Country | Shares | Value | |||
Common Stocks 95.2% | |||||
Biotechnology 77.8% | |||||
a,b | 89bio Inc. | United States | 94,800 | $2,533,056 | |
a | Acadia Pharmaceuticals Inc. | United States | 294,600 | 11,766,324 | |
a | Alector Inc. | United States | 367,000 | 10,253,980 | |
a | Alexion Pharmaceuticals Inc. | United States | 314,100 | 31,218,399 | |
a | Allogene Therapeutics Inc. | United States | 326,797 | 7,098,031 | |
a | Alnylam Pharmaceuticals Inc. | United States | 52,300 | 6,003,517 | |
Amgen Inc. | United States | 351,500 | 75,941,575 | ||
a | Amicus Therapeutics Inc. | United States | 556,000 | 4,915,040 | |
a | Applied Therapeutics Inc | United States | 189,413 | 9,938,500 | |
a | Argenx SE, ADR | Netherlands | 186,125 | 26,855,976 | |
a | Ascendis Pharma AS, ADR | Denmark | 211,600 | 28,587,160 | |
a | Assembly Biosciences Inc. | United States | 291,300 | 5,115,228 | |
a,b | Aurinia Pharmaceuticals Inc. | Canada | 536,900 | 9,825,270 | |
a,b | Autolus Therapeutics PLC, ADR | United Kingdom | 232,430 | 2,282,463 | |
a | Biogen Inc. | United States | 189,261 | 50,882,820 | |
a | BioMarin Pharmaceutical Inc. | United States | 142,456 | 11,895,076 | |
a | Black Diamond Therapeutics Inc. | United States | 127,800 | 4,792,500 | |
a | Bluebird Bio Inc. | United States | 30,900 | 2,462,421 | |
a | Blueprint Medicines Corp. | United States | 42,600 | 2,702,970 | |
a | Bridgebio Pharma Inc. | United States | 118,800 | 4,097,412 | |
a | Constellation Pharmaceuticals Inc. | United States | 161,800 | 5,345,872 | |
a | CRISPR Therapeutics AG | Switzerland | 166,314 | 8,640,012 | |
a | Cytokinetics Inc. | United States | 110,900 | 1,364,070 | |
a | Deciphera Pharmaceuticals Inc. | United States | 694,854 | 43,518,706 | |
a | Fate Therapeutics Inc. | United States | 616,393 | 15,631,727 | |
Gilead Sciences Inc. | United States | 1,042,000 | 65,854,400 | ||
a | Global Blood Therapeutics Inc. | United States | 304,100 | 19,845,566 | |
a | Gossamer Bio Inc. | United States | 242,900 | 3,225,712 | |
a | Heron Therapeutics Inc. | United States | 1,609,277 | 33,569,518 | |
a | Homology Medicines Inc. | United States | 138,400 | 2,165,960 | |
a | Immunomedics Inc. | United States | 762,000 | 14,150,340 | |
a | Insmed Inc. | United States | 404,000 | 8,298,160 | |
a,c,d | Intarcia Therapeutics Inc., DD | United States | 80,195 | 610,926 | |
a | Ionis Pharmaceuticals Inc. | United States | 102,400 | 5,971,968 | |
a | Iovance Biotherapeutics Inc. | United States | 1,477,701 | 32,125,220 | |
a | KalVista Pharmaceuticals Inc. | United States | 99,100 | 1,516,230 | |
a | Kezar Life Sciences Inc. | United States | 853,550 | 2,620,399 | |
a,b | LogicBio Therapeutics Inc. | United States | 280,700 | 2,770,509 | |
a | Minerva Neurosciences Inc. | United States | 492,400 | 4,003,212 | |
a | Mirati Therapeutics Inc. | United States | 156,251 | 13,567,274 | |
a | MorphoSys AG, ADR | Germany | 248,700 | 7,881,303 | |
a | Neurocrine Biosciences Inc. | United States | 326,800 | 32,706,144 | |
a | Pfenex Inc. | United States | 870,884 | 9,335,876 | |
a | Precision BioSciences Inc. | United States | 377,397 | 3,053,142 | |
a,e | Precision BioSciences Inc., 144A | United States | 73,892 | 597,786 | |
a | Principia Biopharma Inc. | United States | 64,400 | 3,390,660 | |
a | PTC Therapeutics Inc. | United States | 789,700 | 40,669,550 |
Country | Shares | Value | |||
Common Stocks (continued) | |||||
Biotechnology (continued) | |||||
a | Regeneron Pharmaceuticals Inc. | United States | 128,009 | $43,259,361 | |
a | REGENXBIO Inc. | United States | 123,076 | 5,357,498 | |
a | Rocket Pharmaceuticals Inc. | United States | 153,771 | 3,149,230 | |
a | Sage Therapeutics Inc. | United States | 144,470 | 9,575,472 | |
a | Sarepta Therapeutics Inc. | United States | 65,400 | 7,583,784 | |
a | SpringWorks Therapeutics Inc. | United States | 76,800 | 2,417,664 | |
a | Ultragenyx Pharmaceutical Inc. | United States | 162,100 | 8,518,355 | |
a | uniQure NV | Netherlands | 182,800 | 10,521,968 | |
a | Vertex Pharmaceuticals Inc. | United States | 353,900 | 80,352,995 | |
a,b | Viela Bio Inc. | United States | 151,600 | 5,965,460 | |
a | Xencor Inc. | United States | 157,332 | 5,339,848 | |
a | Zymeworks Inc. | Canada | 209,220 | 9,130,361 | |
882,769,956 | |||||
Life Sciences Tools & Services 4.5% | |||||
a | Illumina Inc. | United States | 176,000 | 51,052,320 | |
Pharmaceuticals 12.9% | |||||
a,b | Aerie Pharmaceuticals Inc. | United States | 505,400 | 10,350,592 | |
a | Arvinas Inc. | United States | 47,700 | 2,311,542 | |
a,b | Cara Therapeutics Inc. | United States | 227,000 | 3,654,700 | |
a | Collegium Pharmaceutical Inc. | United States | 392,050 | 7,886,086 | |
a | Cymabay Therapeutics Inc. | United States | 438,356 | 675,068 | |
a | GW Pharmaceuticals PLC, ADR | United Kingdom | 384,400 | 44,409,732 | |
a | Odonate Therapeutics Inc. | United States | 309,782 | 9,045,634 | |
a | Optinose Inc. | United States | 507,900 | 3,976,857 | |
a | Reata Pharmaceuticals Inc. | United States | 177,400 | 38,813,346 | |
a,b | Relmada Therapeutics Inc. | United States | 91,266 | 4,047,647 | |
a | Revance Therapeutics Inc. | United States | 647,300 | 14,480,101 | |
a,b | TherapeuticsMD Inc. | United States | 2,847,040 | 6,405,840 | |
a | Trevi Therapeutics Inc. | United States | 223,709 | 1,114,071 | |
147,171,216 | |||||
Total Common Stocks (Cost $618,023,746) | 1,080,993,492 | ||||
Preferred Stocks (Cost $2,821,056) 0.3% | |||||
Biotechnology 0.3% | |||||
a,c,d | Metacrine Inc., pfd., C | United States | 1,330,687 | 2,821,056 | |
Escrows and Litigation Trusts (Cost $2,090,611) 0.1% | |||||
a,c | True North Therapeutics Inc., Escrow Account | United States | 759,880 | 936,544 | |
Total Investments before Short Term Investments (Cost $622,935,413) | 1,084,751,092 | ||||
Short Term Investments 7.3% | |||||
Money Market Funds (Cost $50,790,829) 4.5% | |||||
f,g | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | United States | 50,790,829 | 50,790,829 |
Country | Shares | Value | |||
Short Term Investments (continued) | |||||
Investments from Cash Collateral Received for Loaned Securities 2.8% | |||||
Money Market Funds (Cost $32,426,535) 2.8% | |||||
f,g | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | United States | 32,426,535 | $32,426,535 | |
Total Investments (Cost $706,152,777) 102.9% | 1,167,968,456 | ||||
Other Assets, less Liabilities (2.9)% | (32,895,161) | ||||
Net Assets 100.0% | $1,135,073,295 |
aNon-income producing. |
bA portion or all of the security is on loan at January 31, 2020. |
cFair valued using significant unobservable inputs. See Note 11 regarding fair value measurements. |
dSee Note 6 regarding restricted securities. |
eSecurity was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under the Securities Act of 1933. At January 31, 2020, the value of this security was $597,786, representing less than 0.1% of net assets. |
fSee Note 8 regarding investments in affiliated management investment companies. |
gThe rate shown is the annualized seven-day effective yield at period end. |
Country | Shares | Value | |||
Common Stocks 97.1% | |||||
Communication Services 6.5% | |||||
a | Alphabet Inc., C | United States | 97,216 | $139,430,103 | |
a | Facebook Inc., A | United States | 151,743 | 30,638,429 | |
a | Liberty Broadband Corp., C | United States | 346,818 | 46,102,517 | |
The Walt Disney Co. | United States | 425,225 | 58,812,870 | ||
274,983,919 | |||||
Consumer Discretionary 10.4% | |||||
a | Amazon.com Inc. | United States | 154,624 | 310,596,321 | |
Aptiv PLC | United States | 295,903 | 25,089,615 | ||
a | Chipotle Mexican Grill Inc. | United States | 25,751 | 22,319,937 | |
Levi Strauss & Co., A | United States | 833,386 | 16,367,701 | ||
NIKE Inc., B | United States | 199,306 | 19,193,168 | ||
a,b | Peloton Interactive Inc., A | United States | 663,400 | 21,467,624 | |
a | Under Armour Inc., A | United States | 1,165,850 | 23,526,853 | |
438,561,219 | |||||
Consumer Staples 3.0% | |||||
Constellation Brands Inc., A | United States | 167,865 | 31,608,979 | ||
Lamb Weston Holdings Inc. | United States | 558,234 | 50,972,347 | ||
a | Monster Beverage Corp. | United States | 352,068 | 23,447,729 | |
a | Nomad Foods Ltd. | United Kingdom | 959,344 | 19,359,562 | |
125,388,617 | |||||
Energy 0.4% | |||||
Diamondback Energy Inc. | United States | 225,705 | 16,792,452 | ||
Financials 6.3% | |||||
The Charles Schwab Corp. | United States | 714,275 | 32,535,226 | ||
Intercontinental Exchange Inc. | United States | 521,651 | 52,029,471 | ||
MarketAxess Holdings Inc. | United States | 105,804 | 37,473,661 | ||
MSCI Inc. | United States | 279,833 | 79,976,271 | ||
S&P Global Inc. | United States | 227,424 | 66,801,252 | ||
268,815,881 | |||||
Health Care 15.4% | |||||
AstraZeneca PLC, ADR | United Kingdom | 310,659 | 15,129,093 | ||
a | Deciphera Pharmaceuticals Inc. | United States | 268,895 | 16,840,894 | |
a | Edwards Lifesciences Corp. | United States | 280,122 | 61,587,623 | |
a | Elanco Animal Health Inc. | United States | 373,022 | 11,526,380 | |
a | Guardant Health Inc. | United States | 259,017 | 19,695,653 | |
a | GW Pharmaceuticals PLC, ADR | United Kingdom | 298,788 | 34,518,978 | |
a | Heron Therapeutics Inc. | United States | 2,500,782 | 52,166,312 | |
a | IDEXX Laboratories Inc. | United States | 104,759 | 28,390,737 | |
a | Illumina Inc. | United States | 101,824 | 29,536,088 | |
a | Intuitive Surgical Inc. | United States | 69,742 | 39,040,177 | |
a | Nevro Corp. | United States | 492,387 | 65,443,156 | |
a | PTC Therapeutics Inc. | United States | 582,961 | 30,022,491 | |
a | Reata Pharmaceuticals Inc. | United States | 135,829 | 29,718,027 | |
a | Sage Therapeutics Inc. | United States | 140,396 | 9,305,447 | |
UnitedHealth Group Inc. | United States | 309,579 | 84,344,798 |
Country | Shares | Value | |||
Common Stocks (continued) | |||||
Health Care (continued) | |||||
a | Veeva Systems Inc. | United States | 396,044 | $58,064,011 | |
West Pharmaceutical Services Inc. | United States | 419,011 | 65,344,765 | ||
650,674,630 | |||||
Industrials 10.9% | |||||
The Boeing Co. | United States | 74,133 | 23,594,310 | ||
a | CoStar Group Inc. | United States | 168,692 | 110,154,189 | |
Honeywell International Inc. | United States | 220,100 | 38,125,722 | ||
a | IHS Markit Ltd. | United States | 636,224 | 50,172,625 | |
Raytheon Co. | United States | 201,632 | 44,548,574 | ||
Roper Technologies Inc. | United States | 128,568 | 49,069,263 | ||
Stanley Black & Decker Inc. | United States | 127,420 | 20,301,828 | ||
TransUnion | United States | 239,903 | 21,999,105 | ||
Union Pacific Corp. | United States | 44,630 | 8,007,515 | ||
a | Univar Solutions Inc. | United States | 950,507 | 20,483,426 | |
Verisk Analytics Inc. | United States | 475,500 | 77,254,485 | ||
463,711,042 | |||||
Information Technology 40.4% | |||||
a | Adobe Inc. | United States | 266,362 | 93,530,353 | |
Analog Devices Inc. | United States | 266,301 | 29,226,535 | ||
Apple Inc. | United States | 441,508 | 136,651,141 | ||
a | Autodesk Inc. | United States | 119,419 | 23,507,630 | |
a | Bill.Com Holdings Inc. | United States | 30,900 | 1,554,888 | |
a,c | Bill.Com Holdings Inc. | United States | 812,499 | 38,532,367 | |
a | Black Knight Inc. | United States | 328,967 | 22,014,472 | |
a | CloudFlare Inc., A | United States | 465,253 | 8,309,419 | |
a | Fiserv Inc. | United States | 326,248 | 38,696,275 | |
a | Guidewire Software Inc. | United States | 62,745 | 7,058,813 | |
a | InterXion Holding NV | Netherlands | 495,448 | 43,118,839 | |
Intuit Inc. | United States | 73,846 | 20,704,942 | ||
a,c,d | LegalZoom.com Inc. | United States | 1,673,284 | 20,077,696 | |
Mastercard Inc., A | United States | 758,815 | 239,740,011 | ||
Microsoft Corp. | United States | 1,566,958 | 266,743,260 | ||
Monolithic Power Systems | United States | 238,216 | 40,775,433 | ||
NVIDIA Corp. | United States | 172,870 | 40,871,654 | ||
a | PayPal Holdings Inc. | United States | 422,534 | 48,122,397 | |
a | PTC Inc. | United States | 417,558 | 34,707,421 | |
a | salesforce.com Inc. | United States | 258,798 | 47,181,463 | |
a | ServiceNow Inc. | United States | 384,532 | 130,060,258 | |
a | Synopsys Inc. | United States | 71,815 | 10,593,431 | |
a | Twilio Inc., A | United States | 385,850 | 47,976,589 | |
a | Tyler Technologies Inc. | United States | 97,251 | 31,478,204 | |
Visa Inc., A | United States | 927,459 | 184,536,517 | ||
a | Workday Inc., A | United States | 230,968 | 42,643,622 | |
Xilinx Inc. | United States | 223,375 | 18,870,720 | ||
a | Zendesk Inc. | United States | 522,791 | 45,169,142 | |
1,712,453,492 |
Country | Shares | Value | |||
Common Stocks (continued) | |||||
Materials 0.3% | |||||
a | Ingevity Corp. | United States | 211,907 | $13,820,575 | |
Real Estate 3.5% | |||||
American Tower Corp. | United States | 129,305 | 29,965,141 | ||
SBA Communications Corp., A | United States | 472,242 | 117,852,713 | ||
147,817,854 | |||||
Total Common Stocks (Cost $1,834,756,092) | 4,113,019,681 | ||||
Preferred Stocks 3.1% | |||||
Communication Services 0.1% | |||||
a,c,d | Tanium Inc., pfd., G | United States | 805,800 | 6,139,941 | |
Consumer Discretionary 1.8% | |||||
a,c,d | ClearMotion Inc., pfd., C | United States | 2,610,594 | 8,855,696 | |
a,c,d | ClearMotion Inc., pfd., D | United States | 3,698,772 | 13,244,903 | |
a,c,d | Proterra Inc., pfd., 5, 144A | United States | 2,362,202 | 20,867,451 | |
a,c,d | Proterra Inc., pfd., 6, 144A | United States | 596,775 | 5,271,849 | |
a,c,d | Proterra Inc., pfd., 7 | United States | 780,667 | 6,896,333 | |
a,c,d | Proterra Inc., pfd., 8 | United States | 289,016 | 2,553,138 | |
a,c,d | Sweetgreen Inc., pfd., H | United States | 928,488 | 14,822,377 | |
a,c,d | Sweetgreen Inc., pfd., I | United States | 100,835 | 1,784,123 | |
74,295,870 | |||||
Health Care 0.3% | |||||
a,c,d | Tempus Labs Inc., pfd., F | United States | 504,854 | 12,499,983 | |
Industrials 0.8% | |||||
a,c,d | Optoro Inc., pfd., E | United States | 509,182 | 14,022,397 | |
a,c,d | Wheels Up Partners LLC, pfd., D | United States | 5,028,735 | 19,102,384 | |
33,124,781 | |||||
Information Technology 0.1% | |||||
a,c,d | GitLab Inc., pfd., E | United States | 201,294 | 3,749,987 | |
Total Preferred Stocks (Cost $99,396,671) | 129,810,562 | ||||
Total Investments before Short Term Investments (Cost $1,934,152,763) | 4,242,830,243 | ||||
Short Term Investments 0.5% | |||||
Money Market Funds (Cost $22,801) 0.0%† | |||||
e,f | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | United States | 22,801 | 22,801 |
Country | Shares | Value | |||
Short Term Investments (continued) | |||||
Investments from Cash Collateral Received for Loaned Securities (Cost $20,791,095) 0.5% | |||||
Money Market Funds 0.5% | |||||
e,f | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | United States | 20,791,095 | $20,791,095 | |
Total Investments (Cost $1,954,966,659) 100.7% | 4,263,644,139 | ||||
Other Assets, less Liabilities (0.7)% | (29,001,123) | ||||
Net Assets 100.0% | $4,234,643,016 |
†Rounds to less than 0.1% of net assets. |
aNon-income producing. |
bA portion or all of the security is on loan at January 31, 2020. |
cFair valued using significant unobservable inputs. See Note 11 regarding fair value measurements. |
dSee Note 6 regarding restricted securities. |
eSee Note 8 regarding investments in affiliated management investment companies. |
fThe rate shown is the annualized seven-day effective yield at period end. |
Country | Shares | Value | |||
Common Stocks 97.6% | |||||
Copper 4.5% | |||||
Antofagasta PLC | United Kingdom | 344,500 | $3,732,394 | ||
First Quantum Minerals Ltd. | Zambia | 138,300 | 1,082,575 | ||
Freeport-McMoRan Inc. | United States | 302,700 | 3,359,970 | ||
a | Imperial Metals Corp. | Canada | 364,500 | 531,534 | |
Lundin Mining Corp. | Chile | 380,000 | 1,992,595 | ||
10,699,068 | |||||
Diversified Chemicals 0.9% | |||||
BASF SE | Germany | 31,100 | 2,099,336 | ||
Diversified Metals & Mining 7.9% | |||||
Anglo American PLC | United Kingdom | 103,100 | 2,689,690 | ||
BHP Group PLC, ADR | United Kingdom | 116,000 | 5,037,880 | ||
Glencore PLC | Switzerland | 1,335,900 | 3,906,078 | ||
a,b | Nautilus Minerals Inc. | Canada | 3,895,831 | — | |
Rio Tinto PLC, ADR | Australia | 52,300 | 2,794,389 | ||
South32 Ltd. | Australia | 742,000 | 1,273,100 | ||
Teck Resources Ltd., B | Canada | 237,600 | 3,067,416 | ||
18,768,553 | |||||
Fertilizers & Agricultural Chemicals 1.0% | |||||
Corteva Inc. | United States | 38,800 | 1,122,096 | ||
Nutrien Ltd. | Canada | 28,400 | 1,212,396 | ||
2,334,492 | |||||
Gold 6.6% | |||||
Agnico Eagle Mines Ltd. | Canada | 35,300 | 2,181,745 | ||
Alamos Gold Inc., A | Canada | 337,000 | 2,126,143 | ||
B2Gold Corp. | Canada | 568,900 | 2,463,013 | ||
Barrick Gold Corp. | Canada | 156,691 | 2,901,917 | ||
a | Guyana Goldfields Inc. | Canada | 1,122,300 | 602,065 | |
Newcrest Mining Ltd. | Australia | 84,000 | 1,681,557 | ||
Newmont Corp. | United States | 64,615 | 2,911,552 | ||
OceanaGold Corp. | Australia | 329,810 | 690,271 | ||
15,558,263 | |||||
Integrated Oil & Gas 14.2% | |||||
Chevron Corp. | United States | 65,200 | 6,985,528 | ||
Exxon Mobil Corp. | United States | 56,600 | 3,515,992 | ||
Occidental Petroleum Corp. | United States | 210,700 | 8,369,004 | ||
Royal Dutch Shell PLC, A, ADR | United Kingdom | 111,021 | 5,789,745 | ||
Suncor Energy Inc. | Canada | 215,200 | 6,577,136 | ||
Total SA, B, ADR | France | 48,610 | 2,361,960 | ||
33,599,365 | |||||
Oil & Gas Drilling 1.5% | |||||
Helmerich & Payne Inc. | United States | 25,700 | 1,042,135 | ||
Patterson-UTI Energy Inc. | United States | 324,500 | 2,576,530 | ||
3,618,665 |
Country | Shares | Value | |||
Common Stocks (continued) | |||||
Oil & Gas Equipment & Services 15.7% | |||||
a | Apergy Corp. | United States | 32,900 | $850,794 | |
Baker Hughes Co., A | United States | 219,300 | 4,750,038 | ||
Cactus Inc. | United States | 39,800 | 1,147,036 | ||
a | Dril-Quip Inc. | United States | 27,100 | 1,108,390 | |
Halliburton Co. | United States | 217,435 | 4,742,257 | ||
Liberty Oilfield Services Inc., A | United States | 265,400 | 2,250,592 | ||
a | NexTier Oilfield Solutions Inc. | United States | 157,460 | 810,919 | |
a | Nine Energy Service Inc. | United States | 194,650 | 942,106 | |
a | Oceaneering International Inc. | United States | 143,900 | 1,785,799 | |
a | Oil States International Inc. | United States | 176,766 | 1,905,538 | |
a | ProPetro Holding Corp. | United States | 47,500 | 462,650 | |
a | Ranger Energy Services Inc. | United States | 154,157 | 1,079,099 | |
Schlumberger Ltd. | United States | 211,047 | 7,072,185 | ||
Schoeller-Bleckmann Oilfield Equipment AG | Austria | 27,500 | 1,268,868 | ||
a | Select Energy Services Inc. | United States | 251,500 | 1,750,440 | |
a | Superior Energy Services Inc. | United States | 78,610 | 411,916 | |
TechnipFMC PLC | United Kingdom | 285,100 | 4,707,001 | ||
37,045,628 | |||||
Oil & Gas Exploration & Production 29.8% | |||||
Cabot Oil & Gas Corp., A | United States | 412,400 | 5,810,716 | ||
a | Cairn Energy PLC | United Kingdom | 1,014,093 | 2,264,687 | |
a | Callon Petroleum Co. | United States | 1,078,400 | 3,235,200 | |
Canadian Natural Resources Ltd. | Canada | 203,300 | 5,717,284 | ||
Concho Resources Inc. | United States | 120,200 | 9,108,756 | ||
ConocoPhillips | United States | 135,392 | 8,046,347 | ||
Diamondback Energy Inc. | United States | 103,400 | 7,692,960 | ||
EOG Resources Inc. | United States | 111,600 | 8,136,756 | ||
Hess Corp. | United States | 39,100 | 2,211,887 | ||
Noble Energy Inc. | United States | 292,200 | 5,776,794 | ||
Parsley Energy Inc., A | United States | 152,210 | 2,532,774 | ||
Pioneer Natural Resources Co. | United States | 49,224 | 6,645,240 | ||
a | WPX Energy Inc. | United States | 259,300 | 3,098,635 | |
70,278,036 | |||||
Oil & Gas Refining & Marketing 5.1% | |||||
Marathon Petroleum Corp. | United States | 89,000 | 4,850,500 | ||
Phillips 66 | United States | 39,200 | 3,581,704 | ||
Valero Energy Corp. | United States | 42,500 | 3,583,175 | ||
12,015,379 | |||||
Oil & Gas Storage & Transportation 7.5% | |||||
Enbridge Inc. | Canada | 55,447 | 2,255,030 | ||
Kinder Morgan Inc. | United States | 117,100 | 2,443,877 | ||
ONEOK Inc. | United States | 34,500 | 2,583,015 | ||
Targa Resources Corp. | United States | 118,600 | 4,328,900 | ||
TC Energy Corp. | Canada | 53,000 | 2,905,460 | ||
The Williams Cos. Inc. | United States | 152,400 | 3,153,156 | ||
17,669,438 |
Country | Shares | Value | |||
Common Stocks (continued) | |||||
Paper Packaging 0.6% | |||||
Packaging Corp. of America | United States | 15,200 | $1,455,400 | ||
Pharmaceuticals 0.3% | |||||
a | Elanco Animal Health Inc. | United States | 25,800 | 797,220 | |
Specialty Chemicals 1.4% | |||||
Albemarle Corp. | United States | 31,000 | 2,488,680 | ||
DuPont de Nemours Inc. | United States | 16,700 | 854,706 | ||
3,343,386 | |||||
Trading Companies & Distributors 0.6% | |||||
a | Univar Solutions Inc. | United States | 61,300 | 1,321,015 | |
Total Common Stocks (Cost $235,916,275) | 230,603,244 | ||||
Short Term Investments (Cost $6,654,410) 2.8% | |||||
Money Market Funds 2.8% | |||||
c,d | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | United States | 6,654,410 | 6,654,410 | |
Total Investments (Cost $242,570,685) 100.4% | 237,257,654 | ||||
Other Assets, less Liabilities (0.4)% | (1,052,462) | ||||
Net Assets 100.0% | $236,205,192 |
aNon-income producing. |
bFair valued using significant unobservable inputs. See Note 11 regarding fair value measurements. |
cSee Note 8 regarding investments in affiliated management investment companies. |
dThe rate shown is the annualized seven-day effective yield at period end. |
Country | Shares | Value | |||
Common Stocks 98.7% | |||||
Communication Services 6.0% | |||||
a | Alphabet Inc., A | United States | 2,720 | $3,897,161 | |
The Walt Disney Co. | United States | 17,770 | 2,457,769 | ||
6,354,930 | |||||
Consumer Discretionary 10.6% | |||||
a | Alibaba Group Holding Ltd., ADR | China | 13,010 | 2,687,736 | |
a | Amazon.com Inc. | United States | 2,390 | 4,800,841 | |
Aptiv PLC | United States | 14,860 | 1,259,979 | ||
NIKE Inc., B | United States | 25,320 | 2,438,316 | ||
11,186,872 | |||||
Consumer Staples 6.5% | |||||
Constellation Brands Inc., A | United States | 7,600 | 1,431,080 | ||
Estee Lauder Cos. Inc., A | United States | 8,820 | 1,721,311 | ||
Lamb Weston Holdings Inc. | United States | 22,780 | 2,080,042 | ||
a | Monster Beverage Corp. | United States | 24,100 | 1,605,060 | |
6,837,493 | |||||
Energy 1.4% | |||||
Cabot Oil & Gas Corp., A | United States | 57,470 | 809,752 | ||
Concho Resources Inc. | United States | 9,000 | 682,020 | ||
1,491,772 | |||||
Financials 9.6% | |||||
BlackRock Inc. | United States | 5,070 | 2,673,665 | ||
The Charles Schwab Corp. | United States | 49,860 | 2,271,123 | ||
Intercontinental Exchange Inc. | United States | 25,060 | 2,499,484 | ||
S&P Global Inc. | United States | 9,180 | 2,696,441 | ||
10,140,713 | |||||
Health Care 15.1% | |||||
a | ABIOMED Inc. | United States | 4,110 | 765,652 | |
AstraZeneca PLC, ADR | United Kingdom | 51,130 | 2,490,031 | ||
a | Illumina Inc. | United States | 5,260 | 1,525,768 | |
a | Mettler-Toledo International Inc. | United States | 3,120 | 2,362,402 | |
Stryker Corp. | United States | 10,390 | 2,189,173 | ||
Teleflex Inc. | United States | 6,750 | 2,507,692 | ||
UnitedHealth Group Inc. | United States | 9,100 | 2,479,295 | ||
a | Waters Corp. | United States | 7,110 | 1,591,147 | |
15,911,160 | |||||
Industrials 10.1% | |||||
BWX Technologies Inc. | United States | 21,710 | 1,380,539 | ||
Fortive Corp. | United States | 28,230 | 2,115,274 | ||
Raytheon Co. | United States | 10,990 | 2,428,131 | ||
Republic Services Inc. | United States | 20,300 | 1,929,515 | ||
Verisk Analytics Inc. | United States | 16,990 | 2,760,365 | ||
10,613,824 |
Country | Shares | Value | |||
Common Stocks (continued) | |||||
Information Technology 31.4% | |||||
a | Adyen NV | Netherlands | 363 | $334,578 | |
Amphenol Corp., A | United States | 15,640 | 1,555,711 | ||
Analog Devices Inc. | United States | 26,400 | 2,897,400 | ||
Apple Inc. | United States | 9,970 | 3,085,815 | ||
Applied Materials Inc. | United States | 45,630 | 2,646,084 | ||
Cognex Corp. | United States | 27,230 | 1,387,913 | ||
a | InterXion Holding NV | Netherlands | 29,540 | 2,570,866 | |
Mastercard Inc., A | United States | 11,460 | 3,620,672 | ||
Microsoft Corp. | United States | 29,830 | 5,077,961 | ||
NVIDIA Corp. | United States | 9,040 | 2,137,327 | ||
a | salesforce.com Inc. | United States | 13,680 | 2,494,001 | |
a | ServiceNow Inc. | United States | 9,880 | 3,341,712 | |
a | Tyler Technologies Inc. | United States | 6,220 | 2,013,290 | |
33,163,330 | |||||
Materials 2.3% | |||||
Ecolab Inc. | United States | 12,060 | 2,365,087 | ||
Real Estate 2.4% | |||||
SBA Communications Corp., A | United States | 10,230 | 2,552,999 | ||
Utilities 3.3% | |||||
NextEra Energy Inc. | United States | 13,110 | 3,516,102 | ||
Total Common Stocks (Cost $73,131,934) | 104,134,282 | ||||
Short Term Investments (Cost $1,490,059) 1.4% | |||||
Money Market Funds 1.4% | |||||
b,c | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | United States | 1,490,059 | 1,490,059 | |
Total Investments (Cost $74,621,993) 100.1% | 105,624,341 | ||||
Other Assets, less Liabilities (0.1)% | (78,642) | ||||
Net Assets 100.0% | $105,545,699 |
aNon-income producing. |
bSee Note 8 regarding investments in affiliated management investment companies. |
cThe rate shown is the annualized seven-day effective yield at period end. |
Country | Shares | Value | |||
Common Stocks 93.3% | |||||
Communication Services 1.1% | |||||
a | IMAX Corp. | United States | 680,200 | $11,250,508 | |
a | Yelp Inc. | United States | 543,600 | 17,721,360 | |
28,971,868 | |||||
Consumer Discretionary 14.3% | |||||
American Eagle Outfitters Inc. | United States | 1,516,200 | 21,833,280 | ||
a | Boot Barn Holdings Inc. | United States | 578,860 | 24,294,754 | |
Dave & Buster’s Entertainment Inc. | United States | 536,500 | 23,691,840 | ||
a,b,c | DraftKings Inc. | United States | 9,905,685 | 40,522,741 | |
a | Five Below Inc. | United States | 229,000 | 25,927,380 | |
a | Grand Canyon Education Inc. | United States | 212,900 | 16,665,812 | |
Lithia Motors Inc. | United States | 145,300 | 19,708,492 | ||
a | M/I Homes Inc. | United States | 861,376 | 38,236,481 | |
a,b | Peloton Interactive Inc., B | United States | 1,038,769 | 32,628,249 | |
a,d | The RealReal Inc. | United States | 751,100 | 10,868,417 | |
a,d | Revolve Group Inc. | United States | 535,600 | 9,528,324 | |
a | RH | United States | 127,300 | 26,573,875 | |
a,e | Sportsman’s Warehouse Holdings Inc. | United States | 2,356,100 | 15,267,528 | |
Steven Madden Ltd. | United States | 826,350 | 31,864,056 | ||
a | TRI Pointe Group Inc. | United States | 971,300 | 15,793,338 | |
Wingstop Inc. | United States | 451,229 | 41,860,514 | ||
395,265,081 | |||||
Consumer Staples 3.1% | |||||
a | BellRing Brands Inc., A | United States | 290,500 | 6,286,420 | |
a | Grocery Outlet Holding Corp. | United States | 728,900 | 23,864,186 | |
a | Hostess Brands Inc., A | United States | 1,007,600 | 13,521,992 | |
a | Nomad Foods Ltd. | United Kingdom | 937,100 | 18,910,678 | |
a | The Simply Good Foods Co. | United States | 1,050,600 | 24,132,282 | |
86,715,558 | |||||
Energy 0.9% | |||||
a | Callon Petroleum Co. | United States | 3,755,900 | 11,267,700 | |
Liberty Oilfield Services Inc., A | United States | 1,620,100 | 13,738,448 | ||
25,006,148 | |||||
Financials 6.4% | |||||
Evercore Inc. | United States | 180,800 | 13,852,896 | ||
FGL Holdings., A | United States | 435,200 | 4,199,680 | ||
Houlihan Lokey Inc. | United States | 566,400 | 29,367,840 | ||
a | Metropolitan Bank Holding Corp. | United States | 318,661 | 15,662,188 | |
Pinnacle Financial Partners Inc. | United States | 586,304 | 34,627,114 | ||
a | PRA Group Inc. | United States | 506,500 | 17,909,840 | |
TCF Financial Corp. | United States | 653,223 | 27,618,269 | ||
Western Alliance Bancorp | United States | 623,400 | 34,430,382 | ||
177,668,209 |
Country | Shares | Value | |||
Common Stocks (continued) | |||||
Health Care 23.1% | |||||
a | Argenx SE, ADR | Netherlands | 83,700 | $12,077,073 | |
a | Ascendis Pharma AS, ADR | Denmark | 178,900 | 24,169,390 | |
a | Collegium Pharmaceutical Inc. | United States | 698,800 | 14,056,362 | |
a | Deciphera Pharmaceuticals Inc. | United States | 564,600 | 35,360,898 | |
a | Dermira Inc. | United States | 147,100 | 2,787,545 | |
a | Emergent BioSolutions Inc. | United States | 382,600 | 21,077,434 | |
a | Global Blood Therapeutics Inc. | United States | 311,800 | 20,348,068 | |
a | GW Pharmaceuticals PLC, ADR | United Kingdom | 282,600 | 32,648,778 | |
a | HealthEquity Inc. | United States | 341,116 | 22,534,123 | |
a | Heron Therapeutics Inc. | United States | 1,366,308 | 28,501,185 | |
a | Inspire Medical Systems Inc. | United States | 323,744 | 24,216,051 | |
a | Integer Holdings Corp. | United States | 369,000 | 31,512,600 | |
a | Iovance Biotherapeutics Inc. | United States | 1,060,500 | 23,055,270 | |
a | iRhythm Technologies Inc. | United States | 391,097 | 33,489,636 | |
a,d | Livongo Health Inc. | United States | 816,785 | 19,733,526 | |
a | Neogen Corp. | United States | 267,266 | 17,978,984 | |
a | NeoGenomics Inc. | United States | 1,062,300 | 34,237,929 | |
a | Neuronetics Inc. | United States | 267,005 | 969,228 | |
a | Nevro Corp. | United States | 247,500 | 32,895,225 | |
a | Odonate Therapeutics Inc. | United States | 383,200 | 11,189,440 | |
a | Penumbra Inc. | United States | 175,200 | 30,740,592 | |
a | Pfenex Inc. | United States | 1,097,731 | 11,767,676 | |
a | Phreesia Inc. | United States | 418,282 | 12,966,742 | |
a | PTC Therapeutics Inc. | United States | 812,100 | 41,823,150 | |
a | Reata Pharmaceuticals Inc. | United States | 136,974 | 29,968,541 | |
a | Revance Therapeutics Inc. | United States | 1,138,292 | 25,463,592 | |
a | Sage Therapeutics Inc. | United States | 12,577 | 833,604 | |
a,d | TherapeuticsMD Inc. | United States | 1,783,100 | 4,011,975 | |
a | Tivity Health Inc. | United States | 1,690,778 | 36,596,890 | |
637,011,507 | |||||
Industrials 17.5% | |||||
Allegiant Travel Co. | United States | 266,248 | 44,740,314 | ||
Altra Industrial Motion Corp. | United States | 233,185 | 7,755,733 | ||
Arcosa Inc. | United States | 518,500 | 22,684,375 | ||
a | Axon Enterprise Inc. | United States | 351,300 | 26,983,353 | |
a | Beacon Roofing Supply Inc. | United States | 878,200 | 29,077,202 | |
BWX Technologies Inc. | United States | 431,200 | 27,420,008 | ||
Cubic Corp. | United States | 666,800 | 43,535,372 | ||
Granite Construction Inc. | United States | 1,049,543 | 28,474,101 | ||
Healthcare Services Group Inc. | United States | 817,200 | 20,920,320 | ||
Kennametal Inc. | United States | 1,203,400 | 37,654,386 | ||
a | Kratos Defence & Security Solutions Inc. | United States | 605,564 | 11,106,044 | |
Lindsay Corp. | United States | 139,421 | 13,946,283 | ||
a | Mercury Systems Inc. | United States | 533,016 | 40,908,978 | |
a | SAIA Inc. | United States | 249,924 | 21,768,380 | |
a | Spirit Airlines Inc. | United States | 930,300 | 38,207,421 | |
a | Univar Solutions Inc. | United States | 1,664,832 | 35,877,130 |
Country | Shares | Value | |||
Common Stocks (continued) | |||||
Industrials (continued) | |||||
US Ecology Inc. | United States | 588,246 | $31,771,166 | ||
482,830,566 | |||||
Information Technology 24.9% | |||||
a | Alteryx Inc. | United States | 356,100 | 49,665,267 | |
a | Bill.Com Holdings Inc. | United States | 234,300 | 11,789,976 | |
a | CloudFlare Inc., A | United States | 1,405,400 | 25,100,444 | |
a | Envestnet Inc. | United States | 405,722 | 31,999,294 | |
a | Hubspot Inc. | United States | 183,529 | 33,207,737 | |
a | InterXion Holding NV | Netherlands | 390,795 | 34,010,889 | |
a | Lattice Semiconductor Corp. | United States | 1,898,700 | 35,315,820 | |
a,b,c | LegalZoom.com Inc. | United States | 1,431,280 | 17,173,896 | |
ManTech International Corp., A | United States | 334,500 | 26,853,660 | ||
Monolithic Power Systems | United States | 156,900 | 26,856,573 | ||
a | Onto Innovation Inc. | United States | 1,053,800 | 39,981,172 | |
a | Pagerduty Inc. | United States | 652,200 | 15,209,304 | |
a | Paylocity Holding Corp. | United States | 268,532 | 38,102,005 | |
a | Pluralsight Inc., A | United States | 1,134,200 | 21,992,138 | |
a | Pure Storage Inc., A | United States | 597,300 | 10,631,940 | |
a | Q2 Holdings Inc. | United States | 350,400 | 30,551,376 | |
a | Repay Holdings Corp. | United States | 910,300 | 15,393,173 | |
a | Semtech Corp. | United States | 527,000 | 25,396,130 | |
a | Silicon Laboratories Inc. | United States | 311,100 | 30,584,241 | |
a | USA Technologies Inc. | United States | 1,220,200 | 11,042,810 | |
a | ViaSat Inc. | United States | 546,283 | 34,770,913 | |
a | Viavi Solutions Inc. | United States | 1,920,800 | 27,083,280 | |
a | Wix.com Ltd. | Israel | 215,500 | 30,749,695 | |
a | Zendesk Inc. | United States | 350,914 | 30,318,970 | |
a | Zscaler Inc. | United States | 628,500 | 35,252,565 | |
689,033,268 | |||||
Materials 1.0% | |||||
a | Ingevity Corp. | United States | 429,329 | 28,000,837 | |
Real Estate 1.0% | |||||
Coresite Realty Corp. | United States | 244,600 | 28,728,270 | ||
Total Common Stocks (Cost $1,825,772,402) | 2,579,231,312 | ||||
Preferred Stocks 4.3% | |||||
Consumer Discretionary 2.7% | |||||
a,b,c | ClearMotion Inc., pfd., D | United States | 3,698,772 | 13,244,903 | |
a,b,c | Proterra Inc., pfd., 5, 144A | United States | 1,787,047 | 15,786,591 | |
a,b,c | Proterra Inc., pfd., 6, 144A | United States | 1,310,834 | 11,579,774 | |
a,b,c | Proterra Inc., pfd., 7 | United States | 536,367 | 4,738,211 | |
a,b,c | Rent the Runway Inc., pfd. | United States | 596,471 | 14,293,965 | |
a,b,c | Sweetgreen Inc., pfd., H | United States | 383,435 | 6,121,154 | |
a,b,c | Sweetgreen Inc., pfd., I | United States | 41,641 | 736,775 | |
a,b,c | Tula eTechnology Inc. | United States | 361,111 | — |
Country | Shares | Value | |||
Preferred Stocks (continued) | |||||
Consumer Discretionary (continued) | |||||
a,b,c | Tula Technology Inc., E | United States | 3,611,111 | $7,573,637 | |
74,075,010 | |||||
Industrials 1.1% | |||||
a,b,c | Optoro Inc., pfd., E | United States | 508,130 | 13,993,426 | |
a,b,c | Wheels Up Partners LLC, pfd., D | United States | 4,310,344 | 16,373,471 | |
30,366,897 | |||||
Information Technology 0.5% | |||||
a,b,c | Smule Inc., pfd., G, 144A | United States | 1,542,673 | 10,322,756 | |
a,b,c | Smule Inc., pfd., H, 144A | United States | 352,675 | 2,783,979 | |
13,106,735 | |||||
Total Preferred Stocks (Cost $94,407,763) | 117,548,642 | ||||
Total Investments before Short Term Investments (Cost $1,920,180,165) | 2,696,779,954 | ||||
Short Term Investments 4.1% | |||||
Money Market Funds (Cost $76,907,160) 2.8% | |||||
f,g | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | United States | 76,907,160 | 76,907,160 | |
Investments from Cash Collateral Received for Loaned Securities (Cost $35,347,221) 1.3% | |||||
Money Market Funds 1.3% | |||||
f,g | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | United States | 35,347,221 | 35,347,221 | |
Total Investments (Cost $2,032,434,546) 101.7% | 2,809,034,335 | ||||
Other Assets, less Liabilities (1.7)% | (45,643,508) | ||||
Net Assets 100.0% | $2,763,390,827 |
aNon-income producing. |
bFair valued using significant unobservable inputs. See Note 11 regarding fair value measurements. |
cSee Note 6 regarding restricted securities. |
dA portion or all of the security is on loan at January 31, 2020. |
eSee Note 7 regarding holdings of 5% voting securities. |
fSee Note 8 regarding investments in affiliated management investment companies. |
gThe rate shown is the annualized seven-day effective yield at period end. |
Shares/Warrants | Value | |||
Common Stocks and Other Equity Interests 96.0% | ||||
Communication Services 3.4% | ||||
a | IAC/InterActiveCorp | 226,000 | $55,051,340 | |
a | Pinterest Inc., A | 1,405,000 | 30,952,150 | |
a | Spotify Technology SA | 159,500 | 22,537,350 | |
a | Zynga Inc. | 1,520,000 | 9,150,400 | |
117,691,240 | ||||
Consumer Discretionary 16.6% | ||||
Aptiv PLC | 205,000 | 17,381,950 | ||
a | Burlington Stores Inc. | 218,000 | 47,408,460 | |
a | Chipotle Mexican Grill Inc. | 50,300 | 43,598,028 | |
Domino’s Pizza Inc. | 87,000 | 24,512,250 | ||
a,b,c | DraftKings Inc. | 7,974,537 | 32,622,691 | |
Expedia Group Inc. | 357,000 | 38,716,650 | ||
a | Five Below Inc. | 249,500 | 28,248,390 | |
a | Grand Canyon Education Inc. | 108,000 | 8,454,240 | |
Levi Strauss & Co., A | 1,200,000 | 23,568,000 | ||
MGM Resorts International | 1,073,000 | 33,327,380 | ||
a | NVR Inc. | 7,350 | 28,054,729 | |
a | O’Reilly Automotive Inc. | 89,000 | 36,142,900 | |
a,d | Peloton Interactive Inc., A | 650,000 | 21,034,000 | |
a,d | Revolve Group Inc. | 505,000 | 8,983,950 | |
a | RH | 81,000 | 16,908,750 | |
Tractor Supply Co. | 478,500 | 44,476,575 | ||
a | Ulta Beauty Inc. | 144,000 | 38,579,040 | |
a | Under Armour Inc., A | 875,500 | 17,667,590 | |
Vail Resorts Inc. | 185,000 | 43,384,350 | ||
Wingstop Inc. | 300,000 | 27,831,000 | ||
580,900,923 | ||||
Consumer Staples 2.2% | ||||
a | BellRing Brands Inc., A | 439,800 | 9,517,272 | |
Church & Dwight Co. Inc. | 495,000 | 36,738,900 | ||
McCormick & Co. Inc. | 180,500 | 29,488,285 | ||
75,744,457 | ||||
Energy 0.5% | ||||
Diamondback Energy Inc. | 241,000 | 17,930,400 | ||
Financials 6.2% | ||||
Ares Management Corp., A | 724,000 | 26,107,440 | ||
MarketAxess Holdings Inc. | 125,000 | 44,272,500 | ||
MSCI Inc. | 237,500 | 67,877,500 | ||
TCF Financial Corp. | 486,000 | 20,548,080 | ||
Tradeweb Markets Inc. | 685,500 | 31,656,390 | ||
Western Alliance Bancorp | 500,000 | 27,615,000 | ||
218,076,910 |
Shares/Warrants | Value | |||
Common Stocks and Other Equity Interests (continued) | ||||
Health Care 13.7% | ||||
a | Argenx SE, ADR (Netherlands) | 73,000 | $10,533,170 | |
a | Avantor Inc | 1,149,380 | 21,229,049 | |
a | Deciphera Pharmaceuticals Inc. | 60,000 | 3,757,800 | |
a | DexCom Inc. | 230,414 | 55,472,170 | |
a | Elanco Animal Health Inc. | 660,000 | 20,394,000 | |
a | Guardant Health Inc. | 247,000 | 18,781,880 | |
a | GW Pharmaceuticals PLC, ADR (United Kingdom) | 169,700 | 19,605,441 | |
a | HealthEquity Inc. | 401,000 | 26,490,060 | |
a | Heron Therapeutics Inc. | 1,374,000 | 28,661,640 | |
a | IDEXX Laboratories Inc. | 198,500 | 53,795,485 | |
a | iRhythm Technologies Inc. | 199,450 | 17,078,903 | |
a,d | Livongo Health Inc. | 583,000 | 14,085,280 | |
a | Mettler-Toledo International Inc. | 69,000 | 52,245,420 | |
a | Neurocrine Biosciences Inc. | 102,042 | 10,212,363 | |
a | Penumbra Inc. | 181,247 | 31,801,599 | |
a | PTC Therapeutics Inc. | 320,000 | 16,480,000 | |
a | Reata Pharmaceuticals Inc. | 137,000 | 29,974,230 | |
a | Revance Therapeutics Inc. | 575,000 | 12,862,750 | |
a | Veeva Systems Inc. | 241,000 | 35,333,010 | |
478,794,250 | ||||
Industrials 16.7% | ||||
BWX Technologies Inc. | 285,695 | 18,167,345 | ||
a | CoStar Group Inc. | 121,300 | 79,207,687 | |
Fastenal Co. | 385,000 | 13,428,800 | ||
Fortive Corp. | 579,500 | 43,421,935 | ||
Hexcel Corp. | 204,500 | 15,177,990 | ||
IDEX Corp. | 263,500 | 43,174,475 | ||
L3Harris Technologies Inc. | 143,500 | 31,760,855 | ||
a | Lyft Inc., A | 437,500 | 20,772,500 | |
a | Mercury Systems Inc. | 402,000 | 30,853,500 | |
Old Dominion Freight Line Inc. | 86,100 | 16,895,403 | ||
Republic Services Inc. | 425,000 | 40,396,250 | ||
Rockwell Automation Inc. | 180,000 | 34,498,800 | ||
Roper Technologies Inc. | 130,130 | 49,665,416 | ||
Stanley Black & Decker Inc. | 202,500 | 32,264,325 | ||
TransUnion | 442,000 | 40,531,400 | ||
a | Univar Solutions Inc. | 133,295 | 2,872,507 | |
Verisk Analytics Inc. | 434,000 | 70,511,980 | ||
583,601,168 | ||||
Information Technology 32.0% | ||||
a | Advanced Micro Devices Inc. | 148,000 | 6,956,000 | |
a | Adyen NV (Netherlands) | 23,000 | 21,199,184 | |
a | Alteryx Inc. | 296,000 | 41,283,120 | |
Amphenol Corp., A | 443,000 | 44,065,210 | ||
a | ANSYS Inc. | 161,000 | 44,167,130 |
Shares/Warrants | Value | |||
Common Stocks and Other Equity Interests (continued) | ||||
Information Technology (continued) | ||||
a | Atlassian Corp. PLC | 319,000 | $46,893,000 | |
a | Bill.Com Holdings Inc. | 169,899 | 8,549,318 | |
a,b | Bill.Com Holdings Inc. | 433,333 | 20,550,605 | |
a | Black Knight Inc. | 818,000 | 54,740,560 | |
a | CloudFlare Inc., A | 804,400 | 14,366,584 | |
a | DocuSign Inc. | 707,000 | 55,506,570 | |
a | EPAM Systems Inc. | 163,000 | 37,186,820 | |
Global Payments Inc. | 358,500 | 70,068,825 | ||
a | GoDaddy Inc., A | 776,800 | 52,208,728 | |
a | Keysight Technologies Inc. | 279,000 | 25,944,210 | |
KLA Corp. | 268,500 | 44,501,190 | ||
a | Lattice Semiconductor Corp. | 975,214 | 18,138,980 | |
a | MACOM Technology Solutions Holdings Inc. | 295,000 | 8,383,900 | |
Microchip Technology Inc. | 210,000 | 20,470,800 | ||
Monolithic Power Systems | 197,500 | 33,806,075 | ||
NXP Semiconductors NV (Netherlands) | 82,000 | 10,402,520 | ||
a | Okta Inc., A | 192,500 | 24,649,625 | |
a | Paylocity Holding Corp. | 311,000 | 44,127,790 | |
a,b,c | Phononic Devices Inc., wts., 12/01/29 | 470,777 | 903,709 | |
a | Q2 Holdings Inc. | 313,000 | 27,290,470 | |
a | Semtech Corp. | 160,963 | 7,756,807 | |
a | SiTime Corp. (Japan) | 469,000 | 11,921,980 | |
a | Square Inc., A | 333,000 | 24,871,770 | |
a | Synopsys Inc. | 377,000 | 55,611,270 | |
a | Trimble Inc. | 523,000 | 22,237,960 | |
a | Twilio Inc., A | 444,000 | 55,206,960 | |
a | ViaSat Inc. | 479,050 | 30,491,533 | |
a | WEX Inc. | 139,500 | 30,260,340 | |
a | Wix.com Ltd. (Israel) | 136,000 | 19,405,840 | |
Xilinx Inc. | 315,500 | 26,653,440 | ||
a | Zendesk Inc. | 425,000 | 36,720,000 | |
a | Zscaler Inc. | 369,000 | 20,697,210 | |
1,118,196,033 | ||||
Materials 2.8% | ||||
Ball Corp. | 541,000 | 39,049,380 | ||
a | Ingevity Corp. | 361,780 | 23,595,292 | |
Martin Marietta Materials Inc. | 128,500 | 33,898,300 | ||
96,542,972 | ||||
Real Estate 1.9% | ||||
SBA Communications Corp., A | 261,000 | 65,135,160 | ||
Total Common Stocks and Other Equity Interests (Cost $2,400,921,376) | 3,352,613,513 |
Shares | Value | |||
Preferred Stocks 0.6% | ||||
Consumer Discretionary 0.4% | ||||
a,b,c | Proterra Inc., pfd., 5, 144A | 1,416,913 | $12,516,865 | |
Financials 0.2% | ||||
a,b,c | Phononic Inc., pfd., F | 2,970,061 | 5,461,568 | |
Total Preferred Stocks (Cost $14,635,912) | 17,978,433 | |||
Principal Amount | ||||
e | Senior Floating Rate Interests (Cost $481,096) 0.0%† | |||
Financials 0.0%† | ||||
b,c,f | Phononic Inc., Term Loan A, PIK, 6.50%, 1/17/24 | $481,096 | 481,096 | |
Total Investments before Short Term Investments (Cost $2,416,038,384) | 3,371,073,042 | |||
Shares | ||||
Short Term Investments 4.8% | ||||
Money Market Funds (Cost $125,062,607) 3.6% | ||||
g,h | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | 125,062,607 | 125,062,607 | |
Investments from Cash Collateral Received for Loaned Securities 1.2% | ||||
Money Market Funds (Cost $43,331,230) 1.2% | ||||
g,h | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | 43,331,230 | 43,331,230 | |
Total Investments (Cost $2,584,432,221) 101.4% | 3,539,466,879 | |||
Other Assets, less Liabilities (1.4)% | (47,266,986) | |||
Net Assets 100.0% | $3,492,199,893 |
†Rounds to less than 0.1% of net assets. |
aNon-income producing. |
bFair valued using significant unobservable inputs. See Note 11 regarding fair value measurements. |
cSee Note 6 regarding restricted securities. |
dA portion or all of the security is on loan at January 31, 2020. |
eThe coupon rate shown represents the rate at period end. |
fIncome may be received in additional securities and/or cash. |
gSee Note 8 regarding investments in affiliated management investment companies. |
hThe rate shown is the annualized seven-day effective yield at period end. |
Country/Organization | Shares/Warrants | Value | |||
Common Stocks and Other Equity Interests 0.4% | |||||
Commercial & Professional Services 0.0%† | |||||
a,aa | Remington Outdoor Co. Inc. | United States | 1,322,439 | $826,524 | |
Consumer Services 0.0%† | |||||
a,b,c | Turtle Bay Resort | United States | 5,579,939 | 122,759 | |
Energy 0.2% | |||||
Amplify Energy Corp. | United States | 5,288 | 28,502 | ||
a,c | Amplify Energy Corp., wts., 4/21/20 | United States | 50,712 | — | |
a | Battalion Oil Corp. | United States | 2,215 | 24,409 | |
a,c | Battalion Oil Corp., wts., A, 10/08/22 | United States | 10,639 | 2,829 | |
a,c | Battalion Oil Corp., wts., B, 10/08/22 | United States | 13,300 | 2,110 | |
a,c | Battalion Oil Corp., wts., C, 10/08/22 | United States | 17,100 | 1,364 | |
a | Birch Permian Holdings Inc. | United States | 46,176 | 461,760 | |
a | Birch Permian Holdings Inc. | United States | 359,948 | 3,554,487 | |
a | Chaparral Energy Inc., A | United States | 94,305 | 97,134 | |
a,d | Chaparral Energy Inc., A, 144A | United States | 3,418 | 3,521 | |
Riviera Resources Inc. | United States | 84,462 | 620,796 | ||
a | Weatherford International PLC | United States | 151,545 | 4,319,032 | |
9,115,944 | |||||
Materials 0.1% | |||||
a,c,e | Appvion Operations Inc. | United States | 331,326 | 4,809,415 | |
a | Verso Corp., A | United States | 38,905 | 655,550 | |
a | Verso Corp., wts., 7/25/23 | United States | 4,095 | 9,623 | |
5,474,588 | |||||
Media & Entertainment 0.1% | |||||
a | Clear Channel Outdoor Holdings Inc. | United States | 285,564 | 779,590 | |
a | iHeartMedia Inc., A | United States | 115,084 | 2,034,685 | |
a,c | iHeartMedia Inc., B | United States | 1,941 | 29,169 | |
a | iHeartMedia Inc., wts., A, 5/01/39 | United States | 1 | 18 | |
2,843,462 | |||||
Retailing 0.0%† | |||||
a,c,e | K2016470219 South Africa Ltd., A | South Africa | 125,940,079 | 83,942 | |
a,c,e | K2016470219 South Africa Ltd., B | South Africa | 12,532,821 | 8,353 | |
92,295 | |||||
Software & Services 0.0%† | |||||
a,c | WorkCapital BSD SARL, wts., 2/13/26 | Brazil | 6,000,000 | 750,000 | |
Total Common Stocks and Other Equity Interests (Cost $65,657,995) | 19,225,572 | ||||
Management Investment Companies (Cost $152,217,419) 2.8% | |||||
Diversified Financials 2.8% | |||||
f | Franklin Floating Rate Income Fund | United States | 15,243,688 | 127,589,664 |
Country/Organization | Principal Amount* | Value | |||
Corporate Bonds 30.5% | |||||
Banks 1.7% | |||||
d | Akbank T.A.S., senior note, 144A, 5.125%, 3/31/25 | Turkey | 12,400,000 | $12,680,662 | |
Bank of America Corp., | |||||
senior bond, 3.248%, 10/21/27 | United States | 5,000,000 | 5,322,964 | ||
senior note, 3.50%, 4/19/26 | United States | 29,800,000 | 32,078,471 | ||
g | BDO Unibank Inc., senior note, Reg S, 2.95%, 3/06/23 | Philippines | 1,550,000 | 1,574,761 | |
Industrial & Commercial Bank of China Ltd., senior note, 3.538%, 11/08/27 | China | 8,500,000 | 9,063,153 | ||
JPMorgan Chase & Co., sub. note, 3.875%, 9/10/24 | United States | 10,000,000 | 10,813,095 | ||
g | Turkiye Vakiflar Bankasi TAO, secured note, Reg S, 2.375%, 11/04/22 | Turkey | 3,900,000 | EUR | 4,403,050 |
75,936,156 | |||||
Capital Goods 1.0% | |||||
d | Beacon Roofing Supply Inc., senior note, 144A, 4.875%, 11/01/25 | United States | 12,000,000 | 11,961,420 | |
CNH Industrial NV, senior bond, 3.85%, 11/15/27 | United Kingdom | 6,600,000 | 6,993,878 | ||
d | Herc Holdings Inc., senior note, 144A, 5.50%, 7/15/27 | United States | 5,300,000 | 5,550,292 | |
h | Onsite Rental Group Operations Pty. Ltd., secured note, PIK, 6.10%, 10/26/23 | Australia | 4,655,176 | 4,271,124 | |
d | Vertiv Group Corp., senior note, 144A, 9.25%, 10/15/24 | United States | 14,000,000 | 15,035,510 | |
43,812,224 | |||||
Commercial & Professional Services 0.7% | |||||
d | Intrado Corp., senior note, 144A, 8.50%, 10/15/25 | United States | 17,300,000 | 13,796,750 | |
United Rentals North America Inc., senior bond, 5.875%, 9/15/26 | United States | 16,000,000 | 17,060,400 | ||
30,857,150 | |||||
Consumer Durables & Apparel 0.7% | |||||
d | Hanesbrands Inc., senior bond, 144A, 4.875%, 5/15/26 | United States | 15,000,000 | 15,834,000 | |
KB Home, | |||||
senior bond, 7.50%, 9/15/22 | United States | 5,000,000 | 5,645,310 | ||
senior note, 7.00%, 12/15/21 | United States | 8,000,000 | 8,583,200 | ||
30,062,510 | |||||
Consumer Services 1.3% | |||||
d | 1011778 BC ULC/New Red Finance Inc., | ||||
secured note, second lien, 144A, 5.00%, 10/15/25 | Canada | 11,500,000 | 11,876,912 | ||
senior secured note, first lien, 144A, 4.25%, 5/15/24 | Canada | 2,000,000 | 2,046,670 | ||
d | Golden Nugget Inc., senior note, 144A, 6.75%, 10/15/24 | United States | 13,200,000 | 13,598,508 | |
d | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, | ||||
senior note, 144A, 5.00%, 6/01/24 | United States | 6,000,000 | 6,185,010 | ||
senior note, 144A, 5.25%, 6/01/26 | United States | 9,100,000 | 9,555,228 | ||
d | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., senior bond, 144A, 5.50%, 3/01/25 | United States | 13,700,000 | 14,316,363 | |
57,578,691 |
Country/Organization | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Diversified Financials 2.7% | |||||
Capital One Financial Corp., senior note, 3.20%, 2/05/25 | United States | 11,900,000 | $12,487,433 | ||
i | Cia Securitizadora de Creditos Financeiros Vert-Fintech, senior secured note, FRN, 5.96%, (BZDIOVRA + 5.75%), 2/14/24 | Brazil | 7,975j | BRL | 1,973,932 |
The Goldman Sachs Group Inc., | |||||
senior note, 3.50%, 1/23/25 | United States | 23,000,000 | 24,503,994 | ||
senior note, 3.75%, 2/25/26 | United States | 15,000,000 | 16,250,051 | ||
Morgan Stanley, | |||||
senior bond, 3.591% to 7/22/27, FRN thereafter, 7/22/28 | United States | 10,000,000 | 10,830,246 | ||
senior note, 3.875%, 1/27/26 | United States | 32,300,000 | 35,415,206 | ||
Springleaf Finance Corp., | |||||
senior bond, 5.375%, 11/15/29 | United States | 3,300,000 | 3,437,775 | ||
senior note, 6.625%, 1/15/28 | United States | 5,700,000 | 6,423,045 | ||
g | TNB Global Ventures Capital Bhd., senior note, Reg S, 3.244%, 10/19/26 | Malaysia | 3,775,000 | 3,878,067 | |
d,k | Ypso Finance Bis SA, senior note, 144A, 6.00%, 2/15/28 | Luxembourg | 6,100,000 | 6,053,335 | |
121,253,084 | |||||
Energy 2.6% | |||||
d | Aker BP ASA, senior note, 144A, 4.75%, 6/15/24 | Norway | 5,900,000 | 6,149,688 | |
Cheniere Corpus Christi Holdings LLC, senior secured note, first lien, 5.875%, 3/31/25 | United States | 6,400,000 | 7,282,464 | ||
Cheniere Energy Partners LP, senior secured note, first lien, 5.25%, 10/01/25 | United States | 11,900,000 | 12,286,631 | ||
CONSOL Energy Inc., senior note, 5.875%, 4/15/22 | United States | 11,076,000 | 10,965,240 | ||
Ecopetrol SA, senior bond, 4.125%, 1/16/25 | Colombia | 8,200,000 | 8,704,997 | ||
Energy Transfer Operating LP, senior bond, 4.05%, 3/15/25 | United States | 1,300,000 | 1,379,776 | ||
d,h | EnQuest PLC, senior note, 144A, PIK, 7.00%, 4/15/22 | United Kingdom | 9,955,122 | 8,710,667 | |
Enterprise Products Operating LLC, senior bond, 4.80%, 2/01/49 | United States | 1,200,000 | 1,425,850 | ||
d | Gazprom PJSC Via Gaz Capital SA, (OJSC Gazprom), loan participation, senior note, 144A, 3.85%, 2/06/20 | Russia | 20,000,000 | 20,014,100 | |
Martin Midstream Partners LP/Martin Midstream Finance Corp., senior note, 7.25%, 2/15/21 | United States | 19,000,000 | 17,535,100 | ||
Oceaneering International Inc., senior note, 4.65%, 11/15/24 | United States | 2,100,000 | 2,031,750 | ||
l | Sanchez Energy Corp., senior note, 6.125%, 1/15/23 | United States | 6,000,000 | 327,000 | |
d | Schlumberger Holdings Corp., senior note, 144A, 3.90%, 5/17/28 | United States | 3,800,000 | 4,102,413 | |
Sunoco LP/Sunoco Finance Corp., senior note, 4.875%, 1/15/23 | United States | 5,900,000 | 6,072,073 | ||
d | Weatherford International Ltd., senior note, 144A, 11.00%, 12/01/24 | United States | 4,591,000 | 4,886,064 | |
d | Woodside Finance Ltd., senior note, 144A, 3.70%, 9/15/26 | Australia | 5,400,000 | 5,755,513 | |
117,629,326 | |||||
Food & Staples Retailing 0.7% | |||||
d | Cencosud SA, senior note, 144A, 4.375%, 7/17/27 | Chile | 7,500,000 | 7,677,775 | |
The Kroger Co., senior bond, 4.45%, 2/01/47 | United States | 1,200,000 | 1,312,223 | ||
Walgreens Boots Alliance Inc., senior note, 3.80%, 11/18/24 | United States | 21,900,000 | 23,213,596 | ||
32,203,594 |
Country/Organization | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Food, Beverage & Tobacco 0.4% | |||||
B&G Foods Inc., senior note, 5.25%, 9/15/27 | United States | 9,000,000 | $8,988,750 | ||
BAT Capital Corp., senior bond, 4.54%, 8/15/47 | United Kingdom | 600,000 | 622,616 | ||
Bunge Ltd. Finance Corp., senior note, 3.25%, 8/15/26 | United States | 2,000,000 | 2,046,673 | ||
g | China Mengniu Dairy Co. Ltd., senior note, Reg S, 4.25%, 8/07/23 | China | 392,000 | 415,867 | |
d | Imperial Brands Finance PLC, senior bond, 144A, 3.875%, 7/26/29 | United Kingdom | 2,200,000 | 2,309,894 | |
Reynolds American Inc., senior note, 4.45%, 6/12/25 | United Kingdom | 1,900,000 | 2,082,003 | ||
16,465,803 | |||||
Health Care Equipment & Services 1.4% | |||||
Anthem Inc., senior bond, 3.70%, 9/15/49 | United States | 1,400,000 | 1,419,279 | ||
Centene Corp., | |||||
d senior bond, 144A, 4.625%, 12/15/29 | United States | 2,300,000 | 2,479,745 | ||
senior note, 4.75%, 5/15/22 | United States | 2,000,000 | 2,038,635 | ||
d senior note, 144A, 5.375%, 6/01/26 | United States | 7,600,000 | 8,098,560 | ||
d senior note, 144A, 4.25%, 12/15/27 | United States | 3,000,000 | 3,140,550 | ||
CHS/Community Health Systems Inc., | |||||
senior note, 6.875%, 2/01/22 | United States | 7,223,000 | 6,590,987 | ||
senior secured note, first lien, 6.25%, 3/31/23 | United States | 3,900,000 | 3,987,750 | ||
Cigna Corp., senior bond, 4.90%, 12/15/48 | United States | 1,200,000 | 1,474,625 | ||
CVS Health Corp., senior bond, 4.30%, 3/25/28 | United States | 5,800,000 | 6,439,365 | ||
DaVita Inc., | |||||
senior bond, 5.125%, 7/15/24 | United States | 8,000,000 | 8,196,680 | ||
senior bond, 5.00%, 5/01/25 | United States | 6,000,000 | 6,162,510 | ||
HCA Inc., senior bond, 5.875%, 2/15/26 | United States | 3,000,000 | 3,448,200 | ||
d | MEDNAX Inc., senior note, 144A, 6.25%, 1/15/27 | United States | 11,300,000 | 11,540,407 | |
65,017,293 | |||||
Materials 4.9% | |||||
d | Alpek SAB de CV, senior note, 144A, 4.25%, 9/18/29 | Mexico | 7,500,000 | 7,813,125 | |
d | Ardagh Packaging Finance PLC/Ardagh MP Holdings USA Inc., senior note, 144A, 6.00%, 2/15/25 | Luxembourg | 11,500,000 | 12,046,250 | |
d | Braskem Netherlands Finance BV, senior bond, 144A, 4.50%, 1/31/30 | Brazil | 7,800,000 | 7,848,360 | |
d | Cemex SAB de CV, | ||||
senior secured bond, first lien, 144A, 5.70%, 1/11/25 | Mexico | 13,000,000 | 13,357,500 | ||
senior secured bond, first lien, 144A, 6.125%, 5/05/25 | Mexico | 2,000,000 | 2,069,170 | ||
g | CNAC HK Finbridge Co. Ltd., senior note, Reg S, 4.875%, 3/14/25 | China | 7,800,000 | 8,542,982 | |
Crown Americas LLC/Crown Americas Capital Corp. VI, senior note, 4.75%, 2/01/26 | United States | 7,100,000 | 7,395,342 | ||
d | First Quantum Minerals Ltd., | ||||
senior note, 144A, 7.00%, 2/15/21 | Zambia | 2,144,000 | 2,147,002 | ||
senior note, 144A, 7.25%, 4/01/23 | Zambia | 7,200,000 | 7,147,512 | ||
d | FMG Resources (August 2006) Pty. Ltd., | ||||
senior note, 144A, 5.125%, 3/15/23 | Australia | 3,600,000 | 3,779,964 | ||
senior note, 144A, 5.125%, 5/15/24 | Australia | 7,700,000 | 8,168,429 |
Country/Organization | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Materials (continued) | |||||
Freeport-McMoRan Inc., senior note, 4.55%, 11/14/24 | United States | 13,000,000 | $13,742,105 | ||
d | Glencore Funding LLC, | ||||
senior note, 144A, 4.125%, 5/30/23 | Switzerland | 5,000,000 | 5,262,207 | ||
senior note, 144A, 4.625%, 4/29/24 | Switzerland | 2,500,000 | 2,700,678 | ||
d | Mauser Packaging Solutions Holding Co., senior note, 144A, 7.25%, 4/15/25 | United States | 15,000,000 | 14,962,350 | |
d | New Gold Inc., senior note, 144A, 6.375%, 5/15/25 | Canada | 5,900,000 | 5,563,198 | |
d | Novelis Corp., senior bond, 144A, 5.875%, 9/30/26 | United States | 14,000,000 | 14,872,515 | |
d | Owens-Brockway Glass Container Inc., | ||||
senior note, 144A, 5.00%, 1/15/22 | United States | 6,000,000 | 6,220,680 | ||
senior note, 144A, 5.875%, 8/15/23 | United States | 10,000,000 | 10,708,350 | ||
Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA, | |||||
senior secured note, first lien, 5.75%, 10/15/20 | United States | 5,427,003 | 5,446,269 | ||
d senior secured note, first lien, 144A, 5.125%, 7/15/23 | United States | 5,900,000 | 6,052,426 | ||
d,i senior secured note, first lien, 144A, FRN, 5.331%, (3-month USD LIBOR + 3.50%), 7/15/21 | United States | 6,500,000 | 6,514,690 | ||
d | SABIC Capital II BV, senior note, 144A, 4.50%, 10/10/28 | Saudi Arabia | 5,500,000 | 6,193,429 | |
d | Sealed Air Corp., | ||||
senior bond, 144A, 5.125%, 12/01/24 | United States | 11,300,000 | 12,232,250 | ||
senior note, 144A, 4.875%, 12/01/22 | United States | 4,000,000 | 4,221,248 | ||
d | Sociedad Quimica y Minera de Chile SA, senior note, 144A, 3.625%, 4/03/23 | Chile | 1,500,000 | 1,536,248 | |
d | SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., senior note, 144A, 7.50%, 6/15/25 | United States | 12,000,000 | 11,549,880 | |
d | TPC Group Inc., secured note, 144A, 10.50%, 8/01/24 | United States | 11,000,000 | 11,380,435 | |
219,474,594 | |||||
Media & Entertainment 2.7% | |||||
d | Altice Financing SA, secured bond, 144A, 7.50%, 5/15/26 | Luxembourg | 4,000,000 | 4,282,200 | |
CCO Holdings LLC/CCO Holdings Capital Corp., | |||||
senior bond, 5.25%, 9/30/22 | United States | 6,500,000 | 6,577,805 | ||
d senior bond, 144A, 5.375%, 5/01/25 | United States | 13,000,000 | 13,427,895 | ||
d | Clear Channel Worldwide Holdings Inc., | ||||
senior secured note, first lien, 144A, 5.125%, 8/15/27 | United States | 6,400,000 | 6,603,840 | ||
senior sub. note, 144A, 9.25%, 2/15/24 | United States | 1,362,000 | 1,485,717 | ||
Comcast Corp., senior bond, 4.75%, 3/01/44 | United States | 1,400,000 | 1,783,301 | ||
d | CSC Holdings LLC, senior secured note, first lien, 144A, 5.50%, 5/15/26 | United States | 16,000,000 | 16,800,440 | |
d | Diamond Sports Group LLC/Diamond Sports Finance Co., | ||||
first lien, 144A, 5.375%, 8/15/26 | United States | 4,300,000 | 4,291,297 | ||
senior note, 144A, 6.625%, 8/15/27 | United States | 4,500,000 | 4,215,825 | ||
DISH DBS Corp., | |||||
senior bond, 5.00%, 3/15/23 | United States | 6,000,000 | 6,105,060 | ||
senior note, 5.875%, 11/15/24 | United States | 8,000,000 | 8,112,120 | ||
iHeartCommunications Inc., | |||||
secured note, 6.375%, 5/01/26 | United States | 661,721 | 715,899 | ||
senior note, 8.375%, 5/01/27 | United States | 1,199,371 | 1,306,523 |
Country/Organization | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Media & Entertainment (continued) | |||||
d | Live Nation Entertainment Inc., senior note, 144A, 4.75%, 10/15/27 | United States | 4,400,000 | $4,534,860 | |
Netflix Inc., senior bond, 4.375%, 11/15/26 | United States | 11,800,000 | 12,423,630 | ||
d | Nexstar Broadcasting Inc., senior note, 144A, 5.625%, 8/01/24 | United States | 15,000,000 | 15,631,275 | |
d | Univision Communications Inc., senior secured note, first lien, 144A, 5.125%, 2/15/25 | United States | 16,000,000 | 16,000,000 | |
124,297,687 | |||||
Pharmaceuticals, Biotechnology & Life Sciences 1.8% | |||||
d | AbbVie Inc., senior note, 144A, 2.95%, 11/21/26 | United States | 5,900,000 | 6,099,279 | |
Allergan Funding SCS, senior bond, 3.80%, 3/15/25 | United States | 25,000,000 | 26,864,175 | ||
d | Bausch Health Cos. Inc., | ||||
senior bond, 144A, 6.125%, 4/15/25 | United States | 3,100,000 | 3,195,185 | ||
senior note, 144A, 8.50%, 1/31/27 | United States | 5,000,000 | 5,665,500 | ||
senior note, 144A, 5.00%, 1/30/28 | United States | 3,000,000 | 3,045,000 | ||
senior note, first lien, 144A, 7.00%, 3/15/24 | United States | 2,100,000 | 2,181,449 | ||
d | Bayer U.S. Finance II LLC, senior bond, 144A, 4.375%, 12/15/28 | Germany | 11,700,000 | 13,187,082 | |
d,h | Eagle Holdings Co. II LLC, senior note, 144A, PIK, 7.625%, 5/15/22 | United States | 3,300,000 | 3,341,227 | |
d | Endo DAC/Endo Finance LLC/Endo Finco Inc., | ||||
senior bond, 144A, 6.00%, 2/01/25 | United States | 11,000,000 | 7,648,410 | ||
senior note, 144A, 6.00%, 7/15/23 | United States | 1,637,000 | 1,256,381 | ||
d | Jaguar Holding Co. II/Pharmaceutical Product Development LLC, senior note, 144A, 6.375%, 8/01/23 | United States | 10,000,000 | 10,299,900 | |
82,783,588 | |||||
Real Estate 0.5% | |||||
g | China Overseas Finance Cayman VI Ltd., senior note, Reg S, 5.95%, 5/08/24 | China | 7,500,000 | 8,516,250 | |
MPT Operating Partnership LP/MPT Finance Corp., | |||||
senior bond, 5.25%, 8/01/26 | United States | 4,200,000 | 4,414,505 | ||
senior bond, 5.00%, 10/15/27 | United States | 5,700,000 | 6,006,232 | ||
d,k | VICI Properties LP/VICI Note Co. Inc., senior note, 144A, 3.75%, 2/15/27 | United States | 2,500,000 | 2,517,188 | |
21,454,175 | |||||
Retailing 0.1% | |||||
c,d,h | K2016470219 South Africa Ltd., senior secured note, 144A, PIK, 3.00%, 12/31/22 | South Africa | 10,131,263 | 12,664 | |
c,d,h | K2016470260 South Africa Ltd., senior secured note, 144A, PIK, 25.00%, 12/31/22 | South Africa | 2,667,972 | 13,340 | |
d | Party City Holdings Inc., senior note, 144A, 6.625%, 8/01/26 | United States | 5,300,000 | 3,816,000 | |
3,842,004 | |||||
Semiconductors & Semiconductor Equipment 0.1% | |||||
Maxim Integrated Products Inc., senior note, 3.375%, 3/15/23 | United States | 1,800,000 | 1,872,168 | ||
Qorvo Inc., senior note, 5.50%, 7/15/26 | United States | 1,400,000 | 1,483,124 | ||
3,355,292 |
Country/Organization | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Software & Services 0.2% | |||||
d | Norton LifeLock Inc., senior note, 144A, 5.00%, 4/15/25 | United States | 9,500,000 | $9,704,917 | |
Technology Hardware & Equipment 0.5% | |||||
d | Blackboard Inc., secured note, second lien, 144A, 10.375%, 11/15/24 | United States | 3,200,000 | 3,224,000 | |
d | CommScope Technologies LLC, senior bond, 144A, 6.00%, 6/15/25 | United States | 14,600,000 | 13,970,448 | |
d | Dell International LLC/EMC Corp., senior note, 144A, 7.125%, 6/15/24 | United States | 7,000,000 | 7,367,500 | |
24,561,948 | |||||
Telecommunication Services 1.3% | |||||
AT&T Inc., senior note, 2.95%, 7/15/26 | United States | 14,800,000 | 15,404,516 | ||
Bell Canada Inc., senior bond, 4.464%, 4/01/48 | Canada | 1,400,000 | 1,693,226 | ||
d | Digicel Group Two Ltd., | ||||
senior note, 144A, 8.25%, 9/30/22 | Bermuda | 2,427,000 | 659,489 | ||
h senior note, 144A, PIK, 9.125%, 4/01/24 | Bermuda | 3,042,961 | 526,174 | ||
Sprint Communications Inc., | |||||
senior note, 6.00%, 11/15/22 | United States | 10,000,000 | 10,342,800 | ||
d senior note, 144A, 7.00%, 3/01/20 | United States | 5,000,000 | 5,021,450 | ||
Telefonica Emisiones SA, senior bond, 4.895%, 3/06/48 | Spain | 1,000,000 | 1,179,719 | ||
TELUS Corp., senior bond, 4.60%, 11/16/48 | Canada | 1,000,000 | 1,253,978 | ||
T-Mobile USA Inc., | |||||
senior bond, 6.50%, 1/15/24 | United States | 3,000,000 | 3,086,220 | ||
senior bond, 6.375%, 3/01/25 | United States | 13,000,000 | 13,445,575 | ||
senior note, 5.125%, 4/15/25 | United States | 6,000,000 | 6,193,800 | ||
58,806,947 | |||||
Transportation 1.7% | |||||
CSX Corp., senior bond, 4.10%, 3/15/44 | United States | 1,600,000 | 1,838,689 | ||
d | DAE Funding LLC, | ||||
senior note, 144A, 4.50%, 8/01/22 | United Arab Emirates | 2,000,000 | 2,039,986 | ||
senior note, 144A, 5.00%, 8/01/24 | United Arab Emirates | 14,000,000 | 14,682,360 | ||
FedEx Corp., senior bond, 4.05%, 2/15/48 | United States | 1,200,000 | 1,220,304 | ||
d | Kazakhstan Temir Zholy Finance BV, senior bond, 144A, 6.95%, 7/10/42 | Kazakhstan | 18,100,000 | 25,677,022 | |
d | Mexico City Airport Trust, senior secured bond, first lien, 144A, 5.50%, 7/31/47 | Mexico | 12,718,000 | 14,033,486 | |
g | RZD Capital PLC, (Russian Railways), loan participation, senior bond, Reg S, 5.70%, 4/05/22 | Russia | 17,600,000 | 18,937,125 | |
78,428,972 | |||||
Utilities 3.5% | |||||
Calpine Corp., | |||||
senior bond, 5.75%, 1/15/25 | United States | 9,000,000 | 9,274,680 | ||
d senior note, 144A, 5.125%, 3/15/28 | United States | 4,000,000 | 3,990,000 | ||
g | CGNPC International Ltd., senior note, Reg S, 3.75%, 12/11/27 | China | 3,289,000 | 3,537,204 | |
Clearway Energy Operating LLC, senior note, 5.75%, 10/15/25 | United States | 12,800,000 | 13,479,488 | ||
d | Colbun SA, senior note, 144A, 3.95%, 10/11/27 | Chile | 7,500,000 | 7,889,138 | |
Duke Energy Corp., senior bond, 3.75%, 9/01/46 | United States | 1,600,000 | 1,717,863 |
Country/Organization | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Utilities (continued) | |||||
d,m | EDF SA, | ||||
junior sub. bond, 144A, 5.625% to 1/22/24, FRN thereafter, Perpetual | France | 5,000,000 | $5,260,431 | ||
junior sub. note, 144A, 5.25% to 1/29/23, FRN thereafter, Perpetual | France | 25,000,000 | 26,312,250 | ||
Exelon Corp., senior bond, 4.45%, 4/15/46 | United States | 1,400,000 | 1,651,158 | ||
d | InterGen NV, secured bond, 144A, 7.00%, 6/30/23 | Netherlands | 4,800,000 | 4,752,000 | |
d | Israel Electric Corp. Ltd., secured bond, 144A, 4.25%, 8/14/28 | Israel | 9,200,000 | 10,116,918 | |
The Southern Co., senior bond, 3.25%, 7/01/26 | United States | 24,200,000 | 25,785,419 | ||
d | State Grid Overseas Investment 2016 Ltd., senior note, 144A, 3.50%, 5/04/27 | China | 15,800,000 | 16,958,352 | |
d | Talen Energy Supply LLC, | ||||
senior note, 144A, 10.50%, 1/15/26 | United States | 3,000,000 | 2,667,907 | ||
senior secured note, 144A, 7.25%, 5/15/27 | United States | 10,800,000 | 11,089,980 | ||
d | Three Gorges Finance I Cayman Islands Ltd., senior note, 144A, 3.15%, 6/02/26 | China | 12,800,000 | 13,424,544 | |
Virginia Electric & Power Co., senior bond, 6.35%, 11/30/37 | United States | 820,000 | 1,209,465 | ||
159,116,797 | |||||
Total Corporate Bonds (Cost $1,363,417,932) | 1,376,642,752 | ||||
i | Senior Floating Rate Interests 4.4% | ||||
Automobiles & Components 0.1% | |||||
Adient U.S. LLC, Initial Term Loans, 6.144% - 6.195%, (3-month USD LIBOR + 4.25%), 5/06/24 | United States | 716,400 | 718,490 | ||
Thor Industries Inc., Initial USD Term Loans, 5.438%, (1-month USD LIBOR + 3.75%), 2/01/26 | United States | 1,859,190 | 1,867,695 | ||
2,586,185 | |||||
Capital Goods 0.1% | |||||
n | Altra Industrial Motion Corp., Term Loan, 3.645%, (1-month USD LIBOR + 2.00%), 10/01/25 | United States | 1,312,950 | 1,319,672 | |
Doncasters U.S. Finance LLC, Second-Lien Term Loans, 10.195%, (3-month USD LIBOR + 8.25%), 10/09/20 | United States | 12,543,188 | 1,450,306 | ||
Onsite Rental Group Operations Pty. Ltd., Term Loan, 6.16%, (1-month USD LIBOR + 4.50%), 10/25/22 | Australia | 3,404,855 | 3,302,710 | ||
6,072,688 | |||||
Commercial & Professional Services 0.1% | |||||
Harsco Corp., Term Loan B-2, 3.938%, (1-month USD LIBOR + 2.25%), 12/10/24 | United States | 2,040,990 | 2,052,470 | ||
n,o | Pitney Bowes Inc., Term Loan B, TBD, 1/15/25 | United States | 1,000,000 | 995,825 | |
n | Prime Security Services Borrower LLC, Term B-1 Facility, 5.01%, (1-month USD LIBOR + 3.25%), 9/12/26 | United States | 935,156 | 938,339 | |
United Rentals North America Inc., Initial Term Loans, 3.395%, (1-month USD LIBOR + 1.75%), 10/31/25 | United States | 994,962 | 1,000,737 | ||
Ventia Pty. Ltd., Term B Loans, 5.445%, (3-month USD LIBOR + 3.50%), 5/21/26 | Australia | 827,873 | 829,942 | ||
5,817,313 |
Country/Organization | Principal Amount* | Value | |||
i | Senior Floating Rate Interests (continued) | ||||
Consumer Durables & Apparel 0.0%† | |||||
n,o | Champ Acquisition Corp., Initial Term Loan, TBD, 12/21/25 | United States | 710,000 | $710,666 | |
n,o | PUG LLC (Viagogo/StubHub), Term B Loan, TBD, 2/13/27 | United States | 566,667 | 565,958 | |
1,276,624 | |||||
Consumer Services 0.1% | |||||
Aristocrat Technologies Inc., Term B-3 Loans, 3.577%, (3-month USD LIBOR + 1.75%), 10/19/24 | United States | 1,371,348 | 1,376,880 | ||
n | Caesars Resort Collection LLC, Term B Loans, 4.395%, (1-month USD LIBOR + 2.75%), 12/22/24 | United States | 3,000,000 | 3,003,324 | |
Eldorado Resorts Inc., Initial Term Loan, 3.938%, (1-month USD LIBOR + 2.25%), 4/17/24 | United States | 1,792,284 | 1,793,394 | ||
6,173,598 | |||||
Diversified Financials 0.0%† | |||||
Russell Investments U.S. Institutional Holdco Inc., Initial Term Loan, 4.895%, (1-month USD LIBOR + 3.25%), 6/01/23 | United States | 649,771 | 651,639 | ||
Energy 0.7% | |||||
Fieldwood Energy LLC, Closing Date Loans, 7.027%, (3-month USD LIBOR + 5.25%), 4/11/22 | United States | 32,439,645 | 28,073,820 | ||
Utex Industries Inc., | |||||
Initial Term Loan (First Lien), 5.645%, (1-month USD LIBOR + 4.00%), 5/21/21 | United States | 2,144,249 | 1,838,694 | ||
Second Lien Initial Term Loan, 8.895%, (1-month USD LIBOR + 7.25%), 5/20/22 | United States | 955,410 | 531,845 | ||
30,444,359 | |||||
Food & Staples Retailing 0.1% | |||||
n | Aramark Corp., U.S. Term B-4 Loan, 3.47%, (1-month USD LIBOR + 1.75%), 1/15/27 | United States | 3,900,000 | 3,918,654 | |
Food, Beverage & Tobacco 0.4% | |||||
CSM Bakery Supplies LLC, Second Lien Term Loan, 9.62%, (3-month USD LIBOR + 7.75%), 7/03/21 | United States | 13,621,246 | 13,050,857 | ||
JBS USA Lux SA, New Term Loans, 3.645%, (1-month USD LIBOR + 2.00%), 5/01/26 | United States | 2,260,208 | 2,275,276 | ||
15,326,133 | |||||
Household & Personal Products 1.0% | |||||
c | FGI Operating Co. LLC (Freedom Group), | ||||
h Term Loan, PIK, 12.00%, (3-month USD LIBOR + 10.00%), 5/15/22 | United States | 15,104,489 | 14,275,184 | ||
Term Loan FILO, 9.409% - 9.50%, (3-month USD LIBOR + 7.50%), 5/15/21 | United States | 28,662,305 | 28,712,561 | ||
n,o | Knowlton Development Corp., Initial Term Loan, TBD, 12/21/25 | United States | 603,817 | 605,578 | |
43,593,323 | |||||
Materials 0.2% | |||||
Appvion Operations, Inc., | |||||
Term Loan, 7.79%, (1-month USD LIBOR + 6.00%), 6/15/26 | United States | 2,657,098 | 2,683,669 | ||
Term Loan, 7.91%, (3-month USD LIBOR + 6.00%), 6/15/26 | United States | 4,714,707 | 4,761,854 |
Country/Organization | Principal Amount* | Value | |||
i | Senior Floating Rate Interests (continued) | ||||
Materials (continued) | |||||
Axalta Coating Systems U.S. Holdings Inc. (DuPont Performance Coatings), Term B-3 Dollar Loan, 3.695%, (3-month USD LIBOR + 1.75%), 6/01/24 | United States | 1,903,854 | $1,906,234 | ||
n | Berry Global Inc., Term Y Loans, 3.781%, (1-month USD LIBOR + 2.00%), 7/01/26 | United States | 1,184,211 | 1,192,106 | |
10,543,863 | |||||
Media & Entertainment 0.3% | |||||
Charter Communications Operating LLC, Term A-2 Loan, 3.15%, (1-month USD LIBOR + 1.50%), 3/31/23 | United States | 2,918,919 | 2,910,711 | ||
CSC Holdings LLC, March 2017 Incremental Term Loans, 3.926%, (1-month USD LIBOR + 2.25%), 7/17/25 | United States | 994,885 | 999,234 | ||
Diamond Sports Group LLC, Term Loan, 4.91%, (1-month USD LIBOR + 3.25%), 8/24/26 | United States | 2,992,500 | 2,988,759 | ||
Gray Television Inc., Term C Loan, 4.281%, (1-month USD LIBOR + 2.50%), 1/02/26 | United States | 339,690 | 341,778 | ||
iHeartCommunications Inc., Term Loan, 5.781%, (1-month USD LIBOR + 4.00%), 5/04/26 | United States | 1,868,681 | 1,876,077 | ||
Lions Gate Capital Holdings LLC, Term A Loan, 3.395%, (1-month USD LIBOR + 1.75%), 3/22/23 | Canada | 2,446,348 | 2,431,058 | ||
Nexstar Broadcasting Inc., Term B-4 Loan, 4.531%, (1-month USD LIBOR + 2.75%), 9/19/26 | United States | 995,131 | 1,001,869 | ||
12,549,486 | |||||
Pharmaceuticals, Biotechnology & Life Sciences 0.2% | |||||
Grifols Worldwide Operations USA Inc., Dollar Tranche B Term Loan, 3.561%, (1-week USD LIBOR + 2.00%), 11/15/27 | United States | 5,762,120 | 5,821,707 | ||
Syneos Health Inc., (INC Research, LLC), Initial Term B Loans, 3.645%, (1-month USD LIBOR + 2.00%), 8/01/24 | United States | 1,352,136 | 1,359,910 | ||
7,181,617 | |||||
Real Estate 0.0%† | |||||
n,o | Cushman & Wakefield U.S. Borrower LLC, Replacement Term Loan, TBD, 8/21/25 | United States | 277,392 | 278,903 | |
Retailing 0.1% | |||||
n | Bass Pro Group LLC, Initial Term Loans, 6.645%, (1-month USD LIBOR + 5.00%), 9/25/24 | United States | 1,246,811 | 1,245,773 | |
n | Harbor Freight Tools USA Inc., Refinancing Loans, 4.145%, (1-month USD LIBOR + 2.50%), 8/19/23 | United States | 1,994,894 | 1,984,420 | |
n,o | Staples Inc., 2019 Refinancing Term B-1 Loans, TBD, 4/12/26 | United States | 536,585 | 527,419 | |
3,757,612 | |||||
Semiconductors & Semiconductor Equipment 0.1% | |||||
MKS Instruments Inc., Tranche B-6 Term Loans, 3.395%, (1-month USD LIBOR + 1.75%), 2/02/26 | United States | 3,342,049 | 3,350,404 | ||
ON Semiconductor Corp., 2019 Replacement Term B-4 Loans, 3.645%, (1-month USD LIBOR + 2.00%), 9/18/26 | United States | 1,995,000 | 2,008,710 | ||
5,359,114 |
Country/Organization | Principal Amount* | Value | |||
i | Senior Floating Rate Interests (continued) | ||||
Software & Services 0.5% | |||||
Infor (U.S.) Inc. (Lawson), Tranche B-6 Term Loan, 4.695%, (3-month USD LIBOR + 2.75%), 2/01/22 | United States | 997,436 | $1,005,415 | ||
n,o | Sophos (Surf Holdings LLC), Term Loan B, TBD, 3/31/27 | United States | 754,770 | 760,432 | |
WEX Inc., Term B-3 Loan, 3.895%, (1-month USD LIBOR + 2.25%), 5/17/26 | United States | 1,839,448 | 1,853,933 | ||
c | WorkCapital BSD SARL, Loan, 17.905%, (3-month USD LIBOR + 16.00%), 2/11/22 | Luxembourg | 20,000,000 | 20,083,375 | |
23,703,155 | |||||
Technology Hardware & Equipment 0.1% | |||||
n | CommScope Inc., Initial Term Loans, 4.895%, (1-month USD LIBOR + 3.25%), 4/04/26 | United States | 2,200,000 | 2,206,589 | |
Telecommunication Services 0.2% | |||||
Global Tel*Link Corp., | |||||
First Lien Term Loan, 5.895%, (1-month USD LIBOR + 4.25%), 11/29/25 | United States | 994,975 | 954,927 | ||
Second Lien Term Loan, 9.895%, (1-month USD LIBOR + 8.25%), 11/29/26 | United States | 545,755 | 485,154 | ||
Securus Technologies Holdings Inc., | |||||
Initial Term Loan, 6.145%, (1-month USD LIBOR + 4.50%), 11/01/24 | United States | 2,481,013 | 1,951,470 | ||
Second Lien Initial Loan, 9.895%, (1-month USD LIBOR + 8.25%), 11/01/25 | United States | 10,588,688 | 5,152,720 | ||
8,544,271 | |||||
Transportation 0.1% | |||||
Air Canada, Term Loans, 3.408%, (1-month USD LIBOR + 1.75%), 10/06/23 | Canada | 406,037 | 407,813 | ||
Allegiant Travel Co., Class B Term Loans, 6.394%, (3-month USD LIBOR + 4.50%), 2/05/24 | United States | 2,894,275 | 2,906,938 | ||
Avis Budget Car Rental LLC, Tranche B Term Loans, 3.65%, (1-month USD LIBOR + 2.00%), 2/13/25 | United States | 1,989,848 | 1,996,050 | ||
Hertz Corp., Tranche B-1 Term Loan, 4.395%, (1-month USD LIBOR + 2.75%), 6/30/23 | United States | 989,501 | 996,717 | ||
6,307,518 | |||||
Utilities 0.0%† | |||||
EFS Cogen Holdings I LLC (Linden), | |||||
Term B Advance, 4.90%, (1-month USD LIBOR + 3.25%), 6/28/23 | United States | 282,435 | 282,317 | ||
Term B Advance, 5.20%, (3-month USD LIBOR + 3.25%), 6/28/23 | United States | 685,523 | 685,237 | ||
967,554 | |||||
Total Senior Floating Rate Interests (Cost $215,042,621) | 197,260,198 |
Country/Organization | Principal Amount* | Value | |||
Marketplace Loans 0.1% | |||||
Diversified Financials 0.1% | |||||
c | Lending Club LCX, 6.46% - 28.80%, 5/31/22 - 1/27/25 | United States | 2,211,285 | $2,195,015 | |
c | Upgrade, 14.19% - 30.51%, 11/05/22 - 12/30/24 | United States | 3,107,079 | 3,031,324 | |
Total Marketplace Loans (Cost $5,264,312) | 5,226,339 | ||||
Foreign Government and Agency Securities 10.6% | |||||
d | The African Export-Import Bank, senior bond, 144A, 3.994%, 9/21/29 | Supranationalp | 8,600,000 | 8,993,536 | |
d | Angolan Government International Bond, senior note, 144A, 8.25%, 5/09/28 | Angola | 26,800,000 | 28,935,880 | |
g | Banque Centrale de Tunisie International Bond, senior note, Reg S, 5.625%, 2/17/24 | Tunisia | 25,700,000 | EUR | 28,391,448 |
d | Banque Ouest Africaine de Developpement, senior note, 144A, 5.00%, 7/27/27 | Supranationalp | 7,400,000 | 8,009,464 | |
q | Brazil Notas do Tesouro Nacional, Index Linked, 6.00%, 5/15/23 | Brazil | 19,500j | BRL | 16,948,177 |
d | Dominican Republic, senior note, 144A, 8.90%, 2/15/23 | Dominican Republic | 838,300,000 | DOP | 15,774,720 |
d | The Export-Import Bank of India, senior note, 144A, 3.875%, 2/01/28 | India | 16,000,000 | 16,985,280 | |
d | Government of Belarus International Bond, | ||||
senior bond, 144A, 6.20%, 2/28/30 | Belarus | 12,300,000 | 13,441,255 | ||
senior note, 144A, 7.625%, 6/29/27 | Belarus | 7,500,000 | 8,683,613 | ||
Government of Colombia, | |||||
senior bond, 9.85%, 6/28/27 | Colombia | 55,750,000,000 | COP | 20,676,320 | |
senior bond, 4.50%, 3/15/29 | Colombia | 2,800,000 | 3,167,969 | ||
senior bond, 5.00%, 6/15/45 | Colombia | 20,700,000 | 25,200,904 | ||
d | Government of Gabon, | ||||
144A, 6.375%, 12/12/24 | Gabon | 29,000,000 | 31,235,929 | ||
k senior note, 144A, 6.625%, 2/06/31 | Gabon | 16,950,000 | 16,989,892 | ||
Government of Indonesia, | |||||
senior bond, FR34, 12.80%, 6/15/21 | Indonesia | 129,210,000,000 | IDR | 10,408,731 | |
senior bond, FR39, 11.75%, 8/15/23 | Indonesia | 29,150,000,000 | IDR | 2,499,615 | |
senior bond, FR44, 10.00%, 9/15/24 | Indonesia | 8,340,000,000 | IDR | 703,788 | |
senior bond, FR56, 8.375%, 9/15/26 | Indonesia | 363,988,000,000 | IDR | 29,414,853 | |
d | Government of Iraq, 144A, 5.80%, 1/15/28 | Iraq | 29,000,000 | 27,993,584 | |
d | Government of Kazakhstan, senior bond, 144A, 4.875%, 10/14/44 | Kazakhstan | 19,300,000 | 24,372,986 | |
Government of Mexico, senior note, 4.15%, 3/28/27 | Mexico | 13,900,000 | 15,151,139 | ||
Government of Peru, senior bond, 6.55%, 3/14/37 | Peru | 11,400,000 | 17,367,159 | ||
d | Government of Russia, senior note, 144A, 4.875%, 9/16/23 | Russia | 8,600,000 | 9,419,417 | |
Government of South Africa, senior bond, 7.00%, 2/28/31 | South Africa | 365,000,000 | ZAR | 20,677,499 | |
d | Government of Ukraine, | ||||
144A, 7.75%, 9/01/22 | Ukraine | 2,200,000 | 2,395,690 | ||
144A, 7.75%, 9/01/23 | Ukraine | 4,355,000 | 4,819,330 | ||
144A, 7.75%, 9/01/24 | Ukraine | 4,355,000 | 4,861,051 | ||
a,r 144A, VRI, GDP Linked Security, 5/31/40 | Ukraine | 9,990,000 | 9,927,562 | ||
senior bond, 144A, 7.375%, 9/25/32 | Ukraine | 6,000,000 | 6,649,416 |
Country/Organization | Principal Amount* | Value | |||
Foreign Government and Agency Securities (continued) | |||||
Government of Uruguay, | |||||
senior bond, 4.375%, 1/23/31 | Uruguay | 8,000,000 | $9,206,000 | ||
s senior bond, Index Linked, 3.70%, 6/26/37 | Uruguay | 845,649,198 | UYU | 22,184,373 | |
Nota do Tesouro Nacional, 10.00%, 1/01/23 | Brazil | 34,402j | BRL | 8,962,745 | |
d | Panama Notas del Tesoro, senior note, 144A, 3.75%, 4/17/26 | Panama | 8,200,000 | 8,719,655 | |
Total Foreign Government and Agency Securities (Cost $473,745,269) | 479,168,980 | ||||
U.S. Government and Agency Securities 6.4% | |||||
U.S. Treasury Bond, | |||||
7.125%, 2/15/23 | United States | 3,000,000 | 3,520,313 | ||
6.25%, 8/15/23 | United States | 4,000,000 | 4,681,406 | ||
6.875%, 8/15/25 | United States | 1,000,000 | 1,295,469 | ||
s Index Linked, 1.75%, 1/15/28 | United States | 57,704,964 | 66,371,516 | ||
U.S. Treasury Note, | |||||
1.50%, 11/30/21 | United States | 30,000,000 | 30,083,203 | ||
s Index Linked, 0.625%, 1/15/24 | United States | 25,298,980 | 26,105,422 | ||
s Index Linked, 0.125%, 7/15/24 | United States | 98,077,126 | 99,865,090 | ||
s Index Linked, 0.375%, 7/15/25 | United States | 34,382,682 | 35,611,230 | ||
s Index Linked, 0.375%, 7/15/27 | United States | 18,832,088 | 19,660,680 | ||
Total U.S. Government and Agency Securities (Cost $280,808,765) | 287,194,329 | ||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities 30.5% | |||||
Banks 0.4% | |||||
t | Commercial Mortgage Trust, 2006-GG7, AJ, FRN, 5.725%, 7/10/38 | United States | 5,333,000 | 4,940,834 | |
CSAIL Commercial Mortgage Trust, 2015-C1, A4, 3.505%, 4/15/50 | United States | 10,050,000 | 10,765,169 | ||
t | CWABS Asset-Backed Certificates Trust, 2005-11, AF4, FRN, 5.21%, 3/25/34 | United States | 1,392,984 | 1,400,552 | |
u | Merrill Lynch Mortgage Investors Trust, 2005-A6, 2A3, FRN, 2.041%, (1-month USD LIBOR + 0.38%), 8/25/35 | United States | 741,037 | 747,449 | |
17,854,004 | |||||
Diversified Financials 30.1% | |||||
u | American Express Credit Account Master Trust, 2017-2, A, FRN, 2.126%, (1-month USD LIBOR + 0.45%), 9/16/24 | United States | 9,170,000 | 9,220,743 | |
d,u | AMMC CLO XI Ltd., | ||||
2012-11A, BR2, 144A, FRN, 3.37%, (3-month USD LIBOR + 1.60%), 4/30/31 | United States | 3,000,000 | 2,988,060 | ||
2012-11A, CR2, 144A, FRN, 3.67%, (3-month USD LIBOR + 1.90%), 4/30/31 | United States | 1,000,000 | 975,430 |
Country/Organization | Principal Amount* | Value | |||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) | |||||
Diversified Financials (continued) | |||||
d,u | Antares CLO Ltd., 2018-1A, B, 144A, FRN, 3.469%, (3-month USD LIBOR + 1.65%), 4/20/31 | United States | 17,500,000 | $17,315,900 | |
d,t | ARES L CLO Ltd., 2018-50A, B, 144A, FRN, 3.531%, 1/15/32 | United States | 15,700,000 | 15,675,037 | |
d,t | ARES LII CLO Ltd., | ||||
2019-52A, A2, 144A, FRN, 3.452%, 4/22/31 | United States | 2,522,358 | 2,515,976 | ||
2019-52A, B, 144A, FRN, 3.652%, 4/22/31 | United States | 3,500,000 | 3,504,725 | ||
2019-52A, C, 144A, FRN, 4.482%, 4/22/31 | United States | 1,000,000 | 1,003,470 | ||
d,u | Ares XLIII CLO Ltd., 2017-43A, A, 144A, FRN, 3.051%, (3-month USD LIBOR + 1.22%), 10/15/29 | United States | 3,870,000 | 3,871,935 | |
Banc of America Commercial Mortgage Trust, | |||||
2015-UBS7, A3, 3.441%, 9/15/48 | United States | 10,920,000 | 11,727,582 | ||
2015-UBS7, A4, 3.705%, 9/15/48 | United States | 12,450,000 | 13,561,407 | ||
t 2015-UBS7, B, FRN, 4.36%, 9/15/48 | United States | 6,740,000 | 7,365,587 | ||
d,t | BCC Middle Market CLO LLC, 2018-1A, A2, 144A, FRN, 3.969%, 10/20/30 | United States | 6,300,000 | 6,254,766 | |
d,t | Betony CLO 2 Ltd., 2018-1A, A1, 144A, FRN, 2.85%, 4/30/31 | United States | 15,300,000 | 15,264,198 | |
d,t | BlueMountain CLO Ltd., | ||||
2012-2A, BR2, 144A, FRN, 3.349%, 11/20/28 | United States | 6,710,000 | 6,711,879 | ||
2012-2A, CR2, 144A, FRN, 3.899%, 11/20/28 | United States | 2,730,000 | 2,709,552 | ||
2014-2A, CR2, 144A, FRN, 4.019%, 10/20/30 | United States | 3,800,000 | 3,801,064 | ||
2018-1A, D, 144A, FRN, 4.82%, 7/30/30 | United States | 5,000,000 | 4,973,050 | ||
d,t | Bluemountain Fuji Eur CLO V DAC, | ||||
5A, A, 144A, FRN, 0.91%, 1/15/33 | Ireland | 20,900,000 | EUR | 23,310,914 | |
5A, B, 144A, FRN, 1.55%, 1/15/33 | Ireland | 6,200,000 | EUR | 6,915,660 | |
d,u | BlueMountain Fuji U.S. CLO II Ltd., 2017-2A, A1A, 144A, FRN, 3.019%, (3-month USD LIBOR + 1.20%), 10/20/30 | United States | 4,200,000 | 4,202,436 | |
d,u | BlueMountain Fuji U.S. CLO III Ltd., | ||||
2017-3A, A2, 144A, FRN, 2.981%, (3-month USD LIBOR + 1.15%), 1/15/30 | United States | 4,600,000 | 4,525,204 | ||
2017-3A, C, 144A, FRN, 3.531%, (3-month USD LIBOR + 1.70%), 1/15/30 | United States | 600,000 | 592,230 | ||
d | BRAVO Residential Funding Trust, | ||||
2019-1, A1C, 144A, 3.50%, 3/25/58 | United States | 9,770,728 | 9,951,902 | ||
t 2019-2, A3, 144A, FRN, 3.50%, 10/25/44 | United States | 10,506,837 | 10,788,888 | ||
d,t | Burnham Park CLO Ltd., | ||||
2016-1A, BR, 144A, FRN, 3.319%, 10/20/29 | United States | 3,500,000 | 3,504,690 | ||
2016-1A, CR, 144A, FRN, 3.969%, 10/20/29 | United States | 4,000,000 | 4,027,200 | ||
d,t | Buttermilk Park CLO Ltd., 2018-1A, C, 144A, FRN, 3.931%, 10/15/31 | United States | 9,730,950 | 9,701,660 | |
u | Capital One Multi-Asset Execution Trust, | ||||
2016-A2, A2, FRN, 2.306%, (1-month USD LIBOR + 0.63%), 2/15/24 | United States | 44,033,000 | 44,350,901 | ||
2016-A7, A7, FRN, 2.186%, (1-month USD LIBOR + 0.51%), 9/16/24 | United States | 4,400,000 | 4,432,458 |
Country/Organization | Principal Amount* | Value | |||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) | |||||
Diversified Financials (continued) | |||||
d,u | Carlyle Global Market Strategies CLO Ltd., 2014-4RA, C, 144A, FRN, 4.731%, (3-month USD LIBOR + 2.90%), 7/15/30 | United States | 3,000,000 | $2,824,800 | |
d,t | Carlyle GMS Finance MM CLO LLC, 2015-1A, A2R, 144A, FRN, 4.031%, 10/15/31 | United States | 12,000,000 | 11,904,720 | |
d,u | Carlyle U.S. CLO Ltd., 2017-2A, A1B, 144A, FRN, 3.039%, (3-month USD LIBOR + 1.22%), 7/20/31 | United States | 8,500,000 | 8,497,790 | |
d,u | Catamaran CLO Ltd., 2014-2A, BR, 144A, FRN, 4.769%, (3-month USD LIBOR + 2.95%), 10/18/26 | United States | 11,770,000 | 11,814,961 | |
d,t | CGRBS Commercial Mortgage Trust, 2013-VN05, C, 144A, FRN, 3.584%, 3/13/35 | United States | 7,700,000 | 8,088,109 | |
d,t | CIM Trust, | ||||
2019-INV1, A1, 144A, FRN, 4.00%, 2/25/49 | United States | 12,280,534 | 12,626,396 | ||
2019-INV2, A3, 144A, FRN, 4.00%, 5/25/49 | United States | 15,904,269 | 16,477,246 | ||
t | Citibank Credit Card Issuance Trust, | ||||
2016-A3, A3, FRN, 2.204%, 12/07/23 | United States | 4,800,000 | 4,829,314 | ||
2017-A7, A7, FRN, 2.062%, 8/08/24 | United States | 36,060,000 | 36,249,272 | ||
d,t | Cole Park CLO Ltd., 2015-1A, BR, 144A, FRN, 3.419%, 10/20/28 | United States | 3,530,000 | 3,531,377 | |
d,t | Consumer Loan Underlying Bond CLUB Certificate Issuer Trust I, | ||||
2018-14, PT, 144A, FRN, 9.35%, 9/16/41 | United States | 4,230,350 | 4,079,043 | ||
2018-29, PT, 144A, FRN, 25.34%, 12/15/43 | United States | 2,051,993 | 1,661,128 | ||
2019-26, PT, 144A, FRN, 19.137%, 8/15/44 | United States | 7,354,582 | 6,687,183 | ||
2019-31, PT, 144A, FRN, 19.17%, 9/15/44 | United States | 6,672,741 | 6,008,135 | ||
2019-37, PT, 144A, FRN, 19.627%, 10/17/44 | United States | 6,727,030 | 6,279,686 | ||
2019-42, PT, 144A, FRN, 19.31%, 11/15/44 | United States | 7,087,657 | 6,587,357 | ||
2019-51, PT, 144A, FRN, 17.50%, 1/15/45 | United States | 7,461,651 | 7,164,032 | ||
2019-52, PT, 144A, FRN, 11.118%, 1/15/45 | United States | 7,292,478 | 7,169,164 | ||
2019-S1, PT, 144A, FRN, 14.26%, 4/15/44 | United States | 6,096,719 | 5,245,567 | ||
2019-S2, PT, 144A, FRN, 13.513%, 5/16/44 | United States | 4,505,618 | 3,991,814 | ||
2019-S3, PT, 144A, FRN, 13.77%, 6/15/44 | United States | 5,227,067 | 4,702,580 | ||
2019-S4, PT, 144A, FRN, 11.83%, 8/15/44 | United States | 6,059,877 | 5,472,096 | ||
2019-S5, PT, 144A, FRN, 13.01%, 9/15/44 | United States | 5,623,337 | 5,070,102 | ||
2019-S6, PT, 144A, FRN, 11.68%, 10/17/44 | United States | 5,276,374 | 4,837,884 | ||
2019-S7, PT, 144A, FRN, 11.34%, 12/15/44 | United States | 4,562,476 | 4,178,076 | ||
2019-S8, PT, 144A, FRN, 10.53%, 1/15/45 | United States | 5,596,967 | 5,235,248 | ||
2020-2, PT, 144A, FRN, 16.113%, 3/15/45 | United States | 6,994,212 | 6,861,288 | ||
t | Discover Card Execution Note Trust, 2017-A7, A7, FRN, 2.036%, 4/15/25 | United States | 5,360,000 | 5,379,015 | |
d,t | Dryden 38 Senior Loan Fund, 2015-38A, CR, 144A, FRN, 3.831%, 7/15/30 | United States | 7,186,000 | 7,156,753 | |
d,u | Dryden 41 Senior Loan Fund, 2015-41A, AR, 144A, FRN, 2.801%, (3-month USD LIBOR + 0.97%), 4/15/31 | United States | 9,850,000 | 9,810,600 | |
d,u | Dryden 42 Senior Loan Fund, 2016-42A, DR, 144A, FRN, 4.761%, (3-month USD LIBOR + 2.93%), 7/15/30 | United States | 8,400,000 | 8,391,516 |
Country/Organization | Principal Amount* | Value | |||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) | |||||
Diversified Financials (continued) | |||||
d,u | Dryden 55 CLO Ltd., | ||||
2018-55A, A1, 144A, FRN, 2.851%, (3-month USD LIBOR + 1.02%), 4/15/31 | United States | 11,500,000 | $11,502,645 | ||
2018-55A, D, 144A, FRN, 4.681%, (3-month USD LIBOR + 2.85%), 4/15/31 | United States | 3,000,000 | 2,962,410 | ||
d,u | Dryden 64 CLO Ltd., 2018-64A, A, 144A, FRN, 2.789%, (3-month USD LIBOR + 0.97%), 4/18/31 | United States | 5,070,000 | 5,046,678 | |
d,t | Eaton Vance CLO Ltd., 2014-1RA, C, 144A, FRN, 3.931%, 7/15/30 | United States | 1,972,575 | 1,966,953 | |
d,t | Eleven Madison Trust Mortgage Trust, 2015-11MD, A, 144A, FRN, 3.555%, 9/10/35 | United States | 14,920,000 | 16,155,081 | |
FHLMC Structured Agency Credit Risk Debt Notes, | |||||
u 2013-DN2, M2, FRN, 5.911%, (1-month USD LIBOR + 4.25%), 11/25/23 | United States | 11,600,868 | 12,587,439 | ||
u 2014-DN1, M2, FRN, 3.861%, (1-month USD LIBOR + 2.20%), 2/25/24 | United States | 4,960,419 | 5,016,426 | ||
u 2014-DN2, M3, FRN, 5.261%, (1-month USD LIBOR + 3.60%), 4/25/24 | United States | 21,379,000 | 22,791,391 | ||
u 2014-DN3, M3, FRN, 5.661%, (1-month USD LIBOR + 4.00%), 8/25/24 | United States | 983,939 | 1,050,242 | ||
u 2014-DN4, M3, FRN, 6.211%, (1-month USD LIBOR + 4.55%), 10/25/24 | United States | 12,747,100 | 13,749,851 | ||
u 2014-HQ1, M3, FRN, 5.761%, (1-month USD LIBOR + 4.10%), 8/25/24 | United States | 2,791,936 | 2,958,541 | ||
u 2014-HQ2, M2, FRN, 3.861%, (1-month USD LIBOR + 2.20%), 9/25/24 | United States | 5,875,814 | 5,951,471 | ||
u 2014-HQ3, M3, FRN, 6.411%, (1-month USD LIBOR + 4.75%), 10/25/24 | United States | 5,453,241 | 5,800,964 | ||
u 2015-DNA1, M3, FRN, 4.961%, (1-month USD LIBOR + 3.30%), 10/25/27 | United States | 2,830,000 | 3,058,906 | ||
u 2015-DNA3, M3, FRN, 6.361%, (1-month USD LIBOR + 4.70%), 4/25/28 | United States | 18,411,581 | 20,456,883 | ||
u 2015-HQ1, M3, FRN, 5.461%, (1-month USD LIBOR + 3.80%), 3/25/25 | United States | 6,122,737 | 6,293,550 | ||
u 2015-HQA1, M3, FRN, 6.361%, (1-month USD LIBOR + 4.70%), 3/25/28 | United States | 18,830,000 | 20,081,743 | ||
u 2016-DNA2, M3, FRN, 6.311%, (1-month USD LIBOR + 4.65%), 10/25/28 | United States | 16,214,343 | 17,467,170 | ||
t 2017-DNA1, M2, FRN, 4.911%, 7/25/29 | United States | 7,300,000 | 7,757,124 | ||
t 2017-DNA2, M2, FRN, 5.111%, 10/25/29 | United States | 5,868,312 | 6,325,138 | ||
u 2017-DNA3, M2, FRN, 4.161%, (1-month USD LIBOR + 2.50%), 3/25/30 | United States | 26,312,269 | 27,285,081 | ||
t 2017-HQA1, M2, FRN, 5.211%, 8/25/29 | United States | 28,226,000 | 29,803,116 | ||
t 2017-HQA2, M2, FRN, 4.311%, 12/25/29 | United States | 2,885,000 | 2,982,260 | ||
d,u | Flagship CLO VIII Ltd., | ||||
2014-8A, ARR, 144A, FRN, 2.693%, (3-month USD LIBOR + 0.85%), 1/16/26 | United States | 3,949,439 | 3,949,992 | ||
2014-8A, DR, 144A, FRN, 4.893%, (3-month USD LIBOR + 3.05%), 1/16/26 | United States | 3,000,000 | 2,953,170 |
Country/Organization | Principal Amount* | Value | |||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) | |||||
Diversified Financials (continued) | |||||
FNMA Connecticut Avenue Securities, | |||||
u 2013-C01, M2, FRN, 6.911%, (1-month USD LIBOR + 5.25%), 10/25/23 | United States | 14,108,791 | $15,569,470 | ||
u 2014-C01, M2, FRN, 6.061%, (1-month USD LIBOR + 4.40%), 1/25/24 | United States | 16,330,761 | 17,799,285 | ||
u 2014-C02, 1M2, FRN, 4.261%, (1-month USD LIBOR + 2.60%), 5/25/24 | United States | 13,229,130 | 13,775,427 | ||
u 2014-C03, 1M2, FRN, 4.661%, (1-month USD LIBOR + 3.00%), 7/25/24 | United States | 29,127,822 | 30,772,627 | ||
u 2014-C03, 2M2, FRN, 4.561%, (1-month USD LIBOR + 2.90%), 7/25/24 | United States | 3,658,356 | 3,826,642 | ||
u 2015-C01, 1M2, FRN, 5.961%, (1-month USD LIBOR + 4.30%), 2/25/25 | United States | 7,292,138 | 7,809,936 | ||
u 2015-C01, 2M2, FRN, 6.211%, (1-month USD LIBOR + 4.55%), 2/25/25 | United States | 8,427,442 | 8,771,654 | ||
u 2015-C02, 1M2, FRN, 5.661%, (1-month USD LIBOR + 4.00%), 5/25/25 | United States | 21,107,458 | 22,569,660 | ||
u 2015-C02, 2M2, FRN, 5.661%, (1-month USD LIBOR + 4.00%), 5/25/25 | United States | 9,895,368 | 10,307,280 | ||
u 2015-C03, 1M2, FRN, 6.661%, (1-month USD LIBOR + 5.00%), 7/25/25 | United States | 25,368,089 | 27,727,096 | ||
u 2015-C03, 2M2, FRN, 6.661%, (1-month USD LIBOR + 5.00%), 7/25/25 | United States | 12,355,882 | 13,168,877 | ||
t 2016-C02, 1M2, FRN, 7.661%, 9/25/28 | United States | 9,121,120 | 10,050,996 | ||
t 2016-C04, 1M2, FRN, 5.911%, 1/25/29 | United States | 9,674,713 | 10,312,785 | ||
t 2016-C05, 2M2, FRN, 6.111%, 1/25/29 | United States | 5,927,827 | 6,286,911 | ||
t 2016-C06, 1M2, FRN, 5.911%, 4/25/29 | United States | 2,220,000 | 2,382,959 | ||
t 2016-C07, 2M2, FRN, 6.011%, 5/25/29 | United States | 3,697,841 | 3,919,515 | ||
u 2017-C01, 1M2, FRN, 5.211%, (1-month USD LIBOR + 3.55%), 7/25/29 | United States | 22,910,000 | 24,194,215 | ||
t 2017-C03, 1M2, FRN, 4.661%, 10/25/29 | United States | 24,932,535 | 26,186,908 | ||
t 2017-C03, 2M2, FRN, 4.511%, 11/25/29 | United States | 7,075,499 | 7,346,446 | ||
t 2017-C05, 1M2, FRN, 3.861%, 1/25/30 | United States | 20,670,408 | 21,075,058 | ||
d | Galaxy XVIII CLO Ltd., | ||||
t 2018-28A, A2, 144A, FRN, 2.901%, 7/15/31 | United States | 9,500,000 | 9,502,375 | ||
u 2018-28A, C, 144A, FRN, 3.781%, (3-month USD LIBOR + 1.95%), 7/15/31 | United States | 3,070,000 | 3,063,338 | ||
d,t | Galaxy XXVI CLO Ltd., 2018-26A, A, 144A, FRN, 3.099%, 11/22/31 | United States | 7,600,000 | 7,598,480 | |
d,u | Galaxy XXVII CLO Ltd., 2018-27A, C, 144A, FRN, 3.704%, (3-month USD LIBOR + 1.80%), 5/16/31 | United States | 3,600,000 | 3,561,984 | |
GS Mortgage Securities Trust, | |||||
t 2016-GS3, B, FRN, 3.395%, 10/10/49 | United States | 8,037,000 | 8,447,111 | ||
2017-GS6, B, 3.869%, 5/10/50 | United States | 7,700,000 | 8,331,151 |
Country/Organization | Principal Amount* | Value | |||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) | |||||
Diversified Financials (continued) | |||||
d,t | HPS Loan Management Ltd., 2013A-18, C, 144A, FRN, 3.981%, 10/15/30 | United States | 4,950,000 | $4,912,826 | |
d,t | LCM XVI LP, | ||||
2016A, A2R, 144A, FRN, 3.011%, 10/15/31 | United States | 7,655,557 | 7,631,825 | ||
2016A, BR2, 144A, FRN, 3.581%, 10/15/31 | United States | 13,525,832 | 13,491,476 | ||
d,t | LCM XVII LP, | ||||
2017A, BRR, 144A, FRN, 3.431%, 10/15/31 | United States | 4,590,000 | 4,511,373 | ||
2017A, CRR, 144A, FRN, 3.931%, 10/15/31 | United States | 4,240,000 | 4,177,926 | ||
d,u | LCM XVIII LP, 2018A, DR, 144A, FRN, 4.619%, (3-month USD LIBOR + 2.80%), 4/20/31 | United States | 6,860,000 | 6,577,162 | |
d,u | LCM XXIV Ltd., 24A, A, 144A, FRN, 3.129%, (3-month USD LIBOR + 1.31%), 3/20/30 | United States | 4,300,000 | 4,303,182 | |
d,t | Madison Park Euro Funding VIII DAC, | ||||
8A, ARN, 144A, FRN, 0.95%, 4/15/32 | Ireland | 27,500,000 | EUR | 30,561,899 | |
8A, BRN, 144A, FRN, 1.70%, 4/15/32 | Ireland | 4,100,000 | EUR | 4,577,508 | |
d,t | Madison Park Euro Funding XIV DAC, 2014A, A1N, 144A, FRN, 1.12%, 7/15/32 | Ireland | 9,800,000 | EUR | 10,925,027 |
d,u | Madison Park Funding XXIII Ltd., | ||||
2017-23A, B, 144A, FRN, 3.494%, (3-month USD LIBOR + 1.70%), 7/27/30 | United States | 2,400,000 | 2,401,896 | ||
2017-23A, C, 144A, FRN, 4.144%, (3-month USD LIBOR + 2.35%), 7/27/30 | United States | 5,000,000 | 5,001,100 | ||
d,t | Magnetite Ltd., 2015-14RA, A1, 144A, FRN, 2.939%, 10/18/31 | United States | 2,000,000 | 1,995,040 | |
d,t | Mill City Mortgage Loan Trust, 2018-4, A1B, 144A, FRN, 3.50%, 4/25/66 | United States | 16,720,000 | 17,393,100 | |
u | MortgageIT Trust, | ||||
2004-1, A2, FRN, 2.561%, (1-month USD LIBOR + 0.90%), 11/25/34 | United States | 1,496,747 | 1,517,815 | ||
2005-5, A1, FRN, 2.181%, (1-month USD LIBOR + 0.26%), 12/25/35 | United States | 1,360,815 | 1,364,175 | ||
d,t | Mountain View Funding CLO XIV Ltd., | ||||
2019-1A, A1, 144A, FRN, 3.271%, 4/15/29 | United States | 5,000,000 | 5,002,950 | ||
2019-1A, C, 144A, FRN, 4.731%, 4/15/29 | United States | 4,500,000 | 4,510,440 | ||
d,t | Neuberger Berman CLO XVIII Ltd., 2014-18A, CR2, 144A, FRN, 4.819%, 10/21/30 | United States | 500,000 | 496,490 | |
d,t | Neuberger Berman CLO XXII Ltd., 2016-22A, CR, 144A, FRN, 4.036%, 10/17/30 | United States | 2,129,630 | 2,135,167 | |
d,u | NZCG Funding Ltd., 2015-1A, A2R, 144A, FRN, 3.467%, (3-month USD LIBOR + 1.55%), 2/26/31 | United States | 15,500,000 | 15,395,065 | |
d,t | Octagon Investment Partners 24 Ltd., 2015-1A, BS, 144A, FRN, 3.719%, 4/21/31 | United States | 4,485,000 | 4,492,176 | |
d,t | Octagon Investment Partners 28 Ltd., | ||||
2016-1A, A2R, 144A, FRN, 3.251%, 10/24/30 | United States | 10,000,000 | 10,035,300 | ||
2016-1A, BR, 144A, FRN, 3.601%, 10/24/30 | United States | 3,914,730 | 3,926,044 |
Country/Organization | Principal Amount* | Value | |||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) | |||||
Diversified Financials (continued) | |||||
d,u | Octagon Investment Partners 30 Ltd., 144A, FRN, 3.139%, (3-month USD LIBOR + 1.32%), 3/17/30 | United States | 4,300,000 | $4,327,520 | |
d,u | Octagon Investment Partners 36 Ltd., 2018-1A, A1, 144A, FRN, 2.801%, (3-month USD LIBOR + 0.97%), 4/15/31 | United States | 7,475,000 | 7,443,082 | |
d,u | Octagon Investment Partners 37 Ltd., 2018-2A, C, 144A, FRN, 4.644%, (3-month USD LIBOR + 2.85%), 7/25/30 | United States | 4,000,000 | 3,924,680 | |
d,t | Octagon Investment Partners 38 Ltd., 2018-1A, C, 144A, FRN, 4.769%, 7/20/30 | United States | 5,000,000 | 4,933,600 | |
d,u | Octagon Investment Partners XVI Ltd., 2013-1A, DR, 144A, FRN, 4.836%, (3-month USD LIBOR + 3.00%), 7/17/30 | United States | 6,000,000 | 5,940,900 | |
d,u | Octagon Investment Partners XXIII Ltd., 2015-1A, BR, 144A, FRN, 3.031%, (3-month USD LIBOR + 1.20%), 7/15/27 | United States | 4,590,000 | 4,543,274 | |
u | Opteum Mortgage Acceptance Corp. Trust, 2005-4, 1APT, FRN, 1.971%, (1-month USD LIBOR + 0.31%), 11/25/35 | United States | 1,546,933 | 1,560,043 | |
d | Prosper Pass-Thru Trust III, 2020-PT1, A, 144A, 8.796%, 3/15/26 | United States | 4,652,589 | 4,697,194 | |
d,t | Provident Funding Mortgage Trust, 2019-1, A2, 144A, FRN, 3.00%, 12/25/49 | United States | 9,993,507 | 10,164,824 | |
d,u | Race Point IX CLO Ltd., 2015-9A, A1AR, 144A, FRN, 3.041%, (3-month USD LIBOR + 1.21%), 10/15/30 | United States | 3,600,000 | 3,601,800 | |
d,t | Strata CLO I Ltd., 2018-1A, B, 144A, FRN, 4.031%, 1/15/31 | United States | 14,100,000 | 13,746,090 | |
u | Structured Asset Securities Corp., 2005-2XS, 2A2, FRN, 3.281%, (1-month USD LIBOR + 1.50%), 2/25/35 | United States | 1,724,349 | 1,755,732 | |
t | Thornburg Mortgage Securities Trust, 2005-1, A3, FRN, 4.184%, 4/25/45 | United States | 1,957,049 | 1,980,362 | |
d | Upgrade Master Pass-Thru Trust, | ||||
t 2019-PT1, A, 144A, FRN, 11.222%, 6/15/25 | United States | 3,205,302 | 3,181,903 | ||
2019-PT2, A, 144A, 4.846%, 2/15/26 | United States | 4,080,633 | 4,079,009 | ||
d | Voya CLO Ltd., | ||||
t 2013-2A, A2AR, 144A, FRN, 3.194%, 4/25/31 | United States | 2,200,000 | 2,170,410 | ||
u 2013-2A, BR, 144A, FRN, 3.644%, (3-month USD LIBOR + 1.85%), 4/25/31 | United States | 5,770,000 | 5,736,419 | ||
u 2014-1A, CR2, 144A, FRN, 4.619%, (3-month USD LIBOR + 2.80%), 4/18/31 | United States | 8,000,000 | 7,820,000 | ||
t 2015-2A, BR, 144A, FRN, 3.306%, 7/23/27 | United States | 9,290,000 | 9,313,782 | ||
t 2016-3A, A1R, 144A, FRN, 3.009%, 10/18/31 | United States | 10,000,000 | 9,997,200 | ||
t 2018-2A, A1, 144A, FRN, 2.831%, 7/15/31 | United States | 5,000,000 | 4,981,500 | ||
1,358,105,453 | |||||
Total Asset-Backed Securities and Commercial Mortgage-Backed Securities (Cost $1,386,657,767) | 1,375,959,457 | ||||
Mortgage-Backed Securities 8.3% | |||||
v | Federal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate 0.0%† | ||||
FHLMC, 4.973%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/33 | United States | 10,982 | 11,247 |
Country/Organization | Principal Amount* | Value | |||
Mortgage-Backed Securities (continued) | |||||
Federal Home Loan Mortgage Corp. (FHLMC) Fixed Rate 3.2% | |||||
FHLMC 30 Year, 2.50%, 10/01/49 | United States | 2,889,797 | $2,912,867 | ||
w | FHLMC 30 Year, 2.50%, 2/01/50 | United States | 13,500,000 | 13,602,832 | |
w | FHLMC 30 Year, 3.00%, 2/01/50 | United States | 122,800,000 | 125,582,186 | |
FHLMC Gold 15 Year, 5.00%, 7/01/22 | United States | 28,791 | 30,424 | ||
FHLMC Gold 30 Year, 4.50%, 10/01/40 | United States | 124,856 | 136,547 | ||
FHLMC Gold 30 Year, 5.00%, 5/01/27 - 2/01/38 | United States | 1,014,097 | 1,112,555 | ||
FHLMC Gold 30 Year, 5.50%, 6/01/33 - 6/01/36 | United States | 667,833 | 736,009 | ||
FHLMC Gold 30 Year, 6.00%, 6/01/33 - 6/01/37 | United States | 256,371 | 288,319 | ||
FHLMC Gold 30 Year, 6.50%, 10/01/21 - 6/01/36 | United States | 92,994 | 105,623 | ||
FHLMC Gold 30 Year, 7.00%, 9/01/21 - 8/01/32 | United States | 19,196 | 20,095 | ||
FHLMC Gold 30 Year, 7.50%, 1/01/26 - 1/01/31 | United States | 4,683 | 5,521 | ||
FHLMC Gold 30 Year, 8.00%, 11/01/25 - 1/01/26 | United States | 64 | 64 | ||
FHLMC Gold 30 Year, 9.00%, 12/01/24 | United States | 49 | 53 | ||
144,533,095 | |||||
v | Federal National Mortgage Association (FNMA) Adjustable Rate 0.0%† | ||||
FNMA, 4.031%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/34 | United States | 114,671 | 121,418 | ||
Federal National Mortgage Association (FNMA) Fixed Rate 1.2% | |||||
FNMA 15 Year, 2.50%, 7/01/27 - 12/01/34 | United States | 10,107,933 | 10,292,899 | ||
FNMA 15 Year, 5.50%, 3/01/21 - 4/01/22 | United States | 16,439 | 16,547 | ||
FNMA 30 Year, 3.00%, 9/01/48 | United States | 37,510,032 | 38,738,404 | ||
FNMA 30 Year, 4.50%, 3/01/28 - 2/01/41 | United States | 382,797 | 416,358 | ||
FNMA 30 Year, 5.00%, 9/01/23 - 10/01/35 | United States | 1,020,595 | 1,119,310 | ||
FNMA 30 Year, 5.50%, 9/01/33 - 12/01/35 | United States | 949,414 | 1,060,713 | ||
FNMA 30 Year, 6.00%, 6/01/34 - 5/01/38 | United States | 2,095,447 | 2,372,730 | ||
FNMA 30 Year, 6.50%, 3/01/28 - 10/01/37 | United States | 272,507 | 313,107 | ||
FNMA 30 Year, 7.50%, 10/01/29 | United States | 4,655 | 5,410 | ||
FNMA 30 Year, 8.00%, 1/01/25 - 5/01/26 | United States | 2,233 | 2,488 | ||
54,337,966 | |||||
Government National Mortgage Association (GNMA) Fixed Rate 3.9% | |||||
GNMA I SF 30 Year, 5.00%, 6/15/34 - 7/15/34 | United States | 116,621 | 128,487 | ||
GNMA I SF 30 Year, 5.50%, 2/15/33 - 6/15/36 | United States | 311,002 | 341,361 | ||
GNMA I SF 30 Year, 6.00%, 8/15/36 | United States | 20,812 | 23,828 | ||
GNMA I SF 30 Year, 6.50%, 2/15/29 - 3/15/32 | United States | 37,377 | 41,260 | ||
GNMA I SF 30 Year, 7.00%, 11/15/27 - 5/15/28 | United States | 8,966 | 9,199 | ||
GNMA I SF 30 Year, 7.50%, 9/15/23 - 5/15/27 | United States | 604 | 623 | ||
GNMA I SF 30 Year, 8.00%, 2/15/25 - 9/15/27 | United States | 2,924 | 3,026 | ||
GNMA I SF 30 Year, 8.50%, 8/15/24 | United States | 42 | 43 | ||
GNMA I SF 30 Year, 9.00%, 1/15/25 | United States | 172 | 173 | ||
GNMA I SF 30 Year, 9.50%, 6/15/25 | United States | 354 | 355 | ||
GNMA II SF 30 Year, 3.50%, 11/20/49 | United States | 60,907,602 | 63,131,889 | ||
GNMA II SF 30 Year, 3.50%, 12/20/49 | United States | 62,692,722 | 65,022,604 |
Country/Organization | Principal Amount* | Value | |||
Mortgage-Backed Securities (continued) | |||||
Government National Mortgage Association (GNMA) Fixed Rate (continued) | |||||
w | GNMA II SF 30 Year, 3.50%, 1/01/50 | United States | 42,500,000 | $43,844,727 | |
GNMA II SF 30 Year, 5.00%, 9/20/33 - 11/20/33 | United States | 177,065 | 197,040 | ||
GNMA II SF 30 Year, 5.50%, 6/20/34 | United States | 91,278 | 102,925 | ||
GNMA II SF 30 Year, 6.00%, 11/20/34 | United States | 89,494 | 103,467 | ||
GNMA II SF 30 Year, 6.50%, 7/20/28 - 12/20/31 | United States | 50,597 | 58,061 | ||
GNMA II SF 30 Year, 7.50%, 4/20/32 | United States | 15,484 | 17,543 | ||
173,026,611 | |||||
Total Mortgage-Backed Securities (Cost $367,806,019) | 372,030,337 | ||||
Municipal Bonds 4.5% | |||||
Birmingham Water Works Board Water Revenue, Senior, Refunding, 3.573%, 1/01/45 | United States | 11,790,000 | 12,288,599 | ||
Board of Regents of the Texas A & M University System Revenue, Permanent University Fund, Refunding, 3.10%, 7/01/49 | United States | 7,860,000 | 8,030,012 | ||
Broward County Airport System Revenue, Refunding, Series C, 3.477%, 10/01/43 | United States | 3,160,000 | 3,300,399 | ||
California Health Facilities Financing Authority Revenue, | |||||
Senior, No Place Like Home Program, 2.934%, 6/01/32 | United States | 3,010,000 | 3,157,520 | ||
Senior, No Place Like Home Program, 2.984%, 6/01/33 | United States | 2,600,000 | 2,722,044 | ||
Senior, No Place Like Home Program, 3.034%, 6/01/34 | United States | 1,965,000 | 2,043,168 | ||
City of Austin Electric Utility System Revenue, Travis and Williamson Counties, Refunding, 6.262%, 11/15/32 | United States | 5,955,000 | 7,530,931 | ||
Foothill/Eastern Transportation Corridor Agency Toll Road Revenue, Refunding, Series A, 4.094%, 1/15/49 | United States | 1,540,000 | 1,607,806 | ||
Gilroy USD, GO, Santa Clara County, Refunding, 3.364%, 8/01/47 | United States | 6,485,000 | 6,565,674 | ||
Greenville City School District GO, County of Darke, School Improvement, Refunding, 3.541%, 1/01/51 | United States | 7,335,000 | 7,508,473 | ||
Honolulu City and County Wastewater System Revenue, Second Bond Resolution, Refunding, Junior Series B, 2.585%, 7/01/28 | United States | 1,180,000 | 1,230,610 | ||
Kaiser Foundation Hospitals, 3.266%, 11/01/49 | United States | 9,825,000 | 10,500,389 | ||
Massachusetts State College Building Authority Revenue, Refunding, Series C, 3.373%, 5/01/43 | United States | 5,140,000 | 5,258,528 | ||
Massachusetts State School Building Authority Dedicated Sales Tax Revenue, Subordinated, Refunding, Series B, 3.395%, 10/15/40 | United States | 5,895,000 | 6,145,773 | ||
Metro Wastewater Reclamation District Sewer Revenue, Refunding, Series B, 3.158%, 4/01/41 | United States | 4,880,000 | 5,028,059 | ||
Metropolitan St. Louis Sewer District Wastewater System Revenue, Refunding, Series C, 3.259%, 5/01/45 | United States | 14,150,000 | 14,668,032 | ||
New Jersey State Transportation Trust Fund Authority Revenue, Transportation System, Series B, 4.131%, 6/15/42 | United States | 3,535,000 | 3,797,898 | ||
New York State Dormitory Authority Revenues, Non State Supported Debt, State University of New York Dormitory Facilities, Series B, 3.142%, 7/01/43 | United States | 3,145,000 | 3,311,559 |
Country/Organization | Principal Amount* | Value | |||
Municipal Bonds (continued) | |||||
New York State GO, Refunding, Series B, 3.20%, 2/15/39 | United States | 11,740,000 | $12,326,413 | ||
New York State Urban Development Corp. Sales Tax Revenue, Bidding Group 2, Series B, 2.97%, 3/15/34 | United States | 19,210,000 | 20,082,903 | ||
Ohio State Hospital Facility Revenue, Cleveland Clinic Health System Obligated Group, Refunding, Series G, 3.276%, 1/01/42 | United States | 1,975,000 | 2,091,209 | ||
Oregon State Department of Transportation Highway User Tax Revenue, senior lien, Refunding, Series B, 3.168%, 11/15/38 | United States | 3,930,000 | 4,083,584 | ||
Orlando Health Obligated Group, 3.777%, 10/01/28 | United States | 3,870,000 | 4,229,043 | ||
Pennsylvania State Turnpike Commission Turnpike Revenue, Motor License Fund-Enhanced, Subordinate, Refunding, First Series, 3.579%, 12/01/43 | United States | 9,825,000 | 10,128,887 | ||
Regional Transportation District Sales Tax Revenue, FasTracks Project, Refunding, Series A, 3.258%, 11/01/38 | United States | 3,145,000 | 3,286,368 | ||
RWJ Barnabas Health Inc., 3.477%, 7/01/49 | United States | 2,650,000 | 2,803,666 | ||
Salt Lake City Sales and Excise Tax Revenue, Refunding, Series B, 3.102%, 4/01/38 | United States | 2,750,000 | 2,800,050 | ||
San Bernardino Community College District GO, San Bernadino and Riverside Counties, Election of 2018, Series A-1, 3.271%, 8/01/39 | United States | 2,160,000 | 2,213,827 | ||
San Diego County Regional Transportation Commission Sales Tax Revenue, Limited Tax, Refunding, Series A, 3.248%, 4/01/48 | United States | 2,360,000 | 2,450,081 | ||
San Francisco City and County Public Utilities Commission Water Revenue, Green Bonds, Refunding, Sub-Series A, 3.473%, 11/01/43 | United States | 2,310,000 | 2,412,171 | ||
San Jose RDA Successor Agency Tax Allocation, Senior, Refunding, Series A-T, 3.25%, 8/01/29 | United States | 5,675,000 | 6,152,608 | ||
Texas State GO, Transportation Commission, Highway Improvement, Refunding, 3.211%, 4/01/44 | United States | 5,895,000 | 6,153,496 | ||
Texas State University System Financing Revenue, | |||||
Refunding, Series B, 2.938%, 3/15/33 | United States | 2,315,000 | 2,400,308 | ||
Refunding, Serise B, 3.289%, 3/15/40 | United States | 1,965,000 | 2,012,533 | ||
University of Pittsburgh of the Commonwealth System of Higher Education Revenue, Refunding, Series C, 3.005%, 9/15/41 | United States | 5,500,000 | 5,697,120 | ||
Utah Transit Authority Sales Tax Revenue, Refunding, Series B, 3.443%, 12/15/42 | United States | 3,930,000 | 4,120,723 | ||
Total Municipal Bonds (Cost $191,692,055) | 200,140,464 | ||||
Shares/Units | |||||
Escrows and Litigation Trusts 0.0%† | |||||
a,c | Clear Channel Communications Inc., Escrow Account | United States | 8,000,000 | — | |
a,c | iHeartCommunications Inc., Escrow Account | United States | 3,100,000 | — | |
a,c | Millennium Corporate Claim Trust, Escrow Account | United States | 8,736,451 | — | |
a,c | Millennium Lender Claim Trust, Escrow Account | United States | 8,736,450 | — | |
a,aa,c,e | Remington Outdoor Co. Inc., Litigation Units | United States | 124,500 | — | |
a,c | T-Mobile USA Inc., Escrow Account | United States | 29,900,000 | — |
Country/Organization | Shares/Units | Value | ||||
Escrows and Litigation Trusts (continued) | ||||||
a | Vistra Energy Corp., Escrow Account | United States | 30,000,000 | $60,000 | ||
Total Escrows and Litigation Trusts (Cost $869,132) | 60,000 | |||||
Number of Contracts | Notional Amount* | |||||
Options Purchased (Cost $1,430,322) 0.1% | ||||||
Puts - Over-the-Counter | ||||||
Currency Options 0.1% | ||||||
USD/JPY, Counterparty CITI, July Strike Price 109.00 JPY, Expires 7/14/20 | 1 | 89,200,000 | 2,020,023 | |||
Total Investments before Short Term Investments (Cost $4,504,609,608) | 4,442,518,115 | |||||
Country/Organization | Shares | |||||
Short Term Investments 4.0% | ||||||
Money Market Funds (Cost $58,820,753) 1.3% | ||||||
f,x | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | United States | 58,820,753 | 58,820,753 | ||
Principal Amount* | ||||||
Repurchase Agreements (Cost $123,817,564) 2.7% | ||||||
y | Joint Repurchase Agreement, 1.568%, 2/03/20 (Maturity Value $123,833,748) BNP Paribas Securities Corp. (Maturity Value $57,396,942) Deutsche Bank Securities Inc. (Maturity Value $18,606,021) HSBC Securities (USA) Inc. (Maturity Value $47,830,785) Collateralized by U.S. Government Agency Securities, 2.625% - 5.00%, 9/06/24 - 12/20/49; U.S. Government Agency Strips, 5/15/21 - 11/15/39; zU.S. Treasury Bills, 2/06/20 - 1/28/21; U.S. Treasury Bonds, 2.875% - 4.375%, 11/15/39 - 8/15/45; U.S. Treasury Bonds, Index
Linked, 2.00%, 1/15/26; and U.S. Treasury Notes, 1.375% - 2.625%, 3/31/21 - 12/31/25 (valued at $126,302,240) | United States | 123,817,564 | 123,817,564 | ||
Total Investments (Cost $4,687,247,925) 102.6% | 4,625,156,432 | |||||
Other Assets, less Liabilities (2.6)% | (117,444,147) | |||||
Net Assets 100.0% | $4,507,712,285 |
†Rounds to less than 0.1% of net assets. |
*The principal/notional amount is stated in U.S. dollars unless otherwise indicated. |
aNon-income producing. |
aaSee Note 7 regarding holdings of 5% voting securities. |
bThe security is owned by FT Holdings Corporation ll, a wholly-owned subsidiary of the Fund. See Note 9. |
cFair valued using significant unobservable inputs. See Note 11 regarding fair value measurements. |
dSecurity was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under the Securities Act of 1933. At January 31, 2020, the aggregate value of these securities was $1,705,597,761, representing 37.8% of net assets. |
eSee Note 6 regarding restricted securities. |
fSee Note 8 regarding investments in affiliated management investment companies. |
gSecurity was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. At January 31, 2020, the aggregate value of these securities was $78,196,754, representing 1.7% of net assets. |
hIncome may be received in additional securities and/or cash. |
iThe coupon rate shown represents the rate at period end. |
jPrincipal amount is stated in 1,000 Brazilian Real Units. |
kSecurity purchased on a when-issued basis. |
lDefaulted security or security for which income has been deemed uncollectible. |
mPerpetual security with no stated maturity date. |
nA portion or all of the security purchased on a delayed delivery basis. |
oA portion or all of the security represents an unsettled loan commitment. The coupon rate is to-be determined (TBD) at the time of settlement and will be based upon a reference index/floor plus a spread. |
pA supranational organization is an entity formed by two or more central governments through international treaties. |
qRedemption price at maturity and coupon payment are adjusted for inflation. |
rThe principal represents the notional amount. See Note 3 regarding value recovery instruments. |
sPrincipal amount of security is adjusted for inflation. |
tAdjustable rate security with an interest rate that is not based on a published reference index and spread. The rate is based on the structure of the agreement and current market conditions. The coupon rate shown represents the rate at period end. |
uThe coupon rate shown represents the rate inclusive of any caps or floors, if applicable, in effect at period end. |
vAdjustable Rate Mortgage-Backed Security (ARM); the rate shown is the effective rate at period end. ARM rates are not based on a published reference rate and spread, but instead pass-through weighted average interest income inclusive of any caps or floors, if applicable, from the underlying mortgage loans in which the majority of mortgages pay interest based on the index shown at their designated reset dates plus a spread, less the applicable servicing and guaranty fee (MBS margin). |
wSecurity purchased on a to-be-announced (TBA) basis. |
xThe rate shown is the annualized seven-day effective yield at period end. |
yInvestment is through participation in a joint account with other funds managed by the investment manager or an affiliate of the investment manager. At January 31, 2020, all repurchase agreements had been entered into on that date. |
zThe security was issued on a discount basis with no stated coupon rate. |
Description | Type | Number of Contracts | Notional Amount* | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Contracts | |||||
Australian 3 Yr. Bond | Long | 1,173 | $91,063,399 | 3/16/20 | $379,898 |
Australian 10 Yr. Bond | Long | 372 | 36,823,582 | 3/16/20 | 721,485 |
Canada 10 Yr. Bond | Long | 114 | 12,245,848 | 3/20/20 | 184,169 |
Euro-BTP | Long | 953 | 156,470,665 | 3/06/20 | 5,600,744 |
Euro-Bund | Long | 138 | 26,792,095 | 3/06/20 | 438,783 |
Euro-OAT | Short | 365 | 67,697,304 | 3/06/20 | (1,318,362) |
U.S. Treasury 2 Yr. Note | Long | 3,725 | 805,938,672 | 3/31/20 | 3,330,821 |
Ultra 10 Yr. U.S. Treasury Note | Short | 1,830 | 266,550,937 | 3/20/20 | (7,663,674) |
Total Futures Contracts | $1,673,864 |
*As of period end. |
Currency | Counterpartya | Type | Quantity | Contract Amount | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
OTC Forward Exchange Contracts | ||||||||
Australian Dollar | JPHQ | Sell | 10,000,000 | $6,850,450 | 2/11/20 | $155,667 | $ — | |
Chinese Yuan Renminbi | JPHQ | Sell | 636,100,000 | 89,112,406 | 2/24/20 | — | (1,699,346) | |
Brazilian Real | JPHQ | Sell | 46,700,000 | 11,423,679 | 3/02/20 | 534,683 | — | |
Brazilian Real | JPHQ | Sell | 72,795,000 | 17,318,383 | 3/04/20 | 346,686 | — | |
South Korean Won | JPHQ | Sell | 17,000,000,000 | 14,311,812 | 3/04/20 | 92,112 | — | |
Indonesian Rupiah | JPHQ | Sell | 190,000,000,000 | 13,310,915 | 3/05/20 | — | (404,470) | |
Japanese Yen | JPHQ | Buy | 4,450,000,000 | 41,768,204 | 3/13/20 | — | (613,992) | |
Canadian Dollar | JPHQ | Sell | 40,400,000 | 30,579,761 | 3/16/20 | 55,699 | — | |
Euro | JPHQ | Sell | 29,500,000 | 32,753,702 | 3/16/20 | — | (57,610) | |
Euro | JPHQ | Sell | 106,706,321 | 119,274,053 | 3/16/20 | 590,173 | — | |
Norwegian Krone | JPHQ | Buy | 417,400,000 | 46,610,832 | 3/16/20 | — | (1,227,042) | |
Swedish Krona | JPHQ | Buy | 294,000,000 | 29,995,562 | 3/16/20 | 609,840 | — | |
Swedish Krona | JPHQ | Sell | 294,000,000 | 30,910,276 | 3/16/20 | 304,874 | — | |
New Zealand Dollar | JPHQ | Sell | 30,600,000 | 20,205,602 | 3/19/20 | 413,541 | — | |
Australian Dollar | JPHQ | Sell | 45,200,000 | 31,104,832 | 4/15/20 | 806,348 | — | |
Turkish Lira | JPHQ | Buy | 62,000,000 | 9,831,127 | 4/15/20 | 356,825 | — | |
Canadian Dollar | JPHQ | Sell | 8,500,000 | 6,519,255 | 4/16/20 | 97,040 | — | |
Australian Dollar | DBAB | Sell | 3,000,000 | 2,056,200 | 4/27/20 | 44,793 | — | |
Australian Dollar | JPHQ | Sell | 25,000,000 | 17,137,750 | 4/27/20 | 376,028 | — | |
Japanese Yen | JPHQ | Buy | 15,730,000,000 | 144,505,484 | 4/28/20 | 1,349,751 | — | |
Canadian Dollar | JPHQ | Sell | 23,800,000 | 18,105,468 | 4/29/20 | 123,198 | — | |
Mexican Peso | JPHQ | Buy | 297,700,000 | 15,611,971 | 4/29/20 | — | (52,340) | |
Euro | JPHQ | Sell | 36,246,949 | 40,398,856 | 7/23/20 | — | (225,286) |
Currency | Counterpartya | Type | Quantity | Contract Amount | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
OTC Forward Exchange Contracts (continued) | ||||||||
Norwegian Krone | JPHQ | Buy | 257,400,000 | $28,461,094 | 7/23/20 | $ — | $(472,152) | |
Total Forward Exchange Contracts | $6,257,258 | $(4,752,238) | ||||||
Net unrealized appreciation (depreciation) | $1,505,020 |
aMay be comprised of multiple contracts with the same counterparty, currency and settlement date. |
Description | Periodic Payment Rate Received (Paid) | Payment Frequency | Counter-partya | Maturity Date | Notional Amountb | Value | Unamortized Upfront Payments (Receipts) | Unrealized Appreciation (Depreciation) | Ratingc | |
Centrally Cleared Swap Contracts | ||||||||||
Contracts to Sell Protectiond,e | ||||||||||
Traded Index | ||||||||||
CDX.EM.31 | 1.00% | Quarterly | 6/20/24 | $48,700,000 | $(1,545,826) | $(1,122,980) | $(422,846) | Investment | ||
Grade | ||||||||||
OTC Swap Contracts | ||||||||||
Contracts to Buy Protectiond | ||||||||||
Single Name | ||||||||||
Ally Financial Inc. | (5.00)% | Quarterly | JPHQ | 12/20/24 | $19,800,000 | $(4,135,438) | $(3,617,253) | $(518,185) | ||
Government of Italy | (1.00)% | Quarterly | BZWS | 6/20/23 | 14,200,000 | (241,601) | 104,705 | (346,306) | ||
Contracts to Sell Protectiond,e | ||||||||||
Single Name | ||||||||||
Government of Argentina | 5.00% | Quarterly | CITI | 12/20/21 | 48,600,000 | (28,719,433) | (24,088,194) | (4,631,239) | CCC- | |
Government of Indonesia | 1.00% | Quarterly | CITI | 12/20/24 | 24,700,000 | 409,521 | 157,997 | 251,524 | NR | |
Government of Italy | 1.00% | Quarterly | BZWS | 6/20/23 | 14,200,000 | 103,441 | (459,144) | 562,585 | NR | |
Government of Russia | 1.00% | Quarterly | CITI | 12/20/24 | 13,500,000 | 241,247 | 130,815 | 110,432 | BBB- | |
Traded Index | ||||||||||
fBNP Paribas Bespoke Bordeaux Index, Mezzanine Tranche 7-10% | 2.10% | Quarterly | BNDP | 6/20/20 | 6,850,000 | 68,325 | — | 68,325 | Non- | |
Investment Grade | ||||||||||
fBNP Paribas Bespoke Rodez2 Index, Mezzanine Tranche 5-7% | 3.20% | Quarterly | BNDP | 12/20/20 | 3,300,000 | 78,648 | — | 78,648 | Non- | |
Investment Grade | ||||||||||
fCitibank Bespoke Bogota Index, Mezzanine Tranche 7-10% | 1.35% | Quarterly | CITI | 6/20/20 | 7,000,000 | 27,742 | — | 27,742 | Non- | |
Investment Grade |
Description | Periodic Payment Rate Received (Paid) | Payment Frequency | Counter-partya | Maturity Date | Notional Amountb | Value | Unamortized Upfront Payments (Receipts) | Unrealized Appreciation (Depreciation) | Ratingc | |
OTC Swap Contracts (continued) | ||||||||||
Contracts to Sell Protectiond,e (continued) | ||||||||||
Traded Index (continued) | ||||||||||
fCitibank Bespoke Palma Index, Mezzanine Tranche 5-7% | 2.30% | Quarterly | CITI | 6/20/21 | $6,700,000 | $156,919 | $ — | $156,919 | Non- | |
Investment Grade | ||||||||||
fCitibank Bespoke Phoenix Index, Mezzanine Tranche 5-7% | 2.90% | Quarterly | CITI | 12/20/21 | 8,500,000 | 253,097 | — | 253,097 | Non- | |
Investment Grade | ||||||||||
fCitibank Bespoke Singapore Index, Equity Tranche 0-3% | 0.00% | Quarterly | CITI | 6/20/20 | 7,000,000 | (409,595) | (377,314) | (32,281) | Non- | |
Investment Grade | ||||||||||
fCitibank Bespoke Sydney Index, Equity Tranche 0-3% | 0.00% | Quarterly | CITI | 6/20/20 | 4,394,022 | (311,923) | (270,391) | (41,532) | Non- | |
Investment Grade | ||||||||||
MCDX.NA.31 | 1.00% | Quarterly | CITI | 12/20/23 | 23,060,000 | 433,716 | 181,498 | 252,218 | Investment | |
Grade | ||||||||||
fMorgan Stanley Bespoke Pecan Index, Mezzanine Tranche 5-10% | 3.98% | Quarterly | MSCO | 12/20/21 | 9,000,000 | 284,346 | — | 284,346 | Non- | |
Investment Grade | ||||||||||
fMorgan Stanley Bespoke Pecan Index, Mezzanine Tranche 5-10% | 4.10% | Quarterly | MSCO | 12/20/21 | 9,000,000 | 344,371 | — | 344,371 | Non- | |
Investment Grade | ||||||||||
Total OTC Swap Contracts | $(31,416,617) | $(28,237,281) | $(3,179,336) | |||||||
Total Credit Default Swap Contracts | $(32,962,443) | $(29,360,261) | $(3,602,182) |
aPosting of collateral is required by either the Fund or the applicable counterparty if the total net exposure of all OTC derivatives with the applicable counterparty exceeds the minimum transfer amount, which typically ranges from $100,000 to $250,000, and can vary depending on the counterparty and the type of the agreement. The table below summarizes the cash and/or securities held as collateral for each applicable counterparty at period end. |
Counterparty | Collateral Pledged (Received) |
BNDP | $(315,025) |
BZWS | 280,000 |
CITI | 25,060,000 |
DBAB | (74,096) |
GSCO | (2,600,000) |
JPHQ | 2,900,000 |
MSCS | (660,000) |
Total collateral | $24,590,879 |
bFor contracts to sell protection, the notional amount is equal to the maximum potential amount of the future payments and no recourse provisions have been entered into in association with the contracts. |
cBased on Standard and Poor’s (S&P) Rating for single name swaps. Internal ratings based on mapping into equivalent ratings from external vendors. |
dPerformance triggers for settlement of contract include default, bankruptcy or restructuring for single name swaps and failure to pay or bankruptcy of the underlying securities for traded index swaps. |
eThe Fund enters contracts to sell protection to create a long credit position. |
fRepresents a custom index comprised of a basket of underlying issuers. |
Description | Payment Frequency | Counterparty | Maturity Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) | |
OTC Swap Contracts | ||||||
Receive Floating 3-month USD LIBOR + 2.87% | Quarterly | 3,834,600 | USD | |||
Pay Fixed 2.50% | Annual | CITI | 5/04/21 | 3,300,000 | EUR | $153,656 |
Receive Floating 3-month USD LIBOR + 1.334% | Quarterly | 10,976,000 | USD | |||
Pay Floating 3-month EUR LIBOR + 1.12% | Quarterly | CITI | 7/10/21 | 9,800,000 | EUR | 130,677 |
Total Cross Currency Swap Contracts | $284,333 |
Description | Payment Frequency | Maturity Date | Notional Amount* | Value/Unrealized Appreciation (Depreciation) | ||
Centrally Cleared Swap Contracts | ||||||
Receive Fixed 2.773% | Quarterly | |||||
Pay Floating 3-month CNY CNRR | Quarterly | 8/23/24 | 196,750,000 | CNY | $185,293 | |
Receive Fixed 2.765% | Quarterly | |||||
Pay Floating 3-month CNY CNRR | Quarterly | 8/26/24 | 158,000,000 | CNY | 162,531 | |
Receive Fixed 2.79% | Quarterly | |||||
Pay Floating 3-month CNY CNRR | Quarterly | 8/30/24 | 236,250,000 | CNY | 281,147 | |
Receive Fixed 1.956% | Semi-Annual | |||||
Pay Floating 3-month CAD CABA | Semi-Annual | 7/17/29 | 55,000,000 | CAD | 961,707 | |
Receive Fixed 1.232% | Semi-Annual | |||||
Pay Floating 3-month AUD BBSW | Semi-Annual | 9/06/29 | 55,000,000 | AUD | 622,969 | |
Total Interest Rate Swap Contracts | $2,213,647 | |||||
*In U.S. dollars unless otherwise indicated. |
Description | Payment Frequency | Maturity Date | Notional Amount | Value/Unrealized Appreciaton (Depreciation) | ||
Centrally Cleared Swap Contracts | ||||||
Receive variable change in USA-CPI-U | At maturity | |||||
Pay Fixed 1.913% | At maturity | 1/14/29 | $44,600,000 | $(467,996) | ||
Receive variable change in USA-CPI-U | At maturity | |||||
Pay Fixed 1.943% | At maturity | 1/15/29 | 154,400,000 | (2,025,289) | ||
Total Inflation Index Swap Contracts | $(2,493,285) |
Underlying Instruments | Financing Rate | Payment Frequency | Counterparty | Maturity Date | Notional Value | Value/Unrealized Appreciation (Depreciation) | |
OTC Swap Contracts | |||||||
Longa | |||||||
Markit iBoxx USD Liquid Leveraged Loan Index | 3-month USD LIBOR | Quarterly | GSCO | 3/20/20 | $61,400,000 | $2,653,718 | |
Markit iBoxx USD Liquid Leveraged Loan Index | 3-month USD LIBOR | Quarterly | GSCO | 9/20/20 | 23,600,000 | (79,319) | |
Total Total Return Swap Contracts | $2,574,399 |
aThe Fund receives the total return on the underlying instrument and pays a variable financing rate. |
Principal Amount/ Shares/ Units/ Warrants | Issuer | Acquisition Date | Cost | Value | |
Franklin Biotechnology Discovery Fund | |||||
80,195 | Intarcia Therapeutics Inc., DD | 3/26/14 | $2,597,516 | $610,926 | |
1,330,687 | Metacrine Inc., pfd., C | 6/04/18 | 2,821,056 | 2,821,056 | |
Total Restricted Securities (Value is 0.3% of Net Assets) | $5,418,572 | $3,431,982 | |||
Franklin Growth Opportunities Fund | |||||
2,610,594 | ClearMotion Inc., pfd., C | 11/06/17 | $5,500,000 | $8,855,696 | |
3,698,772 | ClearMotion Inc., pfd., D | 12/21/18 | 10,000,000 | 13,244,903 | |
201,294 | GitLab Inc., pfd., E | 9/11/19 | 3,749,986 | 3,749,987 | |
1,673,284 | LegalZoom.com Inc. | 7/20/18 | 16,479,337 | 20,077,696 | |
509,182 | Optoro Inc., pfd., E | 7/24/18 | 10,020,702 | 14,022,397 | |
2,362,202 | Proterra Inc., pfd., 5, 144A | 9/21/16 - 1/13/17 | 11,896,616 | 20,867,451 | |
596,775 | Proterra Inc., pfd., 6, 144A | 6/07/17 | 3,306,052 | 5,271,849 | |
780,667 | Proterra Inc., pfd., 7 | 5/21/18 - 9/18/18 | 5,094,960 | 6,896,333 | |
289,016 | Proterra Inc., pfd., 8 | 8/02/19 | 1,996,378 | 2,553,138 | |
928,488 | Sweetgreen Inc., pfd., H | 11/09/18 | 12,107,484 | 14,822,377 | |
100,835 | Sweetgreen Inc., pfd., I | 9/16/19 | 1,724,279 | 1,784,123 | |
805,800 | Tanium Inc., pfd., G | 9/14/15 | 4,000,233 | 6,139,941 | |
504,854 | Tempus Labs Inc., pfd., F | 5/29/19 | 12,499,983 | 12,499,983 | |
5,028,735 | Wheels Up Partners LLC, pfd., D | 5/16/19 - 8/02/19 | 17,499,998 | 19,102,384 | |
Total Restricted Securities (Value is 3.5% of Net Assets) | $115,876,008 | $149,888,258 | |||
Franklin Small Cap Growth Fund | |||||
3,698,772 | ClearMotion Inc., pfd., D | 12/21/18 | $10,000,000 | $13,244,903 | |
9,905,685 | DraftKings Inc. | 8/07/15 - 3/02/17 | 26,627,302 | 40,522,741 | |
1,431,280 | LegalZoom.com Inc. | 7/20/18 | 14,095,961 | 17,173,896 | |
508,130 | Optoro Inc., pfd., E | 7/24/18 | 9,999,999 | 13,993,426 | |
1,787,047 | Proterra Inc., pfd., 5, 144A | 9/21/16 - 1/13/17 | 8,999,998 | 15,786,591 | |
1,310,834 | Proterra Inc., pfd., 6, 144A | 6/07/17 - 1/02/18 | 7,261,842 | 11,579,774 | |
536,367 | Proterra Inc., pfd., 7 | 5/21/18 | 3,500,556 | 4,738,211 | |
596,471 | Rent the Runway Inc., pfd. | 3/21/19 | 13,333,328 | 14,293,965 | |
1,542,673 | Smule Inc., pfd., G, 144A | 5/31/16 | 11,099,995 | 10,322,756 | |
352,675 | Smule Inc., pfd., H, 144A | 4/27/17 | 2,999,995 | 2,783,979 | |
383,435 | Sweetgreen Inc., pfd., H | 11/09/18 | 4,999,992 | 6,121,154 | |
41,641 | Sweetgreen Inc., pfd., I | 9/16/19 | 712,061 | 736,775 |
Principal Amount/ Shares/ Units/ Warrants | Issuer | Acquisition Date | Cost | Value | |
Franklin Small Cap Growth Fund | |||||
361,111 | Tula eTechnology Inc. | 11/01/18 | $ — | $ — | |
3,611,111 | Tula Technology Inc., E | 9/08/17 | 6,500,000 | 7,573,637 | |
4,310,344 | Wheels Up Partners LLC, pfd., D | 5/16/19 - 8/02/19 | 14,999,997 | 16,373,471 | |
Total Restricted Securities (Value is 6.3% of Net Assets) | $135,131,026 | $175,245,279 | |||
Franklin Small-Mid Cap Growth Fund | |||||
7,974,537 | DraftKings Inc. | 8/07/15 - 3/02/17 | $21,380,303 | $32,622,691 | |
470,777 | Phononic Devices Inc., wts., 12/01/29 | 1/17/20 | 47 | 903,709 | |
2,970,061 | Phononic Inc., pfd., F | 6/06/19 | 7,499,998 | 5,461,568 | |
481,096 | Phononic Inc., Term Loan A, PIK, 6.50%, 1/17/24 | 1/17/20 | 481,096 | 481,096 | |
1,416,913 | Proterra Inc., pfd., 5, 144A | 9/21/16 | 7,135,914 | 12,516,865 | |
Total Restricted Securities (Value is 1.5% of Net Assets) | $36,497,358 | $51,985,929 | |||
Franklin Strategic Income Fund | |||||
331,326 | a | Appvion Operations Inc. | 4/12/19 | $4,481,262 | $4,809,415 |
125,940,079 | b | K2016470219 South Africa Ltd., A | 2/08/13 - 2/01/17 | 977,122 | 83,942 |
12,532,821 | b | K2016470219 South Africa Ltd., B | 2/01/17 | 9,305 | 8,353 |
124,500 | c | Remington Outdoor Co. Inc., Litigation Units | 4/12/19 | — | — |
Total Restricted Securities (Value is 0.1% of Net Assets) | $5,467,689 | $4,901,710 |
aThe Fund also invests in unrestricted securities of other investments in the issuer, valued at $7,445,523 as of January 31, 2020. |
bThe Fund also invests in unrestricted securities of other investments in the issuer, valued at $26,004 as of January 31, 2020. |
cThe Fund also invests in unrestricted securities of other investments in the issuer, valued at $826,524 as of January 31, 2020. |
Name of Issuer | Value at Beginning of Period | Purchases | Sales | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Value at End of Period | Number of Shares/ Units Held at End of Period | Dividend Income |
Franklin Small Cap Growth Fund | ||||||||
Non-Controlled Affiliates | ||||||||
The KeyW Holding Corp. | $33,592,278 | $ — | $(33,325,672) | $7,901,967 | $(8,168,573) | $—a | — | $ — |
Sportsman’s Warehouse Holdings Inc. | 16,003,372 | — | (8,904,835) | (2,523,714) | 10,692,705 | $15,267,528 | 2,356,100 | — |
Total Affiliated Securities (Value is 0.6% of Net Assets) | $49,595,650 | $ — | $(42,230,507) | $5,378,253 | $2,524,132 | $15,267,528 | $ — | |
Franklin Strategic Income Fund | ||||||||
Non-Controlled Affiliates | ||||||||
Remington Outdoor Co. Inc. | $2,909,366 | $ — | $ — | $ — | $(2,082,842) | $826,524 | 1,322,439 | $ — |
Remington Outdoor Co. Inc., Litigation Units | — | — | — | — | — | — | 124,500 | — |
Total Affiliated Securities (Value is —%† of Net Assets) | $2,909,366 | $ — | $ — | $ — | $(2,082,842) | $826,524 | $ — |
Value at Beginning of Period | Purchases | Sales | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Value at End of Period | Number of Shares Held at End of Period | Investment Income | |
Franklin Biotechnology Discovery Fund | ||||||||
Non-Controlled Affiliates | ||||||||
Dividends | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | $27,393,876 | $276,532,493 | $(253,135,540) | $ — | $ — | $50,790,829 | 50,790,829 | $577,335 |
Income from securities loaned | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | 27,827,675 | 187,871,290 | (183,272,430) | — | — | 32,426,535 | 32,426,535 | 292,185 |
Total Affiliated Securities | $55,221,551 | $464,403,783 | $(436,407,970) | $ — | $ — | $83,217,364 | $869,520 | |
Franklin Growth Opportunities Fund | ||||||||
Non-Controlled Affiliates | ||||||||
Dividends | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | $69,126,928 | $389,490,095 | $(458,594,222) | $ — | $ — | $22,801 | 22,801 | $399,086 |
Income from securities loaned | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | — | 195,469,970 | (174,678,875) | — | — | 20,791,095 | 20,791,095 | 177,531 |
Total Affiliated Securities | $69,126,928 | $584,960,065 | $(633,273,097) | $ — | $ — | $20,813,896 | $576,617 | |
Franklin Natural Resources Fund | ||||||||
Non-Controlled Affiliates | ||||||||
Dividends | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | $788,220 | $53,990,481 | $(48,124,291) | $ — | $ — | $6,654,410 | 6,654,410 | $27,097 |
Income from securities loaned | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | — | 3,665,379 | (3,665,379) | — | — | — | — | 2,928 |
Total Affiliated Securities | $788,220 | $57,655,860 | $(51,789,670) | $ — | $ — | $6,654,410 | $30,025 | |
Franklin Select U.S. Equity Fund | ||||||||
Non-Controlled Affiliates | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | $7,161,073 | $17,368,717 | $(23,039,731) | $ — | $ — | $1,490,059 | 1,490,059 | $20,508 |
Value at Beginning of Period | Purchases | Sales | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Value at End of Period | Number of Shares Held at End of Period | Investment Income | |
Franklin Small Cap Growth Fund | ||||||||
Non-Controlled Affiliates | ||||||||
Dividends | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | $70,752,806 | $356,961,193 | $(350,806,839) | $ — | $ — | $76,907,160 | 76,907,160 | $890,605 |
Income from securities loaned | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | 18,262,684 | 306,613,112 | (289,528,575) | — | — | 35,347,221 | 35,347,221 | 376,726 |
Total Affiliated Securities | $89,015,490 | $663,574,305 | $(640,335,414) | $ — | $ — | $112,254,381 | $1,267,331 | |
Franklin Small-Mid Cap Growth Fund | ||||||||
Non-Controlled Affiliates | ||||||||
Dividends | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | $124,157,073 | $625,768,445 | $(624,862,911) | $ — | $ — | $125,062,607 | 125,062,607 | $1,404,758 |
Income from securities loaned | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | 6,811,635 | 270,614,212 | (234,094,617) | — | — | 43,331,230 | 43,331,230 | 363,143 |
Total Affiliated Securities | $130,968,708 | $896,382,657 | $(858,957,528) | $ — | $ — | $168,393,837 | $1,767,901 | |
Franklin Strategic Income Fund | ||||||||
Controlled Affiliates | ||||||||
Dividends | ||||||||
Franklin Floating Rate Income Funda | $194,101,482 | $ — | $(54,960,600) | $(10,939,400) | $(611,818) | $127,589,664 | 15,243,688 | $8,691,043 |
Non-Controlled Affiliates | ||||||||
Dividends | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | 63,183,777 | 53,329,158 | (57,692,182) | — | — | 58,820,753 | 58,820,753 | 779,350 |
Total Affiliated Securities | $257,285,259 | $53,329,158 | $(112,652,782) | $(10,939,400) | $(611,818) | $186,410,417 | $9,470,393 |
• | Level 1 – quoted prices in active markets for identical financial instruments |
• | Level 2 – other significant observable inputs (including quoted prices for similar financial instruments, interest rates, prepayment speed, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of financial instruments) |
Level 1 | Level 2 | Level 3 | Total | |
Franklin Biotechnology Discovery Fund | ||||
Assets: | ||||
Investments in Securities:a | ||||
Equity Investments:b | ||||
Biotechnology | $882,159,030 | $— | $3,431,982 | $885,591,012 |
All Other Equity Investments | 198,223,536 | — | — | 198,223,536 |
Escrows and Litigation Trusts | — | — | 936,544 | 936,544 |
Short Term Investments | 83,217,364 | — | — | 83,217,364 |
Total Investments in Securities | $1,163,599,930 | $ — | $4,368,526 | $1,167,968,456 |
Franklin Growth Opportunities Fund | ||||
Assets: | ||||
Investments in Securities:a | ||||
Equity Investments:b | ||||
Communication Services | $274,983,919 | $— | $6,139,941 | $281,123,860 |
Consumer Discretionary | 438,561,219 | — | 74,295,870 | 512,857,089 |
Health Care | 650,674,630 | — | 12,499,983 | 663,174,613 |
Industrials | 463,711,042 | — | 33,124,781 | 496,835,823 |
Information Technology | 1,653,843,429 | — | 62,360,050 | 1,716,203,479 |
All Other Equity Investments | 572,635,379 | — | — | 572,635,379 |
Short Term Investments | 20,813,896 | — | — | 20,813,896 |
Level 1 | Level 2 | Level 3 | Total | |
Franklin Growth Opportunities Fund (continued) | ||||
Total Investments in Securities | $4,075,223,514 | $ — | $188,420,625 | $4,263,644,139 |
Franklin Natural Resources Fund | ||||
Assets: | ||||
Investments in Securities:a | ||||
Equity Investments: | ||||
Copper | $6,966,674 | $3,732,394 | $— | $10,699,068 |
Diversified Chemicals | — | 2,099,336 | — | 2,099,336 |
Diversified Metals & Mining | 10,899,685 | 7,868,868 | —c | 18,768,553 |
Gold | 13,876,706 | 1,681,557 | — | 15,558,263 |
Oil & Gas Exploration & Production | 68,013,349 | 2,264,687 | — | 70,278,036 |
All Other Equity Investments | 113,199,988 | — | — | 113,199,988 |
Short Term Investments | 6,654,410 | — | — | 6,654,410 |
Total Investments in Securities | $219,610,812 | $17,646,842 | $ — | $237,257,654 |
Franklin Select U.S. Equity Fund | ||||
Assets: | ||||
Investments in Securities:a | ||||
Equity Investments | $104,134,282 | $— | $— | $104,134,282 |
Short Term Investments | 1,490,059 | — | — | 1,490,059 |
Total Investments in Securities | $105,624,341 | $ — | $ — | $105,624,341 |
Franklin Small Cap Growth Fund | ||||
Assets: | ||||
Investments in Securities:a | ||||
Equity Investments:b | ||||
Consumer Discretionary | $322,114,091 | $— | $147,226,000c | $469,340,091 |
Industrials | 482,830,566 | — | 30,366,897 | 513,197,463 |
Information Technology | 671,859,372 | — | 30,280,631 | 702,140,003 |
All Other Equity Investments | 1,012,102,397 | — | — | 1,012,102,397 |
Short Term Investments | 112,254,381 | — | — | 112,254,381 |
Total Investments in Securities | $2,601,160,807 | $ — | $207,873,528 | $2,809,034,335 |
Franklin Small-Mid Cap Growth Fund | ||||
Assets: | ||||
Investments in Securities:a | ||||
Equity Investments:b | ||||
Consumer Discretionary | $548,278,232 | $— | $45,139,556 | $593,417,788 |
Financials | 218,076,910 | — | 5,461,568 | 223,538,478 |
Information Technology | 1,096,741,719 | — | 21,454,314 | 1,118,196,033 |
All Other Equity Investments | 1,435,439,647 | — | — | 1,435,439,647 |
Senior Floating Rate Interests | — | — | 481,096 | 481,096 |
Short Term Investments | 168,393,837 | — | — | 168,393,837 |
Total Investments in Securities | $3,466,930,345 | $ — | $72,536,534 | $3,539,466,879 |
Level 1 | Level 2 | Level 3 | Total | |
Franklin Strategic Income Fund | ||||
Assets: | ||||
Investments in Securities:a | ||||
Equity Investments:b | ||||
Commercial & Professional Services | $— | $826,524 | $— | $826,524 |
Consumer Services | — | — | 122,759 | 122,759 |
Energy | 5,093,394 | 4,016,247 | 6,303c | 9,115,944 |
Materials | 665,173 | — | 4,809,415 | 5,474,588 |
Media & Entertainment | 2,814,293 | — | 29,169 | 2,843,462 |
Retailing | — | — | 92,295 | 92,295 |
Software & Services | — | — | 750,000 | 750,000 |
All Other Equity Investments | 127,589,664 | — | — | 127,589,664 |
Corporate Bonds: | ||||
Retailing | — | 3,816,000 | 26,004 | 3,842,004 |
All Other Corporate Bonds | — | 1,372,800,748 | — | 1,372,800,748 |
Senior Floating Rate Interests: | ||||
Household & Personal Products | — | 605,578 | 42,987,745 | 43,593,323 |
Software & Services | — | 3,619,780 | 20,083,375 | 23,703,155 |
All Other Senior Floating Rate Interests | — | 129,963,720 | — | 129,963,720 |
Marketplace Loans | — | — | 5,226,339 | 5,226,339 |
Foreign Government and Agency Securities | — | 479,168,980 | — | 479,168,980 |
U.S. Government and Agency Securities | — | 287,194,329 | — | 287,194,329 |
Asset-Backed Securities and Commercial Mortgage-Backed Securities | — | 1,375,959,457 | — | 1,375,959,457 |
Mortgage-Backed Securities | — | 372,030,337 | — | 372,030,337 |
Municipal Bonds | — | 200,140,464 | — | 200,140,464 |
Escrows and Litigation Trusts | — | 60,000 | —c | 60,000 |
Options Purchased | — | 2,020,023 | — | 2,020,023 |
Short Term Investments | 58,820,753 | 123,817,564 | — | 182,638,317 |
Total Investments in Securities | $194,983,277 | $4,356,039,751 | $74,133,404 | $4,625,156,432 |
Other Financial Instruments: | ||||
Futures Contracts | $10,655,900 | $— | $— | $10,655,900 |
Forward Exchange Contracts | — | 6,257,258 | — | 6,257,258 |
Swap Contracts | — | 7,541,905 | — | 7,541,905 |
Total Other Financial Instruments | $10,655,900 | $13,799,163 | $ — | $24,455,063 |
Liabilities: | ||||
Other Financial Instruments: | ||||
Futures Contracts | $8,982,036 | $— | $— | $8,982,036 |
Forward Exchange Contracts | — | 4,752,238 | — | 4,752,238 |
Swap Contracts | — | 8,564,993 | — | 8,564,993 |
Total Other Financial Instruments | $8,982,036 | $13,317,231 | $ — | $22,299,267 |
aFor detailed categories, see the accompanying Statement of Investments. |
bIncludes common and preferred stocks and management investment companies as well as other equity interests. |
cIncludes securities determined to have no value at January 31, 2020. |
Balance at Beginning of Period | Purchases | Sales | Transfers Into Level 3a | Transfers Out of Level 3 | Cost Basis Adjustmentsb | Net Realized Gain (Loss) | Net Unrealized Appreciation (Depreciation) | Balance at End of Period | Net Change in Unrealized Appreciation (Depreciation) on Assets Held at Period End | |
Franklin Growth Opportunities Fund | ||||||||||
Assets: | ||||||||||
Investments in Securities: | ||||||||||
Equity Investments:c | ||||||||||
Communication Services | $ 4,893,610 | $ — | $ — | $ — | $ — | $ — | $ — | $ 1,246,331 | $ 6,139,941 | $ 1,246,331 |
Consumer Discretionary | 65,366,728 | 3,720,657 | — | — | — | — | — | 5,208,485 | 74,295,870 | 5,208,485 |
Financials | 14,395,754 | — | — | — | — | (13,500,004) | — | (895,750) | — | — |
Health Care | — | 12,499,983 | — | — | — | — | — | — | 12,499,983 | — |
Industrials | 12,168,487 | 17,499,998 | — | — | — | — | — | 3,456,296 | 33,124,781 | 3,456,296 |
Information Technology | 20,473,416 | 3,749,986 | — | — | — | 13,500,004 | — | 24,636,644 | 62,360,050 | 24,636,644 |
Total Investments in Securities | $ 117,297,995 | $ 37,470,624 | $ — | $ — | $ — | $ — | $ — | $ 33,652,006 | $ 188,420,625 | $ 34,547,756 |
Franklin Small Cap Growth Fund | ||||||||||
Assets: | ||||||||||
Investments in Securities: | ||||||||||
Equity Investments:c | ||||||||||
Consumer Discretionary | $119,996,881d | $712,061 | $— | $— | $— | $ — | $ — | $26,517,058 | $147,226,000d | $26,517,058 |
Industrials | 12,143,346 | 14,999,997 | — | — | — | — | — | 3,223,554 | 30,366,897 | 3,223,554 |
Information Technology | 31,063,930 | — | — | — | — | — | — | (783,299) | 30,280,631 | (783,299) |
Total Investments in Securities | $ 163,204,157 | $ 15,712,058 | $ — | $ — | $ — | $ — | $ — | $ 28,957,313 | $ 207,873,528 | $28,957,313 |
Franklin Small-Mid Cap Growth Fund | ||||||||||
Assets: | ||||||||||
Investments in Securities: | ||||||||||
Equity Investments:c | ||||||||||
Consumer Discretionary | $33,865,637 | $ — | $ — | $ — | $ — | $ — | $ — | $11,273,919 | $45,139,556 | $11,273,919 |
Financials | 7,677,734 | 7,499,998 | — | — | — | (7,200,001) | — | (2,516,163) | 5,461,568 | (2,038,430) |
Information Technology | — | 47 | — | — | — | 7,200,001 | — | 14,254,266 | 21,454,314 | 14,254,266 |
Senior Floating Rate Interests | — | 481,096 | — | — | — | — | — | — | 481,096 | — |
Total Investments in Securities | $ 41,543,371 | $ 7,981,141 | $ — | $ — | $ — | $ — | $ — | $ 23,012,022 | $ 72,536,534 | $ 23,489,755 |
Balance at Beginning of Period | Purchases | Sales | Transfers Into Level 3a | Transfers Out of Level 3 | Cost Basis Adjustmentsb | Net Realized Gain (Loss) | Net Unrealized Appreciation (Depreciation) | Balance at End of Period | Net Change in Unrealized Appreciation (Depreciation) on Assets Held at Period End | |
Franklin Strategic Income Fund | ||||||||||
Assets: | ||||||||||
Investments in Securities: | ||||||||||
Equity Investments:c | ||||||||||
Consumer Services | $122,759 | $— | $— | $— | $— | $— | $— | $— | $122,759 | $— |
Energy | 2 | — | — | 138,516d | — | — | — | (132,215) | 6,303d | (132,215) |
Materials | 4,615,489 | — | — | — | — | — | — | 193,926 | 4,809,415 | 193,926 |
Media & Entertainment | — | 24,605 | — | — | — | — | — | 4,564 | 29,169 | 4,564 |
Retailing | 96,878 | — | — | — | — | — | — | (4,583) | 92,295 | (4,583) |
Software & Services | 750,000 | — | — | — | — | — | — | - | 750,000 | — |
Corporate Bonds: | ||||||||||
Retailing | 90,006 | — | — | — | — | (1,269,781) | — | 1,205,779 | 26,004 | 1,205,779 |
Senior Floating Rate Interests: | ||||||||||
Household & Personal Products | 42,108,964 | — | — | — | — | 1,274,154 | — | (395,373) | 42,987,745 | (395,373) |
Software & Services | 19,883,394 | — | — | — | — | 175,253 | — | 24,728 | 20,083,375 | 24,728 |
Marketplace Loans | — | 5,264,312 | — | — | — | — | — | (37,973) | 5,226,339 | (37,973) |
Escrows and Litigation Trusts | —d | — | — | — | — | — | — | — | —d | — |
Total Investments in Securities | $ 67,667,492 | $5,288,917 | $ — | $ 138,516 | $ — | $179,626 | $ — | $ 858,853 | $ 74,133,404 | $ 858,853 |
Description | Fair Value at End of Period | Valuation Technique | Unobservable Inputs | Amount/Range (Weighted Averagea) | Impact to Fair Value if Input Increasesb |
Franklin Growth Opportunities Fund | |||||
Assets: | |||||
Investments in Securities: | |||||
Equity Investments:c | |||||
Communication Services | $6,139,941 | Discounted cash flow | Terminal multiple | 22.3x | Increased |
Discount rate | 8.5% | Decreasee | |||
Discount for lack of marketability | 9.9% | Decreased | |||
Consumer Discretionary | 74,295,870 | Discounted cash flow | Forward EBITDA growth rate | 4.0% | Increased |
Long term growth rate | 2.0% | Increased |
Description | Fair Value at End of Period | Valuation Technique | Unobservable Inputs | Amount/Range (Weighted Averagea) | Impact to Fair Value if Input Increasesb |
Discount rate | 10.1% - 13.9% (11.0%) | Decreasee | |||
Discount for lack of marketability | 4.6% - 17.3% (9.9%) | Decreased | |||
Terminal multiple | 32.5x | Increased | |||
Industrials | $33,124,781 | Discounted cash flow | Discount rate | 11.0% - 21.2% (15.3%) | Decreasee |
Long term growth rate | 3.0% - 5.0% (3.8%) | Increased | |||
Discount for lack of marketability | 6.2% - 9.8% (8.3%) | Decreased | |||
Information Technology | 58,610,063 | Discounted cash flow | Discount rate | 12.1% | Decreasee |
Long term growth rate | 4.0% | Increasee | |||
Discount for lack of marketability | 7.7% | Decrease | |||
Market comparables | Discount for lack of marketability | 5.8% | Decreased | ||
All Other Investmentsf | 16,249,970 | ||||
Total | $188,420,625 | ||||
Franklin Small Cap Growth Fund | |||||
Assets: | |||||
Investments in Securities: | |||||
Equity Investments:c | |||||
Consumer Discretionary | $147,226,000 | Discounted cash flow | Forward EBITDA growth rate | 4.0% | Increased |
Long term growth rate | 2.0% | Increased | |||
Discount rate | 10.1% - 14.7% (11.5%) | Decreasee | |||
Discount for lack of marketability | 4.6% - 17.3% (8.5%) | Decreased | |||
Terminal multiple | 32.5x | Increased | |||
Market comparables | EV / EBITDA multiple | 18.3x - 22.2x | Increased | ||
EV / revenue multiple | 12.3x | Increase | |||
Discount for lack of marketability | 2.9% - 11.0% (7.0%) | Decreased | |||
Industrials | 30,366,897 | Discounted cash flow | Discount rate | 11.0% - 21.2% (15.7%) | Decreasee |
Long term growth rate | 3.0% - 5.0% (3.9%) | Increased | |||
Discount for lack of marketability | 6.2% - 9.8% (8.1%) | Decreased | |||
Information Technology | 30,280,631 | Market comparables | EV / revenue multiple | 3.0x | Increase |
Discount for lack of marketability | 6.0% | Decreased | |||
Discounted cash flow | Discount rate | 12.1% | Decreasee | ||
Long term growth rate | 4.0% | Increasee |
Description | Fair Value at End of Period | Valuation Technique | Unobservable Inputs | Amount/Range (Weighted Averagea) | Impact to Fair Value if Input Increasesb |
Discount for lack of marketability | 7.7% | Decrease | |||
All Other Investmentsf | $—g | ||||
Total | $207,873,528 | ||||
Franklin Small-Mid Cap Growth Fund | |||||
Assets: | |||||
Investments in Securities: | |||||
Equity Investments:c | |||||
Consumer Discretionary | $45,139,556 | Discounted cash flow | Forward EBITDA growth rate | 4.0% | Increased |
Discount rate | 10.1% | Decreasee | |||
Discount for lack of marketability | 4.6% | Decreased | |||
Market comparables | Discount for lack of marketability | 9.5% | Decreased | ||
Financials | 5,461,568 | Discounted cash flow | Discount rate | 16.6% | Decrease |
Discount for lack of marketability | 12.4% | Decreased | |||
Terminal multiple | 20.5x | Increase | |||
Information Technology | 20,550,605 | Market comparables | Discount for lack of marketability | 5.8% | Decreased |
All Other Investmentsf | 1,384,805 | ||||
Total | $ 72,536,534 | ||||
Franklin Strategic Income Fund | |||||
Assets: | |||||
Investments in Securities: | |||||
Equity Investments:c | |||||
Materials | $4,809,415 | Discounted cash flow | Weighted average cost of capital | 16.8% | Decreased |
Unlevered free cash flow | $129.1 mil | Increased | |||
Discount for lack of marketability | 20.0% | Decreased | |||
Long term growth rate | 0.0% | Increase | |||
Senior Floating Rate Interests: | |||||
Household & Personal Products | 42,987,745 | Discounted cash flow | Free cash flow | $19.5 - $33.1 mil ($28.6 mil) | Increasee |
Discount rate | 10.6% - 15.0% (12.1%) | Decreased | |||
Software & Services | 20,083,375 | Discounted cash flow | Free cash flow | $25.7 mil | Increasee |
Discount rate | 18.5% | Increased | |||
All other investmentsf | 6,252,869g | ||||
Total | $74,133,404 |
Index Abbreviation | |
CDX.EM.Series number | CDX Emerging Markets Index |
MCDX.NA.Series number | MCDX North America Index |