NPORT-EX 2 cfif_nport.htm SOI

GuideMark® Core Fixed Income Fund
      
Schedule of Investments (Unaudited)
      
June 30, 2021
      
       
Principal
Amount
      
Value
  
   
ASSET BACKED SECURITIES - 4.97%
      
   
Affirm Asset Securitization Trust
      
 
50,089
  
Series 2020-Z1A, 3.460%, 10/15/2024 (c)(g)
  
$
50,753
  
 
151,101
  
Series 2020-Z2A, 1.900%, 01/15/2025 (c)(g)
    
152,313
  
 
150,000
  
AmeriCredit Automobile Receivables Trust
        
     
Series 2019-3D, 2.580%, 09/18/2025
    
155,967
  
 
362,262
  
Atrium XII
        
     
Series 2015-12R, 1.014% (3 Month LIBOR USD + 0.830%, 0.000% Floor), 04/22/2027 (a)(c)
    
362,224
  
 
160,000
  
Avant Loans Funding Trust
        
     
Series 2021-REV1 A, 1.210%, 07/15/2030 (c)(g)
    
159,916
  
 
450,000
  
Bain Capital Credit CLO Ltd.
        
     
Series 2017-2A AR2, 1.180% (3 Month LIBOR USD + 1.180%, 1.180% Floor), 07/25/2034 (a)(c)
    
450,366
  
     
Carlyle Global Market Strategies CLO, Ltd.
        
 
212,772
  
Series 2013-2A, 1.080% (3 Month LIBOR USD + 0.890%, 0.000% Floor), 01/18/2029 (a)(c)
    
212,834
  
 
442,445
  
Series 2017-1A, 1.488% (3 Month LIBOR USD + 1.300%, 0.000% Floor), 04/21/2031 (a)(c)
    
443,030
  
 
94,563
  
CF Hippolyta LLC
        
     
Series 2020-1A2, 1.990%, 07/15/2060 (c)
    
96,219
  
     
Domino's Pizza Master Issuer LLC
        
 
185,250
  
Series 2018-1, 4.116%, 07/25/2048 (c)(g)
    
194,104
  
 
74,063
  
Series 2019-1, 3.668%, 10/25/2049 (c)
    
80,441
  
 
190,000
  
Series 2021-1A A2I, 2.662%, 04/25/2051 (c)
    
197,411
  
 
135,000
  
Drive Auto Receivables Trust
        
     
Series 2019-4, 2.700%, 02/16/2027
    
138,932
  
     
Exeter Automobile Receivables Trust
        
 
300,000
  
Series 2019-4, 2.580%, 09/15/2025 (c)
    
308,218
  
 
90,000
  
Series 2020-1, 2.730%, 12/15/2025 (c)
    
92,555
  
 
100,000
  
GCO Education Loan Funding Trust
        
     
Series 2006-1, 0.377% (3 Month LIBOR USD + 0.230%, 0.000% Floor), 05/25/2036 (a)
    
98,936
  
 
45,465
  
GLS Auto Receivables Issuer Trust
        
     
Series 2019-4, 2.470%, 11/15/2023 (c)
    
45,764
  
 
300,000
  
GTP Acquisition Partners I LLC
        
     
Series 2015-2, 3.482%, 06/15/2050 (c)
    
319,173
  
 
605,000
  
Harriman Park CLO Ltd.
        
     
Series 2020-1A A1R, 1.308% (3 Month LIBOR USD + 1.120%, 1.120% Floor), 04/20/2034 (a)(c)
    
605,520
  
 
172,629
  
LCM XX LP
        
     
Series 2015-20R, 1.228% (3 Month LIBOR USD + 1.040%, 0.000% Floor), 10/20/2027 (a)(c)
    
172,691
  
 
58,656
  
Marlette Funding Trust
        
     
Series 2019-4, 2.390%, 12/15/2029 (c)(g)
    
58,962
  
 
120,000
  
Mercury Financial Credit Card Master Trust
        
     
Series 2021-1A, 1.540%, 03/20/2026 (c)
    
120,431
  
 
52,054
  
OCP CLO, Ltd.
        
     
Series 2015-9R, 0.984% (3 Month LIBOR USD + 0.800%, 0.000% Floor), 07/15/2027 (a)(c)
    
52,076
  
 
235,248
  
OneMain Financial Issuance Trust
        
     
Series 2018-1A, 3.300%, 03/14/2029 (c)
    
236,056
  
 
238,635
  
OZLM VII, Ltd.
        
     
Series 2014-7R, 1.200% (3 Month LIBOR USD + 1.010%, 1.010% Floor), 07/17/2029 (a)(c)
    
238,810
  
 
130,311
  
OZLM XII, Ltd.
        
     
Series 2015-12R, 1.236% (3 Month LIBOR USD + 1.050%, 0.000% Floor), 04/30/2027 (a)(c)
    
130,379
  
 
420,000
  
Regatta VI Funding Ltd.
        
     
Series 2016-1A AR2, 1.295% (3 Month LIBOR USD + 1.160%, 1.160% Floor), 04/20/2034 (a)(c)
    
420,361
  
     
RR Ltd.
        
 
480,000
  
Series 2017-1A A1AB, 1.230% (3 Month LIBOR USD + 1.150%, 1.150% Floor), 07/16/2035 (a)(c)
    
480,553
  
 
330,000
  
Series 2021-16A A1, 1.191% (3 Month LIBOR USD + 1.110%, 1.110% Floor), 07/15/2036 (a)(c)
    
330,305
  
     
Santander Drive Auto Receivables Trust
        
 
205,000
  
Series 2019-3, 2.680%, 10/15/2025
    
210,165
  
 
45,000
  
Series 2020-4, 1.480%, 01/15/2027
    
45,610
  
     
Sound Point CLO, Ltd.
        
 
335,000
  
Series 2018-3, 1.134% (3 Month LIBOR USD + 0.950%, 0.000% Floor), 04/16/2029 (a)(c)
    
335,639
  
 
410,000
  
Series 2021-1A A, 1.210% (3 Month LIBOR USD + 1.070%, 1.070% Floor), 04/25/2034 (a)(c)
    
409,997
  
 
35,062
  
Springleaf Funding Trust
        
     
Series 2017-A, 2.680%, 07/15/2030 (c)
    
35,143
  
 
100,000
  
Summit Issuer LLC
        
     
Series 2020-1, 2.290%, 12/20/2050 (c)
    
99,994
  
 
290,913
  
TICP CLO, Ltd.
        
     
Series 2018-3, 1.028% (3 Month LIBOR USD + 0.840%, 0.840% Floor), 04/20/2028 (a)(c)
    
290,163
  
 
453,119
  
Voya CLO, Ltd.
        
     
Series 2015-1, 1.090% (3 Month LIBOR USD + 0.900%, 0.900% Floor), 01/18/2029 (a)(c)
    
453,349
  
 
370,000
  
Wellfleet CLO X Ltd.
        
     
Series 2019-XA A1R, 1.344% (3 Month LIBOR USD + 1.170%, 0.000% Floor), 07/20/2032 (a)(c)
    
370,282
  
     
Wendy's Funding LLC
        
 
77,200
  
Series 2018-1, 3.884%, 03/15/2048 (c)(g)
    
82,466
  
 
245,000
  
Series 2021-1A A2I, 2.370%, 06/15/2051 (c)
    
248,261
  
 
220,000
  
Westlake Automobile Receivables Trust
        
     
Series 2019-3, 2.720%, 11/15/2024 (c)
    
226,361
  
 
99,750
  
Wingstop Funding LLC
        
     
Series 2020-1, 2.841%, 12/05/2050 (c)(g)
    
103,986
  


 
112,428
  
Z Capital Credit Partners CLO, Ltd.
        
     
Series 2015-1, 1.134% (3 Month LIBOR USD + 0.950%, 0.950% Floor), 07/16/2027 (a)(c)
    
112,271
  
     
Total Asset Backed Securities (Cost $9,321,761)
    
9,428,987
  
               
     
COLLATERALIZED MORTGAGE OBLIGATIONS - 14.93%
        
 
144,707
  
Ajax Mortgage Loan Trust
        
     
Series 2021-C A, 2.115%, 01/25/2061 (c)(j)
    
147,603
  
     
Angel Oak Mortgage Trust
        
 
238,191
  
Series 2020-R1, 0.990%, 04/25/2053 (b)(c)
    
238,447
  
 
69,809
  
Series 2020-6 TR, 1.261%, 05/25/2065 (b)(c)
    
70,067
  
 
264,044
  
Series 2021-1, 0.909%, 01/25/2066 (b)(c)
    
263,779
  
 
212,353
  
Series 2021-2 A1, 0.985%, 04/25/2066 (b)(c)
    
212,345
  
     
Angel Oak Mortgage Trust I LLC
        
 
48,424
  
Series 2018-3, 3.649%, 09/25/2048 (b)(c)
    
48,788
  
 
51,622
  
Series 2019-2, 3.628%, 03/25/2049 (b)(c)
    
52,293
  
 
150,940
  
Series 2019-4, 2.993%, 07/26/2049 (b)(c)
    
152,380
  
 
103,505
  
Series 2019-3, 2.930%, 05/25/2059 (b)(c)
    
104,108
  
 
100,000
  
Arbor Realty Collateralized Loan Obligation Ltd.
        
     
Series 2021-FL2 A, 1.200% (1 Month LIBOR USD + 1.100%, 1.100% Floor), 05/15/2036 (a)(c)
    
100,313
  
     
Arroyo Mortgage Trust
        
 
97,511
  
Series 2018-1, 3.763%, 04/25/2048 (b)(c)
    
97,599
  
 
143,375
  
Series 2019-3, 2.962%, 10/25/2048 (b)(c)
    
145,614
  
 
161,589
  
Series 2019-2, 3.347%, 04/25/2049 (b)(c)
    
164,617
  
     
 BANK
        
 
2,146,124
  
Series 2019-BNK23, 0.814%, 12/17/2052 (b)(i)
    
110,713
  
 
991,562
  
Series 2019-BNK18, 1.046%, 05/17/2062 (b)(i)
    
59,813
  
 
1,275,451
  
Series 2019-BNK20, 0.960%, 09/15/2062 (b)(i)
    
74,399
  
 
1,317,937
  
Series 2019-BNK22, 0.716%, 11/17/2062 (b)(i)
    
57,500
  
 
994,707
  
Series 2019-BNK24, 0.764%, 11/17/2062 (b)(i)
    
47,934
  
 
993,515
  
Series 2020-BNK26, 1.351%, 03/16/2063 (b)(i)
    
85,844
  
 
1,561,009
  
Series 2020-BNK28, 1.901%, 03/16/2063 (b)(i)
    
213,437
  
 
51,993
  
Bayview Koitere Fund Trust
        
     
Series 2017-RT4, 3.500%, 07/28/2057 (b)(c)
    
53,432
  
 
139,777
  
Bayview Mortgage Fund IVc Trust
        
     
Series 2017-RT3A, 3.500%, 01/28/2058 (b)(c)
    
141,438
  
     
Bayview Opportunity Master Fund IVa Trust
        
 
130,342
  
Series 2017-SPL5A, 3.500%, 06/28/2057 (b)(c)
    
133,493
  
 
46,859
  
Series 2017-SPL1A, 4.000%, 10/28/2064 (b)(c)
    
47,916
  
     
Bayview Opportunity Master Fund IVb Trust
        
 
36,490
  
Series 2017-SPL3, 4.000%, 11/28/2053 (b)(c)
    
37,329
  
 
48,127
  
Series 2017-RT6, 3.500%, 10/28/2057 (b)(c)
    
48,619
  
 
132,000
  
BBCMS Mortgage Trust
        
     
Series 2017-DELC, 0.923% (1 Month LIBOR USD + 0.850%, 0.850% Floor), 08/15/2036 (a)(c)
    
132,265
  
     
Benchmark Mortgage Trust
        
 
325,000
  
Series 2019-B11, 3.410%, 05/17/2052
    
343,671
  
 
999,728
  
Series 2019-B12, 1.202%, 08/16/2052 (b)(i)
    
61,947
  
 
394,656
  
Series 2020-B18, 1.919%, 07/17/2053 (b)(i)
    
44,625
  
 
753,294
  
Series 2020-B22, 1.636%, 01/15/2054 (b)(i)
    
90,240
  
 
1,501,317
  
Series 2019-B10, 1.390%, 03/17/2062 (b)(i)
    
114,069
  
     
BlueMountain CLO, Ltd.
        
 
260,000
  
Series 2019-24A AR, 1.260% (3 Month LIBOR USD + 1.100%, 1.100% Floor), 04/20/2034 (a)(c)
    
260,224
  
 
565,000
  
Series 2021-31A A1, 1.150% (3 Month LIBOR USD + 1.150%, 1.150% Floor), 04/19/2034 (a)(c)
    
565,280
  
 
156,621
  
BRAVO Residential Funding Trust
        
     
Series 2021-NQM1 A1, 0.941%, 02/25/2049 (b)(c)
    
156,457
  
     
BX Commercial Mortgage Trust
        
 
95,267
  
Series 2018-IND, 0.823% (1 Month LIBOR USD + 0.750%, 0.750% Floor), 11/15/2035 (a)(c)
    
95,406
  
 
312,317
  
Series 2019-XL, 0.993% (1 Month LIBOR USD + 0.920%, 0.920% Floor), 10/15/2036 (a)(c)
    
313,080
  
 
100,000
  
CAMB Commercial Mortgage Trust
        
     
Series 2019-LIFE, 1.523% (1 Month LIBOR USD + 1.450%, 1.450% Floor), 12/15/2037 (a)(c)
    
100,308
  
 
145,000
  
Century Plaza Towers
        
     
Series 2019-CPT, 2.865%, 11/16/2039 (c)
    
154,980
  
 
8,003
  
Chase Mortgage Finance Trust
        
     
Series 2007-A1, 2.369%, 02/25/2037 (b)
    
8,397
  
 
35,635
  
CIM Trust
        
     
Series 2017-7, 3.000%, 04/25/2057 (b)(c)
    
36,266
  
     
Citigroup Commercial Mortgage Trust
        
 
296,312
  
Series 2016-P3, 3.329%, 04/16/2049
    
320,917
  
 
505,000
  
Series 2016-P4, 2.902%, 07/12/2049
    
539,722
  
     
Citigroup Mortgage Loan Trust
        
 
53,682
  
Series 2019-IMC1, 2.720%, 07/25/2049 (b)(c)
    
54,308
  
 
189,204
  
Series 2018-RP2, 2.987%, 02/25/2058 (b)(c)
    
196,309
  
 
82,584
  
Series 2018-RP1, 3.000%, 09/25/2064 (b)(c)
    
85,333
  
 
127,222
  
Series 2019-E, 3.228%, 11/25/2070 (c)(j)
    
127,719
  
     
COLT Mortgage Loan Trust
        
 
54,222
  
Series 2019-3, 2.764%, 08/25/2049 (b)(c)
    
54,274
  
 
95,811
  
Series 2019-4, 2.579%, 11/25/2049 (b)(c)
    
96,268
  
 
408,555
  
Series 2020-RPL1, 1.390%, 01/25/2065 (b)(c)
    
411,588
  
 
56,959
  
Series 2020-1R, 1.255%, 09/25/2065 (b)(c)
    
57,220
  
 
217,789
  
Series 2020-2R, 1.325%, 10/26/2065 (b)(c)
    
218,472
  
 
241,450
  
Series 2021-1 A1, 0.910%, 06/25/2066 (b)(c)
    
241,138
  
     
COMM Mortgage Trust
        
 
120,000
  
Series 2013-300P, 4.353%, 08/12/2030 (c)
    
127,201
  
 
265,493
  
Series 2019-WCM, 0.973% (1 Month LIBOR USD + 0.900%, 0.900% Floor), 10/16/2034 (a)(c)
    
265,954
  
     
Countrywide Home Loans, Inc.
        
 
6,134
  
Series 2004-HYB6, 2.760%, 11/20/2034 (b)
    
6,340
  
 
70,742
  
Series 2005-11, 0.692% (1 Month LIBOR USD + 0.600%, 0.600% Floor, 10.500% Cap), 03/25/2035 (a)
    
58,101
  
 
356,598
  
CSAIL Commercial Mortgage Trust
        
     
Series 2016-C6, 2.960%, 01/15/2049
    
373,609
  
     
CSMC Trust
        
 
100,000
  
Series 2020-NET, 2.257%, 08/17/2037 (c)
    
103,398
  
 
30,236
  
Series 2017-FHA1, 3.250%, 04/25/2047 (b)(c)
    
31,956
  
 
306,603
  
Series 2020-RPL4, 2.000%, 01/25/2060 (b)(c)
    
314,895
  


 
133,029
  
Series 2021-RPL4 A1, 1.796%, 12/27/2060 (b)(c)
    
133,348
  
 
292,706
  
Series 2020-NQM1, 1.208%, 05/25/2065 (c)(j)
    
294,856
  
 
363,211
  
Series 2021-NQM2, 1.179%, 02/25/2066 (b)(c)
    
363,643
  
 
11,901,950
  
DBGS Mortgage Trust
        
     
Series 2018-C1, 0.329%, 10/17/2051 (b)(i)
    
157,165
  
     
DBJPM Mortgage Trust
        
 
343,642
  
Series 2016-C1, 3.038%, 05/12/2049
    
361,325
  
 
475,000
  
Series 2016-C3, 2.890%, 08/12/2049
    
506,200
  
 
310,639
  
Series 2020-C9, 1.831%, 08/15/2053 (b)(i)
    
31,853
  
     
Deephaven Residential Mortgage Trust
        
 
106,085
  
Series 2019-3, 2.964%, 07/25/2059 (b)(c)
    
106,531
  
 
117,604
  
Series 2021-2 A1, 1.020%, 04/25/2066 (b)(c)
    
117,606
  
 
108,188
  
Ellington Financial Mortgage Trust
        
     
Series 2021-2 A1, 0.931%, 06/25/2066 (b)(c)
    
108,040
  
     
GCAT Trust
        
 
297,684
  
Series 2021-NQM1, 0.874%, 01/25/2066 (b)(c)
    
296,781
  
 
237,415
  
Series 2021-NQM2 A1, 1.036%, 05/25/2066 (b)(c)
    
237,160
  
 
320,000
  
Series 2021-NQM3 A1, 1.090%, 05/25/2066 (b)(c)
    
322,317
  
     
GS Mortgage Securities Trust
        
 
145,000
  
Series 2012-ALOH, 3.551%, 04/12/2034 (c)
    
146,643
  
 
145,000
  
Series 2012-BWTR, 2.954%, 11/07/2034 (c)
    
148,001
  
 
35,000
  
Series 2015-GC34, 3.506%, 10/13/2048
    
38,158
  
 
1,448,541
  
Series 2020-GC45, 0.789%, 02/14/2053 (b)(i)
    
68,585
  
 
220,000
  
Hawaii Hotel Trust 2019-MAUI
        
     
Series 2019-MAUI, 1.223% (1 Month LIBOR USD + 1.150%, 1.150% Floor), 05/17/2038 (a)(c)
    
221,404
  
 
52,527
  
Homeward Opportunities Fund I Trust
        
     
Series 2019-2, 2.702%, 08/25/2059 (b)(c)
    
52,760
  
     
JPMBB Commercial Mortgage Securities Trust
        
 
90,000
  
Series 2020-NNN, 2.812%, 01/16/2037 (c)
    
92,906
  
 
187,924
  
Series 2013-C12, 3.157%, 07/17/2045
    
190,239
  
 
168,220
  
Legacy Mortgage Asset Trust
        
     
Series 2021-GS3 A1, 1.750%, 07/25/2061 (c)(j)
    
167,971
  
 
465,000
  
Madison Park Funding Ltd.
        
     
Series 2021-38A A, 1.254% (3 Month LIBOR USD + 1.120%, 1.120% Floor), 07/17/2034 (a)(c)
    
465,421
  
     
MFRA Trust
        
 
69,679
  
Series 2020-NQM3 A1, 1.014%, 01/26/2065 (b)(c)
    
69,816
  
 
234,391
  
Series 2021-NQM1 A-1, 1.153%, 04/25/2065 (b)(c)
    
234,305
  
     
Mill City Mortgage Loan Trust
        
 
127,620
  
Series 2018-2, 3.500%, 05/25/2058 (b)(c)
    
130,512
  
 
338,932
  
Series 2019-GS1, 2.750%, 07/25/2059 (b)(c)
    
349,482
  
 
133,238
  
Series 2017-3, 2.750%, 01/25/2061 (b)(c)
    
135,414
  
 
105,603
  
Series 2018-1, 3.250%, 05/25/2062 (b)(c)
    
108,445
  
 
198,360
  
Series 2019-1, 3.250%, 10/25/2069 (b)(c)
    
209,467
  
 
115,001
  
Morgan Stanley ABS Capital I, Inc. Trust
        
     
Series 2003-NC10, 1.112% (1 Month LIBOR USD + 1.020%, 1.020% Floor), 10/25/2033 (a)
    
114,963
  
 
175,000
  
Morgan Stanley Bank of America Merrill Lynch Trust
        
     
Series 2016-C29, 3.325%, 05/17/2049
    
188,768
  
 
93,706
  
Mortgage Insurance-Linked Notes
        
     
Series 2019-1, 1.992% (1 Month LIBOR USD + 1.900%, 1.900% Floor), 11/26/2029 (a)(c)
    
93,710
  
     
MTRO Commercial Mortgage Trust
        
 
100,000
  
Series 2019-TECH B, 1.173% (1 Month LIBOR USD + 1.100%, 1.100% Floor), 12/15/2033 (a)(c)
    
99,611
  
 
100,000
  
Series 2019-TECH C, 1.373% (1 Month LIBOR USD + 1.300%, 1.300% Floor), 12/15/2033 (a)(c)
    
99,539
  
 
160,000
  
Natixis Commercial Mortgage Securities Trust
        
     
Series 2019-1776, 2.507%, 10/17/2036 (c)
    
164,823
  
     
New Residential Mortgage LLC
        
 
81,687
  
Series 2018-FNT1, 3.610%, 05/25/2023 (c)
    
81,935
  
 
103,849
  
Series 2018-FNT2, 3.790%, 07/25/2024 (c)
    
103,894
  
     
New Residential Mortgage Loan Trust
        
 
55,230
  
Series 2016-2, 3.750%, 11/25/2035 (b)(c)
    
58,659
  
 
136,155
  
Series 2018-4, 0.842% (1 Month LIBOR USD + 0.750%, 0.750% Floor), 01/27/2048 (a)(c)
    
136,578
  
 
47,509
  
Series 2016-4, 3.750%, 11/25/2056 (b)(c)
    
50,599
  
 
74,644
  
Series 2017-1, 4.000%, 02/25/2057 (b)(c)
    
79,627
  
 
67,872
  
Series 2017-2, 4.000%, 03/25/2057 (b)(c)
    
72,679
  
 
38,501
  
Series 2017-3, 4.000%, 04/25/2057 (b)(c)
    
41,330
  
 
38,532
  
Series 2017-4, 4.000%, 05/25/2057 (b)(c)
    
41,141
  
 
37,797
  
Series 2017-5, 1.592% (1 Month LIBOR USD + 1.500%, 1.500% Floor), 06/25/2057 (a)(c)
    
38,334
  
 
58,113
  
Series 2017-6, 4.000%, 08/25/2057 (b)(c)
    
62,346
  
 
128,132
  
Series 2018-1, 4.000%, 12/25/2057 (b)(c)
    
137,628
  
 
115,820
  
Series 2018-2, 4.500%, 02/25/2058 (b)(c)
    
123,821
  
 
263,988
  
Series 2018-3, 4.500%, 05/25/2058 (b)(c)
    
286,687
  
 
184,333
  
Series 2021-NQM2R A-1, 0.941%, 10/25/2058 (b)(c)
    
184,545
  
 
195,805
  
Series 2019-3, 3.750%, 11/25/2058 (b)(c)
    
208,052
  
 
152,540
  
Series 2019-5, 3.500%, 08/25/2059 (b)(c)
    
159,367
  
 
68,061
  
Series 2019-NQM4, 2.492%, 09/25/2059 (b)(c)
    
68,799
  
 
396,934
  
NMLT Trust
        
     
Series 2021-INV1 A1, 1.185%, 05/25/2056 (b)(c)
    
396,240
  
 
356,196
  
OBX Trust
        
     
Series 2021-NQM1, 1.072%, 02/25/2066 (b)(c)
    
355,747
  
     
Pretium Mortgage Credit Partners LLC
        
 
250,000
  
Series 2021-NPL2 A-1, 1.992%, 06/29/2060 (c)(j)
    
251,562
  
 
468,000
  
Series 2021-RN1 A1, 1.992%, 02/25/2061 (c)(j)
    
471,054
  
     
PRPM Trust
        
 
89,201
  
Series 2019-GS1, 3.500%, 10/25/2024 (b)(c)
    
89,764
  
 
241,398
  
Series 2020-3, 2.857%, 09/25/2025 (c)(j)
    
242,918
  
 
82,399
  
Series 2020-6, 2.363%, 11/25/2025 (c)(j)
    
82,676
  
 
198,862
  
Series 2021-3 A1, 1.867%, 04/25/2026 (c)(j)
    
200,032
  
 
263,485
  
Series 2021-4 A1, 1.867%, 04/25/2026 (c)(j)
    
263,360
  
 
230,000
  
Series 2021-5 A1, 1.793%, 06/25/2026 (c)(j)
    
231,427
  
 
205,000
  
RCO Mortgage LLC
        
     
Series 2021-1 A1, 1.868%, 05/26/2026 (c)(j)
    
204,889
  
     
SBA Tower Trust
        
 
155,000
  
Series 2019-1, 2.836%, 01/15/2025 (c)
    
162,835
  
 
125,000
  
Series 2018-1, 3.448%, 03/15/2048 (c)
    
127,494
  


 
69,804
  
Seasoned Credit Risk Transfer Trust Series
        
     
Series 2019-3, 3.500%, 10/25/2058
    
76,879
  
     
SG Commercial Mortgage Securities Trust
        
 
355,000
  
Series 2020-COVE, 2.632%, 04/17/2037 (c)
    
368,900
  
 
75,000
  
Series 2016-C5, 3.055%, 10/13/2048
    
79,494
  
 
378,000
  
SG Residential Mortgage Trust
        
     
Series 2021-1 A-1, 1.160%, 07/25/2061 (b)(c)
    
380,575
  
     
Starwood Mortgage Residential Trust
        
 
63,347
  
Series 2020-3, 1.486%, 04/25/2065 (b)(c)
    
63,978
  
 
336,386
  
Series 2021-1, 1.219%, 05/25/2065 (b)(c)
    
337,678
  
 
145,060
  
Series 2021-2 A1, 0.943%, 05/25/2065 (b)(c)
    
145,175
  
 
415,000
  
Thompson Park CLO, Ltd.
        
     
Series 2021-1A A1, 1.199% (3 Month LIBOR USD + 1.000%, 1.000% Floor), 04/17/2034 (a)(c)
    
414,997
  
 
230,000
  
Toorak Mortgage Corp.
        
     
Series 2021-1 A1, 2.240%, 06/25/2024 (c)(j)
    
231,127
  
     
Towd Point Mortgage Trust
        
 
32,964
  
Series 2015-6, 2.750%, 04/25/2055 (b)(c)
    
33,129
  
 
18,490
  
Series 2016-2, 2.750%, 08/25/2055 (b)(c)
    
18,671
  
 
14,345
  
Series 2016-3, 2.250%, 08/25/2055 (b)(c)
    
14,411
  
 
251,477
  
Series 2017-1, 2.750%, 10/25/2056 (b)(c)
    
255,451
  
 
141,334
  
Series 2017-5, 0.692% (1 Month LIBOR USD + 0.600%, 0.000% Floor), 02/26/2057 (a)(c)
    
141,412
  
 
122,633
  
Series 2017-2, 2.750%, 04/25/2057 (b)(c)
    
124,495
  
 
32,036
  
Series 2017-3, 2.750%, 06/25/2057 (b)(c)
    
32,703
  
 
190,206
  
Series 2017-4, 2.750%, 06/25/2057 (b)(c)
    
195,950
  
 
290,794
  
Series 2017-6, 2.750%, 10/25/2057 (b)(c)
    
298,010
  
 
57,854
  
Series 2018-1, 3.000%, 01/28/2058 (b)(c)
    
59,451
  
 
169,158
  
Series 2018-2, 3.250%, 03/25/2058 (b)(c)
    
175,468
  
 
330,031
  
Series 2019-1, 3.722%, 03/25/2058 (b)(c)
    
348,676
  
 
131,866
  
Series 2018-3, 3.750%, 05/25/2058 (b)(c)
    
139,225
  
 
212,818
  
Series 2020-4, 1.750%, 10/25/2060 (c)
    
215,423
  
 
458,936
  
Series 2021-R1 A1, 2.918%, 11/30/2060 (b)(c)
    
469,502
  
     
VCAT Asset Securitization LLC
        
 
91,034
  
Series 2021-NPL2 A1, 2.115%, 03/27/2051 (c)(j)
    
91,153
  
 
270,000
  
Series 2021-NPL3 A1, 1.743%, 05/25/2051 (c)(j)
    
270,736
  
     
Venture CLO, Ltd.
        
 
410,000
  
Series 2021-42A A1A, 1.311% (3 Month LIBOR USD + 1.130%, 1.130% Floor), 04/17/2034 (a)(c)
    
410,274
  
 
180,000
  
Series 2021-43A A1, 1.240% (3 Month LIBOR USD + 1.240%, 1.240% Floor), 04/17/2034 (a)(c)
    
180,283
  
     
Vericrest Opportunity Loan Transferee
        
 
78,064
  
Series 2021-NPL7, 2.116%, 04/25/2051 (c)(j)
    
78,170
  
 
285,980
  
Series 2021-R2 A1, 2.116%, 04/25/2051 (c)(j)
    
286,939
  
 
155,218
  
Series 2021-NPL9, 1.992%, 05/25/2051 (c)(j)
    
155,439
  
     
Verus Securitization Trust
        
 
133,892
  
Series 2020-NPL1, 3.598%, 08/25/2050 (c)(j)
    
134,517
  
 
129,348
  
Series 2019-3, 2.784%, 07/25/2059 (c)(j)
    
131,148
  
 
166,832
  
Series 2019-4, 3.142%, 10/25/2059 (b)(c)
    
170,568
  
 
201,088
  
Series 2021-R2 A-1, 0.918%, 02/25/2064 (b)(c)
    
201,562
  
 
168,201
  
Series 2021-2, 1.031%, 02/25/2066 (b)(c)
    
168,425
  
 
265,000
  
Wells Fargo Commercial Mortgage Trust 2015-NXS1
        
     
Series A-5, 3.148%, 05/15/2048
    
284,012
  
 
384,939
  
Wells Fargo-RBS Commercial Mortgage Trust
        
     
Series 2014-C19, 3.660%, 03/15/2047
    
385,284
  
     
Total Collateralized Mortgage Obligations (Cost $28,035,279)
    
28,284,834
  
               
     
CORPORATE OBLIGATIONS - 29.88%
        
     
Aerospace & Defense - 0.63%
        
 
235,000
  
Boeing Co.
        
     
 5.040%, 05/01/2027 (e)
    
271,413
  
 
60,000
  
General Dynamics Corp.
        
     
 4.250%, 04/01/2040
    
73,573
  
     
L3Harris Technologies, Inc.
        
 
150,000
  
3.850%, 06/15/2023
    
159,487
  
 
31,000
  
4.400%, 06/15/2028
    
36,064
  
 
75,000
  
Lockheed Martin Corp.
        
     
 4.090%, 09/15/2052
    
94,196
  
 
155,000
  
Northrop Grumman Corp.
        
     
 5.150%, 05/01/2040
    
203,982
  
     
Raytheon Technologies Corp.
        
 
100,000
  
3.950%, 08/16/2025
    
111,298
  
 
140,000
  
3.125%, 05/04/2027
    
152,500
  
 
20,000
  
4.450%, 11/16/2038
    
24,290
  
 
50,000
  
4.625%, 11/16/2048 (e)
    
64,502
  
           
1,191,305
  
     
Automobiles - 0.03%
        
 
55,000
  
General Motors Co.
        
     
 6.125%, 10/01/2025
    
65,171
  
     
Banks - 5.07%
        
     
Bank of America Corp.
        
 
190,000
  
4.100%, 07/24/2023
    
204,188
  
 
250,000
  
3.864% (3 Month LIBOR USD + 0.940%), 07/23/2024 (b)
    
266,590
  
 
140,000
  
2.456% (3 Month LIBOR USD + 0.870%), 10/22/2025 (b)
    
146,599
  
 
185,000
  
3.366% (3 Month LIBOR USD + 0.810%), 01/23/2026 (b)
    
199,601
  
 
330,000
  
1.658% (SOFR + 0.910%), 03/11/2027 (b)
    
332,925
  
 
720,000
  
1.922% (SOFR + 1.370%), 10/24/2031 (b)(e)
    
703,466
  
 
95,000
  
3.311% (SOFR + 1.580%), 04/22/2042 (b)
    
100,997
  
 
550,000
  
4.083% (3 Month LIBOR USD + 3.150%), 03/20/2051 (b)(e)
    
659,061
  
 
200,000
  
BNP Paribas SA
        
     
2.219% (SOFR + 2.074%), 06/09/2026 (b)(c)
    
206,182
  
     
Citigroup, Inc.
        
 
125,000
  
3.352% (3 Month LIBOR USD + 0.897%), 04/24/2025 (b)
    
133,272
  
 
275,000
  
0.981% (SOFR + 0.669%), 05/01/2025 (b)(e)
    
275,853
  
 
435,000
  
3.700%, 01/12/2026
    
481,598
  
 
330,000
  
1.462% (SOFR + 0.770%), 06/09/2027 (b)(e)
    
329,253
  
 
190,000
  
4.412% (SOFR + 3.914%), 03/31/2031 (b)
    
222,387
  
 
70,000
  
2.572% (SOFR + 2.107%), 06/03/2031 (b)
    
72,110
  
 
200,000
  
Danske Bank AS
        
     
 5.375%, 01/12/2024 (c)
    
221,896
  
 
95,000
  
Fifth Third Bancorp
        
     
 2.375%, 01/28/2025
    
99,680
  


     
HSBC Holdings PLC
        
 
370,000
  
3.262% (3 Month LIBOR USD + 1.055%), 03/13/2023 (b)
    
377,541
  
 
200,000
  
0.976% (SOFR + 0.708%), 05/24/2025 (b)
    
199,933
  
 
200,000
  
1.589% (SOFR + 1.290%), 05/24/2027 (b)(e)
    
200,626
  
 
445,000
  
4.583% (3 Month LIBOR USD + 1.535%), 06/19/2029 (b)(e)
    
515,080
  
     
JPMorgan Chase & Co.
        
 
150,000
  
3.797% (3 Month LIBOR USD + 0.890%), 07/23/2024 (b)
    
159,844
  
 
155,000
  
4.023% (3 Month LIBOR USD + 1.000%), 12/05/2024 (b)
    
167,347
  
 
225,000
  
3.220% (3 Month LIBOR USD + 1.155%), 03/01/2025 (b)
    
239,129
  
 
170,000
  
3.300%, 04/01/2026 (e)
    
186,105
  
 
90,000
  
2.950%, 10/01/2026
    
97,062
  
 
300,000
  
3.782% (3 Month LIBOR USD + 1.337%), 02/01/2028 (b)
    
333,501
  
 
80,000
  
3.509% (3 Month LIBOR USD + 0.945%), 01/23/2029 (b)
    
88,210
  
 
225,000
  
3.702% (3 Month LIBOR USD + 1.160%), 05/06/2030 (b)(e)
    
251,814
  
 
95,000
  
2.580% (SOFR + 1.250%), 04/22/2032 (b)
    
97,757
  
 
175,000
  
3.109% (SOFR + 2.460%), 04/22/2041 (b)
    
182,055
  
 
155,000
  
3.157% (SOFR + 1.460%), 04/22/2042 (b)
    
161,747
  
 
145,000
  
KeyCorp
        
     
 2.550%, 10/01/2029 (e)
    
152,022
  
     
PNC Financial Services Group, Inc.
        
 
55,000
  
2.200%, 11/01/2024
    
57,748
  
 
65,000
  
3.450%, 04/23/2029
    
72,781
  
 
235,000
  
Santander Holdings USA, Inc.
        
     
 3.700%, 03/28/2022
    
239,875
  
 
370,000
  
Truist Bank
        
     
 2.250%, 03/11/2030
    
376,061
  
 
160,000
  
Truist Financial Corp.
        
     
1.887% (SOFR + 0.862%), 06/07/2029 (b)
    
160,786
  
     
Wells Fargo & Co.
        
 
85,000
  
2.406% (3 Month LIBOR USD + 1.087%), 10/30/2025 (b)
    
88,999
  
 
120,000
  
3.000%, 04/22/2026
    
129,161
  
 
135,000
  
3.000%, 10/23/2026 (e)
    
145,790
  
 
41,000
  
5.606%, 01/15/2044
    
56,168
  
 
45,000
  
4.750%, 12/07/2046
    
57,048
  
 
115,000
  
5.013% (3 Month LIBOR USD + 4.502%), 04/04/2051 (b)
    
157,901
  
           
9,607,749
  
     
Beverages - 0.81%
        
     
Anheuser-Busch InBev Worldwide, Inc.
        
 
180,000
  
5.450%, 01/23/2039
    
238,073
  
 
15,000
  
3.750%, 07/15/2042
    
16,314
  
 
20,000
  
4.900%, 02/01/2046 (e)
    
25,285
  
 
145,000
  
4.600%, 04/15/2048
    
177,688
  
 
112,000
  
4.750%, 04/15/2058
    
140,834
  
     
Coca-Cola Co.
        
 
400,000
  
2.250%, 01/05/2032
    
410,378
  
 
35,000
  
3.000%, 03/05/2051
    
36,523
  
     
Constellation Brands, Inc.
        
 
25,000
  
4.650%, 11/15/2028
    
29,426
  
 
6,000
  
3.150%, 08/01/2029
    
6,450
  
 
200,000
  
Diageo Capital Plc
        
     
 2.000%, 04/29/2030
    
200,610
  
     
PepsiCo, Inc.
        
 
40,000
  
2.625%, 03/19/2027
    
43,033
  
 
5,000
  
1.625%, 05/01/2030 (e)
    
4,929
  
 
175,000
  
3.625%, 03/19/2050
    
205,396
  
           
1,534,939
  
     
Biotechnology - 0.72%
        
     
AbbVie, Inc.
        
 
135,000
  
3.450%, 03/15/2022
    
137,263
  
 
300,000
  
3.200%, 11/21/2029 (e)
    
326,382
  
 
250,000
  
4.250%, 11/21/2049
    
300,970
  
     
Amgen, Inc.
        
 
45,000
  
2.650%, 05/11/2022
    
45,777
  
 
55,000
  
1.900%, 02/21/2025
    
57,013
  
 
95,000
  
2.200%, 02/21/2027
    
98,778
  
     
Gilead Sciences, Inc.
        
 
80,000
  
2.500%, 09/01/2023
    
83,334
  
 
335,000
  
1.650%, 10/01/2030 (e)
    
324,482
  
           
1,373,999
  
     
Capital Markets - 2.53%
        
 
75,000
  
Bank of New York Mellon Corp/The
        
     
 2.100%, 10/24/2024
    
78,735
  
 
320,000
  
BlackRock, Inc.
        
     
 1.900%, 01/28/2031
    
320,962
  
     
BP Capital Markets America, Inc.
        
 
145,000
  
3.633%, 04/06/2030
    
162,886
  
 
5,000
  
3.060%, 06/17/2041
    
5,064
  
 
60,000
  
2.939%, 06/04/2051
    
57,843
  
 
140,000
  
3.379%, 02/08/2061
    
141,210
  
     
Morgan Stanley
        
 
75,000
  
2.625%, 11/17/2021
    
75,681
  
 
195,000
  
3.737% (3 Month LIBOR USD + 0.847%), 04/24/2024 (b)
    
206,272
  
 
180,000
  
3.700%, 10/23/2024
    
196,473
  
 
65,000
  
3.125%, 07/27/2026
    
70,525
  
 
310,000
  
1.593% (SOFR + 0.879%), 05/04/2027 (b)
    
312,202
  
 
340,000
  
3.591% (3 Month LIBOR USD + 1.340%), 07/22/2028 (b)
    
376,728
  
 
55,000
  
4.431% (3 Month LIBOR USD + 1.628%), 01/23/2030 (b)
    
64,538
  
 
210,000
  
2.699% (SOFR + 1.143%), 01/22/2031 (b)
    
220,307
  
 
285,000
  
1.794% (SOFR + 1.034%), 02/13/2032 (b)
    
274,415
  
 
145,000
  
1.928% (SOFR + 1.020%), 04/28/2032 (b)
    
141,253
  
 
155,000
  
3.971% (3 Month LIBOR USD + 1.455%), 07/22/2038 (b)
    
182,576
  
     
State Street Corp.
        
 
80,000
  
3.776% (3 Month LIBOR USD + 0.770%), 12/03/2024 (b)
    
86,268
  
 
90,000
  
2.354% (SOFR + 0.940%), 11/01/2025 (b)
    
94,671
  
 
80,000
  
2.901% (SOFR + 2.600%), 03/30/2026 (b)
    
85,527
  
     
The Bank of New York Mellon Corp.
        
 
70,000
  
1.950%, 08/23/2022
    
71,356
  
 
125,000
  
2.661% (3 Month LIBOR USD + 0.634%), 05/16/2023 (b)
    
127,551
  


     
The Goldman Sachs Group, Inc.
        
 
135,000
  
2.876% (3 Month LIBOR USD + 0.821%), 10/31/2022 (b)
    
136,070
  
 
55,000
  
2.905% (3 Month LIBOR USD + 0.990%), 07/24/2023 (b)
    
56,383
  
 
140,000
  
3.500%, 01/23/2025
    
151,465
  
 
40,000
  
3.272% (3 Month LIBOR USD + 1.201%), 09/29/2025 (b)
    
42,810
  
 
70,000
  
1.992% (SOFR + 1.090%), 01/27/2032 (b)
    
67,986
  
 
560,000
  
2.615% (SOFR + 1.281%), 04/22/2032 (b)
    
573,143
  
 
140,000
  
6.750%, 10/01/2037 (e)
    
204,186
  
 
20,000
  
6.250%, 02/01/2041
    
29,792
  
     
Willis North America, Inc.
        
 
25,000
  
3.600%, 05/15/2024
    
26,874
  
 
145,000
  
2.950%, 09/15/2029
    
152,532
  
           
4,794,284
  
     
Chemicals - 0.24%
        
     
Air Products and Chemicals, Inc.
        
 
20,000
  
1.500%, 10/15/2025
    
20,500
  
 
40,000
  
1.850%, 05/15/2027
    
41,137
  
 
295,000
  
DuPont de Nemours, Inc.
        
     
 4.205%, 11/15/2023
    
319,695
  
 
80,000
  
The Sherwin-Williams Co.
        
     
 2.300%, 05/15/2030
    
81,111
  
           
462,443
  
     
Commercial Services & Supplies - 0.03%
        
 
60,000
  
Waste Management, Inc.
        
     
 2.000%, 06/01/2029
    
60,734
  
     
Consumer Finance - 0.29%
        
 
155,000
  
American Express Co.
        
     
 4.200%, 11/06/2025
    
175,840
  
     
John Deere Capital Corp.
        
 
135,000
  
3.200%, 01/10/2022
    
137,196
  
 
25,000
  
1.200%, 04/06/2023
    
25,385
  
 
25,000
  
3.450%, 06/07/2023
    
26,518
  
 
145,000
  
2.600%, 03/07/2024
    
152,917
  
 
25,000
  
1.750%, 03/09/2027
    
25,629
  
           
543,485
  
     
Diversified Consumer Services - 0.10%
        
     
Howard University
        
 
100,000
  
2.901%, 10/01/2031
    
103,826
  
 
75,000
  
3.476%, 10/01/2041
    
77,037
  
           
180,863
  
     
Diversified Financial Services - 1.46%
        
     
BAT Capital Corp.
        
 
55,000
  
3.222%, 08/15/2024
    
58,453
  
 
275,000
  
2.789%, 09/06/2024
    
289,048
  
 
200,000
  
2.259%, 03/25/2028
    
198,887
  
 
120,000
  
BAT International Finance Plc
        
     
 1.668%, 03/25/2026 (e)
    
120,077
  
 
300,000
  
DAE Funding LLC
        
     
 1.550%, 08/01/2024 (c)
    
299,961
  
 
340,000
  
Equitable Financial Life Global Funding
        
     
 1.800%, 03/08/2028 (c)
    
338,798
  
 
200,000
  
GE Capital Funding LLC
        
     
 4.400%, 05/15/2030
    
233,463
  
 
160,000
  
GlaxoSmithKline Capital, Inc.
        
     
 3.625%, 05/15/2025
    
176,629
  
     
LYB International Finance III LLC
        
 
55,000
  
1.250%, 10/01/2025
    
54,944
  
 
85,000
  
3.800%, 10/01/2060
    
90,188
  
 
400,000
  
NTT Finance Corp.
        
     
 1.162%, 04/03/2026 (c)
    
399,459
  
 
180,000
  
Shell International Finance BV
        
     
 3.250%, 04/06/2050 (e)
    
192,124
  
 
310,000
  
Siemens Financieringsmaatschappij NV
        
     
 1.200%, 03/11/2026 (c)
    
310,419
  
           
2,762,450
  
     
Diversified Telecommunication Services - 1.14%
        
     
AT&T, Inc.
        
 
210,000
  
1.700%, 03/25/2026
    
212,291
  
 
175,000
  
4.500%, 05/15/2035
    
205,969
  
 
110,000
  
3.650%, 06/01/2051 (e)
    
115,692
  
 
168,000
  
3.500%, 09/15/2053 (c)
    
169,181
  
 
91,000
  
3.550%, 09/15/2055 (c)
    
91,612
  
 
113,000
  
3.800%, 12/01/2057 (c)
    
118,050
  
 
165,000
  
3.500%, 02/01/2061
    
162,628
  
     
Verizon Communications, Inc.
        
 
55,000
  
2.650%, 11/20/2040 (e)
    
53,078
  
 
620,000
  
3.400%, 03/22/2041
    
657,276
  
 
355,000
  
3.550%, 03/22/2051
    
380,105
  
           
2,165,882
  
     
Electric Utilities - 2.48%
        
     
Alabama Power Co.
        
 
65,000
  
2.450%, 03/30/2022
    
65,952
  
 
120,000
  
3.450%, 10/01/2049
    
130,747
  
 
120,000
  
Commonwealth Edison Co.
        
     
 3.650%, 06/15/2046
    
136,882
  
     
Duke Energy Carolinas LLC
        
 
45,000
  
2.500%, 03/15/2023
    
46,560
  
 
150,000
  
2.550%, 04/15/2031
    
156,055
  
 
301,000
  
5.300%, 02/15/2040
    
410,079
  
 
280,000
  
Duke Energy Corp.
        
     
 2.550%, 06/15/2031 (e)
    
283,374
  
 
60,000
  
Duke Energy Indiana, Inc.
        
     
 4.900%, 07/15/2043
    
77,206
  
 
45,000
  
Evergy Metro, Inc.
        
     
 2.250%, 06/01/2030
    
45,919
  
     
Evergy, Inc.
        
 
55,000
  
2.450%, 09/15/2024
    
57,759
  
 
155,000
  
2.900%, 09/15/2029 (e)
    
164,603
  
 
10,000
  
Exelon Corp.
        
     
 4.700%, 04/15/2050 (e)
    
12,669
  
 
25,000
  
FirstEnergy Corp.
        
     
 1.600%, 01/15/2026
    
24,464
  


     
Georgia Power Co.
        
 
130,000
  
2.100%, 07/30/2023
    
134,336
  
 
105,000
  
4.750%, 09/01/2040
    
130,046
  
 
210,000
  
ITC Holdings Corp.
        
     
 2.950%, 05/14/2030 (c)
    
221,616
  
 
325,000
  
NextEra Energy Capital Holdings, Inc.
        
     
 2.250%, 06/01/2030 (e)
    
328,157
  
 
230,000
  
Oglethorpe Power Corp.
        
     
 5.050%, 10/01/2048
    
290,381
  
 
50,000
  
Oncor Electric Delivery Co. LLC
        
     
 5.750%, 03/15/2029
    
62,947
  
 
410,000
  
Pacific Gas and Electric Co.
        
     
 2.500%, 02/01/2031 (e)
    
385,164
  
     
PacifiCorp
        
 
60,000
  
2.700%, 09/15/2030
    
63,168
  
 
33,000
  
4.125%, 01/15/2049
    
39,562
  
 
10,000
  
3.300%, 03/15/2051
    
10,642
  
     
Puget Energy, Inc.
        
 
135,000
  
3.650%, 05/15/2025
    
145,485
  
 
190,000
  
4.100%, 06/15/2030
    
213,208
  
 
110,000
  
Sierra Pacific Power Co.
        
     
 2.600%, 05/01/2026
    
117,113
  
 
122,000
  
South Carolina Electric & Gas Co.
        
     
 5.100%, 06/01/2065
    
176,582
  
     
Southern California Edison Co.
        
 
90,000
  
2.850%, 08/01/2029
    
93,572
  
 
225,000
  
2.250%, 06/01/2030
    
221,918
  
 
19,000
  
4.000%, 04/01/2047
    
20,036
  
 
61,000
  
4.125%, 03/01/2048
    
65,230
  
 
80,000
  
3.650%, 02/01/2050 (e)
    
80,218
  
 
230,000
  
Southern Co/The
        
     
 3.700%, 04/30/2030
    
254,126
  
 
25,000
  
The Southern Co.
        
     
 4.400%, 07/01/2046
    
29,428
  
           
4,695,204
  
     
Electronic  Equipment,  Instruments  &  Components - 0.08%
        
 
150,000
  
Microchip Technology, Inc.
        
     
 2.670%, 09/01/2023
    
156,291
  
     
Equity Real Estate Investment Trusts (REITs) - 0.27%
        
     
American Tower Corp.
        
 
105,000
  
2.400%, 03/15/2025
    
109,826
  
 
50,000
  
1.500%, 01/31/2028
    
48,723
  
     
Equinix, Inc.
        
 
60,000
  
2.000%, 05/15/2028
    
60,381
  
 
135,000
  
2.500%, 05/15/2031
    
137,577
  
     
VEREIT Operating Partnership LP
        
 
35,000
  
3.400%, 01/15/2028
    
38,135
  
 
10,000
  
2.200%, 06/15/2028
    
10,172
  
 
10,000
  
2.850%, 12/15/2032
    
10,475
  
 
85,000
  
Welltower, Inc.
        
     
 2.700%, 02/15/2027
    
90,381
  
           
505,670
  
     
Food Products - 0.38%
        
 
75,000
  
Archer-Daniels-Midland Co.
        
     
 3.250%, 03/27/2030
    
83,217
  
 
160,000
  
Conagra Brands, Inc.
        
     
 4.850%, 11/01/2028
    
190,799
  
 
190,000
  
General Mills, Inc.
        
     
 2.875%, 04/15/2030
    
201,674
  
     
Hormel Foods Corp.
        
 
45,000
  
0.650%, 06/03/2024 (e)
    
45,105
  
 
20,000
  
1.700%, 06/03/2028
    
20,151
  
     
Mondelez International, Inc.
        
 
15,000
  
2.750%, 04/13/2030
    
15,831
  
 
175,000
  
1.500%, 02/04/2031
    
166,001
  
           
722,778
  
     
Gas Utilities - 0.01%
        
 
10,000
  
Southern Co. Gas Capital Corp.
        
     
 2.450%, 10/01/2023
    
10,401
  
     
Health Care Equipment & Supplies - 0.41%
        
 
200,000
  
Alcon Finance Corp.
        
     
 2.750%, 09/23/2026 (c)
    
212,036
  
 
65,000
  
Baxter International, Inc.
        
     
 3.950%, 04/01/2030
    
74,993
  
     
Boston Scientific Corp.
        
 
85,000
  
1.900%, 06/01/2025
    
87,777
  
 
250,000
  
3.750%, 03/01/2026
    
277,557
  
 
125,000
  
Shire Acquisitions Investments Ireland Designated Activity Co.
        
     
 2.875%, 09/23/2023
    
130,854
  
           
783,217
  
     
Health Care Providers & Services - 1.12%
        
     
Anthem, Inc.
        
 
95,000
  
3.650%, 12/01/2027 (e)
    
106,482
  
 
155,000
  
2.875%, 09/15/2029
    
165,108
  
 
345,000
  
Cigna Corp.
        
     
 1.250%, 03/15/2026
    
346,333
  
 
70,000
  
CommonSpirit Health
        
     
 2.760%, 10/01/2024
    
73,753
  
     
CVS Health Corp.
        
 
100,000
  
4.125%, 04/01/2040
    
116,388
  
 
55,000
  
5.125%, 07/20/2045
    
71,729
  
 
100,000
  
5.050%, 03/25/2048
    
130,169
  
 
360,000
  
HCA, Inc.
        
     
 2.375%, 07/15/2031
    
357,788
  
     
Kaiser Foundation Hospitals
        
 
70,000
  
2.810%, 06/01/2041
    
71,626
  
 
115,000
  
3.002%, 06/01/2051
    
119,139
  
 
100,000
  
Quest Diagnostics, Inc.
        
     
 2.800%, 06/30/2031
    
104,640
  
 
75,000
  
Sutter Health
        
     
 3.361%, 08/15/2050 (e)
    
79,892
  


     
UnitedHealth Group, Inc.
        
 
70,000
  
2.375%, 08/15/2024
    
73,697
  
 
135,000
  
2.300%, 05/15/2031
    
138,423
  
 
10,000
  
3.500%, 08/15/2039
    
11,208
  
 
135,000
  
3.950%, 10/15/2042
    
160,286
  
           
2,126,661
  
     
Hotels, Restaurants & Leisure - 0.32%
        
 
65,000
  
GLP Capital LP / GLP Financing II, Inc.
        
     
 5.300%, 01/15/2029
    
75,888
  
 
80,000
  
Las Vegas Sands Corp.
        
     
 3.500%, 08/18/2026
    
85,216
  
     
McDonald's Corp.
        
 
80,000
  
3.350%, 04/01/2023
    
83,957
  
 
50,000
  
4.600%, 05/26/2045
    
62,589
  
 
15,000
  
4.875%, 12/09/2045
    
19,368
  
 
85,000
  
3.625%, 09/01/2049
    
94,445
  
 
90,000
  
4.200%, 04/01/2050 (e)
    
108,875
  
 
65,000
  
Starbucks Corp.
        
     
 3.800%, 08/15/2025
    
72,000
  
           
602,338
  
     
Industrial Conglomerates - 0.58%
        
 
255,000
  
General Electric Co.
        
     
 3.625%, 05/01/2030 (e)
    
284,892
  
 
325,000
  
Honeywell International, Inc.
        
     
 1.950%, 06/01/2030
    
331,058
  
     
NXP BV / NXP Funding LLC / NXP USA, Inc.
        
 
232,000
  
4.875%, 03/01/2024 (c)
    
255,552
  
 
60,000
  
3.150%, 05/01/2027 (c)
    
64,267
  
 
135,000
  
4.300%, 06/18/2029 (c)
    
155,158
  
           
1,090,927
  
     
Insurance - 0.57%
        
 
325,000
  
American International Group, Inc.
        
     
 2.500%, 06/30/2025
    
343,341
  
 
135,000
  
Berkshire Hathaway Finance Corp.
        
     
 4.200%, 08/15/2048
    
167,038
  
     
Marsh & McLennan Cos, Inc.
        
 
110,000
  
3.875%, 03/15/2024
    
119,357
  
 
65,000
  
4.375%, 03/15/2029
    
76,310
  
 
90,000
  
4.750%, 03/15/2039
    
115,407
  
 
70,000
  
Marsh & McLennan Cos., Inc.
        
     
 4.050%, 10/15/2023
    
74,949
  
 
12,000
  
Massachusetts Mutual Life Insurance Co.
        
     
 3.729%, 10/15/2070 (c)
    
12,786
  
 
105,000
  
Progressive Corp.
        
     
 3.200%, 03/26/2030
    
115,585
  
 
55,000
  
Trinity Acquisition PLC
        
     
 4.400%, 03/15/2026
    
62,261
  
           
1,087,034
  
     
Interactive Media & Services - 0.32%
        
 
280,000
  
Alphabet, Inc.
        
     
 2.050%, 08/15/2050 (e)
    
247,867
  
 
350,000
  
Tencent Holdings Ltd.
        
     
 2.390%, 06/03/2030 (c)
    
349,492
  
           
597,359
  
     
Internet & Direct Marketing Retail - 0.25%
        
 
200,000
  
Alibaba Group Holding, Ltd.
        
     
 3.400%, 12/06/2027
    
218,851
  
     
Amazon.com, Inc.
        
 
150,000
  
3.875%, 08/22/2037
    
179,313
  
 
60,000
  
4.950%, 12/05/2044
    
81,575
  
           
479,739
  
     
IT Services - 0.85%
        
 
315,000
  
Fidelity National Information Services, Inc.
        
     
 2.250%, 03/01/2031
    
315,154
  
     
Fiserv, Inc.
        
 
135,000
  
3.200%, 07/01/2026
    
146,282
  
 
385,000
  
2.250%, 06/01/2027
    
399,455
  
 
180,000
  
Global Payments, Inc.
        
     
 2.900%, 05/15/2030
    
187,966
  
 
385,000
  
International Business Machines Corp.
        
     
 1.950%, 05/15/2030 (e)
    
385,120
  
 
95,000
  
Mastercard, Inc.
        
     
 2.950%, 03/15/2051
    
99,579
  
 
55,000
  
Visa, Inc.
        
     
 4.300%, 12/14/2045
    
70,760
  
           
1,604,316
  
     
Machinery - 0.34%
        
 
130,000
  
Caterpillar, Inc.
        
     
 2.600%, 04/09/2030
    
139,051
  
 
495,000
  
Otis Worldwide Corp.
        
     
 2.565%, 02/15/2030
    
513,580
  
           
652,631
  
     
Media - 1.63%
        
     
Charter Communications Operating LLC / Charter Communications Operating Capital
        
 
230,000
  
3.750%, 02/15/2028
    
254,049
  
 
125,000
  
2.800%, 04/01/2031 (e)
    
127,686
  
 
125,000
  
2.300%, 02/01/2032
    
120,419
  
 
150,000
  
5.375%, 05/01/2047 (e)
    
184,240
  
 
55,000
  
5.750%, 04/01/2048 (e)
    
70,170
  
 
75,000
  
5.125%, 07/01/2049
    
89,543
  
 
30,000
  
4.800%, 03/01/2050
    
34,545
  
 
45,000
  
3.700%, 04/01/2051 (e)
    
44,649
  
 
70,000
  
3.900%, 06/01/2052
    
71,536
  
 
45,000
  
4.400%, 12/01/2061
    
48,487
  
     
Comcast Corp.
        
 
35,000
  
3.200%, 07/15/2036
    
37,671
  
 
125,000
  
4.600%, 10/15/2038
    
155,318
  
 
255,000
  
3.750%, 04/01/2040
    
288,271
  
 
180,000
  
4.750%, 03/01/2044
    
230,765
  
 
30,000
  
3.400%, 07/15/2046
    
32,138
  
 
25,000
  
4.700%, 10/15/2048
    
32,484
  


 
50,000
  
4.950%, 10/15/2058 (e)
    
69,434
  
     
Cox Communications, Inc.
        
 
101,000
  
3.150%, 08/15/2024 (c)
    
107,823
  
 
120,000
  
2.600%, 06/15/2031 (c)
    
122,074
  
 
115,000
  
Discovery Communications LLC
        
     
 4.650%, 05/15/2050
    
135,767
  
     
Discovery Communications, LLC
        
 
45,000
  
3.800%, 03/13/2024
    
48,299
  
 
28,000
  
3.950%, 06/15/2025
    
30,761
  
 
100,000
  
5.200%, 09/20/2047
    
124,645
  
 
97,000
  
5.300%, 05/15/2049
    
123,039
  
     
Time Warner Cable, Inc.
        
 
30,000
  
5.500%, 09/01/2041
    
37,326
  
 
50,000
  
4.500%, 09/15/2042
    
55,782
  
     
ViacomCBS, Inc.
        
 
235,000
  
4.950%, 01/15/2031 (e)
    
283,843
  
 
110,000
  
4.200%, 05/19/2032 (e)
    
127,215
  
           
3,087,979
  
     
Metals & Mining - 0.09%
        
 
15,000
  
Steel Dynamics, Inc.
        
     
 3.250%, 01/15/2031
    
16,131
  
 
140,000
  
Vale Overseas, Ltd.
        
     
 3.750%, 07/08/2030
    
149,233
  
           
165,364
  
     
Multi-Utilities - 0.62%
        
     
Berkshire Hathaway Energy Co.
        
 
50,000
  
3.250%, 04/15/2028
    
55,063
  
 
65,000
  
6.125%, 04/01/2036
    
91,753
  
 
290,000
  
NiSource, Inc.
        
     
 3.600%, 05/01/2030
    
321,820
  
 
475,000
  
Public Service Enterprise Group, Inc.
        
     
 1.600%, 08/15/2030
    
451,297
  
     
Sempra Energy
        
 
150,000
  
3.400%, 02/01/2028
    
165,138
  
 
75,000
  
4.000%, 02/01/2048
    
84,514
  
           
1,169,585
  
     
Oil, Gas & Consumable Fuels - 1.23%
        
 
65,000
  
Eastern Energy Gas Holdings LLC
        
     
 2.500%, 11/15/2024
    
68,369
  
     
Energy Transfer LP
        
 
180,000
  
5.250%, 04/15/2029 (e)
    
212,964
  
 
85,000
  
6.250%, 04/15/2049
    
111,801
  
 
140,000
  
Energy Transfer Operating LP
        
     
 6.125%, 12/15/2045
    
178,807
  
 
240,000
  
Enterprise Products Operating LLC
        
     
 4.800%, 02/01/2049
    
296,481
  
     
Equinor ASA
        
 
95,000
  
3.625%, 04/06/2040
    
108,636
  
 
100,000
  
3.700%, 04/06/2050
    
115,288
  
 
135,000
  
Exxon Mobil Corp.
        
     
 4.227%, 03/19/2040 (e)
    
161,502
  
 
200,000
  
Galaxy Pipeline Assets Bidco, Ltd.
        
     
 2.940%, 09/30/2040 (c)
    
199,147
  
 
40,000
  
Hess Corp.
        
     
 7.300%, 08/15/2031
    
54,356
  
 
130,000
  
Marathon Petroleum Corp.
        
     
 4.700%, 05/01/2025
    
146,767
  
     
MPLX LP
        
 
100,000
  
1.750%, 03/01/2026
    
101,178
  
 
35,000
  
4.250%, 12/01/2027
    
39,723
  
 
90,000
  
5.200%, 03/01/2047
    
111,119
  
 
260,000
  
Qatar Petroleum
        
     
 0.000%, 07/12/2031
    
257,236
  
 
50,000
  
Sabine Pass Liquefaction LLC
        
     
 4.500%, 05/15/2030 (e)
    
57,705
  
     
Sunoco Logistics Partners Operations LP
        
 
5,000
  
5.300%, 04/01/2044
    
5,816
  
 
5,000
  
5.350%, 05/15/2045
    
5,817
  
     
TransCanada PipeLines, Ltd.
        
 
70,000
  
4.100%, 04/15/2030
    
80,586
  
 
20,000
  
5.100%, 03/15/2049 (e)
    
26,311
  
           
2,339,609
  
     
Personal Products - 0.03%
        
 
50,000
  
The Estee Lauder Cos., Inc.
        
     
 2.600%, 04/15/2030
    
52,923
  
     
Pharmaceuticals - 1.17%
        
     
Astrazeneca Finance LLC
        
 
280,000
  
1.200%, 05/28/2026
    
279,459
  
 
190,000
  
1.750%, 05/28/2028
    
190,369
  
 
230,000
  
Bayer US Finance II LLC
        
     
 4.250%, 12/15/2025 (c)
    
256,533
  
     
Bristol-Myers Squibb Co.
        
 
30,000
  
3.200%, 06/15/2026
    
32,963
  
 
230,000
  
1.125%, 11/13/2027 (e)
    
226,802
  
 
75,000
  
3.400%, 07/26/2029
    
84,091
  
 
70,000
  
2.550%, 11/13/2050
    
67,340
  
 
195,000
  
GlaxoSmithKline Capital PLC
        
     
 2.875%, 06/01/2022
    
199,327
  
     
Johnson & Johnson
        
 
75,000
  
3.550%, 03/01/2036
    
87,563
  
 
55,000
  
3.625%, 03/03/2037
    
64,391
  
 
195,000
  
Novartis Capital Corp.
        
     
 2.000%, 02/14/2027
    
203,232
  
     
Pfizer, Inc.
        
 
120,000
  
2.625%, 04/01/2030
    
128,045
  
 
135,000
  
1.700%, 05/28/2030 (e)
    
134,757
  
     
Royalty Pharma PLC
        
 
15,000
  
1.750%, 09/02/2027 (c)
    
14,782
  
 
50,000
  
2.200%, 09/02/2030 (c)
    
49,139
  
 
200,000
  
Takeda Pharmaceutical Co., Ltd.
        
     
 2.050%, 03/31/2030
    
198,784
  
           
2,217,577
  


     
Road & Rail - 0.15%
        
 
45,000
  
CSX Corp.
        
     
 4.500%, 03/15/2049
    
56,773
  
 
30,000
  
Norfolk Southern Corp.
        
     
 3.400%, 11/01/2049
    
31,917
  
 
160,000
  
Union Pacific Corp.
        
     
 4.100%, 09/15/2067
    
186,324
  
           
275,014
  
     
Semiconductors & Semiconductor Equipment - 1.16%
        
     
Broadcom, Inc.
        
 
85,000
  
4.110%, 09/15/2028
    
95,785
  
 
425,000
  
5.000%, 04/15/2030 (e)
    
502,864
  
 
105,000
  
2.600%, 02/15/2033 (c)(e)
    
102,916
  
 
285,000
  
3.419%, 04/15/2033 (c)
    
299,967
  
     
Intel Corp.
        
 
310,000
  
2.450%, 11/15/2029
    
327,017
  
 
19,000
  
3.734%, 12/08/2047
    
21,711
  
 
115,000
  
3.250%, 11/15/2049
    
122,756
  
     
Marvell Technology, Inc.
        
 
220,000
  
2.450%, 04/15/2028 (c)(e)
    
224,643
  
 
170,000
  
2.950%, 04/15/2031 (c)
    
176,549
  
     
NVIDIA Corp.
        
 
155,000
  
1.550%, 06/15/2028
    
154,715
  
 
150,000
  
3.500%, 04/01/2040
    
170,613
  
           
2,199,536
  
     
Software - 0.95%
        
 
155,000
  
Microsoft Corp.
        
     
 2.525%, 06/01/2050
    
152,773
  
     
Oracle Corp.
        
 
270,000
  
2.300%, 03/25/2028
    
277,534
  
 
145,000
  
2.875%, 03/25/2031
    
151,177
  
 
185,000
  
4.300%, 07/08/2034
    
215,012
  
 
25,000
  
3.900%, 05/15/2035
    
27,945
  
 
50,000
  
3.800%, 11/15/2037
    
54,957
  
 
185,000
  
3.600%, 04/01/2040
    
195,609
  
 
170,000
  
3.600%, 04/01/2050
    
175,234
  
 
80,000
  
3.950%, 03/25/2051 (e)
    
87,674
  
 
55,000
  
4.100%, 03/25/2061
    
61,136
  
     
salesforce.com, Inc.
        
 
75,000
  
3.250%, 04/11/2023
    
78,695
  
 
325,000
  
1.950%, 07/15/2031
    
326,156
  
           
1,803,902
  
     
Specialty Retail - 0.28%
        
 
75,000
  
AutoZone, Inc.
        
     
 3.625%, 04/15/2025
    
82,166
  
     
Home Depot, Inc.
        
 
235,000
  
3.300%, 04/15/2040 (e)
    
258,173
  
 
5,000
  
3.500%, 09/15/2056
    
5,630
  
 
150,000
  
Lowe's Cos, Inc.
        
     
 2.625%, 04/01/2031
    
155,339
  
 
25,000
  
Lowe's Cos., Inc.
        
     
 3.700%, 04/15/2046
    
27,533
  
           
528,841
  
     
Technology Hardware, Storage & Peripherals - 0.55%
        
     
Apple, Inc.
        
 
360,000
  
1.125%, 05/11/2025
    
364,513
  
 
310,000
  
1.200%, 02/08/2028
    
306,143
  
 
40,000
  
3.450%, 02/09/2045
    
44,863
  
 
335,000
  
2.650%, 02/08/2051 (e)
    
328,357
  
           
1,043,876
  
     
Tobacco - 0.19%
        
     
Altria Group, Inc.
        
 
45,000
  
2.350%, 05/06/2025
    
47,104
  
 
39,000
  
4.400%, 02/14/2026
    
44,163
  
 
145,000
  
2.625%, 09/16/2026 (e)
    
152,874
  
 
80,000
  
2.450%, 02/04/2032
    
77,495
  
 
45,000
  
3.700%, 02/04/2051 (e)
    
42,864
  
           
364,500
  
     
Water Utilities - 0.09%
        
     
American Water Capital Corp.
        
 
140,000
  
3.750%, 09/01/2028
    
158,656
  
 
15,000
  
4.150%, 06/01/2049
    
18,276
  
           
176,932
  
     
Wireless Telecommunication Services - 0.71%
        
     
T-Mobile USA, Inc.
        
 
235,000
  
3.500%, 04/15/2025
    
255,342
  
 
360,000
  
1.500%, 02/15/2026 (e)
    
363,782
  
 
65,000
  
2.050%, 02/15/2028
    
66,106
  
 
290,000
  
3.875%, 04/15/2030
    
324,791
  
 
255,000
  
3.000%, 02/15/2041
    
252,493
  
 
65,000
  
4.500%, 04/15/2050
    
77,479
  
           
1,339,993
  
     
Total Corporate Obligations (Cost $53,528,473)
    
56,623,501
  
               
     
FOREIGN GOVERNMENT DEBT OBLIGATIONS - 1.30%
        
 
205,000
  
Chile Government International Bond
        
     
 3.100%, 05/07/2041
    
205,715
  
     
Mexico Government International Bond
        
 
330,000
  
2.659%, 05/24/2031
    
323,529
  
 
200,000
  
4.750%, 04/27/2032
    
229,500
  
 
200,000
  
4.280%, 08/14/2041 (e)
    
210,522
  
 
236,000
  
4.750%, 03/08/2044
    
261,612
  
     
Panama Government International Bond
        
 
200,000
  
4.300%, 04/29/2053
    
222,486
  
 
220,000
  
3.870%, 07/23/2060
    
225,408
  
     
Peruvian Government International Bond
        
 
40,000
  
2.392%, 01/23/2026
    
41,383
  
 
215,000
  
2.783%, 01/23/2031
    
219,401
  
 
130,000
  
3.300%, 03/11/2041
    
131,717
  


 
400,000
  
Saudi Government International Bond
        
     
 2.250%, 02/02/2033 (c)(e)
    
389,370
  
     
Total Foreign Government Debt Obligations (Cost $2,436,553)
    
2,460,643
  
               
     
MORTGAGE BACKED SECURITIES - U.S. GOVERNMENT AGENCY - 34.31%
        
     
Federal Home Loan Mortgage Corp.
        
 
6,336
  
Pool #D9-6291 4.500%, 09/01/2023
    
6,809
  
 
17,305
  
Pool #G1-3624 5.000%, 08/01/2024
    
18,048
  
 
82,000
  
Series K-068, 3.244%, 08/25/2027
    
91,425
  
 
334,527
  
Series K-110, 1.815%, 04/25/2030 (b)(i)
    
42,796
  
 
1,325,417
  
Series K-111, 1.572%, 05/25/2030 (i)
    
161,534
  
 
933,868
  
Series K-114, 1.213%, 06/25/2030 (b)(i)
    
83,077
  
 
299,779
  
Series K-122, 0.974%, 11/25/2030 (b)(i)
    
21,479
  
 
87,318
  
Series 2329, 6.500%, 06/15/2031
    
98,882
  
 
44,555
  
Series 2338, 6.500%, 07/15/2031
    
51,745
  
 
51,151
  
Pool #78-0447 2.375% (1 Year CMT  Rate + 2.250%, 2.250% Floor, 9.329% Cap), 04/01/2033 (a)
    
53,277
  
 
3,200,000
  
Pool #TBA, 2.000%, 07/15/2035 (h)
    
3,301,904
  
 
73
  
Pool #A4-3129 5.500%, 02/01/2036
    
82
  
 
3,300,000
  
Pool #TBA, 1.500%, 02/25/2036 (h)
    
3,341,280
  
 
80,573
  
Series 4216, 1.700%, 10/15/2039
    
81,785
  
 
400,000
  
Pool #TBA 4.000%, 07/01/2040 (h)
    
426,078
  
 
43,443
  
Series 3883, 3.000%, 05/15/2041
    
46,320
  
 
161,423
  
Series 4139, 2.500%, 11/15/2041
    
168,723
  
 
185,385
  
Pool #U9-0688 4.000%, 05/01/2042
    
202,043
  
 
313,169
  
Pool #Q4-9389 3.500%, 07/01/2047
    
335,388
  
 
281,781
  
Pool #Q5-2093 3.500%, 11/01/2047
    
298,688
  
 
1,375,000
  
Pool #TBA, 2.500%, 07/01/2050 (h)
    
1,423,179
  
 
6,850,000
  
Pool #TBA, 2.000%, 07/15/2050 (h)
    
6,926,260
  
 
6,845,000
  
Pool #TBA, 2.000%, 08/15/2050 (h)
    
6,907,567
  
 
1,375,000
  
Pool #TBA, 2.500%, 08/15/2050 (h)
    
1,420,439
  
 
2,794,019
  
Pool #SD-8123 3.000%, 01/01/2051
    
2,923,020
  
     
Federal National Mortgage Association
        
 
222,817
  
Pool #AJ8325 3.000%, 12/01/2026
    
235,489
  
 
1,100,000
  
Pool #TBA 3.000%, 07/15/2027 (h)
    
1,156,084
  
 
851,213
  
Pool #AN8322 3.190%, 02/01/2028
    
947,423
  
 
996,856
  
Pool #AN8695 3.550%, 03/01/2028
    
1,127,706
  
 
1,685
  
Pool #544859 2.184% (11th District Cost of Funds Index + 1.841%, 1.841% Floor, 14.718% Cap), 08/01/2029 (a)
    
1,687
  
 
723,624
  
Series K-104, 1.248%, 01/25/2030 (b)(i)
    
60,957
  
 
32,616
  
Pool #BC4938 2.500%, 04/01/2031
    
34,159
  
 
65,824
  
Pool #786848 7.000%, 10/01/2031
    
75,860
  
 
2,307
  
Pool #727181 5.000%, 08/01/2033
    
2,633
  
 
957
  
Pool #730727 5.000%, 08/01/2033
    
1,084
  
 
300
  
Pool #741862 5.500%, 09/01/2033
    
347
  
 
334
  
Pool #766197 5.500%, 02/01/2034
    
384
  
 
83
  
Pool #776974 5.500%, 04/01/2034
    
96
  
 
52,073
  
Pool #888504 2.187% (1 Year CMT  Rate + 2.062%, 2.062% Floor, 9.321% Cap), 04/01/2034 (a)
    
55,687
  
 
172,961
  
Pool #MA1870 4.500%, 04/01/2034
    
189,208
  
 
3,028
  
Pool #775776 5.500%, 05/01/2034
    
3,498
  
 
1,554,829
  
Series 2019-M21, 1.331%, 06/25/2034 (b)(i)
    
180,048
  
 
102,229
  
Pool #802783 2.112% (12 Month LIBOR USD + 1.612%, 1.612% Floor, 10.299% Cap), 10/01/2034 (a)
    
104,357
  
 
2,610
  
Pool #781629 5.500%, 12/01/2034
    
3,027
  
 
3,323
  
Pool #822815 5.500%, 04/01/2035
    
3,832
  
 
3,148
  
Pool #357850 5.500%, 07/01/2035
    
3,651
  
 
2,279
  
Pool #820242 5.000%, 07/01/2035
    
2,616
  
 
470
  
Pool #838452 5.500%, 09/01/2035
    
543
  
 
2,544
  
Pool #865854 6.000%, 03/01/2036
    
3,022
  
 
4,253
  
Pool #891474 6.000%, 04/01/2036
    
4,998
  
 
1,887
  
Pool #906000 6.000%, 01/01/2037
    
2,240
  
 
38
  
Pool #928062 5.500%, 02/01/2037
    
44
  
 
57
  
Pool #899119 5.500%, 04/01/2037
    
64
  
 
221,380
  
Pool #AS9772 3.500%, 06/01/2037
    
237,628
  
 
100
  
Pool #970131 5.500%, 03/01/2038
    
116
  
 
58
  
Pool #985108 5.500%, 07/01/2038
    
67
  
 
49
  
Pool #964930 5.500%, 08/01/2038
    
55
  
 
38
  
Pool #987032 5.500%, 08/01/2038
    
44
  
 
47
  
Pool #968371 5.500%, 09/01/2038
    
52
  
 
21
  
Pool #993050 5.500%, 12/01/2038
    
24
  
 
9,929
  
Pool #993579 4.000%, 05/01/2039
    
10,922
  
 
1,786
  
Pool #AA5840 4.000%, 06/01/2039
    
1,955
  
 
34,935
  
Pool #AA8715 4.000%, 06/01/2039
    
38,977
  
 
109,807
  
Pool #AD0586 4.500%, 12/01/2039
    
122,670
  
 
255,980
  
Pool #AD4062 5.000%, 05/01/2040
    
293,820
  
 
207,835
  
Pool #AD6929 5.000%, 06/01/2040
    
236,342
  
 
4,910
  
Pool #AD9896 4.000%, 08/01/2040
    
5,368
  
 
6,005
  
Pool #AB1500 4.000%, 09/01/2040
    
6,547
  
 
7,224
  
Pool #AD9856 4.000%, 09/01/2040
    
7,912
  
 
2,935
  
Pool #AE2559 4.000%, 09/01/2040
    
3,199
  
 
1,016
  
Pool #AE2562 4.000%, 09/01/2040
    
1,108
  
 
1,145
  
Pool #AE2566 4.000%, 09/01/2040
    
1,248
  
 
12,647
  
Pool #AE4124 4.000%, 10/01/2040
    
13,852
  
 
6,901
  
Pool #AE4888 4.000%, 10/01/2040
    
7,545
  
 
9,559
  
Pool #AE3916 4.000%, 11/01/2040
    
10,466
  
 
1,271
  
Pool #AE5147 4.000%, 11/01/2040
    
1,385
  
 
15,158
  
Pool #AE8715 4.000%, 11/01/2040
    
16,519
  
 
1,940
  
Pool #AH0006 4.000%, 12/01/2040
    
2,121
  
 
6,225
  
Pool #AH0020 4.000%, 12/01/2040
    
6,817
  
 
9,221
  
Pool #AH0599 4.000%, 12/01/2040
    
10,048
  
 
3,311
  
Pool #AH0601 4.000%, 12/01/2040
    
3,608
  
 
5,990
  
Pool #AH1263 4.000%, 01/01/2041
    
6,528
  
 
33,358
  
Pool #AL5233 4.000%, 01/01/2041
    
36,482
  
 
2,112
  
Pool #AH4659 4.000%, 02/01/2041
    
2,301
  
 
35,148
  
Pool #AH5653 4.000%, 02/01/2041
    
38,439
  
 
51,047
  
Pool #AL0934 5.000%, 02/01/2041
    
58,180
  
 
73,405
  
Pool #AD1889 4.500%, 03/01/2041
    
81,836
  
 
5,585
  
Pool #AH6150 4.000%, 03/01/2041
    
6,144
  
 
48,170
  
Pool #AL0215 4.500%, 04/01/2041
    
53,617
  
 
39,108
  
Pool #AL0187 5.000%, 05/01/2041
    
44,858
  


 
6,715
  
Pool #AL0456 5.000%, 06/01/2041
    
7,703
  
 
28,979
  
Pool #AI8842 4.500%, 08/01/2041
    
32,386
  
 
103,047
  
Series 2013-43, 1.500%, 08/25/2041
    
105,077
  
 
21,177
  
Pool #AL0815 4.000%, 09/01/2041
    
23,630
  
 
32,428
  
Series 2012-21, 2.000%, 09/25/2041
    
33,386
  
 
8,253
  
Pool #AJ1562 4.000%, 10/01/2041
    
9,209
  
 
5,765
  
Pool #AJ1972 4.000%, 10/01/2041
    
6,433
  
 
341,697
  
Pool #AJ2212 4.500%, 10/01/2041
    
382,082
  
 
11,976
  
Pool #AJ4756 4.000%, 10/01/2041
    
13,363
  
 
9,712
  
Pool #AJ3330 4.000%, 11/01/2041
    
10,837
  
 
8,826
  
Pool #AJ4549 4.000%, 11/01/2041
    
9,848
  
 
8,574
  
Pool #AJ4698 4.000%, 11/01/2041
    
9,568
  
 
15,393
  
Pool #AJ5424 4.000%, 11/01/2041
    
17,176
  
 
6,082
  
Pool #AJ7840 4.000%, 11/01/2041
    
6,787
  
 
9,767
  
Pool #AB3995 4.000%, 12/01/2041
    
10,898
  
 
9,178
  
Pool #AI0848 4.000%, 12/01/2041
    
10,241
  
 
7,842
  
Pool #AJ4187 4.000%, 12/01/2041
    
8,751
  
 
8,580
  
Pool #AJ5736 4.000%, 12/01/2041
    
9,574
  
 
4,869
  
Pool #AJ5968 4.000%, 12/01/2041
    
5,333
  
 
10,627
  
Pool #AJ6061 4.000%, 12/01/2041
    
11,858
  
 
7,944
  
Pool #AJ7868 4.000%, 12/01/2041
    
8,864
  
 
15,556
  
Pool #AJ8104 4.000%, 12/01/2041
    
17,358
  
 
12,767
  
Pool #AJ8109 4.000%, 12/01/2041
    
14,246
  
 
7,075
  
Pool #AJ8171 4.000%, 12/01/2041
    
7,895
  
 
12,441
  
Pool #AJ8341 4.000%, 12/01/2041
    
13,882
  
 
21,259
  
Pool #AJ8436 4.000%, 12/01/2041
    
23,722
  
 
7,574
  
Pool #AJ8912 4.000%, 12/01/2041
    
8,452
  
 
8,127
  
Pool #AJ9248 4.000%, 12/01/2041
    
9,069
  
 
57,655
  
Series 2012-18, 2.000%, 12/25/2041
    
59,488
  
 
54,563
  
Series 2012-75, 2.500%, 12/25/2041
    
56,289
  
 
6,463
  
Pool #AJ2446 4.000%, 01/01/2042
    
7,076
  
 
12,922
  
Pool #AJ7538 4.000%, 01/01/2042
    
14,419
  
 
3,463
  
Pool #AJ8001 4.000%, 01/01/2042
    
3,785
  
 
11,126
  
Pool #AJ8369 4.000%, 01/01/2042
    
12,416
  
 
10,066
  
Pool #AJ9162 4.000%, 01/01/2042
    
11,231
  
 
59,788
  
Pool #AJ9330 4.000%, 01/01/2042
    
66,709
  
 
4,912
  
Pool #AJ9779 4.000%, 01/01/2042
    
5,393
  
 
9,735
  
Pool #AK0170 4.000%, 01/01/2042
    
10,862
  
 
21,520
  
Pool #AK0543 4.000%, 01/01/2042
    
24,014
  
 
9,572
  
Pool #AK0563 4.000%, 01/01/2042
    
10,681
  
 
16,644
  
Pool #AK1827 4.000%, 01/01/2042
    
18,571
  
 
176,262
  
Pool #AL2752 5.000%, 03/01/2042
    
202,186
  
 
42,288
  
Series 2012-52, 3.500%, 05/25/2042
    
45,506
  
 
180,395
  
Series 2012-128, 1.500%, 06/25/2042
    
184,032
  
 
30,132
  
Pool #AB5529 4.000%, 07/01/2042
    
32,827
  
 
95,695
  
Pool #AB6228 3.500%, 09/01/2042
    
103,165
  
 
95,229
  
Series 415, 3.000%, 11/01/2042
    
99,767
  
 
153,724
  
Series 4961, 2.500%, 12/15/2042
    
160,937
  
 
219,228
  
Pool #AQ9316 2.500%, 01/01/2043
    
229,192
  
 
85,095
  
Series 2015-48, 3.000%, 02/25/2043
    
88,567
  
 
614,513
  
Pool #AT2720 3.000%, 05/01/2043
    
655,287
  
 
389,493
  
Pool #AT5900 3.000%, 06/01/2043
    
412,753
  
 
75,504
  
Series 2013-77, 1.700%, 06/25/2043
    
76,724
  
 
251,712
  
Pool #AU1625 3.500%, 07/01/2043
    
271,573
  
 
81,859
  
Series 2017-26, 3.500%, 07/25/2044
    
85,364
  
 
35,970
  
Series 2018-38, 3.500%, 03/25/2045
    
36,614
  
 
293,609
  
Pool #AS5469 4.000%, 07/01/2045
    
320,219
  
 
402,495
  
Pool #AZ0832 4.000%, 07/01/2045
    
442,377
  
 
57,473
  
Pool #AS5597 3.500%, 08/01/2045
    
61,527
  
 
33,678
  
Series 2016-38, 3.000%, 01/25/2046
    
36,229
  
 
66,365
  
Series 2016-11, 2.500%, 03/25/2046
    
69,519
  
 
287,486
  
Pool #AS7170 3.500%, 05/01/2046
    
305,949
  
 
213,592
  
Pool #AS7242 3.500%, 05/01/2046
    
227,183
  
 
357,911
  
Pool #BC9468 3.000%, 06/01/2046
    
378,594
  
 
206,136
  
Pool #AS7492 4.000%, 07/01/2046
    
222,502
  
 
246,381
  
Pool #AS8947 3.500%, 03/01/2047
    
263,875
  
 
41,808
  
Series 2017-34, 3.000%, 05/25/2047
    
43,176
  
 
38,903
  
Pool #MA3038 4.500%, 06/01/2047
    
42,289
  
 
2,548,985
  
Pool #CA0858 3.500%, 12/01/2047
    
2,699,925
  
 
68,795
  
Series 2018-80, 3.500%, 12/25/2047
    
71,908
  
 
36,100
  
Series 2018-77, 3.500%, 02/25/2048
    
37,853
  
 
90,749
  
Series 2018-23, 3.500%, 04/25/2048
    
98,927
  
 
820,093
  
Pool #BN5279 4.000%, 02/01/2049
    
873,798
  
 
102,784
  
Series 2019-06, 3.000%, 02/25/2049
    
108,504
  
 
101,294
  
Series 2019-07, 3.500%, 03/25/2049
    
108,865
  
 
118,892
  
Series 2019-14, 3.500%, 04/25/2049
    
129,505
  
 
132,399
  
Series 2019-45, 3.000%, 08/25/2049
    
139,017
  
 
3,044,908
  
Pool #MA4307 3.000%, 04/01/2051
    
3,196,221
  
 
126,178
  
Series 2019-41, 2.500%, 03/25/2053
    
130,186
  
 
94,047
  
Series 2017-35, 3.500%, 04/25/2053
    
96,836
  
 
72,937
  
Series 2017-84, 3.500%, 04/25/2053
    
75,126
  
 
122,950
  
Series 2019-15, 3.500%, 05/25/2053
    
129,792
  
 
80,843
  
Series 2017-49, 4.000%, 07/25/2053
    
84,235
  
 
132,591
  
Series 2018-72, 3.500%, 07/25/2054
    
138,768
  
 
115,845
  
Series 2017-96, 3.000%, 12/25/2054
    
121,466
  
 
58,804
  
Series 2018-19, 3.500%, 05/25/2056
    
61,679
  
 
89,324
  
Series 2018-70, 3.500%, 10/25/2056
    
94,607
  
 
98,700
  
Series 2019-07, 3.500%, 11/25/2057
    
105,305
  
 
115,404
  
Series 2019-12, 3.500%, 11/25/2057
    
124,009
  
 
324,187
  
Series 2020-1, 3.500%, 08/25/2058
    
345,602
  
     
Government National Mortgage Association
        
 
8,833
  
Pool #614436X 5.000%, 08/15/2033
    
9,972
  
 
16,273
  
Pool #736686X 5.000%, 02/15/2039
    
18,807
  
 
385,651
  
Pool #723248X 5.000%, 10/15/2039
    
448,382
  
 
106,066
  
Series 2015-56, 1.500%, 04/16/2040
    
107,110
  
 
161,359
  
Pool #783403X 3.500%, 09/15/2041
    
173,192
  
 
76,794
  
Series 2013-37, 2.000%, 01/20/2042
    
78,578
  
 
900,000
  
Pool #TBA 4.000%, 07/15/2042 (h)
    
950,414
  
 
700,000
  
Pool #TBA 3.500%, 08/15/2043 (h)
    
734,795
  
 
3,300,000
  
Pool #TBA 3.000%, 07/15/2045 (h)
    
3,443,086
  
 
700,000
  
Pool #TBA 3.500%, 07/15/2045 (h)
    
734,412
  


 
56,982
  
Series 2015-151, 1.700%, 10/20/2045
    
57,760
  
 
45,586
  
Pool #MA4587M 4.000%, 07/20/2047
    
48,666
  
 
120,965
  
Pool #MA4652M 3.500%, 08/20/2047
    
128,232
  
 
229,969
  
Pool #MA4778M 3.500%, 10/20/2047
    
244,509
  
 
171,304
  
Pool #MA4779M 4.000%, 10/20/2047
    
183,655
  
 
201,864
  
Pool #MA4780M 4.500%, 10/20/2047
    
218,406
  
 
5,300,000
  
Pool #TBA, 2.500%, 07/01/2050 (h)
    
5,486,535
  
 
2,700,000
  
Pool #TBA, 2.000%, 10/20/2050 (h)
    
2,752,313
  
     
Total Mortgage Backed Securities - U.S. Government Agency (Cost $63,751,321)
    
65,018,825
  
               
     
MUNICIPAL DEBT OBLIGATIONS - 1.66%
        
     
California, GO,
        
 
30,000
  
7.550%, 04/01/2039 (e)
    
51,210
  
 
60,000
  
7.300%, 10/01/2039
    
96,128
  
 
5,000
  
7.625%, 03/01/2040
    
8,432
  
 
105,000
  
Chicago Transit Authority Sales & Transfer Tax Receipts, Series B, Revenue Bond,
        
     
Series B, 6.899%, 12/01/2040
    
149,358
  
 
20,000
  
Chicago Transit Authority Sales Tax Receipts Fund
        
     
 3.912%, 12/01/2040
    
22,567
  
     
County of Riverside CA
        
 
345,000
  
2.963%, 02/15/2027
    
372,954
  
 
345,000
  
3.070%, 02/15/2028
    
375,490
  
 
125,000
  
District of Columbia
        
     
 3.432%, 04/01/2042
    
132,098
  
     
Metropolitan Transportation Authority
        
 
255,000
  
5.175%, 11/15/2049
    
345,944
  
 
100,000
  
5.000%, 11/15/2050
    
124,821
  
 
60,000
  
New York State Thruway Authority - Class M
        
     
 2.900%, 01/01/2035
    
64,340
  
 
370,000
  
New York Transportation Development Corp.
        
     
 4.248%, 09/01/2035
    
410,087
  
 
355,000
  
Philadelphia Authority for Industrial Development
        
     
 6.550%, 10/15/2028
    
461,664
  
 
215,000
  
Port Authority of New York & New Jersey
        
     
 1.086%, 07/01/2023
    
217,779
  
 
250,000
  
State Board of Administration Finance Corp.
        
     
 1.258%, 07/01/2025
    
252,500
  
 
35,000
  
University of California Medical Center, Series H Revenue Bond,
        
     
 6.548%, 05/15/2048 (e)
    
54,708
  
     
Total Municipal Debt Obligations (Cost $2,843,331)
    
3,140,080
  
               
     
U.S. TREASURY OBLIGATIONS - 32.69%
        
     
U.S. Treasury Bonds - 12.14%
        
 
2,150,000
  
6.875%, 08/15/2025
    
2,690,523
  
 
254,274
  
0.375%, 01/15/2027 (f)
    
281,635
  
 
58,514
  
0.750%, 07/15/2028 (f)
    
67,214
  
 
93,743
  
0.125%, 07/15/2030 (f)
    
103,578
  
 
1,875,000
  
2.250%, 05/15/2041
    
1,953,516
  
 
1,075,000
  
3.125%, 02/15/2043
    
1,285,675
  
 
275,000
  
3.625%, 08/15/2043
    
354,492
  
 
1,830,000
  
3.750%, 11/15/2043
    
2,404,162
  
 
1,050,000
  
3.625%, 02/15/2044
    
1,358,355
  
 
1,600,000
  
3.125%, 08/15/2044
    
1,921,938
  
 
240,000
  
3.000%, 11/15/2045
    
283,997
  
 
950,000
  
2.500%, 02/15/2046
    
1,030,045
  
 
2,365,000
  
2.500%, 05/15/2046
    
2,564,455
  
 
1,600,000
  
3.000%, 02/15/2047
    
1,902,063
  
 
470,182
  
0.875%, 02/15/2047 (f)
    
607,081
  
 
500,000
  
3.000%, 02/15/2048
    
596,426
  
 
64,978
  
1.000%, 02/15/2048 (f)
    
86,983
  
 
940,000
  
3.125%, 05/15/2048
    
1,147,204
  
 
115,000
  
3.000%, 02/15/2049
    
137,784
  
 
90,208
  
1.000%, 02/15/2049 (f)
    
121,931
  
 
926,000
  
1.250%, 05/15/2050
    
756,896
  
 
390,000
  
1.375%, 08/15/2050
    
329,123
  
 
1,075,000
  
1.875%, 02/15/2051 (e)
    
1,027,297
  
     
U.S. Treasury Notes - 20.55%
        
 
3,195,000
  
0.125%, 08/31/2022
    
3,195,562
  
 
8,210,000
  
1.375%, 08/31/2023
    
8,405,629
  
 
1,600,000
  
2.375%, 08/15/2024 (k)
    
1,694,406
  
 
2,190,000
  
2.875%, 05/31/2025
    
2,378,460
  
 
7,240,000
  
2.875%, 07/31/2025
    
7,875,197
  
 
2,335,000
  
0.375%, 01/31/2026
    
2,289,486
  
 
3,490,000
  
0.750%, 04/30/2026 (e)
    
3,474,459
  
 
2,860,000
  
2.000%, 11/15/2026
    
3,020,316
  
 
708,000
  
1.625%, 08/15/2029
    
724,801
  
 
2,700,000
  
0.875%, 11/15/2030 (e)
    
2,570,062
  
 
3,250,000
  
1.625%, 05/15/2031
    
3,304,082
  
     
Total U.S. Treasury Obligations (Cost $60,923,217)
    
61,944,833
  
Number of
Shares
            
     
SHORT TERM INVESTMENTS - 2.05%
        
     
Money Market Funds - 2.05%
        
     
DWS Government Money Market Series - Institutional Shares
        
 
3,882,898
  
Effective Yield, 0.04% (d)
    
3,882,898
  
     
Total Short Term Investments (Cost $3,882,898)
    
3,882,898
  
Number of
Units
            
     
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL - 8.35%
        
     
Mount Vernon Liquid Assets Portfolio, LLC
        
 
15,834,024
  
Effective Yield, 0.10% (d)
    
15,834,024
  
     
Total Investments Purchased with Proceeds from Securities Lending Collateral (Cost $15,834,024)
    
15,834,024
  
               
     
Total Investments (Cost $240,556,857) - 130.16%
    
246,618,625
  
     
Liabilities in Excess of Other Assets - (30.14)%
    
(57,118,963
)
     
TOTAL NET ASSETS - 100.00%
  
$
189,499,662
  
               


Percentages are stated as a percent of net assets.
        
(a)
  
Variable rate security based on a reference index and spread. Certain securities are fixed to variable and currently in the fixed phase. The rate reported is the rate in effect as of June 30, 2021.
        
(b)
  
Variable rate security. The coupon is based on an underlying pool of assets. The rate reported is the rate in effect as of June 30, 2021.
        
(c)
  
Securities were purchased exempt from registration in the U.S. pursuant to Rule 144A of the Securities Act of 1933 (the “Act”) or were acquired in a
private placement, and, unless registered under the Act, may only be sold to “qualified institutional buyers” (as defined in the Act) or pursuant to another
exemption from registration. The value of these securities total $37,339,413, which represents 19.70% of total net assets.
        
(d)
  
Seven-day yield as of June 30, 2021.
        
(e)
  
All or portion of this security is on loan.
        
(f)
  
Represents a U.S. Treasury Inflation Protected Security.
        
(g)
  
These securities have been deemed illiquid pursuant to the Fund’s liquidity guidelines. The value of these securities total $802,500, which represents 0.42% of total net assets.
        
(h)
  
Security purchased on a when-issued basis. On June 30, 2021, the total value of investments purchased on a when-issued basis was $39,004,346 or 20.58% of total net assets.
        
(i)
  
Represents an interest-only security that entitles holders to receive only interest payments on the underlying mortgages. The yield-to-maturity of an interest-only security is extremely sensitive to the rate of principal payments on the underlying mortgage assets. A rapid (slow) rate of principal repayments may have an adverse (positive) effect on yield to maturity. The principal amount shown is the underlying mortgages. Interest rate disclosed represents yield upon the estimated timing and amount of future cash flows at June 30, 2021. These securities are considered liquid pursuant to the Fund’s liquidity guidelines and the value of these securities total $1,768,015, which represents 0.93% of total net assets.
        
(j)
  
Step-up bond; the interest rate shown is the rate in effect as of June 30, 2021.
        
(k)
  
All or a portion of this security is held as collateral for certain swap and futures contracts. The approximate value of the portion of this security held as collateral is $437,714.
        
               
Glossary of Terms
        
LIBOR
  
- London Interbank Offered Rate
        
CMT
  
- Constant Maturing Treasury Rate
        
SOFR
  
- Secured Overnight Financing Rate
        


GuideMark® Core Fixed Income Fund
  
SCHEDULE OF OPEN FUTURES CONTRACTS (Unaudited)
  
June 30, 2021
  
Description
  
Number of
Contracts
Purchased
/ (Sold)
  
NotionalValue
  
Settlement
Month
  
Unrealized
Appreciation
(Depreciation)
  
U.S. Treasury 10 Year Note Futures
    
(22)
  
$
(2,915,000
)
Sep-21
  
$
(12,247
)
U.S. Treasury Ultra 10 Year Note Futures
    
(53)
    
(7,801,766
)
Sep-21
    
(116,200
)
U.S. Treasury 5 Year Note Futures
    
(79)
    
(9,750,945
)
Sep-21
    
24,001
  
U.S. Treasury Long Bond Futures
    
(11)
    
(1,768,250
)
Sep-21
    
(48,458
)
U.S. Treasury Ultra Bond Futures
    
1
    
192,688
  
Sep-21
    
2,717
  
                      
$
(150,187
)

 
GuideMark® Core Fixed Income Fund
                              
SCHEDULE OF OPEN SWAP CONTRACTS (Unaudited)
        
Credit Default Swaps on Credit Indices - Sell Protection(1)
                              
June 30, 2021
                              
                                                       
     
Implied Credit
    
Fixed
                          
Upfront
    
Unrealized
        
Reference
    
Spread at
    
Pay
    
Maturity
    
Payment
  
Notional
    
Fair
    
Premiums
    
Appreciation
        
Obligation
    
6/30/2021 (2)
    
Rate
    
Date
  
Counterparty
Frequency
  
Amount (3)
    
Value
    
Paid (Received)
    
(Depreciation)
        
CDX-NAIGS36V-5Y*
    
48.05%
   
1.000%
%
  
06/20/2026
  
Morgan Stanley
Quarterly
  
$
2,385,000
    
$
60,240
    
$
49,626
    
$
10,614
        
                                                                   
                                                                   
Interest Rate Swaps
                                                          
June 30, 2021
                                      
     
Floating
    
Fixed
  
 Fixed
                            
Upfront
    
Unrealized
  
Pay/Receive
            
Payment
    
Pay
  
 Payment
Maturity
          
Notional
    
Fair
    
Premiums
    
Appreciation
  
Floating Rate
    
Floating Rate Index
    
Frequency
    
Rate
  
 Frequency
Date
  
Counterparty
    
Amount
    
Value
    
Paid (Received)
    
(Depreciation)
  
Receive
    
3-MO-USD-LIBOR**
    
Quarterly
      
0.3800%

 Semi-Annual
12/16/2025
  
Morgan Stanley
    
$
5,270,000
    
$
110,509
    
$
(7,813
)
  
$
118,322
  
Receive
    
3-MO-USD-LIBOR**
    
Quarterly
      
0.8100%

 Semi-Annual
9/16/2050
  
Morgan Stanley
      
690,000
      
155,221
      
2,097
      
153,124
  
                                                 
$
265,730
    
$
(5,716
)
  
$
271,446
  
 
1
)
  
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will
                                        
       
either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation
                                        
       
or underlying securities comprising the referenced index or (ii) 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.
                                        
 
2
)
  
Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on U.S.
                                        
       
municipal issues, corporate issues or sovereign issues of an emerging country as of year end serve as an indicator of the current status of the payment/
                                  
       
performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced
                                        
       
entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement.
                                        
       
Wider credit spreads 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. A credit spread identified as "Defaulted" indicates a credit event has
                                        
       
occurred for the referenced entity or obligation.
                                                              
 
3
)
  
The maximum potential amount the Fund could be required to pay as seller of credit protection or receive as a buyer of credit protection
                                        
       
if a credit event occurs as defined under the terms of that particular swap agreement.
                                                      
 
*
    
Centrally cleared swap, clearing agent: Intercontinental Exchange
                                                              
   
**
  
Centrally cleared swap, clearing agent: LCH