLMC Insured), (Floating, SIFMA Municipal Swap Index Yield + 0.55%), 0.66%, 12/12/23⁽³⁾⁽⁵⁾		$5,000		$5,011

Minnesota State G.O. Unlimited Bonds, Series A, 5.00%, 8/1/21		10,000		10,403

5.00%, 8/1/22		8,000		8,709

Minnesota State G.O. Unlimited Bonds, Series E, 2.00%, 8/1/23		21,500		22,610

Mounds View Independent School District No. 621 G.O. Limited Refunding Bonds, Series A (Minnesota School District Credit Program), 5.00%, 2/1/22		4,295		4,573

Osseo Independent School District No. 279 G.O. Unlimited Refunding Bonds, Series C, Alternative Facilities (School District Credit Program), 5.00%, 2/1/21		1,480		1,504

				97,769

Missouri – 0.5%

Missouri State Board of Public Buildings Special Obligation Revenue Refunding Bonds, Series B, 5.00%, 10/1/22		4,000		4,388

Missouri State Environmental Improvement & Energy Resources Authority Water Pollution Revenue Refunding Bonds, Series A, 5.00%, 7/1/21		9,000		9,327

Missouri State Highways & Transit Commission State Road Federal Reimbursement Revenue Refunding Bonds, Series S, GARVEE Lien, 5.00%, 5/1/22		9,000		9,689

				23,404


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS – 60.4% continued

Nebraska – 0.4%

Douglas County School District No. 1 G.O. Unlimited Refunding Bonds, Series B, 5.00%, 12/15/21		$7,000		$7,408

Nebraska State Investment Finance Authority Single Family Housing Revenue Bonds, Series C, 2.05%, 3/1/22		1,450		1,479

University of Nebraska Facilities Corp. Revenue Refunding Bonds, Series B, 4.00%, 10/1/22		9,500		10,215

				19,102

Nevada – 1.0%

Humboldt County PCR Variable Revenue Refunding Bonds, Sierra Pacific Power Company, 1.85%, 4/15/22⁽³⁾^{(5) (6)}		10,000		10,201

Las Vegas Valley Water District G.O. Limited Bonds, Series A, 5.00%, 6/1/21		5,355		5,527

5.00%, 6/1/22		6,200		6,698

Nevada State G.O. Limited Refunding Capital Improvement Bonds, 5.00%, 5/1/21		12,000		12,335

5.00%, 5/1/22		7,050		7,584

Reno Capital Improvement G.O. Limited Refunding Bonds, Series A, 5.00%, 6/1/21		1,200		1,237

Washoe County School District G.O. Limited Refunding Bonds, Series B, 5.00%, 4/1/22		1,000		1,070

				44,652

New Hampshire – 0.0%

Manchester Public Improvement G.O. Unlimited Bonds, Series A, 4.00%, 6/15/23		1,000		1,102

New Jersey – 0.9%

Monmouth County G.O. Unlimited Bonds, General Improvement, 5.00%, 7/15/21		3,075		3,193

Monmouth County Improvement Authority Governmental Pooled Loan Revenue Bonds, Series C (County Gtd.), 5.00%, 12/1/21		1,000		1,057


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS – 60.4% continued

New Jersey – 0.9% continued

Monmouth County Improvement Authority Revenue Bonds, Series B (County Gtd.), 5.00%, 12/1/21		$2,775		$2,932

5.00%, 12/1/22		3,250		3,588

New Jersey State Housing & Mortgage Finance Agency Multifamily Conduit Variable Revenue Bonds, Georgia King Project (Housing and Urban Development Sector 8 Program), 2.45%, 10/1/21⁽³⁾⁽⁶⁾		4,500		4,500

North Brunswick Township G.O. Unlimited BANS, Series A, 2.00%, 7/19/21		27,475		27,852

				43,122

New Mexico – 1.5%

Albuquerque G.O. Unlimited Bonds, Series A, 5.00%, 7/1/21		6,080		6,300

5.00%, 7/1/22		6,035		6,543

Albuquerque G.O. Unlimited Refunding Bonds, Series D, 5.00%, 7/1/22		12,500		13,553

Farmington Pollution Control Variable Revenue Refunding Bonds, Public Service Company of New Mexico San Juan, 1.10%, 6/1/23⁽³⁾^{(5) (6)}		9,000		9,042

New Mexico State G.O. Unlimited Bonds, 5.00%, 3/1/21		19,000		19,378
5.00%, 3/1/22		11,000		11,747

				66,563

New York – 3.9%

Metropolitan Transportation Authority Dedicated Tax Fund Revenue BANS, Series A, 5.00%, 3/1/22		30,000		31,328

Metropolitan Transportation Authority Revenue Bonds, Subseries D-2, (Floating, SIFMA Municipal Swap Index Yield + 0.45%), 0.56%, 11/15/22⁽³⁾⁽⁵⁾		20,275		19,268

Metropolitan Transportation Authority TRANS, Series F, 5.00%, 11/15/22		25,045		25,969


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 60.4% continued

New York – 3.9% continued

Metropolitan Transportation Authority Variable Revenue Bonds, Series A-2, 5.00%, 11/15/22⁽³⁾^{(5) (6)}		$1,000		$1,040

Monroe County Industrial Development Corp. Revenue Bonds, University of Rochester Project, 5.00%, 7/1/22 2,000				2,167

5.00%, 7/1/23		1,000		1,129

New York City Housing Development Corp. MFH Revenue Bonds, Series G, Sustainable Neighborhood Bonds, 2.00%, 12/31/21⁽³⁾^{(5) (6)}		3,420		3,422

New York City Municipal Water Finance Authority Water & Sewer System Revenue Refunding Bonds, Second General Resolution, 5.00%, 6/15/21		6,000		6,205

New York City Transitional Finance Authority Future Tax Secured Revenue Refunding Bonds, 5.00%, 11/1/22		10,500		11,529

New York G.O. Unlimited Bonds, Series J, Subseries J-8, 4.00%, 8/1/21		5,000		5,158

New York G.O. Unlimited Refunding Bonds, Series J, 5.00%, 8/1/22		17,000		18,490

New York State Dormitory Authority

Personal Income Tax Revenue Refunding Bonds, Series A, Group 1, 5.00%, 3/15/22		10,000		10,703

New York State Dormitory Authority State Personal Income Tax Revenue Refunding Bonds, Series D, 3.00%, 2/15/21		5,000		5,053

4.00%, 2/15/22		4,000		4,211

New York State Urban Development Corp. Revenue Refunding Bonds, State Personal Income Tax, 5.00%, 3/15/22		3,000		3,211

5.00%, 3/15/23		4,000		4,464

New York State Urban Development Corp. Taxable General Personal Income TRB, 0.72%, 3/15/23		6,000		5,993


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 60.4% continued

New York – 3.9% continued

Port Authority of New York & New Jersey Consolidated Taxable Revenue Bonds, Series AAA, 1.09%, 7/1/23		$20,000		$20,286

				179,626

North Carolina – 2.4%

Charlotte Water & Sewer System Revenue Refunding Bonds, 5.00%, 7/1/22		3,000		3,254

5.00%, 7/1/23		3,000		3,400

Charlotte-Mecklenburg Hospital Authority Health Care System Variable Revenue Bonds, Series D, Atrium Health,

(Floating, SIFMA Municipal Swap Index Yield + 0.60%), 0.71%, 12/1/23⁽³⁾⁽⁵⁾		42,000		42,021

Forsyth County Public Improvement G.O. Unlimited Bonds, Series B, 5.00%, 3/1/21		4,540		4,632

5.00%, 3/1/22		1,000		1,069

North Carolina State Eastern Municipal Power Agency System Revenue Refunding Bonds, Series B (NATL, IBC Insured), Escrowed to Maturity, 6.00%, 1/1/22		5,000		5,354

North Carolina State G.O. Unlimited Bonds, Series A, Connect NC Bonds, 5.00%, 6/1/22		3,955		4,276

North Carolina State G.O. Unlimited Refunding Bonds, Series D, 4.00%, 6/1/21		4,000		4,103

North Carolina State Grant Anticipation Vehicle Revenue Bonds, 5.00%, 3/1/21		8,000		8,158

5.00%, 3/1/22		7,010		7,482

North Carolina State HFA MFH Revenue Bonds, Weaver Investment Company Rural Development Portfolio, 2.00%, 1/1/21⁽³⁾^{(5) (6)}		11,235		11,280

North Carolina State Limited Obligation Revenue Bonds, Series A, Build NC Bonds, 5.00%, 5/1/21		13,025		13,394


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
MUNICIPAL BONDS - 60.4% continued

North Carolina – 2.4% continued

Wake County Limited Obligation Revenue Bonds, 5.00%, 9/1/21		$3,250		$3,395

				111,818

Ohio – 1.6%

American Municipal Power-Ohio, Inc., Revenue Refunding Bonds, Series A, 5.00%, 2/15/22		6,000		6,387

Cincinnati G.O. Unlimited Refunding Bonds, 5.00%, 12/1/21		2,285		2,414

5.00%, 12/1/22		1,000		1,103

Franklin County Hospital Facilities Variable Revenue Bonds, Series B, OhioHealth Corp.,

(Floating, SIFMA Municipal Swap Index Yield + 0.43%), 0.54%, 11/15/21⁽³⁾⁽⁵⁾		10,000		9,994

Hamilton County Health Care Facilities Revenue Bonds, Christ Hospital Project, Prerefunded, 5.50%, 6/1/22⁽⁸⁾		6,000		6,526

Ohio State Adult Correctional Capital Facilities Revenue Refunding Bonds, Lease Appropriation, 4.00%, 10/1/20		2,750		2,750

Ohio State HFA MFH Revenue Bonds, Series A (GNMA/FHA Insured), 0.40%, 9/1/22⁽³⁾^{(5) (6)}		3,970		3,974

Ohio State Hospital Variable Revenue Bonds, Cleveland Clinic Health,

(Floating, SIFMA Municipal Swap Index Yield + 0.40%), 0.51%, 6/1/23⁽³⁾⁽⁵⁾		35,000		34,861

Ohio State Major New Infrastructure Project Revenue Bonds, Series 2019-1, 4.00%, 12/15/21		2,000		2,091
5.00%, 12/15/22		2,000		2,211

				72,311

Oklahoma – 0.1%

Canadian County Independent School District No. 27, Combined Purpose G.O. Unlimited Bonds, Yukon Public Schools, 2.00%, 10/1/20		3,040		3,040


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
MUNICIPAL BONDS - 60.4% continued

Oklahoma – 0.1% continued

Oklahoma HFA Collateralized Variable Revenue Bonds, Sooner Haven Apartments, 0.30%, 10/1/21⁽⁹⁾		$2,500		$2,500

				5,540

Oregon – 1.1%

Lane County School District No. 4J Eugene G.O. Unlimited Bonds (School Board Guaranty Program), 5.00%, 6/15/21		2,450		2,533

Oregon Business Development Commission Economic Development Revenue Bonds (AMT), 5.00%, 3/1/22⁽³⁾^{(5) (6)}		43,400		45,944

Oregon State G.O. Unlimited Bonds, Series A, 5.00%, 5/1/21		1,400		1,440

Oregon State Health & Science University Revenue Refunding Bonds, Series A, 5.00%, 7/1/21		600		621

5.00%, 7/1/22		850		919

				51,457

Pennsylvania – 2.9%

Delaware County G.O. Unlimited Refunding Bonds, 5.00%, 10/1/21		1,000		1,048

Geisinger Authority Health System Revenue Refunding Bonds, 5.00%, 4/1/22		3,500		3,740

Pennsylvania State Economic Development Financing Authority Solid Waste Disposal Revenue Bonds, Series A (Waste Management, Inc., Project, 2.15%, 11/1/21⁽⁹⁾		2,250		2,286

Pennsylvania State Economic Development Financing Authority Solid Waste Disposal Revenue Bonds, Waste Management Project, 2.80%, 12/1/21⁽³⁾^{(5) (6)}		2,500		2,572

Pennsylvania State G.O. Unlimited Bonds, First Series 2020, 5.00%, 5/1/22		6,000		6,451


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
MUNICIPAL BONDS - 60.4% continued

Pennsylvania – 2.9% continued

Pennsylvania State G.O. Unlimited Bonds, Series D-2, 5.00%, 8/15/22		$1,500		$1,633

Pennsylvania State G.O. Unlimited Refunding Bonds, 5.00%, 7/15/21		10,000		10,375

Pennsylvania State Higher Educational Facilities Authority Revenue Refunding Bonds, Series AV-1, 5.00%, 6/15/21		5,985		6,182

Pennsylvania State Housing Finance Agency SFM Floating Revenue Bonds, Series 127 C,

(Floating, ICE LIBOR USD 1M + 0.57%), 0.67%, 10/1/23⁽³⁾⁽⁵)		7,000		6,993

Pennsylvania State Housing Finance Agency SFM Variable Revenue Bonds, Series 126B,

(Floating, ICE LIBOR USD 1M + 0.60%), 0.70%, 6/1/23⁽³⁾⁽⁵⁾		26,250		26,272

Pennsylvania State Turnpike Commission Turnpike Variable Revenue Refunding Bonds, Series A-1,

(Floating, SIFMA Municipal Swap Index Yield + 0.60%), 0.71%, 12/1/23⁽³⁾		15,000		15,067

Pittsburgh & Allegheny County Sports & Exhibition Authority Sale Revenue Refunding Bonds, (AGM Insured), 4.00%, 2/1/22		1,200		1,260

4.00%, 2/1/23		1,775		1,926

University of Pittsburgh of the Commonwealth System of Higher Education Variable Revenue Bonds, Pitt Asset Notes,

(Floating, SIFMA Municipal Swap Index Yield + 0.36%), 0.47%, 2/15/24⁽³⁾		48,000		48,040

				133,845

Rhode Island – 0.1%

Rhode Island State & Providence Plantations G.O. Unlimited Bonds, Series C, 3.00%, 1/15/21		2,500		2,521

4.00%, 1/15/22		2,000		2,099


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
MUNICIPAL BONDS - 60.4% continued

Rhode Island – 0.1% continued

Rhode Island State & Providence Plantations G.O. Unlimited Refunding Bonds, Series E, 3.00%, 1/15/21		$300		$302

4.00%, 1/15/22		1,000		1,050

				5,972

South Carolina – 0.2%

Charleston County School District G.O. Unlimited BANS, Phase IV Sales Tax Project (SCSDE Insured), 5.00%, 5/12/21		10,000		10,294

Tennessee – 1.2%

Memphis G.O. Unlimited Refunding Bonds, 5.00%, 5/1/21		1,500		1,543

5.00%, 5/1/22		22,000		23,687

Memphis Health Educational & Housing Facility Board MFH Variable Revenue Bonds, Burkle & Main Apartment, 1.40%, 5/1/22⁽³⁾^{(5) (6)}		2,500		2,538

Memphis Sanitary Sewerage System Revenue Refunding Bonds, Series B, 10/1/21⁽⁷⁾		2,035		2,131

10/1/22⁽⁷⁾		1,435		1,572

10/1/23⁽⁷⁾		1,100		1,256

Metropolitan Government Nashville & Davidson County G.O. Unlimited & Improvement Bonds, 5.00%, 7/1/21		13,245		13,724

Metropolitan Government Nashville & Davidson County Health & Educational Facility Board Revenue Bonds, Oakwood Flats Apartments, 2.10%, 4/1/21⁽³⁾⁽⁶⁾		7,350		7,350

				53,801

Texas – 10.1%

Alamo Community College District G.O. Limited Bonds, Maintenance Tax Notes, 3.00%, 2/15/21		9,000		9,093

4.00%, 2/15/22		4,250		4,471

Allen G.O. Limited Refunding Bonds, 4.00%, 8/15/21		1,000		1,034


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
MUNICIPAL BONDS - 60.4% continued

Texas – 10.1% continued

Alvin Independent School District G.O. Unlimited Bonds, Series B (PSF, Gtd.), 0.45%, 8/15/23⁽³⁾^{(5) (6)}		$4,000		$3,996

Alvin Independent School District Variable G.O. Unlimited Bonds, Series B (PSF, Gtd.), 1.25%, 8/15/22^{(3) (5) (6)}		7,500		7,636

Austin G.O. Limited Refunding & Improvement Bonds, 9/1/22(7)		2,005		2,190
9/1/23⁽⁷⁾		1,000		1,139

Bexar County G.O. Limited Refunding Bonds, 5.00%, 6/15/21		710		734
5.00%, 6/15/22		800		866

Clear Creek Independent School District G.O. Unlimited Bonds, Series B (PSF, Gtd.), 1.35%, 8/15/22⁽³⁾^{(5) (6)}		19,000		19,379

Clear Creek Independent School District Variable G.O. Unlimited Bonds (PSF, Gtd.), 0.50%, 8/15/23⁽³⁾^{(5) (6)}		5,000		4,998

Clifton Higher Education Finance Corp. Education Revenue Bonds, Idea Public Schools (PSF, Gtd.), 5.00%, 8/15/21		1,120		1,166
5.00%, 8/15/22		1,715		1,867

Cypress-Fairbanks Independent School District G.O. Unlimited Bonds, Series B-1 (PSF, Gtd.), 1.25%, 8/15/22⁽³⁾^{(5) (6)}		4,500		4,581

Dallas County Community College District G.O. Unlimited Refunding Bonds, 5.00%, 2/15/21		5,610		5,709

Deer Park Independent School District G.O. Unlimited Bonds (PSF, Gtd.), 1.55%, 10/1/42⁽³⁾⁽⁶⁾		4,000		4,000

Denton County Permanent Improvement G.O. Limited Refunding Bonds, 5.00%, 7/15/21		1,635		1,697

Fort Bend County Certificates of Obligation G.O. Limited Bonds, 5.00%, 3/1/22		875		934


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
MUNICIPAL BONDS - 60.4% continued

Texas – 10.1% continued

Fort Worth G.O. Limited Bonds, 4.00%, 3/1/23		$2,000		$2,183

Fort Worth G.O. Limited Refunding Bonds, 4.00%, 3/1/23		9,175		10,014

Fort Worth Water & Sewer System Revenue Refunding Bonds, Series A, 5.00%, 2/15/23		10,755		11,980

Garland Independent School District G.O. Unlimited Refunding Bonds, 5.00%, 2/15/21		3,000		3,054

Harris County Cultural Educational Facilities Finance Corp. Variable Revenue Refunding Bonds, Memorial Hermann, 5.00%, 12/1/22⁽³⁾^{(5) (6)}		2,500		2,756

Harris County G.O. Limited Refunding Bonds, Series A, 10/1/21⁽⁷⁾		29,565		30,958
10/1/22⁽⁷⁾		4,615		5,056
10/1/23⁽⁷⁾		8,060		9,205

Harris County Hospital District Certificates of Obligation G.O. Limited Bonds, 5.00%, 2/15/23		1,000		1,108

Harris County Metropolitan Transit Authority Sales & Use Tax Contractual Obligations Revenue Bonds, 5.00%, 11/1/22		1,000		1,097

Houston Independent School District G.O. Limited Refunding Bonds, Series A (PSF, Gtd.), 5.00%, 2/15/21		1,350		1,374

Houston Independent School District Public Facilities Corp. Lease Revenue Refunding Bonds, 5.00%, 9/15/22		1,500		1,642

Houston Independent School District Variable G.O. Limited Bonds, Series A-2 (PSF, Gtd.), 2.25%, 6/1/22⁽³⁾^{(5) (6)}		14,000		14,458

Houston Public Improvement G.O. Limited Refunding Bonds, Series A, 5.00%, 3/1/21		4,045		4,126


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
MUNICIPAL BONDS - 60.4% continued

Texas – 10.1% continued

Houston Utility System Variable Revenue Refunding Bonds, Series C, First Lien,

(Floating, ICE LIBOR USD 1M + 0.36%), 0.46%, 8/1/21⁽³⁾⁽⁵⁾		$5,000		$4,988

Humble Independent School District G.O. Unlimited Refunding Bonds, Series B (PSF, Gtd.), 5.00%, 2/15/22		4,060		4,330

Katy Independent School District Variable G.O. Unlimited Refunding Bonds, Series 2015C (PSF, Gtd.),

(Floating, ICE LIBOR USD 1M + 0.28%), 0.38%, 8/16/21⁽³⁾⁽⁵⁾		5,800		5,781

Lower Colorado River Authority Transmission Contract Revenue Refunding Bonds, LCRA Transmission Services, 5.00%, 5/15/21		2,750		2,831

5.00%, 5/15/21		—		—

5.00%, 5/15/22		1,000		1,077

Matagorda County Navigation District No. 1 Variable Revenue Bonds (AMT), Central Power & Light Company Project, 0.90%, 9/1/23⁽³⁾^{(5) (6)}		4,250		4,232

North Texas Tollway Authority Revenue Refunding Bonds, Series A, First Tier, 5.00%, 1/1/21		2,000		2,023

5.00%, 1/1/22		1,850		1,958

Odessa Housing Finance Corp. MFH Variable Revenue Bonds, Vera in Odessa Apartments (FHA Insured), 0.35%, 3/1/23⁽³⁾^{(5) (6)}		16,000		15,996

Plano City G.O. Limited Refunding Bonds, 3.00%, 9/1/22		1,065		1,123

San Antonio Housing Trust Finance Corp. MFH Revenue Bonds, Brookwood Senior Apartments, 1.55%, 5/1/21⁽⁹⁾		10,000		10,002

San Antonio Tax Notes G.O. Limited Bonds, 5.00%, 8/1/23		11,490		13,045


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
MUNICIPAL BONDS - 60.4% continued

Texas – 10.1% continued

Sherman Tax Independent School District School Building Variable G.O. Unlimited Bonds, Series B (PSF, Gtd.), 2.00%, 8/1/23⁽³⁾^{(5) (6)}		$13,000		$13,588

Tarrant Regional Water District Water Revenue Refunding & Improvement Bonds, Prerefunded, 5.00%, 3/1/22⁽⁸⁾		21,040		22,447

5.00%, 3/1/22⁽⁸⁾		—		—

Texas State PFA G.O. Unlimited Refunding Bonds, Series A, 5.00%, 10/1/21		5,000		5,242

Texas State TRANS, 4.00%, 8/26/21		96,790		100,106

Texas State Transportation Commission Highway Improvement G.O. Unlimited Bonds, 5.00%, 4/1/21		8,410		8,613

Texas State Transportation Commission Highway Improvement G.O. Unlimited, Prerefunded, 5.00%, 4/1/22⁽⁸⁾		22,000		23,592

Texas State Water Development Board Revenue Bonds, 5.00%, 10/15/21		1,875		1,970

5.00%, 4/15/22		1,450		1,558

5.00%, 10/15/22		2,700		2,967

Texas State Water Development Board Revenue Bonds, Master Trust, 10/15/21⁽⁷⁾		2,000		2,059

4/15/22⁽⁷⁾		1,000		1,043

10/15/22⁽⁷⁾		2,000		2,115

4/15/23⁽⁷⁾		985		1,080

10/15/23⁽⁷⁾		2,000		2,231

Travis County Housing Finance Corp. Variable Revenue Bonds, Cascades at Onion Creek Apartments, 0.35%, 2/1/23⁽³⁾^{(5) (6)}		22,000		21,970

University of North Texas Revenue Refunding Bonds, Series A, 5.00%, 4/15/22		2,500		2,682

5.00%, 4/15/23		1,850		2,069


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
MUNICIPAL BONDS - 60.4% continued

Texas – 10.1% continued

Waco G.O. Limited Refunding Bonds, 5.00%, 2/1/21		$5,505		$5,593
5.00%, 2/1/22		2,000		2,128

				464,940

Utah – 0.7%

Alpine School District G.O. Unlimited Bonds, Series B (School Board Guaranty Program), 5.00%, 3/15/22		12,825		13,729

Salt Lake County G.O. Unlimited Bonds, 5.00%, 12/15/21		3,350		3,546
5.00%, 12/15/22		3,975		4,399

Utah State G.O. Unlimited Bonds, Series A, 4.00%, 7/1/21		2,000		2,058

Utah State G.O. Unlimited Bonds, Series B, 5.00%, 7/1/21		2,500		2,591
5.00%, 7/1/22		3,500		3,797

				30,120

Virginia – 3.5%

Arlington County G.O. Unlimited Bonds, 5.00%, 6/15/21		4,370		4,519
5.00%, 6/15/22		4,595		4,975

Arlington County G.O. Unlimited Bonds, Series C (State Aid Withholding), Prerefunded, 5.00%, 2/15/21⁽⁸⁾		4,000		4,072

Fairfax County G.O. Unlimited Refunding Bonds, Series A (State Aid Withholding), 4.00%, 10/1/21		18,880		19,608
4.00%, 10/1/22		10,000		10,770

Hampton Roads Transportation Accountability Commission Revenue BANS, Series A, 5.00%, 7/1/22		41,800		45,244

Loudoun County G.O. Unlimited Bonds, Series A (State Aid Withholding), 5.00%, 12/1/20		5,000		5,040
5.00%, 12/1/21		9,000		9,510


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
MUNICIPAL BONDS - 60.4% continued

Virginia – 3.5% continued

Louisa IDA Variable PCR Bonds, Virginia Electric, 1.80%, 4/1/22⁽³⁾^{(5) (6)}		$3,750		$3,825

Virginia State College Building Authority Educational Facilities Revenue Bonds, 21st Century College & Equipment, 5.00%, 2/1/22		2,000		2,129

5.00%, 2/1/23		2,000		2,225

Virginia State College Building Authority Educational Facilities Revenue Refunding Bonds, 21st Century College Program, 5.00%, 2/1/22		5,690		6,058

Virginia State G.O. Unlimited Refunding Bonds, Series B, 5.00%, 6/1/22		7,025		7,592

Virginia State Public Building Authority Public Facilities Revenue Bonds, Series A, 5.00%, 8/1/22		2,000		2,178

Virginia State Public Building Authority Public Facilities Revenue Refunding Bonds, Series B, 5.00%, 8/1/21		4,000		4,162
5.00%, 8/1/22		4,000		4,355

Virginia State Public School Authority School Technology & Security Notes Revenue Bonds, Series VIII, 5.00%, 4/15/23		5,970		6,702

Virginia State Public School Authority Special Obligation Prince Revenue Bonds (State Aid Withholding), 10/1/21⁽⁷⁾		5,330		5,528
10/1/22⁽⁷⁾		5,275		5,672
10/1/23⁽⁷⁾		5,325		5,921

				160,085

Washington – 2.4%

Central Puget Sound Regional Transit Authority Variable Sales & Use TRB, Green Bonds, Series S-2A,

(Floating, SIFMA Municipal Swap Index Yield + 0.30%), 0.41%, 11/1/21⁽³⁾⁽⁵⁾		10,000		10,001


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
MUNICIPAL BONDS - 60.4% continued

Washington – 2.4% continued

Central Puget Sound Regional Transit Authority Variable Sales & Use TRB, Green Bonds, Series S-2B,

(Floating, SIFMA Municipal Swap Index Yield + 0.45%), 0.56%, 11/1/23⁽³⁾⁽⁵⁾		$12,500		$12,534

King County School District No. 405 Bellevue G.O. Unlimited Bonds (School Board Guaranty Program), 5.00%, 12/1/20		7,150		7,207

Seattle Municipal Light & Power Improvement Revenue Bonds,
5.00%, 4/1/21		3,250		3,329

5.00%, 4/1/22		3,420		3,668

Seattle Municipal Light & Power Improvement Revenue Refunding & Improvement Bonds, Series B, 5.00%, 2/1/22		11,400		12,136

Snohomish County School District No. 15 Edmonds G.O. Unlimited Bonds (School Board Guaranty Program), 5.00%, 12/1/20		2,630		2,651

Washington State G.O. Unlimited Refunding Bonds, Motor Vehicle Fuel Tax, 5.00%, 7/1/21		20,450		21,193

Washington State G.O. Unlimited Refunding Bonds, Series D, Motor Vehicle Fuel Tax, 5.00%, 6/1/21		3,770		3,892

Washington State G.O. Unlimited Refunding Bonds, Series R-2020A, 5.00%, 1/1/21		2,390		2,419

5.00%, 1/1/22		3,500		3,712

Washington State G.O. Unlimited Refunding Bonds, Series R-2020B, 5.00%, 1/1/21		7,650		7,742

5.00%, 1/1/22		2,750		2,917

Washington State G.O. Unlimited Refunding Bonds, Series R-2020C, 5.00%, 7/1/22		3,465		3,759

Washington State G.O. Unlimited Refunding Bonds, Series R-2020D, 5.00%, 7/1/22		10,405		11,287

				108,447


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
MUNICIPAL BONDS - 60.4% continued

Wisconsin – 1.3%

Kenosha County G.O. Unlimited Refunding Bonds, Series B, 3.00%, 6/1/22		$1,000		$1,047

Madison G.O. Unlimited Refunding Promissory Notes, Series A, 10/1/22⁽⁷⁾		10,895		11,714
10/1/23⁽⁷⁾		7,100		7,899

PFA Hospital Revenue Refunding Bonds, Renown Regional Medical Center Project, 5.00%, 6/1/22		275		296
5.00%, 6/1/23		345		386

Wisconsin State G.O. Unlimited Bonds, Series B, 5.00%, 5/1/21		6,000		6,170
5.00%, 5/1/22		8,500		9,152

Wisconsin State G.O. Unlimited Refunding Bonds, Series 2, 5.00%, 11/1/21		6,210		6,536

Wisconsin State Health & Educational Facilities Authority Variable Revenue Refunding Bonds, Advocate Aurora Health,

(Floating, SIFMA Municipal Swap Index Yield + 0.35%), 0.46%, 7/28/21⁽³⁾⁽⁵⁾		9,000		8,993

(Floating, SIFMA Municipal Swap Index Yield + 0.65%), 0.76%, 7/31/24⁽³⁾⁽⁵⁾		5,000		5,006

Wisconsin State Transportation Taxable Revenue Refunding Bonds, Series 1, 0.42%, 7/1/23		4,385		4,384

				61,583
Total Municipal Bonds
(Cost $2,765,673)				2,779,257

	NUMBER OF SHARES		VALUE (000S)
INVESTMENT COMPANIES – 1.1%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽¹⁰⁾⁽¹¹⁾		48,867,972		$48,868
Total Investment Companies
(Cost $48,868)				48,868


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
SHORT-TERM INVESTMENTS – 18.9%

Alamo Heights Independent School District Variable G.O. Unlimited Bonds, Series B (PSF, Gtd.), 3.00%, 2/1/21⁽³⁾^{(5) (6)}		$2,700		$2,724

Atlanta Urban Residential Finance Authority MFH Revenue Bonds, Creekside at Adamsville Place, 1.95%, 5/1/21⁽³⁾^{(5) (6)}		7,500		7,568

Austin G.O. Limited Refunding & Improvement Bonds, 9/1/21⁽⁷⁾		2,000		2,088

Broward County School District Revenue TANS, 2.00%, 6/30/21		20,000		20,269

California State Infrastructure & Economic Development Bank Revenue Bonds, Brightline West Passenger (AMT), 0.45%, 7/1/21⁽¹⁾^{(3) (5) (6)}		20,000		20,000

California State Municipal Finance Authority Solid Waste Disposal Variable Revenue Bonds, Waste Management, Inc. Project (AMT), 0.23%, 12/1/20⁽³⁾^{(5) (6)}		21,000		21,000

California State Pollution Control Financing Authority Solid Waste Disposal Variable Revenue Refunding Bonds, Series A (AMT), Republic Services, 0.50%, 11/2/20⁽¹⁾^{(3) (5) (6)}		16,000		16,004

California State School Cash Reserve Program Authority Revenue Notes, Series D, 2.00%, 5/3/21		30,000		30,316

Charlotte Water & Sewer System Revenue Refunding Bonds, 5.00%, 7/1/21		4,000		4,145

Clear Creek Independent School District Variable G.O. Unlimited Bonds, Series B (PSF, Gtd.), 2.15%, 8/16/21⁽³⁾^{(5) (6)}		9,500		9,656

Colorado State Educational Loan Program TRANS, Series A, 4.00%, 6/29/21		75,000		77,119

Colorado State General Fund TRANS, 4.00%, 6/25/21		59,000		60,642

Connecticut State Health & Educational Facilities Authority Revenue Bonds, Series A-3, Yale University, 1.80%, 2/9/21⁽³⁾^{(5) (6)}		12,500		12,571


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
SHORT-TERM INVESTMENTS - 18.9% continued

Connecticut State Health & Educational Facilities Authority Revenue Bonds, Series X-2, Yale University, 1.80%, 2/9/21⁽³⁾^{(5) (6)}		$12,000		$12,069

Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series A, 2.05%, 7/12/21⁽³⁾^{(5) (6)}		10,000		10,145

Cuyahoga Metropolitan Housing Authority MFH Variable Revenue Bonds, Riverside Park Phase, 2.00%, 4/1/21⁽³⁾^{(5) (6)}		7,000		7,056

Deer Park Independent School District G.O. Unlimited Bonds (PSF, Gtd.), 10/1/21⁽³⁾^{(5) (6) (7)}		3,000		3,000

Delaware State G.O. Unlimited Bonds, Series A, 5.00%, 1/1/21		12,000		12,144

Director of the State of Nevada Department of Business & Industry Revenue Bonds, Brightline West Passenger (AMT), 0.50%, 7/1/21⁽³⁾^{(5) (6)}		5,000		5,000

District of Columbia Revenue Bonds, Federal Highway Grant Anticipation, 5.00%, 12/1/20		4,855		4,894

Escambia County Solid Waste Disposal Revenue Bonds, Gulf Power Company Project, 1.80%, 11/19/20⁽³⁾^{(5) (6)}		13,000		13,022

Fairfax County IDA Health Care Revenue Refunding Bonds, Series S, Inova Health System, 5.00%, 5/15/21⁽³⁾^{(5) (6)}		15,000		15,349

Franklin County Health & Educational Facilities Board Collateralized MFH Revenue Bonds, BTT Development Village Associates, 2.40%, 12/1/20⁽³⁾^{(5) (6)}		3,750		3,763

Gainesville & Hall County Hospital Authority Revenue Refunding Bonds, Northeast Georgia Health System, Inc., Project, 5.00%, 2/15/21		3,275		3,328

Goose Creek Texas Consolidated Independent School District G.O. Unlimited Bonds, Series B (PSF, Gtd.), 1.30%, 8/16/21⁽³⁾^{(5) (6)}		13,800		13,924


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
SHORT-TERM INVESTMENTS - 18.9% continued
Granite City Revenue Bonds (AMT), Waste Management, Inc. Project, 2.45%, 5/3/21⁽³⁾^{(5) (6)}		$3,000		$3,032

Harris County Road G.O. Unlimited Refunding Bonds, Series A, 4.00%, 10/1/20		4,325		4,325

Houston Independent School District Variable G.O. Limited Refunding Bonds (PSF, Gtd.), 2.40%, 6/1/21⁽³⁾^{(5) (6)}		4,000		4,056

Illinois State Housing Development Authority MFH Revenue Bonds, Heather Ridge, 1.90%, 10/1/21⁽³⁾^{(5) (6)}		4,500		4,570

Ivy Technology Community College Revenue Refunding Bonds, Series W, Student Fee, 4.00%, 1/1/21		520		525

Ivy Technology Community College Revenue Refunding Bonds, Series W, Student Fee, 4.00%, 7/1/21		650		669

Kentucky State Housing Corp. Variable Revenue Bonds, Beecher Phase I Project, 2.00%, 9/1/21⁽³⁾^{(5) (6)}		6,000		6,089

King County School District No. 403 Renton G.O. Unlimited Bonds (School Board Guaranty Program), 4.00%, 12/1/20		3,000		3,019

Lawrence Township School Building Corp. Revenue Bonds (State Intercept Program), 4.00%, 7/15/21		1,000		1,029

Los Angeles TRANS, 4.00%, 6/24/21		71,690		73,683

Louisiana State G.O. Unlimited Bonds, Series A, 5.00%, 3/1/21		8,000		8,160

Louisiana State G.O. Unlimited Refunding Bonds, Series B, 5.00%, 11/15/20		62,220		62,581

Louisville & Jefferson County Metropolitan Government Environmental Facilities Revenue Refunding Bonds, Louisville Gas & Electric, 1.65%, 6/1/21⁽³⁾^{(5) (6)}		7,250		7,295


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
SHORT-TERM INVESTMENTS - 18.9% continued

Louisville & Jefferson County Metropolitan Government Environmental Facilities Revenue Refunding Bonds, Louisville Gas & Electric, 1.65%, 6/1/21⁽³⁾^{(5) (6)}		$13,250		$13,331

Louisville & Jefferson County Metropolitan Government PCR Variable Refunding Bonds, Louisville Gas, 1.85%, 4/1/21⁽³⁾^{(5) (6)}		12,200		12,268

Metropolitan Government Nashville & Davidson County Health & Educational Facility Board Revenue Bonds, Trevecca Towers, 2.00%, 1/1/21⁽³⁾^{(5) (6)}		12,000		12,048

Metropolitan Transportation Authority Variable Revenue Bonds, Series A-1, 5.00%, 11/15/20⁽³⁾^{(5) (6)}		14,000		14,026

Miami-Dade County Seaport Refunding G.O. Unlimited Bonds, Series C, 4.50%, 10/1/20		7,100		7,100

Michigan State Trunk Line Revenue Refunding Bonds, Series A, 5.00%, 11/15/20		2,200		2,213

Missouri State Environmental Improvement & Energy Resources Authority Water Pollution Revenue Refunding Bonds, Series A, 5.00%, 1/1/21		9,105		9,215

New York City Housing Development Corp. MFH Revenue Bonds, Sustainable Neighborhood Bonds, 0.85%, 4/29/21⁽³⁾^{(5) (6)}		8,000		8,001

New York City Housing Development Corp. MFH Variable Revenue Bonds, Series G, 0.20%, 3/1/21⁽³⁾^{(5) (6)}		35,000		34,994

New York State Urban Development Corp. Revenue Refunding Bonds, State Personal Income Tax, 5.00%, 3/15/21		8,500		8,687

Ohio State HFA MFH Revenue Bonds, Sutter View Apartments, 1.62%, 7/1/21⁽³⁾^{(5) (6)}		8,500		8,579

Oregon State Department of Transportation Highway User Tax Revenue Refunding Bonds, Series C, Senior Lien, 5.00%, 11/15/20		1,000		1,006


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
SHORT-TERM INVESTMENTS - 18.9% continued

Oregon State Housing & Community Department Housing Development Revenue Bonds, Series I, Ya Po Ah Terrace Project (Housing and Urban Development Sector 8 Program), 2.20%, 5/1/21⁽³⁾^{(5) (6)}		$10,450		$10,560

Patchogue-Medford Union Free School District G.O. Unlimited TANS (State Aid Withholding), 3.00%, 6/25/21		24,000		24,474

Pennsylvania State Economic Development Financing Authority Solid Waste Disposal Revenue Bonds, Series A (AMT), Waste Management, Inc. Project, 0.70%, 8/2/21⁽³⁾^{(5) (6)}		7,000		7,006

Philadelphia School District Revenue TRANS, Series A, 4.00%, 6/30/21		13,000		13,364

Pittsburgh & Allegheny County Sports & Exhibition Authority Sale Revenue Refunding Bonds, (AGM Insured), 3.00%, 2/1/21		1,450		1,463

Rye City School District G.O. Unlimited BANS (State Aid Withholding), 1.75%, 7/1/21		18,150		18,346

Southern California State Public Power Authority Revenue Refunding Bonds, Series A, Canyon Power Project, 2.25%, 5/1/21⁽³⁾^{(5) (6)}		20,000		20,035

Spring Branch Independent School District Variable G.O. Unlimited Bonds, Schoolhouse (PSF, Gtd.), 1.55%, 6/15/21⁽³⁾^{(5) (6)}		6,000		6,025

Texas State Transportation Commission State Highway Fund Revenue Refunding Bonds, First Tier, Series B, 4.00%, 10/1/21⁽³⁾^{(5) (6)}		3,035		3,147

U.S. Treasury Bill, 0.13%, 10/1/20⁽²⁾		50,000		50,000

University of Alaska Taxable Revenue Refunding Bonds, Series W (AGM Insured), 1.50%, 10/1/20		700		700

University of North Texas Revenue Refunding Bonds, Series A, 5.00%, 4/15/21		1,850		1,897


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
SHORT-TERM INVESTMENTS - 18.9% continued

Virginia State College Building Authority Educational Facilities Revenue Bonds, 21st Century College & Equipment, 5.00%, 2/1/21		$3,300		$3,353

Westerville City School District G.O. Unlimited Bonds, 3.00%, 12/1/20		10,075		10,122

Worcester G.O. Limited Bonds, Series A, 4.00%, 2/1/21		4,810		4,871
Total Short-Term Investments
(Cost $871,933)				873,660


Total Investments – 101.3%
(Cost $4,639,453)				4,668,213
Liabilities less Other Assets – (1.3%)				(62,176	)
NET ASSETS – 100.0%				$4,606,037

⁽¹⁾

⁽²⁾

Discount rate at the time of purchase.

⁽³⁾

Variable rate security. Rate as of September 30, 2020 is disclosed.

⁽⁴⁾

Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end.

⁽⁵⁾

Maturity date represents the puttable date.

⁽⁶⁾

These securities are remarketed by an agent, and the interest rate is determined by general market conditions and supply and demand.

⁽⁷⁾

When-Issued Security. Coupon rate is not in effect at September 30, 2020.

⁽⁸⁾

Maturity date represents the prerefunded date.

⁽⁹⁾

Security has converted to a fixed rate as of July 1, 2008, and will continue at a fixed rate going forward.

⁽¹⁰⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽¹¹⁾

7-day current yield as of September 30, 2020 is disclosed.

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

1M - 1 Month

1Y - 1 Year

3M - 3 Month

AGM - Assured Guaranty Municipal Corporation

AMT - Alternative Minimum Tax

BANS - Bond Anticipation Notes

CMT - Constant Maturity

COPS - Certificates of Participation

FHA - Federal Housing Administration

FHLMC - Federal Home Loan Mortgage Corporation

FNMA - Federal National Mortgage Association

G.O. - General Obligation

GNMA - Government National Mortgage Association

Gtd. - Guaranteed

HFA - Housing Finance Authority

HUD - Housing and Urban Development

IBC - Insured Bond Certificates

ICE - Intercontinental Exchange

IDA - Industrial Development Authority

LCRA - Lower Colorado River Authority

LIBOR - London Interbank Offered Rate

LOC - Letter of Credit

MFH - Multi-Family Housing

NATL - National Public Finance Guarantee Corporation

PCR - Pollution Control Revenue

PFA - Public Finance Authority

PLC - Public Limited Company

PSF - Permanent School Fund

SCSDE - South Carolina State Department of Education

SFM - Single Family Mortgage

SIFMA - Securities Industry and Financial Markets Association

SOFR - Secured Overnight Financing Rate

TANS - Tax Anticipation Notes

TRANS - Tax and Revenue Anticipation Notes

TRB - Tax Revenue Bonds

USD - United States Dollar

Percentages shown are based on Net Assets.

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)
Commercial Paper	$	—	$	19,993		$—	$	19,993

Corporate Bonds⁽¹⁾		—		552,371		—		552,371

Foreign Issuer Bonds⁽¹⁾		—		360,515		—		360,515

U.S. Government Obligations⁽¹⁾		—		33,549		—		33,549

Municipal Bonds⁽¹⁾		—		2,779,257		—		2,779,257

Investment Companies		48,868		—		—		48,868

Short-Term Investments		—		873,660		—		873,660

Total Investments	$	48,868	$	4,619,345		$—	$	4,668,213

⁽¹⁾

Classifications as defined in the Schedule of Investments.


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES – 9.0%

Auto Floor Plan – 0.5%

Ford Credit Floorplan Master Owner Trust, Series 2019-1, Class A 2.84%, 3/15/24		$4,300		$4,446

NextGear Floorplan Master Owner Trust, Series 2017-2A, Class A2 2.56%, 10/17/22⁽¹⁾		1,000		1,001

NextGear Floorplan Master Owner Trust, Series 2018-1A, Class A1
(Floating, ICE LIBOR USD 1M + 0.64%), 0.79%, 2/15/23⁽¹⁾⁽²⁾		2,250		2,251

Nissan Master Owner Trust Receivables, Series 2019-B, Class A
(Floating, ICE LIBOR USD 1M + 0.43%), 0.58%, 11/15/23⁽²⁾		9,100		9,116

				16,814

Automobile – 3.8%

AmeriCredit Automobile Receivables Trust, Series 2019-2, Class A2A 2.43%, 9/19/22		763		766

AmeriCredit Automobile Receivables Trust, Series 2020-2, Class A2A 0.60%, 12/18/23		4,000		4,008

BMW Vehicle Owner Trust, Series 2020-A, Class A2 0.39%, 2/27/23		7,150		7,154

CarMax Auto Owner Trust, Series 2020-3, Class A2A 0.49%, 6/15/23		9,200		9,213

Chesapeake Funding II LLC, Series 2017-2A, Class A2
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor), 0.60%, 5/15/29⁽¹⁾(2)		304		304

Chesapeake Funding II LLC, Series 2017-3A, Class A1 1.91%, 8/15/29⁽¹⁾		588		589

Chesapeake Funding II LLC, Series 2017-4A, Class A1 2.12%, 11/15/29⁽¹⁾		999		1,007

Chesapeake Funding II LLC, Series 2018-1A, Class A2
(Floating, ICE LIBOR USD 1M + 0.45%), 0.60%, 4/15/30⁽¹⁾⁽²⁾		1,996		2,001

Chesapeake Funding II LLC, Series 2019-1A, Class A1 2.94%, 4/15/31⁽¹⁾		3,664		3,760


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 9.0% continued

Automobile – 3.8% continued

Drive Auto Receivables Trust, Series 2020-1, Class A2 1.99%, 12/15/22		$2,440		$2,451

Enterprise Fleet Financing LLC, Series 2017-3, Class A2 2.13%, 5/22/23⁽¹⁾		25		25

Enterprise Fleet Financing LLC, Series 2018-2, Class A2 3.14%, 2/20/24⁽¹⁾		926		935

Ford Credit Auto Owner Trust, Series 2020-A, Class A2 1.03%, 10/15/22		1,400		1,405

Ford Credit Auto Owner Trust, Series 2020-B, Class A2 0.50%, 2/15/23		22,200		22,231

GM Financial Automobile Leasing Trust, Series 2019-3, Class A2A 2.09%, 10/20/21		760		763

GM Financial Automobile Leasing Trust, Series 2020-1, Class A3 1.67%, 12/20/22		2,720		2,761

GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A2A 1.50%, 3/16/23		756		761

Honda Auto Receivables Owner Trust, Series 2020-2, Class A2 0.74%, 11/15/22		7,000		7,019

Hyundai Auto Receivables Trust, Series 2020-A, Class A2 1.51%, 4/17/23		6,300		6,356

Hyundai Auto Receivables Trust, Series 2020-B, Class A2 0.38%, 3/15/23		12,600		12,609

Mercedes-Benz Auto Lease Trust, Series 2020-B, Class A2 0.31%, 2/15/23⁽³⁾		4,500		4,499

Mercedes-Benz Auto Receivables Trust, Series 2020-1, Class A2 0.46%, 3/15/23		2,900		2,903
Santander Drive Auto Receivables Trust, Series 2019-3, Class A2A 2.28%, 2/15/22		158		158

Santander Drive Auto Receivables Trust, Series 2020-1, Class A2A 2.07%, 1/17/23		2,535		2,552


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 9.0% continued

Automobile – 3.8% continued

Santander Drive Auto Receivables Trust, Series 2020-2, Class A2A 0.62%, 5/15/23		$5,000		$5,006

Santander Retail Auto Lease Trust, Series 2019-A, Class A2 2.72%, 1/20/22⁽¹⁾		4,200		4,224

Tesla Auto Lease Trust, Series 2020-A, Class A2 0.55%, 5/22/23⁽¹⁾		2,000		2,003

Toyota Auto Receivables Owner Trust, Series 2020-B, Class A2 1.38%, 12/15/22		3,900		3,925

Toyota Auto Receivables Owner Trust, Series 2020-C, Class A2 0.36%, 2/15/23		13,800		13,808

Volkswagen Auto Loan Enhanced Trust, Series 2020-1, Class A2A 0.93%, 12/20/22		7,500		7,526

Wheels SPV, Series 2018-1A, Class A2 3.06%, 4/20/27⁽¹⁾		185		186

World Omni Auto Receivables Trust, Series 2019-B, Class A2 2.63%, 6/15/22⁽¹⁾		1,531		1,537

				134,445

Credit Card – 3.7%

American Express Credit Account Master Trust, Series 2017-5, Class A
(Floating, ICE LIBOR USD 1M + 0.38%), 0.53%, 2/18/25⁽²⁾		2,000		2,005

American Express Credit Account Master Trust, Series 2019-1, Class A 2.87%, 10/15/24		4,600		4,777

American Express Credit Account Master Trust, Series 2019-2, Class A 2.67%, 11/15/24		9,300		9,650

BA Credit Card Trust, Series 2018-A1, Class A1 2.70%, 7/17/23		3,000		3,028

BA Credit Card Trust, Series 2018-A2, Class A2 3.00%, 9/15/23		1,000		1,015

Barclays Dryrock Issuance Trust, Series 2019-1, Class A 1.96%, 5/15/25		3,500		3,598


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 9.0% continued

Credit Card – 3.7% continued

Capital One Multi-Asset Execution Trust, Series 2019-A1, Class A1 2.84%, 12/15/24		$2,000		$2,070

Capital One Multi-Asset Execution Trust, Series 2019-A2, Class A2 1.72%, 8/15/24		9,100		9,349

Chase Issuance Trust, Series 2012-A7, Class A7 2.16%, 9/15/24		1,000		1,037

Chase Issuance Trust, Series 2017-A2, Class A
(Floating, ICE LIBOR USD 1M + 0.40%), 0.55%, 3/15/24⁽²⁾		1,545		1,551

Chase Issuance Trust, Series 2018-A1, Class A1
(Floating, ICE LIBOR USD 1M + 0.20%), 0.35%, 4/17/23⁽²⁾		3,000		3,003

Discover Card Execution Note Trust, Series 2019-A3, Class A 1.89%, 10/15/24		15,000		15,500

Golden Credit Card Trust, Series 2018-1A, Class A 2.62%, 1/15/23⁽¹⁾		5,000		5,033

Golden Credit Card Trust, Series 2018-3A, Class A
(Floating, ICE LIBOR USD 1M + 0.32%, 0.32% Floor), 0.47%, 5/15/23⁽¹⁾⁽²⁾		5,000		5,003

Golden Credit Card Trust, Series 2019-2A, Class A
(Floating, ICE LIBOR USD 1M + 0.35%, 0.35% Floor), 0.50%, 10/15/23⁽²⁾		17,000		17,030

Synchrony Card Funding LLC, Series 2019-A1, Class A 2.95%, 3/15/25		11,500		11,898

World Financial Network Credit Card Master Trust, Series 2017-C, Class A 2.31%, 8/15/24		3,000		3,002

World Financial Network Credit Card Master Trust, Series 2018-A, Class A 3.07%, 12/16/24		7,000		7,065

World Financial Network Credit Card Master Trust, Series 2019-A, Class A 3.14%, 12/15/25		12,745		13,166


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 9.0% continued

Credit Card – 3.7% continued

World Financial Network Credit Card Master Trust, Series 2019-B, Class A 2.49%, 4/15/26		$4,000		$4,123

World Financial Network Credit Card Master Trust, Series 2019-C, Class A 2.21%, 7/15/26		6,000		6,167

				129,070

Other – 0.9%

CCG Receivables Trust, Series 2018-2, Class A2 3.09%, 12/15/25		1,314		1,330

Dell Equipment Finance Trust, Series 2019-1, Class A2 2.78%, 8/23/21⁽¹⁾		1,424		1,430

Dell Equipment Finance Trust, Series 2019-2, Class A2 1.95%, 12/22/21⁽¹⁾		7,364		7,416

HPEFS Equipment Trust, Series 2019-1A, Class A3 2.21%, 9/20/29⁽¹⁾		1,250		1,270

John Deere Owner Trust, Series 2020-B, Class A2 0.41%, 3/15/23		5,400		5,404

Verizon Owner Trust, Series 2019-A, Class A1A 2.93%, 9/20/23		4,250		4,355

Verizon Owner Trust, Series 2020-A, Class A1A 1.85%, 7/22/24		8,500		8,718

				29,923

Whole Loan – 0.1%

Gosforth Funding PLC, Series 2017-1A, Class A1A
(Floating, ICE LIBOR USD 3M + 0.47%), 0.70%, 12/19/59⁽¹⁾⁽²⁾		418		418

Holmes Master Issuer PLC, Series 2018-1A, Class A2
(Floating, ICE LIBOR USD 3M + 0.36%), 0.64%, 10/15/54⁽¹⁾⁽²⁾		823		823


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 9.0% continued

Whole Loan – 0.1% continued

Permanent Master Issuer PLC, Series 2018-1A, Class 1A1
(Floating, ICE LIBOR USD 3M + 0.38%), 0.66%, 7/15/58⁽¹⁾⁽²⁾		$1,500		$1,500

				2,741

Total Asset-Backed Securities
(Cost $309,391)				312,993


CERTIFICATES OF DEPOSIT – 0.1%

Institutional Financial Services – 0.1%

Credit Suisse Group A.G., 2.00%		5,000,000		5,008

Total Certificates Of Deposit
(Cost $5,000)				5,008


COMMERCIAL PAPER – 1.6%

Aerospace & Defense – 0.5%

Boeing (The) Co., 2.24%, 10/29/20⁽⁴⁾		18,000		17,984

Banks – 0.1%

DNB Bank ASA, 0.15%, 11/30/20⁽¹⁾⁽⁴⁾		5,000		4,999

Chemicals – 0.3%

EI du Pont de Nemours and Co., 0.85%, 12/3/20⁽¹⁾⁽⁴⁾		8,500		8,497

Integrated Oils – 0.3%

BP Capital Markets PLC, 1.35%, 10/20/20⁽⁴⁾		8,500		8,499

Pharmaceuticals – 0.4%

AstraZeneca PLC, 2.00%, 11/2/20⁽⁴⁾		15,000		14,995

Total Commercial Paper
(Cost $54,922)				54,974


CORPORATE BONDS – 38.0%

Aerospace & Defense – 0.4%

Boeing (The) Co., 2.30%, 8/1/21		7,190		7,285

Northrop Grumman Corp., 2.55%, 10/15/22		725		755

Raytheon Co., 3.13%, 10/15/20		7,192		7,199

				15,239


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 38.0% continued

Airlines – 0.4%

Southwest Airlines Co., 2.65%, 11/5/20		$14,536		$14,539

Apparel & Textile Products – 0.3%

VF Corp., 2.05%, 4/23/22		8,450		8,663

Automobiles Manufacturing – 4.8%

American Honda Finance Corp.,
(Floating, ICE LIBOR USD 3M + 0.35%), 0.60%, 11/5/21 ⁽²⁾		12,550		12,574

2.20%, 6/27/22		5,800		5,978

0.88%, 7/7/23		26,790		27,010

BMW U.S. Capital LLC,

(Floating, ICE LIBOR USD 3M + 0.41%), 0.68%, 4/12/21 ⁽¹⁾⁽²⁾		4,200		4,206

3.40%, 8/13/21 ⁽¹⁾		1,935		1,985

3.80%, 4/6/23 ⁽¹⁾		6,700		7,219

Daimler Finance North America LLC,

(Floating, ICE LIBOR USD 3M + 0.45%), 0.71%, 2/22/21 ⁽¹⁾⁽²⁾		9,228		9,231

3.00%, 2/22/21 ⁽¹⁾		4,535		4,579

2.88%, 3/10/21 ⁽¹⁾		6,006		6,068

3.35%, 5/4/21 ⁽¹⁾		1,000		1,016

General Motors Financial Co., Inc., 3.45%, 1/14/22		7,272		7,458

Hyundai Capital America,

(Floating, ICE LIBOR USD 3M + 0.82%), 1.07%, 3/12/21 ⁽¹⁾⁽²⁾		3,600		3,600

2.85%, 11/1/22 ⁽¹⁾		5,830		6,029

1.25%, 9/18/23 ⁽¹⁾		18,180		18,140

Nissan Motor Acceptance Corp., 3.65%, 9/21/21 ⁽¹⁾		1,348		1,375

(Floating, ICE LIBOR USD 3M + 0.89%), 1.16%, 1/13/22 ⁽¹⁾⁽²⁾		3,000		2,965

Toyota Motor Credit Corp.,

(Floating, ICE LIBOR USD 3M + 0.29%), 0.57%, 10/7/21 ⁽²⁾		1,000		1,002

(Floating, ICE LIBOR USD 3M + 0.69%), 0.96%, 1/11/22 ⁽²⁾		1,500		1,511

2.65%, 4/12/22		6,970		7,209

1.15%, 5/26/22		20,000		20,253

Volkswagen Group of America
Finance LLC, 3.88%, 11/13/20 ⁽¹⁾		4,675		4,693


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 38.0% continued
Automobiles Manufacturing – 4.8% continued

2.90%, 5/13/22 ⁽¹⁾		$5,000		$5,169

3.13%, 5/12/23 ⁽¹⁾		5,880		6,207

				165,477

Banks – 3.5%

Capital One N.A., 2.15%, 9/6/22		2,500		2,570

Citibank N.A.,

(Floating, ICE LIBOR USD 3M + 0.57%), 0.83%, 7/23/21 ⁽²⁾		6,000		6,023

(Variable, ICE LIBOR USD 3M + 0.53%), 3.17%, 2/19/22 ⁽⁵⁾		9,500		9,603

(Floating, ICE LIBOR USD 3M + 0.60%), 0.85%, 5/20/22 ⁽²⁾		7,500		7,520

Citizens Bank N.A., 3.25%, 2/14/22		6,150		6,374

PNC Bank N.A.,

(Floating, ICE LIBOR USD 3M + 0.25%), 0.51%, 1/22/21 ⁽²⁾		7,730		7,736

2.50%, 1/22/21		5,000		5,025

(Floating, ICE LIBOR USD 3M + 0.43%), 0.67%, 12/9/22 ⁽²⁾		7,500		7,524

Truist Bank, 2.63%, 1/15/22		1,180		1,213

(Floating, ICE LIBOR USD 3M + 0.59%), 0.87%, 5/17/22 ⁽²⁾		4,808		4,839

Truist Financial Corp., 2.05%, 5/10/21		5,678		5,731

3.05%, 6/20/22		13,000		13,548

U.S. Bank N.A., 3.00%, 2/4/21		5,000		5,035

(Floating, ICE LIBOR USD 3M + 0.18%), 0.45%, 1/21/22 ⁽²⁾		22,094		22,124

Wells Fargo & Co., 4.60%, 4/1/21		2,000		2,042

(Floating, ICE LIBOR USD 3M + 0.93%), 1.18%, 2/11/22 ⁽²⁾		7,000		7,017

(Floating, ICE LIBOR USD 3M + 1.11%), 1.37%, 1/24/23 ⁽²⁾		2,000		2,015

3.07%, 1/24/23		4,863		5,016

				120,955

Biotechnology – 0.3%

Gilead Sciences, Inc., 0.75%, 9/29/23		11,030		11,053


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 38.0% continued

Cable & Satellite – 0.0%

Comcast Corp.,

(Floating, ICE LIBOR USD 3M + 0.63%), 0.91%, 4/15/24⁽²⁾		$1,300		$1,309

Chemicals – 0.7%

3M Co., 2.00%, 6/26/22		715		736

Albemarle Corp.,

(Floating, ICE LIBOR USD 3M + 1.05%), 1.33%, 11/15/22 ⁽²⁾		6,570		6,546

DuPont de Nemours, Inc., 3.77%, 11/15/20		8,600		8,635

2.17%, 5/1/23		7,480		7,557

Ecolab, Inc., 3.25%, 1/14/23		712		754

				24,228

Commercial Finance – 0.1%

Air Lease Corp.,

(Floating, ICE LIBOR USD 3M + 0.67%), 0.92%, 6/3/21⁽²⁾		1,800		1,787

Communications Equipment – 0.4%

Apple, Inc., 0.75%, 5/11/23		11,990		12,112

Consumer Finance – 1.3%

American Express Co.,

(Floating, ICE LIBOR USD 3M + 0.53%), 0.81%, 5/17/21 ⁽²⁾		10,400		10,426

Capital One Bank U.S.A. N.A.,

(Variable, U.S. SOFR + 0.62%), 2.01%, 1/27/23 ⁽⁵⁾		12,480		12,692

Capital One Financial Corp., 2.40%, 10/30/20		470		470

Fiserv, Inc., 4.75%, 6/15/21		2,878		2,963

PayPal Holdings, Inc., 2.20%, 9/26/22		8,090		8,362

1.35%, 6/1/23		10,500		10,725

				45,638

Consumer Products – 0.1%

Clorox (The) Co., 3.80%, 11/15/21		500		519

Unilever Capital Corp., 0.38%, 9/14/23		4,200		4,208

				4,727


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 38.0% continued

Diversified Banks – 2.4%

Bank of America Corp.,

(Floating, ICE LIBOR USD 3M + 1.42%), 1.69%, 4/19/21 ⁽²⁾		$7,000		$7,052

2.63%, 4/19/21		2,497		2,529

5.00%, 5/13/21		2,000		2,058

(Floating, ICE LIBOR USD 3M + 0.65%), 0.95%, 10/1/21 ⁽²⁾		3,330		3,330

(Floating, ICE LIBOR USD 3M + 0.38%), 0.64%, 1/23/22 ⁽²⁾		9,950		9,958

3.30%, 1/11/23		7,141		7,580

Citigroup, Inc., 2.70%, 3/30/21		2,000		2,024

(Floating, ICE LIBOR USD 3M + 1.07%), 1.32%, 12/8/21 ⁽²⁾		5,000		5,046

(Variable, U.S. SOFR + 0.87%), 2.31%, 11/4/22 ⁽⁵⁾		5,100		5,193

JPMorgan Chase & Co.,

(Floating, ICE LIBOR USD 3M + 1.48%), 1.73%, 3/1/21 ⁽²⁾		1,830		1,839

2.55%, 3/1/21		278		280

4.63%, 5/10/21		600		616

2.40%, 6/7/21		7,039		7,127

3.25%, 9/23/22		10,061		10,634

(Variable, ICE LIBOR USD 3M + 0.70%), 3.21%, 4/1/23 ⁽⁵⁾		13,300		13,820

(Variable, ICE LIBOR USD 3M + 0.94%), 2.78%, 4/25/23 ⁽⁵⁾		1,000		1,034

(Floating, ICE LIBOR USD 3M + 0.89%), 1.15%, 7/23/24 ⁽²⁾		2,100		2,117

				82,237

Electrical Equipment Manufacturing – 0.7%

Honeywell International, Inc., 1.85%, 11/1/21		300		305

(Floating, ICE LIBOR USD 3M + 0.23%), 0.50%, 8/19/22 ⁽²⁾		12,100		12,109

Otis Worldwide Corp.,

(Floating, ICE LIBOR USD 3M + 0.45%), 0.23%, 4/5/23 ⁽²⁾		6,200		6,204

Roper Technologies, Inc., 3.00%, 12/15/20		3,600		3,611

0.45%, 8/15/22		3,160		3,158

				25,387


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 38.0% continued

Entertainment Content – 0.1%

Fox Corp., 3.67%, 1/25/22		$3,054		$3,185

Financial Services – 2.6%

Ameriprise Financial, Inc., 3.00%, 3/22/22		5,350		5,552

Bank of New York Mellon (The) Corp., 1.95%, 8/23/22		4,100		4,228

1.85%, 1/27/23		3,375		3,482

BlackRock, Inc., 4.25%, 5/24/21		789		809

Goldman Sachs Group (The), Inc.,

(Floating, ICE LIBOR USD 3M + 1.77%), 2.02%, 2/25/21 ⁽²⁾		550		554

2.35%, 11/15/21		5,366		5,378

(Floating, ICE LIBOR USD 3M + 0.75%), 1.01%, 2/23/23 ⁽²⁾		7,160		7,183

(Floating, ICE LIBOR USD 3M + 1.00%), 1.26%, 7/24/23 ⁽²⁾		2,000		2,011

Intercontinental Exchange, Inc., 0.70%, 6/15/23		11,460		11,481

(Floating, ICE LIBOR USD 3M + 0.65%), 0.90%, 6/15/23 ⁽²⁾		9,700		9,715

Morgan Stanley, 2.50%, 4/21/21		1,900		1,923

5.50%, 7/28/21		4,500		4,688

(Floating, ICE LIBOR USD 3M + 1.18%), 1.45%, 1/20/22 ⁽²⁾		10,000		10,029

2.75%, 5/19/22		3,050		3,160

(Floating, U.S. SOFR + 0.70%), 0.79%, 1/20/23 ⁽²⁾		18,600		18,638

3.13%, 1/23/23		1,800		1,903

TD Ameritrade Holding Corp., 2.95%, 4/1/22		563		582

				91,316

Food & Beverage – 0.9%

Cargill, Inc., 1.38%, 7/23/23 ⁽¹⁾		1,500		1,534

General Mills, Inc.,

(Floating, ICE LIBOR USD 3M + 1.01%), 1.28%, 10/17/23 ⁽²⁾		670		677

JM Smucker (The) Co., 3.50%, 10/15/21		2,000		2,062

3.00%, 3/15/22		4,000		4,148


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 38.0% continued

Food & Beverage – 0.9% continued

Keurig Dr. Pepper, Inc., 3.55%, 5/25/21		$685		$699

Mondelez International, Inc., 0.63%, 7/1/22		13,290		13,337

Tyson Foods, Inc., 2.25%, 8/23/21		9,480		9,630

				32,087

Forest & Paper Products Manufacturing – 0.1%

Georgia-Pacific LLC, 5.40%, 11/1/20⁽¹⁾		4,686		4,704

Hardware – 0.3%

Dell International LLC/EMC Corp., 4.42%, 6/15/21 ⁽¹⁾		2,198		2,250

Hewlett Packard Enterprise Co.,

(Floating, ICE LIBOR USD 3M + 0.68%), 0.93%, 3/12/21 ⁽²⁾		4,690		4,700

(Floating, ICE LIBOR USD 3M + 0.72%), 0.95%, 10/5/21 ⁽²⁾		1,495		1,495

2.25%, 4/1/23		2,600		2,681

				11,126

Health Care Facilities & Services – 1.4%

Cigna Corp.,

(Floating, ICE LIBOR USD 3M + 0.65%), 0.90%, 9/17/21 ⁽²⁾		7,000		7,001

3.40%, 9/17/21		3,166		3,258

(Floating, ICE LIBOR USD 3M + 0.89%), 1.17%, 7/15/23 ⁽²⁾		6,300		6,365

CVS Health Corp.,

(Floating, ICE LIBOR USD 3M + 0.72%), 0.96%, 3/9/21 ⁽²⁾		19,201		19,249

3.35%, 3/9/21		797		808

2.13%, 6/1/21		2,159		2,182

3.50%, 7/20/22		1,250		1,311

2.75%, 12/1/22		2,500		2,607

3.70%, 3/9/23		451		483

McKesson Corp., 3.65%, 11/30/20		5,322		5,351

				48,615

Home Improvement – 0.3%

Whirlpool Corp., 4.85%, 6/15/21		11,108		11,454


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 38.0% continued

Homebuilders – 0.1%

D.R. Horton, Inc., 2.55%, 12/1/20		$1,560		$1,565

Integrated Oils – 1.3%

BP Capital Markets America, Inc., 2.94%, 4/6/23		2,200		2,327

Chevron Corp.,

(Floating, ICE LIBOR USD 3M + 0.48%), 0.73%, 3/3/22 ⁽²⁾		3,485		3,505

1.14%, 5/11/23		13,162		13,417

Chevron U.S.A., Inc.,

(Floating, ICE LIBOR USD 3M + 0.20%), 0.46%, 8/11/23 ⁽²⁾		26,867		26,862

Exxon Mobil Corp., 1.90%, 8/16/22		400		412
1.57%, 4/15/23		55		57

				46,580

Life Insurance – 2.4%

MassMutual Global Funding II, (Floating, ICE LIBOR USD 3M + 0.15%), 0.43%, 1/7/22 ⁽¹⁾⁽²⁾		25,000		25,020

0.85%, 6/9/23 ⁽¹⁾		11,000		11,116

MetLife, Inc., 3.05%, 12/15/22		3,500		3,699

Metropolitan Life Global Funding I, 0.90%, 6/8/23 ⁽¹⁾		12,900		13,039

New York Life Global Funding,

(Floating, ICE LIBOR USD 3M + 0.28%), 0.53%, 1/28/21 ⁽¹⁾⁽²⁾		1,000		1,001

(Floating, ICE LIBOR USD 3M + 0.28%), 0.55%, 1/21/22 ⁽¹⁾⁽²⁾		16,680		16,723

1.10%, 5/5/23 ⁽¹⁾		11,260		11,450

Prudential Financial, Inc., 4.50%, 11/15/20		2,717		2,731

				84,779

Machinery Manufacturing – 1.7%

Caterpillar Financial Services Corp.,

(Floating, ICE LIBOR USD 3M + 0.23%), 0.48%, 3/15/21 ⁽²⁾		300		300

(Floating, ICE LIBOR USD 3M + 0.28%), 0.53%, 9/7/21 ⁽²⁾		20,115		20,153

(Floating, ICE LIBOR USD 3M + 0.22%), 0.45%, 1/6/22 ⁽²⁾		11,340		11,350

(Floating, ICE LIBOR USD 3M + 0.59%), 3.20%, 6/6/22 ⁽²⁾		1,650		1,660


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 38.0% continued

Machinery Manufacturing – 1.7% continued

(Floating, ICE LIBOR USD 3M + 0.51%), 0.79%, 5/15/23 ⁽²⁾	$	1,300	$	1,309
CNH Industrial Capital LLC, 4.88%, 4/1/21		654		667
3.88%, 10/15/21		3,438		3,532
1.95%, 7/2/23		3,750		3,820

John Deere Capital Corp., 3.20%, 1/10/22		6,690		6,934
0.55%, 7/5/22		7,500		7,539

				57,264

Managed Care – 0.3%

UnitedHealth Group, Inc.,
(Floating, ICE LIBOR USD 3M + 0.07%), 0.35%, 10/15/20⁽²⁾		10,305		10,305

Medical Equipment & Devices Manufacturing – 0.0%

Abbott Laboratories, 2.55%, 3/15/22		500		517

Pharmaceuticals – 0.8%

AbbVie, Inc., 2.30%, 11/21/22 ⁽¹⁾		10,000		10,347

Bristol-Myers Squibb Co., 2.88%, 2/19/21		6,320		6,382

Upjohn, Inc., 1.13%, 6/22/22 ⁽¹⁾		12,400		12,496

				29,225

Pipeline – 0.6%

Energy Transfer Operating L.P., 4.65%, 6/1/21		3,529		3,584

Enterprise Products Operating LLC, 2.80%, 2/15/21		14,300		14,429

Sunoco Logistics Partners Operations L.P., 4.40%, 4/1/21		1,640		1,664

				19,677

Property & Casualty Insurance – 0.3%

Allstate (The) Corp.,

(Floating, ICE LIBOR USD 3M + 0.43%), 0.65%, 3/29/21 ⁽²⁾		3,000		3,006

Aon Corp., 2.20%, 11/15/22		5,540		5,732

Marsh & McLennan Cos., Inc., 3.50%, 12/29/20		2,300		2,317

				11,055


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 38.0% continued

Publishing & Broadcasting – 0.2%

NBCUniversal Enterprise, Inc.,
(Floating, ICE LIBOR USD 3M + 0.40%), 0.63%, 4/1/21⁽¹⁾⁽²⁾		$8,165		$8,179

Railroad – 0.8%

Union Pacific Corp., 3.20%, 6/8/21		28,760		29,329

Real Estate – 0.1%

American Campus Communities Operating Partnership L.P., 3.75%, 4/15/23		2,290		2,408

Refining & Marketing – 1.7%

Phillips 66, 4.30%, 4/1/22		4,335		4,572
3.70%, 4/6/23		4,000		4,282

Valero Energy Corp.,
(Floating, ICE LIBOR USD 3M + 1.15%), 1.40%, 9/15/23 ⁽²⁾		50,100		49,928

				58,782

Restaurants – 0.2%

McDonald’s Corp., 2.75%, 12/9/20		510		511

(Floating, ICE LIBOR USD 3M + 0.43%), 0.68%, 10/28/21 ⁽²⁾		2,803		2,811

Starbucks Corp., 1.30%, 5/7/22		2,040		2,068

				5,390

Retail - Consumer Discretionary – 0.2%

Amazon.com, Inc., 0.40%, 6/3/23		4,420		4,440

eBay, Inc., 2.60%, 7/15/22		1,000		1,033

				5,473

Semiconductors – 0.1%

Intel Corp., 3.10%, 7/29/22		2,370		2,491

Software & Services – 0.8%

Equifax, Inc.,

(Floating, ICE LIBOR USD 3M + 0.87%), 1.15%, 8/15/21 ⁽²⁾		1,700		1,707

IBM Credit LLC, 2.65%, 2/5/21		1,500		1,512


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 38.0% continued

Software & Services – 0.8% continued

International Business Machines Corp.,

(Floating, ICE LIBOR USD 3M + 0.40%), 0.65%, 5/13/21 ⁽²⁾		$21,264		$21,317

1.88%, 8/1/22		2,600		2,678

Microsoft Corp., 2.65%, 11/3/22		2,000		2,093

				29,307

Supermarkets & Pharmacies – 0.4%

Kroger (The) Co., 3.30%, 1/15/21		11,928		12,001
2.60%, 2/1/21		1,250		1,257

				13,258

Transportation & Logistics – 1.0%

PACCAR Financial Corp.,

(Floating, ICE LIBOR USD 3M + 0.20%), 0.45%, 11/13/20 ⁽²⁾		500		500
3.15%, 8/9/21		395		405
2.65%, 5/10/22		5,500		5,700
2.00%, 9/26/22		3,260		3,360
2.65%, 4/6/23		4,000		4,217
0.80%, 6/8/23		3,060		3,082
0.35%, 8/11/23		16,090		16,067

Penske Truck Leasing Co. L.P./PTL Finance Corp., 3.65%, 7/29/21 ⁽¹⁾		2,400		2,456

Ryder System, Inc., 2.88%, 6/1/22		279		289

				36,076

Travel & Lodging – 0.2%

Marriott International, Inc., 2.88%, 3/1/21		2,930		2,948

(Floating, ICE LIBOR USD 3M + 0.65%), 0.90%, 3/8/21 ⁽²⁾		3,200		3,187

				6,135

Utilities – 3.3%

Ameren Corp., 2.70%, 11/15/20		4,330		4,334

Dominion Energy Gas Holdings LLC, 2.80%, 11/15/20		1,450		1,452

Dominion Energy, Inc.,

(Floating, ICE LIBOR USD 3M + 0.53%), 0.78%, 9/15/23 ⁽²⁾		16,600		16,627


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 38.0% continued

Utilities – 3.3% continued

DTE Energy Co., 11/1/22 ⁽⁶⁾		$22,000		$21,994
2.25%, 11/1/22		4,200		4,342

Duke Energy Corp.,

(Floating, ICE LIBOR USD 3M + 0.50%), 0.76%, 5/14/21 ⁽¹⁾⁽²⁾		15,150		15,186

3.55%, 9/15/21		1,317		1,346

Duke Energy Progress LLC,

(Floating, ICE LIBOR USD 3M + 0.18%), 0.43%, 2/18/22 ⁽²⁾		17,500		17,495

Florida Power & Light Co.,

(Floating, ICE LIBOR USD 3M + 0.38%), 0.64%, 7/28/23 ⁽²⁾		7,030		7,035

NextEra Energy Capital Holdings, Inc., 2.40%, 9/1/21		5,830		5,941
2.90%, 4/1/22		14,000		14,496

PPL Electric Utilities Corp.,
(Floating, ICE LIBOR USD 3M + 0.25%), 0.47%, 9/28/23 ⁽²⁾		6,150		6,151

				116,399

Waste & Environment Services & Equipment – 0.0%

Waste Management, Inc., 4.60%, 3/1/21		565		569

Wireless Telecommunications Services – 0.4%

AT&T, Inc.,

(Floating, ICE LIBOR USD 3M + 0.95%), 1.23%, 7/15/21 ⁽²⁾		11,450		11,527

Verizon Communications, Inc.,
(Floating, ICE LIBOR USD 3M + 1.00%), 1.24%, 3/16/22 ⁽²⁾		3,600		3,641

				15,168
Total Corporate Bonds
(Cost $1,316,580)				1,325,769

FOREIGN ISSUER BONDS – 29.8%

Auto Parts Manufacturing – 0.0%

Toyota Industries Corp., 3.11%, 3/12/22⁽¹⁾		1,900		1,961

Automobiles Manufacturing – 0.1%

Toyota Motor Corp., 2.16%, 7/2/22		3,400		3,506


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
FOREIGN ISSUER BONDS - 29.8% continued

Banks – 16.6%

ABN AMRO Bank N.V., 2.65%, 1/19/21 ⁽¹⁾		$2,105		$2,120

ANZ New Zealand International Ltd., 1.90%, 2/13/23 ⁽¹⁾		11,500		11,844

Australia & New Zealand Banking Group Ltd.,

(Floating, ICE LIBOR USD 3M + 0.32%), 0.56%, 11/9/20 ⁽¹⁾⁽²⁾		300		300

(Floating, ICE LIBOR USD 3M + 0.46%), 0.74%, 5/17/21 ⁽¹⁾⁽²⁾		2,370		2,377

2.30%, 6/1/21		25,500		25,841

(Floating, ICE LIBOR USD 3M + 0.87%), 1.13%, 11/23/21 ⁽¹⁾⁽²⁾		765		772

2.55%, 11/23/21		1,219		1,251

2.63%, 5/19/22		14,000		14,525

(Floating, ICE LIBOR USD 3M + 0.58%), 0.82%, 11/9/22 ⁽¹⁾⁽²⁾		4,193		4,229
2.05%, 11/21/22		12,700		13,146

Banque Federative du Credit Mutuel S.A., 2.13%, 11/21/22 ⁽¹⁾		13,700		14,139
Barclays Bank PLC, 2.65%, 1/11/21		10,700		10,744
1.70%, 5/12/22		5,770		5,870

Canadian Imperial Bank of Commerce,

(Floating, U.S. SOFR + 0.80%), 0.88%, 3/17/23 ⁽²⁾		19,500		19,644

Commonwealth Bank of Australia,

(Floating, ICE LIBOR USD 3M + 0.83%), 1.08%, 9/6/21 ⁽¹⁾⁽²⁾		9,604		9,673

(Floating, ICE LIBOR USD 3M + 0.70%), 0.95%, 3/10/22 ⁽¹⁾⁽²⁾		10,145		10,225

Cooperatieve Rabobank U.A., 2.50%, 1/19/21		5,200		5,235

(Floating, ICE LIBOR USD 3M + 0.43%), 0.67%, 4/26/21 ⁽²⁾		5,575		5,587

3.13%, 4/26/21		1,120		1,138

3.88%, 2/8/22		1,000		1,048

(Floating, ICE LIBOR USD 3M + 0.48%), 0.75%, 1/10/23 ⁽²⁾		12,000		12,063

Credit Suisse A.G., 3.00%, 10/29/21		4,165		4,282

2.10%, 11/12/21		4,300		4,381

(Floating, U.S. SOFR + 0.45%), 0.53%, 2/4/22 ⁽²⁾		20,650		20,692


	PRINCIPAL AMOUNT (000S)	VALUE (000S)
FOREIGN ISSUER BONDS - 29.8% continued

Banks – 16.6% continued

Credit Suisse Group Funding Guernsey Ltd., 3.45%, 4/16/21	$3,550	$3,609

DBS Group Holdings Ltd., 2.85%, 4/16/22 ⁽¹⁾	7,600	7,841

DNB Bank ASA,

(Floating, ICE LIBOR USD 3M + 0.37%), 0.67%, 10/2/20 ⁽¹⁾⁽²⁾	2,500	2,500

(Floating, ICE LIBOR USD 3M + 1.07%), 1.31%,6/2/21 ⁽¹⁾⁽²⁾	10,000	10,068

2.38%, 6/2/21 ⁽¹⁾	8,000	8,113

(Floating, ICE LIBOR USD 3M + 0.62%), 0.86%, 12/2/22 ⁽¹⁾⁽²⁾	8,600	8,664

2.15%, 12/2/22 ⁽¹⁾	5,535	5,729

ING Groep N.V.,

(Floating, ICE LIBOR USD 3M + 1.15%), 1.37%, 3/29/22 ⁽²⁾	7,040	7,108

Lloyds Banking Group PLC, 3.00%, 1/11/22	400	412

(Variable, ICE LIBOR USD 3M + 1.25%), 2.86%, 3/17/23 ⁽⁵⁾	18,900	19,427

(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.33%, 6/15/23 ⁽⁵⁾	4,100	4,124

Macquarie Bank Ltd., 2.10%, 10/17/22 ⁽¹⁾	6,000	6,193

National Australia Bank Ltd., 3.38%, 9/20/21	2,600	2,672
3.70%, 11/4/21	3,560	3,687

(Floating, ICE LIBOR USD 3M + 0.89%), 1.16%, 1/10/22 ⁽¹⁾⁽²⁾	12,914	13,035

2.80%, 1/10/22	3,531	3,644

1.88%, 12/13/22	9,500	9,811

National Bank of Canada, 2.10%, 2/1/23	500	517

Nordea Bank Abp, 1.00%, 6/9/23 ⁽¹⁾	13,685	13,868

(Floating, ICE LIBOR USD 3M + 0.94%), 1.20%, 8/30/23 ⁽¹⁾(2)	1,400	1,402

Santander UK Group Holdings PLC, 2.88%, 8/5/21	39,909	40,712

Santander UK PLC, 3.40%, 6/1/21	1,000	1,021

Skandinaviska Enskilda Banken AB, 2.63%, 3/15/21	5,990	6,054


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
FOREIGN ISSUER BONDS - 29.8% continued

Banks – 16.6% continued

3.25%, 5/17/21 ⁽¹⁾		$10,000		$10,178

1.88%, 9/13/21		364		370

3.05%, 3/25/22 ⁽¹⁾		15,350		15,926

2.20%, 12/12/22 ⁽¹⁾		5,400		5,592

(Floating, ICE LIBOR USD 3M + 0.32%), 0.57%, 9/1/23 ⁽¹⁾⁽²⁾		16,800		16,797

Svenska Handelsbanken AB, 2.45%, 3/30/21		1,015		1,026

(Floating, ICE LIBOR USD 3M + 0.47%), 0.73%, 5/24/21 ⁽²⁾		1,000		1,003

3.35%, 5/24/21		3,000		3,060

1.88%, 9/7/21		13,360		13,557

0.63%, 6/30/23 ⁽¹⁾		19,400		19,467

Swedbank AB, 2.80%, 3/14/22 ⁽¹⁾		4,600		4,753

1.30%, 6/2/23 ⁽¹⁾		4,100		4,178

0.60%, 9/25/23 ⁽¹⁾		22,800		22,750

Toronto-Dominion Bank (The), 2.50%, 12/14/20		5,674		5,700

(Floating, ICE LIBOR USD 3M + 0.27%), 0.52%, 3/17/21 ⁽²⁾		10,000		10,013

(Floating, ICE LIBOR USD 3M + 0.43%), 0.68%, 6/11/21 ⁽²⁾		10,512		10,539

0.45%, 9/11/23		21,000		20,961

Westpac Banking Corp., 2.65%, 1/25/21		500		504

(Floating, ICE LIBOR USD 3M + 0.85%), 1.12%, 1/11/22 ⁽²⁾		9,000		9,085

2.80%, 1/11/22		935		965

(Floating, ICE LIBOR USD 3M + 0.39%), 0.66%, 1/13/23 ⁽²⁾		16,375		16,429
2.00%, 1/13/23		5,040		5,225

				579,415

Central Bank – 0.1%

Bank of England Euro Note, 0.50%, 4/28/23⁽¹⁾		4,700		4,727

Commercial Finance – 0.4%

AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 5.00%, 10/1/21		5,000		5,154
4.45%, 12/16/21		6,900		7,050

Park Aerospace Holdings Ltd., 5.25%, 8/15/22 ⁽¹⁾		1,000		1,004

				13,208


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
FOREIGN ISSUER BONDS - 29.8% continued

Diversified Banks – 6.0%

Bank of Montreal,

(Floating, ICE LIBOR USD 3M + 0.79%), 1.04%, 8/27/21 ⁽²⁾		$14,581		$14,681

1.90%, 8/27/21		3,080		3,127

(Floating, ICE LIBOR USD 3M + 0.57%), 0.80%, 3/26/22 ⁽²⁾		1,627		1,636

2.90%, 3/26/22		14,320		14,857

Bank of Nova Scotia (The), 2.35%, 10/21/20		8,105		8,114

(Floating, ICE LIBOR USD 3M + 0.42%), 0.66%, 1/25/21 ⁽²⁾		3,520		3,524

3.13%, 4/20/21		12,000		12,185

(Floating, ICE LIBOR USD 3M + 0.64%), 0.89%, 3/7/22 ⁽²⁾		1,923		1,938

1.95%, 2/1/23		4,000		4,134
1.63%, 5/1/23		2,800		2,873

BNP Paribas S.A., 2.95%, 5/23/22 ⁽¹⁾		6,100		6,321

HSBC Holdings PLC, 2.95%, 5/25/21		900		915

(Variable, ICE LIBOR USD 3M + 1.06%), 3.26%, 3/13/23 ⁽⁵⁾		7,900		8,167

Mitsubishi UFJ Financial Group, Inc., 3.54%, 7/26/21		6,800		6,978
3.22%, 3/7/22		6,200		6,435
2.62%, 7/18/22		26,330		27,285

Mizuho Financial Group, Inc.,

(Floating, ICE LIBOR USD 3M + 1.14%), 1.39%, 9/13/21 ⁽²⁾		5,000		5,045

(Floating, ICE LIBOR USD 3M + 0.61%), 0.86%, 9/8/24 ⁽²⁾		23,600		23,545

Royal Bank of Canada,

(Floating, ICE LIBOR USD 3M + 0.73%), 0.98%, 2/1/22 ⁽²⁾		10,000		10,091

2.75%, 2/1/22		4,000		4,133

(Floating, ICE LIBOR USD 3M + 0.47%), 0.74%, 4/29/22 ⁽²⁾		9,800		9,851

(Floating, ICE LIBOR USD 3M + 0.36%), 0.63%, 1/17/23 ⁽²⁾		2,500		2,508

1.95%, 1/17/23		8,050		8,327

1.60%, 4/17/23		12,790		13,126

Sumitomo Mitsui Financial Group, Inc.,

(Floating, ICE LIBOR USD 3M + 1.68%), 1.92%, 3/9/21 ⁽²⁾		5,000		5,034


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
FOREIGN ISSUER BONDS - 29.8% continued

Diversified Banks – 6.0% continued

(Floating, ICE LIBOR USD 3M + 1.11%), 1.38%, 7/14/21 ⁽²⁾		$800		$806

(Floating, ICE LIBOR USD 3M + 1.14%), 1.41%, 10/19/21 ⁽²⁾		1,330		1,344

2.78%, 10/18/22		2,261		2,360

				209,340

Financial Services – 2.1%

GE Capital International Funding Co. Unlimited Co., 2.34%, 11/15/20		10,921		10,946

Sumitomo Mitsui Trust Bank Ltd., 0.80%, 9/12/23 ⁽¹⁾		25,200		25,237

UBS A.G., 1.75%, 4/21/22 ⁽¹⁾		17,850		18,174

UBS Group A.G., 3.49%, 5/23/23 ⁽¹⁾		17,776		18,539

				72,896

Food & Beverage – 0.6%

Mondelez International Holdings Netherlands B.V., 2.00%, 10/28/21 ⁽¹⁾		3,100		3,149
2.13%, 9/19/22 ⁽¹⁾		17,590		18,152

				21,301

Government Development Banks – 0.9%

BNG Bank N.V., 0.75%, 4/17/23 ⁽¹⁾		9,200		9,304

Japan Bank for International Cooperation, 1.63%, 10/17/22		4,400		4,511

1.75%, 1/23/23		6,400		6,598

Kreditanstalt fuer Wiederaufbau, 2.38%, 3/24/21		411		415

Nederlandse Waterschapsbank N.V., 1.50%, 8/27/21 ⁽¹⁾		3,000		3,033

Svensk Exportkredit AB, 0.75%, 4/6/23		6,300		6,363

				30,224

Government Regional – 0.1%

Kommuninvest I Sverige AB, 0.50%, 2/2/22⁽¹⁾		2,800		2,808


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
FOREIGN ISSUER BONDS - 29.8% continued

Integrated Oils – 1.4%

BP Capital Markets PLC,

(Floating, ICE LIBOR USD 3M + 0.25%), 0.51%, 11/24/20 ⁽²⁾		$10,975		$10,979

(Floating, ICE LIBOR USD 3M + 0.87%), 1.11%, 9/16/21 ⁽²⁾		5,433		5,466

Shell International Finance B.V., 0.38%, 9/15/23		16,050		15,991

Total Capital International S.A., 2.22%, 7/12/21		15,200		15,399

				47,835

Medical Equipment & Devices Manufacturing – 0.1%

DH Europe Finance II S.a.r.l., 2.05%, 11/15/22		2,400		2,474

Pharmaceuticals – 0.7%

AstraZeneca PLC, 2.38%, 11/16/20		3,171		3,179

GlaxoSmithKline Capital PLC,

(Floating, ICE LIBOR USD 3M + 0.35%), 0.61%, 5/14/21 ⁽²⁾		2,000		2,004

3.13%, 5/14/21		1,020		1,038

0.53%, 10/1/23		13,600		13,621

Sanofi, 4.00%, 3/29/21		4,524		4,608

				24,450

Supranationals – 0.7%

European Investment Bank,

(Floating, U.S. SOFR + 0.28%), 0.36%, 3/5/24 ⁽¹⁾⁽²⁾		18,400		18,387

Nordic Investment Bank, 0.38%, 5/19/23		7,500		7,522

				25,909
Total Foreign Issuer Bonds
(Cost $1,030,261)				1,040,054

U.S. GOVERNMENT AGENCIES – 4.4% ⁽⁷⁾

Fannie Mae – 1.9%

2.25%, 4/12/22		6,705		6,922

2.38%, 1/19/23		5,000		5,245

0.25%, 7/10/23		20,000		19,996

Federal National Mortgage Association, 0.25%, 5/22/23		20,000		20,014


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
U.S. GOVERNMENT AGENCIES - 4.4% ⁽⁷⁾ continued

Fannie Mae – 1.9% continued

Pool #FM3019, 3.50%, 2/1/35		$6,706		$7,097

Pool #MA3932, 3.50%, 2/1/35		6,459		6,858

				66,132

Federal Farm Credit Bank – 0.3%

0.25%, 5/6/22		10,000		10,016

Freddie Mac – 2.2%

Federal Home Loan Mortgage Corp., 0.13%, 7/25/22		10,530		10,520
0.38%, 5/5/23		20,240		20,327
0.25%, 8/24/23		20,380		20,394

Freddie Mac, 0.38%, 4/20/23		20,000		20,106

Pool #ZS8641, 2.50%, 2/1/32		7,074		7,406

				78,753
Total U.S. Government Agencies
(Cost $154,229)				154,901


U.S. GOVERNMENT OBLIGATIONS – 6.8%

U.S. Treasury Floating Rate Notes – 2.6%

(Floating, U.S. Treasury 3M Bill MMY + 0.11%), 0.21%, 4/30/22⁽²⁾		62,000		62,060

(Floating, U.S. Treasury 3M Bill MMY + 0.06%), 0.16%, 7/31/22⁽²⁾		29,000		28,998

				91,058

U.S. Treasury Notes – 4.2%

1.13%, 8/31/21		25,000		25,225

2.63%, 12/15/21		9,000		9,269

1.38%, 1/31/22		9,585		9,744

2.13%, 5/15/22		10,000		10,324

1.75%, 7/15/22		5,000		5,145

0.13%, 7/31/22		255		255

1.50%, 8/15/22		18,000		18,464

1.63%, 11/15/22		7,000		7,221


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT OBLIGATIONS - 6.8% continued

U.S. Treasury Notes – 4.2% continued

1.63%, 12/15/22		$50,000		$51,645

1.38%, 2/15/23		7,300		7,513

				144,805
Total U.S. Government Obligations
(Cost $232,281)				235,863

MUNICIPAL BONDS – 0.6%

Florida – 0.2%

Miami-Dade County Taxable Capital Asset Acquisition Special Obligation Revenue Bonds,
0.38%, 4/1/23		7,830		7,811

Michigan – 0.1%

West Bloomfield School District Building and Site G.O. Unlimited Bonds (AGM Insured),
3.00%, 5/1/21		2,000		2,032

New York – 0.3%

Port Authority of New York & New Jersey Consolidated Taxable Revenue Bonds, Series AAA,
1.09%, 7/1/23		10,000		10,143
Total Municipal Bonds
(Cost $19,826)				19,986

	NUMBER OF SHARES		VALUE (000S)

INVESTMENT COMPANIES – 5.8%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽⁸⁾⁽⁹⁾		202,827,361		$202,827
Total Investment Companies
(Cost $202,827)				202,827

Total Investments – 96.1%
(Cost $3,325,317)				3,352,375

Other Assets less Liabilities – 3.9%				136,366
NET ASSETS – 100.0%				$3,488,741

⁽¹⁾

⁽²⁾

Variable rate security. Rate as of September 30, 2020 is disclosed.

⁽³⁾

Level 3 asset.

⁽⁴⁾

Discount rate at the time of purchase.

⁽⁵⁾

Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end.

⁽⁶⁾

When-Issued Security. Coupon rate is not in effect at September 30, 2020.

⁽⁷⁾

The obligations of certain U.S. government-sponsored entities are neither issued nor guaranteed by the United States Treasury.

⁽⁸⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽⁹⁾

7-day current yield as of September 30, 2020 is disclosed.

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

1M - 1 Month

1Y - 1 Year

3M - 3 Month

AGM - Assured Guaranty Municipal Corporation

CMT - Constant Maturity

Fannie Mae - Federal National Mortgage Association

Freddie Mac - Federal Home Loan Mortgage Corporation

G.O. - General Obligation

ICE - Intercontinental Exchange

LIBOR - London Interbank Offered Rate

MMY - Money Market Yield

PLC - Public Limited Company

SOFR - Secured Overnight Financing Rate

USD - United States Dollar

Percentages shown are based on Net Assets.

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)
Asset-Backed Securities:
Automobile		$ —	$	129,946		$4,499	$	134,445
All Other Industries⁽¹⁾		—		178,548		—		178,548
Total Asset-Backed Securities		—		308,494		4,499		312,993
Certificates Of Deposit		—		5,008		—		5,008
Commercial Paper		—		54,974		—		54,974
Corporate Bonds		—		1,325,769		—		1,325,769
Foreign Issuer Bonds		—		1,040,054		—		1,040,054
U.S. Government Agencies		—		154,901		—		154,901
U.S. Government Obligations		—		235,863		—		235,863
Municipal Bonds		—		19,986		—		19,986
Investment Companies		202,827		—		—		202,827
Total Investments		$202,827	$	3,145,049		$4,499	$	3,352,375

⁽¹⁾

Classifications as defined in the Schedule of Investments.


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
U.S. GOVERNMENT AGENCIES – 9.8% ⁽¹⁾

Fannie Mae – 7.4%

Pool #555649, 7.50%, 10/1/32		$26		$29

Pool #AS4186, 2.50%, 1/1/30		555		587

Pool #AS8597, 2.50%, 1/1/32		568		600

Pool #BH9277, 3.50%, 2/1/48		371		392

Pool #BM1239, 3.50%, 2/1/32		136		145

Pool #BM5017, 3.00%, 3/1/30		146		155

Pool #FM1454, 2.50%, 9/1/28		162		171

Pool #FM1472, 3.50%, 3/1/34		216		228

Pool #FM1842, 3.50%, 6/1/34		127		134

Pool #FM1849, 3.50%, 12/1/33		436		464

Pool #FM1852, 3.00%, 7/1/33		160		171

Pool #FM1897, 3.00%, 9/1/32		459		493

Pool #FM3308, 3.00%, 4/1/32		148		156

Pool #MA2709, 2.50%, 8/1/31		428		448

				4,173

Freddie Mac – 1.5%

Pool #SB0084, 3.00%, 2/1/32		315		337

Pool #SB0215, 3.00%, 2/1/32		162		170

Pool #SB0216, 3.00%, 12/1/32		185		195

Pool #ZS7325, 2.50%, 7/1/29		151		158

Pool #ZS7735, 2.00%, 1/1/32		3		3

				863


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
U.S. GOVERNMENT AGENCIES - 9.8% ⁽¹⁾ continued

Freddie Mac Gold – 0.3%

Pool #E09021, 2.50%, 2/1/28		$167		$175

Government National Mortgage Association – 0.4%

Government National Mortgage Association, Series 2017-95, Class QG,

2.50%, 8/20/46		198		206

Government National Mortgage Association I – 0.2%

Pool #676682, 4.50%, 6/15/25		55		58

Pool #782618, 4.50%, 4/15/24		23		24

Pool #783245, 5.00%, 9/15/24		24		24

Pool #783489, 5.00%, 6/15/25		11		12

				118
Total U.S. Government Agencies
(Cost $5,387)				5,535

U.S. GOVERNMENT OBLIGATIONS – 88.5%

U.S. Treasury Notes – 88.5%

0.13%, 8/31/22		14,168		14,167

0.13%, 8/15/23		13,656		13,645

0.25%, 8/31/25		11,659		11,650

0.50%, 8/31/27		7,460		7,481

0.63%, 8/15/30		2,868		2,854

				49,797
Total U.S. Government Obligations
(Cost $49,783)				49,797


	NUMBER OF SHARES		VALUE (000S)
INVESTMENT COMPANIES – 0.7%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽²⁾⁽³⁾		384,334		$384
Total Investment Companies
(Cost $384)				384

Total Investments – 99.0%
(Cost $55,554)				55,716

Other Assets less Liabilities – 1.0%				589
NET ASSETS – 100.0%				$56,305

⁽¹⁾

The obligations of certain U.S. government-sponsored entities are neither issued nor guaranteed by the United States Treasury.

⁽²⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽³⁾

7-day current yield as of September 30, 2020 is disclosed.

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

Fannie Mae - Federal National Mortgage Association

Freddie Mac - Federal Home Loan Mortgage Corporation

Percentages shown are based on Net Assets.

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)
U.S. Government Agencies⁽¹⁾		$ —		$ 5,535		$—		$ 5,535
U.S. Government Obligations⁽¹⁾		—		49,797		—		49,797
Investment Companies		384		—		—		384
Total Investments		$384		$55,332		$—		$55,716

⁽¹⁾

Classifications as defined in the Schedule of Investments.

1. ORGANIZATION

2. SIGNIFICANT ACCOUNTING POLICIES

A) VALUATION OF SECURITIES AND DERIVATIVE CONTRACTS Securities are valued at their fair value. Equity securities traded on United States (“U.S.”) securities exchanges or in the NASDAQ National Market System are principally valued at the regular trading session closing price (generally, 3:00 P.M. Central Time) on the exchange or market in which such securities are principally traded. If any such security is not traded on a valuation date, it is valued at the most recent quoted bid price. Over-the-counter securities not reported in the NASDAQ National Market System are also generally valued at the most recent quoted bid price. Fixed

income securities, however, may be valued on the basis of evaluated prices provided by the Funds’ approved independent third-party pricing services when such prices are believed to reflect the fair value of such securities or broker provided prices. Such prices may be determined by taking into account other similar securities’ prices, yields, maturities, call features, ratings, prepayment speeds, credit risks, cash flows, institutional size trading in similar groups of securities and developments related to specific securities.

Shares of open-end investment companies, other than exchange traded funds, are valued at their NAV. Spot and forward foreign currency exchange contracts are generally valued using an independent pricing service. Exchange-traded financial futures and options are valued at the settlement price as established by the exchange on which they are traded. Over-the-counter options are valued at broker-provided prices, as are swaps, caps, collars and floors. The foregoing prices may be obtained from one or more independent pricing services or, as needed or applicable, independent broker-dealers. Short-term investments with a maturity of 60 days or less are valued at their amortized cost, which NTI, as authorized by the Trust’s Board of Trustees (the “Board”), has determined approximates fair value.

The contract positions and investment strategies utilized during the six months ended September 30, 2020, were as follows:


	CONTRACT POSITION	INVESTMENT STRATEGY

Short-Intermediate U.S. Government	Long and Short	Hedging/Liquidity

U.S. Government	Long and Short	Hedging/Liquidity

C) FOREIGN CURRENCY TRANSLATION Values of investments denominated in foreign currencies are converted into U.S. dollars using the spot rates on the NYSE at generally 3:00 P.M. Central Time. The cost of purchases and proceeds from sales of investments, interest and dividend income are translated into U.S. dollars using the spot rates on the NYSE at generally 3:00 P.M. Central Time. The gains or losses, if any, on investments from original purchase date to subsequent sales trade date resulting from changes in foreign exchange rates are included in the Statements of Operations in Net realized gains (losses) on investments and Net change in unrealized appreciation (depreciation) on investments. The gains or losses, if any, on translation of other assets and liabilities denominated in foreign currencies and between the trade and settlement dates on investment transactions are included in Net realized gains (losses)

on foreign currency transactions and Net change in unrealized appreciation (depreciation) on foreign currency translations in the Statements of Operations.

D) FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS Certain Funds are authorized to enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge against either specific transactions or portfolio positions, or as a cross-hedge transaction or for speculative purposes. The objective of a Fund’s foreign currency hedging transactions is to reduce the risk that the U.S. dollar value of a Fund’s foreign currency denominated securities will decline in value due to changes in foreign currency exchange rates. All forward foreign currency exchange contracts are marked-to-market daily at the applicable exchange rates. Any resulting unrealized gains or losses are recorded in Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts in the Statements of Operations. A Fund records realized gains or losses at the time the forward foreign currency exchange contract is offset by entering into a closing transaction with the same counterparty or is extinguished by delivery of the currency. Realized gains or losses, if any, are included in Net realized gains (losses) on forward foreign currency exchange contracts in the Statements of Operations.

E) WHEN-ISSUED/DELAYED DELIVERY SECURITIES Certain Funds purchase securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time a Fund enters into the commitment to purchase a security, the transaction is recorded and the value of the commitment is reflected in the NAV. The value of the commitment may vary with market fluctuations. No interest accrues to a Fund until settlement takes place. At the time a Fund enters into this type of transaction, it is required to segregate collateral of cash or liquid assets having a fair value at least equal to the amount of the commitment. The Funds identify securities as segregated with a value that meets or exceeds the value of the commitments. When-issued securities at September 30, 2020, if any, are noted in each Fund’s Schedule of Investments and in aggregate as Payable for when-issued securities, in each Fund’s Statement of Assets and Liabilities.

On January 6, 2014, certain Funds entered into Master Securities Forward Transaction Agreements (“MSFTA”) with certain counterparties, pursuant to which each party has agreed to pledge cash and/or securities as collateral to secure the repayment of its obligations to the other party under the MSFTA. No collateral has been pledged to or received by the Funds as of September 30, 2020.

F) MORTGAGE DOLLAR ROLLS Certain Funds enter into mortgage “dollar rolls” in which a Fund sells securities for delivery in the future (generally within 30 days) and simultaneously contracts with the same counterparty to repurchase other mortgage securities on a specified future date. During the roll period, a Fund loses the right to receive principal and interest paid on the securities sold. However, a Fund would benefit to the extent of any difference between the price received for the securities sold and the lower forward price for the future purchase.

For financial reporting and tax purposes, the Funds treat mortgage dollar rolls as two separate transactions; one involving the purchase of a security and a separate transaction involving a sale.

G) INVESTMENT TRANSACTIONS AND INCOME Investment transactions are recorded as of the trade date. The Funds determine the gain or loss realized from investment transactions by using an identified cost basis method. Interest income is recognized on an accrual basis and includes amortization of premiums and accretion of discounts using the effective yield method. The interest rates reflected in the Schedules of Investments represent the stated coupon rate, annualized yield on date of purchase for discount notes, the current reset rate for floating rate securities, the 7-day yield for money market funds or, for interest-only or principal-only securities, the current effective yield. Cost of investments includes amortization of premiums and accretion of discounts, if any. Dividend income is recognized on the ex-dividend date. The Funds’ income may be subject to certain state and local taxes.

H) EXPENSES Each Fund is charged for those expenses that are directly attributable to that Fund. Expenses incurred which do not specifically relate to an individual fund generally are allocated among all funds in the Trust in proportion to each Fund’s relative net assets.

I) REDEMPTION FEES The High Yield Fixed Income Fund charges a 2 percent redemption fee on the redemption of shares (including by exchange) held for 30 days or less. For the purpose of applying the fee, the Fund uses a first-in, first-out (“FIFO”) method so that shares held longest are treated as being redeemed first and shares held shortest are treated as being redeemed last. The redemption fee is paid to the Fund and is intended to offset the trading, market impact and other costs associated with short-term money movements in and out of the Fund. The redemption fee may be collected by deduction from the redemption proceeds or, if assessed after the redemption

transaction, through a separate billing. The redemption fee does not apply to certain types of redemptions as described in the Fund’s prospectus.

Redemption fees for the six months ended September 30, 2020 and fiscal year ended March 31, 2020, were approximately $20,000 and $25,000, respectively, for the High Yield Fixed Income Fund. These amounts are included in Payments for Shares Redeemed in Note 8 - Capital Share Transactions. The impact from redemption fees paid to the Fund was less than $0.001 per share for both periods.

J) DISTRIBUTIONS TO SHAREHOLDERS Distributions of dividends from net investment income, if any, are declared and paid as follows:


	DECLARATION FREQUENCY	PAYMENT FREQUENCY

Core Bond	Daily	Monthly

Fixed Income	Daily	Monthly

High Yield Fixed Income	Daily	Monthly

Short Bond	Daily	Monthly

Short-Intermediate U.S. Government	Daily	Monthly

Tax-Advantaged Ultra-Short Fixed Income	Daily	Monthly

Ultra-Short Fixed Income	Daily	Monthly

U.S. Government	Daily	Monthly

Distributions of net realized capital gains, if any, are declared and paid at least annually. Distributions to shareholders are recorded on the ex-dividend date.

At March 31, 2020, the following reclassifications were recorded:


Amounts in thousands	UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)			ACCUMULATED UNDISTRIBUTED NET REALIZED GAINS (LOSSES)				CAPITAL STOCK

Core Bond		$	549		$	(549	)		$	–

Fixed Income			1,960			(1,915	)			(45	)

High Yield Fixed Income			1,119			(1,119	)			–

Short Bond			107			(107	)			–

Short-Intermediate U.S. Government			38			(38	)			–

Ultra-Short Fixed Income			19			(19	)			–

U.S. Government			22			(22	)			–

K) FEDERAL INCOME TAXES No provision for federal income taxes has been made since each Fund’s policy is to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute, each year, substantially all of its taxable income and capital gains to its shareholders.

The Regulated Investment Company Modernization Act of 2010 (the “Act”) eliminated the eight-year limit on the use of capital loss carryforwards that arise in taxable years beginning after its enactment date of December 22, 2010. The changes became effective for the Funds for the fiscal year ended March 31, 2012, and for the Core Bond Fund and the Short Bond Fund, the fiscal year ended November 30, 2012. Consequently, capital losses incurred by the Funds in taxable years beginning with the taxable year ended March 31, 2012 or November 30, 2012, as applicable, can be carried forward for an unlimited period. However, capital losses incurred by the Funds in taxable years beginning before the taxable year ended March 31, 2012 or November 30, 2012, as applicable, with an expiration date may not be used to offset capital gains until all net capital losses incurred in taxable years beginning with the taxable year ended March 31, 2012 or November 30, 2012, as applicable, without an expiration date have been utilized. As a result, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses instead of as short-term capital losses as under prior law. The Funds’ ability to utilize capital loss carryforwards in the future may be limited under the Code and related regulations based on the results of future transactions.

During the fiscal year ended March 31, 2020, the Core Bond, Fixed Income, Short Bond, Short-Intermediate U.S. Government, Tax-Advantaged Ultra-Short Fixed Income, Ultra-Short Fixed Income and U.S. Government Funds utilized approximately $7,806,000, $30,993,000, $1,936,000, $2,216,000, $166,000, $2,054,000 and $1,326,000, respectively, in capital loss carryforwards.

Capital losses incurred that will be carried forward indefinitely under the provisions of the Act are as follows:

Post-enactment losses



	SHORT-TERM			LONG-TERM
	CAPITAL LOSS			CAPITAL LOSS
Amounts in thousands	CARRYFORWARD			CARRYFOWARD

Fixed Income		$	–		$	5,602

High Yield Fixed Income			139,794			314,220

Short Bond			3,094			9,451

Short-Intermediate U.S. Government			2,749			1,389

At March 31, 2020, the tax components of undistributed net investment income, undistributed realized gains and unrealized gains (losses) were as follows:


	UNDISTRIBUTED
	TAX-EXEMPT			ORDINARY			LONG-TERM			UNREALIZED
Amounts in thousands	INCOME			INCOME*			CAPITAL GAINS			GAINS (LOSSES)

Core Bond		$	–		$	1,248		$	–		$	(525	)

Fixed Income			–			–			–			(14,497	)

High Yield Fixed Income			–			4,241			–			(667,457	)

Short Bond			–			4			–			(2,789	)

Short-Intermediate U.S. Government			–			9			–			459

Tax-Advantaged Ultra-Short Fixed Income			689			3,086			596			(7,382	)

Ultra-Short Fixed Income			–			3,259			1,634			(28,335	)

U.S. Government			–			986			–			549

Ordinary income includes taxable market discount income and short-term capital gains, if any.

The tax character of distributions paid during the fiscal year ended March 31, 2020, was as follows:

DISTRIBUTIONS FROM

TAX-EXEMPT

ORDINARY

LONG-TERM

Amounts in thousands

INCOME

INCOME*

CAPITAL GAINS

Core Bond

–

5,492

–

Fixed Income

–

24,458

–

High Yield Fixed Income

–

234,921

–

Short Bond

–

9,601

–

Short-Intermediate U.S. Government

–

863

–

Tax-Advantaged Ultra-Short Fixed Income

42,812

19,399

Ultra-Short Fixed Income

56,840

U.S. Government

–

543

–

Ordinary income includes taxable market discount income and short-term capital gains, if any.

The tax character of distributions paid during the fiscal year ended March 31, 2019, was as follows:

DISTRIBUTIONS FROM

TAX-EXEMPT

ORDINARY

LONG-TERM

Amounts in thousands

INCOME

INCOME*

CAPITAL GAINS

Core Bond

–

8,361

–

Fixed Income

–

41,378

–

High Yield Fixed Income

–

236,381

–

Short Bond

–

13,035

–

Short-Intermediate U.S. Government

–

2,240

–

Tax-Advantaged Ultra-Short Fixed Income

39,264

18,604

–

Ultra–Short Fixed Income

–

52,938

426

U.S. Government

–

734

–

Ordinary income includes taxable market discount income and short-term capital gains, if any.

As of March 31, 2020, no Fund had uncertain tax positions that would require financial statement recognition or disclosure. The Funds’ federal tax returns remain subject to examination by the Internal Revenue Service for the three years after they are filed. Interest or penalties incurred, if any, on future unknown, uncertain tax positions taken by the Funds will be recorded as interest expense and other expenses, respectively, on the Statements of Operations.

3. SERVICE PLAN

The Trust has adopted a Service Plan pursuant to which the Trust may enter into agreements with Northern Trust, its affiliates or other institutions (together “Service Organizations”) under which the Service Organizations agree to provide certain administrative support services and, in some cases, personal and account maintenance services for their customers, who are beneficial owners of shares of the Funds. As compensation for services provided pursuant to the Service Plan, the Service Organizations receive a fee at an annual rate of up to 0.15 percent of the average daily net assets of the Funds beneficially owned by their customers. There were no shareholder servicing fees paid by the Funds to Northern Trust or its affiliates during the six months ended September 30, 2020.

Service Plan expenses, if any, are included in the Statements of Operations under Shareholder servicing fees for the six months ended September 30, 2020.

4. BANK BORROWINGS

The Funds did not have any borrowings or incur any interest expense for the six months ended September 30, 2020. There were no outstanding loan amounts at September 30, 2020.

5. MANAGEMENT AND OTHER AGREEMENTS

NTI has contractually agreed to reimburse a portion of the operating expenses of each Fund (other than certain excepted expenses, i.e., acquired fund fees and expenses, the compensation paid to each independent Trustee of the Trust, expenses of third–party consultants engaged by the Board, membership dues paid to the Investment Company Institute and Mutual Fund Directors Forum, expenses in connection with the negotiation and renewal of the revolving credit facility, extraordinary expenses and interest) as shown on the accompanying Statements of Operations, to the extent the total annual fund operating expenses of the Funds exceed the expense limitations set forth below. NTI has also contractually agreed to reimburse acquired fund fees and expenses related to investments in non–money market mutual funds or exchange traded funds managed by NTI for the Short Bond, Short–Intermediate U.S. Government and U.S. Government

Funds. The total annual fund operating expenses after expense reimbursement for each Fund may be higher than the contractual limitation as a result of certain excepted expenses that are not reimbursed. The amount of the reimbursement is included in Less expenses reimbursed by investment adviser as a reduction to Total Expenses in the Statements of Operations.

At September 30, 2020, the annual management fees and contractual expense limitations for the Funds were based on the following annual rates as set forth in the table below.


	CONTRACTUAL ANNUAL
	MANAGEMENT FEES
										CONTRACTUAL
	FIRST			NEXT			OVER			EXPENSE
	$1.5 BILLION			$1 BILLION			$2.5 BILLION			LIMITATIONS

Core Bond		0.38	%		0.369	%		0.358	%		0.40	%

Fixed Income		0.43	%		0.417	%		0.404	%		0.45	%

High Yield Fixed Income		0.79	%		0.766	%		0.743	%		0.78	%

Short Bond		0.38	%		0.369	%		0.358	%		0.40	%

Short-Intermediate U.S. Government		0.38	%		0.369	%		0.358	%		0.40	%

Tax-Advantaged Ultra-Short Fixed Income		0.23	%		0.223	%		0.216	%		0.25	%

Ultra-Short Fixed Income		0.23	%		0.223	%		0.216	%		0.25	%

U.S. Government		0.38	%		0.369	%		0.358	%		0.40	%

The contractual reimbursement arrangements described above are expected to continue until at least July 31, 2021. The contractual reimbursement arrangements will continue automatically for periods of one-year (each such one-year period, a “Renewal Year”). The arrangement may be terminated, as to any succeeding Renewal Year, by NTI or a Fund upon 60 days’ written notice prior to the end of the current Renewal Year. The Board may terminate the contractual arrangements at any time with respect to a Fund if it determines that it is in the best interest of the Fund and its shareholders.

In addition, NTI has contractually agreed to reimburse certain additional expenses that may be excepted expenses.

Certain officers of the Trust are also officers of Northern Trust and NTI. All officers serve without compensation from the Funds. The Trust provided a deferred compensation plan for its Trustees who are not officers of Northern Trust or NTI. Prior to August 22, 2013, under the deferred compensation plan, Trustees may have elected to defer all or a portion of their compensation. Effective August 22, 2013, the Trustees may no longer defer their compensation. Any amounts deferred and invested under the plan shall remain invested pursuant to the terms of the plan. Each Trustee’s account shall be deemed to be invested in shares of the U.S. Government Portfolio of Northern Institutional Funds and/or the Global Tactical Asset Allocation Fund of the Trust and/or at the discretion of the Trust, another money market fund selected by the Trust that complies with the provisions of Rule 2a-7 under the 1940 Act or one or more short-term fixed income instruments selected by the Trust that are “eligible securities” as defined by that rule. The net investment income, gains and losses achieved by such deemed investment shall be credited to the Trustee’s account as provided in the plan.

6. RELATED PARTY TRANSACTIONS

Each Fund may invest its uninvested cash in a money market fund advised by NTI or its affiliates. Accordingly, each Fund bears indirectly a proportionate share of that money market fund’s operating expenses. These operating expenses include the management, transfer agent and custody fees that the money market fund pays to NTI or its affiliates. At September 30, 2020, the uninvested cash of the Funds is invested in the Northern Institutional Funds U.S. Government Portfolio (the “Portfolio”). The total annual portfolio operating expenses after expense reimbursement (other than certain excepted expenses as described in the fees and expenses table of the Portfolio’s prospectus) on any assets invested in the Portfolio is 0.25%. However, to the extent of any duplicative advisory fees, NTI will reimburse each Fund for a portion of the management fees attributable to and payable by the Funds for advisory services on any assets invested in an affiliated money market fund. This reimbursement is included in Less expenses reimbursed by the investment adviser as a reduction to Total Expenses in the Statements of Operations. This

reimbursement’s impact on each Fund’s net expense and net investment income ratios is included in each Fund’s Financial Highlights.

The Funds are permitted to purchase and sell securities from or to certain affiliated funds or portfolios under specified conditions outlined in Rule 17a-7 Procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price as defined in the Rule 17a-7 Procedures. For the six months ended September 30, 2020, the following Fund engaged in purchases and/or sales of securities from an affiliated entity:


Amount in thousands	PURCHASES			SALES*

Tax-Advantaged Ultra-Short Fixed Income		$	-		$	1,000

During the six months ended September 30, 2020, the realized gains (losses) associated with these transactions were zero.

7. INVESTMENT TRANSACTIONS

For the six months ended September 30, 2020, the aggregate costs of purchases and proceeds from sales of securities (excluding short-term investments) for the Funds were as follows:



	PURCHASES				SALES
Amounts in thousands	U.S. GOVERNMENT OTHER				U.S. GOVERNMENT			OTHER

Core Bond		$250,565	$	49,382		$	235,410		$	29,003

Fixed Income		846,149		213,556			900,995			124,630

High Yield Fixed Income		–		1,096,423			–			1,301,720

Short Bond		52,054		90,611			69,699			52,821

Short-Intermediate U.S. Government		180,848		–			154,234			2,342

Tax-Advantaged Ultra-Short Fixed Income		129,796		1,965,328			183,587			926,927


	PURCHASES						SALES
Amounts in thousands	U.S. GOVERNMENT			OTHER			U.S. GOVERNMENT			OTHER

Ultra-Short Fixed Income		$	202,984		$	1,203,451		$	68,219		$	666,752

U.S. Government			142,687			–			122,942			1,476

The difference between book basis and tax basis net unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains on certain foreign currency contracts, the deferral of post-October currency and capital losses for tax purposes, and the timing of income recognition on investments in real estate investment trusts and passive foreign investment companies.

At September 30, 2020, for federal income tax purposes, gross unrealized appreciation, gross unrealized depreciation, net unrealized appreciation (depreciation) on investments (including derivative instruments, if any) and the cost basis of investments (including derivative instruments, if any) were as follows:


Amounts in thousands	UNREALIZED APPRECIATION			UNREALIZED DEPRECIATION				NET APPRECIATION (DEPRECIATION)				COST BASIS OF INVESTMENTS

Core Bond		$	6,476		$	(1,025	)		$	5,451			$	248,186

Fixed Income			30,238			(11,688	)			18,550				921,541

High Yield Fixed Income			114,936			(292,805	)			(177,869	)			3,530,824

Short Bond			8,500			(1,690	)			6,810				406,311

Short-Intermediate U.S. Government			180			(2	)			178				77,806

Tax-Advantaged Ultra-Short Fixed Income			31,727			(2,967	)			28,760				4,639,453

Ultra-Short Fixed Income			27,805			(747	)			27,058				3,325,317

U.S. Government			121			(5	)			116				55,600

Transactions in capital shares for the six months ended September 30, 2020, were as follows:

Transactions in capital shares for the fiscal year ended March 31, 2020, were as follows:

Transactions in affiliated investments for the six months ended September 30, 2020, were as follows:


Amounts in thousands except shares	AFFILIATE	VALUE, BEGINNING OF PERIOD			PURCHASES			SALES PROCEEDS			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)				NET REALIZED GAINS ) (LOSSES)			DIVIDEND INCOME			VALUE, END OF PERIOD			SHARES, END OF PERIOD

	Northern Institutional
	Funds -
	U.S. Government
	Portfolio (Shares)		$	5,263		$	62,548		$	67,032		$	–			$	–		$	4		$	779		778,744
	Total		$	7,566		$	62,548		$	69,374		$	(18	)		$	57		$	25		$	779		778,744

	Northern Institutional
Tax-Advantaged	Funds -
Ultra-Short Fixed	U.S. Government
Income	Portfolio (Shares)			177,309			1,701,315			1,829,756			–				–			82			48,868		48,867,972

	Northern Institutional
	Funds -
Ultra-Short Fixed	U.S. Government
Income	Portfolio (Shares)			74,350			1,401,999			1,273,522			–				–			69			202,827		202,827,361

	FlexShares^®Disciplined
	Duration MBS Index
U.S. Government	Fund			1,452			–			1,476			(12	)			36			13			—		—

	Northern Institutional

	Funds -
	U.S. Government
	Portfolio (Shares)			1,704			47,535			48,855			–				–			2			384		384,334

	Total		$	3,156		$	47,535		$	50,331		$	(12	)		$	36		$	15		$	384		384,334

10. DERIVATIVE INSTRUMENTS

Information concerning the types of derivatives in which the Funds invest, the objectives for using them and their related risks can be found in Note 2.


		AMOUNT OF REALIZED GAIN (LOSS) ON DERIVATIVE CONTRACTS
Amounts in thousands	CONTRACT TYPE	STATEMENTS OF OPERATIONS LOCATION	VALUE

Core Bond	Interest rate contracts	Net realized gains (losses) on futures contracts		$39

Fixed Income	Interest rate contracts	Net realized gains (losses) on futures contracts		80

Short-Intermediate U.S. Government	Interest rate contracts	Net realized gains (losses) on futures contracts		57

U.S. Government	Interest rate contracts	Net realized gains (losses) on futures contracts		54
		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVE CONTRACTS
Amounts in thousands	CONTRACT TYPE	STATEMENTS OF OPERATIONS LOCATION	VALUE
Core Bond	Interest rate contracts	Net change in unrealized appreciation (depreciation) on futures contracts		$(32)
Fixed Income	Interest rate contracts	Net change in unrealized appreciation (depreciation) on futures contracts		(65)
Short-Intermediate U.S. Government	Interest rate contracts	Net change in unrealized appreciation (depreciation) on futures contracts		(28)
U.S. Government	Interest rate contracts	Net change in unrealized appreciation (depreciation) on futures contracts		(26)

Volume of derivative activity for the six months ended September 30, 2020*:


	INTEREST RATE CONTRACTS
	NUMBER OF TRADES	AVERAGE NOTIONAL AMOUNT**

Short-Intermediate U.S. Government	2	$3,892


	INTEREST RATE CONTRACTS
	NUMBER OF TRADES	AVERAGE NOTIONAL AMOUNT**

U.S. Government	2	$3,641

*	Activity for the period is measured by number of trades during the period and average notional amount for futures interest rate contracts.

**	Amounts in thousands.

11. INDEMNIFICATIONS AND WARRANTIES

12. LIBOR TRANSITION

13. CORONAVIRUS (COVID-19) PANDEMIC

adversely affect the value, volatility and liquidity of dividend and interest paying securities. In the event of a pandemic or an outbreak, there can be no assurance that the Funds and their service providers will be able to maintain normal business operations for an extended period of time or will not lose the services of key personnel on a temporary or long-term basis due to illness or other reasons, and could otherwise disrupt the ability of the Funds’ service providers to perform essential services. Certain economic and market conditions arising out of a pandemic or outbreak could result in a Fund’s inability to achieve its investment objectives, cause the postponement of reconstitution or rebalance dates for benchmark indices, adversely affect the prices and liquidity of the securities and other instruments in which a Fund invests, negatively impact a Fund’s performance, and cause losses on your investment in a Fund. Management is monitoring the development of the pandemic, which was ongoing as of the date of the financial statements, and is evaluating its impact on the financial position and operating results of the Funds.

14. SUBSEQUENT EVENTS

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, if any, including redemption fees on certain exchanges and redemptions in the High Yield Fixed Income Fund; and (2) ongoing costs, including management fees and other fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period, April 1, 2020 through September 30, 2020.

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), redemption fees, or exchange fees or other costs such as advisory fees related to affiliated money market fund investments, but shareholders of other funds may incur such costs. For example, the information does not reflect redemption fees (See page 102), if any, in the High Yield Fixed Income Fund. If these fees were included, your costs would have been higher. The information also does not reflect reimbursements of advisory fees incurred in connection with the investment of uninvested cash in affiliated money market funds (See page 105), which may result in different expense ratios in the Financial Highlights. Therefore, the hypothetical information is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.


CORE BOND
SHARES	EXPENSE RATIO	BEGINNING ACCOUNT VALUE 4/1/2020	ENDING ACCOUNT VALUE 9/30/2020	EXPENSES PAID* 4/1/2020- 9/30/2020
Actual	0.41%	$1,000.00	$1,056.90	$2.11

Hypothetical	0.41%	$1,000.00	$1,022.95	$2.07

FIXED INCOME
SHARES	EXPENSE RATIO	BEGINNING ACCOUNT VALUE 4/1/2020	ENDING ACCOUNT VALUE 9/30/2020	EXPENSES PAID* 4/1/2020- 9/30/2020
Actual	0.45%	$1,000.00	$1,068.20	$2.33

Hypothetical	0.45%	$1,000.00	$1,022.75	$2.28

HIGH YIELD FIXED INCOME
SHARES	EXPENSE RATIO	BEGINNING ACCOUNT VALUE 4/1/2020	ENDING ACCOUNT VALUE 9/30/2020	EXPENSES PAID* 4/1/2020- 9/30/2020
Actual	0.78%	$1,000.00	$1,173.00	$4.24

Hypothetical	0.78%	$1,000.00	$1,021.10	$3.94

SHORT BOND
SHARES	EXPENSE RATIO	BEGINNING ACCOUNT VALUE 4/1/2020	ENDING ACCOUNT VALUE 9/30/2020	EXPENSES PAID* 4/1/2020- 9/30/2020
Actual	0.40%	$1,000.00	$1,037.30	$2.04

Hypothetical	0.40%	$1,000.00	$1,023.00	$2.02

SHORT-INTERMEDIATE U.S. GOVERNMENT
SHARES	EXPENSE RATIO	BEGINNING ACCOUNT VALUE 4/1/2020	ENDING ACCOUNT VALUE 9/30/2020	EXPENSES PAID* 4/1/2020- 9/30/2020
Actual	0.41%	$1,000.00	$1,006.10	$2.06

Hypothetical	0.41%	$1,000.00	$1,022.95	$2.07

TAX-ADVANTAGED ULTRA-SHORT FIXED INCOME
SHARES	EXPENSE RATIO	BEGINNING ACCOUNT VALUE 4/1/2020	ENDING ACCOUNT VALUE 9/30/2020	EXPENSES PAID* 4/1/2020- 9/30/2020
Actual	0.25%	$1,000.00	$1,014.60	$1.26

Hypothetical	0.25%	$1,000.00	$1,023.75	$1.26

Expenses are calculated using the Funds’ annualized expense ratios, which represent ongoing expenses as a percentage of net assets for the six months ended September 30, 2020. Expenses are equal to the Funds’ annualized expense ratio multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).

In evaluating the Management Agreement, the Trustees reviewed the Funds’ Management Agreement. The Trustees also reviewed Northern’s reports and presentations and discussed with their independent counsel the information that had been provided to them at the February and April Board Meetings and at the Annual Contract Meeting, as well as their interactions with Northern throughout the year and in past years at various meetings. The Trustees noted that the evaluation process with respect to Northern and the Management Agreement was an ongoing one throughout the year. The materials reviewed by the Trustees included, without limitation: (i) information on the investment performance of the Funds in comparison to other mutual funds and benchmark indices; (ii) compliance reports; (iii) information about Northern’s and its affiliates’ risk management processes and stress testing, credit research, business continuity and cyber-security programs; (iv) fees charged to and expenses borne by the Funds; (v) Northern’s profitability and costs and compensation paid to affiliates of Northern; (vi) the qualifications

of Northern and its affiliates to provide services to the Funds; (vii) information regarding purchases and redemptions of the Funds’ shares; (viii) policies adopted by Northern regarding brokerage, including soft dollars, trade allocations and other matters; and (ix) the nature of the Funds’ shareholders. The Trustees also considered the nature, quality and extent of non-advisory services provided to the Funds by Northern’s affiliates.

Nature, Extent and Quality of Services

the Funds. The Trustees considered the strength of Northern’s and its affiliates’ risk management processes, including with respect to the Funds’ regular reporting on stress testing. The Trustees also reviewed the compliance and administrative services provided to the Funds by Northern and its affiliates, including its oversight of the Funds’ day-to-day operations and fund accounting. The Trustees also noted that on a regular basis they received and reviewed information from the Trust’s Chief Compliance Officer regarding the Funds’ compliance policies and procedures pursuant to Rule 38a-1 under the 1940 Act. They also considered the quality of Northern’s compliance oversight program with respect to all of the Funds’ service providers and the continued involvement of Northern’s internal audit group in reviewing operations that support the Funds, as well as Northern’s responses to any compliance or operational issues raised during the year. The Trustees also took into account that the scope of services provided by Northern, and the undertakings required of Northern in connection with those services, including maintaining and monitoring their own and the Funds’ compliance programs, had expanded over time as a result of regulatory, market and other developments. They also considered Northern’s preparations with respect to the increased reporting requirements and liquidity risk management program required by SEC regulations.

Performance

∎

the U.S. Government Fund, which was in the fourth quintile for the one-, three- and five-year periods; and

∎

the Tax-Advantaged Ultra-Short Fixed Income Fund, which was in the fourth quintile for the one- and five-year periods and in the fifth quintile for the three-year period.

They also considered that all of the Funds underperformed their respective benchmarks for the one-, three- and five-year periods ended March 31, 2020, except for the Tax-Advantaged Ultra-Short Fixed Income Fund, which outperformed its benchmark for the one-, three- and five-year periods.

They also considered that none of the Funds was in the least desirable less return, more expenses quadrant of its Broadridge Bubble Chart.

The Trustees also took into account senior management’s and portfolio managers’ discussion of the Funds’ performance and explanations for differences in investment parameters of certain Funds and their peers. They also considered the Funds’ investment performance relative to the investor base the Funds are intended to serve. The Trustees noted the potential impact on performance of the relative risk parameters of the different Funds. Specifically, they took into consideration that Northern’s more risk averse investment strategies may cause certain Funds to underperform against their peers during certain market environments. In addition, the Trustees reviewed the consistency of Northern’s investment approach for the Funds and processes to address performance issues. The Trustees expected and believed also that Northern was appropriately monitoring underperforming Funds. They noted that the quarterly in-depth performance reviews had assisted them in that regard.

Fee Rates, Costs of Services and Profitability

The Trustees also evaluated the Funds’ contractual management fee rates and the net (after expense reimbursements) management fees paid by the Funds; the Funds’ total operating expense ratios; Northern’s contractual commitments to continue expense reimbursements for at least one year with respect to the Funds; and whether a consistent methodology was in place for determining the fees and expenses of the Funds. They also noted certain other actions taken by Northern in past years to reduce Fund expenses. The Trustees also considered that, for those Funds that were sweeping uninvested cash into a Northern-affiliated money market Portfolio, Northern was in each case rebating back to the investing Fund all of the advisory fees received by Northern, if any, of the applicable money market Portfolio.

∎

actual management fees were equal to or lower than the medians of their respective peer groups and universes, with the exception of the High Yield Fixed Income Fund, whose actual management fees were higher than its respective group and universe medians, the Fixed Income Fund, Tax-Advantaged Ultra-Short Fixed Income Fund and Ultra-Short Fixed Income Fund, whose actual management fees were higher than their respective expense universe medians; and

∎

all of the Funds’ actual expenses, after reimbursement and fee waivers, were in the first quintile of their respective peer group and peer universe, with the exception of the High Yield Fixed Income Fund, which was in the second quintile of its peer group and universe.

The Trustees took into account Northern’s discussion of the Funds’ expenses, and that Northern had reimbursed expenses for most of the Funds. They also reviewed information comparing the Funds’ fee rates to the fee rates charged by Northern to similarly managed, private institutional accounts, if any. They noted that there were not applicable comparisons for every Fund. For Funds where there were applicable comparisons, the Trustees considered the difference in, and level of complexity of, services provided by Northern with regard to the private institutional accounts, as well as regulatory, operational and compliance differences, board and committee support provided by Northern to the Funds and other differences. The Trustees considered the fee comparisons in light

of the differences in management of these different kinds of accounts. These comparisons assisted the Trustees in evaluating the reasonableness of the management fees paid by the Funds.

Economies of Scale

The Trustees considered the extent to which economies of scale would be realized as the Funds grow and whether fee levels reflected these economies of scale for the benefit of shareholders. They took into account management’s discussion of the Funds’ management fee structure and considered Northern’s view that the Funds were sharing in economies of scale through the level at which the Funds’ management fees are set and through Northern’s contractual expense reimbursements that limit the expenses for the Funds to specific levels. The Trustees considered that the Funds had breakpoints, thus ensuring that as these Funds grew, shareholders would receive reduced fee rates. Materials provided to the Trustees indicated that the High Yield Fixed Income Fund, Ultra-Short Fixed Income Fund and Tax-Advantaged Ultra-Short Fixed Income Fund had the specified asset levels as of January 31, 2020 at which one or more breakpoints on their management fees

were triggered. The Trustees determined, on the basis of the foregoing, that the Funds’ current management fee structures were reasonable.

Other Benefits to Northern

After deliberation, the Trustees concluded with respect to each of the Funds that the management fee to be paid by each of the Funds was reasonable in light of the services provided by Northern, its costs, the Funds’ asset levels, and other factors including those discussed above and that the renewal of the Management Agreement should be approved.

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of Northern Funds shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from Northern Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website (northerntrust.com) and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you have already elected to receive your shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from Northern Funds electronically at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, if your account is held directly with Northern Funds, by calling the Northern Funds Center at 800-595-9111 or by sending an e-mail request to: northern-funds@ntrs.com.

You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, please contact your financial intermediary to continue receiving paper copies of your shareholder reports. If you invest directly with Northern Funds, you can inform Northern Funds that you wish to continue receiving paper copies of your shareholder reports by calling the Northern Funds Center at 800-595-9111 or by sending an e-mail request to: northern-funds@ntrs.com. Your election to receive reports in paper will apply to all Northern Funds you hold in your account at the financial intermediary or through an account with Northern Funds. You must provide separate instructions to each of your financial intermediaries.


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 1.7%

Auto Floor Plan – 0.0%

Ford Credit Floorplan Master Owner Trust, Series 2018-2, Class A

3.17%, 3/15/25		$50		$53

Ford Credit Floorplan Master Owner Trust, Series 2018-3, Class A1

3.52%, 10/15/23		200		207

Ford Credit Floorplan Master Owner Trust, Series 2018-4, Class A

4.06%, 11/15/30		100		114

Ford Credit Floorplan Master Owner Trust, Series 2019-1, Class A

2.84%, 3/15/24		200		207

Ford Credit Floorplan Master Owner Trust, Series 2019-2, Class A

3.06%, 4/15/26		150		162

Ford Credit Floorplan Master Owner Trust, Series 2019-4, Class A

2.44%, 9/15/26		400		425


				1,168


Automobile – 0.2%

Ally Auto Receivables Trust, Series 2018-3, Class A4

3.12%, 7/17/23		100		103

Ally Auto Receivables Trust, Series 2019-4, Class A3

1.84%, 6/17/24		100		102

Ally Auto Receivables Trust, Series 2019-4, Class A4

1.92%, 1/15/25		100		103

AmeriCredit Automobile Receivables Trust, Series 2017-2, Class D

3.42%, 4/18/23		100		103

AmeriCredit Automobile Receivables Trust, Series 2018-3, Class B

3.58%, 10/18/24		100		104

AmeriCredit Automobile Receivables Trust, Series 2018-3, Class C

3.74%, 10/18/24		100		106

BMW Vehicle Owner Trust, Series 2020-A, Class A3

0.48%, 10/25/24		100		100

Capital One Prime Auto Receivables Trust, Series 2020-1, Class A3

1.60%, 11/15/24		100		102


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 1.7% continued

Automobile – 0.2% continued

Capital One Prime Auto Receivables Trust, Series 2020-1, Class A4

1.63%, 8/15/25		$100		$103

CarMax Auto Owner Trust, Series 2017-4, Class A4

2.33%, 5/15/23		100		102

Carmax Auto Owner Trust, Series 2018-4, Class A4

3.48%, 2/15/24		500		528

CarMax Auto Owner Trust, Series 2019-2, Class A3

2.68%, 3/15/24		200		206

CarMax Auto Owner Trust, Series 2019-2, Class A4

2.77%, 12/16/24		200		210

CarMax Auto Owner Trust, Series 2019-3, Class A3

2.18%, 8/15/24		100		103

CarMax Auto Owner Trust, Series 2019-3, Class A4

2.30%, 4/15/25		100		105

CarMax Auto Owner Trust, Series 2020-1, Class A3

1.89%, 12/16/24		150		154

CarMax Auto Owner Trust, Series 2020-2, Class A3

1.70%, 11/15/24		285		292

Ford Credit Auto Lease Trust, Series 2019-B, Class A4

2.27%, 11/15/22		100		102

Ford Credit Auto Owner Trust, Series 2017-C, Class B

2.35%, 4/15/23		100		101

Ford Credit Auto Owner Trust, Series 2017-C, Class C

2.50%, 5/15/24		100		101

Ford Credit Auto Owner Trust, Series 2019-B, Class A4

2.24%, 10/15/24		100		104

GM Financial Automobile Leasing Trust, Series 2020-1, Class A3 1.67%, 12/20/22		100		101

GM Financial Automobile Leasing Trust, Series 2020-1, Class A4

1.70%, 12/20/23		100		102


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 1.7% continued

Automobile – 0.2% continued

GM Financial Automobile Leasing Trust, Series 2020-3, Class A3

0.45%, 8/21/23⁽¹⁾		$100		$100

GM Financial Consumer Automobile Receivables Trust, Series 2019-2, Class A4

2.71%, 8/16/24		100		105

GM Financial Consumer Automobile Receivables Trust, Series 2019-3, Class A3

2.18%, 4/16/24		100		102

GM Financial Consumer Automobile Receivables Trust, Series 2019-4, Class A3

1.75%, 7/16/24		100		102

GM Financial Consumer Automobile Receivables Trust, Series 2020-3, Class A3

0.45%, 4/16/25		200		200

Honda Auto Receivables Owner Trust, Series 2018-4, Class A4

3.30%, 7/15/25		100		105

Honda Auto Receivables Owner Trust, Series 2019-2, Class A3

2.52%, 6/21/23		200		205

Honda Auto Receivables Owner Trust, Series 2019-3, Class A4

1.85%, 8/15/25		100		103

Honda Auto Receivables Owner Trust, Series 2020-3, Class A3

0.37%, 10/18/24		150		150

Mercedes-Benz Auto Lease Trust, Series 2019-B, Class A3

2.00%, 10/17/22		100		102

Mercedes-Benz Auto Lease Trust, Series 2020-B, Class A3

0.40%, 11/15/23⁽¹⁾		150		150

Mercedes-Benz Auto Receivables Trust, Series 2019-1, Class A3

1.94%, 3/15/24		100		102

Nissan Auto Lease Trust, Series 2019-B, Class A4

2.29%, 4/15/25		100		102

Nissan Auto Lease Trust, Series 2020-B, Class A3

0.43%, 10/16/23⁽¹⁾		150		150


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 1.7% continued

Automobile – 0.2% continued

Nissan Auto Receivables Owner Trust, Series 2019-B, Class A3

2.50%, 11/15/23		$100		$102

Nissan Auto Receivables Owner Trust, Series 2019-C, Class A4

1.95%, 5/15/26		100		104

Nissan Auto Receivables Owner Trust, Series 2020-B, Class A3

0.55%, 7/15/24		250		251

Santander Drive Auto Receivables Trust, Series 2018-3, Class D

4.07%, 8/15/24		50		52

Santander Drive Auto Receivables Trust, Series 2019-1, Class D

3.65%, 4/15/25		50		52

Santander Drive Auto Receivables Trust, Series 2020-3, Class A3

0.52%, 7/15/24		100		100

Santander Drive Auto Receivables Trust, Series 2020-3, Class B

0.69%, 3/17/25		100		100

Santander Drive Auto Receivables Trust, Series 2020-3, Class C

1.12%, 1/15/26		100		100

Santander Drive Auto Receivables Trust, Series 2020-3, Class D

1.64%, 11/16/26		75		75

Toyota Auto Receivables Owner Trust, Series 2017-D, Class A4

2.12%, 2/15/23		100		101

Toyota Auto Receivables Owner Trust, Series 2019-B, Class A3

2.57%, 8/15/23		100		103

Toyota Auto Receivables Owner Trust, Series 2019-D, Class A4

1.99%, 2/18/25		100		104

Toyota Auto Receivables Owner Trust, Series 2020-A, Class A3

1.66%, 5/15/24		100		102

USAA Auto Owner Trust, Series 2019-1, Class A4

2.14%, 11/15/24		50		51

World Omni Auto Receivables Trust, Series 2019-C, Class A3

1.96%, 12/16/24		100		103


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 1.7% continued

Automobile – 0.2% continued
World Omni Auto Receivables Trust, Series 2019-C, Class A4
2.03%, 12/15/25		$100		$104
World Omni Auto Receivables Trust, Series 2020-A, Class A3
1.70%, 1/17/23		100		102
World Omni Auto Receivables Trust, Series 2020-C, Class A3
0.48%, 11/17/25		200		200
World Omni Automobile Lease Securitization Trust, Series 2019-B, Class A3
2.03%, 11/15/22		100		102


				7,023

Commercial Mortgage-Backed Securities – 1.3%
Banc of America Commercial Mortgage Trust, Series 2016-UB10, Class A4
3.17%, 7/15/49		300		328
BANK, Series 2017-BNK7, Class A5
3.44%, 9/15/60		250		284
BANK, Series 2017-BNK9, Class A4
3.54%, 11/15/54		250		285
BANK, Series 2018-BN10, Class A5
3.69%, 2/15/61		100		115
BANK, Series 2018-BN11, Class A3
4.05%, 3/15/61		200		235
BANK, Series 2018-BN12, Class A4
4.26%, 5/15/61		300		355
BANK, Series 2018-BN13, Class A5
4.22%, 8/15/61		100		118
BANK, Series 2018-BN14, Class A2
4.13%, 9/15/60		100		108
BANK, Series 2018-BN14, Class A4
4.23%, 9/15/60		200		238
BANK, Series 2018-BN15, Class A4
4.41%, 11/15/61		300		360
BANK, Series 2019-BN18, Class A3
3.33%, 5/15/62		200		227
BANK, Series 2019-BN19, Class A3
3.18%, 8/15/61		300		340
BANK, Series 2019-BN20, Class A3
3.01%, 9/15/62		250		280


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 1.7% continued

Commercial Mortgage-Backed Securities – 1.3% continued
BANK, Series 2020-BN25, Class A5
2.65%, 1/15/63		$200		$219
BANK, Series 2020-BN26, Class A4
2.40%, 3/15/63		400		429
BANK, Series 2020-BN27, Class A5
2.14%, 4/15/63		1,000		1,050
BANK, Series 2020-BN28, Class A4
1.84%, 3/15/63		500		513
Barclays Commercial Mortgage Trust, Series 2019-C3, Class A4
3.58%, 5/15/52		200		231
Barclays Commercial Mortgage Trust, Series 2019-C4, Class A5
2.92%, 8/15/52		100		111
BBCMS Mortgage Trust, Series 2018-C2, Class A5
4.31%, 12/15/51		150		179
BBCMS Mortgage Trust, Series 2020-C6, Class A4
2.64%, 2/15/53		200		219
Benchmark Mortgage Trust, Series 2018-B1, Class A2
3.57%, 1/15/51		250		260
Benchmark Mortgage Trust, Series 2018-B2, Class A5
3.88%, 2/15/51		150		175
Benchmark Mortgage Trust, Series 2018-B3, Class A2
3.85%, 4/10/51		500		531
Benchmark Mortgage Trust, Series 2018-B3, Class A5
4.03%, 4/10/51		100		118
Benchmark Mortgage Trust, Series 2018-B4, Class A2
3.98%, 7/15/51		100		107
Benchmark Mortgage Trust, Series 2018-B5, Class A2
4.08%, 7/15/51		100		108
Benchmark Mortgage Trust, Series 2018-B5, Class A4
4.21%, 7/15/51		200		239
Benchmark Mortgage Trust, Series 2018-B6, Class A2
4.20%, 10/10/51		400		429


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 1.7% continued

Commercial Mortgage-Backed Securities – 1.3% continued
Benchmark Mortgage Trust, Series 2018-B7, Class A2
4.38%, 5/15/53		$300		$326
Benchmark Mortgage Trust, Series 2018-B7, Class A4
4.51%, 5/15/53		783		956
Benchmark Mortgage Trust, Series 2018-B8, Class A5
4.23%, 1/15/52		100		120
Benchmark Mortgage Trust, Series 2019-B12, Class A5
3.12%, 8/15/52		125		141
Benchmark Mortgage Trust, Series 2020-B16, Class A5
2.73%, 2/15/53		200		220
Benchmark Mortgage Trust, Series 2020-B17, Class A5
2.29%, 3/15/53		200		212
Benchmark Mortgage Trust, Series 2020-B18, Class A5
1.93%, 7/15/53		500		518
Benchmark Mortgage Trust, Series 2020-B19, Class A5
1.85%, 9/15/53		500		514
Benchmark Mortgage Trust, Series 2020-IG1, Class A3
2.69%, 9/15/43		100		110
CD Mortgage Trust, Series 2017-CD4, Class A4
3.51%, 5/10/50		250		282
CD Mortgage Trust, Series 2017-CD5, Class A4
3.43%, 8/15/50		250		282
CD Mortgage Trust, Series 2017-CD6, Class A5
3.46%, 11/13/50		200		226
CD Mortgage Trust, Series 2018-CD7, Class A4
4.28%, 8/15/51		200		239
CD Mortgage Trust, Series 2019-CD8, Class A4
2.91%, 8/15/57		150		166
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3
3.87%, 1/10/48		300		336


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 1.7% continued

Commercial Mortgage-Backed Securities – 1.3% continued
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A4
3.28%, 5/10/58		$250		$271
CGMS Commercial Mortgage Trust, Series 2017-B1, Class A4
3.46%, 8/15/50		250		283
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class A4
3.02%, 9/10/45		383		392
Citigroup Commercial Mortgage Trust, Series 2013-GC15, Class A4
4.37%, 9/10/46		350		383
Citigroup Commercial Mortgage Trust, Series 2013-GC15, Class AS
4.65%, 9/10/46		100		109
Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class A4
3.64%, 10/10/47		100		109
Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class A5
3.14%, 2/10/48		200		216
Citigroup Commercial Mortgage Trust, Series 2015-P1, Class A5
3.72%, 9/15/48		200		223
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A4
3.21%, 5/10/49		250		276
Citigroup Commercial Mortgage Trust, Series 2016-C3, Class A4
3.15%, 11/15/49		150		166
Citigroup Commercial Mortgage Trust, Series 2016-GC36, Class A5
3.62%, 2/10/49		300		336
Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4
3.31%, 4/10/49		250		276
Citigroup Commercial Mortgage Trust, Series 2016-P3, Class A4
3.33%, 4/15/49		250		275
Citigroup Commercial Mortgage Trust, Series 2017-P8, Class A4
3.47%, 9/15/50		250		284
Citigroup Commercial Mortgage Trust, Series 2018-B2, Class A4
4.01%, 3/10/51		100		116


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 1.7% continued

Commercial Mortgage-Backed Securities – 1.3% continued
Citigroup Commercial Mortgage Trust, Series 2018-C5, Class A4
4.23%, 6/10/51		$200		$236
Citigroup Commercial Mortgage Trust, Series 2018-C6, Class A4
4.41%, 11/10/51		200		240
Commercial Mortgage Trust, Series 2012-CR2, Class A4
3.15%, 8/15/45		335		346
Commercial Mortgage Trust, Series 2013-CR10, Class A4
4.21%, 8/10/46		100		108
Commercial Mortgage Trust, Series 2013-CR12, Class A4
4.05%, 10/10/46		300		326
Commercial Mortgage Trust, Series 2013-LC6, Class A4
2.94%, 1/10/46		120		125
Commercial Mortgage Trust, Series 2014-CR14, Class A3
3.96%, 2/10/47		420		452
Commercial Mortgage Trust, Series 2014-CR19, Class A5
3.80%, 8/10/47		300		329
Commercial Mortgage Trust, Series 2014-UBS5, Class A4
3.84%, 9/10/47		500		550
Commercial Mortgage Trust, Series 2014-UBS6, Class A5
3.64%, 12/10/47		250		274
Commercial Mortgage Trust, Series 2015-CR24, Class A5
3.70%, 8/10/48		500		559
Commercial Mortgage Trust, Series 2015-DC1, Class A5
3.35%, 2/10/48		200		218
Commercial Mortgage Trust, Series 2015-LC19, Class A4
3.18%, 2/10/48		500		542
Commercial Mortgage Trust, Series 2015-PC1, Class A5
3.90%, 7/10/50		200		222
Commercial Mortgage Trust, Series 2018-COR3, Class A3
4.23%, 5/10/51		200		238


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 1.7% continued

Commercial Mortgage-Backed Securities – 1.3% continued
CSAIL Commercial Mortgage Trust, Series 2015-C1, Class A4
3.51%, 4/15/50		$225		$246
CSAIL Commercial Mortgage Trust, Series 2015-C3, Class A4
3.72%, 8/15/48		500		551
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class A5
3.09%, 1/15/49		100		109
CSAIL Commercial Mortgage Trust, Series 2016-C7, Class A5
3.50%, 11/15/49		200		222
CSAIL Commercial Mortgage Trust, Series 2018-C14, Class A4
4.42%, 11/15/51		300		360
CSAIL Commercial Mortgage Trust, Series 2018-CX11, Class A5
4.03%, 4/15/51		100		117
CSAIL Commercial Mortgage Trust, Series 2020-C19, Class A3
2.56%, 3/15/53		200		215
DBJPM Mortgage Trust, Series 2017-C6, Class A5
3.33%, 6/10/50		250		281
DBJPM Mortgage Trust, Series 2020-C9, Class A5
1.93%, 9/15/53		100		104
GS Mortgage Securities Corp. II, Series 2013-GC10, Class A5
2.94%, 2/10/46		100		104
GS Mortgage Securities Trust, Series 2012-GCJ9, Class A3
2.77%, 11/10/45		171		176
GS Mortgage Securities Trust, Series 2013-GC12, Class A4
3.14%, 6/10/46		100		104
GS Mortgage Securities Trust, Series 2013-GC13, Class A5
4.19%, 7/10/46⁽²⁾⁽³⁾		200		214
GS Mortgage Securities Trust, Series 2013-GC14, Class A5
4.24%, 8/10/46		150		162
GS Mortgage Securities Trust, Series 2014-GC20, Class A5
4.00%, 4/10/47		100		109


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 1.7% continued

Commercial Mortgage-Backed Securities – 1.3% continued
GS Mortgage Securities Trust, Series 2014-GC24, Class A5
3.93%, 9/10/47		$300		$329
GS Mortgage Securities Trust, Series 2014-GC26, Class A5
3.63%, 11/10/47		250		273
GS Mortgage Securities Trust, Series 2015-GC30, Class A4
3.38%, 5/10/50		200		219
GS Mortgage Securities Trust, Series 2016-GS2, Class A4
3.05%, 5/10/49		100		108
GS Mortgage Securities Trust, Series 2016-GS3, Class A4
2.85%, 10/10/49		200		217
GS Mortgage Securities Trust, Series 2017-GS7, Class A4
3.43%, 8/10/50		250		283
GS Mortgage Securities Trust, Series 2017-GS8, Class A4
3.47%, 11/10/50		200		228
GS Mortgage Securities Trust, Series 2018-GS9, Class A4
3.99%, 3/10/51		150		175
GS Mortgage Securities Trust, Series 2019-GC40, Class A4
3.16%, 7/10/52		150		169
GS Mortgage Securities Trust, Series 2020-GC45, Class A5
2.91%, 2/13/53		300		336
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class AS
3.37%, 12/15/47		50		52
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class A4
4.00%, 4/15/47		500		547
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-C20, Class A5
3.80%, 7/15/47		500		546
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-C24, Class A5
3.64%, 11/15/47		200		219


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 1.7% continued

Commercial Mortgage-Backed Securities – 1.3% continued
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-C25, Class A5
3.67%, 11/15/47		$150		$165
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-C30, Class A5
3.82%, 7/15/48		200		225
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-C2, Class A4
3.14%, 6/15/49		100		110
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-C4, Class A3
3.14%, 12/15/49		150		166
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class A5
2.87%, 8/15/49		200		218
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class AS
3.14%, 8/15/49		100		108
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2017-C5, Class A5
3.69%, 3/15/50		300		342
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2017-C7, Class A5
3.41%, 10/15/50		200		227
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2017-JP5, Class A5
3.72%, 3/15/50		350		400
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2017-JP7, Class A5
3.45%, 9/15/50		100		113
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-C8, Class A2
4.03%, 6/15/51		500		532


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 1.7% continued

Commercial Mortgage-Backed Securities – 1.3% continued
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-COR5, Class A4
3.39%, 6/13/52		$200		$228
JPMDB Commercial Mortgage Securities Trust, Series 2020-COR7, Class A5
2.18%, 5/13/53		1,000		1,051
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4
4.30%, 8/15/46⁽²⁾⁽³⁾		200		215
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class A4
4.26%, 10/15/46		825		891
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A4
3.10%, 5/15/46		200		209
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A5
4.06%, 2/15/47		200		218
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class A5
3.53%, 10/15/48		100		111
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C29, Class A4
3.33%, 5/15/49		250		277
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class A5
2.86%, 9/15/49		100		108
Morgan Stanley Capital I Trust, Series 2018-H3, Class A5
4.18%, 7/15/51		150		178
Morgan Stanley Capital I Trust, Series 2018-H4, Class A4
4.31%, 12/15/51		100		119
Morgan Stanley Capital I Trust, Series 2018-L1, Class A4
4.41%, 10/15/51		200		240


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 1.7% continued

Commercial Mortgage-Backed Securities – 1.3% continued
Morgan Stanley Capital I Trust, Series 2019-H7, Class A4
3.26%, 7/15/52		$250		$282
Morgan Stanley Capital I Trust, Series 2020-HR8, Class A4
2.04%, 7/15/53		500		519
Morgan Stanley Capital I Trust, Series 2020-L4, Class A3
2.70%, 2/15/53		200		219
Morgan Stanley Capital I, Series 2017-HR2, Class A4
3.59%, 12/15/50		200		227
UBS Commercial Mortgage Trust, Series 2017-C1, Class A4
3.46%, 6/15/50		250		278
UBS Commercial Mortgage Trust, Series 2017-C2, Class A4
3.49%, 8/15/50		250		282
UBS Commercial Mortgage Trust, Series 2017-C3, Class A4
3.43%, 8/15/50		175		197
UBS Commercial Mortgage Trust, Series 2017-C6, Class A5
3.58%, 12/15/50		100		114
UBS Commercial Mortgage Trust, Series 2017-C7, Class A4
3.68%, 12/15/50		150		173
UBS Commercial Mortgage Trust, Series 2018-C10, Class A4
4.31%, 5/15/51		200		235
UBS Commercial Mortgage Trust, Series 2018-C11, Class A5
4.24%, 6/15/51		150		176
UBS Commercial Mortgage Trust, Series 2018-C13, Class A4
4.33%, 10/15/51		200		235
UBS Commercial Mortgage Trust, Series 2018-C14, Class A4
4.45%, 12/15/51		100		121
UBS Commercial Mortgage Trust, Series 2018-C8, Class A4
3.98%, 2/15/51		150		174
UBS Commercial Mortgage Trust, Series 2018-C9, Class A4
4.12%, 3/15/51		100		116


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 1.7% continued

Commercial Mortgage-Backed Securities – 1.3% continued
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A4
3.24%, 4/10/46		$250		$262
Wells Fargo Commercial Mortgage Trust, Series 2012-LC5, Class A3
2.92%, 10/15/45		132		137
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A4
3.17%, 2/15/48		100		108
Wells Fargo Commercial Mortgage Trust, Series 2015-C30, Class A4
3.66%, 9/15/58		250		279
Wells Fargo Commercial Mortgage Trust, Series 2015-LC20, Class A5
3.18%, 4/15/50		200		216
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class A5
3.77%, 7/15/58		300		334
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4, Class A4
3.72%, 12/15/48		300		336
Wells Fargo Commercial Mortgage Trust, Series 2016-C32, Class A4
3.56%, 1/15/59		200		222
Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4
3.43%, 3/15/59		250		278
Wells Fargo Commercial Mortgage Trust, Series 2016-C35, Class A4
2.93%, 7/15/48		100		108
Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class A4
3.07%, 11/15/59		250		274
Wells Fargo Commercial Mortgage Trust, Series 2016-LC24, Class A4
2.94%, 10/15/49		200		218
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A4
2.92%, 11/15/49		150		162
Wells Fargo Commercial Mortgage Trust, Series 2017-C39, Class A5
3.42%, 9/15/50		250		283
Wells Fargo Commercial Mortgage Trust, Series 2017-C40, Class A4
3.58%, 10/15/50		100		114


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 1.7% continued

Commercial Mortgage-Backed Securities – 1.3% continued
Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class A4
3.59%, 12/15/50		$100		$115
Wells Fargo Commercial Mortgage Trust, Series 2018-C43, Class A4
4.01%, 3/15/51		150		175
Wells Fargo Commercial Mortgage Trust, Series 2018-C44, Class A5
4.21%, 5/15/51		155		182
Wells Fargo Commercial Mortgage Trust, Series 2018-C48, Class A5
4.30%, 1/15/52		100		119
Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class A5
3.73%, 5/15/52		200		231
Wells Fargo Commercial Mortgage Trust, Series 2020-C55, Class A5
2.73%, 2/15/53		100		110
Wells Fargo Commercial Mortgage Trust, Series 2020-C56, Class A5
2.45%, 6/15/53		500		538
WFRBS Commercial Mortgage Trust, Series 2013-C12, Class AS
3.56%, 3/15/48		50		52
WFRBS Commercial Mortgage Trust, Series 2013-C12, Class ASB
2.84%, 3/15/48		205		210
WFRBS Commercial Mortgage Trust, Series 2013-C13, Class A4
3.00%, 5/15/45		500		524
WFRBS Commercial Mortgage Trust, Series 2013-C14, Class A5
3.34%, 6/15/46		150		158
WFRBS Commercial Mortgage Trust, Series 2013-C16, Class A5
4.42%, 9/15/46		250		269
WFRBS Commercial Mortgage Trust, Series 2014-C25, Class A5
3.63%, 11/15/47		250		272
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class A5

4.05%, 3/15/47		100		109


				44,288


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 1.7% continued

Credit Card – 0.2%
American Express Credit Account Master Trust, Series 2017-7, Class A 2.35%, 5/15/25		$100		$104
American Express Credit Account Master Trust, Series 2018-2, Class A 3.01%, 10/15/25		150		160
American Express Credit Account Master Trust, Series 2019-1, Class A 2.87%, 10/15/24		250		260
BA Credit Card Trust, Series 2019-A1, Class A1 1.74%, 1/15/25		200		206
Barclays Dryrock Issuance Trust, Series 2019-1, Class A 1.96%, 5/15/25		100		103
Capital One Multi-Asset Execution Trust, Series 2017-A3, Class A3 2.43%, 1/15/25		200		206
Capital One Multi-Asset Execution Trust, Series 2017-A6, Class A6 2.29%, 7/15/25		200		208
Capital One Multi-Asset Execution Trust, Series 2019-A2, Class A2 1.72%, 8/15/24		200		205
Capital One Multi-Asset Execution Trust, Series 2019-A3, Class A3 2.06%, 8/15/28		250		269
Chase Issuance Trust, Series 2012-A7, Class A7 2.16%, 9/15/24		200		207
Chase Issuance Trust, Series 2020-A1, Class A1 1.53%, 1/15/25		200		206
Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3 6.15%, 6/15/39		150		220
Citibank Credit Card Issuance Trust, Series 2016-A2, Class A2 2.19%, 11/20/23		100		102
Citibank Credit Card Issuance Trust, Series 2018-A3, Class A3 3.29%, 5/23/25		100		108
Citibank Credit Card Issuance Trust, Series 2018-A6, Class A6 3.21%, 12/7/24		150		159


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 1.7% continued

Credit Card – 0.2% continued
Citibank Credit Card Issuance Trust, Series 2018-A7, Class A7 3.96%, 10/13/30		$200		$242
Discover Card Execution Note Trust, Series 2017-A2, Class A2 2.39%, 7/15/24		150		154
Discover Card Execution Note Trust, Series 2018-A1, Class A1 3.03%, 8/15/25		200		212
Discover Card Execution Note Trust, Series 2019-A1, Class A1 3.04%, 7/15/24		200		207
Synchrony Card Funding LLC, Series 2019-A1, Class A 2.95%, 3/15/25		200		207
Synchrony Card Funding LLC, Series 2019-A2, Class A 2.34%, 6/15/25		200		206
Synchrony Card Issuance Trust, Series 2018-A1, Class A 3.38%, 9/15/24		200		206
Synchrony Credit Card Master Note Trust, Series 2017-2, Class A 2.62%, 10/15/25		100		104
Synchrony Credit Card Master Note Trust, Series 2018-2, Class A 3.47%, 5/15/26		100		107
World Financial Network Credit Card Master Trust, Series 2016-A, Class A 2.03%, 4/15/25		100		101
World Financial Network Credit Card Master Trust, Series 2019-A, Class A 3.14%, 12/15/25		125		129
World Financial Network Credit Card Master Trust, Series 2019-C, Class A 2.21%, 7/15/26		200		205


				4,803


Other – 0.0%
AEP Texas Central Transition Funding lll LLC, Series 2012-1, Class A3 2.84%, 3/1/26		100		105
CenterPoint Energy Restoration Bond Co. LLC, Series 2009-1, Class A3 4.24%, 8/15/23		48		50


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ASSET-BACKED SECURITIES - 1.7% continued

Other – 0.0% continued
CenterPoint Energy Transition Bond Co. IV LLC, Series 2012-1, Class A3
3.03%, 10/15/25		$150		$158
Entergy Texas Restoration Funding LLC, Series 2009-A, Class A3
4.38%, 11/1/23		49		51
PSNH Funding LLC 3, Series 2018-1, Class A3
3.81%, 2/1/35		100		120


				484


Total Asset-Backed Securities

(Cost $54,146)				57,766


CORPORATE BONDS – 22.8%

Advertising & Marketing – 0.0%
Interpublic Group of (The) Cos., Inc.,
4.20%, 4/15/24		150		166
Omnicom Group, Inc./Omnicom Capital, Inc.,
3.60%, 4/15/26		525		592


				758


Aerospace & Defense – 0.6%
Boeing (The) Co.,
4.51%, 5/1/23		1,000		1,054
7.95%, 8/15/24		1,400		1,672
2.85%, 10/30/24		110		111
4.88%, 5/1/25		300		326
2.25%, 6/15/26		250		243
6.13%, 2/15/33		135		160
3.30%, 3/1/35		55		52
6.63%, 2/15/38		100		120
5.88%, 2/15/40		75		85
3.50%, 3/1/45		500		441
5.81%, 5/1/50		2,000		2,420
General Dynamics Corp.,
2.25%, 11/15/22		500		518
2.13%, 8/15/26		350		376
4.25%, 4/1/40		1,000		1,258
3.60%, 11/15/42		155		183
Hexcel Corp., 4.70%, 8/15/25		150		167
L3Harris Technologies, Inc., 4.40%, 6/15/28		449		535


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Aerospace & Defense – 0.6% continued
Lockheed Martin Corp., 3.55%, 1/15/26		$600		$682
3.60%, 3/1/35		135		162
4.07%, 12/15/42		868		1,084
3.80%, 3/1/45		230		273
4.09%, 9/15/52		20		26
Northrop Grumman Corp., 3.25%, 1/15/28		1,000		1,124
5.05%, 11/15/40		250		335
4.75%, 6/1/43		250		326
4.03%, 10/15/47		60		73
Precision Castparts Corp., 2.50%, 1/15/23		500		521
3.90%, 1/15/43		100		116
4.38%, 6/15/45		350		436
Raytheon Technologies Corp., 3.50%, 3/15/27 ⁽⁴⁾		500		562
4.13%, 11/16/28		750		888
7.50%, 9/15/29		100		145
6.05%, 6/1/36		600		852
6.13%, 7/15/38		175		251
5.70%, 4/15/40		500		706
4.70%, 12/15/41		100		123
4.50%, 6/1/42		450		568
3.75%, 11/1/46		750		859


				19,833


Airlines – 0.0%
Southwest Airlines Co. Pass Through Trust, Series 2007-1, 6.15%, 8/1/22		140		140
United Airlines Pass Through Trust, Series 2019-1, Class AA, 4.15%, 8/25/31		1,731		1,727


				1,867


Apparel & Textile Products – 0.0%
NIKE, Inc., 2.38%, 11/1/26		250		272
3.63%, 5/1/43		75		88
3.38%, 11/1/46		500		566


				926


Auto Parts Manufacturing – 0.0%
Aptiv Corp., 4.15%, 3/15/24		300		330


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Auto Parts Manufacturing – 0.0% continued
BorgWarner, Inc., 4.38%, 3/15/45		$170		$201


				531


Automobiles Manufacturing – 0.3%
American Honda Finance Corp., 2.60%, 11/16/22		125		131
3.63%, 10/10/23		500		545
Daimler Finance North America LLC, 8.50%, 1/18/31		175		271
General Motors Co., 6.13%, 10/1/25		1,000		1,162
5.00%, 4/1/35		500		542
6.25%, 10/2/43		1,050		1,244
6.75%, 4/1/46		145		178
5.40%, 4/1/48		267		295
General Motors Financial Co., Inc., 3.45%, 4/10/22		50		51
3.70%, 5/9/23		1,050		1,097
4.00%, 10/6/26		750		804
5.65%, 1/17/29		150		175
Harley-Davidson, Inc., 4.63%, 7/28/45		670		723
Toyota Motor Credit Corp., 2.70%, 1/11/23		625		656
2.90%, 3/30/23		3,000		3,181
2.25%, 10/18/23		545		572


				11,627


Banks – 1.1%
Bank of America N.A., 6.00%, 10/15/36		250		359
Discover Bank, 2.70%, 2/6/30		250		262
Fifth Third Bancorp, 3.65%, 1/25/24		570		622
8.25%, 3/1/38		275		449
Fifth Third Bank N.A., 2.88%, 10/1/21		250		256
HSBC Bank U.S.A. N.A., 7.00%, 1/15/39		350		517
HSBC U.S.A., Inc., 3.50%, 6/23/24		1,000		1,079
Huntington National Bank (The), 3.55%, 10/6/23		1,000		1,088


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Banks – 1.1% continued
KeyBank N.A., 1.25%, 3/10/23		$1,500		$1,528
3.30%, 6/1/25		250		279
M&T Bank Corp., 3.55%, 7/26/23		100		108
MUFG Americas Holdings Corp., 3.50%, 6/18/22		150		157
PNC Bank N.A., 2.63%, 2/17/22		750		773
2.70%, 11/1/22		750		784
2.95%, 1/30/23		500		526
3.80%, 7/25/23		1,000		1,089
PNC Financial Services Group (The), Inc., 3.30%, 3/8/22		150		156
2.85%, 11/9/22		100		105
3.15%, 5/19/27		1,000		1,114
Regions Financial Corp., 2.75%, 8/14/22		250		260
Synchrony Bank, 3.00%, 6/15/22		250		258
Truist Bank, 3.00%, 2/2/23		1,361		1,434
2.75%, 5/1/23		350		369
3.63%, 9/16/25		250		282
4.05%, 11/3/25		600		694
3.80%, 10/30/26		250		289
Truist Financial Corp., 2.75%, 4/1/22		150		155
2.85%, 10/26/24		1,000		1,084
U.S. Bancorp, 2.63%, 1/24/22		115		118
3.00%, 3/15/22		75		78
2.95%, 7/15/22		1,700		1,775
3.60%, 9/11/24		350		388
2.38%, 7/22/26		1,000		1,090
U.S. Bank N.A., 2.80%, 1/27/25		250		272
Wells Fargo & Co., 2.63%, 7/22/22		2,000		2,074
3.07%, 1/24/23		480		495
3.45%, 2/13/23		125		132
4.13%, 8/15/23		200		218
3.30%, 9/9/24		1,095		1,193


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Banks – 1.1% continued
3.00%, 2/19/25		$655		$708
3.00%, 4/22/26		1,365		1,486
3.00%, 10/23/26		600		656
4.30%, 7/22/27		110		126
(Variable, ICE LIBOR USD 3M + 1.31%), 3.58%, 5/22/28⁽⁵⁾		585		655
5.38%, 2/7/35		425		581
5.95%, 12/15/36		100		131
3.90%, 5/1/45		950		1,111
4.40%, 6/14/46		850		1,015
(Variable, ICE LIBOR USD 3M + 4.24%), 5.01%, 4/4/51⁽⁵⁾		3,500		4,790
Wells Fargo Bank N.A., (Variable, ICE LIBOR USD 3M + 0.61%), 2.90%, 5/27/22⁽⁵⁾		1,020		1,036
5.85%, 2/1/37		250		341
6.60%, 1/15/38		300		441


				36,986

Biotechnology – 0.3%
Amgen, Inc., 3.88%, 11/15/21		207		213
2.70%, 5/1/22		1,000		1,034
3.20%, 11/2/27		250		280
5.15%, 11/15/41		126		167
4.40%, 5/1/45		250		310
4.66%, 6/15/51		1,000		1,302
2.77%, 9/1/53⁽⁴⁾		1,876		1,801
Baxalta, Inc., 4.00%, 6/23/25		225		255
Biogen, Inc., 4.05%, 9/15/25		95		108
5.20%, 9/15/45		100		134
Gilead Sciences, Inc., 3.25%, 9/1/22		145		152
3.50%, 2/1/25		250		277
3.65%, 3/1/26		2,000		2,254
4.60%, 9/1/35		1,000		1,286
4.80%, 4/1/44		245		316
4.50%, 2/1/45		150		188
4.75%, 3/1/46		210		274


				10,351


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Cable & Satellite – 0.6%
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 7/23/25		$625		$723
3.75%, 2/15/28		1,790		1,979
5.05%, 3/30/29		305		366
2.80%, 4/1/31		715		744
4.80%, 3/1/50		1,500		1,706
Comcast Corp., 3.38%, 2/15/25		145		160
2.35%, 1/15/27		570		611
3.30%, 2/1/27		1,335		1,506
4.15%, 10/15/28		1,450		1,747
3.40%, 4/1/30		1,000		1,154
4.25%, 1/15/33		1,550		1,926
7.05%, 3/15/33		140		214
5.65%, 6/15/35		1,005		1,431
4.75%, 3/1/44		385		507
4.60%, 8/15/45		380		490
4.00%, 8/15/47		40		48
4.70%, 10/15/48		44		59
4.00%, 11/1/49		30		36
2.45%, 8/15/52		110		103
4.05%, 11/1/52		694		852
4.95%, 10/15/58		930		1,333
TCI Communications, Inc., 7.88%, 2/15/26		755		1,020
Time Warner Cable LLC, 6.55%, 5/1/37		68		90
7.30%, 7/1/38		705		998
6.75%, 6/15/39		130		176
5.50%, 9/1/41		75		91
Time Warner Entertainment Co. L.P., 8.38%, 7/15/33		260		398


				20,468

Chemicals – 0.4%
3M Co., 2.75%, 3/1/22		111		115
3.25%, 2/14/24		456		497
3.05%, 4/15/30		2,000		2,286
Air Products and Chemicals, Inc., 3.00%, 11/3/21		300		308
2.75%, 2/3/23		250		264


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Chemicals – 0.4% continued
Airgas, Inc., 2.90%, 11/15/22		$150		$157

3.65%, 7/15/24		70		77
Dow Chemical (The) Co., 4.55%, 11/30/25		55		64

7.38%, 11/1/29		100		141

4.25%, 10/1/34		670		783

9.40%, 5/15/39		300		512

5.25%, 11/15/41		400		492
DuPont de Nemours, Inc., 4.73%, 11/15/28		580		697

5.32%, 11/15/38		208		264

5.42%, 11/15/48		2,000		2,674
Eastman Chemical Co., 4.80%, 9/1/42		200		237

4.65%, 10/15/44		100		117
Ecolab, Inc., 3.25%, 1/14/23		65		69

2.70%, 11/1/26		70		78

5.50%, 12/8/41		455		655
International Flavors & Fragrances, Inc., 5.00%, 9/26/48		67		83
Linde, Inc., 2.45%, 2/15/22		422		432

2.20%, 8/15/22		150		154

2.70%, 2/21/23		250		262
Lubrizol (The) Corp., 6.50%, 10/1/34		50		78
LYB International Finance III LLC, 3.38%, 5/1/30		240		261
Mosaic (The) Co., 3.25%, 11/15/22		36		38

5.45%, 11/15/33		250		291

4.88%, 11/15/41		100		105
PPG Industries, Inc., 3.20%, 3/15/23		500		531
RPM International, Inc., 3.75%, 3/15/27		100		110
Sherwin-Williams (The) Co., 3.45%, 6/1/27		205		230

2.95%, 8/15/29		795		875

4.55%, 8/1/45		30		36


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Chemicals – 0.4% continued
Westlake Chemical Corp., 3.60%, 7/15/22		$65		$68

3.60%, 8/15/26		950		1,044


				15,085


Commercial Finance – 0.2%
Air Lease Corp., 3.50%, 1/15/22		214		220

2.75%, 1/15/23		125		128

3.00%, 9/15/23		245		249

4.25%, 9/15/24		485		507

3.25%, 3/1/25		145		147

4.63%, 10/1/28		255		264

3.25%, 10/1/29		500		474
GATX Corp., 3.50%, 3/15/28		500		546

5.20%, 3/15/44		35		43
GE Capital Funding LLC, 4.40%, 5/15/30⁽⁴⁾		3,000		3,222
International Lease Finance Corp., 5.88%, 8/15/22		250		268


				6,068


Communications Equipment – 0.5%
Apple, Inc., 2.10%, 9/12/22		665		687

2.40%, 5/3/23		5		5

3.00%, 2/9/24		1,320		1,422

2.85%, 5/11/24		1,570		1,694

2.75%, 1/13/25		1,265		1,370

2.50%, 2/9/25		55		59

2.45%, 8/4/26		225		245

3.35%, 2/9/27		370		423

3.20%, 5/11/27		540		614

2.90%, 9/12/27		1,625		1,822

3.00%, 11/13/27		1,000		1,130

3.85%, 5/4/43		230		287

4.45%, 5/6/44		75		102

3.45%, 2/9/45		55		64

4.38%, 5/13/45		195		261

4.65%, 2/23/46		250		349

3.75%, 9/12/47		150		185

3.75%, 11/13/47		25		31

2.95%, 9/11/49		500		547

2.65%, 5/11/50		2,000		2,096


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Communications Equipment – 0.5% continued
Cisco Systems, Inc., 2.20%, 9/20/23		$750		$788

2.95%, 2/28/26		375		418

5.90%, 2/15/39		690		1,031
Corning, Inc., 5.75%, 8/15/40		170		228

5.35%, 11/15/48		500		675
Juniper Networks, Inc., 5.95%, 3/15/41		100		127


				16,660


Construction Materials Manufacturing – 0.1%
Carlisle Cos., Inc., 2.75%, 3/1/30		500		531
Martin Marietta Materials, Inc., 3.45%, 6/1/27		500		555
Owens Corning, 3.40%, 8/15/26		400		431

3.88%, 6/1/30		500		566


				2,083


Consumer Finance – 0.6%
American Express Co., 2.50%, 8/1/22		325		337

2.65%, 12/2/22		632		662

3.70%, 8/3/23		500		543

3.00%, 10/30/24		220		239

3.63%, 12/5/24		1,125		1,243

3.13%, 5/20/26		500		558
Capital One Financial Corp., 3.20%, 1/30/23		400		422

3.75%, 4/24/24		1,000		1,088

3.30%, 10/30/24		1,050		1,138

3.75%, 7/28/26		505		550

3.75%, 3/9/27		250		278
Discover Financial Services, 4.50%, 1/30/26		500		570
Fiserv, Inc., 3.85%, 6/1/25		45		51

3.50%, 7/1/29		1,500		1,710

4.40%, 7/1/49		500		627
Mastercard, Inc., 2.00%, 11/21/21		130		132

3.35%, 3/26/30		3,000		3,518

3.80%, 11/21/46		500		613


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Consumer Finance – 0.6% continued
PayPal Holdings, Inc., 2.85%, 10/1/29		$1,500		$1,651
Synchrony Financial, 4.25%, 8/15/24		570		619

3.95%, 12/1/27		635		683
Visa, Inc., 3.15%, 12/14/25		1,250		1,399

4.15%, 12/14/35		1,000		1,295

3.65%, 9/15/47		125		153
Western Union (The) Co., 6.20%, 6/21/40		120		141


				20,220


Consumer Products – 0.2%
Church & Dwight Co., Inc., 3.95%, 8/1/47		100		118
Clorox (The) Co., 3.05%, 9/15/22		250		261
Colgate-Palmolive Co., 2.25%, 11/15/22		1,150		1,197

1.95%, 2/1/23		100		104

2.10%, 5/1/23		400		417
Estee Lauder (The) Cos., Inc., 2.35%, 8/15/22		50		52

6.00%, 5/15/37		100		144

4.38%, 6/15/45		150		196

4.15%, 3/15/47		70		88
Kimberly-Clark Corp., 2.40%, 3/1/22		50		51

6.63%, 8/1/37		350		557

3.70%, 6/1/43		100		116

3.20%, 7/30/46		125		144
Procter & Gamble (The) Co., 2.30%, 2/6/22		215		221

3.10%, 8/15/23		250		269

3.00%, 3/25/30		1,500		1,740

3.60%, 3/25/50		340		431
Unilever Capital Corp., 2.00%, 7/28/26		1,000		1,069

5.90%, 11/15/32		125		184


				7,359


Consumer Services – 0.0%
Cintas Corp. No. 2, 2.90%, 4/1/22		85		88


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Containers & Packaging – 0.1%
International Paper Co., 5.00%, 9/15/35		$445		$579

7.30%, 11/15/39		45		66

6.00%, 11/15/41		480		660

5.15%, 5/15/46		250		327
Packaging Corp. of America, 4.50%, 11/1/23		100		111

3.65%, 9/15/24		250		274
Sonoco Products Co., 4.38%, 11/1/21		25		26

5.75%, 11/1/40		150		194
WestRock MWV LLC, 7.95%, 2/15/31		100		142
WRKCo, Inc., 4.90%, 3/15/29		350		430


				2,809


Department Stores – 0.0%
Kohl’s Corp., 3.25%, 2/1/23		100		100

4.75%, 12/15/23		69		72
Nordstrom, Inc., 4.00%, 10/15/21		150		149

7.00%, 1/15/38		26		22


				343


Design, Manufacturing & Distribution – 0.0%
Arrow Electronics, Inc., 3.88%, 1/12/28		250		277


Diversified Banks – 1.7%
Bank of America Corp., 5.70%, 1/24/22		1,000		1,069

3.30%, 1/11/23		2,000		2,123

4.10%, 7/24/23		100		109
(Variable, ICE LIBOR USD 3M + 0.79%), 3.00%, 12/20/23 ⁽⁵⁾		1,379		1,448

4.13%, 1/22/24		100		111
(Variable, ICE LIBOR USD 3M + 0.78%), 3.55%, 3/5/24 ⁽⁵⁾		250		266

4.00%, 4/1/24		165		183
(Variable, ICE LIBOR USD 3M + 0.94%), 3.86%, 7/23/24 ⁽⁵⁾		1,000		1,083

4.20%, 8/26/24		280		312

4.00%, 1/22/25		1,595		1,777

3.95%, 4/21/25		1,375		1,527


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Diversified Banks – 1.7% continued
(Variable, ICE LIBOR USD 3M + 0.81%), 3.37%, 1/23/26⁽⁵⁾		$1,000		$1,091
(Variable, ICE LIBOR USD 3M + 0.64%), 2.02%, 2/13/26⁽⁵⁾		760		788

4.45%, 3/3/26		500		577

4.25%, 10/22/26		100		116
(Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28⁽⁵⁾		1,200		1,335
(Variable, ICE LIBOR USD 3M + 1.31%), 4.27%, 7/23/29⁽⁵⁾		1,000		1,173
(Variable, ICE LIBOR USD 3M + 0.99%), 2.50%, 2/13/31⁽⁵⁾		5,000		5,257

6.11%, 1/29/37		150		212

7.75%, 5/14/38		275		455

5.00%, 1/21/44		955		1,319
(Variable, ICE LIBOR USD 3M + 1.99%), 4.44%, 1/20/48⁽⁵⁾		500		651
(Variable, ICE LIBOR USD 3M + 1.52%), 4.33%, 3/15/50⁽⁵⁾		190		242
(Variable, ICE LIBOR USD 3M + 3.15%), 4.08%, 3/20/51⁽⁵⁾		810		1,003
Citigroup, Inc., 4.50%, 1/14/22		735		772

4.05%, 7/30/22		90		96

3.38%, 3/1/23		150		159

3.88%, 10/25/23		200		219

3.75%, 6/16/24		909		1,003

3.88%, 3/26/25		1,730		1,906

5.50%, 9/13/25		350		415

4.60%, 3/9/26		205		235
(Variable, U.S. SOFR + 2.75%), 3.11%, 4/8/26⁽⁵⁾		2,000		2,165

3.20%, 10/21/26		505		557

4.30%, 11/20/26		825		945

4.45%, 9/29/27		170		197
(Variable, ICE LIBOR USD 3M + 1.39%), 3.67%, 7/24/28⁽⁵⁾		710		798
(Variable, ICE LIBOR USD 3M + 1.15%),3.52%,10/27/28⁽⁵⁾		750		836
(Variable, U.S. SOFR + 3.91%), 4.41%, 3/31/31⁽⁵⁾		3,000		3,596

6.63%, 6/15/32		100		140

6.00%, 10/31/33		350		471

6.13%, 8/25/36		125		168

8.13%, 7/15/39		680		1,184


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Diversified Banks – 1.7% continued

5.88%, 1/30/42		$30		$44
4.75%, 5/18/46		1,530		1,920
JPMorgan Chase & Co.,
3.25%, 9/23/22		210		222
3.20%, 1/25/23		611		649
3.88%, 9/10/24		2,250		2,496
3.90%, 7/15/25		755		854
7.75%, 7/15/25		54		69
3.20%, 6/15/26		500		555
2.95%, 10/1/26		485		534
8.00%, 4/29/27		750		1,035
3.63%, 12/1/27		1,250		1,400
(Variable, ICE LIBOR USD 3M + 1.34%), 3.78%, 2/1/28⁽⁵⁾		500		565
(Variable, ICE LIBOR USD 3M + 0.95%), 3.51%, 1/23/29⁽⁵⁾		500		562
6.40%, 5/15/38		1,054		1,609
5.60%, 7/15/41		405		594
5.40%, 1/6/42		100		144
5.63%, 8/16/43		150		216
4.85%, 2/1/44		215		290
4.95%, 6/1/45		500		678
(Variable, ICE LIBOR USD 3M + 1.58%), 4.26%, 2/22/48⁽⁵⁾		285		359
(Variable, ICE LIBOR USD 3M + 1.38%), 3.96%, 11/15/48⁽⁵⁾		740		899
(Variable, U.S. SOFR + 2.44%), 3.11%, 4/22/51⁽⁵⁾		3,000		3,219


				59,002


Educational Services – 0.1%

California Institute of Technology,
4.70%, 11/1/11⁽⁶⁾		110		150
Duke University,
2.68%, 10/1/44		200		209
Emory University,
2.97%, 9/1/50		500		548
Johns Hopkins University,
4.08%, 7/1/53		100		135
Massachusetts Institute of Technology,
5.60%, 7/1/11⁽⁶⁾		190		329
4.68%, 7/1/14⁽⁷⁾		15		22
3.89%, 7/1/16⁽⁸⁾		300		378
Northwestern University,
4.64%, 12/1/44		50		68


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Educational Services – 0.1% continued

President and Fellows of Harvard College,
2.52%, 10/15/50		$1,000		$1,038
University of Pennsylvania,
4.67%, 9/1/12⁽⁹⁾		100		140
University of Southern California,
2.81%, 10/1/50		500		529


				3,546


Electrical Equipment Manufacturing – 0.3%

ABB Finance U.S.A., Inc.,
4.38%, 5/8/42		250		322
Carrier Global Corp.,
2.72%, 2/15/30 ⁽⁴⁾		1,000		1,046
Emerson Electric Co.,
2.63%, 12/1/21		310		318
General Electric Co.,
3.10%, 1/9/23		500		525
3.45%, 5/15/24		520		559
3.45%, 5/1/27		625		662
6.75%, 3/15/32		150		189
6.15%, 8/7/37		150		180
5.88%, 1/14/38		400		468
6.88%, 1/10/39		300		385
4.50%, 3/11/44		1,000		1,033
Honeywell International, Inc.,
3.35%, 12/1/23		260		284
2.50%, 11/1/26		780		860
3.81%, 11/21/47		125		157
Otis Worldwide Corp.,
3.36%, 2/15/50		500		549
Rockwell Automation, Inc.,
6.25%, 12/1/37		150		219
4.20%, 3/1/49		100		131
Roper Technologies, Inc.,
1.00%, 9/15/25		2,000		2,004
3.85%, 12/15/25		220		250
3.80%, 12/15/26		235		271


				10,412


Entertainment Content – 0.4%

Fox Corp.,
5.58%, 1/25/49		2,000		2,763
ViacomCBS, Inc.,
3.88%, 4/1/24		245		267


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Entertainment Content – 0.4% continued
3.70%, 8/15/24		$565		$618
4.75%, 5/15/25		260		299
4.95%, 1/15/31		1,000		1,202
4.38%, 3/15/43		490		521
5.85%, 9/1/43		300		381
5.25%, 4/1/44		30		35
Walt Disney (The) Co.,
2.55%, 2/15/22		295		304
2.45%, 3/4/22		555		571
3.70%, 9/15/24		915		1,013
6.40%, 12/15/35		31		47
4.13%, 12/1/41		105		125
3.70%, 12/1/42		395		447
4.95%, 10/15/45		500		652
2.75%, 9/1/49		1,000		975
3.60%, 1/13/51		2,000		2,254


				12,474


Exploration & Production – 0.2%

Burlington Resources LLC,
7.40%, 12/1/31		120		178
5.95%, 10/15/36		125		171
Cimarex Energy Co.,
4.38%, 3/15/29		200		207
CNOOC Finance 2015 U.S.A. LLC,
3.75%, 5/2/23		500		533
Concho Resources, Inc.,
4.88%, 10/1/47		1,000		1,105
ConocoPhillips,
5.90%, 5/15/38		280		385
ConocoPhillips Co.,
4.95%, 3/15/26		120		143
6.95%, 4/15/29		465		646
Devon Energy Corp.,
5.85%, 12/15/25		660		740
EOG Resources, Inc.,
2.63%, 3/15/23		670		698
3.15%, 4/1/25		145		158
Hess Corp.,
7.13%, 3/15/33		690		831
Marathon Oil Corp.,
2.80%, 11/1/22		260		266
6.80%, 3/15/32		175		188
5.20%, 6/1/45		1,000		938


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Exploration & Production – 0.2% continued

Noble Energy, Inc.,
5.25%, 11/15/43		$1,000		$1,326
Ovintiv, Inc.,
6.63%, 8/15/37		180		165


				8,678


Financial Services – 1.1%

Ameriprise Financial, Inc.,
4.00%, 10/15/23		250		276
3.70%, 10/15/24		500		558
2.88%, 9/15/26		435		478
Bank of New York Mellon (The) Corp.,
2.20%, 8/16/23		285		299
3.25%, 5/16/27		500		568
(Variable, ICE LIBOR USD 3M + 1.07%), 3.44%, 2/7/28⁽⁵⁾		1,000		1,147
BlackRock, Inc.,
3.50%, 3/18/24		250		276
2.40%, 4/30/30		500		545
1.90%, 1/28/31		220		228
Charles Schwab (The) Corp.,
2.65%, 1/25/23		175		184
3.45%, 2/13/26		280		316
3.20%, 3/2/27		500		561
CME Group, Inc.,
3.75%, 6/15/28		300		351
5.30%, 9/15/43		45		67
Goldman Sachs Group (The), Inc.,
5.75%, 1/24/22		360		385
(Variable, ICE LIBOR USD 3M + 0.82%), 2.88%, 10/31/22⁽⁵⁾		1,000		1,024
3.63%, 1/22/23		325		347
3.50%, 1/23/25		55		60
3.75%, 5/22/25		2,690		2,990
(Variable, ICE LIBOR USD 3M + 1.20%), 3.27%, 9/29/25⁽⁵⁾		500		541
3.75%, 2/25/26		2,575		2,898
3.50%, 11/16/26		500		553
5.95%, 1/15/27		80		98
3.85%, 1/26/27		125		141
(Variable, ICE LIBOR USD 3M + 1.51%),3.69%,6/5/28⁽⁵⁾		1,000		1,121
(Variable, ICE LIBOR USD 3M + 1.16%), 3.81%, 4/23/29⁽⁵⁾		70		80
6.75%, 10/1/37		615		894


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Financial Services – 1.1% continued

(Variable, ICE LIBOR USD 3M + 1.43%), 4.41%, 4/23/39⁽⁵⁾		$1,020		$1,245
6.25%, 2/1/41		300		448
4.80%, 7/8/44		350		458
Intercontinental Exchange, Inc.,
2.35%, 9/15/22		500		518
2.65%, 9/15/40		1,620		1,618
Jefferies Group LLC,
5.13%, 1/20/23		315		343
Legg Mason, Inc.,
5.63%, 1/15/44		269		372
Morgan Stanley,
2.63%, 11/17/21		945		969
2.75%, 5/19/22		2,500		2,590
4.10%, 5/22/23		580		628
3.88%, 4/29/24		680		750
3.70%, 10/23/24		310		344
4.00%, 7/23/25		2,000		2,261
3.13%, 7/27/26		980		1,085
6.25%, 8/9/26		100		127
3.63%, 1/20/27		190		215
3.95%, 4/23/27		1,190		1,349
(Variable, ICE LIBOR USD 3M + 1.34%), 3.59%, 7/22/28⁽⁵⁾		1,000		1,125
6.38%, 7/24/42		300		469
4.30%, 1/27/45		1,095		1,388
State Street Corp.,
(Variable, ICE LIBOR USD 3M + 0.64%), 2.65%, 5/15/23⁽⁵⁾		1,000		1,035
3.10%, 5/15/23		225		240
3.70%, 11/20/23		340		375
3.30%, 12/16/24		330		365
TD Ameritrade Holding Corp.,
2.95%, 4/1/22		80		83
3.63%, 4/1/25		250		280


				37,666


Food & Beverage – 1.0%

Anheuser-Busch Cos.
LLC/Anheuser-Busch InBev Worldwide, Inc.,
4.90%, 2/1/46		2,910		3,588
Anheuser-Busch InBev Finance, Inc.,
4.00%, 1/17/43		150		164
4.63%, 2/1/44		250		294


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Food & Beverage – 1.0% continued

Anheuser-Busch InBev Worldwide, Inc.,
4.75%, 1/23/29		$1,000		$1,220
3.50%, 6/1/30		3,000		3,413
8.20%, 1/15/39		750		1,219
5.45%, 1/23/39		190		246
8.00%, 11/15/39		310		500
3.75%, 7/15/42		65		69
4.60%, 4/15/48		500		596
4.44%, 10/6/48		89		104
4.75%, 4/15/58		215		262
Brown-Forman Corp.,
3.75%, 1/15/43		50		58
4.50%, 7/15/45		200		262
Campbell Soup Co.,
2.50%, 8/2/22		205		213
3.65%, 3/15/23		86		92
Coca-Cola (The) Co.,
2.50%, 4/1/23		275		289
3.20%, 11/1/23		100		109
1.75%, 9/6/24		80		84
2.88%, 10/27/25		3,000		3,329
2.55%, 6/1/26		770		842
Conagra Brands, Inc.,
3.25%, 9/15/22		55		58
4.30%, 5/1/24		135		151
7.00%, 10/1/28		200		268
5.30%, 11/1/38		1,000		1,289
Constellation Brands, Inc.,
2.65%, 11/7/22		625		647
4.40%, 11/15/25		188		219
3.60%, 2/15/28		250		283
4.65%, 11/15/28		480		578
5.25%, 11/15/48		167		225
General Mills, Inc.,
3.15%, 12/15/21		500		513
2.60%, 10/12/22		140		146
3.65%, 2/15/24		75		82
2.88%, 4/15/30		1,050		1,151
5.40%, 6/15/40		70		96
Hershey (The) Co.,
2.30%, 8/15/26		365		393
Ingredion, Inc.,
3.20%, 10/1/26		250		276


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Food & Beverage – 1.0% continued
JM Smucker (The) Co., 3.50%, 3/15/25		$500		$562
4.38%, 3/15/45		250		302
Kellogg Co., 2.75%, 3/1/23		350		364
4.50%, 4/1/46		750		937
Keurig Dr. Pepper, Inc., 3.13%, 12/15/23		85		91
2.55%, 9/15/26		95		103
4.42%, 12/15/46		450		554
McCormick & Co., Inc., 2.70%, 8/15/22		160		167
Molson Coors Beverage Co., 3.00%, 7/15/26		170		181
5.00%, 5/1/42		575		651
Mondelez International, Inc., 3.63%, 2/13/26		171		195
PepsiCo, Inc., 1.70%, 10/6/21		45		45
2.75%, 3/5/22		385		398
2.75%, 4/30/25		500		545
2.38%, 10/6/26		355		387
3.00%, 10/15/27		110		124
2.63%, 7/29/29		90		100
3.60%, 8/13/42		50		59
4.25%, 10/22/44		355		459
4.60%, 7/17/45		75		103
3.45%, 10/6/46		45		52
3.38%, 7/29/49		1,000		1,155
3.63%, 3/19/50		2,000		2,425
Tyson Foods, Inc., 4.50%, 6/15/22		300		317
5.15%, 8/15/44		455		604


				34,208


Forest & Paper Products Manufacturing – 0.0%
Georgia-Pacific LLC, 8.00%, 1/15/24		500		613
7.75%, 11/15/29		500		747


				1,360


Hardware – 0.2%
Dell International LLC/EMC Corp., 5.45%, 6/15/23 ⁽⁴⁾		730		800
5.85%, 7/15/25 ⁽⁴⁾		2,000		2,330


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Hardware – 0.2% continued
6.02%, 6/15/26 ⁽⁴⁾		$210		$247
8.35%, 7/15/46 ⁽⁴⁾		900		1,189
Hewlett Packard Enterprise Co., 4.40%, 10/15/22		830		887
4.65%, 10/1/24		1,475		1,668
6.35%, 10/15/45		200		255
HP, Inc., 4.05%, 9/15/22		25		27
6.00%, 9/15/41		275		337
NetApp, Inc., 3.30%, 9/29/24		160		174


				7,914


Health Care Facilities & Services – 0.7%
AHS Hospital Corp., 5.02%, 7/1/45		100		135
AmerisourceBergen Corp., 3.25%, 3/1/25		135		148
4.25%, 3/1/45		60		69
4.30%, 12/15/47		1,000		1,164
Ascension Health, 2.53%, 11/15/29		750		813
Cardinal Health, Inc., 3.20%, 6/15/22		150		156
3.75%, 9/15/25		250		279
4.60%, 3/15/43		35		38
4.50%, 11/15/44		710		770
Cigna Corp., 4.38%, 10/15/28		3,300		3,926
4.80%, 7/15/46		580		727
CommonSpirit Health, 3.82%, 10/1/49		1,000		1,094
CVS Health Corp., 2.75%, 12/1/22		850		887
3.70%, 3/9/23		11		12
3.38%, 8/12/24		250		272
4.10%, 3/25/25		481		543
3.88%, 7/20/25		308		347
4.30%, 3/25/28		1,185		1,387
3.25%, 8/15/29		1,330		1,463
4.78%, 3/25/38		170		207
5.30%, 12/5/43		750		959
5.13%, 7/20/45		1,560		1,971
5.05%, 3/25/48		155		198


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Health Care Facilities & Services – 0.7% continued

Dignity Health, 5.27%, 11/1/64		$200		$238

HCA, Inc.,

4.50%, 2/15/27		1,780		1,999

4.13%, 6/15/29		250		283

5.25%, 6/15/49		500		612

Laboratory Corp. of America Holdings, 4.70%, 2/1/45		300		382

McKesson Corp.,

2.70%, 12/15/22		120		125

3.80%, 3/15/24		160		175

Memorial Sloan-Kettering Cancer Center, 4.13%, 7/1/52		100		129

NYU Langone Hospitals, 4.37%, 7/1/47		500		581

Quest Diagnostics, Inc.,

3.45%, 6/1/26		115		130

5.75%, 1/30/40		28		38

Sutter Health, 4.09%, 8/15/48		500		592


				22,849


Home & Office Products Manufacturing – 0.0%

Leggett & Platt, Inc., 3.50%, 11/15/27		818		864


Home Improvement – 0.0%

Stanley Black & Decker, Inc.,

3.40%, 12/1/21		265		272

2.90%, 11/1/22		65		68

Whirlpool Corp.,

4.70%, 6/1/22		100		106

3.70%, 3/1/23		100		107

3.70%, 5/1/25		250		280

4.50%, 6/1/46		60		71


				904


Industrial Other – 0.0%

WW Grainger, Inc., 4.60%, 6/15/45		300		386


Integrated Oils – 0.3%

BP Capital Markets America, Inc.,

3.22%, 11/28/23		680		731

3.80%, 9/21/25		605		682

3.12%, 5/4/26		535		591


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Integrated Oils – 0.3% continued

3.02%, 1/16/27		$790		$867

3.54%, 4/6/27		300		336

Chevron Corp.,

2.50%, 3/3/22		545		561

2.36%, 12/5/22		270		280

2.57%, 5/16/23		170		179

2.90%, 3/3/24		60		64

3.33%, 11/17/25		140		157

2.95%, 5/16/26		1,465		1,633

Exxon Mobil Corp.,

2.44%, 8/16/29		965		1,036

3.00%, 8/16/39		200		212

3.57%, 3/6/45		590		639

4.11%, 3/1/46		485		576

4.33%, 3/19/50		1,500		1,878

3.45%, 4/15/51		1,665		1,829


				12,251


Internet Media – 0.1%

Alphabet, Inc., 2.05%, 8/15/50		2,000		1,872


Leisure Products Manufacturing – 0.0%

Hasbro, Inc., 6.35%, 3/15/40		250		295


Life Insurance – 0.3%

Aflac, Inc.,

3.60%, 4/1/30		1,000		1,173

6.45%, 8/15/40		15		22

Equitable Holdings, Inc., 5.00%, 4/20/48		1,000		1,182

Globe Life, Inc., 3.80%, 9/15/22		420		446

Lincoln National Corp.,

3.63%, 12/12/26		265		299

6.30%, 10/9/37		100		131

MetLife, Inc.,

3.05%, 12/15/22		280		296

3.00%, 3/1/25		830		919

6.38%, 6/15/34		485		737

6.40%, 12/15/36		150		186

4.13%, 8/13/42		460		558

4.72%, 12/15/44		370		489

Primerica, Inc., 4.75%, 7/15/22		100		107


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Life Insurance – 0.3% continued

Principal Financial Group, Inc., 4.63%, 9/15/42		$40		$49

Protective Life Corp., 8.45%, 10/15/39		425		667

Prudential Financial, Inc.,

3.50%, 5/15/24		85		94

5.70%, 12/14/36		200		287

(Variable, ICE LIBOR USD 3M + 3.04%), 5.20%, 3/15/44 ⁽⁵⁾		275		291

3.91%, 12/7/47		344		383

3.94%, 12/7/49		335		380

Voya Financial, Inc., 4.80%, 6/15/46		1,000		1,220


				9,916


Machinery Manufacturing – 0.3%

Caterpillar Financial Services Corp.,

3.75%, 11/24/23		1,000		1,104

2.15%, 11/8/24		210		223

Caterpillar, Inc.,

3.40%, 5/15/24		790		864

3.80%, 8/15/42		445		545

4.30%, 5/15/44		235		306

3.25%, 9/19/49		220		246

Deere & Co.,

2.60%, 6/8/22		125		129

5.38%, 10/16/29		250		331

8.10%, 5/15/30		100		153

3.75%, 4/15/50		1,500		1,880

Dover Corp., 2.95%, 11/4/29		10		11

Eaton Corp., 3.10%, 9/15/27		250		279

IDEX Corp., 4.20%, 12/15/21		200		207

Illinois Tool Works, Inc.,

3.50%, 3/1/24		250		274

3.90%, 9/1/42		700		873

John Deere Capital Corp.,

3.15%, 10/15/21		250		257

2.80%, 3/6/23		500		529

3.05%, 1/6/28		250		278

Parker-Hannifin Corp., 3.30%, 11/21/24		500		549


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Machinery Manufacturing – 0.3% continued

3.25%, 6/14/29		$500		$560

4.20%, 11/21/34		200		244

4.45%, 11/21/44		500		613

Trane Technologies Global Holding Co. Ltd., 5.75%, 6/15/43		150		208


				10,663


Managed Care – 0.4%

Aetna, Inc.,

2.75%, 11/15/22		400		416

6.63%, 6/15/36		40		57

6.75%, 12/15/37		150		218

4.50%, 5/15/42		100		119

3.88%, 8/15/47		143		160

Anthem, Inc.,

3.50%, 8/15/24		545		597

2.38%, 1/15/25		755		803

6.38%, 6/15/37		500		716

4.63%, 5/15/42		525		659

3.13%, 5/15/50		300		306

Humana, Inc.,

3.95%, 3/15/27		85		97

8.15%, 6/15/38		280		440

Kaiser Foundation Hospitals, 3.27%, 11/1/49		500		559

UnitedHealth Group, Inc.,

3.35%, 7/15/22		1,255		1,323

3.50%, 2/15/24		40		44

3.75%, 7/15/25		655		748

3.45%, 1/15/27		1,500		1,707

2.88%, 8/15/29		160		178

5.80%, 3/15/36		250		362

6.63%, 11/15/37		640		1,012

6.88%, 2/15/38		170		274

4.75%, 7/15/45		500		682

3.13%, 5/15/60		1,000		1,073


				12,550


Mass Merchants – 0.3%

Costco Wholesale Corp., 2.75%, 5/18/24		750		809

Dollar General Corp., 3.25%, 4/15/23		900		955


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Mass Merchants – 0.3% continued
Dollar Tree, Inc., 3.70%, 5/15/23		$165		$177
Target Corp.,
2.90%, 1/15/22		515		533
3.63%, 4/15/46		500		631
3.90%, 11/15/47		225		298
Walmart, Inc.,
2.35%, 12/15/22		500		521
3.30%, 4/22/24		625		682
3.55%, 6/26/25		180		204
3.25%, 7/8/29		1,000		1,166
2.38%, 9/24/29		2,185		2,412
3.95%, 6/28/38		500		627
5.00%, 10/25/40		275		387
4.30%, 4/22/44		145		192
3.63%, 12/15/47		70		86


				9,680


Medical Equipment & Devices Manufacturing – 0.3%
Abbott Laboratories,

2.95%, 3/15/25		1,000		1,093

3.75%, 11/30/26		564		655

4.75%, 11/30/36		555		743

4.75%, 4/15/43		650		887
Agilent Technologies, Inc.,
3.20%, 10/1/22		225		235
3.88%, 7/15/23		250		271
Baxter International, Inc., 3.50%, 8/15/46		350		399
Becton Dickinson and Co.,
3.13%, 11/8/21		150		154
3.30%, 3/1/23		130		137
4.69%, 12/15/44		239		296
4.67%, 6/6/47		1,000		1,235
Boston Scientific Corp.,
3.85%, 5/15/25		128		145
7.38%, 1/15/40		540		867
Medtronic, Inc.,
3.50%, 3/15/25		334		376
4.38%, 3/15/35		913		1,219
4.63%, 3/15/45		406		559
Stryker Corp., 3.38%, 11/1/25		250		279

4.10%, 4/1/43		50		59


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Medical Equipment & Devices Manufacturing – 0.3% continued

4.38%, 5/15/44		$200		$248

Thermo Fisher Scientific, Inc.,

4.15%, 2/1/24		100		110

2.95%, 9/19/26		155		173

4.50%, 3/25/30		1,000		1,237

Zimmer Biomet Holdings, Inc.,

3.38%, 11/30/21		250		256

3.15%, 4/1/22		500		517

3.55%, 4/1/25		120		133


				12,283


Metals & Mining – 0.2%
Barrick North America Finance LLC, 5.70%, 5/30/41		500		706

Newmont Corp.,

5.88%, 4/1/35		100		143

4.88%, 3/15/42		150		203
Nucor Corp.,

4.00%, 8/1/23		250		272

6.40%, 12/1/37		150		217

5.20%, 8/1/43		125		168

4.40%, 5/1/48		1,000		1,299
Southern Copper Corp.,

3.88%, 4/23/25		100		110

7.50%, 7/27/35		300		439

6.75%, 4/16/40		90		130

5.88%, 4/23/45		1,500		2,036


				5,723


Oil & Gas Services & Equipment – 0.0%
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc., 4.08%, 12/15/47		210		210
Halliburton Co.,

3.80%, 11/15/25		123		134

4.85%, 11/15/35		275		292

6.70%, 9/15/38		780		937

7.45%, 9/15/39		160		206

4.75%, 8/1/43		15		15


				1,794


Pharmaceuticals – 1.2%
AbbVie, Inc.,

3.38%, 11/14/21		500		517

3.25%, 10/1/22 ⁽⁴⁾		1,000		1,046

3.85%, 6/15/24 ⁽⁴⁾		1,000		1,096


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Pharmaceuticals – 1.2% continued

3.80%, 3/15/25 ⁽⁴⁾		$750		$832

3.60%, 5/14/25		225		249

3.20%, 5/14/26		250		275

4.25%, 11/14/28		300		356

4.40%, 11/6/42		415		494

4.70%, 5/14/45		4,340		5,344

Bayer U.S. Finance II LLC,

5.50%, 8/15/25 ⁽⁴⁾		50		60

4.40%, 7/15/44 ⁽⁴⁾		250		283

Bristol-Myers Squibb Co.,

2.00%, 8/1/22		600		618

3.63%, 5/15/24		500		551

2.90%, 7/26/24		900		974

3.88%, 8/15/25		765		872

3.90%, 2/20/28		840		996

5.25%, 8/15/43		85		120

5.00%, 8/15/45		500		703

4.35%, 11/15/47		900		1,189

Eli Lilly and Co., 2.25%, 5/15/50		2,000		1,884

GlaxoSmithKline Capital, Inc.,

3.38%, 5/15/23		1,000		1,077

3.88%, 5/15/28		1,000		1,188

5.38%, 4/15/34		150		212

6.38%, 5/15/38		530		818

4.20%, 3/18/43		20		26

Johnson & Johnson,

2.45%, 3/1/26		500		547

0.95%, 9/1/27		4,000		4,018

4.38%, 12/5/33		250		327

5.95%, 8/15/37		100		153

4.85%, 5/15/41		400		559

3.70%, 3/1/46		970		1,214

Merck & Co., Inc.,

2.35%, 2/10/22		1,000		1,030

2.75%, 2/10/25		805		875

3.40%, 3/7/29		1,000		1,165

3.60%, 9/15/42		25		31

3.70%, 2/10/45		60		72

2.45%, 6/24/50		1,000		1,004

Mylan, Inc., 5.40%, 11/29/43		585		735


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Pharmaceuticals – 1.2% continued

Novartis Capital Corp.,

2.40%, 5/17/22		$170		$176

2.40%, 9/21/22		40		42

3.40%, 5/6/24		250		276

2.20%, 8/14/30		1,500		1,619

4.40%, 5/6/44		250		336

Pfizer, Inc.,

2.20%, 12/15/21		90		92

2.95%, 3/15/24		250		270

3.40%, 5/15/24		150		165

2.63%, 4/1/30		2,000		2,236

7.20%, 3/15/39		700		1,161

4.13%, 12/15/46		750		959

Pharmacia LLC, 6.60%, 12/1/28		125		173

Wyeth LLC, 5.95%, 4/1/37		725		1,075

Zoetis, Inc.,

3.25%, 2/1/23		500		527

4.70%, 2/1/43		40		53

3.95%, 9/12/47		450		554


				43,224


Pipeline – 0.8%

Boardwalk Pipelines L.P., 4.45%, 7/15/27		1,650		1,777

El Paso Natural Gas Co. LLC, 8.63%, 1/15/22		360		394

Enable Midstream Partners L.P.,

4.40%, 3/15/27		90		86

4.15%, 9/15/29		115		107

Enbridge Energy Partners L.P., 7.50%, 4/15/38		50		70

Energy Transfer Operating L.P.,

4.05%, 3/15/25		25		26

4.20%, 4/15/27		560		579

5.50%, 6/1/27		266		293

5.25%, 4/15/29		255		274

6.63%, 10/15/36		900		973

7.50%, 7/1/38		310		367

Enterprise Products Operating LLC,

3.35%, 3/15/23		110		117

3.90%, 2/15/24		820		894

3.95%, 2/15/27		500		573


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Pipeline – 0.8% continued
4.15%, 10/16/28		$1,134		$1,326
3.13%, 7/31/29		575		627
2.80%, 1/31/30		300		319
6.88%, 3/1/33		50		67
7.55%, 4/15/38		515		722
5.95%, 2/1/41		40		51
4.20%, 1/31/50		1,000		1,063
Kinder Morgan Energy Partners L.P., 4.30%, 5/1/24		170		188
7.30%, 8/15/33		175		238
6.55%, 9/15/40		205		258
7.50%, 11/15/40		305		411
6.38%, 3/1/41		35		43
5.63%, 9/1/41		310		356
5.40%, 9/1/44		250		290
Magellan Midstream Partners L.P., 5.00%, 3/1/26		500		583
5.15%, 10/15/43		20		23
MPLX L.P., 4.13%, 3/1/27		1,355		1,490
4.70%, 4/15/48		1,000		1,015
ONEOK Partners L.P., 3.38%, 10/1/22		30		31
4.90%, 3/15/25		40		44
6.65%, 10/1/36		80		90
6.20%, 9/15/43		20		21
ONEOK, Inc., 4.55%, 7/15/28		35		37
7.15%, 1/15/51		1,000		1,188
Phillips 66 Partners L.P., 3.61%, 2/15/25		76		81
3.55%, 10/1/26		470		495
Plains All American Pipeline L.P./PAA Finance Corp., 4.50%, 12/15/26		1,330		1,414
6.65%, 1/15/37		80		88
5.15%, 6/1/42		130		123
Sabine Pass Liquefaction LLC, 5.63%, 3/1/25		340		389
5.00%, 3/15/27		1,055		1,190
Southern Union Co., 8.25%, 11/15/29		25		32
Spectra Energy Partners L.P., 3.38%, 10/15/26		360		396


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Pipeline – 0.8% continued
5.95%, 9/25/43		$300		$377
Sunoco Logistics Partners Operations L.P., 5.95%, 12/1/25		175		200
3.90%, 7/15/26		125		128
4.95%, 1/15/43		1,000		889
5.30%, 4/1/44		15		14
5.35%, 5/15/45		80		74
Tennessee Gas Pipeline Co. LLC, 7.00%, 3/15/27		505		623
7.00%, 10/15/28		545		698
8.38%, 6/15/32		215		296
7.63%, 4/1/37		5		7
Williams (The) Cos., Inc., 3.60%, 3/15/22		800		827
4.55%, 6/24/24		2,000		2,216
6.30%, 4/15/40		995		1,230
5.80%, 11/15/43		200		235


				29,033


Power Generation – 0.1%
Exelon Generation Co. LLC, 4.25%, 6/15/22		250		264
6.25%, 10/1/39		1,000		1,240
5.75%, 10/1/41		430		494
System Energy Resources, Inc., 4.10%, 4/1/23		160		172


				2,170


Property & Casualty Insurance – 0.5%
Alleghany Corp., 4.95%, 6/27/22		55		58
Allstate (The) Corp., 5.20%, 1/15/42		225		273
4.50%, 6/15/43		45		57
(Variable, ICE LIBOR USD 3M + 2.12%), 6.50%, 5/15/57 ⁽⁵⁾		225		296
American International Group, Inc., 3.75%, 7/10/25		895		1,002
4.20%, 4/1/28		460		533
3.40%, 6/30/30		485		537
4.50%, 7/16/44		30		35
4.80%, 7/10/45		15		19
4.38%, 6/30/50		1,000		1,170
4.38%, 1/15/55		105		120



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS – 22.8% continued

Property & Casualty Insurance – 0.5% continued

Assurant, Inc.,

4.90%, 3/27/28		$215		$238

Berkshire Hathaway Finance Corp.,

5.75%, 1/15/40		255		390

4.40%, 5/15/42		100		127

4.30%, 5/15/43		440		572

Berkshire Hathaway, Inc.,

2.75%, 3/15/23		30		32

3.13%, 3/15/26		1,445		1,613

Chubb (The) Corp.,

6.00%, 5/11/37		50		75

6.50%, 5/15/38		85		133

Chubb INA Holdings, Inc.,

3.15%, 3/15/25		295		326

3.35%, 5/3/26		1,000		1,133

6.70%, 5/15/36		50		78

4.15%, 3/13/43		100		127

Hanover Insurance Group (The), Inc.,

4.50%, 4/15/26		200		227

Hartford Financial Services Group (The), Inc.,

5.95%, 10/15/36		285		391

Loews Corp.,

2.63%, 5/15/23		250		262

4.13%, 5/15/43		75		87

Marsh & McLennan Cos., Inc.,

3.50%, 6/3/24		75		82

3.50%, 3/10/25		385		425

3.75%, 3/14/26		75		85

4.38%, 3/15/29		260		315

5.88%, 8/1/33		880		1,239

Progressive (The) Corp.,

2.45%, 1/15/27		250		270

4.20%, 3/15/48		500		648

Transatlantic Holdings, Inc.,

8.00%, 11/30/39		70		110

Travelers (The) Cos., Inc.,

6.25%, 6/15/37		375		569

5.35%, 11/1/40		10		14

4.60%, 8/1/43		75		98

4.00%, 5/30/47		1,015		1,239



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Property & Casualty Insurance – 0.5% continued

Willis North America, Inc.,

2.95%, 9/15/29		$2,000		$2,155


				17,160


Publishing & Broadcasting – 0.1%

Discovery Communications LLC,

2.95%, 3/20/23		58		61

3.95%, 6/15/25		230		258

3.95%, 3/20/28		485		552

3.63%, 5/15/30		975		1,083

5.20%, 9/20/47		200		242

NBCUniversal Media LLC,

5.95%, 4/1/41		275		411

4.45%, 1/15/43		650		833


				3,440


Railroad – 0.4%

Burlington Northern Santa Fe LLC,

3.75%, 4/1/24		355		391

3.40%, 9/1/24		80		88

3.00%, 4/1/25		325		357

3.65%, 9/1/25		200		227

6.20%, 8/15/36		455		675

5.75%, 5/1/40		225		325

4.38%, 9/1/42		975		1,230

5.15%, 9/1/43		280		384

4.70%, 9/1/45		870		1,166

CSX Corp.,

3.40%, 8/1/24		500		547

3.35%, 11/1/25		50		56

2.60%, 11/1/26		270		294

6.00%, 10/1/36		100		142

6.15%, 5/1/37		190		276

6.22%, 4/30/40		365		537

5.50%, 4/15/41		50		68

3.95%, 5/1/50		1,000		1,227

Norfolk Southern Corp.,

2.90%, 2/15/23		625		657

2.90%, 6/15/26		100		110

3.95%, 10/1/42		20		24

4.45%, 6/15/45		275		349

3.94%, 11/1/47		524		629

3.16%, 5/15/55		137		146

Union Pacific Corp.,

4.16%, 7/15/22		437		462


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Railroad – 0.4% continued

3.50%, 6/8/23		$80		$86

3.65%, 2/15/24		524		571

3.25%, 1/15/25		35		39

2.75%, 3/1/26		300		329

3.80%, 10/1/51		1,500		1,782


				13,174


Real Estate – 0.8%

Alexandria Real Estate Equities, Inc.,

3.95%, 1/15/28		2,000		2,302

American Campus Communities Operating Partnership L.P.,

3.75%, 4/15/23		250		263

4.13%, 7/1/24		100		108

American Tower Corp.,

3.50%, 1/31/23		210		223

4.00%, 6/1/25		115		129

3.38%, 10/15/26		125		138

3.13%, 1/15/27		185		202

3.80%, 8/15/29		1,500		1,717

AvalonBay Communities, Inc.,

2.95%, 9/15/22		50		52

4.35%, 4/15/48		500		648

Boston Properties L.P.,

3.85%, 2/1/23		60		64

3.13%, 9/1/23		135		143

3.80%, 2/1/24		910		986

3.65%, 2/1/26		90		100

Brandywine Operating Partnership L.P.,

4.55%, 10/1/29		235		249

Camden Property Trust,

2.95%, 12/15/22		150		156

Corporate Office Properties L.P.,

3.60%, 5/15/23		90		94

5.25%, 2/15/24		100		109

Crown Castle International Corp.,

3.15%, 7/15/23		200		213

4.30%, 2/15/29		1,000		1,167

5.20%, 2/15/49		500		658

CubeSmart L.P.,

3.13%, 9/1/26		250		271

Digital Realty Trust L.P.,

3.60%, 7/1/29		500		574


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Real Estate – 0.8% continued

Duke Realty L.P.,

1.75%, 7/1/30		$500		$498

EPR Properties,

4.75%, 12/15/26		1,000		952

Equinix, Inc.,

2.15%, 7/15/30		2,000		2,025

ERP Operating L.P.,

4.63%, 12/15/21		111		115

3.50%, 3/1/28		1,000		1,131

4.50%, 6/1/45		55		71

Essex Portfolio L.P.,

3.25%, 5/1/23		50		53

3.88%, 5/1/24		200		219

4.00%, 3/1/29		300		347

Federal Realty Investment Trust,

3.00%, 8/1/22		25		26

Healthcare Realty Trust, Inc.,

2.40%, 3/15/30		255		259

Healthpeak Properties, Inc.,

4.25%, 11/15/23		3		3

3.88%, 8/15/24		230		255

3.40%, 2/1/25		200		219

3.25%, 7/15/26		630		703

Highwoods Realty L.P.,

3.63%, 1/15/23		100		104

Host Hotels & Resorts L.P.,

4.00%, 6/15/25		215		223

Kilroy Realty L.P.,

4.38%, 10/1/25		200		221

Kimco Realty Corp.,

4.25%, 4/1/45		759		806

Mid-America Apartments L.P.,

3.75%, 6/15/24		100		109

National Retail Properties, Inc.,

3.30%, 4/15/23		100		105

Office Properties Income Trust,

4.50%, 2/1/25		150		152

Piedmont Operating Partnership L.P.,

4.45%, 3/15/24		100		106

Realty Income Corp.,

3.25%, 10/15/22		265		278

4.65%, 8/1/23		185		204

3.00%, 1/15/27		240		261


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Real Estate – 0.8% continued
Simon Property Group L.P.,
2.75%, 2/1/23		$30		$31
3.38%, 10/1/24		90		97
3.30%, 1/15/26		70		76
3.38%, 6/15/27		585		627
2.45%, 9/13/29		1,865		1,847
6.75%, 2/1/40		690		967
Ventas Realty L.P.,
3.75%, 5/1/24		60		64
3.50%, 2/1/25		150		162
5.70%, 9/30/43		100		119
Ventas Realty L.P./Ventas Capital Corp., 3.25%, 8/15/22		320		333
Welltower, Inc.,
4.00%, 6/1/25		315		354
4.13%, 3/15/29		600		681
5.13%, 3/15/43		150		165
Weyerhaeuser Co.,
4.63%, 9/15/23		185		206
6.88%, 12/15/33		740		1,018


				26,758


Refining & Marketing – 0.1%
Marathon Petroleum Corp.,
3.63%, 9/15/24		305		326
5.13%, 12/15/26		210		244
6.50%, 3/1/41		466		568
Phillips 66,
4.65%, 11/15/34		395		472
5.88%, 5/1/42		140		184
4.88%, 11/15/44		165		196
Valero Energy Corp., 7.50%, 4/15/32		765		1,038


				3,028


Restaurants – 0.2%
McDonald’s Corp.,
2.63%, 1/15/22		1,000		1,029
3.63%, 5/1/43		209		234
4.88%, 12/9/45		542		703
4.45%, 3/1/47		350		436
4.20%, 4/1/50		400		487
Starbucks Corp.,
3.85%, 10/1/23		200		218


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Restaurants – 0.2% continued

4.30%, 6/15/45		$200		$235

3.50%, 11/15/50		2,000		2,130


				5,472


Retail - Consumer Discretionary – 0.5%
Amazon.com, Inc.,
2.50%, 11/29/22		150		156
2.40%, 2/22/23		500		524
2.80%, 8/22/24		1,000		1,082
5.20%, 12/3/25		500		609
4.80%, 12/5/34		1,050		1,448
4.95%, 12/5/44		255		363
4.25%, 8/22/57		500		683
AutoZone, Inc.,
3.70%, 4/15/22		55		57
3.13%, 7/15/23		135		144
3.75%, 6/1/27		250		284
eBay, Inc.,
2.60%, 7/15/22		500		516
2.75%, 1/30/23		110		115
3.60%, 6/5/27		500		564
4.00%, 7/15/42		235		263
Home Depot (The), Inc.,
2.63%, 6/1/22		25		26
2.13%, 9/15/26		275		296
2.50%, 4/15/27		495		538
3.30%, 4/15/40		2,000		2,272
5.40%, 9/15/40		680		967
5.95%, 4/1/41		405		612
4.88%, 2/15/44		405		553
3.13%, 12/15/49		155		173
Lowe’s Cos., Inc.,
3.80%, 11/15/21		500		516
3.12%, 4/15/22		500		518
3.13%, 9/15/24		550		598
4.50%, 4/15/30		1,000		1,241
4.65%, 4/15/42		50		63
4.25%, 9/15/44		75		90
4.55%, 4/5/49		35		45
5.13%, 4/15/50		2,000		2,760
TJX (The) Cos., Inc.,
2.50%, 5/15/23		205		215


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Retail - Consumer Discretionary – 0.5% continued
2.25%, 9/15/26		$105		$112
3.88%, 4/15/30		395		469


				18,872


Retail - Consumer Staples – 0.1%

Archer-Daniels-Midland Co.,

2.50%, 8/11/26		305		331

4.50%, 3/15/49		250		350
Bunge Ltd. Finance Corp., 3.25%, 8/15/26		615		663

Sysco Corp.,

2.60%, 6/12/22		95		98

3.75%, 10/1/25		1,000		1,099

3.30%, 7/15/26		120		131

5.38%, 9/21/35		250		307


				2,979


Semiconductors – 0.5%
Altera Corp.,
4.10%, 11/15/23		1,340		1,489
Applied Materials, Inc.,
3.90%, 10/1/25		500		574
1.75%, 6/1/30		500		515
5.85%, 6/15/41		100		148
Broadcom, Inc.,
4.75%, 4/15/29		1,285		1,497
4.15%, 11/15/30		2,270		2,550
Intel Corp.,
2.70%, 12/15/22		80		84
3.70%, 7/29/25		815		926
4.00%, 12/15/32		50		62
4.80%, 10/1/41		80		108
3.73%, 12/8/47		578		690
4.75%, 3/25/50		1,000		1,377
3.10%, 2/15/60		220		239
4.95%, 3/25/60		255		372
KLA Corp., 4.65%, 11/1/24		300		343
Lam Research Corp., 1.90%, 6/15/30		1,000		1,038
Maxim Integrated Products, Inc., 3.38%, 3/15/23		50		53
NVIDIA Corp., 3.50%, 4/1/50		1,000		1,170


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Semiconductors – 0.5% continued
QUALCOMM, Inc.,
3.25%, 5/20/27		$720		$808
4.80%, 5/20/45		795		1,073
Texas Instruments, Inc., 2.90%, 11/3/27		1,000		1,119


				16,235


Software & Services – 0.9%
Adobe, Inc.,
1.90%, 2/1/25		250		264
2.15%, 2/1/27		265		284
Autodesk, Inc., 3.50%, 6/15/27		500		567
CA, Inc., 4.50%, 8/15/23		250		265
Citrix Systems, Inc., 4.50%, 12/1/27		200		229
DXC Technology Co., 4.45%, 9/18/22		200		210
Equifax, Inc., 3.30%, 12/15/22		365		383
IBM Credit LLC, 3.00%, 2/6/23		980		1,042
International Business Machines Corp.,
2.88%, 11/9/22		235		248
3.63%, 2/12/24		170		187
3.00%, 5/15/24		2,000		2,166
7.00%, 10/30/25		385		501
3.45%, 2/19/26		435		494
6.50%, 1/15/28		100		134
1.95%, 5/15/30		715		738
4.00%, 6/20/42		320		385
4.25%, 5/15/49		500		627
Microsoft Corp.,
3.63%, 12/15/23		335		367
2.88%, 2/6/24		645		694
3.13%, 11/3/25		130		145
2.40%, 8/8/26		2,670		2,917
3.30%, 2/6/27		1,375		1,571
4.20%, 11/3/35		40		53
3.50%, 11/15/42		150		184
3.70%, 8/8/46		630		791
2.53%, 6/1/50		870		910
3.95%, 8/8/56		1,178		1,552


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Software & Services – 0.9% continued
2.68%, 6/1/60		$723		$763
Moody’s Corp., 4.88%, 2/15/24		250		283
Oracle Corp.,
2.50%, 10/15/22		210		219
2.63%, 2/15/23		65		68
2.40%, 9/15/23		30		32
3.40%, 7/8/24		320		350
2.95%, 11/15/24		60		65
2.95%, 5/15/25		885		964
2.65%, 7/15/26		3,100		3,385
3.25%, 11/15/27		1,965		2,223
3.80%, 11/15/37		5		6
5.38%, 7/15/40		590		823
4.13%, 5/15/45		365		435
4.00%, 7/15/46		330		391
3.60%, 4/1/50		1,000		1,127
4.38%, 5/15/55		25		31
3.85%, 4/1/60		1,000		1,180


				30,253


Supermarkets & Pharmacies – 0.1%
Kroger (The) Co.,
2.95%, 11/1/21		660		677
3.40%, 4/15/22		400		415
2.65%, 10/15/26		1,135		1,237
7.50%, 4/1/31		200		287
6.90%, 4/15/38		100		147
5.40%, 7/15/40		400		516
Walgreens Boots Alliance, Inc.,
3.45%, 6/1/26		375		410
4.50%, 11/18/34		50		57
4.65%, 6/1/46		635		676


				4,422


Tobacco – 0.3%
Altria Group, Inc.,
2.85%, 8/9/22		100		104
2.95%, 5/2/23		50		53
3.80%, 2/14/24		222		243
4.40%, 2/14/26		200		231
2.63%, 9/16/26		95		102
4.80%, 2/14/29		450		534
4.25%, 8/9/42		575		619
4.50%, 5/2/43		250		274


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Tobacco – 0.3% continued
5.38%, 1/31/44		$370		$460
5.95%, 2/14/49		220		295
6.20%, 2/14/59		280		383
BAT Capital Corp.,
3.22%, 8/15/24		2,000		2,140
3.56%, 8/15/27		330		356
4.91%, 4/2/30		160		189
4.54%, 8/15/47		435		466
Philip Morris International, Inc.,
2.90%, 11/15/21		300		308
2.50%, 11/2/22		250		260
2.63%, 3/6/23		100		105
3.38%, 8/11/25		250		278
3.88%, 8/21/42		150		170
4.13%, 3/4/43		405		474
4.88%, 11/15/43		100		128
4.25%, 11/10/44		350		423
Reynolds American, Inc.,
4.45%, 6/12/25		1,465		1,648
7.25%, 6/15/37		250		330
6.15%, 9/15/43		65		82
5.85%, 8/15/45		795		966


				11,621


Transportation & Logistics – 0.2%
Cummins, Inc.,
1.50%, 9/1/30		500		497
4.88%, 10/1/43		90		123
FedEx Corp.,
3.40%, 2/15/28		780		874
3.90%, 2/1/35		100		113
4.10%, 4/15/43		50		57
4.10%, 2/1/45		50		57
4.95%, 10/17/48		1,000		1,279
JB Hunt Transport Services, Inc., 3.85%, 3/15/24		95		104
Ryder System, Inc., 3.35%, 9/1/25		500		548
United Parcel Service, Inc.,
2.35%, 5/16/22		165		170
2.50%, 4/1/23		2,000		2,101
5.20%, 4/1/40		30		42
3.63%, 10/1/42		105		121
3.40%, 11/15/46		290		326


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 22.8% continued

Transportation & Logistics – 0.2% continued

4.25%, 3/15/49		$130		$166

5.30%, 4/1/50		500		742



				7,320



Travel & Lodging – 0.0%

Marriott International, Inc.,

3.13%, 10/15/21		750		760

3.13%, 2/15/23		150		153

3.13%, 6/15/26		130		130



				1,043





Utilities – 2.1%

AEP Transmission Co. LLC,

4.00%, 12/1/46		200		243

3.65%, 4/1/50		500		583

Alabama Power Co.,

6.13%, 5/15/38		50		73

5.50%, 3/15/41		150		205

4.10%, 1/15/42		730		856

3.85%, 12/1/42		60		71

Ameren Illinois Co.,

2.70%, 9/1/22		500		518

3.25%, 3/1/25		500		550

American Water Capital Corp.,

3.40%, 3/1/25		35		39

2.95%, 9/1/27		1,000		1,106

6.59%, 10/15/37		125		190

4.30%, 12/1/42		75		92

4.30%, 9/1/45		500		626

Appalachian Power Co.,

7.00%, 4/1/38		75		112

Arizona Public Service Co.,

4.50%, 4/1/42		230		288

4.70%, 1/15/44		100		125

4.20%, 8/15/48		250		309

Atmos Energy Corp.,

4.15%, 1/15/43		250		311

4.13%, 10/15/44		75		93

Baltimore Gas and Electric Co.,

3.50%, 11/15/21		275		282

2.40%, 8/15/26		130		141

3.75%, 8/15/47		475		558

Berkshire Hathaway Energy Co.,

5.15%, 11/15/43		500		684


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 22.8% continued

Utilities – 2.1% continued

CenterPoint Energy Houston Electric LLC,

2.25%, 8/1/22		$105		$108

2.40%, 9/1/26		50		54

3.00%, 2/1/27		150		165

3.55%, 8/1/42		40		46

4.25%, 2/1/49		500		646

CenterPoint Energy Resources Corp.,

6.63%, 11/1/37		50		72

5.85%, 1/15/41		50		68

CMS Energy Corp.,

3.00%, 5/15/26		40		44

3.45%, 8/15/27		500		560

4.88%, 3/1/44		500		655

Commonwealth Edison Co.,

6.45%, 1/15/38		200		303

3.80%, 10/1/42		90		106

4.60%, 8/15/43		100		128

Connecticut Light and Power (The) Co.,

2.50%, 1/15/23		420		437

4.00%, 4/1/48		250		317

Consolidated Edison Co. of New York, Inc.,

3.30%, 12/1/24		185		203

5.30%, 3/1/35		150		202

5.85%, 3/15/36		100		137

6.20%, 6/15/36		200		282

6.75%, 4/1/38		100		152

5.50%, 12/1/39		85		118

5.70%, 6/15/40		450		629

4.20%, 3/15/42		2,763		3,283

3.95%, 3/1/43		120		140

4.45%, 3/15/44		100		124

3.85%, 6/15/46		100		117

Dominion Energy South Carolina, Inc.,

6.05%, 1/15/38		265		384

5.10%, 6/1/65		50		75

Dominion Energy, Inc.,

4.25%, 6/1/28		1,000		1,178

5.25%, 8/1/33		250		318

5.95%, 6/15/35		750		1,004

7.00%, 6/15/38		20		30

4.90%, 8/1/41		35		45

4.05%, 9/15/42		100		117


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 22.8% continued

Utilities – 2.1% continued

DTE Electric Co.,

2.65%, 6/15/22		$160		$165

6.63%, 6/1/36		200		292

5.70%, 10/1/37		50		68

3.95%, 6/15/42		100		116

4.05%, 5/15/48		500		630

DTE Energy Co.,

6.38%, 4/15/33		50		70

Duke Energy Carolinas LLC,

6.45%, 10/15/32		106		151

6.10%, 6/1/37		150		220

4.25%, 12/15/41		210		261

3.75%, 6/1/45		350		414

Duke Energy Corp.,

3.75%, 4/15/24		100		110

2.65%, 9/1/26		2,000		2,164

3.75%, 9/1/46		120		137

Duke Energy Florida LLC,

6.35%, 9/15/37		340		515

3.40%, 10/1/46		290		326

Duke Energy Indiana LLC,

6.12%, 10/15/35		500		703

6.35%, 8/15/38		25		37

6.45%, 4/1/39		225		343

4.90%, 7/15/43		1,000		1,328

Duke Energy Progress LLC,

4.10%, 3/15/43		200		244

Entergy Arkansas LLC,

3.05%, 6/1/23		250		264

Entergy Louisiana LLC,

5.40%, 11/1/24		150		177

3.05%, 6/1/31		950		1,086

Entergy Texas, Inc.,

4.50%, 3/30/39		250		312

Evergy Kansas Central, Inc.,

4.13%, 3/1/42		275		332

4.63%, 9/1/43		150		190

Evergy Metro, Inc.,

5.30%, 10/1/41		50		67

Evergy, Inc.,

5.29%, 6/15/22		220		234

Eversource Energy,

2.80%, 5/1/23		105		110


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 22.8% continued

Utilities – 2.1% continued

3.15%, 1/15/25		$100		$109

3.30%, 1/15/28		165		184

Exelon Corp.,

5.63%, 6/15/35		75		100

5.10%, 6/15/45		100		130

FirstEnergy Corp.,

7.38%, 11/15/31		500		701

Florida Power & Light Co.,

5.65%, 2/1/37		335		478

5.95%, 2/1/38		150		222

5.96%, 4/1/39		250		373

5.69%, 3/1/40		30		44

4.13%, 2/1/42		250		312

4.05%, 6/1/42		100		124

3.99%, 3/1/49		1,000		1,280

Georgia Power Co.,

2.85%, 5/15/22		100		104

2.65%, 9/15/29		910		975

4.30%, 3/15/42		60		72

4.30%, 3/15/43		100		119

Indiana Michigan Power Co.,

6.05%, 3/15/37		200		283

Interstate Power and Light Co.,

4.70%, 10/15/43		50		64

ITC Holdings Corp.,

3.35%, 11/15/27		200		224

MidAmerican Energy Co.,

3.50%, 10/15/24		100		111

4.80%, 9/15/43		100		134

4.40%, 10/15/44		150		190

3.15%, 4/15/50		2,000		2,216

National Fuel Gas Co.,

4.90%, 12/1/21		150		155

3.75%, 3/1/23		250		259

National Grid U.S.A.,

5.80%, 4/1/35		425		554

National Rural Utilities Cooperative Finance Corp.,

3.05%, 2/15/22		35		36

2.85%, 1/27/25		1,000		1,089

8.00%, 3/1/32		50		80

4.30%, 3/15/49		125		162

Nevada Power Co.,

6.65%, 4/1/36		100		148


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Utilities – 2.1% continued
5.45%, 5/15/41		$35		$47
NextEra Energy Capital Holdings, Inc., 2.25%, 6/1/30		2,000		2,071
(Variable, ICE LIBOR USD 3M + 2.13%), 2.38%, 6/15/67⁽³⁾		25		21
NiSource, Inc., 5.95%, 6/15/41		77		108
5.25%, 2/15/43		100		131
4.80%, 2/15/44		580		725
Northern States Power Co., 5.35%, 11/1/39		1,065		1,500
4.13%, 5/15/44		200		252
NSTAR Electric Co., 2.38%, 10/15/22		100		103
Oglethorpe Power Corp., 5.38%, 11/1/40		150		181
Oklahoma Gas and Electric Co.,
4.55%, 3/15/44		65		80
4.15%, 4/1/47		200		236
Oncor Electric Delivery Co. LLC,
4.10%, 6/1/22		250		262
7.50%, 9/1/38		145		239
Pacific Gas and Electric Co.,
4.55%, 7/1/30		3,000		3,257
4.50%, 7/1/40		1,000		1,017
PacifiCorp,
2.95%, 2/1/22		100		103
5.25%, 6/15/35		50		70
6.10%, 8/1/36		200		283
5.75%, 4/1/37		540		741
6.25%, 10/15/37		275		399
6.00%, 1/15/39		60		86
4.13%, 1/15/49		50		62
Potomac Electric Power Co.,
3.60%, 3/15/24		150		164
PPL Capital Funding, Inc.,
4.20%, 6/15/22		50		53
3.50%, 12/1/22		1,035		1,091
5.00%, 3/15/44		100		125
PPL Electric Utilities Corp., 6.25%, 5/15/39		275		403
5.20%, 7/15/41		35		46
4.13%, 6/15/44		100		122


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Utilities – 2.1% continued
Progress Energy, Inc.,
7.75%, 3/1/31		$50		$73
PSEG Power LLC,
8.63%, 4/15/31		565		814
Public Service Co. of Colorado,
2.25%, 9/15/22		100		103
2.50%, 3/15/23		150		155
Public Service Co. of Oklahoma,
6.63%, 11/15/37		125		180
Public Service Electric and Gas Co.,
3.00%, 5/15/25		500		546
5.38%, 11/1/39		250		349
3.95%, 5/1/42		50		61
3.65%, 9/1/42		30		35
Puget Energy, Inc.,
3.65%, 5/15/25		500		535
Puget Sound Energy, Inc.,
5.48%, 6/1/35		25		33
6.27%, 3/15/37		75		108
5.64%, 4/15/41		340		482
San Diego Gas & Electric Co.,
3.60%, 9/1/23		200		216
6.13%, 9/15/37		50		67
4.50%, 8/15/40		150		183
4.30%, 4/1/42		150		176
Sempra Energy,
2.88%, 10/1/22		60		62
2.90%, 2/1/23		500		524
3.55%, 6/15/24		250		271
3.25%, 6/15/27		150		165
6.00%, 10/15/39		250		345
Sierra Pacific Power Co.,
3.38%, 8/15/23		160		172
Southern (The) Co.,
4.40%, 7/1/46		2,000		2,366
Southern California Edison Co.,
2.40%, 2/1/22		180		184
6.65%, 4/1/29		300		372
6.00%, 1/15/34		100		132
5.35%, 7/15/35		586		753
5.55%, 1/15/37		275		339
5.95%, 2/1/38		710		898
6.05%, 3/15/39		50		65


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Utilities – 2.1% continued
5.50%, 3/15/40		$150		$187
3.90%, 3/15/43		150		155
4.13%, 3/1/48		90		99
Southern California Gas Co.,
5.75%, 11/15/35		150		203
3.75%, 9/15/42		250		284
4.30%, 1/15/49		125		159
Southern Co. Gas Capital Corp.,
5.88%, 3/15/41		600		827
4.40%, 5/30/47		250		302
Southern Power Co.,
5.25%, 7/15/43		60		70
Southwest Gas Corp.,
3.80%, 9/29/46		250		276
Southwestern Electric Power Co.,
3.55%, 2/15/22		150		155
2.75%, 10/1/26		130		140
4.10%, 9/15/28		250		291
6.20%, 3/15/40		200		275
Southwestern Public Service Co.,
6.00%, 10/1/36		100		134
Tampa Electric Co.,
2.60%, 9/15/22		220		227
4.10%, 6/15/42		50		60
Union Electric Co.,
3.90%, 9/15/42		50		60
4.00%, 4/1/48		250		307
Virginia Electric and Power Co.,
2.95%, 1/15/22		95		97
6.00%, 1/15/36		37		52
6.00%, 5/15/37		15		22
8.88%, 11/15/38		300		554
4.65%, 8/15/43		150		199
4.45%, 2/15/44		75		98
3.80%, 9/15/47		125		152
WEC Energy Group, Inc.,
3.55%, 6/15/25		280		314
Wisconsin Electric Power Co.,
5.70%, 12/1/36		150		211
Wisconsin Power and Light Co.,
2.25%, 11/15/22		300		308
4.10%, 10/15/44		100		117


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Utilities – 2.1% continued
Wisconsin Public Service Corp.,
4.75%, 11/1/44		$100		$130
Xcel Energy, Inc.,
6.50%, 7/1/36		100		147


				73,754


Waste & Environment Services & Equipment – 0.1%
Republic Services, Inc.,
3.55%, 6/1/22		100		104
3.20%, 3/15/25		290		318
3.38%, 11/15/27		556		632
Waste Management, Inc.,
3.13%, 3/1/25		1,130		1,238
3.90%, 3/1/35		125		152
4.10%, 3/1/45		500		611


				3,055


Wireless Telecommunications Services – 0.9%
AT&T, Inc.,
3.40%, 5/15/25		835		924
3.60%, 7/15/25		215		240
7.13%, 3/15/26		435		553
3.80%, 2/15/27		165		186
4.35%, 3/1/29		1,525		1,795
4.30%, 2/15/30		3,235		3,835
2.75%, 6/1/31		880		928
6.35%, 3/15/40		455		633
5.35%, 9/1/40		153		193
6.38%, 3/1/41		385		550
6.25%, 3/29/41		175		240
5.55%, 8/15/41		90		117
5.38%, 10/15/41		500		639
5.15%, 3/15/42		55		69
5.35%, 12/15/43		1,135		1,412
4.35%, 6/15/45		165		185
4.75%, 5/15/46		120		141
5.15%, 11/15/46		1,292		1,619
4.50%, 3/9/48		2,000		2,295
3.65%, 6/1/51		1,000		1,009
3.85%, 6/1/60		230		234
T-Mobile U.S.A., Inc.,
3.88%, 4/15/30⁽⁴⁾		1,000		1,135
4.50%, 4/15/50⁽⁴⁾		2,000		2,399
Verizon Communications, Inc.,
4.15%, 3/15/24		385		428


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS - 22.8% continued

Wireless Telecommunications Services – 0.9% continued
2.63%, 8/15/26		$1,635		$1,787
4.33%, 9/21/28		2,190		2,655
4.02%, 12/3/29		810		970
5.25%, 3/16/37		80		111
5.50%, 3/16/47		1,155		1,740
4.52%, 9/15/48		2,000		2,620


				31,642


Total Corporate Bonds

(Cost $728,496)				796,284


FOREIGN ISSUER BONDS – 7.2%

Advertising & Marketing – 0.0%
WPP Finance 2010,
3.75%, 9/19/24		150		165


Auto Parts Manufacturing – 0.0%
Aptiv PLC,
4.25%, 1/15/26		1,000		1,144


Banks – 0.6%
Australia & New Zealand Banking Group Ltd.,
2.55%, 11/23/21		250		256
BPCE S.A.,
4.00%, 4/15/24		250		277
Cooperatieve Rabobank U.A.,
3.88%, 2/8/22		1,750		1,833
3.95%, 11/9/22		250		266
2.75%, 1/10/23		1,000		1,052
3.38%, 5/21/25		500		562
5.75%, 12/1/43		250		356
Credit Suisse A.G.,
3.00%, 10/29/21		1,250		1,285
3.63%, 9/9/24		750		830
Credit Suisse Group Funding Guernsey Ltd.,
4.55%, 4/17/26		650		758
4.88%, 5/15/45		500		668
Deutsche Bank A.G.,
4.25%, 10/14/21		2,000		2,059
ING Groep N.V.,
3.15%, 3/29/22		500		519
Lloyds Banking Group PLC, (Variable, ICE LIBOR USD 3M +
1.25%), 2.86%, 3/17/23 ⁽⁵⁾		680		699


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 7.2% continued

Banks – 0.6% continued
(Variable, ICE LIBOR USD 3M + 0.81%), 2.91%, 11/7/23 ⁽⁵⁾		$105		$109
4.58%, 12/10/25		2,095		2,303
4.34%, 1/9/48		500		588
National Australia Bank Ltd.,
3.00%, 1/20/23		1,000		1,058
3.38%, 1/14/26		1,000		1,131
Santander UK PLC,
4.00%, 3/13/24		250		276
Sumitomo Mitsui Banking Corp.,
3.00%, 1/18/23		210		221
3.65%, 7/23/25		500		560
Svenska Handelsbanken AB,
3.90%, 11/20/23		250		276
Toronto-Dominion Bank (The),
3.25%, 3/11/24		500		542
Westpac Banking Corp.,
2.85%, 5/13/26		1,000		1,110
2.70%, 8/19/26		1,000		1,097
3.35%, 3/8/27		500		574


				21,265


Cable & Satellite – 0.0%
Grupo Televisa S.A.B.,
6.63%, 1/15/40		570		752


Casinos & Gaming – 0.0%
Sands China Ltd.,
5.40%, 8/8/28		1,000		1,112


Chemicals – 0.1%
LYB International Finance B.V.,
4.00%, 7/15/23		185		200
5.25%, 7/15/43		565		691
LyondellBasell Industries N.V.,
4.63%, 2/26/55		35		40
Nutrien Ltd.,
3.15%, 10/1/22		200		209
3.00%, 4/1/25		180		195
7.13%, 5/23/36		100		140
5.88%, 12/1/36		50		64
5.63%, 12/1/40		250		324
6.13%, 1/15/41		100		133


				1,996



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 7.2% continued

Commercial Finance – 0.0%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust,
3.95%, 2/1/22		$250		$253
3.50%, 1/15/25		389		379


				632


Design, Manufacturing & Distribution – 0.0%
Flex Ltd.,
5.00%, 2/15/23		572		623


Diversified Banks – 1.1%
Banco Santander S.A.,
3.31%, 6/27/29		1,600		1,740
Bank of Montreal,
2.90%, 3/26/22		500		519
2.35%, 9/11/22		1,000		1,040
2.55%, 11/6/22		300		313
Bank of Nova Scotia (The),
2.70%, 8/3/26		1,000		1,095
Barclays PLC,
3.68%, 1/10/23		250		258
(Variable, ICE LIBOR USD 3M + 1.40%), 4.61%, 2/15/23 ⁽⁵⁾		2,000		2,093
(Variable, ICE LIBOR USD 3M + 1.36%), 4.34%, 5/16/24 ⁽⁵⁾		800		859
(Variable, ICE LIBOR USD 3M + 1.61%),3.93%,5/7/25 ⁽⁵⁾		705		759
4.38%, 1/12/26		355		398
5.20%, 5/12/26		345		382
5.25%, 8/17/45		730		962
BNP Paribas S.A.,
3.25%, 3/3/23		250		267
HSBC Holdings PLC,
(Variable, ICE LIBOR USD 3M + 1.21%), 3.80%, 3/11/25 ⁽⁵⁾		4,000		4,322
4.30%, 3/8/26		2,000		2,255
6.50%, 9/15/37		300		407
6.80%, 6/1/38		150		211
5.25%, 3/14/44		1,000		1,266
Mitsubishi UFJ Financial Group, Inc.,
2.19%, 2/25/25		2,000		2,095
3.29%, 7/25/27		750		837
3.74%, 3/7/29		1,500		1,723
Mizuho Financial Group, Inc.,
2.60%, 9/11/22		200		208



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 7.2% continued

Diversified Banks – 1.1% continued
(Variable, ICE LIBOR USD 3M + 1.00%), 3.92%, 9/11/24 ⁽⁵⁾		$3,000		$3,262
(Variable, ICE LIBOR USD 3M + 1.07%), 2.59%, 5/25/31 ⁽⁵⁾		1,000		1,049
Natwest Group PLC,
(Variable, ICE LIBOR USD 3M + 1.55%), 4.52%, 6/25/24 ⁽⁵⁾		500		539
(Variable, ICE LIBOR USD 3M + 1.76%), 4.27%, 3/22/25 ⁽⁵⁾		250		272
(Variable, ICE LIBOR USD 3M + 1.75%), 4.89%, 5/18/29 ⁽⁵⁾		2,000		2,326
Royal Bank of Canada,
3.70%, 10/5/23		500		546
4.65%, 1/27/26		600		708
Sumitomo Mitsui Financial Group, Inc.,
2.70%, 7/16/24		2,000		2,128
2.63%, 7/14/26		1,000		1,078
3.54%, 1/17/28		1,250		1,400


				37,317


Electrical Equipment Manufacturing – 0.0%
Johnson Controls International PLC,
4.63%, 7/2/44		105		131
5.13%, 9/14/45		35		46
4.95%, 7/2/64		110		143
Tyco Electronics Group S.A.,
3.50%, 2/3/22		125		129
7.13%, 10/1/37		50		75


				524


Exploration & Production – 0.1%
Burlington Resources LLC,
7.20%, 8/15/31		320		463
Canadian Natural Resources Ltd.,
3.85%, 6/1/27		1,695		1,825
7.20%, 1/15/32		15		19
6.45%, 6/30/33		135		165
6.75%, 2/1/39		200		253
CNOOC Finance 2013 Ltd.,
3.00%, 5/9/23		250		262
CNOOC Petroleum North America ULC,
7.88%, 3/15/32		75		117
5.88%, 3/10/35		210		300
6.40%, 5/15/37		390		577


				3,981



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 7.2% continued

Financial Services – 0.1%
Brookfield Finance, Inc.,
4.35%, 4/15/30		$2,000		$2,335
GE Capital International Funding Co. Unlimited Co.,
3.37%, 11/15/25		205		219
4.42%, 11/15/35		1,000		1,056
Invesco Finance PLC,
4.00%, 1/30/24		100		109
3.75%, 1/15/26		1,000		1,124


				4,843


Food & Beverage – 0.0%
Coca-Cola Femsa S.A.B. de C.V.,
5.25%, 11/26/43		150		203
Diageo Capital PLC,
3.88%, 4/29/43		175		210


				413


Government Agencies – 0.1%
FMS Wertmanagement,
2.75%, 3/6/23		1,500		1,590


Government Development Banks – 0.7%
Export Development Canada,
2.75%, 3/15/23		1,000		1,060
Export-Import Bank of Korea,
2.63%, 5/26/26		1,000		1,093
Japan Bank for International Cooperation,
2.38%, 11/16/22		1,000		1,042
2.50%, 5/23/24		2,000		2,146
2.75%, 11/16/27		2,000		2,266
3.50%, 10/31/28		750		902
Korea Development Bank (The),
3.00%, 9/14/22		215		225
3.38%, 3/12/23		300		319
Kreditanstalt fuer Wiederaufbau,
2.63%, 1/25/22		900		928
2.13%, 6/15/22		1,000		1,032
2.00%, 10/4/22		250		259
2.13%, 1/17/23		1,000		1,043
2.63%, 2/28/24		1,000		1,079
1.38%, 8/5/24		3,000		3,122
0.38%, 7/18/25		1,500		1,497
2.88%, 4/3/28		1,215		1,414
0.00%, 4/18/36 ⁽¹⁰⁾		500		411



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 7.2% continued

Government Development Banks – 0.7% continued
Landwirtschaftliche Rentenbank,
2.00%, 1/13/25		$1,000		$1,068
2.38%, 6/10/25		1,000		1,090
Oesterreichische Kontrollbank A.G.,
2.38%, 10/1/21		1,000		1,021
Svensk Exportkredit AB,
0.75%, 4/6/23		2,000		2,020


				25,037


Government Regional – 0.4%
Province of Alberta Canada,
3.35%, 11/1/23		2,000		2,174
Province of British Columbia Canada,
2.00%, 10/23/22		300		311
7.25%, 9/1/36		175		298
Province of Manitoba Canada,
2.10%, 9/6/22		100		103
Province of Nova Scotia Canada,
8.25%, 7/30/22		350		397
Province of Ontario Canada,
2.45%, 6/29/22		500		518
3.40%, 10/17/23		2,000		2,180
3.20%, 5/16/24		4,000		4,394
2.50%, 4/27/26		500		548
Province of Quebec Canada,
2.63%, 2/13/23		875		921
7.50%, 7/15/23		300		357
7.13%, 2/9/24		100		122
2.50%, 4/9/24		91		98
2.88%, 10/16/24		250		273
7.50%, 9/15/29		375		576
Province of Saskatchewan Canada,
8.50%, 7/15/22		200		228


				13,498


Hardware – 0.0%
Seagate HDD Cayman,
4.88%, 6/1/27		187		209
4.09%, 6/1/29 ⁽⁴⁾		200		218
5.75%, 12/1/34		142		162


				589


Integrated Oils – 0.4%
BP Capital Markets PLC,
3.99%, 9/26/23		30		33



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 7.2% continued

Integrated Oils – 0.4% continued
3.28%, 9/19/27		$595		$661
CNOOC Finance 2014 ULC,
4.25%, 4/30/24		300		331
Ecopetrol S.A.,
4.13%, 1/16/25		1,000		1,050
Equinor ASA,
2.75%, 11/10/21		145		148
2.45%, 1/17/23		280		292
7.75%, 6/15/23		350		413
3.25%, 11/10/24		125		137
3.13%, 4/6/30		2,000		2,252
2.38%, 5/22/30		370		391
4.25%, 11/23/41		350		419
Husky Energy, Inc.,
4.40%, 4/15/29		85		89
Shell International Finance B.V.,
2.25%, 1/6/23		345		359
2.88%, 5/10/26		100		111
2.50%, 9/12/26		1,335		1,455
2.38%, 11/7/29		25		26
4.13%, 5/11/35		1,010		1,216
5.50%, 3/25/40		225		315
3.63%, 8/21/42		200		219
4.55%, 8/12/43		60		75
4.38%, 5/11/45		390		478
3.75%, 9/12/46		230		257
3.13%, 11/7/49		290		297
Suncor Energy, Inc.,
7.15%, 2/1/32		200		262
5.95%, 12/1/34		50		61
5.95%, 5/15/35		430		532
6.80%, 5/15/38		130		170
Total Capital International S.A.,
2.88%, 2/17/22		200		207
3.70%, 1/15/24		415		455
3.75%, 4/10/24		330		365

2.83%, 1/10/30		2,000		2,214


				15,290


Internet Media – 0.0%
Baidu, Inc.,

3.50%, 11/28/22		200		210



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 7.2% continued

Life Insurance – 0.0%
AXA S.A.,

8.60%, 12/15/30		$75		$115


Machinery Manufacturing – 0.0%
Trane Technologies Luxembourg Finance S.A.,

3.50%, 3/21/26		250		280

4.65%, 11/1/44		35		43


				323


Medical Equipment & Devices Manufacturing – 0.1%
DH Europe Finance II S.a.r.l.,

2.60%, 11/15/29		2,000		2,174
Koninklijke Philips N.V.,

6.88%, 3/11/38		225		344

5.00%, 3/15/42		100		131


				2,649


Metals & Mining – 0.1%
BHP Billiton Finance U.S.A. Ltd.,

4.13%, 2/24/42		600		750
Rio Tinto Alcan, Inc.,

6.13%, 12/15/33		100		146

5.75%, 6/1/35		100		143
Rio Tinto Finance U.S.A. PLC,

4.75%, 3/22/42		150		204

4.13%, 8/21/42		300		386


				1,629


Pharmaceuticals – 0.1%
AstraZeneca PLC,

3.13%, 6/12/27		100		111

1.38%, 8/6/30		1,000		973

6.45%, 9/15/37		450		684

4.00%, 9/18/42		250		307
Mylan N.V.,

3.95%, 6/15/26		285		321
Sanofi,

3.63%, 6/19/28		250		293
Shire Acquisitions Investments Ireland DAC,

2.88%, 9/23/23		250		265
Takeda Pharmaceutical Co. Ltd.,

4.40%, 11/26/23		300		333

3.18%, 7/9/50		204		207


				3,494


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
FOREIGN ISSUER BONDS - 7.2% continued

Pipeline – 0.1%
Enbridge, Inc.,
4.50%, 6/10/44		$40		$45
TransCanada PipeLines Ltd.,
5.85%, 3/15/36		200		262
6.20%, 10/15/37		445		595
4.75%, 5/15/38		1,003		1,180
6.10%, 6/1/40		375		496
(Variable, ICE LIBOR USD 3M + 2.21%), 2.49%, 5/15/67 ⁽³⁾		100		70


				2,648


Property & Casualty Insurance – 0.1%
Aon PLC,
3.50%, 6/14/24		500		546
Arch Capital Group Ltd.,
3.64%, 6/30/50		500		538
Aspen Insurance Holdings Ltd.,
4.65%, 11/15/23		270		292
Fairfax Financial Holdings Ltd.,
4.85%, 4/17/28		250		274
XLIT Ltd.,
4.45%, 3/31/25		210		237
5.25%, 12/15/43		250		348


				2,235


Railroad – 0.1%
Canadian National Railway Co.,
2.85%, 12/15/21		85		87
2.75%, 3/1/26		250		275
6.90%, 7/15/28		25		34
6.25%, 8/1/34		15		23
6.20%, 6/1/36		40		60
6.38%, 11/15/37		20		31
3.50%, 11/15/42		150		169
Canadian Pacific Railway Co.,
5.95%, 5/15/37		710		1,043


				1,722


Retail - Consumer Discretionary – 0.1%
Alibaba Group Holding Ltd.,
3.40%, 12/6/27		335		375
4.40%, 12/6/57		2,000		2,693


				3,068


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
FOREIGN ISSUER BONDS - 7.2% continued

Semiconductors – 0.1%
Broadcom Corp./Broadcom Cayman Finance Ltd.,
2.65%, 1/15/23		$80		$83
3.13%, 1/15/25		310		330
3.88%, 1/15/27		2,090		2,316
NXP B.V./NXP Funding LLC/NXP U.S.A., Inc.,
3.40%, 5/1/30 ⁽⁴⁾		2,000		2,189


				4,918


Software & Services – 0.0%
Thomson Reuters Corp.,
5.50%, 8/15/35		150		195
5.65%, 11/23/43		285		372


				567


Sovereigns – 1.1%
Canada Government International Bond,
2.00%, 11/15/22		500		519
Chile Government International Bond,
3.13%, 1/21/26		500		554
3.63%, 10/30/42		200		230
Colombia Government International Bond,
4.50%, 1/28/26		500		554
7.38%, 9/18/37		350		493
6.13%, 1/18/41		250		321
5.63%, 2/26/44		500		622
5.00%, 6/15/45		1,500		1,747
4.13%, 5/15/51		1,000		1,042
Hungary Government International Bond,
5.75%, 11/22/23		2,000		2,292
5.38%, 3/25/24		390		447
Indonesia Government International Bond,
3.50%, 1/11/28		500		546
5.35%, 2/11/49		1,000		1,323
Israel Government International Bond,
4.00%, 6/30/22		250		265
4.50%, 1/30/43		200		261
3.88%, 7/3/50		1,500		1,800
Korea International Bond,
3.88%, 9/11/23		200		219
2.75%, 1/19/27		200		220


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
FOREIGN ISSUER BONDS - 7.2% continued

Sovereigns – 1.1% continued
3.50%, 9/20/28		$500		$588
Mexico Government International Bond,
4.00%, 10/2/23		150		163
3.75%, 1/11/28		1,000		1,077
3.25%, 4/16/30		2,000		2,049
7.50%, 4/8/33		100		138
6.75%, 9/27/34		750		1,006
6.05%, 1/11/40		820		1,026
4.75%, 3/8/44		1,000		1,090
5.55%, 1/21/45		500		603
4.60%, 1/23/46		500		538
4.35%, 1/15/47		500		519
Panama Government International Bond,
4.00%, 9/22/24		575		629
3.75%, 3/16/25		500		546
3.88%, 3/17/28		500		567
6.70%, 1/26/36		550		798
4.50%, 5/15/47		250		313
4.50%, 4/1/56		1,000		1,252
Peruvian Government International Bond,
7.35%, 7/21/25		500		640
6.55%, 3/14/37		500		756
5.63%, 11/18/50		600		955
Philippine Government International Bond,
4.20%, 1/21/24		1,000		1,110
10.60%, 3/16/25		500		711
5.50%, 3/30/26		200		247
7.75%, 1/14/31		500		760
6.38%, 10/23/34		500		723
5.00%, 1/13/37		500		651
3.70%, 2/2/42		500		579
Republic of Italy Government International Bond,
2.88%, 10/17/29		2,000		2,070
5.38%, 6/15/33		175		221
Republic of Poland Government International Bond,
3.00%, 3/17/23		1,000		1,060
4.00%, 1/22/24		150		167


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
FOREIGN ISSUER BONDS - 7.2% continued

Sovereigns – 1.1% continued
Uruguay Government International Bond,
7.63%, 3/21/36		$250		$389
4.13%, 11/20/45		400		474
5.10%, 6/18/50		750		1,009


				38,879


Supermarkets & Pharmacies – 0.0%
Koninklijke Ahold Delhaize N.V.,
5.70%, 10/1/40		116		165


Supranationals – 1.4%
African Development Bank,
3.00%, 9/20/23		750		810
Asian Development Bank,
2.13%, 11/24/21		100		102
0.63%, 4/7/22		2,000		2,012
2.50%, 11/2/27		500		563
1.88%, 1/24/30		5,000		5,459
Asian Infrastructure Investment Bank (The),
0.50%, 5/28/25		2,000		2,003
Corp. Andina de Fomento,
4.38%, 6/15/22		613		645
European Bank for Reconstruction & Development,
2.75%, 3/7/23		500		530
European Investment Bank,
2.13%, 10/15/21		200		204
2.25%, 3/15/22		250		257
2.50%, 3/15/23		2,500		2,638
0.25%, 9/15/23		2,000		1,999
3.25%, 1/29/24		250		275
2.63%, 3/15/24		2,000		2,160
2.25%, 6/24/24		2,000		2,145
2.50%, 10/15/24		1,000		1,087
2.13%, 4/13/26		1,500		1,637
4.88%, 2/15/36		200		302
Inter-American Development Bank,
1.75%, 9/14/22		400		412
2.50%, 1/18/23		5,000		5,256
3.00%, 2/21/24		150		163
2.13%, 1/15/25		500		536
2.00%, 6/2/26		1,000		1,081
3.13%, 9/18/28		1,000		1,185


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
FOREIGN ISSUER BONDS - 7.2% continued

Supranationals – 1.4% continued
3.88%, 10/28/41		$200		$280
International Bank for Reconstruction & Development,
2.00%, 1/26/22		235		240
1.63%, 2/10/22		1,000		1,019
2.50%, 11/25/24		600		653
2.13%, 3/3/25		700		753
0.63%, 4/22/25		3,000		3,028
0.38%, 7/28/25		5,000		4,987
2.50%, 7/29/25		500		550
4.75%, 2/15/35		25		37
International Finance Corp.,
2.88%, 7/31/23		2,000		2,147
Nordic Investment Bank,
2.25%, 5/21/24		1,000		1,070


				48,225


Wireless Telecommunications Services – 0.2%
America Movil S.A.B. de C.V.,
3.13%, 7/16/22		295		306
6.13%, 11/15/37		505		714
Orange S.A.,
9.00%, 3/1/31		610		994
Rogers Communications, Inc.,
3.00%, 3/15/23		80		84
3.63%, 12/15/25		1,000		1,132
4.50%, 3/15/43		45		55
5.45%, 10/1/43		130		178
Vodafone Group PLC,
3.75%, 1/16/24		420		458
4.13%, 5/30/25		895		1,021
7.88%, 2/15/30		15		22
6.15%, 2/27/37		1,065		1,468
4.38%, 2/19/43		95		110
5.25%, 5/30/48		135		175


				6,717


Wireline Telecommunications Services – 0.1%
Bell Canada, Inc.,
4.46%, 4/1/48		500		615
British Telecommunications PLC,
9.63%, 12/15/30		100		160
Deutsche Telekom International Finance B.V.,
8.75%, 6/15/30		400		622


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
FOREIGN ISSUER BONDS - 7.2% continued

Wireline Telecommunications Services – 0.1% continued
Telefonica Emisiones S.A.,
4.57%, 4/27/23		$240		$263
4.10%, 3/8/27		1,010		1,149
5.21%, 3/8/47		150		178
4.90%, 3/6/48		80		92
5.52%, 3/1/49		500		623


				3,702

Total Foreign Issuer Bonds

(Cost $234,755)				252,037


U.S. GOVERNMENT AGENCIES – 29.4% ⁽¹¹⁾

Fannie Mae – 13.7%
2.25%, 4/12/22		3,000		3,097
0.25%, 7/10/23		1,000		1,000
2.88%, 9/12/23		1,500		1,617
1.75%, 7/2/24		2,000		2,111
2.63%, 9/6/24		1,000		1,093
0.50%, 6/17/25		4,000		4,018
2.13%, 4/24/26		1,000		1,092
7.13%, 1/15/30		1,500		2,322
6.63%, 11/15/30		200		307
5.63%, 7/15/37		500		804
Fannie Mae-Aces, Series 2012-M17, Class A2,
2.18%, 11/25/22		120		123
Fannie Mae-Aces, Series 2012-M2, Class A2,
2.72%, 2/25/22		74		76
Fannie Mae-Aces, Series 2012-M4, Class 1A2,
2.98%, 4/25/22		52		53
Fannie Mae-Aces, Series 2012-M5, Class A2,
2.72%, 2/25/22		82		84
Fannie Mae-Aces, Series 2012-M9, Class A2,
2.48%, 4/25/22		101		102
Fannie Mae-Aces, Series 2013-M14, Class A2,
3.33%, 10/25/23		141		149
Fannie Mae-Aces, Series 2013-M6, Class 2A,
2.62%, 3/25/23⁽²⁾⁽³⁾		85		89


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Fannie Mae-Aces, Series 2013-M9, Class A2,
2.39%, 1/25/23		$65		$68
Fannie Mae-Aces, Series 2014-M13, Class A2,
3.02%, 8/25/24		95		102
Fannie Mae-Aces, Series 2014-M3, Class A2,
3.50%, 1/25/24		252		273
Fannie Mae-Aces, Series 2014-M9, Class A2,
3.10%, 7/25/24		335		364
Fannie Mae-Aces, Series 2015-M1, Class A2,
2.53%, 9/25/24		143		151
Fannie Mae-Aces, Series 2015-M11, Class A2,
2.92%, 4/25/25⁽²⁾⁽³⁾		500		540
Fannie Mae-Aces, Series 2015-M3, Class A2,
2.72%, 10/25/24		231		247
Fannie Mae-Aces, Series 2016-M3, Class A2,
2.70%, 2/25/26		99		107
Fannie Mae-Aces, Series 2016-M4, Class A2,
2.58%, 3/25/26		100		109
Fannie Mae-Aces, Series 2016-M5, Class A2,
2.47%, 4/25/26		250		272
Fannie Mae-Aces, Series 2016-M7, Class AV2,
2.16%, 10/25/23		234		241
Fannie Mae-Aces, Series 2016-M9, Class A2,
2.29%, 6/25/26		100		106
Fannie Mae-Aces, Series 2017-M1, Class A2,
2.50%, 10/25/26⁽²⁾⁽³⁾		100		109
Fannie Mae-Aces, Series 2017-M11, Class A2,
2.98%, 8/25/29		125		143
Fannie Mae-Aces, Series 2017-M14, Class A2,
2.97%, 11/25/27⁽²⁾⁽³⁾		250		282


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Fannie Mae-Aces, Series 2017-M2, Class A2,
2.89%, 2/25/27⁽²⁾⁽³⁾		$100		$111
Fannie Mae-Aces, Series 2017-M4, Class A2,
2.67%, 12/25/26⁽²⁾⁽³⁾		150		163
Fannie Mae-Aces, Series 2017-M5, Class A2,
3.29%, 4/25/29⁽²⁾⁽³⁾		125		144
Fannie Mae-Aces, Series 2017-M8, Class A2,
3.06%, 5/25/27		300		339
Fannie Mae-Aces, Series 2018-M1, Class A2,
3.08%, 12/25/27⁽²⁾⁽³⁾		250		282
Fannie Mae-Aces, Series 2018-M10, Class A2,
3.48%, 7/25/28⁽²⁾⁽³⁾		200		233
Fannie Mae-Aces, Series 2018-M12, Class A2,
3.78%, 8/25/30⁽²⁾⁽³⁾		110		133
Fannie Mae-Aces, Series 2018-M13, Class A2,
3.82%, 9/25/30⁽²⁾⁽³⁾		200		244
Fannie Mae-Aces, Series 2018-M14, Class A2,
3.70%, 8/25/28⁽²⁾⁽³⁾		700		826
Fannie Mae-Aces, Series 2018-M2, Class A2,
3.00%, 1/25/28⁽²⁾⁽³⁾		125		142
Fannie Mae-Aces, Series 2018-M3, Class A2,
3.19%, 2/25/30⁽²⁾⁽³⁾		100		115
Fannie Mae-Aces, Series 2018-M4, Class A2,
3.15%, 3/25/28⁽²⁾⁽³⁾		100		114
Fannie Mae-Aces, Series 2018-M8, Class A2,
3.44%, 6/25/28⁽²⁾⁽³⁾		100		116
Fannie Mae-Aces, Series 2019-M1, Class A2,
3.67%, 9/25/28⁽²⁾⁽³⁾		650		771
Fannie Mae-Aces, Series 2019-M18, Class A2,
2.47%, 8/25/29		200		221


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Fannie Mae-Aces, Series 2019-M4, Class A2,
3.61%, 2/25/31		$150		$179
Fannie Mae-Aces, Series 2019-M7, Class A2,
3.14%, 4/25/29		200		231
Fannie Mae-Aces, Series 2019-M9, Class A2,
2.94%, 4/25/29		200		226
Fannie Mae-Aces, Series 2020-M1, Class A2,
2.44%, 10/25/29		150		161
Fannie Mae-Aces, Series 2020-M20, Class A2,
1.44%, 10/25/29		500		512
Fannie Mae-Aces, Series 2020-M29, Class A2,
1.49%, 5/25/30		500		517
Federal National Mortgage Association,
0.25%, 5/22/23		3,000		3,002
Pool #256792,
6.50%, 6/1/22		5		5
Pool #256925,
6.00%, 10/1/37		12		14
Pool #256959,
6.00%, 11/1/37		73		85
Pool #257042,
6.50%, 1/1/38		153		180
Pool #257106,
4.50%, 1/1/28		2		2
Pool #257237,
4.50%, 6/1/28		17		19
Pool #707791,
5.00%, 6/1/33		79		90
Pool #725425,
5.50%, 4/1/34		30		36
Pool #730811,
4.50%, 8/1/33		70		77
Pool #735222,
5.00%, 2/1/35		18		20
Pool #735358,
5.50%, 2/1/35		74		87


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #735502,
6.00%, 4/1/35		$11		$13
Pool #737853,
5.00%, 9/1/33		149		168
Pool #745336,
5.00%, 3/1/36		369		424
Pool #745418,
5.50%, 4/1/36		27		31
Pool #745754,
5.00%, 9/1/34		214		246
Pool #745826,
6.00%, 7/1/36		90		106
Pool #747383,
5.50%, 10/1/33		60		66
Pool #755632,
5.00%, 4/1/34		57		65
Pool #772730,
5.00%, 4/1/34		69		79
Pool #790406,
6.00%, 9/1/34		41		48
Pool #793666,
5.50%, 9/1/34		44		50
Pool #796250,
5.50%, 11/1/34		39		45
Pool #800471,
5.50%, 10/1/34		159		186
Pool #817795,
6.00%, 8/1/36		20		23
Pool #826057,
5.00%, 7/1/35		45		52
Pool #826585,
5.00%, 8/1/35		83		95
Pool #828523,
5.00%, 7/1/35		34		39
Pool #831676,
6.50%, 8/1/36		10		12
Pool #833067,
5.50%, 9/1/35		122		142
Pool #833163,
5.00%, 9/1/35		49		57
Pool #840577,
5.00%, 10/1/20⁽¹²⁾		–		–


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #844909, 4.50%, 10/1/20⁽¹²⁾		$—		$—
Pool #845425, 6.00%, 2/1/36		39		45
Pool #847921, 5.50%, 11/1/20		1		1
Pool #864435, 4.50%, 12/1/20		1		1
Pool #868435, 6.00%, 4/1/36		88		104
Pool #869710, 6.00%, 4/1/36		31		37
Pool #871135, 6.00%, 1/1/37		32		37
Pool #880505, 6.00%, 8/1/21		1		1
Pool #881818, 6.50%, 8/1/36		51		60
Pool #885769, 6.00%, 6/1/36		5		6
Pool #885866, 6.00%, 6/1/36		71		82
Pool #888100, 5.50%, 9/1/36		123		144
Pool #888152, 5.00%, 5/1/21⁽¹²⁾		—		—
Pool #888205, 6.50%, 2/1/37		26		31
Pool #888447, 4.00%, 5/1/21⁽¹²⁾		—		—
Pool #889224, 5.50%, 1/1/37		137		161
Pool #889390, 6.00%, 3/1/23		5		5
Pool #889401, 6.00%, 3/1/38		62		73
Pool #889415, 6.00%, 5/1/37		279		330
Pool #889579, 6.00%, 5/1/38		130		153
Pool #889630, 6.50%, 3/1/38		17		19


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #889970, 5.00%, 12/1/36		$101		$116
Pool #890234, 6.00%, 10/1/38		64		75
Pool #890329, 4.00%, 4/1/26		525		557
Pool #890796, 3.50%, 12/1/45		2,386		2,572
Pool #893363, 5.00%, 6/1/36		35		40
Pool #893366, 5.00%, 4/1/35		45		51
Pool #898417, 6.00%, 10/1/36		16		18
Pool #899079, 5.00%, 3/1/37		34		39
Pool #902414, 5.50%, 11/1/36		74		86
Pool #906090, 5.50%, 1/1/37		88		102
Pool #910147, 5.00%, 3/1/22		5		5
Pool #912414, 4.50%, 1/1/22		6		6
Pool #918515, 5.00%, 6/1/37		47		53
Pool #923123, 5.00%, 4/1/36		9		10
Pool #923166, 7.50%, 1/1/37		6		6
Pool #928261, 4.50%, 3/1/36		58		64
Pool #928584, 6.50%, 8/1/37		206		237
Pool #928909, 6.00%, 12/1/37		1		1
Pool #928915, 6.00%, 11/1/37		8		9
Pool #930606, 4.00%, 2/1/39		351		387
Pool #931195, 4.50%, 5/1/24		49		52


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #932023, 5.00%, 1/1/38		$53		$61
Pool #932741, 4.50%, 4/1/40		249		281
Pool #934466, 5.50%, 9/1/23		20		21
Pool #940623, 5.50%, 8/1/37		18		20
Pool #943388, 6.00%, 6/1/37		111		130
Pool #943617, 6.00%, 8/1/37		52		62
Pool #945876, 5.50%, 8/1/37		5		6
Pool #947216, 6.00%, 10/1/37		34		40
Pool #949391, 5.50%, 8/1/22		1		1
Pool #953018, 6.50%, 10/1/37		47		54
Pool #953910, 6.00%, 11/1/37		29		34
Pool #955771, 6.50%, 10/1/37		35		40
Pool #959604, 6.50%, 11/1/37		8		9
Pool #959880, 5.50%, 11/1/37		15		17
Pool #962687, 5.00%, 4/1/38		76		87
Pool #963735, 4.50%, 6/1/23		21		22
Pool #965389, 6.00%, 10/1/23		16		16
Pool #966660, 6.00%, 12/1/37		1		1
Pool #968037, 6.00%, 1/1/38		26		29
Pool #969632, 6.50%, 1/1/38		17		19
Pool #970013, 4.50%, 6/1/38		75		81


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #972452,
5.50%, 3/1/38		$99		$115
Pool #975365,
5.00%, 6/1/23		10		10
Pool #976963,
5.50%, 2/1/38		869		1,012
Pool #981704,
5.00%, 6/1/23		29		30
Pool #981854,
5.50%, 7/1/38		42		48
Pool #984075,
4.50%, 6/1/23		9		9
Pool #986760,
5.50%, 7/1/38		198		229
Pool #992472,
6.00%, 10/1/38		9		10
Pool #992491,
4.50%, 10/1/23		13		14
Pool #993055,
5.50%, 12/1/38		12		13
Pool #995018,
5.50%, 6/1/38		43		50
Pool #995203,
5.00%, 7/1/35		304		349
Pool #995266,
5.00%, 12/1/23		79		83
Pool #995879,
6.00%, 4/1/39		59		70
Pool #AA0649,
5.00%, 12/1/38		205		236
Pool #AA2939,
4.50%, 4/1/39		366		414
Pool #AA4482,
4.00%, 4/1/39		291		322
Pool #AA4562,
4.50%, 9/1/39		340		386
Pool #AA8978,
4.50%, 7/1/39		89		100
Pool #AA9357,
4.50%, 8/1/39		271		303
Pool #AB1048,
4.50%, 5/1/40		360		399


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #AB2067,
3.50%, 1/1/41		$622		$686
Pool #AB2092,
4.00%, 1/1/41		319		355
Pool #AB2272,
4.50%, 2/1/41		430		492
Pool #AB2693,
4.50%, 4/1/41		315		354
Pool #AB2768,
4.50%, 4/1/41		328		368
Pool #AB3035,
5.00%, 5/1/41		512		589
Pool #AB3246,
5.00%, 7/1/41		118		136
Pool #AB4057,
4.00%, 12/1/41		1,107		1,220
Pool #AB4293,
3.50%, 1/1/42		723		781
Pool #AB5049,
4.00%, 4/1/42		1,120		1,229
Pool #AB6016,
3.50%, 8/1/42		518		560
Pool #AB6293,
3.50%, 9/1/27		726		774
Pool #AB6472,
2.00%, 10/1/27		325		343
Pool #AB7076,
3.00%, 11/1/42		1,840		1,962
Pool #AB7503,
3.00%, 1/1/43		802		855
Pool #AB7733,
3.00%, 1/1/43		1,609		1,713
Pool #AB8787,
2.00%, 3/1/28		715		747
Pool #AB9019,
3.00%, 4/1/43		708		760
Pool #AB9136,
2.50%, 4/1/43		80		86
Pool #AB9363,
3.50%, 5/1/43		1,871		2,043
Pool #AB9990,
3.00%, 7/1/33		162		172


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #AC2947,
5.50%, 9/1/39		$349		$390
Pool #AC2969,
5.00%, 9/1/39		1,260		1,450
Pool #AC3263,
4.50%, 9/1/29		107		117
Pool #AC3312,
4.50%, 10/1/39		645		725
Pool #AC4861,
4.50%, 11/1/24		110		116
Pool #AC5040,
4.00%, 10/1/24		64		68
Pool #AC6118,
4.50%, 11/1/39		163		183
Pool #AC6742,
4.50%, 1/1/40		688		774
Pool #AC8518,
5.00%, 12/1/39		245		282
Pool #AC9581,
5.50%, 1/1/40		651		747
Pool #AD0119,
6.00%, 7/1/38		161		189
Pool #AD0585,
4.50%, 12/1/39		341		392
Pool #AD0639,
6.00%, 12/1/38		54		63
Pool #AD0969,
5.50%, 8/1/37		223		262
Pool #AD5241,
4.50%, 7/1/40		172		194
Pool #AD5525,
5.00%, 6/1/40		241		278
Pool #AD5556,
4.00%, 6/1/25		51		54
Pool #AD7859,
5.00%, 6/1/40		147		167
Pool #AE0949,
4.00%, 2/1/41		676		745
Pool #AE0971,
4.00%, 5/1/25		38		41
Pool #AE0981,
3.50%, 3/1/41		528		570


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #AE1807,
4.00%, 10/1/40		$817		$896
Pool #AE3873,
4.50%, 10/1/40		142		159
Pool #AE5436,
4.50%, 10/1/40		153		174
Pool #AE7758,
3.50%, 11/1/25		89		94
Pool #AH0525,
4.00%, 12/1/40		713		785
Pool #AH1295,
3.50%, 1/1/26		188		200
Pool #AH3226,
5.00%, 2/1/41		52		60
Pool #AH4158,
4.00%, 1/1/41		131		145
Pool #AH4450,
3.00%, 1/1/26		98		102
Pool #AH5573,
4.00%, 2/1/41		629		699
Pool #AH5614,
3.50%, 2/1/26		179		190
Pool #AH8854,
4.50%, 4/1/41		199		224
Pool #AI1247,
4.00%, 4/1/26		84		89
Pool #AI3470,
4.50%, 6/1/41		224		251
Pool #AI4361,
(Floating, ICE LIBOR USD 1Y + 1.80%, 1.80% Floor, 8.11% Cap), 3.58%, 9/1/41⁽³⁾		8		8
Pool #AI4380,
(Floating, ICE LIBOR USD 1Y + 1.80%, 1.80% Floor, 7.88% Cap), 3.93%, 11/1/41⁽³⁾		10		10
Pool #AI5603,
4.50%, 7/1/41		145		163
Pool #AI7743,
4.00%, 8/1/41		129		141
Pool #AI9137,
2.50%, 11/1/27		900		941
Pool #AI9555,
4.00%, 9/1/41		384		424


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U. S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #AI9828,
(Floating, ICE LIBOR USD 1Y + 1.82%, 1.82% Floor, 7.99% Cap), 3.82%, 11/1/41⁽³⁾		$13		$14
Pool #AJ2001,
(Floating, ICE LIBOR USD 1Y + 1.80%, 1.80% Floor, 8.02% Cap), 3.68%, 10/1/41⁽³⁾		8		9
Pool #AJ4093, 3.50%, 10/1/26		44		47
Pool #AJ4408, 4.50%, 10/1/41		98		111
Pool #AJ6086, 3.00%, 12/1/26		143		150
Pool #AJ9152, 3.50%, 12/1/26		589		624
Pool #AJ9218, 4.00%, 2/1/42		533		588
Pool #AJ9326, 3.50%, 1/1/42		938		1,044
Pool #AJ9355, 3.00%, 1/1/27		318		334
Pool #AK4813, 3.50%, 3/1/42		372		403
Pool #AK4945, 3.50%, 2/1/42		387		419
Pool #AK7766, 2.50%, 3/1/27		388		406
Pool #AK9444, 4.00%, 3/1/42		117		129
Pool #AL0442, 5.50%, 6/1/40		67		78
Pool #AL0766, 4.00%, 9/1/41		873		972
Pool #AL1449, 4.00%, 1/1/42		972		1,074
Pool #AL1849, 6.00%, 2/1/39		276		324
Pool #AL1939, 3.50%, 6/1/42		993		1,096
Pool #AL2243, 4.00%, 3/1/42		866		954
Pool #AL2303, 4.50%, 6/1/26		67		71


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #AL2326, 4.50%, 4/1/42		$1,674		$1,884
Pool #AL2397,
(Floating, ICE LIBOR USD 1Y + 1.73%, 1.73% Floor, 7.77% Cap), 2.57%, 8/1/42⁽³⁾		38		39
Pool #AL2438, 3.00%, 9/1/27		787		835
Pool #AL2893, 3.50%, 12/1/42		2,369		2,637
Pool #AL3396, 2.50%, 3/1/28		365		386
Pool #AL3803, 3.00%, 6/1/28		660		693
Pool #AL4408, 4.50%, 11/1/43		1,032		1,162
Pool #AL4462, 2.50%, 6/1/28		666		697
Pool #AL4908, 4.00%, 2/1/44		774		859
Pool #AL5167, 3.50%, 1/1/34		205		221
Pool #AL5254, 3.00%, 11/1/27		467		491
Pool #AL5377, 4.00%, 6/1/44		2,271		2,548
Pool #AL5734, 3.50%, 9/1/29		641		693
Pool #AL5785, 4.00%, 9/1/44		1,292		1,462
Pool #AL6488, 3.50%, 8/1/43		485		534
Pool #AL7807, 3.00%, 11/1/30		1,785		1,925
Pool #AL8469, 3.50%, 4/1/31		308		336
Pool #AL8908, 3.00%, 8/1/46		687		742
Pool #AL8951, 3.00%, 8/1/46		601		642
Pool #AL9582, 3.00%, 12/1/31		823		881
Pool #AO0752, 3.00%, 4/1/42		504		536


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #AO0800, 3.00%, 4/1/27		$312		$328
Pool #AO2973, 3.50%, 5/1/42		1,176		1,324
Pool #AO4136,
3.50%, 6/1/42		664		718
Pool #AO7970,
2.50%, 6/1/27		209		220
Pool #AO8031,
3.50%, 7/1/42		1,907		2,067
Pool #AO8629,
3.50%, 7/1/42		303		328
Pool #AP6273,
3.00%, 10/1/42		542		578
Pool #AQ6784,
3.50%, 12/1/42		574		622
Pool #AQ8185,
2.50%, 1/1/28		132		139
Pool #AQ8647,
3.50%, 12/1/42		894		970
Pool #AR1706,
2.50%, 1/1/28		2,002		2,096
Pool #AR3054,
3.00%, 1/1/28		498		530
Pool #AR3792,
3.00%, 2/1/43		453		483
Pool #AR8151,
3.00%, 3/1/43		955		1,018
Pool #AR9188,
2.50%, 3/1/43		124		133
Pool #AR9582,
3.00%, 3/1/43		327		357
Pool #AS0018,
3.00%, 7/1/43		1,957		2,083
Pool #AS0275,
3.00%, 8/1/33		205		217
Pool #AS3294,
4.00%, 9/1/44		1,251		1,357
Pool #AS3600,
3.00%, 10/1/29		1,098		1,173
Pool #AS3657,
4.50%, 10/1/44		774		852


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #AS4085,
4.00%, 12/1/44		$426		$478
Pool #AS4306,
3.00%, 1/1/45		758		799
Pool #AS4458,
3.50%, 2/1/45		2,595		2,827
Pool #AS4715,
3.00%, 4/1/45		762		817
Pool #AS5090,
2.50%, 6/1/30		266		283
Pool #AS5324,
2.50%, 7/1/30		601		628
Pool #AS5500,
3.00%, 7/1/35		283		297
Pool #AS5666,
4.00%, 8/1/45		748		811
Pool #AS5892,
3.50%, 10/1/45		1,003		1,069
Pool #AS6192,
3.50%, 11/1/45		2,184		2,358
Pool #AS6262,
3.50%, 11/1/45		1,199		1,279
Pool #AS6332,
3.50%, 12/1/45		1,316		1,403
Pool #AS6398,
3.50%, 12/1/45		892		951
Pool #AS6730,
3.50%, 2/1/46		1,571		1,678
Pool #AS6887,
2.50%, 3/1/31		549		583
Pool #AS7149,
3.00%, 5/1/46		1,125		1,221
Pool #AS7157,
3.00%, 5/1/46		598		629
Pool #AS7247,
4.00%, 5/1/46		352		380
Pool #AS7343,
3.00%, 6/1/46		586		616
Pool #AS7480,
2.00%, 7/1/31		154		161
Pool #AS7580,
3.00%, 7/1/46		701		736


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #AS8067, 3.00%, 10/1/46		$1,161		$1,246
Pool #AS8074, 3.00%, 10/1/46		564		593
Pool #AS8178, 3.00%, 10/1/36		180		190
Pool #AS8194, 2.50%, 10/1/31		1,903		2,031
Pool #AS8424, 3.00%, 12/1/36		271		285
Pool #AS8483, 3.00%, 12/1/46		946		999
Pool #AS8591, 2.00%, 1/1/32		312		326
Pool #AS8614, 3.50%, 1/1/32		208		228
Pool #AS8699, 4.00%, 1/1/47		2,261		2,431
Pool #AS8787, 2.00%, 2/1/32		168		175
Pool #AS8960, 4.00%, 3/1/47		552		606
Pool #AS9505, 3.00%, 4/1/32		572		605
Pool #AS9615, 4.50%, 5/1/47		651		709
Pool #AT0666, 3.50%, 4/1/43		397		438
Pool #AT2720, 3.00%, 5/1/43		905		977
Pool #AT3164, 3.00%, 4/1/43		1,523		1,623
Pool #AT3180, 3.00%, 5/1/43		1,918		2,045
Pool #AT5026, 3.00%, 5/1/43		1,608		1,714
Pool #AU1657, 2.50%, 7/1/28		320		338
Pool #AU1689, 3.50%, 8/1/43		2,051		2,249
Pool #AU1808, 3.00%, 8/1/43		1,610		1,713


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #AU3164,
3.00%, 8/1/33		$186		$201
Pool #AU5918,
3.00%, 9/1/43		1,341		1,425
Pool #AU5919,
3.50%, 9/1/43		875		944
Pool #AV0691,
4.00%, 12/1/43		1,744		1,943
Pool #AV2339,
4.00%, 12/1/43		376		418
Pool #AW8167,
3.50%, 2/1/42		432		467
Pool #AW8595,
3.00%, 8/1/29		279		300
Pool #AX2163,
3.50%, 11/1/44		484		517
Pool #AX4413,
4.00%, 11/1/44		934		1,025
Pool #AX4839,
3.50%, 11/1/44		921		984
Pool #AX6139,
4.00%, 11/1/44		1,333		1,474
Pool #AY0544,
2.50%, 8/1/27		863		902
Pool #AY3062,
3.00%, 11/1/26		310		330
Pool #AY9555,
3.00%, 5/1/45		1,165		1,231
Pool #AZ1449,
3.00%, 7/1/45		767		810
Pool #AZ2936,
3.00%, 9/1/45		414		437
Pool #AZ2947,
4.00%, 9/1/45		842		913
Pool #AZ4775,
3.50%, 10/1/45		607		648
Pool #AZ6684,
3.00%, 2/1/31		615		655
Pool #BA2911,
3.00%, 11/1/30		262		275
Pool #BC0326,
3.50%, 12/1/45		441		470


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #BC0822,
3.50%, 4/1/46		$3,942		$4,206
Pool #BC1105,
3.50%, 2/1/46		1,585		1,688
Pool #BC1510,
3.00%, 8/1/46		522		549
Pool #BC9096,
3.50%, 12/1/46		685		728
Pool #BE3171,
2.50%, 2/1/32		616		657
Pool #BH1130,
3.50%, 4/1/32		496		536
Pool #BH5784,
3.00%, 11/1/32		2,145		2,309
Pool #BH7032,
3.50%, 12/1/47		421		446
Pool #BH7106,
3.50%, 1/1/48		923		974
Pool #BH9215,
3.50%, 1/1/48		1,580		1,670
Pool #BJ0648,
3.50%, 3/1/48		917		969
Pool #BJ9181,
5.00%, 5/1/48		672		739
Pool #BJ9260,
4.00%, 4/1/48		787		841
Pool #BJ9977,
4.00%, 5/1/48		421		454
Pool #BK0276,
4.00%, 9/1/48		330		353
Pool #BK0920,
4.00%, 7/1/48		1,457		1,552
Pool #BK0922,
4.50%, 7/1/48		253		274
Pool #BK4740,
4.00%, 8/1/48		456		486
Pool #BK4764,
4.00%, 8/1/48		430		457
Pool #BK4816,
4.00%, 9/1/48		815		870
Pool #BM1687,
4.00%, 1/1/47		2,275		2,458


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #BM1787, 4.00%, 9/1/47		$1,427		$1,571
Pool #BM2001, 3.50%, 12/1/46		237		253
Pool #BM3286, 4.50%, 11/1/47		144		157
Pool #BM4151, 2.50%, 6/1/32		1,963		2,055
Pool #BM5288, 3.50%, 1/1/34		497		525
Pool #BM5466, 2.50%, 10/1/43		707		753
Pool #BM5804, 5.00%, 1/1/49		1,024		1,122
Pool #BN1176, 4.50%, 11/1/48		408		441
Pool #BN1628, 4.50%, 11/1/48		289		312
Pool #BN5947, 3.50%, 6/1/49		436		464
Pool #BN6097, 4.00%, 6/1/49		2,671		2,848
Pool #BN6683, 3.50%, 6/1/49		907		956
Pool #BO1012, 3.50%, 8/1/49		489		515
Pool #BO1021, 3.50%, 8/1/49		524		552
Pool #BO1169, 3.50%, 7/1/49		287		302
Pool #BO1444, 3.00%, 10/1/49		483		512
Pool #BO1461, 3.00%, 10/1/49		259		275
Pool #BO3181, 2.50%, 10/1/49		1,123		1,179
Pool #BO4708, 3.00%, 11/1/49		1,121		1,174
Pool #BO8620, 3.00%, 12/1/49		942		989
Pool #BP4660, 2.50%, 5/1/50		263		276


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #BP6496, 2.00%, 7/1/35		$1,275		$1,326
Pool #BP6626, 2.00%, 8/1/50		1,165		1,205
Pool #BP6683, 2.50%, 9/1/50		880		924
Pool #BP7273, 2.50%, 8/1/50		523		549
Pool #BP7585, 2.00%, 9/1/50		3,835		3,966
Pool #BQ0202, 2.50%, 8/1/50		769		809
Pool #BQ1147, 10/1/50⁽¹³⁾		910		962
Pool #BQ1351, 8/1/50⁽¹³⁾		908		959
Pool #CA0110, 3.50%, 8/1/47		984		1,037
Pool #CA0619, 4.00%, 10/1/47		243		260
Pool #CA0620, 4.00%, 10/1/47		2,700		2,889
Pool #CA0656, 3.50%, 11/1/47		1,676		1,809
Pool #CA0859, 3.50%, 12/1/47		1,432		1,517
Pool #CA0917, 3.50%, 12/1/47		1,007		1,079
Pool #CA1370, 4.00%, 3/1/48		610		661
Pool #CA1378, 4.00%, 3/1/48		572		611
Pool #CA1564, 4.50%, 4/1/48		270		293
Pool #CA1711, 4.50%, 5/1/48		798		864
Pool #CA1902, 4.50%, 6/1/48		841		918
Pool #CA1909, 4.50%, 6/1/48		375		406
Pool #CA1951, 4.00%, 7/1/48		536		572


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #CA1952, 4.50%, 6/1/48		$249		$269
Pool #CA2056, 4.50%, 7/1/48		332		359
Pool #CA2208, 4.50%, 8/1/48		255		275
Pool #CA2256, 3.50%, 8/1/33		523		558
Pool #CA2366, 3.50%, 9/1/48		378		399
Pool #CA2375, 4.00%, 9/1/48		1,433		1,529
Pool #CA2559, 4.00%, 11/1/33		512		548
Pool #CA2616, 3.50%, 11/1/48		1,430		1,547
Pool #CA2729, 4.50%, 11/1/48		1,465		1,584
Pool #CA3640, 6/1/49⁽¹³⁾		1,036		1,118
Pool #CA4029, 4.00%, 8/1/49		2,486		2,653
Pool #CA4143, 3.00%, 9/1/49		8,608		9,100
Pool #CA4420, 3.00%, 10/1/49		828		878
Pool #CA4792, 3.00%, 12/1/49		628		658
Pool #CA5020, 3.50%, 1/1/50		1,772		1,868
Pool #CA5452, 3.00%, 3/1/50		1,989		2,084
Pool #CA5508, 3.00%, 4/1/50		2,658		2,786
Pool #CA6072, 2.50%, 6/1/50		761		801
Pool #CA6074, 2.50%, 6/1/50		1,077		1,131
Pool #CA6144, 2.50%, 6/1/50		1,158		1,216
Pool #CA6290, 7/1/50⁽¹³⁾		993		1,042


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #CA6305, 2.50%, 7/1/50		$2,048		$2,150
Pool #CA6339, 2.50%, 7/1/50		1,929		2,025
Pool #CA6346, 2.50%, 7/1/50		960		1,010
Pool #CA6563, 2.50%, 8/1/35		986		1,030
Pool #CA6601, 2.50%, 8/1/50		766		805
Pool #CA6951, 9/1/50⁽¹³⁾		608		641
Pool #CA6962, 2.50%, 9/1/50		875		930
Pool #CA7019, 9/1/50⁽¹³⁾		1,668		1,725
Pool #CA7216, 10/1/50⁽¹³⁾		3,340		3,468
Pool #CA7232, 10/1/50⁽¹³⁾		1,820		1,911
Pool #FM1496, 3.50%, 9/1/49		6,331		6,672
Pool #FM1708, 3.00%, 12/1/45		433		467
Pool #FM1742, 3.00%, 10/1/49		514		547
Pool #FM1938, 4.50%, 9/1/49		1,647		1,781
Pool #FM2305, 3.50%, 2/1/50		1,739		1,862
Pool #FM2715, 3.00%, 3/1/50		374		393
Pool #FM2778, 3.00%, 3/1/50		2,047		2,168
Pool #FM2963, 3.00%, 2/1/50		9,165		9,737
Pool #FM3225, 3.00%, 5/1/50		1,124		1,196
Pool #FM3747, 2.50%, 8/1/50		1,534		1,616
Pool #FM3969, 2.50%, 8/1/43		663		706


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #FM4149, 3.00%, 9/1/50		$5,500		$5,836
Pool #FM4193, 2.50%, 9/1/50		980		1,036
Pool #MA0361, 4.00%, 3/1/30		99		107
Pool #MA0667, 4.00%, 3/1/31		278		303
Pool #MA0706, 4.50%, 4/1/31		322		355
Pool #MA0711, 3.50%, 4/1/31		173		184
Pool #MA0804, 4.00%, 7/1/31		181		197
Pool #MA0976, 3.50%, 2/1/32		389		420
Pool #MA1107, 3.50%, 7/1/32		497		537
Pool #MA1138, 3.50%, 8/1/32		273		295
Pool #MA1141, 3.00%, 8/1/32		141		149
Pool #MA1200, 3.00%, 10/1/32		770		809
Pool #MA1239, 3.50%, 11/1/32		373		403
Pool #MA1432, 3.00%, 5/1/33		793		838
Pool #MA1511, 2.50%, 7/1/33		242		255
Pool #MA1764, 4.00%, 1/1/34		335		365
Pool #MA2320, 3.00%, 7/1/35		669		704
Pool #MA2473, 3.50%, 12/1/35		262		282
Pool #MA2489, 2.50%, 12/1/30		923		966
Pool #MA2512, 4.00%, 1/1/46		389		424
Pool #MA2670, 3.00%, 7/1/46		1,624		1,706


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #MA2672, 3.00%, 7/1/36		$353		$371
Pool #MA2705, 3.00%, 8/1/46		1,164		1,224
Pool #MA2737, 3.00%, 9/1/46		531		558
Pool #MA2738, 3.00%, 9/1/36		513		540
Pool #MA2771, 3.00%, 10/1/46		576		606
Pool #MA2775, 2.50%, 10/1/31		314		329
Pool #MA2781, 2.50%, 10/1/46		393		418
Pool #MA2804, 3.00%, 11/1/36		649		680
Pool #MA2817, 2.50%, 11/1/36		282		297
Pool #MA2841, 2.50%, 12/1/36		117		124
Pool #MA2863, 3.00%, 1/1/47		8,811		9,262
Pool #MA2895, 3.00%, 2/1/47		517		543
Pool #MA2929, 3.50%, 3/1/47		2,535		2,686
Pool #MA3028, 3.50%, 6/1/37		533		566
Pool #MA3057, 3.50%, 7/1/47		1,193		1,262
Pool #MA3058, 4.00%, 7/1/47		434		465
Pool #MA3059, 3.50%, 7/1/37		96		102
Pool #MA3073, 4.50%, 7/1/47		889		968
Pool #MA3127, 3.00%, 9/1/37		224		234
Pool #MA3150, 4.50%, 10/1/47		482		525
Pool #MA3181, 3.50%, 11/1/37		164		173


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #MA3182, 3.50%, 11/1/47		$1,340		$1,417
Pool #MA3184, 4.50%, 11/1/47		146		159
Pool #MA3185, 3.00%, 11/1/37		277		292
Pool #MA3188, 3.00%, 11/1/32		810		850
Pool #MA3211, 4.00%, 12/1/47		259		277
Pool #MA3239, 4.00%, 1/1/48		1,094		1,172
Pool #MA3276, 3.50%, 2/1/48		1,148		1,214
Pool #MA3281, 4.00%, 2/1/38		568		614
Pool #MA3334, 4.50%, 4/1/48		867		942
Pool #MA3385, 4.50%, 6/1/48		335		364
Pool #MA3412, 3.50%, 7/1/38		293		309
Pool #MA3413, 4.00%, 7/1/38		114		123
Pool #MA3443, 4.00%, 8/1/48		333		355
Pool #MA3444, 4.50%, 8/1/48		314		341
Pool #MA3467, 4.00%, 9/1/48		322		343
Pool #MA3492, 4.00%, 10/1/38		95		101
Pool #MA3547, 3.00%, 12/1/33		538		564
Pool #MA3590, 4.00%, 2/1/39		97		103
Pool #MA3685, 3.00%, 6/1/49		537		562
Pool #MA3692, 3.50%, 7/1/49		442		465
Pool #MA3695, 3.00%, 7/1/34		216		227


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #MA3744, 3.00%, 8/1/49		$601		$629
Pool #MA3765, 2.50%, 9/1/49		981		1,030
Pool #MA3870, 2.50%, 12/1/49		426		447
Pool #MA3871, 3.00%, 12/1/49		528		553
Pool #MA3896, 2.50%, 1/1/35		2,836		2,962
Pool #MA3898, 3.50%, 1/1/35		1,145		1,213
Pool #MA3902, 2.50%, 1/1/50		427		448
Pool #MA3934, 3.00%, 2/1/40		345		361
Pool #MA3958, 3.00%, 3/1/40		352		368
Pool #MA4013, 2.50%, 5/1/35		562		588
Pool #MA4014, 3.00%, 5/1/35		945		997
Pool #MA4016, 2.50%, 5/1/40		1,044		1,096
Pool #MA4042, 2.00%, 6/1/35		970		1,009
Pool #MA4053, 2.50%, 6/1/35		1,924		2,010
Pool #MA4071, 2.00%, 7/1/40		492		509
Pool #MA4072, 2.50%, 7/1/40		493		517
Pool #MA4074, 2.00%, 7/1/35		1,465		1,524
Pool #MA4076, 3.00%, 7/1/35		1,946		2,045
Pool #MA4078, 2.50%, 7/1/50		2,695		2,829
Pool #MA4093, 2.00%, 8/1/40		247		256
Pool #MA4094, 2.50%, 8/1/40		495		520


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Fannie Mae – 13.7% continued
Pool #MA4096, 2.50%, 8/1/50		$1,600		$1,679
Pool #MA4099, 2.50%, 8/1/35		1,489		1,560
Pool #MA4100, 2.00%, 8/1/50		2,493		2,578
Pool #MA4119, 2.00%, 9/1/50		2,783		2,878
Pool #MA4122, 1.50%, 9/1/35		498		509
Pool #MA4123, 2.00%, 9/1/35		1,987		2,067
Pool #MA4128, 2.00%, 9/1/40		698		722
Pool #MA4129, 2.50%, 9/1/40		500		525
Pool #MA4154, 10/1/35⁽¹³⁾		500		512
Pool #MA4155, 10/1/35⁽¹³⁾		2,000		2,081
Pool #MA4176, 10/1/40⁽¹³⁾		700		724
Pool TBA, 9/1/50⁽¹³⁾		1,575		1,649

10/1/50⁽¹³⁾		68,100		71,769


				477,296


Federal Farm Credit Bank – 0.1%

0.26%, 6/22/22		2,000		2,004

1.38%, 10/11/22		1,000		1,024

0.73%, 5/27/25		2,000		2,002


				5,030


Federal Home Loan Bank – 0.4%

3.00%, 10/12/21		3,000		3,089

1.63%, 12/20/21		4,000		4,073

2.13%, 6/10/22		1,000		1,033

1.38%, 2/17/23		3,500		3,598

5.50%, 7/15/36		500		778


				12,571


Freddie Mac – 7.3%

Federal Home Loan Mortgage Corp.,

0.13%, 7/25/22		1,000		999

0.38%, 5/5/23		2,000		2,009


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac – 7.3% continued

0.25%, 6/26/23		$1,000		$1,001

0.25%, 8/24/23		2,500		2,502

0.70%, 9/2/25		3,000		3,001

0.38%, 9/23/25		2,000		1,993
Freddie Mac,

2.38%, 1/13/22		1,500		1,543

2.75%, 6/19/23		1,000		1,068

6.75%, 3/15/31		1,200		1,874
Freddie Mac Multifamily Structured Pass Through Certificates, Series K020, Class A2,

2.37%, 5/25/22		150		154
Freddie Mac Multifamily Structured Pass Through Certificates, Series K023, Class A2,

2.31%, 8/25/22		350		361
Freddie Mac Multifamily Structured Pass Through Certificates, Series K024, Class A2,

2.57%, 9/25/22		200		208
Freddie Mac Multifamily Structured Pass Through Certificates, Series K028, Class A2,

3.11%, 2/25/23		300		316
Freddie Mac Multifamily Structured Pass Through Certificates, Series K029, Class A2,

3.32%, 2/25/23		250		265
Freddie Mac Multifamily Structured Pass Through Certificates, Series K030, Class A2,

3.25%, 4/25/23		300		318
Freddie Mac Multifamily Structured Pass Through Certificates, Series K031, Class A2,

3.30%, 4/25/23		227		242
Freddie Mac Multifamily Structured Pass Through Certificates, Series K032, Class A2,

3.31%, 5/25/23		365		390
Freddie Mac Multifamily Structured Pass Through Certificates, Series K033, Class A2,

3.06%, 7/25/23		350		372


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac – 7.3% continued
Freddie Mac Multifamily Structured Pass Through Certificates, Series K036, Class A2,

3.53%, 10/25/23		$1,000		$1,085
Freddie Mac Multifamily Structured Pass Through Certificates, Series K038, Class A2,

3.39%, 3/25/24		295		321
Freddie Mac Multifamily Structured Pass Through Certificates, Series K040, Class A2,

3.24%, 9/25/24		300		329
Freddie Mac Multifamily Structured Pass Through Certificates, Series K041, Class A2,

3.17%, 10/25/24		300		329
Freddie Mac Multifamily Structured Pass Through Certificates, Series K042, Class A2,

2.67%, 12/25/24		200		216
Freddie Mac Multifamily Structured Pass Through Certificates, Series K043, Class A2,

3.06%, 12/25/24		200		219
Freddie Mac Multifamily Structured Pass Through Certificates, Series K046, Class A2,

3.21%, 3/25/25		250		277
Freddie Mac Multifamily Structured Pass Through Certificates, Series K047, Class A2,

3.33%, 5/25/25		500		558
Freddie Mac Multifamily Structured Pass Through Certificates, Series K051, Class A2,

3.31%, 9/25/25		300		336
Freddie Mac Multifamily Structured Pass Through Certificates, Series K053, Class A2,

3.00%, 12/25/25		300		332
Freddie Mac Multifamily Structured Pass Through Certificates, Series K054, Class A2,

2.75%, 1/25/26		250		275


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac – 7.3% continued
Freddie Mac Multifamily Structured Pass Through Certificates, Series K055, Class A2,

2.67%, 3/25/26		$500		$548
Freddie Mac Multifamily Structured Pass Through Certificates, Series K056, Class A2,

2.53%, 5/25/26		400		436
Freddie Mac Multifamily Structured Pass Through Certificates, Series K058, Class A2,

2.65%, 8/25/26		250		276
Freddie Mac Multifamily Structured Pass Through Certificates, Series K059, Class A2,

3.12%, 9/25/26		100		112
Freddie Mac Multifamily Structured Pass Through Certificates, Series K065, Class A2,

3.24%, 4/25/27		350		400
Freddie Mac Multifamily Structured Pass Through Certificates, Series K066, Class A2,

3.12%, 6/25/27		350		397
Freddie Mac Multifamily Structured Pass Through Certificates, Series K067, Class A2,

3.19%, 7/25/27		250		285
Freddie Mac Multifamily Structured Pass Through Certificates, Series K068, Class A2,

3.24%, 8/25/27		150		173
Freddie Mac Multifamily Structured Pass Through Certificates, Series K069, Class A2,

3.19%, 9/25/27		200		230
Freddie Mac Multifamily Structured Pass Through Certificates, Series K070, Class A2,

3.30%, 11/25/27		150		173
Freddie Mac Multifamily Structured Pass Through Certificates, Series K072, Class A2,

3.44%, 12/25/27		150		175


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac – 7.3% continued
Freddie Mac Multifamily Structured Pass Through Certificates, Series K073, Class A2,

3.35%, 1/25/28		$150		$174
Freddie Mac Multifamily Structured Pass Through Certificates, Series K074, Class A2,

3.60%, 1/25/28		150		176
Freddie Mac Multifamily Structured Pass Through Certificates, Series K075, Class A2,

3.65%, 2/25/28		150		176
Freddie Mac Multifamily Structured Pass Through Certificates, Series K076, Class A2,

3.90%, 4/25/28		200		240
Freddie Mac Multifamily Structured Pass Through Certificates, Series K077, Class A2,

3.85%, 5/25/28		200		239
Freddie Mac Multifamily Structured Pass Through Certificates, Series K078, Class A2,

3.85%, 6/25/28		150		179
Freddie Mac Multifamily Structured Pass Through Certificates, Series K079, Class A2,

3.93%, 6/25/28		200		240
Freddie Mac Multifamily Structured Pass Through Certificates, Series K080, Class A2,

3.93%, 7/25/28		200		240
Freddie Mac Multifamily Structured Pass Through Certificates, Series K081, Class A2,

3.90%, 8/25/28		200		241
Freddie Mac Multifamily Structured Pass Through Certificates, Series K082, Class A2,

3.92%, 9/25/28		350		423
Freddie Mac Multifamily Structured Pass Through Certificates, Series K083, Class A2,

4.05%, 9/25/28		200		245


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac – 7.3% continued
Freddie Mac Multifamily Structured Pass Through Certificates, Series K086, Class A2,

3.86%, 11/25/28		$200		$241
Freddie Mac Multifamily Structured Pass Through Certificates, Series K088, Class A2,

3.69%, 1/25/29		100		119
Freddie Mac Multifamily Structured Pass Through Certificates, Series K090, Class A2,

3.42%, 2/25/29		500		590
Freddie Mac Multifamily Structured Pass Through Certificates, Series K091, Class A2,

3.51%, 3/25/29		150		177
Freddie Mac Multifamily Structured Pass Through Certificates, Series K092, Class A2,

3.30%, 4/25/29		300		350
Freddie Mac Multifamily Structured Pass Through Certificates, Series K093, Class A2,

2.98%, 5/25/29		200		229
Freddie Mac Multifamily Structured Pass Through Certificates, Series K094, Class A2,

2.90%, 6/25/29		300		343
Freddie Mac Multifamily Structured Pass Through Certificates, Series K102, Class A2,

2.54%, 10/25/29		250		279
Freddie Mac Multifamily Structured Pass Through Certificates, Series K104, Class A2,

2.25%, 1/25/30		250		274
Freddie Mac Multifamily Structured Pass Through Certificates, Series K105, Class A2,

1.87%, 1/25/30		200		213
Freddie Mac Multifamily Structured Pass Through Certificates, Series K109, Class A2,

1.56%, 4/25/30		500		520


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac – 7.3% continued
Freddie Mac Multifamily Structured Pass Through Certificates, Series K110, Class A2,

1.48%, 4/25/30		$500		$517
Freddie Mac Multifamily Structured Pass Through Certificates, Series K111, Class A2,

1.35%, 5/25/30		500		512
Freddie Mac Multifamily Structured Pass Through Certificates, Series K112, Class A2,

1.31%, 5/25/30		500		511
Freddie Mac Multifamily Structured Pass Through Certificates, Series K113, Class A2,

1.34%, 6/25/30		500		512
Freddie Mac Multifamily Structured Pass Through Certificates, Series K-1510, Class A2,

3.72%, 1/25/31		100		120
Freddie Mac Multifamily Structured Pass Through Certificates, Series K-1510, Class A3,

3.79%, 1/25/34		100		125
Freddie Mac Multifamily Structured Pass Through Certificates, Series K-1511, Class A2,

3.47%, 3/25/31		100		119
Freddie Mac Multifamily Structured Pass Through Certificates, Series K-1511, Class A3,

3.54%, 3/25/34		100		121
Freddie Mac Multifamily Structured Pass Through Certificates, Series K-1512, Class A2,

2.99%, 5/25/31		100		115
Freddie Mac Multifamily Structured Pass Through Certificates, Series K-1512, Class A3,

3.06%, 4/25/34		100		118
Freddie Mac Multifamily Structured Pass Through Certificates, Series K-1515, Class A2,

1.94%, 2/25/35		100		105


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac – 7.3% continued
Freddie Mac Multifamily Structured Pass Through Certificates, Series K-1517, Class A2,

1.72%, 7/25/35		$200		$206
Freddie Mac Multifamily Structured Pass Through Certificates, Series K154, Class A2,

3.42%, 4/25/32		100		118
Freddie Mac Multifamily Structured Pass Through Certificates, Series K155, Class A3,

3.75%, 4/25/33		100		122
Freddie Mac Multifamily Structured Pass Through Certificates, Series K157, Class A2,

3.99%, 5/25/33		100		124
Freddie Mac Multifamily Structured Pass Through Certificates, Series K157, Class A3,

3.99%, 8/25/33		100		125
Freddie Mac Multifamily Structured Pass Through Certificates, Series K718, Class A2,

2.79%, 1/25/22		250		256
Freddie Mac Multifamily Structured Pass Through Certificates, Series K719, Class A2,

2.73%, 6/25/22		40		41
Freddie Mac Multifamily Structured Pass Through Certificates, Series K721, Class A2,

3.09%, 8/25/22		250		260
Freddie Mac Multifamily Structured Pass Through Certificates, Series K722, Class A2,

2.41%, 3/25/23		250		260
Freddie Mac Multifamily Structured Pass Through Certificates, Series K723, Class A2,

2.45%, 8/25/23		250		262
Freddie Mac Multifamily Structured Pass Through Certificates, Series K729, Class A2,

3.14%, 10/25/24		200		218


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac – 7.3% continued
Freddie Mac Multifamily Structured Pass Through Certificates, Series K730, Class A2,

3.59%, 1/25/25		$200		$222
Freddie Mac Multifamily Structured Pass Through Certificates, Series K731, Class A2,

3.60%, 2/25/25		150		165
Freddie Mac Multifamily Structured Pass Through Certificates, Series K732, Class A2,

3.70%, 5/25/25		400		447
Freddie Mac Multifamily Structured Pass Through Certificates, Series K733, Class A2,

3.75%, 8/25/25		500		565
Freddie Mac Multifamily Structured Pass Through Certificates, Series K734, Class A2,

3.21%, 2/25/26		200		223
Freddie Mac Multifamily Structured Pass Through Certificates, Series K735, Class A2, 2.86%, 5/25/26		150		166
Pool #QA0127, 3.50%, 6/1/49		1,726		1,835
Pool #QA1132, 3.50%, 7/1/49		728		767
Pool #QA1263, 3.50%, 7/1/49		801		856
Pool #QA1752, 3.50%, 8/1/49		3,407		3,591
Pool #QA1883, 8/1/49⁽¹³⁾		1,147		1,241
Pool #QA3149, 3.00%, 10/1/49		597		637
Pool #QA4699, 3.00%, 11/1/49		613		642
Pool #QA8043, 3.00%, 3/1/50		3,318		3,521
Pool #QB0211, 2.50%, 6/1/50		908		953
Pool #QB2516, 2.50%, 8/1/50		711		746


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac – 7.3% continued
Pool #QB2682, 2.50%, 8/1/50		$680		$714
Pool #QB2966, 2.50%, 9/1/50		225		236
Pool #QB3199, 2.00%, 9/1/50		1,015		1,050
Pool #QN0818, 2.50%, 10/1/34		769		803
Pool #RA1196, 4.00%, 8/1/49		3,046		3,247
Pool #RA1343, 3.00%, 9/1/49		5,542		5,874
Pool #RA1493, 3.00%, 10/1/49		9,279		9,856
Pool #RA1501, 3.00%, 10/1/49		553		580
Pool #RA2010, 3.50%, 1/1/50		846		891
Pool #RA2117, 3.00%, 2/1/50		649		691
Pool #RA2386, 3.00%, 4/1/50		1,765		1,867
Pool #RA2457, 4/1/50⁽¹³⁾		999		1,065
Pool #RA2730, 2.50%, 6/1/50		457		485
Pool #RA2790, 2.50%, 6/1/50		887		931
Pool #RA2853, 2.50%, 6/1/50		1,111		1,166
Pool #RA2959, 2.50%, 7/1/50		1,114		1,170
Pool #RA3086, 2.50%, 7/1/50		911		957
Pool #RA3306, 2.50%, 8/1/50		588		619
Pool #RA3524, 9/1/50⁽¹³⁾		2,692		2,801
Pool #RA3563, 9/1/50⁽¹³⁾		1,415		1,466
Pool #RA3578, 9/1/50⁽¹³⁾		1,890		1,954


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac – 7.3% continued
Pool #RA3662, 10/1/50⁽¹³⁾		$1,020		$1,071
Pool #RA3663, 10/1/50⁽¹³⁾		960		1,017
Pool #RA3765, 10/1/50⁽¹³⁾		1,020		1,071
Pool #RB5032, 2.50%, 2/1/40		221		232
Pool #RB5033, 3.00%, 2/1/40		848		888
Pool #RB5043, 2.50%, 4/1/40		450		472
Pool #RB5048, 2.50%, 5/1/40		191		200
Pool #RB5059, 2.50%, 7/1/40		197		206
Pool #RB5066, 2.50%, 8/1/40		495		520
Pool #RB5072, 2.50%, 9/1/40		500		525
Pool #RB5076, 2.00%, 8/1/40		940		972
Pool #RB5085, 10/1/40⁽¹³⁾		700		724
Pool #SB0048, 3.00%, 8/1/34		1,314		1,390
Pool #SB0330, 2.00%, 5/1/35		726		755
Pool #SB8045, 2.50%, 5/1/35		469		490
Pool #SB8046, 3.00%, 5/1/35		935		983
Pool #SB8049, 2.50%, 6/1/35		1,439		1,504
Pool #SB8052, 2.00%, 7/1/35		976		1,015
Pool #SB8057, 2.00%, 8/1/35		1,181		1,229
Pool #SB8058, 2.50%, 8/1/35		1,474		1,543
Pool #SB8061, 2.00%, 9/1/35		1,986		2,066


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac – 7.3% continued
Pool #SB8062, 2.50%, 9/1/35		$1,000		$1,045
Pool #SB8067, 1.50%, 9/1/35		497		509
Pool #SB8068, 10/1/35⁽¹³⁾		500		512
Pool #SB8069, 10/1/35⁽¹³⁾		1,500		1,560
Pool #SD0163, 3.00%, 12/1/49		1,444		1,539
Pool #SD0261, 3.00%, 2/1/50		625		658
Pool #SD0262, 3.50%, 2/1/50		889		954
Pool #SD0410, 2.50%, 8/1/50		1,946		2,055
Pool #SD0414, 2.50%, 8/1/50		410		434
Pool #SD7512, 3.00%, 2/1/50		994		1,057
Pool #SD8019, 4.50%, 10/1/49		1,253		1,355
Pool #SD8023, 2.50%, 11/1/49		822		863
Pool #SD8029, 2.50%, 12/1/49		860		903
Pool #SD8037, 2.50%, 1/1/50		868		912
Pool #SD8083, 2.50%, 8/1/50		1,431		1,502
Pool #SD8090, 2.00%, 9/1/50		3,485		3,604
Pool #SD8097, 2.00%, 8/1/50		3,272		3,384
Pool #ZA1036, 4.50%, 2/1/40		168		188
Pool #ZA1159, 3.50%, 4/1/42		425		473
Pool #ZA1165, 3.50%, 4/1/42		791		854
Pool #ZA1254, 3.00%, 10/1/42		1,969		2,098


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac – 7.3% continued
Pool #ZA1334, 3.50%, 7/1/42		$275		$297
Pool #ZA1361, 3.50%, 5/1/43		360		389
Pool #ZA1375, 4.00%, 9/1/44		259		284
Pool #ZA1378, 3.50%, 10/1/44		369		395
Pool #ZA2773, 2.50%, 8/1/27		145		152
Pool #ZA3862, 2.50%, 5/1/31		527		561
Pool #ZA4194, 3.00%, 4/1/43		367		400
Pool #ZA4214, 3.00%, 5/1/43		586		638
Pool #ZA4715, 4.00%, 9/1/46		1,801		1,991
Pool #ZA5107, 4.00%, 11/1/47		547		586
Pool #ZA5642, 4.00%, 9/1/48		1,127		1,202
Pool #ZA5950, 4.50%, 11/1/48		2,147		2,321
Pool #ZI6135, 5.00%, 9/1/34		618		712
Pool #ZI6854, 4.50%, 12/1/37		50		55
Pool #ZI7645, 5.00%, 6/1/38		214		245
Pool #ZI8519, 4.50%, 2/1/39		36		40
Pool #ZI9157, 4.50%, 9/1/39		992		1,115
Pool #ZI9349, 4.50%, 10/1/39		586		659
Pool #ZI9657, 4.50%, 1/1/40		522		587
Pool #ZI9862, 4.50%, 3/1/40		317		362
Pool #ZI9939, 4.50%, 4/1/40		214		241


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac – 7.3% continued
Pool #ZJ0631, 4.50%, 10/1/40		$313		$352
Pool #ZJ1046, 4.00%, 1/1/41		355		394
Pool #ZJ1052, 4.00%, 1/1/41		271		300
Pool #ZJ1228, 4.00%, 2/1/41		546		600
Pool #ZJ1359, 4.50%, 3/1/41		221		246
Pool #ZK5468, 2.00%, 5/1/28		672		702
Pool #ZK7259, 2.50%, 4/1/30		616		655
Pool #ZK7533, 2.50%, 7/1/30		387		404
Pool #ZL1714, 4.50%, 7/1/41		321		362
Pool #ZL1806, 4.50%, 8/1/41		871		981
Pool #ZL1922, 4.00%, 9/1/41		147		161
Pool #ZL2350, 3.50%, 11/1/41		188		203
Pool #ZL3211, 3.50%, 6/1/42		578		639
Pool #ZL3245, 4.00%, 6/1/42		1,075		1,189
Pool #ZL3535, 3.50%, 8/1/42		931		1,048
Pool #ZL3551, 3.50%, 8/1/42		879		954
Pool #ZL4634, 3.00%, 1/1/43		2,866		3,052
Pool #ZL4709, 3.00%, 1/1/43		621		662
Pool #ZL5074, 3.00%, 2/1/43		273		291
Pool #ZL5915, 3.50%, 5/1/43		1,437		1,559
Pool #ZL5927, 3.00%, 5/1/43		311		339


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac – 7.3% continued
Pool #ZL6381, 3.00%, 6/1/43		$689		$734
Pool #ZL6467, 3.00%, 7/1/43		514		548
Pool #ZL6676, 3.00%, 8/1/43		889		947
Pool #ZL6920, 3.50%, 8/1/43		268		287
Pool #ZL7780, 4.00%, 2/1/44		538		599
Pool #ZL8299, 3.50%, 7/1/44		1,758		1,908
Pool #ZL8300, 4.00%, 7/1/44		1,307		1,435
Pool #ZL8709, 4.00%, 11/1/44		503		556
Pool #ZM0489, 4.00%, 11/1/45		556		601
Pool #ZM0617, 3.50%, 12/1/45		516		563
Pool #ZM1194, 3.00%, 6/1/46		761		801
Pool #ZM1933, 3.00%, 10/1/46		768		808
Pool #ZM2167, 3.00%, 11/1/46		1,135		1,193
Pool #ZM2286, 3.50%, 12/1/46		2,096		2,230
Pool #ZM3525, 3.50%, 6/1/47		253		273
Pool #ZM3933, 3.50%, 8/1/47		975		1,054
Pool #ZM4305, 3.50%, 9/1/47		1,091		1,155
Pool #ZM4601, 3.50%, 10/1/47		1,856		1,968
Pool #ZM4711, 4.00%, 11/1/47		2,391		2,564
Pool #ZM4736, 3.50%, 11/1/47		471		499
Pool #ZM4908, 3.50%, 11/1/47		936		990


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac – 7.3% continued
Pool #ZM5133, 3.50%, 12/1/47		$388		$410
Pool #ZM5397, 3.50%, 1/1/48		1,011		1,069
Pool #ZM5659, 3.50%, 2/1/48		827		875
Pool #ZM5917, 4.00%, 3/1/48		638		682
Pool #ZM6682, 4.50%, 5/1/48		587		636
Pool #ZM7370, 4.00%, 7/1/48		442		472
Pool #ZM7378, 5.00%, 7/1/48		413		454
Pool #ZM7849, 4.00%, 8/1/48		280		298
Pool #ZM8045, 4.00%, 9/1/48		695		740
Pool #ZM8575, 4.50%, 10/1/48		497		537
Pool #ZN1506, 3.50%, 11/1/48		1,193		1,302
Pool #ZN3447, 3.50%, 2/1/49		422		452
Pool #ZS0932, 4.50%, 8/1/34		18		20
Pool #ZS0971, 5.00%, 12/1/35		177		203
Pool #ZS1567, 5.00%, 8/1/37		21		25
Pool #ZS2391, 5.00%, 9/1/38		43		49
Pool #ZS2499, 5.00%, 3/1/38		99		114
Pool #ZS2533, 4.50%, 2/1/39		111		124
Pool #ZS2827, 4.50%, 11/1/39		292		331
Pool #ZS2905, 4.50%, 4/1/40		352		396
Pool #ZS3554, 3.50%, 7/1/42		424		458


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac – 7.3% continued

Pool #ZS3596, 4.00%, 6/1/42		$1,162	$	1,284

Pool #ZS3613, 4.00%, 8/1/42		664		734

Pool #ZS3792, 2.50%, 7/1/43		516		549

Pool #ZS4078, 3.50%, 1/1/45		630		692

Pool #ZS4100, 3.50%, 3/1/45		1,238		1,344

Pool #ZS4127, 4.50%, 7/1/44		320		359

Pool #ZS4472, 3.50%, 2/1/42		500		541

Pool #ZS4522, 3.00%, 7/1/43		1,688		1,798

Pool #ZS4536, 3.50%, 10/1/43		658		711

Pool #ZS4584, 3.00%, 9/1/44		256		271

Pool #ZS4590, 3.00%, 11/1/44		2,795		2,958

Pool #ZS4600, 4.00%, 1/1/45		781		853

Pool #ZS4607, 3.50%, 3/1/45		1,028		1,097

Pool #ZS4617, 3.00%, 6/1/45		486		513

Pool #ZS4618, 3.50%, 6/1/45		829		885

Pool #ZS4621, 3.00%, 7/1/45		1,188		1,254

Pool #ZS4627, 4.00%, 8/1/45		269		293

Pool #ZS4629, 3.00%, 9/1/45		3,582		3,774

Pool #ZS4630, 3.50%, 9/1/45		609		649

Pool #ZS4634, 4.00%, 10/1/45		344		373

Pool #ZS4639, 4.00%, 11/1/45		334		364


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac – 7.3% continued

Pool #ZS4642, 3.50%, 12/1/45		$1,192	$	1,272

Pool #ZS4655, 3.50%, 3/1/46		604		648

Pool #ZS4667, 3.00%, 6/1/46		803		845

Pool #ZS4671, 3.00%, 8/1/46		1,752		1,843

Pool #ZS4677, 3.00%, 9/1/46		491		516

Pool #ZS4682, 3.00%, 10/1/46		649		683

Pool #ZS4703, 3.00%, 2/1/47		445		467

Pool #ZS4722, 3.50%, 6/1/47		630		667

Pool #ZS4730, 3.50%, 8/1/47		243		257

Pool #ZS4740, 4.00%, 10/1/47		1,040		1,114

Pool #ZS4743, 3.50%, 11/1/47		1,537		1,627

Pool #ZS4745, 4.50%, 11/1/47		989		1,075

Pool #ZS4747, 3.50%, 12/1/47		412		436

Pool #ZS4748, 4.00%, 12/1/47		1,108		1,186

Pool #ZS4749, 4.50%, 12/1/47		328		357

Pool #ZS4752, 4.00%, 1/1/48		923		990

Pool #ZS4759, 3.50%, 3/1/48		959		1,013

Pool #ZS4769, 4.00%, 5/1/48		583		624

Pool #ZS4773, 4.50%, 6/1/48		176		191

Pool #ZS4781, 4.50%, 7/1/48		414		448

Pool #ZS4785, 4.00%, 8/1/48		455		485


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac – 7.3% continued

Pool #ZS6948, 2.50%, 11/1/28		$383		$405

Pool #ZS8023, 2.00%, 8/1/32		105		110

Pool #ZS8495, 2.50%, 8/1/28		1,505		1,576

Pool #ZS8628, 2.00%, 11/1/31		173		181

Pool #ZS8639, 2.00%, 1/1/32		59		62

Pool #ZS9449, 3.50%, 8/1/45		680		740

Pool #ZS9495, 3.50%, 10/1/45		1,007		1,110

Pool #ZS9580, 3.50%, 12/1/45		941		1,014

Pool #ZS9618, 3.50%, 3/1/46		1,698		1,855

Pool #ZS9805, 3.00%, 9/1/46		974		1,038

Pool #ZS9813, 3.00%, 9/1/46		964		1,034

Pool #ZS9827, 3.00%, 10/1/46		760		821

Pool #ZS9828, 3.00%, 10/1/46		765		821

Pool #ZT0000, 3.00%, 1/1/47		2,983		3,212

Pool #ZT0074, 3.50%, 3/1/47		3,113		3,359

Pool #ZT0495, 4.50%, 8/1/48		216		233

Pool #ZT0524, 4.50%, 9/1/48		798		871

Pool #ZT0712, 4.00%, 10/1/48		669		713

Pool #ZT0787, 4.00%, 10/1/48		711		758

Pool #ZT1702, 4.00%, 1/1/49		1,330		1,417

Pool #ZT2091, 3.00%, 6/1/34		271		285


				256,545


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac Gold – 1.0%

Pool #A16753, 5.00%, 11/1/33		$32		$36

Pool #A17665, 5.00%, 1/1/34		39		45

Pool #A27950, 5.50%, 11/1/34		166		194

Pool #A31136, 5.50%, 1/1/35		185		210

Pool #A39306, 5.50%, 11/1/35		86		101

Pool #A46224, 5.00%, 7/1/35		15		17

Pool #A48104, 5.00%, 1/1/36		52		60

Pool #A51296, 6.00%, 8/1/36		6		7

Pool #A56110, 5.50%, 12/1/36		112		125

Pool #A57604, 5.00%, 3/1/37		94		107

Pool #A58718, 5.50%, 3/1/37		12		13

Pool #A59081, 5.50%, 4/1/37		90		102

Pool #A61560, 5.50%, 10/1/36		184		214

Pool #A61597, 5.50%, 12/1/35		32		35

Pool #A64474, 5.50%, 9/1/37		12		14

Pool #A67116, 7.00%, 10/1/37		15		18

Pool #A68761, 5.50%, 9/1/37		119		133

Pool #A69303, 6.00%, 11/1/37		16		18

Pool #A73778, 5.00%, 2/1/38		62		72

Pool #A74134, 7.00%, 2/1/38		20		22

Pool #A81606, 6.00%, 9/1/38		16		18


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac Gold – 1.0% continued

Pool #A83008, 5.50%, 11/1/38		$173		$200

Pool #A91541, 5.00%, 3/1/40		141		161

Pool #C91009, 5.00%, 11/1/26		8		8

Pool #C91247, 5.00%, 4/1/29		75		83

Pool #C91354, 4.00%, 1/1/31		277		298

Pool #C91370, 4.50%, 5/1/31		140		154

Pool #C91388, 3.50%, 2/1/32		171		185

Pool #C91402, 4.00%, 10/1/31		230		250

Pool #C91408, 3.50%, 11/1/31		168		179

Pool #C91485, 3.50%, 8/1/32		259		280

Pool #C91811, 4.00%, 1/1/35		128		140

Pool #C91826, 3.00%, 5/1/35		213		224

Pool #C91858, 3.00%, 12/1/35		223		235

Pool #C91879, 3.00%, 6/1/36		250		263

Pool #C91891, 3.00%, 9/1/36		284		299

Pool #C91904, 2.50%, 11/1/36		177		187

Pool #C91908, 3.00%, 1/1/37		118		124

Pool #C91949, 3.00%, 9/1/37		278		292

Pool #C91955, 3.00%, 10/1/37		232		244

Pool #C91970, 3.50%, 1/1/38		311		330

Pool #C91971, 4.00%, 1/1/38		117		127


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac Gold – 1.0% continued

Pool #C92003, 3.50%, 7/1/38		$181		$192

Pool #C92010, 4.00%, 8/1/38		249		267

Pool #D97564, 5.00%, 1/1/28		91		100

Pool #D99094, 3.00%, 3/1/32		169		179

Pool #E03033, 3.00%, 2/1/27		292		307

Pool #E04044, 3.50%, 8/1/27		540		572

Pool #G02064, 5.00%, 2/1/36		81		93

Pool #G02069, 5.50%, 3/1/36		12		14

Pool #G02386, 6.00%, 11/1/36		132		156

Pool #G02391, 6.00%, 11/1/36		4		5

Pool #G02540, 5.00%, 11/1/34		41		48

Pool #G02649, 6.00%, 1/1/37		5		5

Pool #G02702, 6.50%, 1/1/37		11		12

Pool #G02789, 6.00%, 4/1/37		538		636

Pool #G02911, 6.00%, 4/1/37		6		7

Pool #G02973, 6.00%, 6/1/37		17		21

Pool #G03121, 5.00%, 6/1/36		62		71

Pool #G03134, 5.50%, 8/1/36		31		37

Pool #G03218, 6.00%, 9/1/37		20		23

Pool #G03351, 6.00%, 9/1/37		33		39

Pool #G03513, 6.00%, 11/1/37		40		47


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac Gold – 1.0% continued

Pool #G03600, 7.00%, 11/1/37		$17		$20

Pool #G03737, 6.50%, 11/1/37		237		270

Pool #G03992, 6.00%, 3/1/38		46		53

Pool #G04287, 5.00%, 5/1/38		65		73

Pool #G04459, 5.50%, 6/1/38		60		70

Pool #G04611, 6.00%, 7/1/38		124		147

Pool #G04650, 6.50%, 9/1/38		67		76

Pool #G05733, 5.00%, 11/1/39		212		244

Pool #G05969, 5.00%, 8/1/40		115		133

Pool #G05971, 5.50%, 8/1/40		528		611

Pool #G06020, 5.50%, 12/1/39		482		558

Pool #G06767, 5.00%, 10/1/41		422		487

Pool #G06947, 6.00%, 5/1/40		142		167

Pool #G08189, 7.00%, 3/1/37		26		31

Pool #G08192, 5.50%, 4/1/37		27		32

Pool #G08341, 5.00%, 4/1/39		535		614

Pool #G12571, 4.00%, 1/1/22		2		2

Pool #G12673, 5.00%, 9/1/21⁽¹²⁾		—		—

Pool #G12837, 4.50%, 4/1/22		1		1

Pool #G12868, 5.00%, 11/1/22		17		18

Pool #G12869, 5.00%, 9/1/22		10		10


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac Gold – 1.0% continued

Pool #G13136, 4.50%, 5/1/23		$20		$21

Pool #G13151, 6.00%, 3/1/23		10		10

Pool #G13201, 4.50%, 7/1/23		12		13

Pool #G13433, 5.50%, 1/1/24		18		19

Pool #G14168, 5.50%, 12/1/24		19		19

Pool #G14239, 4.00%, 9/1/26		489		520

Pool #G14554, 4.50%, 7/1/26		33		34

Pool #G14891, 3.00%, 10/1/28		225		241

Pool #G15134, 3.00%, 5/1/29		161		173

Pool #G15468, 3.50%, 12/1/29		321		348

Pool #G16562, 3.50%, 8/1/33		619		670

Pool #G16600, 3.00%, 7/1/33		2,329		2,501

Pool #G16774, 3.50%, 2/1/34		463		491

Pool #G16786, 4.00%, 4/1/34		557		591

Pool #G18220, 6.00%, 11/1/22		3		3

Pool #G18420, 3.00%, 1/1/27		379		399

Pool #G18438, 2.50%, 6/1/27		194		203

Pool #G18442, 3.50%, 8/1/27		323		345

Pool #G18571, 2.50%, 10/1/30		315		329

Pool #G18601, 3.00%, 5/1/31		425		447

Pool #G18626, 2.50%, 1/1/32		2,399		2,512


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac Gold – 1.0% continued

Pool #G18664, 3.50%, 10/1/32		$262		$279

Pool #G18681, 3.00%, 3/1/33		974		1,023

Pool #G30327, 4.50%, 1/1/27		15		17

Pool #G30835, 3.50%, 12/1/35		242		262

Pool #G31020, 2.50%, 2/1/37		66		69

Pool #G31057, 3.00%, 2/1/38		331		348

Pool #J00991, 4.00%, 1/1/21		1		1

Pool #J03041, 6.00%, 7/1/21		2		2

Pool #J03736, 5.50%, 11/1/21		3		3

Pool #J05307, 4.50%, 8/1/22		3		3

Pool #J06175, 5.00%, 5/1/21⁽¹²⁾		—		—

Pool #J06465, 6.00%, 11/1/22		1		1

Pool #J06476, 5.50%, 11/1/22		5		5

Pool #J08098, 5.50%, 6/1/23		1		1

Pool #J08202, 5.00%, 7/1/23		5		6

Pool #J08454, 5.00%, 8/1/23		7		7

Pool #J08913, 5.50%, 10/1/23		8		9

Pool #J09148, 5.00%, 12/1/23		23		25

Pool #J09305, 5.00%, 2/1/24		28		29

Pool #J09463, 5.00%, 3/1/24		24		25

Pool #J11136, 4.00%, 11/1/24		21		22


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac Gold – 1.0% continued

Pool #J12098, 4.50%, 4/1/25		$186		$198

Pool #J14808, 3.50%, 3/1/26		217		230

Pool #J16932, 3.00%, 10/1/26		186		200

Pool #J17055, 3.00%, 11/1/26		111		116

Pool #J17232, 3.00%, 11/1/26		164		174

Pool #J17932, 3.00%, 3/1/27		247		263

Pool #J20834, 2.50%, 10/1/27		365		384

Pool #J21601, 2.50%, 12/1/27		1,308		1,370

Pool #J22069, 2.50%, 1/1/28		92		98

Pool #J22986, 2.50%, 3/1/28		758		802

Pool #J30435, 3.00%, 1/1/30		414		446

Pool #J32244, 3.00%, 7/1/30		1,449		1,549

Pool #J34252, 3.50%, 4/1/31		72		78

Pool #K90071, 3.00%, 2/1/33		644		677

Pool #K90641, 3.50%, 6/1/33		83		90

Pool #K90791, 3.00%, 7/1/33		283		300

Pool #K91490, 3.50%, 1/1/34		445		473

Pool #K92325, 3.00%, 1/1/35		362		384

Pool #V60268, 3.00%, 9/1/28		675		725

Pool #V60886, 2.50%, 8/1/30		189		201

Pool #V60902, 2.50%, 8/1/30		156		166


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Freddie Mac Gold – 1.0% continued

Pool #V61347, 2.50%, 10/1/31		$583		$619


				33,841


Government National Mortgage Association – 0.6%

Pool TBA, 10/1/50⁽¹³⁾		21,400		22,497


Government National Mortgage Association I – 0.5%

Pool #510835, 5.50%, 2/15/35		19		22

Pool #553463, 3.50%, 1/15/42		497		529

Pool #597889, 5.50%, 6/15/33		134		149

Pool #614169, 5.00%, 7/15/33		27		30

Pool #616879, 3.50%, 2/15/42		345		379

Pool #617739, 6.00%, 10/15/37		9		10

Pool #634431, 6.00%, 9/15/34		15		16

Pool #641416, 5.50%, 4/15/35		120		134

Pool #646341, 6.00%, 11/15/36		27		30

Pool #648538, 5.00%, 12/15/35		57		63

Pool #651753, 5.50%, 3/15/36		8		9

Pool #670030, 3.00%, 7/15/45		431		449

Pool #675211, 6.50%, 3/15/38		6		7

Pool #675484, 5.50%, 6/15/38		45		52

Pool #676360, 6.50%, 10/15/37		4		5

Pool #682899, 6.00%, 9/15/40		143		162

Pool #687824, 5.50%, 8/15/38		79		92

Pool #687900, 5.00%, 9/15/38		110		124


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Government National Mortgage Association I – 0.5% continued

Pool #687901, 5.00%, 9/15/38		$69		$79

Pool #692309, 6.00%, 1/15/39		31		35

Pool #697645, 5.50%, 10/15/38		28		33

Pool #698236, 5.00%, 6/15/39		200		224

Pool #698336, 4.50%, 5/15/39		224		247

Pool #699277, 6.00%, 9/15/38		7		9

Pool #700918, 5.50%, 11/15/38		87		101

Pool #700972, 5.50%, 11/15/38		19		22

Pool #701196, 6.00%, 10/15/38		5		6

Pool #703677, 5.50%, 6/15/39		102		117

Pool #704185, 5.50%, 1/15/39		26		30

Pool #704514, 4.50%, 5/15/39		419		471

Pool #704624, 4.50%, 7/15/39		1,202		1,369

Pool #717175, 4.50%, 6/15/39		227		256

Pool #719262, 5.00%, 8/15/40		112		128

Pool #720065, 4.50%, 6/15/39		784		881

Pool #720202, 4.50%, 7/15/39		186		206

Pool #723231, 4.00%, 10/15/39		176		188

Pool #723339, 5.00%, 9/15/39		98		112

Pool #726085, 4.00%, 11/15/24		57		61

Pool #728629, 4.50%, 1/15/40		299		336


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Government National Mortgage Association I – 0.5% continued

Pool #733663, 4.50%, 5/15/40		$818		$904

Pool #736768, 3.00%, 11/15/42		857		897

Pool #737286, 4.50%, 5/15/40		285		317

Pool #737416, 3.50%, 9/15/25		50		53

Pool #738134, 3.50%, 4/15/26		99		105

Pool #738247, 4.50%, 4/15/41		112		123

Pool #745215, 4.00%, 7/15/25		44		46

Pool #747643, 4.50%, 8/15/40		429		477

Pool #760874, 3.50%, 2/15/26		100		106

Pool #768800, 4.50%, 6/15/41		63		71

Pool #773939, 4.00%, 11/15/41		383		421

Pool #778957, 3.50%, 3/15/42		467		510

Pool #782131, 5.50%, 12/15/36		34		39

Pool #782150, 5.50%, 4/15/37		42		50

Pool #782259, 5.00%, 2/15/36		83		95

Pool #782272, 5.50%, 2/15/38		74		86

Pool #782498, 6.00%, 12/15/38		36		42

Pool #782565, 5.00%, 2/15/39		853		977

Pool #782584, 5.00%, 3/15/39		45		51

Pool #782675, 4.50%, 6/15/24		40		42

Pool #782696, 5.00%, 6/15/39		195		223


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Government National Mortgage Association I – 0.5% continued

Pool #782831, 6.00%, 12/15/39		$26		$31

Pool #783176, 4.00%, 11/15/40		507		552

Pool #783467, 4.00%, 10/15/41		1,481		1,613

Pool #783740, 2.50%, 12/15/27		143		149

Pool #AA5391, 3.50%, 6/15/42		27		29

Pool #AA6089, 3.00%, 2/15/43		328		358

Pool #AB2761, 3.50%, 8/15/42		109		116

Pool #AB2891, 3.00%, 9/15/42		156		163

Pool #AD8781, 3.00%, 3/15/43		270		291

Pool #AD9016, 3.00%, 4/15/43		285		297

Pool #AL1763, 3.50%, 1/15/45		153		162


				16,569


Government National Mortgage Association II – 5.7%

Pool #3570, 6.00%, 6/20/34		36		42

Pool #3665, 5.50%, 1/20/35		98		116

Pool #3852, 6.00%, 5/20/36		16		19

Pool #3879, 6.00%, 7/20/36		47		54

Pool #3910, 6.00%, 10/20/36		24		27

Pool #3994, 5.00%, 6/20/37		16		19

Pool #4018, 6.50%, 8/20/37		61		70

Pool #4026, 5.00%, 9/20/37		24		27

Pool #4027, 5.50%, 9/20/37		11		12


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Government National Mortgage Association II – 5.7% continued

Pool #4040, 6.50%, 10/20/37		$13		$15

Pool #4098, 5.50%, 3/20/38		74		88

Pool #4116, 6.50%, 4/20/38		29		34

Pool #4170, 6.00%, 6/20/38		58		67

Pool #4194, 5.50%, 7/20/38		131		155

Pool #4243, 5.00%, 9/20/38		31		35

Pool #4244, 5.50%, 9/20/38		36		43

Pool #4245, 6.00%, 9/20/38		21		24

Pool #4269, 6.50%, 10/20/38		29		34

Pool #4290, 5.50%, 11/20/38		25		29

Pool #4344, 6.00%, 1/20/39		45		51

Pool #4345, 6.50%, 1/20/39		31		35

Pool #4425, 5.50%, 4/20/39		80		95

Pool #4559, 5.00%, 10/20/39		169		193

Pool #4561, 6.00%, 10/20/39		96		109

Pool #4617, 4.50%, 1/20/40		52		58

Pool #4619, 5.50%, 1/20/40		178		208

Pool #4713, 4.50%, 6/20/40		149		165

Pool #4747, 5.00%, 7/20/40		129		147

Pool #4881, 3.50%, 12/20/40		571		612

Pool #4882, 4.00%, 12/20/40		1,294		1,412


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Government National Mortgage Association II – 5.7% continued

Pool #4923, 4.50%, 1/20/41		$126		$142

Pool #5050, 4.00%, 5/20/26		88		94

Pool #5081, 4.00%, 6/20/41		208		228

Pool #5082, 4.50%, 6/20/41		210		233

Pool #5083, 5.00%, 6/20/41		841		960

Pool #5114, 4.00%, 7/20/41		811		889

Pool #5141, 5.00%, 8/20/41		116		133

Pool #5175, 4.50%, 9/20/41		118		131

Pool #5176, 5.00%, 9/20/41		567		647

Pool #5202, 3.50%, 10/20/41		327		354

Pool #5203, 4.00%, 10/20/41		201		221

Pool #5232, 3.50%, 11/20/41		630		685

Pool #5264, 5.50%, 12/20/41		14		17

Pool #5280, 4.00%, 1/20/42		226		248

Pool #5304, 3.50%, 2/20/42		235		254

Pool #5317, 5.50%, 2/20/42		99		117

Pool #5326, 3.00%, 3/20/27		252		264

Pool #5331, 3.50%, 3/20/42		373		404

Pool #626951, 3.00%, 6/20/45		652		706

Pool #737602, 4.00%, 11/20/40		274		305

Pool #752757, 4.50%, 11/20/40		335		373


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Government National Mortgage Association II – 5.7% continued

Pool #755677, 4.00%, 12/20/40		$206		$228

Pool #766711, 4.00%, 5/20/42		907		996

Pool #782433, 6.00%, 10/20/38		81		93

Pool #783976, 3.50%, 4/20/43		2,734		2,966

Pool #784345, 3.50%, 7/20/47		740		813

Pool #AA5970, 3.00%, 1/20/43		939		1,013

Pool #AA6054, 3.00%, 2/20/43		1,418		1,544

Pool #AA6149, 3.00%, 3/20/43		939		1,014

Pool #AA6160, 3.50%, 3/20/43		335		365

Pool #AA6243, 3.50%, 4/20/43		127		139

Pool #AB9443, 3.50%, 11/20/42		503		542

Pool #AD1755, 3.50%, 2/20/43		543		587

Pool #AD8825, 3.50%, 3/20/43		320		355

Pool #AF5097, 4.00%, 8/20/43		874		948

Pool #AJ0645, 3.50%, 7/20/44		289		317

Pool #AJ0789, 3.50%, 8/20/45		2,256		2,437

Pool #AJ3643, 4.00%, 10/20/44		697		771

Pool #AK6867, 3.50%, 1/20/45		1,584		1,711

Pool #AO7525, 3.50%, 8/20/45		1,642		1,803

Pool #AO7682, 4.00%, 8/20/45		637		688

Pool #BB6965, 3.50%, 7/20/47		418		459


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Government National Mortgage Association II – 5.7% continued

Pool #BE9902, 4.50%, 6/20/48		$702		$757

Pool #MA0006, 2.50%, 4/20/27		96		100

Pool #MA0022, 3.50%, 4/20/42		374		406

Pool #MA0088, 3.50%, 5/20/42		841		912

Pool #MA0220, 3.50%, 7/20/42		437		474

Pool #MA0318, 3.50%, 8/20/42		816		885

Pool #MA0321, 5.00%, 8/20/42		198		226

Pool #MA0391, 3.00%, 9/20/42		1,803		1,902

Pool #MA0392, 3.50%, 9/20/42		359		389

Pool #MA0698, 3.00%, 1/20/43		428		452

Pool #MA0826, 3.00%, 3/20/28		116		122

Pool #MA0850, 2.50%, 3/20/43		164		173

Pool #MA0851, 3.00%, 3/20/43		626		660

Pool #MA0852, 3.50%, 3/20/43		730		792

Pool #MA0933, 3.00%, 4/20/43		761		802

Pool #MA0934, 3.50%, 4/20/43		247		268

Pool #MA1011, 3.00%, 5/20/43		732		772

Pool #MA1012, 3.50%, 5/20/43		653		708

Pool #MA1064, 2.50%, 6/20/28		376		393

Pool #MA1089, 3.00%, 6/20/43		782		825

Pool #MA1224, 3.50%, 8/20/43		563		610


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Government National Mortgage Association II – 5.7% continued

Pool #MA1285, 3.50%, 9/20/43		$329		$357

Pool #MA1839, 4.00%, 4/20/44		179		195

Pool #MA1920, 4.00%, 5/20/44		191		207

Pool #MA2224, 4.00%, 9/20/44		1,048		1,141

Pool #MA2444, 3.00%, 12/20/44		146		154

Pool #MA2521, 3.50%, 1/20/45		596		638

Pool #MA2522, 4.00%, 1/20/45		219		238

Pool #MA2677, 3.00%, 3/20/45		316		333

Pool #MA2753, 3.00%, 4/20/45		837		887

Pool #MA2754, 3.50%, 4/20/45		333		356

Pool #MA2891, 3.00%, 6/20/45		929		985

Pool #MA2892, 3.50%, 6/20/45		307		328

Pool #MA2935, 3.00%, 7/20/30		506		531

Pool #MA2960, 3.00%, 7/20/45		738		780

Pool #MA3034, 3.50%, 8/20/45		893		954

Pool #MA3104, 3.00%, 9/20/45		1,005		1,063

Pool #MA3106, 4.00%, 9/20/45		789		851

Pool #MA3172, 3.00%, 10/20/45		195		205

Pool #MA3173, 3.50%, 10/20/45		3,782		4,048

Pool #MA3174, 4.00%, 10/20/45		427		461

Pool #MA3244, 3.50%, 11/20/45		687		733


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Government National Mortgage Association II – 5.7% continued

Pool #MA3245, 4.00%, 11/20/45		$1,550		$1,671

Pool #MA3310, 3.50%, 12/20/45		1,482		1,582

Pool #MA3378, 4.50%, 1/20/46		868		963

Pool #MA3521, 3.50%, 3/20/46		1,324		1,414

Pool #MA3522, 4.00%, 3/20/46		353		380

Pool #MA3596, 3.00%, 4/20/46		806		853

Pool #MA3597, 3.50%, 4/20/46		1,342		1,435

Pool #MA3662, 3.00%, 5/20/46		1,310		1,386

Pool #MA3663, 3.50%, 5/20/46		812		866

Pool #MA3664, 4.00%, 5/20/46		345		371

Pool #MA3735, 3.00%, 6/20/46		1,587		1,668

Pool #MA3736, 3.50%, 6/20/46		1,073		1,156

Pool #MA3777, 2.50%, 7/20/31		130		136

Pool #MA3778, 3.00%, 7/20/31		164		172

Pool #MA3802, 3.00%, 7/20/46		1,874		1,980

Pool #MA3803, 3.50%, 7/20/46		1,589		1,697

Pool #MA3873, 3.00%, 8/20/46		717		758

Pool #MA3874, 3.50%, 8/20/46		736		787

Pool #MA3912, 2.50%, 9/20/31		185		193

Pool #MA3936, 3.00%, 9/20/46		1,644		1,740

Pool #MA3937, 3.50%, 9/20/46		2,219		2,373


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Government National Mortgage Association II – 5.7% continued

Pool #MA4002, 2.50%, 10/20/46		$113		$119

Pool #MA4003, 3.00%, 10/20/46		1,080		1,138

Pool #MA4067, 2.50%, 11/20/46		869		916

Pool #MA4068, 3.00%, 11/20/46		5,131		5,430

Pool #MA4101, 2.50%, 12/20/31		99		104

Pool #MA4125, 2.50%, 12/20/46		59		62

Pool #MA4196, 3.50%, 1/20/47		1,101		1,175

Pool #MA4322, 4.00%, 3/20/47		489		526

Pool #MA4382, 3.50%, 4/20/47		380		405

Pool #MA4509, 3.00%, 6/20/47		1,692		1,782

Pool #MA4512, 4.50%, 6/20/47		668		727

Pool #MA4624, 3.00%, 8/20/32		149		156

Pool #MA4652, 3.50%, 8/20/47		1,638		1,747

Pool #MA4718, 3.00%, 9/20/47		4,096		4,317

Pool #MA4719, 3.50%, 9/20/47		2,652		2,830

Pool #MA4778, 3.50%, 10/20/47		1,662		1,773

Pool #MA4838, 4.00%, 11/20/47		238		255

Pool #MA4900, 3.50%, 12/20/47		1,659		1,768

Pool #MA4901, 4.00%, 12/20/47		3,260		3,495

Pool #MA4962, 3.50%, 1/20/48		1,595		1,696

Pool #MA4963, 4.00%, 1/20/48		602		645


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Government National Mortgage Association II – 5.7% continued

Pool #MA5021, 4.50%, 2/20/48		$856		$927

Pool #MA5077, 3.50%, 3/20/48		1,796		1,903

Pool #MA5137, 4.00%, 4/20/48		295		314

Pool #MA5191, 3.50%, 5/20/48		1,024		1,086

Pool #MA5264, 4.00%, 6/20/48		702		750

Pool #MA5265, 4.50%, 6/20/48		766		827

Pool #MA5266, 5.00%, 6/20/48		935		1,020

Pool #MA5330, 4.00%, 7/20/48		919		980

Pool #MA5331, 4.50%, 7/20/48		1,542		1,672

Pool #MA5398, 4.00%, 8/20/48		634		677

Pool #MA5399, 4.50%, 8/20/48		727		783

Pool #MA5466, 4.00%, 9/20/48		1,527		1,633

Pool #MA5467, 4.50%, 9/20/48		861		931

Pool #MA5528, 4.00%, 10/20/48		893		953

Pool #MA5529, 4.50%, 10/20/48		866		935

Pool #MA5564, 3.50%, 11/20/33		381		404

Pool #MA5595, 4.00%, 11/20/48		307		328

Pool #MA5653, 5.00%, 12/20/48		1,239		1,347

Pool #MA5818, 4.50%, 3/20/49		911		979

Pool #MA5931, 4.00%, 5/20/49		1,902		2,022

Pool #MA5985, 3.50%, 6/20/49		1,800		1,893


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Government National Mortgage Association II – 5.7% continued
Pool #MA6040, 4.00%, 7/20/49		$2,279		$2,421
Pool #MA6217, 2.50%, 10/20/49		682		716
Pool #MA6218, 3.00%, 10/20/49		7,778		8,142
Pool #MA6282, 2.50%, 11/20/49		1,828		1,919
Pool #MA6283, 3.00%, 11/20/49		4,061		4,251
Pool #MA6310, 3.00%, 12/20/34		176		184
Pool #MA6337, 2.50%, 12/20/49		549		576
Pool #MA6338, 3.00%, 12/20/49		6,157		6,446
Pool #MA6339, 3.50%, 12/20/49		3,966		4,168
Pool #MA6408, 2.50%, 1/20/50		1,437		1,509
Pool #MA6409, 3.00%, 1/20/50		1,866		1,954
Pool #MA6410, 3.50%, 1/20/50		4,487		4,717
Pool #MA6655, 2.50%, 5/20/50		876		921
Pool #MA6709, 2.50%, 6/20/50		3,869		4,068
Pool #MA6765, 2.50%, 7/20/50		4,086		4,296
Pool #MA6819, 2.50%, 8/20/50		2,085		2,192
Pool #MA6820, 3.00%, 8/20/50		2,000		2,114
Pool #MA6865, 9/20/50⁽¹³⁾		6,020		6,329
Pool #MA6866, 9/20/50⁽¹³⁾		2,000		2,117
Pool #MA6931, 10/20/50⁽¹³⁾		3,980		4,168


				199,481


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 29.4% ⁽¹¹⁾ continued

Tennessee Valley Authority – 0.1%
5.25%, 9/15/39		$1,650		$2,545

Total U.S. Government Agencies

(Cost $993,630)				1,026,375


U.S. GOVERNMENT OBLIGATIONS – 37.5%

U.S. Treasury Bonds – 7.3%
7.63%, 2/15/25		5,000		6,611
4.50%, 2/15/36		1,000		1,515
4.38%, 2/15/38		1,000		1,540
4.50%, 8/15/39		2,000		3,167
4.38%, 11/15/39		2,000		3,129
4.63%, 2/15/40		2,000		3,225
4.38%, 5/15/40		2,000		3,145
3.75%, 8/15/41		4,000		5,881
3.13%, 2/15/42		2,000		2,714
2.75%, 8/15/42		3,000		3,851
2.75%, 11/15/42		4,000		5,131
3.63%, 2/15/44		5,000		7,320
3.38%, 5/15/44		6,000		8,484
3.13%, 8/15/44		5,500		7,499
3.00%, 11/15/44		7,000		9,372
2.50%, 2/15/45		6,000		7,401
3.00%, 5/15/45		6,000		8,050
3.00%, 11/15/45		5,000		6,731
2.50%, 2/15/46		3,000		3,713
2.50%, 5/15/46		8,000		9,906
2.25%, 8/15/46		5,000		5,918
2.88%, 11/15/46		5,000		6,623
3.00%, 5/15/47		8,000		10,863
2.75%, 8/15/47		7,000		9,106
2.75%, 11/15/47		8,000		10,422
3.00%, 2/15/48		8,000		10,898
3.13%, 5/15/48		5,000		6,969
3.00%, 8/15/48		12,000		16,394
3.00%, 2/15/49		13,000		17,817
2.88%, 5/15/49		11,000		14,768
2.25%, 8/15/49		5,000		5,963
2.38%, 11/15/49		7,070		8,657
2.00%, 2/15/50		8,000		9,076
1.25%, 5/15/50		9,000		8,556
1.38%, 8/15/50		4,000		3,926


				254,341


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT OBLIGATIONS - 37.5% continued

U.S. Treasury Notes – 30.2%
2.00%, 11/15/21		$20,000		$20,419
1.63%, 12/31/21		25,000		25,465
1.88%, 1/31/22		25,000		25,582
2.50%, 2/15/22		25,000		25,812
1.13%, 2/28/22		25,000		25,352
1.88%, 3/31/22		10,000		10,261
1.88%, 4/30/22		20,000		20,552
1.75%, 6/30/22		50,000		51,416
1.63%, 8/15/22		5,000		5,140
0.13%, 8/31/22		20,000		19,999
1.75%, 9/30/22		10,000		10,323
1.88%, 10/31/22		10,000		10,362
2.00%, 11/30/22		10,000		10,403
2.13%, 12/31/22		10,000		10,447
1.50%, 2/28/23		10,000		10,328
2.63%, 2/28/23		20,000		21,198
1.63%, 4/30/23		10,000		10,382
2.75%, 4/30/23		15,000		16,005
0.13%, 5/15/23		85,000		84,953
2.75%, 5/31/23		23,000		24,593
2.63%, 6/30/23		5,000		5,339
0.13%, 8/15/23		10,000		9,992
2.75%, 8/31/23		25,000		26,886
2.88%, 10/31/23		10,000		10,832
2.75%, 11/15/23		5,000		5,402
2.63%, 12/31/23		5,000		5,397
2.38%, 2/29/24		20,000		21,495
2.50%, 5/15/24		20,000		21,666
2.00%, 5/31/24		5,000		5,330
2.00%, 6/30/24		25,000		26,686
2.38%, 8/15/24		10,000		10,838
1.50%, 9/30/24		5,000		5,257
1.50%, 10/31/24		10,000		10,521
2.25%, 11/15/24		10,000		10,830
1.50%, 11/30/24		15,000		15,795
1.38%, 1/31/25		10,000		10,492
2.75%, 2/28/25		15,000		16,658
0.38%, 4/30/25		40,000		40,236
2.13%, 5/15/25		10,000		10,859
0.25%, 6/30/25		15,000		14,995
2.75%, 6/30/25		5,000		5,587
0.25%, 7/31/25		15,000		14,989
0.25%, 8/31/25		10,000		9,992


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT OBLIGATIONS - 37.5% continued

U.S. Treasury Notes – 30.2% continued
3.00%, 9/30/25		$10,000		$11,350
2.63%, 12/31/25		10,000		11,210
1.63%, 2/15/26		10,000		10,698
1.63%, 5/15/26		10,000		10,716
1.50%, 8/15/26		10,000		10,662
1.63%, 9/30/26		10,000		10,744
2.00%, 11/15/26		10,000		10,978
1.75%, 12/31/26		10,000		10,841
2.25%, 2/15/27		10,000		11,166
1.13%, 2/28/27		10,000		10,454
0.50%, 4/30/27		10,000		10,048
0.50%, 5/31/27		25,000		25,107
2.25%, 8/15/27		10,000		11,218
0.50%, 8/31/27		10,000		10,028
2.25%, 11/15/27		10,000		11,247
2.75%, 2/15/28		10,000		11,637
2.88%, 8/15/28		10,000		11,810
3.13%, 11/15/28		10,000		12,052
2.63%, 2/15/29		15,000		17,528
2.38%, 5/15/29		15,000		17,267
1.75%, 11/15/29		15,000		16,523
1.50%, 2/15/30		15,000		16,191
0.63%, 5/15/30		20,000		19,941


				1,054,482

Total U.S. Government Obligations

(Cost $1,213,803)				1,308,823


MUNICIPAL BONDS - 0.7%

Arizona – 0.0%
Salt River Project Agricultural Improvement & Power District Electric Revenue Bonds, Build America Bonds, 4.84%, 1/1/41		110		155

California – 0.3%
Bay Area Toll Authority Toll Bridge Subordinate Revenue Bonds, Series S1, Build America Bonds, 7.04%, 4/1/50		150		269
Bay Area Toll Authority Toll Bridge Taxable Revenue Bonds, Series S3, Build America Bonds, 6.91%, 10/1/50		150		272



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 0.7% continued

California – 0.3% continued
California State G.O. Unlimited Bonds, Build America Bonds,
7.30%, 10/1/39		$920		$1,511
7.63%, 3/1/40		405		701
7.60%, 11/1/40		400		721
California State G.O. Unlimited Bonds, Build America Bonds, Prerefunded, 7.70%, 11/1/30		135		136
California State Various Purpose Taxable G.O. Unlimited Bonds, Build America Bonds, 7.55%, 4/1/39		585		1,023
East Bay Municipal Utility District Water System Subordinated Revenue Bonds, Build America Bonds, 5.87%, 6/1/40		300		468
Los Angeles Community College District G.O. Unlimited Bonds, Build America Bonds, 6.75%, 8/1/49		150		268
Los Angeles Department of Airports Direct Pay Revenue Bonds, Build America Bonds, 6.58%, 5/15/39		250		342
Los Angeles Unified School District G.O. Unlimited Bonds, Series RY, Build America Bonds, 6.76%, 7/1/34		290		429
Los Angeles Unified School District Taxable G.O. Unlimited Bonds, Series KR, Build America Bonds, 5.75%, 7/1/34		335		468
San Diego County Water Authority Financing Agency Revenue Bonds, Series B, Build America Bonds, 6.14%, 5/1/49		100		160
San Francisco City & County Public Utilities Commission Water Revenue Bonds, Build America Bonds, 6.95%, 11/1/50		75		131
University of California Revenue Bonds, Build America Bonds, 5.95%, 5/15/45		150		223



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 0.7% continued

Massachusetts – 0.0% continued
Massachusetts State School Building Authority Sales TRB, Build America Bonds, 5.72%, 8/15/39		$100		$149
				457

Mississippi – 0.0%
Mississippi State G.O. Unlimited Bonds, Series F, Build America Bonds, 5.25%, 11/1/34		100		134

Nevada – 0.0%
Clark County Airport System Taxable Revenue Bonds, Series C, Build America Bonds, 6.82%, 7/1/45		200		330

New Jersey – 0.0%
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series B, Build America Bonds, 6.56%, 12/15/40		200		260
New Jersey State Transportation Trust Fund Authority Taxable Revenue Bonds, Series C, Build America Bonds, Prerefunded, 6.10%, 12/15/28		300		303
New Jersey State Turnpike Authority Taxable Revenue Bonds, Build America Bonds, 7.41%, 1/1/40		125		212
Rutgers State University Revenue Bonds, Build America Bonds, 5.67%, 5/1/40		145		200
				975

New York – 0.1%
Metropolitan Transportation Authority Dedicated Tax Fund Taxable Revenue Bonds, Build America Bonds, 7.34%, 11/15/39		75		120
Metropolitan Transportation Authority Taxable Revenue Bonds, Build America Bonds, 6.69%, 11/15/40		100		126
6.81%, 11/15/40		60		76



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 0.7% continued

New York – 0.1% continued
New York City Municipal Water Finance Authority Water & Sewer System Revenue Bonds, Build America Bonds, 5.75%, 6/15/41		$200		$309
5.72%, 6/15/42		250		395
New York City Transitional Finance Authority Future Tax Secured Taxable Revenue Bonds, Build America Bonds, 5.77%, 8/1/36		300		398
New York G.O. Unlimited Bonds, Build America Bonds, 5.52%, 10/1/37		100		142
5.85%, 6/1/40		85		123
New York State Dormitory Authority Personal Income TRB, Series D, Build America Bonds, 5.60%, 3/15/40		250		360
New York State Dormitory Authority State Personal Income Tax Build America Revenue Bonds, Unrefunded Balance, 5.63%, 3/15/39		75		101
New York State Urban Development Corp. Taxable Revenue Bonds, Build America Bonds, 5.77%, 3/15/39		100		127
New York Taxable G.O. Unlimited Bonds, Series F-1, Build America Bonds, 6.65%, 12/1/31		225		227
Port Authority of New York & New Jersey Consolidated 164th Taxable Revenue Bonds, 5.65%, 11/1/40		350		490
Port Authority of New York & New Jersey Consolidated 165th Taxable Revenue Bonds, 5.65%, 11/1/40		200		280
Port Authority of New York & New Jersey Consolidated 168th Revenue Bonds, 4.93%, 10/1/51		250		337
				3,611



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 0.7% continued

Ohio – 0.1%
American Municipal Power-Ohio, Inc., Revenue Bonds, Subseries B, Build America Bonds, 6.45%, 2/15/44		$200		$302
American Municipal Power-Ohio, Inc., Taxable Revenue Bonds, Series B, Build America Bonds, Combined Hydroelectric Projects, 8.08%, 2/15/50		300		571
Northeast Regional Sewer District Improvement Taxable Revenue Bonds, Build America Bonds, Prerefunded, 6.04%, 11/15/40		145		146
Ohio State University Revenue Bonds, Series C, Build America Bonds, 4.91%, 6/1/40		190		265
Ohio State University Taxable Revenue Bonds, Series A, 4.80%, 6/1/11⁽⁶⁾		200		293
Ohio State Water Quality Development Authority Pollution Control Taxable Revenue Bonds, Series B-2, Loan Fund, 4.88%, 12/1/34		90		108

				1,685

Oregon – 0.0%
Oregon State Department of Transportation Highway User Taxable Revenue Bonds, Series A, Subordinate Lien, Build America Bonds, 5.83%, 11/15/34		200		289

Pennsylvania – 0.0%
State Public School Building Authority Taxable Revenue Bonds, Series A, Qualified School Construction Bonds, 5.00%, 9/15/27		200		240

Tennessee – 0.0%
Metropolitan Government of Nashville & Davidson County Convention Center Authority Subordinate Taxable Revenue Bonds, Series B, Build America Bonds, 6.73%, 7/1/43		100		151



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 0.7% continued

Texas – 0.1%
Dallas Area Rapid Transit Sales TRB, Build America Bonds, 5.02%, 12/1/48		$180		$261
Dallas Independent School District Taxable G.O. Unlimited Bonds, Series C, Build America Bonds (PSF, Gtd.), 6.45%, 2/15/35		200		206
Houston Pension Taxable G.O. Limited Refunding Bonds, Series A, 6.29%, 3/1/32		260		329
North Texas Tollway Authority Revenue Bonds, Build America Bonds, 6.72%, 1/1/49		125		215
San Antonio Electric & Gas Revenue Bonds, Build America Bonds, 5.99%, 2/1/39		200		300
Texas State Taxable G.O. Unlimited Bonds, Build America Bonds, 5.52%, 4/1/39		200		305
Texas State Transportation Commission State Highway Fund Taxable Revenue Bonds, Series B, First Tier, 5.18%, 4/1/30		300		385
University of Texas Revenue Bonds, Series C, Build America Bonds, 4.79%, 8/15/46		100		137

				2,138

Utah – 0.0%
Utah State G.O. Unlimited Bonds, Series B, Build America Bonds, 3.54%, 7/1/25		95		104

Virginia – 0.0%
University of Virginia University Taxable Revenue Refunding Bonds, 2.26%, 9/1/50		1,000		987

Washington – 0.0%
Central Puget Sound Regional Transportation Authority Sales & Use TRB, Build America Bonds, 5.49%, 11/1/39		80		117
Washington State Convention Center Public Facilities District Revenue Bonds, Build America Bonds, 6.79%, 7/1/40		100		127

PRINCIPAL
AMOUNT
(000S)

VALUE
(000S)

MUNICIPAL BONDS - 0.7% continued

Washington – 0.0% continued

Washington State G.O. Unlimited Bonds, Series F, Build America Bonds,
5.14%, 8/1/40

$100

$147

391

Total Municipal Bonds

(Cost $16,902)

22,703

NUMBER OF
SHARES

VALUE
(000S)

OTHER - 0.0%

Escrow Lehman Brothers Holdings Capital Trust
VII⁽¹⁴⁾⁽¹⁵⁾

50,000

$—

Total Other

(Cost $39)

—

INVESTMENT COMPANIES - 4.4%

Northern Institutional Funds - U.S. Government Portfolio (Shares),
0.00%⁽¹⁶⁾⁽¹⁷⁾

154,965,504

154,966

Total Investment Companies

(Cost $154,966)

154,966

Total Investments – 103.7%

(Cost $3,396,737)

3,618,954

Liabilities less Other Assets – (3.7%)

(130,052

)

NET ASSETS – 100.0%

3,488,902

⁽¹⁾

Level 3 asset.

⁽²⁾

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.

⁽³⁾

Variable rate security. Rate as of September 30, 2020 is disclosed.

⁽⁴⁾

⁽⁵⁾

Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end.

⁽⁶⁾

Century bond maturing in 2111.

⁽⁷⁾

Century bond maturing in 2114.

⁽⁸⁾

Century bond maturing in 2116.

⁽⁹⁾

Century bond maturing in 2112.

⁽¹⁰⁾

Zero coupon bond.

⁽¹¹⁾

The obligations of certain U.S. government-sponsored entities are neither issued nor guaranteed by the United States Treasury.

⁽¹²⁾

Principal Amount and Value rounds to less than one thousand.

⁽¹³⁾

When-Issued Security. Coupon rate is not in effect at September 30, 2020.

⁽¹⁴⁾

Issuer has defaulted on terms of debt obligation.

⁽¹⁵⁾

Level 3 asset that is worthless, bankrupt or has been delisted.

⁽¹⁶⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽¹⁷⁾

7-day current yield as of September 30, 2020 is disclosed.

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

1Y - 1 Year

3M - 3 Month

Fannie Mae - Federal National Mortgage Association

Freddie Mac - Federal Home Loan Mortgage Corporation

G.O. - General Obligation

Gtd. - Guaranteed

ICE - Intercontinental Exchange

LIBOR - London Interbank Offered Rate

PLC - Public Limited Company

PSF - Permanent School Fund

SOFR - Secured Overnight Financing Rate

TBA - To be announced

TRB - Tax Revenue Bonds

USD - United States Dollar

Percentages shown are based on Net Assets.

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT OBLIGATIONS - 99.0%

U.S. Treasury Bonds – 21.6%
6.00%, 2/15/26		$10		$13
6.50%, 11/15/26		75		103
6.38%, 8/15/27		65		91
6.13%, 11/15/27		75		105
5.50%, 8/15/28		50		69
5.25%, 11/15/28		100		138
6.13%, 8/15/29		50		74
6.25%, 5/15/30		75		115
5.38%, 2/15/31		100		147
4.50%, 2/15/36		140		212
4.75%, 2/15/37		25		39
5.00%, 5/15/37		50		81
4.38%, 2/15/38		50		77
4.50%, 5/15/38		95		149
3.50%, 2/15/39		100		141
4.25%, 5/15/39		100		154
4.50%, 8/15/39		200		317
4.38%, 11/15/39		200		313
4.63%, 2/15/40		185		298
1.13%, 5/15/40		800		789
4.38%, 5/15/40		190		299
1.13%, 8/15/40		700		688
3.88%, 8/15/40		150		222
4.25%, 11/15/40		175		272
4.75%, 2/15/41		145		240
4.38%, 5/15/41		140		222
3.75%, 8/15/41		150		221
3.13%, 11/15/41		145		196
3.13%, 2/15/42		200		271
3.00%, 5/15/42		155		206
2.75%, 8/15/42		230		295
2.75%, 11/15/42		315		404
3.13%, 2/15/43		405		550
2.88%, 5/15/43		375		491
3.63%, 8/15/43		350		511
3.75%, 11/15/43		330		491
3.63%, 2/15/44		400		586
3.38%, 5/15/44		450		636
3.13%, 8/15/44		425		579
3.00%, 11/15/44		455		609
2.50%, 2/15/45		450		555
3.00%, 5/15/45		400		537
2.88%, 8/15/45		425		560


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT OBLIGATIONS - 99.0% continued

U.S. Treasury Bonds – 21.6% continued
3.00%, 11/15/45		$380		$512
2.50%, 2/15/46		400		495
2.50%, 5/15/46		400		495
2.25%, 8/15/46		425		503
2.88%, 11/15/46		400		530
3.00%, 2/15/47		400		542
3.00%, 5/15/47		350		475
2.75%, 8/15/47		500		650
2.75%, 11/15/47		350		456
3.00%, 2/15/48		640		872
3.13%, 5/15/48		575		801
3.00%, 8/15/48		650		888
3.38%, 11/15/48		700		1,021
3.00%, 2/15/49		550		754
2.88%, 5/15/49		600		806
2.25%, 8/15/49		600		716
2.38%, 11/15/49		475		582
2.00%, 2/15/50		760		862
1.25%, 5/15/50		800		760
1.38%, 8/15/50		700		687


				26,473


U.S. Treasury Notes – 77.4%
2.88%, 10/15/21		350		360
1.25%, 10/31/21		350		354
1.50%, 10/31/21		750		761
2.00%, 10/31/21		250		255
2.00%, 11/15/21		375		383
2.88%, 11/15/21		250		258
1.50%, 11/30/21		400		406
1.75%, 11/30/21		250		255
1.88%, 11/30/21		250		255
2.63%, 12/15/21		350		360
1.63%, 12/31/21		600		611
2.00%, 12/31/21		300		307
2.13%, 12/31/21		225		231
2.50%, 1/15/22		250		258
1.38%, 1/31/22		1,000		1,017
1.50%, 1/31/22		250		255
1.88%, 1/31/22		300		307
2.00%, 2/15/22		325		333
2.50%, 2/15/22		275		284
1.13%, 2/28/22		1,150		1,166
1.75%, 2/28/22		250		256


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT OBLIGATIONS - 99.0% continued

U.S. Treasury Notes – 77.4% continued
1.88%, 2/28/22		$150		$154
2.38%, 3/15/22		300		310
0.38%, 3/31/22		850		853
1.75%, 3/31/22		260		266
1.88%, 3/31/22		300		308
2.25%, 4/15/22		380		392
0.13%, 4/30/22		700		700
1.75%, 4/30/22		300		308
1.88%, 4/30/22		250		257
1.75%, 5/15/22		275		282
2.13%, 5/15/22		250		258
0.13%, 5/31/22		1,500		1,500
1.75%, 5/31/22		250		257
1.88%, 5/31/22		300		309
1.75%, 6/15/22		400		411
0.13%, 6/30/22		850		850
1.75%, 6/30/22		250		257
2.13%, 6/30/22		200		207
1.75%, 7/15/22		250		257
0.13%, 7/31/22		1,150		1,150
1.88%, 7/31/22		400		413
2.00%, 7/31/22		200		207
1.50%, 8/15/22		200		205
1.63%, 8/15/22		250		257
0.13%, 8/31/22		1,400		1,400
1.63%, 8/31/22		350		360
1.88%, 8/31/22		275		284
1.50%, 9/15/22		200		205
0.13%, 9/30/22		500		500
1.75%, 9/30/22		295		305
1.88%, 9/30/22		300		310
1.38%, 10/15/22		350		359
1.88%, 10/31/22		225		233
2.00%, 10/31/22		300		312
1.63%, 11/15/22		755		779
2.00%, 11/30/22		450		468
1.63%, 12/15/22		600		620
2.13%, 12/31/22		525		548
1.50%, 1/15/23		650		670
1.75%, 1/31/23		275		285
2.38%, 1/31/23		250		263
1.38%, 2/15/23		900		926
2.00%, 2/15/23		475		496


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT OBLIGATIONS - 99.0% continued

U.S. Treasury Notes – 77.4% continued
1.50%, 2/28/23		$250		$258
2.63%, 2/28/23		350		371
0.50%, 3/15/23		650		656
1.50%, 3/31/23		200		207
2.50%, 3/31/23		350		371
0.25%, 4/15/23		1,850		1,855
1.63%, 4/30/23		175		182
2.75%, 4/30/23		350		373
0.13%, 5/15/23		600		600
1.75%, 5/15/23		525		547
1.63%, 5/31/23		200		208
2.75%, 5/31/23		350		374
0.25%, 6/15/23		1,850		1,855
1.38%, 6/30/23		250		258
2.63%, 6/30/23		375		400
0.13%, 7/15/23		750		749
1.25%, 7/31/23		500		515
2.75%, 7/31/23		375		403
0.13%, 8/15/23		250		250
2.50%, 8/15/23		300		320
1.38%, 8/31/23		250		259
2.75%, 8/31/23		350		376
0.13%, 9/15/23		650		649
1.38%, 9/30/23		250		259
2.88%, 9/30/23		380		411
1.63%, 10/31/23		300		314
2.88%, 10/31/23		350		379
2.75%, 11/15/23		850		918
2.13%, 11/30/23		300		319
2.88%, 11/30/23		400		434
2.25%, 12/31/23		250		267
2.63%, 12/31/23		400		432
2.25%, 1/31/24		300		321
2.50%, 1/31/24		250		269
2.75%, 2/15/24		550		598
2.13%, 2/29/24		300		320
2.38%, 2/29/24		300		322
2.13%, 3/31/24		600		641
2.00%, 4/30/24		250		266
2.25%, 4/30/24		300		322
2.50%, 5/15/24		575		623
2.00%, 5/31/24		550		586
1.75%, 6/30/24		425		450


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT OBLIGATIONS - 99.0% continued

U.S. Treasury Notes – 77.4% continued
2.00%, 6/30/24		$300		$320
1.75%, 7/31/24		250		265
2.13%, 7/31/24		250		268
2.38%, 8/15/24		525		569
1.25%, 8/31/24		400		416
1.88%, 8/31/24		250		266
1.50%, 9/30/24		400		421
2.13%, 9/30/24		300		323
1.50%, 10/31/24		450		473
2.25%, 10/31/24		300		325
2.25%, 11/15/24		550		596
1.50%, 11/30/24		300		316
2.13%, 11/30/24		200		216
1.75%, 12/31/24		400		426
2.25%, 12/31/24		250		271
1.38%, 1/31/25		1,300		1,364
2.50%, 1/31/25		200		220
2.00%, 2/15/25		625		673
1.13%, 2/28/25		1,350		1,403
2.75%, 2/28/25		215		239
0.50%, 3/31/25		950		961
2.63%, 3/31/25		300		332
0.38%, 4/30/25		1,050		1,056
2.88%, 4/30/25		300		336
2.13%, 5/15/25		550		597
0.25%, 5/31/25		1,050		1,050
2.88%, 5/31/25		325		365
0.25%, 6/30/25		900		900
2.75%, 6/30/25		250		279
0.25%, 7/31/25		350		350
2.88%, 7/31/25		225		253
2.00%, 8/15/25		550		596
0.25%, 8/31/25		1,250		1,249
2.75%, 8/31/25		300		336
0.25%, 9/30/25		700		699
3.00%, 9/30/25		300		340
3.00%, 10/31/25		200		227
2.25%, 11/15/25		645		709
2.88%, 11/30/25		300		340
2.63%, 12/31/25		300		336
2.63%, 1/31/26		150		168
1.63%, 2/15/26		700		749
2.50%, 2/28/26		350		391


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT OBLIGATIONS - 99.0% continued

U.S. Treasury Notes – 77.4% continued
2.25%, 3/31/26		$350		$387
2.38%, 4/30/26		225		250
1.63%, 5/15/26		650		697
2.13%, 5/31/26		175		193
1.88%, 6/30/26		325		353
1.88%, 7/31/26		300		326
1.50%, 8/15/26		520		554
1.38%, 8/31/26		350		371
1.63%, 9/30/26		250		269
1.63%, 10/31/26		300		322
2.00%, 11/15/26		500		549
1.63%, 11/30/26		350		376
1.75%, 12/31/26		300		325
1.50%, 1/31/27		675		722
2.25%, 2/15/27		510		569
1.13%, 2/28/27		900		941
0.63%, 3/31/27		1,050		1,064
0.50%, 4/30/27		875		879
2.38%, 5/15/27		500		564
0.50%, 5/31/27		800		803
0.50%, 6/30/27		1,150		1,154
0.38%, 7/31/27		500		497
2.25%, 8/15/27		500		561
0.50%, 8/31/27		900		903
0.38%, 9/30/27		300		298
2.25%, 11/15/27		550		619
2.75%, 2/15/28		550		640
2.88%, 5/15/28		625		736
2.88%, 8/15/28		590		697
3.13%, 11/15/28		675		813
2.63%, 2/15/29		600		701
2.38%, 5/15/29		600		691
1.63%, 8/15/29		700		762
1.75%, 11/15/29		675		744
1.50%, 2/15/30		1,325		1,430
0.63%, 5/15/30		1,400		1,396
0.63%, 8/15/30		850		846


				94,841

Total U.S. Government Obligations

(Cost $112,833)				121,314

NUMBER
OF SHARES

VALUE
(000S)

INVESTMENT COMPANIES - 0.6%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽¹⁾⁽²⁾

773,961

$774

Total Investment Companies

(Cost $774)

774

Total Investments – 99.6%

(Cost $113,607)

122,088

Other Assets less Liabilities – 0.4%

470

NET ASSETS – 100.0%

122,558

⁽¹⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽²⁾

7-day current yield as of September 30, 2020 is disclosed.

Percentages shown are based on Net Assets.

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).



INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

U.S. Government Obligations⁽¹⁾		$ —		$121,314		$ —		$121,314
Investment Companies		774		—		—		774
Total Investments		$774		$121,314		$ —		$122,088

⁽¹⁾

Classifications as defined in the Schedule of Investments.

1.	ORGANIZATION

2.	SIGNIFICANT ACCOUNTING POLICIES

The net asset value (“NAV”) of each Fund is determined daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), generally 3:00 P.M. Central Time on each day the NYSE is open for trading.

reflect the fair value of such securities or broker provided prices. Such prices may be determined by taking into account other similar securities’ prices, yields, maturities, call features, ratings, prepayment speeds, credit risks, cash flows, institutional size trading in similar groups of securities and developments related to specific securities.

Shares of open-end investment companies, other than exchange-traded funds, are valued at their NAV. Short-term investments with a maturity of 60 days or less are valued at their amortized cost, which NTI, as authorized by the Trust’s Board of Trustees (the “Board”), has determined approximates fair value.

anticipation of changes in the composition of its portfolio holdings. A Fund bears the market risk arising from changes in the value of these financial instruments. At the time a Fund enters into a futures contract, it is generally required to make a margin deposit with the custodian of a specified amount of liquid assets. Futures are marked-to-market each day with the change in value reflected in the unrealized gains or losses. Risk may arise as a result of the potential inability of the counterparties to meet the terms of their contracts. Credit risk is mitigated to the extent that the exchange on which a particular futures contract is traded assumes the risk of a counterparty defaulting on its obligations under the contract. The Statements of Operations include any realized gains or losses on closed futures contracts in Net realized gains (losses) on futures contracts, and any unrealized gains or losses on open futures contracts in Net change in unrealized appreciation (depreciation) on futures contracts.

C) WHEN-ISSUED/DELAYED DELIVERY SECURITIES Certain Funds purchase securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time a Fund enters into the commitment to purchase a security, the transaction is recorded and the value of the commitment is reflected in the NAV. The value of the commitment may vary with market fluctuations. No interest accrues to the Fund until settlement takes place. At the time a Fund enters into this type of transaction, it is required to segregate collateral of cash or liquid assets having a fair value at least equal to the amount of the commitment. The Funds identify securities as segregated with a value that meets or exceeds the value of the commitments. When-issued securities at September 30, 2020, if any, are noted in each Fund’s Schedule of Investments and in aggregate as Payable for when-issued securities, in each Fund’s Statement of Assets and Liabilities.

On January 6, 2014, the Bond Index Fund entered into Master Securities Forward Transaction Agreements (“MSFTA”) with certain counterparties, pursuant to which each party has agreed to pledge cash and/or securities as collateral to secure the repayment of its obligations to the other party under the MSFTA. At September 30, 2020, the Bond Index Fund pledged collateral in the form of U.S. Treasury Bonds amounting to approximately $65,000, which is not included in the Statements of Assets and Liabilities. No collateral has been received by the Bond Index Fund from a broker as of September 30, 2020.

D) MORTGAGE DOLLAR ROLLS Certain Funds enter into mortgage “dollar rolls” in which a Fund sells securities for delivery in the future (generally within 30 days) and simultaneously contracts with the same counterparty to repurchase other mortgage securities on a specified future date. During the roll period, a Fund loses the right to receive principal and interest paid on the securities sold. However, a Fund would benefit to the extent of any difference between the price received for the securities sold and the lower forward price for the future purchase.

For financial reporting and tax purposes, the Funds treat mortgage dollar rolls as two separate transactions; one involving the purchase of a security and a separate transaction involving a sale.

F) EXPENSES Each Fund is charged for those expenses that are directly attributable to that Fund. Expenses incurred which do not specifically relate to an individual fund generally are allocated among all funds in the Trust in proportion to each Fund’s relative net assets.

G) DISTRIBUTIONS TO SHAREHOLDERS Distributions of dividends from net investment income, if any, are declared and paid as follows:

Distributions of net realized capital gains, if any, are declared and paid at least annually. Distributions to shareholders are recorded on the ex-dividend date.

At March 31, 2020, the following reclassification was recorded:


Amounts in thousands	UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)	ACCUMULATED UNDISTRIBUTED NET REALIZED GAINS (LOSSES)


Bond Index	$4,611	$(4,611)

H) FEDERAL INCOME TAXES No provision for federal income taxes has been made since each Fund’s policy is to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute, each year, substantially all of its taxable income and capital gains to its shareholders.

Capital losses incurred that will be carried forward indefinitely under the provisions of the Act are as follows:

Post-enactment losses


Amounts in thousands	SHORT-TERM CAPITAL LOSS CARRYFORWARD	LONG-TERM CAPITAL LOSS CARRYFOWARD


U.S. Treasury Index	$251	$235

At March 31, 2020, the tax components of undistributed net investment income, undistributed realized gains and unrealized gains (losses) were as follows:

UNDISTRIBUTED

Amounts in thousands

ORDINARY
INCOME*

LONG-TERM
CAPITAL GAINS

UNREALIZED
GAINS (LOSSES)

Bond Index

$2,086

$5,818

$184,157

U.S. Treasury Index

–

9,114

*	Ordinary income includes taxable market discount income and short-term capital gains, if any.

The tax character of distributions paid during the fiscal year ended March 31, 2020, was as follows:


	DISTRIBUTIONS FROM
Amounts in thousands	ORDINARY INCOME*		LONG-TERM CAPITAL GAINS


Bond Index		$89,033		$2,541

U.S. Treasury Index		1,863		–

*	Ordinary income includes taxable market discount income and short-term capital gains, if any.

The tax character of distributions paid during the fiscal year ended March 31, 2019, was as follows:


	DISTRIBUTIONS FROM
Amounts in thousands	ORDINARY INCOME*		LONG-TERM CAPITAL GAINS


Bond Index		$83,079	$–

U.S. Treasury Index		1,658	–

*	Ordinary income includes taxable market discount income and short-term capital gains, if any.

As of March 31, 2020, neither Fund had uncertain tax positions that would require financial statement recognition or disclosure. The Funds’ federal tax returns remain subject to examination by the Internal Revenue Service for the three years after they are filed. Interest or penalties incurred, if any, on future unknown, uncertain tax positions taken by the Funds will be recorded as interest expense and other expenses, respectively, on the Statements of Operations.

3. SERVICE PLAN

The Trust has adopted a Service Plan pursuant to which the Trust may enter into agreements with Northern Trust, its affiliates or other institutions (together “Service Organizations”) under which the Service Organizations agree to provide certain administrative support services and, in some cases, personal and account maintenance services for their customers, who are beneficial owners of shares of the Funds. As compensation for services provided pursuant to the Service Plan, the Service Organizations receive a fee at an annual rate of up to 0.15 percent of the average daily net assets of the Funds beneficially owned by their customers. There were no shareholder servicing fees paid by the Funds to Northern Trust or its affiliates during the six months ended September 30, 2020.

Service Plan expenses, if any, are included in the Statements of Operations under Shareholder servicing fees for the six months ended September 30, 2020.

4. BANK BORROWINGS

The Funds did not have any borrowings or incur any interest expense for the six months ended September 30, 2020. There were no outstanding loan amounts at September 30, 2020.

5. MANAGEMENT AND OTHER AGREEMENTS

NTI has contractually agreed to reimburse a portion of the operating expenses of each Fund (other than certain excepted expenses, i.e., acquired fund fees and expenses, the compensation paid to each independent Trustee of the Trust, expenses of third-party consultants engaged by the Board, membership dues paid to the Investment Company Institute and Mutual Fund Directors Forum, expenses in connection with the negotiation and renewal of the revolving credit facility, extraordinary expenses and interest) as shown on the accompanying Statements of Operations, to the extent the total annual fund operating expenses of each Fund exceeds the expense limitations set forth below. The total annual fund operating expenses after expense reimbursement for each Fund may be higher than the contractual limitation as a result of certain excepted expenses that are not

reimbursed. The amount of the reimbursement is included in Less expenses reimbursed by investment adviser as a reduction to Total Expenses in the Statements of Operations.

At September 30, 2020, the annual management fees and contractual expense limitations for the Funds were based on the following annual rates as set forth in the table below.


	CONTRACTUAL

	ANNUAL MANAGEMENT FEES	EXPENSE LIMITATIONS


Bond Index	0.13%	0.15%

U.S. Treasury Index	0.13%	0.15%

In addition, NTI has contractually agreed to reimburse certain additional expenses that may be excepted expenses.

Certain officers of the Trust are also officers of Northern Trust and NTI. All officers serve without compensation from the Funds. The Trust provided a deferred compensation plan for its Trustees who are not officers of Northern Trust or NTI. Prior to August 22, 2013, under the deferred compensation plan, Trustees may have elected to defer all or a portion of their compensation. Effective August 22, 2013, the Trustees may no longer defer their compensation. Any amounts deferred and invested under the plan shall remain invested pursuant to the terms of the plan. Each Trustee’s account shall be deemed to be invested in shares of the U.S. Government Portfolio of Northern Institutional Funds and/or the Global Tactical Asset Allocation Fund of the Trust and/or at the discretion of the Trust, another money market fund selected by the Trust that complies with the provisions of Rule 2a-7 under the 1940 Act or one or more short-term fixed income instruments selected by the Trust that are “eligible securities” as defined by that rule. The net investment income, gains and losses achieved by such deemed investment shall be credited to the Trustee’s account as provided in the plan.

6. RELATED PARTY TRANSACTIONS

Each Fund may invest its uninvested cash in a money market fund advised by NTI or its affiliates. Accordingly, each Fund bears indirectly a proportionate share of that money market fund’s operating expenses. These operating expenses include the management, transfer agent and custody fees that the money market fund pays to NTI or its affiliates. At September 30, 2020, the uninvested cash of the Funds is invested in the Northern Institutional Funds U.S. Government Portfolio (the “Portfolio”). The total annual portfolio operating expenses after expense reimbursement (other than certain excepted expenses as described in the fees and expenses table of the Portfolio’s prospectus) on any assets invested in the Portfolio is 0.25%. However, to the extent of any duplicative advisory fees, NTI will reimburse each Fund for a portion of the management fees attributable to and payable by the Funds for advisory services on any assets invested in an affiliated money market fund. This reimbursement is included in Less expenses reimbursed by the investment adviser as a reduction to

Total Expenses in each Fund’s Statements of Operations. This reimbursement’s impact on each Fund’s net expense and net investment income ratios is included in each Fund’s Financial Highlights.

7. INVESTMENT TRANSACTIONS

For the six months ended September 30, 2020, the aggregate costs of purchases and proceeds from sales of securities (excluding short-term investments) for the Funds were as follows:


Amounts in thousands	PURCHASES				SALES

	U.S. GOVERNMENT		OTHER		U.S. GOVERNMENT		OTHER


Bond Index		$1,290,800		$505,792		$997,982		$295,518

U.S. Treasury Index		50,893		—		30,486		—


Amounts in thousands	UNREALIZED APPRECIATION		UNREALIZED DEPRECIATION		NET APPRECIATION (DEPRECIATION)		COST BASIS OF INVESTMENTS


Bond Index		$226,426		$(4,214)		$222,212		$3,396,742

U.S. Treasury Index		8,220		(23)		8,197		113,891

Transactions in capital shares for the six months ended September 30, 2020, were as follows:

Transactions in capital shares for the fiscal year ended March 31, 2020, were as follows:

Transactions in affiliated investments for the six months ended September 30, 2020, were as follows:

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, if any, and (2) ongoing costs, including management fees and other fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period, April 1, 2020 through September 30, 2020.

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), redemption fees, or exchange fees or other costs such as advisory fees related to affiliated money market fund investments, but shareholders of other funds may incur such costs. If these fees were included, your costs would have been higher. The information also does not reflect reimbursements on advisory fees incurred in connection with the investment of uninvested cash in affiliated money market funds (See page 94), which may result in different expense ratios in the Financial Highlights. Therefore, the hypothetical information is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

In advance of, and at, the Annual Contract Meeting, the Trustees received, considered and discussed a variety of information relating to the Management Agreement and Northern and its affiliates. This information included written materials and verbal presentations at an in-person Board meeting held on February 12-13, 2020 and a Board meeting held through video conference and telephonically on April 29, 2020 (the “February and April Board Meetings”). At the Annual Contract Meeting, the Trustees considered these reports and presentations and discussed the information that had been provided. Throughout the process, the Trustees also asked questions of and requested additional information from management. In connection with their deliberations, the Independent Trustees met separately with and were advised by their independent legal counsel and received a memorandum from their independent legal counsel regarding their responsibilities under applicable law. They also met in executive sessions at the Annual Contract Meeting, and each of the other Board meetings, with their independent legal counsel without employees of Northern present.

In evaluating the Management Agreement, the Trustees reviewed the Funds’ Management Agreement. The Trustees also reviewed Northern’s reports and presentations and discussed with their independent counsel the information that had been provided to them at the February and April Board Meetings and at the Annual Contract Meeting, as well as their interactions with Northern throughout the year and in past years at various meetings. The Trustees noted that the evaluation process with respect to Northern and the Management Agreement was an ongoing one throughout the year. The materials reviewed by the Trustees included, without limitation: (i) information on the investment performance of the Funds in comparison to other mutual funds and benchmark indices; (ii) compliance reports; (iii) information about Northern’s and its affiliates’ risk management processes, and stress testing, credit research, business continuity and cyber-security programs; (iv) fees charged to and expenses borne by the Funds; (v) Northern’s profitability and costs and compensation paid to affiliates of Northern; (vi) the qualifications

More specifically, the Trustees reviewed, among other things, information relating to: (i) the terms of the Management Agreement; (ii) the Funds’ investment performance over different time periods in comparison to the investment performance of mutual fund peer groups and categories selected by Broadridge, an independent third-party provider of mutual fund data; (iii) the contractual and net management fees and total expenses (after expense reimbursements and fee waivers) of the Funds in comparison to those borne by mutual fund peer groups and categories selected by Broadridge; (iv) the management fees charged to the Funds compared to the management fees charged by Northern to Northern’s other comparable institutional accounts; (v) Northern’s staffing for the Funds and the experience of the portfolio managers, credit research and other personnel; (vi) Northern’s financial resources and its ability to attract and retain portfolio management talent; (vii) Northern’s investments in technology to benefit the Funds; (viii) the fees paid by the Funds to Northern and its affiliates for services, and the expenses incurred by them in connection with the provision of those services; and (ix) the benefits received by Northern and its affiliates from their relationships with the Funds. The Trustees were provided with a description of the methodology Broadridge used to determine the similarity of the Funds with the funds included in their respective peer groups and peer universes. The Trustees also took into account factors such as conditions and trends prevailing generally in the economy, the securities markets, and the industry. In evaluating the Management Agreement for each of the Funds, the Trustees gave weight to various factors including those discussed herein, but did not identify any single factor as controlling their decision, and each Trustee may have attributed different weight to different factors.

Nature, Extent and Quality of Services

the Funds. The Trustees considered the strength of Northern’s and its affiliates’ risk management processes, including with respect to the Funds’ regular reporting on stress testing. The Trustees also reviewed the compliance and administrative services provided to the Funds by Northern and its affiliates, including its oversight of the Funds’ day-to-day operations and fund accounting. The Trustees also noted that on a regular basis they received and reviewed information from Trust’s Chief Compliance Officer regarding the Funds’ compliance policies and procedures pursuant to Rule 38a-1 under the 1940 Act. They also considered the quality of Northern’s compliance oversight program with respect to all of the Funds’ service providers and the continued involvement of Northern’s internal audit group in reviewing operations that support the Funds, as well as Northern’s responses to any compliance or operational issues raised during the year. The Trustees also took into account that the scope of services provided by Northern, and the undertakings required of Northern in connection with those services, including maintaining and monitoring their own and the Funds’ compliance programs, had expanded over time as a result of regulatory, market and other developments. They also considered Northern’s preparations with respect to the increased reporting requirements and liquidity risk management program required by SEC regulations.

Performance

The Trustees considered the investment performance of each Fund, including whether it had operated within its respective investment objective, as well as its compliance with its investment restrictions. The Trustees received information on the Funds’ investment performance for one, two, three, four, five and ten years, as well as performance for the most recent quarter and year-to-date. The Trustees compared the investment performance of the Funds to the performance of other SEC registered funds and to rankings issued by Broadridge. The Funds were ranked by Broadridge in quintiles, ranging from first to fifth, where first is the most desirable quintile position and fifth is the least desirable. The Trustees also reviewed the Funds’ investment performance relative to their respective performance benchmarks and the Funds’ three-year performance versus net expenses as calculated by Broadridge (“Broadridge Bubble Charts”).

The Trustees noted that the performance of each Fund was in the first, second or third quintiles relative to its respective Broadridge peer performance universe for the one-, three- and five-year periods ended January 31, 2020, with the exception of the U.S. Treasury Index Fund, which was in the fourth quintile for the three- and five-year periods.

They also considered that neither of the Funds was in the least desirable less return, more expenses quadrant of its Broadridge Bubble Chart.

The Trustees concluded, based on the information received, that the Funds’ performance was satisfactory for the Funds.

Fee Rates, Costs of Services and Profitability

The Trustees also evaluated the Funds’ contractual management fee rates and the net (after expense reimbursements) management fees paid by the Funds; the Funds’ total operating expense ratios; Northern’s contractual commitments to continue expense reimbursements for at least one year with respect to the Funds; and whether a consistent methodology was in place for determining the fees and expenses of the Funds. They also noted certain other actions taken by Northern in past years to reduce Fund expenses, such as expense limitations for both Funds. The Trustees also considered that the Funds were sweeping uninvested cash into a Northern-affiliated money market Portfolio, and that Northern was in each case rebating back to the investing Fund all of the advisory fees received by Northern, if any, of the applicable money market Portfolio.

funds, the Trustees noted that the Funds’ management fees include both advisory and administrative costs. Among other things, the Trustees noted each Fund’s actual management fees were lower than or equal to the median of its respective peer group and expense universe.

The Trustees took into account Northern’s discussion of the Funds’ expenses, and that Northern had reimbursed expenses for the Funds. They also reviewed information comparing the Funds’ fee rates to the fee rates charged by Northern to similarly managed, private institutional accounts, if any. The Trustees considered the difference in, and level of complexity of, services provided by Northern with regard to the private institutional accounts, as well as regulatory, operational and compliance differences, board and committee support provided by Northern to the Funds and other differences. The Trustees considered the fee comparisons in light of the differences in management of these different kinds of accounts. These comparisons assisted the Trustees in evaluating the reasonableness of the management fees paid by the Funds.

Economies of Scale

Other Benefits to Northern


	ARIZONA TAX-EXEMPT FUND						CALIFORNIA INTERMEDIATE TAX-EXEMPT FUND
Amounts in thousands	SEP 30, 2020			MAR 31, 2020			SEP 30, 2020			MAR 31, 2020

OPERATIONS:

Net investment income		$1,726			$3,360			$5,757			$12,723

Net realized gains (losses)		(342	)		740			(566	)		4,553

Net change in unrealized appreciation (depreciation)		2,150			275			12,813			(2,006	)

Net Increase (Decrease) in Net Assets Resulting from Operations		3,534			4,375			18,004			15,270

CAPITAL SHARE TRANSACTIONS:

Net increase (decrease) in net assets resulting from capital share transactions		11,409			15,861			12,279			(8,057	)

Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions		11,409			15,861			12,279			(8,057	)

DISTRIBUTIONS PAID:

Distributable earnings		(1,726	)		(3,360	)		(5,760	)		(12,816	)

Total Distributions Paid		(1,726	)		(3,360	)		(5,760	)		(12,816	)

Total Increase (Decrease) in Net Assets		13,217			16,876			24,523			(5,603	)

NET ASSETS:

Beginning of period		135,533			118,657			493,284			498,887

End of period		$148,750			$135,533			$517,807			$493,284


CALIFORNIA TAX-EXEMPT FUND				HIGH YIELD MUNICIPAL FUND						INTERMEDIATE TAX-EXEMPT FUND						SHORT- INTERMEDIATE TAX-EXEMPT FUND						TAX-EXEMPT FUND
SEP 30, 2020	MAR 31, 2020			SEP 30, 2020			MAR 31, 2020			SEP 30, 2020			MAR 31, 2020			SEP 30, 2020			MAR 31, 2020			SEP 30, 2020			MAR 31, 2020

$2,589		$5,355			$9,623			$20,091			$29,946			$66,399			$5,547			$15,821			$20,434			$39,411

655		3,260			(653	)		3,275			13,141			38,580			7,685			11,701			7,941			16,756

3,350		(960	)		20,728			(31,091	)		55,991			(3,493	)		14,586			(7,948	)		29,432			(2,868	)

6,594		7,655			29,698			(7,725	)		99,078			101,486			27,818			19,574			57,807			53,299

13,956		12,803			(18,998	)		94,181			(60,662	)		220,392			14,498			(81,445	)		242,427			461,823

13,956		12,803			(18,998	)		94,181			(60,662	)		220,392			14,498			(81,445	)		242,427			461,823

(2,590)		(6,556	)		(9,623	)		(20,091	)		(29,948	)		(78,008	)		(5,546	)		(20,634	)		(20,435	)		(43,612	)

(2,590)		(6,556	)		(9,623	)		(20,091	)		(29,948	)		(78,008	)		(5,546	)		(20,634	)		(20,435	)		(43,612	)
17,960		13,902			1,077			66,365			8,468			243,870			36,770			(82,505	)		279,799			471,510

193,318		179,416			509,834			443,469			3,017,951			2,774,081			880,475			962,980			1,639,701			1,168,191

$211,278		$193,318			$510,911			$509,834			$3,026,419			$3,017,951			$917,245			$880,475			$1,919,500			$1,639,701



ARIZONA TAX-EXEMPT FUND
Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016

Net Asset Value, Beginning of Period		$10.77			$10.65			$10.43			$10.54			$10.96			$10.93

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.13			0.28			0.31			0.31			0.29			0.34

Net realized and unrealized gains (losses)		0.15			0.12			0.22			(0.11	)		(0.30	)		0.09

Total from Investment Operations		0.28			0.40			0.53			0.20			(0.01	)		0.43

LESS DISTRIBUTIONS PAID:

From net investment income		(0.13	)		(0.28	)		(0.31	)		(0.31	)		(0.29	)		(0.34	)

From net realized gains		—			—			—			—			(0.12	)		(0.06	)

Total Distributions Paid		(0.13	)		(0.28	)		(0.31	)		(0.31	)		(0.41	)		(0.40	)

Net Asset Value, End of Period		$10.92			$10.77			$10.65			$10.43			$10.54			$10.96

Total Return⁽¹⁾		2.65	%		3.86	%		5.15	%		1.95	%		(0.17	)%		4.06	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$148,750			$135,533			$118,657			$111,621			$102,928			$109,495

Ratio to average net assets of:⁽²⁾

Expenses, net of reimbursements and credits		0.46	%⁽³⁾		0.46	%⁽³⁾		0.47	%⁽³⁾		0.46	%⁽³⁾		0.46	%⁽³⁾		0.46	%

Expenses, before reimbursements and credits		0.61	%		0.60	%		0.60	%		0.61	%		0.62	%		0.59	%

Net investment income, net of reimbursements and credits		2.46	%⁽³⁾		2.56	%⁽³⁾		3.03	%⁽³⁾		2.89	%⁽³⁾		2.65	%⁽³⁾		3.17	%

Net investment income, before reimbursements and credits		2.31	%		2.42	%		2.90	%		2.74	%		2.49	%		3.04	%

Portfolio Turnover Rate		8.19	%		63.33	%		52.94	%		85.89	%		83.45	%		60.73	%

⁽¹⁾

⁽²⁾

Annualized for periods less than one year.

⁽³⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $3,000, $10,000, $9,000 and $13,000, which represent less than 0.01 percent of average net assets for the six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019 and 2018, respectively, and less than $16,000, which represents less than 0.02 percent of average net assets for the fiscal year ended March 31, 2017. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.

CALIFORNIA INTERMEDIATE TAX-EXEMPT FUND


Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016

Net Asset Value, Beginning of Period		$10.74			$10.68			$10.47			$10.57			$11.03			$10.90

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.13			0.27			0.28			0.28			0.26			0.28

Net realized and unrealized gains (losses)		0.27			0.06			0.21			(0.10	)		(0.36	)		0.15

Total from Investment Operations		0.40			0.33			0.49			0.18			(0.10	)		0.43

LESS DISTRIBUTIONS PAID:

From net investment income		(0.13	)		(0.27	)		(0.28	)		(0.28	)		(0.26	)		(0.28	)

From net realized gains		—			—	⁽¹⁾		—			—			(0.10	)		(0.02	)

Total Distributions Paid		(0.13	)		(0.27	)		(0.28	)		(0.28	)		(0.36	)		(0.30	)

Net Asset Value, End of Period		$11.01			$10.74			$10.68			$10.47			$10.57			$11.03

Total Return⁽²⁾		3.69	%		3.11	%		4.78	%		1.67	%		(0.87	)%		4.03	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$517,807			$493,284			$498,887			$494,372			$470,326			$508,152

Ratio to average net assets of:⁽³⁾

Expenses, net of reimbursements and credits		0.45	%⁽⁴⁾		0.45	%⁽⁴⁾		0.45	%⁽⁴⁾		0.45	%⁽⁴⁾		0.45	%⁽⁴⁾		0.45	%

Expenses, before reimbursements and credits		0.51	%		0.50	%		0.49	%		0.50	%		0.51	%		0.50	%

Net investment income, net of reimbursements and credits		2.30	%⁽⁴⁾		2.48	%⁽⁴⁾		2.69	%⁽⁴⁾		2.61	%⁽⁴⁾		2.42	%⁽⁴⁾		2.59	%

Net investment income, before reimbursements and credits		2.24	%		2.43	%		2.65	%		2.56	%		2.36	%		2.54	%

Portfolio Turnover Rate		9.30	%		31.63	%		28.54	%		52.17	%		64.62	%		81.80	%

⁽¹⁾

Per share amounts from distributions paid from net realized gains were less than $0.01 per share.

⁽²⁾

⁽³⁾

Annualized for periods less than one year.

⁽⁴⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $14,000, $26,000, $22,000, $25,000 and $28,000 which represent less than 0.01 percent of average net assets for the six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, 2018 and 2017, respectively. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.


CALIFORNIA TAX-EXEMPT FUND
Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016

Net Asset Value, Beginning of Period		$11.65			$11.56			$11.40			$11.48			$12.06			$11.86

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.15			0.33			0.40			0.39			0.35			0.38

Net realized and unrealized gains (losses)		0.24			0.16			0.16			(0.08	)		(0.45	)		0.20

Total from Investment Operations		0.39			0.49			0.56			0.31			(0.10	)		0.58

LESS DISTRIBUTIONS PAID:

From net investment income		(0.15	)		(0.33	)		(0.40	)		(0.39	)		(0.35	)		(0.38	)

From net realized gains		—			(0.07	)		—			—			(0.13	)		—

Total Distributions Paid		(0.15	)		(0.40	)		(0.40	)		(0.39	)		(0.48	)		(0.38	)

Net Asset Value, End of Period		$11.89			$11.65			$11.56			$11.40			$11.48			$12.06

Total Return⁽¹⁾		3.36	%		4.27	%		5.01	%		2.69	%		(0.83	)%		4.97	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$211,278			$193,318			$179,416			$181,272			$177,857			$189,741

Ratio to average net assets of:⁽²⁾

Expenses, net of reimbursements and credits		0.46	%⁽³⁾		0.46	%⁽³⁾		0.46	%⁽³⁾		0.46	%⁽³⁾		0.46	%⁽³⁾		0.46	%

Expenses, before reimbursements and credits		0.56	%		0.55	%		0.56	%		0.58	%		0.61	%		0.60	%

Net investment income, net of reimbursements and credits		2.54	%⁽³⁾		2.78	%⁽³⁾		3.50	%⁽³⁾		3.36	%⁽³⁾		2.95	%⁽³⁾		3.18	%

Net investment income, before reimbursements and credits		2.44	%		2.69	%		3.40	%		3.24	%		2.80	%		3.04	%

Portfolio Turnover Rate		12.55	%		55.08	%		34.83	%		83.27	%		97.34	%		131.91	%

⁽¹⁾

⁽²⁾

Annualized for periods less than one year.

⁽³⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $7,000, $16,000, $11,000, $21,000 and $16,000 which represent less than 0.01 percent of average net assets for the six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, 2018 and 2017, respectively. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.


HIGH YIELD MUNICIPAL FUND
Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016

Net Asset Value, Beginning of Period		$8.31			$8.70			$8.69			$8.69			$9.02			$8.93

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.16			0.34			0.37			0.35			0.32			0.33

Net realized and unrealized gains (losses)		0.36			(0.39	)		0.01			—			(0.33	)		0.09

Total from Investment Operations		0.52			(0.05	)		0.38			0.35			(0.01	)		0.42

LESS DISTRIBUTIONS PAID:

From net investment income		(0.16	)		(0.34	)		(0.37	)		(0.35	)		(0.32	)		(0.33	)

Total Distributions Paid		(0.16	)		(0.34	)		(0.37	)		(0.35	)		(0.32	)		(0.33	)

Net Asset Value, End of Period		$8.67			$8.31			$8.70			$8.69			$8.69			$9.02

Total Return⁽¹⁾		6.35	%		(0.68	)%		4.47	%		4.03	%		(0.10	)%		4.80	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$510,911			$509,834			$443,469			$412,599			$476,835			$575,904

Ratio to average net assets of:⁽²⁾

Expenses, net of reimbursements and credits		0.60	%⁽³⁾		0.60	%⁽³⁾		0.61	%⁽³⁾		0.80	%⁽³⁾		0.80	%⁽³⁾		0.80	%

Expenses, before reimbursements and credits		0.84	%		0.84	%		0.83	%		0.83	%		0.82	%		0.83	%

Net investment income, net of reimbursements and credits		3.86	%⁽³⁾		3.87	%⁽³⁾		4.27	%⁽³⁾		3.96	%⁽³⁾		3.60	%⁽³⁾		3.67	%

Net investment income, before reimbursements and credits		3.62	%		3.63	%		4.05	%		3.93	%		3.58	%		3.64	%

Portfolio Turnover Rate		19.53	%		47.62	%		51.81	%		9.69	%		39.67	%		7.20	%

⁽¹⁾

⁽²⁾

Annualized for periods less than one year.

⁽³⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $14,000, $24,000, $16,000, $12,000 and $42,000 which represent less than 0.01 percent of average net assets for the six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, 2018 and 2017, respectively. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.


INTERMEDIATE TAX-EXEMPT FUND
Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016

Net Asset Value, Beginning of Period		$10.68			$10.57			$10.37			$10.40			$10.82			$10.71

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.11			0.24			0.25			0.22			0.21			0.22

Net realized and unrealized gains (losses)		0.24			0.15			0.20			(0.03	)		(0.26	)		0.15

Total from Investment Operations		0.35			0.39			0.45			0.19			(0.05	)		0.37

LESS DISTRIBUTIONS PAID:

From net investment income		(0.11	)		(0.24	)		(0.25	)		(0.22	)		(0.21	)		(0.22	)

From net realized gains		—			(0.04	)		—			—			(0.16	)		(0.04	)

Total Distributions Paid		(0.11	)		(0.28	)		(0.25	)		(0.22	)		(0.37	)		(0.26	)

Net Asset Value, End of Period		$10.92			$10.68			$10.57			$10.37			$10.40			$10.82

Total Return⁽¹⁾		3.27	%		3.72	%		4.47	%		1.75	%		(0.48	)%		3.54	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$3,026,419			$3,017,951			$2,774,081			$2,935,140			$2,752,569			$3,160,485

Ratio to average net assets of:⁽²⁾

Expenses, net of reimbursements and credits		0.45	%⁽³⁾		0.45	%⁽³⁾		0.45	%⁽³⁾		0.45	%⁽³⁾		0.45	%⁽³⁾		0.45	%

Expenses, before reimbursements and credits		0.48	%		0.47	%		0.47	%		0.48	%		0.49	%		0.49	%

Net investment income, net of reimbursements and credits		2.00	%⁽³⁾		2.23	%⁽³⁾		2.46	%⁽³⁾		2.03	%⁽³⁾		1.94	%⁽³⁾		2.04	%

Net investment income, before reimbursements and credits		1.97	%		2.21	%		2.44	%		2.00	%		1.90	%		2.00	%

Portfolio Turnover Rate		42.48	%		127.62	%		115.01	%		120.62	%		106.67	%		127.92	%

⁽¹⁾

⁽²⁾

Annualized for periods less than one year.

⁽³⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $84,000, $267,000, $380,000, $278,000 and $261,000 which represent less than 0.01 percent of average net assets for the six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, 2018 and 2017, respectively. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.


SHORT-INTERMEDIATE TAX-EXEMPT FUND
Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016

Net Asset Value, Beginning of Period		$10.35			$10.37			$10.20			$10.33			$10.48			$10.46

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.07			0.18			0.16			0.12			0.12			0.12

Net realized and unrealized gains (losses)		0.27			0.04			0.17			(0.11	)		(0.13	)		0.02

Total from Investment Operations		0.34			0.22			0.33			0.01			(0.01	)		0.14

LESS DISTRIBUTIONS PAID:

From net investment income		(0.07	)		(0.18	)		(0.16	)		(0.13	)		(0.12	)		(0.12	)

From net realized gains		—			(0.06	)		—			(0.01	)		(0.02	)		—	⁽¹⁾

Total Distributions Paid		(0.07	)		(0.24	)		(0.16	)		(0.14	)		(0.14	)		(0.12	)

Net Asset Value, End of Period		$10.62			$10.35			$10.37			$10.20			$10.33			$10.48

Total Return⁽²⁾		3.25	%		2.07	%		3.29	%		0.07	%		(0.10	)%		1.41	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$917,245			$880,475			$962,980			$909,193			$1,047,250			$1,160,549

Ratio to average net assets of:⁽³⁾

Expenses, net of reimbursements and credits		0.45	%⁽⁴⁾		0.45	%⁽⁴⁾		0.45	%⁽⁴⁾		0.45	%⁽⁴⁾		0.45	%⁽⁴⁾		0.45	%

Expenses, before reimbursements and credits		0.50	%		0.49	%		0.48	%		0.48	%		0.48	%		0.48	%

Net investment income, net of reimbursements and credits		1.25	%⁽⁴⁾		1.71	%⁽⁴⁾		1.59	%⁽⁴⁾		1.21	%⁽⁴⁾		1.18	%⁽⁴⁾		1.18	%

Net investment income, before reimbursements and credits		1.20	%		1.67	%		1.56	%		1.18	%		1.15	%		1.15	%

Portfolio Turnover Rate		46.90	%		126.29	%		135.35	%		36.55	%		21.23	%		20.01	%

⁽¹⁾

Per share amount from distributions paid from net realized gains was less than $0.01 per share.

⁽²⁾

⁽³⁾

Annualized for periods less than one year.

⁽⁴⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $37,000, $63,000, $79,000, $96,000 and $46,000, which represent less than 0.01 percent of average net assets for the six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, 2018 and 2017, respectively. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.


TAX-EXEMPT FUND
Selected per share data	SIX MONTHS ENDED SEP 30, 2020 (UNAUDITED)			FISCAL YEAR ENDED MAR 31, 2020			FISCAL YEAR ENDED MAR 31, 2019			FISCAL YEAR ENDED MAR 31, 2018			FISCAL YEAR ENDED MAR 31, 2017			FISCAL YEAR ENDED MAR 31, 2016

Net Asset Value, Beginning of Period		$10.76			$10.63			$10.49			$10.55			$10.89			$10.80

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income		0.13			0.30			0.35			0.33			0.31			0.36

Net realized and unrealized gains (losses)		0.24			0.16			0.14			(0.06	)		(0.33	)		0.09

Total from Investment Operations		0.37			0.46			0.49			0.27			(0.02	)		0.45

LESS DISTRIBUTIONS PAID:

From net investment income		(0.13	)		(0.30	)		(0.35	)		(0.33	)		(0.31	)		(0.36	)

From net realized gains		—			(0.03	)		—			—			(0.01	)		—

Total Distributions Paid		(0.13	)		(0.33	)		(0.35	)		(0.33	)		(0.32	)		(0.36	)

Net Asset Value, End of Period		$11.00			$10.76			$10.63			$10.49			$10.55			$10.89

Total Return⁽¹⁾		3.42	%		4.33	%		4.78	%		2.57	%		(0.16	)%		4.29	%

SUPPLEMENTAL DATA AND RATIOS:

Net assets, in thousands, end of period		$1,919,500			$1,639,701			$1,168,191			$1,075,258			$1,077,256			$1,064,728

Ratio to average net assets of:⁽²⁾

Expenses, net of reimbursements and credits		0.45	%⁽³⁾		0.45	%⁽³⁾		0.45	%⁽³⁾		0.45	%⁽³⁾		0.45	%⁽³⁾		0.45	%

Expenses, before reimbursements and credits		0.49	%		0.49	%		0.47	%		0.48	%		0.48	%		0.48	%

Net investment income, net of reimbursements and credits		2.33	%⁽³⁾		2.73	%⁽³⁾		3.35	%⁽³⁾		3.12	%⁽³⁾		2.91	%⁽³⁾		3.37	%

Net investment income, before reimbursements and credits		2.29	%		2.69	%		3.33	%		3.09	%		2.88	%		3.34	%

Portfolio Turnover Rate		49.67	%		122.55	%		116.37	%		103.25	%		99.52	%		111.59	%

⁽¹⁾

⁽²⁾

Annualized for periods less than one year.

⁽³⁾

The net expenses and net investment income ratios include additional reimbursements of management fees incurred in connection with the investment of uninvested cash in affiliated money market funds of approximately $93,000, $183,000, $84,000, $64,000 and $103,000 which represent less than 0.02 percent of average net assets for the six months ended September 30, 2020 and the fiscal years ended March 31, 2020, 2019, 2018 and 2017, respectively. Absent the additional reimbursements, net investment income and reimbursements would have been decreased and net expenses would have been increased by a corresponding amount.


		SCHEDULE OF INVESTMENTS


ARIZONA TAX-EXEMPT FUND		SEPTEMBER 30, 2020 (UNAUDITED)


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS – 93.0%

Arizona – 93.0%

Arizona Board of Regents Refunding COPS, University of Arizona Project,

5.00%, 6/1/28		$400		$506

Arizona Board of Regents State University System Revenue Bonds, Series A,

5.00%, 7/1/31		550		634

5.00%, 7/1/34		750		858

5.00%, 7/1/35		750		857

Arizona Board of Regents State University System Revenue Refunding Bonds, Series A, Green Bonds,

5.00%, 7/1/35		1,000		1,174

5.00%, 7/1/41		1,000		1,160

Arizona Board of Regents State University System Revenue Refunding Bonds, Series B,

5.00%, 7/1/31		1,000		1,254

5.00%, 7/1/36		495		609

Arizona Board of Regents University System Revenue Bonds, Series A,

5.00%, 6/1/32		1,500		1,770

Arizona Board of Regents University System Revenue Refunding Bonds,

5.00%, 6/1/33		1,710		2,062

Arizona IDA Hospital Revenue Bonds, Phoenix Children’s Hospital,

3.00%, 2/1/45		300		307

Arizona State Health Facilities Authority Revenue Bonds, Series A, Banner Health,

4.00%, 1/1/43		3,500		3,588

Arizona State IDA Lease Revenue Bonds, Series A,

3.00%, 9/1/50		1,030		1,036

Arizona State IDA Revenue Bonds, Lincoln South Beltway Project,

5.00%, 2/1/30		1,000		1,326

Arizona State Lottery Revenue Refunding Bonds,

5.00%, 7/1/21		2,165		2,243

Arizona State Refunding COPS, Series A,

5.00%, 10/1/29		200		270


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 93.0% continued

Arizona – 93.0% continued

Arizona State Transportation Board Revenue GANS, Series A,

5.00%, 7/1/23		$1,000		$1,130

Flagstaff G.O. Unlimited Bonds,

5.00%, 7/1/22		1,500		1,627

Gilbert Water Resource Municipal Property Corp. Utility System Revenue Bonds,

5.00%, 7/1/28		500		627

5.00%, 7/1/29		750		940

5.00%, 7/1/30		500		625

5.00%, 7/1/31		600		748

Glendale IDA Revenue Refunding Bonds, Midwestern University,

5.00%, 5/15/32		500		633

Goodyear G.O. Unlimited Refunding Bonds,

5.00%, 7/1/30		400		545

Goodyear McDowell Road Commercial Corridor Improvement District Special Assessment Refunding Bonds (BAM Insured),

3.35%, 1/1/28		870		1,005

Goodyear Water & Sewer Revenue Bonds, Subordinate Lien Obligations (AGM Insured), Prerefunded,

5.25%, 7/1/21⁽¹⁾		1,000		1,038

Goodyear Water & Sewer Revenue Bonds, Subordinate Lien Obligations, Second Series (AGM Insured),

3.00%, 7/1/49		400		419

Maricopa County Elementary School District No. 1 Phoenix G.O. Unlimited Bonds, Series C, School Improvement Project of 2006 (BAM Insured),

5.00%, 7/1/34		1,100		1,345

Maricopa County Elementary School District No. 25 Liberty G.O. Unlimited Bonds, Series A (AGM Insured),

5.00%, 7/1/30		725		952

Maricopa County Elementary School District No. 28 Kyrene Elementary G.O. Unlimited Bonds, Series A, School Improvement Project of 2017,

5.00%, 7/1/31		275		354


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 93.0% continued

Arizona – 93.0% continued

5.00%, 7/1/32		$250		$320

Maricopa County Elementary School District No. 28 Kyrene Elementary G.O. Unlimited Bonds, Series B, School Improvement Project of 2010,

5.25%, 7/1/28⁽²⁾		940		1,071

5.50%, 7/1/29⁽²⁾		485		556

5.50%, 7/1/30⁽²⁾		375		430

Maricopa County Elementary School District No. 33 Buckeye G.O. Unlimited Bonds, Series B, School Improvement Project of 2015 (BAM Insured),

5.00%, 7/1/38		1,000		1,212

Maricopa County Elementary School District No. 8 G.O. Unlimited Bonds, Series B, Osborn School Improvement Project of 2017 (AGM Insured),

5.00%, 7/1/35		625		779

5.00%, 7/1/36		1,175		1,458

Maricopa County Elementary School District No. 92 Pendergast Elementary G.O. Unlimited Bonds, Series D, Project of 2016,

5.00%, 7/1/28		1,850		2,411

Maricopa County High School District No. 210 Phoenix G.O. Unlimited Bonds, Series C,

4.00%, 7/1/37		380		452

Maricopa County IDA Educational Facilities Revenue Bonds, Creighton University Project,

5.00%, 7/1/39		1,285		1,548

5.00%, 7/1/47		1,000		1,182

Maricopa County IDA Hospital Revenue Refunding Bonds, Series A, Honorhealth,

5.00%, 9/1/42		4,000		4,783

Maricopa County IDA Revenue Refunding Bonds, Banner Health Obligation Group,

5.00%, 1/1/38		1,250		1,488

Maricopa County School District No. 3 Tempe Elementary G.O. Limited Refunding Bonds,

4.00%, 7/1/23		680		750


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 93.0% continued

Arizona – 93.0% continued

Maricopa County School District No. 3 Tempe Elementary G.O. Unlimited Bonds, Series A, School Improvement Project,

5.00%, 7/1/26		$2,250		$2,816

Maricopa County School District No. 31 Balsz G.O. Unlimited Bonds, Series A, School Improvement Project of 2018 (AGM Insured),

5.00%, 7/1/31		1,575		1,997

4.00%, 7/1/37		500		578

Maricopa County Special Health Care District G.O. Unlimited Bonds,

5.00%, 7/1/28		550		705

5.00%, 7/1/32		1,000		1,239

5.00%, 7/1/35		1,000		1,224

4.00%, 7/1/38		2,500		2,834

Maricopa County Unified High School District No. 216 Agua Fria G.O. Unlimited Bonds,

3.00%, 7/1/37		1,000		1,104

Maricopa County Unified School District No. 4 Mesa G.O. Unlimited Bonds, Series A,

5.00%, 7/1/22		1,375		1,492

Maricopa County Unified School District No. 41 Gilbert G.O. Unlimited Bonds,

4.00%, 7/1/28		500		619

Maricopa County Unified School District No. 41 Gilbert G.O. Unlimited Bonds, Series B, School Improvement Project of 2015,

5.00%, 7/1/28		525		670

5.00%, 7/1/29		650		825

5.00%, 7/1/31		500		628

Maricopa County Unified School District No. 41 Gilbert G.O. Unlimited Bonds, Series C,

5.00%, 7/1/24		1,000		1,175

Maricopa County Unified School District No. 48 Scottsdale G.O. Unlimited Bonds, Series C,

5.00%, 7/1/32		1,600		2,057


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 93.0% continued

Arizona – 93.0% continued

Maricopa County Unified School District No. 69 Paradise Valley G.O. Unlimited Bonds, Series A,

4.00%, 7/1/28		$1,000		$1,056

Maricopa County Unified School District No. 69 Paradise Valley G.O. Unlimited Bonds, Series D, School Improvement Project of 2011,

4.50%, 7/1/27		1,700		1,879

Maricopa County Unified School District No. 80 Chandler G.O. Unlimited Bonds, Series A,

5.00%, 7/1/31		1,000		1,334

Maricopa County Unified School District No. 80 Chandler G.O. Unlimited Bonds, Series A-1, School Improvement Project of 2010,

4.00%, 7/1/22		1,040		1,070

Maricopa County Unified School District No. 80 Chandler G.O. Unlimited Bonds, Series C, School Improvement Project of 2015,

5.00%, 7/1/30		1,335		1,742

Maricopa County Unified School District No. 95 Queen Creek G.O. Limited Refunding Bonds,

5.00%, 7/1/26		400		486

Maricopa County Unified School District No. 95 Queen Creek G.O. Unlimited Bonds,

4.00%, 7/1/39		1,130		1,325

Maricopa County Unified School District No. 95 Queen Creek G.O. Unlimited Bonds, School Improvement,

5.00%, 7/1/37		650		770

Mesa Street & Highway Revenue Refunding Bonds (AGM Insured),

5.00%, 7/1/23		1,000		1,131

Mesa Utility System Revenue Refunding Bonds, Series A,

5.00%, 7/1/21		1,220		1,264

Mesa Utility System Revenue Refunding Bonds, Series B,

5.00%, 7/1/30		290		388


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS – 93.0% continued

Arizona – 93.0% continued

Mesa Utility System Revenue Refunding Bonds, Series C,

5.00%, 7/1/21		$1,000		$1,036

5.00%, 7/1/22		675		732

5.00%, 7/1/23		1,000		1,131

Northern Arizona University Revenue Refunding Bonds, Series B (BAM Insured),

5.00%, 6/1/38		2,000		2,533

Phoenix Civic Airport Improvement Corp. Junior Lien Airport Revenue Bonds,

3.00%, 7/1/49		3,300		3,355

4.00%, 7/1/49		1,000		1,106

5.00%, 7/1/49		1,000		1,188

Phoenix Civic Airport Improvement Corp. Revenue Refunding Bonds, Series B,

5.00%, 7/1/34		4,000		4,793

Phoenix Civic Improvement Corp. Excise Tax Subordinate Revenue Refunding Bonds, Series A,

4.00%, 7/1/45		1,000		1,174

Phoenix Civic Improvement Corp. Rental Car Facility Revenue Bonds, Series A,

5.00%, 7/1/39		1,000		1,112

Phoenix Civic Improvement Corp. Water System Revenue Bonds, Series A, Junior Lien,

5.00%, 7/1/39		1,000		1,146

5.00%, 7/1/44		2,850		3,698

Phoenix Civic Improvement Corp. Water System Revenue Refunding Bonds, Series B, Junior Lien,

4.00%, 7/1/28		1,000		1,119

Pima County COPS,

5.00%, 12/1/20		1,040		1,048

5.00%, 12/1/22		650		716

Pima County Sewer System Revenue Bonds,

5.00%, 7/1/25		1,000		1,130

Pima County Sewer System Revenue Bonds, Series B, Prerefunded,

5.00%, 7/1/21⁽¹⁾		1,000		1,034


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 93.0% continued

Arizona – 93.0% continued

Pima County Unified School District No. 10 Amphitheater G.O. Unlimited Bonds, Series D, School Improvement Project of 2007,

5.00%, 7/1/24		$1,005		$1,134

Pima County Unified School District No. 20 G.O. Unlimited Bonds, Vail School Improvement (BAM Insured),

5.00%, 7/1/26		1,685		2,071

Pima County Unified School District No. 6 G.O. Unlimited Bonds, Marana School Improvement (FHLMC Insured),

4.00%, 7/1/29		675		765

Pinal County Revenue Obligations Pledged Revenue Bonds,

5.00%, 8/1/32		1,000		1,262

Pinal County Unified School District No. 43 Apache Junction G.O. Unlimited Refunding Bonds (AGM Insured),

5.00%, 7/1/22		1,000		1,081

Prescott Valley Municipal Property Corp. Facilities Revenue Refunding Bonds,

5.00%, 1/1/24		1,835		1,856

Queen Creek Excise Tax & State Shared Revenue Bonds, Series B,

5.00%, 8/1/47		2,540		2,818

Salt River Project Agricultural Improvement & Power District Electric System Revenue Refunding Bonds,

5.00%, 1/1/31		1,000		1,290

Salt River Project Agricultural Improvement & Power District Electric System Revenue Refunding Bonds, Series A,

5.00%, 12/1/36		1,105		1,315

Santa Cruz County Unified School District No. 35 G.O. Unlimited Bonds, Series A, Project of 2019 (AGM Insured),

5.00%, 7/1/28		500		652

Scottsdale G.O. Unlimited Bonds, Series C, Projects of 2015,

5.00%, 7/1/24		100		118


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 93.0% continued

Arizona – 93.0% continued

Scottsdale Municipal Property Corp. Excise Tax Revenue Refunding Bonds,

5.00%, 7/1/30		$2,675		$3,509

Tempe G.O. Unlimited Bonds,

5.00%, 7/1/33		1,125		1,477

Tucson G.O. Unlimited Bonds, Series A,

5.00%, 7/1/26		285		358

Tucson Water Revenue Bonds,

5.00%, 7/1/33		595		803

Tucson Water System Revenue Bonds, Prerefunded,

5.00%, 7/1/21⁽¹⁾		1,825		1,891

Vistancia Community Facilities District G.O. Unlimited Refunding Bonds (BAM Insured),

4.00%, 7/15/26		450		530

Yavapai County IDA Hospital Facility Revenue Refunding Bonds, Yavapai Regional Medical,

3.13%, 8/1/43		2,450		2,530

4.00%, 8/1/43		1,000		1,122

Yavapai County Jail District Revenue Bonds (BAM Insured),

5.00%, 7/1/31		1,000		1,272

				138,395

Total Municipal Bonds

(Cost $131,876)				138,395

	NUMBER OF SHARES		VALUE (000S)

INVESTMENT COMPANIES – 5.4%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%^{(3) (4)}		7,977,751		$7,978

Total Investment Companies

(Cost $7,978)				7,978


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

SHORT-TERM INVESTMENTS – 0.7%

Glendale Water & Sewer Revenue Refunding Bonds, Senior Lien,

5.00%, 7/1/21		$750		$777

Salt River Project Agricultural Improvement & Power District Electric System Revenue Refunding Bonds,

5.00%, 1/1/21		300		304

Total Short-Term Investments

(Cost $1,078)				1,081


Total Investments – 99.1%

(Cost $140,932)				147,454

Other Assets less Liabilities – 0.9%				1,296

NET ASSETS – 100.0%				$148,750

⁽¹⁾

Maturity date represents the prerefunded date.

⁽²⁾

Security has converted to a fixed rate as of July 1, 2015, and will continue at a fixed rate going forward.

⁽³⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽⁴⁾

7-day current yield as of September 30, 2020 is disclosed.

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

AGM - Assured Guaranty Municipal Corporation

BAM - Build America Mutual

COPS - Certificates of Participation

FHLMC - Federal Home Loan Mortgage Corporation

G.O. - General Obligation

GANS - Grant Anticipation Notes

IDA - Industrial Development Authority

Percentages shown are based on Net Assets.

At September 30, 2020, the industry sectors for the Fund were:



INDUSTRY SECTOR	% OF INVESTMENTS

General		25.9	%

General Obligation		6.9

Higher Education		10.6

Medical		10.1

School District		28.4



INDUSTRY SECTOR	% OF INVESTMENTS

Short-Term Investments		5.4	%

All other sectors less than 5%		12.7

Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).



INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

Municipal Bonds⁽¹⁾		$ —		$138,395		$—		$138,395

Investment Companies		7,978		—		—		7,978

Short-Term Investments		—		1,081		—		1,081

Total Investments		$7,978		$139,476		$—		$147,454

⁽¹⁾

Classifications as defined in the Schedule of Investments.


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS – 93.0%

California – 93.0%

Alameda County Joint Powers Authority Lease Revenue Bonds, Series A, Multiple Capital Projects,

4.00%, 12/1/24		$850		$952

Alameda County Unified School District G.O. Unlimited Bonds, Series B, Election of 2014,

5.00%, 8/1/42		4,000		4,868

Alameda County Unified School District G.O. Unlimited Bonds, Series C, Election of 2014,

3.00%, 8/1/42		3,950		4,183

Albany Unified School District G.O. Unlimited Bonds, Series B, Measure B, Election of 2016,

5.00%, 8/1/43		1,000		1,202

Anaheim Housing & Public Improvement Authority Revenue Refunding Bonds, Series B,

5.00%, 10/1/28		2,000		2,226

Azusa Unified School District G.O. Unlimited Bonds, Series C, Election of 2014,

5.00%, 8/1/44		1,700		2,128

Bay Area Toll Authority Subordinate Toll Bridge Revenue Refunding Bonds, Series S-H,

5.00%, 4/1/44		2,000		2,481

Bay Area Toll Authority Toll Bridge Revenue Refunding Bonds, San Francisco Bay Area,

2.95%, 4/1/26⁽¹⁾^{(2) (3)}		19,975		22,170

Bay Area Toll Authority Toll Bridge Revenue Refunding Bonds, San Francisco Bay Area Toll,

2.00%, 4/1/24⁽¹⁾^{(2) (3)}		7,620		7,914

2.13%, 4/1/25⁽¹⁾^{(2) (3)}		16,700		17,599

California County Tobacco Securitization Agency Tobacco Settlement Revenue Refunding Bonds, Sonoma County Securitization,

5.00%, 6/1/27		325		409

California HFA Municipal Certificates Revenue Bonds, Series 2, Class A,

4.00%, 3/20/33		989		1,094


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 93.0% continued

California – 93.0% continued

California School Finance Authority Educational Facilities Revenue Bonds, Series A, Kipp Socal Public School Projects,

5.00%, 7/1/39		$1,000		$1,198

California State Department of Water Resources Central Valley Project Revenue Bonds, Series AR,

4.00%, 12/1/34		1,795		2,045

California State Enterprise Development Authority Lease Revenue Bonds, Riverside County Library Facilities Project,

3.00%, 11/1/44		3,000		3,121

4.00%, 11/1/49		1,900		2,122

California State G.O. Unlimited Bonds,

5.00%, 3/1/26		1,250		1,503

5.25%, 11/1/40		8,500		8,535

3.00%, 11/1/41		2,000		2,159

California State G.O. Unlimited Refunding Bonds,

5.00%, 9/1/27		1,845		2,321

5.00%, 10/1/27		1,850		2,395

5.00%, 8/1/28		4,000		5,120

5.00%, 10/1/28		3,000		3,970

5.00%, 3/1/35		3,500		4,603

California State G.O. Unlimited Refunding Bonds, Bid Group C,

5.00%, 8/1/27		2,000		2,509

5.00%, 8/1/28		7,000		8,727

California State G.O. Unlimited Refunding Bonds, Group C,

5.00%, 8/1/26		1,000		1,196

California State G.O. Unlimited Refunding Bonds, Series C,

5.00%, 9/1/26		3,500		4,273

California State G.O. Unlimited Various Purpose Refunding Bonds,

5.00%, 10/1/26		2,750		3,251

5.00%, 3/1/32		1,125		1,502

California State Health Facilities Financing Authority Revenue Bonds, Series A, Sutter Health,

5.00%, 11/15/32		1,200		1,428


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 93.0% continued

California – 93.0% continued

California State Health Facilities Financing Authority Revenue Refunding Bonds, Cedars-Sinai Medical Center,

5.00%, 11/15/27		$250		$305

California State Health Facilities Financing Authority Revenue Refunding Bonds, Children’s Hospital of Orange County,

5.00%, 11/1/28		700		911

California State Health Facilities Financing Authority Revenue Refunding Bonds, Providence St. Joseph Health,

2.00%, 10/1/25⁽¹⁾^{(2) (3)}		2,450		2,616

California State Health Facilities Financing Authority Revenue Refunding Bonds, Series B, Sutter Health,

5.00%, 11/15/35		2,500		3,007

5.00%, 11/15/46		3,000		3,517

California State Infrastructure & Economic Development Bank Revenue Bonds, Equitable School Revolving Fund,

5.00%, 11/1/39		550		672

California State Infrastructure & Economic Development Bank Revenue Bonds, UCSF 2130 Third Street,

5.00%, 5/15/36		1,000		1,252

California State Municipal Finance Authority MFH Revenue Bonds, Pass-Through Park Western Apartments (FNMA Insured),

2.65%, 8/1/36		3,459		3,682

California State Municipal Finance Authority Revenue Bonds, Series A, National University,

5.00%, 4/1/36		2,245		2,780

California State Municipal Finance Authority Student Housing Revenue Bonds, CHF-Davis I, LLC -West Village,

5.00%, 5/15/39		1,500		1,752


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 93.0% continued

California – 93.0% continued

California State Public Works Board Lease Revenue Bonds, Series D, Judicial Council Projects,

4.25%, 12/1/20		$1,000		$1,007

California State University Revenue Bonds, Series A,

5.00%, 11/1/31		2,670		3,591

California State University Systemwide Revenue Refunding Bonds, Series A,

4.00%, 11/1/45		2,600		2,893

California State Various Purpose G.O. Unlimited Bonds,

5.00%, 10/1/23		500		571

5.00%, 11/1/28		4,000		5,151

5.25%, 3/1/30		1,500		1,506

5.25%, 10/1/39		1,500		1,833

California State Various Purpose G.O. Unlimited Bonds, Bidding Group,

5.00%, 9/1/28		5,000		6,247

Centinela Valley Union High School District G.O. Unlimited Bonds, Series B, Election of 2008, Prerefunded,

5.75%, 8/1/23⁽⁴⁾		1,000		1,155

Central Unified School District G.O. Unlimited Bonds, Series B, Election of 2016,

4.00%, 8/1/48		1,000		1,112

Contra Costa Community College District G.O. Unlimited Bonds, Series B-2,

3.00%, 8/1/35		775		856

Davis Joint Unified School District G.O. Unlimited Bonds (BAM Insured),

3.00%, 8/1/31		2,025		2,248

Desert Community College District G.O. Unlimited Bonds, Riverside & Imperial County,

5.00%, 8/1/43		1,125		1,279

Desert Sands Unified School District G.O. Unlimited Bonds, Election of 2014,

5.00%, 8/1/39		1,330		1,653

El Camino Community College District G.O. Unlimited CABS, Series C, Election of 2002,

0.00%, 8/1/23⁽⁵⁾		9,940		9,822


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 93.0% continued

California – 93.0% continued

Evergreen School District G.O. Unlimited Bonds, Election of 2014,

5.00%, 8/1/46		$1,000		$1,238

Fremont Union High School District Santa Clara County G.O. Unlimited Bonds, Series A, Election of 2008, Prerefunded,

5.38%, 8/1/21⁽⁴⁾		1,500		1,566

Hartnell Community College District G.O. Unlimited Bonds, Series B,

3.00%, 8/1/45		2,500		2,651

Hayward Unified School District G.O. Unlimited Bonds (AGM Insured),

4.00%, 8/1/45		2,000		2,319

Imperial Irrigation District Electric Revenue Bonds, Series B-1,

5.00%, 11/1/46		2,500		3,036

Long Beach Community College District G.O. Unlimited Refunding Bonds, Series F,

5.00%, 6/1/27		1,100		1,335

Long Beach Harbor Revenue Bonds, Series A (AMT),

5.00%, 5/15/30		1,300		1,590

Long Beach Harbor Revenue Refunding Bonds, Series C,

5.00%, 5/15/47		3,000		3,537

Long Beach Unified School District G.O. Unlimited Bonds, Series F, Election of 2008,

3.00%, 8/1/38		3,270		3,557

Los Angeles Community College District G.O. Unlimited Bonds, Series K, Election of 2008,

3.00%, 8/1/39		3,600		3,841

Los Angeles County Metropolitan Transportation Authority Measure R Junior Subordinate Sales Tax Revenue Refunding Bonds, Green Bonds,

5.00%, 6/1/32		3,000		4,027

5.00%, 6/1/37		2,000		2,620

Los Angeles County Public Works Financing Authority Lease Revenue Bonds, Multiple Capital Projects II,

5.00%, 8/1/24		945		1,024


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 93.0% continued

California – 93.0% continued

Los Angeles County Public Works Financing Authority Lease Revenue Bonds, Series D,

5.00%, 12/1/29		$1,665		$2,014

Los Angeles County Public Works Financing Authority Lease Revenue Bonds, Series E-1,

5.00%, 12/1/44		3,405		4,296

Los Angeles County Public Works Financing Authority Lease Revenue Refunding Bonds, Series B,

5.00%, 12/1/29		2,630		3,189

5.00%, 12/1/31		2,000		2,413

Los Angeles Department of Airports Airport Subordinate Revenue Bonds (AMT), Los Angeles International,

5.00%, 5/15/23		500		555

5.00%, 5/15/24		500		575

5.00%, 5/15/30		1,465		1,841

Los Angeles Department of Airports Airport Subordinate Revenue Bonds (AMT), Los Angeles International Airport,

5.25%, 5/15/31		2,000		2,504

5.00%, 5/15/44		1,500		1,803

Los Angeles Department of Airports Revenue Refunding Bonds, Series B (AMT),

5.00%, 5/15/27		7,435		9,220

5.00%, 5/15/28		7,630		9,624

5.00%, 5/15/29		1,000		1,250

Los Angeles Department of Airports Senior Revenue Bonds, Series B,

5.00%, 5/15/27		640		760

Los Angeles Department of Water & Power System Revenue Bonds, Series C,

5.00%, 7/1/49		1,000		1,260

Los Angeles Department of Water & Power Waterworks System Revenue Refunding Bonds, Series B,

4.00%, 7/1/29		2,075		2,653

5.00%, 7/1/43		1,850		2,326


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 93.0% continued

California – 93.0% continued

Los Angeles Harbor Department Revenue Refunding Bonds, Series A (AMT), Private Activity,

5.00%, 8/1/25		$6,750		$8,117

Los Angeles Unified School District G.O. Unlimited Bonds, Series B-1, Election of 2008,

4.00%, 7/1/24		1,930		2,199

4.00%, 7/1/25		3,000		3,507

5.00%, 7/1/29		1,500		1,918

5.00%, 7/1/30		190		242

Los Angeles Unified School District G.O. Unlimited Refunding Bonds, Series A,

5.00%, 7/1/24		2,360		2,777

5.00%, 7/1/26		5,440		6,795

Los Angeles Unified School District G.O. Unlimited Refunding Bonds, Series B,

5.00%, 7/1/26		700		874

Los Angeles Wastewater System Revenue Refunding Bonds, Series A (NATL Insured), Escrowed to Maturity,

6.00%, 6/1/21		1,185		1,231

Los Angeles Wastewater System Revenue, Subseries A, Green Bonds,

5.00%, 6/1/38		1,100		1,394

Los Rios Community College District G.O. Unlimited Bonds, Series D,

3.00%, 8/1/44		2,000		2,110

Metropolitan Water District of Southern California Subordinate Revenue Refunding Bonds, Series A,

2.50%, 7/1/27		6,650		7,365

Midpeninsula Regional Open Space District Revenue Bonds, Prerefunded,

5.25%, 9/1/21⁽⁴⁾		2,000		2,094

Modesto Irrigation District Financing Authority Electric System Revenue Bonds, Series A,

5.00%, 10/1/26		1,490		1,799

5.00%, 10/1/27		1,130		1,359

5.00%, 10/1/28		2,770		3,316


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 93.0% continued

California – 93.0% continued

Modesto Irrigation District Financing Authority Electric System Revenue Refunding Bonds, Series B,

5.00%, 10/1/28		$2,150		$2,799

Modesto Irrigation District Financing Authority Revenue Refunding Bonds, Series G, Domestic Water Project (AGM Insured),

5.00%, 9/1/22		1,445		1,580

Monterey County Public Facilities Financing COPS,

5.00%, 10/1/27		1,000		1,229

5.00%, 10/1/28		670		822

Mount San Antonio Community College District G.O. Unlimited Bonds, Election of 2018, Series A,

5.00%, 8/1/44		1,900		2,435

Natomas Unified School District G.O. Unlimited Bonds (AGM Insured),

3.00%, 8/1/39		1,655		1,748

3.00%, 8/1/40		2,325		2,450

3.00%, 8/1/41		2,590		2,723

Natomas Unified School District G.O. Unlimited Bonds, Election of 2014,

5.00%, 8/1/25		1,690		1,986

Natomas Unified School District G.O. Unlimited Bonds, Election of 2014 (BAM Insured),

5.00%, 8/1/33		1,185		1,461

Natomas Unified School District G.O. Unlimited Bonds, Series A (AGM Insured),

8/1/45⁽⁶⁾		3,000		3,361

Natomas Unified School District G.O. Unlimited Refunding Bonds (BAM Insured),

5.00%, 8/1/31		3,620		4,504

Northern Energy Authority Commodity Supply Revenue Bonds, Series A,

4.00%, 7/1/24⁽¹⁾^(2) (3)		2,000		2,222

Oakland Unified School District Alameda County G.O. Unlimited Bonds, Series A,

5.00%, 8/1/22		750		809

5.00%, 8/1/24		600		699


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 93.0% continued

California – 93.0% continued

Orange County Local Transportation Authority Sales TRB,

5.00%, 2/15/33		$3,000		$3,933

Oxnard Union High School District G.O. Unlimited Bonds, Series A, Election of 2018,

5.00%, 8/1/42		3,000		3,644

Oxnard Union High School District G.O. Unlimited Bonds, Series B,

5.00%, 8/1/45		2,000		2,479

Palm Springs Unified School District G.O. Unlimited Bonds, Series D, Election of 2008,

2.00%, 8/1/27		1,970		2,113

Paso Robles Joint Unified School District G.O. Unlimited Bonds, Series A,

4.00%, 8/1/43		4,220		4,791

4.00%, 8/1/46		5,950		6,712

Placentia-Yorba Linda Unified School District G.O. Unlimited Refunding Bonds,

5.00%, 8/1/26		1,000		1,223

Redlands Unified School District G.O. Unlimited Refunding Bonds, San Bernandino County,

3.00%, 7/1/30		2,295		2,548

Richmond Joint Powers Financing Authority Revenue Refunding Bonds, Series A, Civic Center Project (AGM Insured),

5.00%, 11/1/24		600		704

5.00%, 11/1/25		1,000		1,211

5.00%, 11/1/26		750		930

Riverside County Asset Leasing Corp. Lease Revenue Bonds, Series 2013 A, Public Defender & Probation Building, Prerefunded,

5.25%, 11/1/23⁽⁴⁾		150		172

Riverside County Asset Leasing Corp. Lease Revenue Bonds, Series 2013 A, Public Defender & Probation Building, Unrefunded Balance,

5.25%, 11/1/24		650		744

Riverside County Transportation Commission Revenue Refunding Bonds, Series A,

3.00%, 6/1/26		5,500		5,966


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 93.0% continued

California – 93.0% continued

Riverside County Transportation Commission Sales Tax Revenue Refunding Bonds, Series B,

5.00%, 6/1/30		$2,500		$3,211

Riverside Public Financing Authority Local Measure A Sales Tax Revenue COPS, Riverside Payment Rehabilitation (AGM Insured),

5.25%, 6/1/24		615		698

Sacramento County Airport System Revenue Refunding Bonds, Series A,

5.00%, 7/1/29		565		720

5.00%, 7/1/31		500		629

Sacramento County Airport System Revenue Refunding Bonds, Series B,

5.00%, 7/1/29		680		867

San Diego Association of Governments Capital Grant Receipts Revenue Bonds, Mid Coast Corridor, Green Bonds,

5.00%, 11/15/26		1,000		1,205

San Diego Association of Governments South Bay Expressway Toll Senior Lien Revenue Bonds, Series A,

5.00%, 7/1/29		850		1,027

5.00%, 7/1/37		1,000		1,166

San Diego Public Facilities Financing Authority Lease Revenue Refunding Bonds, Ballpark,

5.00%, 10/15/30		1,040		1,216

San Diego Unified School District G.O. Unlimited Bonds, Series D-2, Election of 2018,

3.00%, 7/1/37		1,715		1,924

San Diego Unified School District G.O. Unlimited Bonds, Series I, Election of 2012,

5.00%, 7/1/41		3,380		4,166

San Diego Unified School District G.O. Unlimited Refunding Bonds, Series E-2, Election of 1998 (AGM Insured),

5.50%, 7/1/27		1,500		2,010

San Francisco Bay Area Rapid Transit District G.O. Unlimited Bonds, Green Bonds,

5.00%, 8/1/31		2,000		2,706


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 93.0% continued

California – 93.0% continued

San Francisco Bay Area Rapid Transit District Sales G.O. Unlimited Bonds, Series C-1, Green Bonds,

3.00%, 8/1/50		$1,750		$1,861

San Francisco Bay Area Rapid Transit District Sales Tax Revenue Refunding Bonds, Series A,

5.00%, 7/1/32		1,500		1,793

San Francisco Bay Area Rapid Transit District Sales TRB, Series A,

3.00%, 7/1/44		2,000		2,101

San Francisco City & County Airports Commission International Airport Revenue Bonds, Series A (AMT),

5.00%, 5/1/38		3,000		3,636

San Francisco City & County Airports Commission International Airport Revenue Bonds, Series E (AMT),

4.00%, 5/1/50		2,145		2,348

5.00%, 5/1/50		1,355		1,603

San Francisco City & County Airports Commission International Airport Revenue Refunding Bonds (AMT), Series D,

5.00%, 5/1/25		1,000		1,183

San Francisco City & County Airports Commission International Airport Revenue Refunding Bonds, Second Series A (AMT),

5.00%, 5/1/24		1,095		1,174

San Francisco City & County G.O. Unlimited Bonds, Series C,

3.00%, 6/15/30		5,415		5,809

San Francisco City & County Public Utilities Commission Water Revenue Bonds, Series D, Hetch Hetchy Water,

3.00%, 11/1/50		1,275		1,358

San Francisco City & County Public Utilities Commission Water Revenue Refunding Bonds, Series D, Green Bonds,

5.00%, 11/1/32		1,375		1,756

San Francisco City & County Unified School District G.O. Unlimited Bonds, Proposition A, Series F&C,

3.25%, 6/15/32		1,500		1,601


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 93.0% continued

California – 93.0% continued

San Francisco County Transportation Authority Sales TRB,

3.00%, 2/1/30		$5,000		$5,508

San Jacinto Unified School District G.O. Unlimited Refunding Bonds (AGM Insured),

5.00%, 8/1/26		1,055		1,234

San Joaquin County Transportation Authority Measure K Limited TRB, Series A, Prerefunded,

5.75%, 3/1/21⁽⁴⁾		2,000		2,047

San Jose Airport Revenue Refunding Bonds, Series A (AMT),

5.00%, 3/1/22		1,495		1,577

San Jose G.O. Unlimited Refunding Bonds, Series C,

5.00%, 9/1/31		1,900		2,533

San Jose Unified School District Santa Clara County G.O. Unlimited Refunding Bonds, Prerefunded,

5.00%, 8/1/21⁽⁴⁾		830		863

San Jose Unified School District Santa Clara County G.O. Unlimited Refunding Bonds, Unrefunded Balance,

5.00%, 8/1/23		170		177

San Rafael Elementary School District G.O. Unlimited Bonds, Series B, Election of 2015,

4.50%, 8/1/42		1,750		2,089

Santa Clara County Financing Authority Revenue Refunding Bonds, Series Q,

3.00%, 5/15/35		2,500		2,649

Santa Clarita Community College District G.O. Unlimited Bonds,

3.00%, 8/1/44		1,000		1,064

Santa Rosa Elementary School District G.O. Unlimited Bonds, Series D, Election of 2014 (AGM Insured),

5.00%, 8/1/43		1,145		1,384

Santa Rosa High School District G.O. Unlimited Bonds, Series C, Election of 2014 (AGM Insured),

5.00%, 8/1/43		1,000		1,212


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 93.0% continued

California – 93.0% continued

Sequoia Union High School District G.O. Unlimited Bonds, Series C-1, Election of 2008, Prerefunded,

6.00%, 7/1/21⁽⁴⁾		$2,000		$2,088

Southern California Financing Authority Water Replenishment Assessment Revenue Bonds,

5.00%, 8/1/43		2,000		2,466

Southern California Public Power Authority Revenue Bonds, Milford Wind Corridor Phase II Project,

5.25%, 7/1/27		1,000		1,038

Stockton Public Financing Authority Parking Revenue Refunding Bonds,

5.00%, 3/1/32		555		666

5.00%, 3/1/33		600		715

5.00%, 3/1/47		1,125		1,280

Transbay Joint Powers Authority Senior Tax Allocation Bonds, Green Bonds,

5.00%, 10/1/29		465		606

5.00%, 10/1/34		600		768

Turlock Irrigation District First Priority Subordinated Revenue Refunding Bonds,

5.00%, 1/1/28		625		731

University of California General Revenue Bonds, Series AF, Prerefunded,

5.00%, 5/15/23⁽⁴⁾		1,220		1,372

University of California Revenue Refunding Bonds, Series BE,

5.00%, 5/15/41		5,500		7,120

Ventura County Public Financing Authority Lease Revenue Bonds, Series B,

5.00%, 11/1/24		1,060		1,216

Ventura Unified School District G.O. Unlimited Refunding Bonds,

5.00%, 8/1/29		640		875

5.00%, 8/1/30		680		923

5.00%, 8/1/31		710		957

Visalia Unified School District COPS (AGM Insured),

3.00%, 5/1/27		1,525		1,545


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 93.0% continued

California – 93.0% continued

Western Riverside Water & Wastewater Finance Authority Western Municipal Water District Improvement Revenue Bonds (AGC Insured),

5.13%, 9/1/29		$1,645		$1,652

Yucaipa Valley Water District Water System Revenue Refunding Bonds, Series A,

5.00%, 9/1/26		1,000		1,210

				481,674

Total Municipal Bonds

(Cost $457,267)				481,674


	NUMBER OF SHARES		VALUE (000S)

INVESTMENT COMPANIES – 6.0%

Northern Institutional Funds - U.S. Government Portfolio (Shares),

0.00%⁽⁷⁾⁽⁸⁾		30,740,461		$30,740

Total Investment Companies

(Cost $30,740)				30,740


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

SHORT-TERM INVESTMENTS – 0.8%

Bay Area Toll Authority Toll Bridge Revenue Refunding Bonds, Series E,

2.00%, 4/1/21⁽¹⁾^(2) (3)		$565		$566

California State Infrastructure & Economic Development Bank Revenue Bonds, Brightline West Passenger (AMT),

0.45%, 7/1/21⁽¹⁾^{(2) (3) (9)}		1,250		1,250

Los Angeles TRANS,

4.00%, 6/24/21		2,500		2,570

Total Short-Term Investments

(Cost $4,382)				4,386



Total Investments – 99.8%

(Cost $492,389)				516,800

Other Assets less Liabilities – 0.2%				1,007

NET ASSETS – 100.0%				$517,807

⁽¹⁾

Maturity date represents the puttable date.

⁽²⁾

These securities are remarketed by an agent, and the interest rate is determined by general market conditions and supply and demand.

⁽³⁾

Variable rate security. Rate as of September 30, 2020 is disclosed.

⁽⁴⁾

Maturity date represents the prerefunded date.

⁽⁵⁾

Zero coupon bond.

⁽⁶⁾

When-Issued Security. Coupon rate is not in effect at September 30, 2020.

⁽⁷⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽⁸⁾

7-day current yield as of September 30, 2020 is disclosed.

⁽⁹⁾

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

AGC - Assured Guaranty Corporation

AGM - Assured Guaranty Municipal Corporation

AMT - Alternative Minimum Tax

BAM - Build America Mutual

CABS - Capital Appreciation Bonds

COPS - Certificates of Participation

FNMA - Federal National Mortgage Association

G.O. - General Obligation

HFA - Housing Finance Authority

MFH - Multi-Family Housing

NATL - National Public Finance Guarantee Corporation

TRANS - Tax and Revenue Anticipation Notes

TRB - Tax Revenue Bonds

Percentages shown are based on Net Assets.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF INVESTMENTS

Airport		8.1	%

General		15.2

General Obligation		18.6

Higher Education		5.6

School District		21.3

Short-Term Investments		6.0

Transportation		12.8

All other sectors less than 5%		12.4

Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).



INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)
Municipal Bonds⁽¹⁾	$	—	$	481,674		$—	$	481,674

Investment Companies		30,740		—		—		30,740

Short-Term Investments		—		4,386		—		4,386

Total Investments	$	30,740	$	486,060		$—	$	516,800

⁽¹⁾

Classifications as defined in the Schedule of Investments.


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS – 92.6%

California – 92.6%

Alameda County Unified School District G.O. Unlimited Bonds, Series B, Election of 2014,

5.00%, 8/1/42		$1,000		$1,217

Alameda County Unified School District G.O. Unlimited Bonds, Series C, Election of 2014,

3.00%, 8/1/42		3,000		3,177

Albany Unified School District G.O. Unlimited Bonds, Series B, Measure B, Election of 2016,

4.00%, 8/1/46		1,000		1,113

Bay Area Toll Authority Subordinate Toll Bridge Revenue Refunding Bonds, Series S-H,

5.00%, 4/1/49		1,000		1,232

Bay Area Toll Authority Toll Bridge Revenue Refunding Bonds, San Francisco Bay Area,

2.95%, 4/1/26⁽¹⁾^{(2) (3)}		5,500		6,104

Beaumont Unified School District G.O. Unlimited Bonds, Series D, Election of 2008 (BAM Insured),

5.25%, 8/1/44		1,500		1,813

Cabrillo Unified School District G.O. Unlimited Bonds, Series B, Election 2018,

5.00%, 8/1/50		2,210		2,712

California County Tobacco Securitization Agency Tobacco Settlement Revenue Refunding Bonds, Sonoma County Securitization,

5.00%, 6/1/29		310		403

California HFA Municipal Certificates Revenue Bonds, Series 2, Class A,

4.00%, 3/20/33		989		1,094

California School Finance Authority Educational Facilities Revenue Bonds, Granada Hills Charter Obligated Group,

5.00%, 7/1/54		1,200		1,315

California State Construction G.O. Unlimited Bonds,

3.00%, 10/1/49		1,000		1,056


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 92.6% continued

California – 92.6% continued

California State Department of Water Resources Revenue Refunding Bonds, Series BB, Central Valley Project,

5.00%, 12/1/34		$1,260		$1,737

California State Enterprise Development Authority Lease Revenue Bonds, Riverside County Library Facilities Project,

4.00%, 11/1/49		1,000		1,117

California State G.O. Unlimited Bonds, Various Purpose,

3.00%, 3/1/50		1,500		1,581

California State G.O. Unlimited Refunding Bonds,

5.00%, 10/1/28		3,000		3,970

California State G.O. Unlimited Refunding Bonds, Group C,

5.00%, 8/1/26		2,500		2,990

California State G.O. Unlimited Refunding Bonds, Series C,

5.00%, 9/1/26		500		610

California State Health Facilities Financing Authority Revenue Refunding Bonds, Series B, Sutter Health,

5.00%, 11/15/46		1,000		1,172

California State Infrastructure & Economic Development Bank Revenue Bonds, Equitable School Revolving Fund,

5.00%, 11/1/44		625		754

California State Infrastructure & Economic Development Bank Revenue Bonds, UCSF 2130 Third Street,

5.00%, 5/15/42		1,000		1,228

California State Infrastructure & Economic Development Bank Variable Revenue Refunding Bonds,

1.75%, 8/1/26⁽¹⁾^{(2) (3)}		3,500		3,551

California State Municipal Finance Authority Revenue Bonds, Series A, National University,

5.00%, 4/1/40		1,000		1,217


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 92.6% continued

California – 92.6% continued

California State Municipal Finance Authority Student Housing Revenue Bonds, CHF-Davis I, LLC -West Village,

5.00%, 5/15/39		$1,000		$1,168

5.00%, 5/15/43		1,000		1,158

California State Public Works Board Lease Revenue Refunding Bonds, Various Capital Projects,

5.00%, 11/1/21		250		263

California State University Systemwide Revenue Bonds, Series C,

4.00%, 11/1/45		1,000		1,176

California State University Systemwide Revenue Refunding Bonds, Series A,

5.00%, 11/1/44		2,500		2,910

4.00%, 11/1/45		1,000		1,113

California State Various Purpose G.O. Unlimited Bonds,

5.00%, 10/1/20		4,000		4,000

5.25%, 3/1/30		3,500		3,514

Carlsbad Unified School District G.O. Unlimited Bonds, Series A, Election of 2018,

3.00%, 8/1/42		550		593

Centinela Valley Union High School District G.O. Unlimited Bonds, Series B, Election of 2008, Prerefunded,

5.75%, 8/1/23⁽⁴⁾		570		658

6.00%, 8/1/23⁽⁴⁾		1,000		1,161

Compton Unified School District G.O. Unlimited Bonds, Series B (BAM Insured),

4.00%, 6/1/49		1,675		1,874

Corona-Norco Unified School District G.O. Unlimited Bonds, Series C,

4.00%, 8/1/49		1,000		1,145

Desert Sands Unified School District G.O. Unlimited Bonds, Election of 2014,

4.00%, 8/1/44		500		571

El Dorado Irrigation District Revenue COPS, Series A,

4.00%, 3/1/50		1,600		1,858


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 92.6% continued

California – 92.6% continued

Evergreen School District G.O. Unlimited Bonds, Election of 2014,

5.00%, 8/1/46		$1,300		$1,609

Fremont Union High School District Santa Clara County G.O. Unlimited Bonds, Series A, Election of 2008, Prerefunded,

5.38%, 8/1/21⁽⁴⁾		3,500		3,653

Hartnell Community College District G.O. Unlimited Bonds, Series B,

3.00%, 8/1/45		1,500		1,591

Hayward Unified School District G.O. Unlimited Bonds (AGM Insured),

4.00%, 8/1/50		1,000		1,153

Imperial Irrigation District Electric Revenue Bonds, Series B-1,

5.00%, 11/1/46		1,500		1,822

Lancaster Financing Authority Revenue Bonds, Measure M & R Street Improvements Project,

4.00%, 6/1/49		2,830		3,198

Long Beach Harbor Revenue Notes, Series C,

4.00%, 7/15/21		1,000		1,030

Los Angeles Community College District G.O. Unlimited Bonds, Series K, Election of 2008,

3.00%, 8/1/39		1,400		1,494

Los Angeles County Metropolitan Transportation Authority Measure R Junior Subordinate Sales Tax Revenue Refunding Bonds, Green Bonds,

5.00%, 6/1/32		1,000		1,342

5.00%, 6/1/37		1,000		1,310

Los Angeles Department of Airports Airport Subordinate Revenue Bonds (AMT), Los Angeles International,

5.00%, 5/15/31		1,000		1,249

Los Angeles Department of Airports Airport Subordinate Revenue Bonds (AMT), Los Angeles International Airport,

5.00%, 5/15/44		500		601


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 92.6% continued

California – 92.6% continued

Los Angeles Department of Airports Private Activity Senior Revenue Bonds (AMT),

5.00%, 5/15/21		$2,000		$2,056

Los Angeles Department of Airports Revenue Refunding Bonds, Series B (AMT),

5.00%, 5/15/29		4,000		5,001

5.00%, 5/15/31		5,000		6,171

Los Angeles Unified School District G.O. Unlimited Bonds, Series RYQ,

5.00%, 7/1/33		1,000		1,323

4.00%, 7/1/44		2,000		2,345

Los Angeles Unified School District G.O. Unlimited Refunding Bonds, Series A,

5.00%, 7/1/21		1,410		1,461

5.00%, 7/1/24		3,000		3,530

Los Rios Community College District G.O. Unlimited Bonds, Series D,

3.00%, 8/1/44		1,000		1,055

Lucia Mar Unified School District G.O. Unlimited Bonds, Series B, Election of 2016,

5.00%, 8/1/42		1,450		1,808

Manteca Redevelopment Agency Successor Agency Tax Allocation Refunding Bonds, Series A (BAM Insured),

4.00%, 10/1/39		500		583

Mesa Water District COPS,

4.00%, 3/15/45		1,150		1,365

Metropolitan Water District of Southern California Subordinate Revenue Refunding Bonds, Series A,

5.00%, 7/1/22		1,000		1,084

Metropolitan Water District of Southern California Subordinate Revenue Refunding Bonds, Series B,

4.00%, 8/1/23		395		436

Midpeninsula Regional Open Space District Revenue Bonds, Prerefunded,

5.25%, 9/1/21⁽⁴⁾		600		628

5.50%, 9/1/21⁽⁴⁾		2,500		2,623


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 92.6% continued

California – 92.6% continued

Monterey County Financing Authority Revenue Refunding Bonds,

5.00%, 9/1/37		$1,170		$1,475

Natomas Unified School District G.O. Unlimited Bonds, Series A (AGM Insured),

8/1/49⁽⁵⁾		1,000		1,116

New Haven Unified School District G.O. Unlimited Bonds, Series C, Alameda County,

3.00%, 8/1/49		1,520		1,603

Newport Mesa Unified School District G.O. Unlimited CABS, Election of 2005,

0.00%, 8/1/33⁽⁶⁾		10,000		8,026

Northern Energy Authority Commodity Supply Revenue Bonds, Series A,

4.00%, 7/1/24⁽¹⁾^{(2) (3)}		2,000		2,222

Oxnard Union High School District G.O. Unlimited Bonds, Series B,

5.00%, 8/1/45		1,000		1,240

Palm Springs Unified School District G.O. Unlimited Bonds, Series D, Election of 2008,

3.00%, 8/1/31		2,435		2,678

Palomar Pomerado Health G.O. Unlimited Convertible Capital Appreciation Bonds, Series A, Election of 2004 (AGC Insured),

7.00%, 8/1/38		5,000		7,166

Riverside County Teeter Obligation Revenue Notes, Series A,

1.38%, 10/22/20		1,500		1,501

Riverside Electric Revenue Refunding Bonds, Series A,

5.00%, 10/1/43		2,330		2,934

Ross Valley Public Financing Authority Revenue Bonds, Sanitary District No. 1 of Marin County,

5.00%, 1/1/36		275		325

5.00%, 1/1/37		215		254

Sacramento Municipal Utility District Revenue Bonds, Series A,

5.00%, 8/15/37		55		62


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 92.6% continued

California – 92.6% continued

San Diego Association of Governments Capital Grant Receipts Revenue Bonds, Mid Coast Corridor, Green Bonds,

1.80%, 11/15/27		$1,000		$1,025

San Diego Unified School District G.O. Unlimited Bonds, Series M-2, Proposition Z Bonds,

3.00%, 7/1/50		2,000		2,144

San Francisco Bay Area Rapid Transit District Sales G.O. Unlimited Bonds, Series C-1, Green Bonds,

3.00%, 8/1/50		750		797

San Francisco City & County Airports Commission International Airport Revenue Bonds, Series A (AMT),

5.00%, 5/1/38		1,000		1,212

5.00%, 5/1/42		1,500		1,748

5.00%, 5/1/49		1,000		1,184

San Francisco City & County Airports Commission International Airport Revenue Bonds, Series E (AMT),

5.00%, 5/1/45		1,000		1,190

5.00%, 5/1/50		1,500		1,774

San Francisco City & County Airports Commission International Airport Revenue Refunding Bonds (AMT), Series D,

5.00%, 5/1/25		1,000		1,183

San Francisco City & County G.O. Unlimited Bonds, Series C,

3.00%, 6/15/30		1,000		1,073

San Francisco City & County G.O. Unlimited Bonds, Series D,

5.00%, 6/15/23		950		1,028

San Francisco City & County Public Utilities Commission Water Revenue Bonds, Series D, Hetch Hetchy Water,

3.00%, 11/1/50		600		639

San Francisco City & County Unified School District G.O. Unlimited Bonds, Proposition A, Series F&C,

3.25%, 6/15/32		2,500		2,668


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 92.6% continued

California – 92.6% continued

San Joaquin County Transportation Authority Measure K Limited TRB, Series A, Prerefunded,

5.25%, 3/1/21⁽⁴⁾		$2,075		$2,119

San Jose G.O. Unlimited Bonds, Series A-1,

5.00%, 9/1/42		1,310		1,670

Santa Ana College Improvement District No. 1 Rancho Santiago Community College District G.O. Unlimited Bonds,

3.00%, 8/1/39		2,130		2,253

Santa Ana Gas Tax Revenue Refunding Bonds,

4.00%, 1/1/21		955		964

Santa Clara Electric Revenue Refunding Bonds, Series A, Prerefunded,

6.00%, 7/1/21⁽⁴⁾		1,195		1,247

Santa Clarita Community College District G.O. Unlimited Bonds,

3.00%, 8/1/49		2,475		2,616

Santa Rosa High School District G.O. Unlimited Bonds, Series C, Election of 2014 (AGM Insured),

5.00%, 8/1/43		500		606

Sequoia Union High School District G.O. Unlimited Bonds, Series C-1, Election of 2008, Prerefunded,

6.00%, 7/1/21⁽⁴⁾		2,025		2,114

Simi Valley Unified School District G.O. Unlimited Bonds, Series B,

4.00%, 8/1/48		2,130		2,410

South Bayside Waste Management Authority Solid Waste Enterprise Revenue Refunding Bonds, Shoreway Environmental Center, Green Bonds (AGM Insured),

5.00%, 9/1/32		500		653

Stockton Public Financing Authority Parking Revenue Refunding Bonds,

5.00%, 3/1/32		250		300

5.00%, 3/1/33		245		292

5.00%, 3/1/47		500		569

Transbay Joint Powers Authority Senior Tax Allocation Bonds, Green Bonds,

5.00%, 10/1/45		1,000		1,236


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 92.6% continued

California – 92.6% continued

University of California General Revenue Bonds, Series A,

5.00%, 5/15/38		$600		$668

University of California General Revenue Bonds, Series AF, Prerefunded,

5.00%, 5/15/23⁽⁴⁾		430		483

University of California Revenue Refunding Bonds, Series BE,

5.00%, 5/15/41		2,500		3,237

University of California Revenue Refunding Bonds, Series O, Limited Project,

5.00%, 5/15/58		2,500		3,053

Upper Santa Clara Valley Joint Powers Authority Revenue Refunding Bonds, Series A,

4.00%, 8/1/45		1,200		1,336

Ventura Unified School District G.O. Unlimited Refunding Bonds,

5.00%, 8/1/27		585		765

5.00%, 8/1/28		620		832

Western Riverside Water & Wastewater Finance Authority Western Municipal Water District Improvement Revenue Bonds (AGC Insured),

5.13%, 9/1/29		2,000		2,008

				195,544

Total Municipal Bonds

(Cost $183,670)				195,544


	NUMBER OF SHARES		VALUE (000S)

INVESTMENT COMPANIES – 4.6%

Northern Institutional Funds - U.S. Government Portfolio (Shares),

0.00%⁽⁷⁾⁽⁸⁾		9,802,370		$9,802

Total Investment Companies

(Cost $9,802)				9,802


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

SHORT-TERM INVESTMENTS – 2.5%

California State Infrastructure & Economic Development Bank Revenue Bonds, Clean Water State, Green Bonds,

5.00%, 10/1/20		$1,975		$1,975

Los Angeles County TRANS, Series A,

4.00%, 6/30/21		2,210		2,273

Los Angeles TRANS,

4.00%, 6/24/21		1,000		1,028

Total Short-Term Investments

(Cost $5,273)				5,276


Total Investments – 99.7%

(Cost $198,745)				210,622

Other Assets less Liabilities – 0.3%				656

NET ASSETS – 100.0%				$211,278

⁽¹⁾

Maturity date represents the puttable date.

⁽²⁾

These securities are remarketed by an agent, and the interest rate is determined by general market conditions and supply and demand.

⁽³⁾

Variable rate security. Rate as of September 30, 2020 is disclosed.

⁽⁴⁾

Maturity date represents the prerefunded date.

⁽⁵⁾

When-Issued Security. Coupon rate is not in effect at September 30, 2020.

⁽⁶⁾

Zero coupon bond.

⁽⁷⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽⁸⁾

7-day current yield as of September 30, 2020 is disclosed.

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

AGC - Assured Guaranty Corporation

AGM - Assured Guaranty Municipal Corporation

AMT - Alternative Minimum Tax

BAM - Build America Mutual

CABS - Capital Appreciation Bonds

COPS - Certificates of Participation

G.O. - General Obligation

HFA - Housing Finance Authority

TRANS - Tax and Revenue Anticipation Notes

TRB - Tax Revenue Bonds

Percentages shown are based on Net Assets.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF INVESTMENTS

Airport		11.1	%

General		14.5

General Obligation		18.3

Higher Education		7.2

School District		28.1

All other sectors less than 5%		20.8

Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

Municipal Bonds⁽¹⁾		$ —	$	195,544		$—	$	195,544

Investment Companies		9,802		—		—		9,802

Short-Term Investments		—		5,276		—		5,276

Total Investments		$9,802	$	200,820		$—	$	210,622

⁽¹⁾

Classifications as defined in the Schedule of Investments.


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS – 95.9%

Alabama – 1.0%

Hoover IDB Environmental Improvement Revenue Bonds, United States Steel Corp. (AMT),

5.75%, 10/1/49		$1,000		$901

Lower Alabama Gas District Gas Project Revenue Bonds, Series A,

5.00%, 9/1/46		3,000		4,181

				5,082

Arizona – 5.8%

Arizona IDA Hospital Revenue Bonds, Phoenix Children’s Hospital,

3.00%, 2/1/45		375		383

Arizona State IDA Economic Development Revenue Bonds, Legacy Cares, Inc. Project,

7.75%, 7/1/50		1,500		1,510

Arizona State IDA Education Revenue Bonds, Academies of Math & Science Project,

5.63%, 7/1/48⁽¹⁾⁽²⁾		2,000		2,149

Arizona State IDA Education Revenue Bonds, Candeo Schools, Inc., Project (School District Credit Program),

4.00%, 7/1/47		700		750

Arizona State IDA Education Revenue Bonds, Christian University Project,

5.63%, 10/1/49⁽¹⁾		1,300		1,302

Arizona State IDA Education Revenue Bonds, Doral Academy of Nevada - Fire Mesa,

5.00%, 7/15/49		1,675		1,743

Arizona State IDA Education Revenue Bonds, Odyssey Preparatory Academy Project,

4.38%, 7/1/39		1,000		1,021

5.00%, 7/1/49		1,000		1,061

Arizona State IDA Education Revenue Refunding Bonds, Series A, Cadence Campus Project,

4.00%, 7/15/50		1,000		940

La Paz County IDA Education Facility Lease Revenue Bonds, Charter School Solutions-Harmony Public Schools,

5.00%, 2/15/36		1,400		1,529

5.00%, 2/15/46		3,500		3,755


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

Arizona – 5.8% continued

Maricopa County IDA Educational Revenue Bonds, Arizona Autism Chart Schools Project,

5.00%, 7/1/50		$750		$782

Phoenix Civic Airport Improvement Corp. Revenue Bonds, Junior Lien Airport, Series B (AMT),

4.00%, 7/1/44		2,000		2,185

5.00%, 7/1/49		1,000		1,173

Phoenix IDA Education Facility Revenue Refunding Bonds, Great Hearts Academies,

5.00%, 7/1/46		2,650		2,836

Phoenix IDA Student Housing Revenue Bonds, Downtown Phoenix Student Housing II LLC,

5.00%, 7/1/59		1,000		1,038

Salt Verde Financial Corp. Senior Gas Revenue Bonds,

5.00%, 12/1/37		3,000		4,048

Tempe IDA Revenue Bonds, Friendship Village of Tempe Project,

5.00%, 12/1/50		1,500		1,478

				29,683

California – 13.2%

Antelope Valley Healthcare District, Revenue Refunding Bonds, Series A,

5.25%, 3/1/36		1,020		1,053

California Community Housing Agency Essential Housing Revenue Bonds, Verdant at Green Valley Project,

5.00%, 8/1/49⁽¹⁾		3,000		3,333

California Community Housing Agency Revenue Bonds, Series A, Annadel Apartments Project,

5.00%, 4/1/49		3,000		3,323

California County Tobacco Securitization Agency Tobacco Settlement Revenue Refunding Bonds, Merced County Tobacco Funding,

5.00%, 6/1/50		500		555

California PFA Educational Facilities Revenue Bonds, Trinity Classical Academy,

5.00%, 7/1/54⁽¹⁾		1,500		1,453


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

California – 13.2% continued

California School Finance Authority Educational Facilities Revenue Bonds, Series A, Kipp Socal Public School Projects,

5.00%, 7/1/49		$2,000		$2,354

California State Municipal Finance Authority Revenue Bonds, Series A, Baptist University,

5.00%, 11/1/46		3,000		3,095

California State Municipal Finance Authority Revenue Refunding Bonds, The Master’s University,

5.00%, 8/1/48		510		529

California State Municipal Finance Authority Senior Lien Revenue Bonds (AMT), LINXS APM Project,

5.00%, 12/31/43		5,000		5,709

California State Municipal Finance Authority Special Facility Revenue Bonds (AMT), United Airlines, Inc., Project,

4.00%, 7/15/29		3,000		2,960

California State Municipal Finance Authority Student Housing Revenue Bonds, CHF-Davis I, LLC -West Village,

5.00%, 5/15/51		5,000		5,743

California State Municipal Finance Authority Student Housing Revenue Bonds, Series A, Claremont Collegiate Project,

5.00%, 7/1/52⁽¹⁾		1,000		1,078

California State Pollution Control Financing Authority Solid Waste Disposal Subordinate Green Revenue Bonds (AMT), Calplant I Project,

7.50%, 12/1/39		3,000		870

California State Pollution Control Financing Authority Water Furnishing Revenue Refunding Bonds, San Diego County Water Authority,

5.00%, 11/21/45		1,000		1,148

California State School Finance Authority Charter School Revenue Bonds, Series A, Classical Academies Project,

5.00%, 10/1/50		1,000		1,110


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

California – 13.2% continued

California State School Finance Authority Charter School Revenue Refunding Bonds, Aspire Public Schools,

5.00%, 8/1/46⁽¹⁾⁽²⁾		$5,000		$5,527

California State Statewide Communities Development Authority College Housing Revenue Bonds, NCCD-Hooper Street, LLC-California College,

5.25%, 7/1/49		1,700		1,649

California State Statewide Communities Development Authority Student Housing Revenue Bonds, University of California, Irvine Campus,

5.00%, 5/15/42		4,050		4,487

California Statewide Communities Development Authority Revenue Bonds, California Baptist University, Prerefunded,

7.25%, 11/1/21⁽³⁾		2,000		2,150

California Statewide Communities Development Authority Revenue Refunding Bonds, Series A, California Baptist University,

5.00%, 11/1/32		500		536

5.00%, 11/1/41		1,000		1,043

California Statewide Communities Development Authority Special Tax Revenue Bonds, Community Facilities District No. 2016-02 Delta Coves,

4.00%, 9/1/50		1,000		1,028

California Statewide Communities Development Authority Statewide Revenue Special Assessment Bonds,

4.00%, 9/2/50		500		514

Golden State Tobacco Securitization Corp. Tobacco Settlement Revenue Refunding Bonds, Series A-1,

5.00%, 6/1/47		5,000		5,154

Hastings Campus HFA Campus Housing Revenue Bonds, Green Bond-Senior-Series A,

5.00%, 7/1/45		3,000		3,124

Roseville Special Tax Bonds, The Ranch At Sierra Vista Community Facilities District No. 1 (Public Facilities),

4.00%, 9/1/50		150		158


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

California – 13.2% continued

San Francisco City & County Airports Commission International Airport Revenue Bonds, Series A (AMT),

5.00%, 5/1/49		$4,000		$4,737

Santa Paula Special Tax Bonds, Harvest Community Facilities District No.1 Improvement,

4.00%, 9/1/50		1,000		1,028

Tobacco Securitization Authority of Southern California Tobacco Settlement Revenue Refunding Bonds, San Diego Asset Securities,

5.00%, 6/1/48		1,500		1,818

				67,266

Colorado – 3.3%

Colorado Educational & Cultural Authority Revenue Refunding Bonds, Science Technology English & Math,

5.00%, 11/1/54		1,500		1,588

Colorado High Performance Transportation Enterprise Revenue Bonds, C-470 Express Lane,

5.00%, 12/31/56		2,000		2,150

Colorado State Health Facilities Authority Hospital Revenue Refunding Bonds, Series A, Commonspirit Health,

5.00%, 8/1/44		5,000		5,981

Prairie Center Metropolitan District No. 3 Limited Property Tax Supported Revenue Refunding Bonds, Series A,

5.00%, 12/15/41		3,000		3,065

Regional Transportation District Private Activity Revenue Bonds, Denver Transportation Partners,

6.00%, 1/15/41		3,000		3,006

STC Metropolitan District No. 2 Revenue G.O. Limited Refunding Bonds, Series A,

5.00%, 12/1/38		1,000		1,027

				16,817

Connecticut – 0.6%

Connecticut State Health & Educational Facilities Authority Revenue Bonds, Series A, Mclean Issue,

5.00%, 1/1/55		500		526


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

Connecticut – 0.6% continued

Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, University of Hartford,

4.00%, 7/1/49		$1,500		$1,432

Hamden Revenue Refunding Bonds, Whitney Center Project,

5.00%, 1/1/50		1,000		988

				2,946

District of Columbia – 1.2%

District of Columbia Revenue Bonds,

5.00%, 7/1/49		2,550		2,866

District of Columbia Revenue Bonds, Cesar Chavez Charter Schools,

7.88%, 11/15/40		3,185		3,187

				6,053

Florida – 7.2%

Alachua County Health Facilities Authority Revenue Bonds, Shands Teaching Hospital & Clinics,

4.00%, 12/1/49		2,000		2,237

Capital Trust Agency Air Cargo Revenue Refunding Bonds, Series A, Aero Miami FX,

5.35%, 7/1/29		2,645		2,655

Capital Trust Agency Educational Facilities Educational Facilities Revenue Bonds, Liza Jackson Preparatory School,

5.00%, 8/1/55		1,000		1,134

Capital Trust Agency Educational Facilities Educational Facilities Revenue Bonds, Pepin Academies, Inc., Project,

5.75%, 7/1/55⁽¹⁾		1,000		1,024

Capital Trust Agency Educational Facilities Educational Facilities Revenue Bonds, Team Success A School of Excellence,

5.00%, 6/1/55		2,000		1,964

Capital Trust Agency Student Housing Revenue Bonds, University Bridge, LLC Student Housing Project,

5.25%, 12/1/43		3,000		2,996


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

Florida – 7.2% continued

Davie Educational Facilities Revenue Refunding Bonds, Nova Southeastern University Project,

5.00%, 4/1/48		$2,000		$2,274

Florida Development Finance Corp. Surface Transportation Facilities Revenue Refunding Bonds (AMT), Virgin Trains U.S.A. Pass,

6.38%, 1/1/26⁽⁴⁾^{(5) (6)}		4,000		3,460

Florida State Development Finance Corp. Educational Facility Revenue Bonds, Pepin Academics of Pasco County, Inc., Project,

5.00%, 1/1/50⁽¹⁾		1,000		1,007

Florida State Development Finance Corp. Educational Facility Revenue Refunding Bonds, Renaissance Charter School,

5.00%, 9/15/50		1,500		1,587

Florida State Development Finance Corp. Solid Waste Disposal Revenue Bonds (AMT), Waste Pro U.S.A., Inc., Project,

5.00%, 5/1/29		1,500		1,602

Florida State Higher Educational Facilities Financial Authority Revenue Bonds, Ringling College Project,

5.00%, 3/1/42		2,000		2,123

Lake County Retirement Facility Revenue Refunding Bonds, Lakeside at Waterman Village Project,

8/15/55⁽⁷⁾		1,000		1,013

Ocean Highway & Port Authority Florida Port Facilities Revenue Bonds (AMT), Worldwide Terminals Fenandina Project,

5.50%, 12/1/49⁽¹⁾		1,500		1,433

Palm Beach County Health Facilities Authority Hospital Revenue Bonds, Baptist Health South Florida,

4.00%, 8/15/49		1,500		1,680

Palm Beach County Revenue Bonds, Palm Beach Atlantic University,

5.00%, 4/1/39⁽¹⁾		1,750		1,750


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

Florida – 7.2% continued

Pinellas County IDA Revenue Bonds, 2017 Foundation for Global Understanding Project,

5.00%, 7/1/39		$4,000		$4,484

Sterling Hill Community Development District Capital Improvement Special Assessment Revenue Bonds, Series B,

5.50%, 11/1/10		143		90

Venice Retirement Community Revenue Improvement Bonds, Village on the Isle Project,

5.00%, 1/1/47		1,000		1,067

Village Community Development District No. 13 Special Assessment Revenue Bonds,

5/1/51⁽¹⁾⁽⁷⁾		1,000		1,004

				36,584

Georgia – 1.9%

Atlanta Development Authority Senior Health Care Facilities Revenue Bonds, Georgia Proton Treatment Center,

6.75%, 1/1/35		3,000		2,501

Main Street Natural Gas, Inc. Gas Supply Revenue Bonds, Series A,

5.00%, 5/15/49		4,000		5,703

White County Development Authority Revenue Bonds, Truett McConnell University Project,

5.25%, 10/1/49		1,500		1,491

				9,695

Illinois – 6.8%

Chicago O’Hare International Airport Revenue General Revenue Bonds, Series B, Senior Lien,

5.00%, 1/1/48		5,000		5,898

Chicago Waterworks Revenue Bonds, Second Lien,

5.00%, 11/1/29		2,500		3,005

Illinois State Finance Authority Health Services Facilities Lease Revenue Bonds, University of Illinois Health Services,

4.00%, 10/1/55		1,500		1,603


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

Illinois – 6.8% continued

Illinois State Finance Authority Revenue Refunding Bonds, Edward-Elmhurst Healthcare,

5.00%, 1/1/44		$5,000		$5,835

Illinois State Finance Authority Revenue Refunding Bonds, Friendship Village Schaumburg,

5.13%, 2/15/45		1,500		1,274

Illinois State Finance Authority Revenue Refunding Bonds, Illinois Institute of Technology,

5.00%, 9/1/40		2,000		2,185

Illinois State Finance Authority Revenue Refunding Bonds, Navistar International Corp.,

4.75%, 8/1/30⁽¹⁾^{(4) (5) (6)}		1,000		1,016

Illinois State Finance Authority Revenue Refunding Bonds, OSF Healthcare System,

5/15/50⁽⁷⁾		500		490

Illinois State Finance Authority Revenue Refunding Bonds, Rosalind Franklin University,

5.00%, 8/1/42		1,100		1,201

Illinois State Finance Authority Student Housing & Academic Facilities Revenue Bonds, CHF - Chicago, LLC - University of Illinois at Chicago Project,

5.00%, 2/15/47		5,000		4,747

Illinois State G.O. Unlimited Bonds,

5.50%, 5/1/30		1,000		1,144

Illinois State G.O. Unlimited Refunding Bonds,

5.00%, 2/1/29		1,000		1,081

Illinois State Housing Development Authority Revenue Bonds, Series A (FHLMC, FNMA, GNMA Insured),

4.13%, 10/1/38		2,000		2,250

Illinois State Housing Development Authority Revenue Bonds, Series C (GNMA, FNMA, FHLMC Insured),

2.80%, 10/1/34		1,000		1,061

Metropolitan Pier & Exposition Authority Revenue Refunding Bonds, Mccormick Place Expansion Project,

5.00%, 6/15/50		1,000		1,108


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

Illinois – 6.8% continued

Upper Illinois River Valley Development Authority Revenue Refunding Bonds, Prairie Crossing Charter,

5.00%, 1/1/45		$250		$255

5.00%, 1/1/55⁽¹⁾		625		632

				34,785

Indiana – 1.4%

Indiana State Finance Authority Exempt Facilities Revenue Bonds (AMT), Res Polyflow Indiana, Green Bonds,

7.00%, 3/1/39		4,000		3,768

Indiana State Finance Authority Revenue Bonds, Kipp Indianapolis Inc., Project,

5.00%, 7/1/55		510		544

Vigo County Hospital Authority Revenue Bonds, Union Hospital, Inc., Prerefunded,

8.00%, 9/1/21⁽³⁾		2,500		2,673

				6,985

Iowa – 0.8%

Iowa State Finance Authority Revenue Bonds, Series A, Lifespace Communities,

5.00%, 5/15/48		4,000		4,216

Kansas – 0.2%

Wichita Health Care Facilities Revenue Refunding Bonds, Presbyterian Manors,

5.00%, 5/15/50		1,000		958

Kentucky – 1.4%

Ashland Medical Center Revenue Refunding Bonds, Ashland Hospital Corp. D/B/A King’s Daughters Medical Center,

4.00%, 2/1/38		150		158

Kentucky Public Transportation Infrastructure Authority First Tier Toll Revenue Bonds, Series A, Downtown Crossing Project,

5.75%, 7/1/49		2,500		2,718

Kentucky State Economic Development Finance Authority Revenue Bonds, Owensboro Health,

5.25%, 6/1/50		2,500		2,687


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

Kentucky – 1.4% continued

Kentucky State Economic Development Finance Authority Revenue Refunding Bonds, Series A, Owensboro Health, Inc.,

5.00%, 6/1/45		$1,500		$1,632

				7,195

Louisiana – 3.6%

Calcasieu Parish Memorial Hospital Service District Revenue Refunding Bonds, Lake Charles Memorial Hospital Project,

5.00%, 12/1/39		4,675		5,079

Louisiana Public Facilities Authority Revenue Refunding Bonds, Ochsner Clinic Foundation Project,

5.00%, 5/15/46		1,000		1,164

Louisiana Public Facilities Authority Revenue Refunding Bonds, Ochsner Clinic, Prerefunded,

5.00%, 5/15/26⁽³⁾		50		62

Louisiana State Local Government Environmental Facilities & Community Development Authority Revenue Bonds, Jefferson Parish Gomesa Project,

4.00%, 11/1/44		1,000		1,000

Louisiana State Local Government Environmental Facilities & Community Development Authority Revenue Bonds, Series A-1, Westlake Chemical Corp.,

6.50%, 11/1/35		2,000		2,007

Louisiana State Public Facilities Authority Revenue Bonds, Belle Chasse Educational Foundation Project, Prerefunded,

6.75%, 5/1/21⁽³⁾		1,250		1,296

Louisiana State Public Facilities Authority Revenue Refunding Bonds, Lafayette General Health System,

5.00%, 11/1/41		5,000		5,529

Saint James Parish Revenue Bonds, Series 2, Nustar Logistics L.P. Project,

6.35%, 7/1/40		1,000		1,188


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

Louisiana – 3.6% continued

Saint John The Baptist Parish Variable Revenue Refunding Bonds, Marathon Oil Corp. Project,

2.38%, 7/1/26⁽⁴⁾^{(5) (6)}		$1,000		$1,013

				18,338

Maine – 1.0%

Maine State Health & Higher Educational Facilities Authority Revenue Bonds, Eastern Maine Medical Center,

5.00%, 7/1/43		5,000		5,207

Maryland – 1.0%

Baltimore Special Obligation Tax Allocation Refunding Bonds, Senior Lien, Harbor Point Project,

3.63%, 6/1/46		1,750		1,604

Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Series A, Adventist Healthcare,

6.25%, 1/1/31		1,550		1,624

6.13%, 1/1/36		2,000		2,084

				5,312

Massachusetts – 1.9%

Lowell Massachusetts Collegiate Charter Revenue Bonds,

5.00%, 6/15/49		1,250		1,282

Massachusetts State Development Finance Agency Revenue Bonds, Boston Medical Center, Green Bonds,

5.00%, 7/1/44		2,000		2,202

Massachusetts State Development Finance Agency Revenue Bonds, Series A, UMASS Boston Student Housing,

5.00%, 10/1/41		5,000		4,917

Massachusetts State Development Finance Agency Revenue Refunding Bonds, Series S, Milford Regional Medical Center,

5.00%, 7/15/46		150		171


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

Massachusetts – 1.9% continued

Massachusetts State Development Finance Agency Revenue Refunding Bonds, Suffolk University,

5.00%, 7/1/32		$1,000		$1,159

				9,731

Michigan – 3.4%

Grand Rapids Charter Township Revenue Refunding Bonds, Porter Hills Presbyterian,

5.00%, 5/15/44		1,000		1,085

Michigan State Finance Authority Ltd. Obligation Revenue Refunding Bonds, Kettering University Project,

4.00%, 9/1/50		650		701

Michigan State Finance Authority Revenue Refunding Bonds, Local Government Loan Program,

5.00%, 7/1/30		2,000		2,281

Michigan State Strategic Fund Ltd. Obligation Revenue Bonds (AMT), I-75 Improvement Project,

5.00%, 6/30/48		5,000		5,716

Michigan State Strategic Fund Ltd. Obligation Revenue Bonds, Holland Home,

5.00%, 11/15/42		2,500		2,645

Wayne County Airport Authority Revenue Bonds, Series D,

5.00%, 12/1/45		4,355		5,037

				17,465

Minnesota – 0.7%

Minneapolis Charter School Lease Revenue Bonds, Series A, Kipp North Star Project,

5.75%, 7/1/55		1,000		1,089

Saint Paul Housing & Redevelopment Authority Charter School Lease Revenue Refunding Bonds, Hmong College Preparatory Academy Project,

5.00%, 9/1/55		1,000		1,121

Wayzata Senior Housing Revenue Refunding Bonds, Folkestone Senior Living Community,

5.00%, 8/1/54		1,500		1,563

				3,773


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

Mississippi – 0.2%

Tunica County Urban Renewal Revenue Refunding Bonds, Utility Districts Project,

6.00%, 10/1/40		$1,000		$986

Missouri – 1.0%

Missouri State Health & Educational Facilities Authority Health Facilities Revenue Refunding Bonds, Wright Memorial Hospital,

5.00%, 9/1/32		1,145		1,370

5.00%, 9/1/34		1,315		1,561

Missouri State Health & Educational Facilities Authority Revenue Refunding Bonds, Series C, Luthreran Senior Services Project,

4.00%, 2/1/48		2,000		2,045

				4,976

Nebraska – 0.5%

Central Plains Energy Project Gas Project Revenue Refunding Bonds, Series A, Project No. 3,

5.00%, 9/1/42		2,000		2,756

Nevada – 0.1%

Las Vegas Special Improvement District No. 814 Summerlin Village 21 & 24A Special Assessment Bonds,

4.00%, 6/1/49		550		552

Las Vegas Special Improvement District No. 815 Special Assessment Bonds,

5.00%, 12/1/49		250		264

				816

New Hampshire – 0.1%

National Finance Authority Revenue Refunding Bonds, Series B (AMT), Green Bonds,

3.75%, 7/2/40⁽¹⁾^{(4) (5) (6)}		600		593

New Jersey – 3.3%

New Jersey State EDA Revenue Bonds, Provident Group Rowan Properties LLC,

5.00%, 1/1/48		1,000		964

New Jersey State EDA Revenue School Facilities Construction Revenue Bonds,

4.00%, 6/15/49		2,250		2,313


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

New Jersey – 3.3% continued

New Jersey State EDA Special Facility Revenue Bonds (AMT), Continental Airlines, Inc., Project,

5.63%, 11/15/30		$2,000		$2,074

New Jersey State Educational Facilities Authority Revenue Bonds, Series A, Green Bonds,

3.00%, 7/1/50		750		711

New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series AA, Transportation Program,

5.00%, 6/15/45		2,250		2,429

Tobacco Settlement Financing Corp. Revenue Refunding Bonds, Series A,

5.00%, 6/1/46		7,070		8,226

				16,717

New Mexico – 1.0%

Farmington Pollution Control Revenue Refunding Bonds, Public Service Company of New Mexico San Juan,

1.15%, 6/1/24⁽⁴⁾^{(5) (6)}		1,000		1,005

Los Ranchos de Albuquerque Educational Facilities Revenue Refunding Bonds, Albuquerque Academy Project,

4.00%, 9/1/40		1,000		1,099

New Mexico Hospital Equipment Loan Council First Mortgage Revenue Bonds, La Vida Expansion Project,

5.00%, 7/1/49		3,000		3,097

				5,201

New York – 5.1%

Build NYC Resource Corp. Revenue Bonds, New Dawn Charter Schools Project,

5.75%, 2/1/49		1,000		1,046

Metropolitan Transportation Authority Revenue Bonds, Series C-1, Green Bonds,

5.00%, 11/15/50		1,000		1,060

New York State Transportation Development Corp. Special Facilities Revenue Bonds (AMT), Delta Air Lines, Inc., Laguardia Airport Terminals,

5.00%, 1/1/34		5,000		5,333


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

New York – 5.1% continued

4.00%, 1/1/36		$1,000		$991

New York State Transportation Development Corp. Special Facilities Revenue Bonds (AMT), LaGuardia Airport Terminal B Redevelopment,

5.00%, 7/1/46		5,000		5,327

New York State Transportation Development Corp. Special Facilities Revenue Refunding Bonds (AMT), American Airlines, Inc.,

5.00%, 8/1/31		1,000		997

New York State Transportation Development Corp. Special Facilities Revenue Refunding Bonds (AMT), John F. Kennedy International Airport,

5.25%, 8/1/31		1,000		1,031

New York State Urban Development Corp. Revenue Refunding Bonds, State Personal Income Tax,

5.00%, 3/15/50		4,195		5,208

Port Authority of New York & New Jersey Consolidated Revenue Bonds, Series 220 (AMT),

4.00%, 11/1/59		1,500		1,637

Port Authority of New York & New Jersey Consolidated Revenue Bonds, Series 221 (AMT),

4.00%, 7/15/60		2,000		2,199

Yonkers Economic Development Corp. Educational Revenue Bonds, Charter School Educational Excellence Project,

5.00%, 10/15/49		1,155		1,206

				26,035

North Carolina – 0.5%

North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, Series A, Sharon Towers,

5.00%, 7/1/49		600		635

North Carolina State Turnpike Authority Senior Lien Revenue Bonds, Triangle Expressway,

5.00%, 1/1/49		1,500		1,788

				2,423


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

Ohio – 3.5%

Buckeye Tobacco Settlement Financing Authority Revenue Refunding Bonds, Series B-2, Senior Class 2,

5.00%, 6/1/55		$5,000		$5,319

Marion County Health Care Facilities Revenue Refunding Bonds, United Church Homes, Inc.,

5.13%, 12/1/49		1,000		1,020

Middleburg Heights Hospital Revenue Refunding Bonds, Southwest General Health Center Project,

4.00%, 8/1/47		1,000		1,130

Ohio State Air Quality Development Authority Exempt Facilities Revenue Bonds (AMT),

5.00%, 7/1/49⁽¹⁾		2,000		2,041

Ohio State Air Quality Development Authority Exempt Facilities Revenue Bonds (AMT), Pratt Paper LLC Project,

4.50%, 1/15/48		2,000		2,138

Southern Port Exempt Facility Revenue Bonds, Series A (AMT), Pure Cycle Project,

12/1/42⁽⁷⁾		2,000		2,004

Toledo-Lucas County Port Authority Facilities Revenue Refunding Bonds, CSX Transportation, Inc., Project,

6.45%, 12/15/21⁽⁸⁾		4,000		4,264

				17,916

Oklahoma – 2.5%

Norman Regional Hospital Authority Revenue Bonds, Norman Regional Hospital Authority,

4.00%, 9/1/45		5,000		5,410

Oklahoma State Development Finance Authority Revenue Refunding Bonds (AMT), Gilcrease Expressway West Project,

1.63%, 7/6/23		5,000		4,992

Oklahoma State Development Finance Authority Revenue Refunding Bonds, Oklahoma City University Project,

5.00%, 8/1/49		2,000		2,195

				12,597


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

Pennsylvania – 5.1%

Berks County Municipal Authority University Revenue Bonds, Alvernia University Project,

5.00%, 10/1/49		$1,000		$979

Chester County Health & Educational Facilities Authority Revenue Refunding Bonds, Simpson Senior Services Project,

5.00%, 12/1/51		1,000		1,015

Franklin County IDA Revenue Bonds, Menno-Haven, Inc., Project,

5.00%, 12/1/54		1,000		1,020

Lancaster County Hospital Authority Revenue Refunding Bonds, Saint Anne’s Retirement Community Inc., Project,

5.00%, 3/1/40		500		516

5.00%, 3/1/50		500		509

Northampton County IDA Revenue Refunding Bonds, Morningstar Senior,

5.00%, 11/1/49		1,000		1,020

Pennsylvania State Economic Development Financing Authority Solid Waste Disposal Revenue Bonds (AMT), Carbonlite LLC Project,

5.75%, 6/1/36⁽¹⁾		2,000		1,955

Pennsylvania State Higher Educational Facilities Authority Revenue Bonds, Shippensburg University, Prerefunded,

6.25%, 10/1/21⁽³⁾		2,000		2,119

Pennsylvania State Turnpike Commission Turnpike Revenue Bonds, Series A-1,

5.00%, 12/1/46		3,000		3,470

Philadelphia Authority For Industrial Development Revenue Bonds, Alliance for Progress Charter,

5.00%, 6/15/39		920		960

5.00%, 6/15/49		1,385		1,428

Philadelphia Authority For Industrial Development University of the Arts Revenue Refunding Bonds,

5.00%, 3/15/45		5,000		5,093


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

Pennsylvania – 5.1% continued

Philadelphia Authority For Industrial Development University of the Arts Revenue Refunding Bonds, Independence Charter School West Project,

5.00%, 6/15/50		$1,350		$1,391

Philadelphia Water & Wastewater Revenue Bonds, Series A,

5.00%, 7/1/45		4,000		4,518

				25,993

Puerto Rico – 0.6%

Puerto Rico Sales Tax Financing Corp., Restructured TRB, Series A-1,

4.75%, 7/1/53		3,000		3,120

Rhode Island – 1.5%

Tobacco Settlement Financing Corp. Revenue Refunding Bonds, Series A,

5.00%, 6/1/40		7,000		7,586

South Carolina – 0.7%

Berkeley County Assessment Revenue Special Assessment Bonds, Nexton Improvement District,

4.38%, 11/1/49		1,000		1,012

South Carolina State Jobs-EDA Economic Development Revenue Bonds, Hilton Head Christian Academy,

5.00%, 1/1/55		1,500		1,357

South Carolina State Jobs-EDA Economic Development Revenue Bonds, Series 2019A, Bishop Gadsden Episcopal Retirement Community,

5.00%, 4/1/54		1,000		1,088

				3,457

Tennessee – 0.6%

Johnson City Health & Educational Facilities Board Revenue Refunding Bonds, Appalachian Christian Village,

5.00%, 2/15/43⁽⁹⁾		1,500		900


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

Tennessee – 0.6% continued

Metropolitan Government Nashville & Davidson County Health & Educational Facility Board Revenue Refunding Bonds, Lipscomb University Project,

4.00%, 10/1/49		$1,000		$970

Metropolitan Government Nashville & Davidson County Health & Educational Facility Board Revenue Refunding Bonds, Trevecca Nazarene University,

5.00%, 10/1/48		1,115		1,201

				3,071

Texas – 6.2%

Arlington Higher Education Finance Corp. Revenue Bonds, Basis Texas Charter Schools, Inc.,

4.00%, 6/15/50		1,000		942

Austin Convention Enterprises, Inc., Convention Center Revenue Refunding Bonds, First Tier,

5.00%, 1/1/34		1,995		2,035

Board of Managers Joint Guadalupe County-City of Seguin Hospital Mortgage Revenue Refunding Bonds,

5.00%, 12/1/40		1,500		1,578

5.00%, 12/1/45		2,000		2,065

Brazoria County Industrial Development Corp. Solid Waste Disposal Facilities Revenue Bonds (AMT), Gladieux Metals Recycling,

7.00%, 3/1/39		300		304

Brazoria County Industrial Development Corp. Solid Waste Disposal Facilities Subordinate Revenue Bonds (AMT), Gladieux Metals Recycling,

8.50%, 3/1/39		2,000		2,042

Love Field Airport Modernization Corp. Special Facilities Revenue Bonds, Southwest Airlines Company Project,

5.25%, 11/1/40		3,000		3,006

Mission Economic Development Corp. Revenue Refunding Bonds (AMT), Senior Lien, Natgasoline,

4.63%, 10/1/31		2,000		2,115


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

Texas – 6.2% continued

New Hope Cultural Education Facilities Finance Corp. Retirement Facility Revenue Bonds, Morningside Ministries Project,

5.00%, 1/1/55		$1,000		$1,015

New Hope Cultural Education Facilities Finance Corp. Student Housing Revenue Bonds, CHF-Collegiate Housing San Antonio,

5.00%, 4/1/48		3,000		2,911

San Antonio Electric & Gas Revenue Bonds, Junior Lien,

5.00%, 2/1/43		2,500		2,744

Tarrant County Cultural Educational Facilities Finance Corp. Retirement Facilities Revenue Bonds, Series B, Buckner Retirement Services,

5.00%, 11/15/46		4,000		4,451

Texas State Private Activity Bond Surface Transportation Corp. Revenue Bonds (AMT), Segment 3C Project,

5.00%, 6/30/58		1,500		1,719

Texas State Private Activity Bond Surface Transportation Corp. Revenue Bonds (AMT), Senior Lien, Blueridge Transportation,

5.00%, 12/31/40		2,750		2,947

5.00%, 12/31/45		1,250		1,337

Texas State Private Activity Bond Surface Transportation Corp. Revenue Refunding Bonds, LBJ Infrastructure Group,

4.00%, 6/30/40		500		563

				31,774

Utah – 0.6%

Mida Mountain Village Public Infrastructure District Special Assessment Revenue Bonds, Series A,

5.00%, 8/1/50		1,000		1,014

Utah Infrastructure Agency Tax-Exempt Telecommunications Revenue Bonds,

4.00%, 10/15/42		1,000		1,030


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

Utah – 0.6% continued

Utah State Charter School Finance Authority Charter School Revenue Bonds, Mountain West Montessori Academy,

5.00%, 6/15/49		$825		$855

				2,899

Vermont – 0.3%

University of Vermont & State Agricultural College Revenue Refunding Bonds, Series B,

5.00%, 10/1/36		1,000		1,418

Virginia – 1.2%

Virginia Small Business Financing Authority Private Activity Senior Revenue Bonds, Transform 66-P3 Project (AMT),

5.00%, 12/31/49		1,000		1,120

Virginia State College Building Authority Educational Facilities Revenue Bonds, Marymount University Project, Green Bonds,

5.25%, 7/1/35		270		278

5.00%, 7/1/45		2,515		2,521

Virginia State Small Business Financing Authority Senior Lien Revenue Bonds, Express Lanes LLC (AMT),

5.00%, 1/1/40		1,000		1,032

Virginia State Small Business Financing Authority Solid Waste Disposal Facilities Revenue Bonds (AMT), Covanta Project,

5.00%, 7/1/38⁽⁴⁾^{(5) (6)}		1,000		1,018

				5,969

Washington – 1.0%

Washington State Higher Education Facilities Authority Revenue Bonds, Whitworth University Project,

4.00%, 10/1/49		2,250		2,231

Washington State Housing Finance Commission Revenue Bonds, Rockwood Retirement Communities Project,

5.00%, 1/1/55		2,000		1,924


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

Washington – 1.0% continued

Washington State Housing Finance Commission Revenue Bonds, Series A, Transforming Age Project,

5.00%, 1/1/55		$1,000		$1,037

				5,192

West Virginia – 0.9%

West Virginia State EDA Solid Waste Disposal Facilities Variable Revenue Bonds (AMT), Senior-Arch Resources,

5.00%, 7/1/25⁽⁴⁾^{(5) (6)}		1,000		1,030

West Virginia State Hospital Finance Authority, Revenue Refunding Bonds, Cabell Huntington Hospital,

5.00%, 1/1/43		3,000		3,521

				4,551

Wisconsin – 2.4%

PFA Charter School Revenue Bonds, Freedom Classical Academy, Inc.,

1/1/56⁽¹⁾⁽⁷⁾		1,000		1,007

PFA Charter School Revenue Bonds, Series A, Eno River Project,

5.00%, 6/15/54⁽¹⁾		1,375		1,453

PFA Education Revenue Bonds, North Carolina Leadership Academy,

5.00%, 6/15/49⁽¹⁾		520		530

PFA Educational Facilities Revenue Bonds, Series A, Kipp Charlotte, Inc.,

5.00%, 10/15/50⁽¹⁾		1,000		1,039

PFA Retirement Communities Revenue Bonds, Acts Retirement-Life Communities,

5.00%, 11/15/41		1,000		1,181

PFA Retirement Facilities First Mortgage Revenue Bonds, Series A,

5.25%, 3/1/55⁽¹⁾		1,000		1,054

PFA Retirement Facilities Revenue Refunding Bonds, Friends Homes,

5.00%, 9/1/54		1,500		1,628

PFA Revenue Refunding Bonds, Ultimate Medical Academy,

5.00%, 10/1/34		1,000		1,064

PFA Senior Revenue Bonds, Wonderful Foundations Charter School Portfolio Projects,

5.00%, 1/1/55		1,500		1,502


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 95.9% continued

Wisconsin – 2.4% continued

PFA Student Housing Revenue Bonds, NC A&T Real Estate Foundation, LLC Project,

5.00%, 6/1/49		$1,000		$1,039

Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, St. Camillus Health System,

5.00%, 11/1/54		1,000		994

				12,491

Wyoming – 0.6%

Campbell County Solid Waste Facilities Revenue Refunding Bonds, Basin Electric Power Cooperative,

3.63%, 7/15/39		3,000		3,235

Total Municipal Bonds

(Cost $482,978)				489,863


	NUMBER OF SHARES		VALUE (000S)

INVESTMENT COMPANIES – 4.0%

Northern Institutional Funds - U.S. Government Portfolio (Shares),

0.00%⁽¹⁰⁾⁽¹¹⁾		20,784,485		$20,784

Total Investment Companies

(Cost $20,784)				20,784



Total Investments – 99.9%

(Cost $503,762)				510,647

Other Assets less Liabilities – 0.1%				264

NET ASSETS – 100.0%				$510,911

⁽¹⁾

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in ^transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Northern Funds.

⁽²⁾

Restricted security that has been deemed illiquid. At September 30, 2020, the value of these restricted illiquid securities amounted to approximately $7,676,000 or 1.5% of net assets. Additional information on these restricted illiquid securities is as follows:



SECURITY	ACQUISITION AND ENFORCEABLE DATE	COST (000S)

Arizona State IDA Education Revenue Bonds, Academies of Math & Science Project, 5.63%, 7/1/48	11/8/18	$1,993



SECURITY	ACQUISITION AND ENFORCEABLE DATE	COST (000S)

California State School Finance Authority Charter School Revenue Refunding Bonds, Aspire Public Schools, 5.00%, 8/1/46	2/4/16-3/8/17	$5,183

⁽³⁾

Maturity date represents the prerefunded date.

⁽⁴⁾

Maturity date represents the puttable date.

⁽⁵⁾

These securities are remarketed by an agent, and the interest rate is determined by general market conditions and supply and demand.

⁽⁶⁾

Variable rate security. Rate as of September 30, 2020 is disclosed.

⁽⁷⁾

When-Issued Security. Coupon rate is not in effect at September 30, 2020.

⁽⁸⁾

Security has converted to a fixed rate as of December 15, 1999, and will continue at a fixed rate going forward.

⁽⁹⁾

Issuer has defaulted on terms of debt obligation. Income is not being accrued.

⁽¹⁰⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽¹¹⁾

7-day current yield as of September 30, 2020 is disclosed.

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

AMT - Alternative Minimum Tax

EDA - Economic Development Authority

FHLMC - Federal Home Loan Mortgage Corporation

FNMA - Federal National Mortgage Association

G.O. - General Obligation

GNMA - Government National Mortgage Association

HFA - Housing Finance Authority

IDA - Industrial Development Authority

IDB - Industrial Development Board

PFA - Public Finance Authority

TRB - Tax Revenue Bonds

Percentages shown are based on Net Assets.

At September 30, 2020, the industry sectors for the Fund were:



INDUSTRY SECTOR	% OF INVESTMENTS

Airport		5.2	%

Development		13.9

Education		12.6

General		10.3

Higher Education		7.2



INDUSTRY SECTOR	% OF INVESTMENTS

Housing		7.6	%

Medical		13.5

Nursing Home		7.6

Tobacco Settlement		5.6

Transportation		6.3

All other sectors less than 5%		10.2

Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).



INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

Municipal Bonds⁽¹⁾		$ —		$489,863		$—		$489,863

Investment Companies		20,784		—		—		20,784

Total Investments		$20,784		$489,863		$—		$510,647

⁽¹⁾

Classifications as defined in the Schedule of Investments.


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CORPORATE BONDS – 0.0%

Health Care Facilities & Services – 0.0%

Bon Secours Mercy Health, Inc.,

3.46%, 6/1/30		$500		$562

Total Corporate Bonds

(Cost $500)				562


MUNICIPAL BONDS – 88.1%

Alabama – 1.0%

Black Belt Energy Gas District Alabama Gas Prepay Revenue Bonds, Series A-1, Project No. 5,

4.00%, 10/1/26⁽¹⁾^{(2) (3)}		5,000		5,815

Black Belt Energy Gas District Alabama Gas Supply Revenue Bonds, Series A,

4.00%, 7/1/22⁽¹⁾^{(2) (3)}		5,000		5,281

Lower Gas District Gas Project Revenue Bonds,

4.00%, 12/1/25⁽¹⁾^{(2) (3)}		10,000		11,453

South East Alabama State Gas Supply District Gas Supply Revenue Bonds, Series A, Project No. 2,

4.00%, 6/1/24⁽¹⁾^{(2) (3)}		7,500		8,305

				30,854

Alaska – 0.9%

Alaska State G.O. Unlimited Bonds, Series A,

5.00%, 8/1/32		4,290		5,771

Alaska State Housing Finance Corp. Mortgage Revenue Refunding Bonds, General Mortgage Revenue Bond,

5.00%, 6/1/33		2,500		3,183

Alaska State Housing Finance Corp. Revenue Refunding Bonds, Series A,

5.00%, 6/1/30		5,000		6,209

Alaska State Housing Finance Corp. Revenue Refunding Bonds, State Capital Project Bond,

4.00%, 6/1/36		5,000		5,538

Anchorage Electric Utility Revenue Refunding Bonds, Series A, Senior Lien,

5.00%, 12/1/41		5,000		5,792

				26,493


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Arizona – 2.8%

Arizona Board of Regents State University System Revenue Bonds, Series B, Green Bonds,

5.00%, 7/1/42		$1,000		$1,187

Arizona State Transportation Board Excise Tax Revenue Refunding Bonds,

5.00%, 7/1/25		10,000		11,746

Arizona State Transportation Board Highway Revenue Refunding Bonds,

5.00%, 7/1/28		12,000		14,002

Arizona State University Revenue Bonds, Series A, Green Bonds,

5.00%, 7/1/41		10,995		13,955

Chandler Excise TRB,

5.00%, 7/1/27		5,000		5,632

Maricopa County High School District No. 210 Phoenix G.O. Unlimited Bonds, School Improvement Project of 2011 & 2017,

5.00%, 7/1/35		1,775		2,190

Maricopa County IDA Educational Facilities Revenue Bonds, Creighton University Project,

5.00%, 7/1/47		1,500		1,773

Maricopa County IDA Revenue Bonds, Series B, Banner Health,

5.00%, 10/18/22⁽¹⁾^{(2) (3)}		500		546

Maricopa County IDA Revenue Refunding Bonds, Banner Health Obligation Group,

4.00%, 1/1/36		180		202

Maricopa County Special Health Care District G.O. Unlimited Bonds,

4.00%, 7/1/38		2,500		2,834

Maricopa County Unified School District No. 4 Mesa G.O. Unlimited Bonds, Series C, School Improvement Project of 2018,

5.00%, 7/1/29		2,910		3,888

Maricopa County Unified School District No. 69 Paradise Valley G.O. Unlimited Bonds, Series C, School Improvement Project of 2015,

5.00%, 7/1/26		1,500		1,887


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Arizona – 2.8% continued

Phoenix Civic Airport Improvement Corp. Junior Lien Airport Revenue Bonds,

4.00%, 7/1/44		$2,000		$2,228

Phoenix Civic Improvement Corp. District Convertible Revenue Capital Appreciation Bonds, Series B, Civic Plaza (NATL Insured),

5.50%, 7/1/38		2,500		3,796

Phoenix Civic Improvement Corp. Wastewater System Revenue Refunding Bonds, Junior Lien,

5.00%, 7/1/30		2,000		2,485

Salt River Project Agricultural Improvement & Power District Electric Revenue Refunding Bonds, Series A,

5.00%, 12/1/23		10,000		10,561

Salt River Project Agricultural Improvement & Power District Electric System Revenue Refunding Bonds, Series A,

5.00%, 12/1/35		5,000		5,964

				84,876

California – 8.8%

Bay Area Toll Authority Toll Bridge Revenue Bonds, Prerefunded,

5.00%, 4/1/22⁽⁴⁾		1,145		1,229

Berkeley TRANS,

1.75%, 7/27/21		5,000		5,066

Burbank Unified School District G.O. Unlimited Convertible CABS, Series A, (Step to 5.00% on 8/1/23), 0.81%,

8/1/34⁽⁵⁾		3,500		3,521

California HFA Municipal Certificates Revenue Bonds, Series 2, Class A,

4.00%, 3/20/33		1,977		2,187

California State Department of Water Resources Central Valley Project Revenue Bonds, Series BA, Water System,

5.00%, 12/1/32		2,000		2,677

California State Department of Water Resources Central Valley Project Water System Revenue Bonds, Series AM,

5.00%, 12/1/25		1,000		1,129


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

California – 8.8% continued

California State Educational Facilities Authority Revenue Bonds, Series V-1, Stanford University,

5.00%, 5/1/49		$3,500		$5,642

California State G.O. Unlimited Bonds, Series 2007, Unrefunded Balance,

5.75%, 5/1/30		80		80

California State G.O. Unlimited Refunding Bonds,

5.00%, 11/1/29		25,000		33,632

5.00%, 11/1/30		8,000		10,909

California State G.O. Unlimited Refunding Bonds (AGM Insured),

5.25%, 8/1/32		10,000		14,113

California State G.O. Unlimited Various Purpose Refunding Bonds,

5.00%, 4/1/33		—		—

5.00%, 4/1/33		24,000		29,804

California State Municipal Finance Authority Student Housing Revenue Bonds, CHF-Davis I, LLC -West Village,

5.00%, 5/15/36		6,130		7,226

5.00%, 5/15/37		3,440		4,037

California State Taxable G.O. Unlimited Bonds,

3.50%, 4/1/28		6,750		7,831

California State Various Purpose G.O. Unlimited Bonds,

5.00%, 10/1/22		5,000		5,481

California Statewide Communities Development Authority Student Housing Revenue Refunding Bonds, CHF-Irvine, LLC,

5.00%, 5/15/29		1,250		1,421

Carlsbad Unified School District G.O. Unlimited Convertible Capital Appreciation Bonds, Series C, Election,

(Step to 6.63% on 8/1/26), 2.55%, 8/1/35⁽⁵⁾		11,850		14,328

Cupertino Union School District Crossover G.O. Unlimited Refunding Bonds, Series A, Prerefunded,

5.00%, 8/1/23⁽⁴⁾		435		494


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

California – 8.8% continued

Glendale Electric Works Revenue Bonds,

5.00%, 2/1/43		$5,000		$5,480

Long Beach Harbor Revenue Bonds, Series A,

5.00%, 5/15/37		1,000		1,259

Los Angeles Community College District G.O. Unlimited Refunding Bonds, Series A,

5.00%, 8/1/30		10,000		11,724

5.00%, 8/1/31		1,310		1,534

Los Angeles County Metropolitan Transportation Authority Measure R Junior Subordinate Sales Tax Revenue Refunding Bonds, Green Bonds,

5.00%, 6/1/32		2,100		2,919

Los Angeles County Metropolitan Transportation Authority Proposition Sales Tax Revenue Refunding Bonds, Senior First Tier,

5.00%, 7/1/21		2,200		2,279

Los Angeles Department of Airports Airport Revenue Refunding Bonds, Senior Series B,

5.00%, 5/15/33		3,500		4,584

Los Angeles Department of Airports Airport Subordinate Revenue Bonds (AMT), Los Angeles International Airport,

5.00%, 5/15/35		600		701

Los Angeles Department of Airports Subordinate Revenue Bonds, Series C (AMT),

5.00%, 5/15/35		10,000		12,058

Los Angeles Department of Water & Power System Revenue Bonds, Series D,

5.00%, 7/1/39		2,500		2,884

Los Angeles Unified School District G.O. Unlimited Refunding Bonds, Series A,

7/1/31⁽⁶⁾		5,000		6,704

Northern Energy Authority Commodity Supply Revenue Bonds, Series A,

4.00%, 7/1/24⁽¹⁾^{(2) (3)}		7,500		8,332


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

California – 8.8% continued

Palomar Community College District G.O. Unlimited Convertible Capital Appreciation Bonds, Election,

(Step to 6.38% on 8/1/30), 0.71%, 8/1/45⁽⁵⁾		$5,000		$5,274

Pasadena Community College District G.O. Unlimited Refunding Bonds,

4.00%, 8/1/27		1,000		1,241

Riverside & Bernardino Counties College District, G.O. Unlimited Bonds, Election of 2004, Series E,

0.00%, 8/1/36⁽⁷⁾		5,855		3,143

Riverside Sewer Revenue Refunding Bonds, Series A,

5.00%, 8/1/37		3,260		4,113

Sacramento County Airport System Revenue Refunding Bonds, Series C (AMT),

5.00%, 7/1/35		6,000		7,217

San Diego Association of Governments Capital Grant Receipts Revenue Bonds, Mid Coast Corridor, Green Bonds,

1.80%, 11/15/27		3,000		3,075

San Diego Public Facilities Financing Authority Water Revenue Bonds, Series A,

3.00%, 8/1/49		3,000		3,207

San Francisco California City & County Airport Commission International Revenue Refunding Bonds, Series H (AMT),

5.00%, 5/1/27		5,000		6,191

San Francisco City & County Airports Commission International Airport Revenue Bonds, Series A (AMT),

5.00%, 5/1/35		3,500		4,289

5.00%, 5/1/38		1,500		1,818

San Francisco City & County Airports Commission International Airport Revenue Bonds, Series E (AMT),

5.00%, 5/1/39		2,355		2,846

San Francisco City & County Public Utilities Commission Water Revenue Refunding Bonds,

4.00%, 11/1/33		2,500		2,813


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1 % continued

California – 8.8% continued

San Jose Unified School District Santa Clara County G.O. Unlimited Refunding Bonds,

5.00%, 8/1/29		$1,685		$1,904

San Mateo Union High School District G.O. Unlimited Convertible Capital Appreciation Bonds, Election 2010, (Step to 6.70% on 9/1/28),

(0.03%), 9/1/41⁽⁵⁾		5,000		5,662

Santa Clara Valley Water District COPS, Series C,

5.00%, 6/1/24		650		763

University of California Taxable Revenue Bonds, Series BG,

0.88%, 5/15/25		2,500		2,522

				267,343

Colorado – 2.5%

Adams County School District No. 1 Taxable G.O. Unlimited Refunding Bonds, Series B (State Aid Withholding),

5.25%, 12/1/40		4,775		5,890

Adams County School District No. 1 Taxable G.O. Unlimited Refunding Bonds, Series B (State Aid Withholding), Prerefunded,

5.25%, 12/1/26⁽⁴⁾		225		291

Arvada Sales & Use TRB,

5.00%, 12/1/31		3,000		3,929

Colorado Springs Utilities Revenue Bonds, Series A-4,

5.00%, 11/15/43		6,500		8,196

Colorado State COPS ,Series A,

4.00%, 12/15/36 10,000				11,759

Colorado State COPS, Series A,

5.00%, 12/15/33		3,000		4,010

Colorado State Health Facilities Authority Hospital Revenue Refunding Bonds, Adventhealth Obligated Group,

5.00%, 11/15/37		1,000		1,266

Colorado State Health Facilities Authority Hospital Revenue Refunding Bonds, Adventist Health System Sunbelt,

4.00%, 11/15/41		1,000		1,098


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Colorado – 2.5% continued

Colorado State Health Facilities Authority Hospital Revenue Refunding Bonds, Series A, Commonspirit Health,

5.00%, 8/1/34		$1,000		$1,237

5.00%, 8/1/35		—		—

5.00%, 8/1/35		3,560		4,386

4.00%, 8/1/49		2,000		2,187

Colorado State School of Mines Institutional Enterprise Revenue Bonds, Series B,

5.00%, 12/1/42		1,000		1,182

Denver City & County Airport System Subordinate Revenue Bonds, Series B,

5.25%, 11/15/28		1,500		1,692

5.25%, 11/15/29		1,740		1,958

Denver City & County Airport System Subordinate Revenue Refunding Bonds (AMT), Series A,

5.00%, 12/1/43		3,000		3,544

Denver City & County Airport System Subordinate Revenue Refunding Bonds, Series B,

5.00%, 12/1/43		5,000		6,055

Denver City & County Dedicated TRB, Series A-1,

5.00%, 8/1/48		2,750		3,240

Denver City & County School District No. 1 COPS, Series B,

5.25%, 12/1/40		5,000		5,091

Denver City & County School District No. 1 G.O. Unlimited Refunding Bonds, Series A (NATL State Aid Withholding),

5.50%, 12/1/22		5,000		5,572

University of Colorado Enterprise Revenue Bonds, Series A, Prerefunded,

5.00%, 6/1/23⁽⁴⁾		1,000		1,128

				73,711


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Connecticut – 1.0%

Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series C-2, Yale University,

5.00%, 2/1/23⁽¹⁾^{(2) (3)}		$5,000		$5,558

Connecticut State Special Tax Obligation Revenue Bonds, Series B,

5.00%, 10/1/31		5,000		6,350

5.00%, 10/1/35		5,000		6,221

Connecticut State Special Tax Obligation Transportation Revenue Refunding Bonds, Series B,

3.00%, 12/1/22		1,725		1,779

University of Connecticut Revenue Bonds, Series A,

5.25%, 11/15/47		8,000		9,807

				29,715

District of Columbia – 1.5%

District of Columbia G.O. Unlimited Bonds, Series C,

5.00%, 6/1/34		2,500		2,893

District of Columbia Housing Finance Agency MFH Revenue Bonds, The Strand Residences Project,

1.45%, 8/1/22⁽¹⁾^{(2) (3)}		2,500		2,546

District of Columbia Income Tax Secured Revenue Refunding Bonds, Series C,

3.00%, 10/1/29		10,000		11,742

District of Columbia Water & Sewer Authority Public Utility Revenue Refunding Bonds, Series C, Subordinate Lien,

5.00%, 10/1/39		5,000		5,783

Metropolitan Washington Airports Authority System Revenue Bonds, Series C (AMT),

5.00%, 10/1/20		3,000		3,000

5.00%, 10/1/26		2,000		2,081

Metropolitan Washington Airports Authority System Revenue Refunding Bonds (AMT),

5.00%, 10/1/26		2,500		3,084

5.00%, 10/1/30		2,630		3,224


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

District Of Columbia – 1.5% continued

Metropolitan Washington Airports Authority System Revenue Refunding Bonds, Series A (AMT),

5.00%, 10/1/28		$5,510		$6,054

5.00%, 10/1/28		—		—

Washington Metropolitan Area Transit Authority Gross Revenue Bonds,

5.00%, 7/1/38		3,000		3,634

5.00%, 7/1/43		2,000		2,396

				46,437

Florida – 4.6%

Broward County Airport System Revenue Bonds (AMT),

5.00%, 10/1/37		1,500		1,775

Broward County Airport System Revenue Bonds, Series A (AMT),

5.00%, 10/1/30		2,000		2,539

Broward County Airport System Revenue Bonds, Series C, Prerefunded,

5.25%, 10/1/23⁽⁴⁾		6,185		7,108

Broward County Airport System Revenue Bonds, Series Q-1, Prerefunded,

5.00%, 10/1/22⁽⁴⁾		1,295		1,419

Broward County Port Facilities Revenue Refunding Bonds, Series A (AGM Insured), Prerefunded,

5.00%, 9/1/21⁽⁴⁾		1,340		1,399

5.00%, 9/1/21		—		—

Broward County Port Facilities Revenue Refunding Bonds, Series A (AGM Insured), Unrefunded Balance,

5.00%, 9/1/24		330		342

5.00%, 9/1/25		330		342

Broward County Port Facilities Revenue Refunding Bonds, Series B (AMT), Prerefunded,

5.00%, 9/1/21⁽⁴⁾		1,665		1,735

Broward County Port Facilities Revenue Refunding Bonds, Series B (AMT), Unrefunded Balance,

5.00%, 9/1/23		835		863

Broward County School District G.O. Unlimited Bonds,

5.00%, 7/1/35		6,180		7,827


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Florida – 4.6% continued

Central Florida Expressway Authority Senior Lien Revenue Refunding Bonds, Series B,

4.00%, 7/1/35		$6,500		$7,337

Davie Educational Facilities Revenue Refunding Bonds, Nova Southeastern University Project,

5.00%, 4/1/48		2,000		2,274

Florida State Atlantic University Finance Corp. Capital Improvement Revenue Refunding Bonds, Series A,

5.00%, 7/1/27		2,000		2,428

Florida State Department Transportation G.O. Unlimited Refunding Bonds,

3.00%, 7/1/30		5,000		5,173

Florida State Municipal Power Agency Revenue Refunding Bonds, Series A,

5.00%, 10/1/31		1,000		1,225

Florida State Ports Financing Commission Revenue Refunding Bonds, Series B (AMT), State Transportation Trust Fund,

5.38%, 10/1/29		3,395		3,555

Florida State Turnpike Authority Revenue Bonds, Series C, Department of Transportation,

4.50%, 7/1/43		5,000		5,420

Hillsborough County Aviation Authority Customer Facilities Charge Revenue Bonds, Series A, Tampa International Airport,

5.00%, 10/1/44		2,500		2,769

Hillsborough County Aviation Authority Subordinate Revenue Bonds, Series B, Tampa International Airport,

5.00%, 10/1/44		4,000		4,504

Jacksonville Sales Tax Revenue Refunding Bonds,

5.00%, 10/1/30		5,500		5,962

Jacksonville Special Revenue Refunding Bonds, Series A,

5.00%, 10/1/33		4,380		5,802

5.00%, 10/1/34		3,220		4,235

JEA Electric System Revenue Refunding Bonds, Series Three A,

5.00%, 10/1/34		2,000		2,603


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Florida – 4.6% continued

5.00%, 10/1/35		$5,000		$6,488

Lee County School Board Refunding COPS,

5.00%, 8/1/22		800		870

Miami-Dade County Aviation Revenue Refunding Bonds, Series A (AMT),

5.00%, 10/1/27		1,320		1,510

Miami-Dade County Aviation Revenue Refunding Bonds, Series B,

5.00%, 10/1/37		650		736

Miami-Dade County G.O. Unlimited Bonds, Public Health Trust Program,

3.38%, 7/1/36		1,510		1,679

Miami-Dade County School Board COPS, Series A,

5.00%, 5/1/32		5,000		5,562

Miami-Dade County Transit System Sales Surtax Revenue Refunding Bonds, Series B,

0.90%, 7/1/25		5,000		4,977

Miami-Dade County Water & Sewer System Revenue Refunding Bonds, Series B (AGM Insured),

5.25%, 10/1/20		3,000		3,000

5.25%, 10/1/22		2,500		2,755

Orange County HFA Multifamily Variable Revenue Bonds, Jernigan Gardens Project (HUD Sector 8 Program),

0.35%, 10/1/22⁽¹⁾^{(2) (3)}		5,000		4,999

Palm Beach County School Board COPS, Series A,

5.00%, 8/1/34		4,250		5,545

Palm Beach County Solid Waste Authority Revenue Refunding Bonds, Prerefunded,

5.00%, 10/1/21⁽⁴⁾		80		84

Palm Beach County Solid Waste Authority Revenue Refunding Bonds, Unrefunded Balance,

5.00%, 10/1/31		4,920		5,147

Pasco County School Board COPS, Series A (BAM Insured),

5.00%, 8/1/43		5,000		6,079


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Florida – 4.6% continued

Reedy Creek Improvement District G.O. Limited Bonds, Series A, Prerefunded,

5.25%, 6/1/23⁽⁴⁾		$10,000		$11,347

5.25%, 6/1/23		—		—

				139,414

Georgia – 3.4%

Atlanta Airport Revenue Refunding Bonds, Series B (AMT),

7/1/30⁽⁶⁾		1,500		1,957

Downtown Savannah Authority Revenue Bonds, Chatham County Judicial Complex,

5.00%, 6/1/32		1,250		1,524

Georgia State G.O. Unlimited Bonds, Series A,

5.00%, 7/1/31		10,965		14,305

4.00%, 7/1/36		5,000		5,963

Georgia State G.O. Unlimited Bonds, Series A-Group 2,

5.00%, 8/1/31		5,000		6,882

Georgia State G.O. Unlimited Bonds, Series A-Tranche 2,

5.00%, 7/1/31		3,000		4,012

Georgia State G.O. Unlimited Bonds, Series E,

2.00%, 8/1/27		2,500		2,500

Georgia State G.O. Unlimited Bonds, Tranche 1-Series A,

5.00%, 7/1/28		10,000		13,280

Georgia State G.O. Unlimited Refunding Bonds, Series F,

5.00%, 1/1/28		5,745		7,306

Georgia State Housing & Finance Authority Revenue Bonds, Series B,

3.25%, 12/1/49		2,500		2,653

Gwinnett County School District G.O. Unlimited Bonds,

5.00%, 2/1/40		5,000		6,417

Main Street Natural Gas, Inc. Gas Supply Revenue Bonds, Series A,

4.00%, 9/1/23⁽¹⁾^{(2) (3)}		14,500		15,861

Main Street Natural Gas, Inc. Gas Supply Revenue Bonds, Subseries C,

4.00%, 12/1/23⁽¹⁾^{(2) (3)}		9,755		10,740


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Georgia – 3.4% continued

Municipal Electric Authority of Georgia Revenue Bonds, Plant Vogtle Units 3 &4 Project,

5.50%, 7/1/60		$2,500		$2,849

Private Colleges & Universities Authority Revenue Refunding Bonds, Series B, Emory University,

5.00%, 9/1/33		2,275		3,039

5.00%, 9/1/34		2,750		3,662

				102,950

Hawaii – 1.7%

Hawaii State Airports System Revenue Bonds, Series A (AMT),

5.00%, 7/1/28		1,025		1,277

5.00%, 7/1/30		1,250		1,538

5.00%, 7/1/43		5,000		5,870

Hawaii State G.O. Unlimited Refunding Bonds, Series EP,

5.00%, 8/1/26		10,000		11,741

Hawaii State Taxable G.O. Unlimited Bonds, Series FZ,

0.67%, 8/1/25		5,000		4,987

Honolulu City & County G.O. Unlimited Bonds, Series A,

5.00%, 10/1/35		4,825		5,756

Honolulu City & County G.O. Unlimited Bonds, Series C,

5.00%, 7/1/45		5,000		6,417

Honolulu City & County Wastewater System Revenue Refunding Bonds, Senior Series B, First Bond Resolution,

5.00%, 7/1/27		11,755		14,185

				51,771

Illinois – 2.9%

Champaign County Community Unit School District No. 4 G.O. Unlimited Bonds, Series A,

5.00%, 1/1/32		2,300		2,914

Chicago Midway Airport Revenue Refunding Bonds, Second Lien Series B,

5.25%, 1/1/34		2,500		2,708


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Illinois – 2.9% continued

Chicago Midway Airport Revenue Refunding Bonds, Series A (AMT), Second Lien,

5.50%, 1/1/30		$2,025		$2,208

Chicago O’Hare International Airport General Revenue Bonds, Series C (AMT), Senior Lien,

5.25%, 1/1/27		500		547

Chicago O’Hare International Airport General Revenue Refunding Bonds, Series B (AMT), Senior Lien,

5.00%, 1/1/25		5,000		5,265

Chicago O’Hare International Airport Revenue Refunding Bonds, Series A, Senior Lien,

1/1/34⁽⁶⁾		10,000		12,478

Chicago O’Hare International Airport Revenue Refunding Bonds, Series B,

5.00%, 1/1/29		5,000		5,836

Cook County Community Consolidated School District No. 21 Wheeling G.O. Unlimited Bonds, Series A (BAM Insured),

3.00%, 12/1/35		830		883

Cook County Sales Tax Revenue Refunding Bonds,

5.00%, 11/15/33		5,000		6,003

5.25%, 11/15/35		5,000		6,049

Cook County School District No. 81 Schiller Park G.O. Unlimited Bonds (BAM Insured),

3.00%, 12/1/35		1,000		1,096

Illinois State Finance Authority Academic Facilities Lease Revenue Bonds, University of Illinois at Urbana-Champaign,

5.00%, 10/1/44		1,030		1,228

Illinois State Finance Authority Revenue Bonds, Series B-1, OSF Healthcare System,

11/15/24⁽¹⁾^{(2) (3) (6)}		1,000		1,151

Illinois State Finance Authority Revenue Bonds, Township High School District,

4.00%, 12/1/32		1,940		2,359


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Illinois – 2.9% continued

Illinois State Finance Authority Revenue Refunding Bonds, Edward-Elmhurst Healthcare,

4.25%, 1/1/44		$5,000		$5,587

Illinois State Finance Authority Revenue Refunding Bonds, Northshore University Healthsystem,

5.00%, 8/15/21		1,000		1,038

3.25%, 8/15/49		2,500		2,632

Illinois State Finance Authority Revenue Refunding Bonds, Series A, Rush University Medical Center,

5.00%, 11/15/38		1,955		2,210

Illinois State Finance Authority Variable Revenue Bonds, Series B-2,

11/15/26^(1) (2)^(3) (6)		1,250		1,519

Illinois State Municipal Electric Agency Power Supply Revenue Refunding Bonds, Series A,

4.00%, 2/1/33		7,000		7,724

Illinois State Toll Highway Authority Senior Revenue Bonds, Series B,

5.00%, 1/1/33		1,720		2,076

5.00%, 1/1/41		3,000		3,553

Lake County Community Consolidated School District No. 41 Lake Villa G.O. Unlimited Bonds (BAM Insured),

11/1/31⁽⁶⁾		1,000		1,199

Peoria County G.O. Unlimited Refunding Bonds, Series B,

5.00%, 12/15/28		1,760		2,251

4.00%, 12/15/29		1,765		2,122

University of Illinois Revenues Auxiliary Facilities System Revenue Bonds, Series A,

5.00%, 4/1/33		1,885		2,086

Will Grundy Etc. Counties Community College District No. 525 G.O. Unlimited Refunding Bonds, Alternative Revenue Source,

5.25%, 6/1/36		2,500		2,845

				87,567


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Indiana – 1.0%

Indiana Finance Authority Wastewater Utility Revenue Bonds, Series A, First Lien, CWA Authority,

5.25%, 10/1/31		$5,750		$6,026

5.25%, 10/1/38		2,980		3,121

4.25%, 10/1/44		10,000		10,971

Indiana State Finance Authority Hospital Revenue Refunding Bonds, Series A, University Health Obligated Group,

5.00%, 12/1/40		4,000		4,568

Indiana State Health & Educational Facilities Financing Authority Ascension Senior Credit Group Revenue Refunding Bonds,

4.00%, 11/15/46		2,500		2,793

Indiana State University Revenue Bonds, Series S, Student Fee,

4.00%, 10/1/37		1,855		2,105

Porter County Jail Building Corp. First Mortgage Revenue Refunding Bonds (AGM Insured),

5.50%, 7/10/21		400		410

5.50%, 1/10/24		1,135		1,263

				31,257

Iowa – 0.3%

College Community School District G.O. Unlimited Refunding Bonds,

3.00%, 5/1/21		2,285		2,322

Pefa Inc., Iowa Gas Project Revenue Bonds,

5.00%, 9/1/26⁽¹⁾^{(2) (3)}		5,000		6,067

				8,389

Kentucky – 3.0%

Fayette County School District Finance Corp. Revenue Bonds, Series A (State Intercept Program),

4.00%, 5/1/38		5,000		5,591

Jefferson County School District Finance Corp. School Building Revenue Bonds, Series A (State Intercept Program),

4.00%, 6/1/31		3,935		4,488


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Kentucky – 3.0% continued

Kentucky State Economic Development Finance Authority Revenue Refunding Bonds, Series A, Commonspirit Health,

5.00%, 8/1/34		$750		$928

5.00%, 8/1/35		550		677

5.00%, 8/1/36		750		920

Kentucky State Public Energy Authority Gas Supply Revenue Bonds, Series C, Gas Supply,

4.00%, 2/1/28⁽¹⁾^{(2) (3)}		15,000		17,625

Kentucky State Public Energy Authority Gas Supply Revenue Bonds, Series C-1, Gas Supply,

4.00%, 6/1/25⁽¹⁾^{(2) (3)}		15,000		16,978

Kentucky State Public Energy Authority Revenue Bonds, Series B, Gas Supply,

4.00%, 1/1/25⁽¹⁾^{(2) (3)}		26,725		29,951

Louisville & Jefferson County Metropolitan Sewer District & Drain System Revenue Bonds, Series A,

5.00%, 5/15/34		3,000		3,127

Louisville & Jefferson County Metropolitan Sewer District and Drainage System Subordinated BANS,

10/20/21⁽⁶⁾		10,000		10,485

Trimble County Pollution Control Variable Revenue Refunding Bonds (AMT), Louisville Gas and Electric Co.,

1.30%, 9/1/27⁽¹⁾^{(2) (3)}		1,000		997

				91,767

Louisiana – 1.4%

East Baton Rouge Parish Capital Improvements District MovEBR Sales TRB,

4.00%, 8/1/34		2,180		2,665

East Baton Rouge Parish Sales Tax Revenue Refunding Bonds (AGM Insured),

5.00%, 8/1/29		1,370		1,802

Louisiana Public Facilities Authority Revenue Refunding Bonds, Ochsner Clinic, Unrefunded Balance,

5.00%, 5/15/47		2,925		3,337


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Louisiana – 1.4% continued

Louisiana Public Facilities Authority Revenue Refunding Bonds, Tulane University of Louis,

4.00%, 4/1/39		$3,000		$3,435

5.00%, 4/1/45		3,000		3,665

Louisiana State G.O. Unlimited Bonds,

4.00%, 5/1/32		2,500		2,797

Louisiana State G.O. Unlimited Bonds, Series A,

4.00%, 5/15/32		6,500		6,977

Louisiana State G.O. Unlimited Refunding Bonds, Series C,

5.00%, 7/15/24		2,825		3,203

Louisiana State Gas & Fuels Revenue Refunding Bonds, Series A-1,

4.00%, 5/1/32		5,000		5,229

Louisiana State Highway Improvement Revenue Bonds, Series A,

5.00%, 6/15/30		5,390		6,192

Louisiana State Local Government Environmental Facilities & Community Development Authority Revenue Refunding Bonds, Series A, Woman’s Hospital Foundation Project,

5.00%, 10/1/30		1,505		1,838

Saint John The Baptist Parish Revenue Refunding Bonds, Marathon Oil Corporation Project,

2.20%, 7/1/26^{(1) (2) (3)}		1,000		1,003

				42,143

Maryland – 3.7%

Anne Arundel County Consolidated General Improvements G.O. Limited Bonds,

5.00%, 10/1/31		1,455		1,959

Baltimore County Metropolitan District G.O. Unlimited BANS,

4.00%, 3/22/21		15,000		15,274

Howard County G.O. Unlimited Refunding Bonds, Series D,

5.00%, 2/15/30		2,500		3,247

5.00%, 2/15/31		10,000		12,934

Maryland State & Local Facilities Loan G.O. Unlimited Bonds, Series 2,

5.00%, 8/1/30		10,000		13,097


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Maryland – 3.7% continued

Maryland State Department of Transportation Consolidated Transportation Revenue Bonds, Second Issue,

5.00%, 10/1/27		$10,000		$12,613

Maryland State G.O. Unlimited Bonds, Group 2, State & Local Facilities Loan,

5.00%, 8/1/33		10,000		13,579

5.00%, 8/1/34		2,500		3,383

Maryland State G.O. Unlimited Bonds, Series A,

5.00%, 8/1/29		5,000		6,424

Maryland State G.O. Unlimited Bonds, Series A Group 2, State & Local Facilities Loan,

5.00%, 3/15/33		2,500		3,369

Saint Mary’s County G.O. Unlimited Bonds,

5.00%, 8/1/24		500		590

Washington Suburban Sanitary District Consolidated Public Improvement G.O. Unlimited Revenue Bonds, Second Series (County Gtd.),

5.00%, 6/1/37		5,000		6,054

Washington Suburban Sanitary District Consolidated Public Improvement Revenue Bonds (County Gtd.),

5.00%, 6/1/32		2,000		2,592

Washington Suburban Sanitary District Revenue Bonds (County Gtd.),

5.00%, 12/1/29		2,000		2,735

Washington Suburban Sanitary District Revenue Refunding Bonds, Consolidated Public Improvement (County Gtd.),

4.00%, 6/1/21		14,705		15,083

				112,933

Massachusetts – 1.9%

Boston G.O. Unlimited Bonds, Series A,

5.00%, 3/1/36		1,000		1,305

Boston Water & Sewer Commission General Revenue Refunding Bonds, Series A, Senior Lien,

3.50%, 11/1/33		4,030		4,217


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Massachusetts – 1.9% continued

Lincoln School G.O. Unlimited Bonds,

3.50%, 3/1/44		$2,000		$2,209

Massachusetts State Bay Transportation Authority Sales Tax Revenue Refunding CABS, Series A,

0.00%, 7/1/29⁽⁷⁾		3,000		2,572

Massachusetts State Development Finance Agency Revenue Bonds, Series B, Harvard University, Prerefunded,

5.00%, 10/15/20⁽⁴⁾		2,585		2,590

Massachusetts State Development Finance Agency Revenue Refunding Bonds, Northeastern University, Series A,

5.00%, 10/1/32		1,715		2,294

Massachusetts State Development Finance Agency Revenue Refunding Bonds, Partners Healthcare System,

5.00%, 7/1/29		1,625		2,048

Massachusetts State Development Finance Agency Revenue Refunding Bonds, Series A-2,

5.00%, 7/1/39		1,500		1,885

4.00%, 7/1/41		1,200		1,376

Massachusetts State Development Finance Agency Revenue Refunding Bonds, Suffolk University,

5.00%, 7/1/29		500		615

Massachusetts State Health & Educational Facilities Authority Revenue Bonds, Mass Institute Technology,

5.50%, 7/1/32		2,500		3,685

Massachusetts State School Building Authority Sales Tax Revenue Refunding Bonds, Senior Series B, Social Bonds,

0.79%, 8/15/24		5,000		5,026

Massachusetts State School Building Authority Sales TRB, Senior Series A, Unrefunded Balance,

5.00%, 5/15/38		2,355		2,607

Massachusetts State School Building Authority Sales TRB, Series A, Social Bonds,

5.00%, 8/15/33		1,100		1,484


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Massachusetts – 1.9% continued

Massachusetts State School Building Authority Sales TRB, Series B, Senior Lien,

5.00%, 11/15/39		$5,000		$6,128

Massachusetts State Special Obligation Dedicated Refunding Revenue Bonds, (NATL Insured),

5.50%, 1/1/34		2,500		3,419

Massachusetts State Special Obligation Revenue Bonds, Series A, Consolidated Loan (AGM Insured),

5.50%, 6/1/21		500		518

Massachusetts State Water Resources Authority General Revenue Bonds, Series B,

5.00%, 8/1/43		5,000		6,269

University of Massachusetts Building Authority Project Revenue Bonds, Senior-Series 1,

4.00%, 11/1/43		7,500		7,901

				58,148

Michigan – 1.7%

Battle Creek School District G.O. Unlimited Refunding Bonds (Q-SBLF Insured),

5.00%, 5/1/27		1,540		1,900

Chippewa Valley Schools G.O. Unlimited Refunding Bonds, Series A, (Q-SBLF Insured),

5.00%, 5/1/27		400		490

Ferndale Public Schools G.O. Unlimited Bonds (Q-SBLF Insured),

3.00%, 5/1/45		2,000		2,093

Michigan State Building Authority Facilities Program Revenue Refunding Bonds, Series I-A,

5.00%, 10/15/29		5,000		5,664

Michigan State Building Authority Facilities Program Revenue Refunding Bonds, Series II-A,

5.00%, 10/15/27		10,000		10,501

Michigan State Building Authority Revenue Refunding Bonds, Series I,

3.00%, 10/15/45		5,000		5,243


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Michigan – 1.7% continued

Michigan State Finance Authority Clean Water State Revolving Fund Subordinate Revenue Refunding Bonds,

5.00%, 10/1/25		$3,970		$4,355

Michigan State Finance Authority Hospital Revenue Refunding Bonds, Trinity Health Credit Group, Prerefunded,

5.00%, 12/1/22⁽⁴⁾		1,000		1,102

Michigan State Municipal Bond Authority Revenue Bonds, Clean Water Fund, Unrefunded Balance,

4.75%, 10/1/23		345		346

University of Michigan Taxable Revenue Refunding Bonds, Series B,

1.37%, 4/1/27		1,000		1,009

Walled Lake Consolidated School District G.O. Unlimited Bonds (Q-SBLF Insured),

5.00%, 5/1/34		1,000		1,332

5.00%, 5/1/35		1,250		1,656

Wayne County Airport Authority Revenue Bonds, Series D,

5.00%, 12/1/34		3,400		3,984

Wayne County Airport Authority Revenue Bonds, Series D (AGM Insured),

5.00%, 12/1/32		9,690		11,459

				51,134

Minnesota – 0.1%

Minnesota State G.O. Unlimited Bonds, Series A,

5.00%, 8/1/38		1,500		1,901

Minnesota State G.O. Unlimited Bonds, Series A, Escrowed to Maturity,

5.00%, 10/1/20		75		75

Minnesota State Municipal Power Agency Electric Revenue Refunding Bonds, Series A,

5.00%, 10/1/29		1,000		1,170

Minnesota State Various Purpose G.O. Unlimited Bonds, Prerefunded,

5.00%, 8/1/22⁽⁴⁾		245		266

				3,412


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Mississippi – 0.2%

Mississippi State G.O. Unlimited Bonds, Series A,

5.00%, 11/1/32		$3,500		$4,336

Mississippi State Taxable G.O. Unlimited Refunding Bonds, Series A,

0.72%, 11/1/25		2,000		2,006

				6,342

Missouri – 0.7%

Kansas City Sanitation Sewer System Revenue Bonds, Subseries A,

4.00%, 1/1/42		3,000		3,502

Metropolitan Saint Louis Sewer District Wastewater System Revenue Refunding & Improvement Bonds, Series A,

5.00%, 5/1/30		5,000		6,335

Missouri State Environmental Improvement & Energy Resources Authority Revenue Refunding Bonds, Series A-R, Union Electric Co. Project,

2.90%, 9/1/33		5,000		5,457

Missouri State Environmental Improvement & Energy Resources Authority Water Pollution Revenue Refunding Bonds, Series B,

5.00%, 1/1/26		1,480		1,794

Missouri State Environmental Improvement & Energy Resources Authority Water Pollution State Revolving Funds Revenue Refunding Bonds, Escrowed to Maturity,

5.00%, 7/1/23		125		141

Missouri State Health & Educational Facilities Authority Health Facilities Revenue Refunding Bonds, Series A, Mercy Health,

5.00%, 6/1/30		2,500		3,167

Wentzville School District No. R-4 G.O. Unlimited Refunding CABS, Missouri Direct Deposit Program (State Aid Direct Deposit Program),

0.00%, 3/1/27⁽⁷⁾		2,100		1,865

				22,261


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Nebraska – 0.8%

Lancaster County School District No. 1 G.O. Unlimited Refunding Bonds,

5.00%, 1/15/27		$3,760		$4,547

Lincoln Electric System Revenue Bonds, Series A,

5.00%, 9/1/32		3,035		4,064

Omaha Public Power District Electric Revenue Refunding Bonds, Series A,

4.00%, 2/1/42		5,000		5,660

Omaha Public Power District Electric Revenue Bonds, Series A,

5.00%, 2/1/30		4,740		6,282

Omaha Public Power District Electric Revenue Bonds, Series B, Prerefunded,

5.00%, 2/1/22⁽⁴⁾		3,000		3,191

				23,744

Nevada – 1.0%

Clark County Airport System Subordinate Lien Revenue Refunding Bonds Series A-2,

4.25%, 7/1/34		2,500		2,708

Clark County Flood Detention Center G.O. Limited Bonds,

5.00%, 6/1/31		1,000		1,298

Clark County G.O. Limited Bonds (AMBAC Insured),

3.00%, 11/1/33		3,415		3,417

Clark County School District Building G.O. Limited Bonds, Series B (AGM, CR Insured),

5.00%, 6/15/31		6,000		7,595

Clark County School District G.O. Limited Bonds, Series B (AGM Insured),

5.00%, 6/15/31		1,000		1,285

Clark County School District G.O. Limited Bonds, Series D,

4.00%, 6/15/34		6,200		6,856

Clark County School District G.O. Limited Bonds, Various Purpose-Medium Term,

3.00%, 6/15/26		1,265		1,289


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Nevada – 1.0% continued

Washoe County School District G.O. Limited Bonds, Series C, School Improvement Bonds (AGM Insured),

3.25%, 10/1/42		$6,500		$6,818

				31,266

New Jersey – 0.9%

Monmouth County Improvement Authority Revenue Notes, Series A (County Gtd.),

2.00%, 7/12/21		750		760

New Jersey State EDA Revenue Bonds, Transit Transportation Project,

5.00%, 11/1/34		3,000		3,490

New Jersey State EDA Revenue Refunding Bonds, Series II, School Facilities Construction, Prerefunded,

5.00%, 3/1/22⁽⁴⁾		3,290		3,515

New Jersey State EDA Revenue School Facilities Construction Revenue Bonds,

5.00%, 6/15/28		1,440		1,724

5.00%, 6/15/34		500		583

New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series BB,

5.00%, 6/15/44		5,000		5,557

New Jersey State Transportation Trust Fund Authority Revenue Bonds, Transportation Program,

5.00%, 6/15/34		1,000		1,153

5.25%, 6/15/43		2,500		2,830

New Jersey State Transportation Trust Fund Authority Revenue Refunding Bonds, Series A, Transportation System,

5.00%, 12/15/27		1,500		1,788

Union County G.O. Unlimited Bonds,

0.63%, 3/1/26		5,545		5,572

				26,972

NewMexico – 0.1%

New Mexico State Finance Authority Revenue Bonds, Series C,
5.00%, 6/1/23		2,770		2,858


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

New York – 13.3%

Metropolitan Transportation Authority Revenue Bonds, Series A,

5.00%, 11/15/23		$2,130		$2,220

Metropolitan Transportation Authority Revenue Bonds, Series G, Prerefunded,

5.25%, 11/15/20⁽⁴⁾		5,000		5,031

Metropolitan Transportation Authority Revenue Refunding Bonds, Series C-1, Green Bonds,

4.00%, 11/15/31		4,000		3,985

Metropolitan Transportation Authority Revenue Refunding Bonds, Subseries C-1,

5.25%, 11/15/28		5,000		5,307

Monroe County Industrial Development Corp. Revenue Bonds, University of Rochester Project,

4.00%, 7/1/50		5,000		5,697

Monroe County Industrial Development Corp. Revenue Refunding Bonds, Series B, University of Rochester Project,

5.00%, 7/1/26		2,500		3,119

New York City Housing Development Corp. MFH Adjustable Revenue Bonds, Sustainable Development,

1.13%, 11/1/24⁽¹⁾⁽²⁾ ⁽³⁾		1,000		1,007

New York City Housing Development Corp. MFH Revenue Bonds, Series B1B,

3.88%, 11/1/28		4,060		4,276

New York City Housing Development Corp. MFH Revenue Refunding Bonds, Sustainable Neighborhood Bonds (FNMA Insured),

2.95%, 2/1/26⁽¹⁾⁽²⁾ ⁽³⁾		4,000		4,359

New York City Municipal Water Finance Authority Water & Sewer System Revenue Bonds, Second General Resolution, Fiscal 2014,

5.00%, 6/15/46		5,000		5,565

New York City Municipal Water Finance Authority Water & Sewer System Revenue Bonds, Series BB-2,

5.00%, 6/15/26		1,700		2,025


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

New York – 13.3% continued

New York City Municipal Water Finance Authority Water & Sewer System Revenue Refunding Bonds, Series DD-2 Block 5,

5.00%, 6/15/40		$5,000		$6,167

New York City Municipal Water Finance Authority Water & Sewer System Revenue Refunding Bonds, Series EE,

5.00%, 6/15/29		3,500		4,297

5.25%, 6/15/36		2,500		3,130

New York City Municipal Water Finance Authority Water & Sewer System Revenue Refunding Bonds, Series GG,

5.00%, 6/15/31		4,765		5,720

5.00%, 6/15/39		8,000		9,488

New York City Transitional Finance Authority Building Aid Revenue Bonds, Series S-3 (State Aid Withholding),

5.00%, 7/15/43		3,000		3,652

New York City Transitional Finance Authority Building Aid Revenue Bonds, Subseries S-1A (State Aid Withholding),

5.00%, 7/15/26		10,000		10,365

New York City Transitional Finance Authority Building Aid Revenue Refunding Bonds, Series S-3 Subseries S-3A (State Aid Withholding),

5.00%, 7/15/36		5,000		6,201

5.00%, 7/15/37		10,000		12,363

New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Fiscal 2015,

5.00%, 8/1/32		2,500		2,894

New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Subseries A-1,

5.00%, 5/1/38		2,500		2,500

New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Subseries E-1,

5.00%, 2/1/31		5,000		5,298


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

New York – 13.3% continued

New York City Transitional Finance Authority Future Tax Secured Revenue Refunding Bonds,

5.00%, 11/1/33		$5,000		$6,579

New York City Transitional Finance Authority Future Tax Secured Revenue Refunding Bonds, Series B,

5.00%, 11/1/25		1,000		1,051

New York City Transitional Finance Authority Future Tax Secured Subordinate Revenue Bonds,

5.00%, 8/1/40		2,000		2,448

5.00%, 8/1/42		1,500		1,826

New York City Transitional Finance Authority Future Tax Secured Subordinate Revenue Bonds, Series B,

5.00%, 2/1/22		2,000		2,032

New York City Transitional Finance Authority Future Tax Secured Subordinate Revenue Bonds, Subseries A2,

5.00%, 5/1/38		2,280		2,850

New York City Transitional Finance Authority Future Tax Secured Subordinate Revenue Bonds, Unrefunded Balance,

5.00%, 11/1/21		4,995		4,995

5.00%, 2/1/30		5,000		5,299

New York City Transitional Finance Authority Future Tax Subordinate Revenue Bonds,

4.00%, 5/1/41		2,000		2,316

New York City Transitional Finance Authority Subordinate Revenue Bonds, Series 2,

5.00%, 11/1/21		10,000		10,520

New York City Transitional Finance Authority Subordinate Revenue Bonds, Series C-3,

5.00%, 5/1/41		5,000		6,074

New York G.O. Unlimited Bonds, Series D, Subseries D1,

5.00%, 12/1/39		10,000		12,140

New York G.O. Unlimited Bonds, Series D-1,

4.00%, 3/1/42		2,500		2,857


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

New York – 13.3% continued

New York G.O. Unlimited Bonds, Series E, Unrefunded Balance,

5.00%, 11/1/25		$5		$5

New York G.O. Unlimited Bonds, Series E-1,

5.25%, 3/1/34		2,750		3,419

5.00%, 3/1/37		3,700		4,457

4.00%, 3/1/41		5,000		5,590

4.00%, 3/1/42		5,000		5,575

New York G.O. Unlimited Bonds, Series H,

5.00%, 8/1/30		5,000		5,625

New York G.O. Unlimited Bonds, Subseries F-1,

5.00%, 4/1/36		1,150		1,393

5.00%, 3/1/37		5,000		5,500

5.00%, 4/1/43		2,000		2,376

New York G.O. Unlimited Refunding Bonds, Series A-1,

5.00%, 8/1/28		1,855		2,378

5.00%, 8/1/29		4,425		5,762

New York G.O. Unlimited Refunding Bonds, Series B-1,

5.00%, 11/1/28		11,190		14,414

New York G.O. Unlimited Refunding Bonds, Series E,

5.00%, 8/1/28		1,045		1,281

New York State Dormitory Authority Non State Supported Debt Revenue Bonds, School Districts Financing Program (AGC State Aid Withholding), Unrefunded Balance,

5.25%, 10/1/23		170		171

New York State Dormitory Authority Non State Supported Debt Revenue Bonds, Series A,

5.00%, 7/1/36		2,500		3,098

New York State Dormitory Authority Non State Supported Debt Revenue Bonds, Series C,

5.00%, 10/1/31		665		830

5.00%, 10/8/32		575		713


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

New York – 13.3% continued

New York State Dormitory Authority Non State Supported Debt Revenue Refunding Bonds, School Districts Financing Program (AGM State Aid Withholding),

5.00%, 10/1/22		$1,585		$1,727

New York State Dormitory Authority Non State Supported Debt Revenue Refunding Bonds, Series C, Rockefeller,

4.00%, 7/1/49		1,000		1,155

New York State Dormitory Authority Personal Income Tax Revenue Refunding Bonds, Series B, Education (AMBAC Insured),

5.50%, 3/15/30		7,040		9,678

New York State Dormitory Authority Revenues Non State Supported Debt Revenue Bonds, Series A, Columbia University,

5.00%, 10/1/50		5,000		8,017

New York State Dormitory Authority Sales Tax Revenue Refunding Bonds, Series E, Group 3,

5.00%, 3/15/42		5,000		6,133

New York State Dormitory Authority Sales TRB, Series A, Group B,

5.00%, 3/15/28		1,910		2,376

New York State Dormitory Authority Sales TRB, Series A, Group C,

5.00%, 3/15/44		3,755		4,477

New York State Dormitory Authority Sales TRB, Series A, Prerefunded,

5.00%, 3/15/23⁽⁴⁾		10,000		11,187

New York State Dormitory Authority State Personal Income Tax Revenue Refunding Bonds, Series A,

5.25%, 3/15/39		2,000		2,494

New York State Dormitory Authority State Personal Income Tax Revenue Refunding Bonds, Series D,

5.00%, 2/15/32		5,000		6,528

New York State Dormitory Authority State Personal Income Tax Revenue Refunding Bonds, Series E,

3.25%, 3/15/35		2,000		2,073

3.25%, 3/15/36		10,000		10,335


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

New York – 13.3% continued

New York State Dormitory Authority State Personal Income Tax Taxable Revenue Refunding Bonds, Series F,

3.03%, 2/15/33		$2,500		$2,747

New York State Dormitory Authority State Personal Income TRB, Series A, Unrefunded Balance,

5.00%, 2/15/43		2,000		2,382

New York State Dormitory Authority State Personal Income TRB, Series B, Unrefunded Balance,

5.00%, 3/15/33		1,490		1,580

New York State Environmental Facilities Corp. State Clean & Drinking Water Revenue Refunding Bonds, Series A,

5.00%, 6/15/21		1,500		1,552

New York State Environmental Facilities Corp. State Clean & Drinking Water Revolving Funds Revenue Bonds, New York City Municipal Water,

5.00%, 6/15/36		5,000		5,151

New York State G.O. Unlimited Bonds, Series A,

3.00%, 3/1/31		2,280		2,387

New York State HFA Revenue Bonds, Series F,

1.10%, 11/1/26		1,500		1,500

New York State Housing Finance Agency Sustainability Revenue Bonds, Series K,

1.45%, 5/1/23		5,000		5,052

New York State Local Government Assistance Corp. Revenue Refunding Bonds, Series E (AGM, CR Insured),

5.00%, 4/1/21		2,605		2,668

New York State Thruway Authority Revenue Bonds, Series N, Group 1,

5.00%, 1/1/39		10,000		12,624

New York State Urban Development Corp. General Purpose Personal Income TRB,

5.00%, 3/15/37		5,000		6,178

5.00%, 3/15/40		2,500		3,059

New York State Urban Development Corp. Personal Income TRB, Series A-1,

5.00%, 3/15/43		1,500		1,645


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

New York – 13.3% continued

New York State Urban Development Corp. Personal Income TRB, Series E,

5.00%, 3/15/25		$1,550		$1,725

New York State Urban Development Corp. Revenue Refunding Bonds, State Personal Income Tax,

5.00%, 3/15/33		4,500		5,876

New York State Urban Development Corp. State Personal Income Tax Revenue Refunding Bonds,

5.00%, 3/15/47		4,650		5,794

New York State Urban Development Corp. Taxable General Personal Income TRB,

3.90%, 3/15/33		5,000		5,672

Port Authority of New York & New Jersey Consolidated Revenue Bonds, Series 185 (AMT),

5.00%, 9/1/26		1,130		1,302

Port Authority of New York & New Jersey Consolidated Revenue Refunding Bonds, Series 222,

5.00%, 7/15/35		1,000		1,278

4.00%, 7/15/36		3,000		3,510

Port Authority of New York & New Jersey Revenue Refunding Bonds, Series 207 (AMT),

5.00%, 9/15/28		2,000		2,513

5.00%, 9/15/29		5,000		6,226

Sales Tax Asset Receivable Corp. Revenue Refunding Bonds, Series A, Fiscal 2015,

5.00%, 10/15/22		1,000		1,099

5.00%, 10/15/28		2,500		2,954

5.00%, 10/15/29		2,500		2,951

4.00%, 10/15/32		1,000		1,097

Triborough Bridge & Tunnel Authority Revenue Bonds, Series D,

5.00%, 11/15/33		1,300		1,701

Troy Capital Resource Corp. Revenue Refunding Bonds, Rensselaer Polytechnic Institute Project, Forward Delivery,

5.00%, 9/1/39		1,500		1,797


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

New York – 13.3% continued

Utility Debt Securitization Authority Restructuring Revenue Refunding Bonds,

5.00%, 12/15/37		$2,500		$3,026

Utility Debt Securitization Authority Revenue Bonds, Restructuring Bonds, Series TE,

5.00%, 12/15/41		1,000		1,135

				402,601

North Carolina – 2.8%

Charlotte COPS, Series B,

3.00%, 6/1/22		20,330		20,372

Charlotte Douglas International Airport Revenue Refunding Bonds,

5.00%, 7/1/26		2,420		2,798

Charlotte G.O. Unlimited Refunding Bonds, Series B,

5.00%, 7/1/27		3,500		3,954

Charlotte Water & Sewer System Revenue Refunding Bonds,

5.00%, 7/1/29		5,000		6,775

5.00%, 7/1/30		1,000		1,381

5.00%, 7/1/31		5,000		6,519

4.00%, 7/1/36		6,790		7,691

Charlotte-Mecklenburg Hospital Authority Health Care System Revenue Refunding Bonds, Series A, Atrium Health,

5.00%, 1/15/35		5,000		6,259

Raleigh Durham Airport Authority Revenue Refunding Bonds, Series A (AMT),

5.00%, 5/1/36		1,000		1,260

University of North Carolina at Chapel Hill Variable Revenue Refunding Bonds, Series B,

(Floating, ICE LIBOR USD 1M + 0.35%), 0.45%, 12/1/21⁽¹⁾⁽³⁾		15,000		15,000

Wake County G.O. Unlimited Refunding Bonds, Series B,

5.00%, 3/1/21		10,000		10,202

Western Carolina University Revenue Bonds, Series B,

3.00%, 4/1/36		1,000		1,062

				83,273


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Ohio – 1.2%

Hamilton County Hospital Facilities Revenue Bonds, Cincinnati Children’s Hospital Project,

5.00%, 11/15/41		$4,750		$7,086

5.00%, 11/15/49		4,000		6,293

Ohio State Higher Education G.O. Unlimited Infrastructure Improvement Bonds, Series A,

4.00%, 2/1/32		2,500		2,629

Ohio State Higher Educational Facility Revenue Bonds, Denison University Project,

5.00%, 11/1/39		1,365		1,724

Ohio State Infrastructure Improvement G.O. Unlimited Refunding Bonds, Series C,

4.00%, 8/1/21		5,000		5,161

Ohio State Turnpike Commission Revenue Refunding Bonds, Series A,

5.00%, 2/15/28		2,000		2,530

Ohio State University Revenue Bonds, Series A,

5.00%, 12/1/39		5,000		5,837

Ohio State Water Development Authority Water PCR Loan Fund Bonds, Series A,

5.00%, 12/1/33		2,000		2,694

5.00%, 12/1/37		2,000		2,649

				36,603

Oklahoma – 0.1%

Norman Regional Hospital Authority Revenue Bonds, Norman Regional Hospital Authority,

4.00%, 9/1/45		2,000		2,164

Oregon – 0.9%

Clackamas Community College District G.O. Unlimited Bonds, Series B,

5.00%, 6/15/36		1,600		1,974

Lake Oswego G.O. Limited Refunding Bonds,

5.00%, 6/1/33		2,130		2,876

Medford Hospital Facilities Authority Revenue Refunding Bonds, Series A, Asante Project (AGM Insured),

2.50%, 8/15/35		2,500		2,562


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Oregon – 0.9% continued

Metropolitan Dedicated TRB, Oregon Convention Center Hotel,

5.00%, 6/15/42		$2,065		$2,491

Oregon State Department of Administrative Services Lottery Revenue Refunding Bonds, Series D (Moral Obligation Insured),

5.00%, 4/1/27		1,315		1,583

Oregon State Department of Transportation Highway User Taxable Revenue Refunding Bonds, Series B, Senior Lien,

0.57%, 11/15/24		2,000		2,000

0.69%, 11/15/25		5,000		4,997

Oregon State G.O. Unlimited Refunding Bonds, Series L,

5.00%, 8/1/31		2,745		3,488

Oregon State Taxable G.O. Unlimited Bonds, Series D, Article XI-Q State Project,

0.50%, 5/1/22		685		687

Oregon State Taxable G.O. Unlimited Refunding Bonds, Series H, Article XI-Q State Project,

0.90%, 11/1/25		3,200		3,235

				25,893

Pennsylvania – 2.7%

Commonwealth Financing Authority Taxable Revenue Bonds, Series A,

3.81%, 6/1/41		2,000		2,274

Commonwealth Financing Authority Tobacco Master Settlement Payment Revenue Bonds,

5.00%, 6/1/25		1,000		1,199

5.00%, 6/1/26		1,500		1,851

5.00%, 6/1/27		3,000		3,790

5.00%, 6/1/31		2,000		2,528

Montgomery County G.O. Unlimited Refunding Bonds,

5.00%, 3/1/22		915		978

Neshaminy School District G.O. Limited Bonds, Series B (State Aid Withholding),

5.00%, 11/1/34		5,000		5,737


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Pennsylvania – 2.7% continued

Pennsylvania State G.O. Unlimited Bonds, First Series 2020,

5.00%, 5/1/30		$5,000		$6,739

Pennsylvania State G.O. Unlimited Bonds, Series 1,

4.00%, 6/1/29		5,000		5,272

4.00%, 6/1/30		5,555		5,849

4.00%, 3/15/35		7,500		8,389

Pennsylvania State Higher Educational Facilities Authority Revenue Bonds, University of Pennsylvania Health System,

5.00%, 8/15/29		4,500		5,992

5.00%, 8/15/37		5,000		6,075

Pennsylvania State Turnpike Commission Revenue Bonds, Series A,

5.00%, 12/1/38		5,000		5,641

Pennsylvania State Turnpike Commission Revenue Bonds, Series A-2,

5.00%, 12/1/37		11,635		14,432

Philadelphia Water & Wastewater Revenue Bonds, Series A,

5.00%, 11/1/45		3,500		4,453

				81,199

Rhode Island – 0.4%

Rhode Island Health & Educational Building Corp. Public Schools Revenue Bond Financing Program Revenue Bonds, Series B, Town of Lincoln Issue,

5.00%, 5/15/33		3,245		4,291

4.00%, 5/15/35		1,610		1,946

Rhode Island State & Providence Plantations G.O. Unlimited Bonds, Series B, Consolidated Capital Development Loan,

5.00%, 10/15/27		2,630		2,872

Rhode Island State & Providence Plantations G.O. Unlimited Refunding Bonds, Series A, Consolidated Capital Development Loan,

5.00%, 8/1/21		1,000		1,040


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Rhode Island – 0.4% continued

Rhode Island State Clean Water Finance Agency Pollution Control Subordinated Revenue Refunding Bonds, Subseries A, Prerefunded,

5.00%, 10/1/20⁽⁴⁾		$2,880		$2,880

				13,029

South Carolina – 2.3%

Beaufort-Jasper Water & Sewer Authority South Carolina Waterworks & Sewer System Revenue Bonds, Series A,

5.00%, 3/1/30		2,530		3,359

Charleston County Capital Improvement Transportation Sales Tax G.O. Unlimited Bonds (State Aid Withholding), Prerefunded,

5.00%, 11/1/21⁽⁴⁾		2,500		2,631

Charleston County School District G.O. Unlimited BANS, Phase IV Sales Tax Project (SCSDE Insured),

5.00%, 5/12/21		10,000		10,294

Charleston Waterworks & Sewer System Revenue Bonds,

5.00%, 1/1/44		5,000		6,466

Patriots Energy Group Financing Agency South Carolina Gas Supply Revenue Bonds, Series A,

4.00%, 2/1/24⁽¹⁾^{(2) (3)}		10,000		11,056

Piedmont Municipal Power Agency Electric Revenue Bonds, Series 2004 (BHAC, CR MBIA Insured),

5.38%, 1/1/25		4,870		5,798

Richland County School District No.2 G.O. Unlimited Bonds, Series A (SCSDE Insured),

3/1/30⁽⁶⁾		2,565		3,173

SCAGO Educational Facilities Corp. Cherokee School District No. 1 Revenue Refunding Bonds,

5.00%, 12/1/25		500		593

South Carolina State Transportation Infrastructure Bank Revenue Refunding Bonds, Series A, Prerefunded,

5.00%, 10/1/21⁽⁴⁾		1,270		1,331


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

South Carolina – 2.3% continued

South Carolina State Transportation Infrastructure Bank Variable Revenue Refunding Bonds, Series 2003B,

(Floating, ICE LIBOR USD 1M + 0.45%), 0.55%, 10/1/22⁽¹⁾⁽³⁾		$24,880		$24,752

				69,453

Tennessee – 1.3%

Blount County G.O. Unlimited Refunding Bonds, Series B,

5.00%, 6/1/29		4,610		5,673

Chattanooga Health Educational & Housing Facility Board Revenue Refunding Bonds, Series A, Commonspirit Health,

4.00%, 8/1/36		1,000		1,138

4.00%, 8/1/38		1,000		1,130

Knox County G.O. Unlimited Bonds,

4.00%, 6/1/28		1,000		1,148

Memphis Sanitary Sewerage System Revenue Refunding Bonds, Series B,

10/1/31⁽⁶⁾		1,000		1,372

Metropolitan Government Nashville & Davidson County G.O. Unlimited & Improvement Bonds,

5.00%, 7/1/29		5,000		6,570

Metropolitan Government Nashville & Davidson County Health & Educational Facility Board Revenue Refunding Bonds, Lipscomb University Project,

5.00%, 10/1/38		1,000		1,087

Metropolitan Government of Nashville & Davidson County G.O. Unlimited Refunding & Improvement Bonds, Series A, Unrefunded Balance,

5.00%, 7/1/24		4,600		4,612

Tennergy Corp. Gas Revenue Bonds, Series A,

5.00%, 10/1/24⁽¹⁾^{(2) (3)}		10,000		11,663

Tennessee State Energy Acquisition Corp. Gas Revenue Bonds,

4.00%, 11/1/25⁽¹⁾^{(2) (3)}		2,500		2,850


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Tennessee – 1.3% continued

Tennessee State Housing Development Agency Revenue Bonds, Series 1A (AMT), Home Ownership Program, Prerefunded,

4.13%, 1/1/21⁽⁴⁾		$1,520		$1,535

Williamson County District School G.O. Unlimited Bonds,

5.00%, 4/1/25		1,000		1,211

				39,989

Texas – 8.0%

Brownsville Independent School District G.O. Unlimited Refunding Bonds, Series A (PSF, Gtd.),

5.00%, 2/15/22		100		107

Central Regional Mobility Authority Revenue Bonds, Senior Lien,

5.00%, 1/1/43		1,930		2,304

Central Regional Mobility Authority Revenue Refunding Bonds,

5.00%, 1/1/46		500		572

Dallas Area Rapid Transit Sales Tax Revenue Refunding Bonds, Senior Lien,

5.00%, 12/1/32		10,000		13,263

Dallas Waterworks & Sewer System Revenue Refunding Bonds, Series C,

5.00%, 10/1/34		2,000		2,687

Dallas-Fort Worth International Airport Revenue Refunding Bonds, Series A,

5.00%, 11/1/33		2,000		2,614

Fort Bend Independent School District Variable G.O. Unlimited Bonds, Series A (PSF, Gtd.),

1.95%, 8/1/22⁽¹⁾^{(2) (3)}		2,110		2,174

Fort Bend Independent School District Variable G.O. Unlimited Bonds, Series B (PSF, Gtd.),

0.88%, 8/1/25⁽¹⁾^{(2) (3)}		1,500		1,512

Fort Worth Water & Sewer System Revenue Refunding Bonds, Series A,

2.00%, 2/15/33		3,060		3,170

Frisco Improvement G.O. Limited Refunding Bonds,

5.00%, 2/15/28		5,755		7,130


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Texas – 8.0% continued

Goose Creek Consolidated Independent School District Variable G.O. Unlimited Bonds, Series B (PSF, Gtd.),

3.00%, 10/1/49⁽²⁾⁽³⁾		$3,500		$3,500

Harlandale Independent School District G.O. Unlimited Refunding Bonds (PSF, Gtd.),

0.75%, 8/15/25⁽¹⁾^{(2) (3)}		5,000		5,001

Harris County Cultural Educational Facilities Finance Corp. Revenue Bonds, Series A, Memorial Hermann Health System, Prerefunded,

5.00%, 12/1/24⁽⁴⁾		3,500		4,182

Harris County Flood Control District Contract Tax Revenue Refunding Bonds, Series A, Prerefunded,

5.00%, 10/1/20⁽⁴⁾		10,000		10,000

Harris County Flood Control District G.O. Limited Bonds, Series A,

5.00%, 10/1/30		2,750		3,703

Joshua Independent School District School Building G.O. Unlimited Bonds (PSF, Gtd.), Prerefunded,

5.00%, 8/15/24⁽⁴⁾		2,000		2,364

Katy Independent School District Variable G.O. Unlimited Refunding Bonds, Series 2015C (PSF, Gtd.), (Floating, ICE LIBOR USD 1M +

0.28%), 0.38%, 8/16/21⁽¹⁾⁽³⁾		1,900		1,894

Lower Colorado River Authority Junior Lien Revenue Bonds, Seventh Supplemental Series (AGM Insured), Escrowed to Maturity,

4.75%, 1/1/28		4,640		5,368

North Texas Tollway Authority Revenue Refunding Bonds, First Tier,

5.00%, 1/1/38		2,580		2,604

North Texas Tollway Authority Revenue Refunding Bonds, Series A, First Tier,

5.00%, 1/1/35		3,000		4,145

5.00%, 1/1/38		3,000		3,674

5.00%, 1/1/39		5,000		6,108

Northside Texas Independent School District G.O. Unlimited Refunding Bonds, Series B (PSF, Gtd.),

5.00%, 2/15/30		1,640		2,130


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Texas – 8.0% continued

Pasadena Independent School District Variable G.O. Unlimited Bonds, Series B, School Building (PSF, Gtd.),

1.50%, 8/15/24⁽¹⁾^{(2) (3)}		$1,500		$1,556

Pflugerville Independent School District G.O. Unlimited Bonds, Series A (PSF, Gtd.),

5.00%, 2/15/29		1,110		1,445

Pflugerville Independent School District Tax School Building G.O. Unlimited Bonds, Series 2014 (PSF, Gtd.),

4.00%, 2/15/33		6,620		7,365

Port of Houston Authority Unlimited Tax Refunding G.O. Unlimited Bonds, Series A-2,

5.00%, 10/1/32		2,500		3,386

San Antonio Electric & Gas Junior Lien Variable Revenue Bonds,

1.75%, 12/1/25⁽¹⁾^{(2) (3)}		1,000		1,044

San Antonio Electric & Gas Variable Revenue Refunding Bonds, Series B,

2.00%, 12/1/21⁽¹⁾^{(2) (3)}		1,500		1,516

Texas State A&M University Financing System Revenue Bonds, Series D, Prerefunded,

5.00%, 5/15/23⁽⁴⁾		5,000		5,622

Texas State A&M University Revenue Refunding Bonds, Series C,

4.00%, 5/15/31		1,655		1,929

Texas State G.O. Unlimited Refunding Bonds, Series A, Transportation Commission,

5.00%, 10/1/23		70		80

Texas State Private Activity Bond Surface Transportation Corp. Revenue Refunding Bonds, LBJ Infrastructure Group,

4.00%, 12/31/31		3,000		3,520

Texas State TRANS,

4.00%, 8/26/21		87,500		90,498

Texas State Transportation Commission Central Turnpike System Taxable Revenue Refunding Bonds, Series B,

1.98%, 8/15/22⁽¹⁾^{(2) (3)}		750		753


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Texas – 8.0% continued

Texas State Transportation Commission Mobility Fund Refunding G.O. Unlimited Bonds,

4.00%, 10/1/33		$5,000		$5,662

5.00%, 10/1/34		1,500		1,751

Texas State Variable G.O. Unlimited Refunding Bonds, Water Financial Assistance,

2.25%, 8/1/22⁽¹⁾^(2) (3)		1,130		1,132

Texas State Water Development Board TRB, Series B,

2.28%, 10/15/27		315		341

2.33%, 10/15/28		295		322

Texas State Water Finance Assistance G.O. Unlimited Refunding Bonds,

5.00%, 8/1/21		4,000		4,161

Texas State Water Financial Assistance G.O. Unlimited Bonds, Unrefunded Balance,

5.00%, 8/1/21		3,000		3,121

University of Texas Revenue Refunding Bonds, Series A,

5.00%, 8/15/30		2,500		3,435

University of Texas Revenue Refunding Bonds, Series I,

5.00%, 8/15/22		750		818

University of Texas, University Revenue Bonds, Series B,

5.00%, 8/15/29		1,560		2,104

5.00%, 8/15/49		5,000		7,927

Wylie Independent School District G.O. Unlimited Bonds, Series B, Collin County (PSF, Gtd.),

2.25%, 8/15/41⁽²⁾⁽³⁾		1,750		1,786

				241,480

Utah – 0.9%

Salt Lake City Airport Revenue Bonds, Series A (AMT),

5.00%, 7/1/26		1,500		1,817

5.00%, 7/1/28		2,500		3,135

Utah State Transit Authority Sales Tax Revenue Refunding Bonds, Series A, Prerefunded,

5.00%, 6/15/25⁽⁴⁾		2,000		2,443


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Utah – 0.9% continued

Utah State Transit Authority Sales Tax Revenue Refunding Bonds, Series C (AGM Insured),

5.25%, 6/15/32		$15,000		$20,801

				28,196

Vermont – 0.1%

Vermont G.O. Unlimited Bonds, Series B,

5.00%, 8/15/22		1,425		1,554

Virginia – 2.0%

Fairfax County Public Improvement G.O. Unlimited Bonds, Series A (State Aid Withholding),

5.00%, 10/1/31		5,280		7,038

Fairfax County Taxable G.O. Unlimited Refunding Bonds, Series B (State Aid Withholding),

0.65%, 10/1/25		1,780		1,787

Hampton Roads Sanitation District Wastewater Revenue Refunding Bonds, Series A, Prerefunded,

5.00%, 7/1/24⁽⁴⁾		3,465		4,070

Henrico County G.O. Unlimited Bonds (State Aid Withholding),

5.00%, 8/1/31		3,550		4,781

Henrico County Water & Sewer System Revenue Bonds,

4.00%, 5/1/46		10,000		11,488

Loudoun County Public Improvement G.O. Unlimited Bonds, Series A (State Aid Withholding),

5.00%, 12/1/22		1,360		1,437

Norfolk G.O. Unlimited Refunding Bonds, Series A (State Aid Withholding), Prerefunded,

5.00%, 10/1/22⁽⁴⁾		1,500		1,644

Roanoke EDA Hospital Revenue Refunding Bonds, Series A, Carilion Clinic Obligated Group,

5.00%, 7/1/47		2,000		3,099

Upper Occoquan Sewage Authority Regional Revenue Refunding Bonds,

5.00%, 7/1/28		5,000		6,020


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Virginia – 2.0% continued

Virginia State College Building Authority Educational Facilities Revenue Bonds, 21st Century College & Equipment,

4.38%, 2/1/32		$2,015		$2,212

4.50%, 2/1/34		5,500		6,052

Virginia State Public School Authority Special Obligation Prince William County Revenue Bonds (State Aid Withholding),

5.00%, 3/1/30		5,365		6,993

Virginia State Resources Authority Clean Water State Revolving Fund Subordinate Revenue Refunding Bonds,

5.50%, 10/1/22		1,000		1,107

Virginia State Small Business Financing Authority Revenue Bonds (AMT), 95 Express Lanes LLC Project,

5.00%, 1/1/44		1,000		1,030

				58,758

Washington – 2.4%

Energy Northwest Project 3 Electric Revenue Refunding Bonds, Bonneville Power Administration,

5.00%, 7/1/27		1,500		1,878

Grant County Public Utility District No.2 Electric Variable Revenue Refunding Bonds, Series R,

2.00%, 12/1/25⁽¹⁾^{(2) (3)}		3,000		3,170

King County School District No. 401 Highline G.O. Unlimited Bonds (School Board Guaranty Program),

5.00%, 12/1/30		10,000		12,578

Port of Seattle Revenue Refunding Bonds, Series A,

5.00%, 8/1/30		3,000		3,231

Seattle Municipal Light & Power Improvement Revenue Refunding & Improvement Bonds, Series A, Prerefunded,

5.00%, 2/1/21⁽⁴⁾		1,670		1,697

Seattle Solid Waste Revenue Refunding & Improvement Bonds,

4.00%, 6/1/31		1,865		2,151


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Washington – 2.4% continued

Washington State G.O. Unlimited Bonds, Series A,

5.00%, 8/1/39		$10,000		$13,148

Washington State G.O. Unlimited Bonds, Series C,

5.00%, 2/1/32		10,000		12,780

Washington State G.O. Unlimited Refunding Bonds, Series R-2013A,

4.00%, 7/1/28		5,000		5,306

Washington State G.O. Unlimited Refunding Bonds, Series R-2018C,

5.00%, 8/1/33		6,430		8,080

Washington State Motor Fuel Tax G.O. Unlimited Bonds, Series E,

5.00%, 2/1/38		3,000		3,411

Washington State Motor Vehicle Fuel Tax G.O. Unlimited Bonds, Series 201,

5.00%, 7/1/24		2,925		3,030

Washington State Various Purpose G.O. Unlimited Bonds, Series D,

2.75%, 2/1/27		1,160		1,194

				71,654

West Virginia – 0.1%

Marshall University Revenue Refunding Bonds, Series A (AGM Insured),

3.00%, 5/1/46		1,000		1,027

West Virginia State University Revenue Bonds, Series A, West Virginia University Projects, Prerefunded,

5.00%, 10/1/22⁽⁴⁾		1,745		1,913

				2,940

Wisconsin – 1.7%

PFA Hospital Revenue Refunding Bonds, Renown Regional Medical Center Project,

4.00%, 6/1/35		1,850		2,135

3.00%, 6/1/45		2,500		2,514

PMA Levy & Aid Anticipation Notes Program Revenue Participation Notes, Series A,

3.00%, 10/23/20		4,000		4,007

Wisconsin State G.O. Unlimited Bonds, Series A,

5.00%, 5/1/37		5,000		6,318


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 88.1% continued

Wisconsin – 1.7% continued

5.00%, 5/1/40		$5,000		$6,075

Wisconsin State G.O. Unlimited Bonds, Series B,

3.00%, 5/1/26		2,485		2,526

4.00%, 5/1/30		3,250		3,903

Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Ascension Health Credit Group,

4.00%, 11/15/36		3,000		3,385

Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Marquette University,

5.00%, 10/1/28		670		799

Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Milwaukee Regional Medical Center,

5.00%, 4/1/36		3,875		4,793

4.00%, 4/1/39		5,000		5,679

Wisconsin State Housing & EDA Home Ownership Revenue Refunding Bonds, Series A,

3.00%, 3/1/39		1,000		1,058

Wisconsin State Housing & EDA Revenue Bonds, Series A,

1.60%, 11/1/22⁽¹⁾⁽²⁾ ⁽³⁾		4,000		4,048

Wisconsin State Transportation Taxable Revenue Refunding Bonds, Series 1,

0.62%, 7/1/24		5,000		5,009

				52,249

Total Municipal Bonds

(Cost $2,553,592)				2,664,792


	NUMBER OF SHARES		VALUE (000S)

INVESTMENT COMPANIES – 7.6%

Northern Institutional Funds - Municipal Portfolio (Shares), 0.00%⁽⁸⁾⁽⁹⁾		125,000,000		$125,000

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽⁸⁾⁽⁹⁾		105,039,231		105,039

Total Investment Companies

(Cost $230,039)				230,039


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

SHORT-TERM INVESTMENTS – 4.6%

Black Belt Energy Gas District Alabama Gas Supply Revenue Bonds, Series A,

4.00%, 6/1/21⁽¹⁾^{(2) (3)}		$5,000		$5,102

Broward County School District Revenue TANS,

2.00%, 6/30/21		6,000		6,081

Burke County Development Authority Variable PCR Refunding Bonds, Georgia Transmission Corporation,

2.50%, 5/3/21⁽¹⁾^{(2) (3)}		2,500		2,526

California State Educational Facilities Authority Adjustable Revenue Bonds, California Institute of Technology,

0.11%, 10/9/20⁽¹⁾^{(3) (10)}		1,600		1,600

California State Educational Facilities Authority Variable Revenue Bonds, Series B, California Institute of Technology,

0.11%, 10/9/20⁽¹⁾^{(3) (10)}		650		650

California State Infrastructure & Economic Development Bank Revenue Bonds, Brightline West Passenger (AMT),

0.45%, 7/1/21⁽¹⁾^{(2) (3) (11)}		6,250		6,250

Carroll County Environmental Facilities Revenue Refunding Bonds (AMT), Kentucky Utilities Co.,

1.20%, 6/1/21⁽¹⁾^{(2) (3)}		10,000		10,002

Cobb County School District G.O. Limited Notes, Short-Term Construction Notes,

2.00%, 12/16/20		7,500		7,526

Colorado State General Fund TRANS,

4.00%, 6/25/21		10,000		10,278

Director of the State of Nevada Department of Business & Industry Revenue Bonds, Brightline West Passenger (AMT),

0.50%, 7/1/21⁽¹⁾^{(2) (3)}		1,500		1,500

Goose Creek Consolidated Independent School District Variable G.O. Unlimited Bonds, Series B (PSF, Gtd.),

10/1/21⁽¹⁾^{(2) (3) (6)}		3,600		3,600

Greenville County School District G.O. Unlimited Bonds, Series C (SCSDE Insured),

3.00%, 6/1/21		5,000		5,094


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

SHORT-TERM INVESTMENTS - 4.6% continued

Indiana Bond Bank Revenue Notes, Advance Funding Program,

3.00%, 1/11/21		$7,500		$7,553

Los Angeles County TRANS, Series A,

4.00%, 6/30/21		5,000		5,142

Los Angeles TRANS,

4.00%, 6/24/21		10,000		10,278

Montgomery County Variable G.O. Unlimited Bonds, Series E,

0.07%, 10/2/20⁽¹⁾^(3) (10)		12,595		12,595

New York City Municipal Water Finance Authority Water & Sewer System Adjustable Revenue Bonds, Subseries A-2,

0.09%, 10/2/20⁽¹⁾^(3) (10)		15,320		15,320

New York City Transitional Finance Authority Subordinate Revenue Bonds, Series 1,

5.00%, 11/1/20		7,710		7,740

New York State Dormitory Authority State Personal Income Tax Subordinate RANS, Series B,

5.00%, 3/31/21		10,000		10,240

Ohio State University Variable Revenue Bonds, Series B-1,

0.08%, 10/9/20⁽¹⁾^(3) (10)		1,925		1,925

Ohio State Water Development Authority Water Pollution Control Variable Revenue Bonds, Series A,

0.12%, 10/9/20⁽¹⁾^(3) (10)		2,140		2,140

San Diego Unified School District G.O. Unlimited Bonds, Series K-2,

4.00%, 7/1/21		5,000		5,144

Spring Branch Independent School District Variable G.O. Unlimited Bonds, Schoolhouse (PSF, Gtd.),

1.55%, 6/15/21⁽¹⁾^(2) (3)		2,000		2,009

Total Short-Term Investments

(Cost $140,152)				140,295


Total Investments – 100.3%

(Cost $2,924,283)				3,035,688

Liabilities less Other Assets – (0.3%)				(9,269	)

NET ASSETS – 100.0%				$3,026,419

⁽¹⁾

Maturity date represents the puttable date.

⁽²⁾

These securities are remarketed by an agent, and the interest rate is determined by general market conditions and supply and demand.

⁽³⁾

Variable rate security. Rate as of September 30, 2020 is disclosed.

⁽⁴⁾

Maturity date represents the prerefunded date.

⁽⁵⁾

Step coupon bond. Rate as of September 30, 2020 is disclosed.

⁽⁶⁾

When-Issued Security. Coupon rate is not in effect at September 30, 2020.

⁽⁷⁾

Zero coupon bond.

⁽⁸⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽⁹⁾

7-day current yield as of September 30, 2020 is disclosed.

⁽¹⁰⁾

Rate is determined by a remarketing agent and in the agent’s 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.

⁽¹¹⁾

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

1M - 1 Month

AGC - Assured Guaranty Corporation

AGM - Assured Guaranty Municipal Corporation

AMBAC - American Municipal Bond Assurance Corporation

AMT - Alternative Minimum Tax

BAM - Build America Mutual

BANS - Bond Anticipation Notes

BHAC - Berkshire Hathaway Assurance Corporation

CABS - Capital Appreciation Bonds

COPS - Certificates of Participation

CR - Custody Receipt

CWA - Clean Water Act

EDA - Economic Development Authority

FNMA - Federal National Mortgage Association

G.O. - General Obligation

Gtd. - Guaranteed

HFA - Housing Finance Authority

HUD - Housing and Urban Development

ICE - Intercontinental Exchange

IDA - Industrial Development Authority

LIBOR - London Interbank Offered Rate

At September 30, 2020, the industry sectors for the Fund were:



INDUSTRY SECTOR	% OF INVESTMENTS

Airport	5.3	%

General	24.5

General Obligation	21.1

Higher Education	5.4

School District	6.9

Short-Term Investments	7.6

Transportation	6.8

Water	8.7

All other sectors less than 5%	13.7

Total	100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).



INVESTMENTS		LEVEL 1 (000S)		LEVEL 2 (000S)	LEVEL 3 (000S)		TOTAL (000S)
Corporate Bonds⁽¹⁾	$	—	$	562	$—	$	562

Municipal Bonds⁽¹⁾		—		2,664,792	—		2,664,792

Investment Companies		230,039		—	—		230,039

Short-Term Investments		—		140,295	—		140,295
Total Investments	$	230,039	$	2,805,649	$—	$	3,035,688

⁽¹⁾

Classifications as defined in the Schedule of Investments.


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS – 79.9%

Alabama – 0.2%

Lower Gas District Gas Project Revenue Bonds,

4.00%, 12/1/25⁽¹⁾^{(2) (3)}		$1,500		$1,718

Arizona – 0.8%

Arizona State IDA Revenue Bonds, Lincoln South Beltway Project,

5.00%, 8/1/23		1,250		1,404

Arizona State Transportation Board Excise TRB, Maricopa County Regional Area,

5.00%, 7/1/22		500		542

Maricopa County Unified School District No. 4 Mesa G.O. Unlimited Bonds, Series E, School Improvement Project of 2012,

5.00%, 7/1/21		2,370		2,456

Maricopa County Unified School District No. 80 Chandler G.O. Unlimited Bonds, Series A,

5.00%, 7/1/26		1,000		1,261

Maricopa County Unified School District No. 97 Deer Valley G.O. Unlimited Bonds, Series A,

5.00%, 7/1/21		1,250		1,296

				6,959

California – 6.5%

Bay Area Toll Authority Toll Bridge Variable Revenue Refunding Bonds, San Francisco Bay,

2.63%, 4/1/26⁽¹⁾^{(2) (3)}		1,675		1,836

California State Department of Water Resources Central Valley Project Water System Revenue Bonds, Series AS, Escrowed to Maturity,

5.00%, 12/1/21		90		95

California State G.O. Unlimited Bonds, Various Purpose,

4.00%, 3/1/26		3,450		4,108

California State G.O. Unlimited Refunding Bonds,

5.00%, 8/1/26		2,825		3,557

5.00%, 11/1/28		10,000		13,260

California State G.O. Unlimited Various Purpose Refunding Bonds,

5.00%, 4/1/33		5,000		5,750


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

California – 6.5% continued

California State Infrastructure & Economic Development Revenue Bonds, Bay Area Toll Bridges, First Lien (FGIC Insured), Escrowed to Maturity,

5.00%, 7/1/25		$1,315		$1,610

California State Municipal Finance Authority Insured Revenue Bonds, NCROC-Paradise Valley TEMPS 50 (California Mortgage Insured),

2.00%, 7/1/24		1,200		1,204

California State Various Purpose G.O. Unlimited Bonds,

3.00%, 3/1/27		4,010		4,608

Chino Basin Regional Financing Authority Revenue Notes, Series B,

4.00%, 11/1/25		2,500		2,937

Long Beach Harbor Revenue Notes, Series C,

4.00%, 7/15/21		1,000		1,030

Los Angeles Unified School District G.O. Unlimited Refunding Bonds, Series A,

7/1/27⁽⁴⁾		7,500		9,569

San Francisco City & County Public Utilities Commission Water Revenue Bonds, Prerefunded,

5.00%, 5/1/22⁽⁵⁾		9,080		9,779

				59,343

Colorado – 1.6%

Adams & Arapahoe Counties Joint School District No. 28J Aurora G.O. Unlimited Refunding Bonds (State Aid Withholding),

5.00%, 12/1/24		1,000		1,104

Boulder Larimer & Weld Counties St. Vrain Valley School District No. RE-1 G.O. Unlimited Refunding Bonds (State Aid Withholding),

4.00%, 12/15/24		2,025		2,113

Colorado State Health Facilities Authority Hospital Revenue Bonds, Adventist Health System/Sunbel,

5.00%, 11/20/25⁽¹⁾^(2) (3)		3,000		3,664


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

Colorado – 1.6% continued

Colorado State Health Facilities Authority Hospital Variable Revenue Refunding Bonds, Adventhealth Obligation,

5.00%, 11/19/26⁽¹⁾^(2) (3)		$1,000		$1,253

Pueblo County School District No. 60 G.O. Unlimited Bonds (State Aid Withholding),

5.00%, 12/15/26		4,650		5,916

Weld County School District No. 6 Greeley G.O. Unlimited Bonds (State Aid Withholding),

5.00%, 12/1/21		575		607

				14,657

Connecticut – 2.8%

Connecticut State G.O. Unlimited Bonds, Series A, GAAP Conversion,

5.00%, 10/15/20		8,000		8,014

Connecticut State G.O. Unlimited Bonds, Series C,

4.00%, 6/1/27		1,000		1,190

Connecticut State G.O. Unlimited Refunding Bonds, Series F,

5.00%, 9/15/23		2,000		2,276

Connecticut State Health & Educational Facilities Authority Revenue Bonds, Series U-1, Yale University Issue,

2.00%, 2/8/22⁽¹⁾^(2) (3)		7,075		7,249

Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series C-2, Yale University,

5.00%, 2/1/23⁽¹⁾^(2) (3)		5,000		5,558

Connecticut State Special Tax Obligation Revenue Bonds,

5.00%, 5/1/26		1,200		1,485

				25,772

Florida – 2.6%

Broward County Airport System Revenue Refunding Bonds, Series B (AMT),

5.00%, 10/1/27		3,500		4,357

Cape Coral Water & Sewer Revenue Refunding Bonds (AGM Insured), Prerefunded,

5.00%, 10/1/21⁽⁵⁾		2,055		2,151


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

Florida – 2.6% continued

Florida State Board of Education G.O. Unlimited Refunding Bonds, Series A,

5.00%, 6/1/23		$475		$536

Florida State Board of Education G.O. Unlimited Refunding Bonds, Series C,

5.00%, 6/1/27		3,115		4,031

Florida State Board of Education Public Education Capital Outlay 2011 G.O. Unlimited Refunding Bonds, Series C,

5.00%, 6/1/26		2,005		2,069

Florida State G.O. Unlimited Refunding Bonds, Series B, Department Transportation Right of Way,

4.00%, 7/1/29		5,005		5,138

Miami-Dade County Water & Sewer System Revenue Bonds (AGM Insured), Prerefunded,

5.00%, 10/1/20⁽⁵⁾		4,500		4,500

Sarasota County Infrastructure Sales Surtax Revenue Refunding Bonds,

5.00%, 10/1/21		1,000		1,048

				23,830

Georgia – 2.5%

Atlanta Airport Revenue Refunding Bonds, Series A,

7/1/28⁽⁴⁾		1,000		1,299

Cherokee County Water & Sewer Authority Revenue Refunding Bonds, Series A,

5.00%, 8/1/27		1,000		1,293

Georgia State G.O. Unlimited Bonds, Series E,

2.00%, 8/1/27		2,500		2,500

Georgia State G.O. Unlimited Refunding Bonds, Series E,

5.00%, 12/1/27		2,000		2,539

Main Street Natural Gas, Inc. Gas Supply Revenue Bonds, Series A,

4.00%, 9/1/23⁽¹⁾^{(2) (3)}		5,000		5,469

Main Street Natural Gas, Inc. Gas Supply Revenue Bonds, Subseries C,

4.00%, 12/1/23⁽¹⁾^{(2) (3)}		3,400		3,744


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

Georgia – 2.5% continued

Main Street Natural Gas, Inc. Gas Supply Variable Revenue Bonds, Series B,

4.00%, 12/2/24⁽¹⁾^{(2) (3)}		$5,000		$5,672

				22,516

Hawaii – 2.2%

Hawaii State G.O. Unlimited Bonds, Series EH, Unrefunded Balance,

5.00%, 8/1/28		2,000		2,259

Hawaii State G.O. Unlimited Bonds, Series FT,

5.00%, 1/1/28		2,100		2,731

Hawaii State G.O. Unlimited Refunding Bonds, Series EF,

5.00%, 11/1/21		5,000		5,261

Honolulu City & County Adjustable G.O. Unlimited Bonds, Honolulu Rail Transit Project,

5.00%, 9/1/23⁽¹⁾^{(2) (3)}		5,000		5,619

Honolulu City & County G.O. Unlimited Bonds, Series C,

4.00%, 7/1/27		1,250		1,530

Honolulu City & County G.O. Unlimited Refunding Bonds, Series F,

5.00%, 7/1/26		725		912

5.00%, 7/1/27		1,200		1,549

				19,861

Illinois – 1.1%

Champaign Coles Et al. Counties Community College District No. 505 G.O. Unlimited Refunding Bonds, Series B, Parkland College,

5.00%, 12/1/24		1,315		1,554

Cook County Community College District No. 504 Triton G.O. Unlimited Bonds, Alternative Revenue Source,

5.00%, 6/1/22		1,150		1,240

Cook County School District No. 144 Prairie Hills G.O. Limited Bonds, Series A (AGM Insured), Prerefunded,

5.00%, 12/1/20⁽⁵⁾		500		504


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

Illinois – 1.1% continued

Sangamon County School District No. 186 Springfield G.O. Limited Refunding Bonds, Series B (BAM Insured), Escrowed to Maturity,

5.00%, 2/1/21		$240		$244

Sangamon County School District No. 186 Springfield G.O. Limited Refunding Bonds, Series B, Unrefunded Balance (BAM Insured),

5.00%, 2/1/21		6,020		6,110

				9,652

Indiana – 1.4%

Indiana Finance Authority Water Utility Revenue Bonds, Second Lien, Citizens Energy Group,

2.95%, 10/1/22		1,750		1,825

Indiana State Finance Authority Health System Revenue Refunding Bonds, Indiana University Health,

5.00%, 12/1/22		4,000		4,387

Indiana State Finance Authority Hospital Revenue Bonds, Indiana University Health Obligated Group,

1.65%, 7/1/22⁽¹⁾^{(2) (3)}		5,000		5,081

Indianapolis Local Public Improvement Bond Bank Revenue Bonds, Series A,

5.00%, 1/1/21		1,490		1,508

				12,801

Kansas – 1.3%

Johnson County G.O. Unlimited Refunding Bonds, Series A,

3.00%, 9/1/26		2,170		2,479

Johnson County Internal Improvement G.O. Unlimited Bonds, Series A,

5.00%, 9/1/21		835		872

Manhattan G.O. Unlimited Bonds, Series 01,

1.88%, 6/15/23		1,395		1,397

Manhattan G.O. Unlimited Temporary Notes, Series 2020-03,

0.75%, 6/15/24		7,550		7,563

				12,311


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

Kentucky – 1.5%

Jefferson County School District Finance Corp. School Building Revenue Bonds, Series A (State Intercept Program),

5.00%, 6/1/21		$2,500		$2,580

Kentucky State Public Energy Authority Gas Supply Revenue Bonds, Series C-1,

4.00%, 12/1/20		1,070		1,076

Kentucky State Public Energy Authority Revenue Bonds, Series B, Gas Supply,

4.00%, 1/1/25⁽¹⁾^(2) (3)		8,725		9,778

				13,434

Louisiana – 1.5%

Lafayette Public Power Authority Electric Revenue Bonds,

5.00%, 11/1/26		1,900		2,084

Louisiana Public Facilities Authority Revenue Refunding Bonds, Tulane University of Louis,

5.00%, 4/1/26		1,550		1,903

Louisiana State Gas & Fuels Revenue Refunding Bonds, Series A-1,

4.00%, 5/1/29		6,810		7,143

Louisiana State Local Government Environmental Facilities & Community Development Authority Revenue Bonds, LCTCS Act 360 Project (BAM Insured),

5.00%, 10/1/25		2,495		3,010

				14,140

Maryland – 0.9%

Maryland State & Local Facilities G.O. Unlimited Bonds, Loan of 2013-1,

4.00%, 3/1/26		4,700		4,776

Maryland State G.O. Unlimited Bonds, First Series,

5.00%, 6/1/26		3,000		3,508

				8,284

Massachusetts – 5.7%

Concord G.O. Limited Refunding Bonds, Municipal Purpose Loan,

4.00%, 9/15/23		500		557


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

Massachusetts – 5.7% continued

Massachusetts State Bay Transportation Authority Sales TRB Revenue Bonds, Senior Series A,

5.00%, 7/1/26		$1,475		$1,854

Massachusetts State Clean Water Trust Revenue Bonds, Series 22, Green Bonds,

5.00%, 8/1/26		5,205		6,581

5.00%, 8/1/27		2,250		2,926

Massachusetts State Department of Transportation Metropolitan Highway System Variable Revenue Refunding Bonds, Subordinate Contracts,

5.00%, 1/1/23⁽¹⁾^{(2) (3)}		10,000		11,000

Massachusetts State Development Finance Agency Revenue Refunding Bonds, Northeastern University, Series A,

5.00%, 10/1/27		1,000		1,284

Massachusetts State Development Finance Agency Revenue Refunding Bonds, Series A-2,

5.00%, 7/1/28		5,000		6,431

Massachusetts State G.O. Limited bonds, Series A, Prerefunded,

4.50%, 12/1/21⁽⁵⁾		2,000		2,101

Massachusetts State G.O. Limited Refunding Bonds, Series E,

3.00%, 12/1/27		2,915		3,393

Massachusetts State School Building Authority Sales Tax Revenue Refunding Bonds, Senior Series A, Prerefunded,

5.00%, 8/15/22⁽⁵⁾		1,700		1,851

Massachusetts State School Building Authority Sales Tax Revenue Refunding Bonds, Senior Series A, Unrefunded Balance,

5.00%, 8/15/25		8,300		9,048

Massachusetts State Variable G.O. Limited Refunding Bonds, Series A,

5.00%, 6/1/23⁽¹⁾^{(2) (3)}		5,000		5,626

				52,652


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

Michigan – 3.0%

Grand Blanc Community Schools G.O. Unlimited Bonds (Q-SBLF Insured),

5.00%, 11/1/28		$1,415		$1,838

Grand Valley State University Revenue Bonds,

5.00%, 12/1/24		750		881

Lansing Board of Water & Light Utility System Revenue Bonds, Series A, Prerefunded,

5.00%, 7/1/21⁽⁵⁾		1,245		1,290

Michigan State Finance Authority Adjustable Revenue Refunding Bonds, Trinity Health,

5.00%, 2/1/25⁽¹⁾^{(2) (3)}		3,000		3,547

Michigan State Finance Authority Clean Water State Revolving Fund Revenue Refunding Bonds,

5.00%, 10/1/20		2,805		2,805

Michigan State Finance Authority Revenue Notes, Series A-2 (State Aid Withholding) (JPMorgan Chase Bank N.A. LOC),

4.00%, 8/20/21		7,000		7,234

Michigan State Finance Authority Revenue Refunding Bonds, Ascension Health Credit Group,

4.00%, 7/1/24⁽¹⁾^{(2) (3)}		5,000		5,657

Michigan State Finance Authority Revenue Refunding Bonds, Trinity Health Corp.,

5.00%, 12/1/22		2,000		2,196

Romeo Community School District G.O. Unlimited Bonds, Series II (Q-SBLF Insured),

2.00%, 5/1/22		2,025		2,084

				27,532

Minnesota – 1.6%

Hennepin County Refunding G.O. Unlimited Bonds, Series C,

5.00%, 12/1/26		1,175		1,498

Lakeville Independent School District No. 194 G.O. Unlimited Bonds, Series A (School District Credit Program),

3.00%, 2/1/26		1,785		2,029

3.00%, 2/1/27		3,550		4,082


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

Minnesota – 1.6% continued

Minnesota State Rural Water Finance Authority Revenue Notes, Public Projects Construction,

1.00%, 8/1/21		$5,000		$5,011

Minnesota State Trunk Highway G.O. Unlimited Bonds, Series B,

5.00%, 10/1/21		2,030		2,128

				14,748

Missouri – 1.5%

Columbia School District G.O. Unlimited Refunding Bonds,

5.00%, 3/1/26		2,825		3,398

Curators of the University of Missouri System Facilities Revenue Refunding Bonds, Series A,

5.00%, 11/1/26		2,320		2,748

Fort Zumwalt School District G.O. Unlimited Refunding Bonds (State Aid Direct Deposit Program),

4.00%, 3/1/24		1,480		1,665

Lees Summit Moser G.O. Unlimited Bonds, Series A,

3.00%, 4/1/28		2,925		3,020

Missouri State Board of Public Buildings Special Obligation Revenue Refunding Bonds, Series A,

3.00%, 10/1/26		2,500		2,500

				13,331

Nevada – 0.8%

Clark County School District G.O. Limited Bonds, Series A (AGM Insured),

3.00%, 6/15/22		550		574

5.00%, 6/15/27		1,000		1,255

Nevada State System of Higher Education University Revenue Bonds, Series B,

5.00%, 7/1/26		5,000		5,600

				7,429

New Jersey – 0.9%

East Brunswick Township G.O. Unlimited Bonds,

2.00%, 7/15/26		3,000		3,208

Union County G.O. Unlimited Bonds,

2.00%, 3/1/27		1,875		2,025


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

New Jersey – 0.9% continued

Union County G.O. Unlimited Refunding Bonds,

2.00%, 1/15/23		$385		$401

West Windsor-Plainsboro Regional School District G.O. Unlimited Bonds (School Board Resource Fund Insured),

2.25%, 8/1/26		2,570		2,825

				8,459

New Mexico – 0.2%

Albuquerque Bernalillo County Water Utility Authority Joint Water & Sewer Revenue Refunding Bonds, Series B,

5.00%, 7/1/21		1,675		1,736

New York – 12.4%

Albany County Various Purpose G.O. Limited Bonds, Series A,

5.00%, 9/15/26		930		1,158

Metropolitan Transportation Authority Dedicated Tax Fund Revenue BANS, Series A,

5.00%, 3/1/22		5,000		5,221

Metropolitan Transportation Authority Revenue BANS, Series A-1,

5.00%, 2/1/23		1,000		1,031

Metropolitan Transportation Authority Revenue Bonds, Series D, Prerefunded,

5.00%, 11/15/21⁽⁵⁾		2,500		2,636

New York City Housing Development Corp. MFH Revenue Bonds, Series L, Sustainable Neighborhood Bonds,

2.75%, 12/29/23⁽¹⁾^{(2) (3)}		3,000		3,134

New York City Municipal Water Finance Authority Water & Sewer System Revenue Bonds, Second General Resolution,

5.00%, 6/15/29		2,540		2,625

New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Subseries E-1,

5.00%, 2/1/26		2,000		2,122

New York City Transitional Finance Authority Future Tax Secured Revenue Refunding Bonds,

5.00%, 11/1/27		5,000		6,433


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

New York – 12.4% continued

New York City Transitional Finance Authority Future Tax Secured Subordinate Revenue Bonds,

5.00%, 8/1/23		$1,000		$1,132

5.00%, 2/1/29		3,295		3,766

New York City Transitional Finance Authority Future Tax Secured Subordinate Revenue Bonds, Series A,

5.00%, 11/1/23		960		1,010

New York City Transitional Finance Authority Future Tax Secured Subordinate Revenue Bonds, Series D, Fiscal 2013,

5.00%, 11/1/22		1,290		1,416

New York City Transitional Finance Authority Future Tax Secured Subordinate Revenue Refunding Bonds, Series B,

5.00%, 11/1/26		5,925		6,489

5.00%, 11/1/27		5,150		5,637

New York City Transitional Finance Authority Revenue Future Tax Secured Subordinate Revenue Bonds, Series G,

5.00%, 11/1/25		3,620		4,049

New York G.O. Unlimited Refunding Bonds, Series A-1,

5.00%, 8/1/28		10,000		12,821

New York G.O. Unlimited Refunding Bonds, Series C-1,

5.00%, 8/1/28		2,500		3,205

New York State Dorm Authority Revenues Non State Supported Debt Revenue Refunding Bonds, Series A, Cornell University,

5.00%, 7/1/26		2,050		2,586

New York State Dormitory Authority Personal Income Tax Revenue Refunding Bonds, Series A, Group 2,

5.00%, 3/15/31		1,540		1,983

New York State Dormitory Authority State Personal Income Tax General Purpose Revenue Bonds, Series D, Unrefunded Balance,

5.00%, 2/15/27		1,225		1,300


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

New York – 12.4% continued

New York State Dormitory Authority State Personal Income Tax Revenue Refunding Bonds, Series A,

5.00%, 3/15/24		$645		$749

New York State Dormitory Authority State Personal Income Tax Revenue Refunding Bonds, Series D,

5.00%, 2/15/26		285		352

New York State Dormitory Authority State Supported Debt Third General Resolution Revenue Bonds, State University,

5.00%, 5/15/26		2,840		3,030

New York State Environmental Facilities Corp. State Clean Water & Drinking Water Subordinated Revenue Refunding SRF Bonds, New York City Municipal Water,

5.00%, 6/15/26		1,400		1,762

New York State HFA Revenue Bonds, Series E, Sustainability Bonds,

1.10%, 5/1/26		2,500		2,503

New York State HFA Revenue Bonds, Series F,

1.10%, 11/1/26		1,350		1,350

New York State HFA Variable Revenue Refunding Bonds, Affordable Housing (SonyMA Insured),

1.88%, 11/1/21⁽¹⁾^{(2) (3)}		3,000		3,002

New York State Housing Finance Agency Affordable Housing Revenue Bonds, Series E (SonyMA Insured),

2.10%, 5/1/23		2,000		2,002

2.13%, 11/1/23		1,000		1,012

New York State Housing Finance Agency Affordable Housing Revenue Bonds, Series J,

2.50%, 5/1/22		3,500		3,504

New York State School Districts Financing Program Revenue Bonds, Series 2020 (AGM Insured),

5.00%, 10/1/22		1,500		1,645

New York State Thruway Authority Personal Income Tax Revenue Refunding Transportation Bonds, Series A,

5.00%, 3/15/23		3,585		3,751


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

New York – 12.4% continued

New York State Urban Development Corp. Personal Income TRB, Series E,

5.00%, 3/15/28		$2,175		$2,413

5.00%, 3/15/29		2,675		2,967

New York State Urban Development Corp. Revenue Refunding Bonds, State Personal Income Tax,

5.00%, 3/15/27		3,000		3,801

Onondaga Civic Development Corp. Revenue Refunding Bonds, Series A, Sycarus University Project,

5.00%, 12/1/27		1,250		1,621

Triborough Bridge & Tunnel Authority General Revenue Refunding Bonds, Series B,

5.00%, 11/15/25		7,500		8,230

				113,448

North Carolina – 0.9%

Forsyth County G.O. Unlimited Refunding Bonds,

3.00%, 4/1/28		2,995		3,522

Mecklenburg County G.O. Unlimited Bonds,

5.00%, 3/1/26		2,405		3,004

Wake County G.O. Unlimited Refunding Bonds, Series A,

5.00%, 4/1/22		1,500		1,609

				8,135

North Dakota – 0.0%

City of Fargo North Dakota G.O. Unlimited Refunding Bonds, Series A,

3.00%, 5/1/25		220		240

Ohio – 3.7%

Columbus G.O. Unlimited Bonds, Series A,

5.00%, 4/1/27		3,650		4,690

Cuyahoga County Sales Tax Revenue Refunding Bonds,

5.00%, 12/1/21		1,115		1,178

Gallia County Local School Improvement District G.O. Unlimited Refunding Bonds (School District Credit Program),

5.00%, 11/1/20		750		753


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

Ohio – 3.7% continued

Ohio State Common Schools G.O. Unlimited Bonds, Series B, Prerefunded,

5.00%, 6/15/22⁽⁵⁾		$2,205		$2,386

Ohio State Conservation Projects G.O. Unlimited Bonds, Series A,

4.00%, 3/1/28		2,460		3,048

Ohio State G.O. Unlimited Bonds, Series A,

5.00%, 6/15/26		3,500		3,900

5.00%, 6/15/26		2,820		3,552

Ohio State Higher Education G.O. Unlimited Bonds, Series A,

5.00%, 5/1/22		1,500		1,615

Ohio State Highway Capital Improvements G.O. Unlimited Bonds, Series S,

5.00%, 5/1/28		5,085		6,341

Ohio State Infrastructure Improvement G.O. Limited Bonds, Series A,

3.00%, 9/1/27		3,000		3,241

University of Cincinnati Revenue Bonds, Series A, Prerefunded,

5.00%, 6/1/23⁽⁵⁾		3,280		3,700

				34,404

Oklahoma – 0.2%

Oklahoma County Finance Authority Educational Facilities Lease Revenue Bonds, Midwest City-Del City Public School,

5.00%, 10/1/25		1,000		1,216

Tulsa Metropolitan Utility Authority Revenue Refunding Bonds, Series A,

1.00%, 7/1/21		1,000		1,006

				2,222

Oregon – 0.5%

Clackamas County School District No. 86 G.O. Unlimited Refunding Bonds, Series A (School Board Guaranty Program),

4.00%, 6/15/26		1,550		1,854

Oregon State G.O. Unlimited Bonds, Series L,

5.00%, 11/1/21		905		952


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

Oregon – 0.5% continued

Portland Water System Revenue Refunding Bonds, Second Lien,

5.00%, 10/1/27		$1,640		$1,830

				4,636

Pennsylvania – 0.6%

Easton Area School District Refunding G.O. Limited Bonds, Series A (State Aid Withholding),

4.00%, 4/1/26		1,600		1,899

Pennsylvania State G.O. Unlimited Bonds, Series 1,

4.00%, 6/1/29		1,000		1,054

Pennsylvania State Turnpike Commission Subordinate Revenue Bonds, Series A, Motor License Fund-Enhanced, Prerefunded,

5.00%, 12/1/22⁽⁵⁾		2,435		2,686

				5,639

South Carolina – 0.1%

South Carolina State Institution G.O. Unlimited Bonds, Series F, Clemson University (State Aid Withholding),

2.00%, 6/1/27		1,280		1,369

Tennessee – 1.8%

Chattanooga G.O. Unlimited Refunding Bonds, Series B,

5.00%, 2/1/21		950		965

Hardin County G.O. Unlimited Refunding Bonds (AGM Insured),

5.00%, 6/1/24		540		630

Knox County G.O. Unlimited Bonds, Series A,

5.00%, 8/1/27		2,170		2,806

Metropolitan Government of Nashville & Davidson County, G.O. Unlimited Refunding Bonds,

5.00%, 7/1/26		6,055		6,831

Tennergy Corp. Gas Revenue Bonds, Series A,

5.00%, 10/1/24⁽¹⁾^(2) (3)		4,500		5,248

				16,480


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

Texas – 6.9%

Beaumont Independent School District Refunding G.O. Unlimited Bonds (PSF, Gtd.),

5.00%, 2/15/23		$1,150		$1,279

Coppell Independent School District G.O. Unlimited Bonds (PSF, Gtd.),

5.00%, 8/15/27		2,460		3,180

Cypress-Fairbanks Independent School District G.O. Unlimited Bonds, Series B-1 (PSF, Gtd.),

1.25%, 8/15/22⁽¹⁾^{(2) (3)}		4,250		4,327

Dallas Area Rapid Transit Sales Tax Revenue Refunding Bonds, Senior Lien, Prerefunded,

5.00%, 12/1/22⁽⁵⁾		750		828

Dallas-Fort Worth International Airport Revenue Refunding Bonds, Series A,

5.00%, 11/1/26		1,500		1,870

East Central Independent School District G.O. Unlimited Refunding Bonds (PSF, Gtd.),

3.00%, 8/15/24		1,000		1,102

Ector County Independent School District G.O. Unlimited Bonds, School Building (PSF, Gtd.),

5.00%, 8/15/29		615		691

El Paso Independent School District G.O. Unlimited Refunding Bonds (PSF, Gtd.),

5.00%, 8/15/23		1,000		1,136

5.00%, 8/15/27		1,000		1,294

Fort Bend Independent School District G.O. Unlimited Refunding Bonds (PSF, Gtd.),

5.00%, 8/15/27		2,685		2,917

Fort Bend Independent School District Variable G.O. Unlimited Bonds, Series B (PSF, Gtd.),

0.88%, 8/1/25⁽¹⁾^{(2) (3)}		1,500		1,512

Goose Creek Consolidated Independent School District G.O. Unlimited Bonds, Series B (PSF, Gtd.),

0.45%, 8/15/22⁽¹⁾^{(2) (3)}		4,000		4,013

Houston Utility System Revenue Refunding Bonds, Series B, First Lien,

5.00%, 11/15/21		4,165		4,391


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

Texas – 6.9% continued

Katy Independent School District Variable G.O. Unlimited Refunding Bonds, Series 2015C (PSF, Gtd.), (Floating, ICE LIBOR USD 1M +

0.28%), 0.38%, 8/16/21⁽¹⁾⁽³⁾		$1,900		$1,894

Klein Independent School District G.O. Unlimited Refunding Bonds (PSF, Gtd.),

5.00%, 8/1/21		1,500		1,561

Laredo Certificates Obligation G.O. Limited Bonds,

5.00%, 2/15/23		500		554

Laredo Public Property Finance Contractual Obligation G.O. Limited Bonds,

5.00%, 2/15/27		800		994

Leander G.O. Limited Refunding Bonds,

5.00%, 8/15/21		550		573

5.00%, 8/15/22		500		545

Leander Independent School District G.O. Unlimited Bonds, Series A, School Building (PSF, Gtd.),

5.00%, 8/15/23		1,000		1,138

Leander Independent School District G.O. Unlimited Bonds, Series C (PSF, Gtd.),

5.00%, 8/15/28		750		994

Lewisville Independent School District G.O. Unlimited Bonds (PSF, Gtd.),

5.00%, 8/15/23		1,330		1,513

Northside Independent School District G.O. Unlimited Refunding Bonds (PSF, Gtd.),

1.60%, 8/1/24⁽¹⁾^{(2) (3)}		1,490		1,548

San Antonio Electric & Gas Revenue Refunding Bonds,

5.00%, 2/1/25		645		702

San Antonio Electric & Gas Variable Revenue Refunding Bonds, Series B,

2.00%, 12/1/21⁽¹⁾^{(2) (3)}		2,000		2,021

Southwest Independent School District G.O. Unlimited Bonds (PSF, Gtd.),

5.00%, 2/1/28		915		1,190

Texas State TRANS,

4.00%, 8/26/21		15,250		15,772


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

Texas – 6.9% continued

Texas State Variable G.O. Unlimited Refunding Bonds, Water Financial Assistance,

1.85%, 8/1/22⁽¹⁾^{(2) (3)}		$2,000		$2,002

University of Texas Revenue Refunding Bonds, Series I,

5.00%, 8/15/21		1,500		1,563

West Harris County Regional Water Authority System Revenue Refunding Bonds, Series A,

5.00%, 12/15/21		500		529

				63,633

Utah – 1.3%

Cache County School District G.O. Unlimited Refunding Bonds, Utah School Bond Guaranty Program (School Board Guaranty Program),

5.00%, 6/15/21		2,650		2,740

Davis County School District G.O. Unlimited Refunding Bonds, Utah School Bond Guaranty (School Board Guaranty Program),

3.00%, 6/1/28		4,095		4,469

Jordan Valley Water Conservancy District Revenue Refunding Bonds, Series A, Unrefunded Balance,

5.00%, 10/1/27		45		45

5.00%, 10/1/28		30		30

Utah County Hospital Revenue Bonds, Series B, IHC Health Services, Inc.,

5.00%, 8/1/24⁽¹⁾^{(2) (3)}		4,000		4,682

				11,966

Virginia – 2.5%

Fairfax County G.O. Unlimited Refunding Bonds, Series A (State Aid Withholding),

4.00%, 10/1/26		5,000		6,056

Fairfax County IDA Health Care Revenue Refunding Bonds, Inova Health System,

5.00%, 5/15/23⁽¹⁾^{(2) (3)}		9,125		10,218

Henrico County G.O. Unlimited Bonds, Series A (State Aid Withholding),

5.00%, 8/1/26		2,315		2,936


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

Virginia – 2.5% continued

Virginia State College Building Authority Educational Facilities Revenue Bonds, Series A, 21st Century College & Equipment, Prerefunded,

5.00%, 2/1/21⁽⁵⁾		$1,000		$1,016

Virginia State Public School Authority School Financing Revenue Bonds, Series C (State Aid Withholding),

5.00%, 8/1/21		1,260		1,311

Virginia State Resources Authority Infrastructure Revenue Refunding Bonds, Virginia Pooled Financing Program (State Intercept Program),

5.00%, 11/1/22		1,110		1,222

				22,759

Washington – 5.0%

Franklin County School District No. 1 Pasco G.O. Unlimited Bonds (School Board Guaranty Program),

4.00%, 12/1/28		1,500		1,623

Franklin County School District No. 1 Pasco G.O. Unlimited Refunding Bonds (School Board Guaranty Program),

5.00%, 12/1/26		1,340		1,596

King County Lake Washington School District No. 414 G.O. Unlimited Refunding Bonds (School Board Guaranty Program),

4.00%, 12/1/27		2,000		2,475

4.00%, 12/1/28		3,000		3,763

King County School District No. 411 Issaquah Refunding G.O. Unlimited Bonds (School Board Guaranty Program),

5.00%, 12/1/24		1,045		1,152

Pierce County Bethel School District No. 403 G.O. Unlimited Refunding Bonds (School Board Guaranty Program),

4.00%, 12/1/21		850		888

4.00%, 12/1/22		800		866

4.00%, 12/1/27		1,250		1,535


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

Washington – 5.0% continued

Pierce County School District No. 320 G.O. Unlimited Refunding Bonds (School Board Guaranty Program),

4.00%, 12/1/28		$650		$727

Pierce County School District No. 83 University Place G.O. Unlimited Refunding Bonds (School Board Guaranty Program),

5.00%, 12/1/26		3,205		3,830

Snohomish County School District No. 15 Edmonds G.O. Unlimited Bonds (School Board Guaranty Program),

5.00%, 12/1/21		750		792

Snohomish County School District No. 201 G.O. Unlimited Refunding Bonds (School Board Guaranty Program),

5.00%, 12/1/23		1,200		1,267

Snohomish County School District No. 201 Washington G.O. Unlimited Bonds, Series B (School Board Guaranty Program),

4.00%, 12/1/27		1,000		1,006

Thurston & Pierce Counties Community Schools G.O. Unlimited Bonds (School Board Guaranty Program),

5.00%, 12/1/23		685		786

Walla Walla County School District No. 250 College Place G.O. Unlimited Bonds (School Board Guaranty Program),

4.25%, 12/1/28		2,445		2,588

Washington State G.O. Unlimited Bonds, Series 2017-A,

5.00%, 8/1/29		2,400		3,022

Washington State G.O. Unlimited Refunding Bonds, Motor Vehicle Fuel Tax,

5.00%, 7/1/25		1,000		1,084

5.00%, 7/1/26		5,000		5,418

Washington State G.O. Unlimited Refunding Bonds, Series R-2012C, Various Purpose,

4.00%, 7/1/28		7,495		7,953

Washington State G.O. Unlimited Refunding Bonds, Series R-2013A,

5.00%, 7/1/24		750		813


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

Washington – 5.0% continued

Washington State Motor Vehicle Fuel Tax G.O. Unlimited Bonds, Series E,

5.00%, 2/1/22		$775		$825

Washington State Various Purpose G.O. Unlimited Refunding Bonds, Series R-C,

4.00%, 7/1/27		1,840		2,015

				46,024

West Virginia – 0.3%

West Virginia State University Revenue Bonds, Series B, Virginia University Projects, Prerefunded,

4.75%, 10/1/21⁽⁵⁾		2,595		2,714

Wisconsin – 3.1%

Central Brown County Water Authority System Revenue Refunding Bonds, Series A,

5.00%, 11/1/20		200		201

Fox Valley Technical College District School Facilities G.O. Unlimited Bonds, Series C,

3.00%, 12/1/27		2,500		2,650

Gateway Technical College District G.O. Unlimited Promissory Notes, Series A-20,

3.00%, 4/1/26		825		929

Janesville G.O. Unlimited Promissory Notes, Series A,

2.00%, 2/1/22		455		466

Wisconsin State G.O. Unlimited Bonds, Series B,

5.00%, 5/1/21		3,405		3,501

Wisconsin State G.O. Unlimited Refunding Bonds,

5.00%, 11/1/21		1,000		1,053

Wisconsin State G.O. Unlimited Refunding Bonds, Series 3,

5.00%, 11/1/25		3,925		4,321

Wisconsin State G.O. Unlimited Refunding Bonds, Series 4,

5.00%, 5/1/26		645		770

Wisconsin State Housing & EDA Revenue Bonds, Series A,

1.60%, 11/1/22⁽¹⁾^(2) (3)		1,000		1,012


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 79.9% continued

Wisconsin – 3.1% continued

Wisconsin State Transportation Revenue Bonds, Series A,

5.00%, 7/1/28		$4,000		$5,024

Wisconsin State Transportation Revenue Refunding Bonds, Series 1, Unrefunded Balance,

5.00%, 7/1/25		7,505		8,496

				28,423

Total Municipal Bonds

(Cost $715,228)				733,257

	NUMBER OF SHARES		VALUE (000S)

INVES TMENT COMPANIES – 6.9%

Northern Institutional Funds - Municipal Portfolio (Shares), 0.00%⁽⁶⁾⁽⁷⁾		25,000,000		$25,000

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽⁶⁾⁽⁷⁾		38,037,940		38,038

Total Investment Companies

(Cost $63,038)				63,038

	PRINCIPAL AMOUNT (000S)		VALUE (000S)

SHORT-TERM INVESTMENTS – 13.3%

American Municipal Power-Ohio, Inc., Revenue Bonds, Series A, Build America Bonds, Combined Hydroelectric Projects,

2.25%, 8/15/21⁽¹⁾ ^(2) (3)		$1,000		$1,005

Arizona State Health Facilities Authority Variable Revenue Bonds, Series F, Banner Health (JPMorgan Chase Bank N.A. LOC),

0.11%, 10/9/20⁽¹⁾^(3) (8)		2,960		2,960

Baltimore County Improvement G.O. Unlimited Refunding Bonds, 2019 Crossover,

3.00%, 11/1/20		4,755		4,766

California State Infrastructure & Economic Development Bank Revenue Bonds, Brightline West Passenger (AMT),

0.45%, 7/1/21⁽¹⁾^{(2) (3) (9)}		2,500		2,500

California State School Cash Reserve Program Authority Revenue Notes, Series D,

2.00%, 5/3/21		10,000		10,105


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

SHORT-TERM INVESTMENTS -13 .3% continued

Cobb County G.O. Unlimited TANS,

1.00%, 12/18/20		$5,000		$5,009

Colorado State General Fund TRANS,

4.00%, 6/25/21		10,000		10,278

Fairfax County Public Improvement G.O. Unlimited Refunding Bonds, Series B (State Aid Withholding),

5.00%, 10/1/20		2,000		2,000

Greenville County School District G.O. Unlimited Bonds, Series C (SCSDE Insured),

3.00%, 6/1/21		1,500		1,528

King County Variable G.O. Limited Refunding Bonds, Series A,

0.08%, 10/2/20⁽¹⁾^{(3) (8)}		13,200		13,200

Los Angeles County TRANS, Series A,

4.00%, 6/30/21		15,000		15,427

Massachusetts State G.O. Limited Bonds, Series A,

5.00%, 3/1/21		3,000		3,060

New York City Municipal Water Finance Authority Water & Sewer System Adjustable Revenue Bonds, Second General Resolution,

0.07%, 10/2/20^{(1) (3) (8)}		5,000		5,000

New York City Transitional Finance Authority Subordinate Revenue Bonds, Series A-1,

5.00%, 5/1/21		1,000		1,028

New York G.O. Adjustable Unlimited Bonds, Fiscal 2017 (Citibank N.A. LOC),

0.12%, 10/9/20⁽¹⁾^(3) (8)		5,890		5,890

Ohio State University Variable Revenue Bonds, Series B-1,

0.08%, 10/9/20⁽¹⁾^(3) (8)		5,325		5,325

Ohio State Variable G.O. Unlimited Bonds, Series B, Common Schools,

0.08%, 10/9/20⁽¹⁾^(3) (8)		10,360		10,360

Orange County HFA Revenue Bonds, Series A, Willow Key Apartments,

1.90%, 4/1/21⁽¹⁾^(2) (3)		1,300		1,310

Salt Lake County G.O. Limited TRANS,

1.00%, 12/30/20		5,000		5,011

San Diego Unified School District TRANS, Series A,

5.00%, 6/30/21		5,000		5,181


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

SHORT-TERM INVESTMENTS - 13.3% continued

Snohomish County School District No. 201 G.O. Unlimited Refunding Bonds (School Board Guaranty Program),

5.00%, 12/1/20		$1,000		$1,008

Utah County Hospital Revenue Bonds, Series C, IHC Health Services, Inc.,

0.08%, 10/2/20⁽¹⁾^(3) (8)		9,700		9,700

Total Short-Term Investments

(Cost $121,591)				121,651


Total Investments – 100.1%

(Cost $899,857)				917,946

Liabilities less Other Assets – (0.1%)				(701	)

NET ASSETS – 100.0%				$917,245

⁽¹⁾

Maturity date represents the puttable date.

⁽²⁾

These securities are remarketed by an agent, and the interest rate is determined by general market conditions and supply and demand.

⁽³⁾

Variable rate security. Rate as of September 30, 2020 is disclosed.

⁽⁴⁾

When-Issued Security. Coupon rate is not in effect at September 30, 2020.

⁽⁵⁾

Maturity date represents the prerefunded date.

⁽⁶⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽⁷⁾

7-day current yield as of September 30, 2020 is disclosed.

⁽⁸⁾

⁽⁹⁾

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

1M - 1 Month

AGM - Assured Guaranty Municipal Corporation

AMT - Alternative Minimum Tax

BAM - Build America Mutual

BANS - Bond Anticipation Notes

EDA - Economic Development Authority

FGIC - Financial Guaranty Insurance Corporation

G.O. - General Obligation

At September 30, 2020, the industry sectors for the Fund were:



INDUSTRY SECTOR	% OF INVESTMENTS

General		15.4	%

General Obligation		32.3

Higher Education		5.3

Medical		6.5

School District		12.6

Short-Term Investments		6.9

Transportation		5.2

Water		6.2

All other sectors less than 5%		9.6

Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).



INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

Municipal Bonds⁽¹⁾		$ —		$733,257		$—		$733,257

Investment Companies		63,038		—		—		63,038

Short-Term Investments		—		121,651		—		121,651
Total Investments		$63,038		$854,908		$—		$917,946

⁽¹⁾

Classifications as defined in the Schedule of Investments.


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS – 82.5%

Alabama – 0.8%

Birmingham G.O. Unlimited Convertible CABS, Series A,

5.00%, 3/1/27		$1,000		$1,110

Black Belt Energy Gas District Alabama Gas Prepay Revenue Bonds, Series A-1, Project No. 5,

4.00%, 10/1/26⁽¹⁾^{(2) (3)}		2,500		2,907

Black Belt Energy Gas District Alabama Gas Supply Revenue Bonds, Series A,

4.00%, 6/1/21⁽¹⁾^{(2) (3)}		5,000		5,102

City of Madison Board of Education Special Tax School Warrants,

4.00%, 2/1/44		4,540		5,319

				14,438

Alaska – 0.2%

Alaska State Housing Finance Corp. Mortgage Revenue Bonds, Series A,

3.75%, 12/1/40		970		1,049

Alaska State Housing Finance Corp. Mortgage Revenue Refunding Bonds, General Mortgage Revenue Bond,

5.00%, 6/1/33		2,500		3,183

				4,232

Arizona – 2.7%

Arizona Board of Regents Revenue Bonds, Series B,

5.00%, 7/1/43		2,070		2,672

Arizona Board of Regents State University System Revenue Bonds, Series B, Green Bonds,

5.00%, 7/1/42		2,000		2,374

Arizona Board of Regents State University System Revenue Refunding Bonds, Series B,

5.00%, 7/1/43		2,000		2,418

Arizona IDA Hospital Revenue Bonds, Phoenix Children’s Hospital,

3.00%, 2/1/45		1,100		1,124

4.00%, 2/1/50		2,000		2,260

Arizona State IDA Lease Revenue Bonds, Series A,

3.00%, 9/1/50		1,600		1,610


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Arizona – 2.7% continued

Arizona State Transportation Board Highway Revenue Refunding Bonds,

5.00%, 7/1/30		$1,485		$1,842

Arizona State University Revenue Bonds, Series A, Green Bonds,

5.00%, 7/1/43		1,000		1,263

Goodyear Water & Sewer Revenue Bonds, Subordinate Lien Obligations, Second Series (AGM Insured),

4.00%, 7/1/45		2,000		2,343

Maricopa County IDA Educational Facilities Revenue Bonds, Creighton University Project,

4.00%, 7/1/50		5,000		5,360

Northern Arizona University Revenue Refunding Bonds, Series B (BAM Insured),

5.00%, 6/1/39		2,500		3,156

Phoenix Civic Airport Improvement Corp. Junior Lien Airport Revenue Bonds,

4.00%, 7/1/44		5,000		5,571

Phoenix Civic Improvement Corp. District Convertible Revenue Capital Appreciation Bonds, Series B, Civic Plaza (NATL Insured),

5.50%, 7/1/38		2,500		3,796

Phoenix Civic Improvement Corp. Water System Revenue Bonds, Series A, Junior Lien,

5.00%, 7/1/39		5,000		5,732

Salt River Project Agricultural Improvement & Power District Electric System Revenue Refunding Bonds,

5.00%, 1/1/39		4,000		4,997

Student & Academic Services LLC Lease Revenue Bonds, Northern Arizona Capital Facilities (BAM Insured),

5.00%, 6/1/44		2,000		2,274

Yavapai County IDA Hospital Facility Revenue Refunding Bonds, Yavapai Regional Medical,

3.13%, 8/1/43		2,000		2,065

				50,857


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

California – 7.5%

Berkeley TRANS,

1.75%, 7/27/21		$5,905		$5,983

California HFA Municipal Certificates Revenue Bonds, Series 2, Class A,

4.00%, 3/20/33		989		1,094

California State Educational Facilities Authority Revenue Bonds, Series V-1, Stanford University,

5.00%, 5/1/49		4,500		7,254

California State G.O. Unlimited Bonds, Series 2007, Unrefunded Balance,

5.75%, 5/1/30		75		75

California State G.O. Unlimited Refunding Bonds,

5.00%, 8/1/26		700		881

California State G.O. Unlimited Refunding Bonds (AGM Insured),

5.25%, 8/1/32		2,440		3,444

California State G.O. Unlimited Various Purpose Refunding Bonds,

5.00%, 4/1/38		5,000		5,720

California State Municipal Finance Authority Student Housing Revenue Bonds, CHF-Davis I, LLC -West Village,

5.00%, 5/15/39		5,000		5,842

5.00%, 5/15/43		2,000		2,315

California State University Revenue Bonds, Series A,

5.00%, 11/1/37		1,110		1,444

California State University Systemwide Revenue Bonds, Series C,

4.00%, 11/1/45		2,000		2,351

California State Various Purpose G.O. Unlimited Bonds,

5.25%, 10/1/39		5,000		6,109

California Statewide Communities Development Authority Student Housing Revenue Refunding Bonds, CHF-Irvine, LLC,

5.00%, 5/15/32		1,000		1,124

Carlsbad Unified School District G.O. Unlimited Convertible Capital Appreciation Bonds, Series B, Election,

6.00%, 5/1/34		2,500		3,005


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

California – 7.5% continued

Central Unified School District G.O. Unlimited Bonds, Series B, Election of 2016,

5.00%, 8/1/43		$1,000		$1,203

Chino Valley Unified School District G.O. Limited Bonds, Series B,

4.00%, 8/1/45		500		588

Hayward Unified School District G.O. Unlimited Bonds (AGM Insured),

4.00%, 8/1/45		3,000		3,479

Los Angeles County Metropolitan Transportation Authority Measure R Junior Subordinate Sales Tax Revenue Refunding Bonds, Green Bonds,

5.00%, 6/1/37		3,000		3,930

Los Angeles Department of Airports Airport Subordinated Revenue Refunding Bonds,

5.00%, 5/15/36		2,745		3,435

5.00%, 5/15/43		5,000		6,129

Los Angeles Department of Airports Revenue Refunding Bonds, Series B (AMT),

5.00%, 5/15/34		3,000		3,651

Los Angeles Department of Water & Power System Revenue Bonds, Series A,

5.00%, 7/1/32		880		1,155

Los Angeles Department of Water & Power System Revenue Bonds, Series C,

5.00%, 7/1/39		1,000		1,292

Los Angeles Department of Water & Power System Revenue Refunding Bonds, Series A,

5.00%, 7/1/31		1,445		1,715

Los Angeles Department of Water & Power System Revenue Refunding Bonds, Series D,

5.00%, 7/1/43		5,000		6,265

Los Angeles Department of Water & Power Waterworks Revenue Bonds, Series A,

5.00%, 7/1/39		2,070		2,596


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

California – 7.5% continued

Los Angeles Unified School District G.O. Unlimited Refunding Bonds, Series A,

7/1/31⁽⁴⁾		$3,000		$4,023

Morgan Hill Redevelopment Agency Successor Agency Taxable Allocation Refunding Bonds,

9/1/30⁽⁴⁾		2,000		2,001

Natomas Unified School District G.O. Unlimited Bonds, Series A (AGM Insured),

8/1/49⁽⁴⁾		2,000		2,232

Newport Mesa Unified School District G.O. Unlimited Refunding CABS Bonds,

0.00%, 8/1/41⁽⁵⁾		2,000		1,018

Northern Energy Authority Commodity Supply Revenue Bonds, Series A,

4.00%, 7/1/24⁽¹⁾^{(2) (3)}		2,500		2,777

Oakland Unified School District Alameda County G.O. Unlimited Refunding Bonds (AGM Insured),

5.00%, 8/1/28		1,000		1,192

Palomar Community College District G.O. Unlimited Convertible Capital Appreciation Bonds, Election,

(Step to 6.38% on 8/1/30), 0.71%, 8/1/45⁽⁶⁾⁽⁷⁾		2,500		2,637

Pasadena Community College District G.O. Unlimited Refunding Bonds,

4.00%, 8/1/23		2,520		2,795

Sacramento Municipal Utility District Electric Revenue Bonds, Series H,

5.00%, 8/15/50		2,500		3,223

San Diego Public Facilities Financing Authority Water Revenue Bonds, Series A,

3.00%, 8/1/49		3,000		3,207

San Diego Unified School District G.O. Unlimited Bonds, Series C, Election of 2008, Capital Appreciation,

0.00%, 7/1/35⁽⁵⁾		1,285		955

San Francisco Bay Area Rapid Transit District Sales G.O. Unlimited Bonds, Series C-1, Green Bonds,

3.00%, 8/1/50		7,330		7,793


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

California – 7.5% continued

San Francisco City & County Airports Commission International Airport Revenue Bonds, Series A (AMT),

5.00%, 5/1/38		$2,500		$3,030

5.00%, 5/1/42		1,500		1,748

San Francisco City & County Airports Commission International Airport Revenue Refunding Bonds,

5.00%, 5/1/36		3,300		4,106

San Francisco City & County Public Utilities Commission Water Revenue Bonds, Series B, Regional Water,

5.00%, 11/1/50		5,000		6,148

San Juan Unified School District G.O. Unlimited Bonds, Series N, Election of 2012,

4.00%, 8/1/29		2,000		2,383

Sequoia Union High School District G.O. Unlimited Bonds, Series C-1, Election of 2008, Prerefunded,

6.00%, 7/1/21⁽⁸⁾		1,100		1,148

Sequoia Union High School District Taxable G.O. Unlimited Refunding Bonds,

2.61%, 7/1/35		1,000		1,065

Solano County Community College G.O. Unlimited Bonds, Series A, District Election 2012,

(Step to 5.13% on 8/1/23), 1.42%, 8/1/41⁽⁶⁾⁽⁷⁾		3,200		3,538

South Placer Wastewater Authority Revenue Refunding Bonds, Series 2020,

5.00%, 11/1/35		500		721

University of California Taxable Revenue Bonds, Series BG,

1.32%, 5/15/27		2,000		2,021

1.61%, 5/15/30		1,500		1,503

Vacaville Unified School District G.O. Unlimited Series D,

4.00%, 8/1/45		500		576

				143,919


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Colorado – 3.6%

Adams County School District No. 1 Taxable G.O. Unlimited Refunding Bonds, Series B (State Aid Withholding), 5.25%, 12/1/40		$4,775		$5,890

Adams County School District No. 1 Taxable G.O. Unlimited Refunding Bonds, Series B (State Aid Withholding), Prerefunded,

5.25%, 12/1/26⁽⁸⁾		225		291

Arapahoe County School District No. 6 Littleton G.O. Unlimited Bonds, Series A (State Aid Withholding),

5.50%, 12/1/43		5,000		6,435

Aurora Water Revenue Refunding Bonds, Green Bonds,

5.00%, 8/1/41		4,000		4,844

Colorado Springs Utilities Revenue Bonds, Series C,

5.00%, 11/15/45		2,000		2,613

Colorado State COPS ,Series A,

4.00%, 12/15/37		10,000		11,721

Colorado State Educational & Cultural Facilities Authority Revenue Bonds, Series A, University of Denver Project,

5.00%, 3/1/40		2,500		2,928

Colorado State Educational & Cultural Facilities Authority Revenue Bonds, University of Denver Project (NATL Insured),

5.00%, 3/1/35		2,000		2,673

Colorado State Health Facilities Authority Hospital Revenue Refunding Bonds, Adventist Health System Sunbelt,

4.00%, 11/15/41		1,000		1,098

Colorado State Health Facilities Authority Hospital Revenue Refunding Bonds, Series A, Commonspirit Health,

4.00%, 8/1/49		3,680		4,024

Colorado State School of Mines Institutional Enterprise Revenue Bonds, Series B,

5.00%, 12/1/42		3,400		4,018


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Colorado – 3.6% continued

Denver City & County Airport System Subordinate Revenue Refunding Bonds (AMT), Series A,

5.00%, 12/1/43		$2,000		$2,363

Denver City & County Dedicated Tax Revenue CABS, Series A-2,

0.00%, 8/1/37⁽⁵⁾		2,750		1,603

0.00%, 8/1/39⁽⁵⁾		2,805		1,491

Denver City & County Dedicated Tax Revenue Refunding & Improvement Bonds, Series A,

5.00%, 8/1/42		1,500		1,728

Denver City & County School District No. 1 COPS, Series B,

5.25%, 12/1/40		1,805		1,838

El Paso County School District No. 12 Cheyenne Mountain G.O. Unlimited Bonds (State Aid Withholding), Prerefunded,

5.25%, 9/15/24⁽⁸⁾		5,000		5,978

Jefferson County School District No. R-001 G.O. Unlimited Bonds (State Aid Withholding),

5.00%, 12/15/37		5,000		6,373

Little Thompson Water District Revenue Bonds,

12/1/50⁽⁴⁾		1,275		1,477

				69,386

Connecticut – 0.6%

Connecticut State Health & Educational Facilities Authority Revenue Bonds, Series K, Sacred Heart University,

4.00%, 7/1/45		1,500		1,672

Connecticut State Special Tax Obligation Revenue Bonds, Series A, Transportation Infrastructure,

5.00%, 8/1/34		3,000		3,551

Connecticut State Special Tax Obligation Revenue Bonds, Series B,

5.00%, 10/1/31		2,500		3,175

University of Connecticut Revenue Bonds, Series A,

5.25%, 11/15/47		3,000		3,678

				12,076


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

District of Columbia – 2.4%

District of Columbia G.O. Unlimited Bonds, Series A,

5.00%, 6/1/43		$5,000		$6,241

District of Columbia G.O. Unlimited Bonds, Series C,

5.00%, 6/1/38		1,000		1,151

District of Columbia Water & Sewer Authority Public Utility Subordinate Revenue Bonds, Series A, Green Bonds,

5.00%, 10/1/45		2,500		2,957

Metropolitan Washington Airports Authority Dulles Toll Road Revenue Refunding Bonds, Series A, Dulles Metrorail & Capital Improvement,

5.00%, 10/1/44		2,000		2,417

Metropolitan Washington Airports Authority System Revenue Refunding Bonds, Series A (AMT),

5.00%, 10/1/28		5,000		5,392

5.00%, 10/1/40		1,910		2,330

5.00%, 10/1/43		4,000		4,756

Washington Metropolitan Area Transit Authority Dedicated Revenue Bonds, Series A,

4.00%, 7/15/40		1,185		1,399

5.00%, 7/15/45		10,390		13,164

Washington Metropolitan Area Transit Authority Gross Revenue Bonds,

5.00%, 7/1/38		1,800		2,180

5.00%, 7/1/43		3,000		3,594

				45,581

Florida – 5.5%

Broward County Airport System Revenue Bonds (AMT),

5.00%, 10/1/42		2,500		2,922

Broward County Airport System Revenue Bonds, Series A (AMT),

4.00%, 10/1/44		3,000		3,311

Broward County Airport System Revenue Bonds, Series C, Prerefunded,

5.25%, 10/1/23⁽⁸⁾		5,000		5,746

Broward County Port Facilities Revenue Bonds, Series A,

5.00%, 9/1/44		5,000		5,966


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Florida – 5.5% continued

Broward County Port Facilities Revenue Refunding Bonds, Series A (AGM Insured), Prerefunded,

5.00%, 9/1/21⁽⁸⁾		$825		$861

5.00%, 9/1/21⁽⁸⁾		670		699

Broward County Port Facilities Revenue Refunding Bonds, Series A (AGM Insured), Unrefunded Balance,

5.00%, 9/1/24		410		425

5.00%, 9/1/25		330		342

Broward County Port Facilities Revenue Refunding Bonds, Series B (AMT), Prerefunded,

5.00%, 9/1/21⁽⁸⁾		1,680		1,750

Broward County Port Facilities Revenue Refunding Bonds, Series B (AMT), Unrefunded Balance,

5.00%, 9/1/23		820		848

Central Florida Expressway Authority Senior Lien Revenue Bonds, Series B,

5.00%, 7/1/44		2,500		3,100

Davie Educational Facilities Revenue Refunding Bonds, Nova Southeastern University Project,

5.00%, 4/1/48		2,000		2,274

Florida State Board of Education Public Education Capital Outlay G.O. Unlimited Refunding Bonds, Series A,

5.00%, 6/1/28		1,000		1,321

Florida State Department Transportation G.O. Unlimited Refunding Bonds,

3.00%, 7/1/30		2,500		2,586

Florida State Higher Educational Facilities Financial Authority Revenue Bonds, Florida Institute of Technology,

4.00%, 10/1/44		1,750		1,745

Florida State Higher Educational Facilities Financial Authority Revenue Bonds, Ringling College Project,

5.00%, 3/1/49		3,000		3,203

Florida State Turnpike Authority Revenue Bonds, Series C, Department of Transportation,

4.50%, 7/1/43		3,000		3,252


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Florida – 5.5% continued

Greater Orlando Aviation Authority Airport Facilities Priority Subordinated Revenue Bonds, Series A (AMT),

5.00%, 10/1/42		$1,965		$2,279

Hillsborough County Aviation Authority Customer Facilities Charge Revenue Bonds, Series A, Tampa International Airport,

5.00%, 10/1/44		2,500		2,769

Jacksonville Special Revenue Refunding Bonds, Series A,

5.00%, 10/1/35		4,830		6,312

Miami-Dade County Aviation Revenue Bonds, Miami International, Prerefunded,

5.50%, 10/1/20⁽⁸⁾		605		605

5.50%, 10/1/20⁽⁸⁾		1,895		1,895

Miami-Dade County Aviation Revenue Refunding Bonds,

5.00%, 10/1/41		450		521

Miami-Dade County Aviation Revenue Refunding Bonds (AMT),

5.00%, 10/1/27		2,000		2,289

Miami-Dade County Aviation Revenue Refunding Bonds, Series A (AMT),

5.00%, 10/1/38		5,000		5,665

Miami-Dade County Expressway Authority Toll System Revenue Bonds, Series A,

5.00%, 7/1/39		4,025		4,562

Miami-Dade County Taxable G.O. Unlimited Refunding Bonds, Series B,

2.25%, 7/1/34		2,500		2,580

Miami-Dade County Transit System Sales Surtax Revenue Bonds,

5.00%, 7/1/42		10,000		10,842

Miami-Dade County Transit System Sales Surtax Revenue Bonds, Series A,

4.00%, 7/1/49		495		570

Orange County HFA Multifamily Variable Revenue Bonds, Jernigan Gardens Project (HUD Sector 8 Program),

0.35%, 10/1/22⁽¹⁾^{(2) (3)}		5,000		4,999


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Florida – 5.5% continued

Palm Beach County Solid Waste Authority Revenue Refunding Bonds, Prerefunded,

5.00%, 10/1/21⁽⁸⁾		$75		$79

Palm Beach County Solid Waste Authority Revenue Refunding Bonds, Unrefunded Balance,

5.00%, 10/1/31		4,925		5,152

Pasco County School Board COPS, Series A (BAM Insured),

5.00%, 8/1/43		3,000		3,648

Tampa Bay Water Regional Water Supply Authority Utility System Revenue Bonds,

5.00%, 10/1/38		5,000		5,682

Tampa Bay Water Regional Water Supply Authority Utility System Revenue Refunding Bonds, Series A,

5.00%, 10/1/36		1,750		2,161

Tampa-Hillsborough County Expressway Authority Taxable Revenue Refunding Bonds, Series B (BAM Insured),

2.64%, 7/1/36		1,000		1,025

2.69%, 7/1/37		1,470		1,508

				105,494

Georgia – 2.2%

Atlanta Airport Revenue Refunding Bonds, Series B (AMT),

7/1/29⁽⁴⁾		2,300		2,967

Georgia State G.O. Unlimited Bonds, Series A-Group 2,

5.00%, 8/1/31		5,000		6,882

Georgia State G.O. Unlimited Bonds, Series A-Tranche 2,

5.00%, 7/1/31		2,000		2,675

Georgia State G.O. Unlimited Bonds, Tranche 1-Series A,

5.00%, 7/1/28		5,000		6,640

Georgia State Housing & Finance Authority Revenue Bonds, Series B,

3.25%, 12/1/49		5,000		5,305

Gwinnett County School District G.O. Unlimited Bonds,

5.00%, 2/1/40		5,000		6,417


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Georgia – 2.2% continued

Main StreetNatural Gas, Inc. Gas Supply Revenue Bonds, Series A,

5.00%, 5/15/43		$500		$588

5.00%, 5/15/49		1,000		1,426

Main StreetNatural Gas, Inc. Gas Supply Revenue Bonds, Subseries C,

4.00%, 12/1/23⁽¹⁾^{(2) (3)}		1,650		1,817

Municipal Electric Authority of Georgia Revenue Bonds, Plant Vogtle Units 3 &4 Project,

5.50%, 7/1/60		2,500		2,849

Private Colleges & Universities Authority Revenue Refunding Bonds, Series B, Emory University,

5.00%, 9/1/30		3,455		4,744

				42,310

Hawaii – 0.9%

Hawaii State Airports System Revenue Bonds, Series A (AMT),

5.00%, 7/1/48		4,000		4,662

Hawaii State Taxable G.O. Unlimited Bonds, Series FZ,

1.40%, 8/1/30		3,000		2,989

Honolulu City & County G.O. Unlimited Bonds, Series A,

5.00%, 9/1/43		2,000		2,492

Honolulu City & County G.O. Unlimited Bonds, Series C,

5.00%, 7/1/45		5,630		7,226

				17,369

Idaho – 0.1%

Idaho State Health Facilities Authority Hospital Revenue Bonds, Trinity Health Credit Group,

4.00%, 12/1/43		2,000		2,260

Illinois – 4.9%

Chicago Midway Airport Revenue Refunding Bonds, Second Lien Series B,

5.25%, 1/1/34		2,500		2,708

Chicago O’Hare International Airport General Revenue Bonds, Series D, Senior Lien,

5.00%, 1/1/39		1,015		1,097


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Illinois – 4.9% continued

Chicago O’Hare International Airport General Revenue Refunding Bonds, Series B, Senior Lien,

5.00%, 1/1/41		$3,100		$3,524

Chicago O’Hare International Airport Revenue Refunding Bonds, Series A, Passenger Facilities Charge,

5.00%, 1/1/23		2,000		2,118

Chicago O’Hare International Airport Revenue Refunding Bonds, Series A, Senior Lien,

1/1/35⁽⁴⁾		10,000		12,381

1/1/36⁽⁴⁾		3,000		3,413

Cook County Community Consolidated School District No. 21 Wheeling G.O. Unlimited Bonds, Series A (BAM Insured),

3.00%, 12/1/39		3,000		3,142

Cook County Sales Tax Revenue Refunding Bonds,

4.00%, 11/15/38		5,000		5,473

Du Page County Revenue Refunding Bonds, Morton Abroretum Project,

3.00%, 5/15/47		1,500		1,506

Illinois State Educational Facilities Authority Revenue Bonds, Field Museum of Natural History,

3.90%, 11/1/36		1,740		1,886

Illinois State Finance Authority Academic Facilities Lease Revenue Bonds, University of Illinois at Urbana-Champaign,

5.00%, 10/1/49		1,250		1,479

Illinois State Finance Authority Revenue Bonds, Northwestern University,

5.00%, 12/1/28		1,500		1,994

Illinois State Finance Authority Revenue Bonds, Series A, DePaul University, Prerefunded,

6.13%, 4/1/21⁽⁸⁾		5,000		5,148

Illinois State Finance Authority Revenue Bonds, Township High School District,

4.00%, 12/1/37		5,745		6,852


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Illinois – 4.9% continued

Illinois State Finance Authority Revenue Refunding Bonds, Edward-Elmhurst Healthcare,

4.25%, 1/1/44		$5,000		$5,587

5.00%, 1/1/44		2,500		2,917

Illinois State Finance Authority Revenue Refunding Bonds, Northshore University Healthsystem,

3.25%, 8/15/49		5,000		5,265

Illinois State Finance Authority Revenue Refunding Bonds, OSF Healthcare System,

5/15/50⁽⁴⁾		4,000		3,918

5/15/50⁽⁴⁾		1,200		1,330

Illinois State Finance Authority Revenue Refunding Bonds, Series A, Rush University Medical Center,

5.00%, 11/15/38		1,500		1,696

Illinois State Municipal Electric Agency Power Supply Revenue Refunding Bonds, Series A,

4.00%, 2/1/33		4,750		5,242

Illinois State Toll Highway Authority Senior Revenue Bonds, Series B,

5.00%, 1/1/41		2,000		2,369

Regional Transportation Authority Revenue Bonds, Series A (AGM Insured),

5.75%, 6/1/34		3,400		4,707

Schaumburg G.O. Unlimited Refunding Bonds, Series A,

4.00%, 12/1/41		5,000		5,314

Will Grundy Etc. Counties Community College District No. 525 G.O. Unlimited Refunding Bonds, Alternative Revenue Source,

5.25%, 6/1/36		2,500		2,845

				93,911

Indiana – 0.6%

Indiana Finance Authority Wastewater Utility Revenue Bonds, Series A, First Lien, CWA Authority,

5.25%, 10/1/38		3,150		3,299

4.25%, 10/1/44		3,000		3,291


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Indiana – 0.6% continued

Indiana State Health & Educational Facilities Financing Authority Ascension Senior Credit Group Revenue Refunding Bonds,

4.00%, 11/15/46		$2,900		$3,240

Indianapolis Local Public Improvement Bond Bank Revenue Bonds, Indianapolis Airport Authority Project,

5.00%, 1/1/44		2,000		2,452

				12,282

Iowa – 0.3%

Pefa Inc., Iowa Gas Project Revenue Bonds,

5.00%, 9/1/26⁽¹⁾^{(2) (3)}		5,000		6,067

Kansas – 0.2%

Olathe City G.O. Unlimited Temporary Notes, Series A,

3.00%, 8/1/21		4,000		4,088

Kentucky – 1.9%

Carroll County Environmental Facilities Revenue Bonds (AMT), Kentucky Utilities Co. Project,

1.75%, 9/1/26⁽¹⁾^{(2) (3)}		1,500		1,505

Carroll County PCR Refunding Bonds, Kentucky Utilities Co. Project,

1.55%, 9/1/26⁽¹⁾^{(2) (3)}		3,750		3,752

Fayette County School District Finance Corp. Revenue Bonds, Series A (State Intercept Program),

4.00%, 5/1/38		5,000		5,591

Kentucky State Public Energy Authority Gas Supply Revenue Bonds, Series C, Gas Supply,

4.00%, 2/1/28⁽¹⁾^{(2) (3)}		10,000		11,750

Louisville & Jefferson County Metro Government Health System Revenue Bonds, Series A, Norton Healthcare, Inc.,

3.00%, 10/1/43		1,360		1,391

Louisville & Jefferson County Metropolitan Sewer District & Drain System Revenue Bonds, Series A,

5.00%, 5/15/34		2,000		2,085


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Kentucky – 1.9% continued

Louisville & Jefferson County Metropolitan Sewer District and Drainage System Subordinated BANS,

10/20/21⁽⁴⁾		$10,000		$10,485

				36,559

Louisiana – 1.9%

Lafayette Parish School Board Sales TRB,

5.00%, 4/1/48		2,165		2,805

Louisiana Public Facilities Authority Revenue Refunding Bonds, Ochsner Clinic, Unrefunded Balance,

5.00%, 5/15/47		2,000		2,282

Louisiana Public Facilities Authority Revenue Refunding Bonds, Tulane University of Louis,

5.00%, 4/1/45		6,000		7,331

Louisiana State G.O. Unlimited Bonds,

4.00%, 5/1/32		2,500		2,796

Louisiana State Gas & Fuels Revenue Refunding Bonds, Series A, First Lien,

4.50%, 5/1/39		2,500		2,869

4.00%, 5/1/41		5,000		5,582

Louisiana State Gas & Fuels Revenue Refunding Bonds, Series A-1,

4.00%, 5/1/32		5,000		5,229

Louisiana State Local Government Environmental Facilities & Community Development Authority Revenue Refunding Bonds, Series A, Woman’s Hospital Foundation Project,

5.00%, 10/1/31		1,510		1,835

Shreveport Water & Sewer Revenue Bonds, Series B (BAM Insured),

5.00%, 12/1/41		5,000		5,953

				36,682

Maryland – 1.6%

Baltimore County Metropolitan District G.O. Unlimited BANS,

4.00%, 3/22/21		10,000		10,182

Howard County G.O. Unlimited Bonds, Series A,

5.00%, 2/15/30		1,000		1,265


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Maryland – 1.6% continued

Maryland State G.O. Unlimited Bonds, Group 2, State & Local Facilities Loan,

5.00%, 8/1/33		$10,000		$13,579

5.00%, 8/1/34		2,500		3,383

Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Lifebridge Health,

5.00%, 7/1/44		1,100		1,289

				29,698

Massachusetts – 3.7%

Lincoln School G.O. Unlimited Bonds,

3.50%, 3/1/44		3,810		4,209

Massachusetts Bay Transportation Authority Assessment Revenue Refunding Bonds, Series A,

5.00%, 7/1/41		2,800		3,006

Massachusetts State Bay Transportation Authority Sales Tax Revenue Refunding CABS, Series A,

0.00%, 7/1/29⁽⁵⁾		2,500		2,144

Massachusetts State Bay Transportation Authority Sales TRB, Senior Series B,

5.25%, 7/1/33		1,900		2,631

Massachusetts State College Building Authority, Revenue Bonds, Series B, Green Bonds (State Intercept Program), Prerefunded,

5.00%, 5/1/24⁽⁸⁾		1,000		1,171

Massachusetts State Development Finance Agency Revenue Refunding Bonds, Suffolk University,

5.00%, 7/1/36		445		524

5.00%, 7/1/38		340		398

Massachusetts State HFA Sustainability Revenue Bonds, Series A-1 (FHA Insured),

3.00%, 12/1/50		500		518

Massachusetts State Housing Finance Agency Revenue Bonds, Series H,

4.40%, 12/1/46		1,000		1,097

Massachusetts State Port Authority Revenue Bonds, Series A,

5.00%, 7/1/40		2,725		3,155


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Massachusetts – 3.7% continued

Massachusetts State Port Authority Revenue Bonds, Series C (AMT),

5.00%, 7/1/44		$2,000		$2,446

Massachusetts State School Building Authority Sales Tax Revenue Refunding Bonds, Senior Series B, Social Bonds,

0.79%, 8/15/24		5,000		5,026

Massachusetts State School Building Authority Sales TRB, Sebseries A,

5.25%, 2/15/48		5,000		6,220

Massachusetts State School Building Authority Sales TRB, Senior Series A, Prerefunded,

5.00%, 5/15/23⁽⁸⁾		2,630		2,961

Massachusetts State School Building Authority Sales TRB, Senior Series A, Unrefunded Balance,

5.00%, 5/15/38		2,370		2,623

Massachusetts State School Building Authority Sales TRB, Series A, Senior Lien,

5.00%, 5/15/43		3,015		3,324

Massachusetts State School Building Authority Sales TRB, Series B, Senior Lien,

5.00%, 11/15/36		1,500		1,846

5.00%, 11/15/39		2,500		3,064

Massachusetts State School Building Authority Subordinated Sales TRB, Series A,

5.00%, 2/15/44		4,000		5,000

Massachusetts State Special Obligation Dedicated Refunding Revenue Bonds, (NATL Insured),

5.50%, 1/1/34		2,500		3,419

Massachusetts State Transportation Fund Rail Enhancement & Accelerated Revenue Bonds,

5.00%, 6/1/42		7,820		9,564

Massachusetts State Transportation Fund Revenue Bonds, Series A, Accelerated Bridge Program, Prerefunded,

5.00%, 6/1/21⁽⁸⁾		5,000		5,162


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Massachusetts – 3.7% continued

Massachusetts State Water Resources Authority General Revenue Bonds, Series B,

5.00%, 8/1/43		$1,455		$1,824

				71,332

Michigan – 2.3%

Detroit City School District G.O. Unlimited Refunding Bonds, Series A (Q-SBLF Insured),

5.00%, 5/1/32		1,000		1,309

5.00%, 5/1/33		1,000		1,295

Ferndale Public Schools G.O. Unlimited Bonds (Q-SBLF Insured),

3.00%, 5/1/45		1,600		1,675

Grand Rapids Public Schools Building & Site G.O. Unlimited Refunding Bonds (AGM Insured),

5.00%, 5/1/25		1,000		1,206

Michigan State Building Authority Facilities Program Revenue Refunding Bonds, Series I,

5.00%, 4/15/38		2,000		2,377

Michigan State Building Authority Facilities Program Revenue Refunding Bonds, Series I-A,

5.50%, 10/15/45		3,565		3,762

Michigan State Building Authority Facilities Program Revenue Refunding Bonds, Series II-A,

5.38%, 10/15/36		5,000		5,270

Michigan State Building Authority Revenue Refunding Bonds, Series I,

3.00%, 10/15/45		5,000		5,243

Michigan State Finance Authority Revenue Refunding Bonds, Series H-1,

5.00%, 10/1/39		5,000		5,743

Michigan State University Revenue Bonds, Series B, Board of Trustees,

5.00%, 2/15/44		2,000		2,486

Thornapple Kellogg School District G.O. Unlimited Refunding Bonds (Q-SBLF Insured),

5.00%, 5/1/39		2,050		2,644


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Michigan – 2.3% continued

Walled Lake Consolidated School District G.O. Unlimited Bonds (Q-SBLF Insured),

5.00%, 5/1/45		$1,300		$1,657

5.00%, 5/1/50		3,500		4,413

Wayne County Airport Authority Revenue Bonds, Series D,

5.00%, 12/1/45		2,000		2,313

Wayne County Airport Authority Revenue Refunding Bonds, Series G,

5.00%, 12/1/34		2,625		3,076

				44,469

Minnesota – 0.0%

Minneapolis Special School District No. 1 G.O. Unlimited Bonds, Series B, Long-Term Facilities Maintenance (School District Credit Program),

5.00%, 2/1/28		275		348

Mississippi – 0.1%

Mississippi State Taxable G.O. Unlimited Refunding Bonds, Series A,

0.72%, 11/1/25		2,000		2,006

Missouri – 0.9%

Metropolitan Saint Louis Sewer District Wastewater System Revenue Refunding & Improvement Bonds, Series B,

5.00%, 5/1/33		1,000		1,187

Metropolitan Saint Louis Sewer District Wastewater System Revenue Refunding & Improvement Bonds, Series B, Prerefunded,

5.00%, 5/1/25⁽⁸⁾		1,605		1,943

Metropolitan Saint Louis Sewer District Wastewater System Revenue Refunding & Improvement Bonds, Series B, Unrefunded Balance,

5.00%, 5/1/45		3,395		3,958

Missouri State Health & Educational Facilities Authority Educational Facilities Revenue Bonds, Series A, Saint Louis University,

5.00%, 10/1/38		2,500		2,908


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Missouri – 0.9% continued

Missouri State Health & Educational Facilities Authority Health Facilities Revenue Bonds,

6/1/53⁽⁴⁾		$5,000		$4,811

Missouri State Health & Educational Facilities Authority Health Facilities Revenue Refunding Bonds, Series A, St. Luke’s Health System,

5.00%, 11/15/43		1,280		1,539

				16,346

Montana – 0.1%

Montana Board of Housing Single Family Program Revenue Refunding Bonds, Series A (FHA Insured HUD VA),

3.90%, 12/1/48		95		103

Montana Facility Finance Authority Revenue Refunding Bonds, Series A, Social Health System,

4.00%, 1/1/38		1,250		1,450

				1,553

Nebraska – 1.4%

Douglas County Hospital Authority No. 2 Health Facilities Revenue Bonds, Children’s Hospital Obligated Group,

5.00%, 11/15/36		1,000		1,189

5.00%, 11/15/37		1,000		1,186

Omaha Public Power District Electric Revenue Refunding Bonds, Series A,

4.00%, 2/1/42		5,000		5,660

5.00%, 2/1/42		4,250		5,269

Omaha Public Power District Electric Revenue Bonds, Series B,

4.00%, 2/1/46		5,000		5,145

Omaha Public Power District Electric Revenue Bonds, Series B, Prerefunded,

5.00%, 2/1/22⁽⁸⁾		2,210		2,351

University of Nebraska Facilities Corp. Taxable Revenue Refunding Bonds, Series B,

2.82%, 10/1/34		5,000		5,415

				26,215


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Nevada – 0.7%

Clark County Airport System Subordinate Lien Revenue Refunding Bonds Series A-2,

4.25%, 7/1/36		$5,000		$5,395

Clark County G.O. Limited Bonds, Flood Control,

3.25%, 11/1/37		1,000		1,091

Clark County School District Building G.O. Limited Bonds, Series A,

4.00%, 6/15/36		2,000		2,281

Clark County School District G.O. Limited Bonds, Series D,

4.00%, 6/15/34		5,000		5,529

				14,296

New Jersey – 0.5%

New Jersey State EDA Revenue Bonds, Transit Transportation Project,

5.00%, 11/1/34		2,000		2,327

New Jersey State EDA Revenue School Facilities Construction Revenue Bonds,

5.00%, 6/15/34		500		583

4.00%, 6/15/44		2,250		2,331

New Jersey State Transportation Trust Fund Authority Revenue Bonds, Transportation Program,

5.25%, 6/15/43		4,500		5,093

				10,334

New York – 15.5%

Metropolitan Transportation Authority Revenue Bonds, Series A-1, Group 1, Green Bonds (AGM Insured),

4.00%, 11/15/43		5,000		5,450

Metropolitan Transportation Authority Revenue Bonds, Series G, Prerefunded,

5.25%, 11/15/20⁽⁸⁾		5,000		5,031

Metropolitan Transportation Authority Revenue Refunding Bonds, Subseries C-1,

5.00%, 11/15/31		1,540		1,603

5.00%, 11/15/34		2,000		2,077

Monroe County Industrial Development Corp. Revenue Bonds, University of Rochester Project,

4.00%, 7/1/50		5,000		5,697


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

New York – 15.5% continued

New York City Housing Development Corp. MFH Revenue Bonds, Sustainable Neighborhood Bonds,

3.00%, 11/1/39		$1,750		$1,825

New York City Housing Development Corp. MFH Revenue Refunding Bonds, Sustainable Neighborhood Bonds,

3.00%, 11/1/44		2,000		2,067

New York City Municipal Water Finance Authority Water & Sewer System Revenue Bonds, Second General Resolution, Fiscal 2014,

5.00%, 6/15/46		2,000		2,226

New York City Municipal Water Finance Authority Water & Sewer System Revenue Bonds, Series BB, Second Generation, Fiscal 2013,

5.00%, 6/15/47		2,500		2,734

New York City Municipal Water Finance Authority Water & Sewer System Revenue Refunding Bonds, Second General Resolution,

5.00%, 6/15/40		5,000		6,227

New York City Municipal Water Finance Authority Water & Sewer System Revenue Refunding Bonds, Series AA,

5.00%, 6/15/32		10,000		10,332

New York City Municipal Water Finance Authority Water & Sewer System Revenue Refunding Bonds, Series AA-1,

5.00%, 6/15/50		7,500		9,506

New York City Municipal Water Finance Authority Water & Sewer System Revenue Refunding Bonds, Series EE,

5.25%, 6/15/36		2,000		2,504

5.00%, 6/15/39		1,800		2,197

New York City Municipal Water Finance Authority Water & Sewer System Revenue Refunding Bonds, Series GG,

5.00%, 6/15/39		2,000		2,372


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

New York – 15.5% continued

New York City Municipal Water Finance Authority Water & Sewer System Subordinate Revenue Refunding Bonds, Subseries FF-2,

5.00%, 6/15/40		$3,500		$4,433

New York City Transitional Finance Authority Building Aid Fiscal 2015 Revenue Bonds, Series S (State Aid Withholding),

5.00%, 7/15/36		1,500		1,765

New York City Transitional Finance Authority Building Aid Revenue Bonds, Series S-3 (State Aid Withholding),

5.00%, 7/15/43		3,000		3,652

New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Subseries A-1,

5.00%, 5/1/38		2,500		2,500

New York City Transitional Finance Authority Future Tax Secured Revenue Refunding Bonds,

5.00%, 11/1/27		2,500		3,217

5.00%, 11/1/33		2,500		3,290

New York City Transitional Finance Authority Future Tax Secured Subordinate Revenue Bonds,

5.00%, 8/1/40		250		306

New York City Transitional Finance Authority Future Tax Secured Subordinate Revenue Bonds, Fiscal 2017,

5.00%, 2/1/40		7,485		9,033

5.00%, 2/1/43		8,310		9,958

New York City Transitional Finance Authority Future Tax Subordinate Revenue Bonds,

3.00%, 5/1/48		4,750		4,925

New York City Transitional Finance Authority Subordinate Revenue Bonds, Series A-3,

3.00%, 5/1/45		10,000		10,400

New York City Transitional Finance Authority Subordinate Revenue Bonds, Series C-3,

5.00%, 5/1/41		5,000		6,074


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

New York – 15.5% continued

New York City Transitional Finance Authority Subordinate Revenue Bonds, Subseries B-1,

5.00%, 11/1/34		$500		$596

New York G.O. Unlimited Bonds, Series E-1,

4.00%, 3/1/42		2,500		2,787

New York G.O. Unlimited Bonds, Series I, Subseries 1-I,

5.00%, 3/1/28		1,510		1,732

New York G.O. Unlimited Bonds, Subseries A-1,

4.75%, 8/1/38		3,500		3,815

New York G.O. Unlimited Bonds, Subseries F-1,

5.00%, 3/1/37		5,000		5,500

5.00%, 4/1/43		2,000		2,376

New York G.O. Unlimited Refunding Bonds, Series A-1,

5.00%, 8/1/28		1,000		1,282

New York G.O. Unlimited Refunding Bonds, Series B-1,

5.00%, 11/1/28		11,000		14,169

New York State Dormitory Authority Non State Supported Debt Revenue Bonds, School Districts Financing Program (AGC State Aid Withholding), Unrefunded Balance,

5.25%, 10/1/23		165		166

New York State Dormitory Authority Non State Supported Debt Revenue Bonds, Series 2020, School Districts Financing Program (AGM Insured),

5.00%, 10/1/33		1,000		1,253

New York State Dormitory Authority Non State Supported Debt Revenue Bonds, Series A,

5.00%, 7/1/36		2,500		3,098

New York State Dormitory Authority Non State Supported Debt Revenue Bonds, Series A-2, Columbia University,

5.00%, 10/1/46		500		781


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

New York – 15.5% continued

New York State Dormitory Authority Non State Supported Debt Revenue Refunding Bonds, Series B, Columbia University,

5.00%, 10/1/38		$4,500		$5,677

New York State Dormitory Authority Personal Income Tax Revenue Refunding Bonds, Series B,

5.00%, 2/15/37		2,530		3,100

New York State Dormitory Authority Revenues Non State Supported Debt Revenue Bonds, Series A, Columbia University,

5.00%, 10/1/50		5,000		8,017

New York State Dormitory Authority Sales TRB, Series A, Group B,

5.00%, 3/15/38		5,090		6,147

New York State Dormitory Authority State Personal Income Tax Revenue Refunding Bonds, Series A,

5.00%, 3/15/33		2,000		2,431

5.25%, 3/15/38		5,000		6,256

5.25%, 3/15/39		2,500		3,117

New York State Dormitory Authority State Personal Income Tax Revenue Refunding Bonds, Series E,

3.25%, 3/15/35		1,000		1,037

3.25%, 3/15/36		5,035		5,204

New York State Dormitory Authority State Personal Income TRB, Series A, Unrefunded Balance,

5.00%, 2/15/43		2,000		2,381

New York State Environmental Facilities Corp. Clean & Drinking Water Revenue Bonds, Municipal Water Revolving Funds,

5.00%, 6/15/42		4,000		4,914

New York State Environmental Facilities Corp. Clean & Drinking Water Revolving Funds Pooled Financing Program Revenue Bonds, Series B, Escrowed to Maturity,

5.50%, 4/15/35		5,000		7,304

New York State Environmental Facilities Corp. Revenue Bonds, Series C, Green Bonds,

5.00%, 8/15/37		1,200		1,499


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS -82.5% continued

New York – 15.5% continued

New York State Environmental Facilities Corp. State Clean & Drinking Water Revolving Funds Revenue Bonds, New York City Municipal Water,

5.00%, 6/15/41		$10,000		$10,295

New York State Environmental Facilities Corp. State Clean & Drinking Water Subordinate Revenue Refunding Bonds, Series B,

5.00%, 6/15/44		3,300		4,210

New York State Environmental Facilities Corp. State Clean Water & Drinking Water Subordinated Revenue Refunding SRF Bonds,

4.00%, 6/15/46		5,000		5,583

New York State Environmental Facilities Corp. State Clean Water & Drinking Water Subordinated Revenue Refunding SRF Bonds, New York City Municipal Water,

4.00%, 6/15/45		2,000		2,342

New York State Housing Finance Agency Affordable Housing Revenue Bonds, Series E (SonyMA, FNMA Insured),

4.15%, 11/1/47		1,000		1,076

New York State Power Authority Revenue Refunding Bonds, Series A,

4.00%, 11/15/45		3,000		3,510

New York State Thruway Authority General Revenue Junior Indebtedness Obligations Subordinate Revenue Bonds, Series B,

4.00%, 1/1/45		2,000		2,262

New York State Thruway Authority Revenue Bonds, Series J,

5.00%, 1/1/27		50		57

New York State Thruway Authority Revenue Bonds, Series N, Group 1,

5.00%, 1/1/39		10,000		12,624

New York State Urban Development Corp. General Personal Income TRB, Series A,

4.00%, 3/15/45		2,500		2,867


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

New York – 15.5% continued

New York State Urban Development Corp. Personal Income TRB, Series A-1,

5.00%, 3/15/43		$3,000		$3,290

New York State Urban Development Corp. Taxable General Personal Income TRB,

3.90%, 3/15/33		5,000		5,672

Port Authority of New York & New Jersey Consolidated Revenue Bonds, Series 217,

5.00%, 11/1/44		2,000		2,444

Port Authority of New York & New Jersey Consolidated Revenue Refunding Bonds, Series 186 (AMT),

5.00%, 10/15/44		3,000		3,389

Port Authority of New York & New Jersey Consolidated Revenue Refunding Bonds, Series 222,

4.00%, 7/15/36		5,500		6,434

Port Authority of New York & New Jersey Revenue Refunding Bonds, Series 207 (AMT),

5.00%, 9/15/28		1,000		1,256

Sales Tax Asset Receivable Corp. Revenue Refunding Bonds, Series A, Fiscal 2015,

5.00%, 10/15/31		500		589

Troy Capital Resource Corp. Revenue Refunding Bonds, Rensselaer Polytechnic Institute Project, Forward Delivery,

4.00%, 9/1/40		1,250		1,370

Utility Debt Securitization Authority Restructuring Revenue Refunding Bonds,

5.00%, 12/15/37		2,500		3,026

Utility Debt Securitization Authority Revenue Bonds, Restructuring Bonds,

5.00%, 12/15/39		2,500		3,120

5.00%, 12/15/40		1,000		1,245

Utility Debt Securitization Authority Revenue Bonds, Restructuring Bonds, Series TE,

5.00%, 12/15/41		3,500		3,974


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

New York – 15.5% continued

Westchester County G.O. Limited Bonds, Series A,

4.00%, 12/1/29		$625		$747

				297,422

North Carolina – 0.9%

Charlotte Airport Revenue Bonds, Charlotte Douglas International (AMT),

4.00%, 7/1/39		1,255		1,417

Charlotte COPS, Series B,

3.00%, 6/1/22		2,000		2,004

Charlotte Refunding COPS, Convention Facility Project,

4.00%, 6/1/49		3,000		3,428

North Carolina Capital Facilities Finance Agency Educational Revenue Bonds, Wake Forest University,

5.00%, 1/1/48		1,000		1,208

North Carolina State Eastern Municipal Power Agency System Revenue Refunding Bonds, Series B (NATL, IBC Insured), Escrowed to Maturity,

6.00%, 1/1/22		6,015		6,442

North Carolina State Housing Finance Agency Home Ownership Revenue Bonds, Series 44,

3.00%, 7/1/46		1,000		1,046

North Carolina State Turnpike Authority Senior Lien Revenue Bonds, Triangle Expressway (AGM Insured),

5.00%, 1/1/49		500		614

4.00%, 1/1/55		500		563

Western Carolina University Revenue Bonds, Series B,

4.00%, 4/1/45		1,000		1,153

				17,875

Ohio – 2.3%

Hamilton County Hospital Facilities Revenue Bonds, Cincinnati Children’s Hospital Project,

5.00%, 11/15/41		1,750		2,610

5.00%, 11/15/49		3,500		5,507


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Ohio – 2.3% continued

Liberty-Benton Local School District G.O. Unlimited Bonds (School District Credit Program),

4.00%, 11/1/44		$1,975		$2,302

Ohio State Common Schools G.O. Unlimited Refunding Bonds, Series C,

4.00%, 9/15/22		4,000		4,301

Ohio State Higher Education G.O. Unlimited Bonds, Series A,

5.00%, 5/1/34		5,780		7,185

Ohio State Hospital Facility Revenue Refunding Bonds, Cleveland Clinic Health System,

4.00%, 1/1/36		1,000		1,157

Ohio State Infrastructure Improvement G.O. Unlimited Refunding Bonds, Series C,

4.00%, 8/1/21		2,080		2,147

Ohio State Water Development Authority Water PCR Loan Fund Bonds, Series A,

5.00%, 12/1/37		3,000		3,974

Ohio Turnpike & Infrastructure Commission Senior Lien Revenue Bonds, Series A, Prerefunded,

5.00%, 2/15/23⁽⁸⁾		10,000		11,126

Perry Local School District Stark County G.O. Unlimited Bonds (School District Credit Program),

11/1/50⁽⁴⁾		2,675		2,598

Washington Local School District Lucas County G.O. Unlimited Bonds, Series A (School District Credit Program),

3.13%, 12/1/51		2,000		2,023

				44,930

Oklahoma – 0.3%

Norman Regional Hospital Authority Revenue Bonds, Norman Regional Hospital Authority,

4.00%, 9/1/45		4,000		4,328

Oklahoma State Turnpike Authority Second Senior Revenue Bonds, Series C,

4.00%, 1/1/42		2,000		2,258

				6,586


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Oregon – 1.8%

Clackamas County School District No. 12 North Clackamas G.O. Unlimited CABS, Series A, (School Board Guaranty Program),

0.00%, 6/15/38⁽⁵⁾		$7,500		$4,048

Clackamas County School District No. 62C Oregon City G.O. Unlimited CABS, Series A (School Board Guaranty Program),

0.00%, 6/15/37⁽⁵⁾		1,000		607

Medford Hospital Facilities Authority Revenue Refunding Bonds, Series A, Asante Project (AGM Insured),

4.00%, 8/15/45		1,000		1,147

Multnomah-Clackamas Counties Centennial School District No. 28 G.O. Unlimited Refunding Bonds (School Board Guaranty Program),

5.00%, 6/15/45		5,000		6,371

Oregon State Department of Transportation Highway User Tax Revenue Bonds, Series A, Subordinate Lien,

5.00%, 11/15/40		5,000		6,562

Oregon State Department of Transportation Highway User Tax Revenue Refunding Bonds, Series A,

5.00%, 11/15/28		1,100		1,315

Oregon State Health & Science University Revenue Refunding Bonds, Series A,

4.00%, 7/1/44		1,685		1,946

Oregon State Health & Science University Revenue Refunding Bonds, Series B,

5.00%, 7/1/38		2,035		2,419

Port of Portland International Airport Revenue Bonds,

5.00%, 7/1/49		2,010		2,428

Salem Hospital Facility Authority Revenue Refunding Bonds, Multi Model Salem Health Projects,

5.00%, 5/15/44		3,500		4,228


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Oregon – 1.8% continued

Washington Multnomah & Yamhill Counties Hillsboro School District No. 1J G.O. Unlimited Bonds (School Board Guaranty Program),

5.00%, 6/15/35		$2,000		$2,486

				33,557

Pennsylvania – 2.0%

Commonwealth Financing Authority Tobacco Master Settlement Payment Revenue Bonds (AGM Insured),

4.00%, 6/1/39		5,000		5,673

Delaware County Regional Water Quality Control Authority Sewer Revenue Bonds,

5.00%, 5/1/32		820		973

5.00%, 5/1/35		865		1,022

Franklin County G.O. Unlimited Refunding Bonds,

4.00%, 11/1/33		1,075		1,222

Geisinger Authority Health System Revenue Refunding Bonds,

4.00%, 4/1/50		4,000		4,517

Pennsylvania State G.O. Unlimited Bonds, Series 1,

4.00%, 3/15/35		2,500		2,796

Pennsylvania State Higher Educational Facilities Authority Revenue Bonds, University of Pennsylvania Health System,

5.00%, 8/15/49		5,000		6,156

Pennsylvania State Turnpike Commission Oil Franchise Tax Subordinate Revenue Bonds, Series B,

5.00%, 12/1/43		2,500		3,011

Pennsylvania State Turnpike Commission Revenue Bonds, Series A,

5.00%, 12/1/33		1,500		1,945

Philadelphia Water & Wastewater Revenue Bonds, Series A,

5.00%, 11/1/45		3,450		4,390

Springfield School District Delaware County G.O. Unlimited Bonds (State Aid Withholding),

4.00%, 3/1/43		1,500		1,742


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Pennsylvania – 2.0% continued

Upper Merion Area School District G.O. Limited Bonds (State Aid Withholding),

4.00%, 9/1/49		$1,100		$1,271

West Shore School District G.O. Limited Bonds (State Aid Withholding),

4.00%, 11/15/45		2,055		2,364

4.00%, 11/15/48		1,000		1,145

				38,227

Rhode Island – 0.4%

Rhode Island Infrastructure Bank Municipal Road And Bridge Revolving Fund Revenue Bonds, Series A,

5.00%, 10/1/29		1,430		1,906

Rhode Island Turnpike & Bridge Authority Motor Fuel TRB, Series A,

4.00%, 10/1/44		5,265		5,788

				7,694

South Carolina – 1.8%

Charleston County School District G.O. Unlimited BANS, Phase IV Sales Tax Project (SCSDE Insured),

5.00%, 5/12/21		10,000		10,294

Charleston Waterworks & Sewer System Revenue Bonds,

5.00%, 1/1/44		2,500		3,233

Patriots Energy Group Financing Agency South Carolina Gas Supply Revenue Bonds, Series A,

4.00%, 2/1/24⁽¹⁾^(2) (3)		2,000		2,211

Piedmont Municipal Power Agency Electric Revenue Bonds, Series 2004 (BHAC, CR MBIA Insured),

5.38%, 1/1/25		5,820		6,929

South Carolina State Jobs-EDA Hospital Facilities Revenue Refunding Bonds, Bon Secours Mercy Health,

4.00%, 12/1/44		2,000		2,275

South Carolina State Transportation Infrastructure Bank Variable Revenue Refunding Bonds, Series 2003B,

(Floating, ICE LIBOR USD 1M + 0.45%), 0.55%, 10/1/22⁽¹⁾⁽³⁾		9,950		9,899

				34,841


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Tennessee – 0.7%

Metropolitan Government Nashville & Davidson County Health & Educational Facility Board Revenue Refunding Bonds, Lipscomb University Project,

5.25%, 10/1/58		$1,500		$1,612

Metropolitan Nashville Airport Authority Subordinate Revenue Bonds, Series B (AMT),

4.00%, 7/1/49		2,000		2,181

Tennessee Housing Development Agency Residential Financing Program Revenue Bonds, Series 1B,

3.38%, 7/1/38		130		138

Tennessee Housing Development Agency Residential Financing Program Revenue Bonds, Series 2B,

3.95%, 1/1/38		205		220

Tennessee State Energy Acquisition Corp. Gas Revenue Bonds,

4.00%, 11/1/25⁽¹⁾^{(2) (3)}		2,000		2,281

Tennessee State G.O. Unlimited Bonds, Series A,

5.00%, 9/1/34		5,000		6,384

				12,816

Texas – 3.2%

Austin Electric Utility System Revenue Refunding Bonds, Series A,

5.00%, 11/15/28		500		609

Central Regional Mobility Authority Revenue Refunding Bonds,

5.00%, 1/1/46		750		858

Dallas Area Rapid Transit Sales Tax Revenue Refunding Bonds, Series A,

5.00%, 12/1/31		3,425		4,184

Harris County Flood Control District G.O. Limited Bonds, Series A,

5.00%, 10/1/30		2,000		2,693

Houston Airport System Subordinate Revenue Bonds, Series A (AMT),

7/1/47⁽⁴⁾		2,000		2,207

Lower Colorado River Authority Revenue Refunding Bonds,

5.00%, 5/15/39		2,500		2,749


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Texas – 3.2% continued

North Texas Tollway Authority Revenue Refunding Bonds,

4.25%, 1/1/49		$1,500		$1,702

North Texas Tollway Authority Revenue Refunding Bonds, First Tier,

5.00%, 1/1/38		2,500		2,523

North Texas Tollway Authority Revenue Refunding Bonds, Series A, First Tier,

5.00%, 1/1/39		2,500		3,054

Northside Texas Independent School District Building G.O. Unlimited Bonds, Series A (PSF, Gtd.),

4.00%, 6/1/30		4,390		4,635

Pflugerville Independent School District Tax School Building G.O. Unlimited Bonds, Series 2014 (PSF, Gtd.),

4.00%, 2/15/33		5,000		5,563

Port of Houston Authority Unlimited Tax Refunding G.O. Unlimited Bonds, Series A-2,

5.00%, 10/1/32		3,000		4,063

Texas State Department of Housing & Community Affairs Revenue Bonds, Series A (GNMA Insured),

3.38%, 9/1/39		2,730		2,970

Texas State G.O. Unlimited Refunding Bonds, Series A, Transportation Commission,

5.00%, 10/1/44		5,000		5,951

Texas State Private Activity Bond Surface Transportation Corp. Revenue Refunding Bonds, LBJ Infrastructure Group,

4.00%, 6/30/40		1,000		1,126

Texas State Water Development Board TRB, Series B,

3.03%, 10/15/39		750		833

University of Texas Permanent University Fund Revenue Bonds, Series B,

4.00%, 7/1/41		5,000		5,725

University of Texas, University Revenue Bonds, Series B,

5.00%, 8/15/29		1,000		1,349

5.00%, 8/15/49		5,000		7,927

				60,721


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Utah – 0.8%

Davis County School District G.O. Unlimited Bonds, Utah School Bond Guaranty Program (School Board Guaranty Program),

3.00%, 6/1/30		$3,330		$3,645

Park City Sales TRB,

4.00%, 12/15/31		2,200		2,625

Provo G.O. Unlimited Refunding Bonds,

5.00%, 1/1/26		500		619

Salt Lake City Airport Revenue Bonds, Series A (AMT),

5.00%, 7/1/42		3,000		3,466

University of Utah Revenue Bonds, Series A,

5.00%, 8/1/44		2,565		3,127

Utah State Transit Authority Sales TRB, Senior Lien,

5.00%, 12/15/33		1,125		1,411

				14,893

Virginia – 1.1%

Arlington County IDA Revenue Refunding Bonds, Virginia Hospital Center,

4.00%, 7/1/45		2,000		2,287

Norfolk G.O. Unlimited Bonds, Series A, Prerefunded,

5.00%, 10/1/26⁽⁸⁾		500		639

Norfolk G.O. Unlimited Refunding Bonds, Series A (State Aid Withholding), Prerefunded,

5.00%, 10/1/22⁽⁸⁾		500		548

Roanoke EDA Hospital Revenue Refunding Bonds, Series A, Carilion Clinic Obligated Group,

5.00%, 7/1/47		3,000		4,649

Virginia HAD Revenue Bonds, Series E,

3.15%, 12/1/49		1,500		1,578

Virginia State College Building Authority Educational Facilities Revenue Bonds, 21st Century College & Equipment,

4.50%, 2/1/34		5,000		5,502


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Virginia – 1.1% continued

Virginia State College Building Authority Educational Facilities Revenue Refunding Bonds, 21st Century College & Equipment,

5.00%, 2/1/30		$2,530		$3,266

Virginia State Commonwealth Transportation Board Revenue Bonds, Capital Projects,

4.00%, 5/15/37		2,000		2,094

				20,563

Washington – 2.2%

Benton County Public Utility District No. 1 Revenue Bonds, Series A,

4.00%, 11/1/45		1,390		1,626

Central Puget Sound Regional Transit Authority Sales & Use Tax Revenue Refunding & Improvement Bonds, Series S-1, Green Bonds,

5.00%, 11/1/50		5,000		5,967

Grant County Public Utility District No.2 Electric Variable Revenue Refunding Bonds, Series S,

2.00%, 12/1/23⁽¹⁾^{(2) (3)}		5,000		5,192

King County Public District No. 2 (Evergreenhealth) G.O. Limited Bonds, Series A,

4.00%, 12/1/45		1,500		1,686

Snohomish County Public Utility District No. 1 Electric System Revenue Bonds,

5.00%, 12/1/40		560		673

Washington State G.O. Unlimited Bonds, Series A,

5.00%, 8/1/37		5,000		6,624

Washington State G.O. Unlimited Bonds, Series B,

5.00%, 2/1/37		5,000		5,892

Washington State G.O. Unlimited Bonds, Series C,

5.00%, 2/1/32		2,230		2,850

Washington State Health Care Facilities Authority Revenue Refunding Bonds, Providence Health & Services,

5.00%, 10/1/38		5,000		5,593


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Washington – 2.2% continued

Washington State Housing Finance Commission SFM Revenue Refunding Bonds,

3.70%, 12/1/34		$20		$22

Washington State Motor Fuel Tax G.O. Unlimited Bonds, Series E,

5.00%, 2/1/38		2,000		2,274

Washington State University Revenue Refunding Bonds,

5.00%, 4/1/40		1,320		1,511

Washington State Various Purpose G.O. Unlimited Bonds, Series A,

5.00%, 8/1/39		1,500		1,892

				41,802

West Virginia – 0.6%

Marshall University Revenue Refunding Bonds, Series A (AGM Insured),

3.00%, 5/1/46		500		514

4.00%, 5/1/50		10,000		11,220

				11,734

Wisconsin – 1.3%

PFA Hospital Revenue Refunding Bonds, Renown Regional Medical Center Project,

3.00%, 6/1/45		2,500		2,514

4.00%, 6/1/45		3,250		3,636

PMA Levy & Aid Anticipation Notes Program Revenue Participation Notes, Series A,

3.00%, 10/23/20		2,500		2,504

University Hospitals & Clinics Authority Revenue Refunding Bonds, Series A,

4.25%, 4/1/48		4,000		4,532

Wisconsin State G.O. Unlimited Bonds, Series A,

5.00%, 5/1/40		3,000		3,645

Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Marquette University,

5.00%, 10/1/35		1,025		1,178

Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Milwaukee Regional Medical Center,

4.13%, 4/1/46		1,500		1,580


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL BONDS - 82.5% continued

Wisconsin – 1.3% continued

Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Rogers Memorial Hospital,

5.00%, 7/1/49		$2,000		$2,274

Wisconsin State Housing & EDA Revenue Bonds, Series A,

4.45%, 5/1/57		2,305		2,571

				24,434
Total Municipal Bonds
(Cost $1,526,986)				1,582,203

	NUMBER OF SHARES		VALUE (000S)

INVESTMENT COMPANIES – 8.4%

Northern Institutional Funds - U.S. Government Portfolio (Shares),

0.00%⁽⁹⁾⁽¹⁰⁾		161,572,915		$161,573
Total Investment Companies
(Cost $161,573)				161,573

	PRINCIPAL AMOUNT (000S)		VALUE (000S)

SHORT-TERM INVESTMENTS – 11.3%

Broward County School District Revenue TANS,

2.00%, 6/30/21		$5,000		$5,067

California State Infrastructure & Economic Development Bank Revenue Bonds, Brightline West Passenger (AMT),

0.45%, 7/1/21⁽¹⁾^{(2) (3) (11)}		6,250		6,250

Colorado State General Fund TRANS,

4.00%, 6/25/21		10,000		10,278

Director of the State of Nevada Department of Business & Industry Revenue Bonds, Brightline West Passenger (AMT),

0.50%, 7/1/21⁽¹⁾^(2) (3)		1,500		1,500

Greenville County School District G.O. Unlimited Bonds, Series C (SCSDE Insured),

3.00%, 6/1/21		5,000		5,094

Hennepin County Variable G.O. Unlimited Refunding Bonds, Series B,

0.11%, 10/9/20⁽¹⁾^(3) (12)		4,790		4,790

Los Angeles County TRANS, Series A,

4.00%, 6/30/21		5,000		5,142


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

SHORT-TERM INVESTMENTS - 11.3% continued

Los Angeles TRANS,

4.00%, 6/24/21		$10,000		$10,278

New York City Transitional Finance Authority Future Tax Secured Adjustable Subordinate Revenue Bonds,

0.07%, 10/2/20⁽¹⁾^(3) (12)		4,500		4,500

New York City Transitional Finance Authority Subordinate Revenue Bonds, Series 1,

5.00%, 11/1/20		5,000		5,020

New York State Dormitory Authority State Personal Income Tax Subordinate RANS, Series B,

5.00%, 3/31/21		10,000		10,240

Ohio State University Variable Revenue Bonds, Series B,

0.08%, 10/9/20⁽¹⁾^(3) (12)		900		900

Riverside County TRANS,

4.00%, 6/30/21		5,000		5,143

Texas State TRANS,

4.00%, 8/26/21		135,000		139,625

Utah County Hospital Revenue Bonds, Series C, IHC Health Services, Inc.,

0.08%, 10/2/20⁽¹⁾^(3) (12)		3,210		3,210
Total Short-Term Investments
(Cost $216,958)				217,037

Total Investments – 102.2%
(Cost $1,905,517)				1,960,813

Liabilities less Other Assets – (2.2%)				(41,313	)
NET ASSETS – 100.0%				$1,919,500

⁽¹⁾

Maturity date represents the puttable date.

⁽²⁾

These securities are remarketed by an agent, and the interest rate is determined by general market conditions and supply and demand.

⁽³⁾

Variable rate security. Rate as of September 30, 2020 is disclosed.

⁽⁴⁾

When-Issued Security. Coupon rate is not in effect at September 30, 2020.

⁽⁵⁾

Zero coupon bond.

⁽⁶⁾

Discount rate at the time of purchase.

⁽⁷⁾

Step coupon bond. Rate as of September 30, 2020 is disclosed.

⁽⁸⁾

Maturity date represents the prerefunded date.

⁽⁹⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽¹⁰⁾

7-day current yield as of September 30, 2020 is disclosed.

⁽¹¹⁾

⁽¹²⁾

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

1M - 1 Month

AGC - Assured Guaranty Corporation

AGM - Assured Guaranty Municipal Corporation

AMT - Alternative Minimum Tax

BAM - Build America Mutual

BANS - Bond Anticipation Notes

BHAC - Berkshire Hathaway Assurance Corporation

CABS - Capital Appreciation Bonds

COPS - Certificates of Participation

CR - Custody Receipt

CWA - Clean Water Act

EDA - Economic Development Authority

FHA - Federal Housing Administration

FNMA - Federal National Mortgage Association

G.O. - General Obligation

GNMA - Government National Mortgage Association

Gtd. - Guaranteed

HFA - Housing Finance Authority

HUD - Housing and Urban Development

IBC - Insured Bond Certificates

ICE - Intercontinental Exchange

IDA - Industrial Development Authority

LIBOR - London Interbank Offered Rate

MBIA - Municipal Bonds Insurance Association

MFH - Multi-Family Housing

NATL - National Public Finance Guarantee Corporation

PCR - Pollution Control Revenue

At September 30, 2020, the industry sectors for the Fund were:



INDUSTRY SECTOR	% OF INVESTMENTS

Airport		6.1%

General		25.3

General Obligation		11.3

Higher Education		7.6

Medical		6.1

School District		7.2

Short-Term Investments		8.2

Transportation		9.0

Water		7.9

All other sectors less than 5%		11.3

Total		100.0%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).



INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)
Municipal Bonds⁽¹⁾	$	—	$	1,582,203		$—	$	1,582,203

Investment Companies		161,573		—		—		161,573

Short-Term Investments		—		217,037		—		217,037
Total Investments	$	161,573	$	1,799,240		$—	$	1,960,813

⁽¹⁾

Classifications as defined in the Schedule of Investments.

1. ORGANIZATION

Northern Funds (the “Trust”) is a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust offers 43 funds as of September 30, 2020, each with its own investment objective (e.g., long-term capital appreciation, total return or income consistent with preservation of capital). The Arizona Tax-Exempt, California Intermediate Tax-Exempt, California Tax-Exempt, High Yield Municipal, Intermediate Tax-Exempt, Short-Intermediate Tax-Exempt, and Tax-Exempt Funds (each, a “Fund” and collectively, the “Funds”) are separate, diversified investment portfolios of the Trust, except for the Arizona Tax-Exempt, California Intermediate Tax-Exempt and California Tax-Exempt Funds, which are non-diversified portfolios. Non-diversified portfolios may invest a relatively high percentage of their net assets in obligations of a limited number of issuers. Each of the Funds is presented herein.

2. SIGNIFICANT ACCOUNTING POLICIES

A) VALUATION OF SECURITIES Securities are valued at their fair value. Equity securities traded on United States (“U.S.”) securities exchanges or in the NASDAQ National Market System are principally valued at the regular trading session closing price (generally, 3:00 P.M. Central Time) on the exchange or market in which such securities are principally traded. If any such security is

not traded on a valuation date, it is valued at the most recent quoted bid price. Over-the-counter securities not reported in the NASDAQ National Market System are also generally valued at the most recent quoted bid price. Fixed income securities, however, may be valued on the basis of evaluated prices provided by the Funds’ approved independent third-party pricing services when such prices are believed to reflect the fair value of such securities or broker provided prices. Such prices may be determined by taking into account other similar securities’ prices, yields, maturities, call features, ratings, institutional size trading in similar groups of securities and developments related to specific securities.

B) CREDIT ENHANCEMENTS Certain investments owned by the Funds are covered by insurance issued by private insurers, are backed by an escrow or trust containing U.S. government securities or U.S. government agency securities, or are otherwise supported by letters of credit, standby purchase agreements or other liquidity facilities. Such enhancements may ensure the timely payment of the security’s principal and interest or may shorten the security’s maturity. However, such enhancements do not guarantee the fair value of the securities or the value of a Fund’s shares. Additionally, there is no guarantee that an insurer will meet its obligations. For example, exposure to securities involving sub-prime mortgages may cause a municipal bond

insurer’s rating to be downgraded or may cause the bond insurer to become insolvent, which may affect the prices and liquidity of municipal obligations insured by the insurer.

C) WHEN-ISSUED/DELAYED DELIVERY SECURITIES Certain Funds purchase securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time a Fund enters into the commitment to purchase a security, the transaction is recorded and the value of the commitment is reflected in the NAV. The value of the commitment may vary with market fluctuations. No interest accrues to the Fund until settlement takes place. At the time a Fund enters into this type of transaction, it is required to segregate collateral of cash or other liquid assets having a fair value at least equal to the amount of the commitment. The Funds identify securities as segregated with a value that meets or exceeds the value of the commitments. When-issued securities at September 30, 2020, if any, are noted in each Fund’s Schedule of Investments and in aggregate as Payable for when-issued securities, in each Fund’s Statement of Assets and Liabilities.

D) INVESTMENT TRANSACTIONS AND INCOME Investment transactions are recorded as of the trade date. The Funds determine the gain or loss realized from investment transactions by using an identified cost basis method. Interest income is recognized on an accrual basis and includes amortization of premiums and accretion of discounts using the effective yield method. The interest rates reflected in the Schedules of Investments represent either the stated coupon rate, annualized yield on the date of purchase for discount notes, the current reset rate for floating rate securities, the 7-day yield for money market funds or, for interest-only or principal-only securities, the current effective yield. Cost of investments includes amortization of premiums and accretion of discounts, if any. Dividend income is recognized on the ex-dividend date. The Funds’ income may be subject to certain state and local taxes and, depending on an individual shareholder’s tax status, the federal alternative minimum tax.

E) EXPENSES Each Fund is charged for those expenses that are directly attributable to that Fund. Expenses incurred which do not specifically relate to an individual fund generally are allocated among all funds in the Trust in proportion to each Fund’s relative net assets.

F) DISTRIBUTIONS TO SHAREHOLDERS Distributions of dividends from net investment income are declared and paid as follows:



	DECLARATION FREQUENCY	PAYMENT FREQUENCY

Arizona Tax-Exempt	Daily	Monthly

California Intermediate Tax-Exempt	Daily	Monthly

California Tax-Exempt	Daily	Monthly

High Yield Municipal	Daily	Monthly

Intermediate Tax-Exempt	Daily	Monthly



	DECLARATION FREQUENCY	PAYMENT FREQUENCY

Short-Intermediate Tax-Exempt	Daily	Monthly

Tax-Exempt	Daily	Monthly

Distributions of net realized capital gains, if any, are declared and paid at least annually. Distributions to shareholders are recorded on the ex-dividend date. The timing and character of distributions determined in accordance with federal income tax regulations may differ from financial statement amounts determined in accordance with U.S. GAAP due to differences in the treatment and recognition of investment income and realized gains and losses. These differences are primarily related to the deferral of certain realized losses and capital loss carryforwards. Inherent differences in the recognition of income and capital gains for federal income tax purposes, which are permanent, may result in periodic reclassifications in the Funds’ capital accounts. These reclassifications have no impact on the net assets or the NAVs per share of the Funds. At March 31, 2020, the Funds did not record any reclassifications.

G) FEDERAL INCOME TAXES No provision for federal income taxes has been made since each Fund’s policy is to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute, each year, substantially all of its taxable income and capital gains to its shareholders.

The Regulated Investment Company Modernization Act of 2010 (the “Act”) eliminated the eight-year limit on the use of capital loss carryforwards that arise in taxable years beginning after its enactment date of December 22, 2010. The changes became effective for the Funds for the fiscal year ended March 31, 2012. Consequently, capital losses incurred by the Funds in taxable years beginning with the taxable year ended March 31, 2012 can be carried forward for an unlimited period. However, capital losses incurred by the Funds in taxable years beginning before the taxable year ended March 31, 2012 with an expiration date may not be used to offset capital gains until all net capital losses incurred in taxable years beginning with the taxable year ended March 31, 2012 without an expiration date have been utilized. As a result, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses instead of as short-term capital losses as under prior law. The Funds’ ability to utilize capital loss carryforwards in the future may be limited under the Code and related regulations based on the results of future transactions.

During the fiscal year ended March 31, 2020, the Arizona Tax-Exempt, California Intermediate Tax-Exempt, California Tax-Exempt, High Yield Municipal, Intermediate Tax-Exempt, Short-Intermediate Tax-Exempt, and Tax-Exempt Funds utilized

approximately $740,000, $3,520,000, $1,647,000, $3,275,000, $21,440,000, $149,000, and $12,771,000, respectively, in capital loss carryforwards.

For the period from November 1, 2019, through March 31, 2020, the Tax-Exempt Fund incurred net capital losses and/or late year ordinary losses, of $171,000, for which the Fund intends to treat as having been incurred in the following fiscal year.

Capital losses incurred that will be carried forward indefinitely under the provisions of the Act are as follows:

Post-enactment losses



Amounts in thousands	SHORT-TERM CAPITAL LOSS CARRYFORWARD			LONG-TERM CAPITAL LOSS CARRYFOWARD

Arizona Tax-Exempt		$	836		$	–

High Yield Municipal			4,801			–

At March 31, 2020, the tax components of undistributed net investment income, undistributed realized gains and unrealized gains (losses) were as follows:



	UNDISTRIBUTED
Amounts in thousands	TAX-EXEMPT INCOME		ORDINARY INCOME^*		LONG-TERM CAPITAL GAINS		UNREALIZED GAINS (LOSSES)

Arizona Tax-Exempt		$ 57		$ 2		$ –		$ 4,372

California Intermediate Tax-Exempt		225		6		938		11,570

California Tax-Exempt		96		5		414		8,526

High Yield Municipal		398		6		–		(13,843)

Intermediate Tax-Exempt		1,052		3,925		2,138		54,869

Short-Intermediate Tax-Exempt		65		1,147		5,559		3,503

Tax-Exempt		501		51		–		25,737

Ordinary income includes taxable market discount income and short-term capital gains, if any.

The tax character of distributions paid during the fiscal year ended March 31, 2020, was as follows:



	DISTRIBUTIONS FROM
Amounts in thousands	TAX-EXEMPT INCOME		ORDINARY INCOME^*		LONG-TERM CAPITAL GAINS

Arizona Tax-Exempt		$ 3,232		$ 121		$ –

California Intermediate Tax-Exempt		12,372		337		94

California Tax-Exempt		5,094		262		1,200

High Yield Municipal		19,706		286		–

Intermediate Tax-Exempt		63,369		13,844		642

Short-Intermediate Tax-Exempt		15,358		4,657		665

Tax-Exempt		36,760		6,670		–

*	Ordinary income includes taxable market discount income and short-term capital gains, if any.

The tax character of distributions paid during the fiscal year ended March 31, 2019, was as follows:


	DISTRIBUTIONS FROM
Amounts in thousands	TAX-EXEMPT INCOME		ORDINARY INCOME*		LONG-TERM CAPITAL GAINS

Arizona Tax-Exempt		$ 3,318		$ 117	$–

California Intermediate Tax-Exempt		12,748		310	–

California Tax-Exempt		5,833		226	–

High Yield Municipal		17,564		480	–

Intermediate Tax-Exempt		65,245		3,920	–

Short-Intermediate Tax-Exempt		13,462		658	–

Tax-Exempt		35,605		1,491	–

*	Ordinary income includes taxable market discount income and short-term capital gains, if any.

As of March 31, 2020, no Fund had uncertain tax positions that would require financial statement recognition or disclosure. The Funds’ federal tax returns remain subject to examination by the Internal Revenue Service for the three years after they are filed. Interest or penalties incurred, if any, on future unknown, uncertain tax positions taken by the Funds will be recorded as interest expense and other expenses, respectively, on the Statements of Operations.

3. SERVICE PLAN

The Trust has adopted a Service Plan pursuant to which the Trust may enter into agreements with Northern Trust, its affiliates or other institutions (together “Service Organizations”) under which the Service Organizations agree to provide certain administrative support services and, in some cases, personal and account maintenance services for their customers, who are beneficial owners of shares of the Funds. As compensation for services provided pursuant to the Service Plan, the Service Organizations receive a fee at an annual rate of up to 0.15 percent of the average daily net assets of the Funds beneficially owned by their customers. There were no shareholder servicing fees paid by the Funds to Northern Trust or its affiliates during the six months ended September 30, 2020.

Service Plan expenses, if any, are included in the Statements of Operations under Shareholder servicing fees for the six months ended September 30, 2020.

4. BANK BORROWINGS

liquidity and other purposes (the “Credit Facility”). The interest rate charged under the Credit Facility is equal to the sum of (i) the Federal Funds Rate plus (ii) if the one month London Interbank Offered Rate (“LIBOR”) on the date of borrowing exceeded such Federal Funds Rate, the amount by which it so exceeded, plus (iii) 1.00 percent. In addition, there is an annual commitment fee of 0.15 percent on the unused portion of the credit line under the Credit Facility, payable quarterly in arrears, which is included in Other expenses on the Statements of Operations.

The Funds did not have any borrowings or incur any interest expense for the six months ended September 30, 2020. There were no outstanding loan amounts at September 30, 2020.

5. MANAGEMENT AND OTHER AGREEMENTS

NTI has contractually agreed to reimburse a portion of the operating expenses of each Fund (other than certain excepted expenses, i.e., acquired fund fees and expenses, the compensation paid to each independent Trustee of the Trust, expenses of third-party consultants engaged by the Board, membership dues paid to the Investment Company Institute and Mutual Fund Directors Forum, expenses in connection with the negotiation and renewal of the revolving credit facility, extraordinary expenses and interest) as shown on the accompanying Statements of Operations, to the extent the total annual fund operating expenses of the Funds exceed the expense limitations set forth below. The total annual fund operating expenses after expense reimbursement for each Fund may be higher than the contractual limitation as a result of certain excepted expenses that are not reimbursed. The amount of the reimbursement is included in Less expenses reimbursed by investment adviser as a reduction to Total Expenses in the Statements of Operations.

At September 30, 2020, the annual management fees and contractual expense limitations for the Funds were based on the following annual rates as set forth in the table below.


	CONTRACTUAL ANNUAL MANAGEMENT FEES			CONTRACTUAL EXPENSE LIMITATIONS
	FIRST $1.5 BILLION	NEXT $1 BILLION	OVER $2.5 BILLION	CONTRACTUAL EXPENSE LIMITATIONS

Arizona Tax-Exempt	0.43%	0.417%	0.404%	0.45%

California Intermediate Tax-Exempt	0.43%	0.417%	0.404%	0.45%

California Tax-Exempt	0.43%	0.417%	0.404%	0.45%

High Yield Municipal	0.77%	0.747%	0.725%	0.60%

Intermediate Tax-Exempt	0.43%	0.417%	0.404%	0.45%

Short-Intermediate Tax-Exempt	0.43%	0.417%	0.404%	0.45%

Tax-Exempt	0.43%	0.417%	0.404%	0.45%

The contractual reimbursement arrangements described above are expected to continue until at least July 31, 2021. The contractual reimbursement arrangements will continue automatically thereafter for periods of one year (each such one-year period, a “Renewal Year”). The arrangement may be terminated, as to any succeeding Renewal Year, by NTI or a Fund upon 60 days’ written notice prior to the end of the current Renewal Year. The Board may terminate the contractual arrangements at any time with respect to a Fund if it determines that it is in the best interest of the Fund and its shareholders.

In addition, NTI has contractually agreed to reimburse certain additional expenses that may be excepted expenses.

Certain officers of the Trust are also officers of Northern Trust and NTI. All officers serve without compensation from the Funds. The Trust provided a deferred compensation plan for its Trustees who are not officers of Northern Trust or NTI. Prior to August 22, 2013, under the deferred compensation plan, Trustees may have elected to defer all or a portion of their compensation. Effective August 22, 2013, the Trustees may no longer defer their compensation. Any amounts deferred and invested under the plan shall remain invested pursuant to the terms of the plan. Each Trustee’s account shall be deemed to be invested in shares of the U.S. Government Portfolio of Northern Institutional Funds and/or the Global Tactical Asset Allocation Fund of the Trust and/or, at the discretion of the Trust, another money market fund selected by the Trust that complies with the provisions of Rule 2a-7 under the 1940 Act or one or more short-term fixed-income instruments selected by the Trust that are “eligible securities” as defined by that rule. The net investment income, gains and losses achieved by such deemed investment shall be credited to the Trustee’s account as provided in the plan.

6. RELATED PARTY TRANSACTIONS

investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price as defined in the Rule 17a-7 Procedures. For the six months ended September 30, 2020, the Funds did not engage in any purchases and/or sales of securities from an affiliated entity.

7. INVESTMENT TRANSACTIONS

For the six months ended September 30, 2020, the aggregate costs of purchases and proceeds from sales of securities (excluding short-term investments) for the Funds were as follows:

PURCHASES

SALES

Amounts in thousands

U.S. GOVERNMENT

OTHER

U.S. GOVERNMENT

OTHER

Arizona Tax-Exempt

$–

17,364

$–

10,891

California Intermediate Tax-Exempt

–

48,218

–

43,972

California Tax-Exempt

–

43,091

–

20,870

High Yield Municipal

–

93,009

–

107,040

Intermediate Tax-Exempt

–

1,091,955

–

1,073,533

Short-Intermediate Tax-Exempt

–

358,871

–

431,406

Tax-Exempt

–

996,192

–

733,483

The difference between book basis and tax basis net unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.


Amounts in thousands	UNREALIZED APPRECIATION			UNREALIZED DEPRECIATION				NET APPRECIATION (DEPRECIATION)			COST BASIS OF INVESTMENTS

Arizona Tax-Exempt		$	6,927		$	(405	)		$	6,522		$	140,932

California Intermediate Tax-Exempt			26,052			(1,670	)			24,382			492,418

California Tax-Exempt			12,418			(541	)			11,877			198,745

High Yield Municipal			17,961			(11,076	)			6,885			503,762

Intermediate Tax-Exempt			117,365			(6,505	)			110,860			2,924,828

Transactions in capital shares for the six months ended September 30, 2020, were as follows:


Amounts in thousands	SHARES SOLD		PROCEEDS FROM SHARES SOLD			SHARES FROM REINVESTED DIVIDENDS		REINVESTMENTS OF DIVIDENDS			SHARES REDEEMED			PAYMENTS FOR SHARES REDEEMED				NET INCREASE (DECREASE) IN SHARES			NET INCREASE (DECREASE) IN NET ASSETS

Arizona Tax-Exempt		1,835		$	20,030		75		$	817		(873	)		$	(9,438	)		1,037			$	11,409

California Intermediate Tax-Exempt		5,878			64,222		77			842		(4,867	)			(52,785	)		1,088				12,279

California Tax-Exempt		2,059			24,329		73			869		(955	)			(11,242	)		1,177				13,956

High Yield Municipal		11,787			99,306		126			1,067		(14,347	)			(119,371	)		(2,434	)			(18,998	)

Intermediate Tax-Exempt		34,817			377,499		183			1,991		(40,645	)			(440,152	)		(5,645	)			(60,662	)

Short-Intermediate Tax-Exempt		9,392			99,186		60			635		(8,140	)			(85,323	)		1,312				14,498

Tax-Exempt		35,953			392,774		234			2,559		(14,168	)			(152,906	)		22,019				242,427

Transactions in capital shares for the fiscal year ended March 31, 2020, were as follows:
Amounts in thousands	SHARES SOLD		PROCEEDS FROM SHARES SOLD			SHARES FROM REINVESTED DIVIDENDS		REINVESTMENTS OF DIVIDENDS			SHARES REDEEMED			PAYMENTS FOR SHARES REDEEMED				NET INCREASE (DECREASE) IN SHARES			NET INCREASE (DECREASE) IN NET ASSETS

Arizona Tax-Exempt		3,414		$	37,065		149		$	1,607		(2,123	)		$	(22,811	)		1,440			$	15,861

California Intermediate Tax-Exempt		8,226			89,217		173			1,871		(9,163	)			(99,145	)		(764	)			(8,057	)

California Tax-Exempt		3,184			37,530		239			2,806		(2,352	)			(27,533	)		1,071				12,803

High Yield Municipal		22,492			199,440		209			1,844		(12,302	)			(107,103	)		10,399				94,181

Intermediate Tax-Exempt		66,812			717,984		1,295			13,905		(47,750	)			(511,497	)		20,357				220,392

Short-Intermediate Tax-Exempt		14,979			156,298		527			5,491		(23,345	)			(243,234	)		(7,839	)			(81,445	)

Tax-Exempt		62,550			678,388		825			8,929		(20,854	)			(225,494	)		42,521				461,823

Transactions in affiliated investments for the six months ended September 30, 2020, were as follows:


Amounts in thousands except shares	AFFILIATE	VALUE, BEGINNING OF PERIOD			PURCHASES			SALES PROCEEDS			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)			NET REALIZED GAINS (LOSSES)			DIVIDEND INCOME			VALUE, END OF PERIOD			SHARES, END OF PERIOD

High Yield Municipal	Northern Institutional Funds - U.S. Government Portfolio (Shares)		$	20,009		$	112,675		$	111,900		$	–		$	–		$	8		$	20,784		20,784,485

Intermediate Tax-Exempt	Northern Institutional Funds- Municipal Portfolio (Shares)			125,000			–			–			–			–			65			125,000		125,000,000

	Northern Institutional Funds - U.S. Government Portfolio (Shares)			135,873			754,405			785,239			–			–			52			105,039		105,039,231

	Total		$	260,873		$	754,405		$	785,239		$	–		$	–		$	117		$	230,039		230,039,231

Short-Intermediate Tax-Exempt	Northern Institutional Funds - Municipal Portfolio (Shares)			25,000			–			–			–			–			13			25,000		25,000,000

	Northern Institutional Funds - U.S. Government Portfolio (Shares)			42,134			314,308			318,404			–			–			22			38,038		38,037,940

	Total		$	67,134		$	314,308		$	318,404		$	–		$	–		$	35		$	63,038		63,037,940

Tax-Exempt	Northern Institutional Funds - U.S. Government Portfolio (Shares)			103,533			665,884			607,844			–			–			56			161,573		161,572,915

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period, April 1, 2020 through September 30, 2020.

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), redemption fees, or exchange fees or other costs such as advisory fees related to affiliated money market fund investments, but shareholders of other funds may incur such costs. If these fees were included, your costs would have been higher. The information also does not reflect reimbursements on advisory fees incurred in connection with the investment of uninvested cash in affiliated money market funds (See page 113), which may result in different expense ratios in the Financial Highlights. Therefore, the hypothetical information is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

ARIZONA TAX-EXEMPT


SHARES	EXPENSE RATIO	BEGINNING ACCOUNT VALUE 4/1/2020	ENDING ACCOUNT VALUE 9/30/2020	EXPENSES PAID* 4/1/2020- 9/30/2020

Actual	0.46%	$1,000.00	$1,026.50	$2.33

Hypothetical	0.46%	$1,000.00	$1,022.70	$2.33

CALIFORNIA INTERMEDIATE TAX-EXEMPT
SHARES	EXPENSE RATIO	BEGINNING ACCOUNT VALUE 4/1/2020	ENDING ACCOUNT VALUE 9/30/2020	EXPENSES PAID* 4/1/2020- 9/30/2020

Actual	0.45%	$1,000.00	$1,036.90	$2.29

Hypothetical	0.45%	$1,000.00	$1,022.75	$2.28

CALIFORNIA TAX-EXEMPT
SHARES	EXPENSE RATIO	BEGINNING ACCOUNT VALUE 4/1/2020	ENDING ACCOUNT VALUE 9/30/2020	EXPENSES PAID* 4/1/2020- 9/30/2020

Actual	0.46%	$1,000.00	$1,033.60	$2.34

Hypothetical	0.46%	$1,000.00	$1,022.70	$2.33

HIGH YIELD MUNICIPAL
SHARES	EXPENSE RATIO	BEGINNING ACCOUNT VALUE 4/1/2020	ENDING ACCOUNT VALUE 9/30/2020	EXPENSES PAID* 4/1/2020- 9/30/2020

Actual	0.60%	$1,000.00	$1,063.50	$3.10

Hypothetical	0.60%	$1,000.00	$1,022.00	$3.03

INTERMEDIATE TAX-EXEMPT
SHARES	EXPENSE RATIO	BEGINNING ACCOUNT VALUE 4/1/2020	ENDING ACCOUNT VALUE 9/30/2020	EXPENSES PAID* 4/1/2020- 9/30/2020

Actual	0.45%	$1,000.00	$1,032.70	$2.29

Hypothetical	0.45%	$1,000.00	$1,022.75	$2.28

SHORT-INTERMEDIATE TAX-EXEMPT
SHARES	EXPENSE RATIO	BEGINNING ACCOUNT VALUE 4/1/2020	ENDING ACCOUNT VALUE 9/30/2020	EXPENSES PAID* 4/1/2020- 9/30/2020

Actual	0.45%	$1,000.00	$1,032.50	$2.29

Hypothetical	0.45%	$1,000.00	$1,022.75	$2.28

In evaluating the Management Agreement, the Trustees reviewed the Funds’ Management Agreement. The Trustees also reviewed Northern’s reports and presentations and discussed with their independent counsel the information that had been provided to them at the February and April Board Meetings and at the Annual Contract Meeting, as well as their interactions with Northern throughout the year and in past years at various meetings. The Trustees noted that the evaluation process with respect to Northern and the Management Agreement was an ongoing one throughout the year. The materials reviewed by the Trustees included, without limitation: (i) information on the investment performance of the Funds in comparison to other mutual funds and benchmark indices; (ii) compliance reports; (iii) information about Northern’s and its affiliates’ risk management processes and stress testing, credit research, business continuity and cyber-security programs; (iv) fees charged to and expenses borne by the Funds; (v) Northern’s profitability and costs and compensation paid to affiliates of Northern; (vi) the qualifications

Nature, Extent and Quality of Services

the Funds. The Trustees considered the strength of Northern’s and its affiliates’ risk management processes, including with respect to the Funds’ regular reporting on stress testing. The Trustees also reviewed the compliance and administrative services provided to the Funds by Northern and its affiliates, including its oversight of the Funds’ day-to-day operations and fund accounting. The Trustees also noted that on a regular basis they received and reviewed information from Trust’s Chief Compliance Officer regarding the Funds’ compliance policies and procedures pursuant to Rule 38a-1 under the 1940 Act. They also considered the quality of Northern’s compliance oversight program with respect to all of the Funds’ service providers and the continued involvement of Northern’s internal audit group in reviewing operations that support the Funds, as well as Northern’s responses to any compliance or operational issues raised during the year. The Trustees also took into account that the scope of services provided by Northern, and the undertakings required of Northern in connection with those services, including maintaining and monitoring their own and the Funds’ compliance programs, had expanded over time as a result of regulatory, market and other developments. They also considered Northern’s preparations with respect to the increased reporting requirements and liquidity risk management program required by SEC regulations.

Performance

The Trustees considered the investment performance of each of the Funds, including whether it had operated within its respective investment objective, as well as its compliance with its investment restrictions. The Trustees received information on the Funds’ investment performance for one, two, three, four, five and ten years, as well as performance for the most recent quarter and year-to-date. The Trustees compared the investment performance of the Funds to the performance of other SEC registered funds and to rankings issued by Broadridge. The Funds were ranked by Broadridge in quintiles, ranging from first to fifth, where first is the most desirable quintile position and fifth is the least desirable. The Trustees also reviewed the Funds’ investment performance relative to their respective performance benchmarks and the Funds’ three-year performance versus net expenses as calculated by Broadridge (“Broadridge Bubble Charts”).

◾

the High Yield Municipal Fund, which was in the fourth quintile for the three- and five- year periods; and

◾

the Short-Intermediate Tax-Exempt Fund, which was in the fourth quintile for the one-, three- and five-year periods.

They also considered that all of the Funds underperformed against their respective benchmarks for the one-, three- and five-year periods ended March 31, 2020, except:

◾

the Intermediate Tax-Exempt Fund, Short-Intermediate Tax-Exempt Fund and Tax-Exempt Fund, which outperformed their respective benchmarks for the one-year period;

◾

the California Tax-Exempt Fund, which outperformed its benchmark for the one-year period and performed in-line with its benchmark for the five-year period; and

◾

the Arizona Tax-Exempt Fund, which outperformed its benchmark for the one-, three- and five-year periods.

They also considered that none of the Funds was in the least desirable less return, more expenses quadrant of its Broadridge Bubble Chart.

The Trustees also took into account senior management’s and portfolio managers’ discussion of the Funds’ performance and explanations for differences in investment parameters of certain Funds and their peers. They also considered the Funds’ investment performance relative to the investor base the Funds are intended to serve. The Trustees noted the potential impact on performance of the relative risk parameters of the different Funds. Specifically, they took into consideration that Northern’s more risk averse investment strategies may cause certain Funds to underperform against their peers during certain market environments. In addition, the Trustees reviewed the consistency of Northern’s investment approach for the Funds and processes to address performance issues. The Trustees expected and believed also that Northern was appropriately monitoring underperforming Funds. They noted that the quarterly in-depth performance reviews had assisted them in that regard.

Fee Rates, Costs of Services and Profitability

determining the fees and expenses of the Funds. They also noted certain other actions taken by Northern in past years to reduce Fund expenses, such as expense limitations with respect to certain Funds. The Trustees also considered that, for those Funds that were sweeping uninvested cash into a Northern-affiliated money market Portfolio, Northern was in each case rebating back to the investing Fund all of the advisory fees received by Northern, if any, of the applicable money market Portfolio.

◾

actual management fees were equal to or lower than the medians of their respective peer groups and universes, with the exception of the High Yield Municipal Fund and Intermediate Tax-Exempt Fund, whose actual management fees were higher than their respective group and universe medians, and the Short-Intermediate Tax-Exempt Fund, whose actual management fees were higher than its expense universe median; and

◾

all of the Funds’ actual expenses, after reimbursement and fee waivers, were in the first quintile of their respective peer group or peer universe, with the exception of the High Yield Municipal Fund, which was in the third quintile of its peer universe and the Short-Intermediate Tax-Exempt Fund, which was in the second quintile of its peer group.

The Trustees took into account Northern’s discussion of the Funds’ expenses, and that Northern had reimbursed expenses for most of the Funds. They also reviewed information comparing the Funds’ fee rates to the fee rates charged by Northern to similarly managed, private institutional accounts, if any. They noted that there were not applicable comparisons for every Fund. For Funds where there were applicable comparisons, the Trustees considered the difference in, and level of complexity of, services provided by Northern with regard to the private institutional accounts, as well as regulatory, operational and compliance differences, board and committee support provided by Northern to the Funds and other differences. The Trustees considered the fee comparisons in light of the differences in management of these different kinds of accounts. These comparisons assisted the Trustees in evaluating the reasonableness of the management fees paid by the Funds.

basis and on an overall Trust basis and both before and after distribution and certain non-distribution costs. The Trustees considered Northern’s assumptions and methodology for allocating costs to each Fund, recognizing that cost allocation methodologies are inherently subjective and not audited.

Economies of Scale

The Trustees considered the extent to which economies of scale would be realized as the Funds grow and whether fee levels reflected these economies of scale for the benefit of shareholders. They took into account management’s discussion of the Funds’ management fee structure and considered Northern’s view that the Funds were sharing in economies of scale through the level at which the Funds’ management fees are set and through Northern’s contractual expense reimbursements that limit the expenses for the Funds to specific levels. The Trustees considered that the Funds had breakpoints, thus ensuring that as these Funds grew, shareholders would receive reduced fee rates. Materials provided to the Trustees indicated that each of the Intermediate Tax-Exempt Fund and Tax-Exempt Fund had the specified asset levels as of January 31, 2020 at which one or more breakpoints on its management fees was triggered. The Trustees determined, on the basis of the foregoing, that the Funds’ current management fee structures were reasonable.

Other Benefits to Northern



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

ABS COMMERCIAL PAPER – 7.5%

ABS Other – 7.5%

CAFCO LLC,

0.22%, 10/19/20⁽¹⁾		$405		$405

Cedar Springs Capital Co. LLC,

0.20%, 12/1/20⁽¹⁾		2,000		1,999

Charta Corp. LLC,

0.22%, 10/15/20⁽¹⁾		405		405

Concord Minutemen Capital Co. LLC, Class A,

0.19%, 11/20/20⁽¹⁾		1,615		1,614

Crown Point Capital Co. LLC,

0.22%, 11/20/20⁽¹⁾⁽²⁾		4,000		3,999

Matchpoint Finance PLC,

0.21%, 12/3/20⁽¹⁾		2,500		2,499

0.20%, 12/16/20⁽¹⁾		2,600		2,599

Mont Blanc Capital Corp.,

0.21%, 11/16/20⁽¹⁾		3,350		3,349

Ridgefield Funding Co. LLC,

0.20%, 11/20/20⁽¹⁾		750		750

0.20%, 11/23/20⁽¹⁾		1,240		1,240


				18,859

Total ABS Commercial Paper

(Cost $18,859)				18,859


CERTIFICATES OF DEPOSIT – 22.7%

Banking – 22.7%

Bank of America N.A., New York Branch,

(Floating, ICE LIBOR USD 3M + 0.02%), 0.27%, 11/3/20⁽³⁾		2,000		2,000

Bank of Montreal, Chicago Branch,

0.20%, 10/30/20		2,085		2,085

0.20%, 11/13/20		2,315		2,315

0.72%, 3/10/21		3,000		3,000

Bank of Nova Scotia, Houston Branch,

(Floating, ICE LIBOR USD 3M + 0.13%), 0.38%, 11/13/20⁽³⁾		2,000		2,000

(Floating, ICE LIBOR USD 3M + 0.09%), 0.37%, 11/16/20⁽⁴⁾		3,000		3,000

BMO Harris Bank N.A.,

0.25%, 10/5/20		5,000		5,000

Canadian Imperial Bank of Commerce,

1.73%, 12/1/20		2,615		2,621



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

CERTIFICATES OF DEPOSIT - 22.7% continued

Banking – 22.7% continued

Commonwealth Bank of Australia, New York Branch,

0.22%, 10/9/20		$3,500		$3,500

DZ Bank A.G. Deutsche Zentral-Genossenschaftsbank, New York,

0.18%, 12/11/20		2,300		2,300

Mitsubishi UFJ Trust & Banking Corp.,

0.24%, 12/11/20		3,000		3,000

MUFG Bank Ltd., London Branch,

0.24%, 11/24/20		1,485		1,485

Nordea Bank AB, New York Branch,

0.16%, 11/6/20		2,300		2,300

Oversea-Chinese Banking Corp. Ltd.,

0.30%, 12/7/20		4,000		4,000

0.29%, 12/16/20		2,000		2,000

Sumitomo Mitsui Banking Corp., New York Branch,

0.30%, 10/7/20		2,450		2,450

Svenska Handelsbanken AB, New York Branch,

1.92%, 12/23/20		1,000		1,000

Toronto Dominion Bank, London Branch,

(Floating, ICE LIBOR USD 3M + 0.05%), 0.31%, 11/30/20⁽⁴⁾		2,000		2,000

Toronto Dominion Bank, New York Branch,

(Floating, ICE LIBOR USD 1M + 0.31%), 0.47%, 10/20/20⁽³⁾		3,005		3,006

1.72%, 12/1/20		2,615		2,621

Wells Fargo Bank N.A.,

1.86%, 10/13/20		995		996

Westpac Banking Corp, New York Branch,

(Floating, ICE LIBOR USD 3M + 0.03%), 0.30%, 11/19/20⁽⁴⁾		2,000		2,000

(Floating, ICE LIBOR USD 3M + 0.15%), 0.40%, 12/7/20⁽³⁾		2,000		2,000


				56,679

Total Certificates Of Deposit

(Cost $56,679)				56,679


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

COMMERCIAL PAPER – 11.0%

Banking – 10.6%
DBS Bank Ltd.,
0.24%, 10/6/20⁽¹⁾		$5,000		$5,000
0.28%, 12/16/20⁽¹⁾		3,000		2,998
0.20%, 12/22/20⁽¹⁾		2,500		2,499
National Bank of Canada, 0.23%, 10/8/20⁽¹⁾⁽²⁾		4,000		4,000
Oversea-Chinese Banking Corp. Ltd., 0.25%, 10/9/20⁽¹⁾		4,000		4,000
Royal Bank of Canada, 0.71%, 3/9/21⁽¹⁾		2,000		1,994
United Overseas Bank Ltd.,
0.22%, 10/6/20⁽¹⁾		2,000		2,000
0.26%, 10/21/20⁽¹⁾		4,000		3,999

				26,490


Foreign Agencies – 0.4%
Dexia Credit Local S.A., 0.22%, 2/22/21⁽¹⁾		1,000		999

Total Commercial Paper

(Cost $27,489)				27,489


CORPORATE NOTES/BONDS – 13.2%

Banking – 12.5%
Australia and New Zealand Banking Group,
(Floating, ICE LIBOR USD 3M + 0.32%), 0.56%, 11/9/20⁽²⁾⁽³⁾		2,819		2,820
2.25%, 11/9/20		780		782
Canadian Imperial Bank of Commerce, 2.10%, 10/5/20		4,720		4,721
Commonwealth Bank of Australia, 2.20%, 11/9/20⁽²⁾		4,000		4,009
DNB Bank ASA, 2.13%, 10/2/20⁽²⁾		5,572		5,572
Royal Bank of Canada,
2.15%, 10/26/20		4,050		4,055
2.35%, 10/30/20		807		808
Skandinaviska Enskilda Banken AB, 2.63%, 11/17/20⁽²⁾		2,650		2,658
Svenska Handelsbanken AB,
(Floating, ICE LIBOR USD 3M + 0.93%), 1.23%, 10/1/20⁽³⁾		1,000		1,000
2.40%, 10/1/20		1,000		1,000

PRINCIPAL
AMOUNT
(000S)

VALUE
(000S)

CORPORATE NOTES/BONDS - 13.2% continued

Banking – 12.5% continued

Toronto Dominion Bank,
2.50%, 12/14/20

$900

$904

UBS A.G., London Branch,
2.45%, 12/1/20⁽²⁾

800

802

Westpac Banking Corp.,
2.60%, 11/23/20

2,017

2,024

31,155

Consumer Cyclical Services – 0.3%

Visa, Inc.,
2.20%, 12/14/20

750

752

Food and Beverage – 0.4%

Coca-Cola (The) Co.,
1.88%, 10/27/20

1,048

1,049

Total Corporate Notes/Bonds

(Cost $32,956)

32,956

EURODOLLAR TIME DEPOSITS – 7.4%

Banking – 4.7%

Australia and New Zealand Banking Group,
0.11%, 10/6/20

690

Barclays Bank PLC, London Branch,
0.13%, 10/1/20

2,145

Credit Industrial et Commercial, Paris Branch,
0.10%, 10/1/20

6,885

DBS Bank Ltd., Singapore Branch,
0.20%, 10/2/20

2,045

11,765

Foreign Local Government – 2.7%

NRW.BANK, Dusseldorf Branch,
0.10%, 10/1/20

6,810

6,810

Total Eurodollar Time Deposits

(Cost $18,575)

18,575

U.S. GOVERNMENT OBLIGATIONS – 10.0%

U.S. Treasury Bills – 8.0%

0.15%, 10/27/20⁽¹⁾

15,000

14,999

0.18%, 11/10/20⁽¹⁾

5,000

4,999

19,998

PRINCIPAL
AMOUNT
(000S)

VALUE
(000S)

U.S. GOVERNMENT OBLIGATIONS - 10.0% continued

U.S. Treasury Floating Rate Notes – 2.0%

(Floating, U.S. Treasury 3M Bill MMY + 0.22%), 0.32%, 10/1/20⁽⁴⁾

$5,000

$4,999

Total U.S. Government Obligations

(Cost $24,997)

24,997

MUNICIPAL INVESTMENTS – 21.6%

Alaska – 3.2%

Alaska State Housing Finance Corp., Taxable Variable Revenue Refunding Bonds, State Capital Project,
0.17%, 10/8/20⁽⁵⁾⁽⁶⁾

8,000

8,000

Colorado – 3.2%

Colorado State HFA Taxable Adjustable Revenue Refunding Bonds, Series AA-1, Class I,
0.17%, 10/8/20⁽⁵⁾⁽⁶⁾

8,000

8,000

Idaho – 3.2%

Idaho State Housing & Finance Association SFM Taxable Variable Revenue Refunding Bonds, Series A,
0.16%, 10/8/20⁽⁵⁾⁽⁶⁾

7,920

7,920

Michigan – 4.3%

Michigan State Finance Authority Taxable Variable Revenue Refunding Bonds, Series C (Bank of America N.A. LOC),
0.16%, 10/8/20⁽⁵⁾⁽⁶⁾

10,900

10,900

New York – 7.7%

New York City Housing Development Corp., Multi-Family Mortgage Variable Revenue Bonds, Series A (AMT), 1405 Fifth Avenue Apartments (Citibank N.A. LOC),
0.15%, 10/8/20⁽⁵⁾⁽⁶⁾

11,240

PRINCIPAL
AMOUNT
(000S)

VALUE
(000S)

MUNICIPAL INVESTMENTS - 21.6% continued

New York – 7.7% continued

New York State Mortgage Agency Homeowner Mortgage Taxable Variable Revenue Bonds, Series 224,
0.14%, 10/8/20⁽⁵⁾⁽⁶⁾

$8,000

19,240

Total Municipal Investments

(Cost $54,060)

54,060

Investments, at Amortized Cost

( $233,615)

233,615

REPURCHASE AGREEMENTS – 6.2% ⁽⁷⁾

Repurchase Agreements – 6.2%

JPMorgan Securities LLC, dated 9/30/20, repurchase price $3,001,
0.23%, 10/7/20

3,000

Royal Bank of Canada, Toronto Branch, dated 9/29/20, repurchase price $2,500,
0.20%, 10/7/20

2,500

Societe Generale S.A., dated 9/30/20, repurchase price $10,000,
0.17%, 10/1/20

10,000

15,500

Total Repurchase Agreements

(Cost $15,500)

15,500

Total Investments – 99.6%

(Cost $249,115)

249,115

Other Assets less Liabilities – 0.4%

1,014

NET ASSETS – 100.0%

250,129

⁽¹⁾

Discount rate at the time of purchase.

⁽²⁾

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined in accordance with procedures established by the Board of Trustees of Northern Funds.

⁽³⁾

Variable rate security. Rate as of September 30, 2020 is disclosed.

⁽⁴⁾

Variable rate security. Rate as of September 30, 2020 is disclosed. Maturity date represents the next interest reset date. The security’s legal final maturity date is longer than the reset date. Securities with longer maturity dates have a greater sensitivity to changes in liquidity, interest rate risk and/or credit risk.

⁽⁵⁾

⁽⁶⁾

Variable rate security. Rate as of September 30, 2020 is disclosed. Maturity date represents the date when principal payments may be due, taking into account any call options exercised and any permissible maturity shortening features.

⁽⁷⁾

The nature and terms of the collateral received for the repurchase agreements are as follows:



NAME	FAIR VALUE (000S)		COUPON RATES	MATURITY DATES
Corporate Bonds		$16,585	2.00% — 6.80%	7/6/21 — 8/8/56

Total		$16,585

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

1M – 1 Month

3M – 3 Month

ABS – Asset-Backed Securities

AMT – Alternative Minimum Tax

HFA – Housing Finance Authority

ICE – Intercontinental Exchange

LIBOR – London Interbank Offered Rate

LOC – Letter of Credit

MMY – Money Market Yield

PLC – Public Limited Company

SFM – Single Family Mortgage

USD – United States Dollar

Percentages shown are based on Net Assets.

At September 30, 2020, the maturity analysis for the Fund as a percentage of investments was:



MATURITY ANALYSIS	%
OVERNIGHT (ONE BUSINESS DAY)		22.0	%
2 - 15 DAYS		31.3
16 - 30 DAYS		12.2
31 - 60 DAYS		17.4
61 - 97 DAYS		14.7
98 - 180 DAYS		2.4

Total		100.0	%

PRINCIPAL
AMOUNT
(000S)

VALUE
(000S)

MUNICIPAL INVESTMENTS – 100.0%

Alaska – 0.6%

Valdez City Marine Terminal Revenue Refunding Bonds, Series B, Exxon Pipelin Co. Project,
0.10%, 10/1/20⁽¹⁾⁽²⁾

$750

$750

District of Columbia – 1.3%

Metropolitan Washington Airports Authority Airport System Variable Revenue Bonds, Subordinate Series D-2 (TD Bank N.A. LOC), 0.12%, 10/1/20⁽¹⁾⁽²⁾

1,700

1,700

Florida – 6.2%

Florida State Housing Finance Corp., MFH Mortgage Variable Revenue Bonds, Series L, Hudson Ridge Apartments (JPMorgan Chase Bank N.A. LOC),
0.17%, 10/8/20⁽¹⁾⁽²⁾

1,000

Florida State Housing Finance Corp., MFH Revenue Refunding Mortgage Bonds, Cypress Lake Apartment M-1,
0.12%, 10/8/20⁽¹⁾⁽²⁾

3,500

Highlands County Health Facilities Authority Variable Revenue Bonds, Series A, Hospital Adventist Health System,
0.12%, 10/8/20⁽¹⁾⁽²⁾

1,975

Jacksonville Health Care Facilities Variable Revenue Refunding Bonds, Baptist Health,
0.11%, 10/8/20⁽¹⁾⁽²⁾

1,300

7,775

Georgia – 2.1%

Savannah EDA Exempt Facility Variable Revenue Bonds (AMT), Consolidated Utilities Project (Branch Banking & Trust Co. LOC),
0.22%, 10/8/20⁽¹⁾⁽²⁾

2,630

2,630

Illinois – 16.5%

Aurora Variable Revenue Bonds, Counseling Center Fox Valley Project (BMO Harris Bank N.A. LOC),
0.14%, 10/8/20⁽¹⁾⁽²⁾

1,210


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL INVESTMENTS - 100.0% continued

Illinois – 16.5% continued
Illinois State Development Finance Authority Variable Revenue Bonds, St. Ignatius College Project (PNC Bank N.A. LOC), 0.14%, 10/8/20⁽¹⁾⁽²⁾		$2,850		$2,850
Illinois State Educational Facilities Authority Adjustable Revenue Bonds, Aurora University (BMO Harris Bank N.A. LOC), 0.14%, 10/8/20⁽¹⁾⁽²⁾		2,100		2,100
Illinois State Finance Authority Adjustable Revenue Bonds, Chicago Symphony Orchestra (PNC Bank N.A. LOC), 0.14%, 10/8/20⁽¹⁾⁽²⁾		5,000		5,000
Illinois State Finance Authority Variable Revenue Bonds, Northwestern Memorial Hospital University, 0.10%, 10/1/20⁽¹⁾⁽²⁾		800		800
Illinois State Finance Authority Variable Revenue Bonds, Series A, McKinley Foundation Project (Keybank N.A. LOC), 0.23%, 10/8/20⁽¹⁾⁽²⁾		4,965		4,965
Illinois State Finance Authority Variable Revenue Bonds, Series B, University of Chicago Medical Center (Wells Fargo Bank N.A. LOC), 0.12%, 10/1/20⁽¹⁾⁽²⁾		400		400
Illinois State Finance Authority Variable Revenue Bonds, Series D-2, University of Chicago Medical (PNC Bank N.A. LOC), 0.10%, 10/1/20⁽¹⁾⁽²⁾		1,500		1,500
Illinois State Finance Authority Variable Revenue Bonds, Wbez Alliance Inc., Project (BMO Harris Bank N.A. LOC), 0.14%, 10/8/20⁽¹⁾⁽²⁾		600		600
Tender Option Bond Trust Receipts/Certificates Various States Floaters Revenue Bonds, Series 2018-XF253, 0.15%, 10/8/20⁽¹⁾^(2) (3)		1,400		1,400

				20,825

PRINCIPAL
AMOUNT
(000S)

VALUE
(000S)

MUNICIPAL INVESTMENTS - 100.0% continued

Indiana – 1.1%

Indiana State Finance Authority Health System Variable Revenue Refunding Bonds, Series J, Sisters of St. Francis (Barclays Bank PLC LOC),
0.12%, 10/1/20^{(1) (2)}

$1,400

$1,400

Iowa – 4.3%

Iowa State Finance Authority Variable Revenue Bonds, Wesley Retirement Services (Bank of America N.A. LOC),
0.12%, 10/8/20^{(1) (2)}

300

Iowa State Higher Education Loan Authority Private College Facilities Variable Revenue Bonds, Loras College Project (Bank of America N.A. LOC),
0.12%, 10/1/20^{(1) (2)}

400

Iowa State Higher Educational Loan Authority Variable Revenue Refunding Bonds, Loras Private College Facility (Bank of America N.A. LOC),
0.12%, 10/1/20^{(1) (2)}

1,000

Tender Option Bond Trust Receipts/Certifcates Floater Revenue Bonds, Series 2017-XM0492,
0.15%, 10/8/20^{(1) (2) (3)}

3,750

5,450

Kentucky – 0.8%

Lexington-Fayette Urban County Government Variable Revenue Refunding Bonds, Eastland Parkway (Traditional Bank Inc., LOC),
0.48%, 10/8/20^(1) (2)

955

955

Maryland – 0.2%

Maryland State Health & Higher Educational Facilities Authority Variable Revenue Bonds, Odenton Christian School (PNC Bank N.A. LOC),
0.12%, 10/8/20^{(1) (2)}

235

235

Massachusetts – 4.4%

Blackrock Muniyield Quality Fund III, Inc., Variable Tax-Exempt Preferreds Bonds (AMT),
0.22%, 10/8/20^{(1) (2) (3)}

5,000


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

MUNICIPAL INVESTMENTS - 100.0% continued

Massachusetts – 4.4% continued
Massachusetts State Development Finance Agency Mass Credit Revenue Bonds, Series A, Wilber School Apartments (Bank of America N.A. LOC), 0.12%, 10/8/20^(1) (2)		$500		$500

				5,500


Minnesota – 9.7%
City of Eden Prairie Minnesota MFH Variable Revenue Refunding Bonds, Eden Glen Apartments Project (Bridgewater Bank LOC), 0.25%, 10/8/20^{(1) (2)}		2,135		2,135
Minnesota State Higher Education Facilities Authority Variable Revenue Bonds, Series 6Q, Concordia University, St. Paul (U.S. Bank N.A. LOC), 0.15%, 10/1/20^{(1) (2)}		2,600		2,600
Minnetonka MFH Variable Revenue Bonds, Tonka Creek Project (Bridgewater Bank LOC), 0.20%, 10/8/20^{(1) (2)}		2,430		2,430
Owatonna City Housing Variable Revenue Refunding Bonds, Series A, Second Century Project (Bridgewater Bank LOC), 0.23%, 10/8/20^{(1) (2)}		1,720		1,720
Saint Louis Park MFH Variable Revenue Bonds, Shoreham Project (Bridgewater Bank LOC), 0.20%, 10/8/20^{(1) (2)}		3,410		3,410

				12,295


Mississippi – 2.6%
Jackson County Pollution Control Adjustable Revenue Refunding Bonds, Chevron U.S.A., Inc. Project, 0.10%, 10/1/20^(1) (2)		500		500
Mississippi State Business Finance Commission Gulf Opportunity Zone Variable Revenue Bonds, Series A, Chevron U.S.A., Inc., 0.08%, 10/8/20^{(1) (2)}		800		800


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
MUNICIPAL INVESTMENTS - 100.0% continued

Mississippi – 2.6% continued
Mississippi State Business Finance Commission Gulf Opportunity Zone Variable Revenue Bonds, Series A, Chevron U.S.A., Inc. Project, 0.10%, 10/1/20⁽¹⁾⁽²⁾		$350		$350
Mississippi State Business Finance Commission Gulf Opportunity Zone Variable Revenue Bonds, Series B, Chevron U.S.A., Inc. Project, 0.10%, 10/1/20⁽¹⁾⁽²⁾		700		700
Mississippi State Business Finance Commission Gulf Opportunity Zone Variable Revenue Bonds, Series C, Chevron U.S.A., Inc. Project, 0.10%, 10/1/20⁽¹⁾⁽²⁾		210		210
Mississippi State Business Finance Commission Gulf Opportunity Zone Variable Revenue Bonds, Series K, Chevron U.S.A., Inc. Project, 0.10%, 10/1/20⁽¹⁾⁽²⁾		700		700


				3,260


Missouri – 1.5%
Bridgeton IDA Variable Revenue Bonds, Stolze Printing Project (Carrollton Bank LOC), 0.18%, 10/8/20⁽¹⁾⁽²⁾		100		100
Saint Charles County IDA Variable Revenue Refunding Bonds, Casalon Apartments Project (FNMA Insured), 0.12%, 10/8/20⁽¹⁾⁽²⁾		295		295
Saint Louis Missouri City IDA Variable Revenue Bonds, Mid-America Transplant Services (BMO Harris Bank N.A. LOC), 0.15%, 10/1/20⁽¹⁾⁽²⁾		1,500		1,500


				1,895


Nebraska – 4.0%
Custer County Midwestern Disaster Variable Revenue Bonds, Andersons Inc., Project (U.S. Bank N.A. LOC), 0.18%, 10/8/20⁽¹⁾⁽²⁾		5,000		5,000

PRINCIPAL
AMOUNT
(000S)

VALUE
(000S)

MUNICIPAL INVESTMENTS - 100.0% continued

Nevada – 0.2%

Clark County Airport System Variable Revenue Bonds, Subordinate Lien, Series D-1 (Mitsui Banking LOC),
0.13%, 10/8/20⁽¹⁾⁽²⁾

$300

$300

New York – 0.6%

New York State Dormitory Authority State Personal Income Tax Subordinate RANS, Series B,
5.00%, 3/31/21

700

715

North Carolina – 0.9%

Raleigh Comb Enterprise System Variable Revenue Bonds, Series B,
0.12%, 10/8/20⁽¹⁾⁽²⁾

1,200

1,200

Ohio – 0.5%

Ohio State Adjustable G.O. Unlimited Bonds, Series D, Common Schools,
0.12%, 10/8/20⁽¹⁾⁽²⁾

410

Ross County Hospital Adjustable Revenue Bonds, Adena Health System (PNC Bank N.A. LOC),
0.12%, 10/8/20⁽¹⁾⁽²⁾

290

700

Oregon – 0.2%

Oregon State Facilities Authority Variable Revenue Bonds, Series A, Quatama Crossing Housing (FNMA LOC),
0.21%, 10/8/20⁽¹⁾⁽²⁾

300

300

Pennsylvania – 15.5%

Bucks County IDA Hospital Variable Revenue Bonds, Series A, Grand View Hospital (TD Bank N.A. LOC),
0.12%, 10/8/20⁽¹⁾⁽²⁾

5,000

Lancaster County Hospital Authority Senior Living Facilities Variable Revenue Bonds, Quarryville Presbyterian (Manufacturers & Traders LOC),
0.16%, 10/8/20⁽¹⁾⁽²⁾

6,600

Pennsylvania State Turnpike Commission Turnpike Variable Revenue Refunding Bonds (TD Bank N.A. LOC),
0.12%, 10/8/20⁽¹⁾⁽²⁾

2,900

PRINCIPAL
AMOUNT
(000S)

VALUE
(000S)

MUNICIPAL INVESTMENTS - 100.0% continued

Pennsylvania – 15.5% continued

RBC Municipal Products, Inc., Trust Revenue Bonds, Series E-101, Floater Certificates (Royal Bank of Canada LOC),
0.15%, 10/8/20⁽¹⁾⁽²⁾

$5,000

19,500

Rhode Island – 0.5%

Rhode Island State Health & Educational Building Corp., Higher Educational Facilities Variable Revenue Refunding Bonds, Bryant University (TD Bank N.A. LOC),
0.14%, 10/8/20⁽¹⁾⁽²⁾

600

600

South Carolina – 0.4%

South Carolina Jobs-EDA Economic Development Hospital Variable Revenue Bonds, Prisma Health Obligation Group (U.S. Bank N.A. LOC),
0.10%, 10/1/20⁽¹⁾⁽²⁾

500

500

Tennessee – 5.6%

Greeneville Health & Educational Facilities Board Hospital Variable Revenue Bonds, Series B, Ballad Health (U.S. Bank N.A. LOC),
0.11%, 10/8/20⁽¹⁾⁽²⁾

1,800

Sevier County Public Building Authority Local Government Public Improvement Variable Revenue Bonds, Series V-B-1 (Branch Banking & Trust Co. LOC),
0.15%, 10/8/20⁽¹⁾⁽²⁾

5,325

7,125

Texas – 12.6%

Bowie County Industrial Development Corp., Adjustable Revenue Bonds, Texarkana Newspapers Inc. (JPMorgan Chase Bank N.A. LOC),
0.13%, 10/1/20⁽¹⁾⁽²⁾

500

Harris County Hospital District Variable Revenue Refunding Bonds, Senior Lien (JPMorgan Chase Bank N.A. LOC),
0.16%, 10/8/20⁽¹⁾⁽²⁾

4,700


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
MUNICIPAL INVESTMENTS - 100.0% continued

Texas – 12.6% continued
Lower Neches Valley Authority Industrial Development Corp., Variable Revenue Bonds, Exxonmobil Project, 0.09%, 10/1/20⁽¹⁾⁽²⁾		$315		$315
Mesquite Independent School District Variable G.O. Unlimited Bonds, Series A (PSF, Gtd.), 0.22%, 10/8/20⁽¹⁾⁽²⁾		1,960		1,960
Port of Arthur Navigation District Industrial Development Corp., Variable Revenue Bonds, Total Petrochemicals, 0.18%, 10/8/20⁽¹⁾⁽²⁾		2,600		2,600
Tarrant County Cultural Education Facilities Finance Corp., Hospital Variable Revenue Refunding Bonds, Methodist Hospitals Dallas (TD Bank N.A. LOC), 0.13%, 10/1/20⁽¹⁾⁽²⁾		1,200		1,200
Texas State Department of Housing & Community Affairs MFH Variable Revenue Bonds, Costa Mariposa Apartments, 0.18%, 10/8/20⁽¹⁾⁽²⁾		170		170
Texas State TRANS, 4.00%, 8/26/21		3,000		3,102
University of Texas System Bonds, 0.45%, 2/18/21		1,300		1,300


				15,847


Utah – 2.3%
Murray City Hospital Variable Revenue Bonds, Series D, IHC Health Services Inc., 0.10%, 10/1/20⁽¹⁾⁽²⁾		900		900
Utah State Corp.,MFH Variable Revenue Bonds, Series A, Florentine Villas (FHLMC LOC), 0.16%, 10/8/20⁽¹⁾⁽²⁾		2,050		2,050


				2,950

PRINCIPAL
AMOUNT
(000S)

VALUE
(000S)

MUNICIPAL INVESTMENTS - 100.0% continued

Virginia – 1.1%

Virginia State Small Business Financing Authority Variable Revenue Refunding Bonds, Virginia State University Real Estate (Bank of America N.A. LOC),
0.14%, 10/1/20⁽¹⁾⁽²⁾

$1,345

$1,345

Washington – 3.2%

Washington State Higher Education Facilities Authority Variable Revenue Bonds, Whitman College Project, 0.15%, 10/8/20⁽¹⁾⁽²⁾

2,915

Washington State Housing Finance Commission Nonprofit Variable Revenue Bonds, Evergreen School Project (Wells Fargo Bank N.A. LOC),
0.13%, 10/8/20⁽¹⁾⁽²⁾

1,100

4,015

West Virginia – 1.1%

West Virginia State Hospital Finance Authority Variable Revenue Refunding & Improvement Bonds, Series A, Cabell Hospital (Branch Banking & Trust LOC),
0.15%, 10/8/20⁽¹⁾⁽²⁾

1,380

1,380

Total Municipal Investments

(Cost $126,147)

126,147

Total Investments – 100.0%

(Cost $126,147)

126,147

Other Assets less Liabilities – 0.0%

NET ASSETS – 100.0%

126,164

⁽¹⁾

⁽²⁾

⁽³⁾

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined in accordance with procedures established by the Board of Trustees of Northern Funds.

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

AMT – Alternative Minimum Tax

EDA – Economic Development Authority

FHLMC – Federal Home Loan Mortgage Corporation

FNMA – Federal National Mortgage Association

G.O. – General Obligation

Gtd. – Guaranteed

IDA – Industrial Development Authority

LOC–Letter of Credit

MFH – Multi-Family Housing

PLC – Public Limited Company

PSF – Permanent School Fund

RANS – Revenue Anticipation Notes

TRANS – Tax and Revenue Anticipation Notes

Percentages shown are based on Net Assets.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF TOTAL INVESTMENTS

County		5.2	%

Hospital		21.8

Housing		12.5

IDB & PCR		8.8

School		5.2

State		10.9

University		11.1

Water & Sewer		10.2

All other sectors less than 5%		14.3

Total		100.0	%

At September 30, 2020, the maturity analysis for the Fund as a percentage of investments was:


MATURITY ANALYSIS	%

OVERNIGHT (ONE BUSINESS DAY)		47.0	%

2 - 15 DAYS		1.7

16 - 30 DAYS		7.2

31 - 60 DAYS		16.0

61 - 97 DAYS		18.3

98 - 180 DAYS		9.8

Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. The following table summarizes the valuations of the Fund’s investments, which are carried at amortized cost, or at cost for repurchase agreements, which approximates fair value, by the above fair value hierarchy as of September 30, 2020:


	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

Investments held by Municipal Money Market Fund⁽¹⁾		$—		$126,147		$—		$126,147

⁽¹⁾

Classifications as defined in the Schedule of Investments.


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 28.7% ⁽¹⁾

Federal Farm Credit Bank – 6.2%
FFCB Discount Notes,
1.63%, 10/26/20⁽²⁾		$20,000		$19,978
1.62%, 11/3/20⁽²⁾		15,000		14,978
0.20%, 11/4/20⁽²⁾		10,000		9,989
1.62%, 11/4/20⁽²⁾		20,000		19,979
1.63%, 11/10/20⁽²⁾		57,000		56,898
1.63%, 11/17/20⁽²⁾		34,000		33,928
0.11%, 1/19/21⁽²⁾		7,830		7,827
0.12%, 2/12/21⁽²⁾		1,570		1,569
0.13%, 3/12/21⁽²⁾		3,500		3,498
0.13%, 4/6/21⁽²⁾		940		939
0.13%, 4/7/21⁽²⁾		20,000		19,986
0.13%, 4/14/21⁽²⁾		2,750		2,748
0.13%, 5/5/21⁽²⁾		3,000		2,998
0.13%, 5/11/21⁽²⁾		3,000		2,998
0.14%, 7/20/21⁽²⁾		15,000		14,983
0.14%, 7/21/21⁽²⁾		10,000		9,989
0.15%, 8/10/21⁽²⁾		11,000		10,986
FFCB Notes,
(Floating, U.S. SOFR + 0.07%), 0.14%, 10/1/20⁽³⁾		85,000		85,000
(Floating, U.S. SOFR + 0.08%), 0.15%, 10/1/20⁽³⁾		19,000		19,000
(Floating, ICE LIBOR USD 3M - 0.14%), 0.16%, 10/1/20⁽⁴⁾		75,000		75,000
(Floating, U.S. Federal Funds + 0.07%) , 0.16%, 10/1/20⁽³⁾		55,000		54,995
(Floating, U.S. Federal Funds + 0.10%), 0.19%, 10/1/20⁽³⁾		160,000		159,979
(Floating, U.S. SOFR + 0.14%), 0.21%, 10/1/20⁽³⁾		30,000		30,000
(Floating, U.S. SOFR + 0.15%) , 0.22%, 10/1/20⁽³⁾		30,000		30,000
(Floating, U.S. SOFR + 0.18%), 0.25%, 10/1/20⁽³⁾		15,000		15,000
(Floating, U.S. SOFR + 0.19%), 0.26%, 10/1/20⁽³⁾		35,000		35,000
(Floating, U.S. SOFR + 0.20%) , 0.27%, 10/1/20⁽³⁾		80,000		80,000
(Floating, U.S. Federal Funds + 0.22%), 0.31%, 10/1/20⁽³⁾		65,000		64,995
(Floating, U.S. SOFR + 0.32%), 0.39%, 10/1/20⁽³⁾		60,000		60,000
(Floating, U.S. SOFR + 0.35%), 0.42%, 10/1/20⁽³⁾		40,000		40,000


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 28.7% ⁽¹⁾ continued

Federal Farm Credit Bank – 6.2% continued
(Floating, U.S. Federal Funds + 0.40%), 0.49%, 10/1/20⁽³⁾		$15,000		$15,000
(Floating, ICE LIBOR USD 1M + 0.09%), 0.25%, 10/5/20⁽³⁾		55,000		55,000


				1,053,240


Federal Home Loan Bank – 16.2%
FHLB Bonds,
0.12%, 10/23/20⁽³⁾⁽⁵⁾		40,000		39,998
1.63%, 10/28/20		36,500		36,502
0.19%, 12/10/20		80,000		79,998
0.20%, 12/11/20		40,000		40,000
0.11%, 1/25/21		30,000		29,999
0.16%, 2/16/21		110,000		109,998
0.12%, 2/18/21		75,000		74,998
0.10%, 2/25/21		115,000		114,996
0.12%, 3/10/21		45,000		44,998
0.14%, 5/24/21		35,000		34,998
FHLB Discount Notes,
0.15%, 10/1/20⁽²⁾		35,000		35,000
0.16%, 11/20/20⁽²⁾		70,000		69,984
0.58%, 12/7/20⁽²⁾		130,000		129,860
0.35%, 12/29/20⁽²⁾		100,000		99,913
0.19%, 1/11/21⁽²⁾		85,000		84,954
0.45%, 3/8/21⁽²⁾		41,000		40,919
0.11%, 3/26/21⁽²⁾		100,000		99,947
0.21%, 4/22/21⁽²⁾		100,000		99,882
FHLB Notes,
(Floating, U.S. SOFR + 0.01%) , 0.08%, 10/1/20⁽³⁾		80,000		80,000
(Floating, U.S. SOFR + 0.02%) , 0.09%, 10/1/20⁽³⁾		480,000		480,000
(Floating, U.S. SOFR + 0.06%), 0.13%, 10/1/20⁽³⁾		45,000		45,000
(Floating, U.S. SOFR + 0.07%), 0.14%, 10/1/20⁽³⁾		35,000		35,000
(Floating, U.S. SOFR + 0.08%), 0.15%, 10/1/20⁽³⁾		160,000		160,000
(Floating, U.S. SOFR + 0.14%), 0.21%, 10/1/20⁽³⁾		85,000		85,000
(Floating, U.S. SOFR + 0.15%), 0.22%, 10/1/20⁽³⁾		70,000		70,000
(Floating, U.S. SOFR + 0.16%), 0.23%, 10/1/20⁽³⁾		65,000		65,000
(Floating, U.S. SOFR + 0.23%), 0.30%, 10/1/20⁽³⁾		85,000		85,000


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 28.7% ⁽¹⁾ continued

Federal Home Loan Bank – 16.2% continued

(Floating, U.S. SOFR + 0.27%),

0.34%, 10/1/20⁽³⁾		$40,000	$40,000

(Floating, ICE LIBOR USD 3M -

0.17%), 0.13%, 10/6/20⁽³⁾		25,000	25,000

(Floating, ICE LIBOR USD 3M -

0.17%), 0.11%, 10/8/20⁽³⁾		100,000	100,000

(Floating, ICE LIBOR USD 3M -

0.17%), 0.10%, 10/9/20⁽³⁾		100,000	100,000

(Floating, ICE LIBOR USD 3M -

0.14%), 0.12%, 11/3/20⁽⁴⁾		130,000	130,000


			2,766,944


Federal Home Loan Mortgage Corporation – 2.7%

FHLMC Bonds,

2.38%, 2/16/21		45,000	45,204

FHLMC Discount Notes,

0.15%, 11/12/20⁽²⁾		275,000	274,952

FHLMC Notes,

(Floating, U.S. SOFR + 0.05%),

0.12%, 10/1/20⁽³⁾		10,000	10,000

(Floating, U.S. SOFR + 0.10%) ,

0.17%, 10/1/20⁽³⁾		45,000	45,000

(Floating, U.S. SOFR + 0.14%),

0.21%, 10/1/20⁽³⁾		90,000	90,000


			465,156


Federal National Mortgage Association – 3.6%

FNMA Notes,

(Floating, U.S. SOFR + 0.19%),

0.26%, 10/1/20⁽³⁾		250,000	250,000

(Floating, U.S. SOFR + 0.23%) ,

0.30%, 10/1/20⁽³⁾		50,000	50,024

(Floating, U.S. SOFR + 0.31%),

0.38%, 10/1/20⁽³⁾		75,000	75,000

(Floating, U.S. SOFR + 0.32%),

0.39%, 10/1/20⁽³⁾		75,000	75,000

(Floating, U.S. SOFR + 0.35%),

0.42%, 10/1/20⁽³⁾		75,000	75,000

(Floating, U.S. SOFR + 0.39%),

0.46%, 10/1/20⁽³⁾		85,000	85,000


			610,024


Total U.S. Government Agencies


(Cost $4,895,364)			4,895,364


U.S. GOVERNMENT OBLIGATIONS – 34.8%

U.S. Treasury Bills – 28.1%
0.14%, 10/13/20⁽²⁾		20,000	19,999


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT OBLIGATIONS - 34.8% continued

U.S. Treasury Bills – 28.1% continued

0.15%, 10/13/20⁽²⁾		$215,000		$214,989

0.22%, 10/15/20⁽²⁾		40,000		39,997

0.15%, 10/20/20⁽²⁾		180,000		179,985

0.16%, 10/22/20⁽²⁾		130,000		129,988

0.16%, 10/29/20⁽²⁾		50,000		49,994

0.10%, 11/3/20⁽²⁾		85,000		84,989

0.17%, 11/3/20⁽²⁾		85,000		84,989

0.16%, 11/5/20⁽²⁾		125,000		124,981

0.18%, 11/10/20⁽²⁾		100,000		99,980

0.11%, 11/17/20⁽²⁾		40,000		39,992

0.19%, 11/17/20⁽²⁾		65,000		64,986

0.18%, 11/24/20⁽²⁾		50,000		49,986

0.10%, 11/27/20⁽²⁾		6,255		6,254

0.16%, 12/1/20⁽²⁾		30,000		29,992

0.10%, 12/3/20⁽²⁾		80,000		79,979

0.17%, 12/3/20⁽²⁾		90,000		89,977

0.18%, 12/3/20⁽²⁾		50,000		49,987

0.15%, 12/8/20⁽²⁾		130,000		129,962

0.11%, 12/10/20⁽²⁾		70,000		69,979

0.19%, 12/10/20⁽²⁾		85,000		84,975

0.19%, 12/17/20⁽²⁾		125,000		124,951

0.10%, 12/24/20⁽²⁾		60,350		60,331

0.18%, 12/24/20⁽²⁾		50,000		49,984

0.12%, 1/7/21⁽²⁾		105,000		104,959

0.16%, 1/7/21⁽²⁾		40,000		39,984

0.17%, 1/7/21⁽²⁾		85,000		84,966

0.11%, 1/12/21⁽²⁾		100,000		99,969

0.13%, 1/21/21⁽²⁾		85,000		84,966

0.13%, 1/28/21⁽²⁾		120,000		119,942

0.17%, 1/28/21⁽²⁾		135,000		134,935

0.11%, 2/4/21⁽²⁾		23,955		23,946

0.12%, 2/9/21⁽²⁾		175,000		174,925

0.12%, 2/11/21⁽²⁾		145,000		144,936

0.12%, 2/16/21⁽²⁾		65,000		64,970

0.12%, 2/18/21⁽²⁾		200,000		199,901

0.14%, 2/18/21⁽²⁾		85,000		84,958

0.12%, 2/25/21⁽²⁾		65,165		65,124

0.18%, 2/25/21⁽²⁾		95,000		94,940

0.10%, 3/2/21⁽²⁾		152,780		152,715

0.11%, 3/4/21⁽²⁾		40,000		39,980

0.12%, 3/4/21⁽²⁾		100,000		99,951

0.10%, 3/9/21⁽²⁾		75,000		74,966

0.12%, 3/11/21⁽²⁾		100,000		99,945


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT OBLIGATIONS - 34.8% continued

U.S. Treasury Bills – 28.1% continued

0.13%, 3/11/21⁽²⁾		$85,000		$84,953

0.12%, 3/25/21⁽²⁾		115,000		114,891

0.18%, 3/25/21⁽²⁾		95,000		94,910

0.26%, 3/25/21⁽²⁾		165,000		164,844

0.11%, 4/1/21⁽²⁾		130,000		129,930

0.14%, 7/15/21⁽²⁾		60,000		59,935

0.14%, 8/12/21⁽²⁾		150,000		149,818

0.14%, 9/9/21⁽²⁾		40,000		39,948


				4,791,433


U.S. Treasury Floating Rate Notes – 1.8%

(Floating, U.S. Treasury 3M Bill MMY + 0.12%), 0.22%, 10/1/20⁽³⁾		70,000		69,977

(Floating, U.S. Treasury 3M Bill MMY + 0.22%), 0.32%, 10/1/20⁽³⁾		245,000		244,969


				314,946


U.S. Treasury Notes – 4.9%

1.63%, 10/15/20		35,000		35,000

1.38%, 10/31/20		80,000		79,982

2.88%, 10/31/20		240,000		240,238

1.63%, 11/30/20		65,000		64,994

2.75%, 11/30/20		155,000		155,275

1.88%, 12/15/20		30,000		30,015

2.50%, 1/31/21		70,000		70,259

1.38%, 5/31/21		55,000		55,454

2.00%, 5/31/21		55,000		55,684

1.13%, 9/30/21		45,000		45,441


				832,342


Total U.S. Government Obligations


(Cost $5,938,721)				5,938,721




Investments, at Amortized Cost


($10,834,085)				10,834,085


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

REPURCHASE AGREEMENTS – 37.0%

Joint Repurchase Agreements – 0.7% ⁽⁶⁾⁽⁷⁾

Bank of America Securities LLC, dated 9/30/20, repurchase price

$59,481,

0.07%, 10/7/20		$59,480		$59,480

Societe Generale, New York Branch,dated 9/30/20, repurchase price

$59,481,

0.06%, 10/7/20		59,480		59,480


				118,960


Repurchase Agreements – 36.3% ⁽⁸⁾

Barclays Capital, Inc., dated

8/31/20, repurchase price

$50,004,

0.10%, 10/1/20		50,000		50,000

BNY Mellon Capital Markets LLC,dated 9/30/20, repurchase price

$750,002,

0.08%, 10/1/20		750,000		750,000

Citigroup Global Markets, Inc.,dated 9/30/20, repurchase price

$61,835,

0.06%, 10/1/20		171,622		171,622

Deutsche Bank A.G., dated 9/30/20, repurchase price

$75,000,

0.06%, 10/1/20		75,000		75,000

Fixed Income Clearing Corp., dated

9/30/20, repurchase price

$825,002,

0.07%, 10/1/20		825,000		825,000

JPMorgan Securities LLC, dated

9/30/20, repurchase price

$150,017,

0.12%, 1/3/21		150,000		150,000

JPMorgan Securities LLC, dated

9/30/20, repurchase price

$250,001,

0.08%, 10/1/20		350,000		350,000

NatWest Markets PLC, dated

9/29/20, repurchase price

$1,000,012,

0.06%, 10/6/20		1,000,000		1,000,000

NatWest Markets PLC, dated

9/29/20, repurchase price

$250,003,

0.07%, 10/6/20		250,000		250,000

PRINCIPAL

AMOUNT

(000S)

VALUE
(000S)

REPURCHASE AGREEMENTS - 37.0% continued

Repurchase Agreements – 36.3% ⁽⁸⁾ continued

NatWest Markets PLC, dated

9/30/20, repurchase price

$250,000,

0.06%, 10/1/20

$250,000

Nomura Securities International, Inc.,dated 9/30/20, repurchase price

$1,775,004,

0.07%, 10/1/20

1,775,000

Royal Bank of Canada, New York Branch, dated 9/29/20,repurchase price $550,009,

0.08%, 10/6/20

550,000

6,196,622

Total Repurchase Agreements

(Cost $6,315,582)

6,315,582

Total Investments – 100.5%

(Cost $17,149,667)

17,149,667

Liabilities less Other Assets – (0.5%)

(88,199

)

NET ASSETS – 100.0%

$17,061,468

⁽¹⁾	The obligations of certain U.S. government-sponsored entities are neither issued nor guaranteed by the United States Treasury.

⁽²⁾	Discount rate at the time of purchase.

⁽³⁾

⁽⁴⁾	Variable rate security. Rate as of September 30, 2020 is disclosed.

⁽⁵⁾	Rate is determined by a remarketing agent and in the agent’s 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.

⁽⁶⁾	Interest rates are reset daily and interest is payable monthly. Rates are determined based on technical market conditions, which currently are driven by supply and demand.

⁽⁷⁾	The nature and terms of the collateral received for the joint repurchase agreements are as follows:

NAME

FAIR

VALUE

(000S)

COUPON

RATES

MATURITY

DATES

U.S. Treasury Bonds

$60,097

2.13%—2.75%

2/15/40—11/15/42

U.S. Treasury Notes

$60,917

0.63%—2.25%

7/15/21—12/31/24

Total

$121,014

⁽⁸⁾	The nature and terms of the collateral received for the repurchase agreements are as follows:



NAME	FAIR VALUE (000S)		COUPON RATES		MATURITY DATES

FHLB		$509,589		0.00%—5.50%		10/14/20—7/15/36

FHLMC		$665,066		0.00%—6.75%		12/1/20—10/1/50

FNMA		$637,996		0.00%—7.25%		10/25/20—8/1/50

GNMA		474,171		2.00%—8.50%		10/20/25—10/15/55

TVA		$93,108		0.00%—7.13%		2/15/21—9/15/65

U.S. Treasury Bills		$628,583		0.00%		10/1/20—9/9/21

U.S. Treasury Bonds		$1,290,517		0.00%—7.50%		11/15/21—5/15/50

U.S. Treasury Notes		$2,032,232		0.13%—3.63%		10/31/20—8/15/30

Total		$6,331,262

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

1M – 1 Month

3M – 3 Month

FFCB – Federal Farm Credit Bank

FHLB – Federal Home Loan Bank

FHLMC – Federal Home Loan Mortgage Corporation

FNMA – Federal National Mortgage Association

GNMA – Government National Mortgage Association

ICE – Intercontinental Exchange

LIBOR – London Interbank Offered Rate

MMY – Money Market Yield

PLC – Public Limited Company

SOFR – Secured Overnight Financing Rate

TVA – Tennessee Valley Authority

USD – United States Dollar

Percentages shown are based on Net Assets.

At September 30, 2020, the maturity analysis for the Fund as a percentage of investments was:



MATURITY ANALYSIS	%

OVERNIGHT (ONE BUSINESS DAY)	40.9	%

2 - 15 DAYS	14.0

16 - 30 DAYS	3.1

31 - 60 DAYS	9.7

61 - 97 DAYS	8.7

98 - 180 DAYS	18.8

181 - 270 DAYS	2.4

271 - 366 DAYS	2.4

Total	100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. The following table summarizes the valuations of the Fund’s investments, which are carried at amortized cost, or at cost for repurchase agreements, which approximates fair value, by the above fair value hierarchy as of September 30, 2020:


	LEVEL 1 (000S)		LEVEL 2 (000S)	LEVEL 3 (000S)		TOTAL (000S)

Investments held by U.S. Government Money Market Fund⁽¹⁾		$—	$17,149,667		$—	$17,149,667

⁽¹⁾

Classifications as defined in the Schedule of Investments.


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
U.S. GOVERNMENT AGENCIES - 32.1% ⁽¹⁾

Federal Farm Credit Bank – 10.0%
FFCB Discount Notes,
1.63%, 10/26/20⁽²⁾		$2,000		$1,998
1.62%, 11/3/20⁽²⁾		2,000		1,997
0.20%, 11/4/20⁽²⁾		2,000		1,998
1.62%, 11/4/20⁽²⁾		5,000		4,994
1.62%, 11/10/20⁽²⁾		5,000		4,991
1.63%, 11/10/20⁽²⁾		2,000		1,996
0.19%, 11/17/20⁽²⁾		5,000		4,993
1.63%, 11/17/20⁽²⁾		7,000		6,991
0.11%, 1/19/21⁽²⁾		1,680		1,679
0.12%, 2/12/21⁽²⁾		330		330
0.13%, 3/12/21⁽²⁾		2,000		1,999
0.19%, 3/16/21⁽²⁾		12,000		11,990
0.13%, 4/6/21⁽²⁾		200		200
0.13%, 4/14/21⁽²⁾		1,250		1,249
0.13%, 5/5/21⁽²⁾		1,500		1,499
0.13%, 5/11/21⁽²⁾		1,500		1,499
0.14%, 7/21/21⁽²⁾		5,000		4,994
0.14%, 8/3/21⁽²⁾		8,000		7,991
0.15%, 8/10/21⁽²⁾		2,000		1,997
FFCB Notes,
(Floating, U.S. SOFR + 0.07%), 0.14%, 10/1/20⁽³⁾		20,000		20,000
(Floating, U.S. SOFR + 0.08%), 0.15%, 10/1/20⁽³⁾		14,000		14,000
(Floating, ICE LIBOR USD 3M - 0.14%), 0.16%, 10/1/20⁽⁴⁾		15,000		15,000
(Floating, U.S. Federal Funds + 0.07%) , 0.16%, 10/1/20⁽³⁾		10,000		9,999
(Floating, U.S. SOFR + 0.09%), 0.16%, 10/1/20⁽³⁾		5,000		5,000
(Floating, U.S. SOFR + 0.11%), 0.18%, 10/1/20⁽³⁾		25,000		24,998
(Floating, U.S. Federal Funds + 0.10%), 0.19%, 10/1/20⁽³⁾		30,000		29,996
(Floating, U.S. SOFR + 0.14%), 0.21%, 10/1/20⁽³⁾		5,000		5,000
(Floating, U.S. SOFR + 0.15%), 0.22%, 10/1/20⁽³⁾		5,000		5,000
(Floating, U.S. Federal Funds + 0.14%), 0.23%, 10/1/20⁽³⁾		10,000		10,001
(Floating, U.S. SOFR + 0.18%), 0.25%, 10/1/20⁽³⁾		28,000		27,998
(Floating, U.S. SOFR + 0.19%), 0.26%, 10/1/20⁽³⁾		6,000		6,000


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
U.S. GOVERNMENT AGENCIES - 32.1% ⁽¹⁾ continued

Federal Farm Credit Bank – 10.0% continued
(Floating, U.S. SOFR + 0.20%), 0.27%, 10/1/20⁽³⁾		$16,000		$16,000
(Floating, U.S. Federal Funds + 0.22%), 0.31%, 10/1/20⁽³⁾		15,000		14,999
(Floating, U.S. SOFR + 0.32%), 0.39%, 10/1/20⁽³⁾		10,000		10,000
(Floating, U.S. SOFR + 0.35%), 0.42%, 10/1/20⁽³⁾		40,000		40,000
(Floating, U.S. SOFR + 0.38%), 0.45%, 10/1/20⁽³⁾		20,000		20,000
(Floating, U.S. Federal Funds + 0.40%), 0.49%, 10/1/20⁽³⁾		5,000		5,000
(Floating, ICE LIBOR USD 1M + 0.09%), 0.25%, 10/5/20⁽³⁾		10,000		10,000


				354,376


Federal Home Loan Bank – 22.1%
FHLB Bonds,
1.63%, 10/28/20		7,570		7,570
0.19%, 12/10/20		20,000		19,999
0.20%, 12/11/20		10,000		10,000
0.11%, 1/25/21		5,000		5,000
0.16%, 2/16/21		25,000		25,000
0.12%, 2/18/21		50,000		49,999
0.10%, 2/25/21		25,000		24,999
0.12%, 3/10/21		10,000		9,999
0.14%, 5/24/21		5,000		5,000
FHLB Discount Notes,
0.15%, 10/1/20⁽²⁾		10,000		10,000
0.15%, 10/15/20⁽²⁾		145,000		144,992
0.16%, 11/20/20⁽²⁾		15,000		14,997
0.58%, 12/7/20⁽²⁾		30,000		29,968
0.35%, 12/29/20⁽²⁾		20,000		19,983
0.19%, 1/11/21⁽²⁾		20,000		19,989
0.45%, 3/8/21⁽²⁾		9,000		8,982
0.11%, 3/26/21⁽²⁾		20,000		19,989
0.21%, 4/22/21⁽²⁾		5,000		4,994
FHLB Notes,
(Floating, U.S. SOFR + 0.01%), 0.08%, 10/1/20⁽³⁾		15,000		15,000
(Floating, U.S. SOFR + 0.02%), 0.09%, 10/1/20⁽³⁾		50,000		50,000
(Floating, U.S. SOFR + 0.03%), 0.10%, 10/1/20⁽³⁾		30,000		30,000
(Floating, U.S. SOFR + 0.06%), 0.13%, 10/1/20⁽³⁾		5,000		5,000


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT AGENCIES - 32.1% ⁽¹⁾ continued

Federal Home Loan Bank – 22.1% continued

(Floating, U.S. SOFR + 0.07%), 0.14%, 10/1/20⁽³⁾		$5,000		$5,000

(Floating, U.S. SOFR + 0.08%), 0.15%, 10/1/20⁽³⁾		35,000		35,000

(Floating, U.S. SOFR + 0.12%), 0.19%, 10/1/20⁽³⁾		6,000		6,000

(Floating, U.S. SOFR + 0.14%), 0.21%, 10/1/20⁽³⁾		20,000		20,000

(Floating, U.S. SOFR + 0.15%), 0.22%, 10/1/20⁽³⁾		15,000		15,000

(Floating, U.S. SOFR + 0.16%), 0.23%, 10/1/20⁽³⁾		15,000		15,000

(Floating, U.S. SOFR + 0.17%), 0.24%, 10/1/20⁽³⁾		30,000		30,000

(Floating, U.S. SOFR + 0.19%), 0.26%, 10/1/20⁽³⁾		25,000		25,000

(Floating, U.S. SOFR + 0.23%), 0.30%, 10/1/20⁽³⁾		20,000		20,000

(Floating, U.S. SOFR + 0.27%), 0.34%, 10/1/20⁽³⁾		10,000		10,000

(Floating, ICE LIBOR USD 3M - 0.17%), 0.11%, 10/8/20⁽³⁾		15,000		15,000

(Floating, ICE LIBOR USD 3M - 0.17%), 0.10%, 10/9/20⁽³⁾		20,000		20,000

0.12%, 10/23/20⁽³⁾⁽⁵⁾		10,000		9,999

(Floating, ICE LIBOR USD 3M - 0.14%), 0.12%, 11/3/20⁽⁴⁾		25,000		25,000


				782,459

Total U.S. Government Agencies

(Cost $1,136,835)				1,136,835


U.S. GOVERNMENT OBLIGATIONS – 35.3%

U.S. Treasury Bills – 26.4%

0.14%, 10/13/20⁽²⁾		5,000		5,000

0.15%, 10/13/20⁽²⁾		50,000		49,997

0.22%, 10/15/20⁽²⁾		10,000		9,999

0.15%, 10/20/20⁽²⁾		40,000		39,997

0.16%, 10/22/20⁽²⁾		30,000		29,997

0.10%, 11/3/20⁽²⁾		20,000		19,998

0.17%, 11/3/20⁽²⁾		20,000		19,998

0.16%, 11/5/20⁽²⁾		25,000		24,996

0.18%, 11/10/20⁽²⁾		20,000		19,996

0.11%, 11/17/20⁽²⁾		10,000		9,998

0.19%, 11/17/20⁽²⁾		15,000		14,997

0.18%, 11/24/20⁽²⁾		10,000		9,997


	PRINCIPAL AMOUNT (000S)		VALUE (000S)

U.S. GOVERNMENT OBLIGATIONS - 35.3% continued

U.S. Treasury Bills – 26.4% continued

0.16%, 12/1/20⁽²⁾		$10,000		$9,997

0.10%, 12/3/20⁽²⁾		15,000		14,996

0.17%, 12/3/20⁽²⁾		20,000		19,995

0.18%, 12/3/20⁽²⁾		10,000		9,997

0.15%, 12/8/20⁽²⁾		25,000		24,993

0.11%, 12/10/20⁽²⁾		15,000		14,996

0.19%, 12/10/20⁽²⁾		20,000		19,994

0.19%, 12/17/20⁽²⁾		25,000		24,990

0.10%, 12/24/20⁽²⁾		12,795		12,791

0.18%, 12/24/20⁽²⁾		10,000		9,997

0.12%, 1/7/21⁽²⁾		25,000		24,990

0.16%, 1/7/21⁽²⁾		10,000		9,996

0.17%, 1/7/21⁽²⁾		20,000		19,992

0.11%, 1/12/21⁽²⁾		20,000		19,994

0.17%, 1/28/21⁽²⁾		30,000		29,985

0.12%, 2/9/21⁽²⁾		35,000		34,985

0.12%, 2/11/21⁽²⁾		30,000		29,987

0.12%, 2/16/21⁽²⁾		15,000		14,993

0.12%, 2/18/21⁽²⁾		25,000		24,987

0.14%, 2/18/21⁽²⁾		20,000		19,990

0.12%, 2/25/21⁽²⁾		10,000		9,994

0.18%, 2/25/21⁽²⁾		8,000		7,995

0.10%, 3/2/21⁽²⁾		32,220		32,206

0.11%, 3/4/21⁽²⁾		10,000		9,995

0.12%, 3/4/21⁽²⁾		20,000		19,990

0.10%, 3/9/21⁽²⁾		25,000		24,989

0.12%, 3/11/21⁽²⁾		25,000		24,986

0.13%, 3/11/21⁽²⁾		20,000		19,989

0.12%, 3/25/21⁽²⁾		25,000		24,980

0.18%, 3/25/21⁽²⁾		20,000		19,984

0.26%, 3/25/21⁽²⁾		10,000		9,992

0.11%, 4/1/21⁽²⁾		30,000		29,984

0.14%, 7/15/21⁽²⁾		15,000		14,984

0.14%, 8/12/21⁽²⁾		30,000		29,964

0.14%, 9/9/21⁽²⁾		10,000		9,987


				937,634


U.S. Treasury Floating Rate Notes – 2.3%

(Floating, U.S. Treasury 3M Bill MMY + 0.12%), 0.22%, 10/1/20⁽³⁾		20,000		19,994


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
U.S. GOVERNMENT OBLIGATIONS - 35.3% continued

U.S. Treasury Floating Rate Notes – 2.3% continued

(Floating, U.S. Treasury 3M Bill MMY + 0.15%), 0.25%, 10/1/20⁽³⁾		$15,000		$14,995
(Floating, U.S. Treasury 3M Bill MMY + 0.22%), 0.32%, 10/1/20⁽³⁾		45,000		44,995


				79,984


U.S. Treasury Notes – 6.6%
1.63%, 10/15/20		5,000		5,000
2.88%, 10/31/20		45,000		45,045
2.63%, 11/15/20		20,000		20,024
1.63%, 11/30/20		15,000		14,999
2.75%, 11/30/20		30,000		30,053
1.88%, 12/15/20		5,000		5,002
2.50%, 1/31/21		15,000		15,055
1.13%, 2/28/21		58,000		58,112
1.38%, 5/31/21		15,000		15,124
2.00%, 5/31/21		15,000		15,186
1.13%, 9/30/21		10,000		10,098


				233,698

Total U.S. Government Obligations

(Cost $1,251,314)				1,251,316


Investments, at Amortized Cost

( $2,388,149)				2,388,151

REPURCHASE AGREEMENTS – 33.5% ⁽⁶⁾

Repurchase Agreements – 33.5%

Bank of America N.A., dated 9/30/20, repurchase price $250,001, 0.08%, 10/1/20		250,000		250,000
Canadian Imperial Bank of Commerce, dated 9/21/20, repurchase price $100,004, 0.09%, 10/7/20		100,000		100,000
Canadian Imperial Bank of Commerce, dated 9/24/20, repurchase price $300,008, 0.08%, 10/7/20		300,000		300,000
Citigroup Global Markets, Inc., dated 9/30/20, repurchase price $61,835, 0.06%, 10/1/20		61,835		61,835

PRINCIPAL
AMOUNT
(000S)

VALUE
(000S)

REPURCHASE AGREEMENTS - 33.5% ⁽⁶⁾ continued

Repurchase Agreements – 33.5% continued

Fixed Income Clearing Corp., dated 9/30/20, repurchase price $175,000,
0.07%, 10/1/20

$175,000

HSBC Securities (U.S.A.), Inc., dated 9/30/20, repurchase price $50,000,
0.06%, 10/1/20

50,000

JPMorgan Securities LLC, dated 9/30/20, repurchase price $250,001,
0.08%, 10/1/20

250,000

1,186,835

Total Repurchase Agreements

(Cost $1,186,835)

1,186,835

PRINCIPAL
AMOUNT
(000S)

VALUE
(000S)

SHORT-TERM INVESTMENTS – 0.7%

U.S. Treasury Bill,
0.13%, 1/28/21⁽²⁾

$25,000

$24,988

Total Short-Term Investments

(Cost $24,990)

24,988

Total Investments – 101.6%

(Cost $3,599,974)

3,599,974

Liabilities less Other Assets – (1.6%)

(55,229

)

NET ASSETS – 100.0%

$3,544,745

⁽¹⁾

The obligations of certain U.S. government-sponsored entities are neither issued nor guaranteed by the United States Treasury.

⁽²⁾

Discount rate at the time of purchase.

⁽³⁾

⁽⁴⁾

Variable rate security. Rate as of September 30, 2020 is disclosed.

⁽⁵⁾

⁽⁶⁾

The nature and terms of the collateral received for the repurchase agreements are as follows:



NAME	FAIR VALUE (000S)		COUPON RATES	MATURITY DATES

FHLMC		$216,507	1.50%—5.00%	11/1/27—9/1/50

FNMA		$61,408	0.00%—4.00%	11/1/29—11/1/49

NAME

FAIR

VALUE

(000S)

COUPON

RATES

MATURITY

DATES

GNMA

$340,042

2.50%—7.00%

6/15/27—12/20/67

TVA

$38

0.00%

12/15/31

U.S. Treasury Bonds

$459,996

1.00%—6.25%

1/15/28—2/15/49

U.S. Treasury Notes

$138,576

0.13%—3.13%

1/15/22—8/15/30

Total

$1,216,567

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

1M – 1 Month

3M – 3 Month

FFCB – Federal Farm Credit Bank

FHLB – Federal Home Loan Bank

FHLMC – Federal Home Loan Mortgage Corporation

FNMA – Federal National Mortgage Association

GNMA – Government National Mortgage Association

ICE – Intercontinental Exchange

LIBOR – London Interbank Offered Rate

MMY – Money Market Yield

SOFR – Secured Overnight Financing Rate

TVA – Tennessee Valley Authority

USD – United States Dollar

Percentages shown are based on Net Assets.

At September 30, 2020, the maturity analysis for the Fund as a percentage of investments was:



MATURITY ANALYSIS	%

OVERNIGHT (ONE BUSINESS DAY)	40.1	%

2 - 15 DAYS	14.9

16 - 30 DAYS	3.0

31 - 60 DAYS	8.3

61 - 97 DAYS	12.4

98 - 180 DAYS	14.3

181 - 270 DAYS	5.1

271 - 366 DAYS	1.9

Total	100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. The following table summarizes the valuations of the Fund’s investments, which are carried at amortized cost, or at cost for repurchase agreements, which approximates fair value, by the above fair value hierarchy as of September 30, 2020:



	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

Investments held by U.S. Government Select Money Market Fund⁽¹⁾		$—		$3,599,974		$—		$3,599,974

⁽¹⁾

Classifications as defined in the Schedule of Investments.

1. ORGANIZATION

The Money Market Fund and Municipal Money Market Fund seek to qualify as retail money market funds in accordance with criteria established by the U.S. Securities and Exchange Commission (“SEC”). The U.S. Government Money Market Fund and the U.S. Government Select Money Market Fund seek to qualify as government money market funds in accordance with criteria established by the SEC.

2. SIGNIFICANT ACCOUNTING POLICIES

A) VALUATION OF SECURITIES The investments held by the Funds are valued at amortized cost, which NTI, as authorized by the Trust’s Board of Trustees (the “Board”), has determined approximates fair value. Under this method, investments purchased at a discount or premium are valued by accreting or amortizing the difference between the original purchase price and maturity value of the issue over the period to effective maturity.

B) CREDIT ENHANCEMENTS Certain investments owned by the Funds (primarily the Money Market Fund and Municipal Money Market Fund) are covered by insurance issued by private insurers, are backed by an escrow or trust containing U.S. government securities or U.S. government agency securities, or are otherwise supported by letters of credit, standby purchase agreements or other liquidity facilities. Such enhancements may ensure the timely payment of the security’s principal and interest or may shorten the security’s maturity. However, such enhancements do not guarantee the market value of the securities or the value of a Fund’s shares. Additionally, there is no guarantee that an insurer will meet its obligations. For example, exposure to securities involving sub-prime mortgages may cause a municipal bond insurer’s rating to be downgraded or may cause the bond insurer to become insolvent, which may affect the prices and liquidity of municipal obligations insured by the insurer.

C) REPURCHASE AGREEMENTS The Funds may enter into repurchase agreements under the terms of a master repurchase agreement by which the Funds purchase securities for cash from a seller and agree to resell those securities to the same seller at a specific price within a specified time or with an indefinite life and liquidity feature, which allows the Funds to resell the securities quarterly. The interest rate on such repurchase agreements resets daily. During the term of a repurchase agreement, the fair value of the underlying collateral, including accrued interest, is required to equal or exceed the fair value of the repurchase agreement. The underlying collateral for tri-party repurchase agreements is held in accounts for Northern Trust, as agent of the Funds, at The Bank of New York Mellon, State Street Bank and Trust Company or JPMorgan Chase which, in turn, holds securities through the book-entry system at the Federal Reserve Bank of New York. The underlying collateral for other repurchase agreements is held in a customer-only account for Northern Trust, as custodian for the Funds, at the Federal Reserve Bank of Chicago. The Funds are subject to credit risk on repurchase agreements to the extent that the counterparty fails to perform under the agreement and the value of the collateral received falls below the agreed repurchase price. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of collateral by the Funds may be delayed or limited. Certain Funds have entered into such repurchase agreements at September 30, 2020, as reflected in their accompanying Schedules of Investments.

Pursuant to exemptive relief granted by the SEC, U.S. Government Money Market Fund and certain other money market portfolios advised by NTI and Northern Trust may enter into joint repurchase agreements with non-affiliated counterparties through a master repurchase agreement. NTI administers and manages these joint repurchase agreements in accordance with and as part

The following table presents the repurchase agreements, which are subject to Netting Arrangements, as well as the collateral delivered related to those repurchase agreements.

F) LIQUIDITY FEES AND REDEMPTION GATES For the Money Market Fund and Municipal Money Market Fund only, each Fund may impose a liquidity fee of up to 2 percent on redemptions from the Fund or temporarily restrict redemptions from the Fund for up to 10 business days in any given 90-day period (a “redemption gate”) in the event that the Fund’s weekly liquid assets fall below the following thresholds:

30 percent weekly liquid assets – If a Fund’s weekly liquid assets fall below 30 percent of the Fund’s total assets as of the end of a business day, and the Board determines it is in the best interests of the Fund, the Board may impose a liquidity fee of no more than 2 percent of the amount redeemed and/or a redemption gate that temporarily suspends the right of redemption. Liquidity fees and/or redemption gates may be implemented as early as the same business day that the weekly liquid assets of the Fund fall below 30 percent of the total assets.

10 percent weekly liquid assets – If a Fund’s weekly liquid assets fall below 10 percent of the Fund’s total assets as of the end of a business day, the Fund will impose, at the beginning of the next business day, a liquidity fee of 1 percent of the amount redeemed, unless the Board determines that imposing such a fee would not be in the best interests of the Fund or determines that a lower or higher fee (not to exceed 2 percent) would be in the best interest of the Fund.

If a Fund imposes a redemption gate, the Fund and the Fund’s authorized intermediaries will not accept redemption orders until the Fund has notified shareholders that the redemption gate has been lifted.

Liquidity fees and redemption gates may be terminated at any time at the discretion of the Board. In addition, liquidity fees and redemption gates will terminate at the beginning of the next business day once the Fund has invested 30 percent or more of its total assets in weekly liquid assets. A Fund may only suspend redemptions for up to 10 business days in any 90-day period.

Liquidity fees would generally be used to assist the Funds to stem redemptions during times of market stress.

A liquidity fee imposed by a Fund will reduce the amount you will receive upon the redemption of your shares, and will generally decrease the amount of any capital gain or increase the amount of any capital loss you will recognize with respect to the redemption.

If a Fund’s weekly liquid assets fall below 10 percent of the Fund’s total assets, the Fund reserves the right to permanently suspend redemptions and liquidate if the Board determines that it is not in the best interests of the Fund to continue operating.

Liquidity fees, if any, are included in Payments for Shares Redeemed in Note 9—Capital Share Transactions. No liquidity fees or redemption gates were imposed by the Money Market Fund or Municipal Money Market Fund during the six months ended September 30, 2020.

G) DISTRIBUTIONS TO SHAREHOLDERS Distribution of dividends from net investment income are declared daily and paid monthly. Distributions of net realized capital gains, if any, are declared and paid at least annually. Distributions to shareholders are recorded on the ex-dividend date. The timing and character of distributions determined in accordance with federal income tax regulations may differ from financial statement amounts determined in accordance with U.S. GAAP due to differences in the treatment and recognition of investment income and realized gains and losses. These differences are primarily related to the capital loss carryforwards. Inherent differences in the recognition of income and capital gains for federal income tax purposes, which are permanent, may result in periodic reclassifications in the Funds’ capital accounts. These reclassifications may relate to net operating losses and expired capital loss carryforwards. These reclassifications have no impact on the net assets or the net asset value (“NAV”) of the Funds.

At March 31, 2020, the following reclassifications were recorded:



Amounts in thousands	UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)		ACCUMULATED UNDISTRIBUTED NET REALIZED GAINS (LOSSES)

Money Market		$ 2		$ (2)

U.S. Government Money Market		253		(253	)

U.S. Government Select Money Market		42		(42	)

The Regulated Investment Company Modernization Act of 2010 (the “Act”) allows capital losses to be carried forward for an unlimited period and to retain their character as either short-term or long-term. The Funds’ ability to utilize capital loss carry-forwards in the future may be limited under the Code and related regulations based on the results of future transactions.

Capital losses incurred that will be carried forward indefinitely under the provisions of the Act are as follows:

Post-enactment losses

Amounts in thousands

SHORT-TERM

CAPITAL LOSS

CARRYFORWARD

LONG-TERM

CAPITAL LOSS

CARRYFOWARD

Municipal Money Market

$29

$–

At March 31, 2020, the tax components of undistributed net investment income and realized gains, including amounts declared but not yet paid for federal income tax purposes, were as follows:

UNDISTRIBUTED

Amounts in thousands

TAX-EXEMPT

INCOME

ORDINARY

INCOME*

LONG-TERM
CAPITAL GAINS

Money Market

$ –

$ 514

$–

Municipal Money Market

358

–

U.S. Government Money Market

–

9,139

–

U.S. Government Select Money Market

–

1,937

–

*	Ordinary income includes taxable market discount income and short-term capital gains, if any.

The tax character of distributions paid during the fiscal year ended March 31, 2020, was as follows:

DISTRIBUTIONS FROM

Amounts in thousands

TAX-EXEMPT

INCOME

ORDINARY
INCOME*

LONG-TERM
CAPITAL GAINS

Money Market

$ –

$ 11,250

$–

Municipal Money Market

4,109

–

U.S. Government Money Market

–

292,087

–

U.S. Government Select Money Market

–

54,461

–

*	Ordinary income includes taxable market discount income and short-term capital gains, if any.

The tax character of distributions paid during the fiscal year ended March 31, 2019, was as follows:

DISTRIBUTIONS FROM

Amounts in thousands

TAX-EXEMPT

INCOME

ORDINARY

INCOME*

LONG-TERM
CAPITAL GAINS

Money Market

$ –

$ 9,571

$–

Municipal Money Market

7,788

–

U.S. Government Money Market

–

293,380

–

U.S. Government Select Money Market

–

61,310

–

*	Ordinary income includes taxable market discount income and short-term capital gains, if any.

As of March 31, 2020, no Fund had uncertain tax positions that would require financial statement recognition or disclosure. The Funds’ federal tax returns remain subject to examination by the

Internal Revenue Service for three years after they are filed. Interest or penalties incurred, if any, on future unknown, uncertain tax positions taken by the Funds will be recorded as interest expense and other expenses, respectively, on the Statements of Operations.

3. SERVICE PLAN

The Trust has adopted a Service Plan pursuant to which the Trust may enter into agreements with Northern Trust, its affiliates or other institutions (together “Service Organizations”) under which the Service Organizations agree to provide certain administrative support services and, in some cases, personal and account maintenance services for their customers, who are beneficial owners of shares of the Funds. As compensation for services provided pursuant to the Service Plan, the Service Organizations receive a fee at an annual rate of up to 0.15 percent of the average daily net assets of the Funds beneficially owned by their customers. There were no shareholder servicing fees paid by the Funds to Northern Trust or its affiliates during the six months ended September 30, 2020.

Service Plan expenses, if any, are included in the Statements of Operations under Shareholder servicing fees for the six months ended September 30, 2020.

4. BANK BORROWINGS

The Funds did not have any borrowings or incur any interest expense for the six months ended September 30, 2020. There were no outstanding loan amounts at September 30, 2020.

5. MANAGEMENT AND OTHER AGREEMENTS

NTI has contractually agreed to reimburse a portion of the operating expenses of each Fund (other than certain excepted expenses, i.e., acquired fund fees and expenses, the compensation paid to each independent Trustee of the Trust, expenses of third-party consultants engaged by the Board, membership dues paid to the Investment Company Institute and Mutual Fund Directors Forum, expenses in connection with the negotiation and renewal of the revolving credit facility, extraordinary expenses and interest) as shown on the accompanying Statements of Operations, to the extent the total annual fund operating expenses of the Funds exceed the expense limitations set forth below. The total annual fund operating expenses after expense reimbursement for each Fund may be higher than the contractual limitation as a result of certain excepted expenses that are not reimbursed. The amount of the reimbursement is included in Less expenses reimbursed by investment adviser as a reduction to Total Expenses in the Statements of Operations.

At September 30, 2020, the annual management fees and contractual expense limitations for the Funds were based on the following annual rates as set forth in the table below.



	CONTRACTUAL

	ANNUAL MANAGEMENT FEES			EXPENSE LIMITATIONS

Money Market		0.33	%		0.35	%

Municipal Money Market		0.33	%		0.35	%

U.S. Government Money Market		0.33	%		0.35	%

U.S. Government Select Money Market		0.33	%		0.35	%

The contractual reimbursement arrangements described above are expected to continue until at least July 31, 2021 for each Fund. The contractual reimbursement arrangements will continue automatically for periods of one year (each such one-year period, a “Renewal Year”). The arrangement may be terminated, as to any succeeding Renewal Year, by NTI or a Fund upon 60 days’ written notice prior to the end of the current Renewal Year. The Board may terminate the contractual arrangements at any time with respect to a Fund if it determines that it is in the best interest of the Fund and its shareholders.

NTI may reimburse additional expenses or waive all or a portion of the management fees of a Fund from time to time, including to avoid a negative yield. Any such additional expense reimbursement or waiver would be voluntary and could be implemented, increased or decreased or discontinued at any time. There is no guarantee that a Fund will be able to avoid a negative yield. During the six months ended September 30, 2020, NTI voluntarily reimbursed fees to avoid a negative yield for the Funds. The amounts voluntarily reimbursed by NTI are included in Less expenses voluntarily reimbursed by investment adviser in the Statements of Operations and the amounts outstanding at September 30, 2020, are included as part of Receivable from affiliates for expense reimbursements in the Statements of Assets and Liabilities. Any such reimbursement or waiver is paid monthly to the Funds by NTI.

In addition, NTI has contractually agreed to reimburse certain additional expenses that may be excepted expenses.

As compensation for services rendered as transfer agent, including the assumption by Northern Trust of the expenses related thereto, Northern Trust receives a fee, computed daily and payable monthly, at an annual rate of 0.019 percent of the average daily net assets of each Fund.

Trustee’s account shall be deemed to be invested in shares of the U.S. Government Portfolio of Northern Institutional Funds and/or the Global Tactical Asset Allocation Fund of the Trust and/or at the discretion of the Trust, a money market fund selected by the Trust that complies with the provisions of Rule 2a-7 under the 1940 Act or one or more short-term fixed income instruments selected by the Trust that are “eligible securities” as defined by that rule. The net investment income, gains and losses achieved by such deemed investment shall be credited to the Trustee’s account as provided in the plan.

6. RELATED PARTY TRANSACTIONS

The Funds are permitted to purchase and sell securities from or to certain affiliated funds or portfolios under specified conditions outlined in Rule 17a-7 Procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price as defined in the Rule 17a-7 Procedures. For the six months ended September 30, 2020, the following Fund engaged in purchases and/or sales of securities from an affiliated entity:



Amount in thousands	PURCHASES		SALES*

Money Market		$15,300		$ -

Municipal Money Market		75,665		(77,090)

*	During the six months ended September 30, 2020, the realized gains (losses) associated with these transactions were zero.

Certain uninvested cash balances of the Funds may receive a return from Northern Trust based on a market return it receives less an administrative fee. These amounts (if any) are shown on the Funds’ Statements of Operations as Income from affiliates.

On April 1 and April 2, 2020, the Money Market Fund purchased asset-backed commercial paper with an aggregate value of $33,011,000 from an unaffiliated asset-backed commercial paper program. The purchase of this commercial paper was concurrent

with separate transactions of other NTI client accounts that sold money market instruments to an unaffiliated broker-dealer that then conveyed those instruments to the issuer of the asset-backed commercial paper. The Money Market Fund sold the asset-backed commercial paper immediately after purchasing it, and did not realize any gain or loss on the sale. See Note 7 - U.S. Federal Reserve’s Money Market Mutual Fund Liquidity Facility.

7. U.S. FEDERAL RESERVE’S MONEY MARKET

MUTUAL FUND LIQUIDITY FACILITY

The U.S. Federal Reserve established the Money Market Mutual Fund Liquidity Facility (“MMLF”) on March 18, 2020, to broaden its program of support for the flow of credit to households and businesses. Under the MMLF, loans are made available to eligible financial institutions secured by high-quality assets purchased by the financial institution from eligible money market mutual funds. From April 1 through April 3, 2020, the Money Market Fund sold securities with an aggregate value of $38,022,000 to a financial institution in connection with the MMLF. These securities were sold at amortized cost and the Money Market Fund incurred no realized gain or loss.

8. INVESTMENT TRANSACTIONS



Amounts in thousands	UNREALIZED APPRECIATION	UNREALIZED DEPRECIATION	NET APPRECIATION (DEPRECIATION)	COST BASIS OF INVESTMENTS

Money Market	$-	$-	$-	$ 249,115

Municipal Money Market	-	-	-	126,147

U.S. Government Money Market	-	-	-	17,149,667

U.S. Government Select Money Market	-	-	-	3,599,974

Transactions in capital shares for the six months ended September 30, 2020, were as follows:

Transactions in capital shares for the fiscal year ended March 31, 2020, were as follows:

10. INDEMNIFICATIONS AND WARRANTIES

11. LIBOR TRANSITION

12. CORONAVIRUS (COVID-19) PANDEMIC

As a shareholder of the Funds, you incur ongoing costs, including management fees and other fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period, April 1, 2020 through September 30, 2020.

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. Therefore, the hypothetical information is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.



MONEY MARKET

SHARES	EXPENSE RATIO			BEGINNING ACCOUNT VALUE 4/1/2020		ENDING ACCOUNT VALUE 9/30/2020		EXPENSES PAID* 4/1/2020- 9/30/2020

Actual		0.33	%		$1,000.00		$1,000.20		$1.65
Hypothetical		0.33	%		$1,000.00		$1,023.35		$1.67

In evaluating the Management Agreement, the Trustees reviewed the Funds’ Management Agreement. The Trustees also reviewed Northern’s reports and presentations and discussed with their independent counsel the information that had been provided to them at the February and April Board Meetings and at the Annual Contract Meeting, as well as their interactions with Northern throughout the year and in past years at various meetings. The Trustees noted that the evaluation process with respect to Northern and the Management Agreement was an ongoing one throughout the year. The materials reviewed by the Trustees included, without limitation: (i) information on the investment performance of the Funds in comparison to other mutual funds and benchmark indices; (ii) compliance reports; (iii) information about Northern’s and its affiliates’ risk management processes and stress testing, credit research, business continuity and cyber-security programs; (iv) fees charged to and expenses borne by the Funds; (v) Northern’s profitability and costs and compensation paid to affiliates of Northern; (vi) the qualifications

Nature, Extent and Quality of Services

the Funds. The Trustees considered the strength of Northern’s and its affiliates’ risk management processes, including with respect to the Funds’ regular reporting on stress testing. The Trustees also reviewed the compliance and administrative services provided to the Funds by Northern and its affiliates, including its oversight of the Funds’ day-to-day operations and fund accounting. The Trustees also noted that on a regular basis they received and reviewed information from the Trust’s Chief Compliance Officer regarding the Funds’ compliance policies and procedures pursuant to Rule 38a-1 under the 1940 Act. They also considered the quality of Northern’s compliance oversight program with respect to all of the Funds’ service providers and the continued involvement of Northern’s internal audit group in reviewing operations that support the Funds, as well as Northern’s responses to any compliance or operational issues raised during the year. The Trustees also took into account that the scope of services provided by Northern, and the undertakings required of Northern in connection with those services, including maintaining and monitoring their own and the Funds’ compliance programs, had expanded over time as a result of regulatory, market and other developments. In this regard, the Trustees also noted Northern’s initiatives undertaken in the past few years with respect to the money market Funds and their shareholders, including, among other things, to convert certain of the Funds to “retail” funds limiting their beneficial owners to natural persons.

Performance

The Trustees considered the investment performance of each of the Funds, including whether it had operated within its respective investment objectives, as well as its compliance with its investment restrictions. The Trustees also took into account the low interest rate environment in which the Funds had been and were operating and any contributions by Northern to the Funds to prevent negative yield this year and in past years. The Trustees received information on the Funds’ investment performance for one, two, three, four, five and ten years, as well as performance for the most recent quarter and year-to-date. The Trustees compared the investment performance of the Funds to the performance of other SEC registered funds and to rankings issued by Broadridge. The Funds were ranked by Broadridge in quintiles, ranging from first to fifth, where first is the most desirable quintile position and fifth is the least desirable. The Trustees also reviewed the Funds’

investment performance relative to their respective performance benchmarks and the Funds’ three-year performance versus net expenses as calculated by Broadridge (“Broadridge Bubble Charts”).

The Trustees noted that the performance of each of the Funds was in the first, second or third quintiles relative to its respective Broadridge peer performance universe for the one-, three- and five-year periods ended January 31, 2020. They also considered that all of the Funds outperformed their respective benchmarks for the one-, three- and five-year periods ended March 31, 2020.

They also considered that none of the Funds was in the least desirable less return, more expenses quadrant of its Broadridge Bubble Chart.

The Trustees concluded, based on the information received, that the Funds’ performance was satisfactory.

Fee Rates, Costs of Services and Profitability

The Trustees also evaluated the Funds’ contractual management fee rates and the net (after expense reimbursements) management fees paid by the Funds; the Funds’ total operating expense ratios; Northern’s contractual commitments to continue expense reimbursements for at least one year with respect to the Funds; and whether a consistent methodology was in place for determining the fees and expenses of the Funds. They also noted certain other actions taken by Northern in past years to reduce Fund expenses, such as voluntary expense reimbursements and management fee reductions with respect to certain Funds.

after reimbursement and fee waivers, were in the first or second quintile of their respective peer group or peer universe, with the exception of the Municipal Money Market Fund, which was in the third quintile of its peer group and universe.

The Trustees took into account Northern’s discussion of the Funds’ expenses, and that Northern had reimbursed expenses for all of the Funds. They also reviewed information comparing the Funds’ fee rates to the fee rates charged by Northern to similarly managed, private institutional accounts, if any. They noted that there were not applicable comparisons for every Fund. For Funds where there were applicable comparisons, the Trustees considered the difference in, and level of complexity of, services provided by Northern with regard to the private institutional accounts, as well as regulatory, operational and compliance differences, board and committee support provided by Northern to the Funds and other differences. The Trustees considered the fee comparisons in light of the differences in management of these different kinds of accounts. These comparisons assisted the Trustees in evaluating the reasonableness of the management fees paid by the Funds.

Economies of Scale

The Trustees considered the extent to which economies of scale would be realized as the Funds grow and whether fee levels reflected these economies of scale for the benefit of shareholders.

They took into account management’s discussion of the Funds’ management fee structure and considered Northern’s view that

the Funds were sharing in economies of scale through the level at which the Funds’ management fees are set and through Northern’s contractual expense reimbursements that limit the expenses for the Funds to specific levels. They agreed that breakpoints were not necessary with respect to the Funds at this time based on the level of management fees and the contractual expense reimbursements. The Trustees also considered the voluntary fee waivers and expense reimbursements made by Northern to the Funds to prevent negative yield this year and in past years. The Trustees determined, on the basis of the foregoing, that the Funds’ current management fee structures were reasonable.

Other Benefits to Northern

The Trustees also reviewed other benefits accruing to Northern and its affiliates as a result of their relationship with the Funds. Those benefits included fees received by the affiliates for transfer agency, custodial and sub-administrative functions. The Trustees also considered that many of the Funds’ shareholders had other client relationships with Northern Trust. In addition, the Trustees considered that the scale of the Funds provided opportunities to Northern to obtain securities trading advantages for its other advisory clients and that Northern and its affiliates benefit from their ability to leverage resources over a larger asset base. The Trustees also took into account the extent to which Northern benefited from receipt of research products and services generated by the Trust’s equity investment portfolios.



	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 93.5% ⁽¹⁾

Argentina – 1.0%

Globant S.A.*		5,732		$1,027

MercadoLibre, Inc.*		2,448		2,650


				3,677


Brazil – 5.2%

Ambev S.A. ADR*		1,567,999		3,544

B3 S.A. - Brasil Bolsa Balcao		161,400		1,584

Hapvida Participacoes e Investimentos S.A.⁽²⁾		33,600		373

Localiza Rent a Car S.A.*		15,200		154

Magazine Luiza S.A.		163,600		2,609

Notre Dame Intermedica Participacoes S.A.		44,800		520

Rumo S.A.*		237,400		806

StoneCo Ltd., Class A*		29,310		1,550

Suzano S.A.*		514,553		4,157

TOTVS S.A.		44,700		215

Vale S.A. ADR		257,932		2,729

WEG S.A.		80,300		935

XP, Inc., Class A*		7,600		317


				19,493


China – 27.7%

Aier Eye Hospital Group Co. Ltd., Class A		79,300		599

Airtac International Group		110,000		2,487

Alibaba Group Holding Ltd.*		209,100		7,732

Alibaba Group Holding Ltd. ADR*		51,032		15,002

A-Living Services Co. Ltd., Class H		163,000		830

Anhui Conch Cement Co. Ltd., Class H		376,500		2,603

Beijing Oriental Yuhong Waterproof Technology Co. Ltd., Class A		92,960		739

Centre Testing International Group Co. Ltd., Class A		357,600		1,284

China Construction Bank Corp., Class H		268,000		175

China International Capital Corp. Ltd., Class H⁽²⁾ *		834,000		1,936

China Life Insurance Co. Ltd., Class H		1,206,000		2,737

China Merchants Bank Co. Ltd., Class H		118,500		564

China Vanke Co. Ltd., Class H		297,100		911

CITIC Securities Co. Ltd., Class H		582,000		1,305

Contemporary Amperex Technology Co. Ltd., Class A		51,064		1,583

Country Garden Services Holdings Co. Ltd.		131,000		848



	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 93.5% ⁽¹⁾ continued

China – 27.7% continued

Dongfeng Motor Group Co. Ltd., Class H		3,376,924		$2,115

East Money Information Co. Ltd., Class A		266,389		943

GDS Holdings Ltd. ADR*		3,430		281

Glodon Co. Ltd., Class A		80,100		861

Industrial & Commercial Bank of China Ltd., Class H		597,000		311

JD.com, Inc. ADR*		98,900		7,676

JD.com, Inc., Class A*		73,050		2,804

Jiangsu Hengli Hydraulic Co. Ltd., Class A		182,900		1,919

Jiangsu Hengrui Medicine Co. Ltd., Class A		36,800		487

Kweichow Moutai Co. Ltd., Class A		5,600		1,377

Li Ning Co. Ltd.		323,000		1,516

Meituan Dianping, Class B*		139,700		4,393

Midea Group Co. Ltd., Class A		133,500		1,427

NetEase, Inc.		145,000		2,601

NetEase, Inc. ADR		5,116		2,326

PetroChina Co. Ltd., Class H		5,898,000		1,734

Ping An Healthcare and Technology Co. Ltd.⁽²⁾*		104,500		1,350

Ping An Insurance Group Co. of China Ltd., Class H		254,500		2,626

Shandong Gold Mining Co. Ltd., Class H⁽³⁾		182,000		448

Silergy Corp.		11,900		704

Sunny Optical Technology Group Co. Ltd.		111,900		1,714

TAL Education Group ADR*		15,440		1,174

Tencent Holdings Ltd.		191,000		12,719

Want Want China Holdings Ltd.		3,087,824		2,155

Wuliangye Yibin Co. Ltd., Class A		43,000		1,400

Wuxi Biologics Cayman, Inc.⁽²⁾*		78,500		1,926

Yonyou Network Technology Co. Ltd., Class A		70,800		399

Zhongsheng Group Holdings Ltd.		311,500		1,958

Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H		801,900		776


				103,455


Egypt – 1.0%

Commercial International Bank Egypt S.A.E.		911,143		3,847


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 93.5% ⁽¹⁾ continued

France – 0.2%

Sartorius Stedim Biotech		1,390		$479

Teleperformance		784		241


				720


Hong Kong – 2.9%

AIA Group Ltd.		43,600		429

Alibaba Health Information Technology Ltd.*		206,000		507

China Mengniu Dairy Co. Ltd.*		192,000		906

China Mobile Ltd. (Hong Kong Exchange)		587,002		3,774

China Overseas Land & Investment Ltd.		337,002		850

China Resources Cement Holdings Ltd.		652,000		894

Hong Kong Exchanges & Clearing Ltd.		41,100		1,932

Techtronic Industries Co. Ltd.		110,500		1,453


				10,745


Hungary – 0.1%

Richter Gedeon Nyrt.		7,508		159


India – 10.2%

Asian Paints Ltd.		36,419		981

Britannia Industries Ltd.		3,005		155

Dr. Reddy’s Laboratories Ltd. ADR		16,900		1,176

Escorts Ltd.		76,781		1,369

HDFC Bank Ltd.*		53,198		784

HDFC Bank Ltd. ADR*		37,767		1,887

Hero MotoCorp Ltd.		113,879		4,876

Hindustan Unilever Ltd.		27,360		769

Housing Development Finance Corp. Ltd.		156,154		3,706

ICICI Bank Ltd. ADR*		185,117		1,820

Infosys Ltd. ADR		184,801		2,552

Maruti Suzuki India Ltd.		12,822		1,178

Reliance Industries Ltd.		178,451		5,435

Tata Consultancy Services Ltd.		338,373		11,476


				38,164


Indonesia – 0.3%

Bank Central Asia Tbk PT		226,700		414

Bank Rakyat Indonesia Persero Tbk PT		2,725,800		559


				973


Japan – 0.3%

Anritsu Corp.		33,900		775

Sony Corp.		6,100		467


				1,242


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 93.5% ⁽¹⁾ continued

Mexico – 3.0%

Alfa S.A.B. de C.V., Class A		2,726,688		$1,689

America Movil S.A.B. de C.V., Class L ADR		245,445		3,066

Gruma S.A.B. de C.V., Class B		41,700		461

Grupo Bimbo S.A.B. de C.V., Series A		641,760		1,194

Grupo Mexico S.A.B. de C.V., Series B		127,548		325

Telesites S.A.B. de C.V.*		173,368		157

Wal-Mart de Mexico S.A.B. de C.V.		1,784,100		4,269


				11,161


Netherlands – 0.8%

ASML Holding N.V.		2,843		1,048

Prosus N.V.*		20,871		1,925


				2,973


Peru – 2.1%

Cia de Minas Buenaventura S.A.A. ADR		89,506		1,094

Credicorp Ltd.		24,165		2,996

Southern Copper Corp.		80,542		3,646


				7,736


Philippines – 0.1%

Universal Robina Corp.		155,860		431


Poland – 0.1%

Dino Polska S.A.*		5,974		352


Russia – 1.3%

LUKOIL PJSC ADR		13,902		804

Magnit PJSC GDR (Registered)		26,393		394

Sberbank of Russia PJSC ADR*		150,407		1,754

X5 Retail Group N.V. GDR (Registered)		30,741		1,137

Yandex N.V., Class A*		9,300		607


				4,696


Singapore – 0.8%

Sea Ltd. ADR*		20,308		3,128


South Africa – 5.7%

AngloGold Ashanti Ltd.		39,404		1,030

Barloworld Ltd.		149,203		547

Bid Corp. Ltd.		125,163		1,929

Bidvest Group (The) Ltd.		438,952		3,613

Clicks Group Ltd.		15,349		203

FirstRand Ltd.		878,951		2,160

Gold Fields Ltd.		36,565		447

Naspers Ltd., Class N		46,049		8,122

Shoprite Holdings Ltd.		27,539		224



	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 93.5% ⁽¹⁾ continued

South Africa – 5.7% continued

Standard Bank Group Ltd.		268,049		$1,726

Truworths International Ltd.		619,016		1,151


				21,152


South Korea – 14.9%

Amorepacific Corp.		20,491		2,853

Hyundai Mobis Co. Ltd.		10,479		2,058

Hyundai Motor Co.		63,915		9,742

LG Chem Ltd.		10,162		5,674

LG Household & Health Care Ltd.		812		1,008

NAVER Corp.		11,393		2,885

NCSoft Corp.		266		183

NHN KCP Corp.		18,836		1,105

NICE Information Service Co. Ltd.		34,868		588

Orion Corp.		36,267		4,093

POSCO		16,733		2,812

Samsung Biologics Co. Ltd.*		1,512		891

Samsung Electronics Co. Ltd.		344,783		17,372

Shinhan Financial Group Co. Ltd.		88,541		2,059

SK Hynix, Inc.		32,126		2,305


				55,628


Sweden – 0.1%

Atlas Copco AB, Class A		5,919		282


Switzerland – 0.1%

Logitech International S.A. (Registered)		3,705		287


Taiwan – 12.1%

Accton Technology Corp.		31,000		240

Giant Manufacturing Co. Ltd.		181,000		1,710

Hon Hai Precision Industry Co. Ltd.		1,223,796		3,276

Largan Precision Co. Ltd.		17,700		2,068

MediaTek, Inc.		178,000		3,753

Nien Made Enterprise Co. Ltd.		67,000		798

Realtek Semiconductor Corp.		208,000		2,662

Taiwan Semiconductor Manufacturing Co. Ltd.		1,164,952		17,496

Taiwan Semiconductor Manufacturing Co. Ltd. ADR		154,330		12,512

Win Semiconductors Corp.		56,800		565

Wiwynn Corp.		5,500		125


				45,205


Thailand – 0.6%

CP ALL PCL (Registered)		1,065,000		2,025

Siam Global House PCL NVDR		502,800		321


				2,346

NUMBER
OF SHARES

VALUE
(000S)

COMMON STOCKS – 93.5% ⁽¹⁾ continued

Turkey – 0.6%

Turkcell Iletisim Hizmetleri A.S.

1,150,493

$2,262

United Arab Emirates – 0.5%

Emaar Properties PJSC*

2,603,203

1,980

United Kingdom – 0.2%

AstraZeneca PLC

2,341

255

Reckitt Benckiser Group PLC

4,434

432

687

United States – 1.6%

American Tower Corp.

998

241

Mastercard, Inc., Class A

3,150

1,065

Microsoft Corp.

12,040

2,532

NIKE, Inc., Class B

2,558

321

NVIDIA Corp.

1,380

747

Tenaris S.A. ADR

122,075

1,203

6,109

Total Common Stocks

(Cost $273,968)

348,890

PREFERRED STOCKS – 1.8% ⁽¹⁾

Brazil – 1.1%

Itau Unibanco Holding S.A. ADR,
0.86%⁽⁴⁾

651,125

2,592

Petroleo Brasileiro S.A. ADR,
0.00%⁽⁴⁾⁽⁵⁾

234,504

1,651

4,243

South Korea – 0.7%

Samsung Electronics Co. Ltd., 2.81%⁽⁴⁾

58,721

2,533

Total Preferred Stocks

(Cost $7,337)

6,776

INVESTMENT COMPANIES – 5.5%

iShares Core MSCI Emerging Markets ETF

86,100

4,546

Northern Institutional Funds -
U.S. Government Portfolio (Shares),
0.00%⁽⁶⁾⁽⁷⁾

15,748,423

15,748

Total Investment Companies

(Cost $20,155)

20,294

PRINCIPAL
AMOUNT
(000S)

VALUE
(000S)

SHORT-TERM INVESTMENTS – 0.5%

U.S. Treasury Bill,
0.11%, 1/28/21⁽⁸⁾⁽⁹⁾

$1,990

$1,989

Total Short-Term Investments

(Cost $1,989)

1,989

Total Investments – 101.3%

(Cost $303,449)

377,949

Liabilities less Other Assets – (1.3%)

(4,878

)

Net Assets – 100.0%

$373,071

⁽¹⁾

Adjustment factors obtained from an independent evaluation service were used to determine the value of certain foreign securities.

⁽²⁾

⁽³⁾

Level 3 asset.

⁽⁴⁾

Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income.

⁽⁵⁾

Current yield is less than 0.01%.

⁽⁶⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽⁷⁾

7-day current yield as of September 30, 2020 is disclosed.

⁽⁸⁾

Discount rate at the time of purchase.

⁽⁹⁾

Security pledged as collateral to cover margin requirements for open futures contracts.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

ADR – American Depositary Receipt

ETF – Exchange-Traded Fund

GDR – Global Depositary Receipt

MSCI – Morgan Stanley Capital International

NVDR – Non-Voting Depositary Receipt

PCL – Public Company Limited

PLC – Public Limited Company

Percentages shown are based on Net Assets.

At September 30, 2020, the Fund had outstanding forward foreign currency exchange contracts as follows:

COUNTERPARTY

CONTRACTS
TO

DELIVER
CURRENCY

AMOUNT
(LOCAL
CURRENCY)
(000S)

EXCHANGE

FOR

CURRENCY

AMOUNT
(LOCAL
CURRENCY)
(000S)

SETTLEMENT
DATE

UNREALIZED
APPRECIATION
(DEPRECIATION)
(000S)

Brown Brothers Harriman

United
States
Dollar

3,270

Hong
Kong
Dollar

25,339

10/5/20

$—

Brown Brothers Harriman

United
States
Dollar

297

Hong
Kong
Dollar

2,301

10/6/20

—

Brown Brothers Harriman

United
States
Dollar

294

Korean
Won

343,669

10/5/20

—

Subtotal Depreciation

—

Total

$—

*	Amount rounds to less than one thousand.

At September 30, 2020, the Fund had open futures contracts as follows:

TYPE

NUMBER OF
CONTRACTS

NOTIONAL
AMOUNT
(000S)

CONTRACT
POSITION

CONTRACT
EXP.

VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
(000S)⁽¹⁾

MSCI Emerging Markets Index (United States Dollar)

162

$8,817

Long

12/20

$78

⁽¹⁾

Includes cumulative appreciation/depreciation on futures contracts. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF LONG-TERM INVESTMENTS

Communication Services		9.4	%

Consumer Discretionary		23.2

Consumer Staples		8.7

Energy		3.0

Financials		12.7

Health Care		2.4

Industrials		5.9

Information Technology		25.9

Materials		7.7

Real Estate		1.1

Total		100.0	%

At September 30, 2020, the Fund’s investments were denominated in the following currencies:


CONCENTRATION BY CURRENCY	% OF LONG-TERM INVESTMENTS

United States Dollar		25.5	%

Hong Kong Dollar		19.9

Korean Won		16.1

Taiwan Dollar		10.0

Indian Rupee		8.5

South African Rand		5.9

All other currencies less than 5%		14.1

Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

Common Stocks:

Argentina	$	3,677	$	—		$ —	$	3,677

Brazil		19,493		—		—		19,493

China		26,459		76,548		448		103,455

India		7,435		30,729		—		38,164

Mexico		11,161		—		—		11,161

Peru		7,736		—		—		7,736

Russia		607		4,089		—		4,696

Singapore		3,128		—		—		3,128

Taiwan		12,512		32,693		—		45,205

United States		6,109		—		—		6,109

All Other Countries⁽¹⁾		—		106,066		—		106,066

Total Common Stocks		98,317		250,125		448		348,890

Preferred Stocks:

Brazil		4,243		—		—		4,243

South Korea		—		2,533		—		2,533

Total Preferred Stocks		4,243		2,533		—		6,776


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.3% ⁽¹⁾

Argentina – 1.6%

MercadoLibre, Inc.*		7,967		$8,624

YPF S.A. ADR*		61,323		219


				8,843


Australia – 3.1%

Ansell Ltd.		16,610		444

Appen Ltd.		24,850		608

Bapcor Ltd.		73,927		360

Beach Energy Ltd.		665,621		637

Charter Hall Group		84,729		765

Cleanaway Waste Management Ltd.		231,195		350

CSL Ltd.		50,816		10,470

JB Hi-Fi Ltd.		14,564		492

Magellan Financial Group Ltd.		7,304		298

Mineral Resources Ltd.		56,744		1,015

OZ Minerals Ltd.		53,854		548

Saracen Mineral Holdings Ltd.*		127,933		476

Seven Group Holdings Ltd.		30,340		391

Shopping Centres Australasia Property Group		148,361		228

Silver Lake Resources Ltd.*		207,054		345


				17,427


Austria – 0.1%

Erste Group Bank A.G.*		28,786		602


Belgium – 0.3%

Ageas S.A./N.V.		28,725		1,172

Warehouses De Pauw - C.V.A.		18,469		672


				1,844


Canada – 5.7%

Air Canada*		79,900		942

ARC Resources Ltd.		57,074		255

B2Gold Corp.		152,997		996

Barrick Gold Corp.		77,940		2,189

BRP, Inc.		6,436		340

Cameco Corp.		40,307		407

Canadian Apartment Properties REIT		10,434		364

Canadian Pacific Railway Ltd.		24,900		7,580

Canadian Western Bank		17,326		349

Descartes Systems Group (The), Inc.*		6,013		343

Kinross Gold Corp.*		123,772		1,092

Lululemon Athletica, Inc.*		18,660		6,146

Maple Leaf Foods, Inc.		28,900		589

Northland Power, Inc.		23,082		698

Pan American Silver Corp.		16,146		519


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.3% ⁽¹⁾ continued

Canada – 5.7% continued

Parex Resources, Inc.*		42,716		$450

Real Matters, Inc.*		35,651		695

Shopify, Inc., Class A*		5,940		6,077

Stantec, Inc.		17,978		546

Stella-Jones, Inc.		8,863		300

TFI International, Inc.		15,140		633

Tourmaline Oil Corp.		20,814		254

Tricon Residential, Inc.		51,702		429

Yamana Gold, Inc.		50,835		289


				32,482


China – 4.1%

Alibaba Group Holding Ltd. ADR*		16,300		4,792

Baidu, Inc. ADR*		13,689		1,733

Beijing Capital International Airport Co. Ltd., Class H		860,000		518

China Telecom Corp. Ltd., Class H		4,215,668		1,264

Dongfeng Motor Group Co. Ltd., Class H		2,009,832		1,259

New Oriental Education & Technology Group, Inc. ADR*		16,300		2,437

Tencent Holdings Ltd.		169,505		11,288


				23,291


Czech Republic – 0.1%

Avast PLC		58,252		394


Denmark – 2.4%

AP Moller - Maersk A/S, Class B		1,520		2,410

Bavarian Nordic A/S*		13,080		408

Coloplast A/S, Class B		3,187		504

Drilling Co. of 1972 (The) A/S*		2,091		45

DSV Panalpina A/S		52,738		8,606

GN Store Nord A/S		7,977		604

Netcompany Group A/S*		5,486		454

Royal Unibrew A/S		3,346		345


				13,376


Finland – 0.6%

Kemira OYJ		22,413		286

Metso Outotec OYJ		77,605		545

Nokia OYJ*		446,016		1,748

TietoEVRY OYJ		13,136		363

Valmet OYJ		22,929		568


				3,510


France – 9.1%

Air France-KLM*		34,222		118


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.3% ⁽¹⁾ continued

France – 9.1% continued

Airbus S.E.*		24,600		$1,786

Alstom S.A.*		7,676		382

Arkema S.A.		5,133		545

AXA S.A.		169,928		3,137

BNP Paribas S.A.*		103,372		3,745

Carrefour S.A.		78,017		1,249

Cie de Saint-Gobain*		74,922		3,146

Danone S.A.		24,915		1,612

Dassault Aviation S.A.*		513		435

Dassault Systemes S.E.		8,900		1,660

Eiffage S.A.*		9,438		769

Engie S.A.*		150,634		2,013

EssilorLuxottica S.A.*		25,377		3,451

Faurecia S.E.*		7,746		334

Korian S.A.*		7,254		255

LVMH Moet Hennessy Louis Vuitton S.E.		16,688		7,802

Nexans S.A.*		11,537		666

Pernod Ricard S.A.		22,444		3,582

Renault S.A.*		37,285		962

Rexel S.A.*		129,662		1,627

Rubis S.C.A.		6,455		259

Sanofi		18,070		1,812

SCOR S.E.*		33,287		922

SEB S.A.		2,768		450

Societe Generale S.A.*		67,542		894

SOITEC*		3,254		469

Sopra Steria Group*		2,905		460

Teleperformance		2,797		861

TOTAL S.E.		116,315		3,993

Valeo S.A.		23,208		709

Vinci S.A.		17,040		1,421

Worldline S.A.⁽²⁾*		6,140		503


				52,029


Germany – 5.9%

adidas A.G.*		7,600		2,460

alstria office REIT-A.G.		35,784		498

Aurubis A.G.		5,610		382

BASF S.E.		60,529		3,686

Bayer A.G. (Registered)		18,668		1,167

Bechtle A.G.		4,009		813

Brenntag A.G.		7,571		482

Carl Zeiss Meditec A.G. (Bearer)		3,776		478

CECONOMY A.G.*		94,919		468

Daimler A.G. (Registered)		46,294		2,496


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.3% ⁽¹⁾ continued

Germany – 5.9% continued

Deutsche Post A.G. (Registered)		41,412		$1,888

DWS Group GmbH & Co. KGaA*		7,388		255

Encavis A.G.		28,657		562

Gerresheimer A.G.		5,343		598

HelloFresh S.E.*		14,726		825

Infineon Technologies A.G.		90,627		2,564

KION Group A.G.		7,112		611

METRO A.G.		30,726		307

Rheinmetall A.G.		4,673		421

RTL Group S.A.*		17,228		678

RWE A.G.		15,927		597

Salzgitter A.G.*		11,229		185

SAP S.E.		31,629		4,925

Siemens A.G. (Registered)		16,823		2,127

Siemens Energy A.G.*		8,412		227

Siemens Healthineers A.G.⁽²⁾		42,100		1,890

Suedzucker A.G.		24,339		471

TAG Immobilien A.G.*		28,318		855

United Internet A.G. (Registered)		10,649		407


				33,323


Hong Kong – 2.1%

AIA Group Ltd.		672,843		6,628

China High Precision Automation Group Ltd.⁽³⁾*		982,000		—

China Mobile Ltd.		155,000		997

China Mobile Ltd. (Hong Kong Exchange)		74,173		477

China Unicom Hong Kong Ltd.		2,578,375		1,691

CK Asset Holdings Ltd.		194,128		947

Towngas China Co. Ltd.*		563,000		232

United Laboratories International Holdings (The) Ltd.		462,000		477

Xinyi Glass Holdings Ltd.		218,000		441


				11,890


India – 0.7%

HDFC Bank Ltd. ADR*		83,489		4,171


Indonesia – 0.1%

Bank Mandiri Persero Tbk PT		957,230		321


Ireland – 5.6%

Accenture PLC, Class A		43,684		9,872

AIB Group PLC*		409,454		424

Bank of Ireland Group PLC*		296,443		566

Dalata Hotel Group PLC*		71,545		207

Experian PLC		243,255		9,103


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.3% ⁽¹⁾ continued

Ireland – 5.6% continued

ICON PLC*		34,482		$6,589

Medtronic PLC		24,700		2,567

Ryanair Holdings PLC*		8,973		119

Ryanair Holdings PLC ADR*		23,530		1,924

UDG Healthcare PLC		59,133		587


				31,958


Isle of Man – 0.1%

GVC Holdings PLC*		46,890		590


Israel – 0.3%

Check Point Software Technologies Ltd.*		10,400		1,252

Inmode Ltd.*		9,629		348

Israel Discount Bank Ltd., Class A		93,381		252


				1,852


Italy – 2.9%

ACEA S.p.A.		27,779		584

Amplifon S.p.A.*		13,959		499

Assicurazioni Generali S.p.A.		72,314		1,018

Banca Mediolanum S.p.A.		42,479		306

BPER Banca*		103,378		241

Buzzi Unicem S.p.A.		23,619		549

DiaSorin S.p.A.		1,821		367

Enel S.p.A.		179,502		1,559

Eni S.p.A.		206,792		1,618

Ferrari N.V.		19,560		3,580

Interpump Group S.p.A.		9,601		356

Reply S.p.A.		5,393		621

Saipem S.p.A.		249,401		427

UniCredit S.p.A.*		591,625		4,879


				16,604


Japan – 12.8%

Anritsu Corp.		28,000		640

ASKUL Corp.		11,700		478

BayCurrent Consulting, Inc.		4,500		629

Bell System24 Holdings, Inc.		19,000		320

Benesse Holdings, Inc.		4,985		128

Canon, Inc.		29,997		498

Capcom Co. Ltd.		14,100		789

Chiyoda Corp.*		56,461		136

Citizen Watch Co. Ltd.*		135,113		379

Daihen Corp.		9,300		377

Dai-ichi Life Holdings, Inc.		86,580		1,222

DeNA Co. Ltd.		53,681		991


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.3% ⁽¹⁾ continued

Japan – 12.8% continued

Denka Co. Ltd.		16,800		$511

Eiken Chemical Co. Ltd.		25,000		505

Eisai Co. Ltd.		9,493		866

FANUC Corp.		15,200		2,916

Fuji Corp.		27,600		546

Fuji Media Holdings, Inc.		29,858		288

Fuji Soft, Inc.		7,400		381

Fujitsu Ltd.		5,729		784

FULLCAST Holdings Co. Ltd.		18,400		301

Fuso Chemical Co. Ltd.		9,000		319

Gree, Inc.		123,120		602

Hino Motors Ltd.		167,660		1,087

Honda Motor Co. Ltd.		117,636		2,776

Inpex Corp.		189,471		1,014

Internet Initiative Japan, Inc.		13,000		585

Invincible Investment Corp.		807		240

Isuzu Motors Ltd.		111,867		980

Japan Lifeline Co. Ltd.		18,700		248

JGC Holdings Corp.		103,292		1,073

JSR Corp.		16,566		393

Kanamoto Co. Ltd.		14,200		323

Kenedix Office Investment Corp.		65		390

Keyence Corp.		13,020		6,068

Kintetsu World Express, Inc.		22,000		466

Komeri Co. Ltd.		13,400		423

Kumagai Gumi Co. Ltd.		11,600		298

Lasertec Corp.		7,300		604

Lintec Corp.		10,400		242

Mitsubishi Estate Co. Ltd.		82,133		1,241

Mitsubishi Heavy Industries Ltd.		22,267		495

Mitsubishi Motors Corp.*		197,990		437

Mitsubishi UFJ Financial Group, Inc.		509,712		2,023

Morinaga Milk Industry Co. Ltd.		6,000		317

Murata Manufacturing Co. Ltd.		32,500		2,097

NEC Networks & System Integration Corp.		17,600		338

NET One Systems Co. Ltd.		16,400		748

Nichirei Corp.		12,700		337

Nikkiso Co. Ltd.		31,600		321

Nikon Corp.		90,186		609

Nippon Accommodations Fund, Inc.		89		514

Nippon Television Holdings, Inc.		55,163		593

Nissan Motor Co. Ltd.*		234,419		833

Nitto Denko Corp.		21,491		1,401


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.3% ⁽¹⁾ continued

Japan – 12.8% continued

Nomura Holdings, Inc.		208,452		$951

North Pacific Bank Ltd.		145,400		317

Open House Co. Ltd.		18,500		668

PALTAC Corp.		9,100		459

Penta-Ocean Construction Co. Ltd.		76,000		499

Rengo Co. Ltd.		71,900		543

Resona Holdings, Inc.		394,194		1,343

Resorttrust, Inc.		16,500		252

Sankyu, Inc.		8,400		331

Sanwa Holdings Corp.		37,600		399

Sawai Pharmaceutical Co. Ltd.		10,400		525

Shiga Bank (The) Ltd.		16,600		389

Shimamura Co. Ltd.		17,830		1,743

Shinko Electric Industries Co. Ltd.		35,100		614

Ship Healthcare Holdings, Inc.		10,200		499

Sompo Holdings, Inc.		20,900		724

Starts Corp., Inc.		12,700		279

Sumitomo Forestry Co. Ltd.		23,900		381

Sumitomo Mitsui Financial Group, Inc.		116,555		3,243

Sumitomo Mitsui Trust Holdings, Inc.		48,360		1,287

Sushiro Global Holdings Ltd.		25,800		651

T&D Holdings, Inc.		204,252		2,020

Taiyo Yuden Co. Ltd.		13,000		409

Takeda Pharmaceutical Co. Ltd.		139,326		4,963

Takeuchi Manufacturing Co. Ltd.		16,500		327

THK Co. Ltd.		40,889		1,026

Toda Corp.		44,100		302

Tokyo Steel Manufacturing Co. Ltd.		48,700		332

Tokyotokeiba Co. Ltd.		6,900		350

Toyo Tire Corp.		33,000		533

Valor Holdings Co. Ltd.		16,500		456

Yaoko Co. Ltd.		6,600		492

Z Holdings Corp.		130,860		874

Zenkoku Hosho Co. Ltd.		13,300		524


				72,825


Jersey – 0.1%

Centamin PLC		134,051		349


Jordan – 0.1%

Hikma Pharmaceuticals PLC		18,066		605


Macau – 0.1%

Sands China Ltd.		186,400		725


Malaysia – 0.1%

CIMB Group Holdings Bhd.		607,705		452


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.3% ⁽¹⁾ continued

Mexico – 0.2%

Grupo Financiero Banorte S.A.B. de C.V., Series O*		169,733		$587

Wal-Mart de Mexico S.A.B. de C.V.		327,700		784


				1,371


Netherlands – 4.9%

ABN AMRO Bank N.V.-C.V.A.*		136,089		1,138

Adyen N.V.⁽²⁾*		2,215		4,082

Akzo Nobel N.V.		22,039		2,232

ArcelorMittal S.A.*		43,332		578

Argenx S.E.*		1,918		505

ASM International N.V.		6,784		973

ASML Holding N.V. (Registered)		16,264		6,006

ASR Nederland N.V.		14,669		493

Euronext N.V.		7,331		916

Flow Traders		9,621		385

ING Groep N.V.*		684,689		4,848

Intertrust N.V.		19,329		329

Just Eat Takeaway.com N.V.*		2,407		270

PostNL N.V.*		264,734		805

Royal Dutch Shell PLC, Class B		230,498		2,788

SBM Offshore N.V.		25,727		412

Signify N.V.*		15,930		590

VEON Ltd. ADR		299,922		378


				27,728


Norway – 0.3%

Entra ASA		21,889		308

Norsk Hydro ASA*		454,428		1,251

Sparebanken Vest		34,315		232


				1,791


Russia – 0.3%

Gazprom PJSC ADR		197,271		858

LUKOIL PJSC ADR		5,144		298

Sberbank of Russia PJSC ADR*		61,564		718


				1,874


Singapore – 0.2%

AEM Holdings Ltd.		123,300		349

Frasers Logistics & Commercial Trust		555,900		567

Riverstone Holdings Ltd.		157,400		406


				1,322


South Africa – 0.3%

Gold Fields Ltd. ADR		90,076		1,107


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.3% ⁽¹⁾ continued

South Africa – 0.3% continued

Impala Platinum Holdings Ltd.		30,433		$264

MTN Group Ltd.		118,355		398


				1,769


South Korea – 2.7%

Coway Co. Ltd.*		4,519		310

Douzone Bizon Co. Ltd.		6,735		604

Echo Marketing, Inc.		14,301		337

GS Home Shopping, Inc.		1,689		186

Hankook Tire & Technology Co. Ltd.		29,523		788

Hite Jinro Co. Ltd.		8,361		260

KB Financial Group, Inc.		48,926		1,578

KT Corp. ADR		145,110		1,394

Maeil Dairies Co. Ltd.		5,107		295

Neowiz*		22,513		494

Partron Co. Ltd.		42,163		365

Samsung Electronics Co. Ltd.		63,820		3,216

Samsung Engineering Co. Ltd.*		22,539		203

Seegene, Inc.		7,926		1,767

SFA Engineering Corp.		11,282		368

Shinhan Financial Group Co. Ltd.		55,457		1,290

SK Hynix, Inc.		17,610		1,264

Soulbrain Co. Ltd.*		4,332		803


				15,522


Spain – 2.4%

Aena S.M.E. S.A.*		8,050		1,121

Amadeus IT Group S.A.		88,222		4,896

Applus Services S.A.*		24,281		181

Banco Bilbao Vizcaya Argentaria S.A.		611,670		1,691

Bankinter S.A.		65,414		281

CaixaBank S.A.		1,429,317		3,031

Cia de Distribucion Integral Logista Holdings S.A.		18,586		318

Industria de Diseno Textil S.A.		47,800		1,329

Merlin Properties Socimi S.A.		40,600		338

Pharma Mar S.A.		2,357		298

Viscofan S.A.		3,971		265


				13,749


Sweden – 1.8%

Atlas Copco AB, Class A		102,772		4,891

Dometic Group AB*		39,257		485

Evolution Gaming Group AB		7,618		504

Getinge AB, Class B		23,357		508


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.3% ⁽¹⁾ continued

Sweden – 1.8% continued

Nordic Entertainment Group AB, Class B		7,988		$339

Peab AB, Class B*		34,401		346

Recipharm AB, Class B*		24,376		423

Stillfront Group AB*		7,174		897

Volvo AB, Class B*		57,024		1,095

Wihlborgs Fastigheter AB		40,559		803


				10,291


Switzerland – 8.8%

ABB Ltd. (Registered)		104,975		2,661

Adecco Group A.G. (Registered)		51,237		2,708

Alcon, Inc.*		86,325		4,901

Bucher Industries A.G. (Registered)		1,003		382

Cembra Money Bank A.G.		2,280		271

Cie Financiere Richemont S.A., Class A (Registered)		30,809		2,064

Coca-Cola HBC A.G. - CDI*		11,962		296

Forbo Holding A.G. (Registered)		260		426

Helvetia Holding A.G. (Registered)		2,005		170

Julius Baer Group Ltd.		31,758		1,354

LafargeHolcim Ltd. (Registered)*		52,354		2,387

Logitech International S.A. (Registered)		22,345		1,729

Lonza Group A.G. (Registered)		9,290		5,735

Nestle S.A. (Registered)		61,860		7,339

Novartis A.G. (Registered)		32,914		2,860

PSP Swiss Property A.G. (Registered)		5,432		657

Roche Holding A.G. (Genusschein)		5,569		1,905

Sika A.G. (Registered)		23,228		5,706

Sulzer A.G. (Registered)		5,572		446

Swiss Life Holding A.G. (Registered)		1,924		727

Tecan Group A.G. (Registered)		952		473

UBS Group A.G. (Registered)		222,774		2,487

Vontobel Holding A.G. (Registered)		8,042		528

Wizz Air Holdings PLC*		10,637		427

Zurich Insurance Group A.G.		3,349		1,164


				49,803


Taiwan – 1.7%

Innolux Corp.*		2,360,814		770

Shin Kong Financial Holding Co. Ltd.		1,854,385		517

Taiwan Semiconductor Manufacturing Co. Ltd. ADR		105,516		8,554


				9,841


Thailand – 0.2%

Kasikornbank PCL NVDR		399,395		973


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.3% ⁽¹⁾ continued

United Kingdom – 8.6%

Anglo American PLC		57,147		$1,380

Atlantica Sustainable Infrastructure PLC		12,088		346

Auto Trader Group PLC⁽²⁾		48,212		349

Aviva PLC		392,855		1,445

B&M European Value Retail S.A.		112,442		715

Babcock International Group PLC		196,904		633

Barclays PLC*		1,646,398		2,072

BP PLC		1,144,492		3,323

British American Tobacco PLC		71,750		2,579

British Land (The) Co. PLC		116,544		507

BT Group PLC		679,367		863

Bunzl PLC		50,840		1,640

Cairn Energy PLC*		239,087		442

Centrica PLC		923,744		477

Coca-Cola European Partners PLC		15,349		596

Compass Group PLC		85,108		1,278

Computacenter PLC		25,390		776

Cranswick PLC		8,154		381

Electrocomponents PLC		35,865		328

Future PLC		27,380		683

G4S PLC*		162,539		420

Gamesys Group PLC		28,588		439

Gamma Communications PLC		16,709		356

HomeServe PLC		21,968		349

IG Group Holdings PLC		26,284		268

IMI PLC		31,163		420

Intermediate Capital Group PLC		17,601		270

International Consolidated Airlines Group S.A.		577,486		701

J Sainsbury PLC		638,352		1,569

Johnson Matthey PLC		14,228		430

Kingfisher PLC		518,834		1,983

Land Securities Group PLC		78,033		525

Linde PLC		4,062		961

LondonMetric Property PLC		173,906		497

Marks & Spencer Group PLC		347,130		435

Micro Focus International PLC*		40,514		128

OneSavings Bank PLC*		94,883		341

Pets at Home Group PLC		78,378		428

Prudential PLC		100,045		1,428

Redrow PLC*		57,522		299

RELX PLC		39,200		874

RELX PLC (London Exchange)		6,266		139

Rolls-Royce Holdings PLC*		757,386		1,257


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.3% ⁽¹⁾ continued

United Kingdom – 8.6% continued

Safestore Holdings PLC		71,893		$722

Sage Group (The) PLC		183,100		1,696

Smith & Nephew PLC		249,793		4,868

Spirent Communications PLC		143,929		528

Standard Chartered PLC*		282,860		1,297

Stock Spirits Group PLC		113,711		316

Tate & Lyle PLC		53,263		457

Ultra Electronics Holdings PLC		14,692		396

Unilever PLC		28,700		1,768

UNITE Group (The) PLC*		33,414		362

WPP PLC		171,073		1,336


				49,076


United States – 3.9%

Aon PLC, Class A		29,208		6,026

Mettler-Toledo International, Inc.*		4,721		4,559

Ovintiv, Inc.		36,989		302

Reliance Worldwide Corp. Ltd.		149,488		410

ResMed, Inc.		35,493		6,085

STERIS PLC		26,157		4,609


				21,991

Total Common Stocks

(Cost $472,581)				536,564

PREFERRED STOCKS – 0.8% ⁽¹⁾

Germany – 0.8%

Volkswagen A.G., 3.68%⁽⁴⁾		28,074		4,518

Total Preferred Stocks

(Cost $4,113)				4,518

RIGHTS – 0.0%

United Kingdom – 0.0%

International Consolidated Airlines Group S.A.⁽⁵⁾*		1		—

Total Rights

(Cost $—)				—

INVESTMENT COMPANIES – 3.3%

iShares Core MSCI EAFE ETF		8,164		492

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽⁶⁾⁽⁷⁾		17,574,695		17,575

Vanguard FTSE Developed Markets ETF		14,732		602

Total Investment Companies

(Cost $18,590)				18,669

PRINCIPAL
AMOUNT
(000S)

VALUE
(000S)

SHORT-TERM INVESTMENTS – 0.8%

U.S. Treasury Bill,
0.11%, 1/28/21⁽⁸⁾⁽⁹⁾

$4,460

$4,459

Total Short-Term Investments

(Cost $4,458)

4,459

Total Investments – 99.2%

(Cost $499,742)

564,210

Other Assets less Liabilities – 0.8%

4,376

Net Assets – 100.0%

$568,586

⁽¹⁾

Adjustment factors obtained from an independent evaluation service were used to determine the value of certain foreign securities.

⁽²⁾

⁽³⁾

Level 3 asset that is worthless, bankrupt or has been delisted.

⁽⁴⁾

Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income.

⁽⁵⁾

Value rounds to less than one thousand.

⁽⁶⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽⁷⁾

7-day current yield as of September 30, 2020 is disclosed. (8) Discount rate at the time of purchase.

⁽⁹⁾

Security pledged as collateral to cover margin requirements for open futures contracts.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

ADR – American Depositary Receipt

CDI – CREST Depository Interest

EAFE – Europe, Australasia and the Far East

ETF – Exchange-Traded Fund

FTSE – Financial Times Stock Exchange

MSCI – Morgan Stanley Capital International

NVDR – Non-Voting Depositary Receipt

PCL – Public Company Limited

PLC – Public Limited Company

REIT – Real Estate Investment Trust

Percentages shown are based on Net Assets.

At September 30, 2020, the Fund had open futures contracts as follows:

TYPE

NUMBER OF
CONTRACTS

NOTIONAL
AMOUNT
(000S)

CONTRACT
POSITION

CONTRACT
EXP.

VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
(000S)⁽¹⁾

MSCI EAFE Index

105

$9,729

Long

12/20

(175)

⁽¹⁾

Includes cumulative appreciation/depreciation on futures contracts. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF LONG-TERM INVESTMENTS

Communication Services		5.7	%

Consumer Discretionary		14.3

Consumer Staples		4.9

Energy		3.3

Financials		15.6

Health Care		14.4

Industrials		16.2

Information Technology		15.2

Materials		6.4

Real Estate		2.6

Utilities		1.4
Total		100.0	%

At September 30, 2020, the Fund’s investments were denominated in the following currencies:


CONCENTRATION BY CURRENCY	% OF LONG-TERM INVESTMENTS

Euro		27.3	%

United States Dollar		20.0

Japanese Yen		13.4

British Pound		11.3

Swiss Franc		9.1

Hong Kong Dollar		5.0

All other currencies less than 5%		13.9
Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)			LEVEL 2 (000S)			LEVEL 3 (000S)		TOTAL (000S)

Common Stocks:

Argentina	$	8,843		$	—		$	—	$	8,843

Canada		32,482			—			—		32,482

China		8,962			14,329			—		23,291

Germany		227			33,096			—		33,323

India		4,171			—			—		4,171

Ireland		20,952			11,006			—		31,958

Israel		1,600			252			—		1,852

Mexico		1,371			—			—		1,371

Netherlands		6,384			21,344			—		27,728

South Africa		1,107			662			—		1,769

South Korea		2,197			13,325			—		15,522

Taiwan		8,554			1,287			—		9,841

United Kingdom		942			48,134			—		49,076

United States		21,581			410			—		21,991

All Other Countries⁽¹⁾		—			273,346			—		273,346

Total Common Stocks		119,373			417,191			—		536,564

Preferred Stocks⁽¹⁾		—			4,518			—		4,518

Rights⁽¹⁾		—			—	*		—		—	*

Investment Companies		18,669			—			—		18,669

Short-Term Investments		—			4,459			—		4,459
Total Investments	$	138,042		$	426,168		$	—	$	564,210
OTHER FINANCIAL INSTRUMENTS

Liabilities

Futures Contracts	$	(175	)	$	—		$	—	$	(175	)

⁽¹⁾

Classifications as defined in the Schedule of Investments.

*	Amounts round to less than a thousand.


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 93.5% ⁽¹⁾

Australia – 7.4%

Atlas Arteria Ltd.		2,012,746		$8,850

Aurizon Holdings Ltd.		2,037,006		6,216

Spark Infrastructure Group		8,090,631		11,902

Transurban Group		5,123,453		51,923


				78,891


Brazil – 0.7%

CPFL Energia S.A.		570,600		2,808

Transmissora Alianca de Energia Eletrica S.A.		919,800		4,593


				7,401


Canada – 3.7%

Atco Ltd., Class I		98,496		2,847

Emera, Inc.		264,708		10,874

Enbridge, Inc.		258,908		7,564

Hydro One Ltd.		514,620		10,907

Pembina Pipeline Corp.		182,700		3,877

TC Energy Corp.		70,502		2,960


				39,029


Chile – 0.2%

Aguas Andinas S.A., Class A		7,176,954		2,011


China – 1.1%

ENN Energy Holdings Ltd.		412,600		4,501

Jiangsu Expressway Co. Ltd., Class H		7,428,000		7,480


				11,981


France – 8.0%

Eiffage S.A.*		99,413		8,103

Eutelsat Communications S.A.		649,224		6,308

Getlink S.E.*		1,182,033		16,026

Rubis S.C.A.		148,768		5,967

SES S.A.		919,255		6,503

Vinci S.A.		496,378		41,403


				84,310


Germany – 1.2%

Fraport A.G. Frankfurt Airport Services

Worldwide*		306,646		12,143


Hong Kong – 2.0%

China Gas Holdings Ltd.		1,986,600		5,665

CLP Holdings Ltd.		914,500		8,524

Guangdong Investment Ltd.		520,000		826

Power Assets Holdings Ltd.		1,238,420		6,514


				21,529


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 93.5% ⁽¹⁾ continued

Italy – 8.9%

ASTM S.p.A.*		211,616	$	4,431

Atlantia S.p.A.*		1,694,401		26,571

Hera S.p.A.		2,713,879		10,032

Infrastrutture Wireless Italiane S.p.A.⁽²⁾		151,363		1,679

Italgas S.p.A.		1,553,782		9,812

Snam S.p.A.		4,065,720		20,905

Terna Rete Elettrica Nazionale S.p.A.		3,029,362		21,225


				94,655


Japan – 1.8%

East Japan Railway Co.		123,500		7,610

Tokyo Gas Co. Ltd.		306,100		6,993

West Japan Railway Co.		94,100		4,651


				19,254


Mexico – 1.3%

ALEATICA S.A.B. de C.V.		3,216,989		2,891

Grupo Aeroportuario del Sureste S.A.B.de C.V., Series B*		440,857		5,116

Infraestructura Energetica Nova S.A.B.de C.V.		732,976		2,204

Promotora y Operadora de Infraestructura S.A.B. de C.V.*		520,506		3,661


				13,872


Netherlands – 1.3%

Koninklijke Vopak N.V.		252,528		14,227


New Zealand – 0.4%

Auckland International Airport Ltd.		908,051		4,400


Portugal – 0.3%

REN - Redes Energeticas Nacionais SGPS S.A.		1,283,008		3,558


Spain – 2.8%

Aena S.M.E. S.A.*		46,522		6,480

Ferrovial S.A.		966,479		23,446


				29,926


Switzerland – 1.8%

Flughafen Zurich A.G. (Registered)*		135,691		18,581


United Kingdom – 11.5%

National Grid PLC		4,101,791		47,218

Pennon Group PLC		979,697		13,021

Severn Trent PLC		915,276		28,779

Signature Aviation PLC		585,322		1,808

SSE PLC		439,715		6,846

United Utilities Group PLC		2,167,535		23,968


				121,640


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 93.5% ⁽¹⁾ continued

United States – 39.1%

ALLETE, Inc.		123,920		$6,412

Alliant Energy Corp.		205,910		10,635

Ameren Corp.		182,750		14,452

American Electric Power Co., Inc.		298,279		24,378

American Tower Corp.		58,910		14,240

Atmos Energy Corp.		130,237		12,449

Avista Corp.		142,696		4,869

CenterPoint Energy, Inc.		586,855		11,356

Cheniere Energy, Inc.*		280,668		12,987

Consolidated Edison, Inc.		138,000		10,736

Crown Castle International Corp.		129,375		21,541

CSX Corp.		282,508		21,942

Dominion Energy, Inc.		382,808		30,215

Duke Energy Corp.		210,800		18,668

Edison International		188,074		9,562

Evergy, Inc.		147,659		7,504

Eversource Energy		194,192		16,225

Kinder Morgan, Inc.		621,102		7,658

NextEra Energy, Inc.		92,616		25,707

NiSource, Inc.		1,045,004		22,990

Norfolk Southern Corp.		90,302		19,324

PNM Resources, Inc.		162,214		6,704

Portland General Electric Co.		196,435		6,973

SBA Communications Corp.		46,448		14,793

Sempra Energy		122,702		14,523

SJW Group		53,380		3,249

Southwest Gas Holdings, Inc.		103,908		6,557

UGI Corp.		280,936		9,265

Union Pacific Corp.		24,022		4,729

Williams (The) Cos., Inc.		651,606		12,804

Xcel Energy, Inc.		152,351		10,514


				413,961

Total Common Stocks
(Cost $999,242)				991,369

MASTER LIMITED PARTNERSHIPS – 1.3%

United States – 1.3%

Enterprise Products Partners L.P.		437,425		6,907

Magellan Midstream Partners L.P.		180,264		6,165


				13,072

Total Master Limited Partnerships
(Cost $15,748)				13,072

NUMBER
OF SHARES

VALUE
(000S)

INVESTMENT COMPANIES – 4.8%

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽³⁾⁽⁴⁾

51,110,410

$51,110

Total Investment Companies

(Cost $51,110)

51,110

PRINCIPAL
AMOUNT
(000S)

VALUE
(000S)

SHORT-TERM INVESTMENTS – 0.4%

U.S. Treasury Bill,
0.11%, 1/28/21⁽⁵⁾⁽⁶⁾

$4,180

$4,179

Total Short-Term Investments

(Cost $4,179)

4,179

Total Investments – 100.0%

(Cost $1,070,279)

1,059,730

Other Assets less Liabilities – 0.0%

273

Net Assets – 100.0%

$1,060,003

⁽¹⁾

Adjustment factors obtained from an independent evaluation service were used to determine the value of certain foreign securities.

⁽²⁾

⁽³⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽⁴⁾

7-day current yield as of September 30, 2020 is disclosed.

⁽⁵⁾

Discount rate at the time of purchase.

⁽⁶⁾

Security pledged as collateral to cover margin requirements for open futures contracts.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

MSCI – Morgan Stanley Capital International

PLC – Public Limited Company

S&P – Standard & Poor’s

Percentages shown are based on Net Assets.

At September 30, 2020, the Fund had open futures contracts as follows:

TYPE

NUMBER OF
CONTRACTS

NOTIONAL
AMOUNT
(000S)

CONTRACT
POSITION

CONTRACT
EXP.

VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
(000S)⁽¹⁾

E-Mini S&P 500 (United States Dollar)

$11,564

Long

12/20

$185

MSCI EAFE Index (United States Dollar)

8,988

Long

12/20

Total

$187

⁽¹⁾

Includes cumulative appreciation/depreciation on futures contracts. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF LONG-TERM INVESTMENTS

Communication Services		1.5	%

Energy		7.5

Industrials		30.6

Real Estate		5.0

Utilities		55.4
Total		100.0	%

At September 30, 2020, the Fund’s investments were denominated in the following currencies:


CONCENTRATION BY CURRENCY	% OF LONG-TERM INVESTMENTS

United States Dollar		42.5	%

Euro		23.8

British Pound		12.1

Australian Dollar		7.9

All other currencies less than 5%		13.7
Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 2 investments.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

Common Stocks:

Brazil	$	7,401	$	—	$	—	$	7,401

Canada		39,029		—		—		39,029

Chile		2,011		—		—		2,011

Mexico		13,872		—		—		13,872

United States		413,961		—		—		413,961

All Other Countries⁽¹⁾		—		515,095		—		515,095

Total Common Stocks		476,274		515,095		—		991,369

Master Limited Partnerships⁽¹⁾		13,072		—		—		13,072

Investment Companies		51,110		—		—		51,110

Short-Term Investments		—		4,179		—		4,179

Total Investments	$	540,456	$	519,274	$	—	$	1,059,730

OTHER FINANCIAL INSTRUMENTS

Assets

Futures Contracts	$	187	$	—	$	—	$	187

⁽¹⁾

Classifications as defined in the Schedule of Investments.



	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 95.8% ⁽¹⁾

Australia – 4.8%

BGP Holdings PLC⁽²⁾*		3,277,404		$—

Goodman Group		338,786		4,360

Mirvac Group		427,639		670

National Storage REIT		1,078,967		1,405

NEXTDC Ltd.*		77,583		691


				7,126


Austria – 0.2%

CA Immobilien Anlagen A.G.		8,352		247


Belgium – 3.1%

Shurgard Self Storage S.A.		30,367		1,324

VGP N.V.		6,702		927

Warehouses De Pauw - C.V.A.		64,457		2,346


				4,597


Canada – 2.8%

Allied Properties Real Estate Investment Trust		26,231		706

Boardwalk Real Estate Investment Trust		66,066		1,362

Granite Real Estate Investment Trust		37,598		2,182


				4,250


China – 0.6%

GDS Holdings Ltd. ADR*		10,041		822


France – 0.5%

Gecina S.A.		5,202		688


Germany – 5.7%

Aroundtown S.A.*		73,519		370

Deutsche Wohnen S.E.		96,294		4,818

Instone Real Estate Group A.G.*		31,500		731

LEG Immobilien A.G.		17,829		2,545


				8,464


Hong Kong – 7.3%

ESR Cayman Ltd.*		561,600		1,752

Hang Lung Properties Ltd.		616,000		1,571

Link REIT		342,200		2,797

Shimao Group Holdings Ltd.		156,500		650

Sino Land Co. Ltd.		1,095,452		1,275

Sun Hung Kai Properties Ltd.		99,000		1,269

Swire Properties Ltd.		597,400		1,579


				10,893


India – 0.8%

Embassy Office Parks REIT		228,800		1,120


Japan – 8.3%

Advance Residence Investment Corp.		584		1,725



	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 95.8% ⁽¹⁾ continued

Japan – 8.3% continued

GLP J-Reit		529		$817

Industrial & Infrastructure Fund Investment Corp.		333		570

Invesco Office J-Reit, Inc.		2,466		343

Japan Logistics Fund, Inc.		502		1,440

Katitas Co. Ltd.		77,000		2,186

Kenedix Office Investment Corp.		62		372

Kenedix, Inc.		302,800		1,597

LaSalle Logiport REIT		297		496

MCUBS MidCity Investment Corp.		412		318

Mitsui Fudosan Co. Ltd.		70,500		1,228

Nippon Prologis REIT, Inc.		164		554

Nomura Real Estate Master Fund, Inc.		615		773


				12,419


Mexico – 0.9%

Corp. Inmobiliaria Vesta S.A.B. de C.V.		447,469		672

Fibra Uno Administracion S.A. de C.V.		919,423		726


				1,398


Norway – 0.7%

Entra ASA		78,895		1,112


Singapore – 3.2%

Ascendas India Trust		1,350,000		1,358

Mapletree Industrial Trust		259,600		613

Mapletree Logistics Trust		1,906,300		2,864


				4,835


Spain – 0.7%

Cellnex Telecom S.A.⁽³⁾*		18,127		1,102


Sweden – 0.6%

Fastighets AB Balder, Class B*		18,250		927


United Kingdom – 6.4%

Big Yellow Group PLC		107,858		1,446

CareTech Holdings PLC		18,694		103

Grainger PLC		393,899		1,508

Helical PLC		99,716		381

Helios Towers PLC*		888,254		1,788

Safestore Holdings PLC		33,647		338

Segro PLC		87,379		1,050

Shaftesbury PLC		155,723		999

UNITE Group (The) PLC*		178,347		1,934


				9,547


United States – 49.2%

Alexandria Real Estate Equities, Inc.		21,880		3,501



	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 95.8% ⁽¹⁾ continued

United States – 49.2% continued

American Homes 4 Rent, Class A		126,706		$3,609

American Tower Corp.		11,028		2,666

Americold Realty Trust		25,694		919

AvalonBay Communities, Inc.		14,726		2,199

Brixmor Property Group, Inc.		103,070		1,205

CoreSite Realty Corp.		10,876		1,293

Corporate Office Properties Trust		39,444		936

Douglas Emmett, Inc.		40,544		1,018

Duke Realty Corp.		39,952		1,474

Empire State Realty Trust, Inc., Class A		141,439		866

EPR Properties		16,826		463

Equinix, Inc.		3,160		2,402

Equity LifeStyle Properties, Inc.		49,887		3,058

Extra Space Storage, Inc.		23,160		2,478

Global Medical REIT, Inc.		4,072		55

Healthpeak Properties, Inc.		51,185		1,390

Host Hotels & Resorts, Inc.		119,378		1,288

Industrial Logistics Properties Trust		38,278		837

Invitation Homes, Inc.		60,470		1,692

Medical Properties Trust, Inc.		57,817		1,019

MGM Growth Properties LLC, Class A		30,200		845

Mid-America Apartment Communities, Inc.		15,621		1,811

NVR, Inc.*		255		1,041

Pebblebrook Hotel Trust		74,460		933

Prologis, Inc.		91,366		9,193

QTS Realty Trust, Inc., Class A		17,650		1,112

Rayonier, Inc.		37,517		992

Rexford Industrial Realty, Inc.		31,640		1,448

Sabra Health Care REIT, Inc.		57,461		792

SBA Communications Corp.		3,506		1,117

SL Green Realty Corp.		17,627		817

Spirit Realty Capital, Inc.		27,561		930

STAG Industrial, Inc.		57,615		1,757

STORE Capital Corp.		74,870		2,054

Sun Communities, Inc.		23,693		3,331

UDR, Inc.		37,428		1,220

Urban Edge Properties		139,255		1,353

VICI Properties, Inc.		169,611		3,964

NUMBER
OF SHARES

VALUE
(000S)

COMMON STOCKS – 95.8% ⁽¹⁾ continued

United States – 49.2% continued

Welltower, Inc.

58,249

$3,209

WP Carey, Inc.

19,887

1,296

73,583

Total Common Stocks

(Cost $133,547)

143,130

INVESTMENT COMPANIES – 3.8%

Northern Institutional Funds -
U.S. Government Portfolio (Shares), 0.00%⁽⁴⁾⁽⁵⁾

5,708,661

5,709

Total Investment Companies

(Cost $5,709)

5,709

Total Investments – 99.6%

(Cost $139,256)

148,839

Other Assets less Liabilities – 0.4%

588

Net Assets – 100.0%

$149,427

⁽¹⁾

Adjustment factors obtained from an independent evaluation service were used to determine the value of certain foreign securities.

⁽²⁾

Level 3 asset that is worthless, bankrupt or has been delisted.

⁽³⁾

⁽⁴⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽⁵⁾

7-day current yield as of September 30, 2020 is disclosed.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

ADR – American Depositary Receipt

PLC – Public Limited Company

REIT – Real Estate Investment Trust

Percentages shown are based on Net Assets.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF LONG-TERM INVESTMENTS

Diversified Real Estate Activities		5.2	%

Diversified REITs		5.2

Health Care Facilities		0.1

Health Care REITs		4.5

Homebuilding		0.7

Hotel & Resort REITs		2.1

Industrial REITs		23.0

Integrated Telecommunication Services		2.0

Internet Services & Infrastructure		1.1

Office REITs		6.1

Real Estate Development		3.7

Real Estate Operating Companies		12.2

Residential REITs		15.3

Retail REITs		5.1

Specialized REITs		13.7

Total		100.0	%

At September 30, 2020, the Fund’s investments were denominated in the following currencies:


CONCENTRATION BY CURRENCY	% OF LONG-TERM INVESTMENTS

United States Dollar		52.0	%

Euro		10.5

Japanese Yen		8.7

Hong Kong Dollar		7.6

British Pound		6.7

Australian Dollar		5.0

All other currencies less than 5%		9.5

Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)
Common Stocks:

Canada	$	4,250	$	—	$	—	$	4,250

China		822		—		—		822

Mexico		1,398		—		—		1,398

United States		73,583		—		—		73,583

All Other Countries⁽¹⁾		—		63,077		—		63,077
Total Common Stocks		80,053		63,077		—		143,130
Investment Companies		5,709		—		—		5,709
Total Investments	$	85,762	$	63,077	$	—	$	148,839

⁽¹⁾

Classifications as defined in the Schedule of Investments.



	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.9% ⁽¹⁾

Argentina – 0.1%

MercadoLibre, Inc.*		318		$344


Australia – 0.6%

AGL Energy Ltd.		14,620		143

Ampol Ltd.		18,090		311

Aristocrat Leisure Ltd.		17,000		367

BHP Group Ltd.		8,310		214

Coles Group Ltd.		21,110		257

CSL Ltd.		1,960		404

Goodman Group		22,540		290


				1,986


Belgium – 0.2%

KBC Group N.V.		3,037		152

Telenet Group Holding N.V.		9,579		371


				523


Brazil – 0.3%

BB Seguridade Participacoes S.A.		125,206		543

Cosan S.A.		24,100		294

Qualicorp Consultoria e Corretora de Seguros S.A.		25,100		152


				989


Canada – 1.7%

Alimentation Couche-Tard, Inc., Class B		8,100		282

Bank of Montreal		3,450		202

CI Financial Corp.		15,200		193

Constellation Software, Inc.		743		825

Dollarama, Inc.		8,500		326

Element Fleet Management Corp.		14,500		121

IGM Financial, Inc.		34,827		798

Kirkland Lake Gold Ltd.		3,400		166

Magna International, Inc.		12,000		549

Manulife Financial Corp.		49,800		693

Open Text Corp.		4,400		186

Quebecor, Inc., Class B		14,300		358

Sun Life Financial, Inc.		6,100		248

Toronto-Dominion Bank (The)		7,900		366


				5,313


Chile – 0.1%

Banco Santander Chile ADR		28,454		394


China – 3.7%

Agricultural Bank of China Ltd., Class H		398,000		125

Alibaba Group Holding Ltd. ADR*		6,792		1,997

Anhui Conch Cement Co. Ltd., Class H		103,000		712

Baidu, Inc. ADR*		26,697		3,380



	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.9% ⁽¹⁾ continued

China – 3.7% continued

China Construction Bank Corp., Class H		950,000		$619

China Galaxy Securities Co. Ltd., Class H		227,000		128

China Oilfield Services Ltd., Class H		178,000		125

China Shenhua Energy Co. Ltd., Class H		128,500		232

CITIC Ltd.		153,000		113

CSC Financial Co. Ltd., Class H		161,000		227

Hengan International Group Co. Ltd.		49,500		360

HUYA, Inc. ADR*		12,038		288

JD.com, Inc. ADR*		1,650		128

NetEase, Inc. ADR		2,700		1,228

Ping An Insurance Group Co. of China Ltd., Class H		16,500		170

Postal Savings Bank of China Co. Ltd., Class H⁽²⁾		235,000		99

Tencent Holdings Ltd.		4,700		313

Tencent Holdings Ltd. ADR		2,898		196

Tingyi Cayman Islands Holding Corp.		82,000		145

Vipshop Holdings Ltd. ADR*		23,720		371

Weichai Power Co. Ltd., Class H		221,000		445

Yum China Holdings, Inc.		7,116		377


				11,778


Colombia – 0.1%

Ecopetrol S.A. ADR		15,129		149


Denmark – 0.2%

Carlsberg A.S., Class B		1,450		195

Novo Nordisk A/S, Class B		6,051		421


				616


Egypt – 0.1%

Commercial International Bank Egypt S.A.E. GDR (Registered)		44,000		189


Finland – 0.8%

Kojamo OYJ		9,000		193

Neste OYJ		12,750		671

Nokia OYJ*		447,083		1,752

Nokian Renkaat OYJ		2,290		65


				2,681


France – 1.9%

BNP Paribas S.A.*		12,600		457

Cellectis S.A. ADR*		17,535		324

Cie Generale des Etablissements Michelin S.C.A.		22,167		2,372


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.9% ⁽¹⁾ continued

France – 1.9% continued

Klepierre S.A.		5,014		$70

Peugeot S.A.*		21,948		396

Safran S.A.*		2,977		293

Schneider Electric S.E.		5,730		711

Thales S.A.		7,616		570

TOTAL S.E.		9,966		342

Vivendi S.A.		17,893		499


				6,034


Germany – 3.9%

Allianz S.E. (Registered)		1,084		208

Bayer A.G. (Registered)		4,030		252

Brenntag A.G.		7,800		496

Deutsche Boerse A.G.		30,510		5,358

Deutsche Post A.G. (Registered)		12,290		560

Fresenius Medical Care A.G. & Co. KGaA		392		33

Hannover Rueck S.E.		3,360		521

Rocket Internet S.E.*		14,851		325

RTL Group S.A.*		3,926		155

SAP S.E.		1,930		301

SAP S.E. ADR		16,003		2,493

TeamViewer A.G.*		5,680		280

Telefonica Deutschland Holding A.G.		539,795		1,385


				12,367


Greece – 0.0%

Hellenic Telecommunications Organization S.A.		8,520		123


Hong Kong – 1.2%

China Mobile Ltd. (Hong Kong Exchange)		449,000		2,886

China Mobile Ltd. ADR		1,217		39

China Resources Cement Holdings Ltd.		194,000		266

CK Asset Holdings Ltd.		18,000		88

CLP Holdings Ltd.		21,000		196

Hang Seng Bank Ltd.		12,000		178

Kunlun Energy Co. Ltd.		142,000		94

WH Group Ltd.⁽²⁾		220,000		179


				3,926


India – 0.3%

Dr. Reddy’s Laboratories Ltd. ADR		15,170		1,055


Indonesia – 0.1%

Bank Mandiri Persero Tbk PT		712,600		239


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.9% ⁽¹⁾ continued

Ireland – 1.3%

Allegion PLC		17,400		$1,721

ICON PLC*		1,340		256

Medtronic PLC		19,600		2,037


				4,014


Israel – 0.2%

Check Point Software Technologies Ltd.*		5,973		719


Italy – 0.7%

Enel S.p.A.		60,987		529

Italgas S.p.A.		47,532		300

Snam S.p.A.		277,672		1,428


				2,257


Japan – 7.9%

Asahi Group Holdings Ltd.		10,500		366

Bridgestone Corp.		35,300		1,115

Brother Industries Ltd.		5,000		79

Daito Trust Construction Co. Ltd.		6,000		532

Daiwa House Industry Co. Ltd.		6,500		167

Fujitsu Ltd.		4,000		548

Hoya Corp.		2,900		327

ITOCHU Corp.		45,000		1,151

Japan Tobacco, Inc.		61,400		1,121

KDDI Corp.		8,100		205

McDonald’s Holdings Co. Japan Ltd.		5,600		272

Mitsubishi UFJ Financial Group, Inc. ADR		193,300		775

NEC Corp.		21,100		1,235

Nexon Co. Ltd.		11,400		283

Nintendo Co. Ltd.		8,800		5,003

Nintendo Co. Ltd. ADR		4,236		300

Nippon Telegraph & Telephone Corp.		89,400		1,829

Nissan Chemical Corp.		7,000		373

Nomura Holdings, Inc.		40,000		182

NTT DOCOMO, Inc.		43,900		1,628

Ono Pharmaceutical Co. Ltd.		16,400		515

ORIX Corp.		24,100		300

Otsuka Corp.		4,900		251

Sankyo Co. Ltd.		3,600		94

Secom Co. Ltd.		5,000		457

Shin-Etsu Chemical Co. Ltd.		3,800		496

Shionogi & Co. Ltd.		6,700		358

Sony Corp.		14,100		1,078

Sony Corp. ADR		30,300		2,326

Subaru Corp.		72,100		1,400



	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.9% ⁽¹⁾ continued

Japan – 7.9% continued

Welcia Holdings Co. Ltd.		9,000		$396

ZOZO, Inc.		8,700		243


				25,405


Mexico – 0.1%

Grupo Financiero Banorte S.A.B. de C.V., Series O*		40,214		139

Wal-Mart de Mexico S.A.B. de C.V.		95,727		229


				368


Netherlands – 1.7%

ASML Holding N.V.		550		203

Koninklijke Ahold Delhaize N.V.		144,743		4,284

Royal Dutch Shell PLC, Class B		28,603		346

Wolters Kluwer N.V.		5,590		477


				5,310


Norway – 0.1%

Yara International ASA		8,120		313


Peru – 0.1%

Credicorp Ltd.		2,133		264


Portugal – 0.0%

Jeronimo Martins SGPS S.A.		1,608		26


Russia – 0.1%

MMC Norilsk Nickel PJSC ADR		11,181		269

Moscow Exchange MICEX-RTS PJSC		47,170		89


				358


Singapore – 0.4%

DBS Group Holdings Ltd.		19,600		288

Genting Singapore Ltd.		379,300		186

Sea Ltd. ADR*		2,029		313

Singapore Exchange Ltd.		78,600		529


				1,316


South Africa – 0.2%

Anglo American Platinum Ltd.		3,170		220

Naspers Ltd., Class N		1,310		231

Old Mutual Ltd.		69,375		43

Sanlam Ltd.		42,627		132


				626


South Korea – 1.3%

Hana Financial Group, Inc.		25,880		616

Hyundai Mobis Co. Ltd.		1,480		291

KB Financial Group, Inc.		11,121		359

KT&G Corp.		15,600		1,101

Kumho Petrochemical Co. Ltd.		2,630		245



	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.9% ⁽¹⁾ continued

South Korea – 1.3% continued

LG Innotek Co. Ltd.		3,000		$397

Orion Corp.		1,360		153

Samsung Electronics Co. Ltd.		10,778		543

Seegene, Inc.		540		120

Shinhan Financial Group Co. Ltd.		15,640		364

Woori Financial Group, Inc.		13,415		99


				4,288


Spain – 0.7%

Aena S.M.E. S.A.*		2,621		365

Endesa S.A.		60,531		1,619

Tecnicas Reunidas S.A.*		37,663		403


				2,387


Sweden – 0.9%

Alfa Laval AB*		7,560		167

Atlas Copco AB, Class A		7,197		342

Evolution Gaming Group AB		1,860		123

Husqvarna AB, Class B		11,210		123

Lundin Energy AB		10,700		212

Sandvik AB*		65,184		1,272

Spotify Technology S.A.*		2,936		712


				2,951


Switzerland – 5.0%

Alcon, Inc.*		28,900		1,646

Chubb Ltd.		10,200		1,184

CRISPR Therapeutics A.G.*		20,002		1,673

Nestle S.A. (Registered)		8,512		1,010

Novartis A.G. (Registered)		19,127		1,662

Novartis A.G. ADR		18,200		1,583

Partners Group Holding A.G.		219		201

Roche Holding A.G. (Genusschein)		18,521		6,337

Swisscom A.G. (Registered)		1,477		783


				16,079


Taiwan – 0.9%

Catcher Technology Co. Ltd.		32,000		201

Delta Electronics, Inc.		52,000		341

Globalwafers Co. Ltd.		10,000		133

momo.com, Inc.		6,000		147

Powertech Technology, Inc.		40,000		120

Realtek Semiconductor Corp.		34,000		435

Taiwan Semiconductor Manufacturing Co. Ltd.		42,000		631

Taiwan Semiconductor Manufacturing Co. Ltd. ADR		5,502		446


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.9% ⁽¹⁾ continued

Taiwan – 0.9% continued

Uni-President Enterprises Corp.		114,000		$246

Zhen Ding Technology Holding Ltd.		55,000		241


				2,941


Thailand – 0.1%

Kasikornbank PCL NVDR		152,900		373


Turkey – 0.2%

Turk Telekomunikasyon A.S.		375,000		346

Turkiye Garanti Bankasi A.S.*		190,000		175

Turkiye Is Bankasi A.S., Class C*		304,938		211


				732


United Kingdom – 3.9%

3i Group PLC		61,694		792

Anglo American PLC		4,910		118

BAE Systems PLC		29,210		181

Bunzl PLC		17,500		565

Close Brothers Group PLC		2,068		27

Direct Line Insurance Group PLC		125,000		435

Evraz PLC		37,869		169

GlaxoSmithKline PLC		192,776		3,611

JD Sports Fashion PLC		27,380		286

Linde PLC		4,450		1,060

M&G PLC		99,000		203

National Grid PLC		40,026		461

Next PLC		4,570		350

Persimmon PLC		13,590		432

RELX PLC (London Exchange)		24,801		549

Rio Tinto Ltd.		10,279		696

Unilever N.V.		17,689		1,068

Unilever N.V. (New York Exchange)		23,015		1,390

Vodafone Group PLC		101,260		134


				12,527


United States – 53.8%

2U, Inc.*		28,294		958

Activision Blizzard, Inc.		7,568		613

Adobe, Inc.*		12,540		6,150

Agilent Technologies, Inc.		5,363		541

Air Lease Corp.		11,418		336

Akamai Technologies, Inc.*		3,163		350

Albemarle Corp.		3,528		315

Alphabet, Inc., Class C*		1,517		2,229

Amazon.com, Inc.*		912		2,872

American Tower Corp.		6,083		1,470

Americold Realty Trust		13,589		486


	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.9% ⁽¹⁾ continued

United States – 53.8% continued

Ameriprise Financial, Inc.		12,200		$1,880

AmerisourceBergen Corp.		3,219		312

Amgen, Inc.		10,700		2,719

Amphenol Corp., Class A		9,150		991

ANSYS, Inc.*		12,970		4,244

Apple, Inc.		29,728		3,443

Applied Materials, Inc.		9,765		580

Arrow Electronics, Inc.*		3,378		266

Autodesk, Inc.*		3,038		702

Bank of America Corp.		30,547		736

Berkshire Hathaway, Inc., Class B*		12,135		2,584

Bio-Rad Laboratories, Inc., Class A*		1,173		605

Black Knight, Inc.*		6,563		571

BOK Financial Corp.		14,000		721

Boston Properties, Inc.		3,106		249

Cabot Oil & Gas Corp.		96,900		1,682

Capital One Financial Corp.		17,400		1,250

CBRE Group, Inc., Class A*		10,506		493

Charles Schwab (The) Corp.		31,214		1,131

Cimarex Energy Co.		9,316		227

Cincinnati Financial Corp.		3,698		288

CMC Materials, Inc.		2,909		415

Coca-Cola (The) Co.		39,400		1,945

Comcast Corp., Class A		25,054		1,159

Commerce Bancshares, Inc.		18,650		1,050

Continental Resources, Inc.		15,714		193

Corteva, Inc.		71,000		2,045

CSX Corp.		7,484		581

Cullen/Frost Bankers, Inc.		10,500		671

Cummins, Inc.		2,231		471

D.R. Horton, Inc.		11,009		833

Danaher Corp.		18,900		4,070

Darden Restaurants, Inc.		5,970		601

DENTSPLY SIRONA, Inc.		8,267		361

Dover Corp.		3,343		362

East West Bancorp, Inc.		26,500		868

Eastman Chemical Co.		3,899		305

Eaton Vance Corp.		7,777		297

Ecolab, Inc.		4,227		845

Editas Medicine, Inc.*		32,743		919

Elanco Animal Health, Inc.*		64,300		1,796

Equity LifeStyle Properties, Inc.		15,100		926

Facebook, Inc., Class A*		5,851		1,532

First Republic Bank		17,553		1,914



	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.9% ⁽¹⁾ continued

United States – 53.8% continued

Fortive Corp.		19,955		$1,521

General Dynamics Corp.		11,461		1,587

Global Payments, Inc.		4,079		724

Honeywell International, Inc.		10,525		1,732

Houlihan Lokey, Inc.		6,386		377

Illumina, Inc.*		2,246		694

Intellia Therapeutics, Inc.*		46,262		920

Intercontinental Exchange, Inc.		7,064		707

Intuit, Inc.		8,180		2,668

Invitae Corp.*		50,363		2,183

Iridium Communications, Inc.*		12,548		321

Johnson & Johnson		13,814		2,057

Johnson Controls International PLC		43,200		1,765

JPMorgan Chase & Co.		17,800		1,714

KeyCorp		21,559		257

Keysight Technologies, Inc.*		5,746		568

Laboratory Corp. of America Holdings*		1,852		349

LendingTree, Inc.*		2,971		912

Lennar Corp., Class A		30,100		2,459

Markel Corp.*		2,030		1,977

Martin Marietta Materials, Inc.		8,200		1,930

Masco Corp.		10,312		568

Mettler-Toledo International, Inc.*		1,260		1,217

Microchip Technology, Inc.		40,938		4,207

Microsoft Corp.		26,771		5,631

Moody’s Corp.		6,484		1,879

NanoString Technologies, Inc.*		8,488		379

NIKE, Inc., Class B		12,412		1,558

NVIDIA Corp.		303		164

O’Reilly Automotive, Inc.*		1,791		826

Oshkosh Corp.		23,400		1,720

Packaging Corp. of America		3,016		329

PagerDuty, Inc.*		23,892		648

Parker-Hannifin Corp.		9,700		1,963

PayPal Holdings, Inc.*		10,096		1,989

PepsiCo, Inc.		7,966		1,104

Philip Morris International, Inc.		41,381		3,103

Phillips 66		18,900		980

Pinterest, Inc., Class A*		19,490		809

Pioneer Natural Resources Co.		8,000		688

PNC Financial Services Group (The), Inc.		14,100		1,550

Procter & Gamble (The) Co.		15,150		2,106



	NUMBER OF SHARES		VALUE (000S)
COMMON STOCKS – 94.9% ⁽¹⁾ continued

United States – 53.8% continued

Progressive (The) Corp.		7,030		$665

Proto Labs, Inc.*		8,807		1,140

Pure Storage, Inc., Class A*		56,487		869

QUALCOMM, Inc.		20,647		2,430

Raymond James Financial, Inc.		5,195		378

Reinsurance Group of America, Inc.		3,370		321

RenaissanceRe Holdings Ltd.		1,905		323

Republic Services, Inc.		7,683		717

Roku, Inc.*		10,246		1,934

Roper Technologies, Inc.		2,943		1,163

RPM International, Inc.		23,400		1,938

salesforce.com, Inc.*		6,395		1,607

SBA Communications Corp.		1,633		520

Scotts Miracle-Gro (The) Co.		2,769		423

Sealed Air Corp.		7,313		284

Sensata Technologies Holding PLC*		9,945		429

Seres Therapeutics, Inc.*		25,063		710

Skyworks Solutions, Inc.		5,558		809

Slack Technologies, Inc., Class A*		37,001		994

Snap-on, Inc.		2,540		374

Splunk, Inc.*		4,330		815

Square, Inc., Class A*		15,427		2,508

Starbucks Corp.		7,177		617

Stericycle, Inc.*		7,799		492

Stifel Financial Corp.		6,395		323

Stratasys Ltd.*		40,799		509

Sun Communities, Inc.		6,802		956

Syneos Health, Inc.*		6,148		327

Synopsys, Inc.*		4,030		862

Sysco Corp.		6,189		385

Teladoc Health, Inc.*		4,194		919

Teleflex, Inc.		5,214		1,775

Teradyne, Inc.		2,203		175

Tesla, Inc.*		7,960		3,415

TJX (The) Cos., Inc.		8,875		494

TransDigm Group, Inc.		1,534		729

Twilio, Inc., Class A*		1,750		432

Twitter, Inc.*		44,643		1,987

Tyson Foods, Inc., Class A		22,700		1,350

U.S. Bancorp		19,834		711

Visa, Inc., Class A		8,631		1,726

Walgreens Boots Alliance, Inc.		21,500		772

WEC Energy Group, Inc.		5,116		496

Woodward, Inc.		4,551		365

NUMBER
OF SHARES

VALUE
(000S)

COMMON STOCKS – 94.9% ⁽¹⁾ continued

United States – 53.8% continued

Xilinx, Inc.

9,580

$999

Xylem, Inc.

23,800

2,002

Zillow Group, Inc., Class C*

14,812

1,505

Zscaler, Inc.*

3,098

436

173,103

Total Common Stocks

(Cost $265,738)

305,063

PREFERRED STOCKS – 0.1% ⁽¹⁾

Brazil – 0.1%

Petroleo Brasileiro S.A., 0.00%⁽³⁾⁽⁴⁾

101,000

354

Total Preferred Stocks

(Cost $534)

354

INVESTMENT COMPANIES – 3.6%

Northern Institutional Funds -
U.S. Government Portfolio (Shares), 0.00%⁽⁵⁾⁽⁶⁾

11,633,205

11,633

Total Investment Companies

(Cost $11,633)

11,633

PRINCIPAL
AMOUNT
(000S)

VALUE
(000S)

SHORT-TERM INVESTMENTS – 0.2%

U.S. Treasury Bill,
0.11%, 1/28/21⁽⁷⁾⁽⁸⁾

$700

Total Short-Term Investments

(Cost $700)

700

Total Investments – 98.8%

(Cost $278,605)

317,750

Other Assets less Liabilities – 1.2%

3,818

Net Assets – 100.0%

$321,568

⁽¹⁾

Adjustment factors obtained from an independent evaluation service were used to determine the value of certain foreign securities.

⁽²⁾

⁽³⁾

Current yield is less than 0.01%.

⁽⁴⁾

Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income.

⁽⁵⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽⁶⁾

7-day current yield as of September 30, 2020 is disclosed. (7) Discount rate at the time of purchase.

⁽⁸⁾

Security pledged as collateral to cover margin requirements for open futures contracts.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

ADR – American Depositary Receipt

EAFE – Europe, Australasia and the Far East

GDR – Global Depositary Receipt

NVDR – Non-Voting Depositary Receipt

PCL – Public Company Limited

PLC – Public Limited Company

S&P – Standard & Poor’s

Percentages shown are based on Net Assets.

At September 30, 2020, the Fund had outstanding forward foreign currency exchange contracts as follows:


COUNTERPARTY	CONTRACTS TO DELIVER CURRENCY	AMOUNT (LOCAL CURRENCY) (000S)	IN EXCHANGE FOR CURRENCY	AMOUNT (LOCAL CURRENCY) (000S)		SETTLEMENT DATE	UNREALIZED APPRECIATION (DEPRECIATION) (000S)

JPMorgan Chase	Euro	345	Australian Dollar		567	11/10/20		$ 2

JPMorgan Chase	Euro	398	Canadian Dollar		626	11/10/20		3

JPMorgan Chase	Euro	30	New Zealand Dollar		53	11/10/20		—	*

JPMorgan Chase	Euro	98	Singapore Dollar		159	11/10/20		1

JPMorgan Chase	Euro	346	United States Dollar		407	11/10/20		1

JPMorgan Chase	United States Dollar	1,398	Canadian Dollar		1,866	11/10/20		4

JPMorgan Chase	United States Dollar	332	Singapore Dollar		456	11/10/20		2

Subtotal Appreciation								13

JPMorgan Chase	Euro	1,571	British Pound		1,413	11/10/20		(19	)

JPMorgan Chase	Euro	150	Israeli Shekel		602	11/10/20		—	*

JPMorgan Chase	Euro	159	Norwegian Krone		1,690	11/10/20		(6	)

JPMorgan Chase	Euro	590	Swedish Krona		6,071	11/10/20		(15	)

JPMorgan Chase	Japanese Yen	30,918	United States Dollar		292	11/10/20		(1	)

JPMorgan Chase	United States Dollar	2,102	Australian Dollar		2,934	11/10/20		(1	)

JPMorgan Chase	United States Dollar	95	Norwegian Krone		854	11/10/20		(3	)

JPMorgan Chase	United States Dollar	213	Swedish Krona		1,860	11/10/20		(5	)
Subtotal Depreciation								(50	)
Total								$(37	)

*	Amounts round to less than a thousand.

At September 30, 2020, the Fund had open futures contracts as follows:


TYPE	NUMBER OF CONTRACTS		NOTIONAL AMOUNT (000S)			CONTRACT POSITION		CONTRACT EXP.		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) (000S)⁽¹⁾

E-Mini S&P 500 (United States Dollar)		19		$	3,185		Long		12/20		$	6

MSCI EAFE Index		23			2,131		Long		12/20			(46	)

MSCI Emerging Markets Index (United States Dollar)		14			762		Long		12/20			(3	)

Total											$	(43	)

⁽¹⁾

Includes cumulative appreciation/depreciation on futures contracts. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.

At September 30, 2020, the industry sectors for the Fund were:


INDUSTRY SECTOR	% OF LONG-TERM INVESTMENTS

Communication Services		11.4	%

Consumer Discretionary		9.8

Consumer Staples		7.7

Energy		2.4

Financials		14.9

Health Care		14.9

Industrials		10.0

Information Technology		20.6

Materials		4.5

Real Estate		2.1

Utilities		1.7
Total		100.0	%

At September 30, 2020, the Fund’s investments were denominated in the following currencies:


CONCENTRATION BY CURRENCY	% OF LONG-TERM INVESTMENTS

United States Dollar		67.0	%

Euro		9.7

Japanese Yen		7.2

All other currencies less than 5%		16.1
Total		100.0	%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).


INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)

Common Stocks:

Argentina	$	344	$	—	$	—	$	344

Brazil		989		—		—		989

Canada		5,313		—		—		5,313

Chile		394		—		—		394

China		7,965		3,813		—		11,778

Colombia		149		—		—		149

France		324		5,710		—		6,034

Germany		2,493		9,874		—		12,367

Hong Kong		39		3,887		—		3,926

India		1,055		—		—		1,055

Ireland		4,014		—		—		4,014

Israel		719		—		—		719

Japan		3,401		22,004		—		25,405

Mexico		368		—		—		368

Peru		264		—		—		264

Singapore		313		1,003		—		1,316

Sweden		712		2,239		—		2,951

Switzerland		6,086		9,993		—		16,079

Taiwan		446		2,495		—		2,941

United Kingdom		2,450		10,077		—		12,527

United States		173,103		—		—		173,103

All Other Countries⁽¹⁾		—		23,027		—		23,027

Total Common Stocks		210,941		94,122		—		305,063

Preferred Stocks⁽¹⁾		354		—		—		354

Investment Companies		11,633		—		—		11,633

Short-Term Investments		—		700		—		700

Total Investments	$	222,928	$	94,822	$	—	$	317,750
OTHER FINANCIAL INSTRUMENTS

Assets

Forward Foreign Currency Exchange Contracts	$	—	$	13	$	—	$	13


INVESTMENTS	LEVEL 1 (000S)			LEVEL 2 (000S)			LEVEL 3 (000S)		TOTAL (000S)

Futures Contracts	$	6		$	—		$	—	$	6

Liabilities

Forward Foreign Currency Exchange Contracts		—			(50	)		—		(50	)

Futures Contracts		(49	)		—			—		(49	)
Total Other Financial Instruments	$	(43	)	$	(37	)	$	—	$	(80	)

⁽¹⁾

Classifications as defined in the Schedule of Investments.



	PRINCIPAL AMOUNT (000S)⁽¹⁾		VALUE (000S)
CONVERTIBLE BONDS – 0.0%

Bermuda – 0.0%

Digicel Group 0.5 Ltd.,

7.00%, 10/19/20 ⁽²⁾^(3) (4)		$76		$9

Total Convertible Bonds

(Cost $7)				9


CORPORATE BONDS – 0.7%

United States – 0.7%

CEDC Finance Corp. International, Inc.,

10.00%, 12/31/22 ⁽²⁾		85		53

JPMorgan Chase Bank N.A.,

2.68%, 5/21/30 (CNY)		6,000		851

7.50%, 8/17/32 (IDR)⁽²⁾		4,849,000		332


				1,236

Total Corporate Bonds

(Cost $1,287)				1,236


FOREIGN ISSUER BONDS – 91.7%

Angola – 1.1%

Angolan Government International Bond,

9.50%, 11/12/25		400		350

8.25%, 5/9/28		400		320

8.00%, 11/26/29		200		159

9.38%, 5/8/48		1,065		836

9.13%, 11/26/49		271		212


				1,877


Argentina – 2.2%

Argentine Republic Government

International Bond,

1.00%, 7/9/29		329		150

(Step to 0.50% on 7/9/21), 0.13%, 7/9/30 ⁽⁵⁾		2,039		856

(Step to 1.13% on 7/9/21), 0.13%, 7/9/35 ⁽⁵⁾		3,483		1,310

(Step to 2.00% on 7/9/21), 0.13%, 1/9/38 ⁽⁵⁾		529		228

(Step to 2.50% on 7/9/21), 0.13%, 7/9/41 ⁽⁵⁾		495		197

Autonomous City of Buenos Aires Argentina,

(Floating, Argentina Deposit Rates Badlar Private Banks 30-35 Days + 3.25%), 32.99%, 3/29/24 (ARS)⁽⁶⁾		1,333		16

Bonos del Tesoro Nacional en Pesos Badlar,



	PRINCIPAL AMOUNT (000S)⁽¹⁾		VALUE (000S)
FOREIGN ISSUER BONDS – 91.7% continued

Argentina – 2.2% continued

(Floating, Argentina Deposit Rates Badlar Private Banks 30-35 Days + 2.00%), 31.73%, 4/3/22 (ARS)⁽⁶⁾		$4,614		$59

Pampa Energia S.A.,

7.38%, 7/21/23		177		151

Provincia de Buenos Aires,

6.50%, 2/15/23		450		175

33.38%, 4/12/25 (ARS)		4,138		49

YPF S.A.,

8.75%, 4/4/24		708		568


				3,759


Azerbaijan – 1.2%

Republic of Azerbaijan International Bond,

4.75%, 3/18/24		700		736

3.50%, 9/1/32		612		590

Southern Gas Corridor CJSC,

6.88%, 3/24/26		400		456

State Oil Co. of the Azerbaijan Republic,

6.95%, 3/18/30		200		237


				2,019


Bahrain – 0.5%

Bahrain Government International Bond,

6.13%, 7/5/22		400		418

7.50%, 9/20/47		200		213

Oil and Gas Holding (The) Co. BSCC,

8.38%, 11/7/28		200		223


				854


Belarus – 0.3%

Republic of Belarus International Bond,

6.88%, 2/28/23		240		234

6.20%, 2/28/30		200		188

Republic of Belarus Ministry of Finance,

5.88%, 2/24/26		200		186


				608


Bermuda – 0.3%

Digicel Group 0.5 Ltd.,

10.00%,(100% Cash), 4/1/24 ⁽⁴⁾		585		448

8.00%, 4/1/25 ⁽²⁾⁽⁴⁾		252		88


				536


Brazil – 6.7%

Banco do Brasil S.A.,



	PRINCIPAL AMOUNT (000S)⁽¹⁾		VALUE (000S)
FOREIGN ISSUER BONDS – 91.7% continued

Brazil – 6.7% continued

(Variable, U.S. Treasury Yield Curve Rate CMT 10Y + 4.40%), 6.25%, 4/15/24 ⁽³⁾⁽⁷⁾		$600		$562

(Variable, U.S. Treasury Yield Curve Rate CMT 10Y + 6.36%), 9.00%, 6/18/24 ⁽³⁾⁽⁷⁾		200		216

Brazil Notas do Tesouro Nacional, Serie F,

10.00%, 1/1/23 (BRL)		8,000		1,584

10.00%, 1/1/25 (BRL)		6,608		1,334

10.00%, 1/1/27 (BRL)		9,628		1,956

10.00%, 1/1/29 (BRL)		6,864		1,417

10.00%, 1/1/31 (BRL)		406		84

Brazilian Government International Bond,

8.25%, 1/20/34		118		158

7.13%, 1/20/37		153		190

5.63%, 1/7/41		100		108

5.00%, 1/27/45		850		856

5.63%, 2/21/47		200		217

4.75%, 1/14/50		200		195

CSN Islands XI Corp.,

6.75%, 1/28/28		200		194

CSN Resources S.A.,

7.63%, 2/13/23		230		237

Oi S.A.,

10.00%,(100% Cash), 7/27/25 ⁽⁴⁾		1,615		1,558

Samarco Mineracao S.A.,

4.13%, 11/1/22 ⁽⁸⁾		400		212

5.75%, 10/24/23 ⁽⁸⁾		600		324

5.38%, 9/26/24 ⁽⁸⁾		300		161


				11,563


Canada – 0.6%

First Quantum Minerals Ltd.,

7.25%, 4/1/23		200		200

6.50%, 3/1/24		200		192

7.50%, 4/1/25		290		287

6.88%, 3/1/26		290		279


				958


Cayman Islands – 0.1%

Fantasia Holdings Group Co. Ltd.,

10.88%, 1/9/23		200		200


Chile – 2.3%

Bonos de la Tesoreria de la Republica,

1.90%, 9/1/30 (CLP)		1		22



	PRINCIPAL AMOUNT (000S)⁽¹⁾		VALUE (000S)
FOREIGN ISSUER BONDS – 91.7% continued

Chile – 2.3% continued

2.00%, 3/1/35 (CLP)		$1		$68

Bonos de la Tesoreria de la Republica en pesos,

4.50%, 3/1/26 (CLP)		445,000		650

4.70%, 9/1/30 (CLP)		100,000		150

5.00%, 3/1/35 (CLP)		550,000		839

Chile Government International Bond,

2.55%, 1/27/32		700		739

Corp. Nacional del Cobre de Chile,

5.63%, 10/18/43		200		269

4.88%, 11/4/44		200		249

4.50%, 8/1/47		200		239

4.38%, 2/5/49		220		260

Empresa de Transporte de Pasajeros Metro S.A.,

4.70%, 5/7/50		200		246

Empresa Nacional del Petroleo,

4.50%, 9/14/47		200		218


				3,949


China – 1.9%

China Evergrande Group,

11.50%, 1/22/23		200		179

7.50%, 6/28/23		370		294

10.50%, 4/11/24		450		379

8.75%, 6/28/25		400		313

Kaisa Group Holdings Ltd.,

8.50%, 6/30/22		215		211

11.50%, 1/30/23		200		204

10.88%, 7/23/23		200		201

9.38%, 6/30/24		465		439

Scenery Journey Ltd.,

11.50%, 10/24/22		320		291

12.00%, 10/24/23		400		357

Sinochem Overseas Capital Co. Ltd.,

4.50%, 11/12/20		200		200

Sinopec Group Overseas Development 2012 Ltd.,

4.88%, 5/17/42		200		262


				3,330


Colombia – 3.5%

Colombia Government International Bond,

8.13%, 5/21/24		213		257

3.88%, 4/25/27		200		216


	PRINCIPAL AMOUNT (000S)⁽¹⁾		VALUE (000S)
FOREIGN ISSUER BONDS – 91.7% continued

Colombia – 3.5% continued

7.38%, 9/18/37		$100		$141

6.13%, 1/18/41		165		212

5.63%, 2/26/44		200		249

5.00%, 6/15/45		650		757

4.13%, 5/15/51		200		208

Colombian TES,

10.00%, 7/24/24 (COP)		2,850,000		916

6.25%, 11/26/25 (COP)		182,800		52

7.50%, 8/26/26 (COP)		1,061,300		320

5.75%, 11/3/27 (COP)		189,000		52

6.00%, 4/28/28 (COP)		6,503,400		1,797

7.00%, 6/30/32 (COP)		64,900		18

7.25%, 10/18/34 (COP)		1,465,700		419

7.25%, 10/26/50 (COP)		639,000		175

Empresas Publicas de Medellin ESP,

8.38%, 11/8/27 (COP)		693,000		187


				5,976


Costa Rica – 0.9%

Costa Rica Government International Bond,

5.52%, 11/10/21		700		707

6.44%, 11/21/29		480		430

5.63%, 4/30/43		600		494


				1,631


Croatia – 0.9%

Croatia Government International Bond,

6.38%, 3/24/21		200		205

5.50%, 4/4/23		200		222

6.00%, 1/26/24		900		1,044


				1,471


Czech Republic – 1.6%

Czech Republic Government Bond,

0.45%, 10/25/23 (CZK)		28,500		1,244

2.40%, 9/17/25 (CZK)		7,100		337

0.95%, 5/15/30 (CZK)		15,410		677

2.00%, 10/13/33 (CZK)		8,040		392

4.20%, 12/4/36 (CZK)		390		25


				2,675


Dominican Republic – 2.6%

Dominican Republic International Bond,

7.50%, 5/6/21		40		41

6.60%, 1/28/24		100		110

5.88%, 4/18/24		200		212


	PRINCIPAL AMOUNT (000S)⁽¹⁾		VALUE (000S)
FOREIGN ISSUER BONDS – 91.7% continued

Dominican Republic – 2.6% continued

5.50%, 1/27/25		$550		$585

6.88%, 1/29/26		230		256

9.75%, 6/5/26 (DOP)		40,700		707

5.95%, 1/25/27		200		215

4.88%, 9/23/32 ⁽²⁾		285		283

4.88%, 9/23/32		150		149

7.45%, 4/30/44		190		214

6.85%, 1/27/45		800		842

6.50%, 2/15/48		350		354

6.40%, 6/5/49		200		201

5.88%, 1/30/60 ⁽²⁾		370		350


				4,519


Ecuador – 2.1%

Ecuador Government International Bond,

(Step to 5.00% on 7/31/21), 0.50%, 7/31/30 ⁽²⁾⁽⁵⁾		1,477		994

0.00%, 7/31/30 ⁽²⁾⁽⁹⁾		258		120

(Step to 1.00% on 7/31/21), 0.50%, 7/31/35 ⁽²⁾⁽⁵⁾		3,366		1,853

(Step to 0.50% on 7/31/21), 0.50%, 7/31/40 ⁽²⁾⁽⁵⁾		1,205		604


				3,571


Egypt – 1.8%

Egypt Government International Bond,

7.50%, 1/31/27		200		211

6.59%, 2/21/28		500		496

7.60%, 3/1/29		200		206

7.05%, 1/15/32		229		219

7.63%, 5/29/32 ⁽²⁾		200		195

6.88%, 4/30/40		467		438

8.50%, 1/31/47		800		777

7.90%, 2/21/48		430		398

8.88%, 5/29/50 ⁽²⁾		200		198


				3,138


El Salvador – 0.6%

El Salvador Government International Bond,

5.88%, 1/30/25		67		58

6.38%, 1/18/27		103		89

8.63%, 2/28/29		453		428

8.25%, 4/10/32		131		118

7.65%, 6/15/35		80		69


	PRINCIPAL AMOUNT (000S)⁽¹⁾		VALUE (000S)
FOREIGN ISSUER BONDS – 91.7% continued

El Salvador – 0.6% continued

7.63%, 2/1/41		$150		$125

9.50%, 7/15/52 ⁽²⁾		150		142


				1,029


Gabon – 0.2%

Gabon Government International Bond,

6.38%, 12/12/24		200		189

6.63%, 2/6/31		200		180


				369


Georgia – 0.1%

Georgia Government International Bond,

6.88%, 4/12/21		200		204


Ghana – 0.5%

Ghana Government International Bond,

7.63%, 5/16/29		200		182

10.75%, 10/14/30		200		243

8.13%, 3/26/32		200		176

7.88%, 2/11/35		400		339


				940


Guatemala – 1.0%

Guatemala Government Bond,

4.88%, 2/13/28		275		303

4.90%, 6/1/30		400		443

5.38%, 4/24/32		575		659

6.13%, 6/1/50		200		238


				1,643


Honduras – 0.4%

Honduras Government International Bond,

6.25%, 1/19/27		300		328

5.63%, 6/24/30		300		321


				649


Hungary – 1.7%

Hungary Government Bond,

1.50%, 8/23/23 (HUF)		118,500		384

2.50%, 10/24/24 (HUF)		115,000		388

3.00%, 10/27/27 (HUF)		121,770		421

6.75%, 10/22/28 (HUF)		32,920		144

3.00%, 8/21/30 (HUF)		114,090		395

Hungary Government International Bond,

5.75%, 11/22/23		862		988

5.38%, 3/25/24		156		179

7.63%, 3/29/41		38		68


				2,967


	PRINCIPAL AMOUNT (000S)⁽¹⁾		VALUE (000S)
FOREIGN ISSUER BONDS – 91.7% continued

India – 0.1%

Export-Import Bank of India,

4.00%, 1/14/23		$200		$210


Indonesia – 8.1%

Indonesia Asahan Aluminium Persero PT,

5.71%, 11/15/23		200		222

Indonesia Government International Bond,

4.75%, 2/11/29		500		593

8.50%, 10/12/35		200		320

6.63%, 2/17/37		750		1,053

7.75%, 1/17/38		200		309

5.25%, 1/17/42		870		1,100

5.13%, 1/15/45		750		942

5.95%, 1/8/46		200		280

5.25%, 1/8/47		200		259

Indonesia Treasury Bond,

6.50%, 6/15/25 (IDR)		1,793,000		125

8.38%, 9/15/26 (IDR)		10,349,000		776

7.00%, 5/15/27 (IDR)		5,276,000		366

6.13%, 5/15/28 (IDR)		3,534,000		229

9.00%, 3/15/29 (IDR)		7,246,000		550

8.25%, 5/15/29 (IDR)		2,589,000		190

10.50%, 8/15/30 (IDR)		2,813,000		236

7.00%, 9/15/30 (IDR)		6,000,000		406

7.75%, 4/15/31 (IDR)		1,177,000		84

8.75%, 5/15/31 (IDR)		12,294,000		926

9.50%, 7/15/31 (IDR)		17,912,000		1,412

6.63%, 5/15/33 (IDR)		1,545,000		99

8.38%, 3/15/34 (IDR)		2,949,000		213

7.50%, 6/15/35 (IDR)		2,274,000		154

8.25%, 5/15/36 (IDR)		23,536,000		1,679

7.50%, 5/15/38 (IDR)		2,585,000		173

8.38%, 4/15/39 (IDR)		1,310,000		94

Perusahaan Penerbit SBSN Indonesia III,

4.55%, 3/29/26		200		230

4.40%, 3/1/28		450		514

Perusahaan Perseroan Persero PT Perusahaan Listrik Negara,

5.50%, 11/22/21		200		209

6.15%, 5/21/48		200		257


				14,000


Ireland – 0.1%

SCF Capital Designated Activity Co.,

5.38%, 6/16/23		200		215


	PRINCIPAL AMOUNT (000S)⁽¹⁾		VALUE (000S)
FOREIGN ISSUER BONDS – 91.7% continued

Ivory Coast – 0.7%

Ivory Coast Government International Bond,

6.38%, 3/3/28		$200		$201

5.88%, 10/17/31 (EUR)		119		127

5.75%, 12/31/32		112		104

6.13%, 6/15/33		540		507

6.88%, 10/17/40 (EUR)		225		238


				1,177


Jamaica – 0.1%

Jamaica Government International Bond,

7.88%, 7/28/45		200		253


Kazakhstan – 0.6%

Development Bank of Kazakhstan JSC,

4.13%, 12/10/22		200		210

Kazakhstan Government International Bond,

5.13%, 7/21/25		200		232

6.50%, 7/21/45		200		311

KazMunayGas National Co. JSC,

5.38%, 4/24/30		200		235


				988


Kenya – 0.3%

Kenya Government International Bond,

6.88%, 6/24/24		239		244

8.00%, 5/22/32		200		198


				442


Lebanon – 0.3%

Lebanon Government International Bond,

6.38%, 3/9/20 ⁽⁸⁾		267		50

5.80%, 4/14/20 ⁽⁸⁾		188		35

6.15%, 6/19/20 ⁽⁸⁾		326		61

8.25%, 4/12/21 ⁽⁸⁾		593		107

6.10%, 10/4/22 ⁽⁸⁾		795		138

6.00%, 1/27/23 ⁽⁸⁾		231		39

6.60%, 11/27/26 ⁽⁸⁾		97		16

6.85%, 3/23/27 ⁽⁸⁾		212		35

7.00%, 3/23/32 ⁽⁸⁾		143		23

7.05%, 11/2/35 ⁽⁸⁾		11		2

7.25%, 3/23/37 ⁽⁸⁾		349		59


				565


Malaysia – 2.2%

Malaysia Government Bond,

3.88%, 3/10/22 (MYR)		2,157		534

3.80%, 9/30/22 (MYR)		1,821		455


	PRINCIPAL AMOUNT (000S)⁽¹⁾		VALUE (000S)
FOREIGN ISSUER BONDS – 91.7% continued

Malaysia – 2.2% continued

3.90%, 11/30/26 (MYR)		$2,050		$535

3.73%, 6/15/28 (MYR)		2,400		623

3.89%, 8/15/29 (MYR)		720		190

4.50%, 4/15/30 (MYR)		711		196

4.64%, 11/7/33 (MYR)		361		100

3.83%, 7/5/34 (MYR)		2,025		528

4.92%, 7/6/48 (MYR)		203		57

Petronas Capital Ltd.,

4.55%, 4/21/50		400		508


				3,726


Mexico – 7.3%

Banco Mercantil del Norte S.A.,

(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.97%), 6.75%, 9/27/24 ⁽³⁾⁽⁷⁾		200		197

(Variable, U.S. Treasury Yield Curve Rate CMT 10Y + 5.47%), 7.50%, 6/27/29 ⁽³⁾⁽⁷⁾		200		197

(Variable, U.S. Treasury Yield Curve Rate CMT 10Y + 7.76%), 8.38%, 10/14/30 ⁽³⁾⁽⁷⁾		220		230

Braskem Idesa S.A.P.I.,

7.45%, 11/15/29		230		219

Comision Federal de Electricidad,

8.18%, 12/23/27 (MXN)		2,060		91

5.75%, 2/14/42		200		220

Mexican Bonos,

8.00%, 12/7/23 (MXN)		6,000		298

10.00%, 12/5/24 (MXN)		5,000		269

7.50%, 6/3/27 (MXN)		20,000		1,006

8.50%, 5/31/29 (MXN)		21,934		1,174

7.75%, 5/29/31 (MXN)		8,650		441

7.75%, 11/23/34 (MXN)		1,510		77

10.00%, 11/20/36 (MXN)		6,600		398

8.50%, 11/18/38 (MXN)		25,540		1,355

7.75%, 11/13/42 (MXN)		9,500		466

8.00%, 11/7/47 (MXN)		6,020		301

Mexico Government International Bond,

3.60%, 1/30/25		200		215

4.13%, 1/21/26		200		223

4.15%, 3/28/27		200		223

4.75%, 4/27/32		1,650		1,862

6.05%, 1/11/40		60		75

4.75%, 3/8/44		314		342


	PRINCIPAL AMOUNT (000S)⁽¹⁾		VALUE (000S)
FOREIGN ISSUER BONDS – 91.7% continued

Mexico – 7.3% continued

5.55%, 1/21/45		$114		$137

4.35%, 1/15/47		200		208

5.75%, 10/12/10 ⁽¹⁰⁾		624		722

Petroleos Mexicanos,

7.19%, 9/12/24 (MXN)		3,090		121

6.75%, 9/21/47		550		427

6.35%, 2/12/48		160		120

7.69%, 1/23/50		471		394

6.95%, 1/28/60		637		493


				12,501


Mongolia – 0.3%

Development Bank of Mongolia LLC,

7.25%, 10/23/23		200		209

Mongolia Government International Bond,

5.63%, 5/1/23		200		205

Mongolian Mining Corp.,

2.34%, 4/1/21 ⁽³⁾⁽⁴⁾		60		30


				444


Morocco – 0.1%

Morocco Government International Bond,

4.25%, 12/11/22		210		221


Netherlands – 0.7%

Kazakhstan Temir Zholy Finance B.V.,

6.95%, 7/10/42		200		269

Metinvest B.V.,

7.75%, 4/23/23		400		411

8.50%, 4/23/26		200		202

10/1/27 ⁽²⁾⁽¹¹⁾		300		291


				1,173


Nigeria – 0.2%

Nigeria Government International Bond,

6.50%, 11/28/27		200		191

7.63%, 11/28/47		200		180


				371


Oman – 0.7%

Oman Government International Bond,

6.50%, 3/8/47		674		553

6.75%, 1/17/48		711		591


				1,144


Pakistan – 0.6%

Pakistan Government International Bond,

8.25%, 4/15/24		200		213


	PRINCIPAL AMOUNT (000S)⁽¹⁾		VALUE (000S)
FOREIGN ISSUER BONDS – 91.7% continued

Pakistan – 0.6% continued

8.25%, 9/30/25		$200		$214

6.88%, 12/5/27		481		480

Third Pakistan International Sukuk (The) Co. Ltd.,

5.63%, 12/5/22		200		200


				1,107


Panama – 1.6%

Panama Government International Bond,

7.13%, 1/29/26		100		127

8.88%, 9/30/27		574		822

9.38%, 4/1/29		73		112

3.16%, 1/23/30		294		320

6.70%, 1/26/36		138		200

4.50%, 4/16/50		500		625

4.30%, 4/29/53		200		245

3.87%, 7/23/60		210		240


				2,691


Papua New Guinea – 0.1%

Papua New Guinea Government International Bond,

8.38%, 10/4/28		200		200


Paraguay – 1.2%

Paraguay Government International Bond,

4.63%, 1/25/23		200		212

5.00%, 4/15/26		200		227

4.95%, 4/28/31		399		459

5.60%, 3/13/48		400		492

5.40%, 3/30/50		500		606


				1,996


Peru – 2.5%

Banco de Credito del Peru,

4.85%, 10/30/20 (PEN)		51		14

Fondo MIVIVIENDA S.A.,

7.00%, 2/14/24 (PEN)		279		87

Peru Government Bond,

5.94%, 2/12/29 (PEN)		600		196

6.15%, 8/12/32 (PEN)		4,325		1,379

5.40%, 8/12/34 (PEN)		565		164

5.35%, 8/12/40 (PEN)		1,675		461

Peruvian Government International Bond,		218		279

7.35%, 7/21/25

6.95%, 8/12/31 (PEN)		1,817		617

8.75%, 11/21/33		260		435


	PRINCIPAL AMOUNT (000S)⁽¹⁾		VALUE (000S)
FOREIGN ISSUER BONDS – 91.7% continued

Peru – 2.5% continued

6.90%, 8/12/37 (PEN)		$383		$127

5.63%, 11/18/50		353		562


				4,321


Philippines – 0.7%

Philippine Government International Bond,

10.63%, 3/16/25		78		111

9.50%, 2/2/30		302		497

7.75%, 1/14/31		200		304

6.38%, 10/23/34		100		145

Power Sector Assets & Liabilities Management Corp.,

7.39%, 12/2/24		100		125


				1,182


Poland – 2.1%

Republic of Poland Government Bond,

2.50%, 1/25/23 (PLN)		4,600		1,257

2.50%, 7/25/26 (PLN)		1,550		440

2.50%, 7/25/27 (PLN)		3,000		854

2.75%, 4/25/28 (PLN)		541		157

2.75%, 10/25/29 (PLN)		2,860		835


				3,543


Qatar – 2.5%

Qatar Government International Bond,

3.25%, 6/2/26		200		220

4.50%, 4/23/28		468		561

3.75%, 4/16/30		596		692

5.10%, 4/23/48		1,000		1,393

4.82%, 3/14/49		822		1,109

4.40%, 4/16/50		200		258


				4,233


Romania – 1.5%

Romania Government Bond,		850		211

4.25%, 6/28/23 (RON)

5.80%, 7/26/27 (RON)		3,410		942

3.65%, 9/24/31 (RON)		335		80

Romanian Government International Bond,		120		129

6.75%, 2/7/22

4.38%, 8/22/23		236		256

3.62%, 5/26/30 (EUR)		67		89

3.00%, 2/14/31 ⁽²⁾		40		41

6.13%, 1/22/44		24		32

5.13%, 6/15/48		300		368


	PRINCIPAL AMOUNT (000S)⁽¹⁾		VALUE (000S)
FOREIGN ISSUER BONDS – 91.7% continued

Romania – 1.5% continued

3.38%, 1/28/50 (EUR)		$181		$217

4.00%, 2/14/51		208		215


				2,580


Russia – 4.9%

Russian Federal Bond - OFZ,

7.00%, 8/16/23 (RUB)		49,068		667

7.15%, 11/12/25 (RUB)		9,988		139

7.75%, 9/16/26 (RUB)		55,632		792

7.95%, 10/7/26 (RUB)		30,571		440

8.15%, 2/3/27 (RUB)		40,008		581

7.05%, 1/19/28 (RUB)		19,418		266

6.90%, 5/23/29 (RUB)		37,529		509

7.65%, 4/10/30 (RUB)		102,548		1,460

8.50%, 9/17/31 (RUB)		28,406		431

7.70%, 3/23/33 (RUB)		53,723		773

7.25%, 5/10/34 (RUB)		5,593		78

7.70%, 3/16/39 (RUB)		22,000		323

Russian Foreign Bond - Eurobond,

4.25%, 6/23/27		400		451

4.38%, 3/21/29		200		230

5.10%, 3/28/35		400		491

5.25%, 6/23/47		600		796


				8,427


Saudi Arabia – 0.6%

Saudi Government International Bond,

5.00%, 4/17/49		200		259

5.25%, 1/16/50		400		539

3.75%, 1/21/55		200		217


				1,015


South Africa – 3.9%

Eskom Holdings SOC Ltd.,

7.13%, 2/11/25		200		184

Republic of South Africa Government Bond,

10.50%, 12/21/26 (ZAR)		1,369		95

8.00%, 1/31/30 (ZAR)		13,329		727

7.00%, 2/28/31 (ZAR)		10,023		487

8.25%, 3/31/32 (ZAR)		15,579		799

8.88%, 2/28/35 (ZAR)		3,485		174

6.25%, 3/31/36 (ZAR)		8,559		333

8.50%, 1/31/37 (ZAR)		19,327		906

6.50%, 2/28/41 (ZAR)		1,752		65

8.75%, 1/31/44 (ZAR)		5,509		254


	PRINCIPAL AMOUNT (000S)⁽¹⁾		VALUE (000S)
FOREIGN ISSUER BONDS – 91.7% continued

South Africa – 3.9% continued

8.75%, 2/28/48 (ZAR)		$31,436		$1,445

Republic of South Africa Government International Bond,		540		503

4.30%, 10/12/28		540		503

5.00%, 10/12/46		400		320

5.65%, 9/27/47		200		169

5.75%, 9/30/49		200		170


				6,631


Sri Lanka – 0.4%

Sri Lanka Government International Bond,

6.20%, 5/11/27		200		135

6.75%, 4/18/28		471		318

7.85%, 3/14/29		200		138

7.55%, 3/28/30		200		135


				726


Supranational – 0.1%

Digicel International Finance Ltd./Digicel Holdings Bermuda Ltd.,

8.75%, 5/25/24		91		92

8.00%, 12/31/26		65		49


				141


Suriname – 0.1%

Suriname Government International Bond,

9.25%, 10/26/26		200		118


Tajikistan – 0.1%

Republic of Tajikistan International Bond,

7.13%, 9/14/27		230		189


Thailand – 2.7%

Thailand Government Bond,

2.40%, 12/17/23 (THB)		33,000		1,098

2.88%, 12/17/28 (THB)		2,733		98

3.78%, 6/25/32 (THB)		24,458		965

3.40%, 6/17/36 (THB)		14,338		559

3.30%, 6/17/38 (THB)		47,126		1,806

2.88%, 6/17/46 (THB)		1,156		42

3.60%, 6/17/67 (THB)		2,480		103


				4,671


Tunisia – 0.1%

Banque Centrale de Tunisie International Bond,

5.75%, 1/30/25		220		199


	PRINCIPAL AMOUNT (000S)⁽¹⁾		VALUE (000S)
FOREIGN ISSUER BONDS – 91.7% continued

Turkey – 1.6%

Turkey Government Bond,

10.60%, 2/11/26 (TRY)		$838		$100

11.00%, 2/24/27 (TRY)		2,574		307

10.50%, 8/11/27 (TRY)		316		37

Turkey Government International Bond,

3.25%, 3/23/23		200		189

5.75%, 3/22/24		200		196

7.38%, 2/5/25		69		71

6.00%, 3/25/27		200		192

5.13%, 2/17/28		300		273

6.13%, 10/24/28		200		190

5.25%, 3/13/30		300		267

6.88%, 3/17/36		71		66

4.88%, 4/16/43		545		405

5.75%, 5/11/47		535		423


				2,716


Ukraine – 2.6%

Ukraine Government International Bond,

16.00%, 8/11/21 (UAH)⁽²⁾		460		17

7.75%, 9/1/21		100		103

17.25%, 1/5/22 (UAH)⁽²⁾		274		10

17.00%, 5/11/22 (UAH)⁽²⁾		442		17

7.75%, 9/1/23		695		709

8.99%, 2/1/24		200		209

7.75%, 9/1/24		100		101

15.84%, 2/26/25 (UAH)		15,200		611

15.84%, 2/26/25 (UAH)⁽²⁾		1,835		74

7.75%, 9/1/25		265		266

7.75%, 9/1/26		200		199

7.75%, 9/1/27		100		99

9.75%, 11/1/28		770		835

7.38%, 9/25/32		907		855

7.25%, 3/15/33		200		185

7.30%, 3/15/33 ⁽²⁾		212		195


				4,485


United Arab Emirates – 1.4%

Abu Dhabi Government International Bond,

0.75%, 9/2/23		200		200

3.13%, 10/11/27		750		835

2.50%, 9/30/29		200		214

3.13%, 9/30/49		400		429

3.88%, 4/16/50		200		245

DP World Crescent Ltd.,


	PRINCIPAL AMOUNT (000S)⁽¹⁾		VALUE (000S)
FOREIGN ISSUER BONDS – 91.7% continued

United Arab Emirates – 1.4% continued

3.88%, 7/18/29		$200		$208

Emirate of Dubai Government International Bonds,

5.25%, 1/30/43		200		229


				2,360


United Kingdom – 0.2%

DTEK Finance PLC,

10.75%, 12/31/24⁽¹²⁾		276		187

Ukreximbank Via Biz Finance PLC,

9.75%, 1/22/25		200		204


				391


Uruguay – 2.2%

Uruguay Government International Bond,

9.88%, 6/20/22 (UYU)		3,879		95

8.50%, 3/15/28 (UYU)		3,171		77

4.38%, 12/15/28 (UYU)		601		32

7.88%, 1/15/33		141		218

7.63%, 3/21/36		109		170

3.88%, 7/2/40 (UYU)		38,782		1,063

4.13%, 11/20/45		104		123

5.10%, 6/18/50		416		559

4.98%, 4/20/55		823		1,095

Uruguay Monetary Regulation Bill,

0.00%, 3/19/21 (UYU)⁽⁹⁾		658		15

0.00%, 5/7/21 (UYU)⁽⁹⁾		1,390		31

0.00%, 6/18/21 (UYU)⁽⁹⁾		2,772		62

0.00%, 7/21/21 (UYU)⁽⁹⁾		606		13

0.00%, 8/6/21 (UYU)⁽⁹⁾		2,652		59

0.00%, 12/8/21 (UYU)⁽⁹⁾		1,043		23

Uruguay Monetary Regulation Bills,

0.00%, 12/18/20 (UYU)⁽⁹⁾		144		3

0.00%, 2/5/21 (UYU)⁽⁹⁾		361		8

0.00%, 2/19/21 (UYU)⁽⁹⁾		545		13

0.00%, 3/10/21 (UYU)⁽⁹⁾		1,100		25

0.00%, 6/9/21 (UYU)⁽⁹⁾		1,218		27


				3,711


Uzbekistan – 0.4%

Republic of Uzbekistan Bond,

4.75%, 2/20/24		511		539

5.38%, 2/20/29		200		224


				763


	PRINCIPAL AMOUNT (000S)⁽¹⁾		VALUE (000S)
FOREIGN ISSUER BONDS – 91.7% continued

Venezuela – 0.2%

Petroleos de Venezuela S.A.,

8.50%, 10/27/20		$1,480		$156

9.00%, 11/17/21 ⁽⁸⁾		172		4

12.75%, 2/17/22 ⁽⁸⁾		92		2

5.38%, 4/12/27 ⁽⁸⁾		77		2

9.75%, 5/17/35 ⁽⁸⁾		222		6

Venezuela Government International Bond,

7.75%, 10/13/19 ⁽⁸⁾		72		5

12.75%, 8/23/22 ⁽⁸⁾		151		11

9.00%, 5/7/23 ⁽⁸⁾		62		5

8.25%, 10/13/24 ⁽⁸⁾		141		11

11.75%, 10/21/26 ⁽⁸⁾		632		47

9.25%, 9/15/27 ⁽⁸⁾		186		14

9.25%, 5/7/28 ⁽⁸⁾		102		8

11.95%, 8/5/31 ⁽⁸⁾		1,045		78


				349


Vietnam – 0.1%

Vietnam Government International Bond,

4.80%, 11/19/24		200		223


Zambia – 0.4%

Zambia Government International Bond,

5.38%, 9/20/22		1,050		528

8.97%, 7/30/27		400		197


				725


Total Foreign Issuer Bonds


(Cost $165,504)				157,558

	NUMBER OF SHARES		VALUE (000S)
INVESTMENT COMPANIES – 5.5%

Northern Institutional Funds - U.S. Government Portfolio (Shares),

0.00%⁽¹³⁾⁽¹⁴⁾		9,459,342		$9,459


Total Investment Companies


(Cost $9,459)				9,459



Total Investments – 97.9%


(Cost $176,257)				168,262

Other Assets less Liabilities – 2.1%				3,567


Net Assets – 100.0%			$	171,829

⁽¹⁾

Principal amount is in USD unless otherwise indicated.

⁽²⁾

⁽³⁾

Perpetual bond. Maturity date represents next call date.

⁽⁴⁾

Security is a payment in-kind bond (PIK), distributions received in-kind unless otherwise noted in the description.

⁽⁵⁾

Step coupon bond. Rate as of September 30, 2020 is disclosed.

⁽⁶⁾

Variable rate security. Rate as of September 30, 2020 is disclosed.

⁽⁷⁾

Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end.

⁽⁸⁾

Issuer has defaulted on terms of debt obligation. Income is not being accrued.

⁽⁹⁾

Zero coupon bond.

⁽¹⁰⁾

Century bond maturing in 2110.

⁽¹¹⁾

When-Issued Security. Coupon rate is not in effect at September 30, 2020.

⁽¹²⁾

Issuer has defaulted on terms of debt obligation.

⁽¹³⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽¹⁴⁾

7-day current yield as of September 30, 2020 is disclosed.

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

10Y – 10 Year

5Y – 5 Year

CMT – Constant Maturity

PLC – Public Limited Company

SBSN – Surat Berharga Syariah Negara

TIIE – The Equilibrium Interbank Interest Rate

USD – United States Dollar

ARS - Argentine Peso

BRL - Brazilian Real

CLP - Chilean Peso

CNY - Chinese Yuan Renminbi

COP - Colombian Peso

CZK - Czech Koruna

DOP - Dominican Peso

EUR - Euro

HUF - Hungarian Forint

IDR - Indonesian Rupiah

MXN - Mexican Peso

MYR - Malaysian Ringgit

PEN - Peruvian Nuevo Sol

PLN - Polish Zloty

RON - Romanian Leu

RUB - Russian Ruble

THB - Thai Baht

TRY - Turkish Lira

UAH - Ukraine Hryvnia

UYU - Uruguayan Peso

ZAR - South African Rand

Percentages shown are based on Net Assets.

At September 30, 2020, the Fund had outstanding forward foreign currency exchange contracts as follows:

COUNTERPARTY

CONTRACTS
TO

DELIVER
CURRENCY

AMOUNT
(LOCAL
CURRENCY)
(000S)

EXCHANGE
FOR
CURRENCY

AMOUNT
(LOCAL
CURRENCY)
(000S)

SETTLEMENT
DATE

UNREALIZED
APPRECIATION
(DEPRECIATION)
(000S)

Barclays

Chilean Peso

71,877

United States Dollar

10/30/20

$ 3

Barclays

Turkish Lira

United States Dollar

10/7/20

—*

Barclays

Turkish Lira

1,994

United States Dollar

256

11/30/20

Barclays

Turkish Lira

118

United States Dollar

12/9/20

Barclays

United States Dollar

1,970

Chinese Offshore Yuan

13,525

11/30/20

Barclays

United States Dollar

435

Hungarian Forint

135,870

11/30/20

Barclays

United States Dollar

224

Korean Won

265,000

10/30/20

Barclays

United States Dollar

Philippine Peso

2,909

11/27/20

—*

BNP

Euro

490

United States Dollar

580

10/14/20

BNP

Romanian Leu

104

United States Dollar

10/30/20

—*

BNP

Turkish Lira

United States Dollar

10/7/20

—*

BNP

United States Dollar

177

Czech Koruna

4,120

10/30/20

BNP

United States Dollar

Korean Won

66,978

10/30/20

—*

BNP

United States Dollar

385

Polish Zloty

1,528

11/30/20

BNP

United States Dollar

1,110

Polish Zloty

4,306

1/29/21

BNP

United States Dollar

619

Romanian Leu

2,594

11/27/20

Citibank

Turkish Lira

United States Dollar

10/7/20

—*

JPMorgan Chase

Peruvian Nuevo Sol

481

United States Dollar

137

10/30/20

JPMorgan Chase

Turkish Lira

126

United States Dollar

10/7/20

JPMorgan Chase

Turkish Lira

195

United States Dollar

10/30/20

—*

JPMorgan Chase

Ukraine Hryvnia

491

United States Dollar

10/6/20

—*

JPMorgan Chase

United States Dollar

Russian Ruble

6,645

11/30/20

JPMorgan Chase

United States Dollar

Turkish Lira

237

10/7/20

—*

Merrill Lynch

Brazilian Real

503

United States Dollar

11/4/20

Merrill Lynch

Euro

109

United States Dollar

128

10/14/20

—*

Merrill Lynch

Mexican Peso

1,092

United States Dollar

10/30/20

Merrill Lynch

Peruvian Nuevo Sol

177

United States Dollar

10/30/20

Merrill Lynch

Turkish Lira

372

United States Dollar

10/30/20

Merrill Lynch

United States Dollar

407

Chinese Offshore Yuan

2,790

11/30/20



COUNTERPARTY	CONTRACTS TO DELIVER CURRENCY	AMOUNT (LOCAL CURRENCY) (000S)		IN EXCHANGE FOR CURRENCY	AMOUNT (LOCAL CURRENCY) (000S)		SETTLEMENT DATE	UNREALIZED APPRECIATION (DEPRECIATION) (000S)

Merrill Lynch	United States Dollar		272	Czech Koruna		6,317	11/30/20		$ 2

Merrill Lynch	United States Dollar		10	Mexican Peso		219	10/30/20		—*

Merrill Lynch	United States Dollar		242	Russian Ruble		19,167	11/30/20		3

Merrill Lynch	United States Dollar		370	South African Rand		6,347	10/30/20		7

Morgan Stanley	Chilean Peso		221,189	United States Dollar		285	10/30/20		3

Morgan Stanley	Czech Koruna		1,739	United States Dollar		77	10/30/20		2

Morgan Stanley	Hungarian Forint		15,909	United States Dollar		52	10/30/20		1

Morgan Stanley	Polish Zloty		700	United States Dollar		186	10/30/20		5

Morgan Stanley	South African Rand		839	United States Dollar		52	10/30/20		2

Santander	Brazilian Real		1,084	United States Dollar		204	10/2/20		11

Santander	Peruvian Nuevo Sol		399	United States Dollar		113	10/30/20		2

Santander	United States Dollar		2,313	Mexican Peso		52,321	10/30/20		44

Standard Chartered Bank	Brazilian Real		789	United States Dollar		141	10/2/20		—*

Standard Chartered Bank	South African Rand		822	United States Dollar		50	10/30/20		1

Standard Chartered Bank	Turkish Lira		625	United States Dollar		85	11/6/20		5

Standard Chartered Bank	United States Dollar		192	Chinese Offshore Yuan		1,319	11/30/20		2

Standard Chartered Bank	United States Dollar		721	Korean Won		854,126	10/30/20		12

Standard Chartered Bank	United States Dollar		473	Polish Zloty		1,845	11/30/20		5
Subtotal Appreciation									173

Barclays	United States Dollar		126	Polish Zloty		471	10/30/20		(4	)

Barclays	United States Dollar		39	Thai Baht		1,209	10/30/20		(1	)

Barclays	United States Dollar		661	Thai Baht		20,758	11/30/20		(6	)

BNP	United States Dollar		260	Brazilian Real		1,370	10/2/20		(16	)

BNP	United States Dollar		118	Chilean Peso		90,575	10/30/20		(3	)

BNP	United States Dollar		126	Czech Koruna		2,889	10/30/20		—*

BNP	United States Dollar		218	Mexican Peso		4,613	10/30/20		(10	)



COUNTERPARTY	CONTRACTS TO DELIVER CURRENCY	AMOUNT (LOCAL CURRENCY) (000S)		IN EXCHANGE FOR CURRENCY	AMOUNT (LOCAL CURRENCY) (000S)		SETTLEMENT DATE	UNREALIZED APPRECIATION (DEPRECIATION) (000S)

BNP	United States Dollar		72	Peruvian Nuevo Sol		255	10/30/20		$ (2	)

Citibank	United States Dollar		294	Chinese Offshore Yuan		2,001	11/30/20		(1	)

Citibank	United States Dollar		70	Indonesian Rupiah		1,033,550	11/30/20		(1	)

JPMorgan Chase	Turkish Lira		237	United States Dollar		30	1/8/21		—*

JPMorgan Chase	United States Dollar		440	Chilean Peso		333,828	10/30/20		(15	)

JPMorgan Chase	United States Dollar		280	Colombian Peso		1,065,002	10/30/20		(2	)

JPMorgan Chase	United States Dollar		389	Czech Koruna		8,596	10/30/20		(16	)

JPMorgan Chase	United States Dollar		177	Indonesian Rupiah		2,639,585	11/30/20		—*

JPMorgan Chase	United States Dollar		27	Korean Won		31,828	10/30/20		—*

JPMorgan Chase	United States Dollar		248	Russian Ruble		19,279	10/30/20		(1	)

Merrill Lynch	United States Dollar		90	Brazilian Real		503	10/2/20		(1	)

Merrill Lynch	United States Dollar		899	Colombian Peso		3,315,317	10/30/20		(34	)

Merrill Lynch	United States Dollar		511	Mexican Peso		10,812	10/30/20		(24	)

Merrill Lynch	United States Dollar		126	Polish Zloty		471	10/30/20		(4	)

Morgan Stanley	United States Dollar		78	Chinese Offshore Yuan		528	11/30/20		—*

Morgan Stanley	United States Dollar		145	Mexican Peso		3,038	10/30/20		(8	)

Standard Chartered Bank	United States Dollar		46	Chilean Peso		35,169	10/30/20		(1	)

Standard Chartered Bank	United States Dollar		503	Hungarian Forint		151,217	10/30/20		(15	)

Standard Chartered Bank	United States Dollar		128	Malaysian Ringgit		533	11/30/20		—*

Standard Chartered Bank	United States Dollar		43	Peruvian Nuevo Sol		154	10/30/20		(1	)

Standard Chartered Bank	United States Dollar		249	Russian Ruble		19,279	10/30/20		(1	)

Standard Chartered Bank	United States Dollar		240	Thai Baht		7,478	11/30/20		(4	)
Subtotal Depreciation									(171	)
Total									$ 2

*	Amount rounds to less than one thousand.

As of September 30, 2020, the Fund had the following bilateral interest rate swap agreements outstanding:

As of September 30, 2020, the Fund had the following centrally cleared interest rate swap agreements outstanding:



	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CONVERTIBLE BONDS – 0.2%

Cable & Satellite – 0.2%

DISH Network Corp.,

3.38%, 8/15/26		$411		$377


Exploration & Production – 0.0%

Denbury, Inc.,

6.38%, 12/31/24^{(1) (2) (3)}		106		18


Wireless Telecommunications Services – 0.0%

Digicel Group 0.5 Ltd.,

7.00%, 10/19/20⁽¹⁾^(4) (5)		7		1
Total Convertible Bonds
(Cost $407)				396

CORPORATE BONDS – 72.2%

Advertising & Marketing – 0.2%

Outfront Media Capital LLC/Outfront Media Capital Corp.,

5.00%, 8/15/27 ⁽¹⁾		355		346

4.63%, 3/15/30 ⁽¹⁾		105		101


				447


Aerospace & Defense – 2.1%

Howmet Aerospace, Inc.,

5.13%, 10/1/24		25		27

6.88%, 5/1/25		80		88

5.90%, 2/1/27		100		108

5.95%, 2/1/37		175		187

Spirit AeroSystems, Inc.,

5.50%, 1/15/25 ⁽¹⁾		105		106

7.50%, 4/15/25 ⁽¹⁾		165		167

TransDigm, Inc.,

6.50%, 5/15/25		150		150

6.25%, 3/15/26 ⁽¹⁾		585		611

6.38%, 6/15/26		855		858

7.50%, 3/15/27		550		571

5.50%, 11/15/27		850		817

Triumph Group, Inc.,

8.88%, 6/1/24 ⁽¹⁾		25		27

6.25%, 9/15/24 ⁽¹⁾		25		21

7.75%, 8/15/25		50		32


				3,770


Airlines – 0.4%

American Airlines Group, Inc.,

5.00%, 6/1/22 ⁽¹⁾		100		68



	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 72.2% continued

Airlines – 0.4% continued

American Airlines, Inc.,

11.75%, 7/15/25 ⁽¹⁾		$100		$97

Delta Air Lines, Inc.,

3.63%, 3/15/22		25		25

3.80%, 4/19/23		50		48

7.38%, 1/15/26		90		94

3.75%, 10/28/29		25		21

Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.,

6.50%, 6/20/27 ⁽¹⁾		300		312

United Airlines Holdings, Inc.,

6.00%, 12/1/20		25		25

4.25%, 10/1/22		125		116


				806


Apparel & Textile Products – 0.1%

Hanesbrands, Inc.,

5.38%, 5/15/25 ⁽¹⁾		50		53

William Carter (The) Co.,

5.63%, 3/15/27 ⁽¹⁾		110		115


				168


Auto Parts Manufacturing – 0.9%

Adient U.S. LLC,

9.00%, 4/15/25 ⁽¹⁾		75		83

American Axle & Manufacturing, Inc.,

6.88%, 7/1/28		195		189

Cooper-Standard Automotive, Inc.,

5.63%, 11/15/26 ⁽¹⁾		75		52

Dana, Inc.,

5.63%, 6/15/28		25		26

Dealer Tire LLC/DT Issuer LLC,

8.00%, 2/1/28 ⁽¹⁾		130		133

Goodyear Tire & Rubber (The) Co.,

9.50%, 5/31/25		420		456

Tenneco, Inc.,

5.38%, 12/15/24		75		57

5.00%, 7/15/26		25		18

Truck Hero, Inc.,

8.50%, 4/21/24 ⁽¹⁾		560		594


				1,608


Automobiles Manufacturing – 2.3%

Ford Motor Co.,

8.50%, 4/21/23		200		218

9.00%, 4/22/25		475		545



	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 72.2% continued

Automobiles Manufacturing – 2.3% continued

9.63%, 4/22/30		$810		$1,046

7.45%, 7/16/31		400		461

4.75%, 1/15/43		360		326

5.29%, 12/8/46		265		249

Ford Motor Credit Co. LLC,

5.13%, 6/16/25		315		325

4.27%, 1/9/27		200		196

5.11%, 5/3/29		580		594

Tesla, Inc.,

5.30%, 8/15/25 ⁽¹⁾		175		181


				4,141


Cable & Satellite – 3.2%

CCO Holdings LLC/CCO Holdings Capital Corp.,

5.75%, 2/15/26 ⁽¹⁾		500		520

5.50%, 5/1/26 ⁽¹⁾		175		182

5.00%, 2/1/28 ⁽¹⁾		470		494

4.75%, 3/1/30 ⁽¹⁾		280		296

4.50%, 8/15/30 ⁽¹⁾		25		26

4.25%, 2/1/31 ⁽¹⁾		100		104

4.50%, 5/1/32 ⁽¹⁾		50		52

CSC Holdings LLC,

7.50%, 4/1/28 ⁽¹⁾		385		425

6.50%, 2/1/29 ⁽¹⁾		335		371

5.75%, 1/15/30 ⁽¹⁾		655		696

4.63%, 12/1/30 ⁽¹⁾		200		202

DISH DBS Corp.,

5.88%, 11/15/24		25		26

7.38%, 7/1/28 ⁽¹⁾		170		175

GCI LLC,

6.63%, 6/15/24 ⁽¹⁾		25		27

10/15/28 ⁽¹⁾⁽⁶⁾		25		25

Midcontinent Communications/Midcontinent Finance Corp.,

5.38%, 8/15/27 ⁽¹⁾		50		51

Radiate Holdco LLC/Radiate Finance, Inc.,

4.50%, 9/15/26 ⁽¹⁾		270		270

6.50%, 9/15/28 ⁽¹⁾		495		507

Sirius XM Radio, Inc.,

4.63%, 7/15/24 ⁽¹⁾		240		248

5.38%, 7/15/26 ⁽¹⁾		145		151



	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 72.2% continued

Cable & Satellite – 3.2% continued

5.00%, 8/1/27 ⁽¹⁾		$435		$454

5.50%, 7/1/29 ⁽¹⁾		610		654


				5,956


Casinos & Gaming – 1.7%

Boyd Gaming Corp.,

8.63%, 6/1/25 ⁽¹⁾		25		27

6.38%, 4/1/26		350		364

6.00%, 8/15/26		150		155

Caesars Entertainment, Inc.,

6.25%, 7/1/25 ⁽¹⁾		100		105

8.13%, 7/1/27 ⁽¹⁾		75		79

Caesars Resort Collection LLC/CRC Finco, Inc.,

5.75%, 7/1/25 ⁽¹⁾		50		52

5.25%, 10/15/25 ⁽¹⁾		50		48

Churchill Downs, Inc.,

5.50%, 4/1/27 ⁽¹⁾		275		287

4.75%, 1/15/28 ⁽¹⁾		25		25

Downstream Development Authority of the Quapaw Tribe of Oklahoma,

10.50%, 2/15/23 ⁽¹⁾		75		69

Enterprise Development Authority (The),

12.00%, 7/15/24 ⁽¹⁾		125		139

Golden Entertainment, Inc.,

7.63%, 4/15/26 ⁽¹⁾		75		74

Inn of the Mountain Gods Resort & Casino,

9.25%, (100% Cash), 11/30/20 ⁽⁵⁾		62		59

Jacobs Entertainment, Inc.,

7.88%, 2/1/24 ⁽¹⁾		75		73

MGM Resorts International,

6.00%, 3/15/23		75		78

5.50%, 4/15/27		83		87

Mohegan Gaming & Entertainment,

7.88%, 10/15/24 ⁽¹⁾		175		163

Scientific Games International, Inc.,

5.00%, 10/15/25 ⁽¹⁾		105		106

8.25%, 3/15/26 ⁽¹⁾		95		99

7.00%, 5/15/28 ⁽¹⁾		255		256

7.25%, 11/15/29 ⁽¹⁾		25		25

Twin River Worldwide Holdings, Inc.,

6.75%, 6/1/27 ⁽¹⁾		25		25



	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 72.2% continued

Casinos & Gaming – 1.7% continued

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,

5.50%, 3/1/25 ⁽¹⁾		$345		$326

5.25%, 5/15/27 ⁽¹⁾		250		232

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.,

7.75%, 4/15/25 ⁽¹⁾		75		79

5.13%, 10/1/29 ⁽¹⁾		25		24


				3,056


Chemicals – 1.4%

Avient Corp.,

5.75%, 5/15/25 ⁽¹⁾		50		53

Chemours (The) Co.,

5.38%, 5/15/27		25		25

Cornerstone Chemical Co.,

6.75%, 8/15/24 ⁽¹⁾		1,110		1,039

Element Solutions, Inc.,

3.88%, 9/1/28 ⁽¹⁾		95		93

Illuminate Buyer LLC/Illuminate Holdings IV, Inc.,

9.00%, 7/1/28 ⁽¹⁾		90		97

Innophos Holdings, Inc.,

9.38%, 2/15/28 ⁽¹⁾		50		53

Kraton Polymers LLC/Kraton Polymers Capital Corp.,

7.00%, 4/15/25 ⁽¹⁾		25		25

Minerals Technologies, Inc.,

5.00%, 7/1/28 ⁽¹⁾		105		109

Olin Corp.,

9.50%, 6/1/25 ⁽¹⁾		50		58

5.63%, 8/1/29		350		344

5.00%, 2/1/30		50		47

TPC Group, Inc.,

10.50%, 8/1/24 ⁽¹⁾		100		84

Tronox, Inc.,

6.50%, 4/15/26 ⁽¹⁾		145		145

Univar Solutions U.S.A., Inc.,

5.13%, 12/1/27 ⁽¹⁾		275		282

WR Grace & Co.-Conn,

4.88%, 6/15/27 ⁽¹⁾		125		129


				2,583



	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 72.2% continued

Coal Operations – 0.0%

Murray Energy Corp.,

12.00%, 4/15/24⁽¹⁾^{(3) (7)}		$486		$—


Commercial Finance – 0.3%

AerCap Global Aviation Trust,

(Variable, ICE LIBOR USD 3M + 4.30%), 6.50%, 6/15/45 ⁽¹⁾⁽⁸⁾		294		250

DAE Funding LLC,

5.00%, 8/1/24 ⁽¹⁾		75		76

Fortress Transportation and Infrastructure Investors LLC,

6.75%, 3/15/22 ⁽¹⁾		50		49

6.50%, 10/1/25 ⁽¹⁾		50		49

9.75%, 8/1/27 ⁽¹⁾		50		54

Oxford Finance LLC/Oxford Finance Co-Issuer II, Inc.,

6.38%, 12/15/22 ⁽¹⁾		25		24


				502


Communications Equipment – 0.9%

Avaya, Inc.,

6.13%, 9/15/28 ⁽¹⁾		25		25

CommScope Technologies LLC,

6.00%, 6/15/25 ⁽¹⁾		262		266

5.00%, 3/15/27 ⁽¹⁾		105		101

CommScope, Inc.,

5.50%, 3/1/24 ⁽¹⁾		75		77

6.00%, 3/1/26 ⁽¹⁾		100		104

8.25%, 3/1/27 ⁽¹⁾		265		276

7.13%, 7/1/28 ⁽¹⁾		235		241

ViaSat, Inc.,

5.63%, 9/15/25 ⁽¹⁾		370		363

5.63%, 4/15/27 ⁽¹⁾		75		77

6.50%, 7/15/28 ⁽¹⁾		150		150


				1,680


Construction Materials Manufacturing – 0.5%

Advanced Drainage Systems, Inc.,

5.00%, 9/30/27 ⁽¹⁾		25		26

Forterra Finance LLC/FRTA Finance Corp.,

6.50%, 7/15/25 ⁽¹⁾		115		122

Northwest Hardwoods, Inc.,

7.50%, 8/1/21 ⁽¹⁾		25		9

NWH Escrow Corp.,

7.50%, 8/1/21 ⁽¹⁾		25		9



	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 72.2% continued

Construction Materials Manufacturing – 0.5% continued

Standard Industries, Inc.,

5.00%, 2/15/27 ⁽¹⁾		$100		$104

4.38%, 7/15/30 ⁽¹⁾		130		133

3.38%, 1/15/31 ⁽¹⁾		130		128

Summit Materials LLC/Summit Materials Finance Corp.,

6.50%, 3/15/27 ⁽¹⁾		50		53

5.25%, 1/15/29 ⁽¹⁾		100		104

U.S. Concrete, Inc.,

6.38%, 6/1/24		150		155

5.13%, 3/1/29 ⁽¹⁾		25		25


				868


Consumer Finance – 1.3%

Ally Financial, Inc.,

8.00%, 11/1/31		295		404

Cardtronics, Inc./Cardtronics U.S.A., Inc.,

5.50%, 5/1/25 ⁽¹⁾		25		25

Credit Acceptance Corp.,

5.13%, 12/31/24 ⁽¹⁾		25		25

FirstCash, Inc.,

4.63%, 9/1/28 ⁽¹⁾		50		51

Genworth Mortgage Holdings, Inc.,

6.50%, 8/15/25 ⁽¹⁾		50		52

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.,

5.88%, 8/1/21 ⁽¹⁾		25		25

5.25%, 3/15/22 ⁽¹⁾		25		25

4.25%, 2/1/27 ⁽¹⁾		50		43

MGIC Investment Corp.,

5.25%, 8/15/28		50		52

Nationstar Mortgage Holdings, Inc.,

9.13%, 7/15/26 ⁽¹⁾		50		54

6.00%, 1/15/27 ⁽¹⁾		25		25

5.50%, 8/15/28 ⁽¹⁾		75		75

Navient Corp.,

5.88%, 3/25/21		25		25

6.63%, 7/26/21		25		25

5.50%, 1/25/23		25		25

7.25%, 9/25/23		50		52

6.13%, 3/25/24		125		126

6.75%, 6/25/25		200		203

6.75%, 6/15/26		50		50



	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 72.2% continued

Consumer Finance – 1.3% continued

5.00%, 3/15/27		$25		$23

OneMain Finance Corp.,

6.13%, 3/15/24		210		220

6.88%, 3/15/25		25		28

8.88%, 6/1/25		65		72

7.13%, 3/15/26		325		363

6.63%, 1/15/28		75		83

Provident Funding Associates L.P./PFG Finance Corp.,

6.38%, 6/15/25 ⁽¹⁾		50		48

Starwood Property Trust, Inc.,

3.63%, 2/1/21		120		120

4.75%, 3/15/25		95		91


				2,410


Consumer Products – 0.5%

Central Garden & Pet Co.,

6.13%, 11/15/23		50		51

Clearwater Paper Corp.,

4.75%, 8/15/28 ⁽¹⁾		25		25

Edgewell Personal Care Co.,

5.50%, 6/1/28 ⁽¹⁾		175		184

Energizer Holdings, Inc.,

6.38%, 7/15/26 ⁽¹⁾		25		27

4.75%, 6/15/28 ⁽¹⁾		180		186

4.38%, 3/31/29 ⁽¹⁾		155		156

High Ridge Brands Co.,

8.88%, 3/15/25 ⁽¹⁾⁽³⁾		1,100		22

Kronos Acquisition Holdings, Inc.,

9.00%, 8/15/23 ⁽¹⁾		50		51

Prestige Brands, Inc.,

5.13%, 1/15/28 ⁽¹⁾		25		26

Revlon Consumer Products Corp.,

6.25%, 8/1/24		25		4

Spectrum Brands, Inc.,

5.75%, 7/15/25		25		26

5.50%, 7/15/30 ⁽¹⁾		150		158


				916


Consumer Services – 1.7%

ADT Security (The) Corp.,

4.88%, 7/15/32 ⁽¹⁾		120		121

Allied Universal Holdco LLC/Allied Universal Finance Corp.,

6.63%, 7/15/26 ⁽¹⁾		125		133



	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 72.2% continued

Consumer Services – 1.7% continued

9.75%, 7/15/27 ⁽¹⁾		$125		$136

APX Group, Inc.,

7.63%, 9/1/23		105		106

6.75%, 2/15/27 ⁽¹⁾		205		213

Aramark Services, Inc.,

6.38%, 5/1/25 ⁽¹⁾		190		198

5.00%, 2/1/28 ⁽¹⁾		495		499

ASGN, Inc.,

4.63%, 5/15/28 ⁽¹⁾		430		432

Brink’s (The) Co.,

5.50%, 7/15/25 ⁽¹⁾		25		26

Korn Ferry,

4.63%, 12/15/27 ⁽¹⁾		150		151

Prime Security Services Borrower LLC/Prime Finance, Inc.,

5.25%, 4/15/24 ⁽¹⁾		25		26

5.75%, 4/15/26 ⁽¹⁾		490		524

3.38%, 8/31/27 ⁽¹⁾		95		91

6.25%, 1/15/28 ⁽¹⁾		375		380


				3,036


Containers & Packaging – 2.5%

Berry Global, Inc.,

4.50%, 2/15/26 ⁽¹⁾		85		86

5.63%, 7/15/27 ⁽¹⁾		280		294

Crown Americas LLC/Crown Americas Capital Corp. V,

4.25%, 9/30/26		95		98

Crown Americas LLC/Crown Americas Capital Corp. VI,

4.75%, 2/1/26		175		182

Graham Packaging Co., Inc.,

7.13%, 8/15/28 ⁽¹⁾		190		198

Greif, Inc.,

6.50%, 3/1/27 ⁽¹⁾		50		52

Mauser Packaging Solutions Holding Co.,

5.50%, 4/15/24 ⁽¹⁾		50		50

7.25%, 4/15/25 ⁽¹⁾		485		456

Owens-Brockway Glass Container, Inc.,

6.63%, 5/13/27 ⁽¹⁾		25		27

Plastipak Holdings, Inc.,

6.25%, 10/15/25 ⁽¹⁾		850		850



	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 72.2% continued

Containers & Packaging – 2.5% continued

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg),

5.13%, 7/15/23 ⁽¹⁾		$50		$51

7.00%, 7/15/24 ⁽¹⁾		40		41

10/15/27 ⁽¹⁾⁽⁶⁾		260		262

Sealed Air Corp.,

4.00%, 12/1/27 ⁽¹⁾		25		26

Silgan Holdings, Inc.,

4.13%, 2/1/28		25		26

Trident TPI Holdings, Inc.,

9.25%, 8/1/24 ⁽¹⁾		740		785

6.63%, 11/1/25 ⁽¹⁾		1,035		1,019


				4,503


Department Stores – 0.0%

JC Penney Corp., Inc.,

8.63%, 3/15/25 ⁽¹⁾⁽³⁾		75		1

6.38%, 10/15/36 ⁽³⁾⁽⁷⁾		100		—


				1


Distributors - Consumer Discretionary – 0.5%

IAA, Inc.,

5.50%, 6/15/27 ⁽¹⁾		310		323

KAR Auction Services, Inc.,

5.13%, 6/1/25 ⁽¹⁾		525		525


				848


Diversified Banks – 0.3%

Bank of America Corp.,

(Variable, ICE LIBOR USD 3M + 3.29%), 5.13%, 6/20/24 ⁽⁴⁾⁽⁸⁾		50		51

(Variable, ICE LIBOR USD 3M + 3.71%), 6.25%, 9/5/24 ⁽⁴⁾⁽⁸⁾		75		80

(Variable, ICE LIBOR USD 3M + 2.93%), 5.88%, 3/15/28 ⁽⁴⁾⁽⁸⁾		50		54

Citigroup, Inc.,

(Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 1/30/23 ⁽⁴⁾⁽⁸⁾		50		51

(Variable, U.S. SOFR + 3.23%), 4.70%, 1/30/25 ⁽⁴⁾⁽⁸⁾		125		121

JPMorgan Chase & Co.,

(Variable, ICE LIBOR USD 3M + 3.30%), 6.00%, 8/1/23 ⁽⁴⁾⁽⁸⁾		150		154

(Variable, U.S. SOFR + 3.13%), 4.60%, 2/1/25 ⁽⁴⁾⁽⁸⁾		50		49


				560



	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 72.2% continued

Educational Services – 0.0%

Graham Holdings Co.,

5.75%, 6/1/26⁽¹⁾	$	25	$	26


Electrical Equipment Manufacturing – 0.2%

Vertical U.S. Newco, Inc.,

5.25%, 7/15/27 ⁽¹⁾		200		208

WESCO Distribution, Inc.,

7.13%, 6/15/25 ⁽¹⁾		50		54

7.25%, 6/15/28 ⁽¹⁾		75		82


				344


Entertainment Content – 0.3%

Allen Media LLC/Allen Media Co-Issuer, Inc.,

10.50%, 2/15/28 ⁽¹⁾		50		48

Diamond Sports Group LLC/Diamond Sports Finance Co.,

5.38%, 8/15/26 ⁽¹⁾		175		124

6.63%, 8/15/27 ⁽¹⁾		75		39

Lions Gate Capital Holdings LLC,

5.88%, 11/1/24 ⁽¹⁾		100		98

Univision Communications, Inc.,

5.13%, 2/15/25 ⁽¹⁾		50		47

9.50%, 5/1/25 ⁽¹⁾		50		54

6.63%, 6/1/27 ⁽¹⁾		25		24

WMG Acquisition Corp.,

3.00%, 2/15/31 ⁽¹⁾		50		49


				483


Entertainment Resources – 1.9%

AMC Entertainment Holdings, Inc.,

10.50%, 4/24/26 ⁽¹⁾		15		11

12.00%, 6/15/26 ⁽¹⁾⁽⁵⁾		128		36

Boyne U.S.A., Inc.,

7.25%, 5/1/25		50		53

Carlson Travel, Inc.,

11.50%, 12/15/26 ⁽¹⁾⁽⁵⁾		930		560

Cedar Fair L.P./Canada’s Wonderland Co./Magnum Management Corp.,

5.38%, 6/1/24		25		24

Cedar Fair L.P./Canada’s Wonderland Co./Magnum Management Corp./Millennium Op,

5.38%, 4/15/27		35		35



	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 72.2% continued

Entertainment Resources – 1.9% continued

Cedar Fair L.P./Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC,

5.50%, 5/1/25 ⁽¹⁾	$	115	$	118

Cinemark U.S.A., Inc.,

5.13%, 12/15/22		75		67

Live Nation Entertainment, Inc.,

4.88%, 11/1/24 ⁽¹⁾		75		73

5.63%, 3/15/26 ⁽¹⁾		75		72

6.50%, 5/15/27 ⁽¹⁾		190		205

4.75%, 10/15/27 ⁽¹⁾		265		248

LTF Merger Sub, Inc.,

8.50%, 6/15/23 ⁽¹⁾		320		307

SeaWorld Parks & Entertainment, Inc.,

9.50%, 8/1/25 ⁽¹⁾		155		161

Six Flags Theme Parks, Inc.,

7.00%, 7/1/25 ⁽¹⁾		165		176

Speedway Motorsports LLC/Speedway Funding II, Inc.,

4.88%, 11/1/27 ⁽¹⁾		25		24

Sterling Entertainment Group LLC,

10.25%, 1/15/25 ⁽⁹⁾		1,110		1,086

Vail Resorts, Inc.,

6.25%, 5/15/25 ⁽¹⁾		200		212


				3,468


Exploration & Production – 4.4%

Antero Resources Corp.,

5.63%, 6/1/23		25		18

Apache Corp.,

4.88%, 11/15/27		140		132

4.38%, 10/15/28		100		91

4.25%, 1/15/30		50		45

5.10%, 9/1/40		205		184

4.75%, 4/15/43		150		133

5.35%, 7/1/49		25		22

Ascent Resources Utica Holdings LLC/ARU Finance Corp.,

10.00%, 4/1/22 ⁽¹⁾		316		311

7.00%, 11/1/26 ⁽¹⁾		390		298

Callon Petroleum Co.,

6.25%, 4/15/23		50		16

6.13%, 10/1/24		125		36

6.38%, 7/1/26		25		6


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 72.2% continued

Exploration & Production – 4.4% continued

Centennial Resource Production LLC,

5.38%, 1/15/26 ⁽¹⁾	$	100	$	40

Chaparral Energy, Inc.,

8.75%, 7/15/23 ⁽¹⁾⁽³⁾		125		8

CNX Resources Corp.,

7.25%, 3/14/27 ⁽¹⁾		100		102

Comstock Resources, Inc.,

7.50%, 5/15/25 ⁽¹⁾		50		47

9.75%, 8/15/26		380		390

Continental Resources, Inc.,

5.00%, 9/15/22		100		99

4.50%, 4/15/23		25		24

CrownRock L.P./CrownRock Finance, Inc.,

5.63%, 10/15/25 ⁽¹⁾		440		415

Endeavor Energy Resources L.P./EER Finance, Inc.,

6.63%, 7/15/25 ⁽¹⁾		25		26

5.75%, 1/30/28 ⁽¹⁾		75		75

Energy Ventures Gom LLC/EnVen Finance Corp.,

11.00%, 2/15/23 ⁽¹⁾		580		435

EP Energy LLC/Everest Acquisition Finance, Inc.,

9.38%, 5/1/24 ⁽¹⁾⁽²⁾^{(3) (7)}		219		—

EQT Corp.,

7.88%, 2/1/25		25		28

3.90%, 10/1/27		75		69

8.75%, 2/1/30		50		59

Gulfport Energy Corp.,

6.00%, 10/15/24		100		62

6.38%, 1/15/26		50		31

HighPoint Operating Corp.,

7.00%, 10/15/22		50		13

Hilcorp Energy I L.P./Hilcorp Finance Co.,

5.75%, 10/1/25 ⁽¹⁾		785		710

6.25%, 11/1/28 ⁽¹⁾		260		237

Indigo Natural Resources LLC,

6.88%, 2/15/26 ⁽¹⁾		50		49

Jagged Peak Energy LLC,

5.88%, 5/1/26		50		50

Laredo Petroleum, Inc.,

9.50%, 1/15/25		50		30


	PRINCIPAL AMOUNT (000S)		VALUE (000S)
CORPORATE BONDS - 72.2% continued

Exploration & Production – 4.4% continued

Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp.,

6.00%, 8/1/26 ⁽¹⁾	$	50	$	49

Matador Resources Co.,

5.88%, 9/15/26		210		176

Moss Creek Resources Holdings, Inc.,

7.50%, 1/15/26 ⁽¹⁾		25		15

10.50%, 5/15/27 ⁽¹⁾		25		16

Murphy Oil Corp.,

6.88%, 8/15/24		100		92

5.75%, 8/15/25		25		22

7.05%, 5/1/29		25		23

6.38%, 12/1/42		50		39

Occidental Petroleum Corp.,

2.70%, 8/15/22		23		21

2.90%, 8/15/24		255		216

3.50%, 6/15/25		50		41

8.00%, 7/15/25		25		25

5.88%, 9/1/25		195		179

5.55%, 3/15/26		100		91

3.40%, 4/15/26		365		291

3.20%, 8/15/26		25		20

8.50%, 7/15/27		100		101

6.38%, 9/1/28		50		46

8.88%, 7/15/30		245		252

7.50%, 5/1/31		155		147

7.88%, 9/15/31		90		87

6.45%, 9/15/36		175		149

4.30%, 8/15/39		50		35

6.20%, 3/15/40		50		41

6.60%, 3/15/46		200		172

Parsley Energy LLC/Parsley Finance Corp.,

5.25%, 8/15/25 ⁽¹⁾		100		99

5.63%, 10/15/27 ⁽¹⁾		30		30

PDC Energy, Inc.,

6.13%, 9/15/24		25		24

5.75%, 5/15/26		250		232

Range Resources Corp.,

4.88%, 5/15/25		195		176

9.25%, 2/1/26 ⁽¹⁾		220		226

SM Energy Co.,

5.63%, 6/1/25		85		38


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Exploration & Production – 4.4% continued

6.75%, 9/15/26		$25		$11

6.63%, 1/15/27		50		22

Southwestern Energy Co.,

6.45%, 1/23/25		100		97

8.38%, 9/15/28		25		25

Vine Oil & Gas L.P./Vine Oil & Gas Finance Corp.,

8.75%, 4/15/23 ⁽¹⁾		50		33

9.75%, 4/15/23 ⁽¹⁾		100		68

WPX Energy, Inc.,

5.25%, 9/15/24		65		68

5.88%, 6/15/28		170		178

4.50%, 1/15/30		25		25


				7,989


Financial Services – 1.0%

AG Issuer LLC,

6.25%, 3/1/28 ⁽¹⁾		75		75

Goldman Sachs Group (The), Inc., (Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.22%), 4.95%, 2/10/25 ⁽⁴⁾⁽⁸⁾		50		50

Hunt Cos., Inc.,

6.25%, 2/15/26 ⁽¹⁾		75		72

Icahn Enterprises L.P./Icahn Enterprises Finance Corp.,

6.75%, 2/1/24		50		51

4.75%, 9/15/24		175		177

6.25%, 5/15/26		125		130

5.25%, 5/15/27		175		182

LPL Holdings, Inc.,

5.75%, 9/15/25 ⁽¹⁾		135		140

4.63%, 11/15/27 ⁽¹⁾		110		111

NFP Corp.,

7.00%, 5/15/25 ⁽¹⁾		25		27

6.88%, 8/15/28 ⁽¹⁾		865		876


				1,891


Food & Beverage – 1.0%

Chobani LLC/Chobani Finance Corp., Inc.,

7.50%, 4/15/25 ⁽¹⁾		75		77

Darling Ingredients, Inc.,

5.25%, 4/15/27 ⁽¹⁾		50		52

Kraft Heinz Foods Co.,

6.88%, 1/26/39		50		67


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Food & Beverage – 1.0% continued

7.13%, 8/1/39 ⁽¹⁾		$25		$34

6.50%, 2/9/40		50		64

5.00%, 6/4/42		25		27

5.20%, 7/15/45		165		180

4.38%, 6/1/46		25		26

4.88%, 10/1/49 ⁽¹⁾		520		549

Nathan’s Famous, Inc.,

6.63%, 11/1/25 ⁽¹⁾		50		51

Pilgrim’s Pride Corp.,

5.75%, 3/15/25 ⁽¹⁾		100		102

Post Holdings, Inc.,

5.75%, 3/1/27 ⁽¹⁾		275		289

5.63%, 1/15/28 ⁽¹⁾		130		138

4.63%, 4/15/30 ⁽¹⁾		265		273


				1,929


Forest & Paper Products Manufacturing – 0.0%

Mercer International, Inc.,

6.50%, 2/1/24		75		75

7.38%, 1/15/25		25		25


				100


Hardware – 0.5%

Dell International LLC/EMC Corp.,

6.20%, 7/15/30 ⁽¹⁾		190		228

Diebold Nixdorf, Inc.,

8.50%, 4/15/24		75		68

9.38%, 7/15/25 ⁽¹⁾		75		79

Everi Payments, Inc.,

7.50%, 12/15/25 ⁽¹⁾		40		39

NCR Corp.,

8.13%, 4/15/25 ⁽¹⁾		25		28

5.75%, 9/1/27 ⁽¹⁾		100		105

5.00%, 10/1/28 ⁽¹⁾		50		50

6.13%, 9/1/29 ⁽¹⁾		100		106

5.25%, 10/1/30 ⁽¹⁾		25		25

TTM Technologies, Inc.,

5.63%, 10/1/25 ⁽¹⁾		50		51

Xerox Holdings Corp.,

5.00%, 8/15/25 ⁽¹⁾		50		49

5.50%, 8/15/28 ⁽¹⁾		50		49


				877


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Health Care Facilities & Services – 4.5%

Acadia Healthcare Co., Inc.,

5.50%, 7/1/28 ⁽¹⁾		$205		$211

4/15/29 ⁽¹⁾⁽⁶⁾		95		96

AdaptHealth LLC,

6.13%, 8/1/28 ⁽¹⁾		25		26

Air Methods Corp.,

8.00%, 5/15/25 ⁽¹⁾		100		78

CHS/Community Health Systems, Inc.,

6.88%, 2/1/22		63		56

6.25%, 3/31/23		50		49

9.88%, 6/30/23 ⁽¹⁾		50		39

8.63%, 1/15/24 ⁽¹⁾		25		25

8.13%, 6/30/24 ⁽¹⁾		59		43

6.63%, 2/15/25 ⁽¹⁾		125		121

8.00%, 3/15/26 ⁽¹⁾		100		98

8.00%, 12/15/27 ⁽¹⁾		21		21

6.88%, 4/1/28 ⁽¹⁾		53		25

DaVita, Inc.,

4.63%, 6/1/30 ⁽¹⁾		210		215

3.75%, 2/15/31 ⁽¹⁾		155		149

Encompass Health Corp.,

4.75%, 2/1/30		50		51

4.63%, 4/1/31		130		130

Envision Healthcare Corp.,

8.75%, 10/15/26 ⁽¹⁾		2,415		1,111

HCA, Inc.,

7.69%, 6/15/25		235		276

5.38%, 9/1/26		110		122

3.50%, 9/1/30		385		392

Jaguar Holding Co. II/PPD Development L.P.,

4.63%, 6/15/25 ⁽¹⁾		105		108

5.00%, 6/15/28 ⁽¹⁾		225		235

LifePoint Health, Inc.,

6.75%, 4/15/25 ⁽¹⁾		50		53

4.38%, 2/15/27 ⁽¹⁾		25		25

Select Medical Corp.,

6.25%, 8/15/26 ⁽¹⁾		90		94

Surgery Center Holdings, Inc.,

6.75%, 7/1/25 ⁽¹⁾		980		975

10.00%, 4/15/27 ⁽¹⁾		340		362

Team Health Holdings, Inc.,

6.38%, 2/1/25 ⁽¹⁾		190		130


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Health Care Facilities & Services – 4.5% continued

Tenet Healthcare Corp.,

8.13%, 4/1/22		$25		$28

6.75%, 6/15/23		170		178

4.63%, 7/15/24		50		50

4.63%, 9/1/24 ⁽¹⁾		50		50

7.00%, 8/1/25		225		232

4.88%, 1/1/26 ⁽¹⁾		125		127

5.13%, 11/1/27 ⁽¹⁾		50		51

4.63%, 6/15/28 ⁽¹⁾		105		107

6.13%, 10/1/28 ⁽¹⁾		1,565		1,522

6.88%, 11/15/31		25		25

Vizient, Inc.,

6.25%, 5/15/27 ⁽¹⁾		170		178

West Street Merger Sub, Inc.,

6.38%, 9/1/25 ⁽¹⁾		295		301


				8,165


Home & Office Products Manufacturing – 0.2%

Newell Brands, Inc.,

4.70%, 4/1/26		175		187

5.88%, 4/1/36		50		57

6.00%, 4/1/46		50		56


				300


Home Improvement – 0.8%

Apex Tool Group LLC/BC Mountain Finance, Inc.,

9.00%, 2/15/23 ⁽¹⁾		440		407

BMC East LLC,

5.50%, 10/1/24 ⁽¹⁾		125		129

Cornerstone Building Brands, Inc.,

8.00%, 4/15/26 ⁽¹⁾		105		110

6.13%, 1/15/29 ⁽¹⁾		175		177

Griffon Corp.,

5.75%, 3/1/28		100		104

JELD-WEN, Inc.,

6.25%, 5/15/25 ⁽¹⁾		50		53

4.88%, 12/15/27 ⁽¹⁾		300		306

Patrick Industries, Inc.,

7.50%, 10/15/27 ⁽¹⁾		50		54

PGT Innovations, Inc.,

6.75%, 8/1/26 ⁽¹⁾		50		53

Werner FinCo L.P./Werner FinCo, Inc.,

8.75%, 7/15/25 ⁽¹⁾		75		72

				1,465


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Homebuilders – 1.2%

Adams Homes, Inc.,

7.50%, 2/15/25 ⁽¹⁾		$50		$51

Ashton Woods U.S.A. LLC/Ashton Woods Finance Co.,

6.63%, 1/15/28 ⁽¹⁾		50		50

Beazer Homes U.S.A., Inc.,

6.75%, 3/15/25		75		77

7.25%, 10/15/29		50		54

Century Communities, Inc.,

5.88%, 7/15/25		125		130

Forestar Group, Inc.,

8.00%, 4/15/24 ⁽¹⁾		50		53

5.00%, 3/1/28 ⁽¹⁾		75		76

KB Home,

7.63%, 5/15/23		25		27

6.88%, 6/15/27		25		30

Meritage Homes Corp.,

7.00%, 4/1/22		54		58

6.00%, 6/1/25		75		84

Picasso Finance Sub, Inc.,

6.13%, 6/15/25 ⁽¹⁾		25		27

Shea Homes L.P./Shea Homes Funding Corp.,

4.75%, 2/15/28 ⁽¹⁾		175		175

4.75%, 4/1/29 ⁽¹⁾		100		100

STL Holding Co. LLC,

7.50%, 2/15/26 ⁽¹⁾		50		50

Taylor Morrison Communities, Inc.,

5.88%, 6/15/27 ⁽¹⁾		70		77

5.75%, 1/15/28 ⁽¹⁾		345		375

5.13%, 8/1/30 ⁽¹⁾		115		122

TRI Pointe Group, Inc.,

5.25%, 6/1/27		165		176

5.70%, 6/15/28		140		153

Weekley Homes LLC/Weekley Finance Corp.,

4.88%, 9/15/28 ⁽¹⁾		50		51

Williams Scotsman International, Inc.,

4.63%, 8/15/28 ⁽¹⁾		120		120


				2,116


Industrial Other – 0.4%

Ahern Rentals, Inc.,

7.38%, 5/15/23 ⁽¹⁾		125		66


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Industrial Other – 0.4% continued

Brand Industrial Services, Inc.,

8.50%, 7/15/25 ⁽¹⁾		$125		$118

Core & Main L.P.,

6.13%, 8/15/25 ⁽¹⁾		80		81

frontdoor, Inc.,

6.75%, 8/15/26 ⁽¹⁾		200		213

H&E Equipment Services, Inc.,

5.63%, 9/1/25		75		78

Installed Building Products, Inc.,

5.75%, 2/1/28 ⁽¹⁾		75		79

New Enterprise Stone & Lime Co., Inc.,

6.25%, 3/15/26 ⁽¹⁾		25		26

9.75%, 7/15/28 ⁽¹⁾		25		27

Pike Corp.,

5.50%, 9/1/28 ⁽¹⁾		25		25

Resideo Funding, Inc.,

6.13%, 11/1/26 ⁽¹⁾		70		69

TopBuild Corp.,

5.63%, 5/1/26 ⁽¹⁾		50		52


				834


Internet Media – 0.6%

Go Daddy Operating Co. LLC/GD Finance Co., Inc.,

5.25%, 12/1/27 ⁽¹⁾		265		276

Match Group Holdings II LLC,

5.00%, 12/15/27 ⁽¹⁾		50		53

4.63%, 6/1/28 ⁽¹⁾		115		118

5.63%, 2/15/29 ⁽¹⁾		105		113

Netflix, Inc.,

4.88%, 4/15/28		130		145

5.88%, 11/15/28		100		119

6.38%, 5/15/29		110		135

5.38%, 11/15/29 ⁽¹⁾		25		30

Uber Technologies, Inc.,

8.00%, 11/1/26 ⁽¹⁾		100		107

7.50%, 9/15/27 ⁽¹⁾		25		27

6.25%, 1/15/28 ⁽¹⁾		50		51


				1,174


Iron & Steel – 1.5%

Algoma Steel Parent S.C.A.,

0.00%, 11/30/47 ⁽¹⁰⁾⁽¹¹⁾		49		—


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Iron & Steel – 1.5% continued

Specialty Steel Supply, Inc.,

11.00%, 11/15/22 ⁽¹⁾⁽⁹⁾		$2,670		$2,670


				2,670


Leisure Products Manufacturing – 0.1%

Mattel, Inc.,

6.75%, 12/31/25 ⁽¹⁾		75		79

Winnebago Industries, Inc.,

6.25%, 7/15/28 ⁽¹⁾		75		79


				158


Life Insurance – 0.0%

Genworth Holdings, Inc.,

4.90%, 8/15/23		100		92


Machinery Manufacturing – 1.0%

Amsted Industries, Inc.,

5.63%, 7/1/27 ⁽¹⁾		50		53

4.63%, 5/15/30 ⁽¹⁾		115		119

Colfax Corp.,

6.00%, 2/15/24 ⁽¹⁾		50		52

6.38%, 2/15/26 ⁽¹⁾		25		27

Granite U.S. Holdings Corp.,

11.00%, 10/1/27 ⁽¹⁾		100		102

Hillenbrand, Inc.,

5.75%, 6/15/25		50		53

5.00%, 9/15/26		5		5

JPW Industries Holding Corp.,

9.00%, 10/1/24 ⁽¹⁾		860		811

Manitowoc (The) Co., Inc.,

9.00%, 4/1/26 ⁽¹⁾		50		52

MTS Systems Corp.,

5.75%, 8/15/27 ⁽¹⁾		50		49

SPX FLOW, Inc.,

5.88%, 8/15/26 ⁽¹⁾		50		52

Tennant Co.,

5.63%, 5/1/25		75		78

Terex Corp.,

5.63%, 2/1/25 ⁽¹⁾		275		276

Titan International, Inc.,

6.50%, 11/30/23		75		56


				1,785


Managed Care – 3.1%

Centene Corp.,

5.38%, 6/1/26 ⁽¹⁾		75		79


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Managed Care – 3.1% continued

4.25%, 12/15/27		$75		$78

10/15/30 ⁽⁶⁾		25		26

One Call Corp.,

11.50%, 7/1/24 ⁽¹⁾⁽⁵⁾		5,831		5,248

Polaris Intermediate Corp.,

8.50%, 12/1/22 ⁽¹⁾⁽⁵⁾		255		259


				5,690


Manufactured Goods – 1.0%

EnPro Industries, Inc.,

5.75%, 10/15/26		75		79

FXI Holdings, Inc.,

12.25%, 11/15/26 ⁽¹⁾		123		131

Grinding Media, Inc./Moly-Cop AltaSteel Ltd.,

7.38%, 12/15/23 ⁽¹⁾		75		76

Hillman Group (The), Inc.,

6.38%, 7/15/22 ⁽¹⁾		25		25

Material Sciences Corp.,

9.75%, 1/9/24 ⁽⁹⁾		1,532		1,519

Park-Ohio Industries, Inc.,

6.63%, 4/15/27		50		46


				1,876


Medical Equipment & Devices Manufacturing – 0.4%

Avantor Funding, Inc.,

4.63%, 7/15/28 ⁽¹⁾		145		151

Hologic, Inc.,

4.38%, 10/15/25 ⁽¹⁾		185		189

Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics S.A.,

7.38%, 6/1/25 ⁽¹⁾		125		127

7.25%, 2/1/28 ⁽¹⁾		330		343


				810


Metals & Mining – 3.5%

Allegheny Technologies, Inc.,

7.88%, 8/15/23		110		112

5.88%, 12/1/27		320		308

Arconic Corp.,

6.00%, 5/15/25 ⁽¹⁾		25		27

6.13%, 2/15/28 ⁽¹⁾		70		72

Big River Steel LLC/BRS Finance Corp.,

6.63%, 1/31/29 ⁽¹⁾		760		768

Carpenter Technology Corp.,

6.38%, 7/15/28		230		241


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Metals & Mining – 3.5% continued

Century Aluminum Co.,

12.00%, 7/1/25 ⁽¹⁾		$800		$846

Cleveland-Cliffs, Inc.,

9.88%, 10/17/25 ⁽¹⁾		50		56

6.75%, 3/15/26 ⁽¹⁾		475		483

5.88%, 6/1/27		125		116

Coeur Mining, Inc.,

5.88%, 6/1/24		25		25

Commercial Metals Co.,

5.75%, 4/15/26		25		26

Compass Minerals International, Inc.,

6.75%, 12/1/27 ⁽¹⁾		25		27

Freeport-McMoRan, Inc.,

5.00%, 9/1/27		180		188

4.13%, 3/1/28		100		101

4.38%, 8/1/28		250		259

5.25%, 9/1/29		165		177

4.25%, 3/1/30		235		241

4.63%, 8/1/30		235		247

5.40%, 11/14/34		200		221

5.45%, 3/15/43		390		432

Joseph T Ryerson & Son, Inc.,

8.50%, 8/1/28 ⁽¹⁾		665		700

Kaiser Aluminum Corp.,

6.50%, 5/1/25 ⁽¹⁾		100		103

4.63%, 3/1/28 ⁽¹⁾		50		47

Novelis Corp.,

5.88%, 9/30/26 ⁽¹⁾		310		319

4.75%, 1/30/30 ⁽¹⁾		125		123

Tms International Holding Corp.,

7.25%, 8/15/25 ⁽¹⁾		75		70


				6,335


Oil & Gas Services & Equipment – 0.4%

Archrock Partners L.P./Archrock Partners Finance Corp.,

6.25%, 4/1/28 ⁽¹⁾		215		203

Basic Energy Services, Inc.,

10.75%, 10/15/23 ⁽¹⁾		25		5

ChampionX Corp.,

6.38%, 5/1/26		50		48

Diamond Offshore Drilling, Inc.,

3.45%, 11/1/23 ⁽³⁾		25		2

7.88%, 8/15/25 ⁽³⁾		75		7


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Oil & Gas Services & Equipment – 0.4% continued

5.70%, 10/15/39 ⁽³⁾		$25		$2

Exterran Energy Solutions L.P./EES Finance Corp.,

8.13%, 5/1/25		50		43

FTS International, Inc.,

6.25%, 5/1/22 ⁽¹²⁾		100		34

Global Marine, Inc.,

7.00%, 6/1/28		25		4

Nabors Industries, Inc.,

5.75%, 2/1/25		125		42

Nine Energy Service, Inc.,

8.75%, 11/1/23 ⁽¹⁾		75		22

SESI LLC,

7.13%, 12/15/21 ⁽¹⁾		75		19

U.S.A. Compression Partners L.P./U.S.A. Compression Finance Corp.,

6.88%, 4/1/26		145		144

6.88%, 9/1/27		160		159


				734


Pharmaceuticals – 0.2%

Bausch Health Americas, Inc.,

8.50%, 1/31/27 ⁽¹⁾		125		137

Elanco Animal Health, Inc.,

4.91%, 8/27/21		25		26

Par Pharmaceutical, Inc.,

7.50%, 4/1/27 ⁽¹⁾		211		221


				384


Pipeline – 4.9%

Antero Midstream Partners L.P./Antero Midstream Finance Corp.,

5.38%, 9/15/24		735		628

5.75%, 3/1/27 ⁽¹⁾		75		62

Buckeye Partners L.P.,

4.15%, 7/1/23		30		30

4.13%, 3/1/25 ⁽¹⁾		155		147

3.95%, 12/1/26		185		172

4.13%, 12/1/27		120		114

4.50%, 3/1/28 ⁽¹⁾		150		145

5.85%, 11/15/43		155		144

Cheniere Energy Partners L.P.,

4.50%, 10/1/29		700		718


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Pipeline – 4.9% continued

Cheniere Energy, Inc.,

4.63%, 10/15/28 ⁽¹⁾		$390		$400

CNX Midstream Partners L.P./CNX Midstream Finance Corp.,

6.50%, 3/15/26 ⁽¹⁾		100		101

DCP Midstream Operating L.P.,

4.75%, 9/30/21 ⁽¹⁾		50		50

5.38%, 7/15/25		25		26

5.13%, 5/15/29		75		74

(Variable, ICE LIBOR USD 3M + 3.85%), 5.85%, 5/21/43 ⁽¹⁾⁽⁸⁾		340		248

5.60%, 4/1/44		195		178

Delek Logistics Partners L.P./Delek Logistics Finance Corp.,

6.75%, 5/15/25		25		23

Energy Transfer Operating L.P.,

(Variable, ICE LIBOR USD 3M + 4.03%), 6.25%, 2/15/23 ⁽⁴⁾⁽⁸⁾		75		49

EnLink Midstream LLC,

5.38%, 6/1/29		100		81

EnLink Midstream Partners L.P.,

4.40%, 4/1/24		25		23

4.15%, 6/1/25		5		4

4.85%, 7/15/26		105		91

5.60%, 4/1/44		75		48

5.05%, 4/1/45		105		67

5.45%, 6/1/47		120		76

EQM Midstream Partners L.P.,

4.75%, 7/15/23		75		75

4.00%, 8/1/24		125		122

6.00%, 7/1/25 ⁽¹⁾		140		144

4.13%, 12/1/26		140		133

6.50%, 7/1/27 ⁽¹⁾		245		260

5.50%, 7/15/28		400		403

Genesis Energy L.P./Genesis Energy Finance Corp.,

6.50%, 10/1/25		125		108

6.25%, 5/15/26		200		167

7.75%, 2/1/28		75		65

Global Partners L.P./GLP Finance Corp.,

7.00%, 6/15/23		30		31

7.00%, 8/1/27		155		158

1/15/29 ⁽¹⁾⁽⁶⁾		95		96


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Pipeline – 4.9% continued

Harvest Midstream I L.P.,

7.50%, 9/1/28 ⁽¹⁾		$635		$632

Hess Midstream Operations L.P.,

5.63%, 2/15/26 ⁽¹⁾		75		76

5.13%, 6/15/28 ⁽¹⁾		75		75

Holly Energy Partners L.P./Holly Energy Finance Corp.,

5.00%, 2/1/28 ⁽¹⁾		25		24

New Fortress Energy, Inc.,

6.75%, 9/15/25 ⁽¹⁾		25		26

NuStar Logistics L.P.,

5.75%, 10/1/25		110		114

6.00%, 6/1/26		25		25

PBF Logistics L.P./PBF Logistics Finance Corp.,

6.88%, 5/15/23		100		94

Plains All American Pipeline L.P.,

(Variable, ICE LIBOR USD 3M + 4.11%), 6.13%, 11/15/22 ⁽⁴⁾⁽⁸⁾		200		127

Rattler Midstream L.P.,

5.63%, 7/15/25 ⁽¹⁾		25		25

Rockies Express Pipeline LLC,

3.60%, 5/15/25 ⁽¹⁾		50		49

4.95%, 7/15/29 ⁽¹⁾		25		24

6.88%, 4/15/40 ⁽¹⁾		50		52

Summit Midstream Holdings LLC/Summit Midstream Finance Corp.,

5.50%, 8/15/22		137		96

5.75%, 4/15/25		138		79

Summit Midstream Partners L.P.,

(Variable, ICE LIBOR USD 3M + 7.43%), 9.50%, 12/15/22 ⁽⁴⁾⁽⁸⁾		125		16

Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp.,

4.75%, 10/1/23 ⁽¹⁾		125		118

5.50%, 9/15/24 ⁽¹⁾		75		71

7.50%, 10/1/25 ⁽¹⁾		125		126

6.00%, 3/1/27 ⁽¹⁾		160		146

5.50%, 1/15/28 ⁽¹⁾		155		139

Targa Resources Partners L.P./Targa Resources Partners Finance Corp.,

5.88%, 4/15/26		100		103

5.38%, 2/1/27		66		66

5.00%, 1/15/28		100		97


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Pipeline – 4.9% continued

6.88%, 1/15/29		$75		$80

5.50%, 3/1/30 ⁽¹⁾		170		170

4.88%, 2/1/31 ⁽¹⁾		190		184

TransMontaigne Partners L.P./TLP Finance Corp.,

6.13%, 2/15/26		25		26

Western Midstream Operating L.P.,

4.00%, 7/1/22		25		25

4.10%, 2/1/25		115		110

3.95%, 6/1/25		25		23

4.75%, 8/15/28		25		24

5.05%, 2/1/30		270		263

5.45%, 4/1/44		75		64

5.30%, 3/1/48		150		121


				8,951


Power Generation – 1.2%

Calpine Corp.,

4.50%, 2/15/28 ⁽¹⁾		410		420

5.13%, 3/15/28		365		378

4.63%, 2/1/29 ⁽¹⁾		353		352

5.00%, 2/1/31 ⁽¹⁾		429		437

Clearway Energy Operating LLC,

5.75%, 10/15/25		50		53

5.00%, 9/15/26		100		103

4.75%, 3/15/28 ⁽¹⁾		100		103

NRG Energy, Inc.,

7.25%, 5/15/26		50		53

6.63%, 1/15/27		50		53

TerraForm Power Operating LLC,

5.00%, 1/31/28 ⁽¹⁾		25		27

4.75%, 1/15/30 ⁽¹⁾		50		53

Vistra Operations Co. LLC,

5.50%, 9/1/26 ⁽¹⁾		100		104

5.00%, 7/31/27 ⁽¹⁾		75		79


				2,215


Property & Casualty Insurance – 2.1%

Acrisure LLC/Acrisure Finance, Inc.,

8.13%, 2/15/24 ⁽¹⁾		760		796

7.00%, 11/15/25 ⁽¹⁾		100		98

10.13%, 8/1/26 ⁽¹⁾		50		55


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Property & Casualty Insurance – 2.1% continued

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer,

6.75%, 10/15/27 ⁽¹⁾		$240		$252

AssuredPartners, Inc.,

7.00%, 8/15/25 ⁽¹⁾		1,730		1,762

GTCR AP Finance, Inc.,

8.00%, 5/15/27 ⁽¹⁾		105		111

HUB International Ltd.,

7.00%, 5/1/26 ⁽¹⁾		520		539

NMI Holdings, Inc.,

7.38%, 6/1/25 ⁽¹⁾		75		80

Radian Group, Inc.,

4.50%, 10/1/24		50		50

4.88%, 3/15/27		100		100


				3,843


Publishing & Broadcasting – 1.0%

Clear Channel Worldwide Holdings, Inc.,

9.25%, 2/15/24		42		41

5.13%, 8/15/27 ⁽¹⁾		150		144

EW Scripps (The) Co.,

5.13%, 5/15/25 ⁽¹⁾		50		49

Gray Television, Inc.,

5.88%, 7/15/26 ⁽¹⁾		150		156

iHeartCommunications, Inc.,

6.38%, 5/1/26		27		28

5.25%, 8/15/27 ⁽¹⁾		75		73

4.75%, 1/15/28 ⁽¹⁾		75		71

Lamar Media Corp.,

3.75%, 2/15/28 ⁽¹⁾		50		50

4.00%, 2/15/30 ⁽¹⁾		75		75

National CineMedia LLC,

5.75%, 8/15/26		25		17

Nexstar Broadcasting, Inc.,

4.75%, 11/1/28 ⁽¹⁾		75		76

Salem Media Group, Inc.,

6.75%, 6/1/24 ⁽¹⁾		25		21

Scripps Escrow, Inc.,

5.88%, 7/15/27 ⁽¹⁾		25		24

Sinclair Television Group, Inc.,

5.13%, 2/15/27 ⁽¹⁾		50		47

5.50%, 3/1/30 ⁽¹⁾		25		23


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Publishing & Broadcasting – 1.0% continued

TEGNA, Inc.,

4.63%, 3/15/28 ⁽¹⁾		$125		$122

5.00%, 9/15/29 ⁽¹⁾		75		74

Townsquare Media, Inc.,

6.50%, 4/1/23 ⁽¹⁾		75		69

Urban One, Inc.,

7.38%, 4/15/22 ⁽¹⁾		720		651


				1,811


Railroad – 0.1%

Watco Cos. LLC/Watco Finance Corp.,

6.50%, 6/15/27⁽¹⁾		135		138


Real Estate – 2.9%

Cushman & Wakefield U.S. Borrower LLC,

6.75%, 5/15/28 ⁽¹⁾		25		26

Diversified Healthcare Trust,

9.75%, 6/15/25		75		83

ESH Hospitality, Inc.,

5.25%, 5/1/25 ⁽¹⁾		365		369

4.63%, 10/1/27 ⁽¹⁾		185		182

FelCor Lodging L.P.,

6.00%, 6/1/25		100		98

Five Point Operating Co. L.P./Five Point Capital Corp.,

7.88%, 11/15/25 ⁽¹⁾		50		50

GEO Group (The), Inc.,

6.00%, 4/15/26		25		18

GLP Capital L.P./GLP Financing II, Inc.,

5.25%, 6/1/25		25		27

Greystar Real Estate Partners LLC,

5.75%, 12/1/25 ⁽¹⁾		50		50

HAT Holdings I LLC/HAT Holdings II LLC,

5.25%, 7/15/24 ⁽¹⁾		75		78

3.75%, 9/15/30 ⁽¹⁾		25		25

Howard Hughes (The) Corp.,

5.38%, 3/15/25 ⁽¹⁾		50		51

5.38%, 8/1/28 ⁽¹⁾		50		50

Iron Mountain, Inc.,

4.88%, 9/15/27 ⁽¹⁾		310		316

5.25%, 3/15/28 ⁽¹⁾		245		255

5.00%, 7/15/28 ⁽¹⁾		95		97

4.88%, 9/15/29 ⁽¹⁾		405		412


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Real Estate – 2.9% continued

5.25%, 7/15/30 ⁽¹⁾		$230		$240

4.50%, 2/15/31 ⁽¹⁾		25		25

5.63%, 7/15/32 ⁽¹⁾		330		348

Kennedy-Wilson, Inc.,

5.88%, 4/1/24		75		75

MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc.,

4.63%, 6/15/25 ⁽¹⁾		100		102

Newmark Group, Inc.,

6.13%, 11/15/23		75		78

Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer,

7.50%, 6/1/25 ⁽¹⁾		75		80

5.88%, 10/1/28 ⁽¹⁾		75		75

Realogy Group LLC/Realogy Co-Issuer Corp.,

4.88%, 6/1/23 ⁽¹⁾		95		94

7.63%, 6/15/25 ⁽¹⁾		185		194

9.38%, 4/1/27 ⁽¹⁾		405		419

RHP Hotel Properties L.P./RHP Finance Corp.,

4.75%, 10/15/27		275		253

Service Properties Trust,

4.35%, 10/1/24		25		23

7.50%, 9/15/25		25		27

4.95%, 2/15/27		25		22

4.95%, 10/1/29		125		107

Uniti Group L.P./Uniti Fiber Holdings, Inc./CSL Capital LLC,

7.13%, 12/15/24 ⁽¹⁾		25		24

7.88%, 2/15/25 ⁽¹⁾		455		482

Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC,

6.00%, 4/15/23 ⁽¹⁾		285		287

VICI Properties L.P./VICI Note Co., Inc.,

4.25%, 12/1/26 ⁽¹⁾		50		50

3.75%, 2/15/27 ⁽¹⁾		25		25

XHR L.P.,

6.38%, 8/15/25 ⁽¹⁾		50		50


				5,267


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Refining & Marketing – 0.2%

Citgo Holding, Inc.,

9.25%, 8/1/24 ⁽¹⁾		$150		$143

CITGO Petroleum Corp.,

6.25%, 8/15/22 ⁽¹⁾		25		25

7.00%, 6/15/25 ⁽¹⁾		75		74

Murphy Oil U.S.A., Inc.,

4.75%, 9/15/29		50		53

PBF Holding Co LLC/PBF Finance Corp.,

6.00%, 2/15/28 ⁽¹⁾		50		33

PBF Holding Co. LLC/PBF Finance Corp.,

9.25%, 5/15/25 ⁽¹⁾		25		26

Sunoco L.P./Sunoco Finance Corp.,

6.00%, 4/15/27		75		77


				431


Renewable Energy – 0.1%

EnerSys,

4.38%, 12/15/27⁽¹⁾		155		158


Restaurants – 0.4%

Golden Nugget, Inc.,

6.75%, 10/15/24 ⁽¹⁾		250		209

8.75%, 10/1/25 ⁽¹⁾		225		177

IRB Holding Corp.,

7.00%, 6/15/25 ⁽¹⁾		25		27

6.75%, 2/15/26 ⁽¹⁾		50		50

KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC,

5.25%, 6/1/26 ⁽¹⁾		250		260


				723


Retail - Consumer Discretionary – 2.5%

Abercrombie & Fitch Management Co.,

8.75%, 7/15/25 ⁽¹⁾		25		26

ANGI Group LLC,

3.88%, 8/15/28 ⁽¹⁾		85		84

Asbury Automotive Group, Inc.,

4.50%, 3/1/28 ⁽¹⁾		68		68

4.75%, 3/1/30 ⁽¹⁾		155		156

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.,

6.38%, 4/1/24 ⁽¹⁾		25		24

5.25%, 3/15/25 ⁽¹⁾		170		155


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Retail - Consumer Discretionary – 2.5% continued

5.75%, 7/15/27 ⁽¹⁾		$50		$45

Beacon Roofing Supply, Inc.,

4.88%, 11/1/25 ⁽¹⁾		475		466

4.50%, 11/15/26 ⁽¹⁾		25		26

Builders FirstSource, Inc.,

6.75%, 6/1/27 ⁽¹⁾		113		121

5.00%, 3/1/30 ⁽¹⁾		25		26

Burlington Coat Factory Warehouse Corp.,

6.25%, 4/15/25 ⁽¹⁾		25		26

Carvana Co.,

8.88%, 10/1/23 ⁽¹⁾		25		26

Gap (The), Inc.,

8.63%, 5/15/25 ⁽¹⁾		75		82

Hertz (The) Corp.,

5.50%, 10/15/24 ⁽¹⁾⁽³⁾		125		56

6.00%, 1/15/28 ⁽¹⁾^{(2) (3)}		125		58

Ken Garff Automotive LLC,

4.88%, 9/15/28 ⁽¹⁾		25		25

L Brands, Inc.,

5.63%, 2/15/22		50		52

6.88%, 7/1/25 ⁽¹⁾		25		27

9.38%, 7/1/25 ⁽¹⁾		85		98

5.25%, 2/1/28		60		58

7.50%, 6/15/29		50		52

6.63%, 10/1/30 ⁽¹⁾		110		112

6.88%, 11/1/35		50		49

6.75%, 7/1/36		100		98

Lithia Motors, Inc.,

4.63%, 12/15/27 ⁽¹⁾		75		77

1/15/31 ⁽⁶⁾		25		25

Michaels Stores, Inc.,

10/1/27 ⁽¹⁾⁽⁶⁾		25		25

Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc.,

7.88%, 10/1/22 ⁽¹⁾		165		134

Penske Automotive Group, Inc.,

3.50%, 9/1/25		295		294

5.50%, 5/15/26		280		289

PetSmart, Inc.,

7.13%, 3/15/23 ⁽¹⁾		250		252

PriSo Acquisition Corp.,

9.00%, 5/15/23 ⁽¹⁾		100		96


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Retail - Consumer Discretionary – 2.5% continued

QVC, Inc.,

4.75%, 2/15/27		$50		$51

Sonic Automotive, Inc.,

6.13%, 3/15/27		75		77

Specialty Building Products Holdings LLC/SBP Finance Corp.,

6.38%, 9/30/26 ⁽¹⁾		560		570

SRS Distribution, Inc.,

8.25%, 7/1/26 ⁽¹⁾		290		310

Staples, Inc.,

7.50%, 4/15/26 ⁽¹⁾		215		199

10.75%, 4/15/27 ⁽¹⁾		175		140


				4,555


Retail - Consumer Staples – 0.4%

Performance Food Group, Inc.,

6.88%, 5/1/25 ⁽¹⁾		60		64

5.50%, 10/15/27 ⁽¹⁾		330		340

U.S. Foods, Inc.,

5.88%, 6/15/24 ⁽¹⁾		85		86

6.25%, 4/15/25 ⁽¹⁾		175		185


				675


Semiconductors – 0.4%

Amkor Technology, Inc.,

6.63%, 9/15/27 ⁽¹⁾		260		279

Entegris, Inc.,

4.63%, 2/10/26 ⁽¹⁾		50		51

Microchip Technology, Inc.,

4.25%, 9/1/25 ⁽¹⁾		155		161

ON Semiconductor Corp.,

3.88%, 9/1/28 ⁽¹⁾		235		238

Qorvo, Inc.,

4.38%, 10/15/29		75		80

3.38%, 4/1/31 ⁽¹⁾		25		25


				834


Software & Services – 3.3%

Ascend Learning LLC,

6.88%, 8/1/25 ⁽¹⁾		50		51

Banff Merger Sub, Inc.,

9.75%, 9/1/26 ⁽¹⁾		125		132

Black Knight InfoServ LLC,

3.63%, 9/1/28 ⁽¹⁾		170		172

Boxer Parent Co., Inc.,

7.13%, 10/2/25 ⁽¹⁾		25		27


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Software & Services – 3.3% continued

9.13%, 3/1/26 ⁽¹⁾		$25		$26

BY Crown Parent LLC,

7.38%, 10/15/24 ⁽¹⁾		50		51

BY Crown Parent LLC/BY Bond Finance, Inc.,

4.25%, 1/31/26 ⁽¹⁾		136		138

Castle U.S. Holding Corp.,

9.50%, 2/15/28 ⁽¹⁾		100		95

CDK Global, Inc.,

5.88%, 6/15/26		50		52

Donnelley Financial Solutions, Inc.,

8.25%, 10/15/24		25		26

Dun & Bradstreet (The) Corp.,

10.25%, 2/15/27 ⁽¹⁾		75		85

Exela Intermediate LLC/Exela Finance, Inc.,

10.00%, 7/15/23 ⁽¹⁾		125		38

j2 Cloud Services LLC/j2 Cloud Co-Obligor, Inc.,

6.00%, 7/15/25 ⁽¹⁾		270		281

Logan Merger Sub, Inc.,

5.50%, 9/1/27 ⁽¹⁾		340		344

MPH Acquisition Holdings LLC,

7.13%, 6/1/24 ⁽¹⁾		640		658

MSCI, Inc.,

5.38%, 5/15/27 ⁽¹⁾		205		219

Nielsen Finance LLC/Nielsen Finance Co.,

5.63%, 10/1/28 ⁽¹⁾		295		305

5.88%, 10/1/30 ⁽¹⁾		475		492

Open Text Holdings, Inc.,

4.13%, 2/15/30 ⁽¹⁾		150		154

Presidio Holdings, Inc.,

8.25%, 2/1/28 ⁽¹⁾		390		409

Rackspace Technology Global, Inc.,

8.63%, 11/15/24 ⁽¹⁾		550		576

Refinitiv U.S. Holdings, Inc.,

6.25%, 5/15/26 ⁽¹⁾		25		27

8.25%, 11/15/26 ⁽¹⁾		50		55

Sabre GLBL, Inc.,

9.25%, 4/15/25 ⁽¹⁾		50		55

7.38%, 9/1/25 ⁽¹⁾		25		25


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Software & Services – 3.3% continued

Science Applications International Corp.,

4.88%, 4/1/28 ⁽¹⁾		$130		$132

Solera LLC/Solera Finance, Inc.,

10.50%, 3/1/24 ⁽¹⁾		420		439

SS&C Technologies, Inc.,

5.50%, 9/30/27 ⁽¹⁾		475		505

Tempo Acquisition LLC/Tempo Acquisition Finance Corp.,

6.75%, 6/1/25 ⁽¹⁾		307		313

Vericast Corp.,

8.38%, 8/15/22 ⁽¹⁾		75		72

Veritas U.S., Inc./Veritas Bermuda Ltd.,

7.50%, 9/1/25 ⁽¹⁾		75		77

Verscend Escrow Corp.,

9.75%, 8/15/26 ⁽¹⁾		25		27


				6,058


Supermarkets & Pharmacies – 0.1%

Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC,

5.75%, 3/15/25		21		22

4.63%, 1/15/27 ⁽¹⁾		50		51

Rite Aid Corp.,

7.50%, 7/1/25 ⁽¹⁾		34		33

8.00%, 11/15/26 ⁽¹⁾		52		52


				158


Tobacco – 0.0%

Vector Group Ltd.,

6.13%, 2/1/25 ⁽¹⁾		25		25

10.50%, 11/1/26 ⁽¹⁾		25		25


				50


Transportation & Logistics – 0.2%

BCD Acquisition, Inc.,

9.63%, 9/15/23 ⁽¹⁾		25		25

Cargo Aircraft Management, Inc.,

4.75%, 2/1/28 ⁽¹⁾		25		25

Navistar International Corp.,

9.50%, 5/1/25 ⁽¹⁾		25		28

6.63%, 11/1/25 ⁽¹⁾		50		51

Wabash National Corp.,

5.50%, 10/1/25 ⁽¹⁾		50		50


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Transportation & Logistics – 0.2% continued

Western Global Airlines LLC,

10.38%, 8/15/25 ⁽¹⁾		$50		$51

XPO Logistics, Inc.,

6.13%, 9/1/23 ⁽¹⁾		175		179

6.25%, 5/1/25 ⁽¹⁾		50		53


				462


Travel & Lodging – 0.6%

Arrow Bidco LLC,

9.50%, 3/15/24 ⁽¹⁾		25		21

Hilton Domestic Operating Co., Inc.,

5.38%, 5/1/25 ⁽¹⁾		375		392

5.75%, 5/1/28 ⁽¹⁾		70		74

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.,

4.88%, 4/1/27		35		36

Hyatt Hotels Corp.,

5.38%, 4/23/25		55		59

Marriott International, Inc.,

4.63%, 6/15/30		50		53

Marriott Ownership Resorts, Inc.,

4.75%, 1/15/28		25		23

Wyndham Destinations, Inc.,

6.63%, 7/31/26 ⁽¹⁾		75		79

4.63%, 3/1/30 ⁽¹⁾		25		24

Wyndham Hotels & Resorts, Inc.,

5.38%, 4/15/26 ⁽¹⁾		105		107

4.38%, 8/15/28 ⁽¹⁾		220		213


				1,081


Utilities – 0.5%

AmeriGas Partners L.P./AmeriGas Finance Corp.,

5.50%, 5/20/25		75		81

5.75%, 5/20/27		25		27

Ferrellgas L.P./Ferrellgas Finance Corp.,

6.50%, 5/1/21		50		45

10.00%, 4/15/25 ⁽¹⁾		25		27

Ferrellgas Partners L.P./Ferrellgas Partners Finance Corp.,

8.63%, 6/15/20		50		10

NextEra Energy Operating Partners L.P.,

3.88%, 10/15/26 ⁽¹⁾		100		103

PG&E Corp.,

5.00%, 7/1/28		25		24


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Utilities – 0.5% continued

5.25%, 7/1/30		$50		$48

Talen Energy Supply LLC,

10.50%, 1/15/26 ⁽¹⁾		290		221

7.25%, 5/15/27 ⁽¹⁾		140		140

6.63%, 1/15/28 ⁽¹⁾		85		82

7.63%, 6/1/28 ⁽¹⁾		75		75


				883


Waste & Environment Services & Equipment – 0.2%

Covanta Holding Corp.,

5.00%, 9/1/30		50		51

Harsco Corp.,

5.75%, 7/31/27 ⁽¹⁾		325		329


				380


Wireless Telecommunications Services – 0.9%

Hughes Satellite Systems Corp.,

6.63%, 8/1/26		100		108

Sprint Capital Corp.,

6.88%, 11/15/28		135		169

8.75%, 3/15/32		315		461

Sprint Communications, Inc.,

9.25%, 4/15/22		25		28

Sprint Corp.,

7.88%, 9/15/23		25		29

7.13%, 6/15/24		355		408

7.63%, 3/1/26		255		308

T-Mobile U.S.A., Inc.,

6.00%, 4/15/24		75		77

6.50%, 1/15/26		25		26


				1,614


Wireline Telecommunications Services – 1.2%

CenturyLink, Inc.,

5.80%, 3/15/22		100		103

6.75%, 12/1/23		25		27

7.50%, 4/1/24		25		28

Cogent Communications Group, Inc.,

5.38%, 3/1/22 ⁽¹⁾		25		26

Consolidated Communications, Inc.,

10/1/28 ⁽¹⁾⁽⁶⁾		25		26

Embarq Corp.,

8.00%, 6/1/36		100		118

Frontier Communications Corp.,

10.50%, 9/15/22 ⁽³⁾		420		175


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
CORPORATE BONDS - 72.2% continued

Wireline Telecommunications Services – 1.2% continued

8.50%, 4/1/26 ⁽¹⁾⁽¹²⁾		$25		$25

8.00%, 4/1/27 ⁽¹⁾⁽¹²⁾		245		244

GTT Communications, Inc.,

7.88%, 12/31/24 ⁽¹⁾		1,850		953

Level 3 Financing, Inc.,

5.38%, 5/1/25		25		26

4.63%, 9/15/27 ⁽¹⁾		355		365

4.25%, 7/1/28 ⁽¹⁾		50		51

QualityTech L.P./QTS Finance Corp.,

4.75%, 11/15/25 ⁽¹⁾		25		26

10/1/28 ⁽¹⁾⁽⁶⁾		25		25

Windstream Escrow LLC/Windstream Escrow Finance Corp.,

7.75%, 8/15/28 ⁽¹⁾		50		49


				2,267
Total Corporate Bonds
(Cost $134,238)				132,108

FOREIGN ISSUER BONDS – 10.3%

Airlines – 0.3%

Air Canada,

7.75%, 4/15/21 ⁽¹⁾		75		75

Delta Air Lines, Inc./SkyMiles IP Ltd.,

4.50%, 10/20/25 ⁽¹⁾		25		26

4.75%, 10/20/28 ⁽¹⁾		315		327

Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd.,

8.00%, 9/20/25 ⁽¹⁾		50		53


				481


Auto Parts Manufacturing – 0.3%

Clarios Global L.P.,

6.75%, 5/15/25 ⁽¹⁾		50		53

Clarios Global L.P./Clarios U.S. Finance Co.,

6.25%, 5/15/26 ⁽¹⁾		190		199

8.50%, 5/15/27 ⁽¹⁾		250		258


				510


Cable & Satellite – 0.3%

Altice Financing S.A.,

5.00%, 1/15/28 ⁽¹⁾		200		194

Virgin Media Finance PLC,

5.00%, 7/15/30 ⁽¹⁾		230		229

PRINCIPAL

AMOUNT

VALUE

(000S)

FOREIGN ISSUER BONDS - 10.3% continued

Cable & Satellite – 0.3% continued

Virgin Media Vendor Financing Notes IV DAC,

5.00%, 7/15/28 ⁽¹⁾

$200

623

Casinos & Gaming – 0.2%

Gateway Casinos & Entertainment Ltd.,

8.25%, 3/1/24 ⁽¹⁾

100

Melco Resorts Finance Ltd.,

5.25%, 4/26/26 ⁽¹⁾

200

202

287

Chemicals – 0.7%

Methanex Corp.,

5.13%, 10/15/27

Nouryon Holding B.V.,

8.00%, 10/1/26 ⁽¹⁾

305

323

NOVA Chemicals Corp.,

4.88%, 6/1/24 ⁽¹⁾

145

144

5.00%, 5/1/25 ⁽¹⁾

5.25%, 6/1/27 ⁽¹⁾

498

469

Trinseo Materials Operating S.C.A./Trinseo Materials Finance, Inc.,

5.38%, 9/1/25 ⁽¹⁾

210

208

Tronox Finance PLC,

5.75%, 10/1/25 ⁽¹⁾

1,276

Commercial Finance – 0.2%

Global Aircraft Leasing Co. Ltd.,

6.50%, 9/15/24 ⁽¹⁾⁽⁵⁾

415

231

Park Aerospace Holdings Ltd.,

3.63%, 3/15/21 ⁽¹⁾

306

Construction Materials Manufacturing – 0.1%

Cemex S.A.B. de C.V.,

5.45%, 11/19/29⁽¹⁾

200

202

Consumer Finance – 0.0%

Fairstone Financial, Inc.,

7.88%, 7/15/24⁽¹⁾

Consumer Products – 0.0%

Avon International Capital PLC,

6.50%, 8/15/22⁽¹⁾


	PRINCIPAL
	AMOUNT		VALUE
	(000S)		(000S)
FOREIGN ISSUER BONDS - 10.3% continued

Consumer Services – 0.3%

Garda World Security Corp.,

8.75%, 5/15/25 ⁽¹⁾		$590		$596

4.63%, 2/15/27 ⁽¹⁾		50		50


				646


Containers & Packaging – 0.4%

ARD Finance S.A.,

6.50%, 6/30/27 ⁽¹⁾⁽⁵⁾		200		199

Cascades, Inc./Cascades U.S.A., Inc.,

5.38%, 1/15/28 ⁽¹⁾		50		53

Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC,

6.00%, 9/15/28 ⁽¹⁾		315		319

Trivium Packaging Finance B.V.,

8.50%, 8/15/27 ⁽¹⁾		205		221


				792


Entertainment Resources – 0.1%

Motion Bondco DAC,

6.63%, 11/15/27⁽¹⁾		240		207


Exploration & Production – 0.1%

Leviathan Bond Ltd.,

6.13%, 6/30/25		25		26

6.50%, 6/30/27		25		26

MEG Energy Corp.,

7.00%, 3/31/24 ⁽¹⁾		15		14

7.13%, 2/1/27 ⁽¹⁾		75		67

OGX Austria GmbH,

8.50%, 6/1/18 ⁽¹⁾^{(2) (3) (10)}		2,420		—

8.38%, 4/1/22 ⁽¹⁾^{(2) (3) (10)}		1,800		—

Seven Generations Energy Ltd.,

6.88%, 6/30/23 ⁽¹⁾		50		49

5.38%, 9/30/25 ⁽¹⁾		25		24


				206


Financial Services – 0.0%

VistaJet Malta Finance PLC/XO Management Holding, Inc.,

10.50%, 6/1/24⁽¹⁾		75		70


Food & Beverage – 0.2%

Cooke Omega Investments, Inc./Alpha VesselCo Holdings, Inc.,

8.50%, 12/15/22 ⁽¹⁾		75		77



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 10.3% continued

Food & Beverage – 0.2% continued

Herbalife Nutrition Ltd./HLF Financing, Inc., 7.88%, 9/1/25 ⁽¹⁾		$75		$81

JBS U.S.A. LUX S.A./JBS U.S.A. Finance, Inc., 5.88%, 7/15/24 ⁽¹⁾		13		13

JBS U.S.A. LUX S.A./JBS U.S.A. Food Co./JBS U.S.A. Finance, Inc., 5.50%, 1/15/30 ⁽¹⁾		125		136


				307


Home Improvement – 0.1%

Masonite International Corp., 5.75%, 9/15/26 ⁽¹⁾		75		78

5.38%, 2/1/28 ⁽¹⁾		185		197


				275


Homebuilders – 0.1%

Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp., 6.38%, 5/15/25 ⁽¹⁾		25		25

4.88%, 2/15/30 ⁽¹⁾		50		47

Mattamy Group Corp., 4.63%, 3/1/30 ⁽¹⁾		75		76


				148


Industrial Other – 0.0%

Ritchie Bros. Auctioneers, Inc., 5.38%, 1/15/25⁽¹⁾		75		77


Integrated Oils – 0.1%

Cenovus Energy, Inc., 3.00%, 8/15/22		50		49

5.25%, 6/15/37		25		22

6.75%, 11/15/39		25		25

5.40%, 6/15/47		50		42


				138


Machinery Manufacturing – 0.3%

Husky III Holding Ltd., 13.00%, (100% Cash), 2/15/25 ^(1) (5)		50		52

Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 4/15/26 ⁽¹⁾		520		517


				569



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 10.3% continued

Metals & Mining – 1.7%

Alcoa Nederland Holding B.V., 5.50%, 12/15/27 ⁽¹⁾		$115		$120

ArcelorMittal S.A., 4.55%, 3/11/26		25		27

7.25%, 10/15/39		25		31

Baffinland Iron Mines Corp./Baffinland Iron Mines L.P., 8.75%, 7/15/26 ⁽¹⁾		1,695		1,746

Constellium S.E., 5.63%, 6/15/28 ⁽¹⁾		285		291

First Quantum Minerals Ltd., 6.50%, 3/1/24 ⁽¹⁾		200		192

Hudbay Minerals, Inc., 7.63%, 1/15/25 ⁽¹⁾		262		267

6.13%, 4/1/29 ⁽¹⁾		180		178

IAMGOLD Corp., 5.75%, 10/15/28 ⁽¹⁾		75		73

Mountain Province Diamonds, Inc., 8.00%, 12/15/22 ⁽¹⁾		25		19

New Gold, Inc., 7.50%, 7/15/27 ⁽¹⁾		25		27

Northwest Acquisitions ULC/Dominion Finco, Inc., 7.13%, 11/1/22 ⁽¹⁾⁽³⁾		1,905		30

Taseko Mines Ltd., 8.75%, 6/15/22 ⁽¹⁾		75		71


				3,072


Oil & Gas Services & Equipment – 0.3%

Ensign Drilling, Inc., 9.25%, 4/15/24 ⁽¹⁾		100		38

Nabors Industries Ltd., 7.25%, 1/15/26 ⁽¹⁾		25		12

7.50%, 1/15/28 ⁽¹⁾		50		24

Noble Holding International Ltd., 7.88%, 2/1/26 ⁽¹⁾^{(2) (3)}		100		24

Precision Drilling Corp., 7.75%, 12/15/23		25		19

5.25%, 11/15/24		115		77

7.13%, 1/15/26 ⁽¹⁾		75		48

Shelf Drilling Holdings Ltd., 8.25%, 2/15/25 ⁽¹⁾		125		49

Transocean Guardian Ltd., 5.88%, 1/15/24 ⁽¹⁾		58		38



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 10.3% continued

Oil & Gas Services & Equipment – 0.3% continued

Transocean Sentry Ltd., 5.38%, 5/15/23 ⁽¹⁾		$50		$34

Transocean, Inc., 7.25%, 11/1/25 ⁽¹⁾		720		202

11.50%, 1/30/27 ⁽¹⁾		114		47

8.00%, 2/1/27 ⁽¹⁾		50		14

7.50%, 4/15/31		13		2

6.80%, 3/15/38		25		3


				631


Pharmaceuticals – 0.8%

Bausch Health Cos., Inc., 5.50%, 3/1/23 ⁽¹⁾		33		33

5.88%, 5/15/23 ⁽¹⁾		4		4

6.13%, 4/15/25 ⁽¹⁾		540		553

9.00%, 12/15/25 ⁽¹⁾		200		218

7.00%, 1/15/28 ⁽¹⁾		25		26

5.00%, 1/30/28 ⁽¹⁾		150		146

6.25%, 2/15/29 ⁽¹⁾		75		77

7.25%, 5/30/29 ⁽¹⁾		75		81

5.25%, 1/30/30 ⁽¹⁾		75		74

Endo Dac/Endo Finance LLC/Endo Finco, Inc., 9.50%, 7/31/27 ⁽¹⁾		72		75

6.00%, 6/30/28 ⁽¹⁾		91		67

Mallinckrodt International Finance S.A./Mallinckrodt CB LLC, 5.75%, 8/1/22 ⁽¹⁾		100		26

Teva Pharmaceutical Finance Netherlands III B.V., 4.10%, 10/1/46		75		62


				1,442


Railroad – 0.2%

Bombardier, Inc., 6.00%, 10/15/22 ⁽¹⁾		25		23

6.13%, 1/15/23 ⁽¹⁾		225		193

7.50%, 12/1/24 ⁽¹⁾		50		38

7.88%, 4/15/27 ⁽¹⁾		75		57


				311


Refining & Marketing – 0.0%

Parkland Corp., 6.00%, 4/1/26 ⁽¹⁾		25		26

5.88%, 7/15/27 ⁽¹⁾		50		53


				79



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 10.3% continued

Restaurants – 0.5%

1011778 B.C. ULC/New Red Finance, Inc., 4.25%, 5/15/24 ⁽¹⁾		$115		$117

5.75%, 4/15/25 ⁽¹⁾		65		70

5.00%, 10/15/25 ⁽¹⁾		635		651

10/15/30 ⁽¹⁾⁽⁶⁾		25		25


				863


Semiconductors – 0.1%

ams A.G., 7.00%, 7/31/25⁽¹⁾		200		212


Software & Services – 0.3%

Camelot Finance S.A., 4.50%, 11/1/26 ⁽¹⁾		50		51

Nielsen Co. Luxembourg (The) S.a.r.l., 5.00%, 2/1/25 ⁽¹⁾		205		209

Open Text Corp., 5.88%, 6/1/26 ⁽¹⁾		215		223

3.88%, 2/15/28 ⁽¹⁾		50		50


				533


Travel & Lodging – 0.8%

Carnival Corp., 3.95%, 10/15/20		25		25

11.50%, 4/1/23 ⁽¹⁾		345		387

10.50%, 2/1/26 ⁽¹⁾		185		205

9.88%, 8/1/27 ⁽¹⁾		135		143

NCL Corp. Ltd., 12.25%, 5/15/24 ⁽¹⁾		25		28

10.25%, 2/1/26 ⁽¹⁾		50		52

Royal Caribbean Cruises Ltd., 5.25%, 11/15/22		100		89

10.88%, 6/1/23 ⁽¹⁾		65		73

9.13%, 6/15/23 ⁽¹⁾		25		27

11.50%, 6/1/25 ⁽¹⁾		170		197

Viking Cruises Ltd., 6.25%, 5/15/25 ⁽¹⁾		75		59

13.00%, 5/15/25 ⁽¹⁾		50		58

5.88%, 9/15/27 ⁽¹⁾		25		19

VOC Escrow Ltd., 5.00%, 2/15/28 ⁽¹⁾		25		22


				1,384



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

FOREIGN ISSUER BONDS - 10.3% continued

Wireless Telecommunications Services – 1.3%

Altice France S.A., 7.38%, 5/1/26 ⁽¹⁾		$490		$513

8.13%, 2/1/27 ⁽¹⁾		200		218

5.50%, 1/15/28 ⁽¹⁾		265		268

Connect Finco S.a.r.l./Connect U.S. Finco LLC,

6.75%, 10/1/26 ⁽¹⁾		290		291

Digicel Group 0.5 Ltd., 10.00%, 4/1/24 ⁽⁵⁾		219		168

8.00%, 4/1/25 ⁽¹⁾⁽⁵⁾		45		16

Intelsat Jackson Holdings S.A., 8.00%, 2/15/24 ⁽¹⁾⁽¹²⁾		300		305

8.50%, 10/15/24 ⁽¹⁾⁽³⁾		75		48

9.75%, 7/15/25 ⁽¹⁾⁽³⁾		200		131

Intelsat Luxembourg S.A., 8.13%, 6/1/23 ⁽³⁾		50		2

Telesat Canada/Telesat LLC, 4.88%, 6/1/27 ⁽¹⁾		50		50

6.50%, 10/15/27 ⁽¹⁾		75		76

Vmed O2 UK Financing I PLC, 4.25%, 1/31/31 ⁽¹⁾		200		204

Vodafone Group PLC,

(Variable, USD Swap 5Y + 4.87%), 7.00%, 4/4/79 ⁽⁸⁾		75		89


				2,379


Wireline Telecommunications Services – 0.5%

Altice France Holding S.A., 10.50%, 5/15/27 ⁽¹⁾		200		222

6.00%, 2/15/28 ⁽¹⁾		465		443

Telecom Italia Capital S.A., 6.00%, 9/30/34		100		116

7.20%, 7/18/36		25		32

Telecom Italia S.p.A., 5.30%, 5/30/24 ⁽¹⁾		25		27


				840

Total Foreign Issuer Bonds

(Cost $25,213)				18,967



TERM LOANS - 10.2% ⁽¹³⁾

Auto Parts Manufacturing – 1.4%

DexKo Global, Inc., Term B Loan,

(Floating, ICE LIBOR USD 3M + 8.25%), 9.25%, 7/24/25		1,460		1,350

PRINCIPAL

AMOUNT

(000S)

VALUE
(000S)

TERM LOANS - 10.2% ⁽¹³⁾ continued

Auto Parts Manufacturing – 1.4% continued

Truck Hero, Inc., Initial Term Loan,

(Floating, ICE LIBOR USD 1M + 8.25%, 1.00% Floor), 9.25%, 4/21/25

$1,230

$1,181

2,531

Casinos & Gaming – 0.8%

18 Fremont Street Acquisition LLC, Term Loan,

(Floating, ICE LIBOR USD 3M + 8.00%, 1.50% Floor), 9.50%, 8/9/25

1,590

1,431

Boyd Gaming Corp., Refinancing Term B Loan,

(Floating, ICE LIBOR USD 1W + 2.25%), 2.36%, 9/15/23

Golden Nugget, Inc., Initial B Term Loan,

(Floating, ICE LIBOR USD 2M + 2.50%, 0.75% Floor), 3.25%, 10/4/23

1,525

Chemicals – 0.2%

Consolidated Energy Finance S.A., Initial Term Loan,

(Floating, ICE LIBOR USD 1M + 2.50%), 2.66%, 5/7/25

Solenis Holdings LLC, Initial Dollar Term Loan,

(Floating, ICE LIBOR USD 3M + 4.00%), 4.26%, 6/26/25

142

139

Solenis Holdings LLC, Initial Term Loan,

(Floating, ICE LIBOR USD 3M + 8.50%), 8.76%, 6/26/26

105

UTEX Industries, Inc., Initial Loan,

(Floating, ICE LIBOR USD 3M + 7.25%, 1.00% Floor), 8.56%, 5/20/22 ⁽³⁾⁽⁹⁾

2,200

314

Consumer Products – 0.5%

Parfums Holding Co., Inc., Initial Term Loan,

(Floating, ICE LIBOR USD 3M + 8.75%, 1.00% Floor), 9.75%, 6/30/25

950

860



	PRINCIPAL AMOUNT (000S)		VALUE (000S)

TERM LOANS - 10.2% ⁽¹³⁾ continued

Containers & Packaging – 0.1%

BWay Holding Co., Initial Term Loan,

(Floating, ICE LIBOR USD 3M + 3.25%), 3.52%, 4/3/24		$112		$105

Flex Acquisition Co., Inc., Initial Term Loan,

(Floating, ICE LIBOR USD 3M + 3.00%, 1.00% Floor), 4.00%, 12/29/23		85		83


				188


Distributors - Consumer Discretionary – 0.2%

American Tire Distributors, Inc., Initial Term Loan,

(Floating, ICE LIBOR USD 3M + 6.00%, 1.00% Floor), 7.00%, 9/1/23		197		193

(Floating, ICE LIBOR USD 1M + 7.50%, 1.00% Floor), 8.50%, 9/2/24		115		98

(Floating, ICE LIBOR USD 3M + 7.50%, 1.00% Floor), 8.50%, 9/2/24		14		12


				303


Educational Services – 0.8%

KUEHG Corp., Tranche B Term Loan,

(Floating, ICE LIBOR USD 3M + 8.25%, 1.00% Floor), 9.25%, 8/22/25		1,020		895

Learning Care Group (US) No. 2, Inc., Initial Term Loan,

(Floating, ICE LIBOR USD 3M + 7.50%, 1.00% Floor), 8.50%, 3/13/26		770		637


				1,532


Entertainment Content – 0.1%

Allen Media LLC, Initial Term Loan,

(Floating, ICE LIBOR USD 3M + 5.50%), 5.72%, 2/10/27		75		72

Diamond Sports Group LLC, Term Loan,

(Floating, ICE LIBOR USD 1M + 3.25%), 3.40%, 8/24/26		49		38


				110

PRINCIPAL
AMOUNT
(000S)

VALUE
(000S)

TERM LOANS - 10.2% ⁽¹³⁾ continued

Entertainment Resources – 0.1%

Life Time Fitness, Inc., 2017 Refinancing Term Loan,

(Floating, ICE LIBOR USD 3M + 2.75%, 1.00% Floor), 3.75%, 6/10/22

$90

$82

UFC Holdings LLC, Term B-1 Loan,

(Floating, ICE LIBOR USD 3M + 3.25%, 1.00% Floor), 4.25%, 4/29/26

153

Exploration & Production – 0.0%

California Resources Corp., Loan,

(Floating, ICE LIBOR USD 1M + 10.38%, 1.00% Floor),
11.38%, 12/31/21⁽⁷⁾

–

Health Care – 0.1%

Milano Acquisition Corp., Term Loan B,
8/17/27⁽¹⁴⁾

225

222

Health Care Facilities & Services – 1.8%

Air Methods Corp., Initial Term Loan,

(Floating, ICE LIBOR USD 3M + 3.50%, 1.00% Floor),
4.50%, 4/22/24

Dentalcorp Health Services ULC, Initial Term Loan,

(Floating, ICE LIBOR USD 1M + 7.50%, 1.00% Floor), 8.50%, 6/8/26

1,580

1,418

Lanai Holdings III, Inc., Initial Term Loan,

(Floating, ICE LIBOR USD 3M + 10.50%, 1.00% Floor), 11.50%, 8/28/23

689

517

Packaging Coordinators Midco, Inc., Initial Term Loan,

(Floating, ICE LIBOR USD 1M + 8.75%, 1.00% Floor), 9.75%, 7/1/24

1,450

1,439

3,394

Home Improvement – 0.1%

Ply Gem Midco, Inc., Initial Term Loan,

(Floating, ICE LIBOR USD 1M + 3.75%), 3.90%, 4/12/25

114

112

PRINCIPAL

AMOUNT

(000S)

VALUE

(000S)

TERM LOANS - 10.2% ⁽¹³⁾ continued

Industrial Other – 0.0%

Golden Nugget Online Gaming, Inc., 2020 Initial Term Loan,

(Floating, ICE LIBOR USD 3M +
12.00%, 1.00% Floor), 13.00%, 10/4/23

$25

$28

Internet Media – 0.7%

Auction.com LLC, Term Loan,

(Floating, ICE LIBOR USD 1M + 8.00%, 1.00% Floor), 9.00%, 9/29/25(9)

1,360

1,306

Machinery Manufacturing – 0.1%

Welbilt, Inc., Term B Loan,

(Floating, ICE LIBOR USD 1M + 2.50%), 2.65%, 10/23/25

125

113

Manufactured Goods – 0.0%

Neenah Foundry Co., Loan,

(Floating, ICE LIBOR USD 2M + 9.00%), 10.00%, 12/13/22

Metals & Mining – 0.3%

RA Acquisition Purchaser LLC, Notes,

(Floating, ICE LIBOR USD 3M + 10.00%, 1.00% Floor), 11.00%, 5/31/23⁽⁹⁾

671

623

Oil & Gas Services & Equipment – 0.0%

ChampionX Holding, Inc., Term Loan,

(Floating, ICE LIBOR USD 3M + 5.00%, 1.00% Floor), 6.00%, 6/3/27

Oil, Gas & Coal – 0.0%

Parker Drilling Co., Initial Loan,

(Floating, ICE LIBOR USD 3M + 11.00% Cash, 2.00% PIK), 13.00%, 3/26/24⁽⁵⁾

Pipeline – 0.3%

BCP Raptor LLC, Initial Term Loan,

(Floating, ICE LIBOR USD 3M + 4.25%, 1.00% Floor), 5.25%, 6/24/24

192

149

Brazos Delaware II LLC, Initial Term Loan,

(Floating, ICE LIBOR USD 1M + 4.00%), 4.16%, 5/21/25

207

156

PRINCIPAL

AMOUNT

(000S)

VALUE

(000S)

TERM LOANS - 10.2% ⁽¹³⁾ continued

Pipeline – 0.3% continued

Lower Cadence Holdings LLC, Initial Term Loan,

(Floating, ICE LIBOR USD 1M + 4.00%), 4.15%, 5/22/26

$311

$287

Prairie ECI Acquiror L.P., Initial Term Loan,

(Floating, ICE LIBOR USD 1M + 4.75%), 4.90%, 3/11/26

612

Power Generation – 0.1%

Granite Generation LLC, Term Loan,

(Floating, ICE LIBOR USD 1M + 3.75%, 1.00% Floor), 4.75%, 11/9/26

100

(Floating, ICE LIBOR USD 3M + 3.75%, 1.00% Floor), 4.75%, 11/9/26

117

Property & Casualty Insurance – 1.3%

Asurion LLC, Second Lien Replacement B-2 Term Loan,

(Floating, ICE LIBOR USD 1M + 6.50%), 6.65%, 8/4/25

2,330

Hub International Ltd., 2019 Incremental Term Loan,

(Floating, ICE LIBOR USD 3M + 4.00%, 1.00% Floor), 5.00%, 4/25/25

2,429

Publishing & Broadcasting – 0.1%

Cengage Learning, Inc., 2016 Refinancing Term Loan,

(Floating, ICE LIBOR USD 3M + 4.25%, 1.00% Floor), 5.25%, 6/7/23

123

103

Clear Channel Outdoor Holdings, Inc., Term B Loan,

(Floating, ICE LIBOR USD 3M + 3.50%), 3.76%, 8/21/26

148

Restaurants – 0.0%

1011778 B.C. Unlimited Liability Co., Term B-4 Loan,

(Floating, ICE LIBOR USD 1M + 1.75%), 1.90%, 11/19/26

PRINCIPAL

AMOUNT

(000S)

VALUE
(000S)

TERM LOANS - 10.2% ⁽¹³⁾ continued

Retail - Consumer Discretionary – 0.3%

Bass Pro Group LLC, Initial Term Loan,

(Floating, ICE LIBOR USD 3M + 5.00%, 0.75% Floor), 5.75%, 9/25/24

$460

$456

Staples, Inc., 2019 Refinancing New Term B-1 Loan,

(Floating, ICE LIBOR USD 3M + 5.00%), 5.25%, 4/16/26

524

Software & Services – 0.4%

Redstone Holdco 2 L.P., Initial Term Loan,

(Floating, ICE LIBOR USD 3M + 5.00%, 1.00% Floor), 6.00%, 9/1/27

100

Software Luxembourg Acquisition S.a r.l., Second Out Term Loan,

(Floating, ICE LIBOR USD 3M + 7.50%, 1.00% Floor), 8.50%, 4/27/25

630

617

717

Travel & Lodging – 0.1%

Carnival Corp., Initial Advance,

(Floating, ICE LIBOR USD 1M + 7.50%, 1.00% Floor), 8.50%, 6/30/25

105

106

Utilities – 0.0%

PG&E Corp., Loan,

(Floating, ICE LIBOR USD 1M + 4.50%, 1.00% Floor), 5.50%, 6/23/25

Wireless Telecommunications Services – 0.1%

Altice France S.A., Incremental Term Loan,

(Floating, ICE LIBOR USD 1M + 4.00%), 4.15%, 8/14/26

Intelsat Jackson Holdings S.A., DIP Facility,
7/13/22 ⁽¹⁴⁾⁽¹⁵⁾

(Floating, ICE LIBOR USD 3M + 5.50%, 1.00% Floor), 6.50%, 7/13/22

PRINCIPAL

AMOUNT

(000S)

VALUE
(000S)

TERM LOANS - 10.2% ⁽¹³⁾ continued

Wireless Telecommunications Services – 0.1% continued

Intelsat Jackson Holdings S.A., Tranche B-3 Term Loan,

(Floating, ICE PRIME USD 1M + 4.75%, 1.00% Floor), 8.00%, 11/27/23 ⁽¹²⁾

$125

256

Wireline Telecommunications Services – 0.2%

Frontier Communications Corp., Term B-1 Loan,

(Floating, ICE PRIME USD 1M + 2.75%, 0.75% Floor), 6.00%, 6/15/24⁽¹²⁾

311

306

Total Term Loans

(Cost $22,022)

18,756

NUMBER

OF SHARES

VALUE
(000S)

COMMON STOCKS – 1.6%

Distributors - Consumer Discretionary – 0.2%

ATD New Holdings, Inc.*

22,076

$353

Iron & Steel – 0.0%

Algoma Steel Parent GP S.A.⁽¹⁰⁾*

4,899

—

Algoma Steel Parent S.C.A.⁽⁹⁾*

4,899

Metals & Mining – 0.9%

Real Alloy Parent, Inc.⁽⁹⁾*

1,647

Oil, Gas & Coal – 0.1%

Cloud Peak Energy, Inc.⁽¹⁰⁾*

—

Denbury, Inc.*

2,219

Parker Drilling Co.*

917

Weatherford International PLC*

511

Whiting Petroleum Corp.*

1,946

Software – 0.0%

Avaya Holdings Corp.*

2,928

Technology Services – 0.4%

Cognizant Technology Solutions Corp., Class A⁽⁹⁾

5,898

778

Total Common Stocks

(Cost $3,334)

2,919

OTHER – 0.0%

Escrow Appvion, Inc.⁽¹⁰⁾*

225,000

—

Escrow Bruin E&P Partners LLC⁽¹⁾^{(7) (9)}*

225,000

—

NUMBER

OF SHARES

VALUE
(000S)

OTHER - 0.0% continued

Escrow Cloud Peak Energy,
Inc.⁽¹⁰⁾*

250,000

$—

Escrow GenOn Energy, Inc.⁽¹⁰⁾*

25,000

—

Escrow Hercules Offshore,
Inc.⁽¹⁰⁾*

3,570

—

Escrow Washington Mutual
Bank⁽⁹⁾*

250,000

Total Other

(Cost $355)

NUMBER
OF WARRANTS

VALUE
(000S)

WARRANTS – 0.0%

Appvion, Inc. Class A, Exp. 6/13/23, Strike $0.00⁽¹⁰⁾*

219

$—

Appvion, Inc. Class B, Exp. 6/13/23, Strike $0.00⁽¹⁰⁾*

219

—

iHeartMedia, Inc., Exp. 5/1/39, Strike $0.00*

419

Total Warrants

(Cost $—)

NUMBER
OF SHARES

VALUE
(000S)

INVESTMENT COMPANIES – 3.1%

Northern Institutional Funds -
U.S. Government Portfolio (Shares), 0.00%⁽¹⁶⁾⁽¹⁷⁾

5,612,080

$5,612

Total Investment Companies

(Cost $5,612)

5,612

Total Investments – 97.6%

(Cost $191,181)

178,764

Other Assets less Liabilities – 2.4%

4,303

NET ASSETS – 100.0%

$183,067

⁽¹⁾

⁽²⁾

Restricted security that has been deemed illiquid. At September 30, 2020, the value of these restricted illiquid securities amounted to approximately $100,000 or 0.1% of net assets. Additional information on these restricted illiquid securities is as follows:



SECURITY	ACQUISITION AND ENFORCEABLE DATE		COST (000S)

Denbury, Inc., 6.38%, 12/31/24		6/21/2019		$77

EP Energy LLC/Everest Acquisition Finance, Inc., 9.38%, 5/1/24		6/22/18-1/9/19		163

Hertz (The) Corp., 6.00%, 1/15/28		11/14/19-4/7/20		90



SECURITY	ACQUISITION AND ENFORCEABLE DATE		COST (000S)

Noble Holding International Ltd., 7.88%, 2/1/26		1/17/18-11/4/19		$94

OGX Austria GmbH, 8.50%, 6/1/18		5/26/11-4/17/13		2,265

OGX Austria GmbH, 8.38%, 4/1/22		5/30/12-4/18/13		1,497

⁽³⁾

Issuer has defaulted on terms of debt obligation. Income is not being accrued.

⁽⁴⁾

Perpetual bond. Maturity date represents next call date.

⁽⁵⁾

Security is a payment in-kind bond (PIK), distributions received in-kind unless otherwise noted in the description.

⁽⁶⁾

When-Issued Security. Coupon rate is not in effect at September 30, 2020.

⁽⁷⁾

Value rounds to less than one thousand.

⁽⁸⁾

Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end.

⁽⁹⁾

Level 3 asset.

⁽¹⁰⁾

Level 3 asset that is worthless, bankrupt or has been delisted.

⁽¹¹⁾

Variable rate is calculated based on the issuer’s annual income subject to certain fees.

⁽¹²⁾

Issuer has defaulted on terms of debt obligation.

⁽¹³⁾

Variable rate security. Rate as of September 30, 2020 is disclosed.

⁽¹⁴⁾

Position is unsettled. Contract rate was not determined at September 30, 2020 and does not take effect until settlement date.

⁽¹⁵⁾

Unfunded loan commitment. An unfunded loan commitment is a contractual obligation for future funding at the option of the borrower. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement. See Note 2.

⁽¹⁶⁾

Investment in affiliated Portfolio. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to Northern Institutional Funds.

⁽¹⁷⁾	7-day current yield as of September 30, 2020 is disclosed.

*	Non-Income Producing Security

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

1M - 1 Month

1W - 1 Week

2M - 2 Month

3M - 3 Month

5Y - 5 Year

CMT - Constant Maturity

ICE - Intercontinental Exchange

LIBOR - London Interbank Offered Rate

MSCI - Morgan Stanley Capital International

PIK - Payment In-Kind

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).



INVESTMENTS	LEVEL 1 (000S)		LEVEL 2 (000S)		LEVEL 3 (000S)		TOTAL (000S)
Convertible Bonds⁽¹⁾	$	—	$	396	$	—	$	396

Corporate Bonds:

Entertainment Resources		—		2,382		1,086		3,468

Iron & Steel		—		—		2,670		2,670

Manufactured Goods		—		357		1,519		1,876

All Other Industries⁽¹⁾		—		124,094		—		124,094

Total Corporate Bonds		—		126,833		5,275		132,108

Foreign Issuer Bonds⁽¹⁾		—		18,967		—		18,967

Term Loans:

Chemicals		—		303		11		314

Internet Media		—		—		1,306		1,306

Metals & Mining		—		—		623		623

All Other Industries⁽¹⁾		—		16,513		—		16,513

Total Term Loans		—		16,816		1,940		18,756

Common Stocks:

Distributors - Consumer Discretionary		—		353		—		353

Oil, Gas & Coal		76		—		—		76

Software		45		—		—		45

All Other Industries⁽¹⁾		—		—		2,445		2,445

Total Common Stocks		121		353		2,445		2,919

Other		—		—		3		3

Warrants		—		3		—		3

Investment Companies		5,612		—		—		5,612

Total Investments	$	5,733	$	163,368	$	9,663	$	178,764

⁽¹⁾

Classifications as defined in the Schedule of Investments.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

Securities valued at $23 included in the Balance as of 9/30/20 above were valued using evaluated prices provided by a third party provider. Valuation using evaluated prices by a third party provider were also responsible for securities that were transferred into level 3, as noted above. Securities valued at $9,640 included in the Balance as of 9/30/20 above were valued using prices provided by the Fund’s investment adviser’s pricing and valuation committee. Transfers out of Level 3, noted above, were due to the Fund receiving an evaluated price from a vendor.

⁽¹⁾ The significant unobservable inputs that were used in the fair value measurement are: Yield. Significant decreases (increases) in yield would have resulted in a significantly higher (lower) fair value measurement.

1. ORGANIZATION

Northern Funds (the “Trust”) is a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust offers 43 funds as of September 30, 2020, each with its own investment objective (e.g., long-term capital appreciation, total return or income consistent with preservation of capital). The Active M Emerging Markets Equity, Active M International Equity, Multi-Manager Global Listed Infrastructure, Multi-Manager Global Real Estate, Northern Engage360^TM, Multi-Manager Emerging Markets Debt Opportunity and Multi-Manager High Yield Opportunity Funds (each a “Fund” and collectively, the “Funds”) are separate, diversified investment portfolios of the Trust, except for the Multi-Manager Global Listed Infrastructure and Multi-Manager Emerging Markets Debt Opportunity Funds which are non-diversified portfolios. Non-diversified portfolios may invest a relatively high percentage of their net assets in obligations of a limited number of issuers. Each of the Funds is presented herein.

2. SIGNIFICANT ACCOUNTING POLICIES

A) VALUATION OF SECURITIES AND DERIVATIVES CONTRACTS

Securities are valued at their fair value. Securities traded on United States (“U.S.”) securities exchanges or in the NASDAQ National Market System are principally valued at the regular trading session closing price (generally, 3:00 P.M. Central Time)

on the exchange or market in which such securities are principally traded. If any such security is not traded on a valuation date, it is valued at the most recent quoted bid price. Over-the-counter securities not reported in the NASDAQ National Market System are also generally valued at the most recent quoted bid price. Fixed income securities and term loans, however, may be valued on the basis of evaluated prices provided by the Funds’ approved independent third-party pricing services when such prices are believed to reflect the fair value of such securities or broker provided prices. Such prices may be determined by taking into account other similar securities’ prices, yields, maturities, call features, ratings, prepayment speeds, credit risks, cash flows, institutional size trading in similar groups of securities and developments related to specific securities.

Shares of open-end investment companies, other than exchange-traded funds, are valued at their NAV. Spot and forward foreign currency exchange contracts are generally valued using an independent pricing service. Exchange-traded financial futures and options are valued at the settlement price as established by the exchange on which they are traded. Over-the-counter options are valued at broker-provided bid prices, as are swaps, caps, collars and floors. Centrally cleared swap agreements are generally valued using an independent pricing service. The foregoing prices may be obtained from one or more independent pricing services or, as needed or applicable, independent broker-dealers. Short-term investments with a maturity of 60 days or less are valued at their amortized cost, which NTI, as authorized by the Trust’s Board of Trustees (the “Board”), has determined approximates fair value.

B) FUTURES CONTRACTS Certain Funds invest in long or short exchange-traded futures contracts for hedging purposes, in anticipation of the purchase of securities and for liquidity management purposes. The Multi-Manager Emerging Markets Debt Opportunity Fund may also use these investments for non-hedging purposes in order to seek exposure to certain countries or currencies. When used as a hedge, a Fund may sell a futures contract in order to offset a decrease in the fair value of its portfolio securities that might otherwise result from a market decline. A Fund may do so either to hedge the value of its portfolio securities as a whole, or to protect against declines occurring prior to sales of securities in the value of the securities to be sold. Conversely, a Fund may purchase a futures contract as a hedge in anticipation of purchases of securities. In addition, a Fund may utilize futures contracts in anticipation of changes in the composition of its portfolio holdings. A Fund bears the market risk arising from changes in the value of these financial instruments. At the time a Fund enters into a futures contract, it is generally required to make a margin deposit with the custodian of a specified amount of liquid assets. Futures are marked-to-market each day with the change in value reflected in the unrealized gains or losses. Risk may arise as a result of the potential inability of the counterparties to meet the terms of their contracts. Credit risk is mitigated to the extent that the exchange on which a particular futures contract is traded assumes the risk of a counterparty defaulting on its obligations under the contract. The Statements of Operations include any realized gains or losses on closed futures contracts in Net realized gains (losses) on futures contracts, and any unrealized gains or losses on open futures contracts in Net change in unrealized appreciation (depreciation) on futures contracts.

The contract position and investment strategy utilized during the six months ended September 30, 2020, was as follows:



	CONTRACT	INVESTMENT
	POSITION	STRATEGY

Active M Emerging Markets Equity	Long	Liquidity

Active M International Equity	Long	Liquidity

Multi-Manager Global Listed Infrastructure	Long	Liquidity

Northern Engage360^TM	Long	Liquidity

At September 30, 2020, the aggregate fair value of securities pledged to cover margin requirements for open positions for the Active M Emerging Markets Equity, Active M International Equity, Multi-Manager Global Listed Infrastructure and Northern Engage360^TM Funds was approximately $1,989,000, $4,459,000, $4,179,000 and $700,000, respectively. Further information on the impact of these positions on the Funds’ financial statements can be found in Note 10.

D) FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS Certain Funds are authorized to enter into forward foreign currency exchange contracts, or forward currency exchange contracts, for the purchase or sale of a specific foreign currency at a specified exchange rate on a future date. The Multi-Manager Emerging Markets Debt Opportunity Fund may enter into forward foreign currency contracts for hedging purposes and to seek exposure to certain currencies. Each of the other Funds may enter into these contracts for hedging purposes, in anticipation of the purchase of securities and for liquidity management purposes, but not for speculative purposes or to seek to enhance total return. The Funds may also enter into forward currency exchange contracts when seeking to hedge against fluctuations in foreign currency exchange rates. The objective of a Fund’s foreign currency hedging transactions is to reduce the risk that the U.S. dollar value of a Fund’s foreign currency denominated securities will decline in value due to changes in foreign currency exchange rates. All forward foreign currency exchange contracts are marked-to-market daily at the applicable exchange rates. Any resulting unrealized gains or losses are recorded in Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts in the Statements of Operations. Gains or losses are recorded for financial statement purposes as unrealized until the settlement date. Realized gains or losses, if any, are included in Net realized gains (losses) on forward foreign currency exchange contracts in the Statements of Operations.

the currencies they trade, and these markets can experience periods of illiquidity. Further information on the impact of these positions on the Funds’ financial statements can be found in Note 10. With respect to forward foreign currency exchange transactions that were outstanding as of September 30, 2020 for the Multi-Manager Emerging Markets Debt Opportunity Fund, approximately $460,000 was posted by the counterparty and is included in Due from broker on the Statements of Assets and Liabilities.

E) CREDIT DEFAULT SWAP AGREEMENTS The Multi-Manager Emerging Markets Debt Opportunity Fund may invest in credit default swap agreements for hedging purposes or to gain exposure to certain countries or currencies. The Fund enters into credit default swap agreements either as a buyer or seller of protection. The buyer of protection in a swap agreement is the party that makes a periodic stream of payments to the counterparty based on the fixed rate of the agreement to the party that is the seller of protection. In exchange for the fixed rate payments received, the seller of protection agrees to provide credit protection to the buyer in the form of payment should a credit default event on the referenced obligation occur. In the event of a credit default event, as defined under the terms of each particular swap agreement, if the Fund is the seller of protection, the Fund will either a) pay to the buyer of protection an amount equal to the notional amount of the swap agreement and take delivery of the referenced obligation or underlying securities comprising the referenced index or b) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If the Fund is the buyer of protection and a credit default event should occur, the Fund will either a) receive from the seller of protection in the swap agreement an amount equal to the notional amount of the swap agreement and deliver the referenced obligation or underlying securities comprising the referenced index or b) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If a credit default event should occur, the maximum potential amount of future payments the seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the swap.

The implied credit spreads are disclosed in the Schedule of Investments for those agreements for which the Fund is the protection seller, if any, and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for each swap. The wider the credit spread, the greater the likelihood or risk of default or other credit event occurring for the referenced entity. Events or circumstances that would require the seller to perform under the derivative

agreement are credit events as defined under the terms of that particular swap agreement, such as bankruptcy, cross acceleration, failure to pay, repudiation and restructuring.

The resulting values for credit default agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit default agreement should the notional amount of the swap agreement be closed/sold as of the period end. When compared to the notional amount of the swap, decreasing market values for credit default swaps sold and, conversely, increasing market values for credit default swaps purchased, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

When entering into a credit default swap agreement as a buyer of protection, the Fund may pay an upfront premium to enter into the agreement. When selling protection, the Fund may receive this upfront premium paid from the buyer. During the term of the credit default swap agreement, the discounted value of the estimated stream of fixed rate payments from buyer to seller yet to be made is recorded as unrealized gain or loss on credit default swap agreements, with any interest payments already having been made being recognized as realized gain or loss on credit default swap agreements. This treatment will occur until the credit default swap is sold or reaches its expiration. Any upfront payments made or received upon entering into a credit default swap agreement are treated as part of the cost and are reflected as part of the unrealized appreciation (depreciation) on valuation. Upon termination of the swap agreement, the amount included in the cost is reversed and becomes part of the realized gain (loss) on credit default swap agreements. Unrealized appreciation (depreciation) on credit default swap agreements, if any, is included in the Statements of Assets and Liabilities of the Multi-Manager Emerging Markets Debt Opportunity Fund, with corresponding changes in unrealized appreciation (depreciation) included in the Statements of Operations.

Counterparty credit risk may arise as a result of the failure of the swap counterparty to comply with the terms of the swap agreement. Additionally, risks may arise with respect to the underlying issuer of the referenced security. Therefore, the sub-adviser considers the creditworthiness of each underlying issuer of the referenced security in addition to the creditworthiness of the counterparty. In addition, the sub-advisers of the Multi-Manager Emerging Markets Debt Opportunity Fund may use different counterparties to minimize credit risk and limit the exposure to any individual counterparty. As stipulated in each swap agreement, collateral may be posted between the Fund and its counterparties to mitigate credit risk. No credit default swap agreements were held during the six months ended September 30, 2020.

F) INTEREST RATE SWAP AGREEMENTS The Multi-Manager Emerging Markets Debt Opportunity Fund may invest in interest rate swap agreements for hedging purposes or to gain exposure to certain countries or currencies. An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals at agreed upon fixed rates or at rates based upon, or calculated by, reference to changes in specified prices or interest rates for a specified notional amount.

Interest payments earned or charged under the terms of the interest rate swap agreements are recorded as realized gain (loss) on interest rate swap agreements. The swap interest receivable or payable as of September 30, 2020, if any, is included as unrealized appreciation (depreciation) on bilateral interest rate swap agreements on the Statements of Assets and Liabilities. Unrealized appreciation (depreciation) on bilateral interest rate swap agreements and variation margin on centrally cleared interest rate swap agreements, if any, is included in the Statements of Assets and Liabilities of the Multi-Manager Emerging Markets Debt Opportunity Fund, with corresponding changes in unrealized appreciation (depreciation) included in the Statements of Operations.

Risks may arise as a result of the failure of the counterparty to the interest rate swap agreement to comply with the terms of the agreement. The loss incurred by the failure of the counterparty is generally limited to the swap interest payment to be received by the Fund and/or the termination value at the end of the agreement. Therefore, the sub-adviser considers the creditworthiness of each counterparty to a swap agreement in evaluating potential credit risk. The sub-adviser may use different counterparties to minimize credit risk and limit the exposure to any individual counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying counterparties used to minimize credit risk and limit the exposure to any individual counterparty. As stipulated in each interest rate swap agreement, collateral may be posted between the Fund and its counterparties to mitigate credit risk.

Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty.

For bilateral interest rate swap transactions that were outstanding as of September 30, 2020, no collateral had been posted by either the Multi-Manager Emerging Markets Debt Opportunity Fund or any counterparty. For centrally cleared interest rate swap transactions that were outstanding as of September 30, 2020, the fair value of cash and foreign currencies pledged to cover margin requirements for open positions for the Multi-Manager Emerging Markets Debt Opportunity Fund was approximately $169,000 and is included in Due from broker on the Statements of Assets and Liabilities. During the six months ended September 30, 2020, the Multi-Manager Emerging Markets Debt Opportunity Fund entered into bilateral and centrally cleared interest rate swap agreements to gain country exposure. Further information on the impact of these positions on the Fund’s financial statements can be found in Note 10.

G) CURRENCY SWAP AGREEMENTS The Multi-Manager Emerging Markets Debt Opportunity Fund may enter into currency swap agreements to manage its exposure to currency risk. Currency swaps usually involve the delivery of the entire principal amount of one designated currency in exchange for the other designated currency. Therefore, the entire principal value of a currency swap is subject to the risk that the other party to the swap will default on its contractual delivery obligations. To the extent that the amount payable by a Fund under a swap is covered by segregated cash or liquid assets, the Funds, NTI and the Funds’ sub-advisers (each, a “Sub-Adviser” and collectively, the “Sub-Advisers”) believe that transactions do not constitute senior securities under the 1940 Act and, accordingly, will not treat them as being subject to a Fund’s borrowing restrictions.

A Fund will not enter into a currency swap unless the unsecured commercial paper, senior debt or the claims-paying ability of the other party thereto is rated either A or A-1 or better by S&P Global’s Rating Services or Fitch Ratings, or A or Prime-1 or better by Moody’s Investor Services, Inc. or a comparable rating from another organization that is recognized as a nationally recognized statistical rating organization or, if unrated by such rating organization, is determined to be of comparable quality by NTI or the Sub-Advisers. If there is a default by the other party to such transaction, a Fund will have contractual remedies pursuant to the agreements related to the transaction. The use of currency swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. If NTI or the Sub-Advisers are incorrect in their forecasts of currency exchange rates the investment performance of a Fund would be less favorable than it would have been if this investment technique were not used.

Interest payments earned or charged under the terms of the currency swap agreements are recorded as realized gain (loss) on currency swap agreements. The swap interest receivable or payable as of September 30, 2020, if any, is included as unrealized gains and losses on currency swap agreements on the Statements of Assets and Liabilities of the Multi-Manager Emerging Markets Debt Opportunity Fund. Unrealized appreciation (depreciation)

on currency swap agreements, if any, are included in the Statements of Assets and Liabilities of the Multi-Manager Emerging Markets Debt Opportunity Fund, with corresponding changes in unrealized appreciation (depreciation) included in the Statements of Operations. No currency swap agreements were held during the six months ended September 30, 2020.

H) WHEN-ISSUED/DELAYED DELIVERY SECURITIES Certain Funds purchase securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time the Fund enters into the commitment to purchase a security, the transaction is recorded and the value of the commitment is reflected in the NAV. The value of the commitment may vary with market fluctuations. No interest accrues to the Fund until settlement takes place. At the time the Fund enters into this type of transaction, it is required to segregate collateral of cash or other liquid assets having a fair value at least equal to the amount of the commitment. The Funds identify securities as segregated with a value that meets or exceeds the value of the commitment. When-issued securities at September 30, 2020, if any, are noted in each Fund’s Schedule of Investments and in aggregate as Payable for when-issued securities, in each Fund’s Statement of Assets and Liabilities.

I) INVESTMENT TRANSACTIONS AND INCOME Investment transactions are recorded as of the trade date. The Funds determine the gain or loss realized from investment transactions by using an identified cost basis method. Interest income is recognized on an accrual basis and includes amortization of premiums and accretion of discounts using the effective yield method. The interest rates reflected in the Schedules of Investments represent either the stated coupon rate, annualized yield on the date of purchase for discount notes, the current reset rate for floating rate securities, the 7-day yield for money market funds or, for interest-only or principal-only securities, the current effective yield. Cost of investments includes amortization of premiums and accretion of discounts, if any. Dividend income, if any, is recognized on the ex-dividend date. Dividends from foreign securities are recorded on the ex-dividend date, or as soon as the information is available. Distributions received from a Fund’s investments in real estate investment trusts (“REITs”) are comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until the fiscal year-end. A Fund records the character of distributions received from the REITs during the year based on estimates available. A Fund’s characterization may be subsequently revised based on information received from the REITs after their tax reporting periods conclude.

J) EXPENSES Each Fund is charged for those expenses that are directly attributable to that Fund. Expenses incurred which do not specifically relate to an individual fund generally are allocated among all funds in the Trust in proportion to each Fund’s relative net assets.

K) REDEMPTION FEES The Active M Emerging Markets Equity, Active M International Equity, Multi-Manager Global Listed Infrastructure, Multi-Manager Global Real Estate, Northern Engage360^TM, Multi-Manager Emerging Markets Debt Opportunity and Multi-Manager High Yield Opportunity Funds each charge a 2 percent redemption fee on the redemption of shares (including by exchange) held for 30 days or less. For the purpose of applying the fee, the Funds use a first-in, first-out (“FIFO”) method so that shares held longest are treated as being redeemed first and shares held shortest are treated as being redeemed last. The redemption fee is paid to the Fund from which the redemption is made and is intended to offset the trading, market impact and other costs associated with short-term money movements in and out of the Funds. The redemption fee may be collected by deduction from the redemption proceeds, or, if assessed after the redemption transaction, through a separate billing. The Funds are authorized to waive the redemption fee for certain types of redemptions as described in the Funds’ prospectus.

Redemption fees were less than $1,000 for the six months ended September 30, 2020, for the Active M Emerging Markets Equity, Active M International Equity, Multi-Manager Global Listed Infrastructure, Multi-Manager Global Real Estate and Multi-Manager High Yield Opportunity Funds. There were no redemption fees for the six months ended September 30, 2020, for the Northern Engage360^TM and Multi-Manager Emerging Markets Debt Opportunity Funds. Redemption fees were approximately $2,000 for the fiscal year ended March 31, 2020, for the Multi-Manager Emerging Markets Debt Opportunity Fund. Redemption fees were less than $1,000 for the fiscal year ended March 31, 2020, for the Active M Emerging Markets Equity, Active M International Equity, Multi-Manager Global Listed Infrastructure and Multi-Manager High Yield Opportunity Funds. There were no redemption fees for the fiscal year ended March 31, 2020, for the Multi-Manager Global Real Estate and Northern Engage360^TM Funds. These amounts are included in Payments for Shares Redeemed in Note 8 – Capital Share Transactions. The impact from redemption fees paid to each Fund was less than $0.001 per share for both periods.

L) UNFUNDED LOAN COMMITMENTS The Multi-Manager High Yield Opportunity Fund may enter into unfunded loan commitments, which are contractual obligations for future funding at the option of the borrower. Unfunded loan commitments, if any, represent a future obligation, in full, and are recorded as a liability on the Statements of Assets and Liabilities at fair value.

M) DISTRIBUTIONS TO SHAREHOLDERS Distributions of dividends from net investment income, if any, are declared and paid as follows:



		DECLARATION AND PAYMENT FREQUENCY

Active M Emerging Markets Equity		Annually

Active M International Equity		Annually

Multi-Manager Global Listed Infrastructure		Quarterly

Multi-Manager Global Real Estate		Quarterly

Northern Engage360^TM		Annually

Multi-Manager Emerging Markets Debt Opportunity		Quarterly

Multi-Manager High Yield Opportunity		Monthly

Distributions of net realized capital gains, if any, are declared and paid at least annually. Distributions to shareholders are recorded on the ex-dividend date.

Income dividends and capital gains distributions are determined in accordance with federal income tax regulations. Such amounts may differ from income and capital gains recorded in accordance with U.S. GAAP. Accordingly, the Funds may periodically make reclassifications among certain of their capital accounts to reflect differences between financial reporting and federal income tax basis distributions. These reclassifications are reported in order to reflect the tax treatment for certain permanent differences that exist between income tax regulations and U.S. GAAP. These reclassifications may relate to paydowns, net operating losses, Section 988 currency gains and losses, Passive Foreign Investment Companies (“PFICs”) gains and losses, recharacterization of dividends received from investments in REITs, recharacterization of distributions received from investments in master limited partnerships (“MLPs”), expired capital loss carryforwards, and gains or losses on in-kind transactions. These reclassifications have no impact on the total net assets or the NAVs per share of the Funds.

At March 31, 2020, the following reclassifications were recorded:



Amounts in thousands	UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)			ACCUMULATED UNDISTRIBUTED NET REALIZED GAINS (LOSSES)			CAPITAL STOCK

Active M Emerging Markets Equity		$ (120	)		$ 120			$–

Active M International Equity		249			(249	)		–

Multi-Manager Global Listed Infrastructure		(362	)		362			–

Multi-Manager Global Real Estate		822			(822	)		–

Northern Engage360^TM		(32	)		34			(2)

Multi-Manager Emerging Markets Debt Opportunity		(5,233	)		5,233			–

N) FEDERAL INCOME TAXES No provision for federal income taxes has been made since each Fund’s policy is to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute, each year, substantially all of its taxable income and capital gains to its shareholders.

For the period from November 1, 2019 through March 31, 2020, the following Funds incurred net capital losses and/or late year ordinary losses for which each Fund intends to treat as having been incurred in the following fiscal year:



Amounts in thousands

Active M International Equity			$16,784

Multi-Manager Emerging Markets Debt Opportunity			768

The Regulated Investment Company Modernization Act of 2010 (the “Act”) eliminated the eight-year limit on the use of capital loss carryforwards that arise in taxable years beginning after its enactment date of December 22, 2010. The changes became effective for the Funds for the fiscal year ended March 31, 2012, except for the Multi-Manager Global Listed Infrastructure Fund, for which they became effective for the period ended March 31, 2013 and the Multi-Manager Emerging Markets Debt Opportunity Fund, for which they became effective for the period ended March 31, 2014. Consequently, capital losses incurred by the Funds in taxable years beginning with the taxable year ended March 31, 2012 or taxable year or period ended November 30, 2012, as applicable, can be carried forward for an unlimited period. However, capital losses incurred by the Funds in taxable years beginning before the taxable year ended March 31, 2012 or taxable year or period ended November 30, 2012, as applicable, with an expiration date may not be used to offset capital gains until all net capital losses incurred in taxable years beginning with the taxable year ended March 31, 2012 or taxable year or period ended November 30, 2012, as applicable, without an expiration date have been utilized. As a result, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses instead of as short-term capital losses as under prior law. The Funds’ ability to utilize capital loss carryforwards in the future may be limited under the Code and related regulations based on the results of future transactions.

During the fiscal year ended March 31, 2020, the Multi-Manager Emerging Markets Debt Opportunity Fund utilized approximately $393,000 in capital loss carryforwards.

During the taxable year ended November 30, 2019, the
Multi-Manager Global Real Estate Fund utilized approximately $3,000 in capital loss carryforwards.

Capital losses incurred that will be carried forward indefinitely under the provisions of the Act are as follows:

Post-enactment losses



Amounts in thousands	SHORT-TERM CAPITAL LOSS CARRYFORWARD	LONG-TERM CAPITAL LOSS CARRYFORWARD

Northern Engage360^TM	$6,813	$ 990

Multi-Manager Emerging Markets Debt Opportunity	–	7,876

Multi-Manager High Yield Opportunity	–	35,654

At November 30, 2019, the Multi-Manager Global Listed Infrastructure’s last tax year end, the non-expiring short-term and long-term capital losses were approximately $7,035,000 and $20,467,000, respectively. The Fund may offset future capital gains with these capital loss carryforwards.

At March 31, 2020, the tax components of undistributed net investment income, undistributed realized gains and unrealized gains were as follows:



	UNDISTRIBUTED

Amounts in thousands	ORDINARY INCOME*	LONG-TERM CAPITAL GAINS	UNREALIZED GAINS (LOSSES)

Active M Emerging Markets Equity	$ 447	$6,753	$ (7,508)

Active M International Equity	5,234	–	(83,124)

Northern Engage360^TM	315	–	(34,084)

Multi-Manager Emerging Markets Debt Opportunity	–	–	(32,747)

Multi-Manager High Yield Opportunity	1,028	–	(47,710)

*	Ordinary income includes taxable market discount income and short-term capital gains, if any.

The tax components of undistributed net ordinary income, net long-term capital gains and unrealized gains (losses) at November 30, 2019, the Multi-Manager Global Listed Infrastructure Fund’s and Multi-Manager Global Real Estate Fund’s last tax year end, were as follows:



	UNDISTRIBUTED

Amounts in thousands	ORDINARY INCOME*	LONG-TERM CAPITAL GAINS	UNREALIZED GAINS (LOSSES)

Multi-Manager Global Listed Infrastructure	$7,077	$ –	$102,669

Multi-Manager Global Real Estate	1,964	–	7,357

*	Ordinary income includes taxable market discount income and short-term capital gains, if any.

The tax character of distributions paid during the fiscal year ended March 31, 2020, was as follows:



	DISTRIBUTIONS FROM

Amounts in thousands	ORDINARY INCOME*	LONG-TERM CAPITAL GAINS	RETURN OF CAPITAL

Active M Emerging Markets Equity	$24,500	$20,900	$–

Active M International Equity	20,146	30,000	–

Northern Engage360^TM	4,322	–	–

Multi-Manager Emerging Markets Debt Opportunity	4,297	–	–

Multi-Manager High Yield Opportunity	20,934	–	–

*	Ordinary income includes taxable market discount income and short-term capital gains, if any.

The tax character of distributions paid during the fiscal year ended March 31, 2019, was as follows:



	DISTRIBUTIONS FROM

Amounts in thousands	ORDINARY INCOME*	LONG-TERM CAPITAL GAINS	RETURN OF CAPITAL

Active M Emerging Markets Equity	$ 8,500	$ –	$–

Active M International Equity	30,000	35,000	–

Northern Engage360^TM	2,060	–	–

Multi-Manager Emerging Markets Debt Opportunity	5,641	–	–

Multi-Manager High Yield Opportunity	21,073	–	–

*	Ordinary income includes taxable market discount income and short-term capital gains, if any.

The tax character of distributions paid during the Multi-Manager Global Listed Infrastructure Fund’s tax years ended November 30, 2019 and November 30, 2018 and Multi-Manager Global Real Estate Fund’s tax years ended November 30, 2019 and November 30, 2018 was designated for the purpose of the dividends paid deductions as follows:


	NOVEMBER 30, 2019 AND NOVEMBER 30, 2018 DISTRIBUTIONS FROM

Amounts in thousands	ORDINARY INCOME*	LONG-TERM CAPITAL GAINS

Multi-Manager Global Listed Infrastructure (2019)	$28,660	$65,734

Multi-Manager Global Listed Infrastructure (2018)	53,467	42,071

Multi-Manager Global Real Estate (2019)	4,038	69

Multi-Manager Global Real Estate (2018)	7,758	1,242

*	Ordinary income includes taxable market discount income and short-term capital gains, if any.

The Multi-Manager Global Listed Infrastructure Fund and the Multi-Manager Global Real Estate Fund have a tax year end of November 30th. Therefore, the tax character of distributions paid for the period December 1, 2019 through March 31, 2020 will be determined at the end of its tax year.

O) OTHER RISKS Certain Funds may invest in emerging market securities. Additional risks are involved when a Fund invests its assets in countries with emerging economies or securities markets. These countries generally are located in the Asia and Pacific regions, the Middle East, Eastern Europe, Central America, South America and Africa. Political and economic structures in many of these countries may lack the social, political and economic stability characteristics of more developed countries. In general, the securities markets of these countries are less liquid, subject to greater price volatility and have smaller market capitalizations. As a result, the risks presented by investments in these countries are heightened.

The Multi-Manager Global Listed Infrastructure Fund invests in MLPs. The benefits derived from the Fund’s investment in MLPs is largely dependent on the MLPs being treated as partnerships for federal income tax purposes. If any of the MLPs held by the Fund were treated as corporations for U.S. federal income tax purposes, the after-tax return to the Fund with respect to its investments in such MLPs would be materially reduced, causing a decline in the value of the common stock. The Fund must include its allocable share of an MLP’s taxable income in its reportable taxable income, whether or not it receives a distribution in cash from the MLP. In such case, the Fund may have to liquidate securities to make required distributions to shareholders.

3. SERVICE PLAN

rate of up to 0.15 percent of the average daily net assets of the Funds beneficially owned by their customers. There were no shareholder servicing fees paid by the Funds to Northern Trust or its affiliates during the six months ended September 30, 2020.

Service Plan expenses, if any, are included in the Statements of Operations under Shareholder servicing fees for the six months ended September 30, 2020.

4. BANK BORROWINGS

During the six months ended September 30, 2020, the following Funds had borrowings with the average loan amounts and weighted average interest rates as disclosed below:



Amounts in thousands	DOLLAR AMOUNT	RATE

Active M International Equity	$9,500		1.17	%

Multi-Manager High Yield Opportunity	8,100		1.39

No other Fund had any borrowings or incurred any interest expenses during the six months ended September 30, 2020. There were no outstanding loan amounts at September 30, 2020.

5. MANAGEMENT AND OTHER AGREEMENTS

NTI has contractually agreed to reimburse a portion of the operating expenses (other than certain excepted expenses, i.e., acquired fund fees and expenses, the compensation paid to each independent Trustee of the Trust, expenses of third-party consultants engaged by the Board, membership dues paid to the Investment Company Institute and Mutual Fund Directors Forum, expenses in connection with the negotiation and renewal of the revolving credit facility, extraordinary expenses and interest) of each Fund except for the Northern Engage360^TM Fund, for which NTI has contractually agreed to reimburse a portion of operating expenses (other than acquired fund fees and extraordinary expenses) of the Fund, as shown on the accompanying Statements of Operations, to the extent the total annual fund operating expenses of the Funds exceed the expense limitations set forth below. The total annual fund operating expenses after expense reimbursement for each Fund may be higher than the contractual limitation as a result of certain excepted expenses that are not reimbursed. The amount of the reimbursement is included in Less expenses reimbursed by investment adviser as a reduction to Total Expenses in the Statements of Operations.

At September 30, 2020, the annual management fees and contractual expense limitations for the Funds were based on the following annual rates as set forth in the table below.



	CONTRACTUAL ANNUAL MANAGEMENT FEES									CONTRACTUAL EXPENSE LIMITATIONS
	FIRST $1 BILLION			NEXT $1 BILLION			OVER $2 BILLION			CONTRACTUAL EXPENSE LIMITATIONS

Active M Emerging Markets Equity		1.08	%		1.048	%		1.017	%		1.10	%

Active M International Equity		0.82	%		0.795	%		0.771	%		0.84	%

Multi-Manager Global Listed Infrastructure		0.90	%		0.873	%		0.847	%		1.00	%

Multi-Manager Global Real Estate		0.89	%		0.863	%		0.837	%		0.91	%

Northern Engage360^TM		0.68	%		0.660	%		0.640	%		0.70	%



	CONTRACTUAL ANNUAL MANAGEMENT FEES									CONTRACTUAL EXPENSE LIMITATIONS
	FIRST $1.5 BILLION			NEXT $1 BILLION			OVER $2.5 BILLION			CONTRACTUAL EXPENSE LIMITATIONS

Multi-Manager Emerging Markets Debt Opportunity		0.85	%		0.825	%		0.80	%		0.93	%

Multi-Manager High Yield Opportunity		0.83	%		0.805	%		0.781	%		0.85	%

The contractual reimbursement arrangements described above are expected to continue until at least July 31, 2021. The contractual reimbursement arrangements will continue automatically thereafter for periods of one year (each such one-year period, a “Renewal Year”). The arrangements may be terminated, as to any succeeding Renewal Year, by NTI or a Fund upon 60 days’ written notice prior to the end of the current Renewal Year. The Board may terminate the contractual arrangements at any time with respect to a Fund if it determines that it is in the best interest of the Fund and its shareholders.

Pursuant to the Management Agreement with the Trust, NTI is responsible for performing and overseeing investment management services to the Funds. In addition to selecting the overall investment strategies of the Funds, NTI oversees and monitors the selection and performance of Sub-Advisers and allocates resources among the Sub-Advisers. The Sub-Advisers manage each Fund’s investment portfolio pursuant to Sub-Advisory Agreements with NTI.

As of September 30, 2020, Axiom International Investors LLC, Ashmore Investment Management Limited and Westwood Global Investments, LLC are the Sub-Advisers for the Active M Emerging Markets Equity Fund.

As of September 30, 2020, Causeway Capital Management LLC, Polen Capital Management, LLC, Victory Capital Management Inc., WCM Investment Management, LLC and Wellington Management Company LLP are the Sub-Advisers for the Active M International Equity Fund.

As of September 30, 2020, First Sentier Investors (Australia) IM Ltd., Lazard Asset Management LLC and Maple-Brown Abbott Limited are the Sub-Advisers for the Multi-Manager Global Listed Infrastructure Fund.

As of September 30, 2020, Janus Capital Management, LLC and Massachusetts Financial Services Company are the Sub-Advisers for the Multi-Manager Global Real Estate Fund.

As of September 30, 2020, Ariel Investments, LLC, Aristotle Capital Management, LLC, ARK Investment Management, LLC, Earnest Partners, LLC, Mar Vista Investment Partners, LLC and Strategic Global Advisors, LLC are the Sub-Advisers for Northern Engage360^TM Fund.

As of September 30, 2020, Ashmore Investment Management Limited and Global Evolution USA, LLC are the Sub-Advisers for the Multi-Manager Emerging Markets Debt Opportunity Fund.

As of September 30, 2020, DDJ Capital Management, LLC, Neuberger Berman Investment Advisers LLC and Nomura Corporate Research and Asset Management Inc. are the Sub-Advisers for Multi-Manager High Yield Opportunity Fund.

NTI is responsible for payment of sub-advisory fees to these sub-advisers.

In addition, NTI has contractually agreed to reimburse certain additional expenses that may be excepted expenses.

NTI has entered into a sub-administration agreement with Northern Trust, pursuant to which Northern Trust performs certain administrative services for the Funds. NTI pays Northern Trust for its sub-administration services out of NTI’s management fees. Northern Trust also performs certain administrative services for certain Sub-Advisers pursuant to separate agreements with such Sub-Advisers. For compensation as custodian, Northern Trust receives an amount based on a pre-determined schedule of charges approved by the Board. The Funds have entered into an expense offset arrangement with the custodian whereby credits realized as a result of uninvested cash balances are used to reduce a portion of the Funds’ custodian expenses, unless such uninvested cash balances receive a separate type of return.

selected by the Trust that complies with the provisions of Rule 2a-7 under the 1940 Act or one or more short-term fixed income instruments

selected by the Trust that are “eligible securities” as defined by that rule. The net investment income, gains and losses achieved by such deemed investment shall be credited to the Trustee’s account as provided in the plan.

6. RELATED PARTY TRANSACTIONS

The Funds are permitted to purchase and sell securities from or to certain affiliated funds or portfolios under specified conditions outlined in Rule 17a-7 Procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price as defined in the Rule 17a-7 Procedures. For the six months ended September 30, 2020, the following Funds engaged in purchases and/or sales of securities from an affiliated entity:



Amount in thousands	PURCHASES	SALES*

Multi-Manager Global Real Estate	$ -		$ (28)

Multi-Manager Emerging Markets Debt Opportunity	5		(171)

*	During the six months ended September 30, 2020, the realized gains (losses) associated with these transactions were approximately $7,000 and $(13,000), respectively.

During the six months ended September 30, 2020, the Active M Emerging Markets Equity and the Active M International Equity Funds received reimbursements from The NorthernTrust Company of approximately $41,000 and $26,000, respectively, in connection with an error. These reimbursements are included in

Net investment income in the Statements of Operations and Statements of Changes in Net Assets and in Net investment income in the Financial Highlights. These cash contributions represents less than $0.01 per share.

During the six months ended September 30, 2020, the Multi-Manager Emerging Markets Debt Opportunity Fund received reimbursements from The Northern Trust Company of approximately $114,000 in connection with errors. These reimbursements are included in Net investment income and Net realized gains on investments in the Statements of Operations and Statements of Changes in Net Assets and in Net investment income and Net realized and unrealized gain in the Financial Highlights. These cash contributions represent less than $0.01 per share and had no effect on the Fund’s total return.

7. INVESTMENT TRANSACTIONS

For the six months ended September 30, 2020, the aggregate costs of purchases and proceeds from sales of securities (excluding short-term investments) for the Funds were as follows:

PURCHASES

SALES

Amounts in
thousands

U.S.
GOVERNMENT

OTHER

U.S.
GOVERNMENT

OTHER

Active M
Emerging
Markets
Equity

$–

$196,822

$–

$251,176

Active M
International
Equity

–

140,360

271,544

Multi-Manager
Global
Listed
Infrastructure

–

383,090

317,536

Multi-Manager
Global
Real Estate

–

111,240

–

69,394

Northern
Engage360^TM

–

61,475

–

58,060

Multi-Manager
Emerging
Markets Debt Opportunity

–

64,142

–

46,808

Multi-Manager
High Yield Opportunity

–

94,423

–

142,579

At September 30, 2020, for federal income tax purposes, gross unrealized appreciation, gross unrealized depreciation, net unrealized appreciation (depreciation) on investments (including the effects of foreign currency translation and derivative instruments, if any) and the cost basis of investments (including derivative instruments, if any) were as follows:



Amounts in thousands	UNREALIZED APPRECIATION		UNREALIZED DEPRECIATION			NET APPRECIATION (DEPRECIATION)			COST BASIS OF INVESTMENTS
Active M Emerging Markets Equity	$	72,798	$	(14,833	)	$	57,965		$	320,062
Active M International Equity		107,033		(58,273	)		48,760			515,275
Multi-Manager Global Listed Infrastructure		67,037		(94,731	)		(27,694	)		1,087,611
Multi-Manager Global Real Estate		9,754		(4,561	)		5,193			143,646
Northern Engage360^TM		59,730		(21,192	)		38,538			279,132
Multi-Manager Emerging Markets Debt Opportunity		6,560		(15,475	)		(8,915	)		177,211
Multi-Manager High Yield Opportunity		5,792		(19,119	)		(13,327	)		192,091

Transactions in capital shares for the six months ended September 30, 2020, were as follows:

Transactions in capital shares for the fiscal year ended March 31, 2020, were as follows:

Transactions in affiliated investments for the six months ended September 30, 2020, were as follows:

Information concerning the types of derivatives in which the Funds invest, the objectives for using them and their related risks can be found in Note 2.

Below are the types of derivatives by primary risk exposure as presented in the Statements of Assets and Liabilities as of September 30, 2020:

As of September 30, 2020, gross amounts of assets and liabilities for forward foreign exchange contracts and swap agreements not offset in the Statements of Assets and Liabilities, related collateral and net amounts after taking into account netting agreements, by counterparty, are as follows:

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, if any, including redemption fees on certain exchanges and redemptions in the Active M Emerging Markets Equity, Active M International Equity, Multi-Manager Global Listed Infrastructure, Multi-Manager Global Real Estate, Northern Engage360TM, Multi-Manager Emerging Markets Debt Opportunity and Multi-Manager High Yield Opportunity Funds; and (2) ongoing costs, including management fees and other fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period, April 1, 2020 through September 30, 2020.

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), redemption fees, or exchange fees or other costs such as advisory fees related to affiliated money market fund investments, but shareholders of other funds may incur such costs. For example, the information does not reflect redemption fees (See page 89), if any, in the Active M Emerging Markets Equity, Active M International Equity, Multi-Manager Global Listed Infrastructure, Multi-Manager Global Real Estate, Northern Engage360TM , Multi-Manager Emerging Markets Debt Opportunity and Multi-Manager High

Yield Opportunity Funds. If these fees were included, your costs would have been higher. The information also does not reflect reimbursements of advisory fees incurred in connection with the investment of uninvested cash in affiliated money market funds (See page 94), which may result in different expense ratios in the Financial Highlights. Therefore, the hypothetical information is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

ACTIVE M EMERGING MARKETS EQUITY



SHARES	EXPENSE RATIO	BEGINNING ACCOUNT VALUE 4/1/2020	ENDING ACCOUNT VALUE 9/30/2020	EXPENSES PAID* 4/1/2020- 9/30/2020

Actual	1.10%	$1,000.00	$1,323.70	$6.39

Hypothetical	1.10%	$1,000.00	$1,019.50	$5.55

ACTIVE M INTERNATIONAL EQUITY



SHARES	EXPENSE RATIO	BEGINNING ACCOUNT VALUE 4/1/2020	ENDING ACCOUNT VALUE 9/30/2020	EXPENSES PAID* 4/1/2020- 9/30/2020

Actual	0.85%	$1,000.00	$1,290.50	$4.87

Hypothetical	0.85%	$1,000.00	$1,020.75	$4.29

MULTI-MANAGER GLOBAL LISTED INFRASTRUCTURE



SHARES	EXPENSE RATIO	BEGINNING ACCOUNT VALUE 4/1/2020	ENDING ACCOUNT VALUE 9/30/2020	EXPENSES PAID* 4/1/2020- 9/30/2020

Actual	0.96%	$1,000.00	$1,116.50	$5.08

Hypothetical	0.96%	$1,000.00	$1,020.20	$4.85

MULTI-MANAGER GLOBAL REAL ESTATE



SHARES	EXPENSE RATIO	BEGINNING ACCOUNT VALUE 4/1/2020	ENDING ACCOUNT VALUE 9/30/2020	EXPENSES PAID* 4/1/2020- 9/30/2020

Actual	0.91%	$1,000.00	$1,156.90	$4.91

Hypothetical	0.91%	$1,000.00	$1,020.45	$4.60

NORTHERN ENGAGE360^TM



SHARES	EXPENSE RATIO	BEGINNING ACCOUNT VALUE 4/1/2020	ENDING ACCOUNT VALUE 9/30/2020	EXPENSES PAID* 4/1/2020- 9/30/2020

Actual	0.70%	$1,000.00	$1,296.10	$4.02

Hypothetical	0.70%	$1,000.00	$1,021.50	$3.54

The Board of Trustees (the “Board” or the “Trustees”) of Northern Funds (the “Trust”) oversees the management of the Trust, including review of the investment performance and expenses of the investment funds covered by this Report (the “Multi-Manager Funds,” and each a “Multi-Manager Fund” or a “Fund”), at regularly scheduled meetings held during the Multi-Manager Funds’ fiscal year. In addition, the Trustees determine annually whether to approve and continue: (i) the Trust’s management agreement (the “Management Agreement”) for the Multi-Manager Funds with Northern Trust Investments, Inc.

(“Northern”); and (ii) the sub-advisory agreements among Northern and the sub-advisers to the Multi-Manager Funds.

Management Agreement Approval

The Management Agreement was re-approved with respect to the Multi-Manager Funds by the Board, including all of the Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of any party thereto (the “Independent Trustees”) voting separately, at the in-person annual contract renewal meeting held on May 13-14, 2020 (the “Annual Contract Meeting”).⁽¹⁾

In advance of, and at, the Annual Contract Meeting, the Trustees received, considered and discussed a variety of information relating to the Management Agreement and Northern and its affiliates. This information included written materials and verbal presentations at in-person Board meetings held on February 12-13, 2020 and April 29, 2020 (the “February and April Board Meetings”). At the Annual Contract Meeting, the Trustees considered these reports and presentations and discussed the information that had been provided. Throughout the process, the Trustees also asked questions of and requested additional information from management. In connection with their deliberations, the Independent Trustees met separately with and were advised by their independent legal counsel and received a memorandum from their independent legal counsel regarding their responsibilities under applicable law. They also met in executive sessions at the Annual Contract Meeting, and each of the other Board meetings, with their independent legal counsel without employees of Northern present.

In evaluating the Management Agreement, the Trustees reviewed the Multi-Manager Funds’ Management Agreement. The Trustees also reviewed Northern’s reports and presentations and discussed with their independent counsel the information that had been provided to them at the February and April Board Meetings and at the Annual Contract Meeting, as well as their interactions with Northern throughout the year and in past years at various meetings. The Trustees noted that the evaluation process with respect to Northern and the Management Agreement was an ongoing one. The materials reviewed by the Trustees included, without limitation: (i) information on the investment performance of the Multi-Manager Funds in comparison to other mutual funds and benchmark indices; (ii) compliance reports;

(iii) information about Northern’s and its affiliates’ risk management processes and credit research, stress testing, business continuity and cyber-security programs; (iv) fees charged to and expenses borne by the Multi-Manager Funds; (v) Northern’s profitability and costs and compensation paid to affiliates of Northern; (vi) the qualifications of Northern and its affiliates to provide services to the Multi-Manager Funds; (vii) information regarding flows in and out of the Multi-Manager Funds; (viii) policies adopted by Northern regarding brokerage, including soft dollars, trade allocations and other matters; and (ix) the nature of the shareholders in the Multi-Manager Funds. The Trustees also considered the nature, quality and extent of non-advisory services provided to the Multi-Manager Funds by Northern’s affiliates.

More specifically, the Trustees reviewed, among other things, information relating to: (i) the terms of the Management Agreement and the multi-manager exemptive order; (ii) the Multi-Manager Funds’ investment performance over different time periods in comparison to the investment performance of mutual fund peer groups and categories selected by Broadridge, an independent third-party provider of mutual fund data; (iii) the contractual and net management fees and total expenses (after expense reimbursements and fee waivers) of the Multi-Manager Funds in comparison to those borne by mutual fund peer groups and categories selected by Broadridge; (iv) the management fees charged to the Multi-Manager Funds compared to the management fees charged by Northern to Northern’s other comparable institutional accounts; (v) Northern’s staffing for the Multi-Manager Funds and the experience of the portfolio managers and other personnel; (vi) Northern’s financial resources and its ability to attract and retain portfolio management talent; (vii) Northern’s investments in technology to benefit the Multi-Manager Funds; (viii) the fees paid by the Multi-Manager Funds to Northern and its affiliates for services, and the expenses incurred by them in connection with the provision of those services; and (ix) the benefits received by Northern and its affiliates from their relationships with the Multi-Manager Funds. The Trustees were provided with a description of the methodology Broadridge used to determine the similarity of the Multi-Manager Funds with the funds included in their respective peer groups and peer universes. The Trustees also took into account factors such as conditions and trends prevailing generally in the economy, the securities markets, and the industry. In evaluating the Management Agreement for each of the Multi-Manager Funds, the Trustees gave weight to various factors including those discussed herein, but did not identify any single factor as controlling their decision, and each Trustee may have attributed different weight to different factors.

Nature, Extent and Quality of Services

The Trustees considered, as part of their review, the nature, quality and extent of the services provided by Northern to the Multi-Manager Funds. In this regard, they considered both the investment advisory services, and the administrative and other non-advisory services that are provided to the Multi-Manager

Funds by Northern and its affiliates. These services included acting as the Multi-Manager Funds’ administrator and sub-administrator, custodian and transfer agent and providing other services necessary for the operation of the Multi-Manager Funds and the Trust. The Trustees understood that the Management Agreement encompassed both the advisory and administrative functions being rendered by Northern and its affiliates.

The Trustees considered, in evaluating whether to approve the Management Agreement, that Northern engaged sub-advisers, subject to the Trustees’ approval, to manage the assets of the Multi-Manager Funds. They considered that Northern provided overall general investment management services to the Multi-Manager Funds, including managing the day-to-day operations of the Multi-Manager Funds, and also had the ultimate responsibility to oversee the sub-advisers, and to recommend their hiring, termination and replacement, subject to the Trustees’ approval. The Trustees discussed that Northern was also responsible for, among other things: (i) selecting each Multi-Manager Fund’s investment strategies; (ii) allocating and reallocating assets among the sub-advisers consistent with each Multi-Manager Fund’s investment objective and strategies; (iii) monitoring and evaluating each sub-adviser’s performance; (iv) compensating the sub-advisers; and (v) oversight over the sub-advisers’ compliance programs and compliance with the applicable Multi-Manager Fund’s investment objectives, policies and restrictions. The Trustees noted that Northern also managed the cash portion of each Multi-Manager Fund and managed Multi-Manager Funds during sub-adviser transitions, in addition to providing the foregoing services.

In addition, the Trustees considered that Northern selects the sub-advisers to manage the Multi-Manager Funds on the basis of both qualitative and quantitative analyses that assess a number of factors. They noted that Northern allocates a portion of the assets of each Multi-Manager Fund to a sub-adviser selected through this process on the basis of a particular strategy assigned to it. Therefore, the Trustees considered that the sub-advisers are chosen not only based on their performance but for their anticipated investment synergy with the other sub-advisers managing assets of the same Multi-Manager Fund. The Trustees also considered that the prospectuses for the Multi-Manager Funds disclose Northern’s role in selecting the sub-advisers and that shareholders may consider this factor in determining whether to invest in a Multi-Manager Fund. The Trustees also considered that at the time of the meeting, Northern supervised a significant number of sub-advisers. The Trustees also took into account Northern’s expertise in managing multi-manager strategies and its investments in the multi-manager business.

The Trustees considered the quality of Northern’s communications with and services to shareholders, as well as the expenditures made by Northern and its affiliates to improve the quality and scope of their services to the Multi-Manager Funds. The Trustees believed that Northern had made significant commitments to

address regulatory compliance requirements applicable to the Multi-Manager Funds. In this regard, they noted that Northern’s staff conducted thorough operational and compliance due diligence on prospective and existing sub-advisers and monitored the sub-advisers on a continuing basis throughout the year. They also took into account information regarding the effectiveness and resources of the compliance and due diligence teams.

The Trustees considered the strength of Northern’s and its affiliates’ risk management processes. The Trustees also reviewed the compliance and administrative services provided to the Multi-Manager Funds by Northern and its affiliates, including its oversight of the Multi-Manager Funds’ day-to-day operations and fund accounting, noting that on a regular basis they received and reviewed information from the Trust’s Chief Compliance Officer regarding the Multi-Manager Funds’ compliance policies and procedures pursuant to Rule 38a-1 under the 1940 Act. They also considered the quality of Northern’s compliance oversight program with respect to all of the Multi-Manager Funds’ service providers and the continued involvement of Northern’s internal audit group in reviewing operations that support the Multi-Manager Funds, as well as Northern’s responses to any compliance or operational issues raised during the year. The Trustees also took into account that the scope of services provided by Northern, and the undertakings required of Northern in connection with those services, including maintaining and monitoring its own and the Multi-Manager Funds’ compliance programs, had expanded over time as a result of regulatory, market and other developments. In this regard, they considered Northern’s preparations with respect to the increased reporting requirements and liquidity risk management program required by SEC regulations.

The Trustees also considered the qualifications, background and responsibilities of Northern’s senior management and investment personnel. They also noted Northern’s recruitment and retention plans for attracting high quality investment professionals, as well as its portfolio management compensation structure, which was not based on the performance or size of the Multi-Manager Funds, and the consistency of investment approach with respect to the Multi-Manager Funds. The Trustees also took into consideration Northern’s and its affiliates’ strong financial position and stability. The Trustees concluded that Northern was able to commit, and had committed, substantial financial and other resources to the operations of the Multi-Manager Funds and was able to continue to provide quality services to the Multi-Manager Funds.

Performance

The Trustees considered the investment performance of each of the Multi-Manager Funds, including whether it had operated within its respective investment objectives, as well as its compliance with its investment restrictions. For Funds that had been in existence for the applicable periods, the Trustees received information on the Multi-Manager Funds’ investment

performance for one, two, three, four, five and ten years, as well as performance for the most recent quarter and year-to-date. The Trustees compared the investment performance of the Multi-Manager Funds to the performance of other SEC-registered funds and to rankings issued by Broadridge. The Multi-Manager Funds were ranked by Broadridge in quintiles, ranging from first to fifth, where the first is the most desirable quintile position and fifth is the least desirable. The Trustees also reviewed the Multi-Manager Funds’ investment performance relative to their respective performance benchmarks; and the Multi-Manager Funds’ three-year performance versus net expenses as calculated by Broadridge (“Broadridge Bubble Charts”).

The Trustees noted that the performance of each of Active M International Equity Fund, Multi-Manager Global Real Estate Fund and Northern Engage360^TM Fund was in the first, second or third quintiles relative to its respective Broadridge peer performance universe for the one-, three- and five-year periods ended January 31, 2020, as applicable, while:

◾

the Active M Emerging Markets Equity Fund had performance in the fourth quintile for the one- and three-year periods;

◾

the Multi-Manager Emerging Markets Debt Opportunity Fund had performance in the fifth quintile for the one-, three- and five-year periods;

◾

the Multi-Manager Global Listed Infrastructure Fund had performance in the fifth quintile for the one-year period; and

◾

the Multi-Manager High Yield Opportunity Fund had performance in the fifth quintile for the one- period and in the fourth quartile for the three-year period.

They also considered that all of the Multi-Manager Funds underperformed against their respective benchmarks for the one-, three- and five-year periods ended March 31, 2020, except the Multi-Manager Global Real Estate Fund and Multi-Manager Global Listed Infrastructure Fund, which outperformed their respective benchmarks for the one-, three- and five-year periods, and the Northern Engage360^TM Fund, which generally performed in line with its benchmark for the one-year period. They took into account that the Multi-Manager High Yield Opportunity Fund was in the least desirable less return, more expenses quadrant of the Broadridge Bubble Charts, due to underperformance from the bank loans held by the Fund.

The Trustees also took into account management’s explanations for the performance rankings and comparisons, as well as any plans to address the performance of Multi-Manager Funds that were underperforming. They also considered Northern’s continual monitoring of sub-advisers and their performance during the year, which included due diligence visits and meetings. The Trustees expected and believed also that Northern was appropriately monitoring underperforming sub-advisers and Multi-Manager Funds. They noted the in-depth performance reviews had assisted them in evaluating performance issues with respect to any Multi-Manager Funds that were underperforming.

The Trustees concluded, based on the information received, that Northern was devoting appropriate resources to improving the Multi-Manager Funds’ performance and monitoring any underperformance.

Fee Rates, Costs of Services and Profitability

The Trustees also evaluated: the Multi-Manager Funds’ contractual and net management (after expense reimbursements) fee rates; the Multi-Manager Funds’ total operating expense ratios; Northern’s contractual commitments to continue expense reimbursements for at least one year with respect to the Multi-Manager Funds; and whether a consistent methodology was in place for determining the fees and expenses of the Multi-Manager Funds. The Trustees also noted certain other actions taken by Northern to reduce Fund expenses, such as service provider fee reductions and management fee reductions on several of the Multi-Manager Funds over recent years. The Trustees also considered that, for those Multi-Manager Funds that were sweeping uninvested cash into a Northern-affiliated money market Portfolio, Northern was in each case rebating back to the investing Multi-Manager Fund all of the advisory fees that were received by Northern from the applicable money market Portfolio.

The Trustees also reviewed information on the fee rates paid by the Funds under the Management Agreement and the Funds’ total operating expense ratios compared to similar information for mutual funds advised by unaffiliated investment management firms, as prepared by Broadridge. The Broadridge report compared the expenses of the Multi-Manager Funds against each Fund’s respective Broadridge peer group and universe. In comparing the Multi-Manager Funds’ contractual and net management fees to those of comparable funds, the Trustees noted that the Multi-Manager Funds’ management fees included both advisory and administrative costs.

The Trustees noted that the actual management fees after expense reimbursements for all of the Multi-Manager Funds were higher than their respective Broadridge peer group and universe medians, with the exception of the Multi-Manager Global Real Estate Fund, whose fees were at its peer group median and below its peer universe median, and the Northern Engage360^TM Fund, whose fees were below its peer group and universe medians.

They also noted that the net total expenses after reimbursement of expenses of the Multi-Manager Funds were in the first and second quintiles of their respective peer group and universe, with the exception of the Multi-Manager Emerging Markets Debt Opportunity Fund and the Multi-Manager High Yield Opportunity Fund, which were each in the third quintile of their respective peer group and universe.

The Trustees received information describing the Multi-Manager Funds’ expenses, including the advisory fee structure and the amount retained by Northern after payment of the sub-advisory fees and the services provided by Northern under the

Management Agreement and in overseeing the sub-advisers. The Trustees also took into account that each of the Multi-Manager Funds utilized multiple sub-advisers.

They also reviewed information comparing the Multi-Manager Funds’ fee rates to the fee rates charged by Northern to other similarly managed, private institutional accounts, if any. They noted that there were not applicable comparisons for every Fund. For Multi-Manager Funds with applicable comparisons, the Trustees considered the difference in, and level of complexity of, services provided by Northern with regard to the private institutional accounts, as well as regulatory, operational and compliance differences, board and committee support provided by Northern to the Multi-Manager Funds and other differences. The Trustees considered the fee comparisons in light of the differences in management of these different kinds of accounts. These comparisons assisted the Trustees in evaluating the reasonableness of the management fees paid by the Multi-Manager Funds.

In addition, the Trustees considered the amount of assets in each Multi-Manager Fund; the information provided by Northern relating to the costs of the services provided by it and its affiliates; and the profits realized by them through their relationship on a Fund-by-Fund basis and on an overall basis and both before and after distribution and certain non-distribution costs. It was noted that Northern had presented profitability information to the Trustees quarterly on a Fund-by-Fund basis as well as reports showing the expected impact on profitability by the addition of proposed sub-advisers, as required by the Multi-Manager Funds’ exemptive order. The Trustees reviewed Northern’s assumptions and methodology for allocating costs to each Multi-Manager Fund, recognizing that cost allocation methodologies are inherently subjective and not audited.

The Trustees also weighed information provided by Broadridge with respect to Northern’s profitability compared to other publicly traded advisers. They considered that comparisons of advisory agreement profitability across fund families are difficult because of numerous factors, including the type of funds managed, business mix, cost allocation methodologies and other factors.

The Trustees also considered Northern’s expense reimbursements during the year. They also took into account the nature of the Funds and the quality of the services provided by Northern. The Trustees understood that Northern should be entitled to earn a reasonable level of profit in exchange for the level of services it provides to the Funds. The Trustees concluded that the profitability of Northern was not unreasonable based on the services and benefits provided and the costs assumed by Northern and its affiliates. They also noted that Northern appeared to have the resources necessary to fulfill its obligations under its management and other agreements with the Multi-Manager Funds.

Economies of Scale

The Trustees considered the extent to which economies of scale would be realized as the Multi-Manager Funds grew and whether fee levels reflected these economies of scale for the benefit of shareholders. The Trustees noted that the management fees for all of the Multi-Manager Funds have breakpoints, thus ensuring that as a Multi-Manager Fund’s assets grew, its shareholders would receive reduced fee rates. Materials provided to the Trustees indicated that one of the Multi-Manager Funds had the specified asset levels as of January 31, 2020 at which one or more breakpoints on its management fees were triggered. They also took into account Northern’s view that the Multi-Manager Funds were sharing in economies of scale through the level at which the Funds’ management fees are set and through Northern’s contractual expense reimbursements that limit the expenses for the Funds to specific levels.

Other Benefits to Northern

The Trustees also reviewed other benefits accruing to Northern and its affiliates as a result of their relationship with the Funds. Those benefits included fees received by the affiliates for transfer agency, custodial and sub-administrative functions. The Trustees also considered that many of the Funds’ shareholders had other client relationships with Northern or its affiliates. In addition, the Trustees considered that the scale of some of the Funds provided opportunities to Northern to obtain securities trading advantages for its other advisory clients and that Northern and its affiliates benefit from their ability to leverage resources over a larger asset base. The Trustees also took into account the benefits from many of the sub-advisory fee structures where the fee is based on all assets managed by the sub-adviser for the Funds and Northern’s other clients.

After deliberation, the Trustees concluded with respect to each of the Multi-Manager Funds that the management fee paid by the Fund was reasonable in light of the services provided by Northern, its costs, the Funds’ asset levels, and other factors including those discussed above and that the renewal of the Management Agreement would be in the best interest of each of the Multi-Manager Funds and its respective shareholders and should be approved.

The Trustees next considered the sub-advisory agreements for the Multi-Manager Funds. The Trustees reviewed and discussed information and written materials from Northern and the sub-advisers regarding: (i) the nature and quality of the investment advisory services to be provided by the sub-advisers, including the experience and qualifications of the personnel providing such services; (ii) each sub-adviser’s financial condition, history of operations and ownership structure; (iii) the sub-advisers’ brokerage and soft dollar practices; (iv) the sub-advisers’ investment strategies and styles of investing; (v) the performance history of the sub-advisers with respect to the applicable Multi-Manager Fund; (vi) information with respect to each sub-adviser’s risk management and cybersecurity programs and each sub-adviser’s compliance policies and procedures

(including their codes of ethics) and the Trust’s CCO’s evaluations of such policies and procedures, as well as the sub-adviser’s regulatory history; (vii) the sub-advisers’ conflicts of interest in managing the Multi-Manager Funds, including each sub-adviser’s other financial or business relationships with Northern; and (viii) the terms of the existing sub-advisory agreements. The Trustees also reviewed and discussed Northern’s strategy for allocating assets among the various sub-advisers, as well as the current allocations of assets among the various sub-advisers.

In evaluating the sub-advisory agreements, the Trustees gave weight to various factors but did not identify any single factor as controlling their decision, and each Trustee may have attributed different weight to different factors. However, the Trustees relied upon the recommendations and performance evaluations of Northern with respect to each of the sub-advisers.

Nature, Extent and Quality of Services

The Trustees considered the information and evaluations provided by Northern with respect to each sub-adviser’s operations, qualifications and experience in managing the type of strategies for which the sub-adviser was engaged in connection with a Multi-Manager Fund. The Trustees also placed emphasis on the CCO’s compliance program and the compliance monitoring schedule for each sub-adviser. The Trustees concluded that each sub-adviser had provided, and/or was able to provide, quality services to the Multi-Manager Funds.

Fees, Expenses and Performance

With respect to the sub-advisory fees, the Trustees considered that the sub-advisers were each paid by Northern out of its advisory fees and not by the Multi-Manager Funds. The Trustees also believed, based on Northern’s representations, that each sub-advisory agreement had been negotiated at arm’s-length among Northern and each sub-adviser and considered the reductions in certain of the sub-advisory fees in the past few years.

In addition, the Trustees reviewed and compared each sub-adviser’s fees paid by a Fund and fees paid to the sub-adviser by its other institutional accounts with similar strategies, if any. Finally, the Trustees also considered Northern’s representations that the fees to be paid to the sub-advisers were reasonable in light of the existing and anticipated quality of the services to be performed by them.

While the Trustees considered Northern’s profitability with respect to each Multi-Manager Fund, they did not consider the sub-advisers’ projected profitability as they did not consider it to be particularly relevant because Northern paid the sub-advisers out of its advisory fees. The Trustees therefore believed that Northern had an incentive to negotiate the lowest possible sub-advisory fees.

The Trustees considered and evaluated the performance information presented with respect to each sub-adviser and Northern’s evaluation of each sub-adviser’s performance. This information was compared to performance information with respect to each Fund’s applicable benchmark. It was noted that each sub-adviser had a different style, and that these styles would underperform in various markets. The Trustees concluded, based upon the information provided, that most of the sub-advisers’ performance records were generally satisfactory and where there had been sub-adviser underperformance, Northern had acted quickly to make changes to improve Fund performance, including replacing sub-advisers.

Economies of Scale

The Trustees considered information prepared by Northern that showed that the levels of aggregate sub-advisory fee rates decreased as the Multi-Manager Funds’ assets increased. However, the Trustees generally considered economies of scale with respect to the Multi-Manager Funds primarily at the management fee level given that Northern pays the sub-advisers out of its management fees. It was noted by the Trustees that most of the sub-advisers had breakpoints incorporated into their sub-advisory fee structures.

Other Benefits

The Trustees considered other benefits derived or to be derived by certain of the sub-advisers as a result of their relationship with the Multi-Manager Funds. These benefits included, in certain cases, research and other benefits in connection with brokerage commissions paid by the Multi-Manager Funds. The Trustees noted that they had received regular reports from the Trust’s CCO with respect to the quality of each sub-adviser’s trade execution on behalf of the Funds and soft dollar usage. The Trustees also considered the other relationships that certain of the sub-advisers had with Northern, including sub-advisory and/or custodial relationships.

Based on the Trustees’ deliberations and the recommendations by Northern, the Trustees concluded that the fees paid, or to be paid, to the sub-advisers on a Fund-by-Fund basis were reasonable in light of the services provided by each of them and that the sub-advisory agreements with respect to the Multi-Manager Funds should be reapproved for an additional one-year period.

APPROVAL OF NEW SUB-ADVISORY AGREEMENTS (MULTI-MANAGER GLOBAL REAL ESTATE FUND AND ACTIVE M INTERNATIONAL EQUITY FUND)

At a meeting of the Board held on August 19-20, 2020 (the “August Meeting”), the Trustees, including a majority of the Independent Trustees, voting separately, approved the termination of Brookfield Public Securities Group (“Brookfield”) as a sub-adviser to the Multi-Manager Global Real Estate Fund (the “Global Real Estate Fund”), which was effective August 26, 2020

and approved a new sub-advisory agreement (the “Janus Agreement”) with respect to the Global Real Estate Fund between Northern and Janus Capital Management LLC (“Janus”). Under the Janus Agreement, Janus began managing a portion of the Global Real Estate Fund’s assets effective September 8, 2020. At the August Meeting, the Trustees, including a majority of the Independent Trustees, voting separately, approved a new sub-advisory agreement (the “Polen Agreement,” together with the Janus Agreement, the “New Agreements”) with respect to the Active M International Equity Fund (the “International Equity Fund”) between Northern and Polen Capital Management, LLC (“Polen”). Under the Polen Agreement, Polen began managing a portion of the International Equity Fund’s assets effective September 4, 2020.

The Trustees reviewed and discussed information and written materials from Northern about Janus and Polen (each, a “New Sub-Adviser”) including: (i) the nature and quality of the investment advisory services to be provided by each New Sub-Adviser, and the experience and qualifications of the personnel providing such services; (ii) each New Sub-Adviser’s financial condition, history of operations and ownership structures; (iii) each New Sub-Adviser’s brokerage and soft dollar practices; (iv) each New Sub-Adviser’s investment strategies and styles of investing; (v) Janus’ and Polen’s performance history with respect to accounts or funds managed similarly to the Global Real Estate Fund and International Equity Fund, respectively, and hypothetical performance information and portfolio attributes; (vi) information with respect to each New Sub-Adviser’s risk management and cybersecurity programs and their compliance policies and procedures (including their codes of ethics) and the Trust’s Chief Compliance Officer’s (the “CCO”) evaluations of such policies and procedures, as well as each New Sub-Adviser’s regulatory history; (vii) Janus’ and Polen’s conflicts of interest in managing the Global Real Estate Fund and International Equity Fund, respectively, including their financial or business relationships with Northern, if any; and (viii) the terms of each sub-advisory agreement. The Trustees also considered Northern’s discussion of the reasons that it anticipated that Janus and Polen may improve the performance of the Global Real Estate Fund and International Equity Fund, respectively. The Trustees also discussed the proposed allocation of assets among the New Sub-Adviser and the other sub-advisers to a Fund.

In evaluating each proposed sub-advisory agreement, the Trustees gave weight to various factors but did not identify any single factor as controlling their decision, and each Trustee may have attributed different weight to different factors. However, the Trustees relied upon the recommendations and performance evaluations of Northern with respect to each New Sub-Adviser.

Nature, Extent and Quality of Services

The Trustees considered the information and evaluations provided by Northern with respect to each New Sub-Adviser’s operations, qualifications, performance and experience in

managing the type of strategy for which it was proposed to be engaged in connection with the respective Fund. The Board also considered Northern’s evaluation of each New Sub-Adviser’s ability to add alpha to the respective Fund’s returns. They also noted that the Polen had previously served as sub-adviser to another multi-manager fund in a different strategy. The Trustees also reviewed the CCO’s evaluation of each New Sub-Adviser’s compliance program, noting that the CCO believed the programs to be satisfactory and in compliance with regulatory requirements. The Trustees concluded that each New Sub-Adviser was able to provide quality services to the respective Fund.

Fees, Expenses and Performance

With respect to the sub-advisory fees, the Trustees considered that each New Sub-Adviser would be paid by Northern out of its management fees and not by the Fund. The Trustees also believed, based on Northern’s representations, that each sub-advisory agreement had been negotiated at arm’s-length between Northern and the New Sub-Adviser. The Trustees also considered comparisons of: (i) Janus’ fees at various asset levels of the Global Real Estate Fund and in relation to the other sub-advisers to the Fund; and (ii) Polen’s fees at various asset levels of the International Equity Fund and in relation to the other sub-advisers to the Fund. The Trustees also compared each New Sub-Adviser’s fees in relationship to its other similar institutional accounts. Finally, the Trustees considered Northern’s representations that the fees to be paid to each New Sub-Adviser were reasonable in light of the anticipated quality of the services to be performed by it.

The Trustees also considered the projected profitability to Northern of the Global Real Estate Fund before and after the addition of Janus and International Equity Fund before and after the addition of Polen. These comparisons showed that Northern’s profitability slightly increased in each case. The Trustees did not consider each New Sub-Adviser’s projected profitability as they did not consider it to be particularly relevant because Northern would be paying each New Sub-Adviser out of the management fees that Northern received from the Funds. The Trustees therefore believed that Northern had an incentive to negotiate the lowest possible sub-advisory fees.

The Trustees considered and evaluated each New Sub-Adviser’s performance information with respect to its other accounts using the same investment strategy and Northern’s evaluation of that performance. The Trustees reviewed reports prepared by Northern showing the hypothetical performance of each New Sub-Adviser over various time periods if it had been managing the Fund along with the other sub-advisers to the Fund. The Trustees also considered each New Sub-Adviser’s actual performance record in the strategy for which it was being engaged and against relevant performance benchmarks. It was noted that each New Sub-Adviser had a different style than the other sub-adviser, and that its style would underperform in various market

environments. The Trustees concluded, based upon the information provided, that each New Sub-Adviser’s performance record in its respective strategy was generally satisfactory.

Economies of Scale

The Trustees considered information prepared by Northern that showed the impact on Northern’s net management fee (after payment of sub-advisory fees) at various asset levels. They took into account the levels of aggregate sub-advisory fees at various asset levels, including breakpoints in the sub-advisory fee structures. However, the Trustees generally considered economies of scale with respect to a Fund primarily at the management fee level given that Northern would be paying each Sub-Adviser out of its management fee. It was noted by the Trustees that each New Sub-Adviser had a breakpoint in its sub-advisory fee structure.

Other Benefits

The Trustees considered other benefits derived or to be derived by each New Sub-Adviser as a result of its relationships with the Funds. The Trustees also considered the other relationships that each New Sub-Adviser had with Northern or its affiliates, including other sub-advisory relationships to portfolios managed by Northern.

Based on the Trustees’ deliberations and the recommendations by Northern, the Trustees concluded that the proposed fees to be paid to Janus and Polen were reasonable in light of the services to be provided by each of them and that the Janus Agreement and the Polen Agreement should each be approved.

⁽¹⁾ Pursuant to relief granted by the U.S. Securities and Exchange Commission (the “SEC”) in light of the COVID-19 pandemic (the “Relief”) and a determination by the Board that reliance on the Relief was appropriate due to circumstances related to the current or potential effects of COVID-19, the Annual Contract Meeting was held through videoconference and telephonically.

⁽²⁾ Pursuant to relief granted by the SEC in light of the COVID-19 pandemic (the “Relief”) and a determination by the Board that reliance on the Relief was appropriate due to circumstances related to the current or potential effect of COVID-19, the August Meeting was held through videoconference and telephonically.


	NUMBER OF SHARES		VALUE (000S)

INVESTMENT COMPANIES – 100.1%

FlexShares^®Credit-Scored US Corporate Bond Index Fund⁽¹⁾		264,153		$14,481

FlexShares^®Credit-Scored US Long Corporate Bond Index Fund⁽¹⁾		73,795		4,588

FlexShares^®Disciplined Duration MBS Index Fund⁽¹⁾		226,959		5,484

FlexShares^®Global Quality Real Estate Index Fund⁽¹⁾		42,445		2,228

FlexShares^®High Yield Value-Scored Bond Index Fund⁽¹⁾		219,120		10,189

FlexShares^®iBoxx 5-Year Target Duration TIPS Index Fund⁽¹⁾		82,964		2,283

FlexShares^®International Quality Dividend Index Fund⁽¹⁾		271,463		5,614

FlexShares^®Morningstar Developed Markets ex-US Factor Tilt Index Fund⁽¹⁾		198,167		11,091

FlexShares^®Morningstar Emerging Markets Factor Tilt Index Fund⁽¹⁾		93,598		4,458

FlexShares^®Morningstar Global Upstream Natural Resources Index Fund⁽¹⁾		77,515		2,152

FlexShares^®Morningstar US Market Factor Tilt Index Fund⁽¹⁾		114,577		13,978

FlexShares^®Quality Dividend Index Fund⁽¹⁾		158,874		7,094

FlexShares^®Ready Access Variable Income Fund⁽¹⁾		30,567		2,333

FlexShares^®STOXX^®Global Broad Infrastructure Index Fund⁽¹⁾		91,350		4,555

FlexShares^®US Quality Low Volatility Index Fund⁽¹⁾		168,910		7,169

iShares 20+ Year Treasury Bond ETF		18,234		2,977

iShares 3-7 Year Treasury Bond ETF		1,749		233

iShares 7-10 Year Treasury Bond ETF		13,452		1,639

iShares Long-Term Corporate Bond ETF		14,669		1,033

iShares MBS ETF		54,889		6,060

NUMBER

OF SHARES

VALUE

(000S)

INVESTMENT COMPANIES - 100.1% continued

iShares Short-Term Corporate Bond ETF

54,035

$2,967

Northern Institutional Funds - U.S. Government Portfolio (Shares), 0.00%⁽¹⁾⁽²⁾

280,368

280

Total Investment Companies

(Cost $109,692)

112,886

Total Investments – 100.1%

(Cost $109,692)

112,886

Liabilities less Other Assets – (0.1%)

(57

)

NET ASSETS – 100.0%

$112,829

⁽¹⁾

Investment in affiliated fund. Northern Trust Investments, Inc. is the investment adviser to the Fund and the investment adviser to other Northern Institutional Funds and FlexShares Trust.

⁽²⁾

7-day current yield as of September 30, 2020 is disclosed.

EXPLANATION OF ABBREVIATIONS AND ACRONYMS USED THROUGHOUT THE SCHEDULE OF INVESTMENTS:

ETF - Exchange-Traded Fund

MBS - Mortgage Backed Securities

TIPS - Treasury Inflation Protected Securities

Percentages shown are based on Net Assets.

At September 30, 2020, the asset class weightings for the Fund were:



ASSET CLASS	WEIGHT	INVESTMENT VEHICLE
U.S. Equity	12.4%	FlexShares^®Morningstar US Market Factor Tilt Index Fund
U.S. Equity	6.3	FlexShares^®Quality Dividend Index Fund
U.S. Equity	6.3	FlexShares^®US Quality Low Volatility Index Fund
Non U.S. Equity - Developed	9.8	FlexShares^®Morningstar Developed Markets ex-US Factor Tilt Index Fund
Non U.S. Equity - Developed	5.0	FlexShares^®International Quality Dividend Index Fund
Non U.S. Equity - Emerging Markets	3.9	FlexShares^®Morningstar Emerging Markets Factor Tilt Index Fund
Global Real Estate	2.0	FlexShares^®Global Quality Real Estate Index Fund
U.S. Bonds - High Yield	9.0	FlexShares^®High Yield Value-Scored Bond Index Fund
U.S. Bonds - Investment Grade	12.8	FlexShares^®Credit-Scored US Corporate Bond Index Fund
U.S. Bonds - Investment Grade	5.4	iShares MBS ETF
U.S. Bonds - Investment Grade	4.9	FlexShares^®Disciplined Duration MBS Index Fund
U.S. Bonds - Investment Grade	4.1	FlexShares^®Credit-Scored US Long Corporate Bond Index Fund
U.S. Bonds - Investment Grade	2.6	iShares 20+ Year Treasury Bond ETF
U.S. Bonds - Investment Grade	2.6	iShares Short-Term Corporate Bond ETF
U.S. Bonds - Investment Grade	2.1	FlexShares^®Ready Access Variable Income Fund
U.S. Bonds - Investment Grade	2.0	FlexShares^®iBoxx 5-Year Target Duration TIPS Index Fund
U.S. Bonds - Investment Grade	1.5	iShares 7-10 Year Treasury Bond ETF
U.S. Bonds - Investment Grade	0.9	iShares Long-Term Corporate Bond ETF
U.S. Bonds - Investment Grade	0.2	iShares 3-7 Year Treasury Bond ETF
Global Infrastructure	4.0	FlexShares^®STOXX^®Global Broad Infrastructure Index Fund
Commodities/Natural Resources	1.9	FlexShares^®Morningstar Global Upstream Natural Resources Index Fund
Cash	0.3	Northern Institutional Funds - U.S. Government Portfolio (Shares)

Total	100.0%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below:

Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date.

Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).

1. ORGANIZATION

Northern Funds (the “Trust”) is a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust offers 43 funds as of September 30, 2020, each with its own investment objective (e.g., long-term capital appreciation, total return or income consistent with preservation of capital). The Global Tactical Asset Allocation Fund (the “Fund”) is a separate, diversified investment portfolio of the Trust. The Fund seeks to provide long-term capital appreciation and current income by investing primarily in shares of a combination of underlying mutual funds and exchange-traded funds (“ETFs”) for which Northern Trust Investments, Inc. (“NTI”), the Fund’s investment adviser, or an affiliate of NTI acts as investment adviser. The Fund also may invest in other unaffiliated mutual funds and ETFs (together with affiliated underlying funds and ETFs, the “Underlying Funds”) and other securities and investments not issued by mutual funds.

NTI, a subsidiary of The Northern Trust Company (“Northern Trust”). Northern Trust serves as the custodian, transfer agent and sub-administrator for the Trust. NTI serves as the Trust’s administrator. Northern Funds Distributors, LLC, not an affiliate of NTI, is the Trust’s distributor.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results may differ from those estimates.

The net asset value (“NAV”) of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), generally 3:00 P.M. Central Time, on each day the NYSE is open for trading.

A) VALUATION OF SECURITIES Securities are valued at their fair value. Securities traded on United States (“U.S.”) securities exchanges or in the NASDAQ National Market System are principally valued at the regular trading session closing price (generally, 3:00 P.M. Central Time) on the exchange or market in which such securities are principally traded. If any such security is not traded on a valuation date, it is valued at the most recent

quoted bid price. Over-the-counter securities not reported in the NASDAQ National Market System are also generally valued at the most recent quoted bid price.

Shares of open-end investment companies, other than ETFs, are valued at their NAV. Spot and forward foreign currency exchange contracts are generally valued using an independent pricing service. Short-term investments with a maturity of 60 days or less are valued at their amortized cost, which NTI, as authorized by the Trust’s Board of Trustees (the “Board”), has determined approximates fair value.

Any securities for which market quotations are not readily available or are believed to be incorrect are valued at fair value as determined in good faith by NTI under the supervision of the Board. The Trust, in its discretion, may make adjustments to the prices of securities held by a Fund if an event occurs after the publication of fair values normally used by a Fund but before the time as of which the Fund calculates its NAV, depending on the nature and significance of the event, consistent with applicable regulatory guidance and U.S. GAAP. This may occur particularly with respect to certain foreign securities held by the Fund, in which case the Trust may use adjustment factors obtained from an independent evaluation service that are intended to reflect more accurately the fair value of those securities as of the time the Fund’s NAV is calculated.

The use of fair valuation involves the risk that the values used by the Fund to price their investments may be higher or lower than the values used by other unaffiliated investment companies and investors to price the same investments.

B) FOREIGN CURRENCY TRANSLATION Values of investments denominated in foreign currencies are converted into U.S. dollars using the spot rates on the NYSE, generally at 3:00 P.M. Central Time. The cost of purchases and proceeds from sales of investments, interest and dividend income are translated into U.S. dollars using the spot rates on the NYSE, generally at 3:00 P.M. Central Time. The gains or losses, if any, on investments from original purchase date to subsequent sales trade date resulting from changes in foreign exchange rates are included in the Statement of Operations in Net realized gains (losses) on investments and Net change in unrealized appreciation (depreciation) on investments. The gains or losses, if any, on translation of other assets and liabilities denominated in foreign currencies and between the trade and settlement dates on investment transactions are included in Net realized gains (losses) on foreign currency transactions and Net change in unrealized appreciation (depreciation) on foreign currency translations in the Statement of Operations.

C) FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS The Fund is authorized to enter into forward foreign currency exchange contracts, or forward currency exchange contracts, for the purchase or sale of a specific foreign currency at a specified exchange rate on a future date. The Fund and certain of the Underlying Funds may enter into these contracts when seeking to hedge against fluctuations in foreign currency exchange rates. Certain of the Underlying Funds may also enter into forward foreign currency exchange contracts as a cross-hedge transaction or for speculative purposes. All forward foreign currency exchange contracts are “marked-to-market” daily at the applicable exchange rates. Any resulting unrealized gains or losses are recorded in Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts in the Statement of Operations. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Realized gains or losses, if any, are included in Net realized gains (losses) on forward foreign currency exchange contracts in the Statement of Operations.

Forward foreign currency exchange contracts are privately negotiated transactions, and can have substantial price volatility. As a result, these contracts offer less protection against default by the other party than is available for instruments traded on an exchange. When used for hedging purposes, forward foreign currency exchange contracts tend to limit any potential gain that may be realized if the value of the Fund’s or an Underlying Fund’s foreign holdings increase because of currency fluctuations. When used for speculative purposes, the contracts may result in additional losses that are not otherwise related to the changes in value of the securities held by an Underlying Fund. The Fund bears the market risk from changes in forward foreign currency exchange rates and the credit risk if the counterparty to the contract fails to perform. The institutions that deal in forward foreign currency exchange contracts are not required to continue to make markets in the currencies they trade and these markets can experience periods of illiquidity. No forward foreign currency exchange contracts were held by the Fund during the six months ended September 30, 2020.

D) INVESTMENT TRANSACTIONS AND INCOME Investment transactions are recorded as of the trade date. The Fund determines the gain or loss realized from investment transactions by using an identified cost basis method. Interest income, if any, is recognized on an accrual basis and includes amortization of premiums and accretion of discounts using the effective yield method. The interest rates reflected in the Schedule of Investments represent the 7-day yield for money market funds. Dividend income, if any, is recognized on the ex-dividend date. Dividends from foreign securities, if any, are recorded on the ex-dividend date, or as soon as the information is available.

E) EXPENSES The Fund is charged for those expenses that are directly attributable to the Fund. Expenses incurred which do not specifically relate to the Fund generally are allocated among all funds in the Trust in proportion to each fund’s relative net assets.

Expenses included in the accompanying financial statements reflect the expenses of the Fund and do not include any expenses associated with the Underlying Funds.

F) DISTRIBUTIONS TO SHAREHOLDERS Distributions of dividends from net investment income, if any, are declared and paid quarterly.

Distributions of net realized capital gains, if any, are declared and paid at least annually. Distributions to shareholders are recorded on the ex-dividend date.

Income dividends and capital gains distributions are determined in accordance with federal income tax regulations. Such amounts may differ from income and capital gains recorded in accordance with U.S. GAAP. Accordingly, the Fund may periodically make reclassifications among certain capital accounts to reflect differences between financial reporting and federal income tax basis distributions. The reclassifications are reported in order to reflect the tax treatment for certain permanent differences that exist between income tax regulations and U.S. GAAP. These reclassifications may relate to net operating losses, expired capital loss carryforwards, and gains or losses on in-kind transactions. These reclassifications have no impact on the total net assets or the NAVs per share of the Fund. At March 31, 2020, the following reclassifications were recorded for the Fund:

G) FEDERAL INCOME TAXES No provision for federal income taxes has been made since the Fund’s policy is to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute, each year, substantially all of its taxable income and capital gains to its shareholders.

The Regulated Investment Company Modernization Act of 2010 (the “Act”) allows capital losses to be carried forward for an unlimited period and to retain their character as either short-term or long-term. The Fund’s ability to utilize capital loss carryforwards in the future may be limited under the Code and related regulations based on the results of future transactions.

During the fiscal year ended March 31, 2020, the Fund utilized approximately $390,000 in capital loss carryforwards.

There were no capital losses incurred that will be carried forward indefinitely under the provisions of the Act.

At March 31, 2020, the tax components of undistributed net investment income, undistributed realized gains and unrealized gains were as follows:

Ordinary income includes short-term capital gains, if any.

The tax character of distributions paid during the fiscal year ended March 31, 2020, was as follows:


	DISTRIBUTIONS FROM
Amounts in thousands	ORDINARY INCOME*	LONG-TERM CAPITAL GAINS

Global Tactical Asset Allocation	$2,510	$–

Ordinary income includes short-term capital gains, if any.

The tax character of distributions paid during the fiscal year ended March 31, 2019, was as follows:


	DISTRIBUTIONS FROM
Amounts in thousands	ORDINARY INCOME*	LONG-TERM CAPITAL GAINS

Global Tactical Asset Allocation	$2,762	$735

Ordinary income includes short-term capital gains, if any.

As of March 31, 2020, the Fund had no uncertain tax positions that would require financial statement recognition or disclosure. The Fund’s federal tax returns remain subject to examination by the Internal Revenue Service for three years after they are filed. Interest or penalties incurred, if any, on future unknown, uncertain tax positions taken by the Fund will be recorded as interest expense and other expenses, respectively, on the Statement of Operations.

3. SERVICE PLAN

The Trust has adopted a Service Plan pursuant to which the Trust may enter into agreements with Northern Trust, its affiliates or other institutions (together “Service Organizations”) under which the Service Organizations agree to provide certain administrative support services and, in some cases, personal and account maintenance services for their customers, whom are beneficial owners of shares of the Fund. As compensation for services provided pursuant to the Service Plan, the Service Organizations receive a fee at an annual rate of up to 0.15 percent of the average daily net assets of the Fund beneficially owned by their customers. There were no shareholder servicing fees paid by the Fund to Northern Trust or its affiliates during the six months ended September 30, 2020.

Service Plan expenses, if any, are included in the Statements of Operations under Shareholder servicing fees for the six months ended September 30, 2020.

4. BANK BORROWINGS

During the six months ended September 30, 2020, the Fund had borrowings with the average loan amounts and weighted average interest rates as disclosed below:


Amounts in thousands	DOLLAR AMOUNT	RATE

Global Tactical Asset Allocation	$292	1.20%

There were no outstanding loan amounts at September 30, 2020.

5. MANAGEMENT AND OTHER AGREEMENTS

As compensation for advisory (asset allocation) and administration services and the assumption of related expenses, NTI is entitled to a management fee, computed daily and payable monthly, at the annual rate set forth in the table below (expressed as a percentage of the Fund’s average daily net assets).

NTI has contractually agreed to reimburse a portion of the operating expenses of the Fund (other than certain excepted expenses, i.e., acquired fund fees and expenses, the compensation paid to each independent Trustee of the Trust, expenses of

third-party consultants engaged by the Board, membership dues paid to the Investment Company Institute and Mutual Fund Directors Forum, expenses in connection with the negotiation and renewal of the revolving credit facility, extraordinary expenses and interest) as shown on the accompanying Statement of Operations, to the extent the total annual fund operating expenses of the Fund exceed the expense limitation set forth below. The total annual fund operating expenses after expense reimbursement for the Fund may be higher than the contractual limitation as a result of certain excepted expenses that are not reimbursed. The amount of the reimbursement is included in Less expenses reimbursed by investment adviser as a reduction to Total Expenses in the Statement of Operations.

At September 30, 2020, the annual management fees and contractual expense limitations for the Fund were based on the following annual rates as set forth in the table below.


	CONTRACTUAL
	ANNUAL MANAGEMENT FEES	EXPENSE LIMITATIONS

Global Tactical Asset Allocation	0.23%	0.25%

The contractual reimbursement arrangement described in the table above is expected to continue until at least July 31, 2021. The contractual reimbursement arrangement will continue automatically thereafter for periods of one year (each such one-year period, a “Renewal Year”). The arrangement may be terminated, as to any succeeding Renewal Year, by NTI or the Fund upon 60 days’ written notice prior to the end of the current Renewal Year. The Board may terminate the contractual arrangement at any time with respect to the Fund if it determines that it is in the best interest of the Fund and its shareholders.

In addition, NTI has contractually agreed to reimburse certain additional expenses that may be excepted expenses.

As compensation for the services rendered as transfer agent, including the assumption by Northern Trust of the expenses related thereto, Northern Trust receives a fee, computed daily and payable monthly, at an annual rate of 0.0385 percent of the average daily net assets of the Fund.

NTI has entered into a sub-administration agreement with Northern Trust, pursuant to which Northern Trust performs certain administrative services for the Fund. NTI pays Northern Trust for its sub-administration services out of NTI’s management fees.

For compensation as custodian, Northern Trust receives an amount based on a pre-determined schedule of charges approved by the Board. The Fund has entered into an expense offset arrangement with the custodian whereby credits realized as a result of uninvested cash balances are used to reduce a portion of the Fund’s custodian expenses, unless such uninvested cash balances receive a separate type of return.

Northern Funds Distributors, LLC, the distributor for the Fund, received no compensation from the Fund under its distribution agreement. However, it received compensation from NTI for its services as distributor pursuant to a separate letter agreement between it and NTI.

Certain officers of the Trust are also officers of Northern Trust and NTI. All officers serve without compensation from the Fund. The Trust provided a deferred compensation plan for its Trustees who are not officers of Northern Trust or NTI. Prior to August 22, 2013, under the deferred compensation plan, Trustees may have elected to defer all or a portion of their compensation. Effective August 22, 2013, the Trustees may no longer defer their compensation. Any amounts deferred and invested under the plan shall remain invested pursuant to the terms of the plan. Each Trustee’s account shall be deemed to be invested in shares of the U.S Government Portfolio of Northern Institutional Funds and/ or the Fund and/or, at the discretion of the Trust, another money market fund selected by the Trust that complies with the provisions of Rule 2a-7 under the 1940 Act or one or more short-term fixed-income instruments selected by the Trust that are “eligible securities” as defined by that rule. The net investment income, gains and losses achieved by such deemed investment shall be credited to the Trustee’s account as provided in the plan.

6. RELATED PARTY TRANSACTIONS

The Fund may invest its uninvested cash in a money market fund advised by NTI or its affiliates. Accordingly, the Fund bears indirectly a proportionate share of that money market fund’s operating expenses. These operating expenses include the management, transfer agent and custody fees that the money market fund pays to NTI and/or its affiliates. At September 30, 2020, the uninvested cash of the Fund was invested in the Northern Institutional Funds U.S. Government Portfolio (the “Portfolio”). The total annual portfolio operating expenses after expense reimbursement (other than certain excepted expenses as described in the fees and expenses table of the Portfolio’s prospectus) on any assets invested in the Portfolio is 0.25%. However, to the extent of any duplicative advisory fees, NTI will reimburse the Fund for a portion of the management fees attributable to and payable by the Fund for advisory services on any assets invested in an affiliated money market fund. This reimbursement is included in Less expenses reimbursed by the investment adviser as a reduction to Total Expenses in the Statement of Operations. This reimbursement’s impact on the Fund’s net expense and net investment income ratios is included in the Fund’s Financial Highlights.

8. CAPITAL SHARE TRANSACTIONS

Transactions in capital shares for the six months ended September 30, 2020, were as follows:


Amounts in thousands	SHARES SOLD	PROCEEDS FROM SHARES SOLD	SHARES FROM REINVESTED DIVIDENDS	REINVESTMENTS OF DIVIDENDS	SHARES REDEEMED	PAYMENTS FOR SHARES REDEEMED	NET INCREASE (DECREASE) IN SHARES	NET INCREASE (DECREASE) IN NET ASSETS

Global Tactical Asset Allocation	358	$4,363	85	$1,068	(753)	$(9,405)	(310)	$(3,974)

Transactions in capital shares for the fiscal year ended March 31, 2020, were as follows:


Amounts in thousands	SHARES SOLD	PROCEEDS FROM SHARES SOLD	SHARES FROM REINVESTED DIVIDENDS	REINVESTMENTS OF DIVIDENDS	SHARES REDEEMED	PAYMENTS FOR SHARES REDEEMED	NET INCREASE (DECREASE) IN SHARES	NET INCREASE (DECREASE) IN NET ASSETS

Global Tactical Asset Allocation	3,381	$44,740	153	$1,963	(1,633)	$(20,178)	1,901	$26,525

9. INVESTMENTS IN AFFILIATES

Transactions in affiliated investments for the six months ended September 30, 2020, were as follows:


Amounts in thousands except shares	VALUE, BEGINNING OF YEAR		PURCHASES		SALES PROCEEDS		NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)		NET REALIZED GAINS (LOSSES)			DIVIDEND INCOME		VALUE, END OF YEAR		SHARES, END OF YEAR

FlexShares^®Credit-Scored US Corporate Bond Index Fund		$ 7,503		$ 7,133		$ 816		$ 620		$ 41			$ 122		$14,481		264,153

FlexShares^®Credit-Scored US Long Corporate Bond Index Fund		1,873		2,671		217		260		1			47		4,588		73,795

FlexShares^®Disciplined Duration MBS Index Fund		2,848		2,909		333		61		(1	)		62		5,484		226,959

FlexShares^®Global Quality Real Estate Index Fund		4,862		77		3,098		951		(564	)		34		2,228		42,445

FlexShares^®High Yield Value-Scored Bond Index Fund		6,985		2,652		493		1,087		(42	)		297		10,189		219,120

FlexShares^®iBoxx 5-Year Target Duration TIPS Index Fund		–		2,247		68		103		1			–		2,283		82,964

FlexShares^®International Quality Dividend Index Fund		5,137		–		379		913		(57	)		130		5,614		271,463

FlexShares^®Morningstar Developed Markets ex-US Factor Tilt Index Fund		9,335		826		924		2,031		(177	)		164		11,091		198,167

FlexShares^®Morningstar Emerging Markets Factor Tilt Index Fund		1,956		2,183		106		436		(11	)		64		4,458		93,598


Amounts in thousands except shares	VALUE, BEGINNING OF YEAR		PURCHASES		SALES PROCEEDS		NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)		NET REALIZED GAINS (LOSSES)			DIVIDEND INCOME		VALUE, END OF YEAR		SHARES, END OF YEAR

FlexShares^®Morningstar Global Upstream Natural Resources Index Fund		$ 3,032		$ –		$ 1,664		$ 720		$ 64			$ 45		$2,152		77,515

FlexShares^®Morningstar US Market Factor Tilt Index Fund		22,050		–		13,436		1,461		3,903			122		13,978		114,577

FlexShares^®Quality Dividend Index Fund		7,616		–		2,217		1,443		252			99		7,094		158,874

FlexShares^®Ready Access Variable Income Fund		–		2,314		–		19		–			8		2,333		30,567

FlexShares^®STOXX^®Global Broad Infrastructure Index Fund		4,187		–		270		642		(4	)		59		4,555		91,350

FlexShares^®US Quality Low Volatility Index Fund		2,094		4,668		538		988		(43	)		43		7,169		168,910

Northern Institutional Funds - U.S. Government Portfolio (Shares)		150		37,893		37,763		–		–			–		280		280,368

		$79,628		$65,573		$62,322		$11,735		$3,363			$1,296		$97,977		2,394,825

10. INDEMNIFICATIONS AND WARRANTIES

In the ordinary course of its business, the Fund may enter into contracts or agreements that contain indemnifications or warranties. Future events could occur that lead to the execution of these provisions against the Fund. The maximum exposure to the Fund under these provisions is unknown, as this would involve future claims that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and believe the risk of loss to be remote.

11. LIBOR TRANSITION

Certain of the Fund’s or the Underlying Funds’ investments, payment obligations and financing terms may be based on floating rates, such as LIBOR, Euro Interbank Offered Rate and other similar types of reference rates (each, a “Reference Rate”). On July 27, 2017, the Chief Executive of the UK Financial Conduct Authority (“FCA”), which regulates LIBOR, announced that the FCA will no longer persuade nor compel banks to submit rates for the calculation of LIBOR and certain other Reference Rates after 2021. Such announcement indicates that the continuation of LIBOR and other Reference Rates on the current basis cannot and will not be guaranteed after 2021. The transition away from Reference Rates may lead to increased volatility and illiquidity in markets that are tied to such Reference Rates and reduced values of Reference Rate-related instruments. This announcement and any additional regulatory or market changes that occur as a result of the transition away from Reference Rates may have an adverse impact on the Fund’s investments, performance or financial condition.

12. CORONAVIRUS (COVID-19) PANDEMIC

international and domestic travel, enhanced health screenings, cancelations, disrupted supply chains and customer activity, responses by businesses (including changes to operations and reducing staff), and have produced general concern and uncertainty. The impact of the coronavirus pandemic, and other epidemics and pandemics that may arise in the future could adversely affect national and global economies, individual companies and the market in general in a manner and for a period of time that cannot be foreseen at the present time and may adversely affect the value, volatility and liquidity of dividend and interest paying securities. In the event of a pandemic or an outbreak, there can be no assurance that the Fund (or the Underlying Funds) and its service providers will be able to maintain normal business operations for an extended period of time or will not lose the services of key personnel on a temporary or long-term basis due to illness or other reasons, and could otherwise disrupt the ability of the Fund’s (or an Underlying Fund’s) service providers to perform essential services. Certain economic and market conditions arising out of a pandemic or outbreak could result in a Fund’s (or an Underlying Fund’s) inability to achieve its investment objectives, cause the postponement of reconstitution or rebalance dates for benchmark indices, adversely affect the prices and liquidity of the securities and other instruments in which a Fund (or an Underlying Fund) invests, negatively impact a Fund’s (or an Underlying Fund’s) performance, and cause losses on your investment in a Fund. Management is monitoring the development of the pandemic, which was ongoing as of the date of the financial statements, and is evaluating its impact on the financial position and operating results of the Fund (or the Underlying Funds).

13. SUBSEQUENT EVENTS

Management has evaluated subsequent events for the Fund through the date the financial statements were issued, and has concluded that there are no recognized or non-recognized

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period, April 1, 2020 through September 30, 2020.

ACTUAL EXPENSES

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled Expenses Paid 4/1/2020 - 9/30/2020 to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5 percent per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5 percent hypothetical example with the 5 percent hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. If these fees were included, your costs would have been higher. The information also does not reflect reimbursements on advisory fees incurred in connection with the investment of uninvested cash in affiliated money market funds (See page 11) which may result in different expense ratios in the Financial Highlights. Therefore, the hypothetical information is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

The Board of Trustees (the “Board” or the “Trustees”) of Northern Funds (the “Trust”) oversees the management of the Trust, including review of the investment performance and expenses of the investment fund covered by this Report (the “Fund”) at regularly scheduled meetings held during the Fund’s fiscal year. In addition, the Trustees determine annually whether to approve and continue the Trust’s management agreement (the “Management Agreement”) for the Fund with Northern Trust Investments, Inc. (“Northern”).

The Management Agreement was re-approved with respect to the Fund by the Board, including all of the Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of any party thereto (the “Independent Trustees”) voting separately, at the annual contract renewal meeting held on May 13-14, 2020 (the “Annual Contract Meeting”).⁽¹⁾

In evaluating the Management Agreement, the Trustees reviewed the Fund’s Management Agreement. The Trustees also reviewed Northern’s reports and presentations and discussed with their independent counsel the information that had been provided to them at the February and April Board Meetings and at the Annual Contract Meeting, as well as their interactions with Northern throughout the year and in past years at various meetings. The Trustees noted that the evaluation process with respect to Northern and the Management Agreement was an ongoing one throughout the year. The materials reviewed by the Trustees included, without limitation: (i) information on the investment performance of the Fund in comparison to other mutual funds and benchmark indices; (ii) compliance reports; (iii) information about Northern’s and its affiliates’ risk management processes and stress testing, credit research, business continuity and cyber-security programs; (iv) fees charged to and expenses borne by the Fund; (v) Northern’s profitability and costs and compensation paid to affiliates of Northern; (vi) the qualifications

of Northern and its affiliates to provide services to the Fund; (vii) information regarding purchases and redemptions of the Fund’s shares; (viii) policies adopted by Northern regarding brokerage, including soft dollars, trade allocations and other matters; and (ix) the nature of the Fund’s shareholders. The Trustees also considered the nature, quality and extent of non-advisory services provided to the Fund by Northern’s affiliates.

More specifically, the Trustees reviewed, among other things, information relating to: (i) the terms of the Management Agreement; (ii) the Fund’s investment performance over different time periods in comparison to the investment performance of mutual fund peer groups and categories selected by Broadridge, an independent third-party provider of mutual fund data; (iii) the contractual and net management fees and total expenses (after expense reimbursements and fee waivers) of the Fund in comparison to those borne by mutual fund peer groups and categories selected by Broadridge; (iv) Northern’s staffing for the Fund and the experience of the portfolio managers, credit research and other personnel; (v) Northern’s financial resources and its ability to attract and retain portfolio management talent; (vi) Northern’s investments in technology to benefit the Fund; (vii) the fees paid by the Fund to Northern and its affiliates for services, and the expenses incurred by them in connection with the provision of those services; and (viii) the benefits received by Northern and its affiliates from their relationships with the Fund. The Trustees were provided with a description of the methodology Broadridge used to determine the similarity of the Fund with the funds included in its peer group and peer universe. The Trustees also took into account factors such as conditions and trends prevailing generally in the economy, the securities markets, and the industry. In evaluating the Management Agreement for the Fund, the Trustees gave weight to various factors including those discussed herein, but did not identify any single factor as controlling their decision, and each Trustee may have attributed different weight to different factors.

Nature, Extent and Quality of Services

The Trustees considered, as part of their review, the nature, quality and extent of the services provided by Northern. In this regard, they considered both the investment advisory services, and separately the administrative and other non-advisory services that are provided to the Fund by Northern and its affiliates. These services included acting as the Fund’s administrator and sub-administrator, custodian and transfer agent and providing other services necessary for the operation of the Fund and the Trust. The Trustees understood that the Management Agreement encompassed both the advisory and administrative functions being rendered by Northern and its affiliates. They considered the quality of Northern’s communications with and services to shareholders, as well as the expenditures made by Northern and its affiliates to improve the quality and scope of their services to the Fund. The Trustees considered the strength of Northern’s and its affiliates’ risk management processes. The Trustees also reviewed the compliance and administrative services provided to

the Fund by Northern and its affiliates, including its oversight of the Fund’s day-to-day operations and fund accounting. The Trustees also noted that on a regular basis they received and reviewed information from the Trust’s Chief Compliance Officer regarding the Fund’s compliance policies and procedures pursuant to Rule 38a-1 under the 1940 Act. They also considered the quality of Northern’s compliance oversight program with respect to all of the Fund’s service providers and the continued involvement of Northern’s internal audit group in reviewing operations that support the Fund, as well as Northern’s responses to any compliance or operational issue raised during the year. The Trustees also took into account that the scope of services provided by Northern, and the undertakings required of Northern in connection with those services, including maintaining and monitoring their own and the Fund’s compliance programs, had expanded over time as a result of regulatory, market and other developments. They also considered Northern’s preparations with respect to the increased reporting requirements and liquidity risk management program required by SEC regulations.

The Trustees took into account the qualifications, background and responsibilities of Northern’s senior management and investment personnel. They also noted Northern’s recruitment and retention plans for attracting high quality investment professionals, as well as its portfolio management compensation structure, which was not based on performance or size of the Fund, and the consistency of investment approach with respect to the Fund. The Trustees also considered Northern’s and its affiliates’ strong financial position and stability. The Trustees concluded that Northern was able to commit, and had committed, substantial financial and other resources to the operations of the Fund and was able to continue to provide quality services to the Fund.

Performance

The Trustees considered the investment performance of the Fund, including whether it had operated within its investment objective, as well as its compliance with its investment restrictions and exemptive order conditions. The Trustees understood that the Fund had a “fund of funds” structure. The Trustees received information on the Fund’s investment performance for one, two, three, four, five and ten years, as well as performance for the most recent quarter and year-to-date. They compared the investment performance of the Fund to the performance of other SEC registered funds and to rankings issued by Broadridge. The Fund was ranked by Broadridge in quintiles, ranging from first to fifth, where first is the most desirable quintile position and fifth is the least desirable. The Trustees also reviewed the Fund’s investment performance relative to its performance benchmark and the Fund’s three-year performance versus net expenses as calculated by Broadridge (“Broadridge Bubble Chart”). The Trustees noted that the performance of the Fund was in the second or third quintile for the one-, three- and five-year periods ended January 31, 2020. They also considered that the Fund underperformed its benchmark for the one-, three- and fiver-year periods ended March 31, 2020.

The Trustees also took into account senior management’s and portfolio managers’ discussion of the Fund’s performance and explanations for differences in investment parameters of the Fund and its peers. They also considered the Fund’s investment performance relative to the investor base the Fund is intended to serve. In addition, the Trustees reviewed the consistency of Northern’s investment approach for the Fund and processes to address performance issues. The Trustees concluded, based on the information received, that the Fund’s performance was satisfactory.

Fee Rates, Costs of Services and Profitability

The Trustees also evaluated the Fund’s contractual management fee rates and net (after expense reimbursements) management fees paid by the Fund; the Fund’s total operating expense ratio; Northern’s contractual commitment to continue expense reimbursements for at least one year with respect to the Fund; and whether a consistent methodology was in place for determining the fees and expenses of the Fund. The Trustees also considered that because the Fund was sweeping uninvested cash into a Northern-affiliated money market Portfolio, Northern was rebating back to the Fund all of the advisory fees received by Northern, if any, of the applicable money market Portfolio.

The Trustees reviewed information on the fee rate paid by the Fund under the Management Agreement and the Fund’s total operating expense ratio compared to similar information for mutual funds advised by unaffiliated investment management firms, as prepared by Broadridge. The Broadridge report compared the expenses of the Fund against its Broadridge peer group and universe. In comparing the Fund’s contractual and net management fees to those of comparable funds, the Trustees noted that the Fund’s management fee includes both advisory and administrative costs. Among other things, the Trustees noted that the Fund’s actual management fees were lower than its peer group and universe medians, and the Fund’s actual expenses, after reimbursements and fee waivers, were in the first quintile of its peer group and peer universe.

The Trustees took into account Northern’s discussion of the Fund’s expenses, and that Northern had reimbursed expenses for the Fund.

In addition, the Trustees considered the amount of assets in the Fund; the information provided by Northern relating to the costs of the services provided by it and its affiliates; and the profits realized by them through their relationship with the Fund and on an overall Trust basis and both before and after distribution and certain non-distribution costs. The Trustees considered Northern’s assumptions and methodology for allocating costs to the Fund, recognizing that cost allocation methodologies are inherently subjective and not audited.

The Trustees also determined that the management fees charged under the Management Agreement were based on services provided that were in addition to, rather than duplicative of, services provided under the management agreement of any affiliated underlying funds in which the Fund invested in the prior year.

The Trustees also discussed information provided by Broadridge with respect to Northern’s profitability compared to other publicly traded advisers. They considered that comparisons of advisory agreement profitability across fund families are difficult because of numerous factors, including the type of funds managed, business mix, cost allocation methodologies and other factors. The Trustees also took into account Northern’s expense reimbursements during the year, the nature of the Fund and the high quality of the services provided by Northern. The Trustees understood that Northern should be entitled to earn a reasonable level of profit in exchange for the level of services it provides to the Fund. The Trustees concluded that the profitability of Northern was not unreasonable based on the services and benefits provided and the costs assumed by Northern and its affiliates. They also noted that Northern appeared to have the resources necessary to fulfill its obligations under its management and other agreements with the Fund.

Economies of Scale

The Trustees considered the extent to which economies of scale would be realized as the Fund grow and whether fee levels reflected these economies of scale for the benefit of shareholders. They took into account management’s discussion of the Fund’s management fee structure and considered Northern’s view that the Fund is sharing in economies of scale through the level at which the Fund’s management fees are set and through Northern’s contractual expense reimbursements that limit the expenses for the Fund to specific levels. They agreed that breakpoints were not necessary with respect to the Fund at this time based the level of management fees and the contractual expense reimbursements in place. The Trustees determined, on the basis of the foregoing, that the Fund’s current management fee structure was reasonable.

Other Benefits to Northern

The Trustees also reviewed other benefits accruing to Northern and its affiliates as a result of their relationship with the Fund. Those benefits included fees received by the affiliates for transfer agency, custodial and sub-administrative functions. The Trustees also considered that many of the Fund’s shareholders had other client relationships with The Northern Trust Company and its affiliates. In addition, the Trustees considered that the scale of the Fund provided opportunities to Northern to obtain securities trading advantages for its other advisory clients and that Northern and its affiliates benefit from their ability to leverage resources

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

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.

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.


	2			STATEMENTS OF ASSETS AND LIABILITIES

	4			STATEMENTS OF OPERATIONS

	6			STATEMENTS OF CHANGES IN NET ASSETS

	8			FINANCIAL HIGHLIGHTS

	17			SCHEDULES OF INVESTMENTS

	17			INCOME EQUITY FUND
				Ticker Symbol: NOIEX

	21			INTERNATIONAL EQUITY FUND
				Ticker Symbol: NOIGX

	26			LARGE CAP CORE FUND
				Ticker Symbol: NOLCX

	30			LARGE CAP VALUE FUND
				Ticker Symbol: NOLVX

	35			SMALL CAP CORE FUND
				Ticker Symbols:
				Class K: NSCKX
				Class I: NSGRX

	57			SMALL CAP VALUE FUND
				Ticker Symbol: NOSGX

	67			U.S. QUALITY ESG FUND
				Ticker Symbols:
				Class K: NUESK
				Class I: NUEIX

	71			NOTES TO THE FINANCIAL STATEMENTS

	83			FUND EXPENSES

	85			APPROVAL OF MANAGEMENT AGREEMENT

	92			FOR MORE INFORMATION


SMALL CAP CORE FUND		SMALL CAP VALUE FUND		U.S. QUALITY ESG FUND

	$382,373		$2,174,835		$186,294
	5,352		37,213		70
	—		—		—
	—		—		—
	—		—		—
	310		3,942		128
	—		—		—
	800		—		—
	—		42		—
	14		1,821		—
	6		58		4
	38		30		31
	388,893		2,217,941		186,527

	2,286		—		—
	7		65		—
	160		12,223		—

	29		339		11
	—		25		—
	40		1,085		—
	13		74		6
	4		13		2
	—		—		—
	5		11		6
	2,544		13,835		25
	$386,349		$2,204,106		$186,502

	$261,347		$2,047,635		$159,378
	125,002		156,471		27,124
	$386,349		$2,204,106		$186,502

	—		2,204,106		—
	208,937		—		186,442
	177,412		—		60

	—		139,548		—
	8,910		—		13,922
	7,567		—		4

	—		15.79		—
	23.45		—		13.39
	23.44		—		13.39
	$280,867		$2,177,130		$159,872
	5,352		37,213		70


SMALL CAP CORE FUND			SMALL CAP VALUE FUND			U.S. QUALITY ESG FUND

	$2,700			$27,277			$1,365

	3			42			1

	5			35			—

	2,708			27,354			1,366

	1,095			10,630			299

	40			94			10

	74			431			29

	15			24			12

	48			117			48

	20			38			20

	71			1,893			—

	33			—			—

	3			14			1

	—			—			—

	7			19			6

	1,406			13,260			425

	(229	)		(2,048	)		(110	)

	1,177			11,212			315

	1,531			16,142			1,051

	19,447			152,916			1,720

	—			—			—

	2,918			29,782			261

	—			—			—

	62,900			142,354			35,219

	—			—			—

	(545	)		(3,898	)		(34	)

	—			—			—

	84,720			321,154			37,166

	$86,251			$337,296			$38,217





FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2020, (UNAUDITED) OR THE FISCAL YEAR ENDED MARCH 31, 2020


SMALL CAP CORE FUND						SMALL CAP VALUE FUND						U.S. QUALITY ESG FUND
SEP 30, 2020			MAR 31, 2020			SEP 30, 2020			MAR 31, 2020			SEP 30, 2020			MAR 31, 2020

	$1,531			$3,230			$16,142			$32,044			$1,051			$1,569

	22,365			(1,587	)		182,698			133,958			1,981			(683	)

	62,355			(106,107	)		138,456			(953,587	)		35,185			(10,846	)

	86,251			(104,464	)		337,296			(787,585	)		38,217			(9,960	)

	(430,293	)⁽¹⁾		16,577			(210,090	)		100,834			(137,880	)⁽¹⁾		79,589

	208,626			—			—			—			181,331			—

	177,699			—			—			—			61			—

	(43,968	)		16,577			(210,090	)		100,834			43,512			79,589

	—			(29,297	)		—			(208,800	)		(473	)		(2,023	)

	—			(29,297	)		—			(208,800	)		(473	)		(2,023	)

	—			—			—			—			(528	)		—

	—			—			—			—			(528	)		—

	—			—			—			—			—	*		—

	—			—			—			—			—	*		—

	42,283			(117,184	)		127,206			(895,551	)		80,728			67,606

	344,066			461,250			2,076,900			2,972,451			105,774			38,168

	$386,349			$344,066			$2,204,106			$2,076,900			$186,502			$105,774


SCHEDULE OF INVESTMENTS


INCOME EQUITY FUND continued		SEPTEMBER 30, 2020 (UNAUDITED)


SCHEDULE OF INVESTMENTS


INTERNATIONAL EQUITY FUND continued


SCHEDULE OF INVESTMENTS


LARGE CAP CORE FUND continued


SCHEDULE OF INVESTMENTS


LARGE CAP VALUE FUND continued


SCHEDULE OF INVESTMENTS


SMALL CAP CORE FUND continued


SCHEDULE OF INVESTMENTS


SMALL CAP VALUE FUND continued


		EQUITY FUNDS


TABLE OF CONTENTS


NORTHERN FUNDS SEMIANNUAL REPORT			1			EQUITY FUNDS


EQUITY FUNDS		2		NORTHERN FUNDS SEMIANNUAL REPORT


NORTHERN FUNDS SEMIANNUAL REPORT			3			EQUITY FUNDS


SCHEDULE OF INVESTMENTS


U.S. QUALITY ESG FUND continued


EQUITY FUNDS


NOTES TO THE FINANCIAL STATEMENTS continued



FUND EXPENSES continued				SEPTEMBER 30, 2020 (UNAUDITED)


EQUITY FUNDS


APPROVAL OF MANAGEMENT AGREEMENT continued


EQUITY INDEX FUNDS


STATEMENTS OF ASSETS AND LIABILITIES


GLOBAL SUSTAINABILITY INDEX FUND			INTERNATIONAL EQUITY INDEX FUND			MID CAP INDEX FUND			SMALL CAP INDEX FUND			STOCK INDEX FUND

	$9,593	⁽¹⁾		$63,571	⁽¹⁾		$15,718			$7,032	⁽¹⁾		$82,186

	—			—			—			—			—

	14			8			9			6			172

	—			—			20			7			65

	9,607			63,579			15,747			7,045			82,423

	775			3,918			1,264			678			3,666

	61			328			92			53			330

	166			838			374			201			1,764

	23			21			25			12			33

	23			18			12			8			27

	20			46			32			26			56

	88			101			94			31			62

	46			—			—			—			—

	3			14			11			7			25

	—			—			—			—			—

	16			63			14			11			31

	1,221			5,347			1,918			1,027			5,994

	(41	)		(11	)		(443	)		(234	)		(1,370	)

	1,180			5,336			1,475			793			4,624

	8,427			58,243			14,272			6,252			77,799

	(8,276	)		(117,501	)		51,676			31,795			158,560

	(15	)		—			—			—			24

	3,562			20,196			7,770			4,474			34,036

	415			1,461			—			—			—

	25			1,416			—			—			—

	186,892			830,337			425,385			230,550			2,138,056

	34			—			—			—			178

	(360	)		(10,703	)		(142	)		(662	)		3,035

	43			760			—			—			—

	19			(294	)		—			—			—

	182,339			725,672			484,689			266,157			2,333,889

	$190,766			$783,915			$498,961			$272,409			$2,411,688


SCHEDULE OF INVESTMENTS


EMERGING MARKETS EQUITY INDEX FUND continued


SCHEDULE OF INVESTMENTS


EMERGING MARKETS EQUITY INDEX FUND continued		SEPTEMBER30, 2020 (UNAUDITED)


SCHEDULE OF INVESTMENTS


GLOBAL REAL ESTATE INDEX FUND continued


SCHEDULE OF INVESTMENTS


GLOBAL SUSTAINABILITY INDEX FUND


SCHEDULE OF INVESTMENTS


GLOBAL SUSTAINABILITY INDEX FUND continued


SCHEDULE OF INVESTMENTS


INTERNATIONAL EQUITY INDEX FUND continued


SCHEDULE OF INVESTMENTS


MID CAP INDEX FUND continued		SEPTEMBER30, 2020 (UNAUDITED)


SCHEDULE OF INVESTMENTS


SMALL CAP INDEX FUND continued


Amounts in thousands	UNREALIZED APPRECIATION		UNREALIZED DEPRECIATION			NET APPRECIATION (DEPRECIATION)		COST BASIS OF INVESTMENTS

Emerging Markets Equity Index		$ 735,262		$(149,968	)		$ 585,294		$1,281,588

Global Real Estate Index		245,986		(160,498	)		85,488		1,257,776

Global Sustainability Index		247,720		(48,687	)		199,033		762,239

International Equity Index		1,329,648		(527,959	)		801,689		3,623,795

Mid Cap Index		519,766		(211,979	)		307,787		1,619,656

Small Cap Index		367,141		(126,855	)		240,286		877,209

Stock Index		5,950,483		(234,111	)		5,716,372		3,757,549



SMALL CAP INDEX
SHARES	EXPENSE RATIO			BEGINNING ACCOUNT VALUE 4/1/2020			ENDING ACCOUNT VALUE 9/30/2020			EXPENSES PAID* 4/1/2020- 9/30/2020

Actual		0.15	%		$	1,000.00		$	1,313.70		$	0.87

Hypothetical		0.15	%		$	1,000.00		$	1,024.25		$	0.76

STOCK INDEX
SHARES	EXPENSE RATIO			BEGINNING ACCOUNT VALUE 4/1/2020			ENDING ACCOUNT VALUE 9/30/2020			EXPENSES PAID* 4/1/2020- 9/30/2020

Actual		0.10	%		$	1,000.00		$	1,312.80		$	0.58

Hypothetical		0.10	%		$	1,000.00		$	1,024.50		$	0.51


FIXED INCOME FUNDS


STATEMENTS OF ASSETS AND LIABILITIES


	CORE BOND FUND						FIXED INCOME FUND						HIGH YIELD FIXED INCOME FUND						SHORT BOND FUND
Amounts in thousands	SEP 30, 2020			MAR 31, 2020			SEP 30, 2020			MAR 31, 2020			SEP 30, 2020			MAR 31, 2020			SEP 30, 2020			MAR 31, 2020

OPERATIONS:

Net investment income		$1,510			$4,929			$8,259			$22,368			$99,823			$230,896			$3,589			$9,428

Net realized gains (losses)		3,613			9,509			14,360			32,795			(63,447	)		(15,449	)		996			2,080

Net change in unrealized appreciation (depreciation)		5,944			(1,078	)		32,885			(14,232	)		488,486			(590,336	)		9,555			(3,586	)

Net Increase (Decrease) in Net Assets Resulting from Operations		11,067			13,360			55,504			40,931			524,862			(374,889	)		14,140			7,922

CAPITAL SHARE TRANSACTIONS:

Net increase (decrease) in net assets resulting from capital share transactions		46,660			(68,244	)		46,834			(22,823	)		(180,336	)		(32,504	)		33,011			(51,241	)

Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions		46,660			(68,244	)		46,834			(22,823	)		(180,336	)		(32,504	)		33,011			(51,241	)

DISTRIBUTIONS PAID:

Distributable earnings		(2,002	)		(5,453	)		(10,042	)		(24,412	)		(97,805	)		(235,335	)		(3,806	)		(9,580	)

Total Distributions Paid		(2,002	)		(5,453	)		(10,042	)		(24,412	)		(97,805	)		(235,335	)		(3,806	)		(9,580	)

Total Increase (Decrease) in Net Assets		55,725			(60,337	)		92,296			(6,304	)		246,721			(642,728	)		43,345			(52,899	)

NET ASSETS:

Beginning of period		194,834			255,171			841,826			848,130			3,153,247			3,795,975			371,803			424,702

End of period		$250,559			$194,834			$934,122			$841,826			$3,399,968			$3,153,247			$415,148			$371,803


SHORT- INTERMEDIATE U.S. GOVERNMENT FUND		TAX-ADVANTAGED ULTRA-SHORT FIXED INCOME FUND		ULTRA-SHORT FIXED INCOME FUND		U.S. GOVERNMENT FUND
SEP 30, 2020	MAR 31, 2020	SEP 30, 2020	MAR 31, 2020	SEP 30, 2020	MAR 31, 2020	SEP 30, 2020	MAR 31, 2020

$41	$807	$18,815	$59,395	$16,936	$56,611	$48	$512

636	2,310	3,441	6,529	1,510	6,179	756	2,201

(309)	391	36,142	(9,254)	55,386	(30,794)	(458)	375

368	3,508	58,398	56,670	73,832	31,996	346	3,088

19,170	(4,990)	828,896	(265,038)	1,242,851	(210,977)	16,653	817

19,170	(4,990)	828,896	(265,038)	1,242,851	(210,977)	16,653	817

(78)	(845)	(18,816)	(62,280)	(17,129)	(56,631)	(73)	(534)

(78)	(845)	(18,816)	(62,280)	(17,129)	(56,631)	(73)	(534)
19,460	(2,327)	868,478	(270,648)	1,299,554	(235,612)	16,926	3,371

58,501	60,828	3,737,559	4,008,207	2,189,187	2,424,799	39,379	36,008

$77,961	$58,501	$4,606,037	$3,737,559	$3,488,741	$2,189,187	$56,305	$39,379


FIXED INCOME FUNDS



FINANCIAL HIGHLIGHTS continued