moderate allocation portfolio schedule of investments … · moderate allocation portfolio schedule...

Moderate allocation Portfolio Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.1

Principal Amount Bank Loans (1.6%)a Value

Basic Materials (0.1%) Arch Coal, Inc., Term Loan

$1,506,8184.794%, (LIBOR 1M + 2.750%), 3/7/2024b $1,486,732

Ball Metalpack Finco, LLC, Term Loan

706,0636.624%, (LIBOR 3M + 4.500%), 7/31/2025b 661,934

Big River Steel, LLC, Term Loan

1,082,9007.104%, (LIBOR 3M + 5.000%), 8/23/2023b,c 1,072,071

Chemours Company, Term Loan

1,507,0503.800%, (LIBOR 1M + 1.750%), 4/3/2025b 1,450,912

MRC Global (US), Inc., Term Loan

1,310,0005.044%, (LIBOR 1M + 3.000%), 9/22/2024b 1,310,000

Peabody Energy Corporation, Term Loan

1,068,7254.794%, (LIBOR 1M + 2.750%), 3/31/2025b 989,906

Pixelle Specialty Solutions, LLC, Term Loan

853,5508.044%, (LIBOR 1M + 6.000%), 10/31/2024b 841,814

Starfruit US Holdco, LLC, Term Loan

1,074,6005.292%, (LIBOR 1M + 3.250%), 10/1/2025b,d,e 1,050,959

Total 8,864,328

Capital Goods (0.2%) Advanced Disposal Services, Inc.,

Term Loan

1,015,4404.197%, (LIBOR 1W + 2.250%), 11/10/2023b 1,018,111

BWAY Holding Company, Term Loan

3,717,4625.590%, (LIBOR 3M + 3.250%), 4/3/2024b 3,635,901

Flex Acquisition Company, Inc. Term Loan

5,029,5845.569%, (LIBOR 3M + 3.250%), 6/29/2025b 4,836,247

GFL Environmental, Inc., Term Loan

1,275,5935.044%, (LIBOR 1M + 3.000%), 5/31/2025b 1,264,202

Sotera Health Holdings, LLC, Term Loan

3,316,2435.044%, (LIBOR 1M + 3.000%), 5/15/2022b 3,274,790

TransDigm, Inc., Term Loan

1,567,0454.544%, (LIBOR 1M + 2.500%), 6/9/2023b 1,561,874

Vertiv Group Corporation, Term Loan

3,135,9696.044%, (LIBOR 1M + 4.000%), 11/15/2023b 2,979,170

Total 18,570,295

Communications Services (0.4%) Altice France SA, Term Loan

865,0874.794%, (LIBOR 1M + 2.750%), 7/31/2025b 842,647

CenturyLink, Inc., Term Loan

5,308,6104.794%, (LIBOR 1M + 2.750%), 1/31/2025b 5,270,282


Communications Services (0.4%) - continued Charter Communications Operating,

LLC, Term Loan

$2,166,4124.050%, (LIBOR 1M + 2.000%), 4/30/2025b $2,178,328

Diamond Sports Group, LLC, Term Loan

1,365,0005.300%, (LIBOR 1M + 3.250%), 8/24/2026b 1,371,825

Frontier Communications Corporation, Term Loan

3,104,5505.800%, (LIBOR 1M + 3.750%), 6/15/2024b 3,094,584

HCP Acquisition, LLC, Term Loan

1,390,1365.044%, (LIBOR 1M + 3.000%), 5/16/2024b 1,387,703

Intelsat Jackson Holdings SA, Term Loan

1,765,0005.804%, (LIBOR 1M + 3.750%), 11/27/2023b 1,768,865

Liberty Cablevision of Puerto Rico, LLC, Term Loan

4,840,0005.528%, (LIBOR 1M + 3.500%), 1/7/2022b,c 4,821,850

408,4518.778%, (LIBOR 1M + 6.750%), 7/7/2023b,c 402,324

Mediacom Illinois, LLC, Term Loan

783,0753.680%, (LIBOR 1W + 1.750%), 2/15/2024b 784,054

NEP Group, Inc., Term Loan

1,344,8375.294%, (LIBOR 1M + 3.250%), 10/20/2025b 1,317,658

195,0009.044%, (LIBOR 1M + 7.000%), 10/19/2026b 190,451

SBA Senior Finance II, LLC, Term Loan

1,135,6254.050%, (LIBOR 1M + 2.000%), 4/11/2025b 1,135,671

Sprint Communications, Inc., Term Loan

3,943,8754.563%, (LIBOR 1M + 2.500%), 2/3/2024b 3,913,073

TNS, Inc., Term Loan

1,554,1706.260%, (LIBOR 3M + 4.000%), 8/14/2022b 1,531,246

WideOpenWest Finance, LLC, Term Loan

1,494,5005.294%, (LIBOR 1M + 3.250%), 8/19/2023b 1,440,325

Windstream Services, LLC, Term Loan

2,551,36610.000%, (PRIME + 5.000%), 3/30/2021b,f 2,585,911

Total 34,036,797

Consumer Cyclical (0.2%) Cengage Learning, Inc., Term Loan

2,235,9146.294%, (LIBOR 1M + 4.250%), 6/7/2023b 2,111,083

Four Seasons Hotels, Ltd., Term Loan

1,316,3134.044%, (LIBOR 1M + 2.000%), 11/30/2023b 1,321,986

Golden Entertainment, Inc., Term Loan

2,692,3505.060%, (LIBOR 1M + 3.000%), 10/20/2024b,c 2,699,081


(unaudited)



Consumer Cyclical (0.2%) - continued Men's Warehouse, Inc., Term Loan

$1,381,8345.350%, (LIBOR 1M + 3.250%), 4/9/2025b,c $1,160,740

Mohegan Gaming and Entertainment, Term Loan

1,870,7576.044%, (LIBOR 1M + 4.000%), 10/13/2023b 1,728,635

Penn National Gaming, Inc., Term Loan

1,890,7124.294%, (LIBOR 1M + 2.250%), 10/15/2025b 1,898,653

Scientific Games International, Inc., Term Loan

5,317,1024.876%, (LIBOR 1M + 2.750%), 8/14/2024b 5,267,281

Staples, Inc., Term Loan

349,1256.623%, (LIBOR 3M + 4.500%), 9/12/2024b 344,471

1,052,3627.123%, (LIBOR 3M + 5.000%), 4/12/2026b 1,036,798

Stars Group Holdings BV, Term Loan

3,113,5935.604%, (LIBOR 3M + 3.500%), 7/10/2025b 3,125,269

Tenneco, Inc., Term Loan

2,203,3505.044%, (LIBOR 1M + 3.000%), 10/1/2025b 2,065,641

Wyndham Hotels & Resorts, Inc., Term Loan

915,7503.794%, (LIBOR 1M + 1.750%), 5/30/2025b 919,697

Total 23,679,335

Consumer Non-Cyclical (0.3%) Air Medical Group Holdings, Inc.,

Term Loan

5,840,2225.307%, (LIBOR 1M + 3.250%), 4/28/2022b 5,454,533

Amneal Pharmaceuticals, LLC, Term Loan

1,485,8405.563%, (LIBOR 1M + 3.500%), 5/4/2025b 1,262,964

Bausch Health Companies, Inc., Term Loan

2,575,3145.039%, (LIBOR 1M + 3.000%), 6/1/2025b 2,584,714

Chobani, LLC, Term Loan

1,566,9505.544%, (LIBOR 1M + 3.500%), 10/7/2023b 1,552,267

Endo International plc, Term Loan

2,282,4386.313%, (LIBOR 1M + 4.250%), 4/27/2024b 2,073,458

Energizer Holdings, Inc., Term Loan

2,141,8504.375%, (LIBOR 1M + 2.250%), 1/2/2026b 2,140,522

JBS USA LUX SA, Term Loan

1,766,1254.544%, (LIBOR 1M + 2.500%), 5/1/2026b 1,773,490

Mallinckrodt International Finance SA, Term Loan

2,089,3945.175%, (LIBOR 3M + 3.000%), 2/24/2025b 1,555,554

McGraw-Hill Global Education Holdings, LLC, Term Loan

4,045,9326.044%, (LIBOR 1M + 4.000%), 5/4/2022b 3,796,622


Consumer Non-Cyclical (0.3%) - continued Ortho-Clinical Diagnostics SA, Term

Loan

$4,307,8485.563%, (LIBOR 3M + 3.250%), 6/1/2025b $4,160,304

Plantronics, Inc., Term Loan

4,002,6014.544%, (LIBOR 1M + 2.500%), 7/2/2025b 3,990,913

R.R. Donnelly & Sons Company, Term Loan

279,2967.044%, (LIBOR 3M + 5.000%), 1/15/2024b 279,995

Total 30,625,336

Energy (0.1%) BCP Raptor II, LLC, Term Loan

538,6506.794%, (LIBOR 1M + 4.750%), 12/19/2025b 482,539

Calpine Corporation, Term Loan

1,586,8544.610%, (LIBOR 3M + 2.500%), 1/15/2024b 1,589,901

Consolidated Energy Finance SA, Term Loan

893,6884.547%, (LIBOR 3M + 2.500%), 5/7/2025b,c 864,643

Fieldwood Energy, LLC, Term Loan

2,052,7737.506%, (LIBOR 3M + 5.250%), 4/11/2022b 1,774,499

HFOTCO, LLC, Term Loan

3,288,3754.800%, (LIBOR 1M + 2.750%), 6/26/2025b 3,278,115

McDermott Technology (Americas), Inc., Term Loan

2,194,0877.104%, (LIBOR 3M + 5.000%), 5/10/2025b 1,379,532

Radiate Holdco, LLC, Term Loan

4,307,6835.044%, (LIBOR 1M + 3.000%), 2/1/2024b 4,288,083

Total 13,657,312

Financials (0.2%) Avolon TLB Borrower 1 US, LLC, Term

Loan

1,745,6033.794%, (LIBOR 1M + 1.750%), 1/15/2025b 1,750,980

Digicel International Finance, Ltd., Term Loan

3,188,3175.340%, (LIBOR 3M + 3.250%), 5/27/2024b 2,755,248

DTZ U.S. Borrower, LLC, Term Loan

3,118,5005.294%, (LIBOR 1M + 3.250%), 8/21/2025b 3,120,059

Genworth Holdings, Inc., Term Loan

398,9256.670%, (LIBOR 2M + 4.500%), 3/7/2023b,c 399,922

GGP Nimbus, LLC, Term Loan

2,470,0504.544%, (LIBOR 1M + 2.500%), 8/24/2025b 2,434,556

Grizzly Finco, Term Loan

1,707,7505.569%, (LIBOR 3M + 3.250%), 10/1/2025b 1,692,449

Harland Clarke Holdings Corporation, Term Loan

2,493,8186.854%, (LIBOR 3M + 4.750%), 11/3/2023b 1,938,943


(unaudited)



Financials (0.2%) - continued MoneyGram International, Inc., Term

Loan

$1,182,0388.044%, (LIBOR 1M + 6.000%), 6/30/2023b,c $1,111,115

Sable International Finance, Ltd., Term Loan

3,389,3335.294%, (LIBOR 2M + 3.250%), 1/31/2026b 3,401,094

Trans Union, LLC, Term Loan

972,6880.000%, (LIBOR 3M + 2.000%), 6/19/2025b 975,119

Tronox Finance, LLC, Term Loan

2,270,3584.817%, (LIBOR 1M + 2.750%), 9/22/2024b 2,268,338

Total 21,847,823

Technology (0.1%) Clear Channel Outdoor Holdings,

Inc., Term Loan

1,075,0005.544%, (LIBOR 1M + 3.500%), 8/23/2026b 1,077,301

Prime Security Services Borrower, LLC, Term Loan

2,730,0000.000%, (LIBOR 1M + 3.250%), 9/23/2026b,d,e 2,699,724

Rackspace Hosting, Inc., Term Loan

3,723,1405.287%, (LIBOR 3M + 3.000%), 11/3/2023b 3,410,731

SS&C Technologies Holdings Europe SARL, Term Loan

457,9704.294%, (LIBOR 1M + 2.250%), 4/16/2025b 459,115

SS&C Technologies, Inc., Term Loan

693,3444.294%, (LIBOR 1M + 2.250%), 4/16/2025b 695,077

1,484,8254.294%, (LIBOR 1M + 2.250%), 4/16/2025b 1,490,082

Total 9,832,030

Utilities (<0.1%) Core and Main, LP, Term Loan

1,252,6874.863%, (LIBOR 1M + 2.750%), 8/1/2024b 1,240,950

EnergySolutions, LLC, Term Loan

1,027,0005.854%, (LIBOR 3M + 3.750%), 5/11/2025b 952,543

TerraForm Power Operating, LLC, Term Loan

738,7224.044%, (LIBOR 1M + 2.000%), 11/8/2022b,c 739,645

Total 2,933,138

Total Bank Loans (cost $168,855,980) 164,046,394

SharesRegistered Investment Companies (37.5%) Value

Unaffiliated (0.6%)11,610 Consumer Discretionary Select

Sector SPDR Fund 1,401,327198,000 Invesco Senior Loan ETF 4,472,820

13,897 iShares Russell 2000 Value Index Fund 1,659,441

20,980 Materials Select Sector SPDR Fund 1,221,03616,590 ProShares Ultra S&P 500g 2,130,985

SharesRegistered Investment Companies (37.5%) Value

Unaffiliated (0.6%)- continued 117,307 SPDR S&P 500 ETF Trust $34,813,19844,923 SPDR S&P Biotech ETFg 3,425,37926,860 SPDR S&P Metals & Mining ETF 683,58712,779 SPDR S&P Retail ETF 542,21361,040 VanEck Vectors Oil Services ETF 717,220

128,150 Vanguard Real Estate ETF 11,949,988Total 63,017,194

Affiliated (36.9%)21,037,272 Thrivent Core Emerging Markets

Debt Fund 206,375,63810,367,405 Thrivent Core International Equity

Fund 97,557,28126,539,050 Thrivent Core Low Volatility Equity

Fund 321,653,28627,107,661 Thrivent Global Stock Portfolio 348,761,75140,765,672 Thrivent High Yield Portfolio 193,033,60857,029,710 Thrivent Income Portfolio 603,254,57155,936,322 Thrivent International Allocation

Portfolio 530,074,96335,530,142 Thrivent Large Cap Value Portfolio 632,265,98133,583,682 Thrivent Limited Maturity Bond

Portfolio 333,277,74820,466,490 Thrivent Mid Cap Stock Portfolio 374,027,151

5,622,490 Thrivent Small Cap Stock Portfolio 99,944,826Total 3,740,226,804

Total Registered Investment Companies (cost $3,345,429,222) 3,803,243,998

Principal Amount Long-Term Fixed Income (29.8%) Value

Asset-Backed Securities (1.1%) Access Group, Inc.

382,414

2.518%, (LIBOR 1M + 0.500%), 2/25/2036, Ser. 2013-1, Class Ab,h 377,287

Aimco

3,100,000

3.618%, (LIBOR 3M + 1.320%), 7/22/2032, Ser. 2019-10A, Class Ab,h 3,099,665

Ares CLO, Ltd.

4,250,000

3.703%, (LIBOR 3M + 1.400%), 10/17/2030, Ser. 2018-28RA, Class A2b,h 4,196,675

Ares XXXIIR CLO, Ltd.

2,750,000

3.098%, (LIBOR 3M + 0.940%), 5/15/2030, Ser. 2014-32RA, Class A1Ab,h 2,712,831

Benefit Street Partners CLO IV, Ltd.

3,100,000

4.028%, (LIBOR 3M + 1.750%), 1/20/2029, Ser. 2014-IVA, Class A2RRb,h 3,098,524

Betony CLO, Ltd.

1,260,000

3.346%, (LIBOR 3M + 1.080%), 4/30/2031, Ser. 2018-1A, Class A1b,h 1,248,521

Buttermilk Park CLO, Ltd.

7,100,000



(unaudited)



Asset-Backed Securities (1.1%) - continued Carlyle Global Market Strategies

CLO, Ltd.

$4,650,000

3.753%, (LIBOR 3M + 1.450%), 7/15/2031, Ser. 2014-5A, Class A2RRb,h $4,592,586

Carvana Auto Receivables Trust

650,0002.340%, 6/15/2023, Ser. 2019-3A, Class A3h 650,261

CBAM, Ltd.

4,500,000


Colony American Finance Trust

4,965,4272.835%, 6/15/2052, Ser. 2019-2, Class Ah 5,056,715

Commonbond Student Loan Trust

1,104,708

2.518%, (LIBOR 1M + 0.500%), 2/25/2044, Ser. 2018-AGS, Class A2b,h 1,081,611

DRB Prime Student Loan Trust

265,583

3.918%, (LIBOR 1M + 1.900%), 10/27/2031, Ser. 2015-B, Class A1b,h 269,378

Dryden Senior Loan Fund

3,950,000


Earnest Student Loan Program 2016-D, LLC

1,101,5072.770%, 1/25/2041, Ser. 2016-D, Class A2h 1,106,521

Edlinc Student Loan Funding Trust

16,490

5.502%, (CMT 3M + 3.150%), 10/1/2025, Ser. 2012-A, Class ATb,h 16,507

Galaxy XX CLO, Ltd.

4,500,000

3.278%, (LIBOR 3M + 1.000%), 4/20/2031, Ser. 2015-20A, Class ARb,h 4,455,509

Golub Capital Partners, Ltd.

2,500,000


3,683,000


Goodgreen Trust

4,404,6823.860%, 10/15/2054, Ser. 2019-1A, Class Ah 4,664,719

Home Partners of America Trust

5,724,9282.908%, 9/17/2039, Ser. 2019-1, Class Ah 5,817,958

5,750,0002.703%, 10/19/2039, Ser. 2019-2, Class Ah 5,768,557

Laurel Road Prime Student Loan Trust

2,305,6722.810%, 11/25/2042, Ser. 2017-C, Class A2Bh 2,334,339

Lendmark Funding Trust

1,800,0002.800%, 5/20/2026, Ser. 2017-2A, Class Ah 1,799,318

Madison Park Funding XIV, Ltd.

2,825,000

3.678%, (LIBOR 3M + 1.400%), 10/22/2030, Ser. 2014-14A, Class A2RRb,h 2,789,275


Asset-Backed Securities (1.1%) - continued Magnetite XII, Ltd.

$4,425,000

3.403%, (LIBOR 3M + 1.100%), 10/15/2031, Ser. 2015-12A, Class ARRb,h $4,411,429

Mountain View CLO, Ltd.

3,175,000

3.423%, (LIBOR 3M + 1.120%), 7/15/2031, Ser. 2015-9A, Class A1Rb,h 3,142,034

National Collegiate Trust

1,987,102

2.313%, (LIBOR 1M + 0.295%), 5/25/2031, Ser. 2007-A, Class Ab,h 1,930,559

Neuberger Berman CLO XIV, Ltd.

2,660,000


Neuberger Berman CLO, Ltd.

850,000

3.458%, (LIBOR 3M + 1.180%), 4/22/2029, Ser. 2014-17A, Class ARb,h 849,014

Octagon Investment Partners XVI, Ltd.

750,000

3.703%, (LIBOR 3M + 1.400%), 7/17/2030, Ser. 2013-1A, Class A2Rb,h 736,409

OZLM VIII, Ltd.

1,300,000

3.473%, (LIBOR 3M + 1.170%), 10/17/2029, Ser. 2014-8A, Class A1RRb,h 1,298,644

Palmer Square Loan Funding, Ltd.

4,033,798


2,200,000


PPM CLO 3, Ltd.

2,250,000


Preston Ridge Partners Mortgage Trust, LLC

327,3654.250%, 1/25/2022, Ser. 2017-1A, Class A1h,i 328,076

Race Point IX CLO, Ltd.

3,000,000

3.513%, (LIBOR 3M + 1.210%), 10/15/2030, Ser. 2015-9A, Class A1ARb,h 2,999,967

Saxon Asset Securities Trust

1,204,0484.117%, 8/25/2035, Ser. 2004-2, Class MF2 1,191,779

Shackleton CLO, Ltd.

3,000,000

3.473%, (LIBOR 3M + 1.170%), 7/15/2031, Ser. 2015-7RA, Class A1b,h 2,985,450

SLM Student Loan Trust

1,422,204

2.418%, (LIBOR 1M + 0.400%), 3/25/2025, Ser. 2010-1, Class Ab 1,379,615

SoFi Professional Loan Program, LLC

477,4682.420%, 3/25/2030, Ser. 2015-A, Class A2h 477,487


(unaudited)



Asset-Backed Securities (1.1%) - continued TCW GEM II, Ltd.

$3,900,000

3.908%, (LIBOR 3M + 1.750%), 2/15/2029, Ser. 2019-1A, Class AJb,h $3,901,416

U.S. Small Business Administration

286,3623.191%, 3/10/2024, Ser. 2014-10A, Class 1 292,189

Total 113,751,722

Basic Materials (0.3%) Anglo American Capital plc

1,115,000 4.875%, 5/14/2025h 1,211,130ArcelorMittal SA

368,000 6.125%, 6/1/2025 414,151CF Industries, Inc.

1,820,000 3.450%, 6/1/2023 1,847,300Dow Chemical Company

700,000 4.800%, 11/30/2028h 790,951DowDuPont, Inc.

1,475,000 4.493%, 11/15/2025 1,629,306First Quantum Minerals, Ltd.

1,880,000 7.500%, 4/1/2025h 1,851,800Glencore Funding, LLC

760,000 4.125%, 5/30/2023h 796,546 950,000 4.000%, 3/27/2027h 976,670

International Paper Company 1,888,000 4.350%, 8/15/2048 1,959,531

Kinross Gold Corporation 770,000 5.950%, 3/15/2024 857,048

1,950,000 4.500%, 7/15/2027 2,045,023Novelis Corporation

1,815,000 5.875%, 9/30/2026h 1,903,481Olin Corporation

1,835,000 5.125%, 9/15/2027 1,876,287Peabody Securities Finance

Corporation 1,665,000 6.375%, 3/31/2025h 1,645,236

Syngenta Finance NV 1,375,000 3.933%, 4/23/2021h 1,400,146

Teck Resources, Ltd. 1,267,000 6.125%, 10/1/2035 1,435,668

Tronox Finance plc 1,050,000 5.750%, 10/1/2025h 993,038

Vale Overseas, Ltd. 1,135,000 6.250%, 8/10/2026 1,308,088

514,000 6.875%, 11/21/2036 651,238Westlake Chemical Corporation

1,520,000 3.600%, 8/15/2026 1,569,694Weyerhaeuser Company

1,500,000 4.000%, 11/15/2029 1,630,858Total 28,793,190

Capital Goods (0.5%) AECOM

720,000 5.875%, 10/15/2024 782,640 1,200,000 5.125%, 3/15/2027 1,260,000

Amsted Industries, Inc. 1,260,000 5.625%, 7/1/2027h 1,329,300

Ardagh Packaging Finance plc 1,810,000 6.000%, 2/15/2025h 1,892,536

Boeing Company 900,000 3.850%, 11/1/2048 980,437

Bombardier, Inc. 2,695,000 7.500%, 3/15/2025h 2,691,631


Capital Goods (0.5%) - continued Building Materials Corporation of

America$1,855,000 6.000%, 10/15/2025h $1,944,893

Cemex SAB de CV 1,740,000 6.125%, 5/5/2025h 1,809,600

Cintas Corporation No. 2 1,125,000 3.700%, 4/1/2027 1,226,940

CNH Industrial Capital, LLC 1,452,000 4.875%, 4/1/2021 1,503,081

CNH Industrial NV 915,000 3.850%, 11/15/2027 943,112

Covanta Holding Corporation 890,000 6.000%, 1/1/2027 936,725

Crown Cork & Seal Company, Inc. 1,670,000 7.375%, 12/15/2026 2,029,050

H&E Equipment Services, Inc. 1,150,000 5.625%, 9/1/2025 1,183,810

Ingersoll-Rand Luxembourg Finance SA

1,575,000 3.500%, 3/21/2026 1,640,526L3Harris Technologies, Inc.

2,150,000 3.950%, 5/28/2024h 2,281,757Lockheed Martin Corporation

1,496,000 3.600%, 3/1/2035 1,613,657 1,544,000 4.500%, 5/15/2036 1,849,673

374,000 6.150%, 9/1/2036 517,733Northrop Grumman Corporation

2,575,000 3.850%, 4/15/2045 2,837,834Owens-Brockway Glass Container,

Inc. 1,460,000 5.000%, 1/15/2022h 1,505,917

Republic Services, Inc. 1,100,000 2.900%, 7/1/2026 1,131,974

Reynolds Group Issuer, Inc. 1,935,000 5.125%, 7/15/2023h 1,980,956

Rockwell Collins, Inc. 2,000,000 2.800%, 3/15/2022 2,032,952

Roper Technologies, Inc. 1,140,000 2.800%, 12/15/2021 1,158,258

605,000 3.650%, 9/15/2023 635,158 668,000 4.200%, 9/15/2028 734,672

Siemens Financieringsmaatschappij NV

1,055,000 4.200%, 3/16/2047h 1,224,919Textron, Inc.

1,010,000 3.375%, 3/1/2028 1,039,057United Rentals North America, Inc.

1,790,000 5.500%, 7/15/2025 1,862,495United Technologies Corporation

1,850,000 4.450%, 11/16/2038 2,202,604 1,200,000 3.750%, 11/1/2046 1,317,818 1,900,000 4.050%, 5/4/2047 2,188,087

Total 50,269,802

Collateralized Mortgage Obligations (0.9%) Ajax Mortgage Loan Trust

4,016,4384.360%, 9/25/2065, Ser. 2018-C, Class Ab,h 4,062,909

Alternative Loan Trust

814,6626.000%, 8/1/2036, Ser. 2006-24CB, Class A9 684,335

Angel Oak Mortgage Trust I, LLC

419,0693.500%, 7/25/2046, Ser. 2016-1, Class A1h 421,520


(unaudited)



Collateralized Mortgage Obligations (0.9%) - continued

$2,403,4223.628%, 3/25/2049, Ser. 2019-2, Class A1b,h $2,437,006

Bayview Koitere Fund Trust

1,735,0994.000%, 11/28/2053, Ser. 2017-SPL3, Class Ab,h 1,783,850

Bellemeade Re, Ltd.

3,700,000

3.118%, (LIBOR 1M + 1.100%), 7/25/2029, Ser. 2019-3A, Class M1Ab,h 3,701,577

BRAVO Residential Funding Trust

637,9843.500%, 3/25/2058, Ser. 2019-1, Class A1Ch 650,325

Citicorp Mortgage Securities, Inc.

3,888,4336.000%, 7/25/2037, Ser. 2007-6, Class 1A4 3,829,942

Citigroup Mortgage Loan Trust, Inc.

510,5915.500%, 11/25/2035, Ser. 2005-9, Class 21A2 520,700

COLT Funding, LLC

1,117,7223.470%, 7/27/2048, Ser. 2018-2, Class A1b,h 1,121,534

Countrywide Alternative Loan Trust

1,024,3043.666%, 10/25/2035, Ser. 2005-43, Class 4A1b 947,349

1,143,6076.000%, 4/25/2036, Ser. 2006-4CB, Class 1A1 923,559

321,4026.000%, 1/25/2037, Ser. 2006-39CB, Class 1A16 320,651

2,181,8787.000%, 10/25/2037, Ser. 2007-24, Class A10 1,324,186

Countrywide Home Loans, Inc.

579,4545.750%, 4/25/2037, Ser. 2007-3, Class A27 474,030

Credit Suisse Mortgage Trust

5,067,7253.850%, 9/25/2057, Ser. 2018-RPL9, Class A1b,h 5,259,423

Deutsche Alt-A Securities, Inc., Mortgage Loan Trust

356,3536.000%, 10/25/2021, Ser. 2006-AR5, Class 23A 322,438

Ellington Financial Mortgage Trust

2,779,0424.140%, 10/25/2058, Ser. 2018-1, Class A1FXb,h 2,814,015

Federal Home Loan Mortgage Corporation

3,664,1834.000%, 7/15/2031, Ser. 4104, Class KIj 246,557

Federal Home Loan Mortgage Corporation - REMIC

17,400,0003.859%, 11/25/2028, Ser. K086, Class A2b,k 19,673,174

2,651,1783.000%, 2/15/2033, Ser. 4170, Class IGj 276,731

5,239,6243.000%, 3/15/2033, Ser. 4180, Class PIj 533,089

Federal National Mortgage Association - REMIC

9,454,4023.000%, 12/25/2027, Ser. 2012-137, Class AIj 685,977

FWD Securitization Trust

3,348,2122.810%, 6/25/2049, Ser. 2019-INV1, Class A1b,h 3,361,400



Galton Funding Mortgage Trust 2017-1

$3,670,4744.500%, 10/25/2058, Ser. 2018-2, Class A41b,h $3,755,441

GCAT Trust

281,4362.985%, 2/25/2059, Ser. 2019-NQM1, Class A1h,i 282,089

GS Mortgage-Backed Securities Trust

1,436,1522.625%, 1/25/2059, Ser. 2019-SL1, Class A1b,h 1,426,864

J.P. Morgan Alternative Loan Trust

1,214,6376.500%, 3/25/2036, Ser. 2006-S1, Class 1A19 1,016,293

J.P. Morgan Mortgage Trust

308,7284.507%, 6/25/2036, Ser. 2006-A4, Class 1A2b 277,069

MASTR Alternative Loans Trust

1,435,906

2.468%, (LIBOR 1M + 0.450%), 12/25/2035, Ser. 2005-6, Class 2A1b 484,258

Merrill Lynch Alternative Note Asset Trust

455,2486.000%, 3/25/2037, Ser. 2007-F1, Class 2A1 337,583

Preston Ridge Partners Mortgage Trust, LLC

3,490,0114.500%, 1/25/2024, Ser. 2019-1A, Class A1h,i 3,514,674

Pretium Mortgage Credit Partners, LLC

1,757,5914.213%, 7/25/2060, Ser. 2019-NPL1, Class A1h,i 1,772,168

RCO Mortgage, LLC

1,337,1524.270%, 12/26/2053, Ser. 2018-VFS1, Class A1b,h 1,363,770

Renaissance Home Equity Loan Trust

3,392,3075.580%, 11/25/2036, Ser. 2006-3, Class AF2i 1,786,369

Residential Accredit Loans, Inc. Trust

1,502,4216.000%, 8/25/2035, Ser. 2005-QS10, Class 2A 1,513,074

Sequoia Mortgage Trust

1,501,4513.402%, 9/20/2046, Ser. 2007-1, Class 4A1b 1,223,393

Toorak Mortgage Corporation

250,0004.458%, 3/25/2022, Ser. 2019-1, Class A1h,i 254,018

11,000,0003.721%, 9/25/2022, Ser. 2019-2, Class A1i 11,019,476

Verus Securitization Trust

1,334,8502.485%, 7/25/2047, Ser. 2017-2A, Class A1b,h 1,327,542

897,1873.836%, 2/25/2059, Ser. 2019-1, Class A1b,h 907,071

670,9403.211%, 4/25/2059, Ser. 2019-2, Class A1b,h 674,617

1,341,8823.345%, 4/25/2059, Ser. 2019-2, Class A2b,h 1,349,441

4,391,8782.913%, 7/25/2059, Ser. 2019-INV2, Class A1b,h 4,403,625

WaMu Mortgage Pass Through Certificates

140,1803.811%, 9/25/2036, Ser. 2006-AR10, Class 1A2b 135,069


(unaudited)




$520,4163.909%, 10/25/2036, Ser. 2006-AR12, Class 1A1b $511,288

Total 95,711,469

Commercial Mortgage-Backed Securities (1.2%) Benchmark 2019-B13 Mortgage

Trust

5,000,0002.952%, 8/15/2057, Ser. 2019-B13, Class A4e 5,186,555

CSAIL Commercial Mortgage Trust

5,900,0003.504%, 6/15/2057, Ser. 2015-C2, Class A4 6,253,425

Federal Home Loan Mortgage Corporation Multifamily Structured Pass Through Certificates

1,750,0003.422%, 2/25/2052, Ser. K090, Class A2k 1,927,170

13,400,0003.780%, 10/25/2028, Ser. K084, Class A2b,k 15,050,325

12,250,0003.505%, 3/25/2029, Ser. K091, Class A2k 13,578,967

1,292,1463.000%, 3/15/2045, Ser. 4741, Class GA 1,328,623

Federal National Mortgage Association

9,600,000 3.410%, 5/1/2028 10,230,613 5,700,000 3.640%, 6/1/2028 6,136,380 3,972,076 3.730%, 6/1/2028 4,280,527 2,400,000 3.710%, 7/1/2028 2,581,918

Federal National Mortgage Association - ACES

3,825,0002.569%, 12/25/2026, Ser. 2017-M3, Class A2b 3,900,517

3,750,0002.961%, 2/25/2027, Ser. 2017-M7, Class A2b 3,935,935

5,750,0003.555%, 9/25/2028, Ser. 2019-M1, Class A2b 6,356,680

9,025,0003.639%, 8/25/2030, Ser. 2018-M12, Class A2b 10,098,958

Federal National Mortgage Association Grantor Trust

7,562,0882.898%, 6/25/2027, Ser. 2017-T1, Class Ak 7,908,831

GS Mortgage Securities Trust

3,468,8633.801%, 1/10/2047, Ser. 2014-GC18, Class A3 3,668,082

6,600,0003.666%, 9/10/2047, Ser. 2014-GC24, Class A4 7,028,601

2,000,0003.244%, 10/10/2048, Ser. 2015-GC34, Class A3 2,107,399

UBS Commercial Mortgage Trust

3,525,0002.921%, 9/15/2052, Ser. 2019-C17, Class A4e 3,628,290

5,500,0004.241%, 6/15/2051, Ser. 2018-C11, Class A5b 6,236,911

Wells Fargo Commercial Mortgage Trust

4,000,0003.617%, 9/15/2057, Ser. 2015-NXS3, Class A4 4,286,778

Total 125,711,485

Communications Services (0.9%) AMC Networks, Inc.

1,685,000 5.000%, 4/1/2024 1,735,550


Communications Services (0.9%) - continued AT&T, Inc.

$1,825,000 4.350%, 3/1/2029 $2,016,868 1,037,000 4.300%, 2/15/2030 1,141,274 1,475,000 5.250%, 3/1/2037 1,736,717 2,210,000 4.900%, 8/15/2037 2,511,065 1,140,000 6.350%, 3/15/2040 1,448,751 1,300,000 5.550%, 8/15/2041 1,551,757

772,000 4.750%, 5/15/2046 856,658 1,630,000 5.450%, 3/1/2047 1,969,304

British Sky Broadcasting Group plc 1,450,000 3.125%, 11/26/2022h 1,497,091

British Telecommunications plc 1,475,000 4.500%, 12/4/2023 1,586,463

CCO Holdings, LLC 2,200,000 5.875%, 4/1/2024h 2,295,612

900,000 5.125%, 5/1/2027h 939,375CCOH Safari, LLC

1,300,000 5.750%, 2/15/2026h 1,371,500Charter Communications Operating,

LLC 700,000 4.500%, 2/1/2024 752,098

1,800,000 4.200%, 3/15/2028 1,894,940 1,525,000 6.484%, 10/23/2045 1,858,206

Comcast Corporation 1,550,000 4.950%, 10/15/2058 1,988,595

800,000 4.049%, 11/1/2052 890,241 1,225,000 2.750%, 3/1/2023 1,254,940

900,000 3.950%, 10/15/2025 979,918 1,500,000 4.250%, 10/15/2030 1,707,312 1,265,000 4.400%, 8/15/2035 1,476,536 1,305,000 4.750%, 3/1/2044 1,594,338

550,000 4.600%, 8/15/2045 661,494Cox Communications, Inc.

1,815,000 3.350%, 9/15/2026h 1,875,007 748,000 4.600%, 8/15/2047h 821,429

Crown Castle International Corporation

1,158,000 5.250%, 1/15/2023 1,263,490 1,496,000 3.200%, 9/1/2024 1,541,706

Discovery Communications, LLC 1,850,000 4.900%, 3/11/2026 2,055,931

Embarq Corporation 960,000 7.995%, 6/1/2036 948,902

Frontier Communications Corporation

875,000 8.000%, 4/1/2027h 922,854Gray Television, Inc.

1,865,000 5.875%, 7/15/2026h 1,939,600Level 3 Communications, Inc.

2,270,000 5.375%, 1/15/2024 2,315,059Level 3 Financing, Inc.

995,000 5.375%, 5/1/2025 1,031,069Moody's Corporation

1,045,000 2.750%, 12/15/2021 1,058,793Neptune Finco Corporation

2,517,000 10.875%, 10/15/2025h 2,850,377Netflix, Inc.

1,860,000 4.875%, 4/15/2028 1,892,457Nexstar Escrow Corporation

1,403,000 5.625%, 8/1/2024h 1,460,313Omnicom Group, Inc.

750,000 3.600%, 4/15/2026 790,745Sirius XM Radio, Inc.

1,760,000 5.000%, 8/1/2027h 1,815,352


(unaudited)



Communications Services (0.9%) - continued Sprint Communications, Inc.

$2,025,000 6.000%, 11/15/2022 $2,151,563Sprint Corporation

1,680,000 7.625%, 2/15/2025 1,848,000Telefonica Emisiones SAU

900,000 4.570%, 4/27/2023 970,141 615,000 4.665%, 3/6/2038 676,742

Time Warner Entertainment Company, LP

1,691,000 8.375%, 3/15/2023 2,002,209T-Mobile USA, Inc.

2,870,000 4.500%, 2/1/2026 2,954,091Verizon Communications, Inc.

1,739,000 5.150%, 9/15/2023 1,944,895 1,876,000 3.376%, 2/15/2025 1,981,384

820,0003.258%, (LIBOR 3M + 1.100%), 5/15/2025b 832,674

1,165,000 4.272%, 1/15/2036 1,312,076 2,992,000 4.862%, 8/21/2046 3,658,361

355,000 4.522%, 9/15/2048 419,216Viacom, Inc.

735,000 4.250%, 9/1/2023 779,474 1,427,000 6.875%, 4/30/2036 1,831,942 1,140,000 5.850%, 9/1/2043 1,402,035

Virgin Media Secured Finance plc 1,815,000 5.250%, 1/15/2026h 1,864,913

Vodafone Group plc 1,600,000 4.875%, 6/19/2049 1,782,697

Walt Disney Company 2,505,000 6.400%, 12/15/2035h 3,612,976

Total 94,325,076

Consumer Cyclical (0.7%) Allison Transmission, Inc.

2,000,000 5.000%, 10/1/2024h 2,043,750Amazon.com, Inc.

1,870,000 3.875%, 8/22/2037 2,148,570 1,122,000 4.050%, 8/22/2047 1,350,480

American Honda Finance Corporation

1,600,000 2.150%, 9/10/2024 1,591,195Brookfield Property REIT, Inc.

990,000 5.750%, 5/15/2026h 1,034,550Brookfield Residential Properties,

Inc. 1,615,000 6.250%, 9/15/2027h 1,623,075

Cinemark USA, Inc. 1,725,000 4.875%, 6/1/2023 1,748,719

D.R. Horton, Inc. 1,515,000 2.550%, 12/1/2020 1,519,449

Daimler Finance North America, LLC

150,0002.837%, (LIBOR 3M + 0.550%), 5/4/2021b,h 149,918

Ford Motor Credit Company, LLC 570,000 3.200%, 1/15/2021 570,748

1,650,000 5.596%, 1/7/2022 1,733,581

575,0003.374%, (LIBOR 3M + 1.270%), 3/28/2022b 567,121

1,650,000 2.979%, 8/3/2022 1,633,708General Motors Company

1,500,0003.034%, (LIBOR 3M + 0.900%), 9/10/2021b 1,498,606

1,800,000 5.000%, 10/1/2028 1,913,598


Consumer Cyclical (0.7%) - continued General Motors Financial Company,

Inc.$772,000 4.200%, 3/1/2021 $788,632

1,635,000 3.150%, 6/30/2022 1,653,921 760,000 3.950%, 4/13/2024 782,078

Hanesbrands, Inc. 1,400,000 4.875%, 5/15/2026h 1,479,100

Hilton Domestic Operating Company, Inc.

1,790,000 4.875%, 1/15/2030h 1,889,971Home Depot, Inc.

1,755,000 5.400%, 9/15/2040 2,336,601 1,140,000 4.250%, 4/1/2046 1,363,946 1,870,000 3.900%, 6/15/2047 2,142,439

Hyundai Capital America 2,250,000 3.000%, 6/20/2022h 2,267,096

L Brands, Inc. 880,000 5.625%, 2/15/2022 927,300 910,000 6.694%, 1/15/2027 894,075

Landry's, Inc. 1,795,000 6.750%, 10/15/2024h 1,839,875

Lear Corporation 1,219,000 5.250%, 1/15/2025 1,259,177

Lennar Corporation 925,000 4.125%, 1/15/2022 946,969

1,895,000 4.875%, 12/15/2023 2,013,438 585,000 4.500%, 4/30/2024 616,298

Live Nation Entertainment, Inc. 585,000 5.375%, 6/15/2022h 592,313

1,300,000 5.625%, 3/15/2026h 1,382,875Macy's Retail Holdings, Inc.

2,000,000 2.875%, 2/15/2023 1,974,693Mastercard, Inc.

1,070,000 3.950%, 2/26/2048 1,266,413Mattamy Group Corporation

1,560,000 6.500%, 10/1/2025h 1,638,000McDonald's Corporation

1,755,000 4.450%, 3/1/2047 2,016,481MGM Resorts International

1,940,000 6.000%, 3/15/2023 2,137,298Navistar International Corporation

1,600,000 6.625%, 11/1/2025h 1,624,000New Red Finance, Inc.

1,840,000 4.250%, 5/15/2024h 1,892,826Prime Security Services Borrower,

LLC 1,820,000 5.750%, 4/15/2026h 1,895,166

Scientific Games International, Inc. 910,000 5.000%, 10/15/2025h 938,938

ServiceMaster Company, LLC 1,700,000 5.125%, 11/15/2024h 1,763,750

Six Flags Entertainment Corporation 1,810,000 4.875%, 7/31/2024h 1,873,350

Viking Cruises, Ltd. 1,290,000 5.875%, 9/15/2027h 1,366,884

Volkswagen Group of America Finance, LLC

1,800,000 4.250%, 11/13/2023h 1,917,906Walmart, Inc.

1,300,000 3.250%, 7/8/2029 1,405,017Yum! Brands, Inc.

1,590,000 5.000%, 6/1/2024h 1,649,625 460,000 4.750%, 1/15/2030h 474,375

Total 72,137,894


(unaudited)



Consumer Non-Cyclical (1.3%) Abbott Laboratories

$380,000 2.900%, 11/30/2021 $386,855 665,000 3.400%, 11/30/2023 699,089

1,445,000 4.750%, 11/30/2036 1,775,902AbbVie, Inc.

1,910,000 3.600%, 5/14/2025 1,986,138 726,000 4.700%, 5/14/2045 775,618

Albertson's Companies, LLC 1,980,000 7.500%, 3/15/2026h 2,202,750

Allergan, Inc. 1,450,000 2.800%, 3/15/2023 1,463,443

Altria Group, Inc. 875,000 4.400%, 2/14/2026 935,369

3,350,000 5.800%, 2/14/2039 3,884,651Amgen, Inc.

100,000 3.125%, 5/1/2025 103,980Anheuser-Busch Companies, LLC

1,228,000 3.650%, 2/1/2026 1,315,769 3,040,000 4.700%, 2/1/2036 3,515,886

Anheuser-Busch InBev Worldwide, Inc.

3,525,000 4.750%, 4/15/2058 4,104,532 1,740,000 4.375%, 4/15/2038 1,948,453

415,000 4.600%, 4/15/2048 478,390Anthem, Inc.

1,870,000 4.625%, 5/15/2042 2,072,603B&G Foods, Inc.

625,000 5.250%, 9/15/2027 639,125BAT Capital Corporation

1,122,000 3.222%, 8/15/2024 1,135,562 1,496,000 4.540%, 8/15/2047 1,436,265

Baxalta, Inc. 721,000 4.000%, 6/23/2025 777,201

Bayer U.S. Finance II, LLC 1,630,000 4.250%, 12/15/2025h 1,740,222

Becton, Dickinson and Company 1,594,000 3.734%, 12/15/2024 1,686,825 1,800,000 3.700%, 6/6/2027 1,907,093 1,122,000 4.669%, 6/6/2047 1,325,932

Boston Scientific Corporation 800,000 4.000%, 3/1/2028 877,160

1,140,000 7.375%, 1/15/2040 1,734,472Bunge, Ltd. Finance Corporation

800,000 3.500%, 11/24/2020 808,638Cargill, Inc.

1,650,000 3.250%, 5/23/2029h 1,765,775Celgene Corporation

3,035,000 2.875%, 8/15/2020 3,051,687Centene Corporation

2,050,000 4.750%, 1/15/2025 2,104,325Cigna Corporation

405,0003.193%, (LIBOR 3M + 0.890%), 7/15/2023b 405,914

1,200,000 4.125%, 11/15/2025 1,292,144 875,000 3.050%, 10/15/2027 890,527

1,500,000 4.800%, 8/15/2038 1,685,417Clorox Company

2,175,000 3.100%, 10/1/2027 2,269,129Conagra Brands, Inc.

725,000 3.800%, 10/22/2021 748,179 1,210,000 4.300%, 5/1/2024 1,298,453

Constellation Brands, Inc. 1,450,000 3.600%, 2/15/2028 1,531,219

CVS Health Corporation 714,000 3.700%, 3/9/2023 743,150


Consumer Non-Cyclical (1.3%) - continued $400,000 4.000%, 12/5/2023 $422,721

1,780,000 4.100%, 3/25/2025 1,900,676 2,560,000 4.875%, 7/20/2035 2,862,884 1,955,000 4.780%, 3/25/2038 2,155,196

830,000 5.050%, 3/25/2048 943,903EMD Finance, LLC

1,520,000 2.950%, 3/19/2022h 1,538,129Energizer Holdings, Inc.

1,849,000 5.500%, 6/15/2025h 1,914,325Express Scripts Holding Company

1,600,000 4.800%, 7/15/2046 1,792,264HCA, Inc.

2,610,000 5.375%, 2/1/2025 2,851,425Imperial Brands Finance plc

1,600,000 3.875%, 7/26/2029h 1,612,755JBS USA Lux SA

1,900,000 5.500%, 1/15/2030h 2,013,962JBS USA, LLC

930,000 5.750%, 6/15/2025h 968,893Keurig Dr Pepper, Inc.

1,275,000 3.551%, 5/25/2021 1,303,184Kimberly-Clark Corporation

1,900,000 3.900%, 5/4/2047 2,180,134Kraft Foods Group, Inc.

1,544,000 5.000%, 6/4/2042 1,592,707Kraft Heinz Foods Company

1,900,000 3.375%, 6/15/2021 1,924,588 1,575,000 4.875%, 10/1/2049h 1,589,544

Kroger Company 935,000 2.800%, 8/1/2022 951,408

Medtronic, Inc. 2,733,000 4.375%, 3/15/2035 3,290,551

105,000 4.625%, 3/15/2045 134,759Merck & Company, Inc.

330,000 3.700%, 2/10/2045 373,610Mondelez International Holdings

Netherlands BV 1,570,000 2.000%, 10/28/2021h 1,566,859

Mylan, Inc. 450,000 3.125%, 1/15/2023h 454,682

Nestle Holdings, Inc. 850,000 3.900%, 9/24/2038h 982,529

Par Pharmaceutical, Inc. 910,000 7.500%, 4/1/2027h 828,100

Perrigo Finance Unlimited Company 987,000 4.900%, 12/15/2044 924,320

Post Holdings, Inc. 800,000 5.500%, 3/1/2025h 838,000

Reynolds American, Inc. 2,338,000 5.700%, 8/15/2035 2,610,698

Roche Holdings, Inc. 1,158,000 4.000%, 11/28/2044h 1,381,051

Shire Acquisitions Investments Ireland Designated Activity Company

2,262,000 2.400%, 9/23/2021 2,272,487Simmons Foods, Inc.

1,950,000 5.750%, 11/1/2024h 1,901,250Smithfield Foods, Inc.

1,770,000 2.700%, 1/31/2020h 1,768,958 1,060,000 2.650%, 10/3/2021h 1,049,813

Spectrum Brands, Inc. 1,580,000 5.750%, 7/15/2025 1,648,714

Tenet Healthcare Corporation 510,000 4.625%, 7/15/2024 524,142


(unaudited)



Consumer Non-Cyclical (1.3%) - continued $1,340,000 5.125%, 11/1/2027h $1,384,689

Tyson Foods, Inc. 748,000 3.550%, 6/2/2027 792,753

UnitedHealth Group, Inc. 1,815,000 2.950%, 10/15/2027 1,873,973 3,450,000 4.625%, 7/15/2035 4,181,424

Valeant Pharmaceuticals International, Inc.

900,000 5.875%, 5/15/2023h 911,250VRX Escrow Corporation

3,610,000 6.125%, 4/15/2025h 3,745,375Zimmer Biomet Holdings, Inc.

1,300,000 3.550%, 4/1/2025 1,365,037Zoetis, Inc.

2,490,000 4.700%, 2/1/2043 2,987,555Total 129,815,119

Energy (1.0%) Alliance Resource Operating

Partners, LP 1,050,000 7.500%, 5/1/2025h 1,036,875

Antero Resources Corporation 310,000 5.125%, 12/1/2022 272,025

1,500,000 5.625%, 6/1/2023g 1,297,500BP Capital Markets America, Inc.

415,000 3.119%, 5/4/2026 433,211BP Capital Markets plc

1,085,000 3.535%, 11/4/2024 1,152,099 2,550,000 3.279%, 9/19/2027 2,684,447

Canadian Oil Sands, Ltd. 1,000,000 9.400%, 9/1/2021h 1,116,307

Cenovus Energy, Inc. 1,800,000 5.400%, 6/15/2047 2,027,713

Cheniere Corpus Christi Holdings, LLC

1,810,000 7.000%, 6/30/2024 2,079,237 1,695,000 5.875%, 3/31/2025 1,885,687

Cheniere Energy Partners, LP 1,930,000 5.625%, 10/1/2026 2,048,019

Chesapeake Energy Corporation 1,770,000 7.000%, 10/1/2024 1,269,975

ConocoPhillips 1,870,000 6.500%, 2/1/2039 2,705,964

Continental Resources, Inc. 1,012,000 5.000%, 9/15/2022 1,020,916 1,550,000 4.375%, 1/15/2028 1,601,561

Diamondback Energy, Inc. 1,230,000 4.750%, 11/1/2024 1,259,213

770,000 5.375%, 5/31/2025 803,541El Paso Pipeline Partners Operating

Company, LLC 1,120,000 4.300%, 5/1/2024 1,197,890

Enbridge Energy Partners, LP 1,840,000 5.875%, 10/15/2025 2,143,483

Enbridge, Inc. 1,285,000 2.900%, 7/15/2022 1,309,392

Energy Transfer Operating, LP 730,000 4.200%, 9/15/2023 767,997

1,600,000 6.000%, 6/15/2048 1,891,434Energy Transfer Partners, LP

970,000 4.900%, 3/15/2035 1,001,992 800,000 5.150%, 2/1/2043 831,495

Eni SPA 1,500,000 4.000%, 9/12/2023h 1,588,068


Energy (1.0%) - continued EnLink Midstream Partners, LP

$775,000 4.150%, 6/1/2025 $718,813 2,659,000 4.850%, 7/15/2026 2,526,050

EQM Midstream Partners LP 1,600,000 4.750%, 7/15/2023 1,606,025

EQT Corporation 425,000 4.875%, 11/15/2021 435,970

Hess Corporation 2,515,000 3.500%, 7/15/2024 2,566,897

Kinder Morgan Energy Partners, LP 1,150,000 3.500%, 3/1/2021 1,167,358 1,870,000 6.500%, 9/1/2039 2,367,290

Kinder Morgan, Inc. 50,000 6.500%, 9/15/2020 51,964

Magellan Midstream Partners, LP 1,070,000 5.000%, 3/1/2026 1,201,281

Marathon Oil Corporation 1,140,000 2.700%, 6/1/2020 1,142,230 1,250,000 6.600%, 10/1/2037 1,555,757

Marathon Petroleum Corporation 2,244,000 4.750%, 12/15/2023 2,435,415

846,000 6.500%, 3/1/2041 1,053,520MPLX, LP

1,425,000 4.875%, 12/1/2024 1,564,434 2,244,000 4.875%, 6/1/2025 2,468,919

Nabors Industries, Inc. 1,195,000 5.750%, 2/1/2025 884,300

Newfield Exploration Company 1,725,000 5.625%, 7/1/2024 1,903,110

Noble Energy, Inc. 1,850,000 5.050%, 11/15/2044 2,019,263

Occidental Petroleum Corporation 1,796,000 4.850%, 3/15/2021 1,857,010 1,002,000 3.200%, 8/15/2026 1,009,411

Parsley Energy, LLC 1,405,000 5.625%, 10/15/2027h 1,450,663

Petrobras Global Finance BV 949,000 5.093%, 1/15/2030h 989,949

Phillips 66 1,450,000 3.900%, 3/15/2028 1,563,461

Pioneer Natural Resources Company 750,000 4.450%, 1/15/2026 821,765

Plains All American Pipeline, LP 1,690,000 5.000%, 2/1/2021 1,733,718

Precision Drilling Corporation 860,000 7.125%, 1/15/2026h 795,500

Sabine Pass Liquefaction, LLC 1,125,000 6.250%, 3/15/2022 1,212,186 1,300,000 5.625%, 4/15/2023 1,412,648 1,500,000 5.750%, 5/15/2024 1,672,077

Schlumberger Holdings Corporation 1,630,000 4.000%, 12/21/2025h 1,738,063

Southwestern Energy Company 1,780,000 7.500%, 4/1/2026 1,548,600

Suncor Energy, Inc. 990,000 3.600%, 12/1/2024 1,043,753

Sunoco, LP 860,000 5.500%, 2/15/2026 897,556

1,285,000 5.875%, 3/15/2028 1,363,706Tallgrass Energy Partners, LP

2,860,000 5.500%, 1/15/2028h 2,795,364Transocean Pontus, Ltd.

890,000 6.125%, 8/1/2025h 903,350Transocean, Inc.

885,000 7.250%, 11/1/2025h 779,906


(unaudited)



Energy (1.0%) - continued W&T Offshore, Inc.

$965,000 9.750%, 11/1/2023h $921,208Western Gas Partners, LP

1,496,000 4.000%, 7/1/2022 1,514,125Williams Companies, Inc.

1,815,000 7.500%, 1/15/2031 2,386,898Williams Partners, LP

950,000 4.000%, 11/15/2021 976,492 560,000 3.600%, 3/15/2022 575,238 935,000 4.500%, 11/15/2023 1,000,856

Woodside Finance, Ltd. 1,825,000 3.650%, 3/5/2025h 1,881,191

735,000 3.700%, 3/15/2028h 754,645WPX Energy, Inc.

1,645,000 5.750%, 6/1/2026 1,686,125Total 100,380,101

Financials (2.3%) ACE INA Holdings, Inc.

1,115,000 4.350%, 11/3/2045 1,369,285AerCap Ireland Capital, Ltd.

1,870,000 5.000%, 10/1/2021 1,966,121 1,240,000 3.500%, 1/15/2025 1,265,558

Aircastle, Ltd. 1,700,000 5.000%, 4/1/2023 1,820,687

Ally Financial, Inc. 1,825,000 5.750%, 11/20/2025 2,044,036

American International Group, Inc. 60,000 4.125%, 2/15/2024 64,213

2,245,000 3.750%, 7/10/2025 2,371,084 2,085,000 3.900%, 4/1/2026 2,220,442

Aviation Capital Group, LLC 1,300,000 2.875%, 1/20/2022h 1,305,298

Avolon Holdings Funding, Ltd. 800,000 5.250%, 5/15/2024h 856,560

Banco Santander SA

1,400,0003.460%, (LIBOR 3M + 1.120%), 4/12/2023b 1,401,289

Bank of America Corporation 700,000 3.499%, 5/17/2022b 713,865

1,280,000 3.300%, 1/11/2023 1,323,283 1,490,000 2.881%, 4/24/2023b 1,512,433 1,520,000 4.000%, 4/1/2024 1,630,955 1,800,000 4.200%, 8/26/2024 1,930,745 2,070,000 4.000%, 1/22/2025 2,198,880 1,800,000 3.458%, 3/15/2025b 1,878,080 1,825,000 3.093%, 10/1/2025b 1,879,793 2,244,000 4.183%, 11/25/2027 2,414,430 1,550,000 3.824%, 1/20/2028b 1,665,731

950,000 3.194%, 7/23/2030b 980,326Bank of Nova Scotia

1,550,000 2.700%, 3/7/2022 1,577,112Barclays Bank plc

386,000 10.179%, 6/12/2021h 431,679Barclays plc

2,415,000 3.250%, 1/12/2021 2,432,494 1,575,000 4.610%, 2/15/2023b 1,636,220

83,000 3.650%, 3/16/2025 84,942Boston Properties, LP

950,000 4.500%, 12/1/2028 1,080,878BPCE SA

975,000 3.000%, 5/22/2022h 989,380 2,541,000 3.500%, 10/23/2027h 2,645,172

Camden Property Trust 1,975,000 3.150%, 7/1/2029 2,055,476


Financials (2.3%) - continued Capital One Financial Corporation

$1,520,000 3.050%, 3/9/2022 $1,550,302 1,800,000 4.200%, 10/29/2025 1,918,357

Capital One NA 1,600,000 2.150%, 9/6/2022 1,598,644

CIT Group, Inc. 1,770,000 5.000%, 8/15/2022 1,875,138

Citigroup, Inc. 150,000 2.750%, 4/25/2022 152,238 850,000 4.050%, 7/30/2022 889,865

1,075,000 3.142%, 1/24/2023b 1,094,922 2,515,000 4.400%, 6/10/2025 2,704,095 1,520,000 3.200%, 10/21/2026 1,569,216 2,244,000 3.668%, 7/24/2028b 2,375,110 1,140,000 4.125%, 7/25/2028 1,227,342 1,815,000 3.520%, 10/27/2028b 1,901,305

978,000 4.650%, 7/23/2048 1,196,927CNA Financial Corporation

650,000 3.900%, 5/1/2029 702,446Comerica, Inc.

45,000 3.700%, 7/31/2023 47,252Commerzbank AG

1,850,000 8.125%, 9/19/2023h 2,157,448Compass Bank

1,350,000 3.500%, 6/11/2021 1,372,284Cooperatieve Centrale Raiffeisen-

Boerenleenbank BA 1,975,000 3.950%, 11/9/2022 2,057,114

988,000 4.625%, 12/1/2023 1,062,293Credit Suisse Group AG

900,000 7.250%, 9/12/2025b,h,l 963,000 1,385,000 3.869%, 1/12/2029b,h 1,458,789

Credit Suisse Group Funding (Guernsey), Ltd.

236,000 3.125%, 12/10/2020 238,207Credit Suisse Group Funding, Ltd.

1,544,000 3.750%, 3/26/2025 1,622,509Danske Bank AS

1,225,000 3.244%, 12/20/2025b,h 1,234,988Deutsche Bank AG

876,000 2.700%, 7/13/2020 874,199 2,300,000 3.375%, 5/12/2021 2,293,354

950,000 4.250%, 10/14/2021 963,706 300,000 4.875%, 12/1/2032b 271,614

Discover Bank 1,750,000 8.700%, 11/18/2019 1,763,534

900,000 2.450%, 9/12/2024 897,559 1,670,000 4.682%, 8/9/2028b 1,745,976

Duke Realty, LP 330,000 3.875%, 2/15/2021 336,757 960,000 4.375%, 6/15/2022 1,008,564

ERP Operating, LP 337,000 3.375%, 6/1/2025 356,235

Fidelity National Financial, Inc. 1,300,000 5.500%, 9/1/2022 1,395,123

Fifth Third Bancorp 1,200,000 2.600%, 6/15/2022 1,212,887

Five Corners Funding Trust 3,070,000 4.419%, 11/15/2023h 3,319,108

GE Capital International Funding Company

5,580,000 4.418%, 11/15/2035 5,852,923Goldman Sachs Group, Inc.

2,600,000 5.375%, 5/10/2020b,l 2,619,500 2,863,000 5.250%, 7/27/2021 3,016,772


(unaudited)



Financials (2.3%) - continued $2,150,000 2.876%, 10/31/2022b $2,174,897 1,496,000 2.908%, 6/5/2023b 1,515,680 1,000,000 3.625%, 2/20/2024 1,049,084 2,600,000 3.691%, 6/5/2028b 2,729,629 1,130,000 4.750%, 10/21/2045 1,358,889

HCP, Inc. 642,000 4.000%, 12/1/2022 672,241 660,000 3.400%, 2/1/2025 684,386

HSBC Holdings plc 2,675,000 3.400%, 3/8/2021 2,715,927 1,475,000 6.875%, 6/1/2021b,l 1,547,275 1,225,000 2.650%, 1/5/2022 1,233,791 1,850,000 3.803%, 3/11/2025b 1,927,260 1,460,000 3.900%, 5/25/2026 1,548,366

Icahn Enterprises, LP 345,000 6.750%, 2/1/2024 358,800

1,215,000 6.375%, 12/15/2025 1,277,588ING Groep NV

1,125,000 3.150%, 3/29/2022 1,150,385 1,300,000 4.100%, 10/2/2023 1,380,079

International Lease Finance Corporation

750,000 5.875%, 8/15/2022 821,736Iron Mountain, Inc.

1,090,000 6.000%, 8/15/2023 1,115,724J.P. Morgan Chase & Company

900,000 2.295%, 8/15/2021 902,388 1,950,000 2.700%, 5/18/2023 1,983,446

825,0003.513%, (LIBOR 3M + 1.230%), 10/24/2023b 838,081

1,320,000 3.625%, 5/13/2024 1,398,742 1,550,000 3.875%, 9/10/2024 1,651,372 2,585,000 3.125%, 1/23/2025 2,678,504 3,200,000 3.900%, 7/15/2025 3,452,871 1,475,000 4.203%, 7/23/2029b 1,638,801 1,150,000 4.452%, 12/5/2029b 1,300,830 2,240,000 3.882%, 7/24/2038b 2,459,805

Kimco Realty Corporation 2,992,000 3.300%, 2/1/2025 3,086,102

Liberty Mutual Group, Inc. 760,000 4.950%, 5/1/2022h 805,647

Lloyds Bank plc

850,0002.699%, (LIBOR 3M + 0.490%), 5/7/2021b 849,913

Lloyds Banking Group plc 1,815,000 2.907%, 11/7/2023b 1,818,598

Marsh & McLennan Companies, Inc. 1,300,000 3.875%, 3/15/2024 1,385,852

MassMutual Global Funding 1,230,000 2.750%, 6/22/2024h 1,258,716

MetLife, Inc. 1,300,000 4.050%, 3/1/2045 1,454,367

Mitsubishi UFJ Financial Group, Inc. 2,160,000 3.455%, 3/2/2023 2,235,632 1,870,000 3.287%, 7/25/2027 1,955,453

Morgan Stanley 760,000 5.550%, 7/15/2020b,l 770,526

899,0003.458%, (LIBOR 3M + 1.180%), 1/20/2022b 907,709

1,683,000 2.750%, 5/19/2022 1,707,212 670,000 4.875%, 11/1/2022 718,473

1,450,000 3.125%, 1/23/2023 1,487,432 1,925,000 4.350%, 9/8/2026 2,086,949 2,244,000 3.591%, 7/22/2028b 2,366,909 1,440,000 3.772%, 1/24/2029b 1,538,970


Financials (2.3%) - continued MPT Operating Partnership, LP

$870,000 6.375%, 3/1/2024 $912,012 990,000 4.625%, 8/1/2029 1,019,700

Nasdaq, Inc. 55,000 3.850%, 6/30/2026 58,944

Nationwide Building Society 950,000 3.622%, 4/26/2023b,h 968,504

New York Life Global Funding 1,120,000 2.300%, 6/10/2022h 1,126,280

Park Aerospace Holdings, Ltd. 800,000 4.500%, 3/15/2023h 827,840

Prudential Financial, Inc. 1,250,000 3.700%, 3/13/2051 1,291,927

Quicken Loans, Inc. 1,905,000 5.750%, 5/1/2025h 1,964,531

Realty Income Corporation 1,475,000 4.125%, 10/15/2026 1,624,932

Regency Centers, LP 2,100,000 4.125%, 3/15/2028 2,280,441

Reinsurance Group of America, Inc. 1,100,000 4.700%, 9/15/2023 1,188,698 1,000,000 3.900%, 5/15/2029 1,064,261

Royal Bank of Scotland Group plc 525,000 6.125%, 12/15/2022 568,067 650,000 6.100%, 6/10/2023 707,978

1,000,000 3.875%, 9/12/2023 1,032,001 1,745,000 5.125%, 5/28/2024 1,860,202 1,550,000 4.269%, 3/22/2025b 1,621,068 1,375,000 4.445%, 5/8/2030b 1,472,678

Santander UK Group Holdings plc 1,351,000 2.875%, 10/16/2020 1,355,237

Simon Property Group, LP 1,400,000 2.750%, 2/1/2023 1,428,389 1,520,000 4.250%, 11/30/2046 1,756,243

SITE Centers Corporation 498,000 4.625%, 7/15/2022 520,552

Societe Generale SA 1,122,000 4.750%, 11/24/2025h 1,205,323

Sumitomo Mitsui Financial Group, Inc.

1,280,000 2.784%, 7/12/2022 1,299,055 1,090,000 3.102%, 1/17/2023 1,117,732 1,140,000 3.010%, 10/19/2026 1,171,648

Synchrony Financial 590,000 4.250%, 8/15/2024 622,493

1,850,000 3.950%, 12/1/2027 1,896,837UBS Group Funding Jersey, Ltd.

1,158,000 4.125%, 9/24/2025h 1,251,229UBS Group Funding Switzerland AG

110,000 3.491%, 5/23/2023h 112,922Ventas Realty, LP

1,550,000 3.100%, 1/15/2023 1,590,032 1,790,000 4.000%, 3/1/2028 1,921,477

Voya Financial, Inc. 2,618,000 3.125%, 7/15/2024 2,703,058

Wells Fargo & Company 1,680,000 2.625%, 7/22/2022 1,698,691 1,520,000 3.450%, 2/13/2023 1,570,148 1,550,000 4.125%, 8/15/2023 1,644,634 1,320,000 3.000%, 2/19/2025 1,355,386

125,000 3.000%, 4/22/2026 128,195 1,475,000 3.000%, 10/23/2026 1,512,692 2,680,000 4.900%, 11/17/2045 3,207,965

Welltower, Inc. 610,000 3.950%, 9/1/2023 646,184


(unaudited)



Financials (2.3%) - continued ZB NA

$1,550,000 3.500%, 8/27/2021 $1,583,792Total 233,535,064

Foreign Government (<0.1%) Kommunalbanken AS

1,270,000 1.500%, 10/22/2019h 1,269,505Total 1,269,505

Mortgage-Backed Securities (8.5%) Federal National Mortgage

Association 3,742,853 3.230%, 11/1/2020 3,758,307

Federal National Mortgage Association Conventional 15-Yr. Pass Through

57,000,000 2.500%, 10/1/2034e 57,490,957 98,950,000 3.500%, 10/1/2034e 102,343,675

201,353,000 3.000%, 10/1/2034e 205,844,116Federal National Mortgage

Association Conventional 30-Yr. Pass Through

880,4754.165%, (LIBOR 12M + 1.540%), 7/1/2043b 907,711

571,9004.321%, (LIBOR 12M + 1.550%), 7/1/2043b 592,553

273,0134.082%, (LIBOR 12M + 1.530%), 8/1/2043b 281,646

183,477,000 3.500%, 10/1/2049e 188,243,101 295,455,000 3.000%, 10/1/2049e 299,956,071

Total 859,418,137

Technology (0.6%) Apple, Inc.

1,500,000 3.200%, 5/11/2027 1,591,008 1,405,000 3.000%, 11/13/2027 1,476,314 2,570,000 3.750%, 9/12/2047 2,862,346

Applied Materials, Inc. 736,000 3.300%, 4/1/2027 783,309

Avnet, Inc. 1,100,000 3.750%, 12/1/2021 1,122,623

Broadcom Corporation 1,146,000 3.875%, 1/15/2027 1,151,924 1,350,000 3.500%, 1/15/2028 1,317,109

CommScope Technologies Finance, LLC

1,930,000 6.000%, 6/15/2025h 1,741,825Dell International, LLC/EMC

Corporation 575,000 4.000%, 7/15/2024h 601,434

Diamond 1 Finance Corporation 1,870,000 5.450%, 6/15/2023h 2,036,286 2,860,000 6.020%, 6/15/2026h 3,225,185

Diamond Sports Group, LLC 1,810,000 6.625%, 8/15/2027g,h 1,875,250

Equinix, Inc. 1,825,000 5.750%, 1/1/2025 1,900,372

Harland Clarke Holdings Corporation 1,135,000 8.375%, 8/15/2022h 930,700

Hewlett Packard Enterprise Company

1,600,0003.009%, (LIBOR 3M + 0.720%), 10/5/2021b 1,600,146

760,000 4.400%, 10/15/2022 805,092Inception Merger Sub, Inc.

1,000,000 8.625%, 11/15/2024g,h 919,900


Technology (0.6%) - continued Iron Mountain, Inc.

$750,000 4.875%, 9/15/2029h $761,475Marvell Technology Group, Ltd.

950,000 4.200%, 6/22/2023 995,806 1,265,000 4.875%, 6/22/2028 1,405,224

Microsoft Corporation 2,400,000 4.750%, 11/3/2055 3,236,728 2,400,000 4.200%, 11/3/2035 2,871,479 4,500,000 3.700%, 8/8/2046 5,157,492

NCR Corporation 1,190,000 6.125%, 9/1/2029h 1,254,320

NXP BV/NXP Funding, LLC 1,500,000 4.875%, 3/1/2024h 1,626,667

Oracle Corporation 3,565,000 2.950%, 5/15/2025 3,708,371 1,815,000 3.850%, 7/15/2036 2,003,434

Plantronics, Inc. 1,650,000 5.500%, 5/31/2023h 1,654,125

SS&C Technologies, Inc. 1,580,000 5.500%, 9/30/2027h 1,651,140

Texas Instruments, Inc. 1,630,000 4.150%, 5/15/2048 1,999,006

Tyco Electronics Group SA 374,000 3.450%, 8/1/2024 390,590 748,000 3.125%, 8/15/2027 769,774

Total 55,426,454

Transportation (0.2%) Air Canada Pass Through Trust

371,541 3.875%, 3/15/2023h 376,483Air Lease Corporation

610,000 3.500%, 1/15/2022 625,654Boeing Company

2,550,000 3.600%, 5/1/2034 2,766,514Burlington Northern Santa Fe, LLC

1,120,000 5.750%, 5/1/2040 1,507,531 1,720,000 5.050%, 3/1/2041 2,152,454 1,175,000 4.450%, 3/15/2043 1,396,354

CSX Corporation 119,000 3.700%, 11/1/2023 125,854

1,250,000 3.350%, 9/15/2049 1,222,092Delta Air Lines, Inc.

830,000 2.875%, 3/13/2020 831,775Hertz Corporation

970,000 5.500%, 10/15/2024h 971,455Penske Truck Leasing Company, LP

1,350,000 3.375%, 2/1/2022h 1,377,864United Continental Holdings, Inc.

1,850,000 4.875%, 1/15/2025 1,946,385XPO Logistics, Inc.

1,703,000 6.750%, 8/15/2024h 1,843,497Total 17,143,912

U.S. Government & Agencies (9.5%) U.S. Treasury Bonds

7,285,000 2.250%, 11/15/2027 7,621,078 76,750,000 2.875%, 5/15/2028 84,251,114 19,535,000 5.250%, 11/15/2028 25,451,205

2,975,000 4.375%, 5/15/2040 4,187,080 1,340,000 3.000%, 5/15/2042 1,568,009

68,926,000 2.500%, 5/15/2046 74,289,304 46,190,000 2.875%, 5/15/2049 53,915,999

U.S. Treasury Bonds, TIPS 142,913 2.375%, 1/15/2025 159,123 100,895 2.125%, 2/15/2040 134,266


(unaudited)



U.S. Government & Agencies (9.5%) - continued U.S. Treasury Notes

$12,650,000 1.000%, 10/15/2019 $12,644,683 92,255,000 1.500%, 10/31/2019m,n 92,209,795 58,185,000 1.750%, 11/30/2019 58,155,334

5,080,000 2.250%, 3/31/2020 5,089,128 63,255,000 1.375%, 9/30/2020 62,980,730 14,000,000 2.750%, 11/30/2020 14,150,391

1,015,000 1.875%, 12/15/2020 1,015,912 34,200,000 2.500%, 2/28/2021 34,550,016

5,000,000 1.375%, 5/31/2021 4,971,875 36,909,000 1.125%, 8/31/2021 36,534,143

4,300,000 2.500%, 1/15/2022 4,383,312 22,855,000 1.875%, 7/31/2022 23,028,198 16,300,000 2.000%, 11/30/2022 16,506,934

4,910,000 2.500%, 3/31/2023 5,064,972 82,790,000 2.500%, 1/31/2024 86,001,346 27,885,000 2.125%, 7/31/2024 28,603,910 33,950,000 2.250%, 11/15/2024 35,069,289 27,685,000 2.125%, 11/30/2024 28,436,605 56,830,000 2.625%, 1/31/2026 60,275,319 98,850,000 2.500%, 2/28/2026 104,159,326

Total 965,408,396

Utilities (0.8%) Ameren Illinois Company

830,000 4.500%, 3/15/2049 1,021,105American Electric Power Company,

Inc. 2,552,000 2.950%, 12/15/2022 2,603,650

Appalachian Power Company 750,000 3.300%, 6/1/2027 784,311

Berkshire Hathaway Energy Company 1,165,000 4.500%, 2/1/2045 1,383,267

Calpine Corporation 1,835,000 5.375%, 1/15/2023 1,857,938

CenterPoint Energy, Inc. 605,000 3.850%, 2/1/2024 638,438

1,400,000 2.500%, 9/1/2024 1,398,203 900,000 4.250%, 11/1/2028 989,217

CMS Energy Corporation 1,140,000 2.950%, 2/15/2027 1,149,645

Commonwealth Edison Company 1,300,000 3.700%, 3/1/2045 1,403,015

Consolidated Edison Company of New York, Inc.

2,650,000 4.125%, 5/15/2049 3,032,950Consolidated Edison, Inc.

579,000 4.500%, 12/1/2045 687,220Consumers Energy Company

1,200,000 4.350%, 4/15/2049 1,473,387DTE Electric Company

965,000 3.700%, 3/15/2045 1,050,551 1,225,000 3.700%, 6/1/2046 1,316,550

Duke Energy Carolinas, LLC 2,540,000 3.700%, 12/1/2047 2,759,444

Duke Energy Corporation 1,520,000 3.750%, 9/1/2046 1,567,589

Duke Energy Florida, LLC 1,030,000 3.200%, 1/15/2027 1,080,070

Duke Energy Indiana, LLC 1,550,000 3.750%, 5/15/2046 1,666,354

Edison International 520,000 2.950%, 3/15/2023 521,118

2,925,000 5.750%, 6/15/2027 3,287,438


Utilities (0.8%) - continued Energy Transfer Operating, LP

$1,630,000 5.200%, 2/1/2022 $1,720,185Eversource Energy

1,625,000 2.500%, 3/15/2021 1,630,085Exelon Corporation

1,158,000 4.450%, 4/15/2046 1,312,785FirstEnergy Corporation

460,000 2.850%, 7/15/2022 467,002 1,395,000 4.850%, 7/15/2047 1,657,937

ITC Holdings Corporation 294,000 4.050%, 7/1/2023 309,475 760,000 5.300%, 7/1/2043 968,113

MidAmerican Energy Holdings Company

2,316,000 6.500%, 9/15/2037 3,257,998Mississippi Power Company

1,040,000 3.950%, 3/30/2028 1,134,390Monongahela Power Company

990,000 5.400%, 12/15/2043h 1,328,054National Rural Utilities Cooperative

Finance Corporation 550,000 3.900%, 11/1/2028 612,818

1,050,000 3.700%, 3/15/2029 1,160,770NextEra Energy Operating Partners,

LP 1,740,000 3.875%, 10/15/2026h 1,740,000

NiSource Finance Corporation 748,000 3.490%, 5/15/2027 784,760

2,200,000 5.650%, 2/1/2045 2,836,738Oncor Electric Delivery Company, LLC

2,992,000 3.750%, 4/1/2045 3,299,515Pacific Gas and Electric Company

900,000 3.300%, 12/1/2027f,o 891,000 900,000 3.950%, 12/1/2047f,o 870,750

PPL Capital Funding, Inc. 552,000 3.400%, 6/1/2023 568,166

1,400,000 5.000%, 3/15/2044 1,635,301PPL Electric Utilities Corporation

1,122,000 3.950%, 6/1/2047 1,275,532Public Service Electric & Gas

Company 1,900,000 3.000%, 5/15/2027 1,978,839

San Diego Gas and Electric Company 1,540,000 4.150%, 5/15/2048 1,754,768

South Carolina Electric & Gas Company

1,850,000 5.100%, 6/1/2065 2,472,840Southern California Edison Company

1,500,000 4.000%, 4/1/2047 1,613,628Southern Company

1,843,000 3.250%, 7/1/2026 1,904,118Southern Company Gas Capital

Corporation 1,870,000 4.400%, 5/30/2047 2,111,987

Southwestern Electric Power Company

620,000 3.900%, 4/1/2045 654,923TerraForm Power Operating, LLC

1,880,000 5.000%, 1/31/2028h 1,955,200


(unaudited)



Utilities (0.8%) - continued Virginia Electric and Power Company

$850,000 4.600%, 12/1/2048 $1,044,261Total 76,623,398

Total Long-Term Fixed Income (cost $2,927,146,968) 3,019,720,724

Shares Common Stock (27.0%) ValueCommunications Services (1.5%)

214,243 Activision Blizzard, Inc. 11,337,74051,194 Alphabet, Inc., Class Ap 62,515,041

7,619 Alphabet, Inc., Class Cp 9,287,561140,972 Auto Trader Group plch 883,561

41,459 CBS Corporation 1,673,700207,134 Comcast Corporation 9,337,60152,644 DISH Network Corporationp 1,793,581

187,328 Facebook, Inc.p 33,359,37010,038 Hemisphere Media Group, Inc.p 122,66471,000 HKT Trust and HKT, Ltd. 112,6292,525 Ipsos SA 71,928

10,700 KDDI Corporation 279,19271,215 Mediaset Espana Comunicacion SAg 459,04230,767 News Corporation 439,814

165,031 ORBCOMM, Inc.p 785,5486,088 Rightmove plc 41,193

12,050 Scholastic Corporation 455,00832,339 Seven West Media, Ltd.p 8,52139,396 Take-Two Interactive Software, Inc.p 4,937,89533,755 Telenor ASA 677,257

112,633 Telstra Corporation, Ltd. 266,99325,400 TV Asahi Holdings Corporation 400,97452,449 Twitter, Inc.p 2,160,899

225,837 Verizon Communications, Inc. 13,631,5215,688 Wolters Kluwer NV 415,026

38,922 Zillow Group, Inc.p 1,149,950Total 156,604,209

Consumer Discretionary (3.3%) 74,690 Alibaba Group Holding, Ltd. ADRp 12,490,40950,482 Amazon.com, Inc.p 87,632,20920,952 American Axle & Manufacturing

Holdings, Inc.p 172,2253,200 AOKI Holdings, Inc. 30,8625,000 Aoyama Trading Company, Ltd. 87,266

34,049 Aptiv plc 2,976,5643,600 Autobacs Seven Company, Ltd. 59,037

42,295 Barratt Developments plc 336,6941,274 Barrett Business Services, Inc. 113,1578,000 Benesse Holdings, Inc. 208,401

14,498 Berkeley Group Holdings plc 744,3882,549 Booking Holdings, Inc.p 5,002,693

65,821 BorgWarner, Inc. 2,414,31498,066 Bright Horizons Family Solutions,

Inc.p 14,955,0657,293 Buckle, Inc.g 150,236

29,652 Burlington Stores, Inc.p 5,925,06375,775 Canada Goose Holdings, Inc.g,p 3,331,82710,556 Century Casinos, Inc.p 81,59838,516 Children's Place, Inc.g 2,965,347

6,197 Chipotle Mexican Grill, Inc.p 5,208,3934,100 Chiyoda Company, Ltd. 64,4024,087 Cie Generale des Etablissements

Michelin 455,06180,200 Citizen Watch Company, Ltd. 393,459

2,582 Compass Group plc 66,441

Shares Common Stock (27.0%) ValueConsumer Discretionary (3.3%) - continued

9,745 Cooper-Standard Holdings, Inc.p $398,3768,410 Countryside Properties plch 34,716

40,133 Crocs, Inc.p 1,114,09242,880 CSS Industries, Inc. 170,23439,054 Culp, Inc. 636,58043,513 D.R. Horton, Inc. 2,293,57067,900 Delphi Technologies plc 909,86022,900 Denso Corporation 1,011,89212,794 Domino's Pizza, Inc. 3,129,28498,180 Duluth Holdings, Inc.g,p 832,56652,882 Emerald Expositions Events, Inc. 514,54236,591 Ethan Allen Interiors, Inc. 698,88840,488 Etsy, Inc.p 2,287,572

1,700 Exedy Corporation 33,33356,039 Five Below, Inc.p 7,066,518

474 Genuine Parts Company 47,20650,304 G-III Apparel Group, Ltd.p 1,296,33459,134 Grand Canyon Education, Inc.p 5,806,95971,503 Harley-Davidson, Inc. 2,571,963

117,782 Home Depot, Inc. 27,327,7806,810 Hooker Furniture Corporation 146,006

68,171 International Game Technology plc 968,7101,225 Johnson Outdoors, Inc. 71,736

119,490 Knoll, Inc. 3,029,07181,409 Lowe's Companies, Inc. 8,951,73411,272 Lululemon Athletica, Inc.p 2,170,19825,296 Marcus Corporation 936,205

6,626 McDonald's Corporation 1,422,66832,891 Michaels Companies, Inc.g,p 322,00344,176 Modine Manufacturing Companyp 502,28111,334 Mohawk Industries, Inc.p 1,406,20972,963 Moneysupermarket.com Group plc 339,31525,487 Movado Group, Inc. 633,60753,216 Netflix, Inc.p 14,241,66624,900 NHK Spring Company, Ltd. 191,017

281,571 NIKE, Inc. 26,445,148200,000 Nissan Motor Company, Ltd. 1,248,671

84,782 Norwegian Cruise Line Holdings, Ltd.p 4,389,164

142 NVR, Inc.p 527,86469,068 Ollie's Bargain Outlet Holdings, Inc.p 4,050,147

3,700 Onward Holdings Company, Ltd. 19,2775,325 O'Reilly Automotive, Inc.p 2,122,066

19,508 Oxford Industries, Inc. 1,398,72447,553 Park Hotels & Resorts, Inc. 1,187,39814,200 Park24 Company, Ltd. 329,881

108,086 Planet Fitness, Inc.p 6,254,937334,222 Playa Hotels and Resorts NVp 2,616,958

2,800 Plenus Company, Ltd.g 47,039235,926 Red Rock Resorts, Inc. 4,790,477

37,136 Redrow plc 282,02714,598 RHg,p 2,493,776

2,600 Rinnai Corporation 175,19531,039 Ruth's Hospitality Group, Inc. 633,661

7,700 Sangetsu Company, Ltd. 145,45645,600 Sekisui House, Ltd. 899,787

1,800 SHIMAMURA Company, Ltd. 143,00528,070 Sony Corporation ADR 1,659,77932,310 Standard Motor Products, Inc. 1,568,650

135,568 Starbucks Corporation 11,986,9232,836 Steven Madden, Ltd. 101,5005,112 Strategic Education, Inc. 694,6191,700 Sumitomo Forestry Company, Ltd. 22,699

65,700 Sumitomo Rubber Industries, Ltd. 782,35412,437 Super Retail Group, Ltd. 83,282

1,500 Takara Standard Company, Ltd. 24,832


(unaudited)


Shares Common Stock (27.0%) ValueConsumer Discretionary (3.3%) - continued

141,004 Taylor Wimpey plc $279,88243,094 Texas Roadhouse, Inc. 2,263,297

115,292 Toll Brothers, Inc. 4,732,73730,600 Toyoda Gosei Company, Ltd. 616,020

100 TS Tech Company, Ltd. 3,05916,118 Tupperware Brands Corporation 255,79316,908 Ulta Beauty, Inc.p 4,237,990

3,000 United Arrows, Ltd. 87,83322,576 Vail Resorts, Inc. 5,137,3954,992 WH Smith plc 121,979

30,790 Wingstop, Inc. 2,687,35122,100 Yahoo Japan Corporation 62,26426,772 Zumiez, Inc.p 848,003

Total 337,838,701

Consumer Staples (1.0%) 4,600 Arcs Company, Ltd. 96,722

20,682 Calavo Growers, Inc.g 1,968,5135,730 Carlsberg AS 846,768

50,495 Casey's General Stores, Inc. 8,137,77435,023 Central Garden & Pet Companyp 1,023,722

5,385 Central Garden & Pet Company, Class Ap 149,299

100,359 Coca-Cola Company 5,463,544104,089 Colgate-Palmolive Company 7,651,582

6,465 Costco Wholesale Corporation 1,862,631142,554 Cott Corporation 1,777,648

6,051 ForFarmers BV 38,1171,414 Glanbia plc 17,5701,251 Grocery Outlet Holding Corporationp 43,385

172,046 Hain Celestial Group, Inc.p 3,694,688581 Inter Parfums, Inc. 40,653

100,100 Japan Tobacco, Inc. 2,193,15516,497 John B. Sanfilippo & Son, Inc. 1,593,61018,315 Kimberly-Clark Corporation 2,601,646

777 L'Oreal SA 217,3041,500 Ministop Company, Ltd. 19,329

221,688 Monster Beverage Corporationp 12,871,20511,497 Nestle SA 1,246,90261,954 PepsiCo, Inc. 8,493,893

155,638 Philip Morris International, Inc. 11,817,59366,723 Procter & Gamble Company 8,299,00711,030 Seneca Foods Corporationp 343,91512,800 Sugi Holdings Company, Ltd. 694,66126,000 Sundrug Company, Ltd. 820,388

176,878 SunOpta, Inc.p 318,38031,017 TreeHouse Foods, Inc.p 1,719,8932,000 TSURUHA Holdings, Inc. 218,407

148,042 Turning Point Brands, Inc. 3,413,84921,696 Unilever NV 1,302,79336,043 Unilever plc 2,166,24490,121 Wal-Mart Stores, Inc. 10,695,560

Total 103,860,350

Energy (0.6%) 103,503 Abraxas Petroleum Corporationp 52,528355,717 Archrock, Inc. 3,546,499109,559 BP plc ADRg 4,162,146

86,854 Chevron Corporation 10,300,88416,555 Concho Resources, Inc. 1,124,08552,332 Contura Energy, Inc.p 1,463,20335,549 Diamondback Energy, Inc. 3,196,21121,381 Dril-Quip, Inc.p 1,072,899

4,767 Enterprise Products Partners, LP 136,24177,805 EQT Corporation 827,84535,279 Era Group, Inc.p 372,546

Shares Common Stock (27.0%) ValueEnergy (0.6%) - continued

220,730 Euronav NV $2,030,7168,914 Evolution Petroleum Corporation 52,058

64,571 Exterran Corporationp 843,2973,497 Exxon Mobil Corporation 246,923

86,909 Frank's International NVp 412,818956 Gaztransport Et Technigaz SA 94,585

121,150 Gran Tierra Energy, Inc.p 151,43851,972 Gulfport Energy Corporationp 140,84493,761 Halliburton Company 1,767,39566,478 Liberty Oilfield Services, Inc.g 719,957

286,664 Marathon Oil Corporation 3,517,36780,313 Marathon Petroleum Corporation 4,879,015

1,331 Matrix Service Companyp 22,813412,370 Nabors Industries, Ltd. 771,132164,625 Nine Energy Service, Inc.p 1,015,736162,128 Oceaneering International, Inc.p 2,196,834

55,034 Oil States International, Inc.p 731,95277,809 Pacific Drilling SAg,p 304,233

144,611 Patterson-UTI Energy, Inc. 1,236,42425,699 Pioneer Natural Resources Company 3,232,163

1,926 REX American Resources Corporationp 147,012

43,364 Royal Dutch Shell plc, Class A 1,271,77160,408 Royal Dutch Shell plc, Class B 1,785,37616,420 SEACOR Holdings, Inc.p 772,88915,356 Select Energy Services, Inc.p 132,983

102,871 Talos Energy, Inc.p 2,091,36869,189 TechnipFMC plc 1,670,223

8,695 U.S. Silica Holdings, Inc. 83,12417,195 Unit Corporationp 58,119

119,021 WPX Energy, Inc.p 1,260,432Total 59,896,084

Financials (3.9%) 1,766 1st Source Corporation 80,7597,341 AB Industrivarden 160,592

75,013 Aflac, Inc. 3,924,68054,806 AG Mortgage Investment Trust, Inc. 830,311

5,686 Alleghany Corporationp 4,536,0637,515 Allianz SE 1,749,288

82,304 Ally Financial, Inc. 2,729,20111,485 American Express Company 1,358,446

146,562 American Financial Group, Inc. 15,806,71245,078 American International Group, Inc. 2,510,84531,798 Ameriprise Financial, Inc. 4,677,48650,621 Ameris Bancorp 2,036,98925,154 Argo Group International Holdings,

Ltd. 1,766,81737,268 Arthur J. Gallagher & Company 3,338,09511,942 Artisan Partners Asset Management,

Inc. 337,242123,366 Assured Guaranty, Ltd. 5,484,852

2,419 Baloise Holding AG 433,42481,109 Bank Leumi Le-Israel BM 577,482

632,128 Bank of America Corporation 18,439,1746,023 Bank of Marin Bancorp 249,894

19,723 Bank of Montreal 1,452,67039,365 BankFinancial Corporation 468,44411,894 Banner Corporation 668,08620,299 Berkshire Hathaway, Inc.p 4,222,598

8,836 BlackRock, Inc. 3,937,67515,023 BOK Financial Corporation 1,189,070

186,816 Boston Private Financial Holdings, Inc. 2,177,341

38,972 Bridgewater Bancshares, Inc.p 465,326439,251 BrightSphere Investment Group 4,352,977


(unaudited)


Shares Common Stock (27.0%) ValueFinancials (3.9%) - continued

37,636 Brown & Brown, Inc. $1,357,15414,316 Byline Bancorp, Inc.p 255,97062,800 Capital One Financial Corporation 5,713,54430,833 Cboe Global Markets, Inc. 3,543,020

8,394 Central Pacific Financial Corporation 238,390243,141 Charles Schwab Corporation 10,170,58823,686 Chubb, Ltd. 3,823,86883,606 CI Financial Corporation 1,219,83913,724 Cincinnati Financial Corporation 1,601,179

165,044 Citigroup, Inc. 11,401,24037,143 Citizens Financial Group, Inc. 1,313,74831,090 CNP Assurances 600,80422,932 Cohen & Steers, Inc. 1,259,65553,285 Colony Capital, Inc. 320,77676,220 Comerica, Inc. 5,029,75854,166 Community Trust Bancorp, Inc. 2,306,38874,400 DBS Group Holdings, Ltd. 1,345,9791,358 Deutsche Boerse AG 211,793

28,127 Deutsche Pfandbriefbank AGh 342,921631 Diamond Hill Investment Group, Inc. 87,160

49,249 Direct Line Insurance Group plc 181,70438,341 Discover Financial Services 3,109,07234,984 DnB ASA 616,69777,708 Dynex Capital, Inc. 1,148,524

196,313 E*TRADE Financial Corporation 8,576,91520,901 East West Bancorp, Inc. 925,70518,072 Ellington Residential Mortgage REIT 190,47928,939 Enterprise Financial Services

Corporation 1,179,26446,881 Essent Group, Ltd. 2,234,81714,961 Euronext NVh 1,225,02512,864 FBL Financial Group, Inc. 765,537

3,943 Federal Agricultural Mortgage Corporation 321,985

230,992 Fifth Third Bancorp 6,324,56137,147 Financial Institutions, Inc. 1,121,09654,234 First American Financial Corporation 3,200,348

2,176 First Bancorp 78,11867,423 First Busey Corporation 1,704,45318,778 First Citizens BancShares, Inc. 8,854,76673,219 First Defiance Financial Corporation 2,120,78828,614 First Financial Corporation 1,243,85146,043 First Hawaiian, Inc. 1,229,34843,623 First Interstate BancSystem, Inc. 1,755,390

2,119 First Mid-Illinois Bancshares, Inc. 73,36029,475 First Midwest Bancorp, Inc. 574,173

6,304 First of Long Island Corporation 143,41634,446 First Republic Bank 3,330,928

125,536 FlexiGroup, Ltd. 216,4637,296 Goldman Sachs Group, Inc. 1,511,950

56,611 Great Southern Bancorp, Inc. 3,223,99658,514 Hamilton Lane, Inc. 3,332,957

9,740 Hancock Whitney Corporation 372,99338,997 Hanover Insurance Group, Inc. 5,285,653

177,233 Hartford Financial Services Group, Inc. 10,742,092

26,293 Heartland Financial USA, Inc. 1,176,349163,950 Heritage Commerce Corporation 1,927,232

47,381 Hometrust Bancshares, Inc. 1,235,22323,744 Horace Mann Educators Corporation 1,100,06063,217 Horizon Bancorp, Inc. 1,097,44712,573 Houlihan Lokey, Inc. 567,042

168,258 HSBC Holdings plc 1,289,23067,057 IBERIABANK Corporation 5,065,48660,626 Independent Bank Corporation 1,292,24352,883 Interactive Brokers Group, Inc. 2,844,048


232,861 Intercontinental Exchange, Inc. $21,486,08418,724 International Bancshares

Corporation 723,121189,785 Israel Discount Bank, Ltd. 834,141

77,771 J.P. Morgan Chase & Company 9,152,86910,289 Kemper Corporation 802,028

157,074 KeyCorp 2,802,2008,052 KKR Real Estate Finance Trust, Inc. 157,256

28,046 Lakeland Bancorp, Inc. 432,75013,831 Laurentian Bank of Canadag 470,09839,073 Loews Corporation 2,011,47813,716 M&T Bank Corporation 2,166,71766,756 Manulife Financial Corporation 1,224,418

2,402 Markel Corporationp 2,838,924108,819 Medibank Private, Ltd. 249,905

8,195 Mercantile Bank Corporation 268,79688,747 Meridian Bancorp, Inc. 1,664,00665,632 MetLife, Inc. 3,095,20577,979 MidWestOne Financial Group, Inc. 2,379,919

4,411 Moody's Corporation 903,50555,079 Morgan Stanley 2,350,22114,024 MSCI, Inc. 3,053,72612,159 National Bank of Canadag 604,990

919 National Western Life Group, Inc. 246,63225,298 Newmark Group, Inc. 229,20054,912 Northern Trust Corporation 5,124,38834,704 Old Second Bancorp, Inc. 424,08312,757 Opus Bank 277,72024,736 PacWest Bancorp 898,906

3,698 Paragon Banking Group plc 21,9293,678 Pargesa Holding SA 282,906

67,677 PCSB Financial Corporation 1,352,8632,364 Peapack-Gladstone Financial

Corporation 66,26311,255 Peoples Bancorp, Inc. 358,02231,798 Popular, Inc. 1,719,636

9,555 Primerica, Inc. 1,215,68396,902 Prosight Global, Inc.p 1,876,02321,541 Prudential Financial, Inc. 1,937,61339,445 QCR Holdings, Inc. 1,498,12175,500 Radian Group, Inc. 1,724,42096,276 Raymond James Financial, Inc. 7,938,91933,353 Reinsurance Group of America, Inc. 5,332,478

6,835 Royal Bank of Canada 554,44646,834 S&P Global, Inc. 11,473,393

2,359 S&T Bancorp, Inc. 86,17450,925 Sandy Spring Bancorp, Inc. 1,716,682

120,566 Santander Consumer USA Holdings, Inc. 3,075,639

107,048 Seacoast Banking Corporation of Floridap 2,709,385

60,481 SEI Investments Company 3,583,8024,200 Senshu Ikeda Holdings, Inc. 7,293

19,535 Skandinaviska Enskilda Banken AB 179,501413,164 SLM Corporation 3,646,17222,350 State Auto Financial Corporation 723,91720,478 State Street Corporation 1,212,09310,861 Stifel Financial Corporation 623,204

8,516 Sun Life Financial, Inc. 380,78923,313 SVB Financial Groupp 4,871,25158,967 Synovus Financial Corporation 2,108,66015,069 Territorial Bancorp, Inc. 430,672

7,928 Topdanmark AS 382,70233,392 Toronto-Dominion Bank 1,947,03714,291 TPG RE Finance Trust, Inc. 283,53334,502 TriCo Bancshares 1,252,423


(unaudited)



169,776 TrustCo Bank Corporation $1,383,674113,572 U.S. Bancorp 6,285,075

30,476 United Community Banks, Inc. 863,9954,567 Univest Financial Corporation 116,5041,183 Virtus Investment Partners, Inc. 130,8048,030 Walker & Dunlop, Inc. 449,118

20,777 Washington Trust Bancorp, Inc. 1,003,7376,631 WesBanco, Inc. 247,800

12,198 Western Alliance Bancorp 562,0842,210 Westwood Holdings Group, Inc. 61,1512,935 Willis Towers Watson plc 566,367

94,606 Wintrust Financial Corporation 6,114,386234,139 Zions Bancorporations NA 10,423,868

Total 398,272,590

Health Care (3.7%) 185,032 Abbott Laboratories 15,481,627

5,379 ABIOMED, Inc.p 956,87038,807 Aerie Pharmaceuticals, Inc.g,p 745,87170,276 Agilent Technologies, Inc. 5,385,25062,727 Agios Pharmaceuticals, Inc.g,p 2,032,35511,402 Alexion Pharmaceuticals, Inc.p 1,116,71216,537 AmerisourceBergen Corporation 1,361,49139,244 Amgen, Inc. 7,594,106

3,769 Amplifon SPA 92,4685,120 AngioDynamics, Inc.p 94,310

14,364 Arena Pharmaceuticals, Inc.p 657,440979 Atrion Corporation 762,807

47,959 Axonics Modulation Technologies, Inc.p 1,291,056

60,386 Bausch Health Companies, Inc.p 1,319,4345,550 Becton, Dickinson and Company 1,403,9284,816 Biogen, Inc.p 1,121,261

29,717 BioMarin Pharmaceutical, Inc.p 2,002,9265,987 Bio-Rad Laboratories, Inc.p 1,992,114

42,542 Bio-Techne Corporation 8,324,19364,033 Bruker Corporation 2,812,970

123,931 Catalent, Inc.p 5,906,55128,126 Charles River Laboratories

International, Inc.p 3,723,0393,339 Chemed Corporation 1,394,2669,642 Cigna Holding Company 1,463,559

17,114 Concert Pharmaceuticals, Inc.p 100,63069,252 CryoLife, Inc.p 1,880,192

102,704 CVS Health Corporation 6,477,54146,245 Danaher Corporation 6,679,16519,236 Dexcom, Inc.p 2,870,78176,261 Edwards Lifesciences Corporationp 16,770,556

6,301 Enanta Pharmaceuticals, Inc.p 378,564103,447 GenMark Diagnostics, Inc.p 626,889164,604 Gilead Sciences, Inc. 10,432,602

95,269 GlaxoSmithKline plc 2,042,043180,437 Halozyme Therapeutics, Inc.p 2,798,578

18,890 HealthStream, Inc.p 489,06241,112 Hill-Rom Holdings, Inc. 4,326,2166,098 Humana, Inc. 1,559,076

624 IDEXX Laboratories, Inc.p 169,68436,208 Illumina, Inc.p 11,015,19830,383 Immunomedics, Inc.p 402,87955,881 Inspire Medical Systems, Inc.p 3,409,859

8,829 Insulet Corporationp 1,456,16731,847 Intuitive Surgical, Inc.p 17,195,15129,189 Jazz Pharmaceuticals, Inc.p 3,740,278

136,831 Johnson & Johnson 17,703,1952,000 KYORIN Holdings, Inc. 33,201

Shares Common Stock (27.0%) ValueHealth Care (3.7%) - continued

4,066 Laboratory Corporation of America Holdingsp $683,088

49,337 LHC Group, Inc.p 5,602,71022,417 Ligand Pharmaceuticals, Inc.p 2,231,388

652 LNA Sante 33,3222,092 Magellan Health Services, Inc.p 129,913

683 Masimo Corporationp 101,6249,438 McKesson Corporation 1,289,797

144,329 Medtronic plc 15,677,016148,285 Merck & Company, Inc. 12,482,631

9,200 Mitsubishi Tanabe Pharma Corporation 101,387

96,659 Natera, Inc.p 3,170,41528,116 National Healthcare Corporation 2,301,29524,345 Neurocrine Biosciences, Inc.p 2,193,72811,256 Nevro Corporationp 967,67869,573 NextGen Healthcare, Inc.p 1,090,20931,309 Novartis AG 2,717,21447,728 Novo Nordisk AS 2,466,40111,471 Novocure, Ltd.p 857,80119,796 NuVasive, Inc.p 1,254,670

185,147 Optinose, Inc.g,p 1,296,0299,281 Orthifix Medical, Inc.p 492,0796,510 PerkinElmer, Inc. 554,457

101,936 Pfizer, Inc. 3,662,5602,038 Phibro Animal Health Corporation 43,4712,793 Providence Service Corporationp 166,072

16,958 Recordati SPA 727,31123,309 Repligen Corporationp 1,787,56721,424 ResMed, Inc. 2,894,5978,382 Roche Holding AG 2,440,543

15,745 Sage Therapeutics, Inc.p 2,208,86610,062 Sarepta Therapeutics, Inc.p 757,87036,093 Syneos Health, Inc.p 1,920,50962,533 Tactile Systems Technology, Inc.p 2,646,39723,493 Teleflex, Inc. 7,981,74762,917 Thermo Fisher Scientific, Inc. 18,325,835

4,123 U.S. Physical Therapy, Inc. 538,258125,634 UnitedHealth Group, Inc. 27,302,781

14,157 Universal Health Services, Inc. 2,105,85412,680 Varian Medical Systems, Inc.p 1,510,06166,039 Veeva Systems, Inc.p 10,083,49574,541 Vertex Pharmaceuticals, Inc.p 12,628,7364,667 Waters Corporationp 1,041,8147,710 West Pharmaceutical Services, Inc. 1,093,432

365,188 Wright Medical Group NVp 7,533,828190,439 Zoetis, Inc. 23,726,795

Total 372,417,362

Industrials (3.9%) 32,757 A.O. Smith Corporation 1,562,837

2,320 Aalberts NV 91,875114,911 Acco Brands Corporation 1,134,172

6,635 ACS Actividades de Construccion y Servicios, SA 265,109

1,394 Actuant Corporation 30,58427,714 Aegion Corporationp 592,52550,986 Aerojet Rocketdyne Holdings, Inc.p 2,575,30353,719 AGCO Corporation 4,066,52888,591 Altra Industrial Motion Corporation 2,453,52892,560 AMETEK, Inc. 8,498,85938,778 Arcosa, Inc. 1,326,59569,157 ASGN, Inc.p 4,347,20939,925 Atlas Copco AB, Class A 1,229,41621,480 Atlas Copco AB, Class B 581,658

130,769 AZZ, Inc. 5,696,298


(unaudited)


Shares Common Stock (27.0%) ValueIndustrials (3.9%) - continued

7,611 Boeing Company $2,895,75760,041 BWX Technologies, Inc. 3,434,94613,295 Cactus, Inc.p 384,75716,471 Carlisle Companies, Inc. 2,397,18974,038 Casella Waste Systems, Inc.p 3,179,192

249,524 CBIZ, Inc.p 5,863,814494 Chase Corporation 54,039

4,322 CIA De Distribucion Integral 84,2158,210 Columbus McKinnon Corporation 299,090

164,830 Costamare, Inc. 1,000,51820,795 CRA International, Inc. 872,76685,134 Crane Company 6,864,35457,474 CSW Industrials, Inc. 3,967,43031,816 CSX Corporation 2,203,89477,838 Curtiss-Wright Corporation 10,069,90289,849 Delta Air Lines, Inc. 5,175,30244,587 Douglas Dynamics, Inc. 1,987,243

132,303 EMCOR Group, Inc. 11,393,93462,359 Emerson Electric Company 4,169,32338,019 Encore Wire Corporation 2,139,709

3,965 Ennis, Inc. 80,13315,310 ESCO Technologies, Inc. 1,218,06429,705 Expeditors International of

Washington, Inc. 2,206,78410,437 Federal Signal Corporation 341,70756,396 Forrester Research, Inc. 1,812,567

50 Geberit AG 23,89447,624 General Dynamics Corporation 8,702,33423,101 Gorman-Rupp Company 803,68429,055 Granite Construction, Inc. 933,537

3,200 GS Yuasa Corporation 55,57856,977 GWA Group, Ltd.g 130,432

800 Hanwa Company, Ltd. 21,96560,067 Healthcare Services Group, Inc.g 1,459,02712,501 Heico Corporation 1,561,125

3,141 Heidrick & Struggles International, Inc. 85,749

4,549 Herc Holdings, Inc.p 211,57410,400 Hino Motors, Ltd. 86,18625,345 HNI Corporation 899,748

191,519 Honeywell International, Inc. 32,405,01540,330 Hubbell, Inc. 5,299,36216,442 Huntington Ingalls Industries, Inc. 3,482,25111,850 Huron Consulting Group, Inc.p 726,879

5,344 Hyster-Yale Materials Handling, Inc. 292,47765,259 ICF International, Inc. 5,512,42853,836 IDEX Corporation 8,822,644

6,700 Inaba Denki Sangyo Company, Ltd. 294,20655,113 Ingersoll-Rand plc 6,790,473

216,023 Interface, Inc. 3,119,37263,540 Johnson Controls International plc 2,788,77122,053 Kelly Services, Inc. 534,12459,626 Kforce, Inc. 2,255,95015,932 Koninklijke Philips NV 736,20640,738 Kratos Defense & Security Solutions,

Inc.p 757,52316,073 Legrand SA 1,147,13359,698 Lincoln Electric Holdings, Inc. 5,179,39943,120 Lockheed Martin Corporation 16,819,38764,300 Marubeni Corporation 428,81586,302 Masonite International Corporationp 5,005,516

3,496 Matthews International Corporation 123,72334,215 Mercury Systems, Inc.p 2,777,23228,800 Mitsubishi Corporation 709,140

5,500 Mitsuboshi Belting, Ltd. 90,55263,400 Mitsui & Company, Ltd. 1,041,435

Shares Common Stock (27.0%) ValueIndustrials (3.9%) - continued

8,789 Mobile Mini, Inc. $323,963132,680 MRC Global, Inc.p 1,609,408

57,979 Mueller Industries, Inc. 1,662,83822,176 National Express Group plc 118,06317,700 Nitto Kogyo Corporation 336,542

9,018 Nobina ABh 56,35979,550 Norfolk Southern Corporation 14,291,953

6,686 Northgate plc 27,12827,483 Old Dominion Freight Line, Inc. 4,671,28631,466 PageGroup plc 169,62329,573 Parker Hannifin Corporation 5,341,180

103,633 Primoris Services Corporation 2,032,24325,373 Raven Industries, Inc. 848,98142,529 Regal-Beloit Corporation 3,098,23858,246 RELX plc 1,383,31930,165 Resources Connection, Inc. 512,503

160,026 Ritchie Brothers Auctioneers, Inc. 6,385,0377,373 Rockwell Automation, Inc. 1,215,070

21,531 Roper Industries, Inc. 7,677,9556,167 Rush Enterprises, Inc. 237,923

29,656 Saia, Inc.p 2,778,76710,434 Sandvik AB 162,43612,248 Schneider Electric SE 1,070,99528,168 Signify NVh 774,13322,931 SiteOne Landscape Supply, Inc.g,p 1,697,35339,671 SKF AB 655,09399,600 Sojitz Corporation 309,843

151,767 Southwest Airlines Company 8,196,93657,590 SP Plus Corporationp 2,130,830

2,898 Spirax-Sarco Engineering plc 279,20358,994 SPX FLOW, Inc.p 2,327,90378,959 Standex International Corporation 5,759,26955,300 Sumitomo Corporation 865,74790,400 Sumitomo Electric Industries, Ltd. 1,153,633

2,600 Taikisha, Ltd. 78,72343,231 Teledyne Technologies, Inc.p 13,919,950

9,220 Tennant Company 651,85414,158 Thermon Group Holdings, Inc.p 325,351

7,300 Toppan Forms Company, Ltd. 69,3404,894 Transcontinental, Inc. 57,1834,784 TransDigm Group, Inc. 2,490,885

128,142 TriMas Corporationp 3,927,55211,021 TrueBlue, Inc.p 232,543

5,600 Tsubakimoto Chain Company 180,25017,535 UniFirst Corporation 3,421,42926,730 United Airlines Holdings, Inc.p 2,363,19923,953 United Rentals, Inc.p 2,985,502

103,671 United Technologies Corporation 14,153,16562,330 Valmont Industries, Inc. 8,628,965

3,859 Vectrus, Inc.p 156,86887,042 Verisk Analytics, Inc. 13,764,82216,329 Viad Corporation 1,096,49244,560 Waste Connections, Inc. 4,099,52016,169 Watsco, Inc. 2,735,471

102,428 Willdan Group, Inc.p 3,593,1742,045 Woodward, Inc. 220,512

38,849 Xylem, Inc. 3,093,1573,500 Yuasa Trading Company, Ltd. 100,190

Total 393,171,821

Information Technology (6.8%) 30,402 Accenture plc 5,847,82555,644 ADTRAN, Inc. 631,28111,851 Advanced Energy Industries, Inc.p 680,366

205,957 Advanced Micro Devices, Inc.p 5,970,69382,159 Akamai Technologies, Inc.p 7,507,689


(unaudited)


Shares Common Stock (27.0%) ValueInformation Technology (6.8%) - continued

16,771 Alliance Data Systems Corporation $2,148,86815,744 Alteryx, Inc.p 1,691,3782,704 Altisource Portfolio Solutions SAg,p 54,675

14,522 Amadeus IT Holding SA 1,040,5289,212 American Software, Inc. 138,364

127,173 Amphenol Corporation 12,272,19516,792 ANSYS, Inc.p 3,717,077

272,980 Apple, Inc. 61,139,33124,463 Arista Networks, Inc.p 5,844,70011,335 Atkore International Group, Inc.p 344,01719,857 Atlassian Corporation plcp 2,490,86239,434 Automatic Data Processing, Inc. 6,365,43636,189 Avalara, Inc.p 2,435,158

4,200 Badger Meter, Inc. 225,540102,210 Benchmark Electronics, Inc. 2,970,223

61,932 Blackline, Inc.p 2,960,96922,935 Booz Allen Hamilton Holding

Corporation 1,628,8442,586 Broadridge Financial Solutions, Inc. 321,7764,298 CACI International, Inc.p 993,955

40,100 Canon, Inc. 1,072,36111,904 Capgemini SA 1,401,71590,235 CDK Global, Inc. 4,339,40117,718 CDW Corporation 2,183,5667,134 CEVA, Inc.p 213,021

28,009 CGI, Inc.p 2,214,759146,349 Ciena Corporationp 5,741,271708,475 Cisco Systems, Inc. 35,005,750109,823 Clearwater Energy, Inc. 1,904,331

24,571 Cognex Corporation 1,207,17354,972 Cohu, Inc. 742,39716,866 Computer Services, Inc. 767,40343,194 Computershare, Ltd. 472,18915,098 CoreLogic, Inc.p 698,58455,494 Coupa Software, Inc.p 7,190,35844,928 CTS Corporation 1,453,87048,489 Descartes Systems Group, Inc.p 1,954,592

121,655 DocuSign, Inc.p 7,532,878251,469 Dolby Laboratories, Inc. 16,254,956

22,419 DSP Group, Inc.p 315,77231,689 Ebix, Inc.g 1,334,10749,812 Elastic NVp 4,101,52017,094 EPAM Systems, Inc.p 3,116,57819,139 ePlus, Inc.p 1,456,28723,570 Euronet Worldwide, Inc.p 3,448,29129,442 ExlService Holdings, Inc.p 1,971,436

8,213 eXp World Holdings, Inc.g,p 68,82515,653 Fair Isaac Corporationp 4,750,99966,366 Fiserv, Inc.p 6,874,85458,187 Five9, Inc.p 3,126,96934,502 Global Payments, Inc. 5,485,81871,659 Guidewire Software, Inc.p 7,551,42551,345 Halma plc 1,242,821

7,782 InterDigital, Inc. 408,3223,117 International Business Machines

Corporation 453,2749,590 International Money Express, Inc.p 131,767

54,900 Intuit, Inc. 14,600,10633,603 Keysight Technologies, Inc.p 3,267,89222,222 KLA-Tencor Corporation 3,543,29832,155 Kulicke and Soffa Industries, Inc. 754,99919,709 Lam Research Corporation 4,554,947

117,182 Lattice Semiconductor Corporationp 2,142,67314,833 ManTech International Corporation 1,059,225

141,036 MasterCard, Inc. 38,301,14739,095 Methode Electronics, Inc. 1,315,156

Shares Common Stock (27.0%) ValueInformation Technology (6.8%) - continued

679,004 Microsoft Corporation $94,401,92636,105 MicroStrategy, Inc.p 5,356,89917,599 MKS Instruments, Inc. 1,624,03678,209 Monolithic Power Systems, Inc. 12,171,66722,731 MTS Systems Corporation 1,255,88839,986 National Instruments Corporation 1,679,012

9,100 NEC Networks & System Integration Corporation 247,824

30,961 New Relic, Inc.p 1,902,55367,173 NIC, Inc. 1,387,12235,948 Nice, Ltd. ADRp 5,169,32243,101 Nova Measuring Instruments, Ltd.p 1,369,31922,300 Novanta, Inc.p 1,822,35668,860 NVIDIA Corporation 11,986,460

140,514 Oracle Corporation 7,732,48520,915 Palo Alto Networks, Inc.p 4,263,104

221,377 PayPal Holdings, Inc.p 22,932,44312,795 Plantronics, Inc. 477,50932,588 Plexus Corporationp 2,037,07624,416 Progress Software Corporation 929,27344,882 Proofpoint, Inc.p 5,792,02235,106 Q2 Holdings, Inc.p 2,768,81031,879 QAD, Inc. 1,472,17233,153 QUALCOMM, Inc. 2,528,911

133,622 Rambus, Inc.p 1,753,78944,812 Rogers Corporationp 6,126,249

3,500 Ryoyo Electro Corporation 60,037173,107 SailPoint Technologies Holdings, Inc.p 3,235,370118,860 Salesforce.com, Inc.p 17,643,578

2,741 Samsung Electronics Company, Ltd. GDR 2,792,753

32,655 ScanSource, Inc.p 997,61028,838 ServiceNow, Inc.p 7,320,52617,200 Shinko Electric Industries Company,

Ltd. 147,61116,694 Silicon Laboratories, Inc.p 1,858,877

108,887 Square, Inc.p 6,745,55016,924 Sykes Enterprises, Inc.p 518,55195,505 Synopsys, Inc.p 13,108,06170,278 TE Connectivity, Ltd. 6,548,50440,795 Teradata Corporationp 1,264,64541,015 Teradyne, Inc. 2,375,179

177,505 Texas Instruments, Inc. 22,940,74631,780 Tyler Technologies, Inc.p 8,342,25021,804 VeriSign, Inc.p 4,112,88981,695 Virtusa Corporationp 2,942,654

239,236 Visa, Inc. 41,150,98422,298 WEX, Inc.p 4,505,75730,267 Workday, Inc.p 5,144,17929,555 Xilinx, Inc. 2,834,325

Total 692,929,696

Materials (0.8%) 75,160 Alcoa Corporationp 1,508,461

7,109 Avery Dennison Corporation 807,3698,176 Balchem Corporation 810,977

32,402 Ball Corporation 2,359,19039,149 BHP Group, Ltd. 967,39419,380 Boise Cascade Company 631,59420,549 Celanese Corporation 2,512,93776,995 CF Industries Holdings, Inc. 3,788,15411,437 Continental Building Products, Inc.p 312,11666,383 Eastman Chemical Company 4,901,05774,316 Ecolab, Inc. 14,717,54191,439 Ferro Corporationp 1,084,467


(unaudited)


Shares Common Stock (27.0%) ValueMaterials (0.8%) - continued

90,800 Ferroglobe Representation & Warranty Insurance Trustc,p $9

18,628 Granges AB 190,1003,180 Hexpol AB 24,4084,500 Hokuetsu Corporation 22,6123,458 Innophos Holdings, Inc. 112,247

50,222 Innospec, Inc. 4,476,78926,200 JSR Corporation 421,84032,193 Kadant, Inc. 2,826,22462,163 Kaiser Aluminum Corporation 6,152,272

7,762 Koninklijke DSM NV 934,40723,789 Kraton Performance Polymers, Inc.p 768,14717,700 Kyoei Steel, Ltd. 333,505

2,900 Lintec Corporation 57,729152,392 Louisiana-Pacific Corporation 3,745,795

21,049 Martin Marietta Materials, Inc. 5,769,53136,797 Materion Corporation 2,257,86410,212 Minerals Technologies, Inc. 542,15516,900 Mitsubishi Gas Chemical Company,

Inc. 227,30367,600 Myers Industries, Inc. 1,193,14026,032 Neenah, Inc. 1,695,204

2,300 Nippon Kayaku Company, Ltd. 27,57971,200 Nippon Steel Corporation 997,67931,662 Nucor Corporation 1,611,91287,491 Nutanix, Inc.p 2,296,639

9,566 Olympic Steel, Inc. 137,75010,861 PH Glatfelter Company 167,15126,767 PPG Industries, Inc. 3,172,15725,392 Reliance Steel & Aluminum Company 2,530,56743,537 Ryerson Holding Corporationp 371,37138,929 Sandfire Resources NL 172,561

900 Sanyo Special Steel Company, Ltd. 12,06665,110 Schweitzer-Mauduit International,

Inc. 2,437,71853,465 Steel Dynamics, Inc. 1,593,25714,758 SunCoke Energy, Inc.p 83,235

2,600 Taiyo Holdings Company, Ltd. 87,89212,700 Toagosei Company, Ltd. 144,01611,920 United States Lime & Minerals, Inc. 911,88012,538 UPM-Kymmene Oyj 370,23173,858 Verso Corporationp 914,362

6,600 W. R. Grace & Company 440,616Total 84,633,177

Real Estate (1.2%) 8,248 Acadia Realty Trust 235,728

17,279 Agree Realty Corporation 1,263,95929,441 Alexander & Baldwin, Inc. 721,59915,832 Alexandria Real Estate Equities, Inc. 2,438,761

5,968 Allied Properties REIT 241,3155,941 Alstria Office REIT AG 101,9231,532 American Assets Trust, Inc. 71,606

67,047 American Campus Communities, Inc. 3,223,62058,356 American Tower Corporation 12,904,26222,618 Apartment Investment &

Management Company 1,179,30360,316 Apple Hospitality REIT, Inc. 1,000,03921,507 Ares Commercial Real Estate

Corporation 327,55228,983 Armada Hoffler Properties, Inc. 524,30246,100 Ascendas REIT 104,11370,976 Ashford Hospitality Trust, Inc. 234,9317,282 BBX Capital Corporation 34,0078,594 Bluerock Residential Growth REIT,

Inc. 101,151

Shares Common Stock (27.0%) ValueReal Estate (1.2%) - continued

20,428 Brandywine Realty Trust $309,48491,379 Brixmor Property Group, Inc. 1,854,08036,717 Camden Property Trust 4,075,954

6,146 CareTrust REIT, Inc. 144,46213,682 Castellum AB 292,918

131,036 CBL & Associates Properties, Inc. 169,036114,776 Cedar Realty Trust, Inc. 344,328

28,119 Chatham Lodging Trust 510,3606,670 Choice Properties REIT 72,699

22,182 City Office REIT, Inc. 319,199162 Cofinimmo SA 22,813

3,057 Columbia Property Trust, Inc. 64,65619,697 CoreCivic, Inc. 340,36418,533 Corepoint Lodging, Inc. 187,36925,016 CoreSite Realty Corporation 3,048,20027,862 Corporate Office Properties Trust 829,73010,238 CoStar Group, Inc.p 6,073,18262,089 Cousins Properties, Inc. 2,333,92614,332 CubeSmart 500,18717,966 CyrusOne, Inc. 1,421,111

7,100 Daito Trust Construction Company, Ltd. 909,357

1,381 Deutsche EuroShop AG 38,95414,261 DiamondRock Hospitality Company 146,17512,693 Digital Realty Trust, Inc. 1,647,67825,989 Douglas Emmett, Inc. 1,113,10957,708 Duke Realty Corporation 1,960,341

4,273 EastGroup Properties, Inc. 534,21042,822 Empire State Realty Trust, Inc. 611,070

1,815 Entra ASAh 28,46713,437 EPR Properties 1,032,76815,558 Equity Commonwealth 532,861

2,051 Equity Lifestyle Properties, Inc. 274,014570 Essex Property Trust, Inc. 186,190

24,520 Farmland Partners, Inc. 163,7942,659 First Capital Realty, Inc. 44,295

22,843 First Industrial Realty Trust, Inc. 903,6693,465 Four Corners Property Trust, Inc. 97,990

64,475 Franklin Street Properties Corporation 545,458

41,088 Gaming and Leisure Properties, Inc. 1,571,20538,554 GEO Group, Inc. 668,52612,523 Getty Realty Corporation 401,48723,316 Gladstone Commercial Corporation 547,926

3,189 Global Net Lease, Inc. 62,18655 GLP J-Reit 72,943

10,098 Granite REIT 488,9513,406 H&R REIT 59,464

25,010 Healthcare Realty Trust, Inc. 837,83542,109 Healthcare Trust of America, Inc. 1,237,16237,995 Highwoods Properties, Inc. 1,707,495

175,280 Host Hotels & Resorts, Inc. 3,030,5911,757 Howard Hughes Corporationp 227,707

16,645 Hudson Pacific Properties, Inc. 556,942101,000 Hysan Development Company, Ltd. 407,295

7,780 Industrial Logistics Properties Trust 165,3256,083 Investors Real Estate Trust 454,218

35,009 iSTAR Financial, Inc. 456,86719,151 JBG SMITH Properties 750,91110,884 Jones Lang LaSalle, Inc. 1,513,52920,553 Kilroy Realty Corporation 1,600,87322,618 Kite Realty Group Trust 365,28125,813 Klepierre SA 876,62517,739 Lamar Advertising Company 1,453,356

546 LEG Immobilien AG 62,48119,766 Lexington Realty Trust 202,602


(unaudited)



11,990 Liberty Property Trust $615,4476,290 Life Storage, Inc. 663,0293,261 LTC Properties, Inc. 167,0287,315 Mack-Cali Realty Corporation 158,443

44,200 Mapletree Commercial Trust 73,27129,700 Mapletree Logistics Trust 34,81669,191 Medical Properties Trust, Inc. 1,353,3768,883 Merlin Properties Socimi SA 124,0196,984 MGM Growth Properties LLC 209,869

255,174 Mirvac Group 527,15633,161 Monmouth Real Estate Investment

Corporation 477,8504,993 National Health Investors, Inc. 411,373

22,025 National Storage Affiliates Trust 734,97416,013 Office Properties Income Trust 490,63828,842 Omega Healthcare Investors, Inc. 1,205,30715,606 One Liberty Properties, Inc. 429,63338,565 Outfront Media, Inc. 1,071,33627,316 Paramount Group, Inc. 364,66927,689 Pebblebrook Hotel Trust 770,30840,972 Pennsylvania REIT 234,36065,285 Physicians Realty Trust 1,158,80911,012 Piedmont Office Realty Trust, Inc. 229,93126,374 PotlatchDeltic Corporation 1,083,57611,621 Preferred Apartment Communities,

Inc. 167,9232,136 PS Business Parks, Inc. 388,6454,103 PSP Swiss Property AG 520,925

29,035 QTS Realty Trust, Inc. 1,492,6898,985 Quebecor, Inc. 204,000

23,976 Rayonier, Inc. REIT 676,12311,829 RE/MAX Holdings, Inc. 380,42157,487 Realogy Holdings Corporationg 384,01314,228 Redfin Corporationg,p 239,60010,359 Retail Opportunity Investments

Corporation 188,84572,978 Retail Properties of America, Inc. 899,089

7,594 RioCan REIT 151,20922,854 RLJ Lodging Trust 388,289

3,178 RMR Group, Inc. 144,53529,000 Road King Infrastructure, Ltd. 48,98828,229 RPT Realty 382,50310,887 Ryman Hospitality Properties 890,66554,744 Sabra Health Care REIT, Inc. 1,256,9224,238 Saul Centers, Inc. 231,013

28,983 SBA Communications Corporation 6,989,25073,307 Senior Housing Property Trust 678,45611,359 Seritage Growth Properties 482,64461,380 Service Properties Trust 1,582,99014,717 SITE Centers Corporation 222,37424,620 Spirit Realty Capital, Inc. 1,178,31328,848 St. Joe Companyg,p 494,16610,599 STAG Industrial, Inc. 312,45924,353 Store Capital Corporation 911,04651,412 Summit Hotel Properties, Inc. 596,37926,008 Sunstone Hotel Investors, Inc. 357,350

1,770 Swiss Prime Site AG 173,22012,972 TAG Immobilien AG 296,02915,636 Tanger Factory Outlet Centers, Inc. 242,04510,724 Taubman Centers, Inc. 437,86111,560 Terreno Realty Corporation 590,60020,065 UMH Properties, Inc. 282,515

2,254 Universal Health Realty Income Trust 231,71138,513 Urban Edge Properties 762,17215,417 Urstadt Biddle Properties, Inc. 365,38353,367 VICI Properties, Inc. 1,208,763


80,112 Washington Prime Group, Inc. $331,6644,953 Washington REIT 135,514

22,277 Weingarten Realty Investors 648,9293,804 Weyerhaeuser Company 105,371

77,400 Wing Tai Holdings, Ltd. 114,79311,139 Xenia Hotels & Resorts, Inc. 235,256

Total 119,765,280

Utilities (0.3%) 58,064 AGL Energy, Ltd. 751,17239,731 Alliant Energy Corporation 2,142,69324,687 Artesian Resources Corporation 913,419

5,424 Chesapeake Utilities Corporation 517,01633,494 CMS Energy Corporation 2,141,94121,383 Consolidated Water Company, Ltd. 352,60613,345 Contact Energy, Ltd. 71,37335,492 Enagas SA 820,45422,252 Entergy Corporation 2,611,495

141,280 Exelon Corporation 6,825,2375,063 IDACORP, Inc. 570,448

13,203 Middlesex Water Company 857,66715,672 New Jersey Resources Corporation 708,688

4,738 Northland Power, Inc. 90,90811,120 NorthWestern Corporation 834,55611,562 Otter Tail Corporation 621,45726,010 PNM Resources, Inc. 1,354,60128,073 Public Service Enterprise Group, Inc. 1,742,77216,467 Spire, Inc. 1,436,58113,177 Unitil Corporation 835,949

Total 26,201,033

Total Common Stock (cost $2,106,739,139) 2,745,590,303

SharesCollateral Held for Securities Loaned (0.3%) Value

32,049,425 Thrivent Cash Management Trust 32,049,425Total Collateral Held for Securities Loaned (cost $32,049,425) 32,049,425

Shares or Principal Amount Short-Term Investments (12.2%) Value

Federal Home Loan Bank Discount Notes

5,500,000 2.182%, 10/2/2019m,q 5,499,713500,000 2.085%, 10/11/2019m,q 499,739

12,300,000 1.950%, 10/16/2019m,q 12,290,365800,000 0.170%, 10/30/2019m,q 798,788

7,500,000 1.980%, 11/5/2019m,q 7,486,292300,000 1.980%, 11/8/2019m,q 299,405

3,000,000 1.940%, 11/12/2019m,q 2,993,4205,500,000 1.970%, 11/19/2019m,q 5,485,926

Thrivent Core Short-Term Reserve Fund

120,630,077 2.230% 1,206,300,767Total Short-Term Investments (cost $1,241,652,263) 1,241,654,415Total Investments (cost $9,821,872,997) 108.4% $11,006,305,259Other Assets and Liabilities, Net (8.4%) (857,291,786)Total Net Assets 100.0% $10,149,013,473


(unaudited)


a The stated interest rate represents the weighted average of all contracts within the bank loan facility.

b Denotes variable rate securities. The rate shown is as of September 30, 2019. The rates of certain variable rate securities are based on a published reference rate and spread; these may vary by security and the reference rate and spread are indicated in their description. The rates of other variable rate securities are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

c Security is valued using significant unobservable inputs. Further information on valuation can be found in the Notes to Financial Statements.

d All or a portion of the loan is unfunded.e Denotes investments purchased on a when-issued or delayed

delivery basis.f In bankruptcy. Interest is not being accrued.g All or a portion of the security is on loan. h Denotes securities sold under Rule 144A of the Securities Act of

1933, which exempts them from registration. These securities may be resold to other dealers in the program or to other qualified institutional buyers. As of September 30, 2019, the value of these investments was $346,645,228 or 3.4% of total net assets.

i Denotes step coupon securities. Step coupon securities pay an initial coupon rate for the first period and then different coupon rates for following periods. The rate shown is as of September 30, 2019.

j Denotes interest only security. Interest only securities represent the right to receive monthly interest payments on an underlying pool of mortgages or assets. The principal shown is the outstanding par amount of the pool as of the end of the period. The actual effective yield of the security is different than the stated coupon rate.

k All or a portion of the security is insured or guaranteed.l Denotes perpetual securities. Perpetual securities pay an

indefinite stream of interest and have no contractual maturity date. Date shown, if applicable, is next call date.

m All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts.

n At September 30, 2019, $1,786,124 of investments were segregated to cover exposure to a counterparty for margin on open mortgage-backed security transactions.

o Defaulted security. Interest is not being accrued.p Non-income producing security.q The interest rate shown reflects the yield, coupon rate or the

discount rate at the date of purchase.

The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Moderate Allocation Portfolio as of September 30, 2019:

Securities Lending TransactionsCommon Stock $26,938,195Long-Term Fixed Income 3,881,061Total lending $30,819,256Gross amount payable upon return of collateral for securities loaned $32,049,425Net amounts due to counterparty $1,230,169

Definitions:ACES - Alternative Credit Enhancement SecuritiesADR - American Depositary Receipt, which are certificates for an

underlying foreign security's shares held by an issuing U.S. depository bank.

CLO - Collateralized Loan ObligationETF - Exchange Traded Fund

GDR - Global Depository Receipts, which are certificates for shares of an underlying foreign security’s shares held by an issuing depository bank from more than one country.

REMIC - Real Estate Mortgage Investment ConduitREIT - Real Estate Investment Trust is a company that buys,

develops, manages and/or sells real estate assets.Ser. - Series

SPDR - S&P Depository Receipts, which are exchange-traded funds traded in the U.S., Europe, and Asia-Pacific and managed by State Street Global Advisors.

TIPS - Treasury Inflation Protected Security

Reference Rate Index:CMT 3M - Constant Maturity Treasury Yield 3 MonthLIBOR 1W - ICE Libor USD Rate 1 WeekLIBOR 1M - ICE Libor USD Rate 1 MonthLIBOR 2M - ICE Libor USD Rate 2 MonthLIBOR 3M - ICE Libor USD Rate 3 MonthLIBOR 12M - ICE Libor USD Rate 12 MonthPRIME - Federal Reserve Prime Loan Rate


(unaudited)


Fair Valuation Measurements The following table is a summary of the inputs used, as of September 30, 2019, in valuing Moderate Allocation Portfolio's assets carried at fair value.

Investments in Securities Total Level 1 Level 2 Level 3Bank Loans

Basic Materials 8,864,328 – 7,792,257 1,072,071Capital Goods 18,570,295 – 18,570,295 –Communications Services 34,036,797 – 28,812,623 5,224,174Consumer Cyclical 23,679,335 – 19,819,514 3,859,821Consumer Non-Cyclical 30,625,336 – 30,625,336 –Energy 13,657,312 – 12,792,669 864,643Financials 21,847,823 – 20,336,786 1,511,037Technology 9,832,030 – 9,832,030 –Utilities 2,933,138 – 2,193,493 739,645

Registered Investment CompaniesUnaffiliated 63,017,194 63,017,194 – –Affiliated 3,114,640,599 3,114,640,599 – –

Long-Term Fixed IncomeAsset-Backed Securities 113,751,722 – 113,751,722 –Basic Materials 28,793,190 – 28,793,190 –Capital Goods 50,269,802 – 50,269,802 –Collateralized Mortgage Obligations 95,711,469 – 95,711,469 –Commercial Mortgage-Backed Securities 125,711,485 – 125,711,485 –Communications Services 94,325,076 – 94,325,076 –Consumer Cyclical 72,137,894 – 72,137,894 –Consumer Non-Cyclical 129,815,119 – 129,815,119 –Energy 100,380,101 – 100,380,101 –Financials 233,535,064 – 233,535,064 –Foreign Government 1,269,505 – 1,269,505 –Mortgage-Backed Securities 859,418,137 – 859,418,137 –Technology 55,426,454 – 55,426,454 –Transportation 17,143,912 – 17,143,912 –U.S. Government & Agencies 965,408,396 – 965,408,396 –Utilities 76,623,398 – 76,623,398 –

Common StockCommunications Services 156,604,209 152,987,893 3,616,316 –Consumer Discretionary 337,838,701 328,407,875 9,430,826 –Consumer Staples 103,860,350 93,981,990 9,878,360 –Energy 59,896,084 56,744,352 3,151,732 –Financials 398,272,590 379,508,524 18,764,066 –Health Care 372,417,362 361,763,472 10,653,890 –Industrials 393,171,821 378,306,203 14,865,618 –Information Technology 692,929,696 682,237,098 10,692,598 –Materials 84,633,177 79,641,846 4,991,322 9Real Estate 119,765,280 113,672,241 6,093,039 –Utilities 26,201,033 24,467,126 1,733,907 –

Short-Term Investments 35,353,648 – 35,353,648 –Subtotal Investments in Securities $9,142,368,862 $5,829,376,413 $3,299,721,049 $13,271,400Other Investments * TotalAffiliated Registered Investment Companies 625,586,205 Affiliated Short-Term Investments 1,206,300,767 Collateral Held for Securities Loaned 32,049,425 Subtotal Other Investments $1,863,936,397

Total Investments at Value $11,006,305,259

* Certain investments are measured at fair value using a net asset value per share that is not publicly available (practical expedient). According to disclosure requirements of Accounting Standards Codification (ASC) 820, Fair Value Measurement, securities valued using the practical expedient are not classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities.


(unaudited)


Other Financial Instruments Total Level 1 Level 2 Level 3Asset Derivatives

Futures Contracts 23,726,089 23,726,089 – –Total Asset Derivatives $23,726,089 $23,726,089 $– $–Liability Derivatives

Futures Contracts 14,442,275 14,442,275 – –Total Liability Derivatives $14,442,275 $14,442,275 $– $–

There were no significant transfers between Levels during the period ended September 30, 2019. Transfers between Levels are identified as of the end of the period.

The following table presents Moderate Allocation Portfolio's futures contracts held as of September 30, 2019. Investments and/or cash totaling $55,803,623 were pledged as the initial margin deposit for these contracts.

Futures Contracts Description

Number of Contracts

Long/(Short)Expiration

DateNotional Principal

AmountValue and Unrealized

CBOT 2-Yr. U.S. Treasury Note 1,143 December 2019 $246,882,582 ($566,082)CBOT 5-Yr. U.S. Treasury Note 252 December 2019 30,219,003 ( 193,596)CBOT U.S. Long Bond 730 December 2019 119,471,450 ( 983,325)CME E-mini S&P 500 Index 6,604 December 2019 992,306,540 ( 8,805,840)CME Euro Foreign Exchange Currency 509 December 2019 70,414,958 ( 666,051)CME Ultra Long Term U.S. Treasury Bond 222 December 2019 42,910,908 ( 307,721)Eurex Euro STOXX 50 Index 1,826 December 2019 69,829,738 923,856ICE mini MSCI EAFE Index 1,455 December 2019 138,784,743 ( 676,143)ICE US mini MSCI Emerging Markets Index 1,892 December 2019 97,023,257 ( 2,243,517)Total Futures Long Contracts $1,807,843,179 ($13,518,419)CBOT 10-Yr. U.S. Treasury Note (226) December 2019 ($29,702,495) $251,870CME E-mini Russell 2000 Index (5,861) December 2019 ( 464,318,513) 17,417,263CME E-mini S&P Mid-Cap 400 Index (1,719) December 2019 ( 337,801,903) 4,659,703Ultra 10-Yr. U.S. Treasury Note (197) December 2019 ( 28,527,428) 473,397Total Futures Short Contracts ($860,350,339) $22,802,233Total Futures Contracts $947,492,840 $9,283,814

Reference Description:CBOT - Chicago Board of TradeCME - Chicago Mercantile ExchangeEAFE - Europe, Australasia and Far East ICE - Intercontinental ExchangeMSCI - Morgan Stanley Capital InternationalS&P - Standard & Poor's


(unaudited)


Investment in Affiliates Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio's holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio. The Portfolio owns shares of Thrivent Cash Management Trust for the purpose of securities lending and Thrivent Core Short-Term Reserve Fund, a series of Thrivent Core Funds, primarily to serve as a cash sweep vehicle for the Portfolio. Thrivent Cash Management Trust and Thrivent Core Funds are established solely for investment by Thrivent entities.

A summary of transactions (in thousands; values shown as zero are less than $500) for the fiscal year to date, in Moderate Allocation Portfolio, is as follows:

PortfolioValue

12/31/2018Gross

PurchasesGross Sales

Value 9/30/2019

Shares Held at 9/30/2019

% of Net Assets 9/30/2019

Affiliated Registered Investment Companies Core Emerging Markets Debt $169,164 $25,176 $1,500 $206,376 21,037 2.0%Core International Equity 88,641 – – 97,557 10,367 1.0Core Low Volatility Equity 283,487 19 30,000 321,653 26,539 3.2Global Stock Fund 308,131 25,510 – 348,762 27,108 3.4High Yield 175,804 7,991 3,000 193,034 40,766 1.9Income 541,636 14,920 6,000 603,255 57,030 6.0International Allocation 476,513 16,649 – 530,075 55,936 5.2Large Cap Value 548,101 37,702 – 632,266 35,530 6.2Limited Maturity Bond 322,548 6,517 2,500 333,278 33,584 3.3Mid Cap Stock 315,657 36,046 – 374,027 20,466 3.7Small Cap Stock 85,793 12,061 – 99,945 5,622 1.0

Total Affiliated Registered Investment Companies 3,315,475 3,740,228 36.9Affiliated Short-Term Investments

Core Short-Term Reserve, 2.230% 1,097,492 1,338,119 1,229,310 1,206,301 120,630 11.9Total Affiliated Short-Term Investments 1,097,492 1,206,301 11.9Collateral held for Securities Loaned

Cash Management Trust- Collateral Investment 60,281 521,442 549,674 32,049 32,049 0.3Total Collateral Held for Securities Loaned 60,281 32,049 0.3Total Value $4,473,248 $4,978,578

PortfolioNet Realized Gain/(Loss)

Change in Unrealized

Appreciation/(Depreciation)

Distributions of Realized Capital

Gains

Income Earned 1/1/2019 - 9/30/2019

Affiliated Registered Investment CompaniesCore Emerging Markets Debt $(29) $13,565 – $6,625Core International Equity – 8,916 – –Core Low Volatility Equity 4,686 63,462 19 –Global Stock – 15,121 20,485 5,025High Yield (165) 12,404 – 7,989Income 39 52,660 – 14,883International Allocation – 36,913 4,418 12,231Large Cap Value – 46,463 28,125 9,578Limited Maturity Bond 1 6,711 – 6,521Mid Cap Stock – 22,324 33,779 2,267Small Cap Stock – 2,091 11,665 396

Affiliated Short-Term Investments Core Short-Term Reserve, 2.230% – – – 20,624

Total Income from Affiliated Investments $86,139Collateral Held for Securities Loaned

Cash Management Trust- Collateral Investment – – – 153Total Affiliated Income from Securities Loaned, Net $153Total Value $4,532 $280,630 $98,491

Notes to schedule of INvestmeNtsas of September 30, 2019

(unaudited)

27

SIGNIFICANT ACCOUNTING POLICIES

Valuation of Investments — Securities traded on U.S. or foreign securities exchanges or included in a national market system are valued at the last sale price on the principal exchange as of the close of regular trading on such exchange or the official closing price of the national market system. Over-the-counter securities and listed securities for which no price is readily available are valued at the current bid price considered best to represent the value at that time. Security prices are based on quotes that are obtained from an independent pricing service approved by the Fund's Board of Directors (the “Board”). The pricing service, in determining values of fixed-income securities, takes into consideration such factors as current quotations by broker/dealers, coupon, maturity, quality, type of issue, trading characteristics, and other yield and risk factors it deems relevant in determining valuations. Securities which cannot be valued by the approved pricing service are valued using valuations from dealers that make markets in the securities. Exchange-listed options and futures contracts are valued at the primary exchange settle price. Exchange cleared swap agreements are valued using a vendor provided settlement or clearing price used by the clearinghouse. Swap agreements not cleared on exchanges will be valued using the mid-price from the primary approved pricing service. Forward foreign currency exchange contracts are marked-to-market based upon foreign currency exchange rates provided by the pricing service. Investments in open-ended mutual funds are valued at their net asset value at the close of each business day.

Securities held by the Money Market Portfolio are valued on the basis of amortized cost (which approximates market value), whereby a portfolio security is valued at its cost initially and thereafter valued to reflect a constant amortization to maturity of any discount or premium. The Money Market Portfolio and the Adviser follow procedures designed to help maintain a constant net asset value of $1.00 per share.

The Board has delegated responsibility for daily valuation of the Portfolios' securities to the Adviser. The Adviser has formed a Valuation Committee (“Committee”) that is responsible for overseeing the Portfolios’ valuation policies in accordance with Valuation Policies and Procedures. The Committee meets on a monthly and on an as-needed basis to review price challenges, price overrides, stale prices, shadow prices, manual prices, money market pricing, international fair valuation, and other securities requiring fair valuation.

The Committee monitors for significant events occurring prior to the close of trading on the New York Stock Exchange that could have a material impact on the value of any securities that are held by the Portfolios. Examples of such events include trading halts, national news/events, and issuer-

specific developments. If the Committee decides that such events warrant using fair value estimates, the Committee will take such events into consideration in determining the fair value of such securities. If market quotations or prices are not readily available or determined to be unreliable, the securities will be valued at fair value as determined in good faith pursuant to procedures adopted by the Board.

In accordance with U.S. Generally Accepted Accounting Principles (“GAAP”), the various inputs used to determine the fair value of the Portfolios’ investments are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities, typically included in this level are U.S. equity securities, futures, options and registered investment company funds. Level 2 includes other significant observable inputs such as quoted prices for similar securities, interest rates, prepayment speeds and credit risk, typically included in this level are fixed income securities, international securities, swaps and forward contracts. Level 3 includes significant unobservable inputs such as the Adviser’s own assumptions and broker evaluations in determining the fair value of investments. Of the Level 3 securities, those for which market values were not readily available or were deemed unreliable were fair valued as determined in good faith pursuant to procedures established by the Board. The valuation levels are not necessarily an indication of the risk associated with investing in these securities or other investments. Investments measured using net asset value per share as a practical expedient for fair value and that are not publicly available-for-sale are not categorized within the fair value hierarchy.

Valuation of International Securities — The Portfolios value certain foreign securities traded on foreign exchanges that close prior to the close of the New York Stock Exchange using a fair value pricing service. The fair value pricing service uses a multi-factor model that may take into account the local close, relevant general and sector indices, currency fluctuation, prices of other securities (including ADRs, New York registered shares, and ETFs), and futures, as applicable, to determine price adjustments for each security in order to reflect the effects of post-closing events. The Board has authorized the Adviser to make fair valuation determinations pursuant to policies approved by the Board.

Foreign Currency Translation — The accounting records of each Portfolio are maintained in U.S. dollars. Securities and other assets and liabilities that are denominated in foreign currencies are translated into U.S. dollars at the daily closing rates of exchange.

Foreign currency amounts related to the purchase or sale of securities and income and expenses are translated at the exchange rate on the transaction date. Net realized and unrealized currency gains and losses are recorded from closed currency contracts, disposition of foreign


(unaudited)

28

currencies, exchange gains or losses between the trade date and settlement date on securities transactions, and other translation gains or losses on dividends, interest income and foreign withholding taxes. The Portfolios do not separately report the effect of changes in foreign exchange rates from changes in prices on securities held. Such changes are included in net realized and unrealized gain or loss from investments in the Statement of Operations.

For federal income tax purposes, the Portfolios treat the effect of changes in foreign exchange rates arising from actual foreign currency transactions and the changes in foreign exchange rates between the trade date and settlement date as ordinary income.

Foreign Denominated Investments — Foreign denominated assets and currency contracts may involve more risks than domestic transactions including currency risk, political and economic risk, regulatory risk, and market risk. Certain Portfolios may also invest in securities of companies located in emerging markets. Future economic or political developments could adversely affect the liquidity or value, or both, of such securities.

Derivative Financial Instruments — Each of the Portfolios, with the exception of the Money Market Portfolio, may invest in derivatives. Derivatives, a category that includes options, futures, swaps, foreign currency forward contracts and hybrid instruments, are financial instruments whose value is derived from another security, an index or a currency. Each applicable Portfolio may use derivatives for hedging (attempting to offset a potential loss in one position by establishing an interest in an opposite position). This includes the use of currency-based derivatives to manage the risk of its positions in foreign securities. Each applicable Portfolio may also use derivatives for replication of a certain asset class or speculation (investing for potential income or capital gain). These contracts may be transacted on an exchange or over-the-counter ("OTC").

A derivative may incur a mark to market loss if the value of the derivative decreases due to an unfavorable change in the market rates or values of the underlying derivative. Losses can also occur if the counterparty does not perform under the derivative. A Portfolio’s risk of loss from the counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Portfolio. With exchange traded futures and centrally cleared swaps, there is minimal counterparty credit risk to the Portfolios because the exchange’s clearinghouse, as counterparty to such derivatives, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the derivative; thus, the credit risk is limited to the failure of the clearinghouse. However, credit risk still exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers

are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all of the broker’s customers, potentially resulting in losses to the Portfolios. Using derivatives to hedge can guard against potential risks, but it also adds to the Portfolios’ expenses and can eliminate some opportunities for gains. In addition, a derivative used for mitigating exposure or replication may not accurately track the value of the underlying asset. Another risk with derivatives is that some types can amplify a gain or loss, potentially earning or losing substantially more money than the actual cost of the derivative.

In order to define their contractual rights and to secure rights that will help the Portfolios mitigate their counterparty risk, the Portfolios may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Portfolio and a counterparty that governs OTC derivatives and foreign exchange contracts and typically includes, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Portfolio may, under certain circumstances, offset with the counterparty certain derivatives' payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy and insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

Collateral and margin requirements vary by type of derivative. Margin requirements are established by the broker or clearinghouse for exchange traded and centrally cleared derivatives (futures, options, and centrally cleared swaps). Brokers can ask for margining in excess of the minimum in certain situations. Collateral terms are contract specific for OTC derivatives (foreign currency exchange contracts, options, and swaps). For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Portfolio and the counterparty. For financial reporting purposes, non-cash collateral that has been pledged to cover obligations of the Portfolio has been noted in the Schedule of Investments. To the extent amounts due to a Portfolio from its counterparties are not fully collateralized, contractually or otherwise, the Portfolio bears the risk of loss from


(unaudited)

29

counterparty nonperformance. The Portfolios attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

Options — All Portfolios, with the exception of the Money Market Portfolio, may buy put and call options and write put and covered call options. The Portfolios intend to use such derivative instruments as hedges to facilitate buying or selling securities or to provide protection against adverse movements in security prices or interest rates. The Portfolios may also enter into options contracts to protect against adverse foreign exchange rate fluctuations. Option contracts are valued daily and unrealized appreciation or depreciation is recorded. A Portfolio will realize a gain or loss upon expiration or closing of the option transaction. When an option is exercised, the proceeds upon sale for a written call option or the cost of a security for purchased put and call options is adjusted by the amount of premium received or paid.

Buying put options tends to decrease a Portfolio’s exposure to the underlying security while buying call options tends to increase a Portfolio’s exposure to the underlying security. The risk associated with purchasing put and call options is limited to the premium paid. There is no significant counterparty risk on exchange-traded options as the exchange guarantees the contract against default. Writing put options tends to increase a Portfolio’s exposure to the underlying security while writing call options tends to decrease a Portfolio’s exposure to the underlying security. The writer of an option has no control over whether the underlying security may be bought or sold, and therefore bears the market risk of an unfavorable change in the price of the underlying security. The counterparty risk for purchased options arises when the Portfolio has purchased an option, exercises that option, and the counterparty doesn’t buy from the Portfolio or sell to the Portfolio the underlying asset as required. In the case where the Portfolio has written an option, the Portfolio doesn’t have counterparty risk. Counterparty risk on purchased over-the-counter options is partially mitigated by the Portfolio’s collateral posting requirements. As the option increases in value to the Portfolio, the Portfolio receives collateral from the counterparty. Risks of loss may exceed amounts recognized on the Statement of Assets and Liabilities.

During the period ended September 30, 2019, Aggressive Allocation, Balanced Income Plus, Diversified Income Plus, Government Bond, Income, Limited Maturity Bond, Moderate Allocation, Moderately Aggressive Allocation, Moderately Conservative Allocation, and Opportunity Income Plus used treasury options to manage the duration of the Portfolio versus the benchmark. Options on mortgage backed securities were used to generate income and/or to manage the duration of the Portfolio.

Futures Contracts — All Portfolios, with the exception of the Money Market Portfolio, may use futures contracts to manage the exposure to interest rate and market or currency fluctuations. Gains or losses on futures contracts can offset changes in the yield of securities. When a futures contract is opened, cash or other investments equal to the required “initial margin deposit” are held on deposit with and pledged to the broker. Additional securities held by the Portfolios may be earmarked to cover open futures contracts. A futures contract’s daily change in value (“variation margin”) is either paid to or received from the broker, and is recorded as an unrealized gain or loss. When the contract is closed, realized gain or loss is recorded equal to the difference between the value of the contract when opened and the value of the contract when closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Exchange-traded futures have no significant counterparty risk as the exchange guarantees the contracts against default.

During the period ended September 30, 2019, Aggressive Allocation, Balanced Income Plus, Diversified Income Plus, Government Bond, Income, International Allocation, Limited Maturity Bond, Moderate Allocation, Moderately Aggressive Allocation, Moderately Conservative Allocation, Multidimensional Income, and Opportunity Income Plus used treasury futures to manage the duration and yield curve exposure of the respective Portfolio versus its benchmark.

During the period ended September 30, 2019, Aggressive Allocation, Balanced Income Plus, Diversified Income Plus, Global Stock, International Allocation, Large Cap Index, Low Volatility Equity, Mid Cap Index, Moderate Allocation, Moderately Aggressive Allocation, Moderately Conservative Allocation, Opportunity Income Plus, and Small Cap Index used equity futures to manage exposure to the equities market.

During the period ended September 30, 2019, Aggressive Allocation, Balanced Income Plus, Diversified Income Plus, Global Stock, International Allocation, Moderate Allocation, Moderately Aggressive Allocation, and Moderately Conservative Allocation used foreign exchange futures to hedge currency risk.

Foreign Currency Forward Contracts — In connection with purchases and sales of securities denominated in foreign currencies, all Portfolios, with the exception of the Money Market Portfolio, may enter into foreign currency forward contracts. Additionally, the Portfolios may enter into such contracts to mitigate currency and counterparty exposure to other foreign-currency-denominated investments. These contracts are recorded at value and the realized and change in unrealized foreign exchange gains and losses are included in the Statement of Operations. In the event


(unaudited)

30

that counterparties fail to settle these forward contracts, the Portfolios could be exposed to foreign currency fluctuations. Foreign currency contracts are valued daily and unrealized appreciation or depreciation is recorded daily as the difference between the contract exchange rate and the closing forward rate applied to the face amount of the contract. A realized gain or loss is recorded at the time a forward contract is closed. These contracts are over-the-counter and a Portfolio is exposed to counterparty risk equal to the discounted net amount of payments to the Portfolio.

During the period ended September 30, 2019, Partner Healthcare used foreign currency forward contracts in order to hedge unwanted currency exposure.

During the period ended September 30, 2019, International Allocation used foreign currency forward contracts in order to gain active currency exposure and to hedge unwanted currency exposure.

Swap Agreements — All Portfolios, with the exception of the Money Market Portfolio, may enter into swap transactions, which involve swapping one or more investment characteristics of a security or a basket of securities with another party. Such transactions include market risk, risk of default by the other party to the transaction, risk of imperfect correlation and manager risk and may involve commissions or other costs. Swap transactions generally do not involve delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to swap transactions is generally limited to the net amount of payments that the Portfolio is contractually obligated to make, or in the case of the counterparty defaulting, the net amount of payments that the Portfolio is contractually entitled to receive. Risks of loss may exceed amounts recognized on the Statement of Assets and Liabilities. If there is a default by the counterparty, the Portfolio may have contractual remedies pursuant to the agreements related to the transaction. The contracts are valued daily and unrealized appreciation or depreciation is recorded. Swap agreements are valued at the clearinghouse end of day prices as furnished by an independent pricing service. The pricing service takes into account such factors as swap curves, default probabilities, recent trades, recovery rates and other factors it deems relevant in determining valuations. Daily fluctuations in the value of the centrally cleared credit default contracts are recorded in variation margin in the Statement of Assets and Liabilities and recorded as unrealized gain or loss. The Portfolio accrues for the periodic payment and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount recorded as realized gains or losses in the Statement of Operations. Receipts and payments received or made as a result of a credit event or termination of the contract are also recognized as realized gains or losses in the Statement of Operations. Collateral, in the form of

cash or securities, may be required to be held with the Portfolio’s custodian, or a third party, in connection with these agreements. Certain swap agreements are over-the-counter. In these types of transactions, the Portfolio is exposed to counterparty risk, which is the discounted net amount of payments owed to the Portfolio. This risk is partially mitigated by the Portfolio’s collateral posting requirements. As the swap increases in value to the Portfolio, the Portfolio receives collateral from the counterparty. Certain interest rate and credit default index swaps must be cleared through a clearinghouse or central counterparty.

Credit Default Swaps — A credit default swap is a swap agreement between two parties to exchange the credit risk of a particular issuer, basket of securities or reference entity. In a credit default swap transaction, a buyer pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. The seller collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. A buyer of a credit default swap is said to buy protection whereas a seller of a credit default swap is said to sell protection. The Portfolios may be either the protection buyer or the protection seller.

Certain Portfolios enter into credit default derivative contracts directly through credit default swaps ("CDS") or through credit default swap indices ("CDX Indices"). CDX Indices are static pools of equally weighted credit default swaps referencing corporate bonds and/or loans designed to provide diversified credit exposure to these asset classes. Portfolios sell default protection and assume long-risk positions in individual credits or indices. Index positions are entered into to gain exposure to the corporate bond and/or loan markets in a cost-efficient and diversified structure. In the event that a position defaults, by going into bankruptcy and failing to pay interest or principal on borrowed money, within any given CDX Index held, the maximum potential amount of future payments required would be equal to the pro-rata share of that position within the index based on the notional amount of the index. In the event of a default under a CDS contract, the maximum potential amount of future payments would be the notional amount. For CDS, the default events could be bankruptcy and failing to pay interest or principal on borrowed money or a restructuring. A restructuring is a change in the underlying obligations which would include reduction in interest or principal, maturity extension and subordination to other obligations.

During the period ended September 30, 2019, High Yield, Income, Moderate Allocation, Moderately Aggressive


(unaudited)

31

Allocation, and Moderately Conservative Allocation used CDX indices (comprised of credit default swaps) to help manage credit risk exposure within the fund.

Total Return Swaps— A total return swap is a swap agreement between two parties to exchange the total return of a particular reference asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities, or index underlying the transactions exceeds or falls short of the offsetting interest obligation, the Portfolios will receive a payment from or make a payment to the counterparty. The Portfolios may take a "long" or "short" position with respect to the underlying referenced asset.

During the period ended September 30, 2019, International Allocation used total return swaps to achieve exposure to foreign equity markets where liquidity and/or access is limited.

For financial reporting purposes, the Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

Additional information for the Portfolio's policy regarding valuation of investments and other significant accounting policies can be obtained by referring to the Portfolio's most recent annual or semiannual shareholder report.

moderate allocation portfolio schedule of investments … · moderate allocation portfolio schedule...

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