Shares | Value | ||
COMMON STOCKS* — 99.9% | |||
Auto Components — 0.8% | |||
220,826 | BorgWarner, Inc. | $10,816,058 | |
Automobiles — 1.3% | |||
312,910 | General Motors Co.1 | 17,785,804 | |
Banks — 4.4% | |||
405,336 | Citizens Financial Group, Inc. | 17,088,966 | |
453,342 | First Horizon Corp. | 7,004,134 | |
509,342 | KeyCorp. | 10,013,664 | |
990,292 | Regions Financial Corp. | 19,063,121 | |
166,242 | US Bancorp | 9,233,080 | |
62,402,965 | |||
Beverages — 1.1% | |||
166,223 | Monster Beverage Corp.1 | 15,678,153 | |
Biotechnology — 1.7% | |||
101,986 | Amgen, Inc. | 24,633,698 | |
Building Products — 2.7% | |||
311,801 | Carrier Global Corp. | 17,227,005 | |
154,258 | Fortune Brands Home & Security, Inc. | 15,035,527 | |
68,040 | Owens Corning | 6,542,727 | |
38,805,259 | |||
Capital Markets — 3.4% | |||
365,013 | Bank of New York Mellon Corp. (The) | 18,736,117 | |
174,272 | Janus Henderson Group PLC | 7,291,540 | |
76,676 | Raymond James Financial, Inc. | 9,928,009 | |
139,063 | State Street Corp. | 12,117,950 | |
48,073,616 | |||
Chemicals — 0.9% | |||
207,140 | Dow, Inc. | 12,875,822 | |
Communications Equipment — 3.9% | |||
29,957 | Arista Networks, Inc.1 | 11,395,343 | |
195,921 | Ciena Corp.1 | 11,390,847 | |
240,792 | Cisco Systems, Inc./Delaware | 13,332,653 | |
94,849 | F5 Networks, Inc.1 | 19,587,267 | |
55,706,110 | |||
Construction & Engineering — 1.1% | |||
178,065 | Quanta Services, Inc. | 16,186,109 | |
Consumer Finance — 2.1% | |||
703,758 | SLM Corp. | 13,251,763 | |
365,043 | Synchrony Financial | 17,164,322 | |
30,416,085 | |||
Containers & Packaging — 1.4% | |||
351,692 | International Paper Co. | 20,313,730 | |
Diversified Telecommunication Services — 1.9% | |||
493,046 | AT&T, Inc. | 13,829,940 | |
236,650 | Verizon Communications, Inc. | 13,200,337 | |
27,030,277 | |||
Electrical Equipment — 0.5% | |||
51,285 | AMETEK, Inc. | 7,131,179 |
1 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Energy Equipment & Services — 1.2% | |||
830,302 | Baker Hughes Co. | $17,635,615 | |
Entertainment — 3.0% | |||
251,356 | Activision Blizzard, Inc. | 21,018,389 | |
96,174 | Electronic Arts, Inc. | 13,845,209 | |
41,997 | Take-Two Interactive Software, Inc.1 | 7,283,120 | |
42,146,718 | |||
Equity Real Estate Investment Trusts — 3.7% | |||
47,472 | American Tower Corp. | 13,425,082 | |
58,237 | Crown Castle International Corp. | 11,244,982 | |
215,563 | Prologis, Inc. | 27,600,686 | |
52,270,750 | |||
Food & Staples Retailing — 1.5% | |||
514,303 | Kroger Co. (The) | 20,932,132 | |
Food Products — 1.7% | |||
333,786 | Conagra Brands, Inc. | 11,178,493 | |
217,599 | General Mills, Inc. | 12,807,877 | |
23,986,370 | |||
Health Care Providers & Services — 5.4% | |||
36,757 | Anthem, Inc. | 14,115,056 | |
174,237 | Cardinal Health, Inc. | 10,346,193 | |
63,439 | Cigna Corp. | 14,558,616 | |
107,690 | CVS Health Corp. | 8,869,348 | |
174,729 | DaVita, Inc.1 | 21,011,162 | |
35,672 | McKesson Corp. | 7,271,024 | |
76,171,399 | |||
Household Durables — 1.6% | |||
219,173 | Lennar Corp. - Class A | 23,046,041 | |
Household Products — 1.9% | |||
144,843 | Church & Dwight Co., Inc. | 12,540,507 | |
175,838 | Colgate-Palmolive Co. | 13,979,121 | |
26,519,628 | |||
Independent Power & Renewable Electricity Producer — 1.5% | |||
899,506 | AES Corp. (The) | 21,318,292 | |
Insurance — 2.3% | |||
249,961 | Aflac, Inc. | 13,747,855 | |
167,275 | Fidelity National Financial, Inc. | 7,462,138 | |
188,161 | MetLife, Inc. | 10,856,889 | |
32,066,882 | |||
Interactive Media & Services — 4.0% | |||
10,879 | Alphabet, Inc. - Class A1 | 29,313,792 | |
77,465 | Facebook, Inc. - Class A1 | 27,600,779 | |
56,914,571 | |||
Internet & Direct Marketing Retail — 1.4% | |||
297,530 | eBay, Inc. | 20,294,521 | |
IT Services — 5.8% | |||
75,286 | Accenture PLC - Class A | 23,916,856 | |
295,041 | Amdocs, Ltd. | 22,750,612 | |
161,583 | Cognizant Technology Solutions Corp. - Class A | 11,881,198 |
2 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
IT Services — (Continued) | |||
88,009 | PayPal Holdings, Inc.1 | $24,249,120 | |
82,797,786 | |||
Life Sciences Tools & Services — 4.4% | |||
108,355 | Agilent Technologies, Inc. | 16,603,237 | |
7,166 | Mettler-Toledo International, Inc.1 | 10,560,606 | |
53,165 | PerkinElmer, Inc. | 9,688,258 | |
28,616 | Thermo Fisher Scientific, Inc. | 15,452,926 | |
24,252 | Waters Corp.1 | 9,453,672 | |
61,758,699 | |||
Machinery — 1.0% | |||
47,398 | Parker-Hannifin Corp. | 14,789,598 | |
Media — 2.8% | |||
444,449 | Comcast Corp. - Class A | 26,146,935 | |
380,341 | Fox Corp. - Class A | 13,562,960 | |
39,709,895 | |||
Multi-line Retail — 2.0% | |||
107,274 | Target Corp. | 28,003,878 | |
Multi-Utilities — 0.5% | |||
117,099 | Public Service Enterprise Group, Inc. | 7,287,071 | |
Oil, Gas & Consumable Fuels — 1.0% | |||
120,319 | Exxon Mobil Corp. | 6,926,765 | |
380,013 | Kinder Morgan, Inc. | 6,604,626 | |
13,531,391 | |||
Pharmaceuticals — 1.0% | |||
85,476 | Johnson & Johnson | 14,718,967 | |
Professional Services — 2.1% | |||
169,015 | Booz Allen Hamilton Holding Corp. | 14,503,177 | |
61,054 | ManpowerGroup, Inc. | 7,239,784 | |
317,564 | Nielsen Holdings PLC | 7,523,091 | |
29,266,052 | |||
Real Estate Management & Development — 0.6% | |||
86,260 | CBRE Group, Inc. - Class A1 | 8,320,640 | |
Road & Rail — 1.6% | |||
475,161 | CSX Corp. | 15,357,204 | |
150,913 | Knight-Swift Transportation Holdings, Inc. | 7,498,867 | |
22,856,071 | |||
Semiconductors & Semiconductor Equipment — 5.1% | |||
185,411 | Applied Materials, Inc. | 25,944,561 | |
17,282 | Lam Research Corp. | 11,015,720 | |
57,496 | Qorvo, Inc.1 | 10,900,667 | |
80,230 | Skyworks Solutions, Inc. | 14,803,237 | |
76,840 | Teradyne, Inc. | 9,758,680 | |
72,422,865 | |||
Software — 9.3% | |||
509,524 | Dropbox, Inc. - Class A1 | 16,044,911 | |
94,268 | Fortinet, Inc.1 | 25,663,520 | |
97,573 | Microsoft Corp. | 27,799,523 | |
245,318 | Oracle Corp. | 21,377,011 | |
196,785 | SS&C Technologies Holdings, Inc. | 15,425,976 |
3 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — (Continued) | |||
88,396 | Synopsys, Inc.1 | $25,457,164 | |
131,768,105 | |||
Specialty Retail — 3.4% | |||
181,363 | Best Buy Co., Inc. | 20,376,133 | |
22,965 | Home Depot, Inc. (The) | 7,536,884 | |
104,309 | Lowe’s Cos., Inc. | 20,099,301 | |
48,012,318 | |||
Technology Hardware, Storage & Peripherals — 2.9% | |||
78,595 | Apple, Inc. | 11,463,867 | |
695,964 | Hewlett Packard Enterprise Co. | 10,091,478 | |
692,149 | HP, Inc. | 19,982,341 | |
41,537,686 | |||
TOTAL COMMON STOCKS (Cost $901,573,531) | 1,417,938,806 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.2% | |||
$2,226,325 | With Fixed Income Clearing Corp., dated 7/30/21, 0.00%, principal and interest in the amount of $2,226,325, due 8/2/21, (collateralized by a U.S. Treasury Note with a par value of $2,271,200,
coupon rate of 0.125%, due 03/31/23, market value of $2,270,896) | 2,226,325 | |
TOTAL REPURCHASE AGREEMENT (Cost $2,226,325) | 2,226,325 | ||
TOTAL INVESTMENTS (Cost $903,799,856) | 100.1% | $1,420,165,131 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (1,608,194) | |
NET ASSETS | 100.0% | $1,418,556,937 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
4 |
Shares | Value | ||
COMMON STOCKS* — 99.9% | |||
Aerospace & Defense — 0.9% | |||
56,957 | Northrop Grumman Corp. | $20,676,530 | |
Air Freight & Logistics — 1.2% | |||
221,042 | Expeditors International of Washington, Inc. | 28,348,637 | |
Auto Components — 0.7% | |||
307,642 | BorgWarner, Inc. | 15,068,305 | |
Banks — 0.9% | |||
520,295 | Citizens Financial Group, Inc. | 21,935,637 | |
Beverages — 0.9% | |||
231,644 | Monster Beverage Corp.1 | 21,848,662 | |
Biotechnology — 3.1% | |||
108,059 | Amgen, Inc. | 26,100,571 | |
79,582 | Regeneron Pharmaceuticals, Inc.1 | 45,728,613 | |
71,829,184 | |||
Building Products — 2.0% | |||
459,034 | Carrier Global Corp. | 25,361,629 | |
211,532 | Fortune Brands Home & Security, Inc. | 20,618,024 | |
45,979,653 | |||
Capital Markets — 2.9% | |||
424,945 | Intercontinental Exchange, Inc. | 50,921,159 | |
44,655 | Moody’s Corp. | 16,790,280 | |
67,711,439 | |||
Communications Equipment — 2.1% | |||
128,128 | Arista Networks, Inc.1 | 48,738,610 | |
Containers & Packaging — 2.0% | |||
219,094 | Avery Dennison Corp. | 46,158,724 | |
Electronic Equipment, Instruments & Components — 5.3% | |||
963,072 | Amphenol Corp. - Class A | 69,813,089 | |
283,089 | CDW Corp. | 51,904,368 | |
121,717,457 | |||
Entertainment — 4.2% | |||
252,176 | Activision Blizzard, Inc. | 21,086,957 | |
317,029 | Electronic Arts, Inc. | 45,639,495 | |
171,628 | Take-Two Interactive Software, Inc.1 | 29,763,728 | |
96,490,180 | |||
Equity Real Estate Investment Trusts — 2.7% | |||
152,633 | American Tower Corp. | 43,164,612 | |
54,653 | SBA Communications Corp. REIT | 18,636,127 | |
61,800,739 | |||
Food & Staples Retailing — 1.6% | |||
83,439 | Costco Wholesale Corp. | 35,855,407 | |
Food Products — 0.5% | |||
64,095 | Hershey Co. (The) | 11,465,314 | |
Health Care Providers & Services — 2.9% | |||
485,373 | Cardinal Health, Inc. | 28,821,449 | |
169,836 | Centene Corp.1 | 11,652,448 | |
63,895 | UnitedHealth Group, Inc. | 26,338,797 | |
66,812,694 |
5 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Household Durables — 3.0% | |||
319,651 | Lennar Corp. - Class A | $33,611,302 | |
427,517 | PulteGroup, Inc. | 23,457,858 | |
277,100 | Tempur Sealy International, Inc. | 11,990,117 | |
69,059,277 | |||
Household Products — 0.8% | |||
204,083 | Church & Dwight Co., Inc. | 17,669,506 | |
Insurance — 0.8% | |||
126,756 | Marsh & McLennan Cos., Inc. | 18,661,018 | |
Interactive Media & Services — 6.0% | |||
25,507 | Alphabet, Inc. - Class A1 | 68,729,377 | |
178,183 | Facebook, Inc. - Class A1 | 63,486,603 | |
44,181 | IAC/InterActiveCorp.1 | 6,065,609 | |
138,281,589 | |||
Internet & Direct Marketing Retail — 2.6% | |||
894,929 | eBay, Inc. | 61,043,107 | |
IT Services — 6.7% | |||
205,002 | Automatic Data Processing, Inc. | 42,974,570 | |
462,771 | Paychex, Inc. | 52,672,595 | |
216,306 | PayPal Holdings, Inc.1 | 59,598,792 | |
155,245,957 | |||
Life Sciences Tools & Services — 1.8% | |||
87,176 | Agilent Technologies, Inc. | 13,357,978 | |
84,651 | PerkinElmer, Inc. | 15,425,952 | |
22,715 | Thermo Fisher Scientific, Inc. | 12,266,327 | |
41,050,257 | |||
Pharmaceuticals — 0.8% | |||
107,573 | Johnson & Johnson | 18,524,071 | |
Professional Services — 2.6% | |||
248,294 | Booz Allen Hamilton Holding Corp. | 21,306,108 | |
44,282 | CACI International, Inc. - Class A1 | 11,821,523 | |
263,005 | Robert Half International, Inc. | 25,829,721 | |
58,957,352 | |||
Semiconductors & Semiconductor Equipment — 7.8% | |||
444,561 | Applied Materials, Inc. | 62,207,421 | |
107,050 | KLA Corp. | 37,270,528 | |
28,233 | Lam Research Corp. | 17,995,996 | |
64,687 | Monolithic Power Systems, Inc. | 29,061,282 | |
167,788 | NVIDIA Corp. | 32,716,982 | |
179,252,209 | |||
Software — 18.6% | |||
23,936 | Adobe, Inc.1 | 14,879,336 | |
238,401 | Cadence Design Systems, Inc.1 | 35,199,908 | |
110,880 | Dolby Laboratories, Inc. - Class A | 10,766,448 | |
1,276,764 | Dropbox, Inc. - Class A1 | 40,205,298 | |
255,857 | Fortinet, Inc.1 | 69,654,510 | |
234,802 | Microsoft Corp. | 66,897,438 | |
774,801 | Oracle Corp. | 67,516,159 | |
738,314 | SS&C Technologies Holdings, Inc. | 57,876,434 | |
224,941 | Synopsys, Inc.1 | 64,780,758 | |
427,776,289 |
6 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Specialty Retail — 9.1% | |||
509,348 | Best Buy Co., Inc. | $57,225,248 | |
139,792 | Home Depot, Inc. (The) | 45,878,337 | |
263,082 | Lowe’s Cos., Inc. | 50,693,271 | |
89,947 | Ross Stores, Inc. | 11,035,597 | |
403,908 | TJX Cos., Inc. (The) | 27,792,909 | |
90,180 | Tractor Supply Co. | 16,316,267 | |
208,941,629 | |||
Technology Hardware, Storage & Peripherals — 4.2% | |||
460,366 | Apple, Inc. | 67,148,985 | |
295,909 | Dell Technologies, Inc. - Class C1 | 28,590,727 | |
95,739,712 | |||
Tobacco — 1.2% | |||
582,813 | Altria Group, Inc. | 27,998,337 | |
TOTAL COMMON STOCKS (Cost $1,368,125,147) | 2,300,637,482 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.2% | |||
$3,193,899 | With Fixed Income Clearing Corp., dated 7/30/21, 0.00%, principal and interest in the amount of $3,193,899, due 8/2/21, (collateralized by a U.S. Treasury Note with a par value of $3,258,300,
coupon rate of 0.125%, due 03/31/23, market value of $3,257,864) | 3,193,899 | |
TOTAL REPURCHASE AGREEMENT (Cost $3,193,899) | 3,193,899 | ||
TOTAL INVESTMENTS (Cost $1,371,319,046) | 100.1% | $2,303,831,381 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (1,755,873) | |
NET ASSETS | 100.0% | $2,302,075,508 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
7 |
Shares | Value | ||
COMMON STOCKS* — 100.0% | |||
Automobiles — 1.7% | |||
1,449 | Ford Motor Co.1 | $20,214 | |
360 | General Motors Co.1 | 20,462 | |
40,676 | |||
Banks — 7.8% | |||
719 | Citigroup, Inc. | 48,619 | |
386 | Citizens Financial Group, Inc. | 16,274 | |
1,261 | Fifth Third Bancorp | 45,761 | |
2,172 | KeyCorp. | 42,701 | |
2,031 | Regions Financial Corp. | 39,097 | |
192,452 | |||
Biotechnology — 1.0% | |||
368 | Gilead Sciences, Inc. | 25,131 | |
Building Products — 0.8% | |||
192 | Fortune Brands Home & Security, Inc. | 18,714 | |
Capital Markets — 5.4% | |||
84 | Evercore, Inc. - Class A | 11,105 | |
372 | Intercontinental Exchange, Inc. | 44,576 | |
447 | Invesco, Ltd. | 10,898 | |
326 | Janus Henderson Group PLC | 13,640 | |
278 | Nasdaq, Inc. | 51,911 | |
132,130 | |||
Chemicals — 1.1% | |||
168 | Dow, Inc. | 10,443 | |
157 | Eastman Chemical Co. | 17,697 | |
28,140 | |||
Commercial Services & Supplies — 0.5% | |||
108 | Republic Services, Inc. | 12,783 | |
Communications Equipment — 0.8% | |||
349 | Cisco Systems, Inc./Delaware | 19,324 | |
Construction & Engineering — 0.6% | |||
165 | Quanta Services, Inc. | 14,999 | |
Consumer Finance — 3.8% | |||
979 | Ally Financial, Inc. | 50,281 | |
939 | Synchrony Financial | 44,152 | |
94,433 | |||
Containers & Packaging — 1.7% | |||
705 | International Paper Co. | 40,721 | |
Diversified Financial Services — 0.6% | |||
459 | Equitable Holdings, Inc. | 14,169 | |
Diversified Telecommunication Services — 4.2% | |||
1,283 | AT&T, Inc. | 35,988 | |
2,161 | Lumen Technologies, Inc. | 26,948 | |
720 | Verizon Communications, Inc. | 40,161 | |
103,097 | |||
Electric Utilities — 1.5% | |||
583 | Southern Co. (The) | 37,236 | |
Electrical Equipment — 0.9% | |||
143 | Eaton Corp. PLC | 22,601 |
8 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electronic Equipment, Instruments & Components — 1.1% | |||
121 | Arrow Electronics, Inc.1 | $14,347 | |
292 | Corning, Inc. | 12,223 | |
26,570 | |||
Energy Equipment & Services — 3.6% | |||
1,940 | Baker Hughes Co. | 41,205 | |
1,649 | Schlumberger N.V | 47,541 | |
88,746 | |||
Entertainment — 0.4% | |||
73 | Electronic Arts, Inc. | 10,509 | |
Equity Real Estate Investment Trusts — 2.5% | |||
381 | Prologis, Inc. | 48,783 | |
395 | VICI Properties, Inc.2 | 12,320 | |
61,103 | |||
Food & Staples Retailing — 2.0% | |||
1,232 | Kroger Co. (The) | 50,142 | |
Food Products — 2.2% | |||
186 | Archer-Daniels-Midland Co. | 11,108 | |
409 | General Mills, Inc. | 24,074 | |
263 | Tyson Foods, Inc. - Class A | 18,794 | |
53,976 | |||
Health Care Providers & Services — 7.4% | |||
96 | Anthem, Inc. | 36,865 | |
135 | Cigna Corp. | 30,981 | |
415 | CVS Health Corp. | 34,179 | |
65 | Humana, Inc. | 27,681 | |
120 | McKesson Corp. | 24,460 | |
191 | Quest Diagnostics, Inc. | 27,084 | |
181,250 | |||
Household Durables — 1.1% | |||
161 | DR Horton, Inc. | 15,364 | |
233 | PulteGroup, Inc. | 12,785 | |
28,149 | |||
Household Products — 1.1% | |||
191 | Procter & Gamble Co. (The) | 27,166 | |
Independent Power & Renewable Electricity Producer — 1.2% | |||
1,300 | AES Corp. (The) | 30,810 | |
Insurance — 3.2% | |||
279 | American International Group, Inc. | 13,211 | |
247 | Fidelity National Financial, Inc. | 11,019 | |
372 | MetLife, Inc. | 21,464 | |
337 | Prudential Financial, Inc. | 33,794 | |
79,488 | |||
Interactive Media & Service — 0.8% | |||
7 | Alphabet, Inc. - Class A1 | 18,862 | |
IT Services — 2.6% | |||
312 | Amdocs, Ltd. | 24,058 | |
355 | Cognizant Technology Solutions Corp. - Class A | 26,103 | |
271 | Genpact, Ltd. | 13,499 | |
63,660 |
9 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Life Sciences Tools & Services — 3.2% | |||
124 | Agilent Technologies, Inc. | $19,001 | |
243 | PerkinElmer, Inc. | 44,282 | |
31 | Thermo Fisher Scientific, Inc. | 16,740 | |
80,023 | |||
Machinery — 4.7% | |||
175 | AGCO Corp. | 23,119 | |
189 | Cummins, Inc. | 43,867 | |
103 | Parker-Hannifin Corp. | 32,139 | |
73 | Snap-on, Inc. | 15,913 | |
115,038 | |||
Media — 5.2% | |||
191 | Comcast Corp. - Class A | 11,236 | |
413 | Fox Corp. - Class A | 14,728 | |
746 | Fox Corp. - Class B | 24,797 | |
1,216 | Interpublic Group of Cos., Inc. (The) | 42,998 | |
467 | Omnicom Group, Inc. | 34,007 | |
127,766 | |||
Metals & Mining — 1.1% | |||
170 | Reliance Steel & Aluminum Co. | 26,716 | |
Multi-Utilities — 2.1% | |||
824 | Public Service Enterprise Group, Inc. | 51,278 | |
Oil, Gas & Consumable Fuels — 1.0% | |||
1,363 | Kinder Morgan, Inc. | 23,689 | |
Pharmaceuticals — 4.6% | |||
690 | Bristol-Myers Squibb Co. | 46,830 | |
82 | Jazz Pharmaceuticals PLC1 | 13,901 | |
1,202 | Pfizer, Inc. | 51,458 | |
112,189 | |||
Professional Services — 1.5% | |||
118 | Leidos Holdings, Inc. | 12,558 | |
474 | Nielsen Holdings PLC | 11,229 | |
140 | Robert Half International, Inc. | 13,749 | |
37,536 | |||
Real Estate Management & Development — 3.6% | |||
620 | CBRE Group, Inc. - Class A1 | 59,805 | |
128 | Jones Lang LaSalle, Inc.1 | 28,489 | |
88,294 | |||
Road & Rail — 1.5% | |||
1,125 | CSX Corp. | 36,360 | |
Semiconductors & Semiconductor Equipment — 3.0% | |||
367 | Applied Materials, Inc. | 51,354 | |
425 | Intel Corp. | 22,831 | |
74,185 | |||
Software — 2.3% | |||
490 | Oracle Corp. | 42,699 | |
169 | SS&C Technologies Holdings, Inc. | 13,248 | |
55,947 | |||
Specialty Retail — 1.2% | |||
266 | Best Buy Co., Inc. | 29,885 |
10 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Technology Hardware, Storage & Peripherals — 0.6% | |||
544 | HP, Inc. | $15,705 | |
Thrifts & Mortgage Finance — 0.5% | |||
1,101 | New York Community Bancorp, Inc. | 12,970 | |
Tobacco — 1.1% | |||
326 | Altria Group, Inc. | 15,661 | |
121 | Philip Morris International, Inc. | 12,111 | |
27,772 | |||
Trading Companies & Distributors — 1.2% | |||
91 | United Rentals, Inc.1 | 29,989 | |
TOTAL COMMON STOCKS (Cost $1,888,012) | 2,462,379 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.1% | |||
$2,858 | With Fixed Income Clearing Corp., dated 7/30/21, 0.00%, principal and interest in the amount of $2,858, due 8/2/21, (collateralized by a U.S. Treasury Note with a par value of $3,000, coupon rate
of 0.125%, due 03/31/23, market value of $3,000) | 2,858 | |
TOTAL REPURCHASE AGREEMENT (Cost $2,858) | 2,858 | ||
TOTAL INVESTMENTS (Cost $1,890,870) | 100.1% | $2,465,237 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (2,625) | |
NET ASSETS | 100.0% | $2,462,612 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
11 |
Shares | Value | ||
COMMON STOCKS* — 98.8% | |||
Air Freight & Logistics — 0.6% | |||
127 | Atlas Air Worldwide Holdings, Inc.1 | $8,505 | |
Auto Components — 1.8% | |||
223 | Adient PLC1 | 9,395 | |
81 | Gentherm, Inc.1 | 6,717 | |
247 | Goodyear Tire & Rubber Co. (The)1 | 3,880 | |
165 | Standard Motor Products, Inc. | 6,891 | |
26,883 | |||
Banks — 8.4% | |||
536 | BCB Bancorp, Inc. | 8,061 | |
489 | Cadence BanCorp | 9,291 | |
185 | Cathay General Bancorp | 7,006 | |
519 | Central Pacific Financial Corp. | 13,286 | |
257 | Financial Institutions, Inc. | 7,566 | |
1,455 | First BanCorp | 17,649 | |
211 | First Financial Corp. | 8,451 | |
489 | First Foundation, Inc. | 11,526 | |
408 | Hilltop Holdings, Inc. | 12,926 | |
853 | Hope Bancorp, Inc. | 11,302 | |
985 | Investors Bancorp, Inc. | 13,613 | |
354 | Lakeland Bancorp, Inc. | 5,795 | |
126,472 | |||
Beverages — 0.8% | |||
739 | Primo Water Corp. | 12,216 | |
Biotechnology — 9.0% | |||
2,992 | Akebia Therapeutics, Inc.1 | 7,390 | |
375 | AnaptysBio, Inc.1 | 8,618 | |
814 | Atara Biotherapeutics, Inc.1 | 10,378 | |
763 | Avrobio, Inc.1 | 5,616 | |
2,600 | Catalyst Pharmaceuticals, Inc.1 | 15,184 | |
837 | Coherus Biosciences, Inc.1 | 10,923 | |
1,458 | CytomX Therapeutics, Inc.1 | 7,888 | |
523 | G1 Therapeutics, Inc.1 | 9,053 | |
358 | Intercept Pharmaceuticals, Inc.1 | 6,186 | |
414 | Prothena Corp. PLC1 | 20,741 | |
1,482 | Puma Biotechnology, Inc.1 | 11,145 | |
917 | Sangamo BioSciences, Inc.1 | 8,785 | |
621 | Vanda Pharmaceuticals, Inc.1 | 10,129 | |
121 | Xencor, Inc.1 | 3,724 | |
135,760 | |||
Building Products — 2.9% | |||
1,437 | Cornerstone Building Brands, Inc.1 | 24,170 | |
445 | Griffon Corp. | 10,289 | |
337 | Quanex Building Products Corp. | 8,371 | |
42,830 | |||
Capital Markets — 1.7% | |||
275 | Cowen, Inc. - Class A | 10,994 | |
471 | Donnelley Financial Solutions, Inc.1 | 15,171 | |
26,165 | |||
Chemicals — 0.8% | |||
148 | Minerals Technologies, Inc. | 11,873 | |
Commercial Services & Supplies — 2.5% | |||
278 | ABM Industries, Inc. | 12,924 |
12 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Commercial Services & Supplies — (Continued) | |||
1,361 | ACCO Brands Corp. | $12,167 | |
305 | Herman Miller, Inc. | 13,161 | |
38,252 | |||
Communications Equipment — 1.1% | |||
214 | NETGEAR, Inc.1 | 7,330 | |
545 | Viavi Solutions, Inc.1 | 9,096 | |
16,426 | |||
Construction & Engineering — 0.8% | |||
214 | Primoris Services Corp. | 6,399 | |
408 | Tutor Perini Corp.1 | 5,740 | |
12,139 | |||
Consumer Finance — 2.3% | |||
1,082 | Navient Corp. | 22,105 | |
273 | PROG Holdings, Inc. | 11,949 | |
34,054 | |||
Containers & Packaging — 0.8% | |||
803 | O-I Glass, Inc.1 | 11,876 | |
Diversified Consumer Services — 1.2% | |||
316 | Adtalem Global Education, Inc.1 | 11,484 | |
220 | Stride, Inc.1 | 6,745 | |
18,229 | |||
Diversified Telecommunication Services — 0.4% | |||
294 | Ooma, Inc.1 | 5,454 | |
Electrical Equipment — 0.5% | |||
101 | Atkore, Inc.1 | 7,586 | |
Electronic Equipment, Instruments & Components — 1.8% | |||
59 | Plexus Corp.1 | 5,329 | |
230 | Sanmina Corp.1 | 8,836 | |
528 | TTM Technologies, Inc.1 | 7,387 | |
252 | Vishay Intertechnology, Inc. | 5,577 | |
27,129 | |||
Energy Equipment & Services — 0.7% | |||
799 | Oceaneering International, Inc.1 | 10,595 | |
Equity Real Estate Investment Trusts — 7.7% | |||
799 | Brandywine Realty Trust REIT | 11,154 | |
479 | CareTrust REIT, Inc. | 11,554 | |
153 | Centerspace REIT | 13,770 | |
822 | City Office REIT, Inc. | 10,579 | |
82 | EastGroup Properties, Inc. | 14,450 | |
859 | GEO Group, Inc. (The)2 | 5,944 | |
331 | National Storage Affiliates Trust | 17,930 | |
419 | Physicians Realty Trust REIT | 7,940 | |
191 | PotlatchDeltic Corp. | 9,921 | |
322 | STAG Industrial, Inc. | 13,305 | |
116,547 | |||
Food & Staples Retailing — 1.0% | |||
440 | SpartanNash Co. | 8,558 | |
289 | Sprouts Farmers Market, Inc.1 | 7,104 | |
15,662 |
13 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Gas Utilities — 2.1% | |||
98 | ONE Gas, Inc. | $7,230 | |
485 | South Jersey Industries, Inc. | 12,207 | |
177 | Southwest Gas Holdings, Inc. | 12,378 | |
31,815 | |||
Health Care Equipment & Supplies — 1.7% | |||
180 | NuVasive, Inc.1 | 11,511 | |
724 | OraSure Technologies, Inc.1 | 8,536 | |
150 | Orthofix Medical, Inc.1 | 5,961 | |
26,008 | |||
Health Care Providers & Services — 3.6% | |||
70 | ModivCare, Inc.1 | 11,900 | |
209 | Patterson Cos., Inc. | 6,506 | |
615 | Select Medical Holdings Corp. | 24,262 | |
150 | Tenet Healthcare Corp.1 | 10,776 | |
53,444 | |||
Health Care Technology — 0.8% | |||
730 | Allscripts Healthcare Solutions, Inc.1 | 12,468 | |
Hotels, Restaurants & Leisure — 1.3% | |||
687 | International Game Technology PLC1,2 | 12,881 | |
57 | Jack In The Box, Inc. | 6,205 | |
19,086 | |||
Household Durables — 1.9% | |||
126 | Meritage Homes Corp.1 | 13,681 | |
629 | Tri Pointe Homes, Inc.1 | 15,172 | |
28,853 | |||
Household Products — 0.9% | |||
104 | Central Garden & Pet Co.1 | 5,022 | |
206 | Central Garden & Pet Co. - Class A1 | 8,922 | |
13,944 | |||
Insurance — 1.6% | |||
288 | Employers Holdings, Inc. | 11,958 | |
209 | Stewart Information Services Corp. | 12,333 | |
24,291 | |||
IT Services — 4.5% | |||
1,611 | Conduent, Inc.1 | 10,810 | |
122 | CSG Systems International, Inc. | 5,534 | |
120 | ExlService Holdings, Inc.1 | 13,586 | |
710 | Hackett Group, Inc. (The) | 12,723 | |
120 | Perficient, Inc.1 | 11,315 | |
245 | Sykes Enterprises, Inc.1 | 13,147 | |
67,115 | |||
Leisure Equipment & Products — 1.2% | |||
453 | Vista Outdoor, Inc.1 | 18,297 | |
Machinery — 0.7% | |||
239 | Hillenbrand, Inc. | 10,827 | |
Media — 3.4% | |||
579 | EW Scripps Co. (The) - Class A | 11,047 | |
628 | Gray Television, Inc. | 13,923 | |
779 | iHeartMedia, Inc.1 | 20,137 |
14 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Media — (Continued) | |||
146 | Meredith Corp.1 | $6,372 | |
51,479 | |||
Metals & Mining — 2.6% | |||
629 | Alcoa Corp.1 | 25,254 | |
420 | Commercial Metals Co. | 13,776 | |
39,030 | |||
Mortgage Real Estate Investment Trust — 0.9% | |||
1,027 | Great Ajax Corp. | 13,022 | |
Multi-line Retail — 0.6% | |||
156 | Big Lots, Inc. | 8,987 | |
Oil, Gas & Consumable Fuels — 2.4% | |||
551 | CVR Energy, Inc. | 7,527 | |
1,504 | DHT Holdings, Inc. | 8,723 | |
527 | Teekay Tankers, Ltd. - Class A1 | 6,666 | |
363 | World Fuel Services Corp. | 12,509 | |
35,425 | |||
Paper & Forest Products — 1.1% | |||
297 | Domtar Corp.1 | 16,308 | |
Personal Products — 0.4% | |||
150 | Edgewell Personal Care Co. | 6,162 | |
Pharmaceuticals — 1.4% | |||
781 | Alder Biopharmaceuticals, Inc.1,3 | 0 | |
477 | Phibro Animal Health Corp. - Class A | 11,291 | |
395 | Supernus Pharmaceuticals, Inc.1 | 10,400 | |
21,691 | |||
Professional Services — 1.6% | |||
314 | Heidrick & Struggles International, Inc. | 13,411 | |
395 | TrueBlue, Inc.1 | 10,740 | |
24,151 | |||
Real Estate Management & Development — 0.9% | |||
752 | Realogy Holdings Corp.1 | 13,325 | |
Semiconductors & Semiconductor Equipment — 3.8% | |||
471 | Amkor Technology, Inc. | 11,606 | |
288 | Axcelis Technologies, Inc.1 | 11,102 | |
284 | FormFactor, Inc.1 | 10,582 | |
192 | Kulicke & Soffa Industries, Inc. | 10,437 | |
957 | Photronics, Inc.1 | 12,795 | |
56,522 | |||
Software — 2.3% | |||
602 | ChannelAdvisor Corp.1 | 14,020 | |
222 | Progress Software Corp. | 10,121 | |
479 | Xperi Holding Corp. | 9,949 | |
34,090 | |||
Specialty Retail — 2.7% | |||
190 | Abercrombie & Fitch Co. - Class A1 | 7,184 | |
62 | Group 1 Automotive, Inc. | 10,772 | |
239 | MarineMax, Inc.1 | 12,856 | |
236 | Zumiez, Inc.1 | 10,301 | |
41,113 |
15 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Textiles, Apparel & Luxury Goods — 0.4% | |||
229 | Lakeland Industries, Inc.1 | $6,174 | |
Thrifts & Mortgage Finance — 1.2% | |||
516 | Kearny Financial Corp/MD | 6,207 | |
576 | Provident Financial Services, Inc. | 12,442 | |
18,649 | |||
Trading Companies & Distributors — 4.4% | |||
182 | Beacon Roofing Supply, Inc.1 | 9,734 | |
194 | Boise Cascade Co. | 9,923 | |
1,707 | NOW, Inc.1 | 16,848 | |
215 | Rush Enterprises, Inc. - Class A | 10,103 | |
185 | WESCO International, Inc.1 | 19,693 | |
66,301 | |||
Wireless Telecommunication Services — 1.6% | |||
539 | Telephone & Data Systems, Inc. | 12,047 | |
328 | United States Cellular Corp.1 | 11,926 | |
23,973 | |||
TOTAL COMMON STOCKS (Cost $1,130,527) | 1,487,203 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 1.6% | |||
$24,795 | With Fixed Income Clearing Corp., dated 7/30/21, 0.00%, principal and interest in the amount of $24,795, due 8/2/21, (collateralized by a U.S. Treasury Note with a par value of $25,300, coupon rate
of 0.125%, due 03/31/23, market value of $25,297) | 24,795 | |
TOTAL REPURCHASE AGREEMENT (Cost $24,795) | 24,795 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.4% | |||
21,789 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 21,789 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $21,789) | 21,789 | ||
TOTAL INVESTMENTS (Cost $1,177,111) | 101.8% | $1,533,787 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.8) | (27,809) | |
NET ASSETS | 100.0% | $1,505,978 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
3 | For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 1 of the Notes to Financial Statements). |
4 | Represents an investment of securities lending cash collateral. |
16 |
Shares | Value | ||
COMMON STOCKS* — 98.1% | |||
Japan — 19.5% | |||
37,800 | Astellas Pharma, Inc. | $599,190 | |
30,300 | Canon, Inc. | 689,521 | |
62,135 | Dai Nippon Printing Co, Ltd., Sponsored ADR1 | 735,057 | |
27,115 | Daito Trust Construction Co., Ltd., Sponsored ADR1 | 800,164 | |
13,200 | Daiwa House Industry Co, Ltd. | 402,479 | |
8,596 | Fujitsu, Ltd., Unsponsored ADR1 | 292,393 | |
38,389 | Honda Motor Co., Ltd., Sponsored ADR1 | 1,232,287 | |
31,032 | KDDI Corp., Unsponsored ADR1 | 476,031 | |
11,803 | Nintendo Co, Ltd., Unsponsored ADR1 | 758,343 | |
13,979 | Nippon Telegraph & Telephone Corp., ADR | 359,260 | |
22,151 | Nitto Denko Corp., Unsponsored ADR1 | 823,796 | |
63,900 | Panasonic Corp. | 760,416 | |
26,819 | SoftBank Corp., Unsponsored ADR1 | 351,329 | |
8,600 | Yamato Holdings Co, Ltd. | 246,935 | |
8,527,201 | |||
United Kingdom — 13.3% | |||
79,216 | Aviva PLC | 426,457 | |
42,270 | Barratt Developments PLC | 413,403 | |
21,471 | British American Tobacco PLC, Sponsored ADR | 804,089 | |
90,164 | BT Group PLC2 | 217,570 | |
29,729 | GlaxoSmithKline PLC | 585,882 | |
29,000 | Imperial Brands PLC, Sponsored ADR | 623,790 | |
5,358 | Mondi PLC, Unsponsored ADR1 | 303,263 | |
5,100 | National Grid PLC, Sponsored ADR | 328,032 | |
13,918 | Schroders PLC | 707,484 | |
16,212 | Unilever PLC, Sponsored ADR | 932,676 | |
272,014 | Vodafone Group PLC | 439,276 | |
5,781,922 | |||
Canada — 11.2% | |||
5,900 | Alimentation Couche-Tard, Inc. | 237,825 | |
11,809 | Bank of Montreal | 1,177,357 | |
10,660 | Bank of Nova Scotia (The)1 | 665,610 | |
19,456 | Manulife Financial Corp.1 | 376,085 | |
10,781 | Royal Bank of Canada1 | 1,090,390 | |
12,355 | Sun Life Financial, Inc. | 642,831 | |
2,500 | Thomson Reuters Corp. | 264,909 | |
6,600 | Toronto-Dominion Bank (The) | 438,819 | |
4,893,826 | |||
Switzerland — 10.8% | |||
32,310 | ABB, Ltd., Sponsored ADR1 | 1,183,192 | |
14,312 | Adecco Group AG, Unsponsored ADR | 427,500 | |
52,536 | Holcim, Ltd., ADR1 | 610,468 | |
2,546 | Logitech International SA | 278,420 | |
7,164 | Novartis AG, Sponsored ADR | 661,882 | |
31,362 | STMicroelectronics N.V.1 | 1,294,310 | |
416 | Swisscom AG | 250,284 | |
4,706,056 | |||
Germany — 8.4% | |||
32,149 | Brenntag AG, Unsponsored ADR | 641,051 | |
29,725 | Daimler AG, Unsponsored ADR | 661,679 | |
633 | Deutsche Boerse AG | 105,689 | |
36,825 | Deutsche Boerse AG, Unsponsored ADR | 611,295 | |
4,939 | Deutsche Post AG | 334,601 | |
5,438 | Deutsche Post AG, Sponsored ADR | 369,077 |
17 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Germany — (Continued) | |||
2,600 | HeidelbergCement AG | $230,640 | |
1,800 | SAP SE | 258,023 | |
2,800 | Siemens AG | 437,043 | |
3,649,098 | |||
France — 7.2% | |||
13,726 | AXA SA, Sponsored ADR | 356,464 | |
4,451 | Capgemini SE | 962,279 | |
1,713 | Cie Generale des Etablissements Michelin SCA | 279,813 | |
7,582 | Sanofi | 781,411 | |
9,056 | Schneider Electric SE, Unsponsored ADR1 | 303,467 | |
10,167 | Total SE, Sponsored ADR | 442,624 | |
3,126,058 | |||
Sweden — 6.1% | |||
8,616 | Electrolux AB Series B | 225,999 | |
2,704 | Evolution Gaming Group AB, ADR1 | 473,200 | |
47,738 | SKF AB, Sponsored ADR1 | 1,284,630 | |
33,800 | Swedbank AB | 658,692 | |
2,642,521 | |||
Australia — 4.3% | |||
226,388 | Medibank Pvt, Ltd. | 549,907 | |
24,708 | Sonic Healthcare, Ltd., Sponsored ADR | 733,086 | |
13,294 | Wesfarmers, Ltd. | 596,470 | |
1,879,463 | |||
Denmark — 2.9% | |||
28,107 | Carlsberg AS, Sponsored ADR | 1,038,835 | |
2,600 | Novo Nordisk AS | 240,472 | |
1,279,307 | |||
Netherlands — 2.8% | |||
11,419 | Akzo Nobel N.V., Sponsored ADR1 | 470,805 | |
24,605 | Koninklijke Ahold Delhaize N.V., Sponsored ADR | 765,216 | |
1,236,021 | |||
Hong Kong — 2.6% | |||
12,988 | BOC Hong Kong Holdings, Ltd., Sponsored ADR1 | 841,752 | |
20,984 | Sun Hung Kai Properties, Ltd., Sponsored ADR1 | 302,589 | |
1,144,341 | |||
Spain — 2.4% | |||
22,791 | Red Electrica Corp. SA | 452,174 | |
54,587 | Repsol SA | 597,095 | |
1,049,269 | |||
Italy — 2.1% | |||
48,060 | Snam SpA | 290,985 | |
25,414 | Terna Rete Elettrica Nazionale SPA, Unsponsored ADR | 602,057 | |
893,042 | |||
Ireland — 1.6% | |||
20,836 | James Hardie Industries PLC | 699,235 | |
Norway — 0.7% | |||
6,100 | Yara International ASA | 321,269 | |
Israel — 0.6% | |||
28,223 | Teva Pharmaceutical Industries, Ltd.2 | 276,511 |
18 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Austria — 0.6% | |||
5,087 | OMV AG | $274,688 | |
Singapore — 0.5% | |||
1,676 | Singapore Exchange, Ltd., Unsponsored ADR1 | 219,154 | |
Cayman Islands — 0.5% | |||
32,000 | CK Asset Holdings, Ltd. | 218,037 | |
TOTAL COMMON STOCKS (Cost $36,566,817) | 42,817,019 | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 13.3% | |||
5,787,490 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 5,787,490 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $5,787,490) | 5,787,490 | ||
TOTAL INVESTMENTS (Cost $42,354,307) | 111.4% | $48,604,509 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (11.4) | (4,975,356) | |
NET ASSETS | 100.0% | $43,629,153 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | Non income-producing security. |
3 | Represents an investment of securities lending cash collateral. |
Abbreviations: |
ADR — American Depositary Receipt |
19 |
Shares | Value | ||
COMMON STOCKS* — 99.4% | |||
Auto Components — 1.5% | |||
9,747 | BorgWarner, Inc. | $477,408 | |
Banks — 4.3% | |||
3,549 | Citizens Financial Group, Inc. | 149,626 | |
2,216 | East West Bancorp, Inc. | 157,668 | |
23,006 | Regions Financial Corp. | 442,865 | |
11,598 | Zions Bancorp N.A. | 604,836 | |
1,354,995 | |||
Beverages — 1.2% | |||
7,687 | Molson Coors Brewing Co. - Class B1 | 375,817 | |
Biotechnology — 1.4% | |||
1,812 | Amgen, Inc. | 437,671 | |
Building Products — 1.1% | |||
6,318 | Carrier Global Corp. | 349,070 | |
Capital Markets — 3.1% | |||
3,019 | Bank of New York Mellon Corp. (The) | 154,965 | |
3,829 | Janus Henderson Group PLC | 160,205 | |
1,864 | State Street Corp. | 162,429 | |
2,393 | T Rowe Price Group, Inc. | 488,555 | |
966,154 | |||
Chemicals — 0.6% | |||
4,745 | Corteva, Inc. | 202,991 | |
Communications Equipment — 2.0% | |||
6,458 | Ciena Corp.1 | 375,468 | |
1,224 | F5 Networks, Inc.1 | 252,768 | |
628,236 | |||
Consumer Finance — 3.3% | |||
6,813 | Ally Financial, Inc. | 349,916 | |
22,889 | SLM Corp. | 431,000 | |
5,368 | Synchrony Financial | 252,403 | |
1,033,319 | |||
Containers & Packaging — 1.5% | |||
8,196 | International Paper Co. | 473,401 | |
Diversified Telecommunication Services — 1.9% | |||
5,280 | AT&T, Inc. | 148,104 | |
8,271 | Verizon Communications, Inc. | 461,356 | |
609,460 | |||
Electronic Equipment, Instruments & Components — 2.3% | |||
5,577 | Corning, Inc. | 233,453 | |
5,682 | Trimble, Inc.1 | 485,811 | |
719,264 | |||
Energy Equipment & Services — 1.4% | |||
20,556 | Baker Hughes Co. | 436,609 | |
Entertainment — 2.2% | |||
6,342 | Activision Blizzard, Inc. | 530,318 | |
1,075 | Electronic Arts, Inc. | 154,757 | |
685,075 | |||
Equity Real Estate Investment Trusts — 2.4% | |||
1,599 | American Tower Corp. | 452,197 |
20 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Equity Real Estate Investment Trusts — (Continued) | |||
1,524 | Crown Castle International Corp. | $294,269 | |
746,466 | |||
Food & Staples Retailing — 1.7% | |||
12,793 | Kroger Co. (The) | 520,675 | |
Food Products — 1.7% | |||
3,343 | General Mills, Inc. | 196,769 | |
5,082 | Kellogg Co. | 321,996 | |
518,765 | |||
Health Care Providers & Services — 3.4% | |||
8,160 | Cardinal Health, Inc. | 484,541 | |
1,426 | Cigna Corp. | 327,253 | |
574 | Humana, Inc. | 244,443 | |
1,056,237 | |||
Health Care Technology — 1.0% | |||
4,036 | Cerner Corp. | 324,454 | |
Household Durables — 1.6% | |||
32 | NVR, Inc.1 | 167,123 | |
5,797 | PulteGroup, Inc. | 318,082 | |
485,205 | |||
Household Products — 0.9% | |||
3,698 | Colgate-Palmolive Co. | 293,991 | |
Independent Power & Renewable Electricity Producer — 1.3% | |||
17,153 | AES Corp. (The) | 406,526 | |
Insurance — 2.2% | |||
2,336 | First American Financial Corp. | 157,236 | |
9,094 | MetLife, Inc. | 524,724 | |
681,960 | |||
Interactive Media & Service — 2.4% | |||
276 | Alphabet, Inc. - Class A1 | 743,690 | |
Internet & Direct Marketing Retail — 2.1% | |||
9,492 | eBay, Inc. | 647,449 | |
IT Services — 6.4% | |||
1,087 | Accenture PLC - Class A | 345,318 | |
2,449 | Automatic Data Processing, Inc. | 513,384 | |
2,813 | Cognizant Technology Solutions Corp. - Class A | 206,840 | |
1,223 | Fiserv, Inc.1 | 140,779 | |
816 | Gartner, Inc.1 | 216,020 | |
2,149 | PayPal Holdings, Inc.1 | 592,114 | |
2,014,455 | |||
Life Sciences Tools & Services — 4.8% | |||
1,700 | Agilent Technologies, Inc. | 260,491 | |
487 | Charles River Laboratories International, Inc.1 | 198,170 | |
245 | Mettler-Toledo International, Inc.1 | 361,059 | |
877 | Thermo Fisher Scientific, Inc. | 473,589 | |
511 | Waters Corp.1 | 199,193 | |
1,492,502 | |||
Machinery — 2.5% | |||
1,372 | Cummins, Inc. | 318,441 |
21 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Machinery — (Continued) | |||
1,040 | IDEX Corp. | $235,758 | |
2,000 | Oshkosh Corp. | 239,100 | |
793,299 | |||
Media — 5.7% | |||
14,951 | Discovery, Inc. - Class C1 | 405,322 | |
9,782 | Fox Corp. - Class A | 348,826 | |
14,762 | Interpublic Group of Cos., Inc. (The) | 521,984 | |
11,253 | New York Times Co. (The) - Class A | 492,656 | |
1,768,788 | |||
Metals & Mining — 0.9% | |||
4,279 | Steel Dynamics, Inc. | 275,782 | |
Multi-Utilities — 0.9% | |||
11,981 | NiSource, Inc. | 296,769 | |
Pharmaceuticals — 1.1% | |||
2,019 | Jazz Pharmaceuticals PLC1 | 342,261 | |
Professional Services — 2.6% | |||
3,798 | Leidos Holdings, Inc. | 404,183 | |
17,316 | Nielsen Holdings PLC | 410,216 | |
814,399 | |||
Real Estate Management & Development — 2.5% | |||
6,194 | CBRE Group, Inc. - Class A1 | 597,473 | |
769 | Jones Lang LaSalle, Inc.1 | 171,157 | |
768,630 | |||
Road & Rail — 1.0% | |||
4,668 | CSX Corp. | 150,870 | |
3,136 | Knight-Swift Transportation Holdings, Inc. | 155,828 | |
306,698 | |||
Semiconductors & Semiconductor Equipment — 5.1% | |||
6,245 | Applied Materials, Inc. | 873,863 | |
6,405 | Intel Corp. | 344,077 | |
2,018 | Skyworks Solutions, Inc. | 372,341 | |
1,590,281 | |||
Software — 8.7% | |||
1,020 | Adobe, Inc.1 | 634,063 | |
4,176 | Cadence Design Systems, Inc.1 | 616,586 | |
3,184 | Fortinet, Inc.1 | 866,812 | |
2,155 | Microsoft Corp. | 613,981 | |
2,731,442 | |||
Specialty Retail — 4.1% | |||
4,774 | Best Buy Co., Inc. | 536,359 | |
1,906 | Lowe’s Cos., Inc. | 367,267 | |
2,455 | Williams-Sonoma, Inc. | 372,424 | |
1,276,050 | |||
Technology Hardware, Storage & Peripherals — 2.9% | |||
5,098 | Dell Technologies, Inc. - Class C1 | 492,569 | |
14,636 | HP, Inc. | 422,541 | |
915,110 |
22 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Textiles, Apparel & Luxury Goods — 0.5% | |||
1,728 | Carter’s, Inc. | $168,895 | |
Trading Companies & Distributors — 1.2% | |||
1,140 | United Rentals, Inc.1 | 375,687 | |
TOTAL COMMON STOCKS (Cost $21,619,808) | 31,105,936 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.7% | |||
$208,736 | With Fixed Income Clearing Corp., dated 7/30/21, 0.00%, principal and interest in the amount of $208,736, due 8/2/21, (collateralized by a U.S. Treasury Note with a par value of $213,000, coupon
rate of 0.125%, due 03/31/23, market value of $212,972) | 208,736 | |
TOTAL REPURCHASE AGREEMENT (Cost $208,736) | 208,736 | ||
TOTAL INVESTMENTS (Cost $21,828,544) | 100.1% | $31,314,672 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (16,075) | |
NET ASSETS | 100.0% | $31,298,597 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
23 |
Shares | Value | ||
COMMON STOCKS* — 99.2% | |||
Aerospace & Defense — 1.0% | |||
784 | Northrop Grumman Corp. | $284,608 | |
Auto Components — 0.6% | |||
3,273 | BorgWarner, Inc. | 160,312 | |
Automobiles — 1.4% | |||
6,674 | General Motors Co.1 | 379,350 | |
Banks — 4.3% | |||
16,968 | Citizens Financial Group, Inc. | 715,371 | |
23,345 | KeyCorp. | 458,963 | |
1,174,334 | |||
Building Products — 0.7% | |||
1,986 | Owens Corning | 190,974 | |
Capital Markets — 3.0% | |||
1,188 | Raymond James Financial, Inc. | 153,822 | |
3,258 | T Rowe Price Group, Inc. | 665,153 | |
818,975 | |||
Chemicals — 1.9% | |||
4,525 | Eastman Chemical Co. | 510,058 | |
Communications Equipment — 1.7% | |||
6,600 | Ciena Corp.1 | 383,724 | |
325 | F5 Networks, Inc.1 | 67,116 | |
450,840 | |||
Consumer Finance — 3.2% | |||
8,020 | Ally Financial, Inc. | 411,907 | |
10,078 | Synchrony Financial | 473,868 | |
885,775 | |||
Containers & Packaging — 0.5% | |||
7,400 | Graphic Packaging Holding Co. | 141,858 | |
Diversified Consumer Services — 0.7% | |||
3,101 | Service Corp. International | 193,781 | |
Diversified Telecommunication Services — 2.6% | |||
15,547 | AT&T, Inc. | 436,093 | |
5,071 | Verizon Communications, Inc. | 282,861 | |
718,954 | |||
Electric Utilities — 1.1% | |||
4,700 | Southern Co. (The) | 300,189 | |
Energy Equipment & Services — 0.6% | |||
7,451 | Baker Hughes Co. | 158,259 | |
Entertainment — 0.7% | |||
1,039 | Take-Two Interactive Software, Inc.1 | 180,183 | |
Equity Real Estate Investment Trusts — 3.7% | |||
1,343 | American Tower Corp. | 379,800 | |
19,995 | VICI Properties, Inc.2 | 623,644 | |
1,003,444 | |||
Food & Staples Retailing — 2.5% | |||
16,569 | Kroger Co. (The) | 674,358 |
24 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Food Products — 2.7% | |||
10,084 | General Mills, Inc. | $593,544 | |
838 | Hershey Co. (The) | 149,902 | |
743,446 | |||
Gas Utilities — 1.5% | |||
9,175 | UGI Corp. | 421,958 | |
Health Care Providers & Services — 5.1% | |||
6,076 | Cardinal Health, Inc. | 360,793 | |
3,090 | CVS Health Corp. | 254,492 | |
1,416 | Humana, Inc. | 603,018 | |
1,145 | Quest Diagnostics, Inc. | 162,361 | |
1,380,664 | |||
Household Products — 0.9% | |||
1,785 | Procter & Gamble Co. (The) | 253,881 | |
Insurance — 2.5% | |||
1,663 | Allstate Corp. (The) | 216,273 | |
5,019 | MetLife, Inc. | 289,596 | |
6,100 | Unum Group | 167,140 | |
673,009 | |||
Interactive Media & Services — 5.6% | |||
278 | Alphabet, Inc. - Class A1 | 749,079 | |
2,219 | Facebook, Inc. - Class A1 | 790,630 | |
1,539,709 | |||
Internet & Direct Marketing Retail — 0.8% | |||
3,000 | eBay, Inc. | 204,630 | |
IT Services — 7.2% | |||
1,714 | Accenture PLC - Class A | 544,503 | |
5,377 | Akamai Technologies, Inc.1 | 644,810 | |
2,711 | Cognizant Technology Solutions Corp. - Class A | 199,340 | |
2,071 | PayPal Holdings, Inc.1 | 570,623 | |
1,959,276 | |||
Leisure Product — 1.2% | |||
3,032 | Brunswick Corp. | 316,541 | |
Life Sciences Tools & Services — 2.5% | |||
1,470 | Agilent Technologies, Inc. | 225,249 | |
1,161 | Waters Corp.1 | 452,569 | |
677,818 | |||
Machinery — 3.4% | |||
2,512 | Cummins, Inc. | 583,035 | |
3,536 | ITT, Inc. | 346,210 | |
929,245 | |||
Media — 4.8% | |||
7,624 | Comcast Corp. - Class A | 448,520 | |
17,864 | Interpublic Group of Cos., Inc. (The) | 631,671 | |
3,303 | Omnicom Group, Inc. | 240,524 | |
1,320,715 | |||
Multi-line Retail — 1.3% | |||
1,359 | Target Corp. | 354,767 |
25 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Pharmaceuticals — 2.9% | |||
6,765 | AstraZeneca PLC, Sponsored ADR | $387,229 | |
2,425 | Jazz Pharmaceuticals PLC1 | 411,086 | |
798,315 | |||
Professional Services — 2.0% | |||
3,288 | Booz Allen Hamilton Holding Corp. | 282,143 | |
10,976 | Nielsen Holdings PLC | 260,022 | |
542,165 | |||
Road & Rail — 0.5% | |||
4,531 | CSX Corp. | 146,442 | |
Semiconductors & Semiconductor Equipment — 5.7% | |||
6,067 | Applied Materials, Inc. | 848,955 | |
10,412 | Intel Corp. | 559,333 | |
1,232 | Teradyne, Inc. | 156,464 | |
1,564,752 | |||
Software — 8.0% | |||
1,878 | Dolby Laboratories, Inc. - Class A | 182,354 | |
12,348 | Dropbox, Inc. - Class A1 | 388,839 | |
984 | Fortinet, Inc.1 | 267,884 | |
2,712 | Microsoft Corp. | 772,676 | |
6,545 | Oracle Corp. | 570,331 | |
2,182,084 | |||
Specialty Retail — 4.4% | |||
5,434 | Best Buy Co., Inc. | 610,510 | |
3,011 | Lowe’s Cos., Inc. | 580,189 | |
1,190,699 | |||
Technology Hardware, Storage & Peripherals — 6.0% | |||
2,911 | Dell Technologies, Inc. - Class C1 | 281,261 | |
33,799 | Hewlett Packard Enterprise Co. | 490,085 | |
10,764 | NetApp, Inc. | 856,707 | |
1,628,053 | |||
TOTAL COMMON STOCKS (Cost $19,755,225) | 27,054,421 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.8% | |||
$221,041 | With Fixed Income Clearing Corp., dated 7/30/21, 0.00%, principal and interest in the amount of $221,041, due 8/2/21, (collateralized by a U.S. Treasury Note with a par value of $225,500, coupon
rate of 0.125%, due 03/31/23, market value of $225,470) | 221,041 | |
TOTAL REPURCHASE AGREEMENT (Cost $221,041) | 221,041 | ||
TOTAL INVESTMENTS (Cost $19,976,266) | 100.0% | $27,275,462 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.0 | 6,437 | |
NET ASSETS | 100.0% | $27,281,899 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
26 |
Abbreviations: |
ADR — American Depositary Receipt |
27 |
Shares | Value | ||
COMMON STOCKS* — 96.8% | |||
Air Freight & Logistics — 2.6% | |||
9,980 | Expeditors International of Washington, Inc. | $1,279,935 | |
7,240 | Hub Group, Inc. - Class A1 | 479,867 | |
1,759,802 | |||
Banks — 4.4% | |||
19,900 | Bank OZK | 810,129 | |
17,960 | East West Bancorp, Inc. | 1,277,854 | |
78,220 | FNB Corp. | 896,401 | |
2,984,384 | |||
Beverages — 0.9% | |||
6,380 | Monster Beverage Corp.1 | 601,762 | |
Biotechnology — 0.9% | |||
34,500 | Exelixis, Inc.1 | 581,325 | |
Capital Markets — 5.7% | |||
30,360 | Federated Hermes, Inc. | 984,878 | |
15,280 | Franklin Resources, Inc. | 451,524 | |
19,480 | Invesco, Ltd. | 474,922 | |
15,840 | SEI Investments Co. | 963,072 | |
14,790 | Stifel Financial Corp. | 984,127 | |
3,858,523 | |||
Chemicals — 1.2% | |||
13,200 | Dow, Inc.2 | 820,512 | |
Commercial Services & Supplies — 2.6% | |||
26,780 | ABM Industries, Inc. | 1,245,002 | |
4,720 | Republic Services, Inc. | 558,659 | |
1,803,661 | |||
Construction & Engineering — 2.9% | |||
10,200 | AECOM1,2 | 642,192 | |
10,860 | EMCOR Group, Inc.2 | 1,322,857 | |
1,965,049 | |||
Consumer Finance — 1.4% | |||
51,840 | SLM Corp. | 976,147 | |
Containers & Packaging — 1.0% | |||
12,080 | International Paper Co.2 | 697,741 | |
Distributors — 1.4% | |||
18,600 | LKQ Corp.1 | 943,950 | |
Diversified Consumer Services — 1.7% | |||
21,340 | Adtalem Global Education, Inc.1 | 775,496 | |
6,660 | Service Corp. International | 416,183 | |
1,191,679 | |||
Diversified Telecommunication Services — 0.5% | |||
6,200 | Verizon Communications, Inc. | 345,836 | |
Electrical Equipment — 2.6% | |||
11,400 | nVent Electric PLC2 | 360,354 | |
9,400 | Regal Beloit Corp.2 | 1,383,962 | |
1,744,316 | |||
Electronic Equipment, Instruments & Components — 3.4% | |||
7,840 | Arrow Electronics, Inc.1 | 929,589 |
28 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electronic Equipment, Instruments & Components — (Continued) | |||
23,220 | Jabil, Inc. | $1,382,519 | |
2,312,108 | |||
Energy Equipment & Services — 1.0% | |||
32,560 | Baker Hughes Co. | 691,574 | |
Entertainment — 1.4% | |||
11,420 | Activision Blizzard, Inc. | 954,940 | |
Equity Real Estate Investment Trusts — 7.2% | |||
9,960 | Gaming and Leisure Properties, Inc. | 471,506 | |
11,720 | Highwoods Properties, Inc. | 558,927 | |
17,940 | Invitation Homes, Inc. | 729,799 | |
25,960 | Medical Properties Trust, Inc. | 545,939 | |
35,900 | Omega Healthcare Investors, Inc. | 1,302,452 | |
40,720 | VICI Properties, Inc.3 | 1,270,057 | |
4,878,680 | |||
Food & Staples Retailing — 2.2% | |||
19,084 | Kroger Co. (The) | 776,719 | |
30,560 | Sprouts Farmers Market, Inc.1 | 751,165 | |
1,527,884 | |||
Food Products — 1.5% | |||
19,480 | Conagra Brands, Inc. | 652,385 | |
5,900 | General Mills, Inc. | 347,274 | |
999,659 | |||
Health Care Equipment & Supplies — 1.0% | |||
10,100 | DENTSPLY SIRONA, Inc. | 667,004 | |
Health Care Providers & Services — 2.4% | |||
15,230 | Centene Corp.1 | 1,044,930 | |
7,000 | CVS Health Corp. | 576,520 | |
1,621,450 | |||
Hotels, Restaurants & Leisure — 1.5% | |||
53,980 | International Game Technology PLC1,3 | 1,012,125 | |
Household Durables — 3.2% | |||
21,960 | KB Home | 931,982 | |
22,900 | PulteGroup, Inc. | 1,256,523 | |
2,188,505 | |||
Household Products — 0.5% | |||
4,520 | Colgate-Palmolive Co. | 359,340 | |
Insurance — 2.8% | |||
14,160 | Brown & Brown, Inc. | 770,304 | |
6,400 | Fidelity National Financial, Inc. | 285,504 | |
35,320 | Old Republic International Corp. | 870,991 | |
1,926,799 | |||
Internet & Direct Marketing Retail — 1.8% | |||
18,260 | eBay, Inc. | 1,245,515 | |
IT Services — 3.9% | |||
17,360 | Amdocs, Ltd.2 | 1,338,629 | |
26,180 | Genpact, Ltd.2 | 1,304,026 | |
2,642,655 |
29 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Machinery — 4.2% | |||
16,080 | Hillenbrand, Inc.2 | $728,424 | |
14,080 | ITT, Inc.2 | 1,378,573 | |
9,900 | Pentair PLC2 | 729,333 | |
2,836,330 | |||
Media — 3.2% | |||
14,008 | Comcast Corp. - Class A | 824,091 | |
22,480 | Discovery, Inc. - Class A1 | 652,145 | |
20,160 | Fox Corp. - Class A | 718,905 | |
2,195,141 | |||
Metals & Mining — 3.3% | |||
29,500 | Commercial Metals Co.2 | 967,600 | |
7,980 | Reliance Steel & Aluminum Co.2 | 1,254,057 | |
2,221,657 | |||
Multi-Utilities — 2.5% | |||
12,780 | MDU Resources Group, Inc. | 405,382 | |
20,900 | Public Service Enterprise Group, Inc. | 1,300,607 | |
1,705,989 | |||
Oil, Gas & Consumable Fuels — 1.0% | |||
26,213 | Devon Energy Corp. | 677,344 | |
Paper & Forest Products — 0.9% | |||
10,740 | Louisiana-Pacific Corp.2 | 595,426 | |
Pharmaceuticals — 1.6% | |||
26,260 | Pfizer, Inc. | 1,124,191 | |
Professional Services — 2.0% | |||
8,880 | ASGN, Inc.1 | 898,035 | |
18,880 | Nielsen Holdings PLC | 447,267 | |
1,345,302 | |||
Road & Rail — 0.5% | |||
7,540 | Knight-Swift Transportation Holdings, Inc. | 374,663 | |
Semiconductors & Semiconductor Equipment — 3.3% | |||
57,920 | Amkor Technology, Inc. | 1,427,149 | |
5,880 | Diodes, Inc.1 | 482,160 | |
6,160 | Intel Corp. | 330,915 | |
2,240,224 | |||
Software — 5.4% | |||
40,941 | Dropbox, Inc. - Class A1,2 | 1,289,232 | |
16,880 | Oracle Corp.2 | 1,470,923 | |
11,320 | SS&C Technologies Holdings, Inc.2 | 887,375 | |
3,647,530 | |||
Specialty Retail — 1.7% | |||
10,460 | Best Buy Co., Inc. | 1,175,181 | |
Technology Hardware, Storage & Peripherals — 0.8% | |||
38,600 | Hewlett Packard Enterprise Co. | 559,700 | |
Thrifts & Mortgage Finance — 1.8% | |||
90,700 | MGIC Investment Corp. | 1,255,288 |
30 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Wireless Telecommunication Services — 1.0% | |||
17,840 | United States Cellular Corp.1 | $648,662 | |
TOTAL COMMON STOCKS (Cost $44,490,527) | 65,905,553 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 1.5% | |||
$1,002,858 | With Fixed Income Clearing Corp., dated 7/30/21, 0.00%, principal and interest in the amount of $1,002,858, due 8/2/21, (collateralized by a U.S. Treasury Note with a par value of $1,023,100,
coupon rate of 0.125%, due 03/31/23, market value of $1,022,963) | 1,002,858 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,002,858) | 1,002,858 | ||
TOTAL LONG INVESTMENTS (Cost $45,493,385) | 98.3% | $66,908,411 | |
Shares | |||
COMMON STOCKS SOLD SHORT* — (66.4)% | |||
Aerospace & Defense — (4.3)% | |||
(5,540) | Boeing Co. (The)1 | (1,254,699) | |
(1,600) | L3Harris Technologies, Inc. | (362,784) | |
(1,980) | TransDigm Group, Inc.1 | (1,269,358) | |
(2,886,841) | |||
Airlines — (3.4)% | |||
(10,960) | Alaska Air Group, Inc.1 | (636,009) | |
(14,260) | Southwest Airlines Co.1 | (720,415) | |
(20,220) | United Airlines Holdings, Inc.1 | (944,678) | |
(2,301,102) | |||
Banks — (2.7)% | |||
(860) | First Citizens BancShares, Inc. - Class A | (673,027) | |
(9,980) | Glacier Bancorp, Inc. | (514,569) | |
(12,320) | Truist Financial Corp. | (670,578) | |
(1,858,174) | |||
Beverages — (0.5)% | |||
(1,540) | Constellation Brands, Inc. - Class A | (345,484) | |
Building Products — (1.3)% | |||
(2,720) | Lennox International, Inc. | (896,050) | |
Capital Markets — (3.9)% | |||
(4,800) | Charles Schwab Corp. (The) | (326,160) | |
(1,680) | MarketAxess Holdings, Inc. | (798,286) | |
(3,180) | Morningstar, Inc. | (803,363) | |
(8,560) | State Street Corp. | (745,918) | |
(2,673,727) | |||
Chemicals — (3.8)% | |||
(3,340) | Air Products and Chemicals, Inc. | (972,040) | |
(2,500) | Albemarle Corp. | (515,100) | |
(2,000) | Ecolab, Inc. | (441,660) | |
(3,700) | Scotts Miracle-Gro Co. (The) | (654,752) | |
(2,583,552) | |||
Commercial Services & Supplies — (2.0)% | |||
(68,040) | Covanta Holding Corp. | (1,367,604) |
31 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Containers & Packaging — (2.0)% | |||
(8,580) | Ball Corp. | $(693,951) | |
(6,636) | Crown Holdings, Inc. | (662,007) | |
(1,355,958) | |||
Diversified Consumer Services — (1.1)% | |||
(4,980) | Bright Horizons Family Solutions, Inc.1 | (744,510) | |
Electric Utilities — (1.6)% | |||
(4,680) | MGE Energy, Inc. | (365,602) | |
(10,460) | Xcel Energy, Inc. | (713,895) | |
(1,079,497) | |||
Electronic Equipment, Instruments & Components — (2.4)% | |||
(8,260) | Cognex Corp. | (746,787) | |
(20,040) | National Instruments Corp. | (883,964) | |
(1,630,751) | |||
Entertainment — (1.1)% | |||
(9,400) | Live Nation Entertainment, Inc.1 | (741,566) | |
Equity Real Estate Investment Trusts — (4.2)% | |||
(58,420) | Host Hotels & Resorts, Inc.1 | (930,630) | |
(37,380) | Macerich Co. (The) | (609,294) | |
(74,294) | Mack-Cali Realty Corp. | (1,337,292) | |
(2,877,216) | |||
Food & Staples Retailing — (0.9)% | |||
(8,620) | Sysco Corp. | (639,604) | |
Food Products — (1.3)% | |||
(5,440) | J&J Snack Foods Corp. | (894,227) | |
Health Care Equipment & Supplies — (4.0)% | |||
(11,420) | Edwards Lifesciences Corp.1 | (1,282,124) | |
(1,900) | ResMed, Inc. | (516,420) | |
(3,360) | Stryker Corp. | (910,358) | |
(2,708,902) | |||
Hotels, Restaurants & Leisure — (3.6)% | |||
(360) | Booking Holdings, Inc.1 | (784,174) | |
(8,600) | Cracker Barrel Old Country Store, Inc. | (1,171,148) | |
(11,360) | Las Vegas Sands Corp.1 | (481,096) | |
(2,436,418) | |||
Household Products — (0.6)% | |||
(2,840) | Kimberly-Clark Corp. | (385,445) | |
Insurance — (2.8)% | |||
(3,480) | Erie Indemnity Co. - Class A | (643,417) | |
(3,520) | Globe Life, Inc. | (327,747) | |
(11,580) | Loews Corp. | (621,036) | |
(3,540) | Progressive Corp. (The) | (336,866) | |
(1,929,066) | |||
IT Services — (1.3)% | |||
(6,000) | Fidelity National Information Services, Inc. | (894,300) | |
Leisure Product — (1.5)% | |||
(10,140) | Hasbro, Inc. | (1,008,322) | |
Machinery — (1.7)% | |||
(12,180) | Kennametal, Inc. | (441,525) |
32 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Machinery — (Continued) | |||
(5,900) | Woodward, Inc. | $(717,204) | |
(1,158,729) | |||
Mortgage Real Estate Investment Trust — (1.2)% | |||
(24,960) | Blackstone Mortgage Trust, Inc. - Class A | (809,203) | |
Multi-line Retail — (0.9)% | |||
(18,940) | Nordstrom, Inc.1 | (626,914) | |
Oil, Gas & Consumable Fuels — (1.0)% | |||
(6,760) | Chevron Corp. | (688,236) | |
Pharmaceuticals — (0.9)% | |||
(9,340) | Bristol-Myers Squibb Co. | (633,906) | |
Semiconductors & Semiconductor Equipment — (1.5)% | |||
(10,920) | Cree, Inc.1 | (1,012,939) | |
Software — (4.4)% | |||
(3,620) | ANSYS, Inc.1 | (1,333,825) | |
(2,840) | Autodesk, Inc.1 | (912,009) | |
(1,200) | MicroStrategy, Inc. - Class A1 | (751,212) | |
(2,997,046) | |||
Specialty Retail — (1.7)% | |||
(19,960) | Monro, Inc. | (1,157,680) | |
Textiles, Apparel & Luxury Goods — (1.0)% | |||
(8,280) | VF Corp. | (664,056) | |
Thrifts & Mortgage Finance — (1.0)% | |||
(60,880) | Capitol Federal Financial, Inc. | (675,159) | |
Trading Companies & Distributors — (0.8)% | |||
(6,220) | MSC Industrial Direct Co., Inc. - Class A | (554,637) | |
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(44,172,037)) | (45,216,821) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(44,172,037)) | (66.4)% | $(45,216,821) | |
TOTAL INVESTMENTS (Cost $1,321,348) | 31.9% | $21,691,590 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 68.1 | 46,386,365 | |
NET ASSETS | 100.0% | $68,077,955 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | All or portion of security pledged as collateral for securities sold short. The total market value of collateral is $10,333,114. |
3 | Securities or partial securities on loan. See Note 1. |
33 |
Shares | Value | ||
COMMON STOCKS* — 128.2% | |||
Air Freight & Logistics — 3.9% | |||
5,680 | Expeditors International of Washington, Inc.1 | $728,460 | |
9,080 | Hub Group, Inc. - Class A1,2 | 601,822 | |
1,330,282 | |||
Automobiles — 2.4% | |||
58,540 | Ford Motor Co.1,2 | 816,633 | |
Banks — 4.7% | |||
13,660 | Citizens Financial Group, Inc.1 | 575,906 | |
49,520 | First Horizon Corp.1 | 765,084 | |
16,400 | Huntington Bancshares, Inc.1 | 230,912 | |
1,571,902 | |||
Biotechnology — 0.6% | |||
12,040 | Exelixis, Inc.2 | 202,874 | |
Building Products — 2.2% | |||
7,620 | Fortune Brands Home & Security, Inc.1 | 742,721 | |
Capital Markets — 3.0% | |||
6,160 | Invesco, Ltd.1 | 150,181 | |
3,880 | Nasdaq, Inc.1 | 724,512 | |
4,820 | Virtu Financial, Inc. - Class A | 124,067 | |
998,760 | |||
Chemicals — 1.4% | |||
18,600 | Huntsman Corp.1 | 491,226 | |
Commercial Services & Supplies — 0.9% | |||
2,700 | Republic Services, Inc.1 | 319,572 | |
Construction & Engineering — 3.8% | |||
7,500 | EMCOR Group, Inc.1 | 913,575 | |
3,940 | Quanta Services, Inc.1 | 358,146 | |
1,271,721 | |||
Consumer Finance — 3.6% | |||
7,120 | Ally Financial, Inc.1 | 365,683 | |
44,620 | SLM Corp. | 840,195 | |
1,205,878 | |||
Containers & Packaging — 1.0% | |||
8,160 | Silgan Holdings, Inc. | 330,643 | |
Distributors — 1.6% | |||
10,400 | LKQ Corp.1,2 | 527,800 | |
Diversified Telecommunication Services — 1.0% | |||
26,200 | Lumen Technologies, Inc. | 326,714 | |
Electric Utilities — 1.1% | |||
8,100 | Exelon Corp.1 | 379,080 | |
Electrical Equipment — 2.4% | |||
5,560 | Regal Beloit Corp.1 | 818,599 | |
Electronic Equipment, Instruments & Components — 2.1% | |||
6,040 | Arrow Electronics, Inc.2 | 716,163 | |
Energy Equipment & Services — 0.7% | |||
10,620 | Baker Hughes Co.1 | 225,569 |
34 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Entertainment — 2.1% | |||
8,480 | Activision Blizzard, Inc. | $709,098 | |
Equity Real Estate Investment Trusts — 5.2% | |||
5,560 | American Homes 4 Rent - Class A1 | 233,520 | |
8,480 | Lamar Advertising Co. - Class A | 903,968 | |
16,800 | Medical Properties Trust, Inc.1 | 353,304 | |
8,340 | VICI Properties, Inc.1 | 260,124 | |
1,750,916 | |||
Food & Staples Retailing — 2.6% | |||
12,900 | Kroger Co. (The)1 | 525,030 | |
14,087 | Sprouts Farmers Market, Inc.2 | 346,258 | |
871,288 | |||
Food Products — 3.2% | |||
12,500 | Darling Ingredients, Inc.1,2 | 863,375 | |
3,440 | General Mills, Inc.1 | 202,478 | |
1,065,853 | |||
Gas Utilities — 1.5% | |||
10,920 | UGI Corp.1 | 502,211 | |
Health Care Equipment & Supplies — 1.0% | |||
4,900 | DENTSPLY SIRONA, Inc.1 | 323,596 | |
Health Care Providers & Services — 5.5% | |||
7,180 | Centene Corp.1,2 | 492,620 | |
5,480 | DaVita, Inc.1,2 | 658,970 | |
2,548 | Molina Healthcare, Inc.2 | 695,629 | |
1,847,219 | |||
Hotels, Restaurants & Leisure — 2.1% | |||
38,340 | International Game Technology PLC1,2,3 | 718,875 | |
Household Durables — 2.6% | |||
6,620 | DR Horton, Inc.1 | 631,747 | |
4,337 | PulteGroup, Inc. | 237,971 | |
869,718 | |||
Household Products — 0.8% | |||
6,280 | Central Garden & Pet Co. - Class A1,2 | 271,987 | |
Insurance — 3.9% | |||
3,200 | Brown & Brown, Inc.1 | 174,080 | |
10,580 | Fidelity National Financial, Inc.1 | 471,974 | |
18,000 | Old Republic International Corp.1 | 443,880 | |
8,000 | Unum Group | 219,200 | |
1,309,134 | |||
Interactive Media & Services — 2.2% | |||
18,160 | Cargurus, Inc.2 | 519,376 | |
3,340 | Twitter, Inc.1,2 | 232,965 | |
752,341 | |||
Internet & Direct Marketing Retail — 1.1% | |||
5,620 | eBay, Inc.1 | 383,340 | |
IT Services — 3.8% | |||
6,000 | Amdocs, Ltd. | 462,660 | |
16,560 | Genpact, Ltd. | 824,854 | |
1,287,514 |
35 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Leisure Product — 0.7% | |||
2,160 | Brunswick Corp. | $225,504 | |
Life Sciences Tools & Services — 2.6% | |||
4,940 | Medpace Holdings, Inc.2 | 869,144 | |
Media — 6.1% | |||
11,360 | Comcast Corp. - Class A1 | 668,309 | |
10,440 | Fox Corp. - Class A | 372,291 | |
5,340 | Interpublic Group of Cos., Inc. (The) | 188,822 | |
33,821 | News Corp. - Class A | 833,011 | |
2,062,433 | |||
Metals & Mining — 1.9% | |||
7,880 | Commercial Metals Co.1 | 258,464 | |
2,546 | Reliance Steel & Aluminum Co.1 | 400,104 | |
658,568 | |||
Multi-line Retail — 2.6% | |||
3,420 | Target Corp.1 | 892,791 | |
Multi-Utilities — 0.5% | |||
5,540 | MDU Resources Group, Inc. | 175,729 | |
Oil, Gas & Consumable Fuels — 2.0% | |||
26,200 | Devon Energy Corp.1 | 677,008 | |
Paper & Forest Products — 0.9% | |||
5,700 | Louisiana-Pacific Corp.1 | 316,008 | |
Pharmaceuticals — 3.2% | |||
1,000 | Johnson & Johnson1 | 172,200 | |
12,720 | Pfizer, Inc.1 | 544,543 | |
13,580 | Supernus Pharmaceuticals, Inc.2 | 357,562 | |
1,074,305 | |||
Professional Services — 2.1% | |||
4,480 | ASGN, Inc.2 | 453,062 | |
2,660 | Robert Half International, Inc. | 261,239 | |
714,301 | |||
Semiconductors & Semiconductor Equipment — 6.7% | |||
6,300 | Applied Materials, Inc.1 | 881,559 | |
9,920 | Diodes, Inc.2 | 813,440 | |
7,060 | Intel Corp.1 | 379,263 | |
5,180 | ON Semiconductor Corp.2 | 202,331 | |
2,276,593 | |||
Software — 11.7% | |||
18,560 | Box, Inc. - Class A2 | 443,955 | |
6,440 | Dolby Laboratories, Inc. - Class A | 625,324 | |
18,580 | Dropbox, Inc. - Class A1,2 | 585,084 | |
9,200 | Oracle Corp.1 | 801,688 | |
3,420 | Progress Software Corp. | 155,918 | |
7,820 | SPS Commerce, Inc.2 | 851,989 | |
6,320 | SS&C Technologies Holdings, Inc.1 | 495,425 | |
3,959,383 | |||
Specialty Retail — 2.2% | |||
1,600 | Best Buy Co., Inc.1 | 179,760 | |
3,760 | Williams-Sonoma, Inc. | 570,392 | |
750,152 |
36 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Technology Hardware, Storage & Peripherals — 5.4% | |||
22,260 | Hewlett Packard Enterprise Co. | $322,770 | |
25,120 | HP, Inc.1 | 725,214 | |
9,580 | NetApp, Inc. | 762,472 | |
1,810,456 | |||
Thrifts & Mortgage Finance — 2.6% | |||
62,380 | MGIC Investment Corp.1 | 863,339 | |
Trading Companies & Distributors — 1.7% | |||
5,260 | WESCO International, Inc.1,2 | 559,927 | |
Wireless Telecommunication Services — 1.3% | |||
19,520 | Telephone & Data Systems, Inc. | 436,272 | |
TOTAL COMMON STOCKS (Cost $26,723,175) | 43,261,140 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.2% | |||
$58,476 | With Fixed Income Clearing Corp., dated 7/30/21, 0.00%, principal and interest in the amount of $58,476, due 8/2/21, (collateralized by a U.S. Treasury Note with a par value of $59,700, coupon rate
of 0.125%, due 03/31/23, market value of $59,692) | 58,476 | |
TOTAL REPURCHASE AGREEMENT (Cost $58,476) | 58,476 | ||
TOTAL LONG INVESTMENTS (Cost $26,781,651) | 128.4% | $43,319,616 | |
Shares | |||
COMMON STOCKS SOLD SHORT* — (28.3)% | |||
Aerospace & Defense — (2.3)% | |||
(600) | Boeing Co. (The)2 | (135,888) | |
(1,020) | HEICO Corp. | (137,955) | |
(2,400) | Hexcel Corp.2 | (130,608) | |
(2,020) | Mercury Systems, Inc.2 | (133,320) | |
(380) | TransDigm Group, Inc.2 | (243,614) | |
(781,385) | |||
Air Freight & Logistics — (0.7)% | |||
(460) | FedEx Corp. | (128,777) | |
(1,200) | Forward Air Corp. | (106,128) | |
(234,905) | |||
Airlines — (1.3)% | |||
(2,500) | Alaska Air Group, Inc.2 | (145,075) | |
(3,340) | Southwest Airlines Co.2 | (168,737) | |
(2,700) | United Airlines Holdings, Inc.2 | (126,144) | |
(439,956) | |||
Banks — (2.0)% | |||
(1,180) | Cullen/Frost Bankers, Inc. | (126,638) | |
(180) | First Citizens BancShares, Inc. - Class A | (140,866) | |
(3,320) | First Financial Bankshares, Inc. | (162,149) | |
(2,440) | Glacier Bancorp, Inc. | (125,806) | |
(2,320) | Truist Financial Corp. | (126,278) | |
(681,737) |
37 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Beverages — (0.5)% | |||
(100) | Boston Beer Co., Inc. (The) Class A2 | $(71,000) | |
(400) | Constellation Brands, Inc. - Class A | (89,736) | |
(160,736) | |||
Capital Markets — (1.1)% | |||
(1,880) | Charles Schwab Corp. (The) | (127,746) | |
(300) | FactSet Research Systems, Inc. | (107,184) | |
(600) | Morningstar, Inc. | (151,578) | |
(386,508) | |||
Chemicals — (2.4)% | |||
(500) | Air Products and Chemicals, Inc. | (145,515) | |
(750) | Albemarle Corp. | (154,530) | |
(1,600) | Ashland Global Holdings, Inc. | (136,112) | |
(1) | Dow, Inc. | (62) | |
(720) | Ecolab, Inc. | (158,998) | |
(320) | NewMarket Corp. | (101,091) | |
(700) | Scotts Miracle-Gro Co. (The) | (123,872) | |
(820,180) | |||
Construction & Engineering — (0.4)% | |||
(8,340) | Fluor Corp.2 | (138,944) | |
Containers & Packaging — (0.5)% | |||
(1,980) | Ball Corp. | (160,142) | |
Diversified Consumer Services — (0.3)% | |||
(634) | Bright Horizons Family Solutions, Inc.2 | (94,783) | |
Electric Utilities — (0.7)% | |||
(1,420) | MGE Energy, Inc. | (110,931) | |
(2,000) | Xcel Energy, Inc. | (136,500) | |
(247,431) | |||
Electronic Equipment, Instruments & Components — (0.5)% | |||
(3,540) | National Instruments Corp. | (156,149) | |
Entertainment — (0.3)% | |||
(1,440) | Live Nation Entertainment, Inc.2 | (113,602) | |
Equity Real Estate Investment Trusts — (0.8)% | |||
(3,940) | Healthpeak Properties, Inc. | (145,662) | |
(1,680) | Ryman Hospitality Properties, Inc. REIT2 | (128,856) | |
(274,518) | |||
Food & Staples Retailing — (0.4)% | |||
(1,720) | Sysco Corp. | (127,624) | |
Food Products — (0.4)% | |||
(800) | J&J Snack Foods Corp. | (131,504) | |
Health Care Equipment & Supplies — (1.0)% | |||
(480) | Becton Dickinson and Co. | (122,760) | |
(740) | ResMed, Inc. | (201,132) | |
(323,892) | |||
Health Care Technology — (0.4)% | |||
(700) | Inspire Medical Systems, Inc.2 | (128,212) | |
Hotels, Restaurants & Leisure — (2.1)% | |||
(60) | Booking Holdings, Inc.2 | (130,696) | |
(736) | Churchill Downs, Inc. | (136,749) |
38 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Hotels, Restaurants & Leisure — (Continued) | |||
(1,580) | Cracker Barrel Old Country Store, Inc. | $(215,164) | |
(3,600) | Dave & Buster’s Entertainment, Inc.2 | (119,808) | |
(2,620) | Las Vegas Sands Corp.2 | (110,957) | |
(713,374) | |||
Household Products — (0.4)% | |||
(1,000) | Kimberly-Clark Corp. | (135,720) | |
Insurance — (1.7)% | |||
(880) | Assurant, Inc. | (138,873) | |
(720) | Erie Indemnity Co. - Class A | (133,121) | |
(2,920) | Loews Corp. | (156,599) | |
(1,480) | Progressive Corp. (The) | (140,837) | |
(569,430) | |||
IT Services — (0.4)% | |||
(800) | Fidelity National Information Services, Inc. | (119,240) | |
Machinery — (1.1)% | |||
(3,400) | Kennametal, Inc. | (123,250) | |
(1,180) | PACCAR, Inc. | (97,928) | |
(1,100) | Woodward, Inc. | (133,716) | |
(354,894) | |||
Multi-line Retail — (0.4)% | |||
(3,740) | Nordstrom, Inc.2 | (123,794) | |
Oil, Gas & Consumable Fuels — (0.7)% | |||
(7,040) | Cabot Oil & Gas Corp. | (112,640) | |
(1,760) | Hess Corp. | (134,535) | |
(247,175) | |||
Road & Rail — (0.4)% | |||
(640) | Union Pacific Corp. | (140,006) | |
Semiconductors & Semiconductor Equipment — (0.7)% | |||
(1,300) | Cree, Inc.2 | (120,588) | |
(900) | Microchip Technology, Inc. | (128,808) | |
(249,396) | |||
Software — (1.2)% | |||
(280) | ANSYS, Inc.2 | (103,169) | |
(500) | Autodesk, Inc.2 | (160,565) | |
(200) | MicroStrategy, Inc. - Class A2 | (125,202) | |
(388,936) | |||
Specialty Retail — (1.3)% | |||
(7,900) | Designer Brands, Inc. - Class A2 | (115,103) | |
(3,440) | Monro, Inc. | (199,520) | |
(1,100) | Ross Stores, Inc. | (134,959) | |
(449,582) | |||
Textiles, Apparel & Luxury Goods — (0.4)% | |||
(1,660) | VF Corp. | (133,132) | |
Thrifts & Mortgage Finance — (0.3)% | |||
(9,980) | Capitol Federal Financial, Inc. | (110,678) | |
Trading Companies & Distributors — (0.8)% | |||
(1,500) | MSC Industrial Direct Co., Inc. - Class A | (133,755) |
39 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Trading Companies & Distributors — (Continued) | |||
(300) | WW Grainger, Inc. | $(133,374) | |
(267,129) | |||
Water Utilities — (0.4)% | |||
(2,080) | SJW Group | (143,374) | |
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(9,880,386)) | (9,548,068) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(9,880,386)) | (28.3)% | $(9,548,068) | |
TOTAL INVESTMENTS (Cost $16,901,265) | 100.1% | $33,771,548 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (30,690) | |
NET ASSETS | 100.0% | $33,740,858 |
* | Percentages indicated are based on net assets. |
1 | All or portion of security pledged as collateral for securities sold short. The total market value of collateral is $11,957,802. |
2 | Non income-producing security. |
3 | Securities or partial securities on loan. See Note 1. |
40 |
Shares | Value | ||
COMMON STOCKS* — 99.5% | |||
Aerospace & Defense — 2.7% | |||
82,872 | Raytheon Technologies Corp. | $7,205,720 | |
Banks — 4.9% | |||
40,110 | JPMorgan Chase & Co. | 6,087,896 | |
38,947 | PNC Financial Services Group, Inc. (The) | 7,104,322 | |
13,192,218 | |||
Beverages — 1.8% | |||
31,054 | PepsiCo, Inc. | 4,873,925 | |
Biotechnology — 1.7% | |||
13,770 | Biogen, Inc.1 | 4,499,072 | |
Capital Markets — 1.7% | |||
41,187 | Northern Trust Corp. | 4,647,953 | |
Chemicals — 2.2% | |||
35,349 | PPG Industries, Inc. | 5,780,268 | |
Communications Equipment — 2.0% | |||
95,961 | Cisco Systems, Inc./Delaware | 5,313,361 | |
Consumer Finance — 2.7% | |||
57,951 | Discover Financial Services | 7,204,468 | |
Electrical Equipment — 2.9% | |||
54,770 | AMETEK, Inc. | 7,615,769 | |
Electronic Equipment, Instruments & Components — 3.0% | |||
111,094 | Amphenol Corp. - Class A | 8,053,204 | |
Food & Staples Retailing — 1.7% | |||
32,038 | Walmart, Inc. | 4,567,017 | |
Health Care Equipment & Supplies — 3.8% | |||
35,100 | Abbott Laboratories | 4,246,398 | |
22,095 | Stryker Corp. | 5,986,419 | |
10,232,817 | |||
Health Care Providers & Services — 2.9% | |||
26,415 | Laboratory Corp. of America Holdings1 | 7,822,802 | |
Hotels, Restaurants & Leisure — 3.0% | |||
3,654 | Booking Holdings, Inc.1 | 7,959,362 | |
Household Products — 1.4% | |||
47,251 | Colgate-Palmolive Co. | 3,756,455 | |
Insurance — 2.1% | |||
33,363 | Chubb, Ltd. | 5,629,673 | |
Interactive Media & Services — 8.4% | |||
5,071 | Alphabet, Inc. - Class C1 | 13,714,114 | |
24,693 | Facebook, Inc. - Class A1 | 8,798,116 | |
22,512,230 | |||
Internet & Direct Marketing Retail — 1.8% | |||
1,428 | Amazon.com, Inc.1 | 4,751,799 | |
IT Services — 12.1% | |||
20,473 | Accenture PLC - Class A | 6,503,863 | |
55,364 | Cognizant Technology Solutions Corp. - Class A | 4,070,915 | |
17,948 | Gartner, Inc.1 | 4,751,374 | |
35,175 | Global Payments, Inc. | 6,803,197 |
41 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
IT Services — (Continued) | |||
26,608 | Mastercard, Inc. - Class A | $10,269,091 | |
32,398,440 | |||
Life Sciences Tools & Services — 2.7% | |||
18,527 | Waters Corp.1 | 7,222,010 | |
Machinery — 2.8% | |||
24,077 | Parker-Hannifin Corp. | 7,512,746 | |
Media — 2.9% | |||
131,206 | Comcast Corp. - Class A | 7,718,849 | |
Multi-line Retail — 3.3% | |||
37,798 | Dollar General Corp. | 8,793,327 | |
Oil, Gas & Consumable Fuels — 2.0% | |||
51,875 | Chevron Corp. | 5,281,394 | |
Pharmaceuticals — 5.6% | |||
71,934 | Bristol-Myers Squibb Co. | 4,882,160 | |
19,780 | Eli Lilly & Co. | 4,816,430 | |
26,067 | Zoetis, Inc. | 5,283,781 | |
14,982,371 | |||
Road & Rail — 1.4% | |||
13,666 | Old Dominion Freight Line, Inc. | 3,678,204 | |
Software — 6.2% | |||
33,709 | Microsoft Corp. | 9,604,031 | |
79,185 | Oracle Corp. | 6,900,181 | |
16,504,212 | |||
Specialty Retail — 6.0% | |||
19,089 | Home Depot, Inc. (The) | 6,264,819 | |
14,038 | Tractor Supply Co. | 2,539,895 | |
21,034 | Ulta Beauty, Inc.1 | 7,063,217 | |
15,867,931 | |||
Technology Hardware, Storage & Peripherals — 3.8% | |||
69,691 | Apple, Inc. | 10,165,129 | |
TOTAL COMMON STOCKS (Cost $113,243,227) | 265,742,726 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.5% | |||
$1,349,710 | With Fixed Income Clearing Corp., dated 7/30/21, 0.00%, principal and interest in the amount of $1,349,710, due 8/2/21, (collateralized by a U.S. Treasury Note with a par value of $1,376,900,
coupon rate of 0.125%, due 03/31/23, market value of $1,376,716) | 1,349,710 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,349,710) | 1,349,710 | ||
TOTAL INVESTMENTS (Cost $114,592,937) | 100.0% | $267,092,436 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.0) | (12,816) | |
NET ASSETS | 100.0% | $267,079,620 |
42 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
43 |
Shares | Value | ||
COMMON STOCKS* — 97.8% | |||
Aerospace & Defense — 0.8% | |||
328,565 | AAR Corp.1 | $11,749,484 | |
Air Freight & Logistics — 1.2% | |||
258,891 | Atlas Air Worldwide Holdings, Inc.1,2 | 17,337,930 | |
Auto Components — 1.1% | |||
104,412 | LCI Industries | 15,225,358 | |
Banks — 9.8% | |||
277,336 | Ameris Bancorp | 13,481,303 | |
1,305,326 | First Horizon Corp. | 20,167,287 | |
1,770,737 | FNB Corp. | 20,292,646 | |
427,533 | Hancock Whitney Corp. | 18,687,467 | |
498,349 | Simmons First National Corp. - Class A | 13,565,060 | |
1,150,189 | Umpqua Holdings Corp. | 21,704,066 | |
345,188 | United Community Banks, Inc. | 9,944,866 | |
287,217 | Wintrust Financial Corp. | 20,507,294 | |
138,349,989 | |||
Biotechnology — 0.9% | |||
999,992 | Ironwood Pharmaceuticals, Inc.1,2 | 13,269,894 | |
Building Products — 1.4% | |||
178,523 | Masonite International Corp.1 | 20,201,663 | |
Capital Markets — 3.6% | |||
136,362 | Evercore, Inc. - Class A | 18,027,057 | |
284,582 | Stifel Financial Corp. | 18,936,086 | |
531,945 | Virtu Financial, Inc. - Class A2 | 13,692,264 | |
50,655,407 | |||
Chemicals — 2.8% | |||
217,389 | Ingevity Corp.1 | 18,465,022 | |
676,213 | Valvoline, Inc. | 20,746,215 | |
39,211,237 | |||
Communications Equipment — 1.2% | |||
300,393 | Ciena Corp.1 | 17,464,849 | |
Construction & Engineering — 4.7% | |||
255,268 | Arcosa, Inc. | 13,978,476 | |
149,867 | Dycom Industries, Inc.1 | 10,400,770 | |
149,867 | EMCOR Group, Inc. | 18,255,299 | |
231,552 | MasTec, Inc.1,2 | 23,440,009 | |
66,074,554 | |||
Containers & Packaging — 1.9% | |||
758,228 | Graphic Packaging Holding Co. | 14,535,231 | |
317,520 | Silgan Holdings, Inc. | 12,865,910 | |
27,401,141 | |||
Distributors — 1.5% | |||
492,420 | Core-Mark Holding Co., Inc. | 21,193,757 | |
Electric Utilities — 1.7% | |||
240,446 | Otter Tail Corp. | 12,212,252 | |
236,493 | Portland General Electric Co. | 11,564,508 | |
23,776,760 | |||
Electrical Equipment — 1.2% | |||
169,629 | EnerSys | 16,735,597 |
44 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electronic Equipment, Instruments & Components — 1.0% | |||
1,038,200 | TTM Technologies, Inc.1 | $14,524,418 | |
Equity Real Estate Investment Trusts — 5.7% | |||
374,173 | Hudson Pacific Properties, Inc. | 10,199,956 | |
1,348,804 | Lexington Realty Trust | 17,736,773 | |
527,334 | Outfront Media, Inc.1 | 12,598,009 | |
480,562 | STAG Industrial, Inc. | 19,856,822 | |
337,195 | Uniti Group, Inc.2 | 3,948,553 | |
681,154 | Washington Real Estate Investment Trust REIT | 16,545,231 | |
80,885,344 | |||
Food Products — 1.3% | |||
1,148,212 | Hostess Brands, Inc.1,2 | 18,474,731 | |
Gas Utilities — 1.6% | |||
293,476 | New Jersey Resources Corp. | 11,304,696 | |
435,767 | South Jersey Industries, Inc.2 | 10,968,255 | |
22,272,951 | |||
Health Care Equipment & Supplies — 5.5% | |||
66,863 | ICU Medical, Inc.1 | 13,592,579 | |
271,407 | Merit Medical Systems, Inc.1 | 19,022,916 | |
60,276 | Mesa Laboratories, Inc.2 | 17,751,885 | |
307,639 | Neogen Corp.1 | 13,400,755 | |
227,600 | NuVasive, Inc.1,2 | 14,555,020 | |
78,323,155 | |||
Health Care Providers & Services — 3.3% | |||
198,615 | AMN Healthcare Services, Inc.1 | 19,972,724 | |
213,437 | HealthEquity, Inc.1,2 | 15,790,069 | |
541,497 | R1 RCM, Inc.1 | 11,593,451 | |
47,356,244 | |||
Health Care Technology — 2.6% | |||
860,006 | Evolent Health, Inc. - Class A1,2 | 19,728,538 | |
390,642 | Vocera Communications, Inc.1,2 | 16,391,338 | |
36,119,876 | |||
Hotels, Restaurants & Leisure — 1.6% | |||
397,559 | Boyd Gaming Corp.1,2 | 22,660,863 | |
Household Durables — 2.9% | |||
51,053 | Helen of Troy, Ltd.1,2 | 11,404,730 | |
418,310 | La-Z-Boy, Inc. | 14,046,850 | |
617,584 | Tri Pointe Homes, Inc.1 | 14,896,126 | |
40,347,706 | |||
Household Products — 1.3% | |||
438,337 | Energizer Holdings, Inc.2 | 18,782,740 | |
Insurance — 1.1% | |||
275,689 | Stewart Information Services Corp. | 16,268,408 | |
Interactive Media & Service — 1.1% | |||
568,836 | Cargurus, Inc.1 | 16,268,710 | |
Life Sciences Tools & Services — 2.3% | |||
301,381 | NeoGenomics, Inc.1,2 | 13,893,664 | |
203,555 | Syneos Health, Inc.1 | 18,252,777 | |
32,146,441 |
45 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Machinery — 2.6% | |||
402,500 | Hillenbrand, Inc. | $18,233,250 | |
227,271 | Timken Co. (The) | 18,068,045 | |
36,301,295 | |||
Media — 1.1% | |||
105,401 | Nexstar Media Group, Inc. - Class A | 15,501,325 | |
Multi-line Retail — 0.8% | |||
220,683 | Kohl’s Corp. | 11,210,696 | |
Oil, Gas & Consumable Fuels — 3.0% | |||
1,243,073 | CNX Resources Corp.1,2 | 15,041,184 | |
388,666 | Delek US Holdings, Inc.2 | 6,755,015 | |
408,758 | Matador Resources Co. | 12,630,622 | |
329,164 | Ovintiv, Inc. | 8,446,348 | |
42,873,169 | |||
Pharmaceuticals — 3.0% | |||
182,475 | Pacira BioSciences, Inc.1,2 | 10,756,901 | |
355,399 | Prestige Consumer Healthcare, Inc.1 | 18,676,217 | |
499,996 | Supernus Pharmaceuticals, Inc.1,2 | 13,164,895 | |
42,598,013 | |||
Professional Services — 2.5% | |||
181,158 | ASGN, Inc.1 | 18,320,509 | |
61,593 | CACI International, Inc. - Class A1 | 16,442,867 | |
34,763,376 | |||
Semiconductors & Semiconductor Equipment — 2.2% | |||
268,772 | Diodes, Inc.1 | 22,039,304 | |
370,114 | Rambus, Inc.1 | 8,756,897 | |
30,796,201 | |||
Software — 7.2% | |||
281,618 | CommVault Systems, Inc.1 | 21,287,505 | |
858,030 | FireEye, Inc.1 | 17,332,206 | |
148,220 | J2 Global, Inc.1,2 | 20,939,040 | |
120,552 | SPS Commerce, Inc.1 | 13,134,140 | |
257,573 | Verint Systems, Inc.1,2 | 10,990,640 | |
1,292,151 | Vonage Holdings Corp.1 | 18,426,073 | |
102,109,604 | |||
Specialty Retail — 2.8% | |||
99,801 | Asbury Automotive Group, Inc.1 | 20,505,113 | |
339,259 | Foot Locker, Inc. | 19,358,119 | |
39,863,232 | |||
Technology Hardware, Storage & Peripherals — 1.4% | |||
443,013 | NCR Corp.1 | 19,669,777 | |
Thrifts & Mortgage Finance — 1.0% | |||
600,786 | Radian Group, Inc. | 13,565,748 | |
Trading Companies & Distributors — 5.1% | |||
360,010 | Beacon Roofing Supply, Inc.1 | 19,253,335 | |
235,505 | Boise Cascade Co. | 12,046,081 | |
762,510 | Univar Solutions, Inc.1 | 18,711,995 |
46 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Trading Companies & Distributors — (Continued) | |||
208,167 | WESCO International, Inc.1 | $22,159,377 | |
72,170,788 | |||
TOTAL COMMON STOCKS (Cost $949,903,733) | 1,384,502,431 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 2.1% | |||
$29,799,618 | With Fixed Income Clearing Corp., dated 7/30/21, 0.00%, principal and interest in the amount of $29,799,618, due 8/2/21, (collateralized by a U.S. Treasury Note with a par value of $30,399,700,
coupon rate of 0.125%, due 03/31/23, market value of $30,395,634) | 29,799,618 | |
TOTAL REPURCHASE AGREEMENT (Cost $29,799,618) | 29,799,618 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 3.7% | |||
52,633,899 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 52,633,899 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $52,633,899) | 52,633,899 | ||
TOTAL INVESTMENTS (Cost $1,032,337,250) | 103.6% | $1,466,935,948 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (3.6) | (51,027,120) | |
NET ASSETS | 100.0% | $1,415,908,828 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
3 | Represents an investment of securities lending cash collateral. |
47 |
Shares | Value | ||
COMMON STOCKS* — 99.6% | |||
Aerospace & Defense — 2.1% | |||
5,476 | Raytheon Technologies Corp. | $476,138 | |
Banks — 1.9% | |||
2,780 | JPMorgan Chase & Co. | 421,948 | |
Beverages — 2.5% | |||
3,588 | PepsiCo, Inc. | 563,137 | |
Biotechnology — 2.2% | |||
2,071 | Amgen, Inc. | 500,229 | |
Capital Markets — 8.0% | |||
1,306 | Ameriprise Financial, Inc. | 336,373 | |
424 | BlackRock, Inc. | 367,680 | |
7,257 | Charles Schwab Corp. (The) | 493,113 | |
2,764 | Northern Trust Corp. | 311,918 | |
1,335 | T Rowe Price Group, Inc. | 272,554 | |
1,781,638 | |||
Chemicals — 3.8% | |||
1,289 | Air Products and Chemicals, Inc. | 375,138 | |
2,881 | PPG Industries, Inc. | 471,101 | |
846,239 | |||
Communications Equipment — 2.9% | |||
11,530 | Cisco Systems, Inc./Delaware | 638,416 | |
Distributors — 1.1% | |||
1,899 | Genuine Parts Co. | 241,021 | |
Electrical Equipment — 5.8% | |||
2,759 | Eaton Corp. PLC | 436,060 | |
4,094 | Emerson Electric Co. | 413,044 | |
1,436 | Rockwell Automation, Inc. | 441,455 | |
1,290,559 | |||
Electronic Equipment, Instruments & Components — 2.2% | |||
3,302 | TE Connectivity, Ltd. | 486,946 | |
Food Products — 3.1% | |||
2,031 | Hershey Co. (The) | 363,305 | |
5,105 | Mondelez International, Inc. - Class A | 322,943 | |
686,248 | |||
Gas Utilities — 2.1% | |||
10,006 | UGI Corp. | 460,176 | |
Health Care Equipment & Supplies — 3.8% | |||
3,494 | Abbott Laboratories | 422,704 | |
3,285 | Medtronic PLC | 431,353 | |
854,057 | |||
Health Care Providers & Services — 2.0% | |||
3,221 | Quest Diagnostics, Inc. | 456,738 | |
Hotels, Restaurants & Leisure — 3.7% | |||
2,002 | McDonald’s Corp. | 485,906 | |
2,861 | Starbucks Corp. | 347,411 | |
833,317 | |||
Household Durables — 1.8% | |||
2,597 | Garmin, Ltd. | 408,248 |
48 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Household Products — 3.7% | |||
5,154 | Colgate-Palmolive Co. | $409,743 | |
2,901 | Procter & Gamble Co. (The) | 412,609 | |
822,352 | |||
Insurance — 5.7% | |||
6,298 | Aflac, Inc. | 346,390 | |
1,567 | Allstate Corp. (The) | 203,788 | |
1,354 | Everest Re Group, Ltd. | 342,332 | |
6,297 | Principal Financial Group, Inc. | 391,233 | |
1,283,743 | |||
IT Services — 3.8% | |||
1,010 | Accenture PLC - Class A | 320,857 | |
4,674 | Paychex, Inc. | 531,995 | |
852,852 | |||
Machinery — 5.3% | |||
1,605 | Cummins, Inc. | 372,520 | |
1,455 | Illinois Tool Works, Inc. | 329,805 | |
2,224 | Snap-on, Inc. | 484,788 | |
1,187,113 | |||
Media — 4.5% | |||
9,854 | Comcast Corp. - Class A | 579,711 | |
11,946 | Interpublic Group of Cos., Inc. (The) | 422,410 | |
1,002,121 | |||
Multi-Utilities — 3.1% | |||
5,475 | Dominion Energy, Inc. | 409,913 | |
2,448 | DTE Energy Co. | 287,200 | |
697,113 | |||
Oil, Gas & Consumable Fuels — 3.3% | |||
3,494 | Chevron Corp. | 355,724 | |
1,224 | DTE Midstream LLC1 | 51,898 | |
4,478 | Phillips 66 | 328,819 | |
736,441 | |||
Pharmaceuticals — 9.7% | |||
7,598 | Bristol-Myers Squibb Co. | 515,676 | |
2,952 | Eli Lilly & Co. | 718,812 | |
3,811 | Johnson & Johnson | 656,254 | |
6,550 | Pfizer, Inc. | 280,406 | |
2,171,148 | |||
Road & Rail — 2.0% | |||
2,031 | Union Pacific Corp. | 444,302 | |
Semiconductors & Semiconductor Equipment — 3.1% | |||
3,649 | Texas Instruments, Inc. | 695,572 | |
Specialty Retail — 4.0% | |||
1,728 | Home Depot, Inc. (The) | 567,112 | |
4,707 | TJX Cos., Inc. (The) | 323,889 | |
891,001 |
49 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Technology Hardware, Storage & Peripherals — 2.4% | |||
6,631 | NetApp, Inc. | $527,761 | |
TOTAL COMMON STOCKS (Cost $15,126,446) | 22,256,574 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.4% | |||
$85,402 | With Fixed Income Clearing Corp., dated 7/30/21, 0.00%, principal and interest in the amount of $85,402, due 8/2/21, (collateralized by a U.S. Treasury Note with a par value of $87,200, coupon rate
of 0.125%, due 03/31/23, market value of $87,188) | 85,402 | |
TOTAL REPURCHASE AGREEMENT (Cost $85,402) | 85,402 | ||
TOTAL INVESTMENTS (Cost $15,211,848) | 100.0% | $22,341,976 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.0 | 1,918 | |
NET ASSETS | 100.0% | $22,343,894 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
50 |
Shares | Value | ||
EXCHANGE-TRADED FUNDS* — 5.2% | |||
22,100 | SPDR S&P 500 ETF Trust1 | $9,691,071 | |
30,000 | Vanguard S&P 500 ETF1 | 12,094,500 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $6,430,609) | 21,785,571 | ||
Face Amount | |||
U.S. TREASURY BILLS* — 26.3% | |||
$50,000,000 | U.S. Treasury Bill, 0.026% due 10/7/211 | 49,995,417 | |
60,000,000 | U.S. Treasury Bill, 0.047% due 01/6/221 | 59,985,608 | |
TOTAL U.S. TREASURY BILLS (Cost $109,985,204) | 109,981,025 | ||
REPURCHASE AGREEMENT* — 3.2% | |||
13,288,545 | With Fixed Income Clearing Corp., dated 7/30/21, 0.00%, principal and interest in the amount of $13,288,545, due 8/2/21, (collateralized by a U.S. Treasury Note with a par value of $13,556,200,
coupon rate of 0.125%, due 03/31/23, market value of $13,554,387) | 13,288,545 | |
TOTAL REPURCHASE AGREEMENT (Cost $13,288,545) | 13,288,545 | ||
TOTAL PURCHASED OPTIONS (Cost $329,430,400) | 88.4% | 369,473,000 | |
TOTAL INVESTMENTS (Cost $459,134,758) | 123.1% | $514,528,141 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (23.1) | (96,501,003) | |
NET ASSETS2 | 100.0% | $418,027,138 |
* | Percentages indicated are based on net assets. |
1 | All or a portion of this security is held as collateral for written options. |
2 | Cash in the amount of $17,500,246 is held as collateral to secure the open written call and put options contracts. |
51 |
Description | Counterparty | Exercise Price/ FX Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Recieved by Fund) | Unrealized Appreciation/ (Depreciation) | |||||||||
PURCHASED OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 3,000.00 | 09/17/21 | USD | 2,600 | $1,142,767,600 | $362,817,000 | $305,929,000 | $56,888,000 | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 4,000.00 | 09/17/21 | USD | 2,600 | 1,142,767,600 | 6,656,000 | 23,501,400 | (16,845,400) | ||||||||
TOTAL PURCHASED OPTIONS | $2,285,535,200 | $369,473,000 | $329,430,400 | $40,042,600 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 4,000.00 | 09/17/21 | USD | 2,600 | (1,142,767,600) | (109,213,000) | (66,809,600) | (42,403,400) | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 4,100.00 | 08/20/21 | USD | 130 | (57,138,380) | (139,100) | (291,035) | 151,935 | ||||||||
S&P 500 Index | OCC** | 4,300.00 | 08/20/21 | USD | 300 | (131,857,800) | (858,000) | (1,704,150) | 846,150 | ||||||||
S&P 500 Index | OCC** | 4,350.00 | 08/20/21 | USD | 70 | (30,766,820) | (264,250) | (583,915) | 319,665 | ||||||||
S&P 500 Index | OCC** | 4,375.00 | 08/20/21 | USD | 20 | (8,790,520) | (88,100) | (153,985) | 65,885 | ||||||||
S&P 500 Index | OCC** | 4,390.00 | 08/20/21 | USD | 20 | (8,790,520) | (97,100) | (188,385) | 91,285 | ||||||||
S&P 500 Index | OCC** | 4,400.00 | 08/20/21 | USD | 440 | (193,391,440) | (2,283,600) | (4,324,782) | 2,041,182 | ||||||||
S&P 500 Index | OCC** | 3,000.00 | 09/17/21 | USD | 2,600 | (1,142,767,600) | (760,500) | (2,870,400) | 2,109,900 | ||||||||
TOTAL PUTS | $(1,573,503,080) | $(4,490,650) | $(10,116,652) | $5,626,002 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(2,716,270,680) | $(113,703,650) | $(76,926,252) | $(36,777,398) |
** | The Options Clearing Corp |
52 |
Shares | Value | ||
EXCHANGE-TRADED FUND* — 1.2% | |||
3,500 | iShares MSCI Emerging Markets ETF | $180,600 | |
TOTAL EXCHANGE-TRADED FUND (Cost $128,152) | 180,600 | ||
Face Amount | |||
U.S. TREASURY BILLS* — 24.1% | |||
$1,700,000 | U.S. Treasury Bill, 0.026% due 10/7/211 | 1,699,844 | |
2,000,000 | U.S. Treasury Bill, 0.047% due 01/6/221 | 1,999,520 | |
TOTAL U.S. TREASURY BILLS (Cost $3,699,505) | 3,699,364 | ||
REPURCHASE AGREEMENT* — 7.9% | |||
1,216,673 | With Fixed Income Clearing Corp., dated 7/30/21, 0.00%, principal and interest in the amount of $1,216,673, due 8/2/21, (collateralized by a U.S. Treasury Note with a par value of $1,241,200,
coupon rate of 0.125%, due 03/31/23, market value of $1,241,034) | 1,216,673 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,216,673) | 1,216,673 | ||
TOTAL PURCHASED OPTIONS (Cost $12,670,400) | 92.6% | 14,210,500 | |
TOTAL INVESTMENTS (Cost $17,714,730) | 125.8% | $19,307,137 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (25.8) | (3,954,978) | |
NET ASSETS2 | 100.0% | $15,352,159 |
* | Percentages indicated are based on net assets. |
1 | All or a portion of this security is held as collateral for written options. |
2 | Cash in the amount of $478,332 is held as collateral to secure the open written call and put options contracts. |
53 |
Description | Counterparty | Exercise Price/ FX Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Recieved by Fund) | Unrealized Appreciation/ (Depreciation) | |||||||||
PURCHASED OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 3,000.00 | 09/17/21 | USD | 100 | $43,952,600 | $13,954,500 | $11,766,500 | $2,188,000 | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 4,000.00 | 09/17/21 | USD | 100 | 43,952,600 | 256,000 | 903,900 | (647,900) | ||||||||
TOTAL PURCHASED OPTIONS | $87,905,200 | $14,210,500 | $12,670,400 | $1,540,100 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 4,000.00 | 09/17/21 | USD | 100 | (43,952,600) | (4,200,500) | (2,569,600) | (1,630,900) | ||||||||
PUTS: | |||||||||||||||||
iShares MSCI Emerging Markets ETF | OCC** | 55.00 | 08/20/21 | USD | 250 | (1,290,000) | (86,875) | (45,875) | (41,000) | ||||||||
iShares MSCI EAFE ETF | OCC** | 79.00 | 08/20/21 | USD | 400 | (3,179,600) | (39,400) | (61,379) | 21,979 | ||||||||
Russell 2000 Index | OCC** | 2,200.00 | 08/20/21 | USD | 6 | (1,335,750) | (21,270) | (41,565) | 20,295 | ||||||||
S&P 500 Index | OCC** | 4,380.00 | 08/20/21 | USD | 15 | (6,592,890) | (68,250) | (145,035) | 76,785 | ||||||||
S&P 500 Index | OCC** | 3,000.00 | 09/17/21 | USD | 100 | (43,952,600) | (29,250) | (110,400) | 81,150 | ||||||||
TOTAL PUTS | $(56,350,840) | $(245,045) | $(404,254) | $159,209 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(100,303,440) | $(4,445,545) | $(2,973,854) | $(1,471,691) |
** | The Options Clearing Corp |
54 |
Face Amount | Value | ||
AGENCY NOTES* — 19.4% | |||
Federal Home Loan Bank — 11.4% | |||
$5,000,000 | 0.250% due 12/4/23 | $5,004,287 | |
15,000,000 | 2.750% due 12/13/24 | 16,174,200 | |
7,000,000 | 0.375% due 9/23/25 | 6,940,569 | |
13,000,000 | 3.250% due 11/16/281 | 14,963,952 | |
4,000,000 | 5.500% due 7/15/36 | 6,017,515 | |
49,100,523 | |||
Federal National Mortgage Association — 8.0% | |||
10,000,000 | 2.000% due 10/5/221 | 10,220,652 | |
5,100,000 | 0.250% due 11/27/23 | 5,100,972 | |
10,000,000 | 2.625% due 9/6/241 | 10,710,853 | |
7,960,000 | 2.125% due 4/24/261 | 8,495,941 | |
34,528,418 | |||
TOTAL AGENCY NOTES (Cost $80,572,203) | 83,628,941 | ||
MORTGAGE-BACKED SECURITIES*,2 — 32.6% | |||
Federal Home Loan Mortgage Corporation — 12.8% | |||
7 | # G12342, 5.500% due 8/1/21 | 6 | |
1,593 | # J03604, 5.500% due 10/1/21 | 1,596 | |
3,465 | # J03536, 5.500% due 11/1/21 | 3,473 | |
1,145 | # G18163, 5.500% due 1/1/22 | 1,151 | |
17,338 | # G13396, 5.500% due 12/1/23 | 17,751 | |
32,991 | # D78677, 8.000% due 3/1/27 | 33,632 | |
68,206 | # C00742, 6.500% due 4/1/29 | 76,957 | |
2,089,543 | # J38111, 3.000% due 12/1/32 | 2,217,811 | |
12,833 | # A68937, 6.000% due 11/1/37 | 14,522 | |
185,712 | # A69653, 5.500% due 12/1/37 | 216,511 | |
216,286 | # A73370, 5.000% due 2/1/38 | 247,396 | |
177,272 | # A90421, 4.500% due 12/1/39 | 198,144 | |
137,430 | # A92890, 4.500% due 7/1/40 | 149,551 | |
737,377 | # A97620, 4.500% due 3/1/41 | 821,071 | |
1,128,954 | # C03770, 3.500% due 2/1/42 | 1,224,875 | |
719,626 | # Q07651, 3.500% due 4/1/42 | 784,137 | |
1,352,482 | # Q41208, 3.500% due 6/1/46 | 1,454,716 | |
5,019,268 | # G08737, 3.000% due 12/1/46 | 5,309,767 | |
1,715,832 | # Q45735, 3.000% due 1/1/47 | 1,812,880 | |
3,757,464 | # Q46279, 3.500% due 2/1/47 | 4,009,494 | |
3,790,872 | # Q47596, 4.000% due 4/1/47 | 4,077,427 | |
11,702,860 | # RA3173, 3.000% due 7/1/50 | 12,286,482 | |
3,785,631 | # SD8083, 2.500% due 8/1/50 | 3,946,283 | |
15,474,086 | , 3.000% due 6/1/51 | 16,272,030 | |
55,177,663 | |||
Federal National Mortgage Association — 19.6% | |||
369 | # 125275, 7.000% due 3/1/24 | 388 | |
258,275 | # AH6827, 4.000% due 3/1/26 | 275,061 | |
231,146 | # AI1657, 4.000% due 4/1/26 | 245,770 | |
418,158 | # AB3900, 3.000% due 11/1/26 | 440,650 | |
14,970 | # 373328, 8.000% due 3/1/27 | 15,033 | |
640,387 | # AK4751, 3.000% due 4/1/27 | 678,521 | |
9,435 | # 390895, 8.000% due 6/1/27 | 9,571 | |
1,264,510 | # AO0533, 3.000% due 6/1/27 | 1,339,593 | |
30,420 | # 397602, 8.000% due 8/1/27 | 30,973 | |
499 | # 499335, 6.500% due 8/1/29 | 561 | |
3,179 | # 252806, 7.500% due 10/1/29 | 3,697 | |
203 | # 523497, 7.500% due 11/1/29 | 228 |
55 |
Face Amount | Value | ||
MORTGAGE-BACKED SECURITIES*,2 — (Continued) | |||
Federal National Mortgage Association — (Continued) | |||
$2,797,877 | # BC2462, 3.000% due 2/1/31 | $2,957,190 | |
1,444 | # 588945, 7.000% due 6/1/31 | 1,596 | |
5,034,718 | # AS7429, 2.500% due 6/1/31 | 5,298,014 | |
46,495 | # 607862, 7.000% due 9/1/31 | 51,742 | |
2,050 | # 656872, 6.500% due 8/1/32 | 2,304 | |
3,531,537 | # MA3391, 3.000% due 6/1/33 | 3,725,684 | |
112,062 | # 789856, 6.000% due 8/1/34 | 130,040 | |
29,711 | # 829202, 5.000% due 7/1/35 | 33,386 | |
73,133 | # 826586, 5.000% due 8/1/35 | 82,779 | |
16,939 | # 256216, 7.000% due 4/1/36 | 20,160 | |
46,152 | # 898412, 5.000% due 10/1/36 | 50,629 | |
9,470 | # 910894, 5.000% due 2/1/37 | 10,494 | |
16,277 | # 912456, 6.500% due 3/1/37 | 18,413 | |
236,354 | # 973241, 5.000% due 3/1/38 | 269,987 | |
65,096 | # 975593, 5.000% due 6/1/38 | 74,400 | |
83,812 | # 257573, 5.500% due 2/1/39 | 97,532 | |
240,773 | # AD7128, 4.500% due 7/1/40 | 268,944 | |
10,681,728 | # MA4152, 2.000% due 10/1/40 | 11,011,678 | |
2,782,339 | # AH1568, 4.500% due 12/1/40 | 3,107,906 | |
1,152,632 | # AH6991, 4.000% due 1/1/41 | 1,271,057 | |
576,586 | # AH4004, 4.500% due 3/1/41 | 643,711 | |
557,540 | # AH8351, 4.000% due 3/1/41 | 611,902 | |
615,270 | # AJ1315, 4.000% due 9/1/41 | 679,250 | |
712,675 | # AI8779, 4.000% due 11/1/41 | 785,955 | |
1,053,412 | # AJ5958, 4.000% due 12/1/41 | 1,150,678 | |
359,275 | # AK5070, 3.500% due 3/1/42 | 383,360 | |
1,688,591 | # AK5426, 3.500% due 3/1/42 | 1,830,786 | |
3,840,137 | # AT7682, 3.500% due 6/1/43 | 4,206,759 | |
2,200,958 | # AS6326, 3.500% due 12/1/45 | 2,369,000 | |
1,929,335 | # AS6881, 3.500% due 3/1/46 | 2,070,004 | |
2,475,227 | # BC0960, 4.000% due 6/1/46 | 2,682,772 | |
1,657,073 | # AS8966, 4.000% due 3/1/47 | 1,783,663 | |
2,212,803 | # AS9988, 4.500% due 7/1/47 | 2,403,302 | |
2,419,377 | # MA3210, 3.500% due 12/1/47 | 2,577,311 | |
2,024,491 | # BJ9251, 3.500% due 6/1/48 | 2,147,794 | |
7,951,196 | # FM3727, 3.000% due 7/1/50 | 8,351,448 | |
6,368,483 | # BQ2863, 2.500% due 9/1/50 | 6,640,400 | |
10,802,761 | # CA7231, 2.500% due 10/1/50 | 11,286,449 | |
84,128,525 | |||
Government National Mortgage Association — 0.2% | |||
9,568 | # 476259, 7.000% due 8/15/28 | 9,605 | |
4,083 | # 485264, 7.500% due 2/15/31 | 4,099 | |
6,809 | # 559304, 7.000% due 9/15/31 | 6,911 | |
140,357 | # 651859, 5.000% due 6/15/36 | 160,265 | |
105,686 | # 782150, 5.500% due 4/15/37 | 124,355 | |
14,223 | # 662521, 6.000% due 8/15/37 | 16,365 | |
33,458 | # 677545, 6.000% due 11/15/37 | 37,574 | |
20,918 | # 676291, 6.000% due 12/15/37 | 23,438 | |
34,356 | # 685836, 5.500% due 4/15/38 | 38,560 | |
198,609 | # 698235, 5.000% due 6/15/39 | 228,264 | |
649,436 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $137,471,264) | 139,955,624 |
56 |
Face Amount | Value | ||
CORPORATE NOTES* — 23.8% | |||
Banking — 7.7% | |||
$5,000,000 | Bank of America Corp., (3M USD LIBOR * 1.51 + 3.71%), 3.705% due 4/24/283 | $5,563,967 | |
5,000,000 | Bank of America Corp., (3M USD LIBOR * 1.81 + 4.42%), 4.244% due 4/24/383 | 5,974,233 | |
3,000,000 | Bank of America Corp., (SOFR* 1.01 + 1.20%), 1.197% due 10/24/263 | 2,995,478 | |
6,000,000 | JPMorgan Chase & Co., (3M USD LIBOR * 0.95 + 3.51%), 3.509% due 1/23/293 | 6,661,747 | |
5,000,000 | JPMorgan Chase & Co., (SOFR* 1.11 + 1.76%), 1.764% due 11/19/313 | 4,864,810 | |
6,500,000 | PNC Bank NA, 3.250% due 6/1/251 | 7,092,085 | |
33,152,320 | |||
Beverages, Food & Tobacco — 0.2% | |||
1,000,000 | Archer-Daniels-Midland Co., 2.750% due 3/27/25 | 1,067,380 | |
Communications — 4.3% | |||
14,000,000 | Amazon.com, Inc., 4.800% due 12/5/34 | 18,299,242 | |
Computer Software & Processing — 5.8% | |||
1,000,000 | Alphabet, Inc., 2.050% due 8/15/50 | 905,920 | |
11,250,000 | Apple, Inc., 4.500% due 2/23/36 | 14,488,705 | |
8,000,000 | Microsoft Corp., 3.450% due 8/8/36 | 9,461,682 | |
24,856,307 | |||
Heavy Machinery — 2.1% | |||
4,000,000 | Caterpillar, Inc., 2.600% due 4/9/30 | 4,308,003 | |
4,750,000 | John Deere Capital Corp., 0.700% due 7/5/23 | 4,786,228 | |
9,094,231 | |||
Insurance — 1.3% | |||
5,100,000 | Aflac, Inc., 2.875% due 10/15/26 | 5,537,764 | |
Pharmaceuticals — 2.4% | |||
5,000,000 | Johnson & Johnson, 2.450% due 9/1/60 | 4,910,990 | |
5,000,000 | Merck & Co., Inc., 2.750% due 2/10/25 | 5,349,280 | |
10,260,270 | |||
TOTAL CORPORATE NOTES (Cost $94,826,556) | 102,267,514 | ||
U.S. TREASURY NOTES/BONDS* — 21.7% | |||
8,000,000 | U.S. Treasury Bonds, 6.625% due 2/15/27 | 10,546,250 | |
7,000,000 | U.S. Treasury Bonds, 3.500% due 2/15/39 | 9,002,109 | |
4,000,000 | U.S. Treasury Bonds, 3.125% due 11/15/41 | 4,912,344 |
57 |
Face Amount | Value | ||
U.S. TREASURY NOTES/BONDS* — (Continued) | |||
$9,000,000 | U.S. Treasury Bonds, 3.750% due 11/15/43 | $12,170,039 | |
10,000,000 | U.S. Treasury Bonds, 2.250% due 8/15/46 | 10,715,625 | |
3,000,000 | U.S. Treasury Bonds, 3.000% due 5/15/47 | 3,690,586 | |
5,000,000 | U.S. Treasury Notes, 2.125% due 11/30/23 | 5,219,141 | |
6,000,000 | U.S. Treasury Notes, 2.500% due 1/31/24 | 6,333,516 | |
10,000,000 | U.S. Treasury Notes, 2.875% due 5/31/25 | 10,898,437 | |
7,000,000 | U.S. Treasury Notes, 2.625% due 12/31/25 | 7,614,414 | |
6,000,000 | U.S. Treasury Notes, 2.250% due 8/15/27 | 6,492,422 | |
5,000,000 | U.S. Treasury Notes, 3.125% due 11/15/28 | 5,737,305 | |
TOTAL U.S. TREASURY NOTES/BONDS (Cost $89,553,355) | 93,332,188 | ||
REPURCHASE AGREEMENT* — 2.0% | |||
8,551,925 | With Fixed Income Clearing Corp., dated 7/30/21, 0.00%, principal and interest in the amount of $8,551,925, due 8/2/21, (collateralized by a U.S. Treasury Note with a par value of $8,724,200,
coupon rate of 0.125%, due 03/31/23, market value of $8,723,033) | 8,551,925 | |
TOTAL REPURCHASE AGREEMENT (Cost $8,551,925) | 8,551,925 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 4.9% | |||
20,908,195 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 20,908,195 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $20,908,195) | 20,908,195 | ||
TOTAL INVESTMENTS (Cost $431,883,498) | 104.4% | $448,644,387 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (4.4) | (18,709,048) | |
NET ASSETS | 100.0% | $429,935,339 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | Represents current face amount at July 31, 2021. |
3 | Floating Rate Bond. Rate shown is as of July 31, 2021. |
4 | Represents an investment of securities lending cash collateral. |
58 |
Face Amount | Value | ||
CORPORATE NOTES* — 1.0% | |||
Health Care Services — 1.0% | |||
$500,000 | CommonSpirit Health, 1.547% due 10/1/251 | $507,121 | |
TOTAL CORPORATE NOTES (Cost $502,156) | 507,121 | ||
MUNICIPAL BONDS* — 95.9% | |||
Alabama — 0.8% | |||
325,000 | Alabama State Public School and College Authority, Revenue Bonds, Series C, 5.000% due 9/1/22 | 342,301 | |
100,000 | Southeast Energy Authority, AL, Cooperative District, Revenue Bonds, Series A, 4.000% due 10/1/23 | 107,929 | |
450,230 | |||
Arizona — 1.8% | |||
250,000 | City of Phoenix, AZ, Civic Improvement Corporation Airport, AMT, Junior Line Airport, Revenue Bonds, Series B, 5.000% due 7/1/23 | 272,821 | |
100,000 | City of Yuma AZ, Revenue Bonds, Taxable, 0.527% due 7/15/23 | 100,207 | |
175,000 | City of Yuma AZ, Revenue Bonds,Refunding, 4.000% due 7/1/23 | 187,499 | |
400,000 | Yuma, AZ, Municipal Property Corp., Excise Tax Revenue, Revenue Bonds, Refunding, 5.000% due 7/1/22 | 417,678 | |
978,205 | |||
California — 3.0% | |||
340,000 | California State University, Revenue Bonds, Series D, 0.885% due 11/1/25 | 341,555 | |
California State, General Obligation Unlimited, Refunding: | |||
500,000 | 5.000% due 9/1/232 | 549,199 | |
300,000 | 5.000% due 4/1/24 | 338,947 | |
350,000 | City of Los Angeles, CA, Department of Airports, Airports, Revenue Bonds, Series D, 5.000% due 5/15/23 | 380,092 | |
1,609,793 | |||
Colorado — 3.4% | |||
450,000 | City and County of Denver, CO, Airport, Revenue Bonds, Variable Refunding, Govermental, Series C, 0.877% due 11/15/23 | 454,109 | |
200,000 | City and County of Denver, CO, Airport, Revenue Bonds, Variable Refunding, Govermental, Series D, 5.000% due 11/15/313 | 212,213 | |
125,000 | Colorado State Housing and Finance Authority, Revenue Bonds, AMT - Class 1 Bonds, Series A (GNMA Insured), 1.400% due 11/1/22 | 126,298 | |
750,000 | E-470, CO, Public Highway Authority, Revenue Bonds, Variable Refunding, Series B, (SOFR*0.67+0.35%) 0.357% , 0.384% due 9/1/394 | 751,019 | |
250,000 | Larimer Weld and Boulder County, CO School District R-2J Thompson, General Obligation Unlimited,Refunding, 5.000% due 12/15/21 | 254,542 | |
1,798,181 | |||
Connecticut — 5.3% | |||
605,000 | Connecticut Housing Finance Authority, Revenue Bonds, Taxable Refunding, Series A, 0.300% due 11/15/22 | 605,205 | |
750,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds, Refunding, Nuvance Halthe Issue, Series A, 1.100% due 7/1/483 | 760,919 |
59 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Connecticut — (Continued) | |||
$500,000 | Connecticut State, Special Tax Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 1/1/232 | $529,664 | |
285,000 | Connecticut, CT, General Obligation Unlimited, Refunding, Series C, 5.000% due 6/1/24 | 296,490 | |
100,000 | Metropolitan District (The), CT, Revenue Bonds, Taxable Refunding, 0.411% due 4/1/22 | 100,092 | |
University of Connecticut, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 11/15/23 | 265,199 | |
250,000 | 5.000% due 8/15/26 | 273,205 | |
2,830,774 | |||
District Of Columbia — 2.1% | |||
1,000,000 | Metropolitan Washington, DC, Airports Authority, Airport System, Revenue Bonds, AMT - Forward Delivery, Refunding, Series A, 5.000% due 10/1/24 | 1,147,938 | |
Florida — 5.9% | |||
275,000 | Central Florida Expressway Authority Senior Line, Revenue Bonds, Series A, 5.000% due 7/1/23 | 300,325 | |
335,000 | County of Broward FL Airport System Revenue, Revenue Bonds, AMT, Series A, Prerefunded 10/01/23 @ 100, 5.250% due 10/1/27 | 371,077 | |
500,000 | County of Broward FL Port Facilities, Revenue Bonds, Refunding, Subordinate Bond, Series D, 5.000% due 9/1/24 | 567,379 | |
385,000 | Hillsborough County School Board, FL, Revenue Bonds, Refunding, AGM, 5.000% due 10/1/23 | 424,166 | |
390,000 | Manatee County, FL, Port Authority, Revenue Bonds,Taxable Refunding, 0.619% due 10/1/24 | 390,415 | |
255,000 | Orlando & Orange County, FL, Expressway Authority, Revenue Bonds, Refunding, 5.000% due 7/1/23 | 266,352 | |
535,000 | Orlando, FL, Utilities Commission, Revenue Bonds, Series A, 5.000% due 10/1/23 | 591,390 | |
245,000 | School District of Broward County/FL, Certificate Participation, Refunding, BAM-TCRS, 5.000% due 7/1/23 | 267,414 | |
3,178,518 | |||
Georgia — 0.4% | |||
200,000 | Atlanta, GA, Airport General Revenue, Revenue Bonds, Series C, 5.000% due 1/1/23 | 203,973 | |
Illinois — 5.2% | |||
500,000 | Chicago, IL, O’Hare International Airport, Revenue Bonds, Refunding, Series B, 5.672% due 1/1/22 | 510,863 | |
300,000 | Cook County, IL, School District No. 100 South Berwyn, General Obligation Unlimited, Refunding, (BAM), 4.000% due 12/1/23 | 324,868 | |
500,000 | DeKalb County, IL, Community Unit School District No. 428 DeKalb, General Obligation Unlimited, Refunding, 5.000% due 1/1/24 | 556,362 | |
225,000 | Illinois State Toll Highway Authority, Revenue Bonds, Refunding, Series D, 5.000% due 1/1/23 | 240,563 | |
500,000 | Illinois State, General Obligation Unlimited, Series C, 4.000% due 3/1/24 | 546,250 | |
255,000 | McHenry County, IL, Conservation District, General Obligation Unlimited, Refunding, 5.000% due 2/1/24 | 284,761 | |
295,000 | St. Clair County, IL, Community Unit School District No 19, General Obligation Unlimited, Refunding, 4.000% due 2/1/22 | 300,636 | |
2,764,303 |
60 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Kansas — 0.8% | |||
$375,000 | Wyandotte County-Kansas City Unified Government, General Obligation Unlimited, Series A, (AGMC Insured), 4.000% due 8/1/24 | $416,239 | |
Kentucky — 1.7% | |||
Kentucky State Property & Building Commission, Revenue Bonds, Refunding Project No. 112, Series B: | |||
260,000 | 5.000% due 11/1/21 | 263,117 | |
285,000 | 5.000% due 11/1/24 | 327,584 | |
300,000 | Louisville & Jefferson County, KY, Metropolitan Government Health System Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/23 | 330,932 | |
921,633 | |||
Louisiana — 1.7% | |||
400,000 | Louisiana State, General Obligation Unlimited, Series A, 4.000% due 9/1/21 | 401,222 | |
500,000 | New Orleans, LA, Sewage Service Revenue, Revenue Bonds, Refunding, 5.000% due 6/1/22 | 519,223 | |
920,445 | |||
Maryland — 1.5% | |||
250,000 | Maryland State Department of Transportation, Revenue Bonds, Taxable Refunding, Series A, 0.806% due 8/1/25 | 250,039 | |
500,000 | Maryland State, General Obligation Unlimited, Refunding, Series B, 5.000% due 8/1/24 | 572,785 | |
822,824 | |||
Michigan — 5.1% | |||
500,000 | Hazel Park, MI, School District, General Obligation Unlimited, Refunding, Q-SBLF, 4.000% due 5/1/24 | 550,974 | |
425,000 | Maple Valley, MI, Schools, General Obligation Unlimited, Refunding (QSBLF Insured), 4.000% due 5/1/23 | 452,578 | |
500,000 | Michigan State Building Authority, Revenue Bonds,Taxable Refunding, 0.461% due 10/15/22 | 501,815 | |
200,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/23 | 217,195 | |
200,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Refunding, Series MI-1, 5.000% due 12/1/23 | 222,543 | |
250,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Taxable-Refunding-Trainity Health Credit Group, Series T, 2.208% due 12/1/23 | 259,742 | |
500,000 | Michigan State, Finance Authority Revenue, Revenue Bonds, Series 2019B, 3.500% due 11/15/443 | 519,150 | |
2,723,997 | |||
Minnesota — 1.1% | |||
500,000 | Minneapolis-St Paul, MN, Metropolitan Airports Commission, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/25 | 575,819 | |
Nebraska — 0.2% | |||
100,000 | City of Lincoln NE Electric System Revenue, Revenue Bonds, Taxable Refunding, Series B, 0.399% due 9/1/23 | 100,247 | |
Nevada — 0.9% | |||
210,000 | Clark County School District, General Obligation, Ltd., Refunding, Series A, 5.000% due 6/15/24 | 238,420 | |
240,000 | Clark County School District, General Obligation, Ltd., Series D, 5.000% due 6/15/24 | 272,481 | |
510,901 |
61 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New Jersey — 3.7% | |||
$250,000 | County of Morris NJ, County Improvement Authority Revenue, Revenue Bonds, Series B, 0.571% due 2/1/24 | $249,563 | |
200,000 | New Jersey Economic Development Authority, Revenue Bonds, 5.000% due 3/1/23 | 205,533 | |
525,000 | New Jersey State Economic Development Authority Revenue, Revenue Bonds, Refunding, Series NN, 5.000% due 3/1/22 | 539,565 | |
180,000 | New Jersey State Turnpike Authority, Revenue Bonds ,Series B, 5.000% due 1/1/23 | 192,106 | |
525,000 | New Jersey Turnpike Authority, Revenue Bonds, Taxable Refunding, Series B, 0.638% due 1/1/24 | 526,652 | |
275,000 | Township of Pennsauken NJ, General Obligation Unlimited, Taxable Refunding, 0.760% due 8/15/23 | 275,426 | |
1,988,845 | |||
New York — 7.2% | |||
615,000 | City of New York, General Obligation Unlimited,Refunding, Series B, 5.000% due 8/1/23 | 675,122 | |
500,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, 2.800% due 11/1/23 | 526,239 | |
New York State Dormitory Authority, Personal Income Tax, Revenue Bonds, Refunding, Series A: | |||
125,000 | 4.000% due 12/15/22 | 131,727 | |
250,000 | 5.000% due 3/15/24 | 281,863 | |
New York State Dormitory Authority, Sales Tax Revenue, Revenue Bonds, Series 2015B-A: | |||
210,000 | 5.000% due 3/15/23 | 226,736 | |
150,000 | 5.000% due 3/15/24 | 169,217 | |
New York State Urban Development Corp., Personal Income Tax, Revenue Bonds: | |||
250,000 | 5.000% due 3/15/22 | 257,625 | |
365,000 | 0.720% due 3/15/23 | 365,898 | |
350,000 | New York, Metropolitan Transportation Authority Revenue, Dedicated Tax Fund,Revenue Bonds, Series A, 5.255% due 11/15/22 | 371,518 | |
Port Authority of New York and New Jersey, Revenue Bonds: | |||
310,000 | 1.086% due 7/1/23 | 314,376 | |
200,000 | 5.000% due 10/15/23 | 220,744 | |
295,000 | Triborough Bridge and Tunnel Authority, NY, General Revenue Bonds, Refunding, Series A, 5.000% due 11/15/24 | 341,133 | |
3,882,198 | |||
North Carolina — 0.2% | |||
100,000 | New Hanover County, NC, Hospital Revenue, Revenue Bonds, Refunding, 5.000% due 10/1/21 | 100,766 | |
Ohio — 4.5% | |||
City of Akron OH Income Tax Revenue, Revenue Bonds: | |||
355,000 | 4.000% due 12/1/22 | 372,234 | |
360,000 | 4.000% due 12/1/23 | 390,455 | |
325,000 | Ohio State, Higher Educational Facility Commission, Revenue Bonds, Refunding, 5.000% due 10/1/23 | 355,396 | |
425,000 | Ohio State, Hospital Facilities Revenue, Revenue Bonds, Series A, 5.000% due 1/15/23 | 434,260 | |
340,000 | Ohio State, Hospital Facilities Revenue, Revenue Bonds, Series B, 5.000% due 1/1/262 | 404,027 | |
390,000 | State of Ohio, General Obligation Unlimited, Series C, 5.000% due 3/1/24 | 438,792 | |
2,395,164 | |||
Pennsylvania — 17.3% | |||
475,000 | Allegheny County, PA, General Obligation Unlimited, Refunding, Series C-75, 4.000% due 11/1/21 | 479,487 |
62 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
$300,000 | Allegheny County, PA, Hospital Development Authority, Revenue Bonds, Refunding University of Pittsburgh, Series A, 5.000% due 7/15/23 | $328,308 | |
325,000 | Allegheny County, PA, Hospital Development Authority, Revenue Bonds, Refunding University of Pittsburgh Center Series A, 5.000% due 7/15/25 | 384,023 | |
Bensalem Township, PA, School District, General Obligation Limited, Taxable Refunding: | |||
175,000 | 1.855% due 6/1/22 | 177,223 | |
160,000 | 1.917% due 6/1/23 | 164,407 | |
215,000 | 1.972% due 6/1/24 | 223,238 | |
400,000 | Bucks County, PA, Centennial School District, General Obligation Limited, Refunding, Series B, (State Aid Withholding), 5.000% due 12/15/21 | 407,193 | |
675,000 | City of Philadelphia PA, General Obligation Unlimited, Refunding, 5.000% due 8/1/22 | 707,816 | |
515,000 | City of Philadelphia, PA, Airport Revenue, Revenue Bonds, AMT Refunding, Series B, 5.000% due 7/1/24 | 585,241 | |
750,000 | Delaware Valley, PA, Regional Finance Authority, Revenue Bonds, Refunding,Series B, 5.000% due 11/1/24 | 859,179 | |
460,000 | East Norriton-Plymouth-Whitpain, PA, Joint Sewer Authority, Revenue Bonds, Refunding, 0.904% due 8/1/23 | 460,610 | |
400,000 | Lehigh Country, PA, General Purpose Hospital, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/23 | 437,321 | |
Montgomery County, PA, Higher Education and Health Authority, Revenue Bonds, Refunding: | |||
200,000 | 0.409% due 5/1/23 | 199,539 | |
425,000 | 5.000% due 9/1/23 | 465,234 | |
100,000 | Montgomery County, PA, Industrial Development Authority, Revenue Bonds, Refunding, 4.000% due 12/1/22 | 104,745 | |
400,000 | New Castle Area School District, PA, General Obligation Ltd, BAM ST AID WITHHLDG, 3.000% due 3/1/23 | 416,559 | |
290,000 | New Castle Sanitation Authority, PA, Revenue Bonds, Taxable Refunding, AGM, 1.017% due 6/1/24 | 289,305 | |
510,000 | New Kensington, PA, Municipal Sanitary Authority, Revenue Bonds, (AGMC Insured), 0.592% due 12/1/23 | 510,005 | |
500,000 | Pennsylvania State University, Taxable, Revenue Bonds, Series B, 1.780% due 9/1/25 | 520,917 | |
400,000 | Pennsylvania State University, Tax-Exempt, Revenue Bonds, Series E, 5.000% due 3/1/24 | 450,043 | |
200,000 | Philadelphia, PA, School District, General Obligation Ltd, Series A (State Aid Withholding), 5.000% due 9/1/23 | 219,504 | |
200,000 | Pittsburgh, PA, School District, General Obligation Unlimited, Refunding, Series A, (State Aid Withholding), 5.000% due 9/1/22 | 200,763 | |
105,000 | Public Parking Authority of Pittsburgh, Revenue Bonds, Prefunded, Series A, 5.000% due 12/1/23 | 116,673 | |
195,000 | Public Parking Authority of Pittsburgh, Revenue Bonds, Unrefunded ,Series A, 5.000% due 12/1/23 | 214,097 | |
355,000 | State Public School Building Authority Paclg, Revenue Bonds, Refunding-Community College of Allegheny Co. Project, Series B (BAM), 4.000% due 7/15/22 | 368,158 | |
9,289,588 | |||
Rhode Island — 0.8% | |||
400,000 | Rhode Island State, Health and Educational Building Corporation, Public School Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/22 | 415,362 |
63 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
South Carolina — 0.7% | |||
$350,000 | Charleston, SC, Educational Excellence Finance Corp., Revenue Bonds, Taxable Refunding, 0.527% due 12/1/22 | $351,061 | |
South Dakota — 0.4% | |||
230,000 | South Dakota State Building Authority, Revenue Bonds, Refunding, Series B, 0.676% due 9/1/23 | 230,124 | |
Tennessee — 0.5% | |||
250,000 | Memphis-Shelby County Airport Authority, Revenue Bonds, Refunding, Series C, 5.000% due 7/1/23 | 272,972 | |
Texas — 10.9% | |||
Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Series A, (PSF Guaranteed): | |||
325,000 | 5.000% due 8/15/22 | 341,311 | |
310,000 | 5.000% due 8/15/23 | 339,608 | |
100,000 | Central Texas Regional Mobility Authority, Revenue Bonds, Taxable Refunding, Series C, 1.345% due 1/1/24 | 100,948 | |
Cities of Dallas and Fort Worth International Airport, Revenue Bonds, Refunding, Series A: | |||
500,000 | 5.000% due 11/1/24 | 577,167 | |
285,000 | 2.039% due 11/1/24 | 297,497 | |
260,000 | City of Grand Prairie TX, Revenue Bonds, 3.000% due 2/15/24 | 276,319 | |
City of Houston TX Airport System Revenue, Revenue Bonds, Refunding, Series C: | |||
100,000 | 1.054% due 7/1/23 | 101,197 | |
170,000 | 5.000% due 7/1/24 | 193,346 | |
300,000 | 1.272% due 7/1/24 | 305,734 | |
300,000 | Harris County, TX, Senior Lien, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/21 | 300,497 | |
170,000 | Harris County, TX, Toll Road Authority, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/22 | 178,696 | |
225,000 | Houston, TX, Community College, General Obligation Limited, 5.000% due 2/15/23 | 241,723 | |
190,000 | North East, TX, Independent School District, General Obligation Unlimited, Series B, (PSF Guaranteed), 1.420% due 8/1/403 | 190,000 | |
695,000 | North Texas Tollway Authority, Revenue Bonds, 1.020% due 1/1/25 | 700,125 | |
555,000 | North Texas, Tollway Authority Revenue, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/23 | 593,144 | |
200,000 | Pleasanton Independent School District, TX, General Obligation Unlimited, PSF-GTD, 5.000% due 8/15/23 | 219,661 | |
320,000 | Texas State, TX, A&M University Revenue, Revenue Bonds, Series B, Prerefunded 5/15/23 @ 100, 5.000% due 5/15/32 | 347,689 | |
565,000 | Texas, TX, College Student Loan, General Obligation Unlimited, 5.500% due 8/1/21 | 565,000 | |
5,869,662 | |||
Virginia — 2.3% | |||
200,000 | County of Fairfax VA,General Obligation Unlimited, Refunding, Series B (State Aid Withholding), 0.645% due 10/1/25 | 200,035 | |
200,000 | County of Fairfax VA,General Obligation Unlimited, Series A (State Aid Withholding), 4.000% due 10/1/23 | 216,946 | |
250,000 | Greater Richmond, VA, Convention Center Authority, Revenue Bonds, 5.000% due 6/15/23 | 270,286 | |
520,000 | Virginia College Building Authority, Revenue Bonds, 5.000% due 2/1/23 | 558,489 | |
1,245,756 |
64 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Washington — 3.5% | |||
$425,000 | Central Puget Sound Regional Transit Authority, WA, Revenue Bonds, Refunding ,Series S-1, 5.000% due 11/1/25 | $450,555 | |
350,000 | Chelan County, WA, Public Utility District No 1, Revenue Bonds, Refunding, Series A (NPFG Insured), 0.000% due 6/1/235 | 348,215 | |
425,000 | Klickitat Country, WA, Public Utility Distic, Revenue Bonds, Refunding, Series B (AGMC Insured), 2.277% due 12/1/23 | 440,431 | |
125,000 | Lewis County, WA, Public Utility District No 1, Cowlitz Falls Hydroelectric Project, Revenue Bonds, Refunding, 5.000% due 10/1/22 | 132,166 | |
120,000 | Port of Seattle WA, Revenue Bonds, Refunding, Series A, 5.000% due 8/1/25 | 125,735 | |
250,000 | Port of Seattle WA, Revenue Bonds, Series D, 0.767% due 8/1/24 | 250,390 | |
110,000 | Washington State Housing Finance Commission, Revenue Bonds, AMT - Refunding, Series 2A (GNMA / FNMA / FHLMC), 1.700% due 12/1/21 | 110,430 | |
1,857,922 | |||
Wisconsin — 2.2% | |||
150,000 | City of Milwaukee WI, General Obligation Unlimited, Refunding, Series N-4, 5.000% due 4/1/25 | 175,378 | |
215,000 | Eau Claire WI, General Obligation Unlimited, Refunding, Series D, 1.400% due 4/1/24 | 219,194 | |
250,000 | Wisconsin State, WI, Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/23 | 277,417 | |
150,000 | Wisconsin State, WI, Housing and Economic Development Authority, Revenue Bonds, Series A, 1.550% due 11/1/383 | 150,157 | |
325,000 | Wisconsin State, WI, Transportation Revenue, Revenue Bonds, Series 2, 5.000% due 7/1/23 | 339,622 | |
1,161,768 | |||
Wyoming — 0.8% | |||
400,000 | Wyoming State, Community Development Authority, Revenue Bonds, Series 1, 1.950% due 12/1/22 | 408,511 | |
TOTAL MUNICIPAL BONDS (Cost $50,740,233) | 51,423,719 | ||
Shares | |||
REGISTERED INVESTMENT COMPANIES* — 0.8% | |||
41,460 | ESC CEF Blackrock Municipal | 0 | |
6,700 | VanEck Vectors High-Yield Municipal Index ETF | 427,929 | |
TOTAL REGISTERED INVESTMENT COMPANIES (Cost $405,447) | 427,929 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 4.4% | |||
2,364,452 | With Fixed Income Clearing Corp., dated 7/30/21, 0.00%, principal and interest in the amount of $2,364,452, due 8/2/21, (collateralized by a U.S. Treasury Note with a par value of $2,412,100,
coupon rate of 0.125%, due 03/31/23, market value of $2,411,777) | 2,364,452 | |
TOTAL REPURCHASE AGREEMENT (Cost $2,364,452) | 2,364,452 |
65 |
Shares | Value | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.9% | |||
503,360 | State Street Navigator Securities Lending Government Money Market Portfolio6 | $503,360 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $503,360) | 503,360 | ||
TOTAL INVESTMENTS (Cost $54,515,648) | 103.0% | $55,226,581 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (3.0) | (1,609,583) | |
NET ASSETS | 100.0% | $53,616,998 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | When-issued security. |
3 | Variable/Floating interest rate security. Certain variable/floating interest rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. Rate presented is as of July 31, 2021. |
4 | Floating Rate Bond. Rate shown is as of July 31, 2021. |
5 | Zero Coupon Bond. |
6 | Represents an investment of securities lending cash collateral. |
Abbreviations: |
AGMC — Assured Guaranty Municipal Corporation |
AMT — Alternative Minimum Tax |
BAM — Build America Mutual |
FHLMC — Federal Home Loan Mortgage Corporation |
FNMA — Federal National Mortgage Association |
GNMA — Government National Mortgage Association |
NPFG — National Public Finance Guarantee Corporation |
PSF — Permanent School Fund |
QSBLF — Michigan Qualified School Bond Loan Fund |
66 |
Face Amount | Value | ||
MUNICIPAL BONDS* — 99.3% | |||
Alabama — 1.0% | |||
$500,000 | Jefferson County, AL, Sewer Revenue Warrants, Series E, 0.000% due 10/1/341 | $217,980 | |
500,000 | Jefferson County, AL, Sewer Revenue, Series B, (AGMC Insured), 0.000% due 10/1/251 | 460,290 | |
1,070,000 | Jefferson County, AL, Sewer Revenue, Warrants, Series D, 6.000% due 10/1/42 | 1,242,409 | |
500,000 | Montgomery, AL, Medical Clinic, Board Health Care Facility Revenue, Refunding, 5.000% due 3/1/30 | 570,539 | |
250,000 | Selma Industrial Development Board, Gulf Opportunity Zone Revenue, Revenue Bonds, Series A, 2.000% due 11/1/332 | 263,118 | |
2,754,336 | |||
Alaska — 0.4% | |||
975,000 | Alaska State, Housing Finance Corp., Revenue Bonds, Series A, 4.000% due 12/1/48 | 1,083,765 | |
Arizona — 3.7% | |||
300,000 | Arizona State, Industrial Development Authority, Education Revenue, Basis Schools Projects, Revenue Bonds, Refunding, Series A, 5.250% due 7/1/473 | 345,689 | |
500,000 | Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/323 | 516,667 | |
Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/493 | 266,125 | |
125,000 | 5.000% due 7/15/493 | 142,844 | |
250,000 | 4.000% due 7/15/503 | 269,316 | |
300,000 | Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Series B, 5.500% due 7/1/383 | 351,073 | |
970,389 | Arizona State, Industrial Development Authority, Municipal Certificates, Revenue Bonds, Series A, 3.625% due 5/20/33 | 1,116,102 | |
40,000 | Florence Town, Inc., AZ, Industrial Development Authority, Legacy Traditional School Project, Revenue Bonds, 5.000% due 7/1/23 | 42,141 | |
250,000 | Glendale, AZ, Industrial Development Authority, Senior Living Facility, Revenue Bonds, 5.000% due 5/15/39 | 274,361 | |
2,250,000 | Industrial Development Authority of the County of Yavapai, AZ, Revenue Bonds, Refunding, 0.120% due 4/1/292 | 2,250,049 | |
290,000 | La Paz County, AZ, Industrial Development Authority, Revenue Bonds,Series A, 5.000% due 2/15/463 | 305,846 | |
750,000 | Maricopa County, AZ, Industrial Development Authority, Educational Revenue, Revenue Bonds, Refunding, 5.000% due 7/1/363 | 855,489 | |
375,000 | Maricopa County, AZ, Industrial Development Authority, Revenue Bonds, Series A, 6.000% due 7/1/523 | 453,585 | |
250,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Basis Schools, Inc., Revenue Bonds, 5.000% due 7/1/453 | 278,475 | |
500,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Basis Schools, Inc., Revenue Bonds, Refunding, 5.000% due 7/1/353 | 561,365 | |
Phoenix, AZ, Industrial Development Authority, Education Revenue, Legacy Traditional Schools Project, Revenue Bonds, Series A: | |||
195,000 | 5.750% due 7/1/243 | 212,246 | |
500,000 | 6.750% due 7/1/443 | 578,602 | |
1,000,000 | 0.020% due 11/15/522 | 1,000,000 | |
500,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Revenue Bonds, Series A, 5.000% due 7/1/463 | 557,422 |
67 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Arizona — (Continued) | |||
$135,000 | Pima, AZ, Industrial Development Authority, Education Revenue, Revenue Bonds, Refunding, 5.000% due 6/15/493 | $144,299 | |
150,000 | Tempe, AZ, Industrial Development Authority, Revenue Bonds, 5.000% due 12/1/54 | 163,045 | |
10,684,741 | |||
California — 4.1% | |||
California Community Housing Agency, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 8/1/493 | 289,928 | |
195,000 | 4.000% due 2/1/563 | 223,324 | |
250,000 | California Educational Facilities Authority, Revenue Bonds, Series V-1, 5.000% due 5/1/49 | 404,402 | |
1,000,000 | California Health Facilities Financing Authority, Revenue Bonds, Series A, 5.000% due 11/1/47 | 1,564,113 | |
179,147 | California Housing Finance Agency, Revenue Bonds, 3.500% due 11/20/35 | 213,406 | |
100,000 | California Infrastructure & Economic Development Bank, Revenue Bonds, Series A, 5.000% due 1/1/563 | 119,550 | |
1,885,000 | California Infrastructure & Economic Development Bank, Revenue Bonds, Series B, 0.000% due 1/1/611,3 | 192,043 | |
250,000 | California Public Finance Authority, Revenue Bonds, Refunding, 5.000% due 10/15/47 | 295,539 | |
400,000 | California School Finance Authority, Revenue Bonds, Series A, 6.375% due 7/1/463 | 459,493 | |
291,690 | California State, Housing Finance Agency Municipal Certificates, Revenue Bonds, Series A, 4.250% due 1/15/35 | 361,330 | |
California State, Municipal Finance Authority, Educational Revenue, Revenue Bonds, Refunding, Series A: | |||
360,000 | 5.000% due 6/1/36 | 417,277 | |
500,000 | 5.000% due 6/1/46 | 571,693 | |
300,000 | California State, Municipal Finance Authority, Revenue Bonds, Series A, 5.000% due 11/1/463 | 350,285 | |
335,000 | California State, School Financing Authority, Rocketship Education Obligated Group, Revenue Bonds, Series A, 5.250% due 6/1/523 | 375,344 | |
250,000 | California State, Statewide Communities Development Authority, CHF Irvine LLC, Revenue Bonds, Refunding, 5.000% due 5/15/29 | 301,134 | |
500,000 | California State, Statewide Communities Development Authority, Revenue Bonds, Series A, 5.250% due 12/1/563 | 566,372 | |
785,000 | California State, Statewide Communities Development Authority, Student Housing Revenue, Revenue Bonds, 4.305% due 7/1/32 | 843,868 | |
CSCDA Community Improvement Authority, CA, Revenue Bonds, Series A: | |||
250,000 | 4.000% due 10/1/563 | 274,738 | |
100,000 | 3.000% due 12/1/56 | 103,936 | |
100,000 | CSCDA Community Improvement Authority, CA, Revenue Bonds, Series B, 4.000% due 12/1/563 | 111,264 | |
1,000,000 | Golden, CA, Tobacco Securitization Corp., Tabacco Settelment, Revenue Bonds, Series B, 0.000% due 6/1/471 | 225,010 | |
600,000 | Hastings Campus Housing Finance Authority, CA, Revenue Bonds, 5.000% due 7/1/45 | 730,761 | |
500,000 | Hastings Campus Housing Finance Authority, CA, Revenue Bonds, Series A, 5.000% due 7/1/61 | 600,174 | |
720,000 | Madera, CA, Unified School District, General Obligation Unlimited, (NPFG Insured), 0.000% due 5/1/301 | 637,600 | |
250,000 | Oroville, CA, Revenue Bonds, 5.250% due 4/1/54 | 284,449 |
68 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
California — (Continued) | |||
$500,000 | River Islands, CA, Public Financing Authority, Special Tax, Series A, 5.000% due 9/1/48 | $570,930 | |
1,000,000 | Riverside County, CA, Redevelopment Successor Agency, Revenue Bonds, Series B, 0.000% due 10/1/391 | 652,531 | |
200,000 | Seal Beach, CA, Community Facilities District No. 2005-1, Special Tax, Refunding, 3.000% due 9/1/29 | 206,231 | |
11,946,725 | |||
Colorado — 9.1% | |||
500,000 | Amber Creek Metropolitan District, CO, General Obligation Limited, Refunding, Series A, 5.125% due 12/1/47 | 526,813 | |
1,000,000 | Arista, CO, Metropolitan District, General Obligation Limited, Refunding, Series A, 4.375% due 12/1/28 | 1,083,095 | |
Arkansas River Power Authority, CO, Power Revenue, Revenue Bonds, Refunding, Series A: | |||
500,000 | 5.000% due 10/1/33 | 610,698 | |
400,000 | 5.000% due 10/1/43 | 477,896 | |
500,000 | Banning Lewis Ranch Metropolitan District No. 8, CO, General Obligation Limited, Series A, 4.875% due 12/1/51 | 501,657 | |
500,000 | Base Village Metropolitan District No. 2, CO, General Obligation Limited, Refunding, Series A, 5.750% due 12/1/46 | 519,490 | |
500,000 | Belleview Station, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, 5.000% due 12/1/36 | 518,358 | |
500,000 | Big Dry Creek Metropolitan District, CO, General Obligation Limited, Series A, 5.750% due 12/1/47 | 531,483 | |
278,000 | Bradburn, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 4.000% due 12/1/28 | 299,356 | |
525,000 | Broadway Park North Metropolitan District No 2, CO, General Obligation, 5.000% due 12/1/493 | 581,143 | |
750,000 | Buffalo Ridge, CO, Metropolitan District, General Obligation Limited, Series B, 7.375% due 12/15/47 | 797,502 | |
500,000 | Clear Creek Station, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.000% due 12/1/47 | 527,207 | |
625,000 | Colorado International Center, CO, Metropolitan District No. 14, General Obligation Limited, 5.875% due 12/1/46 | 679,224 | |
Colorado State, Health Facilities Authority, Hospital Revenue, Christian Living Neighborhoods Project, Revenue Bonds, Refunding: | |||
500,000 | 5.000% due 1/1/31 | 545,906 | |
275,000 | 5.000% due 12/1/33 | 292,799 | |
400,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Refunding, 5.000% due 1/1/37 | 433,940 | |
35,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Revenue Bonds, Refunding, 4.000% due 1/1/424 | 38,915 | |
700,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Revenue Bonds, Refunding, Prerefunded 6/1/27 @ 100, 5.000% due 6/1/37 | 872,038 | |
250,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Revenue Bonds, Series A, 4.000% due 9/1/50 | 285,363 | |
660,000 | Colorado State, Health Facilities Authority, Refunding, Series A, Prerefunded 6/1/25 @ 100, 5.000% due 6/1/45 | 777,968 | |
250,000 | Colorado State, Health Facilities Authority, Revenue Bonds, 5.000% due 1/1/38 | 285,964 | |
165,000 | Colorado State, Health Facilities Authority, Revenue Bonds, Prerefunded 6/1/23 @ 100, 5.625% due 6/1/43 | 181,515 | |
365,000 | Colorado State, Housing and Finance Authority, Non Amount Non ACE SF Mortgage, Revenue Bonds, Series C, (GNMA Insured), 4.250% due 11/1/48 | 403,686 | |
300,000 | Copper Ridge Metropolitan District, CO, Revenue Bonds, 4.000% due 12/1/29 | 308,477 |
69 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Colorado — (Continued) | |||
$500,000 | Cottonwood Hollow Residential Metropolitan District, General Obligation limited, Refunding, 5.000% due 12/1/51 | $503,102 | |
250,000 | Denver, CO, Urban Renewal Authority, Tax Increment Revenue, Series A, 5.250% due 12/1/393 | 274,875 | |
590,000 | DIATC Metropolitan District, CO, General Obligation Limited, 3.250% due 12/1/293 | 625,391 | |
495,000 | Dinosaur Ridge Metropolitan District, CO, Special Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/49 | 532,902 | |
1,000,000 | Gardens on Havana, CO, Metropolitan District No. 3, Revenue Bonds, Series A, 4.625% due 12/1/27 | 1,061,497 | |
945,000 | Harmony Technology Park, CO, Metropolitan District No. 2, General Obligation Limited, 4.500% due 12/1/32 | 1,026,191 | |
500,000 | Hunters Overlook, CO, Metropolitan District No. 5, General Obligation Limited, Series A, 5.000% due 12/1/49 | 544,265 | |
500,000 | Independence Metropolitan District No 3, CO, General Obligation Limited, Series A, 6.250% due 12/1/49 | 542,571 | |
500,000 | Leyden Ranch, CO, Metropolitan District, General Obligation Unlimited, Series A, 5.125% due 12/1/47 | 527,833 | |
750,000 | Leyden Rock, CO, Metropolitan District No. 10, General Obligation Limited, Series A, 5.000% due 12/1/45 | 777,548 | |
500,000 | Midcities Metropolitan District No. 2, CO, Special Revenue, Revenue Bonds, Refunding, Series B, 7.750% due 12/15/46 | 516,589 | |
500,000 | Parkside, CO, Centre Business Improvement District, Company Special Revenue, Revenue Bonds, Series A, 6.250% due 12/1/48 | 535,070 | |
500,000 | Reunion Metropolitan District, CO, Revenue Bonds, Series A, 3.625% due 12/1/44 | 502,015 | |
500,000 | Serenity Ridge, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.125% due 12/1/43 | 537,511 | |
750,000 | Solaris, CO, Metropolitan District No. 3, General Obligation Limited, Refunding, Series A, 5.000% due 12/1/36 | 780,766 | |
Southglenn, CO, Metropolitan District, Special Revenue, General Obligation Limited, Refunding: | |||
195,000 | 3.000% due 12/1/21 | 195,842 | |
750,000 | 5.000% due 12/1/30 | 778,353 | |
Southlands, CO, Metropolitan District No. 1, General Obligation Unlimited, Series A-2: | |||
215,000 | 3.500% due 12/1/27 | 233,563 | |
325,000 | 5.000% due 12/1/47 | 370,025 | |
555,000 | STC Metropolitan District No 2, CO, General Obligation, Ltd., 3.000% due 12/1/25 | 585,395 | |
500,000 | Tallyns Reach, CO, Metropolitan District No. 3, General Obligation Limited, Series A, 6.750% due 11/1/38 | 527,033 | |
520,000 | Thompson Crossing Metropolitan District No. 4, CO, General Obligation Limited, Refunding, 3.500% due 12/1/29 | 556,846 | |
Vauxmont Metropolitan District, CO, General Obligation Ltd, (AGMC Insured): | |||
250,000 | 5.000% due 12/1/32 | 323,552 | |
160,000 | 5.000% due 12/15/32 | 185,611 | |
500,000 | Westcreek Metropolitan District No 2, CO, General Obligation Limited, Series A, 5.375% due 12/1/48 | 542,893 | |
500,000 | Westerly Metropolitan District No. 4, CO, General Obligation, Ltd. Series A, 5.000% due 12/1/50 | 551,683 | |
26,219,415 | |||
Connecticut — 0.8% | |||
450,000 | Connecticut State Health & Educational Facilities Authority Revenue, Revenue Bonds, Series A-1, 5.000% due 10/1/393 | 502,238 | |
425,000 | Connecticut State Health & Educational Facilities Authority, Church Home of Hartford, Inc. Project, Revenue Bonds, Series A, 5.000% due 9/1/533 | 476,010 |
70 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Connecticut — (Continued) | |||
$165,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds Refunding, Series G-1, 5.000% due 7/1/503 | $199,346 | |
125,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds, Series A, 5.000% due 1/1/553 | 139,989 | |
250,000 | Harbor Point, CT, Infrastructure Improvement District, Special Obligation Revenue, Tax Allocation, Refunding, 5.000% due 4/1/303 | 295,910 | |
700,000 | Mohegan Tribe of Indians, CT, Gaming Authority, Revenue Bonds, Series A, 5.500% due 8/1/263 | 748,897 | |
2,362,390 | |||
District Of Columbia — 0.8% | |||
225,000 | District of Columbia, KIPP DC Obligated Group, Revenue Bonds, Refunding, Series A (MBIA Insured), 5.000% due 7/1/27 | 276,872 | |
3,415,000 | District of Columbia, Tobacco Settlement Financing Corp., Revenue Bonds, Series A, 0.000% due 6/15/461 | 739,318 | |
2,000,000 | Metropolitan Washington, DC, Airports Authority Dulles Toll Road Revenue, Revenue Bonds, Series B, (AGMC Insured), 0.000% due 10/1/401 | 1,345,444 | |
2,361,634 | |||
Florida — 4.7% | |||
Atlantic Beach, FL, Healthcare Facilities, Revenue Bonds, Series A: | |||
505,000 | 5.000% due 11/15/33 | 589,715 | |
250,000 | 5.000% due 11/15/53 | 286,401 | |
250,000 | Capital Trust Agency Inc, FL, Revenue Bonds, 5.000% due 10/15/493 | 280,944 | |
290,000 | Capital Trust Agency Inc, FL, Revenue Bonds, Series A, 5.000% due 7/1/563 | 345,428 | |
6,500,000 | Capital Trust Agency Inc, FL, Revenue Bonds, Series B, 0.000% due 7/1/611,3 | 799,508 | |
195,000 | Capital Trust Agency, FL, Educational Facilities Revenue, Advantage Academy of Hillsborough Projects, Revenue Bonds, Series A, 4.000% due 12/15/24 | 206,781 | |
160,000 | Capital Trust Agency, FL, Educational Facilities Revenue, Viera Charter School, Inc. Project, Revenue Bonds, Series A, 5.000% due 10/15/373 | 182,935 | |
300,000 | Escambia County, FL, Health Facilities Authority, Revenue Bonds, Refunding, Series A, (MBIA Insecured), 4.000% due 8/15/45 | 350,773 | |
145,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Series C, 5.000% due 9/15/503 | 162,554 | |
550,000 | Florida Development Finance Corp., Healthcare Facilities Revenue, University of Florida Health Project, Series A, Revenue Bonds, 6.000% due 2/1/33 | 590,859 | |
Florida State Housing Finance Corp., Revenue Bonds, Series 1 (GNMA/FNMA/FHLMC Insured): | |||
1,110,000 | 4.000% due 7/1/49 | 1,211,287 | |
925,000 | 3.000% due 7/1/524 | 1,025,262 | |
300,000 | Lakewood Ranch, FL, Stewardship District, Special Assessment Revenue, 5.375% due 5/1/47 | 338,710 | |
500,000 | Lee County, FL, Industrial Development Authority, Shell Point/Waterside Health Project, Revenue Bonds, 5.000% due 11/15/39 | 594,488 | |
1,250,000 | North Broward, FL, Hospital District, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/48 | 1,469,672 | |
750,000 | Orange County, FL, Health Facilities Authority Revenue, Revenue Bonds, 5.000% due 8/1/40 | 866,877 | |
1,000,000 | Orange County, FL, Health Facilities Authority, Revenue Bonds, Refunding, 5.000% due 8/1/41 | 1,107,515 |
71 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — (Continued) | |||
$55,000 | Palm Beach County, FL, Health Facilities Authority, Lifespace Communities, Revenue Bonds, Refunding, Series C, 5.000% due 5/15/25 | $63,882 | |
145,000 | Palm Beach County, FL, Health Facilities Authority, Revenue Bonds, 5.000% due 6/1/55 | 158,123 | |
5,000 | Palm Beach County, FL, Health Facilities Authority, Revenue Bonds, Series B, 5.000% due 11/15/42 | 6,138 | |
Sarasota County, FL, Health Facilities Authority, Retirement Facilities Revenue, Revenue Bonds, Series A: | |||
550,000 | 5.000% due 1/1/37 | 600,514 | |
250,000 | 5.000% due 1/1/42 | 272,028 | |
500,000 | Southeast Overtown Park West Community Redevelopment Agency, FL, Series A-1, 5.000% due 3/1/303 | 550,267 | |
40,000 | St. Johns County Industrial Development Authority, Revenue Bonds, Refunding, Series A, 4.000% due 12/15/46 | 44,585 | |
160,000 | Town Center at Palm Coast, FL, Community Development District, Special Assessment, 6.000% due 5/1/36 | 160,166 | |
Winter Garden Village at Fowler Groves, FL, Community Development District, Special Assessment, Refunding: | |||
650,000 | 3.750% due 5/1/31 | 706,508 | |
500,000 | 4.125% due 5/1/37 | 544,534 | |
13,516,454 | |||
Georgia — 0.9% | |||
375,000 | DeKalb County, GA, Housing Authority, Senior Living Revenue, Revenue Bonds, Refunding, Series A, 5.250% due 1/1/543 | 327,805 | |
125,000 | Development Authority of Monroe County (The), GA, Revenue Bonds, 1.500% due 1/1/392 | 128,454 | |
250,000 | Geoge L Smith II Georgia World Congress Center Aurtority, GA, Revenue Bonds, Series B, 5.000% due 1/1/543 | 301,503 | |
475,000 | Georgia Housing & Finance Authority, Revenue Bonds, 4.000% due 6/1/50 | 535,300 | |
200,000 | Georgia State, Municipal Electric Authority, Revenue Bonds, Series A, 5.000% due 7/1/60 | 229,724 | |
370,000 | Georgia State, Municipal Electric Authority, Revenue Bonds, Series A, (AGMC Insured), 4.000% due 1/1/38 | 437,610 | |
210,000 | Houston Healthcare System, Inc., GA, Revenue Bonds, 5.000% due 10/1/312 | 235,961 | |
340,000 | Macon-Bibb County, GA, Urban Development Authority, Revenue Bonds, 5.750% due 6/15/373 | 399,735 | |
2,596,092 | |||
Guam — 0.3% | |||
175,000 | Guam Department of Education, Certificate Participation, Refunding, 5.000% due 2/1/40 | 201,929 | |
105,000 | Guam Government Business Privilege, Revenue Bonds, Refunding, Series F, 4.000% due 1/1/364 | 123,057 | |
500,000 | Guam Power Authority, Revenue Bonds, Series A (AGMC Insured), 5.000% due 10/1/22 | 526,976 | |
851,962 | |||
Idaho — 0.7% | |||
500,000 | Idaho Health Facilities Authority, Revenue Bonds, Series A, 4.750% due 7/1/443 | 534,856 | |
250,000 | Idaho State, Health Facilities Authority Revenue, Kootenai Health Project, Revenue Bonds, Series A, 4.375% due 7/1/343 | 273,584 |
72 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Idaho — (Continued) | |||
Idaho State, Housing and Finance Association, Nonprofit Facilities Revenue, Compass Charter School Project, Revenue Bonds, Series A: | |||
$735,000 | 6.000% due 7/1/393 | $911,018 | |
250,000 | 5.000% due 7/1/403 | 288,409 | |
2,007,867 | |||
Illinois — 13.6% | |||
250,000 | Bolingbrook, IL, Special Service Area No 1, Special Tax, Refunding, 5.250% due 3/1/41 | 268,058 | |
100,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Refunding, Series A, 7.000% due 12/1/44 | 123,365 | |
Chicago, IL, Board of Education, General Obligation Unlimited, Series A: | |||
250,000 | 0.000% due 12/1/251 | 237,844 | |
1,205,000 | 0.000% due 12/1/311 | 991,755 | |
765,000 | 5.000% due 12/1/41 | 775,794 | |
400,000 | 7.000% due 12/1/463 | 532,098 | |
325,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series A, (AGMC, AMBAC Insured), 5.500% due 12/1/31 | 449,891 | |
Chicago, IL, Board of Education, General Obligation Unlimited, Series A, (NPFG Insured): | |||
150,000 | 0.000% due 12/1/231 | 147,725 | |
625,000 | 0.000% due 12/1/251 | 598,462 | |
170,000 | 5.500% due 12/1/26 | 199,298 | |
550,000 | 0.000% due 12/1/291 | 479,628 | |
600,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series B, 7.000% due 12/1/423 | 802,266 | |
1,150,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series B1, (NPFG Insured), 0.000% due 12/1/311 | 946,488 | |
640,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series C, 5.250% due 12/1/39 | 719,808 | |
500,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series H, 5.000% due 12/1/46 | 602,592 | |
600,000 | Chicago, IL, General Obligation Unlimited, (NPFG Insured), 0.000% due 1/1/311 | 483,542 | |
Chicago, IL, General Obligation Unlimited, Refunding, Series A: | |||
150,000 | 5.000% due 1/1/30 | 195,147 | |
250,000 | 5.750% due 1/1/33 | 310,842 | |
1,195,000 | 6.000% due 1/1/38 | 1,496,885 | |
250,000 | Chicago, IL, General Obligation Unlimited, Refunding, Series C, 5.000% due 1/1/24 | 276,621 | |
Chicago, IL, General Obligation Unlimited, Series C: | |||
250,000 | 0.000% due 1/1/271 | 224,088 | |
435,000 | 0.000% due 1/1/311 | 339,346 | |
305,000 | Chicago, IL, Wastewater Transmission Revenue, Revenue Bonds, Refunding, (NPFG Insured), 5.500% due 1/1/30 | 378,318 | |
500,000 | Chicago, IL, Waterworks Revenue, Revenue Bonds, 5.000% due 11/1/24 | 530,052 | |
150,000 | Chicago, IL, Waterworks Revenue, Revenue Bonds, Refunding (AMBAC Insured), 5.750% due 11/1/30 | 184,086 | |
500,000 | Cook County, IL, Community College District No. 508, General Obligation Unlimited, 5.250% due 12/1/43 | 542,724 | |
315,000 | Illinois Housing Development Authority, Revenue Bonds, Series A, 3.000% due 4/1/51 | 346,161 | |
400,000 | Illinois State Finance Authority, Christian Homes, Inc., Revenue Bonds, 5.000% due 5/15/36 | 454,468 | |
350,000 | Illinois State Finance Authority, Revenue Bonds, 4.000% due 7/1/35 | 397,672 |
73 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
Illinois State Finance Authority, Revenue Bonds, Refunding: | |||
$230,000 | 5.000% due 12/1/40 | $274,575 | |
250,000 | 5.000% due 12/1/46 | 296,380 | |
150,000 | Illinois State Finance Authority, Revenue Bonds, Refunding, Lifespace Communities Project, Series A, 5.000% due 5/15/22 | 155,439 | |
Illinois State Finance Authority, Revenue Bonds, Refunding, Series A: | |||
300,000 | 5.000% due 7/1/35 | 355,975 | |
250,000 | 5.000% due 8/15/37 | 305,849 | |
Illinois State Finance Authority, Revenue Bonds, Refunding, Series C: | |||
1,000,000 | 5.000% due 2/15/31 | 1,229,694 | |
1,000,000 | 4.125% due 8/15/37 | 1,110,088 | |
500,000 | Illinois State Finance Authority, Silver Cross Hospital & Medical Center, Revenue Bonds, Series C, 5.000% due 8/15/44 | 578,790 | |
Illinois State Finance Authority, Student Housing Revenue, Dekalb II Northern Illinois, Revenue Bonds: | |||
395,000 | 5.750% due 10/1/21 | 398,568 | |
250,000 | 6.875% due 10/1/43 | 252,698 | |
500,000 | Illinois State Finance Authority, Student Housing Revenue, Northern Illinois University Project, Revenue Bonds, 6.000% due 10/1/24 | 504,701 | |
Illinois State Finance Authority, Student Housing Revenue, Northern Illinois University Project, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/35 | 236,549 | |
500,000 | 5.000% due 7/1/47 | 450,427 | |
1,035,000 | Illinois State Finance Authority, Swedish Covenant Hospital, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/34 | 1,266,215 | |
390,000 | Illinois State Housing Development Authority, Revenue Bonds, Series A (GNMA / FNMA / FHLMC Insured), 4.250% due 10/1/49 | 434,731 | |
460,000 | Illinois State Housing Development Authority, Revenue Bonds, Series C, 3.500% due 8/1/46 | 495,983 | |
475,000 | Illinois State Sports Facilities Authority, Revenue Bonds, Refunding, 5.000% due 6/15/24 | 529,234 | |
Illinois State Sports Facilities Authority, Revenue Bonds, Refunding, (BAM Insured): | |||
620,000 | 5.000% due 6/15/28 | 775,840 | |
250,000 | 5.000% due 6/15/30 | 317,499 | |
Illinois State Sports Facilities Authority, State Tax Supported, Capital Apprec, Revenue Bonds, (AMBAC Insured): | |||
500,000 | 0.000% due 6/15/231 | 494,710 | |
440,000 | 0.000% due 6/15/261 | 418,473 | |
500,000 | Illinois State University, Revenue Bonds, (AGMC Insured), 5.000% due 4/1/24 | 557,247 | |
320,000 | Illinois State, Finance Authority, Charter School Revenue, Refunding and Improvement, Chicago International Charter School Project, Revenue Bonds, 5.000% due 12/1/47 | 375,023 | |
Illinois State, General Obligation Unlimited: | |||
500,000 | 5.000% due 1/1/30 | 583,139 | |
1,000,000 | 5.000% due 2/1/39 | 1,102,214 | |
200,000 | 5.000% due 1/1/41 | 228,912 | |
750,000 | Illinois State, General Obligation Unlimited, Series C, 5.000% due 11/1/29 | 921,969 | |
Illinois State, General Obligation Unlimited, Series D: | |||
250,000 | 5.000% due 11/1/26 | 303,913 | |
1,000,000 | 5.000% due 11/1/28 | 1,237,033 | |
250,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Refunding (BAM, NPFG Insured), 0.000% due 6/15/281 | 227,031 |
74 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Series A, (NPFG Insured): | |||
$485,000 | 0.000% due 6/15/311 | $403,087 | |
1,000,000 | 0.000% due 6/15/361 | 731,410 | |
525,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Series B, (AGMC Insured), 0.000% due 6/15/271 | 487,631 | |
2,000,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax, Revenue Bonds, Series A, (AGMC Insured MBIA), 0.000% due 12/15/291 | 1,749,618 | |
500,000 | Metropolitan Pier & Exposition Authority, IL, McCormick Place Expansion Project, Revenue Bonds, Refunding, Series B, 5.000% due 12/15/40 | 577,982 | |
250,000 | Southern Illinois State University, Housing & Auxiliary Facilities System, Revenue Bonds, Series A, (NPFG Insured), 0.000% due 4/1/221 | 248,010 | |
500,000 | Southern Illinois State University, Housing & Auxiliary Facilities System, Revenue Bonds, Series B1, 5.000% due 4/1/22 | 511,627 | |
State of Illinois, General Obligation Unlimited: | |||
500,000 | 5.500% due 5/1/30 | 672,712 | |
250,000 | 4.000% due 10/1/33 | 301,137 | |
165,000 | 4.000% due 6/1/35 | 183,918 | |
500,000 | 4.000% due 10/1/42 | 588,872 | |
1,000,000 | University of Illinois, Auxiliary Facilities, Revenue Bonds, Series A, (AGMC Insured), 4.000% due 4/1/36 | 1,131,644 | |
500,000 | Volo Village, IL, Special Service Area No. 3 & 6, Special Tax, Symphony Meadows/Lancaster Falls Project, (AGMC Insured), 2.875% due 3/1/25 | 534,745 | |
496,000 | Yorkville, IL, United City Special Service, Special Tax, (AGMC Insured), 3.000% due 3/1/25 | 531,919 | |
250,000 | Yorkville, IL, United City Special Service, Special Tax, Refunding, (AGMC Insured), 4.000% due 3/1/36 | 269,095 | |
39,377,330 | |||
Indiana — 1.7% | |||
Indiana Finance Authority, Midwestern Disaster Relief Revenue, Revenue Bonds, Ohio Valley Electric Corp. Project, Series A: | |||
900,000 | 5.000% due 6/1/32 | 926,215 | |
300,000 | 5.000% due 6/1/39 | 308,035 | |
Indiana Finance Authority, Revenue Bonds, Series A: | |||
100,000 | 5.250% due 11/15/46 | 116,909 | |
1,500,000 | 4.000% due 7/1/50 | 1,746,793 | |
Indiana State Finance Authority, Greencroft Obligated Group, Revenue Bonds, Series A: | |||
345,000 | 5.750% due 11/15/28 | 375,422 | |
195,000 | 6.500% due 11/15/33 | 213,748 | |
600,000 | Indiana State Finance Authority, Revenue Bonds, Series A, 5.000% due 11/15/38 | 698,574 | |
Knox County, IN, Economic Development Authority, Revenue Bonds, Refunding, Series A: | |||
300,000 | 5.000% due 4/1/23 | 308,760 | |
350,000 | 5.000% due 4/1/28 | 359,636 | |
5,054,092 | |||
Iowa — 0.5% | |||
500,000 | Iowa State, Finance Authority, Midwestern Disaster Relief Revenue, Iowa Fertilizer Co. LLC Project, Revenue Bonds, Refunding, Series B, 5.250% due 12/1/502 | 550,622 | |
250,000 | Iowa State, Finance Authority, Revenue Bonds, 5.250% due 12/1/25 | 273,593 |
75 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Iowa — (Continued) | |||
$250,000 | Iowa State, Finance Authority, Senior Housing Revenue, Revenue Bonds, Series A, 5.000% due 3/1/33 | $274,801 | |
210,000 | lowa State Finance Aurthority Senior Living Facilities, Revenue Bonds, Refunding, 5.000% due 9/1/51 | 227,492 | |
1,326,508 | |||
Kansas — 0.1% | |||
135,000 | City of Manhattan KS, Revenue Bonds, Refunding, Series A, 4.000% due 6/1/36 | 156,156 | |
150,000 | Wyandotte County, KS, Kansas City Unified Government, Revenue Bonds, 5.000% due 12/1/34 | 154,953 | |
50,000 | Wyandotte County, KS, Kansas City Unified Government, Wyandotte Plaza Project, Revenue Bonds, 4.000% due 12/1/28 | 51,125 | |
362,234 | |||
Kentucky — 0.9% | |||
305,000 | Ashland, KY, Medical Center Revenue, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/32 | 340,111 | |
350,000 | City of Ashland, KY, Revenue Bonds, Refunding, 4.000% due 2/1/36 | 387,651 | |
100,000 | Kentucky Public Transportation Infrastructure Authority, Toll Revenue, Downtown Crossing Project, Series A, 6.000% due 7/1/53 | 110,448 | |
130,000 | Kentucky State University, Certificate Participation, Refunding, (BAM Insured), 4.000% due 11/1/344 | 157,684 | |
250,000 | Kentucky, KY, Economic Development Finance Authority, Healthcare Revenue, Revenue Bonds, Refunding, 5.750% due 11/15/45 | 259,174 | |
Kentucky, KY, Economic Development Finance Authority, Healthcare Revenue, Revenue Bonds, Series B, (NPFG Insured): | |||
500,000 | 0.000% due 10/1/261 | 462,291 | |
500,000 | 0.000% due 10/1/271 | 450,872 | |
250,000 | Louisville & Jefferson County, KY, Metropolitan Government Healthcare System, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/31 | 301,183 | |
2,469,414 | |||
Louisiana — 4.2% | |||
250,000 | Calcasieu Parish, LA, Memorial Hospital Service District, Hospital Revenue, Lake Charles Memorial Hospital Project, Revenue Bonds, Refunding, 5.000% due 12/1/34 | 308,450 | |
3,500,000 | Industrial Development Board OF Parish, LA, East Baton Rouge Inc, Revenue Bonds, Series A, 0.040% due 8/1/352 | 3,500,000 | |
5,500,000 | Industrial Development Board OF Parish, LA, East Baton Rouge Inc, Revenue Bonds, Series B, 0.040% due 12/1/402 | 5,500,000 | |
875,000 | Juban Crossing Economic Development District, LA, Revenue Bonds, Refunding, Series C, 7.000% due 9/15/443 | 868,964 | |
1,250,000 | Louisiana State Local Govenment Facility & Community Development Aurthority, Revenue Bonds, Series B, 2.500% due 4/1/36 | 1,290,921 | |
500,000 | Louisiana State, Public Facilities Authority Revenue, Revenue Bonds, Louisiana State University Greenhouse District Phase III Project, Series A, 5.000% due 7/1/59 | 619,959 | |
12,088,294 | |||
Maryland — 1.8% | |||
1,125,000 | Baltimore, MD, Special Obligation, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/38 | 1,274,512 |
76 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Maryland — (Continued) | |||
$250,000 | Brunswick, MD, Special Obligation, Special Tax, Refunding, 5.000% due 7/1/36 | $299,874 | |
250,000 | Howard County, MD, Special Obligation, Revenue Bonds, Series A, 4.125% due 2/15/343 | 266,533 | |
750,000 | Maryland Community Development Administration, Revenue Bonds, Series A, 3.000% due 9/1/51 | 824,426 | |
500,000 | Maryland Economic Development Corp., Revenue Bonds, 5.000% due 7/1/56 | 618,189 | |
335,000 | Maryland State, Community Development Administration, Department Housing & Community Development, Revenue Bonds, Refunding, Series A, 4.500% due 9/1/48 | 377,699 | |
90,000 | Maryland State, Economic Development Corp., Special Obligation, Metro Centre Owings Mills Project, Tax Allocation, 3.750% due 7/1/27 | 101,384 | |
250,000 | Maryland State, Economic Development Corp., Special Obligation, Tax Allocation, 4.500% due 7/1/44 | 279,855 | |
500,000 | Prince George’s County, MD, Revenue Authority, Suitland-Naylor Road Project, 5.000% due 7/1/463 | 548,186 | |
500,000 | Prince George’s County, MD, Special Obligation, PGC Hampton Park Project, Revenue Bonds, Series A, 4.375% due 7/1/483 | 539,692 | |
5,130,350 | |||
Michigan — 2.6% | |||
380,000 | Dearborn, MI, Economic Development Corp., Revenue Bonds, 7.500% due 11/15/443,5 | 361,000 | |
250,000 | Detroit, MI, General Obligation Unlimited, 5.000% due 4/1/34 | 298,375 | |
125,000 | Detroit, MI, General Obligation Unlimited, Series A, 5.000% due 4/1/46 | 154,956 | |
Flint, MI, Hospital Building Authority Rental, Revenue Bonds, Series A: | |||
250,000 | 4.000% due 7/1/38 | 283,785 | |
280,000 | 5.250% due 7/1/39 | 295,813 | |
1,000,000 | Grand Rapids Charter Township Economic Development Corp., MI, Revenue Bonds, 5.000% due 5/15/44 | 1,175,273 | |
600,000 | Grand Rapids, MI, Economic Development Corp., Beacon Hill Eastgate Project, Revenue Bonds, Refunding, Series A, 5.000% due 11/1/37 | 658,276 | |
Kentwood, MI, Economic Development Corp., Revenue Bonds, Refunding: | |||
50,000 | 4.500% due 11/15/21 | 50,513 | |
65,000 | 4.750% due 11/15/22 | 66,943 | |
250,000 | 5.000% due 11/15/37 | 287,013 | |
250,000 | 5.625% due 11/15/41 | 257,437 | |
70,000 | 4.000% due 11/15/434 | 76,233 | |
4,000,000 | Michigan Finance Authority, Revenue Bonds, Refunding, Series B, 0.000% due 6/1/651 | 544,847 | |
520,000 | Michigan State Housing Development Authority, Safe Mortgage Revenue, Revenue Bonds, Series A, 2.700% due 10/1/56 | 524,780 | |
1,895,000 | Michigan State Housing Development Authority, Safe Mortgage Revenue, Revenue Bonds, Series C, 4.250% due 6/1/49 | 2,102,657 | |
250,000 | Michigan State Strategic Fund, Limited Obligation Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/29 | 299,361 | |
200,000 | Michigan State Strategic Fund, Limited Obligation Revenue, Revenue Bonds, Refunding, Series CC, 1.450% due 9/1/302 | 200,197 | |
7,637,459 | |||
Minnesota — 0.2% | |||
250,671 | Minnesota Housing Finance Agency, Revenue Bonds, Series I, 2.800% due 12/1/47 | 264,484 |
77 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Minnesota — (Continued) | |||
$240,000 | St. Paul, MN, Housing & Redevelopment Authority, Charter School Lease Revenue, Revenue Bonds, Series A, 5.500% due 7/1/383 | $277,049 | |
541,533 | |||
Mississippi — 1.4% | |||
220,000 | Mississippi Business Finance Corp., Revenue Bonds, 2.375% due 6/1/44 | 222,385 | |
2,000,000 | Mississippi Business Finance Corp., Revenue Bonds, Series A, 0.040% due 12/1/302 | 2,000,000 | |
1,920,000 | Mississippi Business Finance Corp., Revenue Bonds, Series D, 0.040% due 12/1/302 | 1,920,000 | |
4,142,385 | |||
Missouri — 1.3% | |||
405,000 | Cape Girardeau County, MO, Industrial Development Authority, Southeast Health, Revenue Bonds, Series A, 6.000% due 3/1/33 | 447,299 | |
35,000 | Lees Summit, MO, Special Obligation Tax Increment, Tax Allocation, Refunding, 3.500% due 11/1/233 | 35,551 | |
430,000 | Maryland Heights, MO, Industrial Development Authority, State Louis Community ICE Center Project, Revenue Bonds, Series A, 4.375% due 3/15/30 | 416,489 | |
100,000 | Missouri State Health & Educational Facilities Authority, Lutheran Senior Services, Revenue Bonds, 5.000% due 2/1/25 | 110,930 | |
640,000 | Missouri State Health & Educational Facilities Authority, Revenue Bonds, 5.000% due 2/1/26 | 707,261 | |
Missouri State Health & Educational Facilities Authority, Revenue Bonds, Series A: | |||
100,000 | 5.000% due 2/1/28 | 117,441 | |
250,000 | 5.000% due 2/1/42 | 280,181 | |
250,000 | Missouri State, Health and Educational Facilities Authority, Revenue Bonds, 5.000% due 8/1/45 | 274,063 | |
60,000 | Plaza at Noah’s Ark Community Improvement District, MO, Refunding, Revenue Bonds, 3.000% due 5/1/26 | 62,342 | |
355,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Facilities, Revenue Bonds, Refunding, 5.000% due 9/1/32 | 420,568 | |
625,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Facilities, Revenue Bonds, Series A, 5.250% due 9/1/53 | 711,593 | |
150,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Revenue, Revenue Bonds, Refunding, 5.000% due 9/1/48 | 171,293 | |
3,755,011 | |||
Nebraska — 0.1% | |||
210,000 | Nebraska State, Investment Finance Authority, Safe Housing Revenue, Revenue Bonds, Series C, 4.000% due 9/1/48 | 230,280 | |
Nevada — 0.6% | |||
335,000 | Department of Business & Industry, NV, Revenue Bonds, Series A, 5.000% due 7/15/273 | 380,217 | |
290,000 | Las Vegas, NV, Sales Tax Increment Revenue, 3.500% due 6/15/253 | 290,181 | |
500,000 | Nevada State, Department of Business and Industry, Revenue Bonds, Series A, 5.000% due 12/15/483 | 552,700 | |
390,000 | North Las Vegas, NV, Local Improvement, Special Assessment, 4.625% due 6/1/49 | 439,260 | |
1,662,358 |
78 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New Hampshire — 0.4% | |||
$979,794 | National Finance Authority, NH, Municipal Certificates, Revenue Bonds, Series 1, 4.125% due 1/20/34 | $1,191,511 | |
New Jersey — 5.7% | |||
500,000 | New Jersey Health Care Facilities Financing Authority Revenue, Revenue Bonds, St Peters Univerdity Hospital, 5.750% due 7/1/37 | 501,589 | |
1,085,000 | New Jersey State Economic Development Authority Revenue, Refunding, School Facilities Construction, Revenue Bonds, Series NN, 5.000% due 3/1/24 | 1,166,251 | |
1,000,000 | New Jersey State Economic Development Authority Revenue, Revenue Bonds, Refunding, (AGMC Insured), 5.000% due 6/1/29 | 1,230,547 | |
175,000 | New Jersey State Economic Development Authority School Revenue, Beloved Community Chart School, Inc. Project, Revenue Bonds, Series A, 5.000% due 6/15/493 | 192,008 | |
345,000 | New Jersey State Economic Development Authority School Revenue, Foundation Academy Charter School Project, Revenue Bonds, Series A, 5.000% due 7/1/38 | 408,739 | |
500,000 | New Jersey State Economic Development Authority, Revenue Bonds, Refunding, Series I, (SIFMA MUNI SWAP INDEX + 1.60%), 1.620% due 3/1/286 | 507,555 | |
2,500,000 | New Jersey State Economic Development Authority, Revenue Bonds, Refunding, Series XX, 5.000% due 6/15/25 | 2,926,315 | |
830,000 | New Jersey State Housing and Mortgage Finance Agency, Revenue Bonds, Refunding, Series C, 4.750% due 10/1/50 | 940,511 | |
New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series A: | |||
1,000,000 | 0.000% due 12/15/351 | 740,442 | |
1,300,000 | 0.000% due 12/15/391 | 851,900 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series A, (BAM Insured), 0.000% due 12/15/271 | 933,730 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series B, (NPFG Insured), 5.500% due 12/15/21 | 1,019,439 | |
New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (AGMC Insured): | |||
185,000 | 0.000% due 12/15/321 | 153,342 | |
1,000,000 | 0.000% due 12/15/341 | 787,429 | |
550,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (AMBAC Insured), 0.000% due 12/15/351 | 413,076 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (NPFG Insured), 0.000% due 12/15/311 | 835,921 | |
1,000,000 | Tobacco Settlement Financing Corp., NJ, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/29 | 1,273,940 | |
1,500,000 | Union County NJ Industrial Pollution Control Financing Authority, Revenue Bonds, 0.040% due 7/1/332 | 1,500,000 | |
16,382,734 | |||
New Mexico — 0.5% | |||
500,000 | New Mexico Hospital Equipment Loan Council First Mortgage, Revenue Bonds, LA Vida Llena Expansion Project, Series A, 5.000% due 7/1/49 | 577,187 | |
530,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC Insured), 4.250% due 1/1/50 | 592,482 | |
275,000 | Santa Fe, NM, Retirement Facility Revenue, Revenue Bonds, Series A, 5.000% due 5/15/34 | 317,337 | |
1,487,006 |
79 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New York — 6.0% | |||
$1,250,000 | Brooklyn, NY, Arena Local Development Corp., Pilot Revenue, Revenue Bonds, Refunding, 5.000% due 7/15/42 | $1,469,529 | |
435,000 | Brooklyn, NY, Arena Local Development Corp., Revenue Bonds, 4.000% due 11/1/55 | 491,647 | |
100,000 | Build NYC Resource Corp, NY, Revenue Bonds, Series A, 4.000% due 6/15/51 | 110,462 | |
315,000 | Build NYC Resource Corp, NY, Revenue Bonds,Series A, 5.000% due 12/1/413 | 369,467 | |
County of Sullivan, NY, Special Assessment: | |||
150,000 | 4.850% due 11/1/313 | 161,285 | |
500,000 | 5.350% due 11/1/493 | 534,618 | |
500,000 | Glen Cove, NY, Local Economic Assistance Corp., Revenue Bonds, Series C, 0.000% due 1/1/551 | 537,322 | |
395,000 | Metropolitan Transportation Aurthority, NY, Revenue Bonds, Refunding, (SOFR*0.67+0.55%), 0.584% due 11/1/326 | 397,793 | |
Metropolitan Transportation Authority, NY, Revenue Bonds: | |||
325,000 | 4.000% due 11/15/48 | 379,311 | |
175,000 | 4.000% due 11/15/49 | 203,825 | |
250,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series A, (SIFMA MUNI SWAP INDEX + 0.50%), 0.520% due 11/15/426 | 249,654 | |
Metropolitan Transportation Authority, NY, Revenue Bonds, Series C: | |||
510,000 | 5.000% due 9/1/21 | 511,906 | |
250,000 | 4.750% due 11/15/45 | 308,462 | |
120,000 | 5.000% due 11/15/50 | 150,107 | |
500,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series D, 4.000% due 11/15/46 | 573,516 | |
500,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series D-2, 4.000% due 11/15/47 | 584,059 | |
275,000 | Monroe County Industrial Development Corp, NY , Revenue Bonds, 5.000% due 1/1/40 | 314,183 | |
1,800,000 | New York City Water & Sewer System, Revenue Bonds, 0.020% due 6/15/442 | 1,800,000 | |
1,900,000 | New York City, NY, General Obligation Unlimited, Series F-3, 0.020% due 3/1/422 | 1,900,000 | |
1,000,000 | New York City, NY, Municipal Water Finance Authority, Water And Sewer Sytem Revenue, Revenue Bonds, Series A-2, 0.020% due 6/15/442 | 1,000,000 | |
460,000 | New York City,NY, Water and Sewer System Revenue, Revenue Bonds,Series BB2, 4.000% due 6/15/42 | 556,280 | |
700,000 | New York State, Dormitory Authority Revenue, Non State Supported Debt, Refunding, 5.000% due 12/1/323 | 853,411 | |
1,000,000 | New York State, Dormitory Authority, Revenue Bonds,Series A, 5.000% due 3/15/40 | 1,269,163 | |
425,000 | New York State, Mortgage Agency, Homeowner Mortgage, Revenue Bonds, Refunding, Series 195, 4.000% due 10/1/46 | 452,431 | |
1,415,000 | New York State, Urban Development Corp., Revenue Bonds, 5.000% due 3/15/50 | 1,817,844 | |
250,000 | The Town OF Huntington Local Development Corp., NY, Revenue Bonds, Series A, 5.250% due 7/1/56 | 277,405 | |
17,273,680 | |||
North Carolina — 0.6% | |||
1,000,000 | North Carolina Housing Finance Agency, Revenue Bonds, Series A, 3.000% due 7/1/51 | 1,101,761 | |
215,000 | North Carolina Medical Care Commission, Revenue Bonds, 5.000% due 7/1/34 | 247,682 |
80 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
North Carolina — (Continued) | |||
$500,000 | North Carolina State, Medical Care Commission, Retirement Facilities Revenue, Revenue Bonds, Series B, 5.000% due 4/1/47 | $523,789 | |
1,873,232 | |||
North Dakota — 0.3% | |||
195,000 | North Dakota Housing Finance Agency, Revenue Bonds, Series A, 3.000% due 1/1/52 | 215,219 | |
500,000 | Ward County, ND, Healthcare Facilities Revenue, Revenue Bonds, Series C, 5.000% due 6/1/43 | 580,358 | |
795,577 | |||
Ohio — 2.7% | |||
750,000 | Buckeye, OH, Tobacco Settlement Financing Authority, Revenue Bonds, Series B-2, 5.000% due 6/1/55 | 882,076 | |
3,680,000 | Buckeye, OH, Tobacco Settlement Financing Authority, Revenue Bonds, Series B-3, 0.000% due 6/1/571 | 609,511 | |
600,000 | Centerville, OH, Healthcare Revenue, Refunding, 5.250% due 11/1/50 | 670,170 | |
455,000 | Cuyahoga County, OH, Hospital Revenue, Refunding, 5.500% due 2/15/52 | 542,321 | |
345,000 | Franklin Contry, OH, Revenue Bonds, Refunding, 5.250% due 11/15/55 | 395,997 | |
815,000 | Licking County, OH, Health Care Facilities Authority Revenue, Refunding, Series A, 6.000% due 7/1/50 | 600,490 | |
1,000,000 | Lucas County, OH, Hospital Revenue, Promedica Healthcare Obligated Group, Revenue Bonds, Refunding, Series A, 5.250% due 11/15/48 | 1,226,864 | |
475,000 | Ohio Higher Educational Facility Commission, Revenue Bonds, Refunding, 5.000% due 12/1/50 | 558,415 | |
Southeastern Ohio Port Authority Hospital Facilities, Revenue Bonds: | |||
300,000 | 5.750% due 12/1/32 | 314,836 | |
500,000 | 6.000% due 12/1/42 | 523,457 | |
State of Ohio, Revenue Bonds: | |||
250,000 | 5.000% due 12/1/283 | 281,253 | |
250,000 | 5.000% due 12/1/383 | 271,301 | |
300,000 | 5.000% due 12/1/483 | 321,246 | |
420,000 | State of Ohio, Revenue Bonds, Refunding, 5.000% due 12/1/333 | 461,254 | |
7,659,191 | |||
Oklahoma — 0.4% | |||
85,000 | Fort Sill Apache Tribe, OK, Economic Development Authority, Gaming Enterprise Revenue, RevenueBonds, Series A, 8.500% due 8/25/263 | 85,427 | |
635,000 | Norman Regional Hospital Authority, Revenue Bonds, Refunding, 4.000% due 9/1/37 | 711,253 | |
375,000 | Oklahoma Development Finance Authority, Revenue Bonds, Series A, 5.000% due 8/1/52 | 37,500 | |
250,000 | Oklahoma, ST, Development Finance Authority, Healthcare System, Revenue Bonds, Series B, 5.500% due 8/15/57 | 309,798 | |
1,143,978 | |||
Oregon — 0.2% | |||
125,000 | Clackamas County, OR, Hospital Facility Authority, Oregon Senior Living, Revenue Bonds, Refunding, Series A, 5.125% due 11/15/40 | 139,678 |
81 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Oregon — (Continued) | |||
$395,000 | Polk County, OR, Oregon Hospital Facility Authority, Revenue Bonds, Series A, 5.125% due 7/1/55 | $415,624 | |
130,000 | Yamhill County Hospital Authority, Revenue Bonds, Series A, 5.000% due 11/15/51 | 153,043 | |
708,345 | |||
Pennsylvania — 4.3% | |||
500,000 | Allegheny County, PA, Hospital Development Authority, Revenue Bonds,Refunding, Series A, 5.000% due 4/1/47 | 608,076 | |
750,000 | Berks County, PA, Industrial Development Authority, Tower Health Project, Revenue Bonds, Refunding, 5.000% due 11/1/47 | 830,329 | |
270,000 | Bucks Country, PA, Industrial Development Authority, Revenue Bonds, 4.000% due 7/1/46 | 311,535 | |
125,000 | Chester County, PA, Industrial Development Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/15/51 | 141,426 | |
Crawford County, PA, Hospital Authority, Revenue Bonds, Refunding, Series A: | |||
400,000 | 6.000% due 6/1/36 | 444,136 | |
250,000 | 6.000% due 6/1/46 | 273,243 | |
500,000 | Cumberland County, PA, Municipal Authority, Revenue Bonds, Refunding, 5.000% due 1/1/29 | 567,721 | |
500,000 | Delaware Valley, PA, Regional Finance Authority, Revenue Bonds, Series C, (3M USD LIBOR*0.67+0.75%), 0.840% due 6/1/376 | 483,372 | |
1,000,000 | Doylestown, PA, Hospital Authority, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/41 | 1,144,571 | |
200,000 | Franklin County, PA, Industrial Development Authority, Menno-Haven, Inc. Project, Revenue Bonds, Refunding, 5.000% due 12/1/43 | 217,869 | |
350,000 | Lancaster County, PA, Hospital Authority, Revenue Bonds, Refunding, 5.000% due 3/1/45 | 400,984 | |
445,000 | Montgomery County, PA, Higher Education & Health Authority, Revenue Bonds, Refunding, 5.000% due 12/1/47 | 500,410 | |
Montgomery County, PA, Industrial Development Authority, Health System Revenue, Revenue Bonds, Refunding, Series A: | |||
600,000 | 5.250% due 1/15/27 | 691,409 | |
250,000 | 5.250% due 1/15/46 | 283,039 | |
Montgomery County, PA, Industrial Development Authority, Revenue Bonds, Refunding: | |||
105,000 | 5.000% due 11/15/23 | 109,070 | |
500,000 | 5.000% due 11/15/36 | 591,350 | |
100,000 | 5.000% due 12/1/46 | 111,444 | |
250,000 | Montgomery County, PA, Industrial Development Authority, Waverly Heights, Ltd. Project, Revenue Bonds, Refunding, 5.000% due 12/1/44 | 291,279 | |
Northampton County, PA, Industrial Development Authority, Revenue Bonds: | |||
250,000 | 5.000% due 11/1/44 | 287,250 | |
300,000 | 5.000% due 11/1/49 | 343,575 | |
600,000 | Pennsylvania Economic Development Financing Authority, Revenue Bonds, Refunding, Series B, 0.160% due 12/1/302 | 600,065 | |
1,000,000 | Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/44 | 1,321,920 | |
250,000 | Pennsylvania State Lancaster County Hospital Authority, Revenue Bonds, 5.000% due 3/1/40 | 288,544 | |
Philadelphia Authority for Industrial Development, Revenue Bonds, Refunding: | |||
100,000 | 5.000% due 8/1/30 | 120,276 | |
115,000 | 5.000% due 6/15/403 | 136,786 | |
425,000 | 5.000% due 8/1/40 | 527,124 | |
325,000 | The Berks County Municipal Authority, PA, Revenue Bonds, Series A, 5.000% due 2/1/28 | 375,014 |
82 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
$150,000 | Washington County, PA, Redevelopment Authority Revenue, Tax Allocation, Refunding, 5.000% due 7/1/28 | $164,234 | |
100,000 | Westmoreland County Industrial Development Authority, PA, Revenue Bonds, 4.000% due 7/1/25 | 113,203 | |
12,279,254 | |||
Puerto Rico — 6.3% | |||
35,000 | Commonwealth of Puerto Rico, General Obligation Unlimited, Refunding, (AGMC Insured), 4.500% due 7/1/23 | 35,194 | |
700,000 | Commonwealth of Puerto Rico, General Obligation Unlimited, Refunding, Series A, 5.000% due 7/1/415 | 602,875 | |
2,000,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, 5.000% due 7/1/353 | 2,470,038 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Series A: | |||
145,000 | 5.000% due 7/1/33 | 151,223 | |
100,000 | 5.125% due 7/1/37 | 104,405 | |
2,945,000 | 5.250% due 7/1/42 | 3,078,085 | |
1,000,000 | Puerto Rico Electric Power Authority, Power Revenue, Revenue Bonds, Series XX, 5.250% due 7/1/405 | 982,500 | |
25,000 | Puerto Rico Electric Power Authority, Revenue Bonds, (AGMC Insured), 5.000% due 7/1/27 | 25,697 | |
610,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series DDD, (AGMC Insured), 3.625% due 7/1/23 | 611,382 | |
75,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series SS, (AGMC Insured), 5.000% due 7/1/30 | 77,090 | |
600,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series UU, (AGMC Insured), (3M USD LIBOR * 0.67 + 0.52%), 0.617% due 7/1/296 | 559,112 | |
500,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series 2013A-RSA-1, 7.000% due 7/1/405 | 504,375 | |
85,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series A, 5.000% due 7/1/29 | 83,194 | |
300,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series NN, (NPFG Insured), 4.750% due 7/1/33 | 304,772 | |
510,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series RR, (AGC Insured), 5.000% due 7/1/28 | 524,211 | |
10,000 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, (AMBAC Insured), 0.000% due 7/1/251 | 8,721 | |
455,000 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, Refunding, Series N, (AMBAC Insured), 5.280% due 7/1/28 | 435,083 | |
800,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Auxilio Muto, Revenue Bonds, Series A, 6.000% due 7/1/33 | 802,377 | |
250,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, International American University Project, Revenue Bonds, 5.000% due 10/1/31 | 260,242 | |
430,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, International American University Project, Revenue Bonds, (NPFG Insured), 4.500% due 10/1/29 | 431,256 | |
100,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Refunding, ANA G Mendez University Project, Revenue Bonds, 5.500% due 12/1/31 | 100,250 | |
500,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Revenue Bonds, 5.000% due 3/1/36 | 501,250 |
83 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Puerto Rico — (Continued) | |||
$540,000 | Puerto Rico Infrastructure Financing Authority, Special Tax Revenue,Revenue Bonds, Series A (AMBAC Insured), 0.000% due 7/1/371 | $268,441 | |
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds, Series A-1: | |||
7,000 | 0.000% due 7/1/241 | 6,740 | |
15,000 | 0.000% due 7/1/271 | 13,753 | |
14,000 | 0.000% due 7/1/291 | 12,228 | |
18,000 | 0.000% due 7/1/311 | 14,539 | |
13,243,000 | 0.000% due 7/1/511 | 3,207,073 | |
725,000 | 5.000% due 7/1/58 | 845,372 | |
500,000 | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds, Series A-2, 4.784% due 7/1/58 | 576,163 | |
Puerto Rico Sales Tax Financing Corp., Revenue Bonds, AMBAC Insured: | |||
209,663 | 0.000% due 8/1/471 | 68,393 | |
323,124 | 0.000% due 8/1/541 | 74,585 | |
185,000 | University of Puerto Rico, Revenue Bonds, Refunding, Series P, (NPFG Insured), 5.000% due 6/1/25 | 189,898 | |
University of Puerto Rico, Revenue Bonds, Series Q: | |||
100,000 | 5.000% due 6/1/25 | 98,750 | |
150,000 | 5.000% due 6/1/36 | 147,000 | |
18,176,267 | |||
Rhode Island — 1.1% | |||
Rhode Island Health & Educational Building Corp., Revenue Bonds, Refunding, Series B: | |||
900,000 | 5.000% due 9/1/31 | 1,036,567 | |
750,000 | 5.000% due 9/1/36 | 858,309 | |
490,000 | Rhode Island State, Housing and Mortgage Finance Corp., Revenue Bonds, Series 69-B, (GNMA / FNMA / FHLMC Insured), 4.000% due 10/1/48 | 540,589 | |
5,000,000 | Tobacco Settlement Financing Corp., RI, Revenue Bonds, Series A, 0.000% due 6/1/521 | 823,093 | |
3,258,558 | |||
South Carolina — 1.9% | |||
2,760,004 | Connector 2000 Association, Inc., SC, Revenue Bonds, Series A-1, 0.000% due 1/1/421 | 713,407 | |
500,000 | Connector 2000 Association, Inc., SC, Toll Road Revenue, Series A-1, 0.000% due 1/1/321 | 259,076 | |
240,000 | South Carolina State, Housing Finance & Development Authority, Revenue Bonds, (GNMA / FNMA / FHLMC/ FHA Insured), 4.000% due 7/1/36 | 260,928 | |
South Carolina State, Jobs-Economic Development Authority, Health Facilities Revenue, Revenue Bonds, Refunding: | |||
410,000 | 5.000% due 10/1/363 | 460,385 | |
1,090,000 | 5.000% due 10/1/413 | 1,209,985 | |
800,000 | South Carolina State, Jobs-Economic Development Authority, Residential Facilities Revenue, Revenue Bonds, Refunding, 5.000% due 4/1/47 | 883,543 | |
South Carolina State, Jobs-Economic Development Authority, Revenue Bonds, Refunding, Series A: | |||
100,000 | 8.750% due 7/1/254 | 99,997 | |
105,000 | 4.000% due 6/1/564 | 111,149 | |
200,000 | South Carolina State, Public Service Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/33 | 239,809 | |
South Carolina State, Public Service Authority, Revenue Bonds, Refunding, Series B: | |||
500,000 | 5.000% due 12/1/37 | 606,615 | |
500,000 | 5.000% due 12/1/41 | 604,020 |
84 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
South Carolina — (Continued) | |||
$5,000 | South Carolina State, Public Service Authority, Revenue Bonds, Series E, 5.250% due 12/1/55 | $5,910 | |
5,454,824 | |||
Texas — 3.7% | |||
645,000 | Arlington, TX, Higher Education Finance Corp., Education Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/51 | 748,809 | |
350,000 | Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Uplift Education, Series A, 2.750% due 12/1/26 | 363,383 | |
360,000 | Fort Bend County, TX, Industrial Development Corp., NRG Energy, Inc., Revenue Bonds, Series A, 4.750% due 5/1/38 | 377,510 | |
1,510,000 | Harris County, TX, Cultural Education Facilities Finance Corp., Brazos Presbyterian Homes Project, Revenue Bonds, Refunding, 5.000% due 1/1/48 | 1,679,261 | |
150,000 | Harris County, TX, Cultural Education Facilities Finance Corp., Revenue Bonds, Series A, 5.000% due 1/1/43 | 156,374 | |
500,000 | Matagorda County, TX, Navigation District No. 1, Revenue Bonds, Refunding (AMBAC Insured), 4.400% due 5/1/30 | 614,050 | |
950,000 | New Hope Cultural Education Facilities Finance Corp., TX, Retirement Facilities Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/36 | 1,049,862 | |
375,000 | New Hope Cultural Education Facilities Finance Corp., TX, Retirement Facilities Revenue, Revenue Bonds, Series A, 5.000% due 1/1/35 | 422,970 | |
New Hope Cultural Education Facilities Finance Corp., TX, Revenue Bonds: | |||
250,000 | 5.500% due 1/1/49 | 262,814 | |
400,000 | 5.000% due 1/1/55 | 423,056 | |
215,000 | New Hope Cultural Education Facilities Finance Corp., TX, Revenue Bonds, Series A, 5.000% due 7/1/40 | 254,115 | |
500,000 | New Hope Cultural Education Facilities Finance Corp., TX, Student Housing Revenue Bonds, Series A, 5.000% due 4/1/42 | 621,009 | |
Newark Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds: | |||
300,000 | 5.000% due 6/15/33 | 309,055 | |
500,000 | 5.000% due 6/15/38 | 514,125 | |
230,000 | Newark Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds, Series A, 5.000% due 6/15/37 | 239,534 | |
Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facilities, Revenue Bonds, Refunding: | |||
250,000 | 4.000% due 5/15/27 | 270,475 | |
70,000 | 4.000% due 5/15/31 | 74,956 | |
150,000 | 5.000% due 11/15/35 | 168,577 | |
625,000 | 5.000% due 5/15/45 | 678,046 | |
170,000 | Texas State, Department of Housing and Community Affairs, Revenue Bonds, Series A, (GNMA Insured), 4.750% due 3/1/49 | 189,350 | |
500,000 | Texas State, Municipal Gas Acquisition and Supply Corp. I, Revenue Bonds, 6.250% due 12/15/26 | 589,412 | |
700,000 | Town of Little Elm TX, Special Assessment, Series A, 5.375% due 9/1/513 | 707,735 | |
10,714,478 | |||
Utah — 0.4% | |||
500,000 | Hideout Local District No. 1, UT, Special Assessment, 6.750% due 8/1/373 | 529,599 | |
250,000 | Mida Mountain Village, UT, Public Infrastructure District, Special Assessment, Series A, 5.000% due 8/1/50 | 287,530 | |
270,000 | Mida Mountain Village, UT, Public Infrastucture District, Special Assessment, 4.000% due 8/1/503 | 286,330 | |
1,103,459 |
85 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Virginia — 2.7% | |||
Farmville, VA, Industrial Development Authority Facilities, Revenue Bonds, Refunding, Series A: | |||
$750,000 | 5.000% due 1/1/38 | $918,136 | |
500,000 | 5.000% due 1/1/50 | 619,565 | |
500,000 | Hanover County, VA, Economic Development Authority, Care Facilities Revenue, Covenant Woods, Revenue Bonds, Refunding, 5.000% due 7/1/38 | 552,580 | |
295,000 | Henrico County, VA, Economic Development Authority Health Care Facilities Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 12/1/37 | 354,929 | |
500,000 | Henrico County, VA, Economic Development Authority, Residencial Care Facility Revenue, Revenue Bonds, Series A, 5.000% due 6/1/39 | 553,519 | |
600,000 | Henrico County, VA, Economic Development Authority, Residencial Care Facility Revenue, Revenue Bonds, Series C, 5.000% due 12/1/47 | 707,253 | |
500,000 | Newport News, VA, Industrial Development Authority, Health System Revenue, Revenue Bonds, Series A, 5.000% due 7/1/463 | 584,174 | |
1,000,000 | Newport News, VA, Industrial Development Authority, System Revenue, Revenue Bonds, 5.330% due 7/1/453 | 1,134,866 | |
750,000 | Norfolk, VA, Redevelopment and Housing Authority, Revenue Bonds, Series A, 5.250% due 1/1/54 | 806,932 | |
Virginia Small Business Financing Authority, Revenue Bonds: | |||
500,000 | 5.000% due 1/1/32 | 618,234 | |
250,000 | 4.000% due 1/1/45 | 283,999 | |
500,000 | Virginia State, Small Business Financing Authority, Residential Care Facility Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 6/1/42 | 537,738 | |
7,671,925 | |||
Washington — 2.2% | |||
235,000 | Kalispel Tribe of Indians Priority District, WA, Revenue Bonds, Series B, 5.250% due 1/1/383 | 283,037 | |
Washington State Convention Center Public Facilities District, Revenue Bonds: | |||
500,000 | 4.000% due 7/1/31 | 596,619 | |
250,000 | 5.000% due 7/1/31 | 321,695 | |
250,000 | 5.000% due 7/1/35 | 319,541 | |
250,000 | 5.000% due 7/1/58 | 313,456 | |
748,283 | Washington State Housing Finance Commission, Revenue Bonds, Series A, 3.500% due 12/20/35 | 883,260 | |
Washington State, Health Care Facilities Authority, Revenue Bonds: | |||
200,000 | 5.000% due 8/1/30 | 259,164 | |
300,000 | 5.000% due 8/15/34 | 357,510 | |
1,125,000 | 5.000% due 12/1/36 | 1,310,503 | |
625,000 | Washington State, Housing Finance Commission, Refunding, Judson Park Project, Revenue Bonds, 5.000% due 7/1/383 | 683,376 | |
Washington State, Housing Finance Commission, Rockwood Retirement Communitie, Revenue Bonds: | |||
500,000 | 5.000% due 1/1/553 | 564,430 | |
500,000 | 5.000% due 1/1/563 | 563,079 | |
6,455,670 | |||
West Virginia — 0.1% | |||
250,000 | West Virginia State, Hospital Finance Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/43 | 307,202 | |
Wisconsin — 3.9% | |||
250,000 | Public Finance Authority, WI, Charter School Portfolio Project, Revenue Bonds, Series A-1, 5.000% due 1/1/553 | 294,182 |
86 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wisconsin — (Continued) | |||
$500,000 | Public Finance Authority, WI, Charter School Revenue, Revenue Bonds, Series A, 5.375% due 7/15/473 | $571,874 | |
115,000 | Public Finance Authority, WI, Hospital Facility Authority, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/41 | 136,100 | |
Public Finance Authority, WI, Retirement Facility Revenue, Revenue Bonds, Refunding: | |||
250,000 | 5.000% due 9/1/493 | 272,238 | |
500,000 | 5.000% due 9/1/543 | 574,817 | |
Public Finance Authority, WI, Revenue Bond: | |||
250,000 | 5.000% due 12/1/453 | 285,137 | |
135,000 | 5.000% due 4/1/503 | 161,830 | |
Public Finance Authority, WI, Revenue Bonds: | |||
375,000 | 5.000% due 6/1/293 | 423,886 | |
130,000 | 5.000% due 6/1/34 | 160,030 | |
250,000 | 5.000% due 1/1/35 | 297,587 | |
750,000 | 5.000% due 1/1/46 | 873,184 | |
135,000 | 5.000% due 6/1/49 | 161,398 | |
260,000 | Public Finance Authority, WI, Revenue Bonds, Refunding, 5.875% due 4/1/45 | 298,665 | |
1,000,000 | Public Finance Authority, WI, Revenue Bonds, Series A, 4.000% due 7/1/51 | 1,165,516 | |
Public Finance Authority, WI, School Education Revenue, Revenue Bonds: | |||
295,000 | 4.000% due 6/15/293 | 321,088 | |
500,000 | 4.000% due 6/15/403 | 524,468 | |
350,000 | Public Finance Authority, WI, Senior Living Revenue, Mary’s Woods at Marylhurst Project, Revenue Bonds, Refunding, Series A, 5.250% due 5/15/373 | 388,070 | |
70,000 | Public Finance Authority, WI, Senior Living Revenue, Rose Village Project, Revenue Bonds, Series A, 5.000% due 11/15/243 | 73,913 | |
500,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds (AGMC Insured), 5.000% due 7/1/53 | 603,299 | |
1,060,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds, Series A, 5.000% due 7/1/25 | 1,201,252 | |
Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding: | |||
955,000 | 5.000% due 6/1/41 | 1,057,221 | |
390,000 | 0.110% due 2/15/532 | 390,000 | |
Wisconsin State, Housing and Economic Development Authority, Home Ownership Revenue, Revenue Bonds, Series D: | |||
35,000 | 0.400% due 5/1/452 | 35,052 | |
795,000 | 4.000% due 3/1/47 | 872,880 | |
11,143,687 | |||
Other Territory — 0.4% | |||
722,175 | Federal Home Loan Mortgage Corporation Multifamily ML-05 Certificates, Revenue Bonds, Class AUS, 3.400% due 1/25/36 | 837,744 | |
719,411 | Federal Home Loan Mortgage Corporation Multifamily ML-10 Certificates, Class AUS, 2.055% due 1/25/382 | 154,770 | |
264,783 | Federal Home Loan Mortgage Corporation Multifamily ML-10 Certificates, Class AUS, 2.032% due 1/25/38 | 279,266 | |
TOTAL MUNICIPAL BONDS (Cost $265,442,231) | 286,514,987 | ||
TOTAL INVESTMENTS (Cost $265,442,231) | 99.3% | $286,514,987 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.7 | 1,882,555 | |
NET ASSETS | 100.0% | $288,397,542 |
87 |
* | Percentages indicated are based on net assets. |
1 | Zero Coupon Bond. |
2 | Variable/Floating interest rate security. Certain variable/floating interest rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. Rate presented is as of July 31, 2021. |
3 | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. This security may be resold in transactions exempt from registration, normally to qualified buyers. At July 31, 2021, these securities, which are not illiquid, amounted to $40,494,759 or 14.0% of net assets for the Fund. |
4 | When-issued security. |
5 | This security is in default. See Note 1. |
6 | Floating Rate Bond. Rate shown is as of July 31, 2021. |
Abbreviations: |
AGC — Assurance Guaranty Corporation |
AGMC — Assured Guaranty Municipal Corporation |
AMBAC — American Municipal Bond Assurance Corporation |
BAM — Build America Mutual |
FHA — Federal Housing Administration |
FHLMC — Federal Home Loan Mortgage Corporation |
FNMA — Federal National Mortgage Association |
GNMA — Government National Mortgage Association |
MBIA — Municipal Bond Investors Assurance |
NPFG — National Public Finance Guarantee Corporation |
SIFMA — Securities Industry and Financial Markets Association |
88 |
89 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Common Stocks | ||||||||
Air Freight & Logistics | $8,505 | $— | $— | $8,505 | ||||
Auto Components | 26,883 | — | — | 26,883 | ||||
Banks | 126,472 | — | — | 126,472 | ||||
Beverages | 12,216 | — | — | 12,216 | ||||
Biotechnology | 135,760 | — | — | 135,760 | ||||
Building Products | 42,830 | — | — | 42,830 | ||||
Capital Markets | 26,165 | — | — | 26,165 | ||||
Chemicals | 11,873 | — | — | 11,873 | ||||
Commercial Services & Supplies | 38,252 | — | — | 38,252 | ||||
Communications Equipment | 16,426 | — | — | 16,426 | ||||
Construction & Engineering | 12,139 | — | — | 12,139 | ||||
Consumer Finance | 34,054 | — | — | 34,054 | ||||
Containers & Packaging | 11,876 | — | — | 11,876 | ||||
Diversified Consumer Services | 18,229 | — | — | 18,229 | ||||
Diversified Telecommunication Services | 5,454 | — | — | 5,454 | ||||
Electrical Equipment | 7,586 | — | — | 7,586 | ||||
Electronic Equipment, Instruments & Components | 27,129 | — | — | 27,129 | ||||
Energy Equipment & Services | 10,595 | — | — | 10,595 | ||||
Equity Real Estate Investment Trusts | 116,547 | — | — | 116,547 | ||||
Food & Staples Retailing | 15,662 | — | — | 15,662 | ||||
Gas Utilities | 31,815 | — | — | 31,815 | ||||
Health Care Equipment & Supplies | 26,008 | — | — | 26,008 |
90 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Health Care Providers & Services | $53,444 | $— | $— | $53,444 | ||||
Health Care Technology | 12,468 | — | — | 12,468 | ||||
Hotels, Restaurants & Leisure | 19,086 | — | — | 19,086 | ||||
Household Durables | 28,853 | — | — | 28,853 | ||||
Household Products | 13,944 | — | — | 13,944 | ||||
Insurance | 24,291 | — | — | 24,291 | ||||
IT Services | 67,115 | — | — | 67,115 | ||||
Leisure Equipment & Products | 18,297 | — | — | 18,297 | ||||
Machinery | 10,827 | — | — | 10,827 | ||||
Media | 51,479 | — | — | 51,479 | ||||
Metals & Mining | 39,030 | — | — | 39,030 | ||||
Mortgage Real Estate Investment Trust | 13,022 | — | — | 13,022 | ||||
Multi-line Retail | 8,987 | — | — | 8,987 | ||||
Oil, Gas & Consumable Fuels | 35,425 | — | — | 35,425 | ||||
Paper & Forest Products | 16,308 | — | — | 16,308 | ||||
Personal Products | 6,162 | — | — | 6,162 | ||||
Pharmaceuticals | 21,691 | — | 0* | 21,691 | ||||
Professional Services | 24,151 | — | — | 24,151 | ||||
Real Estate Management & Development | 13,325 | — | — | 13,325 | ||||
Semiconductors & Semiconductor Equipment | 56,522 | — | — | 56,522 | ||||
Software | 34,090 | — | — | 34,090 | ||||
Specialty Retail | 41,113 | — | — | 41,113 | ||||
Textiles, Apparel & Luxury Goods | 6,174 | — | — | 6,174 | ||||
Thrifts & Mortgage Finance | 18,649 | — | — | 18,649 | ||||
Trading Companies & Distributors | 66,301 | — | — | 66,301 | ||||
Wireless Telecommunication Services | 23,973 | — | — | 23,973 | ||||
Total Common Stocks | 1,487,203 | — | — | 1,487,203 | ||||
Repurchase Agreement | — | 24,795 | — | 24,795 | ||||
Investment of Security Lending Collateral | 21,789 | — | — | 21,789 | ||||
Total Investments | 1,508,992 | 24,795 | 0 | 1,533,787 | ||||
Total | $1,508,992 | $24,795 | $0 | $1,533,787 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Exchange-Traded Funds | $21,785,571 | $— | $— | $21,785,571 | ||||
U.S. Treasury Bills | — | 109,981,025 | — | 109,981,025 | ||||
Repurchase Agreement | — | 13,288,545 | — | 13,288,545 | ||||
Purchased Options | ||||||||
Calls | 362,817,000 | — | — | 362,817,000 | ||||
Puts | 6,656,000 | — | — | 6,656,000 | ||||
Total Purchased Options | 369,473,000 | — | — | 369,473,000 | ||||
Total Investments | 391,258,571 | 123,269,570 | — | 514,528,141 | ||||
Total | $391,258,571 | $123,269,570 | $— | $514,528,141 |
91 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Written Options | ||||||||
Calls | $(109,213,000) | $— | $— | $(109,213,000) | ||||
Puts | (4,490,650) | — | — | (4,490,650) | ||||
Total Written Options | (113,703,650) | — | — | (113,703,650) | ||||
Total | $(113,703,650) | $— | $— | $(113,703,650) |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Exchange-Traded Fund | $180,600 | $— | $— | $180,600 | ||||
U.S. Treasury Bills | — | 3,699,364 | — | 3,699,364 | ||||
Repurchase Agreement | — | 1,216,673 | — | 1,216,673 | ||||
Purchased Options | ||||||||
Calls | 13,954,500 | — | — | 13,954,500 | ||||
Puts | 256,000 | — | — | 256,000 | ||||
Total Purchased Options | 14,210,500 | — | — | 14,210,500 | ||||
Total Investments | 14,391,100 | 4,916,037 | — | 19,307,137 | ||||
Total | $14,391,100 | $4,916,037 | $— | $19,307,137 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Written Options | ||||||||
Calls | $(4,200,500) | $— | $— | $(4,200,500) | ||||
Puts | (245,045) | — | — | (245,045) | ||||
Total Written Options | (4,445,545) | — | — | (4,445,545) | ||||
Total | $(4,445,545) | $— | $— | $(4,445,545) |
92 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Agency Notes | ||||||||
Federal Home Loan Bank | $— | $49,100,523 | $— | $49,100,523 | ||||
Federal National Mortgage Association | — | 34,528,418 | — | 34,528,418 | ||||
Total Agency Notes | — | 83,628,941 | — | 83,628,941 | ||||
Mortgage-Backed Securities | ||||||||
Federal Home Loan Mortgage Corporation | — | 55,177,663 | — | 55,177,663 | ||||
Federal National Mortgage Association | — | 84,128,525 | — | 84,128,525 | ||||
Government National Mortgage Association | — | 649,436 | — | 649,436 | ||||
Total Mortgage-Backed Securities | — | 139,955,624 | — | 139,955,624 | ||||
Corporate Notes | ||||||||
Banking | — | 33,152,320 | — | 33,152,320 | ||||
Beverages, Food & Tobacco | — | 1,067,380 | — | 1,067,380 | ||||
Communications | — | 18,299,242 | — | 18,299,242 | ||||
Computer Software & Processing | — | 24,856,307 | — | 24,856,307 | ||||
Heavy Machinery | — | 9,094,231 | — | 9,094,231 | ||||
Insurance | — | 5,537,764 | — | 5,537,764 | ||||
Pharmaceuticals | — | 10,260,270 | — | 10,260,270 | ||||
Total Corporate Notes | — | 102,267,514 | — | 102,267,514 | ||||
U.S. Treasury Notes/Bonds | — | 93,332,188 | — | 93,332,188 | ||||
Repurchase Agreement | — | 8,551,925 | — | 8,551,925 | ||||
Investment of Security Lending Collateral | 20,908,195 | — | — | 20,908,195 | ||||
Total Investments | 20,908,195 | 427,736,192 | — | 448,644,387 | ||||
Total | $20,908,195 | $427,736,192 | $— | $448,644,387 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Corporate Notes | ||||||||
Health Care Services | $— | $507,121 | $— | $507,121 | ||||
Municipal Bonds | ||||||||
Alabama | — | 450,230 | — | 450,230 | ||||
Arizona | — | 978,205 | — | 978,205 | ||||
California | — | 1,609,793 | — | 1,609,793 | ||||
Colorado | — | 1,798,181 | — | 1,798,181 | ||||
Connecticut | — | 2,830,774 | — | 2,830,774 | ||||
District of Columbia | — | 1,147,938 | — | 1,147,938 | ||||
Florida | — | 3,178,518 | — | 3,178,518 | ||||
Georgia | — | 203,973 | — | 203,973 | ||||
Illinois | — | 2,764,303 | — | 2,764,303 | ||||
Kansas | — | 416,239 | — | 416,239 | ||||
Kentucky | — | 921,633 | — | 921,633 | ||||
Louisiana | — | 920,445 | — | 920,445 |
93 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Maryland | $— | $822,824 | $— | $822,824 | ||||
Michigan | — | 2,723,997 | — | 2,723,997 | ||||
Minnesota | — | 575,819 | — | 575,819 | ||||
Nebraska | — | 100,247 | — | 100,247 | ||||
Nevada | — | 510,901 | — | 510,901 | ||||
New Jersey | — | 1,988,845 | — | 1,988,845 | ||||
New York | — | 3,882,198 | — | 3,882,198 | ||||
North Carolina | — | 100,766 | — | 100,766 | ||||
Ohio | — | 2,395,164 | — | 2,395,164 | ||||
Pennsylvania | — | 9,289,588 | — | 9,289,588 | ||||
Rhode Island | — | 415,362 | — | 415,362 | ||||
South Carolina | — | 351,061 | — | 351,061 | ||||
South Dakota | — | 230,124 | — | 230,124 | ||||
Tennessee | — | 272,972 | — | 272,972 | ||||
Texas | — | 5,869,662 | — | 5,869,662 | ||||
Virginia | — | 1,245,756 | — | 1,245,756 | ||||
Washington | — | 1,857,922 | — | 1,857,922 | ||||
Wisconsin | — | 1,161,768 | — | 1,161,768 | ||||
Wyoming | — | 408,511 | — | 408,511 | ||||
Total Municipal Bonds | — | 51,423,719 | — | 51,423,719 | ||||
Repurchase Agreement | — | 2,364,452 | — | 2,364,452 | ||||
Investment of Security Lending Collateral | 503,360 | — | — | 503,360 | ||||
Registered Investment Companies | 427,929 | — | — | 427,929 | ||||
Total Investments | 931,289 | 54,295,292 | — | 55,226,581 | ||||
Total | $931,289 | $54,295,292 | $— | $55,226,581 |
94 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $2,226,325 | $(2,226,325) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $3,193,899 | $(3,193,899) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $2,858 | $(2,858) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $24,795 | $(24,795) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $208,736 | $(208,736) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $221,041 | $(221,041) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,002,858 | $(1,002,858) | $— | $— | $— |
95 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $58,476 | $(58,476) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,349,710 | $(1,349,710) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $29,799,618 | $(29,799,618) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $85,402 | $(85,402) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $13,288,545 | $(13,288,545) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,216,673 | $(1,216,673) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $8,551,925 | $(8,551,925) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $2,364,452 | $(2,364,452) | $— | $— | $— |
96 |
97 |
Portfolio | Market Value of Loaned Securities | Market Value of Cash Collateral | Market Value of Non-Cash Collateral | % of Total Assets on Loan | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | $12,320 | $— | 12,486 | 0.50 | ||||
Quantitative U.S. Small Cap Equity Portfolio | 18,826 | 21,789 | — | 1.22 | ||||
Quantitative International Equity Portfolio | 9,286,831 | 5,787,490 | 4,308,844 | 18.63 | ||||
Women in Leadership U.S. Equity Portfolio | 623,644 | — | 632,730 | 2.28 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 1,369,282 | — | 1,433,093 | 1.22 | ||||
Quantitative U.S. Total Market Equity Portfolio | 592,181 | — | 626,701 | 1.35 | ||||
Small Cap Equity Portfolio | 81,176,105 | 52,633,899 | 30,908,066 | 5.52 | ||||
Core Fixed Income Portfolio | 20,530,513 | 20,908,195 | — | 4.55 | ||||
Short Term Tax Aware Fixed Income Portfolio | 493,280 | 503,360 | — | 0.89 |
98 |
99 |