Avantis Core Fixed Income Fund - Schedule of Investments | ||
MAY 31, 2024 (UNAUDITED) |
Principal Amount ($)/Shares | Value ($) | |||||||
CORPORATE BONDS — 61.6% | ||||||||
Aerospace and Defense — 1.5% | ||||||||
General Dynamics Corp., 3.625%, 4/1/30 | 184,000 | 171,292 | ||||||
Huntington Ingalls Industries, Inc., 3.48%, 12/1/27 | 30,000 | 28,117 | ||||||
Lockheed Martin Corp., 3.55%, 1/15/26 | 48,000 | 46,802 | ||||||
Lockheed Martin Corp., 1.85%, 6/15/30 | 175,000 | 146,018 | ||||||
Lockheed Martin Corp., 4.75%, 2/15/34 | 300,000 | 290,717 | ||||||
RTX Corp., 5.15%, 2/27/33 | 250,000 | 246,041 | ||||||
Textron, Inc., 4.00%, 3/15/26 | 30,000 | 29,244 | ||||||
958,231 | ||||||||
Air Freight and Logistics — 0.2% | ||||||||
United Parcel Service, Inc., 3.90%, 4/1/25 | 100,000 | 98,755 | ||||||
Automobiles — 0.9% | ||||||||
American Honda Finance Corp., 1.00%, 9/10/25 | 60,000 | 56,763 | ||||||
American Honda Finance Corp., 2.35%, 1/8/27 | 48,000 | 44,859 | ||||||
American Honda Finance Corp., 3.50%, 2/15/28 | 150,000 | 142,237 | ||||||
General Motors Financial Co., Inc., 4.00%, 1/15/25 | 65,000 | 64,331 | ||||||
Toyota Motor Credit Corp., 3.375%, 4/1/30 | 30,000 | 27,495 | ||||||
Toyota Motor Credit Corp., 1.65%, 1/10/31 | 38,000 | 30,648 | ||||||
Toyota Motor Credit Corp., 4.70%, 1/12/33 | 250,000 | 242,381 | ||||||
608,714 | ||||||||
Banks — 9.3% | ||||||||
African Development Bank, 0.875%, 3/23/26 | 100,000 | 92,937 | ||||||
African Development Bank, 4.375%, 11/3/27 | 200,000 | 197,678 | ||||||
Asian Development Bank, 2.375%, 8/10/27 | 16,000 | 14,907 | ||||||
Australia & New Zealand Banking Group Ltd., 5.09%, 12/8/25 | 300,000 | 299,434 | ||||||
Bank of Montreal, 5.72%, 9/25/28 | 600,000 | 611,918 | ||||||
Bank of Nova Scotia, 4.85%, 2/1/30 | 200,000 | 196,201 | ||||||
Commonwealth Bank of Australia, 5.08%, 1/10/25 | 600,000 | 598,522 | ||||||
Council of Europe Development Bank, 4.125%, 1/24/29 | 100,000 | 97,971 | ||||||
European Bank for Reconstruction & Development, 1.50%, 2/13/25 | 100,000 | 97,378 | ||||||
European Bank for Reconstruction & Development, 0.50%, 5/19/25 | 150,000 | 143,328 | ||||||
European Bank for Reconstruction & Development, 4.125%, 1/25/29 | 100,000 | 97,928 | ||||||
European Investment Bank, 4.375%, 3/19/27 | 100,000 | 99,018 | ||||||
European Investment Bank, 4.50%, 10/16/28 | 100,000 | 99,537 | ||||||
Export Development Canada, 3.875%, 2/14/28 | 300,000 | 291,594 | ||||||
HSBC USA, Inc., 5.625%, 3/17/25 | 250,000 | 250,127 | ||||||
Inter-American Development Bank, 0.625%, 7/15/25 | 150,000 | 142,621 | ||||||
Inter-American Development Bank, 3.125%, 9/18/28 | 100,000 | 94,087 | ||||||
International Bank for Reconstruction & Development, 0.375%, 7/28/25 | 150,000 | 142,003 | ||||||
Kreditanstalt fuer Wiederaufbau, 5.125%, 9/29/25 | 150,000 | 149,997 | ||||||
Kreditanstalt fuer Wiederaufbau, 3.625%, 4/1/26 | 100,000 | 97,684 | ||||||
Lloyds Banking Group PLC, 4.375%, 3/22/28 | 200,000 | 193,229 | ||||||
National Australia Bank Ltd., 5.13%, 11/22/24 | 400,000 | 399,383 | ||||||
Nordic Investment Bank, 2.625%, 4/4/25 | 200,000 | 195,599 | ||||||
Oesterreichische Kontrollbank AG, 0.375%, 9/17/25 | 100,000 | 94,121 | ||||||
Royal Bank of Canada, 6.00%, 11/1/27 | 125,000 | 128,119 | ||||||
Royal Bank of Canada, 2.30%, 11/3/31 | 200,000 | 164,769 | ||||||
Toronto-Dominion Bank, 4.46%, 6/8/32(1) | 200,000 | 188,112 | ||||||
U.S. Bank NA, 2.80%, 1/27/25 | 250,000 | 245,501 |
Wells Fargo & Co., 3.55%, 9/29/25 | 66,000 | 64,375 | ||||||
Westpac Banking Corp., 3.35%, 3/8/27 | 145,000 | 138,794 | ||||||
Westpac Banking Corp., 5.46%, 11/18/27 | 350,000 | 354,646 | ||||||
5,981,518 | ||||||||
Beverages — 1.6% | ||||||||
Anheuser-Busch InBev Finance, Inc., 4.70%, 2/1/36 | 250,000 | 236,172 | ||||||
Brown-Forman Corp., 4.75%, 4/15/33 | 500,000 | 487,139 | ||||||
Constellation Brands, Inc., 4.90%, 5/1/33 | 300,000 | 288,536 | ||||||
1,011,847 | ||||||||
Biotechnology — 1.2% | ||||||||
AbbVie, Inc., 4.55%, 3/15/35 | 500,000 | 471,306 | ||||||
Amgen, Inc., 5.60%, 3/2/43 | 250,000 | 247,761 | ||||||
Biogen, Inc., 2.25%, 5/1/30 | 78,000 | 65,693 | ||||||
784,760 | ||||||||
Broadline Retail — 0.2% | ||||||||
Amazon.com, Inc., 4.80%, 12/5/34 | 100,000 | 98,825 | ||||||
Building Products — 0.2% | ||||||||
Owens Corning, 3.875%, 6/1/30 | 150,000 | 139,582 | ||||||
Capital Markets — 2.9% | ||||||||
BlackRock, Inc., 2.10%, 2/25/32 | 75,000 | 61,059 | ||||||
Brookfield Finance I U.K. PLC/Brookfield Finance, Inc., 2.34%, 1/30/32 | 125,000 | 100,212 | ||||||
Charles Schwab Corp., 1.95%, 12/1/31 | 120,000 | 95,636 | ||||||
Franklin Resources, Inc., 2.85%, 3/30/25 | 400,000 | 391,495 | ||||||
Goldman Sachs Group, Inc., 3.50%, 4/1/25 | 200,000 | 196,564 | ||||||
Goldman Sachs Group, Inc., 3.80%, 3/15/30 | 150,000 | 139,350 | ||||||
Intercontinental Exchange, Inc., 4.35%, 6/15/29 | 100,000 | 96,674 | ||||||
Intercontinental Exchange, Inc., 2.10%, 6/15/30 | 100,000 | 84,234 | ||||||
Intercontinental Exchange, Inc., 4.60%, 3/15/33 | 100,000 | 95,255 | ||||||
Morgan Stanley, 3.875%, 1/27/26 | 150,000 | 146,365 | ||||||
Nasdaq, Inc., 5.55%, 2/15/34 | 300,000 | 299,690 | ||||||
S&P Global, Inc., 2.95%, 1/22/27 | 25,000 | 23,693 | ||||||
S&P Global, Inc., 2.45%, 3/1/27 | 173,000 | 161,234 | ||||||
1,891,461 | ||||||||
Chemicals — 1.8% | ||||||||
CF Industries, Inc., 5.15%, 3/15/34 | 138,000 | 132,068 | ||||||
Dow Chemical Co., 4.25%, 10/1/34 | 100,000 | 91,599 | ||||||
DuPont de Nemours, Inc., 5.32%, 11/15/38 | 250,000 | 251,837 | ||||||
EIDP, Inc., 2.30%, 7/15/30 | 30,000 | 25,657 | ||||||
Linde, Inc., 3.20%, 1/30/26 | 48,000 | 46,471 | ||||||
LYB International Finance III LLC, 5.625%, 5/15/33 | 150,000 | 152,459 | ||||||
Mosaic Co., 5.375%, 11/15/28 | 275,000 | 275,112 | ||||||
Mosaic Co., 5.45%, 11/15/33(1) | 60,000 | 59,282 | ||||||
RPM International, Inc., 4.55%, 3/1/29 | 64,000 | 61,714 | ||||||
Westlake Corp., 3.60%, 8/15/26 | 42,000 | 40,339 | ||||||
Westlake Corp., 3.375%, 6/15/30 | 30,000 | 26,894 | ||||||
1,163,432 | ||||||||
Commercial Services and Supplies — 0.5% | ||||||||
Waste Management, Inc., 4.875%, 2/15/34 | 300,000 | 292,906 | ||||||
Communications Equipment — 0.4% | ||||||||
Cisco Systems, Inc., 5.90%, 2/15/39 | 150,000 | 159,244 | ||||||
Motorola Solutions, Inc., 4.60%, 5/23/29 | 100,000 | 97,168 | ||||||
256,412 | ||||||||
Construction and Engineering — 0.0% | ||||||||
Quanta Services, Inc., 2.90%, 10/1/30 | 30,000 | 26,180 | ||||||
Consumer Finance — 0.4% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.625%, 10/15/27 | 250,000 | 243,043 | ||||||
Consumer Staples Distribution & Retail — 0.7% | ||||||||
Dollar Tree, Inc., 4.00%, 5/15/25 | 265,000 | 261,262 | ||||||
Dollar Tree, Inc., 4.20%, 5/15/28 | 30,000 | 28,765 | ||||||
Sysco Corp., 5.375%, 9/21/35 | 125,000 | 124,980 | ||||||
Target Corp., 2.65%, 9/15/30 | 42,000 | 36,987 | ||||||
451,994 | ||||||||
Diversified REITs — 1.9% | ||||||||
American Homes 4 Rent LP, 4.25%, 2/15/28 | 66,000 | 63,068 | ||||||
Boston Properties LP, 3.65%, 2/1/26 | 50,000 | 48,164 | ||||||
Digital Realty Trust LP, 4.45%, 7/15/28 | 300,000 | 290,028 | ||||||
ERP Operating LP, 3.25%, 8/1/27 | 90,000 | 84,871 | ||||||
Essex Portfolio LP, 4.00%, 3/1/29 | 150,000 | 140,830 | ||||||
Extra Space Storage LP, 5.70%, 4/1/28 | 300,000 | 303,355 | ||||||
Prologis LP, 2.25%, 4/15/30 | 115,000 | 98,170 | ||||||
Simon Property Group LP, 2.20%, 2/1/31 | 200,000 | 164,641 | ||||||
1,193,127 | ||||||||
Diversified Telecommunication Services — 0.9% | ||||||||
AT&T, Inc., 2.75%, 6/1/31 | 120,000 | 101,965 | ||||||
Deutsche Telekom International Finance BV, 8.75%, 6/15/30 | 200,000 | 233,322 | ||||||
Verizon Communications, Inc., 4.50%, 8/10/33 | 150,000 | 140,744 | ||||||
Verizon Communications, Inc., 5.85%, 9/15/35 | 125,000 | 129,284 | ||||||
605,315 | ||||||||
Electric Utilities — 3.7% | ||||||||
Baltimore Gas & Electric Co., 2.25%, 6/15/31 | 140,000 | 116,281 | ||||||
Berkshire Hathaway Energy Co., 4.05%, 4/15/25 | 12,000 | 11,854 | ||||||
CenterPoint Energy Houston Electric LLC, 6.95%, 3/15/33 | 120,000 | 133,238 | ||||||
DTE Electric Co., Series C, 2.625%, 3/1/31 | 66,000 | 56,358 | ||||||
Duke Energy Carolinas LLC, 6.10%, 6/1/37 | 100,000 | 103,499 | ||||||
Duke Energy Carolinas LLC, Series A, 6.00%, 12/1/28 | 30,000 | 31,085 | ||||||
Duke Energy Corp., 4.50%, 8/15/32 | 125,000 | 117,032 | ||||||
Edison International, 3.55%, 11/15/24 | 65,000 | 64,339 | ||||||
Edison International, 5.75%, 6/15/27 | 250,000 | 251,466 | ||||||
Entergy Arkansas LLC, 4.00%, 6/1/28 | 32,000 | 30,705 | ||||||
Entergy Louisiana LLC, 3.05%, 6/1/31 | 33,000 | 28,583 | ||||||
Pacific Gas & Electric Co., 6.40%, 6/15/33 | 300,000 | 311,604 | ||||||
PacifiCorp, 2.70%, 9/15/30 | 54,000 | 46,313 | ||||||
PacifiCorp, 6.25%, 10/15/37 | 150,000 | 155,026 | ||||||
PPL Electric Utilities Corp., 4.85%, 2/15/34 | 250,000 | 242,073 | ||||||
Public Service Co. of New Hampshire, 2.20%, 6/15/31 | 140,000 | 115,388 | ||||||
Public Service Electric & Gas Co., 3.00%, 5/15/27 | 36,000 | 34,034 | ||||||
Puget Energy, Inc., 4.10%, 6/15/30 | 66,000 | 60,330 | ||||||
Southern Co., 3.70%, 4/30/30 | 150,000 | 138,364 | ||||||
Union Electric Co., 2.95%, 3/15/30 | 68,000 | 60,290 | ||||||
Virginia Electric & Power Co., 5.00%, 1/15/34 | 250,000 | 241,914 | ||||||
2,349,776 | ||||||||
Electronic Equipment, Instruments and Components — 0.1% | ||||||||
Flex Ltd., 3.75%, 2/1/26 | 30,000 | 29,045 | ||||||
Trimble, Inc., 4.90%, 6/15/28 | 62,000 | 60,860 | ||||||
89,905 | ||||||||
Energy Equipment and Services — 0.7% | ||||||||
Baker Hughes Holdings LLC, 5.125%, 9/15/40 | 175,000 | 166,624 | ||||||
Baker Hughes Holdings LLC/Baker Hughes Co.-Obligor, Inc., 3.34%, 12/15/27(1) | 30,000 | 28,270 | ||||||
Halliburton Co., 2.92%, 3/1/30 | 175,000 | 155,913 |
Schlumberger Finance Canada Ltd., 1.40%, 9/17/25 | 70,000 | 66,672 | ||||||
Schlumberger Investment SA, 2.65%, 6/26/30 | 66,000 | 57,818 | ||||||
475,297 | ||||||||
Financial Services — 1.4% | ||||||||
Corebridge Financial, Inc., 5.75%, 1/15/34 | 250,000 | 251,729 | ||||||
Global Payments, Inc., 4.95%, 8/15/27 | 100,000 | 98,719 | ||||||
Global Payments, Inc., 4.45%, 6/1/28 | 100,000 | 96,287 | ||||||
Visa, Inc., 4.15%, 12/14/35 | 500,000 | 465,421 | ||||||
912,156 | ||||||||
Food Products — 0.8% | ||||||||
Archer-Daniels-Midland Co., 3.25%, 3/27/30 | 66,000 | 59,748 | ||||||
Bunge Ltd. Finance Corp., 3.25%, 8/15/26 | 73,000 | 69,649 | ||||||
Bunge Ltd. Finance Corp., 2.75%, 5/14/31 | 100,000 | 85,119 | ||||||
Campbell Soup Co., 4.15%, 3/15/28 | 64,000 | 61,731 | ||||||
Conagra Brands, Inc., 4.85%, 11/1/28 | 75,000 | 73,361 | ||||||
General Mills, Inc., 4.95%, 3/29/33 | 200,000 | 194,326 | ||||||
543,934 | ||||||||
Gas Utilities — 0.0% | ||||||||
Southern California Gas Co., 2.55%, 2/1/30 | 35,000 | 30,389 | ||||||
Ground Transportation — 1.6% | ||||||||
Canadian National Railway Co., 6.375%, 11/15/37 | 200,000 | 218,377 | ||||||
CSX Corp., 6.15%, 5/1/37 | 75,000 | 80,321 | ||||||
Ryder System, Inc., 5.25%, 6/1/28 | 50,000 | 50,121 | ||||||
Ryder System, Inc., 6.60%, 12/1/33 | 250,000 | 266,521 | ||||||
Union Pacific Corp., 3.25%, 1/15/25 | 250,000 | 246,589 | ||||||
Union Pacific Corp., 3.70%, 3/1/29 | 200,000 | 189,605 | ||||||
1,051,534 | ||||||||
Health Care Equipment and Supplies — 0.5% | ||||||||
DH Europe Finance II SARL, 2.20%, 11/15/24 | 250,000 | 246,452 | ||||||
Edwards Lifesciences Corp., 4.30%, 6/15/28 | 26,000 | 25,075 | ||||||
Medtronic, Inc., 4.375%, 3/15/35 | 30,000 | 28,059 | ||||||
299,586 | ||||||||
Health Care Providers and Services — 2.2% | ||||||||
Adventist Health System, 2.95%, 3/1/29 | 67,000 | 59,932 | ||||||
Aetna, Inc., 3.50%, 11/15/24 | 200,000 | 198,010 | ||||||
Cardinal Health, Inc., 3.08%, 6/15/24 | 30,000 | 29,969 | ||||||
Cigna Group, 5.40%, 3/15/33 | 100,000 | 99,928 | ||||||
CVS Health Corp., 5.25%, 2/21/33 | 50,000 | 48,623 | ||||||
Elevance Health, Inc., 3.35%, 12/1/24 | 300,000 | 296,705 | ||||||
HCA, Inc., 3.625%, 3/15/32 | 200,000 | 174,848 | ||||||
HCA, Inc., 5.50%, 6/1/33 | 250,000 | 247,326 | ||||||
Humana, Inc., 2.15%, 2/3/32 | 200,000 | 158,364 | ||||||
UnitedHealth Group, Inc., 5.35%, 2/15/33 | 80,000 | 80,812 | ||||||
1,394,517 | ||||||||
Health Care REITs — 0.1% | ||||||||
Alexandria Real Estate Equities, Inc., 3.375%, 8/15/31 | 50,000 | 43,944 | ||||||
Hotels, Restaurants and Leisure — 1.1% | ||||||||
Expedia Group, Inc., 3.80%, 2/15/28 | 325,000 | 307,818 | ||||||
Hyatt Hotels Corp., 5.375%, 4/23/25 | 300,000 | 299,014 | ||||||
Marriott International, Inc., 4.625%, 6/15/30 | 75,000 | 72,289 | ||||||
679,121 | ||||||||
Household Durables — 0.4% | ||||||||
Lennar Corp., 4.75%, 5/30/25 | 250,000 | 247,880 | ||||||
Industrial Conglomerates — 1.6% | ||||||||
3M Co., 3.375%, 3/1/29 | 100,000 | 92,206 | ||||||
3M Co., 5.70%, 3/15/37(1) | 18,000 | 18,594 | ||||||
Eaton Corp., 4.15%, 3/15/33 | 400,000 | 373,230 | ||||||
Honeywell International, Inc., 1.75%, 9/1/31 | 50,000 | 40,364 | ||||||
Honeywell International, Inc., 4.50%, 1/15/34 | 500,000 | 477,236 | ||||||
Honeywell International, Inc., 5.70%, 3/15/36 | 24,000 | 25,059 | ||||||
1,026,689 | ||||||||
Insurance — 1.7% | ||||||||
Aflac, Inc., 3.60%, 4/1/30 | 75,000 | 69,193 | ||||||
Chubb INA Holdings LLC, 1.375%, 9/15/30 | 36,000 | 29,187 | ||||||
Chubb INA Holdings LLC, 6.70%, 5/15/36 | 75,000 | 84,299 | ||||||
Hartford Financial Services Group, Inc., 2.80%, 8/19/29 | 50,000 | 44,482 | ||||||
Marsh & McLennan Cos., Inc., 3.50%, 3/10/25 | 200,000 | 197,059 | ||||||
MetLife, Inc., 4.55%, 3/23/30 | 165,000 | 161,422 | ||||||
Prudential Funding Asia PLC, 3.625%, 3/24/32 | 250,000 | 223,215 | ||||||
Willis North America, Inc., 4.50%, 9/15/28 | 300,000 | 290,120 | ||||||
1,098,977 | ||||||||
IT Services — 0.4% | ||||||||
International Business Machines Corp., 3.50%, 5/15/29 | 100,000 | 93,036 | ||||||
VeriSign, Inc., 2.70%, 6/15/31 | 200,000 | 166,101 | ||||||
259,137 | ||||||||
Leisure Products — 0.1% | ||||||||
Hasbro, Inc., 3.50%, 9/15/27 | 67,000 | 62,917 | ||||||
Life Sciences Tools and Services — 0.8% | ||||||||
Thermo Fisher Scientific, Inc., 5.20%, 1/31/34 | 500,000 | 501,334 | ||||||
Machinery — 1.8% | ||||||||
Caterpillar Financial Services Corp., 1.10%, 9/14/27 | 30,000 | 26,610 | ||||||
Cummins, Inc., 5.15%, 2/20/34 | 250,000 | 249,621 | ||||||
Ingersoll Rand, Inc., 5.70%, 8/14/33 | 250,000 | 254,943 | ||||||
Otis Worldwide Corp., 2.57%, 2/15/30 | 150,000 | 130,681 | ||||||
PACCAR Financial Corp., 4.95%, 10/3/25 | 300,000 | 298,859 | ||||||
Stanley Black & Decker, Inc., 6.00%, 3/6/28 | 200,000 | 206,094 | ||||||
1,166,808 | ||||||||
Media — 0.7% | ||||||||
Comcast Corp., 4.25%, 10/15/30 | 210,000 | 199,968 | ||||||
Fox Corp., 3.05%, 4/7/25 | 130,000 | 127,209 | ||||||
Fox Corp., 5.48%, 1/25/39 | 150,000 | 142,008 | ||||||
469,185 | ||||||||
Metals and Mining — 0.7% | ||||||||
ArcelorMittal SA, 6.80%, 11/29/32 | 100,000 | 106,611 | ||||||
Barrick Gold Corp., 6.45%, 10/15/35 | 100,000 | 106,878 | ||||||
BHP Billiton Finance USA Ltd., 5.25%, 9/8/33 | 125,000 | 124,356 | ||||||
Kinross Gold Corp., 4.50%, 7/15/27 | 42,000 | 40,800 | ||||||
Steel Dynamics, Inc., 3.25%, 1/15/31 | 100,000 | 88,321 | ||||||
466,966 | ||||||||
Multi-Utilities — 0.5% | ||||||||
Consumers Energy Co., 4.625%, 5/15/33 | 200,000 | 191,061 | ||||||
Dominion Energy, Inc., 5.95%, 6/15/35 | 100,000 | 101,461 | ||||||
San Diego Gas & Electric Co., 1.70%, 10/1/30 | 37,000 | 30,009 | ||||||
322,531 | ||||||||
Oil, Gas and Consumable Fuels — 5.6% | ||||||||
Boardwalk Pipelines LP, 4.80%, 5/3/29 | 50,000 | 48,719 | ||||||
BP Capital Markets America, Inc., 3.12%, 5/4/26 | 200,000 | 192,535 | ||||||
BP Capital Markets America, Inc., 4.89%, 9/11/33 | 260,000 | 252,542 |
Burlington Resources LLC, 7.40%, 12/1/31 | 18,000 | 20,444 | ||||||
Canadian Natural Resources Ltd., 5.85%, 2/1/35 | 110,000 | 109,616 | ||||||
Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/27 | 63,000 | 62,509 | ||||||
Chevron Corp., 1.55%, 5/11/25 | 42,000 | 40,558 | ||||||
Chevron USA, Inc., 6.00%, 3/1/41 | 248,000 | 266,204 | ||||||
ConocoPhillips Co., 2.40%, 3/7/25 | 200,000 | 195,485 | ||||||
ConocoPhillips Co., 6.95%, 4/15/29 | 200,000 | 216,700 | ||||||
Devon Energy Corp., 4.50%, 1/15/30 | 133,000 | 127,389 | ||||||
Diamondback Energy, Inc., 6.25%, 3/15/33 | 175,000 | 182,881 | ||||||
Enbridge, Inc., 3.125%, 11/15/29 | 42,000 | 37,820 | ||||||
Energy Transfer LP, 5.25%, 4/15/29 | 200,000 | 198,941 | ||||||
Enterprise Products Operating LLC, 3.70%, 2/15/26 | 18,000 | 17,552 | ||||||
Enterprise Products Operating LLC, 4.85%, 1/31/34(1) | 300,000 | 290,594 | ||||||
EOG Resources, Inc., 4.15%, 1/15/26 | 200,000 | 196,714 | ||||||
EQT Corp., 6.125%, 2/1/25 | 250,000 | 250,417 | ||||||
Equinor ASA, 1.75%, 1/22/26 | 70,000 | 66,303 | ||||||
Exxon Mobil Corp., 2.44%, 8/16/29 | 54,000 | 48,060 | ||||||
Hess Corp., 5.60%, 2/15/41 | 150,000 | 149,724 | ||||||
Kinder Morgan, Inc., 5.30%, 12/1/34 | 18,000 | 17,443 | ||||||
Marathon Oil Corp., 6.60%, 10/1/37 | 100,000 | 108,103 | ||||||
Marathon Petroleum Corp., 4.70%, 5/1/25 | 24,000 | 23,788 | ||||||
MPLX LP, 2.65%, 8/15/30 | 30,000 | 25,637 | ||||||
ONEOK, Inc., 6.35%, 1/15/31 | 35,000 | 36,537 | ||||||
ONEOK, Inc., 6.00%, 6/15/35 | 60,000 | 60,876 | ||||||
Pioneer Natural Resources Co., 1.90%, 8/15/30 | 30,000 | 25,083 | ||||||
Plains All American Pipeline LP/PAA Finance Corp., 4.65%, 10/15/25 | 150,000 | 148,212 | ||||||
Sabine Pass Liquefaction LLC, 4.50%, 5/15/30 | 68,000 | 64,978 | ||||||
Shell International Finance BV, 3.25%, 5/11/25 | 18,000 | 17,663 | ||||||
Shell International Finance BV, 4.125%, 5/11/35 | 12,000 | 10,978 | ||||||
Valero Energy Corp., 6.625%, 6/15/37 | 30,000 | 32,065 | ||||||
Valero Energy Partners LP, 4.50%, 3/15/28 | 26,000 | 25,296 | ||||||
Williams Cos., Inc., 4.00%, 9/15/25 | 18,000 | 17,647 | ||||||
3,586,013 | ||||||||
Passenger Airlines — 0.2% | ||||||||
Southwest Airlines Co., 5.125%, 6/15/27 | 102,000 | 101,383 | ||||||
Southwest Airlines Co., 2.625%, 2/10/30 | 37,000 | 31,762 | ||||||
133,145 | ||||||||
Personal Care Products — 0.8% | ||||||||
Estee Lauder Cos., Inc., 1.95%, 3/15/31(1) | 57,000 | 46,590 | ||||||
Estee Lauder Cos., Inc., 4.65%, 5/15/33 | 300,000 | 289,933 | ||||||
Estee Lauder Cos., Inc., 5.00%, 2/14/34 | 200,000 | 195,368 | ||||||
531,891 | ||||||||
Pharmaceuticals — 2.6% | ||||||||
Astrazeneca Finance LLC, 2.25%, 5/28/31 | 50,000 | 42,038 | ||||||
AstraZeneca PLC, 0.70%, 4/8/26 | 140,000 | 129,176 | ||||||
AstraZeneca PLC, 6.45%, 9/15/37 | 225,000 | 249,668 | ||||||
Bristol-Myers Squibb Co., 2.95%, 3/15/32 | 225,000 | 193,109 | ||||||
Bristol-Myers Squibb Co., 5.20%, 2/22/34 | 200,000 | 198,783 | ||||||
GlaxoSmithKline Capital, Inc., 6.375%, 5/15/38 | 236,000 | 260,730 | ||||||
Johnson & Johnson, 0.55%, 9/1/25 | 24,000 | 22,711 | ||||||
Merck & Co., Inc., 2.15%, 12/10/31 | 200,000 | 165,329 | ||||||
Pfizer Investment Enterprises Pte. Ltd., 4.65%, 5/19/30 | 150,000 | 146,780 | ||||||
Royalty Pharma PLC, 2.20%, 9/2/30 | 73,000 | 60,416 | ||||||
Wyeth LLC, 5.95%, 4/1/37 | 200,000 | 210,051 | ||||||
1,678,791 | ||||||||
Residential REITs — 0.6% | ||||||||
AvalonBay Communities, Inc., 3.30%, 6/1/29 | 75,000 | 68,656 | ||||||
Camden Property Trust, 3.15%, 7/1/29 | 85,000 | 76,864 | ||||||
UDR, Inc., 3.20%, 1/15/30 | 264,000 | 236,619 | ||||||
382,139 | ||||||||
Retail REITs — 0.3% | ||||||||
Kimco Realty OP LLC, 4.60%, 2/1/33 | 175,000 | 163,500 | ||||||
Realty Income Corp., 3.65%, 1/15/28 | 36,000 | 34,176 | ||||||
197,676 | ||||||||
Semiconductors and Semiconductor Equipment — 2.4% | ||||||||
Applied Materials, Inc., 5.10%, 10/1/35 | 150,000 | 151,622 | ||||||
Broadcom, Inc., 4.30%, 11/15/32 | 110,000 | 101,950 | ||||||
Broadcom, Inc., 3.47%, 4/15/34(2) | 90,000 | 75,892 | ||||||
Intel Corp., 3.90%, 3/25/30 | 60,000 | 56,075 | ||||||
Intel Corp., 5.20%, 2/10/33(1) | 250,000 | 248,066 | ||||||
Lam Research Corp., 4.00%, 3/15/29 | 125,000 | 119,783 | ||||||
Marvell Technology, Inc., 2.45%, 4/15/28 | 150,000 | 134,822 | ||||||
Micron Technology, Inc., 4.66%, 2/15/30 | 150,000 | 144,854 | ||||||
NXP BV/NXP Funding LLC, 5.55%, 12/1/28 | 24,000 | 24,198 | ||||||
NXP BV/NXP Funding LLC/NXP USA, Inc., 5.00%, 1/15/33 | 120,000 | 116,537 | ||||||
Texas Instruments, Inc., 4.90%, 3/14/33 | 400,000 | 397,367 | ||||||
1,571,166 | ||||||||
Software — 0.7% | ||||||||
Autodesk, Inc., 2.85%, 1/15/30 | 150,000 | 132,617 | ||||||
Oracle Corp., 3.25%, 5/15/30 | 75,000 | 67,574 | ||||||
Oracle Corp., 6.50%, 4/15/38 | 125,000 | 133,515 | ||||||
Roper Technologies, Inc., 1.40%, 9/15/27 | 73,000 | 64,627 | ||||||
Salesforce, Inc., 1.95%, 7/15/31 | 50,000 | 40,933 | ||||||
439,266 | ||||||||
Specialized REITs — 0.8% | ||||||||
American Tower Corp., 3.60%, 1/15/28 | 66,000 | 62,047 | ||||||
American Tower Corp., 2.90%, 1/15/30 | 100,000 | 87,744 | ||||||
Crown Castle, Inc., 5.60%, 6/1/29 | 150,000 | 150,998 | ||||||
Crown Castle, Inc., 3.30%, 7/1/30 | 150,000 | 132,738 | ||||||
Equinix, Inc., 2.00%, 5/15/28 | 125,000 | 109,978 | ||||||
543,505 | ||||||||
Specialty Retail — 0.9% | ||||||||
AutoZone, Inc., 4.00%, 4/15/30 | 150,000 | 140,645 | ||||||
Home Depot, Inc., 2.70%, 4/15/30 | 150,000 | 132,397 | ||||||
Home Depot, Inc., 5.875%, 12/16/36 | 250,000 | 262,899 | ||||||
TJX Cos., Inc., 1.15%, 5/15/28 | 30,000 | 26,037 | ||||||
561,978 | ||||||||
Technology Hardware, Storage and Peripherals — 0.3% | ||||||||
Apple, Inc., 1.65%, 5/11/30 | 48,000 | 40,182 | ||||||
Dell International LLC/EMC Corp., 5.75%, 2/1/33 | 150,000 | 153,648 | ||||||
193,830 | ||||||||
Textiles, Apparel and Luxury Goods — 0.2% | ||||||||
NIKE, Inc., 2.85%, 3/27/30 | 150,000 | 134,409 | ||||||
Transportation Infrastructure — 0.1% | ||||||||
FedEx Corp. Pass-Through Trust, Series 2020-1, Class AA, 1.875%, 8/20/35 | 59,338 | 48,890 | ||||||
Wireless Telecommunication Services — 0.6% | ||||||||
T-Mobile USA, Inc., 3.875%, 4/15/30 | 100,000 | 92,975 | ||||||
T-Mobile USA, Inc., 5.20%, 1/15/33 | 80,000 | 78,773 |
Vodafone Group PLC, 6.15%, 2/27/37 | 180,000 | 188,100 | ||||||
359,848 | ||||||||
TOTAL CORPORATE BONDS (Cost $40,879,941) | 39,661,232 | |||||||
U.S. TREASURY SECURITIES — 24.9% | ||||||||
U.S. Treasury Bonds, 6.125%, 11/15/27 | 250,000 | 262,300 | ||||||
U.S. Treasury Bonds, 1.125%, 8/15/40 | 1,150,000 | 690,090 | ||||||
U.S. Treasury Bonds, 1.375%, 11/15/40 | 2,450,000 | 1,527,151 | ||||||
U.S. Treasury Bonds, 2.25%, 5/15/41 | 1,000,000 | 715,156 | ||||||
U.S. Treasury Bonds, 1.75%, 8/15/41 | 400,000 | 261,016 | ||||||
U.S. Treasury Bonds, 2.375%, 2/15/42 | 525,000 | 377,682 | ||||||
U.S. Treasury Bonds, 3.00%, 5/15/42 | 500,000 | 396,367 | ||||||
U.S. Treasury Bonds, 2.75%, 8/15/42 | 650,000 | 493,873 | ||||||
U.S. Treasury Bonds, 2.75%, 11/15/42 | 1,015,000 | 768,545 | ||||||
U.S. Treasury Bonds, 3.125%, 2/15/43 | 900,000 | 721,125 | ||||||
U.S. Treasury Bonds, 2.875%, 5/15/43 | 850,000 | 653,006 | ||||||
U.S. Treasury Bonds, 3.625%, 8/15/43 | 700,000 | 601,836 | ||||||
U.S. Treasury Bonds, 3.75%, 11/15/43 | 300,000 | 262,336 | ||||||
U.S. Treasury Bonds, 3.375%, 5/15/44 | 850,000 | 700,254 | ||||||
U.S. Treasury Notes, 0.375%, 8/15/24 | 375,000 | 371,287 | ||||||
U.S. Treasury Notes, 0.625%, 10/15/24 | 600,000 | 589,727 | ||||||
U.S. Treasury Notes, 0.75%, 11/15/24 | 350,000 | 342,950 | ||||||
U.S. Treasury Notes, 1.50%, 11/30/24 | 575,000 | 564,249 | ||||||
U.S. Treasury Notes, 1.75%, 12/31/24 | 370,000 | 362,570 | ||||||
U.S. Treasury Notes, 2.25%, 12/31/24 | 200,000 | 196,570 | ||||||
U.S. Treasury Notes, 1.375%, 1/31/25 | 950,000 | 926,187 | ||||||
U.S. Treasury Notes, 2.50%, 1/31/25 | 355,000 | 348,608 | ||||||
U.S. Treasury Notes, 1.50%, 2/15/25(3) | 1,280,000 | 1,246,705 | ||||||
U.S. Treasury Notes, 2.00%, 2/15/25 | 500,000 | 488,737 | ||||||
U.S. Treasury Notes, 0.50%, 3/31/25 | 200,000 | 192,484 | ||||||
U.S. Treasury Notes, 0.375%, 1/31/26 | 355,000 | 329,242 | ||||||
U.S. Treasury Notes, 1.50%, 8/15/26 | 135,000 | 125,756 | ||||||
U.S. Treasury Notes, 4.625%, 10/15/26 | 300,000 | 298,963 | ||||||
U.S. Treasury Notes, 2.25%, 8/15/27 | 125,000 | 116,192 | ||||||
U.S. Treasury Notes, 1.25%, 3/31/28 | 250,000 | 221,006 | ||||||
U.S. Treasury Notes, 3.75%, 6/30/30 | 175,000 | 167,962 | ||||||
U.S. Treasury Notes, 2.75%, 8/15/32 | 300,000 | 264,287 | ||||||
U.S. Treasury Notes, 3.875%, 8/15/33 | 350,000 | 333,614 | ||||||
U.S. Treasury Notes, 4.375%, 5/15/34 | 100,000 | 99,117 | ||||||
TOTAL U.S. TREASURY SECURITIES (Cost $16,518,449) | 16,016,950 | |||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 19.5% | ||||||||
Fixed-Rate U.S. Government Agency Mortgage-Backed Securities — 19.5% | ||||||||
GNMA, 4.00% TBA | 1,250,000 | 1,149,160 | ||||||
GNMA, 4.00% TBA | 250,000 | 229,978 | ||||||
GNMA, 5.00% TBA | 1,150,000 | 1,116,280 | ||||||
GNMA, 5.50% TBA | 1,050,000 | 1,041,686 | ||||||
GNMA, 6.00% TBA | 750,000 | 754,709 | ||||||
GNMA, 5.50% TBA | 250,000 | 247,767 | ||||||
UMBS, 2.00% TBA | 350,000 | 305,777 | ||||||
UMBS, 2.00% TBA | 150,000 | 131,212 | ||||||
UMBS, 3.00% TBA | 1,150,000 | 967,157 | ||||||
UMBS, 3.00% TBA | 650,000 | 547,060 | ||||||
UMBS, 3.00% TBA | 550,000 | 505,846 | ||||||
UMBS, 3.00% TBA | 200,000 | 184,116 |
UMBS, 4.00% TBA | 1,250,000 | 1,134,511 | ||||||
UMBS, 4.00% TBA | 900,000 | 817,164 | ||||||
UMBS, 4.00% TBA | 450,000 | 431,506 | ||||||
UMBS, 4.50% TBA | 600,000 | 585,300 | ||||||
UMBS, 5.00% TBA | 1,050,000 | 1,010,647 | ||||||
UMBS, 5.00% TBA | 300,000 | 288,710 | ||||||
UMBS, 5.50% TBA | 600,000 | 590,361 | ||||||
UMBS, 5.50% TBA | 200,000 | 196,740 | ||||||
UMBS, 6.00% TBA | 300,000 | 300,459 | ||||||
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $12,521,273) | 12,536,146 | |||||||
U.S. GOVERNMENT AGENCY SECURITIES — 1.3% | ||||||||
Federal Farm Credit Banks Funding Corp., 3.30%, 8/15/24 | 77,000 | 76,647 | ||||||
FHLB, 3.25%, 11/16/28 | 200,000 | 189,939 | ||||||
FHLMC, 0.65%, 10/27/25 | 200,000 | 188,289 | ||||||
FNMA, 0.375%, 8/25/25 | 25,000 | 23,610 | ||||||
Tennessee Valley Authority, 0.75%, 5/15/25 | 175,000 | 167,817 | ||||||
Tennessee Valley Authority, 3.875%, 3/15/28 | 100,000 | 97,336 | ||||||
Tennessee Valley Authority, 3.50%, 12/15/42 | 100,000 | 81,721 | ||||||
TOTAL U.S. GOVERNMENT AGENCY SECURITIES (Cost $851,885) | 825,359 | |||||||
SOVEREIGN GOVERNMENTS AND AGENCIES — 0.7% | ||||||||
Japan — 0.4% | ||||||||
Japan Bank for International Cooperation, 1.75%, 10/17/24 | 250,000 | 246,429 | ||||||
Sweden — 0.3% | ||||||||
Svensk Exportkredit AB, 2.25%, 3/22/27 | 200,000 | 186,348 | ||||||
TOTAL SOVEREIGN GOVERNMENTS AND AGENCIES (Cost $437,893) | 432,777 | |||||||
SHORT-TERM INVESTMENTS — 12.6% | ||||||||
Money Market Funds — 2.4% | ||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 810,036 | 810,036 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio(4) | 726,128 | 726,128 | ||||||
1,536,164 | ||||||||
Treasury Bills(5) — 10.2% | ||||||||
U.S. Treasury Bills, 5.41%, 7/11/24 | 500,000 | 497,221 | ||||||
U.S. Treasury Bills, 5.44%, 7/25/24 | 750,000 | 744,285 | ||||||
U.S. Treasury Bills, 5.44%, 8/1/24 | 250,000 | 247,849 | ||||||
U.S. Treasury Bills, 5.42%, 8/6/24 | 1,700,000 | 1,684,133 | ||||||
U.S. Treasury Bills, 5.41%, 8/22/24 | 1,000,000 | 988,378 | ||||||
U.S. Treasury Bills, 5.43%, 8/27/24 | 1,000,000 | 990,111 | ||||||
U.S. Treasury Bills, 5.41%, 9/10/24 | 500,000 | 492,829 | ||||||
U.S. Treasury Bills, 5.42%, 8/8/24 | 700,000 | 693,275 | ||||||
U.S. Treasury Bills, 4.60%, 10/1/24 | 250,000 | 245,676 | ||||||
6,583,757 | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $8,118,139) | 8,119,921 | |||||||
TOTAL INVESTMENT SECURITIES — 120.6% (Cost $79,327,580) | 77,592,385 | |||||||
OTHER ASSETS AND LIABILITIES — (20.6)% | (13,257,953) | |||||||
TOTAL NET ASSETS — 100.0% | $ | 64,334,432 |
FUTURES CONTRACTS SOLD | ||||||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Unrealized Appreciation (Depreciation)^ | ||||||||||
U.S. Treasury 10-Year Ultra Notes | 4 | September 2024 | $ | 448,125 | $ | 1,570 |
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 42 | Sell | 1.00% | 6/20/29 | $ | 1,400,000 | $ | 30,382 | $ | 3,931 | $ | 34,313 |
NOTES TO SCHEDULE OF INVESTMENTS | ||||||||
CDX | – | Credit Derivatives Indexes | ||||||
FHLB | – | Federal Home Loan Bank | ||||||
FHLMC | – | Federal Home Loan Mortgage Corp. | ||||||
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 | — | $ | 39,661,232 | — | |||||||
U.S. Treasury Securities | — | 16,016,950 | — | ||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 12,536,146 | — | ||||||||
U.S. Government Agency Securities | — | 825,359 | — | ||||||||
Sovereign Governments and Agencies | — | 432,777 | — | ||||||||
Short-Term Investments | $ | 1,536,164 | 6,583,757 | — | |||||||
$ | 1,536,164 | $ | 76,056,221 | — | |||||||
Other Financial Instruments | |||||||||||
Futures Contracts | $ | 1,570 | — | — | |||||||
Swap Agreements | — | $ | 34,313 | — | |||||||
$ | 1,570 | $ | 34,313 | — |