UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-06318
MORGAN STANLEY PATHWAY FUNDS
(Exact name of registrant as specified in charter)
2000 Westchester Avenue
Purchase, NY 10577
(Address of principal executive offices) (Zip code)
CT Corp
155 Federal Street, Suite 700
Boston, MA 02110
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1 (800) 869-3326
Date of fiscal year end: August 31
Date of reporting period: February 28, 2023
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking rules.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under clearance requirements of 44 U.S.C. § 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
| (a) | The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). |
Morgan Stanley
Pathway Funds
Semi-Annual Report
| » | February 28, 2023 |
| • | Large Cap Equity Fund |
| • | Small-Mid Cap Equity Fund |
| • | International Equity Fund |
| • | Emerging Markets Equity Fund |
| • | Core Fixed Income Fund |
| • | High Yield Fund |
| • | International Fixed Income Fund |
| • | Municipal Bond Fund |
| • | Inflation-Linked Fixed Income Fund |
| • | Ultra-Short Term Fixed Income Fund |
| • | Alternative Strategies Fund |
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
| I | ||||
| 1 | ||||
| 3 | ||||
| 28 | ||||
| 80 | ||||
| 103 | ||||
| 132 | ||||
| 196 | ||||
| 212 | ||||
| 238 | ||||
| 245 | ||||
| 256 | ||||
| 271 | ||||
| 274 | ||||
| 276 | ||||
| 278 | ||||
| 282 | ||||
| 283 | ||||
| 294 | ||||
| BOARD APPROVAL OF MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS |
332 | |||
| 333 | ||||
DEAR SHAREHOLDER,
The Large Cap Equity Fund gained 2.26% during the six-month period ending February 28, 2023. This compares to the Russell 1000® Index i which gained 1.37% and the Lipper Large-Cap Core Funds Average xii which gained 1.61% during the same period. Both sector positioning and stock selection added to performance relative to the benchmark. The top contributors include Information Technology, Industrials and Consumer Discretionary while the top detractors include Financials, Real Estate and Energy.
The Small-Mid Cap Equity Fund gained 5.06% during the six-month period ending February 28, 2023. This compares to the Russell 2500® Index ii which gained 4.40% and the Lipper Small-Cap Core Funds Average xiii which gained 7.26% during the same period. Sector positioning detracted while stock selection added to performance relative to the benchmark. The top contributors include Information Technology, Energy and Industrials while the top detractors include Consumer Discretionary, Materials and Financials.
The International Equity Fund gained 15.07% during the six-month period ending February 28, 2023. This compares to the MSCI EAFE® Index (Net) iii which gained 12.58% and the Lipper International Large-Cap Core Funds Average xiv which gained 10.99% during the same period. Sector positioning detracted while stock selection added to performance relative to the benchmark. The top contributors include Financials, Industrials and Consumer Discretionary while the top detractors include Energy, Healthcare and Materials.
The Emerging Markets Equity Fund gained 0.85% during the six-month period ending February 28, 2023. This compares to the MSCI Emerging Markets Index (Net) iv which declined 2.29% and the Lipper Emerging Markets Funds Average xv investment category which gained 0.42% during the same period. Both sector position and stock selection added to performance relative to the benchmark. The top contributors include Financials, Consumer Discretionary and Utilities while the top detractors include Communication Services, Energy and Real Estate.
The Core Fixed Income Fund declined 2.63% during the six-month period ending February 28, 2023. This compares to the Bloomberg U.S. Aggregate BondTM Index vi which declined 2.13% and the Lipper Core Bond Funds Average xvii which declined 1.90% during the same period.
The High Yield Fund gained 2.28% during the six-month period ending February 28, 2023. This compares to the Bloomberg U.S. Corporate High Yield Bond Index viii which gained 2.51% and the Lipper High Yield Funds Average xix which gained 2.08% during the same period.
The International Fixed Income Bond Fund declined 2.18% during the six-month period ending February 28, 2023. This compares to the FTSE Non-USD World Government Bond Index (USD) Hedged x which declined 3.03% and the Lipper International Income Funds Average xxi which increased 0.03% during the same period.
The Municipal Bond Fund gained 0.72% during the six-month period ending February 28, 2023. This compares to the Bloomberg U.S. Municipal BondTM Index vii which gained 0.66% and the Lipper General & Insured Municipal Debt Funds Average xviii which gained 0.07% during the same period.
The Inflation-Linked Fixed Income Fund declined 4.76% during the six-month period ending February 28, 2023. This compares to the Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index ix which declined 4.30%% and the Lipper Inflation Protected Bond Funds Average xx investment category which declined 3.52%% during the same period.
The Ultra-Short Term Fixed Income Fund gained 2.22% during the six-month period ending February 28, 2023. This compares to the FTSE 3-Month U.S. Treasury-Bill Index v which gained 1.80% and the Lipper Ultra-Short Obligations Funds Averagexvi which gained 1.77% during the same period.
I
The Alternative Strategies Fund increased 1.25% during the six-month period ending February 28, 2023. This compares to the HFRX Global Hedge Fund Index xi which increased 0.39% and the Lipper Alternative Multi-Strategy Funds Average xxii which increased 1.17% during the same period.
We thank you for your continued confidence in Morgan Stanley Wealth Management and support as shareholders of the Morgan Stanley Pathway Funds.
Sincerely,
Paul Ricciardelli
Chief Executive Officer
II
Although the statements of fact and data contained herein have been obtained from, and are based upon, sources the firm believes reliable, we do not guarantee their accuracy, and any such information may be incomplete or condensed. All opinions included in this report constitute the firm’s judgment as of the date herein, and are subject to change without notice. This material is for informational purposes only, and is not intended as an offer or solicitation with respect to the purchase or sale of any security. This report may contain forward-looking statements, and there can be no guarantee that they will come to pass. The index returns shown are preliminary and subject to change. Past performance is not a guarantee of future results.
Index Definitions
| i. | The Russell 1000® Index measures the performance of the 1,000 largest U.S. companies based on the market capitalization. Please note that an investor cannot invest directly in an index. |
| ii. | The Russell 2500® Index measures the performance of the 2,500 smallest companies in the Russell 3000® Index. Please note that an investor cannot invest directly in an index. |
| iii. | The Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE®) Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI EAFE Index consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| iv. | The MSCI Emerging Markets Index (Net) is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index (Net) consists of the following 21 emerging market country indexes: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| v. | The FTSE 3-Month U.S. Treasury Bill Index – Equal dollar amounts of three-month Treasury bills are purchased at the beginning of each of three consecutive months. As each bill matures, all proceeds are rolled over or reinvested in a new three-month bill. The income used to calculate the monthly return is derived by subtracting the original amount invested from the maturity value. The yield curve average is the basis for calculating the return on the index. The index is rebalanced monthly by market capitalization. Please note that an investor cannot invest directly in an index. |
| vi. | The Bloomberg U.S. Aggregate BondTM Index is a broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related, and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| vii. | The Bloomberg U.S. Municipal BondTM Index covers the U.S. dollar-denominated long-term tax exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, and pre-refunded bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| viii. | The Bloomberg U.S. Corporate High Yield Bond Index measures the market of U.S. dollar-denominated, non-investment grade, fixed rate, taxable corporate bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| ix. | The Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index is an unmanaged market index comprised of all U.S. Treasury Inflation Protected Securities rated investment grade (Baa3 / BBB- or better), have at least one year to final maturity, and at least $250 million par amount outstanding. Please note that an investor cannot invest directly in an index. |
| x. | The FTSE Non-USD World Government Bond Index (USD) Hedged and Unhedged are each sub-indices of the FTSE World Government Bond Index (WGBI), which is comprised of the global sovereign debt of over 20 countries representative in the Americas, EMEA, EMU, Asia Pacific, and Japan regions. The Non-U.S. Dollar WGBI includes all WGBI markets except the United States and is stated in U.S. dollar hedged or unhedged base currency terms. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| xi. | The HFRX Global Hedge Fund Index — is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, even driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry. |
| xii. | The Lipper Large-Cap Core Funds Average – Funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) greater than 300% of the dollar-weighted median market capitalization of the middle 1,000 securities of the S&P SuperComposite 1500® Index. Large-cap core funds have more latitude in the companies in which they invest. These funds typically have an average price-to-earnings ratio, price-to-book ratio, and three-year sales-per-share growth value, compared to the S&P 500® Index. Please note that an investor cannot invest directly in an index. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
| xiii. | The Lipper Small-Cap Core Funds Average – Funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) less than 250% of the dollar-weighted median of the smallest 500 of the middle 1,000 securities of the S&P SuperComposite 1500® Index. Small-cap core funds have more latitude in the companies in which they invest. These funds typically have an average price-to-earnings ratio, price-to-book ratio, and three-year sales-per-share growth value, compared to the S&P Small Cap 600® Index. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
| xiv. | The Lipper International Large-Cap Core Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that, by portfolio practice, invest at least 75% of their equity assets in companies outside of the U.S. with market capitalizations (on a three-year weighted basis) above Lipper’s international large-cap floor. International large-cap core funds typically have average characteristics compared to their large-cap-specific subset of the MSCI EAFE® Index (Net). The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
| xv. | The Lipper Emerging Markets Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that seek long-term capital appreciation by investing at least 65% of total assets in emerging market equity securities, where “emerging market” is defined by a country’s GNP per capita or other economic measures. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
| xvi. | The Lipper Ultra-Short Obligations Funds Average — These are equally weighted total returns using all the active funds available within the category. Lipper analytical averages are an average of all funds in the specified investment objective’s universe. Averages include all funds in the group in existence for the period. The number of component funds always changes. Ultra-short obligations funds invest primarily in investment-grade debt issues or better and maintain a portfolio dollar-weighted average maturity between 91 days and 365 days. |
| xvii. | The Lipper Core Bond Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that invest at least 85% of their assets in domestic investment-grade debt issues (rated in top four grades) with any remaining in investment in non-benchmark sectors such as high-yield, global, and emerging market debt. These funds maintain dollar-weighted average maturities of five to ten years. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
| xviii. | The Lipper General & Insured Municipal Debt Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that either invest primarily in municipal debt issues rated in the top four credit ratings or invest primarily in municipal debt issues insured as to timely payment. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
III
| xix. | The Lipper High Yield Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that aim at high (relative) current yield from fixed income securities, have no quality or maturity restrictions, and tend to invest in lower grade debt issues. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
| xx. | The Lipper Inflation Protected Bond Funds Average — These are equally weighted total returns using all the active funds available within the category Lipper analytical averages are an average of all funds in the specified investment objective’s universe. Averages include all funds in the group in existence for the period. The number of component funds always changes. Inflation protected bond funds invest primarily in inflation-indexed fixed income securities issued in the United States. Inflation-indexed bonds are fixed income securities that are structured to provide protection against inflation. |
| xxi. | The Lipper International Income Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that state in their prospectus that they invest primarily in U.S. dollar and non-U.S. dollar debt securities of issuers located in at least three countries, excluding the United States, except in periods of market weakness. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
| xxii. | The Lipper Alternative Multi-Strategy Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds who by their prospectus language seek total return through the management of several different hedge-like strategies. These funds are typically quantitatively driven to measure the existing relationship between instruments, and in some cases to identify positions in which the risk-adjusted spread between these instruments represents an opportunity for the investment manager. |
IV
Risk Considerations
Equity securities may fluctuate in response to news on companies, industries, market conditions, and general economic environment.
Investing in foreign markets entails risks not typically associated with domestic markets, such as currency fluctuations and controls, restrictions on foreign investments, less governmental supervision and regulation, and the potential for political instability. These risks may be magnified in countries with emerging markets and frontier markets, since these countries may have relatively unstable governments and less established markets and economies.
Investing in small- to medium-sized companies entails special risks, such as limited product lines, markets, and financial resources, and greater volatility than securities of larger, more established companies.
The value of fixed income securities will fluctuate and, upon a sale, may be worth more or less than their original cost or maturity value. Bonds are subject to interest rate risk, call risk, reinvestment risk, liquidity risk, and credit risk of the issuer.
High yield bonds (bonds rated below investment grade) may have speculative characteristics and present significant risks beyond those of other securities, including greater credit risk, price volatility, and limited liquidity in the secondary market. High yield bonds should comprise only a limited portion of a balanced portfolio.
Yields are subject to change with economic conditions. Yield is only one factor that should be considered when making an investment decision.
Asset allocation and diversification do not assure a profit or protect against loss in declining financial markets.
The indices are unmanaged. An investor cannot invest directly in an index. They are shown for illustrative purposes only and do not represent the performance of any specific investment.
Because of their narrow focus, sector investments tend to be more volatile than investments that diversify across many sectors and companies.
Growth investing does not guarantee a profit or eliminate risk. The stocks of these companies can have relatively high valuations. Because of these high valuations, an investment in a growth stock can be more risky than an investment in a company with more modest growth expectations.
Value investing does not guarantee a profit or eliminate risk. Not all companies whose stocks are considered to be value stocks are able to turn their business around or successfully employ corrective strategies which would result in stock prices that do not rise as initially expected.
V
| Performance of the Morgan Stanley Pathway Funds For the Six Months Ended February 28, 2023†* (unaudited) |
||||
| Large Cap Equity Fund | 2.26 | % | ||
| Russell 1000® Index (1) |
1.37 | |||
| Small-Mid Cap Equity Fund | 5.06 | |||
| Russell 2500® Index (2) |
4.40 | |||
| International Equity Fund | 15.07 | |||
| MSCI EAFE® Index (Net) (3) |
12.58 | |||
| Emerging Markets Equity Fund | 0.85 | |||
| MSCI Emerging Markets Index (Net) (4) |
-2.29 | |||
| Core Fixed Income Fund | -2.63 | |||
| Bloomberg U.S. Aggregate BondTM Index (5) |
-2.13 | |||
| High Yield Fund | 2.28 | |||
| Bloomberg U.S. Corporate High Yield Bond Index (6) |
2.51 | |||
| International Fixed Income Fund | -2.18 | |||
| FTSE Non-USD World Government Bond Index (USD) Hedged (7) |
-3.03 | |||
| Municipal Bond Fund | 0.72 | |||
| Bloomberg U.S. Municipal BondTM Index (8) |
0.66 | |||
| Inflation-Linked Fixed Income Fund | -4.76 | |||
| Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index (9) |
-4.30 | |||
| Ultra-Short Term Fixed Income Fund | 2.22 | |||
| FTSE 3-Month U.S. Treasury Bill Index (10) |
1.80 | |||
| Alternative Strategies Fund | 1.25 | |||
| HFRX Global Hedge Fund Index (11) |
0.39 | |||
See pages VII through VIII for all footnotes.
VI
FOOTNOTES
| † | All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemptions of fund shares. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. To obtain performance data current to the most recent month-end, please visit our website at https://www.morganstanley.com/wealth-investmentsolutions/ cgcm/. |
| * | The Funds are available only to investors participating in Morgan Stanley approved advisory programs. These programs charge an annual fee, which may be up to 2.00%. |
| 1. | The Russell 1000® Index measures the performance of the 1,000 largest U.S. companies based on the market capitalization. Please note that an investor cannot invest directly in an index. |
| 2. | The Russell 2500® Index includes the smallest 2,500 U.S. companies out of the Russell 3000® Index universe. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| 3. | The Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE®) Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI EAFE® Index (Net) consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| 4. | The MSCI Emerging Markets Value Index (Net) is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index (Net) consists of the following 26 emerging market country indexes: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Emirates. The value investment style characteristics for index construction are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to nonresident institutional investors who do not benefit from double taxation treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| 5. | The Bloomberg U.S. Aggregate BondTM Index is a broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related, and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| 6. | The Bloomberg U.S. Corporate High Yield Bond Index measures the market of U.S. dollar-denominated, non-investment grade, fixed rate, taxable corporate bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| 7. | The FTSE Non-USD World Government Bond Index (USD) Hedged and Unhedged are each sub-indices of the FTSE World Government Bond Index |
VII
| (WGBI), which is comprised of the global sovereign debt of over 20 countries representative in the Americas, EMEA, EMU, Asia Pacific, and Japan regions. The Non-USD WGBI includes all WGBI markets except the United States and is stated in U.S. dollar hedged or unhedged base currency terms. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| 8. | The Bloomberg U.S. Municipal BondTM Index covers the U.S. dollar- denominated long-term tax exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, and pre-refunded bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| 9. | The Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index is an unmanaged market index comprised of all U.S. Treasury Inflation Protected Securities rated investment grade (Baa3/BBB- or better), have at least one year to final maturity, and at least $250 million par amount outstanding. Please note that an investor cannot invest directly in an index. |
| 10. | The FTSE 3-Month U.S. Treasury Bill Index — Equal dollar amounts of three-month Treasury bills are purchased at the beginning of each of three consecutive months. As each bill matures, all proceeds are rolled over or reinvested in a new three-month bill. The income used to calculate the monthly return is derived by subtracting the original amount invested from the maturity value. The yield curve average is the basis for calculating the return on the index. The index is rebalanced monthly by market capitalization. Please note that an investor cannot invest directly in an index. |
| 11. | The HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry. Hedge Fund Research, Inc. (HFR) utilizes a UCITSIII compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Universe. HFRX Indices utilize state-of-the-art quantitative techniques and analysis; multi-level screening, cluster analysis, Monte-Carlo simulations and optimization techniques ensure that each Index is a pure representation of its corresponding investment focus. |
VIII
| Fund Expenses |
| (unaudited) |
Example
As a shareholder of a Fund, you may incur two types of costs: (1) annual advisory program fees, which may be up to 2.00%; and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. This example is based on an investment of $1,000 invested on September 1, 2022 and held for the six months ended February 28, 2023.
Actual Expenses
The table below titled “Based on Actual Total Return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account during this period, divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expense Paid During the Period”.
| Based on Actual Total Return(1) | |||||||||||||||||||||||||
| Fund | Total Return Without Annual Advisory Program Fees(2) |
Beginning Account Value |
Ending Account Value |
Annualized Expense Ratios |
Expense Paid During the Period(3) | ||||||||||||||||||||
| Large Cap Equity Fund |
2.26 | % | $ | 1,000.00 | $ | 1,022.60 | 0.49 | % | $ | 2.46 | |||||||||||||||
| Small-Mid Cap Equity Fund |
5.06 | % | 1,000.00 | 1,050.60 | 0.60 | % | 3.05 | ||||||||||||||||||
| International Equity Fund |
15.07 | % | 1,000.00 | 1,150.70 | 0.68 | % | 3.63 | ||||||||||||||||||
| Emerging Markets Equity Fund |
0.85 | % | 1,000.00 | 1,008.50 | 0.82 | % | 4.08 | ||||||||||||||||||
| Core Fixed Income Fund |
-2.63 | % | 1,000.00 | 973.70 | 0.53 | % | 2.59 | ||||||||||||||||||
| High Yield Fund |
2.28 | % | 1,000.00 | 1,022.80 | 0.97 | % | 4.86 | ||||||||||||||||||
| International Fixed Income Fund |
-2.18 | % | 1,000.00 | 978.20 | 0.92 | % | 4.51 | ||||||||||||||||||
| Municipal Bond Fund |
0.72 | % | 1,000.00 | 1,007.20 | 0.77 | % | 3.83 | ||||||||||||||||||
| Inflation-Linked Fixed Income Fund |
-4.76 | % | 1,000.00 | 952.40 | 2.43 | % | 11.76 | ||||||||||||||||||
| Ultra-Short Term Fixed Income Fund |
2.22 | % | 1,000.00 | 1,022.20 | 0.81 | % | 4.06 | ||||||||||||||||||
| Alternative Strategies Fund |
1.25 | % | 1,000.00 | 1,012.50 | 0.49 | % | 2.45 | ||||||||||||||||||
| (1) | For the six months ended February 28, 2023. |
| (2) | Assumes reinvestment of all distributions, including returns of capital, if any, at net asset value and does not reflect the deduction of the applicable advisory program charge, which may be up to 2.00% depending on the particular program through which you invest. Total return is not annualized as it may not be representative of the total return for the year. Performance figure may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. |
| (3) | Expenses (net of fee waivers and/or expense reimbursements) are equal to each Fund’s respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days (181 days) in the most recent fiscal half-year, then divided by 365 (to reflect the one-half year period). |
1
| Fund Expenses |
| (unaudited) (continued) |
Hypothetical Example for Comparison Purposes
The table below titled “Based on Hypothetical Total Return” provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5.00% per year/period before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balances or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in each Fund and other funds. To do so, compare the 5.00% hypothetical example relating to a Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any advisory program annual fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these advisory program annual fees were included, your costs would have been higher.
| Based on Hypothetical Total Return(1) | |||||||||||||||||||||||||
| Fund | Hypothetical Annualized Total Return |
Beginning Account Value |
Ending Account Value |
Annualized Expense Ratios |
Expense Paid During the Period(2) | ||||||||||||||||||||
| Large Cap Equity Fund |
5.00 | % | $ | 1,000.00 | $ | 1,022.36 | 0.49 | % | $ | 2.46 | |||||||||||||||
| Small-Mid Cap Equity Fund |
5.00 | % | 1,000.00 | 1,021.82 | 0.60 | % | 3.01 | ||||||||||||||||||
| International Equity Fund |
5.00 | % | 1,000.00 | 1,021.42 | 0.68 | % | 3.41 | ||||||||||||||||||
| Emerging Markets Equity Fund |
5.00 | % | 1,000.00 | 1,020.73 | 0.82 | % | 4.11 | ||||||||||||||||||
| Core Fixed Income Fund |
5.00 | % | 1,000.00 | 1,022.17 | 0.53 | % | 2.66 | ||||||||||||||||||
| High Yield Fund |
5.00 | % | 1,000.00 | 1,019.98 | 0.97 | % | 4.86 | ||||||||||||||||||
| International Fixed Income Fund |
5.00 | % | 1,000.00 | 1,020.23 | 0.92 | % | 4.61 | ||||||||||||||||||
| Municipal Bond Fund |
5.00 | % | 1,000.00 | 1,020.98 | 0.77 | % | 3.86 | ||||||||||||||||||
| Inflation-Linked Fixed Income Fund |
5.00 | % | 1,000.00 | 1,012.74 | 2.43 | % | 12.13 | ||||||||||||||||||
| Ultra-Short Term Fixed Income Fund |
5.00 | % | 1,000.00 | 1,020.78 | 0.81 | % | 4.06 | ||||||||||||||||||
| Alternative Strategies Fund |
5.00 | % | 1,000.00 | 1,022.36 | 0.49 | % | 2.46 | ||||||||||||||||||
| (1) | For the six months ended February 28, 2023. |
| (2) | Expenses (net of fee waivers and/or expense reimbursements) are equal to each Fund’s respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days (181 days) in the most recent fiscal half-year, then divided by 365 (to reflect the one-half year period). |
2
| Schedules of Investments |
| February 28, 2023 (unaudited) |
See Notes to Financial Statements.
3
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| COMMUNICATION SERVICES — 6.8% — (continued) | ||||||||
| Media — 0.7% — (continued) | ||||||||
| 832 | Nexstar Media Group Inc., Class A Shares | $ | 154,669 | |||||
| 4,738 | Omnicom Group Inc. | 429,121 | ||||||
| 181 | Paramount Global, Class A Shares | 4,449 | ||||||
| 13,431 | Paramount Global, Class B Shares(a) | 287,692 | ||||||
| 15,655 | Sirius XM Holdings Inc.(a) | 68,726 | ||||||
| 10,221 | Trade Desk Inc. (The), Class A Shares* | 571,967 | ||||||
|
|
|
|||||||
| Total Media | 11,521,745 | |||||||
|
|
|
|||||||
| Wireless Telecommunication Services — 0.1% | ||||||||
| 13,888 | T-Mobile US Inc.* | 1,974,596 | ||||||
|
|
|
|||||||
| TOTAL COMMUNICATION SERVICES | 115,333,682 | |||||||
|
|
|
|||||||
| CONSUMER DISCRETIONARY — 11.5% | ||||||||
| Auto Components — 0.6% | ||||||||
| 40,029 | Adient PLC* | 1,710,039 | ||||||
| 41,846 | Aptiv PLC* | 4,865,853 | ||||||
| 5,465 | BorgWarner Inc. | 274,780 | ||||||
| 5,537 | Gentex Corp. | 158,081 | ||||||
| 25,222 | Lear Corp. | 3,522,252 | ||||||
| 6,198 | QuantumScape Corp., Class A Shares*(a) | 59,315 | ||||||
|
|
|
|||||||
| Total Auto Components . | 10,590,320 | |||||||
|
|
|
|||||||
| Automobiles — 1.0% | ||||||||
| 91,867 | Ford Motor Co | 1,108,835 | ||||||
| 33,025 | General Motors Co | 1,279,388 | ||||||
| 3,195 | Harley-Davidson Inc. | 151,922 | ||||||
| 11,860 | Lucid Group Inc.*(a) | 108,282 | ||||||
| 12,102 | Rivian Automotive Inc., Class A Shares*(a) | 233,569 | ||||||
| 68,353 | Tesla Inc.* | 14,060,896 | ||||||
| 1,181 | Thor Industries Inc. | 107,459 | ||||||
|
|
|
|||||||
| Total Automobiles | 17,050,351 | |||||||
|
|
|
|||||||
| Distributors — 0.6% | ||||||||
| 3,234 | Genuine Parts Co | 571,965 | ||||||
| 175,428 | LKQ Corp. | 10,050,270 | ||||||
| 888 | Pool Corp. | 316,892 | ||||||
|
|
|
|||||||
| Total Distributors | 10,939,127 | |||||||
|
|
|
|||||||
| Diversified Consumer Services — 0.0%@ | ||||||||
| 4,867 | ADT Inc. | 36,697 | ||||||
| 1,339 | Bright Horizons Family Solutions Inc.* | 105,567 | ||||||
| 692 | Grand Canyon Education Inc.* | 78,397 | ||||||
| 3,557 | H&R Block Inc. | 130,897 | ||||||
| 1,825 | Mister Car Wash Inc.* | 16,845 | ||||||
| 3,444 | Service Corp. International | 232,573 | ||||||
|
|
|
|||||||
| Total Diversified Consumer Services | 600,976 | |||||||
|
|
|
|||||||
| Hotels, Restaurants & Leisure — 2.1% | ||||||||
| 8,719 | Airbnb Inc., Class A Shares* | 1,074,878 | ||||||
| 5,398 | Aramark | 198,646 | ||||||
| 3,161 | Booking Holdings Inc.* | 7,978,364 | ||||||
| 1,722 | Boyd Gaming Corp. | 112,154 | ||||||
| 4,778 | Caesars Entertainment Inc.* | 242,531 | ||||||
| 22,718 | Carnival Corp.*(a) | 241,265 | ||||||
| 2,934 | Chipotle Mexican Grill Inc., Class A Shares* | 4,374,829 | ||||||
| 786 | Choice Hotels International Inc. | 93,031 | ||||||
See Notes to Financial Statements.
4
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| CONSUMER DISCRETIONARY — 11.5% — (continued) | ||||||||
| Hotels, Restaurants & Leisure — 2.1% — (continued) | ||||||||
| 809 | Churchill Downs Inc. | $ | 198,836 | |||||
| 2,851 | Darden Restaurants Inc. | 407,665 | ||||||
| 827 | Domino’s Pizza Inc. | 243,146 | ||||||
| 8,241 | DraftKings Inc., Class A Shares* | 155,425 | ||||||
| 3,522 | Expedia Group Inc.* | 383,792 | ||||||
| 6,205 | Hilton Worldwide Holdings Inc. | 896,685 | ||||||
| 1,100 | Hyatt Hotels Corp., Class A Shares* | 127,864 | ||||||
| 7,703 | Las Vegas Sands Corp.* | 442,692 | ||||||
| 6,185 | Marriott International Inc., Class A Shares | 1,046,749 | ||||||
| 855 | Marriott Vacations Worldwide Corp. | 130,807 | ||||||
| 17,229 | McDonald’s Corp. | 4,546,905 | ||||||
| 7,549 | MGM Resorts International | 324,683 | ||||||
| 9,939 | Norwegian Cruise Line Holdings Ltd.*(a) | 147,296 | ||||||
| 3,523 | Penn Entertainment Inc.* | 107,557 | ||||||
| 1,883 | Planet Fitness Inc., Class A Shares* | 152,617 | ||||||
| 5,130 | Royal Caribbean Cruises Ltd.* | 362,383 | ||||||
| 1,891 | Six Flags Entertainment Corp.* | 49,922 | ||||||
| 26,733 | Starbucks Corp. | 2,729,172 | ||||||
| 1,884 | Travel + Leisure Co. | 79,034 | ||||||
| 28,855 | Vail Resorts Inc. | 6,737,354 | ||||||
| 3,955 | Wendy’s Co. (The) | 86,852 | ||||||
| 1,980 | Wyndham Hotels & Resorts Inc. | 152,500 | ||||||
| 2,427 | Wynn Resorts Ltd.* | 263,014 | ||||||
| 6,568 | Yum! Brands Inc. | 835,187 | ||||||
|
|
|
|||||||
| Total Hotels, Restaurants & Leisure | 34,923,835 | |||||||
|
|
|
|||||||
| Household Durables — 0.4% | ||||||||
| 7,349 | DR Horton Inc. | 679,636 | ||||||
| 3,590 | Garmin Ltd | 352,287 | ||||||
| 2,961 | Leggett & Platt Inc. | 102,125 | ||||||
| 5,841 | Lennar Corp., Class A Shares | 565,058 | ||||||
| 305 | Lennar Corp., Class B Shares | 24,906 | ||||||
| 1,248 | Mohawk Industries Inc.* | 128,357 | ||||||
| 8,999 | Newell Brands Inc. | 132,195 | ||||||
| 69 | NVR Inc.* | 356,980 | ||||||
| 5,314 | PulteGroup Inc. | 290,516 | ||||||
| 3,981 | Tempur Sealy International Inc. | 170,148 | ||||||
| 2,403 | Toll Brothers Inc. | 144,036 | ||||||
| 755 | TopBuild Corp.* | 156,730 | ||||||
| 26,871 | Whirlpool Corp. | 3,707,661 | ||||||
|
|
|
|||||||
| Total Household Durables . | 6,810,635 | |||||||
|
|
|
|||||||
| Internet & Direct Marketing Retail — 2.5% | ||||||||
| 368,989 | Amazon.com Inc.* | 34,769,833 | ||||||
| 50,202 | Chewy Inc., Class A Shares*(a) | 2,035,691 | ||||||
| 5,820 | DoorDash Inc., Class A Shares* | 318,121 | ||||||
| 120,392 | eBay Inc. | 5,525,993 | ||||||
| 2,912 | Etsy Inc.* | 353,546 | ||||||
| 1,839 | Wayfair Inc., Class A Shares*(a) | 74,461 | ||||||
|
|
|
|||||||
| Total Internet & Direct Marketing Retail | 43,077,645 | |||||||
|
|
|
|||||||
| Leisure Products — 0.1% | ||||||||
| 1,651 | Brunswick Corp. | 144,330 | ||||||
| 3,063 | Hasbro Inc. | 168,496 | ||||||
| 8,271 | Mattel Inc.* | 148,795 | ||||||
| 7,512 | Peloton Interactive Inc., Class A Shares* | 97,055 | ||||||
See Notes to Financial Statements.
5
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| CONSUMER DISCRETIONARY — 11.5% — (continued) | ||||||||
| Leisure Products — 0.1% — (continued) | ||||||||
| 1,258 | Polaris Inc.(a) | $ | 143,098 | |||||
| 1,911 | YETI Holdings Inc.* | 74,491 | ||||||
|
|
|
|||||||
| Total Leisure Products . | 776,265 | |||||||
|
|
|
|||||||
| Multiline Retail — 1.2% | ||||||||
| 22,822 | Dollar General Corp. | 4,936,399 | ||||||
| 86,896 | Dollar Tree Inc.* | 12,624,251 | ||||||
| 2,792 | Kohl’s Corp. | 78,288 | ||||||
| 6,423 | Macy’s Inc. | 131,414 | ||||||
| 2,693 | Nordstrom Inc. | 52,460 | ||||||
| 1,369 | Ollie’s Bargain Outlet Holdings Inc.* | 78,772 | ||||||
| 10,796 | Target Corp. | 1,819,126 | ||||||
|
|
|
|||||||
| Total Multiline Retail | 19,720,710 | |||||||
|
|
|
|||||||
| Specialty Retail — 1.9% | ||||||||
| 15,248 | Advance Auto Parts Inc. | 2,210,350 | ||||||
| 832 | AutoNation Inc.* | 113,576 | ||||||
| 442 | AutoZone Inc.* | 1,099,051 | ||||||
| 5,328 | Bath & Body Works Inc. | 217,755 | ||||||
| 4,681 | Best Buy Co., Inc. | 389,038 | ||||||
| 1,533 | Burlington Stores Inc.* | 328,445 | ||||||
| 3,705 | CarMax Inc.* | 255,793 | ||||||
| 2,518 | Carvana Co., Class A Shares*(a) | 23,720 | ||||||
| 1,214 | Dick’s Sporting Goods Inc. | 156,157 | ||||||
| 1,271 | Five Below Inc.* | 259,665 | ||||||
| 2,407 | Floor & Decor Holdings Inc., Class A Shares* | 220,987 | ||||||
| 5,933 | GameStop Corp., Class A Shares*(a) | 114,092 | ||||||
| 4,370 | Gap Inc. (The) | 56,854 | ||||||
| 24,089 | Home Depot Inc. (The) | 7,143,352 | ||||||
| 3,940 | Leslie’s Inc.* | 49,683 | ||||||
| 11,186 | Lithia Motors Inc., Class A Shares | 2,854,443 | ||||||
| 34,077 | Lowe’s Cos., Inc. | 7,011,343 | ||||||
| 1,444 | O’Reilly Automotive Inc.* | 1,198,664 | ||||||
| 598 | Penske Automotive Group Inc. | 86,202 | ||||||
| 1,943 | Petco Health & Wellness Co., Inc., Class A Shares* | 20,013 | ||||||
| 441 | RH* | 131,872 | ||||||
| 7,942 | Ross Stores Inc. | 877,909 | ||||||
| 85,458 | TJX Cos., Inc. (The) | 6,546,083 | ||||||
| 2,572 | Tractor Supply Co. | 599,945 | ||||||
| 1,174 | Ulta Beauty Inc.* | 609,071 | ||||||
| 1,832 | Victoria’s Secret & Co.* | 72,620 | ||||||
| 1,524 | Williams-Sonoma Inc.(a) | 190,378 | ||||||
|
|
|
|||||||
| Total Specialty Retail . | 32,837,061 | |||||||
|
|
|
|||||||
| Textiles, Apparel & Luxury Goods — 1.1% | ||||||||
| 3,002 | Capri Holdings Ltd.* | 148,809 | ||||||
| 850 | Carter’s Inc. | 64,081 | ||||||
| 872 | Columbia Sportswear Co. | 76,038 | ||||||
| 613 | Deckers Outdoor Corp.* | 255,222 | ||||||
| 165,847 | Hanesbrands Inc. | 942,011 | ||||||
| 9,734 | lululemon athletica Inc.* | 3,009,753 | ||||||
| 111,045 | NIKE Inc., Class B Shares | 13,191,036 | ||||||
| 1,498 | PVH Corp. | 120,199 | ||||||
| 973 | Ralph Lauren Corp., Class A Shares | 114,999 | ||||||
| 3,168 | Skechers USA Inc., Class A Shares* | 141,008 | ||||||
| 5,619 | Tapestry Inc. | 244,483 | ||||||
See Notes to Financial Statements.
6
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| CONSUMER DISCRETIONARY — 11.5% — (continued) | ||||||||
| Textiles, Apparel & Luxury Goods — 1.1% — (continued) | ||||||||
| 4,131 | Under Armour Inc., Class A Shares* | $ | 41,021 | |||||
| 5,012 | Under Armour Inc., Class C Shares* | 44,106 | ||||||
| 8,141 | V.F. Corp. | 202,060 | ||||||
|
|
|
|||||||
| Total Textiles, Apparel & Luxury Goods | 18,594,826 | |||||||
|
|
|
|||||||
| TOTAL CONSUMER DISCRETIONARY | 195,921,751 | |||||||
|
|
|
|||||||
| CONSUMER STAPLES — 5.1% | ||||||||
| Beverages — 1.1% | ||||||||
| 231 | Boston Beer Co., Inc. (The), Class A Shares* | 74,798 | ||||||
| 997 | Brown-Forman Corp., Class A Shares | 64,725 | ||||||
| 4,274 | Brown-Forman Corp., Class B Shares | 277,255 | ||||||
| 91,027 | Coca-Cola Co. (The) | 5,417,017 | ||||||
| 3,530 | Constellation Brands Inc., Class A Shares | 789,661 | ||||||
| 19,977 | Keurig Dr Pepper Inc. | 690,205 | ||||||
| 4,076 | Molson Coors Beverage Co., Class B Shares | 216,803 | ||||||
| 55,112 | Monster Beverage Corp.* | 5,608,197 | ||||||
| 32,229 | PepsiCo Inc. | 5,592,698 | ||||||
|
|
|
|||||||
| Total Beverages . | 18,731,359 | |||||||
|
|
|
|||||||
| Food & Staples Retailing — 1.5% | ||||||||
| 3,907 | Albertsons Cos., Inc., Class A Shares | 77,671 | ||||||
| 3,120 | BJ’s Wholesale Club Holdings Inc.* | 224,016 | ||||||
| 865 | Casey’s General Stores Inc. | 179,877 | ||||||
| 18,443 | Costco Wholesale Corp. | 8,929,732 | ||||||
| 2,130 | Grocery Outlet Holding Corp.* | 57,617 | ||||||
| 15,274 | Kroger Co. (The) | 658,920 | ||||||
| 3,541 | Performance Food Group Co.* | 200,385 | ||||||
| 120,093 | Sysco Corp. | 8,955,335 | ||||||
| 4,727 | US Foods Holding Corp.* | 177,404 | ||||||
| 16,712 | Walgreens Boots Alliance Inc. | 593,777 | ||||||
| 33,137 | Walmart Inc. | 4,709,762 | ||||||
|
|
|
|||||||
| Total Food & Staples Retailing | 24,764,496 | |||||||
|
|
|
|||||||
| Food Products — 1.0% | ||||||||
| 62,940 | Archer-Daniels-Midland Co | 5,010,024 | ||||||
| 3,221 | Bunge Ltd | 307,606 | ||||||
| 4,514 | Campbell Soup Co | 237,075 | ||||||
| 123,262 | Conagra Brands Inc. | 4,487,969 | ||||||
| 3,726 | Darling Ingredients Inc.* | 235,744 | ||||||
| 4,476 | Flowers Foods Inc. | 124,791 | ||||||
| 1,001 | Freshpet Inc.* | 62,242 | ||||||
| 13,884 | General Mills Inc. | 1,103,917 | ||||||
| 3,400 | Hershey Co. (The) | 810,288 | ||||||
| 6,677 | Hormel Foods Corp. | 296,325 | ||||||
| 1,548 | Ingredion Inc. | 153,871 | ||||||
| 2,401 | J.M. Smucker Co. (The) | 355,084 | ||||||
| 5,938 | Kellogg Co. | 391,552 | ||||||
| 16,280 | Kraft Heinz Co. (The) | 633,943 | ||||||
| 3,356 | Lamb Weston Holdings Inc. | 337,748 | ||||||
| 5,838 | McCormick & Co., Inc., Class VTG Shares | 433,880 | ||||||
| 31,784 | Mondelez International Inc., Class A Shares | 2,071,681 | ||||||
| 1,166 | Pilgrim’s Pride Corp.* | 27,273 | ||||||
| 1,309 | Post Holdings Inc.* | 117,758 | ||||||
| 5 | Seaboard Corp. | 19,750 | ||||||
| 6,635 | Tyson Foods Inc., Class A Shares | 393,057 | ||||||
|
|
|
|||||||
| Total Food Products | 17,611,578 | |||||||
|
|
|
|||||||
See Notes to Financial Statements.
7
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| CONSUMER STAPLES — 5.1% — (continued) | ||||||||
| Household Products — 0.7% | ||||||||
| 5,655 | Church & Dwight Co., Inc. | $ | 473,776 | |||||
| 2,870 | Clorox Co. (The) | 446,113 | ||||||
| 19,299 | Colgate-Palmolive Co | 1,414,617 | ||||||
| 7,841 | Kimberly-Clark Corp. | 980,517 | ||||||
| 55,031 | Procter & Gamble Co. (The) | 7,570,064 | ||||||
| 1,183 | Reynolds Consumer Products Inc. | 32,462 | ||||||
| 974 | Spectrum Brands Holdings Inc. | 62,355 | ||||||
|
|
|
|||||||
| Total Household Products . | 10,979,904 | |||||||
|
|
|
|||||||
| Personal Products — 0.5% | ||||||||
| 8,313 | Coty Inc., Class A Shares* | 93,937 | ||||||
| 36,937 | Estee Lauder Cos., Inc. (The), Class A Shares | 8,977,538 | ||||||
| 3,001 | Olaplex Holdings Inc.* | 14,765 | ||||||
|
|
|
|||||||
| Total Personal Products . | 9,086,240 | |||||||
|
|
|
|||||||
| Tobacco — 0.3% | ||||||||
| 41,795 | Altria Group Inc. | 1,940,542 | ||||||
| 36,125 | Philip Morris International Inc. | 3,514,962 | ||||||
|
|
|
|||||||
| Total Tobacco . | 5,455,504 | |||||||
|
|
|
|||||||
| TOTAL CONSUMER STAPLES | 86,629,081 | |||||||
|
|
|
|||||||
| ENERGY — 2.9% | ||||||||
| Energy Equipment & Services — 0.2% | ||||||||
| 21,936 | Baker Hughes Co., Class A Shares | 671,242 | ||||||
| 20,928 | Halliburton Co | 758,222 | ||||||
| 9,114 | NOV Inc. | 199,414 | ||||||
| 32,925 | Schlumberger Ltd | 1,751,939 | ||||||
|
|
|
|||||||
| Total Energy Equipment & Services | 3,380,817 | |||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels — 2.7% | ||||||||
| 7,501 | Antero Midstream Corp. | 79,061 | ||||||
| 6,453 | Antero Resources Corp.* | 169,069 | ||||||
| 7,461 | APA Corp. | 286,353 | ||||||
| 5,798 | Cheniere Energy Inc. | 912,257 | ||||||
| 2,820 | Chesapeake Energy Corp. | 227,884 | ||||||
| 45,089 | Chevron Corp. | 7,248,959 | ||||||
| 64,352 | ConocoPhillips | 6,650,779 | ||||||
| 18,278 | Coterra Energy Inc. | 456,402 | ||||||
| 15,151 | Devon Energy Corp. | 816,942 | ||||||
| 4,090 | Diamondback Energy Inc. | 574,972 | ||||||
| 2,317 | DT Midstream Inc. | 116,313 | ||||||
| 739 | Enviva Inc. | 32,191 | ||||||
| 13,633 | EOG Resources Inc. | 1,540,802 | ||||||
| 8,582 | EQT Corp. | 284,751 | ||||||
| 96,074 | Exxon Mobil Corp. | 10,559,493 | ||||||
| 6,559 | Hess Corp. | 883,497 | ||||||
| 3,251 | HF Sinclair Corp. | 161,640 | ||||||
| 46,293 | Kinder Morgan Inc. | 789,759 | ||||||
| 15,071 | Marathon Oil Corp. | 379,036 | ||||||
| 10,906 | Marathon Petroleum Corp. | 1,347,982 | ||||||
| 1,163 | New Fortress Energy Inc., Class A Shares | 38,367 | ||||||
| 18,499 | Occidental Petroleum Corp. | 1,083,301 | ||||||
| 10,354 | ONEOK Inc. | 677,669 | ||||||
| 5,701 | Ovintiv Inc. | 243,832 | ||||||
| 2,111 | PDC Energy Inc. | 141,669 | ||||||
See Notes to Financial Statements.
8
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| ENERGY — 2.9% — (continued) | ||||||||
| Oil, Gas & Consumable Fuels — 2.7% — (continued) | ||||||||
| 11,012 | Phillips 66 | $ | 1,129,391 | |||||
| 5,539 | Pioneer Natural Resources Co. | 1,110,071 | ||||||
| 5,705 | Range Resources Corp. | 153,693 | ||||||
| 24,827 | Southwestern Energy Co.* | 131,583 | ||||||
| 174,549 | Suncor Energy Inc. | 5,864,846 | ||||||
| 5,262 | Targa Resources Corp. | 389,914 | ||||||
| 133 | Texas Pacific Land Corp. | 236,765 | ||||||
| 8,776 | Valero Energy Corp. | 1,156,062 | ||||||
| 533 | Vitesse Energy Inc.* | 9,269 | ||||||
| 28,373 | Williams Cos., Inc. (The) | 854,027 | ||||||
|
|
|
|||||||
| Total Oil, Gas & Consumable Fuels | 46,738,601 | |||||||
|
|
|
|||||||
| TOTAL ENERGY | 50,119,418 | |||||||
|
|
|
|||||||
| FINANCIALS — 9.7% | ||||||||
| Banks — 2.5% | ||||||||
| 163,738 | Bank of America Corp. | 5,616,213 | ||||||
| 870 | Bank of Hawaii Corp. | 65,128 | ||||||
| 2,683 | Bank OZK | 123,498 | ||||||
| 656 | BOK Financial Corp. | 68,670 | ||||||
| 45,127 | Citigroup Inc. | 2,287,488 | ||||||
| 11,372 | Citizens Financial Group Inc. | 474,895 | ||||||
| 3,042 | Comerica Inc. | 213,244 | ||||||
| 2,565 | Commerce Bancshares Inc. | 169,675 | ||||||
| 1,365 | Cullen/Frost Bankers Inc. | 179,934 | ||||||
| 3,293 | East West Bancorp Inc. | 250,960 | ||||||
| 15,869 | Fifth Third Bancorp . | 576,045 | ||||||
| 272 | First Citizens BancShares Inc., Class A Shares | 199,583 | ||||||
| 3,053 | First Hawaiian Inc. | 83,500 | ||||||
| 12,322 | First Horizon Corp. | 305,216 | ||||||
| 4,235 | First Republic Bank . | 520,947 | ||||||
| 7,759 | FNB Corp. | 110,721 | ||||||
| 33,424 | Huntington Bancshares Inc. | 512,056 | ||||||
| 68,000 | JPMorgan Chase & Co. | 9,747,800 | ||||||
| 21,640 | KeyCorp. | 395,796 | ||||||
| 4,004 | M&T Bank Corp. | 621,781 | ||||||
| 2,504 | PacWest Bancorp . | 69,486 | ||||||
| 1,767 | Pinnacle Financial Partners Inc. | 130,917 | ||||||
| 9,384 | PNC Financial Services Group Inc. (The) | 1,481,921 | ||||||
| 1,628 | Popular Inc. | 116,239 | ||||||
| 2,068 | Prosperity Bancshares Inc. | 151,977 | ||||||
| 21,769 | Regions Financial Corp. | 507,653 | ||||||
| 1,455 | Signature Bank | 167,398 | ||||||
| 1,367 | SVB Financial Group* | 393,846 | ||||||
| 3,429 | Synovus Financial Corp. | 143,366 | ||||||
| 114,088 | Truist Financial Corp. | 5,356,432 | ||||||
| 4,955 | Umpqua Holdings Corp. | 87,505 | ||||||
| 114,881 | US Bancorp . | 5,483,270 | ||||||
| 4,074 | Webster Financial Corp. | 216,411 | ||||||
| 88,415 | Wells Fargo & Co | 4,135,170 | ||||||
| 2,492 | Western Alliance Bancorp . | 185,006 | ||||||
| 1,389 | Wintrust Financial Corp. | 127,969 | ||||||
| 3,487 | Zions Bancorp NA . | 176,512 | ||||||
|
|
|
|||||||
| Total Banks . | 41,454,228 | |||||||
|
|
|
|||||||
See Notes to Financial Statements.
9
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| FINANCIALS — 9.7% — (continued) | ||||||||
| Capital Markets — 3.7% | ||||||||
| 20,842 | Affiliated Managers Group Inc. | $ | 3,322,423 | |||||
| 30,139 | Ameriprise Financial Inc. | 10,333,759 | ||||||
| 3,571 | Ares Management Corp., Class A Shares | 287,930 | ||||||
| 17,110 | Bank of New York Mellon Corp. (The) | 870,557 | ||||||
| 3,498 | BlackRock Inc., Class A Shares | 2,411,626 | ||||||
| 16,315 | Blackstone Inc. | 1,481,402 | ||||||
| 9,729 | Blue Owl Capital Inc., Class A Shares | 120,056 | ||||||
| 4,878 | Carlyle Group Inc. (The) | 167,803 | ||||||
| 2,465 | Cboe Global Markets Inc. | 311,009 | ||||||
| 35,435 | Charles Schwab Corp. (The) | 2,761,095 | ||||||
| 8,360 | CME Group Inc., Class A Shares | 1,549,610 | ||||||
| 3,742 | Coinbase Global Inc., Class A Shares*(a) | 242,594 | ||||||
| 791 | Evercore Inc., Class A Shares | 103,763 | ||||||
| 884 | FactSet Research Systems Inc. | 366,462 | ||||||
| 6,645 | Franklin Resources Inc. | 195,828 | ||||||
| 7,646 | Goldman Sachs Group Inc. (The) | 2,688,716 | ||||||
| 2,184 | Interactive Brokers Group Inc., Class A Shares | 188,064 | ||||||
| 12,863 | Intercontinental Exchange Inc. | 1,309,453 | ||||||
| 8,766 | Invesco Ltd | 154,808 | ||||||
| 3,003 | Janus Henderson Group PLC . | 82,462 | ||||||
| 4,536 | Jefferies Financial Group Inc. | 171,415 | ||||||
| 13,322 | KKR & Co., Inc., Class Miscella Shares | 750,695 | ||||||
| 2,131 | Lazard Ltd., Class A Shares | 79,614 | ||||||
| 1,854 | LPL Financial Holdings Inc. | 462,684 | ||||||
| 865 | MarketAxess Holdings Inc. | 295,354 | ||||||
| 3,725 | Moody’s Corp. | 1,080,809 | ||||||
| 28,740 | Morgan Stanley(b) . | 2,773,410 | ||||||
| 573 | Morningstar Inc. | 118,800 | ||||||
| 12,037 | MSCI Inc., Class A Shares | 6,285,120 | ||||||
| 8,008 | Nasdaq Inc. | 448,928 | ||||||
| 4,787 | Northern Trust Corp. | 456,058 | ||||||
| 4,534 | Raymond James Financial Inc. | 491,758 | ||||||
| 12,534 | Robinhood Markets Inc., Class A Shares*(a) | 126,217 | ||||||
| 53,620 | S&P Global Inc. | 18,295,144 | ||||||
| 2,431 | SEI Investments Co. | 146,468 | ||||||
| 8,545 | State Street Corp. | 757,771 | ||||||
| 2,444 | Stifel Financial Corp. | 163,333 | ||||||
| 5,125 | T. Rowe Price Group Inc. | 575,435 | ||||||
| 2,525 | Tradeweb Markets Inc., Class A Shares | 178,997 | ||||||
| 2,150 | Virtu Financial Inc., Class A Shares | 39,517 | ||||||
|
|
|
|||||||
| Total Capital Markets | 62,646,947 | |||||||
|
|
|
|||||||
| Consumer Finance — 0.4% | ||||||||
| 6,877 | Ally Financial Inc. | 206,654 | ||||||
| 14,035 | American Express Co | 2,441,950 | ||||||
| 25,531 | Bread Financial Holdings Inc. | 1,048,558 | ||||||
| 8,871 | Capital One Financial Corp. | 967,649 | ||||||
| 147 | Credit Acceptance Corp.* | 65,318 | ||||||
| 6,356 | Discover Financial Services | 711,872 | ||||||
| 2,681 | OneMain Holdings Inc., Class A Shares | 115,524 | ||||||
| 5,972 | SLM Corp. | 85,877 | ||||||
| 19,038 | SoFi Technologies Inc.*(a) | 125,651 | ||||||
| 10,712 | Synchrony Financial . | 382,525 | ||||||
| 1,772 | Upstart Holdings Inc.*(a) | 32,800 | ||||||
|
|
|
|||||||
| Total Consumer Finance | 6,184,378 | |||||||
|
|
|
|||||||
See Notes to Financial Statements.
10
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| FINANCIALS — 9.7% — (continued) | ||||||||
| Diversified Financial Services — 0.8% | ||||||||
| 11,263 | Apollo Global Management Inc. | $ | 798,547 | |||||
| 42,060 | Berkshire Hathaway Inc., Class B Shares* | 12,835,871 | ||||||
| 8,630 | Equitable Holdings Inc. | 271,155 | ||||||
| 2,299 | Voya Financial Inc. | 171,252 | ||||||
|
|
|
|||||||
| Total Diversified Financial Services | 14,076,825 | |||||||
|
|
|
|||||||
| Insurance — 2.3% | ||||||||
| 14,363 | Aflac Inc. | 978,838 | ||||||
| 6,157 | Allstate Corp. (The) | 792,898 | ||||||
| 1,566 | American Financial Group Inc. | 210,016 | ||||||
| 88,120 | American International Group Inc. | 5,385,013 | ||||||
| 4,776 | Aon PLC, Class A Shares | 1,452,143 | ||||||
| 8,249 | Arch Capital Group Ltd.* | 577,430 | ||||||
| 4,846 | Arthur J. Gallagher & Co | 907,898 | ||||||
| 25,289 | Assurant Inc. | 3,221,566 | ||||||
| 1,327 | Assured Guaranty Ltd. | 82,818 | ||||||
| 1,736 | Axis Capital Holdings Ltd. | 105,410 | ||||||
| 1,708 | Brighthouse Financial Inc.* | 98,774 | ||||||
| 5,505 | Brown & Brown Inc. | 308,665 | ||||||
| 9,688 | Chubb Ltd. | 2,044,362 | ||||||
| 3,570 | Cincinnati Financial Corp. | 430,899 | ||||||
| 623 | CNA Financial Corp. | 27,275 | ||||||
| 595 | Erie Indemnity Co., Class A Shares | 140,057 | ||||||
| 906 | Everest Re Group Ltd | 347,877 | ||||||
| 427 | F&G Annuities & Life Inc. | 8,698 | ||||||
| 6,097 | Fidelity National Financial Inc. | 243,026 | ||||||
| 2,249 | First American Financial Corp. | 127,698 | ||||||
| 2,082 | Globe Life Inc. | 253,359 | ||||||
| 835 | Hanover Insurance Group Inc. (The) | 116,466 | ||||||
| 7,395 | Hartford Financial Services Group Inc. (The) | 578,881 | ||||||
| 1,538 | Kemper Corp. | 94,741 | ||||||
| 4,059 | Lincoln National Corp. | 128,752 | ||||||
| 4,591 | Loews Corp. | 280,464 | ||||||
| 311 | Markel Corp.* | 413,586 | ||||||
| 32,047 | Marsh & McLennan Cos., Inc. | 5,196,101 | ||||||
| 76,684 | MetLife Inc. | 5,500,543 | ||||||
| 6,308 | Old Republic International Corp. | 166,342 | ||||||
| 16,244 | Primerica Inc. | 3,117,873 | ||||||
| 5,639 | Principal Financial Group Inc. | 505,029 | ||||||
| 13,610 | Progressive Corp. (The) | 1,953,307 | ||||||
| 8,577 | Prudential Financial Inc. | 857,700 | ||||||
| 1,556 | Reinsurance Group of America Inc., Class A Shares | 224,795 | ||||||
| 1,005 | RenaissanceRe Holdings Ltd | 215,975 | ||||||
| 1,985 | Ryan Specialty Holdings Inc., Class A Shares* | 83,608 | ||||||
| 5,451 | Travelers Cos., Inc. (The) | 1,009,089 | ||||||
| 4,676 | Unum Group | 208,316 | ||||||
| 65 | White Mountains Insurance Group Ltd. | 93,832 | ||||||
| 2,507 | Willis Towers Watson PLC | 587,541 | ||||||
| 4,794 | WR Berkley Corp. | 317,315 | ||||||
|
|
|
|||||||
| Total Insurance | 39,394,976 | |||||||
|
|
|
|||||||
| Mortgage Real Estate Investment Trusts (REITs) — 0.0%@ | ||||||||
| 13,285 | AGNC Investment Corp.(a) | 144,408 | ||||||
| 10,884 | Annaly Capital Management Inc. | 225,081 | ||||||
| 9,809 | Rithm Capital Corp. | 89,262 | ||||||
| 6,684 | Starwood Property Trust Inc. | 128,065 | ||||||
|
|
|
|||||||
| Total Mortgage Real Estate Investment Trusts (REITs) | 586,816 | |||||||
|
|
|
|||||||
See Notes to Financial Statements.
11
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| FINANCIALS — 9.7% — (continued) | ||||||||
| Thrifts & Mortgage Finance — 0.0%@ | ||||||||
| 6,731 | MGIC Investment Corp. | $ | 92,619 | |||||
| 15,928 | New York Community Bancorp Inc. | 141,441 | ||||||
| 2,586 | Rocket Cos., Inc., Class A Shares(a) | 20,326 | ||||||
| 1,501 | TFS Financial Corp. | 21,749 | ||||||
| 1,352 | UWM Holdings Corp. | 5,759 | ||||||
|
|
|
|||||||
| Total Thrifts & Mortgage Finance | 281,894 | |||||||
|
|
|
|||||||
| TOTAL FINANCIALS | 164,626,064 | |||||||
|
|
|
|||||||
| HEALTH CARE — 14.5% | ||||||||
| Biotechnology — 1.8% | ||||||||
| 41,203 | AbbVie Inc. | 6,341,142 | ||||||
| 2,863 | Alnylam Pharmaceuticals Inc.* | 548,121 | ||||||
| 12,449 | Amgen Inc. | 2,883,935 | ||||||
| 3,339 | Biogen Inc.* | 901,062 | ||||||
| 47,022 | BioMarin Pharmaceutical Inc.* | 4,682,921 | ||||||
| 57,079 | Exact Sciences Corp.* | 3,557,734 | ||||||
| 7,388 | Exelixis Inc.* | 126,187 | ||||||
| 29,265 | Gilead Sciences Inc. | 2,356,710 | ||||||
| 5,156 | Horizon Therapeutics PLC* | 564,530 | ||||||
| 4,250 | Incyte Corp.* | 327,165 | ||||||
| 3,377 | Ionis Pharmaceuticals Inc.* | 121,234 | ||||||
| 1,034 | Mirati Therapeutics Inc.* | 47,399 | ||||||
| 7,735 | Moderna Inc.* | 1,073,695 | ||||||
| 2,323 | Natera Inc.* | 112,782 | ||||||
| 2,207 | Neurocrine Biosciences Inc.* | 227,542 | ||||||
| 1,839 | Novavax Inc.*(a) | 17,029 | ||||||
| 2,416 | Regeneron Pharmaceuticals Inc.* | 1,837,175 | ||||||
| 17,461 | Sarepta Therapeutics Inc.* | 2,132,512 | ||||||
| 3,166 | Seagen Inc.* | 568,899 | ||||||
| 1,578 | Ultragenyx Pharmaceutical Inc.* | 70,205 | ||||||
| 1,039 | United Therapeutics Corp.* | 255,636 | ||||||
| 5,961 | Vertex Pharmaceuticals Inc.* | 1,730,419 | ||||||
|
|
|
|||||||
| Total Biotechnology | 30,484,034 | |||||||
|
|
|
|||||||
| Health Care Equipment & Supplies — 4.0% | ||||||||
| 39,976 | Abbott Laboratories | 4,066,359 | ||||||
| 54,570 | Alcon Inc. | 3,723,857 | ||||||
| 1,827 | Align Technology Inc.* | 565,456 | ||||||
| 112,426 | Baxter International Inc. | 4,491,419 | ||||||
| 6,619 | Becton Dickinson and Co | 1,552,486 | ||||||
| 33,262 | Boston Scientific Corp.* | 1,554,001 | ||||||
| 1,131 | Cooper Cos., Inc. (The) | 369,803 | ||||||
| 5,035 | DENTSPLY SIRONA Inc. | 191,682 | ||||||
| 40,978 | DexCom Inc.* | 4,548,968 | ||||||
| 56,216 | Edwards Lifesciences Corp.* | 4,522,015 | ||||||
| 1,137 | Enovis Corp.* | 65,514 | ||||||
| 295,883 | Envista Holdings Corp.* | 11,438,837 | ||||||
| 8,510 | GE HealthCare Technologies Inc.* | 646,760 | ||||||
| 1,791 | Globus Medical Inc., Class A Shares* | 104,487 | ||||||
| 56,052 | Hologic Inc.* | 4,463,981 | ||||||
| 488 | ICU Medical Inc.* | 83,272 | ||||||
| 1,915 | IDEXX Laboratories Inc.* | 906,255 | ||||||
| 16,346 | Insulet Corp.* | 4,517,380 | ||||||
| 1,619 | Integra LifeSciences Holdings Corp.* | 90,049 | ||||||
| 42,263 | Intuitive Surgical Inc.* | 9,694,710 | ||||||
See Notes to Financial Statements.
12
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| HEALTH CARE — 14.5% — (continued) | ||||||||
| Health Care Equipment & Supplies — 4.0% — (continued) | ||||||||
| 1,113 | Masimo Corp.* | $ | 186,216 | |||||
| 31,160 | Medtronic PLC | 2,580,048 | ||||||
| 2,406 | Novocure Ltd.* | 185,190 | ||||||
| 814 | Penumbra Inc.* | 211,632 | ||||||
| 1,102 | QuidelOrtho Corp.* | 95,808 | ||||||
| 3,365 | ResMed Inc. | 716,745 | ||||||
| 2,324 | STERIS PLC | 436,982 | ||||||
| 22,190 | Stryker Corp. | 5,833,307 | ||||||
| 1,518 | Tandem Diabetes Care Inc.* | 54,435 | ||||||
| 1,093 | Teleflex Inc. | 260,385 | ||||||
| 4,887 | Zimmer Biomet Holdings Inc. | 605,353 | ||||||
|
|
|
|||||||
| Total Health Care Equipment & Supplies | 68,763,392 | |||||||
|
|
|
|||||||
| Health Care Providers & Services — 4.3% | ||||||||
| 2,089 | Acadia Healthcare Co., Inc.* | 151,473 | ||||||
| 4,518 | agilon health Inc.*(a) | 95,827 | ||||||
| 758 | Amedisys Inc.* | 69,698 | ||||||
| 3,615 | AmerisourceBergen Corp. | 562,349 | ||||||
| 6,079 | Cardinal Health Inc. | 460,241 | ||||||
| 100,573 | Centene Corp.* | 6,879,193 | ||||||
| 343 | Chemed Corp. | 178,902 | ||||||
| 42,670 | Cigna Group (The) | 12,463,907 | ||||||
| 72,160 | CVS Health Corp. | 6,028,246 | ||||||
| 1,257 | DaVita Inc.* | 103,401 | ||||||
| 5,619 | Elevance Health Inc. | 2,639,076 | ||||||
| 2,307 | Encompass Health Corp. | 130,392 | ||||||
| 1,156 | Enhabit Inc.* | 17,745 | ||||||
| 2,256 | Guardant Health Inc.* | 69,688 | ||||||
| 33,385 | HCA Healthcare Inc. | 8,127,578 | ||||||
| 3,148 | Henry Schein Inc.* | 246,520 | ||||||
| 2,947 | Humana Inc. | 1,458,824 | ||||||
| 55,430 | Laboratory Corp. of America Holdings | 13,267,725 | ||||||
| 3,307 | McKesson Corp. | 1,156,822 | ||||||
| 1,334 | Molina Healthcare Inc.* | 367,290 | ||||||
| 2,779 | Oak Street Health Inc.* | 98,377 | ||||||
| 2,626 | Premier Inc., Class A Shares | 84,531 | ||||||
| 2,610 | Quest Diagnostics Inc. | 361,120 | ||||||
| 1,885 | Signify Health Inc., Class A Shares* | 54,269 | ||||||
| 2,533 | Tenet Healthcare Corp.* | 148,256 | ||||||
| 37,296 | UnitedHealth Group Inc. | 17,750,658 | ||||||
| 1,418 | Universal Health Services Inc., Class B Shares | 189,402 | ||||||
|
|
|
|||||||
| Total Health Care Providers & Services | 73,161,510 | |||||||
|
|
|
|||||||
| Health Care Technology — 0.0%@ | ||||||||
| 2,793 | Certara Inc.* | 50,609 | ||||||
| 495 | Definitive Healthcare Corp., Class A Shares* | 5,653 | ||||||
| 2,603 | Doximity Inc., Class A Shares*(a) | 87,539 | ||||||
| 3,728 | Teladoc Health Inc.* | 98,755 | ||||||
| 3,246 | Veeva Systems Inc., Class A Shares* | 537,732 | ||||||
|
|
|
|||||||
| Total Health Care Technology | 780,288 | |||||||
|
|
|
|||||||
| Life Sciences Tools & Services — 1.4% | ||||||||
| 2,102 | 10X Genomics Inc., Class A Shares* | 99,887 | ||||||
| 6,891 | Agilent Technologies Inc. | 978,315 | ||||||
| 14,202 | Avantor Inc.* | 346,103 | ||||||
| 1,652 | Azenta Inc.* | 72,506 | ||||||
See Notes to Financial Statements.
13
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| HEALTH CARE — 14.5% — (continued) | ||||||||
| Life Sciences Tools & Services — 1.4% — (continued) | ||||||||
| 498 | Bio-Rad Laboratories Inc., Class A Shares* | $ | 237,964 | |||||
| 3,623 | Bio-Techne Corp. | 263,175 | ||||||
| 2,514 | Bruker Corp. | 173,265 | ||||||
| 1,174 | Charles River Laboratories International Inc.* | 257,505 | ||||||
| 15,091 | Danaher Corp. | 3,735,475 | ||||||
| 17,060 | Illumina Inc.* | 3,398,352 | ||||||
| 4,321 | IQVIA Holdings Inc.* | 900,799 | ||||||
| 2,546 | Maravai LifeSciences Holdings Inc., Class A Shares* | 37,553 | ||||||
| 512 | Mettler-Toledo International Inc.* | 734,059 | ||||||
| 2,938 | PerkinElmer Inc. | 365,987 | ||||||
| 5,282 | QIAGEN NV* | 242,708 | ||||||
| 1,288 | Repligen Corp.* | 224,589 | ||||||
| 2,422 | Sotera Health Co.* | 40,423 | ||||||
| 2,467 | Syneos Health Inc., Class A Shares* | 99,223 | ||||||
| 18,492 | Thermo Fisher Scientific Inc. | 10,018,226 | ||||||
| 1,376 | Waters Corp.* | 427,785 | ||||||
| 1,725 | West Pharmaceutical Services Inc. | 546,877 | ||||||
|
|
|
|||||||
| Total Life Sciences Tools & Services | 23,200,776 | |||||||
|
|
|
|||||||
| Pharmaceuticals — 3.0% | ||||||||
| 49,650 | Bristol-Myers Squibb Co. | 3,423,864 | ||||||
| 4,167 | Catalent Inc.* | 284,273 | ||||||
| 10,592 | Elanco Animal Health Inc.* | 121,490 | ||||||
| 32,545 | Eli Lilly & Co. | 10,128,655 | ||||||
| 1,434 | Jazz Pharmaceuticals PLC* | 201,334 | ||||||
| 86,756 | Johnson & Johnson | 13,296,224 | ||||||
| 100,876 | Merck & Co., Inc. | 10,717,066 | ||||||
| 5,953 | Organon & Co. | 145,789 | ||||||
| 2,996 | Perrigo Co. PLC . | 112,919 | ||||||
| 131,766 | Pfizer Inc. | 5,345,747 | ||||||
| 8,662 | Royalty Pharma PLC, Class A Shares | 310,533 | ||||||
| 28,220 | Viatris Inc. | 321,708 | ||||||
| 37,746 | Zoetis Inc., Class A Shares | 6,303,582 | ||||||
|
|
|
|||||||
| Total Pharmaceuticals | 50,713,184 | |||||||
|
|
|
|||||||
| TOTAL HEALTH CARE . | 247,103,184 | |||||||
|
|
|
|||||||
| INDUSTRIALS — 11.4% | ||||||||
| Aerospace & Defense — 1.7% | ||||||||
| 1,573 | Axon Enterprise Inc.* | 315,088 | ||||||
| 12,775 | Boeing Co. (The)* | 2,574,801 | ||||||
| 2,037 | BWX Technologies Inc. | 124,481 | ||||||
| 905 | Curtiss-Wright Corp. | 158,185 | ||||||
| 5,670 | General Dynamics Corp. | 1,292,250 | ||||||
| 1,057 | HEICO Corp. | 175,007 | ||||||
| 1,838 | HEICO Corp., Class A Shares | 239,216 | ||||||
| 1,983 | Hexcel Corp. | 144,660 | ||||||
| 8,643 | Howmet Aerospace Inc. | 364,562 | ||||||
| 916 | Huntington Ingalls Industries Inc. | 197,123 | ||||||
| 4,427 | L3Harris Technologies Inc. | 934,938 | ||||||
| 5,449 | Lockheed Martin Corp. | 2,584,243 | ||||||
| 1,373 | Mercury Systems Inc.* | 71,863 | ||||||
| 11,713 | Northrop Grumman Corp. | 5,436,120 | ||||||
| 124,882 | Raytheon Technologies Corp. | 12,249,675 | ||||||
| 2,513 | Spirit AeroSystems Holdings Inc., Class A Shares(a) | 85,894 | ||||||
| 4,856 | Textron Inc. | 352,206 | ||||||
See Notes to Financial Statements.
14
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| INDUSTRIALS — 11.4% — (continued) | ||||||||
| Aerospace & Defense — 1.7% — (continued) | ||||||||
| 1,196 | TransDigm Group Inc. | $ | 889,669 | |||||
| 1,396 | Woodward Inc. | 138,204 | ||||||
|
|
|
|||||||
| Total Aerospace & Defense . | 28,328,185 | |||||||
|
|
|
|||||||
| Air Freight & Logistics — 0.5% | ||||||||
| 2,725 | CH Robinson Worldwide Inc. | 272,391 | ||||||
| 3,716 | Expeditors International of Washington Inc. | 388,545 | ||||||
| 5,596 | FedEx Corp. | 1,137,219 | ||||||
| 2,423 | GXO Logistics Inc.* | 120,108 | ||||||
| 38,648 | United Parcel Service Inc., Class B Shares | 7,052,874 | ||||||
|
|
|
|||||||
| Total Air Freight & Logistics . | 8,971,137 | |||||||
|
|
|
|||||||
| Airlines — 0.1% | ||||||||
| 2,944 | Alaska Air Group Inc.* | 140,812 | ||||||
| 15,040 | American Airlines Group Inc.* | 240,339 | ||||||
| 630 | Copa Holdings SA, Class A Shares* | 58,181 | ||||||
| 14,909 | Delta Air Lines Inc.* | 571,611 | ||||||
| 7,948 | JetBlue Airways Corp.* | 65,968 | ||||||
| 13,793 | Southwest Airlines Co. | 463,169 | ||||||
| 7,596 | United Airlines Holdings Inc.* | 394,688 | ||||||
|
|
|
|||||||
| Total Airlines | 1,934,768 | |||||||
|
|
|
|||||||
| Building Products — 0.8% | ||||||||
| 1,511 | Advanced Drainage Systems Inc. | 134,071 | ||||||
| 2,041 | Allegion PLC . | 230,041 | ||||||
| 2,963 | AO Smith Corp. | 194,462 | ||||||
| 50,745 | Armstrong World Industries Inc. | 4,001,243 | ||||||
| 2,408 | AZEK Co., Inc. (The), Class A Shares* | 58,009 | ||||||
| 3,440 | Builders FirstSource Inc.* | 291,643 | ||||||
| 1,197 | Carlisle Cos., Inc. | 309,089 | ||||||
| 19,468 | Carrier Global Corp. | 876,644 | ||||||
| 3,018 | Fortune Brands Innovations Inc. | 186,965 | ||||||
| 1,316 | Hayward Holdings Inc.* | 16,200 | ||||||
| 16,046 | Johnson Controls International PLC | 1,006,405 | ||||||
| 748 | Lennox International Inc. | 190,613 | ||||||
| 5,247 | Masco Corp. | 275,100 | ||||||
| 2,880 | Masterbrand Inc.* | 28,051 | ||||||
| 2,162 | Owens Corning | 211,422 | ||||||
| 34,097 | Trane Technologies PLC | 6,306,922 | ||||||
| 2,620 | Trex Co., Inc.* | 133,961 | ||||||
|
|
|
|||||||
| Total Building Products . | 14,450,841 | |||||||
|
|
|
|||||||
| Commercial Services & Supplies — 0.9% | ||||||||
| 2,016 | Cintas Corp. | 883,955 | ||||||
| 1,209 | Clean Harbors Inc.* | 159,673 | ||||||
| 9,928 | Copart Inc.* | 699,527 | ||||||
| 1,448 | Driven Brands Holdings Inc.* | 40,508 | ||||||
| 3,122 | IAA Inc.* | 127,721 | ||||||
| 852 | MSA Safety Inc. | 114,466 | ||||||
| 4,804 | Republic Services Inc., Class A Shares | 619,380 | ||||||
| 5,399 | Rollins Inc. | 190,045 | ||||||
| 2,045 | Stericycle Inc.* | 97,506 | ||||||
| 1,250 | Tetra Tech Inc. | 171,112 | ||||||
| 79,503 | Waste Management Inc. | 11,906,369 | ||||||
|
|
|
|||||||
| Total Commercial Services & Supplies | 15,010,262 | |||||||
|
|
|
|||||||
See Notes to Financial Statements.
15
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| INDUSTRIALS — 11.4% — (continued) | ||||||||
| Construction & Engineering — 0.4% | ||||||||
| 3,066 | AECOM | $ | 264,780 | |||||
| 1,402 | MasTec Inc.* | 137,003 | ||||||
| 4,782 | MDU Resources Group Inc. | 152,307 | ||||||
| 31,855 | Quanta Services Inc. | 5,141,397 | ||||||
| 496 | Valmont Industries Inc. | 157,395 | ||||||
| 4,642 | WillScot Mobile Mini Holdings Corp.* | 238,599 | ||||||
|
|
|
|||||||
| Total Construction & Engineering . | 6,091,481 | |||||||
|
|
|
|||||||
| Electrical Equipment — 0.7% | ||||||||
| 717 | Acuity Brands Inc. | 139,069 | ||||||
| 5,367 | AMETEK Inc. | 759,753 | ||||||
| 86,492 | Bloom Energy Corp., Class A Shares* | 1,876,011 | ||||||
| 6,168 | ChargePoint Holdings Inc.*(a) | 70,068 | ||||||
| 35,254 | Eaton Corp. PLC . | 6,166,982 | ||||||
| 13,763 | Emerson Electric Co | 1,138,338 | ||||||
| 1,471 | Generac Holdings Inc.* | 176,535 | ||||||
| 1,247 | Hubbell Inc., Class B Shares | 313,670 | ||||||
| 3,851 | nVent Electric PLC | 176,530 | ||||||
| 12,177 | Plug Power Inc.*(a) | 181,072 | ||||||
| 1,560 | Regal Rexnord Corp. | 245,918 | ||||||
| 2,675 | Rockwell Automation Inc. | 788,938 | ||||||
| 3,413 | Sensata Technologies Holding PLC | 172,630 | ||||||
| 4,946 | Sunrun Inc.* | 118,902 | ||||||
| 6,772 | Vertiv Holdings Co., Class A Shares | 110,045 | ||||||
|
|
|
|||||||
| Total Electrical Equipment | 12,434,461 | |||||||
|
|
|
|||||||
| Industrial Conglomerates — 0.6% | ||||||||
| 12,851 | 3M Co. | 1,384,567 | ||||||
| 25,529 | General Electric Co. | 2,162,561 | ||||||
| 35,856 | Honeywell International Inc. | 6,865,707 | ||||||
|
|
|
|||||||
| Total Industrial Conglomerates . | 10,412,835 | |||||||
|
|
|
|||||||
| Machinery — 1.8% | ||||||||
| 1,447 | AGCO Corp. | 203,752 | ||||||
| 2,110 | Allison Transmission Holdings Inc. | 100,225 | ||||||
| 12,132 | Caterpillar Inc. | 2,906,221 | ||||||
| 1,121 | Crane Holdings Co | 134,273 | ||||||
| 3,283 | Cummins Inc. | 798,032 | ||||||
| 6,429 | Deere & Co. | 2,695,294 | ||||||
| 2,892 | Donaldson Co., Inc. | 182,919 | ||||||
| 30,768 | Dover Corp. | 4,612,123 | ||||||
| 1,137 | Esab Corp. | 66,685 | ||||||
| 3,086 | Flowserve Corp. | 107,053 | ||||||
| 8,247 | Fortive Corp. | 549,745 | ||||||
| 2,333 | Gates Industrial Corp. PLC* | 32,755 | ||||||
| 3,908 | Graco Inc. | 271,762 | ||||||
| 1,769 | IDEX Corp. | 397,990 | ||||||
| 7,124 | Illinois Tool Works Inc. | 1,661,032 | ||||||
| 9,461 | Ingersoll Rand Inc. | 549,400 | ||||||
| 1,961 | ITT Inc. | 178,235 | ||||||
| 1,305 | Lincoln Electric Holdings Inc. | 219,149 | ||||||
| 1,252 | Middleby Corp. (The)* | 194,674 | ||||||
| 1,332 | Nordson Corp. | 292,561 | ||||||
| 1,555 | Oshkosh Corp. | 138,690 | ||||||
| 129,449 | Otis Worldwide Corp. | 10,953,974 | ||||||
See Notes to Financial Statements.
16
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| INDUSTRIALS — 11.4% — (continued) | ||||||||
| Machinery — 1.8% — (continued) | ||||||||
| 11,920 | PACCAR Inc. | $ | 860,624 | |||||
| 2,981 | Parker-Hannifin Corp. | 1,048,865 | ||||||
| 3,848 | Pentair PLC . | 215,257 | ||||||
| 1,224 | Snap-on Inc. | 304,384 | ||||||
| 3,439 | Stanley Black & Decker Inc. | 294,413 | ||||||
| 1,370 | Timken Co. (The) | 117,067 | ||||||
| 2,430 | Toro Co. (The) | 268,369 | ||||||
| 4,216 | Westinghouse Air Brake Technologies Corp. | 439,855 | ||||||
| 4,172 | Xylem Inc. | 428,256 | ||||||
|
|
|
|||||||
| Total Machinery | 31,223,634 | |||||||
|
|
|
|||||||
| Marine — 0.0%@ | ||||||||
| 1,332 | Kirby Corp.* | 96,610 | ||||||
|
|
|
|||||||
| Professional Services — 1.0% | ||||||||
| 3,057 | Booz Allen Hamilton Holding Corp., Class A Shares | 289,590 | ||||||
| 546 | CACI International Inc., Class A Shares* | 159,978 | ||||||
| 10,980 | Clarivate PLC* | 111,227 | ||||||
| 77,579 | CoStar Group Inc.* | 5,481,732 | ||||||
| 5,475 | Dun & Bradstreet Holdings Inc. | 65,755 | ||||||
| 2,831 | Equifax Inc. | 573,363 | ||||||
| 806 | FTI Consulting Inc.* | 148,070 | ||||||
| 2,977 | Jacobs Solutions Inc. | 355,752 | ||||||
| 3,092 | KBR Inc. | 170,400 | ||||||
| 3,172 | Leidos Holdings Inc. | 307,906 | ||||||
| 1,126 | ManpowerGroup Inc. | 95,575 | ||||||
| 2,402 | Robert Half International Inc. | 193,649 | ||||||
| 1,242 | Science Applications International Corp. | 132,447 | ||||||
| 4,482 | TransUnion . | 293,257 | ||||||
| 51,720 | Verisk Analytics Inc., Class A Shares | 8,849,809 | ||||||
|
|
|
|||||||
| Total Professional Services | 17,228,510 | |||||||
|
|
|
|||||||
| Road & Rail — 1.1% | ||||||||
| 663 | Avis Budget Group Inc.* | 145,634 | ||||||
| 48,961 | CSX Corp. | 1,492,821 | ||||||
| 4,858 | Hertz Global Holdings Inc.* | 89,922 | ||||||
| 1,919 | JB Hunt Transport Services Inc. | 346,936 | ||||||
| 3,633 | Knight-Swift Transportation Holdings Inc., Class A Shares | 206,500 | ||||||
| 841 | Landstar System Inc. | 152,044 | ||||||
| 7,195 | Lyft Inc., Class A Shares* | 71,950 | ||||||
| 5,385 | Norfolk Southern Corp. | 1,210,656 | ||||||
| 2,314 | Old Dominion Freight Line Inc. | 785,048 | ||||||
| 2,383 | RXO Inc.* | 49,018 | ||||||
| 1,077 | Ryder System Inc. | 105,449 | ||||||
| 1,269 | Schneider National Inc., Class B Shares | 35,608 | ||||||
| 312,958 | Uber Technologies Inc.* | 10,408,983 | ||||||
| 219 | U-Haul Holding Co. | 14,062 | ||||||
| 1,806 | U-Haul Holding Co.-Non Voting | 100,468 | ||||||
| 14,328 | Union Pacific Corp. | 2,969,908 | ||||||
| 2,383 | XPO Inc.* | 79,497 | ||||||
|
|
|
|||||||
| Total Road & Rail | 18,264,504 | |||||||
|
|
|
|||||||
| Trading Companies & Distributors — 1.8% | ||||||||
| 73,409 | AerCap Holdings NV* | 4,583,658 | ||||||
| 58,617 | Air Lease Corp., Class A Shares | 2,536,944 | ||||||
| 1,659 | Core & Main Inc., Class A Shares* | 38,671 | ||||||
See Notes to Financial Statements.
17
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| INDUSTRIALS — 11.4% — (continued) | ||||||||
| Trading Companies & Distributors — 1.8% — (continued) | ||||||||
| 13,408 | Fastenal Co | $ | 691,316 | |||||
| 1,017 | MSC Industrial Direct Co., Inc., Class A Shares | 85,957 | ||||||
| 1,048 | SiteOne Landscape Supply Inc.* | 155,460 | ||||||
| 26,362 | United Rentals Inc. | 12,351,388 | ||||||
| 85,746 | Univar Solutions Inc.* | 2,979,673 | ||||||
| 767 | Watsco Inc. | 233,713 | ||||||
| 1,058 | WESCO International Inc.* | 175,184 | ||||||
| 9,109 | WW Grainger Inc. | 6,088,729 | ||||||
|
|
|
|||||||
| Total Trading Companies & Distributors . | 29,920,693 | |||||||
|
|
|
|||||||
| TOTAL INDUSTRIALS . | 194,367,921 | |||||||
|
|
|
|||||||
| INFORMATION TECHNOLOGY — 25.9% | ||||||||
| Communications Equipment — 1.0% | ||||||||
| 5,731 | Arista Networks Inc.* | 794,890 | ||||||
| 3,484 | Ciena Corp.* | 167,998 | ||||||
| 176,207 | Cisco Systems Inc. | 8,531,943 | ||||||
| 72,445 | CommScope Holding Co., Inc.* | 524,502 | ||||||
| 1,387 | F5 Inc.* | 198,313 | ||||||
| 7,442 | Juniper Networks Inc. | 229,065 | ||||||
| 1,536 | Lumentum Holdings Inc.* | 82,652 | ||||||
| 20,635 | Motorola Solutions Inc. | 5,423,084 | ||||||
| 142 | Ubiquiti Inc. | 38,099 | ||||||
| 1,717 | ViaSat Inc.* | 54,532 | ||||||
|
|
|
|||||||
| Total Communications Equipment | 16,045,078 | |||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components — 1.0% | ||||||||
| 13,642 | Amphenol Corp., Class A Shares | 1,057,528 | ||||||
| 35,766 | Arrow Electronics Inc.* | 4,220,030 | ||||||
| 2,215 | Avnet Inc. | 99,033 | ||||||
| 3,149 | CDW Corp. | 637,421 | ||||||
| 4,046 | Cognex Corp. | 191,861 | ||||||
| 2,825 | Coherent Corp.* | 121,842 | ||||||
| 17,587 | Corning Inc. | 597,079 | ||||||
| 205,373 | Flex Ltd.* | 4,674,289 | ||||||
| 718 | IPG Photonics Corp.* | 88,486 | ||||||
| 2,996 | Jabil Inc. | 248,758 | ||||||
| 4,175 | Keysight Technologies Inc.* | 667,833 | ||||||
| 575 | Littelfuse Inc. | 148,770 | ||||||
| 2,917 | National Instruments Corp. | 147,338 | ||||||
| 23,923 | TD SYNNEX Corp. | 2,309,048 | ||||||
| 1,079 | Teledyne Technologies Inc.* | 464,046 | ||||||
| 5,733 | Trimble Inc.* | 298,460 | ||||||
| 3,671 | Vontier Corp. | 96,070 | ||||||
| 1,202 | Zebra Technologies Corp., Class A Shares* | 360,900 | ||||||
|
|
|
|||||||
| Total Electronic Equipment, Instruments & Components . | 16,428,792 | |||||||
|
|
|
|||||||
| IT Services — 6.0% | ||||||||
| 14,772 | Accenture PLC, Class A Shares | 3,922,705 | ||||||
| 5,129 | Affirm Holdings Inc., Class A Shares*(a) | 69,857 | ||||||
| 3,607 | Akamai Technologies Inc.* | 261,868 | ||||||
| 2,813 | Amdocs Ltd. | 257,699 | ||||||
| 9,734 | Automatic Data Processing Inc. | 2,139,728 | ||||||
| 12,489 | Block Inc., Class A Shares* | 958,281 | ||||||
| 2,717 | Broadridge Financial Solutions Inc. | 382,499 | ||||||
| 6,586 | Cloudflare Inc., Class A Shares* | 395,226 | ||||||
See Notes to Financial Statements.
18
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| INFORMATION TECHNOLOGY — 25.9% — (continued) | ||||||||
| IT Services — 6.0% — (continued) | ||||||||
| 74,399 | Cognizant Technology Solutions Corp., Class A Shares | $ | 4,659,609 | |||||
| 22,550 | Concentrix Corp. | 3,085,742 | ||||||
| 5,429 | DXC Technology Co.* | 150,600 | ||||||
| 1,278 | EPAM Systems Inc.* | 393,177 | ||||||
| 1,108 | Euronet Worldwide Inc.* | 120,606 | ||||||
| 74,695 | Fidelity National Information Services Inc. | 4,733,422 | ||||||
| 87,857 | Fiserv Inc.* | 10,111,462 | ||||||
| 1,673 | FleetCor Technologies Inc.* | 359,344 | ||||||
| 1,788 | Gartner Inc.* | 586,124 | ||||||
| 4,208 | Genpact Ltd | 200,848 | ||||||
| 62,000 | Global Payments Inc. | 6,956,400 | ||||||
| 959 | Globant SA* | 158,312 | ||||||
| 3,644 | GoDaddy Inc., Class A Shares* | 275,887 | ||||||
| 20,980 | International Business Machines Corp. | 2,712,714 | ||||||
| 1,690 | Jack Henry & Associates Inc. | 277,565 | ||||||
| 5,017 | Kyndryl Holdings Inc.* | 78,717 | ||||||
| 19,838 | MasterCard Inc., Class A Shares | 7,048,243 | ||||||
| 1,544 | MongoDB Inc., Class A Shares* | 323,499 | ||||||
| 3,523 | Okta Inc., Class A Shares* | 251,155 | ||||||
| 7,514 | Paychex Inc. | 829,546 | ||||||
| 70,953 | PayPal Holdings Inc.* | 5,222,141 | ||||||
| 1,131 | Shift4 Payments Inc., Class A Shares* | 72,949 | ||||||
| 7,145 | Snowflake Inc., Class A Shares* | 1,103,045 | ||||||
| 5,138 | SS&C Technologies Holdings Inc. | 301,601 | ||||||
| 2,055 | Thoughtworks Holding Inc.* | 15,125 | ||||||
| 5,937 | Toast Inc., Class A Shares* | 112,328 | ||||||
| 4,056 | Twilio Inc., Class A Shares* | 272,604 | ||||||
| 49,549 | VeriSign Inc.* | 9,752,730 | ||||||
| 150,463 | Visa Inc., Class A Shares | 33,092,832 | ||||||
| 9,003 | Western Union Co. (The) | 116,679 | ||||||
| 984 | WEX Inc.* | 189,725 | ||||||
| 1,303 | Wix.com Ltd.* | 117,960 | ||||||
|
|
|
|||||||
| Total IT Services | 102,070,554 | |||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment — 6.0% | ||||||||
| 60,329 | Advanced Micro Devices Inc.* | 4,740,653 | ||||||
| 1,543 | Allegro MicroSystems Inc.* | 67,398 | ||||||
| 82,079 | Analog Devices Inc. | 15,059,034 | ||||||
| 25,583 | Applied Materials Inc. | 2,971,465 | ||||||
| 5,770 | ASML Holding NV, Class REG Shares, ADR | 3,564,302 | ||||||
| 28,894 | Broadcom Inc. | 17,171,415 | ||||||
| 1,290 | Cirrus Logic Inc.* | 132,547 | ||||||
| 3,048 | Enphase Energy Inc.* | 641,695 | ||||||
| 3,456 | Entegris Inc. | 294,555 | ||||||
| 2,474 | First Solar Inc.* | 418,452 | ||||||
| 1,526 | GLOBALFOUNDRIES Inc.*(a) | 99,709 | ||||||
| 146,502 | Intel Corp. | 3,652,295 | ||||||
| 3,305 | KLA Corp. | 1,253,851 | ||||||
| 3,189 | Lam Research Corp. | 1,549,886 | ||||||
| 3,160 | Lattice Semiconductor Corp.* | 268,474 | ||||||
| 19,769 | Marvell Technology Inc. | 892,570 | ||||||
| 12,399 | Microchip Technology Inc. | 1,004,691 | ||||||
| 25,311 | Micron Technology Inc. | 1,463,482 | ||||||
| 1,318 | MKS Instruments Inc. | 127,754 | ||||||
| 1,057 | Monolithic Power Systems Inc. | 511,894 | ||||||
See Notes to Financial Statements.
19
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| INFORMATION TECHNOLOGY — 25.9% — (continued) | ||||||||
| Semiconductors & Semiconductor Equipment — 6.0% — (continued) | ||||||||
| 118,380 | NVIDIA Corp. | $ | 27,483,101 | |||||
| 10,105 | ON Semiconductor Corp.* | 782,228 | ||||||
| 2,385 | Qorvo Inc.* | 240,623 | ||||||
| 26,123 | QUALCOMM Inc. | 3,226,974 | ||||||
| 92,838 | Skyworks Solutions Inc. | 10,357,936 | ||||||
| 3,647 | Teradyne Inc. | 368,858 | ||||||
| 21,156 | Texas Instruments Inc. | 3,627,196 | ||||||
| 1,042 | Universal Display Corp. | 141,556 | ||||||
| 2,867 | Wolfspeed Inc.*(a) | 212,101 | ||||||
|
|
|
|||||||
| Total Semiconductors & Semiconductor Equipment . | 102,326,695 | |||||||
|
|
|
|||||||
| Software — 8.1% | ||||||||
| 31,879 | Adobe Inc.* | 10,327,202 | ||||||
| 1,354 | Alteryx Inc., Class A Shares* | 88,430 | ||||||
| 2,026 | ANSYS Inc.* | 615,114 | ||||||
| 4,675 | AppLovin Corp., Class A Shares* | 63,112 | ||||||
| 643 | Aspen Technology Inc.* | 136,322 | ||||||
| 17,018 | Atlassian Corp., Class A Shares* | 2,796,568 | ||||||
| 5,071 | Autodesk Inc.* | 1,007,557 | ||||||
| 3,992 | Bentley Systems Inc., Class B Shares | 161,516 | ||||||
| 2,303 | BILL Holdings Inc.* | 194,903 | ||||||
| 3,599 | Black Knight Inc.* | 214,500 | ||||||
| 6,355 | Cadence Design Systems Inc.* | 1,226,134 | ||||||
| 4,082 | CCC Intelligent Solutions Holdings Inc.* | 36,575 | ||||||
| 3,187 | Ceridian HCM Holding Inc.* | 232,428 | ||||||
| 2,999 | Confluent Inc., Class A Shares* | 73,146 | ||||||
| 27,302 | Crowdstrike Holdings Inc., Class A Shares* | 3,295,078 | ||||||
| 6,184 | Datadog Inc., Class A Shares* | 473,200 | ||||||
| 4,601 | DocuSign Inc., Class A Shares* | 282,271 | ||||||
| 1,456 | Dolby Laboratories Inc., Class A Shares | 119,800 | ||||||
| 1,757 | DoubleVerify Holdings Inc., Class Rights Shares* | 46,156 | ||||||
| 6,379 | Dropbox Inc., Class A Shares* | 130,132 | ||||||
| 4,665 | Dynatrace Inc.* | 198,402 | ||||||
| 1,847 | Elastic NV* | 109,010 | ||||||
| 565 | Fair Isaac Corp.* | 382,725 | ||||||
| 1,630 | Five9 Inc.* | 107,580 | ||||||
| 15,031 | Fortinet Inc.* | 893,443 | ||||||
| 239,411 | Gen Digital Inc. | 4,670,909 | ||||||
| 1,866 | Guidewire Software Inc.* | 131,012 | ||||||
| 1,078 | HubSpot Inc.* | 417,035 | ||||||
| 854 | Informatica Inc., Class A Shares* | 14,731 | ||||||
| 18,634 | Intuit Inc. | 7,587,392 | ||||||
| 1,574 | Jamf Holding Corp.* | 33,400 | ||||||
| 1,470 | Manhattan Associates Inc.* | 211,312 | ||||||
| 228,542 | Microsoft Corp. | 57,002,946 | ||||||
| 1,692 | nCino Inc.* | 46,107 | ||||||
| 2,949 | NCR Corp.* | 75,288 | ||||||
| 1,155 | New Relic Inc.* | 84,280 | ||||||
| 5,151 | Nutanix Inc., Class A Shares* | 145,516 | ||||||
| 91,336 | Oracle Corp. | 7,982,766 | ||||||
| 42,845 | Palantir Technologies Inc., Class A Shares* | 335,905 | ||||||
| 49,607 | Palo Alto Networks Inc.* | 9,344,471 | ||||||
| 1,192 | Paycom Software Inc.* | 344,560 | ||||||
| 1,077 | Paycor HCM Inc.* | 26,677 | ||||||
| 931 | Paylocity Holding Corp.* | 179,320 | ||||||
See Notes to Financial Statements.
20
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| INFORMATION TECHNOLOGY — 25.9% — (continued) | ||||||||
| Software — 8.1% — (continued) | ||||||||
| 936 | Pegasystems Inc. | $ | 43,412 | |||||
| 1,689 | Procore Technologies Inc.* | 113,146 | ||||||
| 2,453 | PTC Inc.* | 307,434 | ||||||
| 1,968 | RingCentral Inc., Class A Shares* | 65,023 | ||||||
| 2,460 | Roper Technologies Inc. | 1,058,292 | ||||||
| 46,316 | Salesforce Inc.* | 7,577,761 | ||||||
| 4,139 | SentinelOne Inc., Class A Shares* | 66,183 | ||||||
| 15,374 | ServiceNow Inc.* | 6,644,182 | ||||||
| 2,876 | Smartsheet Inc., Class A Shares* | 126,602 | ||||||
| 29,884 | Splunk Inc.* | 3,063,110 | ||||||
| 3,552 | Synopsys Inc.* | 1,292,076 | ||||||
| 2,455 | Teradata Corp.* | 100,066 | ||||||
| 958 | Tyler Technologies Inc.* | 307,757 | ||||||
| 8,985 | UiPath Inc., Class A Shares* | 133,337 | ||||||
| 24,453 | Unity Software Inc.*(a) | 744,349 | ||||||
| 4,925 | VMware Inc., Class A Shares* | 542,390 | ||||||
| 19,273 | Workday Inc., Class A Shares* | 3,574,563 | ||||||
| 5,882 | Zoom Video Communications Inc., Class A Shares* | 438,738 | ||||||
| 1,965 | Zscaler Inc.* | 257,710 | ||||||
|
|
|
|||||||
| Total Software . | 138,301,062 | |||||||
|
|
|
|||||||
| Technology Hardware, Storage & Peripherals — 3.8% | ||||||||
| 404,765 | Apple Inc. | 59,666,409 | ||||||
| 5,779 | Dell Technologies Inc., Class C Shares . | 234,859 | ||||||
| 29,938 | Hewlett Packard Enterprise Co | 467,332 | ||||||
| 23,443 | HP Inc. | 692,037 | ||||||
| 5,061 | NetApp Inc. | 326,688 | ||||||
| 6,551 | Pure Storage Inc., Class A Shares* | 186,965 | ||||||
| 88,574 | Western Digital Corp.* | 3,408,327 | ||||||
|
|
|
|||||||
| Total Technology Hardware, Storage & Peripherals . | 64,982,617 | |||||||
|
|
|
|||||||
| TOTAL INFORMATION TECHNOLOGY . | 440,154,798 | |||||||
|
|
|
|||||||
| MATERIALS — 2.8% | ||||||||
| Chemicals — 1.6% | ||||||||
| 5,161 | Air Products & Chemicals Inc. | 1,475,943 | ||||||
| 2,726 | Albemarle Corp. | 693,249 | ||||||
| 1,185 | Ashland Inc. | 120,609 | ||||||
| 4,989 | Axalta Coating Systems Ltd.* | 148,672 | ||||||
| 42,582 | Celanese Corp., Class A Shares | 4,949,306 | ||||||
| 4,560 | CF Industries Holdings Inc. | 391,659 | ||||||
| 3,596 | Chemours Co. (The) | 122,911 | ||||||
| 16,665 | Corteva Inc. | 1,038,063 | ||||||
| 16,407 | Dow Inc. | 938,480 | ||||||
| 67,660 | DuPont de Nemours Inc. | 4,941,210 | ||||||
| 2,826 | Eastman Chemical Co | 240,775 | ||||||
| 5,780 | Ecolab Inc. | 921,159 | ||||||
| 5,097 | Element Solutions Inc. | 104,692 | ||||||
| 2,933 | FMC Corp. | 378,797 | ||||||
| 19,812 | Ginkgo Bioworks Holdings Inc.* | 29,124 | ||||||
| 4,180 | Huntsman Corp. | 122,641 | ||||||
| 5,936 | International Flavors & Fragrances Inc. | 553,235 | ||||||
| 11,518 | Linde PLC | 4,012,526 | ||||||
| 5,985 | LyondellBasell Industries NV, Class A Shares | 574,500 | ||||||
| 7,920 | Mosaic Co. (The) | 421,265 | ||||||
| 130 | NewMarket Corp. | 44,655 | ||||||
See Notes to Financial Statements.
21
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| MATERIALS — 2.8% — (continued) | ||||||||
| Chemicals — 1.6% — (continued) | ||||||||
| 2,983 | Olin Corp. | $ | 172,268 | |||||
| 5,489 | PPG Industries Inc. | 724,877 | ||||||
| 2,972 | RPM International Inc. | 263,408 | ||||||
| 968 | Scotts Miracle-Gro Co. (The) | 79,860 | ||||||
| 17,474 | Sherwin-Williams Co. (The) | 3,867,870 | ||||||
| 4,188 | Valvoline Inc. | 147,418 | ||||||
| 736 | Westlake Corp. | 87,687 | ||||||
|
|
|
|||||||
| Total Chemicals . | 27,566,859 | |||||||
|
|
|
|||||||
| Construction Materials — 0.5% | ||||||||
| 834 | Eagle Materials Inc. | 117,027 | ||||||
| 1,448 | Martin Marietta Materials Inc. | 521,092 | ||||||
| 36,905 | Vulcan Materials Co | 6,676,483 | ||||||
|
|
|
|||||||
| Total Construction Materials . | 7,314,602 | |||||||
|
|
|
|||||||
| Containers & Packaging — 0.4% | ||||||||
| 34,933 | Amcor PLC . | 389,154 | ||||||
| 1,535 | AptarGroup Inc. | 179,165 | ||||||
| 532 | Ardagh Group SA, Class A Shares*(c)(d) . | 4,538 | ||||||
| 3,600 | Ardagh Metal Packaging SA | 17,352 | ||||||
| 1,896 | Avery Dennison Corp. | 345,432 | ||||||
| 7,182 | Ball Corp. | 403,700 | ||||||
| 68,405 | Berry Global Group Inc. | 4,247,950 | ||||||
| 2,693 | Crown Holdings Inc. | 232,971 | ||||||
| 7,197 | Graphic Packaging Holding Co | 171,289 | ||||||
| 8,293 | International Paper Co | 301,782 | ||||||
| 2,126 | Packaging Corp. of America | 290,667 | ||||||
| 3,411 | Sealed Air Corp. | 165,843 | ||||||
| 1,870 | Silgan Holdings Inc. | 99,858 | ||||||
| 2,277 | Sonoco Products Co | 134,480 | ||||||
| 5,902 | WestRock Co | 185,323 | ||||||
|
|
|
|||||||
| Total Containers & Packaging . | 7,169,504 | |||||||
|
|
|
|||||||
| Metals & Mining — 0.3% | ||||||||
| 4,177 | Alcoa Corp. | 204,422 | ||||||
| 11,899 | Cleveland-Cliffs Inc.* | 253,806 | ||||||
| 33,221 | Freeport-McMoRan Inc. | 1,361,064 | ||||||
| 2,235 | MP Materials Corp.*(a) | 78,225 | ||||||
| 18,514 | Newmont Corp. | 807,396 | ||||||
| 5,972 | Nucor Corp. | 999,952 | ||||||
| 1,379 | Reliance Steel & Aluminum Co. | 341,771 | ||||||
| 1,531 | Royal Gold Inc. | 181,867 | ||||||
| 2,027 | Southern Copper Corp. | 149,370 | ||||||
| 4,595 | SSR Mining Inc. | 62,722 | ||||||
| 3,863 | Steel Dynamics Inc. | 487,163 | ||||||
| 5,244 | United States Steel Corp. | 160,624 | ||||||
|
|
|
|||||||
| Total Metals & Mining | 5,088,382 | |||||||
|
|
|
|||||||
| Paper & Forest Products — 0.0%@ | ||||||||
| 1,622 | Louisiana-Pacific Corp. | 94,903 | ||||||
|
|
|
|||||||
| TOTAL MATERIALS . | 47,234,250 | |||||||
|
|
|
|||||||
| REAL ESTATE — 2.6% | ||||||||
| Equity Real Estate Investment Trusts (REITs) — 2.5% | ||||||||
| 3,773 | Alexandria Real Estate Equities Inc. | 565,120 | ||||||
| 7,168 | American Homes 4 Rent, Class A Shares | 222,351 | ||||||
See Notes to Financial Statements.
22
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||
| Shares/Units | Security | Value | ||||
| REAL ESTATE — 2.6% — (continued) | ||||||
| Equity Real Estate Investment Trusts (REITs) — 2.5% — (continued) | ||||||
| 10,817 | American Tower Corp. | $ | 2,141,874 | |||
| 6,287 | Americold Realty Trust Inc. | 184,838 | ||||
| 3,378 | Apartment Income REIT Corp. | 127,688 | ||||
| 3,253 | AvalonBay Communities Inc. | 561,208 | ||||
| 3,650 | Boston Properties Inc. | 239,002 | ||||
| 7,028 | Brixmor Property Group Inc. | 159,114 | ||||
| 2,414 | Camden Property Trust . | 277,031 | ||||
| 3,533 | Cousins Properties Inc. | 86,523 | ||||
| 91,974 | Crown Castle Inc. | 12,025,601 | ||||
| 5,205 | CubeSmart | 244,583 | ||||
| 6,682 | Digital Realty Trust Inc. | 696,465 | ||||
| 4,107 | Douglas Emmett Inc. | 58,032 | ||||
| 975 | EastGroup Properties Inc. | 159,188 | ||||
| 1,614 | EPR Properties | 65,916 | ||||
| 6,683 | Equinix Inc. | 4,599,708 | ||||
| 4,136 | Equity LifeStyle Properties Inc. | 283,357 | ||||
| 65,560 | Equity Residential | 4,098,811 | ||||
| 1,514 | Essex Property Trust Inc. | 345,283 | ||||
| 3,086 | Extra Space Storage Inc. | 508,110 | ||||
| 1,873 | Federal Realty Investment Trust | 199,999 | ||||
| 3,111 | First Industrial Realty Trust Inc. | 164,105 | ||||
| 5,686 | Gaming and Leisure Properties Inc. | 306,362 | ||||
| 8,862 | Healthcare Realty Trust Inc., Class A Shares | 172,809 | ||||
| 12,558 | Healthpeak Properties Inc. | 302,145 | ||||
| 2,392 | Highwoods Properties Inc. | 63,388 | ||||
| 16,486 | Host Hotels & Resorts Inc. | 276,965 | ||||
| 3,404 | Hudson Pacific Properties Inc. | 31,419 | ||||
| 14,213 | Invitation Homes Inc. | 444,298 | ||||
| 6,722 | Iron Mountain Inc. | 354,586 | ||||
| 2,293 | JBG SMITH Properties | 39,554 | ||||
| 2,593 | Kilroy Realty Corp. | 93,400 | ||||
| 14,065 | Kimco Realty Corp. | 289,880 | ||||
| 2,017 | Lamar Advertising Co., Class A Shares | 210,898 | ||||
| 1,962 | Life Storage Inc. | 236,460 | ||||
| 13,927 | Medical Properties Trust Inc.(a) | 143,448 | ||||
| 2,674 | Mid-America Apartment Communities Inc. | 428,107 | ||||
| 4,151 | National Retail Properties Inc. | 188,123 | ||||
| 2,067 | National Storage Affiliates Trust . | 87,434 | ||||
| 5,540 | Omega Healthcare Investors Inc.(a) | 148,417 | ||||
| 5,285 | Park Hotels & Resorts Inc. | 72,669 | ||||
| 21,460 | Prologis Inc. | 2,648,164 | ||||
| 3,642 | Public Storage | 1,088,776 | ||||
| 3,496 | Rayonier Inc. | 117,396 | ||||
| 14,619 | Realty Income Corp. | 934,885 | ||||
| 3,990 | Regency Centers Corp. | 250,971 | ||||
| 4,277 | Rexford Industrial Realty Inc. | 258,587 | ||||
| 2,484 | SBA Communications Corp., Class A Shares | 644,225 | ||||
| 7,598 | Simon Property Group Inc. | 927,640 | ||||
| 1,438 | SL Green Realty Corp. | 48,964 | ||||
| 3,247 | Spirit Realty Capital Inc. | 133,711 | ||||
| 2,833 | Sun Communities Inc. | 405,516 | ||||
| 7,540 | UDR Inc. | 323,014 | ||||
| 9,298 | Ventas Inc. | 452,348 | ||||
| 22,406 | VICI Properties Inc., Class A Shares | 751,273 | ||||
| 3,867 | Vornado Realty Trust | 76,489 | ||||
See Notes to Financial Statements.
23
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| REAL ESTATE — 2.6% — (continued) | ||||||||
| Equity Real Estate Investment Trusts (REITs) — 2.5% — (continued) | ||||||||
| 11,019 | Welltower Inc. | $ | 816,728 | |||||
| 17,139 | Weyerhaeuser Co. | 535,594 | ||||||
| 4,802 | WP Carey Inc. | 389,730 | ||||||
|
|
|
|||||||
| Total Equity Real Estate Investment Trusts (REITs) | 42,708,280 | |||||||
|
|
|
|||||||
| Real Estate Management & Development — 0.1% | ||||||||
| 7,342 | CBRE Group Inc., Class A Shares* | 625,098 | ||||||
| 873 | Howard Hughes Corp. (The)* | 72,564 | ||||||
| 1,115 | Jones Lang LaSalle Inc.* | 194,523 | ||||||
| 11,366 | Opendoor Technologies Inc.* | 16,367 | ||||||
| 3,138 | WeWork Inc., Class A Shares*(a) | 3,640 | ||||||
| 1,224 | Zillow Group Inc., Class A Shares* | 50,612 | ||||||
| 3,574 | Zillow Group Inc., Class C Shares* | 150,108 | ||||||
|
|
|
|||||||
| Total Real Estate Management & Development . | 1,112,912 | |||||||
|
|
|
|||||||
| TOTAL REAL ESTATE . | 43,821,192 | |||||||
|
|
|
|||||||
| UTILITIES — 1.9% | ||||||||
| Electric Utilities — 1.4% | ||||||||
| 5,838 | Alliant Energy Corp. | 299,314 | ||||||
| 11,983 | American Electric Power Co., Inc. | 1,054,145 | ||||||
| 1,711 | Avangrid Inc. | 66,780 | ||||||
| 7,606 | Constellation Energy Corp. | 569,613 | ||||||
| 17,949 | Duke Energy Corp. | 1,691,873 | ||||||
| 75,358 | Edison International | 4,989,453 | ||||||
| 4,728 | Entergy Corp. | 486,369 | ||||||
| 5,177 | Evergy Inc. | 304,459 | ||||||
| 8,027 | Eversource Energy | 604,915 | ||||||
| 23,139 | Exelon Corp. | 934,584 | ||||||
| 12,648 | FirstEnergy Corp. | 500,102 | ||||||
| 2,582 | Hawaiian Electric Industries Inc. | 104,442 | ||||||
| 1,201 | IDACORP Inc. | 124,183 | ||||||
| 71,499 | NextEra Energy Inc. | 5,078,574 | ||||||
| 105,345 | NRG Energy Inc. | 3,454,263 | ||||||
| 4,666 | OGE Energy Corp. | 166,670 | ||||||
| 38,349 | PG&E Corp.* | 599,011 | ||||||
| 2,629 | Pinnacle West Capital Corp. | 193,705 | ||||||
| 17,166 | PPL Corp. | 464,684 | ||||||
| 25,349 | Southern Co. (The) | 1,598,508 | ||||||
| 12,704 | Xcel Energy Inc. | 820,297 | ||||||
|
|
|
|||||||
| Total Electric Utilities . | 24,105,944 | |||||||
|
|
|
|||||||
| Gas Utilities — 0.0%@ | ||||||||
| 3,214 | Atmos Energy Corp. | 362,571 | ||||||
| 2,094 | National Fuel Gas Co | 119,944 | ||||||
| 4,880 | UGI Corp. | 181,683 | ||||||
|
|
|
|||||||
| Total Gas Utilities . | 664,198 | |||||||
|
|
|
|||||||
| Independent Power & Renewable Electricity Producers — 0.0%@ | ||||||||
| 15,538 | AES Corp. (The) | 383,478 | ||||||
| 2,849 | Brookfield Renewable Corp., Class A Shares | 79,345 | ||||||
| 9,170 | Vistra Corp. | 201,648 | ||||||
|
|
|
|||||||
| Total Independent Power & Renewable Electricity Producers | 664,471 | |||||||
|
|
|
|||||||
| Multi-Utilities — 0.4% | ||||||||
| 5,995 | Ameren Corp. | 495,846 | ||||||
| 14,676 | CenterPoint Energy Inc. | 408,286 | ||||||
See Notes to Financial Statements.
24
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| UTILITIES — 1.9% — (continued) | ||||||||
| Multi-Utilities — 0.4% — (continued) | ||||||||
| 6,743 | CMS Energy Corp. | $ | 397,635 | |||||
| 8,267 | Consolidated Edison Inc. | 738,656 | ||||||
| 19,399 | Dominion Energy Inc. | 1,078,972 | ||||||
| 4,493 | DTE Energy Co | 492,927 | ||||||
| 9,456 | NiSource Inc. | 259,378 | ||||||
| 11,599 | Public Service Enterprise Group Inc. | 700,928 | ||||||
| 7,332 | Sempra Energy . | 1,099,507 | ||||||
| 7,351 | WEC Energy Group Inc. | 651,740 | ||||||
|
|
|
|||||||
| Total Multi-Utilities | 6,323,875 | |||||||
|
|
|
|||||||
| Water Utilities — 0.1% | ||||||||
| 4,238 | American Water Works Co., Inc. | 594,931 | ||||||
| 5,389 | Essential Utilities Inc. | 230,541 | ||||||
|
|
|
|||||||
| Total Water Utilities . | 825,472 | |||||||
|
|
|
|||||||
| TOTAL UTILITIES | 32,583,960 | |||||||
|
|
|
|||||||
| TOTAL COMMON STOCKS (Cost — $958,732,305) . |
1,617,895,301 | |||||||
|
|
|
|||||||
| CLOSED END MUTUAL FUND SECURITY — 2.1% | ||||||||
| FINANCIALS — 2.1% | ||||||||
| Capital Markets — 2.1% | ||||||||
| 488,300 | iShares® Core S&P U.S. Value ETF, Common Class Shares(a) (Cost — $35,499,459) |
35,860,752 | ||||||
|
|
|
|||||||
| TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $994,231,764) |
1,653,756,053 | |||||||
|
|
|
|||||||
| Face Amount† |
||||||||
| SHORT-TERM INVESTMENTS (e) — 3.0% | ||||||||
| MONEY MARKET FUND — 0.4% | ||||||||
| $ | 6,576,238 | Invesco STIT — Government & Agency Portfolio, 4.444%, Institutional Class(f) (Cost — $6,576,238) . |
6,576,238 | |||||
|
|
|
|||||||
| TIME DEPOSITS — 2.6% | ||||||||
| 26,344,987 | ANZ National Bank — London, 3.920% due 3/1/23 . | 26,344,987 | ||||||
| 38,715 | CAD | BBH — Grand Cayman, 3.330% due 3/1/23 | 28,372 | |||||
| 1,431,622 | Citibank — New York, 3.920% due 3/1/23 | 1,431,622 | ||||||
| 17,444,210 | JPMorgan Chase & Co. — New York, 3.920% due 3/1/23 . | 17,444,210 | ||||||
| 4,465 | Sumitomo Mitsui Banking Corp. — Tokyo, 3.920% due 3/1/23 | 4,465 | ||||||
|
|
|
|||||||
| TOTAL TIME DEPOSITS (Cost — $45,253,656) . |
45,253,656 | |||||||
|
|
|
|||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost — $51,829,894) . |
51,829,894 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS — 100.2% (Cost — $1,046,061,658) |
1,705,585,947 | |||||||
|
|
|
|||||||
| Liabilities in Excess of Other Assets — (0.2)% | (3,257,512 | ) | ||||||
|
|
|
|||||||
| TOTAL NET ASSETS — 100.0% | $ | 1,702,328,435 | ||||||
|
|
|
|||||||
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
| (a) | All or a portion of this security is on loan (See Note 1). |
See Notes to Financial Statements.
25
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund
| ||||
| (b) | Affiliated security (See Note 2). As of February 28, 2023, total cost and total market value of affiliated securities amounted to $728,168 and $2,773,410, respectively. |
| (c) | Illiquid security. |
| (d) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (e) | Inclusive of all short-term holdings, including investments of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 2.6%. |
| (f) | Represents investments of collateral received from securities lending transactions. |
At February 28, 2023, for Large Cap Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| Fund | Aggregate Cost For Federal Income Tax Purposes |
Gross Unrealized Appreciation |
Gross Unrealized (Depreciation) |
Net Unrealized Appreciation |
||||||||||||
| Large Cap Equity Fund |
$ | 1,046,061,658 | $ 721,211,103 | $ (61,727,316) | $ 659,483,787 | |||||||||||
| Abbreviations used in this schedule: | ||
| ADR | — American Depositary Receipts | |
| PLC | — Public Limited Company | |
| REIT | — Real Estate Investment Trust | |
| Summary of Investments by Security Sector^ | ||||
| Information Technology |
25.9 | % | ||
| Health Care . |
14.5 | |||
| Financials |
11.8 | |||
| Consumer Discretionary |
11.5 | |||
| Industrials . |
11.4 | |||
| Communication Services |
6.8 | |||
| Consumer Staples |
5.1 | |||
| Energy . |
3.0 | |||
| Materials . |
2.8 | |||
| Real Estate . |
2.6 | |||
| Utilities . |
1.9 | |||
| Short-Term Investments |
2.7 | |||
|
|
|
|||
| Total Investments |
100.0 | %+ | ||
|
|
|
|||
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At February 28, 2023, Large Cap Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| Open Futures Contracts | Number of Contracts |
Expiration Date (Month/Year) |
Notional Amount |
Market Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| S&P 500 E-mini Index March Futures |
57 | 3/23 | $ | 11,383,687 | $ | 11,330,175 | $ | (53,512 | ) | |||||||||||
| S&P MidCap 400 E-mini Index March Futures . |
4 | 3/23 | 1,028,270 | 1,041,280 | 13,010 | |||||||||||||||
|
|
|
|||||||||||||||||||
| $ | (40,502 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
See Notes to Financial Statements.
26
| Schedules of Investments |
| (unaudited) (continued) |
| Large Cap Equity Fund | ||||
At February 28, 2023, Large Cap Equity Fund had deposited cash of $650,984 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
| Currency Abbreviation used in this schedule: | ||
| CAD | — Canadian Dollar | |
See Notes to Financial Statements.
27
| Schedules of Investments |
| (unaudited) (continued) |
See Notes to Financial Statements.
28
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| COMMUNICATION SERVICES — 2.0% — (continued) | ||||||||||||
| Interactive Media & Services — 0.2% — (continued) | ||||||||||||
| 2,364 | TrueCar Inc.* | $ | 5,508 | |||||||||
| 5,844 | Vimeo Inc.* | 22,383 | ||||||||||
| 8,399 | Vinco Ventures Inc.* | 4,116 | ||||||||||
| 2,634 | Yelp Inc., Class A Shares* | 79,073 | ||||||||||
| 1,697 | Ziff Davis Inc.* | 134,029 | ||||||||||
| 2,653 | ZipRecruiter Inc., Class A Shares* | 45,260 | ||||||||||
|
|
|
|||||||||||
| Total Interactive Media & Services | 906,790 | |||||||||||
|
|
|
|||||||||||
| Media — 0.9% | ||||||||||||
| 2,665 | Advantage Solutions Inc.* | 5,863 | ||||||||||
| 7,521 | Altice USA Inc., Class A Shares* | 29,783 | ||||||||||
| 1,217 | AMC Networks Inc., Class A Shares* | 27,212 | ||||||||||
| 4,856 | Audacy Inc., Class A Shares* | 1,044 | ||||||||||
| 862 | Boston Omaha Corp., Class A Shares* | 20,766 | ||||||||||
| 1,273 | Cable One Inc. | 879,147 | ||||||||||
| 1,317 | Cardlytics Inc.* | 7,178 | ||||||||||
| 13,890 | Clear Channel Outdoor Holdings Inc., Class A Shares* | 24,585 | ||||||||||
| 47,650 | Criteo SA, ADR* | 1,579,597 | ||||||||||
| 422 | Cumulus Media Inc., Class A Shares* | 2,287 | ||||||||||
| 41 | Daily Journal Corp.* | 12,451 | ||||||||||
| 2,331 | Entravision Communications Corp., Class A Shares | 15,291 | ||||||||||
| 2,008 | EW Scripps Co. (The), Class A Shares* | 25,341 | ||||||||||
| 690 | Gambling.com Group Ltd.* | 6,748 | ||||||||||
| 4,982 | Gannett Co., Inc.* | 15,095 | ||||||||||
| 3,030 | Gray Television Inc. | 35,451 | ||||||||||
| 4,494 | iHeartMedia Inc., Class A Shares* | 32,626 | ||||||||||
| 2,245 | Innovid Corp.* | 3,794 | ||||||||||
| 1,380 | Integral Ad Science Holding Corp.* | 15,070 | ||||||||||
| 15,038 | Interpublic Group of Cos., Inc. (The) | 534,450 | ||||||||||
| 1,653 | John Wiley & Sons Inc., Class A Shares | 73,542 | ||||||||||
| 841 | Loyalty Ventures Inc.* | 1,480 | ||||||||||
| 4,806 | Magnite Inc.* | 53,491 | ||||||||||
| 6,180 | New York Times Co. (The), Class A Shares | 237,930 | ||||||||||
| 14,797 | News Corp., Class A Shares | 253,769 | ||||||||||
| 4,153 | News Corp., Class B Shares | 71,681 | ||||||||||
| 1,380 | Nexstar Media Group Inc., Class A Shares | 256,542 | ||||||||||
| 1,765 | PubMatic Inc., Class A Shares* | 26,793 | ||||||||||
| 3,493 | Quotient Technology Inc.* | 13,204 | ||||||||||
| 1,081 | Scholastic Corp. | 49,304 | ||||||||||
| 1,502 | Sinclair Broadcast Group Inc., Class A Shares | 24,438 | ||||||||||
| 2,811 | Stagwell Inc.* | 19,283 | ||||||||||
| 1,022 | TechTarget Inc.* | 38,560 | ||||||||||
| 8,340 | TEGNA Inc. | 145,116 | ||||||||||
| 945 | Thryv Holdings Inc.* | 22,529 | ||||||||||
| 2,259 | WideOpenWest Inc.* | 24,691 | ||||||||||
|
|
|
|||||||||||
| Total Media | 4,586,132 | |||||||||||
|
|
|
|||||||||||
| Wireless Telecommunication Services — 0.0%@ | ||||||||||||
| 2,094 | Gogo Inc.* | 34,467 | ||||||||||
| 2,391 | KORE Group Holdings Inc.* | 4,113 | ||||||||||
| 1,859 | Shenandoah Telecommunications Co. | 36,288 | ||||||||||
| 3,650 | Telephone & Data Systems Inc. | 46,318 | ||||||||||
| 522 | United States Cellular Corp.* | 12,596 | ||||||||||
|
|
|
|||||||||||
| Total Wireless Telecommunication Services | 133,782 | |||||||||||
|
|
|
|||||||||||
| TOTAL COMMUNICATION SERVICES | 10,253,381 | |||||||||||
|
|
|
|||||||||||
See Notes to Financial Statements.
29
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| CONSUMER DISCRETIONARY — 7.9% | ||||||||||||
| Auto Components — 0.5% | ||||||||||||
| 3,670 | Adient PLC* | $ | 156,783 | |||||||||
| 4,445 | American Axle & Manufacturing Holdings Inc.* | 39,116 | ||||||||||
| 9,017 | BorgWarner Inc. | 453,375 | ||||||||||
| 5,000 | Dana Inc. | 79,200 | ||||||||||
| 1,023 | Dorman Products Inc.* | 95,170 | ||||||||||
| 1,582 | Fox Factory Holding Corp.* | 185,885 | ||||||||||
| 9,181 | Gentex Corp. | 262,118 | ||||||||||
| 1,285 | Gentherm Inc.* | 81,610 | ||||||||||
| 10,862 | Goodyear Tire & Rubber Co. (The)* | 123,392 | ||||||||||
| 2,083 | Holley Inc.* | 4,541 | ||||||||||
| 964 | LCI Industries | 108,749 | ||||||||||
| 2,282 | Lear Corp. | 318,681 | ||||||||||
| 9,434 | Luminar Technologies Inc., Class A Shares*(a) | 84,434 | ||||||||||
| 1,949 | Modine Manufacturing Co.* | 47,575 | ||||||||||
| 670 | Motorcar Parts of America Inc.* | 8,770 | ||||||||||
| 849 | Patrick Industries Inc. | 61,850 | ||||||||||
| 9,650 | QuantumScape Corp., Class A Shares*(a) | 92,351 | ||||||||||
| 5,627 | Solid Power Inc.* | 19,019 | ||||||||||
| 760 | Standard Motor Products Inc. | 29,617 | ||||||||||
| 946 | Stoneridge Inc.* | 22,524 | ||||||||||
| 1,039 | Visteon Corp.* | 173,555 | ||||||||||
| 836 | XPEL Inc.* | 55,853 | ||||||||||
|
|
|
|||||||||||
| Total Auto Components | 2,504,168 | |||||||||||
|
|
|
|||||||||||
| Automobiles — 0.1% | ||||||||||||
| 5,022 | Canoo Inc.* | 3,759 | ||||||||||
| 8,459 | Cenntro Electric Group Ltd.* | 4,581 | ||||||||||
| 4,785 | Faraday Future Intelligent Electric Inc.* | 2,546 | ||||||||||
| 6,576 | Fisker Inc.*(a) | 48,860 | ||||||||||
| 5,118 | Harley-Davidson Inc. | 243,361 | ||||||||||
| 5,872 | Lordstown Motors Corp., Class A Shares* | 6,107 | ||||||||||
| 13,089 | Mullen Automotive Inc.* | 3,037 | ||||||||||
| 1,962 | Thor Industries Inc. | 178,522 | ||||||||||
| 1,183 | Winnebago Industries Inc. | 75,191 | ||||||||||
| 6,490 | Workhorse Group Inc.* | 13,369 | ||||||||||
|
|
|
|||||||||||
| Total Automobiles | 579,333 | |||||||||||
|
|
|
|||||||||||
| Distributors — 0.1% | ||||||||||||
| 1,421 | Funko Inc., Class A Shares* | 15,361 | ||||||||||
| 1,466 | Pool Corp. | 523,157 | ||||||||||
| 348 | Weyco Group Inc. | 9,222 | ||||||||||
|
|
|
|||||||||||
| Total Distributors | 547,740 | |||||||||||
|
|
|
|||||||||||
| Diversified Consumer Services — 0.4% | ||||||||||||
| 2,764 | 2U Inc.* | 24,765 | ||||||||||
| 8,133 | ADT Inc. | 61,323 | ||||||||||
| 1,725 | Adtalem Global Education Inc.* | 67,482 | ||||||||||
| 753 | American Public Education Inc.* | 8,313 | ||||||||||
| 7,635 | Beachbody Co., Inc. (The)* | 4,928 | ||||||||||
| 2,223 | Bright Horizons Family Solutions Inc.* | 175,261 | ||||||||||
| 552 | Carriage Services Inc., Class A Shares | 18,724 | ||||||||||
| 4,806 | Chegg Inc.* | 76,367 | ||||||||||
| 4,291 | Coursera Inc.* | 48,360 | ||||||||||
| 876 | Duolingo Inc., Class A Shares* | 79,532 | ||||||||||
| 1,062 | European Wax Center Inc., Class A Shares | 19,604 | ||||||||||
See Notes to Financial Statements.
30
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| CONSUMER DISCRETIONARY — 7.9% — (continued) | ||||||||||||
| Diversified Consumer Services — 0.4% — (continued) | ||||||||||||
| 3,159 | Frontdoor Inc.* | $ | 89,242 | |||||||||
| 133 | Graham Holdings Co., Class B Shares | 83,346 | ||||||||||
| 1,166 | Grand Canyon Education Inc.* | 132,096 | ||||||||||
| 6,090 | H&R Block Inc. | 224,112 | ||||||||||
| 4,829 | Laureate Education Inc., Class A Shares | 57,272 | ||||||||||
| 2,966 | Mister Car Wash Inc.* | 27,376 | ||||||||||
| 3,366 | Nerdy Inc.* | 8,449 | ||||||||||
| 2,476 | OneSpaWorld Holdings Ltd.* | 28,697 | ||||||||||
| 2,348 | Perdoceo Education Corp.* | 32,367 | ||||||||||
| 4,188 | Rover Group Inc., Class A Shares* | 17,506 | ||||||||||
| 5,706 | Service Corp. International | 385,326 | ||||||||||
| 876 | Strategic Education Inc. | 74,679 | ||||||||||
| 1,561 | Stride Inc.* | 66,296 | ||||||||||
| 2,574 | Udemy Inc.* | 24,299 | ||||||||||
| 1,399 | Universal Technical Institute Inc.* | 10,157 | ||||||||||
| 3,681 | Vivint Smart Home Inc.* | 41,374 | ||||||||||
| 2,394 | WW International Inc.* | 8,762 | ||||||||||
|
|
|
|||||||||||
| Total Diversified Consumer Services | 1,896,015 | |||||||||||
|
|
|
|||||||||||
| Hotels, Restaurants & Leisure — 2.1% | ||||||||||||
| 2,156 | Accel Entertainment Inc., Class A Shares* | 19,727 | ||||||||||
| 8,839 | Aramark | 325,275 | ||||||||||
| 1,358 | Bally’s Corp.* | 26,821 | ||||||||||
| 43 | Biglari Holdings Inc., Class B Shares* | 7,731 | ||||||||||
| 912 | BJ’s Restaurants Inc.* | 29,184 | ||||||||||
| 3,395 | Bloomin’ Brands Inc. | 88,610 | ||||||||||
| 536 | Bluegreen Vacations Holding Corp., Class A Shares | 17,779 | ||||||||||
| 1,093 | Bowlero Corp.* | 16,810 | ||||||||||
| 2,870 | Boyd Gaming Corp. | 186,923 | ||||||||||
| 1,681 | Brinker International Inc.* | 63,878 | ||||||||||
| 1,124 | Century Casinos Inc.* | 10,408 | ||||||||||
| 1,880 | Cheesecake Factory Inc. (The) | 70,387 | ||||||||||
| 1,230 | Choice Hotels International Inc. | 145,583 | ||||||||||
| 5,424 | Churchill Downs Inc. | 1,333,111 | ||||||||||
| 673 | Chuy’s Holdings Inc.* | 24,060 | ||||||||||
| 812 | Cracker Barrel Old Country Store Inc. | 88,476 | ||||||||||
| 1,609 | Dave & Buster’s Entertainment Inc.* | 64,392 | ||||||||||
| 1,906 | Denny’s Corp.* | 22,243 | ||||||||||
| 533 | Dine Brands Global Inc. | 40,865 | ||||||||||
| 756 | El Pollo Loco Holdings Inc. | 9,049 | ||||||||||
| 3,136 | Everi Holdings Inc.* | 59,553 | ||||||||||
| 1,341 | F45 Training Holdings Inc.* | 2,776 | ||||||||||
| 640 | First Watch Restaurant Group Inc.* | 9,779 | ||||||||||
| 1,323 | Full House Resorts Inc.* | 12,807 | ||||||||||
| 752 | Golden Entertainment Inc.* | 30,915 | ||||||||||
| 3,214 | Hilton Grand Vacations Inc.* | 153,436 | ||||||||||
| 1,833 | Hyatt Hotels Corp., Class A Shares* | 213,068 | ||||||||||
| 625 | Inspired Entertainment Inc.* | 9,881 | ||||||||||
| 54,728 | International Game Technology PLC | 1,453,576 | ||||||||||
| 803 | Jack in the Box Inc. | 62,955 | ||||||||||
| 2,731 | Krispy Kreme Inc. | 35,530 | ||||||||||
| 164 | Kura Sushi USA Inc., Class A Shares* | 10,270 | ||||||||||
| 1,798 | Life Time Group Holdings Inc.* | 32,490 | ||||||||||
| 3,563 | Light & Wonder Inc., Class A Shares* | 223,079 | ||||||||||
| 1,085 | Lindblad Expeditions Holdings Inc.* | 9,309 | ||||||||||
See Notes to Financial Statements.
31
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| CONSUMER DISCRETIONARY — 7.9% — (continued) | ||||||||||||
| Hotels, Restaurants & Leisure — 2.1% — (continued) | ||||||||||||
| 1,421 | Marriott Vacations Worldwide Corp. | $ | 217,399 | |||||||||
| 537 | Monarch Casino & Resort Inc. | 39,534 | ||||||||||
| 496 | NEOGAMES SA* | 7,713 | ||||||||||
| 1,393 | Noodles & Co., Class A Shares* | 8,135 | ||||||||||
| 15,787 | Norwegian Cruise Line Holdings Ltd.*(a) | 233,963 | ||||||||||
| 786 | ONE Group Hospitality Inc. (The)* | 6,681 | ||||||||||
| 1,259 | Papa John’s International Inc. | 105,693 | ||||||||||
| 5,758 | Penn Entertainment Inc.* | 175,792 | ||||||||||
| 11,801 | Planet Fitness Inc., Class A Shares* | 956,471 | ||||||||||
| 1,075 | Portillo’s Inc., Class A Shares*(a) | 24,424 | ||||||||||
| 318 | RCI Hospitality Holdings Inc. | 26,639 | ||||||||||
| 1,982 | Red Rock Resorts Inc., Class A Shares | 86,554 | ||||||||||
| 2,470 | Rush Street Interactive Inc.* | 10,349 | ||||||||||
| 1,213 | Ruth’s Hospitality Group Inc. | 22,623 | ||||||||||
| 9,390 | SeaWorld Entertainment Inc.* | 606,594 | ||||||||||
| 1,367 | Shake Shack Inc., Class A Shares* | 76,265 | ||||||||||
| 2,921 | Six Flags Entertainment Corp.* | 77,114 | ||||||||||
| 6,049 | Sonder Holdings Inc.* | 6,231 | ||||||||||
| 3,601 | Sweetgreen Inc., Class A Shares* | 31,401 | ||||||||||
| 999 | Target Hospitality Corp.* | 14,815 | ||||||||||
| 2,567 | Texas Roadhouse Inc., Class A Shares | 260,653 | ||||||||||
| 3,006 | Travel + Leisure Co. | 126,102 | ||||||||||
| 4,673 | Vacasa Inc., Class A Shares* | 6,776 | ||||||||||
| 1,537 | Vail Resorts Inc. | 358,874 | ||||||||||
| 6,452 | Wendy’s Co. (The) | 141,686 | ||||||||||
| 8,032 | Wingstop Inc. | 1,368,251 | ||||||||||
| 3,306 | Wyndham Hotels & Resorts Inc. | 254,628 | ||||||||||
| 4,025 | Wynn Resorts Ltd.* | 436,189 | ||||||||||
| 803 | Xponential Fitness Inc., Class A Shares* | 20,388 | ||||||||||
|
|
|
|||||||||||
| Total Hotels, Restaurants & Leisure | 10,618,673 | |||||||||||
|
|
|
|||||||||||
| Household Durables — 1.0% | ||||||||||||
| 803 | Aterian Inc.* | 964 | ||||||||||
| 971 | Beazer Homes USA Inc.* | 14,478 | ||||||||||
| 346 | Cavco Industries Inc.* | 98,610 | ||||||||||
| 1,095 | Century Communities Inc. | 65,492 | ||||||||||
| 1,032 | Dream Finders Homes Inc., Class A Shares* | 12,415 | ||||||||||
| 824 | Ethan Allen Interiors Inc. | 24,349 | ||||||||||
| 4,982 | GoPro Inc., Class A Shares* | 25,857 | ||||||||||
| 993 | Green Brick Partners Inc.* | 30,982 | ||||||||||
| 914 | Helen of Troy Ltd.* | 102,999 | ||||||||||
| 162 | Hovnanian Enterprises Inc., Class A Shares* | 11,034 | ||||||||||
| 919 | Installed Building Products Inc. | 106,034 | ||||||||||
| 1,016 | iRobot Corp.* | 41,747 | ||||||||||
| 14,916 | KB Home | 526,087 | ||||||||||
| 1,696 | La-Z-Boy Inc. | 54,916 | ||||||||||
| 368 | Legacy Housing Corp.* | 7,345 | ||||||||||
| 5,180 | Leggett & Platt Inc. | 178,658 | ||||||||||
| 786 | LGI Homes Inc.* | 81,988 | ||||||||||
| 500 | Lifetime Brands Inc. | 3,960 | ||||||||||
| 483 | Lovesac Co. (The)* | 13,906 | ||||||||||
| 976 | M/I Homes Inc.* | 56,452 | ||||||||||
| 2,176 | MDC Holdings Inc. | 80,512 | ||||||||||
| 1,364 | Meritage Homes Corp.* | 148,990 | ||||||||||
| 1,982 | Mohawk Industries Inc.* | 203,849 | ||||||||||
See Notes to Financial Statements.
32
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| CONSUMER DISCRETIONARY — 7.9% — (continued) | ||||||||||||
| Household Durables — 1.0% — (continued) | ||||||||||||
| 49,353 | Newell Brands Inc. | $ | 724,995 | |||||||||
| 8,782 | PulteGroup Inc. | 480,112 | ||||||||||
| 2,062 | Purple Innovation Inc., Class A Shares* | 8,908 | ||||||||||
| 2,062 | Skyline Champion Corp.* | 141,061 | ||||||||||
| 815 | Snap One Holdings Corp.* | 9,527 | ||||||||||
| 24,711 | Sonos Inc.* | 480,135 | ||||||||||
| 3,911 | Taylor Morrison Home Corp., Class A Shares* | 140,131 | ||||||||||
| 19,058 | Tempur Sealy International Inc. | 814,539 | ||||||||||
| 4,022 | Toll Brothers Inc. | 241,079 | ||||||||||
| 1,209 | TopBuild Corp.* | 250,976 | ||||||||||
| 1,614 | Traeger Inc.* | 6,424 | ||||||||||
| 3,793 | Tri Pointe Homes Inc.* | 90,425 | ||||||||||
| 1,934 | Tupperware Brands Corp.* | 7,929 | ||||||||||
| 475 | Universal Electronics Inc.* | 6,042 | ||||||||||
| 2,930 | Vizio Holding Corp., Class A Shares* | 30,032 | ||||||||||
| 2,174 | Vuzix Corp.*(a) | 9,022 | ||||||||||
|
|
|
|||||||||||
| Total Household Durables | 5,332,961 | |||||||||||
|
|
|
|||||||||||
| Internet & Direct Marketing Retail — 0.2% | ||||||||||||
| 39,002 | 1-800-Flowers.com Inc., Class A Shares* | 386,120 | ||||||||||
| 1,301 | 1stdibs.com Inc.* | 6,609 | ||||||||||
| 34 | aka Brands Holding Corp.* | 48 | ||||||||||
| 5,855 | BARK Inc.* | 7,904 | ||||||||||
| 1,761 | CarParts.com Inc.* | 11,041 | ||||||||||
| 12,514 | Chewy Inc., Class A Shares*(a) | 507,443 | ||||||||||
| 24,353 | ContextLogic Inc., Class A Shares* | 11,853 | ||||||||||
| 362 | Duluth Holdings Inc., Class B Shares* | 2,176 | ||||||||||
| 1,179 | Groupon Inc., Class A Shares*(a) | 8,854 | ||||||||||
| 617 | Lands’ End Inc.* | 4,689 | ||||||||||
| 1,170 | Lulu’s Fashion Lounge Holdings Inc.* | 3,568 | ||||||||||
| 1,751 | Overstock.com Inc.* | 33,917 | ||||||||||
| 610 | PetMed Express Inc. | 11,456 | ||||||||||
| 14,475 | Qurate Retail Inc., Class A Shares* | 30,542 | ||||||||||
| 3,636 | RealReal Inc. (The)* | 4,909 | ||||||||||
| 1,430 | Rent the Runway Inc., Class A Shares* | 4,876 | ||||||||||
| 1,569 | Revolve Group Inc., Class A Shares* | 42,489 | ||||||||||
| 629 | RumbleON Inc., Class B Shares* | 5,718 | ||||||||||
| 3,079 | Stitch Fix Inc., Class A Shares* | 14,348 | ||||||||||
| 3,143 | ThredUp Inc., Class A Shares* | 4,997 | ||||||||||
| 3,021 | Wayfair Inc., Class A Shares*(a) | 122,320 | ||||||||||
| 1,261 | Xometry Inc., Class A Shares* | 38,347 | ||||||||||
|
|
|
|||||||||||
| Total Internet & Direct Marketing Retail | 1,264,224 | |||||||||||
|
|
|
|||||||||||
| Leisure Products — 0.4% | ||||||||||||
| 1,314 | Acushnet Holdings Corp. | 63,414 | ||||||||||
| 4,531 | AMMO Inc.* | 8,835 | ||||||||||
| 9,020 | BRP Inc. | 779,869 | ||||||||||
| 2,743 | Brunswick Corp. | 239,793 | ||||||||||
| 970 | Clarus Corp. | 9,603 | ||||||||||
| 182 | Johnson Outdoors Inc., Class A Shares | 11,805 | ||||||||||
| 1,748 | Latham Group Inc.* | 5,559 | ||||||||||
| 812 | Malibu Boats Inc., Class A Shares* | 48,525 | ||||||||||
| 338 | Marine Products Corp. | 4,326 | ||||||||||
| 691 | MasterCraft Boat Holdings Inc.* | 23,335 | ||||||||||
| 13,631 | Mattel Inc.* | 245,222 | ||||||||||
See Notes to Financial Statements.
33
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| CONSUMER DISCRETIONARY — 7.9% — (continued) | ||||||||||||
| Leisure Products — 0.4% — (continued) | ||||||||||||
| 11,726 | Peloton Interactive Inc., Class A Shares* | $ | 151,500 | |||||||||
| 2,101 | Polaris Inc.(a) | 238,989 | ||||||||||
| 2,040 | Smith & Wesson Brands Inc. | 22,318 | ||||||||||
| 740 | Solo Brands Inc., Class A Shares* | 3,056 | ||||||||||
| 723 | Sturm Ruger & Co., Inc. | 42,129 | ||||||||||
| 5,391 | Topgolf Callaway Brands Corp.* | 124,963 | ||||||||||
| 2,094 | Vista Outdoor Inc.* | 59,805 | ||||||||||
| 3,230 | YETI Holdings Inc.* | 125,905 | ||||||||||
|
|
|
|||||||||||
| Total Leisure Products | 2,208,951 | |||||||||||
|
|
|
|||||||||||
| Multiline Retail — 0.1% | ||||||||||||
| 998 | Big Lots Inc. | 14,321 | ||||||||||
| 152 | Dillard’s Inc., Class A Shares | 54,174 | ||||||||||
| 1,092 | Franchise Group Inc. | 30,369 | ||||||||||
| 4,392 | Kohl’s Corp. | 123,152 | ||||||||||
| 10,209 | Macy’s Inc. | 208,876 | ||||||||||
| 4,339 | Nordstrom Inc. | 84,524 | ||||||||||
| 2,422 | Ollie’s Bargain Outlet Holdings Inc.* | 139,362 | ||||||||||
|
|
|
|||||||||||
| Total Multiline Retail | 654,778 | |||||||||||
|
|
|
|||||||||||
| Specialty Retail — 2.1% | ||||||||||||
| 1,426 | Aaron’s Co., Inc. (The) | 20,463 | ||||||||||
| 1,916 | Abercrombie & Fitch Co., Class A Shares* | 56,350 | ||||||||||
| 2,945 | Academy Sports & Outdoors Inc. | 174,197 | ||||||||||
| 5,877 | American Eagle Outfitters Inc. | 84,452 | ||||||||||
| 216 | America’s Car-Mart Inc.* | 18,351 | ||||||||||
| 3,445 | Arko Corp. | 27,629 | ||||||||||
| 850 | Asbury Automotive Group Inc.* | 193,035 | ||||||||||
| 1,337 | AutoNation Inc.* | 182,514 | ||||||||||
| 3,286 | Bed Bath & Beyond Inc.*(a) | 4,633 | ||||||||||
| 720 | Big 5 Sporting Goods Corp.(a) | 6,358 | ||||||||||
| 1,138 | Boot Barn Holdings Inc.* | 88,138 | ||||||||||
| 1,198 | Buckle Inc. (The) | 48,866 | ||||||||||
| 597 | Build-A-Bear Workshop Inc.* | 12,507 | ||||||||||
| 13,460 | Caleres Inc. | 351,441 | ||||||||||
| 1,361 | Camping World Holdings Inc., Class A Shares | 31,072 | ||||||||||
| 19,154 | CarMax Inc.* | 1,322,392 | ||||||||||
| 4,351 | Carvana Co., Class A Shares*(a) | 40,986 | ||||||||||
| 597 | Cato Corp. (The), Class A Shares | 5,522 | ||||||||||
| 41,408 | Chico’s FAS Inc.* | 238,096 | ||||||||||
| 6,125 | Children’s Place Inc. (The)* | 256,454 | ||||||||||
| 297 | Citi Trends Inc.* | 8,328 | ||||||||||
| 707 | Conn’s Inc.* | 6,059 | ||||||||||
| 1,274 | Container Store Group Inc. (The)* | 5,542 | ||||||||||
| 33,811 | Designer Brands Inc., Class A Shares | 331,010 | ||||||||||
| 1,732 | Destination XL Group Inc.* | 10,357 | ||||||||||
| 2,029 | Dick’s Sporting Goods Inc. | 260,990 | ||||||||||
| 3,005 | EVgo Inc.*(a) | 17,820 | ||||||||||
| 4,601 | Express Inc.* | 4,693 | ||||||||||
| 2,079 | Five Below Inc.* | 424,740 | ||||||||||
| 14,959 | Floor & Decor Holdings Inc., Class A Shares* | 1,373,386 | ||||||||||
| 3,001 | Foot Locker Inc. | 131,204 | ||||||||||
| 10,433 | GameStop Corp., Class A Shares*(a) | 200,627 | ||||||||||
| 7,264 | Gap Inc. (The) | 94,505 | ||||||||||
| 483 | Genesco Inc.* | 21,720 | ||||||||||
See Notes to Financial Statements.
34
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| CONSUMER DISCRETIONARY — 7.9% — (continued) | ||||||||||||
| Specialty Retail — 2.1% — (continued) | ||||||||||||
| 531 | Group 1 Automotive Inc. | $ | 117,388 | |||||||||
| 2,023 | GrowGeneration Corp.* | 8,567 | ||||||||||
| 1,249 | Guess? Inc. | 26,279 | ||||||||||
| 560 | Haverty Furniture Cos., Inc. | 21,134 | ||||||||||
| 493 | Hibbett Inc. | 35,461 | ||||||||||
| 452 | JOANN Inc. | 1,641 | ||||||||||
| 6,090 | Leslie’s Inc.* | 76,795 | ||||||||||
| 1,028 | Lithia Motors Inc., Class A Shares | 262,325 | ||||||||||
| 960 | LL Flooring Holdings Inc.* | 4,848 | ||||||||||
| 884 | MarineMax Inc.* | 29,685 | ||||||||||
| 17,118 | Monro Inc. | 863,432 | ||||||||||
| 823 | Murphy USA Inc. | 209,939 | ||||||||||
| 24,235 | National Vision Holdings Inc.* | 905,420 | ||||||||||
| 10,791 | ODP Corp. (The)* | 488,616 | ||||||||||
| 516 | OneWater Marine Inc., Class A Shares* | 14,355 | ||||||||||
| 991 | Penske Automotive Group Inc. | 142,853 | ||||||||||
| 3,269 | Petco Health & Wellness Co., Inc., Class A Shares* | 33,671 | ||||||||||
| 713 | RH* | 213,208 | ||||||||||
| 4,000 | Sally Beauty Holdings Inc.* | 64,360 | ||||||||||
| 641 | Shoe Carnival Inc. | 16,890 | ||||||||||
| 1,775 | Signet Jewelers Ltd. | 127,125 | ||||||||||
| 910 | Sleep Number Corp.* | 36,273 | ||||||||||
| 658 | Sonic Automotive Inc., Class A Shares | 37,434 | ||||||||||
| 1,503 | Sportsman’s Warehouse Holdings Inc.* | 13,512 | ||||||||||
| 617 | Tile Shop Holdings Inc.* | 3,369 | ||||||||||
| 885 | Tilly’s Inc., Class A Shares* | 7,682 | ||||||||||
| 416 | Torrid Holdings Inc.* | 1,136 | ||||||||||
| 434 | TravelCenters of America Inc.* | 36,608 | ||||||||||
| 1,813 | Upbound Group Inc. | 48,679 | ||||||||||
| 2,493 | Urban Outfitters Inc.* | 67,186 | ||||||||||
| 3,071 | Victoria’s Secret & Co.* | 121,734 | ||||||||||
| 6,707 | Volta Inc.* | 5,754 | ||||||||||
| 3,198 | Warby Parker Inc., Class A Shares* | 41,606 | ||||||||||
| 2,571 | Williams-Sonoma Inc.(a) | 321,169 | ||||||||||
| 105 | Winmark Corp. | 30,660 | ||||||||||
| 368 | Zumiez Inc.* | 8,560 | ||||||||||
|
|
|
|||||||||||
| Total Specialty Retail | 10,499,791 | |||||||||||
|
|
|
|||||||||||
| Textiles, Apparel & Luxury Goods — 0.9% | ||||||||||||
| 4,134 | Allbirds Inc., Class A Shares* | 11,823 | ||||||||||
| 4,769 | Capri Holdings Ltd.* | 236,399 | ||||||||||
| 13,051 | Carter’s Inc. | 983,915 | ||||||||||
| 1,431 | Columbia Sportswear Co. | 124,783 | ||||||||||
| 2,286 | Crocs Inc.* | 278,229 | ||||||||||
| 1,005 | Deckers Outdoor Corp.* | 418,432 | ||||||||||
| 2,073 | Ermenegildo Zegna NV(a) | 26,990 | ||||||||||
| 1,694 | Fossil Group Inc.* | 7,335 | ||||||||||
| 1,577 | G-III Apparel Group Ltd.* | 26,202 | ||||||||||
| 13,309 | Hanesbrands Inc. | 75,595 | ||||||||||
| 2,166 | Kontoor Brands Inc. | 112,957 | ||||||||||
| 555 | Movado Group Inc. | 19,214 | ||||||||||
| 589 | Oxford Industries Inc. | 69,272 | ||||||||||
| 1,080 | PLBY Group Inc.* | 2,300 | ||||||||||
| 2,451 | PVH Corp. | 196,668 | ||||||||||
| 1,553 | Ralph Lauren Corp., Class A Shares | 183,549 | ||||||||||
See Notes to Financial Statements.
35
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| CONSUMER DISCRETIONARY — 7.9% — (continued) | ||||||||||||
| Textiles, Apparel & Luxury Goods — 0.9% — (continued) | ||||||||||||
| 279 | Rocky Brands Inc. | $ | 7,427 | |||||||||
| 5,075 | Skechers USA Inc., Class A Shares* | 225,888 | ||||||||||
| 2,835 | Steven Madden Ltd. | 102,911 | ||||||||||
| 468 | Superior Group of Cos., Inc. | 5,419 | ||||||||||
| 9,227 | Tapestry Inc. | 401,467 | ||||||||||
| 6,905 | Under Armour Inc., Class A Shares* | 68,567 | ||||||||||
| 7,567 | Under Armour Inc., Class C Shares* | 66,590 | ||||||||||
| 548 | Unifi Inc.* | 5,672 | ||||||||||
| 40,014 | Wolverine World Wide Inc. | 670,235 | ||||||||||
|
|
|
|||||||||||
| Total Textiles, Apparel & Luxury Goods | 4,327,839 | |||||||||||
|
|
|
|||||||||||
| TOTAL CONSUMER DISCRETIONARY | 40,434,473 | |||||||||||
|
|
|
|||||||||||
| CONSUMER STAPLES — 4.1% | ||||||||||||
| Beverages — 0.1% | ||||||||||||
| 366 | Boston Beer Co., Inc. (The), Class A Shares* | 118,511 | ||||||||||
| 2,100 | Celsius Holdings Inc.* | 190,680 | ||||||||||
| 183 | Coca-Cola Consolidated Inc. | 101,904 | ||||||||||
| 1,312 | Duckhorn Portfolio Inc. (The)* | 20,008 | ||||||||||
| 548 | MGP Ingredients Inc. | 55,589 | ||||||||||
| 871 | National Beverage Corp.* | 40,632 | ||||||||||
| 6,114 | Primo Water Corp. | 94,645 | ||||||||||
| 1,476 | Vintage Wine Estates Inc.* | 2,258 | ||||||||||
| 1,232 | Vita Coco Co., Inc. (The)*(a) | 20,833 | ||||||||||
|
|
|
|||||||||||
| Total Beverages | 645,060 | |||||||||||
|
|
|
|||||||||||
| Food & Staples Retailing — 0.4% | ||||||||||||
| 6,561 | Albertsons Cos., Inc., Class A Shares | 130,433 | ||||||||||
| 1,190 | Andersons Inc. (The) | 54,300 | ||||||||||
| 5,205 | BJ’s Wholesale Club Holdings Inc.* | 373,719 | ||||||||||
| 1,417 | Casey’s General Stores Inc. | 294,665 | ||||||||||
| 1,302 | Chefs’ Warehouse Inc. (The)* | 42,380 | ||||||||||
| 1,609 | Fresh Market Inc.*(b)(c) | — | ||||||||||
| 3,416 | Grocery Outlet Holding Corp.* | 92,403 | ||||||||||
| 1,410 | HF Foods Group Inc.* | 5,471 | ||||||||||
| 551 | Ingles Markets Inc., Class A Shares | 49,259 | ||||||||||
| 321 | Natural Grocers by Vitamin Cottage Inc. | 3,524 | ||||||||||
| 5,774 | Performance Food Group Co.* | 326,751 | ||||||||||
| 933 | PriceSmart Inc. | 65,049 | ||||||||||
| 2,441 | Rite Aid Corp.* | 9,422 | ||||||||||
| 1,338 | SpartanNash Co. | 35,805 | ||||||||||
| 4,005 | Sprouts Farmers Market Inc.* | 121,311 | ||||||||||
| 2,231 | United Natural Foods Inc.* | 90,869 | ||||||||||
| 7,628 | US Foods Holding Corp.* | 286,279 | ||||||||||
| 334 | Village Super Market Inc., Class A Shares | 7,458 | ||||||||||
| 639 | Weis Markets Inc. | 48,845 | ||||||||||
|
|
|
|||||||||||
| Total Food & Staples Retailing | 2,037,943 | |||||||||||
|
|
|
|||||||||||
| Food Products — 1.3% | ||||||||||||
| 185 | Alico Inc. | 4,762 | ||||||||||
| 2,617 | AppHarvest Inc.* | 2,669 | ||||||||||
| 2,926 | B&G Foods Inc.(a) | 37,072 | ||||||||||
| 7,743 | Benson Hill Inc.* | 17,267 | ||||||||||
| 2,282 | Beyond Meat Inc.*(a) | 40,711 | ||||||||||
| 1,347 | BRC Inc., Class A Shares* | 8,971 | ||||||||||
| 13,365 | Calavo Growers Inc. | 431,289 | ||||||||||
See Notes to Financial Statements.
36
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| CONSUMER STAPLES — 4.1% — (continued) | ||||||||||||
| Food Products — 1.3% — (continued) | ||||||||||||
| 5,931 | Cal-Maine Foods Inc. | $ | 336,881 | |||||||||
| 6,194 | Darling Ingredients Inc.* | 391,894 | ||||||||||
| 7,152 | Flowers Foods Inc. | 199,398 | ||||||||||
| 1,134 | Fresh Del Monte Produce Inc. | 35,472 | ||||||||||
| 1,763 | Freshpet Inc.* | 109,623 | ||||||||||
| 22,146 | Hain Celestial Group Inc. (The)* | 394,863 | ||||||||||
| 5,002 | Hostess Brands Inc., Class A Shares* | 123,549 | ||||||||||
| 2,499 | Ingredion Inc. | 248,401 | ||||||||||
| 3,772 | J&J Snack Foods Corp. | 532,644 | ||||||||||
| 366 | John B Sanfilippo & Son Inc. | 32,856 | ||||||||||
| 5,563 | Lamb Weston Holdings Inc. | 559,860 | ||||||||||
| 760 | Lancaster Colony Corp. | 145,905 | ||||||||||
| 954 | Lifecore Biomedical Inc.* | 5,524 | ||||||||||
| 2,182 | Local Bounti Corp.* | 1,497 | ||||||||||
| 23,462 | Mission Produce Inc.* | 270,282 | ||||||||||
| 1,820 | Pilgrim’s Pride Corp.* | 42,570 | ||||||||||
| 2,164 | Post Holdings Inc.* | 194,673 | ||||||||||
| 9 | Seaboard Corp. | 35,550 | ||||||||||
| 203 | Seneca Foods Corp., Class A Shares* | 11,287 | ||||||||||
| 3,320 | Simply Good Foods Co. (The)* | 127,123 | ||||||||||
| 1,258 | Sovos Brands Inc.* | 16,442 | ||||||||||
| 3,519 | SunOpta Inc.* | 27,026 | ||||||||||
| 1,831 | Tattooed Chef Inc.*(a) | 2,307 | ||||||||||
| 576 | Tootsie Roll Industries Inc. | 25,361 | ||||||||||
| 31,127 | TreeHouse Foods Inc.* | 1,518,686 | ||||||||||
| 42,714 | Utz Brands Inc. | 700,510 | ||||||||||
| 969 | Vital Farms Inc.* | 15,659 | ||||||||||
| 1,493 | Whole Earth Brands Inc.* | 5,136 | ||||||||||
|
|
|
|||||||||||
| Total Food Products | 6,653,720 | |||||||||||
|
|
|
|||||||||||
| Household Products — 1.7% | ||||||||||||
| 362 | Central Garden & Pet Co.* | 14,661 | ||||||||||
| 1,525 | Central Garden & Pet Co., Class A Shares* | 58,606 | ||||||||||
| 12,323 | Clorox Co. (The) | 1,915,487 | ||||||||||
| 2,608 | Energizer Holdings Inc. | 94,488 | ||||||||||
| 175,005 | Henkel AG & Co. KGaA, ADR | 3,107,808 | ||||||||||
| 26,019 | Kimberly-Clark Corp. | 3,253,676 | ||||||||||
| 2,256 | Reynolds Consumer Products Inc. | 61,904 | ||||||||||
| 1,540 | Spectrum Brands Holdings Inc. | 98,591 | ||||||||||
| 530 | WD-40 Co. | 91,918 | ||||||||||
|
|
|
|||||||||||
| Total Household Products | 8,697,139 | |||||||||||
|
|
|
|||||||||||
| Personal Products — 0.5% | ||||||||||||
| 3,719 | Beauty Health Co.(The)* | 46,897 | ||||||||||
| 29,229 | Beiersdorf AG, ADR | 696,527 | ||||||||||
| 5,106 | BellRing Brands Inc.* | 157,673 | ||||||||||
| 13,483 | Coty Inc., Class A Shares* | 152,358 | ||||||||||
| 1,997 | Edgewell Personal Care Co. | 85,272 | ||||||||||
| 1,873 | elf Beauty Inc.* | 140,007 | ||||||||||
| 28,239 | Herbalife Nutrition Ltd.*(a) | 546,425 | ||||||||||
| 1,752 | Honest Co., Inc. (The)* | 4,888 | ||||||||||
| 677 | Inter Parfums Inc. | 81,518 | ||||||||||
| 412 | Medifast Inc. | 46,197 | ||||||||||
| 462 | Nature’s Sunshine Products Inc.* | 5,008 | ||||||||||
| 16,184 | Nu Skin Enterprises Inc., Class A Shares | 644,770 | ||||||||||
See Notes to Financial Statements.
37
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| CONSUMER STAPLES — 4.1% — (continued) | ||||||||||||
| Personal Products — 0.5% — (continued) | ||||||||||||
| 5,174 | Olaplex Holdings Inc.* | $ | 25,456 | |||||||||
| 416 | USANA Health Sciences Inc.* | 25,284 | ||||||||||
| 2,601 | Veru Inc.*(a) | 10,287 | ||||||||||
|
|
|
|||||||||||
| Total Personal Products | 2,668,567 | |||||||||||
|
|
|
|||||||||||
| Tobacco — 0.1% | ||||||||||||
| 6,185 | 22nd Century Group Inc.* | 5,588 | ||||||||||
| 514 | Turning Point Brands Inc. | 12,285 | ||||||||||
| 971 | Universal Corp. | 49,123 | ||||||||||
| 5,374 | Vector Group Ltd. | 71,313 | ||||||||||
|
|
|
|||||||||||
| Total Tobacco | 138,309 | |||||||||||
|
|
|
|||||||||||
| TOTAL CONSUMER STAPLES | 20,840,738 | |||||||||||
|
|
|
|||||||||||
| ENERGY — 4.0% | ||||||||||||
| Energy Equipment & Services — 1.4% | ||||||||||||
| 5,249 | Archrock Inc. | 58,107 | ||||||||||
| 7,992 | Borr Drilling Ltd.* | 57,782 | ||||||||||
| 999 | Bristow Group Inc.* | 27,213 | ||||||||||
| 2,293 | Cactus Inc., Class A Shares | 105,363 | ||||||||||
| 23,493 | ChampionX Corp. | 718,181 | ||||||||||
| 3,649 | Diamond Offshore Drilling Inc.* | 43,350 | ||||||||||
| 699 | DMC Global Inc.* | 18,712 | ||||||||||
| 11,969 | Dril-Quip Inc.* | 409,938 | ||||||||||
| 2,928 | Expro Group Holdings NV* | 66,554 | ||||||||||
| 5,447 | Helix Energy Solutions Group Inc.* | 45,101 | ||||||||||
| 3,850 | Helmerich & Payne Inc. | 162,008 | ||||||||||
| 6,678 | ION Geophysical Corp.*(b)(c) | – | ||||||||||
| 5,116 | Liberty Energy Inc., Class A Shares | 78,019 | ||||||||||
| 341 | Nabors Industries Ltd.* | 51,256 | ||||||||||
| 1,206 | National Energy Services Reunited Corp.* | 7,791 | ||||||||||
| 3,902 | Newpark Resources Inc.* | 17,286 | ||||||||||
| 165,026 | NexTier Oilfield Solutions Inc.* | 1,506,687 | ||||||||||
| 3,174 | Noble Corp. PLC* | 132,324 | ||||||||||
| 14,782 | NOV Inc. | 323,430 | ||||||||||
| 47,253 | Oceaneering International Inc.* | 987,115 | ||||||||||
| 37,196 | Oil States International Inc.* | 339,600 | ||||||||||
| 26,596 | Patterson-UTI Energy Inc. | 364,365 | ||||||||||
| 852 | ProFrac Holding Corp., Class A Shares*(a) | 16,299 | ||||||||||
| 3,242 | ProPetro Holding Corp.* | 28,562 | ||||||||||
| 2,568 | RPC Inc. | 22,521 | ||||||||||
| 2,960 | Select Energy Services Inc., Class A Shares | 21,963 | ||||||||||
| 1,342 | Solaris Oilfield Infrastructure Inc., Class A Shares | 11,984 | ||||||||||
| 45,156 | TechnipFMC PLC* | 690,435 | ||||||||||
| 81,401 | TETRA Technologies Inc.* | 289,788 | ||||||||||
| 1,780 | Tidewater Inc.* | 86,935 | ||||||||||
| 2,766 | US Silica Holdings Inc.* | 33,579 | ||||||||||
| 2,356 | Valaris Ltd.* | 158,441 | ||||||||||
| 2,735 | Weatherford International PLC* | 182,206 | ||||||||||
|
|
|
|||||||||||
| Total Energy Equipment & Services | 7,062,895 | |||||||||||
|
|
|
|||||||||||
| Oil, Gas & Consumable Fuels — 2.6% | ||||||||||||
| 979 | Aemetis Inc.* | 3,495 | ||||||||||
| 2,981 | Alto Ingredients Inc.* | 8,705 | ||||||||||
| 1,554 | Amplify Energy Corp.* | 13,023 | ||||||||||
| 12,983 | Antero Midstream Corp. | 136,841 | ||||||||||
See Notes to Financial Statements.
38
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||
| Shares/Units | Security | Value | ||||||||
| ENERGY — 4.0% — (continued) | ||||||||||
| Oil, Gas & Consumable Fuels — 2.6% — (continued) | ||||||||||
| 10,809 | Antero Resources Corp.* | $ | 283,196 | |||||||
| 12,376 | APA Corp. | 474,991 | ||||||||
| 552 | Arch Resources Inc. | 86,857 | ||||||||
| 1,403 | Ardmore Shipping Corp. | 25,464 | ||||||||
| 3,004 | Berry Corp. | 28,328 | ||||||||
| 2,821 | California Resources Corp. | 119,046 | ||||||||
| 1,893 | Callon Petroleum Co.* | 73,373 | ||||||||
| 387 | Centrus Energy Corp., Class A Shares* | 17,341 | ||||||||
| 4,630 | Chesapeake Energy Corp. | 374,150 | ||||||||
| 1,577 | Chord Energy Corp. | 212,296 | ||||||||
| 2,749 | Civitas Resources Inc. | 192,897 | ||||||||
| 6,419 | Clean Energy Fuels Corp.* | 35,946 | ||||||||
| 31,142 | CNX Resources Corp.* | 478,030 | ||||||||
| 3,476 | Comstock Resources Inc. | 42,199 | ||||||||
| 1,335 | CONSOL Energy Inc. | 73,065 | ||||||||
| 1,205 | Crescent Energy Co., Class A Shares | 13,906 | ||||||||
| 1,304 | CVR Energy Inc. | 41,376 | ||||||||
| 2,704 | Delek US Holdings Inc. | 68,060 | ||||||||
| 1,958 | Denbury Inc.* | 163,238 | ||||||||
| 21,721 | Devon Energy Corp. | 1,171,196 | ||||||||
| 5,288 | DHT Holdings Inc. | 61,182 | ||||||||
| 6,385 | Diamondback Energy Inc. | 897,603 | ||||||||
| 1,250 | Dorian LPG Ltd. | 27,438 | ||||||||
| 3,603 | DT Midstream Inc. | 180,871 | ||||||||
| 1,587 | Earthstone Energy Inc., Class A Shares* | 22,139 | ||||||||
| 481 | Empire Petroleum Corp.* | 6,253 | ||||||||
| 5,943 | Energy Fuels Inc.*(a) | 39,878 | ||||||||
| 1,173 | Enviva Inc. | 51,096 | ||||||||
| 14,036 | EQT Corp. | 465,715 | ||||||||
| 15,852 | Equitrans Midstream Corp. | 95,588 | ||||||||
| 696 | Excelerate Energy Inc., Class A Shares | 15,041 | ||||||||
| 1,152 | FLEX LNG Ltd. | 39,963 | ||||||||
| 4,836 | Frontline PLC | 91,304 | ||||||||
| 8,472 | Gevo Inc.* | 15,673 | ||||||||
| 3,911 | Golar LNG Ltd.* | 89,288 | ||||||||
| 1,457 | Green Plains Inc.* | 50,514 | ||||||||
| 410 | Gulfport Energy Corp.* | 27,109 | ||||||||
| 5,186 | HF Sinclair Corp. | 257,848 | ||||||||
| 287 | HighPeak Energy Inc.(a) | 7,677 | ||||||||
| 1,896 | International Seaways Inc. | 97,530 | ||||||||
| 677 | Kinetik Holdings Inc., Class A Shares | 20,141 | ||||||||
| 17,461 | Kosmos Energy Ltd.* | 137,418 | ||||||||
| 6,826 | Magnolia Oil & Gas Corp., Class A Shares | 149,148 | ||||||||
| 4,255 | Matador Resources Co. | 228,876 | ||||||||
| 5,571 | Murphy Oil Corp. | 217,380 | ||||||||
| 101 | NACCO Industries Inc., Class A Shares | 3,776 | ||||||||
| 2,101 | New Fortress Energy Inc., Class A Shares | 69,312 | ||||||||
| 1,947 | NextDecade Corp.* | 13,746 | ||||||||
| 8,222 | Nordic American Tankers Ltd. | 36,423 | ||||||||
| 34,410 | Northern Oil & Gas Inc. | 1,068,086 | ||||||||
| 9,635 | Ovintiv Inc. | 412,089 | ||||||||
| 1,949 | Par Pacific Holdings Inc.* | 54,143 | ||||||||
| 3,747 | PBF Energy Inc., Class A Shares | 163,781 | ||||||||
| 17,257 | PDC Energy Inc. | 1,158,117 | ||||||||
| 4,570 | Peabody Energy Corp.* | 124,761 | ||||||||
See Notes to Financial Statements.
39
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| ENERGY — 4.0% — (continued) | ||||||||||||
| Oil, Gas & Consumable Fuels — 2.6% — (continued) | ||||||||||||
| 7,932 | Permian Resources Corp., Class A Shares | $ | 85,745 | |||||||||
| 46,573 | Range Resources Corp. | 1,254,677 | ||||||||||
| 708 | Ranger Oil Corp., Class A Shares | 29,382 | ||||||||||
| 618 | REX American Resources Corp.* | 20,400 | ||||||||||
| 427 | Riley Exploration Permian Inc. | 13,066 | ||||||||||
| 3,896 | Ring Energy Inc.* | 8,182 | ||||||||||
| 778 | SandRidge Energy Inc.* | 11,351 | ||||||||||
| 1,761 | Scorpio Tankers Inc. | 106,294 | ||||||||||
| 4,375 | SFL Corp., Ltd. | 45,150 | ||||||||||
| 505 | SilverBow Resources Inc.* | 12,433 | ||||||||||
| 2,726 | Sitio Royalties Corp., Class A Shares | 64,088 | ||||||||||
| 4,523 | SM Energy Co. | 133,474 | ||||||||||
| 41,771 | Southwestern Energy Co.* | 221,386 | ||||||||||
| 2,457 | Talos Energy Inc.* | 43,759 | ||||||||||
| 2,758 | Teekay Corp.* | 17,210 | ||||||||||
| 984 | Teekay Tankers Ltd., Class A Shares* | 44,428 | ||||||||||
| 18,515 | Tellurian Inc.* | 27,587 | ||||||||||
| 218 | Texas Pacific Land Corp. | 388,081 | ||||||||||
| 13,303 | Uranium Energy Corp.* | 49,221 | ||||||||||
| 7,355 | Ur-Energy Inc.*(a) | 7,870 | ||||||||||
| 4,463 | VAALCO Energy Inc. | 20,931 | ||||||||||
| 2,235 | Vertex Energy Inc.* | 21,165 | ||||||||||
| 717 | Vital Energy Inc.* | 36,847 | ||||||||||
| 897 | Vitesse Energy Inc.* | 15,599 | ||||||||||
| 3,524 | W&T Offshore Inc.* | 19,770 | ||||||||||
| 2,429 | World Fuel Services Corp. | 66,676 | ||||||||||
|
|
|
|||||||||||
| Total Oil, Gas & Consumable Fuels | 13,298,698 | |||||||||||
|
|
|
|||||||||||
| TOTAL ENERGY | 20,361,593 | |||||||||||
|
|
|
|||||||||||
| FINANCIALS — 12.6% | ||||||||||||
| Banks — 5.0% | ||||||||||||
| 662 | 1st Source Corp. | 32,981 | ||||||||||
| 385 | ACNB Corp. | 14,260 | ||||||||||
| 634 | Amalgamated Financial Corp. | 14,931 | ||||||||||
| 1,072 | Amerant Bancorp Inc., Class A Shares | 30,445 | ||||||||||
| 611 | American National Bankshares Inc. | 20,560 | ||||||||||
| 2,637 | Ameris Bancorp | 126,233 | ||||||||||
| 684 | Arrow Financial Corp. | 20,848 | ||||||||||
| 6,031 | Associated Banc-Corp. | 139,618 | ||||||||||
| 2,875 | Atlantic Union Bankshares Corp. | 107,698 | ||||||||||
| 12,800 | Banc of California Inc. | 224,640 | ||||||||||
| 787 | BancFirst Corp. | 71,027 | ||||||||||
| 1,521 | Bancorp Inc. (The)* | 52,611 | ||||||||||
| 274 | Bank First Corp. | 22,339 | ||||||||||
| 1,647 | Bank of Hawaii Corp. | 123,294 | ||||||||||
| 722 | Bank of Marin Bancorp | 20,938 | ||||||||||
| 1,991 | Bank of NT Butterfield & Son Ltd. (The) | 71,975 | ||||||||||
| 4,316 | Bank OZK | 198,665 | ||||||||||
| 60,365 | BankUnited Inc. | 2,138,128 | ||||||||||
| 327 | Bankwell Financial Group Inc. | 9,869 | ||||||||||
| 6,735 | Banner Corp. | 424,170 | ||||||||||
| 692 | Bar Harbor Bankshares | 20,670 | ||||||||||
| 565 | Baycom Corp. | 11,599 | ||||||||||
| 599 | BCB Bancorp Inc. | 10,393 | ||||||||||
| 10,478 | Berkshire Hills Bancorp Inc. | 304,491 | ||||||||||
See Notes to Financial Statements.
40
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||
| Shares/Units | Security | Value | ||||||||
| FINANCIALS — 12.6% — (continued) | ||||||||||
| Banks — 5.0% — (continued) | ||||||||||
| 1,144 | Blue Ridge Bankshares Inc. | $ | 14,003 | |||||||
| 1,184 | BOK Financial Corp. | 123,941 | ||||||||
| 2,584 | Brookline Bancorp Inc. | 33,489 | ||||||||
| 842 | Business First Bancshares Inc. | 17,547 | ||||||||
| 1,141 | Byline Bancorp Inc. | 28,126 | ||||||||
| 5,119 | Cadence Bank | 135,961 | ||||||||
| 308 | Cambridge Bancorp | 24,495 | ||||||||
| 653 | Camden National Corp. | 26,871 | ||||||||
| 572 | Capital Bancorp Inc. | 11,617 | ||||||||
| 553 | Capital City Bank Group Inc. | 19,726 | ||||||||
| 779 | Capstar Financial Holdings Inc. | 13,477 | ||||||||
| 965 | Carter Bankshares Inc.* | 16,762 | ||||||||
| 2,985 | Cathay General Bancorp | 128,116 | ||||||||
| 770 | Central Pacific Financial Corp. | 17,271 | ||||||||
| 635 | Citizens & Northern Corp. | 14,288 | ||||||||
| 423 | City Holding Co. | 41,539 | ||||||||
| 855 | Civista Bancshares Inc. | 18,237 | ||||||||
| 817 | CNB Financial Corp. | 19,477 | ||||||||
| 417 | Coastal Financial Corp.* | 19,245 | ||||||||
| 731 | Colony Bankcorp Inc. | 9,189 | ||||||||
| 2,495 | Columbia Banking System Inc. | 74,176 | ||||||||
| 16,736 | Comerica Inc. | 1,173,194 | ||||||||
| 6,588 | Commerce Bancshares Inc. | 435,796 | ||||||||
| 1,556 | Community Bank System Inc. | 94,994 | ||||||||
| 720 | Community Trust Bancorp Inc. | 30,780 | ||||||||
| 1,640 | ConnectOne Bancorp Inc. | 39,770 | ||||||||
| 1,541 | CrossFirst Bankshares Inc.* | 21,805 | ||||||||
| 3,292 | Cullen/Frost Bankers Inc. | 433,951 | ||||||||
| 1,161 | Customers Bancorp Inc.* | 35,759 | ||||||||
| 5,019 | CVB Financial Corp. | 120,105 | ||||||||
| 1,259 | Dime Community Bancshares Inc. | 38,576 | ||||||||
| 919 | Eagle Bancorp Inc. | 40,261 | ||||||||
| 5,425 | East West Bancorp Inc. | 413,439 | ||||||||
| 5,871 | Eastern Bankshares Inc. | 92,057 | ||||||||
| 361 | Enterprise Bancorp Inc. | 12,776 | ||||||||
| 1,380 | Enterprise Financial Services Corp. | 75,155 | ||||||||
| 673 | Equity Bancshares Inc., Class A Shares | 20,230 | ||||||||
| 286 | Esquire Financial Holdings Inc. | 13,153 | ||||||||
| 603 | Farmers & Merchants Bancorp Inc. | 15,618 | ||||||||
| 1,431 | Farmers National Banc Corp. | 20,392 | ||||||||
| 1,482 | FB Financial Corp. | 55,857 | ||||||||
| 794 | Financial Institutions Inc. | 19,818 | ||||||||
| 7,578 | First Bancorp | 145,813 | ||||||||
| 605 | First Bancorp Inc. (The) | 17,714 | ||||||||
| 916 | First Bancshares Inc. (The) | 28,680 | ||||||||
| 727 | First Bank | 9,909 | ||||||||
| 1,884 | First Busey Corp. | 45,480 | ||||||||
| 371 | First Business Financial Services Inc. | 13,141 | ||||||||
| 421 | First Citizens BancShares Inc., Class A Shares | 308,913 | ||||||||
| 2,751 | First Commonwealth Financial Corp. | 44,044 | ||||||||
| 805 | First Community Bancshares Inc. | 25,132 | ||||||||
| 2,751 | First Financial Bancorp | 67,785 | ||||||||
| 5,064 | First Financial Bankshares Inc. | 185,748 | ||||||||
| 501 | First Financial Corp. | 22,019 | ||||||||
| 1,919 | First Foundation Inc. | 28,919 | ||||||||
See Notes to Financial Statements.
41
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||
| Shares/Units | Security | Value | ||||||||
| FINANCIALS — 12.6% — (continued) | ||||||||||
| Banks — 5.0% — (continued) | ||||||||||
| 412 | First Guaranty Bancshares Inc. | $ | 8,450 | |||||||
| 5,096 | First Hawaiian Inc. | 139,376 | ||||||||
| 20,203 | First Horizon Corp. | 500,428 | ||||||||
| 355 | First Internet Bancorp | 9,589 | ||||||||
| 3,435 | First Interstate BancSystem Inc., Class A Shares | 122,080 | ||||||||
| 2,326 | First Merchants Corp. | 95,180 | ||||||||
| 965 | First Mid Bancshares Inc. | 29,905 | ||||||||
| 1,106 | First of Long Island Corp. (The) | 18,824 | ||||||||
| 320 | First Western Financial Inc.* | 8,278 | ||||||||
| 479 | Five Star Bancorp | 13,086 | ||||||||
| 1,288 | Flushing Financial Corp. | 25,065 | ||||||||
| 13,988 | FNB Corp. | 199,609 | ||||||||
| 6,512 | Fulton Financial Corp. | 112,006 | ||||||||
| 686 | FVCBankcorp Inc.* | 9,295 | ||||||||
| 1,080 | German American Bancorp Inc. | 42,444 | ||||||||
| 4,256 | Glacier Bancorp Inc. | 201,649 | ||||||||
| 423 | Great Southern Bancorp Inc. | 24,614 | ||||||||
| 344 | Guaranty Bancshares Inc. | 10,736 | ||||||||
| 3,324 | Hancock Whitney Corp. | 163,275 | ||||||||
| 722 | Hanmi Financial Corp. | 17,054 | ||||||||
| 1,485 | HarborOne Bancorp Inc. | 20,300 | ||||||||
| 538 | HBT Financial Inc. | 12,223 | ||||||||
| 1,666 | Heartland Financial USA Inc. | 82,367 | ||||||||
| 2,685 | Heritage Commerce Corp. | 32,515 | ||||||||
| 843 | Heritage Financial Corp. | 23,494 | ||||||||
| 1,958 | Hilltop Holdings Inc. | 64,947 | ||||||||
| 7,252 | Home BancShares Inc. | 174,773 | ||||||||
| 519 | HomeStreet Inc. | 13,094 | ||||||||
| 769 | HomeTrust Bancshares Inc. | 22,509 | ||||||||
| 3,457 | Hope Bancorp Inc. | 44,284 | ||||||||
| 1,419 | Horizon Bancorp Inc. | 21,597 | ||||||||
| 53,559 | Huntington Bancshares Inc. | 820,524 | ||||||||
| 8,964 | Independent Bank Corp. | 654,489 | ||||||||
| 1,461 | Independent Bank Group Inc. | 85,994 | ||||||||
| 2,100 | International Bancshares Corp. | 101,913 | ||||||||
| 587 | John Marshall Bancorp Inc. | 15,620 | ||||||||
| 2,589 | Lakeland Bancorp Inc. | 49,838 | ||||||||
| 924 | Lakeland Financial Corp. | 66,177 | ||||||||
| 1,277 | Live Oak Bancshares Inc. | 44,133 | ||||||||
| 1,098 | Macatawa Bank Corp. | 11,979 | ||||||||
| 721 | Mercantile Bank Corp. | 24,939 | ||||||||
| 734 | Metrocity Bankshares Inc. | 14,805 | ||||||||
| 370 | Metropolitan Bank Holding Corp.* | 20,650 | ||||||||
| 566 | Mid Penn Bancorp Inc. | 17,320 | ||||||||
| 1,022 | Midland States Bancorp Inc. | 26,613 | ||||||||
| 706 | MidWestOne Financial Group Inc. | 21,208 | ||||||||
| 632 | MVB Financial Corp. | 17,247 | ||||||||
| 28,007 | National Bank Holdings Corp., Class A Shares | 1,134,003 | ||||||||
| 1,226 | NBT Bancorp Inc. | 49,763 | ||||||||
| 468 | Nicolet Bankshares Inc.* | 34,847 | ||||||||
| 287 | Northeast Bank | 12,651 | ||||||||
| 3,558 | Northwest Bancshares Inc. | 49,172 | ||||||||
| 2,438 | OceanFirst Financial Corp. | 57,829 | ||||||||
| 1,444 | OFG Bancorp | 43,926 | ||||||||
| 11,189 | Old National Bancorp | 197,710 | ||||||||
See Notes to Financial Statements.
42
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||
| Shares/Units | Security | Value | ||||||||
| FINANCIALS — 12.6% — (continued) | ||||||||||
| Banks — 5.0% — (continued) | ||||||||||
| 1,613 | Old Second Bancorp Inc. | $ | 26,744 | |||||||
| 970 | Origin Bancorp Inc. | 36,773 | ||||||||
| 454 | Orrstown Financial Services Inc. | 10,442 | ||||||||
| 22,509 | Pacific Premier Bancorp Inc. | 729,742 | ||||||||
| 24,675 | PacWest Bancorp | 684,731 | ||||||||
| 574 | Park National Corp. | 73,340 | ||||||||
| 507 | Parke Bancorp Inc. | 10,348 | ||||||||
| 914 | Pathward Financial Inc. | 46,623 | ||||||||
| 540 | PCB Bancorp | 9,860 | ||||||||
| 847 | Peapack Gladstone Financial Corp. | 31,466 | ||||||||
| 1,230 | Peoples Bancorp Inc. | 38,265 | ||||||||
| 386 | Peoples Financial Services Corp. | 19,126 | ||||||||
| 2,867 | Pinnacle Financial Partners Inc. | 212,416 | ||||||||
| 2,848 | Popular Inc. | 203,347 | ||||||||
| 386 | Preferred Bank | 27,174 | ||||||||
| 1,513 | Premier Financial Corp. | 37,553 | ||||||||
| 950 | Primis Financial Corp. | 11,125 | ||||||||
| 3,533 | Prosperity Bancshares Inc. | 259,640 | ||||||||
| 640 | QCR Holdings Inc. | 34,234 | ||||||||
| 663 | RBB Bancorp | 13,101 | ||||||||
| 182 | Red River Bancshares Inc. | 9,211 | ||||||||
| 1,640 | Renasant Corp. | 59,007 | ||||||||
| 341 | Republic Bancorp Inc., Class A Shares | 15,175 | ||||||||
| 1,597 | Republic First Bancorp Inc.* | 3,194 | ||||||||
| 966 | S&T Bancorp Inc. | 35,993 | ||||||||
| 1,724 | Sandy Spring Bancorp Inc. | 56,806 | ||||||||
| 2,485 | Seacoast Banking Corp. of Florida | 75,817 | ||||||||
| 1,971 | ServisFirst Bancshares Inc. | 145,755 | ||||||||
| 747 | Shore Bancshares Inc. | 12,744 | ||||||||
| 825 | Sierra Bancorp | 16,673 | ||||||||
| 10,187 | Signature Bank | 1,172,014 | ||||||||
| 1,089 | Silvergate Capital Corp., Class A Shares*(a) | 15,148 | ||||||||
| 3,907 | Simmons First National Corp., Class A Shares | 86,853 | ||||||||
| 655 | SmartFinancial Inc. | 17,882 | ||||||||
| 410 | South Plains Financial Inc. | 10,779 | ||||||||
| 313 | Southern First Bancshares Inc.* | 12,598 | ||||||||
| 906 | Southside Bancshares Inc. | 34,600 | ||||||||
| 2,873 | SouthState Corp. | 231,794 | ||||||||
| 1,786 | Stellar Bancorp Inc. | 52,241 | ||||||||
| 1,149 | Stock Yards Bancorp Inc. | 67,251 | ||||||||
| 636 | Summit Financial Group Inc. | 16,199 | ||||||||
| 5,512 | Synovus Financial Corp. | 230,457 | ||||||||
| 26,191 | Texas Capital Bancshares Inc.* | 1,734,630 | ||||||||
| 458 | Third Coast Bancshares Inc.* | 8,450 | ||||||||
| 620 | Tompkins Financial Corp. | 46,370 | ||||||||
| 20,817 | Towne Bank | 631,380 | ||||||||
| 1,262 | TriCo Bancshares | 63,744 | ||||||||
| 867 | Triumph Financial Inc.* | 52,757 | ||||||||
| 1,807 | Trustmark Corp. | 53,126 | ||||||||
| 1,756 | UMB Financial Corp. | 159,199 | ||||||||
| 8,411 | Umpqua Holdings Corp. | 148,538 | ||||||||
| 5,059 | United Bankshares Inc. | 206,255 | ||||||||
| 22,910 | United Community Banks Inc. | 758,550 | ||||||||
| 385 | Unity Bancorp Inc. | 10,168 | ||||||||
| 1,298 | Univest Financial Corp. | 36,604 | ||||||||
See Notes to Financial Statements.
43
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| FINANCIALS — 12.6% — (continued) | ||||||||||||
| Banks — 5.0% — (continued) | ||||||||||||
| 346 | USCB Financial Holdings Inc.* | $ | 4,398 | |||||||||
| 16,620 | Valley National Bancorp | 192,460 | ||||||||||
| 1,815 | Veritex Holdings Inc. | 48,388 | ||||||||||
| 2,534 | Washington Federal Inc. | 88,867 | ||||||||||
| 784 | Washington Trust Bancorp Inc. | 32,928 | ||||||||||
| 6,604 | Webster Financial Corp. | 350,804 | ||||||||||
| 2,198 | WesBanco Inc. | 79,458 | ||||||||||
| 761 | West BanCorp.Inc. | 16,027 | ||||||||||
| 757 | Westamerica BanCorp. | 41,726 | ||||||||||
| 4,018 | Western Alliance Bancorp | 298,296 | ||||||||||
| 2,309 | Wintrust Financial Corp. | 212,728 | ||||||||||
| 5,789 | Zions Bancorp NA | 293,039 | ||||||||||
|
|
|
|||||||||||
| Total Banks | 25,466,246 | |||||||||||
|
|
|
|||||||||||
| Capital Markets — 2.7% | ||||||||||||
| 1,439 | Affiliated Managers Group Inc. | 229,391 | ||||||||||
| 2,354 | Artisan Partners Asset Management Inc., Class A Shares. | 77,611 | ||||||||||
| 771 | Assetmark Financial Holdings Inc.* | 24,132 | ||||||||||
| 56 | Associated Capital Group Inc., Class A Shares | 2,017 | ||||||||||
| 1,748 | Avantax Inc.* | 49,975 | ||||||||||
| 777 | B. Riley Financial Inc.(a) | 30,909 | ||||||||||
| 467 | Bakkt Holdings Inc.*(a) | 682 | ||||||||||
| 12,092 | BGC Partners Inc., Class A Shares | 58,767 | ||||||||||
| 1,433 | Brightsphere Investment Group Inc. | 35,925 | ||||||||||
| 7,857 | Carlyle Group Inc. (The) | 270,281 | ||||||||||
| 4,049 | Cboe Global Markets Inc. | 510,862 | ||||||||||
| 13,657 | Cohen & Steers Inc. | 988,221 | ||||||||||
| 1,081 | Cowen Inc., Class A Shares | 42,148 | ||||||||||
| 116 | Diamond Hill Investment Group Inc. | 20,254 | ||||||||||
| 989 | Donnelley Financial Solutions Inc.* | 41,845 | ||||||||||
| 1,371 | Evercore Inc., Class A Shares | 179,848 | ||||||||||
| 1,449 | FactSet Research Systems Inc. | 600,683 | ||||||||||
| 3,343 | Federated Hermes Inc., Class B Shares | 131,547 | ||||||||||
| 2,238 | Focus Financial Partners Inc., Class A Shares* | 116,063 | ||||||||||
| 1,524 | GCM Grosvenor Inc., Class A Shares | 12,543 | ||||||||||
| 1,361 | Hamilton Lane Inc., Class A Shares | 105,886 | ||||||||||
| 1,946 | Houlihan Lokey Inc., Class A Shares | 186,232 | ||||||||||
| 14,179 | Invesco Ltd | 250,401 | ||||||||||
| 5,097 | Janus Henderson Group PLC | 139,964 | ||||||||||
| 7,627 | Jefferies Financial Group Inc. | 288,224 | ||||||||||
| 3,145 | Lazard Ltd., Class A Shares | 117,497 | ||||||||||
| 3,065 | LPL Financial Holdings Inc. | 764,901 | ||||||||||
| 1,434 | MarketAxess Holdings Inc. | 489,639 | ||||||||||
| 2,477 | Moelis & Co., Class A Shares | 106,090 | ||||||||||
| 4,827 | Moody’s Corp. | 1,400,554 | ||||||||||
| 942 | Morningstar Inc. | 195,305 | ||||||||||
| 16,177 | Nasdaq Inc. | 906,883 | ||||||||||
| 26,882 | Northern Trust Corp. | 2,561,048 | ||||||||||
| 4,245 | Open Lending Corp., Class A Shares* | 30,055 | ||||||||||
| 321 | Oppenheimer Holdings Inc., Class A Shares | 14,153 | ||||||||||
| 1,549 | Perella Weinberg Partners, Class A Shares | 15,660 | ||||||||||
| 662 | Piper Sandler Cos | 99,955 | ||||||||||
| 917 | PJT Partners Inc., Class A Shares | 72,333 | ||||||||||
| 21,100 | Robinhood Markets Inc., Class A Shares*(a) | 212,477 | ||||||||||
| 1,125 | Sculptor Capital Management Inc., Class A Shares. | 10,091 | ||||||||||
See Notes to Financial Statements.
44
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| FINANCIALS — 12.6% — (continued) | ||||||||||||
| Capital Markets — 2.7% — (continued) | ||||||||||||
| 3,954 | SEI Investments Co | $ | 238,228 | |||||||||
| 575 | Silvercrest Asset Management Group Inc., Class A Shares. | 10,229 | ||||||||||
| 38,880 | SLR Investment Corp.(a) | 573,869 | ||||||||||
| 23,697 | StepStone Group Inc., Class A Shares | 677,734 | ||||||||||
| 3,913 | Stifel Financial Corp. | 261,506 | ||||||||||
| 643 | StoneX Group Inc.* | 64,834 | ||||||||||
| 721 | Victory Capital Holdings Inc., Class A Shares | 24,485 | ||||||||||
| 3,833 | Virtu Financial Inc., Class A Shares | 70,451 | ||||||||||
| 270 | Virtus Investment Partners Inc. | 56,816 | ||||||||||
| 4,940 | WisdomTree Inc. | 29,492 | ||||||||||
|
|
|
|||||||||||
| Total Capital Markets | 13,398,696 | |||||||||||
|
|
|
|||||||||||
| Consumer Finance — 0.3% | ||||||||||||
| 163 | Atlanticus Holdings Corp.* | 5,224 | ||||||||||
| 7,671 | Bread Financial Holdings Inc. | 315,048 | ||||||||||
| 201 | Consumer Portfolio Services Inc.* | 2,223 | ||||||||||
| 261 | Credit Acceptance Corp.* | 115,973 | ||||||||||
| 679 | Curo Group Holdings Corp. | 1,983 | ||||||||||
| 882 | Encore Capital Group Inc.* | 45,582 | ||||||||||
| 1,206 | Enova International Inc.* | 58,792 | ||||||||||
| 1,735 | EZCORP Inc., Class A Shares* | 15,303 | ||||||||||
| 1,429 | FirstCash Holdings Inc. | 126,109 | ||||||||||
| 1,554 | Green Dot Corp., Class A Shares* | 29,417 | ||||||||||
| 3,916 | LendingClub Corp.* | 36,810 | ||||||||||
| 456 | LendingTree Inc.* | 15,016 | ||||||||||
| 7,413 | Moneylion Inc.*(a) | 4,958 | ||||||||||
| 3,982 | Navient Corp. | 71,875 | ||||||||||
| 567 | Nelnet Inc., Class A Shares | 53,224 | ||||||||||
| 1,164 | NerdWallet Inc., Class A Shares*(a) | 24,025 | ||||||||||
| 4,330 | OneMain Holdings Inc., Class A Shares | 186,580 | ||||||||||
| 788 | Oportun Financial Corp.* | 4,760 | ||||||||||
| 1,477 | PRA Group Inc.* | 62,861 | ||||||||||
| 1,910 | PROG Holdings Inc.* | 47,215 | ||||||||||
| 276 | Regional Management Corp. | 8,699 | ||||||||||
| 9,394 | SLM Corp. | 135,086 | ||||||||||
| 30,688 | SoFi Technologies Inc.*(a) | 202,541 | ||||||||||
| 2,676 | Upstart Holdings Inc.*(a) | 49,533 | ||||||||||
| 166 | World Acceptance Corp.* | 15,498 | ||||||||||
|
|
|
|||||||||||
| Total Consumer Finance | 1,634,335 | |||||||||||
|
|
|
|||||||||||
| Diversified Financial Services — 0.3% | ||||||||||||
| 766 | Alerus Financial Corp. | 15,320 | ||||||||||
| 820 | A-Mark Precious Metals Inc. | 24,034 | ||||||||||
| 1,063 | Banco Latinoamericano de Comercio Exterior SA, Class E Shares. | 19,453 | ||||||||||
| 2,744 | Cannae Holdings Inc.* | 61,959 | ||||||||||
| 2,479 | Compass Diversified Holdings | 53,968 | ||||||||||
| 2,949 | Jackson Financial Inc., Class A Shares | 133,826 | ||||||||||
| 14,418 | Voya Financial Inc.(a) | 1,073,997 | ||||||||||
|
|
|
|||||||||||
| Total Diversified Financial Services | 1,382,557 | |||||||||||
|
|
|
|||||||||||
| Insurance — 3.5% | ||||||||||||
| 1,747 | Ambac Financial Group Inc.* | 28,913 | ||||||||||
| 2,814 | American Equity Investment Life Holding Co | 117,203 | ||||||||||
| 2,615 | American Financial Group Inc. | 350,698 | ||||||||||
| 843 | AMERISAFE Inc. | 45,977 | ||||||||||
See Notes to Financial Statements.
45
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||
| Shares/Units | Security | Value | ||||||||
| FINANCIALS — 12.6% — (continued) | ||||||||||
| Insurance — 3.5% — (continued) | ||||||||||
| 1,257 | Argo Group International Holdings Ltd | $ | 36,516 | |||||||
| 2,031 | Assurant Inc. | 258,729 | ||||||||
| 2,186 | Assured Guaranty Ltd | 136,428 | ||||||||
| 3,080 | Axis Capital Holdings Ltd | 187,018 | ||||||||
| 10,643 | Bright Health Group Inc.* | 9,259 | ||||||||
| 2,661 | Brighthouse Financial Inc.* | 153,886 | ||||||||
| 9,055 | Brown & Brown Inc. | 507,714 | ||||||||
| 54,719 | BRP Group Inc., Class A Shares* | 1,572,624 | ||||||||
| 3,621 | Chubb Ltd | 764,103 | ||||||||
| 4,472 | CNO Financial Group Inc. | 114,573 | ||||||||
| 698 | Crawford & Co., Class A Shares | 3,853 | ||||||||
| 558 | Donegal Group Inc., Class A Shares | 8,576 | ||||||||
| 13,660 | eHealth Inc.* | 100,538 | ||||||||
| 812 | Employers Holdings Inc. | 36,061 | ||||||||
| 443 | Enstar Group Ltd.* | 108,318 | ||||||||
| 964 | Erie Indemnity Co., Class A Shares | 226,916 | ||||||||
| 1,923 | Everest Re Group Ltd | 738,374 | ||||||||
| 3,845 | First American Financial Corp. | 218,319 | ||||||||
| 14,737 | Genworth Financial Inc., Class A Shares* | 91,812 | ||||||||
| 3,576 | Globe Life Inc. | 435,163 | ||||||||
| 17,657 | Goosehead Insurance Inc., Class A Shares*(a) | 823,699 | ||||||||
| 1,274 | Greenlight Capital Re Ltd., Class A Shares* | 11,695 | ||||||||
| 1,399 | Hanover Insurance Group Inc. (The) | 195,133 | ||||||||
| 3,522 | Hartford Financial Services Group Inc. (The) | 275,702 | ||||||||
| 251 | HCI Group Inc. | 13,177 | ||||||||
| 789 | Hippo Holdings Inc.* | 13,579 | ||||||||
| 1,213 | Horace Mann Educators Corp. | 44,832 | ||||||||
| 51 | Investors Title Co | 8,331 | ||||||||
| 977 | James River Group Holdings Ltd | 23,546 | ||||||||
| 2,477 | Kemper Corp. | 152,583 | ||||||||
| 3,267 | Kinsale Capital Group Inc. | 1,041,193 | ||||||||
| 1,985 | Lemonade Inc.* | 32,356 | ||||||||
| 6,608 | Lincoln National Corp. | 209,606 | ||||||||
| 1,096 | Markel Corp.* | 1,457,527 | ||||||||
| 1,651 | MBIA Inc.* | 22,767 | ||||||||
| 1,086 | Mercury General Corp. | 36,978 | ||||||||
| 98 | National Western Life Group Inc., Class A Shares. | 26,439 | ||||||||
| 380 | NI Holdings Inc.* | 5,259 | ||||||||
| 10,894 | Old Republic International Corp. | 287,275 | ||||||||
| 5,392 | Oscar Health Inc., Class A Shares* | 29,872 | ||||||||
| 8,890 | Palomar Holdings Inc.* | 533,400 | ||||||||
| 4,731 | Primerica Inc. | 908,068 | ||||||||
| 1,532 | ProAssurance Corp. | 30,471 | ||||||||
| 11,572 | Reinsurance Group of America Inc., Class A Shares. | 1,671,807 | ||||||||
| 1,645 | RenaissanceRe Holdings Ltd | 353,510 | ||||||||
| 1,527 | RLI Corp. | 210,589 | ||||||||
| 453 | Root Inc., Class A Shares* | 2,270 | ||||||||
| 3,209 | Ryan Specialty Holdings Inc., Class A Shares* | 135,163 | ||||||||
| 412 | Safety Insurance Group Inc. | 33,244 | ||||||||
| 2,331 | Selective Insurance Group Inc. | 236,666 | ||||||||
| 6,025 | Selectquote Inc.* | 14,099 | ||||||||
| 3,624 | SiriusPoint Ltd.* | 25,730 | ||||||||
| 776 | Stewart Information Services Corp. | 32,972 | ||||||||
| 845 | Tiptree Inc. | 13,605 | ||||||||
| 11,159 | Travelers Cos., Inc. (The) | 2,065,754 | ||||||||
See Notes to Financial Statements.
46
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| FINANCIALS — 12.6% — (continued) | ||||||||||||
| Insurance — 3.5% — (continued) | ||||||||||||
| 758 | Trean Insurance Group Inc.* | $ | 4,616 | |||||||||
| 1,502 | Trupanion Inc.* | 89,189 | ||||||||||
| 896 | United Fire Group Inc. | 25,572 | ||||||||||
| 1,053 | Universal Insurance Holdings Inc. | 20,354 | ||||||||||
| 7,644 | Unum Group | 340,540 | ||||||||||
| 96 | White Mountains Insurance Group Ltd | 138,583 | ||||||||||
|
|
|
|||||||||||
| Total Insurance | 17,849,322 | |||||||||||
|
|
|
|||||||||||
| Mortgage Real Estate Investment Trusts (REITs) — 0.4% | ||||||||||||
| 773 | AFC Gamma Inc. | 11,974 | ||||||||||
| 21,887 | AGNC Investment Corp.(a) | 237,912 | ||||||||||
| 286 | Angel Oak Mortgage Inc. | 2,151 | ||||||||||
| 17,928 | Annaly Capital Management Inc. | 370,751 | ||||||||||
| 5,243 | Apollo Commercial Real Estate Finance Inc. | 60,242 | ||||||||||
| 6,336 | Arbor Realty Trust Inc.(a) | 95,547 | ||||||||||
| 1,995 | Ares Commercial Real Estate Corp. | 22,563 | ||||||||||
| 4,013 | ARMOUR Residential REIT Inc.(a) | 21,791 | ||||||||||
| 6,293 | Blackstone Mortgage Trust Inc., Class A Shares | 133,223 | ||||||||||
| 3,434 | BrightSpire Capital Inc., Class A Shares | 25,377 | ||||||||||
| 4,445 | Broadmark Realty Capital Inc. | 22,669 | ||||||||||
| 397 | Chicago Atlantic Real Estate Finance Inc. | 5,820 | ||||||||||
| 8,889 | Chimera Investment Corp. | 57,690 | ||||||||||
| 3,564 | Claros Mortgage Trust Inc. | 49,682 | ||||||||||
| 1,485 | Dynex Capital Inc. | 19,647 | ||||||||||
| 2,275 | Ellington Financial Inc. | 29,279 | ||||||||||
| 3,014 | Franklin BSP Realty Trust Inc. | 42,226 | ||||||||||
| 1,891 | Granite Point Mortgage Trust Inc. | 11,327 | ||||||||||
| 3,292 | Hannon Armstrong Sustainable Infrastructure Capital Inc. | 103,402 | ||||||||||
| 1,219 | Invesco Mortgage Capital Inc.(a) | 15,274 | ||||||||||
| 2,316 | KKR Real Estate Finance Trust Inc. | 33,582 | ||||||||||
| 4,624 | Ladder Capital Corp., Class A Shares | 52,251 | ||||||||||
| 3,899 | MFA Financial Inc. | 41,758 | ||||||||||
| 14,742 | New York Mortgage Trust Inc. | 39,361 | ||||||||||
| 510 | Nexpoint Real Estate Finance Inc. | 9,205 | ||||||||||
| 1,183 | Orchid Island Capital Inc., Class A Shares | 13,439 | ||||||||||
| 3,390 | PennyMac Mortgage Investment Trust | 44,172 | ||||||||||
| 2,841 | Ready Capital Corp.. | 31,990 | ||||||||||
| 4,454 | Redwood Trust Inc. | 33,895 | ||||||||||
| 16,644 | Rithm Capital Corp. | 151,460 | ||||||||||
| 11,413 | Starwood Property Trust Inc. | 218,673 | ||||||||||
| 2,163 | TPG RE Finance Trust Inc. | 18,364 | ||||||||||
| 3,495 | Two Harbors Investment Corp. | 57,912 | ||||||||||
|
|
|
|||||||||||
| Total Mortgage Real Estate Investment Trusts (REITs). | 2,084,609 | |||||||||||
|
|
|
|||||||||||
| Thrifts & Mortgage Finance — 0.4% | ||||||||||||
| 2,274 | Axos Financial Inc.* | 107,765 | ||||||||||
| 936 | Blue Foundry Bancorp* | 11,457 | ||||||||||
| 835 | Bridgewater Bancshares Inc.* | 12,283 | ||||||||||
| 5,361 | Capitol Federal Financial Inc. | 44,979 | ||||||||||
| 1,351 | Columbia Financial Inc.* | 28,506 | ||||||||||
| 1,321 | Enact Holdings Inc. | 32,034 | ||||||||||
| 4,009 | Essent Group Ltd | 172,187 | ||||||||||
| 332 | Federal Agricultural Mortgage Corp., Class C Shares. | 47,097 | ||||||||||
| 613 | Finance Of America Cos Inc., Class A Shares* | 895 | ||||||||||
| 133 | Greene County Bancorp Inc. | 7,488 | ||||||||||
See Notes to Financial Statements.
47
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| FINANCIALS — 12.6% — (continued) | ||||||||||||
| Thrifts & Mortgage Finance — 0.4% — (continued) | ||||||||||||
| 56 | Hingham Institution for Savings | $ | 15,943 | |||||||||
| 353 | Home Bancorp Inc. | 13,961 | ||||||||||
| 437 | Home Point Capital Inc. | 686 | ||||||||||
| 2,369 | Kearny Financial Corp. | 23,785 | ||||||||||
| 760 | Luther Burbank Corp. | 8,839 | ||||||||||
| 586 | Merchants Bancorp | 17,726 | ||||||||||
| 11,277 | MGIC Investment Corp. | 155,171 | ||||||||||
| 2,590 | Mr Cooper Group Inc.* | 120,254 | ||||||||||
| 25,579 | New York Community Bancorp Inc. | 227,141 | ||||||||||
| 3,182 | NMI Holdings Inc., Class A Shares* | 74,268 | ||||||||||
| 1,560 | Northfield Bancorp Inc. | 22,948 | ||||||||||
| 1,096 | PennyMac Financial Services Inc. | 66,275 | ||||||||||
| 545 | Pioneer Bancorp Inc.* | 6,164 | ||||||||||
| 956 | Provident Bancorp Inc. | 8,767 | ||||||||||
| 2,206 | Provident Financial Services Inc. | 51,510 | ||||||||||
| 5,994 | Radian Group Inc. | 127,972 | ||||||||||
| 327 | Southern Missouri Bancorp Inc. | 15,134 | ||||||||||
| 1,036 | Sterling Bancorp Inc.* | 6,423 | ||||||||||
| 2,041 | TFS Financial Corp. | 29,574 | ||||||||||
| 651 | TrustCo Bank Corp. NY | 24,386 | ||||||||||
| 3,252 | UWM Holdings Corp. | 13,854 | ||||||||||
| 342 | Velocity Financial Inc.* | 3,297 | ||||||||||
| 1,203 | Walker & Dunlop Inc. | 104,938 | ||||||||||
| 1,083 | Waterstone Financial Inc. | 17,436 | ||||||||||
| 9,854 | WSFS Financial Corp. | 491,813 | ||||||||||
|
|
|
|||||||||||
| Total Thrifts & Mortgage Finance | 2,112,956 | |||||||||||
|
|
|
|||||||||||
| TOTAL FINANCIALS | 63,928,721 | |||||||||||
|
|
|
|||||||||||
| HEALTH CARE — 15.0% | ||||||||||||
| Biotechnology — 2.9% | ||||||||||||
| 1,304 | 2seventy bio Inc.* | 17,591 | ||||||||||
| 1,083 | 4D Molecular Therapeutics Inc.* | 20,837 | ||||||||||
| 20,130 | 89bio Inc.* | 274,171 | ||||||||||
| 354 | Aadi Bioscience Inc.* | 3,813 | ||||||||||
| 2,370 | Absci Corp.* | 5,024 | ||||||||||
| 4,595 | ACADIA Pharmaceuticals Inc.* | 95,071 | ||||||||||
| 5,051 | Achillion Pharmaceuticals Inc.*(c) | 2,323 | ||||||||||
| 1,213 | Adicet Bio Inc.* | 9,558 | ||||||||||
| 6,738 | ADMA Biologics Inc.* | 23,920 | ||||||||||
| 870 | Aduro Biotech*(b)(c) | 2,209 | ||||||||||
| 321 | Aerovate Therapeutics Inc.* | 7,887 | ||||||||||
| 4,001 | Affimed NV* | 3,638 | ||||||||||
| 12,811 | Agenus Inc.* | 26,391 | ||||||||||
| 2,066 | Agios Pharmaceuticals Inc.* | 52,290 | ||||||||||
| 1,309 | Akero Therapeutics Inc.* | 59,573 | ||||||||||
| 2,467 | Alector Inc.* | 21,068 | ||||||||||
| 61,981 | Alkermes PLC* | 1,657,372 | ||||||||||
| 2,827 | Allogene Therapeutics Inc.* | 17,951 | ||||||||||
| 1,036 | Allovir Inc.* | 6,993 | ||||||||||
| 460 | Alpine Immune Sciences Inc.* | 3,666 | ||||||||||
| 636 | ALX Oncology Holdings Inc.* | 4,210 | ||||||||||
| 10,647 | Amicus Therapeutics Inc.* | 140,434 | ||||||||||
| 711 | AnaptysBio Inc.* | 17,704 | ||||||||||
| 2,611 | Anavex Life Sciences Corp.* | 24,857 | ||||||||||
| 530 | Anika Therapeutics Inc.* | 16,801 | ||||||||||
See Notes to Financial Statements.
48
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||
| Shares/Units | Security | Value | ||||||||
| HEALTH CARE — 15.0% — (continued) | ||||||||||
| Biotechnology — 2.9% — (continued) | ||||||||||
| 10,394 | Apellis Pharmaceuticals Inc.* | $ | 680,599 | |||||||
| 3,139 | Arbutus Biopharma Corp.* | 8,726 | ||||||||
| 1,065 | Arcellx Inc.* | 29,831 | ||||||||
| 998 | Arcturus Therapeutics Holdings Inc.* | 16,218 | ||||||||
| 1,962 | Arcus Biosciences Inc.* | 35,728 | ||||||||
| 19,856 | Arcutis Biotherapeutics Inc.* | 321,270 | ||||||||
| 3,939 | Arrowhead Pharmaceuticals Inc.* | 127,230 | ||||||||
| 12,410 | Ascendis Pharma AS, ADR* | 1,378,627 | ||||||||
| 3,264 | Atara Biotherapeutics Inc.* | 13,219 | ||||||||
| 944 | Aura Biosciences Inc.* | 9,431 | ||||||||
| 5,694 | Aurinia Pharmaceuticals Inc.* | 51,758 | ||||||||
| 2,161 | Avid Bioservices Inc.* | 35,570 | ||||||||
| 2,126 | Avidity Biosciences Inc.* | 50,386 | ||||||||
| 2,446 | Beam Therapeutics Inc.* | 98,427 | ||||||||
| 7,114 | BioCryst Pharmaceuticals Inc.* | 62,959 | ||||||||
| 2,262 | Biohaven Ltd.* | 34,563 | ||||||||
| 654 | Bioxcel Therapeutics Inc.*(a) | 20,876 | ||||||||
| 2,930 | Bluebird Bio Inc.* | 15,236 | ||||||||
| 2,297 | Blueprint Medicines Corp.* | 97,324 | ||||||||
| 3,861 | Bridgebio Pharma Inc.* | 44,093 | ||||||||
| 1,683 | C4 Therapeutics Inc.* | 8,869 | ||||||||
| 2,063 | CareDx Inc.* | 34,700 | ||||||||
| 2,167 | Caribou Biosciences Inc.* | 13,197 | ||||||||
| 3,721 | Catalyst Pharmaceuticals Inc.* | 56,782 | ||||||||
| 1,757 | Celldex Therapeutics Inc.* | 75,182 | ||||||||
| 2,149 | Celularity Inc.* | 1,474 | ||||||||
| 1,003 | Century Therapeutics Inc.* | 4,524 | ||||||||
| 2,229 | Cerevel Therapeutics Holdings Inc.* | 59,492 | ||||||||
| 2,677 | Chimerix Inc.* | 4,230 | ||||||||
| 1,895 | Chinook Therapeutics Inc.* | 41,349 | ||||||||
| 1,004 | CinCor Pharma Inc.* | 26,104 | ||||||||
| 2,240 | Cogent Biosciences Inc.* | 29,635 | ||||||||
| 46,420 | Coherus Biosciences Inc.* | 314,263 | ||||||||
| 1,958 | Crinetics Pharmaceuticals Inc.* | 38,455 | ||||||||
| 3,943 | CTI BioPharma Corp.* | 21,529 | ||||||||
| 1,436 | Cullinan Oncology Inc.* | 16,212 | ||||||||
| 3,163 | Cytokinetics Inc.* | 137,148 | ||||||||
| 1,077 | Day One Biopharmaceuticals Inc.* | 19,838 | ||||||||
| 1,864 | Deciphera Pharmaceuticals Inc.* | 27,028 | ||||||||
| 4,084 | Denali Therapeutics Inc.* | 110,881 | ||||||||
| 1,220 | Design Therapeutics Inc.* | 8,625 | ||||||||
| 4,541 | Dynavax Technologies Corp.* | 46,772 | ||||||||
| 1,194 | Dyne Therapeutics Inc.* | 15,379 | ||||||||
| 486 | Eagle Pharmaceuticals Inc.* | 13,608 | ||||||||
| 2,361 | Editas Medicine Inc., Class A Shares* | 21,343 | ||||||||
| 1,397 | Eiger BioPharmaceuticals Inc.* | 2,626 | ||||||||
| 2,144 | Emergent BioSolutions Inc.* | 26,543 | ||||||||
| 712 | Enanta Pharmaceuticals Inc.* | 34,532 | ||||||||
| 8,679 | EQRx Inc.* | 19,615 | ||||||||
| 2,775 | Erasca Inc.* | 9,990 | ||||||||
| 6,742 | Exact Sciences Corp.* | 420,229 | ||||||||
| 11,902 | Exelixis Inc.* | 203,286 | ||||||||
| 3,113 | Fate Therapeutics Inc.* | 19,052 | ||||||||
| 3,344 | FibroGen Inc.* | 74,237 | ||||||||
| 784 | Foghorn Therapeutics Inc.* | 4,492 | ||||||||
See Notes to Financial Statements.
49
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||
| Shares/Units | Security | Value | ||||||||
| HEALTH CARE — 15.0% — (continued) | ||||||||||
| Biotechnology — 2.9% — (continued) | ||||||||||
| 1,906 | Generation Bio Co.* | $ | 7,548 | |||||||
| 14,735 | Geron Corp.* | 40,963 | ||||||||
| 2,781 | Gossamer Bio Inc.* | 4,811 | ||||||||
| 3,022 | GreenLight Biosciences Holdings PBC* | 1,451 | ||||||||
| 5,060 | Halozyme Therapeutics Inc.* | 242,829 | ||||||||
| 4,418 | Heron Therapeutics Inc.* | 10,471 | ||||||||
| 532 | HilleVax Inc.* | 8,964 | ||||||||
| 2,222 | Humacyte Inc.* | 6,799 | ||||||||
| 1,045 | Icosavax Inc.* | 8,548 | ||||||||
| 1,699 | Ideaya Biosciences Inc.* | 29,987 | ||||||||
| 297 | IGM Biosciences Inc.* | 6,243 | ||||||||
| 3,464 | ImmunityBio Inc.* | 8,452 | ||||||||
| 8,182 | ImmunoGen Inc.* | 31,746 | ||||||||
| 1,742 | Immunovant Inc.* | 30,433 | ||||||||
| 1,253 | Inhibrx Inc.* | 30,147 | ||||||||
| 8,887 | Inovio Pharmaceuticals Inc.* | 11,198 | ||||||||
| 5,035 | Insmed Inc.* | 102,613 | ||||||||
| 2,375 | Instil Bio Inc.* | 1,846 | ||||||||
| 3,127 | Intellia Therapeutics Inc.* | 125,612 | ||||||||
| 974 | Intercept Pharmaceuticals Inc.* | 19,655 | ||||||||
| 1,936 | Invivyd Inc.* | 3,369 | ||||||||
| 5,485 | Ionis Pharmaceuticals Inc.* | 196,911 | ||||||||
| 5,299 | Iovance Biotherapeutics Inc.* | 38,630 | ||||||||
| 5,272 | Ironwood Pharmaceuticals Inc., Class A Shares* | 59,415 | ||||||||
| 1,000 | iTeos Therapeutics Inc.* | 17,710 | ||||||||
| 17,571 | IVERIC bio Inc.* | 365,125 | ||||||||
| 895 | Janux Therapeutics Inc.* | 14,884 | ||||||||
| 1,329 | Jounce Therapeutics Inc.* | 1,488 | ||||||||
| 871 | KalVista Pharmaceuticals Inc.* | 6,384 | ||||||||
| 3,053 | Karuna Therapeutics Inc.* | 608,829 | ||||||||
| 2,788 | Karyopharm Therapeutics Inc.* | 8,420 | ||||||||
| 750 | Keros Therapeutics Inc.* | 39,915 | ||||||||
| 1,957 | Kezar Life Sciences Inc.* | 12,310 | ||||||||
| 1,073 | Kiniksa Pharmaceuticals Ltd., Class A Shares* | 13,799 | ||||||||
| 890 | Kinnate Biopharma Inc.* | 4,699 | ||||||||
| 1,361 | Kodiak Sciences Inc.* | 8,846 | ||||||||
| 1,382 | Kronos Bio Inc.* | 2,405 | ||||||||
| 808 | Krystal Biotech Inc.* | 66,183 | ||||||||
| 2,417 | Kura Oncology Inc.* | 28,811 | ||||||||
| 1,443 | Kymera Therapeutics Inc.* | 45,281 | ||||||||
| 2,519 | Lexicon Pharmaceuticals Inc.* | 5,668 | ||||||||
| 7,232 | Lyell Immunopharma Inc.* | 15,549 | ||||||||
| 2,240 | MacroGenics Inc.* | 13,642 | ||||||||
| 486 | Madrigal Pharmaceuticals Inc.* | 131,711 | ||||||||
| 10,377 | MannKind Corp.* | 54,791 | ||||||||
| 1,109 | MeiraGTx Holdings PLC* | 8,561 | ||||||||
| 3,754 | Mersana Therapeutics Inc.* | 22,749 | ||||||||
| 4,371 | MiMedx Group Inc.* | 21,025 | ||||||||
| 1,660 | Mirati Therapeutics Inc.* | 76,094 | ||||||||
| 765 | Mirum Pharmaceuticals Inc.* | 17,985 | ||||||||
| 1,250 | Monte Rosa Therapeutics Inc.* | 7,600 | ||||||||
| 900 | Morphic Holding Inc.* | 38,268 | ||||||||
| 2,979 | Myriad Genetics Inc.* | 56,363 | ||||||||
| 3,801 | Natera Inc.* | 184,539 | ||||||||
| 3,627 | Neurocrine Biosciences Inc.* | 373,944 | ||||||||
See Notes to Financial Statements.
50
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||
| Shares/Units | Security | Value | ||||||||
| HEALTH CARE — 15.0% — (continued) | ||||||||||
| Biotechnology — 2.9% — (continued) | ||||||||||
| 1,590 | Nkarta Inc.* | $ | 6,678 | |||||||
| 2,945 | Novavax Inc.*(a) | 27,271 | ||||||||
| 1,837 | Nurix Therapeutics Inc.* | 17,323 | ||||||||
| 869 | Nuvalent Inc., Class A Shares* | 26,322 | ||||||||
| 9,089 | Ocugen Inc.* | 9,054 | ||||||||
| 19 | Oncternal Therapeutics Inc.*(c) | 19 | ||||||||
| 2,782 | Organogenesis Holdings Inc., Class A Shares* | 6,816 | ||||||||
| 3,559 | Outlook Therapeutics Inc.* | 3,879 | ||||||||
| 569 | PepGen Inc.* | 8,689 | ||||||||
| 1,268 | PMV Pharmaceuticals Inc.* | 9,142 | ||||||||
| 3,246 | Point Biopharma Global Inc., Class A Shares* | 24,313 | ||||||||
| 1,097 | Praxis Precision Medicines Inc.* | 3,362 | ||||||||
| 3,243 | Precigen Inc.* | 4,086 | ||||||||
| 379 | Prime Medicine Inc.*(a) | 6,227 | ||||||||
| 6,436 | Prometheus Biosciences Inc.* | 787,702 | ||||||||
| 1,740 | Protagonist Therapeutics Inc.* | 28,223 | ||||||||
| 1,370 | Prothena Corp. PLC* | 76,391 | ||||||||
| 2,713 | PTC Therapeutics Inc.* | 118,477 | ||||||||
| 1,002 | Rallybio Corp.* | 7,886 | ||||||||
| 1,172 | RAPT Therapeutics Inc.* | 34,515 | ||||||||
| 5,037 | Recursion Pharmaceuticals Inc., Class A Shares* | 41,052 | ||||||||
| 1,451 | REGENXBIO Inc.* | 32,285 | ||||||||
| 3,260 | Relay Therapeutics Inc.* | 52,649 | ||||||||
| 1,540 | Replimune Group Inc.* | 33,726 | ||||||||
| 2,779 | REVOLUTION Medicines Inc.* | 74,366 | ||||||||
| 5,956 | Rigel Pharmaceuticals Inc.* | 8,994 | ||||||||
| 35,696 | Rocket Pharmaceuticals Inc.* | 685,720 | ||||||||
| 1,975 | Sage Therapeutics Inc.* | 82,239 | ||||||||
| 3,358 | Sana Biotechnology Inc.* | 12,324 | ||||||||
| 5,271 | Sangamo Therapeutics Inc.* | 16,077 | ||||||||
| 3,210 | Sarepta Therapeutics Inc.* | 392,037 | ||||||||
| 2,747 | Seres Therapeutics Inc.* | 13,872 | ||||||||
| 1,449 | SpringWorks Therapeutics Inc.* | 46,223 | ||||||||
| 672 | Stoke Therapeutics Inc.* | 5,974 | ||||||||
| 1,648 | Sutro Biopharma Inc.* | 9,295 | ||||||||
| 1,914 | Syndax Pharmaceuticals Inc.* | 48,520 | ||||||||
| 849 | Talaris Therapeutics Inc.* | 1,647 | ||||||||
| 1,743 | Tango Therapeutics Inc.* | 9,116 | ||||||||
| 1,223 | Tenaya Therapeutics Inc.* | 3,755 | ||||||||
| 5,201 | TG Therapeutics Inc.* | 83,320 | ||||||||
| 2,478 | Travere Therapeutics Inc., Class Preferred Shares*. | 54,912 | ||||||||
| 2,119 | Twist Bioscience Corp.* | 41,236 | ||||||||
| 599 | Tyra Biosciences Inc.* | 7,913 | ||||||||
| 2,580 | Ultragenyx Pharmaceutical Inc.* | 114,784 | ||||||||
| 1,708 | United Therapeutics Corp.* | 420,236 | ||||||||
| 2,203 | Vanda Pharmaceuticals Inc.* | 14,187 | ||||||||
| 4,917 | Vaxart Inc.*(a) | 3,832 | ||||||||
| 2,737 | Vaxcyte Inc.* | 112,135 | ||||||||
| 6,877 | VBI Vaccines Inc.* | 3,301 | ||||||||
| 544 | Vera Therapeutics Inc., Class A Shares* | 4,042 | ||||||||
| 2,759 | Veracyte Inc.* | 67,899 | ||||||||
| 1,707 | Vericel Corp.* | 51,910 | ||||||||
| 1,869 | Verve Therapeutics Inc.* | 35,511 | ||||||||
| 2,772 | Vir Biotechnology Inc.* | 63,202 | ||||||||
| 1,394 | Viridian Therapeutics Inc.* | 45,667 | ||||||||
See Notes to Financial Statements.
51
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| HEALTH CARE — 15.0% — (continued) | ||||||||||||
| Biotechnology — 2.9% — (continued) | ||||||||||||
| 7,834 | VistaGen Therapeutics Inc.* | $ | 1,376 | |||||||||
| 2,183 | Xencor Inc.* | 70,140 | ||||||||||
| 1,519 | Y-mAbs Therapeutics Inc.* | 5,772 | ||||||||||
| 1,727 | Zentalis Pharmaceuticals Inc.* | 32,692 | ||||||||||
|
|
|
|||||||||||
| Total Biotechnology | 14,921,176 | |||||||||||
|
|
|
|||||||||||
| Health Care Equipment & Supplies — 5.3% | ||||||||||||
| 82,630 | Accuray Inc.* | 239,627 | ||||||||||
| 2,628 | Alphatec Holdings Inc.* | 38,921 | ||||||||||
| 1,224 | AngioDynamics Inc.* | 15,153 | ||||||||||
| 1,298 | Artivion Inc.* | 17,186 | ||||||||||
| 12,363 | AtriCure Inc.* | 475,975 | ||||||||||
| 48 | Atrion Corp. | 27,264 | ||||||||||
| 13,454 | Avanos Medical Inc.* | 377,654 | ||||||||||
| 1,826 | AxoGen Inc.* | 15,064 | ||||||||||
| 1,887 | Axonics Inc.* | 113,390 | ||||||||||
| 6,863 | Baxter International Inc. | 274,177 | ||||||||||
| 1,018 | Bioventus Inc., Class A Shares* | 2,168 | ||||||||||
| 5,328 | Butterfly Network Inc.* | 13,107 | ||||||||||
| 11,927 | Cardiovascular Systems Inc.* | 235,081 | ||||||||||
| 6,314 | Cerus Corp.* | 18,058 | ||||||||||
| 1,129 | CONMED Corp. | 108,598 | ||||||||||
| 4,640 | Cue Health Inc.*(a) | 9,976 | ||||||||||
| 634 | Cutera Inc.* | 20,561 | ||||||||||
| 20,132 | CytoSorbents Corp.* | 62,007 | ||||||||||
| 108,885 | DENTSPLY SIRONA Inc. | 4,145,252 | ||||||||||
| 9,464 | Edwards Lifesciences Corp.* | 761,284 | ||||||||||
| 2,187 | Embecta Corp. | 69,875 | ||||||||||
| 1,985 | Enovis Corp.* | 114,376 | ||||||||||
| 6,152 | Envista Holdings Corp.* | 237,836 | ||||||||||
| 4,676 | Figs Inc., Class A Shares* | 43,066 | ||||||||||
| 1,760 | Glaukos Corp.* | 83,125 | ||||||||||
| 9,938 | Globus Medical Inc., Class A Shares* | 579,783 | ||||||||||
| 24,477 | Haemonetics Corp.* | 1,903,576 | ||||||||||
| 324 | Heska Corp.* | 26,383 | ||||||||||
| 7,276 | ICU Medical Inc.* | 1,241,577 | ||||||||||
| 1,859 | Inari Medical Inc.* | 104,587 | ||||||||||
| 990 | Inogen Inc.* | 15,513 | ||||||||||
| 5,613 | Inspire Medical Systems Inc.* | 1,458,987 | ||||||||||
| 1,270 | Integer Holdings Corp.* | 95,225 | ||||||||||
| 2,714 | Integra LifeSciences Holdings Corp.* | 150,953 | ||||||||||
| 5,964 | Intuitive Surgical Inc.* | 1,368,082 | ||||||||||
| 236 | iRadimed Corp. | 8,959 | ||||||||||
| 1,152 | iRhythm Technologies Inc.* | 135,567 | ||||||||||
| 15,434 | Lantheus Holdings Inc.* | 1,141,499 | ||||||||||
| 763 | LeMaitre Vascular Inc. | 38,234 | ||||||||||
| 2,075 | LivaNova PLC* | 98,189 | ||||||||||
| 1,799 | Masimo Corp.* | 300,991 | ||||||||||
| 23,862 | Merit Medical Systems Inc.* | 1,684,180 | ||||||||||
| 188 | Mesa Laboratories Inc. | 33,186 | ||||||||||
| 1,912 | Nano-X Imaging Ltd.* | 13,938 | ||||||||||
| 8,078 | Neogen Corp.* | 142,900 | ||||||||||
| 1,335 | Nevro Corp.* | 41,972 | ||||||||||
| 3,992 | Novocure Ltd.* | 307,264 | ||||||||||
| 5,458 | NuVasive Inc.* | 235,949 | ||||||||||
See Notes to Financial Statements.
52
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| HEALTH CARE — 15.0% — (continued) | ||||||||||||
| Health Care Equipment & Supplies — 5.3% — (continued) | ||||||||||||
| 1,686 | Omnicell Inc.* | $ | 91,786 | |||||||||
| 45,232 | OraSure Technologies Inc.* | 285,414 | ||||||||||
| 1,144 | Orthofix Medical Inc.* | 23,566 | ||||||||||
| 567 | OrthoPediatrics Corp.* | 24,812 | ||||||||||
| 1,948 | Outset Medical Inc.* | 44,434 | ||||||||||
| 1,646 | Paragon 28 Inc.* | 28,986 | ||||||||||
| 1,355 | Penumbra Inc.* | 352,286 | ||||||||||
| 935 | PROCEPT BioRobotics Corp.* | 35,016 | ||||||||||
| 1,739 | Pulmonx Corp.* | 19,529 | ||||||||||
| 6,576 | QuidelOrtho Corp.* | 571,717 | ||||||||||
| 939 | RxSight Inc.* | 12,883 | ||||||||||
| 19,342 | Senseonics Holdings Inc.*(a) | 20,116 | ||||||||||
| 1,346 | Shockwave Medical Inc.* | 256,063 | ||||||||||
| 1,543 | SI-BONE Inc.* | 30,513 | ||||||||||
| 981 | Sight Sciences Inc.* | 10,771 | ||||||||||
| 1,454 | Silk Road Medical Inc.* | 77,047 | ||||||||||
| 93,710 | Smith & Nephew PLC, ADR(a) | 2,677,295 | ||||||||||
| 1,853 | STAAR Surgical Co.* | 102,638 | ||||||||||
| 496 | Surmodics Inc.* | 10,833 | ||||||||||
| 664 | Tactile Systems Technology Inc.* | 9,595 | ||||||||||
| 2,476 | Tandem Diabetes Care Inc.* | 88,789 | ||||||||||
| 5,732 | Teleflex Inc. | 1,365,534 | ||||||||||
| 1,178 | TransMedics Group Inc.* | 94,322 | ||||||||||
| 1,245 | Treace Medical Concepts Inc.* | 26,718 | ||||||||||
| 247 | UFP Technologies Inc.* | 29,077 | ||||||||||
| 120 | Utah Medical Products Inc. | 11,014 | ||||||||||
| 15,419 | Varex Imaging Corp.* | 272,762 | ||||||||||
| 2,847 | Vicarious Surgical Inc.* | 7,972 | ||||||||||
| 5,420 | ViewRay Inc.* | 23,414 | ||||||||||
| 11,041 | Zimmer Biomet Holdings Inc. | 1,367,649 | ||||||||||
| 975 | Zimvie Inc.* | 11,095 | ||||||||||
| 811 | Zynex Inc.* | 10,478 | ||||||||||
|
|
|
|||||||||||
| Total Health Care Equipment & Supplies | 26,640,399 | |||||||||||
|
|
|
|||||||||||
| Health Care Providers & Services — 3.1% | ||||||||||||
| 9,685 | 23andMe Holding Co., Class A Shares* | 24,309 | ||||||||||
| 41,816 | Acadia Healthcare Co., Inc.* | 3,032,078 | ||||||||||
| 2,834 | Accolade Inc.* | 31,486 | ||||||||||
| 2,800 | AdaptHealth Corp., Class A Shares* | 44,772 | ||||||||||
| 584 | Addus HomeCare Corp.* | 63,446 | ||||||||||
| 931 | Agiliti Inc.* | 17,745 | ||||||||||
| 7,320 | agilon health Inc.*(a) | 155,257 | ||||||||||
| 782 | AirSculpt Technologies Inc.(a) | 5,122 | ||||||||||
| 3,652 | Alignment Healthcare Inc.* | 36,301 | ||||||||||
| 10,358 | Amedisys Inc.* | 952,418 | ||||||||||
| 1,683 | AMN Healthcare Services Inc.* | 151,487 | ||||||||||
| 1,442 | Apollo Medical Holdings Inc.* | 50,326 | ||||||||||
| 1,522 | Aveanna Healthcare Holdings Inc.* | 1,857 | ||||||||||
| 7,766 | Brookdale Senior Living Inc.* | 25,084 | ||||||||||
| 7,037 | Cano Health Inc.* | 11,611 | ||||||||||
| 2,788 | CareMax Inc.* | 11,988 | ||||||||||
| 919 | Castle Biosciences Inc.* | 23,140 | ||||||||||
| 2,742 | Chemed Corp. | 1,430,172 | ||||||||||
| 16,709 | Clover Health Investments Corp., Class A Shares*. | 22,056 | ||||||||||
| 5,286 | Community Health Systems Inc.* | 32,033 | ||||||||||
See Notes to Financial Statements.
53
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| HEALTH CARE — 15.0% — (continued) | ||||||||||||
| Health Care Providers & Services — 3.1% — (continued) | ||||||||||||
| 334 | CorVel Corp.* | $ | 60,214 | |||||||||
| 1,370 | Cross Country Healthcare Inc.* | 36,236 | ||||||||||
| 2,107 | DaVita Inc.* | 173,322 | ||||||||||
| 3,453 | DocGo Inc.* | 31,595 | ||||||||||
| 15,910 | Encompass Health Corp. | 899,233 | ||||||||||
| 8,113 | Enhabit Inc.* | 124,535 | ||||||||||
| 2,017 | Ensign Group Inc. (The) | 180,481 | ||||||||||
| 885 | Fulgent Genetics Inc.* | 29,019 | ||||||||||
| 8,775 | GeneDx Holdings Corp., Class A Shares* | 4,388 | ||||||||||
| 3,779 | Guardant Health Inc.* | 116,733 | ||||||||||
| 15,241 | HealthEquity Inc.* | 993,256 | ||||||||||
| 5,153 | Henry Schein Inc.* | 403,531 | ||||||||||
| 4,666 | Hims & Hers Health Inc.* | 52,586 | ||||||||||
| 722 | Innovage Holding Corp.* | 5,480 | ||||||||||
| 8,433 | Invitae Corp.*(a) | 18,131 | ||||||||||
| 633 | Joint Corp. (The)* | 9,938 | ||||||||||
| 2,940 | LifeStance Health Group Inc.* | 15,053 | ||||||||||
| 449 | ModivCare Inc.* | 44,087 | ||||||||||
| 2,817 | Molina Healthcare Inc.* | 775,605 | ||||||||||
| 440 | National HealthCare Corp. | 24,517 | ||||||||||
| 496 | National Research Corp. | 22,399 | ||||||||||
| 4,836 | NeoGenomics Inc.* | 81,487 | ||||||||||
| 4,512 | Oak Street Health Inc.* | 159,725 | ||||||||||
| 1,092 | Oncology Institute Inc. (The)* | 1,540 | ||||||||||
| 17,392 | OPKO Health Inc.* | 19,827 | ||||||||||
| 45,362 | Option Care Health Inc.* | 1,391,253 | ||||||||||
| 2,753 | Owens & Minor Inc.* | 42,203 | ||||||||||
| 1,319 | P3 Health Partners Inc.* | 1,583 | ||||||||||
| 15,336 | Patterson Cos., Inc. | 406,711 | ||||||||||
| 19,981 | Pediatrix Medical Group Inc.* | 314,501 | ||||||||||
| 916 | Pennant Group Inc. (The)* | 13,758 | ||||||||||
| 26,411 | PetIQ Inc., Class A Shares* | 246,151 | ||||||||||
| 4,374 | Premier Inc., Class A Shares | 140,799 | ||||||||||
| 1,626 | Privia Health Group Inc.* | 45,414 | ||||||||||
| 2,872 | Progyny Inc.* | 107,872 | ||||||||||
| 5,767 | R1 RCM Inc.* | 81,891 | ||||||||||
| 1,759 | RadNet Inc.* | 41,486 | ||||||||||
| 4,022 | Select Medical Holdings Corp. | 109,358 | ||||||||||
| 3,065 | Signify Health Inc., Class A Shares* | 88,241 | ||||||||||
| 1,791 | Surgery Partners Inc.* | 59,909 | ||||||||||
| 4,119 | Tenet Healthcare Corp.* | 241,085 | ||||||||||
| 15,475 | Universal Health Services Inc., Class B Shares | 2,066,996 | ||||||||||
| 463 | US Physical Therapy Inc. | 46,916 | ||||||||||
|
|
|
|||||||||||
| Total Health Care Providers & Services | 15,851,733 | |||||||||||
|
|
|
|||||||||||
| Health Care Technology — 0.6% | ||||||||||||
| 8,519 | American Well Corp., Class A Shares* | 23,768 | ||||||||||
| 4,523 | Certara Inc.* | 81,957 | ||||||||||
| 536 | Computer Programs & Systems Inc.* | 16,085 | ||||||||||
| 1,391 | Definitive Healthcare Corp., Class A Shares* | 15,885 | ||||||||||
| 4,231 | Doximity Inc., Class A Shares*(a) | 142,289 | ||||||||||
| 3,178 | Evolent Health Inc., Class A Shares* | 111,262 | ||||||||||
| 2,001 | Health Catalyst Inc.* | 27,934 | ||||||||||
| 873 | HealthStream Inc.* | 22,393 | ||||||||||
| 15,369 | Multiplan Corp.* | 15,523 | ||||||||||
See Notes to Financial Statements.
54
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| HEALTH CARE — 15.0% — (continued) | ||||||||||||
| Health Care Technology — 0.6% — (continued) | ||||||||||||
| 2,266 | NextGen Healthcare Inc.* | $ | 41,037 | |||||||||
| 8,326 | Nutex Health Inc.* | 11,407 | ||||||||||
| 765 | OptimizeRx Corp.* | 13,655 | ||||||||||
| 2,845 | Pear Therapeutics Inc.* | 2,810 | ||||||||||
| 1,878 | Phreesia Inc.* | 69,110 | ||||||||||
| 1,978 | Schrodinger Inc.* | 42,982 | ||||||||||
| 10,385 | Sharecare Inc.* | 24,301 | ||||||||||
| 547 | Simulations Plus Inc. | 20,808 | ||||||||||
| 6,209 | Teladoc Health Inc.* | 164,476 | ||||||||||
| 9,967 | Veeva Systems Inc., Class A Shares* | 1,651,133 | ||||||||||
| 32,506 | Veradigm Inc.* | 539,925 | ||||||||||
|
|
|
|||||||||||
| Total Health Care Technology | 3,038,740 | |||||||||||
|
|
|
|||||||||||
| Life Sciences Tools & Services — 2.0% | ||||||||||||
| 3,573 | 10X Genomics Inc., Class A Shares* | 169,789 | ||||||||||
| 7,963 | AbCellera Biologics Inc.* | 66,889 | ||||||||||
| 3,898 | Adaptive Biotechnologies Corp.* | 33,328 | ||||||||||
| 767 | Akoya Biosciences Inc.* | 8,843 | ||||||||||
| 216 | Alpha Teknova Inc.* | 1,171 | ||||||||||
| 34,975 | Azenta Inc.* | 1,535,053 | ||||||||||
| 1,816 | Berkeley Lights Inc.* | 3,178 | ||||||||||
| 1,206 | BioLife Solutions Inc.* | 28,052 | ||||||||||
| 10,701 | Bionano Genomics Inc.*(a) | 14,339 | ||||||||||
| 2,358 | Bio-Rad Laboratories Inc., Class A Shares* | 1,126,747 | ||||||||||
| 23,848 | Bio-Techne Corp. | 1,732,319 | ||||||||||
| 4,076 | Bruker Corp. | 280,918 | ||||||||||
| 8,324 | Charles River Laboratories International Inc.* | 1,825,786 | ||||||||||
| 2,245 | Codexis Inc.* | 10,855 | ||||||||||
| 1,543 | CryoPort Inc.* | 33,421 | ||||||||||
| 4,353 | Cytek Biosciences Inc.* | 44,836 | ||||||||||
| 7,992 | Illumina Inc.* | 1,592,006 | ||||||||||
| 614 | Inotiv Inc.* | 4,605 | ||||||||||
| 4,069 | Maravai LifeSciences Holdings Inc., Class A Shares* | 60,018 | ||||||||||
| 3,229 | MaxCyte Inc.* | 14,660 | ||||||||||
| 981 | Medpace Holdings Inc.* | 190,196 | ||||||||||
| 1,925 | NanoString Technologies Inc.* | 18,788 | ||||||||||
| 3,512 | Nautilus Biotechnology Inc., Class A Shares* | 7,445 | ||||||||||
| 3,033 | OmniAb Inc.* | 12,648 | ||||||||||
| 234 | OmniAb Inc., Class CR3 Shares (Cost - $0, acquired 11/3/22)*(b)(c)(d) . | — | ||||||||||
| 234 | OmniAb Inc., Class CR4 Shares (Cost - $0, acquired 11/3/22)*(b)(c)(d) . | — | ||||||||||
| 8,709 | Pacific Biosciences of California Inc.* | 79,078 | ||||||||||
| 8,694 | QIAGEN NV* | 399,489 | ||||||||||
| 1,361 | Quanterix Corp.* | 14,971 | ||||||||||
| 4,548 | Quantum-Si Inc.* | 8,277 | ||||||||||
| 2,103 | Repligen Corp.* | 366,700 | ||||||||||
| 3,242 | Science 37 Holdings Inc.* | 1,070 | ||||||||||
| 1,843 | Seer Inc., Class A Shares* | 7,538 | ||||||||||
| 2,075 | Singular Genomics Systems Inc.* | 4,461 | ||||||||||
| 4,744 | SomaLogic Inc.* | 12,050 | ||||||||||
| 4,059 | Sotera Health Co.* | 67,745 | ||||||||||
| 83,055 | Standard BioTools Inc.*(a)(b) | 151,160 | ||||||||||
| 3,979 | Syneos Health Inc., Class A Shares* | 160,035 | ||||||||||
|
|
|
|||||||||||
| Total Life Sciences Tools & Services | 10,088,464 | |||||||||||
|
|
|
|||||||||||
See Notes to Financial Statements.
55
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| HEALTH CARE — 15.0% — (continued) | ||||||||||||
| Pharmaceuticals — 1.1% | ||||||||||||
| 2,445 | Aclaris Therapeutics Inc.* | $ | 30,465 | |||||||||
| 59,268 | Amneal Pharmaceuticals Inc.* | 122,092 | ||||||||||
| 1,440 | Amphastar Pharmaceuticals Inc.* | 45,878 | ||||||||||
| 1,899 | Amylyx Pharmaceuticals Inc.* | 66,123 | ||||||||||
| 428 | AN2 Therapeutics Inc.* | 4,828 | ||||||||||
| 553 | ANI Pharmaceuticals Inc.* | 23,137 | ||||||||||
| 1,849 | Arvinas Inc.* | 56,672 | ||||||||||
| 3,220 | Atea Pharmaceuticals Inc.* | 11,399 | ||||||||||
| 1,072 | Athira Pharma Inc.* | 3,302 | ||||||||||
| 1,227 | Axsome Therapeutics Inc.* | 83,669 | ||||||||||
| 1,882 | Cara Therapeutics Inc.* | 19,121 | ||||||||||
| 1,467 | Cassava Sciences Inc.*(a) | 36,235 | ||||||||||
| 12,045 | Catalent Inc.* | 821,710 | ||||||||||
| 1,236 | Collegium Pharmaceutical Inc.* | 32,791 | ||||||||||
| 3,296 | Corcept Therapeutics Inc.* | 68,656 | ||||||||||
| 1,314 | DICE Therapeutics Inc.* | 39,210 | ||||||||||
| 1,704 | Edgewise Therapeutics Inc.* | 16,324 | ||||||||||
| 2,726 | Esperion Therapeutics Inc.* | 16,847 | ||||||||||
| 1,328 | Evolus Inc.* | 12,045 | ||||||||||
| 826 | EyePoint Pharmaceuticals Inc.* | 2,759 | ||||||||||
| 1,576 | Fulcrum Therapeutics Inc.* | 9,519 | ||||||||||
| 993 | Harmony Biosciences Holdings Inc.* | 43,722 | ||||||||||
| 71,364 | Innoviva Inc.* | 861,363 | ||||||||||
| 3,556 | Intra-Cellular Therapies Inc.* | 174,351 | ||||||||||
| 2,334 | Jazz Pharmaceuticals PLC* | 327,693 | ||||||||||
| 619 | Ligand Pharmaceuticals Inc.* | 44,655 | ||||||||||
| 2,242 | Liquidia Corp.* | 16,972 | ||||||||||
| 7,453 | Nektar Therapeutics, Class A Shares* | 10,285 | ||||||||||
| 1,878 | NGM Biopharmaceuticals Inc.* | 8,902 | ||||||||||
| 6,179 | Nuvation Bio Inc.* | 11,987 | ||||||||||
| 2,651 | Ocular Therapeutix Inc.* | 16,012 | ||||||||||
| 9,694 | Organon & Co | 237,406 | ||||||||||
| 1,718 | Pacira BioSciences Inc.* | 73,135 | ||||||||||
| 5,217 | Perrigo Co. PLC | 196,629 | ||||||||||
| 674 | Phathom Pharmaceuticals Inc.* | 5,769 | ||||||||||
| 789 | Phibro Animal Health Corp., Class A Shares | 12,395 | ||||||||||
| 14,200 | Prestige Consumer Healthcare Inc.* | 855,550 | ||||||||||
| 3,674 | Progenics Pharmaceuticals Inc.*# | — | ||||||||||
| 2,140 | Provention Bio Inc.* | 17,762 | ||||||||||
| 1,052 | Reata Pharmaceuticals Inc., Class A Shares* | 32,791 | ||||||||||
| 1,086 | Relmada Therapeutics Inc.* | 3,909 | ||||||||||
| 3,024 | Revance Therapeutics Inc.* | 104,933 | ||||||||||
| 2,404 | Scilex Holding Co., (Cost - $24,493, acquired 1/9/23)*(b)(d) | 20,795 | ||||||||||
| 1,907 | SIGA Technologies Inc. | 13,063 | ||||||||||
| 27,277 | Supernus Pharmaceuticals Inc.* | 1,025,342 | ||||||||||
| 827 | Tarsus Pharmaceuticals Inc.* | 12,810 | ||||||||||
| 2,181 | Theravance Biopharma Inc.* | 23,555 | ||||||||||
| 738 | Theseus Pharmaceuticals Inc.* | 6,849 | ||||||||||
| 412 | Third Harmonic Bio Inc.* | 1,747 | ||||||||||
| 923 | Ventyx Biosciences Inc.* | 39,920 | ||||||||||
| 6,848 | Xeris Biopharma Holdings Inc.* | 9,450 | ||||||||||
|
|
|
|||||||||||
| Total Pharmaceuticals | 5,732,534 | |||||||||||
|
|
|
|||||||||||
| TOTAL HEALTH CARE | 76,273,046 | |||||||||||
|
|
|
|||||||||||
See Notes to Financial Statements.
56
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| INDUSTRIALS — 19.6% | ||||||||||||
| Aerospace & Defense — 2.4% | ||||||||||||
| 1,311 | AAR Corp.* | $ | 71,305 | |||||||||
| 27,247 | Aerojet Rocketdyne Holdings Inc.* | 1,535,096 | ||||||||||
| 942 | Aerovironment Inc.* | 80,767 | ||||||||||
| 775 | AerSale Corp.* | 15,391 | ||||||||||
| 5,490 | Archer Aviation Inc., Class A Shares* | 16,195 | ||||||||||
| 7,612 | Astra Space Inc.* | 4,339 | ||||||||||
| 1,028 | Astronics Corp.* | 15,667 | ||||||||||
| 2,573 | Axon Enterprise Inc.* | 515,398 | ||||||||||
| 3,471 | BWX Technologies Inc. | 212,113 | ||||||||||
| 633 | Cadre Holdings Inc. | 13,597 | ||||||||||
| 1,506 | Curtiss-Wright Corp. | 263,234 | ||||||||||
| 393 | Ducommun Inc.* | 21,143 | ||||||||||
| 19,261 | HEICO Corp., Class A Shares | 2,506,819 | ||||||||||
| 19,264 | Hexcel Corp. | 1,405,309 | ||||||||||
| 14,216 | Howmet Aerospace Inc. | 599,631 | ||||||||||
| 1,539 | Huntington Ingalls Industries Inc. | 331,193 | ||||||||||
| 1,078 | Kaman Corp. | 28,028 | ||||||||||
| 4,322 | Kratos Defense & Security Solutions Inc.* | 54,673 | ||||||||||
| 2,836 | Maxar Technologies Inc. | 146,054 | ||||||||||
| 14,649 | Mercury Systems Inc.* | 766,729 | ||||||||||
| 3,763 | Momentus Inc., Class A Shares* | 3,105 | ||||||||||
| 1,050 | Moog Inc., Class A Shares | 103,551 | ||||||||||
| 183 | National Presto Industries Inc. | 12,559 | ||||||||||
| 809 | Park Aerospace Corp. | 13,284 | ||||||||||
| 1,294 | Parsons Corp.* | 58,269 | ||||||||||
| 7,640 | Rocket Lab USA Inc.* | 34,380 | ||||||||||
| 4,031 | Spirit AeroSystems Holdings Inc., Class A Shares(a) | 137,780 | ||||||||||
| 7,992 | Textron Inc. | 579,660 | ||||||||||
| 3,091 | TransDigm Group Inc. | 2,299,302 | ||||||||||
| 2,488 | Triumph Group Inc.* | 31,398 | ||||||||||
| 407 | V2X Inc.* | 18,873 | ||||||||||
| 9,464 | Virgin Galactic Holdings Inc.*(a) | 54,323 | ||||||||||
| 2,228 | Woodward Inc. | 220,572 | ||||||||||
|
|
|
|||||||||||
| Total Aerospace & Defense | 12,169,737 | |||||||||||
|
|
|
|||||||||||
| Air Freight & Logistics — 0.1% | ||||||||||||
| 2,220 | Air Transport Services Group Inc.* | 46,465 | ||||||||||
| 1,080 | Atlas Air Worldwide Holdings Inc.* | 108,875 | ||||||||||
| 1,036 | Forward Air Corp. | 106,925 | ||||||||||
| 3,972 | GXO Logistics Inc.* | 196,892 | ||||||||||
| 1,200 | Hub Group Inc., Class A Shares* | 110,076 | ||||||||||
| 1,467 | Radiant Logistics Inc.* | 8,333 | ||||||||||
|
|
|
|||||||||||
| Total Air Freight & Logistics | 577,566 | |||||||||||
|
|
|
|||||||||||
| Airlines — 0.2% | ||||||||||||
| 4,632 | Alaska Air Group Inc.* | 221,549 | ||||||||||
| 621 | Allegiant Travel Co.* | 63,684 | ||||||||||
| 24,841 | American Airlines Group Inc.* | 396,959 | ||||||||||
| 2,589 | Blade Air Mobility Inc.* | 12,039 | ||||||||||
| 1,127 | Copa Holdings SA, Class A Shares* | 104,078 | ||||||||||
| 1,205 | Frontier Group Holdings Inc.* | 14,171 | ||||||||||
| 2,057 | Hawaiian Holdings Inc.* | 23,038 | ||||||||||
| 12,249 | JetBlue Airways Corp.* | 101,667 | ||||||||||
| 10,499 | Joby Aviation Inc.* | 49,345 | ||||||||||
| 1,945 | SkyWest Inc.* | 37,091 | ||||||||||
See Notes to Financial Statements.
57
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| INDUSTRIALS — 19.6% — (continued) | ||||||||||||
| Airlines — 0.2% — (continued) | ||||||||||||
| 4,196 | Spirit Airlines Inc. | $ | 76,871 | |||||||||
| 1,269 | Sun Country Airlines Holdings Inc.* | 25,443 | ||||||||||
| 7,655 | Wheels Up Experience Inc.* | 8,497 | ||||||||||
|
|
|
|||||||||||
| Total Airlines | 1,134,432 | |||||||||||
|
|
|
|||||||||||
| Building Products — 1.8% | ||||||||||||
| 10,198 | AAON Inc. | 927,610 | ||||||||||
| 8,466 | Advanced Drainage Systems Inc. | 751,188 | ||||||||||
| 3,380 | Allegion PLC | 380,960 | ||||||||||
| 665 | American Woodmark Corp.* | 33,902 | ||||||||||
| 4,760 | AO Smith Corp. | 312,399 | ||||||||||
| 824 | Apogee Enterprises Inc. | 37,706 | ||||||||||
| 1,691 | Armstrong World Industries Inc. | 133,335 | ||||||||||
| 28,697 | AZEK Co., Inc. (The), Class A Shares* | 691,311 | ||||||||||
| 12,002 | AZZ Inc. | 487,881 | ||||||||||
| 5,617 | Builders FirstSource Inc.* | 476,209 | ||||||||||
| 897 | Caesarstone Ltd | 5,221 | ||||||||||
| 6,080 | Carlisle Cos., Inc. | 1,569,978 | ||||||||||
| 557 | CSW Industrials Inc. | 78,849 | ||||||||||
| 4,985 | Fortune Brands Innovations Inc. | 308,821 | ||||||||||
| 1,207 | Gibraltar Industries Inc.* | 64,466 | ||||||||||
| 1,788 | Griffon Corp. | 65,208 | ||||||||||
| 2,898 | Hayward Holdings Inc.* | 35,674 | ||||||||||
| 781 | Insteel Industries Inc. | 23,235 | ||||||||||
| 2,870 | Janus International Group Inc.* | 29,819 | ||||||||||
| 3,154 | JELD-WEN Holding Inc.* | 41,475 | ||||||||||
| 1,216 | Lennox International Inc. | 309,873 | ||||||||||
| 849 | Masonite International Corp.* | 75,391 | ||||||||||
| 5,019 | Masterbrand Inc.* | 48,885 | ||||||||||
| 3,551 | Owens Corning | 347,252 | ||||||||||
| 2,141 | PGT Innovations Inc.* | 45,282 | ||||||||||
| 1,220 | Quanex Building Products Corp. | 31,659 | ||||||||||
| 61,302 | Resideo Technologies Inc.* | 1,124,279 | ||||||||||
| 1,596 | Simpson Manufacturing Co., Inc. | 172,145 | ||||||||||
| 4,266 | Trex Co., Inc.* | 218,121 | ||||||||||
| 2,251 | UFP Industries Inc. | 192,528 | ||||||||||
| 5,200 | View Inc.* | 3,302 | ||||||||||
| 4,800 | Zurn Elkay Water Solutions Corp. | 110,400 | ||||||||||
|
|
|
|||||||||||
| Total Building Products | 9,134,364 | |||||||||||
|
|
|
|||||||||||
| Commercial Services & Supplies — 1.7% | ||||||||||||
| 2,478 | ABM Industries Inc. | 119,960 | ||||||||||
| 3,556 | ACCO Brands Corp. | 20,163 | ||||||||||
| 4,208 | ACV Auctions Inc., Class A Shares* | 51,506 | ||||||||||
| 933 | Aris Water Solutions Inc., Class A Shares | 13,211 | ||||||||||
| 1,772 | Brady Corp., Class A Shares | 97,744 | ||||||||||
| 2,030 | BrightView Holdings Inc.* | 12,830 | ||||||||||
| 1,679 | Brink’s Co. (The) | 109,555 | ||||||||||
| 11,734 | Casella Waste Systems Inc., Class A Shares* | 913,140 | ||||||||||
| 692 | Cimpress PLC* | 24,303 | ||||||||||
| 7,819 | Clean Harbors Inc.* | 1,032,655 | ||||||||||
| 4,350 | CoreCivic Inc.* | 42,239 | ||||||||||
| 1,668 | Deluxe Corp. | 30,758 | ||||||||||
| 2,333 | Driven Brands Holdings Inc.* | 65,266 | ||||||||||
| 1,039 | Ennis Inc. | 22,598 | ||||||||||
See Notes to Financial Statements.
58
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| INDUSTRIALS — 19.6% — (continued) | ||||||||||||
| Commercial Services & Supplies — 1.7% — (continued) | ||||||||||||
| 2,849 | GEO Group Inc. (The)* | $ | 24,957 | |||||||||
| 110,201 | Harsco Corp.* | 932,300 | ||||||||||
| 2,707 | Healthcare Services Group Inc. | 35,922 | ||||||||||
| 534 | Heritage-Crystal Clean Inc.* | 19,213 | ||||||||||
| 1,561 | HNI Corp. | 48,781 | ||||||||||
| 5,207 | IAA Inc.* | 213,018 | ||||||||||
| 2,175 | Interface Inc., Class A Shares | 19,184 | ||||||||||
| 45,756 | KAR Auction Services Inc.* | 653,853 | ||||||||||
| 1,285 | Kimball International Inc., Class B Shares | 8,879 | ||||||||||
| 5,571 | Li-Cycle Holdings Corp.*(a) | 33,760 | ||||||||||
| 937 | Liquidity Services Inc.* | 11,862 | ||||||||||
| 22,776 | Matthews International Corp., Class A Shares | 869,132 | ||||||||||
| 2,875 | MillerKnoll Inc. | 68,626 | ||||||||||
| 998 | Montrose Environmental Group Inc.* | 48,593 | ||||||||||
| 1,432 | MSA Safety Inc. | 192,389 | ||||||||||
| 157 | NL Industries Inc. | 1,141 | ||||||||||
| 4,876 | Pitney Bowes Inc. | 21,162 | ||||||||||
| 2,084 | Quad/Graphics Inc.* | 10,191 | ||||||||||
| 855 | SP Plus Corp.* | 29,087 | ||||||||||
| 3,699 | Steelcase Inc., Class A Shares | 29,111 | ||||||||||
| 16,983 | Stericycle Inc.* | 809,749 | ||||||||||
| 2,010 | Tetra Tech Inc. | 275,149 | ||||||||||
| 583 | UniFirst Corp. | 114,344 | ||||||||||
| 677 | Viad Corp.* | 17,406 | ||||||||||
| 375 | VSE Corp. | 21,529 | ||||||||||
| 13,054 | Waste Connections Inc. | 1,748,192 | ||||||||||
|
|
|
|||||||||||
| Total Commercial Services & Supplies | 8,813,458 | |||||||||||
|
|
|
|||||||||||
| Construction & Engineering — 1.9% | ||||||||||||
| 5,115 | AECOM | 441,731 | ||||||||||
| 1,231 | Ameresco Inc., Class A Shares* | 54,103 | ||||||||||
| 7,987 | API Group Corp.* | 187,615 | ||||||||||
| 6,164 | Arcosa Inc. | 373,538 | ||||||||||
| 520 | Argan Inc. | 20,207 | ||||||||||
| 1,322 | Comfort Systems USA Inc. | 192,272 | ||||||||||
| 1,176 | Concrete Pumping Holdings Inc.* | 9,185 | ||||||||||
| 1,429 | Construction Partners Inc., Class A Shares* | 38,655 | ||||||||||
| 16,291 | Dycom Industries Inc.* | 1,371,865 | ||||||||||
| 1,801 | EMCOR Group Inc. | 301,163 | ||||||||||
| 5,519 | Fluor Corp.* | 202,382 | ||||||||||
| 1,695 | Granite Construction Inc. | 73,224 | ||||||||||
| 2,542 | Great Lakes Dredge & Dock Corp.* | 14,578 | ||||||||||
| 303 | IES Holdings Inc.* | 12,744 | ||||||||||
| 2,370 | MasTec Inc.* | 231,596 | ||||||||||
| 7,684 | MDU Resources Group Inc. | 244,735 | ||||||||||
| 630 | MYR Group Inc.* | 75,984 | ||||||||||
| 394 | Northwest Pipe Co.* | 15,169 | ||||||||||
| 2,009 | Primoris Services Corp. | 55,248 | ||||||||||
| 5,433 | Quanta Services Inc. | 876,886 | ||||||||||
| 1,076 | Sterling Infrastructure Inc.* | 41,383 | ||||||||||
| 1,364 | Tutor Perini Corp.* | 11,062 | ||||||||||
| 2,436 | Valmont Industries Inc. | 773,016 | ||||||||||
| 77,369 | WillScot Mobile Mini Holdings Corp.* | 3,976,767 | ||||||||||
|
|
|
|||||||||||
| Total Construction & Engineering | 9,595,108 | |||||||||||
|
|
|
|||||||||||
See Notes to Financial Statements.
59
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| INDUSTRIALS — 19.6% — (continued) | ||||||||||||
| Electrical Equipment — 1.6% | ||||||||||||
| 1,217 | Acuity Brands Inc. | $ | 236,049 | |||||||||
| 459 | Allied Motion Technologies Inc. | 19,810 | ||||||||||
| 5,828 | Array Technologies Inc.* | 109,217 | ||||||||||
| 8,461 | Atkore Inc.* | 1,235,475 | ||||||||||
| 98,573 | Babcock & Wilcox Enterprises Inc.* | 639,739 | ||||||||||
| 1,578 | Blink Charging Co.*(a) | 14,281 | ||||||||||
| 26,170 | Bloom Energy Corp., Class A Shares* | 567,627 | ||||||||||
| 9,655 | ChargePoint Holdings Inc.*(a) | 109,681 | ||||||||||
| 8,438 | Encore Wire Corp. | 1,628,618 | ||||||||||
| 2,690 | Energy Vault Holdings Inc.* | 8,985 | ||||||||||
| 1,580 | EnerSys | 143,290 | ||||||||||
| 4,023 | Enovix Corp.*(a) | 37,092 | ||||||||||
| 3,957 | ESS Tech Inc.* | 7,202 | ||||||||||
| 1,272 | Fluence Energy Inc., Class A Shares* | 23,748 | ||||||||||
| 1,932 | FTC Solar Inc.* | 5,931 | ||||||||||
| 14,775 | FuelCell Energy Inc.* | 49,349 | ||||||||||
| 6,858 | GrafTech International Ltd | 38,748 | ||||||||||
| 2,978 | Heliogen Inc.* | 923 | ||||||||||
| 2,077 | Hubbell Inc., Class B Shares | 522,449 | ||||||||||
| 1,000 | NuScale Power Corp.*(a) | 10,350 | ||||||||||
| 6,226 | nVent Electric PLC | 285,400 | ||||||||||
| 19,711 | Plug Power Inc.*(a) | 293,103 | ||||||||||
| 332 | Powell Industries Inc. | 14,724 | ||||||||||
| 128 | Preformed Line Products Co | 11,413 | ||||||||||
| 2,514 | Regal Rexnord Corp. | 396,307 | ||||||||||
| 22,769 | Sensata Technologies Holding PLC | 1,151,656 | ||||||||||
| 5,339 | Shoals Technologies Group Inc., Class A Shares* | 131,019 | ||||||||||
| 5,478 | Stem Inc.* | 44,700 | ||||||||||
| 3,093 | SunPower Corp., Class A Shares* | 46,457 | ||||||||||
| 7,985 | Sunrun Inc.* | 191,959 | ||||||||||
| 1,189 | Thermon Group Holdings Inc.* | 31,449 | ||||||||||
| 1,329 | TPI Composites Inc.* | 15,363 | ||||||||||
| 11,782 | Vertiv Holdings Co., Class A Shares | 191,458 | ||||||||||
| 881 | Vicor Corp.* | 41,407 | ||||||||||
|
|
|
|||||||||||
| Total Electrical Equipment | 8,254,979 | |||||||||||
|
|
|
|||||||||||
| Industrial Conglomerates — 0.5% | ||||||||||||
| 22,379 | 3M Co | 2,411,113 | ||||||||||
| 1,087 | Brookfield Business Corp., Class A Shares | 21,088 | ||||||||||
|
|
|
|||||||||||
| Total Industrial Conglomerates | 2,432,201 | |||||||||||
|
|
|
|||||||||||
| Machinery — 3.9% | ||||||||||||
| 4,809 | 3D Systems Corp.* | 47,080 | ||||||||||
| 2,420 | AGCO Corp. | 340,760 | ||||||||||
| 362 | Alamo Group Inc. | 66,025 | ||||||||||
| 12,376 | Albany International Corp., Class A Shares | 1,248,986 | ||||||||||
| 3,502 | Allison Transmission Holdings Inc. | 166,345 | ||||||||||
| 20,949 | Altra Industrial Motion Corp. | 1,288,992 | ||||||||||
| 862 | Astec Industries Inc. | 38,816 | ||||||||||
| 22,791 | Barnes Group Inc. | 960,413 | ||||||||||
| 2,891 | Berkshire Grey Inc.* | 3,816 | ||||||||||
| 679 | Blue Bird Corp.* | 13,791 | ||||||||||
| 1,612 | Chart Industries Inc.*(a) | 215,202 | ||||||||||
| 615 | CIRCOR International Inc.* | 18,001 | ||||||||||
| 1,031 | Columbus McKinnon Corp. | 38,271 | ||||||||||
See Notes to Financial Statements.
60
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||
| Shares/Units | Security | Value | ||||||||
| INDUSTRIALS — 19.6% — (continued) | ||||||||||
| Machinery — 3.9% — (continued) | ||||||||||
| 1,771 | Crane Holdings Co | $ | 212,130 | |||||||
| 11,410 | Desktop Metal Inc., Class A Shares* | 17,343 | ||||||||
| 4,700 | Donaldson Co., Inc. | 297,275 | ||||||||
| 929 | Douglas Dynamics Inc. | 34,642 | ||||||||
| 2,126 | Energy Recovery Inc.* | 46,921 | ||||||||
| 16,641 | Enerpac Tool Group Corp., Class A Shares | 448,142 | ||||||||
| 796 | EnPro Industries Inc. | 85,570 | ||||||||
| 1,978 | Esab Corp. | 116,010 | ||||||||
| 995 | ESCO Technologies Inc. | 92,724 | ||||||||
| 4,420 | Evoqua Water Technologies Corp.* | 214,635 | ||||||||
| 2,309 | Federal Signal Corp. | 121,846 | ||||||||
| 18,354 | Flowserve Corp. | 636,700 | ||||||||
| 1,785 | Franklin Electric Co., Inc. | 170,592 | ||||||||
| 3,998 | Gates Industrial Corp. PLC* | 56,132 | ||||||||
| 655 | Gorman-Rupp Co. (The) | 18,248 | ||||||||
| 14,229 | Graco Inc. | 989,485 | ||||||||
| 1,203 | Greenbrier Cos., Inc. (The) | 38,628 | ||||||||
| 1,229 | Helios Technologies Inc. | 83,252 | ||||||||
| 2,572 | Hillenbrand Inc. | 121,244 | ||||||||
| 5,415 | Hillman Solutions Corp.* | 48,139 | ||||||||
| 1,372 | Hydrofarm Holdings Group Inc.* | 2,634 | ||||||||
| 4,856 | Hyliion Holdings Corp.* | 13,743 | ||||||||
| 331 | Hyster-Yale Materials Handling Inc. | 12,879 | ||||||||
| 4,055 | Hyzon Motors Inc.* | 5,272 | ||||||||
| 3,116 | IDEX Corp. | 701,038 | ||||||||
| 16,530 | ITT Inc. | 1,502,412 | ||||||||
| 1,214 | John Bean Technologies Corp. | 134,621 | ||||||||
| 440 | Kadant Inc. | 94,450 | ||||||||
| 3,089 | Kennametal Inc. | 87,511 | ||||||||
| 63,005 | Knorr-Bremse AG, ADR | 1,068,880 | ||||||||
| 1,771 | Lightning eMotors Inc.* | 1,189 | ||||||||
| 8,161 | Lincoln Electric Holdings Inc. | 1,370,477 | ||||||||
| 2,196 | Lindsay Corp. | 330,476 | ||||||||
| 984 | Luxfer Holdings PLC, ADR | 16,305 | ||||||||
| 1,593 | Manitowoc Co., Inc. (The)* | 30,124 | ||||||||
| 48,445 | Markforged Holding Corp.* | 64,432 | ||||||||
| 7,794 | Microvast Holdings Inc.*(a) | 10,054 | ||||||||
| 2,028 | Middleby Corp. (The)* | 315,334 | ||||||||
| 385 | Miller Industries Inc. | 10,707 | ||||||||
| 2,093 | Mueller Industries Inc. | 154,819 | ||||||||
| 123,810 | Mueller Water Products Inc., Class A Shares | 1,717,245 | ||||||||
| 11,684 | Nikola Corp.*(a) | 25,939 | ||||||||
| 2,232 | Nordson Corp. | 490,237 | ||||||||
| 108 | Omega Flex Inc. | 12,569 | ||||||||
| 2,545 | Oshkosh Corp. | 226,989 | ||||||||
| 6,374 | Pentair PLC | 356,562 | ||||||||
| 8,151 | Proterra Inc.* | 34,234 | ||||||||
| 996 | Proto Labs Inc.* | 31,314 | ||||||||
| 1,072 | RBC Bearings Inc.* | 246,356 | ||||||||
| 1,070 | REV Group Inc. | 12,508 | ||||||||
| 3,850 | Sarcos Technology & Robotics Corp.* | 2,426 | ||||||||
| 1,310 | Shyft Group Inc. (The) | 33,968 | ||||||||
| 2,055 | Snap-on Inc. | 511,037 | ||||||||
| 1,694 | SPX Technologies Inc.* | 119,325 | ||||||||
| 481 | Standex International Corp. | 55,642 | ||||||||
See Notes to Financial Statements.
61
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| INDUSTRIALS — 19.6% — (continued) | ||||||||||||
| Machinery — 3.9% — (continued) | ||||||||||||
| 698 | Tennant Co | $ | 49,432 | |||||||||
| 2,583 | Terex Corp. | 152,939 | ||||||||||
| 2,309 | Timken Co. (The) | 197,304 | ||||||||||
| 1,948 | Titan International Inc.* | 24,175 | ||||||||||
| 3,989 | Toro Co. (The) | 440,545 | ||||||||||
| 3,185 | Trinity Industries Inc. | 88,893 | ||||||||||
| 4,610 | Twin Disc Inc.* | 50,526 | ||||||||||
| 2,325 | Velo3D Inc.* | 7,370 | ||||||||||
| 1,882 | Wabash National Corp. | 51,567 | ||||||||||
| 1,017 | Watts Water Technologies Inc., Class A Shares | 178,209 | ||||||||||
| 4,078 | Westinghouse Air Brake Technologies Corp. | 425,458 | ||||||||||
|
|
|
|||||||||||
| Total Machinery | 19,766,282 | |||||||||||
|
|
|
|||||||||||
| Marine — 0.1% | ||||||||||||
| 2,360 | Costamare Inc. | 24,780 | ||||||||||
| 557 | Eagle Bulk Shipping Inc. | 36,355 | ||||||||||
| 871 | Eneti Inc. | 9,215 | ||||||||||
| 1,631 | Genco Shipping & Trading Ltd | 31,071 | ||||||||||
| 4,986 | Golden Ocean Group Ltd | 51,755 | ||||||||||
| 2,300 | Kirby Corp.* | 166,819 | ||||||||||
| 1,479 | Matson Inc. | 98,368 | ||||||||||
| 2,124 | Safe Bulkers Inc. | 7,965 | ||||||||||
|
|
|
|||||||||||
| Total Marine | 426,328 | |||||||||||
|
|
|
|||||||||||
| Professional Services — 2.6% | ||||||||||||
| 13,095 | Alight Inc., Class A Shares* | 125,712 | ||||||||||
| 14,655 | ASGN Inc.* | 1,301,364 | ||||||||||
| 504 | Atlas Technical Consultants Inc.* | 6,164 | ||||||||||
| 269 | Barrett Business Services Inc. | 25,819 | ||||||||||
| 5,022 | Booz Allen Hamilton Holding Corp., Class A Shares | 475,734 | ||||||||||
| 904 | CACI International Inc., Class A Shares* | 264,872 | ||||||||||
| 1,781 | CBIZ Inc.* | 89,210 | ||||||||||
| 18,160 | Clarivate PLC* | 183,961 | ||||||||||
| 17,066 | CoStar Group Inc.* | 1,205,884 | ||||||||||
| 256 | CRA International Inc. | 31,864 | ||||||||||
| 9,724 | Dun & Bradstreet Holdings Inc. | 116,785 | ||||||||||
| 1,913 | Exponent Inc. | 196,848 | ||||||||||
| 2,109 | First Advantage Corp.* | 30,602 | ||||||||||
| 386 | Forrester Research Inc.* | 12,695 | ||||||||||
| 463 | Franklin Covey Co.* | 21,701 | ||||||||||
| 10,063 | FTI Consulting Inc.* | 1,848,674 | ||||||||||
| 791 | Heidrick & Struggles International Inc. | 27,155 | ||||||||||
| 1,140 | HireRight Holdings Corp.* | 12,563 | ||||||||||
| 17,874 | Huron Consulting Group Inc.* | 1,254,576 | ||||||||||
| 711 | ICF International Inc. | 70,737 | ||||||||||
| 1,359 | Insperity Inc. | 168,638 | ||||||||||
| 5,179 | Jacobs Solutions Inc. | 618,890 | ||||||||||
| 54,619 | KBR Inc. | 3,010,053 | ||||||||||
| 1,238 | Kelly Services Inc., Class A Shares | 20,712 | ||||||||||
| 779 | Kforce Inc. | 48,680 | ||||||||||
| 1,974 | Korn Ferry | 110,327 | ||||||||||
| 3,876 | Legalzoom.com Inc.* | 31,667 | ||||||||||
| 1,914 | ManpowerGroup Inc. | 162,460 | ||||||||||
| 511 | NV5 Global Inc.* | 53,767 | ||||||||||
| 5,508 | Planet Labs PBC* | 25,392 | ||||||||||
See Notes to Financial Statements.
62
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| INDUSTRIALS — 19.6% — (continued) | ||||||||||||
| Professional Services — 2.6% — (continued) | ||||||||||||
| 472 | Red Violet Inc.* | $ | 9,615 | |||||||||
| 1,137 | Resources Connection Inc. | 20,534 | ||||||||||
| 4,025 | Robert Half International Inc. | 324,495 | ||||||||||
| 2,102 | Science Applications International Corp. | 224,157 | ||||||||||
| 3,728 | Skillsoft Corp.* | 5,816 | ||||||||||
| 7,419 | Spire Global Inc.* | 7,642 | ||||||||||
| 778 | Sterling Check Corp.* | 9,896 | ||||||||||
| 1,448 | TriNet Group Inc.* | 119,996 | ||||||||||
| 1,401 | TrueBlue Inc.* | 26,199 | ||||||||||
| 4,412 | Upwork Inc.* | 50,032 | ||||||||||
| 4,697 | Verisk Analytics Inc., Class A Shares | 803,704 | ||||||||||
| 374 | Willdan Group Inc.* | 6,754 | ||||||||||
|
|
|
|||||||||||
| Total Professional Services | 13,162,346 | |||||||||||
|
|
|
|||||||||||
| Road & Rail — 1.2% | ||||||||||||
| 935 | ArcBest Corp. | 89,947 | ||||||||||
| 971 | Avis Budget Group Inc.* | 213,290 | ||||||||||
| 318 | Covenant Logistics Group Inc., Class A Shares | 11,019 | ||||||||||
| 1,348 | Daseke Inc.* | 10,986 | ||||||||||
| 1,639 | Heartland Express Inc. | 26,437 | ||||||||||
| 7,125 | Hertz Global Holdings Inc.* | 131,884 | ||||||||||
| 18,010 | Knight-Swift Transportation Holdings Inc., Class A Shares | 1,023,688 | ||||||||||
| 1,407 | Landstar System Inc. | 254,372 | ||||||||||
| 11,982 | Lyft Inc., Class A Shares* | 119,820 | ||||||||||
| 2,249 | Marten Transport Ltd | 49,635 | ||||||||||
| 4,927 | Old Dominion Freight Line Inc. | 1,671,534 | ||||||||||
| 234 | PAM Transportation Services Inc.* | 6,786 | ||||||||||
| 3,972 | RXO Inc.* | 81,704 | ||||||||||
| 1,841 | Ryder System Inc. | 180,252 | ||||||||||
| 6,071 | Saia Inc.* | 1,644,452 | ||||||||||
| 2,165 | Schneider National Inc., Class B Shares | 60,750 | ||||||||||
| 6,050 | TuSimple Holdings Inc., Class A Shares*(a) | 11,616 | ||||||||||
| 3,528 | U-Haul Holding Co | 199,583 | ||||||||||
| 346 | Universal Logistics Holdings Inc. | 10,276 | ||||||||||
| 8,562 | Werner Enterprises Inc. | 397,705 | ||||||||||
| 3,980 | XPO Inc.* | 132,773 | ||||||||||
|
|
|
|||||||||||
| Total Road & Rail | 6,328,509 | |||||||||||
|
|
|
|||||||||||
| Trading Companies & Distributors — 1.6% | ||||||||||||
| 38,715 | AerCap Holdings NV* | 2,417,365 | ||||||||||
| 3,837 | Air Lease Corp., Class A Shares | 166,065 | ||||||||||
| 713 | Alta Equipment Group Inc. | 13,412 | ||||||||||
| 1,477 | Applied Industrial Technologies Inc. | 211,004 | ||||||||||
| 1,988 | Beacon Roofing Supply Inc.* | 129,220 | ||||||||||
| 316 | BlueLinx Holdings Inc.* | 26,667 | ||||||||||
| 1,544 | Boise Cascade Co | 106,706 | ||||||||||
| 2,691 | Core & Main Inc., Class A Shares* | 62,727 | ||||||||||
| 2,528 | Custom Truck One Source Inc.* | 18,303 | ||||||||||
| 197 | Distribution Solutions Group Inc.* | 8,749 | ||||||||||
| 646 | DXP Enterprises Inc.* | 18,676 | ||||||||||
| 29,820 | Fastenal Co | 1,537,519 | ||||||||||
| 1,311 | GATX Corp. | 143,017 | ||||||||||
| 459 | Global Industrial Co | 12,912 | ||||||||||
| 1,628 | GMS Inc.* | 98,836 | ||||||||||
| 1,256 | H&E Equipment Services Inc. | 69,708 | ||||||||||
See Notes to Financial Statements.
63
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| INDUSTRIALS — 19.6% — (continued) | ||||||||||||
| Trading Companies & Distributors — 1.6% — (continued) | ||||||||||||
| 933 | Herc Holdings Inc. | $ | 133,969 | |||||||||
| 1,643 | Hudson Technologies Inc.* | 16,644 | ||||||||||
| 144 | Karat Packaging Inc. | 2,232 | ||||||||||
| 923 | McGrath RentCorp. | 94,921 | ||||||||||
| 3,414 | MRC Global Inc.* | 38,237 | ||||||||||
| 1,781 | MSC Industrial Direct Co., Inc., Class A Shares | 150,530 | ||||||||||
| 4,179 | NOW Inc.* | 53,700 | ||||||||||
| 1,621 | Rush Enterprises Inc., Class A Shares | 91,878 | ||||||||||
| 288 | Rush Enterprises Inc., Class B Shares | 17,274 | ||||||||||
| 8,218 | SiteOne Landscape Supply Inc.* | 1,219,058 | ||||||||||
| 1,705 | Textainer Group Holdings Ltd | 56,129 | ||||||||||
| 751 | Titan Machinery Inc.* | 34,388 | ||||||||||
| 281 | Transcat Inc.* | 25,287 | ||||||||||
| 2,174 | Triton International Ltd | 149,876 | ||||||||||
| 6,070 | Univar Solutions Inc.* | 210,933 | ||||||||||
| 526 | Veritiv Corp. | 79,657 | ||||||||||
| 1,258 | Watsco Inc. | 383,325 | ||||||||||
| 1,675 | WESCO International Inc.* | 277,346 | ||||||||||
|
|
|
|||||||||||
| Total Trading Companies & Distributors | 8,076,270 | |||||||||||
|
|
|
|||||||||||
| TOTAL INDUSTRIALS | 99,871,580 | |||||||||||
|
|
|
|||||||||||
| INFORMATION TECHNOLOGY — 16.2% | ||||||||||||
| Communications Equipment — 1.5% | ||||||||||||
| 2,885 | ADTRAN Holdings Inc. | 50,343 | ||||||||||
| 274 | Aviat Networks Inc.* | 9,735 | ||||||||||
| 55,142 | CalAmp Corp.* | 235,456 | ||||||||||
| 2,203 | Calix Inc.* | 112,683 | ||||||||||
| 368 | Cambium Networks Corp.* | 7,386 | ||||||||||
| 1,434 | Casa Systems Inc.* | 5,191 | ||||||||||
| 41,798 | Ciena Corp.* | 2,015,500 | ||||||||||
| 426 | Clearfield Inc.* | 26,706 | ||||||||||
| 7,895 | CommScope Holding Co., Inc.* | 57,160 | ||||||||||
| 1,241 | Comtech Telecommunications Corp. | 19,844 | ||||||||||
| 1,322 | Digi International Inc.* | 44,115 | ||||||||||
| 734 | DZS Inc.* | 7,780 | ||||||||||
| 31,978 | EMCORE Corp.* | 45,888 | ||||||||||
| 4,913 | Extreme Networks Inc.* | 91,971 | ||||||||||
| 6,474 | F5 Inc.* | 925,653 | ||||||||||
| 3,482 | Harmonic Inc.* | 45,928 | ||||||||||
| 71,195 | Infinera Corp.*(a) | 503,349 | ||||||||||
| 3,004 | Inseego Corp.* | 2,690 | ||||||||||
| 12,376 | Juniper Networks Inc. | 380,933 | ||||||||||
| 2,554 | Lumentum Holdings Inc.* | 137,431 | ||||||||||
| 997 | NETGEAR Inc.* | 18,046 | ||||||||||
| 2,622 | NetScout Systems Inc.* | 74,570 | ||||||||||
| 1,581 | Ondas Holdings Inc.* | 2,972 | ||||||||||
| 14,823 | Radware Ltd.* | 308,763 | ||||||||||
| 219,302 | Ribbon Communications Inc.* | 978,087 | ||||||||||
| 30,387 | ViaSat Inc.* | 965,091 | ||||||||||
| 48,699 | Viavi Solutions Inc.* | 532,767 | ||||||||||
|
|
|
|||||||||||
| Total Communications Equipment | 7,606,038 | |||||||||||
|
|
|
|||||||||||
| Electronic Equipment, Instruments & Components — 2.6% | ||||||||||||
| 742 | 908 Devices Inc.* | 6,678 | ||||||||||
| 14,274 | Advanced Energy Industries Inc. | 1,328,624 | ||||||||||
See Notes to Financial Statements.
64
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| INFORMATION TECHNOLOGY — 16.2% — (continued) | ||||||||||||
| Electronic Equipment, Instruments & Components — 2.6% — (continued) | ||||||||||||
| 3,973 | Aeva Technologies Inc.* | $ | 7,112 | |||||||||
| 1,778 | Akoustis Technologies Inc.* | 6,650 | ||||||||||
| 13,520 | Amphenol Corp., Class A Shares | 1,048,070 | ||||||||||
| 3,752 | Arlo Technologies Inc.* | 14,258 | ||||||||||
| 2,313 | Arrow Electronics Inc.* | 272,911 | ||||||||||
| 3,438 | Avnet Inc. | 153,713 | ||||||||||
| 1,133 | Badger Meter Inc. | 137,795 | ||||||||||
| 17,969 | Belden Inc. | 1,516,224 | ||||||||||
| 1,432 | Benchmark Electronics Inc. | 34,067 | ||||||||||
| 2,850 | Cepton Inc.* | 2,964 | ||||||||||
| 6,596 | Cognex Corp. | 312,782 | ||||||||||
| 9,980 | Coherent Corp.* | 430,437 | ||||||||||
| 1,193 | CTS Corp. | 51,669 | ||||||||||
| 966 | ePlus Inc.* | 52,328 | ||||||||||
| 3,860 | Evolv Technologies Holdings Inc.* | 10,615 | ||||||||||
| 1,388 | Fabrinet* | 169,156 | ||||||||||
| 684 | FARO Technologies Inc.* | 18,605 | ||||||||||
| 772 | Focus Universal Inc.* | 3,899 | ||||||||||
| 710 | Identiv Inc.* | 4,984 | ||||||||||
| 39,441 | Innoviz Technologies Ltd.* | 187,345 | ||||||||||
| 1,229 | Insight Enterprises Inc.* | 164,588 | ||||||||||
| 5,319 | IPG Photonics Corp.* | 655,514 | ||||||||||
| 28,248 | Itron Inc.* | 1,575,391 | ||||||||||
| 5,086 | Jabil Inc. | 422,291 | ||||||||||
| 906 | Kimball Electronics Inc.* | 22,659 | ||||||||||
| 46,497 | Knowles Corp.* | 789,519 | ||||||||||
| 3,888 | Lightwave Logic Inc.*(a) | 22,939 | ||||||||||
| 914 | Littelfuse Inc. | 236,479 | ||||||||||
| 1,402 | Methode Electronics Inc. | 68,319 | ||||||||||
| 7,455 | MicroVision Inc.*(a) | 19,085 | ||||||||||
| 5,013 | Mirion Technologies Inc.* | 45,518 | ||||||||||
| 1,065 | Napco Security Technologies Inc.* | 33,654 | ||||||||||
| 5,053 | National Instruments Corp. | 255,227 | ||||||||||
| 16,465 | nLight Inc.* | 186,054 | ||||||||||
| 1,334 | Novanta Inc.* | 209,318 | ||||||||||
| 5,430 | OSI Systems Inc.* | 502,546 | ||||||||||
| 9,553 | Ouster Inc.* | 11,464 | ||||||||||
| 1,140 | PAR Technology Corp.* | 38,931 | ||||||||||
| 429 | PC Connection Inc. | 18,790 | ||||||||||
| 1,061 | Plexus Corp.* | 101,739 | ||||||||||
| 2,154 | Rogers Corp.* | 317,069 | ||||||||||
| 2,220 | Sanmina Corp.* | 134,221 | ||||||||||
| 977 | ScanSource Inc.* | 30,463 | ||||||||||
| 5,277 | SmartRent Inc., Class A Shares*(a) | 13,667 | ||||||||||
| 1,790 | TD SYNNEX Corp. | 172,771 | ||||||||||
| 2,804 | Teledyne Technologies Inc.* | 1,205,916 | ||||||||||
| 3,680 | TTM Technologies Inc.* | 48,907 | ||||||||||
| 4,735 | Vishay Intertechnology Inc. | 100,524 | ||||||||||
| 436 | Vishay Precision Group Inc.* | 19,010 | ||||||||||
| 6,103 | Vontier Corp. | 159,716 | ||||||||||
|
|
|
|||||||||||
| Total Electronic Equipment, Instruments & Components | 13,353,175 | |||||||||||
|
|
|
|||||||||||
| IT Services — 3.0% | ||||||||||||
| 8,528 | Affirm Holdings Inc., Class A Shares*(a) | 116,151 | ||||||||||
| 4,652 | Amdocs Ltd | 426,170 | ||||||||||
See Notes to Financial Statements.
65
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||
| Shares/Units | Security | Value | ||||||||
| INFORMATION TECHNOLOGY — 16.2% — (continued) | ||||||||||
| IT Services — 3.0% — (continued) | ||||||||||
| 5,464 | AvidXchange Holdings Inc.* | $ | 54,367 | |||||||
| 2,809 | BigCommerce Holdings Inc.* | 26,742 | ||||||||
| 1,407 | Brightcove Inc.* | 7,556 | ||||||||
| 2,077 | Cantaloupe Inc.* | 11,963 | ||||||||
| 515 | Cass Information Systems Inc. | 24,900 | ||||||||
| 1,973 | Cerberus Cyber Sentinel Corp.* | 1,125 | ||||||||
| 1,615 | Concentrix Corp. | 220,997 | ||||||||
| 185,072 | Conduent Inc.* | 736,587 | ||||||||
| 1,208 | CSG Systems International Inc. | 67,890 | ||||||||
| 1,574 | Cyxtera Technologies Inc.* | 3,526 | ||||||||
| 2,670 | DigitalOcean Holdings Inc.* | 85,387 | ||||||||
| 8,715 | DXC Technology Co.* | 241,754 | ||||||||
| 4,565 | Edgio Inc.* | 5,615 | ||||||||
| 11,624 | Endava PLC, ADR* | 924,573 | ||||||||
| 9,372 | Euronet Worldwide Inc.* | 1,020,142 | ||||||||
| 2,392 | EVERTEC Inc. | 88,049 | ||||||||
| 1,800 | Evo Payments Inc., Class A Shares* | 60,930 | ||||||||
| 1,221 | ExlService Holdings Inc.* | 200,867 | ||||||||
| 4,120 | Fastly Inc., Class A Shares* | 57,227 | ||||||||
| 36,111 | Flywire Corp.* | 893,025 | ||||||||
| 3,926 | Gartner Inc.* | 1,286,982 | ||||||||
| 6,878 | Genpact Ltd | 328,287 | ||||||||
| 1,547 | Globant SA* | 255,379 | ||||||||
| 2,238 | Grid Dynamics Holdings Inc.* | 26,073 | ||||||||
| 959 | Hackett Group Inc. (The) | 17,876 | ||||||||
| 727 | I3 Verticals Inc., Class A Shares* | 17,891 | ||||||||
| 464 | IBEX Holdings Ltd.* | 12,969 | ||||||||
| 1,768 | Information Services Group Inc. | 9,317 | ||||||||
| 1,302 | International Money Express Inc.* | 33,266 | ||||||||
| 2,780 | Jack Henry & Associates Inc. | 456,587 | ||||||||
| 64,758 | Kyndryl Holdings Inc.* | 1,016,053 | ||||||||
| 16,681 | Marqeta Inc., Class A Shares* | 96,750 | ||||||||
| 2,367 | Maximus Inc. | 194,283 | ||||||||
| 3,301 | MoneyGram International Inc.* | 35,816 | ||||||||
| 8,241 | Payoneer Global Inc.* | 47,798 | ||||||||
| 1,252 | Paysafe Ltd.* | 24,965 | ||||||||
| 1,315 | Perficient Inc.* | 93,102 | ||||||||
| 864 | PFSweb Inc. | 5,564 | ||||||||
| 482 | Priority Technology Holdings Inc.* | 1,889 | ||||||||
| 1,997 | Rackspace Technology Inc.* | 4,693 | ||||||||
| 3,606 | Remitly Global Inc.* | 52,756 | ||||||||
| 3,701 | Repay Holdings Corp., Class A Shares* | 31,384 | ||||||||
| 12,587 | Sabre Corp.* | 63,690 | ||||||||
| 19,000 | Shift4 Payments Inc., Class A Shares*(a) | 1,225,500 | ||||||||
| 1,039 | Squarespace Inc., Class A Shares* | 24,323 | ||||||||
| 10,678 | StoneCo Ltd., Class A Shares* | 90,870 | ||||||||
| 3,012 | Thoughtworks Holding Inc.* | 22,168 | ||||||||
| 9,614 | Toast Inc., Class A Shares* | 181,897 | ||||||||
| 660 | TTEC Holdings Inc. | 26,572 | ||||||||
| 342 | Tucows Inc., Class A Shares* | 7,907 | ||||||||
| 75,145 | Unisys Corp.* | 374,222 | ||||||||
| 5,528 | Verra Mobility Corp., Class A Shares* | 95,247 | ||||||||
| 15,089 | Western Union Co. (The) | 195,553 | ||||||||
| 4,553 | WEX Inc.* | 877,864 | ||||||||
| 6,134 | Wix.com Ltd.* | 555,311 | ||||||||
See Notes to Financial Statements.
66
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| INFORMATION TECHNOLOGY — 16.2% — (continued) | ||||||||||||
| IT Services — 3.0% — (continued) | ||||||||||||
| 27,550 | WNS Holdings Ltd., ADR* | $ | 2,394,646 | |||||||||
|
|
|
|||||||||||
| Total IT Services | 15,460,993 | |||||||||||
|
|
|
|||||||||||
| Semiconductors & Semiconductor Equipment — 2.7% | ||||||||||||
| 2,071 | ACM Research Inc., Class A Shares* | 21,497 | ||||||||||
| 2,586 | Allegro MicroSystems Inc.* | 112,956 | ||||||||||
| 906 | Alpha & Omega Semiconductor Ltd.* | 24,199 | ||||||||||
| 1,406 | Ambarella Inc.* | 132,600 | ||||||||||
| 3,935 | Amkor Technology Inc. | 101,366 | ||||||||||
| 2,290 | Applied Materials Inc. | 265,983 | ||||||||||
| 785 | Atomera Inc.* | 5,205 | ||||||||||
| 1,266 | Axcelis Technologies Inc.* | 162,732 | ||||||||||
| 1,631 | AXT Inc.* | 7,127 | ||||||||||
| 11,299 | CEVA Inc.* | 356,596 | ||||||||||
| 2,053 | Cirrus Logic Inc.* | 210,946 | ||||||||||
| 1,832 | Cohu Inc.* | 68,150 | ||||||||||
| 3,700 | Credo Technology Group Holding Ltd.* | 39,257 | ||||||||||
| 1,649 | Diodes Inc.* | 151,197 | ||||||||||
| 6,702 | Entegris Inc. | 571,211 | ||||||||||
| 4,087 | First Solar Inc.* | 691,275 | ||||||||||
| 2,960 | FormFactor Inc.* | 89,096 | ||||||||||
| 904 | Ichor Holdings Ltd.* | 29,787 | ||||||||||
| 811 | Impinj Inc.* | 107,555 | ||||||||||
| 3,692 | indie Semiconductor Inc., Class A Shares*(a) | 38,618 | ||||||||||
| 2,206 | Kulicke & Soffa Industries Inc. | 117,580 | ||||||||||
| 5,221 | Lattice Semiconductor Corp.* | 443,576 | ||||||||||
| 51,377 | MACOM Technology Solutions Holdings Inc.* | 3,521,380 | ||||||||||
| 2,779 | MaxLinear Inc., Class A Shares* | 95,070 | ||||||||||
| 2,150 | MKS Instruments Inc. | 208,399 | ||||||||||
| 8,365 | Onto Innovation Inc.* | 689,862 | ||||||||||
| 1,170 | PDF Solutions Inc.* | 43,805 | ||||||||||
| 2,243 | Photronics Inc.* | 39,522 | ||||||||||
| 2,106 | Power Integrations Inc. | 173,218 | ||||||||||
| 37,298 | Rambus Inc.* | 1,649,691 | ||||||||||
| 2,232 | Rigetti Computing Inc.* | 1,673 | ||||||||||
| 2,400 | Semtech Corp.* | 73,944 | ||||||||||
| 1,277 | Silicon Laboratories Inc.* | 227,983 | ||||||||||
| 598 | SiTime Corp.* | 74,242 | ||||||||||
| 316 | SkyWater Technology Inc.*(a) | 4,149 | ||||||||||
| 1,972 | SMART Global Holdings Inc.* | 32,932 | ||||||||||
| 6,704 | Synaptics Inc.* | 788,457 | ||||||||||
| 1,545 | Transphorm Inc.* | 5,840 | ||||||||||
| 1,712 | Ultra Clean Holdings Inc.* | 54,544 | ||||||||||
| 6,188 | Universal Display Corp. | 840,640 | ||||||||||
| 47,684 | Veeco Instruments Inc.* | 1,014,239 | ||||||||||
| 4,765 | Wolfspeed Inc.*(a) | 352,515 | ||||||||||
|
|
|
|||||||||||
| Total Semiconductors & Semiconductor Equipment | 13,640,614 | |||||||||||
|
|
|
|||||||||||
| Software — 6.1% | ||||||||||||
| 4,737 | 8x8 Inc.* | 25,201 | ||||||||||
| 2,315 | A10 Networks Inc. | 35,234 | ||||||||||
| 34,178 | ACI Worldwide Inc.* | 883,501 | ||||||||||
| 69,311 | Adeia Inc. | 683,406 | ||||||||||
| 732 | Agilysys Inc.* | 58,494 | ||||||||||
| 1,828 | Alarm.com Holdings Inc.* | 92,917 | ||||||||||
See Notes to Financial Statements.
67
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||
| Shares/Units | Security | Value | ||||||||
| INFORMATION TECHNOLOGY — 16.2% — (continued) | ||||||||||
| Software — 6.1% — (continued) | ||||||||||
| 1,289 | Alkami Technology Inc.* | $ | 19,799 | |||||||
| 1,955 | Altair Engineering Inc., Class A Shares* | 125,237 | ||||||||
| 2,285 | Alteryx Inc., Class A Shares* | 149,233 | ||||||||
| 997 | American Software Inc., Class A Shares | 13,499 | ||||||||
| 2,380 | Amplitude Inc., Class A Shares* | 31,416 | ||||||||
| 7,264 | ANSYS Inc.* | 2,205,423 | ||||||||
| 5,441 | Appfolio Inc., Class A Shares* | 718,538 | ||||||||
| 1,532 | Appian Corp., Class A Shares* | 63,501 | ||||||||
| 2,207 | Applied Digital Corp.*(a) | 5,849 | ||||||||
| 8,423 | AppLovin Corp., Class A Shares* | 113,711 | ||||||||
| 476 | Arteris Inc.* | 3,127 | ||||||||
| 2,990 | Asana Inc., Class A Shares* | 44,222 | ||||||||
| 3,536 | Aspen Technology Inc.* | 749,667 | ||||||||
| 3,936 | Atlassian Corp., Class A Shares* | 646,803 | ||||||||
| 4,431 | AvePoint Inc.* | 22,155 | ||||||||
| 6,381 | Bentley Systems Inc., Class B Shares | 258,175 | ||||||||
| 3,792 | BILL Holdings Inc.* | 320,917 | ||||||||
| 5,884 | Black Knight Inc.* | 350,686 | ||||||||
| 1,790 | Blackbaud Inc.* | 99,685 | ||||||||
| 12,756 | Blackline Inc.* | 872,000 | ||||||||
| 8,091 | Blend Labs Inc., Class A Shares*(a) | 12,784 | ||||||||
| 69,090 | Box Inc., Class A Shares* | 2,304,152 | ||||||||
| 2,215 | C3.ai Inc., Class A Shares*(a) | 50,015 | ||||||||
| 6,447 | CCC Intelligent Solutions Holdings Inc.* | 57,765 | ||||||||
| 1,428 | Cerence Inc.* | 39,099 | ||||||||
| 5,186 | Ceridian HCM Holding Inc.* | 378,215 | ||||||||
| 1,907 | Cleanspark Inc.* | 5,263 | ||||||||
| 2,347 | Clear Secure Inc., Class A Shares | 72,147 | ||||||||
| 66,810 | Cognyte Software Ltd.* | 247,197 | ||||||||
| 1,725 | CommVault Systems Inc.* | 101,568 | ||||||||
| 4,810 | Confluent Inc., Class A Shares* | 117,316 | ||||||||
| 750 | Consensus Cloud Solutions Inc.* | 30,780 | ||||||||
| 987 | Couchbase Inc.* | 16,049 | ||||||||
| 5,757 | Crowdstrike Holdings Inc., Class A Shares* | 694,812 | ||||||||
| 934 | CS Disco Inc.* | 6,538 | ||||||||
| 1,967 | Cvent Holding Corp., Class A Shares* | 14,280 | ||||||||
| 448 | Digimarc Corp.* | 9,135 | ||||||||
| 3,618 | Digital Turbine Inc.* | 38,857 | ||||||||
| 2,400 | Dolby Laboratories Inc., Class A Shares | 197,472 | ||||||||
| 1,305 | Domo Inc., Class B Shares* | 20,058 | ||||||||
| 2,751 | DoubleVerify Holdings Inc., Class Rights Shares* | 72,269 | ||||||||
| 10,210 | Dropbox Inc., Class A Shares* | 208,284 | ||||||||
| 3,135 | Duck Creek Technologies Inc.* | 59,377 | ||||||||
| 21,217 | Dynatrace Inc.* | 902,359 | ||||||||
| 8,162 | E2open Parent Holdings Inc.* | 50,604 | ||||||||
| 1,155 | Ebix Inc. | 20,074 | ||||||||
| 816 | eGain Corp.* | 6,373 | ||||||||
| 2,981 | Elastic NV* | 175,939 | ||||||||
| 1,290 | Enfusion Inc., Class A Shares* | 13,829 | ||||||||
| 1,508 | EngageSmart Inc.* | 31,728 | ||||||||
| 1,579 | Envestnet Inc.* | 98,703 | ||||||||
| 1,595 | Everbridge Inc.* | 52,125 | ||||||||
| 1,280 | EverCommerce Inc.* | 12,800 | ||||||||
| 936 | Fair Isaac Corp.* | 634,037 | ||||||||
| 2,685 | Five9 Inc.* | 177,210 | ||||||||
See Notes to Financial Statements.
68
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||
| Shares/Units | Security | Value | ||||||||
| INFORMATION TECHNOLOGY — 16.2% — (continued) | ||||||||||
| Software — 6.1% — (continued) | ||||||||||
| 1,453 | ForgeRock Inc., Class A Shares* | $ | 29,699 | |||||||
| 21,365 | Gen Digital Inc. | 416,831 | ||||||||
| 22,517 | Guidewire Software Inc.* | 1,580,919 | ||||||||
| 1,273 | Informatica Inc., Class A Shares* | 21,959 | ||||||||
| 622 | Instructure Holdings Inc.* | 16,029 | ||||||||
| 660 | Intapp Inc.* | 26,123 | ||||||||
| 1,140 | InterDigital Inc.(a) | 83,209 | ||||||||
| 4,052 | IronNet Inc.* | 1,930 | ||||||||
| 2,404 | Jamf Holding Corp.* | 51,013 | ||||||||
| 6,648 | Latch Inc.*(a) | 5,252 | ||||||||
| 2,814 | LivePerson Inc.* | 28,478 | ||||||||
| 2,544 | LiveRamp Holdings Inc.* | 60,115 | ||||||||
| 2,358 | Manhattan Associates Inc.* | 338,963 | ||||||||
| 4,768 | Marathon Digital Holdings Inc.*(a) | 33,853 | ||||||||
| 9,476 | Matterport Inc.* | 28,902 | ||||||||
| 971 | MeridianLink Inc.* | 15,303 | ||||||||
| 361 | MicroStrategy Inc., Class A Shares*(a) | 94,679 | ||||||||
| 1,693 | Mitek Systems Inc.* | 15,745 | ||||||||
| 1,391 | Model N Inc.* | 46,181 | ||||||||
| 5,318 | Momentive Global Inc.* | 36,694 | ||||||||
| 2,866 | N-able Inc.* | 33,933 | ||||||||
| 2,641 | nCino Inc.* | 71,967 | ||||||||
| 29,893 | NCR Corp.* | 763,168 | ||||||||
| 12,714 | New Relic Inc.* | 927,741 | ||||||||
| 2,530 | NextNav Inc.* | 6,983 | ||||||||
| 8,731 | Nutanix Inc., Class A Shares* | 246,651 | ||||||||
| 3,110 | Olo Inc., Class A Shares* | 24,662 | ||||||||
| 1,945 | ON24 Inc.* | 18,750 | ||||||||
| 24,379 | OneSpan Inc.* | 329,604 | ||||||||
| 3,225 | PagerDuty Inc.* | 96,299 | ||||||||
| 1,929 | Paycor HCM Inc.* | 47,781 | ||||||||
| 1,510 | Paylocity Holding Corp.* | 290,841 | ||||||||
| 1,582 | Pegasystems Inc. | 73,373 | ||||||||
| 3,057 | Porch Group Inc.* | 7,643 | ||||||||
| 1,759 | PowerSchool Holdings Inc., Class A Shares* | 40,369 | ||||||||
| 2,680 | Procore Technologies Inc.* | 179,533 | ||||||||
| 1,682 | Progress Software Corp. | 96,614 | ||||||||
| 12,861 | PROS Holdings Inc.* | 335,543 | ||||||||
| 4,015 | PTC Inc.* | 503,200 | ||||||||
| 2,064 | Q2 Holdings Inc.* | 66,626 | ||||||||
| 1,442 | Qualys Inc.* | 170,372 | ||||||||
| 2,230 | Rapid7 Inc.* | 105,479 | ||||||||
| 1,777 | Rimini Street Inc.* | 7,606 | ||||||||
| 3,294 | RingCentral Inc., Class A Shares* | 108,834 | ||||||||
| 5,926 | Riot Platforms Inc.*(a) | 37,038 | ||||||||
| 51,390 | Samsara Inc., Class A Shares*(a) | 856,157 | ||||||||
| 1,094 | Sapiens International Corp. NV | 22,558 | ||||||||
| 323 | SecureWorks Corp., Class A Shares* | 2,445 | ||||||||
| 7,120 | SentinelOne Inc., Class A Shares* | 113,849 | ||||||||
| 355 | ShotSpotter Inc.* | 12,106 | ||||||||
| 35,597 | Smartsheet Inc., Class A Shares* | 1,566,980 | ||||||||
| 1,625 | SolarWinds Corp.* | 13,845 | ||||||||
| 12,133 | Sprout Social Inc., Class A Shares* | 739,870 | ||||||||
| 1,364 | SPS Commerce Inc.* | 205,473 | ||||||||
| 4,644 | Sumo Logic Inc.* | 55,124 | ||||||||
See Notes to Financial Statements.
69
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| INFORMATION TECHNOLOGY — 16.2% — (continued) | ||||||||||||
| Software — 6.1% — (continued) | ||||||||||||
| 2,608 | Telos Corp.* | $ | 10,093 | |||||||||
| 17,815 | Tenable Holdings Inc.* | 787,957 | ||||||||||
| 3,975 | Teradata Corp.* | 162,021 | ||||||||||
| 1,813 | Tyler Technologies Inc.* | 582,426 | ||||||||||
| 14,457 | UiPath Inc., Class A Shares* | 214,542 | ||||||||||
| 1,012 | Upland Software Inc.* | 5,859 | ||||||||||
| 12,763 | Varonis Systems Inc., Class B Shares* | 345,622 | ||||||||||
| 20,542 | Verint Systems Inc.* | 767,860 | ||||||||||
| 1,052 | Veritone Inc.*(a) | 7,459 | ||||||||||
| 490 | Viant Technology Inc., Class A Shares* | 1,926 | ||||||||||
| 1,088 | Weave Communications Inc.* | 5,625 | ||||||||||
| 3,329 | WM Technology Inc.* | 3,679 | ||||||||||
| 7,541 | Workiva Inc., Class A Shares* | 672,657 | ||||||||||
| 37,498 | Xperi Inc.* | 438,352 | ||||||||||
| 4,508 | Yext Inc.* | 33,089 | ||||||||||
| 4,154 | Zeta Global Holdings Corp., Class A Shares* | 44,074 | ||||||||||
| 4,721 | Zuora Inc., Class A Shares* | 39,987 | ||||||||||
|
|
|
|||||||||||
| Total Software | 30,755,731 | |||||||||||
|
|
|
|||||||||||
| Technology Hardware, Storage & Peripherals — 0.3% | ||||||||||||
| 1,430 | Avid Technology Inc.* | 41,556 | ||||||||||
| 1,437 | Corsair Gaming Inc.* | 25,148 | ||||||||||
| 2,520 | Diebold Nixdorf Inc.* | 8,115 | ||||||||||
| 1,829 | Eastman Kodak Co.* | 6,328 | ||||||||||
| 5,188 | IonQ Inc.*(a) | 24,591 | ||||||||||
| 10,661 | Pure Storage Inc., Class A Shares* | 304,265 | ||||||||||
| 306,548 | Quantum Corp.* | 346,399 | ||||||||||
| 42,340 | Stratasys Ltd.* | 548,303 | ||||||||||
| 1,762 | Super Micro Computer Inc.* | 172,623 | ||||||||||
| 602 | Turtle Beach Corp.* | 4,870 | ||||||||||
| 4,433 | Xerox Holdings Corp. | 73,100 | ||||||||||
|
|
|
|||||||||||
| Total Technology Hardware, Storage & Peripherals | 1,555,298 | |||||||||||
|
|
|
|||||||||||
| TOTAL INFORMATION TECHNOLOGY | 82,371,849 | |||||||||||
|
|
|
|||||||||||
| MATERIALS — 5.3% | ||||||||||||
| Chemicals — 1.9% | ||||||||||||
| 1,071 | AdvanSix Inc. | 44,072 | ||||||||||
| 1,564 | Albemarle Corp. | 397,741 | ||||||||||
| 1,145 | American Vanguard Corp. | 23,896 | ||||||||||
| 7,597 | Amyris Inc.*(a) | 9,496 | ||||||||||
| 1,927 | Ashland Inc. | 196,130 | ||||||||||
| 1,017 | Aspen Aerogels Inc.* | 11,034 | ||||||||||
| 24,699 | Avient Corp. | 1,077,617 | ||||||||||
| 36,716 | Axalta Coating Systems Ltd.* | 1,094,137 | ||||||||||
| 1,231 | Balchem Corp. | 160,030 | ||||||||||
| 2,147 | Cabot Corp. | 170,751 | ||||||||||
| 268 | Chase Corp. | 26,248 | ||||||||||
| 5,680 | Chemours Co. (The) | 194,142 | ||||||||||
| 3,418 | Danimer Scientific Inc.*(a) | 8,818 | ||||||||||
| 2,829 | Diversey Holdings Ltd.* | 16,719 | ||||||||||
| 1,874 | DuPont de Nemours Inc. | 136,858 | ||||||||||
| 16,579 | Ecolab Inc. | 2,642,195 | ||||||||||
| 2,462 | Ecovyst Inc.* | 24,718 | ||||||||||
| 8,322 | Element Solutions Inc. | 170,934 | ||||||||||
| 1,005 | FutureFuel Corp. | 8,794 | ||||||||||
See Notes to Financial Statements.
70
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| MATERIALS — 5.3% — (continued) | ||||||||||||
| Chemicals — 1.9% — (continued) | ||||||||||||
| 33,507 | Ginkgo Bioworks Holdings Inc.* | $ | 49,255 | |||||||||
| 685 | Hawkins Inc. | 27,859 | ||||||||||
| 1,975 | HB Fuller Co | 137,776 | ||||||||||
| 6,904 | Huntsman Corp. | 202,563 | ||||||||||
| 1,371 | Ingevity Corp.* | 113,190 | ||||||||||
| 975 | Innospec Inc. | 106,724 | ||||||||||
| 517 | Intrepid Potash Inc.* | 16,373 | ||||||||||
| 733 | Koppers Holdings Inc. | 26,307 | ||||||||||
| 772 | Kronos Worldwide Inc. | 8,716 | ||||||||||
| 6,250 | Livent Corp.* | 146,563 | ||||||||||
| 2,716 | LSB Industries Inc.* | 36,910 | ||||||||||
| 2,222 | Mativ Holdings Inc. | 57,572 | ||||||||||
| 1,256 | Minerals Technologies Inc. | 76,302 | ||||||||||
| 231 | NewMarket Corp. | 79,349 | ||||||||||
| 4,797 | Olin Corp. | 277,027 | ||||||||||
| 3,607 | Origin Materials Inc.* | 17,314 | ||||||||||
| 2,349 | Orion Engineered Carbons SA | 59,900 | ||||||||||
| 4,327 | Perimeter Solutions SA* | 37,039 | ||||||||||
| 4,534 | PureCycle Technologies Inc.* | 28,927 | ||||||||||
| 523 | Quaker Chemical Corp. | 102,393 | ||||||||||
| 2,153 | Rayonier Advanced Materials Inc.* | 17,655 | ||||||||||
| 4,868 | RPM International Inc. | 431,451 | ||||||||||
| 1,533 | Scotts Miracle-Gro Co. (The) | 126,473 | ||||||||||
| 1,621 | Sensient Technologies Corp. | 122,207 | ||||||||||
| 819 | Stepan Co | 85,250 | ||||||||||
| 1,323 | Trinseo PLC | 30,667 | ||||||||||
| 53,194 | Tronox Holdings PLC | 829,826 | ||||||||||
| 115 | Valhi Inc. | 2,724 | ||||||||||
| 6,668 | Valvoline Inc. | 234,714 | ||||||||||
|
|
|
|||||||||||
| Total Chemicals | 9,903,356 | |||||||||||
|
|
|
|||||||||||
| Construction Materials — 0.5% | ||||||||||||
| 1,389 | Eagle Materials Inc. | 194,905 | ||||||||||
| 23,569 | Summit Materials Inc., Class A Shares* | 696,228 | ||||||||||
| 78 | United States Lime & Minerals Inc. | 12,581 | ||||||||||
| 8,251 | Vulcan Materials Co | 1,492,688 | ||||||||||
|
|
|
|||||||||||
| Total Construction Materials | 2,396,402 | |||||||||||
|
|
|
|||||||||||
| Containers & Packaging — 1.6% | ||||||||||||
| 18,234 | AptarGroup Inc. | 2,128,272 | ||||||||||
| 765 | Ardagh Group SA, Class A Shares*(b)(c) | 6,525 | ||||||||||
| 6,386 | Ardagh Metal Packaging SA | 30,781 | ||||||||||
| 9,566 | Avery Dennison Corp. | 1,742,830 | ||||||||||
| 4,750 | Berry Global Group Inc. | 294,975 | ||||||||||
| 18,383 | Crown Holdings Inc. | 1,590,313 | ||||||||||
| 839 | Cryptdyde Inc.* | 144 | ||||||||||
| 11,648 | Graphic Packaging Holding Co | 277,222 | ||||||||||
| 933 | Greif Inc., Class A Shares | 66,290 | ||||||||||
| 197 | Greif Inc., Class B Shares | 16,209 | ||||||||||
| 1,358 | Myers Industries Inc. | 35,091 | ||||||||||
| 6,001 | O-I Glass Inc.* | 133,342 | ||||||||||
| 3,505 | Packaging Corp. of America | 479,204 | ||||||||||
| 1,500 | Pactiv Evergreen Inc. | 16,215 | ||||||||||
| 33,277 | Ranpak Holdings Corp., Class A Shares* | 209,645 | ||||||||||
| 5,551 | Sealed Air Corp. | 269,890 | ||||||||||
See Notes to Financial Statements.
71
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| MATERIALS — 5.3% — (continued) | ||||||||||||
| Containers & Packaging — 1.6% — (continued) | ||||||||||||
| 11,478 | Silgan Holdings Inc. | $ | 612,925 | |||||||||
| 3,696 | Sonoco Products Co | 218,286 | ||||||||||
| 1,594 | TriMas Corp. | 47,804 | ||||||||||
|
|
|
|||||||||||
| Total Containers & Packaging | 8,175,963 | |||||||||||
|
|
|
|||||||||||
| Metals & Mining — 1.3% | ||||||||||||
| 1,518 | 5E Advanced Materials Inc.* | 10,262 | ||||||||||
| 73,292 | Alamos Gold Inc., Class A Shares | 746,112 | ||||||||||
| 6,705 | Alcoa Corp. | 328,143 | ||||||||||
| 577 | Alpha Metallurgical Resources Inc. | 96,786 | ||||||||||
| 3,880 | Arconic Corp.* | 102,587 | ||||||||||
| 4,791 | ATI Inc.* | 194,754 | ||||||||||
| 1,829 | Carpenter Technology Corp. | 88,395 | ||||||||||
| 2,063 | Century Aluminum Co.* | 24,900 | ||||||||||
| 76,591 | Cleveland-Cliffs Inc.* | 1,633,686 | ||||||||||
| 10,608 | Coeur Mining Inc.* | 33,097 | ||||||||||
| 4,407 | Commercial Metals Co | 228,062 | ||||||||||
| 1,279 | Compass Minerals International Inc. | 49,280 | ||||||||||
| 4,872 | Constellium SE, Class A Shares* | 77,903 | ||||||||||
| 2,810 | Dakota Gold Corp.* | 7,896 | ||||||||||
| 3,346 | Ferroglobe Representation & Warranty Insurance Trust*# | – | ||||||||||
| 429 | Haynes International Inc. | 23,471 | ||||||||||
| 21,519 | Hecla Mining Co | 110,823 | ||||||||||
| 602 | Ivanhoe Electric Inc.* | 9,048 | ||||||||||
| 602 | Kaiser Aluminum Corp. | 47,751 | ||||||||||
| 773 | Materion Corp. | 86,329 | ||||||||||
| 3,526 | MP Materials Corp.*(a) | 123,410 | ||||||||||
| 8,864 | Novagold Resources Inc.* | 49,550 | ||||||||||
| 372 | Olympic Steel Inc. | 19,530 | ||||||||||
| 713 | Piedmont Lithium Inc.* | 46,274 | ||||||||||
| 1,064 | PolyMet Mining Corp.* | 2,660 | ||||||||||
| 945 | Ramaco Resources Inc. | 9,403 | ||||||||||
| 2,228 | Reliance Steel & Aluminum Co | 552,187 | ||||||||||
| 2,482 | Royal Gold Inc. | 294,837 | ||||||||||
| 670 | Ryerson Holding Corp. | 24,073 | ||||||||||
| 932 | Schnitzer Steel Industries Inc., Class A Shares | 30,467 | ||||||||||
| 7,730 | SSR Mining Inc. | 105,514 | ||||||||||
| 6,415 | Steel Dynamics Inc. | 808,996 | ||||||||||
| 2,994 | SunCoke Energy Inc. | 28,473 | ||||||||||
| 1,617 | TimkenSteel Corp.* | 29,575 | ||||||||||
| 1,116 | Tredegar Corp. | 12,968 | ||||||||||
| 8,778 | United States Steel Corp. | 268,870 | ||||||||||
| 2,006 | Warrior Met Coal Inc. | 76,770 | ||||||||||
| 1,211 | Worthington Industries Inc. | 73,193 | ||||||||||
|
|
|
|||||||||||
| Total Metals & Mining | 6,456,035 | |||||||||||
|
|
|
|||||||||||
| Paper & Forest Products — 0.0%@ | ||||||||||||
| 630 | Clearwater Paper Corp.* | 24,312 | ||||||||||
| 1,591 | Glatfelter Corp. | 6,109 | ||||||||||
| 2,695 | Louisiana-Pacific Corp. | 157,685 | ||||||||||
| 1,860 | Resolute Forest Products* | 2,641 | ||||||||||
| 1,383 | Sylvamo Corp. | 68,223 | ||||||||||
|
|
|
|||||||||||
| Total Paper & Forest Products | 258,970 | |||||||||||
|
|
|
|||||||||||
| TOTAL MATERIALS | 27,190,726 | |||||||||||
|
|
|
|||||||||||
See Notes to Financial Statements.
72
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||
| Shares/Units | Security | Value | ||||||||
| REAL ESTATE — 5.3% | ||||||||||
| Equity Real Estate Investment Trusts (REITs) — 4.5% | ||||||||||
| 3,372 | Acadia Realty Trust | $ | 49,130 | |||||||
| 3,294 | Agree Realty Corp. | 233,149 | ||||||||
| 2,672 | Alexander & Baldwin Inc. | 49,886 | ||||||||
| 77 | Alexander’s Inc. | 16,856 | ||||||||
| 20,575 | American Assets Trust Inc. | 519,107 | ||||||||
| 11,815 | American Homes 4 Rent, Class A Shares | 366,501 | ||||||||
| 10,457 | Americold Realty Trust Inc. | 307,436 | ||||||||
| 5,700 | Apartment Income REIT Corp. | 215,460 | ||||||||
| 5,639 | Apartment Investment & Management Co., Class A Shares | 42,293 | ||||||||
| 7,964 | Apple Hospitality REIT Inc. | 131,486 | ||||||||
| 2,298 | Armada Hoffler Properties Inc. | 29,460 | ||||||||
| 1,453 | Ashford Hospitality Trust Inc.* | 7,192 | ||||||||
| 145 | Bluerock Homes Trust Inc.* | 3,116 | ||||||||
| 4,711 | Boston Properties Inc. | 308,476 | ||||||||
| 3,087 | Braemar Hotels & Resorts Inc. | 14,385 | ||||||||
| 6,768 | Brandywine Realty Trust | 39,864 | ||||||||
| 11,602 | Brixmor Property Group Inc. | 262,669 | ||||||||
| 6,453 | Broadstone Net Lease Inc., Class A Shares | 114,541 | ||||||||
| 474 | BRT Apartments Corp. | 10,035 | ||||||||
| 3,961 | Camden Property Trust | 454,564 | ||||||||
| 3,733 | CareTrust REIT Inc. | 73,428 | ||||||||
| 968 | CBL & Associates Properties Inc. | 24,732 | ||||||||
| 622 | Centerspace | 38,943 | ||||||||
| 17,683 | Chatham Lodging Trust | 215,909 | ||||||||
| 1,288 | City Office REIT Inc. | 10,897 | ||||||||
| 586 | Clipper Realty Inc. | 3,897 | ||||||||
| 927 | Community Healthcare Trust Inc. | 35,912 | ||||||||
| 4,387 | Corporate Office Properties Trust | 111,561 | ||||||||
| 5,856 | Cousins Properties Inc. | 143,413 | ||||||||
| 723 | CTO Realty Growth Inc.(a) | 12,710 | ||||||||
| 8,656 | CubeSmart | 406,745 | ||||||||
| 8,046 | DiamondRock Hospitality Co | 70,161 | ||||||||
| 10,606 | Diversified Healthcare Trust | 10,394 | ||||||||
| 6,483 | Douglas Emmett Inc. | 91,605 | ||||||||
| 3,367 | Easterly Government Properties Inc., Class A Shares | 50,842 | ||||||||
| 1,561 | EastGroup Properties Inc. | 254,865 | ||||||||
| 3,050 | Elme Communities | 56,761 | ||||||||
| 4,561 | Empire State Realty Trust Inc., Class A Shares | 33,250 | ||||||||
| 2,890 | EPR Properties | 118,028 | ||||||||
| 36,008 | Equity Commonwealth | 764,450 | ||||||||
| 6,878 | Equity LifeStyle Properties Inc. | 471,212 | ||||||||
| 5,459 | Essential Properties Realty Trust Inc. | 140,624 | ||||||||
| 2,031 | Farmland Partners Inc. | 21,772 | ||||||||
| 3,046 | Federal Realty Investment Trust | 325,252 | ||||||||
| 5,043 | First Industrial Realty Trust Inc. | 266,018 | ||||||||
| 3,096 | Four Corners Property Trust Inc. | 84,056 | ||||||||
| 3,441 | Franklin Street Properties Corp. | 8,327 | ||||||||
| 9,458 | Gaming and Leisure Properties Inc. | 509,597 | ||||||||
| 1,633 | Getty Realty Corp. | 56,061 | ||||||||
| 1,504 | Gladstone Commercial Corp. | 20,575 | ||||||||
| 1,177 | Gladstone Land Corp. | 20,715 | ||||||||
| 2,614 | Global Medical REIT Inc. | 26,297 | ||||||||
| 3,551 | Global Net Lease Inc. | 50,140 | ||||||||
| 110,380 | Healthcare Realty Trust Inc., Class A Shares | 2,152,410 | ||||||||
| 31,649 | Healthpeak Properties Inc. | 761,475 | ||||||||
See Notes to Financial Statements.
73
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||
| Shares/Units | Security | Value | ||||||||
| REAL ESTATE — 5.3% — (continued) | ||||||||||
| Equity Real Estate Investment Trusts (REITs) — 4.5% — (continued) | ||||||||||
| 1,330 | Hersha Hospitality Trust, Class A Shares | $ | 11,119 | |||||||
| 3,986 | Highwoods Properties Inc. | 105,629 | ||||||||
| 27,346 | Host Hotels & Resorts Inc. | 459,413 | ||||||||
| 5,116 | Hudson Pacific Properties Inc. | 47,221 | ||||||||
| 8,618 | Independence Realty Trust Inc. | 155,900 | ||||||||
| 182 | Indus Realty Trust Inc. | 12,108 | ||||||||
| 2,489 | Industrial Logistics Properties Trust | 10,205 | ||||||||
| 1,072 | Innovative Industrial Properties Inc., Class A Shares | 94,776 | ||||||||
| 2,620 | InvenTrust Properties Corp. | 63,378 | ||||||||
| 11,041 | Iron Mountain Inc. | 582,413 | ||||||||
| 20,574 | iStar Inc. | 158,420 | ||||||||
| 33,691 | JBG SMITH Properties | 581,170 | ||||||||
| 4,488 | Kilroy Realty Corp. | 161,658 | ||||||||
| 23,012 | Kimco Realty Corp. | 474,277 | ||||||||
| 8,114 | Kite Realty Group Trust | 176,236 | ||||||||
| 3,302 | Lamar Advertising Co., Class A Shares | 345,257 | ||||||||
| 3,208 | Life Storage Inc. | 386,628 | ||||||||
| 1,529 | LTC Properties Inc. | 54,769 | ||||||||
| 10,116 | LXP Industrial Trust | 105,510 | ||||||||
| 8,300 | Macerich Co. (The) | 99,185 | ||||||||
| 22,982 | Medical Properties Trust Inc.(a) | 236,715 | ||||||||
| 1,562 | National Health Investors Inc. | 85,910 | ||||||||
| 6,912 | National Retail Properties Inc. | 313,252 | ||||||||
| 3,288 | National Storage Affiliates Trust | 139,082 | ||||||||
| 5,680 | Necessity Retail REIT Inc. (The) | 38,965 | ||||||||
| 1,833 | NETSTREIT Corp. | 37,008 | ||||||||
| 823 | NexPoint Residential Trust Inc. | 39,858 | ||||||||
| 1,940 | Office Properties Income Trust | 31,894 | ||||||||
| 8,921 | Omega Healthcare Investors Inc.(a) | 238,994 | ||||||||
| 539 | One Liberty Properties Inc. | 12,208 | ||||||||
| 2,327 | Orion Office REIT Inc. | 19,919 | ||||||||
| 5,640 | Outfront Media Inc. | 98,418 | ||||||||
| 6,601 | Paramount Group Inc. | 34,787 | ||||||||
| 8,647 | Park Hotels & Resorts Inc. | 118,896 | ||||||||
| 4,895 | Pebblebrook Hotel Trust | 69,852 | ||||||||
| 4,600 | Phillips Edison & Co., Inc. | 156,814 | ||||||||
| 8,688 | Physicians Realty Trust | 128,843 | ||||||||
| 4,416 | Piedmont Office Realty Trust Inc., Class A Shares | 40,406 | ||||||||
| 1,414 | Plymouth Industrial REIT Inc. | 30,585 | ||||||||
| 905 | Postal Realty Trust Inc., Class A Shares | 13,240 | ||||||||
| 3,120 | PotlatchDeltic Corp. | 144,019 | ||||||||
| 5,517 | Rayonier Inc. | 185,261 | ||||||||
| 6,636 | Regency Centers Corp. | 417,404 | ||||||||
| 4,625 | Retail Opportunity Investments Corp. | 65,814 | ||||||||
| 6,971 | Rexford Industrial Realty Inc. | 421,467 | ||||||||
| 21,855 | RLJ Lodging Trust | 247,836 | ||||||||
| 2,853 | RPT Realty | 30,584 | ||||||||
| 2,009 | Ryman Hospitality Properties Inc. | 186,375 | ||||||||
| 8,941 | Sabra Health Care REIT Inc. | 106,487 | ||||||||
| 2,638 | Safehold Inc. | 78,823 | ||||||||
| 421 | Saul Centers Inc. | 16,554 | ||||||||
| 3,298 | SBA Communications Corp., Class A Shares | 855,336 | ||||||||
| 6,311 | Service Properties Trust | 69,295 | ||||||||
| 7,003 | SITE Centers Corp. | 93,630 | ||||||||
| 2,456 | SL Green Realty Corp. | 83,627 | ||||||||
See Notes to Financial Statements.
74
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| REAL ESTATE — 5.3% — (continued) | ||||||||||||
| Equity Real Estate Investment Trusts (REITs) — 4.5% — (continued) | ||||||||||||
| 32,846 | Spirit Realty Capital Inc. | $ | 1,352,598 | |||||||||
| 17,736 | STAG Industrial Inc. | 596,639 | ||||||||||
| 4,049 | Summit Hotel Properties Inc. | 29,963 | ||||||||||
| 8,222 | Sunstone Hotel Investors Inc. | 86,907 | ||||||||||
| 3,914 | Tanger Factory Outlet Centers Inc. | 73,935 | ||||||||||
| 2,764 | Terreno Realty Corp. | 171,948 | ||||||||||
| 38,119 | UMH Properties Inc. | 648,404 | ||||||||||
| 8,862 | Uniti Group Inc. | 48,652 | ||||||||||
| 455 | Universal Health Realty Income Trust | 24,124 | ||||||||||
| 4,420 | Urban Edge Properties | 68,068 | ||||||||||
| 1,056 | Urstadt Biddle Properties Inc., Class A Shares | 18,269 | ||||||||||
| 3,325 | Veris Residential Inc.* | 53,666 | ||||||||||
| 6,818 | Vornado Realty Trust | 134,860 | ||||||||||
| 1,631 | Whitestone REIT, Class B Shares | 15,413 | ||||||||||
| 4,387 | Xenia Hotels & Resorts Inc. | 61,594 | ||||||||||
|
|
|
|||||||||||
| Total Equity Real Estate Investment Trusts (REITs) | 22,977,110 | |||||||||||
|
|
|
|||||||||||
| Real Estate Management & Development — 0.8% | ||||||||||||
| 4,266 | Anywhere Real Estate Inc.* | 24,700 | ||||||||||
| 27,878 | CBRE Group Inc., Class A Shares* | 2,373,533 | ||||||||||
| 11,151 | Compass Inc., Class A Shares* | 40,255 | ||||||||||
| 5,997 | Cushman & Wakefield PLC* | 77,601 | ||||||||||
| 6,178 | DigitalBridge Group Inc. | 75,804 | ||||||||||
| 7,922 | Doma Holdings Inc.* | 4,516 | ||||||||||
| 2,639 | Douglas Elliman Inc. | 11,137 | ||||||||||
| 2,614 | eXp World Holdings Inc.(a) | 31,577 | ||||||||||
| 669 | Forestar Group Inc.* | 9,547 | ||||||||||
| 253 | FRP Holdings Inc.* | 13,826 | ||||||||||
| 1,359 | Howard Hughes Corp. (The)* | 112,960 | ||||||||||
| 1,815 | Jones Lang LaSalle Inc.* | 316,645 | ||||||||||
| 4,521 | Kennedy-Wilson Holdings Inc. | 75,546 | ||||||||||
| 946 | Marcus & Millichap Inc. | 32,514 | ||||||||||
| 5,443 | Newmark Group Inc., Class A Shares | 43,653 | ||||||||||
| 18,932 | Opendoor Technologies Inc.* | 27,262 | ||||||||||
| 623 | RE/MAX Holdings Inc., Class A Shares | 11,519 | ||||||||||
| 4,159 | Redfin Corp.* | 30,818 | ||||||||||
| 525 | RMR Group Inc. (The), Class A Shares | 14,774 | ||||||||||
| 1,230 | St Joe Co. (The) | 52,681 | ||||||||||
| 298 | Stratus Properties Inc. | 6,350 | ||||||||||
| 758 | Tejon Ranch Co.* | 14,561 | ||||||||||
| 8,794 | WeWork Inc., Class A Shares*(a) | 10,201 | ||||||||||
| 2,481 | Zillow Group Inc., Class A Shares* | 102,589 | ||||||||||
| 5,801 | Zillow Group Inc., Class C Shares* | 243,642 | ||||||||||
|
|
|
|||||||||||
| Total Real Estate Management & Development | 3,758,211 | |||||||||||
|
|
|
|||||||||||
| TOTAL REAL ESTATE | 26,735,321 | |||||||||||
|
|
|
|||||||||||
| UTILITIES — 2.5% | ||||||||||||
| Electric Utilities — 0.7% | ||||||||||||
| 19,256 | ALLETE Inc. | 1,178,275 | ||||||||||
| 4,128 | Hawaiian Electric Industries Inc. | 166,978 | ||||||||||
| 1,930 | IDACORP Inc. | 199,562 | ||||||||||
| 1,414 | MGE Energy Inc. | 100,083 | ||||||||||
| 8,926 | NRG Energy Inc. | 292,683 | ||||||||||
| 7,932 | OGE Energy Corp. | 283,331 | ||||||||||
| 1,598 | Otter Tail Corp. | 113,282 | ||||||||||
See Notes to Financial Statements.
75
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Security | Value | ||||||||||
| UTILITIES — 2.5% — (continued) | ||||||||||||
| Electric Utilities — 0.7% — (continued) | ||||||||||||
| 4,313 | Pinnacle West Capital Corp. | $ | 317,782 | |||||||||
| 3,291 | PNM Resources Inc. | 161,259 | ||||||||||
| 20,603 | Portland General Electric Co | 984,823 | ||||||||||
| 502 | Via Renewables Inc., Class A Shares | 2,942 | ||||||||||
|
|
|
|||||||||||
| Total Electric Utilities | 3,801,000 | |||||||||||
|
|
|
|||||||||||
| Gas Utilities — 0.3% | ||||||||||||
| 3,784 | Brookfield Infrastructure Corp., Class A Shares | 163,507 | ||||||||||
| 501 | Chesapeake Utilities Corp. | 64,173 | ||||||||||
| 3,413 | National Fuel Gas Co | 195,497 | ||||||||||
| 3,655 | New Jersey Resources Corp. | 186,515 | ||||||||||
| 1,335 | Northwest Natural Holding Co | 64,534 | ||||||||||
| 2,007 | ONE Gas Inc. | 160,881 | ||||||||||
| 2,610 | Southwest Gas Holdings Inc. | 164,456 | ||||||||||
| 1,986 | Spire Inc. | 139,814 | ||||||||||
| 8,135 | UGI Corp. | 302,866 | ||||||||||
|
|
|
|||||||||||
| Total Gas Utilities | 1,442,243 | |||||||||||
|
|
|
|||||||||||
| Independent Power & Renewable Electricity Producers — 0.5% | ||||||||||||
| 1,832 | Altus Power Inc., Class A Shares* | 12,403 | ||||||||||
| 4,954 | Brookfield Renewable Corp., Class A Shares | 137,969 | ||||||||||
| 1,443 | Clearway Energy Inc., Class A Shares | 42,871 | ||||||||||
| 3,094 | Clearway Energy Inc., Class C Shares | 97,183 | ||||||||||
| 2,632 | Montauk Renewables Inc.* | 25,951 | ||||||||||
| 16,136 | Ormat Technologies Inc.(a) | 1,363,815 | ||||||||||
| 3,826 | Sunnova Energy International Inc.* | 68,026 | ||||||||||
| 48,213 | Vistra Corp. | 1,060,204 | ||||||||||
|
|
|
|||||||||||
| Total Independent Power & Renewable Electricity Producers | 2,808,422 | |||||||||||
|
|
|
|||||||||||
| Multi-Utilities — 0.4% | ||||||||||||
| 18,702 | Avista Corp. | 769,026 | ||||||||||
| 2,432 | Black Hills Corp. | 149,349 | ||||||||||
| 15,630 | NiSource Inc. | 428,731 | ||||||||||
| 9,578 | NorthWestern Corp. | 553,417 | ||||||||||
| 581 | Unitil Corp. | 31,560 | ||||||||||
|
|
|
|||||||||||
| Total Multi-Utilities | 1,932,083 | |||||||||||
|
|
|
|||||||||||
| Water Utilities — 0.6% | ||||||||||||
| 1,433 | American States Water Co | 127,967 | ||||||||||
| 3,425 | American Water Works Co., Inc. | 480,802 | ||||||||||
| 334 | Artesian Resources Corp., Class A Shares | 18,814 | ||||||||||
| 10,511 | California Water Service Group | 601,650 | ||||||||||
| 8,807 | Essential Utilities Inc. | 376,763 | ||||||||||
| 619 | Global Water Resources Inc. | 8,171 | ||||||||||
| 502 | Middlesex Water Co | 38,403 | ||||||||||
| 5,752 | Pennon Group PLC, ADR | 114,901 | ||||||||||
| 734 | Pure Cycle Corp.* | 6,481 | ||||||||||
| 13,680 | SJW Group | 1,045,699 | ||||||||||
| 5,232 | United Utilities Group PLC, ADR | 128,158 | ||||||||||
| 626 | York Water Co. (The) | 27,218 | ||||||||||
|
|
|
|||||||||||
| Total Water Utilities | 2,975,027 | |||||||||||
|
|
|
|||||||||||
| TOTAL UTILITIES | 12,958,775 | |||||||||||
|
|
|
|||||||||||
| TOTAL COMMON STOCKS (Cost — $364,862,614) |
481,220,203 | |||||||||||
|
|
|
|||||||||||
See Notes to Financial Statements.
76
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Shares/Units | Rating†† | Security | Value | |||||||||
| PREFERRED STOCKS — 0.6% | ||||||||||||
| FINANCIALS — 0.6% | ||||||||||||
| Banks — 0.3% |
||||||||||||
| 10,432 | US Bancorp, 4.000%(e) | $ | 190,384 | |||||||||
| 62,355 | US Bancorp, 5.392% (3-Month USD-LIBOR + 0.600%)(a)(e)(f) | 1,298,231 | ||||||||||
|
|
|
|||||||||||
| Total Banks | 1,488,615 | |||||||||||
|
|
|
|||||||||||
| Insurance — 0.3% |
||||||||||||
| 2,312 | Hartford Financial Services Group Inc. (The), 6.000%(e) | 58,494 | ||||||||||
| 25,535 | MetLife Inc., 5.625%(a)(e) | 633,523 | ||||||||||
| 32,606 | MetLife Inc., 4.750%(a)(e) | 707,876 | ||||||||||
|
|
|
|||||||||||
| Total Insurance | 1,399,893 | |||||||||||
|
|
|
|||||||||||
| TOTAL PREFERRED STOCKS (Cost — $2,955,291) |
2,888,508 | |||||||||||
|
|
|
|||||||||||
| CLOSED END MUTUAL FUND SECURITIES — 0.2% |
||||||||||||
| FINANCIALS — 0.2% | ||||||||||||
| Capital Markets — 0.2% |
||||||||||||
| 3,962 | iShares® Core S&P Small-Capital ETF | 405,669 | ||||||||||
| 1,132 | iShares® Russell 2000 ETF, Common Class Shares(a) | 213,020 | ||||||||||
| 7,054 | iShares® Russell Mid-Capital ETF, Common Class Shares | 502,315 | ||||||||||
|
|
|
|||||||||||
| TOTAL CLOSED END MUTUAL FUND SECURITIES (Cost — $683,299) |
1,121,004 | |||||||||||
|
|
|
|||||||||||
| Face Amount/Units† |
||||||||||||
| CORPORATE BONDS & NOTES — 0.2% |
||||||||||||
| COMMUNICATION SERVICES — 0.2% |
||||||||||||
| Communications Equipment — 0.2% |
||||||||||||
| $ | 702,000 | NR | Infinera Corp., Senior Unsecured Notes, 2.500% due 3/1/27(b) | 812,538 | ||||||||
|
|
|
|||||||||||
| ENERGY — 0.0%@ |
||||||||||||
| Energy Equipment & Services — 0.0%@ |
||||||||||||
| 20,000 | D | ION Geophysical Corp., 8.000% due 12/15/25*(b)(c) | – | |||||||||
|
|
|
|||||||||||
| TOTAL CORPORATE BONDS & NOTES (Cost — $702,009) |
812,538 | |||||||||||
|
|
|
|||||||||||
| TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $369,203,213) |
486,042,253 | |||||||||||
|
|
|
|||||||||||
| SHORT-TERM INVESTMENTS (g) — 7.1% |
||||||||||||
| MONEY MARKET FUND — 3.0% |
||||||||||||
| 15,489,693 | Invesco STIT — Government & Agency Portfolio, 4.444%, Institutional Class(h) (Cost — $15,489,693) |
15,489,693 | ||||||||||
|
|
|
|||||||||||
| TIME DEPOSITS — 4.1% |
||||||||||||
| 1,465,054 | ANZ National Bank — London, 3.920% due 3/1/23 | 1,465,054 | ||||||||||
| 23,248 | CAD | BBH — Grand Cayman, 3.330% due 3/1/23 | 17,037 | |||||||||
| 8,806,972 | Citibank — New York, 3.920% due 3/1/23 | 8,806,972 | ||||||||||
| 4,918,767 | JPMorgan Chase & Co. — New York, 3.920% due 3/1/23 | 4,918,767 | ||||||||||
| 3,733,436 | Royal Bank of Canada — Toronto, 3.920% due 3/1/23 | 3,733,436 | ||||||||||
See Notes to Financial Statements.
77
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||||||||
| Face Amount† | Security | Value | ||||||||||
| TIME DEPOSITS — 4.1% — (continued) | ||||||||||||
| $ | 1,871,519 | Sumitomo Mitsui Banking Corp. — Tokyo, 3.920% due 3/1/23 | $ | 1,871,519 | ||||||||
|
|
|
|||||||||||
| TOTAL TIME DEPOSITS (Cost — $20,812,785) |
20,812,785 | |||||||||||
|
|
|
|||||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost — $36,302,478) |
36,302,478 | |||||||||||
|
|
|
|||||||||||
| TOTAL INVESTMENTS — 102.6% (Cost — $405,505,691) |
522,344,731 | |||||||||||
|
|
|
|||||||||||
| Liabilities in Excess of Other Assets — (2.6)% | (13,232,577 | ) | ||||||||||
|
|
|
|||||||||||
| TOTAL NET ASSETS — 100.0% | $ | 509,112,154 | ||||||||||
|
|
|
|||||||||||
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
| (a) | All or a portion of this security is on loan (See Note 1). |
| (b) | Illiquid security. |
| (c) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (d) | The aggregate value of restricted securities (excluding 144A holdings) at February 28, 2023, amounts to $20,795 and represents less than 0.05% of net assets. |
| (e) | Security is perpetual in nature and has no stated maturity date. |
| (f) | Variable rate security. Interest rate disclosed is that which was in effect at February 28, 2023. |
| (g) | Inclusive of all short-term holdings, including investments of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 4.1%. |
| (h) | Represents investments of collateral received from securities lending transactions. |
| # | Security that used significant unobservable inputs to determine fair value. |
At February 28, 2023, for Small-Mid Cap Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| Fund | Aggregate Cost For Federal Income Tax Purposes |
Gross Unrealized Appreciation |
Gross Unrealized (Depreciation) |
Net Unrealized Appreciation |
||||||||||||
| Small-Mid Cap Equity Fund |
$ | 405,505,691 | $ | 150,348,015 | $ | (33,507,078) | $ | 116,840,937 | ||||||||
| Abbreviations used in this schedule: | ||
| ADR | — American Depositary Receipts | |
| LIBOR | — London Interbank Offered Rate | |
| PLC | — Public Limited Company | |
| REIT | — Real Estate Investment Trust | |
See Notes to Financial Statements.
78
| Schedules of Investments |
| (unaudited) (continued) |
| Small-Mid Cap Equity Fund | ||||||
| Summary of Investments by Security Sector^ | ||||
| Industrials |
19.7 | % | ||
| Information Technology |
16.3 | |||
| Health Care |
15.0 | |||
| Financials |
13.4 | |||
| Consumer Discretionary |
8.0 | |||
| Materials |
5.4 | |||
| Real Estate |
5.3 | |||
| Consumer Staples |
4.1 | |||
| Energy |
4.0 | |||
| Utilities |
2.5 | |||
| Communication Services |
2.2 | |||
| Short-Term Investments |
4.1 | % | ||
|
|
|
|||
| Total Investments |
100.0 | %+ | ||
|
|
|
|||
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At February 28, 2023, Small-Mid Cap Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| Open Futures Contracts | Number of Contracts |
Expiration Date (Month/Year) |
Notional Amount |
Market Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| E-mini Russell 2000 Index March Futures |
16 | 3/23 | $ | 1,515,568 | $ | 1,519,280 | $ | 3,712 | ||||||||||||
| S&P MidCap 400 E-mini Index March Futures |
3 | 3/23 | 782,775 | 780,960 | (1,815 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| $ | 1,897 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
At February 28, 2023, Small-Mid Cap Equity Fund had deposited cash of $122,996 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
| Currency Abbreviation used in this schedule: | ||
| CAD | — Canadian Dollar | |
| USD | — United States Dollar | |
See Notes to Financial Statements.
79
| Schedules of Investments |
| (unaudited) (continued) |
See Notes to Financial Statements.
80
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Australia — 3.3% — (continued) | ||||||||
| 5,999 | SEEK Ltd. | $ | 97,089 | |||||
| 34,263 | Seven Group Holdings Ltd.(a) | 563,734 | ||||||
| 7,970 | Sonic Healthcare Ltd. | 172,402 | ||||||
| 83,098 | South32 Ltd. | 242,703 | ||||||
| 43,763 | Stockland, REIT | 113,045 | ||||||
| 22,399 | Suncorp Group Ltd. | 193,538 | ||||||
| 60,532 | Super Retail Group Ltd. | 527,205 | ||||||
| 67,444 | Technology One Ltd. | 673,685 | ||||||
| 72,210 | Telstra Group Ltd. | 201,954 | ||||||
| 55,201 | Transurban Group | 526,073 | ||||||
| 13,457 | Treasury Wine Estates Ltd. | 126,547 | ||||||
| 73,321 | Vicinity Ltd., REIT | 100,486 | ||||||
| 3,662 | Washington H Soul Pattinson & Co., Ltd. | 71,717 | ||||||
| 20,362 | Wesfarmers Ltd. | 659,884 | ||||||
| 62,858 | Westpac Banking Corp. | 951,568 | ||||||
| 2,590 | WiseTech Global Ltd. | 109,250 | ||||||
| 34,090 | Woodside Energy Group Ltd. | 828,065 | ||||||
| 21,794 | Woolworths Group Ltd. | 540,683 | ||||||
|
|
|
|||||||
| Total Australia | 39,391,457 | |||||||
|
|
|
|||||||
| Austria — 0.2% | ||||||||
| 61,593 | Erste Group Bank AG | 2,420,100 | ||||||
| 2,644 | OMV AG | 128,641 | ||||||
| 1,220 | Verbund AG | 105,674 | ||||||
| 2,335 | Voestalpine AG | 86,231 | ||||||
|
|
|
|||||||
| Total Austria | 2,740,646 | |||||||
|
|
|
|||||||
| Belgium — 0.8% | ||||||||
| 2,983 | Ageas SA NV | 134,807 | ||||||
| 76,783 | Anheuser-Busch InBev SA/NV | 4,655,526 | ||||||
| 465 | D’ieteren Group | 90,059 | ||||||
| 576 | Elia Group SA/NV | 75,828 | ||||||
| 1,731 | Groupe Bruxelles Lambert NV | 145,332 | ||||||
| 4,491 | KBC Group NV | 335,918 | ||||||
| 288 | Sofina SA | 71,755 | ||||||
| 1,364 | Solvay SA | 156,039 | ||||||
| 25,169 | UCB SA | 2,165,271 | ||||||
| 33,776 | Umicore SA | 1,125,485 | ||||||
| 2,771 | Warehouses de Pauw CVA, REIT | 84,673 | ||||||
|
|
|
|||||||
| Total Belgium | 9,040,693 | |||||||
|
|
|
|||||||
| Brazil — 0.2% | ||||||||
| 288,426 | B3 SA — Brasil Bolsa Balcao | 581,154 | ||||||
| 646,213 | Banco Bradesco SA, ADR(a) | 1,634,919 | ||||||
|
|
|
|||||||
| Total Brazil | 2,216,073 | |||||||
|
|
|
|||||||
| Canada — 3.2% | ||||||||
| 71,426 | Alamos Gold Inc., Class A Shares | 728,105 | ||||||
| 248,534 | Alimentation Couche-Tard Inc. | 11,658,540 | ||||||
| 21,481 | ATS Corp.* | 866,607 | ||||||
| 15,449 | AutoCanada Inc.*(a) | 330,480 | ||||||
| 57,361 | Birchcliff Energy Ltd.(a) | 352,687 | ||||||
| 18,115 | Boardwalk Real Estate Investment Trust, Class Trust Un Shares(a) | 783,649 | ||||||
| 12,955 | BRP Inc. | 1,122,472 | ||||||
| 102,828 | Canadian National Railway Co. | 11,711,186 | ||||||
| 58,901 | Celestica Inc.* | 761,002 | ||||||
| 7,866 | Descartes Systems Group Inc. (The)* | 580,143 | ||||||
See Notes to Financial Statements.
81
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Canada — 3.2% — (continued) | ||||||||
| 95,732 | Dundee Precious Metals Inc. | $ | 614,571 | |||||
| 56,650 | Element Fleet Management Corp. | 809,137 | ||||||
| 36,398 | Finning International Inc. | 923,187 | ||||||
| 115,999 | Headwater Exploration Inc.(a) | 509,204 | ||||||
| 13,261 | Laurentian Bank of Canada(a) | 335,182 | ||||||
| 2,752 | lululemon athletica Inc.* | 850,918 | ||||||
| 39,813 | NuVista Energy Ltd.* | 350,120 | ||||||
| 41,448 | Parex Resources Inc. | 675,537 | ||||||
| 16,889 | Stella-Jones Inc. | 611,175 | ||||||
| 5 | Tilray Brands Inc.* | 14 | ||||||
| 26,474 | Toronto-Dominion Bank (The) | 1,762,605 | ||||||
| 38,819 | TransAlta Corp.(a) | 314,637 | ||||||
| 49,545 | Tricon Residential Inc. | 400,848 | ||||||
| 18,889 | Vermilion Energy Inc. | 253,044 | ||||||
| 86,875 | Whitecap Resources Inc.(a) | 665,943 | ||||||
|
|
|
|||||||
| Total Canada | 37,970,993 | |||||||
|
|
|
|||||||
| Chile — 0.1% | ||||||||
| 62,252 | Antofagasta PLC | 1,174,265 | ||||||
|
|
|
|||||||
| China — 0.4% | ||||||||
| 72,640 | Alibaba Group Holding Ltd.* | 798,223 | ||||||
| 2,560,000 | Beijing Capital International Airport Co., Ltd., Class H Shares*(b) | 1,873,545 | ||||||
| 4,340 | Meituan, Class B Shares*(c) | 74,989 | ||||||
| 37,600 | Tencent Holdings Ltd. | 1,652,235 | ||||||
|
|
|
|||||||
| Total China | 4,398,992 | |||||||
|
|
|
|||||||
| Denmark — 3.1% | ||||||||
| 59 | AP Moller – Maersk AS, Class A Shares | 135,058 | ||||||
| 89 | AP Moller – Maersk AS, Class B Shares | 207,363 | ||||||
| 12,787 | Bavarian Nordic AS*(a) | 394,479 | ||||||
| 1,748 | Carlsberg AS, Class B Shares | 246,931 | ||||||
| 50,820 | Chr Hansen Holding AS | 3,520,915 | ||||||
| 41,733 | Coloplast AS, Class B Shares | 4,820,279 | ||||||
| 12,384 | Danske Bank AS | 287,523 | ||||||
| 1,484 | Demant AS* | 44,404 | ||||||
| 3,361 | DSV AS | 610,764 | ||||||
| 1,182 | Genmab AS* | 444,517 | ||||||
| 22,342 | ISS AS* | 486,734 | ||||||
| 9,913 | Jyske Bank AS, Class Registered Shares* | 830,700 | ||||||
| 122,247 | Novo Nordisk AS, Class B Shares | 17,300,204 | ||||||
| 75,442 | Novozymes AS, Class B Shares | 3,632,951 | ||||||
| 3,396 | Orsted AS(c) | 294,947 | ||||||
| 6,011 | Pandora AS | 568,659 | ||||||
| 172 | Rockwool AS, Class B Shares | 39,138 | ||||||
| 6,727 | Tryg AS | 148,895 | ||||||
| 105,947 | Vestas Wind Systems AS | 3,014,850 | ||||||
|
|
|
|||||||
| Total Denmark | 37,029,311 | |||||||
|
|
|
|||||||
| Finland — 0.9% | ||||||||
| 2,633 | Elisa OYJ | 149,489 | ||||||
| 8,450 | Fortum OYJ | 128,608 | ||||||
| 4,838 | Kesko OYJ, Class B Shares | 105,207 | ||||||
| 109,302 | Kone OYJ, Class B Shares | 5,664,592 | ||||||
| 16,295 | Konecranes OYJ, Class A Shares | 553,886 | ||||||
| 11,931 | Metso Outotec OYJ | 127,192 | ||||||
| 7,596 | Neste OYJ | 365,956 | ||||||
See Notes to Financial Statements.
82
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Finland — 0.9% — (continued) | ||||||||
| 97,156 | Nokia OYJ | $ | 448,863 | |||||
| 60,360 | Nordea Bank Abp | 764,177 | ||||||
| 1,888 | Orion OYJ, Class B Shares | 88,910 | ||||||
| 8,613 | Sampo OYJ, Class A Shares | 419,018 | ||||||
| 10,291 | Stora Enso OYJ, Class R Shares | 145,506 | ||||||
| 19,991 | TietoEVRY OYJ | 634,475 | ||||||
| 9,583 | UPM-Kymmene OYJ | 347,550 | ||||||
| 27,671 | Valmet OYJ | 913,243 | ||||||
| 7,967 | Wartsila OYJ Abp | 76,976 | ||||||
|
|
|
|||||||
| Total Finland | 10,933,648 | |||||||
|
|
|
|||||||
| France — 12.1% | ||||||||
| 15,341 | Accor SA* | 510,304 | ||||||
| 514 | Aeroports de Paris* | 74,502 | ||||||
| 75,451 | Air Liquide SA | 11,994,157 | ||||||
| 10,613 | Airbus SE | 1,390,786 | ||||||
| 301,577 | Alstom SA(a) | 8,854,101 | ||||||
| 998 | Amundi SA(c) | 65,742 | ||||||
| 8,056 | Arkema SA | 817,269 | ||||||
| 263,991 | AXA SA | 8,322,642 | ||||||
| 694 | BioMerieux | 67,935 | ||||||
| 51,210 | BNP Paribas SA | 3,580,579 | ||||||
| 15,448 | Bollore SE | 86,382 | ||||||
| 4,240 | Bouygues SA | 143,616 | ||||||
| 5,441 | Bureau Veritas SA | 155,534 | ||||||
| 2,940 | Capgemini SE | 552,207 | ||||||
| 272,600 | Carrefour SA | 5,384,923 | ||||||
| 8,870 | Cie de Saint-Gobain | 527,104 | ||||||
| 12,180 | Cie Generale des Etablissements Michelin SCA | 382,639 | ||||||
| 959 | Covivio, REIT | 61,461 | ||||||
| 21,731 | Credit Agricole SA | 265,514 | ||||||
| 179,492 | Danone SA | 10,105,800 | ||||||
| 426 | Dassault Aviation SA | 73,273 | ||||||
| 120,967 | Dassault Systemes SE | 4,671,132 | ||||||
| 15,102 | Edenred | 851,225 | ||||||
| 10,524 | Eiffage SA | 1,157,123 | ||||||
| 39,231 | Elis SA | 704,883 | ||||||
| 32,792 | Engie SA | 478,479 | ||||||
| 14,708 | EssilorLuxottica SA | 2,554,014 | ||||||
| 816 | Eurazeo SE | 54,950 | ||||||
| 804 | Gecina SA, REIT | 92,687 | ||||||
| 8,198 | Getlink SE | 137,920 | ||||||
| 2,239 | Hermes International | 4,049,901 | ||||||
| 4,433 | Ipsen SA | 506,584 | ||||||
| 3,859 | Kering SA | 2,257,134 | ||||||
| 38,892 | Klepierre SA, REIT* | 971,772 | ||||||
| 10,773 | La Francaise des Jeux SAEM(c) | 425,758 | ||||||
| 18,967 | Legrand SA | 1,750,999 | ||||||
| 18,136 | L’Oréal SA | 7,177,230 | ||||||
| 14,186 | LVMH Moët Hennessy Louis Vuitton SE | 11,809,295 | ||||||
| 5,316 | Nexans SA | 512,939 | ||||||
| 15,629 | Nexity SA | 414,957 | ||||||
| 35,819 | Orange SA | 408,721 | ||||||
| 22,913 | Pernod Ricard SA | 4,787,239 | ||||||
| 4,102 | Publicis Groupe SA | 325,664 | ||||||
| 455 | Remy Cointreau SA | 80,014 | ||||||
See Notes to Financial Statements.
83
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| France — 12.1% — (continued) | ||||||||
| 14,414 | Renault SA* | $ | 646,848 | |||||
| 35,690 | Rexel SA | 886,791 | ||||||
| 6,136 | Safran SA | 868,747 | ||||||
| 120,691 | Sanofi | 11,300,080 | ||||||
| 483 | Sartorius Stedim Biotech | 157,211 | ||||||
| 30,750 | Schneider Electric SE | 4,931,497 | ||||||
| 395 | SEB SA | 45,633 | ||||||
| 14,496 | Societe Generale SA | 418,628 | ||||||
| 1,651 | Sodexo SA | 153,145 | ||||||
| 3,311 | SOITEC* | 493,346 | ||||||
| 4,676 | Sopra Steria Group SACA | 924,193 | ||||||
| 26,147 | SPIE SA | 717,113 | ||||||
| 22,062 | Technip Energies NV | 426,714 | ||||||
| 1,061 | Teleperformance | 275,371 | ||||||
| 1,916 | Thales SA | 267,690 | ||||||
| 208,225 | TotalEnergies SE | 12,878,749 | ||||||
| 2,224 | Unibail - Rodamco-Westfield, REIT*(a) | 140,200 | ||||||
| 87,479 | Valeo | 1,824,369 | ||||||
| 58,616 | Vallourec SA*(a) | 833,781 | ||||||
| 11,949 | Veolia Environnement SA | 357,086 | ||||||
| 52,909 | Vinci SA | 6,027,983 | ||||||
| 54,335 | Vivendi SE | 559,220 | ||||||
| 427 | Wendel SE | 48,449 | ||||||
| 4,246 | Worldline SA*(c) | 177,276 | ||||||
|
|
|
|||||||
| Total France | 144,957,210 | |||||||
|
|
|
|||||||
| Germany — 7.3% | ||||||||
| 27,215 | adidas AG | 4,073,895 | ||||||
| 24,758 | AIXTRON SE | 761,302 | ||||||
| 7,333 | Allianz SE, Class Registered Shares | 1,722,527 | ||||||
| 6,515 | Aurubis AG | 639,493 | ||||||
| 16,490 | BASF SE | 844,468 | ||||||
| 119,661 | Bayer AG, Class Registered Shares | 7,122,242 | ||||||
| 28,266 | Bayerische Motoren Werke AG | 2,921,394 | ||||||
| 18,842 | Bechtle AG | 795,967 | ||||||
| 1,803 | Beiersdorf AG | 215,450 | ||||||
| 2,727 | Brenntag SE | 205,907 | ||||||
| 766 | Carl Zeiss Meditec AG | 102,391 | ||||||
| 19,864 | Commerzbank AG* | 242,018 | ||||||
| 1,992 | Continental AG | 143,188 | ||||||
| 3,469 | Covestro AG(c) | 152,748 | ||||||
| 8,430 | CTS Eventim AG & Co. KGaA* | 554,510 | ||||||
| 8,126 | Daimler Truck Holding AG* | 257,806 | ||||||
| 3,145 | Delivery Hero SE*(c) | 127,001 | ||||||
| 37,106 | Deutsche Bank AG, Class Registered Shares | 462,927 | ||||||
| 3,411 | Deutsche Boerse AG | 595,142 | ||||||
| 10,489 | Deutsche Lufthansa AG, Class Registered Shares* | 108,948 | ||||||
| 60,365 | Deutsche Pfandbriefbank AG(c) | 597,714 | ||||||
| 17,797 | Deutsche Post AG, Class Registered Shares | 755,131 | ||||||
| 383,362 | Deutsche Telekom AG, Class Registered Shares | 8,608,235 | ||||||
| 40,308 | E.ON SE | 440,474 | ||||||
| 22,168 | Encavis AG | 434,611 | ||||||
| 3,574 | Evonik Industries AG | 76,420 | ||||||
| 7,164 | Fraport AG Frankfurt Airport Services Worldwide* | 388,436 | ||||||
| 25,523 | Freenet AG | 637,057 | ||||||
| 3,739 | Fresenius Medical Care AG & Co. KGaA | 145,959 | ||||||
See Notes to Financial Statements.
84
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Germany — 7.3% — (continued) | ||||||||
| 7,570 | Fresenius SE & Co. KGaA | $ | 208,334 | |||||
| 19,453 | GEA Group AG | 856,152 | ||||||
| 9,799 | Gerresheimer AG | 861,738 | ||||||
| 1,080 | Hannover Rueck SE | 210,057 | ||||||
| 2,518 | HeidelbergCement AG | 173,428 | ||||||
| 3,095 | HelloFresh SE* | 69,556 | ||||||
| 1,895 | Henkel AG & Co. KGaA | 131,168 | ||||||
| 10,238 | HUGO BOSS AG | 700,933 | ||||||
| 101,029 | Infineon Technologies AG | 3,580,672 | ||||||
| 1,195 | Knorr-Bremse AG | 81,370 | ||||||
| 10,801 | Lanxess AG | 503,814 | ||||||
| 1,410 | LEG Immobilien SE | 102,480 | ||||||
| 14,406 | Mercedes-Benz Group AG | 1,106,707 | ||||||
| 34,980 | Merck KGaA | 6,633,274 | ||||||
| 955 | MTU Aero Engines AG | 230,764 | ||||||
| 2,515 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Class Registered Shares | 867,361 | ||||||
| 1,101 | Nemetschek SE | 62,517 | ||||||
| 1,866 | Puma SE | 119,204 | ||||||
| 103 | Rational AG | 68,385 | ||||||
| 3,306 | Rheinmetall AG | 840,867 | ||||||
| 131,735 | RWE AG | 5,598,982 | ||||||
| 189,222 | SAP SE | 21,505,239 | ||||||
| 1,494 | Scout24 SE(c) | 82,028 | ||||||
| 35,061 | Siemens AG, Class Registered Shares | 5,366,108 | ||||||
| 8,142 | Siemens Energy AG* | 163,223 | ||||||
| 5,063 | Siemens Healthineers AG(c) | 264,380 | ||||||
| 2,384 | Symrise AG, Class A Shares | 244,122 | ||||||
| 50,334 | TAG Immobilien AG | 400,698 | ||||||
| 17,015 | Telefonica Deutschland Holding AG | 51,657 | ||||||
| 19,315 | United Internet AG, Class Registered Shares | 423,244 | ||||||
| 5,134 | VERBIO Vereinigte BioEnergie AG | 258,429 | ||||||
| 8,349 | Vitesco Technologies Group AG* | 580,215 | ||||||
| 527 | Volkswagen AG | 94,071 | ||||||
| 12,860 | Vonovia SE | 324,363 | ||||||
| 21,344 | Zalando SE*(c) | 848,833 | ||||||
|
|
|
|||||||
| Total Germany | 87,747,734 | |||||||
|
|
|
|||||||
| Hong Kong — 2.5% | ||||||||
| 1,042,600 | AIA Group Ltd. | 11,046,506 | ||||||
| 45,600 | ASMPT Ltd. | 389,384 | ||||||
| 586,000 | BOC Hong Kong Holdings Ltd. | 1,986,973 | ||||||
| 30,400 | Budweiser Brewing Co. APAC Ltd.(c) | 90,990 | ||||||
| 35,500 | CK Asset Holdings Ltd. | 222,461 | ||||||
| 48,000 | CK Hutchison Holdings Ltd. | 286,626 | ||||||
| 11,500 | CK Infrastructure Holdings Ltd. | 60,635 | ||||||
| 515,000 | CLP Holdings Ltd. | 3,644,070 | ||||||
| 34,200 | ESR Group Ltd.(c) | 58,097 | ||||||
| 988 | Futu Holdings Ltd., ADR*(a) | 48,619 | ||||||
| 40,000 | Galaxy Entertainment Group Ltd. | 265,865 | ||||||
| 1,261,000 | Hang Lung Properties Ltd. | 2,432,307 | ||||||
| 13,700 | Hang Seng Bank Ltd. | 222,713 | ||||||
| 24,894 | Henderson Land Development Co., Ltd. | 87,352 | ||||||
| 72,000 | HKT Trust & HKT Ltd., Class Miscella Shares | 93,547 | ||||||
| 199,380 | Hong Kong & China Gas Co., Ltd. | 187,406 | ||||||
| 21,599 | Hong Kong Exchanges & Clearing Ltd. | 865,840 | ||||||
| 20,100 | Hongkong Land Holdings Ltd. | 91,840 | ||||||
See Notes to Financial Statements.
85
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Hong Kong — 2.5% — (continued) | ||||||||
| 142,000 | Hysan Development Co., Ltd.(a) | $ | 449,406 | |||||
| 73,500 | Jardine Matheson Holdings Ltd. | 3,638,806 | ||||||
| 37,900 | Link REIT(d) | 249,031 | ||||||
| 37,119 | Melco Resorts & Entertainment Ltd., ADR* | 474,381 | ||||||
| 28,500 | MTR Corp., Ltd. | 143,573 | ||||||
| 25,669 | New World Development Co., Ltd. | 69,787 | ||||||
| 1,231,000 | Pacific Basin Shipping Ltd. | 446,760 | ||||||
| 26,500 | Power Assets Holdings Ltd. | 141,769 | ||||||
| 68,646 | Sino Land Co., Ltd. | 87,938 | ||||||
| 21,000 | SITC International Holdings Co., Ltd. | 43,863 | ||||||
| 26,000 | Sun Hung Kai Properties Ltd. | 354,993 | ||||||
| 10,000 | Swire Pacific Ltd., Class A Shares | 81,600 | ||||||
| 19,800 | Swire Properties Ltd. | 52,076 | ||||||
| 102,000 | Techtronic Industries Co., Ltd.(e) | 1,008,579 | ||||||
| 488,000 | United Laboratories International Holdings Ltd. (The) | 292,209 | ||||||
| 146,500 | WH Group Ltd.(c) | 85,071 | ||||||
| 31,000 | Wharf Real Estate Investment Co., Ltd. | 169,761 | ||||||
| 31,000 | Xinyi Glass Holdings Ltd. | 57,991 | ||||||
|
|
|
|||||||
| Total Hong Kong | 29,928,825 | |||||||
|
|
|
|||||||
| India — 0.2% | ||||||||
| 93,285 | HDFC Bank Ltd. | 1,808,115 | ||||||
|
|
|
|||||||
| Indonesia — 0.1% | ||||||||
| 2,022,000 | Bank Central Asia Tbk PT | 1,159,989 | ||||||
|
|
|
|||||||
| Ireland — 1.6% | ||||||||
| 2,349 | AerCap Holdings NV* | 146,672 | ||||||
| 18,111 | AIB Group PLC | 77,483 | ||||||
| 154,835 | Bank of Ireland Group PLC | 1,706,343 | ||||||
| 13,555 | CRH PLC | 636,812 | ||||||
| 113,077 | Dalata Hotel Group PLC* | 513,787 | ||||||
| 1,738 | DCC PLC | 96,465 | ||||||
| 167,528 | Experian PLC | 5,639,812 | ||||||
| 2,999 | Flutter Entertainment PLC* | 482,770 | ||||||
| 46,626 | Glanbia PLC | 577,440 | ||||||
| 8,354 | James Hardie Industries PLC, CDI | 173,819 | ||||||
| 2,859 | Kerry Group PLC, Class A Shares | 273,574 | ||||||
| 2,705 | Kingspan Group PLC | 176,019 | ||||||
| 94,378 | Ryanair Holdings PLC, ADR* | 8,755,447 | ||||||
| 4,625 | Smurfit Kappa Group PLC | 172,611 | ||||||
|
|
|
|||||||
| Total Ireland | 19,429,054 | |||||||
|
|
|
|||||||
| Isle of Man — 0.0%@ | ||||||||
| 65,135 | Playtech PLC* | 440,810 | ||||||
|
|
|
|||||||
| Israel — 0.4% | ||||||||
| 673 | Azrieli Group Ltd. | 37,707 | ||||||
| 22,723 | Bank Hapoalim BM | 189,912 | ||||||
| 27,658 | Bank Leumi Le-Israel BM | 214,879 | ||||||
| 35,167 | Bezeq The Israeli Telecommunication Corp., Ltd. | 48,740 | ||||||
| 1,801 | Check Point Software Technologies Ltd.* | 222,820 | ||||||
| 708 | CyberArk Software Ltd.* | 102,497 | ||||||
| 458 | Elbit Systems Ltd. | 77,548 | ||||||
| 993 | First International Bank of Israel Ltd. (The)* | 35,191 | ||||||
| 13,469 | ICL Group Ltd. | 97,894 | ||||||
| 16,867 | Inmode Ltd.* | 595,574 | ||||||
| 1 | Isracard Ltd. | 3 | ||||||
See Notes to Financial Statements.
86
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Israel — 0.4% — (continued) | ||||||||
| 21,222 | Israel Discount Bank Ltd., Class A Shares | $ | 100,550 | |||||
| 2,934 | Mizrahi Tefahot Bank Ltd. | 87,177 | ||||||
| 1,138 | Nice Ltd.* | 235,435 | ||||||
| 5,820 | Nice Ltd., ADR*(a) | 1,207,126 | ||||||
| 35,172 | Perion Network Ltd.* | 1,186,703 | ||||||
| 20,773 | Teva Pharmaceutical Industries Ltd., ADR* | 205,861 | ||||||
| 2,052 | Tower Semiconductor Ltd.* | 83,853 | ||||||
| 1,081 | Wix.com Ltd.* | 97,863 | ||||||
|
|
|
|||||||
| Total Israel | 4,827,333 | |||||||
|
|
|
|||||||
| Italy — 3.5% | ||||||||
| 2,418 | Amplifon SpA | 69,869 | ||||||
| 19,943 | Assicurazioni Generali SpA | 394,514 | ||||||
| 166,175 | Banco BPM SpA | 724,813 | ||||||
| 26,671 | Buzzi Unicem SpA | 613,243 | ||||||
| 9,133 | Davide Campari-Milano NV | 102,306 | ||||||
| 491 | DiaSorin SpA | 59,170 | ||||||
| 2,122,321 | Enel SpA | 11,906,970 | ||||||
| 44,885 | Eni SpA | 635,238 | ||||||
| 12,163 | Ferrari NV | 3,153,876 | ||||||
| 136,596 | FinecoBank Banca Fineco SpA | 2,361,007 | ||||||
| 5,479 | Infrastrutture Wireless Italiane SpA(c) | 60,280 | ||||||
| 299,943 | Intesa Sanpaolo SpA | 812,244 | ||||||
| 218,485 | Iren SpA | 378,443 | ||||||
| 39,704 | Leonardo SpA | 446,607 | ||||||
| 10,875 | Mediobanca Banca di Credito Finanziario SpA | 116,129 | ||||||
| 3,663 | Moncler SpA | 223,172 | ||||||
| 10,618 | Nexi SpA*(c) | 85,657 | ||||||
| 9,208 | Poste Italiane SpA(c) | 99,311 | ||||||
| 4,496 | Prysmian SpA | 172,839 | ||||||
| 62,945 | Recordati Industria Chimica e Farmaceutica SpA | 2,670,272 | ||||||
| 5,999 | Reply SpA | 719,758 | ||||||
| 35,828 | Snam SpA | 175,850 | ||||||
| 187,027 | Telecom Italia SpA* | 61,001 | ||||||
| 25,109 | Terna – Rete Elettrica Nazionale | 188,683 | ||||||
| 758,147 | UniCredit SpA | 15,510,593 | ||||||
|
|
|
|||||||
| Total Italy | 41,741,845 | |||||||
|
|
|
|||||||
| Japan — 16.2% | ||||||||
| 3,400 | Advantest Corp. | 269,871 | ||||||
| 11,700 | Aeon Co., Ltd.(a) | 218,264 | ||||||
| 3,400 | AGC Inc. | 126,088 | ||||||
| 2,500 | Aisin Corp. | 68,354 | ||||||
| 8,200 | Ajinomoto Co., Inc. | 241,983 | ||||||
| 48,800 | Alps Alpine Co., Ltd. | 465,353 | ||||||
| 2,700 | ANA Holdings Inc.* | 54,729 | ||||||
| 8,200 | Asahi Group Holdings Ltd. | 290,036 | ||||||
| 3,600 | Asahi Intecc Co., Ltd. | 61,169 | ||||||
| 23,600 | Asahi Kasei Corp. | 164,625 | ||||||
| 15,800 | Asics Corp. | 399,572 | ||||||
| 33,000 | Astellas Pharma Inc. | 463,468 | ||||||
| 2,000 | Azbil Corp. | 51,888 | ||||||
| 3,500 | Bandai Namco Holdings Inc. | 216,282 | ||||||
| 14,100 | BayCurrent Consulting Inc. | 553,683 | ||||||
| 76,400 | Bridgestone Corp. | 2,931,763 | ||||||
| 4,700 | Brother Industries Ltd. | 69,139 | ||||||
See Notes to Financial Statements.
87
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||
| Shares/Units | Security | Value | ||||
| Japan — 16.2% — (continued) | ||||||
| 18,000 | Canon Inc. | $ | 386,927 | |||
| 3,000 | Capcom Co., Ltd. | 94,536 | ||||
| 2,700 | Central Japan Railway Co. | 302,986 | ||||
| 8,900 | Chiba Bank Ltd. (The) | 65,159 | ||||
| 11,600 | Chubu Electric Power Co., Inc. | 120,356 | ||||
| 12,100 | Chugai Pharmaceutical Co., Ltd. | 301,614 | ||||
| 30,100 | CKD Corp. | 465,095 | ||||
| 21,900 | Concordia Financial Group Ltd. | 94,087 | ||||
| 31,500 | Credit Saison Co., Ltd. | 429,384 | ||||
| 7,700 | CyberAgent Inc. | 65,756 | ||||
| 3,800 | Dai Nippon Printing Co., Ltd. | 102,279 | ||||
| 16,800 | Daido Steel Co., Ltd.(a) | 658,881 | ||||
| 1,700 | Daifuku Co., Ltd. | 92,521 | ||||
| 14,500 | Daihen Corp. | 456,235 | ||||
| 17,600 | Dai-ichi Life Holdings Inc. | 375,343 | ||||
| 31,500 | Daiichi Sankyo Co., Ltd. | 990,836 | ||||
| 48,300 | Daikin Industries Ltd. | 8,280,579 | ||||
| 1,100 | Daito Trust Construction Co., Ltd. | 103,587 | ||||
| 10,800 | Daiwa House Industry Co., Ltd. | 249,300 | ||||
| 38 | Daiwa House REIT Investment Corp., Class A Shares | 78,432 | ||||
| 24,400 | Daiwa Securities Group Inc. | 116,665 | ||||
| 7,800 | Denso Corp. | 414,665 | ||||
| 4,000 | Dentsu Group Inc. | 128,374 | ||||
| 5,900 | Disco Corp.(a) | 1,850,034 | ||||
| 5,400 | East Japan Railway Co. | 273,441 | ||||
| 11,800 | Ebara Corp. | 501,744 | ||||
| 28,500 | Eiken Chemical Co., Ltd. | 326,741 | ||||
| 4,500 | Eisai Co., Ltd. | 242,802 | ||||
| 54,150 | ENEOS Holdings Inc. | 187,048 | ||||
| 89,000 | FANUC Corp. | 15,114,900 | ||||
| 3,300 | Fast Retailing Co., Ltd.(a) | 651,931 | ||||
| 2,200 | Fuji Electric Co., Ltd. | 85,307 | ||||
| 8,500 | Fuji Soft Inc. | 501,281 | ||||
| 24,400 | FUJIFILM Holdings Corp. | 1,138,402 | ||||
| 79,300 | Fujikura Ltd. | 562,610 | ||||
| 3,700 | Fujitsu Ltd. | 476,075 | ||||
| 20,900 | FULLCAST Holdings Co., Ltd. | 387,415 | ||||
| 5,800 | Fuyo General Lease Co., Ltd. | 399,581 | ||||
| 72 | GLP J-REIT | 75,724 | ||||
| 700 | GMO Payment Gateway Inc. | 57,333 | ||||
| 3,900 | Goldwin Inc. | 338,430 | ||||
| 24,800 | H.U. Group Holdings Inc. | 488,155 | ||||
| 4,700 | Hakuhodo DY Holdings Inc. | 52,284 | ||||
| 2,400 | Hamamatsu Photonics KK | 118,035 | ||||
| 4,200 | Hankyu Hanshin Holdings Inc. | 119,314 | ||||
| 400 | Hikari Tsushin Inc. | 57,936 | ||||
| 645 | Hirose Electric Co., Ltd. | 78,870 | ||||
| 1,700 | Hitachi Construction Machinery Co., Ltd. | 38,016 | ||||
| 17,400 | Hitachi Ltd. | 880,433 | ||||
| 29,300 | Honda Motor Co., Ltd. | 759,514 | ||||
| 1,800 | Hoshizaki Corp. | 63,798 | ||||
| 51,600 | Hoya Corp. | 5,104,197 | ||||
| 6,200 | Hulic Co., Ltd. | 49,401 | ||||
| 2,100 | Ibiden Co., Ltd. | 71,805 | ||||
| 3,637 | Idemitsu Kosan Co., Ltd. | 80,764 | ||||
| 2,600 | Iida Group Holdings Co., Ltd. | 43,088 | ||||
See Notes to Financial Statements.
88
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||
| Shares/Units | Security | Value | ||||
| Japan — 16.2% — (continued) | ||||||
| 64,900 | INFRONEER Holdings Inc. | $ | 492,397 | |||
| 18,500 | Inpex Corp. | 193,209 | ||||
| 54,800 | Internet Initiative Japan Inc. | 1,095,926 | ||||
| 1,128 | Invincible Investment Corp., REIT | 454,519 | ||||
| 10,800 | Isuzu Motors Ltd. | 129,208 | ||||
| 21,300 | ITOCHU Corp. | 636,527 | ||||
| 2,000 | Itochu Techno-Solutions Corp. | 44,423 | ||||
| 57,500 | J Front Retailing Co., Ltd.(a) | 533,167 | ||||
| 2,800 | Japan Airlines Co., Ltd.* | 52,630 | ||||
| 9,000 | Japan Exchange Group Inc. | 134,088 | ||||
| 124 | Japan Metropolitan Fund Invest, REIT | 93,078 | ||||
| 6,700 | Japan Post Bank Co., Ltd.(a) | 57,896 | ||||
| 42,700 | Japan Post Holdings Co., Ltd. | 379,491 | ||||
| 3,300 | Japan Post Insurance Co., Ltd. | 57,251 | ||||
| 22 | Japan Real Estate Investment Corp., REIT | 91,279 | ||||
| 21,500 | Japan Tobacco Inc. | 437,111 | ||||
| 9,100 | Jeol Ltd.(a) | 283,338 | ||||
| 9,000 | JFE Holdings Inc. | 111,857 | ||||
| 30,000 | JGC Holdings Corp. | 384,799 | ||||
| 3,000 | JSR Corp. | 68,185 | ||||
| 7,400 | Kajima Corp. | 88,429 | ||||
| 22,300 | Kaneka Corp | 560,119 | ||||
| 12,900 | Kansai Electric Power Co., Inc. (The) | 121,258 | ||||
| 8,500 | Kao Corp. | 317,847 | ||||
| 109,400 | KDDI Corp. | 3,202,829 | ||||
| 1,700 | Keio Corp. | 59,337 | ||||
| 2,500 | Keisei Electric Railway Co., Ltd. | 72,363 | ||||
| 150 | Kenedix Office Investment Corp., REIT, Class A Shares | 351,999 | ||||
| 24,000 | Keyence Corp. | 10,342,500 | ||||
| 2,500 | Kikkoman Corp. | 117,017 | ||||
| 3,100 | Kintetsu Group Holdings Co., Ltd. | 93,817 | ||||
| 14,800 | Kirin Holdings Co., Ltd. | 221,639 | ||||
| 800 | Kobayashi Pharmaceutical Co., Ltd. | 48,120 | ||||
| 2,800 | Kobe Bussan Co., Ltd. | 76,448 | ||||
| 2,000 | Koei Tecmo Holdings Co., Ltd. | 33,474 | ||||
| 4,200 | Koito Manufacturing Co., Ltd. | 70,541 | ||||
| 16,600 | Komatsu Ltd. | 396,808 | ||||
| 18,400 | Komeri Co., Ltd. | 358,132 | ||||
| 1,600 | Konami Group Corp. | 70,622 | ||||
| 103,100 | Konica Minolta Inc.(a) | 449,825 | ||||
| 600 | Kose Corp. | 67,697 | ||||
| 101,000 | Kubota Corp. | 1,524,664 | ||||
| 2,000 | Kurita Water Industries Ltd. | 90,740 | ||||
| 5,800 | Kyocera Corp. | 287,022 | ||||
| 5,100 | Kyowa Kirin Co., Ltd. | 109,052 | ||||
| 1,400 | Lasertec Corp. | 227,778 | ||||
| 5,300 | Lixil Corp. | 84,352 | ||||
| 7,900 | M3 Inc. | 187,870 | ||||
| 33,400 | Makita Corp. | 817,713 | ||||
| 27,800 | Marubeni Corp. | 355,264 | ||||
| 2,100 | MatsukiyoCocokara & Co. | 97,639 | ||||
| 9,700 | Mazda Motor Corp. | 87,053 | ||||
| 1,500 | McDonald’s Holdings Co. Japan Ltd. | 59,385 | ||||
| 188,800 | Mebuki Financial Group Inc. | 507,714 | ||||
| 2,100 | MEIJI Holdings Co., Ltd. | 96,187 | ||||
| 6,900 | MINEBEA MITSUMI Inc. | 119,681 | ||||
See Notes to Financial Statements.
89
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||
| Shares/Units | Security | Value | ||||
| Japan — 16.2% — (continued) | ||||||
| 165,100 | MISUMI Group Inc. | $ | 3,928,046 | |||
| 23,100 | Mitsubishi Chemical Group Corp. | 134,536 | ||||
| 22,700 | Mitsubishi Corp. | 771,739 | ||||
| 34,700 | Mitsubishi Electric Corp. | 389,611 | ||||
| 21,200 | Mitsubishi Estate Co., Ltd. | 263,564 | ||||
| 11,100 | Mitsubishi HC Capital Inc. | 57,978 | ||||
| 5,700 | Mitsubishi Heavy Industries Ltd. | 209,951 | ||||
| 214,600 | Mitsubishi UFJ Financial Group Inc.(a) | 1,523,114 | ||||
| 25,700 | Mitsui & Co., Ltd. | 723,098 | ||||
| 3,100 | Mitsui Chemicals Inc. | 74,503 | ||||
| 16,300 | Mitsui Fudosan Co., Ltd. | 310,656 | ||||
| 6,300 | Mitsui OSK Lines Ltd.(a) | 164,723 | ||||
| 43,290 | Mizuho Financial Group Inc.(a) | 674,917 | ||||
| 4,800 | MonotaRO Co., Ltd. | 65,242 | ||||
| 9,000 | Morinaga Milk Industry Co., Ltd. | 305,535 | ||||
| 8,000 | MS&AD Insurance Group Holdings Inc. | 261,094 | ||||
| 238,400 | Murata Manufacturing Co., Ltd. | 12,882,735 | ||||
| 52,800 | Nabtesco Corp. | 1,364,905 | ||||
| 4,300 | NEC Corp. | 153,953 | ||||
| 16,800 | NET One Systems Co., Ltd. | 382,922 | ||||
| 8,500 | Nexon Co., Ltd. | 183,473 | ||||
| 17,900 | Nextage Co., Ltd.(a) | 402,271 | ||||
| 4,100 | NGK Insulators Ltd. | 54,549 | ||||
| 42,900 | Nichicon Corp. | 425,013 | ||||
| 8,000 | Nidec Corp. | 407,381 | ||||
| 5,800 | Nihon M&A Center Holdings Inc. | 48,270 | ||||
| 19,800 | Nintendo Co., Ltd. | 741,569 | ||||
| 86 | Nippon Accommodations Fund Inc., REIT, Class A Shares(a) | 383,757 | ||||
| 27 | Nippon Building Fund Inc., REIT | 113,924 | ||||
| 1,300 | Nippon Express Holdings Inc. | 72,563 | ||||
| 15,800 | Nippon Paint Holdings Co., Ltd. | 139,237 | ||||
| 36 | Nippon Prologis REIT Inc. | 76,962 | ||||
| 3,200 | Nippon Sanso Holdings Corp. | 56,952 | ||||
| 800 | Nippon Shinyaku Co., Ltd. | 35,840 | ||||
| 14,500 | Nippon Steel Corp. | 322,548 | ||||
| 21,500 | Nippon Telegraph & Telephone Corp. | 623,292 | ||||
| 8,600 | Nippon Yusen KK(a) | 223,088 | ||||
| 2,400 | Nissan Chemical Corp. | 105,400 | ||||
| 43,100 | Nissan Motor Co., Ltd. | 166,999 | ||||
| 4,100 | Nisshin Seifun Group Inc. | 47,399 | ||||
| 1,100 | Nissin Foods Holdings Co., Ltd. | 91,619 | ||||
| 92,600 | Nissui Corp. | 371,337 | ||||
| 1,500 | Nitori Holdings Co., Ltd. | 169,390 | ||||
| 2,600 | Nitto Denko Corp. | 156,574 | ||||
| 51,500 | Nomura Holdings Inc. | 212,261 | ||||
| 2,100 | Nomura Real Estate Holdings Inc. | 46,692 | ||||
| 75 | Nomura Real Estate Master Fund Inc., REIT | 83,245 | ||||
| 6,880 | Nomura Research Institute Ltd. | 153,642 | ||||
| 11,700 | NTT Data Corp. | 162,034 | ||||
| 11,300 | Obayashi Corp. | 83,576 | ||||
| 16,300 | Obic Co., Ltd. | 2,383,581 | ||||
| 5,700 | Odakyu Electric Railway Co., Ltd. | 69,058 | ||||
| 16,300 | Oji Holdings Corp. | 66,205 | ||||
| 21,900 | Olympus Corp. | 368,953 | ||||
| 3,500 | Omron Corp. | 188,793 | ||||
| 6,300 | Ono Pharmaceutical Co., Ltd. | 128,516 | ||||
See Notes to Financial Statements.
90
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||
| Shares/Units | Security | Value | ||||
| Japan — 16.2% — (continued) | ||||||
| 1,300 | Open House Group Co., Ltd. | $ | 46,781 | |||
| 800 | Oracle Corp. Japan | 54,554 | ||||
| 17,200 | Organo Corp.(a) | 429,484 | ||||
| 3,600 | Oriental Land Co., Ltd. | 575,220 | ||||
| 21,500 | ORIX Corp. | 384,835 | ||||
| 6,900 | Osaka Gas Co., Ltd. | 112,143 | ||||
| 1,800 | Otsuka Corp. | 60,718 | ||||
| 7,000 | Otsuka Holdings Co., Ltd. | 212,534 | ||||
| 7,200 | Pan Pacific International Holdings Corp. | 131,338 | ||||
| 39,700 | Panasonic Holdings Corp. | 346,087 | ||||
| 3,000 | Persol Holdings Co., Ltd. | 60,081 | ||||
| 16,600 | Rakuten Group Inc. | 81,733 | ||||
| 54,600 | Recruit Holdings Co., Ltd. | 1,473,479 | ||||
| 20,800 | Renesas Electronics Corp.* | 270,988 | ||||
| 103,000 | Rengo Co., Ltd. | 668,297 | ||||
| 38,200 | Resona Holdings Inc. | 210,411 | ||||
| 32,500 | Resorttrust Inc. | 507,272 | ||||
| 10,000 | RiCoh Co., Ltd. | 77,702 | ||||
| 3,400 | Rinnai Corp. | 238,105 | ||||
| 1,600 | Rohm Co., Ltd. | 123,139 | ||||
| 13,600 | Sankyo Co., Ltd. | 554,040 | ||||
| 13,000 | Sankyu Inc. | 478,332 | ||||
| 50,200 | Sanwa Holdings Corp. | 529,428 | ||||
| 11,800 | Sawai Group Holdings Co., Ltd. | 326,729 | ||||
| 4,800 | SBI Holdings Inc. | 103,530 | ||||
| 2,500 | SCSK Corp. | 36,353 | ||||
| 3,700 | Secom Co., Ltd. | 215,310 | ||||
| 4,700 | Seiko Epson Corp.(a) | 64,660 | ||||
| 102,900 | Sekisui Chemical Co., Ltd. | 1,379,226 | ||||
| 10,900 | Sekisui House Ltd. | 206,508 | ||||
| 13,500 | Seven & i Holdings Co., Ltd. | 603,822 | ||||
| 5,000 | SG Holdings Co., Ltd. | 72,070 | ||||
| 5,000 | Sharp Corp. | 34,320 | ||||
| 65,000 | Shimadzu Corp. | 1,885,200 | ||||
| 5,600 | Shimamura Co., Ltd. | 522,985 | ||||
| 1,300 | Shimano Inc. | 201,945 | ||||
| 10,400 | Shimizu Corp. | 56,143 | ||||
| 39,300 | Shin-Etsu Chemical Co., Ltd. | 5,526,826 | ||||
| 32,300 | Shinko Electric Industries Co., Ltd.(a) | 882,747 | ||||
| 4,700 | Shionogi & Co., Ltd. | 209,145 | ||||
| 7,200 | Shiseido Co., Ltd. | 330,245 | ||||
| 7,500 | Shizuoka Financial Group Inc. | 59,948 | ||||
| 14,500 | SMC Corp. | 7,337,266 | ||||
| 51,600 | Softbank Corp. | 582,703 | ||||
| 21,700 | SoftBank Group Corp. | 882,005 | ||||
| 5,600 | Sompo Holdings Inc. | 239,621 | ||||
| 58,500 | Sony Group Corp. | 4,879,131 | ||||
| 1,700 | Square Enix Holdings Co., Ltd | 75,710 | ||||
| 17,900 | Starts Corp., Inc. | 337,051 | ||||
| 10,800 | Subaru Corp. | 173,646 | ||||
| 6,700 | SUMCO Corp. | 92,857 | ||||
| 26,600 | Sumitomo Chemical Co., Ltd. | 93,626 | ||||
| 20,200 | Sumitomo Corp. | 344,628 | ||||
| 13,300 | Sumitomo Electric Industries Ltd. | 163,490 | ||||
| 20,500 | Sumitomo Forestry Co., Ltd. | 392,884 | ||||
| 4,300 | Sumitomo Metal Mining Co., Ltd. | 159,951 | ||||
See Notes to Financial Statements.
91
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Japan — 16.2% — (continued) | ||||||||
| 210,390 | Sumitomo Mitsui Financial Group Inc. | $ | 9,207,577 | |||||
| 5,900 | Sumitomo Mitsui Trust Holdings Inc. | 218,686 | ||||||
| 5,700 | Sumitomo Realty & Development Co., Ltd. | 134,589 | ||||||
| 2,400 | Suntory Beverage & Food Ltd. | 84,258 | ||||||
| 19,300 | Suzuken Co., Ltd. | 486,367 | ||||||
| 6,600 | Suzuki Motor Corp. | 232,012 | ||||||
| 75,600 | Sysmex Corp. | 4,530,854 | ||||||
| 9,900 | T&D Holdings Inc. | 149,720 | ||||||
| 3,400 | Taisei Corp. | 110,876 | ||||||
| 229,554 | Takeda Pharmaceutical Co., Ltd. | 7,066,320 | ||||||
| 21,600 | Takeuchi Manufacturing Co., Ltd. | 461,148 | ||||||
| 7,000 | TDK Corp. | 234,575 | ||||||
| 21,000 | TechnoPro Holdings Inc. | 535,713 | ||||||
| 63,300 | Terumo Corp. | 1,702,024 | ||||||
| 4,300 | TIS Inc. | 106,515 | ||||||
| 3,200 | Tobu Railway Co., Ltd. | 71,451 | ||||||
| 1,900 | Toho Co., Ltd. | 66,144 | ||||||
| 43,100 | Tokai Carbon Co., Ltd. | 420,665 | ||||||
| 99,100 | Tokio Marine Holdings Inc. | 2,103,811 | ||||||
| 27,400 | Tokyo Electric Power Co. Holdings Inc.* | 90,928 | ||||||
| 11,400 | Tokyo Electron Ltd. | 3,911,540 | ||||||
| 7,400 | Tokyo Gas Co., Ltd. | 142,839 | ||||||
| 8,300 | Tokyo Ohka Kogyo Co., Ltd. | 438,265 | ||||||
| 11,900 | Tokyo Seimitsu Co., Ltd. | 436,386 | ||||||
| 38,900 | Tokyo Tatemono Co., Ltd. | 476,556 | ||||||
| 11,600 | Tokyotokeiba Co., Ltd. | 322,040 | ||||||
| 10,100 | Tokyu Corp. | 121,509 | ||||||
| 4,400 | Toppan Inc. | 79,594 | ||||||
| 24,900 | Toray Industries Inc. | 142,498 | ||||||
| 7,000 | Toshiba Corp. | 216,473 | ||||||
| 5,300 | Tosoh Corp. | 72,091 | ||||||
| 2,400 | TOTO Ltd. | 80,231 | ||||||
| 10,200 | Toyo Suisan Kaisha Ltd. | 411,930 | ||||||
| 39,400 | Toyo Tire Corp. | 466,457 | ||||||
| 2,700 | Toyota Industries Corp. | 158,787 | ||||||
| 373,300 | Toyota Motor Corp. | 5,072,684 | ||||||
| 3,900 | Toyota Tsusho Corp. | 159,242 | ||||||
| 2,500 | Trend Micro Inc. | 118,045 | ||||||
| 7,200 | Unicharm Corp. | 266,673 | ||||||
| 19,400 | Ushio Inc. | 222,352 | ||||||
| 3,500 | USS Co., Ltd. | 56,784 | ||||||
| 4,800 | Visional Inc.* | 320,957 | ||||||
| 2,000 | Welcia Holdings Co., Ltd. | 43,759 | ||||||
| 12,700 | West Holdings Corp.(a) | 311,397 | ||||||
| 3,800 | West Japan Railway Co. | 147,665 | ||||||
| 2,300 | Yakult Honsha Co., Ltd. | 156,771 | ||||||
| 2,700 | Yamaha Corp. | 102,512 | ||||||
| 5,300 | Yamaha Motor Co., Ltd. | 135,653 | ||||||
| 39,200 | YA-MAN Ltd. | 452,169 | ||||||
| 4,900 | Yamato Holdings Co., Ltd. | 82,807 | ||||||
| 4,300 | Yaskawa Electric Corp. | 168,770 | ||||||
| 3,800 | Yokogawa Electric Corp. | 56,765 | ||||||
| 47,900 | Z Holdings Corp. | 129,717 | ||||||
| 10,800 | Zenkoku Hosho Co., Ltd.(a) | 411,683 | ||||||
| 2,000 | ZOZO Inc. | 44,584 | ||||||
|
|
|
|||||||
| Total Japan | 193,759,772 | |||||||
|
|
|
|||||||
See Notes to Financial Statements.
92
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Jordan — 0.0%@ | ||||||||
| 2,759 | Hikma Pharmaceuticals PLC | $ | 57,350 | |||||
|
|
|
|||||||
| Luxembourg — 0.1% | ||||||||
| 9,456 | ArcelorMittal SA | 283,717 | ||||||
| 15,445 | Aroundtown SA | 40,041 | ||||||
| 2,378 | Eurofins Scientific SE | 165,772 | ||||||
| 8,984 | Tenaris SA | 148,542 | ||||||
|
|
|
|||||||
| Total Luxembourg | 638,072 | |||||||
|
|
|
|||||||
| Macau — 0.2% | ||||||||
| 534,000 | Sands China Ltd.* | 1,855,305 | ||||||
|
|
|
|||||||
| Netherlands — 4.3% | ||||||||
| 23,386 | Aalberts NV | 1,135,520 | ||||||
| 7,405 | ABN AMRO Bank NV, Dutch Certificate, GDR(c) | 130,783 | ||||||
| 1,035 | Adyen NV*(c) | 1,467,453 | ||||||
| 30,922 | Aegon NV | 161,077 | ||||||
| 129,000 | Akzo Nobel NV | 9,428,464 | ||||||
| 989 | Argenx SE* | 359,965 | ||||||
| 841 | ASM International NV | 286,540 | ||||||
| 23,224 | ASML Holding NV | 14,265,070 | ||||||
| 19,701 | ASR Nederland NV | 896,797 | ||||||
| 6,837 | BE Semiconductor Industries NV | 529,122 | ||||||
| 1,627 | Euronext NV(c) | 118,902 | ||||||
| 2,015 | EXOR NV* | 165,861 | ||||||
| 42,739 | Fugro NV* | 537,861 | ||||||
| 2,073 | Heineken Holding NV | 177,393 | ||||||
| 4,654 | Heineken NV | 474,663 | ||||||
| 1,924 | IMCD NV | 304,198 | ||||||
| 490,360 | ING Groep NV | 6,871,032 | ||||||
| 1,690 | JDE Peet’s NV | 49,752 | ||||||
| 3,362 | Just Eat Takeaway.com NV*(c) | 73,219 | ||||||
| 18,775 | Koninklijke Ahold Delhaize NV | 595,692 | ||||||
| 3,138 | Koninklijke DSM NV | 386,280 | ||||||
| 58,543 | Koninklijke KPN NV | 200,636 | ||||||
| 367,999 | Koninklijke Philips NV | 5,999,455 | ||||||
| 5,008 | NN Group NV | 202,664 | ||||||
| 18,868 | OCI NV | 626,447 | ||||||
| 353,121 | Pharming Group NV*(a) | 427,528 | ||||||
| 14,420 | Prosus NV* | 1,032,170 | ||||||
| 4,067 | QIAGEN NV* | 187,297 | ||||||
| 2,193 | Randstad NV | 134,497 | ||||||
| 18,803 | Signify NV(c) | 652,132 | ||||||
| 40,469 | Stellantis NV | 708,100 | ||||||
| 77,932 | Universal Music Group NV(a) | 1,841,246 | ||||||
| 4,713 | Wolters Kluwer NV | 545,414 | ||||||
|
|
|
|||||||
| Total Netherlands | 50,973,230 | |||||||
|
|
|
|||||||
| New Zealand — 0.1% | ||||||||
| 22,667 | Auckland International Airport Ltd.* | 122,429 | ||||||
| 10,060 | Fisher & Paykel Healthcare Corp., Ltd. | 161,356 | ||||||
| 13,318 | Mercury NZ Ltd. | 51,559 | ||||||
| 21,715 | Meridian Energy Ltd. | 71,211 | ||||||
| 33,602 | Spark New Zealand Ltd. | 103,763 | ||||||
| 2,410 | Xero Ltd.* | 125,880 | ||||||
|
|
|
|||||||
| Total New Zealand | 636,198 | |||||||
|
|
|
|||||||
See Notes to Financial Statements.
93
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Norway — 0.5% | ||||||||
| 4,886 | Adevinta ASA, Class B Shares* | $ | 36,544 | |||||
| 5,562 | Aker BP ASA | 148,726 | ||||||
| 108,686 | DNB Bank ASA | 2,172,223 | ||||||
| 44,650 | Equinor ASA | 1,362,502 | ||||||
| 3,394 | Gjensidige Forsikring ASA | 60,219 | ||||||
| 1,600 | Kongsberg Gruppen ASA | 66,554 | ||||||
| 7,504 | Mowi ASA | 129,703 | ||||||
| 139,908 | Norsk Hydro ASA | 1,017,027 | ||||||
| 13,215 | Orkla ASA | 88,846 | ||||||
| 1,273 | Salmar ASA | 52,905 | ||||||
| 18,453 | Sparebanken Vest | 178,968 | ||||||
| 12,747 | Telenor ASA | 142,976 | ||||||
| 2,973 | Yara International ASA | 141,260 | ||||||
|
|
|
|||||||
| Total Norway | 5,598,453 | |||||||
|
|
|
|||||||
| Portugal — 0.0%@ | ||||||||
| 49,839 | EDP – Energias de Portugal SA | 251,452 | ||||||
| 9,072 | Galp Energia SGPS SA | 110,412 | ||||||
| 5,065 | Jeronimo Martins SGPS SA | 103,989 | ||||||
|
|
|
|||||||
| Total Portugal | 465,853 | |||||||
|
|
|
|||||||
| Singapore — 0.8% | ||||||||
| 2,175,358 | CapitaLand Ascendas REIT | 4,467,388 | ||||||
| 91,750 | CapitaLand Integrated Commercial Trust, REIT | 131,995 | ||||||
| 47,700 | Capitaland Investment Ltd. | 131,558 | ||||||
| 7,100 | City Developments Ltd. | 40,572 | ||||||
| 32,500 | DBS Group Holdings Ltd. | 824,441 | ||||||
| 431,400 | Frasers Logistics & Commercial Trust, REIT | 406,272 | ||||||
| 105,100 | Genting Singapore Ltd. | 79,503 | ||||||
| 23,869 | Grab Holdings Ltd., Class A Shares* | 76,620 | ||||||
| 2,000 | Jardine Cycle & Carriage Ltd | 44,127 | ||||||
| 26,100 | Keppel Corp., Ltd. | 106,002 | ||||||
| 63,729 | Mapletree Logistics Trust, REIT | 79,804 | ||||||
| 45,500 | Mapletree Pan Asia Commercial Trust, REIT | 57,990 | ||||||
| 60,800 | Oversea-Chinese Banking Corp., Ltd. | 571,086 | ||||||
| 6,488 | Sea Ltd., ADR* | 405,435 | ||||||
| 344,500 | Sembcorp Industries Ltd. | 927,003 | ||||||
| 498,119 | Sembcorp Marine Ltd.*(d) | 46,920 | ||||||
| 24,450 | Singapore Airlines Ltd. | 103,120 | ||||||
| 15,300 | Singapore Exchange Ltd. | 98,759 | ||||||
| 26,400 | Singapore Technologies Engineering Ltd. | 69,853 | ||||||
| 148,200 | Singapore Telecommunications Ltd. | 260,386 | ||||||
| 21,203 | United Overseas Bank Ltd. | 470,239 | ||||||
| 9,271 | UOL Group Ltd. | 46,928 | ||||||
| 4,600 | Venture Corp., Ltd. | 58,540 | ||||||
| 35,500 | Wilmar International Ltd. | 103,681 | ||||||
|
|
|
|||||||
| Total Singapore | 9,608,222 | |||||||
|
|
|
|||||||
| South Korea — 2.1% | ||||||||
| 6,470 | Coway Co., Ltd. | 261,326 | ||||||
| 24,630 | Daeduck Electronics Co., Ltd. | 389,908 | ||||||
| 7,205 | Dentium Co., Ltd.* | 658,293 | ||||||
| 14,898 | HK inno N Corp.*(a) | 410,134 | ||||||
| 11,599 | JYP Entertainment Corp.*(a) | 689,517 | ||||||
| 3,546 | LEENO Industrial Inc.(a) | 434,213 | ||||||
| 2,314 | LG Innotek Co., Ltd.(a) | 483,337 | ||||||
See Notes to Financial Statements.
94
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| South Korea — 2.1% — (continued) | ||||||||
| 3,679 | Lotte Chilsung Beverage Co., Ltd.(a) | $ | 465,588 | |||||
| 7,596 | LOTTE Fine Chemical Co., Ltd. | 333,554 | ||||||
| 439 | Medytox Inc.* | 72,608 | ||||||
| 287,692 | Samsung Electronics Co., Ltd | 13,158,510 | ||||||
| 35,209 | Samsung Engineering Co., Ltd.* | 699,003 | ||||||
| 3,154 | Samsung SDI Co., Ltd. | 1,657,274 | ||||||
| 76,814 | SK Hynix Inc. | 5,174,589 | ||||||
| 11,487 | Youngone Corp.*(a) | 370,280 | ||||||
|
|
|
|||||||
| Total South Korea | 25,258,134 | |||||||
|
|
|
|||||||
| Spain — 3.9% | ||||||||
| 460 | Acciona SA | 86,344 | ||||||
| 55,563 | Acerinox SA | 609,110 | ||||||
| 3,727 | ACS Actividades de Construccion y Servicios SA | 112,552 | ||||||
| 42,737 | Aena SME SA*(c) | 6,604,748 | ||||||
| 158,110 | Amadeus IT Group SA* | 9,922,139 | ||||||
| 48,356 | Applus Services SA | 339,083 | ||||||
| 443,845 | Banco Bilbao Vizcaya Argentaria SA | 3,457,257 | ||||||
| 301,523 | Banco Santander SA | 1,186,426 | ||||||
| 134,433 | Bankinter SA | 945,756 | ||||||
| 615,984 | CaixaBank SA | 2,638,982 | ||||||
| 10,168 | Cellnex Telecom SA(c) | 381,732 | ||||||
| 20,426 | Cia de Distribucion Integral Logista Holdings SA | 493,211 | ||||||
| 13,158 | Corp. ACCIONA Energias Renovables SA | 509,398 | ||||||
| 5,248 | EDP Renovaveis SA | 107,537 | ||||||
| 3,916 | Enagas SA | 70,173 | ||||||
| 5,720 | Endesa SA | 112,431 | ||||||
| 8,761 | Ferrovial SA | 242,881 | ||||||
| 4,911 | Grifols SA* | 59,779 | ||||||
| 630,054 | Iberdrola SA | 7,229,349 | ||||||
| 341,183 | Industria de Diseno Textil SA | 10,477,999 | ||||||
| 59,664 | Merlin Properties Socimi SA, REIT | 566,157 | ||||||
| 2,650 | Naturgy Energy Group SA | 73,037 | ||||||
| 6,811 | Red Electrica Corp. SA | 113,052 | ||||||
| 24,772 | Repsol SA | 391,436 | ||||||
| 93,319 | Telefonica SA | 379,569 | ||||||
|
|
|
|||||||
| Total Spain | 47,110,138 | |||||||
|
|
|
|||||||
| Sweden — 1.8% | ||||||||
| 5,386 | Alfa Laval AB | 177,029 | ||||||
| 17,995 | Assa Abloy AB, Class B Shares | 437,480 | ||||||
| 48,225 | Atlas Copco AB, Class A Shares | 572,650 | ||||||
| 248,324 | Atlas Copco AB, Class B Shares | 2,617,023 | ||||||
| 21,751 | Avanza Bank Holding AB(a) | 575,030 | ||||||
| 4,865 | Boliden AB | 199,390 | ||||||
| 19,216 | Cibus Nordic Real Estate AB | 229,101 | ||||||
| 4,351 | Electrolux AB, Class B Shares | 52,763 | ||||||
| 11,842 | Embracer Group AB, Class B Shares* | 57,106 | ||||||
| 11,832 | Epiroc AB, Class A Shares | 227,552 | ||||||
| 7,047 | Epiroc AB, Class B Shares | 115,871 | ||||||
| 6,396 | EQT AB | 142,879 | ||||||
| 10,934 | Essity AB, Class B Shares(a) | 295,222 | ||||||
| 3,283 | Evolution AB(c) | 396,565 | ||||||
| 11,404 | Fastighets AB Balder, Class B Shares* | 56,459 | ||||||
| 3,963 | Getinge AB, Class B Shares | 85,274 | ||||||
| 13,883 | H & M Hennes & Mauritz AB, Class B Shares | 174,881 | ||||||
See Notes to Financial Statements.
95
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Sweden — 1.8% — (continued) | ||||||||
| 34,946 | Hexagon AB, Class B Shares | $ | 387,035 | |||||
| 29,857 | Hexatronic Group AB | 347,897 | ||||||
| 1,698 | Holmen AB, Class B Shares | 68,513 | ||||||
| 7,983 | Husqvarna AB, Class B Shares | 70,675 | ||||||
| 2,171 | Industrivarden AB, Class A Shares | 59,671 | ||||||
| 2,688 | Industrivarden AB, Class C Shares | 73,716 | ||||||
| 5,199 | Indutrade AB | 110,446 | ||||||
| 2,336 | Investment AB Latour, Class B Shares | 48,345 | ||||||
| 8,757 | Investor AB, Class A Shares | 179,479 | ||||||
| 32,711 | Investor AB, Class B Shares | 631,721 | ||||||
| 4,617 | Kinnevik AB, Class B Shares* | 68,592 | ||||||
| 1,241 | L E Lundbergforetagen AB, Class B Shares | 57,550 | ||||||
| 3,879 | Lifco AB, Class B Shares | 77,389 | ||||||
| 11,479 | Loomis AB, Class B Shares | 370,764 | ||||||
| 72,306 | Nibe Industrier AB, Class B Shares | 746,469 | ||||||
| 3,520 | Sagax AB, Class B Shares | 86,520 | ||||||
| 122,998 | Sandvik AB | 2,529,955 | ||||||
| 8,351 | Securitas AB, Class B Shares | 71,937 | ||||||
| 106,470 | Sinch AB*(a)(c) | 364,073 | ||||||
| 29,012 | Skandinaviska Enskilda Banken AB, Class A Shares | 362,785 | ||||||
| 5,962 | Skanska AB, Class B Shares | 108,367 | ||||||
| 6,848 | SKF AB, Class B Shares | 130,083 | ||||||
| 223,083 | Storskogen Group AB, Class B Shares | 207,650 | ||||||
| 11,312 | Svenska Cellulosa AB SCA, Class B Shares | 157,813 | ||||||
| 220,023 | Svenska Handelsbanken AB, Class A Shares | 2,335,697 | ||||||
| 174,719 | Swedbank AB, Class A Shares | 3,565,133 | ||||||
| 2,981 | Swedish Orphan Biovitrum AB* | 68,609 | ||||||
| 10,001 | Tele2 AB, Class B Shares | 91,945 | ||||||
| 52,403 | Telefonaktiebolaget LM Ericsson, Class B Shares | 289,964 | ||||||
| 49,011 | Telia Co. AB | 126,520 | ||||||
| 22,521 | Trelleborg AB, Class B Shares | 580,475 | ||||||
| 4,027 | Volvo AB, Class A Shares | 83,749 | ||||||
| 27,093 | Volvo AB, Class B Shares | 542,540 | ||||||
| 9,985 | Volvo Car AB, Class B Shares* | 47,028 | ||||||
| 50,380 | Wihlborgs Fastigheter AB | 419,908 | ||||||
|
|
|
|||||||
| Total Sweden | 21,881,288 | |||||||
|
|
|
|||||||
| Switzerland — 8.3% | ||||||||
| 28,220 | ABB Ltd., Class Registered Shares | 938,792 | ||||||
| 3,044 | Adecco Group AG, Class Registered Shares | 108,038 | ||||||
| 23,294 | Alcon Inc. | 1,583,419 | ||||||
| 625 | Bachem Holding AG, Class B Shares | 62,148 | ||||||
| 862 | Baloise Holding AG, Class Registered Shares | 143,062 | ||||||
| 635 | Banque Cantonale Vaudoise, Class Registered Shares | 56,554 | ||||||
| 64 | Barry Callebaut AG, Class Registered Shares | 127,304 | ||||||
| 343 | BKW AG | 50,021 | ||||||
| 1,765 | Bucher Industries AG, Class Registered Shares | 797,142 | ||||||
| 134 | Chocoladefabriken Lindt & Spruengli AG | 1,466,587 | ||||||
| 2 | Chocoladefabriken Lindt & Spruengli AG, Class Registered Shares | 221,415 | ||||||
| 30,297 | Cie Financiere Richemont SA, Class Registered Shares | 4,545,491 | ||||||
| 3,537 | Clariant AG, Class Registered Shares* | 57,097 | ||||||
| 28,265 | Coca-Cola HBC AG | 722,134 | ||||||
| 64,303 | Credit Suisse Group AG, Class Registered Shares | 194,097 | ||||||
| 121 | EMS-Chemie Holding AG, Class Registered Shares | 91,401 | ||||||
| 9,717 | Galenica AG(c) | 751,274 | ||||||
| 644 | Geberit AG, Class Registered Shares | 346,694 | ||||||
See Notes to Financial Statements.
96
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Switzerland — 8.3% — (continued) | ||||||||
| 166 | Givaudan SA, Class Registered Shares | $ | 500,395 | |||||
| 185,312 | Glencore PLC | 1,101,090 | ||||||
| 9,952 | Holcim AG* | 613,817 | ||||||
| 16,531 | Julius Baer Group Ltd | 1,092,259 | ||||||
| 16,876 | Kuehne + Nagel International AG, Class Registered Shares | 4,314,489 | ||||||
| 3,076 | Logitech International SA, Class Registered Shares | 167,784 | ||||||
| 12,238 | Lonza Group AG, Class Registered Shares | 7,262,584 | ||||||
| 130,417 | Nestlé SA, Class Registered Shares | 14,679,886 | ||||||
| 169,120 | Novartis AG, Class Registered Shares | 14,226,752 | ||||||
| 40,205 | On Holding AG, Class A Shares* | 879,283 | ||||||
| 407 | Partners Group Holding AG | 384,427 | ||||||
| 7,673 | PSP Swiss Property AG, Class Registered Shares | 859,318 | ||||||
| 75,139 | Roche Holding AG | 21,665,260 | ||||||
| 707 | Schindler Holding AG | 158,605 | ||||||
| 431 | Schindler Holding AG, Class Registered Shares | 92,609 | ||||||
| 1,324 | SGS SA, Class Registered Shares | 3,032,027 | ||||||
| 733 | Siegfried Holding AG, Class Registered Shares* | 511,479 | ||||||
| 5,654 | SIG Group AG* | 136,490 | ||||||
| 5,842 | Sika AG, Class Registered Shares | 1,631,495 | ||||||
| 964 | Sonova Holding AG, Class Registered Shares | 235,992 | ||||||
| 12,271 | STMicroelectronics NV | 588,082 | ||||||
| 2,004 | Straumann Holding AG, Class Registered Shares | 264,542 | ||||||
| 6,999 | Sulzer AG, Class Registered Shares | 606,524 | ||||||
| 534 | Swatch Group AG (The) | 185,354 | ||||||
| 874 | Swatch Group AG (The), Class Registered Shares | 55,685 | ||||||
| 553 | Swiss Life Holding AG, Class Registered Shares | 332,268 | ||||||
| 1,393 | Swiss Prime Site AG, Class Registered Shares | 117,331 | ||||||
| 5,415 | Swiss Re AG | 564,300 | ||||||
| 465 | Swisscom AG, Class Registered Shares | 286,445 | ||||||
| 3,645 | Swissquote Group Holding SA, Class Registered Shares | 693,441 | ||||||
| 1,615 | Tecan Group AG, Class Registered Shares | 651,976 | ||||||
| 1,054 | Temenos AG, Class Registered Shares | 77,373 | ||||||
| 60,116 | UBS Group AG, Class Registered Shares | 1,304,256 | ||||||
| 11,185 | VAT Group AG(c) | 3,362,935 | ||||||
| 9,590 | Zurich Insurance Group AG | 4,544,898 | ||||||
|
|
|
|||||||
| Total Switzerland | 99,444,121 | |||||||
|
|
|
|||||||
| Taiwan — 0.5% | ||||||||
| 83,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 1,364,403 | ||||||
| 57,900 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 5,041,353 | ||||||
|
|
|
|||||||
| Total Taiwan | 6,405,756 | |||||||
|
|
|
|||||||
| United Kingdom — 16.8% | ||||||||
| 17,474 | 3i Group PLC | 341,205 | ||||||
| 9,520 | 4imprint Group PLC | 511,909 | ||||||
| 36,435 | Abcam PLC, ADR* | 525,028 | ||||||
| 40,934 | Abrdn PLC | 110,348 | ||||||
| 3,139 | Admiral Group PLC | 83,199 | ||||||
| 260,973 | Airtel Africa PLC(c) | 378,329 | ||||||
| 22,814 | Anglo American PLC | 790,372 | ||||||
| 7,912 | Ashtead Group PLC | 523,133 | ||||||
| 6,396 | Associated British Foods PLC | 154,081 | ||||||
| 116,567 | AstraZeneca PLC | 15,226,140 | ||||||
| 17,328 | Auto Trader Group PLC(c) | 123,868 | ||||||
| 50,320 | Aviva PLC | 269,668 | ||||||
| 56,202 | BAE Systems PLC | 606,509 | ||||||
See Notes to Financial Statements.
97
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||
| Shares/Units | Security | Value | ||||
| United Kingdom — 16.8% — (continued) | ||||||
| 120,531 | Balfour Beatty PLC | $ | 528,502 | |||
| 4,201,646 | Barclays PLC | 8,819,630 | ||||
| 19,455 | Barratt Developments PLC | 109,522 | ||||
| 52,776 | Beazley PLC* | 433,234 | ||||
| 44,980 | Berkeley Group Holdings PLC | 2,265,539 | ||||
| 874,377 | BP PLC | 5,773,129 | ||||
| 109,637 | British American Tobacco PLC | 4,150,479 | ||||
| 15,047 | British Land Co. PLC (The), REIT | 80,689 | ||||
| 122,045 | BT Group PLC | 203,876 | ||||
| 41,180 | Bunzl PLC | 1,466,092 | ||||
| 79,996 | Burberry Group PLC | 2,367,754 | ||||
| 18,372 | CNH Industrial NV | 301,019 | ||||
| 3,669 | Coca-Cola Europacific Partners PLC | 201,795 | ||||
| 574,057 | Compass Group PLC | 13,236,467 | ||||
| 26,506 | Computacenter PLC | 719,494 | ||||
| 2,504 | Croda International PLC | 197,242 | ||||
| 23,659 | CVS Group PLC | 533,110 | ||||
| 190,360 | Diageo PLC | 8,093,845 | ||||
| 55,555 | Drax Group PLC | 425,138 | ||||
| 15,316 | Dunelm Group PLC | 231,568 | ||||
| 31,561 | Endeavour Mining PLC(a) | 656,870 | ||||
| 10,340 | Entain PLC | 168,651 | ||||
| 23,729 | Future PLC | 399,108 | ||||
| 364,642 | GSK PLC | 6,202,021 | ||||
| 91,187 | Haleon PLC* | 353,686 | ||||
| 6,684 | Halma PLC | 173,545 | ||||
| 103,558 | Harbour Energy PLC | 361,915 | ||||
| 6,719 | Hargreaves Lansdown PLC | 66,869 | ||||
| 237,256 | Hays PLC | 336,000 | ||||
| 781,008 | HSBC Holdings PLC | 5,971,770 | ||||
| 61,536 | IG Group Holdings PLC | 593,486 | ||||
| 23,357 | IMI PLC | 436,988 | ||||
| 16,210 | Imperial Brands PLC | 390,620 | ||||
| 68,249 | Inchcape PLC | 745,625 | ||||
| 25,872 | Informa PLC | 207,905 | ||||
| 3,284 | InterContinental Hotels Group PLC | 221,185 | ||||
| 2,810 | Intertek Group PLC | 140,833 | ||||
| 30,318 | J Sainsbury PLC | 97,801 | ||||
| 43,113 | JD Sports Fashion PLC | 93,701 | ||||
| 3,347 | Johnson Matthey PLC | 87,770 | ||||
| 311,690 | Kingfisher PLC | 1,076,240 | ||||
| 12,506 | Land Securities Group PLC, REIT | 103,393 | ||||
| 107,233 | Legal & General Group PLC | 329,387 | ||||
| 1,224,477 | Lloyds Banking Group PLC | 773,267 | ||||
| 5,909 | London Stock Exchange Group PLC | 527,534 | ||||
| 193,236 | LondonMetric Property PLC, REIT | 436,440 | ||||
| 46,656 | M&G PLC | 120,039 | ||||
| 174,811 | Man Group PLC | 557,234 | ||||
| 262,483 | Marks & Spencer Group PLC* | 504,219 | ||||
| 76,802 | Melrose Industries PLC | 138,097 | ||||
| 8,337 | Mondi PLC | 139,634 | ||||
| 223,470 | National Grid PLC | 2,808,083 | ||||
| 95,416 | NatWest Group PLC | 335,235 | ||||
| 2,278 | Next PLC | 187,060 | ||||
| 10,369 | Ocado Group PLC* | 68,418 | ||||
| 121,440 | OSB Group PLC | 812,881 | ||||
See Notes to Financial Statements.
98
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| United Kingdom — 16.8% — (continued) | ||||||||
| 11,459 | Pearson PLC | $ | 126,464 | |||||
| 5,585 | Persimmon PLC | 97,084 | ||||||
| 13,509 | Phoenix Group Holdings PLC | 102,785 | ||||||
| 1,212,513 | Prudential PLC | 18,447,891 | ||||||
| 105,428 | QinetiQ Group PLC | 427,927 | ||||||
| 204,977 | Reckitt Benckiser Group PLC | 14,199,336 | ||||||
| 354,708 | RELX PLC | 10,674,634 | ||||||
| 45,045 | Rentokil Initial PLC | 277,156 | ||||||
| 73,083 | Rio Tinto PLC | 5,009,793 | ||||||
| 10,987,069 | Rolls-Royce Holdings PLC* | 19,070,896 | ||||||
| 50,241 | RS GROUP PLC | 589,077 | ||||||
| 59,689 | Safestore Holdings PLC, REIT | 725,822 | ||||||
| 18,037 | Sage Group PLC (The) | 162,260 | ||||||
| 30,621 | Savills PLC | 369,070 | ||||||
| 12,389 | Schroders PLC | 73,961 | ||||||
| 21,708 | Segro PLC, REIT | 214,290 | ||||||
| 334,497 | Serco Group PLC | 629,044 | ||||||
| 4,649 | Severn Trent PLC | 153,577 | ||||||
| 295,355 | Shell PLC | 8,969,529 | ||||||
| 15,614 | Smith & Nephew PLC | 222,165 | ||||||
| 6,239 | Smiths Group PLC | 132,304 | ||||||
| 2,334 | Spectris PLC | 98,726 | ||||||
| 1,297 | Spirax-Sarco Engineering PLC | 181,869 | ||||||
| 103,656 | Spirent Communications PLC | 265,681 | ||||||
| 95,306 | SSE PLC | 1,999,479 | ||||||
| 9,428 | St. James’s Place PLC | 144,998 | ||||||
| 44,888 | Standard Chartered PLC | 423,219 | ||||||
| 46,256 | Tate & Lyle PLC | 446,209 | ||||||
| 61,621 | Taylor Wimpey PLC | 91,191 | ||||||
| 560,442 | Tesco PLC | 1,717,854 | ||||||
| 221,015 | Tritax Big Box REIT PLC | 397,144 | ||||||
| 241,184 | Unilever PLC | 12,009,483 | ||||||
| 12,760 | United Utilities Group PLC | 156,055 | ||||||
| 204,853 | Virgin Money UK PLC | 442,417 | ||||||
| 474,162 | Vodafone Group PLC | 568,684 | ||||||
| 11,089 | Watches of Switzerland Group PLC*(c) | 110,230 | ||||||
| 211,662 | WH Smith PLC | 4,019,233 | ||||||
| 28,206 | Whitbread PLC | 1,046,554 | ||||||
| 19,493 | WPP PLC | 239,562 | ||||||
|
|
|
|||||||
| Total United Kingdom | 201,439,076 | |||||||
|
|
|
|||||||
| United States — 0.3% | ||||||||
| 1,028 | Booking Holdings Inc.* | 2,594,672 | ||||||
| 24,343 | International Game Technology PLC | 646,550 | ||||||
| 12,774 | Liberty Media Corp-Liberty Formula One, Class C Shares* | 866,971 | ||||||
|
|
|
|||||||
| Total United States | 4,108,193 | |||||||
|
|
|
|||||||
| Uruguay — 0.0%@ | ||||||||
| 251 | MercadoLibre Inc.* | 306,220 | ||||||
|
|
|
|||||||
| TOTAL COMMON STOCKS (Cost — $990,394,791) |
1,146,482,374 | |||||||
|
|
|
|||||||
| PREFERRED STOCKS — 0.3% | ||||||||
| Germany — 0.3% | ||||||||
| 1,009 | Bayerische Motoren Werke AG, Class Preferred Shares | 95,783 | ||||||
| 13,230 | Dr ING hc F Porsche AG, Class Preferred Shares* | 1,595,734 | ||||||
See Notes to Financial Statements.
99
| Schedules of Investments |
| (unaudited) (continued) |
| International Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Germany — 0.3% — (continued) | ||||||||
| 3,199 | Henkel AG & Co. KGaA, Class Preferred Shares | $ | 232,844 | |||||
| 2,890 | Porsche Automobil Holding SE, Class Preferred Shares | 164,248 | ||||||
| 423 | Sartorius AG, Class Preferred Shares | 180,129 | ||||||
| 3,332 | Volkswagen AG, Class Preferred Shares | 454,760 | ||||||
|
|
|
|||||||
| TOTAL PREFERRED STOCKS (Cost — $2,282,536) |
2,723,498 | |||||||
|
|
|
|||||||
| CLOSED END MUTUAL FUND SECURITY — 0.1% | ||||||||
| United States — 0.1% | ||||||||
| 28,660 | Vanguard FTSE Developed Markets ETF, Common Class Shares(a) (Cost — $1,150,870) |
1,265,912 | ||||||
|
|
|
|||||||
| RIGHT — 0.0%@ | ||||||||
| Hong Kong — 0.0%@ | ||||||||
| 7,580 | Link REIT * (Cost — $0) |
7,146 | ||||||
|
|
|
|||||||
| TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $993,828,197) |
1,150,478,930 | |||||||
|
|
|
|||||||
| Face Amount† |
||||||||
| SHORT-TERM INVESTMENTS (f) — 4.9% | ||||||||
| MONEY MARKET FUND — 1.6% | ||||||||
| $ | 19,305,518 | Invesco STIT — Government & Agency Portfolio, 4.444%, Institutional Class(g) (Cost — $19,305,518) |
19,305,518 | |||||
|
|
|
|||||||
| TIME DEPOSITS — 3.3% | ||||||||
| 114,957 | AUD | ANZ National Bank — Hongkong, 1.990% due 3/1/23 | 77,337 | |||||
| 12,301,358 | ANZ National Bank — London, 3.920% due 3/1/23 | 12,301,358 | ||||||
| 107,930 | Barclays Bank PLC — London, 3.920% due 3/1/23 | 107,930 | ||||||
| BBH — Grand Cayman: | ||||||||
| 341,352 | CHF | 0.150% due 3/1/23 |
362,408 | |||||
| 56,000 | DKK | 1.160% due 3/1/23 |
7,957 | |||||
| 317,444 | NOK | 1.600% due 3/1/23 |
30,562 | |||||
| 183,014 | SEK | 1.760% due 3/1/23 |
17,482 | |||||
| 1 | AUD | 1.990% due 3/1/23 |
1 | |||||
| 10,394 | NZD | 2.850% due 3/1/23 |
6,425 | |||||
| 159,537 | GBP | 2.920% due 3/1/23 |
191,875 | |||||
| 2,317 | CAD | 3.330% due 3/1/23 |
1,698 | |||||
| 1,255 | ZAR | 6.150% due 3/1/23 |
68 | |||||
| 593,417 | EUR | Citibank — London, 1.530% due 3/1/23 | 627,598 | |||||
| 2,552,677 | Citibank — New York, 3.920% due 3/1/23 | 2,552,677 | ||||||
| 498,099 | HKD | HSBC Bank — Hong Kong, 0.540% due 3/1/23 | 63,458 | |||||
| 9,317 | SGD | HSBC Bank — Singapore, 2.200% due 3/1/23 | 6,909 | |||||
| 7,262,020 | JPMorgan Chase & Co. — New York, 3.920% due 3/1/23 | 7,262,020 | ||||||
| 19 | EUR | SEB — Stockholm, 1.530% due 3/1/23 | 21 | |||||
| Sumitomo Mitsui Banking Corp. — Tokyo: | ||||||||
| 15,196,166 | JPY | (0.520)% due 3/1/23 |
111,618 | |||||
| 16,063,902 | 3.920% due 3/1/23 |
16,063,902 | ||||||
|
|
|
|||||||
| TOTAL TIME DEPOSITS (Cost — $39,793,304) |
39,793,304 | |||||||
|
|
|
|||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost — $59,098,822) |
59,098,822 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS — 101.1% (Cost — $1,052,927,019) |
1,209,577,752 | |||||||
|
|
|
|||||||
| Liabilities in Excess of Other Assets — (1.1)% | (12,581,590 | ) | ||||||
|
|
|
|||||||
| TOTAL NET ASSETS — 100.0% | $ | 1,196,996,162 | ||||||
|
|
|
|||||||
See Notes to Financial Statements.
100
| Schedules of Investments |
| (unaudited) (continued) |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
| (a) | All or a portion of this security is on loan (See Note 1). |
| (b) | Security trades on the Hong Kong exchange. |
| (c) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 28, 2023, amounts to $18,507,065 and represents 1.5% of net assets. |
| (d) | Illiquid security. |
| (e) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (f) | Inclusive of all short-term holdings, including investments of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 3.3%. |
| (g) | Represents investments of collateral received from securities lending transactions. |
At February 28, 2023, for International Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| Fund | Aggregate Cost For Federal Income Tax Purposes |
Gross Unrealized Appreciation |
Gross Unrealized (Depreciation) |
Net Unrealized Appreciation |
||||||||||||
| International Equity Fund |
$ | 1,052,927,019 | $ | 272,560,741 | $ | (115,903,344) | $ | 156,657,397 | ||||||||
| Abbreviations used in this schedule: | ||
| ADR | — American Depositary Receipts | |
| CDI | — Clearing House Electronics System (CHESS) Depositary Interest | |
| GDR | — Global Depositary Receipt | |
| PLC | — Public Limited Company | |
| REIT | — Real Estate Investment Trust | |
| Summary of Investments by Security Sector^ | ||||
| Industrials |
18.3 | % | ||
| Financials |
14.6 | |||
| Health Care |
14.4 | |||
| Information Technology |
11.8 | |||
| Consumer Discretionary |
10.3 | |||
| Consumer Staples |
9.7 | |||
| Materials |
6.2 | |||
| Utilities |
3.5 | |||
| Energy |
3.2 | |||
| Communication Services |
2.7 | |||
| Real Estate |
2.0 | |||
| Short-Term Investments |
3.3 | |||
|
|
|
|||
| Total Investments |
100.0 | %+ | ||
|
|
|
|||
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
See Notes to Financial Statements.
101
| Schedules of Investments |
| (unaudited) (continued) |
At February 28, 2023, International Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| Open Futures Contracts | Number of Contracts |
Expiration Date (Month/Year) |
Notional Amount |
Market Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| Euro STOXX 50 March Futures |
11 | 3/23 | $ | 495,020 | $ | 494,079 | $ | (941 | ) | |||||||||||
| FTSE 100 Index March Futures |
2 | 3/23 | 190,333 | 189,100 | (1,233 | ) | ||||||||||||||
| SPI 200 Index March Futures |
1 | 3/23 | 119,094 | 121,062 | 1,968 | |||||||||||||||
| TOPIX Index March Futures |
1 | 3/23 | 139,665 | 146,535 | 6,870 | |||||||||||||||
|
|
|
|||||||||||||||||||
| $ | 6,664 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
At February 28, 2023, International Equity Fund had deposited cash of $100,246 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
| Currency Abbreviations used in this schedule: | ||
| AUD | — Australian Dollar | |
| CAD | — Canadian Dollar | |
| CHF | — Swiss Franc | |
| DKK | — Danish Krone | |
| EUR | — Euro | |
| GBP | — British Pound | |
| HKD | — Hong Kong Dollar | |
| JPY | — Japanese Yen | |
| NOK | — Norwegian Krone | |
| NZD | — New Zealand Dollar | |
| SEK | — Swedish Krona | |
| SGD | — Singapore Dollar | |
| ZAR | — South African Rand | |
See Notes to Financial Statements.
102
| Schedules of Investments |
| (unaudited) (continued) |
See Notes to Financial Statements.
103
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Chile — 0.7% | ||||||||
| 155,996 | Antofagasta PLC | $ | 2,942,567 | |||||
| 1,214,320 | Banco de Chile | 126,175 | ||||||
| 1,100 | Banco de Credito e Inversiones SA | 34,422 | ||||||
| 1,951,337 | Banco Santander Chile | 82,729 | ||||||
| 44,296 | Cencosud SA | 83,757 | ||||||
| 2,598 | Cia Cervecerias Unidas SA | 19,852 | ||||||
| 448,463 | Cia Sud Americana de Vapores SA | 43,347 | ||||||
| 31,677 | Empresas CMPC SA | 52,636 | ||||||
| 9,480 | Empresas COPEC SA | 68,494 | ||||||
| 473,707 | Enel Americas SA | 58,980 | ||||||
| 564,409 | Enel Chile SA | 25,429 | ||||||
| 23,830 | Falabella SA | 52,461 | ||||||
|
|
|
|||||||
| Total Chile | 3,590,849 | |||||||
|
|
|
|||||||
| China — 26.8% | ||||||||
| 2,652 | 360 DigiTech Inc., ADR | 53,995 | ||||||
| 9,300 | 360 Security Technology Inc., Class A Shares | 14,444 | ||||||
| 3,900 | 37 Interactive Entertainment Network Technology Group Co., Ltd., Class A Shares | 12,315 | ||||||
| 32,500 | 3SBio Inc.(a) | 32,209 | ||||||
| 20,000 | AAC Technologies Holdings Inc.* | 44,609 | ||||||
| 794 | Advanced Micro-Fabrication Equipment Inc., Class A Shares* | 12,010 | ||||||
| 3,000 | AECC Aviation Power Co., Ltd., Class A Shares | 19,803 | ||||||
| 147,000 | Agricultural Bank of China Ltd., Class A Shares | 61,962 | ||||||
| 749,000 | Agricultural Bank of China Ltd., Class H Shares(b) | 259,511 | ||||||
| 13,444 | Aier Eye Hospital Group Co., Ltd., Class A Shares | 60,414 | ||||||
| 74,000 | Air China Ltd., Class H Shares*(b) | 68,138 | ||||||
| 4,139 | Airtac International Group | 143,838 | ||||||
| 11,000 | Akeso Inc., Class B Shares*(a) | 56,056 | ||||||
| 508,776 | Alibaba Group Holding Ltd.* | 5,590,814 | ||||||
| 41,614 | Alibaba Group Holding Ltd., ADR* | 3,653,293 | ||||||
| 1,131,500 | A-Living Smart City Services Co., Ltd.(a) | 1,156,146 | ||||||
| 31,400 | Aluminum Corp. of China Ltd., Class A Shares | 24,937 | ||||||
| 74,000 | Aluminum Corp. of China Ltd., Class H Shares(b) | 37,692 | ||||||
| 1,600 | Amlogic Shanghai Co., Ltd., Class A Shares* | 18,309 | ||||||
| 2,500 | Angel Yeast Co., Ltd., Class A Shares | 14,530 | ||||||
| 6,100 | Anhui Conch Cement Co., Ltd., Class A Shares | 26,897 | ||||||
| 354,837 | Anhui Conch Cement Co., Ltd., Class H Shares(b) | 1,303,996 | ||||||
| 500 | Anhui Gujing Distillery Co., Ltd., Class A Shares | 19,677 | ||||||
| 2,300 | Anhui Gujing Distillery Co., Ltd., Class B Shares | 39,533 | ||||||
| 1,800 | Anhui Kouzi Distillery Co., Ltd., Class A Shares | 17,824 | ||||||
| 1,600 | Anhui Yingjia Distillery Co., Ltd., Class A Shares* | 16,148 | ||||||
| 600 | Anjoy Foods Group Co., Ltd., Class A Shares | 14,089 | ||||||
| 31,200 | ANTA Sports Products Ltd | 412,184 | ||||||
| 700 | Asymchem Laboratories Tianjin Co., Ltd., Class A Shares | 14,405 | ||||||
| 1,865 | Autohome Inc., ADR | 56,882 | ||||||
| 3,600 | Avary Holding Shenzhen Co., Ltd., Class A Shares | 14,726 | ||||||
| 8,199 | AVIC Industry-Finance Holdings Co., Ltd., Class A Shares | 5,136 | ||||||
| 76,000 | AviChina Industry & Technology Co., Ltd., Class H Shares(b) | 36,213 | ||||||
| 2,200 | AVICOPTER PLC, Class A Shares | 14,359 | ||||||
| 56,768 | Baidu Inc., Class A Shares* | 980,969 | ||||||
| 19,200 | Bank of Beijing Co., Ltd., Class A Shares | 11,958 | ||||||
| 12,800 | Bank of Chengdu Co., Ltd., Class A Shares | 26,441 | ||||||
| 58,930 | Bank of China Ltd., Class A Shares | 27,383 | ||||||
| 2,034,000 | Bank of China Ltd., Class H Shares(b) | 746,306 | ||||||
| 39,800 | Bank of Communications Co., Ltd., Class A Shares | 28,054 | ||||||
| 260,000 | Bank of Communications Co., Ltd., Class H Shares(b) | 153,697 | ||||||
See Notes to Financial Statements.
104
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||
| Shares/Units | Security | Value | ||||
| China — 26.8% — (continued) | ||||||
| 4,600 | Bank of Hangzhou Co., Ltd., Class A Shares | $ | 8,023 | |||
| 19,890 | Bank of Jiangsu Co., Ltd., Class A Shares | 20,562 | ||||
| 16,600 | Bank of Nanjing Co., Ltd., Class A Shares | 23,658 | ||||
| 8,290 | Bank of Ningbo Co., Ltd., Class A Shares | 35,197 | ||||
| 29,640 | Bank of Shanghai Co., Ltd., Class A Shares | 25,493 | ||||
| 30,184 | Baoshan Iron & Steel Co., Ltd., Class A Shares | 28,556 | ||||
| 54,000 | Beijing Capital International Airport Co., Ltd., Class H Shares*(b) | 39,520 | ||||
| 14,900 | Beijing Dabeinong Technology Group Co., Ltd., Class A Shares* | 17,659 | ||||
| 955 | Beijing Kingsoft Office Software Inc., Class A Shares | 39,965 | ||||
| 2,000 | Beijing New Building Materials PLC, Class A Shares | 8,658 | ||||
| 1,885 | Beijing United Information Technology Co., Ltd., Class A Shares | 21,888 | ||||
| 870 | Beijing Wantai Biological Pharmacy Enterprise Co., Ltd., Class A Shares | 15,864 | ||||
| 200 | Betta Pharmaceuticals Co., Ltd., Class A Shares | 1,677 | ||||
| 1,000 | BGI Genomics Co., Ltd., Class A Shares | 8,008 | ||||
| 4,607 | Bilibili Inc., Class Z Shares* | 89,376 | ||||
| 912 | Bloomage Biotechnology Corp,. Ltd., Class A Shares* | 16,639 | ||||
| 38,300 | BOE Technology Group Co., Ltd., Class A Shares | 22,963 | ||||
| 2,500 | BYD Co., Ltd., Class A Shares |
93,850 | ||||
| 21,500 | BYD Co., Ltd., Class H Shares(b) | 577,535 | ||||
| 14,500 | BYD Electronic International Co., Ltd | 42,189 | ||||
| 5,800 | By-health Co., Ltd., Class A Shares | 19,151 | ||||
| 2,800 | CETC Cyberspace Security Technology Co., Ltd., Class A Shares | 12,622 | ||||
| 315,000 | CGN Power Co., Ltd., Class H Shares(a)(b) | 70,621 | ||||
| 600 | Changchun High & New Technology Industry Group Inc., Class A Shares | 17,012 | ||||
| 1,100 | Changjiang Securities Co., Ltd., Class A Shares | 895 | ||||
| 3,900 | Chaozhou Three-Circle Group Co., Ltd., Class A Shares | 17,871 | ||||
| 2,300 | Chengxin Lithium Group Co., Ltd., Class A Shares | 12,554 | ||||
| 12,400 | China Baoan Group Co., Ltd., Class A Shares | 22,814 | ||||
| 255,000 | China Cinda Asset Management Co., Ltd., Class H Shares(b) | 33,122 | ||||
| 238,000 | China CITIC Bank Corp., Ltd., Class H Shares(b) | 110,051 | ||||
| 43,000 | China Coal Energy Co., Ltd., Class H Shares(b) | 33,246 | ||||
| 84,000 | China Communications Services Corp., Ltd., Class H Shares(b) | 32,620 | ||||
| 41,500 | China Conch Venture Holdings Ltd | 83,511 | ||||
| 21,100 | China Construction Bank Corp., Class A Shares | 17,118 | ||||
| 7,134,224 | China Construction Bank Corp., Class H Shares(b) | 4,361,162 | ||||
| 6,200 | China CSSC Holdings Ltd., Class A Shares | 21,289 | ||||
| 27,298 | China Eastern Airlines Corp., Ltd., Class A Shares* | 21,313 | ||||
| 47,400 | China Energy Engineering Corp., Ltd., Class A Shares | 16,221 | ||||
| 30,812 | China Everbright Bank Co., Ltd., Class A Shares | 13,206 | ||||
| 160,000 | China Everbright Bank Co., Ltd., Class H Shares(b) | 46,060 | ||||
| 47,000 | China Evergrande Group*(c)(d) | 5,660 | ||||
| 92,000 | China Feihe Ltd.(a) | 73,578 | ||||
| 13,200 | China Galaxy Securities Co., Ltd., Class A Shares | 18,247 | ||||
| 92,500 | China Galaxy Securities Co., Ltd., Class H Shares(b) | 46,062 | ||||
| 1,500 | China Greatwall Technology Group Co., Ltd., Class A Shares | 2,807 | ||||
| 55,000 | China Hongqiao Group Ltd | 58,763 | ||||
| 3,100 | China International Capital Corp., Ltd., Class A Shares | 18,668 | ||||
| 34,000 | China International Capital Corp., Ltd., Class H Shares(a)(b) | 73,088 | ||||
| 7,200 | China Jushi Co., Ltd., Class A Shares | 15,678 | ||||
| 22,000 | China Lesso Group Holdings Ltd | 23,208 | ||||
| 4,800 | China Life Insurance Co., Ltd., Class A Shares | 24,671 | ||||
| 188,000 | China Life Insurance Co., Ltd., Class H Shares(b) | 318,558 | ||||
| 8,800 | China Literature Ltd.*(a) | 37,615 | ||||
| 80,000 | China Longyuan Power Group Corp., Ltd., Class H Shares(b) | 98,594 | ||||
| 558,000 | China Medical System Holdings Ltd | 838,566 | ||||
| 14,000 | China Meidong Auto Holdings Ltd | 30,093 | ||||
See Notes to Financial Statements.
105
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||
| Shares/Units | Security | Value | ||||
| China — 26.8% — (continued) | ||||||
| 30,200 | China Merchants Bank Co., Ltd., Class A Shares | $ | 161,860 | |||
| 841,391 | China Merchants Bank Co., Ltd., Class H Shares(b) | 4,576,479 | ||||
| 9,230 | China Merchants Securities Co., Ltd., Class A Shares | 18,545 | ||||
| 14,820 | China Merchants Shekou Industrial Zone Holdings Co., Ltd., Class A Shares | 31,585 | ||||
| 55,920 | China Minsheng Banking Corp., Ltd., Class A Shares | 27,426 | ||||
| 156,200 | China Minsheng Banking Corp., Ltd., Class H Shares(b) | 53,926 | ||||
| 104,000 | China National Building Material Co., Ltd., Class H Shares(b) | 92,298 | ||||
| 13,800 | China National Chemical Engineering Co., Ltd., Class A Shares | 17,895 | ||||
| 18,900 | China National Nuclear Power Co., Ltd., Class A Shares | 16,469 | ||||
| 1,900 | China National Software & Service Co., Ltd., Class A Shares | 19,496 | ||||
| 5,200 | China Northern Rare Earth Group High-Tech Co., Ltd., Class A Shares | 21,772 | ||||
| 60,000 | China Oilfield Services Ltd., Class H Shares(b) | 64,210 | ||||
| 10,500 | China Pacific Insurance Group Co., Ltd., Class A Shares | 41,672 | ||||
| 71,400 | China Pacific Insurance Group Co., Ltd., Class H Shares(b) | 189,133 | ||||
| 38,900 | China Petroleum & Chemical Corp., Class A Shares | 26,042 | ||||
| 640,000 | China Petroleum & Chemical Corp., Class H Shares(b) | 325,816 | ||||
| 27,800 | China Railway Group Ltd., Class A Shares | 24,142 | ||||
| 116,000 | China Railway Group Ltd., Class H Shares(b) | 60,428 | ||||
| 3,100 | China Rare Earth Resources & Technology Co., Ltd., Class A Shares* | 17,977 | ||||
| 2,536 | China Resources Microelectronics Ltd., Class A Shares | 19,745 | ||||
| 17,200 | China Resources Mixc Lifestyle Services Ltd.(a) | 94,192 | ||||
| 20,000 | China Resources Pharmaceutical Group Ltd.(a) | 16,435 | ||||
| 2,600 | China Resources Sanjiu Medical & Pharmaceutical Co., Ltd., Class A Shares | 19,051 | ||||
| 10,099 | China Shenhua Energy Co., Ltd., Class A Shares | 40,659 | ||||
| 305,000 | China Shenhua Energy Co., Ltd., Class H Shares(b) | 917,036 | ||||
| 20,400 | China Southern Airlines Co., Ltd., Class A Shares* | 23,170 | ||||
| 44,000 | China Southern Airlines Co., Ltd., Class H Shares*(b) | 32,089 | ||||
| 57,440 | China State Construction Engineering Corp., Ltd., Class A Shares | 46,401 | ||||
| 41,600 | China Three Gorges Renewables Group Co., Ltd., Class A Shares | 33,439 | ||||
| 3,535 | China Tourism Group Duty Free Corp., Ltd., Class A Shares | 100,233 | ||||
| 600 | China Tourism Group Duty Free Corp., Ltd., Class H Shares*(a)(b) | 15,143 | ||||
| 1,186,000 | China Tower Corp., Ltd., Class H Shares(a)(b) | 128,393 | ||||
| 40,000 | China United Network Communications Ltd., Class A Shares | 30,400 | ||||
| 15,600 | China Vanke Co., Ltd., Class A Shares | 38,408 | ||||
| 647,795 | China Vanke Co., Ltd., Class H Shares(b) | 1,130,675 | ||||
| 31,600 | China Yangtze Power Co., Ltd., Class A Shares | 96,173 | ||||
| 1,200 | China Zhenhua Group Science & Technology Co., Ltd., Class A Shares | 17,944 | ||||
| 40,300 | China Zheshang Bank Co., Ltd., Class A Shares* | 16,921 | ||||
| 56,000 | Chinasoft International Ltd.* | 40,148 | ||||
| 1,500 | Chongqing Brewery Co., Ltd., Class A Shares | 29,606 | ||||
| 18,382 | Chongqing Changan Automobile Co., Ltd., Class A Shares | 35,410 | ||||
| 2,000 | Chongqing Zhifei Biological Products Co., Ltd., Class A Shares | 25,753 | ||||
| 148,000 | CITIC Ltd | 163,225 | ||||
| 17,365 | CITIC Securities Co., Ltd., Class A Shares | 51,503 | ||||
| 53,425 | CITIC Securities Co., Ltd., Class H Shares(b) | 113,085 | ||||
| 26,600 | CMOC Group Ltd., Class A Shares | 22,630 | ||||
| 96,000 | CMOC Group Ltd., Class H Shares(b) | 53,911 | ||||
| 1,300 | CNGR Advanced Material Co., Ltd., Class A Shares | 13,227 | ||||
| 44,300 | Contemporary Amperex Technology Co., Ltd., Class A Shares | 2,567,438 | ||||
| 5,300 | COSCO Shipping Energy Transportation Co., Ltd., Class A Shares* | 11,043 | ||||
| 20,720 | COSCO SHIPPING Holdings Co., Ltd., Class A Shares | 32,117 | ||||
| 81,250 | COSCO SHIPPING Holdings Co., Ltd., Class H Shares(b) | 84,346 | ||||
| 268,000 | Country Garden Holdings Co., Ltd | 81,946 | ||||
| 52,000 | Country Garden Services Holdings Co., Ltd | 96,399 | ||||
| 31,400 | CRRC Corp., Ltd., Class A Shares | 25,732 | ||||
| 85,000 | CRRC Corp., Ltd., Class H Shares(b) | 38,898 | ||||
See Notes to Financial Statements.
106
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||
| Shares/Units | Security | Value | ||||
| China — 26.8% — (continued) | ||||||
| 8,700 | CSC Financial Co., Ltd., Class A Shares | $ | 33,461 | |||
| 233,120 | CSPC Pharmaceutical Group Ltd | 250,230 | ||||
| 2,800 | Dajin Heavy Industry Co., Ltd., Class A Shares* | 15,809 | ||||
| 59,000 | Dali Foods Group Co., Ltd.(a) | 23,824 | ||||
| 21,700 | Daqin Railway Co., Ltd., Class A Shares | 21,194 | ||||
| 1,342 | Daqo New Energy Corp., ADR* | 59,290 | ||||
| 2,736 | DaShenLin Pharmaceutical Group Co., Ltd., Class A Shares | 15,173 | ||||
| 800 | DHC Software Co., Ltd., Class A Shares | 757 | ||||
| 7,000 | Dongfang Electric Corp., Ltd., Class A Shares | 19,856 | ||||
| 62,000 | Dongfeng Motor Group Co., Ltd., Class H Shares(b) | 31,663 | ||||
| 37,000 | Dongyue Group Ltd | 41,842 | ||||
| 22,438 | East Money Information Co., Ltd., Class A Shares | 67,375 | ||||
| 900 | Ecovacs Robotics Co., Ltd., Class A Shares | 11,704 | ||||
| 140,100 | ENN Energy Holdings Ltd | 1,995,449 | ||||
| 315,999 | ENN Natural Gas Co., Ltd., Class A Shares | 877,843 | ||||
| 2,581 | Eve Energy Co., Ltd., Class A Shares | 26,937 | ||||
| 7,300 | Everbright Securities Co., Ltd., Class A Shares | 16,400 | ||||
| 2,900 | Flat Glass Group Co., Ltd., Class A Shares | 14,409 | ||||
| 11,000 | Flat Glass Group Co., Ltd., Class H Shares(b) | 29,065 | ||||
| 20,800 | Focus Media Information Technology Co., Ltd., Class A Shares | 19,541 | ||||
| 6,655 | Foshan Haitian Flavouring & Food Co., Ltd., Class A Shares | 78,639 | ||||
| 76,500 | Fosun International Ltd | 62,571 | ||||
| 15,000 | Foxconn Industrial Internet Co., Ltd., Class A Shares | 20,706 | ||||
| 740,000 | Fu Shou Yuan International Group Ltd | 557,182 | ||||
| 4,100 | Fuyao Glass Industry Group Co., Ltd., Class A Shares | 21,845 | ||||
| 17,600 | Fuyao Glass Industry Group Co., Ltd., Class H Shares(a)(b) | 80,700 | ||||
| 60,620 | Ganfeng Lithium Group Co., Ltd., Class A Shares | 629,717 | ||||
| 8,120 | Ganfeng Lithium Group Co., Ltd., Class H Shares(a)(b) | 56,559 | ||||
| 51,400 | GD Power Development Co., Ltd., Class A Shares* | 29,065 | ||||
| 19,684 | GDS Holdings Ltd., Class A Shares* | 47,729 | ||||
| 15,100 | GEM Co., Ltd., Class A Shares | 17,127 | ||||
| 9,300 | Gemdale Corp., Class A Shares | 12,920 | ||||
| 32,000 | Genscript Biotech Corp.* | 87,382 | ||||
| 8,200 | GF Securities Co., Ltd., Class A Shares | 19,267 | ||||
| 31,600 | GF Securities Co., Ltd., Class H Shares(b) | 44,838 | ||||
| 924 | Gigadevice Semiconductor Inc., Class A Shares | 13,928 | ||||
| 900 | Ginlong Technologies Co., Ltd., Class A Shares* | 20,548 | ||||
| 4,300 | GoerTek Inc., Class A Shares | 13,334 | ||||
| 2,000 | Gotion High-tech Co., Ltd., Class A Shares | 8,503 | ||||
| 4,100 | Great Wall Motor Co., Ltd., Class A Shares | 20,311 | ||||
| 77,000 | Great Wall Motor Co., Ltd., Class H Shares(b)(e) | 101,947 | ||||
| 241,500 | Gree Electric Appliances Inc. of Zhuhai, Class A Shares | 1,233,073 | ||||
| 22,000 | Greentown China Holdings Ltd | 30,047 | ||||
| 32,000 | Greentown Service Group Co., Ltd | 21,322 | ||||
| 2,200 | Guangdong Haid Group Co., Ltd., Class A Shares | 20,096 | ||||
| 1,000 | Guangdong Kinlong Hardware Products Co., Ltd., Class A Shares | 13,822 | ||||
| 7,700 | Guanghui Energy Co., Ltd., Class A Shares | 11,940 | ||||
| 88,000 | Guangzhou Automobile Group Co., Ltd., Class H Shares(b) | 56,031 | ||||
| 2,600 | Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd., Class A Shares | 11,806 | ||||
| 600 | Guangzhou Great Power Energy & Technology Co., Ltd., Class A Shares | 5,793 | ||||
| 7,900 | Guangzhou Haige Communications Group Inc. Co., Class A Shares | 10,826 | ||||
| 1,100 | Guangzhou Kingmed Diagnostics Group Co., Ltd., Class A Shares | 13,331 | ||||
| 600 | Guangzhou Shiyuan Electronic Technology Co., Ltd., Class A Shares | 5,930 | ||||
| 3,220 | Guangzhou Tinci Materials Technology Co., Ltd., Class A Shares | 20,803 | ||||
| 9,400 | Guosen Securities Co., Ltd., Class A Shares | 13,052 | ||||
| 16,600 | Guotai Junan Securities Co., Ltd., Class A Shares | 34,093 | ||||
See Notes to Financial Statements.
107
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||
| Shares/Units | Security | Value | ||||
| China — 26.8% — (continued) | ||||||
| 5,900 | Guoyuan Securities Co., Ltd., Class A Shares | $ | 5,975 | |||
| 4,702 | H World Group Ltd., ADR | 222,734 | ||||
| 27,000 | Haidilao International Holding Ltd.*(a) | 74,581 | ||||
| 7,300 | Haier Smart Home Co., Ltd., Class A Shares | 27,588 | ||||
| 62,200 | Haier Smart Home Co., Ltd., Class H Shares(b) | 219,716 | ||||
| 16,000 | Haitian International Holdings Ltd | 41,749 | ||||
| 9,300 | Haitong Securities Co., Ltd., Class A Shares | 12,232 | ||||
| 91,600 | Haitong Securities Co., Ltd., Class H Shares(b) | 58,915 | ||||
| 2,520 | Hangzhou First Applied Material Co., Ltd., Class A Shares | 24,883 | ||||
| 2,700 | Hangzhou Silan Microelectronics Co., Ltd., Class A Shares | 13,077 | ||||
| 400 | Hangzhou Tigermed Consulting Co., Ltd., Class A Shares | 6,630 | ||||
| 3,700 | Hangzhou Tigermed Consulting Co., Ltd., Class H Shares(a)(b) | 42,679 | ||||
| 40,000 | Hansoh Pharmaceutical Group Co., Ltd.(a) | 71,852 | ||||
| 5,300 | Henan Shuanghui Investment & Development Co., Ltd., Class A Shares | 20,179 | ||||
| 316,000 | Hengan International Group Co., Ltd | 1,453,342 | ||||
| 10,778 | Hengli Petrochemical Co., Ltd., Class A Shares | 27,388 | ||||
| 2,990 | Hengyi Petrochemical Co., Ltd., Class A Shares | 3,491 | ||||
| 43,300 | Hesteel Co., Ltd., Class A Shares | 15,693 | ||||
| 1,399 | Hithink RoyalFlush Information Network Co., Ltd., Class A Shares | 23,794 | ||||
| 2,800 | Hongfa Technology Co., Ltd., Class A Shares | 14,101 | ||||
| 900 | Hoshine Silicon Industry Co., Ltd., Class A Shares | 12,672 | ||||
| 12,000 | Hua Hong Semiconductor Ltd.*(a) | 45,901 | ||||
| 18,400 | Huadian Power International Corp., Ltd., Class A Shares | 15,196 | ||||
| 1,694 | Huadong Medicine Co., Ltd., Class A Shares | 11,696 | ||||
| 2,260 | Hualan Biological Engineering Inc., Class A Shares | 7,215 | ||||
| 22,500 | Huaneng Power International Inc., Class A Shares* | 26,448 | ||||
| 108,000 | Huaneng Power International Inc., Class H Shares*(b) | 53,097 | ||||
| 7,200 | Huatai Securities Co., Ltd., Class A Shares | 13,037 | ||||
| 48,200 | Huatai Securities Co., Ltd., Class H Shares(a)(b) | 54,211 | ||||
| 10,500 | Huaxia Bank Co., Ltd., Class A Shares | 7,883 | ||||
| 1,600 | Huaxin Cement Co., Ltd., Class A Shares | 4,011 | ||||
| 424,899 | Huayu Automotive Systems Co., Ltd., Class A Shares | 1,155,960 | ||||
| 3,600 | Hubei Xingfa Chemicals Group Co., Ltd., Class A Shares | 18,202 | ||||
| 1,000 | Huizhou Desay Sv Automotive Co., Ltd., Class A Shares | 16,387 | ||||
| 7,400 | Humanwell Healthcare Group Co., Ltd., Class A Shares | 28,387 | ||||
| 3,785 | Hundsun Technologies Inc., Class A Shares | 24,171 | ||||
| 7,200 | Hygeia Healthcare Holdings Co., Ltd.*(a) | 52,300 | ||||
| 3,900 | Iflytek Co., Ltd., Class A Shares | 27,085 | ||||
| 400 | Imeik Technology Development Co., Ltd., Class A Shares | 33,808 | ||||
| 82,200 | Industrial & Commercial Bank of China Ltd., Class A Shares | 50,842 | ||||
| 1,458,000 | Industrial & Commercial Bank of China Ltd., Class H Shares(b) | 727,930 | ||||
| 31,400 | Industrial Bank Co., Ltd., Class A Shares | 76,318 | ||||
| 19,760 | Industrial Securities Co., Ltd., Class A Shares | 18,257 | ||||
| 800 | Ingenic Semiconductor Co., Ltd., Class A Shares | 8,703 | ||||
| 62,900 | Inner Mongolia BaoTou Steel Union Co., Ltd., Class A Shares | 18,537 | ||||
| 16,300 | Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd., Class A Shares | 10,395 | ||||
| 8,700 | Inner Mongolia Yili Industrial Group Co., Ltd., Class A Shares | 38,078 | ||||
| 29,900 | Inner Mongolia Yitai Coal Co., Ltd., Class B Shares | 40,257 | ||||
| 26,500 | Innovent Biologics Inc.*(a) | 128,956 | ||||
| 3,700 | Inspur Electronic Information Industry Co., Ltd., Class A Shares | 20,763 | ||||
| 9,276 | iQIYI Inc., ADR* | 71,703 | ||||
| 2,940 | JA Solar Technology Co., Ltd., Class A Shares | 25,842 | ||||
| 1,500 | Jafron Biomedical Co., Ltd., Class A Shares | 6,995 | ||||
| 2,600 | Jason Furniture Hangzhou Co., Ltd., Class A Shares | 17,614 | ||||
| 4,000 | JCET Group Co., Ltd., Class A Shares | 16,183 | ||||
| 28,250 | JD Health International Inc.*(a) | 196,885 | ||||
See Notes to Financial Statements.
108
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||
| Shares/Units | Security | Value | ||||
| China — 26.8% — (continued) | ||||||
| 47,838 | JD.com Inc., ADR | $ | 2,125,921 | |||
| 85,494 | JD.com Inc., Class A Shares | 1,901,025 | ||||
| 7,400 | Jiangsu Eastern Shenghong Co., Ltd., Class A Shares | 16,510 | ||||
| 24,000 | Jiangsu Expressway Co., Ltd., Class H Shares(b) | 22,932 | ||||
| 1,948 | Jiangsu Hengli Hydraulic Co., Ltd., Class A Shares | 19,312 | ||||
| 10,301 | Jiangsu Hengrui Pharmaceuticals Co., Ltd., Class A Shares | 64,429 | ||||
| 1,000 | Jiangsu King’S Luck Brewery JSC Ltd., Class A Shares | 9,208 | ||||
| 1,000 | Jiangsu Pacific Quartz Co., Ltd., Class A Shares* | 20,664 | ||||
| 2,600 | Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A Shares | 63,527 | ||||
| 1,100 | Jiangsu Yangnong Chemical Co., Ltd., Class A Shares | 16,985 | ||||
| 6,200 | Jiangsu Zhongtian Technology Co., Ltd., Class A Shares | 14,315 | ||||
| 5,300 | Jiangxi Copper Co., Ltd., Class A Shares | 14,995 | ||||
| 19,000 | Jiangxi Copper Co., Ltd., Class H Shares(b) | 30,070 | ||||
| 610,000 | Jinxin Fertility Group Ltd.(a) | 484,637 | ||||
| 800 | JiuGui Liquor Co., Ltd., Class A Shares | 17,463 | ||||
| 16,000 | Jiumaojiu International Holdings Ltd.(a) | 38,568 | ||||
| 6,800 | Joincare Pharmaceutical Group Industry Co., Ltd., Class A Shares | 12,895 | ||||
| 2,100 | Joinn Laboratories China Co., Ltd., Class A Shares | 17,723 | ||||
| 7,800 | Jointown Pharmaceutical Group Co., Ltd., Class A Shares | 16,234 | ||||
| 2,200 | Jonjee Hi-Tech Industrial And Commercial Holding Co., Ltd., Class A Shares | 12,055 | ||||
| 1,500 | Juewei Food Co., Ltd., Class A Shares | 11,287 | ||||
| 4,655 | Kanzhun Ltd., ADR* | 93,798 | ||||
| 57,174 | KE Holdings Inc., ADR* | 1,043,426 | ||||
| 66,000 | Kingdee International Software Group Co., Ltd.* | 122,933 | ||||
| 26,600 | Kingsoft Corp., Ltd | 88,136 | ||||
| 10,000 | Koolearn Technology Holding Ltd.*(a)(e) | 56,742 | ||||
| 45,600 | Kuaishou Technology, Class B Shares*(a) | 305,006 | ||||
| 6,300 | Kuang-Chi Technologies Co., Ltd., Class A Shares | 15,854 | ||||
| 1,988 | Kweichow Moutai Co., Ltd., Class A Shares | 517,796 | ||||
| 4,200 | LB Group Co., Ltd., Class A Shares | 13,236 | ||||
| 2,176,000 | Lenovo Group Ltd | 1,950,622 | ||||
| 9,000 | Lens Technology Co., Ltd., Class A Shares | 16,544 | ||||
| 4,500 | Lepu Medical Technology Beijing Co., Ltd., Class A Shares | 15,199 | ||||
| 29,606 | Li Auto Inc., Class A Shares*(e) | 349,664 | ||||
| 60,500 | Li Ning Co., Ltd | 520,012 | ||||
| 14,500 | Lingyi iTech Guangdong Co., Class A Shares* | 11,967 | ||||
| 46,500 | Longfor Group Holdings Ltd.(a) | 135,392 | ||||
| 13,172 | LONGi Green Energy Technology Co., Ltd., Class A Shares | 83,783 | ||||
| 18,864 | Lufax Holding Ltd., ADR | 40,746 | ||||
| 11,038 | Luxshare Precision Industry Co., Ltd., Class A Shares | 47,426 | ||||
| 2,000 | Luzhou Laojiao Co., Ltd., Class A Shares | 71,790 | ||||
| 3,400 | Mango Excellent Media Co., Ltd., Class A Shares | 16,372 | ||||
| 864 | Maxscend Microelectronics Co., Ltd., Class A Shares | 14,564 | ||||
| 9,480 | Meinian Onehealth Healthcare Holdings Co., Ltd., Class A Shares* | 8,949 | ||||
| 336,783 | Meituan, Class B Shares*(a) | 5,819,145 | ||||
| 36,900 | Metallurgical Corp. of China Ltd., Class A Shares | 18,092 | ||||
| 15,000 | Microport Scientific Corp.* | 42,393 | ||||
| 101,600 | Midea Group Co., Ltd., Class A Shares | 765,906 | ||||
| 104,300 | Ming Yang Smart Energy Group Ltd., Class A Shares | 380,139 | ||||
| 2,179 | MINISO Group Holding Ltd., ADR* | 39,004 | ||||
| 508,000 | Minth Group Ltd | 1,319,598 | ||||
| 2,041 | Montage Technology Co., Ltd., Class A Shares | 16,958 | ||||
| 6,986 | Muyuan Foods Co., Ltd., Class A Shares | 49,781 | ||||
| 4,680 | Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd., Class A Shares | 11,626 | ||||
| 8,496 | NARI Technology Co., Ltd., Class A Shares | 32,073 | ||||
| 700 | NAURA Technology Group Co., Ltd., Class A Shares | 23,438 | ||||
See Notes to Financial Statements.
109
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||
| Shares/Units | Security | Value | ||||
| China — 26.8% — (continued) | ||||||
| 9,700 | NavInfo Co., Ltd., Class A Shares | $ | 18,192 | |||
| 101,625 | NetEase Inc. | 1,581,186 | ||||
| 2,400 | New China Life Insurance Co., Ltd., Class A Shares | 10,750 | ||||
| 28,800 | New China Life Insurance Co., Ltd., Class H Shares(b) | 69,694 | ||||
| 6,400 | New Hope Liuhe Co., Ltd., Class A Shares* | 12,149 | ||||
| 39,310 | New Oriental Education & Technology Group Inc.* | 151,808 | ||||
| 3,400 | Ninestar Corp., Class A Shares | 26,381 | ||||
| 600 | Ningbo Deye Technology Co., Ltd., Class A Shares | 28,526 | ||||
| 2,100 | Ningbo Orient Wires & Cables Co., Ltd., Class A Shares | 16,595 | ||||
| 1,202 | Ningbo Ronbay New Energy Technology Co., Ltd., Class A Shares | 12,450 | ||||
| 5,200 | Ningbo Shanshan Co., Ltd., Class A Shares | 13,352 | ||||
| 2,600 | Ningbo Tuopu Group Co., Ltd., Class A Shares | 25,007 | ||||
| 10,200 | Ningxia Baofeng Energy Group Co., Ltd., Class A Shares | 23,215 | ||||
| 35,105 | NIO Inc., ADR*(e) | 329,636 | ||||
| 46,000 | Nongfu Spring Co., Ltd., Class H Shares(a)(b) | 257,746 | ||||
| 1,000 | Oppein Home Group Inc., Class A Shares | 20,353 | ||||
| 14,464 | Orient Securities Co., Ltd., Class A Shares | 21,184 | ||||
| 2,029 | Ovctek China Inc., Class A Shares | 10,052 | ||||
| 20,500 | Pangang Group Vanadium Titanium & Resources Co., Ltd., Class A Shares* | 16,489 | ||||
| 12,880 | PDD Holdings Inc., ADR* | 1,129,962 | ||||
| 279,000 | People’s Insurance Co. Group of China Ltd. (The), Class H Shares(b) | 88,135 | ||||
| 4,650 | Perfect World Co., Ltd., Class A Shares | 9,520 | ||||
| 21,700 | PetroChina Co., Ltd., Class A Shares | 16,317 | ||||
| 540,000 | PetroChina Co., Ltd., Class H Shares(b) | 275,681 | ||||
| 1,350 | Pharmaron Beijing Co., Ltd., Class A Shares | 11,587 | ||||
| 149,750 | Pharmaron Beijing Co., Ltd., Class H Shares(a)(b) | 837,557 | ||||
| 170,000 | PICC Property & Casualty Co., Ltd., Class H Shares(b) | 149,225 | ||||
| 1,656,780 | Ping An Bank Co., Ltd., Class A Shares | 3,279,515 | ||||
| 15,600 | Ping An Healthcare & Technology Co., Ltd.*(a)(e) | 35,635 | ||||
| 15,800 | Ping An Insurance Group Co. of China Ltd., Class A Shares | 109,407 | ||||
| 951,000 | Ping An Insurance Group Co. of China Ltd., Class H Shares(b) | 6,460,754 | ||||
| 18,000 | Poly Developments & Holdings Group Co., Ltd., Class A Shares | 39,047 | ||||
| 15,800 | Pop Mart International Group Ltd.(a) | 43,843 | ||||
| 45,300 | Postal Savings Bank of China Co., Ltd., Class A Shares | 29,433 | ||||
| 202,000 | Postal Savings Bank of China Co., Ltd., Class H Shares(a)(b) | 121,213 | ||||
| 22,300 | Power Construction Corp. of China Ltd., Class A Shares | 23,020 | ||||
| 8,300 | Qinghai Salt Lake Industry Co., Ltd., Class A Shares* | 29,650 | ||||
| 3,800 | Risen Energy Co., Ltd., Class A Shares* | 17,169 | ||||
| 21,350 | Rongsheng Petrochemical Co., Ltd., Class A Shares | 41,522 | ||||
| 11,800 | SAIC Motor Corp., Ltd., Class A Shares | 25,495 | ||||
| 10,100 | Sailun Group Co., Ltd., Class A Shares | 16,133 | ||||
| 800 | Sangfor Technologies Inc., Class A Shares | 16,446 | ||||
| 24,000 | Sany Heavy Equipment International Holdings Co., Ltd | 23,941 | ||||
| 17,700 | Sany Heavy Industry Co., Ltd., Class A Shares | 47,654 | ||||
| 7,247 | Satellite Chemical Co., Ltd., Class A Shares | 18,144 | ||||
| 3,000 | Seazen Holdings Co., Ltd., Class A Shares* | 8,412 | ||||
| 7,700 | SF Holding Co., Ltd., Class A Shares | 59,661 | ||||
| 750 | SG Micro Corp., Class A Shares | 16,924 | ||||
| 12,300 | Shaanxi Coal Industry Co., Ltd., Class A Shares | 35,367 | ||||
| 7,300 | Shan Xi Hua Yang Group New Energy Co., Ltd., Class A Shares | 16,711 | ||||
| 5,600 | Shandong Gold Mining Co., Ltd., Class A Shares | 15,357 | ||||
| 23,500 | Shandong Gold Mining Co., Ltd., Class H Shares(a)(b) | 40,467 | ||||
| 89,000 | Shandong Head Group Co., Ltd., Class A Shares | 335,494 | ||||
| 5,850 | Shandong Hualu Hengsheng Chemical Co., Ltd., Class A Shares | 30,398 | ||||
| 3,100 | Shandong Linglong Tyre Co., Ltd., Class A Shares | 10,053 | ||||
| 14,900 | Shandong Nanshan Aluminum Co., Ltd., Class A Shares | 7,729 | ||||
See Notes to Financial Statements.
110
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||
| Shares/Units | Security | Value | ||||
| China — 26.8% — (continued) | ||||||
| 6,800 | Shandong Sun Paper Industry JSC Ltd., Class A Shares | $ | 12,656 | |||
| 62,400 | Shandong Weigao Group Medical Polymer Co., Ltd., Class H Shares(b) | 100,645 | ||||
| 2,600 | Shanghai Aiko Solar Energy Co., Ltd., Class A Shares* | 13,689 | ||||
| 2,548 | Shanghai Bairun Investment Holding Group Co., Ltd., Class A Shares | 15,386 | ||||
| 184,949 | Shanghai Baosight Software Co., Ltd., Class A Shares | 1,316,562 | ||||
| 12,220 | Shanghai Baosight Software Co., Ltd., Class B Shares | 39,804 | ||||
| 39,300 | Shanghai Electric Group Co., Ltd., Class A Shares* | 23,680 | ||||
| 4,000 | Shanghai Fosun Pharmaceutical Group Co., Ltd., Class A Shares | 19,351 | ||||
| 518,500 | Shanghai Fosun Pharmaceutical Group Co., Ltd., Class H Shares(b) | 1,515,020 | ||||
| 1,361 | Shanghai Fudan Microelectronics Group Co., Ltd., Class A Shares | 14,074 | ||||
| 4,000 | Shanghai Fudan Microelectronics Group Co., Ltd., Class H Shares(b) | 16,402 | ||||
| 2,000 | Shanghai International Airport Co., Ltd., Class A Shares* | 16,853 | ||||
| 17,999 | Shanghai International Port Group Co., Ltd., Class A Shares | 13,769 | ||||
| 2,700 | Shanghai Jinjiang International Hotels Co., Ltd., Class A Shares | 24,054 | ||||
| 2,342 | Shanghai Junshi Biosciences Co., Ltd., Class A Shares* | 17,773 | ||||
| 32,520 | Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd., Class B Shares | 25,348 | ||||
| 2,200 | Shanghai M&G Stationery Inc., Class A Shares | 17,130 | ||||
| 8,700 | Shanghai Pharmaceuticals Holding Co., Ltd., Class A Shares | 24,712 | ||||
| 16,800 | Shanghai Pharmaceuticals Holding Co., Ltd., Class H Shares(b) | 29,622 | ||||
| 40,200 | Shanghai Pudong Development Bank Co., Ltd., Class A Shares | 41,506 | ||||
| 2,760 | Shanghai Putailai New Energy Technology Co., Ltd., Class A Shares | 19,940 | ||||
| 15,800 | Shanghai RAAS Blood Products Co., Ltd., Class A Shares | 14,087 | ||||
| 15,700 | Shanghai Yuyuan Tourist Mart Group Co., Ltd., Class A Shares | 17,694 | ||||
| 17,600 | Shanxi Coking Coal Energy Group Co., Ltd., Class A Shares | 32,964 | ||||
| 9,000 | Shanxi Lu’an Environmental Energy Development Co., Ltd., Class A Shares | 28,908 | ||||
| 3,500 | Shanxi Meijin Energy Co., Ltd., Class A Shares | 4,734 | ||||
| 9,600 | Shanxi Securities Co., Ltd., Class A Shares | 8,007 | ||||
| 2,040 | Shanxi Xinghuacun Fen Wine Factory Co., Ltd., Class A Shares | 82,836 | ||||
| 4,400 | Shengyi Technology Co., Ltd., Class A Shares | 11,465 | ||||
| 1,260 | Shennan Circuits Co., Ltd., Class A Shares | 14,469 | ||||
| 48,700 | Shenwan Hongyuan Group Co., Ltd., Class A Shares | 29,542 | ||||
| 500 | Shenzhen Dynanonic Co., Ltd., Class A Shares | 16,253 | ||||
| 1,680 | Shenzhen Energy Group Co., Ltd., Class A Shares | 1,505 | ||||
| 232,200 | Shenzhen Inovance Technology Co., Ltd., Class A Shares | 2,445,457 | ||||
| 2,240 | Shenzhen Kangtai Biological Products Co., Ltd., Class A Shares | 11,173 | ||||
| 2,000 | Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A Shares | 90,338 | ||||
| 1,900 | Shenzhen New Industries Biomedical Engineering Co., Ltd., Class A Shares | 16,756 | ||||
| 15,200 | Shenzhen Overseas Chinese Town Co., Ltd., Class A Shares | 11,611 | ||||
| 1,000 | Shenzhen SC New Energy Technology Corp., Class A Shares | 18,561 | ||||
| 971 | Shenzhen Transsion Holdings Co., Ltd., Class A Shares | 11,253 | ||||
| 81,500 | Shenzhou International Group Holdings Ltd | 894,374 | ||||
| 4,649 | Shijiazhuang Yiling Pharmaceutical Co., Ltd., Class A Shares | 20,056 | ||||
| 4,000 | Sichuan Chuantou Energy Co., Ltd., Class A Shares | 7,468 | ||||
| 12,400 | Sichuan Road & Bridge Group Co., Ltd., Class A Shares | 22,674 | ||||
| 1,200 | Sichuan Swellfun Co., Ltd., Class A Shares | 14,274 | ||||
| 5,100 | Sichuan Yahua Industrial Group Co., Ltd., Class A Shares | 18,001 | ||||
| 8,000 | Silergy Corp | 151,630 | ||||
| 4,000 | Sinoma Science & Technology Co., Ltd., Class A Shares | 13,248 | ||||
| 2,100 | Sinomine Resource Group Co., Ltd., Class A Shares | 22,752 | ||||
| 744,972 | Sinopharm Group Co., Ltd., Class H Shares(b) | 1,993,119 | ||||
| 840 | Skshu Paint Co., Ltd., Class A Shares* | 14,777 | ||||
| 53,000 | Smoore International Holdings Ltd.(a) | 65,380 | ||||
| 12,220 | Songcheng Performance Development Co., Ltd., Class A Shares | 27,555 | ||||
| 400 | StarPower Semiconductor Ltd., Class A Shares | 16,954 | ||||
| 69,000 | Sunac China Holdings Ltd.*(c)(d) | 12,526 | ||||
| 95,550 | Sungrow Power Supply Co., Ltd., Class A Shares | 1,643,092 | ||||
See Notes to Financial Statements.
111
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||
| Shares/Units | Security | Value | ||||
| China — 26.8% — (continued) | ||||||
| 17,500 | Sunny Optical Technology Group Co., Ltd | $ | 201,615 | |||
| 2,800 | Sunwoda Electronic Co., Ltd., Class A Shares | 8,703 | ||||
| 5,400 | Suzhou Dongshan Precision Manufacturing Co., Ltd., Class A Shares | 22,728 | ||||
| 320 | Suzhou Maxwell Technologies Co., Ltd., Class A Shares | 16,884 | ||||
| 1,400 | Suzhou TA&A Ultra Clean Technology Co., Ltd., Class A Shares | 11,561 | ||||
| 10,726 | TAL Education Group, ADR* | 75,404 | ||||
| 6,200 | TBEA Co., Ltd., Class A Shares | 19,207 | ||||
| 18,200 | TCL Technology Group Corp., Class A Shares | 11,614 | ||||
| 3,900 | TCL Zhonghuan Renewable Energy Technology Co., Ltd., Class A Shares | 24,483 | ||||
| 403,331 | Tencent Holdings Ltd | 17,723,336 | ||||
| 17,432 | Tencent Music Entertainment Group, ADR* | 131,437 | ||||
| 1,200 | Thunder Software Technology Co., Ltd., Class A Shares | 16,495 | ||||
| 9,900 | Tianma Microelectronics Co., Ltd., Class A Shares | 13,623 | ||||
| 2,300 | Tianqi Lithium Corp., Class A Shares* | 27,204 | ||||
| 18,200 | Tianshan Aluminum Group Co., Ltd., Class A Shares | 21,767 | ||||
| 788,000 | Tingyi Cayman Islands Holding Corp | 1,272,575 | ||||
| 31,600 | Tongcheng Travel Holdings Ltd.* | 62,610 | ||||
| 5,900 | Tongkun Group Co., Ltd., Class A Shares | 13,875 | ||||
| 8,200 | Tongwei Co., Ltd., Class A Shares | 49,345 | ||||
| 400 | Topchoice Medical Corp., Class A Shares* | 8,393 | ||||
| 601,000 | Topsports International Holdings Ltd.(a) | 524,376 | ||||
| 35,000 | TravelSky Technology Ltd., Class H Shares(b) | 69,006 | ||||
| 4,401 | Trina Solar Co., Ltd., Class A Shares | 39,041 | ||||
| 13,864 | Trip.com Group Ltd., ADR* | 492,865 | ||||
| 1,500 | Tsingtao Brewery Co., Ltd., Class A Shares | 24,021 | ||||
| 16,000 | Tsingtao Brewery Co., Ltd., Class H Shares(b) | 157,706 | ||||
| 979 | Unigroup Guoxin Microelectronics Co., Ltd., Class A Shares | 15,604 | ||||
| 37,000 | Uni-President China Holdings Ltd | 32,426 | ||||
| 5,960 | Unisplendour Corp., Ltd., Class A Shares | 21,773 | ||||
| 10,565 | Vipshop Holdings Ltd., ADR* | 157,313 | ||||
| 1,800 | Walvax Biotechnology Co., Ltd., Class A Shares | 9,898 | ||||
| 4,700 | Wanhua Chemical Group Co., Ltd., Class A Shares | 70,443 | ||||
| 125,000 | Want Want China Holdings Ltd | 78,656 | ||||
| 1,280 | Weibo Corp., ADR* | 26,470 | ||||
| 5,300 | Weichai Power Co., Ltd., Class A Shares | 9,490 | ||||
| 899,200 | Weichai Power Co., Ltd., Class H Shares(b) | 1,333,478 | ||||
| 1,900 | Weihai Guangwei Composites Co., Ltd., Class A Shares | 18,208 | ||||
| 14,040 | Wens Foodstuffs Group Co., Ltd., Class A Shares | 39,944 | ||||
| 11,400 | Western Securities Co., Ltd., Class A Shares | 10,864 | ||||
| 1,620 | Will Semiconductor Co., Ltd., Class A Shares | 20,020 | ||||
| 1,600 | Wingtech Technology Co., Ltd., Class A Shares | 12,383 | ||||
| 8,200 | Wuchan Zhongda Group Co., Ltd., Class A Shares | 5,765 | ||||
| 1,568 | Wuhan Guide Infrared Co., Ltd., Class A Shares | 2,691 | ||||
| 6,400 | Wuliangye Yibin Co., Ltd., Class A Shares | 187,925 | ||||
| 7,260 | WUS Printed Circuit Kunshan Co., Ltd., Class A Shares | 17,112 | ||||
| 3,864 | WuXi AppTec Co., Ltd., Class A Shares | 45,878 | ||||
| 9,248 | WuXi AppTec Co., Ltd., Class H Shares(a)(b) | 98,393 | ||||
| 493,500 | Wuxi Biologics Cayman Inc.*(a) | 3,441,750 | ||||
| 105,400 | Wuxi Lead Intelligent Equipment Co., Ltd., Class A Shares | 659,707 | ||||
| 60,980 | Wuxi Shangji Automation Co., Ltd., Class A Shares | 973,111 | ||||
| 700 | Xiamen Faratronic Co., Ltd., Class A Shares | 15,329 | ||||
| 5,000 | Xiamen Tungsten Co., Ltd., Class A Shares | 16,474 | ||||
| 389,600 | Xiaomi Corp., Class B Shares*(a) | 595,933 | ||||
| 2,700 | Xinjiang Goldwind Science & Technology Co., Ltd., Class A Shares | 4,412 | ||||
| 1,220,000 | Xinyi Solar Holdings Ltd | 1,309,892 | ||||
| 20,722 | XPeng Inc., Class A Shares* | 92,094 | ||||
See Notes to Financial Statements.
112
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| China — 26.8% — (continued) | ||||||||
| 27,500 | Xtep International Holdings Ltd | $ | 31,052 | |||||
| 28,000 | Yadea Group Holdings Ltd.(a) | 59,990 | ||||||
| 6,100 | Yankuang Energy Group Co., Ltd., Class A Shares | 31,305 | ||||||
| 38,000 | Yankuang Energy Group Co., Ltd., Class H Shares(b) | 114,441 | ||||||
| 1,050 | Yealink Network Technology Corp., Ltd., Class A Shares | 10,067 | ||||||
| 97,684 | Yifeng Pharmacy Chain Co., Ltd., Class A Shares | 849,921 | ||||||
| 13,000 | Yihai International Holding Ltd.* | 37,762 | ||||||
| 1,800 | Yihai Kerry Arawana Holdings Co., Ltd., Class A Shares | 11,906 | ||||||
| 1,100 | YongXing Special Materials Technology Co., Ltd., Class A Shares | 14,521 | ||||||
| 5,330 | Yonyou Network Technology Co., Ltd., Class A Shares | 17,842 | ||||||
| 1,200 | Youngy Co., Ltd., Class A Shares* | 17,180 | ||||||
| 8,700 | YTO Express Group Co., Ltd., Class A Shares | 22,698 | ||||||
| 24,755 | Yum China Holdings Inc. | 1,454,259 | ||||||
| 4,160 | Yunda Holding Co., Ltd., Class A Shares | 7,629 | ||||||
| 4,200 | Yunnan Baiyao Group Co., Ltd., Class A Shares | 34,366 | ||||||
| 800 | Yunnan Botanee Bio-Technology Group Co., Ltd., Class A Shares | 15,917 | ||||||
| 1,300 | Yunnan Energy New Material Co., Ltd., Class A Shares | 23,455 | ||||||
| 129,550 | Zai Lab Ltd.* | 477,443 | ||||||
| 2,037 | Zai Lab Ltd., ADR* | 75,675 | ||||||
| 800 | Zhangzhou Pientzehuang Pharmaceutical Co., Ltd., Class A Shares | 35,496 | ||||||
| 24,500 | Zhaojin Mining Industry Co., Ltd., Class H Shares*(b) | 25,952 | ||||||
| 14,520 | Zhejiang Century Huatong Group Co., Ltd., Class A Shares* | 9,185 | ||||||
| 2,100 | Zhejiang Chint Electrics Co., Ltd., Class A Shares | 9,055 | ||||||
| 6,400 | Zhejiang Dahua Technology Co., Ltd., Class A Shares | 13,354 | ||||||
| 1,300 | Zhejiang Dingli Machinery Co., Ltd., Class A Shares | 10,947 | ||||||
| 36,000 | Zhejiang Expressway Co., Ltd., Class H Shares(b) | 29,065 | ||||||
| 1,241 | Zhejiang HangKe Technology Inc. Co., Class A Shares | 8,954 | ||||||
| 4,400 | Zhejiang Huahai Pharmaceutical Co., Ltd., Class A Shares | 13,118 | ||||||
| 52,058 | Zhejiang Huayou Cobalt Co., Ltd., Class A Shares | 441,749 | ||||||
| 1,900 | Zhejiang Jingsheng Mechanical & Electrical Co., Ltd., Class A Shares | 18,729 | ||||||
| 2,900 | Zhejiang Jiuzhou Pharmaceutical Co., Ltd., Class A Shares | 16,431 | ||||||
| 7,200 | Zhejiang NHU Co., Ltd., Class A Shares | 19,642 | ||||||
| 25,000 | Zhejiang Supcon Technology Co., Ltd., Class A Shares | 352,355 | ||||||
| 7,900 | Zheshang Securities Co., Ltd., Class A Shares | 11,712 | ||||||
| 18,500 | ZhongAn Online P&C Insurance Co., Ltd., Class H Shares*(a)(b) | 53,115 | ||||||
| 3,700 | Zhongji Innolight Co., Ltd., Class A Shares | 18,890 | ||||||
| 13,000 | Zhongsheng Group Holdings Ltd | 64,812 | ||||||
| 17,200 | Zhongtai Securities Co., Ltd., Class A Shares | 17,233 | ||||||
| 15,300 | Zhuzhou CRRC Times Electric Co., Ltd | 69,735 | ||||||
| 8,000 | Zhuzhou Kibing Group Co., Ltd., Class A Shares | 12,600 | ||||||
| 44,900 | Zijin Mining Group Co., Ltd., Class A Shares | 74,076 | ||||||
| 138,000 | Zijin Mining Group Co., Ltd., Class H Shares(b) | 210,198 | ||||||
| 13,200 | Zoomlion Heavy Industry Science & Technology Co., Ltd., Class A Shares | 12,737 | ||||||
| 6,400 | ZTE Corp., Class A Shares | 29,678 | ||||||
| 12,600 | ZTE Corp., Class H Shares(b) | 37,393 | ||||||
| 11,116 | ZTO Express Cayman Inc., ADR | 267,451 | ||||||
|
|
|
|||||||
| Total China | 129,440,799 | |||||||
|
|
|
|||||||
| Colombia — 0.0%@ | ||||||||
| 7,109 | Bancolombia SA | 52,519 | ||||||
| 12,667 | Interconexion Electrica SA ESP | 44,861 | ||||||
|
|
|
|||||||
| Total Colombia | 97,380 | |||||||
|
|
|
|||||||
| Cyprus — 0.0%@ | ||||||||
| 7,431 | Polymetal International PLC(c)(d) | 1 | ||||||
| 2,925 | TCS Group Holding PLC, Class Registered Shares, GDR*(c)(d) | – | ||||||
|
|
|
|||||||
| Total Cyprus | 1 | |||||||
|
|
|
|||||||
See Notes to Financial Statements.
113
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Czech Republic — 0.1% | ||||||||
| 11,944 | CEZ AS | $ | 557,547 | |||||
| 1,684 | Komercni Banka AS | 56,811 | ||||||
| 9,582 | Moneta Money Bank AS(a) | 36,570 | ||||||
|
|
|
|||||||
| Total Czech Republic | 650,928 | |||||||
|
|
|
|||||||
| Egypt — 0.4% | ||||||||
| 2,009,004 | Cleopatra Hospital* | 341,721 | ||||||
| 1,065,105 | Commercial International Bank Egypt SAE, Class Registered Shares, GDR | 1,580,132 | ||||||
| 102,867 | Commercial International Bank Egypt SAE, GDR | 178,363 | ||||||
| 22,745 | Eastern Co. SAE | 13,753 | ||||||
|
|
|
|||||||
| Total Egypt | 2,113,969 | |||||||
|
|
|
|||||||
| Georgia — 0.1% | ||||||||
| 32,700 | Georgia Capital PLC* | 321,469 | ||||||
|
|
|
|||||||
| Germany — 0.2% |
||||||||
| 25,340 | Delivery Hero SE*(a) | 1,023,279 | ||||||
|
|
|
|||||||
| Greece — 0.4% |
||||||||
| 48,512 | Alpha Services & Holdings SA* | 75,821 | ||||||
| 153,636 | Eurobank Ergasias Services & Holdings SA* | 235,589 | ||||||
| 1,594 | FF Group*(c)(d) | – | ||||||
| 6,324 | Hellenic Telecommunications Organization SA | 97,111 | ||||||
| 2,114 | JUMBO SA | 42,139 | ||||||
| 1,003 | Motor Oil Hellas Corinth Refineries SA | 26,604 | ||||||
| 2,559 | Mytilineos SA | 69,031 | ||||||
| 13,279 | National Bank of Greece SA* | 74,328 | ||||||
| 75,081 | OPAP SA | 1,165,032 | ||||||
| 6,832 | Public Power Corp. SA* | 59,907 | ||||||
| 850 | Terna Energy SA* | 17,709 | ||||||
|
|
|
|||||||
| Total Greece | 1,863,271 | |||||||
|
|
|
|||||||
| Hong Kong — 2.4% | ||||||||
| 375,000 | AIA Group Ltd | 3,973,182 | ||||||
| 116,000 | Alibaba Health Information Technology Ltd.* | 83,364 | ||||||
| 127,000 | ASMPT Ltd | 1,084,467 | ||||||
| 11,000 | Beijing Enterprises Holdings Ltd | 36,009 | ||||||
| 138,000 | Beijing Enterprises Water Group Ltd | 34,630 | ||||||
| 106,000 | Bosideng International Holdings Ltd | 58,730 | ||||||
| 362,000 | Brilliance China Automotive Holdings Ltd | 180,787 | ||||||
| 15,000 | C&D International Investment Group Ltd | 48,307 | ||||||
| 2,463,000 | China Education Group Holdings Ltd | 2,822,962 | ||||||
| 100,888 | China Everbright Environment Group Ltd | 40,860 | ||||||
| 78,000 | China Gas Holdings Ltd | 108,883 | ||||||
| 156,000 | China Jinmao Holdings Group Ltd | 30,210 | ||||||
| 82,000 | China Mengniu Dairy Co., Ltd.* | 360,422 | ||||||
| 39,538 | China Merchants Port Holdings Co., Ltd | 55,397 | ||||||
| 98,000 | China Overseas Land & Investment Ltd | 242,872 | ||||||
| 35,000 | China Overseas Property Holdings Ltd | 40,780 | ||||||
| 130,000 | China Power International Development Ltd | 51,509 | ||||||
| 40,000 | China Resources Beer Holdings Co., Ltd | 297,225 | ||||||
| 54,000 | China Resources Cement Holdings Ltd | 29,021 | ||||||
| 26,000 | China Resources Gas Group Ltd | 109,670 | ||||||
| 82,000 | China Resources Land Ltd | 363,556 | ||||||
| 46,000 | China Resources Power Holdings Co., Ltd | 93,848 | ||||||
| 128,000 | China Ruyi Holdings Ltd.* | 31,783 | ||||||
| 56,000 | China State Construction International Holdings Ltd | 63,693 | ||||||
| 35,800 | China Taiping Insurance Holdings Co., Ltd | 42,334 | ||||||
See Notes to Financial Statements.
114
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Hong Kong — 2.4% — (continued) | ||||||||
| 72,000 | China Traditional Chinese Medicine Holdings Co., Ltd | $ | 37,334 | |||||
| 51,000 | Chow Tai Fook Jewellery Group Ltd | 98,704 | ||||||
| 46,000 | COSCO SHIPPING Ports Ltd | 29,942 | ||||||
| 46,000 | Far East Horizon Ltd | 40,856 | ||||||
| 518,000 | GCL Technology Holdings Ltd.* | 133,239 | ||||||
| 154,000 | Geely Automobile Holdings Ltd | 201,294 | ||||||
| 82,000 | Guangdong Investment Ltd | 82,973 | ||||||
| 18,000 | Kingboard Holdings Ltd | 64,186 | ||||||
| 20,500 | Kingboard Laminates Holdings Ltd | 25,536 | ||||||
| 110,000 | Kunlun Energy Co., Ltd | 88,009 | ||||||
| 38,000 | Nine Dragons Paper Holdings Ltd | 30,936 | ||||||
| 3,000 | Orient Overseas International Ltd | 48,135 | ||||||
| 26,000 | Shenzhen International Holdings Ltd | 22,584 | ||||||
| 14,412 | Shimao Group Holdings Ltd.*(c)(d) | 3,672 | ||||||
| 270,750 | Sino Biopharmaceutical Ltd | 139,643 | ||||||
| 13,000 | Vinda International Holdings Ltd | 35,771 | ||||||
| 24,800 | Yuexiu Property Co., Ltd | 36,513 | ||||||
|
|
|
|||||||
| Total Hong Kong | 11,403,828 | |||||||
|
|
|
|||||||
| Hungary — 0.7% | ||||||||
| 99,365 | MOL Hungarian Oil & Gas PLC | 755,595 | ||||||
| 81,238 | OTP Bank Nyrt | 2,465,003 | ||||||
| 3,854 | Richter Gedeon Nyrt | 80,837 | ||||||
|
|
|
|||||||
| Total Hungary | 3,301,435 | |||||||
|
|
|
|||||||
| India — 12.9% | ||||||||
| 932 | ABB India Ltd | 36,310 | ||||||
| 1,692 | ACC Ltd | 35,429 | ||||||
| 4,403 | Adani Enterprises Ltd | 73,005 | ||||||
| 7,928 | Adani Green Energy Ltd.* | 46,331 | ||||||
| 12,475 | Adani Ports & Special Economic Zone Ltd | 89,097 | ||||||
| 19,546 | Adani Power Ltd.* | 34,420 | ||||||
| 6,632 | Adani Total Gas Ltd | 54,288 | ||||||
| 6,673 | Adani Transmission Ltd.* | 51,644 | ||||||
| 17,967 | Ambuja Cements Ltd | 74,357 | ||||||
| 2,536 | Apollo Hospitals Enterprise Ltd | 134,430 | ||||||
| 60,089 | Asian Paints Ltd | 2,058,562 | ||||||
| 2,666 | AU Small Finance Bank Ltd.(a) | 19,103 | ||||||
| 8,684 | Aurobindo Pharma Ltd | 48,443 | ||||||
| 4,163 | Avenue Supermarts Ltd.*(a) | 173,032 | ||||||
| 133,122 | Axis Bank Ltd | 1,360,829 | ||||||
| 17,728 | Bajaj Auto Ltd | 782,349 | ||||||
| 6,979 | Bajaj Finance Ltd | 515,729 | ||||||
| 9,840 | Bajaj Finserv Ltd | 158,823 | ||||||
| 577 | Bajaj Holdings & Investment Ltd | 44,565 | ||||||
| 2,275 | Balkrishna Industries Ltd | 55,246 | ||||||
| 13,938 | Bandhan Bank Ltd.*(a) | 38,864 | ||||||
| 19,793 | Bank of Baroda* | 38,080 | ||||||
| 7,050 | Berger Paints India Ltd | 49,620 | ||||||
| 104,457 | Bharat Electronics Ltd | 119,577 | ||||||
| 6,110 | Bharat Forge Ltd | 60,146 | ||||||
| 235,223 | Bharat Petroleum Corp., Ltd | 899,937 | ||||||
| 55,675 | Bharti Airtel Ltd | 503,438 | ||||||
| 2,714 | Britannia Industries Ltd | 146,663 | ||||||
| 11,596 | CG Power & Industrial Solutions Ltd.* | 42,444 | ||||||
| 118,823 | Cholamandalam Investment & Finance Co., Ltd | 1,087,858 | ||||||
| 12,999 | Cipla Ltd | 142,419 | ||||||
See Notes to Financial Statements.
115
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||
| Shares/Units | Security | Value | ||||
| India — 12.9% — (continued) | ||||||
| 38,514 | Coal India Ltd | $ | 100,127 | |||
| 3,227 | Colgate-Palmolive India Ltd | 57,697 | ||||
| 6,095 | Container Corp. Of India Ltd | 43,571 | ||||
| 17,377 | Dabur India Ltd | 111,935 | ||||
| 115,247 | Delhivery Ltd.* | 480,555 | ||||
| 3,205 | Divi’s Laboratories Ltd | 109,687 | ||||
| 17,785 | DLF Ltd | 75,429 | ||||
| 2,884 | Dr Reddy’s Laboratories Ltd | 150,533 | ||||
| 3,578 | Eicher Motors Ltd | 134,387 | ||||
| 68,236 | GAIL India Ltd | 84,590 | ||||
| 10,486 | Godrej Consumer Products Ltd.* | 117,228 | ||||
| 3,584 | Godrej Properties Ltd.* | 47,889 | ||||
| 6,440 | Grasim Industries Ltd | 122,256 | ||||
| 6,619 | Havells India Ltd | 95,887 | ||||
| 25,157 | HCL Technologies Ltd | 329,979 | ||||
| 117,780 | HDFC Bank Ltd | 2,282,894 | ||||
| 88,377 | HDFC Bank Ltd., ADR | 5,977,820 | ||||
| 24,078 | HDFC Life Insurance Co., Ltd.(a) | 142,275 | ||||
| 2,816 | Hero MotoCorp Ltd | 82,623 | ||||
| 34,365 | Hindalco Industries Ltd | 166,594 | ||||
| 18,466 | Hindustan Petroleum Corp., Ltd | 48,209 | ||||
| 21,021 | Hindustan Unilever Ltd | 624,598 | ||||
| 43,919 | Housing Development Finance Corp., Ltd | 1,387,300 | ||||
| 131,323 | ICICI Bank Ltd | 1,358,134 | ||||
| 258,381 | ICICI Bank Ltd., ADR | 5,343,319 | ||||
| 6,160 | ICICI Lombard General Insurance Co., Ltd.(a) | 82,325 | ||||
| 9,181 | ICICI Prudential Life Insurance Co., Ltd.(a) | 45,217 | ||||
| 20,127 | Indian Hotels Co., Ltd., Class A Shares | 75,502 | ||||
| 74,260 | Indian Oil Corp., Ltd | 68,267 | ||||
| 4,984 | Indian Railway Catering & Tourism Corp., Ltd | 36,730 | ||||
| 5,863 | Indraprastha Gas Ltd | 31,064 | ||||
| 520,100 | Indus Towers Ltd | 1,087,954 | ||||
| 2,093 | Info Edge India Ltd | 88,484 | ||||
| 85,864 | Infosys Ltd | 1,548,609 | ||||
| 2,555 | InterGlobe Aviation Ltd.*(a) | 57,372 | ||||
| 76,832 | ITC Ltd | 350,176 | ||||
| 10,437 | Jindal Steel & Power Ltd | 69,352 | ||||
| 20,967 | JSW Steel Ltd | 169,175 | ||||
| 10,215 | Jubilant Foodworks Ltd | 54,732 | ||||
| 123,739 | Kotak Mahindra Bank Ltd | 2,591,627 | ||||
| 18,008 | Larsen & Toubro Ltd | 459,076 | ||||
| 2,444 | LTIMindtree Ltd.(a) | 139,081 | ||||
| 5,715 | Lupin Ltd | 45,517 | ||||
| 22,413 | Mahindra & Mahindra Ltd | 345,715 | ||||
| 12,963 | Marico Ltd.* | 77,306 | ||||
| 22,126 | Maruti Suzuki India Ltd | 2,315,402 | ||||
| 2,290 | Mphasis Ltd | 56,775 | ||||
| 50 | MRF Ltd | 51,428 | ||||
| 3,147 | Muthoot Finance Ltd | 37,041 | ||||
| 878 | Nestle India Ltd | 197,878 | ||||
| 99,169 | NTPC Ltd | 203,943 | ||||
| 55,740 | Oberoi Realty Ltd | 575,224 | ||||
| 63,200 | Oil & Natural Gas Corp., Ltd | 116,176 | ||||
| 152 | Page Industries Ltd | 69,788 | ||||
| 367,092 | Petronet LNG Ltd | 989,518 | ||||
| 57,000 | Phoenix Mills Ltd. (The) | 942,968 | ||||
See Notes to Financial Statements.
116
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| India — 12.9% — (continued) | ||||||||
| 2,406 | PI Industries Ltd | $ | 90,079 | |||||
| 3,794 | Pidilite Industries Ltd | 105,528 | ||||||
| 76,988 | Power Grid Corp. of India Ltd | 206,658 | ||||||
| 354,354 | Reliance Industries Ltd | 9,937,702 | ||||||
| 62,000 | ReNew Energy Global PLC, Class A Shares* | 269,080 | ||||||
| 54,912 | Samvardhana Motherson International Ltd | 53,111 | ||||||
| 5,631 | SBI Cards & Payment Services Ltd | 51,149 | ||||||
| 11,707 | SBI Life Insurance Co., Ltd.(a) | 158,048 | ||||||
| 257 | Shree Cement Ltd | 80,141 | ||||||
| 5,206 | Shriram Finance Ltd | 76,225 | ||||||
| 2,065 | Siemens Ltd | 81,062 | ||||||
| 3,876 | SRF Ltd | 101,556 | ||||||
| 45,738 | State Bank of India | 289,324 | ||||||
| 16,390 | Sterling & Wilson Renewable* | 57,664 | ||||||
| 24,519 | Sun Pharmaceutical Industries Ltd | 284,081 | ||||||
| 23,572 | Tata Consultancy Services Ltd | 948,520 | ||||||
| 15,654 | Tata Consumer Products Ltd | 135,564 | ||||||
| 865 | Tata Elxsi Ltd | 63,803 | ||||||
| 43,335 | Tata Motors Ltd.* | 220,349 | ||||||
| 38,627 | Tata Power Co., Ltd. (The) | 94,524 | ||||||
| 184,710 | Tata Steel Ltd | 232,497 | ||||||
| 15,635 | Tech Mahindra Ltd | 207,708 | ||||||
| 123,145 | Titan Co., Ltd | 3,529,676 | ||||||
| 3,014 | Torrent Pharmaceuticals Ltd | 53,407 | ||||||
| 4,476 | Trent Ltd | 68,933 | ||||||
| 2,257 | Tube Investments of India Ltd | 76,191 | ||||||
| 4,523 | TVS Motor Co., Ltd | 58,837 | ||||||
| 20,209 | UltraTech Cement Ltd | 1,774,502 | ||||||
| 7,945 | United Spirits Ltd.* | 70,939 | ||||||
| 145,067 | UPL Ltd | 1,224,423 | ||||||
| 5,647 | Varun Beverages Ltd | 89,928 | ||||||
| 18,794 | Vedanta Ltd | 60,895 | ||||||
| 34,605 | Wipro Ltd | 162,036 | ||||||
| 241,179 | Yes Bank Ltd.*(c) | 51,208 | ||||||
| 81,490 | Zomato Ltd.* | 52,537 | ||||||
|
|
|
|||||||
| Total India | 62,447,861 | |||||||
|
|
|
|||||||
| Indonesia — 2.7% | ||||||||
| 402,400 | Adaro Energy Indonesia Tbk PT | 78,885 | ||||||
| 197,700 | Aneka Tambang Tbk | 25,794 | ||||||
| 2,525,300 | Astra International Tbk PT | 1,009,940 | ||||||
| 6,320,000 | Bank BTPN Syariah Tbk PT | 969,629 | ||||||
| 1,425,500 | Bank Central Asia Tbk PT | 817,786 | ||||||
| 2,635,724 | Bank Mandiri Persero Tbk PT | 1,711,981 | ||||||
| 200,200 | Bank Negara Indonesia Persero Tbk PT | 115,284 | ||||||
| 12,733,724 | Bank Rakyat Indonesia Persero Tbk PT | 3,898,323 | ||||||
| 813,531 | Barito Pacific Tbk PT | 49,871 | ||||||
| 174,600 | Charoen Pokphand Indonesia Tbk PT | 61,531 | ||||||
| 86,100 | Indah Kiat Pulp & Paper Tbk PT | 44,735 | ||||||
| 69,500 | Indofood CBP Sukses Makmur Tbk PT | 46,141 | ||||||
| 143,200 | Indofood Sukses Makmur Tbk PT | 60,795 | ||||||
| 492,600 | Kalbe Farma Tbk PT | 68,148 | ||||||
| 326,849 | Merdeka Copper Gold Tbk PT* | 97,271 | ||||||
| 505,900 | Sarana Menara Nusantara Tbk PT | 34,828 | ||||||
| 79,529 | Semen Indonesia Persero Tbk PT | 37,671 | ||||||
| 459,700 | Sumber Alfaria Trijaya Tbk PT | 87,410 | ||||||
See Notes to Financial Statements.
117
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Indonesia — 2.7% — (continued) | ||||||||
| 7,499,087 | Telkom Indonesia Persero Tbk PT | $ | 1,907,503 | |||||
| 37,266 | Telkom Indonesia Persero Tbk PT, ADR | 959,972 | ||||||
| 188,500 | Unilever Indonesia Tbk PT | 51,663 | ||||||
| 461,200 | United Tractors Tbk PT | 842,148 | ||||||
| 75,800 | Vale Indonesia Tbk PT* | 34,007 | ||||||
|
|
|
|||||||
| Total Indonesia | 13,011,316 | |||||||
|
|
|
|||||||
| Kazakhstan — 0.4% | ||||||||
| 26,421 | Kaspi.KZ JSC, GDR | 1,962,958 | ||||||
| 840 | Kaspi.KZ JSC, GDR(a) | 62,496 | ||||||
|
|
|
|||||||
| Total Kazakhstan | 2,025,454 | |||||||
|
|
|
|||||||
| Kuwait — 0.4% | ||||||||
| 41,935 | Agility Public Warehousing Co., KSC | 82,277 | ||||||
| 30,927 | Boubyan Bank KSCP | 77,047 | ||||||
| 40,976 | Gulf Bank KSCP | 40,425 | ||||||
| 44,000 | Humansoft Holding Co. KSC | 527,172 | ||||||
| 189,463 | Kuwait Finance House KSCP | 528,560 | ||||||
| 13,177 | Mabanee Co., KPSC | 33,714 | ||||||
| 58,759 | Mobile Telecommunications Co., KSCP | 106,962 | ||||||
| 183,071 | National Bank of Kuwait SAKP | 637,982 | ||||||
|
|
|
|||||||
| Total Kuwait | 2,034,139 | |||||||
|
|
|
|||||||
| Luxembourg — 0.2% | ||||||||
| 3,985 | Reinet Investments SCA | 78,882 | ||||||
| 17,099 | Ternium SA, ADR | 728,588 | ||||||
|
|
|
|||||||
| Total Luxembourg | 807,470 | |||||||
|
|
|
|||||||
| Malaysia — 0.5% | ||||||||
| 46,100 | AMMB Holdings Bhd | 41,182 | ||||||
| 59,300 | Axiata Group Bhd | 41,874 | ||||||
| 174,207 | CIMB Group Holdings Bhd | 217,836 | ||||||
| 120,100 | Dialog Group Bhd | 60,189 | ||||||
| 84,300 | DiGi.Com Bhd | 80,771 | ||||||
| 65,800 | Genting Bhd | 68,348 | ||||||
| 80,300 | Genting Malaysia Bhd | 48,328 | ||||||
| 20,100 | HAP Seng Consolidated Bhd | 27,321 | ||||||
| 2,000 | Hartalega Holdings Bhd | 655 | ||||||
| 15,800 | Hong Leong Bank Bhd | 72,305 | ||||||
| 2,900 | Hong Leong Financial Group Bhd | 11,776 | ||||||
| 36,300 | IHH Healthcare Bhd | 46,742 | ||||||
| 77,400 | Inari Amertron Bhd | 42,215 | ||||||
| 56,900 | IOI Corp. Bhd | 48,550 | ||||||
| 11,700 | Kuala Lumpur Kepong Bhd | 54,210 | ||||||
| 121,509 | Malayan Banking Bhd | 238,043 | ||||||
| 25,900 | Malaysia Airports Holdings Bhd* | 39,183 | ||||||
| 57,900 | Maxis Bhd | 50,438 | ||||||
| 34,300 | MISC Bhd | 57,766 | ||||||
| 45,300 | MR DIY Group M Bhd(a) | 17,166 | ||||||
| 1,600 | Nestle Malaysia Bhd | 48,175 | ||||||
| 59,300 | Petronas Chemicals Group Bhd | 94,747 | ||||||
| 8,600 | Petronas Dagangan Bhd | 40,297 | ||||||
| 18,400 | Petronas Gas Bhd | 68,300 | ||||||
| 12,800 | PPB Group Bhd | 49,919 | ||||||
| 94,700 | Press Metal Aluminium Holdings Bhd | 108,847 | ||||||
| 372,400 | Public Bank Bhd | 342,673 | ||||||
| 31,500 | QL Resources Bhd | 40,784 | ||||||
See Notes to Financial Statements.
118
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Malaysia — 0.5% — (continued) | ||||||||
| 54,100 | RHB Bank Bhd | $ | 68,471 | |||||
| 77,200 | Sime Darby Bhd | 38,953 | ||||||
| 56,800 | Sime Darby Plantation Bhd | 53,574 | ||||||
| 31,400 | Telekom Malaysia Bhd | 35,185 | ||||||
| 67,600 | Tenaga Nasional Bhd | 141,149 | ||||||
| 123,200 | Top Glove Corp. Bhd* | 20,716 | ||||||
|
|
|
|||||||
| Total Malaysia | 2,416,688 | |||||||
|
|
|
|||||||
| Mexico — 3.6% | ||||||||
| 70,338 | Alfa SAB de CV, Class A Shares | 46,133 | ||||||
| 48,514 | America Movil SAB de CV, Class L Shares, ADR | 998,418 | ||||||
| 706,389 | America Movil SAB de CV, Series L | 725,452 | ||||||
| 11,362 | Arca Continental SAB de CV | 96,237 | ||||||
| 19,765 | Banco del Bajio SA(a) | 75,522 | ||||||
| 12,281 | Coca-Cola Femsa SAB de CV | 88,763 | ||||||
| 76,190 | Fibra Uno Administracion SA de CV, REIT | 108,687 | ||||||
| 51,233 | Fomento Economico Mexicano SAB de CV | 471,832 | ||||||
| 5,527 | Gruma SAB de CV, Class B Shares | 81,409 | ||||||
| 9,937 | Grupo Aeroportuario del Pacifico SAB de CV, Class B Shares | 188,510 | ||||||
| 5,854 | Grupo Aeroportuario del Sureste SAB de CV, Class B Shares | 167,612 | ||||||
| 33,987 | Grupo Bimbo SAB de CV, Series A | 162,038 | ||||||
| 12,114 | Grupo Carso SAB de CV, Series A1 | 58,073 | ||||||
| 505,317 | Grupo Financiero Banorte SAB de CV, Class O Shares | 4,277,570 | ||||||
| 52,927 | Grupo Financiero Inbursa SAB de CV, Class O Shares* | 110,620 | ||||||
| 231,968 | Grupo México SAB de CV, Series B | 1,043,309 | ||||||
| 51,049 | Grupo Televisa SAB | 51,004 | ||||||
| 4,431 | Industrias Peñoles SAB de CV* | 53,016 | ||||||
| 662,165 | Kimberly-Clark de México SAB de CV, Class A Shares | 1,324,601 | ||||||
| 29,228 | Operadora de Sites Mexicanos SAB de CV, Class 1 Shares | 29,106 | ||||||
| 573,157 | Orbia Advance Corp. SAB de CV | 1,190,719 | ||||||
| 3,707 | Promotora y Operadora de Infraestructura SAB de CV | 36,158 | ||||||
| 91,681 | Qualitas Controladora SAB de CV | 570,293 | ||||||
| 284,100 | Regional SAB de CV | 2,357,116 | ||||||
| 758,414 | Wal-Mart de Mexico SAB de CV | 2,988,681 | ||||||
|
|
|
|||||||
| Total Mexico | 17,300,879 | |||||||
|
|
|
|||||||
| Netherlands — 0.8% | ||||||||
| 12,894 | NEPI Rockcastle NV | 77,371 | ||||||
| 55,168 | Prosus NV* | 3,948,873 | ||||||
|
|
|
|||||||
| Total Netherlands | 4,026,244 | |||||||
|
|
|
|||||||
| Peru — 0.4% | ||||||||
| 7,021 | Cia de Minas Buenaventura SAA, ADR(e) | 53,219 | ||||||
| 13,704 | Credicorp Ltd | 1,746,164 | ||||||
|
|
|
|||||||
| Total Peru | 1,799,383 | |||||||
|
|
|
|||||||
| Philippines — 1.1% | ||||||||
| 43,280 | Aboitiz Equity Ventures Inc. | 42,257 | ||||||
| 21,090 | ACEN Corp | 2,409 | ||||||
| 7,030 | Ayala Corp | 79,344 | ||||||
| 199,760 | Ayala Land Inc. | 102,802 | ||||||
| 47,558 | Bank of the Philippine Islands | 94,258 | ||||||
| 66,413 | BDO Unibank Inc. | 147,905 | ||||||
| 7,256,900 | Bloomberry Resorts Corp.* | 1,198,401 | ||||||
| 20 | Globe Telecom Inc. | 641 | ||||||
| 681,360 | International Container Terminal Services Inc. | 2,466,476 | ||||||
| 86,856 | JG Summit Holdings Inc. | 77,438 | ||||||
See Notes to Financial Statements.
119
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Philippines — 1.1% — (continued) | ||||||||
| 13,220 | Jollibee Foods Corp | $ | 57,294 | |||||
| 6,170 | Manila Electric Co | 35,418 | ||||||
| 54,636 | Metropolitan Bank & Trust Co | 57,423 | ||||||
| 146,800 | Monde Nissin Corp.(a) | 31,962 | ||||||
| 2,195 | PLDT Inc. | 51,096 | ||||||
| 739,970 | Robinsons Retail Holdings Inc. | 727,467 | ||||||
| 5,930 | SM Investments Corp | 91,258 | ||||||
| 295,100 | SM Prime Holdings Inc. | 181,415 | ||||||
| 22,540 | Universal Robina Corp | 55,550 | ||||||
|
|
|
|||||||
| Total Philippines | 5,500,814 | |||||||
|
|
|
|||||||
| Poland — 0.4% | ||||||||
| 9,581 | Allegro.eu SA*(a) | 62,394 | ||||||
| 4,852 | Bank Polska Kasa Opieki SA | 97,637 | ||||||
| 1,614 | CD Projekt SA | 47,965 | ||||||
| 6,856 | Cyfrowy Polsat SA | 26,565 | ||||||
| 1,375 | Dino Polska SA*(a) | 114,819 | ||||||
| 90,600 | InPost SA* | 748,919 | ||||||
| 3,754 | KGHM Polska Miedz SA | 107,194 | ||||||
| 30 | LPP SA | 63,484 | ||||||
| 545 | mBank SA* | 40,162 | ||||||
| 25,504 | PGE Polska Grupa Energetyczna SA* | 38,271 | ||||||
| 13,491 | Polski Koncern Naftowy ORLEN SA | 201,885 | ||||||
| 23,686 | Powszechna Kasa Oszczednosci Bank Polski SA | 165,279 | ||||||
| 16,683 | Powszechny Zaklad Ubezpieczen SA | 137,258 | ||||||
| 938 | Santander Bank Polska SA | 62,982 | ||||||
|
|
|
|||||||
| Total Poland | 1,914,814 | |||||||
|
|
|
|||||||
| Portugal — 0.4% | ||||||||
| 175,208 | Galp Energia SGPS SA | 2,132,390 | ||||||
|
|
|
|||||||
| Qatar — 0.3% |
||||||||
| 58,133 | Barwa Real Estate Co | 43,765 | ||||||
| 82,701 | Commercial Bank PSQC (The) | 139,244 | ||||||
| 37,218 | Industries Qatar QSC | 141,845 | ||||||
| 142,882 | Masraf Al Rayan QSC | 105,604 | ||||||
| 113,710 | Mesaieed Petrochemical Holding Co | 65,390 | ||||||
| 26,290 | Ooredoo QPSC | 66,225 | ||||||
| 12,424 | Qatar Electricity & Water Co. QSC | 59,319 | ||||||
| 10,432 | Qatar Fuel QSC | 46,411 | ||||||
| 72,697 | Qatar Gas Transport Co., Ltd | 72,640 | ||||||
| 16,205 | Qatar International Islamic Bank QSC | 46,520 | ||||||
| 41,921 | Qatar Islamic Bank SAQ | 213,467 | ||||||
| 118,254 | Qatar National Bank QPSC | 545,661 | ||||||
|
|
|
|||||||
| Total Qatar | 1,546,091 | |||||||
|
|
|
|||||||
| Russia — 0.0%@ | ||||||||
| 64,081 | Alrosa PJSC*#(c) | 641 | ||||||
| 502,100 | Detsky Mir PJSC, (Cost — $786,566, acquired 10/15/20)*#(c)(f) | 5,021 | ||||||
| 179,000 | Fix Price Group PLC, (Cost — $1,614,764, acquired 3/5/21), GDR*(c)(d)(f) | 1,790 | ||||||
| 267,363 | Gazprom PJSC#(c) | 2,674 | ||||||
| 21,428 | Gazprom PJSC(c)(d) | 3 | ||||||
| 885,983 | Inter RAO UES PJSC#(c) | 8,860 | ||||||
| 10,171 | Lukoil PJSC#(c) | 102 | ||||||
| 1,730 | Magnit PJSC*#(c) | 17 | ||||||
| 1 | Magnit PJSC, Class Registered Shares, GDR*#(c) | – | ||||||
| 1,550 | MMC Norilsk Nickel PJSC#(c) | 16 | ||||||
See Notes to Financial Statements.
120
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Russia — 0.0%@ — (continued) | ||||||||
| 24,130 | Mobile TeleSystems PJSC#(c) | $ | 241 | |||||
| 135,663 | Mobile TeleSystems PJSC, ADR*# | 1,357 | ||||||
| 39,065 | Moscow Exchange MICEX-RTS PJSC*#(c) | 391 | ||||||
| 22,130 | Novatek PJSC#(c) | 221 | ||||||
| 37,499 | Novolipetsk Steel PJSC*#(c) | 375 | ||||||
| 508 | Novolipetsk Steel PJSC*(c)(d) | — | ||||||
| 1,593 | Ozon Holdings PLC, ADR*(c)(d) | — | ||||||
| 921 | PhosAgro PJSC#(c) | 9 | ||||||
| 19 | PhosAgro PJSC, Class Registered Shares, GDR*#(c) | — | ||||||
| 869 | Polyus PJSC*#(c) | 9 | ||||||
| 28,885 | Rosneft Oil Co. PJSC#(c) | 289 | ||||||
| 891,342 | Sberbank of Russia PJSC, (Cost — $1,699,436, acquired 8/3/16)*#(c)(f) | 8,913 | ||||||
| 5,523 | Severstal PAO*#(c) | 55 | ||||||
| 157,330 | Surgutneftegas PJSC#(c) | 1,573 | ||||||
| 32,571 | Tatneft PJSC#(c) | 326 | ||||||
| 5,031 | Tatneft PJSC(c)(d) | 1 | ||||||
| 88,972 | United Co. RUSAL International PJSC(c)(d) | 12 | ||||||
| 2,330 | VK Co., Ltd., GDR*(c)(d) | — | ||||||
| 60,086,472 | VTB Bank PJSC*#(c) | 9,854 | ||||||
| 3,377 | X5 Retail Group NV, Class Registered Shares, GDR*(c)(d) | — | ||||||
| 17,600 | Yandex NV, (Cost — $445,196, acquired 1/21/22), Class A Shares*(c)(d)(f) | 176 | ||||||
| 7,493 | Yandex NV, Class A Shares*(c)(d) | 1 | ||||||
|
|
|
|||||||
| Total Russia | 42,927 | |||||||
|
|
|
|||||||
| Saudi Arabia — 1.8% | ||||||||
| 1,780 | ACWA Power Co | 66,051 | ||||||
| 3,528 | Advanced Petrochemical Co | 45,414 | ||||||
| 180,289 | Al Rajhi Bank* | 3,372,753 | ||||||
| 25,043 | Alinma Bank | 196,293 | ||||||
| 6,060 | Almarai Co. JSC | 84,712 | ||||||
| 14,805 | Arab National Bank | 90,736 | ||||||
| 515 | Arabian Internet & Communications Services Co | 33,958 | ||||||
| 12,498 | Bank AlBilad* | 118,522 | ||||||
| 12,023 | Bank Al-Jazira | 57,973 | ||||||
| 14,887 | Banque Saudi Fransi | 129,546 | ||||||
| 1,903 | Bupa Arabia for Cooperative Insurance Co | 78,346 | ||||||
| 1,321 | Dallah Healthcare Co | 51,437 | ||||||
| 14,545 | Dar Al Arkan Real Estate Development Co.* | 55,619 | ||||||
| 2,248 | Dr Sulaiman Al Habib Medical Services Group Co | 138,843 | ||||||
| 617 | Elm Co | 62,289 | ||||||
| 11,631 | Emaar Economic City* | 23,380 | ||||||
| 10,578 | Etihad Etisalat Co | 110,095 | ||||||
| 1,138 | Jarir Marketing Co | 44,785 | ||||||
| 12,541 | Mobile Telecommunications Co.* | 34,649 | ||||||
| 1,161 | Mouwasat Medical Services Co | 55,838 | ||||||
| 672 | Nahdi Medical Co | 33,370 | ||||||
| 9,889 | National Industrialization Co.* | 31,725 | ||||||
| 12,524 | Rabigh Refining & Petrochemical Co.* | 33,853 | ||||||
| 35,268 | Riyad Bank | 244,582 | ||||||
| 5,451 | SABIC Agri-Nutrients Co | 193,896 | ||||||
| 8,982 | Sahara International Petrochemical Co | 84,566 | ||||||
| 23,531 | Saudi Arabian Mining Co.* | 398,054 | ||||||
| 61,586 | Saudi Arabian Oil Co.(a) | 521,615 | ||||||
| 22,751 | Saudi Basic Industries Corp | 535,733 | ||||||
| 23,756 | Saudi British Bank (The) | 209,598 | ||||||
| 22,768 | Saudi Electricity Co | 134,570 | ||||||
See Notes to Financial Statements.
121
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Saudi Arabia — 1.8% — (continued) | ||||||||
| 12,132 | Saudi Industrial Investment Group | $ | 72,151 | |||||
| 9,322 | Saudi Investment Bank (The) | 39,256 | ||||||
| 15,381 | Saudi Kayan Petrochemical Co.* | 51,970 | ||||||
| 56,213 | Saudi National Bank (The) | 706,836 | ||||||
| 874 | Saudi Research & Media Group* | 43,308 | ||||||
| 1,126 | Saudi Tadawul Group Holding Co | 42,803 | ||||||
| 38,720 | Saudi Telecom Co | 362,297 | ||||||
| 5,902 | Savola Group (The) | 42,742 | ||||||
| 6,510 | Yanbu National Petrochemical Co | 72,799 | ||||||
|
|
|
|||||||
| Total Saudi Arabia | 8,706,963 | |||||||
|
|
|
|||||||
| Singapore — 0.2% | ||||||||
| 6,800 | BOC Aviation Ltd.(a) | 49,121 | ||||||
| 1,271 | JOYY Inc., ADR | 39,909 | ||||||
| 10,801 | Sea Ltd., ADR* | 674,955 | ||||||
|
|
|
|||||||
| Total Singapore | 763,985 | |||||||
|
|
|
|||||||
| South Africa — 2.5% | ||||||||
| 21,708 | Absa Group Ltd | 234,357 | ||||||
| 3,655 | African Rainbow Minerals Ltd | 50,671 | ||||||
| 1,405 | Anglo American Platinum Ltd | 77,924 | ||||||
| 10,772 | AngloGold Ashanti Ltd | 180,513 | ||||||
| 9,447 | Aspen Pharmacare Holdings Ltd | 72,963 | ||||||
| 8,357 | Bid Corp., Ltd | 183,185 | ||||||
| 67,464 | Bidvest Group Ltd. (The) | 856,704 | ||||||
| 2,280 | Capitec Bank Holdings Ltd | 217,652 | ||||||
| 6,815 | Clicks Group Ltd | 99,337 | ||||||
| 12,452 | Discovery Ltd.* | 101,584 | ||||||
| 7,017 | Exxaro Resources Ltd | 76,798 | ||||||
| 129,311 | FirstRand Ltd | 461,345 | ||||||
| 8,762 | Foschini Group Ltd. (The) | 48,228 | ||||||
| 22,560 | Gold Fields Ltd | 204,875 | ||||||
| 79,517 | Growthpoint Properties Ltd., REIT | 58,183 | ||||||
| 12,491 | Harmony Gold Mining Co., Ltd | 38,463 | ||||||
| 21,102 | Impala Platinum Holdings Ltd | 197,455 | ||||||
| 1,524 | Kumba Iron Ore Ltd | 39,761 | ||||||
| 694,473 | Life Healthcare Group Holdings Ltd | 739,033 | ||||||
| 5,962 | Mr Price Group Ltd | 49,426 | ||||||
| 43,515 | MTN Group Ltd | 341,648 | ||||||
| 10,235 | MultiChoice Group | 78,574 | ||||||
| 5,541 | Naspers Ltd., Class N Shares | 980,313 | ||||||
| 147,782 | Nedbank Group Ltd | 1,853,693 | ||||||
| 8,806 | Northam Platinum Holdings Ltd.* | 72,510 | ||||||
| 135,269 | Old Mutual Ltd | 87,695 | ||||||
| 8,790 | OUTsurance Group Ltd.* | 17,092 | ||||||
| 39,875 | Pepkor Holdings Ltd.(a) | 40,691 | ||||||
| 13,978 | Remgro Ltd | 106,384 | ||||||
| 309,635 | Sanlam Ltd | 1,008,901 | ||||||
| 13,934 | Sasol Ltd | 203,893 | ||||||
| 12,453 | Shoprite Holdings Ltd | 150,836 | ||||||
| 72,515 | Sibanye Stillwater Ltd | 146,083 | ||||||
| 139,173 | Standard Bank Group Ltd | 1,391,170 | ||||||
| 350,173 | Transaction Capital Ltd | 594,885 | ||||||
| 121,996 | Vodacom Group Ltd | 841,522 | ||||||
| 26,667 | Woolworths Holdings Ltd | 111,800 | ||||||
|
|
|
|||||||
| Total South Africa | 12,016,147 | |||||||
|
|
|
|||||||
See Notes to Financial Statements.
122
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||
| Shares/Units | Security | Value | ||||
| South Korea — 11.6% | ||||||
| 875 | Amorepacific Corp | $ | 91,402 | |||
| 233 | BGF retail Co., Ltd | 31,864 | ||||
| 2,296 | Celltrion Healthcare Co., Ltd | 94,482 | ||||
| 2,688 | Celltrion Inc. | 294,819 | ||||
| 446 | Celltrion Pharm Inc.* | 19,296 | ||||
| 1,194 | Cheil Worldwide Inc. | 18,059 | ||||
| 241 | CJ CheilJedang Corp | 58,515 | ||||
| 570 | CJ Corp | 37,449 | ||||
| 22,200 | Coway Co., Ltd | 896,669 | ||||
| 1,439 | DB Insurance Co., Ltd | 83,793 | ||||
| 1,233 | Doosan Bobcat Inc. | 35,304 | ||||
| 10,586 | Doosan Enerbility Co., Ltd.* | 130,005 | ||||
| 16,460 | Doosan Fuel Cell Co., Ltd.* | 427,290 | ||||
| 1,216 | Ecopro BM Co., Ltd.(e) | 152,565 | ||||
| 446 | E-MART Inc. | 37,753 | ||||
| 515 | F&F Co., Ltd | 54,034 | ||||
| 1,234 | GS Holdings Corp | 37,921 | ||||
| 7,759 | Hana Financial Group Inc. | 266,279 | ||||
| 1,886 | Hankook Tire & Technology Co., Ltd | 53,033 | ||||
| 223 | Hanmi Pharm Co., Ltd.* | 43,674 | ||||
| 6,259 | Hanon Systems | 42,698 | ||||
| 3,192 | Hanwha Solutions Corp.*(c) | 99,778 | ||||
| 1,100 | HD Hyundai Co., Ltd | 49,395 | ||||
| 3,172 | HLB Inc.* | 77,382 | ||||
| 6,717 | HMM Co., Ltd.*(e) | 114,326 | ||||
| 672 | Hotel Shilla Co., Ltd | 40,718 | ||||
| 391 | HYBE Co., Ltd.* | 54,625 | ||||
| 1,889 | Hyundai Engineering & Construction Co., Ltd | 51,923 | ||||
| 434 | Hyundai Glovis Co., Ltd | 52,030 | ||||
| 470 | Hyundai Heavy Industries Co., Ltd | 37,771 | ||||
| 375 | Hyundai Mipo Dockyard Co., Ltd.* | 19,927 | ||||
| 7,427 | Hyundai Mobis Co., Ltd | 1,192,755 | ||||
| 3,669 | Hyundai Motor Co | 488,469 | ||||
| 1,832 | Hyundai Steel Co | 48,412 | ||||
| 481 | Iljin Materials Co., Ltd.* | 23,088 | ||||
| 7,644 | Industrial Bank of Korea | 59,981 | ||||
| 7,988 | Kakao Corp | 375,393 | ||||
| 629 | Kakao Games Corp.* | 23,302 | ||||
| 3,932 | KakaoBank Corp.*(e) | 78,886 | ||||
| 540 | Kakaopay Corp.* | 25,629 | ||||
| 2,405 | Kangwon Land Inc.* | 36,719 | ||||
| 51,312 | KB Financial Group Inc. | 1,991,523 | ||||
| 20,515 | Kia Corp | 1,166,928 | ||||
| 1,943 | Korea Aerospace Industries Ltd.* | 66,201 | ||||
| 6,655 | Korea Electric Power Corp | 90,885 | ||||
| 955 | Korea Investment Holdings Co., Ltd.* | 44,706 | ||||
| 890 | Korea Shipbuilding & Offshore Engineering Co., Ltd | 54,670 | ||||
| 250 | Korea Zinc Co., Ltd | 110,334 | ||||
| 4,494 | Korean Air Lines Co., Ltd | 77,198 | ||||
| 699 | Krafton Inc.* | 89,526 | ||||
| 28,737 | KT Corp | 661,891 | ||||
| 14,203 | KT&G Corp | 952,856 | ||||
| 408 | Kumho Petrochemical Co., Ltd.* | 48,487 | ||||
| 621 | L&F Co., Ltd | 122,680 | ||||
| 11,968 | LG Chem Ltd | 6,142,333 | ||||
| 2,245 | LG Corp | 139,660 | ||||
See Notes to Financial Statements.
123
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| South Korea — 11.6% — (continued) | ||||||||
| 5,730 | LG Display Co., Ltd | $ | 66,131 | |||||
| 2,765 | LG Electronics Inc. | 232,081 | ||||||
| 2,118 | LG Energy Solution Ltd.*(e) | 836,579 | ||||||
| 1,505 | LG H&H Co., Ltd | 759,227 | ||||||
| 336 | LG Innotek Co., Ltd | 70,182 | ||||||
| 4,603 | LG Uplus Corp | 38,529 | ||||||
| 538 | Lotte Chemical Corp | 72,431 | ||||||
| 312 | Lotte Shopping Co., Ltd | 20,519 | ||||||
| 1,823 | Meritz Financial Group Inc. | 61,938 | ||||||
| 8,936 | Meritz Securities Co., Ltd | 47,329 | ||||||
| 9,158 | Mirae Asset Securities Co., Ltd | 49,474 | ||||||
| 11,159 | NAVER Corp | 1,752,311 | ||||||
| 411 | NCSoft Corp | 134,780 | ||||||
| 529 | Netmarble Corp.*(a) | 24,689 | ||||||
| 3,575 | NH Investment & Securities Co., Ltd.* | 25,671 | ||||||
| 640 | Orion Corp | 60,497 | ||||||
| 6,901 | Pan Ocean Co., Ltd | 32,994 | ||||||
| 792 | Pearl Abyss Corp.* | 26,810 | ||||||
| 688 | POSCO Chemical Co., Ltd | 114,785 | ||||||
| 1,864 | POSCO Holdings Inc. | 447,588 | ||||||
| 256 | S-1 Corp | 10,920 | ||||||
| 1,314 | Samsung Biologics Co., Ltd.*(a) | 767,835 | ||||||
| 2,179 | Samsung C&T Corp | 181,264 | ||||||
| 1,392 | Samsung Electro-Mechanics Co., Ltd | 151,298 | ||||||
| 427,125 | Samsung Electronics Co., Ltd | 19,535,923 | ||||||
| 4,402 | Samsung Engineering Co., Ltd.* | 87,393 | ||||||
| 804 | Samsung Fire & Marine Insurance Co., Ltd | 130,518 | ||||||
| 17,935 | Samsung Heavy Industries Co., Ltd.* | 74,547 | ||||||
| 1,766 | Samsung Life Insurance Co., Ltd | 90,985 | ||||||
| 5,302 | Samsung SDI Co., Ltd | 2,785,944 | ||||||
| 896 | Samsung SDS Co., Ltd | 84,845 | ||||||
| 1,776 | Samsung Securities Co., Ltd | 44,940 | ||||||
| 1,206 | SD Biosensor Inc.(e) | 20,963 | ||||||
| 59,391 | Shinhan Financial Group Co., Ltd | 1,744,253 | ||||||
| 670 | SK Biopharmaceuticals Co., Ltd.* | 33,772 | ||||||
| 725 | SK Bioscience Co., Ltd.*(e) | 38,153 | ||||||
| 105,418 | SK Hynix Inc. | 7,101,503 | ||||||
| 804 | SK IE Technology Co., Ltd.*(a) | 39,649 | ||||||
| 971 | SK Inc. | 131,011 | ||||||
| 1,472 | SK Innovation Co., Ltd.* | 166,740 | ||||||
| 2,405 | SK Square Co., Ltd.* | 69,651 | ||||||
| 436 | SKC Co., Ltd | 32,252 | ||||||
| 1,034 | S-Oil Corp | 63,056 | ||||||
| 12,992 | Woori Financial Group Inc. | 119,775 | ||||||
| 1,033 | Yuhan Corp | 41,174 | ||||||
|
|
|
|||||||
| Total South Korea | 56,040,200 | |||||||
|
|
|
|||||||
| Taiwan — 13.0% | ||||||||
| 12,000 | Accton Technology Corp | 109,545 | ||||||
| 72,000 | Acer Inc. | 59,209 | ||||||
| 9,777 | Advantech Co., Ltd | 112,794 | ||||||
| 695,498 | ASE Technology Holding Co., Ltd | 2,380,976 | ||||||
| 59,000 | Asia Cement Corp | 85,662 | ||||||
| 19,000 | Asustek Computer Inc. | 171,050 | ||||||
| 164,800 | AUO Corp | 99,171 | ||||||
| 16,000 | Catcher Technology Co., Ltd | 96,015 | ||||||
See Notes to Financial Statements.
124
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||
| Shares/Units | Security | Value | ||||
| Taiwan — 13.0% — (continued) | ||||||
| 209,550 | Cathay Financial Holding Co., Ltd | $ | 295,042 | |||
| 35,061 | Chailease Holding Co., Ltd | 255,401 | ||||
| 127,275 | Chang Hwa Commercial Bank Ltd | 72,118 | ||||
| 49,000 | Cheng Shin Rubber Industry Co., Ltd | 54,394 | ||||
| 71,000 | China Airlines Ltd | 46,647 | ||||
| 393,112 | China Development Financial Holding Corp | 168,183 | ||||
| 313,000 | China Steel Corp | 319,906 | ||||
| 139,000 | Chroma ATE Inc. | 834,056 | ||||
| 96,000 | Chunghwa Telecom Co., Ltd | 360,139 | ||||
| 97,000 | Compal Electronics Inc. | 76,100 | ||||
| 447,880 | CTBC Financial Holding Co., Ltd | 330,501 | ||||
| 317,000 | Delta Electronics Inc. | 2,940,920 | ||||
| 21,000 | E Ink Holdings Inc. | 131,880 | ||||
| 333,535 | E.Sun Financial Holding Co., Ltd | 270,133 | ||||
| 4,100 | Eclat Textile Co., Ltd | 64,069 | ||||
| 2,000 | eMemory Technology Inc. | 120,131 | ||||
| 61,000 | Eva Airways Corp | 55,902 | ||||
| 25,791 | Evergreen Marine Corp. Taiwan Ltd | 130,879 | ||||
| 87,000 | Far Eastern New Century Corp | 91,893 | ||||
| 35,000 | Far EasTone Telecommunications Co., Ltd | 78,421 | ||||
| 10,920 | Feng TAY Enterprise Co., Ltd | 65,416 | ||||
| 260,557 | First Financial Holding Co., Ltd | 226,538 | ||||
| 84,000 | Formosa Chemicals & Fibre Corp | 194,673 | ||||
| 28,000 | Formosa Petrochemical Corp | 77,313 | ||||
| 103,000 | Formosa Plastics Corp | 303,915 | ||||
| 190,052 | Fubon Financial Holding Co., Ltd | 369,525 | ||||
| 8,290 | Giant Manufacturing Co., Ltd | 54,654 | ||||
| 228,000 | Globalwafers Co., Ltd | 3,762,092 | ||||
| 568,660 | Hon Hai Precision Industry Co., Ltd | 1,869,421 | ||||
| 7,000 | Hotai Motor Co., Ltd | 140,598 | ||||
| 230,051 | Hua Nan Financial Holdings Co., Ltd | 170,531 | ||||
| 231,680 | Innolux Corp | 110,162 | ||||
| 74,000 | Inventec Corp | 63,892 | ||||
| 2,541 | Largan Precision Co., Ltd | 182,194 | ||||
| 57,264 | Lite-On Technology Corp., ADR | 129,555 | ||||
| 180,000 | MediaTek Inc. | 4,200,924 | ||||
| 289,600 | Mega Financial Holding Co., Ltd | 313,925 | ||||
| 17,000 | Micro-Star International Co., Ltd | 75,356 | ||||
| 1,200 | momo.com Inc. | 30,764 | ||||
| 129,000 | Nan Ya Plastics Corp | 317,447 | ||||
| 5,000 | Nan Ya Printed Circuit Board Corp | 37,734 | ||||
| 29,000 | Nanya Technology Corp | 54,870 | ||||
| 5,000 | Nien Made Enterprise Co., Ltd | 52,812 | ||||
| 123,000 | Novatek Microelectronics Corp | 1,619,220 | ||||
| 52,000 | Pegatron Corp | 114,626 | ||||
| 5,000 | PharmaEssentia Corp.* | 81,648 | ||||
| 64,000 | Pou Chen Corp | 69,701 | ||||
| 70,000 | Powerchip Semiconductor Manufacturing Corp | 75,217 | ||||
| 66,224 | Poya International Co., Ltd | 1,273,128 | ||||
| 14,539 | President Chain Store Corp | 126,378 | ||||
| 624,000 | Quanta Computer Inc. | 1,619,955 | ||||
| 11,000 | Realtek Semiconductor Corp | 134,960 | ||||
| 50,778 | Ruentex Development Co., Ltd | 73,115 | ||||
| 93,598 | Shanghai Commercial & Savings Bank Ltd. (The) | 144,848 | ||||
| 317,693 | Shin Kong Financial Holding Co., Ltd | 91,683 | ||||
| 266,484 | SinoPac Financial Holdings Co., Ltd., (Cost — $88,418, acquired 8/3/16)(c)(f) | 148,756 | ||||
See Notes to Financial Statements.
125
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Taiwan — 13.0% — (continued) | ||||||||
| 35,700 | Synnex Technology International Corp | $ | 72,344 | |||||
| 286,584 | Taishin Financial Holding Co., Ltd | 152,769 | ||||||
| 154,000 | Taiwan Business Bank | 71,895 | ||||||
| 150,668 | Taiwan Cement Corp | 191,141 | ||||||
| 251,845 | Taiwan Cooperative Financial Holding Co., Ltd | 217,781 | ||||||
| 59,000 | Taiwan High Speed Rail Corp | 56,330 | ||||||
| 43,000 | Taiwan Mobile Co., Ltd | 135,197 | ||||||
| 1,087,507 | Taiwan Semiconductor Manufacturing Co., Ltd | 17,877,083 | ||||||
| 142,207 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 12,381,964 | ||||||
| 31,000 | Unimicron Technology Corp | 127,502 | ||||||
| 117,000 | Uni-President Enterprises Corp | 256,559 | ||||||
| 302,000 | United Microelectronics Corp.* | 491,501 | ||||||
| 23,000 | Vanguard International Semiconductor Corp | 68,605 | ||||||
| 2,000 | Voltronic Power Technology Corp | 104,319 | ||||||
| 73,427 | Walsin Lihwa Corp | 134,325 | ||||||
| 18,630 | Wan Hai Lines Ltd | 47,956 | ||||||
| 8,000 | Win Semiconductors Corp | 43,801 | ||||||
| 80,000 | Winbond Electronics Corp | 59,532 | ||||||
| 42,000 | Wiwynn Corp | 1,315,557 | ||||||
| 43,760 | WPG Holdings Ltd | 70,217 | ||||||
| 9,700 | Yageo Corp | 168,265 | ||||||
| 42,000 | Yang Ming Marine Transport Corp | 87,747 | ||||||
| 258,488 | Yuanta Financial Holding Co., Ltd | 191,410 | ||||||
| 21,000 | Zhen Ding Technology Holding Ltd | 76,154 | ||||||
|
|
|
|||||||
| Total Taiwan | 62,588,637 | |||||||
|
|
|
|||||||
| Thailand — 1.0% | ||||||||
| 31,100 | Advanced Info Service PCL, NVDR | 178,305 | ||||||
| 103,900 | Airports of Thailand PCL, NVDR* | 214,606 | ||||||
| 185,700 | Asset World Corp. PCL, NVDR | 31,088 | ||||||
| 20,800 | B Grimm Power PCL, NVDR | 23,018 | ||||||
| 306,000 | Bangkok Dusit Medical Services PCL, NVDR | 243,241 | ||||||
| 212,000 | Bangkok Expressway & Metro PCL, NVDR | 55,681 | ||||||
| 162,000 | Banpu PCL, NVDR* | 50,136 | ||||||
| 34,400 | Berli Jucker PCL, NVDR | 37,577 | ||||||
| 191,400 | BTS Group Holdings PCL, NVDR | 43,749 | ||||||
| 14,000 | Bumrungrad Hospital PCL, NVDR | 83,843 | ||||||
| 6,000 | Carabao Group PCL, NVDR | 17,194 | ||||||
| 51,000 | Central Pattana PCL, NVDR | 101,686 | ||||||
| 33,616 | Central Retail Corp. PCL, NVDR | 42,683 | ||||||
| 86,300 | Charoen Pokphand Foods PCL, NVDR | 54,370 | ||||||
| 144,800 | CP ALL PCL, NVDR | 254,838 | ||||||
| 8,200 | Delta Electronics Thailand PCL, NVDR | 212,050 | ||||||
| 4,600 | Electricity Generating PCL, NVDR | 22,325 | ||||||
| 36,400 | Energy Absolute PCL, NVDR | 80,825 | ||||||
| 17,400 | Global Power Synergy PCL, NVDR | 33,573 | ||||||
| 80,100 | Gulf Energy Development PCL, NVDR | 119,346 | ||||||
| 137,900 | Home Product Center PCL, NVDR | 54,809 | ||||||
| 50,400 | Indorama Ventures PCL, NVDR | 52,567 | ||||||
| 29,350 | Intouch Holdings PCL, NVDR | 58,933 | ||||||
| 13,300 | JMT Network Services PCL, NVDR | 17,547 | ||||||
| 153,400 | Kasikornbank PCL | 591,776 | ||||||
| 10,000 | Kasikornbank PCL, NVDR | 38,908 | ||||||
| 125,300 | Krung Thai Bank PCL, NVDR | 61,523 | ||||||
| 22,200 | Krungthai Card PCL, NVDR | 37,011 | ||||||
| 296,000 | Land and Houses PCL, NVDR | 82,360 | ||||||
| 87,100 | Minor International PCL, NVDR* | 82,776 | ||||||
See Notes to Financial Statements.
126
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| Thailand — 1.0% — (continued) | ||||||||
| 19,800 | Muangthai Capital PCL, NVDR | $ | 19,654 | |||||
| 22,800 | Osotspa PCL, NVDR | 20,859 | ||||||
| 148,800 | PTT Exploration & Production PCL | 633,731 | ||||||
| 36,500 | PTT Exploration & Production PCL, NVDR | 155,305 | ||||||
| 55,700 | PTT Global Chemical PCL, NVDR | 74,668 | ||||||
| 89,100 | PTT Oil & Retail Business PCL, NVDR | 55,390 | ||||||
| 256,200 | PTT PCL, NVDR | 230,846 | ||||||
| 21,400 | Ratch Group PCL, NVDR | 24,753 | ||||||
| 20,000 | SCB X PCL, NVDR | 59,071 | ||||||
| 36,500 | SCG Packaging PCL, NVDR | 53,863 | ||||||
| 11,200 | Siam Cement PCL (The), Class Registered Shares | 103,986 | ||||||
| 19,900 | Siam Cement PCL (The), NVDR | 184,808 | ||||||
| 20,800 | Srisawad Corp. PCL, NVDR | 31,857 | ||||||
| 24,300 | Thai Oil PCL, NVDR | 34,816 | ||||||
| 90,700 | Thai Union Group PCL, NVDR | 40,944 | ||||||
| 336,600 | True Corp. PCL, NVDR(c) | 48,741 | ||||||
|
|
|
|||||||
| Total Thailand | 4,751,636 | |||||||
|
|
|
|||||||
| Turkey — 0.9% | ||||||||
| 123,590 | Agesa Hayat ve Emeklilik AS* | 173,942 | ||||||
| 79,694 | Akbank TAS | 73,277 | ||||||
| 17,844 | Aselsan Elektronik Sanayi Ve Ticaret AS | 51,776 | ||||||
| 11,261 | BIM Birlesik Magazalar AS | 80,885 | ||||||
| 34,916 | Eregli Demir ve Celik Fabrikalari TAS | 81,047 | ||||||
| 1,799 | Ford Otomotiv Sanayi AS | 52,221 | ||||||
| 25,662 | Haci Ömer Sabanci Holding AS | 58,858 | ||||||
| 27,995 | Hektas Ticaret TAS* | 52,341 | ||||||
| 19,457 | KOC Holding AS | 79,371 | ||||||
| 24,535 | Koza Altin Isletmeleri AS* | 31,777 | ||||||
| 411,440 | MLP Saglik Hizmetleri AS, Class B Shares*(a) | 1,678,814 | ||||||
| 1,176 | Pegasus Hava Tasimaciligi AS* | 31,626 | ||||||
| 10,603 | Sasa Polyester Sanayi AS* | 61,403 | ||||||
| 558,820 | Sok Marketler Ticaret AS* | 751,720 | ||||||
| 73,020 | Tofas Turk Otomobil Fabrikasi AS | 659,043 | ||||||
| 14,151 | Turk Hava Yollari AO* | 106,915 | ||||||
| 25,061 | Turkcell Iletisim Hizmetleri AS | 42,090 | ||||||
| 109,460 | Turkiye Is Bankasi AS, Class C Shares | 65,313 | ||||||
| 3,542 | Turkiye Petrol Rafinerileri AS* | 110,492 | ||||||
| 36,548 | Turkiye Sise ve Cam Fabrikalari AS | 90,771 | ||||||
| 57,838 | Yapi ve Kredi Bankasi AS | 30,402 | ||||||
|
|
|
|||||||
| Total Turkey | 4,364,084 | |||||||
|
|
|
|||||||
| United Arab Emirates — 0.5% | ||||||||
| 65,895 | Abu Dhabi Commercial Bank PJSC | 150,327 | ||||||
| 41,885 | Abu Dhabi Islamic Bank PJSC | 119,031 | ||||||
| 80,123 | Abu Dhabi National Oil Co. for Distribution PJSC | 94,238 | ||||||
| 105,983 | Aldar Properties PJSC | 135,538 | ||||||
| 372,300 | Americana Restaurants International PLC* | 356,619 | ||||||
| 68,441 | Dubai Islamic Bank PJSC | 106,984 | ||||||
| 142,767 | Emaar Properties PJSC | 217,599 | ||||||
| 50,538 | Emirates NBD Bank PJSC | 187,098 | ||||||
| 88,124 | Emirates Telecommunications Group Co. PJSC | 611,602 | ||||||
| 113,094 | First Abu Dhabi Bank PJSC | 433,450 | ||||||
| 85,755 | Multiply Group PJSC* | 93,322 | ||||||
| 48,243 | Q Holding PJSC* | 36,365 | ||||||
|
|
|
|||||||
| Total United Arab Emirates | 2,542,173 | |||||||
|
|
|
|||||||
See Notes to Financial Statements.
127
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| United Kingdom — 0.9% | ||||||||
| 63,700 | Bank of Georgia Group PLC | $ | 2,139,082 | |||||
| 618,959 | Helios Towers PLC* | 819,335 | ||||||
| 28,266 | Unilever PLC | 1,410,668 | ||||||
|
|
|
|||||||
| Total United Kingdom | 4,369,085 | |||||||
|
|
|
|||||||
| United States — 0.5% | ||||||||
| 16,162 | BeiGene Ltd.* | 278,975 | ||||||
| 6,689 | EPAM Systems Inc.* | 2,057,871 | ||||||
| 1,272 | Legend Biotech Corp., ADR* | 58,741 | ||||||
| 2,000 | Parade Technologies Ltd | 62,091 | ||||||
| 2,223 | Southern Copper Corp | 163,813 | ||||||
|
|
|
|||||||
| Total United States | 2,621,491 | |||||||
|
|
|
|||||||
| Uruguay — 0.9% | ||||||||
| 7,564 | Globant SA* | 1,248,665 | ||||||
| 2,600 | MercadoLibre Inc.* | 3,172,000 | ||||||
|
|
|
|||||||
| Total Uruguay | 4,420,665 | |||||||
|
|
|
|||||||
| TOTAL COMMON STOCKS (Cost — $467,898,195) |
463,919,996 | |||||||
|
|
|
|||||||
| PREFERRED STOCKS — 1.4% | ||||||||
| Brazil — 0.5% | ||||||||
| 136,729 | Banco Bradesco SA, Class Preferred Shares | 341,564 | ||||||
| 7,258 | Centrais Eletricas Brasileiras SA, Class Preferred B Shares | 49,861 | ||||||
| 30,344 | Cia Energetica de Minas Gerais, Class Preferred Shares | 60,735 | ||||||
| 29,670 | Gerdau SA, Class Preferred Shares | 162,235 | ||||||
| 123,997 | Itau Unibanco Holding SA, Class Preferred Shares | 602,229 | ||||||
| 129,299 | Itausa SA, Class Preferred Shares | 203,235 | ||||||
| 121,071 | Petroleo Brasileiro SA, Class Preferred Shares | 583,625 | ||||||
| 787,000 | Raizen SA, Class Preferred Shares | 462,946 | ||||||
| 13,217 | Telefonica Brasil SA, Class Preferred Shares | 98,295 | ||||||
|
|
|
|||||||
| Total Brazil | 2,564,725 | |||||||
|
|
|
|||||||
| Chile — 0.1% | ||||||||
| 3,617 | Sociedad Quimica y Minera de Chile SA, Class Preferred B Shares | 323,344 | ||||||
|
|
|
|||||||
| Colombia — 0.0%@ | ||||||||
| 12,434 | Bancolombia SA, Class Preferred Shares | 78,860 | ||||||
|
|
|
|||||||
| Mexico — 0.0%@ | ||||||||
| 404,060 | Cemex SAB de CV, Class Preferred Shares* | 200,967 | ||||||
|
|
|
|||||||
| Russia — 0.0%@ | ||||||||
| 83,580 | Surgutneftegas PJSC, Class Preferred Shares#(c) | 836 | ||||||
| 125,636 | Surgutneftegas PJSC, Class Preferred Shares(c)(d) | 17 | ||||||
|
|
|
|||||||
| Total Russia | 853 | |||||||
|
|
|
|||||||
| South Korea — 0.8% | ||||||||
| 719 | Hyundai Motor Co., Class Preferred 2nd Shares | 51,134 | ||||||
| 565 | Hyundai Motor Co., Class Preferred Shares | 39,380 | ||||||
| 222 | LG Chem Ltd., Class Preferred Shares | 49,294 | ||||||
| 87,464 | Samsung Electronics Co., Ltd., Class Preferred Shares | 3,524,674 | ||||||
|
|
|
|||||||
| Total South Korea | 3,664,482 | |||||||
|
|
|
|||||||
| TOTAL PREFERRED STOCKS (Cost — $8,420,577) |
6,833,231 | |||||||
|
|
|
|||||||
See Notes to Financial Statements.
128
| Schedules of Investments |
| (unaudited) (continued) |
| Emerging Markets Equity Fund | ||||||||
| Shares/Units | Security | Value | ||||||
| RIGHT — 0.0%@ | ||||||||
| China — 0.0%@ | ||||||||
| 1,366 | Kangmei Pharmaceutical Co., Ltd., Class A Shares *(c)(d) (Cost — $2) |
$ | 2 | |||||
|
|
|
|||||||
| TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $476,318,774) |
470,753,229 | |||||||
|
|
|
|||||||
| Face Amount† | ||||||||
| SHORT-TERM INVESTMENTS (g) — 2.8% | ||||||||
| MONEY MARKET FUND — 0.3% | ||||||||
| $ | 1,169,429 | Invesco STIT — Government & Agency Portfolio, 4.444%, Institutional Class(h) (Cost — $1,169,429) |
1,169,429 | |||||
|
|
|
|||||||
| TIME DEPOSITS — 2.5% |
||||||||
| 3,672,868 | ANZ National Bank — London, 3.920% due 3/1/23 | 3,672,868 | ||||||
| BBH — Grand Cayman: | ||||||||
| 2 | SGD | 2.200% due 3/1/23 |
1 | |||||
| 55 | ZAR | 6.150% due 3/1/23 |
3 | |||||
| 840 | HKD | BNP Paribas — Paris, 0.540% due 3/1/23 | 107 | |||||
| 1,425 | EUR | Citibank — London, 1.530% due 3/1/23 | 1,507 | |||||
| 140,704 | Citibank — New York, 3.920% due 3/1/23 | 140,704 | ||||||
| 899,480 | HKD | HSBC Bank — Hong Kong, 0.540% due 3/1/23 | 114,594 | |||||
| 162,376 | ZAR | ING Bank — Amsterdam, 6.150% due 3/1/23 | 8,841 | |||||
| 2,677,452 | JPMorgan Chase & Co. — New York, 3.920% due 3/1/23 | 2,677,452 | ||||||
| 1,202,871 | Skandinaviska Enskilda Banken AB — Stockholm, 3.920% due 3/1/23 | 1,202,871 | ||||||
| Sumitomo Mitsui Banking Corp. — Tokyo: | ||||||||
| 20 | GBP | 2.920% due 3/1/23 |
24 | |||||
| 4,366,894 | 3.920% due 3/1/23 |
4,366,894 | ||||||
|
|
|
|||||||
| TOTAL TIME DEPOSITS (Cost — $12,185,866) |
12,185,866 | |||||||
|
|
|
|||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost — $13,355,295) |
13,355,295 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS — 100.1% (Cost — $489,674,069) |
484,108,524 | |||||||
|
|
|
|||||||
| Liabilities in Excess of Other Assets — (0.1)% | (543,611 | ) | ||||||
|
|
|
|||||||
| TOTAL NET ASSETS — 100.0% | $ | 483,564,913 | ||||||
|
|
|
|||||||
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
| (a) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 28, 2023, amounts to $22,067,777 and represents 4.6% of net assets. |
| (b) | Security trades on the Hong Kong exchange. |
| (c) | Illiquid security. |
| (d) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (e) | All or a portion of this security is on loan (See Note 1). |
| (f) | The aggregate value of restricted securities (excluding 144A holdings) at February 28, 2023, amounts to $164,656 and represents 0.0% of net assets. |
| (g) | Inclusive of all short-term holdings, including investments of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 2.5%. |
| (h) | Represents investments of collateral received from securities lending transactions. |
| # | Security that used significant unobservable inputs to determine fair value. |
See Notes to Financial Statements.
129
| Schedules of Investments |
| (unaudited) (continued) |
At February 28, 2023, for Emerging Markets Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| Fund | Aggregate Cost For Federal Income Tax Purposes |
Gross Unrealized Appreciation |
Gross Unrealized (Depreciation) |
Net Unrealized (Depreciation) |
||||||||||||
| Emerging Markets Equity Fund |
$ | 489,674,069 | $ | 87,774,492 | $ (93,347,518) | $ | (5,573,026) | |||||||||
| Abbreviations used in this schedule: | ||
| ADR | — American Depositary Receipts | |
| GDR | — Global Depositary Receipt | |
| NVDR | — Non Voting Depository Receipt | |
| PCL | — Public Company Limited | |
| PJSC | — Private Joint Stock Company | |
| PLC | — Public Limited Company | |
| REIT | — Real Estate Investment Trust | |
| Summary of Investments by Security Sector^ | ||||
| Financials |
||||
| Banks |
17.1 | % | ||
| Insurance |
3.7 | |||
| Consumer Finance |
1.0 | |||
| Other |
1.3 | |||
| Information Technology |
||||
| Semiconductors & Semiconductor Equipment |
11.2 | |||
| Technology Hardware, Storage & Peripherals |
6.1 | |||
| Electronic Equipment, Instruments & Components |
2.3 | |||
| Other |
2.0 | |||
| Consumer Discretionary |
13.9 | |||
| Communication Services |
7.6 | |||
| Materials |
6.9 | |||
| Industrials |
6.8 | |||
| Energy |
5.5 | |||
| Consumer Staples |
4.5 | |||
| Health Care |
4.3 | |||
| Utilities |
1.7 | |||
| Real Estate |
1.6 | |||
| Short-Term Investments |
2.5 | |||
|
|
|
|||
| Total Investments |
100.0 | %+ | ||
|
|
|
|||
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At February 28, 2023, Emerging Markets Equity Fund had open exchange-traded futures contracts as described below.
The unrealized depreciation on the open contracts reflected in the accompanying financial statements were as follows:
| Open Futures Contracts | Number of Contracts |
Expiration Date (Month/Year) |
Notional Amount |
Market Value |
Unrealized Depreciation |
|||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| E-mini MSCI Emerging Markets Index March Futures |
12 | 3/23 | $ | 585,221 | $ | 577,740 | $ | (7,481 | ) | |||||||||||
|
|
|
|||||||||||||||||||
See Notes to Financial Statements.
130
| Schedules of Investments |
| (unaudited) (continued) |
At February 28, 2023, Emerging Markets Equity Fund had deposited cash of $20,994 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
| Currency Abbreviations used in this schedule: | ||
| EUR | — Euro | |
| GBP | — British Pound | |
| HKD | — Hong Kong Dollar | |
| SGD | — Singapore Dollar | |
| ZAR | — South African Rand | |
See Notes to Financial Statements.
131
| Schedules of Investments |
| (unaudited) (continued) |
See Notes to Financial Statements.
132
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Aerospace/Defense — 1.0% — (continued) | ||||||||||
| $ | 387,000 | A- | 3.750% due 11/1/46 |
$ | 304,554 | |||||
| 484,000 | A- | 2.820% due 9/1/51 |
316,384 | |||||||
| 273,000 | A- | 3.030% due 3/15/52 |
186,418 | |||||||
| 275,000 | B+ | TransDigm Inc., Senior Secured Notes, 6.750% due 8/15/28(a) | 274,106 | |||||||
|
|
|
|||||||||
| Total Aerospace/Defense | 15,027,288 | |||||||||
|
|
|
|||||||||
| Agriculture — 0.5% | ||||||||||
| Altria Group Inc., Company Guaranteed Notes: |
| |||||||||
| 40,000 | BBB | 2.350% due 5/6/25 |
37,510 | |||||||
| 310,000 | BBB | 4.400% due 2/14/26 |
303,529 | |||||||
| 763,000 | BBB | 2.450% due 2/4/32 |
575,706 | |||||||
| 377,000 | BBB | 5.800% due 2/14/39 |
346,336 | |||||||
| 80,000 | BBB | 3.875% due 9/16/46 |
53,584 | |||||||
| 410,000 | BBB | 5.950% due 2/14/49 |
365,210 | |||||||
| 82,000 | BBB | 6.200% due 2/14/59 |
76,192 | |||||||
| BAT Capital Corp., Company Guaranteed Notes: |
| |||||||||
| 181,000 | BBB+ | 3.215% due 9/6/26 |
167,034 | |||||||
| 500,000 | BBB+ | 3.557% due 8/15/27 |
455,790 | |||||||
| 348,000 | BBB+ | 2.259% due 3/25/28 |
291,740 | |||||||
| 1,680,000 | BBB+ | 4.540% due 8/15/47 |
1,211,377 | |||||||
| 150,000 | BBB+ | 3.984% due 9/25/50 |
99,423 | |||||||
| 735,000 | BBB+ | 5.650% due 3/16/52 |
618,427 | |||||||
| 70,000 | BBB+ | BAT International Finance PLC, Company Guaranteed Notes, 3.950% due 6/15/25(a) | 67,736 | |||||||
| 150,000 | A | Cargill Inc., Senior Unsecured Notes, 1.375% due 7/23/23(a) | 147,586 | |||||||
| Imperial Brands Finance PLC, Company Guaranteed Notes: |
||||||||||
| 400,000 | BBB | 3.125% due 7/26/24(a) |
383,941 | |||||||
| 205,000 | BBB | 3.500% due 7/26/26(a) |
188,913 | |||||||
| Philip Morris International Inc., Senior Unsecured Notes: |
||||||||||
| 100,000 | A- | 1.125% due 5/1/23 |
99,287 | |||||||
| 1,338,000 | A- | 5.125% due 11/17/27 |
1,332,771 | |||||||
| 210,000 | A- | 2.100% due 5/1/30 |
170,009 | |||||||
| 60,000 | A- | 4.500% due 3/20/42 |
50,143 | |||||||
| 961,000 | BBB+ | Reynolds American Inc., Company Guaranteed Notes, 5.850% due 8/15/45 | 826,904 | |||||||
|
|
|
|||||||||
| Total Agriculture | 7,869,148 | |||||||||
|
|
|
|||||||||
| Airlines — 0.3% | ||||||||||
| 43,098 | A2(b) | Air Canada Class AA Pass-Through Trust, Pass-Thru Certificates, 3.300% due 1/15/30(a) | 37,043 | |||||||
| 35,297 | A- | American Airlines Class AA Pass-Through Trust, Series 2015-2, Pass-Thru Certificates, 3.600% due 9/22/27 |
32,192 | |||||||
| 276,254 | A- | American Airlines Class AA Pass-Through Trust, Series 2016-1, Pass-Thru Certificates, 3.575% due 1/15/28 |
251,540 | |||||||
| 40,292 | A- | American Airlines Class AA Pass-Through Trust, Series 2016-2, Pass-Thru Certificates, 3.200% due 6/15/28 |
36,017 | |||||||
| 83,770 | A | American Airlines Class AA Pass-Through Trust, Series 2016-3, Pass-Thru Certificates, 3.000% due 10/15/28 |
74,353 | |||||||
| 34,080 | Baa1(b) | American Airlines Class AA Pass-Through Trust, Series 2017-1, Pass-Thru Certificates, 3.650% due 2/15/29 |
30,858 | |||||||
| 99,240 | B | American Airlines Class B Pass-Through Trust, Series 2015-2, Pass-Thru Certificates, 4.400% due 9/22/23 |
97,734 | |||||||
| 46,000 | B | American Airlines Class B Pass-Through Trust, Series 2016-2, Pass-Thru Certificates, 4.375% due 6/15/24(a) |
44,478 | |||||||
| 558 | B | American Airlines Class B Pass-Through Trust, Series 2016-3, Pass-Thru Certificates, 3.750% due 10/15/25 |
523 | |||||||
| Delta Air Lines Inc.: |
||||||||||
| 1,080,000 | BBB- | Senior Secured Notes, 7.000% due 5/1/25(a) |
1,102,761 | |||||||
See Notes to Financial Statements.
133
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Airlines — 0.3% — (continued) | ||||||||||
| Senior Unsecured Notes: |
||||||||||
| $ | 50,000 | BB | 3.800% due 4/19/23 |
$ | 49,821 | |||||
| 200,000 | BB | 2.900% due 10/28/24 |
190,482 | |||||||
| 210,000 | BB | 7.375% due 1/15/26 |
216,234 | |||||||
| Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes: |
||||||||||
| 210,834 | Baa1(b) | 4.500% due 10/20/25(a) |
204,889 | |||||||
| 120,000 | Baa1(b) | 4.750% due 10/20/28(a) |
114,092 | |||||||
| 20,000 | Ba3(b) | Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., Senior Secured Notes, 5.750% due 1/20/26(a) |
18,610 | |||||||
| 153,000 | Baa3(b) | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes, 6.500% due 6/20/27(a) |
153,153 | |||||||
| 95,743 | Ba2(b) | Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes, 8.000% due 9/20/25(a) |
96,246 | |||||||
| United Airlines Class AA Pass-Through Trust, Pass-Thru Certificates: |
||||||||||
| 28,800 | A+ | 3.450% due 12/1/27 |
26,251 | |||||||
| 3,549 | A2(b) | 3.100% due 7/7/28 |
3,159 | |||||||
| 38,992 | A3(b) | 2.875% due 10/7/28 |
34,823 | |||||||
| 16,182 | A2(b) | 3.500% due 3/1/30 |
14,521 | |||||||
| 48,755 | A2(b) | 4.150% due 8/25/31 |
44,056 | |||||||
| 75,185 | A2(b) | 2.700% due 5/1/32 |
63,202 | |||||||
| United Airlines Class B Pass-Through Trust, Pass-Thru Certificates: |
||||||||||
| 3,431 | Ba2(b) | 3.650% due 10/7/25 |
3,179 | |||||||
| 68,658 | Baa3(b) | 3.500% due 5/1/28 |
62,183 | |||||||
| United AirLines Inc., Senior Secured Notes: |
||||||||||
| 130,000 | BB- | 4.375% due 4/15/26(a) |
121,985 | |||||||
| 810,000 | BB- | 4.625% due 4/15/29(a) |
718,799 | |||||||
|
|
|
|||||||||
| Total Airlines | 3,843,184 | |||||||||
|
|
|
|||||||||
| Apparel — 0.0%@ | ||||||||||
| NIKE Inc., Senior Unsecured Notes: |
| |||||||||
| 40,000 | AA- | 2.400% due 3/27/25 |
38,168 | |||||||
| 200,000 | AA- | 2.750% due 3/27/27 |
185,609 | |||||||
| 140,000 | AA- | 2.850% due 3/27/30 |
124,465 | |||||||
| 100,000 | AA- | 3.250% due 3/27/40 |
80,313 | |||||||
| 220,000 | AA- | 3.375% due 3/27/50 |
170,712 | |||||||
|
|
|
|||||||||
| Total Apparel | 599,267 | |||||||||
|
|
|
|||||||||
| Auto Manufacturers — 0.4% | ||||||||||
| Ford Motor Co., Senior Unsecured Notes: |
| |||||||||
| 270,000 | BB+ | 3.250% due 2/12/32 |
204,365 | |||||||
| 140,000 | BB+ | 6.100% due 8/19/32 |
130,585 | |||||||
| 30,000 | BB+ | 4.750% due 1/15/43 |
21,930 | |||||||
| Ford Motor Credit Co. LLC, Senior Unsecured Notes: |
| |||||||||
| 500,000 | BB+ | 4.950% due 5/28/27 |
466,842 | |||||||
| 460,000 | BB+ | 2.900% due 2/16/28 |
383,426 | |||||||
| 220,000 | BB+ | 2.900% due 2/10/29 |
179,276 | |||||||
| 200,000 | BB+ | 5.113% due 5/3/29 |
183,000 | |||||||
| 640,000 | BB+ | 7.350% due 3/6/30 |
648,877 | |||||||
| 200,000 | BB+ | 4.000% due 11/13/30 |
167,414 | |||||||
| General Motors Co., Senior Unsecured Notes: |
| |||||||||
| 290,000 | BBB | 6.125% due 10/1/25 |
293,414 | |||||||
| 286,000 | BBB | 5.400% due 10/15/29 |
275,229 | |||||||
| 250,000 | BBB | 6.250% due 10/2/43. |
235,440 | |||||||
| 455,000 | BBB | 5.200% due 4/1/45 |
374,989 | |||||||
| General Motors Financial Co., Inc.: |
| |||||||||
| 100,000 | BBB | Company Guaranteed Notes, 4.350% due 1/17/27 |
95,597 | |||||||
See Notes to Financial Statements.
134
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Auto Manufacturers — 0.4% — (continued) | ||||||||||
| Senior Unsecured Notes: |
| |||||||||
| $ | 646,000 | BBB | 2.750% due 6/20/25 |
$ | 606,196 | |||||
| 111,000 | BBB | 4.300% due 4/6/29 |
101,316 | |||||||
| 200,000 | BBB+ | Hyundai Capital Services Inc., Senior Unsecured Notes, 3.750% due 3/5/23(a) | 199,970 | |||||||
| 54,000 | BBB- | Nissan Motor Acceptance Co. LLC, Senior Unsecured Notes, 2.750% due 3/9/28(a) | 44,667 | |||||||
| Nissan Motor Co., Ltd., Senior Unsecured Notes: | ||||||||||
| 250,000 | BBB- | 3.043% due 9/15/23(a) |
245,762 | |||||||
| 600,000 | BBB- | 3.522% due 9/17/25(a) |
561,426 | |||||||
| 570,000 | BBB- | 4.345% due 9/17/27(a) |
520,321 | |||||||
|
|
|
|||||||||
| Total Auto Manufacturers | 5,940,042 | |||||||||
|
|
|
|||||||||
| Banks — 8.0% | ||||||||||
| 450,000 | BBB | ABN AMRO Bank NV, Senior Unsecured Notes, 2.470% |
375,333 | |||||||
| Banco Santander SA, Senior Unsecured Notes: | ||||||||||
| 200,000 | A- | 3.848% due 4/12/23 |
199,694 | |||||||
| 600,000 | A- | 2.746% due 5/28/25 |
562,425 | |||||||
| Bank of America Corp.: | ||||||||||
| Senior Unsecured Notes: |
||||||||||
| 490,000 | A- | 4.125% due 1/22/24 |
485,330 | |||||||
| 322,000 | A- | 3.550% (3-Month USD-LIBOR + 0.780%) due 3/5/24(c) |
321,959 | |||||||
| 280,000 | A- | 4.000% due 4/1/24 |
275,883 | |||||||
| 630,000 | A- | 3.841% (SOFR + 1.110%) due 4/25/25(c) |
617,162 | |||||||
| 15,000 | A- | 0.981% (SOFR + 0.910%) due 9/25/25(c) |
13,927 | |||||||
| 313,000 | A- | 3.384% (SOFR + 1.330%) due 4/2/26(c) |
299,452 | |||||||
| 210,000 | A- | 3.500% due 4/19/26 |
200,151 | |||||||
| 1,012,000 | A- | 1.319% (SOFR + 1.150%) due 6/19/26(c) |
918,339 | |||||||
| 178,000 | A- | 1.197% (SOFR + 1.010%) due 10/24/26(c) |
158,469 | |||||||
| 740,000 | A- | 1.658% (SOFR + 0.910%) due 3/11/27(c) |
659,277 | |||||||
| 1,015,000 | A- | 1.734% (SOFR + 0.960%) due 7/22/27(c) |
894,414 | |||||||
| 802,000 | A- | 3.824% (3-Month USD-LIBOR + 1.575%) due 1/20/28(c) |
753,278 | |||||||
| 835,000 | A- | 2.551% (SOFR + 1.050%) due 2/4/28(c) |
746,761 | |||||||
| 130,000 | A- | 4.376% (SOFR + 1.580%) due 4/27/28(c) |
124,345 | |||||||
| 50,000 | A- | 3.593% (3-Month USD-LIBOR + 1.370%) due 7/21/28(c) |
46,130 | |||||||
| 743,000 | A- | 6.204% (SOFR + 1.990%) due 11/10/28(c) |
764,216 | |||||||
| 1,518,000 | A- | 3.419% (3-Month USD-LIBOR + 1.040%) due 12/20/28(c) |
1,382,564 | |||||||
| 2,134,000 | A- | 3.970% (3-Month USD-LIBOR + 1.070%) due 3/5/29(c) |
1,982,844 | |||||||
| 3,375,000 | A- | 2.087% (SOFR + 1.060%) due 6/14/29(c) |
2,840,364 | |||||||
| 2,131,000 | A- | 4.271% (3-Month USD-LIBOR + 1.310%) due 7/23/29(c) |
2,004,327 | |||||||
| 875,000 | A- | 3.974% (3-Month USD-LIBOR + 1.210%) due 2/7/30(c) |
800,934 | |||||||
| 238,000 | A- | 2.884% (3-Month USD-LIBOR + 1.190%) due 10/22/30(c) |
201,475 | |||||||
| 633,000 | A- | 2.496% (3-Month USD-LIBOR + 0.990%) due 2/13/31(c) |
521,995 | |||||||
| 1,508,000 | A- | 2.592% (SOFR + 2.150%) due 4/29/31(c) |
1,245,296 | |||||||
| 172,000 | A- | 1.898% (SOFR + 1.530%) due 7/23/31(c) |
134,065 | |||||||
| 886,000 | A- | 1.922% (SOFR + 1.370%) due 10/24/31(c) |
686,726 | |||||||
| 3,000 | A- | 2.651% (SOFR + 1.220%) due 3/11/32(c) |
2,436 | |||||||
| 1,480,000 | A- | 2.687% (SOFR + 1.320%) due 4/22/32(c) |
1,199,765 | |||||||
| 715,000 | A- | 2.299% (SOFR + 1.220%) due 7/21/32(c) |
558,915 | |||||||
| 1,106,000 | A- | 2.572% (SOFR + 1.210%) due 10/20/32(c) |
880,888 | |||||||
| 1,464,000 | A- | 2.972% (SOFR + 1.330%) due 2/4/33(c) |
1,197,570 | |||||||
| 840,000 | A- | 4.571% (SOFR + 1.830%) due 4/27/33(c) |
781,458 | |||||||
| 240,000 | A- | 5.000% due 1/21/44 |
227,458 | |||||||
| 530,000 | A- | 4.330% (3-Month USD-LIBOR + 1.520%) due 3/15/50(c) |
445,234 | |||||||
| 310,000 | A- | 4.083% (3-Month USD-LIBOR + 3.150%) due 3/20/51(c) |
248,161 | |||||||
See Notes to Financial Statements.
135
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Banks — 8.0% — (continued) | ||||||||||
| Subordinated Notes: |
||||||||||
| $ | 600,000 | BBB+ | 4.200% due 8/26/24 |
$ | 588,610 | |||||
| 740,000 | BBB+ | 4.000% due 1/22/25 |
721,236 | |||||||
| 30,000 | BBB+ | 7.250% due 10/15/25 |
31,077 | |||||||
| 40,000 | BBB+ | 4.450% due 3/3/26 |
38,909 | |||||||
| 20,000 | BBB+ | 4.250% due 10/22/26 |
19,233 | |||||||
| Bank of Montreal: | ||||||||||
| 300,000 | A- | Senior Unsecured Notes, 1.850% due 5/1/25 |
278,433 | |||||||
| 50,000 | BBB+ | Subordinated Notes, 3.803% (5-Year USD Swap Rate + 1.432%) due 12/15/32(c) |
44,540 | |||||||
| Bank of New York Mellon Corp. (The), Senior Unsecured Notes: | ||||||||||
| 90,000 | A | 1.600% due 4/24/25 |
83,478 | |||||||
| 390,000 | A | 4.289% (SOFR + 1.418%) due 6/13/33(c) |
362,625 | |||||||
| 440,000 | A | 5.834% (SOFR + 2.074%) due 10/25/33(c) |
459,020 | |||||||
| Bank of Nova Scotia (The): | ||||||||||
| 170,000 | A- | Senior Unsecured Notes, 1.300% due 6/11/25 |
155,284 | |||||||
| 180,000 | BBB+ | Subordinated Notes, 4.588% (5-Year CMT Index + 2.050%) due 5/4/37(c) |
157,508 | |||||||
| Barclays PLC: | ||||||||||
| Senior Unsecured Notes: |
||||||||||
| 620,000 | BBB | 4.972% (3-Month USD-LIBOR + 1.902%) due 5/16/29(c) |
590,806 | |||||||
| 787,000 | BBB | 2.894% (1-Year CMT Index + 1.300%) due 11/24/32(c) |
611,234 | |||||||
| 200,000 | BB+ | Subordinated Notes, 5.088% (3-Month USD-LIBOR + 3.054%) due 6/20/30(c) |
185,417 | |||||||
| BNP Paribas SA: | ||||||||||
| Senior Unsecured Notes: |
||||||||||
| 1,140,000 | A- | 4.705% (3-Month USD-LIBOR + 2.235%) due 1/10/25(a)(c) |
1,128,419 | |||||||
| 220,000 | A- | 2.219% (SOFR + 2.074%) due 6/9/26(a)(c) |
203,305 | |||||||
| 750,000 | A- | 4.400% due 8/14/28(a) |
708,873 | |||||||
| 2,017,000 | A+ | 5.125% (1-Year CMT Index + 1.450%) due 1/13/29(a)(c) |
1,986,603 | |||||||
| 200,000 | A- | 2.871% (SOFR + 1.387%) due 4/19/32(a)(c) |
161,599 | |||||||
| 200,000 | BBB+ | Subordinated Notes, 4.375% (5-Year USD Swap Rate + 1.483%) due 3/1/33(a)(c) |
181,640 | |||||||
| Citigroup Inc.: | ||||||||||
| 220,000 | BB+ | Junior Subordinated Notes, 5.950% (3-Month USD-LIBOR + 3.905%)(c)(d) |
215,259 | |||||||
| Senior Unsecured Notes: |
||||||||||
| 180,000 | BBB+ | 1.678% (SOFR + 1.667%) due 5/15/24(c) |
178,516 | |||||||
| 120,000 | BBB+ | 3.106% (SOFR + 2.842%) due 4/8/26(c) |
114,004 | |||||||
| 200,000 | BBB+ | 3.070% (SOFR + 1.280%) due 2/24/28(c) |
181,666 | |||||||
| 70,000 | BBB+ | 4.658% (SOFR + 1.887%) due 5/24/28(c) |
67,739 | |||||||
| 970,000 | BBB+ | 3.520% (3-Month USD-LIBOR + 1.151%) due 10/27/28(c) |
888,540 | |||||||
| 100,000 | BBB+ | 3.980% (3-Month USD-LIBOR + 1.338%) due 3/20/30(c) |
91,270 | |||||||
| 815,000 | BBB+ | 2.976% (SOFR + 1.422%) due 11/5/30(c) |
694,307 | |||||||
| 210,000 | BBB+ | 4.412% (SOFR + 3.914%) due 3/31/31(c) |
195,295 | |||||||
| 70,000 | BBB+ | 2.572% (SOFR + 2.107%) due 6/3/31(c) |
57,399 | |||||||
| 520,000 | BBB+ | 2.561% (SOFR + 1.167%) due 5/1/32(c) |
417,297 | |||||||
| 160,000 | BBB+ | 2.520% (SOFR + 1.177%) due 11/3/32(c) |
126,221 | |||||||
| 3,520,000 | BBB+ | 3.057% (SOFR + 1.351%) due 1/25/33(c) |
2,885,382 | |||||||
| 250,000 | BBB+ | 3.785% (SOFR + 1.939%) due 3/17/33(c) |
217,607 | |||||||
| 220,000 | BBB+ | 4.910% (SOFR + 2.086%) due 5/24/33(c) |
208,443 | |||||||
| 314,000 | BBB+ | 8.125% due 7/15/39. |
398,370 | |||||||
| 196,000 | BBB+ | 4.650% due 7/30/45 |
173,401 | |||||||
| 70,000 | BBB+ | 4.650% due 7/23/48 |
62,621 | |||||||
| Subordinated Notes: |
||||||||||
| 670,000 | BBB | 4.400% due 6/10/25 |
655,772 | |||||||
| 250,000 | BBB | 5.500% due 9/13/25 |
250,560 | |||||||
| 890,000 | BBB | 4.300% due 11/20/26 |
853,899 | |||||||
| 30,000 | BBB | 6.625% due 6/15/32 |
31,695 | |||||||
| 100,000 | BBB | 6.675% due 9/13/43 |
110,386 | |||||||
See Notes to Financial Statements.
136
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Banks — 8.0% — (continued) | ||||||||||
| $ | 286,000 | BBB | 5.300% due 5/6/44 |
$ | 268,634 | |||||
| 30,000 | BBB | 4.750% due 5/18/46 |
25,716 | |||||||
| 142,000 | BBB+ | Citizens Financial Group Inc., Senior Unsecured Notes, 2.850% due 7/27/26 | 131,799 | |||||||
| 58,000 | AA- | Commonwealth Bank of Australia, Senior Unsecured Notes, 3.900% due 7/12/47(a) | 49,304 | |||||||
| Cooperatieve Rabobank UA: |
| |||||||||
| 990,000 | BBB+ | Company Guaranteed Notes, 4.375% due 8/4/25 |
959,578 | |||||||
| Senior Unsecured Notes: |
| |||||||||
| 250,000 | A- | 3.649% (1-Year CMT Index + 1.220%) due 4/6/28(a)(c) |
233,278 | |||||||
| 270,000 | A- | 3.758% (1-Year CMT Index + 1.420%) due 4/6/33(a)(c) |
234,827 | |||||||
| 500,000 | A- | Credit Agricole SA, Senior Unsecured Notes, 1.907% (SOFR + 1.676%) due 6/16/26(a)(c) | 458,994 | |||||||
| Credit Suisse AG, Senior Unsecured Notes: |
| |||||||||
| 950,000 | A- | 7.950% due 1/9/25 |
959,260 | |||||||
| 250,000 | A- | 2.950% due 4/9/25 |
227,057 | |||||||
| 250,000 | A- | 5.000% due 7/9/27 |
229,125 | |||||||
| 250,000 | A- | 7.500% due 2/15/28 |
252,340 | |||||||
| Credit Suisse Group AG: |
| |||||||||
| 760,000 | B | Junior Subordinated Notes, 9.750% (5-Year CMT Index + 6.383%)(a)(c)(d) |
691,798 | |||||||
| Senior Unsecured Notes: |
| |||||||||
| 320,000 | BBB- | 4.550% due 4/17/26 |
286,054 | |||||||
| 370,000 | BBB- | 2.193% (SOFR + 2.044%) due 6/5/26(a)(c) |
318,823 | |||||||
| 900,000 | BBB- | 1.305% (SOFR + 0.980%) due 2/2/27(a)(c) |
727,505 | |||||||
| 60,000 | BBB- | 3.869% (3-Month USD-LIBOR + 1.410%) due 1/12/29(a)(c) |
49,253 | |||||||
| 250,000 | BBB- | 4.194% (SOFR + 3.730%) due 4/1/31(a)(c) |
198,438 | |||||||
| 1,850,000 | BBB- | 3.091% (SOFR + 1.730%) due 5/14/32(a)(c) |
1,302,927 | |||||||
| 2,865,000 | BBB- | 6.537% (SOFR + 3.920%) due 8/12/33(a)(c) |
2,560,001 | |||||||
| 1,130,000 | BBB- | 9.016% (SOFR + 5.020%) due 11/15/33(a)(c) |
1,186,614 | |||||||
| Danske Bank AS, Senior Unsecured Notes: |
| |||||||||
| 800,000 | BBB+ | 5.375% due 1/12/24(a) |
797,907 | |||||||
| 260,000 | BBB+ | 4.298% (1-Year CMT Index + 1.750%) due 4/1/28(a)(c) |
245,240 | |||||||
| 645,000 | A | DNB Bank ASA, Senior Unsecured Notes, 1.127% |
569,658 | |||||||
| 11,000 | BB+ | Goldman Sachs Capital II, Limited Guaranteed Notes, 5.730% |
8,910 | |||||||
| Goldman Sachs Group Inc. (The): |
||||||||||
| Senior Unsecured Notes: |
| |||||||||
| 1,120,000 | BBB+ | 1.217% due 12/6/23 |
1,086,210 | |||||||
| 12,000 | BBB+ | 0.673% (SOFR + 0.572%) due 3/8/24(c) |
11,964 | |||||||
| 265,000 | BBB+ | 0.657% (SOFR + 0.505%) due 9/10/24(c) |
257,606 | |||||||
| 689,000 | BBB+ | 0.925% (SOFR + 0.486%) due 10/21/24(c) |
667,000 | |||||||
| 57,000 | BBB+ | 1.757% (SOFR + 0.730%) due 1/24/25(c) |
54,850 | |||||||
| 166,000 | BBB+ | 3.500% due 4/1/25 |
159,943 | |||||||
| 145,000 | BBB+ | 3.272% (3-Month USD-LIBOR + 1.201%) due 9/29/25(c) |
139,456 | |||||||
| 132,000 | BBB+ | 0.855% (SOFR + 0.609%) due 2/12/26(c) |
119,880 | |||||||
| 15,000 | BBB+ | 6.034% (3-Month USD-LIBOR + 1.170%) due 5/15/26(c) |
15,127 | |||||||
| 150,000 | BBB+ | 3.500% due 11/16/26 |
140,892 | |||||||
| 685,000 | BBB+ | 1.431% (SOFR + 0.798%) due 3/9/27(c) |
603,992 | |||||||
| 1,460,000 | BBB+ | 1.542% (SOFR + 0.818%) due 9/10/27(c) |
1,268,307 | |||||||
| 3,883,000 | BBB+ | 2.640% (SOFR + 1.114%) due 2/24/28(c) |
3,471,760 | |||||||
| 70,000 | BBB+ | 3.615% (SOFR + 1.846%) due 3/15/28(c) |
64,995 | |||||||
| 620,000 | BBB+ | 3.814% (3-Month USD-LIBOR + 1.158%) due 4/23/29(c) |
569,355 | |||||||
| 940,000 | BBB+ | 4.223% (3-Month USD-LIBOR + 1.301%) due 5/1/29(c) |
879,886 | |||||||
| 295,000 | BBB+ | 1.992% (SOFR + 1.090%) due 1/27/32(c) |
226,719 | |||||||
| 2,992,000 | BBB+ | 2.615% (SOFR + 1.281%) due 4/22/32(c) |
2,403,469 | |||||||
| 1,599,000 | BBB+ | 2.383% (SOFR + 1.248%) due 7/21/32(c) |
1,255,617 | |||||||
| 1,670,000 | BBB+ | 2.650% (SOFR + 1.264%) due 10/21/32(c) |
1,329,311 | |||||||
See Notes to Financial Statements.
137
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Banks — 8.0% — (continued) | ||||||||||
| $ | 210,000 | BBB+ | 6.250% due 2/1/41 |
$ | 225,075 | |||||
| 30,000 | BBB+ | 3.210% (SOFR + 1.513%) due 4/22/42(c) |
21,763 | |||||||
| 70,000 | BBB+ | 2.908% (SOFR + 1.472%) due 7/21/42(c) |
48,232 | |||||||
| 100,000 | BBB+ | 4.750% due 10/21/45 |
89,519 | |||||||
| Subordinated Notes: |
||||||||||
| 600,000 | BBB | 4.250% due 10/21/25 |
581,429 | |||||||
| 460,000 | BBB | 6.750% due 10/1/37 |
488,777 | |||||||
| 290,000 | BBB | 5.150% due 5/22/45 |
268,734 | |||||||
| HSBC Holdings PLC: | ||||||||||
| Senior Unsecured Notes: |
||||||||||
| 105,000 | A- | 1.645% (SOFR + 1.538%) due 4/18/26(c) |
96,229 | |||||||
| 700,000 | A- | 2.099% (SOFR + 1.929%) due 6/4/26(c) |
644,384 | |||||||
| 485,000 | A- | 1.589% (SOFR + 1.290%) due 5/24/27(c) |
424,550 | |||||||
| 405,000 | A- | 4.755% (SOFR + 2.110%) due 6/9/28(c) |
389,262 | |||||||
| 785,000 | A- | 7.390% (SOFR + 3.350%) due 11/3/28(c) |
829,540 | |||||||
| 2,070,000 | A- | 2.206% (SOFR + 1.285%) due 8/17/29(c) |
1,714,265 | |||||||
| 420,000 | A- | 3.973% (3-Month USD-LIBOR + 1.610%) due 5/22/30(c) |
376,600 | |||||||
| 850,000 | A- | 2.804% (SOFR + 1.187%) due 5/24/32(c) |
675,699 | |||||||
| 230,000 | A- | 2.871% (SOFR + 1.410%) due 11/22/32(c) |
182,183 | |||||||
| 1,066,000 | A- | 5.402% (SOFR + 2.870%) due 8/11/33(c) |
1,021,541 | |||||||
| Subordinated Notes: |
||||||||||
| 220,000 | BBB | 4.762% (SOFR + 2.530%) due 3/29/33(c) |
197,018 | |||||||
| 190,000 | BBB | 6.500% due 9/15/37 |
197,987 | |||||||
| 200,000 | BB+ | Intesa Sanpaolo SpA, Subordinated Notes, 5.017% due 6/26/24(a) | 193,269 | |||||||
| JPMorgan Chase & Co.: |
||||||||||
| Senior Unsecured Notes: |
||||||||||
| 1,497,000 | A- | 3.559% (3-Month USD-LIBOR + 0.730%) due 4/23/24(c) |
1,492,103 | |||||||
| 270,000 | A- | 1.514% (SOFR + 1.455%) due 6/1/24(c) |
267,375 | |||||||
| 430,000 | A- | 4.023% (3-Month USD-LIBOR + 1.000%) due 12/5/24(c) |
424,478 | |||||||
| 240,000 | A- | 3.845% (SOFR + 0.980%) due 6/14/25(c) |
234,360 | |||||||
| 435,000 | A- | 0.969% (3-Month Term SOFR + 0.580%) due 6/23/25(c) |
408,519 | |||||||
| 1,080,000 | A- | 1.561% (SOFR + 0.605%) due 12/10/25(c) |
1,004,319 | |||||||
| 280,000 | A- | 2.083% (SOFR + 1.850%) due 4/22/26(c) |
260,102 | |||||||
| 7,000 | A- | 1.045% (SOFR + 0.800%) due 11/19/26(c) |
6,202 | |||||||
| 12,000 | A- | 1.040% (3-Month Term SOFR + 0.695%) due 2/4/27(c) |
10,530 | |||||||
| 1,745,000 | A- | 1.578% (SOFR + 0.885%) due 4/22/27(c) |
1,544,275 | |||||||
| 360,000 | A- | 1.470% (SOFR + 0.765%) due 9/22/27(c) |
312,238 | |||||||
| 1,001,000 | A- | 4.323% (SOFR + 1.560%) due 4/26/28(c) |
957,380 | |||||||
| 255,000 | A- | 2.182% (SOFR + 1.890%) due 6/1/28(c) |
223,258 | |||||||
| 40,000 | A- | 2.069% (SOFR + 1.015%) due 6/1/29(c) |
33,741 | |||||||
| 480,000 | A- | 4.203% (3-Month USD-LIBOR + 1.260%) due 7/23/29(c) |
450,547 | |||||||
| 480,000 | A- | 4.452% (3-Month USD-LIBOR + 1.330%) due 12/5/29(c) |
454,987 | |||||||
| 717,000 | A- | 3.702% (3-Month USD-LIBOR + 1.160%) due 5/6/30(c) |
647,272 | |||||||
| 400,000 | A- | 4.565% (SOFR + 1.750%) due 6/14/30(c) |
380,605 | |||||||
| 345,000 | A- | 2.739% (SOFR + 1.510%) due 10/15/30(c) |
291,213 | |||||||
| 150,000 | A- | 2.522% (SOFR + 2.040%) due 4/22/31(c) |
124,001 | |||||||
| 815,000 | A- | 1.953% (SOFR + 1.065%) due 2/4/32(c) |
632,662 | |||||||
| 2,764,000 | A- | 2.580% (SOFR + 1.250%) due 4/22/32(c) |
2,238,804 | |||||||
| 1,161,000 | A- | 2.545% (SOFR + 1.180%) due 11/8/32(c) |
928,010 | |||||||
| 1,901,000 | A- | 4.586% (SOFR + 1.800%) due 4/26/33(c) |
1,771,178 | |||||||
| 200,000 | A- | 3.964% (3-Month USD-LIBOR + 1.380%) due 11/15/48(c) |
160,012 | |||||||
| 50,000 | A- | 3.109% (SOFR + 2.440%) due 4/22/51(c) |
33,908 | |||||||
| Subordinated Notes: |
||||||||||
| 270,000 | BBB+ | 3.875% due 9/10/24 |
263,662 | |||||||
| 210,000 | BBB+ | 4.250% due 10/1/27 |
202,189 | |||||||
See Notes to Financial Statements.
138
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Banks — 8.0% — (continued) | ||||||||||
| $ | 490,000 | BBB+ | 4.950% due 6/1/45 |
$ | 450,214 | |||||
| 51,000 | BBB+ | KeyCorp, Senior Unsecured Notes, 2.250% due 4/6/27 | 45,397 | |||||||
| Lloyds Banking Group PLC: | ||||||||||
| Senior Unsecured Notes: |
||||||||||
| 400,000 | BBB+ | 3.900% due 3/12/24 |
393,280 | |||||||
| 200,000 | BBB+ | 4.375% due 3/22/28 |
189,251 | |||||||
| 980,000 | BBB+ | 4.976% (1-Year CMT Index + 2.300%) due 8/11/33(c) |
912,797 | |||||||
| 245,000 | BBB- | Subordinated Notes, 4.582% due 12/10/25 |
235,786 | |||||||
| Macquarie Group Ltd., Senior Unsecured Notes: |
| |||||||||
| 540,000 | BBB+ | 1.201% (SOFR + 0.694%) due 10/14/25(a)(c) |
498,699 | |||||||
| 540,000 | BBB+ | 1.340% (SOFR + 1.069%) due 1/12/27(a)(c) |
474,920 | |||||||
| 600,000 | BBB+ | 4.442% (SOFR + 2.405%) due 6/21/33(a)(c) |
544,854 | |||||||
| 250,000 | AA+ | National Securities Clearing Corp., Senior Unsecured Notes, 1.500% due 4/23/25(a) | 231,088 | |||||||
| NatWest Group PLC, Senior Unsecured Notes: | ||||||||||
| 200,000 | BBB | 4.519% (3-Month USD-LIBOR + 1.550%) due 6/25/24(c) |
198,954 | |||||||
| 990,000 | BBB | 4.269% (3-Month USD-LIBOR + 1.762%) due 3/22/25(c) |
972,285 | |||||||
| 400,000 | BBB | 5.076% (3-Month USD-LIBOR + 1.905%) due 1/27/30(c) |
383,337 | |||||||
| 33,000 | A+ | Northern Trust Corp., Senior Unsecured Notes, 3.150% due 5/3/29 | 29,983 | |||||||
| 940,000 | A- | PNC Financial Services Group Inc. (The), Senior Unsecured Notes, 5.068% |
909,468 | |||||||
| Royal Bank of Canada, Senior Unsecured Notes: | ||||||||||
| 260,000 | A | 1.600% due 4/17/23 |
258,878 | |||||||
| 160,000 | A | 1.150% due 6/10/25 |
146,046 | |||||||
| 250,000 | A | 3.875% due 5/4/32 |
225,124 | |||||||
| 30,000 | BBB+ | Santander Holdings USA Inc., Senior Unsecured Notes, 4.500% due 7/17/25 | 29,156 | |||||||
| Santander UK Group Holdings PLC, Senior Unsecured Notes: | ||||||||||
| 180,000 | BBB | 4.796% (3-Month USD-LIBOR + 1.570%) due 11/15/24(c) |
178,240 | |||||||
| 790,000 | BBB | 1.532% (1-Year CMT Index + 1.250%) due 8/21/26(c) |
706,349 | |||||||
| 1,440,000 | BBB | 1.673% (SOFR + 0.989%) due 6/14/27(c) |
1,257,847 | |||||||
| 535,000 | BBB- | Santander UK PLC, Subordinated Notes, 5.000% due 11/7/23(a) | 532,720 | |||||||
| 200,000 | A+ | Swedbank AB, Senior Unsecured Notes, 1.300% due 6/2/23(a) | 197,894 | |||||||
| Toronto-Dominion Bank (The), Senior Unsecured Notes: | ||||||||||
| 310,000 | A | 0.750% due 6/12/23 |
306,344 | |||||||
| 150,000 | A | 1.150% due 6/12/25 |
136,846 | |||||||
| 280,000 | A | 4.456% due 6/8/32 |
263,664 | |||||||
| UBS Group AG: | ||||||||||
| 1,070,000 | BB | Junior Subordinated Notes, 7.000% (5-Year USD Swap Rate + 4.344%)(a)(c)(d) |
1,067,517 | |||||||
| 300,000 | A- | Senior Unsecured Notes, 4.751% (1-Year CMT Index + 1.750%) due 5/12/28(a)(c) |
288,985 | |||||||
| US Bancorp: | ||||||||||
| Senior Unsecured Notes: |
| |||||||||
| 350,000 | A+ | 1.450% due 5/12/25 |
323,052 | |||||||
| 300,000 | A+ | 5.850% (SOFR + 2.090%) due 10/21/33(c) |
309,190 | |||||||
| 790,000 | A+ | 4.839% (SOFR + 1.600%) due 2/1/34(c) |
756,809 | |||||||
| 56,000 | A | Subordinated Notes, 3.100% due 4/27/26 |
52,589 | |||||||
| Wells Fargo & Co.: | ||||||||||
| 50,000 | BB+ | Junior Subordinated Notes, 5.875% (3-Month USD-LIBOR + 3.990%)(c)(d) |
49,725 | |||||||
| Senior Unsecured Notes: |
||||||||||
| 270,000 | BBB+ | 3.750% due 1/24/24 |
266,023 | |||||||
| 300,000 | BBB+ | 2.188% (SOFR + 2.000%) due 4/30/26(c) |
279,060 | |||||||
| 500,000 | BBB+ | 3.000% due 10/23/26 |
461,911 | |||||||
| 379,000 | BBB+ | 3.526% (SOFR + 1.510%) due 3/24/28(c) |
351,072 | |||||||
| 2,759,000 | BBB+ | 3.584% (3-Month USD-LIBOR + 1.310%) due 5/22/28(c) |
2,554,557 | |||||||
| 510,000 | BBB+ | 2.393% (SOFR + 2.100%) due 6/2/28(c) |
451,191 | |||||||
| 220,000 | BBB+ | 4.808% (SOFR + 1.980%) due 7/25/28(c) |
214,396 | |||||||
| 716,000 | BBB+ | 4.150% due 1/24/29 |
671,063 | |||||||
See Notes to Financial Statements.
139
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Banks — 8.0% — (continued) | ||||||||||
| $ | 650,000 | BBB+ | 2.879% (3-Month Term SOFR + 1.432%) due 10/30/30(c) |
$ | 554,041 | |||||
| 100,000 | BBB+ | 4.478% (SOFR + 4.032%) due 4/4/31(c) |
94,050 | |||||||
| 2,715,000 | BBB+ | 3.350% (SOFR + 1.500%) due 3/2/33(c) |
2,296,660 | |||||||
| 2,530,000 | BBB+ | 5.013% (SOFR + 4.502%) due 4/4/51(c) |
2,322,466 | |||||||
| Subordinated Notes: |
||||||||||
| 169,000 | BBB | 4.480% due 1/16/24 |
167,591 | |||||||
| 230,000 | BBB | 5.375% due 11/2/43 |
217,415 | |||||||
| 110,000 | BBB | 5.606% due 1/15/44 |
107,057 | |||||||
| 280,000 | BBB | 4.650% due 11/4/44 |
239,345 | |||||||
| 450,000 | BBB | 4.900% due 11/17/45 |
397,622 | |||||||
| 40,000 | BBB | 4.400% due 6/14/46 |
32,773 | |||||||
| 160,000 | BBB | 4.750% due 12/7/46 |
137,620 | |||||||
|
|
|
|||||||||
| Total Banks | 121,029,084 | |||||||||
|
|
|
|||||||||
| Beverages — 0.3% | ||||||||||
| Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | ||||||||||
| 340,000 | BBB+ | 3.650% due 2/1/26 |
325,825 | |||||||
| 545,000 | BBB+ | 4.900% due 2/1/46 |
499,679 | |||||||
| Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | ||||||||||
| 140,000 | BBB+ | 4.000% due 4/13/28 |
133,660 | |||||||
| 240,000 | BBB+ | 4.750% due 1/23/29 |
235,946 | |||||||
| 805,000 | BBB+ | 3.500% due 6/1/30 |
733,088 | |||||||
| 160,000 | BBB+ | 4.350% due 6/1/40 |
140,419 | |||||||
| 22,000 | BBB+ | 4.600% due 4/15/48 |
19,383 | |||||||
| 270,000 | BBB+ | 5.550% due 1/23/49 |
271,214 | |||||||
| 650,000 | BBB- | Bacardi Ltd., Company Guaranteed Notes, 4.450% due 5/15/25(a) | 630,180 | |||||||
| Coca-Cola Co. (The), Senior Unsecured Notes: |
||||||||||
| 110,000 | A+ | 3.375% due 3/25/27 |
105,026 | |||||||
| 160,000 | A+ | 1.450% due 6/1/27 |
140,569 | |||||||
| 190,000 | A+ | 2.500% due 6/1/40 |
137,788 | |||||||
| 60,000 | A+ | 2.600% due 6/1/50 |
40,058 | |||||||
| Constellation Brands Inc., Senior Unsecured Notes: |
||||||||||
| 100,000 | BBB | 3.600% due 5/9/24 |
97,999 | |||||||
| 130,000 | BBB | 4.350% due 5/9/27 |
125,741 | |||||||
| 30,000 | BBB | 2.250% due 8/1/31 |
23,612 | |||||||
| Molson Coors Beverage Co., Company Guaranteed Notes: |
||||||||||
| 50,000 | BBB- | 3.000% due 7/15/26 |
46,276 | |||||||
| 60,000 | BBB- | 4.200% due 7/15/46 |
46,703 | |||||||
| PepsiCo Inc., Senior Unsecured Notes: |
||||||||||
| 180,000 | A+ | 0.750% due 5/1/23 |
178,782 | |||||||
| 20,000 | A+ | 2.625% due 3/19/27 |
18,516 | |||||||
| 150,000 | A+ | 1.625% due 5/1/30 |
121,878 | |||||||
| 60,000 | A+ | 2.875% due 10/15/49 |
43,086 | |||||||
| 355,000 | BBB | Suntory Holdings Ltd., Senior Unsecured Notes, 2.250% due 10/16/24(a) | 334,985 | |||||||
| 182,000 | CCC+ | Triton Water Holdings Inc., Senior Unsecured Notes, 6.250% due 4/1/29(a) | 145,281 | |||||||
|
|
|
|||||||||
| Total Beverages | 4,595,694 | |||||||||
|
|
|
|||||||||
| Biotechnology — 0.2% | ||||||||||
| Amgen Inc., Senior Unsecured Notes: | ||||||||||
| 70,000 | BBB+ | 3.625% due 5/22/24 |
68,465 | |||||||
| 180,000 | BBB+ | 4.050% due 8/18/29 |
167,980 | |||||||
| 520,000 | BBB+ | 5.250% due 3/2/33 |
515,613 | |||||||
| 520,000 | BBB+ | 5.600% due 3/2/43 |
512,244 | |||||||
| 520,000 | BBB+ | 5.650% due 3/2/53 |
513,821 | |||||||
| 366,000 | BBB+ | 4.400% due 2/22/62 |
291,926 | |||||||
See Notes to Financial Statements.
140
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Biotechnology — 0.2% — (continued) | ||||||||||
| $ | 65,000 | A+ | Celgene Corp., Senior Unsecured Notes, 3.900% due 2/20/28 | $ | 60,492 | |||||
| Gilead Sciences Inc., Senior Unsecured Notes: | ||||||||||
| 160,000 | BBB+ | 3.700% due 4/1/24 |
157,232 | |||||||
| 60,000 | BBB+ | 3.650% due 3/1/26 |
57,321 | |||||||
| 166,000 | BBB+ | 2.600% due 10/1/40 |
115,558 | |||||||
| 218,000 | BBB+ | 4.800% due 4/1/44 |
201,001 | |||||||
| 130,000 | BBB+ | 4.750% due 3/1/46 |
117,488 | |||||||
| 727,000 | B- | Grifols Escrow Issuer SA, Senior Unsecured Notes, 4.750% due 10/15/28(a) | 622,239 | |||||||
|
|
|
|||||||||
| Total Biotechnology | 3,401,380 | |||||||||
|
|
|
|||||||||
| Building Materials — 0.0%@ | ||||||||||
| 30,000 | BB- | Builders FirstSource Inc., Company Guaranteed Notes, 4.250% due 2/1/32(a) | 25,216 | |||||||
|
|
|
|||||||||
| Chemicals — 0.2% | ||||||||||
| 479,000 | BBB+ | DuPont de Nemours Inc., Senior Unsecured Notes, 4.493% due 11/15/25 | 470,988 | |||||||
| 4,000 | BBB | Eastman Chemical Co., Senior Unsecured Notes, 4.500% due 12/1/28 | 3,825 | |||||||
| 69,000 | A- | Ecolab Inc., Senior Unsecured Notes, 2.750% due 8/18/55 | 42,334 | |||||||
| 400,000 | BBB | Equate Petrochemical BV, Company Guaranteed Notes, 4.250% due 11/3/26(a) | 385,699 | |||||||
| 1,301,000 | BBB- | International Flavors & Fragrances Inc., Senior Unsecured Notes, 2.300% due 11/1/30(a) | 1,003,510 | |||||||
| 21,000 | BBB | LYB International Finance III LLC, Company Guaranteed Notes, 4.200% due 5/1/50 | 15,760 | |||||||
| 30,000 | BBB | Monsanto Co., Senior Unsecured Notes, 4.400% due 7/15/44 | 22,063 | |||||||
| OCP SA, Senior Unsecured Notes: |
||||||||||
| 200,000 | BB+ | 4.500% due 10/22/25(a) |
192,182 | |||||||
| 200,000 | BB+ | 3.750% due 6/23/31(a) |
160,980 | |||||||
| 200,000 | BB+ | 5.125% due 6/23/51(a) |
145,189 | |||||||
| Orbia Advance Corp. SAB de CV, Company Guaranteed Notes: |
||||||||||
| 270,000 | BBB- | 1.875% due 5/11/26(a) |
236,523 | |||||||
| 260,000 | BBB- | 2.875% due 5/11/31(a) |
205,010 | |||||||
| 84,000 | BBB | Westlake Corp., Senior Unsecured Notes, 3.375% due 8/15/61 | 50,792 | |||||||
|
|
|
|||||||||
| Total Chemicals | 2,934,855 | |||||||||
|
|
|
|||||||||
| Commercial Services — 0.3% | ||||||||||
| 550,000 | BB- | ADT Security Corp. (The), Senior Secured Notes, 4.125% due 6/15/23. | 547,200 | |||||||
| Cintas Corp. No 2, Company Guaranteed Notes: |
||||||||||
| 110,000 | A- | 3.700% due 4/1/27 |
105,060 | |||||||
| 90,000 | A- | 4.000% due 5/1/32 |
83,463 | |||||||
| Global Payments Inc., Senior Unsecured Notes: |
||||||||||
| 171,000 | BBB- | 4.950% due 8/15/27 |
165,501 | |||||||
| 1,114,000 | BBB- | 3.200% due 8/15/29 |
948,342 | |||||||
| 475,000 | BBB- | 2.900% due 5/15/30 |
390,869 | |||||||
| 230,000 | BBB- | 5.400% due 8/15/32 |
219,813 | |||||||
| 553,000 | BBB- | 5.950% due 8/15/52 |
510,005 | |||||||
| Moody’s Corp., Senior Unsecured Notes: |
||||||||||
| 39,000 | BBB+ | 3.250% due 1/15/28 |
35,908 | |||||||
| 306,000 | BBB+ | 2.000% due 8/19/31 |
241,244 | |||||||
| 89,000 | BBB+ | 3.750% due 2/25/52 |
68,041 | |||||||
| 108,000 | BBB+ | 3.100% due 11/29/61 |
66,896 | |||||||
| PayPal Holdings Inc., Senior Unsecured Notes: |
||||||||||
| 200,000 | A- | 1.650% due 6/1/25 |
185,222 | |||||||
| 100,000 | A- | 2.300% due 6/1/30 |
82,458 | |||||||
| RELX Capital Inc., Company Guaranteed Notes: |
||||||||||
| 305,000 | BBB+ | 3.500% due 3/16/23 |
304,834 | |||||||
| 59,000 | BBB+ | 4.000% due 3/18/29 |
54,651 | |||||||
| 447,000 | BBB+ | 3.000% due 5/22/30 |
385,066 | |||||||
| 113,000 | A3(b) | S&P Global Inc., Company Guaranteed Notes, 1.250% due 8/15/30 | 87,406 | |||||||
See Notes to Financial Statements.
141
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Commercial Services — 0.3% — (continued) | ||||||||||
| United Rentals North America Inc.: |
||||||||||
| Company Guaranteed Notes: |
||||||||||
| $ | 50,000 | BB+ | 3.875% due 2/15/31 |
$ | 42,854 | |||||
| 120,000 | BB+ | 3.750% due 1/15/32 |
100,849 | |||||||
| 20,000 | BBB- | Secured Notes, 3.875% due 11/15/27 |
18,468 | |||||||
| 60,000 | B | Upbound Group Inc., Company Guaranteed Notes, 6.375% due 2/15/29(a) | 51,026 | |||||||
| 60,000 | B- | WASH Multifamily Acquisition Inc., Senior Secured Notes, 5.750% due 4/15/26(a) | 55,877 | |||||||
|
|
|
|||||||||
| Total Commercial Services | 4,751,053 | |||||||||
|
|
|
|||||||||
| Computers — 0.2% | ||||||||||
| Apple Inc., Senior Unsecured Notes: | ||||||||||
| 300,000 | AA+ | 2.400% due 5/3/23 |
298,597 | |||||||
| 290,000 | AA+ | 1.125% due 5/11/25 |
267,894 | |||||||
| 280,000 | AA+ | 2.450% due 8/4/26 |
259,293 | |||||||
| 400,000 | AA+ | 3.350% due 2/9/27 |
381,375 | |||||||
| 360,000 | AA+ | 2.900% due 9/12/27 |
334,918 | |||||||
| 55,000 | AA+ | 3.850% due 5/4/43 |
47,126 | |||||||
| Dell International LLC/EMC Corp.: | ||||||||||
| 71,000 | BBB | Company Guaranteed Notes, 3.450% due 12/15/51(a) |
43,091 | |||||||
| 52,000 | BBB | Senior Unsecured Notes, 8.350% due 7/15/46 |
58,413 | |||||||
| 59,000 | BBB | HP Inc., Senior Unsecured Notes, 2.650% due 6/17/31 | 46,381 | |||||||
| 680,000 | A- | International Business Machines Corp., Senior Unsecured Notes, 3.000% due 5/15/24 | 661,226 | |||||||
| NCR Corp., Company Guaranteed Notes: | ||||||||||
| 150,000 | B * | 5.125% due 4/15/29(a) |
128,268 | |||||||
| 60,000 | B * | 5.250% due 10/1/30(a) |
49,638 | |||||||
|
|
|
|||||||||
| Total Computers | 2,576,220 | |||||||||
|
|
|
|||||||||
| Cosmetics/Personal Care — 0.0%@ | ||||||||||
| 560,000 | BBB | GSK Consumer Healthcare Capital US LLC, Company Guaranteed Notes, 3.375% due 3/24/29 | 498,545 | |||||||
| Procter & Gamble Co. (The), Senior Unsecured Notes: |
||||||||||
| 30,000 | AA- | 2.800% due 3/25/27. |
27,989 | |||||||
| 80,000 | AA- | 3.000% due 3/25/30. |
72,539 | |||||||
|
|
|
|||||||||
| Total Cosmetics/Personal Care | 599,073 | |||||||||
|
|
|
|||||||||
| Distribution/Wholesale — 0.0%@ | ||||||||||
| 50,000 | BB- | H&E Equipment Services Inc., Company Guaranteed Notes, 3.875% due 12/15/28(a) | 43,051 | |||||||
|
|
|
|||||||||
| Diversified Financial Services — 0.7% | ||||||||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes: | ||||||||||
| 280,000 | BBB | 4.875% due 1/16/24 |
277,342 | |||||||
| 190,000 | BBB | 3.150% due 2/15/24 |
185,385 | |||||||
| 1,210,000 | BBB | 2.450% due 10/29/26 |
1,068,112 | |||||||
| 540,000 | BBB | 3.000% due 10/29/28 |
460,309 | |||||||
| 2,127,000 | BBB | 3.300% due 1/30/32 |
1,702,400 | |||||||
| Air Lease Corp., Senior Unsecured Notes: | ||||||||||
| 495,000 | BBB | 3.250% due 3/1/25 |
469,548 | |||||||
| 200,000 | BBB | 3.375% due 7/1/25 |
188,694 | |||||||
| 725,000 | BBB | 2.875% due 1/15/26 |
668,731 | |||||||
| 230,000 | BBB | 5.300% due 2/1/28 |
223,657 | |||||||
| American Express Co., Senior Unsecured Notes: | ||||||||||
| 190,000 | BBB+ | 3.375% due 5/3/24 |
185,706 | |||||||
| 220,000 | BBB+ | 4.050% due 5/3/29 |
208,677 | |||||||
| Avolon Holdings Funding Ltd.: | ||||||||||
| Company Guaranteed Notes: |
||||||||||
| 285,000 | BBB- | 2.875% due 2/15/25(a) |
265,216 | |||||||
See Notes to Financial Statements.
142
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Diversified Financial Services — 0.7% — (continued) | ||||||||||
| $ | 75,000 | BBB- | 3.250% due 2/15/27(a) |
$ | 66,334 | |||||
| 1,563,000 | BBB- | 2.528% due 11/18/27(a) |
1,302,927 | |||||||
| 230,000 | BBB- | Senior Unsecured Notes, 2.750% due 2/21/28(a) |
192,187 | |||||||
| 132,000 | BBB | Capital One Financial Corp., Senior Unsecured Notes, 1.878% |
115,409 | |||||||
| 100,000 | AA- | CME Group Inc., Senior Unsecured Notes, 3.750% due 6/15/28 | 95,435 | |||||||
| 255,000 | BBB- | Discover Financial Services, Senior Unsecured Notes, 4.500% due 1/30/26 | 246,991 | |||||||
| Intercontinental Exchange Inc., Senior Unsecured Notes: | ||||||||||
| 212,000 | A- | 2.100% due 6/15/30 |
171,816 | |||||||
| 480,000 | A- | 1.850% due 9/15/32 |
359,645 | |||||||
| 390,000 | A- | 4.600% due 3/15/33 |
370,393 | |||||||
| 60,000 | A- | 4.950% due 6/15/52 |
56,658 | |||||||
| 30,000 | A | KKR Group Finance Co. II LLC, Company Guaranteed Notes, 5.500% due 2/1/43(a) | 27,789 | |||||||
| 650,000 | NR | Lehman Brothers Holdings Inc., Subordinated Notes, 6.750% due 12/18/17#(e)(f) | – | |||||||
| 535,000 | A | LSEGA Financing PLC, Company Guaranteed Notes, 2.000% due 4/6/28(a) | 457,344 | |||||||
| 30,000 | A+ | Mastercard Inc., Senior Unsecured Notes, 3.850% due 3/26/50 | 25,182 | |||||||
| 119,000 | A- | ORIX Corp., Senior Unsecured Notes, 5.200% due 9/13/32 | 118,534 | |||||||
| 60,000 | BBB- | Park Aerospace Holdings Ltd., Company Guaranteed Notes, 5.500% due 2/15/24(a) | 59,295 | |||||||
| Synchrony Financial, Senior Unsecured Notes: | ||||||||||
| 6,000 | BBB- | 4.500% due 7/23/25 |
5,780 | |||||||
| 47,000 | BBB- | 3.700% due 8/4/26 |
43,601 | |||||||
| 150,000 | AA | USAA Capital Corp., Senior Unsecured Notes, 2.125% due 5/1/30(a) | 124,119 | |||||||
| Visa Inc., Senior Unsecured Notes: | ||||||||||
| 340,000 | AA- | 3.150% due 12/14/25 |
324,739 | |||||||
| 210,000 | AA- | 2.050% due 4/15/30 |
177,590 | |||||||
| 310,000 | AA- | 4.300% due 12/14/45 |
279,797 | |||||||
|
|
|
|||||||||
| Total Diversified Financial Services | 10,525,342 | |||||||||
|
|
|
|||||||||
| Electric — 1.4% | ||||||||||
| AEP Texas Inc., Senior Unsecured Notes: | ||||||||||
| 82,000 | A- | 3.450% due 1/15/50 |
58,650 | |||||||
| 191,000 | A- | 3.450% due 5/15/51 |
135,542 | |||||||
| AEP Transmission Co. LLC, Senior Unsecured Notes: | ||||||||||
| 505,000 | A- | 3.750% due 12/1/47 |
402,491 | |||||||
| 120,000 | A- | 2.750% due 8/15/51 |
76,838 | |||||||
| 200,000 | A- | 4.500% due 6/15/52 |
176,791 | |||||||
| Alabama Power Co., Senior Unsecured Notes: | ||||||||||
| 17,000 | A- | 5.200% due 6/1/41 |
16,108 | |||||||
| 64,000 | A- | 3.700% due 12/1/47 |
49,105 | |||||||
| 60,000 | A- | 3.450% due 10/1/49 |
43,787 | |||||||
| Ameren Illinois Co., 1st Mortgage Notes: | ||||||||||
| 161,000 | A | 3.250% due 3/15/50 |
116,993 | |||||||
| 95,000 | A | 2.900% due 6/15/51 |
63,171 | |||||||
| 150,000 | BBB | American Transmission Systems Inc., Senior Unsecured Notes, 2.650% due 1/15/32(a) | 123,011 | |||||||
| Baltimore Gas & Electric Co., Senior Unsecured Notes: | ||||||||||
| 6,000 | A | 3.500% due 8/15/46 |
4,513 | |||||||
| 150,000 | A | 3.750% due 8/15/47 |
115,567 | |||||||
| 130,000 | A | 3.200% due 9/15/49 |
91,665 | |||||||
| 67,000 | A | 2.900% due 6/15/50 |
44,623 | |||||||
| 223,000 | A | 4.550% due 6/1/52 |
196,607 | |||||||
| CenterPoint Energy Houston Electric LLC: | ||||||||||
| 1st Mortgage Notes: |
||||||||||
| 146,000 | A | 3.350% due 4/1/51 |
107,575 | |||||||
| 126,000 | A | 3.600% due 3/1/52 |
97,540 | |||||||
See Notes to Financial Statements.
143
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Electric — 1.4% — (continued) | ||||||||||
| General Refinance Mortgage: |
||||||||||
| $ | 15,000 | A | 3.950% due 3/1/48 |
$ | 12,328 | |||||
| 55,000 | A | 2.900% due 7/1/50 |
37,313 | |||||||
| Commonwealth Edison Co., 1st Mortgage Notes: | ||||||||||
| 78,000 | A | 3.125% due 3/15/51 |
53,729 | |||||||
| 128,000 | A | 3.850% due 3/15/52 |
100,737 | |||||||
| 65,000 | A | 5.300% due 2/1/53 |
64,460 | |||||||
| Consolidated Edison Co. of New York Inc., Senior Unsecured Notes: | ||||||||||
| 60,000 | A- | 3.350% due 4/1/30 |
53,637 | |||||||
| 40,000 | A- | 3.950% due 4/1/50 |
31,516 | |||||||
| 250,000 | A- | 6.150% due 11/15/52 |
266,605 | |||||||
| Consumers Energy Co., 1st Mortgage Notes: | ||||||||||
| 345,000 | A | 4.625% due 5/15/33 |
335,327 | |||||||
| 256,000 | A | 3.500% due 8/1/51 |
194,223 | |||||||
| 91,000 | A | 2.650% due 8/15/52 |
57,914 | |||||||
| 313,000 | A | 4.200% due 9/1/52 |
264,845 | |||||||
| DTE Electric Co., General Refinance Mortgage: | ||||||||||
| 30,000 | A | 4.050% due 5/15/48 |
25,029 | |||||||
| 250,000 | A | 3.950% due 3/1/49 |
204,930 | |||||||
| Duke Energy Carolinas LLC, 1st Mortgage Notes: | ||||||||||
| 22,000 | A | 3.950% due 11/15/28 |
20,984 | |||||||
| 234,000 | A | 4.950% due 1/15/33 |
230,402 | |||||||
| 500,000 | A | 4.250% due 12/15/41 |
430,376 | |||||||
| 205,000 | A | 3.200% due 8/15/49 |
144,574 | |||||||
| 395,000 | A | 3.550% due 3/15/52 |
293,543 | |||||||
| 445,000 | A | 5.350% due 1/15/53 |
437,908 | |||||||
| Duke Energy Corp., Senior Unsecured Notes: | ||||||||||
| 519,000 | BBB | 4.300% due 3/15/28 |
496,483 | |||||||
| 500,000 | BBB | 2.550% due 6/15/31 |
402,662 | |||||||
| Duke Energy Florida LLC, 1st Mortgage Notes: | ||||||||||
| 334,000 | A | 2.500% due 12/1/29 |
284,396 | |||||||
| 504,000 | A | 1.750% due 6/15/30 |
402,446 | |||||||
| 24,000 | A | 4.200% due 7/15/48 |
20,249 | |||||||
| 226,000 | A | 5.950% due 11/15/52 |
240,331 | |||||||
| 335,000 | A | Duke Energy Ohio Inc., 1st Mortgage Notes, 3.650% due 2/1/29 | 309,867 | |||||||
| Duke Energy Progress LLC, 1st Mortgage Notes: | ||||||||||
| 130,000 | A | 3.450% due 3/15/29 |
118,815 | |||||||
| 162,000 | A | 4.100% due 5/15/42 |
135,584 | |||||||
| 48,000 | A | 4.100% due 3/15/43 |
40,013 | |||||||
| 67,000 | A | 2.900% due 8/15/51 |
43,526 | |||||||
| Edison International, Senior Unsecured Notes: | ||||||||||
| 91,000 | BBB- | 4.950% due 4/15/25 |
89,944 | |||||||
| 72,000 | BBB- | 5.750% due 6/15/27 |
72,385 | |||||||
| 280,000 | BBB- | 6.950% due 11/15/29 |
294,219 | |||||||
| 87,000 | A | Entergy Arkansas LLC, 1st Mortgage Notes, 3.350% due 6/15/52 | 61,455 | |||||||
| Entergy Louisiana LLC: | ||||||||||
| 1st Mortgage Notes: |
||||||||||
| 168,000 | A | 1.600% due 12/15/30 |
128,802 | |||||||
| 513,000 | A | 2.350% due 6/15/32 |
406,979 | |||||||
| 60,000 | A | 2.900% due 3/15/51 |
39,077 | |||||||
| 47,000 | A | Collateral Trust, 3.050% due 6/1/31 |
40,109 | |||||||
| 163,000 | A | Entergy Mississippi LLC, 1st Mortgage Notes, 3.500% due 6/1/51 | 118,197 | |||||||
| 125,000 | A | Entergy Texas Inc., 1st Mortgage Notes, 3.450% due 12/1/27 | 114,915 | |||||||
| Exelon Corp., Senior Unsecured Notes: | ||||||||||
| 143,000 | BBB | 5.625% due 6/15/35 |
143,557 | |||||||
See Notes to Financial Statements.
144
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Electric — 1.4% — (continued) | ||||||||||
| $ | 143,000 | BBB | 4.700% due 4/15/50 |
$ | 124,170 | |||||
| 114,000 | BBB | 4.100% due 3/15/52 |
90,059 | |||||||
| 295,000 | BBB | 5.600% due 3/15/53 |
287,185 | |||||||
| FirstEnergy Corp., Senior Unsecured Notes: | ||||||||||
| 60,000 | BB+ | 1.600% due 1/15/26 |
53,546 | |||||||
| 310,000 | BB+ | 4.150% due 7/15/27 |
289,507 | |||||||
| 170,000 | BB+ | 5.100% due 7/15/47 |
150,984 | |||||||
| 500,000 | BB+ | FirstEnergy Transmission LLC, Senior Unsecured Notes, 4.550% due 4/1/49(a) | 415,430 | |||||||
| Florida Power & Light Co., 1st Mortgage Notes: | ||||||||||
| 542,000 | A+ | 3.950% due 3/1/48 |
442,223 | |||||||
| 540,000 | A+ | 3.990% due 3/1/49 |
445,573 | |||||||
| 400,000 | BBB+ | ITC Holdings Corp., Senior Unsecured Notes, 4.050% due 7/1/23 | 398,236 | |||||||
| 700,000 | BBB | Jersey Central Power & Light Co., Senior Unsecured Notes, 4.700% due 4/1/24(a) | 691,205 | |||||||
| 485,000 | BBB | Metropolitan Edison Co., Senior Unsecured Notes, 4.300% due 1/15/29(a) | 453,000 | |||||||
| MidAmerican Energy Co., 1st Mortgage Notes: | ||||||||||
| 255,000 | A+ | 3.100% due 5/1/27 |
238,121 | |||||||
| 100,000 | A+ | 3.650% due 4/15/29 |
92,692 | |||||||
| 100,000 | A+ | 3.150% due 4/15/50 |
71,034 | |||||||
| Northern States Power Co., 1st Mortgage Notes: | ||||||||||
| 114,000 | A | 2.900% due 3/1/50 |
77,161 | |||||||
| 85,000 | A | 2.600% due 6/1/51 |
54,418 | |||||||
| 255,000 | A | 3.200% due 4/1/52 |
181,416 | |||||||
| NRG Energy Inc., Senior Secured Notes: | ||||||||||
| 67,000 | BBB- | 2.450% due 12/2/27(a) |
56,565 | |||||||
| 122,000 | BBB- | 4.450% due 6/15/29(a) |
108,664 | |||||||
| Ohio Power Co., Senior Unsecured Notes: | ||||||||||
| 29,000 | A- | 4.000% due 6/1/49 |
23,345 | |||||||
| 118,000 | A- | 2.900% due 10/1/51 |
77,763 | |||||||
| Oncor Electric Delivery Co. LLC, Senior Secured Notes: |
||||||||||
| 168,000 | A+ | 3.700% due 11/15/28 |
157,809 | |||||||
| 327,000 | A+ | 2.750% due 5/15/30 |
284,121 | |||||||
| 90,000 | A+ | 4.150% due 6/1/32 |
84,548 | |||||||
| 115,000 | A+ | 4.550% due 9/15/32 |
110,965 | |||||||
| 98,000 | A+ | 3.100% due 9/15/49 |
68,721 | |||||||
| Pacific Gas & Electric Co., 1st Mortgage Notes: | ||||||||||
| 190,000 | BBB- | 4.950% due 6/8/25 |
186,170 | |||||||
| 500,000 | BBB- | 5.450% due 6/15/27 |
487,815 | |||||||
| 14,000 | BBB- | 2.500% due 2/1/31 |
10,907 | |||||||
| 149,000 | BBB- | 6.150% due 1/15/33 |
147,098 | |||||||
| 83,000 | BBB- | 4.950% due 7/1/50 |
65,379 | |||||||
| 145,000 | BBB- | 3.500% due 8/1/50 |
90,961 | |||||||
| PECO Energy Co., 1st Mortgage Notes: | ||||||||||
| 148,000 | A | 3.050% due 3/15/51 |
100,669 | |||||||
| 506,000 | A | 4.600% due 5/15/52 |
459,700 | |||||||
| 560,000 | BBB | Pennsylvania Electric Co., Senior Unsecured Notes, 4.150% due 4/15/25(a) | 534,140 | |||||||
| 135,000 | A+ | Public Service Co. of New Hampshire, 1st Mortgage Notes, 5.150% due 1/15/53 | 133,003 | |||||||
| 500,000 | BBB | Public Service Co. of New Mexico, Senior Unsecured Notes, 3.850% due 8/1/25 | 477,776 | |||||||
| Public Service Electric & Gas Co., 1st Mortgage Notes: | ||||||||||
| 23,000 | A | 3.000% due 5/15/27 |
21,318 | |||||||
| 199,000 | A | 3.200% due 5/15/29 |
179,548 | |||||||
| 285,000 | A | 4.900% due 12/15/32 |
284,086 | |||||||
| Southern California Edison Co., 1st Mortgage Notes: | ||||||||||
| 384,000 | A- | 3.700% due 8/1/25 |
368,779 | |||||||
| 206,000 | A- | 1.200% due 2/1/26 |
182,696 | |||||||
| 97,000 | A- | 4.200% due 3/1/29 |
91,513 | |||||||
See Notes to Financial Statements.
145
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Electric — 1.4% — (continued) | ||||||||||
| $ | 431,000 | A- | 5.950% due 11/1/32 |
$ | 450,345 | |||||
| 333,000 | A | Southwestern Public Services Co., 1st Mortgage Notes, 3.150% due 5/1/50 | 232,840 | |||||||
| 115,000 | BBB+ | Tampa Electric Co., Senior Unsecured Notes, 3.625% due 6/15/50 | 85,066 | |||||||
| 800,000 | A- | Tucson Electric Power Co., Senior Unsecured Notes, 3.850% due 3/15/23 | 799,620 | |||||||
| 210,000 | NR | Union Electric Co., 1st Mortgage Notes, 5.450% due 3/15/53 | 209,454 | |||||||
| Virginia Electric & Power Co., Senior Unsecured Notes: | ||||||||||
| 33,000 | BBB+ | 6.000% due 1/15/36 |
34,314 | |||||||
| 68,000 | BBB+ | 6.000% due 5/15/37 |
70,900 | |||||||
| 55,000 | BBB+ | 4.650% due 8/15/43 |
48,723 | |||||||
| 94,000 | BBB+ | 4.200% due 5/15/45 |
76,770 | |||||||
| 47,000 | BBB+ | 4.625% due 5/15/52 |
41,159 | |||||||
| Vistra Operations Co. LLC, Senior Secured Notes: | ||||||||||
| 363,000 | BBB- | 5.125% due 5/13/25(a) |
353,083 | |||||||
| 92,000 | BBB- | 3.700% due 1/30/27(a) |
84,297 | |||||||
|
|
|
|||||||||
| Total Electric | 21,021,558 | |||||||||
|
|
|
|||||||||
| Electronics — 0.0%@ | ||||||||||
| 190,000 | BBB+ | Agilent Technologies Inc., Senior Unsecured Notes, 2.300% due 3/12/31 | 154,287 | |||||||
| 110,000 | A | Honeywell International Inc., Senior Unsecured Notes, 1.350% due 6/1/25 | 101,563 | |||||||
|
|
|
|||||||||
| Total Electronics | 255,850 | |||||||||
|
|
|
|||||||||
| Engineering & Construction — 0.0%@ | ||||||||||
| 182,000 | CCC+ | Artera Services LLC, Senior Secured Notes, 9.033% due 12/4/25(a) | 156,722 | |||||||
| 285,000 | EUR | BBB+ | Heathrow Funding Ltd., Senior Secured Notes, 1.875% due 3/14/34 | 226,160 | ||||||
|
|
|
|||||||||
| Total Engineering & Construction | 382,882 | |||||||||
|
|
|
|||||||||
| Entertainment — 0.3% | ||||||||||
| Warnermedia Holdings Inc., Company Guaranteed Notes: |
||||||||||
| 80,000 | BBB- | 3.755% due 3/15/27(a) |
73,419 | |||||||
| 100,000 | BBB- | 4.054% due 3/15/29(a) |
89,443 | |||||||
| 760,000 | BBB- | 4.279% due 3/15/32(a) |
655,035 | |||||||
| 910,000 | BBB- | 5.050% due 3/15/42(a) |
735,613 | |||||||
| 2,711,000 | BBB- | 5.141% due 3/15/52(a) |
2,123,320 | |||||||
| Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Company Guaranteed Notes: |
||||||||||
| 20,000 | B+ | 5.125% due 10/1/29(a) |
17,913 | |||||||
| 160,000 | B+ | 7.125% due 2/15/31(a) |
159,449 | |||||||
|
|
|
|||||||||
| Total Entertainment | 3,854,192 | |||||||||
|
|
|
|||||||||
| Environmental Control — 0.0%@ | ||||||||||
| Republic Services Inc., Senior Unsecured Notes: |
||||||||||
| 130,000 | BBB+ | 2.500% due 8/15/24. |
124,785 | |||||||
| 170,000 | BBB+ | 3.375% due 11/15/27 |
157,611 | |||||||
| 409,000 | B- | Waste Pro USA Inc., Senior Unsecured Notes, 5.500% due 2/15/26(a) | 374,343 | |||||||
|
|
|
|||||||||
| Total Environmental Control | 656,739 | |||||||||
|
|
|
|||||||||
| Food — 0.3% | ||||||||||
| 50,000 | A | Hershey Co. (The), Senior Unsecured Notes, 0.900% due 6/1/25 | 45,594 | |||||||
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance Inc.: | ||||||||||
| Company Guaranteed Notes: |
||||||||||
| 420,000 | BBB- | 3.000% due 2/2/29(a) |
349,617 | |||||||
| 465,000 | BBB- | 3.000% due 5/15/32(a) |
352,332 | |||||||
| 250,000 | BBB- | 5.750% due 4/1/33(a) |
233,805 | |||||||
| 350,000 | BBB- | 6.500% due 12/1/52(a) |
329,744 | |||||||
| 275,000 | BBB- | Senior Unsecured Notes, 5.500% due 1/15/30(a) |
259,215 | |||||||
| Kraft Heinz Foods Co., Company Guaranteed Notes: | ||||||||||
| 10,000 | BBB | 3.000% due 6/1/26 |
9,311 | |||||||
See Notes to Financial Statements.
146
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Food — 0.3% — (continued) | ||||||||||
| $ | 40,000 | BBB | 4.250% due 3/1/31 |
$ | 37,450 | |||||
| 10,000 | BBB | 6.750% due 3/15/32 |
10,835 | |||||||
| 40,000 | BBB | 5.000% due 7/15/35 |
38,410 | |||||||
| 30,000 | BBB | 6.875% due 1/26/39. |
32,674 | |||||||
| 10,000 | BBB | 7.125% due 8/1/39(a) |
11,032 | |||||||
| 10,000 | BBB | 4.625% due 10/1/39. |
8,797 | |||||||
| 445,000 | BBB | 5.000% due 6/4/42 |
403,750 | |||||||
| 150,000 | BBB | 5.200% due 7/15/45. |
138,472 | |||||||
| 678,000 | BBB | 4.375% due 6/1/46 |
553,622 | |||||||
| 80,000 | BBB | 5.500% due 6/1/50 |
76,549 | |||||||
| Mars Inc., Company Guaranteed Notes: |
||||||||||
| 110,000 | A | 2.700% due 4/1/25(a) |
104,500 | |||||||
| 350,000 | A | 3.200% due 4/1/30(a) |
315,315 | |||||||
| 330,000 | BBB | Mondelez International Inc., Senior Unsecured Notes, 1.500% due 5/4/25. | 304,351 | |||||||
| 300,000 | BBB- | Pilgrim’s Pride Corp., Company Guaranteed Notes, 5.875% due 9/30/27(a). | 293,900 | |||||||
| 400,000 | B+ | Post Holdings Inc., Company Guaranteed Notes, 5.750% due 3/1/27(a). | 389,801 | |||||||
| 285,000 | BBB+ | Tyson Foods Inc., Senior Unsecured Notes, 3.900% due 9/28/23 | 282,557 | |||||||
|
|
|
|||||||||
| Total Food. | 4,581,633 | |||||||||
|
|
|
|||||||||
| Forest Products & Paper — 0.1% | ||||||||||
| 45,000 | A+ | Georgia-Pacific LLC, Senior Unsecured Notes, 0.950% due 5/15/26(a). | 39,532 | |||||||
| 52,000 | BBB | International Paper Co., Senior Unsecured Notes, 4.800% due 6/15/44 | 46,312 | |||||||
| Suzano Austria GmbH, Company Guaranteed Notes: |
| |||||||||
| 380,000 | BBB- | 3.750% due 1/15/31. |
321,839 | |||||||
| 570,000 | BBB- | 3.125% due 1/15/32. |
449,634 | |||||||
|
|
|
|||||||||
| Total Forest Products & Paper | 857,317 | |||||||||
|
|
|
|||||||||
| Gas — 0.1% | ||||||||||
| 82,000 | A- | Atmos Energy Corp., Senior Unsecured Notes, 4.125% due 10/15/44 | 68,596 | |||||||
| CenterPoint Energy Resources Corp., Senior Unsecured Notes: |
||||||||||
| 240,000 | BBB+ | 1.750% due 10/1/30. |
188,781 | |||||||
| 305,000 | BBB+ | 4.400% due 7/1/32 |
287,242 | |||||||
| Piedmont Natural Gas Co., Inc., Senior Unsecured Notes: |
||||||||||
| 123,000 | BBB+ | 3.500% due 6/1/29 |
112,052 | |||||||
| 460,000 | BBB+ | 5.050% due 5/15/52. |
420,056 | |||||||
| Southern Co. Gas Capital Corp., Company Guaranteed Notes: |
||||||||||
| 215,000 | BBB+ | 5.875% due 3/15/41. |
216,843 | |||||||
| 250,000 | BBB+ | 4.400% due 5/30/47. |
202,510 | |||||||
| 75,000 | A | Spire Missouri Inc., 1st Mortgage Notes, 4.800% due 2/15/33 | 73,032 | |||||||
|
|
|
|||||||||
| Total Gas | 1,569,112 | |||||||||
|
|
|
|||||||||
| Healthcare — Products — 0.1% | ||||||||||
| Abbott Laboratories, Senior Unsecured Notes: |
| |||||||||
| 164,000 | AA- | 3.750% due 11/30/26 |
158,607 | |||||||
| 70,000 | AA- | 4.750% due 11/30/36 |
69,568 | |||||||
| 150,000 | AA- | 4.900% due 11/30/46 |
147,338 | |||||||
| Alcon Finance Corp., Company Guaranteed Notes: |
| |||||||||
| 645,000 | BBB | 3.000% due 9/23/29(a) |
562,645 | |||||||
| 380,000 | BBB | 2.600% due 5/27/30(a) |
319,384 | |||||||
| 24,000 | BBB+ | Boston Scientific Corp., Senior Unsecured Notes, 2.650% due 6/1/30. | 20,514 | |||||||
| 115,000 | BBB | GE HealthCare Technologies Inc., Company Guaranteed Notes, 5.600% due 11/15/25(a) | 115,224 | |||||||
| 13,000 | WR(b) | St Jude Medical LLC, Senior Unsecured Notes, 4.750% due 4/15/43 | 11,692 | |||||||
| 328,000 | A- | Thermo Fisher Scientific Inc., Senior Unsecured Notes, 2.000% due 10/15/31. | 261,786 | |||||||
|
|
|
|||||||||
| Total Healthcare — Products | 1,666,758 | |||||||||
|
|
|
|||||||||
See Notes to Financial Statements.
147
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Healthcare — Services — 1.0% | ||||||||||
| Aetna Inc., Senior Unsecured Notes: |
| |||||||||
| $ | 40,000 | BBB | 2.800% due 6/15/23. |
$ | 39,718 | |||||
| 48,000 | BBB | 6.625% due 6/15/36. |
51,614 | |||||||
| 205,000 | AA | BHSH System Obligated Group, Senior Unsecured Notes, 3.487% due 7/15/49 | 154,061 | |||||||
| 420,000 | AA- | Cedars-Sinai Health System, Secured Notes, 2.288% due 8/15/31 | 342,592 | |||||||
| Centene Corp., Senior Unsecured Notes: |
||||||||||
| 195,000 | BBB- | 4.250% due 12/15/27 |
180,515 | |||||||
| 150,000 | BBB- | 4.625% due 12/15/29 |
137,311 | |||||||
| 30,000 | BBB- | 3.375% due 2/15/30 |
25,344 | |||||||
| 1,070,000 | BBB- | 3.000% due 10/15/30 |
873,562 | |||||||
| 625,000 | BBB- | 2.500% due 3/1/31 |
487,822 | |||||||
| 10,000 | BBB- | 2.625% due 8/1/31 |
7,803 | |||||||
| 100,000 | A | City of Hope, Senior Secured Notes, 5.623% due 11/15/43 | 99,589 | |||||||
| CommonSpirit Health: |
||||||||||
| 30,000 | A- | Secured Notes, 4.350% due 11/1/42 |
25,293 | |||||||
| Senior Secured Notes: |
| |||||||||
| 483,000 | A- | 3.347% due 10/1/29 |
419,549 | |||||||
| 190,000 | A- | 2.782% due 10/1/30 |
159,165 | |||||||
| 175,000 | AA | 3.817% due 10/1/49 |
131,815 | |||||||
| 95,000 | A- | 3.910% due 10/1/50 |
72,165 | |||||||
| 205,000 | AA | Duke University Health System Inc., Senior Unsecured Notes, 3.920% due 6/1/47 | 172,928 | |||||||
| Elevance Health Inc., Senior Unsecured Notes: |
| |||||||||
| 1,120,000 | A | 3.650% due 12/1/27 |
1,051,059 | |||||||
| 140,000 | A | 4.100% due 5/15/32 |
128,507 | |||||||
| 248,000 | A | 4.550% due 3/1/48 |
213,677 | |||||||
| 140,000 | A | 4.550% due 5/15/52 |
120,858 | |||||||
| 116,000 | A | 6.100% due 10/15/52 |
123,712 | |||||||
| 33,000 | A | 4.850% due 8/15/54 |
27,430 | |||||||
| 140,000 | A | Franciscan Missionaries of Our Lady Health System Inc., Secured Notes, 3.914% due 7/1/49 | 108,145 | |||||||
| 355,000 | BBB- | Fresenius Medical Care US Finance III Inc., Company Guaranteed
Notes, |
303,870 | |||||||
| HCA Inc.: |
||||||||||
| Company Guaranteed Notes: |
| |||||||||
| 40,000 | BBB- | 5.000% due 3/15/24 |
39,746 | |||||||
| 129,000 | BBB- | 5.250% due 4/15/25 |
127,759 | |||||||
| 152,000 | BBB- | 5.250% due 6/15/26 |
149,750 | |||||||
| 153,000 | BBB- | 5.375% due 9/1/26 |
150,864 | |||||||
| 684,000 | BBB- | 5.625% due 9/1/28 |
676,876 | |||||||
| 90,000 | BBB- | 5.875% due 2/1/29 |
89,973 | |||||||
| 1,429,000 | BBB- | 4.125% due 6/15/29 |
1,301,711 | |||||||
| 383,000 | BBB- | 3.500% due 9/1/30 |
329,099 | |||||||
| 715,000 | BBB- | 3.625% due 3/15/32(a) |
603,343 | |||||||
| 825,000 | BBB- | 5.500% due 6/15/47 |
739,805 | |||||||
| 295,000 | BBB- | 5.250% due 6/15/49 |
253,856 | |||||||
| 278,000 | BBB- | 3.500% due 7/15/51 |
180,416 | |||||||
| 691,000 | BBB- | 4.625% due 3/15/52(a) |
541,720 | |||||||
| 76,000 | BBB- | Senior Secured Notes, 4.500% due 2/15/27 |
72,898 | |||||||
| 41,000 | AA | Hoag Memorial Hospital Presbyterian, Unsecured Notes, 3.803% due 7/15/52 | 33,221 | |||||||
| Humana Inc., Senior Unsecured Notes: |
| |||||||||
| 20,000 | BBB+ | 4.500% due 4/1/25 |
19,661 | |||||||
| 128,000 | BBB+ | 1.350% due 2/3/27 |
110,253 | |||||||
| 170,000 | BBB+ | 3.950% due 3/15/27 |
162,607 | |||||||
| 340,000 | BBB+ | 5.750% due 3/1/28 |
346,412 | |||||||
| 50,000 | BBB+ | 2.150% due 2/3/32 |
38,590 | |||||||
| 70,000 | BBB+ | 4.625% due 12/1/42 |
61,088 | |||||||
See Notes to Financial Statements.
148
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Healthcare — Services — 1.0% — (continued) | ||||||||||
| $ | 40,000 | BBB+ | 4.950% due 10/1/44 |
$ | 35,849 | |||||
| 35,000 | BBB+ | 3.950% due 8/15/49 |
27,331 | |||||||
| 275,000 | AA- | Kaiser Foundation Hospitals, Company Guaranteed Notes, 4.875% due 4/1/42 | 268,574 | |||||||
| 564,000 | BB- | Molina Healthcare Inc., Senior Unsecured Notes, 3.875% due 11/15/30(a) | 475,746 | |||||||
| 88,000 | A+ | Mount Nittany Medical Center Obligated Group, Unsecured Notes, 3.799% due 11/15/52 | 67,550 | |||||||
| 90,000 | Aa2(b) | Nationwide Children’s Hospital Inc., Unsecured Notes, 4.556% due 11/1/52 | 83,159 | |||||||
| 90,000 | AA | Presbyterian Healthcare Services, Unsecured Notes, 4.875% due 8/1/52 | 86,245 | |||||||
| 110,000 | AA- | Queen’s Health Systems (The), Secured Notes, 4.810% due 7/1/52 | 104,187 | |||||||
| 240,000 | AA | Roche Holdings Inc., Company Guaranteed Notes, 2.607% due 12/13/51(a) | 157,013 | |||||||
| 65,000 | Aa2(b) | Seattle Children’s Hospital, Unsecured Notes, 2.719% due 10/1/50 | 42,358 | |||||||
| UnitedHealth Group Inc., Senior Unsecured Notes: |
| |||||||||
| 60,000 | A+ | 3.500% due 6/15/23 |
59,747 | |||||||
| 70,000 | A+ | 3.750% due 7/15/25 |
67,927 | |||||||
| 60,000 | A+ | 1.250% due 1/15/26 |
54,226 | |||||||
| 50,000 | A+ | 3.875% due 12/15/28 |
47,269 | |||||||
| 90,000 | A+ | 4.000% due 5/15/29 |
85,364 | |||||||
| 50,000 | A+ | 2.000% due 5/15/30 |
40,994 | |||||||
| 120,000 | A+ | 4.200% due 5/15/32 |
112,902 | |||||||
| 271,000 | A+ | 4.750% due 7/15/45 |
254,524 | |||||||
| 223,000 | A+ | 3.750% due 10/15/47 |
177,700 | |||||||
| 40,000 | A+ | 4.250% due 6/15/48 |
34,473 | |||||||
| 30,000 | A+ | 4.450% due 12/15/48 |
26,567 | |||||||
| 100,000 | A+ | 3.700% due 8/15/49 |
78,493 | |||||||
| 20,000 | A+ | 2.900% due 5/15/50 |
13,558 | |||||||
| 905,000 | A+ | 3.250% due 5/15/51 |
646,037 | |||||||
| 120,000 | A+ | 3.875% due 8/15/59 |
93,385 | |||||||
| 20,000 | A+ | 3.125% due 5/15/60 |
13,499 | |||||||
| 149,000 | A+ | 4.950% due 5/15/62 |
139,691 | |||||||
|
|
|
|||||||||
| Total Healthcare — Services | 14,782,120 | |||||||||
|
|
|
|||||||||
| Home Builders — 0.0%@ |
||||||||||
| 23,000 | BBB | DR Horton Inc., Company Guaranteed Notes, 1.300% due 10/15/26 | 19,829 | |||||||
| Lennar Corp., Company Guaranteed Notes: | ||||||||||
| 90,000 | BBB- | 4.500% due 4/30/24 |
88,835 | |||||||
| 130,000 | BBB- | 4.750% due 11/29/27 |
124,682 | |||||||
| 10,000 | BBB- | MDC Holdings Inc., Company Guaranteed Notes, 6.000% due 1/15/43 | 8,466 | |||||||
| 50,000 | BB+ | Toll Brothers Finance Corp., Company Guaranteed Notes, 4.375% due 4/15/23 | 49,915 | |||||||
|
|
|
|||||||||
| Total Home Builders | 291,727 | |||||||||
|
|
|
|||||||||
| Insurance — 0.6% | ||||||||||
| Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer: | ||||||||||
| 100,000 | B | Senior Secured Notes, 4.250% due 10/15/27(a) |
88,321 | |||||||
| 50,000 | CCC+ | Senior Unsecured Notes, 6.750% due 10/15/27(a) |
45,484 | |||||||
| American International Group Inc., Senior Unsecured Notes: | ||||||||||
| 60,000 | BBB+ | 2.500% due 6/30/25 |
56,474 | |||||||
| 138,000 | BBB+ | 4.800% due 7/10/45 |
123,211 | |||||||
| Aon Corp., Company Guaranteed Notes: | ||||||||||
| 22,000 | A- | 4.500% due 12/15/28 |
21,303 | |||||||
| 1,184,000 | A- | 2.800% due 5/15/30 |
1,010,872 | |||||||
| 730,000 | A- | Aon Corp./Aon Global Holdings PLC, Company Guaranteed Notes, 3.900% due 2/28/52 | 559,770 | |||||||
| 505,000 | BBB | Arthur J Gallagher & Co., Senior Unsecured Notes, 5.750% due 3/2/53 | 498,851 | |||||||
| Athene Global Funding: | ||||||||||
| 400,000 | A+ | Secured Notes, 1.985% due 8/19/28(a) |
327,113 | |||||||
| 835,000 | A+ | Senior Secured Notes, 5.275% (SOFR + 0.700%) due 5/24/24(a)(c) |
829,913 | |||||||
See Notes to Financial Statements.
149
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Insurance — 0.6% — (continued) | ||||||||||
| Berkshire Hathaway Finance Corp., Company Guaranteed Notes: | ||||||||||
| $ | 350,000 | AA | 4.250% due 1/15/49 |
$ | 310,362 | |||||
| 640,000 | AA | 3.850% due 3/15/52 |
515,066 | |||||||
| 70,000 | A | Chubb INA Holdings Inc., Company Guaranteed Notes, 3.350% due 5/3/26 | 66,703 | |||||||
| 100,000 | BBB+ | Farmers Exchange Capital, Subordinated Notes, 7.200% due 7/15/48(a) | 108,087 | |||||||
| 900,000 | BBB+ | Farmers Exchange Capital II, Subordinated Notes, 6.151% |
883,723 | |||||||
| 4,000 | BBB+ | Hartford Financial Services Group Inc. (The), Senior Unsecured Notes, 4.300% due 4/15/43 | 3,328 | |||||||
| Marsh & McLennan Cos., Inc., Senior Unsecured Notes: | ||||||||||
| 399,000 | A- | 4.375% due 3/15/29. |
380,164 | |||||||
| 268,000 | A- | 2.250% due 11/15/30 |
217,406 | |||||||
| 620,000 | BBB | MetLife Inc., Junior Subordinated Notes, 6.400% due 12/15/36 | 623,035 | |||||||
| 850,000 | A- | Nationwide Mutual Insurance Co., Subordinated Notes, 7.059% |
850,043 | |||||||
| Teachers Insurance & Annuity Association of America, Subordinated Notes: | ||||||||||
| 24,000 | AA- | 6.850% due 12/16/39(a). |
26,610 | |||||||
| 300,000 | AA- | 4.900% due 9/15/44(a) |
276,384 | |||||||
| 995,000 | AA- | 3.300% due 5/15/50(a) |
710,305 | |||||||
|
|
|
|||||||||
| Total Insurance | 8,532,528 | |||||||||
|
|
|
|||||||||
| Internet — 0.3% | ||||||||||
| Alphabet Inc., Senior Unsecured Notes: | ||||||||||
| 40,000 | AA+ | 0.450% due 8/15/25. |
36,199 | |||||||
| 80,000 | AA+ | 1.100% due 8/15/30. |
63,053 | |||||||
| 90,000 | AA+ | 1.900% due 8/15/40. |
59,841 | |||||||
| 50,000 | AA+ | 2.050% due 8/15/50. |
30,105 | |||||||
| Amazon.com Inc., Senior Unsecured Notes: | ||||||||||
| 190,000 | AA | 0.800% due 6/3/25 |
173,472 | |||||||
| 60,000 | AA | 3.300% due 4/13/27. |
56,703 | |||||||
| 240,000 | AA | 1.200% due 6/3/27 |
207,366 | |||||||
| 220,000 | AA | 3.150% due 8/22/27. |
205,518 | |||||||
| 130,000 | AA | 3.450% due 4/13/29. |
120,833 | |||||||
| 120,000 | AA | 1.500% due 6/3/30 |
96,234 | |||||||
| 320,000 | AA | 2.100% due 5/12/31. |
263,113 | |||||||
| 360,000 | AA | 3.600% due 4/13/32. |
329,384 | |||||||
| 430,000 | AA | 3.875% due 8/22/37. |
379,709 | |||||||
| 360,000 | AA | 2.875% due 5/12/41. |
268,044 | |||||||
| 160,000 | AA | 4.950% due 12/5/44. |
156,725 | |||||||
| 231,000 | AA | 4.050% due 8/22/47. |
198,882 | |||||||
| 391,000 | AA | 2.500% due 6/3/50 |
250,604 | |||||||
| 260,000 | AA | 3.100% due 5/12/51. |
185,443 | |||||||
| 111,000 | AA | 3.950% due 4/13/52. |
92,844 | |||||||
| 40,000 | AA | 4.250% due 8/22/57. |
34,468 | |||||||
| 633,000 | AA- | Meta Platforms Inc., Senior Unsecured Notes, 4.450% due 8/15/52 | 522,945 | |||||||
| Prosus NV, Senior Unsecured Notes: | ||||||||||
| 200,000 | BBB | 3.680% due 1/21/30(a) |
166,482 | |||||||
| 940,000 | BBB | 3.061% due 7/13/31(a) |
721,526 | |||||||
| Tencent Holdings Ltd., Senior Unsecured Notes: | ||||||||||
| 165,000 | A+ | 3.975% due 4/11/29(a) |
151,335 | |||||||
| 350,000 | A+ | 3.840% due 4/22/51(a) |
251,225 | |||||||
|
|
|
|||||||||
| Total Internet. | 5,022,053 | |||||||||
|
|
|
|||||||||
| Investment Companies — 0.0%@ | ||||||||||
| 34,000 | BBB- | Ares Capital Corp., Senior Unsecured Notes, 3.250% due 7/15/25. | 31,646 | |||||||
|
|
|
|||||||||
See Notes to Financial Statements.
150
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Iron/Steel — 0.0%@ | ||||||||||
| $ | 30,000 | BBB- | ArcelorMittal SA, Senior Unsecured Notes, 7.000% due 10/15/39 | $ | 30,567 | |||||
| 325,000 | BBB- | Vale Overseas Ltd., Company Guaranteed Notes, 6.875% due 11/21/36 | 334,604 | |||||||
|
|
|
|||||||||
| Total Iron/Steel | 365,171 | |||||||||
|
|
|
|||||||||
| Leisure Time — 0.0%@ | ||||||||||
| 110,000 | B | VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a) | 97,004 | |||||||
|
|
|
|||||||||
| Lodging — 0.2% | ||||||||||
| Las Vegas Sands Corp., Senior Unsecured Notes: | ||||||||||
| 710,000 | BB+ | 3.200% due 8/8/24 |
683,614 | |||||||
| 50,000 | BB+ | 2.900% due 6/25/25. |
46,364 | |||||||
| Sands China Ltd., Senior Unsecured Notes: | ||||||||||
| 1,150,000 | BB+ | 5.625% due 8/8/25 |
1,116,521 | |||||||
| 200,000 | BB+ | 4.300% due 1/8/26 |
184,224 | |||||||
| 350,000 | BB+ | 2.800% due 3/8/27 |
298,342 | |||||||
| 200,000 | BB+ | 3.350% due 3/8/29 |
163,628 | |||||||
|
|
|
|||||||||
| Total Lodging | 2,492,693 | |||||||||
|
|
|
|||||||||
| Machinery — Construction & Mining — 0.0%@ | ||||||||||
| 50,000 | BB- | Vertiv Group Corp., Senior Secured Notes, 4.125% due 11/15/28(a) | 43,489 | |||||||
|
|
|
|||||||||
| Machinery — Diversified — 0.0%@ | ||||||||||
| Deere & Co., Senior Unsecured Notes: | ||||||||||
| 40,000 | A | 3.100% due 4/15/30. |
35,766 | |||||||
| 130,000 | A | 3.750% due 4/15/50. |
110,559 | |||||||
| 80,000 | BBB | Otis Worldwide Corp., Senior Unsecured Notes, 2.056% due 4/5/25 | 74,650 | |||||||
|
|
|
|||||||||
| Total Machinery — Diversified | 220,975 | |||||||||
|
|
|
|||||||||
| Media — 1.1% | ||||||||||
| 640,000 | BB- | Cable One Inc., Company Guaranteed Notes, 4.000% due 11/15/30(a) | 499,603 | |||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | ||||||||||
| 100,000 | BB- | 4.750% due 2/1/32(a) |
81,215 | |||||||
| 100,000 | BB- | 4.500% due 5/1/32 |
79,386 | |||||||
| 700,000 | BB- | 4.500% due 6/1/33(a) |
545,277 | |||||||
| 130,000 | BB- | 4.250% due 1/15/34(a) |
97,442 | |||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: |
||||||||||
| 470,000 | BBB- | 4.908% due 7/23/25. |
460,031 | |||||||
| 210,000 | BBB- | 3.750% due 2/15/28. |
189,359 | |||||||
| 260,000 | BBB- | 4.200% due 3/15/28. |
239,215 | |||||||
| 320,000 | BBB- | 5.050% due 3/30/29. |
298,986 | |||||||
| 330,000 | BBB- | 2.300% due 2/1/32 |
242,830 | |||||||
| 210,000 | BBB- | 4.400% due 4/1/33 |
179,419 | |||||||
| 167,000 | BBB- | 3.500% due 3/1/42 |
107,944 | |||||||
| 560,000 | BBB- | 5.375% due 5/1/47 |
445,380 | |||||||
| 1,009,000 | BBB- | 5.750% due 4/1/48 |
841,024 | |||||||
| 415,000 | BBB- | 5.125% due 7/1/49 |
318,374 | |||||||
| 730,000 | BBB- | 4.800% due 3/1/50 |
532,289 | |||||||
| 859,000 | BBB- | 3.900% due 6/1/52 |
541,097 | |||||||
| 625,000 | BBB- | 5.250% due 4/1/53 |
487,297 | |||||||
| 208,000 | BBB- | 3.850% due 4/1/61 |
122,147 | |||||||
| 140,000 | BBB- | 4.400% due 12/1/61. |
90,912 | |||||||
| 1,002,000 | BBB- | 3.950% due 6/30/62. |
598,796 | |||||||
| 130,000 | BBB- | 5.500% due 4/1/63 |
100,667 | |||||||
| Comcast Corp., Company Guaranteed Notes: | ||||||||||
| 480,000 | A- | 3.950% due 10/15/25 |
466,734 | |||||||
See Notes to Financial Statements.
151
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Media — 1.1% — (continued) | ||||||||||
| $ | 80,000 | A- | 3.150% due 3/1/26 |
$ | 75,658 | |||||
| 70,000 | A- | 3.300% due 4/1/27 |
65,635 | |||||||
| 870,000 | A- | 4.150% due 10/15/28 |
832,228 | |||||||
| 1,019,000 | A- | 2.650% due 2/1/30 |
877,044 | |||||||
| 90,000 | A- | 3.400% due 4/1/30 |
81,247 | |||||||
| 270,000 | A- | 4.250% due 10/15/30 |
256,239 | |||||||
| 170,000 | A- | 1.500% due 2/15/31. |
131,231 | |||||||
| 427,000 | A- | 5.500% due 11/15/32 |
438,851 | |||||||
| 169,000 | A- | 4.250% due 1/15/33. |
157,721 | |||||||
| 56,000 | A- | 7.050% due 3/15/33. |
63,728 | |||||||
| 7,000 | A- | 6.500% due 11/15/35 |
7,766 | |||||||
| 50,000 | A- | 3.900% due 3/1/38 |
42,860 | |||||||
| 20,000 | A- | 3.250% due 11/1/39. |
15,588 | |||||||
| 211,000 | A- | 3.750% due 4/1/40 |
172,004 | |||||||
| 27,000 | A- | 4.750% due 3/1/44 |
24,595 | |||||||
| 111,000 | A- | 3.400% due 7/15/46. |
81,855 | |||||||
| 112,000 | A- | 4.000% due 8/15/47. |
90,714 | |||||||
| 312,000 | A- | 3.969% due 11/1/47. |
251,026 | |||||||
| 20,000 | A- | 4.000% due 3/1/48 |
16,080 | |||||||
| 43,000 | A- | 3.999% due 11/1/49. |
34,549 | |||||||
| 60,000 | A- | 3.450% due 2/1/50 |
43,751 | |||||||
| 570,000 | A- | 2.800% due 1/15/51. |
362,281 | |||||||
| 149,000 | A- | 2.887% due 11/1/51. |
95,955 | |||||||
| 671,000 | A- | 4.049% due 11/1/52. |
535,158 | |||||||
| 439,000 | A- | 2.937% due 11/1/56. |
274,538 | |||||||
| 20,000 | A- | 4.950% due 10/15/58 |
18,374 | |||||||
| 22,000 | A- | 2.987% due 11/1/63. |
13,379 | |||||||
| Cox Communications Inc., Senior Unsecured Notes: | ||||||||||
| 82,000 | BBB | 3.150% due 8/15/24(a) |
79,031 | |||||||
| 70,000 | BBB | 3.850% due 2/1/25(a) |
67,505 | |||||||
| 132,000 | BBB | 3.600% due 6/15/51(a) |
92,637 | |||||||
| 1,500,000 | B+ | CSC Holdings LLC, Company Guaranteed Notes, 4.500% due 11/15/31(a). | 1,066,822 | |||||||
| 600,000 | D | Diamond Sports Group LLC/Diamond Sports Finance Co., Secured Notes, |
63,375 | |||||||
| DISH DBS Corp.: | ||||||||||
| Company Guaranteed Notes: |
||||||||||
| 140,000 | B | 7.750% due 7/1/26 |
108,816 | |||||||
| 70,000 | B | 5.125% due 6/1/29 |
41,431 | |||||||
| 60,000 | B+ | Senior Secured Notes, 5.250% due 12/1/26(a) |
50,362 | |||||||
| 263,000 | Baa3(b) | FactSet Research Systems Inc., Senior Unsecured Notes, 3.450% due 3/1/32 | 221,018 | |||||||
| Fox Corp., Senior Unsecured Notes: | ||||||||||
| 200,000 | BBB | 4.030% due 1/25/24. |
197,428 | |||||||
| 240,000 | BBB | 5.476% due 1/25/39. |
220,526 | |||||||
| 211,000 | BBB | Paramount Global, Senior Unsecured Notes, 4.375% due 3/15/43 | 146,334 | |||||||
| 240,000 | BBB- | Time Warner Cable Enterprises LLC, Senior Secured Notes, 8.375% due 7/15/33 | 269,570 | |||||||
| Time Warner Cable LLC, Senior Secured Notes: | ||||||||||
| 50,000 | BBB- | 6.550% due 5/1/37 |
47,887 | |||||||
| 230,000 | BBB- | 7.300% due 7/1/38 |
230,539 | |||||||
| 270,000 | BBB- | 5.875% due 11/15/40 |
238,383 | |||||||
| 1,000,000 | BBB- | 5.500% due 9/1/41 |
841,744 | |||||||
| 210,000 | BB- | Virgin Media Secured Finance PLC, Senior Secured Notes, 5.500% due 5/15/29(a) | 190,483 | |||||||
| Walt Disney Co. (The), Company Guaranteed Notes: | ||||||||||
| 25,000 | BBB+ | 6.200% due 12/15/34 |
27,185 | |||||||
See Notes to Financial Statements.
152
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Media — 1.1% — (continued) | ||||||||||
| $ | 30,000 | BBB+ | 6.650% due 11/15/37 |
$ | 34,006 | |||||
|
|
|
|||||||||
| Total Media | 16,860,561 | |||||||||
|
|
|
|||||||||
| Mining — 0.3% | ||||||||||
| Anglo American Capital PLC, Company Guaranteed Notes: | ||||||||||
| 350,000 | BBB+ | 3.625% due 9/11/24(a) |
338,297 | |||||||
| 832,000 | BBB+ | 4.750% due 4/10/27(a) |
808,602 | |||||||
| 400,000 | BBB+ | 4.000% due 9/11/27(a) |
375,063 | |||||||
| 212,000 | BBB+ | 2.250% due 3/17/28(a) |
180,629 | |||||||
| Barrick North America Finance LLC, Company Guaranteed Notes: | ||||||||||
| 70,000 | BBB+ | 5.700% due 5/30/41. |
69,721 | |||||||
| 190,000 | BBB+ | 5.750% due 5/1/43 |
191,175 | |||||||
| 150,000 | A- | BHP Billsiton Finance USA Ltd., Company Guaranteed Notes, 5.000% due 9/30/43 | 145,443 | |||||||
| Freeport-McMoRan Inc., Company Guaranteed Notes: | ||||||||||
| 10,000 | BB+ | 3.875% due 3/15/23. |
9,998 | |||||||
| 10,000 | BB+ | 4.550% due 11/14/24 |
9,824 | |||||||
| 70,000 | BB+ | 5.400% due 11/14/34 |
65,994 | |||||||
| 430,000 | BB+ | 5.450% due 3/15/43. |
387,045 | |||||||
| Glencore Funding LLC, Company Guaranteed Notes: | ||||||||||
| 710,000 | BBB+ | 4.125% due 3/12/24(a) |
699,394 | |||||||
| 210,000 | BBB+ | 4.625% due 4/29/24(a) |
207,909 | |||||||
| 260,000 | BBB+ | 4.000% due 3/27/27(a) |
246,993 | |||||||
| 760,000 | BBB+ | Southern Copper Corp., Senior Unsecured Notes, 5.250% due 11/8/42 | 711,398 | |||||||
| Teck Resources Ltd., Senior Unsecured Notes: | ||||||||||
| 200,000 | BBB- | 3.900% due 7/15/30. |
179,053 | |||||||
| 10,000 | BBB- | 6.000% due 8/15/40. |
9,729 | |||||||
| 90,000 | BBB- | Yamana Gold Inc., Company Guaranteed Notes, 4.625% due 12/15/27 | 84,782 | |||||||
|
|
|
|||||||||
| Total Mining | 4,721,049 | |||||||||
|
|
|
|||||||||
| Miscellaneous Manufacturers — 0.1% | ||||||||||
| 3M Co., Senior Unsecured Notes: | ||||||||||
| 150,000 | A | 2.375% due 8/26/29. |
125,969 | |||||||
| 30,000 | A | 3.050% due 4/15/30. |
26,244 | |||||||
| 330,000 | A | 3.700% due 4/15/50. |
254,957 | |||||||
| 160,000 | A- | Eaton Corp., Company Guaranteed Notes, 4.150% due 11/2/42 | 136,234 | |||||||
| 1,025,000 | BBB+ | General Electric Co., Senior Unsecured Notes, 5.344% |
869,078 | |||||||
| Textron Inc., Senior Unsecured Notes: | ||||||||||
| 70,000 | BBB | 3.650% due 3/15/27. |
65,912 | |||||||
| 218,000 | BBB | 3.900% due 9/17/29. |
198,233 | |||||||
| 129,000 | BBB | 3.000% due 6/1/30 |
111,835 | |||||||
|
|
|
|||||||||
| Total Miscellaneous Manufacturers | 1,788,462 | |||||||||
|
|
|
|||||||||
| Oil & Gas — 1.7% | ||||||||||
| Apache Corp., Senior Unsecured Notes: | ||||||||||
| 60,000 | BB+ | 7.750% due 12/15/29 |
62,276 | |||||||
| 20,000 | BB+ | 5.250% due 2/1/42 |
16,265 | |||||||
| 30,000 | BB+ | 4.750% due 4/15/43. |
23,007 | |||||||
| 60,000 | BB+ | 4.250% due 1/15/44. |
43,252 | |||||||
| 90,000 | BB+ | 5.350% due 7/1/49 |
71,422 | |||||||
| BP Capital Markets America Inc., Company Guaranteed Notes: | ||||||||||
| 220,000 | A- | 3.410% due 2/11/26. |
210,104 | |||||||
| 190,000 | A- | 3.588% due 4/14/27. |
179,759 | |||||||
| 110,000 | A- | 3.633% due 4/6/30 |
100,984 | |||||||
| 378,000 | A- | 4.812% due 2/13/33. |
370,889 | |||||||
See Notes to Financial Statements.
153
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Oil & Gas — 1.7% — (continued) | ||||||||||
| Cenovus Energy Inc., Senior Unsecured Notes: | ||||||||||
| $ | 143,000 | BBB- | 5.400% due 6/15/47. |
$ | 128,464 | |||||
| 102,000 | BBB- | 3.750% due 2/15/52. |
71,992 | |||||||
| Chevron Corp., Senior Unsecured Notes: | ||||||||||
| 190,000 | AA- | 1.554% due 5/11/25. |
176,420 | |||||||
| 230,000 | AA- | 2.954% due 5/16/26. |
216,684 | |||||||
| 70,000 | AA- | 1.995% due 5/11/27. |
62,727 | |||||||
| 160,000 | AA- | Chevron USA Inc., Company Guaranteed Notes, 3.850% due 1/15/28. | 153,969 | |||||||
| Continental Resources Inc., Company Guaranteed Notes: | ||||||||||
| 20,000 | BBB- | 4.500% due 4/15/23. |
19,968 | |||||||
| 870,000 | BBB- | 3.800% due 6/1/24 |
849,304 | |||||||
| 180,000 | BBB- | 2.268% due 11/15/26(a). |
156,936 | |||||||
| 250,000 | BBB- | 4.375% due 1/15/28. |
231,766 | |||||||
| 120,000 | BBB- | 5.750% due 1/15/31(a) |
113,594 | |||||||
| 160,000 | BBB- | 4.900% due 6/1/44 |
120,059 | |||||||
| Coterra Energy Inc., Senior Unsecured Notes: | ||||||||||
| 710,000 | BBB | 3.900% due 5/15/27. |
665,781 | |||||||
| 150,000 | BBB | 4.375% due 3/15/29. |
138,634 | |||||||
| Devon Energy Corp., Senior Unsecured Notes: | ||||||||||
| 42,000 | BBB | 8.250% due 8/1/23 |
42,305 | |||||||
| 638,000 | BBB | 5.850% due 12/15/25 |
642,587 | |||||||
| 102,000 | BBB | 5.250% due 10/15/27 |
100,876 | |||||||
| 2,000 | BBB | 5.875% due 6/15/28. |
2,013 | |||||||
| 20,000 | BBB | 4.500% due 1/15/30. |
18,630 | |||||||
| 788,000 | BBB | 5.600% due 7/15/41. |
726,877 | |||||||
| 160,000 | BBB | 4.750% due 5/15/42. |
132,979 | |||||||
| 663,000 | BBB | 5.000% due 6/15/45. |
561,872 | |||||||
| Diamondback Energy Inc., Company Guaranteed Notes: | ||||||||||
| 328,000 | BBB- | 3.250% due 12/1/26. |
304,030 | |||||||
| 2,740,000 | BBB- | 3.500% due 12/1/29. |
2,421,532 | |||||||
| 489,000 | BBB- | 3.125% due 3/24/31. |
409,978 | |||||||
| 199,000 | BBB- | 4.400% due 3/24/51. |
153,753 | |||||||
| Ecopetrol SA, Senior Unsecured Notes: | ||||||||||
| 95,000 | BB+ | 4.125% due 1/16/25. |
90,985 | |||||||
| 760,000 | BB+ | 5.875% due 5/28/45. |
501,754 | |||||||
| EOG Resources Inc., Senior Unsecured Notes: | ||||||||||
| 14,000 | A- | 3.150% due 4/1/25 |
13,428 | |||||||
| 100,000 | A- | 4.150% due 1/15/26. |
97,687 | |||||||
| 210,000 | A- | 4.375% due 4/15/30. |
201,298 | |||||||
| 260,000 | A- | 3.900% due 4/1/35 |
230,232 | |||||||
| 330,000 | A- | 4.950% due 4/15/50. |
316,457 | |||||||
| EQT Corp., Senior Unsecured Notes: | ||||||||||
| 10,000 | BBB- | 6.125% due 2/1/25 |
10,025 | |||||||
| 641,000 | BBB- | 3.900% due 10/1/27. |
586,810 | |||||||
| 352,000 | BBB- | 5.700% due 4/1/28 |
346,356 | |||||||
| 150,000 | BBB- | 5.000% due 1/15/29. |
140,488 | |||||||
| 200,000 | BBB- | 3.625% due 5/15/31(a) |
168,001 | |||||||
| Exxon Mobil Corp., Senior Unsecured Notes: | ||||||||||
| 20,000 | AA- | 1.571% due 4/15/23. |
19,912 | |||||||
| 320,000 | AA- | 2.992% due 3/19/25. |
307,311 | |||||||
| 380,000 | AA- | 3.043% due 3/1/26 |
360,108 | |||||||
| 180,000 | AA- | 3.482% due 3/19/30. |
166,823 | |||||||
| 330,000 | AA- | 4.227% due 3/19/40. |
296,122 | |||||||
| 70,000 | AA- | 4.114% due 3/1/46 |
59,731 | |||||||
| 110,000 | AA- | 4.327% due 3/19/50. |
97,136 | |||||||
See Notes to Financial Statements.
154
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Oil & Gas — 1.7% — (continued) | ||||||||||
| $ | 100,000 | AA- | 3.452% due 4/15/51. |
$ | 76,072 | |||||
| 75,000 | BBB- | Hess Corp., Senior Unsecured Notes, 5.800% due 4/1/47 | 70,757 | |||||||
| 200,000 | Baa2(b) | KazMunayGas National Co. JSC, Senior Unsecured Notes, 5.375% due 4/24/30 | 180,788 | |||||||
| Occidental Petroleum Corp., Senior Unsecured Notes: | ||||||||||
| 94,000 | BB+ | 6.950% due 7/1/24 |
95,039 | |||||||
| 760,000 | BB+ | 5.550% due 3/15/26. |
755,178 | |||||||
| 90,000 | BB+ | 3.400% due 4/15/26. |
83,446 | |||||||
| 197,000 | BB+ | 6.625% due 9/1/30 |
202,698 | |||||||
| 295,000 | BB+ | 7.500% due 5/1/31 |
315,287 | |||||||
| 75,000 | BB+ | 7.875% due 9/15/31. |
81,545 | |||||||
| 54,000 | BB+ | zero coupon due 10/10/36 |
27,091 | |||||||
| 150,000 | BB+ | 4.500% due 7/15/44. |
117,564 | |||||||
| 90,000 | BB+ | 4.625% due 6/15/45. |
71,387 | |||||||
| 30,000 | BB+ | 4.100% due 2/15/47. |
22,532 | |||||||
| 560,000 | BB+ | 4.200% due 3/15/48. |
426,751 | |||||||
| 200,000 | Baa2(b) | Pertamina Persero PT, Senior Unsecured Notes, 3.100% due 8/27/30(a) | 172,004 | |||||||
| 1,560,000 | BB- | Petrobras Global Finance BV, Company Guaranteed Notes, 5.750% due 2/1/29 | 1,491,165 | |||||||
| Petroleos Mexicanos, Company Guaranteed Notes: | ||||||||||
| 1,189,000 | BBB | 6.750% due 9/21/47. |
772,132 | |||||||
| 170,000 | BBB | 6.950% due 1/28/60. |
109,664 | |||||||
| Pioneer Natural Resources Co., Senior Unsecured Notes: | ||||||||||
| 30,000 | BBB | 1.125% due 1/15/26. |
26,725 | |||||||
| 50,000 | BBB | 1.900% due 8/15/30. |
39,068 | |||||||
| 330,000 | BBB | 2.150% due 1/15/31. |
260,112 | |||||||
| 200,000 | AA | Qatar Energy, Senior Unsecured Notes, 2.250% due 7/12/31 | 164,718 | |||||||
| 50,000 | BB | Range Resources Corp., Company Guaranteed Notes, 4.875% due 5/15/25 | 48,834 | |||||||
| 450,000 | BBB+ | Reliance Industries Ltd., Senior Unsecured Notes, 3.625% due 1/12/52(a) | 311,821 | |||||||
| Shell International Finance BV, Company Guaranteed Notes: | ||||||||||
| 260,000 | A+ | 2.875% due 5/10/26. |
243,521 | |||||||
| 300,000 | A+ | 3.875% due 11/13/28 |
286,652 | |||||||
| 60,000 | A+ | 2.750% due 4/6/30 |
52,662 | |||||||
| 90,000 | A+ | 4.550% due 8/12/43. |
82,133 | |||||||
| 220,000 | A+ | 4.375% due 5/11/45. |
194,430 | |||||||
| 290,000 | A+ | 4.000% due 5/10/46. |
240,766 | |||||||
| 330,000 | A+ | 3.250% due 4/6/50 |
241,713 | |||||||
| 400,000 | A+ | Sinopec Group Overseas Development 2014 Ltd., Company Guaranteed Notes, |
395,773 | |||||||
| Southwestern Energy Co., Company Guaranteed Notes: | ||||||||||
| 10,000 | BB+ | 5.375% due 2/1/29 |
9,365 | |||||||
| 40,000 | BB+ | 5.375% due 3/15/30. |
36,661 | |||||||
| 70,000 | BB+ | 4.750% due 2/1/32 |
60,259 | |||||||
| 58,000 | BBB | Suncor Energy Inc., Senior Unsecured Notes, 6.800% due 5/15/38. | 61,828 | |||||||
| 425,000 | BB | Sunoco LP/Sunoco Finance Corp., Company Guaranteed Notes, 4.500% due 5/15/29 | 373,411 | |||||||
| 113,750 | B- | Transocean Poseidon Ltd., Senior Secured Notes, 6.875% due 2/1/27(a) | 110,588 | |||||||
| 3,902,000 | BBB- | Viper Energy Partners LP, Company Guaranteed Notes, 5.375% due 11/1/27(a) | 3,710,685 | |||||||
|
|
|
|||||||||
| Total Oil & Gas | 25,735,177 | |||||||||
|
|
|
|||||||||
| Oil & Gas Services — 0.0%@ | ||||||||||
| Halliburton Co., Senior Unsecured Notes: | ||||||||||
| 4,000 | BBB+ | 3.800% due 11/15/25 |
3,870 | |||||||
| 20,000 | BBB+ | 4.850% due 11/15/35 |
18,645 | |||||||
| 50,000 | BBB+ | 5.000% due 11/15/45 |
44,152 | |||||||
| 171,000 | A | Schlumberger Holdings Corp., Senior Unsecured Notes, 3.900% due 5/17/28(a). | 160,644 | |||||||
|
|
|
|||||||||
| Total Oil & Gas Services | 227,311 | |||||||||
|
|
|
|||||||||
See Notes to Financial Statements.
155
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Packaging & Containers — 0.2% | ||||||||||
| $ | 236,000 | BBB | Amcor Flexibles North America Inc., Company Guaranteed Notes, 2.690% due 5/25/31 | $ | 191,356 | |||||
| Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc.: | ||||||||||
| 330,000 | B- | Company Guaranteed Notes, 5.250% due 8/15/27(a) |
271,374 | |||||||
| 170,000 | B- | Senior Unsecured Notes, 5.250% due 8/15/27(a) |
139,799 | |||||||
| Ball Corp., Company Guaranteed Notes: | ||||||||||
| 130,000 | BB+ | 4.000% due 11/15/23 |
128,369 | |||||||
| 110,000 | BB+ | 3.125% due 9/15/31. |
88,200 | |||||||
| Berry Global Inc., Senior Secured Notes: | ||||||||||
| 530,000 | BBB- | 1.570% due 1/15/26. |
472,456 | |||||||
| 510,000 | BBB- | 4.875% due 7/15/26(a) |
487,367 | |||||||
| 475,000 | BB | Graphic Packaging International LLC, Company Guaranteed Notes, 4.125% due 8/15/24 | 463,668 | |||||||
| 30,000 | BB+ | Sealed Air Corp., Company Guaranteed Notes, 6.125% due 2/1/28(a) | 29,575 | |||||||
| 215,000 | B | Trivium Packaging Finance BV, Senior Secured Notes, 5.500% due 8/15/26(a) | 203,389 | |||||||
|
|
|
|||||||||
| Total Packaging & Containers | 2,475,553 | |||||||||
|
|
|
|||||||||
| Pharmaceuticals — 1.4% | ||||||||||
| AbbVie Inc., Senior Unsecured Notes: | ||||||||||
| 30,000 | BBB+ | 3.750% due 11/14/23 |
29,655 | |||||||
| 730,000 | BBB+ | 2.600% due 11/21/24 |
696,294 | |||||||
| 260,000 | BBB+ | 3.800% due 3/15/25. |
252,266 | |||||||
| 100,000 | BBB+ | 3.600% due 5/14/25. |
96,252 | |||||||
| 150,000 | BBB+ | 2.950% due 11/21/26 |
138,387 | |||||||
| 850,000 | BBB+ | 3.200% due 11/21/29 |
751,708 | |||||||
| 489,000 | BBB+ | 4.550% due 3/15/35. |
454,622 | |||||||
| 420,000 | BBB+ | 4.050% due 11/21/39 |
354,066 | |||||||
| 7,000 | BBB+ | 4.625% due 10/1/42. |
6,214 | |||||||
| 813,000 | BBB+ | 4.400% due 11/6/42. |
703,993 | |||||||
| 150,000 | BBB+ | 4.750% due 3/15/45. |
134,533 | |||||||
| 10,000 | BBB+ | 4.875% due 11/14/48 |
9,136 | |||||||
| 230,000 | BBB+ | 4.250% due 11/21/49 |
191,139 | |||||||
| 255,000 | WR(b) | Allergan Funding SCS, Company Guaranteed Notes, 4.550% due 3/15/35. | 217,086 | |||||||
| Bayer US Finance II LLC, Company Guaranteed Notes: | ||||||||||
| 280,000 | BBB | 4.250% due 12/15/25(a). |
270,894 | |||||||
| 625,000 | BBB | 4.375% due 12/15/28(a). |
588,576 | |||||||
| 285,000 | BBB | 4.625% due 6/25/38(a) |
248,806 | |||||||
| 490,000 | BBB | 4.400% due 7/15/44(a) |
391,770 | |||||||
| 970,000 | BBB | 4.875% due 6/25/48(a) |
838,358 | |||||||
| Becton Dickinson & Co., Senior Unsecured Notes: | ||||||||||
| 377,000 | BBB | 3.363% due 6/6/24 |
367,456 | |||||||
| 17,000 | BBB | 3.734% due 12/15/24 |
16,531 | |||||||
| 865,000 | BBB | 2.823% due 5/20/30. |
739,966 | |||||||
| 42,000 | BBB | 4.685% due 12/15/44 |
37,242 | |||||||
| Bristol-Myers Squibb Co., Senior Unsecured Notes: | ||||||||||
| 216,000 | A+ | 2.900% due 7/26/24. |
209,423 | |||||||
| 158,000 | A+ | 3.200% due 6/15/26. |
149,620 | |||||||
| 41,000 | A+ | 3.400% due 7/26/29. |
37,648 | |||||||
| 233,000 | A+ | 2.950% due 3/15/32. |
200,916 | |||||||
| 165,000 | A+ | 3.550% due 3/15/42. |
133,942 | |||||||
| Cigna Corp.: | ||||||||||
| Company Guaranteed Notes: |
||||||||||
| 152,000 | A- | 3.750% due 7/15/23. |
150,972 | |||||||
| 90,000 | A- | 4.125% due 11/15/25 |
87,556 | |||||||
| 90,000 | A- | 3.400% due 3/1/27 |
84,315 | |||||||
| 640,000 | A- | 4.375% due 10/15/28 |
614,858 | |||||||
| 300,000 | A- | 4.800% due 8/15/38. |
276,246 | |||||||
See Notes to Financial Statements.
156
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Pharmaceuticals — 1.4% — (continued) | ||||||||||
| $ | 30,000 | A- | 4.900% due 12/15/48 |
$ | 26,903 | |||||
| Senior Unsecured Notes: |
||||||||||
| 160,000 | A- | 2.375% due 3/15/31. |
130,294 | |||||||
| 210,000 | A- | 3.200% due 3/15/40. |
157,143 | |||||||
| 570,000 | A- | 3.400% due 3/15/51. |
398,292 | |||||||
| CVS Health Corp., Senior Unsecured Notes: | ||||||||||
| 116,000 | BBB | 3.875% due 7/20/25. |
112,383 | |||||||
| 207,000 | BBB | 3.625% due 4/1/27 |
194,776 | |||||||
| 244,000 | BBB | 4.300% due 3/25/28. |
233,289 | |||||||
| 460,000 | BBB | 3.750% due 4/1/30 |
415,482 | |||||||
| 124,000 | BBB | 1.875% due 2/28/31. |
96,294 | |||||||
| 300,000 | BBB | 2.125% due 9/15/31. |
235,305 | |||||||
| 500,000 | BBB | 4.875% due 7/20/35. |
469,695 | |||||||
| 440,000 | BBB | 4.780% due 3/25/38. |
399,272 | |||||||
| 50,000 | BBB | 4.125% due 4/1/40 |
41,018 | |||||||
| 651,000 | BBB | 5.125% due 7/20/45. |
586,774 | |||||||
| 1,710,000 | BBB | 5.050% due 3/25/48. |
1,528,488 | |||||||
| 30,000 | BBB | 4.250% due 4/1/50 |
23,920 | |||||||
| 111,322 | BBB | CVS Pass-Through Trust, Pass-Thru Certificates, 6.036% due 12/10/28 | 109,952 | |||||||
| 88,000 | A- | Evernorth Health Inc., Company Guaranteed Notes, 4.500% due 2/25/26 | 86,167 | |||||||
| Johnson & Johnson, Senior Unsecured Notes: | ||||||||||
| 100,000 | AAA | 0.550% due 9/1/25 |
90,277 | |||||||
| 280,000 | AAA | 2.450% due 3/1/26 |
262,329 | |||||||
| 210,000 | AAA | 0.950% due 9/1/27 |
179,659 | |||||||
| 540,000 | AAA | 3.625% due 3/3/37 |
476,685 | |||||||
| Merck & Co., Inc., Senior Unsecured Notes: | ||||||||||
| 280,000 | A+ | 0.750% due 2/24/26. |
247,855 | |||||||
| 150,000 | A+ | 1.450% due 6/24/30. |
120,103 | |||||||
| 340,000 | A+ | 2.750% due 12/10/51 |
226,331 | |||||||
| 215,000 | B- | Option Care Health Inc., Company Guaranteed Notes, 4.375% due 10/31/29(a) | 182,749 | |||||||
| 275,000 | BB- | Organon & Co./Organon Foreign Debt Co.-Issuer BV, Senior Unsecured Notes, |
233,738 | |||||||
| Pfizer Inc., Senior Unsecured Notes: | ||||||||||
| 230,000 | A+ | 0.800% due 5/28/25. |
210,392 | |||||||
| 160,000 | A+ | 2.625% due 4/1/30 |
139,612 | |||||||
| 140,000 | A+ | 1.700% due 5/28/30. |
114,450 | |||||||
| 259,000 | BBB+ | Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes, 3.200% due 9/23/26 | 241,156 | |||||||
| 607,000 | BBB+ | Takeda Pharmaceutical Co., Ltd., Senior Unsecured Notes, 2.050% due 3/31/30 | 494,891 | |||||||
| Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes: | ||||||||||
| 220,000 | BB- | 2.800% due 7/21/23. |
217,734 | |||||||
| 220,000 | BB- | 7.125% due 1/31/25. |
222,982 | |||||||
| 1,640,000 | BB- | 3.150% due 10/1/26. |
1,437,345 | |||||||
| 720,000 | BB- | 5.125% due 5/9/29 |
637,963 | |||||||
| 130,000 | A+ | Wyeth LLC, Company Guaranteed Notes, 5.950% due 4/1/37. | 139,320 | |||||||
|
|
|
|||||||||
| Total Pharmaceuticals | 20,601,464 | |||||||||
|
|
|
|||||||||
| Pipelines — 1.9% | ||||||||||
| Cameron LNG LLC, Senior Secured Notes: | ||||||||||
| 50,000 | A | 2.902% due 7/15/31(a) |
43,404 | |||||||
| 936,000 | A | 3.302% due 1/15/35(a) |
779,583 | |||||||
| 124,000 | A | 3.402% due 1/15/38(a) |
103,901 | |||||||
| Cheniere Corpus Christi Holdings LLC, Senior Secured Notes: | ||||||||||
| 945,000 | BBB- | 5.875% due 3/31/25. |
948,505 | |||||||
| 576,000 | BBB- | 5.125% due 6/30/27. |
568,549 | |||||||
| 638,000 | BBB- | 3.700% due 11/15/29 |
575,121 | |||||||
See Notes to Financial Statements.
157
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Pipelines — 1.9% — (continued) | ||||||||||
| $ | 12,000 | Baa3(b) | 2.742% due 12/31/39 |
$ | 9,503 | |||||
| Cheniere Energy Partners LP, Company Guaranteed Notes: | ||||||||||
| 959,000 | BBB- | 4.500% due 10/1/29. |
865,565 | |||||||
| 40,000 | BBB- | 4.000% due 3/1/31 |
34,574 | |||||||
| 656,000 | BBB- | 3.250% due 1/31/32. |
526,476 | |||||||
| 40,000 | BBB+ | DCP Midstream Operating LP, Company Guaranteed Notes, 6.450% due 11/3/36(a) | 40,678 | |||||||
| 38,000 | A | Eastern Gas Transmission & Storage Inc., Senior Unsecured Notes, 4.600% due 12/15/44 | 31,738 | |||||||
| Energy Transfer LP: | ||||||||||
| 10,000 | BBB- | Company Guaranteed Notes, 5.350% due 5/15/45 |
8,544 | |||||||
| Junior Subordinated Notes: |
||||||||||
| 80,000 | BB | 6.500% (5-Year CMT Index + 5.694%)(c)(d) |
73,937 | |||||||
| 180,000 | BB | 6.750% (5-Year CMT Index + 5.134%)(c)(d) |
166,725 | |||||||
| 240,000 | BB | 7.125% (5-Year CMT Index + 5.306%)(c)(d) |
211,771 | |||||||
| 40,000 | BB | 8.892% (3-Month USD-LIBOR + 4.028%)(c)(d) |
37,950 | |||||||
| Senior Unsecured Notes: |
||||||||||
| 230,000 | BBB- | 5.875% due 1/15/24. |
230,265 | |||||||
| 360,000 | BBB- | 4.500% due 4/15/24. |
355,461 | |||||||
| 707,000 | BBB- | 3.900% due 5/15/24. |
690,977 | |||||||
| 2,254,000 | BBB- | 5.500% due 6/1/27 |
2,243,016 | |||||||
| 30,000 | BBB- | 4.950% due 6/15/28. |
29,003 | |||||||
| 240,000 | BBB- | 5.250% due 4/15/29. |
234,325 | |||||||
| 80,000 | BBB- | 8.250% due 11/15/29 |
90,086 | |||||||
| 1,134,000 | BBB- | 3.750% due 5/15/30. |
1,006,160 | |||||||
| 90,000 | BBB- | 6.100% due 2/15/42. |
83,620 | |||||||
| 200,000 | BBB- | 5.300% due 4/1/44 |
171,276 | |||||||
| 440,000 | BBB- | 5.400% due 10/1/47. |
377,921 | |||||||
| 200,000 | BBB- | 6.000% due 6/15/48. |
183,495 | |||||||
| 770,000 | BBB- | 6.250% due 4/15/49. |
730,899 | |||||||
| 1,749,000 | BBB- | 5.000% due 5/15/50. |
1,431,939 | |||||||
| Enterprise Products Operating LLC, Company Guaranteed Notes: | ||||||||||
| 50,000 | BBB+ | 3.900% due 2/15/24. |
49,240 | |||||||
| 660,000 | BBB+ | 4.150% due 10/16/28 |
624,538 | |||||||
| 600,000 | BBB+ | 2.800% due 1/31/30. |
513,851 | |||||||
| 200,000 | BBB+ | 4.850% due 3/15/44. |
177,613 | |||||||
| 181,000 | BBB+ | 4.200% due 1/31/50. |
144,891 | |||||||
| 360,000 | BBB+ | 3.700% due 1/31/51. |
265,240 | |||||||
| 165,000 | BBB+ | 3.300% due 2/15/53. |
111,649 | |||||||
| 130,000 | BBB+ | 3.950% due 1/31/60. |
95,892 | |||||||
| 60,000 | BBB- | 5.375% (3-Month USD-LIBOR + 2.570%) due 2/15/78(c). |
50,250 | |||||||
| 184,932 | Aa2(b) | Galaxy Pipeline Assets Bidco Ltd., Senior Secured Notes, 2.160% due 3/31/34(a). | 156,576 | |||||||
| Kinder Morgan Inc., Company Guaranteed Notes: | ||||||||||
| 480,000 | BBB | 5.625% due 11/15/23(a). |
479,788 | |||||||
| 290,000 | BBB | 4.300% due 3/1/28 |
276,810 | |||||||
| 213,000 | BBB | 5.200% due 6/1/33 |
202,675 | |||||||
| 240,000 | BBB | 5.550% due 6/1/45 |
216,972 | |||||||
| 250,000 | BBB | 5.200% due 3/1/48 |
216,750 | |||||||
| 365,000 | BBB | 3.250% due 8/1/50 |
230,660 | |||||||
| 293,000 | BBB | 3.600% due 2/15/51. |
197,498 | |||||||
| 545,000 | A- | Midwest Connector Capital Co. LLC, Company Guaranteed Notes, 4.625% due 4/1/29(a) | 497,911 | |||||||
| MPLX LP, Senior Unsecured Notes: | ||||||||||
| 180,000 | BBB | 4.875% due 6/1/25 |
177,308 | |||||||
| 550,000 | BBB | 4.800% due 2/15/29. |
528,940 | |||||||
| 274,000 | BBB | 5.000% due 3/1/33 |
256,822 | |||||||
| 150,000 | BBB | 4.500% due 4/15/38. |
127,867 | |||||||
| 260,000 | BBB | 4.700% due 4/15/48. |
208,484 | |||||||
See Notes to Financial Statements.
158
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Pipelines — 1.9% — (continued) | ||||||||||
| $ | 150,000 | BBB | 5.500% due 2/15/49. |
$ | 134,387 | |||||
| NGPL PipeCo LLC, Senior Unsecured Notes: | ||||||||||
| 190,000 | BBB- | 4.875% due 8/15/27(a) |
181,621 | |||||||
| 277,000 | BBB- | 3.250% due 7/15/31(a) |
229,086 | |||||||
| 306,000 | A | Northern Natural Gas Co., Senior Unsecured Notes, 3.400% due 10/16/51(a) | 210,639 | |||||||
| 426,000 | BBB | Northwest Pipeline LLC, Senior Unsecured Notes, 4.000% due 4/1/27 | 403,650 | |||||||
| Rockies Express Pipeline LLC, Senior Unsecured Notes: | ||||||||||
| 300,000 | BB+ | 4.950% due 7/15/29(a) |
261,240 | |||||||
| 280,000 | BB+ | 6.875% due 4/15/40(a) |
229,624 | |||||||
| Sabine Pass Liquefaction LLC, Senior Secured Notes: | ||||||||||
| 709,000 | BBB+ | 5.750% due 5/15/24. |
708,915 | |||||||
| 516,000 | BBB+ | 5.000% due 3/15/27. |
504,022 | |||||||
| 424,000 | BBB+ | 4.500% due 5/15/30. |
396,734 | |||||||
| 73,000 | BBB+ | 5.900% due 9/15/37(a) |
72,996 | |||||||
| 258,000 | BBB+ | Southern Natural Gas Co. LLC, Senior Unsecured Notes, 8.000% due 3/1/32 | 286,350 | |||||||
| Targa Resources Corp., Company Guaranteed Notes: | ||||||||||
| 404,000 | BBB- | 5.200% due 7/1/27 |
397,480 | |||||||
| 130,000 | BBB- | 4.200% due 2/1/33 |
113,171 | |||||||
| Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes: |
||||||||||
| 50,000 | BBB- | 6.500% due 7/15/27. |
50,607 | |||||||
| 135,000 | BBB- | 5.000% due 1/15/28. |
128,712 | |||||||
| 20,000 | BBB- | 6.875% due 1/15/29. |
20,271 | |||||||
| 588,000 | BBB- | 5.500% due 3/1/30 |
557,097 | |||||||
| 240,000 | BBB- | 4.875% due 2/1/31 |
218,209 | |||||||
| 140,000 | BBB- | 4.000% due 1/15/32. |
118,810 | |||||||
| 560,000 | BBB | Tennessee Gas Pipeline Co. LLC, Company Guaranteed Notes, 2.900% due 3/1/30(a). | 473,241 | |||||||
| Texas Eastern Transmission LP, Senior Unsecured Notes: | ||||||||||
| 244,000 | BBB+ | 3.500% due 1/15/28(a) |
224,041 | |||||||
| 102,000 | BBB+ | 7.000% due 7/15/32. |
114,562 | |||||||
| 317,000 | BBB+ | 4.150% due 1/15/48(a) |
254,605 | |||||||
| Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes: | ||||||||||
| 1,595,000 | BBB | 7.850% due 2/1/26 |
1,691,926 | |||||||
| 650,000 | BBB | 4.000% due 3/15/28. |
611,950 | |||||||
| 110,000 | BB+ | Venture Global Calcasieu Pass LLC, Senior Secured Notes, 3.875% due 11/1/33(a). | 89,809 | |||||||
| Western Midstream Operating LP, Senior Unsecured Notes: | ||||||||||
| 140,000 | BBB- | 3.350% due 2/1/25 |
132,840 | |||||||
| 40,000 | BBB- | 4.500% due 3/1/28 |
36,912 | |||||||
| 340,000 | BBB- | 4.300% due 2/1/30 |
301,559 | |||||||
| 90,000 | BBB- | 5.500% due 8/15/48. |
75,129 | |||||||
| 90,000 | BBB- | 5.500% due 2/1/50 |
73,505 | |||||||
| Williams Cos., Inc. (The), Senior Unsecured Notes: | ||||||||||
| 50,000 | BBB | 7.500% due 1/15/31. |
55,117 | |||||||
| 260,000 | BBB | 7.750% due 6/15/31. |
285,352 | |||||||
| 116,000 | BBB | 8.750% due 3/15/32. |
137,843 | |||||||
| 169,000 | BBB | 4.650% due 8/15/32. |
157,411 | |||||||
|
|
|
|||||||||
| Total Pipelines | 28,632,615 | |||||||||
|
|
|
|||||||||
| Real Estate Investment Trusts (REITs) — 1.2% | ||||||||||
| 408,000 | BBB+ | Alexandria Real Estate Equities Inc., Company Guaranteed Notes, 2.950% due 3/15/34. | 328,601 | |||||||
| 520,000 | BBB- | American Assets Trust LP, Company Guaranteed Notes, 3.375% due 2/1/31 | 411,512 | |||||||
| 300,000 | BBB | American Homes 4 Rent LP, Senior Unsecured Notes, 3.625% due 4/15/32 | 253,518 | |||||||
| American Tower Corp., Senior Unsecured Notes: | ||||||||||
| 31,000 | BBB- | 2.950% due 1/15/25. |
29,519 | |||||||
| 49,000 | BBB- | 3.950% due 3/15/29. |
44,730 | |||||||
| 208,000 | BBB- | 2.100% due 6/15/30. |
164,668 | |||||||
See Notes to Financial Statements.
159
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Real Estate Investment Trusts (REITs) — 1.2% — (continued) | ||||||||||
| $ | 584,000 | BBB- | 2.300% due 9/15/31. |
$ | 453,652 | |||||
| 515,000 | BBB- | Brixmor Operating Partnership LP, Senior Unsecured Notes, 4.050% due 7/1/30 | 455,896 | |||||||
| Crown Castle Inc., Senior Unsecured Notes: | ||||||||||
| 51,000 | BBB | 3.150% due 7/15/23. |
50,602 | |||||||
| 116,000 | BBB | 3.700% due 6/15/26. |
109,753 | |||||||
| 255,000 | BBB | 1.050% due 7/15/26. |
220,841 | |||||||
| 267,000 | BBB | 3.800% due 2/15/28. |
248,177 | |||||||
| 150,000 | BBB | 3.100% due 11/15/29 |
130,281 | |||||||
| 536,000 | BBB | 2.250% due 1/15/31. |
428,762 | |||||||
| 585,000 | BBB | 2.500% due 7/15/31. |
471,862 | |||||||
| 74,000 | BBB | 4.150% due 7/1/50 |
56,756 | |||||||
| 40,000 | BB+ | CTR Partnership LP/CareTrust Capital Corp., Company Guaranteed Notes, 3.875% due 6/30/28(a) | 34,023 | |||||||
| CubeSmart LP, Company Guaranteed Notes: | ||||||||||
| 323,000 | BBB | 2.250% due 12/15/28 |
270,110 | |||||||
| 310,000 | BBB | 2.500% due 2/15/32. |
242,199 | |||||||
| Equinix Inc., Senior Unsecured Notes: | ||||||||||
| 427,000 | BBB | 2.000% due 5/15/28. |
361,033 | |||||||
| 634,000 | BBB | 3.200% due 11/18/29 |
553,185 | |||||||
| 372,000 | BBB | 2.150% due 7/15/30. |
297,135 | |||||||
| Extra Space Storage LP, Company Guaranteed Notes: | ||||||||||
| 200,000 | BBB | 3.900% due 4/1/29 |
181,532 | |||||||
| 995,000 | BBB | 2.350% due 3/15/32. |
762,340 | |||||||
| GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes: | ||||||||||
| 225,000 | BBB- | 5.250% due 6/1/25 |
220,495 | |||||||
| 775,000 | BBB- | 5.375% due 4/15/26. |
756,094 | |||||||
| 220,000 | BBB- | 5.300% due 1/15/29. |
208,115 | |||||||
| 492,000 | BBB- | 4.000% due 1/15/30. |
431,153 | |||||||
| 875,000 | BBB- | 3.250% due 1/15/32. |
695,346 | |||||||
| Healthcare Realty Holdings LP, Company Guaranteed Notes: | ||||||||||
| 475,000 | BBB | 3.625% due 1/15/28. |
427,864 | |||||||
| 810,000 | BBB | 3.100% due 2/15/30. |
690,500 | |||||||
| 5,000 | BBB | 2.050% due 3/15/31. |
3,709 | |||||||
| 31,000 | BBB+ | Healthpeak Properties Interim Inc., Senior Unsecured Notes, 3.400% due 2/1/25 | 29,881 | |||||||
| Hudson Pacific Properties LP, Company Guaranteed Notes: | ||||||||||
| 545,000 | BBB- | 4.650% due 4/1/29 |
463,590 | |||||||
| 40,000 | BBB- | 3.250% due 1/15/30. |
30,158 | |||||||
| Invitation Homes Operating Partnership LP, Company Guaranteed Notes: | ||||||||||
| 70,000 | BBB- | 2.300% due 11/15/28 |
57,942 | |||||||
| 590,000 | BBB- | 2.000% due 8/15/31. |
442,756 | |||||||
| 107,000 | BBB- | 4.150% due 4/15/32. |
94,169 | |||||||
| 345,000 | BBB- | 2.700% due 1/15/34. |
258,176 | |||||||
| 325,000 | BBB | Kilroy Realty LP, Company Guaranteed Notes, 2.650% due 11/15/33 | 223,134 | |||||||
| 211,000 | BBB+ | Kimco Realty OP LLC, Company Guaranteed Notes, 4.600% due 2/1/33 | 194,017 | |||||||
| 250,000 | BBB | Life Storage LP, Company Guaranteed Notes, 2.400% due 10/15/31. | 198,382 | |||||||
| National Retail Properties Inc., Senior Unsecured Notes: | ||||||||||
| 314,000 | BBB+ | 3.100% due 4/15/50. |
201,285 | |||||||
| 832,000 | BBB+ | 3.500% due 4/15/51. |
573,219 | |||||||
| 177,000 | BBB+ | 3.000% due 4/15/52. |
109,341 | |||||||
| Physicians Realty LP, Company Guaranteed Notes: | ||||||||||
| 70,000 | BBB | 4.300% due 3/15/27. |
66,620 | |||||||
| 285,000 | BBB | 2.625% due 11/1/31. |
227,711 | |||||||
| Prologis LP, Senior Unsecured Notes: | ||||||||||
| 392,000 | A | 2.875% due 11/15/29 |
340,597 | |||||||
| 139,000 | A | 1.750% due 7/1/30 |
110,984 | |||||||
| 414,000 | A | 1.750% due 2/1/31 |
326,778 | |||||||
See Notes to Financial Statements.
160
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Real Estate Investment Trusts (REITs) — 1.2% — (continued) | ||||||||||
| $ | 134,000 | A | 2.250% due 1/15/32. |
$ | 107,468 | |||||
| 280,000 | A | 4.625% due 1/15/33. |
270,945 | |||||||
| 67,000 | A | 3.000% due 4/15/50. |
45,457 | |||||||
| Realty Income Corp., Senior Unsecured Notes: | ||||||||||
| 144,000 | A- | 3.250% due 1/15/31. |
125,427 | |||||||
| 126,000 | A- | 5.625% due 10/13/32 |
128,431 | |||||||
| VICI Properties LP, Senior Unsecured Notes: | ||||||||||
| 318,000 | BBB- | 4.950% due 2/15/30. |
297,253 | |||||||
| 600,000 | BBB- | 5.125% due 5/15/32. |
557,250 | |||||||
| 260,000 | BBB- | 5.625% due 5/15/52. |
230,515 | |||||||
| VICI Properties LP/VICI Notes Co., Inc., Company Guaranteed Notes: | ||||||||||
| 80,000 | BBB- | 4.625% due 6/15/25(a) |
76,846 | |||||||
| 75,000 | BBB- | 4.500% due 9/1/26(a) |
70,044 | |||||||
| 745,000 | BBB- | 4.250% due 12/1/26(a) |
690,524 | |||||||
| 65,000 | BBB- | 5.750% due 2/1/27(a) |
63,461 | |||||||
| 891,000 | BBB- | 3.750% due 2/15/27(a) |
807,721 | |||||||
| 217,000 | BBB- | 4.500% due 1/15/28(a) |
199,661 | |||||||
| 255,000 | BBB- | 3.875% due 2/15/29(a) |
221,981 | |||||||
| 328,000 | BBB- | 4.125% due 8/15/30(a) |
283,616 | |||||||
| 466,000 | BBB+ | WP Carey Inc., Senior Unsecured Notes, 2.400% due 2/1/31 | 375,849 | |||||||
|
|
|
|||||||||
| Total Real Estate Investment Trusts (REITs) | 18,495,152 | |||||||||
|
|
|
|||||||||
| Retail — 0.3% | ||||||||||
| Alimentation Couche-Tard Inc.: | ||||||||||
| 250,000 | BBB | Company Guaranteed Notes, 3.550% due 7/26/27(a) |
231,560 | |||||||
| 350,000 | BBB | Senior Unsecured Notes, 3.800% due 1/25/50(a) |
250,499 | |||||||
| Costco Wholesale Corp., Senior Unsecured Notes: | ||||||||||
| 390,000 | A+ | 1.375% due 6/20/27. |
340,898 | |||||||
| 160,000 | A+ | 1.600% due 4/20/30. |
130,672 | |||||||
| 60,000 | CCC+ | Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., Company Guaranteed Notes, 6.750% due 1/15/30(a) |
49,772 | |||||||
| Home Depot Inc. (The), Senior Unsecured Notes: | ||||||||||
| 210,000 | A | 2.500% due 4/15/27. |
192,063 | |||||||
| 330,000 | A | 3.250% due 4/15/32. |
288,986 | |||||||
| 70,000 | A | 3.300% due 4/15/40. |
55,715 | |||||||
| 20,000 | A | 3.900% due 6/15/47. |
16,516 | |||||||
| 380,000 | A | 3.350% due 4/15/50. |
280,828 | |||||||
| Lowe’s Cos., Inc., Senior Unsecured Notes: | ||||||||||
| 251,000 | BBB+ | 3.650% due 4/5/29 |
229,500 | |||||||
| 70,000 | BBB+ | 4.500% due 4/15/30. |
66,666 | |||||||
| 284,000 | BBB+ | 1.700% due 10/15/30 |
221,469 | |||||||
| McDonald’s Corp., Senior Unsecured Notes: | ||||||||||
| 40,000 | BBB+ | 3.300% due 7/1/25 |
38,471 | |||||||
| 30,000 | BBB+ | 1.450% due 9/1/25 |
27,427 | |||||||
| 140,000 | BBB+ | 3.700% due 1/30/26. |
135,125 | |||||||
| 30,000 | BBB+ | 3.500% due 3/1/27 |
28,330 | |||||||
| 60,000 | BBB+ | 3.500% due 7/1/27 |
56,618 | |||||||
| 340,000 | BBB+ | 3.800% due 4/1/28 |
322,455 | |||||||
| 100,000 | BBB+ | 3.600% due 7/1/30 |
91,223 | |||||||
| 20,000 | BBB+ | 3.625% due 9/1/49 |
15,000 | |||||||
| 400,000 | BBB+ | 4.200% due 4/1/50 |
331,334 | |||||||
| 360,000 | CCC | Michaels Cos Inc. (The), Senior Unsecured Notes, 7.875% due 5/1/29(a) | 271,330 | |||||||
| 250,000 | BB- | Papa John’s International Inc., Company Guaranteed Notes, 3.875% due 9/15/29(a) | 209,046 | |||||||
| 120,000 | A | Target Corp., Senior Unsecured Notes, 2.250% due 4/15/25 | 113,411 | |||||||
See Notes to Financial Statements.
161
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Retail — 0.3% — (continued) | ||||||||||
| Walmart Inc., Senior Unsecured Notes: | ||||||||||
| $ | 90,000 | AA | 1.500% due 9/22/28. |
$ | 76,551 | |||||
| 40,000 | AA | 1.800% due 9/22/31. |
32,270 | |||||||
|
|
|
|||||||||
| Total Retail | 4,103,735 | |||||||||
|
|
|
|||||||||
| Savings & Loans — 0.1% | ||||||||||
| Nationwide Building Society, Senior Unsecured Notes: | ||||||||||
| 900,000 | BBB+ | 3.766% (3-Month USD-LIBOR + 1.064%) due 3/8/24(a)(c) |
899,820 | |||||||
| 800,000 | BBB+ | 4.363% (3-Month USD-LIBOR + 1.392%) due 8/1/24(a)(c) |
794,081 | |||||||
|
|
|
|||||||||
| Total Savings & Loans | 1,693,901 | |||||||||
|
|
|
|||||||||
| Semiconductors — 0.6% | ||||||||||
| 49,000 | BBB- | Broadcom Corp./Broadcom Cayman Finance Ltd., Company Guaranteed Notes, |
44,735 | |||||||
| Broadcom Inc.: | ||||||||||
| Company Guaranteed Notes: |
||||||||||
| 85,000 | BBB- | 3.625% due 10/15/24 |
82,527 | |||||||
| 170,000 | BBB- | 4.150% due 11/15/30 |
153,045 | |||||||
| 98,000 | BBB- | 2.450% due 2/15/31(a) |
77,632 | |||||||
| 261,000 | BBB- | 4.300% due 11/15/32 |
231,504 | |||||||
| 624,000 | BBB- | 2.600% due 2/15/33(a) |
471,485 | |||||||
| Senior Unsecured Notes: |
||||||||||
| 170,000 | BBB- | 4.150% due 4/15/32(a) |
149,821 | |||||||
| 102,000 | BBB- | 3.419% due 4/15/33(a) |
82,147 | |||||||
| 493,000 | BBB- | 3.469% due 4/15/34(a) |
390,270 | |||||||
| 650,000 | BBB- | 3.137% due 11/15/35(a). |
478,760 | |||||||
| 183,000 | BBB- | 3.187% due 11/15/36(a). |
132,518 | |||||||
| 611,000 | BBB- | 4.926% due 5/15/37(a) |
531,229 | |||||||
| Intel Corp., Senior Unsecured Notes: | ||||||||||
| 70,000 | A | 3.700% due 7/29/25. |
67,727 | |||||||
| 200,000 | A | 1.600% due 8/12/28. |
168,196 | |||||||
| 170,000 | A | 5.125% due 2/10/30. |
168,087 | |||||||
| 54,000 | A | 3.734% due 12/8/47. |
39,827 | |||||||
| 110,000 | A | 4.750% due 3/25/50. |
94,968 | |||||||
| 230,000 | A | 3.050% due 8/12/51. |
146,916 | |||||||
| KLA Corp., Senior Unsecured Notes: | ||||||||||
| 383,000 | A- | 4.100% due 3/15/29. |
365,273 | |||||||
| 261,000 | A- | 3.300% due 3/1/50 |
188,570 | |||||||
| 340,000 | A- | 5.250% due 7/15/62. |
324,900 | |||||||
| Lam Research Corp., Senior Unsecured Notes: | ||||||||||
| 18,000 | A- | 3.750% due 3/15/26. |
17,348 | |||||||
| 49,000 | A- | 4.875% due 3/15/49. |
46,174 | |||||||
| 125,000 | A- | 2.875% due 6/15/50. |
83,077 | |||||||
| 230,000 | BBB- | Micron Technology Inc., Senior Unsecured Notes, 5.875% due 2/9/33 | 222,913 | |||||||
| NVIDIA Corp., Senior Unsecured Notes: | ||||||||||
| 120,000 | A | 3.500% due 4/1/40 |
98,617 | |||||||
| 879,000 | A | 3.500% due 4/1/50 |
678,652 | |||||||
| 160,000 | A | 3.700% due 4/1/60 |
121,616 | |||||||
| NXP BV/NXP Funding LLC/NXP USA Inc., Company Guaranteed Notes: | ||||||||||
| 90,000 | BBB | 2.700% due 5/1/25 |
84,460 | |||||||
| 725,000 | BBB | 4.300% due 6/18/29. |
669,725 | |||||||
| 1,234,000 | BBB | 3.400% due 5/1/30 |
1,067,715 | |||||||
| 103,000 | BBB | 2.650% due 2/15/32. |
80,922 | |||||||
| QUALCOMM Inc., Senior Unsecured Notes: | ||||||||||
| 681,000 | A | 5.400% due 5/20/33. |
701,934 | |||||||
See Notes to Financial Statements.
162
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Semiconductors — 0.6% — (continued) | ||||||||||
| $ | 72,000 | A | 4.300% due 5/20/47. |
$ | 62,698 | |||||
| 119,000 | A | 6.000% due 5/20/53. |
127,987 | |||||||
| 90,000 | A+ | Texas Instruments Inc., Senior Unsecured Notes, 1.750% due 5/4/30 | 73,659 | |||||||
|
|
|
|||||||||
| Total Semiconductors | 8,527,634 | |||||||||
|
|
|
|||||||||
| Shipbuilding — 0.1% | ||||||||||
| Huntington Ingalls Industries Inc., Company Guaranteed Notes: | ||||||||||
| 467,000 | BBB- | 3.483% due 12/1/27. |
427,620 | |||||||
| 286,000 | BBB- | 2.043% due 8/16/28. |
235,260 | |||||||
|
|
|
|||||||||
| Total Shipbuilding. | 662,880 | |||||||||
|
|
|
|||||||||
| Software — 0.8% | ||||||||||
| Autodesk Inc., Senior Unsecured Notes: | ||||||||||
| 59,000 | BBB+ | 4.375% due 6/15/25. |
58,002 | |||||||
| 279,000 | BBB+ | 2.850% due 1/15/30. |
239,603 | |||||||
| 108,000 | BBB+ | Electronic Arts Inc., Senior Unsecured Notes, 1.850% due 2/15/31 | 84,570 | |||||||
| 870,000 | BBB | Fiserv Inc., Senior Unsecured Notes, 5.600% due 3/2/33. | 868,535 | |||||||
| Microsoft Corp., Senior Unsecured Notes: | ||||||||||
| 270,000 | AAA | 2.875% due 2/6/24 |
264,314 | |||||||
| 70,000 | AAA | 2.700% due 2/12/25. |
67,353 | |||||||
| 750,000 | AAA | 2.400% due 8/8/26 |
695,854 | |||||||
| 670,000 | AAA | 3.300% due 2/6/27 |
640,143 | |||||||
| 5,000 | AAA | 3.450% due 8/8/36 |
4,378 | |||||||
| 7,000 | AAA | 2.525% due 6/1/50 |
4,652 | |||||||
| 18,000 | AAA | 2.921% due 3/17/52. |
12,891 | |||||||
| 42,000 | AAA | 3.041% due 3/17/62. |
29,283 | |||||||
| Oracle Corp., Senior Unsecured Notes: | ||||||||||
| 570,000 | BBB | 1.650% due 3/25/26. |
509,517 | |||||||
| 235,000 | BBB | 3.250% due 11/15/27 |
215,119 | |||||||
| 375,000 | BBB | 4.650% due 5/6/30 |
355,795 | |||||||
| 785,000 | BBB | 2.875% due 3/25/31. |
650,343 | |||||||
| 411,000 | BBB | 4.300% due 7/8/34 |
360,832 | |||||||
| 267,000 | BBB | 3.850% due 7/15/36. |
217,227 | |||||||
| 1,468,000 | BBB | 3.800% due 11/15/37 |
1,162,275 | |||||||
| 428,000 | BBB | 3.600% due 4/1/40 |
315,865 | |||||||
| 218,000 | BBB | 5.375% due 7/15/40. |
199,627 | |||||||
| 1,362,000 | BBB | 3.650% due 3/25/41. |
1,002,064 | |||||||
| 181,000 | BBB | 4.000% due 7/15/46. |
131,994 | |||||||
| 313,000 | BBB | 4.000% due 11/15/47 |
228,778 | |||||||
| 511,000 | BBB | 3.600% due 4/1/50 |
344,312 | |||||||
| 522,000 | BBB | 3.950% due 3/25/51. |
372,807 | |||||||
| 130,000 | BBB | 6.900% due 11/9/52. |
139,638 | |||||||
| 395,000 | BBB | 5.550% due 2/6/53 |
360,066 | |||||||
| Salesforce Inc., Senior Unsecured Notes: | ||||||||||
| 130,000 | A+ | 3.250% due 4/11/23. |
129,726 | |||||||
| 370,000 | A+ | 3.700% due 4/11/28. |
352,747 | |||||||
| 140,000 | A+ | 2.700% due 7/15/41. |
98,807 | |||||||
| 75,000 | A+ | 3.050% due 7/15/61. |
47,877 | |||||||
| 372,000 | A- | ServiceNow Inc., Senior Unsecured Notes, 1.400% due 9/1/30. | 283,637 | |||||||
| 475,000 | BBB | Take-Two Interactive Software Inc., Senior Unsecured Notes, 4.000% due 4/14/32. | 422,928 | |||||||
| VMware Inc., Senior Unsecured Notes: | ||||||||||
| 163,000 | BBB- | 1.400% due 8/15/26. |
140,805 | |||||||
| 247,000 | BBB- | 1.800% due 8/15/28. |
202,044 | |||||||
| 162,000 | BBB- | 4.700% due 5/15/30. |
151,654 | |||||||
See Notes to Financial Statements.
163
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Software — 0.8% — (continued) | ||||||||||
| Workday Inc., Senior Unsecured Notes: | ||||||||||
| $ | 70,000 | BBB | 3.500% due 4/1/27 |
$ | 65,418 | |||||
| 120,000 | BBB | 3.700% due 4/1/29 |
109,647 | |||||||
|
|
|
|||||||||
| Total Software. | 11,541,127 | |||||||||
|
|
|
|||||||||
| Telecommunications — 2.2% | ||||||||||
| AT&T Inc., Senior Unsecured Notes: | ||||||||||
| 20,000 | BBB | 4.250% due 3/1/27 |
19,397 | |||||||
| 510,000 | BBB | 2.300% due 6/1/27 |
454,553 | |||||||
| 170,000 | BBB | 1.650% due 2/1/28 |
144,494 | |||||||
| 198,000 | BBB | 4.100% due 2/15/28. |
188,845 | |||||||
| 304,000 | BBB | 4.350% due 3/1/29 |
288,369 | |||||||
| 660,000 | BBB | 4.300% due 2/15/30. |
619,071 | |||||||
| 505,000 | BBB | 2.750% due 6/1/31 |
417,424 | |||||||
| 1,480,000 | BBB | 2.550% due 12/1/33. |
1,132,449 | |||||||
| 404,000 | BBB | 4.500% due 5/15/35. |
363,215 | |||||||
| 50,000 | BBB | 5.350% due 9/1/40 |
47,770 | |||||||
| 126,000 | BBB | 3.500% due 6/1/41 |
94,539 | |||||||
| 80,000 | BBB | 5.550% due 8/15/41. |
77,699 | |||||||
| 245,000 | BBB | 4.350% due 6/15/45. |
199,364 | |||||||
| 820,000 | BBB | 4.750% due 5/15/46. |
704,671 | |||||||
| 238,000 | BBB | 4.500% due 3/9/48 |
194,664 | |||||||
| 1,384,000 | BBB | 3.500% due 9/15/53. |
946,075 | |||||||
| 503,000 | BBB | 3.550% due 9/15/55. |
339,224 | |||||||
| 95,000 | BBB | 3.800% due 12/1/57. |
66,482 | |||||||
| 487,000 | BBB | 3.650% due 9/15/59. |
328,242 | |||||||
| 75,000 | BBB | 3.850% due 6/1/60 |
52,292 | |||||||
| CommScope Inc., Senior Secured Notes: | ||||||||||
| 80,000 | B | 6.000% due 3/1/26(a) |
77,162 | |||||||
| 390,000 | B | 4.750% due 9/1/29(a) |
319,192 | |||||||
| 280,000 | EUR | BBB | Global Switch Finance BV, Company Guaranteed Notes, 1.375% due 10/7/30. | 242,577 | ||||||
| Intelsat Jackson Holdings SA: | ||||||||||
| 974,000 | B+ | Senior Secured Notes, 6.500% due 3/15/30(a) |
847,185 | |||||||
| Senior Unsecured Notes: |
||||||||||
| 400,000 | NR | 5.500% due 8/1/23#(e)(f) |
— | |||||||
| 184,000 | NR | 8.500% due 10/15/24#(a)(e)(f) |
— | |||||||
| 605,000 | NR | 9.750% due 7/15/25#(a)(e)(f) |
— | |||||||
| Level 3 Financing Inc.: | ||||||||||
| 473,000 | B+ | Company Guaranteed Notes, 3.625% due 1/15/29(a) |
304,099 | |||||||
| 526,000 | BB | Senior Secured Notes, 3.875% due 11/15/29(a) |
400,357 | |||||||
| Motorola Solutions Inc., Senior Unsecured Notes: | ||||||||||
| 186,000 | BBB- | 4.600% due 2/23/28. |
179,544 | |||||||
| 528,000 | BBB- | 4.600% due 5/23/29. |
497,320 | |||||||
| 253,000 | BBB- | 2.300% due 11/15/30 |
197,888 | |||||||
| 306,000 | BBB- | 2.750% due 5/24/31. |
243,184 | |||||||
| 572,000 | BBB- | 5.600% due 6/1/32 |
559,781 | |||||||
| 70,000 | BBB- | 5.500% due 9/1/44 |
64,216 | |||||||
| 150,000 | BB | Qwest Corp., Senior Unsecured Notes, 7.250% due 9/15/25 | 148,110 | |||||||
| Rogers Communications Inc., Company Guaranteed Notes: | ||||||||||
| 450,000 | BBB+ | 3.800% due 3/15/32(a) |
392,732 | |||||||
| 44,000 | BBB+ | 4.550% due 3/15/52(a) |
34,991 | |||||||
| 2,360,000 | BB+ | Sprint LLC, Company Guaranteed Notes, 7.875% due 9/15/23 | 2,383,898 | |||||||
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes: |
||||||||||
| 790,313 | A1(b) | 4.738% due 3/20/25(a) |
780,968 | |||||||
See Notes to Financial Statements.
164
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Telecommunications — 2.2% — (continued) | ||||||||||
| $ | 1,140,000 | A1(b) | 5.152% due 3/20/28(a) |
$ | 1,127,840 | |||||
| 330,000 | BBB- | Telefonica Emisiones SA, Company Guaranteed Notes, 4.103% due 3/8/27 | 312,818 | |||||||
| T-Mobile USA Inc., Company Guaranteed Notes: | ||||||||||
| 820,000 | BBB- | 3.500% due 4/15/25. |
785,418 | |||||||
| 740,000 | BBB- | 2.250% due 2/15/26. |
673,746 | |||||||
| 1,802,000 | BBB- | 3.750% due 4/15/27. |
1,694,737 | |||||||
| 684,000 | BBB- | 2.625% due 2/15/29. |
582,441 | |||||||
| 300,000 | BBB- | 3.375% due 4/15/29. |
264,997 | |||||||
| 655,000 | BBB- | 3.875% due 4/15/30. |
593,714 | |||||||
| 1,600,000 | BBB- | 2.550% due 2/15/31. |
1,306,309 | |||||||
| 80,000 | BBB- | 2.875% due 2/15/31. |
66,471 | |||||||
| 1,000,000 | BBB- | 3.500% due 4/15/31. |
866,877 | |||||||
| 290,000 | BBB- | 2.250% due 11/15/31 |
227,586 | |||||||
| 330,000 | BBB- | 2.700% due 3/15/32. |
267,372 | |||||||
| 450,000 | BBB- | 4.375% due 4/15/40. |
382,234 | |||||||
| 60,000 | BBB- | 3.000% due 2/15/41. |
41,907 | |||||||
| 10,000 | BBB- | 3.300% due 2/15/51. |
6,679 | |||||||
| Verizon Communications Inc., Senior Unsecured Notes: | ||||||||||
| 220,000 | BBB+ | 2.625% due 8/15/26. |
202,182 | |||||||
| 80,000 | BBB+ | 4.125% due 3/16/27. |
77,013 | |||||||
| 130,000 | BBB+ | 2.100% due 3/22/28. |
112,172 | |||||||
| 646,000 | BBB+ | 4.329% due 9/21/28. |
619,269 | |||||||
| 362,000 | BBB+ | 3.875% due 2/8/29 |
337,103 | |||||||
| 125,000 | BBB+ | 4.016% due 12/3/29. |
115,411 | |||||||
| 1,495,000 | BBB+ | 3.150% due 3/22/30. |
1,308,822 | |||||||
| 177,000 | BBB+ | 1.500% due 9/18/30. |
136,846 | |||||||
| 138,000 | BBB+ | 1.680% due 10/30/30 |
106,755 | |||||||
| 140,000 | BBB+ | 1.750% due 1/20/31. |
108,143 | |||||||
| 955,000 | BBB+ | 2.550% due 3/21/31. |
780,797 | |||||||
| 977,000 | BBB+ | 2.355% due 3/15/32. |
767,592 | |||||||
| 680,000 | BBB+ | 4.500% due 8/10/33. |
631,882 | |||||||
| 281,000 | BBB+ | 4.400% due 11/1/34. |
255,379 | |||||||
| 71,000 | BBB+ | 5.850% due 9/15/35. |
71,362 | |||||||
| 150,000 | BBB+ | 5.250% due 3/16/37. |
146,344 | |||||||
| 412,000 | BBB+ | 2.650% due 11/20/40 |
278,903 | |||||||
| 50,000 | BBB+ | 3.400% due 3/22/41. |
37,632 | |||||||
| 430,000 | BBB+ | 2.850% due 9/3/41 |
297,709 | |||||||
| 100,000 | BBB+ | 4.125% due 8/15/46. |
81,253 | |||||||
| 60,000 | BBB+ | 4.862% due 8/21/46. |
54,252 | |||||||
| 20,000 | BBB+ | 5.500% due 3/16/47. |
19,393 | |||||||
| 50,000 | BBB+ | 4.000% due 3/22/50. |
39,423 | |||||||
| 430,000 | BBB+ | 2.875% due 11/20/50 |
268,949 | |||||||
| 184,000 | BBB+ | 3.000% due 11/20/60 |
110,313 | |||||||
| Vmed O2 UK Financing I PLC, Senior Secured Notes: | ||||||||||
| 450,000 | BB- | 4.250% due 1/31/31(a) |
361,468 | |||||||
| 200,000 | BB- | 4.750% due 7/15/31(a) |
165,820 | |||||||
| 1,435,000 | BBB | Vodafone Group PLC, Senior Unsecured Notes, 4.875% due 6/19/49. | 1,239,769 | |||||||
|
|
|
|||||||||
| Total Telecommunications | 32,285,145 | |||||||||
|
|
|
|||||||||
| Transportation — 0.2% | ||||||||||
| Burlington Northern Santa Fe LLC, Senior Unsecured Notes: | ||||||||||
| 351,000 | AA- | 4.150% due 12/15/48 |
297,763 | |||||||
| 95,000 | AA- | 2.875% due 6/15/52. |
63,396 | |||||||
| 108,000 | AA- | 4.450% due 1/15/53. |
95,773 | |||||||
See Notes to Financial Statements.
165
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Transportation — 0.2% — (continued) | ||||||||||
| Canadian Pacific Railway Co., Company Guaranteed Notes: | ||||||||||
| $ | 20,000 | BBB+ | 3.000% due 12/2/41. |
$ | 15,007 | |||||
| 220,000 | BBB+ | 3.100% due 12/2/51. |
149,527 | |||||||
| CSX Corp., Senior Unsecured Notes: | ||||||||||
| 114,000 | BBB+ | 3.250% due 6/1/27 |
106,381 | |||||||
| 31,000 | BBB+ | 3.350% due 9/15/49. |
22,288 | |||||||
| 237,000 | BBB+ | 2.500% due 5/15/51. |
145,683 | |||||||
| 170,000 | BBB+ | 4.500% due 11/15/52 |
147,138 | |||||||
| Norfolk Southern Corp., Senior Unsecured Notes: | ||||||||||
| 282,000 | BBB+ | 2.550% due 11/1/29. |
238,867 | |||||||
| 607,000 | BBB+ | 3.000% due 3/15/32. |
512,323 | |||||||
| 33,000 | BBB+ | 4.800% due 8/15/43. |
28,488 | |||||||
| 100,000 | BBB+ | 3.050% due 5/15/50. |
66,452 | |||||||
| 215,000 | BBB+ | 4.550% due 6/1/53 |
185,046 | |||||||
| 69,000 | BBB | Ryder System Inc., Senior Unsecured Notes, 2.500% due 9/1/24 | 65,891 | |||||||
| Union Pacific Corp., Senior Unsecured Notes: | ||||||||||
| 50,000 | A- | 3.750% due 7/15/25. |
48,543 | |||||||
| 60,000 | A- | 2.150% due 2/5/27 |
54,280 | |||||||
| 410,000 | A- | 2.891% due 4/6/36 |
322,976 | |||||||
| 35,000 | A- | 4.300% due 3/1/49 |
30,089 | |||||||
| 234,000 | A- | 3.250% due 2/5/50 |
168,514 | |||||||
| 359,000 | A- | 3.500% due 2/14/53. |
267,827 | |||||||
| 460,000 | A- | 3.839% due 3/20/60. |
350,007 | |||||||
| 160,000 | A- | 3.750% due 2/5/70 |
116,219 | |||||||
| 12,000 | BB- | XPO Inc., Company Guaranteed Notes, 6.250% due 5/1/25(a) | 12,017 | |||||||
|
|
|
|||||||||
| Total Transportation | 3,510,495 | |||||||||
|
|
|
|||||||||
| Trucking & Leasing — 0.1% | ||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes: | ||||||||||
| 110,000 | BBB | 2.700% due 11/1/24(a) |
104,150 | |||||||
| 97,000 | BBB | 3.950% due 3/10/25(a) |
93,407 | |||||||
| 164,000 | BBB | 4.000% due 7/15/25(a) |
156,986 | |||||||
| 51,000 | BBB | 1.700% due 6/15/26(a) |
44,725 | |||||||
| 516,000 | BBB | 5.875% due 11/15/27(a). |
522,205 | |||||||
|
|
|
|||||||||
| Total Trucking & Leasing | 921,473 | |||||||||
|
|
|
|||||||||
| TOTAL CORPORATE BONDS & NOTES (Cost — $515,648,055) |
433,269,078 | |||||||||
|
|
|
|||||||||
| MORTGAGE-BACKED SECURITIES — 27.7% | ||||||||||
| FHLMC — 5.5% | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||||
| 1,855,633 | 4.500% due 4/1/29 — 1/1/53. |
1,797,865 | ||||||||
| 851,355 | 5.500% due 1/1/30 — 1/1/53. |
861,709 | ||||||||
| 11,210,993 | 3.000% due 3/1/31 — 4/1/52. |
10,013,034 | ||||||||
| 25,950,536 | 2.500% due 11/1/31 — 5/1/52 |
22,135,006 | ||||||||
| 12,194,648 | 3.500% due 4/1/33 — 4/1/52. |
11,364,233 | ||||||||
| 2,925,659 | 5.000% due 12/1/34 — 11/1/52 |
2,904,025 | ||||||||
| 30,398,306 | 2.000% due 3/1/36 — 4/1/52. |
25,018,088 | ||||||||
| 21,402 | 6.000% due 5/1/38 — 6/1/39. |
22,085 | ||||||||
| 6,077 | 7.000% due 3/1/39 |
6,493 | ||||||||
| 62,819 | 6.500% due 9/1/39 |
65,711 | ||||||||
| 6,591,638 | 4.000% due 9/1/40 — 1/1/53. |
6,335,397 | ||||||||
| 2,350,995 | 1.500% due 10/1/41 — 11/1/50 |
1,845,083 | ||||||||
| 93,756 | 2.091% (5-Year CMT Index + 1.285%) due 3/1/47(c) |
88,311 | ||||||||
| 179,698 | 2.877% (1-Year USD-LIBOR + 1.619%) due 11/1/47(c) |
172,221 | ||||||||
See Notes to Financial Statements.
166
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| MORTGAGE-BACKED SECURITIES — 27.7% — (continued) | ||||||||||
| FHLMC — 5.5% — (continued) | ||||||||||
| $ | 508,754 | 3.007% (1-Year USD-LIBOR + 1.628%) due 11/1/48(c) |
$ | 479,932 | ||||||
| 120,208 | 3.096% (1-Year USD-LIBOR + 1.621%) due 2/1/50(c) |
114,829 | ||||||||
|
|
|
|||||||||
| Total FHLMC | 83,224,022 | |||||||||
|
|
|
|||||||||
| FNMA — 17.5% | ||||||||||
| Federal National Mortgage Association (FNMA): | ||||||||||
| 1,165,331 | 5.000% due 5/1/23 — 9/1/52. |
1,159,354 | ||||||||
| 6,371,199 | 4.500% due 3/1/24 — 8/1/58. |
6,232,273 | ||||||||
| 7,859,662 | 4.000% due 4/1/24 — 6/1/57. |
7,492,257 | ||||||||
| 16,181,563 | 3.500% due 11/1/25 — 12/1/52 |
15,014,910 | ||||||||
| 981,155 | 5.500% due 3/1/26 — 9/1/56. |
1,000,431 | ||||||||
| 41,262,864 | 2.500% due 11/1/27 — 9/1/61 |
35,326,440 | ||||||||
| 28,861,719 | 3.000% due 12/1/27 — 10/1/52 |
25,846,261 | ||||||||
| 75,998 | 3.160% due 5/1/29 |
70,205 | ||||||||
| 436,561 | 2.930% due 6/1/30 |
397,465 | ||||||||
| 458,152 | 2.149% due 2/1/32(c) |
382,340 | ||||||||
| 200,000 | 3.840% due 7/1/32 — 8/1/32. |
191,749 | ||||||||
| 200,000 | 3.890% due 7/1/32 |
189,162 | ||||||||
| 100,000 | 4.060% due 7/1/32 |
95,876 | ||||||||
| 100,000 | 3.740% due 9/1/32 |
95,107 | ||||||||
| 200,000 | 3.980% due 10/1/32. |
190,535 | ||||||||
| 100,000 | 4.260% due 11/1/32. |
99,243 | ||||||||
| 100,000 | 4.370% due 11/1/32. |
100,119 | ||||||||
| 100,000 | 4.520% due 11/1/32. |
101,291 | ||||||||
| 100,000 | 4.410% due 12/1/32. |
100,237 | ||||||||
| 83,557 | 2.537% (1-Year USD-LIBOR + 1.537%) due 3/1/34(c) |
82,138 | ||||||||
| 756,111 | 6.000% due 8/1/34 — 11/1/52 |
768,033 | ||||||||
| 9,649 | 4.246% (1-Year Treasury Average Rate + 1.816%) due 10/1/35(c) |
9,443 | ||||||||
| 2,919 | 4.238% (1-Year Treasury Average Rate + 1.811%) due 11/1/35(c) |
2,849 | ||||||||
| 9,866 | 4.345% (1-Year Treasury Average Rate + 1.929%) due 11/1/35(c) |
9,704 | ||||||||
| 41,941,308 | 2.000% due 6/1/36 — 4/1/52. |
34,731,953 | ||||||||
| 4,724,199 | 1.500% due 9/1/36 — 8/1/51. |
3,994,664 | ||||||||
| 7,963 | 7.000% due 4/1/37 |
8,146 | ||||||||
| 38,549 | 2.640% (1-Year USD-LIBOR + 1.265%) due 5/1/37(c) |
37,834 | ||||||||
| 100,000 | 3.870% due 5/1/37 |
92,465 | ||||||||
| 314,566 | 6.500% due 9/1/37 — 2/1/53. |
325,508 | ||||||||
| 28,600,000 | 2.000% due 3/1/53 — 4/1/53(g) |
23,310,256 | ||||||||
| 30,075,000 | 2.500% due 3/1/53 — 4/1/53(g) |
25,494,881 | ||||||||
| 24,200,000 | 3.000% due 3/1/53(g) |
21,292,219 | ||||||||
| 6,900,000 | 3.500% due 3/1/53(g) |
6,284,391 | ||||||||
| 9,150,000 | 4.000% due 3/1/53(g) |
8,584,559 | ||||||||
| 21,375,000 | 4.500% due 3/1/53(g) |
20,590,554 | ||||||||
| 22,125,000 | 5.000% due 3/1/53(g) |
21,745,722 | ||||||||
| 1,200,000 | 5.500% due 3/1/53(g) |
1,198,160 | ||||||||
|
|
|
|||||||||
| Total FNMA. | 262,648,734 | |||||||||
|
|
|
|||||||||
| GNMA — 4.7% | ||||||||||
| Government National Mortgage Association (GNMA): |
| |||||||||
| 14,672 | 6.000% due 12/15/33 — 6/15/37 |
14,945 | ||||||||
| 269,869 | 5.000% due 10/15/34 — 9/15/40 |
271,327 | ||||||||
| 20,935 | 5.500% due 5/15/37 — 6/15/38 |
21,352 | ||||||||
| 34,480 | 6.500% due 1/15/38 — 10/15/38 |
35,728 | ||||||||
| 45,650 | 4.500% due 3/15/41. |
45,290 | ||||||||
| 361,621 | 4.000% due 6/15/41 — 11/15/45 |
349,243 | ||||||||
See Notes to Financial Statements.
167
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| MORTGAGE-BACKED SECURITIES — 27.7% — (continued) | ||||||||||
| GNMA — 4.7% — (continued) | ||||||||||
| $ | 181,665 | 3.000% due 9/15/42 — 10/15/42 |
$ | 167,788 | ||||||
| 108,931 | 3.500% due 6/15/48 — 5/15/50 |
102,947 | ||||||||
| Government National Mortgage Association II (GNMA): |
| |||||||||
| 5,725,000 | 2.500% due 3/20/53(g) |
4,954,331 | ||||||||
| 3,500,000 | 3.000% due 3/20/53(g) |
3,121,562 | ||||||||
| 2,000,000 | 3.500% due 3/20/53(g) |
1,838,828 | ||||||||
| 2,300,000 | 4.000% due 3/20/53(g) |
2,173,320 | ||||||||
| 5,275,000 | 4.500% due 3/20/53(g) |
5,111,083 | ||||||||
| 3,400,000 | 5.000% due 3/20/53(g) |
3,360,840 | ||||||||
| 1,300,000 | 5.500% due 3/20/53(g) |
1,305,117 | ||||||||
| 200,000 | 6.000% due 3/20/53(g) |
202,918 | ||||||||
| 40,725 | 6.000% due 7/20/37 — 11/20/40 |
42,951 | ||||||||
| 2,839,085 | 4.500% due 1/20/40 — 11/20/52 |
2,776,695 | ||||||||
| 742,189 | 5.000% due 7/20/40 — 11/20/52 |
739,808 | ||||||||
| 5,187,567 | 4.000% due 11/20/40 — 11/20/52. |
4,949,192 | ||||||||
| 12,115,844 | 3.000% due 1/20/43 — 6/20/52 |
10,871,050 | ||||||||
| 8,418,492 | 3.500% due 6/20/43 — 11/20/52 |
7,823,247 | ||||||||
| 15,752,305 | 2.500% due 9/20/50 — 4/20/52 |
13,691,855 | ||||||||
| 8,422,282 | 2.000% due 10/20/50 — 4/20/52 |
7,085,680 | ||||||||
|
|
|
|||||||||
| Total GNMA. | 71,057,097 | |||||||||
|
|
|
|||||||||
| TOTAL MORTGAGE-BACKED SECURITIES (Cost — $448,712,527) |
416,929,853 | |||||||||
|
|
|
|||||||||
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS — 27.0% | ||||||||||
| U.S. GOVERNMENT AGENCIES — 0.4% | ||||||||||
| Federal Farm Credit Banks Funding Corp.: |
| |||||||||
| 135,000 | 3.500% due 9/1/32 |
125,457 | ||||||||
| 225,000 | 3.875% due 9/20/32. |
215,508 | ||||||||
| Federal Home Loan Banks: |
| |||||||||
| 4,250,000 | 1.200% due 12/23/24 |
3,963,591 | ||||||||
| 635,000 | 0.920% due 2/26/27. |
550,051 | ||||||||
| 345,000 | 4.000% due 9/1/28 |
337,494 | ||||||||
| Federal National Mortgage Association (FNMA), Principal Strip: |
| |||||||||
| 575,000 | zero coupon due 1/15/30(h). |
431,922 | ||||||||
| 595,000 | zero coupon due 5/15/30(h). |
434,824 | ||||||||
|
|
|
|||||||||
| Total U.S. GOVERNMENT AGENCIES. | 6,058,847 | |||||||||
|
|
|
|||||||||
| U.S. GOVERNMENT OBLIGATIONS — 26.6% | ||||||||||
| U.S. Treasury Bonds: |
| |||||||||
| 2,370,000 | 5.000% due 5/15/37. |
2,647,734 | ||||||||
| 2,835,000 | 4.375% due 2/15/38. |
2,967,448 | ||||||||
| 1,500,000 | 1.125% due 8/15/40. |
943,096 | ||||||||
| 620,000 | 1.375% due 11/15/40 |
406,596 | ||||||||
| 6,000,000 | 1.875% due 2/15/41. |
4,280,859 | ||||||||
| 100,000 | 2.250% due 5/15/41. |
75,867 | ||||||||
| 40,289,000 | 2.000% due 11/15/41 |
29,063,163 | ||||||||
| 2,270,000 | 3.125% due 11/15/41 |
1,980,220 | ||||||||
| 17,820,000 | 2.375% due 2/15/42. |
13,687,987 | ||||||||
| 180,000 | 3.250% due 5/15/42. |
158,843 | ||||||||
| 1,115,000 | 3.375% due 8/15/42. |
1,002,019 | ||||||||
| 4,725,000 | 4.000% due 11/15/42 |
4,648,957 | ||||||||
| 100,000 | 3.125% due 2/15/43. |
86,072 | ||||||||
| 1,790,000 | 3.875% due 2/15/43. |
1,733,363 | ||||||||
| 502,500 | 3.625% due 8/15/43. |
467,256 | ||||||||
See Notes to Financial Statements.
168
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||||
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS — 27.0% — (continued) | ||||||||||||
| U.S. GOVERNMENT OBLIGATIONS — 26.6% — (continued) | ||||||||||||
| $ | 11,510,000 | 3.750% due 11/15/43 |
$ | 10,892,911 | ||||||||
| 1,095,000 | 3.625% due 2/15/44. |
1,014,736 | ||||||||||
| 415,000 | 3.125% due 8/15/44. |
354,347 | ||||||||||
| 1,375,000 | 3.000% due 11/15/44 |
1,148,420 | ||||||||||
| 245,000 | 2.875% due 8/15/45. |
199,412 | ||||||||||
| 1,412,500 | 3.000% due 11/15/45 |
1,175,272 | ||||||||||
| 6,490,000 | 2.500% due 2/15/46. |
4,921,879 | ||||||||||
| 1,110,000 | 2.875% due 11/15/46 |
902,504 | ||||||||||
| 3,723,000 | 3.000% due 2/15/47. |
3,091,908 | ||||||||||
| 6,065,000 | 3.000% due 5/15/47. |
5,039,281 | ||||||||||
| 880,000 | 2.750% due 8/15/47. |
697,830 | ||||||||||
| 2,120,000 | 3.000% due 2/15/48. |
1,762,457 | ||||||||||
| 995,000 | 3.375% due 11/15/48 |
887,688 | ||||||||||
| 4,480,000 | 2.000% due 2/15/50. |
3,018,487 | ||||||||||
| 6,570,000 | 1.250% due 5/15/50. |
3,626,589 | ||||||||||
| 8,225,000 | 1.375% due 8/15/50. |
4,692,748 | ||||||||||
| 4,905,000 | 1.625% due 11/15/50 |
2,991,092 | ||||||||||
| 5,793,000 | 1.875% due 2/15/51. |
3,764,319 | ||||||||||
| 3,220,000 | 2.375% due 5/15/51. |
2,352,990 | ||||||||||
| 3,310,000 | 2.000% due 8/15/51. |
2,214,274 | ||||||||||
| 2,871,000 | 1.875% due 11/15/51 |
1,857,851 | ||||||||||
| 6,689,000 | 2.250% due 2/15/52. |
4,746,838 | ||||||||||
| 4,610,000 | 2.875% due 5/15/52. |
3,756,970 | ||||||||||
| 2,732,000 | 3.000% due 8/15/52. |
2,286,129 | ||||||||||
| 4,564,000 | 4.000% due 11/15/52 |
4,621,230 | ||||||||||
| 13,040,000 | 3.625% due 2/15/53. |
12,348,269 | ||||||||||
| U.S. Treasury Inflation Indexed Notes: |
| |||||||||||
| 1,386,189 | 0.625% due 7/15/32. |
1,283,345 | ||||||||||
| 2,490,950 | 1.125% due 1/15/33. |
2,406,928 | ||||||||||
| U.S. Treasury Notes: |
| |||||||||||
| 1,959,000 | 0.250% due 5/15/24. |
1,848,194 | ||||||||||
| 1,596,000 | 3.000% due 7/31/24. |
1,551,019 | ||||||||||
| 3,642,500 | 4.375% due 10/31/24 |
3,608,423 | ||||||||||
| 8,339,000 | 4.500% due 11/30/24 |
8,278,738 | ||||||||||
| 16,575,000 | 4.250% due 12/31/24 |
16,389,179 | ||||||||||
| 6,696,000 | 1.125% due 1/15/25. |
6,252,782 | ||||||||||
| 6,860,000 | 4.125% due 1/31/25. |
6,770,766 | ||||||||||
| 5,115,000 | 1.500% due 2/15/25. |
4,799,708 | ||||||||||
| 10,650,000 | 4.625% due 2/28/25. |
10,615,471 | ||||||||||
| 40,000 | 0.250% due 5/31/25. |
36,237 | ||||||||||
| 520,000 | 2.875% due 6/15/25. |
499,830 | ||||||||||
| 533,000 | 3.125% due 8/15/25. |
514,616 | ||||||||||
| 4,965,000 | 3.500% due 9/15/25. |
4,835,348 | ||||||||||
| 365,000 | 0.250% due 9/30/25. |
327,252 | ||||||||||
| 2,570,000 | 0.250% due 10/31/25 |
2,295,632 | ||||||||||
| 4,663,000 | 4.500% due 11/15/25 |
4,655,720 | ||||||||||
| 1,610,000 | 0.375% due 11/30/25 |
1,438,497 | ||||||||||
| 620,000 | 0.375% due 12/31/25 |
553,229 | ||||||||||
| 375,000 | 0.375% due 1/31/26. |
333,179 | ||||||||||
| 29,411,000 | 4.000% due 2/15/26. |
29,004,301 | ||||||||||
| 4,214,000 | 0.500% due 2/28/26. |
3,747,085 | ||||||||||
| 4,020,000 | 0.750% due 3/31/26. |
3,597,586 | ||||||||||
| 7,966,000 | 0.750% due 4/30/26. |
7,102,498 | ||||||||||
| 20,000 | 0.875% due 6/30/26. |
17,826 | ||||||||||
See Notes to Financial Statements.
169
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS — 27.0% — (continued) | ||||||||||
| U.S. GOVERNMENT OBLIGATIONS — 26.6% — (continued) | ||||||||||
| $ | 770,000 | 1.875% due 2/28/27. |
$ | 701,301 | ||||||
| 100,000 | 2.625% due 5/31/27. |
93,586 | ||||||||
| 1,175,000 | 2.750% due 7/31/27. |
1,103,903 | ||||||||
| 2,160,000 | 3.125% due 8/31/27. |
2,061,408 | ||||||||
| 12,103,000 | 4.125% due 10/31/27 |
12,041,776 | ||||||||
| 8,803,000 | 3.875% due 11/30/27 |
8,677,317 | ||||||||
| 13,075,000 | 3.875% due 12/31/27 |
12,883,165 | ||||||||
| 6,260,000 | 0.750% due 1/31/28. |
5,312,930 | ||||||||
| 19,277,000 | 3.500% due 1/31/28. |
18,692,990 | ||||||||
| 223,000 | 1.125% due 2/29/28. |
192,520 | ||||||||
| 34,725,000 | 4.000% due 2/29/28. |
34,465,919 | ||||||||
| 2,190,000 | 1.250% due 4/30/28. |
1,894,949 | ||||||||
| 565,000 | 1.125% due 8/31/28. |
481,618 | ||||||||
| 235,000 | 1.500% due 11/30/28 |
203,514 | ||||||||
| 2,389,000 | 1.375% due 12/31/28 |
2,052,207 | ||||||||
| 415,000 | 2.375% due 3/31/29. |
376,077 | ||||||||
| 285,000 | 3.875% due 9/30/29. |
281,137 | ||||||||
| 3,010,000 | 4.000% due 10/31/29 |
2,991,893 | ||||||||
| 5,632,000 | 3.875% due 11/30/29 |
5,558,960 | ||||||||
| 612,000 | 3.875% due 12/31/29 |
604,446 | ||||||||
| 425,000 | 3.500% due 1/31/30. |
410,391 | ||||||||
| 1,130,000 | 4.000% due 2/28/30. |
1,125,498 | ||||||||
| 812,000 | 1.375% due 11/15/31 |
660,638 | ||||||||
| 1,127,000 | 2.875% due 5/15/32. |
1,036,026 | ||||||||
| 7,094,000 | 4.125% due 11/15/32 |
7,202,664 | ||||||||
| 7,748,000 | 3.500% due 2/15/33. |
7,485,294 | ||||||||
| 2,020,000 | U.S. Treasury Strip Principal, zero coupon due 5/15/49(h) | 730,006 | ||||||||
|
|
|
|||||||||
| Total U.S. GOVERNMENT OBLIGATIONS | 400,601,433 | |||||||||
|
|
|
|||||||||
| TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS (Cost — $450,649,600) |
406,660,280 | |||||||||
|
|
|
|||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% | ||||||||||
| 755,564 | Aaa(b) | 321 Henderson Receivables V LLC, Series 2008-3A, Class A1, 8.000% due 6/15/45(a) | 799,462 | |||||||
| 324,947 | BB+ | Accredited Mortgage Loan Trust, Series 2007-1, Class A4, 4.837% |
322,348 | |||||||
| 67,271 | CC | AFC Home Equity Loan Trust, Series 1999-2, Class 2A, 5.267% |
48,601 | |||||||
| 1,100,000 | Aaa(b) | AGL CLO 1 Ltd., Series 2019-1A, Class AR, 5.988% |
1,083,379 | |||||||
| 1,200,000 | AAA | AIG CLO LLC, Series 2018-1A, Class A1R, 5.928% |
1,191,446 | |||||||
| 1,000,000 | AAA | Allegro CLO XI Ltd., Series 2019-2A, Class A1A, 6.188% |
993,534 | |||||||
| 702,216 | CCC | Alternative Loan Trust, Series 2005-56, Class 4A1, 5.237% |
619,734 | |||||||
| 956,830 | AA | American Home Mortgage Investment Trust, Series 2004-3, Class 4A, 3.603% |
948,847 | |||||||
| 904,470 | AAA(i) | Angel Oak Mortgage Trust, Series 2023-1, Class A1, step bond to yield, 4.750% due 9/26/67(a) |
870,407 | |||||||
| 673,200 | BBB | Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I, 4.194% due 6/5/49(a) |
655,473 | |||||||
| 210,000 | Baa2(b) | Aqua Finance Trust, Series 2020-AA, Class C, 3.970% due 7/17/46(a). |
178,074 | |||||||
| 1,990,000 | Aaa(b) | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL4, Class A, 5.938% |
1,982,511 | |||||||
See Notes to Financial Statements.
170
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | ||||||||||
| $ | 207,024 | AAA | Ares XLII CLO Ltd., Series 2017-42A, Class AR, 5.735% |
$ | 205,227 | |||||
| Asset-Backed Securities Corp. Home Equity Loan Trust: |
| |||||||||
| 403,246 | BBB | Series 2007-HE1, Class A1B, 3.347% (1-Month USD-LIBOR + 0.150%) due 12/25/36(c) |
382,628 | |||||||
| 469,520 | CCC | Series 2007-HE1, Class A4, 3.538% (1-Month USD-LIBOR + 0.140%) due 12/25/36(c) |
454,038 | |||||||
| 260,000 | AAA | Bain Capital Credit CLO, Series 2018-1A, Class A1, 5.775% |
257,204 | |||||||
| 290,000 | AAA | Bain Capital Credit CLO Ltd., Series 2021-4A, Class A1, 5.978% |
285,644 | |||||||
| BAMLL Commercial Mortgage Securities Trust: |
| |||||||||
| 480,000 | AA- | Series 2015-200P, Class B, 3.490% due 4/14/33(a) |
442,826 | |||||||
| 420,000 | AAA(i) | Series 2018-PARK, Class A, 4.091% due 8/10/38(a)(c) |
378,985 | |||||||
| 820,000 | AAA | Series 2019-BPR, Class AMP, 3.287% due 11/5/32(a) |
751,729 | |||||||
| 19,902 | AA+ | Banc of America Mortgage Trust, Series 2004-F, Class 1A1, 3.684% due 7/25/34(c) | 18,099 | |||||||
| 1,060,000 | Aaa(b) | BANK, Series 2017-BNK7, Class A4, 3.175% due 9/15/60 | 971,439 | |||||||
| 500,000 | Aaa(b) | Barclays Commercial Mortgage Trust, Series 2019-C4, Class A5, 2.919% due 8/15/52 | 438,507 | |||||||
| 186,404 | AAA | Barings CLO Ltd., Series 2013-IA, Class AR, 5.608% |
186,404 | |||||||
| BBCMS Mortgage Trust: |
| |||||||||
| 550,000 | AAA | Series 2020-C6, Class A4, 2.639% due 2/15/53 |
470,060 | |||||||
| 280,000 | AAA | Series 2022-C16, Class A5, 4.600% due 6/15/55(c) |
270,429 | |||||||
| 92,866 | WD(i) | Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-3, Class 1A1, 3.444% due 5/25/47(c) |
82,382 | |||||||
| 45,739 | CCC | Bear Stearns ALT-A Trust, Series 2005-4, Class 23A2, 3.586% due 5/25/35(c). | 42,841 | |||||||
| 263,818 | D | Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC6, Class 1A3, 5.500% due 9/25/35(c) | 235,368 | |||||||
| Benchmark Mortgage Trust: |
| |||||||||
| 348,000 | AAA | Series 2019-B13, Class A4, 2.952% due 8/15/57 |
304,980 | |||||||
| 2,182,613 | Aa1(b) | Series 2021-B28, Class XA, 1.281% due 8/15/54(c)(j) |
158,414 | |||||||
| 460,000 | AAA | Series 2021-B31, Class A5, 2.669% due 12/15/54 |
380,132 | |||||||
| 660,000 | Aaa(b) | Series 2022-B33, Class A5, 3.458% due 3/15/55 |
584,267 | |||||||
| 375,000 | Aaa(b) | Series 2022-B35, Class A5, 4.445% due 5/15/55(c) |
357,262 | |||||||
| 1,333,000 | AAA(i) | BFLD, Series 2019-DPLO, Class A, 5.678% |
1,320,478 | |||||||
| 650,000 | Aaa(b) | BLP Commercial Mortgage Trust, Series 2023-IND, Class A, 6.227% |
650,792 | |||||||
| 320,000 | AAA | BlueMountain CLO XXII Ltd., Series 2018-22A, Class A1, 5.872% |
317,085 | |||||||
| 758,113 | AAA | BlueMountain Fuji US CLO I Ltd., Series 2017-1A, Class A1R, 5.788% |
752,493 | |||||||
| 280,000 | AAA | BMO Mortgage Trust, Series 2022-C1, Class A5, 3.374% due 2/15/55(c) | 244,943 | |||||||
| BRAVO Residential Funding Trust: | ||||||||||
| 2,001,608 | NR | Series 2021-A, Class A1, step bond to yield, 1.991% due 10/25/59(a) |
1,877,023 | |||||||
| 667,915 | AAA(i) | Series 2022-NQM3, Class A1, 5.108% due 7/25/62(a)(c) |
650,784 | |||||||
| 500,000 | AAA | Buttermilk Park CLO Ltd., Series 2018-1A, Class A1, 5.892% |
496,918 | |||||||
| BX Commercial Mortgage Trust: | ||||||||||
| 890,000 | Aaa(b) | Series 2021-CIP, Class A, 5.509% (1-Month USD-LIBOR + 0.921%) due 12/15/38(a)(c) |
875,446 | |||||||
| 278,015 | A3(b) | Series 2021-XL2, Class D, 5.985% (1-Month USD-LIBOR + 1.397%) due 10/15/38(a)(c) |
267,421 | |||||||
| BX Trust: | ||||||||||
| 220,000 | BBB- | Series 2021-ARIA, Class D, 6.483% (1-Month USD-LIBOR + 1.895%) due 10/15/36(a)(c) |
210,206 | |||||||
| 340,000 | AAA | Series 2021-RISE, Class A, 5.336% (1-Month USD-LIBOR + 0.748%) due 11/15/36(a)(c) |
333,158 | |||||||
| 308,084 | Aaa(b) | Series 2022-IND, Class A, 6.053% (1-Month Term SOFR + 1.491%) due 4/15/37(a)(c) |
307,837 | |||||||
| 1,190,000 | NR | CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class F, 7.138% |
1,165,648 | |||||||
| 940,000 | AAA | Cantor Commercial Real Estate Lending, Series 2019-CF3, Class A4, 3.006% due 1/15/53 | 819,918 | |||||||
See Notes to Financial Statements.
171
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | ||||||||||
| CD Mortgage Trust: | ||||||||||
| $ | 1,460,000 | Aa3(b) | Series 2017-CD3, Class AS, 3.833% due 2/10/50 |
$ | 1,283,735 | |||||
| 1,629,414 | AA+ | Series 2017-CD4, Class XA, 1.226% due 5/10/50(c)(j) |
63,382 | |||||||
| 1,080,000 | AAA | Cedar Funding IX CLO Ltd., Series 2018-9A, Class A1, 5.788% |
1,071,563 | |||||||
| 37,949 | BB | Chase Mortgage Finance Trust, Series 2007-A1, Class 5A1, 3.726% due 2/25/37(c). | 35,467 | |||||||
| Chevy Chase Funding LLC Mortgage-Backed Certificates: | ||||||||||
| 227,664 | BBB | Series 2004-2A, Class A1, 4.887% (1-Month USD-LIBOR + 0.270%) due 5/25/35(a)(c) |
213,239 | |||||||
| 947,798 | WR(b) | Series 2004-2A, Class B1, 4.629% due 5/25/35(a)(c) |
743,183 | |||||||
| CIFC Funding Ltd.: | ||||||||||
| 950,000 | Aaa(b) | Series 2013-4A, Class A1RR, 5.875% (3-Month USD-LIBOR + 1.060%) due 4/27/31(a)(c) |
943,235 | |||||||
| 750,000 | AAA | Series 2014-5A, Class A1R2, 5.992% (3-Month USD-LIBOR + 1.200%) due 10/17/31(a)(c) |
745,374 | |||||||
| 250,000 | Aaa(b) | Series 2018-2A, Class A1, 5.848% (3-Month USD-LIBOR + 1.040%) due 4/20/31(a)(c) |
247,643 | |||||||
| CIM Trust: | ||||||||||
| 888,276 | NR | Series 2019-R4, Class A1, 3.000% due 10/25/59(a)(c) |
810,673 | |||||||
| 507,721 | NR | Series 2020-R6, Class A1A, 2.250% due 12/25/60(a)(c) |
430,917 | |||||||
| 2,115,290 | NR | Series 2021-R1, Class A2, 2.400% due 8/25/56(a)(c) |
1,823,634 | |||||||
| 1,064,459 | NR | Series 2021-R3, Class A1A, 1.951% due 6/25/57(a)(c) |
939,617 | |||||||
| 1,269,998 | NR | Series 2021-R4, Class A1A, 2.000% due 5/1/61(a)(c) |
1,096,199 | |||||||
| 2,161,498 | NR | Series 2021-R5, Class A1, 2.000% due 8/25/61(a)(c) |
1,771,682 | |||||||
| 2,574,027 | NR | Series 2023-R1, Class A1A, 5.400% due 4/25/62(a)(c)(k) |
2,493,717 | |||||||
| Citigroup Commercial Mortgage Trust: | ||||||||||
| 140,000 | Aaa(b) | Series 2013-375P, Class A, 3.251% due 5/10/35(a) |
133,525 | |||||||
| 575,000 | Aaa(b) | Series 2015-P1, Class A5, 3.717% due 9/15/48 |
549,345 | |||||||
| 285,000 | Aa3(b) | Series 2016-C2, Class B, 3.176% due 8/10/49 |
253,719 | |||||||
| 740,000 | Aaa(b) | Series 2016-C3, Class A3, 2.896% due 11/15/49 |
678,464 | |||||||
| 500,000 | Aaa(b) | Series 2016-P5, Class A4, 2.941% due 10/10/49 |
458,955 | |||||||
| 286,666 | Aaa(b) | Series 2017-P7, Class AAB, 3.509% due 4/14/50 |
274,650 | |||||||
| 1,651,640 | CC | Citigroup Mortgage Loan Trust, Series 2006-AR6, Class 2A4, 5.057% |
544,496 | |||||||
| 915,001 | AAA(i) | COLT Mortgage Loan Trust, Series 2021-2, Class A1, 0.924% due 8/25/66(a)(c) | 728,045 | |||||||
| Commercial Mortgage Trust: | ||||||||||
| 190,000 | A-(i) | Series 2013-300P, Class B, 4.394% due 8/10/30(a)(c) |
184,427 | |||||||
| 260,000 | D | Series 2013-CR9, Class E, 4.291% due 7/10/45(a)(c) |
144,680 | |||||||
| 534,833 | Aaa(b) | Series 2013-CR11, Class A3, 3.983% due 8/10/50 |
530,096 | |||||||
| 40,000 | Baa3(b) | Series 2013-CR12, Class B, 4.762% due 10/10/46(c) |
34,025 | |||||||
| 20,000 | B2(b) | Series 2013-CR12, Class C, 5.020% due 10/10/46(c) |
13,669 | |||||||
| 143,000 | Baa3(b) | Series 2014-CR17, Class C, 4.781% due 5/10/47(c) |
129,801 | |||||||
| 140,000 | AAA | Series 2014-CR18, Class A5, 3.828% due 7/15/47 |
135,957 | |||||||
| 51,154 | AAA | Series 2014-CR18, Class ASB, 3.452% due 7/15/47 |
50,883 | |||||||
| 210,000 | A-(i) | Series 2014-CR21, Class C, 4.410% due 12/10/47(c) |
194,757 | |||||||
| 345,000 | Aaa(b) | Series 2014-LC17, Class A5, 3.917% due 10/10/47 |
334,736 | |||||||
| 2,748,353 | Aa1(b) | Series 2015-CR25, Class XA, 0.799% due 8/10/48(c)(j) |
44,318 | |||||||
| 175,000 | Aaa(b) | Series 2015-CR26, Class A4, 3.630% due 10/10/48 |
166,865 | |||||||
| 465,000 | Aaa(b) | Series 2018-COR3, Class A3, 4.228% due 5/10/51 |
439,588 | |||||||
| 1,110,000 | BBB- | Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M2, 7.584% |
1,123,120 | |||||||
| 169,690 | AA | Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A2, 5.417% |
159,481 | |||||||
| Countrywide Home Loan Mortgage Pass-Through Trust: | ||||||||||
| 48,911 | WR(b) | Series 2005-11, Class 3A3, 3.192% due 4/25/35(c) |
35,874 | |||||||
| 42,904 | WR(b) | Series 2005-11, Class 6A1, 5.217% (1-Month USD-LIBOR + 0.600%) due 3/25/35(c) |
29,630 | |||||||
| Credit Suisse Commercial Mortgage Capital Trust: | ||||||||||
| 1,260,000 | CCC | Series 2014-USA, Class F, 4.373% due 9/15/37(a) |
670,960 | |||||||
See Notes to Financial Statements.
172
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | ||||||||||
| $ | 567,351 | AAA(i) | Series 2018-J1, Class A2, 3.500% due 2/25/48(a)(c) |
$ | 505,357 | |||||
| 1,735,480 | NR | Series 2020-RPL3, Class A1, 2.691% due 3/25/60(a)(c) |
1,686,306 | |||||||
| 158,409 | AAA(i) | Series 2021-NQM7, Class A1, 1.756% due 10/25/66(a)(c) |
131,387 | |||||||
| 2,335,856 | NR | Series 2021-RPL4, Class A1, 1.796% due 12/27/60(a)(c) |
2,153,613 | |||||||
| 1,912,178 | NR | Series 2022-RPL3, Class A1, 3.674% due 3/25/61(a)(c) |
1,891,179 | |||||||
| 34,368 | WR(b) | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-6, Class 8A1, 4.500% due 7/25/20. |
29,495 | |||||||
| Credit Suisse Mortgage Capital Certificates: |
| |||||||||
| 658,362 | Aaa(b) | Series 2019-ICE4, Class A, 5.568% (1-Month USD-LIBOR + 0.980%) due 5/15/36(a)(c) |
655,321 | |||||||
| 947,642 | Ba3(b) | Series 2019-ICE4, Class F, 7.238% (1-Month USD-LIBOR + 2.650%) due 5/15/36(a)(c) |
935,624 | |||||||
| CSAIL Commercial Mortgage Trust: |
| |||||||||
| 295,000 | Aaa(b) | Series 2015-C1, Class A4, 3.505% due 4/15/50 |
281,769 | |||||||
| 270,000 | Aaa(b) | Series 2015-C3, Class A4, 3.718% due 8/15/48 |
258,120 | |||||||
| 1,000,000 | Aaa(b) | Series 2016-C5, Class A5, 3.757% due 11/15/48 |
952,009 | |||||||
| 310,000 | Aaa(b) | Series 2018-CX12, Class A4, 4.224% due 8/15/51(c) |
292,585 | |||||||
| 180,000 | Aaa(b) | Series 2021-C20, Class A3, 2.805% due 3/15/54 |
151,339 | |||||||
| 280,000 | Aaa(b) | CSMC NET, Series 2020-NET, Class B, 2.816% due 8/15/37(a) | 253,801 | |||||||
| 3,304,823 | CCC | CWABS Asset-Backed Certificates Trust, Series 2004-7, Class MF2, 4.231% due 10/25/34(c) | 3,082,570 | |||||||
| 42,802 | B- | CWABS Asset-Backed Notes Trust, Series 2006-SD3, Class A1, 5.277% |
41,797 | |||||||
| 499,378 | CC | CWABS Revolving Home Equity Loan Trust, Series 2004-B, Class 2A, 4.808% |
444,519 | |||||||
| DBJPM Mortgage Trust: |
| |||||||||
| 350,000 | AA-(i) | Series 2016-C1, Class B, 4.195% due 5/10/49(c) |
317,573 | |||||||
| 230,000 | Aaa(b) | Series 2016-C3, Class A4, 2.632% due 8/10/49 |
210,928 | |||||||
| 390,000 | Aaa(b) | DC Office Trust, Series 2019-MTC, Class A, 2.965% due 9/15/45(a) | 318,144 | |||||||
| 250,000 | Aaa(b) | Dryden 60 CLO Ltd., Series 2018-60A, Class A, 5.842% |
248,159 | |||||||
| 675,330 | AAA | Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class A1LR, 6.064% |
672,054 | |||||||
| 23,719 | CCC | DSLA Mortgage Loan Trust, Series 2004-AR2, Class A2B, 5.391% |
21,972 | |||||||
| 81,864 | B- | Equifirst Mortgage Loan Trust, Series 2003-2, Class M2, 7.167% |
82,121 | |||||||
| 810,240 | Aaa(b) | Extended Stay America Trust, Series 2021-ESH, Class A, 5.668% |
799,002 | |||||||
| Federal Home Loan Mortgage Corp. (FHLMC), Interest Strips: |
| |||||||||
| 42,826 | NR | Series 334, Class S7, 1.512% (6.100% — 1-Month USD-LIBOR) due 8/15/44(j)(l) |
4,259 | |||||||
| 68,913 | NR | Series 353, Class S1, 1.412% (6.000% — 1-Month USD-LIBOR) due 12/15/46(j)(l) |
6,110 | |||||||
| Federal Home Loan Mortgage Corp. (FHLMC), REMICS: |
| |||||||||
| 1,258 | NR | Series 1865, Class DA, 22.073% (31.310% — 11th District Cost of Funds Index) due 2/15/24(j)(l) |
50 | |||||||
| 6,281 | NR | Series 3451, Class SB, 1.442% (6.030% — 1-Month USD-LIBOR) due 5/15/38(j)(l) |
420 | |||||||
| 39,760 | NR | Series 3621, Class SB, 1.642% (6.230% — 1-Month USD-LIBOR) due 1/15/40(j)(l) |
3,292 | |||||||
| 555,000 | NR | Series 3743, Class PB, 4.500% due 10/15/40 |
547,085 | |||||||
| 478,913 | NR | Series 3866, Class SA, 1.362% (5.950% — 1-Month USD-LIBOR) due 5/15/41(j)(l) |
22,584 | |||||||
| 112,198 | NR | Series 3947, Class SG, 1.362% (5.950% — 1-Month USD-LIBOR) due 10/15/41(j)(l) |
8,733 | |||||||
| 12,518 | NR | Series 3973, Class SA, 1.902% (6.490% — 1-Month USD-LIBOR) due 12/15/41(j)(l) |
1,269 | |||||||
| 123,951 | NR | Series 4203, Class PS, 1.662% (6.250% — 1-Month USD-LIBOR) due 9/15/42(j)(l) |
7,925 | |||||||
| 106,738 | NR | Series 4210, Class Z, 3.000% due 5/15/43 |
85,620 | |||||||
| 36,803 | NR | Series 4239, Class IO, 3.500% due 6/15/27(j) |
1,537 | |||||||
| 358,217 | NR | Series 4316, Class XZ, 4.500% due 3/15/44 |
344,957 | |||||||
| 39,313 | NR | Series 4335, Class SW, 1.412% (6.000% — 1-Month USD-LIBOR) due 5/15/44(j)(l) |
3,262 | |||||||
| 386,050 | NR | Series 4391, Class MZ, 3.000% due 9/15/44 |
337,084 | |||||||
See Notes to Financial Statements.
173
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | ||||||||||
| $ | 909,214 | NR | Series 4639, Class HZ, step bond to yield, 3.250% due 4/15/53 |
$ | 737,700 | |||||
| 154,543 | NR | Series 4879, Class BC, 3.000% due 4/15/49 |
135,694 | |||||||
| 68,753 | NR | Series 5010, Class IK, 2.500% due 9/25/50(j) |
10,110 | |||||||
| 245,037 | NR | Series 5010, Class JI, 2.500% due 9/25/50(j) |
38,451 | |||||||
| 83,467 | NR | Series 5013, Class IN, 2.500% due 9/25/50(j) |
12,738 | |||||||
| 172,093 | NR | Series 5018, Class MI, 2.000% due 10/25/50(j) |
23,127 | |||||||
| 73,829 | NR | Series 5040, Class IB, 2.500% due 11/25/50(j) |
10,823 | |||||||
| 1,057,104 | NR | Series 5085, Class NI, 2.000% due 3/25/51(j) |
118,899 | |||||||
| 364,981 | NR | Series 5140, Class NI, 2.500% due 5/25/49(j) |
51,173 | |||||||
| 461,137 | NR | Series 5148, Class BI, 2.500% due 1/25/49(j) |
59,960 | |||||||
| 186,075 | NR | Series 5148, Class CI, 2.000% due 6/25/49(j) |
20,151 | |||||||
| 500,000 | NR | Series 5224, Class HL, 4.000% due 4/25/52 |
453,535 | |||||||
| 39,553 | NR | Series R007, Class ZA, 6.000% due 5/15/36 |
40,607 | |||||||
| 332,200 | BBB+ | Federal Home Loan Mortgage Corp. (FHLMC), Structured Agency Credit Risk REMIC, Series 2021-DNA1, Class M2, 6.284% (30-Day Average SOFR + 1.800%) due 1/25/51(a)(c) |
330,856 | |||||||
| Federal National Mortgage Association (FNMA), ACES: |
| |||||||||
| 3,393,148 | NR | Series 2015-M7, Class X2, 0.474% due 12/25/24(c)(j) |
19,949 | |||||||
| 14,092,599 | NR | Series 2015-M8, Class X2, 0.061% due 1/25/25(c)(j) |
18,925 | |||||||
| 87,044 | NR | Series 2017-M8, Class A2, 3.061% due 5/25/27(c) |
81,953 | |||||||
| 187,741 | NR | Series 2019-M19, Class A2, 2.560% due 9/25/29 |
167,350 | |||||||
| 101,064 | NR | Series 2019-M28, Class AV, 2.232% due 2/25/27 |
93,112 | |||||||
| 552,763 | NR | Series 2020-M36, Class X1, 1.498% due 9/25/34(c)(j) |
35,946 | |||||||
| 245,000 | NR | Series 2021-M2S, Class A2, 1.807% due 10/25/31(c) |
199,018 | |||||||
| 425,000 | NR | Series 2022-M5, Class A3, 2.368% due 1/1/34(c) |
348,462 | |||||||
| 265,000 | NR | Series 2022-M10, Class A2, 1.938% due 1/25/32(c) |
216,448 | |||||||
| 525,525 | AAA(i) | Federal National Mortgage Association (FNMA), Connecticut Avenue Securities, Series 2014-C02, Class 1M2, 7.217% (1-Month USD-LIBOR + 2.600%) due 5/25/24(c) |
532,002 | |||||||
| Federal National Mortgage Association (FNMA), Grantor Trust: |
| |||||||||
| 43,916 | NR | Series 2000-T6, Class A3, 4.238% due 11/25/40(c) |
43,064 | |||||||
| 99,394 | NR | Series 2017-T1, Class A, 2.898% due 6/25/27 |
92,186 | |||||||
| Federal National Mortgage Association (FNMA), Interest Strip: |
| |||||||||
| 49,921 | NR | Series 409, Class C13, 3.500% due 11/25/41(j) |
7,981 | |||||||
| 107,366 | NR | Series 409, Class C18, 4.000% due 4/25/42(j) |
20,163 | |||||||
| 14,128 | NR | Series 409, Class C22, 4.500% due 11/25/39(j) |
2,644 | |||||||
| Federal National Mortgage Association (FNMA), REMICS: |
| |||||||||
| 12,458 | NR | Series 2004-38, Class FK, 4.967% (1-Month USD-LIBOR + 0.350%) due 5/25/34(c) |
12,407 | |||||||
| 1,249 | NR | Series 2005-117, Class LC, 5.500% due 11/25/35 |
1,246 | |||||||
| 208,494 | NR | Series 2006-51, Class SP, 2.033% (6.650% — 1-Month USD-LIBOR) due 3/25/36(j)(l) |
6,815 | |||||||
| 127,358 | NR | Series 2007-68, Class SC, 2.083% (6.700% — 1-Month USD-LIBOR) due 7/25/37(j)(l) |
12,031 | |||||||
| 384,188 | NR | Series 2008-18, Class SM, 2.383% (7.000% — 1-Month USD-LIBOR) due 3/25/38(j)(l) |
17,326 | |||||||
| 306,968 | NR | Series 2011-8, Class ZA, 4.000% due 2/25/41 |
292,489 | |||||||
| 66,099 | NR | Series 2011-87, Class SG, 1.933% (6.550% — 1-Month USD-LIBOR) due 4/25/40(j)(l) |
1,632 | |||||||
| 770,000 | NR | Series 2011-131, Class PB, 4.500% due 12/25/41 |
758,514 | |||||||
| 65,155 | NR | Series 2012-35, Class SC, 1.883% (6.500% — 1-Month USD-LIBOR) due 4/25/42(j)(l) |
6,618 | |||||||
| 51,979 | NR | Series 2012-46, Class BA, 6.000% due 5/25/42 |
54,528 | |||||||
| 76,511 | NR | Series 2012-51, Class B, 7.000% due 5/25/42 |
81,703 | |||||||
| 61,252 | NR | Series 2012-74, Class SA, 2.033% (6.650% — 1-Month USD-LIBOR) due 3/25/42(j)(l) |
3,327 | |||||||
| 10,209 | NR | Series 2012-75, Class AO, zero coupon due 3/25/42(h) |
8,958 | |||||||
| 17,047 | NR | Series 2012-101, Class BI, 4.000% due 9/25/27(j) |
512 | |||||||
| 47,667 | NR | Series 2012-133, Class CS, 1.533% (6.150% — 1-Month USD-LIBOR) due 12/25/42(j)(l) |
4,613 | |||||||
| 190,901 | NR | Series 2013-9, Class BC, 6.500% due 7/25/42 |
201,982 | |||||||
| 157,678 | NR | Series 2013-9, Class CB, 5.500% due 4/25/42 |
160,165 | |||||||
| 37,574 | NR | Series 2013-54, Class BS, 1.533% (6.150% — 1-Month USD-LIBOR) due 6/25/43(j)(l) |
3,844 | |||||||
| 32,294 | NR | Series 2013-73, Class IA, 3.000% due 9/25/32(j) |
1,924 | |||||||
| 627,319 | NR | Series 2014-6, Class Z, 2.500% due 2/25/44 |
532,215 | |||||||
See Notes to Financial Statements.
174
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | ||||||||||
| $ | 259,936 | NR | Series 2015-65, Class CZ, 3.500% due 9/25/45 |
$ | 223,501 | |||||
| 107,753 | NR | Series 2018-55, Class PA, 3.500% due 1/25/47 |
103,301 | |||||||
| 58,454 | NR | Series 2018-57, Class QA, 3.500% due 5/25/46 |
56,817 | |||||||
| 89,382 | NR | Series 2018-94, Class KD, 3.500% due 12/25/48 |
82,978 | |||||||
| 210,947 | NR | Series 2020-47, Class GZ, 2.000% due 7/25/50 |
125,717 | |||||||
| 700,000 | NR | Series 2020-56, Class AQ, 2.000% due 8/25/50 |
553,061 | |||||||
| 158,609 | NR | Series 2020-56, Class DI, 2.500% due 8/25/50(j) |
24,526 | |||||||
| 545,661 | NR | Series 2021-61, Class KI, 2.500% due 4/25/49(j) |
77,859 | |||||||
| 374,267 | NR | Series 2021-69, Class IJ, 2.500% due 1/25/49(j) |
48,608 | |||||||
| FHLMC Multifamily Structured Pass-Through Certificates: | ||||||||||
| 2,500,000 | AAA(i) | Series K104, Class XAM, 1.386% due 1/25/30(c)(j) |
196,466 | |||||||
| 440,000 | AAA(i) | Series K144, Class A2, 2.450% due 4/25/32 |
375,625 | |||||||
| 967,240 | AAA(i) | Series K736, Class X1, 1.288% due 7/25/26(c)(j) |
33,964 | |||||||
| 3,997,018 | AAA(i) | Series K743, Class X1, 0.925% due 5/25/28(c)(j) |
159,212 | |||||||
| 185,657 | NR | Series KIR2, Class A1, 2.748% due 3/25/27 |
176,725 | |||||||
| First Franklin Mortgage Loan Trust: | ||||||||||
| 1,007,692 | CC | Series 2006-FF13, Class A2D, 5.097% (1-Month USD-LIBOR + 0.480%) due 10/25/36(c) |
689,883 | |||||||
| 507,807 | CCC | Series 2006-FF15, Class A2, 4.737% (1-Month USD-LIBOR + 0.120%) due 11/25/36(c) |
470,914 | |||||||
| 1,100,000 | Aaa(b) | Flatiron CLO 21 Ltd., Series 2021-1A, Class A1, 5.908% |
1,082,772 | |||||||
| Freddie Mac Multifamily Structured Pass Through Certificates: | ||||||||||
| 1,240,000 | Aaa(b) | Series K146, Class A2, 2.920% due 6/25/32 |
1,094,721 | |||||||
| 736,000 | Aaa(b) | Series K148, Class A2, 3.500% due 7/25/32(c) |
680,980 | |||||||
| 320,000 | AAA(i) | Series K-152, Class A2, 3.780% due 11/25/32(c) |
302,799 | |||||||
| Freddie Mac STACR REMIC Trust: |
| |||||||||
| 869,076 | BBB | Series 2021-DNA5, Class M2, 6.134% (30-Day Average SOFR + 1.650%) due 1/25/34(a)(c) |
865,778 | |||||||
| 1,500,000 | BBB- | Series 2021-DNA6, Class M2, 5.984% (30-Day Average SOFR + 1.500%) due 10/25/41(a)(c) |
1,442,498 | |||||||
| 314,076 | NR | FREMF Mortgage Trust, Series 2019-KF58, Class B, 6.724% |
291,967 | |||||||
| 150,015 | NR | FRESB Mortgage Trust, Series 2019-SB60, Class A10H, 3.500% due 1/25/39(c) | 138,415 | |||||||
| 1,050,000 | AA | GoldentTree Loan Management US CLO 1 Ltd., Series 2021-11A, Class B, 6.408% |
1,026,886 | |||||||
| 288,154 | A(i) | GoodLeap Sustainable Home Solutions Trust, Series 2022-1GS, Class A, 2.700% due 1/20/49(a). |
233,097 | |||||||
| Government National Mortgage Association (GNMA): |
| |||||||||
| 247,091 | NR | Series 2007-51, Class SG, 1.982% (6.580% — 1-Month USD-LIBOR) due 8/20/37(j)(l) |
7,627 | |||||||
| 793,927 | NR | Series 2008-51, Class GS, 1.640% (6.230% — 1-Month USD-LIBOR) due 6/16/38(j)(l) |
53,075 | |||||||
| 5,626 | NR | Series 2010-85, Class HS, 2.052% (6.650% — 1-Month USD-LIBOR) due 1/20/40(j)(l) |
49 | |||||||
| 125,851 | NR | Series 2012-H27, Class AI, 1.621% due 10/20/62(c)(j) |
4,048 | |||||||
| 82,460 | NR | Series 2013-53, Class OI, 3.500% due 4/20/43(j) |
8,394 | |||||||
| 305,246 | NR | Series 2013-85, Class IA, 0.523% due 3/16/47(c)(j) |
2,862 | |||||||
| 76,938 | NR | Series 2013-107, Class AD, 2.845% due 11/16/47(c) |
69,515 | |||||||
| 87,736 | NR | Series 2014-105, Class IO, 0.121% due 6/16/54(c)(j) |
1,001 | |||||||
| 949,782 | NR | Series 2014-H20, Class FA, 4.822% (1-Month USD-LIBOR + 0.430%) due 10/20/64(c) |
944,066 | |||||||
| 46,115 | NR | Series 2015-167, Class OI, 4.000% due 4/16/45(j) |
8,365 | |||||||
| 155,224 | NR | Series 2015-167, Class SA, 1.652% (6.250% — 1-Month USD-LIBOR) due 11/20/45(j)(l) |
15,540 | |||||||
| 47,149 | NR | Series 2016-84, Class IG, 4.500% due 11/16/45(j) |
9,495 | |||||||
| 50,802 | NR | Series 2016-135, Class SB, 1.510% (6.100% — 1-Month USD-LIBOR) due 10/16/46(j)(l) |
6,707 | |||||||
| 67,288 | NR | Series 2017-187, Class SJ, 1.602% (6.200% — 1-Month USD-LIBOR) due 12/20/47(j)(l) |
5,533 | |||||||
| 446,341 | NR | Series 2017-H22, Class IC, 0.001% due 11/20/67(c)(j) |
14,069 | |||||||
| 85,580 | NR | Series 2018-124, Class NW, 3.500% due 9/20/48 |
80,502 | |||||||
| 118,306 | NR | Series 2019-12, Class QA, 3.500% due 9/20/48 |
112,750 | |||||||
| 301,955 | NR | Series 2019-86, Class C, 2.500% due 3/20/49 |
263,820 | |||||||
| 86,006 | NR | Series 2019-119, Class JE, 3.000% due 9/20/49 |
76,940 | |||||||
| 269,013 | NR | Series 2020-47, Class MI, 3.500% due 4/20/50(j) |
44,309 | |||||||
| 72,865 | NR | Series 2020-47, Class NI, 3.500% due 4/20/50(j) |
12,047 | |||||||
| 591,148 | NR | Series 2020-103, Class AD, 1.450% due 1/16/63 |
469,540 | |||||||
See Notes to Financial Statements.
175
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | ||||||||||
| $ | 79,139 | NR | Series 2020-123, Class IL, 2.500% due 8/20/50(j) |
$ | 11,097 | |||||
| 240,351 | NR | Series 2020-123, Class NI, 2.500% due 8/20/50(j) |
33,229 | |||||||
| 78,276 | NR | Series 2020-127, Class IN, 2.500% due 8/20/50(j) |
11,207 | |||||||
| 81,389 | NR | Series 2020-129, Class IE, 2.500% due 9/20/50(j) |
11,796 | |||||||
| 83,380 | NR | Series 2020-160, Class IH, 2.500% due 10/20/50(j) |
12,025 | |||||||
| 80,956 | NR | Series 2020-160, Class VI, 2.500% due 10/20/50(j) |
11,445 | |||||||
| 329,970 | NR | Series 2020-160, Class YI, 2.500% due 10/20/50(j) |
45,520 | |||||||
| 3,035,801 | NR | Series 2020-173, Class MI, 2.500% due 11/20/50(j) |
398,330 | |||||||
| 391,781 | NR | Series 2020-181, Class WI, 2.000% due 12/20/50(j) |
42,474 | |||||||
| 191,299 | NR | Series 2020-H09, Class FL, 5.542% (1-Month USD-LIBOR + 1.150%) due 5/20/70(c) |
190,239 | |||||||
| 49,514 | NR | Series 2020-H12, Class F, 4.892% (1-Month USD-LIBOR + 0.500%) due 7/20/70(c) |
48,325 | |||||||
| 260,039 | NR | Series 2020-H13, Class FA, 3.084% (1-Month USD-LIBOR + 0.450%) due 7/20/70(c) |
252,045 | |||||||
| 51,456 | NR | Series 2020-H13, Class FC, 3.567% (1-Month USD-LIBOR + 0.450%) due 7/20/70(c) |
49,952 | |||||||
| 146,547 | NR | Series 2021-14, Class AB, 1.340% due 6/16/63 |
116,230 | |||||||
| 428,319 | NR | Series 2021-115, Class MI, 2.500% due 5/20/51(j) |
47,007 | |||||||
| 2,687,555 | NR | Series 2021-133, Class IO, 0.880% due 7/16/63(c)(j) |
181,672 | |||||||
| 300,000 | NR | Series 2022-3, Class B, 1.850% due 2/16/61 |
176,649 | |||||||
| 1,372,275 | NR | Series 2022-3, Class IO, 0.640% due 2/16/61(c)(j) |
76,755 | |||||||
| 394,986 | NR | Series 2022-189, Class PT, 2.500% due 10/20/51 |
329,290 | |||||||
| 200,000 | NR | Series 2022-196, Class BE, 3.000% due 10/16/64(c) |
154,185 | |||||||
| 1,497,257 | NR | Series 2022-210, Class IO, 0.694% due 7/16/64(c)(j) |
102,477 | |||||||
| 1,498,213 | NR | Series 2022-216, Class IO, 0.751% due 7/16/65(c)(j) |
101,502 | |||||||
| GS Mortgage Securities Corp. Trust: | ||||||||||
| 643,227 | BBB- | Series 2018-SRP5, Class A, 6.388% (1-Month USD-LIBOR + 1.800%) due 9/15/31(a)(c) |
551,910 | |||||||
| 1,772,000 | AA-(i) | Series 2021-IP, Class B, 5.738% (1-Month USD-LIBOR + 1.150%) due 10/15/36(a)(c) |
1,659,338 | |||||||
| 370,000 | AAA | Series 2021-ROSS, Class A, 5.738% (1-Month USD-LIBOR + 1.150%) due 5/15/26(a)(c) |
351,573 | |||||||
| 210,256 | Aaa(b) | GS Mortgage Securities Trust, Series 2017-GS6, Class A2, 3.164% due 5/10/50 |
194,149 | |||||||
| 250,000 | AAA | Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class A1, 6.162% |
247,176 | |||||||
| Harborview Mortgage Loan Trust: | ||||||||||
| 53,747 | AA+ | Series 2004-5, Class 2A6, 3.470% due 6/19/34(c) |
50,749 | |||||||
| 36,408 | WD(i) | Series 2006-2, Class 1A, 4.525% due 2/25/36(c) |
11,888 | |||||||
| 669,099 | Caa2(b) | Series 2006-10, Class 1A1A, 4.791% (1-Month USD-LIBOR + 0.200%) due 11/19/36(c) |
538,915 | |||||||
| 391,121 | Aa2(b) | Hildene Community Funding CDO Ltd., Series 2015-1A, Class ARR, 2.600% due 11/1/35(a) | 343,698 | |||||||
| 780,000 | CC | Home Equity Asset Trust, Series 2005-6, Class M5, 5.562% |
726,479 | |||||||
| 1,189,391 | Aaa(b) | HPS Loan Management Ltd., Series 11A-17, Class AR, 5.826% |
1,180,315 | |||||||
| 46,069 | AA | Impac CMB Trust, Series 2007-A, Class A, 5.117% |
42,747 | |||||||
| 710,000 | AAA(i) | Independence Plaza Trust, Series 2018-INDP, Class A, 3.763% due 7/10/35(a). |
667,675 | |||||||
| Indymac Index Mortgage Loan Trust: | ||||||||||
| 898,324 | CCC | Series 2005-AR14, Class 2A1A, 5.217% (1-Month USD-LIBOR + 0.600%) due 7/25/35(c) |
735,508 | |||||||
| 25,683 | Caa2(b) | Series 2005-AR15, Class A2, 3.462% due 9/25/35(c) |
21,192 | |||||||
| 306,493 | NR | InStar Leasing III LLC, Series 2021-1A, Class A, 2.300% due 2/15/54(a). | 259,032 | |||||||
| 901,972 | CC | IXIS Real Estate Capital Trust, Series 2006-HE2, Class A3, 4.937% |
256,674 | |||||||
| JP Morgan Chase Commercial Mortgage Securities Trust: | ||||||||||
| 922,585 | Aaa(b) | Series 2016-JP2, Class A3, 2.559% due 8/15/49 |
845,559 | |||||||
| 1,710,000 | Caa3(b) | Series 2018-PHH, Class F, 7.898% (1-Month USD-LIBOR + 3.310%) due 6/15/35(a)(c)(e) |
336,552 | |||||||
| 365,000 | Aaa(b) | Series 2019-OSB, Class A, 3.397% due 6/5/39(a) |
321,708 | |||||||
| 250,000 | Baa1(b) | Series 2021-MHC, Class D, 6.288% (1-Month USD-LIBOR + 1.700%) due 4/15/38(a)(c) |
241,980 | |||||||
| 581,650 | CCC | JP Morgan Mortgage Acquisition Corp., Series 2006-FRE1, Class M1, 5.202% |
568,389 | |||||||
See Notes to Financial Statements.
176
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | ||||||||||
| $ | 880,000 | BB | JP Morgan Mortgage Acquisition Trust, Series 2007-CH2, Class MV2, 4.917% |
$ | 847,204 | |||||
| JP Morgan Mortgage Trust: | ||||||||||
| 152,879 | AA+ | Series 2018-3, Class A1, 3.500% due 9/25/48(a)(c) |
133,458 | |||||||
| 142,285 | AA+ | Series 2018-5, Class A1, 3.500% due 10/25/48(a)(c) |
126,056 | |||||||
| 31,386 | AAA | Series 2019-1, Class A11, 5.567% (1-Month USD-LIBOR + 0.950%) due 5/25/49(a)(c) |
30,444 | |||||||
| 1,700,323 | Aaa(b) | Series 2021-13, Class A3, 2.500% due 4/25/52(a)(c) |
1,387,597 | |||||||
| 41,802 | Aaa(b) | JP Morgan Trust, Series 2015-5, Class A9, 5.737% due 5/25/45(a)(c). | 41,222 | |||||||
| JPMBB Commercial Mortgage Securities Trust: | ||||||||||
| 40,000 | Aa3(b) | Series 2013-C17, Class B, 4.883% due 1/15/47(c) |
39,038 | |||||||
| 350,000 | B(i) | Series 2014-C23, Class E, 3.364% due 9/15/47(a)(c) |
285,129 | |||||||
| JPMDB Commercial Mortgage Securities Trust: | ||||||||||
| 340,000 | A(i) | Series 2017-C5, Class B, 4.009% due 3/15/50(c) |
293,680 | |||||||
| 190,000 | Aaa(b) | Series 2017-C7, Class A5, 3.409% due 10/15/50 |
175,256 | |||||||
| 130,000 | AA- | Series 2018-C8, Class B, 4.522% due 6/15/51 |
116,888 | |||||||
| 975,000 | A3(b) | KKR Industrial Portfolio Trust, Series 2021-KDIP, Class D, 5.927% |
947,167 | |||||||
| 890,000 | Aaa(b) | KREF Ltd., Series 2021-FL2, Class A, 5.671% |
873,527 | |||||||
| 1,200,000 | NR | KREST Commercial Mortgage Securities Trust, Series 2021-CHIP, |
879,671 | |||||||
| Legacy Mortgage Asset Trust: | ||||||||||
| 1,803,293 | NR | Series 2020-GS2, Class A1, step bond to yield, 2.750% due 3/25/60(a) |
1,801,154 | |||||||
| 767,803 | NR | Series 2021-GS2, Class A1, step bond to yield, 1.750% due 4/25/61(a) |
712,294 | |||||||
| 568,990 | NR | Series 2021-GS3, Class A1, step bond to yield, 1.750% due 7/25/61(a) |
520,646 | |||||||
| 491,485 | NR | Life Mortgage Trust, Series 2021-BMR, Class G, 7.538% |
474,314 | |||||||
| 260,680 | Baa2(b) | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class B, 3.432% due 10/15/46(a) |
208,407 | |||||||
| 1,295,000 | AAA | Madison Park Funding XLVIII Ltd., Series 2021-48A, Class A, 5.948% |
1,286,673 | |||||||
| 278,905 | AAA | Madison Park Funding XXVI Ltd., Series 2017-26A, Class AR, 6.002% |
277,738 | |||||||
| 671,875 | A | MAPS Trust, Series 2021-1A, Class A, 2.521% due 6/15/46(a). |
584,267 | |||||||
| 174,058 | WD(i) | MASTR Seasoned Securitization Trust, Series 2005-1, Class 4A1, 4.321% due 10/25/32(c) |
163,025 | |||||||
| 856,456 | A3(b) | Med Trust, Series 2021-MDLN, Class D, 6.588% |
829,986 | |||||||
| 207,782 | CC | Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4, 4.867% |
103,720 | |||||||
| 12,585 | WD(i) | Merrill Lynch Mortgage Investors Trust, Series 2004-A3, Class 4A3, 3.066% due 5/25/34(c) |
11,189 | |||||||
| 1,155,000 | Aaa(b) | MF1 Ltd., Series 2021-FL7, Class A, 5.671% |
1,134,658 | |||||||
| 250,000 | AAA(i) | MHC Commercial Mortgage Trust, Series 2021-MHC, Class A, 5.389% |
246,924 | |||||||
| 275,000 | AAA(i) | MKT Mortgage Trust, Series 2020-525M, Class A, 2.694% due 2/12/40(a) | 216,187 | |||||||
| ML-CFC Commercial Mortgage Trust: |
| |||||||||
| 31,377 | Ca(b) | Series 2007-5, Class AJ, 5.450% due 8/12/48(c) |
8,039 | |||||||
| 2,915 | WD(i) | Series 2007-9, Class AJ, 6.193% due 9/12/49(c) |
2,858 | |||||||
| Morgan Stanley Bank of America Merrill Lynch Trust: |
| |||||||||
| 500,000 | Aaa(b) | Series 2013-C13, Class A4, 4.039% due 11/15/46(m) |
493,171 | |||||||
| 512,158 | Aaa(b) | Series 2016-C28, Class A3, 3.272% due 1/15/49(m) |
482,203 | |||||||
| 570,000 | A3(b) | Mortgage Repurchase Agreement Financing Trust II, Series 2022-S1, Class A1, 6.368% |
574,055 | |||||||
| 227,530 | NR | Mosaic Solar Loan Trust, Series 2021-1A, Class D, 3.710% due 12/20/46(a) |
199,031 | |||||||
| 1,200,000 | Aaa(b) | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ARR, 5.952% |
1,186,514 | |||||||
See Notes to Financial Statements.
177
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | ||||||||||
| $ | 1,270,000 | A- | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class B1, 2.410% due 10/20/61(a) |
$ | 1,070,246 | |||||
| New Residential Mortgage Loan Trust: |
| |||||||||
| 138,712 | AAA | Series 2016-4A, Class A1, 3.750% due 11/25/56(a)(c) |
127,136 | |||||||
| 185,873 | NR | Series 2018-3A, Class A1, 4.500% due 5/25/58(a)(c) |
172,884 | |||||||
| 490,599 | Aaa(b) | Series 2019-6A, Class A1B, 3.500% due 9/25/59(a)(c) |
449,099 | |||||||
| 722,705 | AAA(i) | Series 2022-NQM4, Class A1, step bond to yield, 5.000% due 6/25/62(a) |
705,515 | |||||||
| 474,519 | Aaa(b) | Newark BSL CLO 1 Ltd., Series 2016-1A, Class A1R, 6.031% |
472,762 | |||||||
| 355,482 | AAA | Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A1, |
316,538 | |||||||
| 227,658 | AAA(i) | OBX Trust, Series 2022-NQM6, Class A1, step bond to yield, 4.700% due 7/25/62(a) | 219,506 | |||||||
| 500,000 | AAA | Octagon Investment Partners 36 Ltd., Series 2018-1A, Class A1, 5.762% |
497,145 | |||||||
| 1,000,000 | AAA | Octagon Investment Partners 46 Ltd., Series 2020-2A, Class AR, 5.952% |
985,000 | |||||||
| 500,000 | Aaa(b) | One Bryant Park Trust, Series 2019-OBP, Class A, 2.516% due 9/15/54(a). |
414,492 | |||||||
| 2,722,217 | AAA(i) | Onslow Bay Mortgage Loan Trust, Series 2021-NQM4, Class A1, 1.957% due 10/25/61(a)(c) |
2,223,505 | |||||||
| 1,650,000 | B+ | Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates, Series 2005-4, Class M2, 5.367% (1-Month USD-LIBOR + 0.750%) due 11/25/35(c) |
1,592,196 | |||||||
| 174,324 | BB+ | Option One Mortgage Loan Trust, Series 2004-3, Class M1, 5.397% |
167,968 | |||||||
| Palmer Square CLO Ltd.: |
| |||||||||
| 800,000 | AAA | Series 2014-1A, Class A1R2, 5.922% (3-Month USD-LIBOR + 1.130%) due 1/17/31(a)(c) |
796,249 | |||||||
| 1,150,000 | AAA | Series 2018-2A, Class A1A, 5.892% (3-Month USD-LIBOR + 1.100%) due 7/16/31(a)(c) |
1,142,651 | |||||||
| 540,000 | AAA | Series 2022-4A, Class A1A, 6.218% (3-Month Term SOFR + 2.150%) due 10/20/35(a)(c) |
544,505 | |||||||
| 1,656,296 | CCC | Park Place Securities Inc. Asset-Backed Pass-Through Certificates, Series 2004-WWF1, Class M5, 6.417% (1-Month USD-LIBOR + 1.800%) due 12/25/34(c) |
1,615,258 | |||||||
| PFS Financing Corp.: |
| |||||||||
| 400,000 | AAA | Series 2020-E, Class A, 1.000% due 10/15/25(a) |
388,623 | |||||||
| 190,000 | AAA | Series 2021-A, Class A, 0.710% due 4/15/26(a) |
179,963 | |||||||
| 540,000 | AAA | Series 2022-C, Class A, 3.890% due 5/15/27(a) |
522,053 | |||||||
| 788,000 | AAA | Series 2022-D, Class A, 4.270% due 8/15/27(a) |
767,968 | |||||||
| PMT Credit Risk Transfer Trust: | ||||||||||
| 266,611 | NR | Series 2019-2R, Class A, 7.267% (1-Month USD-LIBOR + 2.750%) due 5/27/23(a)(c) |
263,450 | |||||||
| 147,220 | NR | Series 2019-3R, Class A, 8.217% (1-Month USD-LIBOR + 3.700%) due 11/27/31(a)(c) |
144,454 | |||||||
| 1,453,723 | NR | PRET LLC, Series 2022-RN2, Class A1, step bond to yield, 5.000% due 6/25/52(a). | 1,351,281 | |||||||
| 1,668,774 | NR | Pretium Mortgage Credit Partners LLC, Series 2022-RN3, Class A1, 5.000% due 8/25/52(a)(c) | 1,541,764 | |||||||
| Prime Mortgage Trust: | ||||||||||
| 3,200 | WR(b) | Series 2006-DR1, Class 1A1, 5.500% due 5/25/35(a) |
3,186 | |||||||
| 502,422 | WR(b) | Series 2006-DR1, Class 2A1, 5.500% due 5/25/35(a) |
437,655 | |||||||
| 910,000 | AAA | PRKCM Trust, Series 2023-AFC1, Class A1, step bond to yield, 6.598% due 2/25/58(a). | 911,097 | |||||||
| 666,000 | NR | Progress Residential, Series 2021-SFR1, Class G, 3.861% due 4/17/38(a). | 586,342 | |||||||
| 2,900,000 | NR | Progress Residential Trust, Series 2021-SFR9, Class F, 4.053% due 11/17/40(a) | 2,417,056 | |||||||
| PRPM LLC: | ||||||||||
| 794,397 | NR | Series 2021-11, Class A1, step bond to yield, 2.487% due 11/25/26(a) |
746,388 | |||||||
| 941,174 | AAA(i) | Series 2022-NQM1, Class A1, step bond to yield, 5.500% due 8/25/67(a) |
928,410 | |||||||
| 500,000 | Aaa(b) | Rad CLO 16 Ltd., Series 2022-16A, Class A1, 6.908% |
501,180 | |||||||
| 1,535,000 | AAA | RBS Commercial Funding Inc. Trust, Series 2013-GSP, Class A, 3.834% due 1/15/32(a)(c) | 1,483,515 | |||||||
| 1,090,570 | Aaa(b) | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class A, 5.817% |
1,062,926 | |||||||
| 1,100,000 | AA | Regata XII Funding Ltd., Series 2019-1A, Class BR, 6.392% |
1,077,821 | |||||||
See Notes to Financial Statements.
178
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | ||||||||||
| $ | 900,000 | Aaa(b) | Regatta X Funding Ltd., Series 2017-3A, Class A, 5.912% |
$ | 894,670 | |||||
| 96,500 | Caa2(b) | Residential Asset Securitization Trust, Series 2005-A15, Class 1A4, 5.750% due 2/25/36. |
89,224 | |||||||
| 850,000 | NR | RIAL Issuer Ltd., Series 2022-FL8, Class D, 9.314% |
822,845 | |||||||
| 303,466 | NR | SBA Small Business Investment Cos., Series 2018-10B, Class 1, 3.548% due 9/10/28 | 284,929 | |||||||
| Seasoned Credit Risk Transfer Trust: | ||||||||||
| 76,666 | NR | Series 2018-2, Class MA, 3.500% due 11/25/57 |
72,748 | |||||||
| 790,000 | BB(i) | Series 2019-1, Class M, 4.750% due 7/25/58(a)(c) |
690,137 | |||||||
| 254,263 | NR | Series 2019-2, Class MA, 3.500% due 8/25/58 |
240,413 | |||||||
| 210,000 | BB(i) | Series 2020-2, Class M, 4.250% due 11/25/59(a)(c) |
178,575 | |||||||
| 525,493 | AA- | Sequoia Mortgage Trust, Series 2003-1, Class 1A, 5.358% |
477,332 | |||||||
| 250,000 | AAA | Signal Peak CLO 12 Ltd., Series 2022-12A, Class A1, 6.172% |
247,375 | |||||||
| 976,000 | B2(b) | SMRT, Series 2022-MINI, Class F, 7.913% |
909,065 | |||||||
| 310,000 | NR | Soho Trust, Series 2021-SOHO, Class B, 2.697% due 8/10/38(a)(c) |
223,910 | |||||||
| 1,110,000 | AAA | SREIT Trust, Series 2021-MFP, Class A, 5.319% |
1,087,311 | |||||||
| 545,417 | AAA | Store Maser Funding I-VII XIV XIX XX, Series 2021-1A, Class A1, 2.120% due 6/20/51(a) |
457,719 | |||||||
| 458,793 | A | Structured Asset Investment Loan Trust, Series 2004-6, Class A3, 5.417% |
444,450 | |||||||
| 49,910 | AA+ | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3, 5.098% |
44,997 | |||||||
| 850,000 | Aaa(b) | STWD Ltd., Series 2022-FL3, Class A, 5.751% |
823,815 | |||||||
| 381,145 | NR | Sunrun Atlas Issuer LLC, Series 2019-2, Class A, 3.610% due 2/1/55(a) | 335,018 | |||||||
| Tharaldson Hotel Portfolio Trust: |
| |||||||||
| 81,008 | AAA | Series 2018-THL, Class A, 5.622% (1-Month USD-LIBOR + 1.050%) due 11/11/34(a)(c) |
79,824 | |||||||
| 291,629 | B+ | Series 2018-THL, Class E, 8.052% (1-Month USD-LIBOR + 3.480%) due 11/11/34(a)(c) |
282,944 | |||||||
| Towd Point Mortgage Trust: |
| |||||||||
| 760,000 | Baa3(b) | Series 2015-2, Class 1B3, 3.497% due 11/25/60(a)(c) |
637,630 | |||||||
| 801,794 | Aaa(b) | Series 2015-5, Class M1, 3.500% due 5/25/55(a)(c) |
793,933 | |||||||
| 770,000 | Baa1(b) | Series 2016-5, Class B2, 3.660% due 10/25/56(a)(c) |
651,070 | |||||||
| 200,000 | Aaa(b) | TPGI Trust, Series 2021-DGWD, Class A, 5.290% |
195,649 | |||||||
| 250,000 | AAA | Trinitas CLO XVIII Ltd., Series 2021-18A, Class A1, 5.978% |
246,998 | |||||||
| UBS Commercial Mortgage Trust: |
| |||||||||
| 340,000 | AA-(i) | Series 2018-C11, Class B, 4.713% due 6/15/51(c) |
306,421 | |||||||
| 350,000 | Aaa(b) | Series 2019-C17, Class A3, 2.669% due 10/15/52 |
301,070 | |||||||
| 1,162,125 | NR | Velocity Commercial Capital Loan Trust, Series 2019-1, Class A, 3.760% due 3/25/49(a)(c) | 1,082,937 | |||||||
| 830,834 | AAA | Verus Securitization Trust, Series 2021-5, Class A1, 1.013% due 9/25/66(a)(c) | 670,075 | |||||||
| 106,219 | AAA | Virginia Housing Development Authority, Revenue Bonds, Series C, 6.000% due 6/25/34 | 104,900 | |||||||
| 1,060,921 | NR | VOLT XCIX LLC, Series 2021-NPL8, Class A1, step bond to yield, 2.116% due 4/25/51(a) | 965,053 | |||||||
| Voya CLO Ltd.: |
| |||||||||
| 773,671 | Aaa(b) | Series 2014-2A, Class A1RR, 5.812% (3-Month USD-LIBOR + 1.020%) due 4/17/30(a)(c) |
767,634 | |||||||
| 350,000 | Aaa(b) | Series 2022-4A, Class A, 6.342% (3-Month Term SOFR + 2.150%) due 10/20/33(a)(c) |
350,869 | |||||||
| WaMu Mortgage Pass-Through Certificates Trust: |
| |||||||||
| 278,987 | BB | Series 2005-AR1, Class A1B, 5.397% (1-Month USD-LIBOR + 0.780%) due 1/25/45(c) |
256,356 | |||||||
| 120,470 | BB- | Series 2005-AR4, Class A5, 3.090% due 4/25/35(c) |
110,641 | |||||||
| 2,052,135 | BB+ | Series 2005-AR15, Class A1A1, 5.137% (1-Month USD-LIBOR + 0.520%) due 11/25/45(c) |
1,868,632 | |||||||
| 674,721 | A- | Series 2005-AR19, Class A1B3, 5.317% (1-Month USD-LIBOR + 0.700%) due 12/25/45(c) |
618,052 | |||||||
See Notes to Financial Statements.
179
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | ||||||||||
| $ | 483,691 | B+ | Series 2006-AR3, Class A1A, 3.793% (1-Year Treasury Average Rate + 1.000%) due 2/25/46(c) |
$ | 427,899 | |||||
| 277,730 | Ca(b) | Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2007-OA2, Class 2A, 3.493% (1-Year Treasury Average Rate + 0.700%) due 1/25/47(c) |
222,274 | |||||||
| Wells Fargo Commercial Mortgage Trust: |
| |||||||||
| 120,000 | Ba3(b) | Series 2013-LC12, Class B, 4.283% due 7/15/46(c) |
115,548 | |||||||
| 1,000,000 | Aa2(b) | Series 2015-C28, Class AS, 3.872% due 5/15/48(c) |
952,057 | |||||||
| 150,000 | Aaa(b) | Series 2015-LC20, Class A5, 3.184% due 4/15/50 |
142,787 | |||||||
| 331,967 | AAA | Series 2016-BNK1, Class ASB, 2.514% due 8/15/49 |
316,600 | |||||||
| 385,367 | Aaa(b) | Series 2016-C33, Class A3, 3.162% due 3/15/59 |
361,467 | |||||||
| 10,124,683 | Aaa(b) | Series 2018-C43, Class XA, 0.595% due 3/15/51(c)(j) |
243,956 | |||||||
| 250,000 | Aaa(b) | Series 2018-C44, Class A4, 3.948% due 5/15/51 |
235,399 | |||||||
| 3,376,345 | Aaa(b) | Series 2019-C52, Class XA, 1.603% due 8/15/52(c)(j) |
234,842 | |||||||
| 180,000 | AAA | Series 2019-C54, Class A4, 3.146% due 12/15/52 |
158,761 | |||||||
| 105,891 | Aaa(b) | Wells Fargo Mortgage-Backed Securities Trust, Series 2019-4, Class A2, |
91,527 | |||||||
| 69,993 | Aaa(b) | WF-RBS Commercial Mortgage Trust, Series 2013-C14, Class A4, 3.073% due 6/15/46 | 69,813 | |||||||
|
|
|
|||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $183,294,905) |
168,312,273 | |||||||||
|
|
|
|||||||||
| SOVEREIGN BONDS — 2.6% | ||||||||||
| Argentina — 0.1% | ||||||||||
| Argentine Republic Government International Bonds: | ||||||||||
| 64,372 | CCC+ | 1.000% due 7/9/29 |
20,134 | |||||||
| 1,552,700 | CCC+ | 0.500% due 7/9/30 |
506,635 | |||||||
| 251,800 | CCC+ | Provincia de Buenos Aires/Government Bonds, 5.250% due 9/1/37(a) | 97,258 | |||||||
|
|
|
|||||||||
| Total Argentina | 624,027 | |||||||||
|
|
|
|||||||||
| Brazil — 0.1% | ||||||||||
| Brazilian Government International Bonds: | ||||||||||
| 300,000 | BB- | 4.625% due 1/13/28. |
286,427 | |||||||
| 400,000 | BB- | 3.875% due 6/12/30. |
345,995 | |||||||
| 1,880,000 | BB- | 5.000% due 1/27/45. |
1,443,819 | |||||||
|
|
|
|||||||||
| Total Brazil | 2,076,241 | |||||||||
|
|
|
|||||||||
| Canada — 0.1% | ||||||||||
| Province of Manitoba Canada: | ||||||||||
| 152,000 | A+ | 3.050% due 5/14/24. |
148,050 | |||||||
| 1,025,000 | A+ | 1.500% due 10/25/28 |
872,957 | |||||||
|
|
|
|||||||||
| Total Canada | 1,021,007 | |||||||||
|
|
|
|||||||||
| Chile — 0.1% | ||||||||||
| Chile Government International Bonds: | ||||||||||
| 650,000 | A | 2.450% due 1/31/31. |
544,038 | |||||||
| 500,000 | A | 2.550% due 1/27/32. |
411,147 | |||||||
|
|
|
|||||||||
| Total Chile | 955,185 | |||||||||
|
|
|
|||||||||
| Colombia — 0.1% | ||||||||||
| Colombia Government International Bonds: | ||||||||||
| 220,000 | BB+ | 8.125% due 5/21/24. |
226,261 | |||||||
| 280,000 | BB+ | 3.875% due 4/25/27. |
249,400 | |||||||
| 140,000 | BB+ | 3.000% due 1/30/30. |
105,732 | |||||||
| 315,000 | BB+ | 3.125% due 4/15/31. |
229,289 | |||||||
| 430,000 | BB+ | 3.250% due 4/22/32. |
305,881 | |||||||
| 200,000 | BB+ | 8.000% due 4/20/33. |
197,814 | |||||||
See Notes to Financial Statements.
180
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| SOVEREIGN BONDS — 2.6% — (continued) | ||||||||||
| Colombia — 0.1% — (continued) | ||||||||||
| $ | 730,000 | BB+ | 4.125% due 2/22/42. |
$ | 449,241 | |||||
|
|
|
|||||||||
| Total Colombia. | 1,763,618 | |||||||||
|
|
|
|||||||||
| Dominican Republic — 0.0%@ | ||||||||||
| 350,000 | BB | Dominican Republic International Bonds, 4.500% due 1/30/30(a) | 301,822 | |||||||
|
|
|
|||||||||
| Egypt — 0.0%@ | ||||||||||
| 200,000 | B | Egypt Government International Bonds, 5.250% due 10/6/25 | 173,438 | |||||||
|
|
|
|||||||||
| Hungary — 0.0%@ | ||||||||||
| 200,000 | BBB- | Hungary Government International Bonds, 2.125% due 9/22/31. | 154,023 | |||||||
|
|
|
|||||||||
| Indonesia — 0.4% | ||||||||||
| Indonesia Government International Bonds: | ||||||||||
| 80,000 | BBB | 4.100% due 4/24/28. |
77,251 | |||||||
| 445,000 | BBB | 2.850% due 2/14/30. |
393,673 | |||||||
| 320,000 | BBB | 2.150% due 7/28/31. |
261,625 | |||||||
| 100,000 | BBB | 7.750% due 1/17/38(a) |
122,772 | |||||||
| Indonesia Treasury Bonds: | ||||||||||
| 51,316,000,000 | IDR | NR | 6.500% due 2/15/31. |
3,309,462 | ||||||
| 19,692,000,000 | IDR | NR | 6.375% due 4/15/32. |
1,260,391 | ||||||
|
|
|
|||||||||
| Total Indonesia | 5,425,174 | |||||||||
|
|
|
|||||||||
| Israel — 0.0%@ | ||||||||||
| 200,000 | AA- | Israel Government International Bonds, 2.750% due 7/3/30 | 176,902 | |||||||
|
|
|
|||||||||
| Kenya — 0.0%@ | ||||||||||
| 520,000 | B | Kenya Government International Bonds, 6.300% due 1/23/34(a) | 395,640 | |||||||
|
|
|
|||||||||
| Mexico — 1.1% | ||||||||||
| Mexican Bonos: | ||||||||||
| 22,540,000 | MXN | BBB+ | 8.500% due 5/31/29. |
1,178,677 | ||||||
| 23,930,000 | MXN | BBB+ | 7.750% due 11/23/34 |
1,167,866 | ||||||
| 162,245,700 | MXN | BBB+ | 7.750% due 11/13/42 |
7,607,957 | ||||||
| 84,090,000 | MXN | BBB+ | 8.000% due 11/7/47. |
4,031,172 | ||||||
| Mexico Government International Bonds: | ||||||||||
| 200,000 | BBB | 4.150% due 3/28/27. |
193,868 | |||||||
| 323,000 | BBB | 3.750% due 1/11/28. |
302,839 | |||||||
| 572,000 | BBB | 4.500% due 4/22/29. |
544,253 | |||||||
| 964,000 | BBB | 2.659% due 5/24/31. |
779,576 | |||||||
| 860,000 | BBB | 3.500% due 2/12/34. |
702,768 | |||||||
| 210,000 | BBB | 4.750% due 3/8/44 |
174,685 | |||||||
| 425,000 | BBB | 4.600% due 2/10/48. |
339,831 | |||||||
|
|
|
|||||||||
| Total Mexico | 17,023,492 | |||||||||
|
|
|
|||||||||
| Nigeria — 0.0%@ | ||||||||||
| 260,000 | B- | Nigeria Government International Bonds, 7.143% due 2/23/30(a) | 201,710 | |||||||
|
|
|
|||||||||
| Oman — 0.0%@ | ||||||||||
| 200,000 | Ba3(b) | Oman Government International Bonds, 5.625% due 1/17/28 | 196,902 | |||||||
|
|
|
|||||||||
| Panama — 0.2% | ||||||||||
| Panama Government International Bonds: |
| |||||||||
| 210,000 | BBB | 3.875% due 3/17/28. |
197,528 | |||||||
| 700,000 | BBB | 3.160% due 1/23/30. |
603,141 | |||||||
| 840,000 | BBB | 2.252% due 9/29/32. |
627,637 | |||||||
| 1,150,000 | BBB | 3.298% due 1/19/33. |
935,530 | |||||||
See Notes to Financial Statements.
181
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| SOVEREIGN BONDS — 2.6% — (continued) | ||||||||||
| Panama — 0.2% — (continued) | ||||||||||
| $ | 10,000 | BBB | 4.500% due 4/1/56 |
$ | 7,348 | |||||
|
|
|
|||||||||
| Total Panama | 2,371,184 | |||||||||
|
|
|
|||||||||
| Paraguay — 0.0%@ | ||||||||||
| 200,000 | BB | Paraguay Government International Bonds, 4.700% due 3/27/27 | 192,687 | |||||||
|
|
|
|||||||||
| Peru — 0.1% | ||||||||||
| Peruvian Government International Bonds: |
| |||||||||
| 625,000 | BBB | 4.125% due 8/25/27. |
605,786 | |||||||
| 790,000 | BBB | 2.783% due 1/23/31. |
651,840 | |||||||
| 200,000 | BBB | 1.862% due 12/1/32. |
145,358 | |||||||
| 70,000 | BBB | 6.550% due 3/14/37. |
74,736 | |||||||
| 160,000 | BBB | 5.625% due 11/18/50 |
157,254 | |||||||
|
|
|
|||||||||
| Total Peru | 1,634,974 | |||||||||
|
|
|
|||||||||
| Philippines — 0.1% | ||||||||||
| Philippine Government International Bonds: |
| |||||||||
| 400,000 | BBB+ | 3.000% due 2/1/28 |
369,673 | |||||||
| 560,000 | BBB+ | 1.648% due 6/10/31. |
434,276 | |||||||
| 550,000 | BBB+ | 1.950% due 1/6/32 |
434,878 | |||||||
|
|
|
|||||||||
| Total Philippines | 1,238,827 | |||||||||
|
|
|
|||||||||
| Poland — 0.0%@ | ||||||||||
| 26,000 | A- | Republic of Poland Government International Bonds, 5.750% due 11/16/32. | 27,307 | |||||||
|
|
|
|||||||||
| Russia — 0.1% | ||||||||||
| Russian Federal Bonds — OFZ: |
| |||||||||
| 6,950,000 | RUB | NR | 7.750% due 9/16/26(e) |
28,708 | ||||||
| 205,378,000 | RUB | WR(b) | 7.050% due 1/19/28(e) |
848,330 | ||||||
| 121,200,000 | RUB | WD(i) | 6.900% due 5/23/29(e) |
500,626 | ||||||
| 49,650,000 | RUB | NR | 7.700% due 3/16/39(e) |
205,083 | ||||||
|
|
|
|||||||||
| Total Russia | 1,582,747 | |||||||||
|
|
|
|||||||||
| Saudi Arabia — 0.0%@ | ||||||||||
| $ | 200,000 | A1(b) | Saudi Government International Bonds, 3.625% due 3/4/28 | 189,138 | ||||||
|
|
|
|||||||||
| South Africa — 0.0%@ | ||||||||||
| 300,000 | BB- | Republic of South Africa Government International Bonds, 5.875% due 4/20/32 | 268,361 | |||||||
|
|
|
|||||||||
| Uruguay — 0.1% | ||||||||||
| Uruguay Government International Bonds: |
| |||||||||
| 46,667 | BBB | 4.500% due 8/14/24. |
46,579 | |||||||
| 355,000 | BBB | 4.375% due 10/27/27 |
353,372 | |||||||
| 200,000 | BBB | 4.375% due 1/23/31. |
195,091 | |||||||
|
|
|
|||||||||
| Total Uruguay | 595,042 | |||||||||
|
|
|
|||||||||
| TOTAL SOVEREIGN BONDS (Cost — $47,231,109) |
38,589,448 | |||||||||
|
|
|
|||||||||
| ASSET-BACKED SECURITIES — 1.7% | ||||||||||
| Automobiles — 0.6% | ||||||||||
| 1,522,000 | AAA | Capital One Prime Auto Receivables Trust, Series 2022-2, Class A3, 3.660% due 5/17/27 | 1,477,568 | |||||||
| CarMax Auto Owner Trust: |
| |||||||||
| 429,086 | AAA | Series 2022-2, Class A2A, 2.810% due 5/15/25 |
425,069 | |||||||
| 100,000 | AAA | Series 2022-2, Class A3, 3.490% due 2/16/27 |
97,180 | |||||||
| Credit Acceptance Auto Loan Trust: |
| |||||||||
| 410,000 | AAA | Series 2021-2A, Class A, 0.960% due 2/15/30(a) |
397,929 | |||||||
See Notes to Financial Statements.
182
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| ASSET-BACKED SECURITIES — 1.7% — (continued) | ||||||||||
| Automobiles — 0.6% — (continued) | ||||||||||
| $ | 320,000 | AAA | Series 2021-3A, Class A, 1.000% due 5/15/30(a) |
$ | 308,359 | |||||
| 470,000 | AAA | Series 2021-4, Class A, 1.260% due 10/15/30(a) |
445,201 | |||||||
| 551,253 | AAA | Ford Credit Auto Lease Trust, Series 2022-A, Class A2A, 2.780% due 10/15/24 | 546,874 | |||||||
| Ford Credit Auto Owner Trust: |
| |||||||||
| 437,000 | Aaa(b) | Series 2022-D, Class A3, 5.270% due 5/17/27 |
439,096 | |||||||
| 1,560,000 | AAA | Series 2023-1, Class A, 4.850% due 8/15/35(a) |
1,545,546 | |||||||
| 920,000 | Aaa(b) | Hertz Vehicle Financing LLC, Series 2021-1A, Class A, 1.210% due 12/26/25(a) | 854,296 | |||||||
| 870,000 | Aaa(b) | Honda Auto Receivables Owner Trust, Series 2021-4, Class A3, 0.880% due 1/21/26 | 826,475 | |||||||
| 945,000 | AAA | Hyundai Auto Receivables Trust, Series 2022-B, Class A4, 3.800% due 8/15/28 | 915,541 | |||||||
| 690,000 | Aaa(b) | LAD Auto Receivables Trust, Series 2023-1A, Class A2, 5.680% due 10/15/26(a) | 689,931 | |||||||
|
|
|
|||||||||
| Total Automobiles | 8,969,065 | |||||||||
|
|
|
|||||||||
| Credit Cards — 0.3% | ||||||||||
| 798,000 | Aaa(b) | American Express Credit Account Master Trust, Series 2022-3, Class A, 3.750% due 8/15/27 | 775,176 | |||||||
| 1,041,000 | AAA | Capital One Multi-Asset Execution Trust, Series 2022-A3, Class A, 4.950% due 10/15/27 | 1,039,814 | |||||||
| 3,536,000 | AAA | Discover Card Execution Notes Trust, Series 2022-A3, Class A3, 3.560% due 7/15/27 | 3,418,841 | |||||||
| 300,000 | NR | Mercury Financial Credit Card Master Trust, Series 2022-1A, Class B, 3.200% due 9/21/26(a). | 278,542 | |||||||
|
|
|
|||||||||
| Total Credit Cards. | 5,512,373 | |||||||||
|
|
|
|||||||||
| Student Loans — 0.8% | ||||||||||
| College Ave Student Loans LLC: |
| |||||||||
| 183,455 | AAA | Series 2019-A, Class A1, 6.017% (1-Month USD-LIBOR + 1.400%) due 12/28/48(a)(c) |
180,028 | |||||||
| 122,303 | AAA | Series 2019-A, Class A2, 3.280% due 12/28/48(a) |
110,788 | |||||||
| ECMC Group Student Loan Trust: |
| |||||||||
| 153,457 | Aaa(b) | Series 2016-1A, Class A, 5.967% (1-Month USD-LIBOR + 1.350%) due 7/26/66(a)(c) |
151,854 | |||||||
| 1,049,134 | Aaa(b) | Series 2017-2A, Class A, 5.667% (1-Month USD-LIBOR + 1.050%) due 5/25/67(a)(c) |
1,003,702 | |||||||
| 362,580 | Aaa(b) | Edsouth Indenture No 9 LLC, Series 2015-1, Class A, 5.417% |
357,454 | |||||||
| 649,943 | AAA | Navient Private Education Loan Trust, Series 2014-AA, Class A3, 6.188% |
650,662 | |||||||
| Navient Private Education Refi Loan Trust: | ||||||||||
| 508,972 | AAA | Series 2019-CA, Class A2, 3.130% due 2/15/68(a) |
479,477 | |||||||
| 1,101,747 | Aaa(b) | Series 2021-FA, Class A, 1.110% due 2/18/70(a) |
936,303 | |||||||
| Navient Student Loan Trust: | ||||||||||
| 1,004,861 | AA+ | Series 2017-2A, Class A, 5.667% (1-Month USD-LIBOR + 1.050%) due 12/27/66(a)(c) |
984,100 | |||||||
| 1,260,503 | AA+ | Series 2017-3A, Class A3, 5.667% (1-Month USD-LIBOR + 1.050%) due 7/26/66(a)(c) |
1,253,371 | |||||||
| 998,889 | AA+ | Series 2020-1A, Class A1B, 5.667% (1-Month USD-LIBOR + 1.050%) due 6/25/69(a)(c) |
995,686 | |||||||
| Nelnet Student Loan Trust: | ||||||||||
| 893,627 | AA+ | Series 2006-1, Class A6, 5.372% (3-Month USD-LIBOR + 0.450%) due 8/23/36(a)(c) |
866,669 | |||||||
| 156,833 | Aaa(b) | Series 2021-A, Class APT1, 1.360% due 4/20/62(a) |
140,515 | |||||||
| 327,683 | AAA | SLM Private Education Loan Trust, Series 2010-C, Class A5, 9.338% |
351,727 | |||||||
| SLM Student Loan Trust: | ||||||||||
| 655,748 | AA+ | Series 2003-10A, Class A4, 5.439% (3-Month USD-LIBOR + 0.670%) due 12/17/68(a)(c) |
643,150 | |||||||
| 161,261 | AAA | Series 2005-5, Class A4, 4.958% (3-Month USD-LIBOR + 0.140%) due 10/25/28(c) |
160,790 | |||||||
| SMB Private Education Loan Trust: | ||||||||||
| 164,167 | AAA | Series 2015-C, Class A3, 6.538% (1-Month USD-LIBOR + 1.950%) due 8/16/32(a)(c) |
164,298 | |||||||
| 16,909 | Aaa(b) | Series 2016-A, Class A2A, 2.700% due 5/15/31(a) |
16,334 | |||||||
| 78,071 | AAA | Series 2017-B, Class A2A, 2.820% due 10/15/35(a) |
74,246 | |||||||
| 46,133 | AAA | Series 2017-B, Class A2B, 5.338% (1-Month USD-LIBOR + 0.750%) due 10/15/35(a)(c) |
45,604 | |||||||
| 193,825 | AAA | Series 2018-A, Class A2B, 5.388% (1-Month USD-LIBOR + 0.800%) due 2/15/36(a)(c) |
190,839 | |||||||
| 226,924 | Aaa(b) | Series 2018-B, Class A2A, 3.600% due 1/15/37(a) |
216,040 | |||||||
| 280,056 | AAA | Series 2018-C, Class A2B, 5.338% (1-Month USD-LIBOR + 0.750%) due 11/15/35(a)(c) |
275,288 | |||||||
| 66,238 | AAA | Series 2020-A, Class A2B, 5.418% (1-Month USD-LIBOR + 0.830%) due 9/15/37(a)(c) |
64,794 | |||||||
See Notes to Financial Statements.
183
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| ASSET-BACKED SECURITIES — 1.7% — (continued) | ||||||||||
| Student Loans — 0.8% — (continued) | ||||||||||
| $ | 524,150 | AAA | Series 2020-PTB, Class A2A, 1.600% due 9/15/54(a) |
$ | 466,757 | |||||
| 597,648 | Aaa(b) | Series 2021-A, Class A2B, 1.590% due 1/15/53(a) |
525,744 | |||||||
| 240,000 | Aa2(b) | Series 2021-A, Class B, 2.310% due 1/15/53(a) |
215,239 | |||||||
| 89,863 | AAA | Sofi Professional Loan Program Trust, Series 2018-B, Class A2FX, 3.340% due 8/25/47(a). | 86,851 | |||||||
|
|
|
|||||||||
| Total Student Loans | 11,608,310 | |||||||||
|
|
|
|||||||||
| TOTAL ASSET-BACKED SECURITIES (Cost — $27,053,350) |
26,089,748 | |||||||||
|
|
|
|||||||||
| SENIOR LOANS — 1.6% | ||||||||||
| 174,404 | NR | 1011778 B.C. Unlimited Liability Co., (Cost — $171,306, acquired 8/12/20),
6.385% |
173,268 | |||||||
| 26,319 | NR | AAdvantage Loyality IP Ltd., 9.558% |
27,022 | |||||||
| 197,964 | NR | Acrisure LLC, 8.135% |
189,675 | |||||||
| 160,000 | NR | Acrisure LLC, (Cost — $157,231, acquired 2/2/23), 8.885% |
154,550 | |||||||
| 149,250 | NR | Air Canada, (Cost — $148,520, acquired 7/27/21), 8.369% |
149,320 | |||||||
| 298,444 | NR | Ali Group North America Corp., (Cost — $296,133, acquired 10/13/21), 6.732% |
297,618 | |||||||
| 414,052 | NR | Allied Universal Holdco LLC, (Cost — $415,382, acquired 2/19/20), 8.468% |
399,634 | |||||||
| 154,010 | NR | Alterra Mountain Co., (Cost — $153,864, acquired 3/27/19), 8.135% |
153,914 | |||||||
| 38,125 | NR | Amentum Government Services Holdings LLC, 8.519% |
37,791 | |||||||
| 352,556 | NR | AmWINS Group Inc., 6.885% |
347,334 | |||||||
| 100,000 | NR | AmWINS Group Inc., (Cost — $99,003, acquired 2/10/23), 7.412% |
99,719 | |||||||
| 50,000 | NR | Aramark Intermediate HoldCo Corp., 6.385% |
49,984 | |||||||
| 33,266 | NR | Arches Buyer Inc., 7.968% |
31,436 | |||||||
| 507,961 | NR | Asplundh Tree Expert LLC, (Cost — $509,230, acquired 3/4/21), 6.385% |
507,009 | |||||||
| 151,427 | NR | Asurion LLC, (Cost — $148,087, acquired 1/29/21), 7.885% |
141,647 | |||||||
| 173,347 | NR | Asurion LLC, (Cost — $173,024, acquired 2/15/23), 8.912% |
163,726 | |||||||
| 31,639 | NR | Asurion LLC, (Cost — $31,645, acquired 8/19/22), 8.680% |
29,744 | |||||||
| 493,648 | NR | Asurion LLC, (Cost — $485,508, acquired 4/10/19), 7.885% |
470,817 | |||||||
| 575,287 | NR | athenahealth Group Inc., (Cost — $570,119, acquired 1/27/22), 8.061% |
533,818 | |||||||
| 553,700 | NR | Avolon TLB Borrower 1 LLC, (Cost — $553,804, acquired 3/4/21), 6.848% |
554,434 | |||||||
| 11,997 | NR | AZZ Inc., 8.968% |
12,017 | |||||||
| 58,518 | NR | Bausch + Lomb Corp., 7.842% |
57,368 | |||||||
See Notes to Financial Statements.
184
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| SENIOR LOANS — 1.6% — (continued) | ||||||||||
| $ | 217,057 | NR | Brown Group Holding LLC, (Cost — $216,840, acquired 11/9/21), 7.135% |
$ | 215,666 | |||||
| 80,000 | NR | Caesars Entertainment Inc., (Cost — $80,000, acquired 1/27/23), 7.968% |
79,994 | |||||||
| 232,553 | NR | Central Parent Inc., (Cost — $231,079, acquired 2/2/23), 9.080% |
232,154 | |||||||
| 203,684 | NR | Charter Communications Operating LLC, (Cost — $204,321, acquired 2/7/20),
6.368% |
202,182 | |||||||
| 339,838 | NR | Charter Communications Operating LLC, (Cost — $340,759, acquired 10/24/19),
6.368% |
339,860 | |||||||
| 404,186 | NR | Citadel Securities LP, (Cost — $403,574, acquired 4/15/21), 7.232% |
401,344 | |||||||
| 202,850 | NR | Clarios Global LP, (Cost — $201,951, acquired 3/18/19), 7.885% |
202,375 | |||||||
| 128,700 | NR | Cloudera Inc., (Cost — $127,695, acquired 8/10/21), 8.385% |
123,452 | |||||||
| 289,747 | NR | Coherent Corp., (Cost — $287,421, acquired 12/8/21), 7.385% |
289,203 | |||||||
| 48,000 | NR | Corporation Service Co., 7.968% |
48,075 | |||||||
| 109,662 | NR | Crown Finance U.S. Inc., 14.664% |
112,130 | |||||||
| 408,616 | NR | DCert Buyer Inc., (Cost — $408,976, acquired 8/8/19), 8.696% |
403,355 | |||||||
| 80,433 | NR | Deerfield Dakota Holding LLC, 8.368% |
77,341 | |||||||
| 750,000 | NR | Delos Finance Sarl, (Cost — $749,991, acquired 3/4/21), 6.480% |
750,784 | |||||||
| 139,398 | NR | DIRECTV Financing LLC, 9.635% |
135,953 | |||||||
| 12,443 | NR | DTI Holdco Inc., 9.426% |
11,697 | |||||||
| 171,866 | NR | Edelman Financial Engines Center LLC, (Cost — $172,337, acquired 4/22/19),
8.135% |
167,758 | |||||||
| 39,221 | NR | Element Materials Technology Group US Holdings Inc., 8.930% |
38,976 | |||||||
| 107,144 | NR | EyeCare Partners LLC, (Cost — $107,093, acquired 2/18/20), 8.480% |
90,236 | |||||||
| 84,644 | NR | Fertitta Entertainment LLC, 8.618% |
82,502 | |||||||
| 13,385 | NR | FinCo I LLC, (Cost — $13,336, acquired 8/12/20), 7.135% |
13,414 | |||||||
| 56,086 | NR | First Eagle Holdings Inc., (Cost — $56,227, acquired 4/5/19), 7.230% |
55,239 | |||||||
| 212,981 | NR | Focus Financial Partners LLC, (Cost — $212,967, acquired 11/28/22), 7.868% |
212,099 | |||||||
| 7,536 | NR | Formula One Management Ltd. due 1/15/30(o). |
7,566 | |||||||
| 30,853 | NR | Froneri International Ltd., 6.885% |
30,399 | |||||||
| 34,322 | NR | Frontier Communications Corp., 8.500% |
33,662 | |||||||
| 231,808 | NR | Gainwell Acquisition Corp., (Cost — $229,446, acquired 3/8/22), 8.730% |
223,868 | |||||||
| 75,577 | NR | Garda World Security Corp., (Cost — $74,785, acquired 10/24/19), 8.850% |
75,601 | |||||||
See Notes to Financial Statements.
185
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| SENIOR LOANS — 1.6% — (continued) | ||||||||||
| $ | 45,513 | NR | Gen Digital Inc. due 9/10/27(o) |
$ | 44,830 | |||||
| 573,519 | NR | Genesee & Wyoming Inc., (Cost — $570,570, acquired 12/14/22), 6.730% |
572,653 | |||||||
| 560,000 | NR | Grifols Worldwide Operations Ltd., (Cost — $541,145, acquired 12/14/22), 6.635% |
546,176 | |||||||
| 500,576 | NR | Harbor Freight Tools USA Inc., (Cost — $501,907, acquired 4/15/21), 7.385% |
485,872 | |||||||
| 271,964 | NR | Hilton Worldwide Finance LLC, (Cost — $271,554, acquired 2/27/20), 6.455% |
271,925 | |||||||
| 60,393 | NR | Hub International Ltd., 8.057% |
60,381 | |||||||
| 527,350 | NR | Hunter Douglas Holding BV, (Cost — $525,102, acquired 2/9/22), 8.373% |
486,763 | |||||||
| 304,712 | NR | Icon Public Limited Co., (Cost — $303,555, acquired 6/16/21), 7.000% |
304,713 | |||||||
| 162,988 | NR | iHeartCommunications Inc., (Cost — $162,889, acquired 1/29/20), 7.635% |
158,214 | |||||||
| 72,838 | NR | Ingram Micro Inc., 8.230% |
72,656 | |||||||
| 500,000 | NR | Iqvia Inc., 6.480% (3-Month USD-LIBOR + 1.750%) due 6/11/25 |
500,225 | |||||||
| 132,949 | NR | Jane Street Group LLC, (Cost — $132,832, acquired 1/21/21), 7.385% |
132,502 | |||||||
| 578,189 | NR | Jazz Pharmaceuticals Public Limited Co., (Cost — $575,995, acquired 4/22/21),
8.135% |
577,932 | |||||||
| 51,989 | NR | KFC Holding Co., 6.348% |
51,832 | |||||||
| 180,000 | NR | KKR Apple Bidco LLC, (Cost — $180,000, acquired 2/2/23), 7.385% |
179,175 | |||||||
| 124,384 | NR | LifePoint Health Inc., (Cost — $123,773, acquired 8/16/19), 8.575% |
119,279 | |||||||
| 419,515 | NR | Light & Wonder International Inc., (Cost — $415,321, acquired 4/7/22), 7.662% |
419,066 | |||||||
| 575,575 | NR | Medline Borrower LP, (Cost — $573,535, acquired 9/30/21), 7.885% |
555,867 | |||||||
| Naked Juice LLC: | ||||||||||
| 445,354 | NR | 7.930% (3-Month Term SOFR + 3.250%) due 1/24/29 |
406,107 | |||||||
| 8,099 | NR | 10.680% (3-Month Term SOFR + 6.000%) due 1/24/30 |
6,314 | |||||||
| 98,792 | NR | NCR Corp., 7.330% |
98,216 | |||||||
| 279,423 | NR | Nexstar Media Inc., (Cost — $278,423, acquired 8/16/19), 7.135% |
279,223 | |||||||
| 26,033 | NR | Open Text Corp. due 8/27/29(o). | 26,031 | |||||||
| 410,548 | NR | Oracle Corp., 6.147% (3-Month Term SOFR + 1.600%) due 8/16/27 |
408,495 | |||||||
| 22,355 | NR | Organon & Co., 7.750% |
22,179 | |||||||
| 51,568 | NR | Osmosis Buyer Ltd., 8.334% |
49,809 | |||||||
| 93,265 | NR | PCI Gaming Authority, (Cost — $93,367, acquired 5/15/19), 7.135% |
93,251 | |||||||
| 29,616 | NR | Penn National Gaming Inc., 7.468% |
29,567 | |||||||
| 497,700 | NR | Peraton Corp., (Cost — $486,731, acquired 12/14/22), 8.385% |
493,968 | |||||||
See Notes to Financial Statements.
186
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| SENIOR LOANS — 1.6% — (continued) | ||||||||||
| $ | 248,750 | NR | Perrigo Company PLC, 7.218% |
$ | 249,527 | |||||
| 294,926 | NR | Phoenix Guarantor Inc., (Cost — $294,926, acquired 2/23/21), 8.135% |
291,331 | |||||||
| 59,514 | NR | Pre-Paid Legal Services Inc., 8.385% |
58,681 | |||||||
| 250,000 | NR | Prestige Brands Inc. due 7/3/28(o). |
249,864 | |||||||
| 396,316 | NR | Prime Security Services Borrower LLC, (Cost — $396,145, acquired 4/22/19),
7.517% |
396,100 | |||||||
| 129,340 | NR | Project Alpha Intermediate Holding Inc., 8.640% |
129,282 | |||||||
| 36,045 | NR | Proofpoint Inc., 7.885% |
35,099 | |||||||
| 258,725 | NR | QUIKRETE Holdings Inc., (Cost — $257,654, acquired 6/11/21), 7.635% |
258,127 | |||||||
| 196,401 | NR | Rackspace Technology Global Inc., (Cost — $196,912, acquired 2/19/21), 7.595% |
124,446 | |||||||
| 21,889 | NR | RealPage Inc., 7.635% |
21,242 | |||||||
| 34,508 | NR | Safe Fleet Holdings LLC, 8.411% |
33,847 | |||||||
| 850,000 | NR | Setanta Aircraft Leasing DAC, (Cost — $849,186, acquired 11/30/21), 6.730% |
844,688 | |||||||
| 104,779 | NR | Sophia, L.P., 8.230% (3-Month USD-LIBOR + 3.500%) due 10/7/27 |
103,360 | |||||||
| 360,000 | NR | Sotera Health Holdings LLC, (Cost — $362,813, acquired 1/20/21), 7.575% |
347,085 | |||||||
| 19,082 | NR | Spin Holdco Inc., 8.765% |
16,166 | |||||||
| 618,573 | NR | Station Casinos LLC, (Cost — $608,664, acquired 12/14/22) due 2/8/27(n)(o). |
615,894 | |||||||
| 296,231 | NR | Sunshine Luxembourg VII Sarl, 8.480% |
288,825 | |||||||
| 126,695 | NR | Trans Union LLC, 6.885% |
126,147 | |||||||
| 247,449 | NR | TransDigm Inc., 6.980% |
247,471 | |||||||
| 16,801 | NR | TransDigm Inc., (Cost — $16,780, acquired 2/24/23), 7.825% |
16,791 | |||||||
| 33,398 | NR | TruGreen Limited Partnership, 8.635% |
30,726 | |||||||
| 393,415 | NR | UFC Holdings LLC, (Cost — $396,366, acquired 4/30/19), 7.570% |
392,512 | |||||||
| 489,604 | NR | United AirLines Inc., (Cost — $491,361, acquired 4/14/21), 8.568% |
490,035 | |||||||
| 538,633 | NR | Verscend Holding Corp., (Cost — $538,633, acquired 12/14/22), 8.635% |
539,115 | |||||||
| 148,500 | NR | VFH Parent LLC, (Cost — $148,273, acquired 1/7/22), 7.661% |
147,535 | |||||||
| 430,000 | NR | Virgin Media Bristol LLC, (Cost — $428,342, acquired 4/30/19), 7.088% |
422,550 | |||||||
| 247,500 | NR | Whatabrands LLC, 7.885% |
244,217 | |||||||
| 14,753 | NR | William Morris Endeavor Entertainment LLC, 7.390% |
14,706 | |||||||
| Zayo Group Holdings Inc.: |
| |||||||||
| 250,000 | NR | 7.635% (1-Month USD-LIBOR + 3.000%) due 3/9/27. |
208,716 | |||||||
See Notes to Financial Statements.
187
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| SENIOR LOANS — 1.6% — (continued) | ||||||||||
| $ | 45,793 | NR | 8.868% (1-Month Term SOFR + 4.250%) due 3/9/27. |
$ | 39,194 | |||||
|
|
|
|||||||||
| TOTAL SENIOR LOANS (Cost — $24,007,237) |
23,675,230 | |||||||||
|
|
|
|||||||||
| MUNICIPAL BONDS — 0.4% | ||||||||||
| California — 0.1% | ||||||||||
| 310,000 | AA- | California Health Facilities Financing Authority, Revenue Bonds, 3.000% due 8/15/51 | 221,967 | |||||||
| 205,000 | AA- | Los Angeles Department of Water & Power, Revenue Bonds, 6.574% due 7/1/45 | 242,851 | |||||||
| 255,000 | AA- | Los Angeles Unified School District, GO, 5.750% due 7/1/34. | 268,715 | |||||||
| State of California, GO: |
| |||||||||
| 90,000 | AA- | 7.500% due 4/1/34 |
109,840 | |||||||
| 100,000 | AA- | 7.550% due 4/1/39 |
128,057 | |||||||
| University of California, Revenue Bonds: |
| |||||||||
| 90,000 | AA | 2.650% due 5/15/50. |
58,603 | |||||||
| 25,000 | AA | Series AD, 4.858% due 5/15/12 |
22,752 | |||||||
| 266,000 | AA | Series AQ, 4.767% due 5/15/15 |
236,231 | |||||||
|
|
|
|||||||||
| Total California | 1,289,016 | |||||||||
|
|
|
|||||||||
| Connecticut — 0.0%@ | ||||||||||
| 300,000 | AA- | State of Connecticut, GO, 5.850% due 3/15/32 | 321,765 | |||||||
|
|
|
|||||||||
| Minnesota — 0.0%@ | ||||||||||
| 260,000 | AA | University of Minnesota, Revenue Bonds, 4.048% due 4/1/52 | 233,779 | |||||||
|
|
|
|||||||||
| New Jersey — 0.1% | ||||||||||
| 485,000 | Aa3(b) | Jersey City Municipal Utilities Authority, Revenue Bonds, Series B, 5.470% due 5/15/27. | 491,611 | |||||||
| 85,000 | BBB+ | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series B, 6.561% due 12/15/40 |
94,793 | |||||||
|
|
|
|||||||||
| Total New Jersey | 586,404 | |||||||||
|
|
|
|||||||||
| New York — 0.1% | ||||||||||
| City of New York: |
| |||||||||
| 375,000 | AA | GO, Series A, 3.000% due 8/1/34 |
311,000 | |||||||
| 500,000 | AA | GO, Series G-1, 5.968% due 3/1/36 |
538,669 | |||||||
| 80,000 | AAA | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, Series A-1, 5.000% due 11/1/42. |
80,386 | |||||||
| New York State Dormitory Authority, Revenue Bonds: |
| |||||||||
| 350,000 | AA+ | 5.289% due 3/15/33. |
355,589 | |||||||
| 160,000 | AA+ | Unrefunded Portion, 5.628% due 3/15/39. |
167,380 | |||||||
|
|
|
|||||||||
| Total New York. | 1,453,024 | |||||||||
|
|
|
|||||||||
| Texas — 0.1% | ||||||||||
| 120,000 | Aa3(b) | City of Houston TX, GO, 3.961% due 3/1/47 | 105,145 | |||||||
| 350,000 | AA- | North Texas Tollway Authority, Revenue Bonds, Series A, 2.530% due 1/1/35 | 275,113 | |||||||
| State of Texas: |
| |||||||||
| 70,000 | AAA | GO, 2.754% due 10/1/41. |
51,777 | |||||||
| 770,000 | AAA | GO, 3.824% due 10/1/33. |
728,809 | |||||||
|
|
|
|||||||||
| Total Texas | 1,160,844 | |||||||||
|
|
|
|||||||||
| TOTAL MUNICIPAL BONDS (Cost — $5,730,383) |
5,044,832 | |||||||||
|
|
|
|||||||||
See Notes to Financial Statements.
188
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||||||
| Shares/Units | ||||||||||
| COMMON STOCK — 0.0%@ | ||||||||||
| Wireless Telecommunication Services — 0.0%@ | ||||||||||
| 11,265 | Intelsat SA*(e) (Cost — $848,528) |
275,294 | ||||||||
|
|
|
|||||||||
| RIGHT — 0.0%@ | ||||||||||
| Luxembourg — 0.0%@ | ||||||||||
| 2,358 | Intelsat Jackson Holdings SA*#(e) (Cost — $0) |
— | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $1,703,175,694) |
1,518,846,036 | |||||||||
|
|
|
|||||||||
| Face Amount† |
||||||||||
| SHORT-TERM INVESTMENTS- 9.3% | ||||||||||
| TIME DEPOSITS — 3.1% | ||||||||||
| ANZ National Bank — London: | ||||||||||
| 222,964 | AUD | 1.990% due 3/1/23. |
149,999 | |||||||
| 27,267,759 | 3.920% due 3/1/23. |
27,267,759 | ||||||||
| 334,704 | GBP | BBH — Grand Cayman, 2.920% due 3/1/23 | 402,549 | |||||||
| 570,631 | EUR | Citibank — London, 1.530% due 3/1/23 | 603,499 | |||||||
| 17,360,198 | JPMorgan Chase & Co. — New York, 3.920% due 3/1/23. | 17,360,198 | ||||||||
| 27 | Royal Bank of Canada — Toronto, 3.920% due 3/1/23 | 27 | ||||||||
| Sumitomo Mitsui Banking Corp. — Tokyo: | ||||||||||
| 25,732,637 | JPY | (0.520)% due 3/1/23 |
189,009 | |||||||
| 1,329,984 | 3.920% due 3/1/23. |
1,329,984 | ||||||||
|
|
|
|||||||||
| TOTAL TIME DEPOSITS (Cost — $47,303,024) |
47,303,024 | |||||||||
|
|
|
|||||||||
| U.S. GOVERNMENT AGENCIES — 0.8% | ||||||||||
| Federal Home Loan Bank Discount Notes: | ||||||||||
| 9,970,000 | 4.448% due 3/17/23(p). |
9,950,503 | ||||||||
| 1,970,000 | 4.582% due 4/14/23(p). |
1,959,117 | ||||||||
|
|
|
|||||||||
| TOTAL U.S. GOVERNMENT AGENCIES (Cost — $11,909,620) |
11,909,620 | |||||||||
|
|
|
|||||||||
| Face Amount† |
Rating†† | Security | Value | |||||||
| U.S. GOVERNMENT OBLIGATIONS — 5.4% | ||||||||||
| U.S. Treasury Bills: | ||||||||||
| $ | 10,605,000 | 3.739% due 3/16/23(p). |
$ | 10,588,783 | ||||||
| 1,620,000 | 4.506% due 4/18/23(p). |
1,610,410 | ||||||||
| 2,015,000 | 4.431% due 4/20/23(p). |
2,002,848 | ||||||||
| 2,410,000 | 4.498% due 4/25/23(p). |
2,393,682 | ||||||||
| 1,535,000 | 4.558% due 5/11/23(p). |
1,521,468 | ||||||||
| 2,260,000 | 4.625% due 5/25/23(p). |
2,235,881 | ||||||||
| 1,100,000 | 4.657% due 6/1/23(p) |
1,087,209 | ||||||||
| 1,470,000 | 4.628% due 7/6/23(p) |
1,446,503 | ||||||||
| 48,780,000 | 4.747% due 7/20/23(p). |
47,892,057 | ||||||||
| 6,275,000 | 4.600% due 7/27/23(p). |
6,158,912 | ||||||||
| 4,030,000 | 5.067% due 8/31/23(p). |
3,929,353 | ||||||||
|
|
|
|||||||||
| TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $80,867,106) |
80,867,106 | |||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost — $140,079,750) |
140,079,750 | |||||||||
|
|
|
|||||||||
See Notes to Financial Statements.
189
| Schedules of Investments |
| (continued) |
| Core Fixed Income Fund | ||||||||||
| Face Amount† |
Rating†† | Security | Value | |||||||
| U.S. GOVERNMENT OBLIGATIONS — 5.4% — (continued) | ||||||||||
| TOTAL INVESTMENTS IN SECURITIES (Cost — $1,843,255,444) |
$ | 1,658,925,786 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS IN PURCHASED OPTIONS 0.0% (Cost — $221,272) |
218,219 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 110.3% (Cost — $1,843,476,716) |
1,659,144,005 | |||||||||
|
|
|
|||||||||
| Liabilities in Excess of Other Assets — (10.3)% | (154,308,136 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 1,504,835,869 | ||||||||
|
|
|
|||||||||
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
| (a) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 28, 2023, amounts to $211,976,810 and represents 14.1% of net assets. |
| (b) | Rating by Moody’s Investors Service. |
| (c) | Variable rate security. Interest rate disclosed is that which was in effect at February 28, 2023. |
| (d) | Security is perpetual in nature and has no stated maturity date. |
| (e) | Illiquid security. |
| (f) | Security is currently in default. |
| (g) | This security is traded on a TBA basis (see Note 1). |
| (h) | Principal only security. |
| (i) | Rating by Fitch Ratings Service. |
| (j) | Interest only security. |
| (k) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (l) | Inverse Floating Rate Security — interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate as of February 28, 2023. |
| (m) | Affiliated security (See Note 2). As of February 28, 2023, total cost and total market value of affiliated securities amounted to $1,056,385 and $975,374, respectively. |
| (n) | The aggregate value of restricted securities (excluding 144A holdings) at February 28, 2023, amounts to $18,470,590 and represents 1.2% of net assets. |
| (o) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
| (p) | Rate shown represents yield-to-maturity. |
| # | Security that used significant unobservable inputs to determine fair value. |
At February 28, 2023, for Core Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| Fund | Aggregate Cost For Federal Income Tax Purposes |
Gross Unrealized Appreciation |
Gross Unrealized (Depreciation) |
Net Unrealized (Depreciation) |
||||||||||||
| Core Fixed Income Fund |
$ | 1,843,476,716 | $ | 18,265,573 | $ | (197,251,921) | $ | (178,986,348) | ||||||||
See Notes to Financial Statements.
190
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||
| Abbreviations used in this schedule: | ||
| ACES | — Alternative Credit Enhancement Securities | |
| CLO | — Collateralized Loan Obligation | |
| CMT | — Constant Maturity Treasury Rate | |
| DAC | — Designated Acitivity Company | |
| GO | — General Obligation | |
| LIBOR | — London Interbank Offered Rate | |
| LLC | — Limited Liability Company | |
| MASTR | — Mortgage Asset Securitization Transactions Incorporation | |
| OFZ | — Federal Loan Obligations (Russian: Obligatsyi Federal’novo Zaima) | |
| PLC | — Public Limited Company | |
| REMICS | — Real Estate Mortgage Investment Conduit | |
| SOFR | — Secured Overnight Financing Rate | |
| Summary of Investments by Security Type^ | ||||
| Corporate Bonds & Notes |
26.1 | % | ||
| Mortgage-Backed Securities. |
25.1 | |||
| U.S. Government Agencies & Obligations |
24.6 | |||
| Collateralized Mortgage Obligations |
10.1 | |||
| Sovereign Bonds |
2.3 | |||
| Asset-Backed Securities |
1.6 | |||
| Senior Loans |
1.4 | |||
| Municipal Bonds |
0.3 | |||
| Common Stock |
0.0 | * | ||
| Right |
0.0 | * | ||
| Purchased Options |
0.0 | * | ||
| Short-Term Investments |
8.5 | |||
|
|
|
|||
| Total Investments |
100.0 | % | ||
|
|
|
|||
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05%. |
At February 28, 2023, Core Fixed Income Fund held the following Options Contracts Purchased:
Options on Futures
| Number of Contracts |
Notional Amount† |
Security Name | Counterparty | Expiration Date |
Strike Price | Value | ||||||||||||||||||
| 176 | $ | 42,330,200 | 1-Year Mid-Curve SOFR December Futures, Put | CITI | 12/15/23 | $ | 96.00 | $ | 180,400 | |||||||||||||||
| 33 | 7,806,975 | 3-Month SOFR June Futures, Call | GSC | 6/16/23 | $ | 95.50 | 412 | |||||||||||||||||
| 228 | 24,410,250 | U.S. Treasury 5-Year Note March Futures, Call | GSC | 3/3/23 | $ | 107.50 | 21,376 | |||||||||||||||||
| 228 | 24,410,250 | U.S. Treasury 5-Year Note March Futures, Put | GSC | 3/3/23 | $ | 106.50 | 16,031 | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| TOTAL OPTIONS CONTRACTS PURCHASED (Cost — $221,272) |
$ | 218,219 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
See Notes to Financial Statements.
191
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||
At February 28, 2023, Core Fixed Income Fund held the following Options Contracts Written:
Options on Futures
| Number of Contracts |
Notional Amount† |
Security Name | Counterparty | Expiration Date |
Strike Price | Value | ||||||||||||||||||
| 352 | $ | 84,660,400 | 1-Year Mid-Curve SOFR December Futures, Put | CITI | 12/15/23 | $ | 95.38 | $ | 169,400 | |||||||||||||||
| 116 | 27,476,050 | 3-Month SOFR December Futures, Call | GSC | 12/15/23 | $ | 96.50 | 8,700 | |||||||||||||||||
| 33 | 7,816,463 | 3-Month SOFR December Futures, Call | GSC | 12/15/23 | $ | 96.63 | 2,062 | |||||||||||||||||
| 33 | 7,806,975 | 3-Month SOFR June Futures, Call | GSC | 6/16/23 | $ | 96.00 | 206 | |||||||||||||||||
| 67 | 15,844,663 | 3-Month SOFR September Futures, Call | GSC | 9/15/23 | $ | 98.75 | 419 | |||||||||||||||||
| 76 | 8,136,750 | U.S. Treasury 5-Year Note March Futures, Call | GSC | 3/3/23 | $ | 107.00 | 21,375 | |||||||||||||||||
| 76 | 8,136,750 | U.S. Treasury 5-Year Note March Futures, Put | GSC | 3/3/23 | $ | 107.00 | 17,219 | |||||||||||||||||
| 51 | 5,460,188 | U.S. Treasury 5-Year Note April Futures, Put | GSC | 3/24/23 | $ | 108.75 | 92,039 | |||||||||||||||||
| 178 | 19,866,469 | U.S. Treasury 10-Year Note April Futures, Call | GSC | 3/24/23 | $ | 116.00 | 5,562 | |||||||||||||||||
| 82 | 9,151,969 | U.S. Treasury 10-Year Note April Futures, Put | GSC | 3/24/23 | $ | 113.00 | 142,219 | |||||||||||||||||
| 114 | 12,723,469 | U.S. Treasury 10-Year Note April Futures, Put | GSC | 3/24/23 | $ | 115.00 | 390,094 | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| TOTAL OPTIONS CONTRACTS WRITTEN (Premiums received — $592,501) |
$ | 849,295 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
At February 28, 2023, Core Fixed Income Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| Open Futures Contracts | Number of Contracts |
Expiration Date (Month/Year) |
Notional Amount |
Market Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| 3-Month SOFR December Futures |
37 | 3/26 | $ | 8,915,588 | $ | 8,935,500 | $ | 19,912 | ||||||||||||
| 90-Day Eurodollar June Futures |
36 | 6/23 | 8,730,000 | 8,502,300 | (227,700 | ) | ||||||||||||||
| 90-Day Eurodollar March Futures |
39 | 3/23 | 9,269,283 | 9,255,431 | (13,852 | ) | ||||||||||||||
| Australian Government 10-Year Bond March Futures |
35 | 3/23 | 2,882,934 | 2,770,457 | (112,477 | ) | ||||||||||||||
| Euro-Bobl March Futures |
14 | 3/23 | 1,768,921 | 1,705,402 | (63,519 | ) | ||||||||||||||
| Euro-Bund March Futures |
18 | 3/23 | 2,610,516 | 2,530,181 | (80,335 | ) | ||||||||||||||
| Euro-OAT March Futures |
24 | 3/23 | 3,457,337 | 3,241,333 | (216,004 | ) | ||||||||||||||
| U.S. Treasury 2-Year Note June Futures |
715 | 6/23 | 146,095,531 | 145,664,492 | (431,039 | ) | ||||||||||||||
| U.S. Treasury 5-Year Note June Futures |
603 | 6/23 | 64,631,360 | 64,553,977 | (77,383 | ) | ||||||||||||||
| U.S. Treasury 10-Year Note June Futures |
243 | 6/23 | 27,105,477 | 27,132,469 | 26,992 | |||||||||||||||
| U.S. Treasury Long Bond June Futures |
76 | 6/23 | 9,554,063 | 9,516,625 | (37,438 | ) | ||||||||||||||
| U.S. Treasury Ultra Long Bond June Futures |
148 | 6/23 | 20,142,751 | 19,989,250 | (153,501 | ) | ||||||||||||||
| United Kingdom Treasury 10-Year Gilt June Futures |
20 | 6/23 | 2,436,189 | 2,404,438 | (31,751 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| (1,398,095 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||
| 3-Month SOFR December Futures |
39 | 3/24 | 9,320,048 | 9,238,125 | 81,923 | |||||||||||||||
| 3-Month SOFR December Futures |
274 | 3/25 | 66,031,139 | 65,883,300 | 147,839 | |||||||||||||||
| 3-Month SOFR December Futures |
121 | 6/25 | 29,375,957 | 29,148,901 | 227,056 | |||||||||||||||
| Euro-Bund March Futures |
2 | 3/23 | 297,905 | 281,131 | 16,774 | |||||||||||||||
| Japan Government 10-Year Bond March Futures |
6 | 3/23 | 6,528,187 | 6,462,962 | 65,225 | |||||||||||||||
| U.S. Treasury 2-Year Note June Futures |
194 | 6/23 | 39,609,112 | 39,522,953 | 86,159 | |||||||||||||||
| U.S. Treasury Long Bond June Futures |
10 | 6/23 | 1,268,438 | 1,252,188 | 16,250 | |||||||||||||||
| U.S. Treasury Ultra Long Bond June Futures |
9 | 6/23 | 1,210,992 | 1,215,563 | (4,571 | ) | ||||||||||||||
| U.S. Ultra Long Bond June Futures |
120 | 6/23 | 14,046,899 | 14,062,500 | (15,601 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| 621,054 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net Unrealized Depreciation on Open Exchange-Traded Futures Contracts |
$ | (777,041) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
See Notes to Financial Statements.
192
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||
At February 28, 2023, Core Fixed Income Fund had deposited cash of $6,882,328 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
At February 28, 2023, Core Fixed Income Fund had open forward foreign currency contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value |
Settlement Date |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||||||||||
| Australian Dollar |
12,812,190 | USD | 8,868,470 | CITI | $ | 8,634,203 | 4/18/23 | $ | (234,267 | ) | ||||||||||||||||||
| British Pound |
1,247,489 | USD | 1,518,363 | CITI | 1,501,691 | 4/18/23 | (16,672 | ) | ||||||||||||||||||||
| Canadian Dollar |
14,399,809 | USD | 10,728,552 | CITI | 10,557,896 | 4/18/23 | (170,656 | ) | ||||||||||||||||||||
| Euro |
139,036 | USD | 149,714 | CITI | 147,464 | 4/18/23 | (2,250 | ) | ||||||||||||||||||||
| Euro |
2,198,100 | USD | 2,357,513 | CITI | 2,331,339 | 4/18/23 | (26,174 | ) | ||||||||||||||||||||
| Japanese Yen |
419,034,873 | USD | 3,201,990 | CITI | 3,098,940 | 4/18/23 | (103,050 | ) | ||||||||||||||||||||
| South African Rand |
8,680,000 | USD | 507,214 | CITI | 470,651 | 4/18/23 | (36,563 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| (589,632) | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||||||||||
| Australian Dollar |
806,000 | USD | 556,045 | CITI | 543,168 | 4/18/23 | 12,877 | |||||||||||||||||||||
| Australian Dollar |
810,717 | USD | 560,202 | CITI | 546,346 | 4/18/23 | 13,856 | |||||||||||||||||||||
| Canadian Dollar |
1,180,000 | USD | 879,324 | CITI | 865,172 | 4/18/23 | 14,152 | |||||||||||||||||||||
| Canadian Dollar |
1,166,878 | USD | 867,064 | CITI | 855,552 | 4/18/23 | 11,512 | |||||||||||||||||||||
| Chinese Offshore Renminbi |
14,290,752 | USD | 2,122,406 | CITI | 2,062,812 | 4/18/23 | 59,594 | |||||||||||||||||||||
| Euro |
452,000 | USD | 488,718 | BOA | 479,267 | 4/13/23 | 9,451 | |||||||||||||||||||||
| Euro |
2,094,963 | NOK | 22,551,645 | CITI | 2,221,949 | 4/18/23 | (45,356 | ) | ||||||||||||||||||||
| Euro |
649,627 | USD | 702,445 | CITI | 689,004 | 4/18/23 | 13,441 | |||||||||||||||||||||
| Euro |
55,000 | USD | 60,018 | CITI | 58,334 | 4/18/23 | 1,684 | |||||||||||||||||||||
| Euro |
458,000 | USD | 497,047 | CITI | 485,762 | 4/18/23 | 11,285 | |||||||||||||||||||||
| Indonesian Rupiah |
5,811,377,513 | USD | 376,372 | CITI | 380,467 | 4/18/23 | (4,095 | ) | ||||||||||||||||||||
| Mexican Peso |
63,460,905 | USD | 3,269,091 | CITI | 3,436,802 | 4/18/23 | (167,711 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| (69,310 | ) | |||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Net Unrealized Depreciation on Open Forward Foreign Currency Contracts |
$ | (658,942 | ) | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
See Notes to Financial Statements.
193
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||
At February 28, 2023, Core Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
| Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate |
Maturity Date |
Payment Frequency |
Notional Amount |
Market Value |
Upfront Payment Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
| Pay | 3-Month USD-LIBOR |
0.000% | 7/24/25 | 6-Month | USD | 4,855,000 | $ | (343,982 | ) | $ | — | $ | (343,982 | ) | ||||||||||||||||||||
| Pay | 3-Month USD-LIBOR |
1.026% | 7/24/25 | 6-Month | USD | 9,710,000 | (696,380 | ) | — | (696,380 | ) | |||||||||||||||||||||||
| Pay | 3-Month USD-LIBOR |
1.034% | 7/24/25 | 6-Month | USD | 7,180,000 | (513,875 | ) | — | (513,875 | ) | |||||||||||||||||||||||
| Pay | 3-Month USD-LIBOR |
1.390% | 9/28/25 | 6-Month | USD | 11,260,000 | (689,318 | ) | — | (689,318 | ) | |||||||||||||||||||||||
| Receive | 3-Month USD-LIBOR |
0.000% | 7/24/53 | 6-Month | USD | 405,000 | 122,356 | — | 122,356 | |||||||||||||||||||||||||
| Receive | 3-Month USD-LIBOR |
0.000% | 7/24/53 | 6-Month | USD | 600,000 | 183,743 | — | 183,743 | |||||||||||||||||||||||||
| Receive | 3-Month USD-LIBOR |
0.000% | 7/24/53 | 6-Month | USD | 810,000 | 249,909 | — | 249,909 | |||||||||||||||||||||||||
| Receive | 3-Month USD-LIBOR |
0.000% | 9/28/53 | 6-Month | USD | 960,000 | 272,750 | — | 272,750 | |||||||||||||||||||||||||
| Receive | SOFR |
1.130% | 8/15/28 | 12-Month | USD | 15,832,000 | 2,353,291 | 89,227 | 2,264,064 | |||||||||||||||||||||||||
| Receive | SOFR |
1.520% | 2/15/47 | 12-Month | USD | 5,749,000 | 1,719,770 | 25,203 | 1,694,567 | |||||||||||||||||||||||||
| Receive | SOFR |
1.630% | 5/15/47 | 12-Month | USD | 6,870,000 | 2,000,370 | 306,224 | 1,694,146 | |||||||||||||||||||||||||
| Receive | SOFR |
1.650% | 8/15/47 | 12-Month | USD | 96,000 | 27,777 | 9,653 | 18,124 | |||||||||||||||||||||||||
| Receive | SOFR |
1.729% | 2/15/47 | 12-Month | USD | 1,505,000 | 399,495 | — | 399,495 | |||||||||||||||||||||||||
| Receive | SOFR |
2.500% | 4/21/52 | 12-Month | USD | 1,450,000 | 207,083 | (3,047 | ) | 210,130 | ||||||||||||||||||||||||
| Receive | SOFR |
2.600% | 2/15/48 | 12-Month | USD | 3,274,000 | 421,507 | 231,060 | 190,447 | |||||||||||||||||||||||||
| Receive | SOFR |
2.620% | 2/15/48 | 12-Month | USD | 224,000 | 27,012 | (1,162 | ) | 28,174 | ||||||||||||||||||||||||
| Receive | SOFR |
3.150% | 5/15/48 | 12-Month | USD | 495,000 | 17,270 | (159,334 | ) | 176,604 | ||||||||||||||||||||||||
| Receive | SOFR |
3.250% | 9/30/29 | 12-Month | USD | 11,923,000 | 361,979 | 5,255 | 356,724 | |||||||||||||||||||||||||
| Receive | SOFR |
3.270% | 4/30/29 | 12-Month | USD | 14,510,000 | 492,154 | (304,589 | ) | 796,743 | ||||||||||||||||||||||||
| Receive | SOFR |
2.000% | 3/18/32 | 12-Month | USD | 2,303,000 | 301,492 | 14,962 | 286,530 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| $ | 6,914,403 | $ | 213,452 | $ | 6,700,951 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
At February 28, 2023, Core Fixed Income Fund held the following Centrally Cleared Credit Default Swap Contracts:
Centrally Cleared — Credit Default Swap on Indexes — Buy Protection (1)
| Reference Obligation & Rating | Fixed Deal (Pay) Rate |
Maturity Date |
Payment Frequency |
Implied Credit Spread at 2/28/23 (2) |
Notional Amount (3) |
Market Value |
Upfront Payment Paid |
Unrealized Depreciation |
||||||||||||||||||||||||||||
| Markit iTraxx Europe Series 38 5-Year Index, NR |
(5.000 | )% | 12/20/27 | 3-Month | 4.596 | % | USD | 2,898,300 | $ | (72,588) | $ | 15,688 | $ | (88,276) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
Centrally Cleared — Credit Default Swaps on Indexes — Sell Protection (4)
| Reference Obligation & Rating | Fixed Deal Receive Rate |
Maturity Date |
Payment Frequency |
Implied Credit Spread at 2/28/23 (2) |
Notional Amount (3) |
Market Value |
Upfront Payment Paid |
Unrealized Appreciation |
||||||||||||||||||||||||||||
| Markit iTraxx Europe Series 38 5-Year Index, NR |
1.000 | % | 12/20/27 | 3-Month | 0.758 | % | USD | 44,881,000 | $ | 549,582 | $ | 123,117 | $ | 426,465 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| (1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising the referenced index. |
| (2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as ‘‘Defaulted’’ indicates a credit event has occurred for the referenced entity or obligation. |
See Notes to Financial Statements.
194
| Schedules of Investments |
| (unaudited) (continued) |
| Core Fixed Income Fund | ||||||
| (3) | The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
At February 28, 2023, Core Fixed Income Fund deposited cash collateral with brokers in the amount of $2,423,446 for open centrally cleared swap contracts.
| Currency Abbreviations used in this schedule: |
Counterparty Abbreviations used in this schedule: | |||||
| AUD | — Australian Dollar |
BOA |
— Bank of America | |||
| EUR | — Euro |
CITI |
— Citigroup Global Markets Inc. | |||
| GBP | — British Pound |
GSC |
— Goldman Sachs & Co. | |||
| IDR | — Indonesian Rupiah |
|||||
| JPY | — Japanese Yen |
|||||
| MXN | — Mexican Peso |
|||||
| RUB | — Russian Ruble |
|||||
| USD | — United States Dollar |
|||||
See pages 272-273 for definitions of ratings.
See Notes to Financial Statements.
195
| Schedules of Investments |
| (unaudited) (continued) |
See Notes to Financial Statements.
196
| Schedules of Investments |
| (unaudited) (continued) |
| High Yield Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Banks — 1.7% | ||||||||||
| $ | 230,000 | B+ | Barclays PLC, Junior Subordinated Notes, 8.000% |
$ | 228,275 | |||||
| 200,000 | BBB- | Credit Agricole SA, Junior Subordinated Notes, 8.125% |
202,797 | |||||||
| Credit Suisse Group AG: | ||||||||||
| Junior Subordinated Notes: |
||||||||||
| 230,000 | B | 6.375% (5-Year CMT Index + 4.822%)(a)(c)(d) |
170,463 | |||||||
| 200,000 | B | 7.500% (5-Year USD Swap Rate + 4.600%)(a)(c)(d) |
175,250 | |||||||
| 200,000 | B | 9.750% (5-Year CMT Index + 6.383%)(a)(c)(d) |
182,052 | |||||||
| 250,000 | BBB- | Senior Unsecured Notes, 6.537% (SOFR + 3.920%) due 8/12/33(a)(c) |
223,386 | |||||||
| 360,000 | BB+ | Intesa Sanpaolo SpA, Subordinated Notes, 4.198% |
271,298 | |||||||
| 520,000 | BB+ | UniCredit SpA, Subordinated Notes, 5.459% |
441,340 | |||||||
|
|
|
|||||||||
| Total Banks | 1,894,861 | |||||||||
|
|
|
|||||||||
| Beverages — 0.1% | ||||||||||
| 188,000 | CCC+ | Triton Water Holdings Inc., Senior Unsecured Notes, 6.250% due 4/1/29(a) | 150,070 | |||||||
|
|
|
|||||||||
| Building Materials — 1.1% | ||||||||||
| 320,000 | B | MIWD Holdco II LLC/MIWD Finance Corp., Company Guaranteed Notes, 5.500% due 2/1/30(a) |
260,228 | |||||||
| 382,000 | B+ | PGT Innovations Inc., Company Guaranteed Notes, 4.375% due 10/1/29(a) | 321,096 | |||||||
| 210,000 | BB- | Smyrna Ready Mix Concrete LLC, Senior Secured Notes, 6.000% due 11/1/28(a) | 186,620 | |||||||
| Standard Industries Inc., Senior Unsecured Notes: | ||||||||||
| 252,000 | BB | 5.000% due 2/15/27(a) |
233,077 | |||||||
| 100,000 | BB | 4.375% due 7/15/30(a) |
83,348 | |||||||
| 190,000 | BB | Summit Materials LLC/Summit Materials Finance Corp., Company Guaranteed Notes, 5.250% due 1/15/29(a) |
175,012 | |||||||
|
|
|
|||||||||
| Total Building Materials | 1,259,381 | |||||||||
|
|
|
|||||||||
| Chemicals — 1.3% | ||||||||||
| 321,000 | BB- | Consolidated Energy Finance SA, Company Guaranteed Notes, 5.625% due 10/15/28(a) | 274,824 | |||||||
| 160,000 | B- | LSF11 A5 HoldCo LLC, Senior Unsecured Notes, 6.625% due 10/15/29(a) | 135,926 | |||||||
| 307,000 | BB | Methanex Corp., Senior Unsecured Notes, 5.125% due 10/15/27 | 288,835 | |||||||
| 327,000 | BB- | Minerals Technologies Inc., Company Guaranteed Notes, 5.000% due 7/1/28(a) | 294,601 | |||||||
| 190,000 | BB+ | Olin Corp., Senior Unsecured Notes, 5.000% due 2/1/30 | 173,111 | |||||||
| 388,000 | B- | Trinseo Materials Operating SCA/Trinseo Materials Finance Inc., Company Guaranteed Notes, 5.125% due 4/1/29(a) |
258,822 | |||||||
|
|
|
|||||||||
| Total Chemicals | 1,426,119 | |||||||||
|
|
|
|||||||||
| Coal — 0.2% | ||||||||||
| 255,000 | BB | Warrior Met Coal Inc., Senior Secured Notes, 7.875% due 12/1/28(a) | 254,904 | |||||||
|
|
|
|||||||||
| Commercial Services — 7.1% | ||||||||||
| 200,000 | BB- | ADT Security Corp. (The), Senior Secured Notes, 4.125% due 8/1/29(a) | 171,746 | |||||||
| 105,000 | BB | Adtalem Global Education Inc., Senior Secured Notes, 5.500% due 3/1/28(a) | 96,761 | |||||||
| 110,000 | B | Allied Universal Holdco LLC/Allied Universal Finance Corp., Senior Secured Notes, 6.625% due 7/15/26(a) |
104,595 | |||||||
| 630,000 | B | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, Senior Secured Notes, 4.625% due 6/1/28(a) |
521,619 | |||||||
| 200,000 | B- | Alta Equipment Group Inc., Secured Notes, 5.625% due 4/15/26(a) | 187,313 | |||||||
| 341,000 | BB- | Brink’s Co. (The), Company Guaranteed Notes, 4.625% due 10/15/27(a) | 309,522 | |||||||
| 200,000 | B | Carriage Services Inc., Company Guaranteed Notes, 4.250% due 5/15/29(a) | 160,968 | |||||||
| 240,000 | BB- | CoreCivic Inc., Company Guaranteed Notes, 8.250% due 4/15/26 | 243,200 | |||||||
| 375,000 | B- | Deluxe Corp., Company Guaranteed Notes, 8.000% due 6/1/29(a) | 313,465 | |||||||
See Notes to Financial Statements.
197
| Schedules of Investments |
| (unaudited) (continued) |
| High Yield Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Commercial Services — 7.1% — (continued) | ||||||||||
| Garda World Security Corp., Senior Unsecured Notes: | ||||||||||
| $ | 340,000 | CCC+ | 9.500% due 11/1/27(a) |
$ | 327,192 | |||||
| 119,000 | CCC+ | 6.000% due 6/1/29(a) |
97,774 | |||||||
| GEO Group Inc. (The), Secured Notes: | ||||||||||
| 270,000 | B | 10.500% due 6/30/28 |
$ | 274,968 | ||||||
| 523,000 | B | 9.500% due 12/31/28(a) |
504,914 | |||||||
| 242,000 | BB | Korn Ferry, Company Guaranteed Notes, 4.625% due 12/15/27(a) | 224,164 | |||||||
| 239,000 | B3(b) | Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer Inc., Senior Secured Notes, 5.000% due 2/1/26(a) |
217,743 | |||||||
| 344,000 | CCC | Metis Merger Sub LLC, Senior Unsecured Notes, 6.500% due 5/15/29(a) |
279,055 | |||||||
| 348,000 | B- | MPH Acquisition Holdings LLC, Company Guaranteed Notes, 5.750% due 11/1/28(a) |
226,663 | |||||||
| 550,000 | B | Paysafe Finance PLC/Paysafe Holdings US Corp., Senior Secured Notes, 4.000% due 6/15/29(a) |
438,212 | |||||||
| Prime Security Services Borrower LLC/Prime Finance Inc.: | ||||||||||
| 210,000 | B- | Secured Notes, 6.250% due 1/15/28(a) |
194,908 | |||||||
| 351,000 | BB- | Senior Secured Notes, 3.375% due 8/31/27(a) |
303,973 | |||||||
| 469,000 | BB- | PROG Holdings Inc., Company Guaranteed Notes, 6.000% due 11/15/29(a) | 399,314 | |||||||
| 210,000 | B- | Sabre GLBL Inc., Senior Secured Notes, 11.250% due 12/15/27(a) | 209,999 | |||||||
| 400,000 | B+ | Sotheby’s, Senior Secured Notes, 7.375% due 10/15/27(a) | 377,712 | |||||||
| 222,000 | B3(b) | StoneMor Inc., Senior Secured Notes, 8.500% due 5/15/29(a) | 160,669 | |||||||
| 290,000 | BB+ | TriNet Group Inc., Company Guaranteed Notes, 3.500% due 3/1/29(a) | 242,458 | |||||||
| United Rentals North America Inc.: | ||||||||||
| Company Guaranteed Notes: |
||||||||||
| 280,000 | BB+ | 5.250% due 1/15/30 |
264,268 | |||||||
| 170,000 | BB+ | 3.875% due 2/15/31 |
145,703 | |||||||
| 140,000 | BBB- | Senior Secured Notes, 6.000% due 12/15/29(a) |
140,186 | |||||||
| 574,000 | B | Upbound Group Inc., Company Guaranteed Notes, 6.375% due 2/15/29(a) | 488,147 | |||||||
| 165,000 | B | WW International Inc., Senior Secured Notes, 4.500% due 4/15/29(a) | 84,337 | |||||||
| 100,000 | BB- | ZipRecruiter Inc., Senior Unsecured Notes, 5.000% due 1/15/30(a) | 84,113 | |||||||
|
|
|
|||||||||
| Total Commercial Services | 7,795,661 | |||||||||
|
|
|
|||||||||
| Computers — 1.2% | ||||||||||
| 410,000 | CCC+ | Ahead DB Holdings LLC, Company Guaranteed Notes, 6.625% due 5/1/28(a) | 346,880 | |||||||
| 500,000 | CCC+ | McAfee Corp., Senior Unsecured Notes, 7.375% due 2/15/30(a) | 396,853 | |||||||
| 211,000 | B* | NCR Corp., Company Guaranteed Notes, 5.125% due 4/15/29(a) | 180,430 | |||||||
| 235,000 | BB+ | Seagate HDD Cayman, Company Guaranteed Notes, 4.091% due 6/1/29(a) | 202,970 | |||||||
| 220,000 | CCC+ | Vericast Corp., Senior Secured Notes, 11.000% due 9/15/26(a) | 235,675 | |||||||
|
|
|
|||||||||
| Total Computers | 1,362,808 | |||||||||
|
|
|
|||||||||
| Cosmetics/Personal Care — 0.6% | ||||||||||
| 272,000 | BB | Coty Inc., Senior Secured Notes, 5.000% due 4/15/26(a) | 259,041 | |||||||
| 448,000 | BB | Edgewell Personal Care Co., Company Guaranteed Notes, 4.125% due 4/1/29(a) | 382,502 | |||||||
|
|
|
|||||||||
| Total Cosmetics/Personal Care | 641,543 | |||||||||
|
|
|
|||||||||
| Distribution/Wholesale — 0.2% | ||||||||||
| 59,056 | NR | American News Co. LLC, Secured Notes, 8.500% |
67,545 | |||||||
| 170,000 | BB- | H&E Equipment Services Inc., Company Guaranteed Notes, 3.875% due 12/15/28(a) | 146,372 | |||||||
|
|
|
|||||||||
| Total Distribution/Wholesale | 213,917 | |||||||||
|
|
|
|||||||||
| Diversified Financial Services — 5.0% | ||||||||||
| 369,300 | NR | Accelerate360 Holdings LLC, Secured Notes, 8.000% due 3/1/28(a) | 392,869 | |||||||
| 260,000 | B- | AG Issuer LLC, Senior Secured Notes, 6.250% due 3/1/28(a) | 243,182 | |||||||
| 341,000 | CCC | Aretec Escrow Issuer Inc., Senior Unsecured Notes, 7.500% due 4/1/29(a) | 300,058 | |||||||
| 371,000 | NR | Bread Financial Holdings Inc., Company Guaranteed Notes, 4.750% due 12/15/24(a) | 343,226 | |||||||
| 724,000 | BB- | Burford Capital Global Finance LLC, Company Guaranteed Notes, 6.250% due 4/15/28(a) | 634,281 | |||||||
| 444,000 | CCC | Cobra AcquisitionCo LLC, Company Guaranteed Notes, 6.375% due 11/1/29(a) | 283,323 | |||||||
See Notes to Financial Statements.
198
| Schedules of Investments |
| (unaudited) (continued) |
| High Yield Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Diversified Financial Services — 5.0% — (continued) | ||||||||||
| $ | 180,000 | BB- | Coinbase Global Inc., Company Guaranteed Notes, 3.625% due 10/1/31(a) | $ | 107,971 | |||||
| 275,000 | CCC+ | Curo Group Holdings Corp., Senior Secured Notes, 7.500% due 8/1/28(a) | 112,372 | |||||||
| 237,000 | Ba1(b) | Enact Holdings Inc., Senior Unsecured Notes, 6.500% due 8/15/25(a) | 233,178 | |||||||
| Enova International Inc., Company Guaranteed Notes: | ||||||||||
| 123,000 | B- | 8.500% due 9/1/24(a) |
121,632 | |||||||
| 272,000 | B- | 8.500% due 9/15/25(a) |
261,346 | |||||||
| 592,962 | B2(b) | Global Aircraft Leasing Co., Ltd., Senior Unsecured Notes, 6.500% |
536,631 | |||||||
| 174,000 | BB- | goeasy Ltd., Company Guaranteed Notes, 4.375% due 5/1/26(a) | 154,374 | |||||||
| 100,000 | BB- | Jane Street Group/JSG Finance Inc., Senior Secured Notes, 4.500% due 11/15/29(a) | 87,882 | |||||||
| 270,000 | B1(b) | LFS Topco LLC, Company Guaranteed Notes, 5.875% due 10/15/26(a) | 233,217 | |||||||
| LPL Holdings Inc., Company Guaranteed Notes: | ||||||||||
| 188,000 | BB | 4.625% due 11/15/27(a) |
175,012 | |||||||
| 260,000 | BB | 4.000% due 3/15/29(a) |
228,812 | |||||||
| 218,000 | B | NFP Corp., Senior Secured Notes, 4.875% due 8/15/28(a) | 191,037 | |||||||
| Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer Inc., Company Guaranteed Notes: | ||||||||||
| 255,000 | BB | 3.625% due 3/1/29(a) |
205,772 | |||||||
| 460,000 | BB | 3.875% due 3/1/31(a) |
358,925 | |||||||
| 127,000 | BB- | StoneX Group Inc., Senior Secured Notes, 8.625% due 6/15/25(a) | 128,992 | |||||||
| 150,000 | B- | VistaJet Malta Finance PLC/XO Management Holding Inc., Senior Unsecured Notes, 6.375% due 2/1/30(a) |
131,500 | |||||||
|
|
|
|||||||||
| Total Diversified Financial Services | 5,465,592 | |||||||||
|
|
|
|||||||||
| Electric — 1.5% | ||||||||||
| 343,000 | BB+ | Atlantica Sustainable Infrastructure PLC, Company Guaranteed Notes, 4.125% due 6/15/28(a) | 303,056 | |||||||
| 348,000 | B+ | Calpine Corp., Senior Unsecured Notes, 5.000% due 2/1/31(a) | 287,457 | |||||||
| 78,000 | BB | Clearway Energy Operating LLC, Company Guaranteed Notes, 3.750% due 1/15/32(a) | 61,889 | |||||||
| NRG Energy Inc., Company Guaranteed Notes: | ||||||||||
| 174,000 | BB+ | 5.750% due 1/15/28 |
163,500 | |||||||
| 157,000 | BB+ | 3.625% due 2/15/31(a) |
121,851 | |||||||
| 354,000 | BB- | Pattern Energy Operations LP/Pattern Energy Operations Inc., Company Guaranteed Notes, 4.500% due 8/15/28(a) |
316,531 | |||||||
| 90,000 | BB+ | TransAlta Corp., Senior Unsecured Notes, 7.750% due 11/15/29 | 92,088 | |||||||
| 346,000 | BBB- | Vistra Operations Co. LLC, Senior Secured Notes, 4.300% due 7/15/29(a) | 311,840 | |||||||
|
|
|
|||||||||
| Total Electric | 1,658,212 | |||||||||
|
|
|
|||||||||
| Electrical Components & Equipment — 0.5% | ||||||||||
| 288,000 | B | Energizer Holdings Inc., Company Guaranteed Notes, 4.375% due 3/31/29(a) | 245,520 | |||||||
| 335,000 | BB+ | EnerSys, Company Guaranteed Notes, 4.375% due 12/15/27(a) | 304,432 | |||||||
|
|
|
|||||||||
| Total Electrical Components & Equipment | 549,952 | |||||||||
|
|
|
|||||||||
| Electronics — 0.5% | ||||||||||
| 335,000 | BB- | Imola Merger Corp., Senior Secured Notes, 4.750% due 5/15/29(a) | 283,226 | |||||||
| 345,000 | BB- | TTM Technologies Inc., Company Guaranteed Notes, 4.000% due 3/1/29(a) | 284,945 | |||||||
|
|
|
|||||||||
| Total Electronics | 568,171 | |||||||||
|
|
|
|||||||||
| Energy — Alternate Sources — 0.3% | ||||||||||
| 50,000 | NR | NextEra Energy Partners LP, Company Guaranteed Notes, 2.500% due 6/15/26(a) | 45,575 | |||||||
| 310,000 | B1(b) | Sunnova Energy Corp., Company Guaranteed Notes, 5.875% due 9/1/26(a) | 270,517 | |||||||
|
|
|
|||||||||
| Total Energy — Alternate Sources | 316,092 | |||||||||
|
|
|
|||||||||
| Engineering & Construction — 0.6% | ||||||||||
| 282,000 | B | Brundage-Bone Concrete Pumping Holdings Inc., Secured Notes, 6.000% due 2/1/26(a) | 262,473 | |||||||
| 150,000 | BB+ | TopBuild Corp., Company Guaranteed Notes, 3.625% due 3/15/29(a) | 125,173 | |||||||
| 340,000 | B- | VM Consolidated Inc., Company Guaranteed Notes, 5.500% due 4/15/29(a) | 301,420 | |||||||
|
|
|
|||||||||
| Total Engineering & Construction | 689,066 | |||||||||
|
|
|
|||||||||
See Notes to Financial Statements.
199
| Schedules of Investments |
| (unaudited) (continued) |
| High Yield Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Entertainment — 2.8% | ||||||||||
| $ | 478,000 | CCC | Allen Media LLC/Allen Media Co.-Issuer Inc., Company Guaranteed Notes, 10.500% due 2/15/28(a) |
$ | 206,647 | |||||
| AMC Entertainment Holdings Inc.: | ||||||||||
| 100,000 | CCC- | Secured Notes, 10.000% due 6/15/26(a) |
51,750 | |||||||
| 612,000 | B- | Senior Secured Notes, 7.500% due 2/15/29(a) |
367,362 | |||||||
| 400,000 | B+ | Banijay Entertainment SASU, Senior Secured Notes, 5.375% due 3/1/25(a) | 389,524 | |||||||
| 154,000 | B | Boyne USA Inc., Senior Unsecured Notes, 4.750% due 5/15/29(a) | 136,446 | |||||||
| Caesars Entertainment Inc.: | ||||||||||
| Senior Secured Notes: |
||||||||||
| 300,000 | B | 6.250% due 7/1/25(a) |
297,704 | |||||||
| 170,000 | B | 7.000% due 2/15/30(a) |
171,475 | |||||||
| 110,000 | B | Senior Unsecured Notes, 8.125% due 7/1/27(a) |
111,133 | |||||||
| 130,000 | NR | DraftKings Holdings Inc., Company Guaranteed Notes, zero coupon due 3/15/28 | 91,390 | |||||||
| 150,000 | CCC+ | Mohegan Tribal Gaming Authority, Company Guaranteed Notes, 13.250% due 12/15/27(a) | 160,186 | |||||||
| 324,000 | B | Scientific Games Holdings LP/Scientific Games US FinCo Inc., Senior Unsecured Notes, 6.625% due 3/1/30(a) |
285,416 | |||||||
| SeaWorld Parks & Entertainment Inc.: | ||||||||||
| 293,000 | B | Company Guaranteed Notes, 5.250% due 8/15/29(a) |
262,512 | |||||||
| 255,000 | BB | Senior Secured Notes, 8.750% due 5/1/25(a) |
261,149 | |||||||
| 107,000 | BB | Speedway Motorsports LLC/Speedway Funding II Inc., Senior Unsecured Notes, 4.875% due 11/1/27(a) |
98,956 | |||||||
| 170,000 | B+ | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Company Guaranteed Notes, 7.125% due 2/15/31(a) |
169,414 | |||||||
|
|
|
|||||||||
| Total Entertainment | 3,061,064 | |||||||||
|
|
|
|||||||||
| Environmental Control — 0.7% | ||||||||||
| 90,000 | BB+ | Clean Harbors Inc., Company Guaranteed Notes, 6.375% due 2/1/31(a) | 89,476 | |||||||
| Covanta Holding Corp., Company Guaranteed Notes: | ||||||||||
| 355,000 | B | 4.875% due 12/1/29(a) |
300,295 | |||||||
| 93,000 | B | 5.000% due 9/1/30 |
77,154 | |||||||
| 384,000 | B | Harsco Corp., Company Guaranteed Notes, 5.750% due 7/31/27(a) | 329,119 | |||||||
|
|
|
|||||||||
| Total Environmental Control | 796,044 | |||||||||
|
|
|
|||||||||
| Food — 1.8% | ||||||||||
| Albertsons Cos Inc./Safeway Inc./New Albertsons LP/Albertsons LLC, Company Guaranteed Notes: |
||||||||||
| 372,000 | BB | 5.875% due 2/15/28(a) |
360,451 | |||||||
| 120,000 | BB | 6.500% due 2/15/28(a) |
119,390 | |||||||
| 550,000 | B | C&S Group Enterprises LLC, Company Guaranteed Notes, 5.000% due 12/15/28(a) | 424,196 | |||||||
| 131,000 | BB | Land O’Lakes Capital Trust I, Limited Guaranteed Notes, 7.450% due 3/15/28(a) | 129,101 | |||||||
| 347,000 | BB- | Performance Food Group Inc., Company Guaranteed Notes, 5.500% due 10/15/27(a) | 329,369 | |||||||
| 254,000 | B+ | Post Holdings Inc., Company Guaranteed Notes, 4.625% due 4/15/30(a) | 220,481 | |||||||
| 510,000 | B | Simmons Foods Inc./Simmons Prepared Foods Inc./Simmons Pet Food Inc./Simmons Feed, Secured Notes, 4.625% due 3/1/29(a) | 416,165 | |||||||
|
|
|
|||||||||
| Total Food | 1,999,153 | |||||||||
|
|
|
|||||||||
| Forest Products & Paper — 0.2% | ||||||||||
| 278,000 | CCC | Glatfelter Corp., Company Guaranteed Notes, 4.750% due 11/15/29(a) | 182,602 | |||||||
|
|
|
|||||||||
| Healthcare — Products — 0.8% | ||||||||||
| 335,000 | B+ | Embecta Corp., Senior Secured Notes, 5.000% due 2/15/30(a) | 284,409 | |||||||
| Medline Borrower LP: | ||||||||||
| 432,000 | B+ | Senior Secured Notes, 3.875% due 4/1/29(a) |
361,221 | |||||||
| 230,000 | B- | Senior Unsecured Notes, 5.250% due 10/1/29(a) |
190,479 | |||||||
|
|
|
|||||||||
| Total Healthcare — Products | 836,109 | |||||||||
|
|
|
|||||||||
See Notes to Financial Statements.
200
| Schedules of Investments |
| (unaudited) (continued) |
| High Yield Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Healthcare — Services — 2.5% | ||||||||||
| $ | 110,000 | B- | Akumin Inc., Senior Secured Notes, 7.000% due 11/1/25(a) | $ | 87,730 | |||||
| 190,000 | CCC | Cano Health LLC, Company Guaranteed Notes, 6.250% due 10/1/28(a) | 124,450 | |||||||
| CHS/Community Health Systems Inc.: | ||||||||||
| 60,000 | CCC | Secured Notes, 6.125% due 4/1/30(a) |
40,890 | |||||||
| Senior Secured Notes: |
||||||||||
| 467,000 | B | 5.625% due 3/15/27(a) |
410,369 | |||||||
| 370,000 | B | 5.250% due 5/15/30(a) |
296,559 | |||||||
| 337,000 | B+ | DaVita Inc., Company Guaranteed Notes, 4.625% due 6/1/30(a) | 278,101 | |||||||
| HCA Inc., Company Guaranteed Notes: | ||||||||||
| 371,000 | BBB- | 3.500% due 9/1/30 |
318,788 | |||||||
| 110,000 | BBB- | 7.500% due 11/15/95 |
119,021 | |||||||
| Legacy LifePoint Health LLC, Senior Secured Notes: | ||||||||||
| 70,000 | B | 6.750% due 4/15/25(a) |
66,972 | |||||||
| 326,000 | B | 4.375% due 2/15/27(a) |
275,470 | |||||||
| 30,000 | CCC | Radiology Partners Inc., Company Guaranteed Notes, 9.250% due 2/1/28(a) | 17,973 | |||||||
| 427,000 | B- | Select Medical Corp., Company Guaranteed Notes, 6.250% due 8/15/26(a) | 408,274 | |||||||
| 240,000 | BB- | Tenet Healthcare Corp., Senior Secured Notes, 4.250% due 6/1/29 | 210,384 | |||||||
| 330,000 | CCC- | US Renal Care Inc., Senior Unsecured Notes, 10.625% due 7/15/27(a) | 105,772 | |||||||
|
|
|
|||||||||
| Total Healthcare — Services | 2,760,753 | |||||||||
|
|
|
|||||||||
| Home Builders — 0.7% | ||||||||||
| 182,000 | B- | Empire Communities Corp., Senior Unsecured Notes, 7.000% due 12/15/25(a) | 162,640 | |||||||
| Forestar Group Inc., Company Guaranteed Notes: | ||||||||||
| 120,000 | BB- | 3.850% due 5/15/26(a) |
105,152 | |||||||
| 120,000 | BB- | 5.000% due 3/1/28(a) |
103,583 | |||||||
| 65,000 | B+ | Installed Building Products Inc., Company Guaranteed Notes, 5.750% due 2/1/28(a) | 60,551 | |||||||
| Mattamy Group Corp., Senior Unsecured Notes: | ||||||||||
| 201,000 | BB | 5.250% due 12/15/27(a) |
179,739 | |||||||
| 130,000 | BB | 4.625% due 3/1/30(a) |
108,135 | |||||||
|
|
|
|||||||||
| Total Home Builders | 719,800 | |||||||||
|
|
|
|||||||||
| Insurance — 0.7% | ||||||||||
| 248,006 | BB+ | Highlands Holdings Bonds Issuer Ltd./Highlands Holdings Bonds Co.-Issuer Inc., Senior Secured Notes, 7.625% (7.625% cash or 8.375% PIK), due 10/15/25(a)(e) |
228,394 | |||||||
| 397,000 | BB | NMI Holdings Inc., Senior Secured Notes, 7.375% due 6/1/25(a) | 395,422 | |||||||
| 120,000 | BB- | Ryan Specialty Group LLC, Senior Secured Notes, 4.375% due 2/1/30(a) | 102,744 | |||||||
|
|
|
|||||||||
| Total Insurance | 726,560 | |||||||||
|
|
|
|||||||||
| Internet — 1.4% | ||||||||||
| 390,000 | B | Cogent Communications Group Inc., Company Guaranteed Notes, 7.000% due 6/15/27(a) | 377,922 | |||||||
| Gen Digital Inc., Company Guaranteed Notes: | ||||||||||
| 101,000 | BB- | 6.750% due 9/30/27(a) |
99,386 | |||||||
| 303,000 | BB- | 7.125% due 9/30/30(a) |
296,164 | |||||||
| 300,000 | B- | GrubHub Holdings Inc., Company Guaranteed Notes, 5.500% due 7/1/27(a) | 237,361 | |||||||
| 490,000 | B- | ION Trading Technologies Sarl, Senior Secured Notes, 5.750% due 5/15/28(a) | 398,123 | |||||||
| Match Group Holdings II LLC, Senior Unsecured Notes: | ||||||||||
| 30,000 | BB | 4.625% due 6/1/28(a) |
26,678 | |||||||
| 140,000 | BB | 3.625% due 10/1/31(a) |
109,676 | |||||||
|
|
|
|||||||||
| Total Internet | 1,545,310 | |||||||||
|
|
|
|||||||||
| Investment Companies — 0.1% | ||||||||||
| 120,000 | B+ | Compass Group Diversified Holdings LLC, Company Guaranteed Notes, |
104,802 | |||||||
|
|
|
|||||||||
| Iron/Steel — 0.9% | ||||||||||
| 349,000 | B+ | ATI Inc., Senior Unsecured Notes, 4.875% due 10/1/29 | 312,875 | |||||||
See Notes to Financial Statements.
201
| Schedules of Investments |
| (unaudited) (continued) |
| High Yield Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Iron/Steel — 0.9% — (continued) | ||||||||||
| Cleveland-Cliffs Inc.: | ||||||||||
| $ | 160,000 | Ba3(b) | Company Guaranteed Notes, 4.625% due 3/1/29(a) |
$ | 145,895 | |||||
| 144,000 | B- | Senior Unsecured Notes, 6.250% due 10/1/40 |
125,132 | |||||||
| 200,000 | BB+ | Commercial Metals Co., Senior Unsecured Notes, 3.875% due 2/15/31 | 168,887 | |||||||
| 268,000 | Ba3(b) | Mineral Resources Ltd., Senior Unsecured Notes, 8.125% due 5/1/27(a) | 267,808 | |||||||
|
|
|
|||||||||
| Total Iron/Steel | 1,020,597 | |||||||||
|
|
|
|||||||||
| Leisure Time — 4.3% | ||||||||||
| Carnival Corp., Company Guaranteed Notes: | ||||||||||
| 124,000 | B | 7.625% due 3/1/26(a) |
111,817 | |||||||
| 591,000 | B | 5.750% due 3/1/27(a) |
485,317 | |||||||
| 399,000 | B | 6.000% due 5/1/29(a) |
309,913 | |||||||
| 330,000 | B | 10.500% due 6/1/30(a) |
319,894 | |||||||
| 150,000 | B+ | Carnival Holdings Bermuda Ltd., Company Guaranteed Notes, 10.375% due 5/1/28(a) | 160,635 | |||||||
| NCL Corp., Ltd.: | ||||||||||
| Senior Secured Notes: |
||||||||||
| 600,000 | B+ | 5.875% due 2/15/27(a) |
557,076 | |||||||
| 270,000 | BB- | 8.375% due 2/1/28(a) |
275,316 | |||||||
| Senior Unsecured Notes: |
||||||||||
| 552,000 | B- | 3.625% due 12/15/24(a) |
518,880 | |||||||
| 321,000 | B- | 7.750% due 2/15/29(a) |
279,752 | |||||||
| Royal Caribbean Cruises Ltd.: | ||||||||||
| 340,000 | B+ | Company Guaranteed Notes, 7.250% due 1/15/30(a) |
341,873 | |||||||
| Senior Unsecured Notes: |
||||||||||
| 341,000 | B | 4.250% due 7/1/26(a) |
299,524 | |||||||
| 160,000 | B | 11.625% due 8/15/27(a) |
170,872 | |||||||
| 102,000 | B | 5.500% due 4/1/28(a) |
88,995 | |||||||
| Viking Cruises Ltd.: | ||||||||||
| 64,000 | CCC | Company Guaranteed Notes, 5.875% due 9/15/27(a) |
54,961 | |||||||
| 259,000 | CCC+ | Senior Secured Notes, 13.000% due 5/15/25(a) |
275,536 | |||||||
| 379,000 | CCC | Senior Unsecured Notes, 7.000% due 2/15/29(a) |
326,326 | |||||||
| 200,000 | B | VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a) | 176,370 | |||||||
|
|
|
|||||||||
| Total Leisure Time | 4,753,057 | |||||||||
|
|
|
|||||||||
| Lodging — 1.6% | ||||||||||
| 370,000 | B- | Full House Resorts Inc., Senior Secured Notes, 8.250% due 2/15/28(a) | 355,506 | |||||||
| 430,000 | B | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc, Company Guaranteed Notes, 4.875% due 7/1/31(a) |
361,888 | |||||||
| 400,000 | BB+ | Sands China Ltd., Senior Unsecured Notes, 3.750% due 8/8/31 | 316,432 | |||||||
| 331,000 | BB- | Travel + Leisure Co., Senior Secured Notes, 6.000% due 4/1/27 | 320,808 | |||||||
| Wynn Macau Ltd., Senior Unsecured Notes: | ||||||||||
| 200,000 | B+ | 5.500% due 1/15/26(a) |
183,192 | |||||||
| 245,000 | B+ | 5.625% due 8/26/28(a) |
209,934 | |||||||
|
|
|
|||||||||
| Total Lodging | 1,747,760 | |||||||||
|
|
|
|||||||||
| Machinery — Construction & Mining — 0.2% | ||||||||||
| 240,000 | BB- | Vertiv Group Corp., Senior Secured Notes, 4.125% due 11/15/28(a) | 208,745 | |||||||
|
|
|
|||||||||
| Machinery — Diversified — 0.1% | ||||||||||
| 88,000 | BB- | ATS Corp., Company Guaranteed Notes, 4.125% due 12/15/28(a) | 76,918 | |||||||
|
|
|
|||||||||
| Media — 6.4% | ||||||||||
| Altice Financing SA, Senior Secured Notes: | ||||||||||
| 681,000 | B | 5.000% due 1/15/28(a) |
565,761 | |||||||
| 200,000 | B | 5.750% due 8/15/29(a) |
163,779 | |||||||
| 358,000 | BB- | Block Communications Inc., Company Guaranteed Notes, 4.875% due 3/1/28(a) | 313,654 | |||||||
See Notes to Financial Statements.
202
| Schedules of Investments |
| (unaudited) (continued) |
| High Yield Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Media — 6.4% — (continued) | ||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | ||||||||||
| $ | 705,000 | BB- | 6.375% due 9/1/29(a) |
$ | 659,912 | |||||
| 571,000 | BB- | 4.750% due 3/1/30(a) |
482,135 | |||||||
| 160,000 | BB- | 4.500% due 8/15/30(a) |
132,038 | |||||||
| 160,000 | BB- | 4.750% due 2/1/32(a) |
129,944 | |||||||
| 680,000 | BB- | 4.500% due 5/1/32 |
539,823 | |||||||
| CSC Holdings LLC: | ||||||||||
| Company Guaranteed Notes: |
||||||||||
| 200,000 | B+ | 6.500% due 2/1/29(a) |
169,755 | |||||||
| 200,000 | B+ | 4.500% due 11/15/31(a) |
142,243 | |||||||
| Senior Unsecured Notes: |
||||||||||
| 980,000 | B- | 5.750% due 1/15/30(a) |
559,565 | |||||||
| 465,000 | B- | 4.625% due 12/1/30(a) |
250,344 | |||||||
| 190,000 | BB | Directv Financing LLC/Directv Financing Co.-Obligor Inc., Senior Secured Notes, |
169,894 | |||||||
| DISH DBS Corp.: | ||||||||||
| 500,000 | B | Company Guaranteed Notes, 7.750% due 7/1/26 |
388,628 | |||||||
| 410,000 | B+ | Senior Secured Notes, 5.750% due 12/1/28(a) |
328,277 | |||||||
| 65,000 | CCC | DISH Network Corp., Senior Unsecured Notes, 3.375% due 8/15/26 | 41,865 | |||||||
| 180,000 | B1(b) | Gannett Holdings LLC, Senior Secured Notes, 6.000% due 11/1/26(a) | 151,421 | |||||||
| 170,000 | BB- | iHeartCommunications Inc., Senior Secured Notes, 5.250% due 8/15/27(a) | 148,117 | |||||||
| 222,000 | BB+ | Paramount Global, Junior Subordinated Notes, 6.375% |
190,840 | |||||||
| 345,000 | BB | Sirius XM Radio Inc., Company Guaranteed Notes, 4.000% due 7/15/28(a) | 295,286 | |||||||
| 300,000 | BB | TEGNA Inc., Company Guaranteed Notes, 5.000% due 9/15/29(a) | 267,425 | |||||||
| 50,000 | BBB- | Time Warner Cable Enterprises LLC, Senior Secured Notes, 8.375% due 7/15/33 | 56,160 | |||||||
| 150,000 | BBB- | Time Warner Cable LLC, Senior Secured Notes, 7.300% due 7/1/38 | 150,352 | |||||||
| Univision Communications Inc., Senior Secured Notes: | ||||||||||
| 388,000 | B+ | 6.625% due 6/1/27(a) |
370,007 | |||||||
| 112,000 | B+ | 7.375% due 6/30/30(a) |
106,337 | |||||||
| 327,000 | BB- | UPC Broadband Finco BV, Senior Secured Notes, 4.875% due 7/15/31(a) | 276,374 | |||||||
| 67,000 | B- | Urban One Inc., Senior Secured Notes, 7.375% due 2/1/28(a) | 59,871 | |||||||
|
|
|
|||||||||
| Total Media | 7,109,807 | |||||||||
|
|
|
|||||||||
| Metal Fabricate/Hardware — 0.3% | ||||||||||
| 90,000 | BB- | Advanced Drainage Systems Inc., Company Guaranteed Notes, 6.375% due 6/15/30(a) | 86,064 | |||||||
| 80,000 | CCC+ | Park-Ohio Industries Inc., Company Guaranteed Notes, 6.625% due 4/15/27 | 61,067 | |||||||
| 230,000 | B+ | Roller Bearing Co. of America Inc., Senior Unsecured Notes, 4.375% due 10/15/29(a) | 199,088 | |||||||
|
|
|
|||||||||
| Total Metal Fabricate/Hardware | 346,219 | |||||||||
|
|
|
|||||||||
| Mining — 1.6% | ||||||||||
| First Quantum Minerals Ltd., Company Guaranteed Notes: | ||||||||||
| 200,000 | B+ | 6.875% due 3/1/26(a) |
191,000 | |||||||
| 530,000 | B+ | 6.875% due 10/15/27(a) |
497,723 | |||||||
| 311,000 | BB+ | FMG Resources August 2006 Pty Ltd., Company Guaranteed Notes, 4.500% due 9/15/27(a) | 286,454 | |||||||
| 340,000 | BB+ | Freeport-McMoRan Inc., Company Guaranteed Notes, 5.450% due 3/15/43 | 306,036 | |||||||
| Hudbay Minerals Inc., Company Guaranteed Notes: | ||||||||||
| 40,000 | B | 4.500% due 4/1/26(a) |
35,954 | |||||||
| 537,000 | B | 6.125% due 4/1/29(a) |
474,644 | |||||||
|
|
|
|||||||||
| Total Mining | 1,791,811 | |||||||||
|
|
|
|||||||||
| Miscellaneous Manufacturers — 0.0%@ | ||||||||||
| 11,468 | CCC(f) | Anagram International Inc./Anagram Holdings LLC, Secured Notes, 10.000% |
9,203 | |||||||
|
|
|
|||||||||
See Notes to Financial Statements.
203
| Schedules of Investments |
| (unaudited) (continued) |
| High Yield Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Oil & Gas — 6.7% | ||||||||||
| $ | 364,000 | BB+ | Antero Resources Corp., Company Guaranteed Notes, 5.375% due 3/1/30(a) | $ | 331,943 | |||||
| Apache Corp., Senior Unsecured Notes: | ||||||||||
| 105,000 | BB+ | 4.375% due 10/15/28 |
95,676 | |||||||
| 60,000 | BB+ | 7.750% due 12/15/29 |
62,276 | |||||||
| 256,000 | BB+ | 4.250% due 1/15/30 |
226,388 | |||||||
| 410,000 | B | Berry Petroleum Co. LLC, Company Guaranteed Notes, 7.000% due 2/15/26(a) | 386,806 | |||||||
| 310,000 | BB- | California Resources Corp., Company Guaranteed Notes, 7.125% due 2/1/26(a) | 312,736 | |||||||
| 10,000 | BB | Chesapeake Energy Corp., Company Guaranteed Notes, 5.500% due 2/1/26(a) | 9,812 | |||||||
| 472,000 | BB- | Chord Energy Corp., Company Guaranteed Notes, 6.375% due 6/1/26(a) | 455,718 | |||||||
| 256,000 | BB- | Civitas Resources Inc., Company Guaranteed Notes, 5.000% due 10/15/26(a) | 236,931 | |||||||
| Crescent Energy Finance LLC: | ||||||||||
| 319,000 | B+ | Company Guaranteed Notes, 7.250% due 5/1/26(a) |
295,512 | |||||||
| 170,000 | B+ | Senior Unsecured Notes, 9.250% due 2/15/28(a) |
165,950 | |||||||
| 375,000 | B+ | Earthstone Energy Holdings LLC, Company Guaranteed Notes, 8.000% due 4/15/27(a) | 359,589 | |||||||
| 120,000 | BB+ | Endeavor Energy Resources LP/EER Finance Inc., Senior Unsecured Notes, |
115,217 | |||||||
| Hilcorp Energy I LP/Hilcorp Finance Co., Senior Unsecured Notes: | ||||||||||
| 405,000 | BB+ | 5.750% due 2/1/29(a) |
366,958 | |||||||
| 170,000 | BB+ | 6.250% due 4/15/32(a) |
154,374 | |||||||
| 21,000 | BB | Murphy Oil Corp., Senior Unsecured Notes, 6.375% due 7/15/28 | 20,293 | |||||||
| 223,000 | B | Nabors Industries Inc., Company Guaranteed Notes, 7.375% due 5/15/27(a) | 215,141 | |||||||
| 320,000 | CCC | Nabors Industries Ltd., Company Guaranteed Notes, 7.250% due 1/15/26(a) | 304,901 | |||||||
| 240,000 | B+ | Northern Oil & Gas Inc., Senior Unsecured Notes, 8.125% due 3/1/28(a) | 231,816 | |||||||
| Occidental Petroleum Corp., Senior Unsecured Notes: | ||||||||||
| 614,000 | BB+ | 8.875% due 7/15/30 |
698,413 | |||||||
| 252,000 | BB+ | 6.125% due 1/1/31 |
253,252 | |||||||
| 100,000 | BB+ | 6.450% due 9/15/36 |
100,637 | |||||||
| 110,000 | BB+ | 6.600% due 3/15/46 |
111,799 | |||||||
| 30,000 | BB+ | 4.100% due 2/15/47 |
22,532 | |||||||
| 370,000 | BB- | Permian Resources Operating LLC, Company Guaranteed Notes, 5.875% due 7/1/29(a) | 332,193 | |||||||
| Petrobras Global Finance BV, Company Guaranteed Notes: | ||||||||||
| 40,000 | BB- | 7.375% due 1/17/27 |
40,973 | |||||||
| 20,000 | BB- | 5.750% due 2/1/29 |
19,117 | |||||||
| 300,000 | BB | Range Resources Corp., Company Guaranteed Notes, 8.250% due 1/15/29 | 308,165 | |||||||
| 200,000 | B+ | ROCC Holdings LLC, Company Guaranteed Notes, 9.250% due 8/15/26(a) | 210,250 | |||||||
| 120,000 | B+ | Rockcliff Energy II LLC, Senior Unsecured Notes, 5.500% due 10/15/29(a) | 110,244 | |||||||
| Southwestern Energy Co., Company Guaranteed Notes: | ||||||||||
| 270,000 | BB+ | 5.375% due 2/1/29 |
252,844 | |||||||
| 140,000 | BB+ | 4.750% due 2/1/32 |
120,518 | |||||||
| 344,000 | BB- | Strathcona Resources Ltd., Senior Unsecured Notes, 6.875% due 8/1/26(a) | 282,403 | |||||||
| 200,000 | B- | Transocean Inc., Senior Secured Notes, 8.750% due 2/15/30(a) | 203,246 | |||||||
|
|
|
|||||||||
| Total Oil & Gas | 7,414,623 | |||||||||
|
|
|
|||||||||
| Oil & Gas Services — 0.7% | ||||||||||
| 343,000 | B+ | Archrock Partners LP/Archrock Partners Finance Corp., Company Guaranteed Notes, 6.250% due 4/1/28(a) |
322,742 | |||||||
| 320,000 | B+ | USA Compression Partners LP/USA Compression Finance Corp., Company Guaranteed Notes, 6.875% due 4/1/26 |
308,364 | |||||||
| 187,000 | BB- | Weatherford International Ltd., Senior Secured Notes, 6.500% due 9/15/28(a) | 183,922 | |||||||
|
|
|
|||||||||
| Total Oil & Gas Services | 815,028 | |||||||||
|
|
|
|||||||||
| Packaging & Containers — 1.9% | ||||||||||
| Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC: | ||||||||||
| 210,000 | BB | Senior Secured Notes, 6.000% due 6/15/27(a) |
203,463 | |||||||
| 250,000 | B+ | Senior Unsecured Notes, 4.000% due 9/1/29(a) |
200,811 | |||||||
See Notes to Financial Statements.
204
| Schedules of Investments |
| (unaudited) (continued) |
| High Yield Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Packaging & Containers — 1.9% — (continued) | ||||||||||
| Ball Corp., Company Guaranteed Notes: | ||||||||||
| $ | 88,000 | BB+ | 5.250% due 7/1/25 |
$ | 86,501 | |||||
| 124,000 | BB+ | 2.875% due 8/15/30 |
99,107 | |||||||
| 230,000 | BB- | Canpack SA/Canpack US LLC, Company Guaranteed Notes, 3.875% due 11/15/29(a) | 183,097 | |||||||
| 240,000 | B | Clydesdale Acquisition Holdings Inc., Senior Secured Notes, 6.625% due 4/15/29(a) | 229,221 | |||||||
| 249,000 | BB+ | Crown Americas LLC, Company Guaranteed Notes, 5.250% due 4/1/30 | 231,982 | |||||||
| 271,000 | B- | LABL Inc., Senior Secured Notes, 5.875% due 11/1/28(a) | 235,262 | |||||||
| 244,000 | B | Mauser Packaging Solutions Holding Co., Senior Secured Notes, 7.875% due 8/15/26(a) | 246,113 | |||||||
| 10,000 | B- | Pactiv LLC, Senior Unsecured Notes, 8.375% due 4/15/27 | 10,088 | |||||||
| 71,000 | BB+ | Sealed Air Corp., Company Guaranteed Notes, 6.125% due 2/1/28(a) | 69,995 | |||||||
| 287,000 | BB- | Silgan Holdings Inc., Company Guaranteed Notes, 4.125% due 2/1/28 | 262,648 | |||||||
|
|
|
|||||||||
| Total Packaging & Containers | 2,058,288 | |||||||||
|
|
|
|||||||||
| Pharmaceuticals — 2.0% | ||||||||||
| 280,000 | B | AdaptHealth LLC, Company Guaranteed Notes, 5.125% due 3/1/30(a) | 241,261 | |||||||
| Bausch Health Cos., Inc.: | ||||||||||
| 430,000 | D | Company Guaranteed Notes, 5.250% due 1/30/30(a) |
185,975 | |||||||
| 170,000 | B- | Senior Secured Notes, 6.125% due 2/1/27(a) |
117,495 | |||||||
| 460,000 | B+ | HLF Financing Sarl LLC/Herbalife International Inc., Company Guaranteed Notes, |
357,075 | |||||||
| Organon & Co./Organon Foreign Debt Co.-Issuer BV: | ||||||||||
| 400,000 | BB | Senior Secured Notes, 4.125% due 4/30/28(a) |
353,440 | |||||||
| 459,000 | BB- | Senior Unsecured Notes, 5.125% due 4/30/31(a) |
390,129 | |||||||
| 230,000 | WR(b) | Par Pharmaceutical Inc., Senior Secured Notes, 7.500% due 4/1/27(a)(g)(h) |
173,362 | |||||||
| 200,000 | BB- | Teva Pharmaceutical Finance Co. LLC, Company Guaranteed Notes, 6.150% due 2/1/36 | 180,786 | |||||||
| 250,000 | BB- | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes, |
221,515 | |||||||
|
|
|
|||||||||
| Total Pharmaceuticals | 2,221,038 | |||||||||
|
|
|
|||||||||
| Pipelines — 6.7% | ||||||||||
| 341,000 | BB | Antero Midstream Partners LP/Antero Midstream Finance Corp., Company Guaranteed Notes, 5.750% due 1/15/28(a) |
320,448 | |||||||
| Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Unsecured Notes: | ||||||||||
| 100,000 | B+ | 7.625% due 12/15/25(a) |
100,611 | |||||||
| 210,000 | B+ | 6.625% due 7/15/26(a) |
204,970 | |||||||
| 381,000 | BB | Buckeye Partners LP, Senior Unsecured Notes, 4.500% due 3/1/28(a) | 334,903 | |||||||
| 200,000 | BB | CNX Midstream Partners LP, Company Guaranteed Notes, 4.750% due 4/15/30(a) | 164,190 | |||||||
| DCP Midstream Operating LP, Company Guaranteed Notes: | ||||||||||
| 324,000 | BBB+ | 5.625% due 7/15/27 |
321,597 | |||||||
| 60,000 | BBB+ | 6.750% due 9/15/37(a) |
63,010 | |||||||
| 275,000 | BB+ | DT Midstream Inc., Company Guaranteed Notes, 4.375% due 6/15/31(a) | 230,608 | |||||||
| 90,000 | BB | Energy Transfer LP, Junior Subordinated Notes, 6.500% (5-Year CMT Index + 5.694%)(c)(d) | 83,180 | |||||||
| EQM Midstream Partners LP, Senior Unsecured Notes: | ||||||||||
| 42,000 | BB- | 7.500% due 6/1/27(a) |
41,151 | |||||||
| 269,000 | BB- | 5.500% due 7/15/28 |
240,353 | |||||||
| 279,000 | BB- | 7.500% due 6/1/30(a) |
266,174 | |||||||
| 480,000 | BB- | 6.500% due 7/15/48 |
358,171 | |||||||
| Genesis Energy LP/Genesis Energy Finance Corp., Company Guaranteed Notes: | ||||||||||
| 700,000 | B | 6.500% due 10/1/25 |
673,091 | |||||||
| 33,000 | B | 6.250% due 5/15/26 |
31,315 | |||||||
| 150,000 | B | 8.875% due 4/15/30 |
150,967 | |||||||
| 460,000 | BB- | Harvest Midstream I LP, Senior Unsecured Notes, 7.500% due 9/1/28(a) | 444,047 | |||||||
| 409,000 | BB+ | Holly Energy Partners LP/Holly Energy Finance Corp., Company Guaranteed Notes, |
371,024 | |||||||
| 473,000 | B+ | Howard Midstream Energy Partners LLC, Senior Unsecured Notes, 6.750% due 1/15/27(a) | 450,904 | |||||||
See Notes to Financial Statements.
205
| Schedules of Investments |
| (unaudited) (continued) |
| High Yield Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Pipelines — 6.7% — (continued) | ||||||||||
| $ | 412,000 | B | ITT Holdings LLC, Senior Unsecured Notes, 6.500% due 8/1/29(a) | $ | 339,214 | |||||
| 650,000 | B | NGL Energy Operating LLC/NGL Energy Finance Corp., Senior Secured Notes, |
621,407 | |||||||
| NuStar Logistics LP, Company Guaranteed Notes: | ||||||||||
| 100,000 | BB- | 5.750% due 10/1/25 |
96,543 | |||||||
| 238,000 | BB- | 6.375% due 10/1/30 |
222,204 | |||||||
| 110,000 | BB- | Summit Midstream Holdings LLC/Summit Midstream Finance Corp., Secured Notes, |
104,574 | |||||||
| 170,000 | BB- | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., Company Guaranteed Notes, |
146,824 | |||||||
| Venture Global Calcasieu Pass LLC, Senior Secured Notes: | ||||||||||
| 264,000 | BB+ | 3.875% due 8/15/29(a) |
227,949 | |||||||
| 210,000 | BB+ | 6.250% due 1/15/30(a) |
207,391 | |||||||
| 290,000 | BB+ | 3.875% due 11/1/33(a) |
236,770 | |||||||
| Western Midstream Operating LP, Senior Unsecured Notes: | ||||||||||
| 280,000 | BBB- | 5.450% due 4/1/44 |
236,726 | |||||||
| 170,000 | BBB- | 5.500% due 2/1/50 |
138,842 | |||||||
|
|
|
|||||||||
| Total Pipelines | 7,429,158 | |||||||||
|
|
|
|||||||||
| Real Estate — 0.9% | ||||||||||
| 409,000 | BB | Cushman & Wakefield US Borrower LLC, Senior Secured Notes, 6.750% due 5/15/28(a) | 385,912 | |||||||
| 300,000 | B- | Five Point Operating Co. LP/Five Point Capital Corp., Company Guaranteed Notes, |
271,129 | |||||||
| Kennedy-Wilson Inc., Company Guaranteed Notes: | ||||||||||
| 150,000 | BB- | 4.750% due 3/1/29 |
120,636 | |||||||
| 305,000 | BB- | 4.750% due 2/1/30 |
234,755 | |||||||
|
|
|
|||||||||
| Total Real Estate | 1,012,432 | |||||||||
|
|
|
|||||||||
| Real Estate Investment Trusts (REITs) — 3.0% | ||||||||||
| 240,000 | NR | AFC Gamma Inc., Senior Unsecured Notes, 5.750% due 5/1/27(a)(h) | 190,934 | |||||||
| 534,000 | B+ | Apollo Commercial Real Estate Finance Inc., Senior Secured Notes, 4.625% due 6/15/29(a) | 413,021 | |||||||
| Diversified Healthcare Trust: | ||||||||||
| 90,000 | B | Company Guaranteed Notes, 9.750% due 6/15/25 |
87,402 | |||||||
| 300,000 | CCC+ | Senior Unsecured Notes, 4.750% due 2/15/28 |
195,556 | |||||||
| HAT Holdings I LLC/HAT Holdings II LLC, Company Guaranteed Notes: | ||||||||||
| 307,000 | BB+ | 6.000% due 4/15/25(a) |
295,022 | |||||||
| 407,000 | BB+ | 3.375% due 6/15/26(a) |
353,490 | |||||||
| 390,000 | NR | IIP Operating Partnership LP, Company Guaranteed Notes, 5.500% due 5/25/26 | 338,127 | |||||||
| 125,000 | BB- | Iron Mountain Information Management Services Inc., Company Guaranteed Notes, |
103,205 | |||||||
| Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Company Guaranteed Notes: |
||||||||||
| 410,000 | BB- | 4.250% due 2/1/27(a) |
348,984 | |||||||
| 130,000 | BB- | 4.750% due 6/15/29(a) |
105,839 | |||||||
| 160,000 | BBB- | MPT Operating Partnership LP/MPT Finance Corp., Company Guaranteed Notes, |
109,837 | |||||||
| Service Properties Trust: | ||||||||||
| 131,000 | BB | Company Guaranteed Notes, 5.500% due 12/15/27 |
118,186 | |||||||
| Senior Unsecured Notes: |
||||||||||
| 227,000 | B+ | 3.950% due 1/15/28 |
181,623 | |||||||
| 545,000 | B+ | 4.375% due 2/15/30 |
416,976 | |||||||
|
|
|
|||||||||
| Total Real Estate Investment Trusts (REITs) | 3,258,202 | |||||||||
|
|
|
|||||||||
| Retail — 4.6% | ||||||||||
| 70,000 | BB | Academy Ltd., Senior Secured Notes, 6.000% due 11/15/27(a) | 66,224 | |||||||
See Notes to Financial Statements.
206
| Schedules of Investments |
| (unaudited) (continued) |
| High Yield Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Retail — 4.6% — (continued) | ||||||||||
| Bath & Body Works Inc., Company Guaranteed Notes: | ||||||||||
| $ | 20,000 | BB | 9.375% due 7/1/25(a) |
$ | 21,172 | |||||
| 150,000 | BB | 5.250% due 2/1/28 |
139,843 | |||||||
| 100,000 | BB | 6.625% due 10/1/30(a) |
94,827 | |||||||
| 285,000 | BB- | Brinker International Inc., Company Guaranteed Notes, 5.000% due 10/1/24(a) | 277,452 | |||||||
| 170,000 | CCC- | Carrols Restaurant Group Inc., Company Guaranteed Notes, 5.875% due 7/1/29(a) | 129,429 | |||||||
| 456,000 | CCC | Carvana Co., Company Guaranteed Notes, 5.875% due 10/1/28(a) | 219,757 | |||||||
| 464,000 | B- | CEC Entertainment LLC, Senior Secured Notes, 6.750% due 5/1/26(a) | 432,169 | |||||||
| 268,000 | B | Dave & Buster’s Inc., Senior Secured Notes, 7.625% due 11/1/25(a) | 271,950 | |||||||
| 600,000 | B- | eG Global Finance PLC, Senior Secured Notes, 6.750% due 2/7/25(a) | 542,220 | |||||||
| 337,000 | B | Ferrellgas LP/Ferrellgas Finance Corp., Senior Unsecured Notes, 5.375% due 4/1/26(a) | 303,747 | |||||||
| 190,000 | B | Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., Senior Secured
Notes, |
164,502 | |||||||
| FirstCash Inc., Company Guaranteed Notes: | ||||||||||
| 448,000 | BB | 4.625% due 9/1/28(a) |
389,644 | |||||||
| 187,000 | BB | 5.625% due 1/1/30(a) |
165,677 | |||||||
| 200,000 | BB+ | Foot Locker Inc., Senior Unsecured Notes, 4.000% due 10/1/29(a) | 163,717 | |||||||
| 350,000 | BB- | Ken Garff Automotive LLC, Senior Unsecured Notes, 4.875% due 9/15/28(a) | 301,788 | |||||||
| 410,000 | CCC | LBM Acquisition LLC, Company Guaranteed Notes, 6.250% due 1/15/29(a) | 293,924 | |||||||
| Michaels Cos Inc. (The): | ||||||||||
| 60,000 | B- | Senior Secured Notes, 5.250% due 5/1/28(a) |
49,995 | |||||||
| 300,000 | CCC | Senior Unsecured Notes, 7.875% due 5/1/29(a) |
226,109 | |||||||
| 97,000 | B- | NMG Holding Co., Inc./Neiman Marcus Group LLC, Senior Secured Notes, |
93,704 | |||||||
| 367,000 | CCC | Park River Holdings Inc., Senior Unsecured Notes, 6.750% due 8/1/29(a) | 257,217 | |||||||
| 180,000 | B3(b) | Sizzling Platter LLC/Sizzling Platter Finance Corp., Senior Secured Notes, |
164,373 | |||||||
| 113,000 | B | Specialty Building Products Holdings LLC/SBP Finance Corp., Senior Secured Notes, |
103,801 | |||||||
| 100,000 | BB- | Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Unsecured Notes, |
83,319 | |||||||
| 90,000 | BB- | Superior Plus LP/Superior General Partner Inc., Company Guaranteed Notes, |
78,268 | |||||||
|
|
|
|||||||||
| Total Retail | 5,034,828 | |||||||||
|
|
|
|||||||||
| Semiconductors — 0.4% | ||||||||||
| 320,000 | BB- | Entegris Escrow Corp., Company Guaranteed Notes, 5.950% due 6/15/30(a) | 298,032 | |||||||
| 219,000 | BB | ON Semiconductor Corp., Company Guaranteed Notes, 3.875% due 9/1/28(a) | 192,677 | |||||||
|
|
|
|||||||||
| Total Semiconductors | 490,709 | |||||||||
|
|
|
|||||||||
| Software — 1.4% | ||||||||||
| 220,000 | CCC | AthenaHealth Group Inc., Senior Unsecured Notes, 6.500% due 2/15/30(a) | 174,273 | |||||||
| 420,000 | B+ | Central Parent Inc./CDK Global Inc., Senior Secured Notes, 7.250% due 6/15/29(a) | 411,080 | |||||||
| 160,000 | CCC+ | Clarivate Science Holdings Corp., Company Guaranteed Notes, 4.875% due 7/1/29(a) | 137,502 | |||||||
| 170,000 | B+ | Elastic NV, Senior Unsecured Notes, 4.125% due 7/15/29(a) | 139,677 | |||||||
| 200,000 | B | Helios Software Holdings Inc./ION Corporate Solutions Finance Sarl, Senior Secured
Notes, |
162,484 | |||||||
| 100,000 | BBB- | Open Text Corp., Senior Secured Notes, 6.900% due 12/1/27(a) | 101,090 | |||||||
| 160,000 | B+ | Playtika Holding Corp., Company Guaranteed Notes, 4.250% due 3/15/29(a) | 129,744 | |||||||
| 508,000 | B- | Rackspace Technology Global Inc., Senior Secured Notes, 3.500% due 2/15/28(a) | 309,796 | |||||||
|
|
|
|||||||||
| Total Software | 1,565,646 | |||||||||
|
|
|
|||||||||
| Telecommunications — 3.1% | ||||||||||
| 300,000 | CCC+ | Altice France Holding SA, Senior Secured Notes, 10.500% due 5/15/27(a) | 248,049 | |||||||
| Altice France SA, Senior Secured Notes: | ||||||||||
| 490,000 | B | 5.125% due 7/15/29(a) |
378,815 | |||||||
| 446,000 | B | 5.500% due 10/15/29(a) |
348,384 | |||||||
See Notes to Financial Statements.
207
| Schedules of Investments |
| (unaudited) (continued) |
| High Yield Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Telecommunications — 3.1% — (continued) | ||||||||||
| $ | 170,000 | B | CommScope Inc., Senior Secured Notes, 4.750% due 9/1/29(a) | $ | 139,135 | |||||
| 200,000 | CCC+ | CommScope Technologies LLC, Company Guaranteed Notes, 6.000% due 6/15/25(a) | 191,908 | |||||||
| 477,000 | B+ | Connect Finco SARL/Connect US Finco LLC, Senior Secured Notes, 6.750% due 10/1/26(a) | 441,772 | |||||||
| 303,000 | BB | Hughes Satellite Systems Corp., Company Guaranteed Notes, 6.625% due 8/1/26 | 285,529 | |||||||
| 560,000 | B+ | Iliad Holding SASU, Senior Secured Notes, 7.000% due 10/15/28(a) | 514,890 | |||||||
| 230,000 | BB+ | Sprint Capital Corp., Company Guaranteed Notes, 8.750% due 3/15/32 | 274,033 | |||||||
| 140,000 | B+ | Telecom Italia Capital SA, Company Guaranteed Notes, 6.000% due 9/30/34 | 117,109 | |||||||
| 435,000 | CCC+ | Telesat Canada/Telesat LLC, Senior Secured Notes, 4.875% due 6/1/27(a) | 220,066 | |||||||
| 260,000 | BB- | Vmed O2 UK Financing I PLC, Senior Secured Notes, 4.750% due 7/15/31(a) | 215,566 | |||||||
|
|
|
|||||||||
| Total Telecommunications | 3,375,256 | |||||||||
|
|
|
|||||||||
| Transportation — 0.7% | ||||||||||
| 341,000 | BB | Cargo Aircraft Management Inc., Company Guaranteed Notes, 4.750% due 2/1/28(a) | 295,930 | |||||||
| 320,000 | CCC+ | Carriage Purchaser Inc., Senior Unsecured Notes, 7.875% due 10/15/29(a) | 239,535 | |||||||
| 184,000 | BB- | XPO CNW Inc., Senior Unsecured Notes, 6.700% due 5/1/34 | 168,401 | |||||||
| 50,000 | BB+ | XPO Escrow Sub LLC, Company Guaranteed Notes, 7.500% due 11/15/27(a) | 50,773 | |||||||
|
|
|
|||||||||
| Total Transportation | 754,639 | |||||||||
|
|
|
|||||||||
| Trucking & Leasing — 0.3% | ||||||||||
| 375,000 | BB+ | AerCap Global Aviation Trust, Company Guaranteed Notes, 6.500% |
363,784 | |||||||
|
|
|
|||||||||
| TOTAL CORPORATE BONDS & NOTES (Cost — $109,411,548) |
97,565,042 | |||||||||
|
|
|
|||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 3.7% | ||||||||||
| 280,000 | BBB- | ARES XLIV CLO Ltd., Series 2017-44A, Class CR, 8.192% |
267,872 | |||||||
| 250,000 | Baa3(b) | Battalion CLO XI Ltd., Series 2017-11A, Class DR, 8.466% |
233,703 | |||||||
| 280,000 | Ba3(b) | Canyon Capital CLO Ltd., Series 2021-1A, Class E, 11.202% |
244,357 | |||||||
| 250,000 | Baa3(b) | Dryden 49 Senior Loan Fund, Series 2017-49A, Class DR, 8.195% |
234,779 | |||||||
| 360,000 | BB- | Madison Park Funding XXXV Ltd., Series 2019-35A, Class ER, 10.908% |
333,427 | |||||||
| 500,000 | Ba1(b) | Marble Point CLO XIV Ltd., Series 2018-2A, Class D, 8.338% |
433,669 | |||||||
| 280,000 | Baa3(b) | Mountain View CLO IX Ltd., Series 2015-9A, Class CR, 7.912% |
240,951 | |||||||
| 250,000 | BB- | Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class DR2, 10.735% |
219,448 | |||||||
| 280,000 | Baa3(b) | Ocean Trails CLO IX, Series 2020-9A, Class DR, 8.542% |
275,748 | |||||||
| 210,000 | BBB- | Ocean Trails CLO V, Series 2014-5A, Class DRR, 8.265% |
196,636 | |||||||
| 110,000 | Baa3(b) | Palmer Square Loan Funding Ltd., Series 2022-3A, Class C, 9.405% |
109,259 | |||||||
| 300,000 | BBB- | Pulsar Funding I LLC, Series 2019-1A, Class C, 9.608% |
279,770 | |||||||
| 230,000 | BB- | Sculptor CLO XXVI Ltd., Series 26A, Class E, 12.058% |
203,230 | |||||||
| 234,333 | Ba3(b) | Symphony CLO XX Ltd., Series 2018-20A, Class E, 11.082% |
215,053 | |||||||
| 310,000 | Ba3(b) | THL Credit Wind River CLO Ltd., Series 2017-3A, Class ER, 11.842% |
284,691 | |||||||
See Notes to Financial Statements.
208
| Schedules of Investments |
| (unaudited) (continued) |
| High Yield Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 3.7% — (continued) | ||||||||||
| $ | 350,000 | BB- | Voya CLO Ltd., Series 2017-3A, Class DR, 11.758% |
$ | 329,655 | |||||
|
|
|
|||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $4,413,292) |
4,102,248 | |||||||||
|
|
|
|||||||||
| SENIOR LOANS — 3.1% | ||||||||||
| 58,350 | NR | Acrisure LLC, (Cost — $58,268, acquired 1/31/20), 8.135% |
55,907 | |||||||
| 393,178 | NR | Arctic Canadian Diamond Co., Ltd., (Cost — $393,178, acquired 2/2/21), 17.500% |
342,654 | |||||||
| 48,486 | NR | CMG Media Corporation, (Cost — $48,354, acquired 12/12/19), 8.230% |
45,661 | |||||||
| 223,643 | NR | Commscope Inc., (Cost - $218,974, acquired 4/17/20), 7.885% |
217,605 | |||||||
| 180,000 | NR | DCert Buyer Inc., (Cost — $179,663, acquired 2/16/21), 11.696% |
168,187 | |||||||
| 320,925 | NR | DCert Buyer Inc., (Cost — $315,201, acquired 4/17/20), 8.696% |
316,793 | |||||||
| 80,000 | NR | Deerfield Dakota Holding LLC, (Cost — $79,242, acquired 3/5/20), 11.385% |
75,150 | |||||||
| 263,250 | NR | Equinox Holdings Inc., (Cost — $261,082, acquired 6/9/20), 13.730% |
225,079 | |||||||
| 58,442 | NR | EyeCare Partners LLC, (Cost — $58,408, acquired 2/5/20), 8.480% |
49,220 | |||||||
| 47,178 | NR | Global Tel*Link Corporation, (Cost — $46,302, acquired 8/16/19), 9.076% |
42,247 | |||||||
| 235,223 | NR | Great Outdoors Group LLC, (Cost — $235,223, acquired 11/24/21), 8.385% |
232,208 | |||||||
| 288,000 | NR | Mileage Plus Holdings LLC , (Cost — $284,429, acquired 6/25/20), 9.996% |
300,367 | |||||||
| 150,187 | NR | Peraton Corp., (Cost — $149,652, acquired 2/23/21), 8.385% |
149,061 | |||||||
| 245,625 | NR | RealTruck Group Inc., (Cost — $245,625, acquired 1/20/21), 8.385% |
223,379 | |||||||
| 176,758 | NR | Redstone HoldCo 2 LP, (Cost — $175,458, acquired 4/16/21), 9.568% |
145,438 | |||||||
| 243,038 | NR | Sedgwick Claims Management Services Inc., 8.597% |
240,556 | |||||||
| 70,133 | NR | Spencer Spirit IH LLC, (Cost — $69,472, acquired 6/14/19), 10.617% |
69,490 | |||||||
| 302,967 | NR | U.S. Renal Care Inc., (Cost — $302,656, acquired 1/7/21), 9.688% |
203,691 | |||||||
| 311,972 | NR | Verscend Holding Corp., (Cost — $305,140, acquired 4/8/20), 8.635% |
312,251 | |||||||
|
|
|
|||||||||
| TOTAL SENIOR LOANS (Cost — $3,649,974) |
3,414,944 | |||||||||
|
|
|
|||||||||
| Shares | ||||||||||
| COMMON STOCKS — 0.3% | ||||||||||
| ENERGY — 0.3% | ||||||||||
| Oil & Gas — 0.3% | ||||||||||
| 18,672 | Berry Corp | 176,077 | ||||||||
| 1,156 | Chord Energy Corp | 155,621 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (Cost — $148,347) |
331,698 | |||||||||
|
|
|
|||||||||
See Notes to Financial Statements.
209
| Schedules of Investments |
| (unaudited) (continued) |
| High Yield Fund | ||||||||||
| Shares |
Rating†† | Security | Value | |||||||
| CONVERTIBLE PREFERRED STOCK — 0.2% | ||||||||||
| ENERGY — 0.2% | ||||||||||
| Pipelines — 0.2% | ||||||||||
| 6,549 | MPLX LP, (Cost — $212,843, acquired 12/16/20), step bond to yield, 8.462%*(d)(i)(j) (Cost — $212,842) |
$ | 234,631 | |||||||
|
|
|
|||||||||
| Face Amount/Units† |
||||||||||
| SOVEREIGN BONDS — 0.1% | ||||||||||
| Argentina — 0.1% | ||||||||||
| Argentine Republic Government International Bonds: | ||||||||||
| $ | 9,647 | CCC+ | 1.000% due 7/9/29 |
3,017 | ||||||
| 51,375 | CCC+ | step bond to yield, 0.500% due 7/9/30 |
16,763 | |||||||
| 54,124 | CCC+ | step bond to yield, 1.500% due 7/9/35 |
15,525 | |||||||
| 20,000 | CCC+ | Provincia de Buenos Aires/Government Bonds, step bond to yield, 5.250% due 9/1/37(a) | 7,725 | |||||||
|
|
|
|||||||||
| TOTAL SOVEREIGN BONDS (Cost — $74,514) |
43,030 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $117,910,517) |
105,691,593 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 3.6% | ||||||||||
| TIME DEPOSITS — 3.6% | ||||||||||
| 77 | Citibank — New York, 3.920% due 3/1/23 | 77 | ||||||||
| 1,418,607 | JPMorgan Chase & Co. — New York, 3.920% due 3/1/23 | 1,418,607 | ||||||||
| 1,965,810 | Royal Bank of Canada — Toronto, 3.920% due 3/1/23 | 1,965,810 | ||||||||
| 559,973 | Sumitomo Mitsui Banking Corp. — Tokyo, 3.920% due 3/1/23 | 559,973 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost — $3,944,467) |
3,944,467 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.3% (Cost — $121,854,984) |
109,636,060 | |||||||||
|
|
|
|||||||||
| Other Assets in Excess of Liabilities — 0.7% | 823,334 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 110,459,394 | ||||||||
|
|
|
|||||||||
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
| (a) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 28, 2023, amounts to $83,952,396 and represents 76.0% of net assets. |
| (b) | Rating by Moody’s Investors Service. |
| (c) | Variable rate security. Interest rate disclosed is that which was in effect at February 28, 2023. |
| (d) | Security is perpetual in nature and has no stated maturity date. |
| (e) | Payment in-kind security for which part of the income earned may be paid as additional principal. |
| (f) | Rating by Fitch Ratings Service. |
| (g) | Security is currently in default. |
| (h) | Illiquid security. |
| (i) | The aggregate value of restricted securities (excluding 144A holdings) at February 28, 2023, amounts to $3,409,019 and represents 3.1% of net assets. |
| (j) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
See Notes to Financial Statements.
210
| Schedules of Investments |
| (unaudited) (continued) |
At February 28, 2023, for High Yield Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| Fund | Aggregate Cost For Federal Income Tax Purposes |
Gross Unrealized Appreciation |
Gross Unrealized (Depreciation) |
Net Unrealized (Depreciation) |
||||||||||
| High Yield Fund | $ 121,854,984 | $ | 1,362,374 | $ | (13,581,298 | ) | $ | (12,218,924 | ) | |||||
| Abbreviations used in this schedule: | ||
| CLO | — Collateralized Loan Obligation | |
| CMT | — Constant Maturity Treasury Rate | |
| LIBOR | — London Interbank Offered Rate | |
| LLC | — Limited Liability Company | |
| PLC | — Public Limited Company | |
| SOFR | — Secured Overnight Financing Rate | |
| Summary of Investments by Security Type^ | ||||
| Corporate Bonds & Notes |
89.0 | % | ||
| Collateralized Mortgage Obligations |
3.8 | |||
| Senior Loans |
3.1 | |||
| Common Stocks |
0.3 | |||
| Convertible Preferred Stock |
0.2 | |||
| Sovereign Bonds |
0.0 | * | ||
| Short-Term Investments |
3.6 | |||
|
|
|
|||
| Total Investments |
100.0 | % | ||
|
|
|
|||
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05%. |
| Currency Abbreviation used in this schedule: | ||
| USD | — United States Dollar | |
See pages 272-273 for definitions of ratings.
See Notes to Financial Statements.
211
| Schedules of Investments |
| (unaudited) (continued) |
See Notes to Financial Statements.
212
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||||
| Face Amount/Units† |
Security | Value | ||||||
| Malaysia — 0.7% |
||||||||
| 4,800,000 | MYR | Malaysia Government Bonds, 3.480% due 3/15/23 | $ | 1,069,838 | ||||
| 200,000 | MYR | Malaysia Government Investment Issue, 3.151% due 5/15/23 | 44,590 | |||||
|
|
|
|||||||
| Total Malaysia | 1,114,428 | |||||||
|
|
|
|||||||
| Peru — 0.6% |
||||||||
| Peruvian Government International Bonds: | ||||||||
| 1,300,000 | PEN | 6.350% due 8/12/28 |
323,381 | |||||
| 1,300,000 | PEN | 6.350% due 8/12/28(b) |
323,381 | |||||
| 600,000 | PEN | 5.940% due 2/12/29 |
144,532 | |||||
| 400,000 | PEN | 5.940% due 2/12/29(b) |
96,355 | |||||
| 700,000 | PEN | 6.950% due 8/12/31(b) |
173,473 | |||||
| 200,000 | PEN | 5.350% due 8/12/40(b) |
39,107 | |||||
|
|
|
|||||||
| Total Peru | 1,100,229 | |||||||
|
|
|
|||||||
| Poland — 0.2% |
||||||||
| Poland Government International Bonds: | ||||||||
| 200,000 | EUR | 3.875% due 2/14/33 |
205,478 | |||||
| 100,000 | EUR | 4.250% due 2/14/43 |
102,105 | |||||
|
|
|
|||||||
| Total Poland | 307,583 | |||||||
|
|
|
|||||||
| Romania — 0.6% |
||||||||
| Romanian Government International Bonds: | ||||||||
| 600,000 | EUR | 6.625% due 9/27/29 |
645,465 | |||||
| 200,000 | EUR | 1.750% due 7/13/30(b) |
153,638 | |||||
| 100,000 | EUR | 2.000% due 4/14/33(b) |
70,794 | |||||
| 50,000 | EUR | 2.750% due 4/14/41(b) |
30,435 | |||||
| 200,000 | EUR | 2.875% due 4/13/42(b) |
122,078 | |||||
|
|
|
|||||||
| Total Romania | 1,022,410 | |||||||
|
|
|
|||||||
| Saudi Arabia — 0.6% |
||||||||
| Saudi Government International Bonds: | ||||||||
| $ | 400,000 | 4.750% due 1/18/28(b) |
395,650 | |||||
| 700,000 | 4.875% due 7/18/33(b) |
688,544 | ||||||
|
|
|
|||||||
| Total Saudi Arabia | 1,084,194 | |||||||
|
|
|
|||||||
| Serbia — 0.1% |
||||||||
| Serbia International Bonds: | ||||||||
| 100,000 | EUR | 1.000% due 9/23/28(b) |
80,192 | |||||
| 100,000 | EUR | 1.650% due 3/3/33(b) |
67,998 | |||||
|
|
|
|||||||
| Total Serbia | 148,190 | |||||||
|
|
|
|||||||
| Spain — 3.7% |
||||||||
| 100,000 | EUR | Autonomous Community of Catalonia, 4.220% due 4/26/35 | 102,951 | |||||
| Spain Government Bonds: | ||||||||
| 400,000 | EUR | 1.450% due 10/31/27(b) |
389,328 | |||||
| 1,500,000 | EUR | 1.400% due 7/30/28(b) |
1,436,349 | |||||
| 450,000 | EUR | 1.450% due 4/30/29(b) |
426,177 | |||||
| 150,000 | EUR | 0.700% due 4/30/32(b) |
123,965 | |||||
| 2,100,000 | EUR | 2.550% due 10/31/32(b) |
2,036,394 | |||||
| 400,000 | EUR | 1.850% due 7/30/35(b) |
344,054 | |||||
| 500,000 | EUR | 1.900% due 10/31/52(b) |
335,772 | |||||
| 850,000 | EUR | 3.450% due 7/30/66(b) |
787,968 | |||||
| 800,000 | EUR | 1.450% due 10/31/71(b) |
388,596 | |||||
|
|
|
|||||||
| Total Spain | 6,371,554 | |||||||
|
|
|
|||||||
See Notes to Financial Statements.
213
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||||
| Face Amount/Units† |
Security | Value | ||||||
| United Kingdom — 2.4% |
||||||||
| United Kingdom Gilts: | ||||||||
| 1,350,000 | GBP | 3.250% due 1/22/44 |
$ | 1,415,705 | ||||
| 700,000 | GBP | 3.500% due 1/22/45 |
759,810 | |||||
| 500,000 | GBP | 1.750% due 1/22/49 |
374,858 | |||||
| 1,400,000 | GBP | 0.625% due 10/22/50 |
725,670 | |||||
| 1,300,000 | GBP | 1.250% due 7/31/51 |
820,327 | |||||
|
|
|
|||||||
| Total United Kingdom | 4,096,370 | |||||||
|
|
|
|||||||
| TOTAL SOVEREIGN BONDS (Cost — $52,656,395) |
38,763,959 | |||||||
|
|
|
|||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 20.5% | ||||||||
| $ | 345,089 | ACAS CLO Ltd., Series 2015-1A, Class AR3,
5.685% |
340,895 | |||||
| 374,874 | ACE Securities Corp. Home Equity Loan Trust, Series
2005-HE5, Class M4, 5.517% |
360,121 | ||||||
| 247,572 | GBP | ALBA PLC, Series 2007-1, Class A3,
3.920% |
286,807 | |||||
| 398,148 | AMMC CLO 21 Ltd., Series 2017-21A, Class A,
6.064% |
396,945 | ||||||
| 400,000 | Apidos CLO XXIV, Series 2016-24A, Class A1AL,
5.758% |
395,199 | ||||||
| 400,000 | Apidos CLO XXVI, Series 2017-26A, Class A1AR,
5.695% |
397,928 | ||||||
| 400,000 | Arbor Realty Commercial Real Estate Notes Ltd., Series
2022-FL1, Class A, 5.851% |
395,808 | ||||||
| 400,000 | ARES L CLO Ltd., Series 2018-50A, Class AR,
5.842% |
395,952 | ||||||
| 397,734 | Argent Mortgage Loan Trust, Series 2005-W1,
Class A1, 5.097% |
358,539 | ||||||
| 198,767 | GBP | Avon Finance No 2 PLC, Series 2A, Class A, 4.549% |
236,803 | |||||
| 6,281 | Banc of America Funding Trust, Series 2006-A, Class 1A1, 4.160% due 2/20/36(c) | 5,836 | ||||||
| 217,169 | Barings CLO Ltd., Series 2013-IA, Class AR,
5.608% |
217,169 | ||||||
| 157,958 | Bayview Financial Asset Trust, Series 2007-SR1A, Class A, 5.067% |
164,496 | ||||||
| 400,000 | BDS Ltd., Series 2021-FL10, Class A,
5.941% |
392,708 | ||||||
| Bear Stearns Adjustable Rate Mortgage Trust: | ||||||||
| 1,925 | Series 2003-5, Class 1A2, 3.233% due 8/25/33(c) |
1,818 | ||||||
| 2,562 | Series 2003-7, Class 6A, 3.837% due 10/25/33(c) |
2,393 | ||||||
| 8,081 | Series 2004-2, Class 22A, 3.560% due 5/25/34(c) |
7,410 | ||||||
| 2,793 | Series 2004-2, Class 23A, 3.167% due 5/25/34(c) |
2,354 | ||||||
| 42,065 | Bear Stearns Structured Products Inc. Trust, Series 2007-R6, Class 1A1, 3.814% due 1/26/36(c) | 31,076 | ||||||
| 400,000 | BIG Commercial Mortgage Trust, Series 2022-BIG,
Class A, 5.904% |
391,817 | ||||||
| 1,775 | EUR | Black Diamond CLO Designated Activity Co., Series
2015-1A, Class A1R, 2.834% |
1,875 | |||||
| 220,719 | EUR | BlueMountain Fuji Euro CLO II DAC, Series 2017-2A,
Class AR, 2.938% |
229,459 | |||||
| 300,000 | EUR | BNPP AM Euro CLO DAC, Series 2019-1A, Class AR,
3.213% |
309,723 | |||||
| 213,101 | EUR | Cairn CLO VII DAC, Series 2016-7A, Class A1R,
3.162% |
221,688 | |||||
| 250,000 | EUR | Cairn CLO VIII BV, Series 2018-10A, Class AR,
3.068% |
259,327 | |||||
See Notes to Financial Statements.
214
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||||
| Face Amount/Units† |
Security | Value | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 20.5% — (continued) | ||||||||
| $ | 400,000 | CARLYLE US CLO Ltd., Series 2017-1A, Class A1R,
5.808% |
$ | 395,500 | ||||
| CIFC Funding Ltd.: | ||||||||
| 387,508 | Series 2017-4A, Class A1R, 5.766% (3-Month USD-LIBOR + 0.950%) due 10/24/30(b)(c) |
384,186 | ||||||
| 400,000 | Series 2018-1A, Class A, 5.795% (3-Month USD-LIBOR + 1.000%) due 4/18/31(b)(c) |
395,369 | ||||||
| Countrywide Alternative Loan Trust: | ||||||||
| 3,707 | Series 2005-21CB, Class A3, 5.250% due 6/25/35 |
2,888 | ||||||
| 17,534 | Series 2007-16CB, Class 5A1, 6.250% due 8/25/37 |
9,511 | ||||||
| 33,115 | Series 2007-11T1, Class A12, 4.967% (1-Month USD-LIBOR + 0.350%) due 5/25/37(c) |
11,813 | ||||||
| 25,970 | Series 2007-7T2, Class A9, 6.000% due 4/25/37 |
12,305 | ||||||
| Countrywide Asset-Backed Certificates: | ||||||||
| 301,601 | Series 2007-9, Class 2A4, 4.867% (1-Month USD-LIBOR + 0.250%) due 2/25/36(c) |
272,966 | ||||||
| 45,716 | Series 2007-12, Class 1A1, 5.357% (1-Month USD-LIBOR + 0.740%) due 8/25/47(c) |
44,267 | ||||||
| 340,555 | Series 2007-13, Class 1A, 5.457% (1-Month USD-LIBOR + 0.840%) due 10/25/47(c) |
329,528 | ||||||
| 35,866 | Series 2007-SEA2, Class 1A1, 6.617% (1-Month USD-LIBOR + 2.000%) due 8/25/47(b)(c) |
35,630 | ||||||
| Countrywide Home Loan Mortgage Pass-Through Trust: | ||||||||
| 42,458 | Series 2005-2, Class 1A1, 5.257% (1-Month USD-LIBOR + 0.640%) due 3/25/35(c) |
34,274 | ||||||
| 2,933 | Series 2005-3, Class 2A1, 5.197% (1-Month USD-LIBOR + 0.580%) due 4/25/35(c) |
2,646 | ||||||
| 46,081 | Series 2005-9, Class 1A3, 5.077% (1-Month USD-LIBOR + 0.460%) due 5/25/35(c) |
37,492 | ||||||
| 13,453 | Series 2005-11, Class 3A1, 3.192% due 4/25/35(c) |
10,444 | ||||||
| 7,796 | Series 2005-HYB9, Class 3A2A, 5.910% (1-Year USD-LIBOR + 1.750%) due 2/20/36(c) |
6,488 | ||||||
| 500,005 | Series 2007-4, Class 1A47, 6.000% due 5/25/37 |
240,100 | ||||||
| 92,284 | Series 2007-19, Class 2A1, 6.500% due 11/25/47 |
49,924 | ||||||
| Credit Suisse Commercial Mortgage Capital Trust: | ||||||||
| 34,353 | Series 2007-5R, Class A5, 6.500% due 7/26/36 |
8,897 | ||||||
| 84,334 | Series 2021-INV1, Class A3, 2.500% due 7/25/56(b)(c) |
68,403 | ||||||
| 131,880 | CSAB Mortgage-Backed Trust, Series 2006-4, Class A6A, step bond to yield, 6.184% due 12/25/36 | 28,690 | ||||||
| 300,000 | EUR | CVC Cordatus Loan Fund XI DAC, Series 11A, Class AR, 2.938% |
310,615 | |||||
| 422,457 | Deutsche Alternative-A Securities Mortgage Loan Trust,
Series 2007-3, Class 2A1, 5.367% |
340,596 | ||||||
| 300,000 | EUR | Dryden 27 Euro CLO DAC, Series 2017-27A, Class AR,
2.948% |
310,306 | |||||
| 400,000 | Dryden 55 CLO Ltd., Series 2018-55A, Class A1,
5.812% |
396,989 | ||||||
| 269,346 | Dryden Senior Loan Fund, Series 2017-47A,
Class A1R, 5.772% |
268,155 | ||||||
| 394,042 | Elevation CLO Ltd., Series 2017-8A, Class A1R2,
5.768% |
389,362 | ||||||
| 369,045 | Ellington Loan Acquisition Trust, Series 2007-2,
Class A1, 5.667% |
353,846 | ||||||
| 95,948 | GBP | Eurohome UK Mortgages PLC, Series 2007-1, Class A,
3.946% |
112,440 | |||||
| 263,335 | GBP | Eurosail-UK PLC, Series
2007-4X, Class A3, 4.640% |
312,392 | |||||
| 390,477 | Extended Stay America Trust, Series 2021-ESH,
Class A, 5.668% |
385,061 | ||||||
| Federal Home Loan Mortgage Corp. (FHLMC), Structured Pass-Through Certificates: | ||||||||
| 12,865 | Series T-35, Class A, 4.897% (1-Month USD-LIBOR + 0.280%) due 9/25/31(c) |
12,800 | ||||||
| 18,933 | Series T-62, Class 1A1, 3.993% (1-Year Treasury Average Rate + 1.200%) due 10/25/44(c) |
17,906 | ||||||
| Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | ||||||||
| 10,434 | Series 2391, Class FJ, 5.088% (1-Month USD-LIBOR + 0.500%) due 4/15/28(c) |
10,436 | ||||||
| 23,033 | Series 2614, Class SJ, 7.046% (19.663% - 2.750% x 1-Month USD-LIBOR) due 5/15/33(d) |
21,892 | ||||||
| 84,369 | Series 4579, Class FD, 3.578% (1-Month USD-LIBOR + 0.350%) due 1/15/38(c) |
81,930 | ||||||
| 84,369 | Series 4579, Class SD, zero coupon due 1/15/38(c)(e) |
3,170 | ||||||
See Notes to Financial Statements.
215
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||||
| Face Amount/Units† |
Security | Value | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 20.5% — (continued) | ||||||||
| $ | 4,063 | Federal National Mortgage Association (FNMA), Grantor Trust, Series 2004-T3, Class 1A1, |
$ | 4,077 | ||||
| Federal National Mortgage Association (FNMA), REMICS: | ||||||||
| 4,114 | Series 2003-34, Class A1, 6.000% due 4/25/43 |
4,163 | ||||||
| 5,189 | Series 2006-48, Class TF, 5.017% (1-Month USD-LIBOR + 0.400%) due 6/25/36(c) |
5,154 | ||||||
| 53,121 | Series 2009-104, Class FA, 5.417% (1-Month USD-LIBOR + 0.800%) due 12/25/39(c) |
53,712 | ||||||
| 26,566 | Federal National Mortgage Association (FNMA), REMICS Trust, Series 2004-W12, Class 1A1, |
26,679 | ||||||
| 9,331 | First Franklin Mortgage Loan Trust, Series 2005-FF9,
Class A4, 5.337% |
9,314 | ||||||
| 400,000 | FORT CRE Issuer LLC, Series 2022-FL3, Class A,
6.326% |
395,027 | ||||||
| 394,674 | Galaxy XV CLO Ltd., Series 2013-15A, Class ARR,
5.762% |
392,386 | ||||||
| 500,000 | Gallatin CLO VIII Ltd., Series 2017-1A, Class A1R,
5.169% |
492,370 | ||||||
| 11,268 | GMACM Mortgage Loan Trust, Series 2005-AR6, Class 3A1, 3.603% due 11/19/35(c) | 9,533 | ||||||
| Government National Mortgage Association (GNMA): | ||||||||
| 252,851 | Series 2016-H15, Class FA, 4.805% (1-Month USD-LIBOR + 0.800%) due 7/20/66(c) |
250,876 | ||||||
| 5,058 | Series 2017-121, Class PE, 3.000% due 7/20/46 |
4,811 | ||||||
| 846,924 | GS Mortgage-Backed Securities Corp. Trust, Series 2022-PJ4, Class A4, 2.500% due 9/25/52(b)(c) | 686,939 | ||||||
| GS Mortgage-Backed Securities Trust: | ||||||||
| 173,821 | Series 2021-GR2, Class A2, 2.500% due 2/25/52(b)(c) |
140,769 | ||||||
| 88,801 | Series 2021-GR3, Class A2, 2.500% due 4/25/52(b)(c) |
71,842 | ||||||
| 356,084 | Series 2021-HP1, Class A2, 2.500% due 1/25/52(b)(c) |
288,819 | ||||||
| 87,461 | Series 2021-INV1, Class A2, 2.500% due 12/25/51(b)(c) |
70,939 | ||||||
| 273,979 | Series 2022-MM1, Class A2, 2.500% due 7/25/52(b)(c) |
221,542 | ||||||
| GSR Mortgage Loan Trust: | ||||||||
| 2,177 | Series 2003-1, Class A2, 2.880% (1-Year CMT Index + 1.750%) due 3/25/33(c) |
2,123 | ||||||
| 43,853 | Series 2005-AR7, Class 2A1, 3.911% due 11/25/35(c) |
43,130 | ||||||
| 400,000 | HalseyPoint CLO 3 Ltd., Series 2020-3A, Class A1A,
6.252% |
398,192 | ||||||
| Harborview Mortgage Loan Trust: | ||||||||
| 10,008 | Series 2005-2, Class 2A1A, 5.031% (1-Month USD-LIBOR + 0.440%) due 5/19/35(c) |
9,174 | ||||||
| 18,295 | Series 2005-3, Class 2A1A, 5.071% (1-Month USD-LIBOR + 0.480%) due 6/19/35(c) |
17,279 | ||||||
| 47,440 | Series 2006-SB1, Class A1A, 3.643% (1-Year Treasury Average Rate + 0.850%) due 12/19/36(c) |
39,432 | ||||||
| 65,531 | Series 2007-1, Class 2A1A, 4.851% (1-Month USD-LIBOR + 0.260%) due 3/19/37(c) |
57,758 | ||||||
| 289,511 | EUR | Harvest CLO XI DAC, Series 2011-A, Class ARR,
2.775% |
300,206 | |||||
| 579 | Homeward Opportunities Fund I Trust, Series 2020-2, Class A1, 1.657% due 5/25/65(b)(c) | 577 | ||||||
| JP Morgan Mortgage Trust: | ||||||||
| 2,112 | Series 2003-A2, Class 3A1, 3.113% due 11/25/33(c) |
1,955 | ||||||
| 468 | Series 2005-A1, Class 6T1, 3.760% due 2/25/35(c) |
428 | ||||||
| 352,699 | Series 2021-10, Class A3, 2.500% due 12/25/51(b)(c) |
287,391 | ||||||
| 1,045,495 | Series 2021-INV4, Class A2, 3.000% due 1/25/52(b)(c) |
886,187 | ||||||
| 347,364 | Series 2021-INV5, Class A2, 3.000% due 12/25/51(b)(c) |
294,884 | ||||||
| 1,067,604 | Series 2021-INV8, Class A2, 3.000% due 5/25/52(b)(c) |
906,671 | ||||||
| 640,749 | Series 2022-INV1, Class A3, 3.000% due 3/25/52(b)(c) |
543,114 | ||||||
| 864,042 | Series 2022-LTV2, Class A3, 3.500% due 9/25/52(b)(c) |
768,804 | ||||||
| 316,630 | LCM XIII LP, Series 13A, Class AR3,
5.668% |
315,038 | ||||||
| 354,915 | GBP | Ludgate Funding PLC, Series 2007-1, Class A2A,
4.054% |
407,011 | |||||
| 138,440 | LUXE Trust, Series 2021-TRIP, Class A,
5.638% |
135,473 | ||||||
See Notes to Financial Statements.
216
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||||
| Face Amount/Units† |
Security | Value | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 20.5% — (continued) | ||||||||
| $ | 294,663 | Madison Park Funding XLI Ltd., Series 12A, Class AR, 5.645% |
$ | 293,070 | ||||
| 300,000 | Manhattan West Mortgage Trust, Series 2020-1MW, Class A, 2.130% due 9/10/39(b) | 258,374 | ||||||
| 240,392 | Marble Point CLO X Ltd., Series 2017-1A, Class AR,
5.832% |
237,448 | ||||||
| 2,399 | Merrill Lynch Mortgage Investors Trust, Series 2003-A2, Class 1A1, 3.957% due 2/25/33(c) | 2,206 | ||||||
| 94,129 | MF1 Multifamily Housing Mortgage Loan Trust, Series
2021-FL5, Class A, 5.526% |
91,980 | ||||||
| 177,303 | MFA Trust, Series 2020-NQM2, Class A1, 1.381% due 4/25/65(b)(c) | 160,227 | ||||||
| New Residential Mortgage Loan Trust: | ||||||||
| 197,840 | Series 2019-RPL3, Class A1, 2.750% due 7/25/59(b)(c) |
185,021 | ||||||
| 202,424 | Series 2020-RPL1, Class A1, 2.750% due 11/25/59(b)(c) |
188,887 | ||||||
| 456,519 | GBP | Newgate Funding PLC, Series 2007-1X, Class A3,
3.839% |
525,053 | |||||
| 400,000 | NovaStar Mortgage Funding Trust, Series 2006-1,
Class A2D, 5.157% |
374,284 | ||||||
| 400,000 | NYO Commercial Mortgage Trust, Series 2021-1290, Class A, 5.683% |
377,051 | ||||||
| 300,000 | One New York Plaza Trust, Series 2020-1NYP, Class A, 5.538% |
286,771 | ||||||
| 60,671 | Option One Mortgage Loan Trust, Series 2007-CP1,
Class 1A1, 4.757% |
54,586 | ||||||
| 500,000 | OZLM IX Ltd., Series 2014-9A, Class A1A3,
5.908% |
493,438 | ||||||
| 317,509 | PRET LLC, Series 2021-RN3, Class A1, step bond to yield, 1.843% due 9/25/51(b) | 292,341 | ||||||
| RALI Trust: | ||||||||
| 81,715 | Series 2006-QS6, Class 1A1, 6.000% due 6/25/36 |
66,556 | ||||||
| 41,160 | Series 2007-QO2, Class A1, 4.767% |
15,265 | ||||||
| 43,648 | CAD | Real Estate Asset Liquidity Trust, Series 2018-1A, Class A1, 3.072% due 8/12/53(b) | 31,848 | |||||
| Residential Asset Securitization Trust: | ||||||||
| 13,394 | Series 2005-A15, Class 5A1, 5.750% due 2/25/36 |
5,420 | ||||||
| 37,275 | Series 2006-R1, Class A2, 5.017% (1-Month USD-LIBOR + 0.400%) due 1/25/46(c) |
11,722 | ||||||
| 131,534 | GBP | Residential Mortgage Securities 32 PLC, Series 32A, Class A, 4.899% |
158,642 | |||||
| 168,003 | GBP | ResLoC UK PLC, Series 2007-1X, Class A3B,
3.872% |
193,634 | |||||
| 965,770 | GBP | Ripon Mortgages PLC, Series 1RA, Class A, 4.646% |
1,153,128 | |||||
| RMAC Securities No 1 PLC: | ||||||||
| 320,003 | GBP | Series 2006-NS3X, Class A2A, 3.833% (Sterling Overnight Index Average + 0.269%) due 6/12/44(c) |
369,762 | |||||
| 167,522 | GBP | Series 2006-NS1X, Class A2A, 3.833% (Sterling Overnight Index Average + 0.269%) due 6/12/44(c) |
193,851 | |||||
| $ | 300,000 | Sculptor CLO XXV Ltd., Series 25A, Class A1,
6.062% |
296,397 | |||||
| 351,106 | EUR | Shamrock Residential DAC, Series 2022-1, Class A,
3.246% |
368,330 | |||||
| 900,000 | Signal Peak CLO 5 Ltd., Series 2018-5A, Class A,
5.928% |
892,850 | ||||||
| 90,127 | Sound Point CLO XIV Ltd., Series 2016-3A,
Class AR2, 5.805% |
89,733 | ||||||
| 400,000 | Sound Point CLO XVII, Series 2017-3A, Class A1R,
5.788% |
394,858 | ||||||
| 1,051,515 | Soundview Home Loan Trust, Series 2006-3, Class A4,
5.117% |
981,657 | ||||||
See Notes to Financial Statements.
217
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||||
| Face Amount/Units† |
Security | Value | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 20.5% — (continued) | ||||||||
| $ | 341,644 | GBP | Stratton Mortgage Funding, Series 2021-2A, Class A,
4.734% |
$ | 411,344 | |||
| Structured Adjustable Rate Mortgage Loan Trust: | ||||||||
| 2,550 | Series 2004-1, Class 4A1, 5.194% due 2/25/34(c) |
2,371 | ||||||
| 5,450 | Series 2004-4, Class 3A2, 4.384% due 4/25/34(c) |
5,399 | ||||||
| 23,709 | Series 2004-19, Class 2A1, 4.193% (1-Year Treasury Average Rate + 1.400%) due 1/25/35(c) |
19,834 | ||||||
| Structured Asset Mortgage Investments II Trust: | ||||||||
| 22,775 | Series 2005-AR2, Class 2A1, 5.077% (1-Month USD-LIBOR + 0.460%) due 5/25/45(c) |
20,292 | ||||||
| 24,732 | Series 2005-AR8, Class A1A, 5.177% (1-Month USD-LIBOR + 0.560%) due 2/25/36(c) |
20,593 | ||||||
| 17,332 | Series 2006-AR5, Class 1A1, 5.037% (1-Month USD-LIBOR + 0.420%) due 5/25/36(c) |
11,294 | ||||||
| 103,337 | Series 2007-AR4, Class A3, 4.837% (1-Month USD-LIBOR + 0.220%) due 9/25/47(c) |
84,626 | ||||||
| 58,906 | Series 2007-AR6, Class A1, 4.293% (1-Year Treasury Average Rate + 1.500%) due 8/25/47(c) |
52,120 | ||||||
| 46,871 | Structured Asset Securities Corp., Series 2006-RF1,
Class 1A, 4.897% |
38,051 | ||||||
| 388,267 | TCI-Symphony CLO Ltd., Series 2017-1A, Class AR, 5.722% |
386,030 | ||||||
| 400,000 | THL Credit Wind River CLO Ltd., Series 2019-3A,
Class AR, 5.872% |
392,943 | ||||||
| 372,462 | GBP | Towd Point Mortgage Funding, Series 2019-A13A, Class A1, 5.184% |
447,029 | |||||
| 222,855 | GBP | Towd Point Mortgage Funding Auburn 14 PLC, Series 2020-A14X, Class A, 4.846% |
266,506 | |||||
| Towd Point Mortgage Trust: | ||||||||
| 626,134 | Series 2019-4, Class A1, 2.900% due 10/25/59(b)(c) |
584,712 | ||||||
| 163,710 | Series 2020-1, Class A1, 2.710% due 1/25/60(b)(c) |
152,289 | ||||||
| 134,585 | GBP | Trinity Square PLC, Series 2021-1A, Class A,
4.663% |
161,955 | |||||
| 69,243 | US Capital Funding II Ltd./US Capital Funding II Corp.,
5.564% |
68,551 | ||||||
| UWM Mortgage Trust: | ||||||||
| 453,351 | Series 2021-INV3, Class A3, 2.500% due 11/25/51(b)(c) |
367,148 | ||||||
| 274,645 | Series 2021-INV4, Class A3, 2.500% due 12/25/51(b)(c) |
220,357 | ||||||
| 92,624 | Series 2021-INV5, Class A12, 3.000% due 1/25/52(b)(c) |
78,169 | ||||||
| 400,000 | Venture 38 CLO Ltd., Series 2019-38A, Class A1R,
5.962% |
393,390 | ||||||
| 57,769 | Venture XVII CLO Ltd., Series 2014-17A, Class ARR,
5.672% |
57,577 | ||||||
| 138,550 | Vibrant CLO VI Ltd., Series 2017-6A, Class AR,
5.696% |
137,756 | ||||||
| 277,904 | Vibrant CLO VII Ltd., Series 2017-7A, Class A1R,
5.848% |
275,041 | ||||||
| 348,743 | Voya CLO Ltd., Series 2017-1A, Class A1R,
5.742% |
345,797 | ||||||
| WaMu Mortgage Pass-Through Certificates Trust: | ||||||||
| 4,381 | Series 2002-AR9, Class 1A, 4.193% (1-Year Treasury Average Rate + 1.400%) due 8/25/42(c) |
4,077 | ||||||
| 1,228 | Series 2003-AR5, Class A7, 3.233% due 6/25/33(c) |
1,141 | ||||||
| 46,255 | Series 2003-AR9, Class 2A, 4.166% due 9/25/33(c) |
41,434 | ||||||
| 119,592 | Series 2004-AR1, Class A, 3.934% due 3/25/34(c) |
116,659 | ||||||
| 15,094 | Series 2005-AR13, Class A1A1, 5.197% (1-Month USD-LIBOR + 0.580%) due 10/25/45(c) |
14,066 | ||||||
| 21,770 | Series 2006-AR10, Class 2A1, 3.596% due 9/25/36(c) |
18,655 | ||||||
| 35,542 | Series 2006-AR13, Class 2A, 4.293% (1-Year Treasury Average Rate + 1.500%) due 10/25/46(c) |
31,768 | ||||||
| 15,897 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-AR5, Class 3A, 3.733% |
9,845 | ||||||
| 43,625 | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2002-AR3, Class 1A7, 3.554% due 12/25/32(c) |
40,812 | ||||||
See Notes to Financial Statements.
218
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||||
| Face Amount/Units† |
Security | Value | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 20.5% — (continued) | ||||||||
| $ | 398,361 | Wind River CLO Ltd., Series 2014-1A, Class ARR,
5.845% |
$ | 392,372 | ||||
|
|
|
|||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $37,918,458) |
34,773,535 | |||||||
|
|
|
|||||||
| MORTGAGE-BACKED SECURITIES — 14.3% |
||||||||
| FHLMC — 0.3% |
||||||||
| Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||
| 31,851 | 3.500% due 10/1/39 |
29,929 | ||||||
| 395,309 | 2.500% due 12/1/51 |
335,426 | ||||||
| 97,124 | 2.000% due 3/1/52 |
79,297 | ||||||
|
|
|
|||||||
| Total FHLMC | 444,652 | |||||||
|
|
|
|||||||
| FNMA — 14.0% |
||||||||
| Federal National Mortgage Association (FNMA): | ||||||||
| 348,869 | 3.500% due 10/1/34 — 6/1/50 |
324,276 | ||||||
| 2,150,000 | 3.500% due 4/1/53(f) |
1,959,019 | ||||||
| 14,825 | 4.386% (1-Year CMT Index + 2.360%) due 11/1/34(c) |
15,147 | ||||||
| 1,645 | 6.500% due 8/1/37 |
1,649 | ||||||
| 442,143 | 3.000% due 10/1/49 — 5/1/51 |
392,337 | ||||||
| 6,350,000 | 3.000% due 4/1/53(f) |
5,592,961 | ||||||
| 97,975 | 4.000% due 6/1/50 |
92,755 | ||||||
| 5,150,000 | 4.000% due 4/1/53(f) |
4,833,758 | ||||||
| 476,271 | 2.000% due 3/1/52 |
388,904 | ||||||
| 200,000 | 2.500% due 3/1/53(f) |
169,390 | ||||||
| 9,300,000 | 4.500% due 3/1/53(f) |
8,958,697 | ||||||
| 1,100,000 | 6.000% due 4/1/53(f) |
1,112,611 | ||||||
|
|
|
|||||||
| Total FNMA | 23,841,504 | |||||||
|
|
|
|||||||
| GNMA — 0.0%@ |
||||||||
| 1,505 | Government National Mortgage Association II (GNMA), 6.000% due 9/20/38 | 1,514 | ||||||
|
|
|
|||||||
| TOTAL MORTGAGE-BACKED SECURITIES (Cost — $24,653,877) |
24,287,670 | |||||||
|
|
|
|||||||
| CORPORATE BONDS & NOTES — 11.4% |
||||||||
| Belgium — 0.1% |
||||||||
| 200,000 | KBC Group NV, Senior Unsecured Notes, 5.796% |
198,265 | ||||||
|
|
|
|||||||
| Canada — 0.1% |
||||||||
| 100,000 | EUR | Fairfax Financial Holdings Ltd., Senior Unsecured Notes, 2.750% due 3/29/28(b) | 93,025 | |||||
|
|
|
|||||||
| Cayman Islands — 0.1% |
||||||||
| 200,000 | Sands China Ltd., Senior Unsecured Notes, 5.900% due 8/8/28 | 188,917 | ||||||
|
|
|
|||||||
| Denmark — 4.8% |
||||||||
| Jyske Realkredit AS, Covered Notes: | ||||||||
| 12,900,000 | DKK | 1.000% due 10/1/23 |
1,813,167 | |||||
| 11,700,000 | DKK | 1.000% due 1/1/24 |
1,629,247 | |||||
| 2,400,000 | DKK | 1.000% due 4/1/24 |
332,488 | |||||
| 6,014,292 | DKK | 1.000% due 10/1/50 |
610,569 | |||||
| 484,507 | DKK | 1.500% due 10/1/53 |
52,495 | |||||
| Nordea Kredit Realkreditaktieselskab, Covered Notes: | ||||||||
| 5,900,000 | DKK | 1.000% due 4/1/24 |
817,366 | |||||
| 1 | DKK | 1.500% due 10/1/37 |
— | |||||
| 9,776,846 | DKK | 1.000% due 10/1/50 |
964,057 | |||||
| 1 | DKK | 1.500% due 10/1/50 |
— | |||||
See Notes to Financial Statements.
219
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||||
| Face Amount/Units† |
Security | Value | ||||||
| Denmark — 4.8% — (continued) |
||||||||
| $ | 393,739 | DKK | 1.500% due 10/1/53 |
$ | 40,301 | |||
| Nykredit Realkredit AS, Covered Notes: | ||||||||
| 10,593,355 | DKK | 1.000% due 10/1/50 |
1,049,488 | |||||
| 1 | DKK | 1.500% due 10/1/50 |
— | |||||
| 4 | DKK | 1.000% due 10/1/53 |
— | |||||
| 3,176,902 | DKK | 1.500% due 10/1/53 |
323,690 | |||||
| Realkredit Danmark AS, Covered Notes: | ||||||||
| 2,200,000 | DKK | 1.000% due 4/1/24 |
304,501 | |||||
| 1,245,827 | DKK | 1.000% due 10/1/50 |
128,787 | |||||
| 795,978 | DKK | 1.500% due 10/1/53 |
81,244 | |||||
|
|
|
|||||||
| Total Denmark | 8,147,400 | |||||||
|
|
|
|||||||
| France — 0.5% |
||||||||
| 200,000 | BNP Paribas SA, Senior Unsecured Notes, 3.800% due 1/10/24(b) | 196,652 | ||||||
| Societe Generale SA, Senior Unsecured Notes: | ||||||||
| 300,000 | 2.889% (1-Year CMT Index + 1.300%) due 6/9/32(b)(c) |
238,891 | ||||||
| 400,000 | 3.337% (1-Year CMT Index + 1.600%) due 1/21/33(b)(c) |
324,135 | ||||||
|
|
|
|||||||
| Total France | 759,678 | |||||||
|
|
|
|||||||
| Germany — 1.2% |
||||||||
| Deutsche Bank AG, Senior Unsecured Notes: | ||||||||
| 100,000 | GBP | 2.625% due 12/16/24 |
113,372 | |||||
| 100,000 | EUR | 1.000% (1.600% – 3-Month EURIBOR) due 11/19/25(d) |
99,757 | |||||
| 350,000 | 3.961% (SOFR + 2.581%) due 11/26/25(c) |
335,911 | ||||||
| 300,000 | EUR | 2.625% due 2/12/26 |
302,105 | |||||
| 200,000 | EUR | 1.625% due 1/20/27 |
187,505 | |||||
| 400,000 | 2.552% (SOFR + 1.318%) due 1/7/28(c) |
348,215 | ||||||
| 200,000 | EUR | 1.750% (2.050% – 3-Month EURIBOR) due 11/19/30(d) |
168,583 | |||||
| 200,000 | Deutsche Bank AG, (Cost — $200,406, acquired 1/21/21), Subordinated Notes,
3.729% |
157,848 | ||||||
| 300,000 | IHO Verwaltungs GmbH, Senior Secured Notes, 6.000% |
276,514 | ||||||
|
|
|
|||||||
| Total Germany | 1,989,810 | |||||||
|
|
|
|||||||
| Italy — 0.1% |
||||||||
| Banca Monte dei Paschi di Siena SpA: | ||||||||
| 100,000 | EUR | Senior Unsecured Notes, 2.625% due 4/28/25 |
98,328 | |||||
| 100,000 | EUR | Covered Notes, 0.875% due 10/8/26 |
93,614 | |||||
|
|
|
|||||||
| Total Italy | 191,942 | |||||||
|
|
|
|||||||
| Japan — 0.2% |
||||||||
| 200,000 | Nissan Motor Co., Ltd., Senior Unsecured Notes, 4.345% due 9/17/27(b) | 182,569 | ||||||
| 200,000 | Nomura Holdings Inc., Senior Unsecured Notes, 2.329% due 1/22/27 | 176,907 | ||||||
|
|
|
|||||||
| Total Japan | 359,476 | |||||||
|
|
|
|||||||
| Luxembourg — 0.0%@ |
||||||||
| 100,000 | EUR | CPI Property Group SA, Senior Unsecured Notes, 1.500% due 1/27/31 | 62,919 | |||||
|
|
|
|||||||
| Qatar — 0.1% |
||||||||
| 200,000 | QatarEnergy, Senior Unsecured Notes, 2.250% due 7/12/31(b) | 164,718 | ||||||
|
|
|
|||||||
| Supranational — 0.5% |
||||||||
| European Investment Bank, Senior Unsecured Notes: | ||||||||
| 500,000 | AUD | 0.500% due 6/21/23 |
332,963 | |||||
| 800,000 | AUD | 0.500% due 8/10/23 |
529,684 | |||||
|
|
|
|||||||
| Total Supranational | 862,647 | |||||||
|
|
|
|||||||
See Notes to Financial Statements.
220
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||||
| Face Amount/Units† |
Security | Value | ||||||
| Switzerland — 0.8% |
||||||||
| Credit Suisse Group AG: | ||||||||
| Junior Subordinated Notes: |
||||||||
| $ | 200,000 | 6.250% (5-Year USD Swap Rate + 3.455%)(b)(c)(i) |
$ | 165,192 | ||||
| 200,000 | 7.500% (5-Year USD Swap Rate + 4.598%)(b)(c)(i) |
182,928 | ||||||
| Senior Unsecured Notes: |
||||||||
| 250,000 | 4.282% due 1/9/28(b) |
210,163 | ||||||
| 250,000 | 3.869% (3-Month USD-LIBOR + 1.410%) due 1/12/29(b)(c) |
205,220 | ||||||
| 600,000 | 6.537% (SOFR + 3.920%) due 8/12/33(b)(c) |
536,126 | ||||||
|
|
|
|||||||
| Total Switzerland | 1,299,629 | |||||||
|
|
|
|||||||
| United Kingdom — 1.1% |
||||||||
| HSBC Holdings PLC, Senior Unsecured Notes: | ||||||||
| 300,000 | 5.915% (3-Month USD-LIBOR + 1.000%) due 5/18/24(c) |
300,436 | ||||||
| 200,000 | 4.041% (3-Month USD-LIBOR + 1.546%) due 3/13/28(c) |
186,836 | ||||||
| 100,000 | GBP | John Lewis PLC, Senior Unsecured Notes, 6.125% due 1/21/25 | 117,018 | |||||
| Nationwide Building Society, Senior Unsecured Notes: | ||||||||
| 200,000 | 3.766% (3-Month USD-LIBOR + 1.064%) due 3/8/24(b)(c) |
199,960 | ||||||
| 300,000 | 2.972% (SOFR + 1.290%) due 2/16/28(b)(c) |
269,369 | ||||||
| 500,000 | NatWest Group PLC, Senior Unsecured Notes,
6.016% |
500,512 | ||||||
| 400,000 | Santander UK Group Holdings PLC, Senior Unsecured Notes, 4.796% |
396,089 | ||||||
|
|
|
|||||||
| Total United Kingdom | 1,970,220 | |||||||
|
|
|
|||||||
| United States — 1.8% |
||||||||
| Broadcom Inc.: | ||||||||
| 81,000 | Company Guaranteed Notes, 4.150% due 11/15/30 |
72,921 | ||||||
| Senior Unsecured Notes: |
||||||||
| 10,000 | 3.187% due 11/15/36(b) |
7,241 | ||||||
| 108,000 | 4.926% due 5/15/37(b) |
93,900 | ||||||
| 58,000 | Campbell Soup Co., Senior Unsecured Notes, 3.650% due 3/15/23 | 57,974 | ||||||
| 100,000 | EUR | Fidelity National Information Services Inc., Company Guaranteed Notes, 0.750% due 5/21/23 | 105,232 | |||||
| Ford Motor Credit Co. LLC, Senior Unsecured Notes: | ||||||||
| 100,000 | GBP | 2.748% due 6/14/24 |
114,622 | |||||
| 100,000 | EUR | 3.416% (3-Month EURIBOR + 0.700%) due 12/1/24(c) |
103,567 | |||||
| 200,000 | 5.125% due 6/16/25 |
193,298 | ||||||
| 150,000 | GA Global Funding Trust, Secured Notes, 2.250% due 1/6/27(b) | 132,808 | ||||||
| Goldman Sachs Group Inc. (The), Senior Unsecured Notes: | ||||||||
| 400,000 | 3.615% (SOFR + 1.846%) due 3/15/28(c) |
371,401 | ||||||
| 600,000 | 3.102% (SOFR + 1.410%) due 2/24/33(c) |
493,253 | ||||||
| 100,000 | Hyatt Hotels Corp., Senior Unsecured Notes, 1.300% due 10/1/23 | 97,741 | ||||||
| 400,000 | JPMorgan Chase & Co., Senior Unsecured Notes, 4.565% |
380,604 | ||||||
| 1,300,000 | Lehman Brothers Holdings Inc., Senior Unsecured Notes, zero coupon due 5/25/49(a) | 4,875 | ||||||
| 270,000 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes, 6.500% due 6/20/27(b) |
270,270 | ||||||
| Pacific Gas & Electric Co., 1st Mortgage Notes: | ||||||||
| 100,000 | 3.450% due 7/1/25 |
94,021 | ||||||
| 200,000 | 4.400% due 3/1/32 |
174,793 | ||||||
| 100,000 | Principal Life Global Funding II, Secured Notes, 1.375% due 1/10/25(b) | 92,660 | ||||||
| 200,000 | Wells Fargo & Co., Senior Unsecured Notes, 3.908% |
192,970 | ||||||
|
|
|
|||||||
See Notes to Financial Statements.
221
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||||
| Face Amount/Units† |
Security | Value | ||||||
| United States — 1.8% — (continued) |
||||||||
| Total United States | $ | 3,054,151 | ||||||
|
|
|
|||||||
| TOTAL CORPORATE BONDS & NOTES (Cost — $22,726,548) |
19,342,797 | |||||||
|
|
|
|||||||
| U.S. GOVERNMENT OBLIGATIONS — 2.8% |
||||||||
| U.S. Treasury Bonds: | ||||||||
| $ | 200,000 | 1.375% due 11/15/40 |
131,160 | |||||
| 1,100,000 | 1.875% due 2/15/41 |
784,824 | ||||||
| U.S. Treasury Inflation Indexed Notes: | ||||||||
| 1,203,240 | 0.500% due 1/15/28(j) |
1,137,731 | ||||||
| 996,633 | 0.125% due 7/15/31 |
890,436 | ||||||
| 1,284,828 | 0.125% due 1/15/32 |
1,137,417 | ||||||
| 102,151 | 0.625% due 7/15/32 |
94,572 | ||||||
| 600,000 | U.S. Treasury Notes, 2.875% due 4/30/25(k) | 577,078 | ||||||
|
|
|
|||||||
| TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $5,273,721) |
4,753,218 | |||||||
|
|
|
|||||||
| ASSET-BACKED SECURITIES — 0.5% |
||||||||
| Automobiles — 0.3% |
||||||||
| 400,000 | Toyota Auto Loan Extended Notes Trust, Series 2019-1A, Class A, 2.560% due 11/25/31(b) | 386,815 | ||||||
|
|
|
|||||||
| Student Loans — 0.2% |
||||||||
| 34,317 | Massachusetts Educational Financing Authority, Series
2008-1, Class A1, 5.768% |
34,192 | ||||||
| 349,184 | SMB Private Education Loan Trust, Series 2022-B,
Class A1B, 5.851% |
348,630 | ||||||
|
|
|
|||||||
| Total Student Loans | 382,822 | |||||||
|
|
|
|||||||
| TOTAL ASSET-BACKED SECURITIES (Cost — $783,453) |
769,637 | |||||||
|
|
|
|||||||
| MUNICIPAL BOND — 0.1% |
||||||||
| United States — 0.1% |
||||||||
| 100,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, 4.131% due 6/15/42 (Cost — $116,695) |
83,967 | ||||||
|
|
|
|||||||
| TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $144,129,147) |
122,774,783 | |||||||
|
|
|
|||||||
| SHORT-TERM INVESTMENTS — 38.6% |
||||||||
| REPURCHASE AGREEMENT — 8.0% |
||||||||
| 13,500,000 | Citigroup Global Markets Inc. repurchase agreement dated 2/28/23, 4.550% due 3/1/23, Proceeds at maturity — $13,501,706; (Fully collateralized by U.S. Treasury Notes, 3.500%, due 9/15/25; Market Valued —
$13,985,330) (Cost — $13,500,000) |
13,500,000 | ||||||
|
|
|
|||||||
| SOVEREIGN BONDS — 22.0% |
||||||||
| Israel — 0.6% |
||||||||
| 3,800,000 | ILS | Bank of Israel Bills — Makam, 0.851% due 3/2/23(l) | 1,039,889 | |||||
|
|
|
|||||||
| Japan — 21.4% |
||||||||
| Japan Treasury Discount Bills: | ||||||||
| 30,000,000 | JPY | (0.166)% due 3/13/23(l) |
220,452 | |||||
| 160,000,000 | JPY | (0.177)% due 3/20/23(l) |
1,175,777 | |||||
| 1,110,000,000 | JPY | (0.189)% due 3/27/23(l) |
8,157,268 | |||||
| 1,550,000,000 | JPY | (0.135)% due 4/17/23(l) |
11,388,772 | |||||
| 1,300,000,000 | JPY | (0.175)% due 4/24/23(l) |
9,552,816 | |||||
| 280,000,000 | JPY | (0.170)% due 5/8/23(l) |
2,057,569 | |||||
See Notes to Financial Statements.
222
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||||
| Face Amount/Units† |
Security | Value | ||||||
| Japan — 21.4% — (continued) |
||||||||
| $ | 270,000,000 | JPY | (0.165)% due 5/15/23(l) |
$ | 1,984,064 | |||
| 180,000,000 | JPY | (0.172)% due 5/22/23(l) |
1,322,738 | |||||
| 90,000,000 | JPY | (0.161)% due 5/29/23(l) |
661,349 | |||||
|
|
|
|||||||
| Total Japan | 36,520,805 | |||||||
|
|
|
|||||||
| TOTAL SOVEREIGN BONDS (Cost — $39,052,563) |
37,560,694 | |||||||
|
|
|
|||||||
| TIME DEPOSITS — 2.9% | ||||||||
| 142,139 | AUD | ANZ National Bank — Hongkong, 1.990% due 3/1/23 | 95,624 | |||||
| 3,544,940 | ANZ National Bank — London, 3.920% due 3/1/23 | 3,544,940 | ||||||
| BBH — Grand Cayman: | ||||||||
| 4,647 | CHF | 0.150% due 3/1/23 |
4,933 | |||||
| 4,226 | DKK | 1.160% due 3/1/23 |
600 | |||||
| 1,208 | NOK | 1.600% due 3/1/23 |
116 | |||||
| 19,710 | SEK | 1.760% due 3/1/23 |
1,883 | |||||
| 41,583 | NZD | 2.850% due 3/1/23 |
25,704 | |||||
| 121,376 | GBP | 2.920% due 3/1/23 |
145,980 | |||||
| 34,292 | CAD | 3.330% due 3/1/23 |
25,131 | |||||
| 637 | ZAR | 6.150% due 3/1/23 |
35 | |||||
| 345,552 | EUR | Citibank — London, 1.530% due 3/1/23 | 365,456 | |||||
| 452 | HKD | HSBC Bank — Hong Kong, 0.540% due 3/1/23 | 58 | |||||
| 56,586 | SGD | HSBC Bank — Singapore, 2.200% due 3/1/23 | 41,963 | |||||
| 559,415 | Royal Bank of Canada — Toronto, 3.920% due 3/1/23 | 559,415 | ||||||
| 18,031,747 | JPY | Sumitomo Mitsui Banking Corp. — Tokyo, (0.520)% due 3/1/23 | 132,445 | |||||
|
|
|
|||||||
| TOTAL TIME DEPOSITS (Cost — $4,944,283) |
4,944,283 | |||||||
|
|
|
|||||||
| U.S. GOVERNMENT AGENCIES — 4.8% | ||||||||
| Federal Home Loan Banks: | ||||||||
| 3,200,000 | 4.580% (SOFR + 0.030%) due 5/5/23(c) |
3,200,000 | ||||||
| 1,600,000 | 4.580% (SOFR + 0.030%) due 5/9/23(c) |
1,600,000 | ||||||
| 3,300,000 | 4.580% (SOFR + 0.030%) due 5/10/23(c) |
3,300,000 | ||||||
|
|
|
|||||||
| TOTAL U.S. GOVERNMENT AGENCIES (Cost — $8,100,000) |
8,100,000 | |||||||
|
|
|
|||||||
| U.S. GOVERNMENT OBLIGATIONS — 0.9% | ||||||||
| U.S. Treasury Bills: | ||||||||
| 955,000 | 4.183% due 3/2/23(l) |
954,889 | ||||||
| 523,000 | 4.552% due 4/6/23(l) |
520,645 | ||||||
|
|
|
|||||||
| TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $1,475,534) |
1,475,534 | |||||||
|
|
|
|||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost — $67,072,380) |
65,580,511 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS IN SECURITIES (Cost — $211,201,527) |
188,355,294 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS IN PURCHASED OPTIONS (Cost — $32,257) |
143,143 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS — 111.0% (Cost — $211,233,784) |
188,498,437 | |||||||
|
|
|
|||||||
| Liabilities in Excess of Other Assets — (11.0)% | (18,794,071 | ) | ||||||
|
|
|
|||||||
| TOTAL NET ASSETS — 100.0% | $ | 169,704,366 | ||||||
|
|
|
|||||||
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
See Notes to Financial Statements.
223
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||
| @ | The amount is less than 0.05%. |
| (a) | Illiquid security. |
| (b) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 28, 2023, amounts to $43,309,212 and represents 25.5% of net assets. |
| (c) | Variable rate security. Interest rate disclosed is that which was in effect at February 28, 2023. |
| (d) | Inverse Floating Rate Security — interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate as of February 28, 2023. |
| (e) | Interest only security. |
| (f) | This security is traded on a TBA basis (see Note 1). |
| (g) | The aggregate value of restricted securities (excluding 144A holdings) at February 28, 2023, amounts to $157,848 and represents 0.1% of net assets. |
| (h) | Payment in-kind security for which part of the income earned may be paid as additional principal. |
| (i) | Security is perpetual in nature and has no stated maturity date. |
| (j) | All or a portion of this security is held at the broker as collateral for open centrally cleared swap contracts. |
| (k) | All or a portion of this security is held at the broker as collateral for open futures contracts. |
| (l) | Rate shown represents yield-to-maturity. |
At February 28, 2023, for International Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| Fund | Aggregate Cost For Federal Income Tax Purposes |
Gross Unrealized Appreciation |
Gross Unrealized (Depreciation) |
Net Unrealized (Depreciation) |
||||||||||||
| International Fixed Income Fund |
$ | 211,233,784 | $ | 9,194,758 | $ | (32,603,018) | $ | (23,408,260) | ||||||||
| Abbreviations used in this schedule: | ||
| CLO | — Collateralized Loan Obligation | |
| CMT | — Constant Maturity Treasury Rate | |
| CPI | — Consumer Price Index | |
| DAC | — Designated Activity Company | |
| EURIBOR | — Euro Interbank Offered Rate | |
| LIBOR | — London Interbank Offered Rate | |
| LLC | — Limited Liability Company | |
| OAT | — Obligations assimilables du Trésor | |
| PLC | — Public Limited Company | |
| REMICS | — Real Estate Mortgage Investment Conduit | |
| SOFR | — Secured Overnight Financing Rate | |
| Summary of Investments by Security Type^ | ||||
| Sovereign Bonds |
20.6 | % | ||
| Collateralized Mortgage Obligations |
18.4 | |||
| Mortgage-Backed Securities |
12.9 | |||
| Corporate Bonds & Notes |
10.3 | |||
| U.S. Government Obligations |
2.5 | |||
| Asset-Backed Securities |
0.4 | |||
| Municipal Bond |
0.0 | * | ||
| Purchased Options |
0.1 | |||
| Short-Term Investments |
34.8 | |||
|
|
|
|||
| Total Investments |
100.0 | % | ||
|
|
|
|||
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05%. |
See Notes to Financial Statements.
224
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||
At February 28, 2023, International Fixed Income Fund held the following Options Contracts Purchased:
Interest Rate Swaption
| Number of Contracts |
Notional Amount† |
Security Name | Counterparty | Expiration Date |
Exercise Rate |
Value | ||||||||||||||||||
| 600,000 | $ | 29,775 | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | BOA | 1/11/24 | 2.180% | $ | 62,583 | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
Option on Futures
| Number of Contracts |
Notional Amount† |
Security Name | Counterparty | Expiration Date |
Strike Price | Value | ||||||||||||||||||
| 200,000 | 194,000,000 | EUR | French Republic Government Bonds OAT Futures, Put(a) | BNP | 5/23/25 | EUR | 97.00 | $ | 80,560 | |||||||||||||||
|
|
|
|||||||||||||||||||||||
| TOTAL OPTIONS CONTRACTS PURCHASED (Cost — $32,257) |
$ | 143,143 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| (a) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
At February 28, 2023, International Fixed Income Fund held the following Options Contracts Written:
Credit Default Swaption
| Number of Contracts |
Notional Amount† |
Security Name | Counterparty | Expiration Date |
Exercise Rate |
Value | ||||||||||||||||||
| 400,000 | 286,056 | EUR | OTC Markit iTraxx Europe Series 37 5-Year Index, Put | GSC | 3/15/23 | 3.000% | $ | — | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
See Notes to Financial Statements.
225
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||
Interest Rate Cap Option
| Number of Contracts |
Notional Amount† |
Security Name | Counterparty | Expiration Date |
Exercise Rate |
Value | ||||||||||||||||||
| 1,000,000 | 27,160 | EUR | OTC 1-Year Swaption, 3-Month EURIBOR, Call | GSC | 4/11/23 | 0.550% | $ | — | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
Interest Rate Swaptions
| Number of Contracts |
Notional Amount† |
Security Name | Counterparty | Expiration Date |
Exercise Rate |
Value | ||||||||||||||||||
| 700,000 | 19,012 | EUR | OTC 1-Year Swaption, 3-Month EURIBOR, Call | BNP | 4/11/23 | 0.550% | $ | — | ||||||||||||||||
| 400,000 | 10,864 | EUR | OTC 1-Year Swaption, 3-Month EURIBOR, Call | BNP | 4/28/23 | 0.700% | — | |||||||||||||||||
| 1,400,000 | 38,024 | EUR | OTC 1-Year Swaption, 3-Month EURIBOR, Call | GSC | 4/5/23 | 0.550% | — | |||||||||||||||||
| 1,400,000 | 38,024 | EUR | OTC 1-Year Swaption, 3-Month EURIBOR, Call | GSC | 4/11/23 | 0.550% | — | |||||||||||||||||
| 1,000,000 | 27,160 | EUR | OTC 1-Year Swaption, 3-Month EURIBOR, Call | GSC | 5/15/23 | 0.550% | — | |||||||||||||||||
| 400,000 | 10,864 | EUR | OTC 1-Year Swaption, 3-Month EURIBOR, Call | GSC | 4/24/23 | 0.700% | — | |||||||||||||||||
| 600,000 | 16,296 | EUR | OTC 1-Year Swaption, 3-Month EURIBOR, Call | GSC | 4/26/23 | 0.700% | — | |||||||||||||||||
| 700,000 | 19,012 | EUR | OTC 1-Year Swaption, 3-Month EURIBOR, Put | BNP | 4/11/23 | 2.100% | 11,821 | |||||||||||||||||
| 400,000 | 10,864 | EUR | OTC 1-Year Swaption, 3-Month EURIBOR, Put | BNP | 4/28/23 | 2.250% | 6,311 | |||||||||||||||||
| 1,400,000 | 38,024 | EUR | OTC 1-Year Swaption, 3-Month EURIBOR, Put | GSC | 4/5/23 | 2.100% | 23,427 | |||||||||||||||||
| 1,000,000 | 27,160 | EUR | OTC 1-Year Swaption, 3-Month EURIBOR, Put | GSC | 4/11/23 | 2.100% | 16,887 | |||||||||||||||||
| 1,400,000 | 38,024 | EUR | OTC 1-Year Swaption, 3-Month EURIBOR, Put | GSC | 4/11/23 | 2.100% | 23,641 | |||||||||||||||||
| 1,000,000 | 27,160 | EUR | OTC 1-Year Swaption, 3-Month EURIBOR, Put | GSC | 5/15/23 | 2.100% | 17,656 | |||||||||||||||||
| 400,000 | 10,864 | EUR | OTC 1-Year Swaption, 3-Month EURIBOR, Put | GSC | 4/24/23 | 2.250% | 6,239 | |||||||||||||||||
| 600,000 | 16,296 | EUR | OTC 1-Year Swaption, 3-Month EURIBOR, Put | GSC | 4/26/23 | 2.250% | 9,418 | |||||||||||||||||
| 1,500,000 | 64,695 | GBP | OTC 1-Year Swaption, 3-Month GBP-LIBOR, Call | JPM | 12/16/24 | 0.820% | 785 | |||||||||||||||||
| 400,000 | $ | 19,850 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | BOA | 12/1/23 | 2.150% | 35 | |||||||||||||||||
| 600,000 | 29,775 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | DUB | 4/8/24 | 2.790% | 568 | ||||||||||||||||||
| 400,000 | 19,850 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | DUB | 10/13/23 | 2.920% | 47 | ||||||||||||||||||
| 400,000 | 19,850 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | GSC | 11/20/23 | 2.150% | 28 | ||||||||||||||||||
| 700,000 | 34,737 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | GSC | 11/17/23 | 2.250% | 56 | ||||||||||||||||||
| 300,000 | 14,887 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | GSC | 12/7/23 | 2.250% | 34 | ||||||||||||||||||
| 700,000 | 34,737 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | GSC | 4/2/24 | 2.697% | 571 | ||||||||||||||||||
| 200,000 | 9,925 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | GSC | 4/8/24 | 2.721% | 175 | ||||||||||||||||||
| 200,000 | 9,925 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | GSC | 10/27/23 | 2.841% | 28 | ||||||||||||||||||
| 400,000 | 19,850 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | GSC | 11/10/23 | 2.910% | 80 | ||||||||||||||||||
| 200,000 | 9,925 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | GSC | 10/13/23 | 2.920% | 24 | ||||||||||||||||||
| 300,000 | 14,887 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | GSC | 10/25/23 | 2.973% | 49 | ||||||||||||||||||
| 200,000 | 9,925 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | GSC | 10/20/23 | 3.018% | 32 | ||||||||||||||||||
| 100,000 | 4,962 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | GSC | 11/3/23 | 3.088% | 24 | ||||||||||||||||||
| 200,000 | 9,925 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | GSC | 10/23/23 | 3.140% | 41 | ||||||||||||||||||
| 200,000 | 9,925 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | GSC | 10/23/23 | 3.190% | 44 | ||||||||||||||||||
| 100,000 | 4,962 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | GSC | 10/23/23 | 3.225% | 24 | ||||||||||||||||||
| 5,400,000 | 267,971 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | BOA | 1/11/24 | 2.310% | 117,805 | ||||||||||||||||||
| 400,000 | 19,850 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | BOA | 12/1/23 | 3.650% | 4,677 | ||||||||||||||||||
| 600,000 | 29,775 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | DUB | 4/8/24 | 2.790% | 8,939 | ||||||||||||||||||
| 400,000 | 19,850 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | DUB | 10/13/23 | 2.920% | 7,859 | ||||||||||||||||||
| 700,000 | 34,737 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 4/2/24 | 2.697% | 11,078 | ||||||||||||||||||
| 200,000 | 9,925 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 4/8/24 | 2.721% | 3,091 | ||||||||||||||||||
| 200,000 | 9,925 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 10/27/23 | 2.841% | 3,976 | ||||||||||||||||||
| 400,000 | 19,850 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 11/10/23 | 2.910% | 7,506 | ||||||||||||||||||
| 200,000 | 9,925 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 10/13/23 | 2.920% | 3,929 | ||||||||||||||||||
| 300,000 | 14,887 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 10/25/23 | 2.973% | 5,656 | ||||||||||||||||||
| 200,000 | 9,925 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 10/20/23 | 3.018% | 3,704 | ||||||||||||||||||
| 100,000 | 4,962 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 11/3/23 | 3.088% | 1,741 | ||||||||||||||||||
| 200,000 | 9,925 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 10/23/23 | 3.140% | 3,476 | ||||||||||||||||||
| 200,000 | 9,925 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 10/23/23 | 3.190% | 3,386 | ||||||||||||||||||
| 100,000 | 4,962 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 10/23/23 | 3.225% | 1,661 | ||||||||||||||||||
See Notes to Financial Statements.
226
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||
| Number of Contracts |
Notional Amount† |
Security Name | Counterparty | Expiration Date |
Exercise Rate |
Value | ||||||||||||||||||
| 400,000 | $ | 19,850 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 11/20/23 | 3.650% | $ | 4,828 | ||||||||||||||||
| 700,000 | 34,737 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 11/17/23 | 3.750% | 7,895 | ||||||||||||||||||
| 300,000 | 14,887 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 12/7/23 | 3.750% | 3,218 | ||||||||||||||||||
| 200,000 | 5,432 | EUR | OTC 25-Year Swaption, 3-Month EURIBOR, Put | BNP | 5/23/25 | 0.451% | 79,048 | |||||||||||||||||
| 400,000 | 10,864 | EUR | OTC 10-Year Swaption, 3-Month EURIBOR, Call | GSC | 6/9/23 | 2.067% | 230 | |||||||||||||||||
| 400,000 | 10,864 | EUR | OTC 10-Year Swaption, 3-Month EURIBOR, Put | GSC | 6/9/23 | 3.140% | 10,131 | |||||||||||||||||
| 1,200,000 | 59,549 | OTC 10-Year Swaption, 3-Month USD-LIBOR, Call | GSC | 3/10/23 | 3.150% | 111 | ||||||||||||||||||
| 1,200,000 | 59,549 | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 3/10/23 | 3.600% | 10,021 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total Interest Rate Swaptions | $ | 422,011 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
Options on Futures
| Number of Contracts |
Notional Amount† |
Security Name | Counterparty | Expiration Date |
Strike Price | Value | ||||||||||||||||||
| 3 | $ | 710,588 | 3-Month SOFR December Futures, Call | BNP | 12/15/23 | $ | 98.00 | $ | 56 | |||||||||||||||
| 3 | 710,588 | 3-Month SOFR December Futures, Put | BNP | 12/15/23 | $ | 96.50 | 13,163 | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total Options on Futures | 13,219 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| TOTAL OPTIONS CONTRACTS WRITTEN (Premiums received — $159,050) |
$ | 435,230 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
At February 28, 2023, International Fixed Income Fund held the following Forward Sale Commitments:
| Face Amounts† |
Security | Value | ||||||
| Federal National Mortgage Association (FNMA): | ||||||||
| $ | 2,100,000 | 2.000% due 3/15/28(a) |
$ | 1,862,684 | ||||
| 17,250,000 | 2.000% due 4/1/53(a) |
14,065,824 | ||||||
|
|
|
|||||||
| TOTAL FORWARD SALE COMMITMENTS (Proceeds — $15,962,842) |
$ | 15,928,508 | ||||||
|
|
|
|||||||
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| (a) | This security is traded on a TBA basis (see Note 1). |
At February 28, 2023, International Fixed Income Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| Open Futures Contracts | Number of Contracts |
Expiration Date (Month/Year) |
Notional Amount |
Market Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| Australian Government 10-Year Bond March Futures |
33 | 3/23 | $ | 2,710,162 | $ | 2,612,145 | $ | (98,017 | ) | |||||||||||
| Australian Government 3-Year Bond March Futures |
54 | 3/23 | 3,931,363 | 3,877,631 | (53,732 | ) | ||||||||||||||
| Euro-BTP March Futures |
97 | 3/23 | 12,002,702 | 11,560,551 | (442,151 | ) | ||||||||||||||
| Euro-Buxl 30-Year Bond March Futures |
11 | 3/23 | 1,870,683 | 1,562,160 | (308,523 | ) | ||||||||||||||
| Euro-OAT March Futures |
28 | 3/23 | 4,040,074 | 3,781,554 | (258,520 | ) | ||||||||||||||
| Euro-Schatz Note June Futures |
166 | 6/23 | 18,398,855 | 18,403,244 | 4,389 | |||||||||||||||
| Euro-Schatz Note March Futures |
6 | 3/23 | 677,837 | 666,161 | (11,676 | ) | ||||||||||||||
| Japan Government 10-Year Bond March Futures |
2 | 3/23 | 2,177,477 | 2,154,321 | (23,156 | ) | ||||||||||||||
| U.S. Treasury Ultra Long Bond June Futures |
2 | 6/23 | 272,546 | 270,125 | (2,421 | ) | ||||||||||||||
| 3-Month SOFR June Futures |
13 | 9/23 | 3,092,142 | 3,075,313 | (16,829 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| (1,210,636 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
See Notes to Financial Statements.
227
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||
| Open Futures Contracts | Number of Contracts |
Expiration Date (Month/Year) |
Notional Amount |
Market Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||
| Short Euro-BTP June Futures |
16 | 6/23 | $ | 1,764,828 | $ | 1,765,938 | $ | (1,110 | ) | |||||||||||
| Short Euro-BTP March Futures |
28 | 3/23 | 3,163,683 | 3,115,859 | 47,824 | |||||||||||||||
| U.S. Treasury 2-Year Note June Futures |
42 | 6/23 | 8,592,938 | 8,556,516 | 36,422 | |||||||||||||||
| U.S. Treasury Long Bond June Futures |
11 | 6/23 | 1,393,047 | 1,377,406 | 15,641 | |||||||||||||||
| U.S. Ultra Long Bond June Futures |
13 | 6/23 | 1,535,161 | 1,523,437 | 11,724 | |||||||||||||||
| United Kingdom Treasury 10-Year Gilt June Futures |
9 | 6/23 | 1,088,708 | 1,081,997 | 6,711 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 117,212 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net Unrealized Depreciation on Open Exchange-Traded Futures Contracts |
$ | (1,093,424) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
At February 28, 2023, International Fixed Income Fund had deposited cash of $626,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
At February 28, 2023, International Fixed Income Fund had open forward foreign currency contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value |
Settlement Date |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||||||||||
| Australian Dollar |
126,655 | USD | 90,091 | BOA | $ | 85,207 | 3/2/23 | $ | (4,884 | ) | ||||||||||||||||||
| Australian Dollar |
382,000 | USD | 270,814 | BOA | 256,991 | 3/2/23 | (13,823 | ) | ||||||||||||||||||||
| Australian Dollar |
63,869 | USD | 45,214 | DUB | 42,968 | 3/2/23 | (2,246 | ) | ||||||||||||||||||||
| Brazilian Real |
3,887,945 | USD | 716,745 | GSC | 737,649 | 4/4/23 | 20,904 | |||||||||||||||||||||
| British Pound |
906,000 | USD | 1,110,996 | BOA | 1,089,646 | 3/2/23 | (21,350 | ) | ||||||||||||||||||||
| British Pound |
9,375,189 | USD | 11,229,601 | BOA | 11,275,533 | 3/2/23 | 45,932 | |||||||||||||||||||||
| British Pound |
199,000 | USD | 239,432 | BOA | 239,337 | 3/2/23 | (95 | ) | ||||||||||||||||||||
| Canadian Dollar |
113,000 | USD | 83,001 | HSBC | 82,811 | 3/2/23 | (190 | ) | ||||||||||||||||||||
| Canadian Dollar |
888,689 | USD | 654,495 | UBS | 651,269 | 3/2/23 | (3,226 | ) | ||||||||||||||||||||
| Chilean Peso |
347,661,440 | USD | 427,234 | DUB | 419,330 | 3/15/23 | (7,904 | ) | ||||||||||||||||||||
| Chilean Peso |
548,570 | USD | 687 | SCB | 662 | 3/15/23 | (25 | ) | ||||||||||||||||||||
| Chilean Peso |
351,399,518 | USD | 376,190 | BNP | 421,410 | 4/28/23 | 45,220 | |||||||||||||||||||||
| Chilean Peso |
1,710,860 | USD | 1,841 | SCB | 2,042 | 6/1/23 | 201 | |||||||||||||||||||||
| Chilean Peso |
3,140,820 | USD | 3,896 | DUB | 3,739 | 6/22/23 | (157 | ) | ||||||||||||||||||||
| Chinese Offshore Renminbi |
3,515,615 | USD | 494,592 | JPM | 506,295 | 3/15/23 | 11,703 | |||||||||||||||||||||
| Chinese Offshore Renminbi |
1,232,750 | USD | 174,157 | BNP | 178,210 | 5/10/23 | 4,053 | |||||||||||||||||||||
| Chinese Offshore Renminbi |
8,242,404 | USD | 1,169,350 | HSBC | 1,192,264 | 5/19/23 | 22,914 | |||||||||||||||||||||
| Chinese Offshore Renminbi |
3,276 | USD | 465 | JPM | 474 | 5/19/23 | 9 | |||||||||||||||||||||
| Danish Krone |
11,591,803 | USD | 1,649,230 | BOA | 1,647,148 | 3/1/23 | (2,082 | ) | ||||||||||||||||||||
| Euro |
580,000 | USD | 634,853 | BCLY | 613,408 | 3/2/23 | (21,445 | ) | ||||||||||||||||||||
| Euro |
316,000 | USD | 345,895 | BNP | 334,201 | 3/2/23 | (11,694 | ) | ||||||||||||||||||||
| Euro |
176,000 | USD | 186,347 | BOA | 186,138 | 3/2/23 | (209 | ) | ||||||||||||||||||||
| Euro |
18,056,764 | USD | 19,133,489 | UBS | 19,096,835 | 3/2/23 | (36,654 | ) | ||||||||||||||||||||
| Indonesian Rupiah |
196,091,090 | USD | 13,000 | BNP | 12,853 | 3/14/23 | (147 | ) | ||||||||||||||||||||
| Indonesian Rupiah |
6,171,810,000 | USD | 409,000 | GSC | 404,532 | 3/14/23 | (4,468 | ) | ||||||||||||||||||||
| Indonesian Rupiah |
908,997,140 | USD | 60,637 | BNP | 59,421 | 6/21/23 | (1,216 | ) | ||||||||||||||||||||
| Indonesian Rupiah |
5,093,794,602 | USD | 334,282 | HSBC | 332,980 | 6/21/23 | (1,302 | ) | ||||||||||||||||||||
| Indonesian Rupiah |
427,132,000 | USD | 28,140 | SCB | 27,922 | 6/21/23 | (218 | ) | ||||||||||||||||||||
| Indonesian Rupiah |
6,003,680,800 | USD | 394,979 | BOA | 392,441 | 6/23/23 | (2,538 | ) | ||||||||||||||||||||
| Indonesian Rupiah |
376,475,800 | USD | 24,760 | GSC | 24,609 | 6/23/23 | (151 | ) | ||||||||||||||||||||
| Israeli New Shekel |
5,700,000 | USD | 1,654,616 | BOA | 1,561,622 | 4/5/23 | (92,994 | ) | ||||||||||||||||||||
| Japanese Yen |
22,800,000 | USD | 176,424 | BCLY | 167,469 | 3/2/23 | (8,955 | ) | ||||||||||||||||||||
| Japanese Yen |
91,600,000 | USD | 695,705 | BOA | 672,812 | 3/2/23 | (22,893 | ) | ||||||||||||||||||||
See Notes to Financial Statements.
228
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund
| ||||||
| Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value |
Settlement Date |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||
| Contracts to Buy: (continued) | ||||||||||||||||||||||||||||
| Japanese Yen |
1,229,454,789 | USD | 9,014,920 | HSBC | $ | 9,030,481 | 3/2/23 | $ | 15,561 | |||||||||||||||||||
| Japanese Yen |
80,000,000 | USD | 609,832 | BCLY | 588,521 | 3/13/23 | (21,311 | ) | ||||||||||||||||||||
| Korean Won |
175,137,720 | USD | 139,000 | GSC | 132,598 | 3/8/23 | (6,402 | ) | ||||||||||||||||||||
| Korean Won |
10,081,997 | USD | 8,000 | GSC | 7,633 | 3/8/23 | (367 | ) | ||||||||||||||||||||
| Korean Won |
340,486,578 | USD | 271,196 | GSC | 257,794 | 3/9/23 | (13,402 | ) | ||||||||||||||||||||
| Malaysian Ringgit |
5,407,297 | USD | 1,248,222 | BCLY | 1,205,869 | 3/15/23 | (42,353 | ) | ||||||||||||||||||||
| Malaysian Ringgit |
3,373,163 | USD | 763,626 | BNP | 752,241 | 3/15/23 | (11,385 | ) | ||||||||||||||||||||
| Malaysian Ringgit |
868,000 | USD | 199,174 | BNP | 193,571 | 3/15/23 | (5,603 | ) | ||||||||||||||||||||
| Malaysian Ringgit |
868,000 | USD | 199,243 | BNP | 193,571 | 3/15/23 | (5,672 | ) | ||||||||||||||||||||
| Malaysian Ringgit |
974,840 | USD | 223,664 | BNP | 217,397 | 3/15/23 | (6,267 | ) | ||||||||||||||||||||
| Malaysian Ringgit |
564,325 | USD | 129,691 | BNP | 125,849 | 3/15/23 | (3,842 | ) | ||||||||||||||||||||
| Malaysian Ringgit |
2,581,297 | USD | 583,740 | BNP | 575,649 | 3/15/23 | (8,091 | ) | ||||||||||||||||||||
| Malaysian Ringgit |
694,000 | USD | 160,630 | SCB | 154,768 | 3/15/23 | (5,862 | ) | ||||||||||||||||||||
| Malaysian Ringgit |
507,675 | USD | 116,747 | SCB | 113,215 | 3/15/23 | (3,532 | ) | ||||||||||||||||||||
| Malaysian Ringgit |
530,000 | USD | 122,128 | SCB | 118,194 | 3/15/23 | (3,934 | ) | ||||||||||||||||||||
| Malaysian Ringgit |
530,000 | USD | 121,937 | SCB | 118,194 | 3/15/23 | (3,743 | ) | ||||||||||||||||||||
| Mexican Peso |
11,078,000 | USD | 553,304 | GSC | 603,195 | 3/21/23 | 49,891 | |||||||||||||||||||||
| Mexican Peso |
2,265,000 | USD | 114,005 | SCB | 123,328 | 3/21/23 | 9,323 | |||||||||||||||||||||
| Mexican Peso |
12,048,969 | USD | 631,444 | BNP | 644,436 | 6/21/23 | 12,992 | |||||||||||||||||||||
| Norwegian Krone |
16,365,051 | USD | 1,655,072 | BNP | 1,575,562 | 3/2/23 | (79,510 | ) | ||||||||||||||||||||
| Norwegian Krone |
352,682 | USD | 35,035 | HSBC | 33,955 | 3/2/23 | (1,080 | ) | ||||||||||||||||||||
| Norwegian Krone |
15,316,021 | USD | 1,478,840 | BOA | 1,477,239 | 4/4/23 | (1,601 | ) | ||||||||||||||||||||
| Norwegian Krone |
1,373,436 | USD | 133,185 | SCB | 132,468 | 4/4/23 | (717 | ) | ||||||||||||||||||||
| Peruvian Sol |
263,058 | USD | 68,000 | BCLY | 69,256 | 3/15/23 | 1,256 | |||||||||||||||||||||
| Peruvian Sol |
198,128 | USD | 51,000 | GSC | 51,799 | 6/21/23 | 799 | |||||||||||||||||||||
| South African Rand |
2,211,877 | USD | 125,269 | BOA | 120,315 | 3/13/23 | (4,954 | ) | ||||||||||||||||||||
| Thai Baht |
485,168 | USD | 14,826 | BCLY | 13,819 | 4/17/23 | (1,007 | ) | ||||||||||||||||||||
| Thai Baht |
43,619 | USD | 1,344 | GSC | 1,243 | 4/17/23 | (101 | ) | ||||||||||||||||||||
| Thai Baht |
1,644,446 | USD | 50,435 | SCB | 46,837 | 4/17/23 | (3,598 | ) | ||||||||||||||||||||
| Thai Baht |
7,579,248 | USD | 233,964 | SCB | 215,874 | 4/17/23 | (18,090 | ) | ||||||||||||||||||||
| Thai Baht |
2,853,423 | USD | 87,023 | SCB | 81,272 | 4/17/23 | (5,751 | ) | ||||||||||||||||||||
| Thai Baht |
818,362 | USD | 24,795 | SCB | 23,309 | 4/17/23 | (1,486 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| (279,769 | ) | |||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||||||||||
| Australian Dollar |
88,000 | USD | 59,682 | BNP | 59,202 | 3/2/23 | 480 | |||||||||||||||||||||
| Australian Dollar |
472,000 | USD | 321,951 | BOA | 317,538 | 3/2/23 | 4,413 | |||||||||||||||||||||
| British Pound |
74,000 | USD | 89,122 | BCLY | 89,000 | 3/2/23 | 122 | |||||||||||||||||||||
| British Pound |
9,698,189 | USD | 12,009,076 | BNP | 11,664,005 | 3/2/23 | 345,071 | |||||||||||||||||||||
| British Pound |
426,000 | USD | 514,531 | BOA | 512,350 | 3/2/23 | 2,181 | |||||||||||||||||||||
| British Pound |
85,000 | USD | 101,977 | BOA | 102,229 | 3/2/23 | (252 | ) | ||||||||||||||||||||
| British Pound |
197,000 | USD | 242,959 | BOA | 236,932 | 3/2/23 | 6,027 | |||||||||||||||||||||
| British Pound |
9,375,189 | USD | 11,236,455 | BOA | 11,282,726 | 4/4/23 | (46,271 | ) | ||||||||||||||||||||
| Canadian Dollar |
738,000 | USD | 554,951 | BOA | 540,838 | 3/2/23 | 14,113 | |||||||||||||||||||||
| Canadian Dollar |
49,000 | USD | 36,612 | DUB | 35,909 | 3/2/23 | 703 | |||||||||||||||||||||
| Canadian Dollar |
58,000 | USD | 42,794 | HSBC | 42,505 | 3/2/23 | 289 | |||||||||||||||||||||
| Canadian Dollar |
44,000 | USD | 32,862 | HSBC | 32,245 | 3/2/23 | 617 | |||||||||||||||||||||
| Canadian Dollar |
888,435 | USD | 654,495 | UBS | 651,291 | 4/4/23 | 3,204 | |||||||||||||||||||||
| Chilean Peso |
64,141,000 | USD | 73,984 | BNP | 77,363 | 3/15/23 | (3,379 | ) | ||||||||||||||||||||
| Chilean Peso |
3,097,569 | USD | 3,896 | DUB | 3,736 | 3/15/23 | 160 | |||||||||||||||||||||
| Chilean Peso |
99,066,422 | USD | 108,745 | GSC | 119,489 | 3/15/23 | (10,744 | ) | ||||||||||||||||||||
| Chilean Peso |
81,529,119 | USD | 101,000 | HSBC | 98,336 | 3/15/23 | 2,664 | |||||||||||||||||||||
| Chilean Peso |
99,840,269 | USD | 111,847 | SCB | 120,422 | 3/15/23 | (8,575 | ) | ||||||||||||||||||||
| Chilean Peso |
286,468 | USD | 319 | BNP | 344 | 4/12/23 | (25 | ) | ||||||||||||||||||||
| Chilean Peso |
554,292 | USD | 687 | SCB | 662 | 5/24/23 | 25 | |||||||||||||||||||||
| Chilean Peso |
351,506,543 | USD | 427,234 | DUB | 419,537 | 6/1/23 | 7,697 | |||||||||||||||||||||
| Chinese Offshore Renminbi |
974,815 | USD | 151,000 | BNP | 140,386 | 3/15/23 | 10,614 | |||||||||||||||||||||
| Chinese Offshore Renminbi |
2,538,712 | USD | 393,000 | GSC | 365,608 | 3/15/23 | 27,392 | |||||||||||||||||||||
| Chinese Offshore Renminbi |
91,000 | USD | 13,487 | BCLY | 13,131 | 4/14/23 | 356 | |||||||||||||||||||||
See Notes to Financial Statements.
229
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||
| Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value |
Settlement Date |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||
| Contracts to Sell: (continued) | ||||||||||||||||||||||||||||
| Chinese Offshore Renminbi |
1,232,086 | USD | 183,592 | HSBC | $ | 178,114 | 5/10/23 | $ | 5,478 | |||||||||||||||||||
| Chinese Offshore Renminbi |
7,432,881 | USD | 1,149,000 | BOA | 1,075,167 | 5/19/23 | 73,833 | |||||||||||||||||||||
| Chinese Offshore Renminbi |
814,716 | USD | 126,000 | DUB | 117,849 | 5/19/23 | 8,151 | |||||||||||||||||||||
| Danish Krone |
12,610,000 | USD | 1,839,546 | BCLY | 1,791,829 | 3/1/23 | 47,717 | |||||||||||||||||||||
| Danish Krone |
11,646,531 | USD | 1,708,573 | GSC | 1,654,924 | 3/1/23 | 53,649 | |||||||||||||||||||||
| Danish Krone |
11,565,580 | USD | 1,649,230 | BOA | 1,647,262 | 4/3/23 | 1,968 | |||||||||||||||||||||
| Danish Krone |
12,622,880 | USD | 1,794,888 | BOA | 1,797,851 | 4/3/23 | (2,963 | ) | ||||||||||||||||||||
| Danish Krone |
6,140,748 | USD | 907,538 | HSBC | 885,129 | 10/2/23 | 22,409 | |||||||||||||||||||||
| Danish Krone |
6,635,047 | USD | 986,069 | SOG | 956,377 | 10/2/23 | 29,692 | |||||||||||||||||||||
| Danish Krone |
11,489,732 | USD | 1,710,649 | BNP | 1,665,228 | 1/2/24 | 45,421 | |||||||||||||||||||||
| Danish Krone |
5,805,733 | USD | 867,328 | BCLY | 845,210 | 4/2/24 | 22,118 | |||||||||||||||||||||
| Danish Krone |
4,525,488 | USD | 674,897 | BNP | 658,830 | 4/2/24 | 16,067 | |||||||||||||||||||||
| Euro |
388,000 | USD | 415,725 | BCLY | 410,349 | 3/2/23 | 5,376 | |||||||||||||||||||||
| Euro |
609,000 | USD | 652,909 | BCLY | 644,078 | 3/2/23 | 8,831 | |||||||||||||||||||||
| Euro |
648,000 | USD | 692,749 | BCLY | 685,325 | 3/2/23 | 7,424 | |||||||||||||||||||||
| Euro |
629,000 | USD | 669,345 | BNP | 665,231 | 3/2/23 | 4,114 | |||||||||||||||||||||
| Euro |
1,416,000 | USD | 1,545,205 | BNP | 1,497,561 | 3/2/23 | 47,644 | |||||||||||||||||||||
| Euro |
14,276,764 | USD | 15,533,019 | BOA | 15,099,106 | 3/2/23 | 433,913 | |||||||||||||||||||||
| Euro |
986,000 | USD | 1,069,954 | BOA | 1,042,793 | 3/2/23 | 27,161 | |||||||||||||||||||||
| Euro |
370,000 | USD | 393,466 | BOA | 392,126 | 4/4/23 | 1,340 | |||||||||||||||||||||
| Euro |
18,056,764 | USD | 19,171,246 | UBS | 19,136,584 | 4/4/23 | 34,662 | |||||||||||||||||||||
| Indonesian Rupiah |
908,148,222 | USD | 60,637 | BNP | 59,525 | 3/14/23 | 1,112 | |||||||||||||||||||||
| Indonesian Rupiah |
5,088,446,084 | USD | 334,282 | HSBC | 333,523 | 3/14/23 | 759 | |||||||||||||||||||||
| Indonesian Rupiah |
427,132,000 | USD | 28,166 | SCB | 27,997 | 3/14/23 | 169 | |||||||||||||||||||||
| Israeli New Shekel |
3,776,060 | USD | 1,154,792 | HSBC | 1,033,362 | 3/2/23 | 121,430 | |||||||||||||||||||||
| Israeli New Shekel |
1,785,600 | USD | 544,274 | BOA | 489,199 | 4/5/23 | 55,075 | |||||||||||||||||||||
| Israeli New Shekel |
3,874,650 | USD | 1,163,733 | JPM | 1,061,533 | 4/5/23 | 102,200 | |||||||||||||||||||||
| Israeli New Shekel |
258,000 | USD | 76,692 | BCLY | 70,710 | 4/14/23 | 5,982 | |||||||||||||||||||||
| Israeli New Shekel |
719,844 | USD | 212,137 | GSC | 197,288 | 4/14/23 | 14,849 | |||||||||||||||||||||
| Israeli New Shekel |
700,294 | USD | 204,567 | HSBC | 191,930 | 4/14/23 | 12,637 | |||||||||||||||||||||
| Israeli New Shekel |
10,000 | USD | 2,842 | UBS | 2,741 | 4/14/23 | 101 | |||||||||||||||||||||
| Japanese Yen |
1,545,500,369 | USD | 11,926,251 | HSBC | 11,351,870 | 3/2/23 | 574,381 | |||||||||||||||||||||
| Japanese Yen |
110,000,000 | USD | 824,758 | UBS | 809,217 | 3/13/23 | 15,541 | |||||||||||||||||||||
| Japanese Yen |
160,000,000 | USD | 1,191,205 | BCLY | 1,178,313 | 3/20/23 | 12,892 | |||||||||||||||||||||
| Japanese Yen |
1,110,000,000 | USD | 8,182,823 | JPM | 8,183,374 | 3/27/23 | (551 | ) | ||||||||||||||||||||
| Japanese Yen |
201,226,898 | USD | 1,478,448 | DUB | 1,485,286 | 4/4/23 | (6,838 | ) | ||||||||||||||||||||
| Japanese Yen |
1,223,769,079 | USD | 9,014,920 | HSBC | 9,032,827 | 4/4/23 | (17,907 | ) | ||||||||||||||||||||
| Japanese Yen |
870,509,000 | USD | 6,822,176 | HSBC | 6,436,894 | 4/17/23 | 385,282 | |||||||||||||||||||||
| Japanese Yen |
679,491,000 | USD | 5,324,334 | UBS | 5,024,430 | 4/17/23 | 299,904 | |||||||||||||||||||||
| Japanese Yen |
1,300,000,000 | USD | 10,218,696 | UBS | 9,622,024 | 4/24/23 | 596,672 | |||||||||||||||||||||
| Japanese Yen |
280,000,000 | USD | 2,187,952 | BCLY | 2,076,670 | 5/8/23 | 111,282 | |||||||||||||||||||||
| Japanese Yen |
270,000,000 | USD | 2,128,492 | BCLY | 2,004,655 | 5/15/23 | 123,837 | |||||||||||||||||||||
| Japanese Yen |
180,000,000 | USD | 1,386,536 | BOA | 1,337,874 | 5/22/23 | 48,662 | |||||||||||||||||||||
| Japanese Yen |
90,000,000 | USD | 677,925 | BCLY | 669,760 | 5/30/23 | 8,165 | |||||||||||||||||||||
| Japanese Yen |
80,002,000 | USD | 651,601 | HSBC | 622,332 | 3/1/24 | 29,269 | |||||||||||||||||||||
| Japanese Yen |
80,002,000 | USD | 657,101 | HSBC | 622,333 | 3/1/24 | 34,768 | |||||||||||||||||||||
| Japanese Yen |
100,003,000 | USD | 818,858 | BCLY | 781,012 | 4/1/24 | 37,846 | |||||||||||||||||||||
| Japanese Yen |
80,000,000 | USD | 653,393 | HSBC | 624,791 | 4/1/24 | 28,602 | |||||||||||||||||||||
| Japanese Yen |
80,000,000 | USD | 647,066 | BCLY | 627,203 | 5/1/24 | 19,863 | |||||||||||||||||||||
| Korean Won |
74,516,121 | USD | 57,236 | HSBC | 56,452 | 3/23/23 | 784 | |||||||||||||||||||||
| Korean Won |
459,979,480 | USD | 352,745 | UBS | 348,472 | 3/23/23 | 4,273 | |||||||||||||||||||||
| Malaysian Ringgit |
1,072,000 | USD | 246,210 | BCLY | 239,064 | 3/15/23 | 7,146 | |||||||||||||||||||||
| Malaysian Ringgit |
23,800 | USD | 5,084 | BNP | 5,307 | 3/15/23 | (223 | ) | ||||||||||||||||||||
| Malaysian Ringgit |
9,147,588 | USD | 2,026,717 | BOA | 2,039,982 | 3/15/23 | (13,265 | ) | ||||||||||||||||||||
| Malaysian Ringgit |
694,000 | USD | 160,537 | GSC | 154,768 | 3/15/23 | 5,769 | |||||||||||||||||||||
See Notes to Financial Statements.
230
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||
| Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value |
Settlement Date |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||
| Contracts to Sell: (continued) | ||||||||||||||||||||||||||||
| Malaysian Ringgit |
1,060,000 | USD | 244,127 | GSC | $ | 236,388 | 3/15/23 | $ | 7,739 | |||||||||||||||||||
| Malaysian Ringgit |
2,581,297 | USD | 583,344 | GSC | 575,649 | 3/15/23 | 7,695 | |||||||||||||||||||||
| Malaysian Ringgit |
3,100,000 | USD | 663,102 | SCB | 691,324 | 3/15/23 | (28,222 | ) | ||||||||||||||||||||
| Malaysian Ringgit |
2,414,185 | USD | 534,881 | SCB | 538,382 | 3/15/23 | (3,501 | ) | ||||||||||||||||||||
| Malaysian Ringgit |
1,713,369 | USD | 365,831 | SCB | 382,094 | 3/15/23 | (16,263 | ) | ||||||||||||||||||||
| Malaysian Ringgit |
203,244 | USD | 43,573 | BNP | 45,511 | 5/15/23 | (1,938 | ) | ||||||||||||||||||||
| Mexican Peso |
12,181,145 | USD | 659,242 | GSC | 664,076 | 3/15/23 | (4,834 | ) | ||||||||||||||||||||
| Mexican Peso |
1,272,000 | USD | 65,201 | BNP | 69,261 | 3/21/23 | (4,060 | ) | ||||||||||||||||||||
| Mexican Peso |
11,836,172 | USD | 631,444 | BNP | 644,477 | 3/21/23 | (13,033 | ) | ||||||||||||||||||||
| Mexican Peso |
300,751 | USD | 14,986 | GSC | 16,376 | 3/21/23 | (1,390 | ) | ||||||||||||||||||||
| New Taiwan Dollar |
4,093,525 | USD | 135,772 | BNP | 133,409 | 3/15/23 | 2,363 | |||||||||||||||||||||
| New Taiwan Dollar |
1,736,752 | USD | 57,663 | BNP | 56,601 | 3/15/23 | 1,062 | |||||||||||||||||||||
| New Taiwan Dollar |
12,241,218 | USD | 407,118 | BNP | 398,947 | 3/15/23 | 8,171 | |||||||||||||||||||||
| New Taiwan Dollar |
930,921 | USD | 31,000 | BNP | 30,339 | 3/15/23 | 661 | |||||||||||||||||||||
| New Taiwan Dollar |
11,418,240 | USD | 380,000 | BNP | 372,125 | 3/15/23 | 7,875 | |||||||||||||||||||||
| New Taiwan Dollar |
660,682 | USD | 22,000 | JPM | 21,532 | 3/15/23 | 468 | |||||||||||||||||||||
| New Taiwan Dollar |
25,632,429 | USD | 864,063 | SCB | 835,576 | 3/17/23 | 28,487 | |||||||||||||||||||||
| New Taiwan Dollar |
8,562,633 | USD | 283,362 | GSC | 279,265 | 3/21/23 | 4,097 | |||||||||||||||||||||
| New Taiwan Dollar |
5,795,240 | USD | 191,743 | HSBC | 189,008 | 3/21/23 | 2,735 | |||||||||||||||||||||
| New Taiwan Dollar |
4,642,521 | USD | 152,845 | SCB | 151,413 | 3/21/23 | 1,432 | |||||||||||||||||||||
| New Zealand Dollar |
42,000 | USD | 26,098 | GSC | 25,962 | 3/2/23 | 136 | |||||||||||||||||||||
| Norwegian Krone |
15,342,356 | USD | 1,478,840 | BOA | 1,477,101 | 3/2/23 | 1,739 | |||||||||||||||||||||
| Peruvian Sol |
4,791,317 | USD | 1,204,151 | GSC | 1,256,373 | 5/10/23 | (52,222 | ) | ||||||||||||||||||||
| Singapore Dollar |
103,000 | USD | 78,626 | BNP | 76,471 | 4/14/23 | 2,155 | |||||||||||||||||||||
| South African Rand |
1,926,023 | USD | 106,009 | BNP | 104,766 | 3/13/23 | 1,243 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| 3,823,950 | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Net Unrealized Appreciation on Open Forward Foreign Currency Contracts |
$ | 3,544,181 | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
At February 28, 2023, International Fixed Income Fund held the following OTC Total Return Swap Contracts:
| Fund Pay Floating Rate Index |
Fund Receive Floating Rate Index |
Financing Rate |
Payment Frequency |
Maturity Date |
Counterparty | Notional Amount |
Market Value |
Upfront Payment Paid |
Unrealized Appreciation |
|||||||||||||||||||||||||
| iBoxx Investment Grade Index |
SOFR | 2.896% | PAM | * | 6/20/23 | BNP | USD 1,700,000 | $ | 20,598 | $ | 7,157 | $ | 13,441 | |||||||||||||||||||||
| iBoxx Investment Grade Index |
SOFR | 2.910% | PAM | 6/20/23 | BNP | USD 4,200,000 | 71,889 | 17,684 | 54,205 | |||||||||||||||||||||||||
| iBoxx Investment Grade Index |
SOFR | 2.914% | PAM | 6/20/23 | BNP | USD 3,300,000 | 60,190 | 13,894 | 46,296 | |||||||||||||||||||||||||
| iBoxx Investment Grade Index |
SOFR | 2.957% | PAM | 9/20/23 | BNP | USD 1,820,000 | 61,053 | 14,073 | 46,980 | |||||||||||||||||||||||||
| iBoxx Investment Grade Index |
SOFR | 2.971% | PAM | 9/20/23 | BOA | USD 2,000,000 | 57,070 | 15,733 | 41,337 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| $ | 270,800 | $ | 68,541 | $ | 202,259 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
* PAM — paid at maturity.
See Notes to Financial Statements.
231
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||
At February 28, 2023, International Fixed Income Fund held the following OTC Interest Rate Swap Contracts:
| Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate |
Maturity Date |
Payment Frequency |
Counterparty | Notional Amount |
Market Value |
Upfront Payment Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||||||
| Pay |
Thai Overnight Repurchase Rate | 2.250% | 3/15/28 | 3-Month | BOA | THB 10,710,000 | $ | (2,470 | ) | $ | 976 | $ | (3,446 | ) | ||||||||||||||||||||
| Pay |
Thai Overnight Repurchase Rate | 2.750% | 3/15/33 | 3-Month | GSC | THB 14,470,000 | (189 | ) | 1,802 | (1,991 | ) | |||||||||||||||||||||||
| Receive |
Thai Overnight Repurchase Rate | 2.000% | 9/21/27 | 3-Month | SCB | THB 1,872,000 | 805 | (124 | ) | 929 | ||||||||||||||||||||||||
| Receive |
Thai Overnight Repurchase Rate | 2.250% | 9/21/27 | 3-Month | SCB | THB 8,500,000 | 894 | (5,191 | ) | 6,085 | ||||||||||||||||||||||||
| Receive |
Thai Overnight Repurchase Rate | 2.250% | 9/21/27 | 3-Month | SCB | THB 24,400,000 | 2,566 | (3,921 | ) | 6,487 | ||||||||||||||||||||||||
| Receive |
Thai Overnight Repurchase Rate | 2.250% | 3/15/28 | 3-Month | BOA | THB 28,140,000 | 6,489 | (3,311 | ) | 9,800 | ||||||||||||||||||||||||
| Receive |
Thai Overnight Repurchase Rate | 2.250% | 3/15/28 | 3-Month | GSC | THB 38,217,000 | 8,812 | (2,081 | ) | 10,893 | ||||||||||||||||||||||||
| Receive |
Thai Overnight Repurchase Rate | 2.250% | 3/15/28 | 3-Month | GSC | THB 43,340,000 | 9,994 | (4,064 | ) | 14,058 | ||||||||||||||||||||||||
| Receive |
Thai Overnight Repurchase Rate | 2.250% | 3/15/28 | 3-Month | SCB | THB 29,828,000 | 6,878 | (2,862 | ) | 9,740 | ||||||||||||||||||||||||
| Receive |
3-Month MYR-KLIBOR | 3.500% | 9/21/27 | 3-Month | SCB | MYR 1,500,000 | 3,224 | 1,129 | 2,095 | |||||||||||||||||||||||||
| Receive |
3-Month MYR-KLIBOR | 3.500% | 9/21/27 | 3-Month | BOA | MYR 2,800,000 | 6,018 | 1,407 | 4,611 | |||||||||||||||||||||||||
| Receive |
3-Month MYR-KLIBOR | 4.000% | 9/21/27 | 3-Month | BOA | MYR 1,679,000 | (4,948 | ) | 1,925 | (6,873 | ) | |||||||||||||||||||||||
| Receive |
3-Month MYR-KLIBOR | 3.250% | 3/16/32 | 3-Month | BOA | MYR 272,000 | 3,455 | (580 | ) | 4,035 | ||||||||||||||||||||||||
| Receive |
3-Month MYR-KLIBOR | 3.500% | 3/16/32 | 3-Month | BOA | MYR 100,000 | 802 | (17 | ) | 819 | ||||||||||||||||||||||||
| Receive |
3-Month MYR-KLIBOR | 3.500% | 3/16/32 | 3-Month | SCB | MYR 400,000 | 3,208 | (1,240 | ) | 4,448 | ||||||||||||||||||||||||
| Pay |
6-Month Thailand Fixing Rate | 2.750% | 9/21/32 | 6-Month | BOA | THB 9,200,000 | 3,919 | (246 | ) | 4,165 | ||||||||||||||||||||||||
| Pay |
6-Month Thailand Fixing Rate | 3.250% | 6/15/32 | 6-Month | BOA | THB 400,000 | 613 | 60 | 553 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| $ | 50,070 | $ | (16,338 | ) | $ | 66,408 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
At February 28, 2023, International Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
| Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate |
Maturity Date |
Payment Frequency |
Notional Amount |
Market Value |
Upfront Payment Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
| Pay | 28-Day MXN TIIE Banxico | 4.870% | 7/7/25 | 28-Day | MXN | 31,300,000 | $ | (210,309 | ) | $ | (90,197 | ) | $ | (120,112 | ) | |||||||||||||||||||
| Receive | 3-Month Australian Bank Bill | 3.750% | 3/15/24 | 3-Month | AUD | 20,700,000 | 62,363 | 23,775 | 38,588 | |||||||||||||||||||||||||
| Pay | 3-Month Canadian Bank Bill | 1.220% | 3/3/25 | 6-Month | CAD | 2,000,000 | (119,187 | ) | (380 | ) | (118,807 | ) | ||||||||||||||||||||||
| Pay | 3-Month Canadian Bank Bill | 1.250% | 6/16/31 | 6-Month | CAD | 600,000 | (81,765 | ) | (83,214 | ) | 1,449 | |||||||||||||||||||||||
| Pay | 3-Month Canadian Bank Bill | 1.500% | 6/17/30 | 6-Month | CAD | 2,200,000 | (242,115 | ) | (27,393 | ) | (214,722 | ) | ||||||||||||||||||||||
| Pay | 3-Month Canadian Bank Bill | 1.585% | 7/19/31 | 6-Month | CAD | 800,000 | (94,023 | ) | (53,520 | ) | (40,503 | ) | ||||||||||||||||||||||
| Pay | 3-Month Canadian Bank Bill | 1.713% | 10/2/29 | 6-Month | CAD | 700,000 | (67,022 | ) | 2,503 | (69,525 | ) | |||||||||||||||||||||||
| Pay | 3-Month Canadian Bank Bill | 1.900% | 12/18/29 | 6-Month | CAD | 800,000 | (68,600 | ) | 12,573 | (81,173 | ) | |||||||||||||||||||||||
| Receive | 3-Month Canadian Bank Bill | 3.250% | 3/15/28 | 6-Month | CAD | 990,000 | 19,343 | (3,062 | ) | 22,405 | ||||||||||||||||||||||||
| Pay | 3-Month FRA New Zealand Bank Bill | 3.000% | 12/15/23 | 6-Month | NZD | 4,400,000 | (60,334 | ) | (779 | ) | (59,555 | ) | ||||||||||||||||||||||
| Pay | 3-Month FRA New Zealand Bank Bill | 3.750% | 6/15/27 | 6-Month | NZD | 1,800,000 | (51,021 | ) | (18,296 | ) | (32,725 | ) | ||||||||||||||||||||||
| Pay | 3-Month FRA New Zealand Bank Bill | 4.000% | 6/14/24 | 6-Month | NZD | 10,100,000 | (93,989 | ) | (22,659 | ) | (71,330 | ) | ||||||||||||||||||||||
| Pay | 3-Month FRA New Zealand Bank Bill | 4.750% | 3/20/25 | 6-Month | NZD | 3,900,000 | (9,901 | ) | (3,519 | ) | (6,382 | ) | ||||||||||||||||||||||
| Pay | 3-Month SEK-STIBOR-SIDE | 0.500% | 6/19/24 | 12-Month | SEK | 4,800,000 | (20,236 | ) | 6,261 | (26,497 | ) | |||||||||||||||||||||||
| Pay | 3-Month USD-LIBOR | 1.500% | 12/15/28 | 6-Month | USD | 3,100,000 | (441,936 | ) | 55,638 | (497,574 | ) | |||||||||||||||||||||||
| Pay | 3-Month USD-LIBOR | 1.518% | 1/20/29 | 6-Month | USD | 100,000 | (14,007 | ) | — | (14,007 | ) | |||||||||||||||||||||||
| Pay | 3-Month USD-LIBOR | 1.545% | 1/20/29 | 6-Month | USD | 900,000 | (124,779 | ) | — | (124,779 | ) | |||||||||||||||||||||||
| Pay | 3-Month USD-LIBOR | 1.630% | 1/26/29 | 6-Month | USD | 200,000 | (26,750 | ) | — | (26,750 | ) | |||||||||||||||||||||||
| Receive | 3-Month USD-LIBOR | 0.250% | 3/30/23 | 6-Month | USD | 1,200,000 | 12,774 | 122 | 12,652 | |||||||||||||||||||||||||
| Receive | 3-Month USD-LIBOR | 0.400% | 3/30/26 | 6-Month | USD | 850,000 | 108,891 | 17,606 | 91,285 | |||||||||||||||||||||||||
| Receive | 3-Month USD-LIBOR | 0.750% | 6/16/31 | 6-Month | USD | 200,000 | 46,811 | 11,329 | 35,482 | |||||||||||||||||||||||||
| Receive | 3-Month USD-LIBOR | 1.250% | 12/15/26 | 6-Month | USD | 2,400,000 | 285,904 | (29,693 | ) | 315,597 | ||||||||||||||||||||||||
| Receive | 3-Month USD-LIBOR | 1.298% | 8/25/24 | 6-Month | USD | 1,400,000 | 90,256 | (30,011 | ) | 120,267 | ||||||||||||||||||||||||
| Receive | 3-Month USD-LIBOR | 1.750% | 12/15/31 | 6-Month | USD | 200,000 | 33,744 | (7,578 | ) | 41,322 | ||||||||||||||||||||||||
| Pay | 6-Month Australian Bank Bill | 4.250% | 3/15/33 | 6-Month | AUD | 300,000 | (3,156 | ) | (3,835 | ) | 679 | |||||||||||||||||||||||
See Notes to Financial Statements.
232
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||
| Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate |
Maturity Date |
Payment Frequency |
Notional Amount |
Market Value |
Upfront Payment Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
| Pay | 6-Month Australian Bank Bill | 4.500% | 9/15/32 | 6-Month | AUD | 13,600,000 | $ | (55,842 | ) | $ | 9,186 | $ | (65,028 | ) | ||||||||||||||||||||
| Pay | 6-Month EURIBOR | 0.550% | 8/10/24 | 12-Month | EUR | 200,000 | (9,092 | ) | — | (9,092 | ) | |||||||||||||||||||||||
| Pay | 6-Month EURIBOR | 0.650% | 4/12/27 | 12-Month | EUR | 500,000 | (56,268 | ) | — | (56,268 | ) | |||||||||||||||||||||||
| Pay | 6-Month EURIBOR | 0.650% | 5/11/27 | 12-Month | EUR | 300,000 | (34,225 | ) | — | (34,225 | ) | |||||||||||||||||||||||
| Pay | 6-Month EURIBOR | 0.700% | 4/11/27 | 12-Month | EUR | 200,000 | (21,958 | ) | — | (21,958 | ) | |||||||||||||||||||||||
| Pay | 6-Month EURIBOR | 1.000% | 5/13/27 | 12-Month | EUR | 500,000 | (48,325 | ) | — | (48,325 | ) | |||||||||||||||||||||||
| Pay | 6-Month EURIBOR | 1.500% | 3/15/25 | 12-Month | EUR | 4,900,000 | (224,338 | ) | (100,791 | ) | (123,547 | ) | ||||||||||||||||||||||
| Pay | 6-Month EURIBOR | 1.500% | 3/15/28 | 12-Month | EUR | 22,200,000 | (1,987,664 | ) | (1,434,225 | ) | (553,439 | ) | ||||||||||||||||||||||
| Pay | 6-Month EURIBOR | 1.750% | 3/15/33 | 12-Month | EUR | 2,580,000 | (341,570 | ) | (335,971 | ) | (5,599 | ) | ||||||||||||||||||||||
| Pay | 6-Month EURIBOR | 2.250% | 9/21/37 | 12-Month | EUR | 5,650,000 | (646,750 | ) | 141,469 | (788,219 | ) | |||||||||||||||||||||||
| Pay | 6-Month EURIBOR | 2.250% | 9/21/42 | 12-Month | EUR | 2,310,000 | (282,554 | ) | 176,898 | (459,452 | ) | |||||||||||||||||||||||
| Pay | 6-Month EURIBOR | 3.000% | 3/19/27 | 12-Month | EUR | 7,050,000 | (15,539 | ) | 47,415 | (62,954 | ) | |||||||||||||||||||||||
| Receive | 6-Month EURIBOR | 0.054% | 5/27/50 | 12-Month | EUR | 50,000 | 22,802 | 6,520 | 16,282 | |||||||||||||||||||||||||
| Receive | 6-Month EURIBOR | 0.064% | 11/17/52 | 12-Month | EUR | 100,000 | 56,021 | 11,996 | 44,025 | |||||||||||||||||||||||||
| Receive | 6-Month EURIBOR | 1.500% | 3/15/53 | 12-Month | EUR | 4,650,000 | 1,183,053 | 991,206 | 191,847 | |||||||||||||||||||||||||
| Receive | 6-Month EURIBOR | 3.000% | 3/15/33 | 12-Month | EUR | 3,160,000 | 8,942 | (33,464 | ) | 42,406 | ||||||||||||||||||||||||
| Pay | Bank of Japan Uncollateralised Overnight Call Rate | 0.000% | 3/17/31 | 6-Month | JPY | 580,000,000 | (263,695 | ) | (20,750 | ) | (242,945 | ) | ||||||||||||||||||||||
| Pay | Bank of Japan Uncollateralised Overnight Call Rate | 0.050% | 12/15/31 | 12-Month | JPY | 320,000,000 | (146,194 | ) | (93,227 | ) | (52,967 | ) | ||||||||||||||||||||||
| Pay | Bank of Japan Uncollateralised Overnight Call Rate | 0.200% | 6/19/29 | 6-Month | JPY | 410,000,000 | (81,397 | ) | 55,540 | (136,937 | ) | |||||||||||||||||||||||
| Pay | Bank of Japan Uncollateralised Overnight Call Rate | 0.250% | 3/15/32 | 12-Month | JPY | 50,000,000 | (16,648 | ) | (1,479 | ) | (15,169 | ) | ||||||||||||||||||||||
| Pay | Bank of Japan Uncollateralised Overnight Call Rate | 0.400% | 12/15/51 | 12-Month | JPY | 67,000,000 | (98,079 | ) | (28,522 | ) | (69,557 | ) | ||||||||||||||||||||||
| Pay | Bank of Japan Uncollateralised Overnight Call Rate | 0.450% | 12/15/51 | 12-Month | JPY | 160,000,000 | (219,568 | ) | (181,064 | ) | (38,504 | ) | ||||||||||||||||||||||
| Pay | Bank of Japan Uncollateralised Overnight Call Rate | 0.700% | 3/15/52 | 12-Month | JPY | 40,000,000 | (35,281 | ) | (4,225 | ) | (31,056 | ) | ||||||||||||||||||||||
| Pay | Bank of Japan Uncollateralised Overnight Call Rate | 0.800% | 6/15/52 | 12-Month | JPY | 170,000,000 | (120,698 | ) | (85,372 | ) | (35,326 | ) | ||||||||||||||||||||||
| Receive | Bank of Japan Uncollateralised Overnight Call Rate | 0.000% | 12/15/26 | 12-Month | JPY | 770,000,000 | 74,882 | 58,417 | 16,465 | |||||||||||||||||||||||||
| Receive | Bank of Japan Uncollateralised Overnight Call Rate | 0.400% | 6/19/39 | 6-Month | JPY | 80,000,000 | 67,507 | (20,457 | ) | 87,964 | ||||||||||||||||||||||||
| Receive | China 7-Day Reverse Repo Index | 2.500% | 9/15/26 | 3-Month | CNY | 15,400,000 | 24,305 | 14,710 | 9,595 | |||||||||||||||||||||||||
| Receive | China 7-Day Reverse Repo Index | 2.500% | 6/15/27 | 3-Month | CNY | 4,800,000 | 11,015 | 65 | 10,950 | |||||||||||||||||||||||||
| Receive | China 7-Day Reverse Repo Index | 2.500% | 9/21/27 | 3-Month | CNY | 4,800,000 | 12,441 | 3,245 | 9,196 | |||||||||||||||||||||||||
| Receive | China 7-Day Reverse Repo Index | 2.500% | 12/21/27 | 3-Month | CNY | 13,900,000 | 39,664 | 6,698 | 32,966 | |||||||||||||||||||||||||
| Receive | China 7-Day Reverse Repo Index | 2.750% | 9/15/26 | 3-Month | CNY | 13,500,000 | 3,992 | (10,868 | ) | 14,860 | ||||||||||||||||||||||||
| Pay | Euro Short-Term Rate Market Index | 1.000% | 11/23/24 | 12-Month | EUR | 3,900,000 | (188,731 | ) | (127,242 | ) | (61,489 | ) | ||||||||||||||||||||||
| Pay | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate | 6.500% | 3/15/28 | 6-Month | INR | 75,775,000 | (6,745 | ) | 862 | (7,607 | ) | |||||||||||||||||||||||
| Pay | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate | 6.500% | 3/15/28 | 6-Month | INR | 114,500,000 | (10,191 | ) | (246 | ) | (9,945 | ) | ||||||||||||||||||||||
| Receive | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate | 6.250% | 3/15/28 | 6-Month | INR | 156,676,000 | 33,543 | 1,687 | 31,856 | |||||||||||||||||||||||||
| Receive | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate | 6.250% | 3/16/32 | 6-Month | INR | 22,000,000 | 9,279 | 15,809 | (6,530 | ) | ||||||||||||||||||||||||
| Pay | KSDA South Korea Daily Closing of 3-Month CD | 3.250% | 3/15/28 | 3-Month | KRW | 2,717,500,000 | (36,661 | ) | (8,262 | ) | (28,399 | ) | ||||||||||||||||||||||
See Notes to Financial Statements.
233
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||
| Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate |
Maturity Date |
Payment Frequency |
Notional Amount |
Market Value |
Upfront Payment Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
| Pay | Singapore Overnight Index Average | 2.500% | 9/21/27 | 6-Month | SGD | 1,600,000 | $ | (51,704 | ) | $ | (10,666 | ) | $ | (41,038 | ) | |||||||||||||||||||
| Pay | Singapore Overnight Index Average | 2.750% | 6/15/27 | 6-Month | SGD | 700,000 | (15,966 | ) | (1,267 | ) | (14,699 | ) | ||||||||||||||||||||||
| Pay | Singapore Overnight Index Average | 2.750% | 9/21/27 | 6-Month | SGD | 4,569,000 | (108,592 | ) | (40,868 | ) | (67,724 | ) | ||||||||||||||||||||||
| Pay | Singapore Overnight Index Average | 3.000% | 6/15/27 | 6-Month | SGD | 1,600,000 | (24,220 | ) | (3,061 | ) | (21,159 | ) | ||||||||||||||||||||||
| Pay | Singapore Overnight Index Average | 3.250% | 12/21/27 | 6-Month | SGD | 190,000 | (1,297 | ) | 1,623 | (2,920 | ) | |||||||||||||||||||||||
| Pay | SOFR | 1.500% | 6/15/52 | 12-Month | USD | 700,000 | (231,549 | ) | (19,768 | ) | (211,781 | ) | ||||||||||||||||||||||
| Pay | SOFR | 1.695% | 11/15/31 | 12-Month | USD | 3,200,000 | (490,314 | ) | (5,345 | ) | (484,969 | ) | ||||||||||||||||||||||
| Pay | SOFR | 1.750% | 6/15/52 | 12-Month | USD | 300,000 | (83,001 | ) | (90,585 | ) | 7,584 | |||||||||||||||||||||||
| Pay | SOFR | 2.906% | 9/16/52 | 12-Month | USD | 400,000 | (25,570 | ) | — | (25,570 | ) | |||||||||||||||||||||||
| Pay | SOFR | 2.968% | 6/30/24 | 12-Month | USD | 10,400,000 | (344,101 | ) | — | (344,101 | ) | |||||||||||||||||||||||
| Pay | SOFR | 3.050% | 9/8/29 | 12-Month | USD | 100,000 | (4,701 | ) | — | (4,701 | ) | |||||||||||||||||||||||
| Pay | SOFR | 3.100% | 9/9/29 | 12-Month | USD | 400,000 | (17,582 | ) | — | (17,582 | ) | |||||||||||||||||||||||
| Pay | SOFR | 3.225% | 9/30/29 | 12-Month | USD | 8,600,000 | (275,749 | ) | 30,000 | (305,749 | ) | |||||||||||||||||||||||
| Pay | SOFR | 3.295% | 5/31/27 | 12-Month | USD | 700,000 | (21,080 | ) | — | (21,080 | ) | |||||||||||||||||||||||
| Pay | SOFR | 3.310% | 5/31/27 | 12-Month | USD | 3,500,000 | (103,440 | ) | (1,873 | ) | (101,567 | ) | ||||||||||||||||||||||
| Pay | SOFR | 3.329% | 5/31/27 | 12-Month | USD | 3,700,000 | (106,820 | ) | — | (106,820 | ) | |||||||||||||||||||||||
| Pay | SOFR | 3.340% | 2/23/30 | 12-Month | USD | 800,000 | (21,365 | ) | — | (21,365 | ) | |||||||||||||||||||||||
| Pay | SOFR | 3.361% | 5/31/27 | 12-Month | USD | 700,000 | (19,367 | ) | — | (19,367 | ) | |||||||||||||||||||||||
| Pay | SOFR | 3.385% | 5/31/27 | 12-Month | USD | 4,000,000 | (107,048 | ) | — | (107,048 | ) | |||||||||||||||||||||||
| Pay | SOFR | 3.400% | 2/23/33 | 12-Month | USD | 500,000 | (9,934 | ) | — | (9,934 | ) | |||||||||||||||||||||||
| Pay | SOFR | 3.420% | 2/15/33 | 12-Month | USD | 600,000 | (11,100 | ) | — | (11,100 | ) | |||||||||||||||||||||||
| Pay | SOFR | 3.454% | 6/30/29 | 12-Month | USD | 1,200,000 | (26,914 | ) | — | (26,914 | ) | |||||||||||||||||||||||
| Pay | SOFR | 3.470% | 2/22/30 | 12-Month | USD | 800,000 | (15,095 | ) | — | (15,095 | ) | |||||||||||||||||||||||
| Pay | SOFR | 3.898% | 6/30/29 | 12-Month | USD | 1,400,000 | 4,065 | — | 4,065 | |||||||||||||||||||||||||
| Receive | SOFR | 0.500% | 6/15/24 | 12-Month | USD | 800,000 | 62,483 | 7,740 | 54,743 | |||||||||||||||||||||||||
| Receive | SOFR | 1.000% | 12/15/26 | 12-Month | USD | 1,000,000 | 118,647 | 3,719 | 114,928 | |||||||||||||||||||||||||
| Receive | SOFR | 1.000% | 6/15/27 | 12-Month | USD | 1,600,000 | 217,521 | 58,831 | 158,690 | |||||||||||||||||||||||||
| Receive | SOFR | 1.750% | 6/15/24 | 12-Month | USD | 8,000,000 | 428,068 | 367,708 | 60,360 | |||||||||||||||||||||||||
| Receive | SOFR | 1.750% | 6/15/27 | 12-Month | USD | 11,100,000 | 1,127,077 | 584,956 | 542,121 | |||||||||||||||||||||||||
| Receive | SOFR | 1.750% | 6/15/29 | 12-Month | USD | 800,000 | 85,815 | 53,935 | 31,880 | |||||||||||||||||||||||||
| Receive | SOFR | 2.730% | 4/30/29 | 12-Month | USD | 3,200,000 | 209,285 | — | 209,285 | |||||||||||||||||||||||||
| Receive | SOFR | 2.750% | 6/21/53 | 12-Month | USD | 10,000 | 794 | 660 | 134 | |||||||||||||||||||||||||
| Receive | SOFR | 2.817% | 4/30/29 | 12-Month | USD | 1,600,000 | 96,505 | — | 96,505 | |||||||||||||||||||||||||
| Receive | SOFR | 2.819% | 4/30/29 | 12-Month | USD | 900,000 | 54,208 | — | 54,208 | |||||||||||||||||||||||||
| Receive | SOFR | 2.965% | 11/30/26 | 12-Month | USD | 6,600,000 | 309,371 | (3,697 | ) | 313,068 | ||||||||||||||||||||||||
| Receive | SOFR | 3.000% | 6/21/33 | 12-Month | USD | 3,330,000 | 157,245 | 132,944 | 24,301 | |||||||||||||||||||||||||
| Receive | SOFR | 3.048% | 11/15/32 | 12-Month | USD | 4,500,000 | 209,504 | — | 209,504 | |||||||||||||||||||||||||
| Receive | SOFR | 3.070% | 11/15/32 | 12-Month | USD | 1,100,000 | 49,344 | — | 49,344 | |||||||||||||||||||||||||
| Receive | SOFR | 3.083% | 11/15/32 | 12-Month | USD | 1,400,000 | 61,322 | — | 61,322 | |||||||||||||||||||||||||
| Receive | SOFR | 3.086% | 11/15/32 | 12-Month | USD | 1,100,000 | 47,886 | 11,057 | 36,829 | |||||||||||||||||||||||||
| Receive | SOFR | 3.089% | 11/15/32 | 12-Month | USD | 2,300,000 | 99,575 | — | 99,575 | |||||||||||||||||||||||||
| Receive | SOFR | 3.173% | 11/15/32 | 12-Month | USD | 200,000 | 7,326 | (989 | ) | 8,315 | ||||||||||||||||||||||||
| Receive | SOFR | 3.139% | 11/15/32 | 12-Month | USD | 1,800,000 | 70,757 | — | 70,757 | |||||||||||||||||||||||||
| Receive | SOFR | 3.250% | 6/21/28 | 12-Month | USD | 800,000 | 21,771 | 10,515 | 11,256 | |||||||||||||||||||||||||
| Receive | SOFR | 3.300% | 5/31/27 | 12-Month | USD | 7,400,000 | 221,585 | 18,177 | 203,408 | |||||||||||||||||||||||||
| Pay | South Korean Won Certificate of Deposit | 3.000% | 9/21/27 | 3-Month | KRW | 2,728,450,000 | (62,036 | ) | (25,447 | ) | (36,589 | ) | ||||||||||||||||||||||
| Pay | South Korean Won Certificate of Deposit | 3.000% | 3/15/28 | 3-Month | KRW | 1,824,560,000 | (40,495 | ) | (4,954 | ) | (35,541 | ) | ||||||||||||||||||||||
| Pay | South Korean Won Certificate of Deposit | 3.500% | 3/15/28 | 3-Month | KRW | 2,294,959,000 | (10,986 | ) | (290 | ) | (10,696 | ) | ||||||||||||||||||||||
| Pay | Sterling Overnight Index Average | 2.000% | 3/15/33 | 12-Month | GBP | 5,800,000 | (996,605 | ) | (1,003,468 | ) | 6,863 | |||||||||||||||||||||||
| Pay | Sterling Overnight Index Average | 2.000% | 3/15/53 | 12-Month | GBP | 400,000 | (132,413 | ) | (118,635 | ) | (13,778 | ) | ||||||||||||||||||||||
| Pay | Sterling Overnight Index Average | 2.250% | 3/15/28 | 12-Month | GBP | 1,300,000 | (125,007 | ) | (80,629 | ) | (44,378 | ) | ||||||||||||||||||||||
See Notes to Financial Statements.
234
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||
| Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate |
Maturity Date |
Payment Frequency |
Notional Amount |
Market Value |
Upfront Payment Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
| Pay | Sterling Overnight Index Average | 2.500% | 3/15/25 | 12-Month | GBP | 1,300,000 | $ | (60,688 | ) | $ | (43,000 | ) | $ | (17,688 | ) | |||||||||||||||||||
| Pay | Swiss Average Rate Overnight Index | 0.300% | 2/15/27 | 12-Month | CHF | 600,000 | (36,909 | ) | — | (36,909 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| $ | (4,391,105 | ) | $ | (1,361,448 | ) | $ | (3,029,657 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| Fund Pay Floating Rate Index |
Fund Receive Floating Rate Index |
Maturity Date |
Notional Amount |
Market Value |
Upfront Payment Paid/ (Received) |
Unrealized Appreciation |
||||||||||||||||||||
| 1-Month USD-LIBOR + 0.070% | 3-Month USD-LIBOR | 3/7/24 | USD | 1,100,000 | $ | 946 | $ | 18 | $ | 928 | ||||||||||||||||
| 1-Month USD-LIBOR + 0.073% | 3-Month USD-LIBOR | 4/27/23 | USD | 4,600,000 | 782 | (1,135 | ) | 1,917 | ||||||||||||||||||
| 1-Month USD-LIBOR + 0.086% | 3-Month USD-LIBOR | 4/12/23 | USD | 3,100,000 | 1,043 | (2,444 | ) | 3,487 | ||||||||||||||||||
| 1-Month USD-LIBOR + 0.102% | 3-Month USD-LIBOR | 10/4/24 | USD | 2,600,000 | 831 | 115 | 716 | |||||||||||||||||||
| 1-Month USD-LIBOR + 0.105% | 3-Month USD-LIBOR | 9/27/24 | USD | 1,700,000 | 498 | (77 | ) | 575 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 4,100 | $ | (3,523 | ) | $ | 7,623 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
At February 28, 2023, International Fixed Income Fund held the following OTC and Centrally Cleared Credit Default Swap Contracts:
OTC Credit Default Swaps on Sovereign Issues — Buy Protection (1)
| Reference Obligation & Ratings† | Fixed Deal (Pay) Rate |
Maturity Date |
Payment Frequency |
Counterparty | Implied Credit 2/28/23 (2) |
Notional Amount (3) |
Market Value |
Upfront Payment (Received) |
Unrealized Appreciation |
|||||||||||||||||||||||||||||||
| China Government International Bonds, A+ |
(1.000 | )% | 6/20/23 | 3-Month | BCLY | 0.276 | % | USD | 200,000 | $ | (838 | ) | $ | (3,815 | ) | $ | 2,977 | |||||||||||||||||||||||
| China Government International Bonds, A+ |
(1.000 | )% | 6/20/23 | 3-Month | GSC | 0.276 | % | USD | 500,000 | (2,094 | ) | (9,653 | ) | 7,559 | ||||||||||||||||||||||||||
| South Korea International Bonds, AA |
(1.000 | )% | 6/20/23 | 3-Month | BCLY | 0.249 | % | USD | 600,000 | (2,562 | ) | (15,056 | ) | 12,494 | ||||||||||||||||||||||||||
| South Korea International Bonds, AA |
(1.000 | )% | 6/20/23 | 3-Month | BNP | 0.249 | % | USD | 400,000 | (1,708 | ) | (9,884 | ) | 8,176 | ||||||||||||||||||||||||||
| South Korea International Bonds, AA |
(1.000 | )% | 6/20/23 | 3-Month | HSBC | 0.249 | % | USD | 200,000 | (854 | ) | (4,989 | ) | 4,135 | ||||||||||||||||||||||||||
| South Korea International Bonds, AA |
(1.000 | )% | 6/20/23 | 3-Month | JPM | 0.249 | % | USD | 400,000 | (1,708 | ) | (9,580 | ) | 7,872 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| $ | (9,764) | $ | (52,977) | $ | 43,213 | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| † | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
OTC Credit Default Swaps on Sovereign Issue — Sell Protection (4)
| Reference Obligation & Ratings† | Fixed Deal Receive Rate |
Maturity Date |
Payment Frequency |
Counterparty | Implied Credit Spread at 2/28/23 (2) |
Notional Amount (3) |
Market Value |
Upfront Payment (Received) |
Unrealized Appreciation |
|||||||||||||||||||||||||||||||
| Republic of Italy Government International Bonds, BBB |
1.000 | % | 6/20/25 | 3-Month | BCLY | 0.535 | % | USD | 300,000 | $ | 3,659 | $ | (7,348 | ) | $ | 11,007 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| † | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
See Notes to Financial Statements.
235
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||
Centrally Cleared — Credit Default Swaps on Indexes — Buy Protection (1)
| Reference Obligation & Ratings | Fixed Deal (Pay) Rate |
Maturity Date |
Payment Frequency |
Implied Credit Spread at 2/28/23 (2) |
Notional Amount (3) |
Market Value |
Upfront Payment Paid |
Unrealized Depreciation |
||||||||||||||||||||||||||||
| Markit CDX North America Investment Grade Series 39 10-Year Index, NR |
(1.000) | % | 12/20/32 | 3-Month | 1.157 | % | USD | 5,800,000 | $ | 59,163 | $ | 131,253 | $ | (72,090) | ||||||||||||||||||||||
| Markit iTraxx Europe Series 38 10-Year Index, NR |
(1.000) | % | 12/20/32 | 3-Month | 1.182 | % | EUR | 6,600,000 | 85,484 | 163,281 | (77,797) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| $ | 144,647 | $ | 294,534 | $ | (149,887) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
Centrally Cleared — Credit Default Swaps on Corporate Issues and Indexes — Sell Protection (4)
| Reference Obligation & Ratings† | Fixed Deal Receive Rate |
Maturity Date |
Payment Frequency |
Implied Credit Spread at 2/28/23 (2) |
Notional Amount (3) |
Market Value |
Upfront Payment Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||||
| Ford Motor Credit Co. LLC, BB+ |
5.000 | % | 6/20/25 | 3-Month | 1.817 | % | USD | 200,000 | $ | 15,747 | $ | 7,947 | $ | 7,800 | ||||||||||||||||||||||
| Jaguar Land Rover Automotive PLC, B+ |
5.000 | % | 6/20/26 | 3-Month | 6.604 | % | EUR | 200,000 | (7,267 | ) | 12,873 | (20,140 | ) | |||||||||||||||||||||||
| Markit CDX North America Investment Grade Series 39 5-Year Index, NR |
1.000 | % | 12/20/27 | 3-Month | 0.758 | % | USD | 3,900,000 | 47,259 | 46,093 | 1,166 | |||||||||||||||||||||||||
| Markit iTraxx Europe Series 38 5-Year Index, NR |
1.000 | % | 12/20/27 | 3-Month | 0.795 | % | EUR | 900,000 | 10,380 | 11,607 | (1,227 | ) | ||||||||||||||||||||||||
| Rolls-Royce PLC, BB- |
1.000 | % | 6/20/26 | 3-Month | 1.917 | % | EUR | 200,000 | (5,465 | ) | (15,002 | ) | 9,537 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| $ | 60,654 | $ | 63,518 | $ | (2,864) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| † | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
At February 28, 2023, International Fixed Income Fund held the following OTC Cross-Currency Swap Contract:
| Counterparty Pay | Counterparty Receive | Maturity Date (5) |
Counterparty | Notional Amount of Currency Received (6) |
Notional Amount of Currency Delivered (6) |
Market Value |
Upfront Payment (Received) |
Unrealized Depreciation |
||||||||||||||||||||||
| Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received | Floating rate equal to 3-Month AUD-LIBOR plus 0.423% based on the notional amount of currency delivered | 8/1/29 | GSC | USD 1,449,000 | AUD 2,100,000 | $ | (33,846) | $ | (3,920) | $ | (29,926) | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| (1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising the referenced index. |
| (2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as ‘‘Defaulted’’ indicates a credit event has occurred for the referenced entity or obligation. |
| (3) | The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
See Notes to Financial Statements.
236
| Schedules of Investments |
| (unaudited) (continued) |
| International Fixed Income Fund | ||||||
| (4) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (5) | At the maturity date, the notional amount of the currency received will be exchanged back for the notional amount of the currency delivered. |
| (6) | The notional amounts to be received or delivered may be determined and exchanged at a future date, based on the effective date of the cross-currency swap. |
At February 28, 2023, International Fixed Income Fund deposited cash collateral with brokers in the amount of $2,379,000 for open centrally cleared swap contracts.
At February 28, 2023, International Fixed Income Fund had cash collateral from brokers in the amount of $3,156,000 for open OTC swap contracts.
| Currency Abbreviations used in this schedule: |
Counterparty Abbreviations used in this schedule: | |||||
| ARS | — Argentine Peso |
BCLY |
— Barclays Bank PLC | |||
| AUD | — Australian Dollar |
BNP |
— BNP Paribas SA | |||
| CAD | — Canadian Dollar |
BOA |
— Bank of America | |||
| CHF | — Swiss Franc |
DUB |
— Deutsche Bank AG | |||
| CNY | — China Yuan Renminbi |
GSC |
— Goldman Sachs & Co. | |||
| DKK | — Danish Krone |
HSBC |
— HSBC Bank USA | |||
| EUR | — Euro |
JPM |
— JPMorgan Chase & Co. | |||
| GBP | — British Pound |
SCB |
— Standard Chartered Bank | |||
| ILS | — Israeli New Shekel |
SOG |
— Societe Generale SA | |||
| INR | — Indian Rupee |
UBS |
— UBS Securities LLC | |||
| JPY | — Japanese Yen |
|||||
| KRW | — Korean Won |
|||||
| MXN | — Mexican Peso |
|||||
| MYR | — Malaysian Ringgit |
|||||
| NZD | — New Zealand Dollar |
|||||
| PEN | — Peruvian Sol |
|||||
| SEK | — Swedish Krona |
|||||
| SGD | — Singapore Dollar |
|||||
| THB | — Thai Baht |
|||||
| USD | — United States Dollar |
|||||
| ZAR | — South African Rand |
|||||
See Notes to Financial Statements.
237
| Schedules of Investments |
| (unaudited) (continued) |
See Notes to Financial Statements.
238
| Schedules of Investments |
| (unaudited) (continued) |
| Municipal Bond Fund | ||||||||||
| Face Amount† |
Rating†† | Security | Value | |||||||
| California — 17.8% — (continued) | ||||||||||
| $ | 1,000,000 | AA- | State of California, GO, 5.000% due 4/1/31 | $ | 1,169,184 | |||||
|
|
|
|||||||||
| Total California | 16,526,861 | |||||||||
|
|
|
|||||||||
| Colorado — 2.4% | ||||||||||
| 750,000 | AA- | City & County of Denver, Airport System Revenue, Revenue Bonds, AMT, Series A, 5.000% due 11/15/30(c) |
794,042 | |||||||
| 1,435,000 | AA+ | City of Colorado Springs, Utilities System Revenue, Revenue Bonds, System Improvement, Series B2, 5.000% due 11/15/38 |
1,447,485 | |||||||
|
|
|
|||||||||
| Total Colorado | 2,241,527 | |||||||||
|
|
|
|||||||||
| District of Columbia — 1.2% | ||||||||||
| 2,075,000 | WD(e) | District of Columbia Tobacco Settlement Financing Corp., Revenue Bonds, Capital Appreciation Asset-Backed, Series B, zero coupon due 6/15/46 |
389,893 | |||||||
| 700,000 | AA- | Metropolitan Washington Airports Authority Aviation Revenue, Revenue Bonds, AMT, Series A, 4.000% due 10/1/36(c) |
687,911 | |||||||
|
|
|
|||||||||
| Total District of Columbia | 1,077,804 | |||||||||
|
|
|
|||||||||
| Florida — 6.1% | ||||||||||
| 1,000,000 | A | Brevard County Health Facilities Authority, Revenue Bonds, Health First Obligated Group, Series A, 5.000% due 4/1/47 |
1,037,849 | |||||||
| 665,000 | AA+ | Broward County, Water & Sewer Utility Revenue, Revenue Bonds, Series A, 4.000% due 10/1/45 |
634,693 | |||||||
| Capital Projects Finance Authority, Revenue Bonds: | ||||||||||
| 225,000 | Baa3(d) | Florida University Project, Series A1, 5.000% due 10/1/26 |
224,626 | |||||||
| 100,000 | Ba1(d) | Viera Charter Schools Inc. Project, Series A, 4.000% due 10/15/29(a) |
95,068 | |||||||
| 2,500,000 | NR | Capital Trust Agency Inc., Revenue Bonds, Wonderful Foundations Charter, Series B, zero coupon due 1/1/60 |
123,309 | |||||||
| 1,400,000 | A+ | City of Cape Coral, Water & Sewer Revenue, Revenue Bonds, 5.000% due 10/1/39 | 1,463,762 | |||||||
| 190,000 | NR | Finley Woods Community Development District, Special Assessment, Area One, 3.150% due 5/1/25 |
184,468 | |||||||
| Florida Development Finance Corp., Revenue Bonds: | ||||||||||
| 190,000 | NR | Waste Pro USA Inc. Project, AMT, 5.000% due 5/1/29(a)(c) |
177,159 | |||||||
| 100,000 | BBB | Mater Academy Project, Series A, Series A, 5.000% due 6/15/56 |
91,278 | |||||||
| 45,000 | NR | Harbor Bay Community Development District, Special Assessment, Area One, Series A2, 3.100% due 5/1/24 |
44,269 | |||||||
| 275,000 | NR | Lakewood Ranch Stewardship District, Special Assessment, Isles Lakewood Ranch Project, 3.875% due 5/1/29 |
263,514 | |||||||
| 1,000,000 | A+ | Orange County Health Facilities Authority, Revenue Bonds, Orlando Health Obligated Group, 4.000% due 10/1/52 |
895,478 | |||||||
| 310,000 | NR | Seminole County Industrial Development Authority, Revenue Bonds, Legacy Pointe at UCF Project, 3.750% due 11/15/25 |
291,416 | |||||||
| 140,000 | NR | Southern Groves Community Development District No. 5, Special Assessment, 2.875% due 5/1/24 |
137,096 | |||||||
|
|
|
|||||||||
| Total Florida | 5,663,985 | |||||||||
|
|
|
|||||||||
| Georgia — 3.2% | ||||||||||
| Main Street Natural Gas Inc., Revenue Bonds: | ||||||||||
| 2,500,000 | Aa1(d) | Series A, 4.000% due 7/1/52(b) |
2,499,589 | |||||||
| 435,000 | A3(d) | Series A, 4.000% due 9/1/52(b) |
427,054 | |||||||
|
|
|
|||||||||
| Total Georgia | 2,926,643 | |||||||||
|
|
|
|||||||||
| Guam — 0.1% | ||||||||||
| Territory of Guam, Revenue Bonds: | ||||||||||
| 15,000 | Ba1(d) | Series A, 5.000% due 11/1/27 |
15,705 | |||||||
| 15,000 | Ba1(d) | Series A, 5.000% due 11/1/28 |
15,892 | |||||||
| 15,000 | Ba1(d) | Series A, 5.000% due 11/1/29 |
16,051 | |||||||
|
|
|
|||||||||
| Total Guam | 47,648 | |||||||||
|
|
|
|||||||||
See Notes to Financial Statements.
239
| Schedules of Investments |
| (unaudited) (continued) |
| Municipal Bond Fund | ||||||||||
| Face Amount† |
Rating†† | Security | Value | |||||||
| Illinois — 2.0% | ||||||||||
| $ | 600,000 | A | Illinois Finance Authority, Revenue Bonds, DePaul University, 5.000% due 10/1/36 | $ | 624,127 | |||||
| 1,270,000 | A- | State of Illinois, GO, Series D, 5.000% due 11/1/23 | 1,279,191 | |||||||
|
|
|
|||||||||
| Total Illinois | 1,903,318 | |||||||||
|
|
|
|||||||||
| Indiana — 3.8% | ||||||||||
| 2,815,000 | Aa3(d) | Indiana Finance Authority, Revenue Bonds, Franciscan Alliance Inc., Series A, 4.000% due 11/1/51 |
2,523,876 | |||||||
| 1,000,000 | A+ | Indiana Municipal Power Agency, Revenue Bonds, Power Supply, Series C, 5.000% due 1/1/37 | 1,033,519 | |||||||
|
|
|
|||||||||
| Total Indiana | 3,557,395 | |||||||||
|
|
|
|||||||||
| Iowa — 1.1% | ||||||||||
| 135,000 | NR | Iowa Tobacco Settlement Authority, Revenue Bonds, Series B2, zero coupon due 6/1/65 | 14,567 | |||||||
| 1,000,000 | A3(d) | PEFA Inc., Revenue Bonds, 5.000% due 9/1/49(b) | 1,029,321 | |||||||
|
|
|
|||||||||
| Total Iowa | 1,043,888 | |||||||||
|
|
|
|||||||||
| Kentucky — 0.2% | ||||||||||
| 230,000 | NR | City of Henderson, Revenue Bonds, AMT, Pratt Paper LLC Project, Series A, 4.450% due 1/1/42(a)(c) |
219,258 | |||||||
|
|
|
|||||||||
| Louisiana — 0.6% | ||||||||||
| New Orleans Aviation Board, AMT, General Airport North Terminal, Revenue Bonds: | ||||||||||
| 250,000 | A | Series B, 5.000% due 1/1/37(c) |
256,880 | |||||||
| 250,000 | A | Series B, 5.000% due 1/1/38(c) |
256,189 | |||||||
|
|
|
|||||||||
| Total Louisiana | 513,069 | |||||||||
|
|
|
|||||||||
| Maryland — 1.2% | ||||||||||
| City of Baltimore, Tax Allocation, Harbor Point Project: | ||||||||||
| 200,000 | NR | Series A, 2.750% due 6/1/24(a) |
194,666 | |||||||
| 125,000 | NR | Series A, 2.800% due 6/1/25(a) |
119,282 | |||||||
| 135,000 | NR | Series A, 2.850% due 6/1/26(a) |
126,549 | |||||||
| 25,000 | NR | Series B, 3.000% due 6/1/24(a) |
24,371 | |||||||
| 630,000 | Baa3(d) | Maryland Economic Development Corp., Revenue Bonds, AMT, Green Bond, Purple Line Light Rail Project, AMT, Series B, 5.250% due 6/30/55(c) |
630,927 | |||||||
|
|
|
|||||||||
| Total Maryland | 1,095,795 | |||||||||
|
|
|
|||||||||
| Massachusetts — 1.1% | ||||||||||
| 1,000,000 | AA | Massachusetts Bay Transportation Authority Sales Tax Revenue, Revenue Bonds, Series A1, 5.000% due 7/1/44 |
1,047,016 | |||||||
|
|
|
|||||||||
| Michigan — 1.0% | ||||||||||
| Michigan Finance Authority, Revenue Bonds: | ||||||||||
| 200,000 | BB+ | Cesar Chavez Academy Project, 3.250% due 2/1/24 |
197,290 | |||||||
| 190,000 | A1(d) | McLaren Health Care Corp., Series D2, 1.200% due 10/15/38(b) |
168,632 | |||||||
| 500,000 | AA+ | Michigan State Housing Development Authority, Revenue Bonds, Series D, 5.100% due 12/1/37 |
527,915 | |||||||
|
|
|
|||||||||
| Total Michigan | 893,837 | |||||||||
|
|
|
|||||||||
| Mississippi — 0.1% | ||||||||||
| 115,000 | B+ | Mississippi Business Finance Corp., Revenue Bonds, AMT, 7.750% due 7/15/47(b)(c) | 114,908 | |||||||
|
|
|
|||||||||
| Nebraska — 0.6% | ||||||||||
| 500,000 | A2(d) | Central Plains Energy Project, Revenue Bonds, Series 1, 5.000% due 5/1/53(b) | 515,267 | |||||||
|
|
|
|||||||||
| Nevada — 0.1% | ||||||||||
| 50,000 | Ba1(d) | City of Sparks, Revenue Bonds, Senior Sales Tax Anticipation, Series A, 2.500% due 6/15/24(a) |
48,671 | |||||||
|
|
|
|||||||||
| New Hampshire — 0.9% | ||||||||||
| 1,000,000 | B+ | New Hampshire Business Finance Authority, Revenue Bonds, Casella Waste Systems Inc., AMT, Remarketing, 2.950% due 4/1/29(a)(c) |
868,271 | |||||||
|
|
|
|||||||||
See Notes to Financial Statements.
240
| Schedules of Investments |
| (unaudited) (continued) |
| Municipal Bond Fund | ||||||||||
| Face Amount† |
Rating†† | Security | Value | |||||||
| New Jersey — 2.8% | ||||||||||
| $ | 100,000 | BBB | Camden County Improvement Authority (The), Revenue Bonds, KIPP Cooper Norcross High School, 6.000% due 6/15/62 |
$ | 104,158 | |||||
| 215,000 | NR | New Jersey Economic Development Authority, Revenue Bonds, Golden Door Charter School Project, Series A, 5.125% due 11/1/29(a) |
213,489 | |||||||
| New Jersey Transportation Trust Fund Authority, Revenue Bonds: | ||||||||||
| 1,250,000 | A+ | Highway Reimbursement, Series A, 5.000% due 6/15/30 |
1,315,134 | |||||||
| 1,000,000 | BBB+ | Series A, 4.000% due 6/15/40 |
958,274 | |||||||
|
|
|
|||||||||
| Total New Jersey | 2,591,055 | |||||||||
|
|
|
|||||||||
| New York — 7.9% | ||||||||||
| 1,000,000 | AA | City of New York, GO, Series B, 5.250% due 10/1/47 | 1,100,528 | |||||||
| 500,000 | AA+ | New York City Municipal Water Finance Authority, Revenue Bonds, Series CC1, 4.000% due 6/15/51 |
471,590 | |||||||
| 1,800,000 | AA | New York City Transitional Finance Authority Building Aid Revenue, Revenue Bonds, Series S1, 5.000% due 7/15/43 |
1,844,481 | |||||||
| 500,000 | AA+ | New York State Dormitory Authority, Revenue Bonds, Bidding Group, Series B, Unrefunded Portion, 5.000% due 2/15/43 |
524,489 | |||||||
| 180,000 | AA+ | New York State Thruway Authority, Revenue Bonds, Series A, 4.125% due 3/15/52 | 171,529 | |||||||
| 225,000 | Baa3(d) | New York Transportation Development Corp., Revenue Bonds, Delta Air Lines Inc. — LaGuardia, AMT, 4.000% due 10/1/30(c) |
219,284 | |||||||
| 1,000,000 | AA- | Port Authority of New York & New Jersey, Revenue Bonds, Series 230, 3.000% due 12/1/31 | 999,177 | |||||||
| Triborough Bridge & Tunnel Authority, Revenue Bonds: | ||||||||||
| 275,000 | AA+ | Series C1A, 5.000% due 5/15/39 |
304,751 | |||||||
| 1,000,000 | AA+ | Series C3, 4.000% due 5/15/51 |
915,902 | |||||||
| 660,000 | AA+ | Series D2, 5.500% due 5/15/52 |
748,352 | |||||||
|
|
|
|||||||||
| Total New York | 7,300,083 | |||||||||
|
|
|
|||||||||
| North Dakota — 0.9% | ||||||||||
| 1,000,000 | Aa1(d) | North Dakota Housing Finance Agency, Revenue Bonds, Water and Sewer System, Series A, 3.700% due 1/1/46 |
864,163 | |||||||
|
|
|
|||||||||
| Ohio — 2.3% | ||||||||||
| Buckeye Tobacco Settlement Financing Authority, Revenue Bonds: | ||||||||||
| 525,000 | BBB+ | Series A2, 3.000% due 6/1/48 |
379,547 | |||||||
| 900,000 | BBB+ | Series A2, 4.000% due 6/1/48 |
788,066 | |||||||
| 455,000 | NR | Series B2, 5.000% due 6/1/55 |
413,795 | |||||||
| 600,000 | Baa3(d) | Ohio Air Quality Development Authority, Revenue Bonds, Ohio Valley Electric Corp., Remarketing, Series A, 2.875% due 2/1/26 |
566,581 | |||||||
|
|
|
|||||||||
| Total Ohio | 2,147,989 | |||||||||
|
|
|
|||||||||
| Oregon — 0.5% | ||||||||||
| 500,000 | A+ | Oregon State Facilities Authority, Revenue Bonds, Legacy Health Project, Series A, 4.125% due 6/1/52 |
457,190 | |||||||
|
|
|
|||||||||
| Pennsylvania — 1.1% | ||||||||||
| 100,000 | BB | Bucks County Industrial Development Authority, Revenue Bonds, Grand View Hospital Project, 5.000% due 7/1/28 |
102,891 | |||||||
| Pennsylvania Turnpike Commission, Revenue Bonds: | ||||||||||
| 170,000 | A+ | Series A, 4.000% due 12/1/45 |
158,093 | |||||||
| 830,000 | A+ | Series A, 4.000% due 12/1/46 |
767,400 | |||||||
|
|
|
|||||||||
| Total Pennsylvania | 1,028,384 | |||||||||
|
|
|
|||||||||
| Puerto Rico — 1.2% | ||||||||||
| Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds: | ||||||||||
| 664,000 | NR | Series A1, 4.750% due 7/1/53 |
595,198 | |||||||
| 90,000 | NR | Series A1, 5.000% due 7/1/58 |
83,502 | |||||||
| 230,000 | NR | Series A1, zero coupon due 7/1/24 |
216,825 | |||||||
See Notes to Financial Statements.
241
| Schedules of Investments |
| (unaudited) (continued) |
| Municipal Bond Fund | ||||||||||
| Face Amount† |
Rating†† | Security | Value | |||||||
| Puerto Rico — 1.2% — (continued) | ||||||||||
| $ | 216,000 | NR | Series A2, 4.784% due 7/1/58 |
$ | 193,075 | |||||
|
|
|
|||||||||
| Total Puerto Rico | 1,088,600 | |||||||||
|
|
|
|||||||||
| South Carolina — 2.3% | ||||||||||
| 2,000,000 | A | South Carolina Jobs-Economic Development Authority, Revenue Bonds, Prisma Health Obligation Group, Series A, 5.000% due 5/1/28 |
2,142,860 | |||||||
|
|
|
|||||||||
| Tennessee — 0.8% | ||||||||||
| 245,000 | Baa1(d) | Tennergy Corp., Revenue Bonds, Gas Supply, Series A, 5.500% due 10/1/53(b) | 260,473 | |||||||
| 495,000 | Aa2(d) | Tennessee Housing Development Agency, Revenue Bonds, Series A, 3.850% due 1/1/35 | 491,389 | |||||||
|
|
|
|||||||||
| Total Tennessee | 751,862 | |||||||||
|
|
|
|||||||||
| Texas — 5.5% | ||||||||||
| 630,000 | AA- | City of Dallas, GO, 5.000% due 2/15/28 | 688,767 | |||||||
| 505,000 | NR | New Hope Cultural Education Facilities Finance Corp., Revenue Bonds, Beta Academy, 3.375% due 8/15/29(a) |
455,530 | |||||||
| 1,000,000 | AA- | North Texas Tollway Authority, Revenue Bonds, Series A, 5.000% due 1/1/39 | 1,033,392 | |||||||
| 795,000 | Aaa(d) | Northside Independent School District, GO, PSF-GTD-Insured, 5.000% due 6/1/50(b) | 742,017 | |||||||
| 1,250,000 | AA+ | San Antonio Water System, Revenue Bonds, Junior Lien Revenue and Refunding Bonds, Series C, 5.000% due 5/15/46 |
1,295,436 | |||||||
| 1,000,000 | AA- | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Methodist Hospitals of Dallas, 4.000% due 10/1/52 |
904,594 | |||||||
|
|
|
|||||||||
| Total Texas | 5,119,736 | |||||||||
|
|
|
|||||||||
| Utah — 0.6% | ||||||||||
| 500,000 | A- | Utah Associated Municipal Power Systems, Revenue Bonds, Horse Butte Wind, Series A, 5.000% due 9/1/32 |
542,602 | |||||||
|
|
|
|||||||||
| Virginia — 2.4% | ||||||||||
| 1,000,000 | AA | Hampton Roads Transportation Accountability Commission, Revenue Bonds, Series A, 4.000% due 7/1/52 |
926,908 | |||||||
| 1,000,000 | AA+ | Virginia College Building Authority, Revenue Bonds, 21st Century College Equipment Program, 5.000% due 2/1/32 |
1,173,787 | |||||||
| 80,000 | AA+ | Virginia Housing Development Authority, Revenue Bonds, Series G, 5.150% due 11/1/52 | 82,395 | |||||||
| 100,000 | BBB | Virginia Small Business Financing Authority, Revenue Bonds, AMT, 4.000% due 1/1/48(c) | 83,770 | |||||||
|
|
|
|||||||||
| Total Virginia | 2,266,860 | |||||||||
|
|
|
|||||||||
| Washington — 3.0% | ||||||||||
| 1,000,000 | AA+ | King County School District No. 401 Highline, GO, SCH BD GTY-Insured, 5.000% due 12/1/35 |
1,099,734 | |||||||
| 1,500,000 | AA+ | State of Washington, GO, Series R-2022, 4.000% due 7/1/33 | 1,627,246 | |||||||
| 100,000 | BB(e) | Washington State Housing Finance Commission, Revenue Bonds, Transforming Age Projects, Series A, 5.000% due 1/1/26(a) |
96,169 | |||||||
|
|
|
|||||||||
| Total Washington | 2,823,149 | |||||||||
|
|
|
|||||||||
| Wisconsin — 1.9% | ||||||||||
| Wisconsin Health & Educational Facilities Authority, Revenue Bonds: | ||||||||||
| 1,300,000 | AA- | Aspirus Inc. Obligation Group, Series A, 4.000% due 8/15/40 |
1,228,688 | |||||||
| 500,000 | AA | Milwaukee Regional Medical Center Thermal Service Obligated Group, 5.000% due 4/1/37 |
535,236 | |||||||
|
|
|
|||||||||
| Total Wisconsin | 1,763,924 | |||||||||
|
|
|
|||||||||
| TOTAL MUNICIPAL BONDS (Cost — $78,443,685) |
75,190,731 | |||||||||
|
|
|
|||||||||
See Notes to Financial Statements.
242
| Schedules of Investments |
| (unaudited) (continued) |
| Municipal Bond Fund | ||||||||||
| Shares/Units |
Security | Value | ||||||||
| CLOSED END MUTUAL FUND SECURITY — 2.8% | ||||||||||
| United States — 2.8% | ||||||||||
| 25,000 | iShares® National Muni Bond ETF, Common Class Shares (Cost — $2,593,877) |
$ | 2,636,250 | |||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $81,037,562) |
77,826,981 | |||||||||
|
|
|
|||||||||
| Face Amount† |
||||||||||
| SHORT-TERM INVESTMENTS — 15.3% | ||||||||||
| TIME DEPOSITS — 15.3% | ||||||||||
| $ | 1,903,317 | Citibank — New York, 3.920% due 3/1/23 | 1,903,317 | |||||||
| 12,274,806 | Sumitomo Mitsui Banking Corp. — Tokyo, 3.920% due 3/1/23 | 12,274,806 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost — $14,178,123) |
14,178,123 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.1% (Cost — $95,215,685) |
92,005,104 | |||||||||
|
|
|
|||||||||
| Other Assets in Excess of Liabilities — 0.9% | 832,865 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 92,837,969 | ||||||||
|
|
|
|||||||||
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
| (a) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 28, 2023, amounts to $6,456,965 and represents 7.0% of net assets. |
| (b) | Variable rate security. Interest rate disclosed is that which was in effect at February 28, 2023. |
| (c) | Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (AMT). |
| (d) | Rating by Moody’s Investors Service. |
| (e) | Rating by Fitch Ratings Service. |
At February 28, 2023, for Municipal Bond Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| Fund | Aggregate Cost For Federal Income Tax Purposes |
Gross Unrealized Appreciation |
Gross Unrealized (Depreciation) |
Net Unrealized (Depreciation) |
||||||||||||
| Municipal Bond Fund |
$ | 95,215,685 | $ | 626,103 | $ | (3,782,116) | $ | (3,156,013) | ||||||||
| Abbreviations used in this schedule: | ||
| AMT | — Alternative Minimum Tax | |
| ETF | — Exchange Traded Fund | |
| GO | — General Obligation | |
| PSF-GTD | — Permanent School Fund Guaranteed | |
| SCH BD GTY | — Oregon School Bond Guaranty | |
See Notes to Financial Statements.
243
| Schedules of Investments |
| (unaudited) (continued) |
| Municipal Bond Fund | ||||||
| Summary of Investments by Industry^ | ||||
| General Obligation |
28.5 | % | ||
| Health Care Providers & Services |
11.8 | |||
| Water and Sewer |
5.4 | |||
| Development |
5.2 | |||
| Airport |
5.1 | |||
| School District |
4.7 | |||
| Tobacco Settlement |
3.9 | |||
| Education |
3.5 | |||
| Capital Markets |
2.9 | |||
| Transportation |
2.9 | |||
| Utilities |
2.7 | |||
| Power |
2.4 | |||
| Single Family Housing |
2.0 | |||
| Multifamily Housing |
1.4 | |||
| Pollution |
0.9 | |||
| Higher Education |
0.7 | |||
| Nursing Homes |
0.4 | |||
| Housing |
0.2 | |||
| Short-Term Investments |
15.4 | |||
|
|
|
|||
| Total Investments |
100.0 | % | ||
|
|
|
|||
| ^ | As a percentage of total investments. |
At February 28, 2023, Municipal Bond Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts reflected in the accompanying financial statements were as follows:
| Open Futures Contracts | Number of Contracts |
Expiration Date (Month/Year) |
Notional Amount |
Market Value |
Unrealized Appreciation |
|||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||
| U.S. Treasury 5-Year Note June Futures |
35 | 6/23 | $ | 3,752,104 | $ | 3,746,914 | $ | 5,190 | ||||||||||||
| U.S. Treasury 10-Year Note June Futures |
27 | 6/23 | 3,016,046 | 3,014,718 | 1,328 | |||||||||||||||
| U.S. Treasury Long Bond June Futures |
36 | 6/23 | 4,555,925 | 4,507,875 | 48,050 | |||||||||||||||
|
|
|
|||||||||||||||||||
| $ | 54,568 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
At February 28, 2023, Municipal Bond Fund had deposited cash of $252,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
See pages 272-273 for definitions of ratings.
See Notes to Financial Statements.
244
| Schedules of Investments |
| (unaudited) (continued) |
See Notes to Financial Statements.
245
| Schedules of Investments |
| (unaudited) (continued) |
| Inflation-Linked Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 10.9% —(continued) | ||||||||||
| $ | 17,485 | NR | Bear Stearns Adjustable Rate Mortgage Trust, Series
2003-3, Class 3A2, |
$ | 16,324 | |||||
| 156,281 | CCC | Bear Stearns Asset-Backed Securities Trust, Series
2004-1, Class M1, 5.592% |
157,013 | |||||||
| 300,000 | EUR | Aaa(b) | Cairn CLO BV, Series 2018-10A, Class AR, 3.068% |
311,192 | ||||||
| 300,000 | EUR | Aaa(b) | Carlyle Global Markets Strategis Euro CLO Ltd., Series
2014-2A, Class AR-1, 3.404% |
309,154 | ||||||
| 30,325 | NR | Chevy Chase Funding LLC Mortgage-Backed Certificates, Series
2004-A, Class A1, 4.977% |
28,943 | |||||||
| CHL Mortgage Pass-Through Trust: | ||||||||||
| 518,836 | NR | Series 2005-HYB6, Class 2A1, 3.792% due 10/20/35(c) |
478,703 | |||||||
| 50,426 | NR | Series 2005-HYB9, Class 2A1, 5.512% (1-Year USD-LIBOR + 1.750%) due 2/20/36(c) |
44,731 | |||||||
| 86,007 | Caa2(b) | Series 2006-6, Class A4, 6.000% due 4/25/36 |
47,492 | |||||||
| 121,402 | NR | Series 2007-1, Class A1, 6.000% due 3/25/37 |
62,366 | |||||||
| Citigroup Mortgage Loan Trust: | ||||||||||
| 4,387 | NR | Series 2004-HYB2, Class 2A, 4.323% due 3/25/34(c) |
4,084 | |||||||
| 119,995 | Caa2(b) | Series 2007-AR4, Class 1A1A, 3.987% due 3/25/37(c) |
104,544 | |||||||
| 17,664 | CCC(e) | Citigroup Mortgage Loan Trust Inc., Series 2004-NCM2, Class 1CB1, 5.500% due 8/25/34 | 16,396 | |||||||
| 262,973 | NR | Credit Suisse Commercial Mortgage, Series 2015-3R,
Class 5A2, 4.767% |
254,523 | |||||||
| Credit-Based Asset Servicing & Securitization LLC: | ||||||||||
| 153,000 | BBB- | Series 2005-CB3, Class M4, 3.370% (1-Month USD-LIBOR + 1.050%) due 6/25/35(c) |
147,680 | |||||||
| 738,149 | CC | Series 2007-CB6, Class A3, 4.264% (1-Month USD-LIBOR + 0.220%) due 7/25/37(c)(d) |
499,076 | |||||||
| CWABS Asset-Backed Certificates Trust: | ||||||||||
| 149,011 | Caa2(b) | Series 2004-7, Class MV5, 3.605% (1-Month USD-LIBOR + 1.725%) due 11/25/34(c) |
124,086 | |||||||
| 283,160 | CC | Series 2007-1, Class 1A, 4.757% (1-Month USD-LIBOR + 0.140%) due 7/25/37(c) |
257,282 | |||||||
| 58,289 | D | Series 2007-6, Class 1A, 4.817% (1-Month USD-LIBOR + 0.200%) due 9/25/37(c) |
50,812 | |||||||
| 311,537 | CCC | Series 2007-8, Class 1A1, 4.807% (1-Month USD-LIBOR + 0.190%) due 11/25/37(c) |
286,516 | |||||||
| 500,000 | EUR | AAA | Dryden 44 Euro CLO, Series 2015-44A, Class A1RR,
3.168% |
516,779 | ||||||
| 359,128 | Aaa(b) | Dryden Senior Loan Fund, Series 2017-47A,
Class A1R, 5.772% |
357,541 | |||||||
| 660,252 | CCC | Ellington Loan Acquisition Trust, Series 2007-1,
Class A1, 5.717% |
633,992 | |||||||
| 239,378 | NR | Government National Mortgage Association (GNMA), Series
2018-H15, Class FG, 3.858% |
233,530 | |||||||
| 20,373 | D | GSAA Trust, Series 2006-7, Class AF4A, step bond to yield, 6.720% due 3/25/46 | 11,721 | |||||||
| 3,460 | AA- | HarborView Mortgage Loan Trust, Series 2005-9,
Class 2A1A, 5.271% |
3,108 | |||||||
| 289,511 | EUR | AAA | Harvest CLO, Series 11A, Class ARR,
2.775% |
300,206 | ||||||
| 43,891 | B- | IndyMac INDX Mortgage Loan Trust, Series 2005-16IP, Class A1, 5.257% |
36,604 | |||||||
| 227,671 | CCC | JP Morgan Alternative Loan Trust, Series 2006-A1,
Class 1A1, 5.077% |
213,439 | |||||||
| 106,046 | A- | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-FL12, Class A, 6.038% |
101,136 | |||||||
| 161,940 | EUR | AAA | Jubilee CDO BV, Series 2015-16A, Class A1R,
2.846% |
169,804 | ||||||
| 227,286 | NR | Lehman XS Trust, Series 2007-20N, Class A1,
6.917% |
224,877 | |||||||
| 157,595 | CC | Long Beach Mortgage Loan Trust, Series 2006-7,
Class 2A2, 4.857% |
67,509 | |||||||
| 66,589 | Aaa(b) | Midocean Credit CLO V, Series 2016-5A, Class AR,
5.918% |
66,508 | |||||||
See Notes to Financial Statements.
246
| Schedules of Investments |
| (unaudited) (continued) |
| Inflation-Linked Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 10.9% —(continued) — (continued) | ||||||||||
| $ | 118,915 | AAA | Mountain View CLO X Ltd., Series 2015-10A,
Class AR, 5.635% |
$ | 119,079 | |||||
| 5,659 | NR | MRFC Mortgage Pass-Through Trust, Series 2000-TBC2, Class A1, 5.068% |
5,475 | |||||||
| New Residential Mortgage Loan Trust: | ||||||||||
| 37,933 | NR | Series 2018-3A, Class A1, 4.500% due 5/25/58(c)(d) |
35,282 | |||||||
| 197,840 | Aaa(b) | Series 2019-RPL3, Class A1, 2.750% due 7/25/59(c)(d) |
185,021 | |||||||
| Option One Mortgage Loan Trust: | ||||||||||
| 92,557 | CC | Series 2007-1, Class 1A1, 4.757% (1-Month USD-LIBOR + 0.140%) due 1/25/37(c) |
62,194 | |||||||
| 89,564 | CC | Series 2007-2, Class 1A1, 4.757% (1-Month USD-LIBOR + 0.140%) due 3/25/37(c) |
59,551 | |||||||
| 324,481 | Aaa(b) | OZLM VIII Ltd., Series 2014-8A, Class A1R3,
5.772% |
322,364 | |||||||
| 244,218 | BBB | RASC Trust, Series 2006-KS3, Class M1, 5.112% |
240,196 | |||||||
| 504,254 | NR | Residential Asset Securitization Trust, Series 2006-A10, Class A5, 6.500% due 9/25/36 | 186,115 | |||||||
| Securitized Asset-Backed Receivables LLC Trust: | ||||||||||
| 463,696 | CC | Series 2006-FR3, Class A3, 5.117% (1-Month USD-LIBOR + 0.500%) due 5/25/36(c) |
253,156 | |||||||
| 95,535 | CC | Series 2006-HE2, Class A2C, 4.917% (1-Month USD-LIBOR + 0.300%) due 7/25/36(c) |
40,099 | |||||||
| 103,809 | NR | Sequoia Mortgage Trust, Series 6, Class A,
5.238% |
98,371 | |||||||
| Soundview Home Loan Trust: | ||||||||||
| 210,166 | CC | Series 2007-OPT1, Class 1A1, 4.817% (1-Month USD-LIBOR + 0.200%) due 6/25/37(c) |
151,561 | |||||||
| 53,424 | CCC | Series 2007-OPT2, Class 2A3, 4.797% (1-Month USD-LIBOR + 0.180%) due 7/25/37(c) |
48,472 | |||||||
| 498,380 | EUR | Aaa(b) | St Paul’s CLO DAC, Series 4A, Class ARR1,
3.279% |
516,969 | ||||||
| 86,000 | Aaa(b) | Symphony CLO XVII Ltd., Series 2016-17A, Class AR,
5.672% |
85,625 | |||||||
| 40,552 | Aaa(b) | TICP CLO III-2 Ltd., Series 2018-3R, Class A, 5.648% |
40,480 | |||||||
| 190,639 | Aaa(b) | Venture XVII CLO Ltd., Series 2014-17A, Class ARR,
5.672% |
190,004 | |||||||
| 500,000 | Aaa(b) | VMC Finance LLC, Series 2022-FL5, Class A,
6.334% |
492,650 | |||||||
| Voya CLO Ltd.: | ||||||||||
| 348,743 | Aaa(b) | Series 2017-1A, Class A1R, 5.742% (3-Month USD-LIBOR + 0.950%) due 4/17/30(c)(d) |
345,797 | |||||||
| 268,510 | AAA | Series 2017-2A, Class A1R, 5.772% (3-Month USD-LIBOR + 0.980%) due 6/7/30(c)(d) |
266,715 | |||||||
| WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||
| 6,051 | Baa1(b) | Series 2002-AR2, Class A, 3.315% (11th District Cost of Funds Index + 1.250%) due 2/27/34(c) |
5,653 | |||||||
| 2,989 | NR | Series 2002-AR17, Class 1A, 3.993% (1-Year Treasury Average Rate + 1.200%) due 11/25/42(c) |
2,737 | |||||||
|
|
|
|||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $11,690,623) |
10,723,935 | |||||||||
|
|
|
|||||||||
| SOVEREIGN BONDS — 7.8% | ||||||||||
| Australia — 0.3% | ||||||||||
| 290,000 | AUD | Aaau(b) | Australia Government Bonds, 3.000% due 9/20/25 | 286,763 | ||||||
|
|
|
|||||||||
| Canada — 0.5% | ||||||||||
| Canadian Government Real Return Bonds: | ||||||||||
| 522,969 | CAD | AAA | 4.250% due 12/1/26 |
423,227 | ||||||
| 58,900 | CAD | AAA | 0.500% due 12/1/50 |
35,095 | ||||||
|
|
|
|||||||||
| Total Canada | 458,322 | |||||||||
|
|
|
|||||||||
| France — 1.3% | ||||||||||
| French Republic Government Bonds OAT: | ||||||||||
| 686,238 | EUR | AAu(e) | 0.100% due 3/1/26(d) |
724,284 | ||||||
| 229,100 | EUR | AAu(e) | 0.100% due 7/25/31(d) |
237,372 | ||||||
See Notes to Financial Statements.
247
| Schedules of Investments |
| (unaudited) (continued) |
| Inflation-Linked Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| SOVEREIGN BONDS — 7.8% — (continued) | ||||||||||
| France — 1.3% — (continued) | ||||||||||
| $ | 337,416 | EUR | AAu(e) | 0.100% due 7/25/38(d) |
$ | 324,890 | ||||
|
|
|
|||||||||
| Total France | 1,286,546 | |||||||||
|
|
|
|||||||||
| Italy — 3.8% | ||||||||||
| Italy Buoni Poliennali Del Tesoro: | ||||||||||
| 3,229,797 | EUR | NR | 1.400% due 5/26/25(d) |
3,369,958 | ||||||
| 348,438 | EUR | Baa3u(b) | 0.400% due 5/15/30(d) |
335,829 | ||||||
|
|
|
|||||||||
| Total Italy | 3,705,787 | |||||||||
|
|
|
|||||||||
| Japan — 1.5% | ||||||||||
| Japanese Government CPI Linked Bonds: | ||||||||||
| 62,340,580 | JPY | A1(b) | 0.100% due 3/10/28 |
470,948 | ||||||
| 140,610,220 | JPY | A1(b) | 0.100% due 3/10/29 |
1,065,331 | ||||||
|
|
|
|||||||||
| Total Japan | 1,536,279 | |||||||||
|
|
|
|||||||||
| New Zealand — 0.2% | ||||||||||
| 270,000 | NZD | AAA | New Zealand Government Bonds Inflation Linked Bonds, 2.500% due 9/20/35 | 201,485 | ||||||
|
|
|
|||||||||
| Qatar — 0.2% | ||||||||||
| $ | 200,000 | AA | Qatar Government International Bonds, 3.875% due 4/23/23 | 199,615 | ||||||
|
|
|
|||||||||
| TOTAL SOVEREIGN BONDS (Cost — $8,705,450) |
7,674,797 | |||||||||
|
|
|
|||||||||
| MORTGAGE-BACKED SECURITIES — 3.7% | ||||||||||
| FHLMC — 0.3% | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||||
| 192,691 | 3.500% due 6/1/52 |
175,648 | ||||||||
| 97,040 | 3.000% due 7/1/52 |
85,484 | ||||||||
|
|
|
|||||||||
| Total FHLMC | 261,132 | |||||||||
|
|
|
|||||||||
| FNMA — 3.4% | ||||||||||
| Federal National Mortgage Association (FNMA): | ||||||||||
| 36,113 | 4.000% due 3/1/50 |
34,279 | ||||||||
| 193,138 | 3.000% due 5/1/52 |
170,144 | ||||||||
| 97,587 | 4.500% due 10/1/52 |
94,091 | ||||||||
| 600,000 | 3.000% due 4/1/53(f) |
528,469 | ||||||||
| 2,700,000 | 4.000% due 4/1/53(f) |
2,534,203 | ||||||||
|
|
|
|||||||||
| Total FNMA | 3,361,186 | |||||||||
|
|
|
|||||||||
| TOTAL MORTGAGE-BACKED SECURITIES (Cost — $3,683,597) |
3,622,318 | |||||||||
|
|
|
|||||||||
| CORPORATE BONDS & NOTES — 3.5% | ||||||||||
| Banks — 2.4% | ||||||||||
| 100,000 | GBP | BBB | HSBC Holdings PLC, Subordinated Notes, 6.000% due 3/29/40 | 110,632 | ||||||
| NatWest Group PLC, Senior Unsecured Notes: | ||||||||||
| 200,000 | BBB | 4.519% (3-Month USD-LIBOR + 1.550%) due 6/25/24(c) |
198,954 | |||||||
| 200,000 | BBB | 6.274% (3-Month USD-LIBOR + 1.550%) due 6/25/24(c) |
200,028 | |||||||
| Nykredit Realkredit AS, Covered Notes: | ||||||||||
| 17,132,832 | DKK | AAA | 1.000% due 10/1/50 |
1,766,640 | ||||||
| 675,409 | DKK | AAA | 1.000% due 10/1/53 |
68,265 | ||||||
| 2 | DKK | AAA | 1.500% due 10/1/53 |
— | ||||||
|
|
|
|||||||||
| Total Banks | 2,344,519 | |||||||||
|
|
|
|||||||||
| Diversified Financial Services — 1.1% | ||||||||||
| Jyske Realkredit AS, Covered Notes: | ||||||||||
| 3,545,322 | DKK | AAA | 1.000% due 10/1/50 |
367,127 | ||||||
| 486,918 | DKK | AAA | 1.500% due 10/1/53 |
52,133 | ||||||
See Notes to Financial Statements.
248
| Schedules of Investments |
| (unaudited) (continued) |
| Inflation-Linked Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| CORPORATE BONDS & NOTES — 3.5% — (continued) | ||||||||||
| Diversified Financial Services — 1.1% — (continued) | ||||||||||
| Nordea Kredit Realkreditaktieselskab, Covered Notes: | ||||||||||
| $ | 2,316,965 | DKK | AAA | 1.000% due 10/1/50 |
$ | 239,735 | ||||
| 100,002 | DKK | AAA | 1.500% due 10/1/53 |
9,681 | ||||||
| Realkredit Danmark AS, Covered Notes: | ||||||||||
| 3,929,146 | DKK | AAA | 1.000% due 10/1/50 |
406,174 | ||||||
| 582,964 | DKK | AAA | 1.000% due 10/1/53 |
58,161 | ||||||
| 183,450 | DKK | AAA | 1.500% due 10/1/53 |
19,865 | ||||||
|
|
|
|||||||||
| Total Diversified Financial Services | 1,152,876 | |||||||||
|
|
|
|||||||||
| TOTAL CORPORATE BONDS & NOTES (Cost — $4,895,337) |
3,497,395 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $139,443,463) |
126,817,777 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 1.1% | ||||||||||
| TIME DEPOSITS — 1.1% | ||||||||||
| 4,194 | AUD | ANZ National Bank — London, 1.990% due 3/1/23 | 2,822 | |||||||
| 300 | CAD | BBH — Grand Cayman, 3.330% due 3/1/23 | 220 | |||||||
| BNP Paribas — Paris: | ||||||||||
| 445 | SGD | 2.200% due 3/1/23 |
330 | |||||||
| 4,581 | NZD | 2.850% due 3/1/23 |
2,831 | |||||||
| 15,782 | SEK | DNB — Oslo, 1.760% due 3/1/23 | 1,508 | |||||||
| 5,001 | ZAR | ING Bank — Amsterdam, 6.150% due 3/1/23 | 272 | |||||||
| Skandinaviska Enskilda Banken AB — Stockholm: | ||||||||||
| 13,017,594 | JPY | (0.520)% due 3/1/23 |
95,616 | |||||||
| 2,524 | DKK | 1.160% due 3/1/23 |
359 | |||||||
| 459 | NOK | 1.600% due 3/1/23 |
44 | |||||||
| Sumitomo Mitsui Banking Corp. — Tokyo: | ||||||||||
| 155,291 | EUR | 1.530% due 3/1/23 |
164,236 | |||||||
| 933 | GBP | 2.920% due 3/1/23 |
1,122 | |||||||
| $ | 807,643 | 3.920% due 3/1/23 |
807,643 | |||||||
|
|
|
|||||||||
| TOTAL TIME DEPOSITS (Cost — $1,077,003) |
1,077,003 | |||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost — $1,077,003) |
1,077,003 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS IN SECURITIES (Cost — $140,520,466) |
127,894,780 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS IN PURCHASED OPTIONS (Cost — $68,276) |
238,159 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 130.2% (Cost — $140,588,742) |
128,132,939 | |||||||||
|
|
|
|||||||||
| Liabilities in Excess of Other Assets — (30.2)% | (29,776,067 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ |
98,356,872 |
| |||||||
|
|
|
|||||||||
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
| (a) | Position, or portion thereof, has been segregated to collateralize reverse repurchase agreement. |
| (b) | Rating by Moody’s Investors Service. |
| (c) | Variable rate security. Interest rate disclosed is that which was in effect at February 28, 2023. |
| (d) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 28, 2023, amounts to $11,438,137 and represents 11.6% of net assets. |
See Notes to Financial Statements.
249
| Schedules of Investments |
| (unaudited) (continued) |
| Inflation-Linked Fixed Income Fund | ||||||
| (e) | Rating by Fitch Ratings Service. |
| (f) | This security is traded on a TBA basis (see Note 1). |
At February 28, 2023, for Inflation-Linked Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| Fund | Aggregate Cost For Federal Income Tax Purposes |
Gross Unrealized Appreciation |
Gross Unrealized (Depreciation) |
Net Unrealized (Depreciation) |
||||||||||||
| Inflation-Linked Fixed Income Fund |
$ | 140,588,742 | $ | 6,641,433 | $ | (18,811,718) | $ | (12,170,285 | ) | |||||||
| Abbreviations used in this schedule: | ||
| CDO | — Collateralized Debt Obligation | |
| CLO | — Collateralized Loan Obligation | |
| CPI | — Consumer Price Index | |
| DAC | — Designated Activity Company | |
| EURIBOR | — Euro Interbank Offered Rate | |
| LIBOR | — London Interbank Offered Rate | |
| LLC | — Limited Liability Company | |
| OAT | — Obligations assimilables du Trésor | |
| PLC | — Public Limited Company | |
| SOFR | — Secured Overnight Financing Rate | |
| Summary of Investments by Security Type^ | ||||
| U.S. Government Agencies & Obligations |
79.1 | % | ||
| Collateralized Mortgage Obligations |
8.4 | |||
| Sovereign Bonds |
6.0 | |||
| Mortgage-Backed Securities |
2.8 | |||
| Corporate Bonds & Notes |
2.7 | |||
| Purchased Options |
0.2 | |||
| Short-Term Investments |
0.8 | |||
|
|
|
|||
| Total Investments |
100.0 | % | ||
|
|
|
|||
| ^ | As a percentage of total investments. |
At February 28, 2023, Inflation-Linked Fixed Income Fund held the following Options Contracts Purchased:
Interest Rate Swaption
| Number of Contracts |
Notional Amount† |
Security Name | Counterparty | Expiration Date |
Exercise Rate |
Value | ||||||||||||||||||
| 1,100,000 | $ | 54,587 | OTC 30-Year Swaption, 3-Month USD-LIBOR, Put | DUB | 11/17/23 | 2.237% | $ | 238,159 | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
| TOTAL OPTIONS CONTRACTS PURCHASED (Cost — $68,276) |
$ | 238,159 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
See Notes to Financial Statements.
250
| Schedules of Investments |
| (unaudited) (continued) |
| Inflation-Linked Fixed Income Fund | ||||||
At February 28, 2023, Inflation-Linked Fixed Income Fund held the following Options Contracts Written:
Interest Rate Swaption
| Number of Contracts |
Notional Amount† |
Security Name | Counterparty | Expiration Date |
Exercise Rate |
Value | ||||||||||||||||||
| 5,600,000 | $ | 277,896 | OTC 5-Year Swaption, 3-Month USD-LIBOR, Put | DUB | 11/17/23 | 2.340% | $ | 399,516 | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
| TOTAL OPTIONS CONTRACTS WRITTEN (Premiums received — $70,560) |
$ | 399,516 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
At February 28, 2023, Inflation-Linked Fixed Income Fund held the following Reverse Repurchase Agreements:
| Face Amounts |
Security | Value | ||||||
| Bank of America: | ||||||||
| $ | 1,952,250 | 4.730% due 4/5/23 | $ | 1,952,250 | ||||
| NatWest Markets Securities Inc.: | ||||||||
| 4,343,000 | 4.620% due 3/8/23 | 4,343,000 | ||||||
| 6,208,500 | 4.610% due 3/14/23 | 6,208,500 | ||||||
| Nomura Securities International, Inc.: | ||||||||
| 15,982,753 | 4.710% due 4/5/23 | 15,982,753 | ||||||
|
|
|
|||||||
| TOTAL REVERSE REPURCHASE AGREEMENTS (Proceeds — $28,486,503) |
$ | 28,486,503 | ||||||
|
|
|
|||||||
For the period ended February 28, 2023, the daily average borrowing and interest rate under the reverse repurchase agreements were $30,211,864 and 3.787%, respectively.
At February 28, 2023, Inflation-Linked Fixed Income Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| Open Futures Contracts | Number of Contracts |
Expiration Date (Month/Year) |
Notional Amount |
Market Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| Euro-Bund March Futures |
18 | 3/23 | $ | 2,550,212 | $ | 2,530,181 | $ | (20,031 | ) | |||||||||||
| U.S. Treasury 2-Year Note June Futures |
94 | 6/23 | 19,228,659 | 19,150,297 | (78,362 | ) | ||||||||||||||
| U.S. Treasury 5-Year Note June Futures |
53 | 6/23 | 5,710,666 | 5,673,899 | (36,767 | ) | ||||||||||||||
| U.S. Treasury Long Bond June Futures |
10 | 6/23 | 1,268,594 | 1,252,188 | (16,406 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| (151,566 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
See Notes to Financial Statements.
251
| Schedules of Investments |
| (unaudited) (continued) |
| Inflation-Linked Fixed Income Fund | ||||||
| Open Futures Contracts | Number of Contracts |
Expiration Date (Month/Year) |
Notional Amount |
Market Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||
| Australian Government 3-Year Bond March Futures |
8 | 3/23 | $ | 582,424 | $ | 574,464 | $ | 7,960 | ||||||||||||
| Euro-Bobl March Futures |
11 | 3/23 | 1,388,354 | 1,339,958 | 48,396 | |||||||||||||||
| Euro-BTP March Futures |
24 | 3/23 | 2,970,597 | 2,860,342 | 110,255 | |||||||||||||||
| Euro-Buxl 30-Year Bond March Futures |
9 | 3/23 | 1,457,859 | 1,278,131 | 179,728 | |||||||||||||||
| Euro-OAT March Futures |
7 | 3/23 | 1,007,956 | 945,388 | 62,568 | |||||||||||||||
| Euro-Schatz Note June Futures |
176 | 6/23 | 19,507,220 | 19,511,874 | (4,654 | ) | ||||||||||||||
| Euro-Schatz Note March Futures |
3 | 3/23 | 335,333 | 333,080 | 2,253 | |||||||||||||||
| Japan Government 10-Year Bond March Futures |
8 | 3/23 | 8,599,802 | 8,617,283 | (17,481 | ) | ||||||||||||||
| Short Euro-BTP June Futures |
5 | 6/23 | 551,507 | 551,856 | (349 | ) | ||||||||||||||
| Short Euro-BTP March Futures |
9 | 3/23 | 1,017,157 | 1,001,526 | 15,631 | |||||||||||||||
| U.S. Treasury 10-Year Note June Futures |
77 | 6/23 | 8,590,914 | 8,597,531 | (6,617 | ) | ||||||||||||||
| U.S. Treasury Ultra Long Bond June Futures |
19 | 6/23 | 2,581,589 | 2,566,187 | 15,402 | |||||||||||||||
| U.S. Ultra Long Bond June Futures |
50 | 6/23 | 5,904,467 | 5,859,375 | 45,092 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 458,184 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net Unrealized Appreciation on Open Exchange-Traded Futures Contracts |
$ | 306,618 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
At February 28, 2023, Inflation-Linked Fixed Income Fund had deposited cash of $821,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
At February 28, 2023, Inflation-Linked Fixed Income Fund had open forward foreign currency contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value |
Settlement Date |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||||||||||
| Australian Dollar |
255,884 | USD | 172,210 | DUB | $ | 172,146 | 3/2/23 | $ | (64 | ) | ||||||||||||||||||
| Canadian Dollar |
633,409 | USD | 466,760 | MLP | 464,189 | 3/2/23 | (2,571 | ) | ||||||||||||||||||||
| Danish Krone |
10,401,141 | USD | 1,479,828 | MLP | 1,477,960 | 3/1/23 | (1,868 | ) | ||||||||||||||||||||
| Euro |
155,000 | USD | 169,153 | BCLY | 163,928 | 3/2/23 | (5,225 | ) | ||||||||||||||||||||
| Euro |
104,000 | USD | 112,141 | BCLY | 109,990 | 3/2/23 | (2,151 | ) | ||||||||||||||||||||
| Euro |
61,000 | USD | 64,915 | BCLY | 64,513 | 3/2/23 | (402 | ) | ||||||||||||||||||||
| Euro |
46,000 | USD | 48,965 | BNP | 48,650 | 3/2/23 | (315 | ) | ||||||||||||||||||||
| Euro |
57,000 | USD | 61,153 | HSBC | 60,283 | 3/2/23 | (870 | ) | ||||||||||||||||||||
| Euro |
6,737,000 | USD | 7,126,762 | HSBC | 7,125,051 | 3/2/23 | (1,711 | ) | ||||||||||||||||||||
| Euro |
58,000 | USD | 62,565 | MLP | 61,340 | 3/2/23 | (1,225 | ) | ||||||||||||||||||||
| Euro |
47,000 | USD | 50,568 | SCB | 49,708 | 3/2/23 | (860 | ) | ||||||||||||||||||||
| Japanese Yen |
134,523,049 | USD | 986,384 | HSBC | 988,087 | 3/2/23 | 1,703 | |||||||||||||||||||||
| Japanese Yen |
20,400,000 | USD | 157,850 | HSBC | 149,840 | 3/2/23 | (8,010 | ) | ||||||||||||||||||||
| New Zealand Dollar |
295,000 | USD | 183,254 | MLP | 182,354 | 3/2/23 | (900 | ) | ||||||||||||||||||||
| Peruvian Sol |
91,056 | USD | 23,663 | SCB | 23,988 | 3/6/23 | 325 | |||||||||||||||||||||
| Peruvian Sol |
813,798 | USD | 209,915 | BNP | 214,250 | 3/15/23 | 4,335 | |||||||||||||||||||||
| Peruvian Sol |
676,927 | USD | 177,206 | MLP | 178,216 | 3/15/23 | 1,010 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| (18,799 | ) | |||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
See Notes to Financial Statements.
252
| Schedules of Investments |
| (unaudited) (continued) |
| Inflation-Linked Fixed Income Fund | ||||||
| Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value |
Settlement Date |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||||||||||
| Australian Dollar |
89,183 | USD | 62,570 | BNP | $ | 59,998 | 3/2/23 | $ | 2,572 | |||||||||||||||||||
| Australian Dollar |
80,888 | USD | 57,262 | DUB | 54,418 | 3/2/23 | 2,844 | |||||||||||||||||||||
| Australian Dollar |
40,101 | USD | 28,203 | MLP | 26,978 | 3/2/23 | 1,225 | |||||||||||||||||||||
| Australian Dollar |
48,000 | USD | 34,029 | MLP | 32,292 | 3/2/23 | 1,737 | |||||||||||||||||||||
| Australian Dollar |
160,404 | USD | 114,097 | MLP | 107,911 | 3/2/23 | 6,186 | |||||||||||||||||||||
| Australian Dollar |
162,692 | USD | 109,659 | BNP | 109,590 | 4/4/23 | 69 | |||||||||||||||||||||
| Australian Dollar |
255,884 | USD | 172,423 | DUB | 172,364 | 4/4/23 | 59 | |||||||||||||||||||||
| British Pound |
105,000 | USD | 129,495 | MLP | 126,283 | 3/2/23 | 3,212 | |||||||||||||||||||||
| Canadian Dollar |
634,000 | USD | 476,746 | MLP | 464,622 | 3/2/23 | 12,124 | |||||||||||||||||||||
| Canadian Dollar |
633,220 | USD | 466,760 | MLP | 464,198 | 4/4/23 | 2,562 | |||||||||||||||||||||
| Danish Krone |
21,295,000 | USD | 3,107,066 | BNP | 3,025,932 | 3/1/23 | 81,134 | |||||||||||||||||||||
| Danish Krone |
470,000 | USD | 68,953 | DUB | 66,786 | 3/1/23 | 2,167 | |||||||||||||||||||||
| Danish Krone |
11,326,309 | USD | 1,610,524 | MLP | 1,613,183 | 4/3/23 | (2,659 | ) | ||||||||||||||||||||
| Danish Krone |
10,377,612 | USD | 1,479,828 | MLP | 1,478,062 | 4/3/23 | 1,766 | |||||||||||||||||||||
| Euro |
215,000 | USD | 235,340 | BNP | 227,384 | 3/2/23 | 7,956 | |||||||||||||||||||||
| Euro |
7,050,000 | USD | 7,670,351 | MLP | 7,456,081 | 3/2/23 | 214,270 | |||||||||||||||||||||
| Euro |
6,737,000 | USD | 7,140,829 | HSBC | 7,139,882 | 4/4/23 | 947 | |||||||||||||||||||||
| Japanese Yen |
176,986,399 | USD | 1,365,761 | HSBC | 1,299,984 | 3/2/23 | 65,777 | |||||||||||||||||||||
| Japanese Yen |
22,017,539 | USD | 161,767 | DUB | 162,515 | 4/4/23 | (748 | ) | ||||||||||||||||||||
| Japanese Yen |
133,900,937 | USD | 986,384 | HSBC | 988,343 | 4/4/23 | (1,959 | ) | ||||||||||||||||||||
| New Zealand Dollar |
268,282 | USD | 174,415 | MLP | 165,839 | 3/2/23 | 8,576 | |||||||||||||||||||||
| New Zealand Dollar |
26,718 | USD | 17,348 | SCB | 16,516 | 3/2/23 | 832 | |||||||||||||||||||||
| New Zealand Dollar |
295,000 | USD | 183,251 | MLP | 182,363 | 4/4/23 | 888 | |||||||||||||||||||||
| Peruvian Sol |
1,491,540 | USD | 383,626 | BNP | 392,680 | 3/15/23 | (9,054 | ) | ||||||||||||||||||||
| Peruvian Sol |
679,638 | USD | 177,206 | MLP | 178,214 | 5/10/23 | (1,008 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| 401,475 | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Net Unrealized Appreciation on Open Forward Foreign Currency Contracts |
$ | 382,676 | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
At February 28, 2023, Inflation-Linked Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
| Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate |
Maturity Date |
Payment Frequency |
Notional Amount |
Market Value |
Upfront Payment Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
| Receive |
Bank of Japan Uncollateralised Overnight Call Rate | 0.300% | 9/20/27 | 6-Month | JPY | 5,590,000 | $ | 272 | $ | (1,139 | ) | $ | 1,411 | |||||||||||||||||||||
| Receive |
SOFR | 2.865% | 2/13/54 | 12-Month | USD | 1,400,000 | 55,836 | 27,102 | 28,734 | |||||||||||||||||||||||||
| Pay |
SOFR | 3.085% | 2/13/34 | 12-Month | USD | 3,100,000 | (82,684 | ) | (23,830 | ) | (58,854 | ) | ||||||||||||||||||||||
| Receive |
3-Month FRA New Zealand Bank Bill | 3.250% | 3/21/28 | 6-Month | NZD | 700,000 | 27,879 | (103,178 | ) | 131,057 | ||||||||||||||||||||||||
| Receive |
3-Month USD-LIBOR | 1.840% | 11/21/28 | 6-Month | USD | 1,500,000 | 137,415 | — | 137,415 | |||||||||||||||||||||||||
| Pay |
3-Month USD-LIBOR | 1.888% | 11/21/53 | 6-Month | USD | 300,000 | (82,705 | ) | — | (82,705 | ) | |||||||||||||||||||||||
| Pay |
6-Month EURIBOR | 0.000% | 11/8/32 | 12-Month | EUR | 3,390,000 | (975,630 | ) | — | (975,630 | ) | |||||||||||||||||||||||
| Receive |
6-Month EURIBOR | 0.197% | 11/8/52 | 12-Month | EUR | 1,400,000 | 745,320 | — | 745,320 | |||||||||||||||||||||||||
| Pay |
6-Month EURIBOR | 0.550% | 8/10/24 | 12-Month | EUR | 100,000 | (4,545 | ) | — | (4,545 | ) | |||||||||||||||||||||||
| Pay |
6-Month EURIBOR | 0.650% | 4/12/27 | 12-Month | EUR | 300,000 | (33,758 | ) | — | (33,758 | ) | |||||||||||||||||||||||
| Pay |
6-Month EURIBOR | 0.650% | 5/11/27 | 12-Month | EUR | 300,000 | (34,225 | ) | — | (34,225 | ) | |||||||||||||||||||||||
| Pay |
6-Month EURIBOR | 0.700% | 4/11/27 | 12-Month | EUR | 200,000 | (21,956 | ) | — | (21,956 | ) | |||||||||||||||||||||||
| Receive |
6-Month EURIBOR | 1.500% | 3/15/53 | 12-Month | EUR | 200,000 | 50,884 | 25,941 | 24,943 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| $ | (217,897 | ) | $ | (75,104 | ) | $ | (142,793 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
See Notes to Financial Statements.
253
| Schedules of Investments |
| (unaudited) (continued) |
| Inflation-Linked Fixed Income Fund | ||||||
At February 28, 2023, Inflation-Linked Fixed Income Fund held the following Centrally Cleared Inflation Rate Swap Contracts:
| Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate |
Maturity Date |
Notional Amount |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||||
| Receive | 2-Year EUR Inflation Linked | 3.520% | 9/15/24 | EUR | 200,000 | $ | (3,095 | ) | $ | (516 | ) | $ | (2,579 | ) | ||||||||||||||||
| Receive | 2-Year EUR Inflation Linked | 3.720% | 9/15/24 | EUR | 300,000 | (3,396 | ) | (654 | ) | (2,742 | ) | |||||||||||||||||||
| Receive | 2-Year EUR Inflation Linked | 3.850% | 9/15/24 | EUR | 400,000 | (3,446 | ) | — | (3,446 | ) | ||||||||||||||||||||
| Pay | 5-Year EUR Inflation Linked | 1.030% | 3/15/24 | EUR | 1,000,000 | 96,773 | (37,985 | ) | 134,758 | |||||||||||||||||||||
| Pay | 5-Year EUR Inflation Linked | 3.000% | 5/15/27 | EUR | 200,000 | 8,436 | 100 | 8,336 | ||||||||||||||||||||||
| Pay | 8-Year EUR Inflation Linked | 2.359% | 8/15/30 | EUR | 200,000 | 11,225 | — | 11,225 | ||||||||||||||||||||||
| Receive | 10-Year EUR Inflation Linked | 1.380% | 3/15/31 | EUR | 1,300,000 | (295,069 | ) | (9,569 | ) | (285,500 | ) | |||||||||||||||||||
| Receive | 10-Year EUR Inflation Linked | 1.620% | 5/15/28 | EUR | 910,000 | (146,928 | ) | 93,051 | (239,979 | ) | ||||||||||||||||||||
| Pay | 10-Year EUR Inflation Linked | 2.470% | 7/15/32 | EUR | 200,000 | 10,531 | — | 10,531 | ||||||||||||||||||||||
| Pay | 10-Year EUR Inflation Linked | 2.570% | 6/15/32 | EUR | 300,000 | 13,068 | — | 13,068 | ||||||||||||||||||||||
| Pay | 10-Year EUR Inflation Linked | 2.600% | 5/15/32 | EUR | 400,000 | 22,516 | 2,060 | 20,456 | ||||||||||||||||||||||
| Pay | 10-Year EUR Inflation Linked | 2.720% | 6/15/32 | EUR | 500,000 | 14,187 | (4,228 | ) | 18,415 | |||||||||||||||||||||
| Pay | 15-Year EUR Inflation Linked | 1.710% | 3/15/33 | EUR | 100,000 | 18,403 | (15,114 | ) | 33,517 | |||||||||||||||||||||
| Receive | 15-Year EUR Inflation Linked | 2.488% | 5/15/37 | EUR | 200,000 | (14,295 | ) | 201 | (14,496 | ) | ||||||||||||||||||||
| Receive | 30-Year EUR Inflation Linked | 2.421% | 5/15/52 | EUR | 30,000 | (4,027 | ) | — | (4,027 | ) | ||||||||||||||||||||
| Receive | 30-Year EUR Inflation Linked | 2.590% | 3/15/52 | EUR | 200,000 | (20,246 | ) | (2,478 | ) | (17,768 | ) | |||||||||||||||||||
| Receive | 30-Year EUR Inflation Linked | 2.590% | 12/15/52 | EUR | 100,000 | (3,567 | ) | — | (3,567 | ) | ||||||||||||||||||||
| Receive | 1-Year USD Inflation Linked | 4.950% | 3/7/23 | USD | 200,000 | (2,989 | ) | — | (2,989 | ) | ||||||||||||||||||||
| Receive | 1-Year USD Inflation Linked | 5.000% | 3/3/23 | USD | 400,000 | (5,804 | ) | — | (5,804 | ) | ||||||||||||||||||||
| Receive | 1-Year USD Inflation Linked | 5.033% | 3/8/23 | USD | 300,000 | (4,231 | ) | — | (4,231 | ) | ||||||||||||||||||||
| Receive | 1-Year USD Inflation Linked | 5.150% | 5/23/23 | USD | 500,000 | (868 | ) | — | (868 | ) | ||||||||||||||||||||
| Receive | 1-Year USD Inflation Linked | 5.185% | 5/24/23 | USD | 500,000 | (545 | ) | — | (545 | ) | ||||||||||||||||||||
| Receive | 1-Year USD Inflation Linked | 5.320% | 4/29/23 | USD | 2,300,000 | (16,361 | ) | — | (16,361 | ) | ||||||||||||||||||||
| Receive | 1-Year USD Inflation Linked | 5.470% | 3/21/23 | USD | 2,300,000 | (21,924 | ) | — | (21,924 | ) | ||||||||||||||||||||
| Pay | 5-Year USD Inflation Linked | 2.220% | 4/13/23 | USD | 6,296,000 | 571,996 | (214,466 | ) | 786,462 | |||||||||||||||||||||
| Pay | 5-Year USD Inflation Linked | 2.703% | 5/25/26 | USD | 510,000 | 39,609 | 81 | 39,528 | ||||||||||||||||||||||
| Pay | 5-Year USD Inflation Linked | 2.768% | 5/13/26 | USD | 500,000 | 37,801 | — | 37,801 | ||||||||||||||||||||||
| Pay | 5-Year USD Inflation Linked | 2.813% | 5/14/26 | USD | 300,000 | 21,991 | — | 21,991 | ||||||||||||||||||||||
| Pay | 7-Year USD Inflation Linked | 1.798% | 8/25/27 | USD | 600,000 | 88,246 | 5,868 | 82,378 | ||||||||||||||||||||||
| Pay | 7-Year USD Inflation Linked | 1.890% | 8/27/27 | USD | 700,000 | 98,550 | 1,693 | 96,857 | ||||||||||||||||||||||
| Pay | 7-Year USD Inflation Linked | 2.573% | 8/26/28 | USD | 100,000 | 6,494 | — | 6,494 | ||||||||||||||||||||||
| Pay | 7-Year USD Inflation Linked | 2.645% | 9/10/28 | USD | 100,000 | 5,747 | — | 5,747 | ||||||||||||||||||||||
| Receive | 10-Year USD Inflation Linked | 1.280% | 5/19/30 | USD | 800,000 | (158,752 | ) | (50,027 | ) | (108,725 | ) | |||||||||||||||||||
| Receive | 10-Year USD Inflation Linked | 1.760% | 11/4/29 | USD | 1,200,000 | (183,969 | ) | (8,764 | ) | (175,205 | ) | |||||||||||||||||||
| Receive | 10-Year USD Inflation Linked | 1.883% | 11/20/29 | USD | 1,500,000 | (213,649 | ) | 9,233 | (222,882 | ) | ||||||||||||||||||||
| Pay | 10-Year USD Inflation Linked | 2.311% | 2/24/31 | USD | 2,300,000 | 252,205 | 1,035 | 251,170 | ||||||||||||||||||||||
| Receive | 10-Year USD Inflation Linked | 2.335% | 2/5/28 | USD | 960,000 | (89,496 | ) | 59,292 | (148,788 | ) | ||||||||||||||||||||
| Receive | 10-Year USD Inflation Linked | 2.353% | 5/9/28 | USD | 360,000 | (32,456 | ) | 24,122 | (56,578 | ) | ||||||||||||||||||||
| Receive | 10-Year USD Inflation Linked | 2.360% | 5/9/28 | USD | 540,000 | (48,276 | ) | 36,670 | (84,946 | ) | ||||||||||||||||||||
| Receive | 10-Year USD Inflation Linked | 2.364% | 5/10/28 | USD | 550,000 | (48,988 | ) | 37,569 | (86,557 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $ | (4,599 | ) | $ | (72,826 | ) | $ | 68,227 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
See Notes to Financial Statements.
254
| Schedules of Investments |
| (unaudited) (continued) |
| Inflation-Linked Fixed Income Fund | ||||||
At February 28, 2023, Inflation-Linked Fixed Income Fund held the following Centrally Cleared Credit Default Swap Contract:
Centrally Cleared — Credit Default Swaps on Corporate Issue — Sell Protection (1)
| Reference Obligation & Rating† | Fixed Deal Receive Rate |
Maturity Date |
Payment Frequency |
Implied Credit Spread at 2/28/23 (2) |
Notional Amount (3) |
Market Value |
Upfront Payment Paid |
Unrealized Depreciation |
||||||||||||||||||||||||||
| General Electric Co., BBB+ |
1.000 | % | 12/20/23 | 3-Month | 0.334% | USD | 100,000 | $ | 727 | $ | 981 | $ | (254 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| † | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
| (1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as ‘‘Defaulted’’ indicates a credit event has occurred for the referenced entity or obligation. |
| (3) | The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
At February 28, 2023, Inflation-Linked Fixed Income Fund deposited cash collateral with brokers in the amount of $369,000 for open centrally cleared swap contracts.
At February 28, 2023, Inflation-Linked Fixed Income Fund had cash collateral from brokers in the amount of $270,000 for open OTC swap contracts.
| Currency Abbreviations used in this schedule: |
Counterparty Abbreviations used in this schedule: | |||||
| AUD | — Australian Dollar |
BCLY |
— Barclays Bank PLC | |||
| CAD | — Canadian Dollar |
BNP |
— BNP Paribas SA | |||
| DKK | — Danish Krone |
DUB |
— Deutsche Bank AG | |||
| EUR | — Euro |
HSBC |
— HSBC Bank USA | |||
| GBP | — British Pound |
MLP |
— Merrill Lynch, Pierce, Fenner & Smith Inc. | |||
| JPY | — Japanese Yen |
SCB |
— Standard Chartered Bank | |||
| NOK | — Norwegian Krone |
|||||
| NZD | — New Zealand Dollar |
|||||
| SEK | — Swedish Krona |
|||||
| SGD | — Singapore Dollar |
|||||
| USD | — United States Dollar |
|||||
| ZAR | — South African Rand |
|||||
See pages 272-273 for definitions of ratings.
See Notes to Financial Statements.
255
| Schedules of Investments |
| (unaudited) (continued) |
See Notes to Financial Statements.
256
| Schedules of Investments |
| (unaudited) (continued) |
| Ultra-Short Term Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Banks — 23.7% — (continued) | ||||||||||
| Credit Suisse Group AG, Senior Unsecured Notes: | ||||||||||
| $ | 1,750,000 | BBB- | 5.975% (3-Month USD-LIBOR + 1.240%) due 6/12/24(c) |
$ | 1,707,254 | |||||
| 2,000,000 | BBB- | 5.975% (3-Month USD-LIBOR + 1.240%) due 6/12/24(b)(c) |
1,951,147 | |||||||
| Danske Bank AS, Senior Unsecured Notes: | ||||||||||
| 1,000,000 | BBB+ | 3.875% due 9/12/23(b) |
990,870 | |||||||
| 1,200,000 | BBB+ | 5.795% (3-Month USD-LIBOR + 1.060%) due 9/12/23(c) |
1,201,206 | |||||||
| 500,000 | BBB+ | 5.795% (3-Month USD-LIBOR + 1.060%) due 9/12/23(b)(c) |
500,503 | |||||||
| 600,000 | BBB+ | 5.375% due 1/12/24.. |
598,430 | |||||||
| 200,000 | BBB+ | 5.375% due 1/12/24(b) |
199,477 | |||||||
| Deutsche Bank AG, Senior Unsecured Notes: | ||||||||||
| 1,800,000 | A- | 0.962% due 11/8/23.. |
1,746,112 | |||||||
| 2,100,000 | BBB- | 2.222% (SOFR + 2.159%) due 9/18/24(c) |
2,053,036 | |||||||
| 900,000 | A- | Deutsche Bank AG, (Cost — $884,243, acquired 3/31/22), Senior Unsecured Notes, |
848,301 | |||||||
| 200,000 | AA- | DNB Bank ASA, Senior Unsecured Notes, 2.968% |
193,722 | |||||||
| 1,700,000 | AUD | AA- | First Abu Dhabi Bank PJSC, Senior Unsecured Notes,
4.575% |
1,138,169 | ||||||
| Goldman Sachs Group Inc. (The), Senior Unsecured Notes: | ||||||||||
| 3,000,000 | AUD | BBB+ | 4.674% (3-Month Australian Bank Bill + 1.200%) due 5/16/23(c) |
2,022,665 | ||||||
| 500,000 | BBB+ | 6.553% (3-Month USD-LIBOR + 1.600%) due 11/29/23(c).. |
504,455 | |||||||
| 1,000,000 | AUD | BBB+ | 4.901% (3-Month Australian Bank Bill + 1.550%) due 5/2/24(c) |
675,484 | ||||||
| 1,000,000 | BBB+ | 0.925% (SOFR + 0.486%) due 10/21/24(c) |
968,069 | |||||||
| 1,000,000 | A+ | Hana Bank, Senior Unsecured Notes, 5.602% |
1,001,290 | |||||||
| 5,900,000 | A- | HSBC Holdings PLC, Senior Unsecured Notes,
5.965% |
5,933,624 | |||||||
| 1,900,000 | A- | ING Groep NV, Senior Unsecured Notes, 5.478% |
1,863,580 | |||||||
| JPMorgan Chase & Co., Senior Unsecured Notes: | ||||||||||
| 3,300,000 | A- | 5.705% (3-Month USD-LIBOR + 0.890%) due 7/23/24(a)(c) |
3,306,178 | |||||||
| 600,000 | A- | 5.871% (SOFR + 1.320%) due 4/26/26(c) |
606,494 | |||||||
| Lloyds Banking Group PLC, Senior Unsecured Notes: | ||||||||||
| 4,000,000 | AUD | BBB+ | 4.507% (3-Month Australian Bank Bill + 1.300%) due 3/20/23(c) |
2,691,003 | ||||||
| 3,700,000 | AUD | BBB+ | 4.518% (3-Month Australian Bank Bill + 1.400%) due 3/7/25(c) |
2,476,386 | ||||||
| Mizuho Financial Group Inc., Senior Unsecured Notes: | ||||||||||
| 400,000 | A- | 5.588% (3-Month USD-LIBOR + 0.630%) due 5/25/24(c) |
399,889 | |||||||
| 200,000 | A- | 1.241% (1.252% — SOFR) due 7/10/24(f) |
196,768 | |||||||
| 800,000 | A- | 0.849% (0.872% — SOFR) due 9/8/24(f) |
779,059 | |||||||
| 1,800,000 | A- | 3.922% (3-Month USD-LIBOR + 1.000%) due 9/11/24(c) |
1,781,360 | |||||||
| 300,000 | BBB | NatWest Group PLC, Senior Unsecured Notes,
6.274% |
300,043 | |||||||
| 1,000,000 | A- | NatWest Markets PLC, Senior Unsecured Notes, 5.903% |
1,001,651 | |||||||
| Nordea Bank Abp, Senior Unsecured Notes: | ||||||||||
| 1,200,000 | A | 5.893% (3-Month USD-LIBOR + 0.940%) due 8/30/23(b)(c) |
1,202,732 | |||||||
| 600,000 | AA- | 5.291% (SOFR + 0.960%) due 6/6/25(b)(c) |
600,194 | |||||||
| 4,200,000 | A+ | QNB Finance Ltd., Company Guaranteed Notes,
5.988% |
4,194,582 | |||||||
| 4,000,000 | BBB | Santander UK Group Holdings PLC, Senior Unsecured Notes, 4.796% |
3,960,884 | |||||||
| Societe Generale SA, Senior Unsecured Notes: | ||||||||||
| 2,200,000 | BBB | 3.875% due 3/28/24(b) |
2,156,086 | |||||||
| 2,300,000 | BBB | 2.625% due 1/22/25(b) |
2,168,901 | |||||||
| 800,000 | BBB | 5.587% (SOFR + 1.050%) due 1/21/26(b)(c) |
791,631 | |||||||
| Standard Chartered PLC, Senior Unsecured Notes: | ||||||||||
| 500,000 | BBB+ | 3.885% (3-Month USD-LIBOR + 1.080%) due 3/15/24(b)(c) |
499,549 | |||||||
| 1,700,000 | BBB+ | 3.785% (3-Month USD-LIBOR + 1.560%) due 5/21/25(b)(c) |
1,658,138 | |||||||
See Notes to Financial Statements.
257
| Schedules of Investments |
| (unaudited) (continued) |
| Ultra-Short Term Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Banks — 23.7% — (continued) | ||||||||||
| $ | 3,000,000 | BBB+ | 6.216% (SOFR + 1.740%) due 3/30/26(b)(c) |
$ | 3,012,640 | |||||
| 7,700,000 | AUD | A- | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes, 4.596% |
5,191,862 | ||||||
| 500,000 | A | Sumitomo Mitsui Trust Bank Ltd., Senior Unsecured Notes, 0.800% due 9/16/24(b) | 464,581 | |||||||
| 5,600,000 | AUD | A+ | UBS AG, Senior Unsecured Notes, 4.251% |
3,769,335 | ||||||
| 2,100,000 | CAD | BBB+ | Wells Fargo & Co., (Cost — $1,730,870, acquired 2/11/21), Senior Unsecured
Notes, |
1,513,661 | ||||||
| 1,000,000 | CAD | BBB+ | Wells Fargo & Co., (Cost — $797,484, acquired 10/6/20), Senior Unsecured
Notes, |
720,041 | ||||||
|
|
|
|||||||||
| Total Banks | 89,566,189 | |||||||||
|
|
|
|||||||||
| Beverages — 0.5% | ||||||||||
| 2,100,000 | BBB- | JDE Peet’s NV, Company Guaranteed Notes, 0.800% due 9/24/24(b) | 1,933,913 | |||||||
|
|
|
|||||||||
| Commercial Services — 1.6% | ||||||||||
| 2,500,000 | BBB+ | RELX Capital Inc., Company Guaranteed Notes, 3.500% due 3/16/23 | 2,498,641 | |||||||
| 5,000,000 | AUD | BBB | Transurban Queensland Finance Pty Ltd., Senior Secured Notes, 5.238% |
3,402,734 | ||||||
|
|
|
|||||||||
| Total Commercial Services | 5,901,375 | |||||||||
|
|
|
|||||||||
| Computers — 0.4% | ||||||||||
| 1,626,000 | BBB | Dell International LLC/EMC Corp., Senior Unsecured Notes, 5.450% due 6/15/23 | 1,625,021 | |||||||
|
|
|
|||||||||
| Diversified Financial Services — 7.1% | ||||||||||
| 5,300,000 | BBB | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes, 4.500% due 9/15/23 |
5,265,531 | |||||||
| Aircastle Ltd., Senior Unsecured Notes: | ||||||||||
| 1,300,000 | BBB- | 5.000% due 4/1/23 |
1,298,171 | |||||||
| 800,000 | BBB- | 4.400% due 9/25/23.. |
793,694 | |||||||
| 2,000,000 | BBB- | Aviation Capital Group LLC, Senior Unsecured Notes, 3.875% due 5/1/23(b) | 1,991,955 | |||||||
| 900,000 | BBB- | Avolon Holdings Funding Ltd., Company Guaranteed Notes, 5.125% due 10/1/23(b) | 897,082 | |||||||
| 1,495,000 | BBB- | BGC Partners Inc., Senior Unsecured Notes, 5.375% due 7/24/23 | 1,493,886 | |||||||
| 400,000 | A- | BOC Aviation Ltd., Senior Unsecured Notes,
5.849% |
400,120 | |||||||
| 2,500,000 | BBB- | Cantor Fitzgerald LP, Senior Unsecured Notes, 4.875% due 5/1/24(b) | 2,457,323 | |||||||
| 800,000 | BBB- | LeasePlan Corp. NV, Senior Unsecured Notes, 2.875% due 10/24/24(b). | 755,332 | |||||||
| 4,118,000 | A- | Mitsubishi HC Capital Inc., Senior Unsecured Notes, 3.960% due 9/19/23(a)(b)... | 4,075,152 | |||||||
| Nomura Holdings Inc., Senior Unsecured Notes: | ||||||||||
| 4,500,000 | BBB+ | 2.648% due 1/16/25(a) |
4,258,021 | |||||||
| 1,100,000 | BBB+ | 1.851% due 7/16/25 |
1,003,839 | |||||||
| 1,000,000 | BBB- | Park Aerospace Holdings Ltd., Company Guaranteed Notes, 4.500% due 3/15/23(b) | 999,183 | |||||||
| Synchrony Financial, Senior Unsecured Notes: | ||||||||||
| 400,000 | BBB- | 4.375% due 3/19/24.. |
394,634 | |||||||
| 900,000 | BBB- | 4.250% due 8/15/24 |
878,715 | |||||||
|
|
|
|||||||||
| Total Diversified Financial Services | 26,962,638 | |||||||||
|
|
|
|||||||||
| Electric — 4.6% | ||||||||||
| Ausgrid Finance Pty Ltd., Senior Secured Notes: | ||||||||||
| 2,704,000 | BBB | 3.850% due 5/1/23(b) |
2,695,846 | |||||||
| 1,000,000 | AUD | Baa1(d) | 3.750% due 10/30/24 |
661,968 | ||||||
| 1,200,000 | AUD | Baa1(d) | 4.601% (3-Month Australian Bank Bill + 1.220%) due 10/30/24(c) |
808,825 | ||||||
| 500,000 | BBB+ | Chugoku Electric Power Co., Inc. (The), Senior Secured Notes, 2.401% due 8/27/24.. | 475,710 | |||||||
| Enel Finance International NV: | ||||||||||
| Company Guaranteed Notes: |
||||||||||
| 1,000,000 | BBB+ | 2.650% due 9/10/24(b) |
955,164 | |||||||
| 1,000,000 | BBB+ | 2.650% due 9/10/24 |
955,164 | |||||||
See Notes to Financial Statements.
258
| Schedules of Investments |
| (unaudited) (continued) |
| Ultra-Short Term Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Electric — 4.6% — (continued) | ||||||||||
| $ | 921,000 | BBB+ | Senior Unsecured Notes, 4.250% due 6/15/25(b) | $ | 893,279 | |||||
| Israel Electric Corp., Ltd., Senior Secured Notes: | ||||||||||
| 1,000,000 | BBB+ | 6.875% due 6/21/23.. |
1,003,518 | |||||||
| 600,000 | BBB+ | 5.000% due 11/12/24(b)... |
590,296 | |||||||
| 2,900,000 | AUD | Aa2(d) | Korea Southern Power Co., Ltd., Senior Unsecured Notes,
4.351% |
1,947,137 | ||||||
| 600,000 | BBB+ | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes, 6.051% due 3/1/25. | 604,497 | |||||||
| Pacific Gas & Electric Co., 1st Mortgage Notes: | ||||||||||
| 1,400,000 | BBB- | 4.250% due 8/1/23... |
1,392,736 | |||||||
| 300,000 | BBB- | 1.700% due 11/15/23. |
291,827 | |||||||
| 500,000 | BBB- | 3.850% due 11/15/23. |
494,431 | |||||||
| 300,000 | BBB- | 3.750% due 2/15/24.. |
293,431 | |||||||
| 100,000 | BBB- | 3.400% due 8/15/24.. |
96,142 | |||||||
| 5,000,000 | AUD | A- | Victoria Power Networks Finance Pty Ltd., Company Guaranteed Notes, 4.005% |
3,339,586 | ||||||
|
|
|
|||||||||
| Total Electric | 17,499,557 | |||||||||
|
|
|
|||||||||
| Electronics — 0.4% | ||||||||||
| 1,500,000 | BBB- | TD SYNNEX Corp., Senior Unsecured Notes, 1.250% due 8/9/24 | 1,404,259 | |||||||
|
|
|
|||||||||
| Entertainment — 0.3% | ||||||||||
| Warnermedia Holdings Inc., Company Guaranteed Notes: | ||||||||||
| 500,000 | BBB- | 3.428% due 3/15/24(b) |
488,144 | |||||||
| 700,000 | BBB- | 6.203% (SOFR + 1.780%) due 3/15/24(b)(c) |
703,595 | |||||||
|
|
|
|||||||||
| Total Entertainment | 1,191,739 | |||||||||
|
|
|
|||||||||
| Food — 0.3% | ||||||||||
| 1,000,000 | BBB | Barry Callebaut Services NV, Company Guaranteed Notes, 5.500% due 6/15/23 | 998,426 | |||||||
|
|
|
|||||||||
| Healthcare — Products — 0.3% | ||||||||||
| 1,000,000 | BBB | Baxter International Inc., Senior Unsecured Notes, 4.836% |
995,898 | |||||||
|
|
|
|||||||||
| Healthcare — Services — 0.5% | ||||||||||
| 2,100,000 | BBB- | HCA Inc., Company Guaranteed Notes, 5.000% due 3/15/24 | 2,086,671 | |||||||
|
|
|
|||||||||
| Insurance — 1.4% | ||||||||||
| Athene Global Funding: | ||||||||||
| 600,000 | A+ | Secured Notes, 5.542% (3-Month USD-LIBOR + 0.730%) due 1/8/24(b)(c) |
593,833 | |||||||
| 500,000 | A+ | Senior Secured Notes, 5.275% (SOFR + 0.700%) due 5/24/24(b)(c) |
496,954 | |||||||
| 200,000 | A- | CNO Global Funding, Secured Notes, 1.650% due 1/6/25(b) | 185,118 | |||||||
| GA Global Funding Trust: | ||||||||||
| 400,000 | A- | Secured Notes, 1.625% due 1/15/26(b) |
356,185 | |||||||
| 2,400,000 | A- | Senior Secured Notes, 1.250% due 12/8/23(b) |
2,318,145 | |||||||
| 1,400,000 | A | Jackson National Life Global Funding, Secured Notes, 5.613% |
1,407,360 | |||||||
|
|
|
|||||||||
| Total Insurance | 5,357,595 | |||||||||
|
|
|
|||||||||
| Investment Companies — 0.1% | ||||||||||
| 400,000 | Baa3(d) | FS KKR Capital Corp., Senior Unsecured Notes, 1.650% due 10/12/24 | 370,500 | |||||||
|
|
|
|||||||||
| Machinery — Diversified — 0.6% | ||||||||||
| 1,113,000 | BBB | CNH Industrial Capital LLC, Company Guaranteed Notes, 1.950% due 7/2/23. | 1,099,795 | |||||||
| 1,300,000 | BBB | CNH Industrial NV, Senior Unsecured Notes, 4.500% due 8/15/23.. | 1,293,455 | |||||||
|
|
|
|||||||||
| Total Machinery — Diversified | 2,393,250 | |||||||||
|
|
|
|||||||||
| Media — 1.5% | ||||||||||
| 5,464,000 | BBB- | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes, 6.464% (3-Month USD-LIBOR + 1.650%) due 2/1/24(c) |
5,506,447 | |||||||
|
|
|
|||||||||
| Oil & Gas — 0.3% | ||||||||||
| 1,100,000 | A- | ENI SpA, Senior Unsecured Notes, 4.000% due 9/12/23(b)... | 1,089,265 | |||||||
|
|
|
|||||||||
See Notes to Financial Statements.
259
| Schedules of Investments |
| (unaudited) (continued) |
| Ultra-Short Term Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| Packaging & Containers — 0.8% | ||||||||||
| Berry Global Inc., Senior Secured Notes: | ||||||||||
| $ | 2,200,000 | BBB- | 0.950% due 2/15/24.. |
$ | 2,100,957 | |||||
| 1,114,000 | BBB- | 4.875% due 7/15/26(b) |
1,064,564 | |||||||
|
|
|
|||||||||
| Total Packaging & Containers | 3,165,521 | |||||||||
|
|
|
|||||||||
| Real Estate — 0.0%@ | ||||||||||
| 200,000 | AUD | BBB+ | Aroundtown SA, Senior Unsecured Notes, 4.500% due 5/14/25. | 126,275 | ||||||
|
|
|
|||||||||
| Retail — 0.6% | ||||||||||
| 2,500,000 | A | 7-Eleven Inc., Senior Unsecured Notes, 0.800% due 2/10/24(b). | 2,388,721 | |||||||
|
|
|
|||||||||
| Savings & Loans — 0.4% | ||||||||||
| Nationwide Building Society, Senior Unsecured Notes: | ||||||||||
| 500,000 | BBB+ | 3.766% (3-Month USD-LIBOR + 1.064%) due 3/8/24(b)(c) |
499,900 | |||||||
| 1,000,000 | BBB+ | 4.363% (3-Month USD-LIBOR + 1.392%) due 8/1/24(b)(c) |
992,601 | |||||||
|
|
|
|||||||||
| Total Savings & Loans | 1,492,501 | |||||||||
|
|
|
|||||||||
| Semiconductors — 0.8% | ||||||||||
| 1,000,000 | Baa2(d) | Microchip Technology Inc., Senior Unsecured Notes, 4.333% due 6/1/23 | 996,858 | |||||||
| Renesas Electronics Corp., Senior Unsecured Notes: | ||||||||||
| 200,000 | BBB- | 1.543% due 11/26/24 |
184,131 | |||||||
| 200,000 | BBB- | 1.543% due 11/26/24(b) |
184,131 | |||||||
| SK Hynix Inc., Senior Unsecured Notes: | ||||||||||
| 700,000 | BBB- | 1.000% due 1/19/24.. |
667,947 | |||||||
| 1,100,000 | BBB- | 1.000% due 1/19/24(b) |
1,049,631 | |||||||
|
|
|
|||||||||
| Total Semiconductors | 3,082,698 | |||||||||
|
|
|
|||||||||
| Telecommunications — 0.9% | ||||||||||
| 3,900,000 | AUD | BBB | AT&T Inc., Senior Unsecured Notes,
4.451% |
2,629,492 | ||||||
| 500,000 | BBB | British Telecommunications PLC, Senior Unsecured Notes, 4.500% due 12/4/23 | 496,256 | |||||||
| 400,000 | Baa2(d) | SES SA, Company Guaranteed Notes, 3.600% due 4/4/23(b) | 399,678 | |||||||
|
|
|
|||||||||
| Total Telecommunications | 3,525,426 | |||||||||
|
|
|
|||||||||
| Transportation — 0.1% | ||||||||||
| 200,000 | BBB- | Pacific National Finance Pty Ltd., Company Guaranteed Notes, 6.000% due 4/7/23 | 199,907 | |||||||
|
|
|
|||||||||
| Trucking & Leasing — 0.3% | ||||||||||
| SMBC Aviation Capital Finance DAC, Company Guaranteed Notes: | ||||||||||
| 500,000 | A- | 4.125% due 7/15/23(b) |
496,826 | |||||||
| 700,000 | A- | 3.550% due 4/15/24(b) |
680,444 | |||||||
|
|
|
|||||||||
| Total Trucking & Leasing | 1,177,270 | |||||||||
|
|
|
|||||||||
| TOTAL CORPORATE BONDS & NOTES (Cost — $217,022,489) |
210,547,281 | |||||||||
|
|
|
|||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 30.1% | ||||||||||
| 398,893 | CCC | ACE Securities Corp. Home Equity Loan Trust, Series
2004-OP1, Class M1, 5.397% |
375,898 | |||||||
| 500,000 | Aaa(d) | ACREC LLC, Series 2023-FL2, Class A, 6.630% |
500,765 | |||||||
| 54,097 | Aaa(d) | AMMC CLO 16 Ltd., Series 2015-16A, Class AR2,
5.772% |
53,979 | |||||||
| 1,985,425 | Aaa(d) | Anchorage Capital CLO 6 Ltd., Series 2015-6A,
Class ARR, 5.842% |
1,971,154 | |||||||
| 2,000,000 | Aaa(d) | Apidos CLO XII, Series 2013-12A, Class AR,
5.872% |
1,986,646 | |||||||
| 2,086,500 | Aaa(d) | Arbor Realty Commercial Real Estate Notes Ltd., Series
2021-FL3, Class A, 5.658% |
2,031,600 | |||||||
See Notes to Financial Statements.
260
| Schedules of Investments |
| (unaudited) (continued) |
| Ultra-Short Term Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 30.1% — (continued) | ||||||||||
| $ | 300,000 | Aaa(d) | ARES L CLO Ltd., Series 2018-50A, Class AR,
5.842% |
$ | 296,964 | |||||
| 76,356 | AAA | Atlas Senior Loan Fund IX Ltd., Series 2018-9A,
Class A, 5.678% |
76,261 | |||||||
| 700,000 | AAA | Atrium Hotel Portfolio Trust, Series 2018-ATRM, Class A, 5.538% |
683,259 | |||||||
| 1,192,601 | GBP | AAA | Avon Finance No 2 PLC, Series 2A, Class A, 4.549% |
1,420,816 | ||||||
| 1,200,000 | EUR | Aaa(d) | Bain Capital Euro CLO DAC, Series 2018-2A,
Class AR, 3.082% |
1,239,192 | ||||||
| BAMLL Commercial Mortgage Securities Trust: | ||||||||||
| 500,000 | AAA | Series 2019-AHT, Class A, 5.788% (1-Month USD-LIBOR + 1.200%) due 3/15/34(b)(c) |
493,246 | |||||||
| 400,000 | Aaa(d) | Series 2019-RLJ, Class A, 5.638% (1-Month USD-LIBOR + 1.050%) due 4/15/36(b)(c) |
394,178 | |||||||
| 338,445 | BBB- | Bear Stearns Asset Backed Securities I Trust, Series
2005-CL1, Class A2, 3.216% |
328,068 | |||||||
| 1,200,000 | Aaa(d) | Birch Grove CLO Ltd., Series 19A, Class AR,
5.899% |
1,186,530 | |||||||
| 912,214 | EUR | AAA | Black Diamond CLO Ltd., Series 2017-2A, Class A1,
3.202% |
948,709 | ||||||
| 45,079 | Aaa(d) | Brass NO 8 PLC, Series 8A, Class A1,
5.572% |
45,122 | |||||||
| 1,953,283 | EUR | AAA | Bruegel 2021 DAC, Series 2021-1A, Class A,
3.454% |
1,987,282 | ||||||
| 2,000,000 | NR | BWAY Mortgage Trust, Series 2021-1450, Class A,
5.838% |
1,915,092 | |||||||
| 1,500,000 | Aaa(d) | BXMT Ltd., Series 2020-FL3, Class A, 5.932% |
1,481,644 | |||||||
| 185,038 | GBP | Aaa(d) | Canterbury Finance No 1 PLC, Series 1, Class A2, 5.296% |
222,753 | ||||||
| 2,700,000 | AAA | Citigroup Commercial Mortgage Trust, Series 2021-KEYS, Class A, 5.768% |
2,662,030 | |||||||
| 1,604,878 | Aaa(d) | Citigroup Mortgage Loan Trust, Series 2021-INV3, Class A11, 5.000% |
1,489,379 | |||||||
| 2,100,000 | NR | COMM Mortgage Trust, Series 2021-2400, Class A,
5.888% |
1,964,734 | |||||||
| Credit Suisse Commercial Mortgage Capital Trust: | ||||||||||
| 253,003 | AAA | Series 2021-INV1, Class A11, 5.000% |
235,505 | |||||||
| 778,619 | NR | Series 2021-RPL4, Class A1, 1.796% due 12/27/60(b)(c) |
717,871 | |||||||
| 128,970 | B- | CWABS Inc. Asset-Backed Certificates Trust, Series
2004-5, Class M1, 5.472% |
127,359 | |||||||
| 1,300,000 | EUR | AAA | Dryden 27 Euro CLO DAC, Series 2017-27A, Class AR,
2.948% |
1,344,658 | ||||||
| 2,050,004 | Aaa(d) | Extended Stay America Trust, Series 2021-ESH,
Class A, 5.668% |
2,021,571 | |||||||
| Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | ||||||||||
| 498,895 | NR | Series 4344, Class FA, 3.738% (1-Month USD-LIBOR + 0.450%) due 12/15/37(a)(c) |
489,994 | |||||||
| 757,904 | NR | Series 4351, Class FA, 3.654% (1-Month USD-LIBOR + 0.450%) due 5/15/38(a)(c) |
742,605 | |||||||
| 1,218,791 | NR | Series 4906, Class WF, 3.808% (1-Month USD-LIBOR + 0.400%) due 12/15/38(a)(c) |
1,207,807 | |||||||
| 930,020 | NR | Federal National Mortgage Association (FNMA), REMICS, Series 2017-108, Class AF, 4.917% (1-Month USD-LIBOR + 0.300%) due 1/25/48(a)(c) |
911,335 | |||||||
| 156,103 | BBB+ | Finance America Mortgage Loan Trust, Series 2004-2,
Class M1, 5.442% |
145,014 | |||||||
| Finsbury Square PLC: | ||||||||||
| 973,125 | GBP | AAA(g) | Series 2020-1A, Class A, 4.404% (Sterling Overnight
Index Average + 0.800%) |
1,172,910 | ||||||
| 2,610,575 | GBP | AAA | Series 2021-1GRA, Class AGRN, 4.254% (Sterling Overnight Index Average + 0.650%) due 12/16/67(b)(c) |
3,099,345 | ||||||
See Notes to Financial Statements.
261
| Schedules of Investments |
| (unaudited) (continued) |
| Ultra-Short Term Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 30.1% — (continued) | ||||||||||
| $ | 172,816 | BBB- | Fremont Home Loan Trust, Series 2005-A, Class M3,
5.352% |
$ | 167,307 | |||||
| 600,000 | Aaa(d) | Gallatin CLO VIII Ltd., Series 2017-1A, Class A1R,
5.169% |
590,843 | |||||||
| GCAT Trust: | ||||||||||
| 811,242 | AAA | Series 2021-NQM3, Class A1, 1.091% due 5/25/66(b)(c) |
665,108 | |||||||
| 987,800 | AAA(g) | Series 2022-HX1, Class A1, 2.885% due 12/27/66(b)(c) |
882,623 | |||||||
| Government National Mortgage Association (GNMA): | ||||||||||
| 1,383,170 | NR | Series 2016-H06, Class FD, 5.312% (1-Month USD-LIBOR + 0.920%) due 7/20/65(c) |
1,371,789 | |||||||
| 1,109,866 | NR | Series 2017-H15, Class FE, 3.575% (1-Year USD-LIBOR + 0.800%) due 7/20/67(c) |
1,107,950 | |||||||
| 79,867 | NR | Series 2020-17, Class EU, 2.500% due 10/20/49 |
69,140 | |||||||
| 58,574 | NR | Series 2020-21, Class AC, 2.500% due 1/20/49 |
52,711 | |||||||
| 3,376,297 | NR | Series 2021-97, Class FA, 3.000% (30-Day Average SOFR + 0.400%) due 6/20/51(a)(c) |
2,909,298 | |||||||
| 3,513,354 | NR | Series 2021-122, Class FA, 3.000% (30-Day Average SOFR + 0.400%) due 7/20/51(a)(c) |
3,039,037 | |||||||
| 627,187 | Aaa(d) | Greystone CRE Notes Ltd., Series 2019-FL2, Class A,
5.768% |
622,660 | |||||||
| 2,500,000 | Aaa(d) | GS Mortgage Securities Corp. Trust, Series 2022-GTWY, Class A, 7.963% |
2,547,389 | |||||||
| 79,298 | Aaa(d) | GS Mortgage Securities Trust, Series 2014-GC18, Class AAB, 3.648% due 1/10/47 | 78,639 | |||||||
| 1,474,857 | AAA(g) | GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class A1, 1.750% due 12/25/60(b)(c) |
1,339,719 | |||||||
| GS Mortgage-Backed Securities Trust: | ||||||||||
| 782,194 | Aaa(d) | Series 2021-GR2, Class A9, 5.000% (30-Day Average SOFR + 0.850%) due 2/25/52(b)(c) |
725,688 | |||||||
| 262,383 | Aaa(d) | Series 2021-INV1, Class A9, 5.000% (30-Day Average SOFR + 0.850%) due 12/25/51(b)(c) |
244,240 | |||||||
| 1,600,000 | EUR | Aaa(d) | Harvest CLO XVI DAC, Series 2016-A, Class ARR,
2.928% |
1,650,422 | ||||||
| 500,000 | EUR | Aaa(d) | Harvest CLO XXI DAC, Series 2021-A, Class A1R,
3.048% |
515,312 | ||||||
| 965 | AAA | Homeward Opportunities Fund I Trust, Series 2020-2, Class A1, 1.657% due 5/25/65(b)(c) | 961 | |||||||
| 65,863 | CCC | Impac CMB Trust, Series 2004-10, Class 1A1,
5.257% |
59,689 | |||||||
| 265,114 | A- | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-FL12, Class A, 6.038% |
252,840 | |||||||
| JP Morgan Mortgage Trust: | ||||||||||
| 202,739 | Aaa(d) | Series 2019-INV3, Class A3, 3.500% due 5/25/50(b)(c) |
178,436 | |||||||
| 336,674 | Aaa(d) | Series 2021-12, Class A11, 5.000% (30-Day Average SOFR + 0.850%) due 2/25/52(b)(c) |
312,303 | |||||||
| 1,245,694 | EUR | AAA | Jubilee CLO DAC, Series 2015-16A, Class A1R,
2.846% |
1,306,183 | ||||||
| 714,535 | EUR | AAA | Kinbane DAC, Series 2022-RPL1A, Class A,
3.253% |
742,634 | ||||||
| 611,689 | Aaa(d) | KKR CLO 11 Ltd., Series 11, Class AR,
5.972% |
607,493 | |||||||
| 1,700,000 | EUR | Aaa(d) | Laurelin DAC, Series 2016-1A, Class ARR, 3.062% |
1,761,689 | ||||||
| 126,652 | AAA | LCM XIII LP, Series 13A, Class AR3,
5.668% |
126,015 | |||||||
| Legacy Mortgage Asset Trust: | ||||||||||
| 325,314 | NR | Series 2021-GS5, Class A1, step bond to yield, 2.250% due 7/25/67(b) |
294,135 | |||||||
| 323,124 | NR | Series 2021-SL2, Class A, step bond to yield, 1.875% due 10/25/68(b) |
289,960 | |||||||
| 59,945 | NR | LL ABS Trust, Series 2021-1A, Class A, 1.070% due 5/15/29(b) | 58,045 | |||||||
| 934,469 | Aaa(d) | LUXE Trust, Series 2021-TRIP, Class A,
5.638% |
914,445 | |||||||
| 2,700,000 | Aaa(d) | M360 Ltd., Series 2021-CRE3, Class A,
6.093% |
2,630,832 | |||||||
| 953,812 | Aaa(d) | Madison Park Funding XXX Ltd., Series 2018-30A,
Class A, 5.542% |
942,748 | |||||||
| 1,800,000 | Aaa(d) | Magnetite XIV-R Ltd., Series 2015-14RA, Class A1,
5.915% |
1,788,233 | |||||||
See Notes to Financial Statements.
262
| Schedules of Investments |
| (unaudited) (continued) |
| Ultra-Short Term Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 30.1% — (continued) | ||||||||||
| $ | 158,575 | BBB+ | Mastr Asset Backed Securities Trust, Series 2004-OPT2, Class A1, 5.317% |
$ | 135,302 | |||||
| 723,516 | Aaa(d) | MF1 Ltd., Series 2020-FL4, Class A, 6.376% |
726,184 | |||||||
| 847,161 | Aaa(d) | MF1 Multifamily Housing Mortgage Loan Trust, Series
2021-FL5, Class A, 5.526% |
827,818 | |||||||
| MFA Trust: | ||||||||||
| 240,774 | AAA | Series 2020-NQM1, Class A1, 1.479% due 3/25/65(b)(c) |
222,674 | |||||||
| 278,619 | AAA | Series 2020-NQM2, Class A1, 1.381% due 4/25/65(b)(c) |
251,786 | |||||||
| 1,394,824 | AAA | MidOcean Credit CLO II, Series 2013-2A, Class ARR,
5.832% |
1,385,037 | |||||||
| Mill City Mortgage Loan Trust: | ||||||||||
| 630,693 | Aaa(d) | Series 2019-GS2, Class A1, 2.750% due 8/25/59(b)(c) |
596,264 | |||||||
| 478,471 | AAA(g) | Series 2021-NMR1, Class A1, 1.125% due 11/25/60(b)(c) |
444,411 | |||||||
| 1,700,000 | Aaa(d) | MMAF Equipment Finance LLC, Series 2022-B, Class A2, 5.570% due 9/9/25(b) | 1,700,145 | |||||||
| 422,176 | B- | Morgan Stanley ABS Capital I Inc. Trust, Series
2004-HE4, Class M1, 5.517% |
406,882 | |||||||
| 632,353 | Aaa(d) | Mountain View CLO LLC, Series 2017-1A, Class AR,
5.882% |
628,772 | |||||||
| 360,348 | AAA | Mountain View CLO X Ltd., Series 2015-10A,
Class AR, 5.635% |
360,844 | |||||||
| 2,700,000 | Aaa(d) | Natixis Commercial Mortgage Securities Trust, Series 2021-APPL, Class A, 5.538% |
2,568,731 | |||||||
| New Residential Mortgage Loan Trust: | ||||||||||
| 189,666 | NR | Series 2018-3A, Class A1, 4.500% due 5/25/58(b)(c) |
176,412 | |||||||
| 57,844 | AAA(g) | Series 2018-RPL1, Class A1, 3.500% due 12/25/57(b)(c) |
54,696 | |||||||
| 1,533,259 | Aaa(d) | Series 2019-RPL3, Class A1, 2.750% due 7/25/59(b)(c) |
1,433,916 | |||||||
| 1,416,967 | Aaa(d) | Series 2020-RPL1, Class A1, 2.750% due 11/25/59(b)(c) |
1,322,208 | |||||||
| 140,292 | A+ | NovaStar Mortgage Funding Trust, Series 2005-4,
Class M1, 5.277% |
137,302 | |||||||
| 450,118 | NR | NYMT Loan Trust, Series 2021-SP1, Class A1, step bond to yield, 1.670% due 8/25/61(b) | 409,570 | |||||||
| 1,800,000 | AAA(g) | NYO Commercial Mortgage Trust, Series 2021-1290, Class A, 5.683% |
1,696,728 | |||||||
| 1,800,000 | EUR | AAA | OCP Euro CLO DAC, Series 2020-4A, Class AR,
3.273% |
1,866,874 | ||||||
| 1,000,000 | Aaa(d) | OZLM IX Ltd., Series 2014-9A, Class A1A3,
5.908% |
986,876 | |||||||
| 417,048 | EUR | Aaa(d) | Palmer Square European Loan Funding DAC, Series 2021-1A,
Class A, 3.068% |
434,387 | ||||||
| 981,702 | Aaa(d) | Pawneee Equipment Receivables Series LLC, Series 2022-1, Class A2, 4.840% due 2/15/28(b). | 976,318 | |||||||
| 263,061 | AAA | Pennsylvania Higher Education Assistance Agency, Series
2006-2, Class A-3, 4.948% |
259,801 | |||||||
| PFP Ltd.: | ||||||||||
| 56,582 | Aaa(d) | Series 2021-7, Class A, 5.438% (1-Month USD-LIBOR + 0.850%) due 4/14/38(b)(c) |
55,946 | |||||||
| 503,129 | Aaa(d) | Series 2021-8, Class A, 5.590% (1-Month USD-LIBOR + 1.000%) due 8/9/37(b)(c) |
486,328 | |||||||
| 117,506 | NR | Pretium Mortgage Credit Partners I LLC, Series 2021-NPL1, Class A1, step bond to yield, 2.240% due 9/27/60(b) |
110,794 | |||||||
| 1,315,344 | GBP | AAA | Residential Mortgage Securities 32 PLC, Series 32A, Class A, 4.899% |
1,586,417 | ||||||
| 1,240,520 | AAA | Resimac Bastille Trust, Series 2021-2NCA, Class A1A, 5.225% |
1,228,654 | |||||||
| 261,122 | GBP | AAA | RMAC PLC, Series 2018-1, Class A,
4.383% |
313,433 | ||||||
| 312,000 | GBP | AAA | Silverstone Master Issuer PLC, Series 2019-1A,
Class 2A, 4.598% |
376,122 | ||||||
| SoFi Consumer Loan Program Trust: | ||||||||||
| 1,626,740 | Aaa(d) | Series 2022-1S, Class A, 6.210% due 4/15/31(b) |
1,624,461 | |||||||
See Notes to Financial Statements.
263
| Schedules of Investments |
| (unaudited) (continued) |
| Ultra-Short Term Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 30.1% — (continued) | ||||||||||
| $ | 500,000 | AAA | Series 2023-1S, Class A, 5.810% due 5/15/31(b) |
$ | 499,802 | |||||
| 324,560 | Aaa(d) | Sound Point CLO XII Ltd., Series 2016-2A,
Class AR2, 5.858% |
323,142 | |||||||
| 600,846 | Aaa(d) | Sound Point CLO XIV Ltd., Series 2016-3A,
Class AR2, 5.805% |
598,222 | |||||||
| 438,876 | CCC | Soundview Home Loan Trust, Series 2005-OPT1, Class M2, 5.292% |
423,257 | |||||||
| 217,695 | NR | Stonepeak ABS, Series 2021-1A, Class AA, 2.301% due 2/28/33(b) | 198,861 | |||||||
| 341,644 | GBP | AAA | Stratton Mortgage Funding, Series 2021-2A, Class A,
4.734% |
411,344 | ||||||
| 1,200,000 | AAA | STWD Mortgage Trust, Series 2021-HTS, Class A,
5.638% |
1,177,869 | |||||||
| 600,000 | AAA | TCW CLO Ltd., Series 2018-1A, Class A1R, 5.788% |
594,308 | |||||||
| 1,215,120 | AAA | Tharaldson Hotel Portfolio Trust, Series 2018-THL,
Class A, 5.622% |
1,197,358 | |||||||
| 54,520 | NR | Theorem Funding Trust, Series 2021-1A, Class A, 1.210% due 12/15/27(b) | 53,787 | |||||||
| 744,924 | GBP | AAA | Towd Point Mortgage Funding, Series 2019-A13A, Class A1, 5.184% |
894,057 | ||||||
| 2,228,550 | GBP | AAA | Towd Point Mortgage Funding Auburn 14 PLC, Series 2020-A14X, Class A, 4.846% |
2,665,056 | ||||||
| 302,894 | GBP | AAA | Towd Point Mortgage Funding Granite 4 PLC, Series 2019-GR4X, Class A1, 4.978% |
365,374 | ||||||
| Towd Point Mortgage Trust: | ||||||||||
| 186,300 | Aaa(d) | Series 2017-5, Class A1, 4.202% (1-Month USD-LIBOR + 0.600%) due 2/25/57(b)(c) |
185,735 | |||||||
| 383,618 | AAA(g) | Series 2018-3, Class A1, 3.750% due 5/25/58(b)(c) |
366,076 | |||||||
| 222,764 | Aaa(d) | Series 2019-HY2, Class A1, 3.651% (1-Month USD-LIBOR + 1.000%) due 5/25/58(b)(c) |
222,729 | |||||||
| 262,927 | Aaa(d) | Series 2019-HY3, Class A1A, 5.617% |
263,283 | |||||||
| 654,838 | AAA(g) | Series 2020-1, Class A1, 2.710% due 1/25/60(b)(c) |
609,155 | |||||||
| 2,003,832 | AAA(g) | Series 2020-2, Class A1A, 1.636% due 4/25/60(b)(c) |
1,755,362 | |||||||
| 1,354,238 | AAA(g) | Series 2021-SJ2, Class A1A, 2.250% due 12/25/61(b)(c) |
1,244,297 | |||||||
| 1,626,740 | Aaa(d) | Series 2022-1S, Class A, 6.210% due 4/15/31(b) |
1,624,461 | |||||||
| 500,000 | AAA | Series 2023-1S, Class A, 5.810% due 5/15/31(b) |
499,802 | |||||||
| 1,143,976 | GBP | AAA | Trinity Square PLC, Series 2021-1A, Class A,
4.663% |
1,376,620 | ||||||
| 430,570 | GBP | Aaa(d) | Twin Bridges PLC, Series 2018-1, Class A,
4.563% |
518,573 | ||||||
| 1,000,000 | Aaa(d) | Venture 36 CLO Ltd., Series 2019-36A, Class A1AR,
5.938% |
984,381 | |||||||
| 462,156 | Aaa(d) | Venture XVII CLO Ltd., Series 2014-17A, Class ARR,
5.672% |
460,617 | |||||||
| 566,445 | Aaa(d) | Venture XXVI CLO Ltd., Series 2017-26A, Class AR,
5.908% |
561,246 | |||||||
| 353,203 | AA | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1, 5.197% (1-Month USD-LIBOR + 0.580%) due 10/25/45(c) |
329,152 | |||||||
| 358,178 | Aaa(d) | Wellfleet CLO Ltd., Series 2015-1A, Class AR4,
5.698% |
355,476 | |||||||
| Wells Fargo Commercial Mortgage Trust: | ||||||||||
| 400,000 | Aaa(d) | Series 2013-LC12, Class A4, 4.218% due 7/15/46(c) |
398,029 | |||||||
| 500,000 | AAA | Series 2017-HSDB, Class A, 5.673% (1-Month USD-LIBOR + 1.100%) due 12/13/31(b)(c) |
497,350 | |||||||
|
|
|
|||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $121,328,779) |
114,140,402 | |||||||||
|
|
|
|||||||||
See Notes to Financial Statements.
264
| Schedules of Investments |
| (unaudited) (continued) |
| Ultra-Short Term Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| ASSET-BACKED SECURITIES — 9.3% | ||||||||||
| Automobiles — 5.8% | ||||||||||
| $ | 1,546,927 | CAD | AAA(g) | BMW Canada Auto Trust, Series 2022-1A, Class A1, 3.649% due 12/20/24(b) | $ | 1,126,650 | ||||
| 800,000 | AAA | BMW Vehicle Lease Trust, Series 2023-1, Class A2, 5.270% due 2/25/25 | 800,440 | |||||||
| 2,904,185 | AAA | Capital One Prime Auto Receivables Trust, Series 2022-2, Class A2A, 3.740% due 9/15/25 | 2,874,787 | |||||||
| 2,400,000 | AAA | Carmax Auto Owner Trust, Series 2022-4, Class A2B,
5.301% |
2,407,955 | |||||||
| 843,854 | AAA | Carvana Auto Receivables Trust, Series 2022-P3, Class A2, 4.420% due 12/10/25 | 838,719 | |||||||
| Ford Auto Securitization Trust: | ||||||||||
| 272,916 | CAD | Aaa(d) | Series 2020-AA, Class A2, 0.887% due 8/15/24(b) |
198,689 | ||||||
| 2,513,954 | CAD | AAA(g) | Series 2021-AA, Class A2, 1.162% due 10/15/25(b) |
1,798,656 | ||||||
| 786,149 | CAD | AAA | Ford Auto Securitization Trust II Asset-Backed Notes, Series 2022-AA, Class A1, 4.956% due 10/15/24(b).. |
576,067 | ||||||
| 1,000,000 | Aaa(d) | Ford Credit Auto Owner Trust, Series 2022-D,
Class A2B, 5.161% |
1,003,728 | |||||||
| GM Financial Automobile Leasing Trust: | ||||||||||
| 2,248,418 | AAA | Series 2022-3, Class A2B, 5.136% (30-Day Average SOFR + 0.710%) due 10/21/24(c) |
2,252,332 | |||||||
| 1,500,000 | AAA | Series 2023-1, Class A2B, 5.100% (30-Day Average SOFR + 0.550%) due 6/20/25(c) |
1,497,379 | |||||||
| 300,000 | Aaa(d) | Hertz Vehicle Financing III LLC, Series 2022-3A, Class A, 3.370% due 3/25/25(b) | 293,614 | |||||||
| 1,000,000 | AAA | Hyundai Auto Lease Securitization Trust, Series 2023-A,
Class A2B, 5.041% |
1,000,266 | |||||||
| 2,500,000 | AAA | Toyota Auto Receivables Owner Trust, Series 2022-C,
Class A2B, 4.980% |
2,502,235 | |||||||
| World Omni Auto Receivables Trust: | ||||||||||
| 2,000,000 | AAA | Series 2022-C, Class A2, 3.730% due 3/16/26 |
1,978,140 | |||||||
| 800,000 | AAA | Series 2023-A, Class A2B, 4.831% (30-Day Average SOFR + 0.430%) due 7/15/26(c) |
800,289 | |||||||
|
|
|
|||||||||
| Total Automobiles | 21,949,946 | |||||||||
|
|
|
|||||||||
| Credit Cards — 1.1% | ||||||||||
| Citibank Credit Card Issuance Trust: | ||||||||||
| 3,000,000 | Aaa(d) | Series 2017-A5, Class A5, 5.213% (1-Month USD-LIBOR + 0.620%) due 4/22/26(c) |
3,006,861 | |||||||
| 1,000,000 | AAA | Series 2018-A4, Class A4, 4.912% (1-Month USD-LIBOR + 0.340%) due 6/9/25(c) |
1,000,087 | |||||||
|
|
|
|||||||||
| Total Credit Cards | 4,006,948 | |||||||||
|
|
|
|||||||||
| Student Loans — 2.4% | ||||||||||
| ECMC Group Student Loan Trust: | ||||||||||
| 538,017 | Aaa(d) | Series 2017-2A, Class A, 5.667% (1-Month USD-LIBOR + 1.050%) due 5/25/67(b)(c) |
514,719 | |||||||
| 416,418 | Aaa(d) | Series 2018-1A, Class A, 5.367% (1-Month USD-LIBOR + 0.750%) due 2/27/68(b)(c) |
401,842 | |||||||
| 638,189 | Aaa(d) | Series 2019-1A, Class A1B, 5.617% (1-Month USD-LIBOR + 1.000%) due 7/25/69(b)(c) |
622,075 | |||||||
| 47,695 | AAA | EFS Volunteer LLC, Series 2010-1, Class A2,
5.668% |
47,502 | |||||||
| 1,973,743 | AAA | ELFI Graduate Loan Program LLC, Series 2021-A, Class A, 1.530% due 12/26/46(b) | 1,711,853 | |||||||
| Navient Private Education Loan Trust: | ||||||||||
| 10,007 | Aaa(d) | Series 2015-AA, Class A2A, 2.650% due 12/15/28(b) |
9,935 | |||||||
| 868,218 | AAA | Series 2015-BA, Class A3, 6.038% (1-Month USD-LIBOR + 1.450%) due 7/16/40(b)(c) |
859,811 | |||||||
| 220,484 | AAA | Navient Private Education Refi Loan Trust, Series 2020-GA, Class A, 1.170% due 9/16/69(b) | 195,948 | |||||||
| Nelnet Student Loan Trust: | ||||||||||
| 754,068 | AA+ | Series 2017-3A, Class A, 5.356% (1-Month USD-LIBOR + 0.850%) due 2/25/66(b)(c) |
741,529 | |||||||
| 788,936 | AA+ | Series 2019-2A, Class A, 5.517% (1-Month USD-LIBOR + 0.900%) due 6/27/67(b)(c) |
778,826 | |||||||
| 649,286 | AA+ | Series 2019-3A, Class A, 5.417% (1-Month USD-LIBOR + 0.800%) due 8/25/67(b)(c) |
641,577 | |||||||
| 246,889 | AAA | SLC Student Loan Trust, Series 2007-1, Class A4,
4.924% |
242,573 | |||||||
| SLM Student Loan Trust: | ||||||||||
| 345,411 | AAA | Series 2004-10, Class A7B, 5.418% (3-Month USD-LIBOR + 0.600%) due 10/25/29(b)(c) |
342,072 | |||||||
| 95,046 | AAA | Series 2005-5, Class A4, 4.958% (3-Month USD-LIBOR + 0.140%) due 10/25/28(c) |
94,768 | |||||||
| 310,860 | B | Series 2008-5, Class A4, 6.518% (3-Month USD-LIBOR + 1.700%) due 7/25/23(c) |
309,271 | |||||||
| 493,453 | B | Series 2008-7, Class A4, 5.718% (3-Month USD-LIBOR + 0.900%) due 7/25/23(c) |
484,784 | |||||||
| 74,236 | CCC | Series 2008-8, Class A4, 6.318% (3-Month USD-LIBOR + 1.500%) due 4/25/23(c) |
73,821 | |||||||
See Notes to Financial Statements.
265
| Schedules of Investments |
| (unaudited) (continued) |
| Ultra-Short Term Fixed Income Fund | ||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||
| ASSET-BACKED SECURITIES — 9.3% — (continued) | ||||||||||
| Student Loans — 2.4% — (continued) | ||||||||||
| SMB Private Education Loan Trust: | ||||||||||
| $ | 311,102 | AAA | Series 2020-PTA, Class A2A, 1.600% due 9/15/54(b) |
$ | 276,560 | |||||
| 256,421 | AAA | Series 2021-D, Class A1A, 1.340% due 3/17/53(b) |
228,045 | |||||||
| 701,533 | Aaa(d) | Towd Point Asset Trust, Series 2021-SL1, Class A2,
5.291% |
690,628 | |||||||
|
|
|
|||||||||
| Total Student Loans | 9,268,139 | |||||||||
|
|
|
|||||||||
| TOTAL ASSET-BACKED SECURITIES (Cost — $36,091,164) |
35,225,033 | |||||||||
|
|
|
|||||||||
| U.S. GOVERNMENT AGENCIES — 2.1% | ||||||||||
| Federal Home Loan Banks: | ||||||||||
| 3,500,000 | AA+ | 5.480% due 2/26/25 |
3,495,170 | |||||||
| 4,500,000 | AA+ | 5.710% due 3/14/25 |
4,500,075 | |||||||
|
|
|
|||||||||
| TOTAL U.S. GOVERNMENT AGENCIES (Cost — $8,000,000) |
7,995,245 | |||||||||
|
|
|
|||||||||
| SOVEREIGN BONDS — 0.4% | ||||||||||
| South Korea — 0.4% | ||||||||||
| 1,400,000 | AUD | AA | Export-Import Bank of Korea, 4.129% |
938,535 | ||||||
| 650,000 | AA | Korea National Oil Corp., 5.667% |
651,124 | |||||||
|
|
|
|||||||||
| TOTAL SOVEREIGN BONDS (Cost — $1,704,062) |
1,589,659 | |||||||||
|
|
|
|||||||||
| CERTIFICATE OF DEPOSIT — 0.3% | ||||||||||
| 1,400,000 | AUD | Mizuho Bank Ltd., 4.128% |
||||||||
| (Cost — $1,048,188) | 942,148 | |||||||||
|
|
|
|||||||||
| MORTGAGE-BACKED SECURITIES — 0.2% | ||||||||||
| FHLMC — 0.2% | ||||||||||
| 882,433 | Federal Home Loan Mortgage Corp. (FHLMC), 4.000% due 6/1/49 — 9/1/49 | |||||||||
| (Cost — $925,727) | 839,091 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $386,120,409) |
371,278,859 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 22.8% | ||||||||||
| COMMERCIAL PAPERS — 3.2% | ||||||||||
| 4,400,000 | Enbridge Inc., 4.855% due 3/8/23(b)(i) | 4,395,850 | ||||||||
| 1,000,000 | Mercedes-Benz Group AG, 4.909% due 3/21/23(b)(i)) | 997,289 | ||||||||
| 3,000,000 | Verizon Communications, 4.834% due 3/21/23(b)(i) | 2,991,967 | ||||||||
| 2,500,000 | VW CR Inc., 4.837% due 3/15/23(b)(i) | 2,495,294 | ||||||||
| 1,200,000 | VW Credit Inc., 4.863% due 3/7/23(b)(i) | 1,199,036 | ||||||||
|
|
|
|||||||||
| TOTAL COMMERCIAL PAPERS (Cost — $12,079,436) |
12,079,436 | |||||||||
|
|
|
|||||||||
| TIME DEPOSITS — 2.9% | ||||||||||
| 105,566 | AUD | ANZ National Bank — Hongkong, 1.990% due 3/1/23. | 71,019 | |||||||
| BBH — Grand Cayman: | ||||||||||
| 2,565 | DKK | 1.160% due 3/1/23 |
364 | |||||||
| 6,166 | NZD | 2.850% due 3/1/23 |
3,811 | |||||||
| 153,081 | GBP | 2.920% due 3/1/23 |
184,110 | |||||||
| 472,419 | CAD | 3.330% due 3/1/23 |
346,209 | |||||||
| 45,044 | EUR | Citibank — London, 1.530% due 3/1/23 | 47,639 | |||||||
| 4,677,576 | JPMorgan Chase & Co. — New York, 3.920% due 3/1/23 | 4,677,576 | ||||||||
See Notes to Financial Statements.
266
| Schedules of Investments |
| (unaudited) (continued) |
| Ultra-Short Term Fixed Income Fund | ||||||||||||
| Face Amount/Units† |
Rating†† | Security | Value | |||||||||
| TIME DEPOSITS — 2.9% — (continued) | ||||||||||||
| Sumitomo Mitsui Banking Corp. — Tokyo: | ||||||||||||
| $ | 91,729 | JPY | (0.520)% due 3/1/23 |
$ | 674 | |||||||
| 5,556,795 | 3.920% due 3/1/23 |
5,556,795 | ||||||||||
|
|
|
|||||||||||
| TOTAL TIME DEPOSITS (Cost — $10,888,197) |
10,888,197 | |||||||||||
|
|
|
|||||||||||
| U.S. GOVERNMENT OBLIGATIONS — 16.7% | ||||||||||||
| U.S. Treasury Bills: | ||||||||||||
| 7,000 | 4.332% due 3/2/23(i).. |
6,999 | ||||||||||
| 50,000,000 | 4.808% due 6/1/23(i).. |
49,399,653 | ||||||||||
| 14,000,000 | 4.908% due 6/27/23(i). |
13,778,357 | ||||||||||
|
|
|
|||||||||||
| TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $63,185,009) |
63,185,009 | |||||||||||
|
|
|
|||||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost — $86,152,642) |
86,152,642 | |||||||||||
|
|
|
|||||||||||
| TOTAL INVESTMENTS — 120.8% (Cost — $472,273,051) |
457,431,501 | |||||||||||
|
|
|
|||||||||||
| Liabilities in Excess of Other Assets — (20.8)% | (78,819,994 | ) | ||||||||||
|
|
|
|||||||||||
| TOTAL NET ASSETS — 100.0% | $ | 378,611,507 | ||||||||||
|
|
|
|||||||||||
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
| @ | The amount is less than 0.05%. |
| (a) | Position, or portion thereof, has been segregated to collateralize reverse repurchase agreement. |
| (b) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 28, 2023, amounts to $186,254,749 and represents 49.2% of net assets. |
| (c) | Variable rate security. Interest rate disclosed is that which was in effect at February 28, 2023. |
| (d) | Rating by Moody’s Investors Service. |
| (e) | The aggregate value of restricted securities (excluding 144A holdings) at February 28, 2023, amounts to $3,082,003 and represents 0.8% of net assets. |
| (f) | Inverse Floating Rate Security—interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate as of February 28, 2023. |
| (g) | Rating by Fitch Ratings Service. |
| (h) | Affiliated security (See Note 2). As of February 28, 2023, total cost and total market value of affiliated securities amounted to $420,719 and $406,882, respectively. |
| (i) | Rate shown represents yield-to-maturity. |
At February 28, 2023, for Ultra-Short Term Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and and depreciation of all investments for federal income tax purposes were as follows:
| Fund | Aggregate Cost For Federal Income Tax Purposes |
Gross Unrealized Appreciation |
Gross Unrealized (Depreciation) |
Net Unrealized (Depreciation) |
||||||||||||
| Ultra-Short Term Fixed Income Fund |
$ | 472,273,051 | $ | 5,896,048 | $ | (18,693,573) | $ | (12,797,525) | ||||||||
See Notes to Financial Statements.
267
| Schedules of Investments |
| (unaudited) (continued) |
| Ultra-Short Term Fixed Income Fund | ||||||
| Abbreviations used in this schedule: | ||
| ABS | — Asset-Based Security | |
| CLO | — Collateralized Loan Obligation | |
| DAC | — Designated Activity Company | |
| EURIBOR | — Euro Interbank Offered Rate | |
| LIBOR | — London Interbank Offered Rate | |
| LLC | — Limited Liability Company | |
| PLC | — Public Limited Company | |
| REMICS | — Real Estate Mortgage Investment Conduits | |
| SOFR | — Secured Overnight Financing Rate | |
| Summary of Investments by Security Type^ | ||||
| Corporate Bonds & Notes |
46.0 | % | ||
| Collateralized Mortgage Obligations |
25.0 | |||
| Asset-Backed Securities |
7.7 | |||
| U.S. Government Agencies & Obligations |
1.8 | |||
| Sovereign Bonds |
0.3 | |||
| Certificate of Deposit |
0.2 | |||
| Mortgage-Backed Securities |
0.2 | |||
| Short-Term Investments |
18.8 | |||
|
|
|
|||
| Total Investments |
100.0 | % | ||
|
|
|
|||
| ^ | As a percentage of total investments. |
At February 28, 2023, Ultra Short-Term Fixed Income Fund held the following Reverse Repurchase Agreements:
| Face Amounts† |
Security | Value | ||||||
| Bank of New York Mellon Corp. (The): | ||||||||
| $ | 19,837,411 | 4.740% due 2/3/25 |
$ | 19,837,411 | ||||
| Royal Bank of Canada: | ||||||||
| 9,111,251 | 4.680% due 3/1/23 |
9,111,251 | ||||||
| 9,024,817 | 4.670% due 3/15/23 |
9,024,816 | ||||||
|
|
|
|||||||
| TOTAL REVERSE REPURCHASE AGREEMENTS (Proceeds — $37,973,478) |
$ | 37,973,478 | ||||||
|
|
|
|||||||
For the period ended February 28, 2023, the daily average borrowing and interest rate under the reverse repurchase agreements were $15,772,926 and 4.527%, respectively.
See Notes to Financial Statements.
268
| Schedules of Investments |
| (unaudited) (continued) |
| Ultra-Short Term Fixed Income Fund | ||||||
At February 28, 2023, Ultra-Short Term Fixed Income Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts reflected in the accompanying financial statements were as follows:
| Open Futures Contracts | Number of Contracts |
Expiration Date (Month/Year) |
Notional Amount |
Market Value |
Unrealized Appreciation |
|||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||
| U.S. Treasury 2-Year Note June Futures |
511 | 6/23 | $ | 104,529,125 | $ | 104,104,273 | $ | 424,852 | ||||||||||||
| U.S. Treasury 5-Year Note June Futures |
75 | 6/23 | 8,084,609 | 8,029,101 | 55,508 | |||||||||||||||
| U.S. Treasury 10-Year Note June Futures |
7 | 6/23 | 787,306 | 781,593 | 5,713 | |||||||||||||||
| U.S. Treasury Ultra Long Bond June Futures |
4 | 6/23 | 546,676 | 540,250 | 6,426 | |||||||||||||||
| U.S. Ultra Long Bond June Futures |
16 | 6/23 | 1,889,429 | 1,875,000 | 14,429 | |||||||||||||||
|
|
|
|||||||||||||||||||
| $ | 506,928 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
At February 28, 2023, Ultra-Short Term Fixed Income Fund had deposited cash of $779,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
At February 28, 2023, Ultra-Short Term Fixed Income Fund had open forward foreign currency contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value |
Settlement Date |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||||||||||
| Australian Dollar |
6,166,000 | USD | 4,282,997 | MLP | $ | 4,159,216 | 5/16/23 | $ | (123,781 | ) | ||||||||||||||||||
| British Pound |
371,000 | USD | 442,978 | MLP | 446,202 | 3/2/23 | 3,224 | |||||||||||||||||||||
| British Pound |
11,851,000 | USD | 14,195,128 | MLP | 14,253,190 | 3/2/23 | 58,062 | |||||||||||||||||||||
| Canadian Dollar |
4,061,000 | USD | 3,030,968 | HSBC | 2,976,073 | 3/2/23 | (54,895 | ) | ||||||||||||||||||||
| Canadian Dollar |
8,470,548 | USD | 6,241,957 | MLP | 6,207,576 | 3/2/23 | (34,381 | ) | ||||||||||||||||||||
| Euro |
12,833,000 | USD | 13,575,440 | HSBC | 13,572,181 | 3/2/23 | (3,259 | ) | ||||||||||||||||||||
| Mexican Peso |
7,165,911 | USD | 382,292 | BNP | 390,183 | 3/21/23 | 7,891 | |||||||||||||||||||||
| Mexican Peso |
7,371,000 | USD | 392,413 | DUB | 394,236 | 6/21/23 | 1,823 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| (145,316 | ) | |||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||||||||||
| Australian Dollar |
58,473,000 | USD | 40,486,425 | MLP | 39,442,398 | 5/16/23 | 1,044,027 | |||||||||||||||||||||
| British Pound |
12,222,000 | USD | 15,134,262 | BNP | 14,699,391 | 3/2/23 | 434,871 | |||||||||||||||||||||
| British Pound |
11,851,000 | USD | 14,203,791 | MLP | 14,262,281 | 4/4/23 | (58,490 | ) | ||||||||||||||||||||
| Canadian Dollar |
12,539,450 | USD | 9,405,734 | HSBC | 9,189,440 | 3/2/23 | 216,294 | |||||||||||||||||||||
| Canadian Dollar |
8,468,016 | USD | 6,241,957 | MLP | 6,207,700 | 4/4/23 | 34,257 | |||||||||||||||||||||
| Euro |
12,833,000 | USD | 13,962,214 | MLP | 13,572,182 | 3/2/23 | 390,032 | |||||||||||||||||||||
| Euro |
12,833,000 | USD | 13,602,236 | HSBC | 13,600,432 | 4/4/23 | 1,804 | |||||||||||||||||||||
| Mexican Peso |
7,126,000 | USD | 358,611 | MLP | 388,009 | 3/21/23 | (29,398 | ) | ||||||||||||||||||||
| Mexican Peso |
7,294,744 | USD | 382,292 | BNP | 390,158 | 6/21/23 | (7,866 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| 2,025,531 | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Net Unrealized Appreciation on Open Forward Foreign Currency Contracts |
$ | 1,880,215 | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
See Notes to Financial Statements.
269
| Schedules of Investments |
| (unaudited) (continued) |
| Ultra-Short Term Fixed Income Fund | ||||||
At February 28, 2023, Ultra-Short Term Fixed Income Fund held the following Centrally Cleared Credit Default Swap Contract:
Centrally Cleared — Credit Default Swaps on Index — Buy Protection (1)
| Reference Obligation & Ratings | Fixed Deal (Pay) Rate |
Maturity Date |
Payment Frequency |
Implied Credit Spread at 2/28/23 (2) |
Notional Amount (3) |
Market Value |
Upfront Payment (Received) |
Unrealized Depreciation |
||||||||||||||||||||||||
| Markit CDX North America Investment Grade Series 39 5-Year Index, NR |
(1.000)% | 12/20/27 | 3-Month | 0.758% | USD | 86,400,000 | $ | (1,046,968) | $ | (703,850) | $ | (343,118) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising the referenced index. |
| (2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as ‘‘Defaulted’’ indicates a credit event has occurred for the referenced entity or obligation. |
| (3) | The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
At February 28, 2023, Ultra-Short Term Fixed Income Fund deposited cash collateral with brokers in the amount of $1,401,000 for open centrally cleared swap contracts.
At February 28, 2023, Ultra-Short Term Fixed Income Fund had cash collateral from brokers in the amount of $1,650,000 for open OTC swap contracts.
| Currency Abbreviations used in this schedule: |
Counterparty Abbreviations used in this schedule: | |||||
| AUD | — Australian Dollar |
BNP |
— BNP Paribas SA | |||
| CAD | — Canadian Dollar |
DUB |
— Deutsche Bank AG | |||
| DKK | — Danish Krone |
HSBC |
— HSBC Bank USA | |||
| EUR | — Euro |
MLP |
— Merrill Lynch, Pierce, Fenner & Smith Inc. | |||
| GBP | — British Pound |
|||||
| JPY | — Japanese Yen |
|||||
| NZD | — New Zealand Dollar |
|||||
| USD | — United States Dollar |
|||||
See pages 272-273 for definitions of ratings.
See Notes to Financial Statements.
270
| Schedules of Investments |
| (unaudited) |
At February 28, 2023, for Alternative Strategies Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| Fund | Aggregate Cost For Federal Income Tax Purposes |
Gross Unrealized Appreciation |
Gross Unrealized (Depreciation) |
Net Unrealized (Depreciation) |
||||||||||||
| Alternative Strategies Fund |
$ | 154,935,944 | $ | 1,473,676 | $ | (6,450,001) | $ | (4,976,325) | ||||||||
| Summary of Investments by Security Type^ | ||||
| Open End Mutual Fund Securities |
100.0 | % | ||
|
|
|
|||
| ^ | As a percentage of total investments. |
See Notes to Financial Statements.
271
| Ratings |
| (unaudited) |
The definitions of the applicable rating symbols are set forth below:
Standard & Poor’s Ratings Service (“Standard & Poor’s”) — Ratings from “AA” to “CCC” may be modified by the addition of a plus (+) or minus (-) sign to show relative standings within the major rating categories.
| AAA | — Bonds rated “AAA” have the highest rating assigned by Standard & Poor’s. Capacity to pay interest and repay principal is extremely strong. | |
| AA | — Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree. | |
| A | — Bonds rated “A” have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories. | |
| BBB | — Bonds rated “BBB” are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories. | |
| BB, B, CCC, CC and C | — Bonds rated “BB”, “B”, “CCC”, “CC” and “C” are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. “BB” represents the lowest degree of speculation and “C” the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions. | |
| D | — Bonds rated “D” are in default and payment of interest and/or repayment of principal is in arrears. | |
| P | — Preliminary rating. | |
| u | — The upgrade state defines bonds that have recently been upgraded into higher rating categories. | |
Moody’s Investors Service (“Moody’s”) — Numerical modifiers 1, 2 and 3 may be applied to each generic rating from “Aa” to “Caa,” where 1 is the highest and 3 the lowest ranking within its generic category.
| Aaa | — Bonds rated “Aaa” are judged to be of the best quality. They carry the smallest degree of investment risk and are generally referred to as “gilt edge.” Interest payments are protected by a large or by an exceptionally stable margin and principal is secure. While the various protective elements are likely to change, such changes as can be visualized are most unlikely to impair the fundamentally strong position of such issues. | |
| Aa | — Bonds rated “Aa” are judged to be of high quality by all standards. Together with the “Aaa” group they comprise what are generally known as high grade bonds. They are rated lower than the best bonds because margins of protection may not be as large as in “Aaa” securities or fluctuation of protective elements may be of greater amplitude or there may be other elements present which make the long-term risks appear somewhat larger than in “Aaa” securities. | |
| A | — Bonds rated “A” possess many favorable investment attributes and are to be considered as upper medium grade obligations. Factors giving security to principal and interest are considered adequate but elements may be present which suggest a susceptibility to impairment some time in the future. | |
| Baa | — Bonds rated “Baa” are considered as medium grade obligations, i.e., they are neither highly protected nor poorly secured. Interest payments and principal security appear adequate for the present but certain protective elements may be lacking or may be characteristically unreliable over any great length of time. Such bonds lack outstanding investment characteristics and in fact have speculative characteristics as well. | |
| Ba | — Bonds rated “Ba” are judged to have speculative elements; their future cannot be considered as well assured. Often the protection of interest and principal payments may be very moderate and therefore not well safeguarded during both good and bad times over the future. Uncertainty of position characterizes bonds in this class. | |
| B | — Bonds rated “B” generally lack characteristics of desirable investments. Assurance of interest and principal payments or of maintenance of other terms of the contract over any long period of time may be small. | |
| Caa | — Bonds rated “Caa” are of poor standing. These may be in default, or present elements of danger may exist with respect to principal or interest. | |
| Ca | — Bonds rated “Ca” represent obligations which are speculative in a high degree. Such issues are often in default or have other marked short-comings. | |
| C | — Bonds rated “C” are the lowest class of bonds and issues so rated can be regarded as having extremely poor prospects of ever attaining any real investment standing. | |
| e | — Expected. | |
| u | — Upgraded. | |
Fitch Ratings Service (“Fitch”) — Ratings from “AA” to “CCC” may be modified by the addition of a plus (+) or minus (-) sign to show relative standings within the major rating categories.
| AAA | — Bonds rated “AAA” have the highest rating assigned by Fitch. Capacity to pay interest and repay principal is extremely strong. | |
| AAApre | — Stable Outlook rating is based on the pledge of securities in the escrow deposit fund securing the bonds and reflects the lien of the refunded bondholders on the escrow trust funds and that all amounts have been invested in direct non-callable obligations of the United States. | |
| AA | — Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree. | |
| A | — Bonds rated “A” have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories. | |
272
| Ratings |
| (unaudited) (continued) |
Short-Term Security Ratings
| SP-1 | — Standard & Poor’s highest rating indicating very strong or strong capacity to pay principal and interest; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign. | |
| A-1 | — Standard & Poor’s highest commercial paper and variable-rate demand obligation (VRDO) rating indicating that the degree of safety regarding timely payment is either overwhelming or very strong; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign. | |
| VMIG 1 | — Moody’s highest rating for issues having a demand feature — VRDO. | |
| MIG1 | — Moody’s highest rating for short-term municipal obligations. | |
| P-1 | — Moody’s highest rating for commercial paper and for VRDO prior to the advent of the VMIG 1 rating. | |
| F-1 | — Fitch’s highest rating indicating the strongest capacity for timely payment of financial commitments; those issues determined to possess overwhelming strong credit feature are denoted with a plus (+) sign. | |
| F-2 | — Fitch’s rating indicating a good capacity for timely payment of financial commitments. | |
273
| Statements of Assets and Liabilities |
| February 28, 2023 (unaudited) |
| Large Cap Equity Fund |
Small-Mid Cap Equity Fund |
International Equity Fund |
||||||||||||||
| ASSETS: | ||||||||||||||||
| Unaffiliated investments, at value1,3 |
$ | 1,702,812,537 | $ | 522,344,731 | $ | 1,209,577,752 | ||||||||||
| Affiliated investments, at value2 |
2,773,410 | — | — | |||||||||||||
| Foreign currency, at value4 |
73 | 44 | 225,820 | |||||||||||||
| Cash |
153,989 | 1,368,098 | 87,963 | |||||||||||||
| Receivable for securities sold |
413,953 | 1,013,704 | 2,363,119 | |||||||||||||
| Receivable for TBA securities sold |
— | — | — | |||||||||||||
| Dividends and interest receivable from unaffiliated investments |
2,310,048 | 554,694 | 7,591,384 | |||||||||||||
| Dividends and interest receivable from affiliated investments |
— | — | — | |||||||||||||
| Receivable for Fund shares sold |
1,650,335 | 465,229 | 1,078,179 | |||||||||||||
| Unrealized appreciation on open forward foreign currency contracts (Note 1) |
— | — | — | |||||||||||||
| Variation margin on open futures contracts (Note 1) |
— | — | — | |||||||||||||
| Variation margin on open centrally cleared swap contracts (Note 1) |
— | — | — | |||||||||||||
| Unrealized appreciation on open OTC swap contracts |
— | — | — | |||||||||||||
| Upfront payment paid on open OTC swap contracts |
— | — | — | |||||||||||||
| Deposits for collateral with counterparty |
650,984 | 122,996 | 100,246 | |||||||||||||
| Foreign capital gains tax receivable |
— | — | — | |||||||||||||
| Prepaid trustees expenses |
23,595 | 8,101 | 39,470 | |||||||||||||
| Prepaid expenses |
52,032 | 23,035 | 29,149 | |||||||||||||
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
1,710,840,956 | 525,900,632 | 1,221,093,082 | |||||||||||||
|
|
|
|
|
|
|
|||||||||||
| LIABILITIES: | ||||||||||||||||
| Reverse repurchase agreements, at value7 |
— | — | — | |||||||||||||
| Payable for collateral received from securities on loan |
6,576,238 | 15,489,693 | 19,305,518 | |||||||||||||
| Payable for Fund shares repurchased |
929,914 | 279,277 | 617,608 | |||||||||||||
| Payable for securities purchased |
280,605 | 712,983 | 3,176,698 | |||||||||||||
| Payable for TBA securities purchased |
— | — | — | |||||||||||||
| Investment management fee payable |
498,167 | 181,858 | 494,557 | |||||||||||||
| Transfer agent fees payable |
34,557 | 10,990 | 30,927 | |||||||||||||
| Interest expense payable |
— | — | — | |||||||||||||
| Custody fee payable |
15,092 | 10,004 | 74,001 | |||||||||||||
| Trustees’ fees payable |
— | — | — | |||||||||||||
| Variation margin on open futures contracts (Note 1) |
36,895 | 1,460 | 3,860 | |||||||||||||
| Variation margin on open centrally cleared swap contracts (Note 1) |
— | — | — | |||||||||||||
| Forward sale commitments, at value (proceeds received )5 (Note 1) |
— | — | — | |||||||||||||
| Options contracts written, at value6 (Note 1) |
— | — | — | |||||||||||||
| Unrealized depreciation on open OTC swap contracts |
— | — | — | |||||||||||||
| Upfront payment received on open OTC swap contracts |
— | — | — | |||||||||||||
| Unrealized depreciation on unfunded loan commitments |
— | — | — | |||||||||||||
| Unrealized depreciation on open forward foreign currency contracts (Note 1) |
— | — | — | |||||||||||||
| Deposits for collateral from counterparty |
— | — | — | |||||||||||||
| Foreign capital gains tax payable |
— | — | — | |||||||||||||
| Distributions payable |
— | — | — | |||||||||||||
| Audit fees payable |
— | — | — | |||||||||||||
| Accrued expenses |
141,053 | 102,213 | 393,751 | |||||||||||||
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
8,512,521 | 16,788,478 | 24,096,920 | |||||||||||||
|
|
|
|
|
|
|
|||||||||||
| Total Net Assets | $ | 1,702,328,435 | $ | 509,112,154 | $ | 1,196,996,162 | ||||||||||
|
|
|
|
|
|
|
|||||||||||
| NET ASSETS: | ||||||||||||||||
| Paid-in-capital (Note 4) |
$ | 1,052,565,899 | $ | 411,287,403 | $ | 1,101,044,945 | ||||||||||
| Total distributable earnings (losses) |
649,762,536 | 97,824,751 | 95,951,217 | |||||||||||||
|
|
|
|
|
|
|
|||||||||||
| Total Net Assets | $ | 1,702,328,435 | $ | 509,112,154 | $ | 1,196,996,162 | ||||||||||
|
|
|
|
|
|
|
|||||||||||
| Shares Outstanding | 87,084,644 | 32,506,495 | 97,583,845 | |||||||||||||
|
|
|
|
|
|
|
|||||||||||
| Net Asset Value | $ | 19.55 | $ | 15.66 | $ | 12.27 | ||||||||||
|
|
|
|
|
|
|
|||||||||||
| 1 Unaffiliated investments, at cost | $ | 1,045,333,490 | $ | 405,505,691 | $ | 1,052,927,019 | ||||||||||
|
|
|
|
|
|
|
|||||||||||
| 2 Affiliated investments, at cost | $ | 728,168 | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|||||||||||
| 3 Includes securities on loan | $ | 6,469,508 | $ | 15,163,724 | $ | 26,088,500 | ||||||||||
|
|
|
|
|
|
|
|||||||||||
| 4 Foreign currency, at cost | $ | 820 | $ | 610 | $ | 248,944 | ||||||||||
|
|
|
|
|
|
|
|||||||||||
| 5 Proceeds received | $ | — | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|||||||||||
| 6 Premiums received | $ | — | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|||||||||||
| 7 Proceeds of reverse repurchase agreement | $ | — | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|||||||||||
See Notes to Financial Statements.
274
| Emerging Markets Equity Fund |
Core Fixed Income Fund |
High Yield Fund |
International Fixed Income Fund |
Municipal Bond Fund |
Inflation- Linked Fixed Income Fund |
Ultra-Short Term Fixed Income Fund |
Alternative Strategies Fund |
|||||||||||||||||||||||||||
| $ | 484,108,524 | $ | 1,658,168,631 | $ | 109,636,060 | $ | 188,498,437 | $ | 92,005,104 | $ | 128,132,939 | $ | 457,024,619 | $ | 149,959,619 | |||||||||||||||||||
| — | 975,374 | — | — | — | — | 406,882 | — | |||||||||||||||||||||||||||
| 869,437 | 840,906 | — | 43,109 | — | 319,313 | 1,240 | — | |||||||||||||||||||||||||||
| 34,404 | 187,409 | 11,946 | 76,251 | 10,950 | 1,009,750 | 10,705 | 987,148 | |||||||||||||||||||||||||||
| 829,660 | 15,511,012 | 510,508 | 2,925,677 | — | 109,145 | 9,095,617 | — | |||||||||||||||||||||||||||
| — | 35,020,808 | — | 43,843,737 | — | 3,071,824 | — | — | |||||||||||||||||||||||||||
| 1,230,438 | 9,522,911 | 1,816,082 | 649,878 | 857,603 | 196,374 | 2,441,535 | 1,127,721 | |||||||||||||||||||||||||||
| — | 3,079 | — | — | — | — | 129 | — | |||||||||||||||||||||||||||
| 603,594 | 1,398,515 | 103,800 | 139,752 | 43,702 | 102,292 | 307,679 | 361,096 | |||||||||||||||||||||||||||
| — | 147,852 | — | 4,301,164 | — | 424,276 | 2,192,285 | — | |||||||||||||||||||||||||||
| — | — | — | — | 2,383 | 56,133 | 11,110 | — | |||||||||||||||||||||||||||
| — | — | — | — | — | 76,413 | 230,461 | — | |||||||||||||||||||||||||||
| — | — | — | 335,197 | — | — | — | — | |||||||||||||||||||||||||||
| — | — | — | 75,840 | — | — | — | — | |||||||||||||||||||||||||||
| 20,994 | 9,305,774 | — | 3,005,000 | 252,000 | 1,190,000 | 2,180,000 | — | |||||||||||||||||||||||||||
| 60,374 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
| 3,463 | 56,322 | — | 3,473 | 6,230 | — | — | 10,007 | |||||||||||||||||||||||||||
| 6,991 | 50,298 | 42,951 | 13,271 | 11,824 | 48,808 | 22,256 | 2,845 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| 487,767,879 | 1,731,188,891 | 112,121,347 | 243,910,786 | 93,189,796 | 134,737,267 | 473,924,518 | 152,448,436 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| — | — | — | — | — | 28,486,503 | 37,973,478 | — | |||||||||||||||||||||||||||
| 1,169,429 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
| 206,188 | 4,624,122 | 426,915 | 83,848 | 219,552 | 31,334 | 212,097 | 149,289 | |||||||||||||||||||||||||||
| 1,050,273 | 26,497,878 | 907,760 | 2,669,227 | — | 520,776 | 54,580,493 | 1,086,021 | |||||||||||||||||||||||||||
| — | 189,310,127 | — | 50,687,865 | — | 6,232,559 | — | — | |||||||||||||||||||||||||||
| 221,123 | 436,862 | 42,470 | 58,500 | 28,300 | 34,074 | 129,510 | 23,179 | |||||||||||||||||||||||||||
| 14,249 | 36,709 | 3,662 | 3,082 | 2,253 | 3,052 | 15,552 | 2,544 | |||||||||||||||||||||||||||
| — | — | — | 4,507 | — | 39,052 | 123,501 | — | |||||||||||||||||||||||||||
| 95,009 | 185,237 | 33,682 | 64,823 | 18,456 | 31,260 | 42,996 | 21,659 | |||||||||||||||||||||||||||
| — | — | 13,416 | — | — | 3,915 | — | — | |||||||||||||||||||||||||||
| 3,960 | 3,195,868 | — | 132,403 | — | — | — | — | |||||||||||||||||||||||||||
| — | 142,620 | — | 3,195 | — | — | — | — | |||||||||||||||||||||||||||
| — | — | — | 15,928,508 | — | — | — | — | |||||||||||||||||||||||||||
| — | 849,295 | — | 435,230 | — | 399,516 | — | — | |||||||||||||||||||||||||||
| — | — | — | 42,236 | — | — | — | — | |||||||||||||||||||||||||||
| — | — | — | 87,882 | — | — | — | — | |||||||||||||||||||||||||||
| — | 4,423 | — | — | — | — | — | — | |||||||||||||||||||||||||||
| — | 806,794 | — | 756,983 | — | 41,600 | 312,070 | — | |||||||||||||||||||||||||||
| — | — | — | 3,156,000 | — | 270,000 | 1,650,000 | — | |||||||||||||||||||||||||||
| 1,112,914 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
| — | 189 | — | — | — | 18 | — | — | |||||||||||||||||||||||||||
| — | — | 106,867 | — | 68,581 | — | — | — | |||||||||||||||||||||||||||
| 329,821 | 262,898 | 127,181 | 92,131 | 14,685 | 286,736 | 273,314 | 168,715 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| 4,202,966 | 226,353,022 | 1,661,953 | 74,206,420 | 351,827 | 36,380,395 | 95,313,011 | 1,451,407 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 483,564,913 | $ | 1,504,835,869 | $ | 110,459,394 | $ | 169,704,366 | $ | 92,837,969 | $ | 98,356,872 | $ | 378,611,507 | $ | 150,997,029 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 513,831,858 | $ | 1,760,766,084 | $ | 139,422,826 | $ | 207,274,293 | $ | 99,251,128 | $ | 117,126,361 | $ | 411,297,058 | $ | 155,513,094 | |||||||||||||||||||
| (30,266,945 | ) | (255,930,215 | ) | (28,963,432 | ) | (37,569,927 | ) | (6,413,159 | ) | (18,769,489 | ) | (32,685,551 | ) | (4,516,065 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|||||||||||||||||||
| $ | 483,564,913 | $ | 1,504,835,869 | $ | 110,459,394 | $ | 169,704,366 | $ | 92,837,969 | $ | 98,356,872 | $ | 378,611,507 | $ | 150,997,029 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| 39,454,093 | 220,844,151 | 35,556,811 | 27,071,361 | 10,927,297 | 12,158,591 | 40,434,707 | 14,874,036 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 12.26 | $ | 6.81 | $ | 3.11 | $ | 6.27 | $ | 8.50 | $ | 8.09 | $ | 9.36 | $ | 10.15 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 489,674,069 | $ | 1,842,420,331 | $ | 121,854,984 | $ | 211,233,784 | $ | 95,215,685 | $ | 140,588,742 | $ | 471,852,332 | $ | 154,935,944 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | — | $ | 1,056,385 | $ | — | $ | — | $ | — | $ | — | $ | 420,719 | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 1,405,047 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 869,619 | $ | 928,962 | $ | — | $ | 215,317 | $ | — | $ | 604,327 | $ | 8,283 | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | — | $ | — | $ | — | $ | 15,962,842 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|||||||||||||||||||
| $ | — | $ | 592,501 | $ | — | $ | 159,050 | $ | — | $ | 70,560 | $ | — | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
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|
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|
|
|
|||||||||||||||||||
| $ | — | $ | — | $ | — | $ | — | $ | — | $ | 28,486,503 | $ | 37,973,478 | $ | — | |||||||||||||||||||
|
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|||||||||||||||||||
See Notes to Financial Statements.
275
| Statements of Operations |
| For the Six Months Ended February 28, 2023 (unaudited) |
| Large Cap Equity Fund |
Small-Mid Cap Equity Fund |
International Equity Fund |
||||||||||||||
| INVESTMENT INCOME: | ||||||||||||||||
| Dividends from unaffiliated investments |
$ | 12,320,680 | $ | 3,642,988 | $ | 9,092,691 | ||||||||||
| Dividends from affiliated investments |
46,177 | — | — | |||||||||||||
| Interest from unaffiliated investments |
784,272 | 235,513 | 480,517 | |||||||||||||
| Interest from affiliated investments |
— | — | — | |||||||||||||
| Income from securities lending |
50,473 | 125,151 | 87,284 | |||||||||||||
| Less: Foreign taxes withheld (see Note 1s) |
(22,035 | ) | (2,445 | ) | (767,970 | ) | ||||||||||
| Miscellaneous income |
— | — | 2,086 | |||||||||||||
|
|
|
|
|
|
|
|||||||||||
| Total Investment Income |
13,179,567 | 4,001,207 | 8,894,608 | |||||||||||||
|
|
|
|
|
|
|
|||||||||||
| EXPENSES: | ||||||||||||||||
| Investment management fee (Note 2) |
4,932,120 | 2,033,131 | 4,005,122 | |||||||||||||
| Transfer agent fees |
110,958 | 35,325 | 72,631 | |||||||||||||
| Custody fees |
213,547 | 92,262 | 365,184 | |||||||||||||
| Trustees’ fees |
163,625 | 50,163 | 136,006 | |||||||||||||
| Shareholder reports |
102,089 | 74,735 | 75,626 | |||||||||||||
| Insurance |
37,396 | 10,661 | 24,655 | |||||||||||||
| Audit and tax |
43,219 | 43,803 | 76,930 | |||||||||||||
| Legal fees |
63,605 | 17,015 | 45,608 | |||||||||||||
| Registration fees |
15,682 | 13,673 | 19,629 | |||||||||||||
| Other expense |
56,547 | 18,621 | 48,993 | |||||||||||||
| Interest expense |
— | — | — | |||||||||||||
|
|
|
|
|
|
|
|||||||||||
| Total Expenses |
5,738,788 | 2,389,389 | 4,870,384 | |||||||||||||
| Less: Fee waivers and/or expense reimbursement (Note 2) |
(1,701,411 | ) | (865,188 | ) | (978,254 | ) | ||||||||||
|
|
|
|
|
|
|
|||||||||||
| Net Expenses |
4,037,377 | 1,524,201 | 3,892,130 | |||||||||||||
|
|
|
|
|
|
|
|||||||||||
| Net Investment Income (Loss) |
$ | 9,142,190 | $ | 2,477,006 | $ | 5,002,478 | ||||||||||
|
|
|
|
|
|
|
|||||||||||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS CONTRACTS WRITTEN, UNFUNDED LOAN COMMITMENTS, SHORT SALES, FORWARD SALE COMMITMENTS, SWAP CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS, FOREIGN CURRENCY TRANSLATIONS AND CAPITAL GAIN DISTRIBUTIONS RECEIVED (NOTES 1 AND 3): | ||||||||||||||||
| Net Realized Gain (Loss) from: |
||||||||||||||||
| Unaffiliated investments |
$ | 653,803 | $ | (9,306,382 | ) | $ | (24,537,247 | ) | ||||||||
| Affiliated investments |
155,385 | — | — | |||||||||||||
| Futures contracts |
55,819 | (17,728 | ) | 103,468 | ||||||||||||
| Options contracts written |
— | — | — | |||||||||||||
| Forward sale commitments |
— | — | — | |||||||||||||
| Short sales |
— | — | — | |||||||||||||
| Swap contracts |
— | — | — | |||||||||||||
| Forward foreign currency contracts |
— | — | — | |||||||||||||
| Foreign currency translations |
— | (8 | ) | (171,930 | ) | |||||||||||
| Capital gain distributions received |
— | — | — | |||||||||||||
|
|
|
|
|
|
|
|||||||||||
| Net Realized Gain (Loss): |
865,007 | (9,324,118 | ) | (24,605,709 | ) | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| Change in Net Unrealized Appreciation (Depreciation) from: |
||||||||||||||||
| Unaffiliated investments |
27,073,800 | 30,695,212 | 184,071,476 | |||||||||||||
| Affiliated investments |
169,768 | — | — | |||||||||||||
| Futures contracts |
(68,936 | ) | 68,081 | 14,822 | ||||||||||||
| Options contracts written |
— | — | — | |||||||||||||
| Forward sale commitments |
— | — | — | |||||||||||||
| Swap contracts |
— | — | — | |||||||||||||
| Unfunded loan commitments |
— | — | — | |||||||||||||
| Forward foreign currency contracts |
— | — | — | |||||||||||||
| Foreign currency translations |
(667 | ) | (578 | ) | 407,633 | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| Change in Net Unrealized Appreciation (Depreciation): |
27,173,965 | 30,762,715 | 184,493,931 | |||||||||||||
|
|
|
|
|
|
|
|||||||||||
| Net Gain (Loss) on Investments, Futures Contracts, Options Contracts Written, Unfunded Loan Commitments, Forward Sale Commitments, Short Sales, Swap Contracts, Forward Foreign Currency Contracts, Foreign Currency Translations and Capital Gain Distributions Received |
28,038,972 | 21,438,597 | 159,888,222 | |||||||||||||
|
|
|
|
|
|
|
|||||||||||
| Total Increase (Decrease) in Net Assets from Operations |
$ | 37,181,162 | $ | 23,915,603 | $ | 164,890,700 | ||||||||||
|
|
|
|
|
|
|
|||||||||||
| (a) | Includes net decrease in accrued foreign capital gains taxes of $(460,909) for Emerging Markets Equity Fund. |
See Notes to Financial Statements.
276
| Emerging Markets Equity Fund |
Core Fixed Income Fund |
High Yield Fund |
International Fixed Income Fund |
Municipal Bond Fund |
Inflation- Linked Fixed Income Fund |
Ultra-Short Term Fixed Income Fund |
Alternative Strategies Fund |
|||||||||||||||||||||||||||
| $ | 3,771,537 | $ | — | $ | 29,254 | $ | — | $ | 16,187 | $ | — | $ | — | $ | 6,462,823 | |||||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
| 186,576 | 63,306,091 | 3,957,996 | 2,401,544 | 1,438,376 | 622,158 | 7,645,545 | — | |||||||||||||||||||||||||||
| — | 18,476 | — | — | — | — | 9,304 | — | |||||||||||||||||||||||||||
| 8,088 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
| (500,428 | ) | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
| — | 8,539 | — | — | — | 1,959 | — | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|||||||||||||||||||
| 3,465,773 | 63,333,106 | 3,987,250 | 2,401,544 | 1,454,563 | 624,117 | 7,654,849 | 6,462,823 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|||||||||||||||||||
| 2,102,956 | 2,750,769 | 380,318 | 414,812 | 168,497 | 242,516 | 1,106,283 | 881,701 | |||||||||||||||||||||||||||
| 27,289 | 84,202 | 7,078 | 11,370 | 5,377 | 6,080 | 30,107 | 10,406 | |||||||||||||||||||||||||||
| 252,909 | 569,961 | 99,318 | 215,912 | 63,928 | 93,688 | 123,013 | 62,027 | |||||||||||||||||||||||||||
| 64,257 | 116,874 | 18,049 | 16,354 | 6,960 | 11,521 | 69,171 | 15,308 | |||||||||||||||||||||||||||
| 93,226 | 33,344 | 39,627 | 36,542 | 4,011 | 24,336 | 32,609 | 12,671 | |||||||||||||||||||||||||||
| 9,702 | 41,853 | 3,183 | 3,193 | 1,938 | 28,058 | 22,936 | 2,682 | |||||||||||||||||||||||||||
| 77,986 | 82,513 | 61,160 | 70,492 | 53,331 | 73,945 | 64,612 | 39,034 | |||||||||||||||||||||||||||
| 18,559 | 64,948 | 7,384 | 5,034 | 4,047 | 6,138 | 21,956 | 4,541 | |||||||||||||||||||||||||||
| 20,563 | 15,172 | 17,577 | 10,477 | 14,384 | 21,360 | 23,176 | 44,842 | |||||||||||||||||||||||||||
| 17,635 | 46,831 | 4,626 | 20,028 | 3,320 | 107,424 | 10,506 | 20,084 | |||||||||||||||||||||||||||
| — | — | — | — | — | 587,777 | 399,534 | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
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|
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|
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|
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|
|
|
|||||||||||||||||||
| 2,685,082 | 3,806,467 | 638,320 | 804,214 | 325,793 | 1,202,843 | 1,903,903 | 1,093,296 | |||||||||||||||||||||||||||
| (775,029 | ) | (176,434 | ) | (110,024 | ) | (43,125 | ) | — | (25,687 | ) | (113,308 | ) | (734,751 | ) | ||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| 1,910,053 | 3,630,033 | 528,296 | 761,089 | 325,793 | 1,177,156 | 1,790,595 | 358,545 | |||||||||||||||||||||||||||
|
|
|
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|
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|
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|
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|
|
|||||||||||||||||||
| $ | 1,555,720 | $ | 59,703,073 | $ | 3,458,954 | $ | 1,640,455 | $ | 1,128,770 | $ | (553,039 | ) | $ | 5,864,254 | $ | 6,104,278 | ||||||||||||||||||
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|
|||||||||||||||||||
| |
|
|
||||||||||||||||||||||||||||||||
| $ | (4,228,738 | ) | $ | (34,579,180 | ) | $ | (2,123,627 | ) | $ | (3,815,960 | ) | $ | (1,963,137 | ) | $ | (1,265,388 | ) | $ | (5,797,017 | ) | $ | (2,259,156 | ) | |||||||||||
| — | — | — | — | — | — | 60 | — | |||||||||||||||||||||||||||
| (4,464 | ) | (12,005,952 | ) | — | 253,836 | 244,726 | 430,054 | 3,527,284 | — | |||||||||||||||||||||||||
| — | 2,485,467 | — | 166,181 | — | 143,467 | — | — | |||||||||||||||||||||||||||
| — | — | — | 1,086,805 | — | — | — | — | |||||||||||||||||||||||||||
| — | — | — | — | — | 2,509 | 3,313 | — | |||||||||||||||||||||||||||
| — | 110,945 | — | 505,245 | — | (751,896 | ) | (29,001 | ) | — | |||||||||||||||||||||||||
| — | (671,859 | ) | — | (1,141,070 | ) | — | (765,235 | ) | 68,624 | — | ||||||||||||||||||||||||
| (41,231 | ) | 195,966 | — | 550,412 | — | 296,966 | 680,748 | — | ||||||||||||||||||||||||||
| — | — | — | — | — | — | — | 1,890,741 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|||||||||||||||||||
| (4,274,433 | ) | (44,464,613 | ) | (2,123,627 | ) | (2,394,551 | ) | (1,718,411 | ) | (1,909,523 | ) | (1,545,989 | ) | (368,415 | ) | |||||||||||||||||||
|
|
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|
|
|
|
|
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|
|
|
|
|
|
|||||||||||||||||||
| 6,255,752 | (a) | (56,134,210 | ) | 779,956 | (53,664 | ) | 741,254 | (3,702,443 | ) | 6,877,487 | (3,932,269 | ) | ||||||||||||||||||||||
| — | (8,619 | ) | — | — | — | — | 2,080 | — | ||||||||||||||||||||||||||
| 3,861 | 922,442 | — | (406,146 | ) | 45,846 | 393,138 | 106,717 | — | ||||||||||||||||||||||||||
| — | 1,039,249 | — | 184,303 | — | 494,662 | — | — | |||||||||||||||||||||||||||
| — | — | — | (427,064 | ) | — | — | — | — | ||||||||||||||||||||||||||
| — | 1,999,550 | — | (2,934,916 | ) | — | 534,540 | (1,140,960 | ) | — | |||||||||||||||||||||||||
| — | (1,581 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||||
| — | (430,786 | ) | — | 287,871 | — | (67,584 | ) | (765,866 | ) | — | ||||||||||||||||||||||||
| (21,260 | ) | (47,492 | ) | — | 416,390 | — | (80,271 | ) | (131,707 | ) | — | |||||||||||||||||||||||
|
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|
|
|
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|
|
|
|
|
|||||||||||||||||||
| 6,238,353 | (52,661,447 | ) | 779,956 | (2,933,226 | ) | 787,100 | (2,427,958 | ) | 4,947,751 | (3,932,269 | ) | |||||||||||||||||||||||
|
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|
|||||||||||||||||||
|
|
1,963,920 |
|
(97,126,060 | ) | (1,343,671 | ) | (5,327,777 | ) | (931,311 | ) | (4,337,481 | ) | 3,401,762 | (4,300,684 | ) | |||||||||||||||||||
|
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|
|||||||||||||||||||
| $ | 3,519,640 | $ | (37,422,987 | ) | $ | 2,115,283 | $ | (3,687,322 | ) | $ | 197,459 | $ | (4,890,520 | ) | $ | 9,266,016 | $ | 1,803,594 | ||||||||||||||||
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|||||||||||||||||||
See Notes to Financial Statements.
277
| Statements of Changes in Net Assets |
| For the Six Months Ended February 28, 2023 (unaudited) and Year Ended August 31, 2022 | ||
| Large Cap Equity Fund |
Small-Mid Cap Equity Fund |
|||||||||||||||||||
| 2023 | 2022 | 2023 | 2022 | |||||||||||||||||
| OPERATIONS: | ||||||||||||||||||||
| Net investment income (loss) |
$ | 9,142,190 | $ | 15,594,335 | $ | 2,477,006 | $ | 3,736,593 | ||||||||||||
| Net realized gain (loss) |
865,007 | 172,087,177 | (9,324,118 | ) | 62,024,679 | |||||||||||||||
| Change in unrealized appreciation (depreciation) |
27,173,965 | (500,847,239 | ) | 30,762,715 | (166,489,650 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Increase (Decrease) in Net Assets from Operations |
37,181,162 | (313,165,727 | ) | 23,915,603 | (100,728,378 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1): | ||||||||||||||||||||
| Distributable earnings |
(142,132,555 | ) | (218,376,686 | ) | (53,167,528 | ) | (122,000,592 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Decrease in Net Assets from Distributions to Shareholders |
(142,132,555 | ) | (218,376,686 | ) | (53,167,528 | ) | (122,000,592 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||||||||||||||
| Net proceeds from sale of shares |
240,572,722 | 486,481,852 | 68,567,146 | 233,183,806 | ||||||||||||||||
| Reinvestment of distributions |
142,130,329 | 218,373,626 | 53,166,875 | 121,999,032 | ||||||||||||||||
| Cost of shares repurchased |
(260,279,543 | ) | (663,173,550 | ) | (124,921,868 | ) | (268,172,019 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Increase (Decrease) in Net Assets from Fund Share Transactions |
122,423,508 | 41,681,928 | (3,187,847 | ) | 87,010,819 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Increase (Decrease) in Net Assets |
17,472,115 | (489,860,485 | ) | (32,439,772 | ) | (135,718,151 | ) | |||||||||||||
| NET ASSETS: | ||||||||||||||||||||
| Beginning of period |
1,684,856,320 | 2,174,716,805 | 541,551,926 | 677,270,077 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| End of period |
$ | 1,702,328,435 | $ | 1,684,856,320 | $ | 509,112,154 | $ | 541,551,926 | ||||||||||||
|
|
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|
|
|
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|
|||||||||||||
See Notes to Financial Statements.
278
| International Equity Fund |
Emerging Markets Equity Fund |
Core Fixed Income Fund |
High Yield Fund |
|||||||||||||||||||||||||||||||
| 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||||||||||
| $ | 5,002,478 | $ | 26,807,091 | $ | 1,555,720 | $ | 11,007,603 | $ | 59,703,073 | $ | 24,979,012 | $ | 3,458,954 | $ | 7,803,299 | |||||||||||||||||||
| (24,605,709 | ) | 48,710,814 | (4,274,433 | ) | (7,618,582 | ) | (44,464,613 | ) | (55,680,835 | ) | (2,123,627 | ) | (4,354,537 | ) | ||||||||||||||||||||
| 184,493,931 | (389,470,051 | ) | 6,238,353 | (160,760,326 | ) | (52,661,447 | ) | (156,801,805 | ) | 779,956 | (20,402,345 | ) | ||||||||||||||||||||||
|
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|
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|
|||||||||||||||||||
| 164,890,700 | (313,952,146 | ) | 3,519,640 | (157,371,305 | ) | (37,422,987 | ) | (187,503,628 | ) | 2,115,283 | (16,953,583 | ) | ||||||||||||||||||||||
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|
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|
|||||||||||||||||||
| (57,788,263 | ) | (119,339,071 | ) | (8,935,779 | ) | (22,917,354 | ) | (24,921,550 | ) | (36,006,413 | ) | (3,467,633 | ) | (8,225,582 | ) | |||||||||||||||||||
|
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|
|||||||||||||||||||
| (57,788,263 | ) | (119,339,071 | ) | (8,935,779 | ) | (22,917,354 | ) | (24,921,550 | ) | (36,006,413 | ) | (3,467,633 | ) | (8,225,582 | ) | |||||||||||||||||||
|
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|
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|
|
|
|
|
|||||||||||||||||||
| 106,631,597 | 416,349,552 | 53,693,625 | 201,338,210 | 349,352,175 | 521,340,855 | 10,833,146 | 36,057,337 | |||||||||||||||||||||||||||
| 57,786,251 | 119,336,497 | 8,935,359 | 22,916,953 | 24,920,773 | 36,008,324 | 3,467,433 | 8,226,664 | |||||||||||||||||||||||||||
| (222,540,527 | ) | (412,033,900 | ) | (54,701,042 | ) | (125,860,875 | ) | (158,934,139 | ) | (293,194,927 | ) | (14,990,670 | ) | (119,695,578 | ) | |||||||||||||||||||
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|||||||||||||||||||
|
|
(58,122,679 |
) |
123,652,149 | 7,927,942 | 98,394,288 | 215,338,809 | 264,154,252 | (690,091 | ) | (75,411,577 | ) | |||||||||||||||||||||||
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|
|||||||||||||||||||
| 48,979,758 | (309,639,068 | ) | 2,511,803 | (81,894,371 | ) | 152,994,272 | 40,644,211 | (2,042,441 | ) | (100,590,742 | ) | |||||||||||||||||||||||
| 1,148,016,404 | 1,457,655,472 | 481,053,110 | 562,947,481 | 1,351,841,597 | 1,311,197,386 | 112,501,835 | 213,092,577 | |||||||||||||||||||||||||||
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|||||||||||||||||||
| $ | 1,196,996,162 | $ | 1,148,016,404 | $ | 483,564,913 | $ | 481,053,110 | $ | 1,504,835,869 | $ | 1,351,841,597 | $ | 110,459,394 | $ | 112,501,835 | |||||||||||||||||||
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|||||||||||||||||||
See Notes to Financial Statements.
279
| Statements of Changes in Net Assets |
| For the Six Months Ended February 28, 2023 (unaudited) and Year Ended August 31, 2022 | ||
| International Fixed Income Fund |
||||||||||||
| 2023 | 2022 | |||||||||||
| OPERATIONS: | ||||||||||||
| Net investment income (loss) |
$ | 1,640,455 | $ | 1,618,829 | ||||||||
| Net realized gain (loss) |
(2,394,551 | ) | 3,125,431 | |||||||||
| Change in unrealized appreciation (depreciation) |
(2,933,226 | ) | (25,731,163 | ) | ||||||||
|
|
|
|
|
|||||||||
| Increase (Decrease) in Net Assets from Operations |
(3,687,322 | ) | (20,986,903 | ) | ||||||||
|
|
|
|
|
|||||||||
| DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1): | ||||||||||||
| Distributable earnings |
(14,058,663 | ) | (4,340,961 | ) | ||||||||
|
|
|
|
|
|||||||||
| Decrease in Net Assets from Distributions to Shareholders |
(14,058,663 | ) | (4,340,961 | ) | ||||||||
|
|
|
|
|
|||||||||
| FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||||||
| Net proceeds from sale of shares |
31,971,008 | 78,272,934 | ||||||||||
| Reinvestment of distributions |
14,057,777 | 4,340,926 | ||||||||||
| Cost of shares repurchased |
(30,003,802 | ) | (41,589,279 | ) | ||||||||
|
|
|
|
|
|||||||||
| Increase (Decrease) in Net Assets from Fund Share Transactions |
16,024,983 | 41,024,581 | ||||||||||
|
|
|
|
|
|||||||||
| Increase (Decrease) in Net Assets |
(1,721,002 | ) | 15,696,717 | |||||||||
| NET ASSETS: | ||||||||||||
| Beginning of period |
171,425,368 | 155,728,651 | ||||||||||
|
|
|
|
|
|||||||||
| End of period |
$ | 169,704,366 | $ | 171,425,368 | ||||||||
|
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|
|
|
|||||||||
See Notes to Financial Statements.
280
| Municipal Bond Fund |
Inflation-Linked Fixed Income Fund |
Ultra-Short Term Fixed Income Fund |
Alternative Strategies Fund |
|||||||||||||||||||||||||||||||
| 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||||||||||
| $ | 1,128,770 | $ | 1,844,394 | $ | (553,039 | ) | $ | 10,838,492 | $ | 5,864,254 | $ | 4,251,886 | $ | 6,104,278 | $ | 2,532,703 | ||||||||||||||||||
| (1,718,411 | ) | (1,920,018 | ) | (1,909,523 | ) | 6,584,440 | (1,545,989 | ) | 10,934,287 | (368,415 | ) | 1,655,063 | ||||||||||||||||||||||
| 787,100 | (8,616,294 | ) | (2,427,958 | ) | (25,115,356 | ) | 4,947,751 | (20,741,772 | ) | (3,932,269 | ) | (7,019,402 | ) | |||||||||||||||||||||
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|||||||||||||||||||
| 197,459 | (8,691,918 | ) | (4,890,520 | ) | (7,692,424 | ) | 9,266,016 | (5,555,599 | ) | 1,803,594 | (2,831,636 | ) | ||||||||||||||||||||||
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|||||||||||||||||||
| (1,116,693 | ) | (2,081,496 | ) | (7,395,101 | ) | (16,180,465 | ) | (22,018,011 | ) | (6,020,068 | ) | (9,351,880 | ) | (926,844 | ) | |||||||||||||||||||
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|||||||||||||||||||
| (1,116,693 | ) | (2,081,496 | ) | (7,395,101 | ) | (16,180,465 | ) | (22,018,011 | ) | (6,020,068 | ) | (9,351,880 | ) | (926,844 | ) | |||||||||||||||||||
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|
|||||||||||||||||||
| 28,988,341 | 30,931,405 | 15,844,354 | 27,701,819 | 44,711,001 | 264,301,424 | 30,530,455 | 69,749,277 | |||||||||||||||||||||||||||
| 1,116,692 | 2,082,092 | 7,394,879 | 16,181,288 | 22,016,351 | 6,020,038 | 9,351,880 | 926,844 | |||||||||||||||||||||||||||
| (23,298,329 | ) | (27,058,631 | ) | (14,863,227 | ) | (66,020,546 | ) | (181,150,779 | ) | (194,914,743 | ) | (28,101,483 | ) | (39,018,518 | ) | |||||||||||||||||||
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|
|||||||||||||||||||
| 6,806,704 | 5,954,866 | 8,376,006 | (22,137,439 | ) | (114,423,427 | ) | 75,406,719 | 11,780,852 | 31,657,603 | |||||||||||||||||||||||||
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|
|||||||||||||||||||
| 5,887,470 | (4,818,548 | ) | (3,909,615 | ) | (46,010,328 | ) | (127,175,422 | ) | 63,831,052 | 4,232,566 | 27,899,123 | |||||||||||||||||||||||
| 86,950,499 | 91,769,047 | 102,266,487 | 148,276,815 | 505,786,929 | 441,955,877 | 146,764,463 | 118,865,340 | |||||||||||||||||||||||||||
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|||||||||||||||||||
| $ | 92,837,969 | $ | 86,950,499 | $ | 98,356,872 | $ | 102,266,487 | $ | 378,611,507 | $ | 505,786,929 | $ | 150,997,029 | $ | 146,764,463 | |||||||||||||||||||
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|
|
|||||||||||||||||||
See Notes to Financial Statements.
281
| Statements of Cash Flows |
| For the Period Ended February 28, 2023 (unaudited) |
| International Fixed Income Fund |
Inflation-Linked Fixed Income Fund |
|||||||
| Cash Flows Provided by/Used in Operating Activities: |
||||||||
| Net decrease in net assets resulting from operations |
$ | (3,687,322 | ) | $ | (4,890,520 | ) | ||
| Adjustments to reconcile net increase/decrease in net assets from operations to net cash and foreign currency provided by/used in operating activities: |
||||||||
| Purchases of long-term investments |
(300,699,368 | ) | (36,639,822 | ) | ||||
| Proceeds from the sale and maturity of long-term investments |
312,054,303 | 44,085,132 | ||||||
| Proceeds from short-term investments, net |
(10,520,087 | ) | 770,084 | |||||
| Decrease to the principal amount of inflation-indexed bonds |
(24,474 | ) | (358,408 | ) | ||||
| Proceeds from forward sale commitments |
117,492,965 | — | ||||||
| Payments on forward sale commitments |
(130,369,473 | ) | — | |||||
| Change in net unrealized depreciation from forward sale commitments |
427,064 | — | ||||||
| Change in net unrealized depreciation from unaffiliated investments |
53,664 | 3,702,443 | ||||||
| Change in net unrealized appreciation from options contracts written |
(184,303 | ) | (494,662 | ) | ||||
| Change in net unrealized depreciation on open OTC swap contracts |
579,561 | — | ||||||
| Decrease in variation margin on open centrally cleared swap contracts |
8,975 | 121,274 | ||||||
| Net amortization (accretion) of premiums (discounts) of investments |
(5,919 | ) | 59,898 | |||||
| Net realized gain from unaffiliated investments |
3,815,960 | 1,265,388 | ||||||
| Decrease in premium received on options contracts written |
(71,976 | ) | (141,698 | ) | ||||
| Decrease in variation margin on open futures contracts |
142,417 | 7,721 | ||||||
| Increase/Decrease in receivable for securities sold |
(1,689,065 | ) | 1,226,979 | |||||
| Decrease in receivable for TBA securities sold |
47,306,794 | 5,123,036 | ||||||
| Increase/Decrease in dividends and interest receivable from unaffiliated investments |
(106,190 | ) | 111,465 | |||||
| Increase/Decrease in deposits for collateral from counterparty |
144,000 | (41,000 | ) | |||||
| Increase in net upfront payments received/paid on OTC open swap contracts |
(56,518 | ) | — | |||||
| Increase in prepaid trustee expenses |
(58 | ) | — | |||||
| Increase in prepaid expenses |
(3,123 | ) | 3,508 | |||||
| Change in net unrealized appreciation on open forward foreign currency contracts |
(287,871 | ) | 67,584 | |||||
| Increase/Decrease in payable for securities purchased |
2,170,228 | (1,183,977 | ) | |||||
| Decrease in payable for TBA securities purchased |
(37,096,912 | ) | (5,214,835 | ) | ||||
| Decrease in deposits for collateral from counterparty |
(444,000 | ) | (10,000 | ) | ||||
| Decrease in investment management fee payable |
(8,911 | ) | (5,890 | ) | ||||
| Increase in interest expense payable |
1,446 | 21,703 | ||||||
| Increase in custody fee payable |
26,902 | 11,830 | ||||||
| Decrease in transfer agent fees payable |
(52 | ) | (646 | ) | ||||
| Increase in trustees’ fees payable |
— | 1,788 | ||||||
| Decrease in accrued expenses |
(55,399 | ) | (5,469 | ) | ||||
|
|
|
|
|
|||||
| Net cash and foreign currency provided by/used in operating activities |
(1,086,742 | ) | 7,592,906 | |||||
|
|
|
|
|
|||||
| Cash Flows Provided by/Used in Financing Activities: |
||||||||
| Proceeds from sale-buyback transactions |
— | 38,629,995 | ||||||
| Payments on sale-buyback transactions |
— | (42,665,660 | ) | |||||
| Proceeds from reverse repurchase agreements |
— | (4,100,537 | ) | |||||
| Proceeds from sale of shares |
31,988,265 | 15,813,748 | ||||||
| Cost of shares repurchased |
(31,099,155 | ) | (16,282,472 | ) | ||||
| Distributions to shareholders, net of reinvestments |
(886 | ) | (251 | ) | ||||
|
|
|
|
|
|||||
| Net cash and foreign currency provided by/used in financing activities |
888,224 | (8,605,177 | ) | |||||
|
|
|
|
|
|||||
| Net increase in cash and foreign currency(a) |
(198,518 | ) | (1,012,271 | ) | ||||
|
|
|
|
|
|||||
| Cash and Foreign Currency: |
||||||||
| Cash, cash equivalents and foreign cash at the beginning of the period |
317,878 | 2,341,334 | ||||||
|
|
|
|
|
|||||
| Cash, cash equivalents and foreign cash at end of the period |
119,360 | 1,329,063 | ||||||
|
|
|
|
|
|||||
| Non-Cash Financing Activities: |
||||||||
| Reinvestment of distributions |
(14,057,777 | ) | (7,394,879 | ) | ||||
|
|
|
|
|
|||||
| (a) | Includes net change in unrealized depreciation on foreign currency of $(44,116) and $(44,478) for International Fixed Income Fund and Inflation-Linked Fixed Income Fund, respectively. |
See Notes to Financial Statements.
282
| Financial Highlights |
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| Large Cap Equity Fund | ||||||||||||||||||||||||
| 2023(1) | 2022 | 2021 | 2020 | 2019 | 2018 | |||||||||||||||||||
| Net Asset Value, Beginning of Year |
$ | 20.91 | $ | 27.58 | $ | 21.62 | $ | 19.10 | $ | 21.31 | $ | 18.76 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Income (Loss) from Operations: | ||||||||||||||||||||||||
| Net investment income(2) |
0.11 | 0.20 | 0.22 | 0.26 | 0.27 | 0.26 | ||||||||||||||||||
| Net realized and unrealized gain (loss) |
0.31 | (3.96 | ) | 6.49 | 3.23 | (0.24 | ) | 3.18 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Income (Loss) from Operations |
0.42 | (3.76 | ) | 6.71 | 3.49 | 0.03 | 3.44 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Less Distributions from: | ||||||||||||||||||||||||
| Net investment income |
(0.18 | ) | (0.20 | ) | (0.18 | ) | (0.20 | ) | (0.34 | ) | (0.24 | ) | ||||||||||||
| Net realized gain |
(1.60 | ) | (2.71 | ) | (0.57 | ) | (0.77 | ) | (1.90 | ) | (0.65 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Distributions |
(1.78 | ) | (2.91 | ) | (0.75 | ) | (0.97 | ) | (2.24 | ) | (0.89 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Year |
$ | 19.55 | $ | 20.91 | $ | 27.58 | $ | 21.62 | $ | 19.10 | $ | 21.31 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return†(3) |
2.26 | %(4) | (15.44 | )% | 31.79 | % | 18.85 | % | 1.32 | % | 18.89 | % | ||||||||||||
| Net Assets, End of Year (millions) |
$ | 1,702 | $ | 1,685 | $ | 2,175 | $ | 1,854 | $ | 1,554 | $ | 1,737 | ||||||||||||
| Ratios to Average Net Assets: | ||||||||||||||||||||||||
| Gross expenses |
0.70 | %(5) | 0.69 | % | 0.68 | % | 0.70 | % | 0.69 | % | 0.69 | % | ||||||||||||
| Net expenses(6) |
0.49 | %(5) | 0.48 | 0.47 | 0.49 | 0.48 | 0.48 | |||||||||||||||||
| Net investment income |
1.11 | (5) | 0.82 | 0.91 | 1.33 | 1.43 | 1.29 | |||||||||||||||||
| Portfolio Turnover Rate |
11 | %(4) | 20 | % | 15 | % | 21 | % | 13 | % | 29 | % | ||||||||||||
| (1) | For the six months ended February 28, 2023 (unaudited). |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (4) | Not annualized. |
| (5) | Annualized. |
| (6) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the year. |
See Notes to Financial Statements.
283
| Financial Highlights |
| (continued) |
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| Small-Mid Cap Equity Fund | ||||||||||||||||||||||||
| 2023(1) | 2022 | 2021 | 2020 | 2019 | 2018 | |||||||||||||||||||
| Net Asset Value, Beginning of Year |
$ | 16.56 | $ | 24.35 | $ | 18.01 | $ | 18.60 | $ | 23.06 | $ | 19.53 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Income (Loss) from Operations: | ||||||||||||||||||||||||
| Net investment income(2) |
0.08 | 0.12 | 0.13 | 0.13 | 0.12 | 0.10 | ||||||||||||||||||
| Net realized and unrealized gain (loss) |
0.67 | (3.25 | ) | 7.10 | 1.48 | (1.83 | ) | 4.14 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Income (Loss) from Operations |
0.75 | (3.13 | ) | 7.23 | 1.61 | (1.71 | ) | 4.24 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Less Distributions from: | ||||||||||||||||||||||||
| Net investment income |
(0.11 | ) | (0.08 | ) | (0.14 | ) | (0.10 | ) | (0.10 | ) | (0.03 | ) | ||||||||||||
| Net realized gain |
(1.54 | ) | (4.58 | ) | (0.75 | ) | (2.10 | ) | (2.65 | ) | (0.68 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Distributions |
(1.65 | ) | (4.66 | ) | (0.89 | ) | (2.20 | ) | (2.75 | ) | (0.71 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Year |
$ | 15.66 | $ | 16.56 | $ | 24.35 | $ | 18.01 | $ | 18.60 | $ | 23.06 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return†(3) |
5.06 | %(4) | (15.89 | )% | 41.14 | % | 8.78 | % | (6.25 | )% | 22.17 | % | ||||||||||||
| Net Assets, End of Year (millions) |
$ | 509 | $ | 542 | $ | 677 | $ | 620 | $ | 423 | $ | 520 | ||||||||||||
| Ratios to Average Net Assets: | ||||||||||||||||||||||||
| Gross expenses |
0.94 | %(5) | 0.93 | % | 0.92 | % | 0.96 | % | 0.98 | % | 0.92 | % | ||||||||||||
| Net expenses(6) |
0.60 | (5) | 0.59 | 0.58 | 0.62 | 0.66 | 0.61 | |||||||||||||||||
| Net investment income |
0.97 | (5) | 0.63 | 0.61 | 0.77 | 0.63 | 0.47 | |||||||||||||||||
| Portfolio Turnover Rate |
10 | %(4) | 41 | % | 29 | % | 45 | % | 65 | % | 34 | % | ||||||||||||
| (1) | For the six months ended February 28, 2023 (unaudited). |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (4) | Not annualized. |
| (5) | Annualized. |
| (6) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the year. |
See Notes to Financial Statements.
284
| Financial Highlights |
| (continued) |
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| International Equity Fund | ||||||||||||||||||||||||
| 2023(1) | 2022 | 2021 | 2020 | 2019 | 2018 | |||||||||||||||||||
| Net Asset Value, Beginning of Year |
$ | 11.19 | $ | 15.54 | $ | 12.27 | $ | 11.59 | $ | 12.64 | $ | 12.34 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Income (Loss) from Operations: | ||||||||||||||||||||||||
| Net investment income(2) |
0.05 | 0.27 | 0.21 | 0.17 | 0.28 | 0.27 | ||||||||||||||||||
| Net realized and unrealized gain (loss) |
1.60 | (3.34 | ) | 3.30 | 0.84 | (1.09 | ) | 0.24 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Income (Loss) from Operations |
1.65 | (3.07 | ) | 3.51 | 1.01 | (0.81 | ) | 0.51 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Less Distributions from: | ||||||||||||||||||||||||
| Net investment income |
(0.21 | ) | (0.33 | ) | (0.24 | ) | (0.33 | ) | (0.24 | ) | (0.21 | ) | ||||||||||||
| Net realized gain |
(0.36 | ) | (0.95 | ) | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Distributions |
(0.57 | ) | (1.28 | ) | (0.24 | ) | (0.33 | ) | (0.24 | ) | (0.21 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Year |
$ | 12.27 | $ | 11.19 | $ | 15.54 | $ | 12.27 | $ | 11.59 | $ | 12.64 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return†(3) |
15.07 | %(4) | (21.37 | )% | 28.93 | % | 8.64 | % | (6.34 | )% | 4.15 | % | ||||||||||||
| Net Assets, End of Year (millions) |
$ | 1,197 | $ | 1,148 | $ | 1,458 | $ | 1,254 | $ | 1,311 | $ | 1,677 | ||||||||||||
| Ratios to Average Net Assets: | ||||||||||||||||||||||||
| Gross expenses |
0.85 | %(5) | 0.85 | % | 0.84 | % | 0.87 | % | 0.84 | % | 0.83 | % | ||||||||||||
| Net expenses(6) |
0.68 | (5) | 0.67 | 0.67 | 0.71 | 0.68 | 0.66 | |||||||||||||||||
| Net investment income |
0.87 | (5) | 2.01 | 1.50 | 1.44 | 2.40 | 2.07 | |||||||||||||||||
| Portfolio Turnover Rate |
11 | %(4) | 38 | % | 52 | % | 39 | % | 28 | % | 41 | % | ||||||||||||
| (1) | For the six months ended February 28, 2023 (unaudited). |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (4) | Not annualized. |
| (5) | Annualized. |
| (6) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the year. |
See Notes to Financial Statements.
285
| Financial Highlights |
| (continued) |
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| Emerging Markets Equity Fund | ||||||||||||||||||||||||
| 2023(1) | 2022 | 2021 | 2020 | 2019 | 2018 | |||||||||||||||||||
| Net Asset Value, Beginning of Year |
$ | 12.39 | $ | 17.44 | $ | 14.67 | $ | 14.00 | $ | 14.29 | $ | 15.33 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Income (Loss) from Operations: | ||||||||||||||||||||||||
| Net investment income(2) |
0.04 | 0.30 | 0.20 | 0.20 | 0.27 | 0.22 | ||||||||||||||||||
| Net realized and unrealized gain (loss) |
0.06 | (4.65 | ) | 2.90 | 0.75 | (0.34 | ) | (1.06 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Income (Loss) from Operations |
0.10 | (4.35 | ) | 3.10 | 0.95 | (0.07 | ) | (0.84 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Less Distributions from: | ||||||||||||||||||||||||
| Net investment income |
(0.23 | ) | (0.29 | ) | (0.33 | ) | (0.28 | ) | (0.22 | ) | (0.20 | ) | ||||||||||||
| Net realized gain |
— | (0.41 | ) | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Distributions |
(0.23 | ) | (0.70 | ) | (0.33 | ) | (0.28 | ) | (0.22 | ) | (0.20 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Year |
$ | 12.26 | $ | 12.39 | $ | 17.44 | $ | 14.67 | $ | 14.00 | $ | 14.29 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return†(3) |
0.85 | %(4) | (25.82 | )% | 21.28 | % | 6.79 | % | (0.40 | )% | (5.55 | )% | ||||||||||||
| Net Assets, End of Year (millions) |
$ | 484 | $ | 481 | $ | 563 | $ | 548 | $ | 493 | $ | 498 | ||||||||||||
| Ratios to Average Net Assets: | ||||||||||||||||||||||||
| Gross expenses |
1.15 | %(5) | 1.15 | % | 1.12 | % | 1.15 | % | 1.13 | % | 1.11 | % | ||||||||||||
| Net expenses(6) |
0.82 | (5) | 0.81 | 0.80 | 0.84 | 0.82 | 0.80 | |||||||||||||||||
| Net investment income |
0.67 | (5) | 2.10 | 1.18 | 1.44 | 1.95 | 1.42 | |||||||||||||||||
| Portfolio Turnover Rate |
3 | %(4) | 14 | % | 53 | % | 23 | % | 22 | % | 24 | % | ||||||||||||
| (1) | For the six months ended February 28, 2023 (unaudited). |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (4) | Not annualized. |
| (5) | Annualized. |
| (6) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the year. |
See Notes to Financial Statements.
286
| Financial Highlights |
| (continued) |
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| Core Fixed Income Fund | ||||||||||||||||||||||||
| 2023(1) | 2022 | 2021 | 2020 | 2019 | 2018 | |||||||||||||||||||
| Net Asset Value, Beginning of Year |
$ | 7.12 | $ | 8.39 | $ | 8.79 | $ | 8.42 | $ | 7.86 | $ | 8.19 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Income (Loss) from Operations: | ||||||||||||||||||||||||
| Net investment income(2) |
0.30 | 0.14 | 0.13 | 0.19 | 0.23 | 0.20 | ||||||||||||||||||
| Net realized and unrealized gain (loss) |
(0.49 | ) | (1.20 | ) | (0.08 | ) | 0.42 | 0.57 | (0.31 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Income (Loss) from Operations |
(0.19 | ) | (1.06 | ) | 0.05 | 0.61 | 0.80 | (0.11 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Less Distributions from: | ||||||||||||||||||||||||
| Net investment income |
(0.12 | ) | (0.16 | ) | (0.17 | ) | (0.22 | ) | (0.24 | ) | (0.21 | ) | ||||||||||||
| Tax return of capital |
— | — | — | — | — | (0.01 | ) | |||||||||||||||||
| Net realized gain |
— | (0.05 | ) | (0.28 | ) | (0.02 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Distributions |
(0.12 | ) | (0.21 | ) | (0.45 | ) | (0.24 | ) | (0.24 | ) | (0.22 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Year |
$ | 6.81 | $ | 7.12 | $ | 8.39 | $ | 8.79 | $ | 8.42 | $ | 7.86 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return†(3) |
(2.63 | )%(4) | (12.86 | )% | 0.58 | % | 7.46 | % | 10.39 | % | (1.35 | )% | ||||||||||||
| Net Assets, End of Year (millions) |
$ | 1,505 | $ | 1,352 | $ | 1,311 | $ | 981 | $ | 1,204 | $ | 867 | ||||||||||||
| Ratios to Average Net Assets: | ||||||||||||||||||||||||
| Gross expenses |
0.55 | %(5) | 0.56 | % | 0.56 | % | 0.58 | % | 0.57 | % | 0.57 | % | ||||||||||||
| Net expenses(6) |
0.53 | (5) | 0.53 | 0.54 | 0.56 | 0.56 | 0.56 | |||||||||||||||||
| Net investment income |
8.68 | (5) | 1.85 | 1.57 | 2.27 | 2.85 | 2.49 | |||||||||||||||||
| Portfolio Turnover Rate |
134 | %(4) | 238 | % | 227 | % | 216 | % | 210 | % | 253 | % | ||||||||||||
| (1) | For the six months ended February 28, 2023 (unaudited). |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (4) | Not annualized. |
| (5) | Annualized. |
| (6) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the year. |
See Notes to Financial Statements.
287
| Financial Highlights |
| (continued) |
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| High Yield Fund | ||||||||||||||||||||||||
| 2023(1) | 2022 | 2021 | 2020 | 2019 | 2018 | |||||||||||||||||||
| Net Asset Value, Beginning of Year |
$ | 3.14 | $ | 3.72 | $ | 3.61 | $ | 3.76 | $ | 3.77 | $ | 3.86 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Income (Loss) from Operations: | ||||||||||||||||||||||||
| Net investment income(2) |
0.10 | 0.17 | 0.18 | 0.17 | 0.19 | 0.20 | ||||||||||||||||||
| Net realized and unrealized gain (loss) |
(0.03 | ) | (0.56 | ) | 0.11 | (0.15 | ) | — | (0.08 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Income (Loss) from Operations |
0.07 | (0.39 | ) | 0.29 | 0.02 | 0.19 | 0.12 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Less Distributions from: | ||||||||||||||||||||||||
| Net investment income |
(0.10 | ) | (0.19 | ) | (0.18 | ) | (0.17 | ) | (0.20 | ) | (0.21 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Year |
$ | 3.11 | $ | 3.14 | $ | 3.72 | $ | 3.61 | $ | 3.76 | $ | 3.77 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return†(3) |
2.28 | %(4) | (10.88 | )% | 8.61 | % | 0.14 | % | 5.58 | % | 3.20 | % | ||||||||||||
| Net Assets, End of Year (millions) |
$ | 110 | $ | 113 | $ | 213 | $ | 282 | $ | 49 | $ | 58 | ||||||||||||
| Ratios to Average Net Assets: | ||||||||||||||||||||||||
| Gross expenses |
1.17 | %(5) | 1.07 | % | 0.96 | % | 1.07 | % | 1.32 | % | 1.17 | % | ||||||||||||
| Net expenses(6) |
0.97 | (5) | 0.87 | 0.76 | 0.86 | 1.12 | 0.97 | |||||||||||||||||
| Net investment income |
6.37 | (5) | 4.88 | 4.79 | 4.85 | 5.09 | 5.27 | |||||||||||||||||
| Portfolio Turnover Rate |
12 | %(4) | 46 | % | 117 | % | 84 | % | 43 | % | 57 | % | ||||||||||||
| (1) | For the six months ended February 28, 2023 (unaudited). |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (4) | Not annualized. |
| (5) | Annualized. |
| (6) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the year. |
See Notes to Financial Statements.
288
| Financial Highlights |
| (continued) |
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| International Fixed Income Fund | ||||||||||||||||||||||||
| 2023(1) | 2022 | 2021 | 2020 | 2019 | 2018 | |||||||||||||||||||
| Net Asset Value, Beginning of Year |
$ | 7.00 | $ | 8.12 | $ | 8.03 | $ | 8.35 | $ | 7.86 | $ | 7.78 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Income (Loss) from Operations: | ||||||||||||||||||||||||
| Net investment income(2) |
0.06 | 0.07 | 0.07 | 0.20 | 0.06 | 0.14 | ||||||||||||||||||
| Net realized and unrealized gain (loss) |
(0.20 | ) | (0.98 | ) | 0.08 | (0.15 | ) | 0.70 | 0.03 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Income (Loss) from Operations |
(0.14 | ) | (0.91 | ) | 0.15 | 0.05 | 0.76 | 0.17 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Less Distributions from: | ||||||||||||||||||||||||
| Net investment income |
(0.59 | ) | (0.12 | ) | — | (0.35 | ) | (0.27 | ) | (0.09 | ) | |||||||||||||
| Net realized gain |
— | (0.09 | ) | (0.06 | ) | (0.02 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Distributions |
(0.59 | ) | (0.21 | ) | (0.06 | ) | (0.37 | ) | (0.27 | ) | (0.09 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Year |
$ | 6.27 | $ | 7.00 | $ | 8.12 | $ | 8.03 | $ | 8.35 | $ | 7.86 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return†(3) |
(2.18 | )%(4) | (11.54 | )% | 1.86 | % | 0.75 | % | 10.01 | % | 2.25 | % | ||||||||||||
| Net Assets, End of Year (millions) |
$ | 170 | $ | 171 | $ | 156 | $ | 135 | $ | 147 | $ | 145 | ||||||||||||
| Ratios to Average Net Assets: | ||||||||||||||||||||||||
| Gross expenses(5) |
0.97 | %(6) | 0.93 | % | 0.97 | % | 1.16 | % | 1.24 | % | 1.01 | % | ||||||||||||
| Net expenses(5)(7) |
0.92 | (6) | 0.88 | 0.92 | 1.11 | 1.19 | 0.95 | |||||||||||||||||
| Net investment income |
1.98 | (6) | 0.95 | 0.92 | 2.49 | 0.77 | 1.76 | |||||||||||||||||
| Portfolio Turnover Rate |
194 | %(4) | 312 | % | 402 | % | 437 | % | 265 | % | 203 | % | ||||||||||||
| (1) | For the six months ended February 28, 2023 (unaudited). |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (4) | Not annualized. |
| (5) | Ratio includes interest expense on reverse repurchase agreements and/or sale-buyback transactions which represents 0.00%, 0.00%, less than 0.0005%, 0.09%, 0.15% and 0.04%, respectively. |
| (6) | Annualized. |
| (7) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the year. |
See Notes to Financial Statements.
289
| Financial Highlights |
| (continued) |
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| Municipal Bond Fund | ||||||||||||||||||||||||
| 2023(1) | 2022 | 2021 | 2020 | 2019 | 2018 | |||||||||||||||||||
| Net Asset Value, Beginning of Year |
$ | 8.55 | $ | 9.60 | $ | 9.53 | $ | 9.61 | $ | 9.11 | $ | 9.37 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Income (Loss) from Operations: | ||||||||||||||||||||||||
| Net investment income(2) |
0.11 | 0.18 | 0.17 | 0.20 | 0.23 | 0.24 | ||||||||||||||||||
| Net realized and unrealized gain (loss) |
(0.05 | ) | (1.03 | ) | 0.12 | (0.01 | ) | 0.52 | (0.26 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Income (Loss) from Operations |
0.06 | (0.85 | ) | 0.29 | 0.19 | 0.75 | (0.02 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Less Distributions from: | ||||||||||||||||||||||||
| Net investment income |
(0.11 | ) | (0.18 | ) | (0.17 | ) | (0.21 | ) | (0.22 | ) | (0.24 | ) | ||||||||||||
| Net realized gain |
— | (0.02 | ) | (0.05 | ) | (0.06 | ) | (0.03 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Distributions |
(0.11 | ) | (0.20 | ) | (0.22 | ) | (0.27 | ) | (0.25 | ) | (0.24 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Year |
$ | 8.50 | $ | 8.55 | $ | 9.60 | $ | 9.53 | $ | 9.61 | $ | 9.11 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return†(3) |
0.72 | %(4) | (8.91 | )% | 3.07 | % | 1.99 | % | 8.38 | % | (0.21 | )% | ||||||||||||
| Net Assets, End of Year (millions) |
$ | 93 | $ | 87 | $ | 92 | $ | 69 | $ | 86 | $ | 64 | ||||||||||||
| Ratios to Average Net Assets: | ||||||||||||||||||||||||
| Gross expenses |
0.77 | %(5) | 0.71 | % | 0.73 | % | 0.73 | % | 0.74 | % | 0.72 | % | ||||||||||||
| Net expenses |
0.77 | (5) | 0.71 | 0.73 | 0.73 | 0.74 | 0.72 | |||||||||||||||||
| Net investment income |
2.66 | (5) | 1.99 | 1.79 | 2.16 | 2.44 | 2.61 | |||||||||||||||||
| Portfolio Turnover Rate |
18 | %(4) | 48 | % | 7 | % | 10 | % | 42 | % | 18 | % | ||||||||||||
| (1) | For the six months ended Februart 28, 2023 (unaudited). |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (4) | Not annualized. |
| (5) | Annualized. |
| † | Calculated based on the net asset value as of the last business day of the year. |
See Notes to Financial Statements.
290
| Financial Highlights |
| (continued) |
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| Inflation-Linked Fixed Income Fund | ||||||||||||||||||||||||
| 2023(1) | 2022 | 2021 | 2020 | 2019 | 2018 | |||||||||||||||||||
| Net Asset Value, Beginning of Year |
$ | 9.17 | $ | 11.16 | $ | 11.13 | $ | 10.19 | $ | 9.79 | $ | 10.08 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Income (Loss) from Operations: | ||||||||||||||||||||||||
| Net investment income (loss)(2) |
(0.05 | ) | 0.87 | 0.56 | 0.18 | 0.24 | 0.30 | |||||||||||||||||
| Net realized and unrealized gain (loss) |
(0.38 | ) | (1.54 | ) | 0.07 | 0.88 | 0.38 | (0.25 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Income (Loss) from Operations |
(0.43 | ) | (0.67 | ) | 0.63 | 1.06 | 0.62 | 0.05 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Less Distributions from: | ||||||||||||||||||||||||
| Net investment income |
(0.37 | ) | (0.93 | ) | (0.60 | ) | (0.12 | ) | (0.22 | ) | (0.34 | ) | ||||||||||||
| Net realized gain |
(0.28 | ) | (0.39 | ) | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Distributions |
(0.65 | ) | (1.32 | ) | (0.60 | ) | (0.12 | ) | (0.22 | ) | (0.34 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Year |
$ | 8.09 | $ | 9.17 | $ | 11.16 | $ | 11.13 | $ | 10.19 | $ | 9.79 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return†(3) |
(4.76 | )%(4) | (6.55 | )% | 5.87 | % | 10.38 | % | 6.42 | % | 0.55 | % | ||||||||||||
| Net Assets, End of Year (millions) |
$ | 98 | $ | 102 | $ | 148 | $ | 156 | $ | 217 | $ | 240 | ||||||||||||
| Ratios to Average Net Assets: | ||||||||||||||||||||||||
| Gross expenses(5) |
2.48 | %(6) | 1.08 | % | 0.93 | % | 1.27 | % | 1.35 | % | 1.27 | % | ||||||||||||
| Net expenses(5)(7) |
2.43 | (6) | 1.03 | 0.88 | 1.22 | 1.30 | 1.22 | |||||||||||||||||
| Net investment income (loss) |
(1.14 | )(6) | 8.43 | 5.08 | 1.76 | 2.47 | 3.07 | |||||||||||||||||
| Portfolio Turnover Rate |
26 | %(4) | 57 | % | 104 | % | 193 | % | 143 | % | 72 | % | ||||||||||||
| (1) | For the six months ended February 28, 2023 (unaudited). |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (4) | Not annualized. |
| (5) | Ratio includes interest expense on reverse repurchase agreements and/or sale-buyback transactions which represents 1.21%, 0.17%, 0.03%, 0.35%, 0.55% and 0.49%, respectively. |
| (6) | Annualized. |
| (7) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the year. |
See Notes to Financial Statements.
291
| Financial Highlights |
| (continued) |
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| Ultra-Short Term Fixed Income Fund | ||||||||||||||||||||||||
| 2023(1) | 2022 | 2021 | 2020 | 2019 | 2018 | |||||||||||||||||||
| Net Asset Value, Beginning of Year |
$ | 9.69 | $ | 9.89 | $ | 9.99 | $ | 9.90 | $ | 9.97 | $ | 9.99 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Income (Loss) from Operations: | ||||||||||||||||||||||||
| Net investment income(2) |
0.13 | 0.08 | 0.05 | 0.18 | 0.25 | 0.19 | ||||||||||||||||||
| Net realized and unrealized gain (loss) |
0.08 | (0.17 | ) | 0.01 | 0.06 | (0.06 | ) | 0.02 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Income (Loss) from Operations |
0.21 | (0.09 | ) | 0.06 | 0.24 | 0.19 | 0.21 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Less Distributions from: | ||||||||||||||||||||||||
| Net investment income |
(0.54 | ) | (0.11 | ) | (0.16 | ) | (0.15 | ) | (0.26 | ) | (0.23 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Year |
$ | 9.36 | $ | 9.69 | $ | 9.89 | $ | 9.99 | $ | 9.90 | $ | 9.97 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return†(3) |
2.22 | %(4) | (0.92 | )% | 0.61 | % | 2.36 | % | 2.07 | % | 2.09 | % | ||||||||||||
| Net Assets, End of Year (millions) |
$ | 379 | $ | 506 | $ | 442 | $ | 398 | $ | 497 | $ | 507 | ||||||||||||
| Ratios to Average Net Assets: | ||||||||||||||||||||||||
| Gross expenses(5) |
0.86 | %(6) | 0.67 | % | 0.67 | % | 0.69 | % | 0.82 | % | 0.71 | % | ||||||||||||
| Net expenses(5),(7) |
0.81 | (6) | 0.62 | 0.62 | 0.64 | 0.77 | 0.66 | |||||||||||||||||
| Net investment income |
2.65 | (6) | 0.79 | 0.50 | 1.78 | 2.51 | 1.90 | |||||||||||||||||
| Portfolio Turnover Rate |
16 | %(4) | 86 | % | 55 | % | 96 | % | 97 | % | 128 | % | ||||||||||||
| (1) | For the six months ended February 28, 2023 (unaudited). |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (4) | Not annualized. |
| (5) | Annualized. |
| (6) | Ratio includes interest expense on reverse repurchase agreements and/or sale-buyback transactions which represents 0.18%, 0.02%, less than 0.005%, 0.02%, 0.07% and 0.04%, respectively. |
| (7) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the year. |
See Notes to Financial Statements.
292
| Financial Highlights |
| (continued) |
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| Alternative Strategies Fund | ||||||||||||||||||||||||
| 2023(1) | 2022 | 2021 | 2020 | 2019 | 2018(2) | |||||||||||||||||||
| Net Asset Value, Beginning of Year/Period |
$ | 10.69 | $ | 10.99 | $ | 10.04 | $ | 10.10 | $ | 9.88 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Income (Loss) from Operations: | ||||||||||||||||||||||||
| Net investment income (loss)(3) |
0.43 | 0.20 | 0.13 | 0.15 | 0.10 | (0.09 | ) | |||||||||||||||||
| Net realized and unrealized gain (loss) |
(0.31 | ) | (0.42 | ) | 0.91 | 0.10 | 0.19 | (0.03 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Income (Loss) from Operations |
0.12 | (0.22 | ) | 1.04 | 0.25 | 0.29 | (0.12 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Less Distributions from: | ||||||||||||||||||||||||
| Net investment income |
(0.64 | ) | (0.07 | ) | (0.09 | ) | (0.28 | ) | (0.07 | ) | — | |||||||||||||
| Net realized gain |
(0.02 | ) | (0.01 | ) | — | (0.03 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Distributions |
(0.66 | ) | (0.08 | ) | (0.09 | ) | (0.31 | ) | (0.07 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net Asset Value, End of Year/Period |
$ | 10.15 | $ | 10.69 | $ | 10.99 | $ | 10.04 | $ | 10.10 | $ | 9.88 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return†(4) |
1.25 | %(5) | (2.06 | )% | 10.39 | % | 2.61 | % | 2.90 | % | (1.20 | )%(5) | ||||||||||||
| Net Assets, End of Year/Period (millions) |
$ | 151 | $ | 147 | $ | 119 | $ | 39 | $ | 27 | $ | 6 | ||||||||||||
| Ratios to Average Net Assets: | ||||||||||||||||||||||||
| Gross expenses |
1.49 | %(6) | 1.59 | % | 1.56 | % | 1.85 | % | 2.34 | % | 11.00 | %(6) | ||||||||||||
| Net expenses(7)(8) |
0.49 | (6) | 0.59 | 0.56 | 0.70 | 0.88 | 1.95 | (6) | ||||||||||||||||
| Net investment income (loss) |
8.31 | (6) | 1.83 | 1.24 | 1.52 | 1.01 | (1.72 | )(6) | ||||||||||||||||
| Portfolio Turnover Rate |
12 | %(5) | 18 | % | 18 | % | 34 | % | 16 | % | 14 | %(5) | ||||||||||||
| (1) | For the six months ended February 28, 2023 (unaudited). |
| (2) | For the period from Fund inception (February 15, 2018) through the period ended August 31, 2018. |
| (3) | Per share amounts have been calculated using the average shares method. |
| (4) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (5) | Not annualized. |
| (6) | Annualized. |
| (7) | Reflects fee waivers and/or expense reimbursements. |
| (8) | Does not reflect the Fund’s proportionate share of income and expenses from the Underlying Fund. |
| † | Calculated based on the net asset value as of the last business day of the year/period. |
See Notes to Financial Statements.
293
| Notes to Financial Statements |
| (unaudited) |
1. Organization and Significant Accounting Policies
The Morgan Stanley Pathway Funds (the “Trust”) is organized as a Massachusetts business trust and registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Trust currently consists of Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund, Core Fixed Income Fund, High Yield Fund, International Fixed Income Fund, Municipal Bond Fund, Inflation-Linked Fixed Income Fund, Ultra-Short Term Fixed Income Fund and Alternative Strategies Fund (individually, a “Fund” and collectively, the “Funds”). Each Fund is a diversified series of the Trust, except for International Fixed Income Fund, which is non-diversified.
The following is a summary of significant accounting policies consistently followed by the Funds which are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Estimates and assumptions are required to be made by management regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. The Funds are investment companies and follow the accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 – Investment Companies.
(a) Investment Valuation. Equity securities for each Fund for which market quotations are readily available and are traded on an exchange are valued at the closing sale price or official closing price on the exchange on which such security is principally traded. In the event there are no sales that day, such securities are valued at the mean between the bid and ask prices. For securities that are primarily traded on foreign exchanges, these values are converted to U.S. dollars using the current exchange rates as of the close of the New York Stock Exchange (“NYSE”).
Exchange-traded purchased and written options and futures contracts are valued at the last sale price (closing price) in the market where such contracts are principally traded or, if no sales are reported, the bid price. Swaps for which quotations are available on an automated basis from approved third-party pricing services are valued using those automated third-party pricing service quotations. Forward foreign currency contracts are valued using the official closing price for such contracts on the NYSE.
Portfolio securities traded in the over-the-counter market for which market quotations are readily available are valued at the last sales price that day. In the event there are no sales that day, such securities are valued at the mean between the bid and ask prices. Investments in registered open-end management investment companies are valued at reported net asset value per share.
Debt obligations that will mature in 60 days or less are valued at amortized cost, which approximates market value. Debt obligations that will mature in more than 60 days are valued using valuations furnished by an approved third-party pricing service; such valuations are determined by the third-party pricing service based upon its analysis of a variety of factors, including transactions in debt obligations, quotations from bond dealers, market transactions in comparable securities and its analysis of various relationships between securities, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, and as well as industry and economic events.
Overnight repurchase agreements and repurchase agreements maturing in seven days or less are valued at cost. Term repurchase agreements maturing in more than seven days are valued at the average of the bid quotations obtained daily from at least two recognized purchasers of such term repurchase agreements selected by Consulting Group Advisory Services, LLC (“CGAS”) (the “Manager”).
The Board of Trustees (the “Board”) has ultimate responsibility for ensuring the Funds’ investments are valued appropriately. The Board has delegated primary responsibility for determining or causing to be determined the value of the Funds’ investments (including any fair valuation) to the Manager pursuant to valuation policies and procedures approved by the Board. When market quotations are not readily available or are determined to be unreliable, investments are valued at fair value as determined in good faith by the valuation committee established by the Manager in accordance with such procedures under the oversight of the Board. Circumstances that may indicate that market quotations are not readily available or are unreliable include, but are not limited to, such instances when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, and before the applicable Fund calculates its Net Asset Value (“NAV”).
Each business day, Emerging Markets Equity Fund and International Equity Fund use a Board-approved third-party pricing service to assist with the valuation of foreign equity securities. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to reflect market trading that occurs after the close of the applicable foreign
294
| Notes to Financial Statements |
| (unaudited) (continued) |
markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities to more accurately reflect their fair value as of the close of regular trading on the NYSE.
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The hierarchy prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities that segregates fair value measurements into levels (Level 1, 2 and 3). The three levels of the fair value hierarchy are as follows:
Level 1 – unadjusted quoted prices in active markets for identical securities.
Level 2 – significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 – significant unobservable inputs (including assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Funds generally use to evaluate how to classify each major category of assets and liabilities in accordance with GAAP.
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign bonds, bank loans, convertible preferred securities and non-U.S. bonds are normally valued by third-party pricing service providers that use broker quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by third-party pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities and the related forward sales commitments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.
Common stocks, preferred stocks, rights, warrants, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are categorized as Level 1 of the fair value hierarchy, to the extent these securities are actively traded and valuation adjustments are not applied.
Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE close. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.
Investments in registered open-end investment management companies are valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy.
Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.
Over-the-counter financial derivative instruments, such as foreign currency contracts, forward foreign currency contracts, options contracts, or swap contracts, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or by third-party pricing service providers. Depending on the product and the terms of the transaction, the value of financial derivatives can be estimated by a third-party pricing service provider using a series of techniques, including simulation pricing models. The pricing models use
295
| Notes to Financial Statements |
| (unaudited) (continued) |
inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, yield curves, dividends and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange. For centrally cleared credit default swaps the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third party prices are used to produce daily settlement prices. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates including the overnight index swap rate and London Interbank Offered Rate (“LIBOR”) forward rate to produce the daily settlement price. These securities are categorized as Level 2 of the fair value hierarchy.
The Funds’ policy is to recognize transfers between levels at the end of the reporting period. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.
The following table summarizes the valuation of each Fund’s assets and liabilities using the fair value hierarchy:
| Total Fair Value at February 28, 2023 |
Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) |
Significant Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
|||||||||||||
| Large Cap Equity Fund |
| |||||||||||||||
| Investments, at Value | ||||||||||||||||
| Common Stocks: |
||||||||||||||||
| Communication Services |
$ | 115,333,682 | $ | 115,333,682 | $ | — | $ | — | ||||||||
| Consumer Discretionary |
195,921,751 | 195,921,751 | — | — | ||||||||||||
| Consumer Staples |
86,629,081 | 86,629,081 | — | — | ||||||||||||
| Energy |
50,119,418 | 50,119,418 | — | — | ||||||||||||
| Financials |
164,626,064 | 164,626,064 | — | — | ||||||||||||
| Health Care |
247,103,184 | 247,103,184 | — | — | ||||||||||||
| Industrials |
194,367,921 | 194,367,921 | — | — | ||||||||||||
| Information Technology |
440,154,798 | 440,154,798 | — | — | ||||||||||||
| Materials |
47,234,250 | 47,229,712 | 4,538 | — | ||||||||||||
| Real Estate |
43,821,192 | 43,821,192 | — | — | ||||||||||||
| Utilities |
32,583,960 | 32,583,960 | — | — | ||||||||||||
| Closed End Mutual Fund Security: |
||||||||||||||||
| Financials |
35,860,752 | 35,860,752 | — | — | ||||||||||||
| Short-Term Investments: |
|
|||||||||||||||
| Money Market Fund |
6,576,238 | 6,576,238 | — | — | ||||||||||||
| Time Deposits |
45,253,656 | — | 45,253,656 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments, at Value | $ | 1,705,585,947 | $ | 1,660,327,753 | $ | 45,258,194 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Security Lending Transactions — Liabilities | $ | (6,576,238 | ) | $ | — | $ | (6,576,238 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments — Assets | ||||||||||||||||
| Futures Contract |
$ | 13,010 | $ | 13,010 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments — Assets | $ | 13,010 | $ | 13,010 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
296
| Notes to Financial Statements |
| (unaudited) (continued) |
| Total Fair Value at February 28, 2023 |
Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) |
Significant Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
|||||||||||||
| Other Financial Instruments — Liabilities | ||||||||||||||||
| Futures Contract |
$ | (53,512 | ) | $ | (53,512 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments — Liabilities | $ | (53,512 | ) | $ | (53,512 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Small-Mid Cap Equity Fund | ||||||||||||||||
| Investments, at Value | ||||||||||||||||
| Common Stocks: |
||||||||||||||||
| Communication Services |
$ | 10,253,381 | $ | 10,253,381 | $ | — | $ | — | ||||||||
| Consumer Discretionary |
40,434,473 | 40,434,473 | — | — | ||||||||||||
| Consumer Staples |
20,840,738 | 20,840,738 | — | — | ||||||||||||
| Energy |
20,361,593 | 20,361,593 | — | — | ||||||||||||
| Financials |
63,928,721 | 63,928,721 | — | — | ||||||||||||
| Health Care |
76,273,046 | * | 76,242,391 | 30,655 | — | * | ||||||||||
| Industrials |
99,871,580 | 99,871,580 | — | — | ||||||||||||
| Information Technology |
82,371,849 | 82,371,849 | — | — | ||||||||||||
| Materials |
27,190,726 | * | 27,181,560 | 9,166 | — | * | ||||||||||
| Real Estate |
26,735,321 | 26,735,321 | — | — | ||||||||||||
| Utilities |
12,958,775 | 12,958,775 | — | — | ||||||||||||
| Preferred Stocks: |
||||||||||||||||
| Financials |
2,888,508 | 2,888,508 | — | — | ||||||||||||
| Closed End Mutual Fund Securities: |
||||||||||||||||
| Financials |
1,121,004 | 1,121,004 | — | — | ||||||||||||
| Corporate Bonds & Notes |
812,538 | — | 812,538 | — | ||||||||||||
| Short-Term Investments: |
||||||||||||||||
| Money Market Fund |
15,489,693 | 15,489,693 | — | — | ||||||||||||
| Time Deposits |
20,812,785 | — | 20,812,785 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments, at Value | $ | 522,344,731 | * | $ | 500,679,587 | $ | 21,665,144 | $ | — | * | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Security Lending Transactions — Liabilities | $ | (15,489,693 | ) | $ | — | $ | (15,489,693 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments — Assets | ||||||||||||||||
| Futures Contract |
$ | 3,712 | $ | 3,712 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments — Assets | $ | 3,712 | $ | 3,712 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments — Liabilities | ||||||||||||||||
| Futures Contract |
$ | (1,815 | ) | $ | (1,815 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments —Liabilities | $ | (1,815 | ) | $ | (1,815 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| International Equity Fund |
| |||||||||||||||
| Investments, at Value | ||||||||||||||||
| Common Stocks: |
||||||||||||||||
| France |
$ | 144,957,210 | $ | — | $ | 144,957,210 | $ | — | ||||||||
| Germany |
87,747,734 | — | 87,747,734 | — | ||||||||||||
| Japan |
193,759,772 | 97,639 | 193,662,133 | — | ||||||||||||
| Switzerland |
99,444,121 | 879,283 | 98,564,838 | — | ||||||||||||
| United Kingdom |
201,439,076 | 1,482,419 | 199,956,657 | — | ||||||||||||
| Other Countries** |
419,134,461 | 64,097,958 | 355,036,503 | — | ||||||||||||
297
| Notes to Financial Statements |
| (unaudited) (continued) |
| Total Fair Value at February 28, 2023 |
Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) |
Significant Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
|||||||||||||
| Preferred Stocks: |
||||||||||||||||
| Germany |
$ | 2,723,498 | $ | — | $ | 2,723,498 | $ | — | ||||||||
| Closed End Mutual Fund Security: |
||||||||||||||||
| United States |
1,265,912 | 1,265,912 | — | — | ||||||||||||
| Right: |
||||||||||||||||
| Hong Kong |
7,146 | — | 7,146 | — | ||||||||||||
| Short-Term Investments: |
|
|||||||||||||||
| Money Market Fund |
19,305,518 | 19,305,518 | — | — | ||||||||||||
| Time Deposits |
39,793,304 | — | 39,793,304 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments, at Value | $ | 1,209,577,752 | $ | 87,128,729 | $ | 1,122,449,023 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Security Lending Transactions — Liabilities | $ | (19,305,518 | ) | $ | — | $ | (19,305,518 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments — Asset | ||||||||||||||||
| Futures Contracts |
$ | 8,838 | $ | 8,838 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments — Assets | $ | 8,838 | $ | 8,838 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments — Liabilities | ||||||||||||||||
| Futures Contracts |
$ | (2,174 | ) | $ | (2,174 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments — Liabilities | $ | (2,174 | ) | $ | (2,174 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Emerging Markets Equity Fund | ||||||||||||||||
| Investments, at Value | ||||||||||||||||
| Common Stocks: |
||||||||||||||||
| Brazil |
$ | 29,921,252 | $ | 29,921,252 | $ | — | $ | — | ||||||||
| China |
129,440,799 | 11,681,495 | 117,759,304 | — | ||||||||||||
| India |
62,447,861 | 11,632,663 | 50,815,198 | — | ||||||||||||
| South Korea |
56,040,200 | 45,556 | 55,994,644 | — | ||||||||||||
| Taiwan |
62,588,637 | 12,381,964 | 50,206,673 | — | ||||||||||||
| Other Countries** |
123,481,247 | * | 31,575,167 | 91,865,136 | 40,944 | * | ||||||||||
| Preferred Stocks: |
||||||||||||||||
| Brazil |
2,564,725 | 2,564,725 | — | — | ||||||||||||
| Chile |
323,344 | 323,344 | — | — | ||||||||||||
| Colombia |
78,860 | 78,860 | — | — | ||||||||||||
| Mexico |
200,967 | 200,967 | — | — | ||||||||||||
| Russia |
853 | — | 17 | 836 | ||||||||||||
| South Korea |
3,664,482 | — | 3,664,482 | — | ||||||||||||
| Right: |
||||||||||||||||
| China |
2 | — | 2 | — | ||||||||||||
| Short-Term Investments: |
||||||||||||||||
| Money Market Fund |
1,169,429 | 1,169,429 | — | — | ||||||||||||
| Time Deposits |
12,185,866 | — | 12,185,866 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total — Investments, at Value | $ | 484,108,524 | * | $ | 101,575,422 | $ | 382,491,322 | $ | 41,780 | * | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Security Lending Transactions — Liabilities | $ | (1,169,429 | ) | $ | — | $ | (1,169,429 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
298
| Notes to Financial Statements |
| (unaudited) (continued) |
| Total Fair Value at February 28, 2023 |
Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) |
Significant Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
|||||||||||||
| Other Financial Instruments — Liabilities | ||||||||||||||||
| Futures Contract |
$ | (7,481 | ) | $ | (7,481 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments — Liabilities | $ | (7,481 | ) | $ | (7,481 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Core Fixed Income Fund |
| |||||||||||||||
| Investments, at Value | ||||||||||||||||
| Corporate Bonds & Notes |
$ | 433,269,078 | * | $ | — | $ | 433,269,078 | $ | — | * | ||||||
| Mortgage-Backed Securities |
416,929,853 | — | 416,929,853 | — | ||||||||||||
| U.S. Government Agencies & Obligations |
406,660,280 | — | 406,660,280 | — | ||||||||||||
| Collateralized Mortgage Obligations |
168,312,273 | — | 168,312,273 | — | ||||||||||||
| Sovereign Bonds |
38,589,448 | — | 38,589,448 | — | ||||||||||||
| Asset-Backed Securities |
26,089,748 | — | 26,089,748 | — | ||||||||||||
| Senior Loans |
23,675,230 | — | 23,675,230 | — | ||||||||||||
| Municipal Bonds |
5,044,832 | — | 5,044,832 | — | ||||||||||||
| Common Stock: |
||||||||||||||||
| Wireless Telecommunication Services |
275,294 | — | 275,294 | — | ||||||||||||
| Right: |
||||||||||||||||
| Luxembourg |
— | * | — | — | — | * | ||||||||||
| Purchased Options |
218,219 | 218,219 | — | — | ||||||||||||
| Short-Term Investments: |
|
|||||||||||||||
| Time Deposits |
47,303,024 | — | 47,303,024 | — | ||||||||||||
| U.S. Government Agencies |
11,909,620 | — | 11,909,620 | — | ||||||||||||
| U.S. Government Obligations |
80,867,106 | — | 80,867,106 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments, at Value | $ | 1,659,144,005 | * | $ | 218,219 | $ | 1,658,925,786 | $ | — | * | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments — Assets | ||||||||||||||||
| Futures Contracts |
$ | 688,130 | $ | 688,130 | $ | — | $ | — | ||||||||
| Forward Foreign Currency Contracts |
147,852 | — | 147,852 | — | ||||||||||||
| Centrally Cleared Interest Rate Swaps |
8,944,506 | — | 8,944,506 | — | ||||||||||||
| Centrally Cleared Credit Default Swap |
426,465 | — | 426,465 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments — Assets | $ | 10,206,953 | $ | 688,130 | $ | 9,518,823 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments — Liabilities | ||||||||||||||||
| Options Contracts Written |
$ | (849,295 | ) | $ | (849,295 | ) | $ | — | $ | — | ||||||
| Futures Contracts |
(1,465,171 | ) | (1,465,171 | ) | — | — | ||||||||||
| Forward Foreign Currency Contracts |
(806,794 | ) | — | (806,794 | ) | — | ||||||||||
| Centrally Cleared Interest Rate Swaps |
(2,243,555 | ) | — | (2,243,555 | ) | — | ||||||||||
| Centrally Cleared Credit Default Swap |
(88,276 | ) | — | (88,276 | ) | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments — Liabilities | $ | (5,453,091 | ) | $ | (2,314,466 | ) | $ | (3,138,625 | ) | $ | — | |||||
|
|
|
|
|
|
|
|
|
|||||||||
299
| Notes to Financial Statements |
| (unaudited) (continued) |
| Total Fair Value at February 28, 2023 |
Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) |
Significant Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
|||||||||||||
| High Yield Fund |
| |||||||||||||||
| Investments, at Value | ||||||||||||||||
| Corporate Bonds & Notes |
$ | 97,565,042 | $ | — | $ | 97,565,042 | $ | — | ||||||||
| Collateralized Mortgage Obligations |
4,102,248 | — | 4,102,248 | — | ||||||||||||
| Senior Loans |
3,414,944 | — | 3,414,944 | — | ||||||||||||
| Common Stocks: |
||||||||||||||||
| Energy |
331,698 | 331,698 | — | — | ||||||||||||
| Convertible Preferred Stock: |
||||||||||||||||
| Energy |
234,631 | — | 234,631 | — | ||||||||||||
| Sovereign Bonds |
43,030 | — | 43,030 | — | ||||||||||||
| Short-Term Investments: |
|
|||||||||||||||
| Time Deposits |
3,944,467 | — | 3,944,467 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments, at Value | $ | 109,636,060 | $ | 331,698 | $ | 109,304,362 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| International Fixed Income Fund |
| |||||||||||||||
| Investments, at Value | ||||||||||||||||
| Sovereign Bonds: |
||||||||||||||||
| Japan |
$ | 16,458,089 | $ | — | $ | 16,458,089 | $ | — | ||||||||
| Other Countries** |
22,305,870 | — | 22,305,870 | — | ||||||||||||
| Collateralized Mortgage Obligations |
34,773,535 | — | 34,773,535 | — | ||||||||||||
| Mortgage-Backed Securities |
24,287,670 | — | 24,287,670 | — | ||||||||||||
| Corporate Bonds & Notes: |
||||||||||||||||
| Other Countries** |
19,342,797 | — | 19,342,797 | — | ||||||||||||
| U.S. Government Obligations |
4,753,218 | — | 4,753,218 | — | ||||||||||||
| Asset-Backed Securities |
769,637 | — | 769,637 | — | ||||||||||||
| Municipal Bond |
83,967 | — | 83,967 | — | ||||||||||||
| Purchased Option |
143,143 | — | 143,143 | — | ||||||||||||
| Short-Term Investments: |
||||||||||||||||
| Repurchase Agreement |
13,500,000 | — | 13,500,000 | — | ||||||||||||
| Sovereign Bonds: |
||||||||||||||||
| Japan |
36,520,805 | — | 36,520,805 | — | ||||||||||||
| Other Countries** |
1,039,889 | — | 1,039,889 | — | ||||||||||||
| Time Deposits |
4,944,283 | — | 4,944,283 | — | ||||||||||||
| U.S. Government Agencies |
8,100,000 | — | 8,100,000 | — | ||||||||||||
| U.S. Government Obligations |
1,475,534 | — | 1,475,534 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments, at Value | $ | 188,498,437 | $ | — | $ | 188,498,437 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments — Assets | ||||||||||||||||
| Futures Contracts |
$ | 122,711 | $ | 122,711 | $ | — | $ | — | ||||||||
| Forward Foreign Currency Contracts |
4,301,164 | — | 4,301,164 | — | ||||||||||||
| OTC Total Return Swaps |
202,259 | — | 202,259 | — | ||||||||||||
| OTC Interest Rate Swaps |
78,718 | — | 78,718 | — | ||||||||||||
| Centrally Cleared Interest Rate Swaps |
3,624,806 | — | 3,624,806 | — | ||||||||||||
| OTC Credit Default Swaps |
54,220 | — | 54,220 | — | ||||||||||||
| Centrally Cleared Credit Default Swaps |
18,503 | — | 18,503 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments Assets | $ | 8,402,381 | $ | 122,711 | $ | 8,279,670 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
300
| Notes to Financial Statements |
| (unaudited) (continued) |
| Total Fair Value at February 28, 2023 |
Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) |
Significant Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
|||||||||||||
| Other Financial Instruments — Liabilities | ||||||||||||||||
| Options Contracts Written |
$ | (435,230 | ) | $ | (13,219 | ) | $ | (422,011 | ) | $ | — | |||||
| Forward Sale Commitments |
(15,928,508 | ) | — | (15,928,508 | ) | — | ||||||||||
| Futures Contracts |
(1,216,135 | ) | (1,216,135 | ) | — | — | ||||||||||
| Forward Foreign Currency Contracts |
(756,983 | ) | — | (756,983 | ) | — | ||||||||||
| OTC Interest Rate Swaps |
(12,310 | ) | — | (12,310 | ) | — | ||||||||||
| Centrally Cleared Interest Rate Swaps |
(6,646,840 | ) | — | (6,646,840 | ) | — | ||||||||||
| Centrally Cleared Credit Default Swaps |
(171,254 | ) | — | (171,254 | ) | — | ||||||||||
| OTC Cross Currency Swap |
(29,926 | ) | — | (29,926 | ) | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments — Liabilities | $ | (25,197,186 | ) | $ | (1,229,354 | ) | $ | (23,967,832 | ) | $ | — | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Municipal Bond Fund |
| |||||||||||||||
| Investments, at Value | ||||||||||||||||
| Municipal Bonds |
$ | 75,190,731 | $ | — | $ | 75,190,731 | $ | — | ||||||||
| Closed End Mutual Fund Security: |
||||||||||||||||
| United States |
2,636,250 | 2,636,250 | — | — | ||||||||||||
| Short-Term Investments: |
|
|||||||||||||||
| Time Deposits |
14,178,123 | — | 14,178,123 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments, at Value | $ | 92,005,104 | $ | 2,636,250 | $ | 89,368,854 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments — Assets | ||||||||||||||||
| Futures Contracts |
$ | 54,568 | $ | 54,568 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments — Assets | $ | 54,568 | $ | 54,568 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Inflation-Linked Fixed Income Fund |
| |||||||||||||||
| Investments, at Value | ||||||||||||||||
| U.S. Government Agencies & Obligations |
$ | 101,299,332 | $ | — | $ | 101,299,332 | $ | — | ||||||||
| Collateralized Mortgage Obligations |
10,723,935 | — | 10,723,935 | — | ||||||||||||
| Sovereign Bonds |
7,674,797 | — | 7,674,797 | — | ||||||||||||
| Mortgage-Backed Securities |
3,622,318 | — | 3,622,318 | — | ||||||||||||
| Corporate Bonds & Notes |
3,497,395 | — | 3,497,395 | — | ||||||||||||
| Purchased Option |
238,159 | — | 238,159 | — | ||||||||||||
| Short-Term Investments: |
|
|||||||||||||||
| Time Deposits |
1,077,003 | — | 1,077,003 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments, at Value | $ | 128,132,939 | $ | — | $ | 128,132,939 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments — Assets | ||||||||||||||||
| Futures Contracts |
$ | 487,285 | $ | 487,285 | $ | — | $ | — | ||||||||
| Forward Foreign Currency Contracts |
424,276 | — | 424,276 | — | ||||||||||||
| Centrally Cleared Interest Rate Swaps |
1,068,880 | — | 1,068,880 | — | ||||||||||||
| Centrally Cleared Inflation Rate Swaps |
1,578,734 | — | 1,578,734 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments — Assets | $ | 3,559,175 | $ | 487,285 | $ | 3,071,890 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
301
| Notes to Financial Statements |
| (unaudited) (continued) |
| Total Fair Value at February 28, 2023 |
Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) |
Significant Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
|||||||||||||
| Other Financial Instruments — Liabilities | ||||||||||||||||
| Option Contracts Written |
$ | (399,516 | ) | $ | — | $ | (399,516 | ) | $ | — | ||||||
| Reverse Repurchase Agreements |
(28,486,503 | ) | — | (28,486,503 | ) | — | ||||||||||
| Futures Contracts |
(180,667 | ) | (180,667 | ) | — | — | ||||||||||
| Forward Foreign Currency Contracts |
(41,600 | ) | — | (41,600 | ) | — | ||||||||||
| Centrally Cleared Interest Rate Swaps |
(1,211,673 | ) | — | (1,211,673 | ) | — | ||||||||||
| Centrally Cleared Inflation Rate Swaps |
(1,510,507 | ) | — | (1,510,507 | ) | — | ||||||||||
| Centrally Cleared Credit Default Swap |
(254 | ) | — | (254 | ) | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments — Liabilities | $ | (31,830,720 | ) | $ | (180,667 | ) | $ | (31,650,053 | ) | $ | — | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Ultra-Short Term Fixed Income Fund |
| |||||||||||||||
| Investments, at Value | ||||||||||||||||
| Corporate Bonds & Notes |
$ | 210,547,281 | $ | — | $ | 210,547,281 | $ | — | ||||||||
| Collateralized Mortgage Obligations |
114,140,402 | — | 114,140,402 | — | ||||||||||||
| Asset-Backed Securities |
35,225,033 | — | 35,225,033 | — | ||||||||||||
| U.S. Government Agencies & Obligations |
7,995,245 | — | 7,995,245 | — | ||||||||||||
| Sovereign Bonds |
1,589,659 | — | 1,589,659 | — | ||||||||||||
| Certificate of Deposit |
942,148 | — | 942,148 | — | ||||||||||||
| Mortgage-Backed Securities |
839,091 | — | 839,091 | — | ||||||||||||
| Short-Term Investments: |
|
|||||||||||||||
| Commercial Papers |
12,079,436 | — | 12,079,436 | — | ||||||||||||
| Time Deposits |
10,888,197 | — | 10,888,197 | — | ||||||||||||
| U.S. Government Obligations |
63,185,009 | — | 63,185,009 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments, at Value | $ | 457,431,501 | $ | — | $ | 457,431,501 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments — Assets | ||||||||||||||||
| Futures Contracts |
$ | 506,928 | $ | 506,928 | $ | — | $ | — | ||||||||
| Forward Foreign Currency Contracts |
2,192,285 | — | 2,192,285 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments — Assets | $ | 2,699,213 | $ | 506,928 | $ | 2,192,285 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments — Liabilities | ||||||||||||||||
| Reverse Repurchase Agreements |
$ | (37,973,478 | ) | $ | — | $ | (37,973,478 | ) | $ | — | ||||||
| Forward Foreign Currency Contracts |
(312,070 | ) | — | (312,070 | ) | — | ||||||||||
| Centrally Cleared Credit Default Swap |
(343,118 | ) | — | (343,118 | ) | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments — Liabilities | $ | (38,628,666 | ) | $ | — | $ | (38,628,666 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Alternative Strategies Fund |
| |||||||||||||||
| Investments, at Value | ||||||||||||||||
| Open End Mutual Fund Securities: |
||||||||||||||||
| United States |
$ | 149,959,619 | $ | 149,959,619 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments, at Value | $ | 149,959,619 | $ | 149,959,619 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | Includes securities that are fair valued using significant unobservable inputs at $0. |
| ** | Other countries represents countries that are individually less than 5% of Net Assets. |
302
| Notes to Financial Statements |
| (unaudited) (continued) |
The level classification by major category of investments is the same as the category presentation in the Schedules of Investments.
Transfer between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes.
The following is a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining fair value during the period September 1, 2022 through February 28, 2023:
| Total | Common Stocks |
Corporate Bonds & Notes |
Preferred Stocks |
Rights | ||||||||||||||||
| Small-Mid Cap Equity Fund |
||||||||||||||||||||
| Balance as of August 31, 2022 |
$ | — | * | $ | — | * | $ | — | $ | — | $ | — | ||||||||
| Total realized gain (loss) |
— | — | — | — | — | |||||||||||||||
| Change in unrealized appreciation (depreciation) |
— | — | — | — | — | |||||||||||||||
| Purchases |
— | — | — | — | — | |||||||||||||||
| (Sales) |
— | — | — | — | — | |||||||||||||||
| Transfers in |
— | — | — | — | — | |||||||||||||||
| (Transfers out) |
— | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Balance as of February 28, 2023 |
$ | — | * | $ | — | * | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Change in unrealized appreciation (depreciation) from Investments |
$ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total | Common Stocks |
Corporate Bonds & Notes |
Preferred Stocks |
Rights | ||||||||||||||||
| Emerging Markets Equity Fund |
||||||||||||||||||||
| Balance as of August 31, 2022 |
$ | 41,763 | * | $ | 40,927 | * | $ | — | $ | 836 | $ | — | * | |||||||
| Total realized gain (loss) |
— | — | — | — | — | |||||||||||||||
| Change in unrealized appreciation (depreciation) |
— | — | — | — | — | |||||||||||||||
| Purchases |
— | — | — | — | — | |||||||||||||||
| (Sales) |
— | * | — | — | — | — | * | |||||||||||||
| Transfers in |
17 | 17 | — | — | — | |||||||||||||||
| (Transfers out) |
— | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Balance as of February 28, 2023 |
$ | 41,780 | * | $ | 40,944 | * | $ | — | $ | 836 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Change in unrealized appreciation (depreciation) from Investments |
$ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total | Common Stocks |
Corporate Bonds & Notes |
Preferred Stocks |
Rights | ||||||||||||||||
| Core Fixed Income Fund |
||||||||||||||||||||
| Balance as of August 31, 2022 |
$ | 324,809 | * | $ | 324,809 | $ | — | * | $ | — | $ | — | * | |||||||
| Total realized gain (loss) |
— | — | — | — | — | |||||||||||||||
| Change in unrealized appreciation (depreciation) |
(49,515 | ) | (49,515 | ) | — | — | — | |||||||||||||
| Purchases |
— | — | — | — | — | |||||||||||||||
| (Sales) |
— | — | — | — | — | |||||||||||||||
| Transfers in |
— | — | — | — | — | |||||||||||||||
| (Transfers out) |
(275,294 | ) | (275,294 | ) | — | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Balance as of February 28, 2023 |
$ | — | * | $ | — | $ | — | * | $ | — | $ | — | * | |||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Change in unrealized appreciation (depreciation) from Investments |
$ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| * | Includes securities that are valued at $0. |
303
| Notes to Financial Statements |
| (unaudited) (continued) |
(b) Accounting for Derivative Instruments. Derivative instruments require enhanced disclosures regarding a Fund’s credit derivatives holdings, including credit default swaps, credit spread options and hybrid financial instruments containing embedded credit derivatives.
All open derivative positions at the period-end for each Fund are disclosed in the Fund’s Schedule of Investments.
Certain Funds may use derivative instruments including futures, options, forward foreign currency contracts, swaptions and swap contracts as part of their investment strategies. Following is a description of these derivative instruments, including the primary underlying risk exposures related to each instrument type:
(i) Futures Contracts. Certain Funds may enter into futures contracts, to the extent permitted by their investment policies and objectives, for bonafide hedging and other permissible risk management purposes including protecting against anticipated changes in the value of securities a Fund intends to purchase. Upon entering into a futures contract, a Fund is required to deposit cash or securities as initial margin, which is included in deposits for collateral with counterparty on the Statements of Assets and Liabilities. Additional securities are also segregated as collateral up to the current market value of the futures contracts. Subsequent payments, known as variation margin, are made or received by the Fund, depending on the fluctuation in the value of the underlying financial instruments and are reported on the Statements of Assets and Liabilities. The Fund recognizes an unrealized gain or loss equal to the variation margin. When futures contracts are closed, a realized gain or loss is recognized which is equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contracts.
The risks associated with entering into futures contracts include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. In addition, investing in futures contracts involves the risk that the Fund could lose more than the original margin deposit due to subsequent payments that may be required for a futures transaction.
(ii) Options Written. Certain Funds may write options to manage exposure to certain changes in the market. When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the Fund realizes a gain from investments equal to the amount of the premium received. When a written call option is exercised, the premium received is added to the proceeds from the sale of the underlying security in determining whether the Fund has a realized gain or loss. When a written put option is exercised, the amount of the premium received reduces the cost of the security purchased by the Fund.
When writing a covered call option, a Fund may forego the opportunity of profit if the market price of the underlying security increases more than the premium received and the option is exercised. When writing a put option, a Fund may incur a loss if the market price of the underlying security decreases more than the premium received and the option is exercised. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(iii) Purchased Options. Certain Funds may purchase options to manage exposure to certain changes in the market. A Fund will normally purchase call options in anticipation of an increase in the market value of securities of the type in which they may invest, an amount equal to the value is recorded as an asset. The purchase of a call option will entitle a Fund, in return for the premium paid, to purchase specified securities at a specified price during the option period. A Fund will ordinarily realize a gain if, during the option period, the value of such securities exceeded the sum of the exercise price, the premium paid and transaction costs; otherwise, the Fund will realize a loss equal to the amount of the premium paid on the purchase of the call option.
A Fund will normally purchase put options in anticipation of a decline in the market value of securities in its portfolio (“protective puts”) or in securities in which it may invest. The purchase of a put option will entitle the Fund, in exchange for the premium paid, to sell specified securities at a specified price during the option period. The purchase of protective puts is designed to offset or hedge against a decline in the market value of the Fund’s securities. Put options may also be purchased by a Fund for the purpose of affirmatively benefiting from a decline in the price of securities which it does not own. The Fund will ordinarily realize a gain if, during the option period, the value of the underlying securities decreased below the exercise price sufficiently to more than cover the premium and transaction costs; otherwise the Fund will realize a loss equal to the amount of the premium paid on the purchase of the put option. Gains and losses on the purchase of protective put options would tend to be offset by countervailing changes in the value of the underlying portfolio securities.
304
| Notes to Financial Statements |
| (unaudited) (continued) |
(iv) Inflation-Capped Options. Certain Funds may write or purchase inflation-capped options to enhance returns or for hedging opportunities. When a Fund writes an inflation-capped option, an amount equal to the premium received is recorded as a liability on the Statements of Assets and Liabilities and subsequently marked to market to reflect the change value of the option written. When a Fund purchases an inflation-capped option, the Fund pays a premium which is recorded as an asset on the Statements of Assets and Liabilities and subsequently marked to market to reflect the current value of the option. The purpose of purchasing inflation-capped options is to protect a Fund from inflation erosion above a certain rate on a given notional exposure. A floor can be used to give downside protection to investments in inflation-linked products.
(v) Forward Foreign Currency Contracts. Certain Funds may enter into forward foreign currency contracts to hedge against foreign currency exchange rate risk on their non-U.S. dollar denominated securities or to facilitate settlement of foreign currency denominated portfolio transactions. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The contract is marked-to-market daily and the change in value is recorded by a Fund as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through either delivery or offset by entering into another forward foreign currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished.
Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.
(vi) Swaptions. Swaptions contracts entered into by the Funds typically represent an option that gives the purchaser the right, but not the obligation, to enter into a swap contract on a future date. Certain Funds may purchase swaptions to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Changes in the value of purchased swaptions are reported as net change in unrealized appreciation or depreciation on the Statements of Operations and Changes in Net Assets. Gain or loss is recognized when the swaptions contract expires or is closed as net realized gain or loss on the Statements of Operations and Changes in Net Assets. Details of purchased swaptions contracts held at period-end are included on the Fund’s Schedule of Investments under the caption “Purchased Options.”
Certain Funds may write swaption contracts to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Swaption contracts written by a Fund represent an option that obligates the writer upon exercise by the purchaser, to enter into a previously agreed upon swap contract on a future date. If a written call swaption is exercised, the writer will enter into a swap and is obligated to pay the fixed rate and receive a floating rate in exchange. If a written put swaption is exercised, the writer will enter a swap and is obligated to pay the floating rate and receive a fixed rate in exchange.
When a Fund writes a swaption, the premium received is recorded as a liability in the Statements of Assets and Liabilities and is subsequently adjusted to the current market value of the swaption. Changes in the value of the swaption are reported as unrealized gains or losses in the Statements of Operations. A gain or loss is recognized when the swaption contract expires or is closed. Premiums received from writing swaptions that expire or are exercised are treated by the Fund as realized gains from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction is also treated as a realized gain or, if the premium received is less than the amount paid for the closing purchase, as a realized loss.
Entering into a swaption contract involves, to varying degrees, the elements of credit, market and interest rate risk, associated with both option contracts and swap contracts. To reduce credit risk from potential counterparty default, a Fund only enters into swaption contracts with counterparties that meet certain standards of creditworthiness. A Fund bears the market risk arising from any change in index values or interest rates.
(vii) Swap Contracts. Swaps involve the exchange by a Fund with another party of the respective amounts payable with respect to a notional principal amount related to one or more indices. Certain Funds may enter into these transactions to preserve a return or spread on a particular investment or portion of its assets, as a duration management technique or to protect against any increase in the price of securities the Fund anticipates purchasing at a later date. Certain Funds may also use these transactions for speculative purposes, such as to obtain the price performance of a security without actually purchasing the security in circumstances where, for example, the subject security is illiquid, is unavailable for direct investment or available only on less attractive terms.
305
| Notes to Financial Statements |
| (unaudited) (continued) |
Swaps are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as change in unrealized appreciation or depreciation in the Statements of Operations. Net receipts or payments of interest are recorded as realized gains or losses, respectively. Gains and losses are realized upon termination of a swap contract. An upfront payment received by the Fund, is recorded as a liability on the Fund’s books. An upfront payment made by the Fund is recorded as an asset on the Fund’s books. Any upfront payments paid or received upon entering a swap contract to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as a realized gain or loss at the termination of the swap.
Swaps have risks associated with them, including possible default by the counterparty to the transaction, illiquidity and, where swaps are used as hedges, the risk that the use of a swap could result in losses greater than if the swap had not been employed. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty. Such amounts are reported on the Statements of Assets and Liabilities as deposits with counterparties.
(viii) Credit Default Swaps. Certain Funds may enter into credit default swap contracts for investment purposes, to manage their credit risk or to add leverage. As a seller in a credit default swap contract, a Fund is required to pay the notional or other agreed-upon value to the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Fund receives from the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occurs, the Fund keeps the stream of payments and has no payment obligations. Such periodic payments are accrued daily and accounted for as realized gains.
Certain Funds may also purchase credit default swap contracts in order to hedge against the risk of default by debt securities held in their portfolios. In these cases, a Fund functions as the counterparty referenced in the preceding paragraph. As a purchaser of a credit default swap contract, the Fund receives the notional or other agreed upon value from the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Fund makes periodic payments to the counterparty over the term of the contract provided no event of default has occurred. Such periodic payments are accrued daily and accounted for as realized losses.
For a credit default swap sold by a Fund, payment of the agreed upon amount made by the Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation received. For a credit default swap purchased by a Fund, the agreed upon amount received by the Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by the Fund.
Entering into credit default swaps involves, to varying degrees, elements of credit and market risk in excess of the related amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there will be unfavorable changes in net interest rates. As privately negotiated transactions, swaps may involve risk, which is the risk that the swap contracts fail to contemplate a particular outcome or that the parties disagree about the proper interpretation of a transaction term.
(ix) Interest Rate Swaps. Certain Funds may enter into interest rate swaps for investment purposes to manage exposure to fluctuations in interest rates or to add leverage. Interest rate swaps represent an agreement between two counterparties to exchange cash flows based on the difference in the fixed interest rate and the floating interest rate, applied to the notional principal amount for a specified period. The payment flows are usually netted against each other, with the difference being paid by one party to the other. Once the payments are settled in cash, the net amount is recorded as realized gain or loss from swap contracts on the Statements of Operations. The Funds settle accrued net receivable or payable under the swap contracts on a periodic basis.
The primary risk associated with interest rate swaps is that unfavorable changes in interest rates could adversely impact a Fund.
(x) Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit and interest derivatives. In a centrally cleared derivative transaction, a Fund typically enters into the transaction with financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of the original counterparty. The Fund
306
| Notes to Financial Statements |
| (unaudited) (continued) |
typically will be required to post specified levels of margin with the clearinghouse or at the instruction of the clearinghouse. The margin required by a clearinghouse may be greater than the margin the Fund would be required to post in an uncleared derivative transaction. Daily changes in valuation of centrally cleared swaps, if any, are recorded as variation margin receivable or payable on swap contracts for the change in value as appropriate on the Statements of Assets and Liabilities. Only a limited number of derivative transactions are currently eligible for clearing by clearinghouses.
(xi) Cross-Currency Swaps. Certain Funds may enter into cross-currency swaps to gain or mitigate exposure to currency risk. Cross-currency swaps involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specific exchange rates. The exchange of currencies at the inception date of the contract takes place at the current spot rate. The re-exchange at maturity may take place at the same exchange rate, a specified rate, or the then current spot rate. Interest payments, if applicable, are made between the parties based on interest rates available in the two currencies at the inception of the contract. The terms of cross-currency swap contracts may extend for many years. Cross-currency swaps are usually negotiated with commercial and investment banks. Some cross-currency swaps may not provide for exchanging principal cash flows, but only for exchanging interest cash flows.
(xii) Volatility Swap Contracts. A volatility swap is an agreement between counterparties to exchange periodic payments based on the measured volatility of a reference security, index, currency or other reference investment over a specified time frame. One cash flow is typically based on the realized volatility of the reference investment as measured by changes in its price or level over the specified time period while the other cash flow is based on a specified rate representing expected volatility for the reference investment at the time the swap is executed, or the measured volatility of a different reference investment over the specified time period. The appreciation or depreciation on a volatility swap will typically depend on the magnitude of the reference investment’s volatility, or size of the movements in its price, over the specified time period, rather than general directional increases or decreases in its price.
Volatility swaps are less standard in structure than other types of swaps and provide pure, or isolated, exposure to volatility risk of the specific underlying reference investment. Volatility swaps are typically used to speculate on future volatility levels, to trade the spread between realized and expected volatility, or to decrease the volatility exposure of investments held by the Fund.
Variance swaps are a type of volatility swap where counterparties agree to exchange periodic payments based on the measured variance (or the volatility squared) of a reference security, index, or other reference investment over a specified time period. At payment date, a net cash flow will be exchanged based on the difference between the realized variance of the reference investment over the specified time period and the specified rate representing expected variance for the reference investment at the time the swap is executed multiplied by the notional amount of the contract.
(xiii) Inflation Rate Swap Contracts. The Fund may enter into inflation rate swap contracts to attempt to hedge against inflation. Pursuant to the inflation rate swap agreement, the Fund negotiates with a counterparty to exchange a periodic stream of payments, based on a benchmark inflation index. One cash flow stream will typically be a floating rate payment linked to the specified inflation index while the other is typically a fixed interest rate.
Inflation rate swaps are normally issued on a zero coupon basis where all payments compound during the life of the contract and are netted upon the termination or maturity of the contract. Final payments received or paid by the Fund are recorded as realized gains or losses in the Statements of Operations. Inflation rate swap contracts are subject to movements in interest rates.
(xiv) Total Return Swaps. The Fund may enter into total return swap contracts to gain exposure and benefit from reference asset (single asset, or a basket of assets) without actually having to own it. Total return swap contracts are agreements where the total return of a reference asset is paid in exchange for periodic cash flows. The deal is structured such that the total return (asset income plus capital appreciation/depreciation) is exchanged, in the cash flows. Periodic payments received or made by the Fund are recorded as realized gains or losses in the Statements of Operations.
307
| Notes to Financial Statements |
| (unaudited) (continued) |
The following is a summary of the fair valuations of the Funds’ derivative instruments categorized by risk exposure at February 28, 2023:
Large Cap Equity Fund
| Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2023: |
||||||||||||||||||||
| Location | Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
Total | |||||||||||||||
| Asset derivatives | ||||||||||||||||||||
| Unrealized appreciation on open futures contracts (b) |
$ | — | $ | — | $ | — | $ | 13,010 | $ | 13,010 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Liability derivatives | ||||||||||||||||||||
| Unrealized depreciation on open futures contracts (b) |
$ | — | $ | — | $ | — | $ | 53,512 | $ | 53,512 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2023: |
||||||||||||||||||||
| Location | Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
Total | |||||||||||||||
| Realized gain/(loss) on derivatives (d) | ||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | 55,819 | $ | 55,819 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Change in unrealized appreciation (depreciation) on derivatives (e) | ||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | (68,936 | ) | $ | (68,936 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Small-Mid Cap Equity Fund
| Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2023: |
||||||||||||||||||||
| Location | Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
Total | |||||||||||||||
| Asset derivatives | ||||||||||||||||||||
| Unrealized appreciation on open futures contracts (b) |
$ | — | $ | — | $ | — | $ | 3,712 | $ | 3,712 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Liability derivatives | ||||||||||||||||||||
| Unrealized depreciation on open futures contracts (b) |
$ | — | $ | — | $ | — | $ | 1,815 | $ | 1,815 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2023: |
||||||||||||||||||||
| Location | Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
Total | |||||||||||||||
| Realized gain/(loss) on derivatives (d) | ||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | (17,728 | ) | $ | (17,728 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Change in unrealized appreciation (depreciation) on derivatives (e) | ||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | 68,081 | $ | 68,081 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
International Equity Fund
| Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2023: |
||||||||||||||||||||
| Location | Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
Total | |||||||||||||||
| Asset derivatives | ||||||||||||||||||||
| Unrealized appreciation on open futures contracts (b) |
$ | — | $ | — | $ | — | $ | 8,838 | $ | 8,838 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Liability derivatives | ||||||||||||||||||||
| Unrealized depreciation on open futures contracts (b) |
$ | — | $ | — | $ | — | $ | 2,174 | $ | 2,174 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
308
| Notes to Financial Statements |
| (unaudited) (continued) |
| Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2023: |
||||||||||||||||||||
| Location | Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
Total | |||||||||||||||
| Realized gain/(loss) on derivatives (d) | ||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | 103,468 | $ | 103,468 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Change in unrealized appreciation (depreciation) on derivatives (e) | ||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | 14,822 | $ | 14,822 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Emerging Markets Equity Fund
| Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2023: |
||||||||||||||||||||
| Location | Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
Total | |||||||||||||||
| Liability derivatives | ||||||||||||||||||||
| Unrealized depreciation on open futures contracts (b) |
$ | — | $ | — | $ | — | $ | 7,481 | $ | 7,481 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2023: |
||||||||||||||||||||
| Location | Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
Total | |||||||||||||||
| Realized gain/(loss) on derivatives (d) | ||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | (4,464 | ) | $ | (4,464 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Change in unrealized appreciation (depreciation) on derivatives (e) | ||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | 3,861 | $ | 3,861 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Core Fixed Income Fund
| Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2023: |
||||||||||||||||||||
| Location | Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
Total | |||||||||||||||
| Asset derivatives | ||||||||||||||||||||
| Purchased options (c) |
$ | 218,219 | $ | — | $ | — | $ | — | $ | 218,219 | ||||||||||
| Unrealized appreciation on open futures contracts (b) |
688,130 | — | — | — | 688,130 | |||||||||||||||
| Unrealized appreciation on forward foreign currency contracts (c) . |
— | 147,852 | — | — | 147,852 | |||||||||||||||
| Unrealized appreciation on centrally cleared swaps (f) |
8,944,506 | — | 426,465 | — | 9,370,971 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 9,850,855 | $ | 147,852 | $ | 426,465 | $ | — | $ | 10,425,172 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Liability derivatives | ||||||||||||||||||||
| Options contracts written outstanding (a) |
$ | 849,295 | $ | — | $ | — | $ | — | $ | 849,295 | ||||||||||
| Unrealized depreciation on open futures contracts (b) |
1,465,171 | — | — | — | 1,465,171 | |||||||||||||||
| Unrealized depreciation on forward foreign currency contracts (a) |
— | 806,794 | — | — | 806,794 | |||||||||||||||
| Unrealized depreciation on centrally cleared swaps (f) |
2,243,555 | — | 88,276 | — | 2,331,831 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 4,558,021 | $ | 806,794 | $ | 88,276 | $ | — | $ | 5,453,091 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
309
| Notes to Financial Statements |
| (unaudited) (continued) |
| Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2023: |
||||||||||||||||||||
| Location | Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
Total | |||||||||||||||
| Realized gain/(loss) on derivatives (d) | ||||||||||||||||||||
| Purchased options |
$ | (1,905,717 | ) | $ | (83,760 | ) | $ | — | $ | — | $ | (1,989,477 | ) | |||||||
| Futures contracts |
(12,005,952 | ) | — | — | — | (12,005,952 | ) | |||||||||||||
| Options contracts written |
2,463,040 | 22,427 | — | — | 2,485,467 | |||||||||||||||
| Swap contracts |
304,919 | — | (193,974 | ) | — | 110,945 | ||||||||||||||
| Forward foreign currency contracts |
— | (671,859 | ) | — | — | (671,859 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | (11,143,710 | ) | $ | (733,192 | ) | $ | (193,974 | ) | $ | — | $ | (12,070,876 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Change in unrealized appreciation (depreciation) on derivatives (e) | ||||||||||||||||||||
| Purchased options |
$ | 239,020 | $ | 73,175 | $ | — | $ | — | $ | 312,195 | ||||||||||
| Futures contracts |
922,442 | — | — | — | 922,442 | |||||||||||||||
| Options contracts written |
147,074 | 892,175 | — | — | 1,039,249 | |||||||||||||||
| Swap contracts |
1,725,324 | — | 274,226 | — | 1,999,550 | |||||||||||||||
| Forward foreign currency contracts |
— | (430,786 | ) | — | — | (430,786 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 3,033,860 | $ | 534,564 | $ | 274,226 | $ | — | $ | 3,842,650 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
International Fixed Income Fund
| Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2023: |
||||||||||||||||||||
| Location | Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
Total | |||||||||||||||
| Asset derivatives | ||||||||||||||||||||
| Purchased options (c) |
$ | 143,143 | $ | — | $ | — | $ | — | $ | 143,143 | ||||||||||
| Unrealized appreciation on open futures contracts (b) |
122,711 | — | — | — | 122,711 | |||||||||||||||
| Unrealized appreciation on forward foreign currency contracts (c) |
— | 4,301,164 | — | — | 4,301,164 | |||||||||||||||
| Unrealized appreciation on centrally cleared swaps (f) |
3,624,806 | — | 18,503 | — | 3,643,309 | |||||||||||||||
| Unrealized appreciation on OTC swaps (c) |
280,977 | — | 54,220 | — | 335,197 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 4,171,637 | $ | 4,301,164 | $ | 72,723 | $ | — | $ | 8,545,524 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Liability derivatives | ||||||||||||||||||||
| Options contracts written outstanding (a) |
$ | 435,230 | $ | — | $ | — | $ | — | $ | 435,230 | ||||||||||
| Unrealized depreciation on open futures contracts (b) |
1,216,135 | — | — | — | 1,216,135 | |||||||||||||||
| Unrealized depreciation on forward foreign currency contracts (a) |
— | 756,983 | — | — | 756,983 | |||||||||||||||
| Unrealized depreciation on centrally cleared swaps (f) |
6,646,840 | — | 171,254 | — | 6,818,094 | |||||||||||||||
| Unrealized depreciation on OTC swaps (a) |
12,310 | 29,926 | — | — | 42,236 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 8,310,515 | $ | 786,909 | $ | 171,254 | $ | — | $ | 9,268,678 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
310
| Notes to Financial Statements |
| (unaudited) (continued) |
| Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2023: |
||||||||||||||||||||
| Location | Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
Total | |||||||||||||||
| Realized gain/(loss) on derivatives (d) | ||||||||||||||||||||
| Futures contracts |
$ | 253,836 | $ | — | $ | — | $ | — | $ | 253,836 | ||||||||||
| Options contracts written |
147,744 | 10,994 | 7,443 | — | 166,181 | |||||||||||||||
| Swap contracts |
(347,447 | ) | — | 195,321 | 657,371 | 505,245 | ||||||||||||||
| Forward foreign currency contracts |
— | (1,141,070 | ) | — | — | (1,141,070 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 54,133 | $ | (1,130,076 | ) | $ | 202,764 | $ | 657,371 | $ | (215,808 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Change in unrealized appreciation (depreciation) on derivatives (e) | ||||||||||||||||||||
| Purchased options |
$ | 36,364 | $ | — | $ | — | $ | — | $ | 36,364 | ||||||||||
| Futures contracts |
(406,146 | ) | — | — | — | (406,146 | ) | |||||||||||||
| Options contracts written |
182,323 | — | 1,980 | — | 184,303 | |||||||||||||||
| Swap contracts |
(2,421,256 | ) | (24,113 | ) | (489,547 | ) | — | (2,934,916 | ) | |||||||||||
| Forward foreign currency contracts |
— | 287,871 | — | — | 287,871 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | (2,608,715 | ) | $ | 263,758 | $ | (487,567 | ) | $ | — | $ | (2,832,524 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Municipal Bond Fund
| Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2023: |
||||||||||||||||||||
| Location | Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
Total | |||||||||||||||
| Asset derivatives | ||||||||||||||||||||
| Unrealized appreciation on open futures contracts (b) |
$ | 54,568 | $ | — | $ | — | $ | — | $ | 54,568 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2023: |
||||||||||||||||||||
| Location | Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
Total | |||||||||||||||
| Realized gain/(loss) on derivatives (d) | ||||||||||||||||||||
| Futures contracts |
$ | 244,726 | $ | — | $ | — | $ | — | $ | 244,726 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Change in unrealized appreciation (depreciation) on derivatives (e) | ||||||||||||||||||||
| Futures contracts |
$ | 45,846 | $ | — | $ | — | $ | — | $ | 45,846 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
311
| Notes to Financial Statements |
| (unaudited) (continued) |
Inflation-Linked Fixed Income Fund
| Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2023: |
||||||||||||||||||||
| Location | Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
Total | |||||||||||||||
| Asset derivatives | ||||||||||||||||||||
| Purchased options (c) |
$ | 238,159 | $ | — | $ | — | $ | — | $ | 238,159 | ||||||||||
| Unrealized appreciation on open futures contracts (b) |
487,285 | — | — | — | 487,285 | |||||||||||||||
| Unrealized appreciation on forward foreign currency contracts (c) |
— | 424,276 | — | — | 424,276 | |||||||||||||||
| Unrealized appreciation on centrally cleared swaps (f) |
2,647,614 | — | — | — | 2,647,614 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 3,373,058 | $ | 424,276 | $ | — | $ | — | $ | 3,797,334 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Liability derivatives | ||||||||||||||||||||
| Options contracts written outstanding (a) |
$ | 399,516 | $ | — | $ | — | $ | — | $ | 399,516 | ||||||||||
| Unrealized depreciation on open futures contracts (b) |
180,667 | — | — | — | 180,667 | |||||||||||||||
| Unrealized depreciation on forward foreign currency contracts (a) |
— | 41,600 | — | — | 41,600 | |||||||||||||||
| Unrealized depreciation on centrally cleared swaps (f) |
2,722,180 | — | 254 | — | 2,722,434 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 3,302,363 | $ | 41,600 | $ | 254 | $ | — | $ | 3,344,217 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2023: |
||||||||||||||||||||
| Location | Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
Total | |||||||||||||||
| Realized gain/(loss) on derivatives (d) | ||||||||||||||||||||
| Purchased options |
$ | (160,242 | ) | $ | — | $ | — | $ | — | $ | (160,242 | ) | ||||||||
| Futures contracts |
430,054 | — | — | — | 430,054 | |||||||||||||||
| Options contracts written |
142,740 | — | 727 | — | 143,467 | |||||||||||||||
| Swap contracts |
(752,404 | ) | — | 508 | — | (751,896 | ) | |||||||||||||
| Forward foreign currency contracts |
— | (765,235 | ) | — | — | (765,235 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | (339,852 | ) | $ | (765,235 | ) | $ | 1,235 | $ | — | $ | (1,103,852 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Change in unrealized appreciation (depreciation) on derivatives (e) | ||||||||||||||||||||
| Purchased options |
$ | (358,054 | ) | $ | — | $ | — | $ | — | $ | (358,054 | ) | ||||||||
| Futures contracts |
393,138 | — | — | — | 393,138 | |||||||||||||||
| Options contracts written |
494,291 | — | 371 | — | 494,662 | |||||||||||||||
| Swap contracts |
534,468 | — | 72 | — | 534,540 | |||||||||||||||
| Forward foreign currency contracts |
— | (67,584 | ) | — | — | (67,584 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 1,063,843 | $ | (67,584 | ) | $ | 443 | $ | — | $ | 996,702 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Ultra–Short Term Fixed Income Fund
| Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2023: |
||||||||||||||||||||
| Location | Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
Total | |||||||||||||||
| Asset derivatives | ||||||||||||||||||||
| Unrealized appreciation on open futures contracts (b) |
$ | 506,928 | $ | — | $ | — | $ | — | $ | 506,928 | ||||||||||
| Unrealized appreciation on forward foreign currency contracts (c) |
— | 2,192,285 | — | — | 2,192,285 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 506,928 | $ | 2,192,285 | $ | — | $ | — | $ | 2,699,213 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Liability derivatives | ||||||||||||||||||||
| Unrealized depreciation on forward foreign currency contracts (a) |
$ | — | $ | 312,070 | $ | — | $ | — | $ | 312,070 | ||||||||||
| Unrealized depreciation on centrally cleared swaps (f) |
— | — | 343,118 | — | 343,118 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | — | $ | 312,070 | $ | 343,118 | $ | — | $ | 655,188 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
312
| Notes to Financial Statements |
| (unaudited) (continued) |
| Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2023: |
||||||||||||||||||||
| Location | Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
Total | |||||||||||||||
| Realized gain/(loss) on derivatives (d) | ||||||||||||||||||||
| Futures contracts |
$ | 3,527,284 | $ | — | $ | — | $ | — | $ | 3,527,284 | ||||||||||
| Swap contracts |
— | — | (29,001 | ) | — | (29,001 | ) | |||||||||||||
| Forward foreign currency contracts |
— | 68,624 | — | — | 68,624 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 3,527,284 | $ | 68,624 | $ | (29,001 | ) | $ | — | $ | 3,566,907 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Change in unrealized appreciation (depreciation) on derivatives (e) | ||||||||||||||||||||
| Futures contracts |
$ | 106,717 | $ | — | $ | — | $ | — | $ | 106,717 | ||||||||||
| Swap contracts |
— | — | (1,140,960 | ) | — | (1,140,960 | ) | |||||||||||||
| Forward foreign currency contracts |
— | (765,866 | ) | — | — | (765,866 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 106,717 | $ | (765,866 | ) | $ | (1,140,960 | ) | $ | — | $ | (1,800,109 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (a) | Statements of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts, unrealized depreciation on OTC swap contracts or options contracts written, at value. |
| (b) | Only variation margin, if any, is reported within the Statements of Assets and Liabilities. Cumulative appreciation (depreciation) on futures contracts is reported in the open exchanged-traded futures contracts table in the Fund’s Schedule of Investments. |
| (c) | Statements of Assets and Liabilities location: Investments, at value or unrealized appreciation on open forward foreign currency contracts or unrealized appreciation on OTC swap contracts. |
| (d) | Statements of Operations location: Net realized gain (loss) from investments, forward foreign currency contracts, futures contracts, options contracts written or swap contracts. |
| (e) | Statements of Operations location: Change in net unrealized appreciation (depreciation) from investments, forward foreign currency contracts, futures contracts, options contracts written or swap contracts. |
| (f) | Only variation margin, if any, is reported within the Statements of Assets and Liabilities. Cumulative appreciation (depreciation) on centrally cleared swaps is reported in the open swap contracts table in the Fund’s Schedule of Investments. |
The average monthly notional amounts of futures contracts, swaps contracts and forward foreign currency contracts, and the monthly average market value of options contracts written and purchased options outstanding during the period ended February 28, 2023 were as follows:
Large Cap Equity Fund
| Interest risk |
Foreign exchange risk |
Credit risk |
Equity risk |
|||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | 12,409,260 | ||||||||
|
Small-Mid Cap Equity Fund
|
||||||||||||||||
| Interest risk |
Foreign exchange risk |
Credit risk |
Equity risk |
|||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | 1,925,140 | ||||||||
|
International Equity Fund
|
||||||||||||||||
| Interest risk |
Foreign exchange risk |
Credit risk |
Equity risk |
|||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | 1,321,328 | ||||||||
|
Emerging Markets Equity Fund
|
||||||||||||||||
| Interest risk |
Foreign exchange risk |
Credit risk |
Equity risk |
|||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | 654,050 | ||||||||
313
| Notes to Financial Statements |
| (unaudited) (continued) |
| Core Fixed Income Fund
|
||||||||||||||||
| Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
|||||||||||||
| Purchased options |
$ | 194,121 | $ | 1,522 | $ | — | $ | — | ||||||||
| Futures contracts |
587,525,632 | — | — | — | ||||||||||||
| Option contracts written |
896,116 | 242,901 | — | — | ||||||||||||
| Swap contracts |
82,894,714 | — | 44,527,800 | — | ||||||||||||
| Forward foreign currency contracts |
— | 35,738,261 | — | — | ||||||||||||
|
International Fixed Income Fund
|
||||||||||||||||
| Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
|||||||||||||
| Purchased options |
$ | 129,772 | $ | — | $ | — | $ | — | ||||||||
| Futures contracts |
130,304,276 | — | — | — | ||||||||||||
| Option contracts written |
558,050 | 969 | 2,394 | — | ||||||||||||
| Swap contracts |
337,289,799 | 1,410,510 | 21,079,497 | — | ||||||||||||
| Forward foreign currency contracts |
— | 223,808,204 | — | — | ||||||||||||
|
Municipal Bond Fund
|
||||||||||||||||
| Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
|||||||||||||
| Futures contracts |
$ | 7,322,961 | $ | — | $ | — | $ | — | ||||||||
|
Inflation-Linked Fixed Income Fund
|
||||||||||||||||
| Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
|||||||||||||
| Purchased options |
$ | 489,477 | $ | — | $ | — | $ | — | ||||||||
| Futures contracts |
64,849,489 | — | — | — | ||||||||||||
| Option contracts written |
719,515 | — | 298 | — | ||||||||||||
| Swap contracts |
49,181,218 | — | 100,000 | — | ||||||||||||
| Forward foreign currency contracts |
— | 38,187,411 | — | — | ||||||||||||
|
Ultra-Short Term Fixed Income Fund
|
||||||||||||||||
| Interest rate risk |
Foreign exchange risk |
Credit risk |
Equity risk |
|||||||||||||
| Futures contracts |
$ | 131,776,864 | $ | — | $ | — | $ | — | ||||||||
| Swap contracts |
— | — | 91,257,143 | — | ||||||||||||
| Forward foreign currency contracts |
— | 160,116,088 | — | — | ||||||||||||
(c) Repurchase Agreements. When entering into repurchase agreements, it is the Funds’ policy that their custodian or a third party custodian takes possession of the underlying collateral securities, the market value of which at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market daily to ensure the adequacy of the collateral. If the seller defaults and the market value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Funds may be delayed or limited.
314
| Notes to Financial Statements |
| (unaudited) (continued) |
(d) Stripped Securities. Certain Funds may invest in “Stripped Securities”, a term used collectively for stripped fixed income securities. Stripped Securities can be principal-only securities (“PO”), which are debt obligations that have been stripped of interest coupons, or interest-only securities (“IO”), which are interest coupons that have been stripped from debt obligations. As is the case with all securities, the market value of Stripped Securities will fluctuate in response to changes in economic conditions, interest rates and the market’s perception of the securities. However, fluctuations in response to interest rates may be greater in Stripped Securities than for debt obligations of comparable maturities that pay interest currently. The amount of fluctuation increases with a longer period of maturity. The yield-to-maturity on an IO is sensitive to the rate of principal repayments (including prepayments) on the related underlying debt obligation and principal payments may have a material effect on yield to maturity. If the underlying debt obligation experiences greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment in the IO.
(e) Time Deposits. Certain Funds may purchase overnight time deposits issued by offshore branches of U.S. banks that meet credit and risk standards established by the custodian and approved by the Board.
(f) Lending of Portfolio Securities. The Trust has an agreement with its custodian, whereby the custodian, as agent, may lend securities owned by the Funds to brokers, dealers and other financial organizations that have been approved as borrowers by the Funds. The custodian enters into agreements with the borrowers. Loans of securities by a Fund are collateralized by cash, U.S. government securities or irrevocable performance letters of credit issued by banks approved by the Funds. All non-cash collateral is received, held and administered by the custodian in an applicable custody account or other account established for the purpose of holding collateral for each Fund. Cash collateral received by the Funds as a result of securities lending activities is invested in an unaffiliated registered money market fund, and is recorded as Payable for collateral received from securities on loan within the Statements of Assets and Liabilities. Securities lending income represents the income earned on investing cash collateral plus any premium payments that may be received on the loan of certain types of securities, less fees and expenses associated with the loan. Each Fund maintains the risk of any market loss on its securities on loan as well as the potential loss on investments purchased with cash collateral received from its securities lending. The custodian has the right under its agreement with the borrowers to recover any loaned securities from the borrower on demand. Additionally, the Funds are exposed to risks that a borrower may not provide additional collateral when required or return loaned securities when due. If the borrower fails to return the securities, the custodian will use the collateral to purchase replacement securities. The custodian is responsible for any shortfall in collateral value under certain circumstances.
The following table presents securities on loan that are subject to enforceable netting arrangements as of February 28, 2023:
Gross Amounts Not Offset in the Statements of Assets and Liabilities
| Fund | Gross Asset Amount Presented in the Statements of Assets and Liabilities (a) |
Financial Instrument |
Collateral Received (b)(c) |
Net Amount (Not Less than $0) |
||||||||||
| Large Cap Equity Fund |
$ | 6,469,508 | $ — | $ | (6,469,508 | ) | $ | 0 | ||||||
| Small-Mid Cap Equity Fund |
15,163,724 | — | (15,163,724 | ) | 0 | |||||||||
| International Equity Fund |
26,088,500 | — | (26,088,500 | ) | 0 | |||||||||
| Emerging Markets Equity Fund |
1,405,047 | — | (1,405,047 | ) | 0 | |||||||||
| (a) | Represents market value of securities on loan at period end. |
| (b) | The Funds received cash collateral of $6,576,238, $15,489,693, $19,305,518 and $1,169,429, respectively, which was subsequently invested in Invesco STIT – Government & Agency Portfolio as reported in the Schedules of Investments. In addition, the Funds received non-cash collateral of $0, $0, $8,087,454 and $278,524, respectively, in the form of U.S. Government Obligations, which the Funds cannot sell or repledge, and accordingly are not reflected in the Schedule of Investments. |
| (c) | The actual collateral received could be greater than the amount shown here due to overcollateralization. |
The Funds have adopted the disclosure provisions of FASB Accounting Standards Update No. 2014-11 (“ASU No. 2014-11”), “Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures.” ASU No. 2014-11 is intended to provide increased transparency about the types of collateral pledged in securities lending transactions and other similar transactions that are accounted for as secured borrowing.
315
| Notes to Financial Statements |
| (unaudited) (continued) |
The following table displays a breakdown of transactions accounted for as secured borrowings, the gross obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of February 28, 2023:
| Remaining Contractual Maturity of the Agreements As of February 28, 2023 |
||||||||||||||||||||
| Overnight and Continuous |
< 30 days | Between 30 & 90 days |
> 90 days | Total | ||||||||||||||||
| Large Cap Equity Fund | ||||||||||||||||||||
| Securities Lending Transactions | ||||||||||||||||||||
| Common Stocks |
$ | 6,576,238 | $ | — | $ | — | $ | — | $ | 6,576,238 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Borrowings |
$ | 6,576,238 | $ | — | $ | — | $ | — | $ | 6,576,238 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Gross amount of recognized liabilities for securities lending transactions |
|
$ | 6,576,238 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Small-Mid Cap Equity Fund | ||||||||||||||||||||
| Securities Lending Transactions | ||||||||||||||||||||
| Common Stocks |
$ | 15,489,693 | $ | — | $ | — | $ | — | $ | 15,489,693 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Borrowings |
$ | 15,489,693 | $ | — | $ | — | $ | — | $ | 15,489,693 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Gross amount of recognized liabilities for securities lending transactions |
|
$ | 15,489,693 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| International Equity Fund | ||||||||||||||||||||
| Securities Lending Transactions | ||||||||||||||||||||
| Common Stocks |
$ | 19,305,518 | $ | — | $ | — | $ | — | $ | 19,305,518 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Borrowings |
$ | 19,305,518 | $ | — | $ | — | $ | — | $ | 19,305,518 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Gross amount of recognized liabilities for securities lending transactions |
|
$ | 19,305,518 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Emerging Markets Equity Fund | ||||||||||||||||||||
| Securities Lending Transactions | ||||||||||||||||||||
| Common Stocks |
$ | 1,169,429 | $ | — | $ | — | $ | — | $ | 1,169,429 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Borrowings |
$ | 1,169,429 | $ | — | $ | — | $ | — | $ | 1,169,429 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Gross amount of recognized liabilities for securities lending transactions |
|
$ | 1,169,429 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Inflation-Linked Fixed Income Fund | ||||||||||||||||||||
| Reverse Repurchase Agreements Transactions | ||||||||||||||||||||
| U.S. Government Obligations |
$ | — | $ | 10,551,500 | $ | 17,935,003 | $ | — | $ | 28,486,503 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Borrowings |
$ | — | $ | 10,551,500 | $ | 17,935,003 | $ | — | $ | 28,486,503 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Gross amount of recognized liabilities for reverse repurchase agreements transactions |
|
$ | 28,486,503 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Ultra-Short Term Fixed Income Fund | ||||||||||||||||||||
| Reverse Repurchase Agreements Transactions | ||||||||||||||||||||
| U.S. Government Obligations |
$ | — | $ | 18,136,067 | $ | — | $ | 19,837,411 | $ | 37,973,478 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Borrowings |
$ | — | $ | 18,136,067 | $ | — | $ | 19,837,411 | $ | 37,973,478 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Gross amount of recognized liabilities for reverse repurchase agreements transactions |
|
$ | 37,973,478 | |||||||||||||||||
|
|
|
|||||||||||||||||||
(g) To-Be-Announced Purchase and Sale Commitments. Certain Funds may trade securities on a to-be-announced (“TBA”) basis. In a TBA transaction, a Fund commits to purchasing or selling securities which have not yet been issued by the issuer and for which specific information is not known, such as the face amount and maturity date and the underlying pool of investments in U.S. government agency mortgage pass-through transactions. Securities purchased on a TBA basis are not settled until they are delivered to the Fund, normally 15 to 45 days later. Beginning on the date the Fund enters into a TBA transaction, cash, U.S.
316
| Notes to Financial Statements |
| (unaudited) (continued) |
government securities or other liquid high-grade debt obligations are segregated in an amount equal in value to the purchase price of the TBA security. These transactions are marked-to-market on a daily basis and are subject to market fluctuations. Realized gains or losses on TBA purchase commitments are included in Net realized gain (loss) on investments on the Statements of Operations. Any fluctuation in the value of the purchased TBA commitments is included in Net change in unrealized appreciation (depreciation) on investments on the Statements of Operations.
Additionally, when a Fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A Fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund’s Schedule of Investments under the caption “Schedule of Forward Sale Commitments.” The proceeds and value of these commitments are recorded as Forward Sale Commitments at value in the Statements of Assets and Liabilities.
(h) Short Sales of Securities. A short sale is a transaction in which a Fund sells securities it does not own in anticipation of a decline in the market price of the securities. To complete a short sale, the Fund may arrange through a broker to borrow the securities to be delivered to the buyer. The proceeds received by the Fund for the short sale are retained by the broker until the Fund replaces the borrowed securities. In borrowing the securities to be delivered to the buyer, the Fund becomes obligated to replace the securities borrowed at their market price at the time of replacement, whatever that price may be.
The risk of engaging in short sale transactions is that selling short magnifies the potential for loss to a Fund. The larger the Fund’s short position, the greater the potential loss. If a security sold short increases in price, the Fund may have to cover its short position at a higher price than the short sale price, resulting in a loss. To borrow the security, the Fund also may be required to pay a premium, which could decrease the proceeds of the security sold short. The amount of any gain will be decreased, and the amount of any loss increased, by the amount of the premium, dividends, interest or expenses the Fund may be required to pay in connection with the short sale. In addition, because the Fund’s loss on a short sale arises from increases in the value of the security sold short, such loss is unlimited.
(i) Mortgage Dollar Rolls. Certain Funds may sell mortgage-backed securities for delivery in the current month and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities to settle on a specific future date at an agreed upon price. Pools of mortgage securities are used to collateralize mortgage dollar roll transactions and may have different prepayment histories than those sold. During the period between the sale and the repurchase, a Fund forgoes principal and interest paid on the securities sold. Proceeds of the sale will be invested in short-term instruments and the income from these investments, together with any additional fee income received on a sale, is intended to generate income for a Fund. A Fund accounts for mortgage dollar roll transactions as purchases and sales and realizes the gain or loss at the time the transaction is entered into on these transactions. If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sale price and the future purchase price is recorded as an adjustment to interest income.
Mortgage dollar roll transactions involve the risk that the market value of the securities a Fund is obligated to repurchase under the agreement may decline below the repurchase price of those securities. If investment performance of securities purchased with proceeds from these transactions does not exceed the income, capital appreciation and gain or loss that would have been realized on the securities sold as part of the dollar roll, the use of this technique will adversely impact the investment performance of a Fund. In the event the buyer of securities under a mortgage dollar roll files for bankruptcy or becomes insolvent, the Fund’s use of proceeds of the dollar roll may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to repurchase the securities.
(j) Credit and Market Risk. Certain Funds invest in high yield instruments that are subject to certain credit and market risks. The yields of high yield obligations reflect, among other things, perceived credit and market risks. Each Fund’s investment in securities rated below investment grade typically involve risks not associated with higher rated securities, including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.
317
| Notes to Financial Statements |
| (unaudited) (continued) |
(k) Foreign Investment and Currency Risks. Certain Funds’ investments in foreign securities may involve risks not present in domestic investments. Because securities may be denominated in foreign currencies and may require settlement in foreign currencies and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of a Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.
(l) Emerging Markets Risk. In addition to foreign investment and currency risks, which tend to be amplified in emerging markets, emerging markets may experience rising interest rates, or, more significantly, rapid inflation or hyperinflation. The economies of emerging market countries may grow at slower rates than expected or suffer a downturn or recession. Emerging market securities may present market, credit, liquidity, legal, political and other risks different from, or greater than, the risks of investing in developed foreign countries.
(m) LIBOR Discontinuance or Unavailability Risk. LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The Financial Conduct Authority (the “FCA”), which is the regulatory authority that oversees financial services firms, financial markets in the U.K. and the administrator of LIBOR, announced that, after the end of 2021, one-week and two-month U.S. Dollar LIBOR and all non-U.S. Dollar LIBOR settings have either ended or are no longer representative of the underlying market they seek to measure. The FCA also announced that the most commonly used U.S. Dollar LIBOR settings may continue to be provided on a representative basis until the end of June 2023. However, in connection with supervisory guidance from regulators, some regulated entities may no longer enter into most new LIBOR-based contracts. As a result of the foregoing, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain derivatives and other instruments or investments held by the Fund. In light of this eventuality, public and private sector industry initiatives are currently underway to establish new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of the Fund’s investments and result in costs incurred in connection with closing out positions and entering into new trades.
Neither the effect of the LIBOR transition process nor its ultimate success can yet be known. The transition process might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of hedges placed against, instruments whose terms currently include LIBOR. While some existing LIBOR-based instruments may contemplate a scenario where LIBOR is no longer available by providing for an alternative rate-setting methodology, there may be significant uncertainty regarding the effectiveness of any such alternative methodologies to replicate LIBOR. Some of the Fund’s investments may be so-called “tough legacy” LIBOR instruments which may not have effective alternative rate-setting provisions or may involve counterparties who are unwilling to add or exercise rights under alternative rate-setting provisions in such instruments. On March 15, 2022, the Adjustable Interest Rate (LIBOR) Act was signed into law. This law provides a statutory fallback mechanism on a nationwide basis to replace U.S. Dollar LIBOR with a benchmark rate that is selected by the Board of Governors of the Federal Reserve System based on the Secured Overnight Financing Rate (“SOFR”) for tough legacy contracts. On February 27, 2023, the final rule in connection with this law became effective, establishing benchmark replacements based on SOFR and Term SOFR (a forward-looking measurement of market expectations of SOFR implied from certain derivatives markets) for applicable tough legacy contracts governed by U.S. law. In addition, the FCA has announced that it will require the publication of the one-month, three-month and six-month U.S. Dollar LIBOR settings on the basis of a changed methodology (known as “synthetic LIBOR”), after June 30, 2023 through at least September 30, 2024, addressing non-U.S. law governed U.S. Dollar LIBOR instruments, but this synthetic LIBOR will be designated by the FCA as unrepresentative of the underlying market that it seeks to measure and will be solely available for use in legacy transactions. The transition of investments from LIBOR to a replacement rate as a result of amendment, application of existing fallbacks, statutory requirements, the application of synthetic LIBOR or otherwise may also result in a reduction in the value of certain instruments held by the Fund or a reduction in the effectiveness of related Fund transactions such as hedges. In addition, a liquid market for newly-issued instruments that use a reference rate other than LIBOR is still developing. There may also be challenges for the Fund to enter into hedging transactions against such newly-issued instruments until a market for such hedging transactions more fully develops. All of the aforementioned may adversely affect the Fund’s investments (including their volatility, value and liquidity) and, as a result, the performance or NAV.
318
| Notes to Financial Statements |
| (unaudited) (continued) |
(n) Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
(o) Market Risk. An investment in the Fund is based on the values of the Fund’s investments, which may change due to economic and other events that affect markets generally, as well as those that affect particular regions, countries, industries, companies or governments. Social, political, economic and other conditions and events, such as war, natural disasters, health emergencies (e.g., epidemics and pandemics), terrorism, conflicts, social unrest, recessions, inflation, rapid interest rate changes and supply chain disruptions, may occur and could significantly impact issuers, industries, governments and other systems, including the financial markets and global economy. It is difficult to predict when events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects (which may last for extended periods). These events may be sudden and significant and may negatively impact broad segments of businesses and populations and have a significant and rapid negative impact on the performance of and/or income or yield from the Fund’s investments and exacerbate pre-existing risks to the Fund. For example, the extent of the impact of a public health emergency depends on future developments, including (i) the duration and spread of the public health emergency, (ii) the restrictions and advisories, (iii) the effects on the financial markets, (iv) government and regulatory responses, and (v) the effects on the economy overall as a result of developments such as disruption to consumer demand, economic output and supply chains. The occurrence, duration and extent of these or other types of adverse economic and market conditions and uncertainty over the long term cannot be reasonably projected or estimated at this time. The ultimate impact of public health emergencies or other adverse economic or market developments and the extent to which the associated conditions impact the Fund will also depend on other future developments, which are highly uncertain, difficult to accurately predict and subject to change at any time. The financial performance of the Fund’s investments (and, in turn, the Fund’s investment results) as well as their liquidity may be adversely affected because of these and similar types of factors and developments.
The continued conflict between Russia and Ukraine resulted in many countries, including the U.S., imposing economic sanctions on Russian governmental institutions, Russian entities, and Russian individuals, which have had a negative impact on the Russian economy and currency, and on investments and companies economically tied to Russia and Ukraine and certain other neighboring countries. Russia in turn imposed its own restrictions against investors and countries outside Russia. Businesses in the U.S. and globally have experienced shortages in materials and increased costs for transportation, energy and raw materials due, in part, to the negative effects of the conflict on the global economy. The escalation or continuation of the conflict between Russia and Ukraine or other hostilities presents heightened risks relating to cyber-attacks, the frequency and volume of failures to settle securities transactions, supply chain disruptions, inflation, as well as the potential for increased volatility in commodity, currency and other financial markets. This conflict could continue to have an adverse effect on global markets performance and liquidity, thereby negatively affecting the value of the Fund’s investments beyond any direct exposure to Russian or Ukrainian issuers, markets or economies. The duration and extent of the economic impacts resulting from the military conflict with Russia and the related sanctions is uncertain at this time.
(p) Security Transactions and Investment Income. Security transactions are accounted for on a trade date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis. Dividend income is recorded on the ex-dividend date. Foreign dividend income is recorded on the ex-dividend date or as soon as practical after a Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Non-cash dividends received in the form of stock, if any, are recognized on the ex-dividend date and recorded as income from non-cash dividends at fair value. Interest and dividend income payable by delivery of additional shares is reclassified as PIK (payment-in-kind) income upon receipt, if any, and is included in interest and dividend income, respectively. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults on an expected interest payment, the Trust’s policy is to generally halt any additional “interest income accruals and accretion” and consider the Fund’s ability to realize interest accrued up to the date of default.
(q) Foreign Currency Translation. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.
319
| Notes to Financial Statements |
| (unaudited) (continued) |
The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments in the Statements of Operations.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities, at the date of valuation, resulting from changes in exchange rates.
Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.
(r) Distributions to Shareholders. Distributions from net investment income for Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund, International Fixed Income Fund and Alternative Strategies Fund, if any, are declared and paid on an annual basis. Distributions from net investment income for Core Fixed Income Fund, High Yield Fund, Municipal Bond Fund, Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund, if any, are declared and paid on a monthly basis.
The Funds intend to satisfy conditions that will enable interest from municipal securities, which are exempt from regular federal income tax and from designated state income taxes, to retain such tax-exempt status when distributed to the shareholders of the Funds. Distributions of net realized gains to shareholders of the Funds, if any, are taxable and are declared at least annually. Distributions to shareholders of the Funds are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.
(s) Federal and Other Taxes. It is the Trust’s policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, each Fund intends to distribute substantially all of its income and net realized gains on investments, if any, to shareholders each year. Therefore, no federal income tax provision is required in the Funds’ financial statements. Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.
Management has reviewed the tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years or expected to be taken in 2019 tax returns. Each Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
(t) Reclassification. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share.
(u) Restricted Securities. All Funds may invest in non-publicly traded securities, commonly called restricted securities. Restricted securities may be less liquid than publicly-traded securities. Although certain restricted securities may be resold in privately negotiated transactions, the values realized from these sales could be less than originally paid by a Fund. Certain restricted securities may be deemed liquid by the Manager and/or Sub-adviser pursuant to the procedures approved by the Board. The value of restricted securities is determined as described in Note 1(a).
(v) Reverse Repurchase Agreements. Certain Funds may each enter into reverse repurchase agreements with the financial institutions with which it may enter into repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities to a financial institution and agrees to repurchase them at a mutually agreed upon date, price and rate of interest. During the period between the sale and repurchase, the Fund would not be entitled to principal and interest paid on the securities sold by the Fund. The Fund, however, would seek to achieve gains derived from the difference between the current sale price and the forward price for the future purchase as well as the interest earned on the proceeds on the initial sale. Reverse repurchase agreements involve the risk that the market value of the securities purchased with the proceeds from the sale of the securities received by the Fund may decline below the price of the securities the Fund is obligated to repurchase. Reverse repurchase agreements also involve credit risk with the counterparty to the extent that the value of securities subject to repurchase exceed the Fund’s liability under the reverse
320
| Notes to Financial Statements |
| (unaudited) (continued) |
repurchase agreement. Reverse repurchase agreements will be viewed as borrowings by a Fund for the purpose of calculating the Fund’s indebtedness and will have the effect of leveraging the Fund’s assets.
(w) Indemnification. In the normal course of business, the Funds may enter into contracts that provide certain indemnifications. The Funds’ maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be estimated; however, based on experience, risk of loss from such claims is considered remote.
(x) Senior Floating-Rate Loans. Interests in senior floating-rate loans (“Senior Loans”) for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service. Other Senior Loans are valued at fair value by the investment adviser under procedures approved by the Trustees. In fair valuing a Senior Loan, the investment adviser utilizes one or more of the valuation techniques described in (i) through (iii) below to assess the likelihood that the borrower will make a full repayment of the loan underlying such Senior Loan relative to yields on other Senior Loans issued by companies of comparable credit quality. If the investment adviser believes that there is a reasonable likelihood of full repayment, the investment adviser will determine fair value using a matrix pricing approach that considers the yield on the Senior Loan. If the investment adviser believes there is not a reasonable likelihood of full repayment, the investment adviser will determine fair value using analyses that include, but are not limited to: (i) a comparison of the value of the borrower’s outstanding equity and debt to that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale. In certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrower’s assets are likely to be sold. In conducting its assessment and analyses for purposes of determining fair value of a Senior Loan, the investment adviser will use its discretion and judgment in considering and appraising relevant factors. Fair value determinations are made by the portfolio managers of the Fund based on information available to such managers. The portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may not possess the same information about a Senior Loan borrower as the portfolio managers of the Fund. At times, the fair value of a Senior Loan determined by the portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may vary from the fair value of the same Senior Loan determined by the portfolio managers of the Fund. The fair value of each Senior Loan is periodically reviewed and approved by the investment adviser’s Valuation Committee and by the Trustees based upon procedures approved by the Trustees. Junior Loans (i.e., subordinated loans and second lien loans) are valued in the same manner as Senior Loans.
In connection with bank loan interests, the Fund may enter into unfunded bank loan interests (“commitments”). Unfunded loan commitments may be partially or wholly unfunded. The Fund is obligated to fund those commitments at borrower’s discretion. In connection with these commitments, the Fund earns a commitment fee, which is included in interest income in the Statements of Operations and recognized respectively over the commitment period.
The following table summarizes the Core Fixed Income Fund’s fully unfunded loan position as of February 28, 2023:
| Security | Principal | Unfunded Bank Loan Interest (Cost) |
Value of Underlying Bank Loan Interest (Value) |
Unrealized Depreciation |
||||||||||||
| athenahealth Group Inc. |
$ | 70,495 | $ | 69,836 | $ | 65,413 | $ (4,423 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
(y) Sale-Buyback and Buy-Saleback Transactions. A sale-buyback financing transaction consists of a sale of a security by a Fund to a counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed-upon price and date. The Fund will segregate assets determined to be liquid by the Sub-adviser or will otherwise cover its obligations under sale-buyback transactions.
During the period ended February 28, 2023, the Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund participated in sale-buyback transactions. The payable for investments purchased related to sale-buyback transactions at
321
| Notes to Financial Statements |
| (unaudited) (continued) |
February 28, 2023, an average amount of borrowings, incurred interest expense and a weighted average interest rate related to sale-buyback transactions outstanding during the period ended February 28, 2023, were as following:
| Inflation-Linked Fixed Income Fund |
Ultra-Short Term Fixed Income Fund |
|||||||
| Payable for investments purchased |
$ — | $ — | ||||||
| Average amount borrowed |
816,612 | 1,744,262 | ||||||
| Interest expense |
14,324 | 36,965 | ||||||
| Weighted average interest rate |
3.52 | % | 4.27 | % | ||||
A buy-saleback lending transaction consists of a purchase of a security by a Fund from a counterparty, with a simultaneous agreement to sell the same or substantially the same security at an agreed-upon price and date. The party who sold the security is not entitled to receive principal and interest payments, if any, made on the security during the term of the agreement. The Fund will segregate assets determined to be liquid by the Sub-adviser or will otherwise cover its obligations under buy-saleback transactions.
During the period ended February 28, 2023, the Funds did not participate in buy-saleback transactions. Sale-buyback and buy-saleback transactions are governed by Master Securities Forward Transaction Agreements (“Master Forward Agreements”), which are agreements between the Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, transaction initiation and confirmation, payment and transfer, events of default, termination and maintenance of collateral. The market value of any pending sale-buyback and buy-saleback as of period end is disclosed in each Fund’s Summary Schedule of Investments.
(z) Disclosure about Offsetting Assets and Liabilities. In order to better define contractual rights under derivative contracts and to secure rights that will help the Funds mitigate their counterparty risk, a Sub-adviser may, on behalf of the Funds, enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The ISDA Master Agreement gives a Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net amount payable by one party to the other. Absent an event of default by the counterparty or a termination of the agreement, the ISDA Master Agreement does not result in an offset of reported amounts of assets and liabilities in the Statements of Assets and Liabilities across the transactions between the Funds and the applicable counterparty. The right to offset and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the Funds’ credit risk to such counterparty equal to any amounts payable by the Funds under the applicable transactions, if any. The enforceability of the right to offset may vary by jurisdiction.
Cash collateral that has been received or pledged to cover obligations under derivative contracts, if any, will be reported separately in the Statements of Assets and Liabilities. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Fund and/or counterparty is held in segregated accounts by the Fund’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits with counterparties and, in the case of cash pledged by counterparty for the benefit of the Fund, a corresponding liability in the Statements of Assets and Liabilities. Securities pledged by the Fund as collateral, if any, are identified as such in the Schedule of Investments. The carrying amount of such deposits due to brokers at February 28, 2023 approximated their fair value. If measured at fair value, such deposits would have been considered as Level 2 in the fair value hierarchy (see Note 1(a)).
Repurchase agreements and reverse repurchase agreements may be entered into by the Funds under Master Repurchase Agreements (“MRA”) which permit a Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. The Fund’s repurchase agreements as of February 28, 2023 are shown on a gross basis and the required offsetting disclosures are shown in the Schedules of Investments. The value of the related collateral exceeded the value of the repurchase agreements as of February 28, 2023.
322
| Notes to Financial Statements |
| (unaudited) (continued) |
For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities.
The following table presents the Funds’ gross and net amounts of assets and liabilities, by derivative type, available for offset under a master netting agreement, or similar agreement as of February 28, 2023:
| Assets | Liabilities | |||||||
| Derivative Instruments (a) | Gross Amounts of Recognized Assets Presented in the Statements of Assets and Liabilities |
Gross Amounts of Recognized Liabilities Presented in the Statements of Assets and Liabilities |
||||||
| Core Fixed Income Fund: | ||||||||
| Forward foreign currency contracts |
$ | 147,852 | $ | 806,794 | ||||
|
|
|
|
|
|||||
| Total Derivative Instruments, subject to master netting arrangement or similar arrangement |
$ | 147,852 | $ | 806,794 | ||||
|
|
|
|
|
|||||
| International Fixed Income Fund: | ||||||||
| Forward foreign currency contracts |
$ | 4,301,164 | $ | 756,983 | ||||
| Option contracts |
143,143 | (b) | 422,011 | |||||
| Swap contracts |
335,197 | 42,236 | ||||||
|
|
|
|
|
|||||
| Total Derivative Instruments, subject to master netting arrangement or similar arrangement |
$ | 4,779,504 | $ | 1,221,230 | ||||
|
|
|
|
|
|||||
| Inflation-Linked Fixed Income Fund: | ||||||||
| Forward foreign currency contracts |
$ | 424,276 | $ | 41,600 | ||||
| Option contracts |
238,159 | (b) | 399,516 | |||||
|
|
|
|
|
|||||
| Total Derivative Instruments, subject to master netting arrangement or similar arrangement |
$ | 662,435 | $ | 441,116 | ||||
|
|
|
|
|
|||||
| Ultra-Short Term Fixed Income Fund: | ||||||||
| Forward foreign currency contracts |
$ | 2,192,285 | $ | 312,070 | ||||
|
|
|
|
|
|||||
| Total Derivative Instruments, subject to master netting arrangement or similar arrangement |
$ | 2,192,285 | $ | 312,070 | ||||
|
|
|
|
|
|||||
| (a) | Excludes exchange-traded derivatives. |
| (b) | Amounts are included in Unaffiliated Investments in the Statements of Assets and Liabilities. |
The following table presents the Funds’ derivative assets and liabilities by counterparty net of amounts available for offset under master netting or similar agreements, and net of related collateral received or pledged as of February 28, 2023.
| Counterparty | Gross Amounts of Recognized Assets Presented in the Statements of Assets and Liabilities |
Financial Instruments Available for Offset (a) |
Collateral Received |
Net Amount (b) (Not Less than $0) |
||||||||||||
| Core Fixed Income Fund | ||||||||||||||||
| Over-the-counter | ||||||||||||||||
| Bank of America |
$ | 9,451 | $ | — | $ | — | $ | 9,451 | ||||||||
| Citigroup Global Markets Inc. |
138,401 | (138,401) | — | 0 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Over-the-counter derivative instruments |
$ | 147,852 | $ | (138,401) | $ | — | $ | 9,451 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
323
| Notes to Financial Statements |
| (unaudited) (continued) |
| Counterparty | Gross Amounts of Recognized Liabilities Presented in the Statements of Assets and Liabilities |
Financial Instruments Available for Offset (c) |
Collateral Pledged |
Net Amount (d) (Not Less than $0) |
||||||||||||
| Core Fixed Income Fund | ||||||||||||||||
| Over-the-counter | ||||||||||||||||
| Citigroup Global Markets Inc. |
$ | 806,794 | $ | (138,401) | $ | — | $ | 668,393 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Over-the-counter derivative instruments |
$ | 806,794 | $ | (138,401) | $ | — | $ | 668,393 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Counterparty | Gross Amounts of Recognized Assets Presented in the Statements of Assets and Liabilities |
Financial Instruments Available for Offset (a) |
Collateral Received (e) |
Net Amount (b) (Not Less than $0) |
||||||||||||
| International Fixed Income Fund | ||||||||||||||||
| Over-the-counter | ||||||||||||||||
| Bank of America |
$ | 844,260 | $ | (363,010 | ) | $ | (290,000 | ) | $ | 191,250 | ||||||
| Barclays Bank PLC |
446,691 | (95,071 | ) | (220,000 | ) | 131,620 | ||||||||||
| BNP Paribas SA |
805,976 | (253,265 | ) | (520,000 | ) | 32,711 | ||||||||||
| Deutsche Bank AG |
16,711 | (16,711 | ) | — | 0 | |||||||||||
| Goldman Sachs & Co. |
225,430 | (225,430 | ) | — | 0 | |||||||||||
| HSBC Bank USA |
1,264,714 | (20,479 | ) | (1,244,235 | ) | 0 | ||||||||||
| JPMorgan Chase & Co. |
122,252 | (1,336 | ) | (120,916 | ) | 0 | ||||||||||
| Societe Generale SA |
29,692 | — | — | 29,692 | ||||||||||||
| Standard Chartered Bank |
69,421 | (69,421 | ) | — | 0 | |||||||||||
| UBS Securities LLC |
954,357 | (39,880 | ) | (724,000 | ) | 190,477 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Over-the-counter derivative instruments |
$ | 4,779,504 | $ | (1,084,603 | ) | $ | (3,119,151) | $ | 575,750 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Counterparty | Gross Amounts of Recognized Liabilities Presented in the Statements of Assets and Liabilities |
Financial Instruments Available for Offset (c) |
Collateral Pledged |
Net Amount (d) (Not Less than $0) |
||||||||||||
| International Fixed Income Fund | ||||||||||||||||
| Over-the-counter | ||||||||||||||||
| Bank of America |
$ | 363,010 | $ | (363,010 | ) | $ | — | $ | 0 | |||||||
| Barclays Bank PLC |
95,071 | (95,071 | ) | — | 0 | |||||||||||
| BNP Paribas SA |
253,265 | (253,265 | ) | — | 0 | |||||||||||
| Deutsche Bank AG |
34,558 | (16,711 | ) | — | 17,847 | |||||||||||
| Goldman Sachs & Co. |
310,114 | (225,430 | ) | — | 84,684 | |||||||||||
| HSBC Bank USA |
20,479 | (20,479 | ) | — | 0 | |||||||||||
| JPMorgan Chase & Co. |
1,336 | (1,336 | ) | — | 0 | |||||||||||
| Standard Chartered Bank |
103,517 | (69,421 | ) | — | 34,096 | |||||||||||
| UBS Securities LLC |
39,880 | (39,880 | ) | — | 0 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Over-the-counter derivative instruments |
$ | 1,221,230 | $ | (1,084,603) | $ | — | $ | 136,627 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
324
| Notes to Financial Statements |
| (unaudited) (continued) |
| Counterparty | Gross Amounts of Recognized Assets Presented in the Statements of Assets and Liabilities |
Financial Instruments Available for Offset (a) |
Collateral Received (e) |
Net Amount (b) (Not Less than $0) |
||||||||||||
| Inflation-Linked Fixed Income Fund | ||||||||||||||||
| Over-the-counter | ||||||||||||||||
| BNP Paribas SA |
$ | 96,066 | $ | (9,369) | $ | — | $ | 86,697 | ||||||||
| Deutsche Bank AG |
243,229 | (243,229 | ) | — | 0 | |||||||||||
| HSBC Bank USA |
68,427 | (12,550 | ) | — | 55,877 | |||||||||||
| Merrill Lynch, Pierce, Fenner & Smith Inc. |
253,556 | (10,231 | ) | (243,325 | ) | 0 | ||||||||||
| Standard Chartered Bank |
1,157 | (860 | ) | — | 297 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Over-the-counter derivative instruments |
$ | 662,435 | $ | (276,239) | $ | (243,325 | ) | $ | 142,871 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Counterparty | Gross Amounts of Recognized Liabilities Presented in the Statements of Assets and Liabilities |
Financial Instruments Available for Offset (c) |
Collateral Pledged |
Net Amount (d) (Not Less than $0) |
||||||||||||
| Inflation-Linked Fixed Income Fund | ||||||||||||||||
| Over-the-counter | ||||||||||||||||
| Barclays Bank PLC |
$ | 7,778 | $ | — | $ | — | $ | 7,778 | ||||||||
| BNP Paribas SA |
9,369 | (9,369 | ) | — | 0 | |||||||||||
| Deutsche Bank AG |
400,328 | (243,229 | ) | — | 157,099 | |||||||||||
| HSBC Bank USA |
12,550 | (12,550 | ) | — | 0 | |||||||||||
| Merrill Lynch, Pierce, Fenner & Smith Inc. |
10,231 | (10,231 | ) | — | 0 | |||||||||||
| Standard Chartered Bank |
860 | (860 | ) | — | 0 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Over-the-counter derivative instruments |
$ | 441,116 | $ | (276,239) | $ | — | $ | 164,877 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Counterparty | Gross Amounts of Recognized Assets Presented in the Statements of Assets and Liabilities |
Financial Instruments Available for Offset (a) |
Collateral Received (e) |
Net Amount (b) (Not Less than $0) |
||||||||||||
| Ultra-Short Term Fixed Income Fund | ||||||||||||||||
| Over-the-counter | ||||||||||||||||
| BNP Paribas SA |
$ | 442,762 | $ | (7,866) | $ | (330,000 | ) | $ | 104,896 | |||||||
| Deutsche Bank AG |
1,823 | — | — | 1,823 | ||||||||||||
| HSBC Bank USA |
218,098 | (58,154 | ) | — | 159,944 | |||||||||||
| Merrill Lynch, Pierce, Fenner & Smith Inc. |
1,529,602 | (246,050 | ) | (1,283,552 | ) | 0 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Over-the-counter derivative instruments |
$ | 2,192,285 | $ | (312,070) | $ | (1,613,552 | ) | $ | 266,663 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
325
| Notes to Financial Statements |
| (unaudited) (continued) |
| Counterparty | Gross Amounts of Recognized Liabilities Presented in the Statements of Assets and Liabilities |
Financial Instruments Available for Offset (c) |
Collateral Pledged |
Net Amount (d) (Not Less than $0) |
||||||||||||
| Ultra-Short Term Fixed Income Fund | ||||||||||||||||
| Over-the-counter | ||||||||||||||||
| BNP Paribas SA |
$ | 7,866 | $ | (7,866) | $ | — | $ | 0 | ||||||||
| HSBC Bank USA |
58,154 | (58,154 | ) | — | 0 | |||||||||||
| Merrill Lynch, Pierce, Fenner & Smith Inc. |
246,050 | (246,050 | ) | — | 0 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Over-the-counter derivative instruments |
$ | 312,070 | $ | (312,070) | $ | — | $ | 0 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Represents the amount of assets that could be offset by liabilities with the same counterparty under master netting or similar agreements that are not offset on the Statements of Assets and Liabilities. |
| (b) | Net amount represents the new amount receivable from the counterparty in the event of default. |
| (c) | Represents the amount of liabilities that could be offset by assets with the same counterparty under master netting or similar agreements that are not offset on the Statements of Assets and Liabilities. |
| (d) | Net amount represents the net amount payable to the counterparty in the event of default. |
| (e) | In some instances, the actual collateral received and/or pledged may be more than the amount shown here due to overcollateralization. |
2. Investment Management Agreement and Other Transactions with Affiliates
CGAS, a business of Morgan Stanley Wealth Management, serves as the investment manager to the Funds. The Manager selects and oversees professional money managers who are responsible for investing the assets of the Funds (each a “Sub-adviser,” and collectively the “Sub-advisers”). Each Fund pays the Manager an investment management fee calculated daily at an annual rate based on each Fund’s average daily net assets and paid monthly in arrears. The Manager pays each Sub-adviser on a monthly basis, a sub-advisory fee from its investment management fees.
CGAS has contractually agreed to waive fees and reimburse expenses in order to keep the Funds’ management fees from exceeding the total amount of sub-advisory fees paid by CGAS plus 0.20% based on average net assets. Because the Alternative Strategies Fund does not currently have sub-advisers, CGAS will contractually waive 1.00% of its management fees. This contractual waiver will only apply if the Funds’ total management fees exceed the total amount of sub-advisory fees paid by CGAS plus 0.20%, and will not affect the Funds’ total management fees if they are less than such amount. This fee waiver and/or reimbursement will continue for at least one year from the date of the Funds’ prospectus or until such time as the Board of Trustees act to discontinue all or a portion of such waiver and/or reimbursement when they deem such action is appropriate.
In addition, for Alternative Strategies Fund, CGAS and its affiliates agrees to waive fees and reimburse expenses in order to keep the Fund’s management fee from exceeding 0.20% more than the total amount of sub-advisory fees paid by the Adviser and to keep the Fund’s total operating costs from exceeding 0.70% (exclusive of interest from borrowing, brokerage commissions, taxes, acquired fund fees and expenses, and other extraordinary expenses not incurred in the ordinary course of the Fund’s business). This contractual arrangement shall remain in effect for at least one year from the date of the Fund’s prospectus or until such time as the Board of Trustees act to discontinue all or a portion of such waiver and/or reimbursement when they deem such action is appropriate.
326
| Notes to Financial Statements |
| (unaudited) (continued) |
The maximum allowable investment management fees represents the total amount that could be charged to each Fund. The aggregate fees paid by the Manager to each Fund’s Sub-advisers and the fees retained by the Manager for the period ended February 28, 2023 are indicated below:
| Fund | Sub-advisory Fee |
Consulting Group Advisory Services LLC Fee |
Maximum Allowable Annual Management Fee |
|||||||||
| Large Cap Equity Fund |
0.19 | % | 0.20 | % | 0.60 | % | ||||||
| Small-Mid Cap Equity Fund |
0.26 | % | 0.20 | % | 0.80 | % | ||||||
| International Equity Fund |
0.33 | % | 0.20 | % | 0.70 | % | ||||||
| Emerging Markets Equity Fund |
0.37 | % | 0.20 | % | 0.90 | % | ||||||
| Core Fixed Income Fund |
0.17 | % | 0.20 | % | 0.40 | % | ||||||
| High Yield Fund |
0.30 | % | 0.20 | % | 0.70 | % | ||||||
| International Fixed Income Fund |
0.25 | % | 0.20 | % | 0.50 | % | ||||||
| Municipal Bond Fund |
0.20 | % | 0.20 | % | 0.40 | % | ||||||
| Inflation-Linked Fixed Income Fund |
0.25 | % | 0.20 | % | 0.50 | % | ||||||
| Ultra-Short Term Fixed Income Fund |
0.25 | % | 0.20 | % | 0.50 | % | ||||||
| Alternative Strategies Fund |
N/A | 0.20 | % | 1.20 | % | |||||||
The Manager has agreed to waive and/or reimburse a portion of its fee. For the period ended February 28, 2023, the amounts waived and/or reimbursed by the Manager were as follows:
| Fund | Amounts Waived and/or Reimbursed |
|||
| Large Cap Equity Fund |
$ | 1,701,411 | ||
| Small-Mid Cap Equity Fund |
865,188 | |||
| International Equity Fund |
978,254 | |||
| Emerging Markets Equity Fund |
775,029 | |||
| Core Fixed Income Fund |
176,434 | |||
| High Yield Fund |
110,024 | |||
| International Fixed Income Fund |
43,125 | |||
| Municipal Bond Fund |
— | |||
| Inflation-Linked Fixed Income Fund |
25,687 | |||
| Ultra-Short Term Fixed Income Fund |
113,308 | |||
| Alternative Strategies Fund |
734,751 | |||
Brown Brothers Harriman & Co. (“BBH”) serves as the Trust’s administrator. For its administrative services, BBH receives an annual asset based fee of 0.0250% of the Trust’s assets up to $5 billion, 0.02% on assets between $5 billion and $8 billion and 0.0175% on assets in excess of $8 billion, plus out-of-pocket expenses. The fee is calculated and allocated daily based on the relative assets of each Fund.
327
| Notes to Financial Statements |
| (unaudited) (continued) |
For the period ended February 28, 2023, Morgan Stanley & Co. Incorporated (“MS&Co.”), and its affiliates, including Morgan Stanley Smith Barney LLC, the Trust’s distributor, received brokerage commissions of:
| Fund | Commission Dollars to MS&Co. |
|||
| Large Cap Equity Fund |
$ | 2,127 | ||
| Small-Mid Cap Equity Fund |
1,473 | |||
| International Equity Fund |
119 | |||
| Emerging Markets Equity Fund |
316 | |||
| Core Fixed Income Fund |
— | |||
| High Yield Fund |
— | |||
| International Fixed Income Fund |
— | |||
| Municipal Bond Fund |
— | |||
| Inflation-Linked Fixed Income Fund |
— | |||
| Ultra-Short Term Fixed Income Fund |
— | |||
| Alternative Strategies Fund |
— | |||
Officers of the Trust do not receive compensation directly from the Trust. The Funds may bear a portion of the annual compensation of the Fund’s Chief Compliance Officer.
For the period ended February 28, 2023, the Funds assume the following to be affiliated issuers:
Large Cap Equity Fund
| Underlying Security | Beginning Value as of August 31, 2022 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain on Sales |
Change in Unrealized Appreciation |
Dividend/ Interest Income |
Ending Value as of February 28, 2023 |
|||||||||||||||||||||
| Morgan Stanley |
$ | 2,628,440 | $ | 68,474 | $ | (248,657 | ) | $ | 155,385 | $ | 169,768 | $ | 46,177 | $ | 2,773,410 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Core Fixed Income Fund
| Underlying Security | Beginning Value as of August 31, 2022 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain/(Loss) on Sales |
Change in Unrealized Depreciation |
Dividend/ Interest Income |
Ending Value as of February 28, 2023 |
|||||||||||||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust: |
||||||||||||||||||||||||||||
| Series 2013-C13, Class A4, 4.039% due 11/15/46 |
$ | 494,777 | $ | — | $ | — | $ | — | $ | (1,606) | $ | 10,097 | $ | 493,171 | ||||||||||||||
| Series 2016-C28, Class A3, 3.272% due 1/15/49 |
489,216 | — | — | — | (7,013) | 8,379 | 482,203 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Total |
$ | 983,993 | $ | — | $ | — | $ | — | $ | (8,619) | $ | 18,476 | $ | 975,374 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Ultra-Short Term Fixed Income Fund
| Underlying Security | Beginning Value as of August 31, 2022 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain on Sales |
Change in Unrealized Appreciation |
Accretion of discount |
Dividend/ Interest Income |
Ending Value as of February 28, 2023 |
||||||||||||||||||||||||
| Morgan Stanley ABS Capital I Inc. Trust, Series 2004-HE4, Class M1, 5.517% (1-Month USD-LIBOR + 0.900%) due 5/25/34 |
$ | 420,952 | $ | — | $ | (16,368) | $ | 60 | $ | 2,080 | $ | 158 | $ | 9,146 | $ | 406,882 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
328
| Notes to Financial Statements |
| (unaudited) (continued) |
3. Investments
During the period ended February 28, 2023, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) for each Fund were as follows:
| Other Investments | U.S. Government Securities | |||||||||||||||
| Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
| Large Cap Equity Fund |
$ | 169,924,955 | $ | 189,459,781 | $ | — | $ | — | ||||||||
| Small-Mid Cap Equity Fund |
49,994,311 | 104,750,348 | — | — | ||||||||||||
| International Equity Fund |
127,513,058 | 242,059,001 | — | — | ||||||||||||
| Emerging Markets Fund |
18,799,900 | 13,386,237 | — | — | ||||||||||||
| Core Fixed Income Fund |
174,926,862 | 133,916,216 | 1,922,870,470 | 1,818,866,860 | ||||||||||||
| High Yield Fund |
12,125,686 | 13,243,704 | — | — | ||||||||||||
| International Fixed Income Fund |
11,149,211 | 25,233,412 | 283,889,767 | 285,708,008 | ||||||||||||
| Municipal Bond Fund |
13,999,310 | 18,093,463 | — | — | ||||||||||||
| Inflation-Linked Fixed Income Fund |
2,378,328 | 7,373,074 | 31,555,384 | 32,370,126 | ||||||||||||
| Ultra-Short Term Fixed Income Fund |
48,414,909 | 119,691,060 | 27,052,062 | 34,382,983 | ||||||||||||
| Alternative Strategies Fund |
30,851,495 | 17,632,261 | — | — | ||||||||||||
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation at February 28, 2023 have been disclosed under respective schedules of investments.
4. Shares of Beneficial Interest
At February 28, 2023, the Trust had an unlimited number of units of beneficial interest (shares) authorized with a par value of $0.001 per share. At February 28, 2023, Trustees and executive officers of the Trust as a group owned of record less than 1% of the outstanding shares of the Trust.
Transactions in shares of each Fund were as follows:
| Period Ended February 28, 2023 |
Year Ended August 31, 2022 |
|||||||
| Large Cap Equity Fund | ||||||||
| Shares sold |
12,383,838 | 19,904,526 | ||||||
| Shares issued on reinvestment |
7,460,910 | 8,645,037 | ||||||
| Shares repurchased |
(13,344,338 | ) | (26,812,574 | ) | ||||
|
|
|
|
|
|||||
| Net Increase |
6,500,410 | 1,736,989 | ||||||
|
|
|
|
|
|||||
| Small-Mid Cap Equity Fund | ||||||||
| Shares sold |
4,471,795 | 11,973,855 | ||||||
| Shares issued on reinvestment |
3,585,089 | 6,195,989 | ||||||
| Shares repurchased |
(8,246,839 | ) | (13,284,349 | ) | ||||
|
|
|
|
|
|||||
| Net Increase (Decrease) |
(189,955 | ) | 4,885,495 | |||||
|
|
|
|
|
|||||
| International Equity Fund | ||||||||
| Shares sold |
9,179,587 | 30,494,035 | ||||||
| Shares issued on reinvestment |
5,011,817 | 8,542,341 | ||||||
| Shares repurchased |
(19,225,021 | ) | (30,232,493 | ) | ||||
|
|
|
|
|
|||||
| Net Increase (Decrease) |
(5,033,617 | ) | 8,803,883 | |||||
|
|
|
|
|
|||||
329
| Notes to Financial Statements |
| (unaudited) (continued) |
| Period Ended February 28, 2023 |
Year Ended August 31, 2022 |
|||||||
| Emerging Markets Equity Fund | ||||||||
| Shares sold |
4,424,196 | 13,449,565 | ||||||
| Shares issued on reinvestment |
742,140 | 1,444,042 | ||||||
| Shares repurchased |
(4,534,738 | ) | (8,347,559 | ) | ||||
|
|
|
|
|
|||||
| Net Increase |
631,598 | 6,546,048 | ||||||
|
|
|
|
|
|||||
| Core Fixed Income Fund | ||||||||
| Shares sold |
50,404,955 | 66,749,282 | ||||||
| Shares issued on reinvestment |
3,654,764 | 4,652,186 | ||||||
| Shares repurchased |
(23,161,531 | ) | (37,663,106 | ) | ||||
|
|
|
|
|
|||||
| Net Increase |
30,898,188 | 33,738,362 | ||||||
|
|
|
|
|
|||||
| High Yield Fund | ||||||||
| Shares sold |
3,491,078 | 10,050,417 | ||||||
| Shares issued on reinvestment |
1,137,391 | 2,370,721 | ||||||
| Shares repurchased |
(4,857,450 | ) | (33,859,888 | ) | ||||
|
|
|
|
|
|||||
| Net Decrease |
(228,981 | ) | (21,438,750 | ) | ||||
|
|
|
|
|
|||||
| International Fixed Income Fund | ||||||||
| Shares sold |
4,969,374 | 10,232,338 | ||||||
| Shares issued on reinvestment |
2,189,685 | 551,579 | ||||||
| Shares repurchased |
(4,591,473 | ) | (5,468,504 | ) | ||||
|
|
|
|
|
|||||
| Net Increase |
2,567,586 | 5,315,413 | ||||||
|
|
|
|
|
|||||
| Municipal Bond Fund | ||||||||
| Shares sold |
3,384,322 | 3,373,446 | ||||||
| Shares issued on reinvestment |
133,091 | 230,070 | ||||||
| Shares repurchased |
(2,754,281 | ) | (3,002,986 | ) | ||||
|
|
|
|
|
|||||
| Net Increase |
763,132 | 600,530 | ||||||
|
|
|
|
|
|||||
| Inflation-Linked Fixed Income Fund | ||||||||
| Shares sold |
1,884,067 | 2,662,178 | ||||||
| Shares issued on reinvestment |
892,180 | 1,585,959 | ||||||
| Shares repurchased |
(1,771,017 | ) | (6,385,150 | ) | ||||
|
|
|
|
|
|||||
| Net Increase (Decrease) |
1,005,230 | (2,137,013 | ) | |||||
|
|
|
|
|
|||||
| Ultra-Short Term Fixed Income Fund | ||||||||
| Shares sold |
4,697,897 | 26,855,941 | ||||||
| Shares issued on reinvestment |
2,362,165 | 616,856 | ||||||
| Shares repurchased |
(18,835,459 | ) | (19,947,043 | ) | ||||
|
|
|
|
|
|||||
| Net Increase (Decrease) |
(11,775,397 | ) | 7,525,754 | |||||
|
|
|
|
|
|||||
| Alternative Strategies Fund | ||||||||
| Shares sold |
2,939,873 | 6,417,531 | ||||||
| Shares issued on reinvestment |
938,002 | 85,188 | ||||||
| Shares repurchased |
(2,728,194 | ) | (3,594,275 | ) | ||||
|
|
|
|
|
|||||
| Net Increase |
1,149,681 | 2,908,444 | ||||||
|
|
|
|
|
|||||
330
| Notes to Financial Statements |
| (unaudited) (continued) |
5. Capital Loss Carry Forward
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010, for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this, pre-enactment capital loss carryforwards may be more likely to expire unused.
As of August 31, 2022, the Funds had the following net capital loss carryforwards remaining:
| Large Cap Equity Fund |
Small-Mid Cap Equity Fund |
International Equity Fund |
Emerging Markets Equity Fund |
Core Fixed Income Fund |
High Yield Fund |
|||||||||||||||||||
| Short Term |
$ | — | $ | — | $ | — | $ | — | $ | 29,563,681 | $ | 2,519,651 | ||||||||||||
| Long Term |
— | — | — | — | 27,856,296 | 12,857,182 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| $ | — | $ | — | $ | — | $ | — | $ | 57,419,977 | $ | 15,376,833 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| International Fixed Income Fund |
Municipal Bond Fund |
Inflation- Fixed Income Fund |
Ultra-Short Fixed Income Fund |
Alternative Strategies Fund |
||||||||||||||||||||
| Short Term |
|
$ | — | $ | 1,386,208 | $ | — | $ | 9,347,016 | $ | — | |||||||||||||
| Long Term |
|
2,681,290 | 534,590 | — | 828,610 | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | 2,681,290 | $ | 1,920,798 | $ | — | $ | 10,175,626 | $ | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
6. Subsequent Events
Management has evaluated subsequent events after the balance sheet date through the date that the financial statements were issued and has not identified any additional events or transactions that would require recognition or disclosure in the financial statements other than the distribution information below.
Subsequent to February 28, 2023, the Funds made the following distributions:
| Record Date Payable Date | Core Fixed Income Fund |
High Yield Fund |
Municipal Bond Fund |
|||||||||
| 3/1/23 – 3/31/23 |
$ | 0.023660 | $ | 0.018052 | $ | 0.019952 | ||||||
331
| Board Approval of Management Agreement and Investment Advisory Agreements |
| (unaudited) |
Approval of Advisory Agreements
The Morgan Stanley Pathway Funds (the “Trust,” and each series thereof a “Fund,” and collectively, the “Funds”) and Consulting Group Advisory Services LLC (“Manager”), a business of Morgan Stanley LLC, have entered into an investment management agreement (“Management Agreement”). Pursuant to the Management Agreement, other than with respect to the Alternative Strategies Fund, the Manager serves as “manager of managers” for the Trust and selects and oversees professional money managers (each, a “Sub-adviser” and collectively, the “Sub-advisers”) who are responsible for investing the portion of assets of the Funds allocated to them by the Manager pursuant to investment advisory agreements (the “Subadvisory Agreements” and, together with the Management Agreement, the “Agreements”) between the Manager and each of the Sub-advisers.
The Investment Company Act of 1940, as amended (the “1940 Act”), requires that the Agreements be approved initially for a two year term, as well as annually thereafter, by the Trust’s Board of Trustees (“Board”) and by a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Agreements (“Independent Trustees”), by vote cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of the approval of the Agreements, the Independent Trustees must request and evaluate such information as may reasonably be necessary to make a reasonable business judgment with respect to the approval of the Agreements, and the Manager and Sub-advisers are required to provide such information.
****
During the period covered by this semi-annual report, the Board did not consider for approval any Agreements.
****
Review of Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the Investment Company Act, the Trust, on behalf of the Funds, has adopted a liquidity risk management program (the “Program”) to govern the Trust’s approach to managing liquidity risk. The Program is overseen by the Liquidity Risk Management Committee, and the Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Fund.
At the December 15, 2022 Meeting, the Trustees received a report from the Liquidity Risk Management Committee addressing the operations of the Program and assessing its adequacy and effectiveness of implementation. The Liquidity Risk Management Committee determined, and reported to the Board, that the Program is reasonably designed to assess and manage each Fund’s liquidity risk and has operated adequately and effectively to manage each Fund’s liquidity risk since the Program was implemented on May 14, 2019. The Liquidity Risk Management Committee reported that during the period covered by the report, there were no liquidity events that impacted the Funds or their ability to timely meet redemptions without dilution to existing shareholders. The Liquidity Risk Management Committee further noted that no material changes have been made to the Program since its implementation.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the prospectus for more information regarding a Fund’s exposure to liquidity risk and other principal risks to which an investment in the Funds may be subject.
****
****
332
| Additional Information |
| (unaudited) |
Trustees and Officers of the Trust
The Trust’s Board is responsible for overseeing the Trust’s management and operations. The Board approves all significant agreements between the Trust and the companies that furnish services to the Funds, including agreements with the Trust’s investment adviser, sub-advisers, distribution, custodian, transfer agent and administrator. The Board elects officers who are responsible for the day-to-day operations of the Trust and the Funds and who execute policies authorized by the Board.
Consulting Group Advisory Services LLC (“CGAS” or “Manager”), a business of Morgan Stanley Wealth Management, serves as the investment adviser for each Fund. The Funds, except the Alternative Strategies Fund, employ a “multi-manager” strategy. The Manager selects and oversees professional money managers (each a “sub-adviser,” collectively, the “Sub-advisers”) who are responsible for investing the assets of the Funds allocated to them. In addition to investment management services, the Manager monitors and supervises the services provided to the Trust by its administrator. The Manager also is responsible for conducting all operations of the Trust, except those operations contracted to the Sub-advisers, the custodian, the transfer agent and the administrator.
The names of the Trustees and officers of the Trust, their addresses and years of birth, together with information as to their principal business occupations and, for the Trustees, other board memberships they have held during the past five years, are set forth below. The executive officers of the Trust are employees of organizations that provide services to the Funds.
| Name, Address and Date of Birth |
Position(s) Held with Trust |
Term of Office Length |
Principal Occupation(s) During Past Five Years |
Number of Funds in Fund Complex Overseen by Trustee |
Other Board Trustee | |||||||
| INDEPENDENT TRUSTEES | ||||||||||||
| Adela Cepeda 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1958 |
Chairperson and Trustee | Since 2008 (Chair since 2021) | Managing Director, PFM Financial Advisors, LLC (Financial Advisory) (2016-December 2019); and formerly, President, A.C. Advisory, Inc. (Financial Advisory) (1995-September 2016) | 11 | Director, BMO Financial Corp. (2012-present); Trustee, Mercer Funds (2005-present); Trustee, UBS Funds (2004- present); and formerly, Director | |||||||
| Mark J. Reed 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1964 |
Trustee | Since 2007 | Vice President, Financial Advisor and Portfolio Manager, Wealth Enhancement Group (2021-present); Principal and Portfolio Manager, North American Management Corp. (Investment Advisory) (2013-2021) | 11 | None | |||||||
333
| Additional Information |
| (unaudited) (continued) |
| Name, Address and Date of Birth |
Position(s) Held with Trust |
Term of Office Length |
Principal Occupation(s) During Past Five Years |
Number of Funds in Fund Complex Overseen by Trustee |
Other Board Trustee | |||||||
| W. Thomas Matthews 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1949 |
Trustee | Since 2009 (Interested Trustee from 2006-2009) |
Retired; Advisor, Smith Barney (2005-2007) |
11 | Chairman Emeritus, Congressional Medal of Honor Foundation (2009-present); formerly Treasurer (2009-2016); and Chairman Emeritus, America’s Warrior Partnership (2017- present), formerly, Chairman (2013-2016) and Director (2013- 2017) | |||||||
| Eric T. McKissack, CFA® 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1953 |
Vice Chair and Trustee | Since 2013 (Vice Chair since 2021) |
Founder and Chief Executive Officer Emeritus, Channing Capital Management, LLC (Investment Management) (2017-December 2019); and formerly, Chief Executive Officer, Channing Capital Management, LLC (2004-2017) | 11 | Trustee and Chairman, FlexShares Funds (2011- present); Trustee, The Art Institute of Chicago (2002-present); Director, Farmer Mac (NYSE:AGM) (2/21-present) and Director, Shirley Ryan AbilityLab Keystone Board (formerly Rehabilitation Institute of Chicago) (non-profit) (6/00-present)) | |||||||
| Teresa S. Westbrook 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1959 |
Trustee | Since 2020 | CPA/ Partner, Deloitte & Touche LLP (1999-2015) | 11 | None | |||||||
| INTERESTED TRUSTEE |
||||||||||||
| Paul Ricciardelli** Morgan Stanley 522 Fifth Avenue, 14th Floor, New York, NY 10036 Birth Year: 1969 |
Trustee and Chief Executive Officer and President |
Since April 2017 | Head of Morgan Stanley Portfolio Solutions (formerly Wealth Advisory Solutions), Morgan Stanley (March 2017-present) Head of IAR/GIMA, Morgan Stanley (2011-present); and formerly, Head of Manager Solutions, Morgan Stanley (2015-March 2017) | 11 | None | |||||||
334
| Additional Information |
| (unaudited) (continued) |
| Name, Address and Date of Birth |
Position(s) Held with Trust |
Term of Office*** and Length of Time Served |
Principal Occupation(s) During Past Five Years | |||
| OFFICERS |
||||||
| Francis Smith Morgan Stanley 522 Fifth Avenue, 4th Floor New York, NY 10036 Birth Year: 1965 |
Chief Financial Officer and Treasurer | Since 2014 | Managing Director, Morgan Stanley (2017-present); formerly Executive Director, Morgan Stanley (2001-2016); and Treasurer and Principal Financial Officer of various Morgan Stanley Funds (2003-present) | |||
| Eric Metallo Morgan Stanley 1633 Broadway, 29th Floor New York, NY 10019 Birth Year: 1976 |
Chief Legal Officer and Secretary | Since August 2015 | Executive Director, Morgan Stanley Wealth Management (2014-present); and formerly Senior Vice President and Associate General Counsel, PineBridge Investments (2011-2014) | |||
| Joseph Signora Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1977 |
Chief Compliance Officer | Since December 2017 | Executive Director, Morgan Stanley (2017-present); formerly, Senior Director, AXA Equitable (2015-2017); Vice President, EQ Advisors Trust (2015-2017); Vice President, AXA Premier VIP Trust (2015-2017); Vice President, 1290 Funds (2015-2017); Vice President, FMG LLC (2015-2017); | |||
| Robert Garcia Morgan Stanley 522 Fifth Avenue, 14th Floor New York, NY 10036 Birth Year: 1983 |
Chief Operating Officer Investment Officer Co-Chief Operating Officer |
Since May 2016 Since July 2015 August 2015-May 2016 |
Head of Operations and Strategy, Morgan Stanley (2017-present); Head of Portfolio Operations-WMIR, Morgan Stanley (2016-present); Head of Packaged Digital Solutions, Morgan Stanley (2015-present); and formerly Head of Strategy and Development- Global Investment Solutions, Morgan Stanley (2013-2015) | |||
| Monica Heanue Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1975 |
Chief Administrative Officer | Since December 2022 | Executive Director, Morgan Stanley (July 2006-Present) | |||
| Michael Loewengart 2000 Westchester Ave., 3rd Floor Purchase, NY 10577 Birth Year: 1976 |
Investment Officer | Since May 2022 | Head of Portfolio Management Morgan Stanley Portfolio Solutions (2022-present); Head of Investments Strategy, E*TRADE Financial (2007-2021) | |||
| Franceen Jansen Morgan Stanley 522 Fifth Avenue, 12th Floor New York, NY 10036 Birth Year: 1959 |
Investment Officer | Since August 2015 | Executive Director, Morgan Stanley (2010-present) | |||
335
| Additional Information |
| (unaudited) (continued) |
| Name, Address and Date of Birth |
Position(s) Held with Trust |
Term of Office*** and Length of Time Served |
Principal Occupation(s) During Past Five Years | |||
| Andrew Cohen Morgan Stanley 522 Fifth Avenue, 14th Floor New York, NY 10036 Birth Year: 1978 |
Investment Officer | Since May 2022 | Portfolio Manager, Morgan Stanley Portfolio Solutions (2022-present); Director of Investment Research, E*TRADE Financial (2015-2021) | |||
| Sukru Saman Morgan Stanley 522 Fifth Avenue, 14th Floor New York, NY 10036 Birth Year: 1972 |
Investment Officer | Since August 2015 | Investment Officer, Morgan Stanley Wealth Management (2013-present) | |||
| Angela Degis Morgan Stanley 522 Fifth Avenue, 14th Floor New York, NY 10036 Birth Year: 1967 |
Investment Officer | Since May 2022 | Portfolio Manager, Morgan Stanley (2020-present) | |||
| James Totino Morgan Stanley 522 Fifth Avenue, 14th Floor New York, NY 10036 Birth Year: 1970 |
Investment Officer | Since May 2018 | Portfolio Specialist, Investment Officer, Morgan Stanley (2018-present); and formerly Investment Officer, Morgan Stanley (2011-2018) | |||
| Allison Menkes Morgan Stanley 1633 Broadway, New York, NY 10019 Birth Year: 1979 |
Anti-Money Laundering (“AML”) Compliance Officer | Since March 2022 | Head of Wealth Management Financial Crimes Advisory (2021-present); Cybercrimes Special Counsel, IRS Office of Chief Counsel (2018-2021); and Assistant General Counsel, Compliance & Investigations, Citigroup (2015-2018). | |||
| Mark Nolan Morgan Stanley 1633 Broadway, New York, NY 10019 Birth Year: 1981 |
AML Officer | Since March 2023 | Executive Director of GFC WM Advisory, Morgan Stanley (2022-present); Vice President Anti-Financial Crimes Origination and Advisory; Deputy MLRO Cayman Islands of Deutsche Bank (2017-2023). | |||
| James J. Tracy Morgan Stanley 2000 Westchester Avenue, 2nd Floor Purchase, NY 10577 Birth Year: 1957 |
Product Management Officer Trustee Chief Executive Officer and President |
Since May 2016 2013-2015 2013-2015 |
Managing Director, Head of Consulting Group and Graystone Consulting (2018-present); Managing Director, Director of Consulting Group and Practice Management (2016-2018); Managing Director, Vice Chairman of Wealth Management (2015); and Managing Director, Director of Consulting Group Wealth Advisory Solutions (2012-2015) | |||
336
| Additional Information |
| (unaudited) (continued) |
| Name, Address and Date of Birth |
Position(s) Held with Trust |
Term of Office*** and Length of Time Served |
Principal Occupation(s) During Past Five Years | |||
| Steven Ross Morgan Stanley 522 Fifth Avenue, 9th Floor New York, NY 10036 Birth Year: 1971 |
Assistant Treasurer | Since 2014 | Executive Director, Morgan Stanley (2013-present) | |||
| Suzan M. Barron Brown Brothers Harriman & Co. (“BBH&Co.”) 50 Post Office Square Boston, MA 02110 Birth Year: 1964 |
Assistant Secretary | Since 2011 | Senior Vice President and Senior Investor Services Counsel, Corporate Secretary Legal Administration Practice of Fund Administration, BBH&Co. (2005-present); Secretary, BBH Trust (2009-present) | |||
| * | Each Trustee remains in office until he or she resigns, retires or is removed. |
| ** | Mr. Ricciardelli is an “interested person” of the Trust as defined in the 1940 Act because of his position with Morgan Stanley. |
| *** | The President, Treasurer and Secretary hold office until their respective successors are chosen and qualified or until he or she sooner dies, resigns, is removed or becomes disqualified. Each of the other officers serves at the pleasure of the Board. |
337
MORGAN STANLEY SMITH BARNEY LLC
Distributor
CONSULTING GROUP ADVISORY SERVICES LLC
Investment Adviser
This report is submitted for the general information of the shareholders of Morgan Stanley Pathway Funds. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current Prospectus for the Trust which contains information concerning the Trust’s Investment policies, charges and expenses as well as other pertinent information.
The Funds provide a complete schedule of portfolio holdings in its semi-annual and annual reports within 60 days of the end of the funds’ second and fourth quarters. The semi-annual and annual reports are filed electronically with the Securities and Exchange Commission (“SEC”) on Form N-CSRS and Form N-CSR, respectively. These reports are available on its public website. The Funds also file their complete schedule of portfolio holdings with the SEC for the first and third quarters as an attachment to Form N-Port. Morgan Stanley does not deliver the reports for the first and third fiscal quarters to shareholders, but makes the complete schedule of portfolio holdings for the funds’ first and third quarters available on its public website. You may obtain the Form N-PORT filings by accessing the SEC’s website, www.sec.gov. For additional information, shareholders can call 1-888-454-3965 (“ask for Consulting Group”).
Information on how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 and a description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling 1-888-454-3965 (ask for “Consulting Group”), (2) on the Funds’ website at www.morganstanley.com/wealth-investmentsolutions/cgcm and (3) on the SEC’s website at www.sec.gov.
© 2023 Morgan Stanley Smith Barney LLC (“Morgan Stanley”). Consulting Group Advisory Services LLC (“CGAS”) is a business of Morgan Stanley. Securities are offered through Morgan Stanley.
Morgan Stanley Pathway Funds
2000 Westchester Avenue
Purchase, NY 10577
| (b) | Include a copy of each notice transmitted to stockholders in reliance on Rule 30e-3 under the Act (17 CFR 270.30e-3) that contains disclosures specified by paragraph (c)(3) of that rule. |
Not applicable.
ITEM 2. CODE OF ETHICS.
Not Applicable. This item is only required in an annual report on Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not Applicable. This item is only required in an annual report on Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not Applicable. This item is only required in an annual report on Form N-CSR.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not Applicable.
ITEM 6. INVESTMENTS.
A Schedule of Investments in securities of unaffiliated issuers as of the close of the Reporting Period is included as part of the report to shareholders filed under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANIES AND AFFILIATED PURCHASERS.
Not Applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s board of directors, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The Registrant’s principal executive officer and principal financial officer, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(c)) were effective, as of a date within 90 days of the filing date of this report, based on his evaluation of these disclosure controls and procedures as required by Rule 30a-3(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(b)), and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(d)), that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 13. EXHIBITS.
(a)(1) Not Applicable. This item is only required in an annual report on Form N-CSR.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Morgan Stanley Pathway Funds | ||
| By: | /s/ Paul Ricciardelli | |
| Paul Ricciardelli | ||
| Chief Executive Officer | ||
| Morgan Stanley Pathway Funds | ||
| Date: | May 2, 2023 | |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| Morgan Stanley Pathway Funds | ||
| By: | /s/ Paul Ricciardelli | |
| Paul Ricciardelli | ||
| Chief Executive Officer | ||
| Morgan Stanley Pathway Funds | ||
| Date: | May 2, 2023 | |
| Morgan Stanley Pathway Funds | ||
| By: | /s/ Francis Smith | |
| Francis Smith | ||
| Chief Financial Officer | ||
| Morgan Stanley Pathway Funds | ||
| Date: | May 2, 2023 | |