Shares | Value | ||
COMMON STOCKS* — 99.4% | |||
Aerospace & Defense — 1.2% | |||
46,239 | General Dynamics Corp. | $10,776,461 | |
Air Freight & Logistics — 1.2% | |||
59,125 | United Parcel Service, Inc. Class B | 10,951,724 | |
Auto Components — 1.2% | |||
220,826 | BorgWarner, Inc. | 10,440,653 | |
Automobiles — 0.9% | |||
204,406 | General Motors Co. | 8,037,244 | |
Banks — 3.1% | |||
241,911 | Citizens Financial Group, Inc. | 10,479,584 | |
718,127 | Regions Financial Corp. | 16,904,710 | |
27,384,294 | |||
Biotechnology — 4.1% | |||
54,821 | Amgen, Inc. | 13,836,820 | |
35,134 | Biogen, Inc.1 | 10,220,481 | |
83,122 | Gilead Sciences, Inc. | 6,977,261 | |
16,484 | Vertex Pharmaceuticals, Inc.1 | 5,325,980 | |
36,360,542 | |||
Building Products — 1.3% | |||
250,298 | Carrier Global Corp. | 11,396,068 | |
Capital Markets — 4.0% | |||
58,912 | CME Group, Inc. | 10,407,394 | |
48,605 | Evercore, Inc. Class A | 6,309,415 | |
54,783 | Intercontinental Exchange, Inc. | 5,891,912 | |
120,838 | Nasdaq, Inc. | 7,273,239 | |
54,115 | Northern Trust Corp. | 5,247,531 | |
35,129,491 | |||
Chemicals — 1.6% | |||
145,930 | Corteva, Inc. | 9,405,188 | |
82,199 | Dow, Inc. | 4,878,511 | |
14,283,699 | |||
Commercial Services & Supplies — 0.9% | |||
66,078 | Republic Services, Inc. Class A | 8,247,856 | |
Communications Equipment — 4.2% | |||
119,828 | Arista Networks, Inc.1 | 15,100,725 | |
240,792 | Cisco Systems, Inc. | 11,719,347 | |
302,441 | Juniper Networks, Inc. | 9,768,844 | |
36,588,916 | |||
Consumer Finance — 0.8% | |||
61,391 | Capital One Financial Corp. | 7,305,529 | |
Containers & Packaging — 0.6% | |||
220,163 | Graphic Packaging Holding Co. | 5,303,727 | |
Distributors — 2.3% | |||
75,699 | Genuine Parts Co. | 12,703,806 | |
133,041 | LKQ Corp. | 7,844,098 | |
20,547,904 | |||
Diversified Consumer Services — 0.7% | |||
82,486 | Service Corp. International | 6,116,337 |
1 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Diversified Financial Services — 1.0% | |||
286,907 | Equitable Holdings, Inc. | $9,201,107 | |
Diversified Telecommunication Services — 2.3% | |||
482,401 | AT&T, Inc. | 9,826,508 | |
252,120 | Verizon Communications, Inc. | 10,480,629 | |
20,307,137 | |||
Electric Utilities — 0.5% | |||
43,488 | American Electric Power Co., Inc. | 4,086,132 | |
Electrical Equipment — 0.8% | |||
51,285 | AMETEK, Inc. | 7,432,222 | |
Energy Equipment & Services — 1.2% | |||
322,277 | Baker Hughes Co. Class A | 10,229,072 | |
Equity Real Estate Investment Trusts — 3.6% | |||
13,269 | Equinix, Inc. | 9,794,247 | |
43,453 | Life Storage, Inc. REIT | 4,694,662 | |
36,452 | Public Storage | 11,093,802 | |
184,052 | Weyerhaeuser Co. | 6,336,910 | |
31,919,621 | |||
Food & Staples Retailing — 1.1% | |||
219,036 | Kroger Co. | 9,775,577 | |
Food Products — 2.5% | |||
94,888 | Archer-Daniels-Midland Co. | 7,861,471 | |
181,338 | General Mills, Inc. | 14,209,645 | |
22,071,116 | |||
Health Care Providers & Services — 6.2% | |||
36,458 | Cigna Corp. | 11,545,155 | |
107,690 | CVS Health Corp. | 9,500,412 | |
28,142 | Elevance Health, Inc. | 14,070,718 | |
8,871 | Humana, Inc. | 4,539,291 | |
15,484 | McKesson Corp. | 5,863,481 | |
18,348 | UnitedHealth Group, Inc. | 9,159,138 | |
54,678,195 | |||
Hotels, Restaurants & Leisure — 1.0% | |||
3,422 | Booking Holdings, Inc.1 | 8,329,490 | |
Household Durables — 0.5% | |||
44,845 | Lennar Corp. Class A | 4,592,128 | |
Household Products — 1.9% | |||
103,909 | Church & Dwight Co., Inc. | 8,402,082 | |
59,011 | Procter & Gamble Co. | 8,401,986 | |
16,804,068 | |||
Insurance — 0.5% | |||
66,906 | American International Group, Inc. | 4,229,797 | |
Interactive Media & Service — 1.0% | |||
91,600 | Alphabet, Inc. Class A1 | 9,053,744 | |
Internet & Direct Marketing Retail — 1.3% | |||
224,127 | eBay, Inc. | 11,094,287 | |
IT Services — 3.6% | |||
94,782 | Amdocs Ltd. | 8,713,310 |
2 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
IT Services — (Continued) | |||
186,671 | Cognizant Technology Solutions Corp. Class A | $12,460,289 | |
131,543 | PayPal Holdings, Inc.1 | 10,719,439 | |
31,893,038 | |||
Life Sciences Tools & Services — 0.9% | |||
53,363 | Agilent Technologies, Inc. | 8,115,445 | |
Machinery — 2.1% | |||
40,487 | Parker-Hannifin Corp. | 13,198,762 | |
21,500 | Snap-on, Inc. | 5,347,695 | |
18,546,457 | |||
Media — 5.8% | |||
418,876 | Comcast Corp. Class A | 16,482,771 | |
314,378 | Fox Corp. Class A | 10,669,989 | |
239,549 | Interpublic Group of Cos., Inc. | 8,733,957 | |
176,083 | Omnicom Group, Inc. | 15,141,377 | |
51,028,094 | |||
Metals & Mining — 1.8% | |||
92,668 | Nucor Corp. | 15,662,745 | |
Multi-Utilities — 1.4% | |||
300,486 | NiSource, Inc. | 8,338,487 | |
44,255 | WEC Energy Group, Inc. | 4,159,527 | |
12,498,014 | |||
Oil, Gas & Consumable Fuels — 4.6% | |||
51,801 | ConocoPhillips | 6,312,988 | |
268,294 | Kinder Morgan, Inc. | 4,909,780 | |
131,201 | Marathon Petroleum Corp. | 16,861,952 | |
127,458 | Phillips 66 | 12,780,214 | |
40,864,934 | |||
Pharmaceuticals — 3.4% | |||
163,556 | Bristol-Myers Squibb Co. | 11,882,343 | |
77,428 | Merck & Co., Inc. | 8,316,542 | |
220,967 | Pfizer, Inc. | 9,757,903 | |
29,956,788 | |||
Real Estate Management & Development — 0.8% | |||
79,860 | CBRE Group, Inc. Class A1 | 6,828,829 | |
Road & Rail — 1.1% | |||
311,958 | CSX Corp. | 9,645,741 | |
Semiconductors & Semiconductor Equipment — 4.8% | |||
49,035 | Advanced Micro Devices, Inc.1 | 3,684,980 | |
29,628 | KLA Corp. | 11,628,397 | |
216,439 | ON Semiconductor Corp.1 | 15,897,445 | |
104,660 | Skyworks Solutions, Inc. | 11,478,062 | |
42,688,884 | |||
Software — 8.7% | |||
33,375 | Adobe, Inc.1 | 12,360,097 | |
88,726 | Cadence Design Systems, Inc.1 | 16,221,775 | |
117,585 | DocuSign, Inc.1 | 7,130,354 | |
534,125 | Dropbox, Inc. Class A1 | 12,407,724 | |
218,385 | Fortinet, Inc.1 | 11,430,271 |
3 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — (Continued) | |||
47,544 | Synopsys, Inc.1 | $16,818,690 | |
76,368,911 | |||
Specialty Retail — 2.0% | |||
20,985 | Lowe’s Cos., Inc. | 4,370,126 | |
25,715 | Ulta Beauty, Inc.1 | 13,216,482 | |
17,586,608 | |||
Technology Hardware, Storage & Peripherals — 3.3% | |||
817,855 | Hewlett Packard Enterprise Co. | 13,192,001 | |
224,602 | HP, Inc. | 6,544,902 | |
316,854 | Pure Storage, Inc. Class A1 | 9,169,755 | |
28,906,658 | |||
Textiles, Apparel & Luxury Goods — 0.8% | |||
163,331 | Tapestry, Inc. | 7,442,994 | |
Tobacco — 0.8% | |||
65,571 | Philip Morris International, Inc. | 6,835,121 | |
TOTAL COMMON STOCKS (Cost $692,933,181) | 877,543,399 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.7% | |||
$5,909,039 | With Fixed Income Clearing Corp., dated 1/31/23, 1.28%, principal and interest in the amount of $5,909,249, due 2/1/23, (collateralized by a U.S. Treasury Note with a par value of $6,163,500,
coupon rate of 3.000%, due 06/30/2024, market value of $6,027,231) | 5,909,039 | |
TOTAL REPURCHASE AGREEMENT (Cost $5,909,039) | 5,909,039 | ||
TOTAL INVESTMENTS (Cost $698,842,220) | 100.1% | $883,452,438 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (1,042,693) | |
NET ASSETS | 100.0% | $882,409,745 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
4 |
Shares | Value | ||
COMMON STOCKS* — 99.6% | |||
Air Freight & Logistics — 1.0% | |||
190,246 | Expeditors International of Washington, Inc. | $20,575,105 | |
Beverages — 1.3% | |||
440,853 | Coca-Cola Co. | 27,033,106 | |
Biotechnology — 5.8% | |||
79,627 | Amgen, Inc. | 20,097,855 | |
77,801 | Regeneron Pharmaceuticals, Inc.1 | 59,009,724 | |
136,576 | Vertex Pharmaceuticals, Inc.1 | 44,127,706 | |
123,235,285 | |||
Building Products — 1.2% | |||
139,872 | Trane Technologies PLC | 25,053,873 | |
Capital Markets — 1.9% | |||
99,989 | Intercontinental Exchange, Inc. | 10,753,817 | |
261,055 | Raymond James Financial, Inc. | 29,439,172 | |
40,192,989 | |||
Chemicals — 2.0% | |||
839,485 | Mosaic Co. | 41,588,087 | |
Communications Equipment — 2.7% | |||
458,400 | Arista Networks, Inc.1 | 57,767,568 | |
Containers & Packaging — 0.6% | |||
72,732 | Avery Dennison Corp. | 13,778,350 | |
Distributors — 2.1% | |||
267,408 | Genuine Parts Co. | 44,876,411 | |
Electronic Equipment, Instruments & Components — 8.4% | |||
728,761 | Amphenol Corp. Class A | 58,133,265 | |
299,147 | CDW Corp. | 58,641,786 | |
334,103 | Jabil, Inc. | 26,270,519 | |
199,810 | Keysight Technologies, Inc.1 | 35,835,924 | |
178,881,494 | |||
Entertainment — 4.5% | |||
246,138 | Electronic Arts, Inc. | 31,673,038 | |
4,238,077 | Warner Bros Discovery, Inc.1 | 62,808,301 | |
94,481,339 | |||
Equity Real Estate Investment Trusts — 2.7% | |||
63,325 | American Tower Corp. | 14,146,172 | |
212,841 | Lamar Advertising Co. Class A | 22,676,080 | |
65,842 | Public Storage | 20,038,354 | |
56,860,606 | |||
Food & Staples Retailing — 0.9% | |||
268,486 | BJ’s Wholesale Club Holdings, Inc.1 | 19,457,180 | |
Food Products — 1.5% | |||
467,517 | Kellogg Co. | 32,062,316 | |
Health Care Equipment & Supplies — 2.6% | |||
356,012 | Abbott Laboratories | 39,357,127 | |
55,856 | Danaher Corp. | 14,767,209 | |
54,124,336 | |||
Health Care Providers & Services — 3.9% | |||
70,027 | Elevance Health, Inc. | 35,012,800 |
5 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Providers & Services — (Continued) | |||
95,438 | UnitedHealth Group, Inc. | $47,641,695 | |
82,654,495 | |||
Hotels, Restaurants & Leisure — 2.0% | |||
143,832 | Airbnb, Inc. Class A1 | 15,981,174 | |
237,088 | Expedia Group, Inc.1 | 27,099,158 | |
43,080,332 | |||
Household Durables — 1.5% | |||
319,651 | Lennar Corp. Class A | 32,732,262 | |
Household Products — 1.8% | |||
274,705 | Procter & Gamble Co. | 39,112,498 | |
Insurance — 0.6% | |||
77,763 | Marsh & McLennan Cos., Inc. | 13,601,526 | |
Interactive Media & Service — 1.1% | |||
866,964 | Pinterest, Inc. Class A1 | 22,792,484 | |
Internet & Direct Marketing Retail — 1.2% | |||
499,853 | eBay, Inc. | 24,742,723 | |
IT Services — 10.7% | |||
73,620 | Accenture PLC Class A | 20,543,661 | |
229,505 | Automatic Data Processing, Inc. | 51,824,524 | |
462,771 | Paychex, Inc. | 53,616,648 | |
247,226 | PayPal Holdings, Inc.1 | 20,146,447 | |
209,111 | Snowflake, Inc. Class A1 | 32,713,325 | |
204,067 | Visa, Inc. Class A | 46,978,264 | |
225,822,869 | |||
Life Sciences Tools & Services — 0.7% | |||
95,098 | Agilent Technologies, Inc. | 14,462,504 | |
Machinery — 2.6% | |||
86,297 | Lincoln Electric Holdings, Inc. | 14,400,380 | |
122,656 | Parker-Hannifin Corp. | 39,985,856 | |
54,386,236 | |||
Media — 2.0% | |||
27,340 | Charter Communications, Inc. Class A1 | 10,507,035 | |
154,075 | Nexstar Media Group, Inc. | 31,549,938 | |
42,056,973 | |||
Oil, Gas & Consumable Fuels — 2.4% | |||
1,269,643 | Coterra Energy, Inc. | 31,779,164 | |
144,029 | EOG Resources, Inc. | 19,047,835 | |
50,826,999 | |||
Professional Services — 1.1% | |||
246,329 | Booz Allen Hamilton Holding Corp. | 23,312,577 | |
Road & Rail — 1.9% | |||
1,273,933 | CSX Corp. | 39,390,008 | |
Semiconductors & Semiconductor Equipment — 7.5% | |||
435,767 | Advanced Micro Devices, Inc.1 | 32,747,890 | |
130,138 | KLA Corp. | 51,076,562 | |
64,687 | Monolithic Power Systems, Inc. | 27,592,887 | |
640,367 | ON Semiconductor Corp.1 | 47,034,956 | |
158,452,295 |
6 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — 12.3% | |||
338,814 | Cadence Design Systems, Inc.1 | $61,945,364 | |
1,276,764 | Dropbox, Inc. Class A1 | 29,659,228 | |
1,002,065 | Fortinet, Inc.1 | 52,448,082 | |
222,993 | Microsoft Corp. | 55,259,895 | |
170,044 | Synopsys, Inc.1 | 60,153,065 | |
259,465,634 | |||
Specialty Retail — 5.9% | |||
482,082 | Best Buy Co., Inc. | 42,770,315 | |
211,978 | Lowe’s Cos., Inc. | 44,144,419 | |
75,574 | Ulta Beauty, Inc.1 | 38,842,013 | |
125,756,747 | |||
Technology Hardware, Storage & Peripherals — 0.5% | |||
389,415 | Pure Storage, Inc. Class A1 | 11,269,670 | |
Textiles, Apparel & Luxury Goods — 0.7% | |||
345,800 | Tapestry, Inc. | 15,758,106 | |
TOTAL COMMON STOCKS (Cost $1,602,338,843) | 2,109,644,983 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.5% | |||
$9,266,316 | With Fixed Income Clearing Corp., dated 1/31/23, 1.28%, principal and interest in the amount of $9,266,646, due 2/1/23, (collateralized by a U.S. Treasury Note with a par value of $9,665,400,
coupon rate of 3.000%, due 06/30/2024, market value of $9,451,708) | 9,266,316 | |
TOTAL REPURCHASE AGREEMENT (Cost $9,266,316) | 9,266,316 | ||
TOTAL INVESTMENTS (Cost $1,611,605,159) | 100.1% | $2,118,911,299 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (1,502,119) | |
NET ASSETS | 100.0% | $2,117,409,180 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
7 |
Shares | Value | ||
COMMON STOCKS* — 99.6% | |||
Aerospace & Defense — 2.0% | |||
155 | General Dynamics Corp. | $36,124 | |
Auto Components — 1.2% | |||
439 | BorgWarner, Inc. | 20,756 | |
Automobiles — 0.9% | |||
530 | Ford Motor Co. | 7,160 | |
241 | General Motors Co. | 9,476 | |
16,636 | |||
Banks — 6.6% | |||
346 | Citigroup, Inc. | 18,068 | |
479 | Citizens Financial Group, Inc. | 20,750 | |
105 | Comerica, Inc. | 7,698 | |
257 | Fifth Third Bancorp | 9,327 | |
478 | KeyCorp | 9,173 | |
1,530 | Regions Financial Corp. | 36,016 | |
359 | Wells Fargo & Co. | 16,826 | |
117,858 | |||
Biotechnology — 3.5% | |||
531 | Gilead Sciences, Inc. | 44,572 | |
56 | Vertex Pharmaceuticals, Inc.1 | 18,094 | |
62,666 | |||
Building Products — 2.3% | |||
431 | Carrier Global Corp. | 19,623 | |
139 | Fortune Brands Innovations, Inc. | 8,967 | |
139 | Masterbrand, Inc. | 1,279 | |
117 | Owens Corning | 11,308 | |
41,177 | |||
Capital Markets — 4.3% | |||
163 | CME Group, Inc. | 28,795 | |
191 | Intercontinental Exchange, Inc. | 20,542 | |
467 | Nasdaq, Inc. | 28,109 | |
77,446 | |||
Chemicals — 1.5% | |||
274 | Dow, Inc. | 16,262 | |
156 | Olin Corp. | 10,076 | |
26,338 | |||
Communications Equipment — 0.7% | |||
254 | Cisco Systems, Inc. | 12,362 | |
Consumer Finance — 3.3% | |||
180 | Capital One Financial Corp. | 21,420 | |
1,031 | Synchrony Financial | 37,869 | |
59,289 | |||
Containers & Packaging — 1.1% | |||
491 | Westrock Co. | 19,267 | |
Distributors — 0.5% | |||
166 | LKQ Corp. | 9,787 | |
Diversified Consumer Services — 1.1% | |||
253 | Service Corp. International | 18,760 |
8 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Diversified Financial Services — 2.0% | |||
564 | Equitable Holdings, Inc. | $18,087 | |
250 | Voya Financial, Inc. | 17,443 | |
35,530 | |||
Diversified Telecommunication Services — 2.1% | |||
1,817 | AT&T, Inc. | 37,012 | |
Electric Utilities — 1.9% | |||
360 | American Electric Power Co., Inc. | 33,826 | |
Equity Real Estate Investment Trusts — 4.4% | |||
220 | CubeSmart | 10,074 | |
25 | Equinix, Inc. | 18,453 | |
92 | Lamar Advertising Co. Class A | 9,802 | |
42 | Public Storage | 12,782 | |
778 | Weyerhaeuser Co. | 26,787 | |
77,898 | |||
Food & Staples Retailing — 1.9% | |||
754 | Kroger Co. | 33,651 | |
Food Products — 4.0% | |||
371 | Archer-Daniels-Midland Co. | 30,737 | |
261 | General Mills, Inc. | 20,452 | |
479 | Kraft Heinz Co. | 19,414 | |
70,603 | |||
Gas Utilities — 1.0% | |||
443 | UGI Corp. | 17,645 | |
Health Care Providers & Services — 6.4% | |||
110 | Centene Corp.1 | 8,387 | |
75 | Cigna Corp. | 23,750 | |
279 | CVS Health Corp. | 24,613 | |
67 | Elevance Health, Inc. | 33,499 | |
33 | Laboratory Corp. of America Holdings | 8,320 | |
41 | McKesson Corp. | 15,526 | |
114,095 | |||
Independent Power & Renewable Electricity Producer — 1.4% | |||
931 | AES Corp. | 25,519 | |
Insurance — 1.6% | |||
296 | American International Group, Inc. | 18,713 | |
86 | Prudential Financial, Inc. | 9,025 | |
27,738 | |||
Internet & Direct Marketing Retail — 0.6% | |||
201 | eBay, Inc. | 9,949 | |
IT Services — 3.0% | |||
144 | Amdocs Ltd. | 13,238 | |
480 | Cognizant Technology Solutions Corp. Class A | 32,040 | |
107 | PayPal Holdings, Inc.1 | 8,719 | |
53,997 | |||
Life Sciences Tools & Services — 1.0% | |||
125 | PerkinElmer, Inc. | 17,191 | |
Machinery — 3.0% | |||
85 | PACCAR, Inc. | 9,291 |
9 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Machinery — (Continued) | |||
72 | Parker-Hannifin Corp. | $23,472 | |
81 | Snap-on, Inc. | 20,147 | |
52,910 | |||
Media — 6.7% | |||
1,039 | Comcast Corp. Class A | 40,885 | |
255 | Fox Corp. Class A | 8,655 | |
818 | Interpublic Group of Cos., Inc. | 29,824 | |
94 | Nexstar Media Group, Inc. | 19,248 | |
248 | Omnicom Group, Inc. | 21,326 | |
119,938 | |||
Metals & Mining — 3.7% | |||
278 | Nucor Corp. | 46,987 | |
86 | Reliance Steel & Aluminum Co. | 19,561 | |
66,548 | |||
Multi-line Retail — 1.2% | |||
877 | Macy’s, Inc. | 20,724 | |
Multi-Utilities — 0.5% | |||
314 | NiSource, Inc. | 8,714 | |
Oil, Gas & Consumable Fuels — 9.2% | |||
359 | ConocoPhillips | 43,751 | |
168 | HF Sinclair Corp. | 9,559 | |
365 | Marathon Petroleum Corp. | 46,910 | |
330 | Phillips 66 | 33,089 | |
217 | Valero Energy Corp. | 30,387 | |
163,696 | |||
Pharmaceuticals — 5.1% | |||
562 | Bristol-Myers Squibb Co. | 40,829 | |
115 | Merck & Co., Inc. | 12,352 | |
867 | Pfizer, Inc. | 38,287 | |
91,468 | |||
Professional Services — 0.5% | |||
99 | Leidos Holdings, Inc. | 9,785 | |
Real Estate Management & Development — 1.4% | |||
302 | CBRE Group, Inc. Class A1 | 25,824 | |
Road & Rail — 2.0% | |||
1,131 | CSX Corp. | 34,971 | |
Semiconductors & Semiconductor Equipment — 2.2% | |||
243 | ON Semiconductor Corp.1 | 17,848 | |
200 | Qorvo, Inc.1 | 21,732 | |
39,580 | |||
Software — 0.4% | |||
101 | Zoom Video Communications, Inc. Class A1 | 7,575 | |
Specialty Retail — 0.5% | |||
105 | Best Buy Co., Inc. | 9,316 | |
Technology Hardware, Storage & Peripherals — 1.9% | |||
2,055 | Hewlett Packard Enterprise Co. | 33,147 |
10 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Textiles, Apparel & Luxury Goods — 1.0% | |||
403 | Tapestry, Inc. | $18,365 | |
TOTAL COMMON STOCKS (Cost $1,397,891) | 1,775,681 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.8% | |||
$13,287 | With Fixed Income Clearing Corp., dated 1/31/23, 1.28%, principal and interest in the amount of $13,287, due 2/1/23, (collateralized by a U.S. Treasury Note with a par value of $13,900, coupon rate
of 3.000%, due 06/30/2024, market value of $13,593) | 13,287 | |
TOTAL REPURCHASE AGREEMENT (Cost $13,287) | 13,287 | ||
TOTAL INVESTMENTS (Cost $1,411,178) | 100.4% | $1,788,968 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.4) | (6,413) | |
NET ASSETS | 100.0% | $1,782,555 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
11 |
Shares | Value | ||
COMMON STOCKS* — 100.1% | |||
Aerospace & Defense — 0.5% | |||
77 | Moog, Inc. Class A | $7,340 | |
Air Freight & Logistics — 0.7% | |||
118 | Atlas Air Worldwide Holdings, Inc.1,2 | 12,061 | |
Airlines — 0.9% | |||
690 | SkyWest, Inc.1 | 14,324 | |
Auto Components — 2.0% | |||
598 | Modine Manufacturing Co.1 | 14,286 | |
5,397 | Solid Power, Inc.1 | 18,080 | |
32,366 | |||
Banks — 7.2% | |||
583 | Associated Banc-Corp. | 13,065 | |
285 | Cathay General Bancorp | 12,529 | |
519 | Central Pacific Financial Corp. | 11,730 | |
400 | Columbia Banking System, Inc. | 12,364 | |
186 | Dime Community Bancshares, Inc. | 5,547 | |
337 | Financial Institutions, Inc. | 8,327 | |
211 | First Financial Corp. | 9,478 | |
334 | Hanmi Financial Corp. | 7,779 | |
232 | Midland States Bancorp, Inc. | 5,911 | |
410 | Northwest Bancshares, Inc. | 5,797 | |
420 | S&T Bancorp, Inc. | 15,280 | |
320 | Trustmark Corp. | 9,318 | |
117,125 | |||
Biotechnology — 7.6% | |||
3,014 | Atara Biotherapeutics, Inc.1 | 15,281 | |
951 | CareDx, Inc.1 | 14,208 | |
1,246 | Catalyst Pharmaceuticals, Inc.1 | 19,300 | |
271 | Eagle Pharmaceuticals, Inc.1 | 9,198 | |
593 | iTeos Therapeutics, Inc.1 | 12,394 | |
2,226 | Karyopharm Therapeutics, Inc.1 | 7,346 | |
2,228 | Sutro Biopharma, Inc.1 | 16,131 | |
664 | uniQure NV1 | 14,110 | |
467 | Xencor, Inc.1 | 15,373 | |
123,341 | |||
Building Products — 1.1% | |||
337 | Quanex Building Products Corp. | 8,725 | |
504 | Resideo Technologies, Inc.1 | 9,692 | |
18,417 | |||
Capital Markets — 0.8% | |||
301 | Donnelley Financial Solutions, Inc.1 | 13,729 | |
Commercial Services & Supplies — 1.3% | |||
128 | ABM Industries, Inc. | 6,004 | |
727 | ACCO Brands Corp. | 4,616 | |
859 | GEO Group, Inc.1,2 | 9,879 | |
20,499 | |||
Communications Equipment — 1.6% | |||
1,347 | Harmonic, Inc.1 | 17,740 | |
281 | NetScout Systems, Inc.1 | 9,020 | |
26,760 |
12 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Construction & Engineering — 1.8% | |||
135 | Comfort Systems USA, Inc. | $16,341 | |
370 | Sterling Infrastructure, Inc.1 | 13,464 | |
29,805 | |||
Consumer Finance — 1.6% | |||
1,789 | EZCORP, Inc. Class A1 | 16,298 | |
530 | Green Dot Corp. Class A1 | 9,582 | |
25,880 | |||
Diversified Consumer Services — 1.7% | |||
520 | Chegg, Inc.1 | 10,795 | |
375 | Stride, Inc.1 | 16,099 | |
26,894 | |||
Diversified Financial Services — 0.8% | |||
332 | A-Mark Precious Metals, Inc. | 12,782 | |
Diversified Telecommunication Services — 1.6% | |||
570 | Bandwidth, Inc. Class A1 | 14,181 | |
883 | Ooma, Inc.1 | 12,689 | |
26,870 | |||
Electric Utilities — 1.5% | |||
221 | ALLETE, Inc. | 13,671 | |
157 | Otter Tail Corp. | 10,072 | |
23,743 | |||
Electronic Equipment, Instruments & Components — 2.0% | |||
230 | Sanmina Corp.1 | 14,014 | |
778 | TTM Technologies, Inc.1 | 12,230 | |
252 | Vishay Intertechnology, Inc. | 5,768 | |
32,012 | |||
Equity Real Estate Investment Trusts — 7.6% | |||
750 | Apple Hospitality REIT, Inc. | 13,298 | |
1,447 | City Office REIT, Inc. | 14,238 | |
1,325 | DiamondRock Hospitality Co. | 12,760 | |
61 | EastGroup Properties, Inc. | 10,263 | |
1,506 | Hersha Hospitality Trust REIT | 13,855 | |
740 | Outfront Media, Inc. | 14,726 | |
384 | Phillips Edison & Co., Inc. REIT | 12,872 | |
946 | RLJ Lodging Trust | 11,891 | |
181 | STAG Industrial, Inc. | 6,444 | |
1,212 | Sunstone Hotel Investors, Inc. | 13,320 | |
123,667 | |||
Food & Staples Retailing — 0.9% | |||
483 | Sprouts Farmers Market, Inc.1 | 15,432 | |
Food Products — 1.8% | |||
167 | Cal-Maine Foods, Inc. | 9,556 | |
534 | Hostess Brands, Inc.1 | 12,351 | |
200 | Simply Good Foods Co.1 | 7,260 | |
29,167 | |||
Health Care Equipment & Supplies — 2.3% | |||
489 | Inogen, Inc.1 | 11,408 | |
589 | Orthofix Medical, Inc.1 | 12,740 | |
609 | Varex Imaging Corp.1 | 13,088 | |
37,236 |
13 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Providers & Services — 2.9% | |||
2,738 | Brookdale Senior Living, Inc.1 | $7,885 | |
11,263 | Clover Health Investments Corp.1,2 | 14,980 | |
609 | PetIQ, Inc.1 | 7,211 | |
615 | Select Medical Holdings Corp. | 17,878 | |
47,954 | |||
Health Care Technology — 2.0% | |||
1,700 | Health Catalyst, Inc.1 | 23,630 | |
535 | Veradigm, Inc.1 | 9,582 | |
33,212 | |||
Hotels, Restaurants & Leisure — 1.1% | |||
687 | International Game Technology PLC | 18,171 | |
Household Durables — 2.3% | |||
115 | Skyline Champion Corp.1 | 6,779 | |
476 | Taylor Morrison Home Corp.1 | 17,041 | |
629 | Tri Pointe Homes, Inc.1 | 13,895 | |
37,715 | |||
Insurance — 0.9% | |||
2,683 | Genworth Financial, Inc. Class A1 | 14,810 | |
Interactive Media & Services — 1.9% | |||
3,245 | Vimeo, Inc.1 | 14,732 | |
811 | ZipRecruiter, Inc. Class A1,2 | 15,928 | |
30,660 | |||
IT Services — 3.0% | |||
2,811 | Conduent, Inc.1 | 13,408 | |
710 | Hackett Group, Inc. | 15,691 | |
368 | Paysafe Ltd.1 | 7,743 | |
1,130 | StoneCo Ltd. Class A1 | 12,611 | |
49,453 | |||
Leisure Equipment & Products — 0.8% | |||
453 | Vista Outdoor, Inc.1 | 13,295 | |
Machinery — 0.7% | |||
239 | Hillenbrand, Inc. | 11,199 | |
Media — 1.1% | |||
1,328 | Gray Television, Inc. | 17,211 | |
Metals & Mining — 4.1% | |||
420 | Commercial Metals Co. | 22,794 | |
910 | Constellium SE1 | 13,222 | |
351 | Olympic Steel, Inc. | 15,528 | |
776 | TimkenSteel Corp.1 | 15,264 | |
66,808 | |||
Multi-Utilities — 0.9% | |||
274 | Unitil Corp. | 14,295 | |
Oil, Gas & Consumable Fuels — 8.8% | |||
771 | Berry Corp. | 7,093 | |
169 | California Resources Corp. | 7,221 | |
706 | CVR Energy, Inc. | 23,439 | |
990 | Dorian LPG Ltd. | 19,652 | |
824 | Frontline PLC | 11,396 | |
590 | Par Pacific Holdings, Inc.1 | 15,771 |
14 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Oil, Gas & Consumable Fuels — (Continued) | |||
593 | PBF Energy, Inc. Class A | $24,900 | |
230 | Scorpio Tankers, Inc. | 11,010 | |
300 | Talos Energy, Inc.1 | 5,943 | |
572 | Teekay Tankers Ltd. Class A1 | 17,555 | |
143,980 | |||
Paper & Forest Products — 1.4% | |||
289 | Clearwater Paper Corp.1 | 11,158 | |
900 | Mercer International, Inc. | 11,457 | |
22,615 | |||
Personal Products — 1.0% | |||
947 | Herbalife Nutrition Ltd.1 | 16,639 | |
Pharmaceuticals — 1.3% | |||
763 | Collegium Pharmaceutical, Inc.1 | 21,425 | |
Professional Services — 1.8% | |||
314 | Heidrick & Struggles International, Inc. | 9,659 | |
202 | Korn Ferry | 10,906 | |
543 | Resources Connection, Inc. | 9,377 | |
29,942 | |||
Semiconductors & Semiconductor Equipment — 2.5% | |||
160 | Diodes, Inc.1 | 14,270 | |
192 | Kulicke & Soffa Industries, Inc. | 9,811 | |
957 | Photronics, Inc.1 | 17,341 | |
41,422 | |||
Software — 2.5% | |||
366 | Adeia, Inc. | 4,008 | |
93 | CommVault Systems, Inc.1 | 5,787 | |
222 | Progress Software Corp. | 11,775 | |
146 | Xperi, Inc.1 | 1,511 | |
2,659 | Yext, Inc.1 | 18,480 | |
41,561 | |||
Specialty Retail — 3.8% | |||
285 | Academy Sports & Outdoors, Inc. | 16,650 | |
62 | Group 1 Automotive, Inc. | 13,259 | |
239 | MarineMax, Inc.1 | 7,469 | |
90 | Signet Jewelers Ltd. | 6,913 | |
167 | Sonic Automotive, Inc. Class A | 8,969 | |
199 | TravelCenters of America, Inc.1 | 9,058 | |
62,318 | |||
Thrifts & Mortgage Finance — 2.3% | |||
502 | Enact Holdings, Inc. | 12,625 | |
576 | Provident Financial Services, Inc. | 13,513 | |
540 | Radian Group, Inc. | 11,934 | |
38,072 | |||
Trading Companies & Distributors — 5.7% | |||
194 | Boise Cascade Co. | 14,544 | |
120 | GMS, Inc.1 | 7,119 | |
1,707 | NOW, Inc.1 | 23,966 | |
215 | Rush Enterprises, Inc. Class A | 11,569 | |
315 | Titan Machinery, Inc.1 | 13,841 |
15 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Trading Companies & Distributors — (Continued) | |||
153 | WESCO International, Inc.1 | $22,799 | |
93,838 | |||
TOTAL COMMON STOCKS (Cost $1,323,993) | 1,636,045 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.6% | |||
$9,665 | With Fixed Income Clearing Corp., dated 1/31/23, 1.28%, principal and interest in the amount of $9,666, due 2/1/23, (collateralized by a U.S. Treasury Note with a par value of $10,100, coupon rate
of 3.000%, due 06/30/2024, market value of $9,877) | 9,665 | |
TOTAL REPURCHASE AGREEMENT (Cost $9,665) | 9,665 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.6% | |||
25,478 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 25,478 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $25,478) | 25,478 | ||
TOTAL INVESTMENTS (Cost $1,359,136) | 102.3% | $1,671,188 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (2.3) | (37,460) | |
NET ASSETS | 100.0% | $1,633,728 |
* | 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. |
16 |
Shares | Value | ||
COMMON STOCKS* — 95.6% | |||
Japan — 19.1% | |||
5,000 | Asahi Group Holdings Ltd. | $164,484 | |
3,200 | Daito Trust Construction Co. Ltd. | 315,169 | |
16,200 | Honda Motor Co. Ltd. | 399,135 | |
9,600 | ITOCHU Corp. | 308,507 | |
26,300 | Japan Post Holdings Co. Ltd. | 230,339 | |
17,600 | Japan Tobacco, Inc. | 358,991 | |
6,000 | KDDI Corp. | 187,101 | |
26,700 | Marubeni Corp. | 325,430 | |
15,900 | Mitsui & Co. Ltd. | 466,623 | |
17,151 | Nitto Denko Corp., ADR | 547,288 | |
7,800 | SBI Holdings, Inc. | 164,371 | |
13,200 | Sekisui House Ltd. | 248,555 | |
3,000 | Shin-Etsu Chemical Co. Ltd. | 439,634 | |
12,800 | SUMCO Corp. | 187,823 | |
5,600 | Suntory Beverage & Food Ltd. | 188,438 | |
4,531,888 | |||
France — 13.4% | |||
16,300 | AXA SA | 507,074 | |
2,151 | Capgemini SE | 406,658 | |
2,300 | Danone SA | 125,798 | |
3,900 | Eiffage SA | 415,339 | |
20,300 | Engie SA | 287,340 | |
4,500 | Klepierre SA REIT | 113,792 | |
5,595 | Publicis Groupe SA | 393,788 | |
4,782 | Sanofi | 466,172 | |
1,900 | Sodexo SA | 188,010 | |
2,190 | TotalEnergies SE, ADR | 135,661 | |
1,300 | Vinci SA | 146,474 | |
3,186,106 | |||
United Kingdom — 11.7% | |||
28,000 | BAE Systems PLC | 295,766 | |
91,100 | Barclays PLC | 208,722 | |
15,000 | Burberry Group PLC | 455,106 | |
23,783 | GSK PLC | 417,353 | |
15,000 | HSBC Holdings PLC | 110,291 | |
2,700 | Reckitt Benckiser Group PLC | 192,066 | |
14,800 | Shell PLC | 433,164 | |
7,912 | Unilever PLC, ADR1 | 404,303 | |
230,700 | Vodafone Group PLC | 264,850 | |
2,781,621 | |||
Canada — 8.7% | |||
11,500 | Barrick Gold Corp. | 224,892 | |
3,600 | CGI, Inc.2 | 308,552 | |
4,700 | Dollarama, Inc. | 281,071 | |
1,700 | George Weston Ltd. | 218,698 | |
4,000 | Sun Life Financial, Inc. | 201,000 | |
10,000 | Suncor Energy, Inc. | 347,074 | |
7,100 | Toronto-Dominion Bank | 491,245 | |
2,072,532 | |||
Germany — 6.8% | |||
3,300 | Bayer AG | 204,493 | |
1,300 | Bayerische Motoren Werke AG | 131,761 | |
1,400 | Deutsche Boerse AG | 249,990 | |
9,639 | Deutsche Post AG | 412,665 |
17 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Germany — (Continued) | |||
5,700 | Deutsche Telekom AG | $126,724 | |
13,900 | Infineon Technologies AG | 497,391 | |
1,623,024 | |||
Spain — 5.1% | |||
22,050 | Iberdrola SA | 261,868 | |
9,100 | Industria de Diseno Textil SA | 283,140 | |
40,187 | Repsol SA | 659,272 | |
2,624 | Telefonica SA | 9,947 | |
1,214,227 | |||
Australia — 4.6% | |||
15,000 | ANZ Group Holdings Ltd. | 265,646 | |
6,500 | ASX Ltd. | 316,436 | |
10,500 | BlueScope Steel Ltd. | 142,003 | |
2,400 | Cochlear Ltd. | 359,899 | |
1,083,984 | |||
Switzerland — 4.1% | |||
2,700 | Holcim AG | 160,614 | |
1,400 | Kuehne & Nagel International AG | 332,758 | |
1,560 | Roche Holding AG | 486,062 | |
979,434 | |||
Denmark — 4.0% | |||
8,107 | Carlsberg AS Class B, ADR | 229,347 | |
3,800 | Novo Nordisk AS Class B | 523,682 | |
2,400 | Pandora AS | 198,518 | |
951,547 | |||
Singapore — 3.6% | |||
35,000 | Oversea-Chinese Banking Corp. Ltd. | 344,459 | |
16,400 | Singapore Exchange Ltd. | 115,092 | |
17,515 | United Overseas Bank Ltd. | 397,680 | |
857,231 | |||
Netherlands — 2.6% | |||
9,300 | Koninklijke Ahold Delhaize NV | 276,876 | |
44,600 | Koninklijke KPN NV | 152,297 | |
3,000 | Randstad NV | 191,382 | |
620,555 | |||
Sweden — 1.9% | |||
23,000 | Volvo AB Class B | 454,937 | |
Israel — 1.8% | |||
36,600 | Bank Leumi Le-Israel BM | 321,608 | |
20,500 | Israel Discount Bank Ltd. Class A | 104,173 | |
425,781 | |||
New Zealand — 1.6% | |||
110,900 | Spark New Zealand Ltd. | 373,124 | |
China — 1.6% | |||
105,700 | BOC Hong Kong Holdings Ltd. | 368,683 | |
Austria — 1.5% | |||
18,500 | Mondi PLC | 347,362 | |
Hong Kong — 1.3% | |||
48,400 | CK Asset Holdings Ltd. | 309,246 |
18 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Finland — 0.9% | |||
15,700 | Stora Enso Oyj | $223,509 | |
Norway — 0.7% | |||
5,600 | Equinor ASA | 170,161 | |
Portugal — 0.6% | |||
6,500 | Jeronimo Martins SGPS SA | 140,906 | |
TOTAL COMMON STOCKS (Cost $21,003,682) | 22,715,858 | ||
PREFERRED STOCKS* — 1.5% | |||
Germany — 1.5% | |||
2,500 | Volkswagen AG | 345,007 | |
TOTAL PREFERRED STOCKS (Cost $365,384) | 345,007 | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.1% | |||
31,673 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 31,673 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $31,673) | 31,673 | ||
TOTAL INVESTMENTS (Cost $21,400,739) | 97.2% | $23,092,538 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 2.8 | 657,068 | |
NET ASSETS | 100.0% | $23,749,606 |
* | 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* — 99.5% | |||
Aerospace & Defense — 0.8% | |||
419 | Lockheed Martin Corp. | $194,106 | |
Automobiles — 2.4% | |||
11,907 | Harley-Davidson, Inc. | 548,079 | |
Banks — 2.9% | |||
3,732 | Bank of America Corp. | 132,412 | |
23,006 | Regions Financial Corp. | 541,561 | |
673,973 | |||
Biotechnology — 3.4% | |||
2,144 | Amgen, Inc. | 541,146 | |
820 | Biogen, Inc.1 | 238,538 | |
779,684 | |||
Building Products — 2.3% | |||
7,815 | Carrier Global Corp. | 355,817 | |
1,779 | Owens Corning | 171,940 | |
527,757 | |||
Capital Markets — 3.1% | |||
1,789 | CME Group, Inc. | 316,045 | |
6,537 | Nasdaq, Inc. | 393,462 | |
709,507 | |||
Chemicals — 1.2% | |||
4,735 | Dow, Inc. | 281,022 | |
Commercial Services & Supplies — 0.9% | |||
1,705 | Republic Services, Inc. Class A | 212,818 | |
Communications Equipment — 3.3% | |||
1,383 | Arista Networks, Inc.1 | 174,285 | |
8,370 | Cisco Systems, Inc. | 407,368 | |
5,963 | Juniper Networks, Inc. | 192,605 | |
774,258 | |||
Construction & Engineering — 1.3% | |||
3,358 | AECOM | 293,053 | |
Consumer Finance — 1.8% | |||
11,551 | Synchrony Financial | 424,268 | |
Containers & Packaging — 0.8% | |||
7,408 | Graphic Packaging Holding Co. | 178,459 | |
Distributors — 2.6% | |||
866 | Genuine Parts Co. | 145,332 | |
7,788 | LKQ Corp. | 459,181 | |
604,513 | |||
Diversified Consumer Services — 0.6% | |||
3,671 | H&R Block, Inc. | 143,096 | |
Diversified Telecommunication Services — 2.2% | |||
11,996 | AT&T, Inc. | 244,359 | |
51,100 | Lumen Technologies, Inc. | 268,275 | |
512,634 | |||
Electronic Equipment, Instruments & Components — 1.3% | |||
1,674 | Keysight Technologies, Inc.1 | 300,232 |
20 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Equity Real Estate Investment Trusts — 2.1% | |||
853 | Crown Castle, Inc | $126,338 | |
10,716 | Weyerhaeuser Co. | 368,952 | |
495,290 | |||
Food & Staples Retailing — 1.5% | |||
7,997 | Kroger Co. | 356,906 | |
Food Products — 3.6% | |||
2,781 | Archer-Daniels-Midland Co. | 230,406 | |
7,698 | General Mills, Inc. | 603,215 | |
833,621 | |||
Health Care Equipment & Supplies — 1.0% | |||
880 | Danaher Corp. | 232,654 | |
Health Care Providers & Services — 6.4% | |||
2,711 | AmerisourceBergen Corp. | 458,051 | |
1,026 | Cigna Corp. | 324,903 | |
1,152 | Elevance Health, Inc. | 575,988 | |
242 | UnitedHealth Group, Inc. | 120,804 | |
1,479,746 | |||
Hotels, Restaurants & Leisure — 2.1% | |||
199 | Booking Holdings, Inc.1 | 484,386 | |
Household Products — 1.4% | |||
2,264 | Procter & Gamble Co. | 322,348 | |
Insurance — 1.4% | |||
5,003 | American International Group, Inc. | 316,290 | |
Interactive Media & Service — 0.5% | |||
1,220 | Alphabet, Inc. Class A1 | 120,585 | |
IT Services — 3.8% | |||
3,853 | Akamai Technologies, Inc.1 | 342,725 | |
6,235 | Cognizant Technology Solutions Corp. Class A | 416,186 | |
1,200 | Fiserv, Inc.1 | 128,016 | |
886,927 | |||
Machinery — 0.9% | |||
2,100 | Oshkosh Corp. | 211,638 | |
Media — 6.1% | |||
8,960 | Comcast Corp. Class A | 352,576 | |
14,762 | Interpublic Group of Cos., Inc. | 538,222 | |
600 | Nexstar Media Group, Inc. | 122,862 | |
4,608 | Omnicom Group, Inc. | 396,242 | |
1,409,902 | |||
Metals & Mining — 2.1% | |||
2,868 | Nucor Corp. | 484,749 | |
Multi-Utilities — 2.1% | |||
17,781 | NiSource, Inc. | 493,423 | |
Oil, Gas & Consumable Fuels — 6.2% | |||
1,474 | Exxon Mobil Corp. | 170,999 | |
5,525 | HF Sinclair Corp. | 314,372 | |
14,606 | Kinder Morgan, Inc. | 267,290 | |
4,400 | Marathon Petroleum Corp. | 565,488 |
21 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Oil, Gas & Consumable Fuels — (Continued) | |||
3,800 | Williams Cos., Inc. | $122,512 | |
1,440,661 | |||
Pharmaceuticals — 3.3% | |||
1,459 | Bristol-Myers Squibb Co. | 105,996 | |
3,088 | Merck & Co., Inc. | 331,682 | |
7,598 | Pfizer, Inc. | 335,528 | |
773,206 | |||
Real Estate Management & Development — 2.1% | |||
5,594 | CBRE Group, Inc. Class A1 | 478,343 | |
Road & Rail — 2.1% | |||
9,528 | CSX Corp. | 294,606 | |
3,136 | Knight-Swift Transportation Holdings, Inc. | 185,337 | |
479,943 | |||
Semiconductors & Semiconductor Equipment — 5.3% | |||
5,400 | Advanced Micro Devices, Inc.1 | 405,810 | |
5,820 | ON Semiconductor Corp.1 | 427,479 | |
3,705 | Skyworks Solutions, Inc. | 406,327 | |
1,239,616 | |||
Software — 8.7% | |||
372 | Adobe, Inc.1 | 137,767 | |
3,017 | Cadence Design Systems, Inc.1 | 551,598 | |
3,300 | DocuSign, Inc.1 | 200,112 | |
7,352 | Dropbox, Inc. Class A1 | 170,787 | |
9,960 | Fortinet, Inc.1 | 521,306 | |
1,241 | Synopsys, Inc.1 | 439,004 | |
2,020,574 | |||
Specialty Retail — 3.0% | |||
941 | Ulta Beauty, Inc.1 | 483,636 | |
1,555 | Williams-Sonoma, Inc. | 209,832 | |
693,468 | |||
Technology Hardware, Storage & Peripherals — 2.2% | |||
19,561 | Hewlett Packard Enterprise Co. | 315,519 | |
6,600 | Pure Storage, Inc. Class A1 | 191,004 | |
506,523 | |||
Textiles, Apparel & Luxury Goods — 0.7% | |||
1,250 | Ralph Lauren Corp. | 154,812 | |
TOTAL COMMON STOCKS (Cost $18,862,623) | 23,073,070 |
22 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 0.5% | |||
$111,939 | With Fixed Income Clearing Corp., dated 1/31/23, 1.28%, principal and interest in the amount of $111,943, due 2/1/23, (collateralized by a U.S. Treasury Note with a par value of $116,800, coupon
rate of 3.000%, due 06/30/2024, market value of $114,218) | $111,939 | |
TOTAL REPURCHASE AGREEMENT (Cost $111,939) | 111,939 | ||
TOTAL INVESTMENTS (Cost $18,974,562) | 100.0% | $23,185,009 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.0) | (3,837) | |
NET ASSETS | 100.0% | $23,181,172 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
23 |
Shares | Value | ||
COMMON STOCKS* — 99.5% | |||
Aerospace & Defense — 2.1% | |||
2,055 | General Dynamics Corp. | $478,938 | |
Air Freight & Logistics — 1.1% | |||
1,283 | United Parcel Service, Inc. Class B | 237,650 | |
Auto Components — 1.3% | |||
6,200 | BorgWarner, Inc. | 293,136 | |
Automobiles — 0.5% | |||
2,932 | General Motors Co. | 115,286 | |
Banks — 2.7% | |||
4,795 | Citizens Financial Group, Inc. | 207,719 | |
2,282 | Comerica, Inc. | 167,293 | |
5,368 | Synovus Financial Corp. | 225,188 | |
600,200 | |||
Beverages — 0.7% | |||
2,448 | Coca-Cola Co. | 150,111 | |
Biotechnology — 3.9% | |||
1,956 | Biogen, Inc.1 | 569,000 | |
931 | Vertex Pharmaceuticals, Inc.1 | 300,806 | |
869,806 | |||
Building Products — 1.0% | |||
3,468 | Fortune Brands Innovations, Inc. | 223,721 | |
Capital Markets — 4.2% | |||
2,550 | CME Group, Inc. | 450,483 | |
4,416 | Intercontinental Exchange, Inc. | 474,941 | |
925,424 | |||
Chemicals — 1.6% | |||
3,572 | Corteva, Inc. | 230,215 | |
2,285 | Dow, Inc. | 135,615 | |
365,830 | |||
Commercial Services & Supplies — 1.4% | |||
2,568 | Republic Services, Inc. Class A | 320,538 | |
Communications Equipment — 3.9% | |||
3,691 | Arista Networks, Inc.1 | 465,140 | |
8,458 | Cisco Systems, Inc. | 411,651 | |
876,791 | |||
Consumer Finance — 1.4% | |||
8,622 | Synchrony Financial | 316,686 | |
Diversified Telecommunication Services — 2.4% | |||
15,264 | AT&T, Inc. | 310,928 | |
19,432 | Lumen Technologies, Inc. | 102,018 | |
3,046 | Verizon Communications, Inc. | 126,622 | |
539,568 | |||
Electrical Equipment — 2.0% | |||
10,934 | nVent Electric PLC | 434,627 | |
Energy Equipment & Services — 0.7% | |||
4,936 | Baker Hughes Co. Class A | 156,669 | |
Equity Real Estate Investment Trusts — 4.4% | |||
551 | American Tower Corp. | 123,088 |
24 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Equity Real Estate Investment Trusts — (Continued) | |||
487 | Equinix, Inc. | $359,469 | |
14,535 | Weyerhaeuser Co. | 500,440 | |
982,997 | |||
Food & Staples Retailing — 1.5% | |||
7,357 | Kroger Co. | 328,343 | |
Food Products — 2.5% | |||
5,715 | General Mills, Inc. | 447,827 | |
1,834 | Mondelez International, Inc. Class A | 120,017 | |
567,844 | |||
Health Care Providers & Services — 6.6% | |||
4,694 | Centene Corp.1 | 357,870 | |
3,090 | CVS Health Corp. | 272,600 | |
326 | Elevance Health, Inc. | 162,997 | |
3,845 | Quest Diagnostics, Inc. | 570,906 | |
212 | UnitedHealth Group, Inc. | 105,828 | |
1,470,201 | |||
Hotels, Restaurants & Leisure — 2.8% | |||
252 | Booking Holdings, Inc.1 | 613,393 | |
Household Products — 1.5% | |||
2,355 | Procter & Gamble Co. | 335,305 | |
Insurance — 1.2% | |||
6,100 | Unum Group | 256,383 | |
IT Services — 6.4% | |||
3,900 | Amdocs Ltd. | 358,527 | |
6,104 | Cognizant Technology Solutions Corp. Class A | 407,442 | |
780 | Gartner, Inc.1 | 263,749 | |
2,516 | Genpact Ltd. | 118,957 | |
3,388 | PayPal Holdings, Inc.1 | 276,088 | |
1,424,763 | |||
Media — 6.4% | |||
4,719 | Comcast Corp. Class A | 185,693 | |
14,176 | Interpublic Group of Cos., Inc. | 516,857 | |
12,491 | News Corp. Class A | 253,068 | |
599 | Nexstar Media Group, Inc. | 122,657 | |
4,063 | Omnicom Group, Inc. | 349,377 | |
1,427,652 | |||
Metals & Mining — 2.2% | |||
9,400 | Newmont Corp. | 497,542 | |
Multi-Utilities — 1.1% | |||
2,710 | WEC Energy Group, Inc. | 254,713 | |
Oil, Gas & Consumable Fuels — 5.2% | |||
2,282 | Exxon Mobil Corp. | 264,735 | |
5,198 | Marathon Petroleum Corp. | 668,047 | |
2,321 | Phillips 66 | 232,726 | |
1,165,508 | |||
Pharmaceuticals — 4.9% | |||
4,500 | Bristol-Myers Squibb Co. | 326,925 | |
4,813 | Merck & Co., Inc. | 516,965 |
25 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Pharmaceuticals — (Continued) | |||
5,608 | Pfizer, Inc. | $247,649 | |
1,091,539 | |||
Road & Rail — 0.8% | |||
860 | Union Pacific Corp. | 175,603 | |
Semiconductors & Semiconductor Equipment — 4.6% | |||
1,552 | Advanced Micro Devices, Inc.1 | 116,633 | |
5,128 | Applied Materials, Inc. | 571,721 | |
4,527 | ON Semiconductor Corp.1 | 332,508 | |
1,020,862 | |||
Software — 6.2% | |||
22,498 | Dropbox, Inc. Class A1 | 522,628 | |
1,377 | Salesforce, Inc.1 | 231,295 | |
1,760 | Synopsys, Inc.1 | 622,600 | |
1,376,523 | |||
Specialty Retail — 5.5% | |||
2,379 | Lowe’s Cos., Inc. | 495,427 | |
1,120 | Ulta Beauty, Inc.1 | 575,635 | |
1,100 | Williams-Sonoma, Inc. | 148,434 | |
1,219,496 | |||
Technology Hardware, Storage & Peripherals — 3.4% | |||
27,008 | Hewlett Packard Enterprise Co. | 435,639 | |
5,024 | NetApp, Inc. | 332,740 | |
768,379 | |||
Textiles, Apparel & Luxury Goods — 1.4% | |||
6,638 | Tapestry, Inc. | 302,494 | |
TOTAL COMMON STOCKS (Cost $18,810,625) | 22,184,521 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.7% | |||
$168,473 | With Fixed Income Clearing Corp., dated 1/31/23, 1.28%, principal and interest in the amount of $168,479, due 2/1/23, (collateralized by a U.S. Treasury Note with a par value of $175,800, coupon
rate of 3.000%, due 06/30/2024, market value of $171,913) | 168,473 | |
TOTAL REPURCHASE AGREEMENT (Cost $168,473) | 168,473 | ||
TOTAL INVESTMENTS (Cost $18,979,098) | 100.2% | $22,352,994 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.2) | (51,166) | |
NET ASSETS | 100.0% | $22,301,828 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
26 |
Shares | Value | ||
COMMON STOCKS* — 97.7% | |||
Aerospace & Defense — 0.8% | |||
9,620 | Parsons Corp.1,2 | $418,662 | |
Air Freight & Logistics — 1.8% | |||
3,320 | Expeditors International of Washington, Inc. | 359,058 | |
7,240 | Hub Group, Inc. Class A1 | 617,355 | |
976,413 | |||
Automobiles — 2.5% | |||
10,300 | General Motors Co. | 404,996 | |
19,720 | Harley-Davidson, Inc. | 907,712 | |
1,312,708 | |||
Banks — 3.4% | |||
16,020 | Bank OZK | 731,634 | |
74,760 | FNB Corp. | 1,066,825 | |
1,798,459 | |||
Biotechnology — 1.1% | |||
34,500 | Exelixis, Inc.1 | 607,890 | |
Building Products — 1.4% | |||
16,320 | Carrier Global Corp.2 | 743,050 | |
Capital Markets — 2.6% | |||
12,500 | Federated Hermes, Inc. | 491,250 | |
4,840 | Nasdaq, Inc. | 291,320 | |
6,540 | State Street Corp. | 597,298 | |
1,379,868 | |||
Chemicals — 2.6% | |||
9,260 | Corteva, Inc.2 | 596,807 | |
15,980 | Mosaic Co.2 | 791,649 | |
1,388,456 | |||
Commercial Services & Supplies — 0.8% | |||
3,420 | Republic Services, Inc. Class A | 426,884 | |
Communications Equipment — 1.3% | |||
14,620 | Cisco Systems, Inc. | 711,555 | |
Construction & Engineering — 3.1% | |||
7,300 | AECOM2 | 637,071 | |
6,891 | EMCOR Group, Inc.2 | 1,021,591 | |
1,658,662 | |||
Containers & Packaging — 1.7% | |||
10,501 | Graphic Packaging Holding Co.2 | 252,969 | |
16,100 | Westrock Co.2 | 631,764 | |
884,733 | |||
Distributors — 1.9% | |||
17,300 | LKQ Corp. | 1,020,008 | |
Diversified Consumer Services — 0.7% | |||
4,860 | Service Corp. International | 360,369 | |
Diversified Financial Services — 1.2% | |||
12,080 | Equitable Holdings, Inc. | 387,406 | |
3,487 | Voya Financial, Inc. | 243,288 | |
630,694 |
27 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Diversified Telecommunication Services — 2.0% | |||
19,780 | AT&T, Inc. | $402,919 | |
15,820 | Verizon Communications, Inc. | 657,637 | |
1,060,556 | |||
Electric Utilities — 2.3% | |||
9,740 | Evergy, Inc. | 610,211 | |
7,620 | Exelon Corp. | 321,488 | |
4,120 | Pinnacle West Capital Corp. | 307,146 | |
1,238,845 | |||
Electronic Equipment, Instruments & Components — 4.8% | |||
12,700 | Jabil, Inc. | 998,601 | |
15,740 | Sanmina Corp.1 | 959,038 | |
25,500 | Vishay Intertechnology, Inc. | 583,695 | |
2,541,334 | |||
Energy Equipment & Services — 1.0% | |||
16,560 | Baker Hughes Co. Class A | 525,614 | |
Equity Real Estate Investment Trusts — 8.1% | |||
39,880 | Apple Hospitality REIT, Inc.2 | 707,072 | |
29,760 | Brixmor Property Group, Inc.2 | 700,253 | |
13,140 | CubeSmart2 | 601,681 | |
32,100 | Host Hotels & Resorts, Inc.2 | 605,085 | |
7,060 | Kilroy Realty Corp.2 | 289,742 | |
10,760 | Regency Centers Corp. REIT2 | 716,939 | |
19,340 | VICI Properties, Inc.2 | 661,041 | |
4,281,813 | |||
Food & Staples Retailing — 1.1% | |||
18,660 | Sprouts Farmers Market, Inc.1 | 596,187 | |
Food Products — 2.8% | |||
9,460 | Archer-Daniels-Midland Co. | 783,761 | |
9,200 | General Mills, Inc. | 720,912 | |
1,504,673 | |||
Gas Utilities — 0.5% | |||
4,940 | National Fuel Gas Co. | 286,816 | |
Health Care Equipment & Supplies — 0.7% | |||
4,940 | Merit Medical Systems, Inc.1 | 352,469 | |
Health Care Providers & Services — 2.4% | |||
11,860 | Centene Corp.1 | 904,206 | |
4,300 | CVS Health Corp. | 379,346 | |
1,283,552 | |||
Hotels, Restaurants & Leisure — 1.9% | |||
38,360 | International Game Technology PLC3 | 1,014,622 | |
Household Durables — 0.7% | |||
10,800 | Taylor Morrison Home Corp.1 | 386,640 | |
Household Products — 0.5% | |||
3,220 | Church & Dwight Co., Inc. | 260,369 | |
Insurance — 4.4% | |||
12,520 | American International Group, Inc. | 791,514 | |
12,580 | Arch Capital Group Ltd.1 | 809,523 |
28 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Insurance — (Continued) | |||
18,120 | Unum Group | $761,584 | |
2,362,621 | |||
Internet & Direct Marketing Retail — 1.3% | |||
13,920 | eBay, Inc. | 689,040 | |
IT Services — 4.6% | |||
8,800 | Amdocs Ltd. | 808,984 | |
9,900 | CSG Systems International, Inc. | 590,733 | |
21,760 | Genpact Ltd. | 1,028,813 | |
2,428,530 | |||
Life Sciences Tools & Services — 0.9% | |||
43,000 | AbCellera Biologics, Inc.1,3 | 452,790 | |
Media — 4.6% | |||
11,260 | Comcast Corp. Class A | 443,081 | |
16,300 | Interpublic Group of Cos., Inc. | 594,298 | |
40,900 | News Corp. Class A | 828,634 | |
6,760 | Omnicom Group, Inc. | 581,292 | |
2,447,305 | |||
Metals & Mining — 3.1% | |||
4,860 | Reliance Steel & Aluminum Co.2 | 1,105,407 | |
31,397 | SSR Mining, Inc.2 | 531,865 | |
1,637,272 | |||
Multi-line Retail — 1.3% | |||
28,184 | Macy’s, Inc. | 665,988 | |
Multi-Utilities — 0.6% | |||
11,580 | NiSource, Inc. | 321,345 | |
Oil, Gas & Consumable Fuels — 3.4% | |||
14,280 | HF Sinclair Corp. | 812,532 | |
7,580 | Marathon Petroleum Corp. | 974,182 | |
1,786,714 | |||
Paper & Forest Products — 0.7% | |||
5,740 | Louisiana-Pacific Corp.2 | 390,837 | |
Pharmaceuticals — 1.0% | |||
12,294 | Pfizer, Inc. | 542,903 | |
Professional Services — 2.7% | |||
2,520 | ASGN, Inc.1 | 229,194 | |
11,980 | CBIZ, Inc.1 | 570,128 | |
12,480 | KBR, Inc. | 639,351 | |
1,438,673 | |||
Road & Rail — 0.5% | |||
8,820 | CSX Corp. | 272,714 | |
Semiconductors & Semiconductor Equipment — 2.8% | |||
33,500 | Amkor Technology, Inc. | 980,210 | |
5,880 | Diodes, Inc.1 | 524,437 | |
1,504,647 | |||
Software — 4.0% | |||
24,840 | ACI Worldwide, Inc.1 | 693,781 | |
13,220 | Box, Inc. Class A1 | 422,908 | |
26,941 | Dropbox, Inc. Class A1 | 625,839 |
29 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — (Continued) | |||
7,100 | Progress Software Corp. | $376,584 | |
2,119,112 | |||
Technology Hardware, Storage & Peripherals — 1.4% | |||
16,980 | Hewlett Packard Enterprise Co. | 273,887 | |
15,760 | Pure Storage, Inc. Class A1 | 456,095 | |
729,982 | |||
Textiles, Apparel & Luxury Goods — 1.6% | |||
18,480 | Tapestry, Inc. | 842,134 | |
Thrifts & Mortgage Finance — 1.6% | |||
61,260 | MGIC Investment Corp. | 864,991 | |
Trading Companies & Distributors — 1.5% | |||
14,780 | Rush Enterprises, Inc. Class A2 | 795,312 | |
TOTAL COMMON STOCKS (Cost $37,657,214) | 51,944,811 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 2.0% | |||
$1,074,120 | With Fixed Income Clearing Corp., dated 1/31/23, 1.28%, principal and interest in the amount of $1,074,158, due 2/1/23, (collateralized by a U.S. Treasury Note with a par value of $1,120,400,
coupon rate of 3.000%, due 06/30/2024, market value of $1,095,629) | 1,074,120 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,074,120) | 1,074,120 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 2.5% | |||
1,302,664 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 1,302,664 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $1,302,664) | 1,302,664 | ||
TOTAL LONG INVESTMENTS (Cost $40,033,998) | 102.2% | $54,321,595 | |
COMMON STOCKS SOLD SHORT* — (67.5)% | |||
Aerospace & Defense — (2.6)% | |||
(3,720) | Boeing Co.1 | (792,360) | |
(820) | TransDigm Group, Inc. | (588,555) | |
(1,380,915) | |||
Banks — (4.7)% | |||
(4,980) | First Republic Bank | (701,582) | |
(11,420) | Glacier Bancorp, Inc. | (520,638) | |
(16,780) | Seacoast Banking Corp. of Florida | (538,806) | |
(2,440) | SVB Financial Group1 | (737,953) | |
(2,498,979) | |||
Beverages — (1.1)% | |||
(1,560) | Boston Beer Co., Inc. Class A1 | (606,232) | |
Capital Markets — (2.4)% | |||
(780) | BlackRock, Inc. | (592,184) | |
(886) | MarketAxess Holdings, Inc. | (322,371) |
30 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Capital Markets — (Continued) | |||
(1,140) | Moody’s Corp. | $(367,935) | |
(1,282,490) | |||
Chemicals — (3.9)% | |||
(3,680) | Ecolab, Inc. | (569,774) | |
(4,480) | International Flavors & Fragrances, Inc. | (503,821) | |
(5,320) | PPG Industries, Inc. | (693,409) | |
(4,600) | Scotts Miracle-Gro Co. | (332,074) | |
(2,099,078) | |||
Commercial Services & Supplies — (2.4)% | |||
(4,240) | MSA Safety, Inc. | (578,294) | |
(13,140) | Stericycle, Inc.1 | (707,063) | |
(1,285,357) | |||
Communications Equipment — (1.0)% | |||
(2,020) | Motorola Solutions, Inc. | (519,160) | |
Containers & Packaging — (2.1)% | |||
(5,240) | AptarGroup, Inc. | (605,953) | |
(8,840) | Ball Corp. | (514,842) | |
(1,120,795) | |||
Distributors — (0.6)% | |||
(840) | Pool Corp. | (323,912) | |
Diversified Consumer Services — (1.0)% | |||
(6,840) | Bright Horizons Family Solutions, Inc.1 | (525,175) | |
Electric Utilities — (1.6)% | |||
(2,960) | Constellation Energy Corp. | (252,666) | |
(8,300) | MGE Energy, Inc. | (606,813) | |
(859,479) | |||
Electrical Equipment — (2.1)% | |||
(5,760) | Emerson Electric Co. | (519,667) | |
(2,200) | Rockwell Automation, Inc. | (620,466) | |
(1,140,133) | |||
Electronic Equipment, Instruments & Components — (4.2)% | |||
(8,380) | Cognex Corp. | (458,721) | |
(1,500) | Teledyne Technologies, Inc.1 | (636,390) | |
(9,500) | Trimble, Inc.1 | (551,570) | |
(1,800) | Zebra Technologies Corp. Class A1 | (569,124) | |
(2,215,805) | |||
Entertainment — (2.3)% | |||
(5,480) | Take-Two Interactive Software, Inc.1 | (620,501) | |
(5,660) | Walt Disney Co.1 | (614,053) | |
(1,234,554) | |||
Equity Real Estate Investment Trusts — (5.8)% | |||
(4,420) | Digital Realty Trust, Inc. | (506,620) | |
(27,160) | Healthcare Realty Trust, Inc. Class A | (584,755) | |
(19,700) | Healthpeak Properties, Inc. | (541,356) | |
(11,000) | National Health Investors, Inc. REIT | (647,130) | |
(6,220) | Ventas, Inc. | (322,258) | |
(19,240) | Vornado Realty Trust | (469,264) | |
(3,071,383) |
31 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Food Products — (1.5)% | |||
(1,760) | J&J Snack Foods Corp. | $(252,208) | |
(7,440) | McCormick & Co., Inc. | (558,893) | |
(811,101) | |||
Health Care Equipment & Supplies — (1.1)% | |||
(1,160) | Stryker Corp. | (294,420) | |
(2,387) | Zimmer Biomet Holdings, Inc. | (303,960) | |
(598,380) | |||
Hotels, Restaurants & Leisure — (2.3)% | |||
(7,060) | Cracker Barrel Old Country Store, Inc. | (787,755) | |
(4,740) | Papa John’s International, Inc. | (425,130) | |
(1,212,885) | |||
Household Durables — (1.2)% | |||
(38,400) | Newell Brands, Inc. | (612,864) | |
Insurance — (5.1)% | |||
(4,760) | Brown & Brown, Inc. | (278,746) | |
(2,820) | Cincinnati Financial Corp. | (319,083) | |
(3,480) | Erie Indemnity Co. Class A | (850,338) | |
(9,400) | First American Financial Corp. | (581,578) | |
(11,700) | Kemper Corp. | (687,141) | |
(2,716,886) | |||
Internet & Direct Marketing Retail — (0.8)% | |||
(4,000) | Amazon.com, Inc.1 | (412,520) | |
Life Sciences Tools & Services — (0.3)% | |||
(740) | Illumina, Inc.1 | (158,508) | |
Machinery — (0.8)% | |||
(4,600) | Stanley Black & Decker, Inc. | (410,826) | |
Oil, Gas & Consumable Fuels — (1.7)% | |||
(3,660) | Hess Corp. | (549,586) | |
(1,600) | Pioneer Natural Resources Co. | (368,560) | |
(918,146) | |||
Professional Services — (1.4)% | |||
(3,240) | Equifax, Inc. | (719,928) | |
Road & Rail — (1.6)% | |||
(1,120) | Norfolk Southern Corp. | (275,307) | |
(2,720) | Union Pacific Corp. | (555,397) | |
(830,704) | |||
Semiconductors & Semiconductor Equipment — (1.8)% | |||
(5,620) | Micron Technology, Inc. | (338,886) | |
(4,620) | QUALCOMM, Inc. | (615,430) | |
(954,316) | |||
Software — (5.4)% | |||
(2,300) | ANSYS, Inc.1 | (612,628) | |
(1,340) | Intuit, Inc. | (566,378) | |
(2,972) | Oracle Corp. | (262,903) | |
(4,840) | Pegasystems, Inc. | (188,179) | |
(5,000) | PTC, Inc.1 | (674,400) | |
(1,820) | Tyler Technologies, Inc.1 | (587,442) | |
(2,891,930) |
32 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Specialty Retail — (1.9)% | |||
(19,400) | Monro, Inc. | $(987,460) | |
Textiles, Apparel & Luxury Goods — (0.8)% | |||
(13,000) | VF Corp. | (402,220) | |
Water Utilities — (2.0)% | |||
(5,680) | American States Water Co. | (534,885) | |
(8,680) | California Water Service Group | (530,956) | |
(1,065,841) | |||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(41,681,093)) | (35,867,962) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(41,681,093)) | (67.5)% | $(35,867,962) | |
TOTAL INVESTMENTS (Cost $(1,647,095)) | 34.7% | $18,453,633 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 65.3 | 34,723,847 | |
NET ASSETS | 100.0% | $53,177,480 |
* | 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 $8,243,313. |
3 | Securities or partial securities on loan. See Note 1. |
4 | Represents an investment of securities lending cash collateral. |
33 |
Shares | Value | ||
COMMON STOCKS* — 128.8% | |||
Aerospace & Defense — 0.5% | |||
4,940 | Parsons Corp.1,2 | $214,989 | |
Air Freight & Logistics — 1.7% | |||
9,080 | Hub Group, Inc. Class A1 | 774,252 | |
Airlines — 0.6% | |||
4,800 | Alaska Air Group, Inc.1,2 | 246,432 | |
Auto Components — 1.0% | |||
9,780 | BorgWarner, Inc. | 462,398 | |
Automobiles — 3.1% | |||
40,400 | Ford Motor Co.2 | 545,804 | |
18,520 | Harley-Davidson, Inc. | 852,476 | |
1,398,280 | |||
Banks — 2.2% | |||
5,560 | Citizens Financial Group, Inc.2 | 240,859 | |
52,540 | FNB Corp. | 749,746 | |
990,605 | |||
Beverages — 0.5% | |||
3,680 | Coca-Cola Co.2 | 225,658 | |
Biotechnology — 1.3% | |||
33,940 | Exelixis, Inc.1 | 598,023 | |
Building Products — 1.5% | |||
14,660 | Carrier Global Corp.2 | 667,470 | |
Capital Markets — 3.8% | |||
15,600 | Federated Hermes, Inc. | 613,080 | |
11,640 | Nasdaq, Inc.2 | 700,611 | |
4,260 | State Street Corp.2 | 389,066 | |
1,702,757 | |||
Chemicals — 2.5% | |||
7,680 | Corteva, Inc.2 | 494,976 | |
12,800 | Mosaic Co.2 | 634,112 | |
1,129,088 | |||
Commercial Services & Supplies — 0.8% | |||
2,700 | Republic Services, Inc. Class A2 | 337,014 | |
Communications Equipment — 2.0% | |||
13,020 | Cisco Systems, Inc.2 | 633,683 | |
7,940 | Juniper Networks, Inc. | 256,462 | |
890,145 | |||
Construction & Engineering — 2.4% | |||
7,340 | EMCOR Group, Inc.2 | 1,088,155 | |
Consumer Finance — 1.7% | |||
44,620 | SLM Corp. | 783,973 | |
Containers & Packaging — 3.1% | |||
11,520 | Graphic Packaging Holding Co.2 | 277,517 | |
3,160 | Greif, Inc. Class A | 225,719 | |
10,960 | Silgan Holdings, Inc. | 590,634 | |
7,740 | Westrock Co. | 303,718 | |
1,397,588 |
34 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Distributors — 1.9% | |||
14,560 | LKQ Corp.2 | $858,458 | |
Diversified Financial Services — 2.0% | |||
8,760 | Equitable Holdings, Inc. | 280,933 | |
9,120 | Voya Financial, Inc. | 636,303 | |
917,236 | |||
Diversified Telecommunication Services — 2.6% | |||
28,820 | AT&T, Inc.2 | 587,064 | |
61,860 | Lumen Technologies, Inc. | 324,765 | |
5,820 | Verizon Communications, Inc.2 | 241,937 | |
1,153,766 | |||
Electric Utilities — 0.8% | |||
4,520 | Pinnacle West Capital Corp.2 | 336,966 | |
Electrical Equipment — 0.9% | |||
10,300 | nVent Electric PLC2 | 409,425 | |
Electronic Equipment, Instruments & Components — 3.9% | |||
6,980 | Amphenol Corp. Class A2 | 556,794 | |
4,220 | Arrow Electronics, Inc.1 | 495,808 | |
11,760 | Sanmina Corp.1 | 716,537 | |
1,769,139 | |||
Energy Equipment & Services — 1.5% | |||
20,660 | Baker Hughes Co. Class A2 | 655,748 | |
Entertainment — 1.2% | |||
6,580 | World Wrestling Entertainment, Inc. Class A | 556,800 | |
Equity Real Estate Investment Trusts — 7.6% | |||
26,940 | Brixmor Property Group, Inc.2 | 633,898 | |
36,540 | Host Hotels & Resorts, Inc.2 | 688,779 | |
5,420 | Kilroy Realty Corp. | 222,437 | |
6,340 | Lamar Advertising Co. Class A2 | 675,464 | |
12,860 | National Retail Properties, Inc.2 | 608,921 | |
16,680 | VICI Properties, Inc.2 | 570,122 | |
3,399,621 | |||
Food & Staples Retailing — 2.8% | |||
12,700 | Kroger Co.2 | 566,801 | |
21,700 | Sprouts Farmers Market, Inc.1 | 693,315 | |
1,260,116 | |||
Food Products — 4.1% | |||
2,600 | Archer-Daniels-Midland Co.2 | 215,410 | |
4,860 | Cal-Maine Foods, Inc. | 278,089 | |
11,380 | Darling Ingredients, Inc.1,2 | 754,380 | |
7,360 | General Mills, Inc.2 | 576,730 | |
1,824,609 | |||
Gas Utilities — 1.8% | |||
3,720 | National Fuel Gas Co. | 215,983 | |
14,740 | UGI Corp.2 | 587,094 | |
803,077 | |||
Health Care Equipment & Supplies — 1.9% | |||
6,620 | Envista Holdings Corp.1 | 258,114 | |
8,420 | Merit Medical Systems, Inc.1 | 600,767 | |
858,881 |
35 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Providers & Services — 4.4% | |||
7,780 | Centene Corp.1,2 | $593,147 | |
6,960 | Henry Schein, Inc.1 | 599,604 | |
2,548 | Molina Healthcare, Inc.1,2 | 794,543 | |
1,987,294 | |||
Hotels, Restaurants & Leisure — 1.9% | |||
32,660 | International Game Technology PLC3 | 863,857 | |
Household Durables — 1.8% | |||
22,480 | Taylor Morrison Home Corp.1,2 | 804,784 | |
Insurance — 3.4% | |||
9,920 | Arch Capital Group Ltd.1,2 | 638,352 | |
4,140 | Axis Capital Holdings Ltd.2 | 259,040 | |
14,880 | Unum Group2 | 625,406 | |
1,522,798 | |||
Internet & Direct Marketing Retail — 1.5% | |||
13,900 | eBay, Inc.2 | 688,050 | |
Internet Software & Services — 0.6% | |||
3,340 | CoStar Group, Inc.1,2 | 260,186 | |
IT Services — 6.0% | |||
6,320 | Akamai Technologies, Inc.1,2 | 562,164 | |
8,000 | Amdocs Ltd.2 | 735,440 | |
10,540 | CSG Systems International, Inc. | 628,922 | |
16,560 | Genpact Ltd. | 782,956 | |
2,709,482 | |||
Leisure Product — 0.4% | |||
2,160 | Brunswick Corp.2 | 182,153 | |
Life Sciences Tools & Services — 3.5% | |||
25,080 | AbCellera Biologics, Inc.1,3 | 264,093 | |
25,320 | Maravai LifeSciences Holdings, Inc. Class A1 | 371,191 | |
4,260 | Medpace Holdings, Inc.1 | 941,758 | |
1,577,042 | |||
Machinery — 1.4% | |||
3,940 | Hillenbrand, Inc. | 184,628 | |
3,880 | PACCAR, Inc.2 | 424,123 | |
608,751 | |||
Media — 5.7% | |||
17,600 | Comcast Corp. Class A2 | 692,560 | |
12,280 | Interpublic Group of Cos., Inc. | 447,729 | |
33,821 | News Corp. Class A | 685,213 | |
8,480 | Omnicom Group, Inc. | 729,195 | |
2,554,697 | |||
Metals & Mining — 1.3% | |||
2,546 | Reliance Steel & Aluminum Co.2 | 579,088 | |
Multi-line Retail — 1.0% | |||
19,720 | Macy’s, Inc. | 465,984 | |
Multi-Utilities — 1.4% | |||
22,020 | NiSource, Inc.2 | 611,055 | |
Oil, Gas & Consumable Fuels — 5.4% | |||
18,200 | HF Sinclair Corp. | 1,035,580 |
36 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Oil, Gas & Consumable Fuels — (Continued) | |||
8,020 | Marathon Petroleum Corp.2 | $1,030,731 | |
66,820 | Southwestern Energy Co.1 | 368,846 | |
2,435,157 | |||
Pharmaceuticals — 3.2% | |||
10,160 | Amphastar Pharmaceuticals, Inc.1 | 307,442 | |
5,080 | Merck & Co., Inc.2 | 545,643 | |
13,360 | Pfizer, Inc. | 589,977 | |
1,443,062 | |||
Professional Services — 1.6% | |||
1,700 | ASGN, Inc.1,2 | 154,615 | |
11,800 | CBIZ, Inc.1,2 | 561,562 | |
716,177 | |||
Road & Rail — 1.3% | |||
11,700 | CSX Corp.2 | 361,764 | |
3,780 | Knight-Swift Transportation Holdings, Inc.2 | 223,398 | |
585,162 | |||
Semiconductors & Semiconductor Equipment — 4.3% | |||
26,460 | Amkor Technology, Inc. | 774,220 | |
8,860 | Diodes, Inc.1 | 790,223 | |
5,180 | ON Semiconductor Corp.1,2 | 380,471 | |
1,944,914 | |||
Software — 6.2% | |||
24,560 | Box, Inc. Class A1 | 785,674 | |
21,220 | Dropbox, Inc. Class A1 | 492,941 | |
12,780 | Progress Software Corp. | 677,851 | |
6,120 | SPS Commerce, Inc.1 | 832,810 | |
2,789,276 | |||
Specialty Retail — 1.9% | |||
20,040 | Foot Locker, Inc. | 871,940 | |
Technology Hardware, Storage & Peripherals — 3.0% | |||
43,460 | Hewlett Packard Enterprise Co. | 701,010 | |
22,540 | Pure Storage, Inc. Class A1 | 652,307 | |
1,353,317 | |||
Thrifts & Mortgage Finance — 2.4% | |||
5,740 | Essent Group Ltd.2 | 252,732 | |
58,820 | MGIC Investment Corp. | 830,539 | |
1,083,271 | |||
Trading Companies & Distributors — 3.5% | |||
23,000 | Univar Solutions, Inc.1,2 | 793,040 | |
5,260 | WESCO International, Inc.1,2 | 783,792 | |
1,576,832 | |||
TOTAL COMMON STOCKS (Cost $42,784,755) | 57,924,998 |
37 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 0.6% | |||
$276,752 | With Fixed Income Clearing Corp., dated 1/31/23, 1.28%, principal and interest in the amount of $276,762, due 2/1/23, (collateralized by a U.S. Treasury Note with a par value of $288,700, coupon
rate of 3.000%, due 06/30/2024, market value of $282,317) | $276,752 | |
TOTAL REPURCHASE AGREEMENT (Cost $276,752) | 276,752 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 2.5% | |||
1,126,973 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 1,126,973 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $1,126,973) | 1,126,973 | ||
TOTAL LONG INVESTMENTS (Cost $44,188,480) | 131.9% | $59,328,723 | |
COMMON STOCKS SOLD SHORT* — (29.3)% | |||
Aerospace & Defense — (2.0)% | |||
(1,020) | Boeing Co.1 | (217,260) | |
(2,400) | Hexcel Corp. | (169,392) | |
(2,020) | Mercury Systems, Inc.1 | (100,970) | |
(2,040) | Raytheon Technologies Corp. | (203,694) | |
(300) | TransDigm Group, Inc. | (215,325) | |
(906,641) | |||
Air Freight & Logistics — (0.3)% | |||
(700) | United Parcel Service, Inc. Class B | (129,661) | |
Banks — (0.9)% | |||
(1,000) | First Republic Bank | (140,880) | |
(3,500) | Glacier Bancorp, Inc. | (159,565) | |
(400) | SVB Financial Group1 | (120,976) | |
(421,421) | |||
Beverages — (0.8)% | |||
(500) | Boston Beer Co., Inc. Class A1 | (194,305) | |
(2,560) | Brown-Forman Corp. Class B | (170,445) | |
(364,750) | |||
Building Products — (0.1)% | |||
(1,200) | Trex Co., Inc.1 | (63,264) | |
Capital Markets — (2.0)% | |||
(240) | MarketAxess Holdings, Inc. | (87,324) | |
(300) | Moody’s Corp. | (96,825) | |
(1,800) | Morgan Stanley | (175,194) | |
(740) | Morningstar, Inc. | (179,731) | |
(500) | S&P Global, Inc. | (187,470) | |
(1,600) | T Rowe Price Group, Inc. | (186,352) | |
(912,896) | |||
Chemicals — (1.1)% | |||
(1,100) | Ecolab, Inc. | (170,313) | |
(1,600) | International Flavors & Fragrances, Inc. | (179,936) | |
(1,120) | PPG Industries, Inc. | (145,981) | |
(496,230) | |||
Commercial Services & Supplies — (1.3)% | |||
(1,440) | MSA Safety, Inc. | (196,401) | |
(4,040) | Stericycle, Inc.1 | (217,392) |
38 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Commercial Services & Supplies — (Continued) | |||
(1,120) | Waste Management, Inc. | $(173,298) | |
(587,091) | |||
Communications Equipment — (0.5)% | |||
(900) | Motorola Solutions, Inc. | (231,309) | |
Construction & Engineering — (0.5)% | |||
(1,500) | Quanta Services, Inc. | (228,285) | |
Construction Materials — (0.8)% | |||
(500) | Martin Marietta Materials, Inc. | (179,820) | |
(1,000) | Vulcan Materials Co. | (183,330) | |
(363,150) | |||
Containers & Packaging — (0.7)% | |||
(1,620) | AptarGroup, Inc. | (187,337) | |
(1,800) | Ball Corp. | (104,832) | |
(292,169) | |||
Distributors — (0.4)% | |||
(500) | Pool Corp. | (192,805) | |
Diversified Consumer Services — (0.1)% | |||
(634) | Bright Horizons Family Solutions, Inc.1 | (48,678) | |
Electric Utilities — (0.7)% | |||
(4,060) | FirstEnergy Corp. | (166,257) | |
(2,280) | MGE Energy, Inc. | (166,691) | |
(332,948) | |||
Electrical Equipment — (1.1)% | |||
(7,340) | Array Technologies, Inc.1 | (163,168) | |
(1,840) | Emerson Electric Co. | (166,005) | |
(600) | Rockwell Automation, Inc. | (169,218) | |
(498,391) | |||
Electronic Equipment, Instruments & Components — (1.0)% | |||
(1,980) | Cognex Corp. | (108,385) | |
(4,540) | National Instruments Corp. | (245,160) | |
(360) | Zebra Technologies Corp. Class A1 | (113,825) | |
(467,370) | |||
Equity Real Estate Investment Trusts — (3.2)% | |||
(1,000) | Alexandria Real Estate Equities, Inc. | (160,740) | |
(1,420) | Digital Realty Trust, Inc. | (162,761) | |
(6,940) | Healthcare Realty Trust, Inc. Class A | (149,418) | |
(5,640) | Healthpeak Properties, Inc. | (154,987) | |
(3,300) | National Health Investors, Inc. REIT | (194,139) | |
(3,860) | SL Green Realty Corp. REIT | (158,839) | |
(2,920) | Ventas, Inc. | (151,285) | |
(6,260) | Vornado Realty Trust | (152,681) | |
(1,800) | Welltower, Inc. REIT | (135,072) | |
(1,419,922) | |||
Food Products — (0.6)% | |||
(800) | J&J Snack Foods Corp. | (114,640) | |
(2,100) | McCormick & Co., Inc. | (157,752) | |
(272,392) | |||
Health Care Equipment & Supplies — (0.3)% | |||
(500) | Stryker Corp. | (126,905) |
39 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Hotels, Restaurants & Leisure — (1.5)% | |||
(1,580) | Cracker Barrel Old Country Store, Inc. | $(176,297) | |
(2,620) | Las Vegas Sands Corp.1 | (154,580) | |
(1,880) | Papa John’s International, Inc. | (168,617) | |
(1,580) | Wynn Resorts Ltd.1 | (163,751) | |
(663,245) | |||
Household Durables — (0.8)% | |||
(5,320) | Leggett & Platt, Inc. | (194,499) | |
(1,500) | Mohawk Industries, Inc.1 | (180,090) | |
(374,589) | |||
Industrial Conglomerates — (0.3)% | |||
(1,051) | 3M Co. | (120,949) | |
Insurance — (2.6)% | |||
(1,580) | Allstate Corp. | (202,983) | |
(1,640) | Cincinnati Financial Corp. | (185,566) | |
(720) | Erie Indemnity Co. Class A | (175,932) | |
(3,120) | First American Financial Corp. | (193,034) | |
(3,860) | Kemper Corp. | (226,698) | |
(1,480) | Progressive Corp. | (201,798) | |
(1,186,011) | |||
Internet & Direct Marketing Retail — (0.2)% | |||
(800) | Amazon.com, Inc.1 | (82,504) | |
Machinery — (0.5)% | |||
(2,300) | Stanley Black & Decker, Inc. | (205,413) | |
Multi-line Retail — (0.4)% | |||
(1,120) | Target Corp. | (192,797) | |
Oil, Gas & Consumable Fuels — (0.3)% | |||
(1,000) | Hess Corp. | (150,160) | |
Professional Services — (0.5)% | |||
(900) | Equifax, Inc. | (199,980) | |
Road & Rail — (1.3)% | |||
(740) | Norfolk Southern Corp. | (181,899) | |
(3,420) | U-Haul Holding Co. | (211,322) | |
(900) | Union Pacific Corp. | (183,771) | |
(576,992) | |||
Software — (0.5)% | |||
(280) | ANSYS, Inc.1 | (74,581) | |
(400) | Tyler Technologies, Inc.1 | (129,108) | |
(203,689) | |||
Specialty Retail — (0.2)% | |||
(1,500) | CarMax, Inc.1 | (105,675) | |
Technology Hardware, Storage & Peripherals — (0.5)% | |||
(4,800) | Western Digital Corp.1 | (210,960) | |
Textiles, Apparel & Luxury Goods — (0.1)% | |||
(1,660) | VF Corp. | (51,360) | |
Water Utilities — (1.2)% | |||
(2,000) | American States Water Co. | (188,340) | |
(3,660) | California Water Service Group | (223,882) |
40 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Water Utilities — (Continued) | |||
(2,180) | Essential Utilities, Inc. | $(101,872) | |
(514,094) | |||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(14,051,528)) | (13,194,696) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(14,051,528)) | (29.3)% | $(13,194,696) | |
TOTAL INVESTMENTS (Cost $30,136,952) | 102.6% | $46,134,027 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (2.6) | (1,164,867) | |
NET ASSETS | 100.0% | $44,969,160 |
* | 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 $15,343,097. |
3 | Securities or partial securities on loan. See Note 1. |
4 | Represents an investment of securities lending cash collateral. |
41 |
Shares | Value | ||
COMMON STOCKS* — 99.5% | |||
Aerospace & Defense — 2.4% | |||
44,533 | Raytheon Technologies Corp. | $4,446,620 | |
Banks — 4.9% | |||
30,867 | JPMorgan Chase & Co. | 4,320,145 | |
30,008 | PNC Financial Services Group, Inc. | 4,964,224 | |
9,284,369 | |||
Beverages — 2.1% | |||
23,768 | PepsiCo, Inc. | 4,064,803 | |
Capital Markets — 1.6% | |||
31,622 | Northern Trust Corp. | 3,066,385 | |
Chemicals — 1.5% | |||
22,414 | PPG Industries, Inc. | 2,921,441 | |
Communications Equipment — 1.9% | |||
73,597 | Cisco Systems, Inc. | 3,581,966 | |
Construction Materials — 2.4% | |||
12,852 | Martin Marietta Materials, Inc. | 4,622,093 | |
Electrical Equipment — 2.8% | |||
36,994 | AMETEK, Inc. | 5,361,170 | |
Electronic Equipment, Instruments & Components — 3.6% | |||
84,204 | Amphenol Corp. Class A | 6,716,953 | |
Health Care Equipment & Supplies — 3.8% | |||
26,938 | Abbott Laboratories | 2,977,996 | |
16,939 | Stryker Corp. | 4,299,287 | |
7,277,283 | |||
Health Care Providers & Services — 3.8% | |||
19,704 | Laboratory Corp. of America Holdings | 4,967,772 | |
4,494 | UnitedHealth Group, Inc. | 2,243,360 | |
7,211,132 | |||
Hotels, Restaurants & Leisure — 3.6% | |||
2,809 | Booking Holdings, Inc.1 | 6,837,387 | |
Household Products — 1.5% | |||
33,959 | Church & Dwight Co., Inc. | 2,745,925 | |
Insurance — 3.1% | |||
25,600 | Chubb Ltd. | 5,823,744 | |
Interactive Media & Service — 4.5% | |||
84,500 | Alphabet, Inc. Class C1 | 8,439,015 | |
Internet & Direct Marketing Retail — 1.8% | |||
32,634 | Amazon.com, Inc.1 | 3,365,544 | |
IT Services — 10.8% | |||
12,772 | Accenture PLC Class A | 3,564,027 | |
13,765 | Gartner, Inc.1 | 4,654,497 | |
31,926 | Global Payments, Inc. | 3,598,699 | |
23,386 | Mastercard, Inc. Class A | 8,666,851 | |
20,484,074 | |||
Life Sciences Tools & Services — 2.4% | |||
13,600 | Waters Corp.1 | 4,468,688 |
42 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Machinery — 2.3% | |||
13,098 | Parker-Hannifin Corp. | $4,269,948 | |
Media — 2.2% | |||
103,837 | Comcast Corp. Class A | 4,085,986 | |
Multi-line Retail — 2.2% | |||
17,493 | Dollar General Corp. | 4,086,365 | |
Oil, Gas & Consumable Fuels — 3.7% | |||
39,780 | Chevron Corp. | 6,922,516 | |
Pharmaceuticals — 6.6% | |||
55,145 | Bristol-Myers Squibb Co. | 4,006,284 | |
14,919 | Eli Lilly & Co. | 5,134,374 | |
19,687 | Zoetis, Inc. | 3,258,002 | |
12,398,660 | |||
Road & Rail — 3.8% | |||
13,622 | Old Dominion Freight Line, Inc. | 4,539,395 | |
13,408 | Union Pacific Corp. | 2,737,780 | |
7,277,175 | |||
Software — 8.0% | |||
6,252 | Adobe, Inc.1 | 2,315,366 | |
34,294 | Microsoft Corp. | 8,498,396 | |
49,469 | Oracle Corp. | 4,376,028 | |
15,189,790 | |||
Specialty Retail — 8.2% | |||
12,496 | Home Depot, Inc. | 4,050,828 | |
44,192 | Ross Stores, Inc. | 5,223,053 | |
12,195 | Ulta Beauty, Inc.1 | 6,267,742 | |
15,541,623 | |||
Technology Hardware, Storage & Peripherals — 4.0% | |||
52,357 | Apple, Inc. | 7,554,592 | |
TOTAL COMMON STOCKS (Cost $85,776,544) | 188,045,247 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.6% | |||
$1,167,193 | With Fixed Income Clearing Corp., dated 1/31/23, 1.28%, principal and interest in the amount of $1,167,235, due 2/1/23, (collateralized by a U.S. Treasury Note with a par value of $1,217,500,
coupon rate of 3.000%, due 06/30/2024, market value of $1,190,582) | 1,167,193 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,167,193) | 1,167,193 | ||
TOTAL INVESTMENTS (Cost $86,943,737) | 100.1% | $189,212,440 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (106,671) | |
NET ASSETS | 100.0% | $189,105,769 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
43 |
Shares | Value | ||
COMMON STOCKS* — 98.6% | |||
Auto Components — 0.8% | |||
74,530 | LCI Industries | $8,363,757 | |
Banks — 9.8% | |||
289,658 | Ameris Bancorp | 13,660,271 | |
250,159 | BankUnited, Inc. | 9,415,985 | |
281,899 | Cathay General Bancorp | 12,392,280 | |
1,263,963 | FNB Corp.1 | 18,036,752 | |
305,175 | Hancock Whitney Corp. | 15,710,409 | |
429,785 | Simmons First National Corp. Class A | 9,588,503 | |
821,011 | Umpqua Holdings Corp. | 14,942,400 | |
151,882 | Wintrust Financial Corp. | 13,892,647 | |
107,639,247 | |||
Biotechnology — 3.7% | |||
452,591 | Alkermes PLC2 | 12,962,206 | |
319,047 | Halozyme Therapeutics, Inc.2 | 16,517,063 | |
962,314 | Ironwood Pharmaceuticals, Inc.2 | 11,085,858 | |
40,565,127 | |||
Building Products — 2.2% | |||
911,295 | Hayward Holdings, Inc.1,2 | 12,293,369 | |
127,430 | Masonite International Corp.2 | 11,624,165 | |
23,917,534 | |||
Capital Markets — 3.1% | |||
97,336 | Evercore, Inc. Class A | 12,635,186 | |
203,136 | Stifel Financial Corp. | 13,693,398 | |
379,706 | Virtu Financial, Inc. Class A | 7,332,123 | |
33,660,707 | |||
Chemicals — 2.8% | |||
155,174 | Ingevity Corp.2 | 12,792,545 | |
482,685 | Valvoline, Inc. | 17,695,232 | |
30,487,777 | |||
Construction & Engineering — 3.4% | |||
182,211 | Arcosa, Inc. | 10,799,646 | |
106,976 | Dycom Industries, Inc.2 | 10,202,301 | |
106,976 | EMCOR Group, Inc. | 15,859,192 | |
36,861,139 | |||
Containers & Packaging — 2.3% | |||
541,228 | Graphic Packaging Holding Co. | 13,038,182 | |
226,648 | Silgan Holdings, Inc. | 12,214,061 | |
25,252,243 | |||
Diversified Consumer Services — 1.1% | |||
440,130 | Frontdoor, Inc.2 | 11,962,733 | |
Electric Utilities — 0.9% | |||
211,365 | Portland General Electric Co. | 10,056,747 | |
Electrical Equipment — 1.1% | |||
148,355 | EnerSys | 12,316,432 | |
Electronic Equipment, Instruments & Components — 1.1% | |||
741,073 | TTM Technologies, Inc.2 | 11,649,668 | |
Energy Equipment & Services — 1.0% | |||
231,115 | Helmerich & Payne, Inc. | 11,195,211 |
44 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Equity Real Estate Investment Trusts — 4.2% | |||
935,981 | LXP Industrial Trust | $10,810,581 | |
459,644 | Outfront Media, Inc. | 9,146,916 | |
781,042 | Piedmont Office Realty Trust, Inc. Class A | 8,279,045 | |
321,163 | STAG Industrial, Inc. | 11,433,403 | |
1,047,660 | Uniti Group, Inc. | 6,904,079 | |
46,574,024 | |||
Food & Staples Retailing — 1.0% | |||
346,790 | Grocery Outlet Holding Corp.2 | 10,538,948 | |
Food Products — 1.7% | |||
819,601 | Hostess Brands, Inc.2 | 18,957,371 | |
Gas Utilities — 1.1% | |||
250,394 | New Jersey Resources Corp. | 12,499,668 | |
Health Care Equipment & Supplies — 4.6% | |||
95,925 | CONMED Corp.1 | 9,185,778 | |
93,385 | Integra LifeSciences Holdings Corp.2 | 5,350,960 | |
120,366 | Merit Medical Systems, Inc.2 | 8,588,114 | |
43,025 | Mesa Laboratories, Inc. | 8,370,083 | |
476,572 | Neogen Corp.2 | 10,203,407 | |
196,318 | NuVasive, Inc.2 | 8,952,101 | |
50,650,443 | |||
Health Care Providers & Services — 3.6% | |||
81,583 | AMN Healthcare Services, Inc.2 | 7,818,915 | |
211,836 | HealthEquity, Inc.2 | 12,890,220 | |
1,283,923 | R1 RCM, Inc.1,2 | 18,372,938 | |
39,082,073 | |||
Health Care Technology — 2.4% | |||
590,366 | Certara, Inc.2 | 11,453,100 | |
446,007 | Evolent Health, Inc. Class A2 | 14,370,346 | |
25,823,446 | |||
Hotels, Restaurants & Leisure — 1.6% | |||
283,780 | Boyd Gaming Corp. | 17,682,332 | |
Household Durables — 1.7% | |||
298,592 | La-Z-Boy, Inc. | 8,488,971 | |
440,835 | Tri Pointe Homes, Inc.2 | 9,738,045 | |
18,227,016 | |||
Household Products — 1.1% | |||
311,758 | Energizer Holdings, Inc. | 11,566,222 | |
Insurance — 0.9% | |||
196,788 | Stewart Information Services Corp. | 9,400,563 | |
Interactive Media & Services — 1.7% | |||
522,419 | Cargurus, Inc.2 | 9,220,695 | |
105,800 | Ziff Davis, Inc.2 | 9,466,984 | |
18,687,679 | |||
IT Services — 1.7% | |||
238,874 | DigitalOcean Holdings, Inc.2 | 7,010,952 | |
720,739 | Verra Mobility Corp.2 | 11,121,003 | |
18,131,955 |
45 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Leisure Product — 1.0% | |||
234,406 | YETI Holdings, Inc.2 | $10,492,013 | |
Life Sciences Tools & Services — 2.8% | |||
83,464 | Medpace Holdings, Inc.2 | 18,451,386 | |
1,034,728 | NeoGenomics, Inc.2 | 12,292,569 | |
30,743,955 | |||
Machinery — 1.2% | |||
287,307 | Hillenbrand, Inc. | 13,463,206 | |
Media — 1.4% | |||
75,235 | Nexstar Media Group, Inc. | 15,405,871 | |
Multi-line Retail — 1.0% | |||
350,787 | Kohl’s Corp. | 11,354,975 | |
Oil, Gas & Consumable Fuels — 6.4% | |||
887,313 | CNX Resources Corp.2 | 14,844,746 | |
291,774 | Matador Resources Co. | 19,303,768 | |
188,560 | PDC Energy, Inc. | 12,771,169 | |
365,834 | SM Energy Co. | 12,024,964 | |
587,545 | Talos Energy, Inc.2 | 11,639,266 | |
70,583,913 | |||
Pharmaceuticals — 2.1% | |||
167,635 | Pacira BioSciences, Inc.2 | 6,583,027 | |
253,686 | Prestige Consumer Healthcare, Inc.2 | 16,682,391 | |
23,265,418 | |||
Professional Services — 2.3% | |||
129,311 | ASGN, Inc.2 | 11,760,835 | |
43,965 | CACI International, Inc. Class A2 | 13,545,177 | |
25,306,012 | |||
Real Estate Management & Development — 1.7% | |||
671,480 | Cushman & Wakefield PLC1,2 | 9,689,456 | |
493,735 | Kennedy-Wilson Holdings, Inc. | 8,827,982 | |
18,517,438 | |||
Semiconductors & Semiconductor Equipment — 3.3% | |||
191,851 | Diodes, Inc.2 | 17,111,191 | |
461,290 | Rambus, Inc.2 | 18,668,406 | |
35,779,597 | |||
Software — 4.1% | |||
201,020 | CommVault Systems, Inc.2 | 12,509,474 | |
232,996 | Progress Software Corp. | 12,358,108 | |
86,051 | SPS Commerce, Inc.2 | 11,709,820 | |
213,011 | Verint Systems, Inc.2 | 8,088,028 | |
44,665,430 | |||
Specialty Retail — 3.0% | |||
71,239 | Asbury Automotive Group, Inc.1,2 | 15,672,580 | |
389,816 | Foot Locker, Inc. | 16,960,894 | |
32,633,474 | |||
Textiles, Apparel & Luxury Goods — 1.2% | |||
286,836 | Kontoor Brands, Inc.1 | 13,699,287 | |
Thrifts & Mortgage Finance — 0.9% | |||
428,844 | Radian Group, Inc. | 9,477,452 |
46 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Trading Companies & Distributors — 5.6% | |||
256,977 | Beacon Roofing Supply, Inc.2 | $14,616,852 | |
168,105 | Boise Cascade Co. | 12,602,832 | |
544,284 | Univar Solutions, Inc.2 | 18,766,912 | |
101,803 | WESCO International, Inc.2 | 15,169,665 | |
61,156,261 | |||
TOTAL COMMON STOCKS (Cost $793,754,724) | 1,078,294,364 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 1.5% | |||
$16,494,911 | With Fixed Income Clearing Corp., dated 1/31/23, 1.28%, principal and interest in the amount of $16,495,497, due 2/1/23, (collateralized by a U.S. Treasury Note with a par value of $17,205,200,
coupon rate of 3.000%, due 06/30/2024, market value of $16,824,810) | 16,494,911 | |
TOTAL REPURCHASE AGREEMENT (Cost $16,494,911) | 16,494,911 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 4.1% | |||
44,737,193 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 44,737,193 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $44,737,193) | 44,737,193 | ||
TOTAL INVESTMENTS (Cost $854,986,828) | 104.2% | $1,139,526,468 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (4.2) | (45,480,370) | |
NET ASSETS | 100.0% | $1,094,046,098 |
* | 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. |
47 |
Shares | Value | ||
COMMON STOCKS* — 98.7% | |||
Aerospace & Defense — 2.4% | |||
5,161 | Raytheon Technologies Corp. | $515,326 | |
Air Freight & Logistics — 1.7% | |||
2,044 | United Parcel Service, Inc. Class B | 378,610 | |
Banks — 2.7% | |||
4,172 | JPMorgan Chase & Co. | 583,913 | |
Beverages — 2.7% | |||
3,379 | PepsiCo, Inc. | 577,877 | |
Biotechnology — 2.3% | |||
1,940 | Amgen, Inc. | 489,656 | |
Capital Markets — 8.5% | |||
1,287 | Ameriprise Financial, Inc. | 450,605 | |
410 | BlackRock, Inc. | 311,276 | |
4,153 | Charles Schwab Corp. | 321,525 | |
5,310 | Morgan Stanley | 516,822 | |
2,604 | Northern Trust Corp. | 252,510 | |
1,852,738 | |||
Chemicals — 3.4% | |||
1,231 | Air Products & Chemicals, Inc. | 394,548 | |
2,725 | PPG Industries, Inc. | 355,176 | |
749,724 | |||
Communications Equipment — 1.7% | |||
7,586 | Cisco Systems, Inc. | 369,211 | |
Distributors — 1.5% | |||
1,978 | Genuine Parts Co. | 331,948 | |
Electric Utilities — 2.5% | |||
12,668 | Exelon Corp. | 534,463 | |
Electrical Equipment — 3.7% | |||
2,594 | Eaton Corp. PLC | 420,772 | |
1,326 | Rockwell Automation, Inc. | 373,972 | |
794,744 | |||
Electronic Equipment, Instruments & Components — 1.8% | |||
3,164 | TE Connectivity Ltd. | 402,303 | |
Food Products — 3.4% | |||
1,894 | Hershey Co. | 425,392 | |
4,806 | Mondelez International, Inc. Class A | 314,505 | |
739,897 | |||
Health Care Equipment & Supplies — 3.8% | |||
3,901 | Abbott Laboratories | 431,256 | |
4,745 | Medtronic PLC | 397,109 | |
828,365 | |||
Health Care Providers & Services — 2.1% | |||
3,033 | Quest Diagnostics, Inc. | 450,340 | |
Hotels, Restaurants & Leisure — 3.9% | |||
1,895 | McDonald’s Corp. | 506,723 | |
3,061 | Starbucks Corp. | 334,077 | |
840,800 |
48 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Household Products — 3.4% | |||
4,796 | Colgate-Palmolive Co. | $357,446 | |
2,725 | Procter & Gamble Co. | 387,985 | |
745,431 | |||
Insurance — 6.1% | |||
5,822 | Aflac, Inc. | 427,917 | |
3,536 | Allstate Corp. | 454,270 | |
1,250 | Everest Re Group Ltd. | 437,112 | |
1,319,299 | |||
IT Services — 4.5% | |||
690 | Accenture PLC Class A | 192,544 | |
4,973 | Fidelity National Information Services, Inc. | 373,174 | |
3,546 | Paychex, Inc. | 410,840 | |
976,558 | |||
Machinery — 5.6% | |||
1,521 | Cummins, Inc. | 379,550 | |
1,363 | Illinois Tool Works, Inc. | 321,722 | |
2,072 | Snap-on, Inc. | 515,369 | |
1,216,641 | |||
Media — 3.5% | |||
8,342 | Comcast Corp. Class A | 328,258 | |
11,889 | Interpublic Group of Cos., Inc. | 433,473 | |
761,731 | |||
Multi-Utilities — 2.5% | |||
4,609 | DTE Energy Co. | 536,349 | |
Oil, Gas & Consumable Fuels — 4.6% | |||
3,378 | Chevron Corp. | 587,840 | |
4,209 | Phillips 66 | 422,036 | |
1,009,876 | |||
Pharmaceuticals — 7.7% | |||
7,138 | Bristol-Myers Squibb Co. | 518,576 | |
901 | Eli Lilly & Co. | 310,079 | |
3,565 | Johnson & Johnson | 582,592 | |
6,103 | Pfizer, Inc. | 269,509 | |
1,680,756 | |||
Road & Rail — 1.8% | |||
1,913 | Union Pacific Corp. | 390,615 | |
Semiconductors & Semiconductor Equipment — 2.8% | |||
3,379 | Texas Instruments, Inc. | 598,793 | |
Software — 2.1% | |||
5,235 | Oracle Corp. | 463,088 | |
Specialty Retail — 4.5% | |||
1,615 | Home Depot, Inc. | 523,535 | |
3,780 | Ross Stores, Inc. | 446,758 | |
970,293 | |||
Technology Hardware, Storage & Peripherals — 1.5% | |||
4,993 | NetApp, Inc. | 330,686 | |
TOTAL COMMON STOCKS (Cost $15,018,510) | 21,440,031 |
49 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 1.3% | |||
$287,572 | With Fixed Income Clearing Corp., dated 1/31/23, 1.28%, principal and interest in the amount of $287,582, due 2/1/23, (collateralized by a U.S. Treasury Note with a par value of $300,000, coupon
rate of 3.000%, due 06/30/2024, market value of $293,367) | $287,572 | |
TOTAL REPURCHASE AGREEMENT (Cost $287,572) | 287,572 | ||
TOTAL INVESTMENTS (Cost $15,306,082) | 100.0% | $21,727,603 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.0 | 2,018 | |
NET ASSETS | 100.0% | $21,729,621 |
* | Percentages indicated are based on net assets. |
50 |
Shares | Value | ||
EXCHANGE-TRADED FUNDS* — 4.1% | |||
22,100 | SPDR S&P 500 ETF Trust1 | $8,983,208 | |
30,000 | Vanguard S&P 500 ETF1 | 11,203,200 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $6,430,609) | 20,186,408 | ||
Face Amount | |||
U.S. TREASURY BILLS* — 21.7% | |||
$21,000,000 | U.S. Treasury Bill, 2.349% due 02/23/231 | 20,942,860 | |
54,000,000 | U.S. Treasury Bill, 1.735% due 03/23/231 | 53,666,625 | |
20,000,000 | U.S. Treasury Bill, 3.082% due 07/13/231 | 19,588,025 | |
14,500,000 | U.S. Treasury Bill, 4.067% due 09/7/231 | 14,093,899 | |
TOTAL U.S. TREASURY BILLS (Cost $108,727,963) | 108,291,409 | ||
REPURCHASE AGREEMENT* — 0.5% | |||
2,724,124 | With Fixed Income Clearing Corp., dated 1/31/23, 1.28%, principal and interest in the amount of $2,724,221, due 2/1/23, (collateralized by a U.S. Treasury Note with a par value of $2,841,500,
coupon rate of 3.000%, due 06/30/2024, market value of $2,778,677) | 2,724,124 | |
TOTAL REPURCHASE AGREEMENT (Cost $2,724,124) | 2,724,124 | ||
TOTAL PURCHASED OPTIONS (Cost $1,055,906,687) | 228.9% | 1,139,914,788 | |
TOTAL INVESTMENTS (Cost $1,173,789,383) | 255.2% | $1,271,116,729 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (155.2) | (773,082,092) | |
NET ASSETS2 | 100.0% | $498,034,637 |
* | 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 $150,597 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** | 1,000.00 | 03/17/23 | USD | 3,709 | $1,512,010,940 | $1,139,831,335 | $1,053,750,018 | $86,081,317 | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 03/17/23 | USD | 3,709 | 1,512,010,940 | 83,453 | 2,156,669 | (2,073,216) | ||||||||
TOTAL PURCHASED OPTIONS | $3,024,021,880 | $1,139,914,788 | $1,055,906,687 | $84,008,101 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 03/17/23 | USD | 3,709 | (1,512,010,940) | (771,193,825) | (690,512,530) | (80,681,295) | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 3,800.00 | 02/17/23 | USD | 710 | (289,438,600) | (596,400) | (1,932,874) | 1,336,474 | ||||||||
S&P 500 Index | OCC** | 3,805.00 | 02/17/23 | USD | 10 | (4,076,600) | (8,700) | (33,785) | 25,085 | ||||||||
S&P 500 Index | OCC** | 3,915.00 | 02/17/23 | USD | 27 | (11,006,820) | (54,675) | (155,235) | 100,560 | ||||||||
S&P 500 Index | OCC** | 4,000.00 | 02/17/23 | USD | 114 | (46,473,240) | (434,340) | (1,096,067) | 661,727 | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 03/17/23 | USD | 3,709 | (1,512,010,940) | (9,273) | (248,820) | 239,547 | ||||||||
TOTAL PUTS | $(1,863,006,200) | $(1,103,388) | $(3,466,781) | $2,363,393 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(3,375,017,140) | $(772,297,213) | $(693,979,311) | $(78,317,902) |
** | The Options Clearing Corp |
52 |
Shares | Value | ||
EXCHANGE-TRADED FUNDS* — 20.3% | |||
6,900 | iShares MSCI EAFE ETF | $493,695 | |
94,000 | iShares MSCI Emerging Markets ETF | 3,887,840 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $4,253,454) | 4,381,535 | ||
Face Amount | |||
U.S. TREASURY BILLS* — 17.0% | |||
$1,600,000 | U.S. Treasury Bill, 2.349% due 02/23/231 | 1,595,647 | |
2,100,000 | U.S. Treasury Bill, 1.735% due 03/23/231 | 2,087,035 | |
TOTAL U.S. TREASURY BILLS (Cost $3,692,558) | 3,682,682 | ||
REPURCHASE AGREEMENT* — 1.9% | |||
405,907 | With Fixed Income Clearing Corp., dated 1/31/23, 1.28%, principal and interest in the amount of $405,921, due 2/1/23, (collateralized by a U.S. Treasury Note with a par value of $423,400, coupon
rate of 3.000%, due 06/30/2024, market value of $414,039) | 405,907 | |
TOTAL REPURCHASE AGREEMENT (Cost $405,907) | 405,907 | ||
TOTAL PURCHASED OPTIONS (Cost $37,831,192) | 186.6% | 40,261,213 | |
TOTAL INVESTMENTS (Cost $46,183,111) | 225.8% | $48,731,337 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (125.8) | (27,151,290) | |
NET ASSETS2 | 100.0% | $21,580,047 |
* | 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 $169,197 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** | 1,000.00 | 03/17/23 | USD | 131 | $53,403,460 | $40,258,265 | $37,771,326 | $2,486,939 | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 03/17/23 | USD | 131 | 53,403,460 | 2,948 | 59,866 | (56,918) | ||||||||
TOTAL PURCHASED OPTIONS | $106,806,920 | $40,261,213 | $37,831,192 | $2,430,021 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
iShares MSCI Emerging Markets ETF | OCC** | 42.00 | 02/17/23 | USD | 600 | 2,481,600 | (27,600) | (38,700) | 11,100 | ||||||||
S&P 500 Index | OCC** | 2,000.00 | 03/17/23 | USD | 131 | 53,403,460 | (27,238,175) | (24,902,728) | (2,335,447) | ||||||||
TOTAL CALLS | $55,885,060 | $(27,265,775) | $(24,941,428) | $(2,324,347) | |||||||||||||
PUTS: | |||||||||||||||||
iShares MSCI Emerging Markets ETF | OCC** | 41.00 | 02/17/23 | USD | 200 | 827,200 | (10,400) | (9,610) | (790) | ||||||||
iShares MSCI EAFE ETF | OCC** | 69.00 | 02/17/23 | USD | 50 | 357,750 | (1,450) | (2,635) | 1,185 | ||||||||
Russell 2000 Index | OCC** | 1,850.00 | 02/17/23 | USD | 10 | 1,931,940 | (12,650) | (23,285) | 10,635 | ||||||||
S&P 500 Index | OCC** | 3,975.00 | 02/17/23 | USD | 20 | 8,153,200 | (63,600) | (231,985) | 168,385 | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 03/17/23 | USD | 131 | 53,403,460 | (328) | (6,820) | 6,492 | ||||||||
TOTAL PUTS | $64,673,550 | $(88,428) | $(274,335) | $185,907 | |||||||||||||
TOTAL WRITTEN OPTIONS | $120,558,610 | $(27,354,203) | $(25,215,763) | $(2,138,440) |
** | The Options Clearing Corp |
54 |
Face Amount | Value | ||
AGENCY NOTES* — 12.6% | |||
Federal Home Loan Bank — 9.7% | |||
$15,000,000 | 2.750% due 12/13/24 | $14,563,088 | |
7,000,000 | 0.375% due 9/23/251 | 6,369,286 | |
11,500,000 | 3.250% due 11/16/281 | 11,264,043 | |
32,196,417 | |||
Federal National Mortgage Association — 2.9% | |||
6,000,000 | 2.625% due 9/6/241 | 5,837,629 | |
3,960,000 | 2.125% due 4/24/261 | 3,756,237 | |
9,593,866 | |||
TOTAL AGENCY NOTES (Cost $44,756,121) | 41,790,283 | ||
MORTGAGE-BACKED SECURITIES*,2 — 35.7% | |||
Federal Home Loan Mortgage Corporation — 20.1% | |||
255 | # G13396, 5.500% due 12/1/23 | 255 | |
23,766 | # D78677, 8.000% due 3/1/27 | 23,798 | |
39,637 | # C00742, 6.500% due 4/1/29 | 41,472 | |
1,371,928 | # J38111, 3.000% due 12/1/32 | 1,330,538 | |
11,646 | # A68937, 6.000% due 11/1/37 | 12,052 | |
134,112 | # A69653, 5.500% due 12/1/37 | 140,560 | |
153,069 | # A73370, 5.000% due 2/1/38 | 157,478 | |
125,500 | # A90421, 4.500% due 12/1/39 | 127,642 | |
38,700 | # A92890, 4.500% due 7/1/40 | 39,093 | |
491,427 | # A97620, 4.500% due 3/1/41 | 499,946 | |
802,828 | # C03770, 3.500% due 2/1/42 | 775,681 | |
413,674 | # Q07651, 3.500% due 4/1/42 | 399,191 | |
867,866 | # Q41208, 3.500% due 6/1/46 | 832,084 | |
3,472,554 | # G08737, 3.000% due 12/1/46 | 3,219,656 | |
1,225,898 | # Q45735, 3.000% due 1/1/47 | 1,135,703 | |
2,194,340 | # Q46279, 3.500% due 2/1/47 | 2,100,144 | |
2,334,629 | # Q47596, 4.000% due 4/1/47 | 2,297,847 | |
7,207,250 | # RA3173, 3.000% due 7/1/50 | 6,602,915 | |
11,176,622 | # SD8152, 3.000% due 6/1/51 | 10,196,745 | |
7,466,714 | # SD8196, 3.500% due 2/1/52 | 7,008,789 | |
14,655,799 | # SD8201, 3.000% due 3/1/52 | 13,326,580 | |
4,883,786 | # SD8257, 4.500% due 10/1/52 | 4,823,655 | |
7,896,546 | # SD8277, 5.500% due 12/1/52 | 8,025,811 | |
3,510,367 | # QF6499, 5.000% due 1/1/53 | 3,537,374 | |
66,655,009 | |||
Federal National Mortgage Association — 15.5% | |||
128 | # 125275, 7.000% due 3/1/24 | 128 | |
126,472 | # AH6827, 4.000% due 3/1/26 | 125,589 | |
125,562 | # AI1657, 4.000% due 4/1/26 | 125,882 | |
234,489 | # AB3900, 3.000% due 11/1/26 | 227,529 | |
11,469 | # 373328, 8.000% due 3/1/27 | 11,443 | |
339,108 | # AK4751, 3.000% due 4/1/27 | 329,149 | |
2,493 | # 390895, 8.000% due 6/1/27 | 2,485 | |
644,890 | # AO0533, 3.000% due 6/1/27 | 624,822 | |
20,358 | # 397602, 8.000% due 8/1/27 | 20,355 | |
2,247 | # 252806, 7.500% due 10/1/29 | 2,354 | |
129 | # 523497, 7.500% due 11/1/29 | 132 | |
1,618,340 | # BC2462, 3.000% due 2/1/31 | 1,572,484 | |
702 | # 588945, 7.000% due 6/1/31 | 708 | |
3,491,917 | # AS7429, 2.500% due 6/1/31 | 3,317,057 | |
32,237 | # 607862, 7.000% due 9/1/31 | 32,511 | |
1,519 | # 656872, 6.500% due 8/1/32 | 1,572 |
55 |
Face Amount | Value | ||
MORTGAGE-BACKED SECURITIES*,2 — (Continued) | |||
Federal National Mortgage Association — (Continued) | |||
$2,258,500 | # MA3391, 3.000% due 6/1/33 | $2,171,617 | |
71,828 | # 789856, 6.000% due 8/1/34 | 74,209 | |
16,157 | # 829202, 5.000% due 7/1/35 | 16,439 | |
52,224 | # 826586, 5.000% due 8/1/35 | 53,673 | |
14,400 | # 256216, 7.000% due 4/1/36 | 15,271 | |
40,955 | # 898412, 5.000% due 10/1/36 | 41,681 | |
6,031 | # 910894, 5.000% due 2/1/37 | 6,109 | |
13,436 | # 912456, 6.500% due 3/1/37 | 13,915 | |
172,025 | # 973241, 5.000% due 3/1/38 | 176,795 | |
41,252 | # 975593, 5.000% due 6/1/38 | 42,297 | |
67,633 | # 257573, 5.500% due 2/1/39 | 71,046 | |
167,969 | # AD7128, 4.500% due 7/1/40 | 170,008 | |
8,466,823 | # MA4152, 2.000% due 10/1/40 | 7,436,967 | |
1,654,167 | # AH1568, 4.500% due 12/1/40 | 1,681,086 | |
672,867 | # AH6991, 4.000% due 1/1/41 | 664,794 | |
459,123 | # AH4004, 4.500% due 3/1/41 | 466,114 | |
395,567 | # AH8351, 4.000% due 3/1/41 | 390,819 | |
457,157 | # AJ1315, 4.000% due 9/1/41 | 453,195 | |
548,184 | # AI8779, 4.000% due 11/1/41 | 541,605 | |
809,875 | # AJ5958, 4.000% due 12/1/41 | 800,152 | |
268,926 | # AK5070, 3.500% due 3/1/42 | 259,401 | |
1,154,473 | # AK5426, 3.500% due 3/1/42 | 1,114,300 | |
3,085,225 | # AT7682, 3.500% due 6/1/43 | 2,976,176 | |
1,446,092 | # AS6326, 3.500% due 12/1/45 | 1,384,201 | |
1,147,090 | # AS6881, 3.500% due 3/1/46 | 1,096,810 | |
1,521,677 | # BC0960, 4.000% due 6/1/46 | 1,499,319 | |
849,756 | # AS8966, 4.000% due 3/1/47 | 834,640 | |
1,127,966 | # AS9988, 4.500% due 7/1/47 | 1,135,047 | |
1,513,039 | # MA3210, 3.500% due 12/1/47 | 1,443,508 | |
1,231,932 | # BJ9251, 3.500% due 6/1/48 | 1,175,534 | |
4,836,611 | # FM3727, 3.000% due 7/1/50 | 4,435,673 | |
5,031,874 | # BQ2863, 2.500% due 9/1/50 | 4,451,832 | |
8,727,742 | # CA7231, 2.500% due 10/1/50 | 7,710,595 | |
51,199,028 | |||
Government National Mortgage Association — 0.1% | |||
7,619 | # 476259, 7.000% due 8/15/28 | 7,609 | |
1,231 | # 485264, 7.500% due 2/15/31 | 1,230 | |
5,949 | # 559304, 7.000% due 9/15/31 | 5,947 | |
113,257 | # 651859, 5.000% due 6/15/36 | 117,022 | |
75,225 | # 782150, 5.500% due 4/15/37 | 78,388 | |
12,658 | # 662521, 6.000% due 8/15/37 | 13,223 | |
18,820 | # 677545, 6.000% due 11/15/37 | 19,335 | |
19,488 | # 676291, 6.000% due 12/15/37 | 20,026 | |
18,766 | # 685836, 5.500% due 4/15/38 | 19,146 | |
139,348 | # 698235, 5.000% due 6/15/39 | 143,987 | |
425,913 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $129,803,803) | 118,279,950 | ||
CORPORATE NOTES* — 22.9% | |||
Banking — 5.0% | |||
5,000,000 | Bank of America Corp., (3M USD LIBOR * 1.51 + 3.71%), 3.705% due 4/24/283 | 4,767,710 | |
6,000,000 | JPMorgan Chase & Co., (3M USD LIBOR * 0.95 + 3.51%), 3.509% due 1/23/293 | 5,622,166 |
56 |
Face Amount | Value | ||
CORPORATE NOTES* — (Continued) | |||
Banking — (Continued) | |||
$6,500,000 | PNC Bank NA, 3.250% due 6/1/25 | $6,313,110 | |
16,702,986 | |||
Beverages, Food & Tobacco — 2.8% | |||
10,000,000 | Archer-Daniels-Midland Co., 3.250% due 3/27/30 | 9,330,761 | |
Computer Software & Processing — 2.4% | |||
1,000,000 | Alphabet, Inc., 2.050% due 8/15/50 | 639,339 | |
8,000,000 | Microsoft Corp., 3.450% due 8/8/36 | 7,404,941 | |
8,044,280 | |||
Electric Utilities — 1.1% | |||
4,140,000 | DTE Electric Co., 4.300% due 7/1/44 | 3,795,391 | |
Electronics — 2.1% | |||
4,000,000 | Emerson Electric Co., 1.800% due 10/15/27 | 3,568,209 | |
4,000,000 | QUALCOMM, Inc., 1.300% due 5/20/28 | 3,481,260 | |
7,049,469 | |||
Heavy Machinery — 1.1% | |||
4,000,000 | Caterpillar, Inc., 2.600% due 4/9/30 | 3,614,399 | |
Insurance — 2.7% | |||
5,100,000 | Aflac, Inc., 2.875% due 10/15/261 | 4,826,990 | |
4,000,000 | MetLife, Inc., 4.550% due 3/23/30 | 4,062,198 | |
8,889,188 | |||
Media - Broadcasting & Publishing — 2.0% | |||
7,000,000 | Comcast Corp., 3.150% due 2/15/28 | 6,625,990 | |
Pharmaceuticals — 2.5% | |||
5,000,000 | Johnson & Johnson, 2.450% due 9/1/60 | 3,338,662 | |
5,000,000 | Merck & Co., Inc., 2.750% due 2/10/25 | 4,843,209 | |
8,181,871 | |||
Transportation — 1.2% | |||
4,000,000 | United Parcel Service, Inc., 3.400% due 3/15/29 | 3,828,322 | |
TOTAL CORPORATE NOTES (Cost $84,282,543) | 76,062,657 | ||
U.S. TREASURY NOTES/BONDS* — 27.4% | |||
4,000,000 | U.S. Treasury Bonds, 6.625% due 2/15/27 | 4,431,719 | |
7,000,000 | U.S. Treasury Bonds, 3.500% due 2/15/39 | 6,927,266 |
57 |
Face Amount | Value | ||
U.S. TREASURY NOTES/BONDS* — (Continued) | |||
$4,000,000 | U.S. Treasury Bonds, 3.125% due 11/15/41 | $3,667,656 | |
5,000,000 | U.S. Treasury Bonds, 3.250% due 5/15/42 | 4,639,063 | |
9,000,000 | U.S. Treasury Bonds, 3.750% due 11/15/43 | 8,958,867 | |
10,000,000 | U.S. Treasury Bonds, 2.250% due 8/15/46 | 7,635,547 | |
9,000,000 | U.S. Treasury Bonds, 3.000% due 5/15/47 | 7,915,430 | |
2,500,000 | U.S. Treasury Notes, 3.000% due 7/31/24 | 2,446,289 | |
9,000,000 | U.S. Treasury Notes, 2.875% due 5/31/25 | 8,762,695 | |
10,000,000 | U.S. Treasury Notes, 1.875% due 7/31/26 | 9,385,547 | |
8,000,000 | U.S. Treasury Notes, 2.750% due 5/31/29 | 7,620,625 | |
10,000,000 | U.S. Treasury Notes, 3.250% due 6/30/29 | 9,804,687 | |
10,000,000 | U.S. Treasury Notes, 1.875% due 2/15/32 | 8,774,609 | |
TOTAL U.S. TREASURY NOTES/BONDS (Cost $101,488,533) | 90,970,000 | ||
REPURCHASE AGREEMENT* — 0.8% | |||
2,540,504 | With Fixed Income Clearing Corp., dated 1/31/23, 1.28%, principal and interest in the amount of $2,540,595, due 2/1/23, (collateralized by a U.S. Treasury Note with a par value of $2,650,000,
coupon rate of 3.000%, due 06/30/2024, market value of $2,591,411) | 2,540,504 | |
TOTAL REPURCHASE AGREEMENT (Cost $2,540,504) | 2,540,504 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 3.0% | |||
9,886,315 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 9,886,315 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $9,886,315) | 9,886,315 | ||
TOTAL INVESTMENTS (Cost $372,757,819) | 102.4% | $339,529,709 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (2.4) | (8,058,687) | |
NET ASSETS | 100.0% | $331,471,022 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | Represents current face amount at January 31, 2023. |
3 | Floating Rate Bond. Rate shown is as of January 31, 2023. |
4 | Represents an investment of securities lending cash collateral. |
58 |
Face Amount | Value | ||
CORPORATE NOTES* — 2.2% | |||
Health Care Services — 2.2% | |||
$1,000,000 | CommonSpirit Health, 6.073% due 11/1/27 | $1,042,547 | |
TOTAL CORPORATE NOTES (Cost $1,000,000) | 1,042,547 | ||
MUNICIPAL BONDS* — 87.1% | |||
Alabama — 0.9% | |||
185,000 | Black Belt Energy Gas District, AL, Revenue Bonds, Series A, 4.000% due 12/1/481 | 185,520 | |
150,000 | Black Belt Energy Gas District, AL, Revenue Bonds, Series D1, 4.000% due 12/1/24 | 151,871 | |
100,000 | Southeast Energy Authority, AL, Cooperative District, Project No.1, Revenue Bonds, Series A, 4.000% due 10/1/23 | 100,301 | |
437,692 | |||
Arizona — 2.0% | |||
200,000 | City of Phoenix, AZ, Civic Improvement Corp, Revenue Bonds, Series A, 5.000% due 7/1/26 | 212,776 | |
250,000 | City of Phoenix, AZ, Civic Improvement Corp., Junior Line Airport, Revenue Bonds, AMT, Series B, 5.000% due 7/1/23 | 251,941 | |
175,000 | City of Yuma, AZ, Revenue Bonds, Refunding, 4.000% due 7/1/23 | 176,079 | |
250,000 | Pima County Unified School District No. 10 Amphitheater, AZ, General Obligation, Refunding, 5.000% due 7/1/26 | 271,994 | |
912,790 | |||
California — 3.6% | |||
350,000 | City of Los Angeles, CA, Department of Airports, Revenue Bonds, AMT, Series D, 5.000% due 5/15/23 | 351,964 | |
500,000 | City of Los Angeles, CA, Department of Airports, Revenue Bonds, Refunding, AMT, Series A, 5.000% due 5/15/25 | 523,493 | |
450,000 | Golden State Tobacco Securitization Corp, CA, Revenue Bonds, Taxable Refunding, (State Appropriations), 1.400% due 6/1/25 | 418,052 | |
350,000 | San Francisco City & County Airport Comm-San Francisco International Airport, CA, Revenue Bonds, Series A, 5.000% due 5/1/25 | 370,844 | |
1,664,353 | |||
Colorado — 1.6% | |||
750,000 | E-470 Public Highway Authority, CO, Revenue Bonds, Variable Refunding, Series B, (SOFR*0.67+0.35%), 3.231% due 9/1/392 | 746,796 | |
Connecticut — 2.2% | |||
750,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds, Series 2014A, 1.100% due 7/1/481 | 749,753 | |
250,000 | University of Connecticut, Revenue Bonds, Series A, 5.000% due 8/15/26 | 253,597 | |
1,003,350 | |||
Delaware — 0.5% | |||
250,000 | Delaware River & Bay Authority, DE, Revenue Bonds, Refunding, 5.000% due 1/1/24 | 255,554 | |
District Of Columbia — 2.2% | |||
1,000,000 | Metropolitan Washington Airports Authority Aviation Revenue, DC, Revenue Bonds, AMT, Refunding, Series A, 5.000% due 10/1/24 | 1,031,953 |
59 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — 10.1% | |||
$275,000 | Central Florida Expressway Authority, Senior Line, Revenue Bonds, Series A, 5.000% due 7/1/23 | $277,773 | |
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 | 340,656 | |
500,000 | County of Broward, FL, Port Facilities Revenue, Revenue Bonds, AMT, Refunding, Subordinate Bond, Series D, 5.000% due 9/1/24 | 517,422 | |
200,000 | County of Miami-Dade, FL, Aviation Revenue, Revenue Bonds, Refunding, 5.000% due 10/1/23 | 203,290 | |
250,000 | County of Miami-Dade, FL, Aviation Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/25 | 267,114 | |
455,000 | County of Miami-Dade, FL, Seaport Department, Revenue Bonds, Prerefunded, Series A, 5.500% due 10/1/25 | 464,336 | |
250,000 | Hillsborough County School Board, FL, Master Lease Program,Certificate Participation, Refunding, 5.000% due 7/1/26 | 270,881 | |
385,000 | Hillsborough County School Board, FL, Revenue Bonds, Refunding, (AGMC Insured), 5.000% due 10/1/23 | 391,256 | |
390,000 | Manatee County Port Authority, FL, Revenue Bonds,Taxable Refunding, 0.619% due 10/1/24 | 366,605 | |
515,000 | Miami-Dade County Expressway Authority, FL, Revenue Bonds, Refunding, Series B, 5.000% due 7/1/28 | 529,106 | |
500,000 | Orange County School Board, FL, Certificate of Participation, Refunding, 5.000% due 8/1/26 | 544,704 | |
260,000 | School Board of Miami-Dade County, FL, Certificate Participation, Refunding, Series D, 5.000% due 2/1/26 | 278,952 | |
245,000 | School District of Broward County, FL, Certificate Participation, Refunding, (BAM-TCRS Insured), 5.000% due 7/1/23 | 247,410 | |
4,699,505 | |||
Georgia — 0.2% | |||
105,000 | Municipal Electric Authority of Georgia, Project No.1, Revenue Bonds, Taxable Refunding, Series B, 1.421% due 1/1/25 | 98,043 | |
Illinois — 9.1% | |||
500,000 | Chicago O’Hare International Airport, IL, Revenue Bonds, Refunding, 5.000% due 1/1/24 | 508,197 | |
250,000 | City of Chicago, IL, General Obligation Unlimited, Refunding, Series A, 5.000% due 1/1/24 | 253,058 | |
300,000 | Cook County School District No. 100 South Berwyn, IL, General Obligation Unlimited, Refunding, (BAM Insured), 4.000% due 12/1/23 | 303,307 | |
500,000 | County of Cook, IL, General Obligation Unlimited, Refunding, Series B, 4.000% due 11/15/23 | 503,927 | |
500,000 | DeKalb County Community Unit School District No. 428 DeKalb, IL, General Obligation Unlimited, Refunding, 5.000% due 1/1/24 | 511,155 | |
150,000 | Illinois Finance Authority, Revenue Bonds, Rush University Medical Centre, Series A, 5.000% due 11/15/23 | 152,640 | |
255,000 | McHenry County Conservation District, IL, General Obligation Unlimited, Refunding, 5.000% due 2/1/24 | 261,343 | |
500,000 | State of Illinois, General Obligation Unlimited, Refunding, Series C, 4.000% due 3/1/24 | 506,152 | |
State of Illinois, General Obligation Unlimited, Series A: | |||
350,000 | 5.000% due 12/1/24 | 363,018 | |
400,000 | 5.000% due 3/1/25 | 416,663 |
60 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
$500,000 | State of Illinois, Sales Tax Revenue, Revenue Bonds, Series B, 0.941% due 6/15/24 | $473,091 | |
4,252,551 | |||
Indiana — 0.6% | |||
250,000 | Hanover Middle School Building Corp, IN, Redunding and Improvement Bonds, Revenue Bonds, Refunding, (State Intercept Program), Series A, 5.000% due 1/15/26 | 268,809 | |
Kansas — 0.8% | |||
375,000 | Wyandotte County-Kansas City Unified Government, KS, General Obligation Unlimited, Series A, (AGMC Insured), 4.000% due 8/1/24 | 383,450 | |
Kentucky — 3.4% | |||
435,000 | Kentucky Public Energy Authority, Revenue Bonds, Series A, 4.000% due 4/1/481 | 435,924 | |
185,000 | Kentucky State Property & Building Commission, Revenue Bonds, Refunding, Project No. 108, Series B, 5.000% due 8/1/24 | 191,402 | |
285,000 | Kentucky State Property & Building Commission, Revenue Bonds, Refunding, Project No. 112, Series B, (State Appropriations), 5.000% due 11/1/24 | 296,563 | |
250,000 | Kentucky State Property & Building Commission, Revenue Bonds, Refunding, Project No. 127, Series B, 3.887% due 6/1/23 | 249,409 | |
Louisville & Jefferson County Metropolitan Government, KY, Health System Revenue, Revenue Bonds, Refunding, Series A: | |||
300,000 | 5.000% due 10/1/23 | 304,237 | |
125,000 | 5.000% due 10/1/24 | 129,262 | |
1,606,797 | |||
Louisiana — 1.5% | |||
400,000 | Ernest N Morial New Orleans Exhibition Hall Authority, LA, Special Tax, Refunding, 5.000% due 7/15/25 | 420,428 | |
250,000 | Jefferson Parish Consolidated Waterworks District No 2, LA, Revenue Bonds, Refunding, (BAM Insured), 4.000% due 2/1/26 | 262,240 | |
682,668 | |||
Michigan — 4.0% | |||
500,000 | Eaton Rapids Public Schools, MI, General Obligation Unlimited, Refunding (QSBLF Insured), 4.000% due 5/1/25 | 517,216 | |
500,000 | Hazel Park School District, MI, General Obligation Unlimited, Refunding (QSBLF Insured), 4.000% due 5/1/24 | 508,776 | |
425,000 | Maple Valley Schools, MI, General Obligation Unlimited, Refunding (QSBLF Insured), 4.000% due 5/1/23 | 426,496 | |
200,000 | Michigan Finance Authority, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/23 | 201,324 | |
200,000 | Michigan Finance Authority, Revenue Bonds, Refunding, Series MI-1, 5.000% due 12/1/23 | 204,118 | |
1,857,930 | |||
Minnesota — 3.5% | |||
Minneapolis-St Paul Metropolitan Airports Commission, MN, Revenue Bonds, AMT, Refunding, Series B: | |||
500,000 | 5.000% due 1/1/25 | 517,571 | |
1,065,000 | 5.000% due 1/1/26 | 1,120,866 | |
1,638,437 |
61 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Mississippi — 0.6% | |||
$250,000 | Mississippi Development Bank, Jackson Public School District, Revenue Bond, General Obligation (BAM Insured), 5.000% due 10/1/24 | $260,057 | |
Nebraska — 0.9% | |||
400,000 | City of Lincoln, NE, Electric System Revenue, Revenue Bonds, Refunding, 5.000% due 9/1/26 | 438,037 | |
Nevada — 1.9% | |||
210,000 | Clark County School District, NV, General Obligation Limited, Refunding, Series A, 5.000% due 6/15/24 | 217,196 | |
240,000 | Clark County School District, NV, General Obligation Limited, Series D, 5.000% due 6/15/24 | 248,224 | |
300,000 | County of Clark Department of Aviation, NV, Revenue Bonds, AMT, Refunding, 5.000% due 7/1/24 | 308,092 | |
125,000 | State of Nevada, General Obligation Limited, Refunding, Series H1, 5.000% due 6/1/24 | 126,082 | |
899,594 | |||
New Jersey — 4.6% | |||
300,000 | Maple Shade Township School District, NJ, General Obligation Unlimited, Refunding, (SBRF Insured), 5.000% due 10/1/25 | 319,975 | |
195,000 | New Jersey Economic Development Authority, Revenue Bonds, Refunding, Series B, 4.000% due 11/1/25 | 201,490 | |
200,000 | New Jersey Economic Development Authority, Revenue Bonds, Refunding, Series II, 5.000% due 3/1/23 | 200,289 | |
375,000 | New Jersey Economic Development Authority, State Government Building Project, Revenue Bonds, Series A, 5.000% due 6/15/25 | 394,571 | |
350,000 | New Jersey Economic Development Authority, State Lease Revenue, Offshore Wind Port Project, Revenue Bonds, 4.914% due 3/1/24 | 350,690 | |
500,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, 5.000% due 6/15/24 | 515,423 | |
155,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series A, 4.000% due 12/15/23 | 156,684 | |
2,139,122 | |||
New Mexico — 0.7% | |||
335,000 | State of New Mexico Severance Tax Permanent Fund, Revenue Bonds, Refunding, Series B, 4.000% due 7/1/24 | 342,709 | |
New York — 3.9% | |||
225,000 | New York State Dormitory Authority, Revenue Bonds, Refunding, Series A, Escrowed to Maturity, 5.000% due 3/15/24 | 231,538 | |
150,000 | New York State Dormitory Authority, Sales Tax Revenue, Revenue Bonds, Series 2015B-A, 5.000% due 3/15/24 | 154,459 | |
500,000 | New York State Urban Development Corp., Personal Income Tax, Revenue Bonds, Refunding, 5.000% due 3/15/24 | 514,940 | |
200,000 | Port Authority of New York & New Jersey, Revenue Bonds, AMT, Refunding, Series 226, 5.000% due 10/15/23 | 202,612 | |
500,000 | Port Authority of New York & New Jersey, Revenue Bonds, Refunding, Series 231, 5.000% due 8/1/27 | 543,787 | |
150,000 | Port Authority of New York & New Jersey, Revenue Bonds, Series 179, 5.000% due 12/1/26 | 153,214 | |
1,800,550 |
62 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
North Carolina — 0.6% | |||
$250,000 | City of Charlotte, NC, General Obligation Unlimited, Series A, 5.000% due 6/1/24 | $258,815 | |
Ohio — 2.1% | |||
360,000 | City of Akron, OH, Income Tax Revenue, Revenue Bonds, 4.000% due 12/1/23 | 364,980 | |
265,000 | Miami University, OH, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/24 | 275,614 | |
325,000 | Ohio Higher Educational Facility Commission, Revenue Bonds, Refunding, 5.000% due 10/1/23 | 330,238 | |
970,832 | |||
Oregon — 0.4% | |||
195,000 | Washington Clackamas & Yamhill Counties School District No. 88J, OR, General Obligation Unlimited, Refunding, (School Bond Guaranty), 5.000% due 6/15/24 | 201,816 | |
Pennsylvania — 11.3% | |||
500,000 | Allegheny County Higher Education Building Authority, PA, Revenue Bonds, (SOFR*0.70+0.29%), 3.300% due 2/1/332 | 485,590 | |
Allegheny County Hospital Development Authority, PA, Revenue Bonds, Refunding, University of Pittsburgh Medical Center, Series A: | |||
300,000 | 5.000% due 7/15/23 | 303,207 | |
325,000 | 5.000% due 7/15/25 | 344,293 | |
250,000 | Allegheny County Sanitary Authority, PA, Revenue Bonds, Refunding, (AGMC Insured), 5.000% due 12/1/25 | 268,867 | |
215,000 | Bensalem Township School District, PA, General Obligation Limited, Taxable Refunding (State Aid Withholding), 1.972% due 6/1/24 | 207,965 | |
160,000 | Bensalem Township School District, PA, General Obligation Limited, Taxable Refunding, Series B (State Aid Withholding), 1.917% due 6/1/23 | 158,611 | |
515,000 | City of Philadelphia, PA, Airport Revenue, Revenue Bonds, AMT, Refunding, Series B, 5.000% due 7/1/24 | 528,530 | |
400,000 | County of Lehigh, PA, General Purpose Hospital, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/23 | 403,536 | |
125,000 | Cumberland County Municipal Authority, PA, Revenue Bonds, 5.000% due 11/1/26 | 136,112 | |
750,000 | Delaware Valley Regional Finance Authority, PA, Revenue Bonds, Series B, 5.000% due 11/1/24 | 782,524 | |
425,000 | Montgomery County Higher Education and Health Authority, PA, Revenue Bonds, Refunding, Thomas Jefferson University Project, 5.000% due 9/1/23 | 430,259 | |
525,000 | Pennsylvania Turnpike Commission Oil Franchise Tax Revenue, Revenue Bonds, Refunding, Series B, 4.000% due 12/1/23 | 531,525 | |
190,000 | Pennsylvania Turnpike Commission, Revenue Bonds, Refunding, Series A-2, 5.000% due 12/1/24 | 198,614 | |
105,000 | Public Parking Authority of Pittsburgh, PA, Revenue Bonds, Prerefunded, Series A, Escrowed to Maturity, 5.000% due 12/1/23 | 107,180 | |
195,000 | Public Parking Authority of Pittsburgh, PA, Revenue Bonds, Unrefunded, Series A, Unrefunded portion, 5.000% due 12/1/23 | 198,368 | |
200,000 | School District of Philadelphia, PA, General Obligation Limited, Series A (State Aid Withholding), 5.000% due 9/1/23 | 202,649 | |
5,287,830 | |||
South Carolina — 1.9% | |||
250,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/24 | 259,964 |
63 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
South Carolina — (Continued) | |||
$400,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series C, 5.000% due 12/1/24 | $415,943 | |
200,000 | South Carolina Public Service Authority, Revenue Bonds, Series B, 5.000% due 12/1/24 | 207,972 | |
883,879 | |||
Tennessee — 0.5% | |||
250,000 | Memphis-Shelby County Airport Authority, TN, Revenue Bonds, Refunding, Series C, 5.000% due 7/1/23 | 251,889 | |
Texas — 6.4% | |||
310,000 | Arlington Higher Education Finance Corp., TX, Revenue Bonds, Series A, (PSF Guaranteed), 5.000% due 8/15/23 | 314,144 | |
100,000 | Central Texas Regional Mobility Authority, Revenue Bonds, Taxable Refunding, Series C, 1.345% due 1/1/24 | 97,268 | |
260,000 | City of Grand Prairie, TX, Sales and USE Tax, Revenue Bonds, 3.000% due 2/15/24 | 261,411 | |
170,000 | City of Houston, TX, Airport System Revenue, Revenue Bonds, AMT, Refunding, Series C, 5.000% due 7/1/24 | 174,585 | |
425,000 | City of Houston, TX, Airport System Revenue, Revenue Bonds, Refunding, Series D, 5.000% due 7/1/26 | 462,974 | |
225,000 | Houston Community College System, TX, General Obligation Limited, 5.000% due 2/15/23 | 225,211 | |
1,000,000 | Lower Colorado River Authority, TX, Revenue Bonds, Refunding, Series 2022, 5.000% due 5/15/24 | 1,030,185 | |
230,000 | North Texas Municipal Water District, Revenue Bonds, Refunding and Improvement Bonds, 5.000% due 6/1/24 | 237,926 | |
200,000 | Pleasanton Independent School District, TX, General Obligation Unlimited, (PSF Guaranteed), 5.000% due 8/15/23 | 202,738 | |
3,006,442 | |||
Virginia — 0.5% | |||
250,000 | Greater Richmond Convention Center Authority, VA, Revenue Bonds, Refunding, 5.000% due 6/15/23 | 252,285 | |
Washington — 1.8% | |||
350,000 | Chelan County Public Utility District No 1, WA, Revenue Bonds, Refunding, Series A, (NPFG Insured), 0.000% due 6/1/233 | 346,963 | |
500,000 | Clark County Public Utility District No. 1 Generating System Revenue, WA, Revenue Bonds, 5.000% due 1/1/24 | 511,383 | |
858,346 | |||
Wisconsin — 2.8% | |||
215,000 | City of Eau Claire, WI, General Obligation Unlimited, Refunding, Series D, 1.400% due 4/1/24 | 210,000 | |
300,000 | City of Milwaukee, WI, General Obligation Unlimited, Refunding, Series N-4, 5.000% due 4/1/25 | 313,652 | |
Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Refunding: | |||
250,000 | 5.000% due 11/15/23 | 254,380 | |
220,000 | 5.000% due 11/15/25 | 228,570 | |
300,000 | 5.000% due 11/15/26 | 311,577 | |
1,318,179 | |||
TOTAL MUNICIPAL BONDS (Cost $41,164,851) | 40,711,060 |
64 |
Face Amount | Value | ||
U.S. TREASURY BILL* — 9.3% | |||
$4,500,000 | U.S. Treasury Bill, 4.696% due 12/28/23 | $4,316,231 | |
TOTAL U.S. TREASURY BILL (Cost $4,316,190) | 4,316,231 | ||
REPURCHASE AGREEMENT* — 0.5% | |||
243,018 | With Fixed Income Clearing Corp., dated 1/31/23, 1.28%, principal and interest in the amount of $243,027, due 2/1/23, (collateralized by a U.S. Treasury Note with a par value of $253,500, coupon
rate of 3.000%, due 06/30/2024, market value of $247,895) | 243,018 | |
TOTAL REPURCHASE AGREEMENT (Cost $243,018) | 243,018 | ||
TOTAL INVESTMENTS (Cost $46,724,059) | 99.1% | $46,312,856 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.9 | 423,204 | |
NET ASSETS | 100.0% | $46,736,060 |
* | Percentages indicated are based on net assets. |
1 | 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 January 31, 2023. |
2 | Floating Rate Bond. Rate shown is as of January 31, 2023. |
3 | Zero Coupon Bond. |
Abbreviations: |
AGMC — Assured Guaranty Municipal Corporation |
AMT — Alternative Minimum Tax |
BAM — Build America Mutual |
NPFG — National Public Finance Guarantee Corporation |
PSF — Permanent School Fund |
QSBLF — Michigan Qualified School Bond Loan Fund |
SBRF — School Bond Reserve Fund |
65 |
Face Amount | Value | ||
CORPORATE NOTES* — 0.5% | |||
Health Care Services — 0.1% | |||
$300,000 | Tower Health, 4.451% due 2/1/50 | $140,073 | |
Lodging — 0.4% | |||
1,000,000 | Wild Rivers Water Park, 8.500% due 11/1/511 | 815,419 | |
TOTAL CORPORATE NOTES (Cost $987,230) | 955,492 | ||
MUNICIPAL BONDS* — 95.9% | |||
Alabama — 1.5% | |||
500,000 | County of Jefferson, AL, Sewer Revenue, Revenue Bonds, Warrants, Series B, (AGMC Insured), 0.000% due 10/1/252 | 456,892 | |
1,070,000 | County of Jefferson, AL, Sewer Revenue, Revenue Bonds, Warrants, Series D, 6.000% due 10/1/42 | 1,143,015 | |
500,000 | County of Jefferson, AL, Sewer Revenue, Revenue Bonds, Warrants, Series E, 0.000% due 10/1/342 | 219,446 | |
500,000 | Montgomery Medical Clinic Board, AL, Health Care Facility Revenue, Revenue Bonds, Refunding, 5.000% due 3/1/30 | 503,954 | |
500,000 | Sumter County Industrial Development Authority, AL, Exempt Facilities Revenue, Revenue Bonds, 6.000% due 7/15/523 | 458,382 | |
2,781,689 | |||
Alaska — 0.1% | |||
1,675,000 | Northern Tobacco Securitization Corp., AK, Revenue Bonds, Refunding, Series B-2, 0.000% due 6/1/662 | 221,878 | |
Arizona — 3.6% | |||
555,000 | Arizona Industrial Development Authority, Economic Development Revenue, Legacy Cares, Inc. Project, Revenue Bonds, Series A, 7.750% due 7/1/504,5 | 360,750 | |
500,000 | Arizona Industrial Development Authority, Economic Development Revenue, Legacy Cares, Inc. Project, Revenue Bonds, Series C, 6.750% due 7/1/304 | 325,000 | |
300,000 | Arizona Industrial Development Authority, Education Revenue, Basis Schools Projects, Revenue Bonds, Refunding, Series A, 5.250% due 7/1/474 | 293,396 | |
250,000 | Arizona Industrial Development Authority, Education Revenue, Cadence Campus Project, Revenue Bonds, Series A, 4.000% due 7/15/504 | 197,782 | |
315,000 | Arizona Industrial Development Authority, Education Revenue, Macombs Fac Project, Revenue Bonds, Series A, 4.000% due 7/1/36 | 303,228 | |
500,000 | Arizona Industrial Development Authority, Education Revenue, Revenue Bonds, Refunding, Series A, 4.000% due 7/1/42 | 451,347 | |
Arizona Industrial Development Authority, Education Revenue, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/494 | 234,002 | |
125,000 | 5.000% due 7/15/494 | 116,667 | |
300,000 | Arizona Industrial Development Authority, Education Revenue, Revenue Bonds, Series B, 5.500% due 7/1/384 | 306,648 | |
25,000 | Florence Town, Inc., AZ, Industrial Development Authority, Legacy Traditional School Project, Revenue Bonds, Escrowed to Maturity, 5.000% due 7/1/234 | 25,238 | |
250,000 | Glendale Industrial Development Authority, AZ, Senior Living Facility, Revenue Bonds, Refunding, 5.000% due 5/15/39 | 241,073 |
66 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Arizona — (Continued) | |||
Industrial Development Authority of the City of Phoenix, AZ, Education Revenue, Basis Schools, Inc., Revenue Bonds, Refunding: | |||
$500,000 | 5.000% due 7/1/354 | $502,266 | |
250,000 | 5.000% due 7/1/454 | 238,328 | |
Industrial Development Authority of the City of Phoenix, AZ, Education Revenue, Legacy Traditional Schools Project, Revenue Bonds, Series A: | |||
135,000 | 5.750% due 7/1/244 | 137,077 | |
500,000 | 6.750% due 7/1/444 | 512,528 | |
500,000 | Industrial Development Authority of the City of Phoenix, AZ, Education Revenue, Revenue Bonds, Series A, 5.000% due 7/1/464 | 477,410 | |
110,000 | Industrial Development Authority of the County of Pima, AZ, Education Revenue, Revenue Bonds, 4.000% due 6/15/414 | 92,990 | |
290,000 | La Paz County Industrial Development Authority, AZ, Revenue Bonds,Series A, 5.000% due 2/15/464 | 251,120 | |
750,000 | Maricopa County Industrial Development Authority, AZ, Educational Revenue, Paradise Schools Project, Revenue Bonds, Refunding, 5.000% due 7/1/364 | 756,284 | |
375,000 | Maricopa County Industrial Development Authority, AZ, Revenue Bonds, Series A, 6.000% due 7/1/524 | 389,515 | |
150,000 | Tempe Industrial Development Authority, AZ, Revenue Bonds, 5.000% due 12/1/54 | 129,363 | |
250,000 | Tempe Industrial Development Authority, AZ, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/38 | 209,982 | |
6,551,994 | |||
California — 7.1% | |||
1,000,000 | California Community Choice Financing Authority, Green Bond Clean Energy Project, Revenue Bonds, (SOFR*0.67+1.63%), 4.511% due 7/1/536 | 1,003,344 | |
2,500,000 | California Community Housing Agency, Revenue Bonds, Series A-2, 0.000% due 8/1/652,4 | 160,922 | |
1,000,000 | California Community Housing Agency, Revenue Bonds, Series B, 5.500% due 2/1/404 | 949,214 | |
250,000 | California Community Housing Agency, Verdant at Green Valley Project, Revenue Bonds, Series A, 5.000% due 8/1/494 | 242,851 | |
284,626 | California Housing Finance Agency, Revenue Bonds, Series A-1, 4.250% due 1/15/35 | 284,420 | |
334,008 | California Housing Finance Agency, Revenue Bonds, Series A-3, Class A, 3.250% due 8/20/36 | 309,545 | |
430,000 | California Infrastructure & Economic Development Bank, Brightline West Rail Project, Revenue Bonds, AMT, 7.750% due 1/1/503,4 | 430,477 | |
1,870,000 | California Infrastructure & Economic Development Bank, Cabs-Sub-WFCS- Portfolio Project, Revenue Bonds, Series B, 0.000% due 1/1/612,4 | 107,346 | |
California Municipal Finance Authority, Educational Revenue, Revenue Bonds, Refunding, Series A: | |||
360,000 | 5.000% due 6/1/36 | 370,384 | |
500,000 | 5.000% due 6/1/46 | 506,259 | |
300,000 | California Municipal Finance Authority, Higher Education Revenue, Revenue Bonds, Series A, 5.000% due 11/1/464 | 297,505 | |
750,000 | California Municipal Finance Authority, Student Housing Revenue Bonds, Series 2021, (BAM Insured), 3.000% due 5/15/51 | 596,171 | |
335,000 | California School Finance Authority, Rocketship Education Obligated Group, Revenue Bonds, Series A, 5.250% due 6/1/524 | 321,905 | |
250,000 | California Statewide Communities Development Authority, CHF Irvine LLC, Revenue Bonds, Refunding, 5.000% due 5/15/29 | 261,532 |
67 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
California — (Continued) | |||
$500,000 | California Statewide Communities Development Authority, Revenue Bonds, Series A, 5.250% due 12/1/564 | $500,879 | |
645,000 | California Statewide Communities Development Authority, Student Housing Revenue, Revenue Bonds, 4.305% due 7/1/32 | 599,245 | |
110,000 | Chino Valley Unified School District, CA, General Obligation Unlimited, Election of 2016, Series C, 0.000% due 8/1/352 | 70,162 | |
250,000 | City & County of San Francisco Community Facilities District No. 2016-1, CA, Special Tax, Revenue Bond, Series 2022-A, 4.000% due 9/1/424 | 233,399 | |
465,000 | CMFA Special Finance Agency XII, CA,Revenue Bonds, Series A-1, 3.250% due 2/1/574 | 330,585 | |
CSCDA Community Improvement Authority, CA, Revenue Bonds, Series A-2: | |||
500,000 | 3.250% due 7/1/564 | 358,589 | |
390,000 | 3.250% due 4/1/574 | 284,805 | |
500,000 | 3.125% due 6/1/574 | 355,813 | |
875,000 | 4.000% due 6/1/584 | 707,148 | |
100,000 | CSCDA Community Improvement Authority, CA, Revenue Bonds, Series B, 4.000% due 12/1/564 | 75,589 | |
Hastings Campus Housing Finance Authority, CA, Revenue Bonds, Series A: | |||
600,000 | 5.000% due 7/1/454 | 521,889 | |
500,000 | 5.000% due 7/1/614 | 410,609 | |
720,000 | Madera Unified School District, CA, General Obligation Unlimited, (NPFG Insured), 0.000% due 5/1/302 | 580,541 | |
250,000 | River Islands Public Financing Authority, CA, Special Tax, Series 1, 4.000% due 9/1/41 | 220,311 | |
500,000 | River Islands Public Financing Authority, CA, Special Tax, Series A, 5.000% due 9/1/48 | 502,263 | |
500,000 | River Islands Public Financing Authority, CA, Special Tax, Series B, 5.750% due 9/1/52 | 501,756 | |
1,000,000 | Riverside County Redevelopment Successor Agency, CA, Tax Allocation, Series B, 0.000% due 10/1/392 | 502,764 | |
200,000 | Seal Beach Community Facilities District No. 2005-1, CA, Special Tax, Refunding, 3.000% due 9/1/29 | 195,070 | |
12,793,292 | |||
Colorado — 8.2% | |||
500,000 | Amber Creek Metropolitan District, CO, General Obligation Limited, Refunding, Series A, 5.125% due 12/1/47 | 465,148 | |
500,000 | Arkansas River Power Authority, CO, Power Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/33 | 525,740 | |
500,000 | Banning Lewis Ranch Metropolitan District No. 8, CO, General Obligation Limited, Series A, 4.875% due 12/1/514 | 396,551 | |
500,000 | Base Village Metropolitan District No. 2, CO, General Obligation Limited, Refunding, Series A, 5.750% due 12/1/46 | 502,597 | |
206,000 | Bradburn Metropolitan District No. 2, CO, General Obligation Limited, Refunding, Series A, 4.000% due 12/1/28 | 197,896 | |
525,000 | Broadway Park North Metropolitan District No 2, CO, General Obligation Limited, 5.000% due 12/1/494 | 493,677 | |
740,000 | Buffalo Ridge Metropolitan District, CO, General Obligation Limited, Series B, 7.375% due 12/15/47 | 722,212 | |
500,000 | Clear Creek Station Metropolitan District No. 2, CO, General Obligation Limited, Refunding, Series A, 5.000% due 12/1/47 | 474,979 | |
Colorado Health Facilities Authority, Frasier Project, Revenue Bonds, Refunding, Series 2023-A: | |||
55,000 | 4.000% due 5/15/417 | 44,582 | |
215,000 | 4.000% due 5/15/487 | 161,466 | |
500,000 | Colorado Health Facilities Authority, Hospital Revenue, Christian Living Neighborhoods Project, Revenue Bonds, Refunding, 5.000% due 1/1/31 | 484,108 |
68 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Colorado — (Continued) | |||
$250,000 | Colorado Health Facilities Authority, Hospital Revenue, Parkview Medical Center Project, Revenue Bonds, Series A, 4.000% due 9/1/50 | $216,558 | |
Colorado Health Facilities Authority, Hospital Revenue, Revenue Bonds, Refunding: | |||
400,000 | 5.000% due 1/1/37 | 366,844 | |
35,000 | 4.000% due 1/1/42 | 26,654 | |
250,000 | Colorado Health Facilities Authority, Revenue Bonds, 5.000% due 1/1/38 | 227,180 | |
269,000 | Copper Ridge Metropolitan District, CO, Revenue Bonds, 4.000% due 12/1/29 | 249,599 | |
235,000 | Denver Urban Renewal Authority, CO, Tax Allocation, Series A, 5.250% due 12/1/394 | 238,562 | |
590,000 | DIATC Metropolitan District, CO, General Obligation Limited, 3.250% due 12/1/294 | 530,953 | |
470,000 | Dinosaur Ridge Metropolitan District, CO, Special Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/49 | 435,018 | |
798,000 | Gardens on Havana Metropolitan District No. 3, CO, Revenue Bonds, Series A, 4.625% due 12/1/27 | 792,672 | |
500,000 | Hunters Overlook Metropolitan District No. 5, CO, General Obligation Limited, Series A, 5.000% due 12/1/49 | 462,618 | |
500,000 | Independence Metropolitan District No 3, CO, General Obligation Limited, Series A, 6.250% due 12/1/49 | 463,794 | |
494,000 | Leyden Ranch Metropolitan District, CO, General Obligation Unlimited, Series A, 5.125% due 12/1/47 | 472,035 | |
750,000 | Longs Peak Metropolitan District, CO, General Obligation Limited, Series 2021, 5.250% due 12/1/514 | 647,806 | |
500,000 | Parkside at City Centre Business Improvement District, CO, Company Special Revenue, Revenue Bonds, Series A, 6.250% due 12/1/48 | 488,062 | |
200,000 | Rampart Range Metropolitan District No. 5, CO, Revenue Bonds, 4.000% due 12/1/51 | 142,482 | |
500,000 | Senac South Metropolitan District No 1, CO, General Obligation Limited, Series A-3, 5.250% due 12/1/51 | 437,571 | |
750,000 | Southglenn Metropolitan District, CO, Special Revenue, General Obligation Limited, Refunding, 5.000% due 12/1/30 | 752,394 | |
Southlands Metropolitan District No. 1, CO, General Obligation Unlimited, Series A-2: | |||
215,000 | 3.500% due 12/1/27 | 202,674 | |
325,000 | 5.000% due 12/1/47 | 310,356 | |
555,000 | STC Metropolitan District No 2, CO, General Obligation Limited, Refunding, Series A, 3.000% due 12/1/25 | 528,645 | |
520,000 | Thompson Crossing Metropolitan District No. 4, CO, General Obligation Limited, Refunding, 3.500% due 12/1/29 | 477,057 | |
Vauxmont Metropolitan District, CO, General Obligation Limited, Refunding, (AGMC Insured): | |||
250,000 | 5.000% due 12/1/32 | 283,650 | |
160,000 | 5.000% due 12/15/32 | 172,189 | |
500,000 | Waterfront at Foster Lake Metropolitan District No 2, CO, Revenue Bonds, Series 2022, 4.625% due 12/1/28 | 462,896 | |
500,000 | Westcreek Metropolitan District No 2, CO, General Obligation Limited, Series A, 5.375% due 12/1/48 | 482,400 | |
500,000 | Westerly Metropolitan District No. 4, CO, General Obligation Limited, Series A-1, 5.000% due 12/1/50 | 442,803 | |
14,782,428 | |||
Connecticut — 0.7% | |||
425,000 | Connecticut State Health & Educational Facilities Authority, Church Home of Hartford, Inc. Project, Revenue Bonds, Series A, 5.000% due 9/1/534 | 383,844 |
69 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Connecticut — (Continued) | |||
$165,000 | Connecticut State Health & Educational Facilities Authority, Revenue Bonds Refunding, Series G-1, 5.000% due 7/1/504 | $159,076 | |
125,000 | Connecticut State Health & Educational Facilities Authority, Revenue Bonds, Series E, 4.000% due 7/1/41 | 108,241 | |
125,000 | Harbor Point Infrastructure Improvement District, CT, Special Obligation Revenue, Tax Allocation, Harbor Point Project, Refunding, 5.000% due 4/1/304 | 127,152 | |
500,000 | Mohegan Tribe of Indians of Connecticut, Gaming Authority, Revenue Bonds, Series A, 5.500% due 8/1/264 | 505,330 | |
45,000 | Steel Point Infrastructure Improvement District, CT, Special Obligation Tax Allocation, Steelpointe Harbor Project, 4.000% due 4/1/514 | 35,495 | |
1,319,138 | |||
District Of Columbia — 1.2% | |||
3,415,000 | District of Columbia Tobacco Settlement Financing Corp., Revenue Bonds, Series A, 0.000% due 6/15/462 | 810,518 | |
1,000,000 | District of Columbia Tobacco Settlement Financing Corp., Revenue Bonds, Series C, 0.000% due 6/15/552 | 100,937 | |
500,000 | District of Columbia Tobacco Settlement Financing Corp., Revenue Bonds, Series D, 0.000% due 6/15/552 | 42,532 | |
225,000 | District of Columbia, KIPP Obligated Group, Revenue Bonds, Refunding, Series A, (MBIA Insured), 5.000% due 7/1/27 | 238,219 | |
2,000,000 | Metropolitan Washington Airports Authority Dulles Toll Road Revenue, DC, Revenue Bonds, Series B, (AGMC Insured), 0.000% due 10/1/402 | 966,975 | |
2,159,181 | |||
Florida — 4.8% | |||
105,000 | Alachua County Health Facilities Authourity, FL, Revenue Bonds, Series 2021, 4.000% due 10/1/40 | 89,247 | |
115,000 | Capital Trust Agency Inc, FL, Educational Facilities Revenue, Advantage Academy of Hillsborough Projects, Revenue Bonds, Series A, 4.000% due 12/15/24 | 115,291 | |
160,000 | Capital Trust Agency Inc, FL, Educational Facilities Revenue, Viera Charter School, Inc. Project, Revenue Bonds, Series A, 5.000% due 10/15/374 | 158,510 | |
290,000 | Capital Trust Agency Inc, FL, Revenue Bonds, Series A-1, 5.000% due 7/1/564 | 269,174 | |
6,500,000 | Capital Trust Agency Inc, FL, Revenue Bonds, Series B, 0.000% due 7/1/612,4 | 367,530 | |
250,000 | Capital Trust Agency Inc, FL, Viera Charter Schools Inc Project, Revenue Bonds, Series A, 5.000% due 10/15/494 | 235,252 | |
City of Atlantic Beach, FL, Healthcare Facilities, Fleet Landing Project, Revenue Bonds, Series A: | |||
505,000 | 5.000% due 11/15/33 | 513,585 | |
250,000 | 5.000% due 11/15/53 | 240,122 | |
500,000 | City of Pompano Beach, FL, John Knox Vlg Project, Revenue Bonds, Series 2021-A, 4.000% due 9/1/56 | 375,242 | |
250,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Revenue Bonds, Refunding, 6.000% due 8/15/574 | 239,147 | |
225,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/52 | 185,057 | |
145,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Revenue Bonds, Refunding, Series C, 5.000% due 9/15/504 | 119,647 |
70 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — (Continued) | |||
$100,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Revenue Bonds, Series 2022, 5.250% due 6/15/294 | $100,536 | |
865,000 | Florida Housing Finance Corp., Revenue Bonds, Series 2, (GNMA/ FNMA/ FHLMC Insured), 3.000% due 7/1/52 | 851,002 | |
300,000 | Lakewood Ranch Stewardship District, FL, Special Assessment Revenue, Lakewood National & Polo Run Project, 5.375% due 5/1/47 | 300,616 | |
285,000 | Lee County Industrial Development Authority, FL, Healthcare Facilities, Healthpark Florida Inc Project, Revenue Bonds, Series A, 5.250% due 10/1/57 | 250,578 | |
500,000 | Lee County Industrial Development Authority, FL, Shell Point/Waterside Health Project, Revenue Bonds, 5.000% due 11/15/39 | 505,698 | |
750,000 | Orange County Health Facilities Authority, FL, Revenue Bonds, 5.000% due 8/1/40 | 767,534 | |
55,000 | Palm Beach County Health Facilities Authority, FL, Lifespace Communities, Revenue Bonds, Refunding, Series C, 5.000% due 5/15/25 | 54,902 | |
Palm Beach County Health Facilities Authority, FL, Revenue Bonds, Series A: | |||
100,000 | 11.500% due 7/1/274 | 97,762 | |
145,000 | 5.000% due 6/1/55 | 132,259 | |
5,000 | Palm Beach County Health Facilities Authority, FL, Revenue Bonds, Series B, 5.000% due 11/15/42 | 5,006 | |
Sarasota County Health Facilities Authority, FL, Retirement Facilities Revenue, Village on the Isle Project, Revenue Bonds, Series A: | |||
550,000 | 5.000% due 1/1/37 | 519,387 | |
250,000 | 5.000% due 1/1/42 | 229,078 | |
210,000 | Sawyers Landing Community Development District, FL, Special Assessment, 4.250% due 5/1/53 | 171,353 | |
500,000 | Southeast Overtown Park West Community Redevelopment Agency, FL, Tax Allocation, Series A-1, 5.000% due 3/1/304 | 509,793 | |
135,000 | Town Center at Palm Coast Community Development District, FL, Special Assessment, 6.000% due 5/1/36 | 135,054 | |
Winter Garden Village at Fowler Groves Community Development District, FL, Special Assessment, Refunding: | |||
650,000 | 3.750% due 5/1/31 | 603,574 | |
500,000 | 4.125% due 5/1/37 | 465,566 | |
8,607,502 | |||
Georgia — 0.7% | |||
150,000 | Atlanta Urban Redevelopment Agency, GA, Revenue Bonds, Series 2021, 3.625% due 7/1/424 | 128,408 | |
125,000 | Development Authority of Monroe County, GA, Revenue Bonds, Series A, 1.500% due 1/1/393 | 119,239 | |
390,000 | Georgia Housing & Finance Authority, Revenue Bonds, Refunding, Series A, 4.000% due 6/1/50 | 396,109 | |
340,000 | Macon-Bibb County Urban Development Authority, GA, Revenue Bonds, Series A, 5.750% due 6/15/374 | 348,268 | |
200,000 | Municipal Electric Authority of Georgia, Plant Vogtle Units 3&4 Project, Revenue Bonds, Series A, 5.000% due 7/1/60 | 201,894 | |
1,193,918 | |||
Guam — 0.4% | |||
175,000 | Guam Department of Education, Certificate Participation, Refunding, Series A, 5.000% due 2/1/40 | 178,133 |
71 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Guam — (Continued) | |||
Territory of Guam, Revenue Bonds, Refunding, Series F: | |||
$105,000 | 4.000% due 1/1/36 | $103,752 | |
500,000 | 4.000% due 1/1/42 | 469,334 | |
751,219 | |||
Idaho — 1.0% | |||
Idaho Health Facilities Authority, Kootenai Health Project, Revenue Bonds, Series A: | |||
250,000 | 4.375% due 7/1/34 | 253,500 | |
500,000 | 4.750% due 7/1/44 | 504,607 | |
250,000 | Idaho Housing & Finance Association, Nonprofit Facilities Revenue, Compass Charter School Project, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/404 | 250,224 | |
735,000 | Idaho Housing & Finance Association, Nonprofit Facilities Revenue, Compass Charter School Project, Revenue Bonds, Series A, 6.000% due 7/1/394 | 784,148 | |
1,792,479 | |||
Illinois — 7.5% | |||
100,000 | Chicago Board of Education, IL, General Obligation Unlimited, Refunding, Series A, 7.000% due 12/1/44 | 106,604 | |
Chicago Board of Education, IL, General Obligation Unlimited, Series A, (NPFG Insured): | |||
150,000 | 0.000% due 12/1/232 | 145,911 | |
710,000 | 0.000% due 12/1/252 | 646,769 | |
170,000 | 5.500% due 12/1/26 | 177,454 | |
550,000 | 0.000% due 12/1/292 | 424,269 | |
1,205,000 | 0.000% due 12/1/312 | 847,756 | |
1,150,000 | Chicago Board of Education, IL, General Obligation Unlimited, Series B1, (NPFG Insured), 0.000% due 12/1/312 | 809,062 | |
500,000 | Chicago Board of Education, IL, General Obligation Unlimited, Series H, 5.000% due 12/1/46 | 501,454 | |
600,000 | City of Chicago, IL, General Obligation Unlimited, (NPFG Insured), 0.000% due 1/1/312 | 447,037 | |
City of Chicago, IL, General Obligation Unlimited, Refunding, Series C: | |||
250,000 | 0.000% due 1/1/272 | 217,450 | |
435,000 | 0.000% due 1/1/312 | 320,349 | |
305,000 | City of Chicago, IL, Wastewater Transmission Revenue, Revenue Bonds, Refunding, (NPFG Insured), 5.500% due 1/1/30 | 335,714 | |
145,000 | City of Chicago, IL, Waterworks Revenue, Revenue Bonds, Refunding, (AMBAC Insured), 5.750% due 11/1/30 | 159,280 | |
500,000 | Cook County Community College District No. 508, IL, General Obligation Unlimited, 5.250% due 12/1/43 | 501,884 | |
320,000 | Illinois Finance Authority, Charter School Revenue, Refunding and Improvement, Chicago International Charter School Project, Revenue Bonds, 5.000% due 12/1/47 | 322,216 | |
400,000 | Illinois Finance Authority, Christian Homes, Inc., Revenue Bonds, Refunding, 5.000% due 5/15/36 | 367,820 | |
Illinois Finance Authority, Student Housing Revenue, Northern Illinois University Project, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/35 | 231,002 | |
500,000 | 5.000% due 7/1/47 | 420,912 | |
355,000 | Illinois Housing Development Authority, Revenue Bonds, Refunding, Series C, 3.500% due 8/1/46 | 354,657 | |
270,000 | Illinois Housing Development Authority, Revenue Bonds, Series A, (FHLMC/ FNMA / GNMA Insured), 4.250% due 10/1/49 | 274,676 | |
285,000 | Illinois Housing Development Authority, Revenue Bonds, Series A, (GNMA/ FNMA/ FHLMC Insured), 3.000% due 4/1/51 | 280,854 | |
475,000 | Illinois Sports Facilities Authority, Revenue Bonds, Refunding, 5.000% due 6/15/24 | 482,515 |
72 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
$440,000 | Illinois Sports Facilities Authority, State Tax Supported, Capital Apprec, Revenue Bonds, (AMBAC Insured), 0.000% due 6/15/262 | $394,636 | |
250,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Refunding, (BAM,NPFG Insured), 0.000% due 6/15/282 | 209,430 | |
525,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Refunding, Series B-1, (AGMC Insured), 0.000% due 6/15/272 | 456,019 | |
Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Series A, (NPFG Insured): | |||
485,000 | 0.000% due 6/15/312 | 355,618 | |
1,000,000 | 0.000% due 6/15/362 | 562,726 | |
2,000,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax, Revenue Bonds, Series A, (AGMC, MBIA Insured), 0.000% due 12/15/292 | 1,581,505 | |
175,000 | Metropolitan Pier & Exposition Authority, IL, McCormick Place Expansion Project, Revenue Bonds, Refunding, Series A, 0.000% due 12/15/372 | 87,726 | |
500,000 | Metropolitan Pier & Exposition Authority, IL, McCormick Place Expansion Project, Revenue Bonds, Refunding, Series B, 5.000% due 12/15/40 | 507,438 | |
250,000 | United City of Yorkville, IL, Special Tax, Refunding, (AGMC Insured), 4.000% due 3/1/36 | 255,631 | |
250,000 | Village of Bolingbrook, IL, Special Service Area No 1, Special Tax, Refunding, 5.250% due 3/1/41 | 233,457 | |
500,000 | Volo Village Special Service Area No. 3 & 6, IL, Special Tax, Symphony Meadows/Lancaster Falls Project, Refunding, (AGMC Insured), 2.875% due 3/1/25 | 500,586 | |
13,520,417 | |||
Indiana — 2.2% | |||
100,000 | City of Fort Wayne, IN, Revenue Bonds, Revenue Bonds, 10.750% due 12/1/29 | 99,905 | |
740,000 | City of Fort Wayne, IN, Revenue Bonds, Revenue Bonds, AMT, 9.000% due 12/1/444 | 746,261 | |
Indiana Finance Authority, Greencroft Obligated Group, Revenue Bonds, Series A, Forward Refunding 11/15/23: | |||
345,000 | 5.750% due 11/15/28 | 351,626 | |
330,000 | 6.500% due 11/15/33 | 338,059 | |
250,000 | Indiana Finance Authority, Ohio Valley Electric Corp Project, Revenue Bonds, Series B, 3.000% due 11/1/30 | 224,581 | |
260,000 | Indiana Finance Authority, Pollution Control, Ohio Valley Electric Corp Project, Revenue Bonds, Series B, 2.500% due 11/1/30 | 225,165 | |
1,000,000 | Indiana Finance Authority, Revenue Bonds, Refunding, Series 2019, 7.000% due 3/1/394 | 768,892 | |
Indiana Finance Authority, Revenue Bonds, Refunding, Series A: | |||
250,000 | 1.400% due 8/1/29 | 223,788 | |
455,000 | 4.000% due 11/15/43 | 356,786 | |
Indiana Finance Authority, Revenue Bonds, Series A: | |||
600,000 | 5.000% due 11/15/38 | 597,363 | |
100,000 | 5.250% due 11/15/46 | 99,588 | |
4,032,014 | |||
Iowa — 0.4% | |||
730,000 | Iowa Finance Authority, Midwestern Disaster Area Revenue, Iowa Fertilizer Company Project, Revenue Bonds, Refunding, 5.000% due 12/1/50 | 733,329 |
73 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Kansas — 0.3% | |||
City of Overland Park, KS, Sales Tax Revenue, Bluhawk Star Bond Project, Revenue Bonds: | |||
$100,000 | 6.000% due 11/15/344 | $104,086 | |
200,000 | 6.500% due 11/15/424 | 206,501 | |
150,000 | Wyandotte County-Kansas City Unified Government, KS, Revenue Bonds, Refunding, 5.000% due 12/1/34 | 142,652 | |
30,000 | Wyandotte County-Kansas City Unified Government, KS, Wyandotte Plaza Project, Revenue Bonds, Refunding, 4.000% due 12/1/28 | 28,083 | |
481,322 | |||
Kentucky — 1.2% | |||
305,000 | City of Ashland, KY, Medical Center Revenue, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/32 | 308,907 | |
350,000 | City of Ashland, KY, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/36 | 345,337 | |
Kentucky Economic Development Finance Authority, Healthcare Revenue, Revenue Bonds, Series B, (NPFG Insured): | |||
500,000 | 0.000% due 10/1/262 | 445,251 | |
500,000 | 0.000% due 10/1/272 | 430,665 | |
250,000 | Kentucky Economic Development Finance Authority, Healthcare Revenue, Rosedale Green Project, Revenue Bonds, Refunding, 5.750% due 11/15/45 | 223,489 | |
95,000 | Kentucky Public Transportation Infrastructure Authority, Revenue Bonds, Series B, (AGMC Insured), 4.000% due 7/1/53 | 89,315 | |
250,000 | Louisville & Jefferson County Metropolitan Government, KY, Healthcare System, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/31 | 266,604 | |
2,109,568 | |||
Louisiana — 1.4% | |||
250,000 | Calcasieu Parish Memorial Hospital Service District, LA, Hospital Revenue, Lake Charles Memorial Hospital Project, Revenue Bonds, Refunding, 5.000% due 12/1/34 | 254,509 | |
860,000 | Juban Crossing Economic Development District, LA, Gen Infrastructure Project, Revenue Bonds, Refunding, Series C, 7.000% due 9/15/444 | 805,539 | |
1,250,000 | Louisiana Local Government Environmental Facility & Community Development Authority, Entergy Louisiana LLC Project, Revenue Bonds, Series B, 2.500% due 4/1/36 | 1,048,238 | |
500,000 | Louisiana Public Facilities Authority, Revenue Bonds, Louisiana State University Greenhouse District Phase II Project, Series A, 5.000% due 7/1/59 | 516,043 | |
2,624,329 | |||
Maryland — 2.5% | |||
1,125,000 | City of Baltimore, MD, Special Obligation, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/38 | 1,139,591 | |
250,000 | City of Brunswick, MD, Special Obligation, Special Tax, Refunding, 5.000% due 7/1/36 | 254,866 | |
250,000 | County of Howard, MD, Special Obligation, Tax Allocation, Downtown Columbia Project, Series A, 4.125% due 2/15/344 | 236,695 | |
500,000 | County of Prince George’s, MD, Special Obligation, PGC Hampton Park Project, Revenue Bonds, Series A, 4.375% due 7/1/484 | 442,807 | |
235,000 | Maryland Community Development Administration, Department Housing & Community Development, Revenue Bonds, Refunding, Series A, 4.500% due 9/1/48 | 241,041 |
74 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Maryland — (Continued) | |||
$690,000 | Maryland Community Development Administration, Revenue Bonds, Refunding, Series A, 3.000% due 9/1/51 | $680,349 | |
285,000 | Maryland Community Development Administration, Revenue Bonds, Refunding, Series C, 3.000% due 9/1/51 | 279,914 | |
500,000 | Maryland Economic Development Corp., Morgan State University Project, Revenue Bonds, 5.000% due 7/1/56 | 512,424 | |
90,000 | Maryland Economic Development Corp., Special Obligation, Metro Centre Owings Mills Project, Tax Allocation, 3.750% due 7/1/27 | 87,865 | |
250,000 | Maryland Economic Development Corp., Special Obligation, Tax Allocation, Metro Centre Owings Mills Project, 4.500% due 7/1/44 | 233,690 | |
500,000 | Prince George’s County Revenue Authority, MD, Tax Allocation, Suitland-Naylor Road Project, 5.000% due 7/1/464 | 504,135 | |
4,613,377 | |||
Massachusetts — 0.1% | |||
100,000 | Massachusetts Development Finance Agency, Revenue Bonds, Refunding, 5.125% due 1/1/40 | 93,806 | |
Michigan — 1.2% | |||
250,000 | City of Detroit, MI, General Obligation Unlimited, 5.000% due 4/1/34 | 260,632 | |
125,000 | City of Detroit, MI, General Obligation Unlimited, Series A, 5.000% due 4/1/46 | 123,834 | |
250,000 | Flint Hospital Building Authority, MI, Revenue Bonds, Refunding, Series A, 4.000% due 7/1/38 | 232,468 | |
280,000 | Flint Hospital Building Authority, MI, Revenue Bonds, Series A, 5.250% due 7/1/39 | 280,821 | |
Grand Rapids Economic Development Corp., MI, Beacon Hill Eastgate Project, Revenue Bonds, Refunding, Series A: | |||
600,000 | 5.000% due 11/1/37 | 543,401 | |
250,000 | 5.000% due 11/1/55 | 202,526 | |
325,000 | Michigan Finance Authority, Revenue Bonds, Refunding, Series B-2, Class 2, 0.000% due 6/1/652 | 33,786 | |
520,000 | Michigan State Housing Development Authority, Safe Mortgage Revenue, Revenue Bonds, Series A, 2.700% due 10/1/56 | 346,381 | |
3,500,000 | Michigan Tobacco Settlement Finance Authority, Revenue Bonds, Series C, 0.000% due 6/1/582 | 145,952 | |
2,169,801 | |||
Minnesota — 0.1% | |||
169,190 | Minnesota Housing Finance Agency, Non AMT Non ACE SF Mortgage, Revenue Bonds, Series I, (GNMA/ FNMA/ FHLMC Insured), 2.800% due 12/1/47 | 161,926 | |
Mississippi — 0.3% | |||
Mississippi Business Finance Corp., Revenue Bonds: | |||
220,000 | 2.375% due 6/1/44 | 153,910 | |
350,000 | 7.750% due 7/15/473 | 353,789 | |
507,699 | |||
Missouri — 1.8% | |||
380,000 | Cape Girardeau County Industrial Development Authority, MO, Southeast Health, Revenue Bonds, Refunding, Series A, 6.000% due 3/1/33 | 392,372 | |
100,000 | Health & Educational Facilities Authority of the State of Missouri, Lutheran Senior Services, Revenue Bonds, 5.000% due 2/1/25 | 100,628 |
75 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Missouri — (Continued) | |||
$250,000 | Health & Educational Facilities Authority of the State of Missouri, Lutheran Senior SVC Project, Revenue Bonds, Series A, 5.000% due 2/1/42 | $242,835 | |
Health & Educational Facilities Authority of the State of Missouri, Revenue Bonds: | |||
1,000,000 | 5.000% due 2/1/26 | 1,005,790 | |
250,000 | 5.000% due 8/1/45 | 241,485 | |
100,000 | Health & Educational Facilities Authority of the State of Missouri, Revenue Bonds, Series A, 5.000% due 2/1/28 | 101,527 | |
400,000 | Maryland Heights Industrial Development Authority, MO, State Louis Community ICE Center Project, Revenue Bonds, Series A, 4.375% due 3/15/30 | 369,898 | |
60,000 | Plaza at Noah’s Ark Community Improvement District, MO, Refunding, Revenue Bonds, 3.000% due 5/1/26 | 57,429 | |
355,000 | St. Louis County Industrial Development Authority, MO, Senior Living Facilities, Revenue Bonds, Refunding, 5.000% due 9/1/32 | 358,747 | |
500,000 | St. Louis County Industrial Development Authority, MO, Senior Living Facilities, Revenue Bonds, Series A, 5.250% due 9/1/53 | 461,483 | |
3,332,194 | |||
Nebraska — 0.1% | |||
120,000 | Nebraska Investment Finance Authority, Safe Housing Revenue, Revenue Bonds, Series C, 4.000% due 9/1/48 | 121,179 | |
Nevada — 1.3% | |||
100,000 | City of Las Vegas, NV, Sales Tax Increment Revenue, Revenue Bonds, 3.500% due 6/15/254 | 96,743 | |
225,000 | City of Las Vegas, NV, Special Improvement District No. 816, Sales Tax Increment, Special Assessment, 2.750% due 6/1/31 | 190,015 | |
380,000 | City of North Las Vegas, NV, Local Improvement, Special Assessment, 4.625% due 6/1/49 | 354,502 | |
1,000,000 | City of Sparks, NV, Tourism improvement district, Revenue Bonds, Series A, 2.750% due 6/15/284 | 908,592 | |
State of Nevada Department of Business & Industry, Revenue Bonds, Series A: | |||
335,000 | 5.000% due 7/15/274 | 340,007 | |
500,000 | 5.000% due 12/15/484 | 480,340 | |
2,370,199 | |||
New Jersey — 3.8% | |||
345,000 | New Jersey Economic Development Authority, Foundation Academy Charter School Project, Revenue Bonds, Series A, 5.000% due 7/1/38 | 352,724 | |
500,000 | New Jersey Economic Development Authority, Revenue Bonds, Refunding, Series I, (State Appropriations), (SIFMA MUNI SWAP INDEX*1.00+1.60%), 3.260% due 3/1/286 | 500,040 | |
635,000 | New Jersey Housing & Mortgage Finance Agency, Revenue Bonds, Refunding, Series C, 4.750% due 10/1/50 | 654,317 | |
New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series A: | |||
1,000,000 | 0.000% due 12/15/352 | 596,013 | |
1,300,000 | 0.000% due 12/15/392 | 616,873 | |
185,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series C, (AGMC Insured), 0.000% due 12/15/322 | 131,729 | |
550,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series C, (AMBAC Insured), 0.000% due 12/15/352 | 329,881 | |
1,000,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series C, (NPFG Insured), 0.000% due 12/15/312 | 739,416 | |
1,000,000 | Tobacco Settlement Financing Corp., NJ, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/29 | 1,080,841 |
76 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New Jersey — (Continued) | |||
$1,880,000 | Tobacco Settlement Financing Corp., NJ, Revenue Bonds, Refunding, Series B, 5.000% due 6/1/46 | $1,898,230 | |
6,900,064 | |||
New Mexico — 0.5% | |||
275,000 | City of Santa Fe, NM, Retirement Facility Revenue, EL Castillo Retirement Project, Revenue Bonds, Series A, 5.000% due 5/15/34 | 263,752 | |
250,000 | New Mexico Hospital Equipment Loan Council, Revenue Bonds, LA Vida Llena Expansion Project, Series A, 5.000% due 7/1/49 | 208,422 | |
400,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, Series A-1, Class I, (GNMA/ FNMA/ FHLMC Insured), 4.250% due 1/1/50 | 407,585 | |
879,759 | |||
New York — 2.6% | |||
435,000 | Brookhaven Local Development Corp., NY, Jefferson’s Ferry Project, Revenue Bonds, Series A, 4.000% due 11/1/55 | 355,033 | |
1,000,000 | Build NYC Resource Corp, NY, Revenue Bonds, 5.250% due 7/1/57 | 1,045,334 | |
100,000 | Build NYC Resource Corp, NY, Revenue Bonds, Series A, 4.000% due 6/15/51 | 78,334 | |
150,000 | County of Sullivan, NY, Special Assessment, Adelaar Infrastructure Project, Special Assessment, Series E-1, 4.850% due 11/1/314 | 143,129 | |
500,000 | County of Sullivan, NY, Special Assessment, Adelaar Infrastructure Project, Special Assessment, Series E-2, 5.350% due 11/1/494 | 460,227 | |
500,000 | Glen Cove Local Economic Assistance Corp., NY, Revenue Bonds, Series C, 0.000% due 1/1/552 | 436,263 | |
250,000 | Huntington Local Development Corp., NY, Fountaingate Garden Project, Revenue Bonds, Series A, 5.250% due 7/1/56 | 197,466 | |
250,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series C-1, 4.750% due 11/15/45 | 249,327 | |
500,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series C-2, 0.000% due 11/15/322 | 345,346 | |
395,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series D-2-B, (AGMC Insured), (SOFR*0.67+0.55%), 3.431% due 11/1/326 | 396,437 | |
115,000 | Monroe County Industrial Development Corp, NY, St. Ann’s Community Project, Revenue Bonds, 5.000% due 1/1/50 | 94,708 | |
150,000 | Monroe County Industrial Development Corp, NY, St. Ann’s Community Project, Revenue Bonds, Refunding, 5.000% due 1/1/40 | 132,588 | |
500,000 | New York City Industrial Development Agency, NY, Revenue Bonds, Refunding, (AGMC Insured), 3.000% due 1/1/46 | 394,016 | |
230,000 | Niagara Area Development Corp., NY, Catholic Health System Inc Project, Revenue Bonds, 5.000% due 7/1/52 | 177,859 | |
245,000 | State of New York Mortgage Agency, Homeowner Mortgage, Revenue Bonds, Refunding, Series 195, 4.000% due 10/1/46 | 246,156 | |
4,752,223 | |||
North Carolina — 0.8% | |||
895,000 | North Carolina Housing Finance Agency, Revenue Bonds, Series 46-A, (GNMA/ FNMA/ FHLMC Insured), 3.000% due 7/1/51 | 881,231 | |
500,000 | North Carolina Medical Care Commission, Retirement Facilities Revenue, 1st Mortgage-Carolina Vlg Project, Revenue Bonds, Series B, 5.000% due 4/1/47 | 440,649 |
77 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
North Carolina — (Continued) | |||
$215,000 | North Carolina Medical Care Commission, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/34 | $213,882 | |
1,535,762 | |||
North Dakota — 0.4% | |||
500,000 | County of Ward, ND, Healthcare Facilities Revenue, Revenue Bonds, Series C, 5.000% due 6/1/43 | 480,621 | |
185,000 | North Dakota Housing Finance Agency, Revenue Bonds, Series A, 3.000% due 1/1/52 | 182,204 | |
662,825 | |||
Ohio — 1.8% | |||
600,000 | City of Centerville, OH, Healthcare Revenue, Revenue Bonds, Refunding, 5.250% due 11/1/50 | 544,736 | |
95,000 | Cleveland-Cuyahoga County Port Authority, OH, Tax Allocation, Sub-Flats East Bank Project, Refunding, Series B, 4.500% due 12/1/554 | 82,528 | |
345,000 | County of Franklin, OH, Revenue Bonds, Refunding, 5.250% due 11/15/55 | 308,954 | |
700,000 | County of Washington, OH, Hospital Revenue, Revenue Bonds, Refunding, 6.750% due 12/1/52 | 710,899 | |
475,000 | Ohio Higher Educational Facility Commission, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/50 | 445,171 | |
State of Ohio, Revenue Bonds, Refunding: | |||
250,000 | 5.000% due 12/1/284 | 253,383 | |
420,000 | 5.000% due 12/1/334 | 423,888 | |
250,000 | 5.000% due 12/1/384 | 241,069 | |
300,000 | 5.000% due 12/1/484 | 274,254 | |
3,284,882 | |||
Oklahoma — 0.9% | |||
635,000 | Norman Regional Hospital Authority, OK, Revenue Bonds, Refunding, 4.000% due 9/1/37 | 596,756 | |
Oklahoma Development Finance Authority, Health Project, Revenue Bonds, Series A: | |||
1,000,000 | 5.500% due 8/15/44 | 985,064 | |
375,000 | 5.000% due 8/1/525 | 375 | |
1,582,195 | |||
Oregon — 0.8% | |||
125,000 | Clackamas County Hospital Facility Authority, OR, Oregon Senior Living, Rose Villa Project, Revenue Bonds, Refunding, Series A, 5.125% due 11/15/40 | 119,714 | |
250,000 | Hospital Facilities Authority of Multnomah Country Oregon, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/56 | 174,649 | |
395,000 | Polk County Hospital Facility Authority, OR, Dollas Retirement Vlg Project, Revenue Bonds, Series A, 5.125% due 7/1/55 | 332,596 | |
1,000,000 | Salem Hospital Facility Authority, OR, Oregon Revenue, Capital Manor Project, Revenue Bonds, Refunding, 4.000% due 5/15/40 | 840,893 | |
1,467,852 | |||
Pennsylvania — 4.6% | |||
Berks County Industrial Development Authority, PA, Tower Health Project, Revenue Bonds, Refunding: | |||
1,000,000 | 5.000% due 11/1/47 | 691,647 | |
250,000 | 4.000% due 11/1/47 | 145,784 | |
325,000 | Berks County Municipal Authority, PA, Tower Health Project, Revenue Bonds, Refunding, Series A, 5.000% due 2/1/28 | 288,447 |
78 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
$150,000 | Berks County Municipal Authority, PA, Tower Health Project, Revenue Bonds, Series B-3, 5.000% due 2/1/403 | $126,323 | |
270,000 | Bucks Country Industrial Development Authority, PA, Grand view Hospital Project, Revenue Bonds, 4.000% due 7/1/46 | 218,910 | |
125,000 | Chester County Industrial Development Authority, PA, Revenue Bonds, Avon Grove Chart School Project, Refunding, Series A, 5.000% due 12/15/51 | 126,374 | |
Crawford County Hospital Authority, PA, Revenue Bonds, Refunding, Series A: | |||
400,000 | 6.000% due 6/1/36 | 418,294 | |
250,000 | 6.000% due 6/1/46 | 257,112 | |
500,000 | Cumberland County Municipal Authority, PA, Revenue Bonds, Refunding, 5.000% due 1/1/29 | 498,966 | |
250,000 | Delaware Valley Regional Finance Authority, PA, Revenue Bonds, Series C, (3M. USD LIBOR*0.67+0.75%), 3.940% due 6/1/376 | 216,943 | |
200,000 | Franklin County Industrial Development Authority, PA, Menno-Haven, Inc. Project, Revenue Bonds, Refunding, 5.000% due 12/1/43 | 171,082 | |
445,000 | Montgomery County Higher Education and Health Authority, PA, Revenue Bonds, Refunding, 5.000% due 12/1/47 | 436,285 | |
Montgomery County Industrial Development Authority, PA, Revenue Bonds, Refunding: | |||
500,000 | 5.000% due 11/15/36 | 506,323 | |
100,000 | 5.000% due 12/1/46 | 100,115 | |
250,000 | Montgomery County Industrial Development Authority, PA, Waverly Heights, Limited. Project, Revenue Bonds, Refunding, 5.000% due 12/1/44 | 259,053 | |
Pennsylvania Economic Development Financing Authority, PA, Penndot Major Bridges Project, Revenue Bonds, AMT: | |||
1,000,000 | 5.250% due 6/30/53 | 1,049,616 | |
1,000,000 | 6.000% due 6/30/61 | 1,108,727 | |
800,000 | Pennsylvania Economic Development Financing Authority, PA, Iron Cumberland LLC Project, Revenue Bonds, Series 2022, 7.000% due 12/1/29 | 786,317 | |
Philadelphia Authority for Industrial Development, PA, Revenue Bonds, Refunding: | |||
100,000 | 5.000% due 8/1/30 | 105,103 | |
115,000 | 5.000% due 6/15/404 | 115,314 | |
425,000 | 5.000% due 8/1/40 | 436,848 | |
150,000 | Redevelopment Authority of The County of Washington, PA, Tax Allocation, Refunding, 5.000% due 7/1/28 | 150,725 | |
100,000 | Westmoreland County Industrial Development Authority, PA, Excela Health Project, Revenue Bonds, Refunding, Series A, 4.000% due 7/1/25 | 101,529 | |
8,315,837 | |||
Puerto Rico — 8.4% | |||
Commonwealth of Puerto Rico, General Obligation Unlimited, Restructured, Series A-1: | |||
54,010 | 5.250% due 7/1/23 | 54,267 | |
32,339 | 0.000% due 7/1/242 | 30,287 | |
107,721 | 5.375% due 7/1/25 | 110,196 | |
106,745 | 5.625% due 7/1/27 | 111,804 | |
105,012 | 5.625% due 7/1/29 | 111,646 | |
101,998 | 5.750% due 7/1/31 | 110,619 | |
96,721 | 4.000% due 7/1/33 | 90,434 | |
124,470 | 0.000% due 7/1/332 | 72,086 | |
86,939 | 4.000% due 7/1/35 | 78,967 | |
74,617 | 4.000% due 7/1/37 | 66,028 | |
Commonwealth of Puerto Rico, Notes: | |||
1,566,146 | 0.000% due 11/1/432,3 | 691,062 | |
1,052,170 | 5.069% due 11/1/513 | 462,955 |
79 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Puerto Rico — (Continued) | |||
Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Refunding, Series A: | |||
$1,500,000 | 5.000% due 7/1/354 | $1,526,021 | |
250,000 | 5.000% due 7/1/374 | 254,120 | |
1,500,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Series B, 5.000% due 7/1/33 | 1,539,095 | |
610,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series DDD, (AGMC Insured), 3.625% due 7/1/23 | 607,104 | |
75,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series SS, (AGMC Insured), 5.000% due 7/1/30 | 75,539 | |
900,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series UU, (AGMC Insured), (3M. USD LIBOR*0.67+0.52%), 3.705% due 7/1/296 | 814,578 | |
Puerto Rico Electric Power Authority, Revenue Bonds, Series A: | |||
85,000 | 5.000% due 7/1/295 | 59,288 | |
500,000 | 7.000% due 7/1/405 | 358,750 | |
300,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series NN, (NPFG Insured), 4.750% due 7/1/33 | 300,295 | |
510,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series RR, (AGC Insured), 5.000% due 7/1/28 | 513,667 | |
25,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series TT, (AGMC Insured), 5.000% due 7/1/27 | 25,180 | |
1,000,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series XX, 5.250% due 7/1/405 | 700,000 | |
1,001,941 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, Series A, 5.000% due 7/1/62 | 964,368 | |
947,256 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, Series B, 0.000% due 7/1/322 | 595,587 | |
46,623 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, Series C, 0.000% due 7/1/532 | 27,041 | |
400,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Hospital Auxilio Mutuo Obligation Project, Revenue Bonds, Refunding, 4.000% due 7/1/40 | 369,514 | |
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 | 430,906 | |
250,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, International American University Project, Revenue Bonds, Refunding, 5.000% due 10/1/31 | 250,478 | |
209,663 | Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Revenue Bonds, Series A, Class 2047, 0.000% due 8/1/472 | 57,576 | |
323,124 | Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Revenue Bonds, Series A, Class 2054, 0.000% due 8/1/542 | 67,138 | |
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Revenue Bonds, Series A-1: | |||
5,000 | 0.000% due 7/1/242 | 4,706 | |
14,000 | 0.000% due 7/1/292 | 10,475 | |
18,000 | 0.000% due 7/1/312 | 12,123 | |
3,188,000 | 0.000% due 7/1/462 | 875,447 | |
11,743,000 | 0.000% due 7/1/512 | 2,439,842 | |
185,000 | University of Puerto Rico, Revenue Bonds, Refunding, Series P, (NPFG Insured), 5.000% due 6/1/25 | 185,221 | |
University of Puerto Rico, Revenue Bonds, Series Q: | |||
100,000 | 5.000% due 6/1/25 | 98,705 | |
150,000 | 5.000% due 6/1/36 | 143,927 | |
15,297,042 |
80 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Rhode Island — 0.2% | |||
$310,000 | Rhode Island Housing and Mortgage Finance Corp., Revenue Bonds, Series 69-B, (GNMA/ FNMA/ FHLMC Insured), 4.000% due 10/1/48 | $313,583 | |
South Carolina — 2.1% | |||
2,760,004 | Connector 2000 Association, Inc., SC, Revenue Bonds, Series A-1, 0.000% due 1/1/422 | 742,999 | |
449,951 | Connector 2000 Association, Inc., SC, Toll Road Revenue, Revenue Bonds, Series A-1, 0.000% due 1/1/322 | 251,195 | |
380,000 | South Carolina Jobs-Economic Development Authority, Economic Development Revenue, Revenue Bonds, 0.000% due 6/1/522 | 272,523 | |
105,000 | South Carolina Jobs-Economic Development Authority, Green Charter Schools Project, Revenue Bonds, Refunding, Series A, 4.000% due 6/1/564 | 75,679 | |
South Carolina Jobs-Economic Development Authority, Health Facilities Revenue, Revenue Bonds, Refunding: | |||
410,000 | 5.000% due 10/1/364 | 395,415 | |
1,090,000 | 5.000% due 10/1/414 | 1,018,380 | |
300,000 | South Carolina Jobs-Economic Development Authority, Solid Waste Disposal Revenue, Revenue Bonds, 6.250% due 6/1/404 | 230,597 | |
200,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/33 | 209,828 | |
500,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series B, 5.000% due 12/1/37 | 518,540 | |
155,000 | South Carolina State Housing Finance & Development Authority, Revenue Bonds, Series A, (GNMA/ FNMA/ FHLMC/ FHA Insured), 4.000% due 7/1/36 | 156,189 | |
3,871,345 | |||
Tennessee — 0.7% | |||
1,000,000 | Bristol Industrial Development Board, TN, Revenue Bonds, Series B, 0.000% due 12/1/312,4 | 619,127 | |
Knox County Industrial Development Board, TN, Revenue Bonds, AMT, Refunding: | |||
200,000 | 9.250% due 11/1/42 | 202,568 | |
265,000 | 9.500% due 11/1/52 | 268,358 | |
40,000 | Metropolitan Government Nashville & Davidson Country Industrial Development Board, TN, Special Assessment, Series 2021-A, 4.000% due 6/1/514 | 32,472 | |
300,000 | Metropolitan Government Nashville & Davidson Country Industrial Development Board, TN, Special Assessment, Series 2021-B, 0.000% due 6/1/432,4 | 97,604 | |
1,220,129 | |||
Texas — 5.9% | |||
645,000 | Arlington Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/51 | 652,948 | |
500,000 | Arlington Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds, Series 2021, 4.500% due 6/15/563,4 | 484,036 | |
Arlington Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds, Series 2022: | |||
100,000 | 6.250% due 6/1/52 | 100,903 | |
200,000 | 6.375% due 6/1/624 | 200,744 | |
240,000 | Arlington Higher Education Finance Corp., TX, Revenue Bonds, Refunding, Uplift Education, Series A, 2.750% due 12/1/26 | 234,035 | |
650,000 | Brazoria County Industrial Development Corp., TX, Revenue Bonds, Series 2022, 10.000% due 6/1/423,4 | 639,613 |
81 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Texas — (Continued) | |||
City of Dallas Housing Finance Corp., TX, Revenue Bonds, Series A: | |||
$425,000 | 6.000% due 12/1/62 | $446,318 | |
245,000 | 6.000% due 12/1/624 | 247,376 | |
City of Dallas Housing Finance Corp., TX, Revenue Bonds, Series B: | |||
100,000 | 6.250% due 12/1/544 | 94,976 | |
3,640,000 | 0.000% due 12/1/622,4 | 259,759 | |
500,000 | City of Plano, TX, Special Assessment, 4.000% due 9/15/514 | 406,674 | |
360,000 | Fort Bend County Industrial Development Corp., TX, NRG Energy, Inc., Revenue Bonds, Series A, 4.750% due 5/1/38 | 359,985 | |
1,510,000 | Harris County Cultural Education Facilities Finance Corp., TX, Brazos Presbyterian Homes Project, Revenue Bonds, Refunding, 5.000% due 1/1/48 | 1,305,478 | |
150,000 | Harris County Cultural Education Facilities Finance Corp., TX, Revenue Bonds, Series A, 5.000% due 1/1/43 | 133,654 | |
500,000 | Matagorda County Navigation District No. 1, TX, Revenue Bonds, Refunding, Series A, (AMBAC Insured), 4.400% due 5/1/30 | 528,217 | |
215,000 | New Hope Cultural Education Facilities Finance Corp., TX, Blinn College Project, Revenue Bonds, Series A, 5.000% due 7/1/40 | 199,180 | |
375,000 | New Hope Cultural Education Facilities Finance Corp., TX, Retirement Facilities Revenue, Morningside Ministries Project, Revenue Bonds, Series A, 5.000% due 1/1/35 | 352,813 | |
250,000 | New Hope Cultural Education Facilities Finance Corp., TX, Revenue Bonds, Refunding, 4.000% due 8/15/514 | 193,337 | |
500,000 | New Hope Cultural Education Facilities Finance Corp., TX, The Outlook At Windhaven Project, Revenue Bonds, Series A, 6.875% due 10/1/57 | 500,460 | |
250,000 | New Hope Cultural Education Facilities Finance Corp., TX, Wesleyan Homes Inc Project, Revenue Bonds, 5.500% due 1/1/49 | 213,571 | |
400,000 | New Hope Cultural Education Facilities Finance Corp., TX, Wesleyan Homes Inc Project, Revenue Bonds, Refunding, 5.000% due 1/1/55 | 302,821 | |
Tarrant County Cultural Education Facilities Finance Corp., TX, Retirement Facilities, Air Force Villages Project, Revenue Bonds, Refunding: | |||
70,000 | 4.000% due 5/15/31 | 64,133 | |
625,000 | 5.000% due 5/15/45 | 550,068 | |
140,000 | Tarrant County Cultural Education Facilities Finance Corp., TX, Retirement Facilities, Air Force Villages Project, Revenue Bonds, Refunding, Series A, 5.750% due 12/1/545 | 91,000 | |
250,000 | Tarrant County Cultural Education Facilities Finance Corp., TX, Retirement Facilities, Air Force Villiages Project, Revenue Bonds, Refunding, 4.000% due 5/15/27 | 239,888 | |
150,000 | Tarrant County Cultural Education Facilities Finance Corp., TX, Retirement Facilities, Revenue Bonds, Refunding, 5.000% due 11/15/35 | 149,149 | |
125,000 | Texas Department of Housing and Community Affairs, Revenue Bonds, Series A, (GNMA Insured), 4.750% due 3/1/49 | 127,987 | |
875,000 | Texas Municipal Gas Acquisition and Supply Corp. II, Revenue Bonds, Series C, (3M. USD LIBOR*0.66+0.69%), 3.838% due 9/15/276 | 866,596 | |
700,000 | Town of Little Elm, TX, Special Assessment, Series A, 5.375% due 9/1/514 | 688,421 | |
10,634,140 | |||
Utah — 0.1% | |||
250,000 | Mida Mountain Village Public Infrastructure District, UT, Special Assessment, Series A, 5.000% due 8/1/504 | 227,498 |
82 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Vermont — 0.4% | |||
$260,000 | Vermont Economic Development Authority, Revenue Bonds, Refunding, Series A, 4.000% due 5/1/37 | $215,023 | |
500,000 | Vermont Economic Development Authority, Revenue Bonds, Series A -1, 5.000% due 6/1/523,4 | 502,361 | |
717,384 | |||
Virginia — 4.3% | |||
165,000 | Albemarle County Economic Development Authority, VA, Revenue Bonds, Refunding, Series 2022-A, 4.000% due 6/1/42 | 146,384 | |
750,000 | Farmville Industrial Development Authority, VA, Longwood University Student Project, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/38 | 763,795 | |
Hanover County Economic Development Authority, VA, Care Facilities Revenue, Covenant Woods, Revenue Bonds, Refunding: | |||
255,000 | 4.000% due 7/1/304 | 233,708 | |
500,000 | 5.000% due 7/1/38 | 498,914 | |
295,000 | Henrico County Economic Development Authority, VA, Health Care Facilities Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 12/1/37 | 296,992 | |
500,000 | Henrico County Economic Development Authority, VA, Residencial Care Facility Revenue, Revenue Bonds, Series A, 5.000% due 6/1/39 | 481,591 | |
600,000 | Henrico County Economic Development Authority, VA, Residencial Care Facility Revenue, Revenue Bonds, Series C, 5.000% due 12/1/47 | 586,604 | |
James City County Economic Development Authority, VA, Revenue Bonds, Series A: | |||
500,000 | 4.000% due 12/1/40 | 413,438 | |
140,000 | 4.000% due 6/1/41 | 110,835 | |
500,000 | Newport News Industrial Development Authority, VA, Health System Revenue, Revenue Bonds, Series A, 5.000% due 7/1/464 | 508,719 | |
1,000,000 | Newport News Industrial Development Authority, VA, System Revenue, Revenue Bonds, 5.330% due 7/1/454 | 1,018,085 | |
500,000 | Virginia Small Business Financing Authority, Residential Care Facility Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 6/1/42 | 500,269 | |
760,000 | Virginia Small Business Financing Authority, Revenue Bonds, 8.500% due 6/1/424 | 723,323 | |
655,000 | Virginia Small Business Financing Authority, Revenue Bonds, (SOFR*0.70+5.50%), 7.677% due 6/1/294,6 | 637,423 | |
50,000 | Virginia Small Business Financing Authority, Revenue Bonds, Refunding, 4.000% due 12/1/51 | 40,134 | |
Virginia Small Business Financing Authority, Revenue Bonds, Refunding, Series A: | |||
500,000 | 5.000% due 1/1/32 | 546,881 | |
250,000 | 4.000% due 1/1/45 | 230,109 | |
7,737,204 | |||
Washington — 2.2% | |||
235,000 | Kalispel Tribe of Indians, WA, Priority District, Revenue Bonds, Series B, 5.250% due 1/1/384 | 245,289 | |
1,125,000 | Washington Health Care Facilities Authority, Revenue Bonds, 5.000% due 12/1/36 | 1,149,356 | |
200,000 | Washington Health Care Facilities Authority, Revenue Bonds, Refunding, Series A-2, 5.000% due 8/1/30 | 221,938 | |
Washington State Convention Center Public Facilities District, Revenue Bonds, Refunding, Series B: | |||
260,000 | 4.000% due 7/1/31 | 259,939 | |
295,000 | 3.000% due 7/1/35 | 252,435 | |
265,000 | 3.000% due 7/1/58 | 165,668 |
83 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Washington — (Continued) | |||
$625,000 | Washington State Housing Finance Commission, Refunding, Judson Park Project, Revenue Bonds, 5.000% due 7/1/384 | $565,597 | |
487,965 | Washington State Housing Finance Commission, Revenue Bonds, Series A-1, 3.500% due 12/20/35 | 459,849 | |
500,000 | Washington State Housing Finance Commission, Rockwood Retirement Communities, Revenue Bonds, 5.000% due 1/1/554 | 369,023 | |
500,000 | Washington State Housing Finance Commission, Rockwood Retirement Communities, Revenue Bonds, Series A, 5.000% due 1/1/564 | 367,457 | |
4,056,551 | |||
West Virginia — 0.1% | |||
250,000 | West Virginia Hospital Finance Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/43 | 256,764 | |
Wisconsin — 5.1% | |||
250,000 | Public Finance Authority, WI, Charter Day School Inc Project, Revenue Bonds, Series A, 5.000% due 12/1/454 | 225,722 | |
250,000 | Public Finance Authority, WI, Charter School Portfolio Project, Revenue Bonds, Series A-1, 5.000% due 1/1/554 | 207,298 | |
500,000 | Public Finance Authority, WI, Charter School Revenue, Revenue Bonds, Series A, 5.375% due 7/15/474 | 491,636 | |
500,000 | Public Finance Authority, WI, Grand Hyatt San Antonio Hotel Acquisition Project, Revenue Bonds, Series B, 6.000% due 2/1/624 | 494,106 | |
115,000 | Public Finance Authority, WI, Hospital Facility Authority, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/41 | 99,471 | |
110,000 | Public Finance Authority, WI, Hospital Facility Authority, Revenue Bonds, Series A-1, 4.000% due 7/1/514 | 86,549 | |
400,000 | Public Finance Authority, WI, House Apartments Project, Revenue Bonds, Series A, 6.500% due 8/1/534 | 409,250 | |
275,000 | Public Finance Authority, WI, House Apartments Project, Revenue Bonds, Series B, 6.625% due 2/1/464 | 262,993 | |
Public Finance Authority, WI, Retirement Facility Revenue, Revenue Bonds, Refunding: | |||
250,000 | 5.000% due 9/1/494 | 200,961 | |
500,000 | 5.000% due 9/1/544 | 451,000 | |
135,000 | Public Finance Authority, WI, Revenue Bonds, 5.000% due 4/1/504 | 126,992 | |
260,000 | Public Finance Authority, WI, Revenue Bonds, Refunding, 5.875% due 4/1/45 | 264,005 | |
Public Finance Authority, WI, Revenue Bonds, Refunding, Series A: | |||
375,000 | 5.000% due 6/1/294 | 377,039 | |
250,000 | 5.000% due 1/1/35 | 253,342 | |
750,000 | 5.000% due 1/1/46 | 735,924 | |
500,000 | Public Finance Authority, WI, Revenue Bonds, Series A, 4.500% due 6/1/564 | 382,524 | |
265,000 | Public Finance Authority, WI, School Education Revenue, Revenue Bonds, 4.000% due 6/15/294 | 254,033 | |
Public Finance Authority, WI, Senior Living Revenue, Mary’s Woods at Marylhurst Project, Revenue Bonds, Refunding, Series A: | |||
350,000 | 5.250% due 5/15/374 | 336,369 | |
100,000 | 4.000% due 10/1/51 | 78,600 | |
40,000 | Public Finance Authority, WI, Senior Living Revenue, Rose Village Project, Revenue Bonds, Series A, Escrowed to Maturity, 5.000% due 11/15/244 | 41,216 | |
1,060,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds, Series A, 5.000% due 7/1/25 | 1,078,068 |
84 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wisconsin — (Continued) | |||
$50,000 | Public Finance Authority, WI, The obligated Group of National Senior Communities, Revenue Bonds, 4.000% due 1/1/52 | $43,419 | |
70,000 | Wisconsin Health & Educational Facilities Authority, Revenue Bonds, 4.000% due 12/1/41 | 55,811 | |
Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Refunding: | |||
955,000 | 5.000% due 6/1/41 | 883,597 | |
110,000 | 4.000% due 1/1/47 | 83,970 | |
1,000,000 | 4.000% due 1/1/57 | 718,221 | |
565,000 | Wisconsin Housing & Economic Development Authority Home Ownership Revenue, Revenue Bonds, Series D, 4.000% due 3/1/47 | 570,753 | |
35,000 | Wisconsin Housing & Economic Development Authority Housing Revenue, Home Ownership Revenue, Revenue Bonds, Refunding, Series B, 0.400% due 5/1/453 | 34,087 | |
9,246,956 | |||
Other Territory — 0.5% | |||
705,908 | Federal Home Loan Mortgage Corporation Multifamily 2019ML-05 Certificates, Revenue Bonds, Class A, 3.400% due 1/25/36 | 667,876 | |
260,678 | Federal Home Loan Mortgage Corporation Multifamily 2021ML-10 Certificates, Class AUS, 2.032% due 1/25/38 | 202,312 | |
709,642 | Federal Home Loan Mortgage Corporation Multifamily 2021ML-10 Certificates, Class XUS, 2.057% due 1/25/383 | 118,086 | |
988,274 | |||
TOTAL MUNICIPAL BONDS (Cost $186,440,568) | 173,774,147 | ||
TOTAL INVESTMENTS (Cost $187,427,798) | 96.4% | $174,729,639 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 3.6 | 6,525,580 | |
NET ASSETS | 100.0% | $181,255,219 |
* | Percentages indicated are based on net assets. |
1 | For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 1 of the Notes to Financial Statements). |
2 | Zero Coupon Bond. |
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 January 31, 2023. |
4 | 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 January 31, 2023, these securities, which are not illiquid, amounted to $43,478,283 or 24.0% of net assets for the Fund. |
5 | This security is in default. See Note 1. |
6 | Floating Rate Bond. Rate shown is as of January 31, 2023. |
7 | When-issued security. |
85 |
Abbreviations: |
AGC — Assurance Guaranty Corporation |
AGMC — Assured Guaranty Municipal Corporation |
AMBAC — American Municipal Bond Assurance Corporation |
AMT — Alternative Minimum Tax |
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 |
86 |
87 |
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 | $20,186,408 | $— | $— | $20,186,408 | ||||
U.S. Treasury Bills | — | 108,291,409 | — | 108,291,409 | ||||
Repurchase Agreement | — | 2,724,124 | — | 2,724,124 | ||||
Purchased Options | ||||||||
Calls | 1,139,831,335 | — | — | 1,139,831,335 | ||||
Puts | 83,453 | — | — | 83,453 | ||||
Total Purchased Options | 1,139,914,788 | — | — | 1,139,914,788 | ||||
Total Investments | 1,160,101,196 | 111,015,533 | — | 1,271,116,729 | ||||
Total | $1,160,101,196 | $111,015,533 | $— | $1,271,116,729 |
88 |
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 | $(771,193,825) | $— | $— | $(771,193,825) | ||||
Puts | (1,103,388) | — | — | (1,103,388) | ||||
Total Written Options | (772,297,213) | — | — | (772,297,213) | ||||
Total | $(772,297,213) | $— | $— | $(772,297,213) |
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 | $4,381,535 | $— | $— | $4,381,535 | ||||
U.S. Treasury Bills | — | 3,682,682 | — | 3,682,682 | ||||
Repurchase Agreement | — | 405,907 | — | 405,907 | ||||
Purchased Options | ||||||||
Calls | 40,258,265 | — | — | 40,258,265 | ||||
Puts | 2,948 | — | — | 2,948 | ||||
Total Purchased Options | 40,261,213 | — | — | 40,261,213 | ||||
Total Investments | 44,642,748 | 4,088,589 | — | 48,731,337 | ||||
Total | $44,642,748 | $4,088,589 | $— | $48,731,337 |
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 | $(27,265,775) | $— | $— | $(27,265,775) | ||||
Puts | (88,428) | — | — | (88,428) | ||||
Total Written Options | (27,354,203) | — | — | (27,354,203) | ||||
Total | $(27,354,203) | $— | $— | $(27,354,203) |
89 |
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 | $— | $32,196,417 | $— | $32,196,417 | ||||
Federal National Mortgage Association | — | 9,593,866 | — | 9,593,866 | ||||
Total Agency Notes | — | 41,790,283 | — | 41,790,283 | ||||
Mortgage-Backed Securities | ||||||||
Federal Home Loan Mortgage Corporation | — | 66,655,009 | — | 66,655,009 | ||||
Federal National Mortgage Association | — | 51,199,028 | — | 51,199,028 | ||||
Government National Mortgage Association | — | 425,913 | — | 425,913 | ||||
Total Mortgage-Backed Securities | — | 118,279,950 | — | 118,279,950 | ||||
Corporate Notes | ||||||||
Banking | — | 16,702,986 | — | 16,702,986 | ||||
Beverages, Food & Tobacco | — | 9,330,761 | — | 9,330,761 | ||||
Computer Software & Processing | — | 8,044,280 | — | 8,044,280 | ||||
Electric Utilities | — | 3,795,391 | — | 3,795,391 | ||||
Electronics | — | 7,049,469 | — | 7,049,469 | ||||
Heavy Machinery | — | 3,614,399 | — | 3,614,399 | ||||
Insurance | — | 8,889,188 | — | 8,889,188 | ||||
Media - Broadcasting & Publishing | — | 6,625,990 | — | 6,625,990 | ||||
Pharmaceuticals | — | 8,181,871 | — | 8,181,871 | ||||
Transportation | — | 3,828,322 | — | 3,828,322 | ||||
Total Corporate Notes | — | 76,062,657 | — | 76,062,657 | ||||
U.S. Treasury Notes/Bonds | — | 90,970,000 | — | 90,970,000 | ||||
Repurchase Agreement | — | 2,540,504 | — | 2,540,504 | ||||
Investment of Security Lending Collateral | 9,886,315 | — | — | 9,886,315 | ||||
Total Investments | 9,886,315 | 329,643,394 | — | 339,529,709 | ||||
Total | $9,886,315 | $329,643,394 | $— | $339,529,709 |
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 | $— | $140,073 | $— | $140,073 | ||||
Lodging | — | — | 815,419 | 815,419 | ||||
Total Corporate Notes | — | 140,073 | 815,419 | 955,492 | ||||
Municipal Bonds | — | 173,774,147 | — | 173,774,147 | ||||
Total Investments | — | 173,914,220 | 815,419 | 174,729,639 | ||||
Total | $— | $173,914,220 | $815,419 | $174,729,639 |
90 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $5,909,039 | $(5,909,039) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $9,266,316 | $(9,266,316) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $13,287 | $(13,287) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $9,665 | $(9,665) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $111,939 | $(111,939) | $— | $— | $— |
91 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $168,473 | $(168,473) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,074,120 | $(1,074,120) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $276,752 | $(276,752) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,167,193 | $(1,167,193) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $16,494,911 | $(16,494,911) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $287,572 | $(287,572) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $2,724,124 | $(2,724,124) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $405,907 | $(405,907) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $2,540,504 | $(2,540,504) | $— | $— | $— |
92 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $243,018 | $(243,018) | $— | $— | $— |
93 |
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. Small Cap Equity Portfolio | $52,847 | $25,478 | $26,301 | 3.16 | ||||
Quantitative International Equity Portfolio | 31,580 | 31,673 | — | 0.13 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 1,293,216 | 1,302,664 | — | 1.34 | ||||
Quantitative U.S. Total Market Equity Portfolio | 1,119,989 | 1,126,973 | — | 1.86 | ||||
Small Cap Equity Portfolio | 46,144,734 | 44,737,193 | 1,313,593 | 4.04 | ||||
Core Fixed Income Portfolio | 9,705,088 | 9,886,315 | — | 2.84 |
94 |
95 |