Avantis Core Fixed Income Fund - Schedule of Investments | ||
MAY 31, 2023 (UNAUDITED) |
Principal Amount ($)/ Shares | Value ($) | |||||||
CORPORATE BONDS — 60.6% | ||||||||
Aerospace and Defense — 1.5% | ||||||||
Boeing Co., 3.625%, 2/1/31 | 110,000 | 99,519 | ||||||
Boeing Co., 3.60%, 5/1/34 | 90,000 | 76,362 | ||||||
General Dynamics Corp., 3.625%, 4/1/30 | 184,000 | 172,990 | ||||||
Huntington Ingalls Industries, Inc., 3.48%, 12/1/27 | 30,000 | 27,756 | ||||||
Lockheed Martin Corp., 3.55%, 1/15/26 | 48,000 | 46,994 | ||||||
Lockheed Martin Corp., 1.85%, 6/15/30 | 175,000 | 146,923 | ||||||
Northrop Grumman Corp., 3.25%, 1/15/28 | 42,000 | 39,577 | ||||||
Textron, Inc., 4.00%, 3/15/26 | 30,000 | 29,231 | ||||||
639,352 | ||||||||
Air Freight and Logistics — 0.7% | ||||||||
United Parcel Service, Inc., 3.90%, 4/1/25 | 100,000 | 98,609 | ||||||
United Parcel Service, Inc., 3.40%, 3/15/29 | 200,000 | 190,769 | ||||||
289,378 | ||||||||
Automobile Components — 0.1% | ||||||||
BorgWarner, Inc., 2.65%, 7/1/27 | 48,000 | 43,972 | ||||||
Automobiles — 1.5% | ||||||||
American Honda Finance Corp., 1.00%, 9/10/25 | 60,000 | 55,071 | ||||||
American Honda Finance Corp., 2.35%, 1/8/27 | 48,000 | 44,459 | ||||||
American Honda Finance Corp., 3.50%, 2/15/28 | 150,000 | 143,649 | ||||||
General Motors Financial Co., Inc., 5.10%, 1/17/24 | 27,000 | 26,902 | ||||||
General Motors Financial Co., Inc., 4.00%, 1/15/25 | 65,000 | 63,405 | ||||||
Toyota Motor Credit Corp., 3.375%, 4/1/30 | 30,000 | 27,798 | ||||||
Toyota Motor Credit Corp., 1.65%, 1/10/31 | 38,000 | 30,747 | ||||||
Toyota Motor Credit Corp., 4.70%, 1/12/33 | 250,000 | 250,376 | ||||||
642,407 | ||||||||
Banks — 4.6% | ||||||||
African Development Bank, 0.875%, 7/22/26 | 100,000 | 90,287 | ||||||
Asian Development Bank, 0.25%, 10/6/23 | 25,000 | 24,557 | ||||||
Asian Development Bank, 0.375%, 6/11/24 | 100,000 | 95,332 | ||||||
Asian Development Bank, 2.375%, 8/10/27 | 16,000 | 15,050 | ||||||
Asian Infrastructure Investment Bank, 0.25%, 9/29/23 | 50,000 | 49,151 | ||||||
Asian Infrastructure Investment Bank, 2.25%, 5/16/24 | 100,000 | 97,201 | ||||||
Bank of Nova Scotia, 3.40%, 2/11/24 | 68,000 | 66,834 | ||||||
Council Of Europe Development Bank, 2.50%, 2/27/24 | 25,000 | 24,482 | ||||||
European Bank for Reconstruction & Development, 0.50%, 1/28/26 | 100,000 | 90,666 | ||||||
European Investment Bank, 1.375%, 3/15/27 | 150,000 | 136,118 | ||||||
Inter-American Development Bank, 2.625%, 1/16/24 | 25,000 | 24,594 | ||||||
Inter-American Development Bank, 0.625%, 7/15/25 | 150,000 | 138,948 | ||||||
International Bank for Reconstruction & Development, 2.50%, 3/19/24 | 50,000 | 48,942 | ||||||
International Bank for Reconstruction & Development, 0.50%, 10/28/25 | 75,000 | 68,646 | ||||||
International Bank for Reconstruction & Development, 0.75%, 11/24/27 | 60,000 | 52,216 | ||||||
International Finance Corp., 2.875%, 7/31/23 | 50,000 | 49,787 | ||||||
Kreditanstalt fuer Wiederaufbau, 0.25%, 3/8/24 | 250,000 | 240,540 | ||||||
Kreditanstalt fuer Wiederaufbau, 1.25%, 1/31/25 | 25,000 | 23,646 | ||||||
Oesterreichische Kontrollbank AG, 1.50%, 2/12/25 | 125,000 | 118,507 | ||||||
Royal Bank of Canada, 2.30%, 11/3/31 | 200,000 | 162,662 | ||||||
Sumitomo Mitsui Financial Group, Inc., 3.94%, 10/16/23 | 30,000 | 29,823 | ||||||
Wells Fargo & Co., 3.55%, 9/29/25 | 66,000 | 63,740 |
Westpac Banking Corp., 2.85%, 5/13/26 | 70,000 | 66,437 | ||||||
Westpac Banking Corp., 3.35%, 3/8/27 | 145,000 | 138,004 | ||||||
1,916,170 | ||||||||
Beverages — 2.1% | ||||||||
Anheuser-Busch InBev Finance, Inc., 4.70%, 2/1/36 | 250,000 | 245,035 | ||||||
Brown-Forman Corp., 4.75%, 4/15/33 | 500,000 | 501,570 | ||||||
Molson Coors Beverage Co., 3.00%, 7/15/26 | 73,000 | 68,777 | ||||||
PepsiCo, Inc., 3.00%, 10/15/27 | 73,000 | 69,511 | ||||||
884,893 | ||||||||
Biotechnology — 0.2% | ||||||||
Biogen, Inc., 2.25%, 5/1/30(1) | 78,000 | 65,359 | ||||||
Broadline Retail — 0.3% | ||||||||
Amazon.com, Inc., 5.20%, 12/3/25 | 30,000 | 30,441 | ||||||
Amazon.com, Inc., 4.80%, 12/5/34 | 100,000 | 102,369 | ||||||
132,810 | ||||||||
Building Products — 0.3% | ||||||||
Owens Corning, 3.875%, 6/1/30 | 150,000 | 138,288 | ||||||
Capital Markets — 3.5% | ||||||||
Bank of New York Mellon Corp., 3.85%, 4/26/29 | 250,000 | 236,811 | ||||||
BlackRock, Inc., 2.10%, 2/25/32 | 75,000 | 61,201 | ||||||
Brookfield Finance I U.K. PLC/Brookfield Finance, Inc., 2.34%, 1/30/32 | 125,000 | 98,928 | ||||||
Cboe Global Markets, Inc., 3.65%, 1/12/27 | 200,000 | 192,017 | ||||||
Charles Schwab Corp., 3.20%, 3/2/27 | 30,000 | 27,566 | ||||||
Charles Schwab Corp., 1.95%, 12/1/31 | 120,000 | 91,176 | ||||||
CME Group, Inc., 3.75%, 6/15/28 | 100,000 | 97,203 | ||||||
Goldman Sachs Group, Inc., 3.80%, 3/15/30 | 150,000 | 139,161 | ||||||
Intercontinental Exchange, Inc., 4.35%, 6/15/29 | 100,000 | 98,395 | ||||||
Intercontinental Exchange, Inc., 2.10%, 6/15/30 | 100,000 | 83,879 | ||||||
Morgan Stanley, 3.875%, 1/27/26 | 150,000 | 146,095 | ||||||
S&P Global, Inc., 2.95%, 1/22/27 | 25,000 | 23,744 | ||||||
S&P Global, Inc., 2.45%, 3/1/27 | 173,000 | 160,674 | ||||||
1,456,850 | ||||||||
Chemicals — 2.1% | ||||||||
Albemarle Corp., 5.05%, 6/1/32 | 250,000 | 241,943 | ||||||
CF Industries, Inc., 5.15%, 3/15/34 | 138,000 | 131,025 | ||||||
Dow Chemical Co., 4.25%, 10/1/34 | 100,000 | 91,307 | ||||||
EIDP, Inc., 2.30%, 7/15/30 | 30,000 | 25,391 | ||||||
Linde, Inc., 3.20%, 1/30/26 | 48,000 | 46,678 | ||||||
LYB International Finance III LLC, 5.625%, 5/15/33 | 150,000 | 149,968 | ||||||
Mosaic Co., 5.45%, 11/15/33 | 60,000 | 58,427 | ||||||
RPM International, Inc., 4.55%, 3/1/29 | 64,000 | 60,506 | ||||||
Westlake Corp., 3.60%, 8/15/26 | 42,000 | 40,009 | ||||||
Westlake Corp., 3.375%, 6/15/30 | 30,000 | 26,284 | ||||||
871,538 | ||||||||
Communications Equipment — 0.6% | ||||||||
Cisco Systems, Inc., 5.90%, 2/15/39 | 150,000 | 165,128 | ||||||
Motorola Solutions, Inc., 4.60%, 5/23/29 | 100,000 | 97,893 | ||||||
263,021 | ||||||||
Construction and Engineering — 0.1% | ||||||||
Quanta Services, Inc., 2.90%, 10/1/30 | 30,000 | 25,475 | ||||||
Consumer Staples Distribution & Retail — 1.0% | ||||||||
Costco Wholesale Corp., 3.00%, 5/18/27 | 125,000 | 119,950 | ||||||
Dollar Tree, Inc., 4.00%, 5/15/25 | 65,000 | 63,562 | ||||||
Dollar Tree, Inc., 4.20%, 5/15/28 | 30,000 | 28,857 | ||||||
Sysco Corp., 5.375%, 9/21/35 | 125,000 | 126,195 |
Target Corp., 2.65%, 9/15/30 | 42,000 | 36,984 | ||||||
Walgreens Boots Alliance, Inc., 3.45%, 6/1/26 | 5,000 | 4,747 | ||||||
Walgreens Boots Alliance, Inc., 3.20%, 4/15/30 | 30,000 | 26,005 | ||||||
406,300 | ||||||||
Diversified Consumer Services — 0.2% | ||||||||
Novant Health, Inc., 2.64%, 11/1/36 | 100,000 | 76,566 | ||||||
Diversified REITs — 1.5% | ||||||||
Boston Properties LP, 3.65%, 2/1/26 | 50,000 | 46,336 | ||||||
ERP Operating LP, 3.25%, 8/1/27 | 90,000 | 83,624 | ||||||
Essex Portfolio LP, 4.00%, 3/1/29 | 150,000 | 140,593 | ||||||
Kilroy Realty LP, 4.75%, 12/15/28 | 100,000 | 87,920 | ||||||
Kilroy Realty LP, 2.50%, 11/15/32 | 29,000 | 19,413 | ||||||
Prologis LP, 2.25%, 4/15/30 | 115,000 | 97,963 | ||||||
Simon Property Group LP, 2.20%, 2/1/31 | 200,000 | 162,224 | ||||||
638,073 | ||||||||
Diversified Telecommunication Services — 0.6% | ||||||||
AT&T, Inc., 2.75%, 6/1/31 | 120,000 | 101,555 | ||||||
Verizon Communications, Inc., 5.85%, 9/15/35 | 125,000 | 129,265 | ||||||
230,820 | ||||||||
Electric Utilities — 4.9% | ||||||||
Baltimore Gas & Electric Co., 2.25%, 6/15/31 | 140,000 | 117,128 | ||||||
Berkshire Hathaway Energy Co., 4.05%, 4/15/25 | 12,000 | 11,813 | ||||||
CenterPoint Energy Houston Electric LLC, 6.95%, 3/15/33(1) | 120,000 | 138,261 | ||||||
DTE Electric Co., Series A, 1.90%, 4/1/28 | 150,000 | 133,122 | ||||||
DTE Electric Co., Series C, 2.625%, 3/1/31 | 66,000 | 56,630 | ||||||
Duke Energy Carolinas LLC, 6.10%, 6/1/37 | 100,000 | 106,033 | ||||||
Duke Energy Carolinas LLC, Series A, 6.00%, 12/1/28 | 30,000 | 31,843 | ||||||
Duke Energy Corp., 4.50%, 8/15/32 | 125,000 | 118,233 | ||||||
Edison International, 3.55%, 11/15/24 | 65,000 | 63,074 | ||||||
Edison International, 5.75%, 6/15/27 | 250,000 | 252,192 | ||||||
Entergy Arkansas LLC, 4.00%, 6/1/28 | 32,000 | 30,889 | ||||||
Entergy Louisiana LLC, 3.05%, 6/1/31 | 33,000 | 28,906 | ||||||
Entergy Mississippi LLC, 2.85%, 6/1/28 | 160,000 | 145,970 | ||||||
Florida Power & Light Co., 5.05%, 4/1/28 | 100,000 | 102,292 | ||||||
MidAmerican Energy Co., 6.75%, 12/30/31 | 70,000 | 79,658 | ||||||
PacifiCorp, 2.70%, 9/15/30 | 54,000 | 47,329 | ||||||
PacifiCorp, 6.25%, 10/15/37 | 150,000 | 163,083 | ||||||
Public Service Co. of New Hampshire, 2.20%, 6/15/31 | 140,000 | 117,166 | ||||||
Public Service Electric & Gas Co., 3.00%, 5/15/27 | 36,000 | 34,020 | ||||||
Puget Energy, Inc., 4.10%, 6/15/30 | 66,000 | 60,890 | ||||||
Southern Co., 3.70%, 4/30/30 | 150,000 | 138,194 | ||||||
Union Electric Co., 2.95%, 3/15/30 | 68,000 | 60,851 | ||||||
Wisconsin Power & Light Co., 3.00%, 7/1/29 | 24,000 | 21,728 | ||||||
2,059,305 | ||||||||
Electronic Equipment, Instruments and Components — 0.2% | ||||||||
Flex Ltd., 3.75%, 2/1/26 | 30,000 | 28,616 | ||||||
Trimble, Inc., 4.90%, 6/15/28 | 62,000 | 61,270 | ||||||
89,886 | ||||||||
Energy Equipment and Services — 1.1% | ||||||||
Baker Hughes Holdings LLC, 5.125%, 9/15/40 | 175,000 | 166,041 | ||||||
Baker Hughes Holdings LLC / Baker Hughes Co.-Obligor, Inc., 3.34%, 12/15/27 | 30,000 | 28,098 | ||||||
Halliburton Co., 2.92%, 3/1/30 | 175,000 | 154,982 | ||||||
Schlumberger Finance Canada Ltd., 1.40%, 9/17/25 | 70,000 | 64,911 | ||||||
Schlumberger Investment SA, 2.65%, 6/26/30 | 66,000 | 58,210 | ||||||
472,242 | ||||||||
Financial Services — 0.5% | ||||||||
Global Payments, Inc., 4.95%, 8/15/27 | 100,000 | 98,457 | ||||||
Global Payments, Inc., 4.45%, 6/1/28 | 100,000 | 95,004 | ||||||
193,461 | ||||||||
Food Products — 0.8% | ||||||||
Archer-Daniels-Midland Co., 3.25%, 3/27/30 | 66,000 | 61,226 | ||||||
Bunge Ltd. Finance Corp., 3.25%, 8/15/26 | 73,000 | 69,027 | ||||||
Bunge Ltd. Finance Corp., 2.75%, 5/14/31 | 100,000 | 83,856 | ||||||
Campbell Soup Co., 4.15%, 3/15/28 | 64,000 | 62,201 | ||||||
Conagra Brands, Inc., 4.85%, 11/1/28 | 75,000 | 73,913 | ||||||
350,223 | ||||||||
Gas Utilities — 0.1% | ||||||||
Southern California Gas Co., 2.55%, 2/1/30 | 35,000 | 30,376 | ||||||
Ground Transportation — 1.6% | ||||||||
Canadian National Railway Co., 6.375%, 11/15/37 | 200,000 | 226,743 | ||||||
CSX Corp., 6.15%, 5/1/37 | 75,000 | 81,485 | ||||||
Union Pacific Corp., 3.70%, 3/1/29 | 200,000 | 192,854 | ||||||
Union Pacific Corp., 3.375%, 2/1/35 | 175,000 | 151,393 | ||||||
652,475 | ||||||||
Health Care Equipment and Supplies — 0.1% | ||||||||
Edwards Lifesciences Corp., 4.30%, 6/15/28 | 26,000 | 25,622 | ||||||
Medtronic, Inc., 4.375%, 3/15/35 | 30,000 | 29,110 | ||||||
54,732 | ||||||||
Health Care Providers and Services — 1.9% | ||||||||
Adventist Health System, 2.95%, 3/1/29 | 67,000 | 59,409 | ||||||
Cardinal Health, Inc., 3.08%, 6/15/24 | 30,000 | 29,258 | ||||||
Cigna Group, 5.40%, 3/15/33 | 100,000 | 102,047 | ||||||
CVS Health Corp., 5.25%, 2/21/33 | 50,000 | 50,152 | ||||||
CVS Health Corp., 4.875%, 7/20/35 | 70,000 | 66,741 | ||||||
HCA, Inc., 3.625%, 3/15/32(2) | 200,000 | 174,412 | ||||||
Humana, Inc., 2.15%, 2/3/32 | 200,000 | 159,191 | ||||||
UnitedHealth Group, Inc., 3.45%, 1/15/27 | 24,000 | 23,222 | ||||||
UnitedHealth Group, Inc., 5.35%, 2/15/33 | 80,000 | 83,438 | ||||||
UnitedHealth Group, Inc., 4.625%, 7/15/35 | 24,000 | 23,564 | ||||||
771,434 | ||||||||
Hotels, Restaurants and Leisure — 0.2% | ||||||||
Marriott International, Inc., 4.625%, 6/15/30 | 75,000 | 71,956 | ||||||
Household Durables — 0.9% | ||||||||
DR Horton, Inc., 1.40%, 10/15/27(1) | 150,000 | 129,901 | ||||||
Whirlpool Corp., 5.50%, 3/1/33 | 250,000 | 250,307 | ||||||
380,208 | ||||||||
Industrial Conglomerates — 0.4% | ||||||||
3M Co., 3.375%, 3/1/29 | 100,000 | 92,083 | ||||||
3M Co., 5.70%, 3/15/37 | 18,000 | 18,504 | ||||||
Honeywell International, Inc., 1.75%, 9/1/31 | 50,000 | 40,513 | ||||||
Honeywell International, Inc., 5.70%, 3/15/36 | 24,000 | 25,887 | ||||||
176,987 | ||||||||
Insurance — 1.8% | ||||||||
Aflac, Inc., 3.60%, 4/1/30 | 75,000 | 69,399 | ||||||
Chubb INA Holdings, Inc., 1.375%, 9/15/30 | 36,000 | 28,702 | ||||||
Chubb INA Holdings, Inc., 6.70%, 5/15/36 | 75,000 | 85,322 | ||||||
Hartford Financial Services Group, Inc., 2.80%, 8/19/29 | 50,000 | 43,610 | ||||||
MetLife, Inc., 4.55%, 3/23/30 | 165,000 | 162,710 | ||||||
Prudential Funding Asia PLC, 3.625%, 3/24/32 | 250,000 | 226,301 | ||||||
Willis North America, Inc., 4.50%, 9/15/28 | 150,000 | 143,101 | ||||||
759,145 | ||||||||
IT Services — 0.6% | ||||||||
International Business Machines Corp., 3.50%, 5/15/29 | 100,000 | 93,499 | ||||||
VeriSign, Inc., 2.70%, 6/15/31(1) | 200,000 | 166,761 | ||||||
260,260 | ||||||||
Leisure Products — 0.2% | ||||||||
Hasbro, Inc., 3.50%, 9/15/27 | 67,000 | 63,084 | ||||||
Machinery — 1.3% | ||||||||
ABB Finance USA, Inc., 3.80%, 4/3/28 | 64,000 | 62,870 | ||||||
Caterpillar Financial Services Corp., 1.10%, 9/14/27 | 30,000 | 26,031 | ||||||
John Deere Capital Corp., 3.05%, 1/6/28 | 102,000 | 96,639 | ||||||
Otis Worldwide Corp., 2.57%, 2/15/30 | 150,000 | 129,829 | ||||||
Stanley Black & Decker, Inc., 6.00%, 3/6/28 | 200,000 | 204,858 | ||||||
520,227 | ||||||||
Media — 1.1% | ||||||||
Comcast Corp., 4.25%, 10/15/30 | 210,000 | 203,647 | ||||||
Fox Corp., 3.05%, 4/7/25 | 130,000 | 124,828 | ||||||
Fox Corp., 5.48%, 1/25/39 | 150,000 | 139,054 | ||||||
467,529 | ||||||||
Metals and Mining — 0.6% | ||||||||
Barrick Gold Corp., 6.45%, 10/15/35 | 100,000 | 107,228 | ||||||
Kinross Gold Corp., 4.50%, 7/15/27 | 42,000 | 40,966 | ||||||
Steel Dynamics, Inc., 3.25%, 1/15/31 | 100,000 | 86,950 | ||||||
235,144 | ||||||||
Multi-Utilities — 0.8% | ||||||||
Consumers Energy Co., 4.625%, 5/15/33 | 200,000 | 197,342 | ||||||
Dominion Energy, Inc., 5.95%, 6/15/35 | 100,000 | 104,234 | ||||||
San Diego Gas & Electric Co., 1.70%, 10/1/30 | 37,000 | 29,909 | ||||||
331,485 | ||||||||
Office REITs — 0.1% | ||||||||
Alexandria Real Estate Equities, Inc., 3.375%, 8/15/31 | 50,000 | 43,261 | ||||||
Oil, Gas and Consumable Fuels — 5.4% | ||||||||
Boardwalk Pipelines LP, 4.80%, 5/3/29 | 50,000 | 48,411 | ||||||
BP Capital Markets America, Inc., 3.12%, 5/4/26 | 250,000 | 239,858 | ||||||
Burlington Resources LLC, 7.40%, 12/1/31 | 18,000 | 20,941 | ||||||
Canadian Natural Resources Ltd., 2.95%, 7/15/30 | 29,000 | 25,098 | ||||||
Canadian Natural Resources Ltd., 5.85%, 2/1/35 | 60,000 | 58,728 | ||||||
Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/27 | 63,000 | 62,514 | ||||||
Chevron Corp., 1.55%, 5/11/25 | 42,000 | 39,629 | ||||||
Chevron USA, Inc., 3.85%, 1/15/28 | 26,000 | 25,657 | ||||||
Chevron USA, Inc., 6.00%, 3/1/41 | 248,000 | 272,674 | ||||||
ConocoPhillips Co., 6.95%, 4/15/29 | 85,000 | 94,612 | ||||||
Devon Energy Corp., 4.50%, 1/15/30 | 133,000 | 125,169 | ||||||
Diamondback Energy, Inc., 6.25%, 3/15/33 | 175,000 | 181,803 | ||||||
Enbridge, Inc., 3.125%, 11/15/29 | 42,000 | 37,656 | ||||||
Energy Transfer LP, 6.50%, 2/1/42 | 75,000 | 74,898 | ||||||
Enterprise Products Operating LLC, 3.70%, 2/15/26 | 18,000 | 17,536 | ||||||
EOG Resources, Inc., 4.15%, 1/15/26 | 200,000 | 197,876 | ||||||
Equinor ASA, 2.875%, 4/6/25 | 44,000 | 42,523 | ||||||
Equinor ASA, 1.75%, 1/22/26 | 70,000 | 65,062 | ||||||
Exxon Mobil Corp., 2.44%, 8/16/29 | 54,000 | 48,624 | ||||||
Hess Corp., 5.60%, 2/15/41 | 150,000 | 141,491 | ||||||
Kinder Morgan, Inc., 5.30%, 12/1/34 | 18,000 | 17,287 | ||||||
Marathon Petroleum Corp., 4.70%, 5/1/25 | 24,000 | 23,701 | ||||||
MPLX LP, 2.65%, 8/15/30 | 30,000 | 25,129 | ||||||
ONEOK, Inc., 6.35%, 1/15/31 | 35,000 | 36,102 |
ONEOK, Inc., 6.00%, 6/15/35 | 60,000 | 58,436 | ||||||
Phillips 66, 3.90%, 3/15/28 | 24,000 | 23,037 | ||||||
Pioneer Natural Resources Co., 1.90%, 8/15/30 | 30,000 | 24,391 | ||||||
Sabine Pass Liquefaction LLC, 4.50%, 5/15/30 | 68,000 | 64,334 | ||||||
Shell International Finance BV, 3.25%, 5/11/25 | 18,000 | 17,543 | ||||||
Shell International Finance BV, 2.50%, 9/12/26 | 66,000 | 62,111 | ||||||
Shell International Finance BV, 4.125%, 5/11/35 | 12,000 | 11,153 | ||||||
Valero Energy Corp., 6.625%, 6/15/37 | 30,000 | 32,317 | ||||||
Valero Energy Partners LP, 4.50%, 3/15/28 | 26,000 | 25,414 | ||||||
Williams Cos., Inc., 4.00%, 9/15/25 | 18,000 | 17,507 | ||||||
2,259,222 | ||||||||
Paper and Forest Products — 0.3% | ||||||||
WestRock MWV LLC, 7.95%, 2/15/31 | 100,000 | 114,010 | ||||||
Passenger Airlines — 0.3% | ||||||||
Southwest Airlines Co., 5.125%, 6/15/27 | 102,000 | 101,586 | ||||||
Southwest Airlines Co., 2.625%, 2/10/30 | 37,000 | 31,257 | ||||||
132,843 | ||||||||
Personal Care Products — 0.1% | ||||||||
Estee Lauder Cos., Inc., 1.95%, 3/15/31 | 57,000 | 47,284 | ||||||
Pharmaceuticals — 3.2% | ||||||||
Astrazeneca Finance LLC, 2.25%, 5/28/31 | 50,000 | 42,535 | ||||||
AstraZeneca PLC, 0.70%, 4/8/26 | 140,000 | 126,080 | ||||||
Bristol-Myers Squibb Co., 1.45%, 11/13/30 | 46,000 | 37,138 | ||||||
Bristol-Myers Squibb Co., 2.95%, 3/15/32 | 225,000 | 199,051 | ||||||
GlaxoSmithKline Capital, Inc., 6.375%, 5/15/38 | 236,000 | 271,067 | ||||||
Johnson & Johnson, 0.55%, 9/1/25 | 24,000 | 22,079 | ||||||
Johnson & Johnson, 2.90%, 1/15/28 | 54,000 | 51,414 | ||||||
Merck & Co., Inc., 2.15%, 12/10/31 | 200,000 | 167,662 | ||||||
Novartis Capital Corp., 3.10%, 5/17/27 | 66,000 | 63,416 | ||||||
Royalty Pharma PLC, 2.20%, 9/2/30 | 73,000 | 58,942 | ||||||
Sanofi, 3.625%, 6/19/28 | 65,000 | 63,478 | ||||||
Wyeth LLC, 5.95%, 4/1/37 | 200,000 | 220,107 | ||||||
1,322,969 | ||||||||
Residential REITs — 1.1% | ||||||||
American Homes 4 Rent LP, 4.25%, 2/15/28 | 66,000 | 61,973 | ||||||
AvalonBay Communities, Inc., 3.20%, 1/15/28 | 24,000 | 22,263 | ||||||
AvalonBay Communities, Inc., 3.30%, 6/1/29 | 75,000 | 68,298 | ||||||
Camden Property Trust, 3.15%, 7/1/29 | 85,000 | 75,822 | ||||||
UDR, Inc., 3.20%, 1/15/30 | 264,000 | 232,964 | ||||||
461,320 | ||||||||
Retail REITs — 0.5% | ||||||||
Kimco Realty OP LLC, 4.60%, 2/1/33 | 175,000 | 162,174 | ||||||
Realty Income Corp., 3.65%, 1/15/28(1) | 36,000 | 33,910 | ||||||
196,084 | ||||||||
Semiconductors and Semiconductor Equipment — 3.0% | ||||||||
Applied Materials, Inc., 5.10%, 10/1/35 | 150,000 | 153,422 | ||||||
Broadcom, Inc., 4.30%, 11/15/32 | 110,000 | 100,075 | ||||||
Broadcom, Inc., 3.47%, 4/15/34(2) | 90,000 | 73,469 | ||||||
Intel Corp., 3.90%, 3/25/30 | 60,000 | 56,867 | ||||||
Intel Corp., 5.20%, 2/10/33 | 250,000 | 251,635 | ||||||
Lam Research Corp., 4.00%, 3/15/29 | 125,000 | 121,737 | ||||||
Marvell Technology, Inc., 2.45%, 4/15/28 | 150,000 | 130,994 | ||||||
Micron Technology, Inc., 4.66%, 2/15/30 | 150,000 | 141,798 | ||||||
NXP BV / NXP Funding LLC, 5.55%, 12/1/28 | 24,000 | 24,177 | ||||||
NXP BV / NXP Funding LLC / NXP USA, Inc., 5.00%, 1/15/33 | 120,000 | 115,701 |
QUALCOMM, Inc., 3.25%, 5/20/27 | 66,000 | 63,365 | ||||||
1,233,240 | ||||||||
Software — 1.4% | ||||||||
Autodesk, Inc., 2.85%, 1/15/30 | 150,000 | 132,871 | ||||||
Oracle Corp., 3.25%, 5/15/30 | 75,000 | 66,818 | ||||||
Oracle Corp., 6.50%, 4/15/38 | 125,000 | 133,689 | ||||||
Roper Technologies, Inc., 1.40%, 9/15/27 | 73,000 | 63,335 | ||||||
Salesforce, Inc., 1.95%, 7/15/31 | 50,000 | 41,482 | ||||||
VMware, Inc., 1.80%, 8/15/28 | 100,000 | 84,189 | ||||||
VMware, Inc., 4.70%, 5/15/30 | 60,000 | 57,085 | ||||||
579,469 | ||||||||
Specialized REITs — 0.9% | ||||||||
American Tower Corp., 3.60%, 1/15/28 | 66,000 | 61,575 | ||||||
American Tower Corp., 2.90%, 1/15/30 | 100,000 | 87,005 | ||||||
Crown Castle, Inc., 3.30%, 7/1/30 | 150,000 | 132,604 | ||||||
Equinix, Inc., 2.00%, 5/15/28 | 125,000 | 106,209 | ||||||
387,393 | ||||||||
Specialty Retail — 1.3% | ||||||||
Advance Auto Parts, Inc., 3.50%, 3/15/32 | 175,000 | 148,629 | ||||||
AutoNation, Inc., 3.80%, 11/15/27 | 40,000 | 36,710 | ||||||
AutoZone, Inc., 4.00%, 4/15/30 | 150,000 | 139,950 | ||||||
Home Depot, Inc., 2.80%, 9/14/27 | 66,000 | 62,029 | ||||||
Home Depot, Inc., 2.70%, 4/15/30 | 150,000 | 134,239 | ||||||
TJX Cos., Inc., 1.15%, 5/15/28 | 30,000 | 25,921 | ||||||
547,478 | ||||||||
Technology Hardware, Storage and Peripherals — 1.7% | ||||||||
Apple, Inc., 3.20%, 5/11/27 | 12,000 | 11,596 | ||||||
Apple, Inc., 2.20%, 9/11/29 | 18,000 | 16,068 | ||||||
Apple, Inc., 1.65%, 5/11/30 | 48,000 | 40,900 | ||||||
Apple, Inc., 1.70%, 8/5/31(1) | 100,000 | 83,223 | ||||||
Apple, Inc., 4.50%, 2/23/36 | 150,000 | 153,726 | ||||||
Dell International LLC / EMC Corp., 5.75%, 2/1/33 | 150,000 | 150,185 | ||||||
HP, Inc., 3.40%, 6/17/30 | 42,000 | 36,779 | ||||||
HP, Inc., 4.20%, 4/15/32 | 250,000 | 223,698 | ||||||
716,175 | ||||||||
Textiles, Apparel and Luxury Goods — 0.3% | ||||||||
NIKE, Inc., 2.85%, 3/27/30 | 150,000 | 136,919 | ||||||
Transportation Infrastructure — 0.1% | ||||||||
FedEx Corp. Pass-Through Trust, Series 2020-1, Class AA, 1.875%, 8/20/35 | 63,241 | 52,185 | ||||||
Wireless Telecommunication Services — 0.9% | ||||||||
T-Mobile USA, Inc., 3.875%, 4/15/30 | 100,000 | 92,813 | ||||||
T-Mobile USA, Inc., 5.20%, 1/15/33 | 80,000 | 80,074 | ||||||
Vodafone Group Plc, 6.15%, 2/27/37 | 180,000 | 187,665 | ||||||
360,552 | ||||||||
TOTAL CORPORATE BONDS (Cost $26,752,576) | 25,251,835 | |||||||
U.S. TREASURY SECURITIES AND EQUIVALENTS — 24.9% | ||||||||
Israel Government AID Bond, 5.50%, 9/18/23 | 25,000 | 24,998 | ||||||
U.S. Treasury Bonds, 7.625%, 2/15/25 | 245,000 | 257,307 | ||||||
U.S. Treasury Bonds, 6.125%, 11/15/27 | 250,000 | 273,418 | ||||||
U.S. Treasury Bonds, 4.75%, 2/15/37 | 150,000 | 167,997 | ||||||
U.S. Treasury Bonds, 2.375%, 2/15/42 | 650,000 | 508,701 | ||||||
U.S. Treasury Bonds, 3.00%, 5/15/42 | 500,000 | 432,891 | ||||||
U.S. Treasury Bonds, 2.75%, 8/15/42 | 500,000 | 414,922 | ||||||
U.S. Treasury Bonds, 2.75%, 11/15/42 | 515,000 | 426,193 |
U.S. Treasury Bonds, 3.125%, 2/15/43 | 500,000 | 439,102 | ||||||
U.S. Treasury Bonds, 2.875%, 5/15/43 | 700,000 | 589,613 | ||||||
U.S. Treasury Bonds, 3.125%, 8/15/44 | 250,000 | 217,607 | ||||||
U.S. Treasury Bonds, 2.875%, 8/15/45 | 150,000 | 124,389 | ||||||
U.S. Treasury Notes, 0.125%, 8/31/23 | 400,000 | 394,771 | ||||||
U.S. Treasury Notes, 0.25%, 9/30/23 | 500,000 | 491,590 | ||||||
U.S. Treasury Notes, 0.75%, 12/31/23 | 600,000 | 584,337 | ||||||
U.S. Treasury Notes, 0.125%, 1/15/24 | 450,000 | 435,722 | ||||||
U.S. Treasury Notes, 0.875%, 1/31/24 | 500,000 | 485,621 | ||||||
U.S. Treasury Notes, 2.125%, 2/29/24 | 340,000 | 332,136 | ||||||
U.S. Treasury Notes, 2.25%, 3/31/24 | 400,000 | 390,250 | ||||||
U.S. Treasury Notes, 0.375%, 4/15/24 | 450,000 | 431,386 | ||||||
U.S. Treasury Notes, 2.50%, 5/31/24 | 175,000 | 170,401 | ||||||
U.S. Treasury Notes, 0.375%, 8/15/24 | 375,000 | 354,968 | ||||||
U.S. Treasury Notes, 1.75%, 12/31/24 | 180,000 | 171,999 | ||||||
U.S. Treasury Notes, 2.50%, 1/31/25 | 355,000 | 342,922 | ||||||
U.S. Treasury Notes, 1.50%, 2/15/25(3) | 400,000 | 379,836 | ||||||
U.S. Treasury Notes, 2.75%, 2/28/25 | 375,000 | 363,713 | ||||||
U.S. Treasury Notes, 0.50%, 3/31/25 | 200,000 | 186,070 | ||||||
U.S. Treasury Notes, 2.75%, 8/31/25 | 150,000 | 145,116 | ||||||
U.S. Treasury Notes, 0.375%, 1/31/26 | 105,000 | 95,199 | ||||||
U.S. Treasury Notes, 1.50%, 8/15/26 | 135,000 | 124,883 | ||||||
U.S. Treasury Notes, 2.25%, 8/15/27 | 125,000 | 117,224 | ||||||
U.S. Treasury Notes, 1.25%, 3/31/28 | 250,000 | 221,934 | ||||||
U.S. Treasury Notes, 2.375%, 5/15/29 | 315,000 | 291,861 | ||||||
TOTAL U.S. TREASURY SECURITIES AND EQUIVALENTS (Cost $10,728,270) | 10,389,077 | |||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 19.8% | ||||||||
Fixed-Rate U.S. Government Agency Mortgage-Backed Securities — 19.8% | ||||||||
GNMA, 4.00%, TBA | 800,000 | 760,375 | ||||||
GNMA, 4.00%, TBA | 250,000 | 237,832 | ||||||
GNMA, 4.50%, TBA | 1,050,000 | 1,020,366 | ||||||
GNMA, 5.50%, TBA | 800,000 | 799,562 | ||||||
UMBS, 2.00%, TBA | 300,000 | 269,227 | ||||||
UMBS, 2.00%, TBA | 150,000 | 134,426 | ||||||
UMBS, 3.00%, TBA | 900,000 | 799,014 | ||||||
UMBS, 3.00%, TBA | 400,000 | 377,133 | ||||||
UMBS, 3.00%, TBA | 300,000 | 283,107 | ||||||
UMBS, 3.00%, TBA | 300,000 | 266,619 | ||||||
UMBS, 4.00%, TBA | 800,000 | 755,875 | ||||||
UMBS, 4.00%, TBA | 400,000 | 388,788 | ||||||
UMBS, 4.00%, TBA | 350,000 | 330,914 | ||||||
UMBS, 4.50%, TBA | 800,000 | 774,922 | ||||||
UMBS, 4.50%, TBA | 350,000 | 345,037 | ||||||
UMBS, 4.50%, TBA | 350,000 | 339,192 | ||||||
UMBS, 4.50%, TBA | 150,000 | 147,932 | ||||||
UMBS, 5.50%, TBA | 200,000 | 199,891 | ||||||
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $8,282,818) | 8,230,212 | |||||||
U.S. GOVERNMENT AGENCY SECURITIES — 3.7% | ||||||||
Federal Farm Credit Banks Funding Corp., 3.30%, 8/15/24 | 77,000 | 75,526 | ||||||
Federal Farm Credit Banks Funding Corp., 4.75%, 2/21/25 | 100,000 | 100,153 | ||||||
FHLB, 3.625%, 2/28/24 | 50,000 | 49,333 | ||||||
FHLB, 5.42%, 3/6/24 | 100,000 | 99,701 | ||||||
FHLB, 3.25%, 11/16/28 | 100,000 | 97,120 |
FNMA, 2.625%, 9/6/24 | 200,000 | 194,679 | ||||||
FNMA, 0.375%, 8/25/25 | 25,000 | 22,869 | ||||||
FNMA, 7.125%, 1/15/30 | 150,000 | 178,830 | ||||||
FNMA, 6.625%, 11/15/30 | 125,000 | 147,121 | ||||||
FNMA, 5.625%, 7/15/37 | 200,000 | 233,057 | ||||||
Tennessee Valley Authority, 0.75%, 5/15/25 | 175,000 | 162,428 | ||||||
Tennessee Valley Authority, Series B, 4.70%, 7/15/33 | 100,000 | 103,689 | ||||||
Tennessee Valley Authority, 3.50%, 12/15/42 | 100,000 | 84,224 | ||||||
TOTAL U.S. GOVERNMENT AGENCY SECURITIES (Cost $1,582,816) | 1,548,730 | |||||||
SOVEREIGN GOVERNMENTS AND AGENCIES — 0.5% | ||||||||
Sweden — 0.5% | ||||||||
Svensk Exportkredit AB, 2.25%, 3/22/27 (Cost $188,641) | 200,000 | 186,674 | ||||||
SHORT-TERM INVESTMENTS — 12.6% | ||||||||
Money Market Funds — 1.5% | ||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 229,501 | 229,501 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio(4) | 409,513 | 409,513 | ||||||
639,014 | ||||||||
Treasury Bills(5) — 11.1% | ||||||||
U.S. Treasury Bills, 4.86%, 6/8/23 | 200,000 | 199,796 | ||||||
U.S. Treasury Bills, 4.95%, 6/13/23 | 750,000 | 748,703 | ||||||
U.S. Treasury Bills, 4.94%, 6/20/23 | 250,000 | 249,325 | ||||||
U.S. Treasury Bills, 5.57%, 6/27/23 | 450,000 | 448,360 | ||||||
U.S. Treasury Bills, 4.78%, 6/29/23 | 675,000 | 672,352 | ||||||
U.S. Treasury Bills, 5.23%, 7/5/23 | 250,000 | 248,858 | ||||||
U.S. Treasury Bills, 4.86%, 7/11/23 | 1,300,000 | 1,292,807 | ||||||
U.S. Treasury Bills, 5.05%, 7/13/23 | 250,000 | 248,523 | ||||||
U.S. Treasury Bills, 5.26%, 8/3/23 | 500,000 | 495,508 | ||||||
4,604,232 | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,243,943) | 5,243,246 | |||||||
TOTAL INVESTMENT SECURITIES — 122.1% (Cost $52,779,064) | 50,849,774 | |||||||
OTHER ASSETS AND LIABILITIES — (22.1)% | (9,195,056) | |||||||
TOTAL NET ASSETS — 100.0% | $ | 41,654,718 |
FUTURES CONTRACTS PURCHASED | ||||||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Unrealized Appreciation (Depreciation)^ | ||||||||||
U.S. Treasury Long Bonds | 6 | September 2023 | $ | 770,063 | $ | 9,751 |
CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS§ | |||||||||||||||||||||||
Reference Entity | Type‡ | Fixed Rate Received (Paid) Quarterly | Termination Date | Notional Amount | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Value^ | ||||||||||||||||
Markit CDX North America Investment Grade Index Series 38 | Sell | 1.00% | 6/20/27 | $ | 700,000 | $ | 5,261 | $ | 5,111 | $ | 10,372 |
NOTES TO SCHEDULE OF INVESTMENTS | ||||||||
AID | – | Agency for International Development | ||||||
CDX | – | Credit Derivatives Indexes | ||||||
Equivalent | – | Security whose payments are secured by the U.S. Treasury | ||||||
FHLB | – | Federal Home Loan Bank | ||||||
FNMA | – | Federal National Mortgage Association | ||||||
GNMA | – | Government National Mortgage Association | ||||||
TBA | – | To-Be-Announced. Security was purchased on a forward commitment basis with an approximate principal amount and maturity date. Actual principal amount and maturity date will be determined upon settlement. | ||||||
UMBS | – | Uniform Mortgage-Backed Securities |
Level 1 | Level 2 | Level 3 | |||||||||
Assets | |||||||||||
Investment Securities | |||||||||||
Corporate Bonds | — | $ | 25,251,835 | — | |||||||
U.S. Treasury Securities and Equivalents | — | 10,389,077 | — | ||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 8,230,212 | — | ||||||||
U.S. Government Agency Securities | — | 1,548,730 | — | ||||||||
Sovereign Governments and Agencies | — | 186,674 | — | ||||||||
Short-Term Investments | $ | 639,014 | 4,604,232 | — | |||||||
$ | 639,014 | $ | 50,210,760 | — | |||||||
Other Financial Instruments | |||||||||||
Futures Contracts | $ | 9,751 | — | — | |||||||
Swap Agreements | — | $ | 10,372 | — | |||||||
$ | 9,751 | $ | 10,372 | — |