| Percentages shown are based on Net Assets. |
| All securities are United States companies, unless noted otherwise in parentheses. | |||
| (a) | Security either partially or fully on loan. As of July 31, 2022, the total value of securities on loan is $40,785,237. | ||
| (b) | Security sold outside United States without registration under the Securities Act of 1933. | ||
| (c) | 7-day current yield as of July 31, 2022 is disclosed. | ||
| (d) | Security purchased with the cash proceeds from securities loaned. As of July 31, 2022, total cash collateral has a value of $15,115,152 and total non-cash collateral has a value of $27,036,075. | ||
| (e) | Amount rounds to less than 0.05%. | ||
| (f) | The obligations of certain U.S. government-sponsored entities are neither issued nor guaranteed by the United States Treasury. | ||
| (g) | Zero coupon bond. | ||
| * | Non-Income Producing Security | ||
| Abbreviations: | |
| ADR | American Depositary Receipt |
| ETF | Exchange-Traded Fund |
| L.P. | Limited Partnership |
| PLC | Public Limited Company |
| REIT | Real Estate Investment Trust |
| S&P | Standards & Poor's |
| Morningstar U.S. Equity Fund | Level 1 | Level 2 | Level 3 | Totals |
| Investments | ||||
| Assets: | ||||
| Common Stocks | 1,303,526,050 | $10,900,651 | $— | 1,314,426,701 |
| Master Limited Partnerships | 21,834,593 | — | — | 21,834,593 |
| Investment Companies | 117,429,550 | — | — | 117,429,550 |
| Short-Term Investments | 53,160,480 | 170,000 | — | 53,330,480 |
| Total Investments | $1,495,950,673 | $11,070,651 | $— | $1,507,021,324 |
| Percentages shown are based on Net Assets. |
| All securities are United States companies, unless noted otherwise in parentheses. | |||
| (a) | Security either partially or fully on loan. As of July 31, 2022, the total value of securities on loan is $15,577,235. | ||
| (b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. | ||
| (c) | Security sold outside United States without registration under the Securities Act of 1933. | ||
| (d) | Investment is valued using significant unobservable inputs (Level 3). | ||
| (e) | Amount rounds to less than 0.05%. | ||
| (f) | Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income. | ||
| (g) | 7-day current yield as of July 31, 2022 is disclosed. | ||
| (h) | Security purchased with the cash proceeds from securities loaned. As of July 31, 2022, total cash collateral has a value of $15,366,846 and total non-cash collateral has a value of $471,476. | ||
| * | Non-Income Producing Security | ||
| Abbreviations: | |
| ADR | American Depositary Receipt |
| ETF | Exchange-Traded Fund |
| GDR | Global Depositary Receipt |
| MSCI | Morgan Stanley Capital International |
| PCL | Public Company Limited |
| PJSC | Public Joint Stock Company |
| PLC | Public Limited Company |
| QPSC | Qualified Personal Service Corporation |
| Morningstar International Equity Fund | Level 1 | Level 2 | Level 3 | Totals |
| Investments | ||||
| Assets: | ||||
| Common Stocks | $102,653,799 | $725,763,281 | $—* | $828,417,080 |
| Preferred Stocks | 184,695 | 3,564,317 | — | 3,749,012 |
| Investment Companies | 8,430,921 | — | — | 8,430,921 |
| Short-Term Investments | 38,863,626 | — | — | 38,863,626 |
| Total Investments | $150,133,041 | $729,327,598 | $— | $879,460,639 |
| *Includes securities determined to have effectively no value as of July 31, 2022. |
| Percentages shown are based on Net Assets. |
| All securities are United States companies, unless noted otherwise in parentheses. | |||
| (a) | Par value is in USD unless otherwise indicated. | ||
| (b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. | ||
| (c) | Variable rate security. Rate as of July 31, 2022 is disclosed. | ||
| (d) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of July 31, 2022 is disclosed. | ||
| (e) | Amount rounds to less than 0.05%. | ||
| (f) | Security either partially or fully on loan. As of July 31, 2022, the total value of securities on loan is $11,662,525. | ||
| (g) | Security sold outside United States without registration under the Securities Act of 1933. | ||
| (h) | Investment is valued using significant unobservable inputs (Level 3). | ||
| (i) | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate as of July 31, 2022 is disclosed. | ||
| (j) | Distributions from this security are made via payments in-kind (PIK) unless otherwise noted in the description. | ||
| (k) | Perpetual bond. Maturity date represents next call date. | ||
| (l) | Step coupon bond. Rate as of July 31, 2022 is disclosed. | ||
| (m) | Century bond maturing in 2115. | ||
| (n) | Unfunded loan commitment. As of July 31, 2022, total value of unfunded loan commitment is $7,965. | ||
| (o) | Position is unsettled. Contract rate was not determined at July 31, 2022 and does not take effect until settlement date. | ||
| (p) | 7-day current yield as of July 31, 2022 is disclosed. | ||
| (q) | Security purchased with the cash proceeds from securities loaned. As of July 31, 2022, total cash collateral has a value of $8,695,442 and total non-cash collateral has a value of $3,213,826. | ||
| (r) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. | ||
| * | Non-Income Producing Security | ||
| Abbreviations: | |
| 1M | 1 Month |
| 3M | 3 Month |
| 5Y | 5 Year |
| 10Y | 10 Year |
| ABS | Asset-Backed Security |
| ADR | American Depositary Receipt |
| CDO | Collaterlized Debt Obligation |
| CLO | Collateralized Loan Obligation |
| CMT | Constant Maturity |
| CVA | Credit Valuation Adjustment |
| DDTL | Delayed Draw Term Loan |
| ETF | Exchange-Traded Fund |
| EUR | Euro |
| FHLMC | Federal Home Loan Mortgage Corporation |
| FNMA | Federal National Mortgage Association |
| Freddie Mac | Federal Home Loan Mortgage Corporation |
| GDR | Global Depositary Receipt |
| IDR | Indonesian Rupiah |
| JPY | Japanese Yen |
| JSC | Joint Stock Company |
| L.P. | Limited Partnership |
| LIBOR | London Interbank Offered Rate |
| LLC | Limited Liability Company |
| MTN | Medium Term Note |
| MXN | Mexican Peso |
| PJSC | Public Joint Stock Company |
| PLC | Public Limited Company |
| REMIC | Real Estate Mortgage Investment Conduit |
| SOFR | United States Secured Overnight Financing Rate |
| STACR | Structured Agency Credit Risk |
| UCITS | Undertakings for Collective Investment in Transferable Securities |
| USD | United States Dollar |
| Futures Contracts outstanding at July 31, 2022: Exchange Traded | |||||
| Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
| Long Contracts | |||||
| Ultra U.S. Treasury Bond | 20 | 9/21/2022 | USD | 3,166,250 | $35,311 |
| 2-Year U.S. Treasury Note | 142 | 10/05/2022 | USD | 29,885,453 | (22,692) |
| 90-Day Eurodollar | 19 | 12/19/2022 | USD | 4,576,863 | (31,175) |
| CME 3-Month SOFR | 2 | 9/19/2023 | USD | 485,175 | 2,613 |
| 90-Day Eurodollar | 106 | 12/18/2023 | USD | 25,731,500 | 90,725 |
| Total Long Contracts | $74,782 | ||||
| Short Contracts | |||||
| 10-Year U.S. Treasury Note | (172) | 9/21/2022 | USD | 20,836,188 | $(309,108) |
| U.S. Treasury Long Bond | (4) | 9/21/2022 | USD | 576,000 | (12,953) |
| Ultra 10-Year U.S. Treasury Note | (2) | 9/21/2022 | USD | 262,500 | (5,596) |
| 5-Year U.S. Treasury Note | (11) | 10/05/2022 | USD | 1,250,992 | (3,798) |
| Total Short Contracts | $(331,455) | ||||
| $(256,673) | |||||
| Forward Foreign Currency Exchange Contracts outstanding at July 31, 2022: | ||||||
| Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
| 10/18/22 | Norwegian Kroner | 18,010,000 | U.S. Dollars | 1,786,246 | Morgan Stanley | $80,081 |
| 10/18/22 | Japanese Yen | 193,871,000 | U.S. Dollars | 1,433,027 | BNP | 30,369 |
| 10/18/22 | Australian Dollars | 1,869,000 | U.S. Dollars | 1,280,431 | Citibank | 26,964 |
| 10/18/22 | Canadian Dollars | 2,150,000 | U.S. Dollars | 1,658,384 | Citibank | 20,117 |
| 10/18/22 | Mexican Pesos | 15,040,000 | U.S. Dollars | 709,414 | Goldman Sachs | 17,263 |
| Forward Foreign Currency Exchange Contracts outstanding at July 31, 2022: (continued) | ||||||
| Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
| 10/18/22 | Mexican Pesos | 5,030,000 | U.S. Dollars | 239,566 | Morgan Stanley | $3,465 |
| 10/18/22 | U.S. Dollars | 238,138 | Mexican Pesos | 4,920,000 | Morgan Stanley | 422 |
| Total Unrealized Appreciation | $178,681 | |||||
| 10/18/22 | U.S. Dollars | 468,251 | Chinese Offshore Yuan | 3,160,000 | Citibank | $(531) |
| 10/18/22 | U.S. Dollars | 353,584 | Australian Dollars | 512,300 | Citibank | (4,777) |
| 10/17/22 | U.S. Dollars | 328,000 | Mexican Pesos | 6,918,996 | Citibank | (6,365) |
| 10/18/22 | U.S. Dollars | 549,185 | Mexican Pesos | 11,539,892 | Morgan Stanley | (8,380) |
| 10/18/22 | U.S. Dollars | 639,175 | Euro | 630,000 | BNP | (8,432) |
| 10/18/22 | U.S. Dollars | 350,430 | Norwegian Kroner | 3,488,828 | BNP | (11,108) |
| 10/18/22 | U.S. Dollars | 932,346 | British Pounds | 773,423 | Goldman Sachs | (11,335) |
| Total Unrealized Depreciation | $(50,928) | |||||
| Net Unrealized Appreciation | $127,753 | |||||
| Interest Rate Swap Contracts outstanding at July 31, 2022: Exchange Traded | |||||||
| Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
| 2.65% (Annually) | 2-Day USD SOFR (Annually) | 8/15/2047 | USD | 1,055,000 | $(32,677) | $13,666 | $(46,343) |
| 2.62% (Annually) | 2-Day USD SOFR (Annually) | 2/15/2048 | USD | 445,000 | (11,440) | (86) | (11,354) |
| Total | $(44,117) | $13,580 | $(57,697) | ||||
| Morningstar Global Income Fund | Level 1 | Level 2 | Level 3 | Totals |
| Investments | ||||
| Assets: | ||||
| Asset-Backed Securities | $— | $7,833,392 | $— | $7,833,392 |
| Common Stocks | 52,461,188 | 42,098,068 | —* | 94,559,256 |
| Convertible Bonds | — | 357,519 | — | 357,519 |
| Corporate Bonds | — | 30,561,686 | — | 30,561,686 |
| Foreign Issuer Bonds | — | 17,393,868 | — | 17,393,868 |
| Master Limited Partnerships | 6,094,746 | — | — | 6,094,746 |
| Mortgage-Backed Securities | — | 7,631,019 | — | 7,631,019 |
| Term Loans | — | 22,592,747 | — | 22,592,747 |
| U.S. Government Obligations | — | 7,230,599 | — | 7,230,599 |
| Investment Companies | 17,267,775 | — | — | 17,267,775 |
| Short-Term Investments | 18,137,417 | 131,964 | — | 18,269,381 |
| Purchased Options | 562 | 16,502 | — | 17,064 |
| Total Investments | $93,961,688 | $135,847,364 | $— | $229,809,052 |
| *Includes securities determined to have effectively no value as of July 31, 2022. |
| Morningstar Global Income Fund | Level 1 | Level 2 | Level 3 | Totals |
| Derivative Financial Instruments | ||||
| Assets: | ||||
| Futures Contracts | $128,649 | $— | $— | $128,649 |
| Forward Foreign Currency Exchange Contracts | — | 178,681 | — | 178,681 |
| Total Assets - Derivative Financial Instruments | $128,649 | $178,681 | $— | $307,330 |
| Liabilities: | ||||
| Futures Contracts | $(385,322) | $— | $— | $(385,322) |
| Forward Foreign Currency Exchange Contracts | — | (50,928) | — | (50,928) |
| Swap Agreements | — | (44,117) | — | (44,117) |
| Total Liabilities - Derivative Financial Instruments | $(385,322) | $(95,045) | $— | $(480,367) |
| Net Derivative Financial Instruments | $(256,673) | $83,636 | $— | $(173,037) |
| (a) | Par value is in USD unless otherwise indicated. |
| (b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. |
| (c) | Variable rate security. Rate as of July 31, 2022 is disclosed. |
| (d) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of July 31, 2022 is disclosed. |
| (e) | Step coupon bond. Rate as of July 31, 2022 is disclosed. |
| (f) | Restricted security that has been deemed illiquid. At July 31, 2022, the value of these restricted illiquid securities amounted to $1,285,516 or 0.16% of net assets. Additional information on these restricted illiquid securities is as follows: |
| Security | Acquisition Date | Acquisition Cost | |
| Lukoil Capital DAC, 3.60%, 10/26/31 | 10/19/21 | $470,000 | |
| Lukoil Capital DAC, 2.80%, 4/26/27 | 10/19/21 | 370,000 | |
| MF1 LLC, 4.79%, 9/19/37 | 07/26/22 | 796,000 |
| (g) | Amount rounds to less than 0.05%. |
| (h) | Security either partially or fully on loan. As of July 31, 2022, the total value of securities on loan is $13,739,900. |
| (i) | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate as of July 31, 2022 is disclosed. |
| (j) | Perpetual bond. Maturity date represents next call date. |
| (k) | When-Issued Security. Coupon rate was not yet in effect at July 31, 2022. |
| (l) | Investment is valued using significant unobservable inputs (Level 3). |
| (m) | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap agreements. |
| (n) | Distributions from this security are made via payments in-kind (PIK) unless otherwise noted in the description. |
| (o) | Century bond maturing in 2120. |
| (p) | Issuer has defaulted on terms of debt obligation. |
| (q) | Century bond maturing in 2112. |
| (r) | Unfunded loan commitment. As of July 31, 2022, total value of unfunded loan commitment is $3,212. |
| (s) | Position is unsettled. Contract rate was not determined at July 31, 2022 and does not take effect until settlement date. |
| (t) | 7-day current yield as of July 31, 2022 is disclosed. |
| (u) | Security purchased with the cash proceeds from securities loaned. As of July 31, 2022, total cash collateral has a value of $10,640,510 and total non-cash collateral has a value of $3,325,059. |
| (v) | The notional amount is EUR. |
| (w) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
| Abbreviations: | |
| 10Y | 10 Year |
| 12MTA | 12 Month Treasury Average |
| 1M | 1 Month |
| 1Y | 1 Year |
| 3M | 3 Month |
| 5Y | 5 Year |
| AESOP | Employee Stock Ownership Plan |
| BATS | Better Alternative Trading System |
| CDO | Collaterlized Debt Obligation |
| CLO | Collateralized Loan Obligation |
| CMT | Constant Maturity |
| CP | Commercial Paper |
| ETF | Exchange-Traded Fund |
| FHLMC | Federal Home Loan Mortgage Corporation |
| FNMA | Federal National Mortgage Association |
| Freddie Mac | Federal Home Loan Mortgage Corporation |
| GO | Government Obligation |
| IO | Interest Only |
| JSC | Joint Stock Company |
| L.P. | Limited Partnership |
| LIBOR | London Interbank Offered Rate |
| LLC | Limited Liability Company |
| PLC | Public Limited Company |
| REMIC | Real Estate Mortgage Investment Conduit |
| S&P | Standards & Poor's |
| SOFR | United States Secured Overnight Financing Rate |
| STACR | Structured Agency Credit Risk |
| Strip | Separate Trading of Registered Interest and Principal |
| TRB | Tax Revenue Bonds |
| USD | United States Dollar |
| EUR | Euro |
| COP | Colombian Peso |
| MXN | Mexican Peso |
| RUB | Russian Ruble |
| CLP | Chilean Peso |
| CNH | Chinese Yuan Renminbi |
| IDR | Indonesian Rupiah |
| BRL | Brazilian Real |
| JPY | Japanese Yen |
| Futures Contracts outstanding at July 31, 2022: Exchange Traded | |||||
| Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
| Long Contracts | |||||
| U.S. Treasury Long Bond | 77 | 9/21/2022 | USD | 11,088,000 | $389,700 |
| Ultra 10-Year U.S. Treasury Note | 58 | 9/21/2022 | USD | 7,612,500 | 212,765 |
| Ultra U.S. Treasury Bond | 55 | 9/21/2022 | USD | 8,707,188 | 438,660 |
| 2-Year U.S. Treasury Note | 281 | 10/05/2022 | USD | 59,139,523 | 36,118 |
| 5-Year U.S. Treasury Note | 1,241 | 10/05/2022 | USD | 141,134,664 | 1,602,479 |
| 90-Day Eurodollar | 315 | 12/19/2022 | USD | 75,879,563 | (196,654) |
| 90-Day Eurodollar | 99 | 6/19/2023 | USD | 23,943,150 | 71,775 |
| CME 3-Month SOFR | 394 | 6/20/2023 | USD | 95,377,550 | 107,374 |
| 90-Day Eurodollar | 25 | 9/18/2023 | USD | 6,059,375 | 9,688 |
| CME 3-Month SOFR | 2 | 9/19/2023 | USD | 485,175 | 2,425 |
| 90-Day Eurodollar | 65 | 12/18/2023 | USD | 15,778,750 | (4,063) |
| Total Long Contracts | $2,670,267 | ||||
| Short Contracts | |||||
| 30-Year Euro Buxl | (2) | 9/08/2022 | EUR | 379,794 | $(62,390) |
| Euro-BTP Italian Government Bond | (21) | 9/08/2022 | EUR | 2,711,427 | (117,520) |
| Euro-Bund | (12) | 9/08/2022 | EUR | 1,933,392 | (31,143) |
| 10-Year Japanese Treasury Bond | (4) | 9/12/2022 | JPY | 4,514,736 | (28,600) |
| 10-Year U.S. Treasury Note | (269) | 9/21/2022 | USD | 32,586,828 | (504,834) |
| U.S. Treasury Long Bond | (37) | 9/21/2022 | USD | 5,328,000 | (211,088) |
| Futures Contracts outstanding at July 31, 2022: Exchange Traded (continued) | |||||
| Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
| Ultra U.S. Treasury Bond | (44) | 9/21/2022 | USD | 6,965,750 | $(85,580) |
| CME 3-Month SOFR | (388) | 6/18/2024 | USD | 94,575,000 | (160,014) |
| Total Short Contracts | $(1,201,169) | ||||
| $1,469,098 | |||||
| Forward Foreign Currency Exchange Contracts outstanding at July 31, 2022: | ||||||
| Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
| 09/21/22 | U.S. Dollars | 2,914,680 | Euro | 2,746,000 | JPMorgan Chase | $97,565 |
| 09/21/22 | U.S. Dollars | 1,411,317 | Euro | 1,331,300 | BNP | 45,539 |
| 09/21/22 | British Pounds | 1,004,844 | Euro | 1,160,000 | Deutsche Bank | 35,162 |
| 09/21/22 | British Pounds | 609,830 | Euro | 700,000 | Goldman Sachs | 25,435 |
| 09/21/22 | Swiss Francs | 510,000 | Euro | 511,061 | HSBC | 13,700 |
| 09/21/22 | British Pounds | 380,000 | U.S. Dollars | 452,775 | HSBC | 10,558 |
| 09/21/22 | U.S. Dollars | 286,990 | Euro | 270,000 | Bank of America | 9,997 |
| 08/24/22 | U.S. Dollars | 81,320 | Colombian Pesos | 312,117,000 | Barclays | 8,846 |
| 09/21/22 | Swiss Francs | 250,000 | Euro | 248,758 | JPMorgan Chase | 8,524 |
| 09/21/22 | British Pounds | 220,000 | U.S. Dollars | 261,822 | Barclays | 6,424 |
| 09/21/22 | U.S. Dollars | 1,665,630 | Euro | 1,617,326 | Citibank | 6,419 |
| 09/21/22 | British Pounds | 190,359 | Euro | 220,000 | Barclays | 6,407 |
| 09/21/22 | British Pounds | 181,648 | Euro | 210,000 | BNP | 6,045 |
| 09/21/22 | U.S. Dollars | 220,274 | Euro | 210,000 | Standard Chartered Bank | 4,835 |
| 09/21/22 | Euro | 1,016,967 | U.S. Dollars | 1,038,476 | Deutsche Bank | 4,828 |
| 09/21/22 | U.S. Dollars | 186,009 | Euro | 177,000 | Toronto-Dominion Bank | 4,426 |
| 08/19/22 | South African Rand | 2,160,509 | U.S. Dollars | 126,000 | Goldman Sachs | 3,699 |
| 09/21/22 | Swiss Francs | 260,000 | Euro | 264,318 | UBS | 3,109 |
| 09/21/22 | British Pounds | 98,403 | Euro | 114,000 | JPMorgan Chase | 3,030 |
| 09/21/22 | Euro | 210,000 | U.S. Dollars | 212,516 | Morgan Stanley | 2,923 |
| 08/19/22 | Canadian Dollars | 158,982 | U.S. Dollars | 122,000 | Deutsche Bank | 2,148 |
| 08/19/22 | Mexican Pesos | 2,007,610 | U.S. Dollars | 96,000 | Citibank | 2,132 |
| 09/21/22 | U.S. Dollars | 73,555 | Euro | 70,000 | HSBC | 1,742 |
| 08/15/22 | South African Rand | 1,093,632 | U.S. Dollars | 64,000 | BNP | 1,684 |
| 08/19/22 | South African Rand | 1,221,651 | U.S. Dollars | 72,000 | BNP | 1,338 |
| 08/19/22 | Australian Dollars | 49,000 | U.S. Dollars | 32,934 | HSBC | 1,314 |
| 08/24/22 | U.S. Dollars | 96,105 | Mexican Pesos | 1,943,000 | JPMorgan Chase | 1,220 |
| 08/24/22 | Mexican Pesos | 1,051,000 | U.S. Dollars | 50,298 | Morgan Stanley | 1,027 |
| 09/21/22 | British Pounds | 60,000 | U.S. Dollars | 72,202 | Deutsche Bank | 956 |
| 08/15/22 | Mexican Pesos | 672,652 | U.S. Dollars | 32,000 | Citibank | 904 |
| 08/19/22 | Australian Dollars | 75,000 | Canadian Dollars | 65,996 | BNP | 885 |
| 08/19/22 | Swiss Francs | 65,443 | U.S. Dollars | 68,000 | Standard Chartered Bank | 863 |
| 08/19/22 | Czech Republic Koruna | 2,578,304 | U.S. Dollars | 106,000 | HSBC | 781 |
| 08/19/22 | South African Rand | 479,289 | U.S. Dollars | 28,000 | HSBC | 772 |
| 09/21/22 | Euro | 610,000 | U.S. Dollars | 625,076 | JPMorgan Chase | 721 |
| 09/21/22 | Euro | 210,000 | U.S. Dollars | 214,762 | Barclays | 677 |
| 08/24/22 | U.S. Dollars | 57,022 | Mexican Pesos | 1,156,538 | BNP | 543 |
| 08/19/22 | South African Rand | 1,607,232 | U.S. Dollars | 96,000 | Bank of America | 485 |
| Forward Foreign Currency Exchange Contracts outstanding at July 31, 2022: (continued) | ||||||
| Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
| 08/02/22 | Brazilian Reals | 177,882 | U.S. Dollars | 34,000 | Goldman Sachs | $379 |
| 08/19/22 | Euro | 62,000 | Czech Republic Koruna | 1,523,130 | Morgan Stanley | 372 |
| 08/24/22 | U.S. Dollars | 100,646 | Mexican Pesos | 2,056,000 | Barclays | 243 |
| 08/15/22 | Mexican Pesos | 658,645 | U.S. Dollars | 32,000 | JPMorgan Chase | 219 |
| 08/19/22 | U.S. Dollars | 96,000 | South African Rand | 1,595,626 | BNP | 212 |
| 09/21/22 | Euro | 210,000 | U.S. Dollars | 215,286 | Citibank | 153 |
| 09/21/22 | U.S. Dollars | 94,615 | Canadian Dollars | 121,000 | JPMorgan Chase | 142 |
| 08/19/22 | Japanese Yen | 4,007,610 | U.S. Dollars | 30,000 | JPMorgan Chase | 96 |
| 09/21/22 | U.S. Dollars | 17,200 | Euro | 16,674 | RBS | 94 |
| 08/02/22 | Brazilian Reals | 10,600 | U.S. Dollars | 2,000 | Morgan Stanley | 49 |
| 08/19/22 | South Korean Won | 125,010,720 | U.S. Dollars | 96,000 | Citibank | 44 |
| Total Unrealized Appreciation | $329,666 | |||||
| 08/19/22 | Swiss Francs | 64,812 | British Pounds | 56,000 | JPMorgan Chase | $(28) |
| 08/19/22 | Euro | 126,000 | U.S. Dollars | 128,988 | Citibank | (35) |
| 09/02/22 | U.S. Dollars | 2,000 | Brazilian Reals | 10,700 | Morgan Stanley | (47) |
| 08/15/22 | U.S. Dollars | 32,000 | Mexican Pesos | 655,399 | Deutsche Bank | (60) |
| 08/19/22 | U.S. Dollars | 32,000 | Czech Republic Koruna | 774,478 | BNP | (75) |
| 09/21/22 | Indonesian Rupiahs | 214,180,881 | U.S. Dollars | 14,499 | Bank of America | (78) |
| 08/19/22 | Australian Dollars | 138,000 | U.S. Dollars | 96,544 | JPMorgan Chase | (89) |
| 09/21/22 | Indonesian Rupiahs | 1,501,768,747 | U.S. Dollars | 101,354 | Deutsche Bank | (237) |
| 08/19/22 | U.S. Dollars | 95,757 | Euro | 94,000 | BNP | (446) |
| 09/21/22 | Euro | 260,000 | U.S. Dollars | 267,193 | Goldman Sachs | (459) |
| 08/18/22 | Indonesian Rupiahs | 1,001,640,000 | U.S. Dollars | 68,000 | JPMorgan Chase | (473) |
| 08/19/22 | U.S. Dollars | 72,000 | Indian Rupees | 5,765,976 | Citibank | (588) |
| 08/24/22 | U.S. Dollars | 98,464 | Mexican Pesos | 2,032,000 | Bank of America | (767) |
| 08/19/22 | U.S. Dollars | 30,000 | Japanese Yen | 4,109,942 | Bank of America | (865) |
| 08/15/22 | U.S. Dollars | 32,000 | Mexican Pesos | 672,730 | JPMorgan Chase | (908) |
| 08/02/22 | U.S. Dollars | 83,830 | Brazilian Reals | 438,588 | Goldman Sachs | (936) |
| 08/24/22 | U.S. Dollars | 26,784 | Colombian Pesos | 119,828,000 | Goldman Sachs | (1,040) |
| 09/29/22 | Turkish Lira | 289,920 | U.S. Dollars | 16,000 | Deutsche Bank | (1,047) |
| 09/29/22 | U.S. Dollars | 112,000 | Turkish Lira | 2,191,840 | Goldman Sachs | (1,050) |
| 09/02/22 | U.S. Dollars | 48,000 | Brazilian Reals | 258,278 | Citibank | (1,414) |
| 08/02/22 | U.S. Dollars | 98,009 | Brazilian Reals | 515,342 | Citibank | (1,592) |
| 09/21/22 | Euro | 50,000 | U.S. Dollars | 53,021 | Standard Chartered Bank | (1,726) |
| 08/19/22 | U.S. Dollars | 66,000 | Canadian Dollars | 86,743 | HSBC | (1,737) |
| 09/21/22 | U.S. Dollars | 275,106 | Euro | 270,000 | Citibank | (1,887) |
| 08/15/22 | U.S. Dollars | 64,000 | South African Rand | 1,101,326 | Deutsche Bank | (2,146) |
| 08/19/22 | U.S. Dollars | 70,000 | South African Rand | 1,204,668 | Barclays | (2,318) |
| Forward Foreign Currency Exchange Contracts outstanding at July 31, 2022: (continued) | ||||||
| Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
| 08/19/22 | U.S. Dollars | 70,000 | South African Rand | 1,205,451 | BNP | $(2,365) |
| 09/21/22 | Euro | 120,000 | U.S. Dollars | 125,529 | JPMorgan Chase | (2,421) |
| 09/21/22 | Euro | 130,913 | Swiss Francs | 130,000 | JPMorgan Chase | (2,833) |
| 09/21/22 | Euro | 130,907 | Swiss Francs | 130,000 | HSBC | (2,839) |
| 08/02/22 | U.S. Dollars | 48,000 | Brazilian Reals | 263,136 | JPMorgan Chase | (2,856) |
| 08/24/22 | Mexican Pesos | 1,943,000 | U.S. Dollars | 97,902 | Citibank | (3,017) |
| 09/21/22 | U.S. Dollars | 607,110 | Euro | 595,700 | JPMorgan Chase | (4,017) |
| 09/21/22 | Euro | 114,000 | U.S. Dollars | 121,036 | Bank of America | (4,083) |
| 09/21/22 | Euro | 181,042 | Swiss Francs | 180,000 | Toronto-Dominion Bank | (4,150) |
| 08/18/22 | Euro | 96,000 | Norwegian Kroner | 990,662 | Deutsche Bank | (4,304) |
| 09/21/22 | U.S. Dollars | 263,860 | British Pounds | 220,000 | Goldman Sachs | (4,385) |
| 09/21/22 | U.S. Dollars | 703,194 | Euro | 690,000 | Bank of America | (4,676) |
| 09/21/22 | U.S. Dollars | 538,983 | Euro | 530,000 | Deutsche Bank | (4,743) |
| 09/21/22 | U.S. Dollars | 263,170 | British Pounds | 220,000 | HSBC | (5,076) |
| 08/02/22 | U.S. Dollars | 194,955 | Brazilian Reals | 1,036,108 | BNP | (5,294) |
| 08/19/22 | U.S. Dollars | 325,368 | Euro | 324,000 | Deutsche Bank | (6,224) |
| 09/21/22 | U.S. Dollars | 322,054 | Euro | 320,000 | UBS | (6,233) |
| 08/19/22 | U.S. Dollars | 52,000 | Chilean Pesos | 53,745,640 | Morgan Stanley | (7,426) |
| 09/21/22 | Euro | 280,000 | British Pounds | 241,707 | Barclays | (7,462) |
| 09/21/22 | U.S. Dollars | 260,742 | British Pounds | 220,000 | State Street | (7,503) |
| 09/21/22 | Euro | 480,000 | U.S. Dollars | 502,123 | Citibank | (9,692) |
| 09/21/22 | Euro | 390,000 | U.S. Dollars | 410,475 | HSBC | (10,375) |
| 09/21/22 | Euro | 584,076 | Swiss Francs | 580,000 | Bank of America | (12,636) |
| 09/21/22 | Euro | 890,000 | U.S. Dollars | 925,768 | Barclays | (12,720) |
| 09/21/22 | Euro | 540,000 | British Pounds | 465,347 | BNP | (13,411) |
| 09/21/22 | U.S. Dollars | 1,600,091 | Euro | 1,589,000 | Morgan Stanley | (30,060) |
| 09/21/22 | Euro | 3,136,000 | British Pounds | 2,689,606 | Deutsche Bank | (62,214) |
| Total Unrealized Depreciation | $(265,063) | |||||
| Net Unrealized Appreciation | $64,603 | |||||
| Written Call Option Contracts outstanding at July 31, 2022: Exchange Traded | ||||||
| Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
| 10-Year U.S. Treasury Note Future | 88 | USD | 10,660,375 | 119.50 | 8/26/2022 | $(178,750) |
| 10-Year U.S. Treasury Note Future | 85 | USD | 10,296,953 | 120.00 | 8/26/2022 | (142,110) |
| 10-Year U.S. Treasury Note Future | 76 | USD | 9,206,688 | 119.00 | 8/26/2022 | (184,063) |
| 10-Year U.S. Treasury Note Future | 36 | USD | 4,361,063 | 121.00 | 8/26/2022 | (38,250) |
| 10-Year U.S. Treasury Note Future | 10 | USD | 1,211,406 | 122.00 | 8/26/2022 | (6,250) |
| 10-Year U.S. Treasury Note Future | 7 | USD | 847,984 | 118.50 | 8/26/2022 | (19,906) |
| Written Call Option Contracts outstanding at July 31, 2022: Exchange Traded (continued) | ||||||
| Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
| 10-Year U.S. Treasury Note Future | 6 | USD | 726,844 | 121.50 | 8/26/2022 | $(4,969) |
| 10-Year U.S. Treasury Note Future | 5 | USD | 605,703 | 123.00 | 8/26/2022 | (1,719) |
| 10-Year U.S. Treasury Note Future | 1 | USD | 121,141 | 120.50 | 8/26/2022 | (1,344) |
| 5-Year U.S. Treasury Note Future | 63 | USD | 7,164,776 | 112.50 | 8/26/2022 | (92,039) |
| 5-Year U.S. Treasury Note Future | 48 | USD | 5,458,877 | 113.00 | 8/26/2022 | (52,500) |
| 5-Year U.S. Treasury Note Future | 12 | USD | 1,364,719 | 112.75 | 8/26/2022 | (15,281) |
| 5-Year U.S. Treasury Note Future | 12 | USD | 1,364,719 | 114.50 | 8/26/2022 | (4,125) |
| 90-Day Euro Future | 309 | USD | 74,434,238 | 97.00 | 12/19/2022 | (73,387) |
| 90-Day Euro Future | 75 | USD | 18,066,563 | 96.50 | 12/19/2022 | (42,656) |
| U.S. Treasury Long Bond Future | 25 | USD | 3,600,000 | 141.00 | 8/26/2022 | (96,875) |
| Total Written Call Options Contracts (Premiums Received $667,911) | $(954,224) | |||||
| Written Put Option Contracts outstanding at July 31, 2022: Exchange Traded | ||||||
| Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
| 10-Year U.S. Treasury Note Future | 60 | USD | 7,268,438 | 119.00 | 8/26/2022 | $(16,875) |
| 10-Year U.S. Treasury Note Future | 25 | USD | 3,028,516 | 117.50 | 8/26/2022 | (2,344) |
| 10-Year U.S. Treasury Note Future | 25 | USD | 3,028,516 | 118.50 | 8/26/2022 | (5,078) |
| 10-Year U.S. Treasury Note Future | 16 | USD | 1,938,250 | 118.00 | 8/26/2022 | (2,250) |
| 10-Year U.S. Treasury Note Future | 15 | USD | 1,817,109 | 118.25 | 8/26/2022 | (2,578) |
| 10-Year U.S. Treasury Note Future | 2 | USD | 242,281 | 119.50 | 8/26/2022 | (781) |
| 5-Year U.S. Treasury Note Future | 63 | USD | 7,164,776 | 112.00 | 8/26/2022 | (8,859) |
| 5-Year U.S. Treasury Note Future | 31 | USD | 3,525,525 | 112.50 | 8/26/2022 | (7,266) |
| 5-Year U.S. Treasury Note Future | 19 | USD | 2,160,805 | 112.25 | 8/26/2022 | (3,414) |
| U.S. Treasury Long Bond Future | 21 | USD | 3,024,000 | 138.00 | 8/26/2022 | (6,563) |
| U.S. Treasury Long Bond Future | 8 | USD | 1,152,000 | 137.00 | 8/26/2022 | (1,750) |
| U.S. Treasury Long Bond Future | 5 | USD | 720,000 | 140.00 | 8/26/2022 | (3,125) |
| U.S. Treasury Long Bond Future | 3 | USD | 432,000 | 141.00 | 8/26/2022 | (2,625) |
| U.S. Treasury Long Bond Future | 2 | USD | 288,000 | 142.00 | 8/26/2022 | (2,375) |
| Total Written Put Options Contracts (Premiums Received $288,044) | $(65,883) | |||||
| Written Call Option Contracts outstanding at July 31, 2022: Over the Counter | ||||||||
| Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
| Chilean Peso vs. U.S. Dollar | JPMorgan Chase | 2 | USD | 104,000 | CLP | 890.00 | 8/11/2022 | $(2,625) |
| Written Call Option Contracts outstanding at July 31, 2022: Over the Counter (continued) | ||||||||
| Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
| Chilean Peso vs. U.S. Dollar | Morgan Stanley | 2 | USD | 128,000 | CLP | 1,040.00 | 9/8/2022 | $(316) |
| Chinese Yuan vs. U.S. Dollar | Morgan Stanley | 2 | USD | 286,000 | CNH | 6.90 | 8/11/2022 | (118) |
| Chinese Yuan vs. U.S. Dollar | Goldman Sachs | 2 | USD | 288,000 | CNH | 6.93 | 9/28/2022 | (883) |
| Indonesian Rupiah vs. U.S. Dollar | Morgan Stanley | 2 | USD | 212,000 | IDR | 15,200.00 | 8/15/2022 | (285) |
| Japanese Yen vs. U.S. Dollar | Citibank | 2 | USD | 106,000 | JPY | 136.00 | 8/8/2022 | (186) |
| U.S. Dollar vs. Australian Dollar | Morgan Stanley | 2 | AUD | 202,000 | USD | 0.73 | 8/12/2022 | (45) |
| Total Written OTC Call Options Contracts (Premiums Received $8,993) | $(4,458) | |||||||
| Written Put Option Contracts outstanding at July 31, 2022: Over the Counter | ||||||||
| Description | Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
| Chilean Peso vs. U.S. Dollar | JPMorgan Chase | 2 | USD | 314,000 | CLP | 815.00 | 8/11/2022 | $(17) |
| Chilean Peso vs. U.S. Dollar | Morgan Stanley | 2 | USD | 194,000 | CLP | 920.00 | 9/8/2022 | (6,986) |
| Indonesian Rupiah vs. U.S. Dollar | Morgan Stanley | 2 | USD | 142,000 | IDR | 14,400.00 | 8/15/2022 | (28) |
| Japanese Yen vs. U.S. Dollar | Citibank | 1 | USD | 4,575,000 | JPY | 124.00 | 8/1/2022 | (13) |
| Japanese Yen vs. U.S. Dollar | Citibank | 2 | USD | 212,000 | JPY | 126.00 | 8/8/2022 | (71) |
| Japanese Yen vs. U.S. Dollar | Citibank | 1 | USD | 223,000 | JPY | 130.00 | 8/22/2022 | (987) |
| Japanese Yen vs. U.S. Dollar | Goldman Sachs | 2 | USD | 282,000 | JPY | 121.00 | 8/22/2022 | (77) |
| Japanese Yen vs. U.S. Dollar | Morgan Stanley | 1 | USD | 177,000 | JPY | 126.50 | 9/12/2022 | (561) |
| U.S. Dollar vs. Euro | Deutsche Bank | 1 | EUR | 6,388,000 | USD | 0.96 | 9/29/2022 | (18,757) |
| Total Written OTC Put Options Contracts (Premiums Received $33,965) | $(27,497) | |||||||
| Written Call Interest Rate Swaption Contracts outstanding at July 31, 2022: Over the Counter | |||||||
| Description | Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Counterparty | Expiration Date | Exercise Rate | Notional Amount | Value |
| Interest Rate Swap Maturing 06/11/2035 | 2.86% (Semi-Annually) | 1-Day USD SOFR (Annually) | Barclays | 6/09/2025 | 2.86% | 269,732 | $(18,028) |
| Interest Rate Swap Maturing 06/18/2035 | 3.16% (Semi-Annually) | 1-Day USD SOFR (Annually) | Deutsche Bank | 6/16/2025 | 3.16 | 428,000 | (35,789) |
| Interest Rate Swap Maturing 06/18/2035 | 3.15% (Semi-Annually) | 1-Day USD SOFR (Annually) | Deutsche Bank | 6/16/2025 | 3.15 | 440,000 | (36,536) |
| Interest Rate Swap Maturing 06/20/2035 | 2.93% (Semi-Annually) | 1-Day USD SOFR (Annually) | Goldman Sachs | 6/17/2025 | 2.93 | 238,000 | (16,864) |
| Interest Rate Swap Maturing 07/09/2035 | 2.71% (Semi-Annually) | 1-Day USD SOFR (Annually) | Barclays | 7/07/2025 | 2.71 | 357,900 | (21,218) |
| Interest Rate Swap Maturing 07/23/2035 | 2.78% (Semi-Annually) | 1-Day USD SOFR (Annually) | Deutsche Bank | 7/21/2025 | 2.78 | 683,621 | (42,727) |
| Interest Rate Swap Maturing 07/29/2035 | 2.63% (Semi-Annually) | 1-Day USD SOFR (Annually) | Barclays | 7/25/2025 | 2.63 | 379,789 | (21,157) |
| Interest Rate Swap Maturing 07/30/2035 | 2.53% (Semi-Annually) | 1-Day USD SOFR (Annually) | Morgan Stanley | 7/28/2025 | 2.53 | 151,916 | (7,727) |
| Interest Rate Swap Maturing 07/30/2035 | 2.56% (Semi-Annually) | 1-Day USD SOFR (Annually) | Morgan Stanley | 7/28/2025 | 2.56 | 151,916 | (7,898) |
| Interest Rate Swap Maturing 07/30/2035 | 2.56% (Semi-Annually) | 1-Day USD SOFR (Annually) | Deutsche Bank | 7/28/2025 | 2.56 | 327,226 | (17,012) |
| Interest Rate Swap Maturing 07/31/2035 | 2.48% (Semi-Annually) | 1-Day USD SOFR (Annually) | Deutsche Bank | 7/29/2025 | 2.48 | 378,509 | (18,736) |
| Interest Rate Swap Maturing 07/31/2035 | 2.55% (Semi-Annually) | 1-Day USD SOFR (Annually) | Deutsche Bank | 7/29/2025 | 2.55 | 765,621 | (38,204) |
| Interest Rate Swap Maturing 08/01/2033 | 2.52% (Semi-Annually) | 1-Day USD SOFR (Annually) | Goldman Sachs | 7/28/2023 | 2.52 | 4,752,045 | (179,113) |
| Total Written OTC Call Swaptions Contracts (Premiums Received $408,895) | $(461,009) | ||||||
| Written Put Interest Rate Swaption Contracts outstanding at July 31, 2022: Over the Counter | ||||||||
| Description | Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Counterparty | Expiration Date | Exercise Rate | Notional Amount | Value | |
| Interest Rate Swap Maturing 06/11/2035 | 1-Day USD SOFR (Annually) | 2.86% (Semi-Annually) | Barclays | 6/9/2025 | 2.86% | 269,732 | $(10,088) | |
| Interest Rate Swap Maturing 06/18/2035 | 1-Day USD SOFR (Annually) | 3.16% (Semi-Annually) | Deutsche Bank | 6/16/2025 | 3.16 | 428,000 | (12,655) | |
| Interest Rate Swap Maturing 06/18/2035 | 1-Day USD SOFR (Annually) | 3.15% (Semi-Annually) | Deutsche Bank | 6/16/2025 | 3.15 | 440,000 | (13,113) | |
| Interest Rate Swap Maturing 06/20/2035 | 1-Day USD SOFR (Annually) | 2.93% (Semi-Annually) | Goldman Sachs | 6/17/2025 | 2.93 | 238,000 | (8,419) | |
| Interest Rate Swap Maturing 07/09/2035 | 1-Day USD SOFR (Annually) | 2.71% (Semi-Annually) | Barclays | 7/7/2025 | 2.71 | 357,900 | (15,222) | |
| Interest Rate Swap Maturing 07/23/2035 | 1-Day USD SOFR (Annually) | 2.78% (Semi-Annually) | Deutsche Bank | 7/21/2025 | 2.78 | 683,621 | (27,824) | |
| Interest Rate Swap Maturing 07/29/2035 | 1-Day USD SOFR (Annually) | 2.63% (Semi-Annually) | Barclays | 7/25/2025 | 2.63 | 379,789 | (17,255) | |
| Written Put Interest Rate Swaption Contracts outstanding at July 31, 2022: Over the Counter (continued) | ||||||||
| Description | Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Counterparty | Expiration Date | Exercise Rate | Notional Amount | Value | |
| Interest Rate Swap Maturing 07/30/2035 | 1-Day USD SOFR (Annually) | 2.56% (Semi-Annually) | Morgan Stanley | 7/28/2025 | 2.56% | 151,916 | $(7,338) | |
| Interest Rate Swap Maturing 07/30/2035 | 1-Day USD SOFR (Annually) | 2.53% (Semi-Annually) | Morgan Stanley | 7/28/2025 | 2.53 | 151,916 | (7,478) | |
| Interest Rate Swap Maturing 07/30/2035 | 1-Day USD SOFR (Annually) | 2.56% (Semi-Annually) | Deutsche Bank | 7/28/2025 | 2.56 | 327,226 | (15,807) | |
| Interest Rate Swap Maturing 07/31/2035 | 1-Day USD SOFR (Annually) | 2.48% (Semi-Annually) | Deutsche Bank | 7/29/2025 | 2.48 | 378,509 | (18,736) | |
| Interest Rate Swap Maturing 07/31/2035 | 1-Day USD SOFR (Annually) | 2.55% (Semi-Annually) | Deutsche Bank | 7/29/2025 | 2.55 | 765,621 | (38,205) | |
| Interest Rate Swap Maturing 08/01/2033 | 1-Day USD SOFR (Annually) | 2.52% (Semi-Annually) | Goldman Sachs | 7/28/2023 | 2.52 | 4,752,045 | (147,324) | |
| Total Written OTC Put Swaptions Contracts (Premiums Received $408,895) | $(339,464) | |||||||
| Interest Rate Swap Contracts outstanding at July 31, 2022: Exchange Traded | |||||||
| Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
| 6.15% (Quarterly) | 3M PLN WIBOR (Quarterly) | 4/11/2024 | PLN | 1,117,000 | $1,356 | $— | $1,356 |
| 3M USD LIBOR (Quarterly) | 0.82% (Semi-Annually) | 6/4/2024 | USD | 36,626,000 | (781,218) | — | (781,218) |
| 28-Day MXN-TIIE-BANXICO (Monthly) | 9.51% (Monthly) | 7/18/2024 | MXN | 8,454,000 | 5,511 | — | 5,511 |
| 1.09% (At Maturity) | 1-Day EUR ESTR (At Maturity) | 7/28/2024 | EUR | 2,640,000 | (2,572) | — | (2,572) |
| 1.00% (At Maturity) | 1-Day EUR ESTR (At Maturity) | 8/1/2024 | EUR | 2,710,000 | (70) | — | (70) |
| 1.52% (Annually) | 2-Day USD SOFR (Annually) | 11/20/2026 | USD | 5,980,000 | 121,309 | (8,839) | 130,148 |
| 2-Day USD SOFR (Annually) | 1.55% (Annually) | 3/4/2027 | USD | 4,175,000 | (152,903) | (5,944) | (146,959) |
| 1.35% (Quarterly) | 3M USD LIBOR (Quarterly) | 2/15/2028 | USD | 5,548,000 | 367,739 | (23,492) | 391,231 |
| 1.13% (Annually) | 2-Day USD SOFR (Annually) | 8/15/2028 | USD | 17,907,000 | 1,224,124 | 46,177 | 1,177,947 |
| 1.22% (Annually) | 2-Day USD SOFR (Annually) | 8/15/2028 | USD | 4,412,000 | 276,986 | (1,629) | 278,615 |
| 2.85% (Annually) | 2-Day USD SOFR (Annually) | 2/15/2029 | USD | 2,329,000 | (66,329) | 9,119 | (75,448) |
| 6M EUR EURIBOR (Semi-Annually) | 1.57% (Annually) | 2/15/2031 | EUR | 599,265 | 1,774 | — | 1,774 |
| 6M EUR EURIBOR (Semi-Annually) | 1.54% (Annually) | 2/15/2031 | EUR | 599,010 | 227 | — | 227 |
| 6M EUR EURIBOR (Semi-Annually) | 1.56% (Annually) | 2/15/2031 | EUR | 599,010 | 1,317 | — | 1,317 |
| 6M EUR EURIBOR (Semi-Annually) | 1.55% (Annually) | 2/15/2031 | EUR | 476,696 | 701 | — | 701 |
| 6M EUR EURIBOR (Semi-Annually) | 1.82% (Annually) | 2/15/2031 | EUR | 476,471 | 11,451 | — | 11,451 |
| 6M EUR EURIBOR (Semi-Annually) | 1.52% (Annually) | 2/15/2031 | EUR | 411,911 | (393) | — | (393) |
| 6M EUR EURIBOR (Semi-Annually) | 1.65% (Annually) | 2/15/2031 | EUR | 352,862 | 3,379 | — | 3,379 |
| Interest Rate Swap Contracts outstanding at July 31, 2022: Exchange Traded (continued) | |||||||
| Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
| 6M EUR EURIBOR (Semi-Annually) | 1.59% (Annually) | 2/15/2031 | EUR | 299,333 | $1,476 | $— | $1,476 |
| 6M EUR EURIBOR (Semi-Annually) | 1.69% (Annually) | 2/15/2031 | EUR | 120,374 | 1,577 | — | 1,577 |
| 6M EUR EURIBOR (Semi-Annually) | 1.64% (Annually) | 2/15/2031 | EUR | 116,834 | 1,096 | — | 1,096 |
| 6M EUR EURIBOR (Semi-Annually) | 2.10% (Annually) | 8/15/2031 | EUR | 544,500 | 23,280 | — | 23,280 |
| 6M EUR EURIBOR (Semi-Annually) | 1.95% (Annually) | 8/15/2031 | EUR | 544,500 | 16,058 | — | 16,058 |
| 1.73% (Annually) | 2-Day USD SOFR (Annually) | 10/20/2031 | USD | 4,621,000 | 118,415 | 171,939 | (53,524) |
| 28-Day MXN-TIIE-BANXICO (Monthly) | 7.60% (Monthly) | 1/1/2032 | MXN | 1,030,000 | (1,972) | — | (1,972) |
| 28-Day MXN-TIIE-BANXICO (Monthly) | 7.57% (Monthly) | 1/12/2032 | MXN | 1,545,000 | (3,142) | — | (3,142) |
| 28-Day MXN-TIIE-BANXICO (Monthly) | 7.53% (Monthly) | 1/23/2032 | MXN | 2,753,000 | (5,946) | — | (5,946) |
| 28-Day MXN-TIIE-BANXICO (Monthly) | 8.29% (Monthly) | 3/17/2032 | MXN | 2,396,000 | 780 | — | 780 |
| 2.00% (Annually) | 2-Day USD SOFR (Annually) | 3/18/2032 | USD | 2,112,000 | 66,788 | 16,473 | 50,315 |
| 0.30% (At Maturity) | 1-Day JPY TONAR (At Maturity) | 4/7/2032 | JPY | 270,866,113 | (2,774) | — | (2,774) |
| 0.31% (Annually) | 1-Day JPY TONAR (Annually) | 4/7/2032 | JPY | 167,708,887 | (3,087) | — | (3,087) |
| 28-Day MXN-TIIE-BANXICO (Monthly) | 8.96% (Monthly) | 4/21/2032 | MXN | 1,909,000 | 4,826 | — | 4,826 |
| 0.39% (Annually) | 1-Day JPY TONAR (Annually) | 5/2/2032 | JPY | 58,850,500 | (4,665) | — | (4,665) |
| 0.40% (Annually) | 1-Day JPY TONAR (Annually) | 5/2/2032 | JPY | 4,083,500 | (331) | — | (331) |
| 0.42% (Annually) | 1-Day JPY TONAR (Annually) | 6/14/2032 | JPY | 242,517,466 | (22,752) | — | (22,752) |
| 6M EUR EURIBOR (Semi-Annually) | 2.44% (Annually) | 7/14/2032 | EUR | 157,000 | 3,354 | — | 3,354 |
| 1-Day EUR ESTR (Annually) | 1.72% (Annually) | 8/2/2032 | EUR | 700,000 | 354 | — | 354 |
| 1-Day EUR ESTR (Annually) | 1.77% (Annually) | 8/2/2032 | EUR | 470,000 | 1,427 | — | 1,427 |
| 1.52% (Annually) | 2-Day USD SOFR (Annually) | 2/15/2047 | USD | 3,125,000 | 547,268 | 56,207 | 491,061 |
| 1.73% (Annually) | 2-Day USD SOFR (Annually) | 2/15/2047 | USD | 2,710,000 | 368,217 | 35,624 | 332,593 |
| 2-Day USD SOFR (Annually) | 1.63% (Annually) | 5/15/2047 | USD | 310,000 | (49,109) | (1,253) | (47,856) |
| 1.65% (Annually) | 2-Day USD SOFR (Annually) | 8/15/2047 | USD | 6,080,000 | 948,699 | 382,087 | 566,612 |
| 2.62% (Annually) | 2-Day USD SOFR (Annually) | 2/15/2048 | USD | 2,503,000 | (64,348) | 75,853 | (140,201) |
| 2.50% (Annually) | 2-Day USD SOFR (Annually) | 4/21/2052 | USD | 2,600,000 | (48,438) | 5,875 | (54,313) |
| 0.86% (Annually) | 1-Day JPY TONAR (Annually) | 5/9/2052 | JPY | 76,020,029 | 16,907 | — | 16,907 |
| 0.81% (Annually) | 1-Day JPY TONAR (Annually) | 5/30/2052 | JPY | 9,969,500 | 3,198 | — | 3,198 |
| 0.82% (Annually) | 1-Day JPY TONAR (Annually) | 5/30/2052 | JPY | 20,918,500 | 6,415 | — | 6,415 |
| 0.83% (Annually) | 1-Day JPY TONAR (Annually) | 5/30/2052 | JPY | 20,918,500 | 5,950 | — | 5,950 |
| 0.87% (Annually) | 1-Day JPY TONAR (Annually) | 5/30/2052 | JPY | 20,918,500 | 4,387 | — | 4,387 |
| Total | $2,946,297 | $758,197 | $2,188,100 | ||||
| Interest Rate Swap Contracts outstanding at July 31, 2022: Over the Counter | ||||||||
| Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Counterparty | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
| 1.42% (Semi-Annually) | 1-Day CLP CLICP (Semi-Annually) | Bank of America | 4/1/2023 | CLP | 357,254,000 | $33,319 | $— | $33,319 |
| 1-Day CLP CLICP (Semi-Annually) | 1.65% (Semi-Annually) | Bank of America | 5/28/2023 | CLP | 357,254,000 | (33,581) | — | (33,581) |
| 1-Day BRL BZDIO (At Maturity) | 12.03% (At Maturity) | BNP Paribas | 1/2/2025 | BRL | 721,000 | (2,182) | — | (2,182) |
| Total | $(2,444) | $— | $(2,444) | |||||
| Reference Obligation | Fixed Deal Pay Rate | Maturity Date | Counterparty | Notional Amount | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
| Markit iTraxx Europe Main Index Series 37 (Pay Quarterly) | 1.00% | 6/20/2027 | Morgan Stanley | EUR | 270,000 | $(301) | $344 | $(645) |
| Total | $(301) | $344 | $(645) |
| Credit Default Swap Contracts outstanding - Sell Protection as of July 31, 2022: Exchange Traded | ||||||||
| Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Notional Amount(1) | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
| Markit CDX North America Investment Grade Index Series 38 (Pay Quarterly) | 0.80% | 1.00% | 6/20/2027 | USD | 145,565,000 | $1,476,988 | $1,789,631 | $(312,643) |
| Total | $1,476,988 | $1,789,631 | $(312,643) | |||||
| (1) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
| Credit Default Swap Contracts outstanding - Buy Protection at July 31, 2022: Over the Counter | ||||||||
| Reference Obligation | Fixed Deal Pay Rate | Maturity Date | Counterparty | Notional Amount | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
| Federal Republic of Brazil, 4.25%, Due: 01/07/2025 (Pay Quarterly) | 1.00% | 12/20/2024 | Barclays | USD | 336,000 | $4,713 | $4,009 | $704 |
| Credit Default Swap Contracts outstanding - Buy Protection at July 31, 2022: Over the Counter (continued) | ||||||||
| Reference Obligation | Fixed Deal Pay Rate | Maturity Date | Counterparty | Notional Amount | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
| Abbott Laboratories 3.4% 11/30/2023 (Pay Quarterly) | 1.00% | 6/20/2027 | JPMorgan Chase | USD | 129,278 | $(3,628) | $(2,943) | $(685) |
| Federal Republic of Brazil, 4.25%, Due: 01/07/2025 (Pay Quarterly) | 1.00% | 6/20/2027 | Barclays | USD | 686,000 | 49,792 | 39,119 | 10,673 |
| Federal Republic of Brazil, 4.25%, Due: 01/07/2025 (Pay Quarterly) | 1.00% | 6/20/2027 | Bank of America | USD | 203,000 | 14,734 | 12,837 | 1,897 |
| Federal Republic of Brazil, 4.25%, Due: 01/07/2025 (Pay Quarterly) | 1.00% | 6/20/2027 | Goldman Sachs | USD | 173,000 | 12,555 | 14,156 | (1,601) |
| Republic of Chile, 3.24%, Due: 02/06/2028 (Pay Quarterly) | 1.00% | 6/20/2027 | Goldman Sachs | USD | 79,000 | 1,010 | (430) | 1,440 |
| Republic of Colombia, 10.38%, Due: 01/28/2033 (Pay Quarterly) | 1.00% | 6/20/2027 | Goldman Sachs | USD | 93,334 | 6,288 | 4,857 | 1,431 |
| Republic of Indonesia, 3.70%, Due: 01/08/2022 (Pay Quarterly) | 1.00% | 6/20/2027 | Goldman Sachs | USD | 235,000 | 1,412 | 2,693 | (1,281) |
| Republic of Philippines, 10.63%, Due: 03/16/2025 (Pay Quarterly) | 1.00% | 6/20/2027 | Goldman Sachs | USD | 198,269 | 189 | 999 | (810) |
| United Mexican States, 4.15%, Due: 03/28/2027 (Pay Quarterly) | 1.00% | 6/20/2027 | Morgan Stanley | USD | 381,000 | 9,153 | 2,260 | 6,893 |
| Total | $96,218 | $77,557 | $18,661 | |||||
| Inflation Swap Contracts outstanding at July 31, 2022: Exchange Traded | |||||||
| Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
| 3.97% (At Maturity) | 1-Day U.S. Consumer Price Index (At Maturity) | 11/18/2023 | USD | 5,260,000 | $174,396 | $(12,787) | $187,183 |
| 2.95% (At Maturity) | 1-Day U.S. Consumer Price Index (At Maturity) | 10/20/2026 | USD | 1,660,000 | 84,973 | 77,593 | 7,380 |
| 1-Day U.S. Consumer Price Index (At Maturity) | 3.37% (At Maturity) | 11/18/2026 | USD | 5,260,000 | (152,687) | 48,342 | (201,029) |
| 1-Day U.S. Consumer Price Index (At Maturity) | 2.77% (At Maturity) | 10/20/2031 | USD | 1,660,000 | (89,414) | (79,465) | (9,949) |
| Total | $17,268 | $33,683 | $(16,415) | ||||
| Morningstar Total Return Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
| Investments | ||||
| Assets: | ||||
| Asset-Backed Securities | $— | $34,328,849 | $— | $34,328,849 |
| Corporate Bonds | — | 173,761,834 | 126,808* | 173,888,642 |
| Foreign Issuer Bonds | — | 56,941,567 | — | 56,941,567 |
| Mortgage-Backed Securities | — | 254,306,893 | — | 254,306,893 |
| Municipal Bonds | — | 2,360,707 | — | 2,360,707 |
| Term Loans | — | 1,137,376 | — | 1,137,376 |
| U.S. Government Obligations | — | 120,365,433 | — | 120,365,433 |
| Investment Companies | 169,662,975 | — | — | 169,662,975 |
| Short-Term Investments | 39,680,801 | 7,200,067 | — | 46,880,868 |
| Purchased Options | 29,735 | 73,629 | — | 103,364 |
| Total Assets – Investments at value | $209,373,511 | $650,476,355 | $126,808 | $859,976,674 |
| Liabilities: | ||||
| Corporate Bonds | $— | $(63,851) | $— | $(63,851) |
| Mortgage-Backed Securities | — | (25,529,053) | — | (25,529,053) |
| U.S. Government Obligations | — | (5,134,124) | — | (5,134,124) |
| Total Liabilities – Investments at value | $— | $(30,727,028) | $— | $(30,727,028) |
| Net Investments | $209,373,511 | $619,749,327 | $126,808 | $829,249,646 |
| *Includes securities determined to have effectively no value as of July 31, 2022. |
| Morningstar Total Return Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
| Derivative Financial Instruments | ||||
| Assets: | ||||
| Futures Contracts | $2,870,984 | $— | $— | $2,870,984 |
| Forward Foreign Currency Exchange Contracts | — | 329,666 | — | 329,666 |
| Swap Agreements | — | 6,025,868 | — | 6,025,868 |
| Total Assets - Derivative Financial Instruments | $2,870,984 | $6,355,534 | $— | $9,226,518 |
| Liabilities: | ||||
| Futures Contracts | $(1,401,886) | $— | $— | $(1,401,886) |
| Forward Foreign Currency Exchange Contracts | — | (265,063) | — | (265,063) |
| Written Options | (1,008,474) | (844,061) | — | (1,852,535) |
| Swap Agreements | — | (1,491,842) | — | (1,491,842) |
| Total Liabilities - Derivative Financial Instruments | $(2,410,360) | $(2,600,966) | $— | $(5,011,326) |
| Net Derivative Financial Instruments | $460,624 | $3,754,568 | $— | $4,215,192 |
| Par/Number of Shares | Value | ||
| Municipal Bonds (Continued) | |||
| Wisconsin State Health & Educational Facilities Authority Variable Revenue Refunding Bonds, Advocate Aurora Health Credit Group, (SIFMA Municipal Swap Index Yield + 0.55%), 1.88%, 7/26/23(a)(c) | $250,000 | $249,372 | |
| York County EDA PCR Bonds, Series A, Electric & Power, 1.90%, 6/01/23(a)(b)(c) | 1,000,000 | 998,687 | |
| 28,969,774 | |||
| Total Short-Term Investments (Cost $37,220,161) | 37,176,177 | ||
| Total Investments – 99.5% (Cost $371,325,727) | 356,808,846 | ||
| Other Assets less Liabilities – 0.5% | 1,963,229 | ||
| NET ASSETS – 100.0% | $358,772,075 | ||
| Percentages shown are based on Net Assets. |
| (a) | Maturity date represents the puttable date. | ||
| (b) | These securities are remarketed by an agent, and the interest rate is determined by general market conditions and supply and demand. | ||
| (c) | Variable rate security. Rate as of July 31, 2022 is disclosed. | ||
| (d) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. | ||
| (e) | Maturity date represents the prerefunded date. | ||
| (f) | Zero coupon bond. | ||
| (g) | When-Issued Security. Coupon rate was not yet in effect at July 31, 2022. | ||
| (h) | Discount rate at the time of purchase. | ||
| (i) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. | ||
| (j) | 7-day current yield as of July 31, 2022 is disclosed. | ||
| Abbreviations: | |
| AGM | Assured Guarantee Municipal Corporation |
| AMBAC | American Municipal Bond Assurance Corporation |
| AMT | Alternative Minimum Tax |
| BAM | Build America Mutual |
| BANS | Bond Anticipation Notes |
| CABS | Capital Appreciation Bonds |
| COPS | Certificates of Participation |
| EDA | Economic Development Administration |
| ETF | Exchange-Traded Fund |
| FHA | Federal Housing Administration |
| FHLMC | Federal Home Loan Mortgage Corporation |
| FNMA | Federal National Mortgage Association |
| GO | Government Obligation |
| Gtd | Guaranteed |
| HFA | Housing Finance Authority |
| IBC | Insured Bond Certificates |
| IDA | Industrial Development Association |
| LLC | Limited Liability Company |
| LOC | Letter of Credit |
| MFH | Multifamily Housing |
| MTA | Metropolitan Transportation Authority |
| NATL | National Interstate Insurance |
| PCR | Pollution Control Revenue |
| PFA | Public Finance Authority |
| PSF | Permanent School Fund |
| SFM | Single Family Mortgage |
| SIFMA | Securities Industry and Financial Markets Association |
| SOFR | United States Secured Overnight Financing Rate |
| SonyMA | State of New York Mortgage Agency |
| TCRS | Transferable Custodial Receipts |
| TRB | Tax Revenue Bonds |
| Morningstar Municipal Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
| Investments | ||||
| Municipal Bonds | $— | $319,176,132 | $— | $319,176,132 |
| Investment Companies | 456,537 | — | — | 456,537 |
| Short-Term Investments | 8,206,403 | 28,969,774 | — | 37,176,177 |
| Total Investments | $8,662,940 | $348,145,906 | $— | $356,808,846 |
| Percentages shown are based on Net Assets. |
| (a) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. | ||
| (b) | Restricted security that has been deemed illiquid. At July 31, 2022, the value of these restricted illiquid securities amounted to $5,122,440 or 3.65% of net assets. Additional information on these restricted illiquid securities is as follows: | ||
| Security | Acquisition Date | Acquisition Cost | |
| ABPCI Direct Lending Fund ABS I Ltd., 4.93%, 12/20/30 | 12/16/20 | $ 891,000 | |
| ABPCI Direct Lending Fund ABS II LLC, 4.63%, 3/1/32 | 2/15/22 | 224,000 | |
| ABPCI Direct Lending Fund ABS II LLC, 8.24%, 3/1/32 | 2/15/22 | 935,000 | |
| Monroe Capital ABS Funding Ltd., 2.82%, 4/22/31 | 2/18/21-3/25/21 | 402,757 | |
| Monroe Capital ABS Funding Ltd., 3.91%, 4/22/31 | 2/18/21 | 221,000 | |
| VCP CLO II Ltd., 10.92%, 4/15/31 | 2/5/21 | 1,085,430 | |
| VCP CLO II Ltd., 4.18%, 4/15/31 | 3/7/22 | 813,426 | |
| VCP RRL ABS I Ltd., 2.15%, 10/20/31 | 7/28/21 | 345,627 | |
| VCP RRL ABS I Ltd., 2.85%, 10/20/31 | 7/28/21 | 308,994 |
| (c) | Variable rate security. Rate as of July 31, 2022 is disclosed. |
| (d) | Step coupon bond. Rate as of July 31, 2022 is disclosed. |
| (e) | Investment is valued using significant unobservable inputs (Level 3). |
| (f) | Amount rounds to less than 0.05%. |
| (g) | Security either partially or fully on loan. As of July 31, 2022, the total value of securities on loan is $9,838,209. |
| (h) | Zero coupon bond. |
| (i) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of July 31, 2022 is disclosed. |
| (j) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. |
| (k) | Position is unsettled. Contract rate was not determined at July 31, 2022 and does not take effect until settlement date. |
| (l) | 7-day current yield as of July 31, 2022 is disclosed. |
| (m) | Security purchased with the cash proceeds from securities loaned. As of July 31, 2022, total cash collateral has a value of $9,897,756 and total non-cash collateral has a value of $128,824. |
| (n) | Discount rate at the time of purchase. |
| * | Non-Income Producing Security |
| Abbreviations: | |
| 1M | 1 Month |
| 3M | 3 Month |
| ABS | Asset-Backed Security |
| BDC | Business Development Company |
| CLO | Collateralized Loan Obligation |
| ETF | Exchange-Traded Fund |
| IO | Interest Only |
| L.P. | Limited Partnership |
| LIBOR | London Interbank Offered Rate |
| LLC | Limited Liability Company |
| PLC | Public Limited Company |
| SOFR | United States Secured Overnight Financing Rate |
| Strip | Separate Trading of Registered Interest and Principal |
| USD | United States Dollar |
| Morningstar Defensive Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
| Investments | ||||
| Assets: | ||||
| Asset-Backed Securities | $— | $49,764,948 | $— | $49,764,948 |
| Common Stocks | 597,893 | — | 394,517 | 992,410 |
| Corporate Bonds | — | 3,475,547 | — | 3,475,547 |
| Foreign Issuer Bonds | — | 656,458 | — | 656,458 |
| Mortgage-Backed Securities | — | 4,586,039 | — | 4,586,039 |
| Term Loans | — | 4,878,552 | 634,497 | 5,513,049 |
| Warrants | — | — | 4,770 | 4,770 |
| Investment Companies | 66,524,461 | — | — | 66,524,461 |
| Short-Term Investments | 17,412,241 | 238,962 | — | 17,651,203 |
| Total Investments | $84,534,595 | $63,600,506 | $1,033,784 | $149,168,885 |
| Percentages shown are based on Net Assets. |
| (a) | Par value is in USD unless otherwise indicated. | ||
| (b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. | ||
| (c) | Variable rate security. Rate as of July 31, 2022 is disclosed. | ||
| (d) | Amount rounds to less than 0.05%. | ||
| (e) | Zero coupon bond. | ||
| (f) | Restricted security that has been deemed illiquid. At July 31, 2022, the value of these restricted illiquid securities amounted to $341,210 or 0.20% of net assets. Additional information on these restricted illiquid securities is as follows: | ||
| Security | Acquisition Date | Acquisition Cost | |
| 2020 Cash Mandatory Exchangeable Trust, 0.00% | 5/6/21 | $305,140 | |
| Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.00%, 6/30/28 | 6/16/20-1/12/21 | 75,900 | |
| NPC Ukrenergo, 6.88%, 11/9/26 | 11/8/21 | 203,750 |
| (g) | Perpetual bond. Maturity date represents next call date. |
| (h) | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate as of July 31, 2022 is disclosed. |
| (i) | When-Issued Security. Coupon rate was not yet in effect at July 31, 2022. |
| (j) | Distributions from this security are made via payments in-kind (PIK) unless otherwise noted in the description. |
| (k) | Step coupon bond. Rate as of July 31, 2022 is disclosed. |
| (l) | Issuer has defaulted on terms of debt obligation. |
| (m) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of July 31, 2022 is disclosed. |
| (n) | Investment is valued using significant unobservable inputs (Level 3). |
| (o) | 7-day current yield as of July 31, 2022 is disclosed. |
| (p) | Includes appreciation/(depreciation) on forward foreign currency exchange contracts, futures and swap contracts. |
| * | Non-Income Producing Security |
| Abbreviations: | |
| 1Y | 1 Year |
| 3M | 3 Month |
| 5Y | 5 Year |
| 10Y | 10 Year |
| BRL | Brazilian Real |
| CLO | Collateralized Loan Obligation |
| CLP | Chilean Peso |
| CMS | Constant Maturity Swap |
| CMT | Constant Maturity |
| CNH | Chinese Yuan Renminbi |
| COP | Colombian Peso |
| CP | Commercial Paper |
| CVR | Contingent Value Rights |
| CZK | Czech Republic Koruna |
| EUR | Euro |
| HUF | Hungarian Forint |
| IDR | Indonesian Rupiah |
| JSC | Joint Stock Company |
| L.P. | Limited Partnership |
| LIBOR | London Interbank Offered Rate |
| LLC | Limited Liability Company |
| MXN | Mexican Peso |
| MYR | Malaysian Ringgit |
| PEN | Peruvian Nuevo Sole |
| PLC | Public Limited Company |
| PLN | Polish Zloty |
| RON | Romania New Leu |
| S&P | Standards & Poor's |
| SOFR | United States Secured Overnight Financing Rate |
| THB | Thai Baht |
| USD | United States Dollar |
| ZAR | South African Rand |
| Futures Contracts outstanding at July 31, 2022: Exchange Traded | |||||
| Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
| Long Contracts | |||||
| Ultra U.S. Treasury Bond | 3 | 9/21/2022 | USD | 474,938 | $(3,172) |
| 2-Year U.S. Treasury Note | 12 | 10/05/2022 | USD | 2,525,531 | (8,328) |
| 5-Year U.S. Treasury Note | 18 | 10/05/2022 | USD | 2,047,078 | 12,665 |
| Total Long Contracts | $1,165 | ||||
| Short Contracts | |||||
| 10-Year U.S. Treasury Note | (14) | 9/21/2022 | USD | 1,695,969 | $(16,610) |
| U.S. Treasury Long Bond | (9) | 9/21/2022 | USD | 1,296,000 | (28,080) |
| Ultra 10-Year U.S. Treasury Note | (6) | 9/21/2022 | USD | 787,500 | (10,000) |
| Total Short Contracts | $(54,690) | ||||
| $(53,525) | |||||
| Forward Foreign Currency Exchange Contracts outstanding at July 31, 2022: | ||||||
| Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
| 09/27/22 | U.S. Dollars | 487,300 | Czech Republic Koruna | 11,619,913 | Goldman Sachs | $8,571 |
| 10/03/22 | U.S. Dollars | 226,702 | Euro | 214,000 | Goldman Sachs | 6,966 |
| 09/27/22 | Czech Republic Koruna | 5,800,000 | U.S. Dollars | 235,269 | Citibank | 3,685 |
| 11/01/22 | Colombian Pesos | 629,014,320 | U.S. Dollars | 141,900 | Bank of America | 2,299 |
| 09/27/22 | Czech Republic Koruna | 5,819,913 | U.S. Dollars | 237,877 | Barclays | 1,898 |
| 01/04/23 | Hungarian Forints | 73,904,705 | U.S. Dollars | 178,144 | Citibank | 1,454 |
| 01/04/23 | Hungarian Forints | 59,250,516 | U.S. Dollars | 142,601 | BNP | 1,386 |
| 08/22/22 | U.S. Dollars | 78,500 | Romanian Leu | 374,076 | Baring | 1,220 |
| 09/09/22 | U.S. Dollars | 91,962 | Czech Republic Koruna | 2,207,727 | BNP | 786 |
| 08/22/22 | Chinese Offshore Yuan | 1,975,672 | U.S. Dollars | 292,000 | Bank of America | 754 |
| 01/04/23 | Hungarian Forints | 41,771,684 | U.S. Dollars | 100,898 | JPMorgan Chase | 613 |
| 08/22/22 | U.S. Dollars | 64,447 | Romanian Leu | 311,667 | JPMorgan Chase | 60 |
| 08/22/22 | U.S. Dollars | 33,319 | Romanian Leu | 161,113 | Barclays | 35 |
| Total Unrealized Appreciation | $29,727 | |||||
| Forward Foreign Currency Exchange Contracts outstanding at July 31, 2022: (continued) | ||||||
| Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
| 08/22/22 | U.S. Dollars | 63,700 | Chinese Offshore Yuan | 430,156 | BNP | $(40) |
| 08/22/22 | Chinese Offshore Yuan | 2,171,852 | U.S. Dollars | 323,000 | Morgan Stanley | (1,176) |
| 09/27/22 | U.S. Dollars | 170,335 | Polish Zloty | 806,963 | Morgan Stanley | (1,858) |
| 08/22/22 | Romanian Leu | 846,857 | U.S. Dollars | 177,000 | JPMorgan Chase | (2,049) |
| 09/09/22 | Czech Republic Koruna | 2,207,727 | U.S. Dollars | 94,281 | JPMorgan Chase | (3,105) |
| 09/27/22 | Polish Zloty | 806,963 | U.S. Dollars | 178,000 | Goldman Sachs | (5,807) |
| 10/17/22 | Thai Baht | 17,849,373 | U.S. Dollars | 494,579 | JPMorgan Chase | (6,998) |
| Total Unrealized Depreciation | $(21,033) | |||||
| Net Unrealized Appreciation | $8,694 | |||||
| Reference Obligation | Fixed Deal Pay Rate | Maturity Date | Counterparty | Notional Amount | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
| Markit CDX North America Investment Grade Index Series 38 (Pay Quarterly) | 1.00% | 6/20/2027 | Morgan Stanley | USD | 2,269,000 | $(25,538) | $(22,621) | $(2,917) |
| Total | $(25,538) | $(22,621) | $(2,917) |
| Credit Default Swap Contracts outstanding - Sell Protection at July 31, 2022: Over the Counter | |||||||||
| Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Counterparty | Notional Amount(1) | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |
| Federal Republic of Brazil, 4.25%, Due: 01/07/2025 (Pay Quarterly) | 0.80% | 1.00% | 06/20/2027 | Morgan Stanley | USD | 190,000 | $(13,785) | $(15,618) | $1,833 |
| Total | $(13,785) | $(15,618) | $1,833 | ||||||
| (1) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
| Morningstar Multisector Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
| Investments | ||||
| Assets: | ||||
| Asset-Backed Securities | $— | $429,912 | $— | $429,912 |
| Common Stocks | 1,279,146 | — | — | 1,279,146 |
| Convertible Bonds | — | 2,284,502 | — | 2,284,502 |
| Convertible Preferred Stocks | 86,747 | 299,710 | — | 386,457 |
| Corporate Bonds | — | 66,669,547 | — | 66,669,547 |
| Foreign Government Inflation-Linked Bonds | — | 240,663 | — | 240,663 |
| Foreign Issuer Bonds | — | 85,037,247 | — | 85,037,247 |
| Mortgage-Backed Securities | — | 1,423,470 | — | 1,423,470 |
| U.S. Government Obligations | — | 2,343,840 | — | 2,343,840 |
| Warrants | — | — | 82 | 82 |
| Short-Term Investments | 7,267,685 | 1,655,191 | — | 8,922,876 |
| Total Investments | $8,633,578 | $160,384,082 | $82 | $169,017,742 |
| Morningstar Multisector Bond Fund | Level 1 | Level 2 | Level 3 | Totals |
| Derivative Financial Instruments | ||||
| Assets: | ||||
| Futures Contracts | $12,665 | $— | $— | $12,665 |
| Forward Foreign Currency Exchange Contracts | — | 29,727 | — | 29,727 |
| Total Assets - Derivative Financial Instruments | $12,665 | $29,727 | $— | $42,392 |
| Liabilities: | ||||
| Futures Contracts | $(66,190) | $— | $— | $(66,190) |
| Forward Foreign Currency Exchange Contracts | — | (21,033) | — | (21,033) |
| Swap Agreements | — | (39,323) | — | (39,323) |
| Total Liabilities - Derivative Financial Instruments | $(66,190) | $(60,356) | $— | $(126,546) |
| Net Derivative Financial Instruments | $(53,525) | $(30,629) | $— | $(84,154) |
| Percentages shown are based on Net Assets. |
| All securities are United States companies, unless noted otherwise in parentheses. | |||
| (a) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. | ||
| (b) | Security sold outside United States without registration under the Securities Act of 1933. | ||
| (c) | Amount rounds to less than 0.05%. | ||
| (d) | Security either partially or fully on loan. As of July 31, 2022, the total value of securities on loan is $1,942,583. | ||
| (e) | Investment is valued using significant unobservable inputs (Level 3). | ||
| (f) | 7-day current yield as of July 31, 2022 is disclosed. | ||
| (g) | Security purchased with the cash proceeds from securities loaned. As of July 31, 2022, total cash collateral has a value of $1,771,552 and total non-cash collateral has a value of $253,963. | ||
| * | Non-Income Producing Security |
| Abbreviations: | |
| ADR | American Depositary Receipt |
| CVA | Credit Valuation Adjustment |
| DAX | Deutscher Aktienindex |
| ETF | Exchange-Traded Fund |
| EUR | Euro |
| FTSE | Financial Times Stock Exchange |
| GDR | Global Depositary Receipt |
| MSCI | Morgan Stanley Capital International |
| PJSC | Public Joint Stock Company |
| PLC | Public Limited Company |
| UCITS | Undertakings for Collective Investment in Transferable Securities |
| Morningstar Global Opportunistic Equity Fund | Level 1 | Level 2 | Level 3 | Totals |
| Investments | ||||
| Assets: | ||||
| Common Stocks | $44,365,850 | $61,959,634 | $—* | $106,325,484 |
| Investment Companies | 82,134,720 | — | — | 82,134,720 |
| Short-Term Investments | 13,076,115 | — | — | 13,076,115 |
| Total Investments | $139,576,685 | $61,959,634 | $— | $201,536,319 |
| *Includes securities determined to have effectively no value as of July 31, 2022. |
| Number of Shares | Value | ||
| iShares Russell 2000 Growth ETF | (554) | $(127,204) | |
| Total Investment Companies (Proceeds $291,783) | (310,001) | ||
| Total Short Positions – (11.4)% (Proceeds $42,445,169) | (40,931,590) | ||
| Total Written Options – (0.0)%(c) (Premiums Received $224,935) | (79,303) | ||
| Other Assets less Liabilities – 14.7%(p) | 52,851,947 | ||
| NET ASSETS – 100.0% | $359,301,165 | ||
| Percentages shown are based on Net Assets. | |||
| All securities are United States companies, unless noted otherwise in parentheses. | |||
| (a) | Par value is in USD unless otherwise indicated. |
| (b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. |
| (c) | Amount rounds to less than 0.05%. |
| (d) | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap agreements. |
| (e) | Security represents underlying investment on open options contracts. |
| (f) | Zero coupon bond. |
| (g) | Restricted security that has been deemed illiquid. At July 31, 2022, the value of these restricted illiquid securities amounted to $75,155 or 0.02% of net assets. Additional information on these restricted illiquid securities is as follows: |
| Security | Acquisition Date | Acquisition Cost | |
| UpHealth, Inc., 6.25%, 6/15/26 | 5/25/21 | $187,000 |
| (h) | Distributions from this security are made via payments in-kind (PIK) unless otherwise noted in the description. |
| (i) | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate as of July 31, 2022 is disclosed. |
| (j) | When-Issued Security. Coupon rate was not yet in effect at July 31, 2022. |
| (k) | Variable rate security. Rate as of July 31, 2022 is disclosed. |
| (l) | Investment is valued using significant unobservable inputs (Level 3). |
| (m) | 7-day current yield as of July 31, 2022 is disclosed. |
| (n) | Discount rate at the time of purchase. |
| (o) | Securities sold short are not owned by the Fund and cannot produce income. |
| (p) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
| * | Non-Income Producing Security |
| Abbreviations: | |
| 1M | 1 Month |
| 1Y | 1 Year |
| 3M | 3 Month |
| 5Y | 5 Year |
| ADR | American Depositary Receipt |
| BDC | Business Development Company |
| CMT | Constant Maturity |
| ETF | Exchange-Traded Fund |
| FHLMC | Federal Home Loan Mortgage Corporation |
| FNMA | Federal National Mortgage Association |
| Freddie Mac | Federal Home Loan Mortgage Corporation |
| L.P. | Limited Partnership |
| LIBOR | London Interbank Offered Rate |
| LLC | Limited Liability Company |
| MSCI | Morgan Stanley Capital International |
| PLC | Public Limited Company |
| REMIC | Real Estate Mortgage Investment Conduit |
| S&P | Standards & Poor's |
| SOFR | United States Secured Overnight Financing Rate |
| STACR | Structured Agency Credit Risk |
| USD | United States Dollar |
| Futures Contracts outstanding at July 31, 2022: Exchange Traded | |||||
| Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
| Long Contracts | |||||
| Euro-Bund | 32 | 9/08/2022 | EUR | 5,155,711 | $243,026 |
| Ultra 10-Year U.S. Treasury Note | 48 | 9/21/2022 | USD | 6,300,000 | 84,789 |
| Ultra U.S. Treasury Bond | 1 | 9/21/2022 | USD | 158,313 | 3,117 |
| Total Long Contracts | $330,932 | ||||
| Short Contracts | |||||
| Euro-BTP Italian Government Bond | (5) | 9/08/2022 | EUR | 645,578 | $(10,916) |
| Euro-OAT | (23) | 9/08/2022 | EUR | 3,443,092 | (113,558) |
| 10-Year Australian Treasury Bond | (55) | 9/15/2022 | AUD | 4,802,319 | (156,325) |
| 10-Year U.S. Treasury Note | (41) | 9/21/2022 | USD | 4,966,766 | (130,226) |
| U.S. Treasury Long Bond | (1) | 9/21/2022 | USD | 144,000 | (2,691) |
| 10-Year Canadian Government Bond | (13) | 9/29/2022 | CAD | 1,324,314 | (4,459) |
| Long Gilt | (21) | 9/30/2022 | GBP | 3,022,312 | (103,188) |
| 2-Year U.S. Treasury Note | (28) | 10/05/2022 | USD | 5,892,906 | (20,187) |
| 5-Year U.S. Treasury Note | (150) | 10/05/2022 | USD | 17,058,984 | (205,607) |
| Total Short Contracts | $(747,157) | ||||
| $(416,225) | |||||
| Forward Foreign Currency Exchange Contracts outstanding at July 31, 2022: | ||||||
| Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
| 09/15/22 | U.S. Dollars | 4,148 | Euro | 3,948 | Morgan Stanley | $100,438 |
| 09/15/22 | British Pounds | 722 | U.S. Dollars | 866 | Morgan Stanley | 13,165 |
| 09/15/22 | Swedish Krona | 3,158 | U.S. Dollars | 308 | Morgan Stanley | 4,389 |
| 09/15/22 | Australian Dollars | 310 | U.S. Dollars | 213 | JPMorgan Chase | 3,600 |
| 09/15/22 | U.S. Dollars | 3,621 | British Pounds | 2,970 | Morgan Stanley | 1,113 |
| 09/15/22 | U.S. Dollars | 209 | Swedish Krona | 2,113 | Morgan Stanley | 723 |
| 09/15/22 | U.S. Dollars | 62 | British Pounds | 50 | JPMorgan Chase | 666 |
| 09/15/22 | Euro | 311 | U.S. Dollars | 319 | Morgan Stanley | 639 |
| 09/15/22 | U.S. Dollars | 49 | British Pounds | 40 | Deutsche Bank | 429 |
| 09/15/22 | U.S. Dollars | 37 | British Pounds | 30 | Barclays | 426 |
| 09/15/22 | U.S. Dollars | 10 | South African Rand | 170 | Morgan Stanley | 284 |
| 09/15/22 | U.S. Dollars | 21 | Euro | 20 | Deutsche Bank | 186 |
| 09/15/22 | New Zealand Dollars | 15 | U.S. Dollars | 8 | Morgan Stanley | 108 |
| 09/15/22 | Australian Dollars | 7 | U.S. Dollars | 5 | Morgan Stanley | 74 |
| 09/15/22 | U.S. Dollars | 68 | Hong Kong Dollars | 530 | Citibank | 64 |
| 09/15/22 | U.S. Dollars | 9 | Mexican Peso | 180 | JPMorgan Chase | 58 |
| 09/15/22 | U.S. Dollars | 46 | Hong Kong Dollars | 360 | Morgan Stanley | 38 |
| 09/15/22 | British Pounds | 40 | U.S. Dollars | 49 | JPMorgan Chase | 29 |
| 09/15/22 | British Pounds | 26 | U.S. Dollars | 31 | Citibank | 26 |
| 09/15/22 | Canadian Dollars | 37 | U.S. Dollars | 29 | Citibank | 1 |
| Total Unrealized Appreciation | $126,456 | |||||
| 09/15/22 | New Zealand Dollars | 4 | U.S. Dollars | 2 | Morgan Stanley | $(3) |
| 09/15/22 | U.S. Dollars | 1 | New Zealand Dollars | 2 | Citibank | (31) |
| 09/15/22 | U.S. Dollars | 9 | Swedish Krona | 90 | Bank of America | (104) |
| 09/15/22 | U.S. Dollars | 56 | Australian Dollars | 80 | Bank of America | (171) |
| 09/15/22 | British Pounds | 239 | U.S. Dollars | 292 | JPMorgan Chase | (195) |
| 09/15/22 | U.S. Dollars | 77 | New Zealand Dollars | 123 | Morgan Stanley | (253) |
| 09/15/22 | U.S. Dollars | 47 | Canadian Dollars | 60 | Deutsche Bank | (519) |
| 09/15/22 | Swedish Krona | 555 | U.S. Dollars | 55 | Morgan Stanley | (550) |
| 09/15/22 | U.S. Dollars | 16 | South African Rand | 270 | Morgan Stanley | (572) |
| 09/15/22 | U.S. Dollars | 243 | British Pounds | 200 | Bank of America | (996) |
| 09/15/22 | Euro | 60 | U.S. Dollars | 63 | JPMorgan Chase | (1,933) |
| 09/15/22 | U.S. Dollars | 187 | Euro | 184 | Morgan Stanley | (2,306) |
| 09/15/22 | U.S. Dollars | 363 | British Pounds | 300 | Morgan Stanley | (2,716) |
| 09/15/22 | U.S. Dollars | 630 | Australian Dollars | 905 | Morgan Stanley | (3,061) |
| 09/15/22 | U.S. Dollars | 421 | Canadian Dollars | 544 | Morgan Stanley | (3,286) |
| Forward Foreign Currency Exchange Contracts outstanding at July 31, 2022: (continued) | ||||||
| Settlement Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) |
| 09/15/22 | U.S. Dollars | 1,466 | Swedish Krona | 14,922 | Morgan Stanley | $(4,350) |
| 09/15/22 | Euro | 779 | U.S. Dollars | 820 | Morgan Stanley | (21,607) |
| Total Unrealized Depreciation | $(42,653) | |||||
| Net Unrealized Appreciation | $83,803 | |||||
| Written Put Option Contracts outstanding at July 31, 2022: Exchange Traded | ||||||
| Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
| iShares iBoxx $ Investment Grade Corporate Bond ETF | 1,135 | USD | 13,008,235 | 71.00 | 10/21/2022 | $(56,750) |
| iShares Preferred & Income Securities ETF | 1,187 | USD | 4,127,199 | 29.00 | 10/21/2022 | (22,553) |
| Total Written Put Options Contracts (Premiums Received $224,935) | $(79,303) | |||||
| Long Contracts for Difference at July 31, 2022: Over the Counter | |||||||
| Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
| Albertsons Companies, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 21,175 | Monthly | $568,524 | $6,041 |
| Alcoa Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 7,892 | Monthly | 401,367 | 46,824 |
| Allstate Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 4,795 | Monthly | 560,616 | (21,209) |
| Altice USA, Inc., Class A | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 47,590 | Monthly | 500,086 | (50,531) |
| Altria Group, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 4,360 | Monthly | 191,080 | 10,053 |
| Altria Group, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 9,680 | Monthly | 424,364 | 17,901 |
| American Electric Power Co., Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 6,532 | Monthly | 643,486 | 21,509 |
| American Express Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,289 | Monthly | 506,188 | 39,939 |
| American Express Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 2,085 | Monthly | 320,985 | 23,914 |
| American International Group, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 9,421 | Monthly | 487,654 | 4,074 |
| American International Group, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 9,219 | Monthly | 477,039 | 15,352 |
| AmerisourceBergen Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 206 | Monthly | 30,047 | 750 |
| Amgen, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,318 | Monthly | 573,161 | (2,816) |
| Apache Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 3,747 | Monthly | 139,265 | 12,779 |
| Apache Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 17,372 | Monthly | 645,442 | 89,712 |
| Applied Materials, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 4,792 | Monthly | 507,785 | 20,582 |
| Archer-Daniels-Midland Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 6,207 | Monthly | 513,933 | 58,712 |
| Arrow Electronics, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,520 | Monthly | 194,733 | 21,955 |
| AT&T, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 7,643 | Monthly | 143,510 | (900) |
| Long Contracts for Difference at July 31, 2022: Over the Counter (continued) | |||||||
| Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
| Atmos Energy Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 540 | Monthly | $65,519 | $4,244 |
| Autodesk, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 862 | Monthly | 186,393 | 34,500 |
| AutoNation, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,742 | Monthly | 325,311 | 13,271 |
| AutoZone, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 180 | Monthly | 384,678 | (1,681) |
| AutoZone, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 87 | Monthly | 185,858 | (6,850) |
| Barrick Gold Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 38,134 | Monthly | 599,731 | (48,812) |
| Baxter International, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 9,555 | Monthly | 560,409 | (67,141) |
| Baxter International, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 7,718 | Monthly | 452,512 | (44,116) |
| Berkshire Hathaway, Inc., Class B | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 2,098 | Monthly | 630,570 | 30,689 |
| Best Buy Co., Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 3,091 | Monthly | 238,534 | 1,145 |
| Biogen, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,919 | Monthly | 412,494 | (3,948) |
| Block, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 3,943 | Monthly | 299,746 | 39,587 |
| Booking Holdings, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 208 | Monthly | 402,468 | 45,012 |
| BorgWarner, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 2,414 | Monthly | 92,802 | 11,571 |
| Boston Properties, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,263 | Monthly | 479,391 | 10,514 |
| Boyd Gaming Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 10,027 | Monthly | 556,531 | 7,431 |
| Boyd Gaming Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 8,106 | Monthly | 449,633 | 47,413 |
| Bristol-Myers Squibb Co. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 2,256 | Monthly | 166,423 | 1,848 |
| Bristol-Myers Squibb Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,663 | Monthly | 417,464 | (9,413) |
| Bristol-Myers Squibb Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 314 | Monthly | 23,167 | (196) |
| Cable One, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 257 | Monthly | 354,012 | 115 |
| Caesars Entertainment, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 5,791 | Monthly | 264,506 | 32,121 |
| Callon Petroleum Co. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 4,687 | Monthly | 215,761 | 26,594 |
| Camden Property Trust REIT | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,480 | Monthly | 208,731 | 13,253 |
| Campbell Soup | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 8,023 | Monthly | 395,758 | 5,316 |
| Cardinal Health, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 4,523 | Monthly | 269,192 | 29,835 |
| Cardinal Health, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 6,117 | Monthly | 364,162 | 26,442 |
| Caterpillar, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 251 | Monthly | 49,760 | 2,241 |
| Cboe Global Markets, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 1,532 | Monthly | 188,987 | (567) |
| Celanese Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 3,130 | Monthly | 367,750 | 12,996 |
| CF Industries Holdings, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 221 | Monthly | 21,308 | 2,565 |
| Charles River Laboratories International, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,234 | Monthly | 308,931 | 23,359 |
| Chevron Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 3,328 | Monthly | 544,833 | 86,734 |
| Chubb Ltd. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 2,535 | Monthly | 478,134 | 11,364 |
| Chubb Ltd. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,080 | Monthly | 580,521 | (14,134) |
| Church & Dwight Co., Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 5,099 | Monthly | 448,488 | (31,124) |
| Cisco Systems, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 13,252 | Monthly | 601,332 | 30,568 |
| CME Group, Inc., Class A | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 2,382 | Monthly | 475,089 | (11,982) |
| CNX Resources Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 5,184 | Monthly | 89,514 | (5,198) |
| ConocoPhillips | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 6,813 | Monthly | 663,702 | 63,272 |
| Coterra Energy, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 16,298 | Monthly | 498,487 | 46,869 |
| CSX Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 15,977 | Monthly | 516,155 | 52,982 |
| CSX Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 19,778 | Monthly | 639,140 | 68,347 |
| CubeSmart | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 524 | Monthly | 24,017 | 1,632 |
| Long Contracts for Difference at July 31, 2022: Over the Counter (continued) | |||||||
| Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
| CVS Health Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 7,284 | Monthly | $696,370 | $10,078 |
| CVS Health Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 2,085 | Monthly | 199,394 | 548 |
| Darling Ingredients, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 2,235 | Monthly | 154,841 | 2,982 |
| Dell Technologies, Inc., Class C | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 4,923 | Monthly | 221,799 | 8,436 |
| Devon Energy Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 7,717 | Monthly | 484,812 | 78,049 |
| Dow, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 20,661 | Monthly | 1,098,890 | 70,884 |
| DuPont de Nemours, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 5,774 | Monthly | 353,493 | 22,874 |
| DXC Technology | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 7,071 | Monthly | 223,411 | 4,210 |
| DXC Technology | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 23,737 | Monthly | 749,733 | 67,531 |
| Ebay, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 8,912 | Monthly | 433,329 | 17,317 |
| Elastic N.V. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 5,728 | Monthly | 457,546 | 20,041 |
| EOG Resources, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 214 | Monthly | 23,801 | 898 |
| Equitable Holdings, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 8,557 | Monthly | 243,092 | 20,867 |
| Equity Residential | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 2,605 | Monthly | 204,166 | 13,194 |
| Exelon Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,284 | Monthly | 245,457 | 11,429 |
| Exelon Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 7,879 | Monthly | 366,122 | 17,634 |
| Expedia Group, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 8,818 | Monthly | 935,008 | 58,675 |
| Fair Isaac Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,051 | Monthly | 485,371 | 35,228 |
| Federal Realty Investment Trust | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,485 | Monthly | 367,693 | 29,927 |
| FedEx Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 2,513 | Monthly | 585,671 | 14,466 |
| Flex Ltd. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,017 | Monthly | 17,097 | 2,371 |
| Fortive Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 6,963 | Monthly | 448,577 | 66,308 |
| Fox Corp., Class A | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 5,367 | Monthly | 177,674 | (11,030) |
| Freeport-McMoRan, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 18,426 | Monthly | 581,095 | 102,919 |
| Gartner, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 1,850 | Monthly | 490,918 | 45,641 |
| General Dynamics Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 42 | Monthly | 9,513 | 226 |
| General Electric Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 5,213 | Monthly | 385,332 | 57,643 |
| General Motors Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 18,056 | Monthly | 654,606 | 61,105 |
| Gilead Sciences, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 7,432 | Monthly | 443,996 | (7,870) |
| GoDaddy, Inc., Class A | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 3,040 | Monthly | 225,474 | 453 |
| Goodyear Tire & Rubber (The) Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,995 | Monthly | 24,488 | 2,463 |
| H&R Block, Inc. | U.S. Fed Funds | 2/8/2023 | JPMorgan Chase | 1,188 | Monthly | 47,473 | 71 |
| H&R Block, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 8,233 | Monthly | 328,856 | 19,860 |
| Halliburton Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 22,359 | Monthly | 654,832 | 29,598 |
| Hanesbrands, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 16,660 | Monthly | 186,231 | (2,860) |
| Harley-Davidson, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 3,265 | Monthly | 123,420 | 10,418 |
| Hartford Financial Services Group (The), Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 8,149 | Monthly | 524,995 | (7,602) |
| Hartford Financial Services Group (The), Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 3,817 | Monthly | 245,963 | 5,530 |
| HCA Healthcare, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 779 | Monthly | 165,440 | 8,059 |
| Healthpeak Properties, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 17,426 | Monthly | 481,412 | 14,395 |
| Hologic, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 6,550 | Monthly | 467,217 | (445) |
| Long Contracts for Difference at July 31, 2022: Over the Counter (continued) | |||||||
| Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
| Home Depot (The), Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,175 | Monthly | $353,279 | $16,677 |
| Hormel Foods Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 940 | Monthly | 46,343 | 1,646 |
| HP, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 18,028 | Monthly | 601,868 | 16,499 |
| HP, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 627 | Monthly | 20,926 | 1,075 |
| Huntsman Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 3,106 | Monthly | 89,906 | 453 |
| Illinois Tool Works, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,878 | Monthly | 390,005 | 50,801 |
| Illumina, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 905 | Monthly | 195,954 | 24,719 |
| Il-VI, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 9,673 | Monthly | 508,951 | 32,072 |
| JB Hunt Transport Services, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 534 | Monthly | 97,853 | 5,070 |
| JB Hunt Transport Services, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,202 | Monthly | 220,126 | 20,955 |
| JB Hunt Transport Services, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 885 | Monthly | 162,121 | 13,812 |
| Johnson & Johnson | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 3,311 | Monthly | 577,548 | (11,560) |
| Johnson Controls International PLC | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 370 | Monthly | 19,940 | 1,151 |
| Johnson Controls International PLC | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 11,727 | Monthly | 632,041 | 81,927 |
| Kellogg Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 5,681 | Monthly | 419,736 | 8,148 |
| Kinder Morgan, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 30,349 | Monthly | 545,900 | 10,240 |
| Kinross Gold Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 74,101 | Monthly | 252,655 | 12,438 |
| Kohls Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 10,966 | Monthly | 319,505 | (4,837) |
| Kraft Heinz Foods Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 15,547 | Monthly | 572,673 | (16,562) |
| Kroger (The) Co. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 10,189 | Monthly | 473,108 | 1,968 |
| Kroger (The) Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 12,163 | Monthly | 564,368 | (19,699) |
| L Brands, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,925 | Monthly | 103,937 | 8,644 |
| L Brands, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 8,849 | Monthly | 314,387 | 58,210 |
| Lam Research Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 1,006 | Monthly | 503,441 | 36,667 |
| Laredo Petroleum, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 1,873 | Monthly | 166,002 | 37,720 |
| LIncoln National Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 9,719 | Monthly | 495,311 | 12,860 |
| LIncoln National Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 11,896 | Monthly | 610,464 | 50,638 |
| Live Nation Entertainment, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 5,387 | Monthly | 506,251 | 12,910 |
| Lockheed Martin Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 948 | Monthly | 392,032 | 445 |
| Lockheed Martin Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,439 | Monthly | 595,189 | 21,920 |
| Loews Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 1,227 | Monthly | 71,462 | 1,462 |
| Loews Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 368 | Monthly | 21,426 | 652 |
| Lowe's Cos., Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,175 | Monthly | 416,687 | 21,642 |
| Lowe's Cos., Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 2,039 | Monthly | 390,343 | 13,128 |
| LyondellBasell Industries N.V., Class A | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,207 | Monthly | 196,529 | 3,460 |
| Manulife Financial Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 4,201 | Monthly | 76,951 | 3,812 |
| Marathon Petroleum Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 6,831 | Monthly | 626,043 | 40,968 |
| Marathon Petroleum Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,249 | Monthly | 480,750 | 43,904 |
| Long Contracts for Difference at July 31, 2022: Over the Counter (continued) | |||||||
| Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
| Marriott International, Inc., Class A | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 3,974 | Monthly | $631,062 | $31,346 |
| Martin Marietta Materials, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 459 | Monthly | 161,546 | 15,559 |
| Match Group, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 6,023 | Monthly | 442,940 | 10,658 |
| Mattel, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 8,923 | Monthly | 206,918 | 13,914 |
| Mcdonalds Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 286 | Monthly | 75,313 | 2,672 |
| Mcdonalds Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,517 | Monthly | 399,220 | 15,064 |
| Mcdonalds Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 458 | Monthly | 120,566 | 3,771 |
| McKesson Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 882 | Monthly | 301,231 | 9,782 |
| McKesson Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 922 | Monthly | 314,685 | 9,319 |
| Medtronic PLC | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 884 | Monthly | 81,726 | 3,010 |
| MGM Resorts International | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 30,944 | Monthly | 1,012,333 | 107,840 |
| Molson Coors Beverage Co., Class B | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 3,783 | Monthly | 225,924 | 4,089 |
| Mosaic (The) Co. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 9,699 | Monthly | 510,681 | 48,621 |
| Murphy Oil USA, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 152 | Monthly | 43,173 | 4,393 |
| NetApp, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,614 | Monthly | 115,040 | 10,065 |
| Newell Brands, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 3,254 | Monthly | 65,792 | 94 |
| Newmont Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 23,051 | Monthly | 1,043,592 | (123,674) |
| Norfolk Southern Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 2,555 | Monthly | 641,648 | 20,527 |
| Norfolk Southern Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 2,054 | Monthly | 515,672 | 47,586 |
| Northrop Grumman Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 742 | Monthly | 355,300 | 19,924 |
| Northrop Grumman Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 225 | Monthly | 107,741 | 6,266 |
| Nucor Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 3,812 | Monthly | 517,602 | 60,696 |
| Nutrien Ltd. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 5,866 | Monthly | 502,092 | 54,751 |
| Occidental Petroleum Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 4,680 | Monthly | 307,671 | 20,129 |
| Omnicom Group, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 1,098 | Monthly | 76,673 | 955 |
| Omnicom Group, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 6,992 | Monthly | 487,950 | 37,246 |
| Omnicom Group, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 7,559 | Monthly | 527,678 | 36,418 |
| Ovintiv, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 2,099 | Monthly | 107,224 | 13,861 |
| Owens Corning | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 5,511 | Monthly | 511,022 | 47,877 |
| Packaging Corp. Of America | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 4,266 | Monthly | 599,556 | 20,233 |
| Parker-Hannifin Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 344 | Monthly | 99,405 | 13,969 |
| PBF Energy, Inc., Class A | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 15,732 | Monthly | 524,754 | 92,667 |
| Pfizer, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 20,310 | Monthly | 1,025,705 | (14,777) |
| Phillips 66 | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 5,546 | Monthly | 493,521 | 24,718 |
| Pioneer Natural Resources Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 342 | Monthly | 81,087 | 5,226 |
| PPL Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 17,650 | Monthly | 513,022 | 27,117 |
| Prologis, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 2,403 | Monthly | 316,546 | 11,605 |
| PTC Therapeutics, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 3,327 | Monthly | 410,346 | 60,078 |
| Public Storage | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 402 | Monthly | 131,198 | 2,827 |
| Quest Diagnostics, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 5,028 | Monthly | 686,336 | 3,232 |
| Range Resources Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 5,696 | Monthly | 188,339 | 19,054 |
| Regency Centers Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,145 | Monthly | 73,703 | 4,774 |
| Long Contracts for Difference at July 31, 2022: Over the Counter (continued) | |||||||
| Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
| Rexford Industrial Reality, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 402 | Monthly | $26,283 | $2,308 |
| SBA Communications Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 264 | Monthly | 88,578 | 2,987 |
| Seagate Technology LLC | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,143 | Monthly | 171,112 | 10,665 |
| SeaWorld Entertainment, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 1,097 | Monthly | 52,337 | 6,636 |
| Sempra Energy | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 3,431 | Monthly | 568,603 | 49,699 |
| Skyworks Solutions, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 93 | Monthly | 10,103 | 1,001 |
| SM Energy Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,969 | Monthly | 122,519 | 17,181 |
| Southern Copper Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 9,503 | Monthly | 473,182 | 16,373 |
| Southwest Airlines Co. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 3,701 | Monthly | 141,914 | (7,014) |
| Southwest Airlines Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 14,903 | Monthly | 567,836 | (21,764) |
| Southwestern Energy | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 13,948 | Monthly | 98,433 | 18,093 |
| Steel Dynamics, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 931 | Monthly | 72,483 | 9,356 |
| Steris PLC | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,662 | Monthly | 480,192 | 21,493 |
| STORE Capital Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 4,037 | Monthly | 117,138 | 5,878 |
| Stryker Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 2,313 | Monthly | 496,488 | 45,553 |
| Synaptics, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,080 | Monthly | 156,480 | 22,787 |
| Tapestry, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 13,694 | Monthly | 460,308 | 38,533 |
| Targa Resources Partners L.P./Targa Resources Partners Finance Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 3,344 | Monthly | 231,066 | 24,708 |
| Targa Resources Partners L.P./Targa Resources Partners Finance Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 122 | Monthly | 8,428 | 1,247 |
| Target Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,567 | Monthly | 256,119 | 24,219 |
| TC Energy Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,841 | Monthly | 151,361 | 4,368 |
| Teleflex, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 330 | Monthly | 79,350 | (3,021) |
| Textron, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 1,897 | Monthly | 124,407 | 8,943 |
| Thor Industries, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 3,278 | Monthly | 276,291 | 10,642 |
| Toll Brothers, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 8,310 | Monthly | 408,625 | (7,457) |
| Toll Brothers, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,013 | Monthly | 148,060 | 3,315 |
| Tyson Foods, Inc., Class A | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 1,199 | Monthly | 105,506 | 7,092 |
| Tyson Foods, Inc., Class A | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,515 | Monthly | 221,192 | 10,809 |
| Under Armour, Inc., Class A | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 27,292 | Monthly | 252,689 | 13,611 |
| Under Armour, Inc., Class A | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 14,191 | Monthly | 131,400 | 8,531 |
| Union Pacific Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 2,760 | Monthly | 627,261 | 38,277 |
| Union Pacific Corp. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 265 | Monthly | 60,358 | 4,788 |
| Valero Energy Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 5,574 | Monthly | 617,346 | 37,539 |
| Valero Energy Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,418 | Monthly | 157,145 | 3,739 |
| VeriSign, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 572 | Monthly | 108,127 | 6,608 |
| VF Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 1,707 | Monthly | 76,439 | (4,575) |
| Vornado Realty Trust | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 15,212 | Monthly | 462,226 | 11,495 |
| Voya Financial, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 3,506 | Monthly | 210,890 | 4,071 |
| Voya Financial, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 4,677 | Monthly | 281,234 | 9,734 |
| Vulcan Materials Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,143 | Monthly | 188,902 | 16,734 |
| Walgreen Boots Alliance, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 2,219 | Monthly | 87,904 | 2,117 |
| Walt Disney (The) Co. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 5,868 | Monthly | 622,506 | 19,745 |
| Long Contracts for Difference at July 31, 2022: Over the Counter (continued) | |||||||
| Reference Company | The Fund Pays Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
| Westlake Chemical Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 4,859 | Monthly | $472,754 | $25,580 |
| WestRock Co. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 11,442 | Monthly | 484,613 | 11,715 |
| WestRock Co. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 3,065 | Monthly | 129,732 | 6,059 |
| WestRock Co. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 5,682 | Monthly | 240,607 | 13,391 |
| Weyerhaeuser Co. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 31,579 | Monthly | 1,146,784 | 25,414 |
| Whirlpool Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | 1,554 | Monthly | 268,518 | 20,841 |
| Wynn Resorts Finance LLC/Wynn Resourts Capital Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 3,617 | Monthly | 231,036 | 6,241 |
| Xerox Holdings Corp. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 4,812 | Monthly | 82,418 | 5,907 |
| Xylem, Inc. | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | 127 | Monthly | 11,686 | 975 |
| Yum Brands, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | 3,388 | Monthly | 414,967 | 14,675 |
| ZoomInfo Technologies, Inc. | U.S. Fed Funds + 0.20% | 2/8/2023 | JPMorgan Chase | 2,460 | Monthly | 93,135 | 2,976 |
| Total (Cost $76,896,227) | 1,470,300 | $80,702,392 | $3,806,165 | ||||
| Short Contracts for Difference at July 31, 2022: Over the Counter | |||||||
| Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
| Advanced Micro Devices, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (6,657) | Monthly | $(628,820) | $(42,338) |
| AES (The) Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (12,738) | Monthly | (283,012) | (29,535) |
| AES (The) Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (28,431) | Monthly | (631,350) | (19,308) |
| Agilent Technologies, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,850) | Monthly | (247,853) | (21,210) |
| Air Products & Chemicals, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (854) | Monthly | (211,935) | (19,614) |
| Albemarle Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (2,091) | Monthly | (510,815) | (47,742) |
| Ally Financial, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (30,030) | Monthly | (992,696) | 41,237 |
| Altria Group, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (4,994) | Monthly | (219,015) | (3,333) |
| Amazon.com, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (3,990) | Monthly | (538,395) | (49,939) |
| Amcor PLC | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (38,939) | Monthly | (504,204) | (13,573) |
| American Airlines Group, Inc. | U.S. Fed Funds + (0.445)% | 2/8/2023 | JPMorgan Chase | (893) | Monthly | (12,235) | 240 |
| American Homes 4 Rent, L.P. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,713) | Monthly | (64,848) | (3,471) |
| American Tower Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (1,822) | Monthly | (493,261) | (24,642) |
| Antero Resources Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (5,671) | Monthly | (224,799) | (16,446) |
| Aptiv PLC | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (3,572) | Monthly | (374,627) | (25,893) |
| Aramark Services, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (5,864) | Monthly | (195,734) | (15,651) |
| Ashland Global Holdings, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (2,373) | Monthly | (238,387) | 10,114 |
| Short Contracts for Difference at July 31, 2022: Over the Counter (continued) | |||||||
| Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
| Ashland Global Holdings, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (721) | Monthly | $(72,390) | $748 |
| Assurant, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (2,580) | Monthly | (453,462) | (15,533) |
| Avery Dennison Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (151) | Monthly | (28,760) | (2,825) |
| Avis Budget Group, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (376) | Monthly | (68,443) | (9,667) |
| Axalta Coating Systems Ltd. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (8,559) | Monthly | (215,735) | (17,671) |
| Baker Hughes Co., Class A | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (6,951) | Monthly | (178,552) | (11,172) |
| Baker Hughes Co., Class A | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (7,759) | Monthly | (199,183) | 21,716 |
| Ball Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (5,021) | Monthly | (368,601) | (13,566) |
| Ball Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (10,339) | Monthly | (758,622) | (49,160) |
| Becton Dickinson and Co. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (46) | Monthly | (11,234) | (229) |
| Best Buy Co., Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (6,871) | Monthly | (529,316) | (31,375) |
| Boeing (The) Co. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (7,022) | Monthly | (1,118,277) | (80,847) |
| Booz Allen Hamilton Holding Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (5,089) | Monthly | (488,266) | (28,729) |
| Boston Scientific Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (11,201) | Monthly | (459,752) | (32,770) |
| Boston Scientific Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,024) | Monthly | (124,195) | (9,767) |
| Broadridge Financial Solutions, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (1,716) | Monthly | (275,429) | (15,759) |
| Brookfield Asset Management Inc., Class A | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (2,999) | Monthly | (148,884) | (4,932) |
| Brookfield Asset Management Inc., Class A | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (6,944) | Monthly | (344,546) | (29,011) |
| Brown & Brown, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (3,777) | Monthly | (245,863) | (10,661) |
| Brunswick Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (5,089) | Monthly | (407,932) | (44,781) |
| Bunge Ltd. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (1,718) | Monthly | (158,605) | (2,233) |
| Canadian Natural Resources Ltd. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (4,963) | Monthly | (273,959) | (26,802) |
| Canadian Natural Resources Ltd. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (2,910) | Monthly | (160,570) | (22,927) |
| Capital One Financial Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (5,428) | Monthly | (596,090) | (4,818) |
| Carlisle Companies, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (1,230) | Monthly | (364,170) | (33,045) |
| Carnival Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (47,778) | Monthly | (432,822) | 7,381 |
| Carvana Co. | U.S. Fed Funds + (0.95)% | 2/27/2023 | Goldman Sachs | (1,659) | Monthly | (48,341) | (13,087) |
| Catalent Pharma Solutions, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (4,470) | Monthly | (505,228) | (5,437) |
| Caterpillar, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (1,899) | Monthly | (376,438) | (37,239) |
| CDW Corporation of Delaware | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (2,749) | Monthly | (498,847) | (54,856) |
| CH Robinson Worldwide, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (211) | Monthly | (23,330) | (2,551) |
| Short Contracts for Difference at July 31, 2022: Over the Counter (continued) | |||||||
| Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
| Charter Communications, Inc., Class A | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (773) | Monthly | $(333,970) | $41,476 |
| Chemours (The) Co. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (916) | Monthly | (32,589) | (3,726) |
| Clarivate PLC | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (20,606) | Monthly | (298,547) | (1,821) |
| Cleveland Cliffs, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (23,864) | Monthly | (422,383) | (54,898) |
| Comcast Corp., Class A | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (9,418) | Monthly | (353,318) | 47,889 |
| Comcast Corp., Class A | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (2,165) | Monthly | (81,174) | 5,340 |
| Comcast Corp., Class A | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (2,651) | Monthly | (99,424) | 9,002 |
| Conagra Brands, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (7,144) | Monthly | (244,374) | (4,430) |
| Conagra Brands, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (7,082) | Monthly | (242,110) | 7,955 |
| Conagra Brands, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (3,460) | Monthly | (118,322) | (1,616) |
| ConocoPhillips | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (4,782) | Monthly | (465,885) | (52,712) |
| Continental Resources (OK), Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (3,575) | Monthly | (246,256) | (19,351) |
| Corteva, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (10,947) | Monthly | (629,619) | (52,384) |
| Crocs, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (2,064) | Monthly | (147,856) | (13,407) |
| D.R. Horton, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (11,874) | Monthly | (926,429) | (8,046) |
| Danaher Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (2,172) | Monthly | (632,451) | (37,670) |
| Darden Restaurants, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (247) | Monthly | (30,746) | (772) |
| DaVita, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (1,264) | Monthly | (106,473) | 1,561 |
| Deere & Co. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (1,450) | Monthly | (497,569) | (39,744) |
| Dell Technologies, Inc., Class C | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (10,747) | Monthly | (484,081) | (17,016) |
| Delta Air Lines, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (18,600) | Monthly | (591,413) | (8,303) |
| Delta Air Lines, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,478) | Monthly | (110,565) | (7,199) |
| Dentsply Sirona, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (13,431) | Monthly | (485,610) | (2,631) |
| Devon Energy Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (10,316) | Monthly | (647,991) | (85,975) |
| Dick's Sporting Goods, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (589) | Monthly | (55,125) | (226) |
| Digital Realty Trust, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (86) | Monthly | (11,383) | (519) |
| DISH Network Corp., Class A | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (7,832) | Monthly | (136,025) | 10,433 |
| Dominion Energy, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (4,976) | Monthly | (407,889) | (22,995) |
| Eastman Chemical Co. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (3,124) | Monthly | (299,587) | (21,422) |
| Ecolab, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (824) | Monthly | (136,093) | (2,788) |
| Edison International | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (2,697) | Monthly | (182,665) | (14,183) |
| Edison International | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (2,020) | Monthly | (136,848) | (12,497) |
| Electronic Arts, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (2,211) | Monthly | (498,857) | (17,898) |
| Enbridge, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (13,967) | Monthly | (627,149) | (37,881) |
| Entegris, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (4,714) | Monthly | (517,894) | (63,889) |
| EQT Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (5,993) | Monthly | (263,857) | (981) |
| Equifax, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,138) | Monthly | (237,597) | (20,865) |
| Equinix, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (167) | Monthly | (117,453) | (8,816) |
| Estee Lauder (The) Cos., Inc., Class A | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (661) | Monthly | (180,467) | (16,622) |
| Short Contracts for Difference at July 31, 2022: Over the Counter (continued) | |||||||
| Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
| Fidelity National Information Services, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (3,587) | Monthly | $(366,317) | $(24,763) |
| FirstEnergy Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (1,557) | Monthly | (63,992) | (4,328) |
| FirstEnergy Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (5,907) | Monthly | (242,723) | (21,388) |
| Fiserv, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (4,338) | Monthly | (458,174) | (54,480) |
| Fiserv, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (1,611) | Monthly | (170,193) | (18,501) |
| Foot Locker, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (1,661) | Monthly | (47,116) | (1,189) |
| Foot Locker, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (16,081) | Monthly | (455,754) | (44,885) |
| Ford Motor Co. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (22,507) | Monthly | (330,437) | (68,906) |
| Ford Motor Co. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (30,744) | Monthly | (451,476) | (86,237) |
| Fortune Brands Home & Security, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,398) | Monthly | (97,356) | (10,903) |
| Freeport-McMoRan, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (3,648) | Monthly | (115,094) | (6,950) |
| Gap (The), Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (40,789) | Monthly | (392,346) | (8,114) |
| Gap (The), Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (52,397) | Monthly | (503,892) | (67,425) |
| General Mills, Inc. | U.S. Fed Funds + (0.20)% | 1/26/2023 | Barclays | (7,608) | Monthly | (568,938) | (8,761) |
| Global Payments, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (4,062) | Monthly | (496,809) | (14,609) |
| Goodyear Tire & Rubber (The) Co. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (33,458) | Monthly | (410,829) | (18,701) |
| Graphic Packaging Holding Co. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (1,127) | Monthly | (25,076) | 140 |
| HCA Healthcare, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (2,425) | Monthly | (514,959) | (98,805) |
| Hess Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (5,893) | Monthly | (662,717) | (65,226) |
| Hess Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (498) | Monthly | (56,057) | (6,167) |
| HF Sinclair Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (10,461) | Monthly | (500,183) | (45,757) |
| Honeywell International, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (3,096) | Monthly | (595,856) | (34,025) |
| Host Hotels & Resorts, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (10,507) | Monthly | (187,109) | (9,331) |
| Host Hotels & Resorts, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (25,474) | Monthly | (453,536) | (46,971) |
| Howmet Aerospace, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (6,568) | Monthly | (243,844) | (18,168) |
| Howmet Aerospace, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (6,081) | Monthly | (225,710) | (23,091) |
| Intel Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (2,705) | Monthly | (98,178) | 6,289 |
| International Business Machines Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (6,007) | Monthly | (785,698) | (15,300) |
| International Paper Co. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (6,185) | Monthly | (264,474) | (5,199) |
| Intui, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (46) | Monthly | (20,984) | (53) |
| Iron Mountain, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (9,327) | Monthly | (452,209) | (10,389) |
| Iron Mountain, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (3,562) | Monthly | (172,620) | (12,900) |
| KB Home | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (15,247) | Monthly | (497,606) | (3,298) |
| Kinder Morgan, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (154) | Monthly | (2,769) | (188) |
| Lamb Weston Holdings, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (1,532) | Monthly | (122,026) | (7,203) |
| Lamb Weston Holdings, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (11,748) | Monthly | (935,471) | (70,818) |
| Short Contracts for Difference at July 31, 2022: Over the Counter (continued) | |||||||
| Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
| Las Vegas Sands Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (11,023) | Monthly | $(415,311) | $(34,687) |
| Lear Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (1,232) | Monthly | (186,152) | (24,237) |
| Leidos Holdings, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (3,529) | Monthly | (377,469) | (29,192) |
| Lennar Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (1,534) | Monthly | (130,385) | (3,579) |
| Lithia Motors, Inc., Class A | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (1,737) | Monthly | (460,480) | 25,706 |
| Lumen Technologies, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (44,828) | Monthly | (488,123) | (15,188) |
| Lumen Technologies, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (50,705) | Monthly | (551,968) | (5,875) |
| Macys, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (25,397) | Monthly | (448,129) | (10,287) |
| Marathon Petroleum Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (1,859) | Monthly | (46,088) | (7,328) |
| Marsh & McLennan Cos., Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (1,037) | Monthly | (170,050) | (9,284) |
| Marvell Technology, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (1,294) | Monthly | (72,046) | (3,933) |
| MasTec, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (1,862) | Monthly | (147,039) | (12,007) |
| Medical Properties Trust, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (2,126) | Monthly | (36,630) | (3,486) |
| Metlife, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (4,146) | Monthly | (262,206) | (9,922) |
| MGIC Investment Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (7,420) | Monthly | (104,907) | (4,218) |
| MGIC Investment Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,642) | Monthly | (23,204) | (1,973) |
| MGIC Investment Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (6,827) | Monthly | (96,499) | (5,085) |
| Mohawk Industries, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (302) | Monthly | (38,797) | 1,788 |
| Molina Healthcare, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (98) | Monthly | (32,116) | (2,825) |
| Mondelez International, Inc., Class A | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (2,785) | Monthly | (178,341) | (3,739) |
| Mondelez International, Inc., Class A | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (6,247) | Monthly | (400,072) | (20,629) |
| Moodys Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (1,324) | Monthly | (410,726) | (19,537) |
| Motorola Solutions, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (2,566) | Monthly | (612,154) | (44,657) |
| Motorola Solutions, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (2,073) | Monthly | (494,788) | (49,819) |
| Murphy Oil Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (2,327) | Monthly | (81,745) | (15,961) |
| National Oilwell Varco, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (3,515) | Monthly | (65,395) | (15,482) |
| Navient Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (11,696) | Monthly | (192,520) | (20,121) |
| Netflix, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,272) | Monthly | (285,893) | (48,061) |
| Netflix, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (2,263) | Monthly | (508,785) | (80,829) |
| NextEra Energy, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (7,174) | Monthly | (606,062) | (30,349) |
| NextEra Energy, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (1,369) | Monthly | (115,631) | (7,886) |
| Nordstrom, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (17,431) | Monthly | (409,775) | (53,852) |
| Norwegian Cruise Line Holdings Ltd. | U.S. Fed Funds + (0.57)% | 2/8/2023 | JPMorgan Chase | (6,361) | Monthly | (77,238) | (3,896) |
| Norwegian Cruise Line Holdings Ltd. | U.S. Fed Funds + (0.67)% | 2/27/2023 | Goldman Sachs | (12,572) | Monthly | (152,693) | (4,343) |
| NRG Energy, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (13,470) | Monthly | (508,454) | (28,518) |
| NRG Energy, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (7,161) | Monthly | (270,304) | 597 |
| Short Contracts for Difference at July 31, 2022: Over the Counter (continued) | |||||||
| Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
| Olin Corp. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | (8,668) | Monthly | $(453,451) | $(44,975) |
| Omega Healthcare Investors, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (8,078) | Monthly | (250,468) | (2,635) |
| Onemain Holdings, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (13,328) | Monthly | (495,835) | 35,800 |
| Oneok, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (399) | Monthly | (23,834) | (696) |
| Oracle Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (6,060) | Monthly | (471,659) | (17,783) |
| Oracle Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (7,620) | Monthly | (593,011) | (53,226) |
| Ovintiv, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (6,006) | Monthly | (306,825) | (54,483) |
| Patterson-UTI Energy, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (31,999) | Monthly | (529,426) | (122,399) |
| PayPal Holdings, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (4,492) | Monthly | (388,566) | (56,562) |
| Penn National Gaming, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (9,358) | Monthly | (323,159) | (31,447) |
| Performance Food Group, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (9,003) | Monthly | (447,375) | 564 |
| Perrigo Co. PLC | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (1,184) | Monthly | (49,348) | (416) |
| PG&E Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (47,266) | Monthly | (513,122) | (25,337) |
| Philip Morris International, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (3,297) | Monthly | (320,196) | (21,627) |
| Pioneer Natural Resources Co. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (121) | Monthly | (28,665) | (3,279) |
| PPG Industries, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (3,447) | Monthly | (445,582) | (24,024) |
| Procter & Gamble (The) Co. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,206) | Monthly | (445,269) | 14,615 |
| Prudential Financial, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | (5,801) | Monthly | (579,978) | (44,372) |
| PulteGroup, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (8,436) | Monthly | (367,934) | 19,363 |
| Qorvo, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (354) | Monthly | (36,836) | 100 |
| Quanta Services, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (3,371) | Monthly | (467,337) | (22,533) |
| Radian Group, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (12,653) | Monthly | (282,877) | (23,743) |
| Ralph Lauren Corp., Class A | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (866) | Monthly | (85,383) | (4,836) |
| Raymond James Financial, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (3,743) | Monthly | (368,444) | (30,900) |
| Raytheon Technologies Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (1,248) | Monthly | (116,339) | (2,484) |
| Realty Income Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (2,981) | Monthly | (220,545) | (7,616) |
| Ross Stores, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (729) | Monthly | (59,238) | (2,391) |
| Royal Caribbean Cruises Ltd. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (8,754) | Monthly | (338,929) | (31,884) |
| S&P Global, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (884) | Monthly | (333,083) | (19,905) |
| Scotts Miracle-Gro (The) Co. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (4,118) | Monthly | (366,247) | (19,511) |
| Sealed Air Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (2,952) | Monthly | (180,703) | (13,561) |
| Semiconductor Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (3,073) | Monthly | (205,208) | (11,858) |
| Service Corp., (US) International | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (36) | Monthly | (2,681) | (91) |
| Short Contracts for Difference at July 31, 2022: Over the Counter (continued) | |||||||
| Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
| Sherwin-Williams (The) Co. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (2,447) | Monthly | $(591,958) | $40,130 |
| Sherwin-Williams (The) Co. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (712) | Monthly | (172,194) | 2,652 |
| Simon Property Group, Inc. | U.S. Fed Funds + 0.20% | 2/27/2023 | Goldman Sachs | (3,009) | Monthly | (327,098) | (25,761) |
| Southern (The) Co. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (5,101) | Monthly | (391,989) | (28,992) |
| Southern (The) Co. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (2,914) | Monthly | (223,977) | (13,207) |
| Spirit AeroSystems Holdings, Inc., Class A | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (14,062) | Monthly | (461,342) | (9,530) |
| Starwood Property Trust, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (1,730) | Monthly | (40,855) | (1,889) |
| Sun Communities, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (1,894) | Monthly | (310,506) | (6,481) |
| Sysco Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (2,206) | Monthly | (187,356) | 5,934 |
| TC Energy Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (791) | Monthly | (42,176) | 559 |
| Teck Resources Ltd., Class B | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (22,438) | Monthly | (659,079) | (43,809) |
| Teledyne Technologies, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (1,235) | Monthly | (483,216) | (10,006) |
| Tenet Healthcare Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (1,659) | Monthly | (109,634) | (18,615) |
| Tenet Healthcare Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (2,976) | Monthly | (196,672) | (31,355) |
| Tesla, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (744) | Monthly | (663,034) | (127,205) |
| T-Mobile US, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (2,013) | Monthly | (287,948) | (21,266) |
| T-Mobile US, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (2,291) | Monthly | (327,720) | (16,785) |
| TopBuild Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (21) | Monthly | (4,441) | (460) |
| TransDigm, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (603) | Monthly | (375,058) | (51,452) |
| TransDigm, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (485) | Monthly | (301,779) | (40,771) |
| Twilio, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (253) | Monthly | (21,446) | 648 |
| UGI Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (4,188) | Monthly | (180,666) | (11,722) |
| United Airlines Holdings, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (9,524) | Monthly | (350,104) | 23,164 |
| United Parcel Service, Inc., Class B | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (956) | Monthly | (186,131) | (9,922) |
| United Rentals North America, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (767) | Monthly | (247,362) | (56,486) |
| United Rentals North America, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (1,222) | Monthly | (394,099) | (86,351) |
| United States Steel Corp. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (27,947) | Monthly | (660,601) | (168,175) |
| United States Steel Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (21,911) | Monthly | (518,031) | (129,549) |
| UnitedHealth Group, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (417) | Monthly | (226,131) | (8,703) |
| UnitedHealth Group, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (768) | Monthly | (416,255) | (17,947) |
| UnitedHealth Group, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (522) | Monthly | (283,012) | (7,112) |
| Universal Health Services, Inc., Class B | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (78) | Monthly | (8,771) | (114) |
| Verizon Communications, Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (10,184) | Monthly | (470,182) | 49,406 |
| ViacomCBS, Inc., Class B | U.S. Fed Funds + 0.20% | 1/26/2023 | Barclays | (13,679) | Monthly | (323,508) | 22,160 |
| Short Contracts for Difference at July 31, 2022: Over the Counter (continued) | |||||||
| Reference Company | The Fund Receives Financing Rate | Expiration Date | Counterparty | Notional Amount | Pay Frequency | Value | Unrealized Appreciation (Depreciation) |
| Viatris, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (10,725) | Monthly | $(103,914) | $(1,490) |
| VICI Properties, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (14,819) | Monthly | (506,606) | (16,690) |
| Vistra Operations Co. LLC | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (29,594) | Monthly | (764,917) | (94,313) |
| W.P. Carey, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (2,056) | Monthly | (183,535) | (11,489) |
| Walmart, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (400) | Monthly | (52,818) | (1,138) |
| Walmart, Inc. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (4,575) | Monthly | (604,044) | (13,549) |
| Welltower, Inc. | U.S. Fed Funds + (0.15)% | 2/8/2023 | JPMorgan Chase | (2,428) | Monthly | (209,502) | (10,139) |
| Western Digital Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (6,332) | Monthly | (310,901) | (11,904) |
| Westinghouse Air Brake Technologies Corp. | U.S. Fed Funds + (0.15)% | 2/27/2023 | Goldman Sachs | (260) | Monthly | (24,294) | (2,670) |
| Whirlpool Corp. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (475) | Monthly | (82,113) | (939) |
| Williams (The) Cos., Inc. | U.S. Fed Funds | 2/27/2023 | Goldman Sachs | (12,133) | Monthly | (413,468) | (32,734) |
| Zimmer Biomet Holdings, Inc. | U.S. Fed Funds + (0.15)% | 1/26/2023 | Barclays | (451) | Monthly | (50,068) | (1,811) |
| Total (Cost $69,096,999) | (1,647,483) | $(73,640,639) | $(4,543,640) | ||||
| Interest Rate Swap Contracts outstanding at July 31, 2022: Exchange Traded | |||||||
| Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
| 8.97% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 9/15/2027 | MXN | 6,810,000 | $(10,588) | $— | $(10,588) |
| 9.04% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 9/15/2027 | MXN | 1,050,000 | (1,790) | — | (1,790) |
| 9.07% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 9/15/2027 | MXN | 6,840,000 | (12,002) | — | (12,002) |
| 9.08% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 9/15/2027 | MXN | 7,730,000 | (13,718) | — | (13,718) |
| 9.18% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 9/15/2027 | MXN | 6,850,000 | (13,527) | — | (13,527) |
| 9.51% (Monthly) | 28-Day MXN-TIIE-BANXICO (Monthly) | 9/15/2027 | MXN | 6,590,000 | (17,363) | — | (17,363) |
| 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 2.53% (Annually) | 9/21/2027 | GBP | 340,000 | 6,451 | — | 6,451 |
| 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 2.87% (Annually) | 9/21/2027 | GBP | 330,000 | 12,680 | — | 12,680 |
| 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 2.58% (Annually) | 9/21/2027 | GBP | 320,000 | 6,873 | — | 6,873 |
| 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 2.78% (Annually) | 9/21/2027 | GBP | 300,000 | 9,969 | — | 9,969 |
| 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 2.61% (Annually) | 9/21/2027 | GBP | 240,000 | 5,646 | — | 5,646 |
| Interest Rate Swap Contracts outstanding at July 31, 2022: Exchange Traded (continued) | |||||||
| Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
| 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 2.38% (Annually) | 9/21/2027 | GBP | 220,000 | $2,259 | $— | $2,259 |
| 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 2.48% (Annually) | 9/21/2027 | GBP | 220,000 | 3,578 | 1,548 | 2,030 |
| 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 2.51% (Annually) | 9/21/2027 | GBP | 190,000 | 3,332 | — | 3,332 |
| 1-Day GBP Sterling Overnight Index Average Rate (Annually) | 2.49% (Annually) | 9/21/2027 | GBP | 180,000 | 2,983 | — | 2,983 |
| 2.51% (Quarterly) | 3M SEK STBOR (Quarterly) | 9/21/2027 | SEK | 3,400,000 | (2,784) | — | (2,784) |
| 2.54% (Quarterly) | 3M SEK STBOR (Quarterly) | 9/21/2027 | SEK | 2,490,000 | (2,298) | — | (2,298) |
| 2.62% (Semi-Annually) | 1-Day SGD SORA (Semi-Annually) | 9/21/2027 | SGD | 380,000 | (2,163) | — | (2,163) |
| 2.63% (Annually) | 2-Day USD SOFR (Annually) | 9/21/2027 | USD | 160,000 | (1,462) | — | (1,462) |
| 2.63% (Semi-Annually) | 1-Day SGD SORA (Semi-Annually) | 9/21/2027 | SGD | 820,000 | (5,061) | — | (5,061) |
| 2.64% (Annually) | 1-Day SGD SORA (Annually) | 9/21/2027 | SGD | 290,000 | (1,742) | — | (1,742) |
| 2.65% (Semi-Annually) | 1-Day SGD SORA (Semi-Annually) | 9/21/2027 | SGD | 380,000 | (2,628) | — | (2,628) |
| 2.67% (Semi-Annually) | 1-Day SGD SORA (Semi-Annually) | 9/21/2027 | SGD | 650,000 | (4,915) | — | (4,915) |
| 2.80% (Quarterly) | 3M SEK STBOR (Quarterly) | 9/21/2027 | SEK | 2,620,000 | (5,589) | — | (5,589) |
| 2.96% (Annually) | 2-Day USD SOFR (Annually) | 9/21/2027 | USD | 410,000 | (10,097) | — | (10,097) |
| 3.13% (Semi-Annually) | 1-Day SGD SORA (Semi-Annually) | 9/21/2027 | SGD | 275,000 | (6,355) | — | (6,355) |
| 3.14% (Semi-Annually) | 1-Day SGD SORA (Semi-Annually) | 9/21/2027 | SGD | 275,000 | (6,430) | — | (6,430) |
| 3.16% (Annually) | 2-Day USD SOFR (Annually) | 9/21/2027 | USD | 350,000 | (11,961) | — | (11,961) |
| 3.21% (Annually) | 2-Day USD SOFR (Annually) | 9/21/2027 | USD | 490,000 | (17,766) | — | (17,766) |
| 3.21% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 9/21/2027 | CAD | 420,000 | (3,825) | — | (3,825) |
| 3.26% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 9/21/2027 | CAD | 440,000 | (4,794) | — | (4,794) |
| 3.27% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 9/21/2027 | CAD | 400,000 | (4,489) | — | (4,489) |
| 3.30% (Annually) | 2-Day USD SOFR (Annually) | 9/21/2027 | USD | 110,000 | (4,451) | — | (4,451) |
| 3.37% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 9/21/2027 | CAD | 670,000 | (9,843) | — | (9,843) |
| 3.60% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 9/21/2027 | CAD | 620,000 | (14,373) | — | (14,373) |
| 3.93% (Semi-Annually) | 3M CAD CIDOR (Semi-Annually) | 9/21/2027 | CAD | 370,000 | (12,989) | — | (12,989) |
| 3M HKD HIBOR (Quarterly) | 3.10% (Quarterly) | 9/21/2027 | HKD | 3,610,000 | 7,159 | — | 7,159 |
| 3M HKD HIBOR (Quarterly) | 2.89% (Quarterly) | 9/21/2027 | HKD | 2,270,000 | 1,724 | — | 1,724 |
| 3M HKD HIBOR (Quarterly) | 3.09% (Quarterly) | 9/21/2027 | HKD | 2,000,000 | 3,921 | — | 3,921 |
| 3M HKD HIBOR (Quarterly) | 3.04% (Quarterly) | 9/21/2027 | HKD | 1,985,000 | 3,255 | — | 3,255 |
| 3M HKD HIBOR (Quarterly) | 3.02% (Quarterly) | 9/21/2027 | HKD | 1,985,000 | 3,018 | — | 3,018 |
| 3M HKD HIBOR (Quarterly) | 3.13% (Quarterly) | 9/21/2027 | HKD | 1,950,000 | 4,241 | — | 4,241 |
| 3M HKD HIBOR (Quarterly) | 3.08% (Quarterly) | 9/21/2027 | HKD | 1,610,000 | 3,008 | — | 3,008 |
| 3M HKD HIBOR (Quarterly) | 2.86% (Quarterly) | 9/21/2027 | HKD | 1,045,000 | 564 | — | 564 |
| 3M HKD HIBOR (Quarterly) | 2.99% (Quarterly) | 9/21/2027 | HKD | 880,000 | 1,181 | — | 1,181 |
| 3M HKD HIBOR (Quarterly) | 2.97% (Quarterly) | 9/21/2027 | HKD | 720,000 | 859 | — | 859 |
| 3M HKD HIBOR (Quarterly) | 2.85% (Quarterly) | 9/21/2027 | HKD | 585,000 | 281 | — | 281 |
| 3M ZAR JIBAR (Quarterly) | 8.43% (Quarterly) | 9/21/2027 | ZAR | 6,480,000 | 6,536 | — | 6,536 |
| 3M ZAR JIBAR (Quarterly) | 8.00% (Quarterly) | 9/21/2027 | ZAR | 5,940,000 | (249) | — | (249) |
| 3M ZAR JIBAR (Quarterly) | 8.50% (Quarterly) | 9/21/2027 | ZAR | 5,780,000 | 6,901 | — | 6,901 |
| 3M ZAR JIBAR (Quarterly) | 8.08% (Quarterly) | 9/21/2027 | ZAR | 5,160,000 | 804 | — | 804 |
| 3M ZAR JIBAR (Quarterly) | 8.46% (Quarterly) | 9/21/2027 | ZAR | 5,130,000 | 5,618 | — | 5,618 |
| Interest Rate Swap Contracts outstanding at July 31, 2022: Exchange Traded (continued) | |||||||
| Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
| 3M ZAR JIBAR (Quarterly) | 8.34% (Quarterly) | 9/21/2027 | ZAR | 5,040,000 | $3,993 | $— | $3,993 |
| 3M ZAR JIBAR (Quarterly) | 8.60% (Quarterly) | 9/21/2027 | ZAR | 4,700,000 | 6,803 | — | 6,803 |
| 3M ZAR JIBAR (Quarterly) | 8.39% (Quarterly) | 9/21/2027 | ZAR | 4,460,000 | 4,113 | — | 4,113 |
| 3M ZAR JIBAR (Quarterly) | 8.32% (Quarterly) | 9/21/2027 | ZAR | 4,360,000 | 3,266 | — | 3,266 |
| 3M ZAR JIBAR (Quarterly) | 7.84% (Quarterly) | 9/21/2027 | ZAR | 760,000 | (332) | — | (332) |
| 6.00% (Semi-Annually) | 6M PLN WIBOR (Semi-Annually) | 9/21/2027 | PLN | 490,000 | (1,859) | — | (1,859) |
| 6.23% (Semi-Annually) | 6M PLN WIBOR (Semi-Annually) | 9/21/2027 | PLN | 1,050,000 | (6,168) | — | (6,168) |
| 6.30% (Semi-Annually) | 6M PLN WIBOR (Semi-Annually) | 9/21/2027 | PLN | 1,170,000 | (7,547) | — | (7,547) |
| 6.32% (Semi-Annually) | 6M PLN WIBOR (Semi-Annually) | 9/21/2027 | PLN | 1,210,000 | (8,073) | — | (8,073) |
| 6.44% (Semi-Annually) | 6M PLN WIBOR (Semi-Annually) | 9/21/2027 | PLN | 1,670,000 | (12,954) | — | (12,954) |
| 6.46% (Semi-Annually) | 6M PLN WIBOR (Semi-Annually) | 9/21/2027 | PLN | 1,370,000 | (10,839) | — | (10,839) |
| 6.53% (Semi-Annually) | 6M PLN WIBOR (Semi-Annually) | 9/21/2027 | PLN | 1,420,000 | (12,115) | — | (12,115) |
| 6.67% (Semi-Annually) | 6M PLN WIBOR (Semi-Annually) | 9/21/2027 | PLN | 1,220,000 | (11,868) | — | (11,868) |
| 6.72% (Semi-Annually) | 6M PLN WIBOR (Semi-Annually) | 9/21/2027 | PLN | 1,140,000 | (11,594) | — | (11,594) |
| 6.94% (Semi-Annually) | 6M PLN WIBOR (Semi-Annually) | 9/21/2027 | PLN | 1,080,000 | (13,089) | — | (13,089) |
| 6M ASX BBSW (Semi-Annually) | 3.98% (Semi-Annually) | 9/21/2027 | AUD | 410,000 | 9,443 | — | 9,443 |
| 6M ASX BBSW (Semi-Annually) | 3.80% (Semi-Annually) | 9/21/2027 | AUD | 280,000 | 4,815 | — | 4,815 |
| 6M ASX BBSW (Semi-Annually) | 3.85% (Semi-Annually) | 9/21/2027 | AUD | 260,000 | 4,966 | — | 4,966 |
| 6M EUR EURIBOR (Semi-Annually) | 1.05% (Annually) | 9/21/2027 | EUR | 700,000 | (10,968) | (1,592) | (9,376) |
| 6M EUR EURIBOR (Semi-Annually) | 0.98% (Annually) | 9/21/2027 | EUR | 680,000 | (12,907) | (2,008) | (10,899) |
| 6M EUR EURIBOR (Semi-Annually) | 1.51% (Annually) | 9/21/2027 | EUR | 540,000 | 3,944 | 422 | 3,522 |
| 6M EUR EURIBOR (Semi-Annually) | 1.76% (Annually) | 9/21/2027 | EUR | 410,000 | 8,122 | 1,565 | 6,557 |
| 6M EUR EURIBOR (Semi-Annually) | 1.54% (Annually) | 9/21/2027 | EUR | 380,000 | 3,291 | — | 3,291 |
| 6M EUR EURIBOR (Semi-Annually) | 1.52% (Annually) | 9/21/2027 | EUR | 370,000 | 2,810 | — | 2,810 |
| 6M EUR EURIBOR (Semi-Annually) | 1.80% (Annually) | 9/21/2027 | EUR | 340,000 | 7,437 | — | 7,437 |
| 6M EUR EURIBOR (Semi-Annually) | 1.61% (Annually) | 9/21/2027 | EUR | 310,000 | 3,784 | — | 3,784 |
| 6M EUR EURIBOR (Semi-Annually) | 2.34% (Annually) | 9/21/2027 | EUR | 300,000 | 14,461 | — | 14,461 |
| 6M EUR EURIBOR (Semi-Annually) | 2.37% (Annually) | 9/21/2027 | EUR | 240,000 | 12,009 | — | 12,009 |
| 6M EUR EURIBOR (Semi-Annually) | 1.30% (Annually) | 9/21/2027 | EUR | 230,000 | (677) | — | (677) |
| 6M EUR EURIBOR (Semi-Annually) | 1.78% (Annually) | 9/21/2027 | EUR | 190,000 | 3,911 | — | 3,911 |
| 6M EUR EURIBOR (Semi-Annually) | 1.26% (Annually) | 9/21/2027 | EUR | 100,000 | (489) | (263) | (226) |
| 7.01% (Semi-Annually) | 6M PLN WIBOR (Semi-Annually) | 9/21/2027 | PLN | 1,460,000 | (18,664) | — | (18,664) |
| Total | $(145,386) | $(328) | $(145,058) | ||||
| Interest Rate Swap Contracts outstanding at July 31, 2022: Over the Counter | ||||||||
| Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Counterparty | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
| 3M KRW KWCDC (Quarterly) | 3.13% (Quarterly) | Goldman Sachs | 9/21/2027 | KRW | 757,230,000 | $5,187 | $— | $5,187 |
| Interest Rate Swap Contracts outstanding at July 31, 2022: Over the Counter (continued) | ||||||||
| Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Counterparty | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
| 3M KRW KWCDC (Quarterly) | 3.24% (Quarterly) | Bank of America | 9/21/2027 | KRW | 532,580,000 | $5,774 | $— | $5,774 |
| 3M KRW KWCDC (Quarterly) | 3.62% (Quarterly) | JPMorgan Chase | 9/21/2027 | KRW | 160,936,000 | 3,947 | — | 3,947 |
| Total | $14,908 | $— | $14,908 | |||||
| Inflation Swap Contracts outstanding at July 31, 2022: Exchange Traded | |||||||
| Pay Rate Index/ Pay Rate | Receive Rate Index/ Receive Rate | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
| 2.05% (At Maturity) | 1-Day Eurostat Eurozone HICP Ex Tobacco (At Maturity) | 2/15/2032 | EUR | 350,000 | $32,287 | $507 | $31,780 |
| 2.74% (At Maturity) | 1-Day Eurostat Eurozone HICP Ex Tobacco (At Maturity) | 6/15/2032 | EUR | 390,000 | (8,739) | — | (8,739) |
| Total | $23,548 | $507 | $23,041 | ||||
| Morningstar Alternatives Fund | Level 1 | Level 2 | Level 3 | Totals |
| Investments | ||||
| Assets: | ||||
| Asset-Backed Securities | $— | $4,599,315 | $— | $4,599,315 |
| Common Stocks | 70,777,801 | 9,042,920 | — | 79,820,721 |
| Convertible Bonds | — | 73,127,723 | — | 73,127,723 |
| Convertible Preferred Stocks | 3,402,772 | 2,544,985 | — | 5,947,757 |
| Corporate Bonds | — | 53,222,314 | — | 53,222,314 |
| Foreign Issuer Bonds | — | 11,269,117 | — | 11,269,117 |
| Master Limited Partnerships | 250,075 | — | — | 250,075 |
| Mortgage-Backed Securities | — | 82,211,160 | — | 82,211,160 |
| Preferred Stocks | 3,984,725 | — | — | 3,984,725 |
| Rights | — | — | 14,725 | 14,725 |
| Warrants | 20 | — | — | 20 |
| Investment Companies | 2,927,776 | — | — | 2,927,776 |
| Short-Term Investments | 3,023,789 | 26,813,219 | — | 29,837,008 |
| Purchased Options | 247,675 | — | — | 247,675 |
| Total Assets – Investments at value | $84,614,633 | $262,830,753 | $14,725 | $347,460,111 |
| Liabilities: | ||||
| Common Stocks | $(26,931,241) | $(618,421) | $— | $(27,549,662) |
| Mortgage-Backed Securities | — | (13,071,927) | — | (13,071,927) |
| Investment Companies | (310,001) | — | — | (310,001) |
| Total Liabilities – Investments at value | $(27,241,242) | $(13,690,348) | $— | $(40,931,590) |
| Net Investments | $57,373,391 | $249,140,405 | $14,725 | $306,528,521 |
| Morningstar Alternatives Fund | Level 1 | Level 2 | Level 3 | Totals |
| Derivative Financial Instruments | ||||
| Assets: | ||||
| Futures Contracts | $330,932 | $— | $— | $330,932 |
| Forward Foreign Currency Exchange Contracts | — | 126,456 | — | 126,456 |
| Contracts for Difference | — | 80,702,392 | — | 80,702,392 |
| Swap Agreements | — | 247,204 | — | 247,204 |
| Total Assets - Derivative Financial Instruments | $330,932 | $81,076,052 | $— | $81,406,984 |
| Liabilities: | ||||
| Futures Contracts | $(747,157) | $— | $— | $(747,157) |
| Forward Foreign Currency Exchange Contracts | — | (42,653) | — | (42,653) |
| Written Options | (79,303) | — | — | (79,303) |
| Contracts for Difference | — | (73,640,639) | — | (73,640,639) |
| Swap Agreements | — | (354,134) | — | (354,134) |
| Total Liabilities - Derivative Financial Instruments | $(826,460) | $(74,037,426) | $— | $(74,863,886) |
| Net Derivative Financial Instruments | $(495,528) | $7,038,626 | $— | $6,543,098 |